/raid1/www/Hosts/bankrupt/TCR_Public/170108.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, January 8, 2017, Vol. 21, No. 7
Headlines
AMAC CDO I: S&P Affirms CCC- Rating on Class E Notes
BENEFIT STREET IV: S&P Assigns BB Rating on Class D-R Notes
BENEFIT STREET X: S&P Assigns BB Rating on Class D Notes
CARLYLE HIGH X: Moody's Hikes Class E Notes Rating to Ba1(sf)
CATAMARAN CLO 2012-1: S&P Affirms B Rating on Class F Notes
CITIGROUP: Moody's Takes Action on $352MM of Subprime RMBS
DBWF 2016-85T: S&P Assigns BB- Rating on Class E Certificates
DRYDEN 36 SENIOR: S&P Assigns BB- Rating on Class E-R Notes
EATON VANCE 2013-1: S&P Assigns B- Rating on Class E-R Notes
FIRSTMAC MORTGAGE 4PP-2016: S&P Assigns BB Rating on Class E Debt
GALLATIN CLO VII: Moody's Affirms 'B1(sf)' Rating on Class F Notes
GP PORTFOLIO 2014-GPP: S&P Affirms BB Rating on Class E Certs
LCM XXIII: S&P Assigns BB Rating on Class D Notes
MADISON PARK XXIV: S&P Assigns BB- Rating on Class E Notes
OCTAGON INVESTMENT 29: S&P Assigns BB- Rating on Class E Notes
REGATTA II FUNDING: S&P Assigns BB- Rating on Class D-R Notes
RFC CDO 2006-1: S&P Affirms CCC- Rating on 2 Note Classes
SASCO: Moody's Upgrades Ratings on $2.4BB of Subprime RMBS Deals
SHACKLETON 2015-VII: S&P Affirms BB Rating on Class E Notes
TABERNA PREFERRED IX: Moody's Hikes Ratings on 2 Tranches to B2
[*] S&P Completes Review of 8 Classes From 6 HEMC Deals
[] Moody's Upgrades $582MM of Subprime RMBS Issued 2002-2007
*********
AMAC CDO I: S&P Affirms CCC- Rating on Class E Notes
----------------------------------------------------
S&P Global Ratings affirmed its 'CCC- (sf)' rating on the class E
notes from AMAC CDO Funding I, a U.S. commercial real estate
collateralized debt obligation (CRE-CDO) transaction. At the same
time, S&P discontinued the ratings on the class D-1 and D-2 notes.
The rating actions follow S&P's review of the transaction's
performance using data from the Nov. 18, 2016, monthly trustee
report, which includes details on the payments made on the
Nov. 23, 2016, payment date.
The ratings on the class D-1 and D-2 notes were discontinued
following their full paydowns on the Nov. 23, 2016, payment date.
These ratings were lowered to 'D (sf)' on Sept. 1, 2016, following
a default on Aug. 30, 2016, caused by interest payment defaults on
the two classes, which were the senior-most classes in the
transaction.
The class E note began to receive paydowns on the Nov. 23, 2016,
payment date. It also received its current interest and a portion
of its deferred interest. Although its outstanding balance has
been reduced, the transaction has only three performing assets
remaining in the pool, and S&P's affirmation of the class E note's
rating reflects the credit quality of these assets, which back the
notes.
S&P's review of the transaction relied, in part, upon a criteria
interpretation with respect to our 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) to assess the credit
quality of assets not rated by S&P Global Ratings. The criteria
provide specific guidance for the treatment of corporate assets not
rated by S&P Global Ratings, while the interpretation outlines the
treatment of securitized assets.
S&P will continue to review whether, in its view, the rating on the
class E notes remains consistent with the credit enhancement
available to support it, and will take rating actions as S&P deems
necessary.
RATING AFFIRMED
AMAC CDO Funding I
Class Rating
E CCC- (sf)
RATINGS DISCONTINUED
AMAC CDO Funding I
Class Rating
To From
D-1 NR D (sf)
D-2 NR D (sf)
NR--Not rated.
BENEFIT STREET IV: S&P Assigns BB Rating on Class D-R Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R,
B-R, C-R, and D-R replacement floating-rate notes from Benefit
Street Partners CLO IV Ltd., a collateralized loan obligation (CLO)
originally issued in 2014 that is managed by Benefit Street
Partners LLC. S&P withdrew its ratings on the original class A-1A,
A-1B, A-2A, A-2B, B, C, and D notes following payment in full on
the Dec. 22, 2016, refinancing date.
On the Dec. 22, 2016, refinancing date, the proceeds from class
A-1-R, A-2-R, B-R, C-R, and D-R replacement note issuances were
used to redeem the original class A-1A, A-1B, A-2A, A-2B, B, C, and
D notes as outlined in the transaction document provisions.
Therefore, S&P withdrew its ratings on the original notes in line
with their full redemption, and S&P is assigning ratings to the
replacement notes.
The replacement notes are being issued via a supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, also:
-- Issues the notes at a same, higher, and lower spread than
the original notes, depending on the class.
-- Issues the notes as floating-rate notes.
-- Extends the stated maturity, reinvestment period, and
weighted average life test by approximately three years.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the trustee
report, to estimate future performance. In line with S&P's
criteria, its cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, S&P's analysis considered
the transaction's ability to pay timely interest or ultimate
principal, or both, to each of the rated tranches.
The assigned ratings reflect S&P's opinion that the credit support
available is commensurate with the associated rating levels.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and S&P will take further rating actions
as it deems necessary.
RATINGS ASSIGNED
Benefit Street Partners CLO IV Ltd.
Replacement class Rating Amount (mil. $)
A-1-R AAA (sf) 305.00
A-2-R AA (sf) 65.00
B-R (deferrable) A (sf) 41.00
C-R (deferrable) BBB (sf) 27.00
D-R (deferrable) BB (sf) 22.75
Subordinated notes NR 51.52
RATINGS WITHDRAWN
Benefit Street Partners CLO IV Ltd
Rating
Original class To From
A-1A NR AAA (sf)
A-1B NR AAA (sf)
A-2A NR AA (sf)
A-2B NR AA (sf)
B (deferrable) NR A (sf)
C (deferrable) NR BBB (sf)
D (deferrable) NR BB (sf)
NR--Not rated.
BENEFIT STREET X: S&P Assigns BB Rating on Class D Notes
--------------------------------------------------------
S&P Global Ratings assigned its ratings to Benefit Street Partners
CLO X Ltd./Benefit Street Partners CLO X LLC's $460.00 million
floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed by broadly syndicated speculative-grade senior secured term
loans.
The 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.
RATINGS ASSIGNED
Benefit Street Partners CLO X Ltd./Benefit Street Partners CLO X
LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 320.00
A-2 AA (sf) 60.00
B A (sf) 30.00
C BBB (sf) 30.00
D BB (sf) 20.00
Subordinated notes NR 50.52
NR--Not rated.
CARLYLE HIGH X: Moody's Hikes Class E Notes Rating to Ba1(sf)
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Carlyle High Yield Partners X, Ltd.:
US$21,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2022 Notes, Upgraded to Aa1 (sf); previously on December 23,
2015 Upgraded to Aa3 (sf)
US$16,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2022 Notes, Upgraded to A3 (sf); previously on December 23,
2015 Upgraded to Baa2 (sf)
US$12,000,000 Class E Secured Deferrable Floating Rate Notes due
2022 Notes, Upgraded to Ba1 (sf); previously on December 23, 2015
Upgraded to Ba2 (sf)
Moody's also affirmed the ratings on the following notes:
US$128,500,000 Class A-1 Senior Secured Floating Rate Notes due
2022 Notes (current outstanding balance of $59,400,392), Affirmed
Aaa (sf); previously on December 23, 2015 Affirmed Aaa (sf)
US$155,000,000 Class A-2-A Senior Secured Floating Rate Notes due
2022 Notes (current outstanding balance of $62,239,825), Affirmed
Aaa (sf); previously on December 23, 2015 Affirmed Aaa (sf)
US$17,500,000 Class A-2-B Senior Secured Floating Rate Notes due
2022 Notes, Affirmed Aaa (sf); previously on December 23, 2015
Affirmed Aaa (sf)
US$16,000,000 Class B Senior Secured Floating Rate Notes due 2022
Notes, Affirmed Aaa (sf); previously on December 23, 2015 Upgraded
to Aaa (sf)
Carlyle High Yield Partners X, Ltd., issued in April 2007, is a
collateralized loan obligation (CLO) backed primarily by a
portfolio of senior secured loans. The transaction's reinvestment
period ended in April 2014.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since December 2015. Since then
the Class A-1 and Class A-2-A Notes have been paid down by
approximately 37.5% or $35.6 million and 43.5% or $47.9 million,
respectively. Based on the trustee's December 2016 report, the OC
ratios for the Class A/B, Class C, Class D and Class E notes are
reported at 145.18%, 127.87%, 117.22% and 110.33%, respectively,
versus December 2015 levels of 129.89%, 119.38%, 112.45% and
107.76%, respectively.
Nevertheless, the credit quality of the portfolio has deteriorated
since December 2015. Based on the trustee's December 2016 report,
the weighted average rating factor (WARF) is currently 2904
compared to 2449 in December 2015.
Methodology Used for the Rating Action
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
October 2016.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy and b)
the large concentration of upcoming speculative-grade debt
maturities, which could make refinancing difficult for issuers.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO documentation
by different transactional parties owing to embedded ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current expectations,
can lead to positive CLO performance. Conversely, a negative shift
in credit quality or performance of the collateral can have adverse
consequences for CLO performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging of the CLO
could accelerate owing to high prepayment levels in the loan market
and/or collateral sales by the manager, which could have a
significant impact on the notes' ratings. Note repayments that are
faster than Moody's current expectations will usually have a
positive impact on CLO notes, beginning with those with the highest
payment priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets reported by the trustee and those that Moody's
assumes as having defaulted could result in volatility in the
deal's OC levels. Further, the timing of recoveries and whether a
manager decides to work out or sell defaulted assets create
additional uncertainty. Moody's analyzed defaulted recoveries
assuming the lower of the market price and the recovery rate in
order to account for potential volatility in market prices.
Realization of higher than assumed recoveries would positively
impact the CLO.
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% (2378)
Class A-1: 0
Class A-2-A: 0
Class A-2-B: 0
Class B: 0
Class C: +1
Class D: +2
Class E: +1
Moody's Adjusted WARF + 20% (3568)
Class A-1: 0
Class A-2-A: 0
Class A-2-B: 0
Class B: 0
Class C: -2
Class D: -2
Class E: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analyzed the collateral pool as having a performing par and
principal proceeds balance of $222.16 million, defaulted par of
$3.34 million, a weighted average default probability of 18.29%
(implying a WARF of 2973), a weighted average recovery rate upon
default of 51.27%, a diversity score of 36 and a weighted average
spread of 3.39% (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.
CATAMARAN CLO 2012-1: S&P Affirms B Rating on Class F Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, and
C-R notes from Catamaran CLO 2012-1 Ltd., a collateralized loan
obligation (CLO) originally issued in 2012 that is managed by
Trimaran Advisors LLC. S&P withdrew its ratings on the original
class A, B, and C notes following payment in full on the Dec. 20,
2016, refinancing date. At the same time, S&P affirmed its ratings
on the class D, E and F notes, which were not refinanced.
On the Dec. 20, 2016, refinancing date, the proceeds from the class
A-R, B-R, and C-R replacement note issuance were used to redeem the
original class A, B, and C notes, as outlined in the transaction
document provisions. Therefore, S&P withdrew its ratings on the
original notes in line with their full redemption, and S&P is
assigning ratings to the replacement notes.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the October
2016 trustee report, to estimate future performance. In line with
S&P's criteria, its cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, S&P's analysis considered
the transaction's ability to pay timely interest or ultimate
principal, or both, to each of the rated tranches.
The assigned and affirmed ratings reflect S&P's opinion that the
credit support available is commensurate with the associated rating
levels.
Although S&P's cash flow analysis indicated higher ratings for the
class B-R, C-R, and D notes, its rating actions considered
additional sensitivity analyses that allowed for further volatility
in the underlying portfolio.
Additionally, the cash flow analysis indicated a lower rating on
the class F notes than its current rating level, but S&P's rating
analysis considered the fact that the deal will soon exit its
reinvestment period and start paying down the notes sequentially,
which, all else remaining equal, will begin to increase the
overcollateralization levels. S&P also considered the "Criteria
For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published
Oct. 1, 2012, and hence did not lower the rating to the level
suggested by the cash flow analysis.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and S&P will take rating actions as it
deems necessary.
RATINGS ASSIGNED
Catamaran CLO 2012-1 Ltd.
Replacement classes Rating Amount (mil. $)
A-R AAA (sf) 254.00
B-R AA (sf) 44.75
C-R A (sf) 34.00
RATINGS WITHDRAWN
Catamaran CLO 2012-1 Ltd.
Rating
Original class To From
A NR AAA (sf)
B NR AA (sf)
C NR A (sf)
RATINGS AFFIRMED
Catamaran CLO 2012-1 Ltd.
Class Rating
D BBB (sf)
E BB (sf)
F B (sf)
OTHER CLASSES OUTSTANDING
Catamaran CLO 2012-1 Ltd.
Class Rating
Subordinated notes NR
NR--Not rated.
CITIGROUP: Moody's Takes Action on $352MM of Subprime RMBS
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 11 tranches
and assigned ratings to two tranches from four transactions, backed
by subprime mortgage loans, issued by Citigroup.
Complete rating actions are as follows:
Issuer: Citigroup Mortgage Loan Trust 2007-AMC4
Cl. A-1, Upgraded to B1 (sf); previously on Apr 6, 2010 Downgraded
to Ca (sf)
Cl. A-2C, Upgraded to Ba3 (sf); previously on Apr 6, 2010
Downgraded to Ca (sf)
Cl. A-2D, Upgraded to B1 (sf); previously on Apr 6, 2010 Downgraded
to Ca (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2005-HE1
Cl. M-3, Upgraded to Ba1 (sf); previously on May 23, 2016 Upgraded
to B1 (sf)
Cl. M-4, Upgraded to B2 (sf); previously on Apr 6, 2010 Downgraded
to C (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2005-OPT3
Cl. M-3, Upgraded to Ba1 (sf); previously on Sep 24, 2014 Upgraded
to B1 (sf)
Cl. M-4, Upgraded to Ba1 (sf); previously on May 23, 2016 Upgraded
to B2 (sf)
Cl. M-5, Upgraded to Caa2 (sf); previously on Feb 26, 2013 Affirmed
C (sf)
Cl. M-8, Assigned to C (sf); previously on May 07, 2014 WR (sf)
Cl. M-9, Assigned to C (sf) previously on Sep 24, 2014 WR (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2005-OPT4
Cl. M-4, Upgraded to Ba1 (sf); previously on Apr 10, 2015 Upgraded
to Ba3 (sf)
Cl. M-5, Upgraded to Ba1 (sf); previously on Mar 10, 2016 Upgraded
to Ba3 (sf)
Cl. M-6, Upgraded to B1 (sf); previously on Mar 10, 2016 Upgraded
to Ca (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to the increase in credit
enhancement available to the bonds due to the distribution of funds
related to the $1.125 billion Citigroup RMBS settlement.
The assignment of ratings reflect the fact that the prior ratings
had been withdrawn as these tranches were previously written down
due to losses, but the tranches have since been partially written
back due to the settlement proceeds. The assigned ratings reflect
their reinstated balances and expected tranche loss.
The actions reflect the 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 4.6% in November 2016 from 5.0% in
November 2015. Moody's forecasts an unemployment central range of
4.5% to 5.5% for the 2017 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 2017. 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.
DBWF 2016-85T: S&P Assigns BB- Rating on Class E Certificates
-------------------------------------------------------------
S&P Global Ratings assigned ratings to DBWF 2016-85T Mortgage
Trust's $271.0 million commercial mortgage pass-through
certificates series 2016-85T.
The issuance is a commercial mortgage-backed securities transaction
backed by a $271.0 million trust mortgage loan, which is part of a
whole mortgage loan totaling $396.0 million, secured by a first
lien on the borrower's fee interest in 85 Tenth Avenue, a 11-story
mixed-use building totaling 632,548 sq. ft. and located in
Manhattan's Chelsea submarket.
S&P previously assigned a preliminary 'AAA (sf)' rating to the
class X-A certificates. S&P is now assigning a final 'AA- (sf)'
rating as the certificates' notional balance has changed to
reference the aggregate balance of the class A and B certificates,
totaling $131.85 million, from referencing the $106.0 million class
A certificate balance alone as of when S&P assigned its preliminary
rating.
The ratings reflect the collateral's historic and projected
performance, the sponsor's and managers' experience, the
trustee-provided liquidity, the loan's terms, and the transaction's
structure.
RATINGS ASSIGNED
DBWF 2016-85T Mortgage Trust
Class Rating Amount ($)
A AAA (sf) 106,001,000
X-A AA- (sf) 131,850,000(i)
B AA- (sf) 25,849,000
C A- (sf) 36,693,000
D BBB- (sf) 45,010,000
E BB- (sf) 57,447,000
(i)The notional amount of the class X-A certificates will be equal
to the aggregate of the class A and the class B certificate
balances.
DRYDEN 36 SENIOR: S&P Assigns BB- Rating on Class E-R Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-R, and E-R replacement notes from Dryden 36 Senior Loan Fund, a
collateralized loan obligation (CLO) originally issued in 2014 that
is managed by PGIM Inc. In addition, S&P assigned a rating to the
class X notes, which were issued on the refinancing date and are
expected to be paid down within the first two years of the
transaction. The subclass II subordinated notes, which were also
issued on the refinancing date, are unrated by S&P Global Ratings.
S&P withdrew its ratings on the original class A, B, C, D, and E
notes following payment in full on the Dec. 21, 2016 refinancing
date.
On the Dec. 21, 2016 refinancing date, the proceeds from the class
A-R, B-R, C-R, D-R, and E-R replacement note issuances were used to
redeem the original class A, B, C, D, and E notes as outlined in
the transaction document provisions. Therefore, S&P withdrew its
ratings on the original notes in line with their full redemption,
and S&P is assigning ratings to the replacement notes.
The replacement notes are being issued via a supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, will also:
-- Extend the stated maturity of the rated notes to January
2028 from November 2025;
-- Extend the reinvestment period to October 2021 from November
2018;
-- Extend the non-call period to January 2019 from November
2016;
-- Adopt the non-model version of the CDO Monitor application;
-- Adopt the recovery rate methodology and S&P Global Ratings'
industry classifications as outlined in its August 2016
corporate collateralized debt obligation criteria update;
-- Issue an amortizing class X notes, which will be paid their
principal and interest pari passu with the class A-R notes
and are expected to be paid off within the first two years
of the transaction; and
-- Reset the weighted average life test back to eight years
from the Dec. 21, 2016, refinancing date. It was originally
eight years from the Dec. 9, 2014 closing date.
After S&P issued the preliminary ratings on Dec. 1, 2016, the
transaction was upsized, which affected S&P's assigned rating on
the class E-R notes. S&P's rating action assigns a final rating to
the class E-R notes that is one notch lower than the preliminary
rating, and reflects an updated portfolio and upsized capital
stack. In addition, an additional class of subordinated notes was
issued on the refinancing date. To distinguish the additional
class of subordinated notes from the original subordinated notes,
the original subordinated notes were renamed "subclass I
subordinated notes," while the additional subordinated notes are
named "subclass II subordinated notes."
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
portfolio provided to S&P for this review, to estimate future
performance. In line with S&P's criteria, its cash flow scenarios
applied forward-looking assumptions on the expected timing and
pattern of defaults, and recoveries upon default, under various
interest rate and macroeconomic scenarios. In addition, S&P's
analysis considered the transaction's ability to pay timely
interest or ultimate principal, or both, to each of the rated
tranches.
The assigned ratings reflect S&P's opinion that the credit support
available is commensurate with the associated rating levels.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and S&P will take rating actions as it
deems necessary.
RATINGS ASSIGNED
Dryden 36 Senior Loan Fund/Dryden 36 Senior Loan Fund LLC
Replacement class Rating Amount (mil $)
X AAA (sf) 3.20
A-R AAA (sf) 434.00
B-R AA (sf) 85.40
C-R A (sf) 60.20
D-R BBB (sf) 36.40
E-R BB- (sf) 28.70
Subclass I sub notes NR 56.70
Subclass II sub notes NR 9.45
RATINGS WITHDRAWN
Dryden 36 Senior Loan Fund/Dryden 36 Senior Loan Fund LLC
Rating
Original class To From
A NR AAA (sf)
B NR AA (sf)
C NR A (sf)
D NR BBB (sf)
E NR BB (sf)
NR--Not rated.
EATON VANCE 2013-1: S&P Assigns B- Rating on Class E-R Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-X, A-1-R,
A-2-R, B-R, C-R, D-R, and E-R replacement notes from Eaton Vance
CLO 2013-1 Ltd., a collateralized loan obligation (CLO) originally
issued in 2013 that is managed by Eaton Vance Management. S&P
withdrew its ratings on the transaction's original class A-1, A-2,
B, C, D, and E notes following payment in full on the Dec. 20,
2016, refinancing date.
On the Dec. 20, 2016, refinancing date, the proceeds from the
replacement note issuances were used to redeem the original notes
as outlined in the transaction document provisions. Therefore, S&P
withdrew the ratings on the original notes and are assigning
ratings to the replacement notes.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
supplemental indenture, to estimate future performance. In line
with S&P's criteria, its cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest or
ultimate principal, or both, to each of the rated tranches.
The ratings reflect S&P's opinion that the credit support available
is commensurate with the associated rating levels.
S&P will continue to review whether, in its view, the ratings
assigned to the transaction remain consistent with the credit
enhancement available to support them, and S&P will take rating
actions as it deems necessary.
RATINGS ASSIGNED
Eaton Vance CLO 2013-1 Ltd./Eaton Vance CLO 2013-1 LLC
Replacement class Rating Amount (mil. $)
A-X AAA (sf) 2.400
A-1-R AAA (sf) 260.600
A-2-R AA (sf) 58.900
B-R (deferrable) A (sf) 27.500
C-R (deferrable) BBB (sf) 21.000
D-R (deferrable) BB- (sf) 21.000
E-R (deferrable) B- (sf) 1.500
Subordinated notes NR 44.125
RATINGS WITHDRAWN
Eaton Vance CLO 2013-1 Ltd./Eaton Vance CLO 2013-1 LLC
Rating
Class To From
A-1 NR AAA (sf)
A-2 NR AA (sf)
B (deferrable) NR A (sf)
C (deferrable) NR BBB (sf)
D (deferrable) NR BB (sf)
E (deferrable) NR B (sf)
NR--Not rated.
FIRSTMAC MORTGAGE 4PP-2016: S&P Assigns BB Rating on Class E Debt
-----------------------------------------------------------------
S&P Global Ratings assigned ratings to six of the seven classes of
prime residential mortgage-backed securities (RMBS) issued by
Firstmac Fiduciary Services Pty Ltd. as trustee for Firstmac
Mortgage Funding Trust No.4 Series 4PP-2016.
The ratings reflect:
-- S&P's view of the credit risk of the underlying collateral
portfolio. This is not initially a closed pool. The
transaction allows for one additional purchase date whereby
assets can be sold into the trust. When the additional
purchase date has expired, no additional assets can be sold
into the trust. However, the sale to the trust is subject
to S&P Global Ratings' review of the loan portfolio and
there being no adverse rating effect.
-- S&P's view of the credit support that is sufficient to
withstand the stresses it applies. Credit support for the
rated notes comprises note subordination, excess spread, and
lenders' mortgage insurance on 36.1% of the portfolio.
-- S&P's expectation that the various mechanisms to support
liquidity within the transaction, including a liquidity
reserve equal to 1.2% of the outstanding note balance; the
principal draw function; 24 months' timely payment cover on
30.8% of the loans in the portfolio; and a spread reserve
that builds from available excess spread, are sufficient to
ensure timely payment of interest.
-- The extraordinary expense reserve of A$150,000, funded from
day one by Firstmac Ltd., available to meet extraordinary
expenses. The reserve will be topped up via excess spread
if drawn.
-- The fixed-to-floating interest-rate swap provided by
National Australia Bank Ltd. to hedge the mismatch between
receipts from fixed-rate mortgage loans and the variable-
rate RMBS.
A copy of S&P Global Ratings' complete report for Firstmac Mortgage
Funding Trust No.4 Series 4PP-2016 can be found on RatingsDirect,
S&P Global Ratings' Web-based credit analysis system, at:
http://www.globalcreditportal.com
RATINGS ASSIGNED
Class Rating Amount (A$ mil.)
A-1a AAA (sf) 700.0
A-2 AAA (sf) 32.5
B AA (sf) 29.0
C A (sf) 11.4
D BBB (sf) 6.2
E BB (sf) 3.8
F NR 4.1
NR--Not rated.
GALLATIN CLO VII: Moody's Affirms 'B1(sf)' Rating on Class F Notes
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Gallatin CLO VII 2014-1, Ltd.:
US$29,400,000 Class B-1 Senior Secured Floating Rate Notes Due
2023, Upgraded to Aaa (sf); previously on June 25, 2015 Upgraded to
Aa1 (sf)
US$4,600,000 Class B-2 Senior Secured Fixed Rate Notes Due 2023,
Upgraded to Aaa (sf); previously on June 25, 2015 Upgraded to Aa1
(sf)
US$20,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes Due 2023, Upgraded to Aa2 (sf); previously on June 25, 2015
Upgraded to A1 (sf)
Moody's also affirmed the ratings on the following notes:
US$227,500,000 Class A Senior Secured Floating Rate Notes Due 2023
(current outstanding balance of $137,187,818), Affirmed Aaa (sf);
previously on June 25, 2015 Affirmed Aaa (sf)
US$25,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes Due 2023, Affirmed Baa2 (sf); previously on June 25, 2015
Upgraded to Baa2 (sf)
US$17,500,000 Class E Junior Secured Deferrable Floating Rate Notes
Due 2023, Affirmed Ba2 (sf); previously on June 25, 2015 Upgraded
to Ba2 (sf)
US$6,000,000 Class F Junior Secured Deferrable Floating Rate Notes
Due 2023, Affirmed B1 (sf); previously on June 25, 2015 Upgraded to
B1 (sf)
Gallatin CLO VII 2014-1, Ltd., issued in June 2014, is a
collateralized loan obligation (CLO) backed primarily by a
portfolio of senior secured loans. The transaction's reinvestment
period ended in July 2015.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since December 2015. The Class A
notes have been paid down by approximately 38.4% or $85.4 million
since that time. Based on the trustee's December 2016 report, the
OC ratios for the Class A/B, Class C, Class D, Class E and Class F
notes are reported at 150.4%, 134.7%, 119.1%, 110.2% and 107.4%,
respectively, versus December 2015 levels of 134.6%, 124.9%,
114.6%, 108.3% and 106.3%, respectively.
Nevertheless, the credit quality of the portfolio has deteriorated
since December 2015. Based on the trustee's December 2016 report,
the weighted average rating factor is currently 3369 compared to
3003 in December 2016. The transaction also has a large exposure to
assets with a Moody's corporate family rating of Caa1 or lower,
including energy and commodity-linked collateral assets with
negative credit outlooks.
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
October 2016.
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) Exposure to assets with low credit quality and weak liquidity:
The presence of assets rated Caa3 with a negative outlook, Caa2 or
Caa3 on review for downgrade or the worst Moody's speculative grade
liquidity (SGL) rating, SGL-4, exposes the notes to additional
risks if these assets default. The historical default rate is
higher than average for these assets. Due to the deal's exposure to
such assets, which constitute around $7.8 million of par, Moody's
ran a sensitivity case defaulting those assets.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Moody's Adjusted WARF -- 20% (2750)
Class A: 0
Class B-1: 0
Class B-2: 0
Class C: +2
Class D: +3
Class E: +1
Class F: +1
Moody's Adjusted WARF + 20% (4126)
Class A: 0
Class B-1: 0
Class B-2: 0
Class C: -2
Class D: -1
Class E: -1
Class F: -3
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 $260.1 million, no defaulted par, a
weighted average default probability of 24.84% (implying a WARF of
3438), a weighted average recovery rate upon default of 48.88%, a
diversity score of 37 and a weighted average spread of 4.03%
(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.
GP PORTFOLIO 2014-GPP: S&P Affirms BB Rating on Class E Certs
-------------------------------------------------------------
S&P Global Ratings affirmed its ratings on six classes of
commercial mortgage pass-through certificates from GP Portfolio
Trust 2014-GPP's series 2014-GPP, a U.S. commercial mortgage-backed
securities (CMBS) transaction.
The affirmations follow S&P's analysis of the transaction primarily
using its criteria for rating U.S. and Canadian CMBS transactions.
S&P's analysis included reviewing the performance of a six
million-sq.-ft. portfolio of 31 suburban office, flex, and
warehouse properties located across Florida, Maryland,
Pennsylvania, New Jersey, and Minnesota, which secure the
$389.2 million floating-rate interest-only (IO) mortgage loan,
representing the entire trust balance. S&P also considered the
deal structure and liquidity available to the trust.
The affirmations of the principal- and interest-paying bonds
further 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 and
S&P's views regarding the current and future performance of the
transaction's collateral.
S&P also affirmed the IO class X-EXT, in line with its criteria for
rating IO bonds.
S&P's analysis of stand-alone (single borrower) transactions is
predominantly a recovery-based approach that assumes a loan
default. Using this approach, S&P's property-level analysis
included a re-evaluation of the suburban office, flex, and
warehouse properties.
S&P's analysis considered that while the transaction has paid down
about $70 million in loan proceeds since issuance, these paydowns
were the result of eight buildings being released from the mortgage
loan collateral, with 89 buildings remaining in the portfolio. The
loan documents require the borrower to pay a premium of 115% of the
allocated loan amount associated with each property that is
released from the collateral. S&P also considered that the
remaining property portfolio has experienced a moderate decline in
performance and cash flow, which is not attributed to the property
releases. The servicer reported that the portfolio experienced an
overall decline in effective gross income (EGI) to about $92.2
million as of the trailing 12 months ended June 30, 2016, from
about $105.4 million in 2013. While the majority of this decline
can be attributed to the property releases, as the released
properties contributed a total of about $8.6 million in base rental
income at issuance, the decline in EGI also resulted from an
overall deterioration in the performance of the remaining
properties in the portfolio.
Based on S&P's analysis, it derived its sustainable in-place net
cash flow, which S&P divided by an 8.27% weighted average
capitalization rate to determine S&P's expected-case value. This
yielded a 74.6% S&P Global Ratings' loan-to-value ratio on the
mortgage loan balance.
As of the Dec. 15, 2016, trustee remittance report, the mortgage
loan in the trust has a $389.2 million balance, which is about
$70 million lower than the $460.2 million trust balance at
issuance. The loan pays an annual floating interest rate of LIBOR
plus a weighted average spread of 2.750001% and originally matured
on Feb. 9, 2016, subject to three successive one-year extension
options. The borrower has exercised one of the three extension
options, and the loan currently matures on Feb. 9, 2017. According
to the transaction documents, the borrowers will pay the special
servicing fees, work-out fees, liquidation fees, and costs and
expenses incurred from appraisals and inspections the special
servicer conducts. To date, the trust has not incurred any
principal losses. S&P based its analysis, in part, on a review of
the master servicer's (Midland Loan Services) reported net
operating income for the trailing 12 months ended June 30, 2016,
and years ended 2015, 2014, and 2013 to determine S&P's opinion of
the collateral's sustainable net cash flow. The master servicer
reported a mortgage-loan debt service coverage of 3.25x for the
trailing 12 months ended June 30, 2016.
RATINGS AFFIRMED
GP Portfolio Trust 2014-GPP
Commercial mortgage pass-through certificates series 2014-GPP
Class Rating
A AAA (sf)
X-EXT(i) BB (sf)
B AA (sf)
C A+ (sf)
D BBB-(sf)
E BB (sf)
(i)Interest-only class. The notional amount of the class X-EXT
certificates will be reduced by the aggregate balance of the class
A, B, C, D, and E certificates.
LCM XXIII: S&P Assigns BB Rating on Class D Notes
-------------------------------------------------
S&P Global Ratings assigned its ratings to LCM XXIII Ltd./LCM XXIII
LLC's $369.50 million floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed by broadly syndicated speculative-grade senior secured term
loans.
The ratings reflect S&P's view of:
-- 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.
RATINGS ASSIGNED
LCM XXIII Ltd./LCM XXIII LLC
Class Rating Amount
(mil. $)
X AAA (sf) 2.00
A-1 AAA (sf) 247.00
A-2 AA (sf) 53.00
B (deferrable) A (sf) 32.00
C (deferrable) BBB (sf) 20.00
D (deferrable) BB (sf) 15.50
Subordinated notes NR 38.10
NR--Not rated.
MADISON PARK XXIV: S&P Assigns BB- Rating on Class E Notes
----------------------------------------------------------
S&P Global Ratings assigned its ratings to Madison Park Funding
XXIV Ltd./Madison Park Funding XXIV LLC's $691.50 million fixed-
and floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed by broadly syndicated speculative-grade senior secured term
loans.
The 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.
RATINGS ASSIGNED
Madison Park Funding XXIV Ltd./Madison Park Funding XXIV LLC
Class Rating Amount
(mil. $)
A AAA (sf) 465.00
B AA (sf) 102.50
C-1 (deferrable) A (sf) 37.50
C-2 (deferrable) A (sf) 19.00
D (deferrable) BBB- (sf) 31.50
E (deferrable) BB- (sf) 36.00
Subordinated notes NR 71.375
NR--Not rated.
OCTAGON INVESTMENT 29: S&P Assigns BB- Rating on Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Octagon Investment
Partners 29 Ltd.'s $460.00 million floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed by broadly syndicated senior secured term loans.
The 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.
RATINGS ASSIGNED
Octagon Investment Partners 29 Ltd./Octagon Investment Partners 29
LLC
Class Rating Amount
(mil. $)
A AAA (sf) 310.00
B AA (sf) 65.00
C (deferrable) A (sf) 37.50
D (deferrable) BBB- (sf) 27.50
E (deferrable) BB- (sf) 20.00
Subordinated notes NR 50.75
NR--Not rated.
REGATTA II FUNDING: S&P Assigns BB- Rating on Class D-R Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to the new class A-1-R,
A-2-R, B-R, C-R, and D-R notes from Regatta II Funding L.P., a U.S.
collateralized loan obligation (CLO) transaction managed by Napier
Park Global Capital (U.S.) L.P. S&P withdrew its ratings on the
original class A-1, A-2, B, C, and D notes following payment in
full on the Dec. 21, 2016, refinancing date.
On the Dec. 21, 2016, refinancing date, the proceeds from the new
note issuances were used to redeem the original class A-1, A-2, B,
C, and D notes as outlined in the transaction document provisions;
therefore, S&P is withdrawing the ratings on the original notes in
line with their full redemption, and assigning final ratings to the
new notes.
The new notes are being issued via a supplemental indenture and a
restated indenture. In addition to outlining the terms of the new
notes, the restated indenture outlines these:
-- The stated maturity, reinvestment period, and non-call
period will be extended by four years.
-- The weighted average life test will be extended also.
-- The balance of the class A-1-R and A-2-R notes includes
additional issuances of $4.5 million and $3.7 million,
respectively, which together represent the additional
issuance of the class A-R notes to be deposited in the
principal account on the refinancing date.
-- On Dec. 22, 2016, designated purchase date, the additional
class A-R issuance held in the principal account will be
used to purchase and cancel $4.0 million of the designated
class B-R notes and $2.0 million of the designated class D-R
notes. This will reduce the outstanding principal balance
of the class B-R and D-R notes to $28.0 million and
$17.5 million, respectively.
-- The outstanding balances of the class A-1-R, A-2-R, and C-R
notes are unaffected immediately after the designated
purchase date.
-- The cumulative balance of the new proposed notes immediately
after the designated purchase date will be greater than the
cumulative balance of the original notes being refinanced,
while the target par balance remains unchanged, resulting in
decreased overcollateralization ratios.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the trustee
report, to estimate future performance. In line with S&P's
criteria, its cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, S&P's analysis considered
the transaction's ability to pay timely interest or ultimate
principal, or both, to each of the rated tranches.
The assigned ratings reflect S&P's opinion that the credit support
available is commensurate with the associated rating levels.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as it deems
necessary.
RATINGS ASSIGNED
Regatta II Funding L.P.
New class Rating Amount (mil $)
A-1-R AAA (sf) 261.00
A-2-R AA (sf) 46.70
B-R A (sf) 32.00
C-R BBB (sf) 20.00
D-R BB- (sf) 19.50
L.P. certificates NR 43.95
RATINGS WITHDRAWN
Regatta II Funding L.P.
Rating
Original class To From
A-1 NR AAA (sf)
A-2 NR AA+ (sf)
B NR A (sf)
C NR BBB (sf)
D NR BB (sf)
NR--Not rated.
RFC CDO 2006-1: S&P Affirms CCC- Rating on 2 Note Classes
---------------------------------------------------------
S&P Global Ratings affirmed its ratings on the class B and C notes
from RFC CDO 2006-1 Ltd., a U.S. commercial real estate
collateralized debt obligation (CRE-CDO) transaction.
The rating actions follow S&P's review of the transaction's
performance using data from the Nov. 18, 2016, trustee report.
Since S&P's May 2014 rating actions, the class A-2 notes have been
paid down in full, and the class B notes have started receiving
paydowns. Following the Nov. 18, 2016, payment date, the
outstanding balance of class B is about 48.9% of its original
balance.
Because the number of assets in the transaction has decreased,
there is currently inadequate interest proceeds to pay the class C
interest in full. Therefore, the class C notes are currently
deferring a portion of their interest.
The affirmed ratings on the class B and C notes remain consistent
with the credit enhancement available to support them and reflect
S&P's analysis of the transaction's liability structure and the
underlying collateral's credit characteristics. Both tranches
failed the top obligor test at the 'CCC (sf)' rating category. The
ratings on these classes also reflect the credit quality of the
assets that back each tranche.
S&P's review of the transaction relied in part upon a criteria
interpretation with respect to its 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) to assess the credit
quality of assets not rated by S&P Global Ratings. The criteria
provide specific guidance for the treatment of corporate assets not
rated by S&P Global Ratings, while the interpretation outlines the
treatment of securitized assets.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and will take rating actions as S&P
deems necessary.
RATINGS AFFIRMED
RFC CDO 2006-1 Ltd.
Class Rating
B CCC- (sf)
C CCC- (sf)
SASCO: Moody's Upgrades Ratings on $2.4BB of Subprime RMBS Deals
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 51 tranches
issued from 18 SASCO transactions backed by Subprime mortgage
loans.
Issuer: Structured Asset Securities Corp 2006-W1
Cl. A1 Certificate, Upgraded to Caa1 (sf); previously on Apr 12,
2010 Downgraded to Caa3 (sf)
Issuer: Structured Asset Securities Corp Trust 2006-AM1
Cl. A1 Certificate, Upgraded to Ba2 (sf); previously on Jun 25,
2015 Upgraded to B3 (sf)
Cl. A5 Certificate, Upgraded to B1 (sf); previously on Jun 25, 2015
Upgraded to Caa3 (sf)
Issuer: Structured Asset Securities Corp Trust 2006-BC1
Cl. A1 Certificate, Upgraded to Baa3 (sf); previously on Jan 27,
2016 Upgraded to Ba2 (sf)
Cl. A2 Certificate, Upgraded to Caa2 (sf); previously on Apr 12,
2010 Downgraded to Caa3 (sf)
Cl. A5 Certificate, Upgraded to A3 (sf); previously on May 1, 2014
Upgraded to Baa3 (sf)
Cl. A6 Certificate, Upgraded to Caa3 (sf); previously on Jan 27,
2016 Upgraded to Ca (sf)
Issuer: Structured Asset Securities Corp Trust 2006-BC2
Cl. A1 Certificate, Upgraded to Caa3 (sf); previously on Apr 12,
2010 Downgraded to Ca (sf)
Cl. A3 Certificate, Upgraded to Ba1 (sf); previously on Jan 27,
2016 Upgraded to B2 (sf)
Issuer: Structured Asset Securities Corp Trust 2006-BC6
Cl. A1 Certificate, Upgraded to Ba2 (sf); previously on Jan 27,
2016 Upgraded to B3 (sf)
Cl. A4 Certificate, Upgraded to Baa1 (sf); previously on Jan 27,
2016 Upgraded to Ba2 (sf)
Cl. A5 Certificate, Upgraded to B1 (sf); previously on Jan 27, 2016
Upgraded to Caa2 (sf)
Issuer: Structured Asset Securities Corp Trust 2006-EQ1
Cl. A1 Certificate, Upgraded to Baa1 (sf); previously on Mar 10,
2016 Upgraded to Ba1 (sf)
Cl. A5 Certificate, Upgraded to Ba1 (sf); previously on Jan 29,
2016 Upgraded to B3 (sf)
Issuer: Structured Asset Securities Corp Trust 2006-NC1
Cl. A1 Certificate, Upgraded to Caa2 (sf); previously on Apr 12,
2010 Downgraded to Caa3 (sf)
Cl. A4 Certificate, Upgraded to Baa1 (sf); previously on Feb 6,
2015 Upgraded to Ba3 (sf)
Cl. A7 Certificate, Upgraded to Caa2 (sf); previously on Apr 12,
2010 Downgraded to Caa3 (sf)
Issuer: Structured Asset Securities Corp Trust 2006-WF1
Cl. A1 Certificate, Upgraded to Aaa (sf); previously on Jan 29,
2016 Upgraded to Aa2 (sf)
Cl. A5 Certificate, Upgraded to Aaa (sf); previously on Jan 29,
2016 Upgraded to Aa2 (sf)
Cl. M1 Certificate, Upgraded to Aa1 (sf); previously on Jan 29,
2016 Upgraded to A1 (sf)
Cl. M2 Certificate, Upgraded to A1 (sf); previously on Jan 29, 2016
Upgraded to A3 (sf)
Cl. M3 Certificate, Upgraded to A3 (sf); previously on Jan 29, 2016
Upgraded to Baa3 (sf)
Cl. M4 Certificate, Upgraded to Baa3 (sf); previously on Jan 29,
2016 Upgraded to B1 (sf)
Cl. M5 Certificate, Upgraded to B3 (sf); previously on Jan 29, 2016
Upgraded to Caa3 (sf)
Issuer: Structured Asset Securities Corp Trust 2006-WF3
Cl. A1 Certificate, Upgraded to Aa2 (sf); previously on Jun 24,
2016 Upgraded to A1 (sf)
Cl. A3 Certificate, Upgraded to Aaa (sf); previously on Jun 24,
2016 Upgraded to Aa2 (sf)
Cl. A4 Certificate, Upgraded to Aa3 (sf); previously on Jun 24,
2016 Upgraded to A3 (sf)
Cl. A5 Certificate, Upgraded to Aa2 (sf); previously on Jun 24,
2016 Upgraded to A1 (sf)
Cl. M1 Certificate, Upgraded to Baa2 (sf); previously on Jun 24,
2016 Upgraded to Ba3 (sf)
Issuer: Structured Asset Securities Corp Trust 2007-BC1
Cl. A1 Certificate, Upgraded to B2 (sf); previously on Apr 12, 2010
Downgraded to Caa3 (sf)
Cl. A4 Certificate, Upgraded to Baa2 (sf); previously on Feb 25,
2016 Upgraded to Ba1 (sf)
Cl. A5 Certificate, Upgraded to Ba2 (sf); previously on Feb 25,
2016 Upgraded to B3 (sf)
Cl. A6 Certificate, Upgraded to B2 (sf); previously on Apr 12, 2010
Downgraded to Caa3 (sf)
Issuer: Structured Asset Securities Corp Trust 2007-BC3
Cl. 1-A2 Certificate, Upgraded to Aa3 (sf); previously on Mar 12,
2015 Upgraded to A3 (sf)
Cl. 1-A3 Certificate, Upgraded to Ba3 (sf); previously on Feb 25,
2016 Upgraded to Caa1 (sf)
Cl. 2-A2 Certificate, Upgraded to Aa2 (sf); previously on Mar 12,
2015 Upgraded to A3 (sf)
Cl. 2-A3 Certificate, Upgraded to B1 (sf); previously on Feb 25,
2016 Upgraded to Caa1 (sf)
Issuer: Structured Asset Securities Corp Trust 2007-BC4
Cl. A1 Certificate, Upgraded to B2 (sf); previously on Apr 12, 2010
Downgraded to Caa3 (sf)
Issuer: Structured Asset Securities Corp Trust 2007-OSI
Cl. A-2 Certificate, Upgraded to Aa3 (sf); previously on Jan 27,
2016 Upgraded to Baa3 (sf)
Cl. A-3 Certificate, Upgraded to Ba2 (sf); previously on Jan 27,
2016 Upgraded to B2 (sf)
Issuer: Structured Asset Securities Corp Trust 2007-WF1
Cl. A1 Certificate, Upgraded to Caa1 (sf); previously on Apr 12,
2010 Downgraded to Caa3 (sf)
Cl. A4 Certificate, Upgraded to Ba2 (sf); previously on Apr 11,
2016 Upgraded to B3 (sf)
Cl. A6 Certificate, Upgraded to Caa1 (sf); previously on Apr 12,
2010 Downgraded to Caa3 (sf)
Issuer: Structured Asset Securities Corp, Mortgage Pass-Through
Certificates, Series 2006-BC3
Cl. A3 Certificate, Upgraded to Caa1 (sf); previously on Apr 12,
2010 Downgraded to Ca (sf)
Issuer: Structured Asset Securities Corp., Mortgage Pass-Through
Certificates, Series 2007-WF2
Cl. A-1 Certificate, Upgraded to Baa1 (sf); previously on Jan 29,
2016 Upgraded to Baa3 (sf)
Cl. A-3 Certificate, Upgraded to Baa3 (sf); previously on Jan 29,
2016 Upgraded to Ba3 (sf)
Cl. A-4 Certificate, Upgraded to B1 (sf); previously on Jan 29,
2016 Upgraded to Caa1 (sf)
Issuer: Structured Asset Securities Corporation Mortgage
Pass-Through Certificates, Series 2006-BC4
Cl. A4 Certificate, Upgraded to B1 (sf); previously on Jun 24, 2016
Upgraded to Caa1 (sf)
Issuer: Structured Asset Securities Corporation Trust 2006-BC5
Cl. A1 Certificate, Upgraded to Caa1 (sf); previously on Apr 12,
2010 Downgraded to Caa3 (sf)
Cl. A4 Certificate, Upgraded to Ba2 (sf); previously on Jan 29,
2016 Upgraded to B1 (sf)
Cl. A5 Certificate, Upgraded to Caa3 (sf); previously on Apr 12,
2010 Downgraded to C (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to the total credit
enhancement available to the bonds. The upgrades on Structured
Asset Securities Corp Trust 2006-BC2 Class A3 and Structured Asset
Securities Corp Trust 2007-BC3 Class 1-A2 and Class 1-A3 are also
due to the reduced risk of future interest shortfalls. The actions
reflect the recent performance of the underlying pools and Moody's
updated loss expectation on these pools.
In addition, certain upgrades reflect corrections to the cash-flow
models used by Moody's in rating the transactions. In previous
actions, the cash flow models for Structured Asset Securities
Corporation Mortgage Series 2006-BC5 Class A4 and Class A5 and
Structured Asset Securities Corporation Series 2006-BC3 Class A3
applied inaccurate cross collateralization rules for certain
certificates, and the cash flow models for Structured Asset
Securities Corp Trust 2007-BC4 Class A1 and Structured Asset
Securities Corp Trust 2006-WF1 Class A5 applied too little excess
spread benefit. These errors have now been corrected, and today's
rating actions reflect these changes.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013. Please see
the Rating Methodologies page on www.moodys.com for a copy of this
methodology.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.6% in November 2016 from 5.0% in
November 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.
SHACKLETON 2015-VII: S&P Affirms BB Rating on Class E Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, and
C-R replacement notes from Shackleton 2015-VII CLO Ltd., a U.S.
collateralized loan obligation (CLO) that was originally issued in
2015 and is managed by Alcentra NY LLC. S&P withdrew its ratings
on the transaction's original class A, B, and C notes following
payment in full on the Dec. 22, 2016, refinancing date. At the
same time, S&P affirmed its ratings on the class D and E notes,
which were not part of the refinancing.
On the Dec. 22, 2016, refinancing date, the proceeds from the class
A-R, B-R, and C-R replacement note issuances were used to redeem
the original class A, B, and C notes as outlined in the transaction
document provisions. Therefore, S&P withdrew the ratings on the
transaction's original notes in line with their full redemption,
and assigned ratings to the transaction's replacement notes.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the trustee
report, to estimate future performance. In line with S&P's
criteria, its cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, S&P's analysis considered
the transaction's ability to pay timely interest or ultimate
principal, or both, to each of the rated tranches.
The ratings reflect S&P's opinion that the credit support available
is commensurate with the associated rating levels.
S&P will continue to review whether, in its view, the ratings
assigned to the transaction remain consistent with the credit
enhancement available to support them, and S&P will take rating
actions as it deems necessary.
RATINGS ASSIGNED
Shackleton 2015-VII CLO Ltd.
Replacement class Rating Amount (mil. $)
A-R AAA (sf) 320.00
B-R AA (sf) 57.50
C-R A (sf) 35.00
RATINGS WITHDRAWN
Shackleton 2015-VII CLO Ltd.
Rating
Original class To From Amount (mil. $)
A NR AAA (sf) 320.00
B NR AA (sf) 57.50
C NR A (sf) 35.00
RATINGS AFFIRMED
Shackleton 2015-VII CLO Ltd.
Class Rating
D BBB (sf)
E BB (sf)
UNAFFECTED CLASS
Shackleton 2015-VII CLO Ltd.
Class Rating
Subordinated notes NR
NR--Not rated.
TABERNA PREFERRED IX: Moody's Hikes Ratings on 2 Tranches to B2
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Taberna Preferred Funding IX, Ltd.:
US$275,000,000 Class A-1LA Floating Rate Notes Due May 2038
(current balance of $95,767,074.67), Upgraded to B2 (sf);
previously on May 7, 2010, Downgraded to Caa2 (sf)
US$100,000,000 Class A-1LAD Delayed Draw Floating Rate Notes Due
May 2038 (current balance of $34,824,390.78); Upgraded to B2 (sf),
previously on May 7, 2010, Downgraded to Caa2 (sf)
Taberna Preferred Funding IX, Ltd., issued in June 2007, is a
collateralized debt obligation backed mainly by a portfolio of REIT
trust preferred securities (TruPS), with exposure to CMBS.
RATINGS RATIONALE
The rating actions are primarily a result of the deleveraging of
the Class A-1LA and A-1LAD notes and an increase in their
overcollateralization (OC) ratio. The Class A-1LA and A-1LAD notes
have paid down by approximately 29.2% (or $39.5 million and $14.4
million, respectively) since July 2016, using principal proceeds
from the redemption of underlying assets. Based on Moody's
calculations, the Class A-1LA and A-1LAD notes' OC ratio has
improved to 227.1% from 198.7% in July 2016.
Taberna Preferred Funding IX, Ltd. declared an event of default
(EOD) on November 10, 2015 and acceleration of the notes on
November 30, 2015. As a result, the Class A-1LA and A-1AD notes
have become senior to all other notes and will be paid in full
before interest or principal is paid to any subordinate notes.
Nevertheless, a large out-of-the-money interest rate swap continues
to pose risks to the deal, although it is scheduled to expire in
May 2017. Because of payments due to the swap, the deal has used
unscheduled principal proceeds to cover interest due on the Class
A-1LA and A-1AD notes on past payment dates. As a result, Moody's
considered the risk of non-payment on these notes and the
approximate expected recoveries associated with ratings for
defaulted or impaired securities, as detailed in "Moody's Rating
Symbols & Definitions." Further, the credit quality of the
portfolio remains weak, with a weighted average rating factor
(WARF) of 4459 based on Moody's calculations.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool has having a performing par and principal proceeds
balance of $296.6 million, defaulted par of $82.8 million, a
weighted average default probability of 57.4% (implying a WARF of
4459), and a weighted average recovery rate upon default of 10.7%.
In addition to the quantitative factors Moody's explicitly models,
qualitative factors are part of rating committee considerations.
Moody's considers the structural protections in the transaction,
the risk of an event of default, recent deal performance under
current market conditions, the legal environment and specific
documentation features. All information available to rating
committees, including macroeconomic forecasts, inputs from other
Moody's analytical groups, market factors, and judgments regarding
the nature and severity of credit stress on the transactions, can
influence the final rating decision.
Methodology Underlying the Rating Action
The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs," published in October 2016.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:
1) Macroeconomic uncertainty: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in the
general economy.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's current
expectations could have a positive impact on the transaction's
performance. Conversely, asset credit performance weaker than
Moody's current expectations could have adverse consequences on the
transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and excess
interest proceeds will continue and at what pace. Note repayments
that are faster than Moody's current expectations could have a
positive impact on the notes' ratings, beginning with the notes
with the highest payment priority.
4) Exposure to non-publicly rated assets: The deal contains a large
number of securities whose default probability Moody's assesses
through credit scores derived using credit estimates. Because these
are not public ratings, they are subject to additional
uncertainties.
Loss and Cash Flow Analysis:
Moody's applied a Monte Carlo simulation framework in Moody's
CDOROM to model the loss distribution for TruPS CDOs. The simulated
defaults and recoveries for each of the Monte Carlo scenarios
defined the reference pool's loss distribution. Moody's then used
the loss distribution as an input in its CDOEdge cash flow model.
CDOROM is available on www.moodys.com under Products and Solutions
-- Analytical models, upon receipt of a signed free license
agreement.
The portfolio of this CDO contains mainly TruPS issued by REIT
companies that Moody's does not rate publicly. For REIT TruPS that
do not have public ratings, Moody's REIT group assesses their
credit quality using the REIT firms' annual financials.
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.
A summary of the impact of different default probabilities
(expressed in terms of WARF) on all of the rated notes (by the
difference in the number of notches versus the current model
output, for which a positive difference corresponds to lower
expected loss):
Assuming a two-notch upgrade to assets with below-investment grade
ratings or rating estimates (WARF of 2599)
Class A-1LA: +2
Class A-1LAD: +2
Assuming a two-notch downgrade to assets with below-investment
grade ratings or rating estimates (WARF of 5069)
Class A-1LA: -1
Class A-1LAD: -1
[*] S&P Completes Review of 8 Classes From 6 HEMC Deals
-------------------------------------------------------
S&P Global Ratings completed its review of eight classes from six
home equity conversion mortgage (HECM) reverse mortgage
transactions and two classes from two resecuritized reverse
mortgage real estate mortgage investment conduit (re-REMIC)
transactions issued between 2007 and 2010. As a result of S&P's
review, it lowered its ratings on five classes and affirmed its
ratings on five classes. Additionally, S&P removed the ratings
from CreditWatch developing, where initially S&P placed them on
Oct. 16, 2015, after S&P discovered potential errors, which were
subsequently confirmed, in the coding or documentation of the
models used to estimate collateral cash flows for these
transactions. S&P has since developed a new Reverse Mortgage
Analyzer model that it applied in this review and that S&P will use
to perform its reviews of HECM transactions going forward.
The collateral backing these transactions consists primarily of
HECM reverse mortgage loans that are secured by first mortgages,
deeds of trust, or other similar security instruments creating
first liens on one- to four-family residential properties.
The lowered ratings reflect the application of S&P's updated market
value assumptions and S&P's view of the effect of deteriorated
collateral performance on the available credit enhancement to each
class. During the development of S&P's new Reverse Mortgage
Analyzer model, it updated its forecast for market value
assumptions so as to no longer assume positive appreciation of home
values over time, which aligns the market value assumptions applied
in S&P's surveillance of HECM reverse-mortgage transactions with
those presently applied in S&P's surveillance of more traditional
residential mortgage-backed securities transactions. Consistent
with "Methodology For Surveilling U.S. RMBS Reverse Mortgage
Transactions," published Aug. 25, 2010, (reverse mortgage
surveillance criteria), S&P applied its updated market value
assumptions in performing its cash flow analyses for the relevant
transactions. This generated higher expected loss levels
that--combined with the deteriorated collateral performance--led to
the downgrades.
The affirmations reflect S&P's opinion that the projected credit
support on these classes remains sufficient to cover its projected
losses at the current rating.
For all of the affirmed ratings, except on class A from Mortgage
Equity Conversion Asset Trust 2010-1, each class has one or more of
these characteristics that limit any potential upgrade at this
time:
-- Volatile or diminishing credit enhancement available,
-- Negative trends in loan status, or
-- Recent negative transaction performance.
Accordingly, S&P's affirmations of its ratings on these classes
incorporate its view of these characteristics.
S&P's analysis contemplated both fast and slow constant prepayment
rate (CPR) assumptions and further segmented those assumptions by
both gender and age of the borrower. The reverse mortgage
surveillance criteria also state that if the observed CPRs are
considerably different from S&P's original assumptions set forth in
those criteria, S&P may use updated CPR vectors.
"The fast CPR assumptions we applied in this review are consistent
with those outlined in the reverse mortgage surveillance criteria.
When analyzing the slow CPRs for this review, we used assumptions
that reflect the most updated mortality tables provided by the
Society of Actuaries (RP-2014 mortality table – 'Total Dataset -
Healthy Annuitant' Male and Female by Age) as well as our view on
observed CPRs, which are currently slower than what is published in
our reverse mortgage surveillance criteria. We used the mortality
tables to determine our slow assumption in a 'AAA' scenario and
used the 'AA' data published in our reverse mortgage surveillance
criteria to reflect our base-case assumption, given that the 'AA'
slow curve is comparable to the current observed CPRs. We then
linearly interpolated the CPRs for the 'BB (sf)' through 'AA (sf)'
rating categories," S&P said.
"Our reverse mortgage surveillance criteria do not specify that we
apply a specific interest rate path when surveilling reverse
mortgage transactions. Our criteria, "Methodology And Assumptions:
U.S. RMBS Surveillance Credit And Cash Flow Analysis For Pre-2009
Originations," published March 2, 2016, (traditional RMBS
surveillance criteria), specify the use of three different interest
rate paths: the "middle" path (forward rate curve), a "low" path in
which interest rate patterns are simulated so that rates fall and
then rise, and a "high" path in which rates rise and then fall.
The "low" and "high" path projections are specific to each rating
category. These interest rate paths are intended to stress the
differences between the interest rates on the loan collateral and
the interest rates on the rated securities, which could potentially
reduce the credit enhancement provided by excess interest.
Consistent with our traditional RMBS surveillance criteria, we
apply the three-path approach described above when surveilling
reverse mortgage transactions," S&P said.
As outlined in S&P's reverse mortgage surveillance criteria, HECM
reverse mortgage transactions are insured by the Federal Housing
Administration (FHA) through Housing and Urban Development (HUD).
HUD covers losses on these loans up to a limit. Potential losses
on HECM reverse mortgage transactions can come from various
sources, including the fact that FHA/HUD is obligated to pay only
two-thirds of foreclosure legal expenses, with the applicable
securities trust owing the balance. This reference to foreclosure
legal expenses in the reverse mortgage surveillance criteria,
however, should be expanded to also include title and preservation
expenses (as outlined in Appendix Table 1 of the reverse mortgage
surveillance criteria).
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 4.9 % in 2016, dipping to
4.6% in 2017;
-- Real GDP growth of 1.6 % for 2016 and 2.4% in 2017;
-- The inflation rate will be 2.2% in both 2016 and 2017; and
-- The 30-year fixed mortgage rate will average about 3.6 % in
2016, rising to 4.1% in 2017.
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:
-- The unemployment rate will remain at 4.9% for 2016 and inch
up to 5.0% in 2017;
-- Downward pressure causes GDP growth to fall to 1.5 % in 2016
and to 1.4% in 2017;
-- Home price momentum slows as potential buyers are not able
to purchase property; and
-- While the 30-year fixed mortgage rate remains a low 3.6% in
2016 and 2017, limited access to credit and pressure on home
prices will largely prevent consumers from capitalizing on
these rates.
RATINGS LOWERED AND REMOVED FROM CREDITWATCH DEVELOPING
Riverview HECM Trust 2007-1
Rating
Class CUSIP To From
A notes 769422AA4 CCC (sf) A- (sf)/Watch Developing
Riverview Mortgage Loan Trust 2007-2
Rating
Class CUSIP To From
A-2 notes 769423AB0 BB (sf) A- (sf)/Watch Developing
Riverview Mortgage Loan Trust 2007-3
Rating
Class CUSIP To From
A-1 notes 769476AA0 CCC (sf) A- (sf)/Watch Developing
FR notes 769476AE2 CCC (sf) A- (sf)/Watch Developing
Riverview HECM Pass-Through Certificates Series 2007-4
Rating
Class CUSIP To From
A 76942LAA2 CCC (sf) A- (sf)/Watch Developing
RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH DEVELOPING
Mortgage Equity Conversion Asset Trust 2007-FF2
Rating
Class CUSIP To From
A 61911CAA1 AA+ (sf) AA+ (sf)/Watch Developing
Mortgage Equity Conversion Asset Trust 2010-1
Rating
Class CUSIP To From
A 61911BAA3 CCC (sf) CCC (sf)/Watch Developing
Reverse Mortgage Loan Trust Series REV 2007-2
Rating
Class CUSIP To From
A 76150TAA2 B- (sf) B- (sf)/Watch Developing
Riverview Mortgage Loan Trust 2007-2
Rating
Class CUSIP To From
A-1 769423AA2 AA+ (sf) AA+ (sf)/Watch Developing
Riverview HECM Pass-Through Certificates Series 2008-1
Rating
Class CUSIP To From
A-5 76942RAF8 AA+ (sf) AA+ (sf)/Watch Developing
[] Moody's Upgrades $582MM of Subprime RMBS Issued 2002-2007
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 28 tranches
from 13 transactions backed by Subprime RMBS loans.
Complete rating actions are as follows:
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2006-ASAP3
Cl. A-1, Upgraded to Ba2 (sf); previously on Feb 9, 2016 Upgraded
to Caa1 (sf)
Cl. A-2C, Upgraded to Ba1 (sf); previously on Feb 9, 2016 Upgraded
to B3 (sf)
Cl. A-2D, Upgraded to Ba2 (sf); previously on Feb 9, 2016 Upgraded
to Caa2 (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2006-HE2
Cl. A-1, Upgraded to Ba3 (sf); previously on Feb 9, 2016 Upgraded
to Caa1 (sf)
Cl. A-2C, Upgraded to B3 (sf); previously on Apr 14, 2010
Downgraded to Caa2 (sf)
Cl. A-2D, Upgraded to Caa1 (sf); previously on Apr 14, 2010
Downgraded to Ca (sf)
Issuer: Chase Funding Loan Acquisition Trust 2004-OPT1
Cl. M-2, Upgraded to B1 (sf); previously on Apr 29, 2014 Downgraded
to B2 (sf)
Cl. M-3, Upgraded to Ca (sf); previously on Oct 21, 2013 Downgraded
to C (sf)
Issuer: Credit Suisse First Boston Mortgage Securities Corp. Series
2004-6
Cl. M-2, Upgraded to Baa3 (sf); previously on Jun 9, 2014 Upgraded
to Ba3 (sf)
Cl. M-3, Upgraded to Baa3 (sf); previously on Feb 10, 2016 Upgraded
to B3 (sf)
Cl. M-4, Upgraded to Ba2 (sf); previously on Jun 9, 2014 Upgraded
to Caa2 (sf)
Cl. M-5, Upgraded to Caa3 (sf); previously on Mar 15, 2011
Downgraded to C (sf)
Issuer: First Franklin Mortgage Loan Trust 2002-FF1
Cl. M-1, Upgraded to Caa1 (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Cl. I-A-2, Upgraded to Ba1 (sf); previously on Feb 10, 2016
Upgraded to Ba3 (sf)
Issuer: First Franklin Mortgage Loan Trust 2002-FF4
Cl. I-A2, Upgraded to B1 (sf); previously on Feb 10, 2016 Upgraded
to Caa1 (sf)
Cl. II-A2, Upgraded to B1 (sf); previously on Feb 10, 2016 Upgraded
to Caa1 (sf)
Issuer: OwnIt Mortgage Loan Trust 2005-1
Cl. M-2, Upgraded to Ba1 (sf); previously on Feb 9, 2016 Upgraded
to B1 (sf)
Issuer: RAMP Series 2003-RS1 Trust
Cl. A-I-5, Upgraded to B2 (sf); previously on Mar 30, 2011
Downgraded to Caa1 (sf)
Cl. A-I-6, Upgraded to Ba2 (sf); previously on Feb 10, 2016
Upgraded to B1 (sf)
Issuer: RAMP Series 2004-RS4 Trust
Cl. A-I-5, Upgraded to Baa1 (sf); previously on Feb 10, 2016
Upgraded to Ba2 (sf)
Cl. A-I-6, Upgraded to A3 (sf); previously on Feb 10, 2016 Upgraded
to Ba1 (sf)
Cl. M-II-1, Upgraded to Baa1 (sf); previously on Apr 30, 2012
Downgraded to B1 (sf)
Issuer: RAMP Series 2006-NC2 Trust
Cl. A-2, Upgraded to Aa3 (sf); previously on Feb 9, 2016 Upgraded
to Baa1 (sf)
Cl. A-3, Upgraded to A2 (sf); previously on Feb 9, 2016 Upgraded to
Ba1 (sf)
Cl. M-1, Upgraded to B1 (sf); previously on Feb 9, 2016 Upgraded to
Caa2 (sf)
Issuer: RASC Series 2004-KS11 Trust
Cl. M-1, Upgraded to Baa1 (sf); previously on Feb 10, 2016 Upgraded
to Ba2 (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2007-BR1
Cl. A-1, Upgraded to Ba3 (sf); previously on Feb 9, 2016 Upgraded
to Caa1 (sf)
Issuer: Structured Asset Investment Loan Trust 2006-4
Cl. A4, Upgraded to Ba3 (sf); previously on Feb 9, 2016 Upgraded to
Caa2 (sf)
RATINGS RATIONALE
The ratings upgraded are primarily due to the total credit
enhancement available to the bonds. 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. Please see
the Rating Methodologies page on www.moodys.com for a copy of this
methodology.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.6% in November 2016 from 5.0% in
November 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.
*********
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.
TCR subscribers have free access to our on-line news archive.
Point your Web browser to http://TCRresources.bankrupt.com/and use
the e-mail address to which your TCR is delivered to login.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman,
Editors.
Copyright 2017. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The TCR subscription rate is $975 for 6 months delivered via
e-mail. Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each. For subscription information, contact Peter A.
Chapman at 215-945-7000 or Nina Novak at 202-362-8552.
*** End of Transmission ***