/raid1/www/Hosts/bankrupt/TCR_Public/170122.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 22, 2017, Vol. 21, No. 21
Headlines
ACAS CLO 2012-1: S&P Raises Rating on Class E Notes to 'BB+'
ACCESS GROUP 2004-2: Fitch Cuts Rating on Cl. A & B Notes to 'CCC'
ASSET SECURITIZATION 1997-D5: Fitch Affirms D Rating on B-2 Debt
BEAR STEARNS 2002-TOP6: Moody's Hikes Cl. J Certs Rating to Ba1
BENEFIT STREET III: S&P Affirms 'BB' Rating on Class D Notes
CARLYLE DAYTONA: Moody's Hikes Cl. B-2L Notes Rating From Ba1
CD 2005-CD1: Moody's Hikes Class E Certs Rating to Ba1
CITIGROUP COMMERCIAL 2006-C5: Fitch Affirms D Rating on 11 Certs.
CLAREGOLD TRUST 2007-2: Moody's Hikes Ratings in 7 Tranches
COMM 2015-DC1: Fitch Affirms 'BB-' Rating on Class E Certificates
COMM 2016-CCRE28: Fitch Affirms 'B-' Rating on Class G Certs
COMM MORTGAGE 2015-LC19: Fitch Affirms 'B-' Rating on Cl. F Certs
EXETER AUTOMOBILE 2015-3: S&P Affirms 'BB' Rating on Class D Notes
FANNIE MAE 2017-C01: Fitch to Rate Class 1M-2B Notes 'BB-'
H/2 ASSET 2014-1: Moody's Affirms Ba3 Rating on Class C Notes
JP MORGAN 2004-LN2: Moody's Lowers Ratings on 4 Tranches
JP MORGAN 2007-CIBC20: Fitch Affirms 'D' Rating on 6 Tranches
LB-UBS COMMERCIAL 2004-C1: Moody's Lowers Ratings on 7 Tranches
LB-UBS COMMERCIAL 2004-C4: Moody's Affirms Ratings on 3 Tranches
LB-UBS COMMERCIAL 2006-C7: Fitch Withdraws D Rating on 16 Tranches
LIGHTPOINT VII: Moody's Affrims Ba3 Rating on Class D Notes
LIMEROCK CLO II: S&P Assigns Prelim. BB Rating on Class E Notes
LONGFELLOW PLACE: S&P Affirms 'BB' Rating on Class E Notes
MERRILL LYNCH 1997-C2: Fitch Affirms 'D' Rating on 2 Tranches
MERRILL LYNCH 2005-LC1: Moody's Affirms C Ratings on 3 Tranches
ML-CFC COMMERCIAL 2007-5: Fitch Lowers Rating on 2 Tranches to 'C'
MORGAN STANLEY 2004-TOP13: Moody's Hikes Class L Debt to Ba3
MORGAN STANLEY 2014-C14: Fitch Affirms 'B-' Rating on Cl. G Certs
MORGAN STANLEY 2015-C21: Fitch Affirms 'B-' Rating on Cl. F Certs
RACE POINT VI: S&P Affirms 'BB' Rating on Class E Notes
TRADEWYND RE 2014-1: Fitch Affirms 'B' Rating on Cl. 3-B Notes
VOYA CLO V: Moody's Hikes Class C Notes Rating From Ba2(sf)
WACHOVIA BANK 2005-C21: Fitch Affirms 'C' Rating on 2 Tranches
WACHOVIA BANK 2007-C30: Moody's Cuts Ratings on 2 Tranches to B3
WACHOVIA BANK 2007-C31: Moody's Hikes Cl. A-J Debt Rating to Ba1
WFRBS COMMERCIAL 2014-C19: Fitch Affirms B- Rating on Cl. F Certs
[*] S&P Completes Review on 36 Classes From 10 RMBS Deals
[] Moody's Hikes $398MM of Subprime RMBS Issued 2002-2006
[] Moody's Hikes $67MM of Prime Jumbo RMBS Issued 2005-2006
[] Moody's Hikes Ratings of $112MM Subprime RMBS Issued 2002-2004
[] Moody's Upgrades $516.6MM of Subprime RMBS
[] Moody's Upgrades $632.2MM of Alt-A and Option ARMS RMBS
*********
ACAS CLO 2012-1: S&P Raises Rating on Class E Notes to 'BB+'
------------------------------------------------------------
S&P Global Ratings raised its ratings on the class B-R, C-R, D-R,
and E notes from ACAS CLO 2012-1 Ltd. S&P also removed these
ratings from CreditWatch, where it placed them with positive
implications on Oct. 27, 2016. At the same time, S&P affirmed its
'AAA (sf)' rating on the class A-1-R notes from the same
transaction.
The rating actions follow S&P's review of the transaction's
performance using data from the Dec. 6, 2016, trustee report.
The upgrades reflect the transaction's $122 million in paydowns to
the class A-1-R notes since S&P's September 2014 rating actions.
These paydowns resulted in improved overcollateralization (O/C)
ratios since the July 2014 trustee report, which S&P used for its
previous rating actions:
-- The class A/B O/C ratio improved to 154.10% from 131.80%.
-- The class C O/C ratio improved to 135.77% from 122.82%.
-- The class D O/C ratio improved to 123.02% from 115.93%.
-- The class E O/C ratio improved to 112.74% from 109.94%.
The collateral portfolio's credit quality has slightly deteriorated
since S&P's last rating actions. Collateral obligations with
ratings in the 'CCC' category have increased, with $14.6 million
reported as of the December 2016 trustee report, compared with $4.5
million reported as of the July 2014 trustee report. Over the same
period, the par amount of defaulted collateral has increased to
$2.5 million from zero. However, despite the slightly larger
concentrations in the 'CCC' category and defaulted collateral, the
transaction has benefited from a drop in the weighted average life
due to the underlying collateral's seasoning, with 3.44 years
reported as of the December 2016 trustee report, compared with 5.13
years reported at the time of S&P's last rating actions.
Although S&P's cash flow analysis indicated higher ratings for the
class D-R and E notes, its rating actions considers the increase in
'CCC' rated obligations and defaulted collateral and subsequent
loss in par. In addition, the ratings reflect additional
sensitivity runs that considered the exposure to specific
distressed assets.
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, our 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.
RATINGS RAISED AND REMOVED FROM CREDITWATCH POSITIVE
ACAS CLO 2012-1 Ltd.
Rating
Class To From
B-R AAA (sf) AA (sf)/Watch Pos
C-R AA+ (sf) A (sf)/Watch Pos
D-R A+ (sf) BBB (sf)/Watch Pos
E BB+ (sf) BB– (sf)/Watch Pos
RATINGS AFFIRMED
ACAS CLO 2012-1 Ltd.
Class Rating
A-1-R AAA (sf)
ACCESS GROUP 2004-2: Fitch Cuts Rating on Cl. A & B Notes to 'CCC'
------------------------------------------------------------------
Fitch Ratings has downgraded the class A and B notes of the Access
Group, Inc. 2004-2 Indenture of Trust to 'CCCsf' from 'AAAsf' and
'B-sf', respectively. The notes have been removed from Rating
Watch Negative and Recovery Estimates (REs) of 100% and 95% are
assigned to class A and class B, respectively.
Class A-3 is expected to mature on Oct. 25, 2024; however, Fitch
does not expect the note to meet its legal final maturity unless
issuer action is taken, as was done prior to the maturity of class
A-2 in January 2016, where excess cash was injected to pay down the
note. Excess cash is currently being released, as the cash release
parity of 101% is met and the structure does not provide for the
suspension of excess cash release at the tail end. Under Fitch's
credit stress, only the class A-4 notes are paid in full on or
prior to their legal final maturity date. All class A notes miss
their legal final maturity date under the maturity stress. This
technical default would result in interest payments being diverted
away from class B, which would cause that note to default as well.
Fitch has considered qualitative factors such as the long time
horizon until the maturity dates, and the eventual full payment of
principal in modeling. Fitch calculates REs for distressed
structured finance securities of 'CCCsf' or lower. REs reflect
remaining recoveries expected to be received by the security and
applied as principal proceeds from the point that the RE is
calculated until legal final maturity.
KEY RATING DRIVERS
U.S. Sovereign Risk: The trust collateral consists of 100% Federal
Family Education Loan Program (FFELP) loans. The credit quality of
the trust is high, in Fitch's opinion, based on the guarantees
provided by the transaction's eligible guarantors and reinsurance
provided by the U.S. Department of Education (ED) for at least 97%
of principal and accrued interest. The Stable Outlook on the notes
is consistent with Fitch's affirmation of the U.S. sovereign rating
at 'AAA'/Outlook Stable.
Collateral Performance: Fitch assumes a base case default rate of
approximately 13.5% and a 40.5% default rate under the 'AAA' credit
stress scenario. The claim reject rate is assumed to be 0.25% for
the base case and 2.0% for the 'AAAsf' case. Fitch applies the
standard default timing curve in its credit stress cash flow
analysis. Trailing 12-month (TTM) average constant default rate,
utilized in the maturity stresses, is 1.57%. TTM levels of
deferment, forbearance, and constant prepayment rate (voluntary and
involuntary) are approximately 2.4%, 3.0% and 5.5%, respectively,
and are used as the starting point in cash flow modeling.
Subsequent declines or increases are modeled as per criteria.
Basis and Interest Rate Risk: Fitch applies its standard basis and
interest rate stresses to this transaction as per criteria.
Payment Structure: Credit enhancement is provided by
overcollateralization and excess spread. In addition, the class A
notes benefits from subordination from the class B notes. As of
October 2016 distribution, senior parity is approximately 123.07%
and total parity is 112.14%. However, cash is being released as
current parity exceeds the release level of 101%. There is no
trigger to turn off the cash release at the tail end of the
transaction. Liquidity support for the notes is provided by a
capitalized interest account currently sized at the floor of
$1,151,208.
Maturity Risk: Under Fitch's credit stress only the class A-4 notes
are paid in full on or prior to their legal final maturity date.
All class A notes miss their legal final maturity date under the
maturity stress. This technical default would result in interest
payments being diverted away from class B, which would cause that
note to default as well.
Operational Capabilities: Day-to-day servicing is provided by Xerox
Education Services LLC which Fitch considers to be an acceptable
servicer of FFELP student loans due to its low net claim rejects
rate and long servicing history.
Criteria Variations
Under the 'Counterparty Criteria for Structured Finance and Covered
Bonds', dated July 18, 2016, Fitch looks to its own ratings in
analyzing counterparty risk and assessing a counterparty's
creditworthiness. The definition of eligible investments for this
deal does not include Fitch's rating for debt instruments with a
term of one year or less. This represents a criteria variation.
Fitch does not believe such variation has a measurable impact upon
the ratings assigned.
RATING SENSITIVITIES
'AAAsf' rated tranches of most FFELP securitizations will likely
move in tandem with the U.S. sovereign rating, given the strong
linkage to the U.S. sovereign by nature of the reinsurance and SAP
provided by ED. Sovereign risks are not addressed in Fitch's
sensitivity analysis.
Fitch conducted a CE sensitivity analysis by stressing both the
related lifetime default rate and basis spread assumptions. In
addition, Fitch conducted a maturity sensitivity analysis by
running different assumptions for the IBR usage and prepayment
rate. The results below should only be considered as one potential
model implied outcome as the transaction is exposed to multiple
risk factors that are all dynamic variables.
Credit Stress Rating Sensitivity
-- Default increase 25%: class A 'CCCsf'; class B 'CCCsf'
-- Default increase 50%: class A 'CCCsf'; class B 'CCCsf'
-- Basis Spread increase 0.25%: class A 'CCCsf'; class B
'CCCsf'
-- Basis Spread increase 0.50%: class A 'CCCsf'; class B
'CCCsf'
Maturity Stress Rating Sensitivity
-- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'
-- CPR increase 100%: class A 'CCCsf'; class B 'CCCsf'
-- IBR Usage increase 100%: class A 'CCCsf'; class B 'CCCsf'
-- IBR Usage decrease 50%: class A 'CCCsf'; class B 'CCCsf'
It is important to note that the stresses are intended to provide
an indication of the rating sensitivity of the notes to unexpected
deterioration in trust performance. Rating sensitivity should not
be used as an indicator of future rating performance.
Fitch takes these rating actions:
-- Class A-3 notes downgraded to 'CCCsf' at 'AAAsf'; RE 100%
-- Class A-4 notes downgraded to 'CCCsf' at 'AAAsf'; RE 100%
-- Class A-5 notes downgraded to 'CCCsf' at 'AAAsf'; RE 100%
-- Class B notes downgraded to 'CCCsf' from 'B-sf': RE 95%
ASSET SECURITIZATION 1997-D5: Fitch Affirms D Rating on B-2 Debt
----------------------------------------------------------------
Fitch Ratings has affirmed two classes of Asset Securitization
Corporation's (ASC) commercial mortgage pass-through certificates
series 1997-D5.
KEY RATING DRIVERS
The affirmation of class B-1 is due to the class being fully
covered by defeasance. The pool is highly concentrated with 14
loans remaining, eight of which are defeased (78.1% of pool) and
five (19.8%) are fully amortizing. Seven of the defeased loans
(63.3%) are scheduled to mature in 2017 and one (14.8%) in 2020.
None of the loans are in special servicing.
As of the December 2016 distribution date, the pool's aggregate
principal balance has been reduced by 99.2% to $14.9 million from
$1.79 billion at issuance.
RATING SENSITIVITIES
The Rating Outlook for class B-1 remains Stable as the class is
covered by defeased collateral. Class B-2 will remain at 'Dsf' due
to incurred losses.
Fitch has affirmed these ratings:
-- $7.8 million class B-1 at 'AAAsf'; Outlook Stable;
-- $7.1 million class B-2 at 'Dsf'; RE 100%.
Fitch does not rate classes B-7, B-7H and A-8Z. Classes A-1A,
A-1B, A-1C, A-1D, A-1E, A-2, A-3, A-4, A-5, A-6, A-7, B-3SC and
A-CS1 have paid in full. Fitch has previously withdrawn the
ratings on classes B-3, B-4, B-5, B-6 and PS-1.
BEAR STEARNS 2002-TOP6: Moody's Hikes Cl. J Certs Rating to Ba1
---------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class,
affirmed the rating on one class and downgraded the rating on one
class in Bear Stearns Commercial Mortgage Securities Trust
2002-TOP6, Commercial Mortgage Pass-Through Certificates, Series
2002-TOP6 as follows:
Cl. J, Upgraded to Ba1 (sf); previously on May 19, 2016 Affirmed
Ba3 (sf)
Cl. K, Affirmed Caa3 (sf); previously on May 19, 2016 Affirmed Caa3
(sf)
Cl. X-1, Downgraded to Caa3 (sf); previously on May 19, 2016
Downgraded to Caa2 (sf)
RATINGS RATIONALE
The rating on Class J was upgraded based primarily on an increase
in credit support resulting from loan paydowns and amortization.
The deal has paid down 55% since Moody's last review.
The rating on Class K was affirmed because the rating is consistent
with Moody's expected loss. Class K has already experienced a 13%
realized loss as a result of previously liquidated loans.
The rating on the IO Class, Class X-1, was downgraded due to the
decline in the credit performance of its reference classes
resulting from principal paydowns of higher quality reference
classes.
Moody's does not anticipate losses from the remaining collateral in
the current environment. However, over the remaining life of the
transaction, losses may emerge from macro stresses to the
environment and changes in collateral performance. Moody's base
expected loss plus realized losses is now 1.8% of the original
pooled balance, the same as at the last review. Moody's ratings
reflect the potential for future losses under varying levels of
stress. Moody's provides a current list of base expected losses for
conduit and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in October 2015. Please see the Rating
Methodologies page on www.moodys.com for a copy of this
methodology.
DESCRIPTION OF MODELS USED
Moody's analysis used the excel-based Large Loan Model. The large
loan model derives credit enhancement levels based on an
aggregation of adjusted loan-level proceeds derived from Moody's
loan-level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure and property type. Moody's also
further adjusts these aggregated proceeds for any pooling benefits
associated with loan level diversity and other concentrations and
correlations.
DEAL PERFORMANCE
As of the December 15, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $9.2 million
from $1.12 billion at securitization. The certificates are
collateralized by 10 mortgage loans ranging in size from less than
1% to 21% of the pool. Four loans, constituting 48% of the pool,
have defeased and are secured by US government securities.
Three loans, constituting 19% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Nine loans have been liquidated from the pool, resulting in an
aggregate realized loss of $20.3 million (for an average loss
severity of 38%).
As of the December 15, 2016 remittance statement, monthly interest
shortfalls were $24,441 and Class K did not receive any interest
distribution. Moody's anticipates interest shortfalls will continue
due to extraordinary trust expenses. Interest shortfalls are caused
by special servicing fees, including workout and liquidation fees,
appraisal entitlement reductions (ASERs), loan modifications and
extraordinary trust expenses.
Moody's received full year 2015 operating results for 100% of the
pool and partial year 2016 operating results for 83% of the pool.
Moody's weighted average conduit LTV is 33%, the same as at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 13% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 10%.
Moody's actual and stressed conduit DSCRs are 1.29X and 5.34X,
respectively, compared to 1.49X and 5.66X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 47% of the pool balance. The
largest loan is the McKee Commercial Center Loan ($1.9 million --
20.7% of the pool), which is secured by a 23,000 square foot (SF)
retail center built in 2001 and located in Santa Clara, California.
The property is anchored by Walgreens. As of December 2015, the
property was 100% leased, the same as at last review. Performance
has been stable. The loan is fully amortizing and has amortized 58%
since securitization. Moody's LTV and stressed DSCR are 33% and
3.25X, respectively, compared to 36% and 2.99X at the last review.
The second largest loan is the Sylvan Square Shopping Center Loan
($1.7 million -- 18.0% of the pool), which is secured by a 80,000
SF shopping center located in Modesto, California, approximately 85
miles east of San Jose, California. As of December 2015, the
property was 66% leased, compared to 62% leased at the last review.
Although performance has declined due to overall high vacancy, the
loan is fully amortizing and has benefited from 58% amortization
since securitization. The loan is on the servicer's watchlist due
to low occupancy. Moody's LTV and stressed DSCR are 37% and 2.94X,
respectively, compared to 40% and 2.70X at the last review.
The third largest loan is the Walgreen's -- Wichita Loan ($787,117
-- 8.5% of the pool), which is secured by a 15,000 SF retail
property located in Sedgwick, Kansas, fully occupied by Walgreens
with the lease expiration in May 2021. Performance has been stable.
The loan is fully amortizing and has benefited from 58%
amortization since securitization. Moody's LTV and stressed DSCR
are 32% and 3.40X, respectively, compared to 34% and 3.15X at the
last review.
BENEFIT STREET III: S&P Affirms 'BB' Rating on Class D Notes
------------------------------------------------------------
S&P Global Ratings affirmed its ratings on the class A-1a, A-1b,
A-2, B, C, and D notes from Benefit Street Partners CLO III Ltd., a
U.S. collateralized loan obligation (CLO) that closed in December
2013 and is managed by Benefit Street Partners LLC.
The rating actions follow S&P's review of the transaction's
performance, using data from the Dec. 8, 2016, trustee report. The
transaction is scheduled to remain in its reinvestment period until
January 2018, and S&P anticipates that the manager will continue to
reinvest principal proceeds in line with the transaction
documents.
Since the transaction's March 2014 effective date, the collateral
portfolio's weighted average life has decreased to 4.54 years from
5.85 years, which positively affected the pool's creditworthiness.
In addition, the number of obligors in the portfolio increased
during this period, which contributed to the portfolio's
diversification. Although the portfolio witnessed some credit
deterioration during the same period--'CCC' rated and defaulted
assets increased to $19.25 million and $8.81 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 defaulted
obligations has resulted in a drop in the O/C ratios since the
March 2014 trustee report:
-- The class A O/C test decreased to 132.30% from 133.28%.
-- The class B O/C test decreased to 120.93% from 121.82%.
-- The class C O/C test decreased to 112.95% from 113.78%.
-- The class D O/C test decreased to 107.33% from 108.13%.
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's cash flow analysis pointed to higher
ratings for the class A-2, 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.
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 S&P will take further rating actions
as it deems necessary.
RATINGS AFFIRMED
Benefit Street Partners CLO III Ltd.
Class Rating
A-1a AAA (sf)
A-1b AAA (sf)
A-2 AA (sf)
B A (sf)
C BBB (sf)
D BB (sf)
CARLYLE DAYTONA: Moody's Hikes Cl. B-2L Notes Rating From Ba1
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Carlyle Daytona CLO, Ltd.:
U.S.$20,000,000 Class B-1L Floating Rate Notes Due April 2021,
Upgraded to Aaa (sf); previously on September 16, 2016 Upgraded to
Aa3 (sf)
U.S.$21,000,000 Class B-2L Floating Rate Notes Due April 2021
(current outstanding balance of $19,692,754), Upgraded to Baa1
(sf); previously on September 16, 2016 Affirmed Ba1 (sf)
Moody's also affirmed the ratings on the following notes:
U.S.$358,000,000 Class A-1L Floating Rate Notes Due April 2021
(current outstanding balance of $20,394,297), Affirmed Aaa (sf);
previously on September 16, 2016 Affirmed Aaa (sf)
Up To U.S.$50,000,000 Class A-1LV Floating Rate Revolving Notes Due
April 2021 (current outstanding balance of $2,848,366), Affirmed
Aaa (sf); previously on September 16, 2016 Affirmed Aaa (sf)
U.S.$33,000,000 Class A-2L Floating Rate Notes Due April 2021,
Affirmed Aaa (sf); previously on September 16, 2016 Affirmed Aaa
(sf)
U.S.$33,000,000 Class A-3L Floating Rate Notes Due April 2021,
Affirmed Aaa (sf); previously on September 16, 2016 Affirmed Aaa
(sf)
Carlyle Daytona CLO, Ltd., issued in February 2007, is a
collateralized loan obligation (CLO) backed primarily by a
portfolio of senior secured loans. The transaction's reinvestment
period ended in April 2013.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since September 2016. The Class
A-1 notes have been paid down by approximately 55.5% or $29.0
million since that time. Based on the trustee's December 2016
report, the OC ratios for the Class A-1, Class A-2L, Class A-3L,
Class B-1L and Class B-2L notes are reported at 658.43%, 272.10%,
171.49%, 140.09% and 118.06%, respectively, versus September 2016
levels of 342.21%, 209.72%, 151.18%, 129.31% and 113.18%,
respectively. Moody's notes that as of the December 2016 report,
the transaction holds approximately $38.7 million of principal
proceeds which are expected to be paid to the notes on the January
2017 payment date.
Nevertheless, the credit quality of the portfolio has deteriorated
since September 2016. Based on Moody's calculation, the weighted
average rating factor is currently 3076 compared to 2791 at that
time.
The portfolio includes a number of investments in securities that
mature after the notes do. Based on the trustee's December 2016
report, securities that mature after the notes do currently make up
approximately 5.3% or $5.7 million of the portfolio. These
investments could expose the notes to market risk in the event of
liquidation when the notes mature.
Methodology Used for the Rating Action
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
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.
6) Long-dated assets: The presence of assets that mature after the
CLO's legal maturity date exposes the deal to liquidation risk on
those assets. This risk is borne first by investors with the lowest
priority in the capital structure. Moody's assumes that the
terminal value of an asset upon liquidation at maturity will be
equal to the lower of an assumed liquidation value (depending on
the extent to which the asset's maturity lags that of the
liabilities) or the asset's current market value. However, actual
long-dated asset exposures and prevailing market prices and
conditions at the CLO's maturity will drive the deal's actual
losses, if any, from long-dated assets.
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 Caa1 or lower, especially if they jump to
default.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Moody's Adjusted WARF - 20% (2461)
Class A-1L: 0
Class A-1LV: 0
Class A-2L: 0
Class A-3L: 0
Class B-1L: 0
Class B-2L: +2
Moody's Adjusted WARF + 20% (3691)
Class A-1L: 0
Class A-1LV: 0
Class A-2L: 0
Class A-3L: 0
Class B-1L: -1
Class B-2L: -2
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analyzed the collateral pool as having a performing par and
principal proceeds balance of $146.2 million, defaulted par of $7.4
million, a weighted average default probability of 18.08% (implying
a WARF of 3076), a weighted average recovery rate upon default of
51.15%, a diversity score of 23 and a weighted average spread of
3.18% (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. Moody's generally applies recovery
rates for CLO securities as published in "Moody's Approach to
Rating SF CDOs". In some cases, alternative recovery assumptions
may be considered based on the specifics of the analysis of the CLO
transaction. In each case, historical and market performance and
the collateral manager's latitude for trading the collateral are
also factors.
CD 2005-CD1: Moody's Hikes Class E Certs Rating to Ba1
------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two classes,
affirmed the ratings on three classes and downgraded the ratings on
two classes in CD 2005-CD1 Commercial Mortgage Trust, Commercial
Mortgage Pass-Through Certificates, Series 2005-CD1 as follows:
Cl. D, Upgraded to Baa1 (sf); previously on Feb 26, 2016 Affirmed
Baa2 (sf)
Cl. E, Upgraded to Ba1 (sf); previously on Feb 26, 2016 Affirmed
Ba2 (sf)
Cl. F, Affirmed B3 (sf); previously on Feb 26, 2016 Affirmed B3
(sf)
Cl. G, Downgraded to Caa3 (sf); previously on Feb 26, 2016 Affirmed
Caa2 (sf)
Cl. H, Affirmed C (sf); previously on Feb 26, 2016 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Feb 26, 2016 Affirmed C (sf)
Cl. X, Downgraded to C (sf); previously on Feb 26, 2016 Downgraded
to Ca (sf)
RATINGS RATIONALE
The ratings on Classes D and E were upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 9% since Moody's last review.
The rating on Classes F, H and J were affirmed because the ratings
are consistent with Moody's expected loss.
The rating on Class G was downgraded due to higher anticipated
losses from specially serviced loans.
The rating on the IO class, Class X, was downgraded to C (sf)
because the class does not, nor is it expected to receive interest
payments.
Moody's rating action reflects a base expected loss of 40.4% of the
current balance, compared to 30.1% at Moody's last review. Moody's
base expected loss plus realized losses is now 6.1% of the original
pooled balance, compared to 5.7% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO A UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodologies used in these ratings were "Approach to
Rating US and Canadian Conduit/Fusion CMBS" published in December
2014, and "Moody's Approach to Rating Large Loan and Single
Asset/Single Borrower CMBS" published in October 2015.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based CMBS Conduit Model, which it
uses for both conduit and fusion transactions. Credit enhancement
levels for conduit loans are driven by property type, Moody's
actual and stressed DSCR, and Moody's property quality grade (which
reflects the capitalization rate Moody's uses to estimate Moody's
value). Moody's fuses the conduit results with the results of its
analysis of investment grade structured credit assessed loans and
any conduit loan that represents 10% or greater of the current pool
balance.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of nine, compared to a Herf of ten at Moody's last
review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model and then reconciles and weights the results from the
conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure and property
type. Moody's also further adjusts these aggregated proceeds for
any pooling benefits associated with loan level diversity and other
concentrations and correlations.
DEAL PERFORMANCE
As of the December 16, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 95% to $206 million
from $3.88 billion at securitization. The certificates are
collateralized by 18 mortgage loans ranging in size from less than
1% to 27% of the pool. One loan, constituting 1% of the pool, has
defeased and is secured by US government securities.
Two loans, constituting 30% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Thirty-five loans have been liquidated from the pool with a loss,
resulting in an aggregate realized loss to the certificates of $154
million (for an average loss severity of 31%). Eleven loans,
constituting 51% of the pool, are currently in special servicing.
The largest specially serviced loan is the University of Phoenix
Loan ($24.1 million -- 11.7% of the pool), which is secured by
three office properties totaling 204,900 square feet (SF), all of
which have become real estate owned (REO). Two properties are
located in Phoenix, Arizona and one is located in Grand Chute,
Wisconsin. All three properties were 100% occupied by the
University of Phoenix at securitization. However, the original
tenant has vacated and all properties are currently 100% vacant.
The second largest loan in special servicing is the Altamont Avenue
Loan ($16.4 million -- 7.9% of the pool), which is secured by a
210,460 SF grocery anchored retail property located in Rotterdam,
New York. The loan transferred to special servicing in June 2011
for imminent default and became REO in October 2014. As of November
2016, the property was 84% leased.
The third largest loan in special servicing is The Atrium at
Manalapan Loan ($11.2 million -- 5.4% of the pool), which is
secured by an office property located in Manalapan, New Jersey. The
property was 74% leased as of June 2016. The loan has been in
special servicing since October 2013 and has been REO since
February 2016.
The remaining eight specially serviced loans are secured by a mix
of property types. Moody's estimates an aggregate $72.4 million
loss for the specially serviced loans (68% expected loss on
average).
Moody's received full year 2015 operating results for 93% of the
pool and partial year 2016 operating results for 37% of the pool.
Moody's weighted average conduit LTV is 121%, compared to 87% at
Moody's last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 32% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9%.
Moody's actual and stressed conduit DSCRs are 1.25X and 0.86X,
respectively, compared to 1.31X and 1.15X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 41% of the pool balance. The
largest loan is the Cedarbrook Corporate Center Portfolio Loan
($54.9 million -- 26.6% of the pool), which is secured by a
four-building complex consisting of three Class A research and
development buildings and one Class A office structure. The
property is located within the 1.5 million SF Cedarbrook Corporate
Center office park in Cranbury, New Jersey. The property was 71%
leased as of November 2016. The loan transferred to special
servicing in June 2015 and was modified in June 2016 with a term
extension and increased interest only period. Moody's LTV and
stressed DSCR are 129% and 0.79X, respectively, compared to 132%
and 0.78X at the last review.
The second largest loan is the ConnectiCare Office Building Loan
($15.1 million -- 7.3% of the pool), which is secured by a 100,540
SF single office property located in Farmington, Connecticut. As of
December 2015, the property was 100% occupied by Connecticare
Insurance with a lease expiration in February 2018. Moody's value
is based on a lit/dark analysis due to concerns about the
property's single tenancy. The loan has passed its anticipated
repayment date in July 2015. Moody's LTV and stressed DSCR are 137%
and 0.73X, respectively.
The third largest loan is the ICI-Glidden Research Center Loan
($13.8 million -- 6.7% of the pool), which is secured by a 194,600
SF single tenant office property located in Strongsville, Ohio, a
suburb of Cleveland. As of December 2015, the property was 100%
occupied by AKZO Nobel Coating, Inc. with a lease expiration in
December 2018. Moody's value is based on a lit/dark analysis due to
concerns about the property's single tenancy. The loan has passed
its anticipated repayment date in June 2014. Moody's LTV and
stressed DSCR are 101% and 1.00X, respectively.
CITIGROUP COMMERCIAL 2006-C5: Fitch Affirms D Rating on 11 Certs.
-----------------------------------------------------------------
Fitch Ratings has affirmed all classes of Citigroup Commercial
Mortgage Trust, commercial mortgage pass-through certificates,
series 2006-C5 (CGCMT 2006-C5).
KEY RATING DRIVERS
The affirmations reflect adverse selection of the remaining pool
and high certainty of losses based on the significant concentration
of specially serviced loans/assets.
As of the December 2016 distribution date, the pool's aggregate
principal balance has been reduced by 89% to $230.3 million from
$2.12 billion at issuance. Cumulative interest shortfalls totaling
$9.7 million are currently affecting classes B through D, classes G
through K, and classes M through P.
Concentration of Specially Serviced Loans/Assets: Only 13 of the
original 208 loans remain, 10 of which are in special servicing
(96.4% of pool). Three of the specially serviced assets (67.8%)
are real-estate owned (REO), including the largest asset in the
pool (53.3%).
Largest Contributors to Modeled Losses: The largest contributor to
Fitch-modeled losses is the IRET Portfolio asset (53.3% of pool),
which is comprised of a portfolio of nine suburban office
properties totaling approximately 937,000 square feet located in
the Omaha, NE metropolitan statistical area (MSA) (four
properties); the greater Minneapolis, MN MSA (two); the St. Louis,
MO MSA (two); and Leawood, KS (one). The asset became REO in
January 2016. Portfolio occupancy has declined to 82.7% as of
November 2016 from 83.5% as of September 2015, which continues to
remain significantly below the 95.7% reported at issuance. Upcoming
lease rollover consists of 9.4% of the portfolio square footage in
2017 and 17.8% in 2018. According to the special servicer, the two
underlying Missouri assets are expected to be put up for auction in
the upcoming months. Significant losses are expected upon
liquidation.
The second largest contributor to Fitch-modeled losses is the North
Campus Crossing Phase I asset (10.8%), an 876-bed off-campus
student housing property located in Greenville, NC, which mainly
caters to students at East Carolina University. The asset became
REO in June 2016. Property occupancy dropped significantly to
28.3% as of September 2016 from 63.1% as of October 2015 and 95% at
issuance. The special servicer is working to stabilize the asset
before liquidation.
RATING SENSITIVITIES
Upgrades are not likely due to the high percentage of specially
serviced loans/assets. The distressed classes are subject to
further downgrades as additional losses are realized or if losses
exceed Fitch's expectations.
Fitch has affirmed these ratings:
-- $145.8 million class A-J at 'CCsf'; RE 85%;
-- $42.5 million class B at 'Csf'; RE 0%;
-- $21.2 million class C at 'Csf'; RE 0%;
-- $20.8 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%.
Classes A-1, A-2, A-3, A-SB, A-4, A-1A, A-M, AMP-1, AMP-2 and AMP-3
have paid in full. Fitch previously withdrew the ratings on the
interest-only XP and XC certificates. Fitch does not rate class P.
CLAREGOLD TRUST 2007-2: Moody's Hikes Ratings in 7 Tranches
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of seven classes
and affirmed five classes in ClareGold Trust, Commercial Mortgage
Pass-Through Certificates, Series 2007-2 as follows:
Cl. A-2, Affirmed Aaa (sf); previously on Sep 1, 2016 Affirmed Aaa
(sf)
Cl. B, Affirmed Aaa (sf); previously on Sep 1, 2016 Affirmed Aaa
(sf)
Cl. C, Affirmed Aaa (sf); previously on Sep 1, 2016 Affirmed Aaa
(sf)
Cl. D, Affirmed Aaa (sf); previously on Sep 1, 2016 Upgraded to Aaa
(sf)
Cl. E, Upgraded to Aaa (sf); previously on Sep 1, 2016 Upgraded to
Aa2 (sf)
Cl. F, Upgraded to Aa3 (sf); previously on Sep 1, 2016 Upgraded to
A2 (sf)
Cl. G, Upgraded to A3 (sf); previously on Sep 1, 2016 Upgraded to
Baa2 (sf)
Cl. H, Upgraded to Baa2 (sf); previously on Sep 1, 2016 Upgraded to
Ba2 (sf)
Cl. J, Upgraded to Ba2 (sf); previously on Sep 1, 2016 Upgraded to
B2 (sf)
Cl. K, Upgraded to Ba3 (sf); previously on Sep 1, 2016 Affirmed
Caa1 (sf)
Cl. L, Upgraded to B1 (sf); previously on Sep 1, 2016 Affirmed Caa2
(sf)
Cl. X, Affirmed Ba3 (sf); previously on Sep 1, 2016 Affirmed Ba3
(sf)
RATINGS RATIONALE
The ratings on four P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on seven P&I classes were upgraded primarily due to an
increase in credit support since Moody's last review, resulting
from paydowns and amortization, as well as Moody's expectation of
additional increases in credit support resulting from the payoff of
loans approaching maturity that are well positioned for refinance.
The pool has paid down by 56% since Moody's last review. In
addition, all the remaining loans are scheduled to mature within
the next 12 months and they have all either defeased or have debt
yields exceeding 10.0% (based on the most recently available NOI).
The rating on the IO class was affirmed based on the credit
performance (or the weighted average rating factor or WARF) of its
referenced classes.
Moody's anticipates minimal losses from the remaining collateral in
the current environment. However, over the remaining life of the
transaction, losses may emerge from macro stresses to the
environment and changes in collateral performance. Moody's ratings
reflect the potential for future losses under varying levels of
stress. Moody's provides a current list of base expected losses for
conduit and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodologies used in these ratings were "Approach to
Rating US and Canadian Conduit/Fusion CMBS" published in December
2014, and "Moody's Approach to Rating Large Loan and Single
Asset/Single Borrower CMBS" published in October 2015.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based CMBS Conduit Model, which it
uses for both conduit and fusion transactions. Credit enhancement
levels for conduit loans are driven by property type, Moody's
actual and stressed DSCR, and Moody's property quality grade (which
reflects the capitalization rate Moody's uses to estimate Moody's
value). Moody's fuses the conduit results with the results of its
analysis of investment grade structured credit assessed loans and
any conduit loan that represents 10% or greater of the current pool
balance.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of seven, compared to 18 at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model and then reconciles and weights the results from the
conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure and property
type. Moody's also further adjusts these aggregated proceeds for
any pooling benefits associated with loan level diversity and other
concentrations and correlations.
DEAL PERFORMANCE
As of the December 15, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 80% to $97.6 million
from $475 million at securitization. The certificates are
collateralized by 12 mortgage loans ranging in size from 1.4% to
25% of the pool. Two loans, constituting 41% of the pool, have
investment-grade structured credit assessments. Two loans,
constituting 7.5% of the pool, have defeased and are secured by US
government securities.
Five loans, constituting 53.7% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Moody's received full year 2015 operating results for 94% of the
pool. Moody's weighted average conduit LTV is 67.5%, compared to
75.1% at Moody's last review. Moody's conduit component excludes
loans with structured credit assessments, defeased and CTL loans,
and specially serviced and troubled loans. Moody's net cash flow
(NCF) reflects a weighted average haircut of 14.3% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 8.9%.
Moody's actual and stressed conduit DSCRs are 1.58X and 1.48X,
respectively, compared to 1.38X and 1.32X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The largest loan with a structured credit assessment is The
Grosvenor Building Loan ($24.5 million -- 25.1% of the pool), which
is secured by a 204,000 square foot (SF) office tower in downtown
Vancouver, British Columbia. The property was originally
constructed in 1984 and was 98% leased as of December 2015, similar
to the prior year and at securitization. The loan has a scheduled
maturity date in February 2017 and Moody's structured credit
assessment and stressed DSCR are aaa (sca.pd) and 2.24X,
respectively, compared to aaa (sca.pd) and 2.19X at last review.
The second largest loan with a structured credit assessment is the
Victoria Place Shopping Centre Loan ($15.6 million -- 16% of the
pool), which is secured by a 140,000 SF grocery-anchored retail
center in London, Ontario. The property was 94% leased as of
December 2015, unchanged from the prior review. The loan has a
scheduled maturity date in March 2017 and Moody's structured credit
assessment and stressed DSCR are a3 (sca.pd) and 1.35X,
respectively, compared to a3 (sca.pd) and 1.33X at last review.
The top three performing conduit loans represent 30% of the pool
balance. The largest loan is the Mary Hill Business Park Loan
($10.9 million -- 11.1% of the pool). The loan is secured by a
164,000 SF industrial property in Port Coquitlam, British Columbia,
approximately 30 km east of downtown Vancouver. The property was
100% leased as of January 2016, compared to 89% at the last review.
The loan has a scheduled maturity date in November 2017 and Moody's
LTV and stressed DSCR are 83% and 1.11X, respectively, compared to
85% and 1.08X at the last review.
The second largest loan is the Hoka & Paramount Industrial Loan
($10.1 million -- 10.3% of the pool). The loan is secured by a
435,000 SF industrial property in Winnipeg, Manitoba. The property
was 97% occupied as of December 2015. The loan has a scheduled
maturity date in June 2017 and Moody's LTV and stressed DSCR are
54% and 1.79X, respectively, compared to 55% and 1.78X at the last
review.
The third largest loan is the Marche Langelier Loan ($8.0 million
-- 8.2% of the pool). The loan is secured by a 69,000 SF grocery
anchored retail center located in the Saint Leonard borough of
Montreal, Quebec. The property is anchored by a Sobey's grocery
store. Other tenants at the property include Starbucks and Weight
Watchers. The property was 100% occupied as of May 2016. The loan
has a scheduled maturity date in April 2017 and Moody's LTV and
stressed DSCR are 69% and 1.40X, respectively, compared to 72% and
1.35X at the last review.
COMM 2015-DC1: Fitch Affirms 'BB-' Rating on Class E Certificates
-----------------------------------------------------------------
Fitch Ratings has affirmed COMM 2015-DC1 Mortgage Trust commercial
mortgage pass-through certificates.
KEY RATING DRIVERS
Overall Stable Pool Performance: There have been no material
changes to the pool's performance since issuance. There is one
loan (0.3%) that is 30 days delinquent and in special servicing.
High Fitch Leverage at Issuance: Issuance DSCR and LTV were 1.12x
and 112.4%, respectively. This represented higher leverage than
similar Fitch-rated fixed-rate multiborrower transactions.
High New York Concentration: The largest state concentration is New
York (30.3%), with five of the top 10 loans (34.3%) secured by
properties located in New York City. The next largest state
concentrations are: California (9.6%), Arkansas (8.5%),
Pennsylvania (8.1%) and Texas (5.4%). The largest loan in the pool
(8.6%) is secured by an office property located in New York.
Specially Serviced Loan: The Comfort Inn - St. Clairsville loan
(0.3%) was transferred to special servicing in September 2016 for
imminent default. The borrower is in payment default for failure
to make its November payment. Per the special servicer discussions
are underway with the borrower.
Limited Amortization: Eleven loans, representing 33.8% of the pool,
are full-term interest-only, and 32 loans representing 41.3% of the
pool are partial interest-only. The remainder of the pool consists
of 24 balloon loans representing 24.8% of the pool, with loan terms
of five to 10 years. Based on the scheduled balance at maturity,
the pool will pay down 9.4%.
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. Given the high leverage of the overall
pool, upgrades are unlikely until significant performance
improvement and credit enhancement increases are realized.
No third-party due diligence was provided or reviewed in relation
to this rating action
Fitch has affirmed these ratings:
-- $26,6 million class A-1 at 'AAAsf'; Outlook Stable;
-- $172.5 million class A-2 at 'AAAsf'; Outlook Stable;
-- $120.0 million class A-3 at 'AAAsf'; Outlook Stable;
-- $68.5 million class A-SB at 'AAAsf'; Outlook Stable;
-- $200.0 million A-4 at 'AAAsf'; Outlook Stable;
-- $382.6 million class A-5 at 'AAAsf'; Outlook Stable;
-- $1.065a billion class X-A at 'AAAsf'; Outlook Stable;
-- $94.7b million class A-M at 'AAAsf'; Outlook Stable;
-- $80.6b million class B at 'AA-sf'; Outlook Stable;
-- $238.5b million class PEZ at 'A-sf'; Outlook Stable;
-- $63.1b million class C at 'A-sf'; Outlook Stable;
-- $143.8ac million class X-B at 'A-sf'; Outlook Stable;
-- $71.9ac million class X-C at 'BBB-sf'; Outlook Stable;
-- $29.8ac million class X-D at 'BB-sf'; Outlook Stable;
-- $71.9c million class D at 'BBB-sf'; Outlook Stable;
-- $29.8c million class E at 'BB-sf'; Outlook Stable.
(a) Notional amount and interest-only.
(b) Class A-M, B and C certificates may be exchanged for class
PEZ certificates, and class PEZ certificates may be
exchanged for class A-M, B, and C certificates.
(c) Privately placed and pursuant to Rule 144A.
Fitch does not rate the $38.6 million class X-E, the $42.1 million
class X-F, the $14.0 million class F, the $24.5 million class G,
the $42.1 million class H and the $13.0 million class HIX
certificates.
COMM 2016-CCRE28: Fitch Affirms 'B-' Rating on Class G Certs
------------------------------------------------------------
Fitch Ratings has affirmed 19 classes of COMM 2016-CCRE28 Mortgage
Trust commercial mortgage pass-through certificates.
KEY RATING DRIVERS
The affirmations follow the overall stable performance of the
underlying loans. There have been no material changes to the pool
since issuance, therefore the original rating analysis was
considered in affirming the transaction. As of the December 2016
distribution date, the pool's aggregate principal balance has been
reduced by 0.2% to $1.02 billion from $1.03 billion at issuance.
There is one loan on the servicer's watchlist due to deferred
maintenance.
Stable Performance: There have been no material changes to the
pool's overall performance since issuance. All loans are
performing in-line with Fitch's expectations.
High Fitch Leverage: At issuance, Fitch stressed debt service
coverage ratio (DSCR) on the trust-specific debt was 1.10x and the
Fitch stressed loan-to-value (LTV) was 114%, both of which are
higher than other Fitch-rated multi-borrower transactions from 2014
and 2015.
High Proportion of Interest Only Loans: Full term interest-only
loans represent 40.6% of the pool balance, which includes six of
the top 10 loans.
Strong Collateral Quality: At issuance, five loans totaling 25.2%
of the pool balance are secured by properties receiving a property
quality grade of 'A-' or better, including four the top 10 loans.
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.
Fitch affirms these classes:
-- $19.5 million class A-1 at 'AAAsf'; Outlook Stable;
-- $82.8 million class A-2 at 'AAAsf'; Outlook Stable;
-- $48 million class A-SB at 'AAAsf'; Outlook Stable;
-- $230 million class A-3 at 'AAAsf'; Outlook Stable;
-- $281.3 million class A-4 at 'AAAsf'; Outlook Stable;
-- $54.9 million class A-HR at 'AAAsf'; Outlook Stable;
-- $628.0 million* class XP-A at 'AAAsf'; Outlook Stable;
-- $701.4 million* class X-A at 'AAAsf'; Outlook Stable;
-- $54.9 million* class X-HR at 'AAAsf'; Outlook Stable;
-- $39.8 million class A-M at 'AAAsf'; Outlook Stable;
-- $73.2 million class B at 'AA-sf'; Outlook Stable;
-- $50.1 million class C at 'A-sf'; Outlook Stable;
-- $33.4 million class D at 'BBBsf'; Outlook Stable;
-- $123.2 million* class X-B 'A-sf'; Outlook Stable;
-- $59.0 million* class X-C at 'BBB-sf'; Outlook Stable;
-- $27.0 million* class X-D at 'BB-sf'; Outlook Stable;
-- $25.7 million class E at 'BBB-sf'; Outlook Stable;
-- $27 million class F at 'BB-sf'; Outlook Stable;
-- $11.6 million class G at 'B-sf'; Outlook Stable.
*Indicates notional amount and interest-only.
Fitch does not rate the class H, class J, interest-only X-E or
interest-only X-F certificates.
COMM MORTGAGE 2015-LC19: Fitch Affirms 'B-' Rating on Cl. F Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of COMM Mortgage Trust
commercial mortgage pass-through certificates, series 2015-LC19.
KEY RATING DRIVERS
The affirmations are based on the stable performance of the pool
since Fitch's prior review. As of the December 2016 distribution
date, the pool's aggregate principal balance has been reduced by
0.98% to $1.41 billion from $1.42 billion at issuance. Per
servicer reporting, one loan (0.32% of the current balance) was
transferred to the special servicer due to technical default.
Interest shortfalls are currently affecting class H. No loans in
the pool have been defeased.
High Percentage of Interest-Only Loans: The pool contains 13 loans
(41% of the current balance) that are interest-only for the full
term of the loan. Additionally, 21 loans (29.6%) have a partial
interest-only period. The pool is scheduled to amortize by 9.67%
of the initial pool balance prior to maturity, which is less than
other transactions from the same vintage. Fitch-rated transactions
in 2014 had an average full-term interest-only percentage of 19.9%
and a partial interest-only percentage of 42.5%.
Strong Property Quality: Fitch assigned property quality grades of
'A-' to five properties that represented 40.0% of the pool balance
for Fitch sampled loans at issuance, including three properties in
the top 10: One Memorial (10.2% of the pool), Gateway Center Phase
II (7.5% of the pool) and 9911 Belward Campus Drive (6.9% of the
pool). Additionally, nine of the largest 10 properties in the pool
are located in primary markets including Boston/Cambridge, New
York, Washington, D.C., Los Angeles, San Diego, Houston and
Seattle.
Hotel Concentration: The pool contains a high percentage (17.7% of
the current balance) of loans collateralized by hotel properties.
This percentage includes three loans in the top 15, with a total
current balance of $166,311,880.
RATING SENSITIVITIES
The Rating Outlooks for all classes remain Stable due to overall
stable performance of the pool and continued amortization. Upgrades
may occur with improved pool performance and additional paydown or
defeasance. Downgrades to the classes are possible should overall
pool performance decline.
Fitch has affirmed these ratings:
-- $36.9 million class A-1 at 'AAAsf'; Outlook Stable;
-- $45 million class A-2 at 'AAAsf'; Outlook Stable;
-- $81.6 million class A-SB at 'AAAsf'; Outlook Stable;
-- $300 million class A-3 at 'AAAsf'; Outlook Stable;
-- $518.6 million class A-4 at 'AAAsf'; Outlook Stable;
-- $1.06 billion* class X-A at 'AAAsf'; Outlook Stable;
-- $74.7 million class A-M at 'AAAsf'; Outlook Stable;
-- $107.3 million class B at 'AA-sf'; Outlook Stable;
-- $65.8 million class C at 'A-sf'; Outlook Stable;
-- $247.8 million* class PEZ at 'A-sf'; Outlook Stable;
-- $173 million* class X-B at 'A-sf'; Outlook Stable;
-- $70.7 million class D at 'BBB-sf'; Outlook Stable;
-- $70.7 million* class X-C at 'BBB-sf'; Outlook Stable;
-- $33.8 million class E at 'BB-sf'; Outlook Stable;
-- $14.2 million class F at 'B-sf'; Outlook Stable.
*Notional and interest-only
Fitch does not rate the class G and H certificates.
EXETER AUTOMOBILE 2015-3: S&P Affirms 'BB' Rating on Class D Notes
------------------------------------------------------------------
S&P Global Ratings raised its ratings on 20 classes from Exeter
Automobile Receivables Trust's (EART's) series 2012-2, 2013-1,
2013-2, 2014-1, 2014-2, 2014-3, 2015-1, 2015-2, and 2015-3 and
affirmed its ratings on eight classes from series 2012-2, 2014-3,
2015-1, 2015-2, and 2015-3.
The rating actions reflect collateral performance to date and S&P's
expectations regarding future collateral performance, as well as
each transaction's structure and credit enhancement. Additionally,
S&P incorporated secondary credit factors, including credit
stability, payment priorities under various scenarios, and sector-
and issuer-specific analyses. Considering all these factors, S&P
believes the notes' creditworthiness remains consistent with the
raised and affirmed ratings.
S&P revised losses on EART series 2012-2, 2013-1, 2013-2, 2014-1,
2014-2, 2014-3, 2015-1, 2015-2, and 2015-3 to the levels shown
below in table 2. S&P didn't take any actions on the 2016 vintage
transactions, given their limited performance history to date.
The 2012 and 2013 vintage transactions, including series 2014-1,
are performing better than the previously revised loss
expectations. Additionally, these transactions are significantly
seasoned and have likely moved beyond their peak loss range. S&P
therefore revised down the expected cumulative net loss range
(ECNL) for those transactions.
Series 2014-3 and the 2015 vintage transactions are all performing
worse than S&P's original expectations. The series 2014-2 is
performing worse than the previously revised and original lifetime
ECNL expectations. S&P therefore raised its ECNL ranges on those
transactions due to the higher-than-expected default frequencies
and our view of future collateral performance.
Table 1
Collateral Performance (%)
As of the December 2016 distribution date
Pool Current 60+ day
Series Mo. factor CNL delinq.
2012-2 51 10.33 18.94 22.28
2013-1 43 17.80 15.93 17.92
2013-2 39 21.90 14.41 15.42
2014-1 34 28.93 12.28 13.52
2014-2 30 33.97 12.62 13.17
2014-3 26 41.18 12.26 12.53
2015-1 21 48.07 9.84 11.24
2015-2 19 54.28 10.19 11.66
2015-3 14 64.75 8.08 11.78
(i)Mo.--Month.
CNL--cumulative net loss.
Table 2
CNL Expectations (%)
As of the December 2016 distribution date
Former
Original revised Revised
lifetime lifetime lifetime
Series CNL exp. CNL exp. CNL exp.
2012-2 14.50-15.50 19.25-19.75 Up to 19.25
2013-1 17.00-18.00 18.25-18.75 17.75-18.25
2013-2 17.00-18.00 17.50-18.00 16.75-17.25
2014-1 17.00-18.00 17.50-18.00 16.25-16.75
2014-2 17.25-18.25 17.75-18.25 18.00-18.50
2014-3 17.25-18.25 N/A 19.25-19.75
2015-1 17.50-18.50 N/A 19.00-19.50
2015-2 17.50-18.50 N/A 21.50-22.50
2015-3 17.50-18.50 N/A 22.00-23.00
CNL exp.--Cumulative net loss expectations.
N/A--Not applicable.
Each transaction contains a sequential principal payment structure
in which the notes are paid principal by seniority. Each also has
credit enhancement in the form of a nonamortizing reserve account,
overcollateralization, subordination for the higher-rated tranches,
and excess spread. The credit enhancement for each of the
transactions is at the specified target, and each class' credit
support continues to increase as a percentage of the amortizing
collateral balance. EART series 2015-3's target
overcollateralization has not been met yet; however, the
overcollateralization is growing as a percentage of the amortizing
pool balance.
In addition, the overcollateralization for all 2014 and 2015
vintage transactions can step up to a higher target
overcollateralization level if certain CNL metrics are breached.
Overcollateralization step-up tests occur every three months and
are curable following the test date after three calendar months if
the CNL rate is below the specified threshold. None of these
transactions have breached their CNL thresholds as of the December
2016 distribution date. However, the series 2015-2 and 2015-3
transactions appear close to breaching their respective thresholds
in the near term. This was considered in S&P's analysis for these
transactions.
The raised and affirmed ratings reflect S&P's view that the total
credit support as a percentage of the amortizing pool balance,
compared with its expected remaining losses, is commensurate with
each raised or affirmed rating.
Table 3
Hard Credit Support (%)
As of the December 2016 distribution date
Total hard Current total hard
credit support credit support
Series Class at issuance(i) (% of current)(i)
2012-2 C 9.88 83.31
2012-2 D 4.00 26.37
2013-1 C 13.00 65.18
2013-1 D 5.00 20.24
2013-2 C 18.75 79.35
2013-2 D 6.00 21.13
2014-1 B 28.00 94.95
2014-1 C 18.75 62.97
2014-1 D 6.00 18.91
2014-2 B 27.00 79.71
2014-2 C 16.75 49.53
2014-2 D 6.00 17.89
2014-3 A 40.95 102.81
2014-3 B 26.20 67.00
2014-3 C 14.45 38.47
2014-3 D 6.20 18.44
2015-1 A 40.50 88.14
2015-1 B 27.00 60.05
2015-1 C 15.80 36.75
2015-1 D 6.50 17.41
2015-2 A 39.00 77.23
2015-2 B 25.80 52.91
2015-2 C 15.55 34.03
2015-2 D 6.00 16.43
2015-3 A 39.75 68.53
2015-3 B 26.50 48.07
2015-3 C 16.50 32.62
2015-3 D 5.50 15.63
(i)Calculated as a percentage of the total gross receivable pool
balance, consisting of a reserve account, overcollateralization
and, if applicable, subordination.
"We incorporated a cash flow analysis to assess the loss coverage
level, giving credit to excess spread. Our various cash flow
scenarios included forward-looking assumptions on recoveries,
timing of losses, and voluntary absolute prepayment speeds that we
believe are appropriate given each transaction's performance to
date. Aside from our break-even cash flow analysis, we also
conducted sensitivity analyses for these series to determine the
impact that a moderate ('BBB') stress scenario would have on our
ratings if losses began trending higher than our revised base-case
loss expectation," S&P said.
In S&P's view, the results demonstrated that all of the classes
have adequate credit enhancement at the raised or affirmed rating
levels. S&P will continue to monitor the performance of all of the
outstanding transactions to ensure that the credit enhancement
remains sufficient, in S&P's view, to cover its CNL expectations
under its stress scenarios for each of the rated classes.
RATINGS RAISED
Exeter Automobile Receivables Trust
Rating
Series Class To From
2012-2 D AA (sf) BBB+ (sf)
2013-1 C AA (sf) AA- (sf)
2013-1 D A- (sf) BB (sf)
2013-2 C AA (sf) AA- (sf)
2013-2 D A- (sf) BB (sf)
2014-1 B AA (sf) AA- (sf)
2014-1 C AA- (sf) A+ (sf)
2014-1 D BBB (sf) BB (sf)
2014-2 B AA (sf) AA- (sf)
2014-2 C AA- (sf) A+ (sf)
2014-2 D BBB (sf) BB (sf)
2014-3 B AA (sf) A (sf)
2014-3 C AA- (sf) BBB (sf)
2014-3 D BBB (sf) BB (sf)
2015-1 B AA- (sf) A (sf)
2015-1 C A (sf) BBB (sf)
2015-2 B AA- (sf) A (sf)
2015-2 C A (sf) BBB (sf)
2015-3 B AA- (sf) A (sf)
2015-3 C A (sf) BBB (sf)
RATINGS AFFIRMED
Exeter Automobile Receivables Trust
Series Class Rating
2012-2 C AA (sf)
2014-3 A AA (sf)
2015-1 A AA (sf)
2015-1 D BB (sf)
2015-2 A AA (sf)
2015-2 D BB (sf)
2015-3 A AA (sf)
2015-3 D BB (sf)
FANNIE MAE 2017-C01: Fitch to Rate Class 1M-2B Notes 'BB-'
----------------------------------------------------------
Fitch Ratings expects to assign these ratings and Rating Outlooks
to Fannie Mae's risk transfer transaction, Connecticut Avenue
Securities, series 2017-C01:
-- $457,271,000 class 1M-1 notes 'BBB-sf'; Outlook Stable;
-- $228,635,000 class 1M-2A notes 'BB+sf'; Outlook Stable;
-- $228,635,000 class 1M-2B notes 'BB-sf'; Outlook Stable;
-- $228,635,000 class 1M-2C notes 'Bsf'; Outlook Stable;
-- $685,905,000 class 1M-2 exchangeable notes 'Bsf'; Outlook
Stable;
-- $228,635,000 class 1A-I1 exchangeable notional notes
'BB+sf'; Outlook Stable;
-- $228,635,000 class 1E-A1 exchangeable notes 'BB+sf'; Outlook
Stable;
-- $228,635,000 class 1A-I2 exchangeable notional notes
'BB+sf'; Outlook Stable;
-- $228,635,000 class 1E-A2 exchangeable notes 'BB+sf'; Outlook
Stable;
-- $228,635,000 class 1A-I3 exchangeable notional notes
'BB+sf'; Outlook Stable;
-- $228,635,000 class 1E-A3 exchangeable notes 'BB+sf'; Outlook
Stable;
-- $228,635,000 class 1A-I4 exchangeable notional notes
'BB+sf'; Outlook Stable;
-- $228,635,000 class 1E-A4 exchangeable notes 'BB+sf'; Outlook
Stable;
-- $228,635,000 class 1B-I1 exchangeable notional notes
'BB-sf'; Outlook Stable;
-- $228,635,000 class 1E-B1 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $228,635,000 class 1B-I2 exchangeable notional notes
'BB-sf'; Outlook Stable;
-- $228,635,000 class 1E-B2 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $228,635,000 class 1B-I3 exchangeable notional notes
'BB-sf'; Outlook Stable;
-- $228,635,000 class 1E-B3 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $228,635,000 class 1B-I4 exchangeable notional notes
'BB-sf'; Outlook Stable;
-- $228,635,000 class 1E-B4 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $228,635,000 class 1C-I1 exchangeable notional notes 'Bsf';
Outlook Stable;
-- $228,635,000 class 1E-C1 exchangeable notes 'Bsf'; Outlook
Stable;
-- $228,635,000 class 1C-I2 exchangeable notional notes 'Bsf';
Outlook Stable;
-- $228,635,000 class 1E-C2 exchangeable notes 'Bsf'; Outlook
Stable;
-- $228,635,000 class 1C-I3 exchangeable notional notes 'Bsf';
Outlook Stable;
-- $228,635,000 class 1E-C3 exchangeable notes 'Bsf'; Outlook
Stable;
-- $228,635,000 class 1C-I4 exchangeable notional notes 'Bsf';
Outlook Stable;
-- $228,635,000 class 1E-C4 exchangeable notes 'Bsf'; Outlook
Stable;
-- $457,270,000 class 1E-D1 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $457,270,000 class 1E-D2 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $457,270,000 class 1E-D3 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $457,270,000 class 1E-D4 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $457,270,000 class 1E-D5 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $457,270,000 class 1E-F1 exchangeable notes 'Bsf'; Outlook
Stable;
-- $457,270,000 class 1E-F2 exchangeable notes 'Bsf'; Outlook
Stable;
-- $457,270,000 class 1E-F3 exchangeable notes 'Bsf'; Outlook
Stable;
-- $457,270,000 class 1E-F4 exchangeable notes 'Bsf'; Outlook
Stable;
-- $457,270,000 class 1E-F5 exchangeable notes 'Bsf'; Outlook
Stable;
-- $457,270,000 class 1-X1 exchangeable notional notes 'BB-sf';
Outlook Stable;
-- $457,270,000 class 1-X2 exchangeable notional notes 'BB-sf';
Outlook Stable;
-- $457,270,000 class 1-X3 exchangeable notional notes 'BB-sf';
Outlook Stable;
-- $457,270,000 class 1-X4 exchangeable notional notes 'BB-sf';
Outlook Stable;
-- $457,270,000 class 1-Y1 exchangeable notional notes 'Bsf';
Outlook Stable;
-- $457,270,000 class 1-Y2 exchangeable notional notes 'Bsf';
Outlook Stable;
-- $457,270,000 class 1-Y3 exchangeable notional notes 'Bsf';
Outlook Stable;
-- $457,270,000 class 1-Y4 exchangeable notional notes 'Bsf';
Outlook Stable.
These classes will not be rated by Fitch:
-- $42,117,071,181 class 1A-H reference tranche;
-- $24,066,956 class 1M-1H reference tranche;
-- $12,033,978 class 1M-AH reference tranche;
-- $12,033,978 class 1M-BH reference tranche;
-- $12,033,978 class 1M-CH reference tranche;
-- $120,000,000 class 1B-1 notes;
-- $98,789,980 class 1B-1H reference tranche;
-- $218,789,980 class 1B-2H reference tranche.
The 'BBB-sf' rating for the 1M-1 note reflects the 2.65%
subordination provided by the 0.55% class 1M-2A, the 0.55% class
1M-2B, the 0.55% class 1M-2C, the 0.50% class 1B-1 and their
corresponding reference tranches as well as the 0.50% 1B-2H
reference tranche. The notes are general senior unsecured
obligations of Fannie Mae (rated 'AAA'/Outlook Stable) subject to
the credit and principal payment risk of a pool of certain
residential mortgage loans held in various Fannie Mae-guaranteed
MBS.
The reference pool of mortgages will consist of mortgage loans with
loan to values (LTVs) greater than 60% and less than or equal to
80%.
Connecticut Avenue Securities, series 2017-C01 (CAS 2017-C01) is
Fannie Mae's 16th risk transfer transaction issued as part of the
Federal Housing Finance Agency's Conservatorship Strategic Plan for
2013 - 2017 for each of the government sponsored enterprises (GSEs)
to demonstrate the viability of multiple types of risk transfer
transactions involving single family mortgages.
The objective of the transaction is to transfer credit risk from
Fannie Mae to private investors with respect to a $43.8 billion
pool of mortgage loans currently held in previously issued MBS
guaranteed by Fannie Mae where principal repayment of the notes are
subject to the performance of a reference pool of mortgage loans.
As loans liquidate, are modified or other credit events occur, the
outstanding principal balance of the debt notes will be reduced by
the loan's actual loss severity percentage related to those credit
events.
While the transaction structure simulates the behavior and credit
risk of traditional RMBS mezzanine and subordinate securities,
Fannie Mae will be responsible for making monthly payments of
interest and principal to investors. Because of the counterparty
dependence on Fannie Mae, Fitch's expected rating on the 1M-1,
1M-2A, 1M-2B and 1M-2C notes will be based on the lower of: the
quality of the mortgage loan reference pool and credit enhancement
(CE) available through subordination; and Fannie Mae's Issuer
Default Rating. The notes will be issued as uncapped LIBOR-based
floaters and will carry a 12.5-year legal final maturity.
KEY RATING DRIVERS
High Quality Mortgage Pool (Positive): The reference mortgage loan
pool consists of high quality mortgage loans that were acquired by
Fannie Mae from March 2016 through June 2016. In this transaction,
Fannie Mae has only included one group of loans with LTV ratios
from 60%-80%. Overall, the reference pool's collateral
characteristics are similar to recent CAS transactions and reflect
the strong credit profile of post-crisis mortgage originations.
Actual Loss Severities (Neutral): This will be Fannie Mae's ninth
actual loss risk transfer transaction in which losses borne by the
noteholders will not be based on a fixed loss severity (LS)
schedule. The notes in this transaction will experience losses
realized at the time of liquidation or modification, which will
include both lost principal and delinquent or reduced interest.
12.5-Year Hard Maturity (Positive): The 1M-1, 1M-2A, 1M-2B, 1M-2C
and 1B-1 notes benefit from a 12.5-year legal final maturity. As a
result, any collateral losses on the reference pool that occur
beyond year 12.5 are borne by Fannie Mae and do not affect the
transaction. Fitch accounted for the 12.5-year window in its
default analysis and applied a reduction to its lifetime default
expectations.
Limited Size/Scope of Third-Party Diligence (Neutral): This is the
fifth Fannie Mae transaction in which Fitch received third-party
due diligence on a loan production basis as opposed to a
transaction-specific review. Fitch believes that regular, periodic
third-party reviews (TPRs) conducted on a loan production basis are
sufficient for validating Fannie Mae's quality-control (QC)
processes. The sample selection was limited to a population of
7,391 loans that were previously reviewed as part of Fannie Mae's
post-purchase QC review and met the reference pool's eligibility
criteria. Of those loans, 1,998 were selected for a full review
(credit, property valuation, and compliance) by third-party due
diligence providers. Of the 1,998 loans, 592 were part of this
transaction's reference pool. Fitch views the results of the due
diligence review as consistent with its opinion of Fannie Mae as an
above-average aggregator; as a result, no adjustments were made to
Fitch's loss expectations based on due diligence.
Advantageous Payment Priority (Positive): The 1M-1 class strongly
benefits from the sequential pay structure and stable CE provided
by the more junior 1M-2A, 1M-2B, 1M-2C and 1B-1 classes, which are
locked out from receiving any principal until classes with a more
senior payment priority are paid in full. However, available CE
for the junior classes as a percentage of the outstanding reference
pool increases in tandem with the paydown of the 1M-1 class. Given
the size of the 1M-1 class relative to the combined total of all
the junior classes, together with the sequential pay structure, the
class 1M-1 will de-lever and CE as a percentage will build faster
than in a pro rata payment structure.
Solid Alignment of Interests (Positive): While the transaction is
designed to transfer credit risk to private investors, Fitch
believes that it benefits from a solid alignment of interests.
Fannie Mae will be retaining credit risk in the transaction by
holding the 1A-H senior reference tranches, which have an initial
loss protection of 3.75%, as well as 100% of the first loss 1B-2H
reference tranche, sized at 50 basis points (bps). Fannie Mae is
also retaining an approximately 5% vertical slice/interest in the
1M-1, 1M-2A, 1M-2B and 1M-2C tranches and roughly 45% of the 1B-1
tranche.
Receivership Risk Considered (Neutral): Under the Federal Housing
Finance Regulatory Reform Act, the Federal Housing Finance Agency
(FHFA) must place Fannie Mae into receivership if it determines
that Fannie Mae's assets are less than its obligations for more
than 60 days following the deadline of its SEC filing, as well as
for other reasons. As receiver, FHFA could repudiate any contract
entered into by Fannie Mae if it is determined that the termination
of such contract would promote an orderly administration of Fannie
Mae's affairs. Fitch believes that the U.S. government will
continue to support Fannie Mae; this is reflected in our current
rating of Fannie Mae. However, if, at some point, Fitch views the
support as being reduced and receivership likely, the ratings of
Fannie Mae could be downgraded and the 1M-1, 1M-2A, 1M-2B and 1M-2C
notes' ratings affected.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the metropolitan statistical area (MSA) and
national levels. The implied rating sensitivities are only an
indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to or be
considered in the surveillance of the transaction.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MDVs of 10%, 20%, and 30%, in addition to the
model-projected 24.2% at the 'BBBsf' level and 19.4% at the 'BBsf'
level. The analysis indicates that there is some potential rating
migration with higher MVDs, compared with the model projection.
Fitch also conducted defined rating sensitivities which determine
the stresses to MVDs that would reduce a rating by one full
category, to non-investment grade, and to 'CCCsf'. For example,
additional MVDs of 11%, 11% and 34% would potentially reduce the
'BBBsf' rated class down one rating category, to non-investment
grade, and to 'CCCsf', respectively.
H/2 ASSET 2014-1: Moody's Affirms Ba3 Rating on Class C Notes
-------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on the following
notes issued by H/2 Asset Funding 2014-1 Ltd.:
Cl. A-FL, Affirmed Aaa (sf); previously on Jan 28, 2016 Affirmed
Aaa (sf)
Cl. A-FX, Affirmed Aaa (sf); previously on Jan 28, 2016 Affirmed
Aaa (sf)
Cl. B, Affirmed Baa3 (sf); previously on Jan 28, 2016 Affirmed Baa3
(sf)
Cl. C, Affirmed Ba3 (sf); previously on Jan 28, 2016 Affirmed Ba3
(sf)
RATINGS RATIONALE
Moody's has affirmed the ratings on the 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.
H/2 Asset Funding 2014-1 is a managed cash transaction with the
reinvestment period ending in March 2018. The transaction can be
backed by a portfolio of: i) single asset/single borrower
commercial real estate bonds (CMBS); ii) senior corporate bonds,
and iii) bank loans. As of the December 13, 2016 trustee report,
the aggregate note balance of the transaction, including income
notes, is $515.9 million, the same as that at issuance.
No assets are defaulted as of the trustee's December 13, 2016
report.
Moody's has identified the following as key indicators of the
expected loss in CRE CLO 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 CLO pool.
Moody's has updated its assessments for the collateral it does not
rate. The rating agency modeled a bottom-dollar WARF of 2350, same
as that at last review.
Moody's modeled a WAL of 7.0 years, as compared to 8.0 years at
last review. The WAL is based on assumptions about extensions on
the underlying collateral.
Moody's modeled a fixed WARR of 34.7%, same as that at last
review.
Moody's modeled a MAC of 12.8%, compared to 32% at last review.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating SF CDOs" published in October 2016.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance of the notes is subject to uncertainty, because it
is sensitive to the performance of the underlying portfolio, which
in turn depends on economic and credit conditions that are subject
to change. The servicing decisions of the master and special
servicer and surveillance by the operating advisor with respect to
the collateral interests and oversight of the transaction will also
affect the performance of the rated notes.
Moody's Parameter Sensitivities: Changes to any one or more of the
key parameters could have rating implications for some of the rated
notes, although a change in one key parameter assumption could be
offset by a change in one or more of the other key parameter
assumptions. The rated notes are particularly sensitive to changes
in the ratings of the underlying collateral and credit assessments.
Holding all other parameters constant, notching down approximately
30% of the collateral pool by one notch would result in an average
modeled rating movement on the rated notes of zero to one notch
downward (e.g., one notch down implies a ratings movement of Baa3
to Ba1). Notching down approximately 30% of the collateral pool by
two notches would result in an average modeled rating movement on
the rated notes of zero to two notches downward (e.g., two notches
down implies a ratings movement of Baa3 to Ba2).
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment given the
weak recovery and certain commercial real estate property markets.
Commercial real estate property values continue to improve
modestly, along with a rise in investment activity and
stabilization in core property type performance. Limited new
construction and moderate job growth have aided this improvement.
However, sustained growth will not be possible until investment
increases steadily for a significant period, non-performing
properties are cleared from the pipeline and fears of a euro area
recession abate.
JP MORGAN 2004-LN2: Moody's Lowers Ratings on 4 Tranches
--------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three
classes, confirmed the rating on one class, and downgraded the
ratings on four classes in J.P. Morgan Chase Commercial Mortgage
Securities Corp., Commercial Mortgage Pass-Through Certificates,
Series 2004-LN2 as follows:
Cl. A-2, Confirmed at Aaa (sf); previously on Oct 14, 2016 Aaa (sf)
Placed Under Review for Possible Downgrade
Cl. A-1A, Downgraded to Aa1 (sf); previously on Oct 14, 2016 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. B, Downgraded to Caa1 (sf); previously on Oct 14, 2016
Downgraded to B2 (sf)
Cl. C, Downgraded to Caa3 (sf); previously on Oct 14, 2016
Downgraded to Caa1 (sf)
Cl. D, Downgraded to C (sf); previously on Oct 14, 2016 Downgraded
to Caa3 (sf)
Cl. E, Affirmed C (sf); previously on Oct 14, 2016 Downgraded to C
(sf)
Cl. F, Affirmed C (sf); previously on Oct 14, 2016 Affirmed C (sf)
Cl. X-1, Affirmed Caa2 (sf); previously on Oct 14, 2016 Affirmed
Caa2 (sf)
RATINGS RATIONALE
The rating on one P&I class was confirmed 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 four P&I classes were downgraded due to anticipated
losses from specially serviced loans.
The ratings on two P&I classes were affirmed because the ratings
are consistent with Moody's expected loss.
The rating on the IO class was affirmed based on the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes.
Moody's rating action reflects a base expected loss of 50.6% of the
current balance, compared to 50.4% at Moody's last review. Moody's
base expected loss plus realized losses is now 12.6% of the
original pooled balance, compared to 12.6% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
DESCRIPTION OF MODELS USED
Moody's analysis used the excel-based Large Loan Model. The large
loan model derives credit enhancement levels based on an
aggregation of adjusted loan-level proceeds derived from Moody's
loan-level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure and property type. Moody's also
further adjusts these aggregated proceeds for any pooling benefits
associated with loan level diversity and other concentrations and
correlations.
DEAL PERFORMANCE
As of the December 15, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 89% to $140 million
from $1.25 billion at securitization. The certificates are
collateralized by twenty-one mortgage loans ranging in size from
less than 1% to 43.6% of the pool, with the top ten loans
constituting 91% of the pool. Three loans, constituting 1% of the
pool, have defeased and are secured by US government securities.
Three loans, constituting 6.1% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Twenty-six loans have been liquidated from the pool, resulting in
an aggregate realized loss of $85 million (for an average loss
severity of 63.6%). Three loans, constituting 56% of the pool, are
currently in special servicing. Chesapeake Square loan ($61.1
million -- 43.6% of the pool), which is secured by an 800,000
square foot (SF) single-level regional mall located just south of
Norfolk, Virginia (collateral for the loan is 530,158 SF). The mall
is anchored by Target, J.C. Penney, and Burlington Coat Factory
(Target is not part of the collateral). The mall has lost two
anchor tenants in Macy's and Sears since early 2015. The loan
initially transferred to special servicing in 2014 due to imminent
monetary default and a modification was executed in June 2014. The
loan subsequently transferred back to the master servicer in
October 2014. However, the loan returned to special servicing in
July 2015 due to imminent default. The loan became REO in April
2016. As of December 2016, total mall and inline occupancy was 61%
and 76% respectively, compared to 69% and 61% as of September 2015
and 87% and 63% as of September 2014.
The remaining two specially serviced loans are secured by
portfolios of industrial properties. Moody's estimates an aggregate
$70.9 million loss for the specially serviced loans (91% expected
loss on average).
JP MORGAN 2007-CIBC20: Fitch Affirms 'D' Rating on 6 Tranches
-------------------------------------------------------------
Fitch Ratings has affirmed 17 classes of J.P. Morgan Chase
Commercial Mortgage Securities Corp. (JPMCC) commercial mortgage
pass-through certificates, series 2007-CIBC20.
KEY RATING DRIVERS
The affirmations of the classes are due to overall stable
performance since Fitch's last rating action. As of the December
2016 distribution date, the pool's aggregate principal balance has
been reduced by 43.3% to $1.44 billion from $2.54 billion at
issuance. Per the servicer reporting, 17 loans (16.6% of the pool)
are defeased. Interest shortfalls are currently affecting classes
G through NR.
Higher Loss Expectations: Fitch modeled losses of 10.6% of the
remaining pool; expected losses on the original pool balance total
13.1%, including $181.7 million (7.1% of the original pool balance)
in realized losses to date. Modeled losses at the previous rating
action were 12.8% of the original pool balance. Given the upcoming
maturities, the higher losses reflect Fitch's greater certainty of
near-term losses or loan defaults
Loans of Concern: Fitch has designated 21 loans (14.1% of current
pool balance) as Fitch Loans of Concern, which includes two
specially serviced assets (1.8%). The specially serviced assets
include one REO (0.9%), one loan (0.9%) in foreclosure.
Maturity Concentration: Fitch remains concerned about a number of
highly leveraged loans, which may have trouble refinancing.
Excluding the specially serviced assets, 95% of the pool is
scheduled to mature in 2017. The majority of the 2017 loan
maturities are concentrated during third quarter (89.7%).
Limited Amortization: Remaining scheduled amortization for the pool
is 0.4% from December 2016 to each loan's scheduled maturity date
or ARD. Of the remaining pool, approximately 85.7% is partial or
full-term interest-only which limits deleveraging of the senior and
mezzanine classes.
RATING SENSITIVITIES
The Stable Outlooks on classes A-4 thru A-J reflect sufficient
credit enhancement relative to pool expected losses. The
distressed classes may be subject to further downgrades if there is
an increase in the number of specially serviced loans and
additional losses are realized.
Fitch has affirmed and revised REs on these ratings:
-- $626.8 million class A-4 at 'AAAsf'; Outlook Stable;
-- $234.3 million class A-1A at 'AAAsf'; Outlook Stable;
-- $219.3 million class A-M at 'Asf'; Outlook Stable;
-- $35 million class A-MFX at 'Asf'; Outlook Stable;
-- $152.6 million class A-J at 'Bsf'; Outlook Stable;
-- $31.8 million class B at 'CCCsf'; RE 100%;
-- $25.4 million class C at 'CCCsf'; RE 0%;
-- $28.6 million class D at 'CCsf'; RE 0%;
-- $22.3 million class E at 'CCsf'; RE 0%;
-- $22.3 million class F at 'Csf'; RE 0%;
-- $25.4 million class G at 'Csf'; RE 0%;
-- $18.6 million class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%.
The class A-1, A-2, A-3 and A-SB certificates have paid in full.
Fitch does not rate the class P, Q, T and NR certificates. Fitch
previously withdrew the ratings on the interest-only class X-2 and
X-1 certificates.
LB-UBS COMMERCIAL 2004-C1: Moody's Lowers Ratings on 7 Tranches
---------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on seven classes
and downgraded the ratings on seven classes in LB-UBS Commercial
Mortgage Trust 2004-C1 as follows:
Cl. A-4, Downgraded to Ba1 (sf); previously on Oct 12, 2016
Downgraded to A3 (sf) and Remained On Review for Possible
Downgrade
Cl. B, Downgraded to Ba2 (sf); previously on Oct 12, 2016
Downgraded to Baa1 (sf) and Remained On Review for Possible
Downgrade
Cl. C, Downgraded to B3 (sf); previously on Oct 12, 2016 Downgraded
to Baa3 (sf) and Remained On Review for Possible Downgrade
Cl. D, Downgraded to Caa3 (sf); previously on Oct 12, 2016
Downgraded to Ba3 (sf) and Remained On Review for Possible
Downgrade
Cl. E, Downgraded to C (sf); previously on Oct 12, 2016 Downgraded
to B2 (sf) and Remained On Review for Possible Downgrade
Cl. F, Downgraded to C (sf); previously on Oct 12, 2016 Downgraded
to Caa2 (sf) and Remained On Review for Possible Downgrade
Cl. G, Affirmed C (sf); previously on Oct 12, 2016 Downgraded to C
(sf)
Cl. H, Affirmed C (sf); previously on Oct 12, 2016 Downgraded to C
(sf)
Cl. J, Affirmed C (sf); previously on Oct 12, 2016 Affirmed C (sf)
Cl. K, Affirmed C (sf); previously on Oct 12, 2016 Affirmed C (sf)
Cl. L, Affirmed C (sf); previously on Oct 12, 2016 Affirmed C (sf)
Cl. M, Affirmed C (sf); previously on Oct 12, 2016 Affirmed C (sf)
Cl. X-CL, Downgraded to Caa3 (sf); previously on Oct 12, 2016
Downgraded to Caa2 (sf) and Remained On Review for Possible
Downgrade
Cl. X-ST, Affirmed Caa3 (sf); previously on Oct 12, 2016 Affirmed
Caa3 (sf)
RATINGS RATIONALE
The ratings on six P&I classes were downgraded due to anticipated
losses from specially serviced loans that were higher than Moody's
previously expected. The downgrades stem from the expected future
performance of the UBS Center - Stamford ($147.9M, 74% of the pool)
and interest shortfall concerns.
The ratings on six P&I classes were affirmed because the ratings
are consistent with Moody's expected loss.
The rating on the IO class X-CL was downgraded due to a decline in
the credit performance (or weighted average rating factor or WARF)
of the referenced classes.
The rating on the IO class X-ST was affirmed because the current
rating is commensurate with the performance of its referenced loan,
the UBS Center -- Stamford ($147.9M, 74% of the collateral pool).
The rating action concludes the rating review implemented by
Moody's on 12 October 2016.
Moody's rating action reflects a base expected loss of 70.8% of the
current balance. Moody's base expected loss plus realized losses is
now 12.2% of the original pooled balance. Moody's provides a
current list of base expected losses for conduit and fusion CMBS
transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in October 2015. Please see the Rating
Methodologies page on www.moodys.com for a copy of this
methodology.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 92% of the pool is in
special servicing and Moody's. In this approach, Moody's determines
a probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then applies the aggregate loss
from specially serviced and troubled loans to the most junior
class(es) and the recovery as a pay down of principal to the most
senior class(es).
DESCRIPTION OF MODELS USED
Moody's analysis used the excel-based Large Loan Model. The large
loan model derives credit enhancement levels based on an
aggregation of adjusted loan-level proceeds derived from Moody's
loan-level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure and property type. Moody's also
further adjusts these aggregated proceeds for any pooling benefits
associated with loan level diversity and other concentrations and
correlations.
DEAL PERFORMANCE
As of the 16 December, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 86% to $199.0
million from $1.424 billion at securitization. The certificates are
collateralized by five mortgage loans ranging in size from 2.9% to
74.3% of the pool.
Twelve loans have been liquidated from the pool, resulting in an
aggregate realized loss of $32.3 million (for an average loss
severity of 49.5%). Three loans, constituting 92% of the pool, are
currently in special servicing. The largest specially serviced loan
is the UBS Center -- Stamford Loan ($147.9 million -- 74.3% of the
pool), which is secured by the leasehold interest in a Class A
office property located in Stamford, Connecticut. The loan was
transferred to the special servicer in January 2016 due to imminent
non-monetary default. The property is 100% leased to UBS AG,
Stamford Branch. The UBS lease is triple-net and expires in
December 2017, however, UBS is not obligated to pay base rent
during the last 14 months of their lease. The loan has benefitted
from a 24 year amortization schedule and has amortized 36% since
securitization. The appraised value of the property was revised in
May 2016 to $44.4 million, down from $262.0 million at
securitization. The special servicer has indicated that they are
pursuing a note sale.
The second and third largest specially serviced loans are the
Passaic Industrial Park A-Note ($19.8 million -- 10.0% of the pool)
and Passaic Industrial Park B-Note ($16.1 million -- 8.1% of the
pool), respectively, which are secured by a Class C industrial park
located in Wood-Ridge, New Jersey. The loan was previously modified
and bifurcated via an A-note/B-note split and had its maturity date
extended to December 2018. The property was 94% leased as of
September 2016.
As of the 16 December, 2016 remittance statement cumulative
interest shortfalls were $7.5 million. Moody's anticipates interest
shortfalls will continue because of the exposure to specially
serviced loans and/or modified loans. Interest shortfalls are
caused by special servicing fees, including workout and liquidation
fees, appraisal entitlement reductions (ASERs), loan modifications
and extraordinary trust expenses.
Moody's received full year 2015 operating results for 100% of the
pool, and full or partial year 2016 operating results for 100% of
the pool (excluding specially serviced and defeased loans).
The two performing represent 7.6% of the pool balance. The largest
loan is the Centre at River Oaks Loan ($9.4 million -- 4.7% of the
pool), which is secured by an anchored retail property located in
Houston, Texas. The property, which was previously anchored by a
Borders, was 100% occupied as of September 2016. Top tenants
include TCH Pediatrics Inc. (23.1% of NRA), Uita Salon, Cosmetics &
Fragrances (10.2%), and Six Foot Studios, Ltd (9.4%). Moody's LTV
and stressed DSCR are 42% and 2.30X, respectively, compared to 43%
and 2.27X at the last review.
The second largest loan is the FedEx Freight Distribution Center
Loan ($5.8 million -- 2.9% of the pool), which is secured by a
warehouse facility located in Bessemer, Alabama, approximately 10
miles west of Birmingham. The property is 100% leased to FedEx
Freight East, Inc. through October 2017. Moody's LTV and stressed
DSCR are 93% and 1.14X, respectively, compared to 69% and 1.51X at
the last review.
LB-UBS COMMERCIAL 2004-C4: Moody's Affirms Ratings on 3 Tranches
----------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class
affirmed the ratings on three classes in LB-UBS Commercial Mortgage
Trust, Pass-Through Certificates, Series 2004-C4 as follows:
Cl. H, Upgraded to Aaa (sf); previously on Feb 25, 2016 Upgraded to
Aa1 (sf)
Cl. J, Affirmed Caa2 (sf); previously on Feb 25, 2016 Affirmed Caa2
(sf)
Cl. K, Affirmed C (sf); previously on Feb 25, 2016 Affirmed C (sf)
Cl. X, Affirmed Ca (sf); previously on Feb 25, 2016 Affirmed Ca
(sf)
RATINGS RATIONALE
The rating on one P&I class was upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 18% since Moody's last
review.
The ratings on two P&I classes were affirmed because the ratings
are consistent with Moody's expected loss.
The rating on the IO class was affirmed as it is not expected to
receive monthly interest payments.
Moody's rating action reflects a base expected loss of 36.8% of the
current balance, compared to 29.8% at Moody's last review. Moody's
base expected loss plus realized losses is now 3.5% of the original
pooled balance, compared to 3.4% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in these ratings were " Approach to Rating
US and Canadian Conduit/Fusion CMBS" published in December 2014,
and "Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in October 2015.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based CMBS Conduit Model, which it
uses for both conduit and fusion transactions. Credit enhancement
levels for conduit loans are driven by property type, Moody's
actual and stressed DSCR, and Moody's property quality grade (which
reflects the capitalization rate Moody's uses to estimate Moody's
value). Moody's fuses the conduit results with the results of its
analysis of investment grade structured credit assessed loans and
any conduit loan that represents 10% or greater of the current pool
balance.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of five, compared to six at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model and then reconciles and weights the results from the
conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type and sponsorship. Moody's also further adjusts these aggregated
proceeds for any pooling benefits associated with loan level
diversity and other concentrations and correlations.
DEAL PERFORMANCE
As of the December 16, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $26.3 million
from $1.412 billion at securitization. The certificates are
collateralized by eight mortgage loans ranging in size from less
than 1% to 33% of the pool.
Two loans, constituting 14% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Nineteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $39.4 million (for an average loss
severity of 33%). The one specially serviced loan is the 2200
Byberry Road ($8.72 million -- 33.2% of the pool), which is secured
by two Class B office buildings in Hatboro, Pennsylvania. The loan
transferred to special servicing in May 2014 for maturity default
and became REO in February 2016. As of yearend 2016, the property
was 12% leased by one tenant with a lease expiration in April 2018.
The Master Servicer has deemed the loan as non-recoverable.
Moody's has assumed a high default probability for one poorly
performing loan and has estimated an aggregate loss of $9.7 million
(an 83% expected loss based on a 50% probability default) from
specially serviced and troubled loans.
Moody's received full year 2015 operating results for 100% of the
pool, and full or partial year 2016 operating results for 43% of
the pool. Moody's weighted average conduit LTV is 69%, compared to
65% at Moody's last review. Moody's conduit component excludes
loans with structured credit assessments, defeased and CTL loans,
and specially serviced and troubled loans. Moody's net cash flow
(NCF) reflects a weighted average haircut of 33.3% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 10.0%.
Moody's actual and stressed conduit DSCRs are 0.89X and 1.59X,
respectively, compared to 1.00X and 1.78X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 48.5% of the pool balance.
The largest loan is the Regal Cinema Loan ($6.35 million -- 24.1%
of the pool), which is secured by a standalone 20-screen movie
theatre in Augusta, Georgia. The theatre is leased through October
2019 to Regal Cinemas. Moody's incorporated a lit/dark analysis to
account for the single tenant risk of the property. The loan has
amortized 44% since securitization and matures in June 2019.
Moody's LTV and stressed DSCR are 64% and 1.70X, respectively,
compared to 56% and 1.93X at the last review.
The second largest loan is the Orchid Centre Loan ($3.52 million --
13.4% of the pool), which is secured by an unanchored 13-unit
retail center located in McKinney, Texas. As of September 2016, the
property was 100% leased, up from 91% at yearend 2015. The loan has
amortized 20% since securitization and is scheduled to mature in
April 2019. Moody's LTV and stressed DSCR are 79% and 1.37X,
respectively, compared to 101% and 1.07X at the last review.
The third largest loan is the Heritage Plaza Shopping Center Loan
($2.88 million -- 10.9% of the pool), which is secured by a 10-unit
unanchored retail center in Grapevine, Texas. As of September 2016,
the property was 68% leased, compared to 38% at yearend 2015. The
loan is on the watchlist for low occupancy and per the borrower,
they are actively marketing the vacant spaces. Moody's has
identified this as a troubled loan due to the low occupancy.
LB-UBS COMMERCIAL 2006-C7: Fitch Withdraws D Rating on 16 Tranches
------------------------------------------------------------------
Fitch Ratings has withdrawn 16 already distressed classes of LB-UBS
Commercial Mortgage Trust (LBUBS) commercial mortgage pass-through
certificates series 2006-C7.
KEY RATING DRIVERS
The remaining classes rated 'Dsf' have been impacted by realized
losses and have been reduced to $0 except for class A-J. The $156
million A-J certificates, with an original balance of
$294.4 million, were reduced by $9.6 million due to realized losses
and paid down by $128.8 million in principal. The classes that
have been reduced to $0 have experienced non-recoverable realized
losses and are no longer considered by Fitch to be relevant to the
agency's coverage.
As of the December 2016 remittance, the transaction has 16 loans
remaining with a balance of $156 million. Of the remaining loans,
14 loans are in special servicing, which represents 77.4% of the
pool balance. Based on the high concentration of loans in special
servicing the A-J class is expected to take further losses.
The transaction has incurred $316.4 million in realized losses to
date representing 10.5% of the original pool balance. The loans
with the largest realized losses include the Arizona Retail
Portfolio with a $71.2 million loss (84% of loan balance),
Government Property Advisors Portfolio with a $37.7 million loss
(39% loss severity) and the 695/710 Route 46 loan with a $27.3
million loss (80% loss severity).
RATING SENSITIVITIES
The withdrawals reflect realized losses with no expected recovery
of any material amount of lost principal in the future.
Fitch has withdrawn these classes as indicated:
-- $156 million class A-J to 'WDsf' from 'Dsf'; RE 65%.
Fitch has also withdrawn the ratings on the following classes as a
result of realized losses. The trust balances have been reduced to
$0 or have experienced non-recoverable realized losses and are no
longer considered by Fitch to be relevant to the agency's coverage.
-- $0 class B to 'WDsf' from 'Dsf'; RE 0%;
-- $0 class C to 'WDsf' from 'Dsf'; RE 0%;
-- $0 class D to 'WDsf' from 'Dsf'; RE 0%;
-- $0 class E to 'WDsf' from 'Dsf'; RE 0%;
-- $0 class F to 'WDsf' from 'Dsf'; RE 0%;
-- $0 class G to 'WDsf' from 'Dsf'; RE 0%;
-- $0 class H to 'WDsf' from 'Dsf'; RE 0%;
-- $0 class J to 'WDsf' from 'Dsf'; RE 0%;
-- $0 class K to 'WDsf' from 'Dsf'; RE 0%;
-- $0 class L to 'WDsf' from 'Dsf'; RE 0%;
-- $0 class M to 'WDsf' from 'Dsf'; RE 0%;
-- $0 class N to 'WDsf' from 'Dsf'; RE 0%;
-- $0 class P to 'WDsf' from 'Dsf'; RE 0%;
-- $0 class Q to 'WDsf' from 'Dsf'; RE 0%;
-- $0 class S to 'WDsf' from 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-1A, A-AB, and A-M certificates have paid
in full. Fitch previously withdrew the rating on the X-CP, X-CL,
and X-W interest-only class IO certificates. Fitch does not rate
the class T certificates.
LIGHTPOINT VII: Moody's Affrims Ba3 Rating on Class D Notes
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by LightPoint CLO VII, Ltd.:
U.S.$25,000,000 Class B Deferrable Floating Rate Notes Due 2021,
Upgraded to Aaa (sf); previously on October 6, 2016 Upgraded to Aa1
(sf)
U.S.$18,000,000 Class C Deferrable Floating Rate Notes Due 2021,
Upgraded to A2 (sf); previously on October 6, 2016 Upgraded to Baa1
(sf)
Moody's also affirmed the ratings on the following notes:
U.S.$335,250,000 Class A-1 Floating Rate Notes Due 2021 (current
balance of $34,518,779.42), Affirmed Aaa (sf); previously on
October 6, 2016 Affirmed Aaa (sf)
U.S.$21,250,000 Class A-2 Floating Rate Notes Due 2021, Affirmed
Aaa (sf); previously on October 6, 2016 Affirmed Aaa (sf)
U.S.$17,000,000 Class D Deferrable Floating Rate Notes Due 2021,
Affirmed Ba3 (sf); previously on October 6, 2016 Affirmed Ba3 (sf)
LightPoint CLO VII, Ltd., issued in May 2007, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans. The transaction's reinvestment period ended in May
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 October 2016. The Class
A-1 notes have been paid down by approximately 55% or $42.6 million
since that time. Based on the trustee's December 2016 report, the
OC ratios for the Class A, Class B, Class C and Class D notes are
reported at 216.52%, 149.50%, 122.26%, and 104.30%, respectively,
versus October levels of 165.80%, 132.20%, 115.37% and 102.99%,
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
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 $9.1 million of par, Moody's
ran a sensitivity case defaulting those assets.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Moody's Adjusted WARF -- 20% (2199)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: +2
Class D: +1
Moody's Adjusted WARF + 20% (3299)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: -1
Class D: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analyzed the collateral pool as having a performing par and
principal proceeds balance of $122.8 million, no defaulted par, a
weighted average default probability of 15.31% (implying a WARF of
2749), a weighted average recovery rate upon default of 50.86%, a
diversity score of 19 and a weighted average spread of 3.04%.
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.
LIMEROCK CLO II: S&P Assigns Prelim. BB Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-1-R, B-2-R, C-1-R, and C-2-R replacement notes from Limerock
CLO II Ltd., a collateralized loan obligation (CLO) originally
issued in 2014 that is managed by INVESCO Senior Secured Management
Inc. The replacement notes will be issued via a proposed
supplemental indenture. The outstanding class D, E, and F notes
are unaffected by this proposed amendment.
The preliminary ratings on the proposed replacement notes reflect
S&P's opinion that the credit support available is commensurate
with the associated rating levels. S&P believes its rationale for
its November 2016 rating actions on the unaffected notes still
stands given the proposed amendment.
On the Jan. 18, 2017, refinancing date, the proceeds from the
issuance of the replacement notes are expected to redeem the
original notes. At that time, S&P anticipates withdrawing the
ratings on the original notes, assigning ratings to the replacement
notes, and affirming the ratings on the unaffected notes. However,
if the refinancing doesn't occur, S&P may affirm the ratings on the
original notes and withdraw its preliminary ratings on the
replacement notes.
CASH FLOW ANALYSIS RESULTS
Current date after proposed refinancing
Class Amount Interest BDR SDR Cushion
(mil. $) rate(%) (%) (%) (%)
A-R 406.25 L + 1.30 68.88 57.23 11.65
B-1-R 59.75 L + 1.75 63.89 49.74 14.14
B-2-R 20.00 3.6472 63.89 49.74 14.14
C-1-R 47.00 L + 2.55 53.30 44.02 9.27
C-2-R 1.50 4.6348 53.30 44.02 9.27
Effective date
Class Amount Interest BDR SDR Cushion
(mil. $) rate(%) (%) (%) (%)
A 406.25 L + 1.50 67.65 65.92 1.73
B-1 59.75 L + 2.10 63.86 58.23 5.63
B-2 20.00 4.3934 63.86 58.23 5.63
C-1 47.00 L + 2.85 54.47 52.43 2.04
C-2 1.50 5.1952 54.47 52.43 2.04
BDR--Break-even default rate.
SDR--Scenario default rate.
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.
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.
PRELIMINARY RATINGS ASSIGNED
Limerock CLO II Ltd.
Replacement class Rating Amount (mil. $)
A-R AAA (sf) 406.25
B-1-R AA (sf) 59.75
B-2-R AA (sf) 20.00
C-1-R A (sf) 47.00
C-2-R A (sf) 1.50
OUTSTANDING RATINGS
Limerock CLO II Ltd.
Class Rating
A AAA (sf)
B-1 AA (sf)
B-2 AA (sf)
C-1 A (sf)
C-2 A (sf)
D BBB (sf)
E BB (sf)
F B (sf)
Sub notes NR
NR--Not rated.
LONGFELLOW PLACE: 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 Longfellow Place CLO Ltd., a
collateralized loan obligation (CLO) originally issued in 2013 that
is managed by NewStar Capital LLC. S&P withdrew its ratings on the
original class A, B, and C notes following payment in full on the
Jan. 17, 2017, refinancing date. At the same time, S&P raised its
rating on the class D notes and affirmed its rating on the class E
notes.
On the Jan. 17, 2017, 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 its ratings on the
original notes in line with their full redemption, and we are
assigning ratings to the replacement notes.
The replacement notes are being issued via a supplemental indenture
and carry a lower spread over LIBOR than for the original notes.
Although classes D, E, and F were not refinanced, these classes
benefitted from a lower weighted average cost of debt and higher
available excess spread resulting from the refinancing. The
upgrade on class D reflects improvement in the
overcollateralization ratios and a reduction in the weighted
average life of the collateral pool since our July 2016 rating
action.
"Our 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 our criteria,
our cash flow scenarios applied forward-looking assumptions on the
expected timing and pattern of defaults, and recoveries upon
default, under various interest rate and macroeconomic scenarios.
In addition, our analysis considered the transaction's ability to
pay timely interest or ultimate principal, or both, to each of the
rated tranches," S&P said.
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
Longfellow Place CLO Ltd.
Replacement class Rating Amount (mil $)
A-R AAA (sf) 325.00
B-R AAA (sf) 52.00
C-R AA- (sf) 41.00
RATINGS WITHDRAWN
Longfellow Place CLO Ltd.
Rating
Original class To From
A NR AAA (sf)
B NR AA+ (sf)
C NR A+ (sf)
RATING RAISED
Rating
Class To From
D BBB+ (sf) BBB (sf)
RATING AFFIRMED
Class Rating
E BB (sf)
OTHER OUTSTANDING CLASSES
Class Rating
F NR
Subordinated notes NR
NR--Not rated.
MERRILL LYNCH 1997-C2: Fitch Affirms 'D' Rating on 2 Tranches
-------------------------------------------------------------
Fitch Ratings has affirmed four classes of Merrill Lynch Mortgage
Trust's commercial mortgage pass-through certificates, series
1997-C2 (MLMT 1997-C2).
KEY RATING DRIVERS
The affirmations reflect continued pay down and stable performance
since the last rating action. The pool has experienced
$23.3 million (3.4% of the original pool balance) in realized
losses to date. As of the January 2017 distribution date, there
are six loans remaining in the pool and the aggregate principal
balance has been reduced by 96.5% to $24.3 million from $686.3
million at issuance. None of the loans are in special servicing
and four of the loans are fully amortizing. Interest shortfalls are
currently affecting classes H through K.
Pool Concentration Risk: There are six loans in the pool. Pool
concentration remains a concern, particularly considering risk from
the Northlake Tower Festival (45% of the pool) loan, a Fitch Loan
of Concern.
Northlake Tower Festival: The subject property has experienced
occupancy declines with tenant rollover. The subject is in a weak
retail market and there is potential for future decline with
pending in-line tenant rollover in 2017.
Adverse Selection: Adverse selection is a concern due to
performance and balloon risk factors associated with the Northlake
Tower Festival and Brynn Marr Shopping Center loans. Exposure to
suburban and secondary/tertiary markets is also a concern for the
overall pool.
The largest loan (45% of the pool) is a 321,623 square foot (sf)
retail center located in Tucker, GA in the Atlanta metropolitan
statistical area (MSA). Property occupancy has steadily declined
to 64% as of year-to-date (YTD) 3Q 2016, compared to 72% and 84% as
of year-end (YE) 2015 and YE 2014, respectively. Previous anchor
tenants Toys R Us (formerly the largest tenant) and Bally Total
Fitness vacated the property in 2014. Per the January 2017 rent
roll, PetSmart is currently an anchor tenant with a lease that
expires in February 2018. The tenant recently extended their lease
one year and has historically renewed their lease annually. DSCR
was 0.70x as of YTD 3Q 2016, 0.64x as of YE 2015, and 1.06x as of
YE 2014. The loan's anticipated repayment date occurred in
December 2009; the final maturity date is December 2027 and the
borrower remains current on monthly payments. Fitch will continue
to monitor the loan's performance.
RATING SENSITIVITIES
Rating Outlooks on classes F and G are expected to remain Stable
based on the expectation that credit enhancement will increase due
to scheduled pay down from amortization and loan pay-offs at
maturity. Despite increasing credit enhancement, upgrades to
classes F and G are not warranted due to binary risk from pool
concentration and adverse selection risk; the largest loan
represents 45% of the overall pool and is a Fitch Loan of Concern.
Fitch affirms these classes:
-- $8.0 million class F at 'Asf'; Outlook Stable.
-- $6.9 million class G at 'Bsf'; Outlook Stable.
-- $9.3 million class H at 'Dsf'; RE 75%;
-- $0 class J at 'Dsf'; RE 0%.
The class A-1, A-2, B, C and D certificates have paid in full.
Fitch does not rate the class E and K certificates. Fitch
previously withdrew the rating on the interest-only class IO
certificates.
MERRILL LYNCH 2005-LC1: Moody's Affirms C Ratings on 3 Tranches
---------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on four classes
in Merrill Lynch Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2005-LC1 as follows:
Cl. H, Affirmed C (sf); previously on Feb 22, 2016 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Feb 22, 2016 Affirmed C (sf)
Cl. K, Affirmed C (sf); previously on Feb 22, 2016 Affirmed C (sf)
Cl. X, Affirmed Caa3 (sf); previously on Feb 22, 2016 Downgraded to
Caa3 (sf)
RATINGS RATIONALE
The ratings on three P&I classes were affirmed because the ratings
are consistent with Moody's expected loss.
The rating on one IO class was affirmed based on the credit
performance of its referenced classes.
Moody's rating action reflects a base expected loss of 64.6% of the
current balance, compared to 51.9% at Moody's last review. Moody's
base expected loss plus realized losses is now 4.3% of the original
pooled balance, compared to 4.8% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in October 2015.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 72% of the pool is in
special servicing and Moody's has identified one troubled loan
representing approximately 28% of the pool. In this approach,
Moody's determines a probability of default for each specially
serviced and troubled loan that it expects will generate a loss and
estimates a loss given default based on a review of broker's
opinions of value (if available), other information from the
special servicer, available market data and Moody's internal data.
The loss given default for each loan also takes into consideration
repayment of servicer advances to date, estimated future advances
and closing costs. Translating the probability of default and loss
given default into an expected loss estimate, Moody's then applies
the aggregate loss from specially serviced and troubled loans to
the most junior classes and the recovery as a pay down of principal
to the most senior classes.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based Large Loan Model. The large
loan model derives credit enhancement levels based on an
aggregation of adjusted loan-level proceeds derived from Moody's
loan-level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure and property type. Moody's also
further adjusts these aggregated proceeds for any pooling benefits
associated with loan level diversity and other concentrations and
correlations.
DEAL PERFORMANCE
As of the December 12, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $29.3 million
from $1.55 billion at securitization. The certificates are
collateralized by 7 mortgage loans ranging in size from less than
1% to 32% of the pool.
Twenty-six loans have been liquidated from the pool, resulting in
an aggregate realized loss of approximately $47.8 million (for an
average loss severity of 28%). Five loans, constituting 72.1% of
the pool, are currently in special servicing.
The largest specially serviced loan is the Presnell Portfolio II
Loan ($9.4 million -- 32.0% of the pool), which is secured by a
225,014 SF portfolio of five retail properties and one office
property in Indiana. The portfolio became REO in 2012, there is
only one remaining retail property that serves as collateral for
the portfolio. The property totals 97,923 SF and is located in
Greensburg, Indiana approximately 50 miles southeast of the
Indianapolis CBD. Moody's anticipates a significant loss on this
loan.
The remaining four specially serviced loans are secured by a mix of
property types. Moody's estimates a $13.9 million loss for the
specially serviced (66% expected loss on average).
The two loans not in special servicing represent approximately 28%
of the pool balance. The largest loan is the DRS Tactical Systems
Office Building Loan ($8.1 million -- 27.8% of the pool), which is
secured by a 105,000 SF, single tenant office property in
Melbourne, Florida. DRS Tactical Systems did not renew their lease
at expiration on January 31, 2016 and the property is currently
100% vacant. The loan has passed its anticipated repayment date in
January 2016 and is currently on the master servicer's watchlist.
Due to the vacancy, Moody's has identified this loan as a troubled
loan.
The other performing loan is the Kenmore Storefront Building Loan
($29,633 -- 0.1% of the pool), which is secured by a retail
property located in Kenmore, Washington, 20 miles northeast of
Seattle. The property was 100% leased as of October 2016 and has
amortized 97% since securitization. Moody's LTV and stressed DSCR
are 1% and 4.00X, respectively.
ML-CFC COMMERCIAL 2007-5: Fitch Lowers Rating on 2 Tranches to 'C'
------------------------------------------------------------------
Fitch Ratings has affirmed 13 and downgraded 2 classes of ML-CFC
Commercial Mortgage Trust commercial mortgage pass-through
certificates series 2007-5.
KEY RATING DRIVERS
The affirmations reflect stable performance and continued pay down
from loan maturities since the last rating action. The downgrades
reflect deterioration in credit enhancement from recent loan
dispositions, risk from pending maturities, adverse selection, and
potential additional loan defaults. Fitch modeled losses of 27.4%
of the remaining pool; expected losses on the original pool balance
total 12.7%, including $360 million (8.1% of the original pool
balance) in realized losses to date. Fitch has designated 32 loans
(47.5% of the pool) as Fitch Loans of Concern, which includes 19
specially serviced assets (32.7% of the pool).
As of the December 2016 distribution date, the pool's aggregate
principal balance has been reduced by 83.1% to $751 million from
$4.44 billion at issuance. Per the servicer reporting, five loans
(3.7% of the pool) are defeased. There are currently 81 loans
remaining in the pool with the top 10 loans accounting for 50.2%;
the largest loan represents 14.7% of the pool. Remaining
maturities are concentrated in 1Q 2017, representing 66.8% of the
pool excluding the specially serviced loans. Interest shortfalls
are currently affecting classes AJ through Q.
Upcoming Maturities: There are near-term maturities for the
majority of the pool creating a risk that loans will fail to pay
off at maturity.
Adverse Selection: The higher quality assets will likely pay-off at
maturity while the lower quality assets transfer to special
servicing, creating the potential for interest shortfalls.
Specially Serviced Loans: The percentage of specially serviced
loans in the pool (currently 32.7%) is expected to increase as
loans fail to pay off at maturity.
The largest contributor to expected losses is the specially
serviced HSA Memphis Industrial Portfolio loan (8.3% of the pool).
At issuance the loan was secured by 15 industrial/flex/office
buildings (1,586,544 sf) located in Memphis, TN. The loan
transferred to special servicing in September 2010 due to imminent
monetary default and foreclosure was held in October 2011. One of
the properties was sold in late 2013, five of the properties were
sold in early 2014, and four of the buildings were sold in late
2014 leaving five properties as the remaining collateral as of the
last rating action. Proceeds from the previous property sales were
applied to servicing advances and delinquent P&I payments.
Liquidation of the remaining loans in the portfolio is imminent.
Limited to no recovery is anticipated on the outstanding principal
balance.
RATING SENSITIVITIES
Rating Outlooks on classes AM and AM-FL are expected to remain
Stable as it is anticipated that credit enhancement will increase
due to scheduled pay down from amortization and loans that are
anticipated to pay off at maturity. The distressed classes are
subject to further downgrades as losses are realized. Upgrades are
considered unlikely as any additional paydown will be offset by
increasing pool concentrations and adverse selection.
Fitch downgrades these classes:
-- $211.5 million class AJ to 'Csf' from 'CCCsf'; RE 80%;
-- $175 million class AJ-FL to 'Csf' from 'CCCsf'; RE 80%.
Fitch affirms these classes:
-- $176.2 million class AM at 'Asf'; Outlook Stable;
-- $51.5 million class AM-FL at 'Asf'; Outlook Stable;
-- $77.3 million class B at 'Csf'; RE 0%;
-- $33.1 million class C at 'Csf'; RE 0%;
-- $23.4 million class D at 'Dsf'; RE 0%;
-- $3 million class E at 'Dsf'; RE 0%;
-- $0 class F at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%.
The class A-1, A-2, A-2FL, A-2FX, A-3, A-SB, A-4, A-4FL, and A-1A
certificates have paid in full. Fitch does not rate the class M, P
and Q certificates. Fitch previously withdrew the rating on the
interest-only class X certificates.
MORGAN STANLEY 2004-TOP13: Moody's Hikes Class L Debt to Ba3
------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on five classes,
upgraded the ratings on five classes and downgraded the rating on
one class in Morgan Stanley Capital I Trust 2004-TOP13 as follows:
Cl. E, Affirmed Aaa (sf); previously on Jan 28, 2016 Affirmed Aaa
(sf)
Cl. F, Affirmed Aaa (sf); previously on Jan 28, 2016 Affirmed Aaa
(sf)
Cl. G, Affirmed Aaa (sf); previously on Jan 28, 2016 Upgraded to
Aaa (sf)
Cl. H, Upgraded to Aaa (sf); previously on Jan 28, 2016 Upgraded to
Aa2 (sf)
Cl. J, Upgraded to Baa1 (sf); previously on Jan 28, 2016 Upgraded
to Baa2 (sf)
Cl. K, Upgraded to Baa3 (sf); previously on Jan 28, 2016 Upgraded
to Ba1 (sf)
Cl. L, Upgraded to Ba3 (sf); previously on Jan 28, 2016 Upgraded to
B1 (sf)
Cl. M, Upgraded to Caa1 (sf); previously on Jan 28, 2016 Affirmed
Caa2 (sf)
Cl. N, Affirmed Ca (sf); previously on Jan 28, 2016 Affirmed Ca
(sf)
Cl. O, Affirmed C (sf); previously on Jan 28, 2016 Affirmed C (sf)
Cl. X-1, Downgraded to B3 (sf); previously on Jan 28, 2016
Downgraded to B2 (sf)
RATINGS RATIONALE
The ratings on three investment grade P&I classes were affirmed
because the transaction's key metrics, including Moody's
loan-to-value (LTV) ratio, Moody's stressed debt service coverage
ratio (DSCR) and the transaction's Herfindahl Index (Herf), are
within acceptable ranges. The ratings on Classes N and O were
affirmed because the ratings are consistent with Moody's expected
loss.
The ratings on five the P&I classes were upgraded based primarily
on an increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 16.9% since Moody's last
review.
The rating on the IO class, Class X-1, was downgraded due to the
decline in the credit performance of its reference classes
resulting from principal paydowns of higher quality reference
classes.
Moody's rating action reflects a base expected loss of 0.9% of the
current balance, compared to 1.9% at Moody's last review. Moody's
base expected loss plus realized losses is now 0.9% of the original
pooled balance, compared to 1.0% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodologies used in these ratings were "Approach to
Rating US and Canadian Conduit/Fusion CMBS" published in December
2014, and "Moody's Approach to Rating Large Loan and Single
Asset/Single Borrower CMBS" published in October 2015. Please see
the Rating Methodologies page on www.moodys.com for a copy of these
methodologies.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based CMBS Conduit Model, which it
uses for both conduit and fusion transactions. Credit enhancement
levels for conduit loans are driven by property type, Moody's
actual and stressed DSCR, and Moody's property quality grade (which
reflects the capitalization rate Moody's uses to estimate Moody's
value). Moody's fuses the conduit results with the results of its
analysis of investment grade structured credit assessed loans and
any conduit loan that represents 10% or greater of the current pool
balance.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 8, compared to 10 at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model and then reconciles and weights the results from the
conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure and property
type. Moody's also further adjusts these aggregated proceeds for
any pooling benefits associated with loan level diversity and other
concentrations and correlations.
DEAL PERFORMANCE
As of the December 13, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 94.7% to $63.8
million from $1.2 billion at securitization. The certificates are
collateralized by 24 mortgage loans ranging in size from less than
1% to 18.7% of the pool, with the top ten loans constituting 80.1%
of the pool. Five loans, constituting 11.7% of the pool, have
defeased and are secured by US government securities.
Three loans, constituting 19.8% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Ten loans have been liquidated from the pool with a loss, resulting
in an aggregate realized loss of approximately $10 million (for an
average loss severity of 11.5%). No loans are currently in special
servicing.
Moody's received full year 2015 operating results for 70% of the
pool. Moody's weighted average conduit LTV is 52% compared to 51%
at last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 12% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.8%.
Moody's actual and stressed conduit DSCRs are 1.73X and 3.57X,
respectively, compared to 1.80X and 3.16X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The loan with a structured credit assessment is the Gallup
Headquarters Loan ($7.6 million -- 12% of the pool), which is
secured by a 296,000 square foot (SF) office building located in
Omaha, Nebraska. The property is 100% leased to Gallup, Inc. under
a triple net lease that expires in October 2018. The lease
expiration is co-terminus with the loan's maturity date. The loan
has amortized approximately 77% since securitization and Moody's
structured credit assessment and stressed DSCR are aa1 (sca.pd) and
>4.00X, respectively.
The top three conduit loans represent 47.4% of the pool balance.
The largest loan is the Highlander Plaza Loan ($11.9 million --
18.7% of the pool), which is secured by a 161,600 SF
grocery-anchored retail property in Salem, Massachusetts. The
anchor is Shaw's Supermarket, which leases approximately 39% of the
NRA through February 2021. As of June 2016, the property was 100%
leased, the same as at last review. After an initial ten year
interest-only period, the loan is now benefitting from a 30-year
amortization schedule. Moody's LTV and stressed DSCR are 50% and
1.93X, respectively.
The second largest loan is the Faisal Apartment Portfolio Loan
($10.2 million -- 16% of the pool), which is secured by a portfolio
of multifamily buildings totaling 116 units and built between 1899
and 1940. The properties are located in the Allston-Brighton and
South End sections of Boston as well as in Brookline,
Massachusetts. The majority of tenants are students with leases
that run from September 1 through August 31. Moody's LTV and
stressed DSCR are 80% and 1.28X, respectively.
The third largest loan is the Highlands Village Center Loan ($8.1
million -- 12.7% of the pool), which is secured by a retail
property in Basking Ridge, New Jersey. The largest tenant is Rite
Aid, which leases approximately 18% of the NRA through October
2019. This loan had an original 15 year term and is benefitting
from a 25-year amortization schedule. Moody's LTV and stressed DSCR
are 81% and 1.26X, respectively, compared to 85% and 1.21X at the
last review.
MORGAN STANLEY 2014-C14: Fitch Affirms 'B-' Rating on Cl. G Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of Morgan Stanley Bank of
America Merrill Lynch Trust, Series 2014-C14 (MSBAM 2014-C14)
commercial mortgage pass-through certificates.
KEY RATING DRIVERS
The affirmations reflect overall stable pool performance. All of
the loans are current, as of the December 2016 distribution date,
with no material changes to overall pool metrics. There is one
Fitch Loan of Concern (3.5% of the pool), which Fitch will continue
to monitor going forward.
Fitch Loan of Concern: Aspen Heights - Columbia (3.5%) is currently
under cash management due to poor performance. Per the servicer,
the trailing-12-month (TTM) January 2016 DSCR was reported at
0.73x. However, the property was 90.2% occupied as of the Sept.
30, 2016, rent roll, which was an improvement over the servicer
reported January 2016 occupancy of 77%.
Pool Concentration: The top three loans in the pool represent 26.7%
of the total pool balance, which is among the highest
concentrations for similar vintage transactions. The top 10 loans
in the pool represent 55.5% of the total pool balance.
Large Hotel and Multifamily Concentration: Hotels comprise a high
percentage of the pool at 20.7%. Multifamily represents 28.4%
(including manufactured housing).
Interest Only Loans: The transaction has a significant
concentration of full (23.5%) and partial interest only loans
(48.9%). As of the December 2016 remittance report, the
transaction had amortized by only 1.95% since issuance.
RATING SENSITIVITIES
The Negative Outlook to class G primarily reflects concern over the
performance of Aspen Heights - Columbia; should performance
continue to decline, this class could be subject to downgrade.
Rating Outlooks for classes A-1 through F remain Stable due to the
pool's otherwise overall stable performance and expected improved
future amortization. Upgrades may occur with improved pool
performance and additional paydown or defeasance. Downgrades to
the classes are possible should an asset level or economic event
cause a decline in pool performance.
Fitch has affirmed these ratings and revised Rating Outlooks as
indicated:
Morgan Stanley Bank of America Merrill Lynch Trust, Series
2014-C14
-- $30,306,841 class A-1 at 'AAAsf'; Outlook Stable;
-- $295,600,000 class A-2 at 'AAAsf'; Outlook Stable;
-- $90,400,000 class A-SB at 'AAAsf'; Outlook Stable;
-- $173,800,000 class A-3 at 'AAAsf'; Outlook Stable;
-- $160,000,000 class A-4 at 'AAAsf'; Outlook Stable;
-- $256,038,000 class A-5 at 'AAAsf'; Outlook Stable;
-- Interest-only class X-A at 'AAAsf'; Outlook Stable;
-- $114,593,000 class A-S* at 'AAAsf'; Outlook Stable;
-- $81,324,000 class B* at 'AA-sf'; Outlook Stable;
-- $264,304,000 class PST* at 'A-sf'; Outlook Stable;
-- $68,387,000 class C* at 'A-sf'; Outlook Stable;
-- Interest-only X-B at 'AA-sf'; Outlook Stable;
-- $66,538,000 class D at 'BBB-sf'; Outlook Stable;
-- $20,331,000 class E at 'BB+sf'; Outlook Stable;
-- $16,635,000 class F at 'BB-sf'; Outlook Stable;
-- $12,938,000 class G at 'B-sf'; Outlook to Negative from
Stable.
*Class A-S, B and C certificates may be exchanged for class PST
certificates, and class PST certificates may be exchanged for class
A-S, B and C certificates. Fitch does not rate the $62,841,800
class H or the interest-only class X-C.
MORGAN STANLEY 2015-C21: Fitch Affirms 'B-' Rating on Cl. F Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of Morgan Stanley Bank of
America Merrill Lynch Commercial Mortgage Trust, commercial
mortgage pass-through certificates, series 2015-C21 (MSBAM
2015-C21).
KEY RATING DRIVERS
Stable Performance with No Material Changes: All of the loans are
current, as of the December 2016 distribution date, with no
material changes to pool metrics. As property level performance is
generally in line with issuance expectations, the original rating
analysis was considered in affirming the transaction.
Loans of Concern: Fitch has designated five loans (11.1% of the
pool) as Loans of Concern, two of which are in the top 15 (8.6%).
The fifth largest loan, Fontainebleau Park Plaza loan (5.7%),
reported a low NOI DSCR of 0.99x at YE 2015, but has since
increased to 1.16x for the first six months of 2016 as rent
concessions of newly executed tenants have burned off. The ninth
largest loan, Briarwood Office loan (2.9%), has upcoming lease
rollover concern related to large in-place tenants.
Lower Fitch Leverage: At issuance, the pool's Fitch DSCR and LTV
was 1.24x and 103.6%, respectively, which is better than the 2014
average of 1.19x and 106.2%, respectively.
Above-Average Amortization: The pool is scheduled to amortize by
13.5% of the initial pool balance prior to maturity, which was
above the 2014 average of 12%. There are 31 loans (42.2% of pool)
with partial interest-only periods, seven loans (28.7%) that are
full-term interest only and one loan (3.4%) that is fully
amortizing. The remaining 25 loans (25.7%) are amortizing balloon
loans with loan terms of five to 10 years. All of the partial
interest-only loans are still in their interest-only periods.
Additional Subordinate Debt: Three loans (15% of pool), all of
which are in the top 10, have subordinate debt in place. These
loans include 555 11th Street NW (7%), which has a $30 million
senior B-note, a $57 million junior B-note and $50 million in
mezzanine debt; Cumberland Cove Apartments (5.1%), which has $7
million in mezzanine debt; and Briarwood Office (2.9%), which has
$4.5 million in mezzanine debt.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable due to overall
stable pool performance. 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.
Fitch has affirmed these ratings:
-- $23.7 million class A-1 at 'AAAsf'; Outlook Stable;
-- $25 million class A-2 at 'AAAsf'; Outlook Stable;
-- $72.2 million class A-SB at 'AAAsf'; Outlook Stable;
-- $205 million class A-3 at 'AAAsf'; Outlook Stable;
-- $274.3 million class A-4 at 'AAAsf'; Outlook Stable;
-- $64.3 million (b) class A-S at 'AAAsf'; Outlook Stable;
-- $664.5 million (a) class X-A at 'AAAsf'; Outlook Stable;
-- $39.2 million (b) class B at 'AAsf'; Outlook Stable;
-- $39.2 million (a)(c) class X-B at 'AAsf'; Outlook Stable;
-- $53.4 million (b) class C at 'A-sf'; Outlook Stable;
-- $156.8 million (b) class PST at 'A-sf'; Outlook Stable;
-- $41.4 million (c) class D at 'BBB-sf'; Outlook Stable;
-- $19.6 million (c) class E at 'BB-sf'; Outlook Stable;
-- $19.6 million (a)(c) class X-E at 'BB-sf'; Outlook Stable;
-- $8.7 million (c) class F at 'B-sf'; Outlook Stable;
-- $11.7 million (c)(d) class 555A at 'BBB-sf'; Outlook Stable.
(a) Notional amount and interest-only.
(b) Class A-S, B and C certificates may be exchanged for class
PST certificates, and class PST certificates may be
exchanged for class A-S, B, and C certificates.
(c) Privately placed and pursuant to Rule 144A.
(d) The 555A and 555B certificates represent the beneficial
interests in the 555 11th NW Street nonpooled senior B Note.
Fitch does not rate the class X-FG, X-H, G, H or 555B certificates.
RACE POINT VI: S&P Affirms 'BB' Rating on Class E Notes
-------------------------------------------------------
S&P Global Ratings raised its ratings on the class B-R, C-R, and
D-R notes from Race Point VI CLO Ltd. At the same time, S&P
affirmed its ratings on the class A-R and E notes from the same
transaction. S&P also removed the ratings on the class B-R, C-R,
D-R, and E notes from CreditWatch, where S&P had placed them with
positive implications on Oct. 27, 2016. Race Point VI CLO Ltd. is
a U.S. collateralized loan obligation (CLO) managed by Sankaty
Advisors LLC.
The rating actions follow S&P's review of the transaction's
performance using data from the Dec. 13, 2016, trustee report.
The upgrades reflect the transaction's $70.7 million in paydowns to
the class A-R notes since S&P's August 2014 rating actions. The
class A-R notes have paid down to 70.9% of the original outstanding
balance. On the November 2016 payment date, $44.51 million of
principal proceeds were paid to the A-R notes while $16.03 million
of principal proceeds were held by the collateral manager to
reinvest. The transaction documents allow the collateral manager
to invest principal proceeds received from credit risk obligations,
credit improved obligations, and unscheduled principal payments
after the end of the reinvestment period, which ended on May 24,
2016. The paydowns resulted in improved and stable
overcollateralization (O/C) ratios since the July 2014 trustee
report, which S&P used for its previous rating actions:
-- The class A-R/B-R O/C ratio improved to 139.48% from
132.82%.
-- The class C-R O/C ratio improved to 124.23% from 121.40%.
-- The class D-R O/C ratio improved to 115.69% from 114.74%.
-- The class E O/C ratio decreased to 108.98% from 109.36%.
The collateral portfolio's credit quality has slightly deteriorated
since S&P's last rating actions, as evidenced by an increase in
'CCC' collateral. Collateral obligations with ratings in the 'CCC'
category have increased, with $19.47 million reported as of the
December 2016 trustee report, compared with $8.36 million reported
as of the July 2014 trustee report. However, over the same period,
the par amount of defaulted collateral has decreased to none from
$3.80 million. Additionally, despite the larger concentrations in
the 'CCC' category, the transaction has benefited from a drop in
the weighted average life due to the underlying collateral's
seasoning, with 3.95 years reported as of the December 2016 trustee
report, compared with 5.15 years reported at the time of our August
2014 rating actions. When comparing the trustee reports over the
same period, the transaction has lost some par on the collateral
portfolio, which contributed to the slight decline in the
junior-most O/C ratio.
The upgrades reflect the improved credit support at the prior
rating levels; 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.
RATINGS RAISED AND REMOVED FROM CREDITWATCH
Race Point VI CLO Ltd.
Rating
Class To From
B-R AAA (sf) AA/Watch Pos
C-R AA (sf) A/Watch Pos
D-R BBB+ (sf) BBB/Watch Pos
RATING AFFIRMED AND REMOVED FROM CREDITWATCH
Race Point VI CLO Ltd.
Rating
Class To From
E BB (sf) BB/Watch Pos
RATING AFFIRMED
Race Point VI CLO Ltd.
Class Rating
A-R AAA (sf)
TRADEWYND RE 2014-1: Fitch Affirms 'B' Rating on Cl. 3-B Notes
--------------------------------------------------------------
Fitch Ratings has affirmed the Tradewynd Re Ltd. Series 2014-1
principal-at-risk, variable rate notes as:
-- $100,000,000 class 3-A notes expected to mature Jan. 8, 2018
at 'BB-sf'; Outlook Stable;
-- $300,000,000 class 3-B notes expected to mature Jan. 8, 2018
at 'Bsf'; Outlook Stable.
KEY RATING DRIVERS
The notes are exposed primarily to named storm and earthquake peril
losses in the North American region as reported by various
insurance subsidiaries or affiliates of American International
Group, Inc. (AIG).
There were no reported Covered Events that exceeded the Initial
Attachment Levels of the class 3-A and class 3-B notes within the
Annual Risk Period from Jan. 1, 2016, through Dec. 31, 2016. All
interest was paid when due and there was no reduction in the
Original Principal Amount. Fitch is not aware of any document
amendments.
On Dec. 7, 2016, Risk Management Solutions, Inc. (RMS), acting as
the Reset Agent, determined the modeled final annual attachment
probabilities of the class 3-A and class 3-B notes to be 1.62% and
3.54% for the final Annual Risk Period that commences on Jan. 1,
2017 through Dec. 31, 2017. These probabilities correspond to
implied ratings of 'BB-' and 'B', respectively, per the calibration
table listed in Fitch's 'Insurance-Linked Securities Methodology'.
The prior attachment probabilities were 1.60% and 3.67%,
respectively.
The variable Risk Interest Spreads will increase to 5.40% from the
last year's 5.31% for the class 3-A notes while the class 3-B notes
will decrease to 7.43% from last year's 7.45%. The reset formula
reflects the Updated Sensitivity Case Annual Modeled Expected
Losses to 1.47% (from 1.42%) for the class 3-A notes and 2.68%
(from 2.69%) for the class 3-B notes.
These results use updated property exposure data as of June 30,
2016 and inuring reinsurance as of Sept. 15, 2016, within the
Subject Business in the Covered Area using an escrowed RMS model.
The Updated Attachment and Exhaustion Levels remain unchanged at
$4.5 billion and $5.5 billion for the class 3-A notes and $3.0
billion and $4.5 billion for the class 3-B notes.
AIG has a Fitch IDR of 'A-', Stable Outlook and pays a significant
portion of the interest on the notes. The Reinsurance Agreement
issued by Tradewynd Re follows the fortunes of AIG.
The proceeds of the notes are retained in the Reinsurance Trust
Account whose Permitted Investments remain in highly-rated money
market funds. The yield on these permitted investments supplement
the interest on the notes and pay any principal when due.
RATING SENSITIVITIES
This rating is sensitive to the occurrence of a qualifying natural
catastrophe event(s), the counterparty rating of AIG and the rating
or performance on the assets held in the collateral account.
If a qualifying covered event occurs that results in a loss of
principal, Fitch will downgrade the note to reflect an effective
default and issue a Recovery Rating.
A qualifying covered event may cause the maturity of the two notes
to be extended for another 36 months.
The escrow model may not reflect future enhancements by RMS which
may have an adverse or beneficial effect on the implied rating of
the notes were such enhancements considered.
VOYA CLO V: Moody's Hikes Class C Notes Rating From Ba2(sf)
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Voya CLO V, Ltd.:
US$26,000,000 Class B Deferrable Floating Rate Notes due 2022,
Upgraded to Aaa (sf); previously on August 17, 2016 Upgraded to Aa1
(sf)
US$21,000,000 Class C Deferrable Floating Rate Notes due 2022,
Upgraded to A2 (sf); previously on August 17, 2016 Upgraded to Baa1
(sf)
US$10,000,000 Class D Deferrable Floating Rate Notes due 2022,
Upgraded to Baa3(sf); previously on August 17, 2016 Affirmed Ba2
(sf)
Moody's also affirmed the ratings on the following notes:
US$300,000,000 Class A-1a Floating Rate Notes due 2022 (current
outstanding balance of $16,542,511.63), Affirmed Aaa (sf);
previously on August 17, 2016 Affirmed Aaa (sf)
US$80,000,000 Class A-1b Floating Rate Notes due 2022, Affirmed Aaa
(sf); previously on August 17, 2016 Affirmed Aaa (sf)
US$25,000,000 Class A-2 Floating Rate Notes due 2022, Affirmed Aaa
(sf); previously on August 17, 2016 Affirmed Aaa (sf)
Voya CLO V, Ltd., issued in August 2007, is a collateralized loan
obligation (CLO) backed primarily by a portfolio of senior secured
loans. The transaction's reinvestment period ended in July 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 August 2016. The Class
A-1a notes have been paid down by approximately 76.2% or $53
million since then. Based on the trustee's December 2016 report,
the OC ratios for the Class A, Class B, Class C and Class D notes
are reported at 165.1%, 136.0%, 119.0% and 112.4%, respectively,
versus August 2016 levels of 145.3%, 126.5%, 114.5% and 109.5%,
respectively. The deal currently holds approximately $24 million in
principal proceeds which will be paid to the Class A-1 notes on the
February 2017 payment date.
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 collateral sales by the manager, which could have a significant
impact on the notes' ratings. Note repayments that are faster than
Moody's current expectations will usually have a positive impact on
CLO notes, beginning with those with the highest payment priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets reported by the trustee and those that Moody's
assumes as having defaulted could result in volatility in the
deal's OC levels. Further, the timing of recoveries and whether a
manager decides to work out or sell defaulted assets create
additional uncertainty. Moody's analyzed defaulted recoveries
assuming the lower of the market price and the recovery rate in
order to account for potential volatility in market prices.]
Realization of higher than assumed recoveries would positively
impact the CLO.
6) Long-dated assets: The presence of assets that mature after the
CLO's legal maturity date exposes the deal to liquidation risk on
those assets. This risk is borne first by investors with the lowest
priority in the capital structure. Moody's assumes that the
terminal value of an asset upon liquidation at maturity will be
equal to the lower of an assumed liquidation value (depending on
the extent to which the asset's maturity lags that of the
liabilities) or the asset's current market value.
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% (2169)
Class A-1a: 0
Class A-1b: 0
Class A-2: 0
Class B: 0
Class C: +2
Class D: +2
Moody's Adjusted WARF + 20% (3253)
Class A-1a: 0
Class A-1b: 0
Class A-2: 0
Class B: -1
Class C: -2
Class D: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analyzed the collateral pool as having a performing par and
principal proceeds balance of $199.4 million, defaulted par of $1.3
million, a weighted average default probability of 15.98% (implying
a WARF of 2711), a weighted average recovery rate upon default of
50.43%, a diversity score of 38 and a weighted average spread of
3.32% (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. Moody's generally applies recovery
rates for CLO securities as published in "Moody's Approach to
Rating SF CDOs". In some cases, alternative recovery assumptions
may be considered based on the specifics of the analysis of the CLO
transaction. In each case, historical and market performance and
the collateral manager's latitude for trading the collateral are
also factors.
WACHOVIA BANK 2005-C21: Fitch Affirms 'C' Rating on 2 Tranches
--------------------------------------------------------------
Fitch Ratings has affirmed 11 classes of Wachovia Bank Commercial
Mortgage Trust (WBCMT) commercial mortgage pass-through
certificates series 2005-C21.
KEY RATING DRIVERS
Stable Loss Expectations: The affirmations reflect the
transaction's stable performance since Fitch's last review. Fitch
modeled losses of 34.0% of the remaining pool; expected losses on
the original pool balance total 5.95%, including $62.2 million
(1.9% of the original pool balance) in realized losses to date.
Fitch Loans of Concern (FLOC): Nine (96.7% of the pool balance) of
the 13 remaining loans have been identified as FLOC's, including
six loans (54%) currently in special servicing. Non-specially
serviced FLOC's include high leverage modified debt, and single
tenant properties with tertiary market exposure.
Pool Concentration: The pool is highly concentrated, with only 13
out of the original 231 loans remaining. One loan is fully
defeased (0.7%), and the remaining 12 loans are secured by 20
properties. The top three loans account for 62% of the pool with
largest loan, Metropolitan Square, at 32% of current pool balance.
As of the December 2016 distribution date, the pool's aggregate
principal balance has been reduced by 88.1% to $385.6 million from
$3.25 billion at issuance. Interest shortfalls are currently
affecting classes H through N, and class P. Of the seven
non-specially serviced loans, five are fully amortizing and mature
between August 2020 and October 2030 (3.5% of the pool). The
largest loan is scheduled to mature in August 2017 (32.2%), and one
loan has passed its anticipated repayment date (ARD) and is
hyper-amortizing with a scheduled maturity in September 2035
(10.1%).
The largest loan in special servicing is the NGP Rubicon GSA Pool,
the second largest loan in the pool (17.2%). The total debt
exposure for the portfolio is $132.6 million split between two
identical pari passu notes in the subject transaction and the WBCMT
2005-C20 transaction. The loan is currently secured by nine office
properties located across eight states, with over 1.26 million
square feet (sf) specifically built or tenanted by the General
Services Administration (GSA) representing various GSA agencies.
Per the latest property rent rolls, the combined portfolio is 79.7%
leased as of November 2016, with one property (14% of total net
rentable area [NRA]) completely vacant.
Originally secured by 14 properties, the loan was partially
defeased in October 2014 with the release of four properties. The
loan transferred to special servicing in June 2015 due to maturity
default and subsequently a forbearance agreement was executed with
the borrower to allow additional time to market and sell the
remaining 10 properties. The largest property in the portfolio, a
1 million sf office building in Burlington, NJ, was sold in
December 2015 with net proceeds applied to the outstanding debt.
Three properties located in Philadelphia, PA, Norfolk, VA, and
Providence, RI are currently being marketed for sale with expected
closings in first quarter 2017.
The largest contributor to expected losses is the specially
serviced 6116 Executive Boulevard loan (12.7% of the pool), which
is secured by a 207,055 sf office building in Rockville, MD. The
collateral transferred to special servicing in January 2014 for
imminent default following the November 2013 lease expirations and
vacancy of the GSA, National Institute of Health (NIH) (90% of the
net rentable area [NRA]). The loan had gone into payment default
in July 2014, and subsequently became real estate owned (REO) in
February 2015. According to the servicer, the property is
completely vacant and there are no pending leases.
The second largest contributor to expected losses is the specially
serviced Park Place II loan (11.6%), which is secured by a 253,764
sf anchored retail center in Sacramento, CA. The property is
anchored by Kohl's (34% NRA) and Marshalls (11.6%). The collateral
transferred to special servicing in January 2012 after experiencing
cash flow issues and inability to recover from large tenant
vacancies in January 2009 (Borders Books) and December 2011 (Bed
Bath & Beyond). The collateral became REO in April 2013, and the
servicer continues to market the vacant space and stabilize the
asset. Per the November 2016 rent roll, the property is 65%
occupied which includes two new leases (10.3% NRA) signed since
July 2016.
The third largest contributor to expected losses is the
Metropolitan Square loan (32.2%), the largest loan in the pool,
which is secured by a 1 million sf office tower in St. Louis, MO.
The loan had previously transferred to special servicing in August
2012, and was subsequently modified in November 2012 and returned
to the master servicer in March 2013. The loan has remained
current under the modified terms, which included an interest rate
reduction and an extension of the interest-only period and maturity
date to August 2017. The September 2016 rent roll reported
occupancy at 78%, in-line with the St. Louis Downtown submarket
which Reis reports at 22.6% vacancy. The property's largest tenant
is Bryan Cave LLP (23.6% NRA) whose lease expires in June 2022.
The second largest tenant is the Bi-State Development Agency (d/b/a
Metro Transit) occupying 75,000 sf (7.5% NRA), starting in August
2015 and expiring in August 2037. Net operating income (NOI) debt
service coverage ratio (DSCR) reported at 1.51x as of year-to-date
September 2016, compared to 1.49x at year end (YE) 2015 and 1.60x
YE 2014.
RATING SENSITIVITIES
The Rating Outlooks on classes A-J through E are considered Stable
due to sufficient credit enhancement and continued paydown. The
Outlook on class F remains Negative due to concerns as to the
timing and ultimate resolutions of the specially serviced loans. In
addition, the Negative Outlooks reflect concerns surrounding the
non-specially serviced loans including previously modified debt and
single-tenant occupancy, coupled with secondary and tertiary market
exposure, and pool concentration with only 13 loans remaining.
Class F could be subjected to downward rating migration should
realized losses exceed Fitch's expectation on the specially
serviced assets, or performance declines on the non-specially
serviced assets. Upgrades to the senior classes are possible if
loans dispose with better than anticipated recoveries or with
additional paydown.
Fitch has affirmed these ratings and revised Rating Outlooks as
indicated:
-- $13.1 million class A-J at 'AAAsf'; Outlook Stable;
-- $65 million class B at 'AAAsf'; Outlook Stable;
-- $32.5 million class C at 'AAsf'; Outlook Stable;
-- $60.9 million class D at 'BBBsf'; Outlook Stable;
-- $36.6 million class E at 'BBsf'; Outlook to Stable from
Negative;
-- $40.6 million class F at 'Bsf'; Outlook Negative;
-- $32.5 million class G at 'CCCsf'; RE 20%;
-- $40.6 million class H at 'CCsf'; RE 0%;
-- $16.3 million class J at 'CCsf'; RE 0%;
-- $16.3 million class K at 'Csf'; RE 0%;
-- $16.3 million class L at 'Csf'; RE 0%.
The class A-1, A-2PFL, A-2C, A-3, A-PB, A-4, A-1A, and A-M
certificates have paid in full. Fitch does not rate the class M,
N, O and P certificates. Fitch previously withdrew the rating on
the interest-only class IO certificate.
WACHOVIA BANK 2007-C30: Moody's Cuts Ratings on 2 Tranches to B3
----------------------------------------------------------------
Moody's Investors Service upgraded two classes, affirmed fifteen
and downgraded two classes of Wachovia Bank Commercial Mortgage
Trust, Commercial Mortgage Pass-Through Certificates, Series
2007-C30 as follows:
Cl. A-5, Affirmed Aaa (sf); previously on Jan 28, 2016 Upgraded to
Aaa (sf)
Cl. A-1A, Affirmed Aaa (sf); previously on Jan 28, 2016 Upgraded to
Aaa (sf)
Cl. A-M, Upgraded to Aa2 (sf); previously on Jan 28, 2016 Upgraded
to A1 (sf)
Cl. A-MFL, Upgraded to Aa2 (sf); previously on Jan 28, 2016
Upgraded to A1 (sf)
Cl. A-J, Affirmed B1 (sf); previously on Jan 28, 2016 Upgraded to
B1 (sf)
Cl. B, Affirmed B2 (sf); previously on Jan 28, 2016 Upgraded to B2
(sf)
Cl. C, Affirmed Caa1 (sf); previously on Jan 28, 2016 Upgraded to
Caa1 (sf)
Cl. D, Affirmed Caa2 (sf); previously on Jan 28, 2016 Upgraded to
Caa2 (sf)
Cl. E, Affirmed C (sf); previously on Jan 28, 2016 Confirmed at C
(sf)
Cl. F, Affirmed C (sf); previously on Jan 28, 2016 Affirmed C (sf)
Cl. G, Affirmed C (sf); previously on Jan 28, 2016 Affirmed C (sf)
Cl. H, Affirmed C (sf); previously on Jan 28, 2016 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Jan 28, 2016 Affirmed C (sf)
Cl. K, Affirmed C (sf); previously on Jan 28, 2016 Affirmed C (sf)
Cl. L, Affirmed C (sf); previously on Jan 28, 2016 Affirmed C (sf)
Cl. M, Affirmed C (sf); previously on Jan 28, 2016 Affirmed C (sf)
Cl. N, Affirmed C (sf); previously on Jan 28, 2016 Affirmed C (sf)
Cl. X-C, Downgraded to B3 (sf); previously on Jan 28, 2016
Confirmed at Ba3 (sf)
Cl. X-W, Downgraded to B3 (sf); previously on Jan 28, 2016
Confirmed at Ba3 (sf)
RATINGS RATIONALE
The ratings on two P&I classes, Classes A-M and AM-FL, were
upgraded based primarily on an increase in credit support resulting
from loan paydowns and amortization. The deal has paid down 45%
since Moody's last review.
The ratings on two P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio )DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The rating on fourteen P&I classes were affirmed because the
ratings are consistent with Moody's expected loss.
The ratings on the IO Classes, Classes X-C and X-W, were downgraded
due to the decline in the credit performance of their referenced
classes resulting from principal paydowns of higher quality
referenced classes.
Moody's rating action reflects a base expected loss of 21.6% of the
current balance compared to 10.8% at last review. The deal has paid
down 45% since last review and 64% since securitization. Moody's
base plus realized loss totals 9.6% compared to 8.6% at last
review. Moody's provides a current list of base expected losses for
conduit and fusion CMBS transactions on moodys.com at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan pay downs or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
WACHOVIA BANK 2007-C31: Moody's Hikes Cl. A-J Debt Rating to Ba1
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two classes
and affirmed the ratings on 16 classes in Wachovia Bank Commercial
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
Series 2007-C31 as follows:
Cl. A-4, Affirmed Aaa (sf); previously on Jan 28, 2016 Affirmed Aaa
(sf)
Cl. A-5, Affirmed Aaa (sf); previously on Jan 28, 2016 Affirmed Aaa
(sf)
Cl. A-5FL, Affirmed Aaa (sf); previously on Jan 28, 2016 Affirmed
Aaa (sf)
Cl. A-1A, Affirmed Aaa (sf); previously on Jan 28, 2016 Affirmed
Aaa (sf)
Cl. A-M, Upgraded to Aa2 (sf); previously on Jan 28, 2016 Upgraded
to A1 (sf)
Cl. A-J, Upgraded to Ba1 (sf); previously on Jan 28, 2016 Upgraded
to Ba2 (sf)
Cl. B, Affirmed B1 (sf); previously on Jan 28, 2016 Upgraded to B1
(sf)
Cl. C, Affirmed B3 (sf); previously on Jan 28, 2016 Upgraded to B3
(sf)
Cl. D, Affirmed Caa2 (sf); previously on Jan 28, 2016 Upgraded to
Caa2 (sf)
Cl. E, Affirmed Caa3 (sf); previously on Jan 28, 2016 Upgraded to
Caa3 (sf)
Cl. F, Affirmed C (sf); previously on Jan 28, 2016 Confirmed at C
(sf)
Cl. G, Affirmed C (sf); previously on Jan 28, 2016 Affirmed C (sf)
Cl. H, Affirmed C (sf); previously on Jan 28, 2016 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Jan 28, 2016 Affirmed C (sf)
Cl. K, Affirmed C (sf); previously on Jan 28, 2016 Affirmed C (sf)
Cl. L, Affirmed C (sf); previously on Jan 28, 2016 Affirmed C (sf)
Cl. M, Affirmed C (sf); previously on Jan 28, 2016 Reinstated to C
(sf)
Cl. IO, Affirmed Ba3 (sf); previously on Jan 28, 2016 Affirmed Ba3
(sf)
RATINGS RATIONALE
The ratings on Classes A-M and A-J were upgraded primarily on an
increase in credit support resulting from loan paydowns and
amortization as well as an increase in defeasance. The deal has
paid down 16% since Moody's last review and defeasance has
increased to 13% of the pool, from 4% at last review.
The ratings on four investment grade P&I classes were affirmed
because the transaction's key metrics, including Moody's
loan-to-value (LTV) ratio, Moody's stressed debt service coverage
ratio (DSCR) and the transaction's Herfindahl Index (Herf), are
within acceptable ranges. The ratings on eleven P&I classes were
affirmed because the ratings are consistent with Moody's expected
loss.
The rating on one IO class, Class IO, was affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of its referenced classes.
Moody's rating action reflects a base expected loss of 10.3% of the
current balance, compared to 9.4% at Moody's last review. Moody's
base expected loss plus realized losses is now 9.4% of the original
pooled balance, compared to 9.6% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in these ratings were "Approach to Rating US
and Canadian Conduit/Fusion CMBS" published in December 2014, and
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in October 2015.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based CMBS Conduit Model, which it
uses for both conduit and fusion transactions. Credit enhancement
levels for conduit loans are driven by property type, Moody's
actual and stressed DSCR, and Moody's property quality grade (which
reflects the capitalization rate Moody's uses to estimate Moody's
value). Moody's fuses the conduit results with the results of its
analysis of investment grade structured credit assessed loans and
any conduit loan that represents 10% or greater of the current pool
balance.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Conduit Loan Herf of 17 compared to 25 at last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model and then reconciles and weights the results from the
conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure and property
type. Moody's also further adjusts these aggregated proceeds for
any pooling benefits associated with loan level diversity and other
concentrations and correlations.
DEAL PERFORMANCE
As of the December 16, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 38% to $3.60 billion
from $5.85 billion at securitization. The certificates are
collateralized by 116 mortgage loans ranging in size from less than
1% to 15% of the pool, with the top ten loans constituting 50% of
the pool. Seventeen loans, constituting 13% of the pool, have
defeased and are secured by US government securities.
Thirty-eight loans, constituting 59% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Thirty-four loans have been liquidated from the pool, resulting in
an aggregate realized loss of $176.4 million (for an average loss
severity of 19%). Seventeen loans, constituting 8% of the pool, are
currently in special servicing. The specially serviced loans are
secured by a mix of property types and 14 assets, representing 6%
of the pool, are already real estate owned ("REO"). Moody's
estimates an aggregate $175.5 million loss for specially serviced
loans (62% expected loss on average).
Moody's has assumed a high default probability for eight poorly
performing loans, constituting 10% of the pool, and has estimated
an aggregate loss of $86.4 million (a 25% expected loss on average)
from these troubled loans.
Moody's received full year 2015 operating results for 98% of the
pool and partial year 2016 operating results for 86% of the pool.
Moody's weighted average conduit LTV is 110%, the same as at
Moody's last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a positive weighted average haircut of 0.8% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 8.6%.
Moody's actual and stressed conduit DSCRs are 1.41X and 0.93X,
respectively, compared to 1.35X and 0.90X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 30% of the pool balance. The
largest loan is the Five Times Square Loan ($536.0 million -- 14.9%
of the pool), which represents a 50% pari-passu interest in a $1.07
billion senior mortgage loan. The asset is also encumbered by a $67
million B-Note and $184 million of mezzanine debt. The loan is
secured by a 1.1 million square foot (SF) Class A office building
located in the Times Square submarket of Manhattan, New York. The
property has maintained 100% occupancy since securitization. Ernst
and Young leases approximately 89% of the building's net rentable
area (NRA) through May 2022 and serves as its U.S. Headquarters.
The loan is interest only throughout the entire term. The loan has
a maturity date of March 2017.
The second largest loan is the A Note related to the 666 Fifth
Avenue A-Note Loan ($357.6 million -- 9.9% of the pool), which
represents a pari-passu interest in a $1.1 billion first mortgage
loan. In December 2011, as part of a modification, the original
loan was bifurcated into $1.1 billion A-Note and a $115 million
B-Note. The B-Note accrues at the original rate of 6.353% with no
current pay, while the A-Note interest pay rate was initially
reduced to 3%. The current A-Note pay rate is 5.0% and the pay rate
increases annually until it returns to the original 6.353%. The
property was recapitalized with $110 million of new equity as part
of the modification. The loan is secured by a 1.5 million SF Class
A office building located in Midtown Manhattan, New York. The loan
returned to the master servicer in March 2012 and is performing
under the modified terms. The loan has a maturity date of February
2019. Moody's LTV and stressed DSCR on the modified A-Note are 139%
and 0.62X, respectively. Moody's has identified the B-Note ($37.4
million) as a troubled loan.
The third largest loan is the Boston Marriott Long Wharf ($176.0
million -- 4.9% of the pool), which is secured by a 402-key full
service hotel in the Boston CBD. Financial performance has been
stable over the past three years. As of October 2016, the property
had a RevPAR penetration of 118.3%. The loan is interest only for
its entire ten-year term. The loan has a maturity date of April
2017.
WFRBS COMMERCIAL 2014-C19: Fitch Affirms B- Rating on Cl. F Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of WFRBS Commercial Mortgage
Trust commercial mortgage pass-through certificates series
2014-C19.
KEY RATING DRIVERS
Stable Performance: The pool has exhibited stable performance since
issuance with no material change to pool-wide metrics; therefore,
the original rating analysis was considered in affirming the
transaction.
As of the December 2016 distribution date, the pool's aggregate
principal balance has been reduced by 3.4% to $1.07 billion from
$1.1 billion at issuance.
Fitch Loans of Concern: Fitch has designated 10 loans (10% of pool)
as Fitch Loans of Concern. Of these, two (4.3%) are in the top 15
and two (1.7%) are in special servicing. The two specially
serviced loans are located in energy markets which have been
affected by the drop in oil prices. As a result, hotel rates and
occupancies have declined significantly.
Hotel and Non-traditional Property Type Concentration: The pool has
a 22.8% concentration of hotels, which is higher than the 2013
average lodging concentration of 14.7%. In addition, the pool has
a 10% concentration of self-storage properties. Furthermore, the
second largest loan in the pool (Lifetime Fitness Portfolio, 6.9%)
is secured by a portfolio of health clubs in diverse locations.
Lastly, the third largest loan in the pool (Nordic Cold Storage
Portfolio, 5.1%) is secured by a master-leased portfolio of eight
cold storage facilities spread across the southeast U.S.
Strong Amortization: The pool is scheduled to amortize by 16.8% of
the initial pool balance prior to maturity, which is above the
12.0% 2014 average. Of the pool, only four loans (3.9%) are full
interest only, and 17 loans (29.1%) are partial interest only. The
remaining pool (78 loans, 67%) consists of amortizing balloon loans
with loan terms of five to 10 years. Maturities for the pool are
scheduled to occur in 2019 (3.2%), 2021 (9.9%) and 2024 (86.8%).
RATING SENSITIVITIES
Rating Outlooks for all classes remain Stable due to overall stable
performance of the pool and continued amortization. Upgrades may
occur with improved pool performance and additional paydown or
defeasance. Downgrades to the classes are possible if overall pool
performance declines.
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch affirms these classes:
-- $38.4 million class A-1 at 'AAAsf'; Outlook Stable;
-- $36.9 million class A-2 at 'AAAsf'; Outlook Stable;
-- $98.9 million class A-3 at 'AAAsf'; Outlook Stable;
-- $210 million class A-4 at 'AAAsf'; Outlook Stable;
-- $249.2 million class A-5 at 'AAAsf'; Outlook Stable;
-- $101.9 million class A-SB at 'AAAsf'; Outlook Stable;
-- $73.1 million class A-S at 'AAAsf'; Outlook Stable;
-- $808.4 million class X-A at 'AAA'; Outlook Stable;
-- $175.2 million class X-B at 'BBB-'; Outlook Stable;
-- $75.9 million class B* at 'AA-sf'; Outlook Stable;
-- $40 million class C* at 'A-sf'; Outlook Stable;
-- $189 million class PEX* at 'A-sf'; Outlook Stable;
-- $59.3 million class D at 'BBB-sf'; Outlook Stable;
-- $27.6 million class E at 'BB-sf'; Outlook Stable;
-- $11 million class F at 'B-sf'; Outlook Stable.
*Class A-S, B and C certificates may be exchanged for a related
amount of class PEX certificates, and class PEX certificates may be
exchanged for class A-S, B and C certificates. Fitch does not rate
the $44.1 million class G certificates.
[*] S&P Completes Review on 36 Classes From 10 RMBS Deals
---------------------------------------------------------
S&P Global Ratings completed its review of 36 classes from 10 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 1999 and 2005. The review yielded seven upgrades and 29
affirmations.
ANALYSIS
Analytical Considerations
S&P incorporate 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.
UPGRADES
The upgrades include four ratings that were raised three or more
notches. S&P's projected credit support for the affected classes
is sufficient to cover S&P's projected losses for these rating
levels. The upgrades reflect increased credit support relative to
S&P's projected losses.
The upgrades on classes IM-1 and IIM-1 from Chase Funding Trust
Series 2002-2 reflect an increase in each class' credit support to
13.92% and 26.00% in November 2016 from 9.00% and 20.81% in April
2014, respectively. The upgrades on classes AF-4 and AF-5 from
Centex Home Equity Loan Trust 2002-C and on classes M-1 and M-2
from Option One Mortgage Loan Trust 2005-2 reflect the increase in
credit support caused by permanently failing cumulative loss
triggers in those deals. The triggers cause the deals to pay down
sequentially.
S&P raised one rating from CWABS Inc.'s series 2004-5 to
'CCC (sf)' from 'CC (sf)' because S&P believes this class is no
longer virtually certain to default, primarily owing to the
improved performance of the collateral backing this transaction.
However, the 'CCC (sf)' rating indicates that S&P believes that its
projected credit support will remain insufficient to cover its
projected losses for this class and that the class is still
vulnerable to defaulting.
Tail Risk
ACE Securities Corp. Home Equity Loan Trust Series 1999-LB2 is
backed by a small remaining pool of mortgage loans. S&P believes
that pools with less than 100 loans remaining create an increased
risk of credit instability, because a liquidation and subsequent
loss on one loan, or a small number of loans, at the tail end of a
transaction's life may have a disproportionate impact on a given
RMBS tranche's remaining credit support. S&P refers to this as
"tail risk."
S&P addressed the tail risk on the classes from this transaction by
conducting a loan-level analysis that assesses this risk, as set
forth in S&P's tail risk criteria. The rating actions on these
classes reflect the application of S&P's tail risk criteria.
AFFIRMATIONS
The affirmations of ratings in the 'AAA' through 'B' rating
categories reflect S&P's opinion that its projected credit support
on these classes remained relatively consistent with its 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. When S&P's model recommended an upgrade, it
either limited the extent of its upgrade or affirmed its ratings on
those classes to account for this uncertainty and promote ratings
stability. In general, these classes have one or more of these
characteristics that limit any potential upgrade:
-- Insufficient subordination, overcollateralization, or both;
-- Delinquency trends;
-- Historical interest shortfalls;
-- Low priority in principal payments; and/or
-- Significant growth in observed loss severities.
The ratings affirmed at 'CCC (sf)' or 'CC (sf)' reflect S&P's
belief that its projected credit support will remain insufficient
to cover S&P's 'B' expected case projected losses for these
classes. Pursuant to "Criteria For Assigning 'CCC+', 'CCC',
'CCC-', And 'CC' Ratings," 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 4.9 % 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, it 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.
A list of the Affected Ratings is available at:
http://bit.ly/2iTjQy4
[] Moody's Hikes $398MM of Subprime RMBS Issued 2002-2006
---------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 28 tranches,
from 12 transactions issued by various issuers backed by Subprime
mortgage loans.
Complete rating actions are as follows:
Issuer: Ameriquest Mortgage Securities Inc., Series 2003-13
Cl. AF-5, Upgraded to Aa3 (sf); previously on Jul 31, 2013
Confirmed at A2 (sf)
Cl. AF-6, Upgraded to Aa2 (sf); previously on Jul 31, 2013
Confirmed at A1 (sf)
Cl. AV-1, Upgraded to Aa3 (sf); previously on Jul 31, 2013
Confirmed at A2 (sf)
Issuer: C-BASS 2002-CB5 Trust
Cl. AF-3, Upgraded to A1 (sf); previously on Feb 24, 2016 Upgraded
to Baa1 (sf)
Issuer: C-BASS Mortgage Loan Trust, Series 2003-CB1
Cl. AF, Upgraded to A2 (sf); previously on Feb 24, 2016 Upgraded to
Baa1 (sf)
Issuer: C-BASS Series 2003-CB5, C-Bass Mortgage Loan Asset-Backed
Certificates
Cl. M-1, Upgraded to Ba1 (sf); previously on Feb 24, 2016 Upgraded
to B1 (sf)
Cl. M-2, Upgraded to B2 (sf); previously on Mar 10, 2011 Downgraded
to Caa3 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on Mar 10, 2011
Downgraded to Ca (sf)
Issuer: Credit Suisse First Boston Mortgage Securities Corp. Series
2004-4
Cl. M-1, Upgraded to Baa1 (sf); previously on Dec 4, 2012
Downgraded to Baa2 (sf)
Cl. M-2, Upgraded to Baa3 (sf); previously on May 5, 2014 Upgraded
to Ba2 (sf)
Cl. M-3, Upgraded to Ba2 (sf); previously on May 5, 2014 Upgraded
to Caa1 (sf)
Cl. M-4, Upgraded to B1 (sf); previously on May 5, 2014 Upgraded to
Caa2 (sf)
Cl. M-5, Upgraded to Caa2 (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)
Cl. M-6, Upgraded to Ca (sf); previously on Mar 15, 2011 Downgraded
to C (sf)
Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2003-3
Cl. 1-A-5, Upgraded to Ba2 (sf); previously on May 14, 2014
Downgraded to Ba3 (sf)
Cl. 1-A-6, Upgraded to Ba1 (sf); previously on May 14, 2014
Downgraded to Ba2 (sf)
Cl. 2-A-2, Upgraded to Ba2 (sf); previously on Feb 24, 2016
Upgraded to Ba3 (sf)
Cl. 3-A, Upgraded to B2 (sf); previously on May 14, 2014 Downgraded
to B3 (sf)
Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2003-5
Cl. AF-5, Upgraded to Baa1 (sf); previously on Feb 24, 2016
Upgraded to Baa3 (sf)
Cl. AF-6, Upgraded to A2 (sf); previously on Feb 24, 2016 Upgraded
to Baa1 (sf)
Issuer: CWABS, Inc., Asset-Backed Certificates, Series 2003-BC1
Cl. A-1, Upgraded to Baa1 (sf); previously on Feb 24, 2016 Upgraded
to Ba3 (sf)
Cl. B-1, Upgraded to B1 (sf); previously on Feb 24, 2016 Upgraded
to Caa2 (sf)
Cl. M-1, Upgraded to B1 (sf); previously on Feb 24, 2016 Upgraded
to B3 (sf)
Cl. M-2, Upgraded to B1 (sf); previously on Feb 24, 2016 Upgraded
to Caa1 (sf)
Issuer: Merrill Lynch Mortgage Investors, Inc. 2005-NC1
Cl. M-1, Upgraded to Aa2 (sf); previously on Aug 22, 2012 Confirmed
at A1 (sf)
Issuer: Specialty Underwriting and Residential Finance Series
2006-AB1
Cl. A-4, Upgraded to Caa3 (sf); previously on Jun 18, 2010
Downgraded to Ca (sf)
Issuer: Structured Asset Investment Loan Trust 2006-BNC3
Cl. A3, Upgraded to B1 (sf); previously on Apr 12, 2010 Downgraded
to Caa3 (sf)
Issuer: Structured Asset Securities Corp Trust 2005-WF1
Cl. A3, Upgraded to Aa1 (sf); previously on Aug 6, 2013 Upgraded to
A1 (sf)
RATINGS RATIONALE
The upgrades are primarily 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 December 2016 from 5.0% in
December 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.
[] Moody's Hikes $67MM of Prime Jumbo RMBS Issued 2005-2006
-----------------------------------------------------------
Moody's Investors Service has upgraded the rating of seventeen
tranches backed by Prime Jumbo RMBS loans, issued by miscellaneous
issuers.
Complete rating actions are as follows:
Issuer: J.P. Morgan Mortgage Trust 2006-S1
Cl. 3-A-4, Upgraded to Aa3 (sf); previously on Feb 16, 2016
Upgraded to Baa3 (sf)
Issuer: Wells Fargo Mortgage Backed Securities Trust 2005-9 Trust
Cl. I-A-PO, Upgraded to Ba1 (sf); previously on May 19, 2010
Downgraded to B1 (sf)
Cl. II-A-PO, Upgraded to Ba3 (sf); previously on Jul 15, 2011
Downgraded to B3 (sf)
Cl. I-A-4, Upgraded to Ba1 (sf); previously on Apr 18, 2016
Upgraded to B1 (sf)
Cl. I-A-9, Upgraded to Baa1 (sf); previously on Apr 18, 2016
Upgraded to Baa3 (sf)
Cl. I-A-10, Upgraded to Baa3 (sf); previously on Apr 18, 2016
Upgraded to Ba2 (sf)
Cl. I-A-11, Upgraded to Baa2 (sf); previously on Nov 24, 2014
Downgraded to Baa3 (sf)
Cl. I-A-12, Upgraded to Ba1 (sf); previously on Apr 18, 2016
Upgraded to B3 (sf)
Cl. I-A-16, Upgraded to Baa3 (sf); previously on Apr 18, 2016
Upgraded to Ba2 (sf)
Cl. II-A-3, Upgraded to A3 (sf); previously on Apr 18, 2016
Upgraded to Baa3 (sf)
Cl. II-A-4, Upgraded to Ba1 (sf); previously on Apr 18, 2016
Upgraded to B2 (sf)
Cl. II-A-6, Upgraded to Baa3 (sf); previously on Nov 24, 2014
Upgraded to Ba1 (sf)
Cl. II-A-7, Upgraded to Ba1 (sf); previously on Apr 18, 2016
Upgraded to B1 (sf)
Cl. II-A-8, Upgraded to Ba1 (sf); previously on Apr 18, 2016
Upgraded to B1 (sf)
Cl. II-A-9, Upgraded to Baa1 (sf); previously on Apr 18, 2016
Upgraded to Ba1 (sf)
Cl. II-A-10, Upgraded to Ba1 (sf); previously on Apr 18, 2016
Upgraded to B2 (sf)
Cl. II-A-12, Upgraded to Ba3 (sf); previously on Apr 18, 2016
Upgraded to Caa1 (sf)
RATINGS RATIONALE
The upgrade on J.P. Morgan Mortgage Trust 2006-S1 Class 3-A-4 is
primarily due to the fact that it is paying principal sequentially
before the Class 3-A-6, and thus has strong overall credit
enhancement due to available collateral from the subgroups backing
this bond. The upgrade actions on Wells Fargo Mortgage Backed
Securities Trust 2005-9 Trust are a result of reduction of loss
expectations on the pools and total credit enhancement protecting
the tranches from future projected losses. The upgrades on Class
II-A-3 and Class II-A-9 also reflect the fact that these bonds
benefit from being paid principal sequentially before the Class
II-A-4 and Class II-A-10 respectively.
The actions 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 December 2016 from 5.0% in
December 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.
[] Moody's Hikes Ratings of $112MM Subprime RMBS Issued 2002-2004
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 29 tranches,
from 8 transactions issued by various issuers backed by Subprime
mortgage loans.
Complete rating actions are as follows:
Issuer: ABFC Mortgage Loan Asset-Backed Certificates, Series
2002-WF2
Cl. M-1, Upgraded to Ba1 (sf); previously on Feb 26, 2015 Upgraded
to Ba3 (sf)
Cl. M-2, Upgraded to Ba1 (sf); previously on Feb 16, 2016 Upgraded
to B3 (sf)
Issuer: Accredited Mortgage Loan Trust 2004-3, Asset-Backed Notes,
Series 2004-3
Cl. 1M2, Upgraded to Caa1 (sf); previously on May 11, 2012
Downgraded to Caa2 (sf)
Cl. 2M1, Upgraded to Baa3 (sf); previously on May 11, 2012
Downgraded to Ba2 (sf)
Cl. 2M2, Upgraded to Ba1 (sf); previously on May 11, 2012
Downgraded to Ba3 (sf)
Cl. 2M3, Upgraded to Ba3 (sf); previously on Feb 20, 2015 Upgraded
to B2 (sf)
Cl. 2M4, Upgraded to Caa1 (sf); previously on Feb 20, 2015 Upgraded
to Caa2 (sf)
Cl. 2A6, Upgraded to A3 (sf); previously on May 11, 2012 Downgraded
to Baa2 (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2003-7
Cl. M-2, Upgraded to Ba1 (sf); previously on Feb 16, 2016 Upgraded
to Ba3 (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2004-R2
Cl. A-1A, Upgraded to Aa1 (sf); previously on Feb 16, 2016 Upgraded
to A1 (sf)
Cl. A-1B, Upgraded to Aa2 (sf); previously on Feb 16, 2016 Upgraded
to A2 (sf)
Cl. A-4, Upgraded to Aa3 (sf); previously on Feb 16, 2016 Upgraded
to A3 (sf)
Cl. M-1, Upgraded to Ba1 (sf); previously on Feb 23, 2015 Upgraded
to Ba3 (sf)
Cl. M-2, Upgraded to Ba1 (sf); previously on Feb 16, 2016 Upgraded
to B1 (sf)
Cl. M-3, Upgraded to Ba1 (sf); previously on Feb 16, 2016 Upgraded
to B1 (sf)
Cl. M-4, Upgraded to Ba3 (sf); previously on Feb 16, 2016 Upgraded
to B3 (sf)
Cl. M-5, Upgraded to B1 (sf); previously on Feb 16, 2016 Upgraded
to Caa1 (sf)
Cl. M-6, Upgraded to Caa2 (sf); previously on Mar 29, 2011
Downgraded to C (sf)
Issuer: CDC Mortgage Capital Trust 2003-HE1
Cl. B-1, Upgraded to B1 (sf); previously on Feb 16, 2016 Upgraded
to B2 (sf)
Issuer: CPT Asset-Backed Certificates Trust 2004-EC1
Cl. M-3, Upgraded to Ba3 (sf); previously on Feb 12, 2016 Upgraded
to B2 (sf)
Cl. M-4, Upgraded to B3 (sf); previously on Feb 12, 2016 Upgraded
to Caa2 (sf)
Issuer: GSAMP Trust 2002-HE2 (wholesale;25% fixed/75% ARMs)
Cl. A-1, Upgraded to A2 (sf); previously on Feb 12, 2016 Upgraded
to Baa3 (sf)
Underlying Rating: Upgraded to A2 (sf); previously on Feb 12, 2016
Upgraded to Baa3 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. A-2, Upgraded to A1 (sf); previously on Feb 12, 2016 Upgraded
to Baa2 (sf)
Underlying Rating: Upgraded to A1 (sf); previously on Feb 12, 2016
Upgraded to Baa2 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. B-2, Upgraded to Ba3 (sf); previously on Feb 12, 2016 Upgraded
to B1 (sf)
Issuer: Long Beach Mortgage Loan Trust 2004-3
Cl. M-4, Upgraded to Ba1 (sf); previously on Feb 12, 2016 Upgraded
to Ba3 (sf)
Cl. M-5, Upgraded to Ba3 (sf); previously on Feb 12, 2016 Upgraded
to B2 (sf)
Cl. M-6, Upgraded to B1 (sf); previously on Feb 12, 2016 Upgraded
to B3 (sf)
Cl. M-7, Upgraded to B3 (sf); previously on Feb 12, 2016 Upgraded
to Caa2 (sf)
Cl. M-8, Upgraded to Caa3 (sf); previously on Mar 8, 2011
Downgraded to Ca (sf)
RATINGS RATIONALE
The upgrades are primarily 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.
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 December 2016 from 5.0% in
December 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.
[] Moody's Upgrades $516.6MM of Subprime RMBS
---------------------------------------------
Moody's Investors Service has upgraded the ratings of 14 tranches
issued from 6 transactions backed by Subprime RMBS loans.
Complete rating actions are as follows:
Issuer: Carrington Mortgage Loan Trust, Series 2005-NC5
Cl. A-3, Upgraded to Aaa (sf); previously on Feb 29, 2016 Upgraded
to A1 (sf)
Cl. M-2, Upgraded to B2 (sf); previously on Feb 29, 2016 Upgraded
to Caa2 (sf)
Issuer: Carrington Mortgage Loan Trust, Series 2006-OPT1
Cl. A-3, Upgraded to Aaa (sf); previously on Feb 29, 2016 Upgraded
to A1 (sf)
Cl. A-4, Upgraded to Aa1 (sf); previously on Feb 29, 2016 Upgraded
to A2 (sf)
Cl. M-2, Upgraded to B1 (sf); previously on Feb 29, 2016 Upgraded
to B3 (sf)
Issuer: Carrington Mortgage Loan Trust, Series 2007-FRE1
Cl. A-2, Upgraded to B2 (sf); previously on Apr 29, 2010 Downgraded
to Caa2 (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2005-CB7
Cl. M-2, Upgraded to B2 (sf); previously on Feb 29, 2016 Upgraded
to Caa2 (sf)
Issuer: Soundview Home Loan Trust 2006-WF2
Cl. A-1, Upgraded to Aaa (sf); previously on Feb 25, 2016 Upgraded
to A1 (sf)
Cl. A-2C, Upgraded to Aaa (sf); previously on Feb 25, 2016 Upgraded
to Aa3 (sf)
Cl. A-2D, Upgraded to Aaa (sf); previously on Feb 25, 2016 Upgraded
to A1 (sf)
Cl. M-1, Upgraded to Ba2 (sf); previously on Feb 25, 2016 Upgraded
to Ba3 (sf)
Cl. M-2, Upgraded to Caa3 (sf); previously on May 27, 2014 Upgraded
to Ca (sf)
Issuer: Structured Asset Investment Loan Trust 2005-HE1
Cl. M1, Upgraded to Aaa (sf); previously on Mar 12, 2015 Upgraded
to A2 (sf)
Cl. M2, Upgraded to Ba1 (sf); previously on Feb 25, 2016 Upgraded
to B1 (sf)
RATINGS RATIONALE
The upgrades are primarily due to the total credit enhancement
available to the bonds. The actions also 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 December 2016 from 5.0% in
December 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.
[] Moody's Upgrades $632.2MM of Alt-A and Option ARMS RMBS
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 44 tranches
from eight transactions, backed by Alt-A and Option ARM RMBS loans,
issued by multiple issuers.
Complete rating actions are as follows:
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2004-33
Cl. 3-A-1, Upgraded to Ba3 (sf); previously on Sep 27, 2016
Upgraded to B2 (sf)
Cl. 3-A-2, Upgraded to Ba2 (sf); previously on Sep 27, 2016
Upgraded to B1 (sf)
Cl. 3-A-3, Upgraded to B2 (sf); previously on Sep 27, 2016 Upgraded
to Caa2 (sf)
Cl. 4-A-1, Upgraded to Ba3 (sf); previously on Sep 27, 2016
Upgraded to B2 (sf)
Issuer: HomeBanc Mortgage Trust 2005-3
Cl. M-1, Upgraded to Ba3 (sf); previously on Mar 30, 2016 Upgraded
to B3 (sf)
Cl. M-2, Upgraded to B2 (sf); previously on Mar 30, 2016 Upgraded
to Caa2 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on Mar 30, 2016 Upgraded
to Ca (sf)
Cl. M-4, Upgraded to Ca (sf); previously on Oct 14, 2010 Downgraded
to C (sf)
Issuer: HomeBanc Mortgage Trust 2005-4
Cl. M-1, Upgraded to B3 (sf); previously on Mar 30, 2016 Upgraded
to Caa3 (sf)
Cl. M-2, Upgraded to Ca (sf); previously on Oct 14, 2010 Downgraded
to C (sf)
Cl. A-1, Upgraded to Ba1 (sf); previously on Mar 30, 2016 Upgraded
to Ba3 (sf)
Cl. A-2, Upgraded to Ba1 (sf); previously on Mar 30, 2016 Upgraded
to Ba3 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust 2005-A3
Cl. M-1, Upgraded to B1 (sf); previously on Mar 30, 2016 Upgraded
to B3 (sf)
Cl. A-1, Upgraded to Aa2 (sf); previously on Mar 30, 2016 Upgraded
to A1 (sf)
Cl. A-2, Upgraded to Aa3 (sf); previously on Mar 30, 2016 Upgraded
to A2 (sf)
Issuer: Morgan Stanley Mortgage Loan Trust 2004-9
Cl. 1-A, Upgraded to Ba2 (sf); previously on Aug 20, 2015 Upgraded
to B1 (sf)
Cl. 2-A, Upgraded to Ba2 (sf); previously on Jul 9, 2012 Downgraded
to B1 (sf)
Cl. 4-A, Upgraded to Ba2 (sf); previously on May 18, 2016 Upgraded
to B1 (sf)
Cl. 5-A, Upgraded to Ba3 (sf); previously on Jul 9, 2012 Downgraded
to B2 (sf)
Cl. 3-A-P, Upgraded to B1 (sf); previously on Jul 9, 2012
Downgraded to B3 (sf)
Cl. 5-A-P, Upgraded to B1 (sf); previously on Jul 9, 2012
Downgraded to B2 (sf)
Cl. 3-A-1, Upgraded to Ba2 (sf); previously on Jul 9, 2012
Downgraded to B1 (sf)
Cl. 3-A-2, Upgraded to B3 (sf); previously on Jun 5, 2013
Downgraded to Caa3 (sf)
Cl. 3-A-3, Upgraded to Baa2 (sf); previously on May 18, 2016
Upgraded to Ba2 (sf)
Cl. 3-A-4, Upgraded to Baa2 (sf); previously on May 18, 2016
Upgraded to Ba2 (sf)
Cl. 3-A-5, Upgraded to Baa2 (sf); previously on May 18, 2016
Upgraded to Ba2 (sf)
Cl. 3-A-6, Upgraded to Ba3 (sf); previously on Aug 20, 2015
Confirmed at B2 (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-12
Cl. 2-A, Upgraded to Baa2 (sf); previously on Aug 31, 2016 Upgraded
to Ba1 (sf)
Cl. 4-A, Upgraded to Baa2 (sf); previously on Aug 31, 2016 Upgraded
to Ba1 (sf
Cl. 5-A, Upgraded to Baa2 (sf); previously on Aug 31, 2016 Upgraded
to Ba1 (sf)
Cl. 6-A, Upgraded to Baa2 (sf); previously on Aug 31, 2016 Upgraded
to Ba1 (sf)
Cl. 8-A, Upgraded to Baa2 (sf); previously on Aug 31, 2016 Upgraded
to Ba1 (sf)
Cl. 9-A, Upgraded to Baa2 (sf); previously on Aug 31, 2016 Upgraded
to Ba1 (sf)
Cl. 1-A1, Upgraded to Baa2 (sf); previously on Aug 31, 2016
Upgraded to Ba1 (sf)
Cl. 1-A2, Upgraded to Baa2 (sf); previously on Aug 31, 2016
Upgraded to Ba1 (sf)
Cl. 3-A1, Upgraded to Baa2 (sf); previously on Aug 31, 2016
Upgraded to Ba1 (sf)
Cl. 3-A2, Upgraded to Baa2 (sf); previously on Aug 31, 2016
Upgraded to Ba1 (sf)
Cl. 7-A1, Upgraded to Baa2 (sf); previously on Aug 31, 2016
Upgraded to Ba1 (sf)
Cl. 7-A2, Upgraded to Baa2 (sf); previously on Aug 31, 2016
Upgraded to Ba1 (sf)
Cl. 7-A3, Upgraded to Baa2 (sf); previously on Aug 31, 2016
Upgraded to Ba1 (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-19XS
Cl. 2-A1, Upgraded to Baa1 (sf); previously on Mar 21, 2016
Upgraded to Baa3 (sf)
Cl. 2-A2, Upgraded to Ba1 (sf); previously on Mar 21, 2016 Upgraded
to Ba3 (sf)
Cl. 2-A3, Upgraded to Ba3 (sf); previously on Mar 21, 2016 Upgraded
to B2 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2006-AR5
Cl. A-1A2A, Upgraded to B1 (sf); previously on Mar 30, 2016
Upgraded to B3 (sf)
RATINGS RATIONALE
The rating actions on CWALT, Inc. Mortgage Pass-Through
Certificates, Series 2004-33, Morgan Stanley Mortgage Loan Trust
2004-9, and Structured Adjustable Rate Mortgage Loan Trust 2004-12
are primarily based on the correction of errors in the cash-flow
models used by Moody's in rating these transactions. In the prior
modeling, the cash-flow waterfalls did not capture the correct
prepayment shift percentages and were allocating an incorrect
portion of principal prepayments to subordinate bonds. In the case
of principal only bonds, the models did not allocate realized
losses and payments to PO deferred amounts correctly. These errors
have now been corrected, and the rating actions on these bonds
reflect the appropriate allocation of principal prepayments, as
well as the recent performance of the underlying pools and Moody's
updated loss expectations on those pools.
The rating actions on the remaining bonds are a result of the
recent performance of the underlying pools and reflect Moody's
updated loss expectation on the pools. The rating upgrades are a
result of the improving performance of the related pools and / or
an increase in credit enhancement available to the bonds.
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 December 2016 from 5.0% in
December 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.
*********
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 ***