/raid1/www/Hosts/bankrupt/TCR_Public/170507.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, May 7, 2017, Vol. 21, No. 126
Headlines
ALM LTD XIV: Moody's Affirms Ba3(sf) Rating on Class D Notes
BANC OF AMERICA 2006-3: Fitch Cuts Rating on Cl. A-M Debt to 'Csf'
BAYVIEW KOITERE 2017-SPL3: Fitch to Rate Class B5 Notes 'Bsf'
BEAR STEARNS 2007-TOP28: Fitch Affirms CCC Rating on Class D Certs
BENEFIT STREET XI: Moody's Assigns B3(sf) Rating to Class E Notes
CD 2017-CD4: DBRS Assigns Prov. BBsf Rating to Class F Certificates
CD 2017-CD4: Fitch to Rate $8.55MM Class F Certificates 'B-sf'
CITIGROUP 2016-C1: Fitch Affirms 'B-sf' Rating on Class F Certs
COLD STORAGE 2017-ICE3: Moody's Gives Ba1 Rating on Cl. HRR Debt
COLD STORAGE 2017-ICE3: S&P Assigns 'BB+' Rating on Cl. HRR Debt
COMM 2014-CCRE18: Fitch Affirms 'BB-sf' Rating on Class E Certs
CONNECTICUT AVENUE 2017-C03: Moody's Rates Cl. 1M-2 Debt '(P)B2'
CSMC TRUST 2014-TIKI: Moody's Affirms B3sf Rating on Class F Certs
DLJ COMMERCIAL 2000-CKP1: Moody's Affirms Caa3 Rating on Cl. S Debt
EXETER AUTOMOBILE 2017-2: DBRS Finalizes BB Rating on Cl. D Notes
FREDDIE MAC 2017-1: DBRS Assigns Prov. B Rating to Class M-2 Certs
FREDDIE MAC 2017-1: Moody's Gives (P)Ba3 Rating to Cl. M-1 Debt
GE COMMERCIAL 2005-C4: S&P Raises Rating on Cl. A-J Certs to BB+
GREENWICH CAPITAL 2004-GG1: S&P Gives 'BB' Rating on Class G Certs
GS MORTGAGE 2017-GS5: Fitch Corrects March 21 Release
JFIN REVOLVER 2014: S&P Raises Rating on Class E VFN Notes to 'BB+'
JP MORGAN 2002-CIBC4: Fitch Hikes Rating on Class D Certs to Bsf
JP MORGAN 2004-C3: Moody's Affirms C(sf) Rating on Class J Certs
JP MORGAN 2004-CIBC9: Fitch Affirms 'Dsf' Rating on Class F Certs
JP MORGAN 2007-LDP10: Moody's Cuts Class A-M Certificates to Ba1
JP MORGAN 2013-C13: Moody's Affirms B2(sf) Rating on Class F Certs
JPMBB 2015-C29: Fitch Affirms Bsf Rating on Class X-F Debt
LB-UBS COMMERCIAL 2004-C1: S&P Lowers Rating on Cl. E Certs to 'D'
LB-UBS COMMERCIAL 2004-C6: Fitch Hikes Cl. J Debt Rating to CCC
LMRK ISSUER 2016-1: Fitch Affirms 'BB-sf' Rating on Class B Notes
ML-CFC COMMERCIAL 2007-6: Fitch Withdraws CCC Rating on AJ-FL Debt
MORGAN STANLEY 1999-CAM1: Fitch Affirms Dsf Rating on Class N Debt
MORGAN STANLEY 2006-TOP23: S&P Raises Rating on Cl. F Certs to 'B+'
MORGAN STANLEY 2013-C11: Moody's Cuts Rating on Cl. F Certs to B1
MORGAN STANLEY 2016-C29: Fitch Affirms B-sf Rating on Cl. F Certs
MORGAN STANLEY 2017-C33: DBRS Gives Prov. BB(low) Rating to F Debt
MORGAN STANLEY 2017-C33: Fitch to Rate Class F Certificates 'B-sf'
NEUBERGER BERMAN XIV: S&P Gives 'BB-' Rating on Class E-R Notes
NEW RESIDENTIAL 2017-2: DBRS Finalizes B Ratings on 3 Tranches
PRIMUS CLO II: Moody's Affirms Ba3(sf) Rating on Class E Notes
REGATTA FUNDING IX: Moody's Assigns (P)Ba3 Rating to Class E Notes
REVELSTOKE CDO I: DBRS Confirms CC(sf) Rating on Class A-1 Notes
SCHOONER TRUST 2007-7: Moody's Affirms B1 Rating on Class J Certs
TOWD POINT 2017-2: Fitch to Rate Class B2 Notes 'Bsf'
TOWD POINT 2017-2: Moody's Assigns (P)Ba2 Rating on Cl. B1 Notes
UBS-BARCLAYS 2012-C3: Moody's Affirms B2 Rating on Cl. F Certs
WACHOVIA BANK 2004-C11: S&P Raises Rating on Class K Certs to BB+
WF-RBS COMMERCIAL 2011-C2: Moody's Affirms Ba3 Rating on X-B Certs
[*] Fitch Cuts 5 Bonds Ratings in 5 CMBS transactions to 'D'
[*] Fitch: US Bank TruPS CDOs Combined Rate Declined
[*] Moody's Cuts $290.3MM of Option ARM and Alt-A RMBS Deals
[*] Moody's Hikes $1.7BB of Subprime RMBS Issued 2005-2007
[*] Moody's Hikes $26.7MM of Subprime RMBS Issued 2002-2004
[*] Moody's Hikes $45.9MM of Subprime RMBS Issued 2000-2004
[*] Moody's Takes Action on $135MM of RMBS Issued 2003-2004
[*] Moody's Takes Action on $670.4MM of Alt-A Loans Issued 2006
[*] S&P Completes Review of 88 Classes From 25 RMBS Deals
[*] S&P Lowers Ratings on 91 Classes From 75 US RMBS Deals to D
*********
ALM LTD XIV: Moody's Affirms Ba3(sf) Rating on Class D Notes
------------------------------------------------------------
Moody's Investors Service has assigned the following ratings to the
following notes (the "Refinancing Notes") issued by ALM XIV, Ltd.:
US$930,000,000 Class A-1-R Senior Secured Floating Rate Notes due
2026 (the "Class A-1-R Notes"), Assigned Aaa (sf)
US$163,225,000 Class A-2-R Senior Secured Floating Rate Notes due
2026 (the "Class A-2-R Notes"), Assigned Aa1 (sf)
US$83,925,000 Class B-R Senior Secured Deferrable Floating Rate
Notes due 2026 (the "Class B-R Notes"), Assigned A1 (sf)
Additionally, Moody's has taken rating actions on the following
outstanding notes issued by the Issuer on July 15, 2014, the
original issuance date (the "Original Closing Date"):
US$107,500,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2026 (the "Class C Notes"), Upgraded to Baa2 (sf);
previously on July 15, 2014 Definitive Rating Assigned Baa3 (sf)
US$100,100,000 Class D Secured Deferrable Floating Rate Notes due
2026 (the "Class D Notes"), Affirmed Ba3 (sf); previously on July
15, 2014 Definitive Rating Assigned Ba3 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of senior secured, broadly syndicated corporate loans.
Apollo Credit Management (CLO) LLC (the "Manager") manages the CLO.
It directs the selection, acquisition, and disposition of
collateral on behalf of the Issuer.
RATINGS RATIONALE
Moody's ratings on the Refinancing Notes address the expected
losses posed to noteholders. The ratings reflect the risks due to
defaults on the underlying portfolio of assets, the transaction's
legal structure, and the characteristics of the underlying assets.
The Issuer has issued the Refinancing Notes on April 28, 2017 (the
"Refinancing Date") in connection with the refinancing of certain
classes of notes (the "Refinanced Original Notes") previously
issued on the Original Closing Date. On the Refinancing Date, the
Issuer used the proceeds from the issuance of the Refinancing Notes
to redeem in full the Refinanced Original Notes.
Moody's rating action on the Class C Notes is primarily a result of
the refinancing, which increases excess spread available as credit
enhancement to the rated notes. Additionally, Moody's expects the
Issuer to continue to benefit from a portfolio weighted average
recovery rate (WARR) level that is higher than the covenanted test
level.
Methodology Underlying 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 a Downgrade of the
Ratings:
The performance of each class of the Issuer's notes is subject to
uncertainty relating to certain factors and circumstances, and this
uncertainty could lead to either an upgrade or downgrade of Moody's
ratings:
1) Macroeconomic uncertainty: CLO performance is subject to
uncertainty about credit conditions in the general economy.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the Manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO documentation
by the Manager or other transaction parties owing to embedded
ambiguities.
3) Collateral credit risk: Investing in collateral of better credit
quality, or better than Moody's expected credit performance of the
assets collateralizing the transaction can lead to positive CLO
performance. Conversely, a negative shift in the credit quality or
performance of the collateral can have adverse consequences for CLO
performance.
4) Deleveraging: During the amortization period, the pace of
deleveraging from unscheduled principal proceeds is an important
source of uncertainty. 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 ratings. Note repayments that are faster than Moody's
current expectations will usually have a positive impact on CLO
notes, beginning with those notes having the highest payment
priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets could result in volatility in the deal's
overcollateralization levels. Further, the timing of recovery
realization and whether the Manager decides to work out or sell
defaulted assets create additional uncertainty. Realization of
recoveries that are either materially higher or lower than assumed
in Moody's analysis would impact the CLO positively or negatively,
respectively.
6) Weighted average life (WAL): The notes' ratings can be sensitive
to the weighted average life assumption of the portfolio, which
could lengthen owing to any decision by the Manager to reinvest
into new issue loans or loans with longer maturities, or
participate in amend-to-extend offerings. Life extension can
increase the default risk horizon and assumed cumulative default
probability of CLO collateral.
7) Weighted Average Spread (WAS): CLO performance can be sensitive
to WAS, which is a key factor driving the amount of excess spread
available as credit enhancement when a deal fails its
over-collateralization or interest coverage tests. A decrease in
excess spread, including as a result of losing the net interest
benefit of LIBOR floors, or because market conditions make it
difficult for the deal to source assets of appropriate credit
quality in order to maintain its WAS target, would reduce the
effective credit enhancement available for the notes.
8) Exposure to assets with low credit quality and weak liquidity:
The historical default rate 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, is higher than the
average. Exposure to such assets subject the notes to additional
risks if these assets default.
Together with the set of modeling assumptions described below,
Moody's conducted additional sensitivity analyses, which were
considered in determining the ratings assigned to the rated notes.
In particular, in addition to the base case analysis, Moody's
conducted sensitivity analyses to test the impact of a number of
default probabilities on the rated notes relative to the base case
modeling results. Below is a summary of the impact of different
default probabilities, expressed in terms of WARF level, on the
rated notes (shown in terms of the number of notches difference
versus the base case model output, where a positive difference
corresponds to a lower expected loss):
Moody's Assumed WARF - 20% (2640)
Class A-1-R: 0
Class A-2-R: 0
Class B-R: +2
Class C: +3
Class D: +1
Moody's Assumed WARF + 20% (3960)
Class A-1-R: 0
Class A-2-R: -2
Class B-R: -2
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, weighted average
recovery rate, and weighted average spread, are based on its
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions
Performing par and principal proceeds balance: $1,489,641,606
Defaulted par: $6,235,662
Diversity Score: 65
Weighted Average Rating Factor (WARF): 3300 (corresponding to a
weighted average default probability of 26.02%)
Weighted Average Spread (WAS): 3.92%
Weighted Average Recovery Rate (WARR): 49.63%
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.
BANC OF AMERICA 2006-3: Fitch Cuts Rating on Cl. A-M Debt to 'Csf'
------------------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed 12 classes of
Banc of America Commercial Mortgage Inc. (BACM) commercial mortgage
pass-through certificates series 2006-3.
KEY RATING DRIVERS
Concentration & Adverse Selection: The pool is highly concentrated
with only three of the original 97 loans remaining. Two of the
loans are currently in special servicing (61.1%), and one loan
(39%) has been modified with a Hope Note. The remaining loans are
underperforming and are secured by collateral in secondary markets.
As of the April 2017 distribution date, the pool's aggregate
principal balance has been reduced by 87.8% to $241.5 million from
$1.96 billion at issuance.
High Expected Losses: The downgrade reflects a greater certainty of
loss to class A-M from the remaining three loans in the pool.
Losses are expected to deplete class A-J. Fitch modelled losses of
56.3% of the remaining pool; expected losses on the original pool
balance total 22.5%, including $306 million (15.6% of the original
pool balance) in realized losses to date. Fitch losses for the
specially serviced loans were based on a stressed haircut applied
to the most recent appraised values provided by the servicer. In
addition, a full loss was assumed on the $36 million modified Hope
note for the Rushmore Mall.
The largest loan in the pool is the Southern Hills Mall loan (41.3%
of the pool), which is secured by 573,370 (sf) of a 794,000 sf
regional mall located in Sioux City, Iowa. Non-collateral anchor
tenants include Sears and J.C. Penney. The loan had transferred to
special servicing in March 2016 for imminent maturity default,
followed shortly thereafter by the maturity of the loan in June
2016. Per servicer updates, a receiver is in place and the servicer
is having discussions with the borrower on a possible third party
sale and assumption. Per the January 2017 rent roll, mall occupancy
was 97% with the collateral occupancy at 95%.
The second largest loan in the pool is the Rushmore Mall loan
(38.9%), which is secured by a 827,422 sf regional mall located in
Rapid City, South Dakota. The loan had twice transferred to special
servicing in July 2011 and December 2012. A modification was
completed in October 2014 which included a bifurcation of the loan
into a $58 million A note and a $36 million B (Hope) note, an
extension of the maturity date to February 2019, and a required
purchase of a vacant non-collateral anchor adding 101,559 sf to the
trust lien. The loan was returned to the master servicer as a
modified loan in January 2015 and has remained current under the
modified terms, with year-end 2016 debt service coverage ratio
(DSCR) reporting at 2.27x on the A note.
Occupancy reported at 94% per the March 2017 rent roll, an
improvement from 79% in December 2015. The occupancy increase is
due to a new lease with At Home, which took occupancy of the vacant
anchor space in June 2016. Additional anchor tenants include J.C.
Penney which reported trailing 12 month (T12) February 2017 sales
at $133 per square foot (psf), and Sears with T12 sales at $91 psf.
In-line sales reported at $280psf.
The last remaining loan is the Fifth Third Center loan (19.8%),
which is secured by a 330,840 sf, 23-story office building plus
seven story parking structure, located in the CBD of Columbus, OH.
The loan transferred to special servicing in May 2015 due to
imminent maturity default due to declining occupancy and low DSCR.
The servicer filed for foreclosure in October 2015, and a receiver
was appointed by the servicer in March 2016. Occupancy has steadily
declined to 56% per the November 2016 rent roll, compared to 69% at
YE December 2015 and 75% at YE 2014. The property is expected to
face further hardship as the largest tenant, Fifth Third Bank
(rated 'A' by Fitch) is expected to downsize to approximately
41,000 sf (12.5% NRA) from its current 118,000 sf (36%) upon its
November 2018 lease expiration date. Per servicer update, the
foreclosure sale has been postponed as the receiver works to
stabilize the property including evaluating capital needs and
develop a leasing plan for the asset.
RATING SENSITIVITIES
Loss to the A-M class is considered imminent based on Fitch's
expected losses for the remaining loans in the pool. The class
rating will downgraded to Dsf as losses are realized. Fitch does
not expect an upgrade the class based on the current pool
concentration risks and collateral underperformance.
Fitch has downgraded the following class:
-- $154.7 million class A-M to 'Csf from 'CCCsf'; RE 70%.
Fitch has affirmed the following classes:
-- $86.8 million class A-J at 'Dsf'; RE 0%;
-- $0 class B at 'Dsf'; RE 0%;
-- $0 class C at 'Dsf'; RE 0%;
-- $0 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%.
The class A-1, A-2, A-3, A-4 and A-1A certificates have paid in
full. Fitch does not rate the class N, O and P certificates. Fitch
previously withdrew the rating on the interest-only class XW
certificates.
BAYVIEW KOITERE 2017-SPL3: Fitch to Rate Class B5 Notes 'Bsf'
-------------------------------------------------------------
Fitch Ratings expects to rate Bayview Koitere Fund Trust 2017-SPL3
(BKFT 2017-SPL3) as follows:
-- $119,300,000 class A notes 'AAAsf'; Outlook Stable;
-- $119,300,000 class A-IOA notional notes 'AAAsf'; Outlook
Stable;
-- $119,300,000 class A-IOB notional notes 'AAAsf'; Outlook
Stable;
-- $14,638,000 class B1 notes 'AAsf'; Outlook Stable;
-- $14,638,000 class B1-IOA notional notes 'AAsf'; Outlook
Stable;
-- $14,638,000 class B1-IOB notional notes 'AAsf'; Outlook
Stable;
-- $5,581,000 class B2 notes 'Asf'; Outlook Stable;
-- $5,581,000 class B2-IO notional notes 'Asf'; Outlook Stable;
-- $10,978,000 class B3 notes 'BBBsf'; Outlook Stable;
-- $10,978,000 class B3-IOA notional notes 'BBBsf'; Outlook
Stable;
-- $10,978,000 class B3-IOB notional notes 'BBBsf'; Outlook
Stable;
-- $8,051,000 class B4 notes 'BBsf'; Outlook Stable;
-- $8,051,000 class B4-IOA notional notes 'BBsf'; Outlook Stable;
-- $8,051,000 class B4-IOB notional notes 'BBsf'; Outlook Stable;
-- $6,679,000 class B5 notes 'Bsf'; Outlook Stable.
The following classes will not be rated by Fitch:
-- $17,748,797 class B6 notes;
-- $17,748,797 class B6-IO notional notes.
The notes are supported by a pool of 3,431 seasoned performing and
re-performing (RPL) loans totaling $182.98 million, which excludes
$5.8 million in non-interest-bearing deferred principal amounts, as
of the cutoff date. Of the total interest-bearing pool balance,
95.1% are daily simple interest mortgage loans. Distributions of
principal and interest and loss allocations are based on a
sequential pay, senior subordinate structure.
The 'AAAsf' rating on the class A, A-IOA and A-IOB notes reflects
the 34.80% subordination provided by the 8% class B1, 3.05% class
B2, 6% class B3, 4.40% class B4, 3.65% class B5, and 9.70% class B6
notes.
Fitch's ratings on the notes reflect the credit attributes of the
underlying collateral, the quality of the servicer (Bayview Loan
Servicing, LLC, rated 'RSS2+'), the representation (rep) and
warranty framework, minimal due diligence findings, and the
sequential pay structure.
KEY RATING DRIVERS
Clean Current Loans (Positive): The loans are seasoned
approximately 11 years with 96.4% paying on time for the past 24
months and 92.4% for the past three years. In addition, 37 has been
modified due to performance issues, while the remaining loans were
either not modified (29.2%) or had their interest rates reduced due
to an rate reduction rider at origination (33.1%).
Low Property Values (Concern): Based on Fitch's analysis, the
average current property value of the pool is approximately
$97,500, which is much lower than the average of other Fitch-rated
RPL transactions of over $150,000. Historical data from CoreLogic
Loan Performance indicate that recently observed loss severities
(LS) have been higher for very low property values than that
implied by Fitch's loan loss model. For this reason, LS floors were
applied to loans with property values below $99,000, which ranged
from 53%-100%, and increased the 'AAAsf' loss expectation by
roughly 210 basis points (bps).
Daily Simple Interest Loans (Concern): Approximately 95% of the
pool consists of daily simple interest loans that accrue interest
on a daily basis from the date of the borrower's last payment.
While the monthly payment is fixed, if a borrower pays earlier than
the due date, less of the payment is applied to interest and more
is applied to principal. If the borrower pays late, more of the
payment is applied to interest and less goes to principal.
Because the bonds pay on a 30/360 day schedule, Fitch analyzed the
risk of a disproportionate number of borrowers paying earlier than
scheduled, which could cause the bonds to become
undercollateralized solely due to the mismatch in application of
payments between the loans and the bonds. Fitch analyzed pay dates
of the borrowers and found that roughly the same number of
borrowers pay either earlier or later than the due date. In
addition, close to 57% of the borrowers are on autopay, which
mitigates the payment date risk. Furthermore, Fitch believes the
excess interest generated by the later pay borrowers that is
available to pay down principal should offset the risk of
undercollateralization.
Portfolio Loans from a Single Originator (Positive): This
transaction consists of a portfolio of loans that Bayview Asset
Management (BAM) purchased from CitiFinancial Credit Company and
its lending subsidiaries (CitiFinancial). Given that roughly 94% of
the loans were originated and serviced by a single originator prior
to sale to BAM, Fitch believes that the approximately 20%
compliance, data integrity and pay history sample is sufficient to
capture the potential risk of incomplete files that could accompany
portfolios traded in the secondary market. A full custodial file
review was conducted on 100% of the pool, and tax and title search
was conducted on over 98% of the pool. In addition, BAM, with the
guidance of Bayview Loan Servicing, LLC (BLS; as servicer and rated
'RSS2+' by Fitch), reconstructed the past three years of pay
histories for 100% of the loans.
No Servicer P&I Advances (Mixed): The servicer will not be
advancing delinquent monthly payments of P&I, which reduces
liquidity to the trust. However, as P&I advances made on behalf of
loans that become delinquent and eventually liquidate reduce
liquidation proceeds to the trust, the loan-level LS are less for
this transaction than for those where the servicer is obligated to
advance P&I. Structural provisions and cash flow priorities,
together with increased subordination, provide for timely payments
of interest to the 'AAAsf' and 'AAsf' rated classes.
Sequential-Pay Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure, whereby the subordinate
classes do not receive principal until the senior classes are
repaid in full. Losses are allocated in reverse-sequential order.
In addition, 40bps from the interest remittance amount will be used
to pay down principal as well as any excess interest allocation
from the loan-level daily interest accrual calculation. The
provision to re-allocate principal to pay interest on the 'AAAsf'
and 'AAsf' rated notes prior to other principal distributions, as
well as the application of excess interest to the notes, is highly
supportive of timely interest payments to those classes, in the
absence of servicer advancing.
Potential Interest Deferrals (Mixed): To address the lack of an
external P&I advance mechanism, principal otherwise distributable
to the notes may be used to pay monthly interest. While this helps
provide stability in the cash flows to the high
investment-grade-rated bonds, the lower-rated bonds may experience
long periods of interest deferral and will generally not be repaid
until the note becomes the most senior outstanding.
Per Fitch's criteria, it may assign ratings of up to 'Asf' on notes
that incur deferrals if such deferrals are permitted under terms of
the transaction documents, provided such amounts are fully
recovered well in advance of the legal final maturity under the
relevant rating stress.
Tier I Representation Framework (Positive): Fitch considers the
transaction's representation, warranty and enforcement (RW&E)
mechanism framework to be consistent with Tier I quality. The
transaction benefits from life-of-loan representations and
warranties (R&Ws), as well as a backstop by BAM in the event the
sponsor, Koitere Fund, L.P., is liquidated or terminated.
Solid Alignment of Interest (Positive): The sponsor, Koitere Fund,
L.P., will acquire and retain a 5% vertical interest in each class
of the securities to be issued. In addition, the sponsor will also
be the rep provider until at least September 2024. If the fund is
liquidated or terminated, BAM will be obligated to provide a remedy
for material breaches of R&Ws.
CRITERIA APPLICATION
Fitch's analysis incorporated five criteria variations from 'U.S.
RMBS Master Rating Criteria' and 'U.S. RMBS Seasoned, Re-Performing
and Non-Performing Loan Criteria,' which are described below.
The first variation is the less than 100% TPR due diligence review
for regulatory compliance, data integrity and pay history. Tax and
title review was conducted on over 98% of the pool, and a custodial
file review was conducted on 100% of the pool. The remaining tax
and title review will be performed post-close. The less than 100%
TPR review is consistent with Fitch's criteria for seasoned
performing pools. However, because Fitch's criteria state it views
pools as seasoned performing if they consist of loans that were
never modified, a criteria variation was made. Without this
variation, the pool would have had 100% compliance, data integrity
and pay history TPR review to achieve a 'AAAsf' rating.
Fitch is comfortable with the reduced due diligence sample because
roughly 94% of the loans were originated by a single lender and the
sample provided is sufficient to provide a reliable indication of
the operational quality of the lender.
The second variation is that 5.7% of the tax, title and lien review
was conducted over six months prior to securitization. Of the 3,412
loans that were reviewed prior to closing, 3,217 were conducted
within six months prior to securitization. The remaining 195 loans
were reviewed within 6-16 months prior to securitization. Fitch
considered the robust servicing and ongoing monitoring from Bayview
Loan Servicing, which is a high-touch servicing platform that
specializes in seasoned loans. Given the strength of the servicer,
Fitch considered the impact of slightly seasoned tax, title and
lien reviews to be nonmaterial.
The third variation is the use of Clear Capital's HDI valuation
product as updated property values instead of an automated
valuation model (AVM). Fitch's criteria allow for the use of an AVM
product as updated values if there are sufficient compensating
factors. Clear Capital's HDI product is not an AVM but, rather, an
indexation product. Clear Capital is a reputable third-party vendor
that provides valuation services.
A review of the HDI product's white paper indicates values are
based on a robust data set that goes down to the neighborhood level
and incorporates REO sales. Fitch believes the HDI product to be an
adequate alternative to an AVM. The HDI product was only used for
loans that were clean current for the prior 24 months and had an
LTV about 60% based on the more conservative of the HDI value and
Fitch's indexed value. The impact of using this product is neutral,
as the HDI product is a sufficient alternative to an AVM product
and was only used on loans with an LTV of less than 60%.
Lastly, an updated BPO will not be provided on 2% of the pool. Due
to the rural location of the property, updated BPOs will not be
received in time for the transaction. As such, a 23% haircut was
applied to the original appraisal with no indexation applied,
increasing the loss expectations by approximately 10-30bps,
depending on rating category. These properties are located in rural
areas and have an average original property value of approximately
$65,000. Given the unknown condition of the property and the rural
location, there is a higher probability of decline in value. The
23% haircut used is based on the median value of available BPOs
with a negative variance to the original appraisal.
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.
Fitch conducted sensitivity analysis determining how the ratings
would react to steeper MVDs at the national level. The analysis
assumes MVDs of 10%, 20%, and 30%, in addition to the
model-projected 36.4% at 'AAAsf'. The analysis indicates there is
some potential rating migration with higher MVDs, compared with the
model projection.
Fitch also conducted sensitivities to determine the stresses to
MVDs that would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC Diligence, LLC (AMC), Westcor Land Title Insurance
Company (Westcor), Linear Title & Closing Ltd. (Linear),
Lincoln Abstract & Settlement Services, LLC (Lincoln), DRI
Title and Escrow (DRI) and Digital Risk, LLC (Digital Risk). The
third-party due diligence described in Form 15E focused on:
regulatory compliance review, 24-month-pay history review, data
integrity review, and BPO reconciliation on the loans. A servicing
comment review was not performed as all loans have been current in
the month prior to the cut-off date. In addition, Westcor, Linear,
Lincoln, and DRI were retained to perform an updated title and tax
search.
In addition, a sample due diligence review for regulatory
compliance and data integrity was conducted on approximately 20% of
the pool (by loan count), a pay history review on 22%, and a
custodial file review on 100% of the pool. Digital Risk, LLC
conducted a broker price opinion (BPO) reconciliation on
approximately 21% of the BPOs obtained. A tax review and title
search was conducted on over 99% of the pool. The tax and title
review on the remaining loans will be conducted post close. Any
title issues will be cleared within 90 days of closing, otherwise,
the loan will be repurchased. There were minimal findings by the
third-party review (TPR) firms.
Fitch considered this information in its analysis and based on the
findings made minor adjustments to its analysis.
Fitch made an adjustment on 58 loans that were subject to federal,
state, and/or local predatory testing. These loans contained
material violations including an inability to test for high cost
violations or confirm compliance, which could expose the trust to
potential assignee liability. These loans were marked as
'indeterminate'. Typically, the HUD issues are related to missing
the Final HUD, illegible HUDs, incomplete HUDs due to missing pages
or only having estimated HUDs where the final HUD1 was not used to
test for high-cost loans. To mitigate this risk, Fitch assumed a
100% LS for loans in the states that fall under Freddie Mac's 'do
not purchase' list of high cost or 'high risk.' Seven loans were
affected by this approach.
For the remaining 51 loans subject to high-cost testing, the
properties are not located in the states that fall under Freddie
Mac's 'do not purchase' list, and, therefore, the likelihood of all
loans being high cost is lower. However, Fitch assumes the trust
could potentially incur additional legal expenses. Fitch increased
its LS expectations by 5% for these loans to account for the risk.
There were 387 loans (21 loans which had Indeterminate HUD1
Adjustment applied) missing modification documents or a signature
on modification documents. For these loans, timelines were extended
by an additional three months, in addition to the six-month
timeline extension applied to the entire pool.
BEAR STEARNS 2007-TOP28: Fitch Affirms CCC Rating on Class D Certs
------------------------------------------------------------------
Fitch Ratings has affirmed 17 classes of Bear Stearns Commercial
Mortgage Securities Trust (BSCMSI) commercial mortgage pass-through
certificates series 2007-TOP28.
KEY RATING DRIVERS
The affirmations reflect the overall stable performance of the
pool. Fitch modeled losses of 7.9% of the remaining pool; expected
losses on the original pool balance total 7%, including $55.7
million (3.2% of the original pool balance) in realized losses to
date.
As of the April 2017 distribution date, the pool's aggregate
principal balance has been reduced by 51.5% to $854.9 million from
$1.76 billion at issuance. Per the servicer reporting, 10 loans
(13.9% of the pool) are defeased. Interest shortfalls are currently
affecting classes G through P.
Stable Performance; Continued Paydown: The overall pool performance
remains stable and the transaction continues to delever. At Fitch's
last rating action, there was one loan (0.5%) in special servicing,
which is secured by a 60,266 square foot (sf) suburban office
building located in Longmont, CO. The loan transferred when the
previous single tenant exercised an early termination clause.
However, the building has been 100% leased to a new tenant, who
will commence rent payments in June 2017. The loan remains current
and has been returned to the master servicer.
2017 Maturities: With 98% of the pool maturing in 2017, the
transaction faces significant maturity risk. The highest
concentration occurs in the third quarter (74.5%).
Fitch Loans of Concern: Ten loans totaling 20.9% of the pool were
considered Fitch Loans of Concern, including the second largest
loan, Charleston Town Center (11%). The loan is secured by 356,000
sf of inline space at the Charleston Town Center, a regional mall
located in Charleston, WV. The downtown-based mall is anchored by
Macy's and JC Penney, neither of which are part of the collateral.
Sears had been an anchor, but the company announced that it will be
closing this location in April 2017. Fitch continues to monitor the
loan for possible occupancy issues that may arise from the Sears
store closure.
Retail Concentration: Loans secured by retail properties account
for 50% of the pool.
Limited Amortization: Of the remaining loans, 33% ($279 million)
are interest-only. None of the loans are fully amortizing.
RATING SENSITIVITIES
The ratings on senior classes A-4 through A-M are expected to
remain stable as these classes will pay off or benefit from
increased credit enhancement as loans repay at maturity. The Rating
Outlooks on classes A-J and B remain Stable due to the continued
stable performance of the pool; upgrades to these classes may be
warranted depending on how many loans refinance at maturity. The
Rating Outlook on class C has been revised to Negative due to the
significant maturity risk, including several highly leveraged large
loans and high retail exposure including concerns with the
Charleston Town Center loan. The distressed classes are subject to
further downgrade as losses are realized.
Fitch affirms the following class and revises the Rating Outlook as
indicated:
-- $15.4 million class C at 'BBsf'; Outlook to Negative from
Stable.
Fitch affirms the following classes as indicated:
-- $343.6 million class A-4 at 'AAAsf'; Outlook Stable;
-- $91.5 million class A-1A at 'AAAsf'; Outlook Stable;
-- $176.1 million class A-M at 'AAAsf'; Outlook Stable;
-- $114.5 million class A-J at 'BBBsf'; Outlook Stable;
-- $30.8 million class B at 'BBsf'; Outlook Stable;
-- $28.6 million class D at 'CCCsf; RE 80%;
-- $22 million class E at 'CCsf'; RE 0%;
-- $17.6 million class F at 'Csf'; RE 0%;
-- $14.8 million class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%.
The class A-1, A-2, A-3 and A-AB certificates have paid in full.
Fitch does not rate the class P certificates. Fitch previously
withdrew the ratings on the interest-only class X-1 and X-2
certificates.
BENEFIT STREET XI: Moody's Assigns B3(sf) Rating to Class E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
notes issued by Benefit Street Partners CLO XI, Ltd.
Moody's rating action is:
US$5,400,000 Class X Senior Secured Floating Rate Notes due 2029
(the "Class X Notes"), Rating Assigned Aaa (sf)
US$387,000,000 Class A-1 Senior Secured Floating Rate Notes due
2029 (the "Class A-1 Notes"), Rating Assigned Aaa (sf)
US$51,000,000 Class A-2a Senior Secured Floating Rate Notes due
2029 (the "Class A-2a Notes"), Rating Assigned Aa2 (sf)
US$12,000,000 Class A-2b Senior Secured Fixed Rate Notes due 2029
(the "Class A-2b Notes"), Rating Assigned Aa2 (sf)
US$38,400,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2029 (the "Class B Notes"), Rating Assigned A2 (sf)
US$38,400,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2029 (the "Class C Notes"), Rating Assigned Baa3 (sf)
US$25,200,000 Class D Secured Deferrable Floating Rate Notes due
2029 (the "Class D Notes"), Rating Assigned Ba3 (sf)
US$9,600,000 Class E Secured Deferrable Floating Rate Notes due
2029 (the "Class E Notes"), Rating Assigned B3 (sf)
The Class X Notes, the Class A-1 Notes, the Class A-2a Notes, the
Class A-2b Notes, the Class B Notes, the Class C Notes, the Class D
Notes and the Class E Notes are referred to herein, collectively,
as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
Benefit Street Partners CLO XI is a managed cash flow CLO. The
issued notes will be collateralized primarily by broadly syndicated
first lien senior secured corporate loans. At least 90% of the
portfolio must consist of senior secured loans, cash, and eligible
investments, and up to 10% of the portfolio may consist of second
lien loans and unsecured loans. The portfolio is at least 83%
ramped as of the closing date.
Benefit Street Partners L.L.C. (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer has issued one class of
subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in October 2016.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $600,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2796
Weighted Average Spread (WAS): 3.60%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 48.5%
Weighted Average Life (WAL): 9 years.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
October 2016.
Factors That Would Lead to a Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2796 to 3215)
Rating Impact in Rating Notches
Class X Notes: 0
Class A-1 Notes: 0
Class A-2a Notes: -1
Class A-2b Notes: -1
Class B Notes: -2
Class C Notes: -1
Class D Notes: 0
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2796 to 3635)
Rating Impact in Rating Notches
Class X Notes: 0
Class A-1 Notes: -1
Class A-2a Notes: -3
Class A-2b Notes: -3
Class B Notes: -4
Class C Notes: -2
Class D Notes: -1
Class E Notes: -3
CD 2017-CD4: DBRS Assigns Prov. BBsf Rating to Class F Certificates
-------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2017-CD4 (the
Certificates) issued by the CD 2017-CD4 Mortgage Trust:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-M at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class X-B at AA (low) (sf)
-- Class C at A (high) (sf)
-- Class X-D at BBB (high) (sf)
-- Class D at BBB (sf)
-- Class X-E at BBB (low) (sf)
-- Class E at BB (high) (sf)
-- Class X-F at BB (sf)
-- Class F at BB (low) (sf)
All trends are Stable.
Classes D, E, F, X-B, X-D, X-E and X-F will be privately placed.
The Class X-A, X-B, X-D, X-E and X-F balances are notional.
The collateral consists of 47 fixed-rate loans secured by 53
commercial and multifamily properties. The transaction is a
sequential-pay pass-through structure. The conduit pool was
analyzed to determine the provisional ratings, reflecting the
long-term probability of loan default within the term and its
liquidity at maturity. Trust assets contributed from two loans,
representing 16.8% of the pool, are shadow-rated investment grade
by DBRS. Proceeds for the shadow-rated loans are floored at their
respective rating within the pool. When the combined 16.8% of the
pool has no proceeds assigned below the rating floor, the resulting
pool subordination is diluted or reduced below that rated floor.
When the cut-off loan balances were measured against the DBRS
Stabilized net cash flow (NCF) and their respective actual
constants, three loans, representing 2.3% of the total pool, had a
DBRS Term debt service coverage ratio (DSCR) below 1.15 times (x),
a threshold indicative of a higher likelihood of mid-term default.
Additionally, to assess refinance risk given the current low
interest rate environment, DBRS applied its refinance constants to
the balloon amounts. This resulted in 21 loans, representing 47.2%
of the pool, having refinance DSCRs below 1.00x. These credit
metrics are based on whole loan balances. One of the pool’s loans
with a DBRS Refi DSCR below 0.90x, Hilton Hawaiian Village,
representing 6.3% of the transaction balance, has large pieces of
subordinate mortgage debt outside the trust. Based on A-note
balances only, the deal’s weighted-average DBRS Refi DSCR
improves marginally to 1.07x.
Term default risk is moderate as indicated by the relatively strong
DBRS Term DSCR of 1.61x. In addition, 18 loans, representing 43.1%
of the pool, have a DBRS Term DSCR in excess of 1.50x. Two loans,
95 Morton Street and Hilton Hawaiian Village, representing a
combined 16.8% of the pool, exhibit credit characteristics
consistent with investment-grade shadow ratings of BBB (low) and
BBB (high), respectively, and even when excluding these loans, the
deal exhibits a favorable DBRS Term DSCR of 1.58x. Nine loans,
representing 41.9% of the pool, are located in either urban or
super dense urban markets, both of which benefit from consistent
investor demand and increased liquidity even in times of stress.
Super dense urban markets represented in this deal include New
York, New York and Santa Monica, California, while urban markets
consists of Sunnyvale, California; Honolulu, Hawaii; Long Island
City, New York; Cleveland, Ohio; and Brooklyn, New York.
Additionally, only eight loans, representing 8.7% of the pool, are
located in tertiary/rural markets. Four of the largest 15 loans,
representing 27.9% of the DBRS sample, received an Excellent or
Above Average property-quality grade, and no loans received Below
Average or Poor property quality grades. Higher-quality properties
are more likely to retain existing tenants/guests and more easily
attract new tenants/guests, resulting in a more stable performance.
The pool is extremely concentrated based on loan size, with a
concentration profile equivalent to that of a pool of 23
equal-sized loans. The largest five and ten loans total 38.9% and
55.7% of the pool, respectively. The pool is also highly
concentrated by property type, as the office concentration is
45.0%. Ten loans, representing 28.4% of the pool, including four of
the largest 15 loans, are structured with full-term IO payments. An
additional 18 loans, comprising 44.5% of the pool, have partial IO
periods ranging from 19 months to 84 months. As a result, the
transaction’s scheduled amortization by maturity is only 9.9%,
which is generally below other recent conduit securitizations. Ten
loans, representing 19.1% of the transaction balance, are secured
by properties that are either fully or primarily leased to a single
tenant. This includes one of the largest 15 loans, Moffett Place
Google. Loans secured by properties occupied by single tenants have
been found to suffer higher loss severities in an event of default.
As such, DBRS applied a higher probability of default and cash flow
volatility to single-tenant properties compared with multi-tenant
properties.
The DBRS sample included 20 of the 47 loans in the pool. Site
inspections were performed on 20 of the 53 properties in the
portfolio (65.6% of the pool by allocated loan balance). The DBRS
sample had an average NCF variance of -12.1% from the Issuer’s
NCF and ranged from -23.7% (Troy Office Portfolio) to +0.2%
(Champion Forest Self Storage).
The ratings assigned to the Certificates by DBRS are based
exclusively on the credit provided by the transaction structure and
underlying trust assets. All classes will be subject to ongoing
surveillance, which could result in upgrades or downgrades by DBRS
after the date of issuance.
CD 2017-CD4: Fitch to Rate $8.55MM Class F Certificates 'B-sf'
--------------------------------------------------------------
Fitch Ratings has issued a presale report on CD 2017-CD4 Mortgage
Trust Commercial Mortgage Pass-Through Certificates, Series
2017-CD4.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $28,964,000 class A-1 'AAAsf'; Outlook Stable;
-- $90,250,000 class A-2 'AAAsf'; Outlook Stable;
-- $53,102,000 class A-SB 'AAAsf'; Outlook Stable;
-- $192,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $234,483,000 class A-4 'AAAsf'; Outlook Stable;
-- $669,372,000b class X-A 'AAAsf'; Outlook Stable;
-- $70,573,000 class A-M 'AAAsf'; Outlook Stable;
-- $36,355,000 class B 'AA-sf'; Outlook Stable;
-- $39,564,000 class C 'A-sf'; Outlook Stable;
-- $75,919,000ab class X-B 'A-sf'; Outlook Stable;
-- $44,910,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $21,386,000ab class X-E 'BB-sf'; Outlook Stable;
-- $8,554,000ab class X-F 'B-sf'; Outlook Stable;
-- $44,910,000a class D 'BBB-sf'; Outlook Stable;
-- $21,386,000a class E 'BB-sf'; Outlook Stable;
-- $8,554,000a class F 'B-sf'; Outlook Stable.
The following classes are not expected to be rated:
-- $35,286,789a class G;
-- $35,286,789ab class X-G;
-- $45,022,522c VRR Interest.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest only.
(c) Vertical credit risk retention interest representing 5.0% of
the pool balance (as of the closing date).
The expected ratings are based on information provided by the
issuer as of April 24, 2017.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 47 loans secured by 53
commercial properties having an aggregate principal balance of
$900,450,312 as of the cut-off date. The loans were contributed to
the trust by German American Capital Corporation, Citi Real Estate
Funding Inc., and Citigroup Global Markets Realty Corp.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 79.5% of the properties
by balance, cash flow analysis of 85.2%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Fitch Leverage Lower than Recent Averages: The pool has lower
leverage than recent Fitch-rated multiborrower transactions. The
pool's Fitch debt service coverage ratio (DSCR) and loan to value
(LTV) for the trust are 1.22x and 102.4%, respectively, compared
with the year-to-date (YTD) 2017 average DSCR of 1.22x and LTV of
104.7% and the 2016 average DSCR of 1.21x and LTV of 105.2%.
Limited Amortization: Ten loans representing 28.4% of the pool are
full-term interest-only and 18 loans representing 44.5% of the pool
are partial interest-only. The pool is scheduled to amortize by
9.9% of the initial pool balance prior to maturity.
Single-Tenant Concentration: Four loans among the largest 20 are
single-tenant properties (14.1% of the pool). Moffett Place Google
(8.3%), Malibu Vista (2.0%), Alvogen Pharma US (1.9%) and SG360
(1.8%) are single-tenant properties. Fitch conducted a dark-value
analysis to test the probability for recovery in the event that the
tenant in each case vacated the entire property during the loan
term. Fitch made certain assumptions for occupancy, downtime
between leases, carrying costs and re-tenanting costs and compared
the resulting dark values to the outstanding loan balance. Fitch
was comfortable the dark value covers the implied high
investment-grade proceeds for the single-tenant properties
sampled.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 15.0% below
the most recent year's net operating income (NOI); for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period). Unanticipated further
declines in property-level NCF could result in higher defaults and
loss severities on defaulted loans and in potential rating actions
on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to CD
2017-CD4 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'BBB+sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'
could result.
CITIGROUP 2016-C1: Fitch Affirms 'B-sf' Rating on Class F Certs
---------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Citigroup Commercial
Mortgage Trust 2016-C1 Commercial Mortgage Pass-through
certificates.
KEY RATING DRIVERS
The affirmations are based on the stable performance of the
underlying collateral. There have been no material changes to the
pool since issuance, and therefore the original rating analysis was
considered in affirming the transaction. As of the April 2017
distribution date, the pool's aggregate principal balance has been
reduced by 0.6% to $751 million from $755.7 million at issuance.
Stable Performance: All loans in the pool are current as of the
April 2017 remittance with property level performance in line with
issuance expectations. There are no material changes to pool
metrics.
Diverse Property Types: The pool has a diverse mix of property
types, with retail as the largest at 35.1%, followed by hotel at
19.8%, office at 12.6%, and self-storage at 10.9%. Overall, there
are 27 retail properties, including the largest loan (13.4% of the
pool), consisting of a mix of unanchored and anchored shopping
centers. None of the properties are malls.
High Fitch Leverage: The transaction has higher leverage than other
Fitch-rated transactions of the same vintage. The pool's Fitch DSCR
of 1.06x is below both the 2016 average of 1.21x and the 2015
average of 1.18x. The pool's Fitch LTV of 114.4% is above both the
2016 and 2015 average 105.2% and 109.3%, respectively.
High Pool Concentration: The largest 10 loans account for 55.1% of
the pool by balance. This is higher than the 2016 average of 54.8%
and the 2015 average of 49.3%. The pool's average concentration
resulted in a loan concentration index (LCI) of 471, which is
greater than the 2016 and the 2015 averages of 422 and 367,
respectively.
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 the following classes:
-- $31.5 million class A-1 at 'AAAsf'; Outlook Stable;
-- $15.1 million class A-2 at 'AAAsf'; Outlook Stable;
-- $185 million class A-3 at 'AAAsf'; Outlook Stable;
-- $237.5 million class A-4 at 'AAAsf'; Outlook Stable;
-- $55.3 million class A-AB at 'AAAsf'; Outlook Stable;
-- $563.1a million class X-A at 'AAAsf'; Outlook Stable;
-- $35.9a million class X-B at 'AA-sf'; Outlook Stable;
-- $38.7b million class A-S at 'AAAsf'; Outlook Stable;
-- $35.9b million class B at 'AA-sf'; Outlook Stable;
-- $109.6b million class EC at 'A-sf'; Outlook Stable;
-- $35b million class C at 'A-sf'; Outlook Stable;
-- $47.2c million class D at 'BBB-sf'; Outlook Stable;
-- $24.6c million class E at 'BB-sf'; Outlook Stable;
-- $9.4c million class F at 'B-sf'; Outlook Stable.
(a) Notional amount and interest-only.
(b) The class A-S, class B and class C certificates may be
exchanged for class EC certificates, and class EC certificates may
be exchanged for the class A-S, class B and class C certificates.
(c) Privately placed and pursuant to Rule 144A.
Fitch does not rate the $9,447,000 class G or the $26,450,044 class
H.
COLD STORAGE 2017-ICE3: Moody's Gives Ba1 Rating on Cl. HRR Debt
----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to five
classes of commercial mortgage backed securities, issued by Cold
Storage Trust 2017-ICE3, Commercial Mortgage Pass-Through
Certificates, Series 2017-ICE3
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned Aa3 (sf)
Cl. C, Definitive Rating Assigned A3 (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. HRR, Definitive Rating Assigned Ba1 (sf)
RATINGS RATIONALE
The Certificates are collateralized by a single loan backed by a
first lien commercial mortgage related to a portfolio of 54
temperature controlled properties. The single borrower underlying
the mortgage is comprised of 21 special-purpose bankruptcy-remote
entities, each of which is indirectly wholly owned and controlled
by Lineage Logistics Holdings, LLC.
Moody's approach to rating this transaction involved the
application of Moody's Single Borrower methodology. The rating
approach for securities backed by a single loan compares the credit
risk inherent in the underlying property with the credit protection
offered by the structure. The structure's credit enhancement is
quantified by the maximum deterioration in property value that the
securities are able to withstand under various stress scenarios
without causing an increase in the expected loss for various rating
levels. In assigning single borrower ratings, Moody's also
considers a range of qualitative issues as well as the
transaction's structural and legal aspects.
The credit risk of the loan is determined primarily by two factors:
1) Moody's assessment of the probability of default, which is
largely driven by the DSCR, and 2) Moody's assessment of the
severity of loss in the event of default, which is largely driven
by the LTV of the underlying loan.
The first mortgage balance of $1,295,000,000 represents a Moody's
LTV of 80.3%. The Moody's First Mortgage Actual DSCR is 5.23X and
Moody's First Mortgage Actual Stressed DSCR is 1.39X.
Loan collateral is comprised of the borrower's fee interest in 53
temperature-controlled properties and a leasehold interest in one
temperature-controlled property located within 17 states.
Construction dates range between 1950 and 2016 and reflect an
average age of 17.3 years.
Property subtypes based on Moody's classification include
Distribution/Port (28 properties; 62.9% of TTM NCF; 62.1% of total
square footage), Production Attached/Advantaged (10 properties;
21.8% of TTM NCF; 16.9% of total square footage) and public
warehouse (16 properties; 15.3% of TTM NCF; 21.0% of total square
footage). Most of the facilities are well-suited for their use,
exhibiting a weighted average clear height of 32.7 feet. For the
twelve months up to February 28, 2017 the portfolio's utilization
rate was 80.0%.
Moody's analysis for temperature controlled portfolios
predominantly focuses on five main factors. These include the
assessment of (1) a facility's proximity to a Global Gateway
Industrial Market, agricultural and/or food producers, (2) Building
Size, (3) Functionality of a facility, (4) Property Subtype which
is categorized into three distinct subgroups mainly Public
Warehouse, Production Attached/Advantaged, and Distribution/Port
Facilities and (5) Utilization and Contracts with food producers,
pharmaceutical companies, manufactures and farmers. With respect to
the portfolio collateral, Moody's assessment of the portfolio's
value centers was positive with respect to facility size,
functionality metrics, and location.
Revenues for the underlying 54 properties are effectively
cross-collateralized. Loans secured by multiple properties benefit
from lower cash flow volatility given that excess cash flow from
one property can be used to augment another's cash flow to meet
debt service requirements. The loan also benefit from the pooling
of equity from each underlying property.
There are 21 borrowers which are all special purpose entities that
are 100% directly or indirectly owned by the loan sponsor, who is
the non-recourse guarantor. The borrowers are all special-purpose
bankruptcy-remote entities each of which is required to appoint one
or more independent directors, managers or others similar persons.
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 review incorporated the use of the excel-based Large Loan
Model, which it uses for single borrower and large loan
multi-borrower transactions. 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. These aggregated proceeds are then
further adjusted for any pooling benefits associated with loan
level diversity, other concentrations and correlations.
Moody's Parameter Sensitivities: If Moody's value of the collateral
used in determining the initial rating were decreased by 5%, 14.2%,
or 22.5%, the model-indicated rating for the currently rated Aaa
(sf) class would be Aa1 (sf), Aa3 (sf), or A3 (sf), and currently
rated Aa3 (sf) class would be A2 (sf), Baa1 (sf), or Ba1 (sf),
respectively. Additionally, the model indicated rating for the
currently rated A3 (sf) class would be Baa2 (sf), Ba1 (sf), or B1
(sf), and currently rated Baa3 (sf) class would be Ba2 (sf), B1
(sf), and Caa1 (sf), respectively, and currently rated Ba1 (sf)
class would be Ba3 (sf), B2 (sf), Caa2 (sf). Parameter
Sensitivities are not intended to measure how the rating of the
security might migrate over time; rather they are designed to
provide a quantitative calculation of how the initial rating might
change if key input parameters used in the initial rating process
differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer at
the date it was prepared and such information has not been
independently verified by Moody's and (b) must be construed solely
as a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating to
the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third party
for any loss, injury or cost caused to the issuer or any other
third party, in whole or in part, including by any negligence (but
excluding fraud, dishonesty and/or willful misconduct or any other
type of liability that by law cannot be excluded) on the part of,
or any contingency beyond the control of Moody's, or any of its
employees or agents, including any losses arising from or in
connection with the procurement, compilation, analysis,
interpretation, communication, dissemination, or delivery of any
information or rating relating to the issuer.
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 may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan paydowns or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
Moody's ratings address only the credit risks associated with the
transaction. Other non-credit risks have not been addressed and may
have a significant effect on yield to investors.
The ratings do not represent any assessment of (i) the likelihood
or frequency of prepayment on the mortgage loans, (ii) the
allocation of net aggregate prepayment interest shortfalls, (iii)
whether or to what extent prepayment premiums might be received, or
(iv) in the case of any class of interest-only certificates, the
likelihood that the holders thereof might not fully recover their
investment in the event of a rapid rate of prepayment of the
mortgage loans.
COLD STORAGE 2017-ICE3: S&P Assigns 'BB+' Rating on Cl. HRR Debt
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Cold Storage Trust
2017-ICE3's $1.295 billion commercial mortgage pass-through
certificates series 2017-ICE3.
The certificate issuance is commercial mortgage-backed securities
transaction backed by one two-year, floating-rate commercial
mortgage loan totaling $1.295 billion, with five one-year extension
options, secured by the fee and leasehold interests in 54
temperature-controlled warehouse properties, and a security
interest in the master lease and the rents due thereunder.
The ratings reflect S&P's view of the collateral's historic and
projected performance, the guarantor's and managers' experience,
the trustee-provided liquidity, the loan's terms, and the
transaction's structure.
RATINGS ASSIGNED
Cold Storage Trust 2017-ICE3
Class Rating(i) Amount ($)
A AAA (sf) 765,102,000
B AA- (sf) 180,024,000
C A- (sf) 135,018,000
D BBB- (sf) 150,106,000
HRR BB+ (sf) 64,750,000
(i)The issuer will issue the certificates to qualified
institutional buyers in line with Rule 144A of the Securities Act
of 1933.
COMM 2014-CCRE18: Fitch Affirms 'BB-sf' Rating on Class E Certs
---------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Deutsche Bank Securities,
Inc.'s (COMM) commercial mortgage pass-through certificates series
2014-CCRE18.
KEY RATING DRIVERS
The affirmations are based on the overall stable performance of the
pool. There is one specially serviced loan (1.3%) that is secured
by a portfolio of four hotel properties located in the Pittsburgh
MSA. The loan transferred to the special servicer in March 2017 due
to payment default. The properties are undergoing renovations and
portfolio occupancy has declined to 36% due to lower demand from
oil and gas companies in the Marcellus Shale Gas Formation region.
As of the April 2017 distribution date, the pool's aggregate
principal balance has been reduced by 2.4% to $972 million from
$996.3 million at issuance. Per the servicer reporting, one loan
(6.6% of the pool) is defeased. Interest shortfalls are currently
affecting class G.
Stable Performance: Property-level performance remains generally in
line with issuance expectations, and there have been no material
changes to the pool metrics.
Concentrated Pool: The 10 largest loans represent 57.8% of the
total pool balance, which is higher than the average 2013 vintage
top 10 concentration of 54.5%.
Limited Amortization: The pool is scheduled to amortize by 11.7% of
the initial pool balance prior to maturity. Three loans (16.8%),
including the largest loan, are full-term interest only, and 20
loans (47.8%) are partial interest only.
Diverse Property Type Mix: The pool has a good mix of property
types, with retail as the largest property type at 24%, followed by
multifamily at 19.6%, mixed-use at 18.5%, office at 12.9% and hotel
at 11.9%. The pool's 13 retail properties consist of a mix of
anchored and unanchored shopping centers, none of which are malls.
RATING SENSITIVITIES
The Ratings Outlook on classes E and X-B remain Negative as a
result of concerns with the specially serviced loan and the
performance decline of the fourth largest loan, Southfield Town
Center (6.4%). Sustained underperformance may warrant a downgrade;
conversely, the Outlook may be revised to Stable should asset level
performance revert to levels seen at issuance. The Outlook for
class D has been revised to Stable as the two specially serviced
loans at Fitch's last review were returned to the master servicer
and the third largest loan, Mellon Independence Center (6.6%), has
been defeased. Fitch previously modeled a loss for the Mellon
Independence Center loan due to concerns with BNY Mellon reducing
its space or vacating. Outlooks on A-1 through C remain Stable due
to the relatively stable performance of the pool. Downgrades are
possible with a significant performance decline. Upgrades to senior
classes are possible with increased credit enhancement and overall
improved pool performance.
Fitch has affirmed the following classes and revised the Rating
Outlook as indicated:
-- $53.6 million class D at 'BBB-sf'; Outlook to Stable from
Negative.
-- $158.2 million* class X-B at 'BBB-sf'; Outlook to Stable from
Negative.
Fitch affirms the following classes:
-- $22.7 million class A-1 at 'AAAsf'; Outlook Stable;
-- $139.7 million class A-2 at 'AAAsf'; Outlook Stable;
-- $53.6 million class A-SB at 'AAAsf'; Outlook Stable;
-- $20.4 million class A-3 at 'AAAsf'; Outlook Stable;
-- $195 million class A-4 at 'AAAsf'; Outlook Stable;
-- $241.7 million class A-5 at 'AAAsf'; Outlook Stable;
-- $734.1 million* class X-A at 'AAAsf'; Outlook Stable;
-- $61 million class A-M at 'AAAsf'; Outlook Stable;
-- $58.5 million class B at 'AA-sf'; Outlook Stable;
-- $165.6 million class PEZ at 'A-sf'; Outlook Stable;
-- $46.1 million class C at 'A-sf'; Outlook Stable;
-- $26.2 million class E at 'BB-sf'; Outlook Negative.
*Notional and interest-only.
Fitch does not rate the class F, G, and X-C certificates. Class
A-M, B and C certificates may be exchanged for class PEZ
certificates, and class PEZ certificates may be exchanged for class
A-M, B and C certificates.
CONNECTICUT AVENUE 2017-C03: Moody's Rates Cl. 1M-2 Debt '(P)B2'
----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
twenty nine classes of notes on Connecticut Avenue Securities (CAS)
2017-C03, a securitization designed to provide credit protection to
the Federal National Mortgage Association (Fannie Mae) against the
performance of a reference pool of mortgages totaling approximately
$41 billion. All of the Notes in the transaction are direct,
unsecured obligations of Fannie Mae, and as such investors are
exposed to the credit risk of Fannie Mae (Aaa Stable).
CAS 2017-C03 is the nineteenth transaction in the Connecticut
Avenue Securities series issued by Fannie Mae. CAS 2017-C03 is also
the eleventh transaction in the CAS series to have a legal final
maturity of 12.5 years, as compared to 10 years in previous fixed
severity CAS securitizations. Unlike a typical RMBS transaction,
noteholders are not entitled to receive any cash from the mortgage
loans in the reference pool. Instead, the timing and amount of
principal and interest that Fannie Mae is obligated to pay on the
Notes is linked to the performance of the mortgage loans in the
reference pool. CAS 2017-C03's note write-downs are determined by
actual realized losses and modification losses on the loans in the
reference pool, and not tied to pre-set tiered severity schedules.
In addition, the interest amount paid to the notes can be reduced
by the amount of modification loss incurred on the mortgage loans.
Fannie Mae is obligated to retire the Notes in October 2029 if
balances remain outstanding.
Credit events in CAS 2017-C03 occur when a short sale is settled,
when a mortgage note that is 12 or more months delinquent is sold
prior to foreclosure, when the mortgaged property that secured the
related mortgage note is sold to a third party at a foreclosure
sale, when an REO disposition occurs, or when the related mortgage
note is charged-off. This differs from previous CAS fixed severity
securitizations, where credit events occur as early as when a
reference obligation is 180 or more days delinquent.
The complete rating action is:
Issuer: Connecticut Avenue Securities, Series 2017-C03
$568.1 million of Class 1M-1 notes, Assigned (P)Baa3 (sf)
$607.3 million of Class 1M-2 notes, Assigned (P)B2 (sf)
The Class 1M-2 note holders can exchange their notes for the
following notes:
$199.8 million of Class 1M-2A exchangeable notes, Assigned (P)Ba2
(sf)
$203.8 million of Class 1M-2B exchangeable notes, Assigned (P)B1
(sf)
$203.8 million of Class 1M-2C exchangeable notes, Assigned NR
The Class 1M-2A note holders can exchange their notes for the
following notes:
$199.8 million of Class 1E-A1 exchangeable notes, Assigned (P)Ba2
(sf)
$199.8 million of Class 1A-I1 exchangeable notes, Assigned (P)Ba2
(sf)
$199.8 million of Class 1E-A2 exchangeable notes, Assigned (P)Ba2
(sf)
$199.8 million of Class 1A-I2 exchangeable notes, Assigned (P)Ba2
(sf)
$199.8 million of Class 1E-A3 exchangeable notes, Assigned (P)Ba2
(sf)
$199.8 million of Class 1A-I3 exchangeable notes, Assigned (P)Ba2
(sf)
$199.8 million of Class 1E-A4 exchangeable notes, Assigned (P)Ba2
(sf)
$199.8 million of Class 1A-I4 exchangeable notes, Assigned (P)Ba2
(sf)
The Class 1M-2B note holders can exchange their notes for the
following notes:
$203.8 million of Class 1E-B1 exchangeable notes, Assigned (P)B1
(sf)
$203.8 million of Class 1B-I1 exchangeable notes, Assigned (P)B1
(sf)
$203.8 million of Class 1E-B2 exchangeable notes, Assigned (P)B1
(sf)
$203.8 million of Class 1B-I2 exchangeable notes, Assigned (P)B1
(sf)
$203.8 million of Class 1E-B3 exchangeable notes, Assigned (P)B1
(sf)
$203.8 million of Class 1B-I3 exchangeable notes, Assigned (P)B1
(sf)
$203.8 million of Class 1E-B4 exchangeable notes, Assigned (P)B1
(sf)
$203.8 million of Class 1B-I4 exchangeable notes, Assigned (P)B1
(sf)
The Class 1E-A1 and 1E-B1 note holders can exchange their notes for
the following notes:
$403.6 million of Class 1E-D1 exchangeable notes, Assigned (P)B1
(sf)
The Class 1E-A2 and 1E-B2 note holders can exchange their notes for
the following notes:
$403.6 million of Class 1E-D2 exchangeable notes, Assigned (P)B1
(sf)
The Class 1E-A3 and 1E-B3 note holders can exchange their notes for
the following notes:
$403.6 million of Class 1E-D3 exchangeable notes, Assigned (P)B1
(sf)
The Class 1E-A4 and 1E-B4 note holders can exchange their notes for
the following notes:
$403.6 million of Class 1E-D4 exchangeable notes, Assigned (P)B1
(sf)
The Class 1M-2A and 1M-2B note holders can exchange their notes for
the following notes:
$403.6 million of Class 1E-D5 exchangeable notes, Assigned (P)B1
(sf)
The Class 1A-I1 and 1B-I1 note holders can exchange their notes for
the following notes:
$403.6 million of Class 1-X1 exchangeable notes, Assigned (P)B1
(sf)
The Class 1A-I2 and 1B-I2 note holders can exchange their notes for
the following notes:
$403.6 million of Class 1-X2 exchangeable notes, Assigned (P)B1
(sf)
The Class 1A-I3 and 1B-I3 note holders can exchange their notes for
the following notes:
$403.6 million of Class 1-X3 exchangeable notes, Assigned (P)B1
(sf)
The Class 1A-I4 and 1B-I4 note holders can exchange their notes for
the following notes:
$403.6 million of Class 1-X4 exchangeable notes, Assigned (P)B1
(sf)
Below is a summary description of the transaction and Moody's
rating rationale. More details on this transaction can be found in
Moody's presale report.
The Notes
The 1M-1 notes are adjustable rate P&I notes with an interest rate
that adjusts relative to LIBOR.
The 1M-2 notes are adjustable rate P&I notes with an interest rate
that adjusts relative to LIBOR. The holders of the 1M-2 notes can
exchange those notes for 1M-2A, 1M-2B and 1M-2C exchangeable notes
(together referred as the "Exchangeable Notes").
The 1M-2A notes are adjustable rate P&I notes with an interest rate
that adjusts relative to LIBOR. The holders of the 1M-2A notes can
exchange those notes for 1E-A1, 1A-I1, 1E-A2, 1A-I2, 1E-A3, 1A-I3,
1E-A4 and 1A-I4 exchangeable notes (together referred as the
"Exchangeable Notes").
The 1M-2B notes are adjustable rate P&I notes with an interest rate
that adjusts relative to LIBOR. The holders of the 1M-2B notes can
exchange those notes for 1E-B1, 1B-I1, 1E-B2, 1B-I2, 1E-B3, 1B-I3,
1E-B4 and 1B-I4 exchangeable notes (together referred as the
"Exchangeable Notes").
The 1E-A1 and 1E-B1 notes are adjustable rate P&I notes with an
interest rate that adjusts relative to LIBOR. The holders of the
1E-A1 and 1E-B1 notes can exchange those notes for 1E-D1
exchangeable note (together referred as the "Exchangeable Notes").
The 1E-A2 and 1E-B2 notes are adjustable rate P&I notes with an
interest rate that adjusts relative to LIBOR. The holders of the
1E-A2 and 1E-B2 notes can exchange those notes for 1E-D2
exchangeable note (together referred as the "Exchangeable Notes").
The 1E-A3 and 1E-B3 notes are adjustable rate P&I notes with an
interest rate that adjusts relative to LIBOR. The holders of the
1E-A3 and 1E-B3 notes can exchange those notes for 1E-D3
exchangeable note (together referred as the "Exchangeable Notes").
The 1E-A4 and 1E-B4 notes are adjustable rate P&I notes with an
interest rate that adjusts relative to LIBOR. The holders of the
1E-A4 and 1E-B4 notes can exchange those notes for 1E-D4
exchangeable note (together referred as the "Exchangeable Notes").
The 1M-2A and 1M-2B notes are adjustable rate P&I notes with an
interest rate that adjusts relative to LIBOR. The holders of the
1M-2A and 1M-2B notes can exchange those notes for 1E-D5
exchangeable note (together referred as the "Exchangeable Notes").
The 1A-I1 and 1B-I1 notes are fixed rate interest only notes. The
holders of the 1A-I1 and 1B-I1 notes can exchange those notes for
1-X1 exchangeable note (together referred as the "Exchangeable
Notes").
The 1A-I2 and 1B-I2 notes are fixed rate interest only notes. The
holders of the 1A-I2 and 1B-I2 notes can exchange those notes for
1-X2 exchangeable note (together referred as the "Exchangeable
Notes").
The 1A-I3 and 1B-I3 notes are fixed rate interest only notes. The
holders of the 1A-I3 and 1B-I3 notes can exchange those notes for
1-X3 exchangeable note (together referred as the "Exchangeable
Notes").
The 1A-I4 and 1B-I4 notes are fixed rate interest only notes. The
holders of the 1A-I4 and 1B-I4 notes can exchange those notes for
1-X4 exchangeable note (together referred as the "Exchangeable
Notes").
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
The reference pool consists of loans that Fannie Mae acquired
between July 1, 2016 and October 31, 2016, and have no previous
30-day delinquencies. The loans in the reference pool are to strong
borrowers, as the weighted average credit scores of 752 indicate.
The weighted average CLTV of 75.7% is higher than recent private
label prime jumbo deals, which typically have CLTVs in the high
60's range, but is similar to the weighted average CLTVs of other
CAS transactions.
Moody's rating on the transaction is based on both quantitative and
qualitative analyses. This included a quantitative evaluation of
the credit quality of the reference pool and the impact of the
structural mechanisms on credit enhancement. As part of Moody's
analysis, Moody's considered the eligibility criteria of loans in
the reference pool, and the high credit quality of the underlying
collateral and historical credit performance. In addition, Moody's
made qualitative assessments of counterparty performance.
Moody's base-case expected loss for the reference pool is 1.10% and
is expected to reach 8.60% at a stress level consistent with a Aaa
rating.
Collateral Analysis
The reference pool consists of 167,115 loans that meet specific
eligibility criteria, which limits the pool to first lien, fixed
rate, fully amortizing loans with an original term of 241-360
months and LTVs that range between 60% and 80% on one to four unit
properties. Overall, the reference pool is of prime quality. The
credit positive aspects of the pool include borrower, loan and
geographic diversification, and a high weighted average FICO of
752. There are no interest-only (IO) loans in the reference pool
and all of the loans are underwritten to full documentation
standards.
Structural Considerations
Moody's took structural features such as the principal payment
waterfall of the notes, a 12.5-year bullet maturity, performance
triggers, as well as the allocation of realized losses and
modification losses into consideration in Moody's cash flow
analysis. The final structure for the transaction reflects
consistent credit enhancement levels available to the notes per the
term sheet provided for the provisional ratings.
For modification losses, Moody's has taken into consideration the
level of rate modifications based on the projected defaults, the
weighted average coupon of the reference pool (3.82%), and compared
that with the available credit enhancement on the notes, the coupon
and the accrued interest amount of the most junior bonds. The Class
1B-1, Class 1B-1H and Class 1B-2H reference tranches collectively
represent 1.00% of the pool. The final coupons on the notes will
have an impact on the amount of interest available to absorb
modification losses from the reference pool.
The ratings are linked to Fannie Mae's rating. As an unsecured
general obligation of Fannie Mae, the rating on the notes will be
capped by the rating of Fannie Mae, which Moody's currently rates
Aaa (stable).
Methodology
The principal methodology used in these ratings was "Moody's
Approach to Rating US Prime RMBS,- published in February 2015.
Additionally, the methodology used in rating Cl. 1A-I1, Cl. 1A-I2,
Cl. 1A-I3, Cl. 1A-I4, Cl. 1B-I1, Cl. 1B-I2, Cl. 1B-I3, Cl. 1B-I4,
Cl. 1C-I1, Cl. 1C-I2, Cl. 1C-I3, Cl. 1C-I4, Cl. 1-X1 Cl. 1-X2, Cl.
1-X3, Cl. 1-X4, Cl. 1-Y1, Cl. 1-Y2, Cl. 1-Y3, Cl. 1-Y4 was "Moody's
Approach to Rating Structured Finance Interest-Only Securities-
published in October 2015.
While assessing the ratings on this transaction, Moody's did not
deviate from its published methodology. The severities for this
transaction were estimated using the data on Fannie Mae's actual
loss severities.
In addition, Moody's publishes a weekly summary of structured
finance credit ratings and methodologies, available to all
registered users of Moody's website, www.moodys.com/SFQuickCheck.
Reps and Warranties
Fannie Mae is not providing loan level reps and warranties (RWs)
for this transaction because the notes are a direct obligation of
Fannie Mae. Fannie Mae commands robust RWs from its
seller/servicers pertaining to all facets of the loan, including
but not limited to compliance with laws, compliance with all
underwriting guidelines, enforceability, good property condition
and appraisal procedures. To the extent that a lender repurchases a
loan or indemnifies Fannie Mae discovers as a result of an
confirmed underwriting eligibility defect in the reference pool,
prior months' credit events will be reversed. Moody's expected
credit event rate takes into consideration historic repurchase
rates.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud. As an unsecured general obligation of Fannie Mae, the
ratings on the notes depend on the rating of Fannie Mae, which
Moody's currently rates Aaa.
CSMC TRUST 2014-TIKI: Moody's Affirms B3sf Rating on Class F Certs
------------------------------------------------------------------
Moody's Investors Service affirmed the ratings on six classes of
CSMC Trust 2014-TIKI, Commercial Mortgage Pass-Through
Certificates, Series 2014-TIKI. Moody's rating action is:
Cl. A, Affirmed Aaa (sf); previously on May 19, 2016 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa3 (sf); previously on May 19, 2016 Affirmed Aa3
(sf)
Cl. C, Affirmed A3 (sf); previously on May 19, 2016 Affirmed A3
(sf)
Cl. D, Affirmed Baa3 (sf); previously on May 19, 2016 Affirmed Baa3
(sf)
Cl. E, Affirmed Ba3 (sf); previously on May 19, 2016 Affirmed Ba3
(sf)
Cl. F, Affirmed B3 (sf); previously on May 19, 2016 Affirmed B3
(sf)
RATINGS RATIONALE
The ratings on the six P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio and Moody's stressed debt service coverage ratio (DSCR), are
within acceptable ranges.
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
defeasance or an improvement in loan performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the loan or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS," published in October 2015.
DESCRIPTION OF MODELS USED
Moody's review incorporated the use of 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, property type and
sponsorship. Moody's also further adjusts these aggregated proceeds
for any pooling benefits associated with loan level diversity and
other concentrations and correlations.
DEAL PERFORMANCE
As of the April 17, 2017 Payment Date, the transaction's aggregate
certificate balance remains unchanged at $350 million. The
transaction is secured by a first lien mortgage loan on the Four
Seasons Resort Maui at Wailea, HI. The 380-room property was
developed in 1990, and is the only AAA 5 Diamond and Forbes 5-Star
luxury resort in Maui. The loan is interest only during the term
and its final maturity date including all extension options is in
September 2021. The sponsor of the loan is MSD Portfolio, LP. There
is $175 million of mezzanine debt held outside the trust.
The property's year-end 2016 net cash flow (NCF) was $38.3 million.
Moody's stabilized Net Cash Flow is $32.0 million, and Moody's
stabilized value is $320 million, the same as securitization.
Moody's trust LTV ratio is 109%, and Moody's stressed DSCR for the
trust is at .99X, the same as securitization. Moody's structured
credit assessment for this loan is b3 (sca.pd), the same as the
last review. There is $4 of interest shortfall affecting Class F as
of the current Payment Date.
DLJ COMMERCIAL 2000-CKP1: Moody's Affirms Caa3 Rating on Cl. S Debt
-------------------------------------------------------------------
Moody's Investors Service has affirmed the rating of one class in
DLJ Commercial Mortgage Trust 2000-CKP1:
Cl. S, Affirmed Caa3 (sf); previously on May 5, 2016 Affirmed Caa3
(sf)
RATINGS RATIONALE
The rating of the IO class, Class S, was affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of its referenced classes The IO class is the only outstanding
Moody's-rated class in this transaction.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
The rating of an IO class is based on the credit performance of its
referenced classes. An IO class may be upgraded based on a lower
weighted average rating factor or WARF due to an overall
improvement in the credit quality of its reference classes. An IO
class may be downgraded based on a higher WARF due to a decline in
the credit quality of its reference classes, paydowns of higher
quality reference classes or non-payment of interest. Classes that
have paid off through loan paydowns or amortization are not
included in the WARF calculation. Classes that have experienced
losses are grossed up for losses and included in the WARF
calculation, even if Moody's has withdrawn the rating.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in this rating was "Moody's Approach
to Rating Large Loan and Single Asset/Single Borrower CMBS"
published in October 2015.
Additionally, the methodology used in rating Cl. S was "Moody's
Approach to Rating Structured Finance Interest-Only Securities"
published in October 2015.
Please note that on February 27, 2017, Moody's released a "Request
for Comment" in which it has requested market feedback on proposed
changes to its methodology for rating structured finance
interest-only (IO) securities called "Moody's Approach to Rating
Structured Finance Interest-Only Securities," dated October 20,
2015. If Moody's adopts the new methodology as proposed, the
changes could affect the ratings of DLJ 2000-CKP1.
The rating of an IO class is based on the credit performance of its
referenced classes. An IO class may be upgraded based on a lower
weighted average rating factor or WARF due to an overall
improvement in the credit quality of its reference classes. An IO
class may be downgraded based on a higher WARF due to a decline in
the credit quality of its reference classes, paydowns of higher
quality reference classes or non-payment of interest. Classes that
have paid off through loan paydowns or amortization are not
included in the WARF calculation. Classes that have experienced
losses are grossed up for losses and included in the WARF
calculation, even if Moody's has withdrawn the rating.
DESCRIPTION OF MODELS USED
Moody's uses a variation of Herf to measure diversity of loan size,
where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of two, the same as at prior review.
Moody's review incorporated the use of 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, property type, and
sponsorship. These aggregated proceeds are then further adjusted
for any pooling benefits associated with loan level diversity,
other concentrations and correlations.
DEAL PERFORMANCE
As of the April 10, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $8.89 million
from $1.29 billion at securitization. The Certificates are
collateralized by three mortgage loans ranging in size from less
than 10% to 76% of the pool.
Fifty-six loans have been liquidated from the pool, contributing to
an aggregate realized loss of $76.7 million (38% loss severity on
average). Two loans, representing 91% of the pool, are currently in
special servicing. The largest specially serviced loan is the
Streetsboro Market Square Loan ($6.7 million -- 75.6%). The
collateral is a 139,000 SF retail strip center located in
Streetsboro, Ohio. Giant Eagle, the former anchor tenant, has been
dark for several years. The Loan was transferred to special
servicing in June 2014 due to imminent maturity default. Moody's
estimates a significant loss for this loan.
The other loan in special servicing is the Boston Square Shopping
Center Loan ($1.3 million -- 15.0% of the pool), which is secured
by 39,000 SF retail property located in Strongsville, Ohio. The
loan was previously in special servicing, but was modified in July
2013 and subsequently returned to the master servicer. The loan
modification included an interest rate reduction, maturity date
extension and amortization schedule acceleration. The Loan
transferred to Special Servicing for a second time in September
2015 due to imminent maturity default.
The sole performing loan in the deal is the Colony Square
Apartments Loan ($0.84 million -- 9.4% of the pool), which is
secured by 184-unit apartment complex located in Shreveport,
Louisiana. The property was 85% leased as of September 2016. The
loan is fully amortizing and has amortized 65% since
securitization. Moody's LTV and stressed DSCR are 18% and
>4.00X, respectively, compared to 23% and 4.28X at the prior
review. Moody's stressed DSCR is based on Moody's NCF and a 9.25%
stressed rate applied to the loan balance.
EXETER AUTOMOBILE 2017-2: DBRS Finalizes BB Rating on Cl. D Notes
-----------------------------------------------------------------
DBRS, Inc. finalized the provisional ratings on the following
classes of notes issued by Exeter Automobile Receivables Trust
2017-2 (the Issuer):
-- $262,200,000 Series 2017-2, Class A Notes rated AAA (sf)
-- $84,330,000 Series 2017-2, Class B Notes rated A (sf)
-- $40,870,000 Series 2017-2, Class C Notes rated BBB (sf)
-- $62,600,000 Series 2017-2, Class D Notes rated BB (sf)
The ratings are based on DBRS's review of the following analytical
considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement. The transaction
benefits from credit enhancement in the form of
overcollateralization, subordination, amounts held in the
reserve fund and excess spread. Credit enhancement levels are
sufficient to support DBRS-projected expected cumulative net
loss assumptions under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under
which they have invested. For this transaction, the ratings
address the timely payment of interest on a monthly basis and
principal by the legal final maturity date.
-- Exeter Finance Corp.'s (Exeter) capabilities with regard to
originations, underwriting, servicing and ownership by the
Blackstone Group L.P., Navigation Capital Partners, Inc. and
Goldman Sachs Vintage Fund.
-- DBRS has performed an operational review of Exeter and
considers the entity to be an acceptable originator and
servicer of subprime automobile loan contracts with an
acceptable backup servicer.
-- Exeter's senior management team has considerable experience
and a successful track record within the auto finance
industry.
-- The credit quality of the collateral and performance of
Exeter's auto loan portfolio.
-- The legal structure and presence of legal opinions that
address the true sale of the assets to the Issuer, the non-
consolidation of the special-purpose vehicle with Exeter and
that the trust has a valid first-priority security interest in
the assets, and the consistency with the DBRS methodology
"Legal Criteria for U.S. Structured Finance."
FREDDIE MAC 2017-1: DBRS Assigns Prov. B Rating to Class M-2 Certs
------------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Asset-Backed Securities, Series 2017-1 (the Certificates) issued by
Freddie Mac Seasoned Credit Risk Transfer Trust 2017-1 (the
Trust):
-- $30.7 million Class M-1 at BB (high) (sf)
-- $47.4 million Class M-2 at B (sf)
The BB (high) (sf) and B (sf) ratings on the Certificates reflect
14.25% and 10.0% of credit enhancement, respectively, provided by
subordinated Certificates in the pool.
Other than the specified classes above, DBRS does not rate any
other classes in this transaction.
This transaction is a securitization of a portfolio of seasoned
re-performing first-lien residential mortgages funded by the
issuance of the Certificates, which are backed by approximately
4,361 loans with a total principal balance of $1,115,110,002 as of
the Cut-Off Date (March 31, 2017).
The mortgage loans were either purchased by Freddie Mac from
securitized Freddie Mac Participation Certificates or retained by
Freddie Mac in whole-loan form since their acquisition. The loans
are currently held in Freddie Mac's retained portfolio and will be
deposited into the Trust on the Closing Date.
The portfolio contains 100% modified loans. Each mortgage loan was
modified under either GSE HAMP or GSE non-HAMP modification
programs. Within the pool, 3,986 mortgages have forborne principal
amounts as a result of modification, which equates to 22.3% of the
total principal balance as of the Cut-Off Date. For 96.3% of the
modified loans, the modifications happened more than two years ago.
The loans are approximately 121 months seasoned and all are current
as of the Cut-Off Date. 92.1% of the mortgage loans have been zero
times 30 days delinquent for at least the past 24 months under the
Mortgage Bankers Association delinquency methods. None of the loans
are subject to the Consumer Financial Protection Bureau's Qualified
Mortgage rules.
The mortgage loans will be serviced by Select Portfolio Servicing,
Inc. There will not be any advancing of delinquent principal or
interest on any mortgages by the servicer; however, the servicer is
obligated to advance to third parties any amounts necessary for the
preservation of mortgaged properties or real estate owned
properties acquired by the Trust through foreclosure or a loss
mitigation process.
Freddie Mac will serve as the Sponsor and Trustee of the Trust.
Wilmington Trust, National Association will serve as Trust Agent.
Bank of New York Mellon Trust Company, N.A. will serve as the
Custodian for the Trust. U.S. Bank National Association will serve
as the Securities Administrator for the Trust and will act as
paying agent, registrar, transfer agent and authenticating agent.
Freddie Mac will make certain representations and warranties (R&W)
with respect to the mortgage loans. It will be the only party from
which the Trust may seek indemnification (or, in certain cases, a
repurchase) as a result of a breach of R&Ws. If a breach review
trigger occurs, the Trust Agent, Wilmington Trust, will be
responsible for the enforcement of R&Ws. The warranty period will
only be extended through May 2, 2020 (approximately three years
from the Closing Date), for substantially all R&Ws other than the
REMIC R&W.
The mortgage loans will be divided into two loan groups. The Group
M loans were subject to fixed-rate modifications and Group H loans
were subject to step-rate modifications. Principal and interest
(P&I) on the Group M and Group H senior certificates (the
Guaranteed Certificates) will be guaranteed by Freddie Mac. The
Guaranteed Certificates will be backed by collateral from each
group respectively. The remaining Certificates, including the
subordinate, interest-only, mortgage insurance and residual
Certificates, will be cross-collateralized between the two groups.
This is generally known as a Y-Structure.
The transaction employs a sequential-pay cash flow structure.
Certain principal proceeds can be used to cover interest shortfalls
on the rated Class M-1 and Class M-2 Certificates. Senior classes
benefit from guaranteed P&I payments by the Guarantor Freddie Mac;
however, such guaranteed amounts, if paid, will be reimbursed to
Freddie Mac from the interest and principal collections prior to
any allocation to the subordinate certificates. The senior
principal distribution amounts vary subject to the satisfaction of
a series of step-down tests. Realized losses are allocated reverse
sequentially.
The ratings reflect transactional strengths that include underlying
assets that have generally performed well through the crisis (92.1%
of the pool has remained consistently current in the past 24
months), good credit quality relative to other re-performing pools
reviewed by DBRS and a strong servicer. Additionally, a third-party
due diligence review, albeit on less than 100% of the portfolio,
was performed on a sample that generally meets or exceeds DBRS's
criteria. The due diligence results and findings on the sampled
loans were satisfactory.
Although improved from SCRT 2016-1, the transaction employs a
relatively weak R&W framework that includes a 36-month sunset (as
opposed to 12 months in SCRT 2016-1) without an R&W reserve
account, substantial knowledge qualifiers (with claw back) and
fewer mortgage loan representations relative to DBRS criteria for
seasoned pools. DBRS increased loss expectations from the model
results to capture the weaknesses in the R&W framework. Other
mitigating factors include (1) significant loan seasoning and very
clean performance history in the past three years, (2) stringent
and automatic breach review triggers, (3) Freddie Mac as the R&W
provider and (4) satisfactory third-party due diligence review.
The lack of principal and interest advances on delinquent mortgages
may increase the possibility of periodic interest shortfalls to the
Noteholders; however, principal proceeds can be used to pay
interest to the rated Certificates and subordination levels are
greater than expected losses, which may provide for interest
payments to the rated Certificates.
The DBRS ratings address the ultimate payment of interest and full
payment of principal by the legal final maturity date in accordance
with the terms and conditions of the related Certificates.
FREDDIE MAC 2017-1: Moody's Gives (P)Ba3 Rating to Cl. M-1 Debt
---------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to Class
M-1 issued by Freddie Mac Seasoned Credit Risk Transfer Trust,
Series 2017-1 (SCRT 2017-1).
SCRT 2017-1 is a securitization of 4,361 fixed and step-rate
modified seasoned loans secured by residential properties with an
aggregate outstanding trust balance of $1,115,110,002. This is the
second Re-Performing Loan (RPL) credit risk transfer deal sponsored
by Freddie Mac. 100% of the mortgage loans were previously modified
and have been current for at least the prior 12 months. The loans
are divided into two groups: Group H and Group M.
Group H is comprised of 3,620 first lien mortgage loans that were
subject to step rate modifications and Group M is comprised of 741
first lien mortgage loans that were subject to fixed rate
modifications.
The complete rating actions are:
Issuer: Freddie Mac Seasoned Credit Risk Transfer Trust, Series
2017-1
Cl. M-1, Assigned (P)Ba3 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected losses on Group H and Group M mortgage loans are
9.5% and 11% respectively in our base case scenario. We estimated
expected losses using two approaches -- (1) pool-level approach,
and (2) re-performing loan level analysis. In the pool-level
approach, we estimate losses on the pool by applying our
assumptions on expected future delinquencies, default rates, loss
severities and prepayments as observed from our surveillance of
similar collateral as well as from the Freddie Mac Single Family
Loan-Level dataset. In applying our loss severity assumptions, we
accounted for the lack of principal and interest advancing in this
transaction.
In the loan level analysis, we applied loan-level baseline lifetime
propensity to default assumptions, and considered the historical
performance of seasoned modified loans with similar collateral
characteristics and payment histories. We then adjusted this base
default propensity up for (1) loans that have the risk of coupon
step-ups and (2) loans with high updated loan to value ratios
(LTVs). To calculate the final expected loss for the pool, we
applied a loan-level loss severity assumption based on the loans'
updated estimated LTVs. We further adjusted the loss severity
assumption upwards for loans in states that give super-priority
status to homeowner association (HOA) liens, to account for
potential risk of HOA liens trumping a mortgage.
Our final loss estimates also incorporates adjustments for the
strength of the third party due diligence, the servicing framework
and the representations and warranties (R&W) framework of the
transaction.
The methodologies used in these ratings were "Moody's Approach to
Rating Securitisations Backed by Non-Performing and Re-Performing
Loans" published in August 2016 and "US RMBS Surveillance
Methodology" published in January 2017.
Collateral Description
SCRT 2017-1 is a securitization of 4,361 fixed and step-rate
modified seasoned loans which are divided into two groups: Group H
and Group M.
Group H is comprised of 3,620 first lien mortgage loans that were
subject to step-rate modifications, and have a weighted average
updated FICO score of 695 and a weighted average (WA) current
Loan-To-Value Ratio (LTV) of 86%. 83.4% of Group H mortgage loans
have been current on their payments for at least 36 months. The
total unpaid principal balance of Group H mortgage loans is
$952,062,176 which includes $215,880,826 of non-interest bearing
and deferred principal balance. Our loss analysis considered the
number of step-ups that the borrowers have experienced, as well as
the potential payment shock from the remaining step-ups.
Group M is comprised of 741 first lien mortgage loans that were
subject to fixed rate modifications, and have a weighted average
updated FICO score of 669 and a weighted average (WA) current
Loan-To-Value Ratio (LTV) of 99%. 40.1% of Group M mortgage loans
have been current on their payments for at least 36 months. The
total unpaid principal balance of Group M mortgage loans is
$163,047,826 which includes $33,018,114 of non-interest bearing and
deferred principal balance. Valuations of the related mortgaged
properties were obtained through Freddie Mac's automated valuation
model, Home Value Explorer (HVE), where available. When a HVE value
was not available, a Freddie Mac MSA, state or national (in order
of availability) home price index was used to estimate the property
value. As part of the due diligence process, Freddie Mac also
obtained updated BPO for 980 properties and Comparative Market
Analysis for 13 properties. Updated property values obtained
through an AVM may not reflect accurate values of the properties.
In assessing the updated property values, we assessed the strength
of the AVMs and performed additional validation on the values using
home price index projections from Moody's Analytics.
This transaction has a high percentage of deferred balances, which
are the full obligation of the borrowers, and must be paid in full
at the earliest of (i) the sale of properties (ii) voluntary payoff
or (iii) final scheduled payment date of the loans. For loans that
default in the future or get modified after the closing date, the
servicer may opt for partial principal forgiveness to the extent
permitted under the pooling and servicing agreement. Given that
none of the deferred balances are a result of HAMP principal
reduction amount (PRA) where the deferred amounts could be forgiven
over a period of time, we expect a large percentage of the amounts
to be recovered. However, based on performance data and information
from servicers, we applied a default rate slightly higher than what
we assumed for the overall pool given that these borrowers have
experienced past credit events that required loan modification. We
also assumed a severity of approximately 85% on the deferred
amounts as servicers can recover a portion of the deferred
balance.
Third Party Review (TPR)
Third party due diligence review was performed on 100% of the loans
for data integrity and title review. However, compliance and pay
history review was performed on sample of 428 loans. The review
procedures were intended to discover certain material discrepancies
and possible material defects in the due diligence sample.
The initial custodial receipt indicates that a portion of the
underlying loans have document exceptions. Freddie Mac will
indemnify the trust for any losses due to collateral deficiencies
for a period of 36 months.
Representation and Warranties (R&W)
Freddie Mac is providing a discrete set of R&W with respect to the
mortgage loans to the trust and is the only party from which the
trust may seek repurchase of a mortgage loan or an indemnity for a
loss as a result of any material breach that provides for
repurchase or indemnity as a remedy. R&Ws contain knowledge
qualifiers but there is a clawback that neutralizes them.
The R&Ws sunset after 36 months (except for a REMIC R&W which will
not expire). We consider the sunset provision as a weakness in the
R&Ws framework. In addition, certain mortgage loans, as of the
closing date, have existing HOA, tax and municipal liens. To the
extent that any such mortgage loan experiences a loss attributable
to such lien within the first 36 months following the closing date,
Freddie Mac will indemnify the trust in the amount of the
applicable existing lien. The enforcement mechanism in this
transaction is weak because of the absence of a pre-designated
independent third party breach reviewer. However, it is mitigated
by the strength of the R&W provider (Freddie Mac) as well as the
review mechanism of the R&Ws. Overall, we have not made any
additional adjustment to our expected loss for the R&W framework.
Transaction Parties
The transaction benefits from a strong servicing arrangement.
Select Portfolio Servicing, Inc. will service 100% of the mortgage
loans. We assess SPS's servicing abilities higher compared to its
peers. Select Portfolio Servicing, Inc., headquartered in Salt Lake
City, Utah, is a third-party servicer specializing in servicing
subprime, Alt-A, sub-performing, non-performing residential
mortgage loans and repossessed real estate. As of March 31, 2017,
SPS's servicing portfolio consisted of over 500,000 loans, with an
unpaid principal balance of over $94 billion. SPS is a subsidiary
of Credit Suisse (USA), Inc., whose unsecured debt we rate A1.
Freddie Mac will serve as the Sponsor and Trustee of the Trust.
Wilmington Trust, National Association will function as Trust
Agent. Bank of New York Mellon Trust Company, N.A. is the Custodian
for the Trust and U.S. Bank National Association will serve as the
Securities Administrator for the Trust.
Alignment of Interest
Unlike Freddie Mac's Structured Agency Credit Risk (STACR) and
Freddie Mac Whole Loan Securities (FWLS) transactions where Freddie
Mac generally retains a portion of the subordinate tranches, in
this transaction, Freddie will not retain any portion of the
subordinate tranches. However, as the guarantor of the senior
certificates, Freddie Mac may be exposed to losses in a severe
stress scenario. This represents a weak alignment of interest
compared to transactions where issuers retain a portion of the
offered certificates and we considered this risk in our analysis.
Transaction Structure
SCRT 2017-1 has a two-pool 'Y' structure. This structure has two
pools of collateral, two groups of senior certificates and one
shared group of subordinated certificates. The transaction
allocates scheduled and unscheduled principal pro rata between
senior certificates and subordinate certificates unless step-down
tests are satisfied. There are four performance triggers (step-down
test) in the transaction (i) the minimum credit enhancement test,
(ii) the aged securitization test, (iii) the cumulative loss test
and (iv) the delinquency test. If any one of the step-down
performance test is breached, the senior principal distribution
amount will include all principal payment allocated to the
subordinate certificates. This will delay the paydown and increase
the weighted average life (WAL) of the rated subordinate
certificate. We ran 96 different loss and prepayment scenarios
through our cash flow model to assess the rating implications of
our projected loss levels. The assigned rating on the Class M-1
reflects the expected loss on the bond under the various
scenarios.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
GE COMMERCIAL 2005-C4: S&P Raises Rating on Cl. A-J Certs to BB+
----------------------------------------------------------------
S&P Global Ratings raised its rating on the class A-J commercial
mortgage pass-through certificates from GE Commercial Mortgage
Corp.'s series 2005-C4, a U.S. commercial mortgage-backed
securities (CMBS) transaction. In addition, S&P affirmed its
ratings on two other classes from the same transaction.
S&P's rating actions follow its analysis of the transaction,
primarily using its criteria for rating U.S. and Canadian CMBS
transactions, which included a review of the credit characteristics
and performance of the remaining assets in the pool, the
transaction's structure, and the liquidity available to the trust.
S&P raised its rating on class A-J to reflect its expectation of
the available credit enhancement for this class, which S&P believes
is greater than its most recent estimate of necessary credit
enhancement for the respective rating level. The upgrade also
follows S&P's views regarding the current and future performance of
the transaction's collateral and the reduction in the trust
balance.
The affirmations reflect S&P's expectation that the available
credit enhancement for these classes will be within its estimate of
the necessary credit enhancement required for the current ratings,
S&P's views regarding the current and future performance of the
transaction's collateral, and the classes' interest shortfall
history.
While available credit enhancement levels suggest further positive
rating movement on class AJ and positive rating movement on classes
B and C, S&P's analysis also considered the susceptibility to
reduced liquidity support from the two specially serviced assets
($15.8 million, 8.1%) and the two loans on the master servicer's
watchlist ($115.2 million, 59.2%), both of which are corrected
mortgage loans. Specifically, S&P's analysis considered the
performance of the 774,573-sq.-ft. showroom/office property in
Dania Beach, Fla., securing the Design Center of the Americas loan
($87.7 million, 45.1%), its ability to cover debt service following
interest rate increases as per the modification agreement, and the
borrower's ability to refinance by its August 2020 final maturity
date. An $87.7 million pari passu piece is in GMAC Commercial
Mortgage Securities Inc. Series 2006-C1 Trust, also a U.S. CMBS
transaction.
In addition, S&P also considered uncertainty regarding the tenancy
at the office property totaling 710,330 sq. ft. in Novato, Calif.,
securing the second-largest loan in the pool, the Fireman's Fund
loan ($63.5 million, 32.7%), and the borrower's ability to
refinance the loan upon its final Oct. 15, 2018, maturity date. A
$70.0 million pari passu piece is also in Banc of America
Commercial Mortgage Inc.'s series 2005-5, also a CMBS transaction.
It is S&P's understanding from the master servicer that the sole
tenant occupying 100% of the space vacated in December 2015 but is
expected to continue making its rental payments until its Nov. 6,
2018, lease expiration. The loan failed to refinance on its Oct.
1, 2015, anticipated repayment date and has an Oct. 15, 2018, final
maturity date.
TRANSACTION SUMMARY
As of the April 10, 2017, trustee remittance report, the collateral
pool balance was $194.5 million, which is 8.1% of the pool balance
at issuance. The pool currently includes four loans (reflecting A/
B notes as one) and one real estate-owned (REO) asset, down from
166 loans at issuance. Two of these assets are with the special
servicer, two are on the master servicer's watchlist, and no loans
are defeased. The master servicer, Midland Loan Services, reported
financial information for 99.8% of the loans in the pool, of which
67.3% was year-end 2015 data, and the remainder was year-end 2016
data.
Excluding the specially serviced assets and a subordinate B note
($13.8 million, 7.1%), S&P calculated a 1.11x S&P Global Ratings'
weighted average debt service coverage (DSC) and 113.9% S&P Global
Ratings' weighted average loan-to-value (LTV) ratio using a 7.67%
S&P Global Ratings' weighted average capitalization rate for the
remaining three loans.
To date, the transaction has experienced $221.0 million in
principal losses, or 9.2% of the original pool trust balance. S&P
expects losses to reach approximately 9.3% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses S&P expects upon the eventual resolution of
the two specially serviced assets.
CREDIT CONSIDERATIONS
As of the April 10, 2017, trustee remittance report, two assets in
the pool were with the special servicer, LNR Partners LLC:
-- The larger of the two assets, the Park Ventura Office Center
REO asset ($15.4 million, 7.9%) has a total reported
exposure of $19.2 million and is a 194,155-sq.-ft. office
property in Plano, Texas. The loan was transferred to the
special servicer on April 17, 2012, due to imminent default.
The property became REO as of June 4, 2013. The reported
DSC and occupancy as of year-end 2015 were 0.87x and 68.0%,
respectively. An appraisal reduction amount (ARA) of
$2.1 million is in effect against this loan. S&P expects a
minimal loss (less than 25%) upon this asset's eventual
resolution.
-- The Becker Portfolio loan ($452,307, 0.2%) has a total
reported exposure of $777,532. The loan is currently
secured by one 226,296-sq.-ft. retail property in Wyoming,
Pa. The loan was transferred to the special servicer on
April 29, 2015, due to imminent default as a result of
refinancing issues and upcoming maturity. S&P expects a
minimal loss (less than 25%) upon its eventual resolution.
RATINGS LIST
GE Commercial Mortgage Corporation
Commercial mortgage pass through certificates series 2005-C4
Rating
Class Identifier To From
A-J 36828QQH2 BB+ (sf) BB- (sf)
B 36828QQJ8 B (sf) B (sf)
C 36828QQK5 CCC- (sf) CCC- (sf)
GREENWICH CAPITAL 2004-GG1: S&P Gives 'BB' Rating on Class G Certs
------------------------------------------------------------------
S&P Global Ratings raised its ratings on the class F and G
commercial mortgage pass-through certificates from Greenwich
Capital Commercial Funding Corp.'s series 2004-GG1, a U.S.
commercial mortgage-backed securities (CMBS) transaction.
S&P's rating actions on the certificates follow its analysis of the
transaction, primarily using its criteria for rating U.S. and
Canadian CMBS transactions, which included a review of the credit
characteristics and performance of the remaining assets in the
pool, the transaction's structure, and the liquidity available to
the trust.
S&P raised its ratings on classes F and G to reflect its
expectation of the available credit enhancement for these classes,
which S&P believes is greater than its most recent estimate of
necessary credit enhancement for the respective rating levels. The
upgrades also reflect the resolution of the specially serviced
asset previously in the transaction and the improved performance of
the largest loan in the pool, the Aegon Center loan
($103.1 million, 98.3%).
The Aegon Center loan consists of an A note ($82.0 million, 78.2%)
and a B note ($21.1 million, 20.1%). The loan is secured by a
759,650 sq.-ft. office property with an attached parking garage
located in Louisville, Ky. As of the Dec. 31, 2016, rent roll, the
office component was about 80.0% occupied, up from 71.5% reported
as of Sept. 30, 2016. The loan's reported debt service coverage
(DSC) ratio as of year-end 2016 was 1.75x.
While available credit enhancement levels suggest further positive
rating movements on classes F and G, S&P's analysis also considered
the potential for reduced liquidity support if the Aegon Center
loan, which was previously specially serviced, is unable to meet
its debt service payments or refinance at its maturity date in
April 2019.
TRANSACTION SUMMARY
As of the April 12, 2017, trustee remittance report, the collateral
pool balance was $104.8 million, which is 4.0% of the pool balance
at issuance. The pool currently includes four loans (reflecting
the Aegon Center A and B notes as one loan), down from 125 loans at
issuance. One of these loans has been defeased ($400,000, 0.4%),
and the Aegon Center loan is on the master servicer's watchlist due
to occupancy concerns. The master servicer, Wells Fargo Bank N.A.,
reported year-end 2016 financial information for all of the
nondefeased loans in the pool.
Excluding the defeased loan, S&P calculated a 1.77x S&P Global
Ratings weighted average DSC and 98.6% S&P Global Ratings weighted
average loan-to-value ratio using a 7.51% S&P Global Ratings
weighted average capitalization rate for the remaining loans.
To date, the transaction has experienced $77.6 million in principal
losses, or 3.0% of the original pool trust balance.
RATINGS LIST
Greenwich Capital Commercial Funding Corp.
Commercial mortgage pass-through certificates series 2004-GG1
Rating
Class Identifier To From
F 396789FY0 A (sf) BBB+ (sf)
G 396789FZ7 BB (sf) B+ (sf)
GS MORTGAGE 2017-GS5: Fitch Corrects March 21 Release
-----------------------------------------------------
Fitch Ratings issued a correction of a release on GS Mortgage
Securities Trust 2017-GS5 published on March 21, 2017. It includes
Fitch's 'Counterparty Criteria for Structured Finance and Covered
Bonds,' which was omitted from the original release.
Fitch Ratings has assigned the following ratings and Rating
Outlooks to GS Mortgage Securities Trust 2017-GS5 commercial
mortgage pass-through certificates:
-- $13,770,000 class A-1 'AAAsf'; Outlook Stable;
-- $51,316,000 class A-2 'AAAsf'; Outlook Stable;
-- $248,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $381,598,000 class A-4 'AAAsf'; Outlook Stable;
-- $28,604,000 class A-AB 'AAAsf'; Outlook Stable;
-- $803,366,000a class X-A 'AAAsf'; Outlook Stable;
-- $72,329,000a class X-B 'AA-sf'; Outlook Stable;
-- $80,078,000 class A-S 'AAAsf'; Outlook Stable;
-- $72,329,000 class B 'AA-sf'; Outlook Stable;
-- $43,914,000 class C 'A-sf'; Outlook Stable;
-- $43,914,000 class X-C 'A-sf'; Outlook Stable;
-- $46,497,000b class D 'BBB-sf'; Outlook Stable;
-- $46,497,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $21,957,000bd class E 'BB-sf'; Outlook Stable;
-- $10,333,000bd class F 'B-sf'; Outlook Stable.
The following are not rated:
-- $34,873,240bd class G;
-- $28,672,425ac VRR.
a) Notional amount and interest only.
b) Privately placed pursuant to Rule 144A.
c) The VRR is not a class of certificates, but represents the
vertically-retained interest in the issuing entity (representing
2.7% of the pool balance as of the closing date).
d) Horizontal credit risk retention interest representing 6.5% of
the pool balance (as of the closing date).
The ratings are based on information provided by the issuer as of
March 20, 2017.
Since issuing its presale report, one interest-only class, X-C has
been added to the capital structure. This does not affect Fitch's
ratings on the other classes.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 32 loans secured by 72
commercial properties having an aggregate principal balance of
$1,061,941,665 as of the cut-off date. The loans were contributed
to the trust by Goldman Sachs Mortgage Company and Goldman Sachs
Commercial Real Estate, LP.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 85.5% of the properties
by balance, asset summary reviews on 100% of the pool, and cash
flow analysis of 93.6% of the pool.
KEY RATING DRIVERS
Better Than Average Leverage: The Fitch leverage for this
transaction is better than that of other recent Fitch-rated
transactions. Excluding credit opinion loans, the conduit-only
Fitch debt service coverage ratio (DSCR) is 1.26x and the
conduit-only Fitch loan to value (LTV) is 103.7%. Both metrics
compare favorably to the year-to-date (YTD) 2017 and 2016 average
DSCRs of 1.15x and 1.16x, respectively, as well as the YTD 2017 and
2016 average LTV ratios of 110.4% and 109.9%. The fusion pool has a
Fitch DSCR of 1.28x and a Fitch LTV of 98.3%.
High Percentage of Investment-Grade Credit Opinion Loans: Three
loans representing 14.3% of the pool have investment-grade credit
opinions. The proportion of investment-grade credit opinion loans
in this securitization exceeds the 2016 average concentration of
8.4%. The largest loan, 350 Park Avenue (9.42%), has a stand-alone
credit opinion of 'BBB-sf*'. The 14th largest loan, AMA Plaza
(2.83%), has a stand-alone credit opinion of 'BBBsf*'. The 18th
largest loan, 225 Bush Street (2.07%), has a stand-alone credit
opinion of 'BBB+sf*'.
Very Low Amortization: Based on the scheduled balance at maturity,
the pool will pay down just 4.4%, the lowest to date of any
Fitch-rated CMBS transaction. This is below the YTD 2017 average of
6.9% and the 2016 average of 10.4%. Fifteen full-term interest-only
loans compose 63.7% of the pool, and 12 loans representing 21.8% of
the pool are partial interest only.
Highly Concentrated Pool: The top 10 loans in the pool make up
64.2% of the pool. This is above both the YTD 2017 average of 50.7%
and the 2016 average of 54.8%.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 10.3% below
the most recent year's net operating income (NOI) for properties
for which a full year NOI was provided, excluding properties that
were stabilizing during this period. Unanticipated further declines
in property-level NCF could result in higher defaults and loss
severities on defaulted loans and in potential rating actions on
the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the GSMS
2017-GS5 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'AA-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'A-sf' could
result.
JFIN REVOLVER 2014: S&P Raises Rating on Class E VFN Notes to 'BB+'
-------------------------------------------------------------------
S&P Global Ratings raised its ratings on four classes from JFIN
Revolver CLO 2014 Ltd., and removed them from CreditWatch, where
S&P had placed them with positive implications on Jan. 31, 2017. At
the same time, S&P affirmed its ratings on the class A-1 and A-2
from the same transaction.
The rating actions follow S&P's review of the transaction's
performance using data from the March 2017 trustee report.
The upgrades reflect improved overcollateralization (O/C) ratios
because of senior note paydowns since our effective date rating
actions. The affirmed ratings reflect S&P's belief that the credit
support available is commensurate with the current rating levels.
The transaction is a collateralized loan obligation (CLO),
investing in revolvers or delayed-drawdown collateral obligations.
The transaction has hedged the large difference between the amount
of interest generated off of the underlying collateral and the
amount of interest due to the notes by entering into multiple
interest rate caps, creating transaction-specific interest reserve
accounts to pay any interest shortfalls on the class A and B notes,
and issuing the class E as a variable-funding note (VFN), which
will fund to cover any interest shortfall on the class C and D
notes.
Currently, the interest rate caps are not generating proceeds for
the transaction, as three-month LIBOR is not above the respective
strike rates in the interest rate cap agreements.
In the past, the transaction has used proceeds from the interest
reserve account to cover payments to the class A and B notes. A
large benefit of the interest reserve account is that on any
determination date, after the transaction either de-levers to 20%
of their effective date target par or the balance in the interest
reserve account exceeds the required interest reserve account
amount, pursuant to the transaction documents, the trustee may
deposit all or a portion of the proceeds remaining in the interest
reserve account into the principal collection account. These
proceeds, in turn, may be available to pay down the rated notes.
Due to the largely unfunded nature of the underlying collateral in
the transaction, the interest proceeds generated by the underlying
collateral have been insufficient to cover the interest payments
due to the rated notes. Therefore, the transaction continues to
fund its class E VFN notes to cover the interest payments on the
class C and D notes, while the class E VFN notes continues to defer
current interest payments.
The upgrades reflect paydowns to the transaction's A-1 and A-2
notes since S&P's last rating actions at the transaction's
effective date. These paydowns resulted in improved reported O/C
ratios as compared with the ratios reported at the effective date:
-- The class A/B O/C ratio improved to 162.35% from 139.49% as
of the January 2015 trustee report.
-- The class C O/C ratio improved to 134.71% from 123.44%.
-- The class D O/C ratio improved to 121.87% from 115.23%.
The transaction has benefited from a drop in weighted average life
due to the underlying collateral's seasoning.
Despite cash flow runs that suggested higher ratings for the class
C and D notes, S&P's rating actions consider the concentrated
nature of the portfolio and the interest mismatch between the
primarily unfunded assets and funded liabilities.
Although S&P's cash flow analysis indicated higher ratings for the
transaction's class E VFN notes, its rating actions considered that
these notes continue to fund interest shortfalls on the class C and
D notes, and that the notes are not likely to receive any interest
or principal payments until each of the senior notes is paid down
in full.
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 WATCH POSITIVE
JFIN Revolver CLO 2014 Ltd.
Rating
Class To From
B AAA (sf) AA (sf)/Watch Pos
C A+ (sf) A (sf)/Watch Pos
D BBB+ (sf) BBB (sf)/Watch Pos
E VFN BB+ (sf) BB (sf)/Watch Pos
RATINGS AFFIRMED
JFIN Revolver CLO 2014 Ltd.
Class Rating
A-1 AAA (sf)
A-2 AAA (sf)
VFN -- Variable-funding note.
JP MORGAN 2002-CIBC4: Fitch Hikes Rating on Class D Certs to Bsf
----------------------------------------------------------------
Fitch Ratings has upgraded two and affirmed eight classes of JP
Morgan Chase Commercial Mortgage Securities Corporation (JPMC)
commercial mortgage pass-through certificates, series 2002-CIBC4.
KEY RATING DRIVERS
Stable Performance and High Credit Enhancement: The pool has
exhibited stable performance since Fitch's last rating action. The
upgrades reflect the increasing credit enhancement relative to the
remaining pool balance. The transaction has paid down approximately
$8.8 million since Fitch's last rating action.
Concentrated Pool: Only eight of the original 121 loans remain in
the trust, compared to 13 at Fitch's last rating action. Due to the
concentrated nature of the pool, Fitch performed a sensitivity
analysis that grouped the remaining loans based on loan structure
features, collateral quality, and performance, as well as by the
perceived likelihood of repayment. The pool stratification includes
three defeased loans, three fully amortizing loans with largest
tenant rolls prior to loan maturity, one fully amortizing loan with
a low debt service coverage ratio (DSCR) mitigated by low leverage,
and one real estate owned (REO) asset. The sensitivity analysis and
pool stratification was used in determining rating
recommendations.
Defeasance: Approximately 17.5% of the pool is fully defeased,
which covers 89% of the outstanding class C bond balance.
REO Asset: Northstar Center Building Two (10.4% of the pool) is a
19,545 square foot (sf) mixed use property located in Edwards, CO.
Built in 1998, the property consists of 3,588 square feet of
retail, 4,913 square feet of bank space, 10,394 square feet of
brewery and a 650 sf apartment. The loan was transferred to special
servicing in February 2012 due to maturity default. The property
became REO in October 2013. The special servicer's workout strategy
is to continue leasing up the property before marketing it for
sale. As of July 2016, the property was 86.8% occupied. The
servicer reported year-end 2016 DSCR was 1.14x.
Maturity Schedule: The remaining loans have final maturity dates in
2020 (3.7%); 2021 (16.5%); and 2022 (69.4%). All remaining loans
are fully amortizing.
RATING SENSITIVITIES
The Rating Outlooks for class C and D are Stable. Further upgrades
to class C are unlikely due to interest shortfall concern based on
the pool's significant concentration and the quality of the
remaining collateral. Downgrades to class D, while not expected in
the near term, are possible should an asset-level or economic event
cause a decline in pool performance.
Fitch upgrades the following classes:
-- $3 million class C to 'Asf' from 'BBBsf'; Outlook Stable;
-- $10 million class D to 'Bsf' from 'Csf'; Outlook Stable
assigned.
Fitch affirms the following classes:
-- $2.2 million class E at 'Dsf', RE 10%;
-- $0 class F at 'Dsf', RE 0%;
-- $0 class G at 'Dsf', RE 0%;
-- $0 class H at 'Dsf', RE 0%;
-- $0 class J at 'Dsf', RE 0%;
-- $0 class K at 'Dsf', RE 0%;
-- $0 class L at 'Dsf', RE 0%;
-- $0 class M at 'Dsf', RE 0%.
The class A-1, A-2, A-3, B and the interest-only class X-2
certificates have paid in full. Fitch does not rate the class NR
certificates. Fitch previously withdrew the rating on the
interest-only class X-1 certificates.
JP MORGAN 2004-C3: Moody's Affirms C(sf) Rating on Class J Certs
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on four classes
in J.P. Morgan Chase Commercial Mortgage Securities Corp. 2004-C3,
Commercial Mortgage Pass-Through Certificates, Series 2004-C3:
Cl. G Certificate, Affirmed Baa2 (sf); previously on May 26, 2016
Upgraded to Baa2 (sf)
Cl. H Certificate, Affirmed Caa3 (sf); previously on May 26, 2016
Affirmed Caa3 (sf)
Cl. J Certificate, Affirmed C (sf); previously on May 26, 2016
Affirmed C (sf)
Cl. X-1 Certificate, Affirmed Caa3 (sf); previously on May 26, 2016
Affirmed Caa3 (sf)
RATINGS RATIONALE
The rating on Class G was affirmed because the transaction's key
metrics, including Moody's loan-to-value (LTV) ratio, Moody's
stressed debt service coverage ratio (DSCR) and the transaction's
Herfindahl Index (Herf), are within acceptable ranges. The ratings
on Classes H and J 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 34.6% of the
current balance, compared to 27.6% at Moody's last review. Moody's
base expected loss plus realized losses is now 5.5% of the original
pooled balance, compared to 5.4% 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://v3.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 methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in October 2015.
Additionally, the methodology used in rating Cl. X-1 was "Moody's
Approach to Rating Structured Finance Interest-Only Securities"
published in October 2015.
Please note that on February 27, 2017, Moody's released a "Request
for Comment" in which it has requested market feedback on proposed
changes to its methodology for rating structured finance
interest-only (IO) securities called "Moody's Approach to Rating
Structured Finance Interest-Only Securities," dated October 20,
2015. If Moody's adopts the new methodology as proposed, the
changes could affect the ratings of J.P. Morgan Chase Commercial
Mortgage Securities Corp. 2004-C3, Commercial Mortgage Pass-Through
Certificates, Series 2004-C3.
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 April 17, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $39 million
from $1.52 billion at securitization. The certificates are
collateralized by eight mortgage loans ranging in size from less
than 1% to 45% of the pool. Two loans, constituting 9% of the pool,
have defeased and are secured by US government securities.
Twenty-one loans have been liquidated from the pool, resulting in
an aggregate realized loss of $70 million (for an average loss
severity of 57%). One loan, the Cambridge Court Phase I & II Loan
($17.6 million -- 45.2% of the pool), is currently in special
servicing. The loan is secured by two suburban office buildings,
2601 Cambridge Court and 2701 Cambridge Court, in Auburn Hills,
Michigan. The loan transferred to special servicing in August 2014
for imminent default and the trust took title to the property in
February 2016. As of March 2017, the 2601 Cambridge Court and 2701
Cambridge Court buildings, were 64% and 40% occupied, respectively.
Moody's anticipates a significant loss for the specially serviced
loan.
Moody's received full year 2015 and 2016 operating results for 100%
of the pool (excluding specially serviced and defeased loans).
The top three performing loans represent 37% of the pool balance.
The largest loan is the 9601 Renner Boulevard Loan, formerly known
as T-Mobile -- Lenexa KS, ($8.4 million -- 21.6% of the pool),
which is secured by a suburban office property currently subleased
to Quest Diagnostics through October 2019 (two months prior to the
loan's maturity date in December 2019). The property was previously
operated as a 600-seat call center by T-Mobile US Inc. Moody's
value incorporated a lit/dark analysis on the property to account
for single tenancy risk. Moody's LTV and stressed DSCR are 143% and
0.70X, respectively.
The second largest loan is the Bentsen Tower GSA Office Loan ($3.0
million -- 7.8% of the pool), which is secured by a 175,000 square
feet (SF) government office building in McAllen, Texas. As of March
2017, the property was 88% leased to mainly GSA tenants with the
largest tenant being the U.S. District Court (18% of the NRA). The
property is fully amortizing, has amortized 75% since
securitization and matures in December 2019. Moody's LTV and
stressed DSCR are 24% and greater than 4.00X, respectively.
The third largest loan is the Shops at Whitestone Loan ($3.0
million -- 7.7% of the pool), which is secured by a 36,000 SF
unanchored retail center in Cedar Park, Texas (approximately 20
miles north of Austin). The property was 91% leased as of September
2016, the same as at the last review. The loan is fully amortizing,
has amortized 48% since securitization and matures in January 2025.
Moody's LTV and stressed DSCR are 49% and 1.92X, respectively,
compared to 54% and 1.74X at the last review.
JP MORGAN 2004-CIBC9: Fitch Affirms 'Dsf' Rating on Class F Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 11 classes of JP Morgan Chase Commercial
Mortgage Securities Corp. 2004-CIBC9 (JPMCC 2004-CIBC9) commercial
mortgage pass-through certificates.
KEY RATING DRIVERS
The affirmations to classes D and E reflect the significant
percentage of defeased assets and substantial credit enhancement to
the classes relative to modeled losses. All remaining loans are
amortizing with 74.7% of the pool fully amortizing. No loans have
paid off since Fitch's last rating action; however, class D
received approximately $3 million in pay down from scheduled
amortization over the period.
Concentrated Pool: Only nine loans of the original 98 remain in the
pool. Due to the concentrated nature of the pool, Fitch performed a
sensitivity analysis that grouped the remaining loans based on loan
structural features, collateral quality, and performance, then
ranked them by the perceived likelihood of repayment. This included
defeased loans, fully amortizing loans, and a performing loan with
binary performance risk. The ratings reflect this sensitivity
analysis.
Defeasance: Three loans (36.2% of the pool) have been defeased.
Class D is fully covered by defeasance and interest shortfalls to
the class appear unlikely.
Retail Exposure: A significant percentage of the remaining loans
are secured by retail properties (38.4% of the pool), including two
fully amortizing loans leased to single tenants (8.2%) and three
fully amortizing Fitch loans of concern (LOCs, 30.2%). The LOCs are
each secured by retail shopping centers with performance issues,
including one center with a dark anchor tenant.
Binary Risk, Federal Express - Windsor Locks: The largest
non-defeased loan (25.3% of the pool) is secured by a 154,000
square foot (sf) industrial property fully leased to FedEx. The
property is located in Windsor Locks, CT, and situated
approximately two miles from Bradley International Airport. The
balloon loan presents binary risk as it has a lease expiration date
of March 2019, and an anticipated repayment date (ARD) of June
2019.
Maturity Schedule: The remaining loans have final scheduled
maturity dates in 2019 (5.7%); 2022 (6.8%); and 2024 (62.3%) and
2034 (25.3%).
RATING SENSITIVITIES
The Stable Outlooks assigned to classes D and E reflect the credit
enhancement to the classes and significant percentage of
defeasance. Upgrades to class E may be limited in the near term due
to the significant percentage of Fitch LOCs and binary risk
associated with the second largest loan in the pool. While
downgrades to the senior classes are not expected, they are
possible should an asset-level or economic event cause a decline in
overall pool performance. Classes F and below are defaulted as they
have suffered full or partial losses.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
-- $7.5 million class D at 'AAAsf'; Outlook Stable;
-- $11 million class E at 'BBsf'; Outlook Stable;
-- $8.6 million class F at 'Dsf'; RE 85%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-4, A1-A, B and C certificates have paid
in full. Fitch does not rate the class NR certificates. Fitch
previously withdrew the rating on the interest-only class X
certificates.
JP MORGAN 2007-LDP10: Moody's Cuts Class A-M Certificates to Ba1
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on five classes
and downgraded the ratings on two classes in J.P. Morgan Chase
Commercial Mortgage Securities Corp. Series 2007-LDP10, Commercial
Pass-Through Certificates, Series 2007-LDP10:
Cl. A-M, Downgraded to Ba1 (sf); previously on Jun 23, 2016
Affirmed Baa2 (sf)
Cl. A-J, Affirmed Caa3 (sf); previously on Jun 23, 2016 Downgraded
to Caa3 (sf)
Cl. A-JFX, Affirmed Caa3 (sf); previously on Jun 23, 2016
Downgraded to Caa3 (sf)
Cl. A-JS, Affirmed Caa3 (sf); previously on Jun 23, 2016 Downgraded
to Caa3 (sf)
Cl. B, Affirmed C (sf); previously on Jun 23, 2016 Affirmed C (sf)
Cl. B-S, Affirmed C (sf); previously on Jun 23, 2016 Affirmed C
(sf)
Cl. X, Downgraded to Caa3 (sf); previously on Jun 23, 2016
Downgraded to B3 (sf)
RATINGS RATIONALE
The ratings on the P&I classes, AJ, AJ-FX, AJ-S, B, and B-S were
affirmed because the ratings are consistent with Moody's expected
loss.
The rating on the P&I class, A-M, was downgraded due to increased
interest shortfall risk from specially serviced loans.
The rating on the IO Class, X, 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 57.7% of the
current balance, compared to 16.8% at Moody's last review. Moody's
base expected loss plus realized losses is now 17.3% of the
original pooled balance, compared to 17.9% 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://v3.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. Please see the Rating
Methodologies page on www.moodys.com for a copy of these
methodologies.
Additionally, the methodology used in rating Cl. X was "Moody's
Approach to Rating Structured Finance Interest-Only Securities"
published in October 2015. Please see the Rating Methodologies page
on www.moodys.com for a copy of this methodology.
Please note that on February 27, 2017, Moody's released a "Request
for Comment" in which it has requested market feedback on proposed
changes to its methodology for rating structured finance
interest-only (IO) securities called "Moody's Approach to Rating
Structured Finance Interest-Only Securities," dated October 20,
2015. If Moody's adopts the new methodology as proposed, the
changes could affect the ratings of JPMCC 2007-LDP10. Please see
"Moody's Proposes Revised Approach to Rating Structured Finance
Interest-Only (IO) Securities", which is available at
www.moodys.com, for more information about the implications of the
proposed changes to the methodology on Moody's ratings.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 82.5% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced loan that it
expects will generate a loss and estimates a loss given default
based on a review of broker's opinions of value (if available),
other information from the special servicer, available market data
and Moody's internal data. The loss given default for each loan
also takes into consideration repayment of servicer advances to
date, estimated future advances and closing costs. Translating the
probability of default and loss given default into an expected loss
estimate, Moody's then applies the aggregate loss from specially
serviced loans to the most junior 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 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 27 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 April 17, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 87% to $703.5
million from $5.3 billion at securitization. The certificates are
collateralized by 25 mortgage loans ranging in size from less than
1% to 29% of the pool, with the top ten loans (excluding
defeasance) constituting 90% of the pool.
Five loans, constituting 17% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Fifty-three loans have been liquidated from the pool, resulting in
an aggregate realized loss of $517.3 million (for an average loss
severity of 42.5%). Eighteen loans, constituting 82.5% of the pool,
are currently in special servicing. The largest specially serviced
loan is the Lafayette Property Trust loan ($203.25 million -- 28.9%
of the pool), which is secured by nine cross-collateralized and
cross-defaulted office properties containing approximately 840,000
square feet (SF) and located in Alexandria, Virginia. The loan
transferred to special servicing in November 2014 due to imminent
default associated with an August 2015 tenant lease expiration. As
of December 2016, the portfolio was 30% leased, compared to 65% in
December 2015. Four of the nine properties are real-estate-owned
(REO) while the remaining are going through foreclosure. The loan
recently took an appraisal reduction. The properties are directly
off of I-395 and are approximately 1-mile from another loan in this
transaction, Skyline Portfolio.
The second largest specially serviced loan is the Skyline Portfolio
loan ($105 million A-note -- 14.9% of the pool), which is secured
by eight cross-collateralized and cross defaulted office properties
containing approximately 2.56 million SF and located in Alexandria,
Virginia. The loan originally transferred to special servicing in
March 2012 due to imminent monetary default and was subsequently
modified in November 2013 into an A/B note split. The B-note in
this trust is $98.4 million. The loan represents a 30% pari-passu
interest in a $678 million mortgage. The loan transferred back into
special servicing in April 2016 due to imminent monetary default.
As of December 2016 the portfolio was 46% leased, compared to 53%
in December 2014. The properties are approximately 1-mile from
I-395 and another distressed loan in this trust, Lafayette Property
Trust. Although the Skyline Portfolio loan and Lafayette Property
trust make up a large portion (approximately 53%) of the square
footage in the I-395 submarket, the submarket vacancy rate is over
40%.
The third largest specially serviced loan is the Ross Retail
Portfolio ($46.1 million -- 6.6% of the pool), which is secured by
six retail properties located in three states, North Carolina,
Florida, and Tennessee. The loan transferred to special servicing
in July 2016 due to imminent maturity default. The special servicer
is pursuing foreclosure. As of March 2017, the portfolio was 83%
leased, compared to 85% in December 2015. The properties anchor
tenant have leases expiring in 2018, 2021, 2022 and 2023. The loan
recently took an appraisal reduction.
The remaining 13 specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $386.7 million loss
for the specially serviced loans (67% expected loss on average).
As of the April 2017 remittance statement cumulative interest
shortfalls were $72.1 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 40% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 124%, compared to 112% 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 value reflects a
weighted average capitalization rate of 9.5%.
Moody's actual and stressed conduit DSCRs are 1.26X and 0.85X,
respectively, compared to 1.32X and 0.95X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 17% of the pool balance. The
largest loan is the Osprey Portfolio Loan ($96.2 million -- 13.7%
of the pool), which is secured by six suburban office properties
located in Tampa and Bradenton, Florida. The loan matured in March
2017 and is under a forbearance period. As of January 2017 the
portfolio was 78% leased. Moody's LTV and stressed DSCR are 128%
and 0.81X, respectively, unchanged from the last review.
The second largest loan is the Wisconsin Industrial Portfolio Loan
($12.7 million -- 1.8% of the pool), which are three loans, Mequon
Research Center, Waukesha Airport Business Center, and Granville
Woods Business Center, that are cross-defaulted and cross
collateralized secured by three industrial properties in Wisconsin
totaling over 260,000 SF. As of December 2016, the properties were
93% leased. Moody's LTV and stressed DSCR are 98% and 1.05X,
respectively, compared to 100% and 1.03X at the last review.
The third largest loan is the Riverview Office Building Loan ($8.3
million -- 1.2% of the pool), which is secured by a 70,000 SF
medical office building located in Oxon Hill, Maryland. As of
December 2016 the property was 90% leased to 34 tenants.
Performance increased in 2016 due to revenue increasing while
expenses remained relatively flat. Moody's LTV and stressed DSCR
are 143% and 0.73X, respectively, unchanged from the last review.
JP MORGAN 2013-C13: Moody's Affirms B2(sf) Rating on Class F Certs
------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on twelve
classes in J.P. Morgan Chase Commercial Mortgage Securities Trust
2013-C13, Commercial Pass-Through Certificates, Series 2013-C13:
Cl. A-1, Affirmed Aaa (sf); previously on May 19, 2016 Affirmed Aaa
(sf)
Cl. A-2, Affirmed Aaa (sf); previously on May 19, 2016 Affirmed Aaa
(sf)
Cl. A-3, Affirmed Aaa (sf); previously on May 19, 2016 Affirmed Aaa
(sf)
Cl. A-4, Affirmed Aaa (sf); previously on May 19, 2016 Affirmed Aaa
(sf)
Cl. A-SB, Affirmed Aaa (sf); previously on May 19, 2016 Affirmed
Aaa (sf)
Cl. A-S, Affirmed Aaa (sf); previously on May 19, 2016 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa3 (sf); previously on May 19, 2016 Affirmed Aa3
(sf)
Cl. C, Affirmed A3 (sf); previously on May 19, 2016 Affirmed A3
(sf)
Cl. D, Affirmed Baa3 (sf); previously on May 19, 2016 Affirmed Baa3
(sf)
Cl. E, Affirmed Ba2 (sf); previously on May 19, 2016 Affirmed Ba2
(sf)
Cl. F, Affirmed B2 (sf); previously on May 19, 2016 Affirmed B2
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on May 19, 2016 Affirmed Aaa
(sf)
RATINGS RATIONALE
The ratings on the P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The rating on the IO class, Class X-A, 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 2.4% of the
current balance, compared to 1.9% at Moody's last review. Moody's
base expected loss plus realized losses is now 2.3% of the original
pooled balance, compared to 1.9% 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.
Additionally, the methodology used in rating Cl. X-A was "Moody's
Approach to Rating Structured Finance Interest-Only Securities"
published in October 2015.
Please note that on February 27, 2017, Moody's released a "Request
for Comment" in which it has requested market feedback on proposed
changes to its methodology for rating structured finance
interest-only (IO) securities called "Moody's Approach to Rating
Structured Finance Interest-Only Securities," dated October 20,
2015. If Moody's adopts the new methodology as proposed, the
changes could affect the ratings of JPMCC 2013-C13.
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 18, compared to 19 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 April 17, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 6% to $907.5 million
from $961.2 million at securitization. The certificates are
collateralized by 44 mortgage loans ranging in size from less than
1% to 11% of the pool, with the top ten loans (excluding
defeasance) constituting 62% of the pool. Two loans, constituting
13% of the pool, have investment-grade structured credit
assessments. Three loans, constituting 2.7% of the pool, have
defeased and are secured by US government securities.
One loan, constituting 1.2% of the pool, is on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
There have been no loans liquidated from the pool which have
resulted in a loss and there are no loans currently in special
servicing.
Moody's has assumed a high default probability for one poorly
performing loan, constituting 1.2% of the pool, and has estimated a
moderate loss from this troubled loan.
Moody's received full year 2015 operating results for 97% of the
pool, and full or partial year 2016 operating results for 94% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 97%, compared to 95% 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 19% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.1%.
Moody's actual and stressed conduit DSCRs are 1.72X and 1.02X,
respectively, compared to 1.76X and 1.05X 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
Americold Cold Storage Portfolio Loan ($99.1 million -- 10.9% of
the pool), which is secured by 15 cross-collateralized and
cross-defaulted temperature controlled warehouse facilities
containing a total capacity of 77.5 million cubic feet (3.6 million
square feet (SF)) located across nine states. This loan represents
a pari-passu component of a $198.3 million first mortgage loan and
the asset is also encumbered by $102 million of mezzanine
financing. Moody's structured credit assessment and stressed DSCR
are baa1 (sca.pd) and 1.72X, respectively.
The other loan with a structured credit assessment is the 501 Fifth
Avenue Loan ($17.5 million -- 1.9% of the pool), which is secured
by a 159,000 SF, 23-story class B office building located in the
Grand Central submarket in New York City. As of December 2016, the
property was 90% leased, compared to 91% at last review. Moody's
structured credit assessment and stressed DSCR are a1 (sca.pd) and
1.48X, respectively.
The top three conduit loans represent 27.1% of the pool balance.
The largest conduit loan is the IDS Center Loan ($89.4 million --
9.9% of the pool), which represents a pari-passu portion of a
$176.5 million mortgage loan. The loan is secured by a 1.4 million
square foot mixed use property in downtown Minneapolis, Minnesota.
The collateral consists of a 57-story skyscraper office tower, an
eight-story annex building, a 100,000 square foot retail center,
and an underground garage. Nearly 100% of the leases are set to
expire during the loan's ten-year term, however, the property
benefits from a diverse tenant base, with the largest tenant
occupying 9% of the net rentable area (NRA). The largest tenant, a
law firm, renewed their lease through May 2021. Moody's LTV and
stressed DSCR are 101% and 0.99X, respectively, unchanged from the
prior review.
The second largest loan is the 589 Fifth Avenue Loan ($87.5 million
-- 9.6% of the pool), which is secured by a 17-story, 169,000 SF
mixed-use office and retail building property, located in New York
City at the corner of 48th street and 5th avenue. The building has
approximately 57,000 SF of retail space, while the remainder is
used as office space. H&M leased 40% of the net rentable area (NRA)
for their flagship store. As of June 2016, the property was 100%
leased, the same as at the prior review. The loan is a pari-passu
component of a $175 million first mortgage loan. Moody's LTV and
stressed DSCR are 100% and 0.88X, respectively, unchanged from the
prior review.
The third largest loan is the Atlantic Times Square Loan ($69.2
million -- 7.6% of the pool), which is secured by a 213,000 SF of
retail space and 100 multifamily units located in Monterey Park,
California. The largest retail tenants include a 14-screen AMC
theater and a 24 Hour Fitness. The multifamily units are part of a
210 condominium development. As of February 2016, the retail
component was 99% leased, compared to 97% at the prior review. The
loan benefits from amortization and Moody's LTV and stressed DSCR
are 91% and 1.00X, respectively, compared to 93% and 0.99X at the
last review.
JPMBB 2015-C29: Fitch Affirms Bsf Rating on Class X-F Debt
----------------------------------------------------------
Fitch Ratings has affirmed 19 classes of JPMBB Commercial Mortgage
Securities Trust, series 2015-C29.
KEY RATING DRIVERS
The affirmations are based on the stable performance of the
underlying collateral. There have been no material changes to the
pool since issuance, and therefore the original rating analysis was
considered in affirming the transaction.
Overall Stable Pool Performance: As of the April 2017 distribution
date, the pool's aggregate principal balance was reduced by 1.2% to
$972.5 million from $984.5 million at issuance. Eight loans (7.2%)
are currently on the servicer's watchlist primarily for upcoming
rollover and deferred maintenance issues, six of which are
considered Fitch Loans of Concern, including the second largest
loan (6.2%).
Energy Tenant Bankruptcy: The second largest loan in the
transaction, One City Centre (6.2%) has approximately 31% exposure
to oil and gas related tenants. The second largest tenant Energy
XXI Ltd. (28%) filed for Chapter 11 bankruptcy in April 2016. As of
December 2016, they have emerged from bankruptcy. Per the servicer,
the Lender approved a lease amendment with Energy XXI and the
tenant exercised the option to give back up to 4 floors on only two
of those floors effective March 31, 2017. The borrower is in
discussions with a prospect for one of the give back floors. They
also expect to start extension negotiations very soon.
Transaction Amortization: The pool is scheduled to amortize by
13.9% of the initial pool balance prior to maturity, which is
higher than the average for Fitch-rated 2014 transactions. Six
loans (17.8%) are full-term interest only. Thirty-three loans
(49.7%) are partial interest only. The remaining 23 loans (31.1%)
are amortizing balloon loans with loan terms of five to 10 years.
Pari Passu Loans and Additional Debt: Four loans constituting 14.5%
of the pool are part of a pari passu loan combination: One City
Center (6.2% of the pool), JAGR Portfolio (3.1%), Horizon Outlet
Shoppes Portfolio (2.7%), and Marriott- Pittsburgh (2.6%). Five
loans (26.1) have mezzanine debt held outside the trust.
RATING SENSITIVITIES
Rating Outlooks for all classes remain Stable due to overall stable
performance of the pool and amortization. Due to recent issuance of
the transactions, rating changes are not expected unless there is
significant performance decline. Future upgrades may be limited due
to the energy tenant risk and larger hotel concentration.
Fitch has affirmed the following ratings:
-- $36.9 million class A-1 at 'AAAsf'; Outlook Stable;
-- $213 million class A-2 at 'AAAsf'; Outlook Stable;
-- $60 million class A-3A1 at 'AAAsf'; Outlook Stable;
-- $75 million class A-3A2 at 'AAAsf'; Outlook Stable;
-- $223.1 million class A-4 at 'AAAsf'; Outlook Stable;
-- $69.1 million class A-SB at 'AAAsf'; Outlook Stable;
-- $64 million class A-S at 'AAAsf'; Outlook Stable;
-- $54.1 million class B at 'AA-sf'; Outlook Stable;
-- $44.3 million class C at 'A-sf'; Outlook Stable;
-- $162.4 million class EC at 'A-sf'; Outlook Stable;
-- $52.9 million class D at 'BBB-sf'; Outlook Stable;
-- $20.9 million class E at 'BBsf'; Outlook Stable;
-- $11.1 million class F at 'Bsf'; Outlook Stable;
-- $741.1 million* class X-A at 'AAAsf'; Outlook Stable;
-- $54.1 million* class X-B at 'AA-sf'; Outlook Stable;
-- $44.3 million* class X-C at 'A-sf'; Outlook Stable;
-- $52.9 million* class X-D at 'BBB-sf'; Outlook Stable;
-- $20.9 million* class X-E at 'BBsf'; Outlook Stable;
-- $11.1 million* class X-F at 'Bsf'; Outlook Stable.
*Notional amount and interest-only.
Class A-S, B and C certificates may be exchanged for class EC
certificates, and class EC certificates may be exchanged for class
A-S, B and C certificates. Fitch does not rate the classes NR and
X-NR certificate.
LB-UBS COMMERCIAL 2004-C1: S&P Lowers Rating on Cl. E Certs to 'D'
------------------------------------------------------------------
S&P Global Ratings lowered its rating to 'D (sf)' on one class of
commercial mortgage pass-through certificates from LB-UBS
Commercial Mortgage Trust 2004-C1, a U.S. commercial
mortgage-backed securities (CMBS) transaction. The downgrade
reflects principal loss as detailed on the April 2017 trustee
remittance report. At the same time, S&P discontinued its ratings
on classes A-4, B, C, and X-ST, and withdrew its 'AA- (sf)' rating
on the class X-CL IO certificates.
S&P lowered its rating on class E to 'D (sf)' to reflect principal
loss as detailed in the April 2017 trustee remittance report. The
reported principal loss on class E was $17.0 million, and resulted
primarily from the recent liquidation of the UBS Center –
Stamford and the Passaic Street Industrial Park assets. The assets
were liquidated at loss severities of 43.7% and 34.8% of their
original pooled trust balances, respectively. Consequently,
classes F through M each experienced a 100% loss of their
respective beginning balances.
Classes J through M are not rated by S&P Global Ratings.
At the same time, S&P discontinued its ratings on classes A-4, B,
C, and X-ST. Classes A-4, B, and C experienced full repayment of
their respective principal balances, and class X-ST experienced a
reduction of its notional balance to zero.
Finally, based on S&P's criteria for rating IO securities, it
withdrew the rating on class X-CL, following the full repayment of
all principal- and interest-paying classes rated 'AA- (sf)' or
higher.
RATINGS LIST
LB-UBS Commercial Mortgage Trust 2004-C1
Commercial mortgage pass-through certificates series 2004-C1
Rating
Class Identifier To From
A-4 52108HYK4 NR AA- (sf)
B 52108HYL2 NR BBB+ (sf)
C 52108HYM0 NR BBB (sf)
E 52108HYP3 D (sf) CCC- (sf)
X-CL 52108HZP2 NR AA- (sf)
X-ST 52108HZT4 NR AA- (sf)
NR--Not rated
LB-UBS COMMERCIAL 2004-C6: Fitch Hikes Cl. J Debt Rating to CCC
---------------------------------------------------------------
Fitch Ratings has upgraded one class and affirmed four classes of
LB-UBS Commercial Mortgage Trust commercial mortgage pass-through
certificates, series 2004-C6 (LBUBS 2004-C6).
KEY RATING DRIVERS
The upgrade reflects sufficient credit enhancement and the lower
likelihood of losses based on stable performance of the remaining
loans. As of the April 2017 distribution date, the pool's aggregate
principal balance has been reduced by 99.4% to $7.67 million from
$1.35 billion at issuance. Realized losses to date total $50.95
million, representing 3.8% of the original pool balance.
Highly Concentrated Pool: Although the remaining loans in the pool
are exhibiting stable performance, the pool is highly concentrated
with two loans remaining, one of which is fully amortizing (17.7%
of the pool). The two remaining loans have a weighted average NOI
DSCR of 1.56x as of YE 2016.
Better than Expected Recoveries: Since Fitch's last rating action,
four loans (5.9% of the original pool balance) were liquidated with
better than expected recoveries. Three of the four loans were in
special servicing with an average loss severity of 51% compared
with a modeled loss severity of 61%. One loan was paid in full
consistent with Fitch modeling.
Transaction Amortization: The largest loan in the pool is fully
amortizing with scheduled maturity in August 2022. The other loan
is a balloon loan scheduled to mature in July 2019.
RATING SENSITIVITIES
Additional downgrades to class J are possible if the Woodside
Village loan is unable to refinance and expected losses increase.
Upgrades to class J are possible with repayment of the Woodside
Village loan and continued amortization.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has upgraded the following class:
-- $6.4 million class J to 'CCCsf' from 'Csf'; RE 100%.
Fitch has affirmed the following classes:
-- $1.2 million class K at 'Dsf'; RE 0%;
-- $0 million class L at 'Dsf'; RE 0%;
-- $0 million class M at 'Dsf'; RE 0%;
-- $0 million class N at 'Dsf'; RE 0%.
The certificates for classes A-1 through H have paid in full. Fitch
does not rate the class P, Q, S and T certificates. Fitch
previously withdrew the ratings on the interest-only class XCL and
XCP certificates.
LMRK ISSUER 2016-1: Fitch Affirms 'BB-sf' Rating on Class B Notes
-----------------------------------------------------------------
Fitch Ratings affirms the ratings and Rating Outlooks of LMRK
Issuer Co. LLC's Landmark Infrastructure Secured Tenant Site
Contract Revenue Notes, Series 2016-1 as follows:
-- $90.6 million 2016-1, class A at 'A-sf', Outlook Stable;
-- $25.1 million 2016-1, class B at 'BB-sf', Outlook Stable.
The affirmations are due to stable performance and continued cash
flow growth since issuance. As of the April 2017 distribution date,
the pool's aggregate principal balance has been reduced by 0.7% to
$115.7 million from $116.6 million at issuance.
Fitch analyzed the collateral data and site information provided by
the issuer LMRK Issuer Co. As of April 2017, annualized net cash
flow increased 2% to $13.4 million since issuance.
The transaction is an issuance of notes backed by mortgages
representing not less than 95% of the annualized net cash flow
(ANCF) and a pledge and a perfected first-priority security
interest in 100% of the equity interest of the issuer and the asset
entities and is guaranteed by the direct parent of LMRK Issuer Co.
LLC (LMRK, or the issuer).
The ownership interest in the sites consists of perpetual
easements, long-term easements, prepaid leases, and fee interests
in land, rooftops, or other structures on which site space is
allocated for placement and operation of wireless tower and
wireless communication equipment.
KEY RATING DRIVERS
Stable Performance: Performance of the collateral is stable due to
continued cash flow growth from issuance. The Fitch stressed debt
service coverage ratio (DSCR) increased from 1.22x at issuance to
1.29x as a result of the increase in net cash flow.
Long-Term Easements: The ownership interests in the sites consist
of 90.8% easements, 6.7% assignment of rents, and 2.5% fee. The
weighted average remaining life of the ownership interest is 77.1
years (assumes 99 years for perpetual easements and fee sites).
Scheduled Amortization Paid Sequentially: The transaction is
structured with scheduled monthly principal payments that will
amortize down the principal balance 15% by the ARD in year five,
reducing the refinance risk.
Nonfirst Liens: In this transaction, approximately 15% of the
revenue is from sites that have existing mortgages on the related
site that are therefore senior to the interests of the trust asset.
If the site owner fails to perform any obligations of the existing
senior mortgage, the holder of the existing senior mortgage could
foreclose on the fee interest and, following that foreclosure, have
a senior claim to the remaining rents payable thus terminating the
interests of the asset entities in such wireless sites. The
remaining 85% of the revenue is from sites for which either a
nondisturbance agreement (NDA) is not required or the issuer has
obtained NDAs from mortgage lenders holding a senior security
interest in a site.
Additional Notes: The transaction allows for the issuance of
additional notes. Such additional notes may rank senior, pari passu
with, or subordinate to the 2016-1 notes based on the alphabetical
class designation. Additional notes may be issued without the
benefit of additional collateral, provided the post-issuance actual
DSCR is not less than 2.0x. The possibility of upgrades may be
limited due to this provision.
RATING SENSITIVITIES
The classes are expected to remain stable, and downgrades are
unlikely based on continued cash flow growth due to annual rent
escalations and automatic renewal clauses resulting in higher debt
service coverage ratios since issuance. Upgrades are limited based
on the provision to provide additional notes.
ML-CFC COMMERCIAL 2007-6: Fitch Withdraws CCC Rating on AJ-FL Debt
------------------------------------------------------------------
A new class has been issued for ML-CFC Commercial Mortgage Trust
commercial mortgage pass-through certificates series 2007-6 as a
result of the swap termination on class AJ-FL.
KEY RATING DRIVERS
The swap agreement covering the $75 million AJ-FL class was
terminated by the bondholder and the AJ-FL certificates were
exchanged for the new $75 million fixed-rate class AJ-FX
certificates. The class AJ-FL certificate balance has been reduced
to $0, and subsequently the rating has been withdrawn. Fitch was
not requested to rate the fixed-rate class AJ-FX certificate.
RATING SENSITIVITIES
Class AJ-FL is being withdrawn and no rating sensitivity applies to
this class.
Fitch has withdrawn its rating on the following class:
-- $75,000,000 class AJ-FL 'CCCsf'; RE40%.
MORGAN STANLEY 1999-CAM1: Fitch Affirms Dsf Rating on Class N Debt
------------------------------------------------------------------
Fitch Ratings has upgraded one and affirmed one class of Morgan
Stanley Capital I Trust 1999-CAM1 (MSC 1999-CAM1).
KEY RATING DRIVERS
The upgrade of class M reflects the increased credit enhancement
from five loans repaying in full without losses since Fitch's last
rating action, as well as the long-term investment grade tenancy,
low leverage, and continued stable performance of the pool's one
remaining loan. Although the class has high credit enhancement, the
rating is capped at 'Asf' due to high pool concentration and the
binary risk related to the single tenant nature of the property
securing the one remaining loan in the pool. At Fitch's prior
rating action, upgrades to class M were limited due to the
concentration of single-tenant retail properties, several of which
had tenants with lease expirations prior to loan maturity. The
affirmation of the remaining class reflects previously incurred
losses.
As of the April 2017 distribution date, the pool's aggregate
principal balance has been reduced by nearly 100% to $199,304 from
$806.5 million at issuance. Interest shortfalls are currently
affecting classes N through O.
The remaining loan is secured by a 15,930 square foot single-tenant
retail property located in Boynton Beach, FL that is fully leased
to Walgreens (parent company Walgreens Boots Alliance is rated
'BBB', with a Stable Rating Outlook). The loan has a scheduled
upcoming maturity in July 2017 and the Walgreens lease, which
extends more than 40 years beyond the loan term, expires in October
2057. Servicer commentary has indicated that the borrower is in the
process of selling the property to repay the loan. Given the stable
loan performance, long-term investment grade single tenancy,
overall low loan leverage, and continued loan amortization, Fitch
expects class M to repay in full.
RATING SENSITIVITIES
Further upgrades were not considered due to pool concentration.
While not expected, downgrades to class M are possible if the
collateral tenant were to vacate its space or in the event that the
loan does not repay in full at maturity. Class N will remain at
'Dsf', as losses have been realized.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has upgraded the following class and assigned an Outlook:
-- $0.1 million class M to 'Asf' from 'CCCsf; Outlook Stable.
Fitch has affirmed the following class:
-- $0.1 million class N at 'Dsf'; RE 0%.
Classes A-1 through L have paid in full. Fitch does not rate class
O. Fitch previously withdrew its rating on the interest-only class
X.
MORGAN STANLEY 2006-TOP23: S&P Raises Rating on Cl. F Certs to 'B+'
-------------------------------------------------------------------
S&P Global Ratings raised its ratings on five classes of commercial
mortgage pass-through certificates from Morgan Stanley Capital I
Trust 2006-TOP23, a U.S. commercial mortgage-backed securities
(CMBS) transaction.
The upgrades on the certificates follow S&P's analysis of the
transaction, primarily using its criteria for rating U.S. and
Canadian CMBS transactions, which included a review of the credit
characteristics and performance of the remaining assets in the
pool, the transaction's structure, and the liquidity available to
the trust. The raised ratings also reflect S&P's expectation of
the available credit enhancement for these classes, which S&P
believes is greater than its most recent estimate of necessary
credit enhancement for the respective rating levels, as well as the
significant reduction in trust balance.
While available credit enhancement levels suggest further positive
rating movements on classes C, D, E, and F, S&P's analysis also
considered its tenancy concerns with the 150 Hillside Avenue loan
($21.0 million, 20.2%). The loan is secured by an office property
totaling 127,325 sq. ft. in White Plains, N.Y. The loan appears on
the master servicer's watchlist because the largest tenant at the
property, The Dannon Co. Inc., representing 56.6% of the net
rentable area, has a lease that expires in September 2017.
According to various media reports, the tenant is expected to
vacate the property.
TRANSACTION SUMMARY
As of the April 12, 2017, trustee remittance report, the collateral
pool balance was $103.6 million, which is 6.4% of the pool balance
at issuance. The pool currently includes 13 loans and three real
estate-owned (REO) assets (reflecting split loans as one loan),
down from 161 loans at issuance. Four of these assets ($33.7
million, 32.5%) are with the special servicer, no loans are
defeased, and six loans ($41.9 million, 40.5%) are on the master
servicer's watchlist. The master servicer, Wells Fargo Bank N.A.,
reported financial information for 92.8% of the loans in the pool,
of which 51.9% was year-end 2016 data, and the remainder was
year-end 2015 data.
S&P calculated a 1.23x S&P Global Ratings weighted average debt
service coverage (DSC) and 76.4% S&P Global Ratings weighted
average loan-to-value (LTV) ratio using a 7.56% S&P Global Ratings
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the four specially
serviced assets. The top 10 assets have an aggregate outstanding
pool trust balance of $96.1 million (92.7%). Using adjusted
servicer-reported numbers, S&P calculated an S&P Global Ratings
weighted average DSC and LTV of 1.17x and 79.9%, respectively, for
seven of the top 10 assets. The remaining assets are specially
serviced and discussed below.
To date, the transaction has experienced $28.3 million in principal
losses, or 1.8% of the original pool trust balance. S&P expects
losses to reach approximately 2.9% of the original pool trust
balance in the near term, based on losses incurred to date and
additional losses S&P expects upon the eventual resolution of the
four specially serviced assets.
CREDIT CONSIDERATIONS
As of the April 12, 2017, trustee remittance report, four assets in
the pool were with the special servicer, C-III Asset Management
LLC. Details of the two largest specially serviced assets, both of
which are top 10 assets, are:
The Savannah Crossings I & II REO asset ($15.3 million, 14.7%) has
$20.1 million in total reported exposure. The asset is a
155,012-sq.-ft. neighborhood retail center in Savannah, Ga. The
loan was transferred to the special servicer on July 17, 2013,
because of payment default. The asset became REO on May 6, 2014.
The special servicer stated that marketing efforts commenced in
March 2017, and it anticipates that closing could occur in the
second quarter of 2017. A $10.7 million appraisal reduction amount
(ARA) is in effect against this asset. S&P expects a moderate loss
(between 26% and 59%) upon this asset's eventual resolution.
The 825 Tech Center REO asset ($7.8 million, 7.5%) has
$9.4 million in total reported exposure. The asset is a
96,960-sq.-ft. office property in Gahanna, Ohio. The loan was
transferred to the special servicer on April 15, 2016, because of
imminent default because the borrower has requested an extension
from the Jun 1, 2016, maturity. The asset became REO on Nov. 29,
2016. The special servicer stated that the property was sold in
the February auction, and the buyer is in the due diligence period.
A $1.8 million ARA is in effect against this asset. S&P expects a
moderate loss upon this asset's eventual resolution.
The two remaining assets with the special servicer each have
individual balances that represent less than 7.3% of the total pool
trust balance. S&P estimated losses for the four specially
serviced assets, arriving at a weighted average loss severity of
54.2%.
RATINGS LIST
Morgan Stanley Capital I Trust 2006-TOP23
Commercial mortgage pass-through certificates series 2006-TOP23
Rating
Class Identifier To From
B 61749MAB5 AAA (sf) BBB- (sf)
C 61749MAC3 AA+ (sf) BB (sf)
D 61749MAD1 A+ (sf) B+ (sf)
E 61749MAE9 BBB- (sf) B (sf)
F 61749MAF6 B+ (sf) B- (sf)
MORGAN STANLEY 2013-C11: Moody's Cuts Rating on Cl. F Certs to B1
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on eleven
classes and downgraded the ratings on two classes in Morgan Stanley
Bank of America Merrill Lynch Trust 2013-C11, Commercial Mortgage
Pass-Through Certificates:
Cl. A-2, Affirmed Aaa (sf); previously on May 12, 2016 Affirmed Aaa
(sf)
Cl. A-3, Affirmed Aaa (sf); previously on May 12, 2016 Affirmed Aaa
(sf)
Cl. A-4, Affirmed Aaa (sf); previously on May 12, 2016 Affirmed Aaa
(sf)
Cl. A-AB, Affirmed Aaa (sf); previously on May 12, 2016 Affirmed
Aaa (sf)
Cl. A-S, Affirmed Aaa (sf); previously on May 12, 2016 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa3 (sf); previously on May 12, 2016 Affirmed Aa3
(sf)
Cl. C, Affirmed A3 (sf); previously on May 12, 2016 Affirmed A3
(sf)
Cl. D, Affirmed Baa3 (sf); previously on May 12, 2016 Affirmed Baa3
(sf)
Cl. E, Affirmed Ba2 (sf); previously on May 12, 2016 Affirmed Ba2
(sf)
Cl. F, Downgraded to B1 (sf); previously on May 12, 2016 Affirmed
Ba3 (sf)
Cl. G, Downgraded to Caa1 (sf); previously on May 12, 2016 Affirmed
B2 (sf)
Cl. PST, Affirmed A1 (sf); previously on May 12, 2016 Affirmed A1
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on May 12, 2016 Affirmed Aaa
(sf)
RATINGS RATIONALE
The ratings on nine 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 two P&I classes, classes F and G, were downgraded
due to an increase in expected losses as a result of the
deteriorating performance of the special serviced loan.
The ratings on the IO class, Class X-A, was affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of the referenced classes.
The ratings on class PST was affirmed due to the credit performance
(or the weighted average rating factor or WARF) of the exchangeable
classes.
Moody's rating action reflects a base expected loss of 6.5% of the
current balance, compared to 4.5% at Moody's last review. Moody's
base expected loss plus realized losses is now 5.9% of the original
pooled balance, compared to 4.3% 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. The methodology used in
rating Cl. PST was "Moody's Approach to Rating Repackaged
Securities" methodology published in June 2015. Please see the
Rating Methodologies page on www.moodys.com for a copy of these
methodologies.
Additionally, the methodology used in rating Cl. X-A was "Moody's
Approach to Rating Structured Finance Interest-Only Securities"
published in October 2015. Please see the Rating Methodologies page
on www.moodys.com for a copy of this methodology.
Please note that on February 27, 2017, Moody's released a "Request
for Comment" in which it has requested market feedback on proposed
changes to its methodology for rating structured finance
interest-only (IO) securities called "Moody's Approach to Rating
Structured Finance Interest-Only Securities," dated October 20,
2015. If Moody's adopts the new methodology as proposed, the
changes could affect the ratings of MSBAM 2013-C11. Please see
"Moody's Proposes Revised Approach to Rating Structured Finance
Interest-Only (IO) Securities", which is available at
www.moodys.com
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 15, the same as at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model and then reconciles and weights the results from the
conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, 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 April 17, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 9.2% to $777.9
million from $856.3 million at securitization. The certificates are
collateralized by 37 mortgage loans ranging in size from less than
1% to 12.9% of the pool, with the top ten loans (excluding
defeasance) constituting 69% of the pool. One loan, constituting
2.3% of the pool, has an investment-grade structured credit
assessment. Two loans, constituting 1.6% of the pool, have defeased
and are secured by US government securities.
One loan, constituting 2.9% 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.
There are no loans that have been liquidated from the pool. One
loan, constituting 10.3% of the pool, is currently in special
servicing. The largest specially serviced loan is the Matrix
Corporate Center ($79.9 million -- 10.3% of the pool), which is
secured by a 1,046,701 square foot (SF) office complex located just
outside of Danbury, Connecticut, 33 miles northeast of Stamford,
Connecticut. The loan was transferred to Special Servicing in
February 2016. The former largest tenant Boehringer Ingleheim which
occupied 19.3% of the net rentable area (NRA) moved out early and
ceased rent payment in February 2017 under a lease that expires in
2022. Additionally, the former second largest tenant which occupied
approximately 19% of the NRA under a lease that matured in December
2016 has vacated. As per the January 2017 rent roll the property
was 35% leased, however, the February 2017 departure of Boehringer
Ingelheim reflects a 17% occupancy rate. Per the Special Servicer,
the resolution strategy is to further pursue the partial change in
use for the collateral and continue marketing the collateral with
hopes of obtaining an age-restricted housing developer. Due to the
deteriorating performance of the collateral, Moody's expected loss
has increased from last review.
Moody's received full year 2015 operating results for 98% of the
pool, and full or partial year 2016 operating results for 98% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 97.4%, compared to 96.6% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 21.8% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.72%.
Moody's actual and stressed conduit DSCRs are 1.59X and 1.09X,
respectively, compared to 1.64X and 1.10X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The loan with a structured credit assessment is the University
Towers Cooperative Loan ($17.6 million -- 2.3% of the pool), which
is secured by three 15-story coop apartment buildings located in
Brooklyn, New York which were constructed in 1957. Occupancy as of
June 2016 was 96%, the same as of June 2015. Moody's structured
credit assessment and stressed DSCR are aaa (sca.pd) and 5.68X,
respectively, compared to aaa (sca.pd) and 5.48X at the last
review.
The top three conduit loans represent 31.7% of the pool balance.
The largest loan is the Westfield Countryside Loan ($100 million --
12.9% of the pool), which represents a 64.5% pari-passu interest in
a $155.0 million loan. The loan is secured by a 465,000 square foot
(SF) component of an approximately 1.26 million square foot (SF)
super-regional mall located in Clearwater, Florida, 20 miles west
of the Tampa CBD. The mall is anchored by Dillard's, Macy's, Sears,
and JC Penney, all of which are non-collateral. The collateral was
93% leased as of September 2016, compared to 95% leased as of
December 2015. Moody's LTV and stressed DSCR are 100.9% and 0.96X,
respectively, compared to 96.7% and 1.01X at Moody's last review.
The second largest loan is the Mall at Tuttle Crossing Loan ($93.3
million -- 12% of the pool), which represents a 76% pari-passu
interest in a $122.8 million loan. The loan is secured by a 385,000
square foot (SF) component of an approximately 1.13 million square
foot (SF) super-regional mall located in Dublin, Ohio, 11 miles
from the Columbus CBD. The mall is currently anchored by JC Penney,
Sears and two Macy's stores that are all non-collateral. The Macy's
Home Store (20% of total mall NRA) will be closing in July 2017,
per the Master Servicer the plans for the vacant space are still
unknown. The collateral was 87% leased as of December 2016,
compared to, 88% leased as of December 2015. Moody's LTV and
stressed DSCR are 80.5% and 1.24X, respectively, compared to 74.4%
and 1.34X at the last review.
The third largest loan is the Southdale Center Loan ($53 million --
6.8% of the pool), which represents a 35.5% pari-passu interest in
a $149.4 million loan. The loan is secured by a 634,880 square foot
(SF) component of an approximately 1.23 million square foot (SF)
super-regional mall located in Edina, Minnesota, approximately 7
miles southeast of the Minneapolis CBD. The property is currently
anchored by Macy's, J.C. Penney, Herberger's, Marshall's and
includes a 16-screen American MultiCinema movie theater. The Macy's
and J.C. Penney stores are owned by their respective tenants and
are not part of the collateral. As per the December 2016 rent roll
the collateral portion was 87% leased, compared to 78% leased as of
December 2014. Moody's LTV and stressed DSCR are 104.6% and 0.93X,
respectively, compared to 106.6% and 0.91X at Moody's last review.
MORGAN STANLEY 2016-C29: Fitch Affirms B-sf Rating on Cl. F Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of Morgan Stanley Bank of
America Merrill Lynch Trust (MSBAM) Mortgage Trust 2016-C29
Commercial Mortgage pass-through certificates.
KEY RATING DRIVERS
The affirmations are the result of overall stable pool performance,
which reflects no material changes to pool metrics since issuance;
therefore, Fitch considered the original rating analysis in
affirming the transaction.
As of the April 2017 distribution date, the pool's aggregate
principal balance has been reduced by 0.5% to $805.3 million from
$809.5 million at issuance. There are four Fitch Loans of Concern
(7.1% of the pool), largely due to tenancy and/or occupancy issues.
This includes two of the top 15 loans totaling 5.8% of the pool.
Reger Industrial Portfolio: The largest Fitch Loan of Concern
(3.9%) is secured by a portfolio of seven cross-collateralized and
cross-defaulted industrial properties located in South Carolina.
Westinghouse Electric Company (WEC) is the sole tenant at the West
Columbia, SC property (27.9% of the allocated portfolio loan
balance) with a lease scheduled through August 2018. In March 2017,
WEC filed for Chapter 11 bankruptcy protection due to cost overruns
on construction of two U.S. nuclear power plants. As of the
November 2016 rent roll, total portfolio occupancy was 99.2%, with
WEC accounting for 26.6% of total annual base rent for the
portfolio.
Barringer Technology Center: The second largest Fitch Loan of
Concern (1.9%) is secured by a three-building industrial and
mixed-use property located in Baton Rouge, LA. At issuance, ITT
Educational Services (ITT) was the largest tenant, leasing 15.4% of
the property's total net rentable area through April 2020. However,
ITT ceased operations in September 2016 and no longer occupies
space at the property. According to the servicer, the space remains
vacant as of April 2017, although the borrower is said to be
working with two leasing prospects. Fitch was aware of ITT's
financial distress at the time of issuance. The tenant accounted
for 25% of total annual base rent as of the September 2016 rent
roll. The property is now 65.5% physically occupied compared to
72.8% at the time of issuance.
Lower Pool Concentration: The top 10 loans comprise 41.1% of the
pool, which is lower than the 2015 average of 49.3%. It was also
noted at issuance that the loan concentration index (LCI) was lower
than average for this transaction.
Leasehold Interests: Approximately 11.1% of the pool consists of
leasehold-only ownership interests, which is greater than the 2015
average of 3.5%. The leasehold-only collateral in this transaction
includes three of the top 15 loans, Penn Square Mall (5.8%), Le
Meridien Cambridge MIT (2.6%), and Gulfport Premium Outlets (2.1%).
Each of these ground leases is on a long-term lease extending at
least 30 years beyond their respective loan terms.
Loans with Additional Debt: The concentration of loans with
subordinate debt in this pool (four loans, 11.8% of the pool) is
above the 2015 average of 9.1%.
Pari Passu Loans: Six loans representing 25.5% of the pool,
including four of the top 10 loans, are pari passu loans.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Should
performance of the Fitch Loans of Concern further deteriorate,
negative actions are possible. Fitch does not anticipate rating
upgrades in the near future.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
-- $25.6 million class A-1 at 'AAAsf'; Outlook Stable;
-- $39.5 million class A-2 at 'AAAsf'; Outlook Stable;
-- $58.5 million class A-SB at 'AAAsf'; Outlook Stable;
-- $190 million class A-3 at 'AAAsf'; Outlook Stable;
-- $248.8 million class A-4 at 'AAAsf'; Outlook Stable;
-- $562.5 million class X-A* at 'AAAsf'; Outlook Stable;
-- $97.1 million class X-B* at 'AA-sf'; Outlook Stable;
-- $54.6 million class A-S at 'AAAsf'; Outlook Stable;
-- $42.5 million class B at 'AA-sf'; Outlook Stable;
-- $35.4 million class C at 'A-sf'; Outlook Stable;
-- $42.5 million class X-D* at 'BBB-sf'; Outlook Stable;
-- $22.3 million class X-E* at 'BB-sf'; Outlook Stable;
-- $8.1 million class X-F* at 'B-sf'; Outlook Stable;
-- $42.5 million class D at 'BBB-sf'; Outlook Stable;
-- $22.3 million class E at 'BB-sf'; Outlook Stable;
-- $8.1 million class F at 'B-sf'; Outlook Stable.
*Notional amount and interest-only.
Fitch does not rate the class X-G, X-H, G, or H certificates.
MORGAN STANLEY 2017-C33: DBRS Gives Prov. BB(low) Rating to F Debt
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the followings classes
of Commercial Mortgage Pass-Through Certificates, Series 2017-C33
(the Certificates), to be issued by Morgan Stanley Bank of America
Merrill Lynch Trust 2017-C33:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class X-A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (high) (sf)
-- Class X-B at AA (low) (sf)
-- Class C at A (high) (sf)
-- Class X-D at BBB (high) (sf)
-- Class D at BBB (sf)
-- Class E at BB (high) (sf)
-- Class F at BB (low) (sf)
All trends are Stable.
Classes X-D, D, E, F and G will be privately placed. The Classes
X-A, X-B and X-D balances are notional.
The collateral consists of 44 fixed-rate loans secured by 70
commercial properties. Two of the loans are cross-collateralized
and cross-defaulted into a separate crossed group. The DBRS
analysis of this transaction incorporates these loans as a
portfolio, resulting in a modified loan count of 43. The
transaction is a sequential-pay pass-through structure. The conduit
pool was analyzed to determine the provisional ratings, reflecting
the long-term probability of loan default within the term and its
liquidity at maturity. When the cut-off loan balances were measured
against the DBRS Stabilized Net Cash Flow (NCF) and their
respective actual constants, there were no loans with a DBRS Term
Debt Service Coverage Ratio (DSCR) below 1.15 times (x), a
threshold indicative of a higher likelihood of mid-term default.
Additionally, to assess refinance risk given the current low
interest rate environment, DBRS applied its refinance constants to
the balloon amounts. This resulted in six loans, representing 21.0%
of the pool, having refinance (Refi) DSCRs below 1.00x.
The pool consists of relatively low-leverage financing, with a DBRS
Debt Yield and DBRS Exit Debt Yield of 9.9% and 11.3%,
respectively. Such figures compare favorably with recently issued
conduit transactions rated by DBRS. In addition, 21 loans,
representing 50.9% of the pool, have a DBRS Term DSCR in excess of
1.50x. This includes six of the largest ten loans. The pool's
general refinance risk is also relatively low as indicated by the
robust DBRS Refi DSCR of 1.15x. Only six loans representing 21.0%
of the pool have DBRS Refi DSCRs below 1.00x, which is well below
recent conduit pools rated by DBRS. There are no shadow-rated loans
skewing such metrics.
Six loans, comprising 17.5% of the transaction balance, are secured
by properties that are either fully or primarily leased to a single
tenant. This includes four of the largest 15 loans: Pentagon
Center, 141 Fifth Avenue, Ralph's Food Warehouse Portfolio and 935
First Avenue. Of note, Ralph's Food Warehouse Portfolio, which
totals 2.4% of the pool, is located in tertiary areas across Puerto
Rico and is 78.1% owner occupied. Loans secured by properties
occupied by single tenants have been found to suffer higher loss
severities in an event of default. However, approximately 68.1% of
the single-tenant concentration stems from properties occupied by
investment-grade tenants with significant capital invested into
their space. Pentagon Center is fully occupied by the Department of
Defense, which recently relocated 1,800 employees to the subject.
It is a low-leveraged loan as indicated by the DBRS Debt Yield of
10.0% with a moderate loan per square foot of $230, which is well
below recent sales prices in its market. The second-largest loan
contributing to the pool's single-tenant concentration is 141 Fifth
Avenue, which has an excellent location in Manhattan's Flatiron
District. Its sole occupant is HSBC, which currently pays a
below-market rental rate. Both loans are well structured with cash
flow sweeps tied to tenant renewals. Six loans, representing 26.6%
of the pool, including four of the largest ten loans, are
structured with IO payments for the full term. An additional 17
loans, representing 45.4% of the pool, have partial IO periods
remaining ranging from 12 months to 60 months. Four of the
full-term IO loans, representing 70.1% of the full IO concentration
in the transaction, are located in urban markets. Of these, three
loans, totaling 38.0% concentration, have excellent locations in
immensely infill Super Dense Urban markets that benefit from steep
investor demand.
The DBRS sample included 27 of the 42 loans in the pool. Site
inspections were performed on 49 of the 70 properties in the
portfolio (81.7% of the pool by allocated loan balance). The DBRS
sample had an average NCF variance of -8.4% and ranged from -19.6%
to +2.1% (Chicago Crossed Loans).
The ratings assigned to the Certificates by DBRS are based
exclusively on the credit provided by the transaction structure and
underlying trust assets. All classes will be subject to ongoing
surveillance, which could result in upgrades or downgrades by DBRS
after the date of issuance.
MORGAN STANLEY 2017-C33: Fitch to Rate Class F Certificates 'B-sf'
------------------------------------------------------------------
Fitch Ratings has issued a presale report on Morgan Stanley Bank of
America Merrill Lynch Trust Series 2017-C33 commercial mortgage
pass-through certificates.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $28,500,000 class A-1 'AAAsf'; Outlook Stable;
-- $75,200,000 class A-2 'AAAsf'; Outlook Stable;
-- $52,500,000 class A-SB 'AAAsf'; Outlook Stable;
-- $37,500,000 class A-3 'AAAsf'; Outlook Stable;
-- $130,000,000 class A-4 'AAAsf'; Outlook Stable;
-- $156,052,000 class A-5 'AAAsf'; Outlook Stable;
-- $479,752,000 b class X-A 'AAAsf'; Outlook Stable;
-- $125,079,000b class X-B 'A-sf'; Outlook Stable;
-- $58,256,000 class A-S 'AAAsf'; Outlook Stable;
-- $38,551,000 class B 'AA-sf'; Outlook Stable;
-- $28,272,000 class C 'A-sf'; Outlook Stable;
-- $32,554,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $32,554,000a class D 'BBB-sf'; Outlook Stable;
-- $14,564,000a class E 'BB-sf'; Outlook Stable;
-- $6,854,000a class F 'B-sf'; Outlook Stable.
The following classes are expected to be not rated:
-- $26,557,919a class G 'NR';
-- $17,213,062a VRR Interest 'NR'.
a - Privately placed pursuant to Rule 144A.
b - Notional amount and interest only.
KEY RATING DRIVERS
Above-Average Amortization: Based on the scheduled balance at
maturity, the pool will pay down by 11.4%, which is above the 2016
average of 10.4% and the YTD 2017 average of 7.8%. Six loans
(26.6%) are full-term interest only and 18 loans (45.4%) are
partial interest only. Fitch-rated transactions in 2016 had an
average full-term, interest-only percentage of 33.3% and a partial
interest-only percentage of 33.3%. Fitch-rated transactions in 2017
had an average full term, interest-only percentage of 45.9% and a
partial interest-only percentage of 29.2%.
Pool Concentration: The largest 10 loans account for 56.7% of the
pool, which is more concentrated than the 2016 average of 54.8% and
the YTD 2017 average of 53.2% for fixed-rate transactions. The pool
exhibits above-average pool concentration, with a loan
concentration index (LCI) of 415, which is above the YTD 2017
average of 393. For this transaction, a scenario analysis in which
the largest 10 loans were defaulted with losses, calculated based
on a 64.7% value decline, increased Fitch's modeled credit
enhancement by approximately 1.50% at 'AAAsf'.
Average Fitch Leverage. The pool has leverage in line with other
Fitch-rated multiborrower transactions. The pool's Fitch DSCR of
1.23x is slightly better than the 2016 average of 1.21x and the YTD
2017 average of 1.22x. The pool's Fitch LTV of 102.5% is better
than the 2016 average of 105.2% and the YTD 2017 average of
104.7%.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 14.4% below
the most recent year's net operating income (NOI; for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period). Unanticipated further
declines in property-level NCF could result in higher defaults and
loss severities on defaulted loans and in potential rating actions
on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to MSBAM
2017-C33 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'A-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'
could result.
NEUBERGER BERMAN XIV: S&P Gives 'BB-' Rating on Class E-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class X-2, A-R,
B-1-R, B-2-R, C-R, D-R, and E-R replacement notes from Neuberger
Berman CLO XIV Ltd., a collateralized loan obligation (CLO)
originally issued in 2013 that is managed by Neuberger Berman
Investment Advisers LLC. S& withdrew its ratings on the original
class A-1, B-1, B-2, C, D, and E notes following payment in full on
the April 28, 2017, refinancing date.
On the April 28, 2017, refinancing date, the proceeds from the
replacement note issuances were used to redeem the original class
A-1, B-1, B-2, C, D, and E notes as outlined in the transaction
document provisions. Therefore, S&P withdrew its ratings on the
original notes in line with their full redemption, and S&P is
assigning ratings to the replacement notes.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the trustee
report, to estimate future performance. In line with S&P's
criteria, its cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, S&P's analysis considered
the transaction's ability to pay timely interest or ultimate
principal, or both, to each of the rated tranches.
The assigned ratings reflect S&P's opinion that the credit support
available is commensurate with the associated rating levels.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and S&P will take rating actions as it
deems necessary.
RATINGS ASSIGNED
Neuberger Berman CLO XIV Ltd.
Replacement class Rating Amount
(mil $)
X-2 AAA (sf) 1.500
A-R AAA (sf) 252.800
B-1-R AA (sf) 41.400
B-2-R AA (sf) 10.000
C-R (deferrable) A (sf) 24.250
D-R (deferrable) BBB- (sf) 23.750
E-R (deferrable) BB- (sf) 15.800
Subordinated notes NR 54.121
RATINGS WITHDRAWN
Neuberger Berman CLO XIV Ltd.
Rating
Original class To From
A-1 NR AAA (sf)
B-1 NR AA (sf)
B-2 NR AA (sf)
C (deferrable) NR A (sf)
D (deferrable) NR BBB (sf)
E (deferrable) NR BB (sf)
NR--Not rated.
NEW RESIDENTIAL 2017-2: DBRS Finalizes B Ratings on 3 Tranches
---------------------------------------------------------------
DBRS, Inc. finalized its following provisional ratings on the
Mortgage-Backed Notes, Series 2017-2 (the Notes) issued by New
Residential Mortgage Loan Trust 2017-2 (the Trust):
-- $617.9 million Class A-1 at AAA (sf)
-- $617.9 million Class A-IO at AAA (sf)
-- $617.9 million Class A-1A at AAA (sf)
-- $617.9 million Class A-1B at AAA (sf)
-- $617.9 million Class A-1C at AAA (sf)
-- $617.9 million Class A1-IOA at AAA (sf)
-- $617.9 million Class A1-IOB at AAA (sf)
-- $617.9 million Class A1-IOC at AAA (sf)
-- $629.9 million Class A-2 at AA (sf)
-- $617.9 million Class A at AAA (sf)
-- $12.0 million Class B-1 at AA (sf)
-- $12.0 million Class B1-IO at AA (sf)
-- $12.0 million Class B-1A at AA (sf)
-- $12.0 million Class B-1B at AA (sf)
-- $12.0 million Class B-1C at AA (sf)
-- $12.0 million Class B1-IOA at AA (sf)
-- $12.0 million Class B1-IOB at AA (sf)
-- $12.0 million Class B1-IOC at AA (sf)
-- $10.0 million Class B-2 at A (sf)
-- $10.0 million Class B2-IO at A (sf)
-- $10.0 million Class B-2A at A (sf)
-- $10.0 million Class B-2B at A (sf)
-- $10.0 million Class B-2C at A (sf)
-- $10.0 million Class B2-IOA at A (sf)
-- $10.0 million Class B2-IOB at A (sf)
-- $10.0 million Class B2-IOC at A (sf)
-- $7.3 million Class B-3 at BBB (sf)
-- $7.3 million Class B-3A at BBB (sf)
-- $7.3 million Class B-3B at BBB (sf)
-- $7.3 million Class B-3C at BBB (sf)
-- $7.3 million Class B3-IOA at BBB (sf)
-- $7.3 million Class B3-IOB at BBB (sf)
-- $7.3 million Class B3-IOC at BBB (sf)
-- $6.0 million Class B-4 at BB (sf)
-- $6.0 million Class B-4A at BB (sf)
-- $6.0 million Class B4-IOA at BB (sf)
-- $4.0 million Class B-5 at B (sf)
-- $4.0 million Class B-5A at B (sf)
-- $4.0 million Class B5-IOA at B (sf)
In addition, DBRS has assigned new ratings to the following Notes
issued by the Trust:
-- $584.7 million Class A-3 at AAA (sf)
-- $33.3 million Class A-4 at AAA (sf)
-- $584.7 million Class A-5 at AAA (sf)
-- $33.3 million Class A-6 at AAA (sf)
Classes A-IO, A1-IOA, A1-IOB, A1-IOC, B1-IO, B1-IOA, B1-IOB,
B1-IOC, B2-IO, B2-IOA, B2-IOB, B2-IOC, B3-IOA, B3-IOB, B3-IOC,
B4-IOA and B5-IOA are interest-only notes. The class balances
represent notional amounts.
Classes A-1A, A-1B, A-1C, A1-IOA, A1-IOB, A1-IOC, A-2, A-3, A-4,
A-5, A-6, A, B-1A, B-1B, B-1C, B1-IOA, B1-IOB, B1-IOC, B-2A, B-2B,
B-2C, B2-IOA, B2-IOB, B2-IOC, B-3A, B-3B, B-3C, B3-IOA, B3-IOB,
B3-IOC, B-4A, B4-IOA, B-5A and B5-IOA are exchangeable notes. These
classes can be exchanged for combinations of initial exchangeable
notes as specified in the offering documents.
The AAA (sf) ratings on the Notes reflect the 7.10% of credit
enhancement provided by subordinated Notes in the pool. The AA
(sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 5.30%,
3.80%, 2.70%, 1.80% and 1.20% of credit enhancement, respectively.
Other than the specified classes above, DBRS does not rate any
other classes in this transaction.
This transaction is a securitization of a portfolio of seasoned
performing and re-performing first-lien residential mortgages. The
Notes are backed by 6,106 loans with a total principal balance of
$665,135,131 as of the Cut-Off Date (April 1, 2017).
The loans are significantly seasoned with a weighted-average (WA)
age of 166 months and exhibit an especially low WA current
loan-to-value ratio (LTV) of 37.9%. As of the Cut-Off Date, 97.1%
of the pool is current, 1.9% is 30 days delinquent under the
Mortgage Bankers Association (MBA) delinquency method and 1.0% is
in bankruptcy (all bankruptcy loans are performing or 30 days
delinquent). Approximately 83.3% and 89.7% of the mortgage loans
have been zero times 30 days delinquent (0 x 30) for the past 24
months and 12 months, respectively, under the MBA delinquency
method. The portfolio contains 10.8% modified loans. The
modifications happened more than two years ago for 72.1% of the
modified loans. As a result of the seasoning of the collateral,
none of the loans are subject to the Consumer Financial Protection
Bureau Ability-to-Repay/Qualified Mortgage rules.
The Seller, NRZ Sponsor IX LLC (NRZ), acquired certain loans prior
to the Closing Date and will acquire certain loans on the Closing
Date in connection with the termination of various securitization
trusts or through a whole loan purchase. Upon acquiring the loans
from the securitization trusts, NRZ, through an affiliate, New
Residential Funding 2017-2 LLC (the Depositor), will contribute the
loans to the Trust. As the Sponsor, New Residential Investment
Corp., through a majority-owned affiliate, will acquire and retain
a 5% eligible vertical interest in each class of securities to be
issued (other than the residual notes) to satisfy the credit risk
retention requirements under Section 15G of the Securities Exchange
Act of 1934 and the regulations promulgated thereunder. These loans
were originated and previously serviced by various entities through
purchases in the secondary market.
As of the Cut-Off Date, 97.4% of the pool is serviced by Nationstar
Mortgage LLC (Nationstar) and 2.6% by Ocwen Loan Servicing, LLC.
Nationstar will also act as the Master Servicer and the Special
Servicer.
The transaction employs a senior-subordinate shifting-interest cash
flow structure that is enhanced from a pre-crisis structure.
The ratings reflect transactional strengths that include underlying
assets that have significant seasoning, relatively clean payment
histories and robust loan attributes with respect to credit scores,
product types and LTV ratios. Additionally, historical NRMLT
securitizations have exhibited fast voluntary prepayment rates and
satisfactory deal performance.
The transaction employs a relatively weak representations and
warranties framework that includes an unrated representation
provider (NRZ), certain knowledge qualifiers and fewer mortgage
loan representations relative to DBRS criteria for seasoned pools.
Satisfactory third-party due diligence was performed on the pool
for regulatory compliance and title/lien but was limited with
respect to payment history, data integrity and servicing comments.
Updated Home Data Index and/or broker price opinions were provided
for the pool; however, a reconciliation was not performed on the
majority of updated values.
Certain loans have missing assignments or endorsements as of the
Closing Date. Given the relatively clean performance history of the
mortgages and the operational capability of the servicers, DBRS
believes the risk of impeding or delaying foreclosure is remote.
PRIMUS CLO II: Moody's Affirms Ba3(sf) Rating on Class E Notes
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Primus CLO II, Ltd.:
US$31,500,000 Class C Third Priority Deferrable Floating Rate Notes
due 2021, Upgraded to Aaa (sf); previously on February 14, 2017
Upgraded to Aa1 (sf)
US$10,500,000 Class D Fourth Priority Deferrable Floating Rate
Notes due 2021, Upgraded to Aa1 (sf); previously on February 14,
2017 Upgraded to A3 (sf)
Moody's also affirmed the ratings on the following notes:
US$302,500,000 Class A Senior Secured Floating Rate Notes due 2021
(current balance of $1,398,589.16), Affirmed Aaa (sf); previously
on February 14, 2017 Affirmed Aaa (sf)
US$8,500,000 Class B Second Priority Floating Rate Notes due 2021,
Affirmed Aaa (sf); previously on February 14, 2017 Affirmed Aaa
(sf)
US$15,500,000 Class E Fifth Priority Deferrable Floating Rate Notes
due 2021 (current balance of $14,645,606.22), Affirmed Ba3 (sf);
previously on February 14, 2017 Affirmed Ba3 (sf)
Primus CLO II, Ltd., issued in July 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 February 2017. The Class A
notes have been paid down by approximately 97% or $44.7 million
since that time. Based on Moody's calculations, the OC ratios for
the Class A/B, Class C, Class D and Class E notes are 734.74%,
175.68%, 140.14% and 109.29%, respectively, versus January 2017
levels of 164.01%, 124.57%, 115.32% and 104.51%, respectively.
Methodology Underlying 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) 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 $1.4 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% (2499)
Class A: 0
Class B: 0
Class C: 0
Class D: +1
Class E: +1
Moody's Adjusted WARF + 20% (3749)
Class A: 0
Class B: 0
Class C: 0
Class D: -2
Class E: -1
Loss and Cash Flow Analysis
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analyzed the collateral pool as having a performing par and
principal proceeds balance of $72.7 million, no defaulted par, a
weighted average default probability of 17.95% (implying a WARF of
3124), a weighted average recovery rate upon default of 46.67%, a
diversity score of 34 and a weighted average spread of 3.71%
(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.
REGATTA FUNDING IX: Moody's Assigns (P)Ba3 Rating to Class E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of notes to be issued by Regatta IX Funding, Ltd.
Moody's rating action is:
US$256,000,000 Class A Senior Secured Floating Rate Notes due 2030,
Assigned (P)Aaa (sf)
US$47,500,000 Class B Senior Secured Floating Rate Notes due 2030,
Assigned (P)Aa2 (sf)
US$18,800,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2030, Assigned (P)A2 (sf)
US$24,800,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2030, Assigned (P)Baa3 (sf)
US$20,900,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2030, Assigned (P)Ba3 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes and the Class E Notes are referred to herein, collectively,
as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
RATINGS RATIONALE
Moody's provisional ratings of the Rated Notes address the expected
losses posed to noteholders. The provisional ratings reflect the
risks due to defaults on the underlying portfolio of assets, the
transaction's legal structure, and the characteristics of the
underlying assets.
Regatta IX is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90% of the portfolio must consist
of senior secured loans and eligible investments, and up to 10% of
the portfolio may consist of first-lien and last-out, second lien
loans and unsecured loans. Moody's expects the portfolio to be
approximately 80% ramped as of the closing date.
Regatta Loan Management LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in October 2016.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $400,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2650
Weighted Average Spread (WAS): 3.45%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 44.0%
Weighted Average Life (WAL): 9 years.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
October 2016.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2650 to 3048)
Rating Impact in Rating Notches
Class A Notes: 0
Class B Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2650 to 3445)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -4
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
REVELSTOKE CDO I: DBRS Confirms CC(sf) Rating on Class A-1 Notes
----------------------------------------------------------------
DBRS Limited confirmed the ratings of the Class A-1 Notes, Class
A-2 Notes and Class A-3 Notes issued by Revelstoke CDO I Limited
(the Transaction) at CC (sf), C (sf) and C (sf), respectively.
The Transaction is exposed to pools of U.S. non-prime residential
mortgages as well as other collateralized debt obligations backed
by residential mortgages, among other assets. Because of decreasing
quality of the underlying portfolio, DBRS expects that the Class
A-1 Notes will have a partial recovery of principal and it is
expected that holders of both the Class A-2 Notes and Class A-3
Notes will not receive any return of initial principal over the
remaining term of the Transaction.
A full text copy of the ratings is available free at:
https://is.gd/cPahxo
SCHOONER TRUST 2007-7: Moody's Affirms B1 Rating on Class J Certs
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on six classes,
affirmed the ratings on two classes and downgraded the ratings on
one class in Schooner Trust Commercial Mortgage Pass-Through
Certificates, Series 2007-7:
Cl. D Certificate, Upgraded to A1 (sf); previously on May 12, 2016
Upgraded to Baa1 (sf)
Cl. E Certificate, Upgraded to A3 (sf); previously on May 12, 2016
Affirmed Baa3 (sf)
Cl. F Certificate, Upgraded to Baa2 (sf); previously on May 12,
2016 Affirmed Ba1 (sf)
Cl. G Certificate, Upgraded to Baa3 (sf); previously on May 12,
2016 Affirmed Ba2 (sf)
Cl. H Certificate, Upgraded to Ba1 (sf); previously on May 12, 2016
Affirmed Ba3 (sf)
Cl. J Certificate, Upgraded to B1 (sf); previously on May 12, 2016
Affirmed B2 (sf)
Cl. K Certificate, Affirmed Caa1 (sf); previously on May 12, 2016
Affirmed Caa1 (sf)
Cl. L Certificate, Affirmed Caa2 (sf); previously on May 12, 2016
Affirmed Caa2 (sf)
Cl. XC Certificate, Downgraded to B2 (sf); previously on May 12,
2016 Affirmed Ba3 (sf)
RATINGS RATIONALE
The ratings on six P&I classes were upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 89% since Moody's last
review.
The ratings on Classes K and L were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The rating on the IO Class (Class XC) 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 0.8% of the
current balance, compared to 2.8% at Moody's last review. Moody's
base expected loss plus realized losses is now 0.1% of the original
pooled balance, compared to 1.6% 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.
Additionally, the methodology used in rating Cl. XC was Moody's
Approach to Rating Structured Finance Interest-Only Securities
methodology published in October 2015.
Please note that on February 27, 2017, Moody's released a "Request
for Comment" in which it has requested market feedback on proposed
changes to its methodology for rating structured finance
interest-only (IO) securities called "Moody's Approach to Rating
Structured Finance Interest-Only Securities," dated October 20,
2015. If Moody's adopts the new methodology as proposed, the
changes could affect the ratings of Schooner 2007-7.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based CMBS Conduit Model, which it
uses for both conduit and fusion transactions. Credit enhancement
levels for conduit loans are driven by property type, Moody's
actual and stressed DSCR, and Moody's property quality grade (which
reflects the capitalization rate Moody's uses to estimate Moody's
value). Moody's fuses the conduit results with the results of its
analysis of investment grade structured credit assessed loans and
any conduit loan that represents 10% or greater of the current pool
balance.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 5, compared to 17 at Moodys 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 April 12, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 94% to $27.2 million
from $427.6 million at securitization. The certificates are
collateralized by six remaining mortgage loans.
All six remaining loans, constituting 100% of the pool, are on the
master servicer's watchlist as they were not paid off by their
original loan maturity dates and have received short term
extensions. 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 100% of the
pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 86.5%, compared to 81.2% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 23.2% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.4%.
Moody's actual and stressed conduit DSCRs are 1.16X and 1.20X,
respectively, compared to 1.46X and 1.37X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three loans represent 71.5% of the pool balance. The
largest loan is the Deerfoot 17 Loan ($7.8 million -- 28.8% of the
pool), which is secured by a Class B Office Property in Calgary,
AB. The property is located a few minutes from downtown and was
88.7% occupied as of November 2017. Moody's LTV and stressed DSCR
are 99.5% and 1.03X, respectively, compared to 103.8% and 0.99X at
the last review.
The second largest loan is the Taunton Harmony Center Loan ($6.4
million -- 23.5% of the pool), which is secured by an anchored
retail property located in Oshawa, ON. The property is 100% leased
to nine tenants as of September 2016. The top three tenants at the
property are Shopper's Realty Inc., Royal Bank of Canada and Sleep
Country Canada Inc. Moody's LTV and stressed DSCR are 66.9% and
1.37X, respectively, compared to 69.7% and 1.32X at the last
review.
The third largest loan is the Promenade des Sources Loan ($5.2
million -- 19.2% of the pool), which is secured by an unanchored
retail property located in Dollard-Des-Ormeaux, QC. The property is
100% occupied as of February 2017 and the tenant mix comprises of
restaurants, ice-cream shop and cellular Shop. Moody's LTV and
stressed DSCR are 86.6% and 1.22X, respectively, compared to 90.3%
and 1.17X at the last review.
TOWD POINT 2017-2: Fitch to Rate Class B2 Notes 'Bsf'
-----------------------------------------------------
Fitch Ratings expects to rate Towd Point Mortgage Trust 2017-2
(TPMT 2017-2):
-- $584,778,000 class A1 notes 'AAAsf'; Outlook Stable;
-- $56,729,000 class A2 notes 'AAsf'; Outlook Stable;
-- $641,507,000 class A3 exchangeable notes 'AAsf'; Outlook
Stable;
-- $702,490,000 class A4 exchangeable notes 'Asf'; Outlook
Stable;
-- $60,983,000 class M1 notes 'Asf'; Outlook Stable;
-- $49,165,000 class M2 notes 'BBBsf'; Outlook Stable;
-- $45,383,000 class B1 notes 'BBsf'; Outlook Stable;
-- $35,928,000 class B2 notes 'Bsf'; Outlook Stable.
The following classes will not be rated by Fitch:
-- $30,255,000 class B3 notes;
-- $41,129,000 class B4 notes;
-- $41,128,521 class B5 notes.
The notes are supported by one collateral group that consists of
4,946 seasoned performing and re-performing mortgages with a total
balance of approximately $945.5 million (which includes $54.3
million, or 5.7%, of the aggregate pool balance in
non-interest-bearing deferred principal amounts) as of the
statistical calculation date.
The 'AAAsf' rating on the class A1 notes reflects the 38.15%
subordination provided by the 6.00% class A2, 6.45% class M1, 5.20%
class M2, 4.80% class B1, 3.80% class B2, 3.20% class B3, 4.35%
class B4 and 4.35% class B5 notes.
Fitch's ratings on the class notes reflect the credit attributes of
the underlying collateral, the quality of the servicer, Select
Portfolio Servicing, Inc. (SPS, rated 'RPS1-'), and the
representation (rep) and warranty framework, minimal due diligence
findings and the sequential pay structure.
KEY RATING DRIVERS
Distressed Performance History (Concern): The collateral pool
consists primarily of peak-vintage seasoned re-performing loans
(RPLs), including loans that have been paying for the past 24
months, which Fitch identifies as 'clean current' (57.1%) and loans
that are current but have recent delinquencies or incomplete
paystrings, identified as 'dirty current' (42.9%). All loans were
current as of the statistical calculation date and 78.7% of the
loans have received modifications.
Due Diligence Compliance Findings (Concern): The third-party review
(TPR) firm's due diligence review resulted in approximately 8.5%
'C' and 'D' graded loans. For 116 loans, the due diligence results
showed issues regarding high cost testing. The loans were either
missing the final HUD1, used alternate documentation to test, or
had incomplete loan files, and therefore a slight upward revision
to the model output loss severity (LS) was applied, as further
described in the Third-Party Due Diligence section of the presale
report. In addition, timelines were extended on 714 loans that were
missing final modification documents.
No Servicer P&I Advances (Mixed): The servicer will not be
advancing delinquent monthly payments of P&I, which reduces
liquidity to the trust. However, as P&I advances made on behalf of
loans that become delinquent and eventually liquidate reduce
liquidation proceeds to the trust, the loan-level LS are less for
this transaction than for those where the servicer is obligated to
advance P&I. Structural provisions and cash flow priorities,
together with increased subordination, provide for timely payments
of interest to the 'AAAsf' and 'AAsf' rated classes.
Sequential-Pay Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure whereby the subordinate classes
do not receive principal until the senior classes are repaid in
full. Losses are allocated in reverse-sequential order.
Furthermore, the provision to re-allocate principal to pay interest
on the 'AAAsf' and 'AAsf' rated notes prior to other principal
distributions is highly supportive of timely interest payments to
those classes in the absence of servicer advancing.
Inclusion of Investor Property Loans (Mixed): Approximately 3.2% of
the loans were originated as investment property loans by an
affiliate of the seller. While the LTV and credit score profile for
these loans is strong, the program is geared toward real estate
investors who are qualified on a cash flow ratio basis, rather than
a DTI. Fitch assumed a 55% borrower DTI and nonfull documentation
for these loans.
Limited Life of Rep Provider (Concern): FirstKey Mortgage, LLC
(FirstKey), as rep provider, will only be obligated to repurchase a
loan due to breaches prior to the payment date in June 2018.
Thereafter, a reserve fund will be available to cover amounts due
to noteholders for loans identified as having rep breaches. Amounts
on deposit in the reserve fund, as well as the increased level of
subordination, will be available to cover additional defaults and
losses resulting from rep weaknesses or breaches occurring on or
after the payment date in June. If FirstKey does not fulfill its
obligation to repurchase a mortgage loan due to a breach, Cerberus
Global Residential Mortgage Opportunity Fund, L.P. (the responsible
party) will repurchase the loan.
Representation Framework (Concern): Fitch considers the
representation, warranty, and enforcement (RW&E) mechanism
construct for this transaction to generally be consistent with what
it views as a Tier 2 framework, due to the inclusion of knowledge
qualifiers and the exclusion of loans from certain reps as a result
of third-party due diligence findings. For 118 loans which are
seasoned less than 24 months, Fitch viewed the framework as a Tier
3 because the reps related to the origination and underwriting of
the loan, which are typically expected for newly originated loans,
were not included. Thus, Fitch increased its 'AAAsf' PD
expectations by roughly 487 bps to account for a potential increase
in defaults and losses arising from weaknesses in the reps.
Timing of Recordation and Document Remediation (Neutral): An
updated title and tax search, as well as a review to confirm that
the mortgage and subsequent assignments were recorded in the
relevant local jurisdiction, was also performed. Per the
representations provided in the transaction documents, all loans
have either all been recorded in the appropriate jurisdiction, are
in the process of being recorded, or will be sent for recordation
within 12 months of the closing date.
While the expected timelines for recordation and remediation are
viewed by Fitch as reasonable, Fitch believes that FirstKey's
oversight for completion of these activities serves as a strong
mitigant to potential delays. In addition, the obligation of
FirstKey or Cerberus Global Residential Mortgage Opportunity Fund,
L.P. to repurchase loans, for which assignments are not recorded
and endorsements are not completed by the payment date in June
2018, aligns the issuer's interests regarding completing the
recordation process with those of noteholders.
Deferred Amounts (Negative): Non-interest-bearing principal
forbearance amounts totaling $54.3 million (5.7%) of the unpaid
principal balance) are outstanding on 1,541 loans. Fitch included
the deferred amounts when calculating the borrower's LTV and sLTV
despite the lower payment and amounts not being owed during the
term of the loan. The inclusion resulted in higher PDs and LS than
if there were no deferrals. Fitch believes that borrower default
behavior for these loans will resemble that of the higher LTVs, as
exit strategies (that is, sale or refinancing) will be limited
relative to those borrowers with more equity in the property.
Solid Alignment of Interest (Positive): A majority-owned affiliate
of FirstKey will acquire and retain a 5% eligible vertical interest
in each class of the securities to be issued.
Servicing Fee Stress (Negative): Fitch determined that the
aggregate servicing fee of 30bps may be insufficient to attract
subsequent servicers under a period of poor performance and high
delinquencies as observed under its 'AAAsf' rating stress. To
account for the potentially higher fee above what is allowed for
under the current transaction documents, Fitch's cash flow analysis
assumed a 50bp servicing fee.
CRITERIA APPLICATION
There are 118 loans (approximately 2.29% by balance) in the pool
which are seasoned slightly less than Fitch's threshold for
seasoned loans, which is 24 months. On average these loans are
approximately 21 months seasoned. The due diligence scope for these
loans was not consistent with Fitch's scope for newly originated
loans. Fitch is comfortable with the due diligence that was
completed on these loans as it is a small percentage of pool and
the scope was consistent with Fitch's criteria for seasoned and
re-performing loans. In addition, Fitch received updated values for
these loans and conservative assumptions were made on the
collateral analysis.
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.
Fitch conducted sensitivity analysis determining how the ratings
would react to steeper MVDs at the national level. The analysis
assumes MVDs of 10%, 20%, and 30%, in addition to the
model-projected 37.5% at 'AAAsf'. The analysis indicates there is
some potential rating migration with higher MVDs, compared with the
model projection.
Fitch also conducted sensitivities to determine the stresses to
MVDs that would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'.
TOWD POINT 2017-2: Moody's Assigns (P)Ba2 Rating on Cl. B1 Notes
----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to seven
classes of notes issued by Towd Point Mortgage Trust 2017-2.
The notes are backed by one pool of seasoned, performing and
re-performing residential mortgage loans. The collateral pool is
comprised of 4,946 first lien, fixed-rate and adjustable rate
mortgage loans, and has a non-zero updated weighted average FICO
score of 664 and a weighted average current LTV of 83.6%.
Approximately 78.7% of the loans in the collateral pool have been
previously modified. Select Portfolio Servicing, Inc. is the
servicer for the loans in the pool. FirstKey Mortgage, LLC will be
the asset manager for the transaction.
The complete rating actions are:
Issuer: Towd Point Mortgage Trust 2017-2
Cl. A1, Assigned (P)Aaa (sf)
Cl. A2, Assigned (P)Aa2 (sf)
Cl. A3, Assigned (P)Aa1 (sf)
Cl. A4, Assigned (P)A1 (sf)
Cl. M1, Assigned (P)A2 (sf)
Cl. M2, Assigned (P)Baa2 (sf)
Cl. B1, Assigned (P)Ba2 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected losses on TPMT 2017-2's collateral pool average
12.0% in Moody's base case scenario. Moody's loss estimates take
into account the historical performance of the loans that have
similar collateral characteristics as the loans in the pool, and
also incorporate an expectation of a continued strong credit
environment for RMBS, supported by improving home prices over the
next two to three years.
The methodologies used in these ratings were "Moody's Approach to
Rating Securitisations Backed by Non-Performing and Re-Performing
Loans" published in August 2016, and "US RMBS Surveillance
Methodology" published in January 2017.
Collateral Description
TPMT 2017-2's collateral pool is primarily comprised of seasoned,
re-performing mortgage loans. Approximately 78.7% of the loans in
the collateral pool have been previously modified. The majority of
the loans underlying this transaction exhibit collateral
characteristics similar to that of seasoned Alt-A mortgages.
Moody's based Moody's expected losses on the pool on Moody's
estimates of 1) the default rate on the remaining balance of the
loans and 2) the principal recovery rate on the defaulted balances.
The two factors that most strongly influence a re-performing
mortgage loan's likelihood of re-default are the length of time
that the loan has performed since modification, and the amount of
the reduction in monthly mortgage payments as a result of
modification. The longer a borrower has been current on a
re-performing loan, the less likely they are to re-default.
Approximately 53.7% of the borrowers of the loans in the collateral
pool have been current on their payments for the past 24 months.
Moody's estimated expected losses using two approaches -- (1)
pool-level approach, and (2) re-performing loan level analysis. In
the pool-level approach, Moody's estimated losses on the pool by
applying Moody's assumptions on expected future delinquencies,
default rates, loss severities and prepayments as observed on
similar seasoned collateral. Moody's projected future annual
delinquencies for eight years by applying an initial annual default
rate assumption adjusted for future years through delinquency
burnout factors. The delinquency burnout factors reflect Moody's
future expectations of the economy and the U.S. housing market.
Based on the loan characteristics of the pool and the demonstrated
pay histories, Moody's applied an initial expected annual
delinquency rate of 11.0% for the pool for year one. Moody's then
calculated future delinquencies using default burnout and voluntary
conditional prepayment rate (CPR) assumptions. Moody's aggregated
the delinquencies and converted them to losses by applying pool
specific lifetime default frequency and loss severity assumptions.
Moody's CPR and loss severity assumptions are based on actual
observed performance of seasoned loans and prior TPMT deals. In
applying Moody's loss severity assumptions, Moody's accounted for
the lack of principal and interest advancing in this transaction.
In the re-performing loan level analysis, Moody's applied
loan-level baseline lifetime propensity to default assumptions for
the individual loans considering the historical performance of
seasoned loans with similar collateral characteristics and payment
histories. Moody's then adjusted this base default propensity up
for (1) adjustable-rate loans, (2) loans that have the risk of
coupon step-ups and (3) loans with high updated loan to value
ratios (LTVs). Moody's applied a higher baseline lifetime default
propensity for interest-only loans, using the same adjustments. To
calculate the final expected loss for the pool, Moody's applied a
loan-level loss severity assumption based on the loans' updated
estimated LTVs. Moody's further adjusted the loss severity
assumption upwards for loans in states that give super-priority
status to homeowner association (HOA) liens, to account for
potential risk of HOA liens trumping a mortgage.
For loans with deferred balances, Moody's assumed that 100% of the
remaining PRA amount and a portion of the non-PRA deferred
principal balance on modified loans would be forgiven and not
recovered. The deferred balance in this transaction is $54,272,567,
representing approximately 5.7% of the total unpaid principal
balance. Loans that have HAMP and proprietary remaining principal
reduction amount (PRA) totaled $3,748,508, representing
approximately 6.9% of total deferred balance. The final expected
loss for the collateral pool reflects the due diligence findings of
four independent third party review (TPR) firms as well as Moody's
assessment of TPMT 2017-2's representations & warranties (R&Ws)
framework.
Transaction Structure
TPMT 2017-2 has a sequential priority of payments structure, in
which a given class of notes can only receive principal payments
when all the classes of notes above it have been paid off.
Similarly, losses will be applied in the reverse order of priority.
The Class A1, A2, M1 and M2 notes carry a fixed-rate coupon subject
to the collateral adjusted net WAC and applicable available funds
cap. The Class A3 and A4 are Variable Rate Notes where the coupon
is equal to the weighted average of the note rates of the related
exchange notes. The Class B1, B2, B3, B4 and B5 are Variable Rate
Notes where the coupon is equal to the lesser of adjusted net WAC
and applicable available funds cap. There are no performance
triggers in this transaction. Additionally, the servicer will not
advance any principal or interest on delinquent loans. Moreover,
the monthly excess cash flow in this transaction, after payment of
such expenses, if any, will be fully captured to pay the principal
balance of the bonds sequentially, allowing for a faster paydown of
the bonds.
Moody's modeled TPMT 2017-2's cashflows using SFW®, a cashflow
tool developed by Moody's Analytics. To assess the final rating on
the notes, Moody's ran 96 different loss and prepayment scenarios
through SFW. The scenarios encompass six loss levels, four loss
timing curves, and four prepayment curves. The structure allows for
timely payment of interest and ultimate payment of principal with
respect to the notes by the legal final maturity.
Third Party Review
Four independent third party review (TPR) firms conducted due
diligence on 100% of the loans in TPMT 2017-2's collateral pool for
compliance, pay string history, title and tax review and data
capture. The four TPR firms -- JCIII & Associates, Inc.
(subsequently acquired by American Mortgage Consultants), Clayton
Services, LLC, AMC Diligence, LLC, and Westcor Land Title Insurance
Company -- reviewed compliance, data integrity and key documents,
to verify that loans were originated in accordance with federal,
state and local anti-predatory laws. The TPR firms also conducted
audits of designated data fields to ensure the accuracy of the
collateral tape.
Based on Moody's analysis of the third-party review reports,
Moody's determined that a portion of the loans had legal or
compliance exceptions that could cause future losses to the trust.
Moody's incorporated an additional hit to the loss severities for
these loans to account for this risk. FirstKey Mortgage, LLC,
retained Westcor and AMC Diligence, LLC to review the title and tax
reports for the loans in the pool, and will oversee Westcor and
monitor the loan sellers in the completion of the assignment of
mortgage chains. 100% of the loans are in first lien position,
subject in some cases to certain liens as described in the R&Ws. In
addition, FirstKey expects a significant number of the assignment
and endorsement exceptions to be cleared within the first twelve
months following the closing date of the transaction. The
representation provider has deposited collateral of $0.5 million in
Assignment Reserve Account to ensure that the asset manager
completes the clearing of these exceptions.
Representations & Warranties
Our ratings reflect TPMT 2017-2's weak representations and
warranties (R&Ws) framework. The representation provider, FirstKey
Mortgage, LLC and the responsible party, Cerberus Global
Residential Mortgage Opportunity Fund, L.P., are unrated by
Moody's. Moreover, FirstKey's obligations will be in effect for
only thirteen months (until the payment date in June 2018). The
R&Ws themselves are weak because they contain many knowledge
qualifiers and the regulatory compliance R&W does not cover
monetary damages that arise from TILA violations whose right of
rescission has expired. While the transaction provides a Breach
Reserve Account to cover for any breaches of R&Ws, the size of the
account is small relative to TPMT 2017-2's aggregate collateral
pool ($945 million). An initial deposit of $1,850,000 will be
remitted to the Breach Reserve Account on the closing date, with an
initial Breach Reserve Account target amount of $3,350,538.
Transaction Parties
The transaction benefits from a strong servicing arrangement.
Select Portfolio Servicing, Inc. will service 100% of TPMT 2017-2's
collateral pool. Moody's assess SPS higher compared to its peers.
Furthermore, FirstKey Mortgage, LLC, the asset manager, will
oversee the servicer, which strengthens the overall servicing
framework in the transaction. Wells Fargo Bank NA and U.S. Bank
National Association are the Custodians of the transaction. The
Delaware Trustee for TPMT 2017-2 is Wilmington Trust, National
Association. TPMT 2017-2's Indenture Trustee is U.S. Bank National
Association.
Factors that would lead to an upgrade or downgrade of the ratings:
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligors defaulting or
deterioration in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market. Other reasons
for worse-than-expected performance include poor servicing, error
on the part of transaction parties, inadequate transaction
governance and fraud.
UBS-BARCLAYS 2012-C3: Moody's Affirms B2 Rating on Cl. F Certs
--------------------------------------------------------------
Moody's Investors Service has upgraded two classes and affirmed
nine classes in UBS-Barclays Commercial Mortgage Trust 2012-C3:
Cl. A-2, Affirmed Aaa (sf); previously on Apr 29, 2016 Affirmed Aaa
(sf)
Cl. A-3, Affirmed Aaa (sf); previously on Apr 29, 2016 Affirmed Aaa
(sf)
Cl. A-4, Affirmed Aaa (sf); previously on Apr 29, 2016 Affirmed Aaa
(sf)
Cl. A-S, Affirmed Aaa (sf); previously on Apr 29, 2016 Affirmed Aaa
(sf)
Cl. B, Upgraded to Aa2 (sf); previously on Apr 29, 2016 Affirmed
Aa3 (sf)
Cl. C, Upgraded to A2 (sf); previously on Apr 29, 2016 Affirmed A3
(sf)
Cl. D, Affirmed Baa3 (sf); previously on Apr 29, 2016 Affirmed Baa3
(sf)
Cl. E, Affirmed Ba2 (sf); previously on Apr 29, 2016 Affirmed Ba2
(sf)
Cl. F, Affirmed B2 (sf); previously on Apr 29, 2016 Affirmed B2
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on Apr 29, 2016 Affirmed Aaa
(sf)
Cl. X-B, Affirmed Ba3 (sf); previously on Apr 29, 2016 Affirmed Ba3
(sf)
RATINGS RATIONALE
The ratings on Class B and C were upgraded due to a significant
increase in defeasance, to 13.1% of the current pool balance from
1.3% at the last review. Additionally, the deal has paid down 2%
since last review and 7% since securitization.
The ratings on seven P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on the two IO classes, Class X-A and X-B, were affirmed
based on the credit performance the referenced classes.
Moody's rating action reflects a base expected loss of 2.3% of the
current balance compared to 3.0% at Moody's prior review. Moody's
base expected loss plus realized losses is now 2.1% of the original
pooled balance compared to 2.8% at the prior 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 "Approach to
Rating US and Canadian Conduit/Fusion CMBS" published in December
2014.
Additionally, the methodology used in rating Cl. X-A and Cl. X-B
was "Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in October 2015.
Please note that on February 27, 2017, Moody's released a "Request
for Comment" in which it has requested market feedback on proposed
changes to its methodology for rating structured finance
interest-only (IO) securities called "Moody's Approach to Rating
Structured Finance Interest-Only Securities," dated October 20,
2015. If Moody's adopts the new methodology as proposed, the
changes could affect the ratings of UBS-Barclays Commercial
Mortgage Trust 2012-C3.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based CMBS Conduit Model, which it
uses for both conduit and fusion transactions. Credit enhancement
levels for conduit loans are driven by property type, Moody's
actual and stressed DSCR, and Moody's property quality grade (which
reflects the capitalization rate Moody's uses to estimate Moody's
value). Moody's fuses the conduit results with the results of its
analysis of investment grade structured credit assessed loans and
any conduit loan that represents 10% or greater of the current pool
balance.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 28, the same as at Moody's last review.
DEAL PERFORMANCE
As of the April 13, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 7% to $1.00 billion
from $1.08 billion at securitization. The Certificates are
collateralized by 84 mortgage loans ranging in size from less than
1% to 11% of the pool, with the top ten loans (excluding
defeasance) representing 39% of the pool. Four loans, representing
13% of the pool have defeased and are secured by US Government
securities.
Three loans, representing 2% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
No loans have been liquidated from the pool and there is currently
one loan, Summit Village Apartments Loan ($10.2 million -- 1.0% of
the pool), in special servicing. The loan is secured by a 228 unit
multifamily property located in Lawton, Oklahoma. The loan
transferred to special servicing in December 2016 due to imminent
default. The special servicer has indicated that the borrower would
like to discuss potential resolution options.
Moody's received full year 2015 operating results for 98% of the
pool and full or partial year 2016 operating results for 75% of the
pool. Moody's weighted average conduit LTV is 93% compared to 91%
at Moody's last review. Moody's conduit component excludes loans
with structured credit assessments, defeased and CTL loans and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 14% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.9%.
Moody's actual and stressed conduit DSCRs are 1.67X and 1.24X,
respectively, compared to 1.70X and 1.21X at the last review.
Moody's actual DSCR is based on Moody's net cash flow (NCF) and the
loan's actual debt service. Moody's stressed DSCR is based on
Moody's NCF and a 9.25% stressed rate applied to the loan balance.
The top three performing conduit loans represent 20% of the pool
balance. The largest loan is the 1000 Harbor Boulevard Loan ($113.0
million -- 11.3% of the pool), which is secured by a ten-story,
586, 400 square foot (SF) suburban office building located in
Weehawken, New Jersey. The loan represents a pari-passu interest in
a $120 million mortgage loan. As of December 2016, the property was
100% leased to UBS Financial Services, Inc. through 2028. The
property is part of Lincoln Harbor, a master planned community set
on 60 acres along the Hudson River, directly across from Midtown
Manhattan. The loan is structured with an Anticipated Repayment
Date ("ARD") in September 2022, after which the loan will
hyper-amortize and has a final maturity date in December 2028.
Moody's LTV reflects the loan amount hyper-amortized through the
post-ARD period less the loan amount that would normally amortize
on a 30-year amortization schedule during the first 10 years of the
loan term if amortization had been present. Moody's LTV is 104%.
The second largest loan Reisterstown Road Plaza Loan ($46.3 million
-- 4.6% of the pool), which is secured by a 660,408 SF mixed use
and anchored retail center located in Baltimore. Maryland. The
anchor tenants include Giant Foods, Burlington Coat Factory,
Shoppers World, Big Lots and Marshalls. The main office tenant is
the Department of Public Safety which leases 22% of the NRA through
December 2021. The property was 98% leased as of December 2016
compared to 99% leased as of December 2015. Moody's LTV and
stressed DSCR are 101% and 1.04X, respectively, the same as at last
review.
The third largest loan is the Plaza at Imperial Valley Loan ($41.8
million -- 4.2% of the pool), which is secured by a 367,980 SF
retail property located in El Centro, California. The property is
located 15 miles from the Mexico/California border. The property is
anchored by Burlington Coat Factory and includes Marshalls, Ross
Dress for Less, Best Buy, Bed, Bath & Beyond, Michaels, Staples,
DD's Discounts and DSW as junior anchors each representing 20,000
square feet or more. As of January 2017, the property was 99%
occupied. Moody's LTV and stressed DSCR are 94% and 1.10X,
respectively, compared to 93% and 1.08X at last review.
WACHOVIA BANK 2004-C11: S&P Raises Rating on Class K Certs to BB+
-----------------------------------------------------------------
S&P Global Ratings raised its ratings on two classes of commercial
mortgage pass-through certificates from Wachovia Bank Commercial
Mortgage Trust's series 2004-C11, a U.S. commercial mortgage-backed
securities (CMBS) transaction. S&P also discontinued its rating on
another class following the full repayment of its outstanding
principal balance.
S&P's rating actions follow its analysis of the transaction,
primarily using its criteria for rating U.S. and Canadian CMBS
transactions, which included a review of the credit characteristics
and performance of the remaining loan in the pool, the
transaction's structure, and the liquidity available to the trust.
S&P raised its ratings on classes J and K to reflect its
expectation of the available credit enhancement for these classes,
which S&P believes is greater than its most recent estimate of
necessary credit enhancement for the respective rating levels. The
upgrades also follow S&P's views regarding the current and future
performance of the sole remaining collateral loan (discussed below)
and available liquidity support. The upgrades also reflect the
trust balance's significant reduction. The rating on class K was
previously lowered to 'D (sf)' due to accumulated interest
shortfalls that S&P expected to remain outstanding for a prolonged
period of time. S&P is raising its rating on this class from 'D
(sf)' due to the full repayment of these accumulated interest
shortfalls and S&P's view that, at this time, a further default of
the class is not virtually certain.
While available credit enhancement levels may suggest further
positive rating movement on the bonds, S&P's analysis also
considered their interest shortfall and payment histories.
S&P discontinued its rating on class H following the full repayment
of the bond's outstanding principal balance as noted in the April
17, 2017, trustee remittance report.
TRANSACTION SUMMARY
As of the April 17, 2017, trustee remittance report, the collateral
pool balance was $15.5 million, which is 1.5% of the pool balance
at issuance. The pool currently includes just one loan, down from
52 loans at issuance. The University Mall loan ($15.5 million) is
the sole remaining loan in the trust. The loan is secured by
653,558-sq.-ft. of a regional mall in Tuscaloosa, Ala. The loan
has a March 11, 2019, anticipated repayment date. The master
servicer, Wells Fargo Bank N.A., reported a debt service coverage
ratio of 2.01x as of year-end 2016 and property occupancy of 90.5%
as of September 2016.
To date, the transaction has experienced $21.2 million in principal
losses, or 2.0% of the original pool trust balance.
RATINGS LIST
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2004-C11
Rating
Class Identifier To From
H 929766RD7 NR BBB+ (sf)
J 929766RE5 AA+ (sf) B+ (sf)
K 929766RF2 BB+ (sf) D (sf)
NR--Not rated.
WF-RBS COMMERCIAL 2011-C2: Moody's Affirms Ba3 Rating on X-B Certs
------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on nine classes
in WF-RBS Commercial Mortgage Trust 2011-C2, Commercial Mortgage
Pass-Through Certificates, Series 2011-C2:
Cl. A-3, Affirmed Aaa (sf); previously on May 19, 2016 Affirmed Aaa
(sf)
Cl. A-4, Affirmed Aaa (sf); previously on May 19, 2016 Affirmed Aaa
(sf)
Cl. B, Affirmed Aaa (sf); previously on May 19, 2016 Upgraded to
Aaa (sf)
Cl. C, Affirmed Aa2 (sf); previously on May 19, 2016 Upgraded to
Aa2 (sf)
Cl. D, Affirmed Baa1 (sf); previously on May 19, 2016 Upgraded to
Baa1 (sf)
Cl. E, Affirmed Ba1 (sf); previously on May 19, 2016 Upgraded to
Ba1 (sf)
Cl. F, Affirmed B2 (sf); previously on May 19, 2016 Affirmed B2
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on May 19, 2016 Affirmed Aaa
(sf)
Cl. X-B, Affirmed Ba3 (sf); previously on May 19, 2016 Affirmed Ba3
(sf)
RATINGS RATIONALE
The ratings on seven P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on the two IO classes were affirmed based on the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes.
Moody's rating action reflects a base expected loss of 1.3% of the
current balance, compared to 1.2% at Moody's last review. Moody's
base expected loss plus realized losses is now 0.8% of the original
pooled balance, compared to 0.7% 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 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.
Additionally, the methodology used in rating Cl. X-A and Cl. X-B
was "Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in October 2015.
Please note that on February 27, 2017, Moody's released a "Request
for Comment" in which it has requested market feedback on proposed
changes to its methodology for rating structured finance
interest-only (IO) securities called "Moody's Approach to Rating
Structured Finance Interest-Only Securities," dated October 20,
2015. If Moody's adopts the new methodology as proposed, the
changes could affect the ratings of WF-RBS 2011-C2.
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 17, the same as at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model and then reconciles and weights the results from the
conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, 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 April 17, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 37% to $820.9
million from $1.299 billion at securitization. The certificates are
collateralized by 39 mortgage loans ranging in size from less than
1% to 10.1% of the pool, with the top ten loans (excluding
defeasance) constituting 55% of the pool. Three loans, constituting
18% of the pool, have investment-grade structured credit
assessments. Eight loans, constituting 21% of the pool, have
defeased and are secured by US government securities.
Three loans, constituting 6.4% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
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). Moody's
weighted average conduit LTV is 83%, compared to 75% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 14% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.4%.
Moody's actual and stressed conduit DSCRs are 1.54X and 1.27X,
respectively, compared to 1.69X and 1.38X 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 Borgata
Ground Leases Loan ($56 million -- 6.9% of the pool), which is
secured by five parcels of land underlying portions of the Borgata
Hotel Casino & Spa Complex in Atlantic City, New Jersey. The
property is leased pursuant to four separate ground leases, all of
which expire in December 2070. Moody's value was stressed due to
ongoing concerns about casino revenue in Atlantic City. Moody's
structured credit assessment and stressed DSCR are baa1 (sca.pd)
and 1.21X, respectively, compared to baa1 (sca.pd) and 1.19X at the
last review.
The second loan with a structured credit assessment is the
Westfield Westland Mall Loan ($51 million -- 6.2% of the pool),
which is secured by 225,000 square feet (SF) of net rentable area
(NRA) contained within a 829,000 SF super regional mall located in
Hialeah, Florida. The mall is anchored by Macy's, Sears and JC
Penney, all of which are owned by the respective tenants and not
included in the collateral. As of year-end 2016, the total property
was 99% leased, compared to 96% at year-end 2015. Moody's
structured credit assessment and stressed DSCR are aa2 (sca.pd) and
1.81X, respectively, compared to aa2 (sca.pd) and 1.78X at the last
review.
The third loan with a structured credit assessment is the Port
Charlotte Town Center Loan ($36 million -- 4.4% of the pool), which
is secured by 490,000 SF of NRA contained within a 774,000 SF super
regional mall in Port Charlotte, Florida. The mall is anchored by
Sears, JC Penney and a 16-screen Regal Cinemas, which are all part
of the collateral, along with Dillard's, Macy's and Bealls. The
property is located along Tamiami Trail (US 141). As of year-end
2016, the property was 90% leased, compared to 92% at the prior
review. Moody's structured credit assessment and stressed DSCR are
baa2 (sca.pd) and 1.47X, respectively, compared to a3 (sca.pd) and
1.59X at the last review.
The top three conduit loans represent 22% of the pool balance. The
largest loan is The Arboretum Loan ($83 million -- 10.1% of the
pool), which is secured by a Wal-Mart anchored retail center
totaling 563,000 SF located in Charlotte, North Carolina. The
property consists of 12 one-story buildings, five pad sites and a
16-screen movie theater. As of year-end 2016, the property was 100%
leased, the same as at last review. Moody's LTV and stressed DSCR
are 88% and 1.10X, respectively, compared to 90% and 1.08X at the
last review.
The second largest loan is the Bellevue Galleria Loan ($50 million
-- 6.1% of the pool), which is secured by a 204,000 SF mixed-use
property located in Bellevue, Washington. Property uses include
retail (59%) and office (41%). As of year-end 2016, the property
was 83% leased, compared to 92% at yearend 2015. Moody's LTV and
stressed DSCR are 96% and 1.02X, respectively, compared to 78% and
1.26X at the last review.
The third largest loan is the Pan American Life Loan ($45 million
-- 5.5% of the pool), which is secured by a 28-story Class A office
building in the central business district (CBD) of New Orleans,
Louisiana. As of year-end 2016, the property was 90% leased, up
from 86% the year prior. Moody's LTV and stressed DSCR are 87% and
1.18X, respectively, compared to 74% and 1.39X at the last review.
[*] Fitch Cuts 5 Bonds Ratings in 5 CMBS transactions to 'D'
------------------------------------------------------------
Fitch Ratings has taken various rating actions on already
distressed U.S. commercial mortgage-backed securities (CMBS) bonds.
Fitch downgraded five bonds in five transactions to 'D', as the
bonds have incurred a principal write-down. The bonds were all
previously rated 'C', which indicates that losses were inevitable.
Of these five bonds downgraded to 'D', the ratings on two of the
classes (in two separate transactions) were simultaneously
withdrawn, as the only remaining ratings in the transaction are now
'D' after actions; as a result, the ratings are considered
immaterial.
Fitch has also withdrawn the ratings on 24 additional classes
within four transactions (two of which are in connection with the
simultaneous downgrade and withdrawals referenced above) 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.
KEY RATING DRIVERS
The downgrades are limited to just the bonds with write-downs. Any
remaining bonds in these transactions have not been analyzed as
part of this review.
RATING SENSITIVITIES
While the bonds that have defaulted are not expected to recover any
material amount of lost principal in the future, there is a limited
possibility this may happen. In this unlikely scenario, Fitch would
further review the affected classes.
[*] Fitch: US Bank TruPS CDOs Combined Rate Declined
----------------------------------------------------
The number of combined defaults and deferrals for U.S. bank TruPS
CDOs declined to 13.5% at the end of the first quarter of 2017
(1Q17) from 14.1% at the end of 4Q16, according to the latest index
results published today by Fitch Ratings.
Approximately 0.3% of this drop is attributed to the removal of
defaulted collateral of two TruPS CDOs that no longer have
outstanding ratings from Fitch, with the remainder of the
difference due to sales and cures detailed below.
Cures: In the 1Q17, six banks representing $38 million across nine
CDOs cured. Allied Bancorp, Inc. representing $4 million of
notional in two CDOs re-deferred, while another issuer with $5
million of notional redeemed its TruPS subsequent to the cure.
Deferrals: No new deferrals and one new re-deferral mentioned
above.
Defaults: In January, Seaway Bank and Trust Company with $6 million
of notional, was closed by the FDIC and was marked as defaulted in
Fitch's bank TruPS universe. The bank has been deferring interest
since June 2014. There were no other defaults in 1Q17.
Redemptions and Sales: Nine performing issuers representing 85.5
million across 14 CDOs redeemed their TruPS. In addition, one CDO
reported recovery of 56.5% on $5 million notional of its TruPS
issued by The Bank of Commerce, FL. The issuer had been deferring
since March 2010, but in March of this year was acquired by another
bank in Florida under a 363 sale, as reported in the news. Most of
the proceeds from the sale went to pay TruPS investors. Two
additional CDOs, with a combined $10 million notional exposure to
The Bank of Commerce, are yet to receive any recovery. In addition,
seven defaulted issuers with a combined notional of $84 million
across 10 CDOs were sold with a weighted average recovery of 4.0%.
At the end of 1Q16, 1207 bank issuers with total notional of $22.6
billion remain outstanding across 71 Fitch-rated bank and mixed
bank & insurance TruPS CDOs, including 217 defaulted bank issuers
with approximately $4.5 billion of collateral, and 70 deferring
issuers with $578 million of collateral. This compares to 98
issuers deferring on $1.2 billion of notional at the end of 1Q16.
[*] Moody's Cuts $290.3MM of Option ARM and Alt-A RMBS Deals
------------------------------------------------------------
Moody's Investors Service has downgraded the rating of 20 tranches
from two transactions, backed by Option ARM and Alt-A mortgage
loans, issued by American Home and Lehman.
Complete rating actions are:
Issuer: American Home Mortgage Investment Trust 2006-2
Cl. I-A-2, Downgraded to C (sf); previously on Dec 22, 2010
Downgraded to Ca (sf)
Cl. I-A-3, Downgraded to C (sf); previously on Dec 22, 2010
Downgraded to Ca (sf)
Cl. II-A-2, Downgraded to C (sf); previously on Dec 22, 2010
Downgraded to Ca (sf)
Cl. II-A-1B, Downgraded to C (sf); previously on Sep 11, 2013
Downgraded to Ca (sf)
Cl. II-A-1C, Downgraded to C (sf); previously on Sep 11, 2013
Downgraded to Ca (sf)
Cl. III-A-1, Downgraded to C (sf); previously on Sep 11, 2013
Downgraded to Ca (sf)
Cl. III-A-2, Downgraded to C (sf); previously on Sep 11, 2013
Downgraded to Ca (sf)
Cl. III-A-3, Downgraded to C (sf); previously on Sep 11, 2013
Downgraded to Ca (sf)
Cl. III-A-4, Downgraded to C (sf); previously on Sep 11, 2013
Downgraded to Ca (sf)
Cl. III-A-5, Downgraded to C (sf); previously on Sep 11, 2013
Downgraded to Ca (sf)
Issuer: Lehman Mortgage Trust 2007-2
Cl. 1-A1, Downgraded to Ca (sf); previously on Dec 22, 2010
Confirmed at Caa3 (sf)
Cl. 1-A2, Downgraded to Ca (sf); previously on Dec 22, 2010
Downgraded to Caa3 (sf)
Cl. 2-A1, Downgraded to C (sf); previously on Dec 22, 2010
Confirmed at Caa3 (sf)
Cl. 2-A2, Downgraded to C (sf); previously on Dec 22, 2010
Downgraded to Caa3 (sf)
Cl. 2-A4, Downgraded to C (sf); previously on Sep 10, 2013
Downgraded to Ca (sf)
Cl. 2-A6, Downgraded to C (sf); previously on Feb 22, 2012
Downgraded to Ca (sf)
Cl. 2-A7, Downgraded to C (sf); previously on Dec 22, 2010
Downgraded to Ca (sf)
Cl. 2-A10, Downgraded to C (sf); previously on Sep 10, 2013
Downgraded to Ca (sf)
Cl. 2-A12, Downgraded to C (sf); previously on Feb 22, 2012
Downgraded to Ca (sf)
Cl. 2-A13, Downgraded to C (sf); previously on Feb 22, 2012
Downgraded to Ca (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pools
and Moody's updated loss expectation on these pools. The rating
downgrades are due to the increasing levels of
under-collateralization on the related transaction structures and
the lack of credit enhancement available to the bonds.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017. Please see the
Rating Methodologies page on www.moodys.com for a copy of this
methodology.
Additionally, the methodology used in rating Lehman Mortgage Trust
2007-2 Cl. 2-A6, Cl. 2-A12, and Cl. 2-A13 was "Moody's Approach to
Rating Structured Finance Interest-Only Securities" published in
October 2015. Please see the Rating Methodologies page on
www.moodys.com for a copy of this methodology.
Please note that on February 27, 2017, Moody's released a Request
for Comment (RFC), in which it has requested market feedback on
potential revisions to its cross-sector rating methodology for
rating structured finance IO securities. Please refer to Moody's
RFC titled "Moody's Proposes Revised Approach to Rating Structured
Finance Interest-Only (IO) Securities " for further details
regarding the implications of the proposed methodology revisions on
certain Credit Ratings.
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 4.5% in March 2017 from 5.0% in March
2016. 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 $1.7BB of Subprime RMBS Issued 2005-2007
----------------------------------------------------------
Moody's Investors Service, on April 27, 2017, upgraded the ratings
of 56 tranches, from 19 transactions issued by various issuers.
Complete rating actions are:
Issuer: Aames Mortgage Investment Trust 2006-1
Cl. A-3, Upgraded to A1 (sf); previously on Jun 17, 2016 Upgraded
to Baa1 (sf)
Cl. A-4, Upgraded to A3 (sf); previously on Jun 17, 2016 Upgraded
to Baa3 (sf)
Cl. M-1, Upgraded to Caa3 (sf); previously on Jun 1, 2010
Downgraded to C (sf)
Issuer: Accredited Mortgage Loan Trust 2006-1
Cl. M-1, Upgraded to Caa3 (sf); previously on Jun 1, 2010
Downgraded to C (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R3
Cl. M-6, Upgraded to B1 (sf); previously on Jun 29, 2016 Upgraded
to Caa1 (sf)
Cl. M-7, Upgraded to Caa3 (sf); previously on Feb 26, 2013 Affirmed
C (sf)
Issuer: Argent Securities Inc., Series 2005-W5
Cl. A-1, Upgraded to Baa1 (sf); previously on Jun 29, 2016 Upgraded
to Baa3 (sf)
Cl. A-2C, Upgraded to B1 (sf); previously on Jan 24, 2014
Downgraded to Caa3 (sf)
Cl. A-2D, Upgraded to B1 (sf); previously on Jan 24, 2014
Downgraded to Caa3 (sf)
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2005-HE1
Cl. M2, Upgraded to B1 (sf); previously on Sep 2, 2014 Upgraded to
B2 (sf)
Cl. M3, Upgraded to B1 (sf); previously on Jun 17, 2016 Upgraded to
Caa1 (sf)
Cl. M4, Upgraded to Caa2 (sf); previously on Jul 12, 2010
Downgraded to C (sf)
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2006-HE3
Cl. A1, Upgraded to Aa3 (sf); previously on Jun 17, 2016 Upgraded
to Baa1 (sf)
Cl. A2, Upgraded to A1 (sf); previously on Jun 17, 2016 Upgraded to
Baa2 (sf)
Cl. A4, Upgraded to A3 (sf); previously on Jun 17, 2016 Upgraded to
Ba1 (sf)
Cl. A5, Upgraded to Baa1 (sf); previously on Jun 17, 2016 Upgraded
to Ba2 (sf)
Cl. M1, Upgraded to Ca (sf); previously on Jul 12, 2010 Downgraded
to C (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE1
Cl. I-M-3, Upgraded to B2 (sf); previously on Sep 1, 2015 Upgraded
to Caa3 (sf)
Cl. II-M-3, Upgraded to Caa2 (sf); previously on Sep 1, 2015
Upgraded to Caa3 (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE3
Cl. A-3, Upgraded to Aa3 (sf); previously on Jul 31, 2015 Upgraded
to Baa1 (sf)
Cl. M-1, Upgraded to B2 (sf); previously on Jan 30, 2014 Upgraded
to Caa3 (sf)
Issuer: Fremont Home Loan Trust 2005-C
Cl. M1, Upgraded to Aaa (sf); previously on Jun 17, 2016 Upgraded
to A1 (sf)
Cl. M2, Upgraded to Baa1 (sf); previously on Jun 17, 2016 Upgraded
to Ba1 (sf)
Cl. M3, Upgraded to B1 (sf); previously on Jul 2, 2015 Upgraded to
Caa1 (sf)
Issuer: GSAMP Trust 2005-AHL2
Cl. A-1A, Upgraded to Aa1 (sf); previously on Jun 29, 2016 Upgraded
to Aa3 (sf)
Cl. A-1B, Upgraded to Ba1 (sf); previously on Aug 31, 2015 Upgraded
to B2 (sf)
Cl. A-2C, Upgraded to Baa3 (sf); previously on Jun 29, 2016
Upgraded to Ba3 (sf)
Cl. A-2D, Upgraded to Ba1 (sf); previously on Aug 31, 2015 Upgraded
to B2 (sf)
Issuer: HSI Asset Securitization Corporation Trust 2005-NC1
Cl. M-3, Upgraded to B1 (sf); previously on Jul 31, 2015 Upgraded
to Caa2 (sf)
Issuer: HSI Asset Securitization Corporation Trust 2005-NC2
Cl. M-2, Upgraded to B1 (sf); previously on Sep 24, 2014 Upgraded
to Caa3 (sf)
Issuer: HSI Asset Securitization Corporation Trust 2007-WF1
Cl. I-A, Upgraded to Ba2 (sf); previously on Jun 23, 2016 Upgraded
to B1 (sf)
Cl. II-A-3, Upgraded to Baa3 (sf); previously on Jun 23, 2016
Upgraded to Ba1 (sf)
Cl. II-A-4, Upgraded to Ba1 (sf); previously on Jun 23, 2016
Upgraded to Ba2 (sf)
Cl. M-1, Upgraded to Caa3 (sf); previously on Mar 13, 2009
Downgraded to C (sf)
Issuer: Merrill Lynch First Franklin Mortgage Loan Trust, Series
2007-H1
Cl. 1-A1, Upgraded to Baa1 (sf); previously on Jun 23, 2016
Upgraded to Ba1 (sf)
Cl. 2-A1, Upgraded to B2 (sf); previously on Apr 6, 2010 Confirmed
at Caa2 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust 2005-AR1
Cl. M-1, Upgraded to A1 (sf); previously on Jun 17, 2016 Upgraded
to Baa2 (sf)
Cl. M-2, Upgraded to Ca (sf); previously on Jul 19, 2010 Downgraded
to C (sf)
Issuer: Merrill Lynch Mortgage Investors Trust 2006-FF1
Cl. B-1, Upgraded to Ba1 (sf); previously on Jun 29, 2016 Upgraded
to Ba3 (sf)
Cl. B-2, Upgraded to Ba2 (sf); previously on Jun 29, 2016 Upgraded
to B2 (sf)
Cl. B-3, Upgraded to B1 (sf); previously on Jun 29, 2016 Upgraded
to Ca (sf)
Cl. M-1, Upgraded to Aaa (sf); previously on Jun 29, 2016 Upgraded
to Aa2 (sf)
Cl. M-2, Upgraded to Aa1 (sf); previously on Jun 29, 2016 Upgraded
to Aa3 (sf)
Cl. M-3, Upgraded to Aa3 (sf); previously on Jun 29, 2016 Upgraded
to A1 (sf)
Cl. M-4, Upgraded to A1 (sf); previously on Jun 29, 2016 Upgraded
to A3 (sf)
Cl. M-5, Upgraded to A3 (sf); previously on Jun 29, 2016 Upgraded
to Baa2 (sf)
Cl. M-6, Upgraded to Baa2 (sf); previously on Jun 29, 2016 Upgraded
to Ba1 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust Series 2006-HE1
Cl. A-2D, Upgraded to Aaa (sf); previously on Jun 17, 2016 Upgraded
to A2 (sf)
Cl. M-1, Upgraded to Baa1 (sf); previously on Jun 17, 2016 Upgraded
to Ba1 (sf)
Cl. M-2, Upgraded to Ca (sf); previously on Jul 19, 2010 Downgraded
to C (sf)
Issuer: Nationstar Home Equity Loan Trust 2006-B
Cl. AV-4, Upgraded to A1 (sf); previously on Jun 17, 2016 Upgraded
to Baa1 (sf)
Cl. M-1, Upgraded to Ba1 (sf); previously on Jun 17, 2016 Upgraded
to B2 (sf)
Cl. M-2, Upgraded to Caa2 (sf); previously on Jun 17, 2016 Upgraded
to Ca (sf)
Issuer: Nationstar Home Equity Loan Trust 2007-A
Cl. AV-3, Upgraded to A2 (sf); previously on Jun 17, 2016 Upgraded
to Baa2 (sf)
Cl. AV-4, Upgraded to Baa2 (sf); previously on Jun 17, 2016
Upgraded to Ba3 (sf)
Cl. M-1, Upgraded to B1 (sf); previously on Jun 17, 2016 Upgraded
to Caa2 (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 January 2017.
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 4.5% in March 2017 from 5.0% in March
2016. 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 $26.7MM of Subprime RMBS Issued 2002-2004
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 10 tranches
from six transactions issued by various issuers, backed by subprime
mortgage loans.
Complete rating actions are:
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2003-HE5
Cl. M2, Upgraded to Ca (sf); previously on Apr 12, 2012 Downgraded
to C (sf)
Issuer: Credit Suisse First Boston Mortgage Securities Corp. Series
2002-2
Cl. M-1, Upgraded to Baa3 (sf); previously on Aug 28, 2015 Upgraded
to Ba1 (sf)
Cl. M-2, Upgraded to Caa3 (sf); previously on Apr 9, 2012
Downgraded to C (sf)
Issuer: Credit Suisse First Boston Mortgage Securities Corp. Series
2004-FRE1
Cl. B-2, Upgraded to Baa2 (sf); previously on Apr 9, 2012 Upgraded
to Ba1 (sf)
Cl. B-3, Upgraded to B2 (sf); previously on Mar 15, 2011 Downgraded
to Caa2 (sf)
Issuer: Fremont Home Loan Trust 2003-B
Cl. M-2, Upgraded to B1 (sf); previously on Apr 18, 2012 Downgraded
to Caa3 (sf)
Cl. M-6, Upgraded to B3 (sf); previously on Apr 18, 2012 Downgraded
to C (sf)
Issuer: Fremont Home Loan Trust 2004-C
Cl. M-2, Upgraded to B1 (sf); previously on Feb 10, 2016 Upgraded
to B3 (sf)
Cl. M-3, Upgraded to Caa2 (sf); previously on Feb 10, 2016 Upgraded
to Ca (sf)
Issuer: Fremont Home Loan Trust 2004-D
Cl. M2, Upgraded to B1 (sf); previously on Feb 20, 2015 Upgraded to
B3 (sf)
RATINGS RATIONALE
The rating 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
expectation on these pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017. Please see the
Rating Methodologies page on www.moodys.com for a copy of this
methodology.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.5% in March 2017 from 5.0% in March
2016. 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 $45.9MM of Subprime RMBS Issued 2000-2004
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of nine tranches
from seven transactions issued by various issuers, and backed by
subprime mortgage loans.
Complete rating actions are:
Issuer: Credit Suisse First Boston Mortgage Securities Corp. Series
2002-HE11
Cl. M-1, Upgraded to Ba1 (sf); previously on Mar 15, 2011
Downgraded to Ba3 (sf)
Issuer: Credit Suisse First Boston Mortgage Securities Corp. Series
2003-2
Cl. M-1, Upgraded to Ba3 (sf); previously on Mar 15, 2011
Downgraded to B1 (sf)
Issuer: Equity One Mortgage Pass-Through Trust 2004-3
Cl. M-2, Upgraded to B2 (sf); previously on May 3, 2012 Downgraded
to Caa1 (sf)
Issuer: First Franklin Mortgage Loan Trust 2003-FF5
Cl. M-2, Upgraded to B1 (sf); previously on May 31, 2016 Upgraded
to Caa1 (sf)
Cl. M-3, Upgraded to Ca (sf); previously on Mar 15, 2011 Downgraded
to C (sf)
Issuer: Long Beach Mortgage Loan Trust 2000-1
Cl. M-1, Upgraded to B3 (sf); previously on Oct 9, 2013 Upgraded to
Caa1 (sf)
Issuer: Option One Mortgage Loan Trust 2003-3
Cl. A-2, Upgraded to Baa2 (sf); previously on Apr 23, 2012
Downgraded to Baa3 (sf)
Cl. A-4, Upgraded to Baa2 (sf); previously on Apr 23, 2012
Downgraded to Baa3 (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2004-DO1
Cl. M-1, Upgraded to B2 (sf); previously on Mar 4, 2011 Downgraded
to B3 (sf)
RATINGS RATIONALE
The rating 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
expectation on these pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
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 4.5% in March 2017 from 5.0% in March
2016. 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 Takes Action on $135MM of RMBS Issued 2003-2004
-----------------------------------------------------------
Moody's Investors Service has upgraded the rating of fifteen
tranches from four transactions backed by Prime Jumbo RMBS loans,
issued by miscellaneous issuers.
The complete rating actions are:
Issuer: CHL Mortgage Pass-Through Trust 2003-49
Cl. M, Upgraded to Ba1 (sf); previously on Jul 25, 2013 Downgraded
to Ba2 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust MLMI Series 2004-A2
Cl. I-A-1, Upgraded to Baa3 (sf); previously on Apr 13, 2012
Downgraded to Ba3 (sf)
Cl. II-A-1, Upgraded to Baa3 (sf); previously on Apr 13, 2012
Downgraded to Ba1 (sf)
Cl. II-A-2, Upgraded to Baa1 (sf); previously on Aug 11, 2015
Confirmed at Baa2 (sf)
Cl. II-A-3, Upgraded to Ba1 (sf); previously on Jun 17, 2015
Upgraded to Ba2 (sf)
Issuer: Sequoia Mortgage Trust 2004-4
Cl. A, Upgraded to Baa3 (sf); previously on Aug 10, 2015 Upgraded
to Ba1 (sf)
Cl. B-1, Upgraded to Caa1 (sf); previously on Apr 30, 2012
Downgraded to Caa3 (sf)
Cl. X-2, Upgraded to Baa3 (sf); previously on Aug 10, 2015 Upgraded
to Ba1 (sf)
Cl. X-B, Upgraded to Caa3 (sf); previously on Apr 30, 2012
Downgraded to Ca (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2004-BB Trust
Cl. A-1, Upgraded to B1 (sf); previously on Apr 10, 2012 Downgraded
to B2 (sf)
Cl. A-2, Upgraded to B1 (sf); previously on Apr 10, 2012 Downgraded
to B2 (sf)
Cl. A-3, Upgraded to Caa2 (sf); previously on Apr 10, 2012
Downgraded to Ca (sf)
Cl. A-5, Upgraded to Baa3 (sf); previously on May 27, 2016 Upgraded
to Ba2 (sf)
Cl. A-6, Upgraded to B2 (sf); previously on May 27, 2016 Upgraded
to B3 (sf)
Cl. A-7, Upgraded to Caa2 (sf); previously on Apr 10, 2012
Downgraded to Ca (sf)
RATINGS RATIONALE
The ratings upgraded for Wells Fargo Mortgage Backed Securities
2004-BB Trust and Merrill Lynch Mortgage Investors Trust MLMI
Series 2004-A2 are primarily due to an increase in credit
enhancement available to the bonds. The ratings upgraded for CHL
Mortgage Pass-Through Trust 2003-49 and Sequoia Mortgage Trust
2004-4 are primarily due to the overall credit enhancement
available to the bonds compared to their expected loss. The actions
are a result of the recent performance of the underlying pools and
reflect Moody's updated loss expectations on the pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Additionally, the methodology used in rating Sequoia Mortgage Trust
2004-4 Cl. X-2 and Cl. X-B was Moody's Approach to Rating
Structured Finance Interest-Only Securities published in October
2015. Please note that on February 27, 2017, Moody's released a
Request for Comment (RFC), in which it has requested market
feedback on potential revisions to its cross-sector rating
methodology for rating structured finance IO securities. Please
refer to Moody's RFC titled "Moody's Proposes Revised Approach to
Rating Structured Finance Interest-Only (IO) Securities " for
further details regarding the implications of the proposed
methodology revisions on certain Credit Ratings.
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 4.5% in March 2017 from 5.0% in March
2016. 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 Takes Action on $670.4MM of Alt-A Loans Issued 2006
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of eight
tranches from two transactions backed by Alt-A mortgage loans,
issued by GSAA.
Complete rating actions are:
Issuer: GSAA Home Equity Trust 2006-11
Cl. 1A1, Downgraded to C (sf); previously on Dec 23, 2010
Downgraded to Ca (sf)
Cl. 2A1, Downgraded to C (sf); previously on Dec 23, 2010
Downgraded to Ca (sf)
Cl. 2A2, Downgraded to C (sf); previously on Dec 23, 2010
Downgraded to Ca (sf)
Cl. 2A3-A, Downgraded to C (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Issuer: GSAA Home Equity Trust 2006-8
Cl. 1A1, Downgraded to C (sf); previously on Dec 23, 2010
Downgraded to Ca (sf)
Cl. 2A1, Downgraded to C (sf); previously on Dec 23, 2010
Downgraded to Ca (sf)
Cl. 2A2, Downgraded to C (sf); previously on Dec 23, 2010
Downgraded to Ca (sf)
Cl. 2A3A, Downgraded to C (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
RATINGS RATIONALE
The rating actions primarily reflect the recent performance of the
underlying pools and Moody's updated loss expectations on those
pools. The rating downgrades are primarily based on the level of
undercollaterallization in the structures resulting in higher
expected losses on these tranches.
The rating actions also reflect the correction of an error in the
cash-flow models used by Moody's in rating these transactions.
In the prior modeling for GSAA Home Equity Trust 2006-8 and
2006-11, the interest distribution was incorrectly based on the
interest remittance amount instead of available funds. This error
has now been corrected, and rating actions on these bonds reflect
the appropriate interest funds and payments.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
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 4.5% in March 2017 from 5.0% in March
2016. 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.
[*] S&P Completes Review of 88 Classes From 25 RMBS Deals
---------------------------------------------------------
S&P Global Ratings completed its review of 88 classes from 25 U.S.
residential mortgage-backed securities (RMBS) transactions. The
review yielded 68 upgrades, 19 affirmations, and one
discontinuance. S&P removed 46 of the raised ratings from
CreditWatch positive.
All of the transactions in this review were issued between 2005 and
2007 and had at least one class whose rating was placed on
CreditWatch positive to reflect a potential increase in credit
support due to payments made as part of Citigroup Inc.'s $1.1
billion settlement with certain Citigroup RMBS investors. The
transactions are backed by a mix of fixed- and adjustable-rate
prime jumbo, Alternative-A, subprime, reperforming, and negative
amortization mortgage loans secured primarily by first liens on
one- to four-family residential properties. S&P believes the
current ratings are consistent with the credit support available to
these classes.
Subordination, overcollateralization (where available), and excess
interest, as applicable provide credit enhancement for the
transactions in this review.
CITIGROUP SETTLEMENT
In December 2014, a settlement was reached in litigation regarding
the alleged breach of certain representations and warranties in the
governing agreements of 68 Citigroup legacy RMBS trusts. The
settlement called for Citigroup to pay out $1.1 billion to
applicable investors. Citigroup generally made the required
payments between the October 2016 and December 2016 trust
remittance periods. In accordance with a New York State court's
ruling, the trustees allocated the payments as either subsequent
recoveries or unscheduled principal payments.
On Feb. 15, 2017, S&P placed its ratings on 46 classes from 25
transactions on CreditWatch positive. S&P is resolving those
CreditWatch placements in this review. Of the 46 ratings, 37 were
raised more than three notches, eight were raised three or fewer
notches, and one was discontinued.
ANALYSIS
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by S&P's projected cash flows. These
considerations are based on transaction-specific performance or
structural characteristics (or both) and their potential effects on
certain classes.
UPGRADES
As previously mentioned, the settlement-related proceeds were
applied as subsequent recoveries or unscheduled principal payments.
These payment allocations increased the credit support for the
affected classes sufficiently to cover S&P's projected losses for
these rating levels.
All of the upgrades were due to an increase in credit support and
the classes' abilities to withstand a higher level of projected
losses than previously anticipated. Ratings on 19 classes were
raised from 'CCC (sf)' because S&P believes these classes are no
longer vulnerable to default, and ratings on three classes were
raised from 'CC (sf)' because S&P believes these classes are no
longer virtually certain to default.
In addition, S&P raised its ratings on classes M-2, M-3, and M-4
from Citigroup Mortgage Loan Trust 2006-HE1 to reflect adjustments
made to interest shortfalls by the trustee, in addition to the
receipt of the Citigroup settlement proceeds. S&P had previously
lowered our rating on class M-4 on Dec. 14, 2016, based on the
trustee-reported interest shortfalls in the November 2016
remittance statement. Following S&P's December rating action, the
trustee reported reimbursements to these interest shortfalls in its
December 2016 remittance report. In S&P's view, these
reimbursements, in conjunction with the settlement payments,
support raising the ratings on classes M-2, M-3, and M-4.
AFFIRMATIONS
For certain transactions, S&P considered specific performance
characteristics that, in its view, could add volatility to its loss
assumptions and, in turn, to the ratings suggested by S&P's cash
flow projections. When S&P's applicable 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;
and/or
-- Historical interest shortfalls.
In addition, some of the transactions have failed their delinquency
triggers, resulting in reduced -- or a complete stop of --
unscheduled principal payments to their subordinate classes.
However, these transactions allow for unscheduled principal
payments to resume to the subordinate classes if the delinquency
triggers begin passing again. This would result in eroding the
credit support available for the more senior classes. Therefore,
S&P affirmed its ratings on certain classes in these transactions
even though these classes may have passed at higher rating
scenarios.
The ratings affirmed at 'CCC (sf)' or 'CC (sf)' reflect S&P's
belief that its projected credit support will remain insufficient
to cover its 'B' expected case projected losses for these classes.
Pursuant to "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC'
Ratings," published Oct. 1, 2012, the 'CCC (sf)' affirmations
reflect S&P's view that these classes are still vulnerable to
defaulting, and the 'CC (sf)' affirmations reflect S&P's view that
these classes remain virtually certain to default.
DISCONTINUANCE
S&P discontinued its rating on class A3 from Citigroup Mortgage
Loan Trust 2007-WFHE2 because it was paid in full during the recent
April 25, 2017, remittance period.
A list of the Affected Ratings is available at:
http://bit.ly/2qwweph
[*] S&P Lowers Ratings on 91 Classes From 75 US RMBS Deals to D
---------------------------------------------------------------
S&P Global Ratings lowered its ratings on 91 classes of mortgage
pass-through certificates from 75 U.S. residential mortgage-backed
securities (RMBS) transactions issued between 2003 and 2007 to 'D
(sf)'.
The transactions in this review are backed by a mix of fixed- and
adjustable-rate mixed collateral mortgage loans, which are secured
primarily by first liens on one- to four-family residential
properties. The downgrades reflect S&P's assessment of the
principal write-downs' impact on the affected classes during recent
remittance periods.
All of the classes were rated either 'CCC (sf)' or 'CC (sf)' before
the rating actions.
Class PO from Alternative Loan Trust 2005-6CB and class A-P from
RFMSI Series 2006-S6 Trust are principal-only (PO) strip classes.
PO strip classes receive principal primarily from discount loans
within the related transaction. When a discount loan takes a loss,
the PO strip class is allocated a loan-specific percentage of that
loss. However, because these PO classes are senior classes in the
waterfall, they are reimbursed from cash flows that would otherwise
be paid to the most junior classes. However, S&P do not expect any
future reimbursements from these transactions' cash flow because
the balances of the subordinate classes in each deal have been
reduced to zero. Therefore, the two PO classes within this review
have incurred a loss on their principal obligation without the
likelihood of future reimbursement, and S&P has lowered its ratings
on them to 'D (sf)'.
The 91 defaulted classes consist of these:
-- 34 from prime jumbo transactions (37.36 %);
-- 31 from Alternative-A transactions (34.07%);
-- 14 from subprime transactions (15.38%);
-- Six from negative amortization transactions (6.59%);
-- Two from Federal Housing Administration/Veteran Affairs
transactions (2.20%);
-- Two from a re-performing transaction (2.20%).
-- One from a first-lien high loan-to-value (LTV) transaction
(1.10%); and
-- One from an "Outside-the-Guidelines" transaction (1.10%).
All of the transactions in this review receive credit enhancement
from a combination of subordination, excess spread, and
overcollateralization (where applicable).
S&P will continue to monitor its ratings on securities that
experience principal write-downs, and S&P will take rating actions
as it considers appropriate according to its criteria.
A list of the Affected Ratings is available at:
http://bit.ly/2oNGS9T
*********
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.
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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.
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