/raid1/www/Hosts/bankrupt/TCR_Public/160626.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, June 26, 2016, Vol. 20, No. 178
Headlines
ACACIA CRE CDO 1: Moody's Affirms C(sf) Ratings on 6 Tranches
ALM LTD XIX: Moody's Assigns Ba3(sf) Rating to Class D Notes
ARES XXX: Moody's Lowers Rating on Class E Notes to Ba3
ARROWPOINT CLO 2013-1: S&P Affirms BB Rating on Class D Notes
ATRIUM IX: S&P Affirms BB Rating on Class E Notes
BANC OF AMERICA 2005-1: Fitch Affirms D Rating on 9 Tranches
BCAP LLC 2010-RR4-II: S&P Lowers Rating on 4 Classes to BB+
BCC FUNDING 2015-1: DBRS Confirms B(sf) Rating on Class F Notes
BENEFIT STREET IX: S&P Assigns Prelim. BB Rating on Cl. E Certs
BLADE ENGINE 2006-1: S&P Puts Cl. B Notes' B- Rating on Watch Neg.
BLEECKER STRUCTURED: Moody Hikes Ratings on 2 Tranches to Caa2
BUSINESS MORTGAGE 6: Moody's Lowers Cl. M1 Notes Rating to Caa3
CABELA 2016-I: Fitch to Rate Class D Debt 'BB-sf'
CEDAR FUNDING V: S&P Assigns BB- Rating on Class E Notes
CFIP CLO 2013-1: S&P Affirms BB Rating on Class E Notes
CITIGROUP 2014-GC23: Fitch Affirms B- Rating on Class F Certs
CMLS ISSUER 2014-1: DBRS Reviews Class G Notes Under Review
COLT 2016-1: Fitch Assigns BB Rating on Class M-1 Certificates
COMM 2005-LP5: Moody's Cuts Cl. X-C Debt Rating to Caa1(sf)
DBUBS 2011-LC3: Fitch Affirms 'Bsf' Rating on Class F Debt
DRIVE AUTO 2015-B: Moody's Affirms Ba2(sf) Rating on Cl. E Debt
GOLDENTREE LOAN XII: Moody's Assigns Ba3 Rating on Cl. D Notes
GOLDMAN SACHS 2010-C2: Fitch Affirms BB Rating on Class E Certs
GREAT LAKES 2012-1: S&P Affirms 'BB' Rating on Class E Notes
GSMPS TRUST 2004-2R: Moody's Lowers Rating on Cl. A Debt to B3
INSTITUTIONAL MORTGAGE 2012-2: Fitch Affirms B Rating on G Debt
ISHARES FALLEN: S&P Assigns 'Bf' Rating on USD Bond ETF
JP MORGAN 2005-CIBC12: Fitch Cuts Class B Debt Rating to 'CCsf'
JP MORGAN 2007-LDP10: Fitch Affirms 'Dsf' Rating on Class P Debt
JP MORGAN 2007-LDP12: S&P Affirms CCC+ Rating on Class D Certs
JP MORGAN 2010-C2: Fitch Affirms B Rating on Class G Certificates
JP MORGAN 2011-C5: Fitch Affirms BB Rating on Class E Certificates
JP MORGAN 2013-C14: Fitch Affirms B Rating on Cl. G Certs
KVK CLO 2012-2: S&P Affirms 'BB Rating on Class E Notes
LANDMARK INFRASTRUCTURE 2016-1: Fitch Rates Class B Notes BB-
LB-UBS COMMERCIAL 2007-C1: S&P Raises Rating on 2 Certs to CCC
MARATHON REAL: Fitch Affirms & Withdraws Series 2006-1 Ratings
MORGAN STANLEY 2006-TOP23: Fitch Affirms BB Rating on Cl. C Certs.
MORGAN STANLEY 2007-TOP25: Fitch Affirms D Rating on 11 Certs
NCF DEALER 2014-1: DBRS Confirms BB (sf) Rating on Class D Notes
NCF GRANTOR 2005-3: S&P Raises Rating on Class A-5-1 Certs. to B
NON-PROFIT PREFERRED I: Moody's Hikes Ratings on $74.3MM of Notes
NRZ ADVANCE 2015-ON1: S&P Gives Prelim. BB Rating on Cl. E-T1Debt
OCP CLO 2012-2: S&P Affirms BB Rating on Class E Notes
OHA CREDIT VII: S&P Affirms BB Rating on Class E Notes
OHA LOAN 2012-1: S&P Affirms BB Rating on Class E Notes
PALMER SQUARE 2013-1: S&P Affirms BB Rating on Class D Notes
RACE POINT VIII: S&P Affirms BB- Rating on Class E Notes
RAMP TRUST 2001-KS3: Moody's Hikes Cl. M-II-1 Debt Rating to Caa1
RAMP TRUST 2005-SL1: Moody's Hikes Rating on 2 Tranches to B2
RESOURCE CAPITAL 2015-CRE4: Moody's Affirms B3 Rating on Cl. C Debt
SACO I 2005-9: Moody's Hikes Ratings on 2 Tranches
SASCO TRUST 2003-26A: Moody's Raises Rating on Cl. 1-A Debt to Ba3
SEAWALL 2007-3: Moody's Affirms Ba1(sf) Rating on Cl. C Debt
SHOPS AT CRYSTALS 2016-CSTL: S&P Gives Prelim BB Rating on E Debt
SIERRA AUTO 2016-1: S&P Assigns Prelim. BB Rating on Cl. C Notes
SOCIETE GENERALE 2016-C5 COMMERCIAL: Fitch Rates Cl. F Debt 'B-sf'
STRIPS III 2003-1: Moody's Affirms Caa3(sf) Rating on Cl. M Notes
TCI-FLATIRON 2016-1: Moody's Assigns Ba3 Rating on Cl. E Notes
TELOS CLO 2013-4: S&P Affirms BB Rating on Class E Notes
THL CREDIT 2016-1: Moody's Assigns Ba3(sf) Rating to Class E Notes
TICP CLO 2016-1: Moody's Assigns (P)Ba3 Ratings to Class E Notes
TRALEE CDO I: S&P Raises Rating on Class D Notes to BB+
VENTURE XXIII: Moody's Assigns (P)Ba3 Rating to Class E Debt
VERTICAL BRIDGE 2016-1: Fitch Assigns 'BB-sf' Ratings to Cl. F Debt
VOYA CLO 2013-1: S&P Affirms BB Rating on Class D Notes
WACHOVIA BANK 2005-C17: Fitch Affirms CC Rating on Class J Debt
WACHOVIA BANK 2007-C32: S&P Affirms CCC- Rating on 2 Tranches
WELLS FARGO 2012-CCRE2: Fitch Affirms B Rating on Class G Certs
WESTLAKE AUTOMOBILE 2016-2: S&P Assigns BB Rating on Cl. E Notes
[*] Fitch Takes Actions on 391 Classes From 48 Structured Deals
[*] Fitch Updates U.S. RMBS Surveillance and Re-REMIC Criteria
[*] Moody's Hikes Ratings on $1.5BB Subprime RMBS Issued 2005-2007
[*] S&P Completes Review on 70 Classes From 42 RMBS Deals
[*] S&P Discontinues D Ratings on 29 Classes From 21 CMBS Deals
[*] S&P Lowers Ratings on 11 MBIA-Insured Classes From 6 CDO Deals
[*] S&P Lowers Ratings on 16 Classes from 12 RMBS Transactions
[*] S&P Lowers Ratings on 61 Classes From 49 RMBS Deals to 'D'
[*] S&P Takes Various Rating Actions on 11 RMBS Transactions
[*] S&P Takes Various Rating Actions on 12 Prime Jumbo RMBS
*********
ACACIA CRE CDO 1: Moody's Affirms C(sf) Ratings on 6 Tranches
-------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on the following
notes issued by Acacia CRE CDO 1, Ltd.:
Cl. A, Affirmed C (sf); previously on Aug 6, 2015 Affirmed C (sf)
Cl. B, Affirmed C (sf); previously on Aug 6, 2015 Affirmed C (sf)
Cl. C, Affirmed C (sf); previously on Aug 6, 2015 Affirmed C (sf)
Cl. D, Affirmed C (sf); previously on Aug 6, 2015 Affirmed C (sf)
Cl. E, Affirmed C (sf); previously on Aug 6, 2015 Affirmed C (sf)
Cl. F, Affirmed C (sf); previously on Aug 6, 2015 Affirmed C (sf)
RATINGS RATIONALE
Moody's has affirmed the ratings of the transaction because the key
transaction metrics are commensurate with the existing ratings.
Implied losses continue to increase, leaving the transaction
materially under-collateralized which more than offsets any
improvement in WARF. The rating action is the result of Moody's
on-going surveillance of commercial real estate collateralized debt
obligation and collateralized loan obligation (CRE CDO and
Re-Remic) transactions.
Acacia CRE CDO 1, Ltd. is a cash transaction whose reinvestment
period ended in April 2008. The transaction is currently backed by
a portfolio of: i) commercial mortgage backed securities (CMBS)
(82.6% of the pool balance); ii) CRE CDO notes (13.9%); and iii)
asset backed securities (ABS), primarily in the form of residential
mortgage backed securities (3.5%). As of the April 30, 2016 note
valuation report, the aggregate note balance of the transaction,
including preferred shares, has decreased to $281.6 million from
$300.0 million at issuance, with principal pay-down directed to the
senior most outstanding class of notes. The pay-down was the result
of a combination of regular amortization and the failing of certain
par value tests.
Also, as of the April 30, 2016 trustee report, the par balance of
the collateral, including defaulted securities, is $28.9 million,
which represents a high under-collateralization as the current note
balance is $281.6 million.
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 reference obligations
it does not rate. The rating agency modeled a bottom-dollar WARF of
5097, compared to 6190 at last review. The current ratings on the
Moody's-rated reference obligations and the assessments of the
non-Moody's rated reference obligation follow: A1-A3 and 1.5%
compared to 1.7% at last review; Baa1-Baa3 and 1.8% compared to
2.0% at last review; Ba1-Ba3 and 10.4% compared to 7.5% at last
review; B1-B3 and 27.7% compared to 20.0% at last review; and
Caa1-Ca/C and 58.5% compared to 68.8% at last review.
Moody's modeled a WAL of 2.0 years, compared to 2.7 years at last
review. The WAL is based on assumptions about extensions on the
underlying collateral and look-through loans backing the underlying
CMBS collateral.
Moody's modeled a fixed WARR of 0.8%, compared to 0.9% at last
review.
Moody's modeled a MAC of 34.6%, compared to 26.6% at last review.
ALM LTD XIX: Moody's Assigns Ba3(sf) Rating to Class D Notes
------------------------------------------------------------
Moody's Investors Service, has assigned ratings to five classes of
notes issued by ALM XIX, Ltd. (the "Issuer" or "ALM XIX").
Moody's rating action is as follows:
US$308,750,000 Class A-1 Senior Secured Floating Rate Notes due
2028 (the "Class A-1 Notes"), Assigned Aaa (sf)
US$49,400,000 Class A-2 Senior Secured Floating Rate Notes due 2028
(the "Class A-2 Notes"), Assigned Aa2 (sf)
US$24,700,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2028 (the "Class B Notes"), Assigned A2 (sf)
US$30,400,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2028 (the "Class C Notes"), Assigned Baa3 (sf)
US$23,750,000 Class D Secured Deferrable Floating Rate Notes due
2028 (the "Class D Notes"), Assigned Ba3 (sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the
Class C Notes, and the Class D Notes are referred to herein,
collectively, as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
ALM XIX, Ltd. is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90.0% of the portfolio must
consist of senior secured loans and eligible investments, and up to
10.0% of the portfolio may consist of second lien loans and
unsecured loans. The portfolio is approximately 95% ramped as of
the closing date.
Apollo Credit Management (CLO), 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 has issued preferred
shares. 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.
ARES XXX: Moody's Lowers Rating on Class E Notes to Ba3
-------------------------------------------------------
Moody's Investors Service has downgraded the ratings on these notes
issued by Ares XXX CLO Ltd:
$14,000,000 Class D Secured Deferrable Floating Rate Notes
Downgraded to Baa1 (sf); previously on Aug. 4, 2015, Upgraded
to A3 (sf)
$20,500,000 Class E Secured Deferrable Floating Rate Notes
Downgraded to Ba3 (sf); previously on Aug. 4, 2015, Affirmed
Ba2 (sf)
Moody's also affirmed the ratings on these notes:
$85,000,000 Class A-1 Senior Secured Loans (current balance of
$61,227,719.50), Affirmed Aaa (sf); previously on Aug. 4, 2015,
Affirmed Aaa (sf)
$155,000,000 Class A-2 Senior Secured Floating Rate Notes
(current balance of $111,650,547.32), Affirmed Aaa (sf);
previously on Aug. 4, 2015 Affirmed Aaa (sf)
$33,000,000 Class B Senior Secured Floating Rate Notes, Affirmed
Aaa (sf); previously on Aug. 4, 2015, Upgraded to Aaa (sf)
$17,000,000 Class C Secured Deferrable Floating Rate Notes,
Affirmed Aa3 (sf); previously on Aug. 4, 2015, Upgraded to
Aa3 (sf)
Ares XXX CLO Ltd., issued in June 2014, is a collateralized loan
obligation (CLO) backed primarily by a portfolio of senior secured
loans. This cash flow CLO does not have a reinvestment period,
however after the effective date in September 2014, the deal
permits the reinvestment of up to 50% of unscheduled principal
proceeds, as well as proceeds from the sales of credit risk and
credit improved assets.
RATINGS RATIONALE
These rating actions are primarily a result of deterioration in the
credit quality of the underlying portfolio and a decrease in the
transaction's junior over-collateralization (OC) ratios since
August 2015. Based on Moody's calculation, the weighted average
rating factor (WARF) has deteriorated to its current level of 2907
compared to 2772 since that time. Additionally, based on Moody's
calculations, collateral defaults and assets rated Caa1 or lower
have increased to $8.1 million and $27.7 million, compared to $0
and $20.0 million, respectively, in August 2015.
The Class D and Class E OC ratios have decreased since August 2015,
primarily due to par losses from recent defaults and credit risk
sales. Based on Moody's calculation (treating Ca- or C-rated
assets as defaulted), the OC ratios for the Class D and Class E
notes are currently 115.81% and 106.59%, respectively, versus
August 2015 levels of 117.25% and 108.69%, respectively. Based on
the trustee's May 2016 report, the OC ratios for the Class D and
Class E notes are reported at 116.20% and 107.00%, respectively,
versus August 2015 levels of 117.30% and 108.70%, respectively.
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. Realization
of higher than assumed recoveries would positively impact the
CLO.
6) Trading: Subject to certain requirements, the deal can
reinvest certain proceeds, and as such the manager has the
ability to erode some of the collateral quality metrics to
the covenant levels. Such reinvestment could affect the
transaction either positively or negatively.
In 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% (2326)
Class A1: 0
Class A2: 0
Class B: 0
Class C: +2
Class D: +3
Class E: +1
Moody's Adjusted WARF + 20% (3489)
Class A1: 0
Class A2: 0
Class B: -1
Class C: -2
Class D: -1
Class E: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base
case, Moody's analyzed the collateral pool as having a performing
par and principal proceeds balance of $270.5 million, defaulted par
of $8.1 million, a weighted average default probability of 20.00%
(implying a WARF of 2907), a weighted average recovery rate upon
default of 50.95%, a diversity score of 57 and a weighted average
spread of 3.45% (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.
ARROWPOINT CLO 2013-1: S&P Affirms BB Rating on Class D Notes
-------------------------------------------------------------
S&P Global Ratings raised its ratings on the class A-2 and B notes
from Arrowpoint CLO 2013-1 Ltd., a U.S. collateralized loan
obligation (CLO), managed by Arrowpoint Asset Management LLC; it is
in its reinvestment period until November 2016. At the same time,
S&P affirmed its ratings on the class A-1, C, and D notes from the
same transaction.
The rating actions follow S&P's review of the transaction's
performance using data from the May 16, 2016, trustee report.
S&P's raised ratings on the class A-2 and B notes mainly reflect
improved overcollateralization (O/C) ratios, and the positive
performance of a portfolio with a decreasing weighted average life.
All coverage test results are passing and are well above the
required levels. The transaction's O/C ratios have improved
slightly since our analysis of this transaction at its July 2013
effective date. For example, as of the May 2016 trustee report,
the class A O/C ratio has improved to 135.06% from the 134.54%
reported in the July 2013 trustee report that was referenced at the
effective date.
The portfolio's positive performance is also a strong factor in
S&P's analysis. Based on the May 2016 trustee report, the weighted
average life of the portfolio is 4.00 years, down from 5.86 years
per the July 2013 trustee report. The decline in the weighted
average life improved the transaction's credit risk profile. The
trustee also reported no defaults, and approximately 3.4% of the
portfolio in S&P Global Ratings 'CCC' rated assets. Additionally,
the oil and gas and nonferrous metals/mining industries comprised a
relatively limited amount of the portfolio, according to the May
2016 report.
As the deal is currently in its reinvestment phase, S&P's analysis
included a scenario analysis to account for any potential changes
to the portfolio before its expiry.
S&P affirmed its ratings on the class A-1, C, and D notes, which
reflect its belief that the credit support available is
commensurate with the current rating levels.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with S&P's criteria, its cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest and/or
ultimate principal to each of the rated tranches. The results of
the cash flow analysis demonstrated, in S&P's view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with this rating action.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and S&P will take rating actions as it
deems necessary.
CASH FLOW AND SENSATIVITY ANALYSIS
Arrowpoint CLO 2013-1 Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A-1 AAA (sf) AAA (sf) 17.13% AAA (sf)
A-2 AA (sf) AAA (sf) 20.47% AA+ (sf)
B A (sf) AA (sf) 14.68% A+ (sf)
C BBB (sf) A (sf) 13.04% BBB (sf)
D BB (sf) BB+ (sf) 7.74% BB (sf)
(i)The cash flow implied rating considers the actual spread,
coupon, and recovery of the underlying collateral.
(ii)The cash flow cushion is the excess of the tranche break-even
default rate (BDR) above the scenario default rate (SDR) at the
assigned rating for a given class of rated notes using the actual
spread, coupon, and recovery.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated additional
scenarios in which it made negative adjustments of 10% to the
current collateral pool's recovery rates relative to each tranche's
weighted average recovery rate.
S&P also generated other scenarios by adjusting the intra- and
inter-industry correlations to assess the current portfolio's
sensitivity to different correlation assumptions assuming the
correlation scenarios outlined below.
Correlation
Scenario Within industry (%) Between industries
(%)
Below base case 15.0 5.0
Base case 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) AA- (sf) AA+ (sf) A+ (sf)
C A (sf) BBB+ (sf) A- (sf) A+ (sf) BBB (sf)
D BB+ (sf) BB+ (sf) BB+ (sf) BBB- (sf) BB (sf)
DEFAULT BIASING SENSITIVITY
To assess whether the current portfolio has sufficient diversity,
S&P biased defaults on the assets in the current collateral pool
with the highest spread and lowest base-case recoveries.
Spread Recovery
Cash flow compression compression
implied implied implied Final
Class rating rating rating rating
A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2 AAA (sf) AA+ (sf) AA+ (sf) AA+ (sf)
B AA (sf) AA- (sf) A- (sf) A+ (sf)
C A (sf) A- (sf) BBB- (sf) BBB (sf)
D BB+ (sf) BB+ (sf) B+ (sf) BB (sf)
RATINGS RAISED
Arrowpoint CLO 2013-1 Ltd.
Rating
Class To From
A-2 AA+ (sf) AA (sf)
B A+ (sf) A (sf)
RATINGS AFFIRMED
Arrowpoint CLO 2013-1 Ltd.
Class Rating
A-1 AAA (sf)
C BBB (sf)
D BB (sf)
ATRIUM IX: S&P Affirms BB Rating on Class E Notes
-------------------------------------------------
S&P Global Ratings raised its ratings on the class B-1 and B-2
notes from Atrium IX and affirmed its ratings on the class A, C, D,
and E notes. Atrium IX is a U.S. collateralized loan obligation
(CLO) transaction that closed in October 2012 and is managed by
Credit Suisse Asset Management LLC.
The rating actions follow S&P's review of the transaction's
performance using data from the May 2016 trustee report. This
transaction is still in its reinvestment period until February
2017.
As of the May 2016 trustee report, the class A/B
overcollateralization (O/C) ratio has improved to 134.57% from
134.05% as of the May 2013 trustee report, which S&P referenced at
the effective date. The credit quality has improved as the balance
of assets rated 'BB-' and above increased significantly, though the
balance of defaulted and 'CCC' rated assets also increased slightly
to $8.89 million and $28.65 million, respectively. S&P raised its
ratings on the class B-1 and B-2 notes to reflect the increase in
the O/C ratios and improved credit quality. Though the class C, D,
and E notes do pass S&P's cash flow stresses at a higher rating,
S&P affirmed its ratings to maintain cushion as this transaction is
scheduled to continue reinvesting until February 2017.
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
Atrium IX
Cash flow
Previous implied Cash flow Final
Class rating rating (i) cushion (ii) rating
A AAA (sf) AAA (sf) 12.38% AAA (sf)
B-1 AA (sf) AA+ (sf) 13.16% AA+ (sf)
B-2 AA (sf) AA+ (sf) 13.16% AA+ (sf)
C A (sf) AA- (sf) 0.08% A (sf)
D BBB (sf) BBB+ (sf) 6.10% BBB (sf)
E BB (sf) BB+ (sf) 1.40% BB (sf)
(i) The cash flow implied rating considers the actual spread,
coupon, and recovery of the underlying collateral.
(ii) The cash flow cushion is the excess of the tranche break-even
default rate above the scenario default rate at the assigned rating
for a given class of rated notes using the actual spread, coupon,
and recovery.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated additional
scenarios in which it made negative adjustments of 10% to the
current collateral pool's recovery rates relative to each tranche's
weighted average recovery rate.
S&P also generated other scenarios by adjusting the intra- and
inter-industry correlations to assess the current portfolio's
sensitivity to different correlation assumptions assuming the
correlation scenarios outlined below.
Correlation
Scenario Within industry (%) Between industries (%)
Below base case 15.0 5.0
Base case equals rating 20.0 7.5
Above base case 25.0 10.0
10% recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B-1 AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf)
B-2 AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf)
C AA- (sf) A+ (sf) A+ (sf) AA+ (sf) A (sf)
D BBB+ (sf) BBB+ (sf) BBB+ (sf) A (sf) BBB (sf)
E BB+ (sf) BB- (sf) BB (sf) BB+ (sf) BB (sf)
DEFAULT BIASING SENSITIVITY
To assess whether the current portfolio has sufficient diversity,
S&P biased defaults on the assets in the current collateral pool
with the highest spread and lowest base-case recoveries.
Spread Recovery
Cash flow compression compression
implied implied implied Final
Class rating rating rating rating
A AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B-1 AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf)
B-2 AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf)
C AA- (sf) A+ (sf) BBB+ (sf) A (sf)
D BBB+ (sf) BBB+ (sf) BB+ (sf) BB (sf)
E BB+ (sf) BB- (sf) B (sf) BB (sf)
RATINGS LIST
Atrium IX
Rating
Class Identifier To From
A 04964KAA9 AAA (sf) AAA (sf)
B1 04964KAC5 AA+ (sf) AA (sf)
B2 04964KAE1 AA+ (sf) AA (sf)
C 04964KAG6 A (sf) A (sf)
D 04964KAJ0 BBB (sf) BBB (sf)
E 04964LAA7 BB (sf) BB (sf)
BANC OF AMERICA 2005-1: Fitch Affirms D Rating on 9 Tranches
------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Banc of America Commercial
Mortgage Inc. commercial mortgage pass-through certificates, series
2005-1.
KEY RATING DRIVERS
Although the remaining non-distressed classes have increasing
credit enhancement, the affirmations are the result of adverse
selection for the remaining collateral and the uncertainty about
the ultimate resolution of the specially serviced assets. The
transaction is highly concentrated with only four of the original
140 loans remaining, of which two (85% of the pool) are in special
servicing. Fitch modeled losses of 48% of the remaining pool;
expected losses on the original pool balance total 9.8%, including
$149.2 million (6.2% of the original pool balance) in realized
losses to date.
As of the June 2016 distribution date, the pool's aggregate
principal balance has been reduced by 92.6% to $177 million from
$2.4 billion at issuance. No loans are defeased. Interest
shortfalls are currently affecting classes D through P. The two
remaining performing loans mature in May 2018 and February 2020.
The largest specially serviced loan is The Mall at Stonecrest loan
(53%), which is secured by the 396,840 square foot (sf) portion of
a regional mall totalling 1.2 million sf located in Lithonia, GA,
approximately 20 miles east of downtown Atlanta. The loan
transferred to the special servicer in January 2013 for imminent
payment default. Despite the transfer to the special servicer the
loan remains current. The borrower has signed two new leases
including 50,000 sf to Round 1, a bowling alley and arcade venue,
and 20,700 sf to H&M. The collateral consists of a 16-screen AMC
Theater, approximately 140 in-line tenants, a food court, kiosk
space and strip space. As of year-end 2015, the mall had a
collateral occupancy of approximately 88% and a total occupancy of
96%. The year-end 2015 NOI DSCR was 1.20x. The borrower was
approved for a 24-month maturity extension until October 2016 to
allow them to improve the property with additional capital provided
by the sponsors and secure more favorable terms on the take-out
financing.
The second largest specially serviced asset is Indian River Mall &
Commons (32.2% of the pool). The real estate owned (REO) asset is
secured by a 302,456 sf portion of the single-story 748,008 sf
enclosed regional mall and a 132,121 sf portion of the adjacent
260,868 sf power center located in Vero Beach, FL. The loan,
sponsored by Simon Property Group, Inc., transferred to special
servicing in August 2014 and the borrower did not pay off the loan
at the November 2014 maturity. Foreclosure occurred in May 2015.
The overall mall was 88% occupied as of March 2016 and the in-line
tenants and theater were 74% occupied. In fourth quarter 2015, The
Commons, which is the adjacent power center, was separated from the
mall and sold on April 21, 2016. Proceeds from the sale are being
applied as principal paydown to the trust. Discussions are
underway to attempt to renew the anchor tenant, AMC Theater, and
then the mall will be marketed for sale.
RATING SENSITIVITIES
The Negative Outlooks for classes A-J and B reflect the uncertainty
surrounding the The Mall at Stonecrest and The Indian River Mall
and Commons and the possibility of increased losses as the pool is
concentrated. Further downgrades to the remaining classes are
possible should expected losses to the specially serviced loans
increase, or realized losses on either specially serviced asset be
higher than anticipated.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch affirms and revises Outlooks for these classes as indicated:
-- $30.3 million class A-J at 'Asf'; Outlook Negative;
-- $61 million class B at 'Bsf'; Outlook to Negative from
Stable;
-- $20.3 million class C at 'CCsf'; RE 5%;
-- $43.5 million class D at 'Csf'; RE 0%;
-- $20.3 million class E at 'Csf'; RE 0%;
-- $1.7 million class F at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%.
The class A-1, A-2, A-1A, A-3, A-4, A-5, A-SB, FM-A through FM-D,
and SM-A through SM-H certificates have paid in full. Fitch does
not rate class SM-J, class LM, and class P certificates. Fitch
previously withdrew the rating on the interest-only class XW
certificates.
BCAP LLC 2010-RR4-II: S&P Lowers Rating on 4 Classes to BB+
-----------------------------------------------------------
S&P Global Ratings completed its review of 15 classes from BCAP LLC
2010-RR4-II Trust, a U.S. residential mortgage-backed securities
(RMBS) resecuritized real estate mortgage investment conduit
(re-REMIC) transaction backed by alternative-A mortgage loan
collateral. S&P lowered its ratings on four of the classes and
restated the CreditWatch negative placements on all 15 ratings.
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/RATINGS REMAINING ON CREDITWATCH NEGATIVE
S&P lowered its ratings on four classes due to deteriorated
collateral performance in the underlying transaction, among other
reasons. These ratings will also remain on CreditWatch negative.
Additionally, the remaining 11 ratings will also remain on
CreditWatch negative.
S&P initially placed all 15 ratings on CreditWatch negative on Nov.
25, 2015. At that time, S&P was seeking clarity from the trustee
(Deutsche Bank) on the difference in the way it was allocating
losses on these classes from the way the transaction documents
(based on S&P's interpretation) outlined the proper loss allocation
sequence. In S&P's view, an allocation of losses according to the
transaction documents would negatively affect the ratings on these
classes.
The trustee has in the past allocated the realized losses between
the subgroup III-1 certificates and the subgroup III-2
certificates, which include the 15 affected classes in this review,
sequentially, with such losses allocated to the subgroup III-1
certificates first before subgroup III-2 (in reverse order of
priority to the most junior class of certificates first and the
most senior class of certificates last). S&P believed this was
inconsistent with the pro rata allocation of losses between the two
groups dictated by the transaction documents.
Following S&P's Nov. 25, 2015, CreditWatch placements, the trustee
filed a petition seeking court instructions on the appropriate
method for allocating losses between the subgroup III-1 and
subgroup III-2 certificates. The trustee has since placed all
distributions to the class III-2-A8 and III-2-A12 certificate
holders in escrow. In its petition, the trustee also requested
that the expenses it incurred from its legal action be reimbursed
as an extraordinary trust expense.
A ruling by the court that losses between the subgroup III-1 and
subgroup III-2 certificates should be allocated pro rata according
to the transaction documents and/or that the trustee is entitled to
reimbursement of its legal expenses may have a negative impact on
our ratings on these classes. S&P is therefore keeping its ratings
on all of the classes on CreditWatch with negative implications.
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;
-- An inflation rate of 1.8% in 2016; and
-- An average 30-year fixed mortgage rate of about 4.1% in
2016.
S&P's outlook for RMBS is stable. Although S&P views overall
housing fundamentals positively, it believes RMBS fundamentals
still hinge on additional factors, such as the ultimate fate of
modified loans, the propensity of servicers to advance on
delinquent loans, and liquidation timelines.
Under S&P's baseline economic assumptions, it expects RMBS
collateral quality to improve. However, if the U.S. economy were
to become stressed in line with S&P Global Ratings' 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.
RATINGS LOWERED AND REMAINING ON CREDITWATCH NEGATIVE
BCAP LLC 2010-RR4-II Trust Series 2010-RR4-II
Rating
Class CUSIP To From
III-A5 05532XEB5 BB+ (sf)/Watch Neg A (sf)/Watch Neg
III-1-A10 05532XDC4 BB+ (sf)/Watch Neg A (sf)/Watch Neg
III-1-A5 05532XCX9 BB+ (sf)/Watch Neg A (sf)/Watch Neg
III-A10 05532XEG4 BB+ (sf)/Watch Neg A (sf)/Watch Neg
RATINGS REMAINING ON CREDITWATCH NEGATIVE
BCAP LLC 2010-RR4-II Trust Series 2010-RR4-II
Class CUSIP Rating
III-2-A7 05532XDP5 BBB (sf)/Watch Neg
III-1-A3 05532XCV3 AA (sf)/Watch Neg
III-1-A9 05532XDB6 AA (sf)/Watch Neg
III-2-A10 05532XDS9 A (sf)/Watch Neg
III-A1 05532XDX8 AAA (sf)/Watch Neg
III-A9 05532XEF6 AA (sf)/Watch Neg
III-2-A11 05532XDT7 BBB (sf)/Watch Neg
III-1-A1 05532XCT8 AAA (sf)/Watch Neg
III-A3 05532XDZ3 AA (sf)/Watch Neg
III-2-A8 05532XDQ3 BBB (sf)/Watch Neg
III-2-A5 05532XDM2 A (sf)/Watch Neg
BCC FUNDING 2015-1: DBRS Confirms B(sf) Rating on Class F Notes
---------------------------------------------------------------
DBRS, Inc. confirmed six classes of BCC Funding X LLC Equipment
Contract Backed Notes, Series 2015-1, a publicly rated U.S.
structured finance asset-backed security. The six classes were
confirmed as credit enhancement levels are sufficient to cover
DBRS’s expected losses at their current respective rating levels.
In addition, one publicly rated class reviewed was discontinued due
to full repayment.
The DBRS ratings are based on its review of the following
analytical considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- The transaction parties' capabilities with regard to
origination, underwriting and servicing.
-- Credit quality of the collateral pool and historical
performance.
The confirmation of the outstanding ratings of BCC Funding X LLC
Equipment Contract Backed Notes, Series 2015-1 reflects the current
credit enhancement levels provided by subordination, the Reserve
Account and overcollateralization. As of the May 2016 payment date,
the cumulative net loss ratio was 0.94% of the original collateral
balance.
BCC Funding X LLC Equipment Contract Backed Notes
Series 2015-1
Confirmed
Class Rating
----- ------
A-2 Notes AAAsf
B Notes AAsf
C Notes Asf
D Notes BBBsf
E Notes BBsf
F Notes Bsf
A-1 Notes Discontinued-repaid
BENEFIT STREET IX: S&P Assigns Prelim. BB Rating on Cl. E Certs
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Benefit
Street Partners CLO IX Ltd./Benefit Street Partners CLO IX LLC's
$370.00 million fixed- and floating-rate notes.
The note issuance is backed by broadly syndicated speculative-grade
senior secured term loans.
The preliminary ratings are based on information as of June 16,
2016. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term
loans that are governed by collateral quality tests. The
credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect
the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading. The
transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
Benefit Street Partners CLO IX Ltd./Benefit Street Partners CLO IX
LLC
Class Rating Amount
(mil. $)
X AAA (sf) 2.00
A AAA (sf) 254.00
B-1 AA (sf) 25.00
B-2 AA (sf) 25.00
C (deferrable) A (sf) 24.00
D (deferrable) BBB (sf) 20.00
E (deferrable) BB (sf) 20.00
Subordination notes NR 40.00
NR--Not rated.
BLADE ENGINE 2006-1: S&P Puts Cl. B Notes' B- Rating on Watch Neg.
------------------------------------------------------------------
S&P Global Ratings placed its ratings on Blade Engine
Securitization Ltd.'s series 2006-1 class A-1, A-2, and B notes on
CreditWatch with negative implications. The transaction is
collateralized primarily by the lease revenue and sales proceeds
from a commercial aircraft engine portfolio.
The CreditWatch negative placements primarily reflect the rated
notes' increased loan-to-value (LTV) ratio as a result of the
further value deterioration of the aircraft engines.
The aircraft engine portfolio consisted of 37 engines as of June
2016. The majority of the engines are powered on end-of-production
aircraft, which typically diminishes the engines' re-leasing and
sale prospects.
S&P will resolve the CreditWatch negative placements following the
completion of a comprehensive review of the transaction.
RATINGS PLACED ON WATCH NEGATIVE
Blade Engine Securitization Ltd.
Series 2006-1
Rating
Class To From
A-1 BB (sf)/Watch Neg BB (sf)
A-2 BB (sf)/Watch Neg BB (sf)
B B- (sf)/Watch Neg B- (sf)
BLEECKER STRUCTURED: Moody Hikes Ratings on 2 Tranches to Caa2
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on notes issued
by Bleecker Structured Asset Funding, Ltd.:
$45,000,000 Class A-1 First Priority Senior Secured Floating
Rate Notes Due 2035 (current outstanding balance of
$805,777.94), Upgraded to Caa2 (sf); previously on April 22,
2009, Downgraded to Ca (sf);
$315,000,000 Class A-2 First Priority Senior Secured Floating
Rate Notes Due 2035 (current outstanding balance of
$5,640,445.58), Upgraded to Caa2 (sf); previously on April 22,
2009, Downgraded to Ca (sf);
Bleecker Structured Asset Funding, Ltd, issued in March 2000, is a
collateralized debt obligation backed primarily by a portfolio of
RMBS and ABS originated in 1998 to 2002.
RATINGS RATIONALE
These rating actions are due primarily to the deleveraging of the
senior notes and an increase in the transaction's
over-collateralization ratios since July 2015. The Class A-1 and
Class A-2 notes have been paid down collectively by approximately
19.5% or $1.60 million, since then. Based on Moody's calculation,
the over-collateralization ratio of the Class A notes is currently
158.2%. The paydown of the Class A-1 and A-2 notes is partially
the result of interest payments/principal prepayments from certain
assets treated as defaulted by the trustee in amounts materially
exceeding expectations. Accordingly, we have assumed the deal will
continue to benefit from cashflows of these securities.
The trustee reported that, on Aug. 31, 2003, the transaction
experienced an "Event of Default" due to the failure, on the Aug.
31, 2003, Measurement Date, to cause the sum of (a) the Aggregate
Principal Balance of all Collateral Debt Securities (other than
Defaulted Securities and Deferred Interest PIK Bonds) on such
Measurement Date plus (b) with respect to each Defaulted Security
or Deferred Interest PIK Bond, the Calculation Amount of such
Defaulted Security or Deferred Interest PIK Bond to be at least
equal to the Aggregate Outstanding Amount of the Rated Notes on
such Measurement Date. The Event of Default continues.
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:
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: Primary causes of uncertainty
about assumptions are the extent of any deterioration in
either consumer or commercial credit conditions and in the
residential real estate property markets. The residential
real estate property market's uncertainties include housing
prices; the pace of residential mortgage foreclosures, loan
modifications and refinancing; the unemployment rate; and
interest rates.
2) Deleveraging: One source of uncertainty in this transaction
is whether deleveraging from principal proceeds, recoveries
from defaulted assets, and excess interest proceeds will
continue and at what pace. Faster than expected deleveraging
could have a significantly positive impact on the notes'
ratings.
3) Recovery of defaulted assets: The amount of recoveries
received from defaulted assets reported by the trustee and
those that Moody's assumes as having defaulted as well as the
timing of these recoveries create additional uncertainty.
Moody's analyzed defaulted assets assuming limited
recoveries, and therefore, realization of any recoveries
exceeding Moody's expectation in the future would positively
impact the notes' ratings.
4) 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 Caa1 or lower,
especially if they jump to default.
Loss and Cash Flow Analysis:
Moody's applies a Monte Carlo simulation framework in Moody's
CDOROM to model the loss distribution for SF CDOs. The simulated
defaults and recoveries for each of the Monte Carlo scenarios
define the reference pool's loss distribution. Moody's then uses
the loss distribution as an input in the CDOEdge cash flow model.
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. 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):
Caa1 and below ratings notched up by two rating notches (2975):
Class A-1: +3
Class A-2: +3
Class B: 0
Class C: 0
Caa1 and below ratings notched down by two notches (6405):
Class A-1: -3
Class A-2: -3
Class B: 0
Class C: 0
BUSINESS MORTGAGE 6: Moody's Lowers Cl. M1 Notes Rating to Caa3
---------------------------------------------------------------
Moody's Investors Service has upgraded 4, affirmed 5 and downgraded
2 classes of UK SME notes issued by Business Mortgage Finance 3
PLC, 4 PLC and 6 PLC.
Issuer: Business Mortgage Finance 3 PLC (BMF 3)
GBP42.5 mil. M Notes, Affirmed Aa2 (sf); previously on Aug. 14,
2015, Upgraded to Aa2 (sf)
GBP9.5 mil. B1 Notes, Upgraded to A2 (sf); previously on
Aug. 14, 2015, Confirmed at Baa3 (sf)
EUR8 mil. B2 Notes, Upgraded to A2 (sf); previously on
Aug. 14, 2015, Confirmed at Baa3 (sf)
Issuer: Business Mortgage Finance 4 PLC (BMF 4)
GBP41.25 mil. Notes, Upgraded to Aa2 (sf); previously on
Aug. 14, 2015, Upgraded to A1 (sf)
GBP15 mil. B Notes, Upgraded to B1 (sf); previously on Aug. 14,
2015, Upgraded to Caa1 (sf)
Issuer: Business Mortgage Finance 6 PLC (BMF 6)
GBP106 mil. A1 Notes, Affirmed Aa2 (sf); previously on Aug. 14,
2015, Upgraded to Aa2 (sf)
GBP A1 DAC Notes, Affirmed Aa2 (sf); previously on Aug. 14,
2015, Upgraded to Aa2 (sf)
EUR400.7 mil. A2 Notes, Affirmed Aa2 (sf); previously on
Aug. 14, 2015, Upgraded to Aa2 (sf)
EURA2 DAC Notes, Affirmed Aa2 (sf); previously on Aug. 14, 2015,
Upgraded to Aa2 (sf)
GBP38 mil. M1 Notes, Downgraded to Caa3 (sf); previously on
Aug. 14, 2015, Upgraded to Caa1 (sf)
EUR55.6 mil. M2 Notes, Downgraded to Caa3 (sf); previously on
Aug. 14, 2015, Upgraded to Caa1 (sf)
Business Mortgage Finance 3 PLC (BMF 3), Business Mortgage Finance
4 PLC (BMF 4), and Business Mortgage Finance 6 PLC (BMF 6) are
securitisations of non-conforming commercial mortgage loans
originated and brought to market in the period 2005-2007. The
loans were originated by Commercial First Mortgages Limited and
Commercial First Business Limited and are secured on commercial,
quasi-commercial or, in limited cases, residential properties
located throughout the UK. The transactions were structured with a
detachable A coupon (DAC) ranking pari-passu with Class A
interest.
RATINGS RATIONALE
The rating action is prompted by:
BMF 3:
-- Deal deleveraging resulting in an increase in credit
enhancement for the affected tranches.
BMF 4:
-- Deal deleveraging resulting in an increase in credit
enhancement for the Class M Notes.
-- The repayment of the Class A notes in the period since
August 2015 creating an interest liquidity coverage benefit
to the subordinate notes.
BMF 6:
-- Deal deleveraging resulting in a slight credit enhancement
benefit to the senior notes.
-- Build up in principal deficiency leading to a deterioration
in the level of credit enhancement of the subordinate notes.
The ratings of the notes of all transactions are capped at Aa2 (sf)
due to an Operational Risk assessment of the unrated Servicer and
Back-Up Servicer.
The rating actions primarily result from the collateral performance
of the individual deals and a review of the interest cashflow
coverage available to each transaction. However, the rating
actions also take into account corrections to the modeling of the
coupon payments in the Business Mortgage Finance transactions.
Moody's review of the transactions in August 2015 did not consider
payments on the DAC notes and incorrectly included the non-rated
and subordinated step up interest payments on the Notes. Moody's
has now corrected these errors and today's rating actions reflect
these changes.
Revision of Key Collateral Assumptions:
As part of the rating action, Moody's reassessed its expected loss
(EL) assumptions for the portfolios reflecting their respective
collateral performance to date. The EL for each transaction was
derived by applying a loss severity assumption to the assumed
default probability obtained as per Moody's ABS SME methodology.
BMF 3
90+ day delinquencies have improved to 17.1% in May 2016 from 25.4%
in August 2015 and the Reserve Fund has become fully funded as of
May 2016. Credit enhancement (CE) of the Class M notes has
improved to 69.7% in May 2016 from 63.5% in August 2015, whilst for
the pari-passu Class B1 and B2 Notes the CE has improved to 32.5%
from 29.6%.
Moody's has maintained its EL assumption on the original balance of
8.41% and adjusted its EL on the current balance to 14.12%. The
coefficient of variation (CoV) now stands at 35.09% with the PCE at
40.00%.
BMF 4
90+ day delinquencies have improved to 10.5% in May 2016 from 12.8%
in August 2015. The Reserve Fund remains severely depleted as of
May 2016. CE of the Class M notes has improved to 38.2% in May
2016 from 35.2% in August 2015, whilst for Class B Notes the CE now
stands at 12.6%.
Moody's has maintained its EL assumption on the original balance of
15.06% and adjusted its EL on the current balance to 21.89%. The
CoV now stands at 27.03% with the PCE at 50.00%.
BMF 6
90+ day delinquencies have improved to 11.0% in May 2016 from 15.2%
in August 2015. The balance of the PDL account stands at GBP36.97
mil. in May 2016, up from GBP 33.21 mil. in August 2015 and the
Reserve Fund remains completely depleted as of May 2016. CE of the
pari-passu Class A1 and A2 Notes has improved to 36.6% in May 2016
from 35.7% in August 2015. The Class M CE has improved to 11.1% in
May 2016 from 4.4% in August 2015. As a whole, however, the deal
is undercollateralised as a result of prior collateral defaults.
For example, the Class B2 Notes (C (sf)) have a reported credit
enhancement of -8.7% (May 2016)
from -6.6% (August 2015).
Moody's has maintained its EL assumption on the original balance of
22.94% and adjusted its EL on the current balance to 11.58%. The
CoV now stands at 43.22% with the PCE at 40.0%.
Moody's considered how the liquidity available in the transactions
and other mitigants support continuity of note payments in case of
servicer default. The Servicer and the Originators in the
transactions are unrated, and Moody's considers that the current
back-up servicing arrangements with an unrated back-up servicer
(BUS) only partially mitigates the operational risk of the deals
and results in a rating constraint on the ratings in the BMF
transactions. Moody's applies a cap of Aa2 (sf) on the maximum
achievable ratings in these transactions.
In addition, Moody's has taken into account one month of
commingling risk in its analysis.
The principal methodology used in these ratings was "Moody's Global
Approach to Rating SME Balance Sheet Securitizations" published in
October 2015.
Factors that would lead to an upgrade or downgrade of the ratings:
Factors or circumstances that could lead to an upgrade of the
ratings include:
(1) Performance of the underlying collateral that is better than
Moody's expected; (2) deleveraging of the capital structure; and
(3) improvements in the credit quality of the transaction
counterparties.
Factors or circumstances that could lead to a downgrade of the
ratings include: (1) An increase in sovereign risk; (2) performance
of the underlying collateral that is worse than Moody's expected;
(3) deterioration in the notes' available credit enhancement; and
(4) deterioration in the credit quality of the transaction
counterparties.
CABELA 2016-I: Fitch to Rate Class D Debt 'BB-sf'
-------------------------------------------------
Fitch Ratings expects to assign the following ratings to Cabela's
Credit Card Master Note Trust's asset-backed notes, series 2016-I:
-- $TBD class A-1 fixed-rate 'AAAsf'; Outlook Stable;
-- $TBD class A-2 floating-rate 'AAAsf'; Outlook Stable;
-- $32,000,000 class B fixed-rate 'Asf'; Outlook Stable;
-- $17,000,000 class C fixed-rate 'BBB-sf'; Outlook Stable;
-- $11,000,000 class D fixed-rate 'BB-sf'; Outlook Stable.
KEY RATING DRIVERS
Fitch's expected ratings are based on the underlying receivables
pool; available credit enhancement; World's Foremost Bank's
underwriting and servicing capabilities; and the transaction's
legal and cash flow structures, which employ early redemption
triggers.
The transaction structure is similar to series 2015-II, with credit
enhancement totaling 15% for class A, credit enhancement of 7% for
the class B, credit enhancement of 2.75% plus an amount from a
spread account for the class C, and credit enhancement of an amount
from a spread account for the class D notes only.
RATING SENSITIVITIES
Fitch models three different scenarios when evaluating the rating
sensitivity compared to expected performance for credit card
asset-backed securities transactions: 1) increased defaults; 2) a
reduction in monthly payment rate (MPR), and 3) a combination
stress of higher defaults and lower Monthly Payment Rate (MPR).
Increasing defaults alone has the least impact on rating migration
even in the most severe scenario of a 75% increase in defaults. The
rating sensitivity to a reduction in MPR is more pronounced with a
moderate stress, of a 25% reduction, leading to possible downgrades
across all classes. The harshest scenario assumes both stresses
occur simultaneously. The severe stress could lead to more drastic
downgrades to all classes.
To date, the transaction has exhibited strong performance with all
performance metrics within Fitch's initial expectations. For
further discussion of Fitch's sensitivity analysis, please see the
presale report related to the transaction listed above.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
CEDAR FUNDING V: S&P Assigns BB- Rating on Class E Notes
--------------------------------------------------------
S&P Global Ratings assigned its 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 ratings reflect:
-- The credit enhancement provided to the rated notes through
the subordination of cash flows that are payable to the
subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(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 (i.e., loans rated 'BB+' or lower).
-- The collateral manager's experienced management team.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the rated notes, which S&P assessed
using its cash flow analysis and assumptions commensurate
with the assigned ratings under various interest rate
scenarios, including LIBOR ranging from 0.3439% 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.
RATINGS ASSIGNED
Cedar Funding V CLO Ltd./Cedar Funding V CLO LLC
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
Sub notes NR 28.650
NR--Not rated.
CFIP CLO 2013-1: S&P Affirms BB Rating on Class E Notes
-------------------------------------------------------
S&P Global Ratings affirmed its ratings on the class A, B, C, D,
and E notes from CFIP CLO 2013-1 Ltd., a U.S. collateralized loan
obligation (CLO) managed by Chicago Fundamental Investment Partners
LLC.
The rating actions follow S&P's review of the transaction's
performance using data from the April 30, 2016, trustee report.
According to the report, the overcollateralization (O/C) ratios
have increased for each class since S&P's September 2013 rating
affirmations:
-- Class A/B O/C increased to 133.41% from 132.20%.
-- Class C O/C increased to 121.38% from 120.28%.
-- Class D O/C increased to 114.74% from 113.70%.
-- Class E O/C increased to 109.01% from 108.08%.
The affirmed ratings reflect adequate credit support at the current
rating levels. Although the cash flow results showed higher
ratings for the class B, C, D, and E notes, there has been some
deterioration in the portfolio's credit quality as the balance of
'CCC' rated assets has increased to $28.07 million as of the April
2016 trustee report from $13 million as of the May 2013 trustee
report, which S&P used in its effective date analysis. This
transaction is still in its reinvestment period, which is scheduled
to end in April 2017. Future reinvestments could change some of
the portfolio characteristics. To address this, S&P considered
other stress tests to allow for volatility in the underlying
portfolio.
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
CFIP CLO 2013-1 Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A AAA (sf) AAA (sf) 8.58% AAA (sf)
B AA (sf) AA+ (sf) 12.10% AA (sf)
C A (sf) AA- (sf) 0.59% A (sf)
D BBB (sf) A- (sf) 0.13% BBB (sf)
E BB (sf) BB+ (sf) 4.48% 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 20.0 7.5
Above base case 25.0 10.0
Recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA (sf)
C AA- (sf) A+ (sf) A+ (sf) AA+ (sf) A (sf)
D A- (sf) BBB+ (sf) BBB+ (sf) A (sf) BBB (sf)
E BB+ (sf) BB- (sf) BB+ (sf) 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 AA+ (sf) AA+ (sf) AA (sf) AA (sf)
C AA- (sf) BBB+ (sf) BBB+ (sf) A (sf)
D A- (sf) BB+ (sf) BB+ (sf) BBB (sf)
E BB+ (sf) B (sf) B (sf) BB (sf)
RATINGS AFFIRMED
CFIP CLO 2013-1 Ltd.
Class Rating
A AAA (sf)
B AA (sf)
C A (sf)
D BBB (sf)
E BB (sf)
CITIGROUP 2014-GC23: Fitch Affirms B- Rating on Class F Certs
-------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of Citigroup Commercial
Mortgage Trust (CGCMT) commercial mortgage pass-through
certificates, series 2014-GC23.
KEY RATING DRIVERS
The affirmations are due to overall stable performance. This
stable performance reflects no material changes to pool metrics
since issuance, therefore the original rating analysis was
considered in affirming the transaction. As of the June 2016
distribution date, the pool's aggregate principal balance has been
reduced by 1.2% to $1.22 billion from $1.23 billion at issuance. No
loans are defeased. Fitch has designated three loans (5.1%) as
Fitch Loans of Concern, which does not include any specially
serviced loans. Interest shortfalls are currently affecting class
G.
The largest loan in the pool is the 28-40 West 23rd Street loan
(11.5%), secured by a 571,205 square foot (sf) mixed-use property
located in the Chelsea neighborhood of Manhattan. The subject
includes 452,705 sf of office space and 118,500 sf of retail space,
which is fully occupied by Home Depot (rated 'A' by Fitch). The
servicer reported net operating income (NOI) debt service coverage
ratio (DSCR) increased to 3.95x as of year-end (YE) 2015 from 3.05x
as of YE 2014. Occupancy at the property has been 100% since
issuance.
The largest Fitch Loan of Concern is the NorthCross Shopping Center
loan (3.2%), secured by a shopping center located in Huntersville,
NC. The subject is 498,465 sf (382,829 sf of collateral) and is
anchored by Lowe's, Harris Teeter, and Kohl's (rated 'BBB' by
Fitch). While occupancy has held steady at 99% since issuance, the
property has a high percentage (47% of NRA) of leases rolling in
the next two years. Fitch will continue to monitor the loan for
leasing updates.
The next largest Fitch Loan of Concern (1.0%) is secured by a
portfolio of two multifamily properties located in Houston, TX.
According to the master servicer, occupancy has dropped 18% since
issuance at one of the two properties as a result of several major
deferred maintenance issues. The drop in occupancy caused the
portfolio to underperform and fail DSCR tests administered by the
master servicer. Failure of the DSCR tests have led to the
property currently being cash managed. Fitch will continue to
monitor the loan for further declines in performance and updates on
repairs.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset level event changes the transaction's overall
portfolio-level metrics.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch affirms these classes as indicated:
-- $35.2 million class A-1 at 'AAAsf'; Outlook Stable;
-- $85.8 million class A-2 at 'AAAsf'; Outlook Stable;
-- $300 million class A-3 at 'AAAsf'; Outlook Stable;
-- $345.2 million class A-4 at 'AAAsf'; Outlook Stable;
-- $81.8 million class A-AB at 'AAAsf'; Outlook Stable;
-- $943.5 million* class X-A at 'AAAsf'; Outlook Stable;
-- $129.3 million* class X-B at 'A-sf'; Outlook Stable
-- $95.5 million class A-S at 'AAAsf'; Outlook Stable;
-- $80.1 million class B at 'AAsf'; Outlook Stable;
-- $49.3 million class C at 'A-sf'; Outlook Stable;
-- $224.8 million class PEZ at 'A-sf'; Outlook Stable;
-- $24.6 million* class X-C at 'BB-sf'; Outlook Stable;
-- $64.7 million class D at 'BBB-sf'; Outlook Stable;
-- $24.6 million class E at 'BB-sf'; Outlook Stable;
-- $9.2 million class F at 'B-sf'; Outlook Stable.
*Notional and interest-only.
Fitch does not rate the class G or X-D certificates. The class
A-S, class B and class C certificates may be exchanged for class
PEZ certificates, and class PEZ certificates may be exchanged for
the class A-S, class B and class C certificates.
CMLS ISSUER 2014-1: DBRS Reviews Class G Notes Under Review
-----------------------------------------------------------
DBRS, Inc. placed the following class of CMLS Issuer Corp. under
review with negative implications:
CMLS Issuer Corp.
Commercial Mortgage Pass-Through Certificates
Series 2014-1
Debt Rating
---- ------
Class G Notes B(sf)
DBRS has placed Class G Under Review with Negative Implications due
to concerns and uncertainties surrounding the Clearwater Suites
loan (Prospectus ID#9, 3.5% of the current pool balance) with the
collateral property's decline in performance in 2015 and in light
of the recent wildfire activity in Fort McMurray, where the
property is located. The subject loan represents the $10.0 million
A-1 non-controlling pari passu note of the $33 million whole loan
balance; the $23.0 million A-2 controlling note is secured in the
CCMOT 2015-3 transaction, also rated by DBRS.
Clearwater Suites is a 150-unit full-service hotel located in Fort
McMurray, Alberta, approximately 17 kilometers from Fort McMurray
International Airport, within the city's downtown core. The area
has recently sustained widespread damage as a result of a wildfire
that broke out in early May 2016. According to an update provided
in early May 2016, the servicer indicated that the hotel had not
been physically impacted by the wildfire; however, the property's
website confirms that the subject remains closed until access to
the area is provided by the regional authorities. Based on the most
recent maps detailing affected areas provided the various news
sources, it appears that the subject property falls outside of
those areas reported to have sustained significant damage. All
residents and workers have been evacuated from the area, and the
government is expected to allow re-entry beginning June 1, 2016.
In addition to the issues caused by the wildfire, the property’s
performance has shown a steady decline in the last year. Revenues
have adversely been affected by the downturn in the oil industry,
upon which the area is heavily reliant for jobs and residents. In
November 2015, DBRS confirmed all ratings for the subject
transaction, noting that the cash flow declines for the subject
property were taken into account with an updated DBRS UW NCF
derived in conjunction with the analysis for the CCMOT 2015-3
transaction, which closed in late September 2015. The updated DBRS
UW NCF figure showed a decline from the previous UW figure of $4.1
million to $3.0 million, a 39.8% decline and representative of a
1.15 times (x) debt service ratio coverage (DSCR), as compared with
the previously UW coverage of 1.61x. However, according to the
year-end 2015 financials, cash flows fell even further by the end
of the year, with a DSCR of 0.86x, down from 1.69x at YE2014. As of
December 2015, the property had a year-to-date occupancy rate of
54.1%, an average daily rate (ADR) of $193.89, and a revenue per
available room rate (RevPAR) of $104.88, respectively, compared to
70.1%, $212.17, and $148.67 as of December 2014, respectively.
Compounding the increased risk with the performance decline is the
likelihood that any business interruption coverage (should it be
required in the event the property's operations are affected by the
wildfire activity) would be limited to providing relief to the most
recent cash flows achieved over a specified period. However, if the
property’s operations are not affected by the fires, DBRS
believes there will be a short to middle-term benefit to the
property, as displaced residents and workers in the area for
reconstruction will need temporary and transient housing.
Sustaining improved occupancy rates, however, would be dependent on
the ability of the oil industry to rebound. As the situation is
ongoing, the extent of the impact to the subject property is
unknown at this time. DBRS will continue to monitor as information
is received and the property's operational status is confirmed.
COLT 2016-1: Fitch Assigns BB Rating on Class M-1 Certificates
--------------------------------------------------------------
Fitch Ratings assigns these ratings to COLT 2016-1 Mortgage Loan
Trust (COLT 2016-1) as:
-- $89,424,000 class A-1 certificates 'Asf'; Outlook Stable;
-- $89,424,000 class A-1X certificates 'Asf'; Outlook Stable;
-- $48,351,000 class A-2 certificates 'BBBsf'; Outlook Stable;
-- $48,351,000 class A-2X certificates 'BBBsf'; Outlook Stable;
-- $9,056,000 class M-1 certificates 'BBsf'; Outlook Stable.
Fitch does not rate thess certificates:
-- $14,877,659 class M-2 certificates.
This is the first Fitch-rated RMBS transaction issued post-crisis
that consists primarily of newly originated, non-prime mortgage
loans. All of the mortgage loans were originated by Caliber Home
Loans, Inc.. The transaction is collateralized with 51%
non-qualified (Non-QM) mortgages as defined by the Ability to Repay
(ATR) rule while 41% is designated as Higher Priced-QM and the
remainder either meets the criteria for Safe Harbor QM or ATR does
not apply. Due to Caliber's limited performance history of
non-prime loans, Fitch capped the highest achievable rating at
'Asf'.
The certificates are supported by a pool of 368 mortgage loans with
credit scores (701) similar to legacy Alt-A collateral. However,
unlike legacy originations, the loans were underwritten to
comprehensive Appendix Q documentation standards and 100% due
diligence was performed confirming adherence to the guidelines.
Fitch also notes Caliber's sound operational controls, which are
expected to result in better loan performance than pre-crisis loans
with similar reported attributes. The weighted average loan-to
value ratio is roughly 79%, and many of the borrowers have
significant liquid reserves. The transaction also benefits from an
alignment of interest as LSRMF Acquisitions I or a majority owned
affiliate, affiliates of Caliber, will be retaining a 5% vertical
interest in the offered certificates as part of risk retention
requirements.
Fitch applied a default penalty to 47% of the pool to account for
borrowers with a mortgage derogatory as recent as two years prior
to obtaining the new mortgage; increased its non-QM loss severity
penalty to account for potentially greater number of challenges to
the ATR Rule; and applied a loan concentration penalty due to the
large loan balances that make up 25% of the pool by dollar amount
but just 7% by count.
Initial credit enhancement for the class A-1 certificates of 44.7%
is substantially above Fitch's 'Asf' rating stress loss of 19.50%.
The additional initial credit enhancement is primarily driven by
the pro rata principal distribution between the A-1 and A-2
certificates, which will result in a significant reduction of the
class A-1 subordination over time through principal payments to the
A-2. The certificate sizing also reflects the allocation of
collateral principal to pay only principal on the certificates and
collateral interest to pay only certificate interest. Both of
these features resulted in higher initial subordination to ensure
that principal and ultimate interest (with interest accrued on
deferred amounts) are paid in full by maturity under each class's
respective rating stress scenario.
KEY RATING DRIVERS
New Asset Class (Concern): Due to the limited non-prime performance
to date of the asset manager, Hudson Americas L.P. (Hudson), and
originator of the loans, Caliber, Fitch capped the highest possible
initial rating at 'Asf'. As more post-crisis non-prime performance
history is established while upholding appropriate underwriting and
operational controls, Fitch will consider a higher rating in the
future.
Non-Prime Credit Quality (Concern): The credit scores (on average,
701) resemble legacy Alt-A collateral and the pool was analyzed
using Fitch's Alt-A model with positive adjustments made to account
for the improved operational quality, due diligence review, and
presence of liquid reserves, and negative adjustments to reflect
the concentration of borrowers (47%) with recent credit events,
increased risk of ATR rule challenges and loans with TILA RESPA
Integrated Disclosure (TRID) exceptions.
Appendix Q Compliant (Positive): Although not required for Non-QM,
all loans in the mortgage pool were underwritten to the
comprehensive Appendix Q documentation standards defined by ATR.
While a due diligence review identified roughly 10% of loans as
having minor variations to Appendix Q and would therefore not meet
the documentation standards for QM, Fitch views those differences
as immaterial and all loans as having full income documentation.
Operational and Data Quality (Positive): Fitch reviewed Caliber's
and Hudson's origination and acquisition platforms and found them
to have sound underwriting and operational control environments,
reflecting industry improvements following the financial crisis
that are expected to reduce risk related to misrepresentation and
data quality. All loans in the mortgage pool were reviewed by a
third party due diligence firm and the results indicated strong
underwriting and property valuation controls.
Alignment of Interests (Positive): The transaction benefits from an
alignment of interests between the issuer and investors. LSRMF
Acquisition I, LLC as sponsor and securitizer will be retaining at
least a 5% vertical interest in each class of offered certificates.
In addition, the mezzanine certificates, representing 14.80% of
the transaction will be retained by LSRMF, or an affiliate, as part
of its focus on investing in residential mortgage credit. Lastly,
the rep and warranties provided by Caliber, which is owned by LSRMF
affiliates, also aligns the interest of the investors with those of
LSRMF to maintain high quality origination standards and sound
performance, as Caliber will be obligated to repurchase loans due
to rep breaches.
Modified Sequential Payment Structure (Mixed): The structure
distributes collected principal pro rata among the class A
certificates while shutting out the subordinate certificates from
principal until both classes have been reduced to zero. To the
extent that either the Cumulative Loss Trigger Event or the Credit
Enhancement Trigger Event fail in a given period, principal will be
distributed sequentially to the A-1 and A-2 bonds until they are
reduced to zero.
Servicing and Master Servicer (Positive): Servicing will be
performed by Caliber, which Fitch rates 'RPS2-'/Outlook Negative,
due to its fast growing portfolio and regulatory scrutiny. Wells
Fargo, rated 'RMS1'/Outlook Stable, will act as master servicer and
securities administrator. Advances required but not paid by
Caliber will be paid by Wells Fargo.
RATING SENSITIVITIES
Fitch's analysis incorporates a sensitivity analysis to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at the MSA level. The implied rating sensitivities
are only an indication of some of the potential outcomes and do not
consider other risk factors that the transaction may become exposed
to or may be considered in the surveillance of the transaction.
Two sets of sensitivity analyses were conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20%, and 30%, in addition to the
model projected 7.2%. The analysis indicates that there is some
potential rating migration with higher MVDs, compared with the
model projection.
Fitch also conducted sensitivities to determine the stresses to
MVDs that would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'.
DUE DILIGENCE USAGE
Fitch was provided with due diligence information from AMC
Diligence, LLC (AMC) on 100% of the loans in the collateral pool.
Fitch received certifications indicating that the loan-level due
diligence was conducted in accordance with its published standards
for reviewing loans and in accordance with the independence
standards outlined in its criteria. The diligence results showed
minimal findings with some nonmaterial exceptions or waivers. In
addition, AMC identified 50 loans as having TRID errors, 38 of
which were identified as potentially at risk for statutory damages.
Fitch increased its loss severity as described below in criteria
application to account for this risk. All such findings were
sufficiently mitigated with compensating factors. Fitch believes
the overall results of the review generally reflected strong
underwriting controls.
CRITERIA APPLICATION
A variation was made to Fitch's 'U.S. RMBS Loan Loss Model
Criteria' in regards to treatment of loans with prior credit
events. Historical data suggests that borrowers with similar
credit scores as those in the pool are nearly 20% more likely to
default on a future mortgage, as compared to all outstanding
borrowers, if they had a prior mortgage related credit event. This
adjustment was applied to the roughly 47% of the pool that had a
prior mortgage related credit event, resulting in nearly a 9%
increase to the pool's probability of default at each rating
category.
A variation was made to Fitch's 'U.S. RMBS master Rating Criteria'
for loans with potential TRID violations. Under this approach
loans with TRID findings that are more likely to lead to statutory
damages received an additional $15,500 to their projected loss. Out
of the 50 loans with TRID errors, 38 received this adjustment
increasing the expected loss by 36 basis points (bps).
Due to the structural features of the transaction, Fitch analyzed
the collateral with customized versions of two of its standard
models. Fitch's Alt-A Loan Loss Model was altered to include three
additional inputs; due diligence percentage, operational quality
and liquid reserves. These variables were not common in legacy
Alt-A loans and were excluded in the derivation of Fitch's Alt-A
model. Given the improvement in today's underwriting over legacy
standards, these aspects were taken into consideration and a net
credit was applied to the pool. The second customized model was
based off of Fitch's Cash Flow Assumptions workbook. The
customized version was used to account for the limited servicer
advancing. The delinquency timing scenarios are consistent with
the pool's stressed projected default scenarios.
-- $13.8 million class G at 'Bsf'; Outlook Negative
COMM 2005-LP5: Moody's Cuts Cl. X-C Debt Rating to Caa1(sf)
-----------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class,
affirmed the ratings on four classes and downgraded the ratings on
six classes in COMM 2005-LP5 Commercial Mortgage Pass-Through
Certificates as follows:
Cl. D, Affirmed Aaa (sf); previously on Jun 17, 2015 Upgraded to
Aaa (sf)
Cl. E, Upgraded to Aaa (sf); previously on Jun 17, 2015 Affirmed
Aa2 (sf)
Cl. F, Affirmed A3 (sf); previously on Jun 17, 2015 Affirmed A3
(sf)
Cl. G, Affirmed Baa2 (sf); previously on Jun 17, 2015 Affirmed Baa2
(sf)
Cl. H, Downgraded to B2 (sf); previously on Jun 17, 2015 Affirmed
Ba3 (sf)
Cl. J, Downgraded to Caa1 (sf); previously on Jun 17, 2015 Affirmed
B3 (sf)
Cl. K, Downgraded to Caa3 (sf); previously on Jun 17, 2015 Affirmed
Caa2 (sf)
Cl. L, Downgraded to C (sf); previously on Jun 17, 2015 Affirmed
Caa3 (sf)
Cl. M, Downgraded to C (sf); previously on Jun 17, 2015 Affirmed Ca
(sf)
Cl. O, Affirmed C (sf); previously on Jun 17, 2015 Affirmed C (sf)
Cl. X-C, Downgraded to Caa1 (sf); previously on Jun 17, 2015
Downgraded to B2 (sf)
RATINGS RATIONALE
The rating on the P&I class E was upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 20% since Moody's last
review.
The ratings on the three P&I classes, Class D, F and G were
affirmed because the transaction's key metrics, including Moody's
loan-to-value (LTV) ratio, Moody's stressed debt service coverage
ratio (DSCR) and the transaction's Herfindahl Index (Herf), are
within acceptable ranges.
The rating on the P&I class O was affirmed because the ratings are
consistent with Moody's expected loss.
The ratings on the P&I classes H, J, K, L and M were downgraded due
to realized and anticipated losses from specially serviced loans
The rating on the IO Class (Class XC) was downgraded due to a
decline in the credit performance (or the weighted average rating
factor or WARF) of its referenced classes.
DBUBS 2011-LC3: Fitch Affirms 'Bsf' Rating on Class F Debt
----------------------------------------------------------
Fitch Ratings has upgraded one class and affirmed 15 classes of
Deutsche Bank Securities (DBUBS) commercial mortgage pass-through
certificates series 2011-LC3.
KEY RATING DRIVERS
The upgrade is the result of increased credit enhancement as a
result of amortization, loan payoffs at maturity, and prepayments
since Fitch's last rating action. The affirmations are due to the
transaction's overall stable performance. The ratings reflect a
stressed analysis, which included increased cash flow haircuts, cap
rates and default probabilities. Expected losses for the current
review are in-line with Fitch's analysis at issuance.
There were variances from criteria related to classes C through F
where Fitch's surveillance criteria would indicate that additional
upgrades are possible. However, further upgrades were not warranted
based on the increased pool concentration, and the recent transfer
of the 2nd largest loan (12%) to special servicing as it did not
payoff at its June 6, 2016 maturity. Additionally, the third
largest loan, Providence Place Mall (25%), has seen a decline in
occupancy as a result of JC Penney, vacating in August 2015;
certain tenants, including Apple and True Religion have co-tenancy
clauses, which may come into effect.
As of the June 2016 distribution date, the pool's aggregate
principal balance has been reduced by 34.6% to $1.08 billion from
$1.65 billion at issuance. As noted, the transaction continues to
be highly concentrated with the top five and 10 largest loans
accounting for 61% and 77%, respectively. Additionally, the
transaction has a large retail concentration (48%), with seven of
the top 15 loans being secured by retail properties. Two loans (6%
of the pool) are defeased. Fitch has designated five loans as Fitch
Loans of Concern (30.4%).
The largest contributor to expected losses is the Quadrus Office
Park loan (12.7% of the pool), which is secured by a 20.4 acre,
222,517 square foot (sf), eight-building office campus located on
Sand Hill Road in Menlo Park, CA. The property is located two miles
from the Stanford University Campus. Major tenants are The Henry J.
Kaiser Family Foundation (10%), lease expiration in June 2021;
Evercore Partners Services (8%), lease expiration May 2024; Samsung
SemiConductor (7%), lease expiration May 2016; and Mayfield Fund,
LLC (5%), lease expiration July 2023. As of December 2015, the
property's occupancy declined to 72.1% from 79.4% in the previous
year with current average rent at $83 sf. There is approximately
18% rollover in 2016. An update on leasing activity and lease
renewals has been requested but not yet received. Per REIS, as of
1st quarter (1Q) 2016, the San Francisco metro office market
vacancy rate is 10.1% with average asking rent of $50 sf. The South
San Mateo office submarket vacancy rate is 14.8% with average
asking rent of $51 sf.
The next largest contributor to expected losses is the One Biscayne
loan (9.9%), which is secured by a 684,563 sf office building
located in downtown Miami, FL. The building is in close proximity
to the Federal and County courthouses, American Airlines Arena, and
Bayfront Park. The largest tenants are Terremark Worldwide Inc
(7%), lease expiration June 2019; Foley & Lardner LLP (5%), lease
expiration June 2023; Broad & Cassel (4%), lease expiration May
2016; Feldman Gale PA (4%), lease expiration April 2019. At Fitch's
last rating action, most of the new leases had rent concessions
which eroded the effective occupancy of the property, but they have
seen tenant demand improve and concessions lessen in recent
proposals. The property is 80% occupied as of December 2015 with
average rent of $32 psf. An update on leasing activity and lease
renewals has been requested but not yet received. There is
approximately 12% rollover in 2016. Per REIS as of 1Q 2016, the
Miami office market Metro vacancy rate is 14.5% with asking rent of
$32.65 psf. The downtown Miami office submarket vacancy rate is
16.4% with asking rent of $35 sf. The loan matures Aug. 1, 2016.
The largest loan of concern is the Times Square Hotel Portfolio
(15.7%), which is secured by two limited-service hotels consisting
of 488 rooms (244 rooms each) located in New York, NY. Per the
April 2016 STR reports, the Sheraton Four Points Midtown Times
Square Hotel occupancy is 96%, with average daily rate (ADR) $258,
and Revenue Per Available Room (RevPAR) $219 compared to 94%
occupancy, ADR $229, and RevPAR $216 for its competitive set. The
Fairfield Inn & Suites NY Manhattan Times Square Hotel occupancy is
88%, with ADR $235, RevPAR $207 compared to 96% occupancy with ADR
$228, and RevPAR $218 for its competitive set. Per the master
servicer, the loan did not payoff at its June 6, 2016 maturity date
and is in the process of being transferred to the special
servicer.
RATING SENSITIVITIES
Rating Outlooks on classes A-2 through P-M5 remain Stable due to
the overall stable performance of the pool. An upgrade to class C
is possible should the loans with 2016 maturities payoff at
maturity. Downgrades are considered unlikely, but are possible
should there be any significant performance declines.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch upgrades the following class:
-- $75.2 million class B to 'AAAsf' from 'AAsf'; Outlook Stable.
Fitch affirms the following classes:
-- $213.6 million class A-2 at 'AAAsf'; Outlook Stable;
-- $97.3 million class A-3 at 'AAAsf'; Outlook Stable;
-- $112.1 million class A-4 at 'AAAsf'; Outlook Stable;
-- $127.6 million class A-M at 'AAAsf'; Outlook Stable;
-- Interest-only class X-A at 'AAAsf'; Outlook Stable;
-- $54.2 million class C at 'Asf'; Outlook Stable;
-- $73.4 million class D at 'BBB-sf'; Outlook Stable;
-- $19.2 million class E at 'BBsf'; Outlook Stable;
-- $19.2 million class F at 'Bsf'; Outlook Stable;
-- $125.4 million class PM-1 at 'AAAsf'; Outlook Stable;
-- Interest-only class PM-X at 'AAAsf'; Outlook Stable;
-- $32.9 million class PM-2 at 'AAsf'; Outlook Stable;
-- $28.9 million class PM-3 at 'Asf'; Outlook Stable;
-- $26.5 million class PM-4 at 'BBBsf'; Outlook Stable;
-- $20.9 million class PM-5 at 'BBB-sf'; Outlook Stable.
Classes PM-1 through PM-5 are secured by Providence Place Mall on a
stand-alone basis. The class A-1 certificates have paid in full.
Fitch does not rate the class G certificates.
DRIVE AUTO 2015-B: Moody's Affirms Ba2(sf) Rating on Cl. E Debt
---------------------------------------------------------------
Moody's Investor Services has upgraded 5 tranches and affirmed 15
tranches from the Drive Auto Receivables Trust transactions issued
in 2015. The securitizations are sponsored by Santander Consumer
USA Inc. (SC).
The complete rating actions are as follow:
Issuer: Drive Auto Receivables Trust 2015-A
Class A-3 Notes, Affirmed Aaa (sf); previously on Dec 3, 2015
Affirmed Aaa (sf)
Class B Notes, Affirmed Aaa (sf); previously on Dec 3, 2015
Upgraded to Aaa (sf)
Class C Notes, Upgraded to Aa1 (sf); previously on Dec 3, 2015
Upgraded to Aa2 (sf)
Class D Notes, Affirmed Baa2 (sf); previously on Dec 3, 2015
Upgraded to Baa2 (sf)
Issuer: Drive Auto Receivables Trust 2015-B
Class A-3 Notes, Affirmed Aaa (sf); previously on Feb 12, 2016
Affirmed Aaa (sf)
Class B Notes, Affirmed Aaa (sf); previously on Feb 12, 2016
Upgraded to Aaa (sf)
Class C Notes, Upgraded to Aa1 (sf); previously on Feb 12, 2016
Affirmed Aa2 (sf)
Class D Notes, Affirmed Baa1 (sf); previously on Feb 12, 2016
Affirmed Baa1 (sf)
Class E Notes, Affirmed Ba2 (sf); previously on Feb 12, 2016
Affirmed Ba2 (sf)
Issuer: Drive Auto Receivables Trust 2015-C
Class A-3 Notes, Affirmed Aaa (sf); previously on Feb 12, 2016
Affirmed Aaa (sf)
Class B Notes, Affirmed Aaa (sf); previously on Feb 12, 2016
Upgraded to Aaa (sf)
Class C Notes, Upgraded to Aa1 (sf); previously on Feb 12, 2016
Affirmed Aa2 (sf)
Class D Notes, Affirmed Baa1 (sf); previously on Feb 12, 2016
Affirmed Baa1 (sf)
Class E Notes, Affirmed Ba2 (sf); previously on Feb 12, 2016
Affirmed Ba2 (sf)
Issuer: Drive Auto Receivables Trust 2015-D
Class A-2-A Notes, Affirmed Aaa (sf); previously on Sep 30, 2015
Definitive Rating Assigned Aaa (sf)
Class A-2-B Notes, Affirmed Aaa (sf); previously on Sep 30, 2015
Definitive Rating Assigned Aaa (sf)
Class A-3 Notes, Affirmed Aaa (sf); previously on Sep 30, 2015
Definitive Rating Assigned Aaa (sf)
Class B Notes, Upgraded to Aaa (sf); previously on Sep 30, 2015
Definitive Rating Assigned Aa1 (sf)
Class C Notes, Upgraded to Aa2 (sf); previously on Sep 30, 2015
Definitive Rating Assigned Aa3 (sf)
Class D Notes, Affirmed Baa1 (sf); previously on Sep 30, 2015
Definitive Rating Assigned Baa1 (sf)
RATINGS RATIONALE
The upgrades mainly resulted from the build-up of credit
enhancement due to the sequential pay structure and non-declining
reserve account. The overcollateralization is currently at or near
the target level of current balance for all the transactions. The
lifetime cumulative net loss (CNL) expectations remain unchanged at
27.00% since closing.
Below are key performance metrics (as of the May 2016 distribution
date) and credit assumptions for the transaction. Credit
assumptions include Moody's expected lifetime CNL expected loss,
which is expressed as a percentage of the original pool balance;
Moody's lifetime remaining CNL expectation and Moody's Aaa (sf)
level, which are expressed as a percentage of the current pool
balance. The Aaa level is the level of credit enhancement that
would be consistent with a Aaa (sf) rating for the given asset
pool. Performance metrics include the pool factor, which is the
ratio of the current collateral balance to the original collateral
balance at closing; total credit enhancement, which typically
consists of subordination, overcollateralization, and a reserve
fund; and per annum excess spread.
Issuer: Drive Auto Receivables Trust 2015-A
Lifetime CNL expectation -- 27.00%, prior expectation (December
2015) -- 27.00%
Lifetime Remaining CNL expectation -- 28.89%
Aaa (sf) level -- 65.00%
Pool factor -- 62.59%
Total Hard credit enhancement - Class A Notes 98.81%, Class B Notes
79.23%, Class C Notes 51.67%, Class D Notes 35.70%
Excess Spread per annum - Approximately 13.1%
Issuer: Drive Auto Receivables Trust 2015-B
Lifetime CNL expectation -- 27.00%, prior expectation (February
2016) -- 27.00%
Lifetime Remaining CNL expectation -- 30.21%
Aaa (sf) level -- 65.00%
Pool factor -- 68.48%
Total Hard credit enhancement - Class A Notes 95.86%, Class B Notes
77.97%, Class C Notes 52.79%, Class D Notes 38.18%, Class E Notes
29.42%
Excess Spread per annum - Approximately 13.1%
Issuer: Drive Auto Receivables Trust 2015-C
Lifetime CNL expectation -- 27.00%, prior expectation (February
2016) -- 27.00%
Lifetime Remaining CNL expectation -- 29.24%
Aaa (sf) level -- 65.00%
Pool factor -- 72.95%
Total Hard credit enhancement - Class A Notes 91.61%, Class B Notes
74.82%, Class C Notes 51.17%, Class D Notes 37.47%, Class E Notes
29.24%
Excess Spread per annum - Approximately 13.8%
Issuer: Drive Auto Receivables Trust 2015-D
Lifetime CNL expectation -- 27.00%, original expectation (September
2015) -- 27.00%
Lifetime Remaining CNL expectation -- 29.35%
Aaa (sf) level -- 65.00%
Pool factor -- 79.04%
Total Hard credit enhancement - Class A Notes 86.17%, Class B Notes
70.29%, Class C Notes 47.58%, Class D Notes 34.93%
Excess Spread per annum -- Approximately 14.1%
Factors that would lead to an upgrade or downgrade of ratings:
Up
Levels of credit protection that are greater than necessary to
protect investors against current expectations of loss could lead
to an upgrade of the rating. Moody's current expectations of loss
may be better than its original expectations because of lower
frequency of default by the underlying obligors or appreciation in
the value of the vehicles that secure the obligor's promise of
payment. The US job market and the market for used vehicle are
primary drivers of performance. Other reasons for better
performance than Moody's expected include changes in servicing
practices to maximize collections on the loans or refinancing
opportunities that result in a prepayment of the loan.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could lead to a
downgrade of the ratings. Moody's current expectations of loss may
be worse than its original expectations because of higher frequency
of default by the underlying obligors of the loans or a
deterioration in the value of the vehicles that secure the
obligor's promise of payment. The US job market and the market for
used vehicle are primary drivers of performance. Other reasons for
worse performance than Moody's expected include poor servicing,
error on the part of transaction parties, lack of transactional
governance and fraud.
GOLDENTREE LOAN XII: Moody's Assigns Ba3 Rating on Cl. D Notes
--------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of notes to be issued by GoldenTree Loan Opportunities XII,
Limited.
Moody's rating action is:
$1,600,000 Class X Senior Secured Floating Rate Notes due 2027,
Assigned (P)Aaa (sf)
$245,200,000 Class A-1 Senior Secured Floating Rate Notes due
2027, Assigned (P)Aaa (sf)
$48,000,000 Class A-2 Senior Secured Floating Rate Notes due
2027, Assigned (P)Aa2 (sf)
$25,600,000 Class B Mezzanine Deferrable Floating Rate Notes due
2027, Assigned (P)A2 (sf)
$25,000,000 Class C Mezzanine Deferrable Floating Rate Notes due
2027, Assigned (P)Baa3 (sf)
$24,200,000 Class D Mezzanine Deferrable Floating Rate Notes due
2027, Assigned (P)Ba3 (sf)
The Class X Notes, the Class A-1 Notes, the Class A-2 Notes, the
Class B Notes, the Class C Notes and the Class D Notes are referred
to herein, collectively, as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
RATINGS RATIONALE
Moody's provisional ratings of the Rated Notes address the expected
losses posed to noteholders. The provisional ratings reflect the
risks due to defaults on the underlying portfolio of assets, the
transaction's legal structure, and the characteristics of the
underlying assets.
GoldenTree Loan Opportunities XII is a managed cash flow CLO. The
issued notes will be collateralized primarily by broadly syndicated
first lien senior secured corporate loans. At least 96% of the
portfolio must consist of senior secured loans, cash, and eligible
investments, and up to 4% of the portfolio may consist of second
lien loans, unsecured loans and first lien last out loans. Moody's
expects the portfolio to be 30-50% ramped as of the closing date.
GoldenTree Asset Management LP 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 4.6 year reinvestment period.
Thereafter, the Manager may reinvest unscheduled principal payments
and proceeds from sales of credit risk assets, subject to certain
restrictions.
In addition to the Rated Notes, the Issuer will issue subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2015.
For modeling purposes, Moody's used these base-case assumptions:
Par amount: $400,000,000
Diversity Score: 50
Weighted Average Rating Factor (WARF): 3000
Weighted Average Spread (WAS): 4.0%
Weighted Average Coupon (WAC): 7.0%
Weighted Average Recovery Rate (WARR): 47%
Weighted Average Life (WAL): 8 years.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2015.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
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 3000 to 3450)
Rating Impact in Rating Notches
Class X Notes: 0
Class A-1 Notes: 0
Class A-2 Notes: -2
Class B Notes: -2
Class C Notes: -1
Class D Notes: -1
Percentage Change in WARF -- increase of 30% (from 3000 to 3900)
Rating Impact in Rating Notches
Class X Notes: 0
Class A-1 Notes: -1
Class A-2 Notes: -3
Class B Notes: -4
Class C Notes: -2
Class D Notes: -1
GOLDMAN SACHS 2010-C2: Fitch Affirms BB Rating on Class E Certs
---------------------------------------------------------------
Fitch Ratings has upgraded two classes and affirmed six classes of
Goldman Sachs Commercial Mortgage Capital, L.P. commercial mortgage
pass-through certificates series 2010-C2.
KEY RATING DRIVERS
The upgrades to classes B and C reflect continued paydown and
sufficient credit enhancement. The affirmations are based on the
generally stable performance of the underlying collateral pool
since issuance. The pool is concentrated with only 27 loans
remaining, down from 43 loans at issuance. All of the remaining
loans mature in the fourth quarter of 2020. There are no
delinquent or specially serviced loans.
As of the May 2016 distribution date, the pool's aggregate
principal balance has been reduced by 34.5% to $574.4 million from
$876.5 million at issuance. Per the servicer reporting, one loan
(3.1% of the pool) is defeased. Interest shortfalls are currently
affecting class G.
The largest loan in the pool (14.9% of the pool balance) is secured
by a 399,935 square foot (sf) class B office property in the
Financial District of Manhattan, NY. The property is 100% occupied
by the United Federation of Teachers (UFT) under a long-term lease
which expires in August 2034. UFT also holds a 9.9% ownership
interest in the building. The loan is structured with a letter of
credit (LOC), which can be drawn upon to cover debt service
shortfalls. The loan is amortizing on a 30-year schedule after a
four-year interest-only period concluded in 2014. The
servicer-reported debt service coverage ratio (DSCR) as of
September 2015 was 2.09x, compared to 2.32x at year-end (YE) 2014
and 2.50x at YE 2013.
The second largest loan (7.3%) is secured by a 669,682 sf mixed-use
office retail property located in Pittsburgh, PA. The property is
considered an area landmark and tourist destination. It consists of
five buildings that house office space, retail shops, restaurants,
commuter parking and also includes marina slips and an outdoor
amphitheater. Various media reports state that the borrower is
planning 300 apartment units at the site, with the first units
originally scheduled for the summer of 2017. The project, however,
has been on hold due to a delay in grant funds and state budget
issues. As of YE 2015, the property was 89% occupied, compared to
88% at YE 2014 and 80% at YE 2013. The servicer-reported YE 2015
DSCR was 1.88x, compared to 1.64x at YE 2014 and 1.90x at YE 2013.
The third largest loan (7.8%) is secured by a 626,594-sf historic
office property in the Center City submarket of Philadelphia. The
building was originally built in 1895 and renovated in 1927 and
1989. The property's largest tenant is Wells Fargo, which occupies
31.6% of the net rentable area through December 2021, one year
after the loan's maturity. Occupancy has remained stable at 93%
reported at YE 2015 compared to 97% at YE 2014. The
servicer-reported YE 2015 DSCR was 2.09x, compared to 2.02x at YE
2014 and 1.79x at YE 2013.
RATING SENSITIVITIES
Rating Outlooks on classes A-1 though F remain Stable as the
majority of the pool has maintained performance consistent with
issuance. Further upgrades are possible with continued paydown.
Downgrades to the junior classes are possible should there be any
significant performance declines.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch upgrades these classes and revises the Rating Outlook as
indicated:
-- $26.3 million class B to 'AAAsf' from 'AAsf'; Outlook to
Stable from Positive;
-- $29.6 million class C to 'AAsf' from 'Asf'; Outlook Stable.
Fitch affirms these classes:
-- $44.9 million class A-1 at 'AAAsf'; Outlook Stable;
-- $376.1 million class A-2 at 'AAAsf'; Outlook Stable;
-- $421 million interest-only class X-A at 'AAAsf'; Outlook
Stable;
-- $47.1 million class D at 'BBB-sf'; Outlook Stable;
-- $12.1 million class E at 'BBsf'; Outlook Stable;
-- $9.9 million class F at 'Bsf'; Outlook Stable.
Fitch does not rate the class G certificates or the interest-only
X-B certificates.
GREAT LAKES 2012-1: S&P Affirms 'BB' Rating on Class E Notes
------------------------------------------------------------
S&P Global Ratings affirmed its ratings on the class A, B, C, D,
and E notes from Great Lakes CLO 2012-1 Ltd., a U.S. collateralized
loan obligation (CLO) transaction consisting primarily of
middle-market loans. The deal closed in December 2012 and began
amortizing in January 2016.
The rating actions follow S&P's review of the transaction's
performance using data from the trustee report dated April 29,
2016.
The transaction is currently in the amortization stage, which began
in January 2016. Thus far, the balance of the class A notes has
been reduced by $7.52 million.
The transaction has benefited from a decline in the weighted
average maturity of the underlying portfolio, which, according to
the relevant trustee reports, decreased to 3.67 years in April 2016
from 4.21 years as of the May 2013 effective date. Because the
time horizon factors heavily into default probability, a shorter
weighted average life positively affects the creditworthiness of
the collateral pool. Additionally, there has been a decline in
assets rated 'CCC+' and below, which fell to 1.37% of the portfolio
from 4.31% over the same period. However, defaults also have
increased during this period, contributing to a mild loss in the
credit support available to the rated notes. Specifically,
according to the trustee reports, the par balance of defaulted
obligations increased to $14.73 million as of
April 2016, up from zero as of the March 2013 effective date. Thus,
despite the reduction in the class A balance, the transaction has
experienced a reduction the overcollateralization (O/C) ratios:
-- The class A/B O/C decreased to 149.46% from 149.73%.
-- The class C O/C decreased to 134.05% from 134.75%.
-- The class D O/C decreased to 124.32% from 125.22%.
-- The class E O/C decreased to 112.34% from 113.45%.
Though the O/C ratios decreased slightly, all coverage tests are
currently passing and well above the minimum requirements.
Additionally, S&P expects the O/C ratios to increase as the
transaction progresses through the amortization phase.
Although cash flow ratings point to a higher rating for classes B
and C, S&P's rating actions take into account the increase in
defaults, the resultant decline in the O/Cs, and also the cushion
at the higher ratings.
On a standalone basis, the results of the cash flow analysis
pointed to a lower rating on the class E notes than the rating
action reflects. However, S&P affirmed the rating on class E after
considering the margin of failure, the relatively minor decline in
the O/C ratio since the transaction's effective date, and that the
transaction has recently entered its amortization phase. Based on
the latter, S&P expects the credit support available to all rated
classes to increase as principal is collected and additional
paydowns to the senior notes occur.
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 on recoveries upon default under various interest
rate and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest or
ultimate principal 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 these rating
actions.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and S&P will take rating actions as it
deems necessary.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A AAA (sf) AAA (sf) 4.91% AAA (sf)
B AA (sf) AA+ (sf) 4.99% AA (sf)
C A (sf) A+ (sf) 1.82% A (sf)
D BBB (sf) BBB (sf) 1.05% BBB (sf)
E BB (sf) B+ (sf) 5.74% BB (sf)
(i) The cash flow implied rating considers the actual spread,
coupon, and recovery of the underlying collateral.
(ii) The cash flow cushion is the excess of the tranche break-even
default rate (BDR) above the scenario default rate (SDR) at the
assigned rating for a given class of rated notes using the actual
spread, coupon, and recovery.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated additional
scenarios in which it made negative adjustments of 10% to the
current collateral pool's recovery rates relative to each tranche's
weighted average recovery rate. S&P also generated other scenarios
by adjusting the intra- and inter-industry correlations to assess
the current portfolio's sensitivity to different correlation
assumptions, assuming the correlation scenarios outlined.
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) AA+ (sf) AA+ (sf) AAA (sf) AAA (sf)
B AA+ (sf) AA (sf) AA+ (sf) AAA (sf) AA (sf)
C A+ (sf) A- (sf) A- (sf) A+ (sf) A (sf)
D BBB (sf) BB+ (sf) BBB- (sf) BBB+ (sf) BBB (sf)
E B+ (sf) B (sf) B+ (sf) BB- (sf) BB (sf)
DEFAULT BIASING SENSITIVITY
To assess whether the current portfolio has sufficient diversity,
S&P biased defaults on the assets in the current collateral pool
with the highest spread and lowest base-case recoveries.
Spread Recovery
Cash flow compression compression
implied implied implied Final
Class rating rating rating rating
A AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AA+ (sf) AA+ (sf) AA+ (sf) AA (sf)
C A+ (sf) A+ (sf) A (sf) A (sf)
D BBB (sf) BBB- (sf) BBB- (sf) BBB (sf)
E B+ (sf) B+ (sf) B+ (sf) BB (sf)
RATINGS AFFIRMED
Great Lakes CLO 2012-1 Ltd.
Class Rating
A AAA (sf)
B AA (sf)
C A (sf)
D BBB (sf)
E BB (sf)
GSMPS TRUST 2004-2R: Moody's Lowers Rating on Cl. A Debt to B3
--------------------------------------------------------------
Moody's Investors Service has downgraded the rating of one tranche
issued by GSMPS Pass-Through Trust 2004-2R.
The resecuritization is backed by various residential
mortgage-backed securities, backed by pools of FHA-VA mortgages
insured by the Federal Housing Administration, an agency of the
U.S. Department of Urban Development, or guaranteed by the Veterans
Administration.
Complete rating actions is:
Issuer: GSMPS Pass-Through Trust 2004-2R
Cl. A, Downgraded to B3 (sf); previously on June 29, 2015,
Downgraded to B2 (sf)
RATINGS RATIONALE
Class A rating was downgraded mainly as a result of the depletion
of credit enhancement, due to losses from the underlying FHA-VA
transactions. Certain underlying transaction securities suffered
rating downgrades due to weaker collateral performance thus
negatively affecting the Class A re-securitization bond.
The methodologies used in this rating were "Moody's Approach to
Rating Resecuritizations" published in February 2014 and "FHA-VA US
RMBS Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.7% in May 2016 from 5.5% in May
2015. Moody's forecasts an unemployment central range of 4.5% to
5.5% for the 2016 year. Deviations from this central scenario
could lead to rating actions in the sector.
House prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2016. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers on the underlying transactions or other policy or
regulatory change can impact the performance of these transactions.
INSTITUTIONAL MORTGAGE 2012-2: Fitch Affirms B Rating on G Debt
---------------------------------------------------------------
Fitch Ratings has affirmed nine classes of Institutional Mortgage
Capital, commercial mortgage pass-through certificates series
2012-2 (IMSCI 2012-2).
KEY RATING DRIVERS
The affirmations and removal of classes F and G from Rating Watch
Negative reflect the overall stable performance of the pool
(excluding the specially serviced asset) and an increase in credit
enhancement to the senior tranches relative to Fitch modeled losses
from defeasance of 5.5% of the pool balance. Additionally, the
specially serviced asset did not sustain structural damage or loss
from the recent Fort McMurray, Alberta wildfires.
The pool balance has been reduced 13.4% to C$208 million from
C$240.2 million at issuance with 29 loans remaining. There are no
full or partial interest only loans in the pool. Approximately
31.7% of the pool has a scheduled maturity date in 2017, including
the specially serviced loan.
The specially serviced loan is the third-largest loan in the pool,
Lakewood Apartments (8.3%), which transferred to special servicing
in March 2016. The property transferred to special servicing due a
significant decline in occupancy stemming from the turmoil in the
energy sector. The servicer-reported occupancy as of February 2016
was 53%. Recently, the sponsor and special servicer agreed to a
12-month forbearance agreement. Operations at the property were
subsequently affected by the Fort McMurray wildfires in early May
2016 with the city and surrounding area evacuated. The sponsor is
working to remediate the property for the return of tenants. The
loan has full recourse to the borrower, sponsor and manager.
Potential loan losses may be mitigated by recourse provisions,
insurance proceeds and a recovery in the energy markets.
The largest loan in the pool is Cedars Apartments (9.8%), which is
secured by a low-rise multifamily residential development located
in Calgary, Alberta. The sponsor is Lanesborough REIT (LREIT),
which is the same sponsor as the specially serviced asset. The loan
has full recourse to the borrower and sponsor. The 276-unit
property reported occupancy of 91.3% as of year-end (YE) 2015
compared with 97.1% at issuance.
The second largest loan in the pool, Chateau Janeville Apartments
(8.7% of the pool), is secured by a 271-unit apartment complex
located in Ottawa, Ontario. The reported occupancy as of YE 2015
was approximately 97.4% similar to issuance. The loan is full
recourse to the borrower.
RATING SENSITIVITIES
The Rating Outlook on classes E, F and G are Negative due to the
uncertainty regarding the operations and performance of the
specially serviced loan. The Rating Outlook on the senior classes
remains Stable as the classes benefit from 5.5% defeasance;
although the transaction could further de-lever when several
performing loans mature in 2017, upgrades may be limited as the
pool is becoming more concentrated.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch affirms and removes the following classes from Rating Watch
Negative and assigns a Negative Outlook as indicated:
-- C$3 million class F* at 'BBsf'; Outlook Negative;
-- C$2.4 million class G* at 'Bsf'; Outlook Negative.
Fitch affirms the following classes:
-- C$109 million class A-1 at 'AAAsf'; Outlook Stable;
-- C$63 million class A-2 at 'AAAsf'; Outlook Stable;
-- Interest-only class XP at 'AAAsf'; Outlook Stable;
-- C$6 million class B at 'AAsf'; Outlook Stable;
-- C$8.4 million class C at 'Asf'; Outlook Stable;
-- C$7.2 million class D at 'BBBsf'; Outlook Stable;
-- C$3.6 million class E at 'BBB-sf'; Outlook Negative.
* Non-offered certificates.
Fitch does not rate the C$5.4 million class H or the interest-only
class XC.
ISHARES FALLEN: S&P Assigns 'Bf' Rating on USD Bond ETF
-------------------------------------------------------
S&P Global Ratings said it assigned its 'Bf' fund credit quality
rating (FCQR) and its 'S4' fund volatility rating (FVR) on the
iShares Fallen Angels USD Bond ETF. S&P also assigned our 'B-f'
FCQR and 'S4' FVR on the iShares iBoxx $ High Yield ex Oil & Gas
Corporate Bond ETF.
The iShares Fallen Angels USD Bond ETF seeks to track the
investment results of the Barclays US High Yield Fallen Angel 3%
Capped Index, which is designed to reflect the performance of U.S.
dollar-denominated, high-yield corporate bonds that were previously
rated investment grade. Bonds are market value weighted with a 3%
cap on each issuer. The index will be a subset of Barclays US
Corporate High Yield Index, with a 3% issuer cap to securities
previously rated investment grade, which will rebalance on a
monthly basis. The iShares iBoxx $ High Yield ex Oil & Gas
Corporate Bond ETF seeks to track the investment results of the
Markit iBoxx USD Liquid High Yield ex-Oil and Gas Index, which is
designed to reflect the performance of U.S. dollar-denominated,
high-yield corporate bonds, excluding those issued by companies in
the oil and gas sector.
Both funds will utilize representative sampling to track the
indices. By prospectus, generally, the funds will invest at least
90% of their assets in the component securities of the underlying
indices. They may invest up to 10% of their assets in certain
futures; options and swap contracts; cash and cash equivalents,
including shares of money market funds advised by BlackRock Fund
Advisors (BFA) or its affiliates; and securities not included in
the underlying indices, but which BFA believes will help the funds
track the underlying indices.
The fund is among more than 220 investment portfolios of the
iShares Trust. The trust was organized as a Delaware statutory
trust on Dec. 16, 1999, and is authorized to have multiple series
or portfolios. The trust is an open-end management investment
company registered under the Investment Company Act of 1940 as
amended. The offering of the trust's shares is registered under
the Securities Act of 1933 as amended. The shares of the trust are
listed and traded at market prices on national securities
exchanges.
BFA, the fund's investment adviser, is a subsidiary of BlackRock
Inc. As of March 31, 2016, BlackRock's assets under management
totaled US$4.737 trillion across equity, fixed income, cash
management, alternative investment, real estate, and advisory
strategies. State Street Bank & Trust Co. is the administrator,
custodian, and transfer agent for the fund. BlackRock Investments
LLC, a subsidiary of BlackRock Inc., is the fund's distributor.
S&P's fund credit quality ratings, identified by the 'f' subscript,
reflect the level of protection a fund provides against losses from
credit defaults. The credit quality ratings scale ranges from
'AAAf' (extremely strong protection against losses from credit
defaults) to 'CCCf' (extremely vulnerable to losses from credit
defaults). The ratings from 'AAf' to 'CCCf' may be modified by the
addition of a plus (+) or minus (-) sign to show relative standing
within the major rating categories.
S&P's fund volatility ratings, identified by the 'S' scale, are
based on S&P's current opinion of a fixed-income fund's sensitivity
to changing market conditions, relative to a portfolio made up of
government securities and denominated in the base currency of the
fund. The volatility ratings are based on a scale from 'S1'
(lowest sensitivity) to 'S6' (highest sensitivity). Volatility
ratings evaluate sensitivity to factors such as interest rate
movements, credit risk, and liquidity.
S&P will monitor the funds monthly to ensure the consistency of the
credit and volatility profiles with the assigned ratings.
JP MORGAN 2005-CIBC12: Fitch Cuts Class B Debt Rating to 'CCsf'
---------------------------------------------------------------
Fitch Ratings has downgraded two classes and affirmed 12 classes of
J.P. Morgan Chase Commercial Mortgage Securities Corp., series
2005-CIBC12.
KEY RATING DRIVERS
The downgrades are the result of higher expected losses since
Fitch's last rating action. The pool has become concentrated with
only 13 loans remaining.
The transaction has experienced 92.8% of collateral reduction since
issuance, which includes $182.2 million (8.2% of the original pool
balance) in realized losses to date. There are 13 loans remaining
in the pool, four of which (50.3% of pool balance) are specially
serviced. Among the specially serviced loans are the largest two
loans in the pool, which account for 23.7% and 20.8% of pool
balance, respectively. One loan is defeased. Interest shortfalls
currently reach up to class D.
The largest contributor to expected loss is the Fort Steuben Mall
Loan. This loan transferred to special servicing in February 2016,
after the sponsor ceased funding shortfalls. This loan is
collateralized by the 686,000 square foot (sf) portion of an
813,000 sf enclosed mall in Steubenville, OH, just west of the Ohio
River. The anchor tenants are Sears, J.C. Penney, Macy's (not
collateral), Wal-Mart and Carmike Cinemas. Both Sears and J.C.
Penney reflect lease expirations in 2016. Sears has announced it
will close this store in June. J.C. Penney has renewed its lease
through 2021. YE 2015 Debt Service Coverage Ratio (DSCR) was 1.00x
and has ranged from 0.96x to 1.01x between YE 2015 and YE 2013. The
special servicer has filed foreclosure proceedings and disposition
of the asset is the current workout strategy.
The second largest contributor to expected losses is a 261,000 sf
retail center located in South Brunswick, NJ. The loan transferred
to special servicing in August 2014 for payment default and later
failed to pay off at maturity. The default followed the July 2014
lease expiration of Stop & Shop, one of the property's largest
tenants, which closed its store at this location. Foreclosure
proceedings have been filed and all cash flow is currently being
swept into a borrower-controlled lockbox. Notably, evidence of new
environmental concerns was recently discovered at the property. The
special servicer is in the process of obtaining an updated
environmental report.
The third largest contributor to expected losses is the Atrium
Executive Plaza loan. This loan is collateralized by a 93,000 sf
office property located in Plantation, FL, near Fort Lauderdale.
The loan transferred to special servicing January 2015 due to
imminent maturity default. Since then the Borrower has attempted,
unsuccessfully, to sell the property. The foreclosure process was
paused as a result of a recent attempted short sale. As the sale
never materialized, the special servicer is continuing to pursue
foreclosure. As of March 2016 occupancy was 51.5% and YTD DSCR was
0.66x. Though insufficient, occupancy and coverage are both up as a
result of a new tenant which began occupancy in 2015 and accounts
for 15.7% of net rentable area.
RATING SENSITIVITIES
The Rating Outlook on class A-J is Negative given the potential for
higher losses related to the specially serviced loans, particularly
the Fort Steuben Mall. Additionally, the pool is subject to risk
related to single tenant exposure. Downgrades would be considered
in the event of higher than expected loss severities related to the
specially serviced loans or deterioration related to the performing
loans. Though unlikely, upgrades would be considered in the event
of improved loan-level performance or lower than expected realized
loss severities.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch downgrades the following class and assigns Recovery Estimates
(RE) as indicated:
-- $43.3 million class B to 'CCsf' from 'Bsf'; RE 95%;
-- $18.9 million class C to 'Csf' from 'CCCsf'; RE 0%.
In addition, Fitch has affirmed the following classes and revised
Rating Outlooks as indicated:
-- $162.5 million class A-J at 'Asf'; Outlook to Negative from
Stable;
-- $32.5 million class D at 'Dsf'; RE 0%;
-- $0 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%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%.
The class A-1, A-2, A-3A1, A-3A2, A-3B, A-SB, A-4, A-M, and UHP
certificates have been paid in full. Fitch does not rate the Class
NR certificate. Fitch withdrew the ratings on the interest-only
Class X-1 and X-2 certificates.
JP MORGAN 2007-LDP10: Fitch Affirms 'Dsf' Rating on Class P Debt
----------------------------------------------------------------
Fitch Ratings has affirmed 26 classes of J.P. Morgan Chase
Commercial Mortgage Securities Trust, commercial mortgage
pass-through certificates, series 2007-LDP10 (JPMCC 2007-LDP10).
KEY RATING DRIVERS
The affirmations reflect sufficient credit enhancement (CE)
relative to Fitch-modeled loss expectations for the pool. Although
CE has improved since Fitch's last rating action, this was offset
by higher modeled loss expectation on the Skyline Portfolio loan,
which was transferred back to the special servicer in April 2016,
and the Lafayette Property Trust loan, where further performance
decline is anticipated.
Fitch modeled losses of 16.9% of the remaining pool; expected
losses on the original pool balance total 17.9%, including $486.8
million (9.1% of the original pool balance) in realized losses to
date. Fitch has designated 19 loans (31% of the current pool
balance) as Fitch Loans of Concern, which includes six specially
serviced assets (17%).
As of the May 2016 distribution date, the pool's aggregate
principal balance has been reduced by 48% to $2.77 billion from
$5.33 billion at issuance. According to servicer reporting, 13
loans (6.5%) are defeased. Cumulative interest shortfalls totaling
$60.2 million are currently affecting the A-J classes through class
NR.
The three largest contributors to Fitch-modeled losses remain the
same since Fitch's last rating action.
The largest contributor to Fitch-modeled losses is the Skyline
Portfolio loan (7.3% of pool), which is secured by a portfolio of
eight office buildings totaling approximately 2.6 million square
feet (sf) located in Falls Church, VA. The loan re-transferred to
the special servicer in April 2016 for imminent default. Portfolio
performance has not improved since the loan was modified in October
2013 and returned to the master servicer in February 2014. Net
operating income (NOI) for 2015 declined over 30% from 2014 and
over 40% from 2013. Overall portfolio occupancy, which is expected
to further decline, is currently estimated to be below 30%,
compared with 52% in 2014, 54% in 2013 and 97% at issuance. The
special servicer is moving forward with putting a receiver in
place.
The loan was first transferred to special servicing back in March
2012 when portfolio occupancy was significantly affected as a
result of the Base Realignment and Closure statute. The buildings
in the portfolio were leased mainly to various GSA tenants and
their related contractors. From 2011 through 2013, the portfolio
lost one of its largest tenants, the Department of Defense, as well
as its various subcontractors, which occupied in total nearly
one-third of the portfolio square footage. Additionally, the
properties in the portfolio were initially built to be near a
prospective D.C. metro station, but tenants slowly began to vacate
because the station was not built. The loan was modified in October
2013, whereby the total debt was split into a $350 million A-note
and a $328 million B-note (trust portion consists of a $105 million
A-note and $98.4 million B-note). Loan maturity was extended to
February 2022 with a one-year extension option if certain
performance metrics are attained.
The next largest contributor to Fitch-modeled losses is the
Lafayette Property Trust loan (7.3%). The loan is secured by a
portfolio of eight office properties and a single-tenant Clyde's
restaurant totaling approximately 840,000 sf and located within the
Mark Center, a 350-acre master-planned community in Alexandria, VA.
The loan sponsor is Lafayette Real Estate, LLC. The loan was
transferred to special servicing in November 2014 due to imminent
default. The borrower delivered written notice of its inability to
make debt service payments and fund tenant improvements and leasing
commissions after the August 2015 lease expiration of the
portfolio's largest tenant, CNA Corporation (CNA).
A receiver was appointed in November 2015. Properties are being
posted for foreclosure. The special servicer indicated three of the
underlying properties were foreclosed upon in April 2016.
Foreclosures are expected to continue through the end of second
quarter 2016 (2Q16).
As of the December 2015 rent roll, portfolio occupancy was 45%,
down from being 73% leased (54% occupied) as of March 2015 and
significantly underperforming the 75% occupancy for the I-395
submarket of Suburban Virginia as reported by REIS for 1Q16. CNA's
lease expired in August 2015, but the tenant had already vacated
its space (19% of the portfolio net rentable area [NRA]) at the
4825 Mark Center Drive property prior to lease expiration.
Portfolio occupancy is expected to decline further to approximately
35% in 2017, as the current largest tenant, American Diabetes
Association (10.1% of portfolio NRA), has provided notice it will
vacate at its January 2017 lease expiration. Near-term lease
rollover risk is 8% in 2016 and 13% in 2017.
The third largest contributor to Fitch-modeled losses is the Center
West loan (3.2%), which is secured by a 348,021 sf office property
located in Los Angeles, CA. The property has continued to exhibit
year-over-year declines in cash flow. 2015 NOI declined 3.5% from
2014 and 16.3% from 2013. As of the April 2016 rent roll, the
property was 55.7% occupied, which represents an improvement from
49.6% in May 2015 due to various new leases signed in 2015 and
early 2016. However, the property performs below the REIS-reported
market occupancy of 89.1% for the West Los Angeles office submarket
as of 1Q16. An additional 10% of the property's total square
footage rolls over prior to the loan's January 2017 maturity date.
Further, in-place base rents are above market at approximately $57
per sf compared to asking rents of $46.69 per sf, according to
REIS.
RATING SENSITIVITIES
The Stable Outlook on classes A-1A and A-3 reflect sufficient CE,
these classes' seniority and expected continued paydown. The
Outlook on class A-M was revised to Negative from Stable due to the
expectation for further performance declines on the Skyline
Portfolio and Lafayette Property Trust loans, both of which are in
special servicing, as well as the uncertainty surrounding their
ultimate resolution and disposition. Downgrades to the distressed
classes will occur as losses are realized.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed and revised Rating Outlooks on the following
classes as indicated:
-- $362.6 million class A-1A at 'AAAsf'; Outlook Stable;
-- $1.54 billion class A-3 at 'AAAsf'; Outlook Stable;
-- $359 million class A-M at 'Bsf'; Outlook to Negative from
Stable;
-- $200.7 million class A-J at 'Csf'; RE 15%;
-- $79.4 million class A-JS at 'Csf'; RE 15%;
-- $100 million class A-JFX at 'Csf'; RE 15%;
-- $71.8 million class B at 'Csf'; RE 0%;
-- $34.8 million class B-S at 'Csf'; RE 0%;
-- $17.8 million class C at 'Dsf'; RE 0%;
-- $8.6 million class C-S at 'Dsf'; RE 0%;
-- $0 class D at 'Dsf'; RE 0%;
-- $0 class D-S at 'Dsf'; RE 0%;
-- $0 class E at 'Dsf'; RE 0%;
-- $0 class E-S at 'Dsf'; RE 0%;
-- $0 class F at 'Dsf'; RE 0%;
-- $0 class F-S at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class G-S at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class H-S at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%.
The class A-1, A-1S, A-2, A-2S, A-2SFX, A-2SFL, A-3S, and A-MS
certificates have paid in full. Fitch does not rate the fully
depleted class NR certificates. Fitch previously withdrew the
rating on the interest-only class X certificates and the class
A-JFL certificates.
JP MORGAN 2007-LDP12: S&P Affirms CCC+ Rating on Class D Certs
--------------------------------------------------------------
S&P Global Ratings raised its ratings on three classes of
commercial mortgage pass-through certificates from JPMorgan Chase
Commercial Mortgage Securities Trust 2007-LDP12, a U.S. commercial
mortgage-backed securities (CMBS) transaction. In addition, S&P
affirmed its ratings on seven other classes from the same
transaction.
S&P's rating actions on the principal- and interest-paying
certificates follow S&P's analysis of the transaction, primarily
using its criteria for rating U.S. and Canadian CMBS transactions,
which included a review of the credit characteristics and
performance of the remaining assets in the pool, the transaction's
structure, and the liquidity available to the trust.
S&P raised its ratings on classes A-4, A-1A, and A-M to reflect its
expectation of the available credit enhancement for these classes,
which S&P believes is greater than its most recent estimate of
necessary credit enhancement for the respective rating levels. The
upgrades also follow S&P's views regarding the collateral's current
and future performance and the available liquidity support. The
upgrades also reflect the significant reduction in trust balance.
The affirmations on the principal- and interest-paying certificates
reflect S&P's expectation that the available credit enhancement for
these classes will be within 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 the liquidity
support available to the classes. The affirmation of S&P's rating
on class C further reflects its susceptibility to periodic interest
shortfalls as well as the potential for the class to experience
principal losses from the 12 assets ($151.9 million, 10.9%) with
the special servicer.
S&P affirmed its 'AAA (sf)' rating on the class X interest-only
(IO) certificates based on its criteria for rating IO securities.
TRANSACTION SUMMARY
As of the May 16, 2016, trustee remittance report, the collateral
pool balance was $1.39 billion, which is 55.6% of the pool balance
at issuance. The pool currently includes 98 loans and six real
estate owned (REO) assets (reflecting crossed loans), down from 149
loans at issuance. Twelve of these assets ($151.9 million, 10.9%)
are with the special servicer, 12 are defeased ($89.4 million,
6.4%), and 18 ($268.7 million, 19.3%) are on the master servicer's
watchlist. The master servicer, Wells Fargo Bank N.A., reported
financial information for 99.4% of the nondefeased loans in the
pool, of which 3.4% was partial-year 2016 data, 87.8% was partial-
or year-end 2015 data, and the remainder was year-end 2014 data.
S&P calculated a 1.23x S&P Global Ratings weighted average debt
service coverage (DSC) and 96.3% S&P Global Ratings weighted
average loan-to-value (LTV) ratio using a 7.54% S&P Global Ratings
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the 12 specially serviced
assets and 12 defeased loans. The top 10 nondefeased loans have an
aggregate outstanding pool trust balance of $610.7 million (43.8%).
Using servicer-reported numbers, S&P calculated an S&P Global
Ratings weighted average DSC and LTV of 1.25x and 101.9%,
respectively, for nine of the top 10 nondefeased loans. The
remaining asset is specially serviced and discussed below.
To date, the transaction has experienced $151.1 million in
principal losses, or 6.0% 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
the 12 specially serviced assets.
CREDIT CONSIDERATIONS
As of the May 16, 2016, trustee remittance report, 12 assets in the
pool were with the special servicer, LNR Partners LLC. Details of
the three largest specially serviced assets, one of which is a top
10 nondefeased asset, are:
-- The Liberty Plaza real estate owned (REO) asset
($43.0 million, 3.1%) is the sixth-largest nondefeased asset
in the pool and has a total reported exposure of
$47.2 million. The asset is a retail property totaling
371,505 sq. ft. in Philadelphia. The loan was transferred
to the special servicer n Jan. 22, 2013, because of imminent
default. The property became REO on July 23, 2013. LNR
indicated they plan to lease up the property before
formulating a disposition plan. Based on the rent roll from
April 2016, the property is 46.3% occupied and the majority
of the vacant space was previously occupied by Walmart
(131,812 sq. ft.) and Pathmark (56,508 sq. ft.). The
reported DSC as of year-end 2015 was 0.38x. An appraisal
reduction amount (ARA) of $34.6 million is in effect against
this loan. S&P expects a significant loss upon this asset's
eventual resolution.
-- The BB&T Tower REO asset ($31.4 million, 2.3%) has a total
reported exposure of $31.6 million. The asset is a 252,987-
sq.-ft. office building in Jacksonville, Fla. The loan was
transferred to the special servicer on May 15, 2014, due to
imminent default. The property became REO on Feb. 23, 2016.
The property has been able to generate sufficient cash flow
to meet debt service and is current in debt service payment
as of May 2016. An ARA of $9.5 million is in effect against
this loan. S&P expects a moderate loss upon its eventual
resolution.
-- The Oheka Castle - A note and B note loan (combined loan
balance of $27.9 million, 2.0%) have a total reported
exposure of $28.6 million. The loan is secured by a 32unit
lodging property located in Huntington, N.Y. The loan,
which was previously corrected, was transferred to the
special servicer on Nov. 12, 2015, due to imminent default.
The loan was earlier modified on July 12, 2013, when it was
bifurcated into a $22.8 million-note and a $5.1 million
B-note. A preferred equity in the amount of $1.7 million
was contributed at the time of modification. The DSC and
occupancy reported as of year-end 2015 were 0.86x and 62.0%,
respectively. S&P expects a minimal loss on the A-note and
a significant loss on the B-note upon the loan's eventual
resolution.
The nine remaining assets with the special servicer have each
individual balances that represent less than 0.8% of the total pool
trust balance. S&P estimated losses for the 12 specially serviced
assets, arriving at a weighted average loss severity of 53.7%.
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-LDP12
Commercial mortgage pass through certificates series 2007-LDP12
Rating
Class Identifier To From
A-3 46632HAC5 AAA (sf) AAA (sf)
A-4 46632HAD3 AAA (sf) A- (sf)
A-SB 46632HAF8 AAA (sf) AAA (sf)
A-1A 46632HAG6 AAA (sf) A- (sf)
X 46632HAH4 AAA (sf) AAA (sf)
A-M 46632HAJ0 BBB (sf) BB+ (sf)
A-J 46632HAL5 B- (sf) B- (sf)
B 46632HAM3 B- (sf) B- (sf)
C 46632HAN1 B- (sf) B- (sf)
D 46632HAP6 CCC+ (sf) CCC+ (sf)
JP MORGAN 2010-C2: Fitch Affirms B Rating on Class G Certificates
-----------------------------------------------------------------
Fitch Ratings has affirmed all classes of J.P. Morgan Chase
Commercial Mortgage Securities Trust, commercial mortgage
pass-through certificates, series 2010-C2.
KEY RATING DRIVERS
The affirmations reflect increasing credit enhancement and pool
concentrations. Fitch modeled losses of 3.2% of the remaining
pool; expected losses based on the original pool balance are 2.4%.
The pool has experienced no realized losses to date. The pool has
no specially serviced, delinquent, or defeased loans since
issuance. Fitch has designated seven loans (28.7% of pool) as
Fitch Loans of Concern (LOCs).
The pool has 21 loans remaining, compared to 25 loans at the last
rating action and 30 loans at issuance. With loan payoffs, the
retail concentration has grown to 70% of the pool. Single-tenanted
loans account for 18% of pool. Loan maturities are concentrated in
2017 (24% of pool) and 2020 (76%). Fitch applied additional
stresses to the LOCs in its base case analysis to factor in
concerns over performance and adverse selection as the pool becomes
increasingly concentrated.
As of the June 2016 distribution date, the pool's aggregate
principal balance has been paid down by 23.8% to $838.7 million
from $1.1 billion at issuance. The entire pool reported 2015
financials. Based on financial statements for the remaining loans
in the pool, the overall net operating income (NOI) improved 28%
since issuance and 12% over 2014 reported financials.
The largest loan, Arizona Mills (19.2% of pool), is secured by a
1.25 million square foot (sf) outlet mall located in Tempe, AZ. As
of the March 2016 rent roll, property occupancy has declined to
87.5% from 91.1% at year-end (YE) 2015, 92.8% one year earlier, and
95.8% two years earlier. The recent decline in occupancy since YE
2015 was due to three tenants totaling 4% of net rentable area
(NRA) vacating at their scheduled January 2016 lease expiration.
The prior largest tenant, JC Penney Outlet, closed its store at the
property at the end of 2013. This space has since been re-tenanted
by At Home, a home decor and furniture superstore, which opened in
July 2014. Off Saks Fifth Avenue terminated its lease during first
quarter 2015, which was prior to its scheduled January 2016 lease
expiration. Sports Authority, which had already downsized its
space by half, moved into this former Off Saks Fifth Avenue space;
however, Sports Authority closed its store in May 2015, which was
prior to its scheduled January 2026 lease expiration. In April
2016, Legoland Discovery Center took over this former Sports
Authority space on a 15-year lease, improving occupancy to 90%.
The largest Fitch LOC, Shops at Sunset Place (8.3%), is secured by
the leasehold on a 522,767 sf open-air lifestyle retail center
located in Miami, FL. The loan was assumed in June 2015 by Federal
Realty Investment Trust from a joint venture between Simon Property
Group and Institutional Mall Investors, LLC.
Both property occupancy and NOI have continued to decline and
remain below Fitch's expectations at issuance. As of the March
2016 rent roll, the property was 79.7% occupied, compared to 82.9%
at YE 2015, 79.8% at YE 2014, 77.5% at YE 2013, 77.2% at YE 2012,
88.7% at YE 2011, and 91.5% at YE 2010.
Property NOI for 2015 declined 8.4% from 2014 and is 7.5% below
Fitch's stressed NOI at issuance. In-line sales at the property
have also been declining. For 2015, in-line sales for stores less
than 10,000 sf were $250 per sf (psf) compared to $275 psf in 2014
and $302 psf at issuance. In-line sales for stores greater than
10,000 sf were $184 psf in 2015, $199 psf in 2014, and $218 psf at
issuance. Near-term lease rollover includes 5% in 2016 and 11% in
2017.
The second largest Fitch LOC, Greece Ridge Center (8.2%), is
secured by 1.06 million sf of a 1.61 million sf super-regional mall
located in Greece, NY (Rochester MSA). As of the March 2016 rent
roll, the overall mall was 77.9% occupied, compared to 78.9% at YE
2015, 79.3% at YE 2014, 78.3% at YE 2013, and 80.1% at YE 2012;
however, occupancy has declined from nearly 90% in 2010 and 2011.
One of the initial non-collateral anchors, Bon Ton, closed its
store at the property in 2012. The NOI in 2015 was consistent with
2014, down slightly by 0.5%, but is 9.3% below Fitch's stressed NOI
at issuance. Near-term lease rollover includes 4% in 2016 and 9%
in 2017. In the most recent sales report provided to Fitch for
this rating action, only about 50% of the collateral NRA had sales
figures reported. For these tenants with reported sales, the
average was approximately $225 psf, which is significantly below
the $331 psf reported at issuance.
RATING SENSITIVITIES
The Stable Outlooks on classes A-1 through E reflect increasing
credit enhancement and expected continued paydown. The Negative
Outlooks on classes F through H reflect the pool's retail
concentration (70% of pool) and concerns over property performance,
tenancy and/or sales trends. Fitch will continue to monitor this
concentration as well as the performance of the Fitch LOCs. If
performance deteriorates, negative rating actions are possible.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed and revised Rating Outlooks on these classes as
indicated:
-- $4.1 million class A-1 at 'AAAsf'; Outlook Stable;
-- $243.1 million class A-2 at 'AAAsf'; Outlook Stable;
-- $390.5 million class A-3 at 'AAAsf'; Outlook Stable;
-- Interest-only class X-A at 'AAAsf'; Outlook Stable;
-- $37.2 million class B at 'AAsf'; Outlook Stable;
-- $53.7 million class C at 'Asf'; Outlook Stable;
-- $33 million class D at 'BBB+sf'; Outlook Stable;
-- $22 million class E at 'BBB-sf'; Outlook Stable;
-- $16.5 million class F at 'BBsf'; Outlook to Negative from
Stable;
-- $13.8 million class G at 'Bsf'; Outlook Negative;
-- $2.8 million class H at 'B-sf'; Outlook Negative.
Fitch does not rate the class NR and interest-only class X-B
certificates.
JP MORGAN 2011-C5: Fitch Affirms BB Rating on Class E Certificates
------------------------------------------------------------------
Fitch Ratings has affirmed 11 classes of JPMCC's (JPMorgan Chase &
Co.) commercial mortgage pass-through certificates, series
2011-C5.
KEY RATING DRIVERS
The affirmations reflect stable pool performance since issuance. As
of the May 2016 distribution date, the pool's aggregate principal
balance has been reduced by 13.27% to $893 million from $1.03
billion at issuance. There are no delinquent loans in the pool,
but there are currently two Fitch Loans of Concern (7.4% of the
pool) and additional loans Fitch is monitoring.
There was one variance from criteria related to class C. The
surveillance criteria indicated that a rating upgrade above the
recommended rating was possible for the class. Fitch has
determined that further upgrades are not warranted at this time due
to concern regarding near-term maturities and declining performance
for select loans in the pool.
The largest loan in the pool (15.7%) is secured by a 792-room
full-service hotel located in Chicago, IL. Property amenities
include 45,000 square feet (sf) of meeting space, four restaurants,
a junior Olympic-size swimming pool and spa and fitness facilities.
The net operating income debt service coverage ratio (NOI DSCR)
for the subject declined from 1.88x as of year-end (YE) 2014 to
1.58x as of YE 2015. NOI declined from YE 2014 to YE 2015
primarily due to an increase in expenses; in this timeframe
property taxes increased by approximately
$1.3 million (34%). Additional near-term property tax increases
are anticipated following a city hall 2016 budget announcement.
The third largest loan in the pool is secured by Asheville Mall
(7.9% of the pool). At the time of the review, the most recent
servicer-provided year-end reporting was from 2014. The loan's
sponsor, CBL & Associates, is currently under investigation for
financial reporting regarding four loans originated in 2011 and
2012.
The Sun Development and Management Portfolio (5.6% of the pool), a
Fitch Loan of Concern, is secured by a portfolio of five
limited-service hotels (Embassy Suites, Hilton Garden Inn, Homewood
Suites, Hampton Inn, and Candlewood Suites). The properties are
located in five states: CA, NJ, TN, FL, and MS (total 637 rooms).
The loan matured on June 1, 2016 but did not pay-off at maturity. A
60-day forbearance has been approved, and the borrower is pursuing
financing options. DSCR for the portfolio was 2.47x as of YE 2015.
The loan remains current.
The second Fitch Loan of Concern, Maitland 200 (1.8% of the pool),
is secured by a 207,010 sf office property located in Maitland, FL
(Orlando MSA). Property occupancy has fluctuated in recent years
and was 83% with a 1.33x DSCR as of YE 2015. The loan is scheduled
to mature in August 2016, and the third largest tenant, Welbro
Building Corp (10.3% NRA), has a pending lease expiration in
November 2016. Fitch will continue to request updates on the
loan's refinance prospects.
RATING SENSITIVITIES
Rating Outlooks remain Stable for classes A-1 through A-S and
classes C through F as overall pool performance has been stable
since issuance. The Positive Outlook on class B reflects an
increase in class credit enhancement and position in the capital
structure. The Negative Outlook on class G reflects class credit
enhancement and position in the capital structure. Upgrades may
occur with stable to improved pool performance and significant
paydown or defeasance.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed these ratings and revised Outlooks where
indicated:
-- $112.8 million class A-2 at 'AAAsf'; Outlook Stable;
-- $405.9 million class A-3 at 'AAAsf'; Outlook Stable;
-- $65.4 million class A-SB at 'AAAsf'; Outlook Stable;
-- $728.4 million class X-A* 'AAAsf'; Outlook Stable;
-- $86.2 million class A-S at 'AAAsf'; Outlook Stable;
-- $51.5 million class B at 'AAsf'; Outlook to Positive from
Stable;
-- $39.9 million class C at 'Asf'; Outlook Stable;
-- $65.6 million class D at 'BBB-sf'; Outlook Stable;
-- $12.9 million class E at 'BBsf'; Outlook Stable;
-- $9 million class F at 'B+sf'; Outlook Stable;
-- $16.7 million class G at 'B-sf'; Outlook to Negative from
Stable.
* Notional amount and interest only.
The class A-1 certificates have paid in full. Fitch does not rate
the class NR or interest only X-B certificates.
JP MORGAN 2013-C14: Fitch Affirms B Rating on Cl. G Certs
---------------------------------------------------------
Fitch Ratings has affirmed 13 classes of J.P. Morgan Chase
Commercial Mortgage Securities Trust (JPMBB) commercial mortgage
pass-through certificates series 2013-C14.
KEY RATING DRIVERS
The affirmations are the result of stable performance of the
underlying pool since issuance. As of the June 2016 distribution
date, the pool's aggregate principal balance has been reduced by
3.6% to $1.11 billion from $1.15 billion at issuance. The pool has
experienced no realized losses to date. One loan (0.7%) is
defeased. Fitch has designated three loans (8.6%) as Fitch Loans
of Concern (FLOC), which includes one specially serviced loan
(0.8%). Interest shortfalls are currently affecting class NR.
The largest loan of concern is the Plaza La Cienega loan (5.5% of
the pool), which is secured by a 308,143 square foot (sf) mixed use
center (83% retail; 17% office) located in Los Angeles, CA. Retail
tenants include LA Fitness (21% net rentable are [NRA]), Toys R' Us
(20% NRA), and Ross Dress for Less (8.8% NRA). The loan has been
identified as a FLOC due to the recent vacancy of Staples
(previously 7.8% NRA), which vacated the property upon its lease
expiration in November 2015. Current occupancy is 89%, compared to
99% at issuance. According to REIS, market fundamentals remain
strong with vacancy for the Los Angeles Westside/Downtown submarket
reporting at 4%. The year-end (YE) 2015 net operating income (NOI)
debt service coverage (DSCR) reported at 1.70x, compared to 1.65x
at YE 2014 and 1.38x at issuance. The loan remains current as of
the June 2016 remittance.
The second largest loan of concern is the 575 Maryville Centre
Drive (2.3%), which is secured by a 258,441 sf class B office tower
in St. Louis, MO. The loan has been identified as a FLOC due to
significant tenant vacancies. At issuance the largest tenant,
Solutia, had subleased 45,000 sf of its total 121,000 sf (46.6%
NRA) leased space to Cequel concurrent with Solutia's original
lease which expires in June 2018. The servicer reported that
Solutia had vacated the remaining 76,000 sf in November 2015 but
continues to remit rental payments. In addition, the second
largest tenant, Saavis Communication Corp. (98,640 sf, or 35.6%
NRA) recently amended its lease to only extend 46,000 sf of its
current space through June 2022 and will vacate the remaining
52,640 sf upon its June 2017 lease expiration. As of December 2015
the servicer reports the property as 100% leased with an NOI DSCR
of 2.42x. The loan remains current as of the June 2016 remittance.
The specially serviced loan (0.8%) is secured by a 225-room full
service, Sheraton Four Points Hotel located in San Diego, CA. The
loan had transferred to special servicing in February 2016 due to
payment default in December 2015. Property performance has
declined since issuance with net operating income (NOI) debt
service coverage (DSCR) reporting at 1.16x for year-end (YE) 2015,
which is an improvement from YE 2014 at 0.53x but remains
significantly below issuance at 1.76x. The property had become
several months past due on payables owed to numerous vendors and
for utility bills, which triggered a cash flow sweep and emergency
funds remitted by the servicer to the property manager to keep the
property operational. The servicer inspected the property in
February 2016 where the property was found to be in fair condition
with numerous instances of deferred maintenance. A pre-negotiation
agreement was executed and a receiver was put in place in April
2016. The borrower filed for chapter 11 bankruptcy in May 2016,
and the servicer is currently navigating the bankruptcy process.
RATING SENSITIVITIES
The Rating Outlook remains Stable for all classes. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset level event changes the transaction's
portfolio-level metrics.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed these ratings:
-- $38.6 million class A-1 at 'AAAsf'; Outlook Stable;
-- $278.3 million class A-2 at 'AAAsf'; Outlook Stable;
-- $75 million class A-3 at 'AAAsf'; Outlook Stable;
-- $288.5 million class A-4 at 'AAAsf'; Outlook Stable;
-- $81.8 million class A-SB at 'AAAsf'; Outlook Stable;
-- $80.4 million class A-S at 'AAAsf'; Outlook Stable;
-- $842.6 million * class X-A at 'AAAsf'; Outlook Stable;
-- $76.1 million class B at 'AA-sf'; Outlook Stable;
-- $45.9 million class C at 'A-sf'; Outlook Stable;
-- $53.1 million class D at 'BBB-sf'; Outlook Stable;
-- $11.5 million class E at 'BBB-sf'; Outlook Stable;
-- $12.9 million class F at 'BB+sf'; Outlook Stable;
-- $23 million class G at 'Bsf'; Outlook Stable.
* Notional amount and interest-only.
Fitch does not rate the class NR or class X-C certificates. The
class X-B certificate was withdrawn from the transaction prior to
closing.
KVK CLO 2012-2: S&P Affirms 'BB Rating on Class E Notes
-------------------------------------------------------
S&P Global Ratings affirmed its ratings on the class A, B, C, D,
and E notes from KVK CLO 2012-2 Ltd., a U.S. collateralized loan
obligation (CLO) that closed in February 2013 and is managed by
Kramer Van Kirk Credit Strategies L.P.
The rating actions follow S&P's review of the transaction's
performance, using data from the April 28, 2016, trustee report.
The transaction is scheduled to remain in its reinvestment period
until August 2016, and S&P anticipates that the manager will
continue to reinvest principal proceeds in line with the
transaction documents.
Since the transaction's July 2013 effective date, the collateral
portfolio's weighted average life has decreased to 4.28 years from
5.59 years, which positively affected the collateral pool's
creditworthiness. In addition, the number of obligors in the
portfolio has increased during this period, which contributed to
the portfolio's diversification. Although the amount of 'CCC'
rated and defaulted assets has increased to $24.92 million and
$5.14 million, respectively, from $2.00 million and none at the
effective date, these negative factors were offset mostly by the
portfolio's overall credit seasoning.
Furthermore, since the effective date, the increase in defaults has
led to a drop in the overcollateralization (O/C) ratios since the
July 2013 trustee report:
-- The class A/B O/C decreased to 131.04% from 132.40%.
-- The class C O/C to 119.52% from 120.77%.
-- The class D O/C decreased to 112.99% from 114.17%.
-- The class E O/C decreased to 107.60% from 108.72%.
Although the negative aspects of the deal were offset by the
overall seasoning and positive portfolio credit quality migration,
any significant deterioration could negatively affect the deal in
the future, especially the junior tranches. As a result, even
though our cash flow analysis pointed to higher ratings for the
class B, C, and D notes, S&P considered the above and also other
stress tests to allow for volatility in the underlying portfolio,
given that the transaction is still in its reinvestment period, and
affirmed these tranches at their current rating levels.
Additionally, even though the cash flow results indicated a lower
rating for the class E notes, S&P affirmed its 'BB (sf)' rating on
the tranche to account for the class' relatively stable O/C level,
collateral seasoning, and the approaching end of the reinvestment
period, at which time the deal will begin to deleverage.
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
KVK CLO 2012-2 Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating cushion(i) rating
A AAA (sf) AAA (sf) 9.17% AAA (sf)
B AA (sf) AA+ (sf) 9.69% AA (sf)
C A (sf) A+ (sf) 5.65% A (sf)
D BBB (sf) BBB+ (sf) 3.60% BBB (sf)
E BB (sf) BB- (sf) 1.57% BB (sf)
(i)The cash flow implied rating considers the actual spread,
coupon, and recovery of the underlying collateral. (ii)The cash
flow cushion is the excess of the tranche break-even default rate
above the scenario default rate at the assigned rating for a given
class of rated notes using the actual spread, coupon, and
recovery.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated 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.
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 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA (sf)
C A+ (sf) A (sf) A+ (sf) AA- (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 AA+ (sf) AA+ (sf) AA- (sf) AA (sf)
C A+ (sf) A+ (sf) BBB+ (sf) A (sf)
D BBB+ (sf) BBB (sf) BB (sf) BBB (sf)
E BB- (sf) B+ (sf) CCC (sf) BB (sf)
RATINGS AFFIRMED
KVK CLO 2012-2 Ltd.
Class Rating
A AAA (sf)
B AA (sf)
C A (sf)
D BBB (sf)
E BB (sf)
LANDMARK INFRASTRUCTURE 2016-1: Fitch Rates Class B Notes BB-
-------------------------------------------------------------
Fitch Ratings assigns ratings and Rating Outlooks to LMRK Issuer
Co. LLC's Landmark Infrastructure Secured Tenant Site Contract
Revenue Notes, Series 2016-1 as follows:
-- $91,500,000 series 2016-1, class A, 'A-sf'; Outlook Stable;
-- $25,100,000 series 2016-1, class B, 'BB-sf'; Outlook Stable.
Since Fitch published its expected ratings on May 13, 2016, the
issuer removed the billboard site contracts from the trust and the
balance of the class A certificates has decreased from $103,900,000
to $91,500,000 and the balance of the class B certificates has
decreased from $29,200,000 to $25,100,000. The classes above
reflect the final ratings and deal structure.
The transaction is an issuance of notes backed by mortgages
representing not less than 95% of the annualized net cash flow 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.
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 net cash flow (NCF) on the pool is $12.5
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 9.4x, which equates to a debt
yield of 10.7%.
Long-Term Easements: The ownership interests in the sites consist
of 90.3% easements, 7.2% assignment of rents, and 2.5% fee. The
weighted average remaining life of the ownership interest is 77.6
years (assumes 99 years for perpetual easements and fee sites).
Scheduled Amortization Paid Sequentially: The transaction is
structured with scheduled monthly principal payments that will
amortize down the principal balance 15% by the ARD in year five,
reducing the refinance risk.
Leases to Strong Tower Tenants: There are 629 tenant leases located
on 491 unique sites. Telecom tenants represent 100% of the leases
on the sites and 57.9% of the revenue is from investment-grade
tenants. T-Mobile is the largest tenant, representing
approximately 19.2% of annualized revenue. The tenant leases have
average annual escalators of 3% and a weighted average final
remaining term (including renewals) of 21.3 years.
RATING SENSITIVITIES
Fitch performed several stress scenarios in which Fitch's NCF was
stressed. Fitch determined that a 53% reduction in Fitch's NCF
would cause the notes to break even at 1.00x 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 15% decline would result in a downgrade to below
investment grade.
LB-UBS COMMERCIAL 2007-C1: S&P Raises Rating on 2 Certs to CCC
--------------------------------------------------------------
S&P Global Ratings raised its ratings on six classes of commercial
mortgage pass-through certificates from LB-UBS Commercial Mortgage
Trust 2007-C1, a U.S. commercial mortgage-backed securities (CMBS)
transaction. In addition, S&P affirmed its ratings on three other
classes from the same transaction.
S&P's rating actions on the 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, A-1A, A-M, and C 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 reduced trust balance.
The upgrades on classes D and E reflect the expected liquidity
support available, and although S&P assess that these classes are
vulnerable to nonpayment, these classes are currently not
experiencing or expected to incur interest shortfalls in the near
term at this time.
The affirmations on the class A-J and B 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 current and
future performance of the transaction's collateral, the transaction
structure, and liquidity support available to the classes. The
affirmation on class F considered the class' susceptibility to
experience interest shortfalls given its current available
liquidity as a result of further reduction in servicer advances for
the 10 assets with the special servicer ($93.1 million, 3.8%).
TRANSACTION SUMMARY
As of the May 17, 2016, trustee remittance report, the collateral
pool balance was $2.45 billion, which is 66.1% of the pool balance
at issuance. The pool currently includes 97 loans and eight real
estate owned (REO) assets (reflecting cross-collateralized and
cross-defaulted loans), down from 139 loans at issuance. Ten of
these assets are with the special servicer, LNR Partners LLC (LNR),
15 ($194.5 million, 7.9%) are defeased, and 14 ($150.2 million,
6.1%) are on the master servicer's watchlist. The master servicer,
KeyBank N.A., reported financial information for 98.9% of the
nondefeased loans in the pool, of which 96.9% was partial or
year-end 2015 data, 1.5% was year-end 2014 data, and the reminder
was partial-year 2016 data.
S&P calculated an S&P Global Ratings weighted average debt service
coverage (DSC) of 1.18x and loan-to-value (LTV) ratio of 102.3%
using an S&P Global Ratings weighted average capitalization rate of
7.06%. The DSC, LTV, and capitalization rate calculations exclude
the 10 specially serviced assets and 15 defeased loans. The top 10
nondefeased loans have an aggregate outstanding pool trust balance
of $1.61 billion (65.8%). Using servicer-reported numbers, S&P
calculated an S&P Global Ratings weighted average DSC and LTV of
1.15x and 104.2%, respectively, for nine of the top 10 nondefeased
performing assets. The remaining asset is specially serviced and
discussed below.
To date, the transaction has experienced $166.6 million in
principal losses, or 4.5% of the original pool trust balance. S&P
expects losses to reach approximately 5.9% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses S&P expects upon the eventual resolution of
the 10 specially serviced assets.
CREDIT CONSIDERATIONS
As of the May 17, 2016, trustee remittance report, 10 assets in the
pool were with LNR. Appraisal reduction amounts (ARAs) totaling
$51.0 million are in effect against the 10 specially serviced
assets. Details of the three largest specially serviced assets
are:
The GTECH Office Campus - GTECH REO asset (GTECH; $16.3 million,
0.7%) is the largest asset with the special servicer and has a
total reported exposure of $17.5 million. The asset is a 170,000
sq.-ft. office property in West Greenwich, R.I. The asset is
cross-collateralized and cross-defaulted with the GTECH Office
ampus – Immunex REO asset (Immunex; $15.2 million, 0.6%), a
93,000 sq.-ft. office property in West Greenwich, R.I. The asset
has a reported $16.1 million total exposure. The crossed loans
were transferred to the special servicer on Sept. 19, 2014, because
of imminent default, and the properties became REO on March 31,
2015. The GTECH property is leased to GTech Corp. until November
2019, and the reported DSC was 1.20x for the six months ended Sept.
30, 2015. On the other hand, the Immunex property was previously
occupied by GTech Corp. and is currently 100% vacant. ARAs totaling
$16.7 million are in effect against the two assets. We expect a
moderate loss upon the assets' eventual resolution.
The Oak Grove Plaza loan ($13.9 million, 0.6%) is the third-largest
asset with the special servicer and has a total reported exposure
of $15.1 million. The loan is secured by a 230,812 sq.-ft. office
property in Jacksonville, Fla. The loan was transferred to the
special servicer on July 16, 2012, because of monetary default.
The reported DSC and occupancy as of year-end 2015 were 1.02x and
79.5%, respectively. An ARA of $308,319 million is in effect
against the loan. S&P expects a minimal loss upon the loan's
eventual resolution
The seven remaining assets with the special servicer have
individual balances that each represents less than 0.5% of the
total pool trust balance. S&P estimated losses for the 10
specially serviced assets, arriving at a 57.5% weighted average
loss severity.
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 2007-C1
Commercial mortgage pass-through certificates series 2007 C-1
Rating Rating
Class Identifier To From
A-4 50179AAE7 AA (sf) A+ (sf)
A-1A 50179AAF4 AA (sf) A+ (sf)
A-M 50179AAG2 BBB- (sf) BB- (sf)
A-J 50179AAH0 B- (sf) B- (sf)
B 50179AAJ6 B- (sf) B- (sf)
C 50179AAK3 B- (sf) CCC (sf)
D 50179AAL1 CCC (sf) CCC- (sf)
E 50179AAM9 CCC (sf) CCC- (sf)
F 50179AAN7 CCC- (sf) CCC- (sf)
MARATHON REAL: Fitch Affirms & Withdraws Series 2006-1 Ratings
--------------------------------------------------------------
Fitch Ratings has affirmed two classes of Marathon Real Estate CDO
2006-1 (Marathon 2006-1). Fitch also withdraws these two classes'
ratings due to lack of relevancy.
KEY RATING DRIVERS
Since the last rating action in November 2015, there has been
significant pay down; classes A-1 through H have been paid in full.
The transaction is highly concentrated with only 12 assets
remaining. Approximately 94.2% of the total collateral is whole
loans or A-notes, while 5.8% is CUSIP collateral (REIT debt). The
CDO has a significant percentage of defaulted assets (46% of the
pool) and Fitch Loans of Concern (30.8%) remaining in the pool.
Additionally, there are three interest rate swaps remaining in the
transaction, which are senior in priority to the notes within the
waterfall.
The affirmations at 'CCCsf' reflect Fitch's concern regarding the
asset manager's ability to continue to manage the CDO such that
principal and interest proceeds are available to make timely
interest payments to senior class J given the possible diminishing
amount of funds available from the assets and remaining swap
payments. Principal recoveries to the rated classes are expected to
be high given the senior position of the majority of the
collateral.
This transaction was analyzed according to the 'Surveillance
Criteria for U.S. CREL CDOs', which applies stresses to property
cash flows and debt service coverage ratio (DSCR) tests to project
future default levels for the underlying portfolio. Recoveries for
the loan assets are based on stressed cash flows and Fitch's
long-term capitalization rates. Cash flow modeling was not
performed, as no material impact from the analysis was anticipated.
Fitch is withdrawing the ratings on this transaction due to the
lack of relevancy to the ag ency's coverage combined with
commercial reasons.
RATING SENSITIVITIES
Ratings sensitivities are not applicable as the ratings on the
transaction are being withdrawn.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch affirms and withdraws the following classes:
-- $56.3 million class J at 'CCCsf';
-- $26.7 million class K at 'CCCsf'.
Classes A-1 through H have been paid in full. Fitch does not rate
the preferred shares.
MORGAN STANLEY 2006-TOP23: Fitch Affirms BB Rating on Cl. C Certs.
------------------------------------------------------------------
Fitch Ratings has upgraded two classes and affirmed 12 classes of
Morgan Stanley Capital I Trust (MSCI) commercial mortgage
pass-through certificates series 2006-TOP23.
KEY RATING DRIVERS
The upgrade to class A-J reflects the significant paydown since
Fitch's last review (roughly $900 million) and the amount of
defeased collateral (30.1% of the pool) that is maturing in July
2016. The upgrade to class B reflects the increase in credit
enhancement as a result of the paydown. The affirmations to the
classes below investment grade are due to the concentrated nature
of the pool and the potential for additional maturity defaults. Of
the 33 remaining loans, 15.4% matured in June 2016 and are still
performing, while an additional 35.4% mature in July 2016. Fitch
modeled losses of 22.7% of the remaining pool; expected losses on
the original pool balance total 5.1%, including
$28.9 million (1.8% of the original pool balance) in realized
losses to date. Fitch has designated eight loans (40.1%) as Fitch
Loans of Concern, which includes four specially serviced assets
(14.7%).
As of the June 2016 distribution date, the pool's aggregate
principal balance has been reduced by 85.5% to $234.1 million from
$1.61 billion at issuance. Per the servicer reporting, four loans
(30.1% of the pool) are defeased. Interest shortfalls are
currently affecting classes G through P.
The largest contributor to expected losses is secured by a 155,012
square foot (sf) mixed-use (office and retail) property (6.6% of
the pool) located in Savannah, GA. The loan transferred to the
special servicer in July 2013 due to a payment default. Foreclosure
occurred in May 2014 and the property subsequently became real
estate owned (REO). The servicer has addressed some deferred
maintenance issues and continues to increase occupancy, which was
52% according to the April 2016 rent roll. The disposition timing
is still being determined.
The next largest contributor to expected losses is the 150 Hillside
Avenue loan (9.1%), which is secured by a 128,818 sf office
building located in White Plains, NY. The two largest tenants at
the property occupy 95.7% of the total net rentable area (NRA).
The largest tenant, The Dannon Company, occupies 57% of the NRA
with their lease expiring in September 2017. The loan matures in
June 2036, but has an ARD date in June 2018. Fitch applied a
conservative analysis to this loan due to the lease rollover risk
in 2017 and the interest rate increase scheduled for June 2018
should the loan fail to refinance. According to the October 2015
rent roll, the property is 100% occupied. The servicer reported
DSCR for YE 2015 was reported to be 1.55x.
The third largest contributor to expected losses is also specially
serviced and is secured by a portfolio of industrial properties
(3.2%) located in IL. The loan transferred to the special servicer
January 2013 due to the borrower's failure to remit the November
2012 payment. One of the four properties was sold in June 2013 and
with the net proceeds applied to the loan. Foreclosure occurred on
the remaining three properties in November 2014. Another property
was sold by the special servicer in April 2016. The servicer is
now attempting to the sell the two remaining properties, one of
which is under contract and the other is being held as lease
renewal negotiations are ongoing.
RATING SENSITIVITIES
Outlooks on classes A-J, B and D remain Stable due to increasing
credit enhancement. The Outlook on class C has been revised to
Positive from Stable to reflect the expected paydown from loans
maturing in July 2016 (35.4%). Due to the concentrated nature of
the pool and the potential for increased losses from maturing
loans, Fitch applied a conservative analysis to the pool. As such,
additional upgrades may be warranted if the bulk of maturing loans
pay in full. The distressed class E through K notes are
susceptible to further downgrades as losses are realized.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch upgrades these classes:
-- $102.2 million class A-J to 'AAAsf' from 'Asf'; Outlook
Stable;
-- $32.3 million class B to 'Asf' from 'BBB-sf'; Outlook
Stable.
Fitch affirms these classes and revises Rating Outlooks and REs as
indicated:
-- $16.1 million class C at 'BBsf'; Outlook to Positive from
Stable;
-- $14.1 million class E at 'CCCsf'; RE 75%;
-- $12.1 million class F at 'CCCsf'; RE 0%.
Fitch affirms these classes:
-- $26.2 million class D at 'Bsf'; Outlook Stable;
-- $14.1 million class G at 'CCsf'; RE 0%;
-- $10.1 million class H at 'Csf'; RE 0%;
-- $4 million class J at 'Csf'; RE 0%;
-- $2.8 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 O at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-AB, A-4 and A-M certificates have paid
in full. Fitch does not rate the class P certificates. Fitch
previously withdrew the rating on the interest-only class X
certificates.
MORGAN STANLEY 2007-TOP25: Fitch Affirms D Rating on 11 Certs
-------------------------------------------------------------
Fitch Ratings has affirmed 17 classes of Morgan Stanley Capital I
Trust 2007-TOP25 (MSCI 2007-TOP25) commercial mortgage pass-through
certificates.
KEY RATING DRIVERS
Fitch modeled losses of 11.6% of the remaining pool; expected
losses on the original pool balance total 12.8%, including $92.2
million (5.9% of the original pool balance) in realized losses to
date. Approximately 91% of the pool is scheduled to mature by
January 2017.
Fitch has designated 34 loans (22.7%) as Fitch Loans of Concern,
which includes four specially serviced assets (3.3%). The largest
property type concentration remaining in the pool is retail at 37%.
As of the May 2016 distribution date, the pool's aggregate
principal balance has been reduced by 40.6% to $922.3 million from
$1.55 billion at issuance. Per the servicer reporting, 24 loans
(18.5% of the pool) are defeased. Interest shortfalls are
currently affecting classes D through P.
The largest contributor to expected losses is the Shoppes at Park
Place loan (7.7% of the pool), which is secured by a 325,000 square
foot (sf) retail center located in Pinellas Park, FL. As of the
December 2015 rent roll, the property remained 100% occupied with
approximately 11% tenant roll over the next year. The average
current rent at the property is above market levels. Further,
recent tenant sales information was not provided. The loan remains
current, but is considered overleveraged; it matures in January
2017.
The next largest contributor to expected losses is the
specially-serviced Romeoville Towne Center loan (2%), which is
secured by a 108,000 sf retail property located in Romeoville, IL.
The anchor space, which was formerly occupied by Dominick's Finer
Foods Supermarkets (60.5%), is dark. Dominick's, a subsidiary of
Safeway Inc., closed the grocery store in 2013 as part of its
decision to exit the Chicago market. The tenant continues to pay
rent; the lease matures in 2019. At this time, there are no
prospects for the dark space. Additionally, the borrower is
working with the applicable government authorities regarding a
pending condemnation to expand the highway in front of the subject.
The loan, which has an anticipated repayment date (ARD) in January
2017, transferred to special servicing in March 2014 due to
imminent payment default.
RATING SENSITIVITIES
Rating Outlooks remain Stable for classes A-1A and A-3. The
Positive Outlook on class A-M reflects its increasing credit
enhancement as well as the high percentage of defeased collateral.
Upgrade to this class is possible should credit enhancement
continue to improve as loans pay off over the next six months.
Classes A-1A through A-M and distressed classes A-J through C could
be subject to downgrade should overall property performance
decline, additional loans transfer to special servicing, or further
losses be realized.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed these ratings:
-- $98 million class A-1A at 'AAAsf'; Outlook Stable;
-- $497.3 million class A-3 at 'AAAsf'; Outlook Stable;
-- $155.5 million class A-M at 'Asf'; Outlook to Positive from
Negative;
-- $110.8 million class A-J at 'CCCsf'; RE 65%.
-- $27.2 million class B at 'CCsf'; RE 0%;
-- $11.7 million class C at 'CCsf'; RE 0%;
-- $22.4 million class D at 'Dsf'; RE 0%;
-- $0 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%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%.
The class A-1, A-2 and A-AB certificates have paid in full. Fitch
does not rate the class P certificates. Fitch previously withdrew
the rating on the interest-only class X certificates.
NCF DEALER 2014-1: DBRS Confirms BB (sf) Rating on Class D Notes
----------------------------------------------------------------
DBRS, Inc. confirmed all classes of NCF Dealer Floorplan Master
Trust, Series 2014-1. The four publicly rated classes were
confirmed as credit enhancement levels are sufficient to cover
DBRS’s expected losses at their current respective rating levels.
The DBRS ratings are based on its review of the following
analytical considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- The transaction parties' capabilities with regard to
origination, underwriting and servicing.
-- Credit quality of the collateral pool and historical
performance.
The confirmation of the outstanding ratings of NCF Dealer Floorplan
Master Trust, Series 2014-1 reflects the current credit enhancement
levels provided by subordination, the Reserve Account and
overcollateralization. As of the May 2016 payment date, the monthly
net loss ratio was 0.11% of the original collateral balance.
NCF Dealer Floorplan Master Trust
Series 2014-1
Class Confirmed Rating
----- ----------------
A Notes AAsf
B Notes Asf
C Notes BBBsf
D Notes BBsf
NCF GRANTOR 2005-3: S&P Raises Rating on Class A-5-1 Certs. to B
----------------------------------------------------------------
S&P Global Ratings raised its rating on the transferable custody
receipts (Bank of New York SPE) related to NCF Grantor Trust
2005-3's class A-5-1 certificates due 2033 to 'B (sf)' from 'B-
(sf)'.
S&P's rating on the custody receipts reflects the higher of its
ratings on the underlying security, NCF Grantor Trust 2005-3's
class A-5-1 certificates due Oct. 25, 2033 ('B (sf)') and the
insurance provider, Ambac Assurance Corp. (not rated).
The rating actions follow the May 17, 2016, raising of its
long-term rating on the underlying security. S&P may take
subsequent rating actions on the certificates due to changes in its
rating on the underlying security or swap counterparty.
NON-PROFIT PREFERRED I: Moody's Hikes Ratings on $74.3MM of Notes
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on these notes
issued by Non-Profit Preferred Funding Trust I Structured
Tax-Exempt Pass-Through (STEP) Certificates:
$90,000,000 Class A-1 Senior Certificates due 2037 (current
outstanding balance of $16,284,620), Upgraded to Aa1 (sf);
previously on Oct. 3, 2014, Upgraded to Aa3 (sf)
$230,000,000 Class A-2 Delayed Issuance Senior Certificates due
2037 (current outstanding balance of $41,493,574), Upgraded to
Aa1 (sf); previously on Oct. 3, 2014, Upgraded to Aa3 (sf)
$16,500,000 Class B Senior Certificates due 2037, Upgraded to
Baa1 (sf); previously on Oct. 3, 2014, Upgraded to Baa3 (sf)
Moody's affirmed the ratings on these notes:
$22,000,000 Class C Mezzanine Certificates due 2037, Affirmed
Caa1 (sf); previously on Oct. 3, 2014, Affirmed Caa1 (sf)
$14,000,000 Class D Subordinate Certificates due 2037, Affirmed
Caa3 (sf); previously on Oct. 3, 2014, Affirmed Caa3 (sf)
Non-Profit Preferred Funding Trust I Structured Tax-Exempt
Pass-Through (STEP) Certificates, issued in November 2006, is a
collateralized debt obligation (CDO) backed by a portfolio of
not-for-profit municipal tax-exempt issuance in the healthcare,
utilities, and higher education sectors.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since December 2015. The Class
A-1 and A-2 notes have been paid down collectively by approximately
18.8% or $13.3 million since that time. Based on the trustee's May
2016 report, the OC ratios for the Class A/B, C and D notes are
reported at 142.51%, 109.95% and 95.99%, respectively, versus
December 2015 levels of 131.84%, 105.38% and 93.44%, respectively.
The paydowns have been primarily due to proceeds from the sale and
refinancing of underlying collateral.
Moody's also notes that the defaulted par has decreased since
December 2015. According to the trustee's May 2016 report the
defaulted par is reported at $32.5 million compared to
$38.9 million in December 2015. The reduction is the result of an
asset that was previously defaulted and is now performing, as well
as the sale of two defaulted assets.
Methodology Used for the Rating Action
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Municipal and Sub-sovereign CDOs" published in
November 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:
1) Macroeconomic uncertainty: Transaction performance is subject
to uncertainty about credit conditions in the general
economy.
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 CDO 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 CDO performance.
Conversely, a negative shift in credit quality or performance
of the collateral can have adverse consequences for CDO
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 CDO could accelerate owing to
refinancings 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 CDO notes, beginning
with those with the highest payment priority.
5) Recovery of defaulted assets: The portfolio currently
includes a large number of defaulted assets, totaling
$32.5 million, or approximately 25% of total par and
principal proceeds. 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. Realization
of higher than assumed recoveries would positively impact the
CDO.
6) Exposure to credit estimates: The deal contains a large
number of securities whose default probabilities Moody's has
assessed through credit estimates. If Moody's does not
receive the necessary information to update its credit
estimates in a timely fashion, the transaction could be
negatively affected by any default probability adjustments
Moody's assumes in lieu of updated credit estimates.
7) 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):
Assuming a two-notch upgrade to all assets (WARF of 2740)
Class A-1: +1
Class A-2: +1
Class B: +3
Class C: +5
Class D: 0
Assuming a two-notch downgrade to all assets (WARF of 6376)
Class A-1: -2
Class A-2: -2
Class B: -4
Class C: -3
Class D: 0
Loss and Cash Flow Analysis:
Moody's applies a Monte Carlo simulation framework in Moody's
CDOROM to model the loss distribution for Municipal CDOs. The
simulated defaults and recoveries for each of the Monte Carlo
scenarios define the reference pool's loss distribution. Moody's
then uses the loss distribution as an input in the CDOEdge cash
flow model.
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 $99.8 million, defaulted par
of $32.5 million, a weighted average default probability of 50.1%
(implying a WARF of 4478), a weighted average recovery rate upon
default of 50.0% and a weighted average coupon of 5.63%.
A material proportion of the collateral pool includes debt
obligations whose credit quality Moody's assesses through credit
estimates. Moody's analysis reflects adjustments with respect to
the default probabilities associated with credit estimates.
Specifically, Moody's assumed an equivalent of Caa3 for assets with
credit estimates that have not been updated within the last 15
months, which represent approximately 10.5% of the collateral pool.
Additionally, for each credit estimates whose related exposure
constitutes more than 3% of the collateral pool, Moody's applied a
two-notch equivalent assumed downgrade, which totals approximately
30.6% of the pool.
NRZ ADVANCE 2015-ON1: S&P Gives Prelim. BB Rating on Cl. E-T1Debt
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to NRZ Advance
Receivables Trust 2015-ON1's $400 million advance
receivables-backed notes series 2016-T1.
The note issuance is a servicer advance transaction backed by
servicer advance receivables.
The preliminary ratings are based on information as of June 15,
2016. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The strong likelihood of reimbursement of servicer advance
receivables given the priority of such reimbursement
payments;
-- The transaction's revolving period, during which collections
or draws on the outstanding variable funding notes (VFNs)
may be used to fund additional advance receivables, and the
specified eligibility requirements, collateral value
exclusions, credit enhancement test (the collateral test),
and amortization triggers intended to maintain pool quality
and credit enhancement during this period;
-- The transaction's use of predetermined, rating category-
specific advance rates for each receivable type in the pool
that discount the receivables, which are non-interest
bearing, to satisfy the interest obligations on the notes,
as well as provide for dynamic overcollateralization;
-- The projected timing of reimbursements of the servicer
advance receivables, which, in the 'AAA', 'AA', and 'A'
scenarios, reflects S&P's assumption that the servicer would
be replaced, while in the 'BBB' and 'BB' scenarios, reflects
the servicer's historical reimbursement experience;
-- The credit enhancement in the form of overcollateralization,
subordination, and the series reserve account;
-- The timely interest and full principal payments made under
S&P's stressed cash flow modeling scenarios consistent with
the assigned ratings; and
-- The transaction's sequential turbo payment structure that
applies during any full amortization period.
The preliminary ratings assigned to the series 2016-T1 notes do not
address whether the cash flows generated by the receivables pool
will be sufficient to pay certain supplemental fees, such as
default supplemental fees and expected repayment date supplemental
fees, which may become payable to noteholders if certain events
occur.
PRELIMINARY RATINGS ASSIGNED
NRZ Advance Receivables Trust 2015-ON1 (Series 2016-T1)
Class Rating Type Interest rate Amt (mil. $)
A-T1 AAA (sf) Term note Fixed 323.24
B-T1 AA (sf) Term note Fixed 11.89
C-T1 A (sf) Term note Fixed 15.14
D-T1 BBB (sf) Term note Fixed 44.32
E-T1 BB (sf) Term note Fixed 5.41
OCP CLO 2012-2: S&P Affirms BB Rating on Class E Notes
------------------------------------------------------
S&P Global Ratings raised its ratings on the class B, C, D, and
combo notes from OCP CLO 2012-2 Ltd., a U.S. collateralized loan
obligation (CLO) that closed in November 2012 and is managed by
Onex Credit Partners, LLC. At the same time, S&P affirmed its
ratings on the class X-2, A-1, A-2, and E notes from the same
transaction.
The rating actions follow S&P's review of the transaction's
performance using data from the May 13, 2016, monthly trustee
report and the May 23, 2016, note valuation report.
The upgrades reflect $59.06 million in collective paydowns to the
class X-2, A-1, and A-2 notes, as well as general improvement in
the credit quality of the underlying collateral since S&P's August
2013 effective date rating actions. The paydowns have left the
class X-2 notes and the class A-1 and A-2 notes with 4.88% and
82.57%, respectively, of their original outstanding notional
balances remaining.
According to the May 2016 trustee report that S&P used for this
review, the overcollateralization (O/C) ratios for each class have
remained relatively stable since our August 2013 rating
affirmations.
-- The class A/B O/C ratio was 130.33%, up from the 130.19%
reported in June 2013.
-- The class C O/C ratio was 118.84%, down from the 119.39%
reported in June 2013. The class D O/C ratio was 112.46%,
down from the 113.34% reported in June 2013.
-- The class E O/C ratio was 107.34%, down from the 108.46%
reported in June 2013.
The affirmations of the ratings on the class X-2, A-1, A-2, and E
notes reflect S&P's belief that the credit support available is
commensurate with the current rating levels.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with S&P's criteria, its cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest and/or
ultimate principal to each of the rated tranches. The results of
the cash flow analysis demonstrated, in S&P's view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with this rating action.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and S&P will take further rating actions
as it deems necessary.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
OCP CLO 2012-2 Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
X2 AAA (sf) AAA (sf) 27.76% AAA (sf)
A1 AAA (sf) AAA (sf) 18.31% AAA (sf)
A2 AAA (sf) AAA (sf) 18.31% AAA (sf)
B AA (sf) AA+ (sf) 14.83% AA+ (sf)
C A (sf) AA- (sf) 1.79% AA- (sf)
D BBB (sf) BBB+ (sf) 7.02% BBB+ (sf)
E BB (sf) BB (sf) 0.29% BB (sf)
Combo A (sf) AA (sf) 0.90% 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 (BDR) above the scenario default rate (SDR) at the
assigned rating for a given class of rated notes using the actual
spread, coupon, and recovery.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated additional
scenarios in which it made negative adjustments of 10% to the
current collateral pool's recovery rates relative to each tranche's
weighted average recovery rate. S&P also generated other scenarios
by adjusting the intra- and inter-industry correlations to assess
the current portfolio's sensitivity to different correlation
assumptions assuming the correlation scenarios outlined below.
Correlation
Scenario Within industry (%) Between industries (%)
Below base case 15.0 5.0
Base case 20.0 7.5
Above base case 25.0 10.0
Recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
X2 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A2 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf)
C AA- (sf) A+ (sf) A+ (sf) AA+ (sf) AA- (sf)
D BBB+ (sf) BBB (sf) BBB+ (sf) A- (sf) BBB+ (sf)
E BB (sf) B+ (sf) BB- (sf) BB+ (sf) BB (sf)
Combo AA (sf) A+ (sf) A+ (sf) AA+ (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
X2 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A1 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A2 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf)
C AA- (sf) A+ (sf) BBB+ (sf) AA- (sf)
D BBB+ (sf) BBB+ (sf) BB+ (sf) BBB+ (sf)
E BB (sf) B+ (sf) CCC+ (sf) BB (sf)
Combo AA (sf) AA- (sf) A- (sf) AA- (sf)
RATINGS RAISED
OCP CLO 2012-2 Ltd.
Rating
Class To From
B AA+ (sf) AA (sf)
C AA- (sf) A (sf)
D BBB+ (sf) BBB (sf)
Combo AA- (sf) A (sf)
RATINGS AFFIRMED
OCP CLO 2012-2 Ltd.
Class Rating
X-2 AAA (sf)
A-1 AAA (sf)
A-2 AAA (sf)
E BB (sf)
OHA CREDIT VII: 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, D, and E notes from OHA Credit Partners VII Ltd., a U.S.
collateralized loan obligation (CLO) that closed in November 2012
and is managed by Oak Hill Advisors L.P.
S&P's affirmations of the ratings reflect the available credit
support consistent with the current rating levels. According to
the May 2016 trustee report, the weighted average life has
decreased to 4.58 years from 6.42 years as of the April 2013
effective date. Because time horizon factors heavily into default
probability, a shorter weighted average life positively affects the
creditworthiness of the collateral pool. Over the same period, the
defaulted asset balance has remained at zero. Since the effective
date, there has also been an increase in collateral with S&P Global
Ratings credit ratings of 'BB-' or higher within the transaction's
portfolio.
All coverage tests are passing with a good cushion and the
overcollateralization (O/C) ratios have been relatively stable
since the effective date. The May 2016 trustee report indicated
these O/C changes compared with the April 2013 report:
-- The class A/B O/C decreased to 133.83% from 134.16%.
-- The class C O/C ratio decreased to 122.12% from 122.42%.
-- The class D O/C ratio decreased to 114.95% from 115.23%.
-- The class E O/C ratio decreased to 108.96% from 109.23%.
Although the cash flow results indicated higher ratings for the
class B-1, B-2, C-1, C-2, and D notes, S&P' took into account that
the transaction is still in its reinvestment phase, which is
scheduled to end in November 2016. In addition, S&P' also
considered the increase in 'CCC' assets to 7.0% in May 2016 from
1.9% of the collateral balance at the effective date, exposure to
distressed industries, and other sensitivity analyses to allow for
volatility in the underlying portfolio.
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,
ultimate principal, or both to each of the rated tranches. The
cash flow analysis demonstrated, in S&P's view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with these rating
actions.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and S&P will take rating actions as it
deems necessary.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
OHA Credit Partners VII Ltd.
Cash flow Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A AAA (sf) AAA (sf) 11.63% AAA (sf)
B-1 AA (sf) AA+ (sf) 10.24% AA (sf)
B-2 AA (sf) AA+ (sf) 10.24% AA (sf)
C-1 A (sf) A+ (sf) 7.13% A (sf)
C-2 A (sf) A+ (sf) 7.13% A (sf)
D BBB (sf) BBB+ (sf) 5.25% BBB (sf)
E BB (sf) BB (sf) 1.53% 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-1 AA (sf) AA+ (sf) AA+ (sf) AAA (sf) AA (sf)
B-2 AA (sf) AA+ (sf) AA+ (sf) AAA (sf) AA (sf)
C-1 A (sf) A+ (sf) A+ (sf) AA (sf) A (sf)
C-2 A (sf) A+ (sf) A+ (sf) AA (sf) A (sf)
D BBB (sf) BBB- (sf) BBB+ (sf) A- (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) AAA (sf) AAA (sf)
B-1 AA (sf) AA+ (sf) AA- (sf) AA (sf)
B-2 AA (sf) AA+ (sf) AA- (sf) AA (sf)
C-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
OHA Credit Partners VII Ltd.
Class Rating
A-1 AAA (sf)
B-1 AA (sf)
B-2 AA (sf)
C-1 A (sf)
C-2 A (sf)
D BBB (sf)
E BB (sf)
OHA LOAN 2012-1: 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, D, and E notes from OHA Loan Funding 2012-1 Ltd., a U.S.
collateralized loan obligation (CLO) that closed in January 2013
and is managed by Oak Hill Advisors L.P.
S&P's affirmations of the ratings reflect the available credit
support consistent with the current rating levels. According to
the May 2016 trustee report, the weighted average life has
decreased to 4.65 years from 5.64 years as of the June 2013
effective date. Because time horizon factors heavily into default
probability, a shorter weighted average life positively affects the
creditworthiness of the collateral pool. Over the same period, the
defaulted asset balance has remained low, currently accounting for
only 0.2% of the collateral balance. Since the effective date,
there has also been an increase in collateral with S&P Global
Ratings credit ratings of 'BB-' or higher within the transaction's
portfolio.
The overcollateralization (O/C) ratios have remained stable over
time. The May 2016 trustee report indicated these O/C changes
compared with the June 2013 report:
-- The class A/B O/C increased to 133.89% from 133.68%.
-- The class C O/C ratio increased to 122.31% from 122.12%.
-- The class D O/C ratio increased to 115.28% from 115.10%.
Although the cash flow results indicated higher ratings for the
class B-1, B-2, C, D, and E notes, S&P took into account that the
transaction is still in its reinvestment phase, which is scheduled
to end in January 2017. In addition, S&P also considered the
increase in 'CCC' assets to 7.0% in May 2016 from 1.0% of the
collateral balance at the effective date, exposure to distressed
industries, and other sensitivity analyses to allow for volatility
in the underlying portfolio.
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,
ultimate principal, or both to each of the rated tranches. The
cash flow analysis demonstrated, in S&P's view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with these rating
actions.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and S&P will take rating actions as it
deems necessary.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
OHA Loan Funding 2012-1 Ltd.
Cash flow Cash flow
Previous implied cushion Final
Class rating rating(i) (%)(ii) rating
A AAA (sf) AAA (sf) 13.19% AAA (sf)
B-1 AA (sf) AA+ (sf) 10.08% AA (sf)
B-2 AA (sf) AA+ (sf) 10.08% AA (sf)
C A (sf) A+ (sf) 7.60% A (sf)
D BBB (sf) BBB+ (sf) 5.74% BBB (sf)
E BB (sf) BB+ (sf) 1.24% 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-1 AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA (sf)
B-2 AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA (sf)
C A+ (sf) A+ (sf) A+ (sf) AA (sf) A (sf)
D BBB+ (sf) BBB (sf) BBB+ (sf) A- (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) AAA (sf) AAA (sf)
B-1 AA+ (sf) AA+ (sf) AA- (sf) AA (sf)
B-2 AA+ (sf) AA+ (sf) AA- (sf) AA (sf)
C A+ (sf) A+ (sf) BBB+ (sf) A (sf)
D BBB+ (sf) BBB+ (sf) BB+ (sf) BBB (sf)
E BB+ (sf) BB- (sf) B- (sf) BB (sf)
RATINGS AFFIRMED
OHA Loan Funding 2012-1 Ltd.
Class Rating
A-1 AAA (sf)
B-1 AA (sf)
B-2 AA (sf)
C A (sf)
D BBB (sf)
E BB (sf)
PALMER SQUARE 2013-1: S&P Affirms BB Rating on Class D Notes
------------------------------------------------------------
S&P Global Ratings affirmed its ratings on the class A-1, A-2, B,
C, D, and E notes from Palmer Square CLO 2013-1 Ltd., a cash flow
collateralized loan obligation (CLO) transaction.
The affirmations reflect S&P's belief that the credit support
available is commensurate with the current rating levels. The
rating actions follow S&P's review of the transaction's performance
using data from the May 4, 2016, trustee report.
The transaction is still in its reinvestment period, which is
scheduled to end in May 2017. S&P anticipates that the manager
will continue to reinvest principal proceeds in line with the
transaction documents.
According to the May 4, 2016, trustee report, the
overcollateralization (O/C) ratios are passing and well-above their
minimum requirement, although they have decreased marginally since
the effective date. For instance, the class A ratio is 127.52%,
passing its minimum requirement of 118.44% but down slightly from
the 128.81% in July 2013 trustee report, which S&P used for its
effective date analysis. Similarly, the class E ratio was 105.06%
in May 2016, which is slightly down from 106.12% in July 2013 but
above the minimum requirement of 101.82%.
The decrease in O/C ratios is primarily due to the increase in
defaults and par losses incurred upon the sale of securities. The
current balance of defaulted securities is about $1.7 million par
(versus zero in July 2013). In addition, the current portfolio has
a 4.7% exposure to the oil and gas industry.
However, the above factors are offset primarily by underlying
collateral pool's seasoning and the transaction's relatively stable
performance. The portfolio's weighted average life per the May
2016 trustee report was 4.45 years, down from 5.46 years in July
2013. There was also an increase in assets rated 'BB-' or higher
over this period. Both the decline in weighted average life and
the increase in assets rated 'BB-' or higher lowered the
portfolio's credit risk profile.
Although the cash flow results indicated higher ratings for some of
the notes, S&P's ratings reflect additional sensitivities that
considered the exposure to specific industries and also attempted
to capture any potential changes in the underlying portfolio until
the notes begin to amortize.
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 on recoveries upon default under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest or
ultimate principal to each of the rated tranches. The results of
the cash flow analysis demonstrated, in S&P's view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with this rating action.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and S&P will take rating actions as it
deems necessary.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
Palmer Square CLO 2013-1 Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A-1 AAA (sf) AAA (sf) 12.87% AAA (sf)
A-2 AA (sf) AA+ (sf) 8.70% AA (sf)
B A (sf) AA- (sf) 1.18% A (sf)
C BBB (sf) BBB+ (sf) 7.42% BBB (sf)
D BB (sf) BB+ (sf) 4.38% BB (sf)
E B (sf) B (sf) 0.71% B (sf))
(i)The cash flow cushion is the excess of the tranche break-even
default rate above the scenario default rate at the cash flow
implied rating for a given class of rated notes.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated additional
scenarios in which it made negative adjustments of 10% to the
current collateral pool's recovery rates relative to each tranche's
weighted average recovery rate. S&P also generated other scenarios
by adjusting the intra- and inter-industry correlations to assess
the current portfolio's sensitivity to different correlation
assumptions assuming the correlation scenarios outlined below.
Correlation
Scenario Within industry (%) Between industries (%)
Below base case 15.0 5.0
Base case 20.0 7.5
Above base case 25.0 10.0
Recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2 AA+ (sf) AA+ (sf) AA+ (sf) AA+ (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)
E B (sf) CCC+ (sf) B (sf) B (sf) B (sf)
DEFAULT BIASING SENSITIVITY
To assess whether the current portfolio has sufficient diversity,
S&P biased defaults on the assets in the current collateral pool
with the highest spread and lowest base-case recoveries.
Spread Recovery
Cash flow compression compression
implied implied implied Final
Class rating rating rating rating
A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2 AA+ (sf) A+ (sf) A+ (sf) AA (sf)
B AA- (sf) BB+ (sf) BBB+ (sf) A (sf)
C BBB+ (sf) B- (sf) BB+ (sf) BBB (sf)
D BB+ (sf) CC (sf) B- (sf) BB (sf)
E B (sf) CC (sf) CC (sf) B (sf)
RATINGS AFFIRMED
Palmer Square CLO 2013-1 Ltd.
Class Rating
A-1 AAA (sf)
A-2 AA (sf)
B A (sf)
C BBB (sf)
D BB (sf)
E B (sf)
RACE POINT VIII: S&P Affirms BB- Rating on Class E Notes
--------------------------------------------------------
S&P Global Ratings affirmed its ratings on the class A, B, C, D,
and E notes from Race Point VIII CLO Ltd., a U.S. collateralized
loan obligation (CLO) that closed in February 2013 and is managed
by Sankaty Advisors LLC.
The rating actions follow S&P's review of the transaction's
performance, using data from the May 6, 2016, trustee report. The
transaction is scheduled to remain in its reinvestment period until
February 2017, and S&P anticipates that the manager will continue
to reinvest principal proceeds in line with the transaction
documents.
Since the transaction's May 2013 effective date, the weighted
average life of the collateral portfolio has decreased to 4.59
years from 5.68 years, which positively affected the
creditworthiness of the collateral pool. In addition, the number
of obligors in the portfolio has increased during this period,
which contributed to the portfolio's diversification. Although the
amount of 'CCC' rated and defaulted assets have increased to $12.72
million and $4.44 million, respectively, from none at the effective
date, these negative factors were offset mostly by the portfolio's
overall credit seasoning.
Furthermore, since the effective date, the increase in defaults has
led to a drop in the overcollateralization (O/C) ratios since the
May 2013 trustee report:
-- The class A/B O/C decreased to 135.47% from 137.32%.
-- The class C O/C to 121.29% from 122.95%.
-- The class D O/C decreased to 113.95% from 115.50%.
-- The class E O/C decreased to 107.32% from 108.79%.
Although the negative aspects of the deal were offset by the
overall seasoning and positive portfolio credit quality migration,
any significant deterioration could negatively affect the deal in
the future, especially the junior tranches. As a result, even
though S&P's cash flow analysis pointed to higher ratings for the
class B, C, and D notes, S&P considered the above and also other
stress tests to allow for volatility in the underlying portfolio,
given that the transaction is still in its reinvestment period, and
affirmed these tranches at their current rating level.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and S&P will take further rating actions
as it deem necessary.
CASH FLOW AND SENSITIVITY ANALYSIS
Race Point VIII CLO Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A AAA (sf) AAA (sf) 11.65% AAA (sf)
B AA (sf) AA+ (sf) 14.24% AA (sf)
C A (sf) AA- (sf) 0.62% A (sf)
D BBB (sf) BBB+ (sf) 7.03% BBB (sf)
E BB- (sf) BB- (sf) 2.25% BB- (sf)
(i)The cash flow implied rating considers the actual spread,
coupon, and recovery of the underlying collateral.
(ii)The cash flow cushion is the excess of the tranche break-even
default rate above the scenario default rate at the assigned rating
for a given class of rated notes using the actual spread, coupon,
and recovery.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated scenarios in
which it made negative adjustments of 10% to the current collateral
pool's recovery rates relative to each tranche's weighted average
recovery rate.
S&P also generated other scenarios by adjusting the intra- and
inter-industry correlations to assess the current portfolio's
sensitivity to different correlation assumptions, assuming the
correlation scenarios outlined below.
Correlation
scenario Within industry (%) Between industries (%)
Below base case 15.0 5.0
Base case equals rating 20.0 7.5
Above base case 25.0 10.0
Recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA (sf)
C AA- (sf) A+ (sf) A+ (sf) AA+ (sf) A (sf)
D BBB+ (sf) BBB (sf) BBB+ (sf) A- (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) AAA (sf) AAA (sf)
B AA+ (sf) AA+ (sf) AA (sf) AA (sf)
C AA- (sf) A+ (sf) BBB+ (sf) A (sf)
D BBB+ (sf) BBB+ (sf) BB+ (sf) BBB (sf)
E BB- (sf) B+ (sf) CCC (sf) BB- (sf)
RATINGS AFFIRMED
Race Point VIII CLO Ltd.
Class Rating
A AAA (sf)
B AA (sf)
C A (sf)
D BBB (sf)
E BB- (sf)
RAMP TRUST 2001-KS3: Moody's Hikes Cl. M-II-1 Debt Rating to Caa1
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of one tranche
issued by RAMP Series 2004-RS2 Trust and one tranche issued by RASC
Series 2001-KS3 Trust. The transactions are backed by Subprime
mortgage loans.
Complete rating actions are:
Issuer: RAMP Series 2004-RS2 Trust
Cl. M-II-1, Upgraded to Baa2 (sf); previously on Sept. 3, 2014,
Upgraded to Baa3 (sf)
Issuer: RASC Series 2001-KS3 Trust
Cl. M-II-1, Upgraded to Caa1 (sf); previously on July 31, 2015,
Upgraded to Caa2 (sf)
RATINGS RATIONALE
The upgrades are due to the total credit enhancement available to
the bonds. The actions reflect the recent performance of the
underlying pools and Moody's updated loss expectations on the
pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.7% in May 2016 from 5.5% in May
2015. Moody's forecasts an unemployment central range of 4.5% to
5.5% for the 2016 year. Deviations from this central scenario
could lead to rating actions in the sector. House prices are
another key driver of US RMBS performance. Moody's expects house
prices to continue to rise in 2016. Lower increases than Moody's
expects or decreases could lead to negative rating actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures.
RAMP TRUST 2005-SL1: Moody's Hikes Rating on 2 Tranches to B2
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of Class A-I and
Class A-II from RAMP Series 2005-SL1 Trust. The transaction is
backed by Alt-A loans.
Complete rating actions are as follows:
Issuer: RAMP Series 2005-SL1 Trust
Cl. A-I, Upgraded to B2 (sf); previously on Mar 24, 2015 Confirmed
at Caa1 (sf)
Cl. A-II, Upgraded to B2 (sf); previously on Mar 24, 2015 Confirmed
at Caa1 (sf)
RATINGS RATIONALE
The upgrade rating actions are mainly due to corrections to the
cash-flow waterfalls used by Moody's to review this transaction
since its last rating actions. The cash-flow waterfalls commingled
available funds of all collateral groups and paid principal pro
rata to all senior bonds after credit support depletion date,
instead of paying senior bonds from available funds of their
related collateral group first. The errors have now been corrected
and today's rating actions reflect the appropriate allocation of
principal payments. Today's actions also reflect the recent
performance of the underlying pools and Moody's updated loss
expectations on the pools.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.7% in May 2016 from 5.5% in May
2015. Moody's forecasts an unemployment central range of 4.5% to
5.5% for the 2016 year. Deviations from this central scenario could
lead to rating actions in the sector.
House prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2016. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
RESOURCE CAPITAL 2015-CRE4: Moody's Affirms B3 Rating on Cl. C Debt
-------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on the following
notes issued by Resource Capital Corp. 2015-CRE4, Ltd. ("RSO
2015-CRE4"):
Cl. A, Affirmed Aaa (sf); previously on Aug 18, 2015 Definitive
Rating Assigned Aaa (sf)
Cl. B, Affirmed Baa3 (sf); previously on Aug 18, 2015 Definitive
Rating Assigned Baa3 (sf)
Cl. C, Affirmed B3 (sf); previously on Aug 18, 2015 Definitive
Rating Assigned B3 (sf)
RATINGS RATIONALE
Moody's has affirmed the ratings of the three classes of notes
because the key transaction metrics are commensurate with existing
ratings. The affirmation is the result of Moody's on-going
surveillance of commercial real estate collateralized debt
obligation (CRE CDO CLO) transactions.
RSO 2015-CRE4 is a static cash flow transaction that is backed by a
portfolio of commercial real estate whole loans and senior
participations (100% of the collateral pool balance). The
transaction has a permitted companion loan acquisition period which
ends in August 2017, whereby principal prepayments, subject to
collateral and transaction performance metrics, may be used to
purchase up to $23.6 million of companion notes with respect to
certain eligible pari-passu participations within the existing
collateral pool. As of the trustee's May 17, 2016 report, the
aggregate note balance of the transaction, including preferred
shares, is $312.9 million, the same as that at issuance.
No assets are listed as defaulted as of the trustee's May 17, 2016
report.
SACO I 2005-9: Moody's Hikes Ratings on 2 Tranches
--------------------------------------------------
Moody's Investors Service has upgraded the ratings of Class A-1 and
Class A-3 from SACO I Trust 2005-9, a deal backed by second-lien
RMBS loans.
Complete rating actions are as follows:
Issuer: SACO I Trust 2005-9
Cl. A-1, Upgraded to Ba3 (sf); previously on Oct 9, 2015 Upgraded
to B2 (sf)
Cl. A-3, Upgraded to Ba3 (sf); previously on Oct 9, 2015 Upgraded
to B2 (sf)
RATINGS RATIONALE
The ratings upgraded are the result of an increase in credit
enhancement available to the bonds. The actions reflect recent
performance of the underlying pools and Moody's updated loss
expectations on the pools.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.7% in May 2016 from 5.5% in May
2015. Moody's forecasts an unemployment central range of 4.5% to
5.5% for the 2016 year. Deviations from this central scenario could
lead to rating actions in the sector.
House prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2016. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
SASCO TRUST 2003-26A: Moody's Raises Rating on Cl. 1-A Debt to Ba3
------------------------------------------------------------------
Moody's Investors Service has upgraded the rating of one tranche
and downgraded the rating of one tranche from two transactions,
backed by Alt-A loans, issued by SASCO.
Complete rating actions are:
Issuer: Structured Asset Securities Corp Trust (SASCO) 2003-26A
Cl. 1-A, Upgraded to Ba3 (sf); previously on Feb. 9, 2015,
Downgraded to B1 (sf)
Issuer: Structured Asset Securities Corp Trust 2003-34A
Cl. 1-A, Downgraded to B1 (sf); previously on July 5, 2012,
Downgraded to Ba3 (sf)
RATINGS RATIONALE
The rating upgraded is a result of the improving performance of the
related pool and an increase in credit enhancement available to the
bond. The rating downgraded is a result of the weak performance of
the related pool. The rating actions reflect the recent
performance of the underlying pools and Moody's updated loss
expectation on the pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.7% in May 2016 from 5.5% in May
2015. Moody's forecasts an unemployment central range of 4.5% to
5.5% for the 2016 year. Deviations from this central scenario
could lead to rating actions in the sector.
House prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2016. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
SEAWALL 2007-3: Moody's Affirms Ba1(sf) Rating on Cl. C Debt
------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on four classes
of notes issued by Seawall 2007-3, Ltd.:
Super Senior, Affirmed Aa1 (sf); previously on Jul 15, 2015
Affirmed Aa1 (sf)
Cl. A, Affirmed A2 (sf); previously on Jul 15, 2015 Affirmed A2
(sf)
Cl. B, Affirmed Baa3 (sf); previously on Jul 15, 2015 Affirmed Baa3
(sf)
Cl. C, Affirmed Ba1 (sf); previously on Jul 15, 2015 Affirmed Ba1
(sf)
Moody's has also downgraded one class of notes:
Cl. X, Downgraded to Aa3 (sf); previously on Jul 15, 2015 Affirmed
Aa2 (sf)
RATINGS RATIONALE
Moody's has affirmed the ratings on the transaction because its key
transaction metrics are commensurate with the existing ratings. The
rating actions are the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation (CRE CDO
Synthetic) transactions.
The rating on the IO Class (Class X) was downgraded due to the
paydown of certain reference classes that generate a greater
portion of the excess interest available for the IO. This results
in a reduction in the expected IO cash flow going forward.
Seawall 2007-3 Ltd is a static synthetic transaction backed by a
portfolio of credit default swaps on commercial mortgage backed
securities (CMBS) (100% of the reference obligation pool balance).
As of the May 31, 2016 trustee report, the aggregate note balance
of the transaction has decreased to $477.0 million from $1 billion
at issuance, with the reference pool amortization being paid to the
notes on a sequential basis. Additionally, Class X is interest-only
with a notional balance that references the Super Senior class of
notes and note classes A through C.
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 reference obligations
it does not rate. The rating agency modeled a bottom-dollar WARF of
9, as compared to 11 at last review. The current ratings on the
Moody's-rated collateral and the assessments of the non-Moody's
rated collateral follow: Aaa-Aa3: 96.8%, as compared to 96.1% at
last review; A1-A3 3.2%, as compared to 2.1% at last review; and
Baa1-Baa3: 0%, as compared to 1.8% at last review.
SHOPS AT CRYSTALS 2016-CSTL: S&P Gives Prelim BB Rating on E Debt
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Shops at
Crystals Trust 2016-CSTL's $300.0 million commercial mortgage
pass-through certificates.
The certificate issuance is a commercial mortgage-backed securities
transaction backed by a $300.0 million trust mortgage loan, which
is part of a whole mortgage loan totaling $550.0 million, secured
by a first lien on the borrower's fee interest in the Shops at
Crystals, a 262,327-sq.-ft. luxury shopping center located in Las
Vegas. The $550.0 million whole loan is split into a $300.0
million trust balance and $250.0 million of non-trust companion
loans, of which $210.9 million is pari passu to the class A notes,
and $39.1 million is pari passu to the class B notes.
The preliminary ratings are based on information as of June 21,
2016. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of the collateral's
historical and projected performance, the sponsor's and manager's
experience, the trustee-provided liquidity, the loan's terms, and
the transaction's structure.
PRELIMINARY RATINGS ASSIGNED
Shops at Crystals Trust 2016-CSTL
Class Rating Amount
($)
A AAA (sf) 112,000,000
X-A AAA (sf) 112,000,000(i)
X-B AA- (sf) 20,700,000(i)
B AA- (sf) 20,700,000
C A- (sf) 50,700,000
D BBB- (sf) 63,800,000
E BB (sf) 52,800,000
(i)Notional balance. The notional amount of the class X-A
certificates will be reduced by the aggregate amount of principal
distributions and realized losses allocated to the class A
certificates, and the notional amount of the class X-B certificates
will be reduced by the aggregate amount of principal distributions
and realized losses allocated to the class B certificates.
SIERRA AUTO 2016-1: S&P Assigns Prelim. BB Rating on Cl. C Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Sierra Auto
Receivables Securitization Trust 2016-1's $135.00 million
automobile receivables-backed notes series 2016-1.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The preliminary ratings are based on information as of June 17,
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 41.8%, 32.8%, and 26.9%
credit support for the class A, B and B notes, respectively,
based on stressed cash flow scenarios (including excess
spread), which provides coverage of more than 2.1x, 1.6x,
and 1.3x S&P's 19.00%-20.00% expected cumulative net loss.
-- The timely interest and principal payments 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, S&P's rating on the class A
notes would remain within one rating category of S&P's
preliminary 'A (sf)' rating during the first year and that
S&P's ratings on the class B and C notes would remain within
two rating categories of our preliminary 'BBB (sf)' and
'BB (sf)' ratings, respectively, 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 two-category downgrade within the
first year for 'A (sf)', 'BBB (sf)' and 'BB (sf)' rated
securities under moderate stress conditions.
-- The collateral characteristics of the overall subprime
automobile loan pool securitized in this transaction.
-- The transaction's payment and legal structures.
PRELIMINARY RATINGS ASSIGNED
Sierra Auto Receivables Securitization Trust 2016-1
Class Rating Type Interest Amount
rate (mil. $)
A A (sf) Senior Fixed 102.20
B BBB (sf) Subordinate Fixed 16.90
C BB (sf) Subordinate Fixed 15.90
SOCIETE GENERALE 2016-C5 COMMERCIAL: Fitch Rates Cl. F Debt 'B-sf'
------------------------------------------------------------------
Fitch Ratings has issued a presale report on the Societe Generale
Commercial Mortgage Securities Trust 2016-C5 Pass-Through
Certificates, Series 2016-C5. Fitch expects to rate the transaction
and assign Rating Outlooks as follows:
-- $30,047,000 class A-1 'AAAsf'; Outlook Stable;
-- $92,155,000 class A-2 'AAAsf'; Outlook Stable;
-- $165,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $188,922,000 class A-4 'AAAsf'; Outlook Stable;
-- $39,644,000 class A-SB 'AAAsf'; Outlook Stable;
-- $50,656,000 class A-M 'AAAsf'; Outlook Stable;
-- $566,424,000b class X-A 'AAAsf'; Outlook Stable;
-- $35,919,000b class X-B 'AA-sf'; Outlook Stable;
-- $33,157,000b class X-C 'A-sf'; Outlook Stable;
-- $35,919,000 class B 'AA-sf'; Outlook Stable;
-- $33,157,000 class C 'A-sf'; Outlook Stable;
-- $39,603,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $19,342,000ab class X-E 'BB-sf'; Outlook Stable;
-- $8,289,000ab class X-F 'B-sf'; Outlook Stable;
-- $39,603,000a class D 'BBB-sf'; Outlook Stable;
-- $19,342,000a class E 'BB-sf'; Outlook Stable;
-- $8,289,000a class F 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
The expected ratings are based on information provided by the
issuer as of June 20, 2016. Fitch does not expect to rate the
following classes:
-- $34,077,980 class X-G;
-- $34,077,980 class G.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 47 loans secured by 138
commercial properties having an aggregate principal balance of
approximately $736.8 million as of the cutoff date. The loans were
contributed to the trust by Societe Generale, Cantor Commercial
Real Estate Lending, L.P., Natixis Real Estate Capital LLC, Benefit
Street Partners CRE Finance LLC, and Silverpeak Real Estate Finance
LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral including site inspections on 71.4% of the properties by
balance, cash flow analysis of 80.6%, and asset summary reviews on
80.6% of the pool.
KEY RATING DRIVERS
Fitch Leverage: The pool's leverage statistics are in line with
other recent Fitch-rated, fixed-rate multiborrower transactions.
The pool's Fitch debt service coverage ratio (DSCR) of 1.15x is
slightly below the year-to-date (YTD) 2016 average of 1.17x and
full-year 2015 average of 1.18x. The pool's Fitch loan to value
(LTV) of 107.7% is in line with the YTD 2016 average of 107.5% and
below the full-year 2015 average of 109.3%.
High Hotel Concentration: Approximately 20.9% of the pool by
balance, including one of the top 10 loans (4.7%), consists of a
hotel property, which is higher than the YTD 2016 average of 15.9%
and the 2015 average of 17.0%; hotels have the highest probability
of default in Fitch's multiborrower CMBS model.
Less Concentrated Pool: The largest 10 loans in the transaction
compose 43.4% of the pool by balance. Compared to other Fitch-rated
U.S. multiborrower deals, the concentration in this transaction is
lower than the YTD 2016 and full-year 2015 average concentrations
of 55.4% and 49.3%, respectively. The pool's concentration results
in a loan concentration index (LCI) of 308, which is lower than the
2015 average of 367.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 14.1% below
the most recent year's net operating income (NOI; for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period). Unanticipated further
declines in property-level NCF could result in higher defaults and
loss severities on defaulted loans and in potential rating actions
on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to SGCMS
2016-C5 certificates and found that the transaction displays
average sensitivity to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to '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. The presale report includes a detailed explanation of
additional stresses and sensitivities on pages 10-11.
DUE DILIGENCE USAGE
No third-party due diligence was provided to or reviewed by Fitch
in relation to this transaction.
=
STRIPS III 2003-1: Moody's Affirms Caa3(sf) Rating on Cl. M Notes
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on the following
notes issued by STRIPs III Ltd./STRIPs III Corp. Master Trust,
Series 2003-1 (STRIPs 2003-1):
Cl. M, Affirmed Caa3 (sf); previously on Aug 20, 2015 Affirmed Caa3
(sf)
Cl. N, Affirmed C (sf); previously on Aug 20, 2015 Affirmed C (sf)
RATINGS RATIONALE
Moody's has affirmed the ratings on the transaction because its key
transaction metrics are commensurate with the existing ratings. The
underlying CMBS transactions supporting the cash flows to the
interest-only certificates (IO), which in turn support the STRIPs
2003-1 notes, are nearing their respective maturities. As such, the
remaining cash flows may see some volatility through maturity.
However, these risks are captured in Moody's analysis. The rating
actions are the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligations (CRE CDO and
ReRemic) transactions.
STRIPs 2003-1 is a static transaction backed by a portfolio of five
IO certificates (the "Underlying IO Certificates") from five CMBS
transactions issued from 1999 to 2002. As of the May 20, 2016
trustee report, the aggregate note balance of the transaction has
decreased to $5.1 million from $465.2 million at issuance, with the
cash flow from the IO certificates directed to pay interest and
principal in a senior-sequential manner.
TCI-FLATIRON 2016-1: Moody's Assigns Ba3 Rating on Cl. E Notes
--------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of notes to be issued by TCI-Flatiron CLO 2016-1 Ltd.
Moody's rating action is:
$256,000,000 Class A Senior Secured Floating Rate Notes due
2028, Assigned (P)Aaa (sf)
$46,000,000 Class B Senior Secured Floating Rate Notes due 2028,
Assigned (P)Aa2 (sf)
$22,000,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2028, Assigned (P)A2 (sf)
$24,000,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2028, Assigned (P)Baa3 (sf)
$20,000,000 Class E Senior Secured Deferrable Floating Rate
Notes due 2028, Assigned (P)Ba3 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes and the Class E Notes are referred to herein, collectively,
as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
RATINGS RATIONALE
Moody's provisional ratings of the Rated Notes address the expected
losses posed to noteholders. The provisional ratings reflect the
risks due to defaults on the underlying portfolio of assets, the
transaction's legal structure, and the characteristics of the
underlying assets.
TCI-Flatiron CLO 2016-1 is a managed cash flow CLO. The issued
notes will be collateralized primarily by broadly syndicated first
lien senior secured corporate loans. At least 90% of the portfolio
must consist of senior secured loans, cash, and eligible
investments, and up to 10% of the portfolio may consist of second
lien loans and unsecured loans. Moody's expects the portfolio to
be approximately 75% ramped as of the closing date.
TCI Capital Management LLC and NYL Investors LLC, as sub-advisor,
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 and the Sub-Advisor
may reinvest unscheduled principal payments and proceeds from sales
of credit risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2015.
For modeling purposes, Moody's used these base-case assumptions:
Par amount: $400,000,000
Diversity Score: 55
Weighted Average Rating Factor (WARF): 2840
Weighted Average Spread (WAS): 3.70%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 8.25 years.
Methodology Underlying the Rating Action:
The prinicpal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2015.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
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 and the
Sub-Advisor'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 2840 to 3266)
Rating Impact in Rating Notches
Class A Notes: 0
Class B Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: -1
Percentage Change in WARF -- increase of 30% (from 2840 to 3692)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -3
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
TELOS CLO 2013-4: S&P Affirms BB Rating on Class E Notes
--------------------------------------------------------
S&P Global Ratings affirmed its ratings on the class A, B, C, D,
and E notes from Telos CLO 2013-4 Ltd., a U.S. collateralized loan
obligation (CLO) that closed in August 2013 and is managed by TELOS
Asset Management LLC.
The rating actions follow S&P's review of the transaction's
performance, using data from the April 30, 2016, and May 31, 2016,
trustee reports. The transaction is scheduled to remain in its
reinvestment period until July 2017, and S&P anticipates that the
manager will continue to reinvest principal proceeds in line with
the transaction documents.
Since the transaction's September 2013 effective date, the weighted
average life of the collateral portfolio has decreased to 4.26
years from 5.58 years, which positively affected the
creditworthiness of the collateral pool. In addition, the number
of obligors in the portfolio has increased during this period,
which contributed to the portfolio's diversification. Although the
portfolio witnessed some credit deterioration during the same
period--the 'CCC' rated and defaulted assets increased to
$29.09 million and $1.34 million, respectively, from none at the
effective date--these negative factors were mostly offset by the
portfolio's overall credit seasoning.
Furthermore, since the effective date, the increase in 'CCC' rated
assets and discount obligations has led to a haircut being applied
to the overcollateralization (O/C) numerator, resulting in a
marginal drop in the O/C ratios since the September 2013 trustee
report:
-- The class A/B O/C decreased to 133.801% from 134.357%.
-- The class C O/C to 120.398% from 120.898%.
-- The class D O/C decreased to 112.891% from 113.360%.
-- The class E O/C decreased to 107.329% from 107.775%.
Although the negative aspects of the deal were offset by the
overall seasoning, any significant deterioration could negatively
affect the deal in the future, especially the junior tranches. As
a result, even though S&P' cash flow analysis pointed to higher
ratings for the class B, C, D and E notes, it considered the above
and also other stress tests to allow for volatility in the
underlying portfolio, given that the transaction is still in its
reinvestment period, and affirmed these tranches at their current
rating level.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and S&P will take further rating actions
as it deems necessary.
CASH FLOW AND SENSITIVITY ANALYSIS
Telos CLO 2013-4 Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A AAA (sf) AAA (sf) 9.87% AAA (sf)
B AA (sf) AA+ (sf) 10.93% AA (sf)
C A (sf) A+ (sf) 7.22% A (sf)
D BBB (sf) BBB+ (sf) 6.68% BBB (sf)
E BB (sf) BB+ (sf) 4.83% 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 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 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA (sf)
C A+ (sf) A+ (sf) A+ (sf) AA (sf) A (sf)
D BBB+ (sf) BBB (sf) BBB+ (sf) A- (sf) BBB (sf)
E BB+ (sf) BB- (sf) BB+ (sf) BB+ (sf) BB (sf)
DEFAULT BIASING SENSITIVITY
To assess whether the current portfolio has sufficient diversity,
S&P biased defaults on the assets in the current collateral pool
with the highest spread and lowest base-case recoveries.
Spread Recovery
Cash flow compression compression
implied implied implied Final
Class rating rating rating rating
A AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AA+ (sf) AA+ (sf) AA (sf) AA (sf)
C A+ (sf) A+ (sf) BBB+ (sf) A (sf)
D BBB+ (sf) BBB+ (sf) BB+ (sf) BBB (sf)
E BB+ (sf) BB (sf) B+ (sf) BB (sf)
RATINGS AFFIRMED
Telos CLO 2013-4 Ltd.
Class Rating
A AAA (sf)
B AA (sf)
C A (sf)
D BBB (sf)
E BB (sf)
THL CREDIT 2016-1: Moody's Assigns Ba3(sf) Rating to Class E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by THL Credit Wind River 2016-1 CLO Ltd. (the "Issuer"
or "THL Credit 2016-1")
Moody's rating action is as follows:
US$384,000,000 Class A Senior Secured Floating Rate Notes due 2028
(the "Class A Notes"), Assigned Aaa (sf)
US$72,000,000 Class B Senior Secured Floating Rate Notes due 2028
(the "Class B Notes"), Assigned Aa2 (sf)
US$36,000,000 Class C Secured Deferrable Floating Rate Notes due
2028 (the "Class C Notes"), Assigned A2 (sf)
US$30,000,000 Class D Secured Deferrable Floating Rate Notes due
2028 (the "Class D Notes"), Assigned Baa3 (sf)
US$30,000,000 Class E Secured Deferrable Floating Rate Notes due
2028 (the "Class E Notes"), Assigned Ba3 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes, and the Class E Notes are referred to herein,
collectively, as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
THL Credit Wind River 2016-1 CLO Ltd. is a managed cash flow CLO.
The issued notes will be collateralized primarily by broadly
syndicated first lien senior secured corporate loans. At least 90%
of the portfolio must consist of senior secured loans, cash, and
eligible investments, and up to 10% of the portfolio may consist of
second lien loans and unsecured loans. The portfolio is
approximately 76% ramped as of the closing date.
THL Credit Senior Loan Strategies LLC (the "Manager") will direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer has issued subordinated
notes and income notes.
TICP CLO 2016-1: Moody's Assigns (P)Ba3 Ratings to Class E Notes
----------------------------------------------------------------
Moody's Investors Service, has assigned provisional ratings to
seven classes of notes to be issued by TICP CLO V 2016-1, Ltd. (the
"Issuer" or "TICP CLO V 2016-1").
Moody's rating action is as follows:
US$240,000,000 Class A Senior Secured Floating Rate Notes due 2028
(the "Class A Notes"), Assigned (P)Aaa (sf)
US$44,000,000 Class B-1 Senior Secured Floating Rate Notes due 2028
(the "Class B-1 Notes"), Assigned (P)Aa2 (sf)
US$20,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2028
(the "Class B-2 Notes"), Assigned (P)Aa2 (sf)
US$21,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class C Notes"), Assigned (P)A2 (sf)
US$13,000,000 Class D-1 Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class D-1 Notes"), Assigned (P)Baa3 (sf)
US$10,000,000 Class D-2 Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class D-2 Notes"), Assigned (P)Baa3 (sf)
US$20,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2028 (the "Class E Notes"), Assigned (P)Ba3 (sf)
The Class A Notes, the Class B-1 Notes, the Class B-2 Notes, the
Class C Notes, the Class D-1 Notes, the Class D-2 Notes and the
Class E Notes are referred to herein, collectively, as the "Rated
Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
RATINGS RATIONALE
Moody's provisional ratings of the Rated Notes address the expected
losses posed to noteholders. The provisional ratings reflect the
risks due to defaults on the underlying portfolio of assets, the
transaction's legal structure, and the characteristics of the
underlying assets.
TICP CLO V 2016-1 is a managed cash flow CLO. The issued notes will
be collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90% of the portfolio must consist
of senior secured loans, cash, and eligible investments, and up to
10% of the portfolio may consist of second lien loans and unsecured
loans. We expect the portfolio to be approximately 80% ramped as of
the closing date.
TICP CLO V 2016-1 Management, LLC (the "Manager") and TPG Global,
LLC and its subsidiaries (pursuant to the terms of a services
agreement with the Manager) will direct the selection, acquisition
and disposition of the assets on behalf of the Issuer and may
engage in trading activity, including discretionary trading, during
the transaction's four year reinvestment period. Thereafter, the
Manager may reinvest unscheduled principal payments and proceeds
from sales of credit risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue subordinated
notes.
TRALEE CDO I: S&P Raises Rating on Class D Notes to BB+
-------------------------------------------------------
S&P Global Ratings raised its ratings on the class A-2a, A-2b, B,
C, and D notes from Tralee CDO I Ltd. and removed them from
CreditWatch, where they were placed with positive implications on
April 1, 2016. At the same time, S&P affirmed its 'AAA (sf)'
rating on the class A-1 notes from the same transaction.
The rating actions follow S&P's review of the transaction's
performance using data from the May 6, 2016, trustee report.
The upgrades reflect the transaction's $116.54 million in paydowns
to the class A-1 notes since S&P's August 2014 rating actions. With
the exception of the class D overcollateralization (O/C) ratio,
these paydowns resulted in improved reported O/C ratios since the
July 2014 trustee report, which S&P used for its August 2014 rating
actions:
-- The class A O/C ratio improved to 136.53% from 124.64%.
-- The class B O/C ratio improved to 122.63% from 116.86%.
-- The class C O/C ratio improved to 111.18% from 109.92%.
-- The class D O/C ratio decreased to 104.31% from 105.50%.
The credit quality of the collateral portfolio has slightly
deteriorated since S&P's last rating actions. The transaction has
had an increase in collateral obligations with ratings in the 'CCC'
category, with $20.08 million reported as of the May 2016 trustee
report compared with $1.46 million reported as of the July 2014
trustee report. When calculating the O/C ratios, the trustee
haircuts a portion of the 'CCC' rated collateral that exceeds the
threshold specified in the transaction documents. This threshold
is currently in breach, leading the trustee to haircut an amount
when calculating the O/C ratios.
However, despite the slightly larger concentrations in the 'CCC'
category collateral, the par amount of defaulted collateral has
decreased to $0.35 million from $4.90 million, and the transaction
has benefited from a drop in the weighted average life to
approximately 2.84 years as of the May 2016 trustee report from
approximately 3.63 years at the time of our 2014 rating actions due
to seasoning of the underlying collateral. In addition, the
transaction has seen an increase in the weighted average spread
generated from the underlying collateral of 0.20% over the same
time period.
The affirmation reflects S&P's view that the credit support
available is commensurate with the current rating level.
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 these rating
actions.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and will take rating actions as S&P
deems necessary.
CAPITAL STRUCTURE AND KEY METRICS COMPARISON
Notional Balance (Mil. $)
Class July 2014 May 2016
A-1 260.93 144.38
A-2a 17.90 17.90
A-2b 3.50 3.50
B 18.80 18.80
C 19.00 19.00
D 13.40 13.40
Coverage Tests And Collateral Quality Tests (%)
July 2014 May 2016
Weighted average spread 3.15 3.35
Weighted average life 3.63 2.84
A O/C 124.64 136.53
B O/C 116.86 122.63
C O/C 109.92 111.18
D O/C 105.50 104.31
A I/C 823.31 517.65
B I/C 727.45 449.44
C I/C 611.24 370.49
D I/C 485.38 295.31
O/C--Overcollateralization test.
I/C--Interest coverage test.
CASH FLOW AND SENSITIVITY ANALYSIS
Tralee CDO I Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A-1 AAA (sf) AAA (sf) 26.03% AAA (sf)
A-2a AA+ (sf)/Watch Pos AAA (sf) 13.55% AAA (sf)
A-2b AA+ (sf)/Watch Pos AAA (sf) 13.55% AAA (sf)
B AA (sf)/Watch Pos AA+ (sf) 12.34% AA+ (sf)
C BBB+ (sf)/Watch Pos A+ (sf) 5.93% A+ (sf)
D B+ (sf)/Watch Pos BB+ (sf) 6.39% 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-2a AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2b AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf)
C A+ (sf) A+ (sf) A+ (sf) AA (sf) A+ (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) AAA (sf) AAA (sf) AAA (sf)
A-2b AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf)
C A+ (sf) A+ (sf) BBB+ (sf) A+ (sf)
D BB+ (sf) BB+ (sf) B+ (sf) BB+ (sf)
RATINGS RAISED AND REMOVED FROM CREDITWATCH POSITIVE
Tralee CDO I Ltd.
Rating
Class To From
A-2a AAA (sf) AA+ (sf)/Watch Pos
A-2b AAA (sf) AA+ (sf)/Watch Pos
B AA+ (sf) AA (sf)/Watch Pos
C A+ (sf) BBB+ (sf)/Watch Pos
D BB+ (sf) B+ (sf)/Watch Pos
RATING AFFIRMED
Tralee CDO I Ltd.
Class Rating
A-1 AAA (sf)
VENTURE XXIII: Moody's Assigns (P)Ba3 Rating to Class E Debt
------------------------------------------------------------
Moody's Investors Service, has assigned provisional ratings to six
classes of notes to be issued by Venture XXIII CLO, Limited (the
"Issuer" or "Venture XXIII").
Moody's rating action is as follows:
US$2,500,000 Class X Senior Secured Floating Rate Notes due 2028
(the "Class X Notes"), Assigned (P)Aaa (sf)
US$256,000,000 Class A Senior Secured Floating Rate Notes due 2028
(the "Class A Notes"), Assigned (P)Aaa (sf)
US$48,000,000 Class B Senior Secured Floating Rate Notes due 2028
(the "Class B Notes"), Assigned (P)Aa2 (sf)
US$21,500,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class C Notes"), Assigned (P)A2 (sf)
US$22,500,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class D Notes"), Assigned (P)Baa3 (sf)
US$20,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2028 (the "Class E Notes"), Assigned (P)Ba3 (sf)
The Class X Notes, the Class A Notes, the Class B Notes, the Class
C Notes, the Class D Notes and the Class E Notes are referred to
herein, collectively, as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
RATINGS RATIONALE
Moody's provisional ratings of the Rated Notes address the expected
losses posed to noteholders. The provisional ratings reflect the
risks due to defaults on the underlying portfolio of assets, the
transaction's legal structure, and the characteristics of the
underlying assets.
Venture XXIII CLO, Limited is a managed cash flow CLO. The issued
notes will be collateralized primarily by broadly syndicated first
lien senior secured corporate loans. At least 90% of the portfolio
must consist of senior secured loans, cash, and eligible
investments, and up to 10% of the portfolio may consist of second
lien loans and unsecured loans. We expect the portfolio to be
approximately 90% ramped as of the closing date.
MJX Asset Management LLC (the "Manager"), will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
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.
VERTICAL BRIDGE 2016-1: Fitch Assigns 'BB-sf' Ratings to Cl. F Debt
-------------------------------------------------------------------
Fitch Ratings assigns ratings and Rating Outlooks for VB-S1 Issuer,
LLC's Secured Tower Revenue Notes, Series 2016-1 as follows:
-- $240,000,000 series 2016-1 class C 'Asf'; Outlook Stable;
-- $29,000,000 series 2016-1 class D 'BBBsf'; Outlook Stable;
-- $52,000,000 series 2016-1 class F 'BB-sf'; Outlook Stable.
The transaction is an issuance of notes backed by mortgages
representing approximately 90.2% of the annualized run rate net
cash flow (ARRNCF) and guaranteed by the direct parent of the
borrower. This guarantee is secured by a pledge and
first-priority-perfected security interest in 100% of the equity
interest of the issuer (a direct subsidiary of which owns or leases
1,529 wireless communication sites). The notes will be issued
pursuant to an indenture dated as of the expected closing of the
series 2016-1 transaction.
The ratings reflect a structured finance analysis of the cash flows
from the ownership interest in cellular sites, not an assessment of
the corporate default risk of the ultimate parent, Vertical
Bridge.
KEY RATING DRIVERS
Trust Leverage: Fitch's net cash flow (NCF) on the pool is $36.5
million, implying a Fitch stressed debt service coverage ratio
(DSCR) of 1.23x. The debt multiple relative to Fitch's NCF is 8.8x,
which equates to a debt yield of 11.4%.
Leases to Strong Tower Tenants: There are 2,378 wireless tenant
leases. Telephony/Data tenants represent approximately 86% of the
annualized run rate revenue (ARRR), and 47.4% of the ARRR is from
investment-grade tenants. The tenant leases have weighted average
annual escalators of approximately 3% and a weighted average final
remaining term (including renewals) of 25.1 years. The largest
tenant, AT&T (31.4% of ARRR) is rated investment grade by Fitch
(long-term IDR of 'A-' with a Stable Outlook).
No Term Securitization History: This is the first term
securitization completed by Vertical Bridge. VB's management team
consists of the former team that managed Global Tower Partners
(GTP) and from 2007-2013, GTP issued $2 billion of securitization
notes. Additionally, the 2016-1 notes are structured with a more
conservative cash trap trigger (1.60x) and early-amortization DSCR
trigger (1.40x) than comparable transactions.
RATING SENSITIVITIES
Fitch performed several stress scenarios in which Fitch's NCF was
stressed. Fitch determined that a 63% reduction in Fitch's NCF
would cause the notes to break even at 1.0x DSCR on an
interest-only basis.
Fitch evaluated the sensitivity of the ratings for series 2016-1
class C, and an 8% decline in NCF would result in a one-category
downgrade, while a 17% decline would result in a downgrade to below
investment grade.
VOYA CLO 2013-1: S&P Affirms BB Rating on Class D Notes
-------------------------------------------------------
S&P Global Ratings raised its ratings on the class A-2 and B notes
from Voya CLO 2013-1 Ltd. (formerly ING IM CLO 2013-1 Ltd.), a U.S.
collateralized loan obligation (CLO) transaction that closed in
March 2013 and is managed by Voya Alternative Asset Management LLC.
At the same time, S&P affirmed its ratings on the class A-1, C,
and D notes from the same transaction.
The rating actions follow S&P's review of the transaction's
performance using data from the April 29, 2016, trustee report. The
transaction remains in its reinvestment period until April 2017.
Since S&P's effective date rating affirmations in September 2013,
the transaction's credit quality has improved as collateral with an
S&P Global Ratings' credit rating of 'BB-' or higher has increased
significantly from the May 2013 effective date report used in S&P's
previous affirmations. The purchasing of this higher-grade
collateral has resulted in a drop in reported weighted average
spread to 3.97% from 4.65%.
Distressed collateral remains a low proportion of the total
portfolio with defaulted collateral and assets rated 'CCC+' or
below totaling 0.39% and 2.96% of the aggregate principal balance,
up slightly from 0.00% and 0.50%, respectively, in May 2013.
The transaction has also benefited from collateral seasoning with
the reported weighted average life decreasing to 4.59 years from
5.54 years in May 2013. This seasoning, combined with the improved
credit quality, has decreased the overall credit risk profile,
which in turn provided more cushion to the tranche ratings.
All of the coverage tests are currently passing, and S&P do not
perceive any coverage test failures are likely in the near future.
The cash flow analysis pointed to upgrades for several of the
tranches; however, S&P also considered a sensitivity run to allow
for volatility in the underlying portfolio given that the
transaction is still in its reinvestment period.
The affirmations of the ratings on the class A-1, C, and D notes
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," which allows S&P to use a limited
number of public ratings from other Nationally Recognized
Statistical Rating Organizations (NRSROs) 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's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with S&P's criteria, its cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest and/or
ultimate principal to each of the rated tranches. The results of
the cash flow analysis demonstrated, in S&P's view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with this rating action.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and S&P will take rating actions as it
deems necessary.
CASH FLOW ANALYSIS
Voya CLO 2013-1 Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A-1 AAA (sf) AAA (sf) 9.04% AAA (sf)
A-2 AA (sf) AA+ (sf) 11.38% AA+ (sf)
B A (sf AA- (sf) 1.04% A+ (sf)
C BBB (sf) A- (sf) 0.03% BBB (sf)
D BB (sf) BB+ (sf) 5.01% 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 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 AA- (sf) A+ (sf) A+ (sf) AA+ (sf) A+ (sf)
C A- (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) AA+ (sf) AAA (sf)
A-2 AA+ (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) B (sf) BB (sf)
RATINGS RAISED
Voya CLO 2013-1 Ltd.
Rating
Class To From
A-2 AA+ (sf) AA (sf)
B A+ (sf) A (sf)
RATINGS AFFIRMED
Voya CLO 2013-1 Ltd.
Class Rating
A-1 AAA (sf)
C BBB (sf)
D BB (sf)
WACHOVIA BANK 2005-C17: Fitch Affirms CC Rating on Class J Debt
---------------------------------------------------------------
Fitch Ratings has affirmed the distressed ratings of seven classes
of Wachovia Bank Commercial Mortgage Trust commercial mortgage
pass-through certificates series 2005-C17.
KEY RATING DRIVERS
The affirmations are the result of consistent high loss
expectations compared with Fitch's last review. While credit
enhancement is high, the pool is concentrated with only 11 loans
remaining and significant losses are expected.
The transaction has experienced 98.3% of collateral reduction since
issuance, which includes $69.3 million (3.2% of the original
collateral balance) in realized losses to date. There are 11 loans
remaining in the pool, one of which (7.1% of pool balance) is
specially serviced. Two loans (8.9% of the pool) are defeased.
Interest shortfalls currently reach up to class J.
The largest contributor to expected losses is the largest loan,
Westland Mall (36.4% of collateral balance). This loan is not
currently in special servicing but was previously modified and
transferred back to the master servicer in June 2014. The loan is
secured by an enclosed 338,478 square foot (sf) regional mall in
Burlington, IA near the Illinois and Missouri borders. The mall is
anchored by Younkers, Marshall's, and CEC Theatres. Two anchor
spaces, previously occupied by J.C. Penney and McGregor's
Furniture, are currently vacant. McGregor's Furniture vacated at
lease expiration in August 2014. Although J.C. Penney continues to
pay rent on its space which is leased through March 2017, it closed
its store in April 2015. There is substantial upcoming rollover
risk, including the largest remaining tenant, Younkers, which has a
January 2017 lease expiration. Additionally, many of the inline
tenants are considered temporary, according to the borrower's rent
roll. Per the December 2015 rent roll provided by the servicer,
the economic occupancy was 82.6%, while the physical occupancy was
58%. Terms of the loan's 2014 modification included an extension
of the maturity date from January 2015 to January 2018, a
conversion of the amortization schedule to interest-only payments,
and a reduction in the accrued interest rate. The original trust
loan was also bifurcated into an A/B note structure, with a $10.5
million A-note and a $6.4 million B-note.
The second largest contributor to expected losses is The Clarion
Inn of Sun Valley loan (7.1% of collateral balance). The loan is
secured by a 58-key hotel property in Ketchum, ID, near the Bald
Mountain ski resort. The property originally transferred to
special servicing in 2010 due imminent maturity default. The
borrower requested a modification but ultimately foreclosure was
filed. The borrower filed for bankruptcy protection and the loan
was modified and eventually defaulted again. The borrower sought
bankruptcy protection a second time but proceedings were ultimately
dismissed and the property became real estate owned (REO) March 31,
2016. The servicer is placing the property for sale via auction
this month.
The third largest contributor to expected losses is the Shopko
Plaza loan (16.1% of collateral balance). The loan is secured by a
129,000 sf retail property in Peoria, IL. The largest tenant,
Shopko, which accounts for 87.1% of net rentable area (NRA), has
been dark since 2007. The loan was structured with a March 2015
anticipated repayment date and the borrower previously indicated
that it would not pay off the loan. Shopko has a lease which runs
through October 2020. The loan's final maturity date is in
RATING SENSITIVITIES
Additional downgrades to the distressed ratings are possible if
expected losses increase, primarily on the two larger loans with
performance issues: Westland Mall and Shopko Plaza. Further
downgrades are expected as losses are realized. Although unlikely,
upgrades are possible in the event of improved loan level
performance or less than expected realized losses.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch affirms these classes and assigns RE as indicated:
-- $28.2 million class H at 'CCCsf', RE 100%;
-- $6.8 million class J at 'CCsf', RE 95%;
-- $10.2 million class K at 'Csf' ', RE 0%;
-- $2.2 million class L at 'Dsf', RE 0%;
-- $0 class M at 'Dsf', RE 0%;
-- $0 class N at 'Dsf', RE 0%;
-- $0 class O at 'Dsf', RE 0%.
The class A-1, A-2, A-3, A-4, A-1A, A-PB, A-J, B, C, D, E, F, and G
certificates have paid in full. Fitch does not rate the class P
certificate. Fitch previously withdrew the ratings on the
interest-only class X-P and X-C certificates.
WACHOVIA BANK 2007-C32: S&P Affirms CCC- Rating on 2 Tranches
-------------------------------------------------------------
S&P Global Ratings raised its ratings on three classes of
commercial mortgage pass-through certificates from Wachovia Bank
Commercial Mortgage Trust series 2007-C32, a U.S. commercial
mortgage-backed securities (CMBS) transaction. In addition, S&P
affirmed its ratings on nine other classes from the same
transaction.
S&P's rating actions on the principal- and interest-paying
certificates follow S&P's analysis of the transaction, primarily
using its criteria for rating U.S. and Canadian CMBS transactions,
which included a review of the credit characteristics and
performance of the remaining assets in the pool, the transaction's
structure, and the liquidity available to the trust.
S&P raised its ratings on classes A-3, A-4FL, and A-1A to reflect
its expectation of the available credit enhancement for these
classes, which S&P believes is greater than its most recent
estimate of necessary credit enhancement for the respective rating
levels. The upgrades also follow S&P's views regarding the current
and future performance of the transaction's collateral and
available liquidity support. In addition, the upgrades reflect the
reduced trust balance.
The affirmations on the principal- and interest-paying certificates
reflect S&P's expectation that the available credit enhancement for
these classes will be within 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. The
affirmations on classes A-2 and A-PB 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.
S&P affirmed its 'AAA (sf)' rating on the class IO interest-only
(IO) certificates based on S&P's criteria for rating IO
securities.
TRANSACTION SUMMARY
As of the May 17, 2016, trustee remittance report, the collateral
pool balance was $2.62 billion, which is 68.5% of the pool balance
at issuance. The pool currently includes 103 loans (reflecting
cross-collateralized and cross-defaulted loans) and nine real
estate-owned (REO) assets, down from 143 loans at issuance. Eleven
of these assets ($278.7 million, 10.6%) are with the special
servicer, 12 ($327.8 million, 12.5%) are defeased (including one
loan that was defeased subsequent to the release of the May 2016
remittance report), and 24 ($658.0 million, 25.1%) are on the
master servicer's watchlist. The master servicer, Wells Fargo Bank
N.A., reported financial information for 95.7% of the nondefeased
loans in the pool, of which 75.0% was partial- or year-end 2015
data, and the remainder was partial- or year-end 2014 data.
S&P calculated a 1.11x S&P Global Ratings weighted average debt
service coverage (DSC) and 114.7% S&P Global Ratings weighted
average loan-to-value (LTV) ratio using a 7.55% S&P Global Ratings
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the 11 specially serviced
assets ($278.7 million, 10.6%), 12 defeased loans ($327.8 million,
12.5%), and two subordinate B hope notes ($15.2 million, 0.6%). The
top 10 nondefeased loans have an aggregate outstanding pool trust
balance of $1.13 billion (43.3%). Using servicer-reported numbers,
S&P calculated a S&P Global Ratings weighted average DSC and LTV of
0.97x and 124.9%, respectively, for nine of the top 10 nondefeased
loans. The remaining asset is specially serviced and discussed
below.
To date, the transaction has experienced $117.2 million in
principal losses, or 3.1% of the original pool trust balance. S&P
expects losses to reach approximately 8.3% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses we expect upon the eventual resolution of the
11 ($278.7 million, 10.6%) specially serviced assets.
CREDIT CONSIDERATIONS
As of the May 17, 2016, trustee remittance report, 11 assets
($278.7 million, 10.6%) in the pool were with the special servicer,
CWCapital Asset Management LLC. The Citadel Mall asset ($63.9
million, 2.4%) is the ninth-largest nondefeased asset in the pool
and the largest specially serviced asset.
This asset has a total reported exposure of $77.0 million. The
asset is a 296,707 sq.-ft. anchored retail mall in Charleston, S.C.
The loan was transferred to the special servicer on May 9, 2013,
because of imminent default. The asset became REO on Jan. 7, 2014.
As of year-end 2015, reported occupancy was 95.3%, and reported
revenues were insufficient to cover property-related expenses. S&P
expects a significant loss (60% or greater) upon the loan's
eventual resolution.
The 10 remaining assets with the special servicer each have
individual balances that represent less than 2.0% of the total pool
trust balance. S&P estimated losses for the 11 specially serviced
assets, arriving at a weighted average loss severity of 72.7%.
RATINGS LIST
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2007-C32
Rating
Class Identifier To From
A-2 92978YAB6 AAA (sf) AAA (sf)
A-PB 92978YAC4 AAA (sf) AAA (sf)
A-3 92978YAD2 A+ (sf) BBB- (sf)
A-1A 92978YAF7 A+ (sf) BBB- (sf)
IO 92978YBR0 AAA (sf) AAA (sf)
A-J 92978YAH3 B- (sf) B- (sf)
B 92978YAJ9 CCC+ (sf) CCC+ (sf)
C 92978YAK6 CCC- (sf) CCC- (sf)
D 92978YAL4 CCC- (sf) CCC- (sf)
A-4FL 92978YMU1 A+ (sf) BBB- (sf)
A-MFL 92978YMW7 B (sf) B (sf)
A-MFX 92978YNE6 B (sf) B (sf)
WELLS FARGO 2012-CCRE2: Fitch Affirms B Rating on Class G Certs
---------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of German American Capital
Corp.'s Wells Fargo Commercial Mortgage Trust (COMM) commercial
mortgage pass-through certificates, series 2012-CCRE2.
KEY RATING DRIVERS
The affirmations are based on the overall stable performance of the
pool's underlying collateral since issuance. As of the May 2016
distribution date, the pool's aggregate principal balance has been
reduced by 10.6% to $1.18 billion from $1.32 billion at issuance.
Per the servicer reporting, one loan (0.3% of the pool) is defeased
and there are no specially serviced loans. De minimis interest
shortfalls are currently affecting class H.
Fitch modeled losses of 4% of the remaining pool; expected losses
on the original pool balance total 3.4%. The pool has experienced
no realized losses to date. Fitch has designated six loans (5.2%)
as Fitch Loans of Concern. The deterministic stress scenario was
used in Fitch's analysis. In addition, there were three variances
from criteria related to classes C, C-PEZ, and D, for which the
model output suggested that upgrades were possible. Fitch
determined, however, that upgrades are not warranted at this time
as there has been no material improvement to the performance of the
pool since issuance and no significant increase in credit
enhancement.
Additionally, approximately 71% of the pool is comprised of Top 15
loans with significant near-term roll and/or major tenant
expirations occurring prior to loan maturity. The pool is
concentrated by asset type with loans secured by office properties
comprising 56% of the pool (53% within the Top 15). Two loans
(2.3%) are scheduled to mature before 2022. Continued paydown is
expected with 74% of the pool representing amortizing balloon
loans.
The largest loan in the pool (9.4%) is secured by a 615,953 square
foot (sf) office building located in downtown Los Angeles, CA. As
of the June 2016 rent roll, the property was 96.4% occupied with
tenant rollover of approximately 19% NRA through year-end (YE)
2017. The largest tenants include L.A. Care (25.6% net rentable
area [NRA]) and Morris Polich & Purdy (6.5% NRA), which recently
downsized from 7.7% NRA with their May 2016 lease renewal. The
servicer-reported YE 2015 debt service coverage ratio (DSCR) was
1.28x compared to 1.34x at YE 2014.
The largest Fitch Loan of Concern (2.5%) is secured by a five
building, 228,156 sf office park located in Blue Bell, PA. As of
the December 2015 rent roll, the property was 83.9% occupied. The
largest tenant, Cigna Healthcare, currently leases 16% of the
property's NRA with a lease expiration of Oct. 31, 2016. The loan
has been on the master servicer's watchlist since February 2016 due
to the trigger of a cash flow sweep period. Per lease documents,
the servicer has implemented a cash trap after Cigna failed to
renew their entire space by Jan. 31, 2016. According to the master
servicer, Cigna has yet to indicate if they will renew their lease.
Additionally, approximately 37% of additional rollover is
scheduled to occur through YE 2017.
RATING SENSITIVITIES
Rating Outlooks for all classes remain Stable due to the overall
stable performance of the pool. Upgrades to senior classes, while
not likely in the near term, are possible with increased credit
enhancement and overall improved pool performance. Downgrades to
the classes are possible should overall performance decline.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch affirms these classes:
-- $37 million class A-2 at 'AAAsf'; Outlook Stable;
-- $102 million class A-SB at 'AAAsf'; Outlook Stable;
-- $100 million class A-3 at 'AAAsf'; Outlook Stable;
-- $546.3 million class A-4 at 'AAAsf'; Outlook Stable;
-- $915.7 million class X-A* at 'AAAsf'; Outlook Stable;
-- $77.6 million class A-M at 'AAAsf'; Outlook Stable;
-- $52.8 million class A-M-PEZ** at 'AAAsf'; Outlook Stable;
-- $37.3 million class B at 'AAsf'; Outlook Stable;
-- $25.4 million class B-PEZ** at 'AAsf'; Outlook Stable;
-- $25.5 million class C at 'Asf'; Outlook Stable;
-- $17.4 million class C-PEZ** at 'Asf'; Outlook Stable;
-- $23.1 million class D** at 'BBB+sf'; Outlook Stable;
-- $51.2 million class E at 'BBB-sf'; Outlook Stable;
-- $23.1 million class F at 'BBsf'; Outlook Stable;
-- $23.1 million class G at 'Bsf'; Outlook Stable.
*Notional amount and interest-only.
**Up to the full certificate balance of the class A-M-PEZ, class
B-PEZ and class C-PEZ certificates and up to $9,363,000 in
certificate balance of the class D certificates may be exchanged
for class PEZ certificates. Class PEZ certificates may be
exchanged for up to the full certificate balance of the class
A-M-PEZ, class B-PEZ and class C-PEZ certificates and up to
$9,363,000 in certificate balance of the class D certificates.
Fitch does not rate the class X-B, PEZ, and H certificates. Class
A-1 has paid in full.
WESTLAKE AUTOMOBILE 2016-2: S&P Assigns BB Rating on Cl. E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Westlake Automobile
Receivables Trust 2016-2's $550 million automobile
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 43.89%, 38.53%, 30.17%,
23.49%, and 20.21% of credit support for the class A, B, C,
D, and E notes, respectively, based on stress cash flow
scenarios (including excess spread). These provide
approximately 3.50x, 3.00x, 2.30x, 1.75x, and 1.50x,
respectively, of S&P's 12.00%-12.50% expected cumulative net
loss range.
-- The transaction's ability to make timely interest and
principal payments under stress cash flow modeling scenarios
appropriate for the assigned ratings.
-- S&P's expectation that under a moderate ('BBB') stress
scenario, all else being equal, S&P's ratings on the class A
and B notes would not be lowered from the assigned ratings,
S&P's ratings on the class C notes would remain within one
rating category of the assigned ratings over one year, and
S&P's ratings on the class D and E notes would remain within
two rating categories of the assigned ratings. These
parameters are within the bounds of S&P's credit stability
criteria.
-- S&P's view of the collateral characteristics of the
securitized pool of subprime automobile loans.
-- The originator/servicer's long history in the
subprime/specialty auto finance business.
-- S&P's analysis of approximately 10 years (2006-2016) of
static pool data on the company's lending programs.
-- S&P's view of the transaction's payment, credit enhancement,
and legal structures.
RATINGS ASSIGNED
Westlake Automobile Receivables Trust 2016-2
Class Rating Type Interest Amount
rate(i) (mil. $)
A-1 A-1+ (sf) Senior Fixed 149.00
A-2 AAA (sf) Senior Fixed 219.00
B AA (sf) Subordinate Fixed 42.00
C A (sf) Subordinate Fixed 60.80
D BBB (sf) Subordinate Fixed 50.66
E BB (sf) Subordinate Fixed 28.54
[*] Fitch Takes Actions on 391 Classes From 48 Structured Deals
---------------------------------------------------------------
Fitch Ratings has taken various actions on 391 classes from 48 U.S.
structured finance transactions. The transactions reviewed
consisted of 31 Small Balance Commercial (SBC) transactions and 17
transactions sponsored by affiliated entities of Bayview Asset
Management, LLC (Bayview). The Bayview transactions include
re-securitization and revolving trust transactions primarily
collateralized with small-balance commercial and mixed-use loans.
Rating Action Summary:
-- 299 classes affirmed;
-- 65 classes upgraded;
-- 21 classes downgraded;
-- Six classes placed on Rating Watch Negative.
KEY RATING DRIVERS
The rating affirmations reflect the stable to improving performance
of the collateral. Since the prior review in June 2015 the average
serious delinquency rate declined roughly 90 basis points. The
upgrades reflect an improvement in the relationship between credit
enhancement and expected loss. All of the downgraded classes were
previously rated 'CCCsf' or lower, and reflect a higher likelihood
of default. Six investment grade classes - all from a single
transaction - were placed on Rating Watch Negative due to interest
shortfalls reported on the trustee remittance report. The classes
are expected to recover full principal under high investment grade
stress scenarios.
Since loan level information is generally not available for these
transactions, projected losses are derived based on pool-level
performance data. The probability of default (PD) assumptions are
based on average output from Fitch's U.S. RMBS Loan Loss Model,
specific to sector, vintage and delinquency status. The majority of
deals reviewed used average model default levels from the Alt-A
sector due to similarities with Alt-A loan attributes and
performance. Only two transactions used subprime sector averages.
Default expectations were generally lower than the prior review due
to enhancements made to the U.S. RMBS Loan Loss Model in May 2016,
most notably the inclusion of a cure-rate adjustment to the PD.
The base-case loss severity (LS) projections are determined by
issuer-level 12-month historical LS averages, and ranged from 65% -
85%. Stressed loss severity assumptions are based off average LS
multiples from the U.S. RMBS Loan Loss Model.
Fitch's cash flow analysis assumes prepayment, loss-timing, and
servicer advancing behavior consistent with Alt-A sector vintage
averages. For transactions where cash flow analysis is not
available, Fitch compared the current bond credit enhancement (CE)
to the remaining expected pool loss in each rating stress.
RATING SENSITIVITIES
Fitch's analysis includes rating stress scenarios from 'CCCsf' to
'AAAsf'. The 'CCCsf' scenario is intended to be the most-likely
base-case scenario. Rating scenarios above 'CCCsf' are increasingly
more stressful and less likely to occur. Although many variables
are adjusted in the stress scenarios, the primary driver of the
loss scenarios is the home price forecast assumption. In the 'Bsf'
scenario, Fitch assumes home prices decline 10% below their
long-term sustainable level. The home price decline assumption is
increased by 5% at each higher rating category up to a 35% decline
in the 'AAAsf' scenario.
In addition to increasing mortgage pool losses at each rating
category to reflect increasingly stressful economic scenarios,
Fitch analyzes various loss-timing, prepayment, loan modification,
servicer advancing, and interest rate scenarios as part of the cash
flow analysis. Each class is analyzed with 43 different
combinations of loss, prepayment and interest rate projections.
Classes currently rated below 'Bsf' are at-risk to default at some
point in the future. As default becomes more imminent, bonds
currently rated 'CCCsf' and 'CCsf' will migrate towards 'Csf' and
eventually 'Dsf'.
The ratings of bonds currently rated 'Bsf' or higher will be
sensitive to future mortgage borrower behavior, which historically
has been strongly correlated with home price movements. Despite
recent positive trends, Fitch currently expects home prices to
decline in some regions before reaching a sustainable level. While
Fitch's ratings reflect this home price view, the ratings of
outstanding classes may be subject to revision to the extent actual
home price and mortgage performance trends differ from those
currently projected by Fitch.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
A list of the Affected Ratings is available at:
http://bit.ly/290qBcP
[*] Fitch Updates U.S. RMBS Surveillance and Re-REMIC Criteria
--------------------------------------------------------------
Fitch Ratings, on June 17, 2016, updated its criteria for analyzing
outstanding U.S. RMBS and for analyzing new and outstanding U.S.
RMBS Re-REMICs. The report discusses Fitch's asset loss analysis,
cash flow analysis, and counterparty analysis.
Key revisions to the criteria include a more conservative
constraint on the magnitude of potential rating upgrades from three
categories to two categories above the current rating, a revision
to the rating cap for reverse mortgage bonds from 'Asf' to 'BBBsf',
and a modestly more conservative approach to differentiating
between distressed rating categories. Fitch expects a small number
of one-category downgrades of reverse mortgage ratings due to the
revised rating cap, as well as some rating migration among
currently distressed classes from the 'CCCsf' to 'CCsf' range to
the 'CCsf' to 'Csf' range due to the more conservative distressed
rating methodology. The updated criteria are not expected to have
any rating implications for transactions issued after 2010. Fitch
will review all outstanding U.S. RMBS and Re-REMIC ratings with the
updated criteria in the coming months.
[*] Moody's Hikes Ratings on $1.5BB Subprime RMBS Issued 2005-2007
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 37 tranches
from 18 deals and downgraded the ratings of 2 tranches from 2 deals
issued by various issuers, backed by Subprime mortgage loans.
Complete rating actions are:
Issuer: Aames Mortgage Investment Trust 2006-1
Cl. A-3, Upgraded to Baa1 (sf); previously on July 6, 2015,
Upgraded to Baa3 (sf)
Cl. A-4, Upgraded to Baa3 (sf); previously on July 6, 2015,
Upgraded to Ba1 (sf)
Issuer: Argent Securities Inc., Series 2004-PW1
Cl. M-2, Downgraded to B1 (sf); previously on Jan. 8, 2014,
Downgraded to Ba2 (sf)
Issuer: Argent Securities Inc., Series 2005-W2
Cl. A-1, Upgraded to Aa3 (sf); previously on July 2, 2015,
Upgraded to A1 (sf)
Cl. A-2C, Upgraded to A1 (sf); previously on July 2, 2015,
Upgraded to A3 (sf)
Issuer: Argent Securities Inc., Series 2005-W3
Cl. A-1, Upgraded to A1 (sf); previously on July 2, 2015,
Upgraded to Baa1 (sf)
Cl. A-2D, Upgraded to A1 (sf); previously on July 2, 2015,
Upgraded to Baa1 (sf)
Cl. M-1, Upgraded to B1 (sf); previously on July 2, 2015,
Upgraded to B2 (sf)
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2005-HE1
Cl. M3, Upgraded to Caa1 (sf); previously on July 6, 2015,
Upgraded to Caa3 (sf)
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2006-HE3
Cl. A1, Upgraded to Baa1 (sf); previously on July 6, 2015,
Upgraded to Baa3 (sf)
Cl. A2, Upgraded to Baa2 (sf); previously on July 6, 2015,
Upgraded to Baa3 (sf)
Cl. A4, Upgraded to Ba1 (sf); previously on July 6, 2015,
Upgraded to Ba2 (sf)
Cl. A5, Upgraded to Ba2 (sf); previously on July 6, 2015,
Upgraded to Ba3 (sf)
Issuer: Centex Home Equity Loan Trust 2004-D
Cl. MF-1, Downgraded to B2 (sf); previously on Sept. 24, 2014,
Downgraded to B1 (sf)
Cl. MV-1, Upgraded to B1 (sf); previously on July 23, 2013,
Confirmed at B3 (sf)
Cl. MV-2, Upgraded to Caa2 (sf); previously on July 23, 2013,
Confirmed at Caa3 (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF15
Cl. A5, Upgraded to B2 (sf); previously on July 2, 2015,
Upgraded to B3 (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF5
Cl. I-A, Upgraded to Ba2 (sf); previously on July 2, 2015,
Upgraded to B1 (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FFH1
Cl. A-4, Upgraded to A1 (sf); previously on July 2, 2015,
Upgraded to A2 (sf)
Issuer: Fremont Home Loan Trust 2005-C
Cl. M1, Upgraded to A1 (sf); previously on Dec. 22, 2014,
Upgraded to Baa1 (sf)
Cl. M2, Upgraded to Ba1 (sf); previously on Dec. 22, 2014,
Upgraded to Ba3 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust 2005-AR1
Cl. M-1, Upgraded to Baa2 (sf); previously on July 6, 2015,
Upgraded to Ba1 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust Series 2006-HE1
Cl. A-2C, Upgraded to A1 (sf); previously on July 6, 2015,
Upgraded to A3 (sf)
Cl. A-2D, Upgraded to A2 (sf); previously on July 6, 2015,
Upgraded to Baa2 (sf)
Cl. M-1, Upgraded to Ba1 (sf); previously on July 6, 2015,
Upgraded to B1 (sf)
Issuer: Nationstar Home Equity Loan Trust 2006-B
Cl. AV-4, Upgraded to Baa1 (sf); previously on July 2, 2015,
Upgraded to Ba1 (sf)
Cl. M-1, Upgraded to B2 (sf); previously on July 2, 2015,
Upgraded to Caa2 (sf)
Cl. M-2, Upgraded to Ca (sf); previously on May 5, 2010,
Downgraded to C (sf)
Issuer: Nationstar Home Equity Loan Trust 2007-A
Cl. AV-3, Upgraded to Baa2 (sf); previously on July 2, 2015,
Upgraded to Ba2 (sf)
Cl. AV-4, Upgraded to Ba3 (sf); previously on July 2, 2015,
Upgraded to B3 (sf)
Cl. M-1, Upgraded to Caa2 (sf); previously on July 2, 2015,
Upgraded to Ca (sf)
Issuer: Nomura Home Equity Loan Trust 2006-WF1
Cl. A-4, Upgraded to Aa1 (sf); previously on July 2, 2015,
Upgraded to A1 (sf)
Cl. M-1, Upgraded to A2 (sf); previously on July 2, 2015,
Upgraded to Baa2 (sf)
Cl. M-2, Upgraded to B1 (sf); previously on July 2, 2015,
Upgraded to B3 (sf)
Issuer: Option One Mortgage Loan Trust 2005-5
Cl. A-1, Upgraded to Aa1 (sf); previously on Dec. 3, 2010,
Downgraded to Aa3 (sf)
Cl. A-3, Upgraded to Aa2 (sf); previously on July 2, 2015,
Upgraded to A2 (sf)
Cl. A-4, Upgraded to A1 (sf); previously on July 2, 2015,
Upgraded to Baa1 (sf)
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2005-WHQ1
Cl. M-5, Upgraded to B1 (sf); previously on July 2, 2015,
Upgraded to B3 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, WMABS Series
2006-HE1 Trust
Cl. I-A, Upgraded to Baa3 (sf); previously on July 2, 2015,
Upgraded to Ba2 (sf)
RATINGS RATIONALE
The ratings upgraded are due to the total credit enhancement
available to the bonds. The downgrade actions for Centex Home
Equity Loan Trust 2004-D and Argent Securities Inc., Series
2004-PW1 are primarily the result of recent interest shortfalls
that are unlikely to be recouped because of a weak interest
shortfall reimbursement mechanism. The rating actions reflect
recent performance of the underlying pools and Moody's updated loss
expectation on these pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.7% in May 2016 from 5.5% in May
2015. Moody's forecasts an unemployment central range of 4.5% to
5.5% for the 2016 year. Deviations from this central scenario
could lead to rating actions in the sector. House prices are
another key driver of US RMBS performance. Moody's expects house
prices to continue to rise in 2016. Lower increases than Moody's
expects or decreases could lead to negative rating actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures.
Any change resulting from servicing transfers or other policy or
regulatory change can impact the performance of these transactions.
[*] S&P Completes Review on 70 Classes From 42 RMBS Deals
---------------------------------------------------------
S&P Global Ratings, on June 23, 2016, completed its review of 70
classes from 42 U.S. residential mortgage-backed securities (RMBS)
transactions. The review yielded various upgrades, downgrades, and
affirmations. All of the transactions in this review were issued
between 2000 and 2007 and are supported by
home-equity-line-of-credit (HELOC) loans. All of the transactions
in this review were issued between 2000 and 2007 and are supported
by home-equity-line-of-credit (HELOC) loans.
With respect to insured obligations, where S&P maintains a rating
on the bond insurer that is lower than what S&P would rate the
class without bond insurance, or where the bond insurer is not
rated, S&P relied solely on the underlying collateral's credit
quality and the transaction structure to derive the rating on the
class. As discussed in S&P's criteria, "The Interaction Of Bond
Insurance And Credit Ratings," published Aug. 24, 2009, the rating
on a bond-insured obligation will be the higher of the rating on
the bond insurer and the rating on the underlying obligation,
without considering the potential credit enhancement from the bond
insurance.
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 affected
by temporary write-downs and/or interest shortfalls.
ANALYTICAL CONSIDERATIONS
S&P 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 transaction-specific performance or
structural characteristics, or both, and their potential effects on
certain classes.
DOWNGRADES
S&P lowered its ratings on three classes due to deteriorating
credit performance trends and/or insufficient credit enhancement
relative to S&P's projected losses. In addition, there were 27
classes downgraded to 'CCC (sf)' from 'B (sf)' as a result of MBIA
Insurance Corp.'s recent downgrade to 'CCC'. The downgrades
reflect S&P's belief that its projected credit support for the
affected classes will be insufficient to cover its projected losses
for the related transactions at a higher rating.
All of the lowered ratings had speculative-grade ratings ('BB+
(sf)' or lower) prior to these rating actions.
UPGRADES
The upgrades include three ratings that were raised three or more
notches. S&P's projected credit support for the affected classes
is sufficient to cover its projected losses for these rating
levels. The upgrades reflect increased credit support relative to
S&P's projected losses and/or increased prepayments causing a more
rapid paydown of the class.
AFFIRMATIONS
The affirmations of ratings in the 'AAA' through 'B' categories
reflect S&P's opinion that our projected credit support on these
classes remained relatively consistent with our prior projections
and is sufficient to cover S&P's projected losses for those rating
scenarios.
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; 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.
The ratings affirmed at 'CCC (sf)' or 'CC (sf)' reflect S&P's
belief that its projected credit support will remain insufficient
to cover its 'B' expected case-projected losses to these classes.
Pursuant to "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC'
Ratings," published Oct. 1, 2012, the 'CCC (sf)' affirmations
reflect S&P's view that these classes are still vulnerable to
defaulting, and the 'CC (sf)' affirmations reflect S&P's view 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;
-- An inflation rate of 1.8% in 2016; and
-- An average 30-year fixed mortgage rate of about 4.1% in
2016.
S&P's outlook for RMBS is stable. Although S&P views overall
housing fundamentals positively, it believes that 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 will cause GDP growth to fall to 1.3% in
2016;
-- Home price momentum will slow 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/28Sz9AA
[*] S&P Discontinues D Ratings on 29 Classes From 21 CMBS Deals
---------------------------------------------------------------
S&P Global Ratings, on June 17, 2016, discontinued its 'D (sf)'
ratings on 29 classes from 21 U.S. commercial mortgage-backed
securities (CMBS) transactions.
S&P discontinued these ratings according to its surveillance and
withdrawal policy. S&P had previously lowered the ratings to
'D (sf)' on these classes because of principal losses and/or
accumulated interest shortfalls that S&P believed would remain
outstanding for an extended period of time. S&P views a subsequent
upgrade to a rating higher than 'D (sf)' to be unlikely under the
relevant criteria for the classes within this review.
A list of the affected ratings is available at:
http://bit.ly/28JHvbw
[*] S&P Lowers Ratings on 11 MBIA-Insured Classes From 6 CDO Deals
------------------------------------------------------------------
S&P Global Ratings, on June 17, 2016, lowered 11 classes of notes
from six U.S. cash flow collateralized debt obligations (CDOs),
following the
June 15, 2016, downgrade of MBIA Insurance Corp. to 'CCC' from
'B'.
S&P bases its ratings on these notes on the financial
insurance/guarantee that MBIA Insurance Corp. provides.
For insured classes of notes, S&P's rating is generally the higher
of the rating on the insurer or the Standard & Poor's underlying
rating (SPUR) on the tranche. A SPUR is S&P's opinion of an
obligation's stand-alone creditworthiness (i.e., the obligation's
capacity to pay debt service on a debt issue in accordance with its
terms) without considering an otherwise applicable bond insurance
policy.
Because the SPURs on the 11 rated classes are lower than the
current 'CCC' rating on MBIA Insurance Corp., the ratings on these
notes depend on the insurer and, therefore, S&P has lowered the
ratings.
RATINGS LOWERED
Coronado CDO Ltd.
Rating
Class To From
A-1 CCC (sf) B (sf)
A-2 CCC (sf) B (sf)
Fulton Street CDO Ltd.
Rating
Class To From
A-1A CCC (sf) B (sf)
Mulberry Street CDO Ltd.
Rating
Class To From
A-1A CCC (sf) B (sf)
Mulberry Street CDO II Ltd.
Rating
Class To From
A-1A CCC (sf) B (sf)
A-1B CCC (sf) B (sf)
A-1W CCC (sf) B (sf)
Oceanview CBO I Ltd.
Rating
Class To From
A-1A CCC (sf) B (sf)
Zohar II 2005-1 Ltd.
Rating
Class To From
A-1 CCC (sf) B (sf)
A-2 CCC (sf) B (sf)
A-3 CCC (sf) B (sf)
[*] S&P Lowers Ratings on 16 Classes from 12 RMBS Transactions
--------------------------------------------------------------
S&P Global Ratings, on June 23, 2016, lowered its ratings on 16
classes (including 11 to 'D (sf)') from 12 U.S. residential
mortgage-backed securities (RMBS) transactions.
All of the transactions in this review were issued between 2002 and
2005 and are supported by a mix of fixed- and adjustable-rate loans
secured primarily by one- to four-family residential properties.
A combination of subordination, overcollateralization (when
available), excess interest, and bond insurance (as applicable)
provide credit enhancement for all of the tranches in this review.
Where the bond insurer is no longer rated, S&P solely relied on the
underlying collateral's credit quality and the transaction
structure to derive the ratings.
APPLICATION OF INTEREST SHORTFALL CRITERIA
In reviewing these ratings, S&P applied its interest shortfall
criteria as stated in "Structured Finance Temporary Interest
Shortfall Methodology," Dec. 15, 2015, which impose a maximum
rating threshold on classes that have incurred interest shortfalls
resulting from credit or liquidity erosion. In applying the
criteria, S&P looked to reimbursement provisions within each
payment waterfall for the applicable class to determine whether the
reimbursement must be made immediately. In instances where
immediate reimbursement is required, S&P used the maximum length of
time until full interest is reimbursed as part of S&P's analysis to
assign the rating on the class.
In instances where reimbursement may be delayed by other factors
within the payment waterfall, S&P used its cash flow projections in
determining the likelihood that the shortfall would be reimbursed
under various scenarios.
DOWNGRADES
S&P lowered 16 ratings to reflect the application of its interest
shortfall criteria. All of the lowered ratings in this review were
already speculative-grade before today's rating actions.
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, we believe 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/28UPqXf
[*] S&P Lowers Ratings on 61 Classes From 49 RMBS Deals to 'D'
--------------------------------------------------------------
S&P Global Ratings lowered its ratings on 61 classes of mortgage
pass-through certificates from 49 U.S. residential mortgage-backed
securities (RMBS) transactions issued between 2003 and 2009 to 'D
(sf)'.
The downgrades reflect S&P's assessment of the principal
write-downs' impact on the affected classes during recent
remittance periods. Before the action, the affected classes were
rated either 'CCC (sf)' or 'CC (sf)'.
The 61 defaulted classes consist of:
-- Twenty-three from prime jumbo transactions (37.70%);
-- Fourteen from Alternative-A transactions (22.95%);
-- Twelve from subprime transactions (19.67%)
-- Seven from negative amortization transactions;
-- Two from resecuritized real estate mortgage investment
conduit transactions;
-- Two from risk transfer transactions; and
-- One from RMBS outside the guidelines transaction.
All of the transactions in this review receive credit enhancement
from a combination of subordination, excess spread, and
overcollateralization (where applicable).
S&P will continue to monitor our ratings on securities that
experience principal write-downs, and will further adjust S&P's
ratings as it deems appropriate, according to its criteria.
A list of the Affected Ratings is available at:
http://bit.ly/28RykHh
[*] S&P Takes Various Rating Actions on 11 RMBS Transactions
------------------------------------------------------------
S&P Global Ratings, on June 13, 2016, took various rating actions
on 67 classes from 11 U.S. residential mortgage-backed securities
(RMBS) transactions. S&P raised 25 ratings, lowered seven ratings,
affirmed 32 ratings, discontinued two ratings, and withdrew one
rating.
All of the transactions in this review were issued between 2002 and
2007 and are supported by a mix of fixed- and adjustable-rate
alternative-A, second lien, negative amortization, scratch and
dent, and home equity lines of credit (HELOC).
Subordination, overcollateralization (where available), excess
interest, as applicable, and bond insurance provide credit
enhancement for the transactions in this review. Where the bond
insurer is rated lower than what S&P would rate the respective
class, it relied solely on the underlying collateral's credit
quality and the transaction structure to derive the rating.
ANALYTICAL CONSIDERATIONS
S&P routinely incorporates various considerations into its
decisions to raise, lower, or affirm ratings when reviewing the
indicative ratings suggested by S&P's projected cash flows. These
considerations are based on specific performance or structural
characteristics, or both, and their potential effects on certain
classes.
UPGRADES
S&P raised its ratings on 25 classes. The projected credit support
for the affected classes is sufficient to cover S&P's projected
losses at these rating levels. The upgrades reflect one or more
of:
-- Improved collateral performance/delinquency trends;
-- Increased credit support; and
-- Expected short duration.
DOWNGRADES
S&P lowered its ratings on seven classes due to deteriorating
collateral performance and/or the erosion of credit support.
AFFIRMATIONS
For certain transactions, S&P considered specific performance
characteristics that, in its view, could add volatility to its loss
assumptions and, in turn, to the ratings suggested by S&P's cash
flow projections. In these circumstances, S&P affirmed, rather
than raised, its ratings on those classes to promote ratings
stability. In general, the bonds that were affected reflect one or
more of:
-- Delinquency trends;
-- Historical interest shortfalls;
-- Significant growth in observed loss severities;
-- A low priority of principal payments;
-- A high proportion of re-performing loans in the pool; and
-- Low subordination or overcollateralization, or both.
S&P affirmed 15 ratings in the 'AAA' through 'B' categories. These
affirmations reflect S&P's opinion that our projected credit
support is sufficient to cover its projected losses in those rating
scenarios.
S&P also affirmed 17 'CCC (sf)' and 'CC (sf)' ratings. S&P
believes that its projected credit support will remain insufficient
to cover its projected losses to these classes. As defined in
"Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings,"
published Oct. 1, 2012, the 'CCC (sf)' affirmations indicate that
S&P believes these classes are still vulnerable to default, and the
'CC (sf)' affirmations reflect S&P's belief that these classes
remain virtually certain to default.
DISCONTINUANCES
S&P discontinued its ratings on two classes because these classes
have been paid in full in May 2016.
WITHDRAWAL
Class IX-A from American Home Mortgage Investment Trust 2005-1 has
received bond insurance payments from an insurer that S&P no longer
rate. Such payments were made in anticipation of an expected
payment default. S&P withdrew the rating on this class because it
no longer has sufficient information about the insurers'
creditworthiness to form the basis of an insurer-dependent rating.
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 the 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:
https://is.gd/FElg17
[*] S&P Takes Various Rating Actions on 12 Prime Jumbo RMBS
-----------------------------------------------------------
S&P Global Ratings, on June 15, 2016, completed its review of 12
U.S. residential mortgage-backed securities (RMBS) transactions
issued between 2004 and 2007. The review yielded 14 upgrades, 56
downgrades (including one to 'D (sf)'), 104 affirmations, and two
withdrawals.
The transactions in this review are backed by a mix of fixed- and
adjustable-rate prime jumbo mortgage loans, which are secured
primarily by first liens on one- to four-family residential
properties.
Subordination and/or bond insurance provide credit support for the
reviewed transactions. Where the bond insurer is rated lower than
what S&P would rate the respective class without bond insurance,
S&P relied solely on the underlying collateral's credit quality and
the transaction structure to derive the rating. As discussed in
S&P's criteria, "The Interaction Of Bond Insurance And Credit
Ratings", published Aug. 24, 2009, the rating on a bond-insured
obligation will be the higher of the rating on the bond insurer and
the rating of the underlying obligation without considering the
potential credit enhancement from the bond insurance.
The two classes listed below are insured as:
-- Banc of America Mortgage Trust 2004-4's class 1-A-12
('BBB+ (sf)'), insured by MBIA Insurance Corp.
('CCC/Negative'); and
-- RFMSI Series 2004-S4 Trust's class I-A-3 ('BBB (sf)'),
insured by MBIA Insurance Corp. ('CCC/Negative').
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 14 classes from five transactions. The
projected credit enhancement for the affected classes is sufficient
to cover S&P's projected losses at these rating levels. The
upgrades reflect one or more of:
-- Improvement of underlying collateral;
-- An increase in credit support;
-- Expected short duration; and/or
-- Shift in payment priority.
DOWNGRADES
S&P lowered its ratings on 56 classes from 10 transactions,
including nine ratings that were lowered more than four notches. Of
the 56 downgrades, S&P lowered its ratings on 18 classes to
speculative-grade ('BB+' or lower) from investment-grade ('BBB-' or
higher). Eight of the ratings we lowered remained at an
investment-grade level, and the remaining 30 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 S&P's remaining projected
losses for the related transactions at a higher rating. The
downgrades also reflect one or more of:
-- Deteriorated collateral performance;
-- Decreased credit enhancement available to the classes;
-- Observed principal write-downs; and/or
-- Tail risk (see below).
S&P lowered the rating on class B-1 from CSFB Mortgage-Backed Trust
Series 2004-8 to 'D (sf)' from 'CCC (sf)' due to principal
write-downs incurred by the class.
TAIL RISK
Some of the transactions in this review are backed by a small
remaining pool of mortgage loans. S&P believes that pools with
fewer than 100 loans remaining could have an increased risk of
credit instability because a liquidation and subsequent loss on one
or a small number of remaining loans at the tail end of a
transaction's life may have a disproportionate impact on the
remaining credit support. S&P refers to this as tail risk.
S&P addressed this tail risk on the small pools in this review by
conducting a loan-level analysis that assesses this additional
risk. Tail risk present in the associated small loan pools was the
primary driver for 19 downgrades from five transactions.
WITHDRAWALS
S&P withdrew its ratings on one class from CSFB Mortgage Backed
Trust Series 2004-5 and one class from CSFB Mortgage-Backed Trust
Series 2004-8 due to the application of S&P's IO criteria, which
state that S&P will maintain the rating on an IO class until the
ratings on all of the classes that the IO security references, in
the determination of its notional balance, are either lowered below
'AA-' or have been retired.
AFFIRMATIONS
For certain transactions, S&P considered specific performance
characteristics that, in its view, could add volatility to its loss
assumptions and in turn to the ratings suggested by S&P's cash flow
projections. In these circumstances, S&P affirmed, rather than
raised, its ratings on those classes to promote ratings stability.
In general, the bonds that were affected reflect:
-- Historical interest shortfalls;
-- Low priority of principal payments;
-- Significant growth in the delinquency pipeline;
-- Low subordination; and/or
-- Tail risk.
Of the 104 affirmed ratings, 43 are investment-grade, and 61 are
speculative-grade. The affirmations on the 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. 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.
*********
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
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Copyright 2016. All rights reserved. ISSN: 1520-9474.
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