/raid1/www/Hosts/bankrupt/TCR_Public/170514.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 14, 2017, Vol. 21, No. 133
Headlines
ALESCO PREFERRED XVI: Moody's Hikes Class B Notes Rating to Ba3(sf)
ARES CLO XLIII: Moody's Assigns Ba3(sf) Rating to Class E Notes
BANC OF AMERICA 2005-4: Fitch Hikes Class E Certs Rating to CCCsf
BANC OF AMERICA: Fitch Cuts $15.9MM Class B Certs Rating to CC
BAYVIEW KOITERE 2017-SPL3: Fitch Rates 3 Tranches 'BBsf'
BAYVIEW OPPORTUNITY 2018-RT1: Fitch Rates Class B5 Notes 'Bsf'
BEAR STEARNS 2006-PWR11: Fitch Cuts Ratings on 2 Tranches to Csf
BEAR STEARNS 2007-PWR16: Fitch Cuts Class E Certs Rating to C
BEAR STEARNS 2007-PWR16: Fitch Cuts Class E Certs Rating to C
BRIDGEPORT CLO II: Moody's Hikes Class D Notes Rating to Ba2(sf)
CAPITAL AUTO 2015-4: Moody's Affirms Ba1(sf) Rating on Cl. E Notes
CENTERLINE 2007-1: Moody's Affirms Csf Rating on Cl. A-1 Certs
CFCRE COMMERCIAL 2017-C8: Fitch to Rate Class F Notes 'B-sf'
CGWF COMMERCIAL 2013-RKWH: S&P Raises Rating on Cl. E Certs to BB+
CHASE COMMERCIAL 1998-1: Moody's Affirms Caa1 Ratings on 2 Classes
CIFC FUNDING 2017-II: Moody's Assigns Ba3(sf) Rating to Cl. E Debt
CITIGROUP 2004-C2: Moody's Affirms C(sf) Rating on 2 Tranches
COLT 2017-1: Fitch Assigns 'Bsf' Rating to Class B-2 Certs
COMM 2005-LP5: S&P Lowers Rating on 2 Tranches to CCC-(sf)
COMM 2010-C1: Fitch Affirms 'B-sf' Rating on Class G Certificates
COMM 2012-CCRE2: Moody's Affirms B2 Rating on Class G Debt
COMM 2014-CCRE17: Fitch Affirms BB-sf Rating on 2 Tranches
COMMERCIAL MORTGAGE 2007-GG11: S&P Hikes Cl. B Debt Rating to B+
CONNECTICUT AVENUE 2017-C03: Moody's Rates Class 1M-2 Notes 'B2'
CREDIT SUISSE 1999-C1: Fitch Affirms D Rating on Class H Certs
CRESTLINE DENALI XV: Moody's Rates Class E-2 Notes 'Ba3'
CSMC TRUST 2017-LSTK: Moody's Gives (P)B1 Rating to Cl. HRR Certs
FLATIRON CLO 17: Moody's Rates Class E Notes 'Ba3(sf)'
FLATIRON CLO 2007-1: Moody's Affirms Ba3(sf) Rating on Cl. E Notes
FREDDIE MAC SCRT 2017-1: Moody's Rates Cl. M-1 Debt Ba3
FREMF 2011-K704: Moody's Affirms Ba3 Rating on Class X2 Certs
GE COMMERCIAL 2005-C3: Fitch Affirms 'Csf' Rating on Class J Certs
GRACE MORTGAGE 2014-GRCE: Fitch Affirms Bsf Rating on Cl. G Certs
GS MORTGAGE 2016-GS2: Fitch Affirms B-sf Rating on Class F Certs
GUGGENHEIM PRIVATE: Fitch Hikes Ratings on 5 Tranches to 'BBsf'
HALCYON LTD 2005-2: Moody's Affirms C Rating on Class C Debt
HERTZ VEHICLE II: 2017-A Debt Issue No Impact on Moody's Ratings
HOSPITALITY 2017-HIT: S&P Assigns Prelim. B- Rating on Cl. F Certs
JP MORGAN 2000-C9: Moody's Affirms C(sf) Rating on Class J Certs
JP MORGAN 2014-C21: Fitch Affirms 'Bsf' Rating on Class F Certs
JPMDB COMMERCIAL 2016-C2: Fitch Affirms B- Rating on Cl. F Certs
LB-UBS COMMERCIAL 2005-C2: Moody's Affirms Ca Rating on Cl. E Certs
LB-UBS COMMERCIAL 2007-C6: Fitch Affirms CCC Rating on 3 Tranches
MORGAN STANLEY 2007-HQ12: Fitch Affirms CCC Ratings on 2 Tranches
MORGAN STANLEY 2007-IQ13: S&P Affirms B- Rating on Cl. A-J Certs
NCMS 2017-75B: S&P Assigns Prelim. BB- Rating on Class E Certs.
OLYMPIC TOWER 2017-OT: Fitch to Rate Class E Notes 'BB-sf'
PALMER SQUARE 2013-1: S&P Assigns Prelim. BB Rating on Cl. D-R Debt
PREFERRED TERM XXIV: Moody's Hikes Ratings on 2 Tranches to Ba1
REALT 2007-1: Moody's Lowers Rating on Class J Certs to B3
REALT 2007-2: Moody's Lowers Rating on Class G Notes to B2
RESIDENTIAL REINSURANCE 2017-I: S&P Rates Class 13 Notes 'BB-'
RESOURCE CAPITAL 2015-CRE4: Moody's Hikes Cl. C Debt Rating to B1
ROCKFORD TOWER 2017-1: Moody's Assigns Ba3 Rating to Cl. E Notes
SAYBROOK POINT: Moody's Hikes Rating on Cl. B Notes to B3(sf)
SDART 2016-2: Fitch Affirms 'BBsf' Rating on Class E Notes
STRATFORD CLO: Moody's Affirms Ba2 Rating on Class D Notes
THUNDERBOLT AIRCRAFT: S&P Assigns 'BB' Rating on Class C Notes
US CAPITAL I: Moody's Hikes Ratings on 2 Tranches to Ba2(sf)
WACHOVIA BANK 2005-C17: Moody's Affirms C Ratings on 2 Tranches
WELLS FARGO 2015-C30: Fitch Affirms 'B-sf' Rating on Class F Certs
WEST CLO 2013-1: S&P Raises Rating on Class D Notes to BB-
[*] Fitch Affirmed & Withdrew Distressed Ratings in 845 RMBS Deals
[*] Fitch Takes Various Rating Actions on 18 CRE CDOs
[*] Moody's Hikes $1.8BB of Subprime RMBS Issued 2005-2006
[*] Moody's Hikes $116.7MM of Subprime RMBS Issued in 2007
[*] Moody's Hikes $165MM of RFC Subprime RMBS Issued 2002-2004
[*] Moody's Hikes $420.5MM of Subprime RMBS Issued 2003-2006
[*] Moody's Hikes $5.7MM of Subprime RMBS Issued 1998-1999
[*] Moody's Hikes $72MM of Subprime RMBS Issued 2007
[*] Moody's: B3- and Lower Corp. Ratings List Down in April
[*] S&P Completes Review on 20 Classes From 5 US RMBS Deals
[*] S&P Completes Review on 33 Classes From 7 RMBS Issued 2002-2005
*********
ALESCO PREFERRED XVI: Moody's Hikes Class B Notes Rating to Ba3(sf)
-------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by ALESCO Preferred Funding(R) XVI, Ltd.:
US$349,000,000 Class A First Priority Senior Secured Floating Rate
Notes Due 2038 (current balance of $277,594,009.03), Upgraded to A3
(sf); previously on June 22, 2015 Affirmed Baa1 (sf);
US$20,000,000 Class B Deferrable Second Priority Secured
Fixed/Floating Rate Notes Due 2038, Upgraded to Ba1 (sf);
previously on June 22, 2015 Upgraded to Ba3 (sf);
ALESCO Preferred Funding(R) XVI, Ltd., issued in June 2007, is a
collateralized debt obligation (CDO) backed by a portfolio of bank
and insurance trust preferred securities (TruPS).
RATINGS RATIONALE
The rating actions are primarily a result of the improvement in the
credit quality of the underlying portfolio and the deleveraging of
the Class A notes since May 2016.
According to Moody's calculations, the weighted average rating
factor (WARF) improved to 612 from 851 in May 2016. Since that
time, one previously deferring bank with a total par of $15 million
has resumed making interest payments on its TruPS and one defaulted
asset has partially redeemed at par.
In addition, the Class A notes have been paid down by approximately
2.2% or $6.3 million since May 2016, using principal proceeds from
the redemption of underlying assets and proceeds from the diversion
of excess interest. The Class C deferred interest has been fully
paid down as of the March 2017 payment date, at which point the
Class A notes began benefiting from the diversion of excess
interest proceeds. The Class A notes will continue to receive
excess interest as long as the Class C overcollateralization (OC)
test continues to fail (reported at 93.66% versus a trigger of
102.07%). The Class A notes will also continue to benefit from the
use of proceeds from the redemptions of any assets in the
collateral pool.
Methodology Used for the Rating Action
The principal methodology used in this rating was "Moody's Approach
to Rating TruPS CDOs," published in October 2016.
Factors that Would Lead to an Upgrade or Downgrade of the Rating
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:
1) Macroeconomic uncertainty: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in the
general economy. Moody's has a stable outlook on the US banking
sector and the US P&C insurance sector, and a negative outlook on
the US life insurance sector.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's current
expectations could have a positive impact on the transaction's
performance. Conversely, asset credit performance weaker than
Moody's current expectations could have adverse consequences on the
transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and excess
interest proceeds will continue and at what pace. Note repayments
that are faster than Moody's current expectations could have a
positive impact on the notes' ratings, beginning with the notes
with the highest payment priority.
4) Resumption of interest payments by deferring assets: One bank
has resumed making interest payments on its TruPS. The timing and
amount of deferral cures could have significant positive impact on
the transaction's over-collateralization ratios and the ratings on
the notes.
5) Exposure to non-publicly rated assets: The deal contains a large
number of securities whose default probability Moody's assesses
through credit scores derived using RiskCalc™ or credit
estimates. Because these are not public ratings, they are subject
to additional uncertainties.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Assuming a two-notch upgrade to assets with below-investment grade
ratings or rating estimates (WARF of 404)
Class A: +2
Class B: +2
Assuming a two-notch downgrade to assets with below-investment
grade ratings or rating estimates (WARF of 892)
Class A: -1
Class B: -2
Loss and Cash Flow Analysis
Moody's applied a Monte Carlo simulation framework in Moody's
CDROM(TM) to model the loss distribution for TruPS CDOs. The
simulated defaults and recoveries for each of the Monte Carlo
scenarios defined the reference pool's loss distribution. Moody's
then used the loss distribution as an input in its CDOEdge(TM) cash
flow model. CDROM(TM) is available on www.moodys.com under Products
and Solutions -- Analytical models, upon receipt of a signed free
license agreement.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool as having a performing par of $357.3 million,
defaulted and deferring par of $20.0 million, a weighted average
default probability of 6.92% (implying a WARF of 612), and a
weighted average recovery rate upon default of 10.0%.
In addition to the quantitative factors Moody's explicitly models,
qualitative factors are part of rating committee considerations.
Moody's considers the structural protections in the transaction,
the risk of an event of default, recent deal performance under
current market conditions, the legal environment and specific
documentation features. All information available to rating
committees, including macroeconomic forecasts, inputs from other
Moody's analytical groups, market factors, and judgments regarding
the nature and severity of credit stress on the transactions, can
influence the final rating decision.
The portfolio of this CDO contains TruPS issued by small to medium
sized U.S. community banks and insurance companies that Moody's
does not rate publicly. To evaluate the credit quality of bank
TruPS that do not have public ratings, Moody's uses RiskCalc(TM),
an econometric model developed by Moody's Analytics, to derive
credit scores. Moody's evaluation of the credit risk of most of the
bank obligors in the pool relies on the latest FDIC financial data.
For insurance TruPS that do not have public ratings, Moody's relies
on the assessment of its Insurance team, based on the credit
analysis of the underlying insurance firms' annual statutory
financial reports.
ARES CLO XLIII: Moody's Assigns Ba3(sf) Rating to Class E Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Ares XLIII CLO Ltd.
Moody's rating action is:
US$520,000,000 Class A Senior Floating Rate Notes due 2029 (the
"Class A Notes"), Definitive Rating Assigned Aaa (sf)
US$88,000,000 Class B Senior Floating Rate Notes due 2029 (the
"Class B Notes"), Definitive Rating Assigned Aa2 (sf)
US$52,000,000 Class C Mezzanine Deferrable Floating Rate Notes due
2029 (the "Class C Notes"), Definitive Rating Assigned A2 (sf)
US$44,000,000 Class D Mezzanine Deferrable Floating Rate Notes due
2029 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf)
US$32,000,000 Class E Mezzanine Deferrable Floating Rate Notes due
2029 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes and the Class E Notes are referred to herein 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.
Ares XLIII 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 purchased with
principal proceeds, and up to 10% of the portfolio may consist of
non-senior secured loans. Moody's expects the portfolio to be
approximately 81% ramped as of the closing date.
Ares CLO 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 5 year reinvestment period.
Thereafter, the Manager may reinvest unscheduled principal payments
and proceeds from sales of credit risk assets, subject to certain
restrictions.
In addition to the Rated Notes, the Issuer 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: $800,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2936
Weighted Average Spread (WAS): 3.60%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 49.5%
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 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 2936 to 3376)
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 2936 to 3817)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -3
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
BANC OF AMERICA 2005-4: Fitch Hikes Class E Certs Rating to CCCsf
-----------------------------------------------------------------
Fitch Ratings has upgraded one class and affirmed nine classes of
Banc of America Commercial Mortgage, Inc. (BACM) commercial
mortgage pass-through certificates series 2005-4.
KEY RATING DRIVERS
Increased Credit Enhancement (CE): The upgrade to class E reflects
increased CE since Fitch's last rating action from the resolution
of two specially serviced loans at better recoveries than
previously modeled. Default of the class remains possible given
high loss expectation for the remainder of the pool relative to the
class's CE.
As of the April 2017 distribution date, the pool's aggregate
principal balance has been reduced by 98.5% to $24.4 million from
$1.59 billion at issuance. The pool has paid down by $11.1 million
since the last rating action (31.6% of the outstanding balance at
the last rating action). Interest shortfalls totaling $11.5 million
are currently affecting classes F through P.
Pool Concentration and Adverse Selection: The pool is highly
concentrated with only three loans/assets remaining, two of which
(62.9% of the pool) are real-estate owned (REO).
The only non-specially serviced loan comprises 37.1% of the current
pool and was originally secured by a portfolio of 10 single-tenant
retail properties located across six states. Seven properties
currently remain in the portfolio after two were released in April
2015 and one in late-2016. After spending nearly four years in
special servicing, the loan was modified in September 2014, which
resulted in a maturity extension to July 2021 and the application
of interest-only payments at a reduced rate, among other terms.
Since returning to the master servicer in December 2014, the loan
has remained on the servicer's watchlist, most recently for
deferred maintenance. The portfolio was 78.9% occupied as of the
December 2016 rent roll and the servicer-reported net operating
income debt service coverage ratio was 1.26x for the nine months
ended September 2016. One of the underlying properties is currently
vacant and being marketed for lease and/or sale.
REO Assets: The ultimate workout and timing of resolution for the
REO assets remain uncertain at this time. The largest asset (52.1%
of the pool) is a 121,502 square foot (sf) retail shopping center
located in East Norriton, PA. The loan was transferred to special
servicing in September 2015 due to maturity default and the asset
became REO in August 2016. The special servicer has no immediate
disposition plans as it is currently implementing a value-add
strategy through lease extensions and addressing deferred
maintenance at this time. The servicer-reported occupancy was 100%
as of March 2017, unchanged from year-end 2015 and 2016.
RATING SENSITIVITIES
Further upgrade to class E is not likely given the concentrated
nature of the pool and the high percentage of REO assets. Class E
may be subject to downgrade should losses on the REO assets or the
one performing loan exceed Fitch's expectations.
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 rating:
-- $3.7 million class E to 'CCCsf' from 'CCsf'; RE 100%.
Fitch has affirmed the following classes:
-- $19.8 million class F at 'Dsf'; RE 55%;
-- $0.8 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 through D certificates have paid in full. Fitch does
not rate the class P certificates. Fitch previously withdrew the
ratings on the interest-only class XP and XC certificates.
BANC OF AMERICA: Fitch Cuts $15.9MM Class B Certs Rating to CC
--------------------------------------------------------------
Fitch Ratings has downgraded two and affirmed 15 classes of Banc of
America Commercial Mortgage Trust, commercial mortgage pass-through
certificates, series 2007-2 (BACM 2007-2).
KEY RATING DRIVERS
High Loss Expectations: The affirmation of classes A-J and A-JFL
reflects the high loss expectation of the remaining pool relative
to these classes' current credit enhancement. The downgrade of
classes B and C reflects a greater certainty of loss to these
classes.
Fitch modeled losses of 27.8% of the remaining pool; expected
losses on the original pool balance total 12.3%, including $297.2
million (9.4% of the original pool balance) in realized losses to
date. Expected losses at the last rating action were 14.4% of the
original pool balance, which is lower largely due to better
recoveries than previously modeled on the Beacon Seattle & D.C.
Portfolio and Connecticut Financial Center loans. These were the
two largest loans in the pool at the last rating action and were
also the largest contributors to Fitch modeled loss expectations.
Although the overall loss expectation for the pool has declined
since the last rating action, this was offset by higher modeled
losses on the current largest loan in the pool and concerns of pool
concentration and adverse selection.
Pool Concentration: The pool is concentrated with 38 of the
original 185 loans remaining. The largest loan comprises 37.7% of
the current pool.
Loans of Concern; High Concentration in Special Servicing: Fitch
has designated 20 loans/assets (67.5% of current pool) as Fitch
Loans of Concern, which includes 14 loans/assets (60.1%) in special
servicing. Of those in special servicing, five assets (9.7%) are
real estate owned and one loan (2.9%) is classified as in
foreclosure.
The largest loan in the pool is the specially serviced The Mall of
Acadiana (37.7% of current pool), which is the largest contributor
to Fitch's loss expectations. The loan, which is sponsored by CBL &
Associates and secured by a 300,589 square foot (sf) portion of a
1.7 million sf regional mall located in Lafayette, LA (60 miles
west of Baton Rouge), was transferred to special servicing in
February 2017 for imminent maturity default. The loan subsequently
defaulted at its April 2017 maturity date. The property is the only
traditional enclosed mall in its trade area. As of the March 2017
rent roll, total mall and collateral occupancy was 100%. Upcoming
lease rollover as of the March 2017 rent roll includes 14% of the
collateral net rentable area (NRA) in 2017 and 20% in 2018. The
property has experienced low and declining sales. Year-end 2016
comparative in-line sales were $337 per sf, compared to $404 per sf
in 2015 and $449 per sf at issuance (in 2006). The borrower, which
is currently self-managing and leasing the property, submitted to
the special servicer a modification proposal, which is currently
being discussed and reviewed.
Specially Serviced Disposition Timing: The ultimate resolution of
loan/asset workouts and the timing of their disposition remain
uncertain. This directly affects the repayment of the A-J and A-JFL
classes, which rely upon the proceeds from the disposition of
loans/assets in special servicing.
Undercollateralization: The pool is undercollateralized as the
aggregate balance of the certificates is $717,791 greater than the
aggregate collateral balance, as of the April 2017 remittance
report. This disparity of principal balances is due to the servicer
recovering workout-delayed reimbursement amounts from the
transaction's principal collections.
As of the April 2017 distribution date, the pool's aggregate
principal balance has been reduced by 89.6% to $330.9 million from
$3.2 billion at issuance. Interest shortfalls are currently
affecting classes C through S.
RATING SENSITIVITIES
Further downgrades to the remaining rated classes will occur as
losses are realized or if losses exceed Fitch's loss expectations.
An upgrade to classes A-J and A-JFL, although unlikely in the near
term, may occur should recoveries on the specially serviced
loans/assets be better than expected.
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 downgraded the following classes as indicated:
-- $15.9 million class B to 'CCsf' from 'CCCsf'; RE 0%;
-- $47.6 million class C to 'Csf' from 'CCsf'; RE 0%.
In addition, Fitch has affirmed the following classes as indicated:
-- $150.4 million class A-J at 'CCCsf'; RE 95%;
-- $97.8 million class A-JFL at 'CCCsf'; RE 95%;
-- $20 million class D at 'Dsf'; RE 0%;
-- $0 class E at 'Dsf'; RE 0%;
-- $0 class F at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%;
-- $0 class Q at 'Dsf'; RE 0%.
The class A-1, A-2, A-2FL, A-3, A-AB, A-4, A-1A and A-M
certificates have paid in full. Fitch does not rate the class S
certificates. Fitch previously withdrew the rating on the
interest-only class XW certificates.
BAYVIEW KOITERE 2017-SPL3: Fitch Rates 3 Tranches 'BBsf'
--------------------------------------------------------
Fitch Ratings has assigned the following ratings to Bayview Koitere
Fund Trust 2017-SPL3 (BKFT 2017-SPL3):
-- $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 roughly 96.4% of the pool paying on
time for the past 24 months and 92.4% current for the past three
years. In addition, 37.1% of the pool 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
interest rate reduction rider incorporated 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 six to 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
BAYVIEW OPPORTUNITY 2018-RT1: Fitch Rates Class B5 Notes 'Bsf'
--------------------------------------------------------------
Fitch Ratings has assigned the following ratings to Bayview
Opportunity Master Fund IVa Trust 2017-RT1 (BOMFT 2017-RT1):
--$141,528,000.00 class A1 notes 'AAAsf'; Outlook Stable;
--$141,528,000.00 class A1-IO notional notes 'AAAsf'; Outlook
Stable;
--$14,569,000.00 class B1 notes 'AAsf'; Outlook Stable;
--$10,407,000.00 class B2 notes 'Asf'; Outlook Stable;
--$10,406,000.00 class B3 notes 'BBBsf'; Outlook Stable;
--$8,325,000.00 class B4 notes 'BBsf'; Outlook Stable;
--$6,765,000.00 class B5 notes 'Bsf'; Outlook Stable.
The following classes will not be rated by Fitch:
--$16,130,128.35 class B6 notes.
The notes are supported by a pool of 1,963 seasoned performing and
re-performing (RPL) loans totaling $208.13 million, which excludes
$6.08 million in non-interest-bearing deferred principal amounts,
as of the cutoff date. Distributions of principal and interest and
loss allocations are based on a sequential pay, senior subordinate
structure.
The 'AAAsf' rating on the class A1 and A1-IO notes reflects the
32.00% subordination provided by the 7.00% class B1, 5.00% class
B2, 5.00% class B3, 4.00% class B4, 3.25% class B5, and 7.75% 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
Recent Delinquencies (Negative): Approximately 52% of the borrowers
in the pool have had a delinquency in the prior 24 months, with
32.7% occurring in the past 12 months. The majority of the pool
(77.5%) has received a modification due to performance issues.
Although the borrowers had prior delinquencies as recent as four
months ago and tend to be chronic late payers, the seasoning of
roughly 11 years indicates a willingness to stay in their home.
Low Loan-to-Value Ratio (Positive): The spotty pay history of these
borrowers is mitigated by the very low sustainable loan to value
(sLTV) ratio of 64.0% with only 3.6% with a sLTV over 100%. The
original combined LTV (CLTV) of 77.2% also reflects the ample
equity in their homes at origination.
Due Diligence Findings (Concern): A third-party review (TPR),
conducted on 99.7% of the pool, resulted in approximately 18.0% (or
353 loans) graded 'C' and 'D'. For 153 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
beginning on page 5 of the presale report. In addition, timelines
were extended on 200 loans that were missing final modification
documents (excluding 20 loans that were already adjusted for HUD1
issues).
Potential Interest Deferrals (Mixed): Since there is no external
principal and interest (P&I) advancing mechanism, Fitch analyzed
the collateral's cash flows using its standard prepayment and
default timing assumptions to assess the cash flow stability of the
high investment grade rated bonds. Fitch considered the borrower's
pay histories in comparison to its timing assumptions and found
that the subordination is expected to be sufficient to cover timely
payment of interest on the 'AAAsf' and 'AAsf' notes. In addition,
principal otherwise distributable to the notes may be used to pay
monthly interest, which also helps provide stability in the cash
flows. However, 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.
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, 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.
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.
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 Bayview Asset
Management (BAM) in the event the sponsor, Bayview Opportunity
Master Fund IVa, L.P., is liquidated or terminated.
Solid Alignment of Interest (Positive): The sponsor, Bayview
Opportunity Master Fund IVa, 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 January 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 three 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 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
BEAR STEARNS 2006-PWR11: Fitch Cuts Ratings on 2 Tranches to Csf
----------------------------------------------------------------
Fitch Ratings has downgraded two and affirmed 11 classes of
commercial mortgage pass-through certificates from Bear Stearns
Commercial Mortgage Securities Trust, series 2006-PWR11.
KEY RATING DRIVERS
Concentration & Adverse Selection: The pool is highly concentrated
with only six of the original 184 loans remaining, compared to 11
at Fitch's last rating action. Since then five specially serviced
were disposed, four of which incurred realized losses that were
within Fitch's expectations. 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: one performing retail
loan (1.8%) 100% occupied by CVS with a lease expiring before the
final maturity date (the loan has passed its ARD date); one retail
loan (2.1%) presently 100% occupied by Staples but that will be
vacated in August 2017 upon lease expiration (the loan has passed
its ARD date); one modified loan (28.4%) with an extended maturity
date (Dec. 1, 2018 maturity with a one-year extension option);
three specially serviced loans (67.6%) with modelled losses.
As of the April 2017 distribution date, the pool's aggregate
principal balance has been reduced by 94.8% to $96.7 million from
$1.86 billion at issuance. Interest shortfalls in the amount of
$3.8 million are affecting classes C, D, E, G, H, L, O and P.
High Expected Losses: The downgrades reflect greater certainty of
losses to classes C and D as a result of an increase in loss
expectations from the three specially serviced loans in the pool,
particularly the SBC-Hoffman Estates loan. Fitch expected losses
from specially serviced loans were based on a stressed haircut
applied to the most recent appraised values provided by the
servicer.
The largest loan (57.6%) in the pool is secured by SBC - Hoffman
Estates, a 1.69 million SF office campus located in Hoffman
Estates, IL. The whole loan consists of two pari passu A notes;
only the A-2 note is included in this transaction. The loan was
transferred to special servicing in June 2016 after the sole
tenant, AT&T, expressed its intention to vacate the property at the
end of its lease, which expired in August 2016. The property has
been 100% vacant since. The servicer is moving forward with
foreclosure.
The second largest loan (28.4%) in the pool, Hickory Point Mall, is
secured by 424,700sf of a 824,102sf regional mall in Forsyth, IL.
The property is currently shadow anchored by Berger's, Kohl's and
Von Maur, who own their own buildings. The loan was transferred to
special servicing in November 2014 due to imminent default. The
loan was modified in April 2016, and the loan maturity date was
extended three years to December 2018. In addition, the monthly
debt service payment was reduced by 31.6% as part of the
modification. The loan was returned to the master servicer in
August 2016 a corrected loan.
Property occupancy has declined significantly in the past several
years. In 2014, the property lost two anchor tenants. JC Penney
closed in May 2014 and Sears closed in November 2014. Although the
borrower was able to lease up some of the vacant space, occupancy
remains below market levels. As of YE 2016 rent roll, the property
was 76.2% occupied, compared to 82% in 2015 and 91.5% at issuance.
Occupancy as of January 2017 declined to approximately 75% after
Kirlin's Hallmark (8,894 sf) vacated in January 2017 upon lease
expiration. Concerns remain over the property's performance due to
the secondary market location and weakness in the retail/mall
sector. Occupancy is expected to deteriorate further as a result of
upcoming store closings. Payless Shoes, which leases 3,000 sf of
the property NRA (lease expiring September 2017), has filed for
bankruptcy and will close this store. Rue21, which occupies 5,527
sf (lease expiring June 2018), is on the company's store closing
list. Children's Place (3,920 sf) has announced a store closing
plan. American Eagle Outfitter (4,920 sf) is evaluating plans to
close more stores.
RATING SENSITIVITIES
Losses to classes C and D are considered imminent based on Fitch's
loss expectations on the three specially serviced loans. Losses to
class B are considered possible in the event the Hickory Point Mall
loan fails to secure refinance, combined with the realized losses
upon disposition of the specially serviced loans. The distressed
classes (rated below 'B') may be subject to further rating actions
as losses are realized.
Fitch has downgraded the following ratings:
-- $23.2 million class C to 'Csf' from 'CCsf'; RE 0%;
-- $27.9 million class D to 'Csf' from 'CCsf'; RE0%.
Fitch has affirmed the following ratings:
-- $27.4 million class B at 'CCCsf'; RE 50%;
-- $14.2 million class E at 'Dsf'; RE0%.
Classes F through O have been depleted due to realized losses and
are affirmed at 'Dsf'; RE 0%. Class A-1, A-2, A-3, A-AB, A-4, A-1A,
A-M and A-J have paid in full. Class P is not rated by Fitch. Fitch
has previously withdrawn the ratings of the interest-only class X.
BEAR STEARNS 2007-PWR16: Fitch Cuts Class E Certs Rating to C
-------------------------------------------------------------
Fitch Ratings has downgraded one class, upgraded two classes, and
affirmed 14 classes of Bear Stearns Commercial Mortgage Securities
Trust (BSCMSI) commercial mortgage pass-through certificates series
2007-PWR16.
KEY RATING DRIVERS
The upgrades to class A-M and A-J reflects increased credit
enhancement as a result of continued paydown and the disposition of
six specially serviced assets with better than anticipated
recoveries. The downgrade to the distressed class E reflects the
increased certainty that this class will incur losses. Fitch
modeled losses of 13.5% of the remaining pool; expected losses on
the original pool balance total 9.6%, including $257.2 million
(7.8% of the original pool balance) in realized losses to date.
Fitch performed an additional sensitivity analysis to reflect the
near term maturity default risk with 100% of the pool maturing by
June 2017. As of the April 2017 distribution date, the pool's
aggregate principal balance has been reduced by 86.2% to $458.6
million from $3.31 billion at issuance. Per the servicer reporting,
one loan (0.8% of the pool) is defeased. Interest shortfalls are
currently affecting classes H through S.
Paydown: The transaction has been paid down by 86% since issuance
and 72% since Fitch's last rating action. Most of the paydown was
from the Beacon Seattle & DC Portfolio loan, which was paid in
full.
2017 Maturities: With 100% of the pool maturing in May and June
2017, the transaction faces significant maturity risk.
Retail Concentration: Loans secured by retail properties account
for 48% of the pool.
RATING SENSITIVITIES
The Stable Outlook on classes A-M and A-J reflect the class
seniority and expected continued paydown. A further upgrade to
class A-J may be warranted depending on how many loans refinance at
maturity and if the specially serviced assets are resolved with
better than anticipated recoveries. Downgrades to the distressed
classes will occur as losses are realized.
DUE DILIGENCE USAGE PURSUANT TO SEC RULE 17G-10
No third party due diligence was provided or reviewed in relation
to this rating.
Fitch downgrades the following class:
-- $20.7 million class E to 'Csf' from 'CCsf'; RE 0%.
Fitch upgrades the following classes and assigns Rating Outlooks as
indicated:
-- $53 million class A-M to 'AAAsf' from 'Asf'; Outlook Stable;
-- $273.4 million class A-J to 'Bsf' from 'CCCsf'; Outlook Stable
assigned.
Fitch has affirmed the following classes:
--$33.1 million class B at 'CCCsf'; RE 100%;
--$33.1 million class C at 'CCCsf'; RE 50%.
--$33.1 million class D at 'CCsf'; RE 0%;
--$12.1 million class F at 'Dsf'; RE 0%;
--$0 class G at 'Dsf'; RE 0%;
--$0 class H at 'Dsf'; RE 0%;
--$0 class J at 'Dsf'; RE 0%;
--$0 class K at 'Dsf'; RE 0%;
--$0 class L at 'Dsf'; RE 0%;
--$0 class M at 'Dsf'; RE 0%;
--$0 class N at 'Dsf'; RE 0%;
--$0 class O at 'Dsf'; RE 0%;
--$0 class P at 'Dsf'; RE 0%;
--$0 class Q at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-AB, A-4 and A-1A certificates have paid
in full. Fitch does not rate the class S certificates. Fitch
previously withdrew the rating on the interest-only class X
certificates.
BEAR STEARNS 2007-PWR16: Fitch Cuts Class E Certs Rating to C
-------------------------------------------------------------
Fitch Ratings has downgraded one class, upgraded two classes, and
affirmed 14 classes of Bear Stearns Commercial Mortgage Securities
Trust (BSCMSI) commercial mortgage pass-through certificates series
2007-PWR16.
KEY RATING DRIVERS
The upgrades to class A-M and A-J reflects increased credit
enhancement as a result of continued paydown and the disposition of
six specially serviced assets with better than anticipated
recoveries. The downgrade to the distressed class E reflects the
increased certainty that this class will incur losses. Fitch
modeled losses of 13.5% of the remaining pool; expected losses on
the original pool balance total 9.6%, including $257.2 million
(7.8% of the original pool balance) in realized losses to date.
Fitch performed an additional sensitivity analysis to reflect the
near term maturity default risk with 100% of the pool maturing by
June 2017. As of the April 2017 distribution date, the pool's
aggregate principal balance has been reduced by 86.2% to $458.6
million from $3.31 billion at issuance. Per the servicer reporting,
one loan (0.8% of the pool) is defeased. Interest shortfalls are
currently affecting classes H through S.
Paydown: The transaction has been paid down by 86% since issuance
and 72% since Fitch's last rating action. Most of the paydown was
from the Beacon Seattle & DC Portfolio loan, which was paid in
full.
2017 Maturities: With 100% of the pool maturing in May and June
2017, the transaction faces significant maturity risk.
Retail Concentration: Loans secured by retail properties account
for 48% of the pool.
RATING SENSITIVITIES
The Stable Outlook on classes A-M and A-J reflect the class
seniority and expected continued paydown. A further upgrade to
class A-J may be warranted depending on how many loans refinance at
maturity and if the specially serviced assets are resolved with
better than anticipated recoveries. Downgrades to the distressed
classes will occur as losses are realized.
DUE DILIGENCE USAGE PURSUANT TO SEC RULE 17G-10
No third party due diligence was provided or reviewed in relation
to this rating.
Fitch downgrades the following class:
-- $20.7 million class E to 'Csf' from 'CCsf'; RE 0%.
Fitch upgrades the following classes and assigns Rating Outlooks as
indicated:
-- $53 million class A-M to 'AAAsf' from 'Asf'; Outlook Stable;
-- $273.4 million class A-J to 'Bsf' from 'CCCsf'; Outlook Stable
assigned.
Fitch has affirmed the following classes:
--$33.1 million class B at 'CCCsf'; RE 100%;
--$33.1 million class C at 'CCCsf'; RE 50%.
--$33.1 million class D at 'CCsf'; RE 0%;
--$12.1 million class F at 'Dsf'; RE 0%;
--$0 class G at 'Dsf'; RE 0%;
--$0 class H at 'Dsf'; RE 0%;
--$0 class J at 'Dsf'; RE 0%;
--$0 class K at 'Dsf'; RE 0%;
--$0 class L at 'Dsf'; RE 0%;
--$0 class M at 'Dsf'; RE 0%;
--$0 class N at 'Dsf'; RE 0%;
--$0 class O at 'Dsf'; RE 0%;
--$0 class P at 'Dsf'; RE 0%;
--$0 class Q at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-AB, A-4 and A-1A certificates have paid
in full. Fitch does not rate the class S certificates. Fitch
previously withdrew the rating on the interest-only class X
certificates.
BRIDGEPORT CLO II: Moody's Hikes Class D Notes Rating to Ba2(sf)
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Bridgeport CLO II Ltd.:
US$22,000,000 Class C Deferrable Mezzanine Floating Rate Notes Due
2021, Upgraded to Aa2 (sf); previously on January 24, 2017 Upgraded
to A3 (sf)
US$19,000,000 Class D Deferrable Mezzanine Floating Rate Notes Due
2021 (current outstanding balance of $14,319,673.80), Upgraded to
Baa3 (sf); previously on January 24, 2017 Upgraded to Ba2 (sf)
Moody's also affirmed the ratings on the following notes:
US$390,000,000 Class A-1 Senior Floating Rate Notes Due 2021
(current outstanding balance of $29,454,723.17), Affirmed Aaa (sf);
previously on January 24, 2017 Affirmed Aaa (sf)
US$21,000,000 Class A-2 Senior Floating Rate Notes Due 2021,
Affirmed Aaa (sf); previously on January 24, 2017 Affirmed Aaa
(sf)
US$26,000,000 Class B Deferrable Mezzanine Floating Rate Notes Due
2021, Affirmed Aaa (sf); previously on January 24, 2017 Upgraded to
Aaa (sf)
Bridgeport CLO II Ltd., issued in June 2007, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans. The transaction's reinvestment period ended in
September 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 January 2017. The Class
A-1 notes have been paid down by approximately 63.1% or $50.4
million since that time. Based on Moody's calculation, the OC
ratios for the Class A, Class B, Class C and Class D notes are
currently 255.06%, 168.32%, 130.71% and 114.11%, respectively,
versus January 2017 levels of 177.72%, 141.29%, 120.41% and
109.85%, respectively.
Nevertheless, the credit quality of the portfolio has deteriorated
since January 2017. Based Moody's calculation, the weighted average
rating factor (WARF) is currently 2937 compared to 2777 in
January.
The portfolio includes a number of investments in securities that
mature after the notes do. Based on Moody's calculation, securities
that mature after the notes do currently make up approximately 5.0%
of the portfolio. These investments could expose the notes to
market risk in the event of liquidation when the notes mature.
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) Long-dated assets: The presence of assets that mature after the
CLO's legal maturity date exposes the deal to liquidation risk on
those assets. This risk is borne first by investors with the lowest
priority in the capital structure. Moody's assumes that the
terminal value of an asset upon liquidation at maturity will be
equal to the lower of an assumed liquidation value (depending on
the extent to which the asset's maturity lags that of the
liabilities) or the asset's current market value.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Moody's Adjusted WARF - 20% (2350)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: +1
Class D: +3
Moody's Adjusted WARF + 20% (3524)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: -2
Class D: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analyzed the collateral pool as having a performing par and
principal proceeds balance of $128.6 million, defaulted par of $0.2
million, a weighted average default probability of 17.34% (implying
a WARF of 2937), a weighted average recovery rate upon default of
47.74%, a diversity score of 34 and a weighted average spread of
3.57% (before accounting for LIBOR floors).
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of the
assets in the collateral pool. In each case, historical and market
performance and the collateral manager's latitude for trading the
collateral are also factors.
CAPITAL AUTO 2015-4: Moody's Affirms Ba1(sf) Rating on Cl. E Notes
------------------------------------------------------------------
Moody's Investors Service has upgraded ten securities and affirmed
twenty-five securities from five transaction issued in 2015 and
2016. The transactions are sponsored by Ally Financial Inc. (Ba3,
Stable).
The complete rating actions are as follow:
Issuer: Capital Auto Receivables Asset Trust 2015-1
Class A-3 Notes, Affirmed Aaa (sf); previously on Jan 26, 2017
Affirmed Aaa (sf)
Class A-4 Notes, Affirmed Aaa (sf); previously on Jan 26, 2017
Affirmed Aaa (sf)
Class B Notes, Affirmed Aaa (sf); previously on Jan 26, 2017
Affirmed Aaa (sf)
Class C Notes, Affirmed Aaa (sf); previously on Jan 26, 2017
Affirmed Aaa (sf)
Class D Notes, Affirmed Aaa (sf); previously on Jan 26, 2017
Upgraded to Aaa (sf)
Class E Notes, Upgraded to A2 (sf); previously on Jan 26, 2017
Upgraded to A3 (sf)
Issuer: Capital Auto Receivables Asset Trust 2015-3
Class A-2 Notes, Affirmed Aaa (sf); previously on Jan 26, 2017
Affirmed Aaa (sf)
Class A-3 Notes, Affirmed Aaa (sf); previously on Jan 26, 2017
Affirmed Aaa (sf)
Class A-4 Notes, Affirmed Aaa (sf); previously on Jan 26, 2017
Affirmed Aaa (sf)
Class B Notes, Affirmed Aaa (sf); previously on Jan 26, 2017
Affirmed Aaa (sf)
Class C Notes, Upgraded to Aaa (sf); previously on Jan 26, 2017
Upgraded to Aa1 (sf)
Class D Notes, Upgraded to Aa2 (sf); previously on Jan 26, 2017
Affirmed A1 (sf)
Class E Notes, Upgraded to Baa2 (sf); previously on Jan 26, 2017
Affirmed Ba1 (sf)
Issuer: Capital Auto Receivables Asset Trust 2015-4
Class A-1 Notes, Affirmed Aaa (sf); previously on Jan 26, 2017
Affirmed Aaa (sf)
Class A-2 Notes, Affirmed Aaa (sf); previously on Jan 26, 2017
Affirmed Aaa (sf)
Class A-3 Notes, Affirmed Aaa (sf); previously on Jan 26, 2017
Affirmed Aaa (sf)
Class A-4 Notes, Affirmed Aaa (sf); previously on Jan 26, 2017
Affirmed Aaa (sf)
Class B Notes, Affirmed Aaa (sf); previously on Jan 26, 2017
Upgraded to Aaa (sf)
Class C Notes, Upgraded to Aaa (sf); previously on Jan 26, 2017
Upgraded to Aa2 (sf)
Class D Notes, Upgraded to Aa3 (sf); previously on Jan 26, 2017
Affirmed A3 (sf)
Class E Notes, Affirmed Ba1 (sf); previously on Jan 26, 2017
Affirmed Ba1 (sf)
Issuer: Capital Auto Receivables Asset Trust 2016-2
Class A-2a Asset-Backed Notes, Affirmed Aaa (sf); previously on Jul
21, 2016 Definitive Rating Assigned Aaa (sf)
Class A-2b Asset-Backed Notes, Affirmed Aaa (sf); previously on Jul
21, 2016 Definitive Rating Assigned Aaa (sf)
Class A-3 Asset-Backed Notes, Affirmed Aaa (sf); previously on Jul
21, 2016 Definitive Rating Assigned Aaa (sf)
Class A-4 Asset-Backed Notes, Affirmed Aaa (sf); previously on Jul
21, 2016 Definitive Rating Assigned Aaa (sf)
Class B Asset-Backed Notes, Upgraded to Aaa (sf); previously on Jul
21, 2016 Definitive Rating Assigned Aa1 (sf)
Class C Asset-Backed Notes, Upgraded to Aa1 (sf); previously on Jul
21, 2016 Definitive Rating Assigned Aa3 (sf)
Class D Asset-Backed Notes, Affirmed A3 (sf); previously on Jul 21,
2016 Definitive Rating Assigned A3 (sf)
Issuer: Capital Auto Receivables Asset Trust 2016-3
Class A-2a Asset-Backed Notes, Affirmed Aaa (sf); previously on Sep
23, 2016 Definitive Rating Assigned Aaa (sf)
Class A-2b Asset-Backed Notes, Affirmed Aaa (sf); previously on Sep
23, 2016 Definitive Rating Assigned Aaa (sf)
Class A-3 Asset-Backed Notes, Affirmed Aaa (sf); previously on Sep
23, 2016 Definitive Rating Assigned Aaa (sf)
Class A-4 Asset-Backed Notes, Affirmed Aaa (sf); previously on Sep
23, 2016 Definitive Rating Assigned Aaa (sf)
Class B Asset-Backed Notes, Upgraded to Aaa (sf); previously on Sep
23, 2016 Definitive Rating Assigned Aa1 (sf)
Class C Asset-Backed Notes, Upgraded to Aa2 (sf); previously on Sep
23, 2016 Definitive Rating Assigned Aa3 (sf)
Class D Asset-Backed Notes, Affirmed A3 (sf); previously on Sep 23,
2016 Definitive Rating Assigned A3 (sf)
RATINGS RATIONALE
The upgrades are a result of the buildup of credit enhancement due
to sequential pay structures and non-declining
overcollateralization and reserve accounts. The lifetime cumulative
net loss (CNL) expectations were increased to 3.25% from 3.00% for
the 2015-3 and 2015-4 transactions, to 3.75% from 3.00% for the
2016-2 and 2016-3 transactions, and remained unchanged for the
2015-1 transaction at 2.75%.
CARAT transactions issued prior to 2016 have the same one-year
revolving feature that allows collateral to be added to the
securitized pool during the first twelve months. After this initial
period, the transactions amortize. All transactions included in
this rating action have completed their revolving period. The
transactions issued in 2016 did not have the revolving feature.
Below are key performance metrics (as of the April 2017
distribution date) and credit assumptions for the affected
transactions. Credit assumptions include Moody's expected lifetime
CNL, expressed as a percentage of the original pool balance plus
any additional added receivables, as well as Moody's lifetime
remaining CNL expectation and Moody's Aaa levels, both expressed as
a percentage of the current pool balance. The Aaa level is the
level of credit enhancement that would be consistent with a Aaa
(sf) rating for the given asset pool. Performance metrics include
the pool factor, which is the ratio of the current collateral
balance to the original collateral balance at closing; total credit
enhancement, which typically consists of subordination,
overcollateralization, reserve fund; and Excess Spread per annum.
Issuer: Capital Auto Receivables Asset Trust 2015-1
Lifetime CNL expectation -- 2.75%; prior expectation (January 2017)
- 2.75%
Lifetime Remaining CNL expectation -- 2.28%
Aaa (sf) level - 14.00%
Pool factor -- 34.26%
Total Hard credit enhancement - Class A 42.80%, Class B 33.12%,
Class C 23.95 %, Class D 15.80%, Class E 5.6%
Excess Spread per annum -- Approximately 4.4%
Issuer: Capital Auto Receivables Asset Trust 2015-3
Lifetime CNL expectation -- 3.25%; prior expectation (January 2017)
-- 3.00%
Lifetime Remaining CNL expectation -- 2.98%
Aaa (sf) level - 16.00%
Pool factor -- 47.44%
Total Hard credit enhancement - Class A 29.92%, Class B 23.15%,
Class C 16.74%, Class D 11.04%, Class E 3.92%
Excess Spread per annum -- Approximately 4.9%
Issuer: Capital Auto Receivables Asset Trust 2015-4
Lifetime CNL expectation -- 3.25%; prior expectation (January 2017)
-- 3.00%
Lifetime Remaining CNL expectation -- 3.22%
Aaa (sf) level - 16.00%
Pool factor -- 51.52%
Total Hard credit enhancement - Class A 27.06%, Class B 20.88%,
Class C 15.02%, Class D 9.82%, Class E 3.31%,
Excess Spread per annum -- Approximately 5.3%
Issuer: Capital Auto Receivables Asset Trust 2016-2
Lifetime CNL expectation -- 3.75%; original expectation (July 2016)
-- 3.00%
Lifetime Remaining CNL expectation -- 3.77%
Aaa (sf) level - 16.50%
Pool factor -- 69.99%
Total Hard credit enhancement - Class A 22.50%, Class B 18.22%,
Class C 11.07%, Class D 6.07%,
Excess Spread per annum -- Approximately 6.6%
Issuer: Capital Auto Receivables Asset Trust 2016-3
Lifetime CNL expectation -- 3.75%; original expectation (September
2016) -- 3.00%
Lifetime Remaining CNL expectation -- 3.99%
Aaa (sf) level - 16.50%
Pool factor -- 74.95%
Total Hard credit enhancement - Class A 21.01%, Class B 17.01%,
Class C 10.34%, Class D 5.67%,
Excess Spread per annum -- Approximately 6.8%
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
October 2016.
On March 22, 2017, Moody's released a Request for Comment, in which
it has requested market feedback on potential revisions to its
Approach to Assessing Counterparty Risks in Structured Finance. If
the revised Methodology is implemented as proposed, the Credit
Ratings on Ally's nearprime auto loan ABS are not expected to be
affected. Please refer to Moody's Request for Comment, titled "
Moody's Proposes Revisions to Its Approach to Assessing
Counterparty Risks in Structured Finance," 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:
Up
Levels of credit protection that are greater than necessary to
protect investors against current expectations of loss could lead
to an upgrade of the rating. Moody's current expectations of loss
may be better than its original expectations because of lower
frequency of default by the underlying obligors or appreciation in
the value of the vehicles that secure the obligor's promise of
payment. The US job market and the market for used vehicle are
primary drivers of performance. Other reasons for better
performance than Moody's expected include changes in servicing
practices to maximize collections on the loans or refinancing
opportunities that result in a prepayment of the loan.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could lead to a
downgrade of the ratings. Moody's current expectations of loss may
be worse than its original expectations because of higher frequency
of default by the underlying obligors of the loans or a
deterioration in the value of the vehicles that secure the
obligor's promise of payment. The US job market and the market for
used vehicle are primary drivers of performance. Other reasons for
worse performance than Moody's expected include poor servicing,
error on the part of transaction parties, lack of transactional
governance and fraud.
CENTERLINE 2007-1: Moody's Affirms Csf Rating on Cl. A-1 Certs
--------------------------------------------------------------
Moody's Investors Service has affirmed the rating on the following
certificate issued by Centerline 2007-1 Resecuritization Trust
("Centerline 2007-1"):
Cl. A-1, Affirmed C (sf); previously on Jul 15, 2016 Affirmed
C (sf)
RATINGS RATIONALE
Moody's has affirmed the ratings on the transaction because its key
transaction metrics are commensurate with existing ratings. The
affirmation is the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation (CRE CDO and
ReRemic) transactions.
Centerline 2007-1 is a static cash transaction backed by a
portfolio of: i) CRE CDOs (77.5% of the current pool balance), and
ii) commercial mortgage backed securities (CMBS) (22.5%). As of the
April 20, 2017 trustee report, the aggregate certificate balance of
the transaction has decreased to $133.7 million from $985.9 million
at issuance, primarily due to realized losses on the collateral
pool. All Moody's rated class have been withdrawn except for the
senior-most class, Class A-1, due to realized losses on the
underlying collateral. Additionally, Class A-1 has realized partial
losses.
Moody's has identified the following as key indicators of the
expected loss in CRE CDO transactions: the weighted average rating
factor (WARF), the weighted average life (WAL), the weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
Moody's typically models these as actual parameters for static
deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has updated its assessments for the collateral it does not
rate. The rating agency modeled a bottom-dollar WARF of 9675,
compared to 9539 at last review. The current ratings on the
Moody's-rated collateral and the assessments of the non-Moody's
rated collateral follow: Aaa-Aa3 (1.9% compared to 3.5% at last
review), B1-B3 (1.7% comapared to 1.4% at last review), and
Caa1-Ca/C (96.4% compared to 95.1% at last review).
Moody's modeled a WAL of 3.3 years, compared to 4.3 years at last
review. The WAL is based on assumptions about extensions on the
underlying look-through assets.
Moody's modeled a fixed WARR of 0.0%, same as that at last review.
Moody's modeled a MAC of 99.9%, same as that at last review.
Methodology Underlying the Rating Action:
The principal methodology used in this rating was "Moody's Approach
to Rating SF CDOs" published in October 2016.
Factors that would lead to an upgrade or downgrade of the rating:
The performance of the certificates is subject to uncertainty,
because it is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that are subject to change. The servicing decisions of the master
and special servicer and surveillance by the operating advisor with
respect to the collateral interests and oversight of the
transaction will also affect the performance of the rated
certificates.
Moody's Parameter Sensitivities: Changes to any one or more of the
key parameters could have rating implications for some of the rated
certificates, although a change in one key parameter assumption
could be offset by a change in one or more of the other key
parameter assumptions. The rated certificates are particularly
sensitive to changes in the recovery rates of the underlying
collateral and credit assessments. However, in light of the
performance indicators noted above, Moody's believes that it is
unlikely that the ratings announced are sensitive to further
change.
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment given the
weak recovery and certain commercial real estate property markets.
Commercial real estate property values continue to improve
modestly, along with a rise in investment activity and
stabilization in core property type performance. Limited new
construction and moderate job growth have aided this improvement.
However, sustained growth will not be possible until investment
increases steadily for a significant period, non-performing
properties are cleared from the pipeline and fears of a euro area
recession abate.
CFCRE COMMERCIAL 2017-C8: Fitch to Rate Class F Notes 'B-sf'
------------------------------------------------------------
Fitch Ratings has issued a presale report on CFCRE Commercial
Mortgage Trust 2017-C8 commercial mortgage pass-through
certificates.
Fitch expects to rate the transaction and assign Rating Outlooks:
-- $24,296,843 class A-1 'AAAsf'; Outlook Stable;
-- $48,110,527 class A-2 'AAAsf'; Outlook Stable;
-- $35,010,527 class A-SB 'AAAsf'; Outlook Stable;
-- $155,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $188,844,211 class A-4 'AAAsf'; Outlook Stable;
-- $451,262,108b class X-A 'AAAsf'; Outlook Stable;
-- $70,911,580b class X-B 'AA-sf'; Outlook Stable;
-- $32,232,632b class X-C 'A-sf'; Outlook Stable;
-- $32,232,632 class A-M 'AAAsf'; Outlook Stable;
-- $38,678,948 class B 'AA-sf'; Outlook Stable;
-- $32,232,632 class C 'A-sf'; Outlook Stable;
-- $38,678,948ab class X-D 'BBB-sf'; Outlook Stable;
-- $17,727,369ab class X-E 'BB-sf'; Outlook Stable;
-- $7,251,579ab class X-F 'B-sf'; Outlook Stable;
-- $38,678,948a class D 'BBB-sf'; Outlook Stable;
-- $17,727,369a class E 'BB-sf'; Outlook Stable;
-- $7,251,579a class F 'B-sf'; Outlook Stable;
The following classes are not expected to be rated:
-- $26,596,519ab class X-G;
-- $26,596,519a class G;
-- $32,233,735c 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 May 8, 2017.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 43 loans secured by 67
commercial properties having an aggregate principal balance of
$644,660,735 as of the cut-off date. The loans were contributed to
the trust by Cantor Commercial Real Estate Lending, L.P., Rialto
Mortgage Finance, LLC., and UBS AG.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 72.9% of the properties
by balance, cash flow analysis of 80.1%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Fitch Leverage Higher than Recent Transactions: The pool has higher
leverage than other Fitch-rated multiborrower transactions. The
pool's Fitch DSCR of 1.14x is worse than the 2016 average of 1.21x
and YTD 2017 average of 1.22x. The pool's Fitch LTV of 106.7% is
slightly worse than the 2016 average of 105.2% and the YTD 2017
average of 104.7%.
Single-Tenant Properties: Five of the 20 largest loans are
collateralized by single-tenant properties (19.4% of the pool):
Yeshiva University Portfolio (5.4%), 380 Lafayette Street (5.0%),
Google Kirkland Campus Phase II (3.5%), Art Van Portfolio (3.2%)
and Brink's Office (2.2%). Fitch conducted a dark-value analysis to
test the probability of recovery in the event that the tenant in
each case vacated the entire property. Fitch was comfortable the
dark value covers the implied high investment-grade proceeds for
the single-tenant properties sampled except the Yeshiva University
Portfolio. Fitch increased the 'AAAsf' lost estimate to account for
the shortfall allocable to the Yeshiva University Portfolio loan.
Above-Average Amortization: Based on the scheduled balance at
maturity, the pool will pay down by 10.8%, which is in line with
the 2016 average of 10.4% and above the YTD 2017 average of 7.8%.
Seven loans representing 24.1% of the pool are full-term interest
only, and 16 loans representing 40.9% of the pool are partial
interest only. Fitch-rated transactions for YTD 2017 had an average
full-term interest-only percentage of 45.9% and a partial
interest-only percentage of 29.2%.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 12.6% 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 CFCRE
2017-C8 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.
CGWF COMMERCIAL 2013-RKWH: S&P Raises Rating on Cl. E Certs to BB+
------------------------------------------------------------------
S&P Global Ratings raised its ratings on two classes of commercial
mortgage pass-through certificates from CGWF Commercial Mortgage
Trust 2013-RKWH, a U.S. commercial mortgage-backed securities
(CMBS) transaction. In addition, S&P's affirmed its ratings on two
other classes from the same transaction.
The rating actions on the principal- and interest-paying
certificate classes follow S&P's analysis of the transaction
primarily using its criteria for rating U.S. and Canadian CMBS
transactions. S&P's analysis included revaluating the remaining
portfolio of eight full-service, limited-service, and extended-stay
hotels backing the $115.7 million, interest-only (IO),
floating-rate mortgage loan. Although the portfolio's
servicer-reported revenue per available room (RevPAR) and net cash
flow (NCF) have improved since issuance, S&P's analysis also
considered the potential for the portfolio's performance to
moderate if supply growth throughout the U.S. increases or if
economic conditions weaken. S&P also considered the deal structure
and liquidity available to the trust.
The upgrades on classes D and E 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. The upgrades also
follow S&P's views regarding the collateral's current and future
performance and reduced trust balance.
The affirmation on class C reflects subordination and liquidity
that are consistent with the outstanding rating.
The affirmation on the class X-NCP IO certificates is based on
S&P's criteria for rating IO securities, in which the rating on the
IO securities would not be higher than that of the lowest-rated
reference class. The current notional balance on class X-NCP
references class C.
S&P's analysis of stand-alone (single-borrower) transactions is
predominantly a recovery-based approach that assumes a loan
default. Using this approach, S&P's property-level analysis
included a revaluation of the remaining lodging properties that
secure the trust's mortgage loan. The transaction was originally
secured by 16 hotels totaling 2,724 guestrooms in various U.S.
states. The Courtyard Naples (102 rooms) and Sheraton Suites Key
West (184 rooms) were released in January and June 2015,
respectively. The Marriott Wentworth by the Sea Hotel & Spa (161
rooms), Marriott Portland at Sable Oaks (226 rooms), Holiday Inn
Express S. Portland (130 rooms), and Residence Inn Portsmouth (90
rooms) were released on July 14, 2016, and, subsequently, the
Holiday Inn Washington College Park (222 rooms) was released on
Aug. 23, 2016.Most recently, the Courtyard Boston Logan Airport
(351 rooms) was released on Feb. 1, 2017. The remaining portfolio
of eight hotels (totaling 1,258 guestrooms) is located in Florida's
coastal markets (seven properties), and the remaining property is
located in New Jersey. S&P considered the servicer-reported cash
flows and occupancy for the past two years. S&P then derived its
sustainable in-place NCF, which we divided by a 9.35% weighted
average capitalization rate to determine S&P's expected-case value.
This yielded an overall S&P Global Ratings loan-to-value ratio of
61.2%.
According to the April 17, 2017, trustee remittance report, the
mortgage loan has a $115.7 million trust and whole-loan balance,
down from $295.0 million at issuance. The mortgage loan had an
initial two-year term, which matured in November 2015, with three
one-year extension options. In November 2015 and November 2016,
the borrower exercised its available extension options, and the
loan, which is now scheduled to mature in November 2017, has one,
12-month extension option remaining. The loan is IO for the entire
term and pays a floating interest rate equal to LIBOR plus 3.551%
during the entire loan term.
In November 2016, the borrower entered into a replacement interest
rate cap agreement, with a 5.44% strike price maturing in November
2017.
In addition to the first-mortgage loan, there are two IO mezzanine
loans totaling $41.2 million, down from $105 million (a $55.0
million senior mezzanine loan and a $50 million junior mezzanine
loan) at issuance. The weighted average interest rate on the
mezzanine loans equals LIBOR plus 7.2%. The mezzanine loans are
coterminous with the mortgage loan.
According to the transaction documents, the borrower will pay the
special servicing, work-out, and liquidation fees, as well as costs
and expenses incurred from appraisals and inspections the special
servicer conducts. To date, the trust has not incurred any
principal losses.
S&P based its analysis partly on a review of the remaining
portfolio's historical NCF for the years ended Dec. 31, 2016, 2015,
2012 and trailing 12 months ended July 31, 2013, as well as the
Smith Travel Research reports mainly provided by the master
servicer to determine S&P's opinion of a sustainable cash flow for
the remaining properties. The master servicer, Wells Fargo Bank
N.A., reported an overall debt service coverage, occupancy, and
RevPAR of 3.14x, 73.0%, and $122.56, respectively, on the trust
balance for the 12 months ended Dec. 31, 2016.
RATINGS LIST
CGWF Commercial Mortgage Trust 2013-RKWH
Commercial mortgage pass-through certificates, series 2013-RKWH
Rating
Class Identifier To From
C 125401AG4 AAA (sf) AAA (sf)
D 125401AJ8 AA+ (sf) A- (sf)
E 125401AL3 BB+ (sf) BB- (sf)
X-NCP 125401AQ2 AAA (sf) AA (sf)
CHASE COMMERCIAL 1998-1: Moody's Affirms Caa1 Ratings on 2 Classes
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on one class and
affirmed the ratings on two classes in Chase Commercial Mortgage
Securities Corp 1998-1, Commercial Mortgage Pass-Through
Certificates, Series 1998-1 as follows:
Cl. H, Upgraded to Aa2 (sf); previously on May 12, 2016 Upgraded
to Baa2 (sf)
Cl. I, Affirmed Caa1 (sf); previously on May 12, 2016 Upgraded
to Caa1 (sf)
Cl. X, Affirmed Caa1 (sf); previously on May 12, 2016 Affirmed
Caa1 (sf)
RATINGS RATIONALE
The ratings on Class H was upgraded due to a significant increase
in defeasance, to 66% of the current pool balance from 0% at the
last review. Additionally, the deal has paid down 11% since Moody's
last review.
The rating on the Class I was affirmed because the ratings are
consistent with Moody's expected loss.
The rating on the IO class, Class X, was affirmed based on the
credit performance (or the weighted average rating factor) of its
referenced classes.
Moody's rating action reflects a base expected loss of 12.4% of the
current balance, compared to 6.1% at Moody's last review. Moody's
base expected loss plus realized losses is now 2.0% of the original
pooled balance, compared to 1.8% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in these ratings were "Moody's Approach to
Rating Large Loan and Single Asset/Single Borrower CMBS" published
in October 2015, and "Moody's Approach to Rating Credit Tenant
Lease and Comparable Lease Financings" published in October 2016.
Additionally, the methodology used in rating Cl. X 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 Chase Commercial Mortgage
Securities Corp 1998-1.
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.
In evaluating the Credit Tenant Lease (CTL) component, Moody's used
a Gaussian copula model, incorporated in its public CDO rating
model CDOROM to generate a portfolio loss distribution to assess
the ratings.
DEAL PERFORMANCE
As of the April 18, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $20.9 million
from $817.9 million at securitization. The certificates are
collateralized by six remaining mortgage loans. The pool contains a
Credit Tenant Lease (CTL) component that includes two loans,
representing 25% of the pool. Three loans representing 66% of the
pool have defeased and are secured by US Government Securities.
There are no loans on the master servicer's watchlist. The
watchlist includes loans that meet certain portfolio review
guidelines established as part of the CRE Finance Council (CREFC)
monthly reporting package. As part of Moody's ongoing monitoring of
a transaction, the agency reviews the watchlist to assess which
loans have material issues that could affect performance.
Two loans have been liquidated from the pool, resulting in an
aggregate realized loss of $13.5 million (for an average loss
severity of 77%). There are currently no loans in special
servicing.
The sole non-CTL and non-defeased loan is the Royal Palm Apartments
Loan ($1.98 million -- 9.5% of the pool), which is secured by
288-unit multifamily property located in Orlando, Florida. As of
December 2016, the property was 96% leased, compared to 98% the
prior year. The loan is fully amortizing and has amortized 58%
since securitization. Moody's LTV and stressed DSCR are 14% and
about 4.00X, respectively, compared to 18% and about 4.00X at the
last review. Moody's actual DSCR is based on Moody's NCF and the
loan's actual debt service. Moody's stressed DSCR is based on
Moody's NCF and a 9.25% stress rate the agency applied to the loan
balance.
The CTL component consists of two loans, constituting 25% of the
pool, secured by two properties leased to one tenant. The credit
tenant lease exposure is Albertsons Companies LLC ($5.1 million --
25% of the pool; senior unsecured rating: B3).
CIFC FUNDING 2017-II: Moody's Assigns Ba3(sf) Rating to Cl. E Debt
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by CIFC Funding 2017-II, Ltd.
Moody's rating action is:
US$4,000,000 Class X Senior Secured Floating Rate Notes due 2030
(the "Class X Notes"), Definitive Rating Assigned Aaa (sf)
US$362,250,000 Class A Senior Secured Floating Rate Notes due 2030
(the "Class A Notes"), Definitive Rating Assigned Aaa (sf)
US$69,000,000 Class B Senior Secured Floating Rate Notes due 2030
(the "Class B Notes"), Definitive Rating Assigned Aa2 (sf)
US$38,750,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2030 (the "Class C Notes"), Definitive Rating Assigned A2
(sf)
US$33,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2030 (the "Class D Notes"), Definitive Rating Assigned
Baa3 (sf)
US$26,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2030 (the "Class E Notes"), Definitive Rating Assigned Ba3
(sf)
The Class X Notes, the Class A Notes, the Class B Notes, the Class
C Notes, the Class D Notes and the Class E Notes are referred to
herein, collectively, as the "Rated Notes."
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.
CIFC 2017-II is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 92.5% of the portfolio must
consist of senior secured loans and eligible investments, and up to
7.5% of the portfolio may consist of second lien loans and
unsecured loans. The portfolio is approximately 98% ramped as of
the closing date.
CIFC CLO Management LLC (the "Manager"), an affiliate of CIFC Asset
Management LLC, 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: $575,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2935
Weighted Average Spread (WAS): 3.70%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 48.0%
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 2935 to 3375)
Rating Impact in Rating Notches
Class X Notes: 0
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 2935 to 3816)
Rating Impact in Rating Notches
Class X Notes: 0
Class A Notes: -1
Class B Notes: -3
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
CITIGROUP 2004-C2: Moody's Affirms C(sf) Rating on 2 Tranches
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on three classes
and affirmed the ratings on five classes in Citigroup Commercial
Mortgage Trust 2004-C2, Commercial Pass-Through Certificates,
Series 2004-C2:
Cl. D, Affirmed Aaa (sf); previously on Nov 17, 2016 Affirmed Aaa
(sf)
Cl. E, Affirmed Aaa (sf); previously on Nov 17, 2016 Upgraded to
Aaa (sf)
Cl. F, Upgraded to Aaa (sf); previously on Nov 17, 2016 Upgraded to
A1 (sf)
Cl. G, Upgraded to A1 (sf); previously on Nov 17, 2016 Affirmed
Baa3 (sf)
Cl. H, Upgraded to Ba2 (sf); previously on Nov 17, 2016 Downgraded
to B3 (sf)
Cl. J, Affirmed C (sf); previously on Nov 17, 2016 Downgraded to C
(sf)
Cl. K, Affirmed C (sf); previously on Nov 17, 2016 Downgraded to C
(sf)
Cl. XC, Affirmed Caa1 (sf); previously on Nov 17, 2016 Downgraded
to Caa1 (sf)
RATINGS RATIONALE
The ratings on Classes F, G and H were upgraded primarily due to an
increase in credit support since Moody's last review, resulting
from loan paydowns and amortization. The pool has paid down by 25%
since Moody's last review. In addition, loans constituting 65% of
the pool have defeased.
The ratings on Classes D and E were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges. The ratings on Classes J and K were affirmed because the
ratings are consistent with Moody's expected plus realized loss.
The rating on the IO Class (Class XC) 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 1.2% of the
current balance, compared to 22.7% at Moody's last review. Moody's
base expected loss plus realized losses is now 3.6% of the original
pooled balance, compared to 4.7% 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 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. XC 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 CGCMT 2004-C2.
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 92% to $78.4 million
from $1.03 billion at securitization. The certificates are
collateralized by five mortgage loans. Two loans, constituting 65%
of the pool, have defeased and are secured by US government
securities.
No loans 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.
Fourteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $35.8 million (for an average loss
severity of 39%). Two loans, constituting 19% of the pool, are
currently in special servicing. The largest specially serviced loan
the Ceres Group Building Loan ($8.98 million --11.5% of the pool),
which is secured by a 125,000 SF, three-story office building
located in Strongsville, Ohio. The property was built to suit for
Ceres Group's corporate headquarters, however, the tenant vacated
the property upon lease expiration in July 2016. The loan
transferred to special servicing in September 2016 for imminent
default as the property is vacant.
The remaining specially serviced loan is secured by a former
grocery anchored retail property in Tampa, Florida.
The sole performing non-defeased loan is the Desert Sky Esplanade
Loan ($12.8 million -- 16.3% of the pool), which is secured by a
160,000 SF anchored retail center located in Phoenix, Arizona. The
property is shadow anchored by a Walmart Supercenter and Lowe's.
National tenants at the property include Big Lots, Ross Dress For
Less, Dollar Tree and Party City. As of December 2016, the property
was 100% leased to 22 tenants. The loan is benefitting from
amortization and matures in July 2019. Moody's LTV and stressed
DSCR are 91% and 1.13X, respectively, compared to 91% and 1.12X at
the last review.
COLT 2017-1: Fitch Assigns 'Bsf' Rating to Class B-2 Certs
----------------------------------------------------------
Fitch Ratings has assigned ratings to COLT 2017-1 Mortgage Loan
Trust (COLT 2017-1):
-- $265,343,000 class A-1 certificates 'AAAsf'; Outlook Stable;
-- $33,219,000 class A-2 certificates 'AAsf'; Outlook Stable;
-- $47,311,000 class A-3 certificates 'Asf'; Outlook Stable;
-- $16,507,000 class M-1 certificates 'BBBsf'; Outlook Stable;
-- $15,100,000 class B-1 certificates 'BBsf'; Outlook Stable;
-- $10,671,000 class B-2 certificates 'Bsf'; Outlook Stable.
Fitch will not be rating the following certificates:
-- $14,495,288 class B-3 certificates.
This is the fifth Fitch-rated RMBS transaction issued post-crisis
that consists primarily of newly originated, non-prime mortgage
loans. Fitch is taking a cautious approach towards this developing
sector as many of the entrants have limited operating histories and
performance track records. As a result, some transactions are
currently unable to achieve 'AAAsf' ratings from Fitch. This is
most applicable to aggregators with less than three years of
experience acquiring loans from originators that Fitch is not
familiar with.
The most notable change from COLT 2016-3 (the prior COLT
transaction) is the introduction of a delinquency performance
trigger. Although the new delinquency performance trigger threshold
is relatively high, it reduces the amount of principal distributed
to mezzanine classes in high stress scenarios. Since more
subordination is projected to be retained in high stress scenarios
than in transactions without a delinquency trigger, less initial
credit enhancement (CE) is needed to protect the senior class from
projected mortgage pool losses. Consequently, the initial CE of
COLT 2017-1 is notably lower than COLT 2016-3, although the senior
classes in both transactions are protected against a similar amount
of collateral loss based on Fitch's analysis (24.50% vs. 24.75%).
A second notable change from the prior transaction is the removal
of Lendsure originated loans from the pool. The originator
composition for this transaction is similar to COLT 2016-2 as the
only originators contributing collateral are Caliber Home Loans,
Inc. (Caliber) and Sterling Bank and Trust, FSB (Sterling). This
transaction contains the highest percentage of Sterling originated
loans seen in new RMBS. While the Sterling loans are underwritten
to a one month bank statement program, which is a notable risk,
this risk is offset by the high quality credit attributes of the
mortgage loans.
Fitch also introduced a new model used specifically for analyzing
pools of Non-Prime collateral. The model includes all of the
variables used in Fitch's Prime model but includes a higher assumed
economic risk factor at each rating stress. Similar adjustments for
prior credit events and higher assumed ATR challenges as used for
the prior Non-Prime transactions are still incorporated into the
analysis. The model enhancements modestly increased the projected
pool losses at the 'AAsf' to 'BBsf' rating stress scenarios from
prior transactions. The 'AAAsf' pool loss projection for 2017-1 is
comparable to 2016-3.
TRANSACTION SUMMARY
The transaction is collateralized with 69% non-QM mortgages as
defined by the ATR rule while 26% is designated as HPQM and the
remainder either meets the criteria for Safe Harbor QM or ATR does
not apply.
The certificates are supported by a pool of 853 mortgage loans with
credit scores (713) similar to legacy Alt-A collateral. However,
unlike legacy originations, many of the loans were underwritten to
comprehensive Appendix Q documentation standards and 100% due
diligence was performed confirming adherence to the guidelines. The
weighted average loan-to value ratio is roughly 75% and many of the
borrowers have significant liquid reserves. The transaction also
benefits from an alignment of interest as LSRMF Acquisitions I, LLC
(LSRMF) or a majority owned affiliate, will be retaining a
horizontal interest in the transaction equal to not less than 5% of
the aggregate fair market value of all the certificates in the
transaction.
Fitch applied a default penalty to 30% of the pool to account for
borrowers with a mortgage derogatory as recent as two years prior
to obtaining the new mortgage and increased its non-QM loss
severity penalty on lower credit quality loans to account for
potentially greater number of challenges to the ATR Rule. Fitch
also increased default expectations by 307 basis points at the
'AAAsf' rating category to reflect variances from a full
representation and warranty (R&W) framework.
Initial credit enhancement for the class A-1 certificates of 34.10%
is substantially above Fitch's 'AAAsf' rating stress loss of
24.50%. The additional initial credit enhancement is primarily
driven by the pro rata principal distribution between the A-1, A-2
and A-3 certificates, which will result in a significant reduction
of the class A-1 subordination over time through principal payments
to the A-2 and A-3. The lower initial CE compared to prior
transactions is driven by the introduction of a delinquency trigger
test, as noted above.
KEY RATING DRIVERS
Non-Prime Credit Quality (concern): The pool's weighted average
model credit score of 713 is lower than historical average credit
scores for prime loans. Fitch analyzed the pool using its updated
nonprime loan loss model, which includes all of the variables that
are present in the prime model but applies a higher economic risk
factor at each rating stress. Negative adjustments were made to
reflect the inclusion of borrowers with recent credit events (30%)
and increased risk of ATR challenges, and loans with TILA RESPA
Integrated Disclosure (TRID) exceptions.
New Delinquency Trigger (Mixed): The initial 'AAAsf' credit
enhancement (CE) for COLT 2017-1 is significantly lower than COLT
2016-3 (34.10% versus 42.45%) due to the introduction of a new
delinquency (DQ) performance trigger that is expected to shut off
principal to mezzanine classes earlier in the transaction's life
(and retain more initial subordination for the senior 'AAAsf'
class) in Fitch's high stress scenarios. The 'AAAsf' senior classes
of COLT 2017-1 and COLT 2016-3 (the prior transaction) are
protected against a comparable amount of mortgage pool loss (24.50%
versus 24.75%) in Fitch's analysis, but COLT 2016-3 does not
benefit from a delinquency trigger and needs more initial CE to
account for the greater amount of mezzanine principal distribution
Bank Statement Loans Included (Concern): 22% of the loans included
in this pool were underwritten to a bank statement program in
accordance with Sterling's guidelines. Sterling fully verifies
employment and assets but only uses one month of bank statements as
income documentation, relying primarily on the strong historical
performance of borrowers with similar credit attributes in their
program as evidence that the program meets ATR. Despite the
historical performance of Sterling's program, Fitch applies a 1.4
times probability of default (PD) penalty comparable to
'stated-income' loans. Additionally, the assumed probability of ATR
claims is doubled, increasing the projected loss severity on
defaulted loans
Operational and Data Quality (Positive): Caliber and Sterling have
two of the most established non-QM programs in the nascent sector.
Fitch views the visibility into the origination programs as a
strength relative to non-QM transactions with a high number of
originators. Fitch reviewed Caliber's, Sterling's and Hudson's
origination and acquisition platforms and found them to have sound
underwriting and operational control environments, reflecting
industry improvements following the financial crisis that are
expected to reduce risk related to misrepresentation and data
quality. All loans in the mortgage pool were reviewed by a
third-party due diligence firm and the results indicated strong
underwriting and property valuation controls.
Alignment of Interests (Positive): The transaction benefits from an
alignment of interests between the issuer and investors. LSRMF
Acquisitions I, LLC (LSRMF), as sponsor and securitizer, or an
affiliate will retain a horizontal interest in the transaction
equal to not less than 5% of the aggregate fair market value of all
certificates in the transaction. As part of its focus on investing
in residential mortgage credit, as of the closing date, LSRMF or an
affiliate will retain the class B2, B3 and X certificates, which
represent 6.25% of the transaction. Lastly, for the 78%
Caliber-originated loans, the representations and warranties are
provided by Caliber, which is owned by LSRMF affiliates and,
therefore, also aligns the interest of the investors with those of
LSRMF to maintain high quality origination standards and sound
performance, as Caliber will be obligated to repurchase loans due
to rep breaches.
Modified Sequential Payment Structure (Mixed): The structure
distributes collected principal pro rata among the class A notes
while shutting out the subordinate bonds from principal until all
three classes have been reduced to zero. To the extent that any of
the cumulative loss trigger event, the delinquency trigger event or
the credit enhancement trigger event occurs in a given period,
principal will be distributed sequentially to the class A-1, A-2
and A-3 certificates until they are reduced to zero. The cumulative
loss triggers for this deal are slightly looser than COLT 2016-3
but did not affect the deal's overall CE due to the addition of the
more constraining DQ trigger.
R&W Framework (Concern): As originators, Caliber and Sterling will
be providing loan-level representations and warranties to the
trust. While the reps for this transaction are substantively
consistent with those listed in Fitch's published criteria and
provide a solid alignment of interest, Fitch added approximately
300 bps to the projected defaults at the 'AAAsf' rating category to
reflect the non-investment-grade counterparty risk of the providers
and the lack of an automatic review of defaulted loans. The lack of
an automatic review is mitigated by the ability of holders of 25%
of the total outstanding aggregate class balance to initiate a
review.
Performance Triggers (Mixed): Credit enhancement, delinquency and
loan loss triggers convert principal distribution to a straight
sequential payment priority in the event of poor asset performance.
The loss triggers in 2017-1 are looser than the prior deal and more
in line with COLT 2016-2, but the new inclusion of a delinquency
trigger benefits the most senior classes. Fitch applied
non-standard sensitivity scenarios that assumed a faster prepayment
assumption and a delayed failure of the delinquency trigger that
redirected more principal to more junior certificates when
analyzing the A-1 and A-2 classes.
Servicing and Master Servicer (Positive): Servicing will be
performed on 78% of the loans by Caliber and on 22% of the loans by
Sterling. Fitch currently rates Caliber 'RPS2-'/Outlook Negative
due to its fast-growing portfolio and regulatory scrutiny and views
Sterling as an acceptable servicer. Wells Fargo Bank, N.A. (Wells
Fargo), rated 'RMS1'/Outlook Stable, will act as master servicer
and securities administrator. Advances required but not paid by
Caliber and Sterling will be paid by Wells Fargo.
RATING SENSITIVITIES
Fitch's analysis incorporates a sensitivity analysis to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at the MSA level. The implied rating sensitivities are
only an indication of some of the potential outcomes and do not
consider other risk factors that the transaction may become exposed
to or may be considered in the surveillance of the transaction. Two
sets of sensitivity analyses were conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20%, and 30%, in addition to the
model projected 6.8%. The analysis indicates that there is some
potential rating migration with higher MVDs, compared with the
model projection.
Fitch also conducted sensitivities to determine the stresses to
MVDs that would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'.
COMM 2005-LP5: S&P Lowers Rating on 2 Tranches to CCC-(sf)
----------------------------------------------------------
S&P Global Ratings lowered its ratings on class F, G, H, and J
commercial mortgage pass-through certificates from COMM 2005-LP5, a
U.S. commercial mortgage-backed securities (CMBS) transaction. In
addition, S&P affirmed its ratings on classes X-C and E from the
same transaction.
S&P's rating actions on the principal- and interest-paying
certificates follow its analysis of the transaction, primarily
using its criteria for rating U.S. and Canadian CMBS transactions.
S&P's analysis 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 downgrades on classes F, G, H, and J reflect liquidity concerns
due to recent interest shortfalls from the two assets ($78.3
million, 81.8%) with the special servicer. S&P' also considered
credit support erosion on classes H and J that will occur upon the
eventual resolution of the specially serviced assets.
The affirmed rating on class E reflects S&P's expectation that the
available credit enhancement for this class will be within its
estimate of the necessary credit enhancement required for the
current ratings. The affirmation also reflects S&P's view that the
liquidity available to the class is unlikely to be impacted even in
the event the specially serviced assets are deemed
non-recoverable.
S&P affirmed its 'AAA (sf)' rating on the class X-C interest-only
(IO) certificates based on S&P's criteria for rating IO
securities.
TRANSACTION SUMMARY
As of the April 10, 2017, trustee remittance report, the collateral
pool balance was $95.7 million, which is 5.4% of the pool balance
at issuance. The pool currently includes 15 loans and one real
estate owned (REO) asset, down from 134 loans at issuance. Two of
these assets are with the special servicer, and two ($1.5 million,
1.6%) are on the master servicer's watchlist. The master servicer,
Midland Loan Services, reported financial information for 93.2% of
the loans in the pool, of which 16.4% was year-end 2016 data, and
the remainder was year-end 2015 data.
S&P calculated a 1.55x S&P Global Ratings weighted average debt
service coverage (DSC) and 26.8% S&P Global Ratings weighted
average loan-to-value (LTV) ratio using a 7.71% S&P Global Ratings
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the two specially serviced
assets, one non-reporting loan ($252,261, 0.3%), and one
cooperative housing loan ($6.0 million, 6.3%). The top 10
nondefeased assets have an aggregate outstanding pool trust balance
of $93.7 million (97.9%). Using adjusted servicer-reported
numbers, S&P calculated an S&P Global Ratings weighted average DSC
and LTV of 1.65x and 29.2%, respectively, for seven of the top 10
assets. The remaining assets are specially serviced or secured by
cooperative housing.
To date, the transaction has experienced $25.1 million in principal
losses, or 1.5% of the original pool trust balance. S&P expects
losses to reach approximately 3.7% of the original pool trust
balance in the near term, based on losses incurred to date and
additional losses that 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 servicers. Lakeside Mall is
specially serviced by C-III Asset Management LLC (C-III), and
Meridian Place Apartments is specially serviced by CWCapital Asset
Management LLC (CWC). Details of these specially serviced assets,
both of which are top 10 loans, are:
-- Lakeside Mall is the largest loan in the pool, with a
balance of $68.4 million (71.4% of pool) and a total
reported exposure of $69.0 million. In addition to the
trust balance, a pari passu loan in the amount of $68.4
million is held in GE 2005-C1. The loan is secured by
643,375-sq.-ft. of a 1,529,599-sq.-ft. retail mall located
in Sterling Heights, Mich. The property was built in 1976-
1978 and renovated in 2001. The loan was transferred to the
special servicer on May 17, 2016 because of imminent
default. The reported DSC and occupancy as of Sept. 30,
2016, were 0.84x and 84.1% respectively. C-III indicated
negotiations with the borrower are ongoing. An appraisal
reduction amount (ARA) of $21.4 million is in effect for
this asset. S&P expects a moderate loss upon the loan's
eventual resolution.
-- Meridian Place Apartments is an REO asset and is the second-
largest asset in the pool, with a $9.9 million (10.4% of
pool) trust balance and a $17.1 million reported total
exposure. The asset is a 232-unit multifamily property
located in Tallahassee, Fla. It was built in 1970-1973 and
renovated in 2004. The loan was transferred to the special
servicer on Sept. 10, 2010, due to monetary default. The
asset became REO on Jan. 20, 2012. The reported DSC as of
Dec. 31, 2016, was 0.88x and the reported occupancy as of
March 31, 2017, was 95.0%. CWC confirmed that the asset was
sold for $11.45 million on April 20, 2017. An ARA of
$5.9 million is in effect for this asset. S&P expects a
significant loss upon the asset's sale.
S&P estimated losses for the two specially serviced assets,
arriving at a weighted-average loss severity of 49.4%.
With respect to the specially serviced assets noted above, a
moderate loss is 26%-59%, and a significant loss is 60% or
greater.
RATINGS LIST
COMM 2005-LP5
Commercial mortgage pass-through certificates series 2005-LP5
Rating
Class Identifier To From
X-C 20047PAM9 AAA (sf) AAA (sf)
E 20047PAN7 AA (sf) AA (sf)
F 20047PAP2 BBB- (sf) A- (sf)
G 20047PAQ0 BB- (sf) BBB+ (sf)
H 20047PAR8 CCC- (sf) BB+ (sf)
J 20047PAS6 CCC- (sf) B+ (sf)
COMM 2010-C1: Fitch Affirms 'B-sf' Rating on Class G Certificates
-----------------------------------------------------------------
Fitch Ratings has affirmed 11 classes of the Deutsche Bank
Securities COMM 2010-C1 commercial mortgage pass-through
certificate.
KEY RATING DRIVERS
The affirmations reflect the stable performance of the majority of
the underlying loans and significant credit enhancement to the
classes. As of the April 2017 distribution date, the pool's
aggregate principal balance was reduced by 60.1% to $341.6 million,
down from $856.6 million at issuance. There have been no realized
losses to date. There are three Fitch Loans of Concern (16.7% of
the pool), including the third largest loan in the pool, Auburn
Mall (11.2%).
Deal Concentration: The transaction is very concentrated. Only 17
of the original 42 loans remain. The largest loan comprises 32.7%
of the pool, and the three largest loans comprise 55.3% of the
pool.
Retail Concentration: Loans secured by retail properties comprise
79.1% of the pool, including the four largest loans in the
transaction (65.9%). Further, several properties are secured by
single tenanted retail properties (10.6%).
The largest Fitch Loan of Concern is secured by a 423,270 square
foot (sf) portion of the 588,270 sf Auburn Mall, which is anchored
by Sears and non-collateral Macys. The Auburn, MA property was
built in 1971 and reportedly last renovated in 1997. As of the
September 2016 rent roll, the property was 78.4% leased, primarily
due to a vacant anchor space. Macy's Home, which was in place at
issuance, vacated its collateral anchor space in 2015. In fall
2015, a plan was submitted to local authorities to demolish the
former Macy's Home store and replace the space with a theater and
restaurant space. However, recent news articles reported that
renovation plans now call for the space to be converted to a
medical center, which would be two stories with 62,940 sf, and a
mix of retail and restaurant space. Two other loans (5.5%) are
Fitch Loans of Concern due to vacant tenant spaces. The largest
tenant in the Albuquerque Portfolio has reportedly filed for
bankruptcy and is liquidating its assets while the Walgreens
Lilburn loan has a dark single tenant. Fitch will continue to
monitor these loans.
Amortization: 95.4% of the loans are currently amortizing while
87.9% of the loans have been amortizing since the first payment
date of the respective loans.
RATING SENSITIVITIES
The Negative Outlooks assigned to classes F and G reflect the Fitch
Loans of Concern, particularly the continued underperformance of
the Auburn Mall. These classes could be subject to downgrade should
performance decline further and should vacant tenants not be
replaced. The Outlooks on classes A-2 thru E remain Stable due to
the overall stable performance of the majority of the pool and high
credit enhancement from payoffs and scheduled amortization.
Upgrades to classes D and below may be limited due to the
transaction's concentration. Further, there are limited scheduled
loan maturities (1.5%) prior to 2020.
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 and revised Outlooks:
-- $13.2 million class A-2 at 'AAAsf', Outlook Stable;
-- $179.5 million class A-3 at 'AAAsf', Outlook Stable;
-- Interest-only class XP-A at 'AAAsf', Outlook Stable;
-- Interest-only class XS-A at 'AAAsf', Outlook Stable;
-- Interest-only class XW-A at 'AAAsf', Outlook Stable;
-- $24.6 million class B at 'AAAsf', Outlook Stable;
-- $28.9 million class C at 'AAAsf', Outlook Stable;
-- $45 million class D at 'Asf', Outlook Stable;
-- $7.5 million class E at 'BBB-sf', Outlook Stable;
-- $12.8 million class F at 'BBsf', Outlook to Negative from
Stable;
-- $12.9 million class G at 'B-sf', Outlook to Negative from
Stable.
Classes A-1 and A-1D have paid in full. Fitch does not rate the
interest-only class XW-B or the $17.1 million class H.
COMM 2012-CCRE2: Moody's Affirms B2 Rating on Class G Debt
----------------------------------------------------------
Moody's Investors Service has affirmed the ratings on seventeen
classes in COMM 2012-CCRE2 Mortgage Trust as follows:
Cl. A-2, Affirmed Aaa (sf); previously on Jun 24, 2016 Affirmed Aaa
(sf)
Cl. A-3, Affirmed Aaa (sf); previously on Jun 24, 2016 Affirmed Aaa
(sf)
Cl. A-4, Affirmed Aaa (sf); previously on Jun 24, 2016 Affirmed Aaa
(sf)
Cl. A-M, Affirmed Aaa (sf); previously on Jun 24, 2016 Affirmed Aaa
(sf)
Cl. A-M-PEZ, Affirmed Aaa (sf); previously on Jun 24, 2016 Affirmed
Aaa (sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Jun 24, 2016 Affirmed
Aaa (sf)
Cl. B, Affirmed Aa2 (sf); previously on Jun 24, 2016 Affirmed Aa2
(sf)
Cl. B-PEZ, Affirmed Aa2 (sf); previously on Jun 24, 2016 Affirmed
Aa2 (sf)
Cl. C, Affirmed A2 (sf); previously on Jun 24, 2016 Affirmed A2
(sf)
Cl. C-PEZ, Affirmed A2 (sf); previously on Jun 24, 2016 Affirmed A2
(sf)
Cl. D, Affirmed Baa1 (sf); previously on Jun 24, 2016 Affirmed Baa1
(sf)
Cl. E, Affirmed Baa3 (sf); previously on Jun 24, 2016 Affirmed Baa3
(sf)
Cl. F, Affirmed Ba2 (sf); previously on Jun 24, 2016 Affirmed Ba2
(sf)
Cl. G, Affirmed B2 (sf); previously on Jun 24, 2016 Affirmed B2
(sf)
Cl. PEZ, Affirmed A1 (sf); previously on Jun 24, 2016 Affirmed A1
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on Jun 24, 2016 Affirmed Aaa
(sf)
Cl. X-B, Affirmed Ba3 (sf); previously on Jun 24, 2016 Affirmed Ba3
(sf)
RATINGS RATIONALE
The ratings on the P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on the IO classes were affirmed based on the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes.
The ratings on class PEZ 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 1.7% of the
current balance, unchanged from Moody's last review. Moody's base
expected loss plus realized losses is now 1.4% of the original
pooled balance, compared to 1.5% 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 the exchangeable class, Cl. PEZ was
"Moody's Approach to Rating Repackaged Securities" published in
June 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 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 COMM 2012-CCRE2.
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 20 at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model and then reconciles and weights the results from the
conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, 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 13% to $1.15 billion
from $1.32 billion at securitization. The certificates are
collateralized by 50 mortgage loans ranging in size from less than
1% to 10% of the pool, with the top ten loans (excluding
defeasance) constituting 63% of the pool. One loan, constituting
8.4% of the pool, has an investment-grade structured credit
assessment. Three loans, constituting 2.1% of the pool, have
defeased and are secured by US government securities.
Six loans, constituting 9.5% 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 have been no loans which have liquidated at a loss and there
are no loans currently in special servicing.
Moody's received full year 2015 operating results for 94% of the
pool, and full or partial year 2016 operating results for 81% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 92%, the same as at Moody's last
review. Moody's conduit component excludes loans with structured
credit assessments, defeased and CTL loans, and specially serviced
and troubled loans. Moody's net cash flow (NCF) reflects a weighted
average haircut of 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 1.61X and 1.13X,
respectively, the same as 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 520 Eighth
Avenue Loan ($95.8 million -- 8.4% of the pool), which is secured
by three adjacent and interconnected office buildings that have
been combined into a single office property. The properties are
located at 520 8th Avenue, 266 West 37th Street and 261 West 36th
Street, totaling 758,000 square feet (SF). The buildings are
occupied by a diverse mix of tenants including not-for-profit
associations, professional services firms, media and entertainment
services companies. As of December 2016, the property was 99%
leased, essentially unchanged from the prior review and
securitization. Moody's structured credit assessment and stressed
DSCR are a1 (sca.pd) and 1.42X, respectively.
The top three conduit loans represent 28.3% of the pool balance.
The largest loan is the 77 K Street Loan ($110 million -- 9.6% of
the pool), which is secured by 327,000 SF Class-A office building
located in the Capitol Hill submarket of Washington, D.C. The
property was built in 2008 for a total cost of $113 million. The
property was 100% leased as of December 2016, unchanged from
December 2015 and up from 93% at securitization. Performance has
increased due to free rent periods burning off. Moody's LTV and
stressed DSCR are 97% and 1.01X, respectively, compared to 96% and
1.02X at the last review.
The second largest loan is the 1055 West 7th Street Loan ($109.4
million -- 9.5% of the pool), which is secured by a 616,000 SF
office Class-A property located in downtown Los Angeles,
California. The property was built in 1987 and is 32 stories high.
The building is located just west of Interstate 110, one block away
from the 7th Street Metro Station, and a few blocks from the
Staples Convention Center. As of December 2016, the property was
95% leased, compared to 96% at the prior review and 85% at
securitization. Performance dropped in 2015 due to an increase in
expenses; over the past two years expenses have increased by 12%.
Moody's LTV and stressed DSCR are 104% and 0.96X, respectively,
compared to 106% and 0.94X at the last review.
The third largest loan is the 260 and 261 Madison Avenue Loan ($105
million -- 9.2% of the pool), which is secured by two Class-B
office towers located in midtown Manhattan on Madison Avenue
between 36th and 37th Street. The properties total 840,000 SF of
office space, 37,000 SF of retail space, and a 46,000 SF parking
garage. This loan represents a pari-passu interest in a $231
million loan. As of December 2015, the properties had a combined
occupancy of approximately 90%, compared to 91% at the prior
review. Performance has improved due to free rent concessions
expiring. Moody's LTV and stressed DSCR are 97% and 0.98X,
respectively, the same as at the prior review.
COMM 2014-CCRE17: Fitch Affirms BB-sf Rating on 2 Tranches
----------------------------------------------------------
Fitch Ratings has affirmed 15 classes and upgraded one
interest-only class of Deutsche Bank Securities, Inc.'s (COMM)
commercial mortgage pass-through certificates series 2014-CCRE17.
KEY RATING DRIVERS
The affirmations reflect the stable performance of the majority of
the underlying loans. Property-level performance remains generally
in-line with issuance expectations, and there have been no material
changes to the pool metrics. As of the April 2017 distribution
date, the pool's aggregate principal balance was reduced by 2.2% to
$1.17 billion from $1.19 billion at issuance. Four loans (2.4% of
the pool) are currently defeased. Nine loans (9.1%) are on the
master servicer's watchlist and have been considered Fitch Loans of
Concern. Fitch has also flagged the third largest loan, Cottonwood
Mall (8.6%) as a Fitch Loan of Concern given Macy's recent
announcement that they will be closing their location at the mall
as well as several other in-line tenant bankruptcies and announced
store closings.
High Fitch Leverage: The pool's Fitch issuance DSCR and LTV of
1.19x and 108.3%, respectively, were worse than the 2013 and 2012
averages of 1.29x and 101.6%.
Limited Amortization: At issuance, the pool was scheduled to
amortize by 10.99% prior to maturity. Loans representing 28.4% of
the pool are interest-only for the full term. Loans representing an
additional 37.5% of the pool were structured with partial
interest-only periods. Of these, seven loans (14.9% of the pool)
remain in their interest-only period.
Exposure to New York Tri-State Market: Three of the 10 largest
loans (26% of the pool) are located in the New York Tri-State Area,
one of the higher performing regions in Fitch's analysis. There is
one each in Manhattan, the Bronx and Yonkers.
Traditional Property Type Mix: The pool contains a traditional mix
of property types, with retail the largest property type in the
pool at 31.7%, followed by multifamily at 23.9%, hotel at 16.5%,
and office at 15.1%. No other property type accounts for more than
4.2% of the pool. Four of the top 15 loans (25.4%) consist of
retail properties. Of the four, the third largest loan, Cottonwood
Mall (8.6%), has exposure to non-collateral troubled anchor tenants
JC Penney, Sears, and Macy's. Macy's recently announced it will be
closing its store in spring 2017.
Interest Only Class X-B: The upgrade to class X-B reflects a change
to Fitch's Global Structured Finance Criteria. The criteria now
states that IO bond ratings will be capped at the rating of the
lowest referenced tranche that contributes cash flow to the IO. The
criteria previously stated that IO bonds were capped at the lowest
referenced tranche regardless of the pass-through rate. The lowest
referenced class that contributes cash flow to X-B is class C.
RATING SENSITIVITIES
The Negative Outlooks assigned to classes E and F primarily reflect
performance concerns with the third largest loan, Cottonwood Mall,
given the recent announcement of Macy's (non-collateral) store
closing, several additional in-line tenant bankruptcies and store
closures, superior competition in the market, and low sales.
Downgrades are possible if performance continues to deteriorate.
The Rating Outlooks on classes A-1 thru D remain Stable due to
overall relatively stable performance of the pool and higher credit
enhancement. There are limited scheduled loan maturities (16.2%)
prior to 2024.
Fitch expects to publish a U.S. CMBS Focus Report, providing a
detailed and up-to-date perspective on key credit characteristics
of the transaction and property-level performance of the largest
related trust loans and Fitch Loans of Concern, in the next week.
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:
-- Interest only class X-B to 'A-sf' from 'BBB-sf', Outlook
Stable.
Fitch has affirmed the following classes and revised Outlooks as
indicated:
-- $23.2 million class A-1 at 'AAAsf'; Outlook Stable;
-- $149 million class A-2 at 'AAAsf'; Outlook Stable;
-- $12.4 million class A-3 at 'AAAsf'; Outlook Stable;
-- $69.9 million class A-SB at 'AAAsf'; Outlook Stable;
-- $220 million class A-4 at 'AAAsf'; Outlook Stable;
-- $333.7 million class A-5 at 'AAAsf'; Outlook Stable;
-- $65.6 million class A-M at 'AAAsf'; Outlook Stable;
-- $82 million class B at 'AA-sf'; Outlook Stable;
-- $199.7 million class PEZ at 'A-sf'; Outlook Stable;
-- $52.2 million class C at 'A-sf'; Outlook Stable;
-- $50.7 million class D at 'BBB-sf'; Outlook Stable;
-- $14.9 million class E at 'BBB-sf'; Outlook to Negative from
Stable;
-- $29.8 million class F at 'BB-sf'; Outlook to Negative from
Stable;
-- Interest-only class X-A at 'AAAsf'; Outlook Stable;
-- Interest-only class X-C at 'BB-sf'; Outlook to Negative from
Stable.
Fitch does not rate the interest-only class X-D, or class G and H
certificates. The class A-M, B, and C certificates may be exchanged
for class PEZ certificates, and the class PEZ certificates may be
exchanged for class A-M, B, and C certificates.
COMMERCIAL MORTGAGE 2007-GG11: S&P Hikes Cl. B Debt Rating to B+
----------------------------------------------------------------
S&P Global Ratings raised its ratings on four classes of commercial
mortgage pass-through certificates from Commercial Mortgage Trust
2007-GG11, a U.S. commercial mortgage-backed securities (CMBS)
transaction. At the same time, S&P affirmed its ratings on three
other classes from the same transaction.
S&P's rating actions on the principal- and interest-paying
certificates follow its analysis of the transaction, primarily
using its criteria for rating U.S. and Canadian CMBS transactions,
which included a review of the credit characteristics and
performance of the remaining loans in the pool, the transaction's
structure, and the liquidity available to the trust.
S&P raised its ratings on classes A-M, A-J, B, and C to reflect its
expectation of the available credit enhancement for these classes,
which S&P believes is greater than its most recent estimate of
necessary credit enhancement for the respective rating levels. The
upgrades also reflect the reduction in the trust's balance as well
as the increased defeasance balance.
The affirmations of the 'AAA (sf)' ratings on classes A-4 and A-1-A
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 affirmed its 'AAA (sf)' rating on the class XC interest-only
(IO) certificates based on its criteria for rating IO securities.
TRANSACTION SUMMARY
As of the April 12, 2017, trustee remittance report, the collateral
pool balance was $1.05 billion, which is 39.1% of the pool balance
at issuance. The pool currently includes 64 loans (reflecting the
Eola Park Center A- and B-notes as one loan), down from 121 loans
at issuance. Two of these loans ($12.3 million, 1.2%) are with the
special servicer, 15 ($277.8 million, 26.5%) are defeased, and 25
($528.9 million, 50.4%) are on the master servicer's watchlist.
The master servicer, Wells Fargo Bank N.A., reported financial
information for 98.7% of the nondefeased loans in the pool, of
which 92.1% was partial-year or year-end 2016 data, and the
remainder was year-end 2015 data.
S&P calculated a S&P Global Ratings' weighted average debt service
coverage (DSC) of 1.14x and a S&P Global Ratings' weighted average
loan-to-value (LTV) ratio of 84.9% using a S&P Global Ratings'
weighted average capitalization rate of 7.15%. The DSC, LTV, and
capitalization rate calculations exclude the two specially serviced
loans, 15 defeased loans, and one subordinate B hope note ($10.2
million, 1.0%). S&P also excluded three loans ($30.3 million,
2.9%) on the master servicer's watchlist from the DSC, LTV, and
capitalization calculations; Wells Fargo informed S&P that these
loans have paid off subsequent to the April 2017 trustee remittance
report. Wells Fargo also informed S&P that two other loans ($17.1
million, 1.6%) are in the process of being transferred to the
special servicer after the April 2017 trustee remittance report.
The top 10 nondefeased loans have an aggregate outstanding pool
trust balance of $532.4 million (50.7%). Using servicer-reported
numbers, S&P calculated a S&P Global Ratings' weighted average DSC
and LTV of 1.06x and 86.0%, respectively, for eight of the top 10
nondefeased loans. The two remaining loans are either expected to
be transferred to special servicing or paid off in full subsequent
to the April 2017 trustee remittance report.
To date, the transaction has experienced $238.5 million in
principal losses, or 8.9% of the original pool trust balance. S&P
expects losses to reach approximately 9.2% 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 loans and the two loans that are in the
process of being transferred to the special servicer after the
April 2017 trustee remittance report.
CREDIT CONSIDERATIONS
As of the April 12, 2017, trustee remittance report, two loans in
the pool were with the special servicer, C-III Asset Management
LLC. Details of the specially serviced loans are:
-- The Best Buy & Delphax Technologies loan ($6.7 million,
0.6%) has a total reported exposure of $7.3 million. The
loan is secured by an industrial property totaling 160,177
sq. ft. located in Bloomington, Minn. The loan, which has a
foreclosure in process payment status, was transferred to
the special servicer on March 7, 2016, due to imminent
default. The reported DSC and occupancy as of year-end 2015
were 1.23x and 81.7%, respectively. The special servicer
stated that a receiver has been appointed at the property,
and it has filed for foreclosure. An appraisal reduction
amount (ARA) of $1.5 million is in effect against the loan.
S&P expects a moderate loss (between 26% and 59%) upon the
loan's eventual resolution.
-- The Center at Evergreen loan ($5.6 million, 0.5%) has a
total reported exposure of $5.6 million. The loan is
secured by suburban office property totaling 43,404 sq. ft.
located in Evergreen, Colo. The loan, which has a late-but-
less-than-one-month delinquent payment status, was
transferred to the special servicer on March 8, 2017, due to
imminent maturity default. The loan matured on May 6, 2017.
The reported DSC and occupancy as of year-end 2016 were
1.08x and 93.6%, respectively. S&P expects a moderate loss
upon the loan's eventual resolution.
In addition to the two specially serviced loans, it is S&P's
understanding from Wells Fargo that two other loans -- the
Middleburg Town Square ($15.0 million, 1.4%) and 6300 Mae Anne
Avenue ($2.1 million, 0.2%) -- are in the process of being
transferred to the special servicer after the April 2017 trustee
remittance report, and that they may be reflected as early as the
May 2017 reporting period.
The Middleburg Town Square loan is the ninth-largest nondefeased
loan in the transaction. The loan is secured by a 113,420-sq.-ft.
retail property located in Middleburg Heights, OH. The reported
DSC as of the nine months ending September 2016 was 1.51x, and
occupancy was 92.2% as of November 2016. S&P expects a minimal
loss (less than 25%) upon the loan's eventual resolution.
S&P estimated losses for the four specially serviced loans,
arriving at a weighted-average loss severity of 25.1%.
RATINGS LIST
Commercial Mortgage Trust 2007-GG11
Commercial mortgage pass through certificates series 2007-GG11
Rating
Class Identifier To From
A-4 20173VAE0 AAA (sf) AAA (sf)
A-1-A 20173VAF7 AAA (sf) AAA (sf)
A-M 20173VAG5 AA (sf) BBB+ (sf)
A-J 20173VAH3 BB (sf) B (sf)
B 20173VAJ9 B+ (sf) B- (sf)
C 20173VAK6 B- (sf) CCC (sf)
XC 20173VBP4 AAA (sf) AAA (sf)
CONNECTICUT AVENUE 2017-C03: Moody's Rates Class 1M-2 Notes 'B2'
----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to twenty
nine classes of notes on Connecticut Avenue Series (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, Definitive Rating Assigned Baa3
(sf)
$607.3 million of Class 1M-2 notes, Definitive Rating Assigned 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, Definitive Rating
Assigned Ba2 (sf)
$203.8 million of Class 1M-2B exchangeable notes, Definitive Rating
Assigned B1 (sf)
$203.8 million of Class 1M-2C exchangeable notes, Definitive Rating
Assigned NR (sf)
The Class 1M-2A note holders can exchange their notes for the
following notes:
$199.8 million of Class 1E-A1 exchangeable notes, Definitive Rating
Assigned Ba2 (sf)
$199.8 million of Class 1A-I1 exchangeable notes, Definitive Rating
Assigned Ba2 (sf)
$199.8 million of Class 1E-A2 exchangeable notes, Definitive Rating
Assigned Ba2 (sf)
$199.8 million of Class 1A-I2 exchangeable notes, Definitive Rating
Assigned Ba2 (sf)
$199.8 million of Class 1E-A3 exchangeable notes, Definitive Rating
Assigned Ba2 (sf)
$199.8 million of Class 1A-I3 exchangeable notes, Definitive Rating
Assigned Ba2 (sf)
$199.8 million of Class 1E-A4 exchangeable notes, Definitive Rating
Assignedd Ba2 (sf)
$199.8 million of Class 1A-I4 exchangeable notes, Definitive Rating
Assigned 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, Definitive Rating
Assigned B1 (sf)
$203.8 million of Class 1B-I1 exchangeable notes, Definitive Rating
Assigned B1 (sf)
$203.8 million of Class 1E-B2 exchangeable notes, Definitive Rating
Assigned B1 (sf)
$203.8 million of Class 1B-I2 exchangeable notes, Definitive Rating
Assigned B1 (sf)
$203.8 million of Class 1E-B3 exchangeable notes, Definitive Rating
Assigned B1 (sf)
$203.8 million of Class 1B-I3 exchangeable notes, Definitive Rating
Assigned B1 (sf)
$203.8 million of Class 1E-B4 exchangeable notes, Definitive Rating
Assigned B1 (sf)
$203.8 million of Class 1B-I4 exchangeable notes, Definitive Rating
Assigned 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, Definitive Rating
Assigned 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, Definitive Rating
Assigned 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, Definitive Rating
Assigned 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, Definitive Rating
Assigned 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, Definitive Rating
Assigned 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, Definitive Rating
Assigned 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, Definitive Rating
Assigned 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, Definitive Rating
Assigned 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, Definitive Rating
Assigned 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.
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. Moody's arrived at these expected and Aaa losses using
Moody's MILAN model.
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).
Third-Party Reviw (TPR)
Independent third party due diligence providers performed a review
of a statistically valid, random and discretionary sample of loans
from Fannie Mae's eligible production for the period between July
and October 2016. All the loans reviewed by the diligence providers
received full credit and appraisal reviews (and a portion of which
received compliance reviews) as part of Fannie Mae's random QC
Process. For loans acquired during the third quarter of 2016, the
relevant diligence provider selected 999 loans (or 333 loans per
month) from a population of 3,299 loans, all of which met the
preliminary eligibility criteria. The diligence sample included 393
loans that were included in the final selection of the reference
pool. For loans acquired during the fourth quarter of 2016, the
relevant diligence provider selected 999 loans (or 333 loans per
month) from a population of 6,811 loans, which included loans that
did not meet the preliminary eligibility criteria. The diligence
sample included 17 loans that were included in the final selection
of the reference pool.
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.
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.
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 GSE's actual loss
severities.
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.
CREDIT SUISSE 1999-C1: Fitch Affirms D Rating on Class H Certs
--------------------------------------------------------------
Fitch Ratings has upgraded one and affirmed three classes of Credit
Suisse First Boston Mortgage Securities Corp., commercial mortgage
pass-through certificates, series 1999-C1 (CSFB 1999-C1).
KEY RATING DRIVERS
Defeasance: The upgrade of class G reflects the class being fully
covered by defeasance. The remaining two loans in the pool are
defeased, both with scheduled maturities in March 2019.
REO Asset Liquidation: Since Fitch's last rating action and in
September 2016, the IBM Corporate Center asset, a 129,293 square
foot office building in Parsippany, NJ, which became real estate
owned (REO) in August 2015, was liquidated at a slightly better
recovery than Fitch had previously modeled. At the last rating
action, Fitch was concerned about the possibility of losses and the
ultimate recovery of the REO asset given significant expenses
incurred and likely expenses required to implement the value-add
strategy.
As of the April 2017 distribution date, the pool's aggregate
principal balance has been reduced by 98.3% to $19.4 million from
$1.17 billion at issuance. There has been $90.2 million (7.7% of
the original pool balance) in realized losses to date. Interest
shortfalls are currently affecting classes H through O.
RATING SENSITIVITIES
The Stable Rating Outlook for class G was revised to Stable from
Negative as the class is covered by defeased collateral. The rating
on the class H, J and K certificates will remain at 'Dsf' due to
incurred losses.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch has upgraded and revised the Rating Outlook on the following
class:
-- $19 million class G to 'AAAsf' from 'BBsf'; Outlook to Stable
from Negative.
In addition, Fitch has affirmed the following classes:
-- S467,068 class H at 'Dsf'; RE 0%:
-- $0 class J at 'Dsf'; RE 0%:
-- $0 class K at 'Dsf'; RE 0%.
The class A-1, A-2, B, C, D, E and F certificates have paid in
full. Fitch does not rate the class L, M and O certificates. Fitch
previously withdrew the rating on the interest-only class A-X and N
certificates.
CRESTLINE DENALI XV: Moody's Rates Class E-2 Notes 'Ba3'
--------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Crestline Denali CLO XV, Ltd.
Moody's rating action is:
US$254,000,000 Class A Senior Secured Floating Rate Notes due 2030
(the "Class A Notes"), Definitive Rating Assigned Aaa (sf)
US$50,000,000 Class B Senior Secured Floating Rate Notes due 2030
(the "Class B Notes"), Definitive Rating Assigned Aa2 (sf)
US$24,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class C Notes"), Definitive Rating Assigned A2 (sf)
US$22,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class D Notes"), Definitive Rating Assigned Baa3
(sf)
US$16,000 000 Class E-1 Secured Deferrable Floating Rate Notes due
2030 (the "Class E-1 Notes"), Definitive Rating Assigned Ba2 (sf)
US$6,000 000 Class E-2 Secured Deferrable Floating Rate Notes due
2030 (the "Class E-2 Notes"), Definitive Rating Assigned Ba3 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes, the Class E1 Notes and the Class E2 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.
Crestline Denali XV is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated first lien
senior secured corporate loans. At least 92.5% of the portfolio
must consist of senior secured loans, cash, and eligible
investments, and up to 7.5% of the portfolio may consist of
first-lien last-out loans, second lien loans and unsecured loans.
The portfolio is approximately 80% ramped as of the closing date.
Crestline Denali Capital, L.P. (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 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: $400,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2778
Weighted Average Spread (WAS): 3.5%
Weighted Average Coupon (WAC): 7.0%
Weighted Average Recovery Rate (WARR): 49.25%
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 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 2778 to 3195)
Rating Impact in Rating Notches
Class A Notes: 0
Class B Notes: -1
Class C Notes: -2
Class D Notes: -1
Class E-1 Notes: -1
Class E-2 Notes: -1
Percentage Change in WARF -- increase of 30% (from 2778 to 3611)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -3
Class C Notes: -3
Class D Notes: -2
Class E-1 Notes: -2
Class E-2 Notes: -3
CSMC TRUST 2017-LSTK: Moody's Gives (P)B1 Rating to Cl. HRR Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to eight
classes of CMBS securities, issued by CSMC Trust 2017-LSTK,
Commercial Mortgage Pass-Through Certificates, Series 2017-LSTK:
Cl. A, Assigned (P)Aaa (sf)
Cl. B, Assigned (P)Aa3 (sf)
Cl. C, Assigned (P)A3 (sf)
Cl. D, Assigned (P)Baa3 (sf)
Cl. E, Assigned (P)Ba2 (sf)
Cl. HRR, Assigned (P)B1 (sf)
Cl. XA-CP*, Assigned (P)Aaa (sf)
Cl. XB-CP*, Assigned (P)A2 (sf)
* Reflects interest-only class
RATINGS RATIONALE
The CSMC Trust 2017-LSTK is a securitization backed by a single
loan secured by the borrower's fee simple and leasehold interests
in land parcels beneath 885 Third Avenue in New York, NY, also
known as "The Lipstick Building". Fee simple collateral includes
Lot B, which is a 20,608 SF parcel that accounts for approximately
78.9% of the acreage. Leasehold collateral includes Lot A, which is
a 5,500 SF parcel that accounts for the remaining 21.1% of the
acreage. Lot A is a "sandwich" ground lease where the borrower is
both the lessee of the owner of the land and the lessor of the
owner of the improvements.
Moody's assigned ratings for the securities by comparing the credit
risk inherent in the 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. Our analysis uses our large loan and
single-asset/single-borrower CMBS methodology. See Moody's Approach
to Rating Large Loan and Single Asset/Single Borrower CMBS, 30
October 2015.
The Lipstick Building itself does not serve as collateral for the
mortgage loan; however, among our analytical scenarios, Moody's
considered a "look-through" to the value of the non-collateral
improvements in which the lessee defaulted on their ground lease
payment obligations and ownership of the improvements passed to the
borrower. In this scenario, our stressed value for the resulting
fee simple property is well below the current market value of the
collateral ground leases that are performing.
The credit risk of commercial real estate loans is determined
primarily by two factors: 1) the probability of default, which is
largely driven by the DSCR, and 2) and 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 $272,000,000 represents a Moody's LTV
of 99.4%. The Moody's First Mortgage Actual DSCR is 1.94X and
Moody's First Mortgage Actual Stressed DSCR is 0.70X.
Notable strengths of the transaction include: priority of ground
lease payment; quality of non-collateral improvements; strong
occupancy/tenancy; New York City office market; debt service
coverage ratio; and quality of both the ground lessor and lessee
sponsorship.
Notable credit challenges of the transaction include: lack of
diversity for this single asset transaction; high expense of the
ground lease payments; single tenant risk and tenant rollover;
anticipated new supply in New York City Class A office market; no
amortization from loan; encumbrance of debt-like preferred equity;
and missing legal protections at the loan level.
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 Classes XA-CP and
XB-CP was "Moody's Approach to Rating Structured Finance
Interest-Only Securities" published in October 2015.
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 our 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 analysis also uses the CMBS IO calculator which references
the following inputs to calculate the proposed IO rating based on
the published methodology: original and current bond ratings and
credit estimates; original and current bond balances grossed up for
losses for all bonds the IO(s) reference(s) within the transaction;
and IO type corresponding to an IO type as defined in the published
methodology.
Moody's Parameter Sensitivities: If Moody's value of the collateral
used in determining the initial rating were decreased by 5%, 10%
and the cap rate increased by 0.5%, and 15% and the cap rate
increased by 1.0%: the model-indicated rating for the currently
rated (P)Aaa (sf) classes would be (P)Aa1 (sf), (P)Aa3 (sf), and
(P)A3 (sf), respectively; the model-indicated rating for the
currently rated (P)Aa3 (sf) classes would be (P)A1 (sf), (P)A3
(sf), and (P)Baa3 (sf), respectively; the model-indicated rating
for the currently rated (P)A3 (sf) classes would be (P)Baa1 (sf),
(P)Baa3 (sf), and (P)Ba2 (sf), respectively; the model-indicated
rating for the currently rated (P)Baa3 (sf) classes would be (P)Ba1
(sf), (P)Ba3 (sf), and (P)B1 (sf), respectively; the
model-indicated rating for the currently rated (P)Ba2 (sf) classes
would be (P)Ba3 (sf), (P)B1 (sf), and (P)B3 (sf), respectively; and
the model-indicated rating for the currently rated (P)B1 (sf)
classes would be (P)B2 (sf), (P)Caa1 (sf), and (P)Caa2 (sf),
respectively. 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; (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 pay downs 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 overall performance
and Property income, increased expected losses from a specially
serviced and troubled loan 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.
FLATIRON CLO 17: Moody's Rates Class E Notes 'Ba3(sf)'
------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Flatiron CLO 17 Ltd.
Moody's rating action is:
US$256,000,000 Class A Senior Secured Floating Rate Notes due 2030
(the "Class A Notes"), Definitive Rating Assigned Aaa (sf)
US$46,000,000 Class B Senior Secured Floating Rate Notes due 2030
(the "Class B Notes"), Definitive Rating Assigned Aa2 (sf)
US$24,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class C Notes"), Definitive Rating Assigned A2 (sf)
US$24,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class D Notes"), Definitive Rating Assigned Baa3
(sf)
US$18,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class E Notes"), Definitive Rating Assigned Ba3
(sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes and the Class E Notes are referred to herein, collectively,
as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
Flatiron CLO 17 is a managed cash flow CLO. The issued notes will
be collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90% of the portfolio must consist
of senior secured loans, cash, and eligible investments, and up to
10% of the portfolio may consist of second lien loans and unsecured
loans. The portfolio is approximately 84% ramped as of the closing
date.
NYL Investors LLC (the "Manager"), will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's 5 year reinvestment period.
Thereafter, the Manager may reinvest unscheduled principal payments
and proceeds from sales of credit risk assets, subject to certain
restrictions.
In addition to the Rated Notes, the Issuer issued 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: 55
Weighted Average Rating Factor (WARF): 2825
Weighted Average Spread (WAS): 3.60%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 47.5%
Weighted Average Life (WAL): 9.0 years.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
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 2825 to 3249)
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 2825 to 3673)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -3
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
FLATIRON CLO 2007-1: Moody's Affirms Ba3(sf) Rating on Cl. E Notes
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Flatiron CLO 2007-1 Ltd.
US$14,000,000 Class C Deferrable Mezzanine Term Notes Due 2021,
Upgraded to Aaa (sf); previously on November 21, 2016 Upgraded to
Aa2 (sf)
US$15,000,000 Class D Deferrable Mezzanine Term Notes Due 2021,
Upgraded to A2 (sf); previously on November 21, 2016 Upgraded to
Baa2 (sf)
Moody's also affirmed the ratings on the following notes:
US$25,400,000 Class A-1b Senior Term Notes Due 2021 (current
balance of $3,900,020.79), Affirmed Aaa (sf); previously on
November 21, 2016 Affirmed Aaa (sf)
US$29,000,000 Class B Senior Term Notes Due 2021, Affirmed Aaa
(sf); previously on November 21, 2016 Affirmed Aaa (sf)
US$11,500,000 Class E Deferrable Junior Term Notes Due 2021,
Affirmed Ba3 (sf); previously on November 21, 2016 Affirmed Ba3
(sf)
Flatiron CLO 2007-1 Ltd., issued in August 2007, is a
collateralized loan obligation (CLO) backed primarily by a
portfolio of senior secured loans. The transaction's reinvestment
period ended in October 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 November 2016. The Class
A-1a notes have completely paid down and the Class A-1b notes have
been paid down by approximately 85% or $21.5 million since then.
Based on Moody's calculation, the OC ratios for the Class B, Class
C, Class D and Class E notes are currently 254.90%, 178.81%,
135.48% and 114.25%, respectively, versus November 2016 levels of
145.31%, 129.39%, 115.80% and 107.17%, respectively.
Nevertheless, the credit quality of the portfolio has significantly
deteriorated since November 2016. Based on Moody's calculation, the
weighted average rating factor (WARF) is currently 3668 compared to
2821 in November 2016. Additionally, based on Moody's calculation,
assets rated Caa1 or below, which includes assets rated B3 with a
negative outlook, and rated B2 or B3 on review for possible
downgrade, have increased to 34.8% from 18.6%.
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) Long-dated assets: The presence of assets that mature after the
CLO's legal maturity date exposes the deal to liquidation risk on
those assets. This risk is borne first by investors with the lowest
priority in the capital structure. Moody's assumes that the
terminal value of an asset upon liquidation at maturity will be
equal to the lower of an assumed liquidation value (depending on
the extent to which the asset's maturity lags that of the
liabilities) or the asset's current market value.
7) 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 $1.0 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% (2934)
Class A-1b: 0
Class B: 0
Class C: 0
Class D: +2
Class E: +1
Moody's Adjusted WARF + 20% (4402)
Class A-1b: 0
Class B: 0
Class C: 0
Class D: -1
Class E: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analyzed the collateral pool as having a performing par and
principal proceeds balance of $82.2 million, defaulted par of $3.2
million, a weighted average default probability of 22.92% (implying
a WARF of 3668), a weighted average recovery rate upon default of
51.44%, a diversity score of 26 and a weighted average spread of
3.15% (before accounting for LIBOR floors).
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of the
assets in the collateral pool. In each case, historical and market
performance and the collateral manager's latitude for trading the
collateral are also factors.
FREDDIE MAC SCRT 2017-1: Moody's Rates Cl. M-1 Debt Ba3
-------------------------------------------------------
Moody's Investors Service has assigned definitive 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, Definitive Rating Assigned 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 Moody's base case scenario. 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 estimates losses on the pool by
applying Moody's assumptions on expected future delinquencies,
default rates, loss severities and prepayments as observed from
Moody's surveillance of similar collateral as well as from the
Freddie Mac Single Family Loan-Level dataset. In applying Moody's
loss severity assumptions, Moody's accounted for the lack of
principal and interest advancing in this transaction.
In the loan level analysis, Moody's 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. Moody's 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, 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.
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 this rating 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. Moody's 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 ("CMA") for 13 properties. Updated property values
obtained through an AVM may not reflect accurate values of the
properties. In assessing the updated property values, Moody's
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, Moody's expects a large percentage of the
amounts to be recovered. However, based on performance data and
information from servicers, Moody's applied a default rate slightly
higher than what Moody's assumed for the overall pool given that
these borrowers have experienced past credit events that required
loan modification. Moody's 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). Moody's considers 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, Moody's has not made any
additional adjustment to Moody's 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. Moody's 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
Moody's 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 Moody's considered this risk in Moody's
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. Moody's ran 96 different loss and prepayment scenarios
through Moody's cash flow model to assess the rating implications
of Moody's 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 rating:
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.
FREMF 2011-K704: Moody's Affirms Ba3 Rating on Class X2 Certs
-------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one CMBS class
and affirmed the ratings on three CMBS classes in Multifamily
Mortgage Pass-Through Certificates, Series 2011-K704 issued by the
FREMF 2011-K704 Mortgage Trust and affirmed two Structured
Pass-Through Certificates ("SPC"), Series K-704 issued by Freddie
Mac as follows:
CMBS Classes:
Cl. A-2, Affirmed Aaa (sf); previously on May 26, 2016 Affirmed Aaa
(sf)
Cl. B, Upgraded to A2 (sf); previously on May 26, 2016 Affirmed
Baa1 (sf)
Cl. X1, Affirmed Aaa (sf); previously on May 26, 2016 Affirmed Aaa
(sf)
Cl. X2, Affirmed Ba3 (sf); previously on May 26, 2016 Affirmed Ba3
(sf)
SPC Classes*:
Cl. A-2, Affirmed Aaa (sf); previously on May 26, 2016 Affirmed Aaa
(sf)
Cl. X1, Affirmed Aaa (sf); previously on May 26, 2016 Affirmed Aaa
(sf)
* Each of the Structured Pass-Through Certificates (SPCs) from FHMS
K704 represents a pass-through interest in its associated
underlying CMBS Class. SPC Class A-2 represents a pass-through
interest in underlying CMBS Class A-2, SPC Class X1 represents a
pass-through interest in underlying CMBS Class X1.
RATINGS RATIONALE
The rating on Class B was upgraded due to an increase in defesance
and Moody's expectation of additional increases in credit support
resulting from the payoff of loans approaching maturity that are
well positioned for refinance. Defeasance has increased to
approximately 38% of the current pool balance from 25% at the last
review and loans constituting 69% of the pool that have either
defeased or have debt yields exceeding 10% are scheduled to mature
within the next 18 months.
The rating on Class A-2 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 IO Classes X1 and X2 were affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of their referenced classes.
The ratings on the SPC Classes were affirmed because the ratings
are consistent with the associated underlying CMBS classes.
Moody's rating action reflects a base expected loss of 2.1% of the
current balance, compared to 3.1% at Moody's last review. Moody's
base expected loss plus realized losses is now 1.9% of the original
pooled balance, compared to 2.9% at Moody's last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Approach to
Rating US and Canadian Conduit/Fusion CMBS" published in December
2014.
The methodology used in rating the two Structured Pass-through
Certificates (SPCs) was "Moody's Approach to Rating Repackaged
Securities" published in June 2015.
Additionally, the methodology used in rating Cl. X1 and Cl. X2 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 FREMF 2011-K704.
On May 3, 2017, Moody's released a "Request for Comment" asking for
market feedback on proposed limited changes to our "Approach to
Rating US and Canadian Conduit/Fusion CMBS" dated December 10,
2014. If Moody's adopts the new methodology as proposed, the
changes could affect the ratings of FREMF 2011-K704.
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 25, compared to 32 at Moody's last review.
DEAL PERFORMANCE
As of the April 25, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 8.2% to $1.10
billion from $1.20 billion at securitization. The certificates are
collateralized by 63 mortgage loans ranging in size from less than
1% to 6.3% of the pool, with the top ten loans constituting 32% of
the pool. Twenty-eight loans, constituting 38% of the pool, have
defeased and are secured by US government securities.
There are no loans on the master servicer's watchlist. The
watchlist includes loans that meet certain portfolio review
guidelines established as part of the CRE Finance Council (CREFC)
monthly reporting package. As part of Moody's ongoing monitoring of
a transaction, the agency reviews the watchlist to assess which
loans have material issues that could affect performance.
One loan has been liquidated from the pool with a minimal loss and
no loans are currently in special servicing.
Moody's received full year 2015 operating results for 100% of the
pool and full or partial year 2016 operating results for 94% of the
pool. Moody's weighted average conduit LTV is 94%, 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 14% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 8.7%.
Moody's actual and stressed conduit DSCRs are 1.44X and 1.04X,
respectively, compared to 1.49X and 1.03X 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 13% of the pool balance. The
largest loan is the Rosslyn Heights Loan ($69.5 million -- 6.3% of
the pool), which is secured by a 366-unit multifamily property
consisting of four, six-story apartment buildings and one clubhouse
located in Arlington, Virginia. The property is in close proximity
to the central business district (CBD) of Washington, D.C., three
blocks east of the Rosslyn Metro Station and walking distance to
the Key Bridge. Complex amenities include two pools, a fitness
center, BBQ/ picnic area and garage parking. The property was 96%
occupied as of December 2016 compared to 93% in September 2015 and
90% at year-end 2014. Moody's LTV and stressed DSCR are 95% and
0.91X, respectively, compared to 99% and 0.87X at the last review.
The second largest loan is the Highlands of West Village Loan
($38.9 million -- 3.5% of the pool), which is secured by a 292-unit
multifamily property located in Smyrna, Georgia, about seven miles
northwest of Atlanta's CBD. The improvements consist of nine three
and four story apartment buildings and three parking decks. The
property has cycled through several management companies over the
past few years and is now managed by MAA, a Memphis, Tennessee
based real estate investment trust. The property was 97% occupied
as of December 2016 compared to 95% in March 2016 and 93% at
year-end 2015. Moody's LTV and stressed DSCR are 99% and 0.93X,
respectively.
The third largest loan is the Reserve At Town Center Loan ($37.2
million -- 3.4% of the pool), which is secured by a 290-unit,
garden-style apartment complex located in Potomac Falls, Virginia.
Located nine miles north of Washington Dulles International
Airport, the improvements consist of nine three and four-story
apartment buildings, five garage buildings and a leasing office/
clubhouse building. The property was 95% occupied as of December
2016 compared to 97% in September 2015 and 95% at year-end 2014.
Moody's LTV and stressed DSCR are 102% and 0.90X, respectively,
compared to 108% and 0.85X at the last review.
GE COMMERCIAL 2005-C3: Fitch Affirms 'Csf' Rating on Class J Certs
------------------------------------------------------------------
Fitch Ratings affirms the remaining distressed classes of GE
Commercial Mortgage Corporation, series 2005-C3 commercial mortgage
pass-through certificates.
KEY RATING DRIVERS
High Expected Losses: The two remaining loans are both in special
servicing. The distressed ratings reflect the expectation of losses
upon final disposition.
As of the May 15, 2017 distribution date, the transaction has paid
down 99% since issuance, to $15.7 million from $2.1 billion at
issuance.
Principal and Interest Shortfalls: As of the May 2017 distribution
date, the month's net appraisal subordinate entitlement reduction
(ASER), as a result of appraisal reductions, was approximately
$49.8 thousand. Combined with approximately $4 thousand in
additional fees and expenses, the trust does not receive enough
funds to pay each bond in full. Full interest and principal was not
paid to class J. The monthly interest shortfall was approximately
$4.6 thousand and the principal shortfall was the full amount due
of $33.5 thousand. Class K receives neither principal nor interest
and has already incurred realized losses. Recovery of the principal
shortfalls on class J is possible when disposition proceeds are
received.
Two Remaining Specially Serviced Loans: The largest specially
serviced loan is Shaw's Marketplace (68.6%), a retail property
categorized as 'Performing Matured'. Per servicer reporting, the
property may be listed for sale soon. The second specially serviced
loan is Tinley Crossing - 8151 W. 183rd, an office property located
in Tinley Park, IL and categorized as 'Foreclosure' (31.4%). The
foreclosure sale is set for mid-year 2017.
RATING SENSITIVITIES
The rating of class J will remain at 'C' until losses are realized
at which time the rating will be lowered to 'D'. The 'C' rating
reflects Fitch's expectation that realized losses will be incurred.
Class K has previously incurred principal losses and will remain at
'D' until withdrawn.
DUE DILIGENCE USAGE
No due diligence was provided or reviewed in relation to this
rating action.
Fitch affirms the following class:
-- $12.4 million class J at 'Csf'; RE 20%.
Classes A-1, A-2, A-3FX, A-3FL, A-4, A-5, A-6, A-AB, A-1A, A-7A,
A-7B and classes B through H have paid in full. Classes K, L, M, N
and O are affirmed at 'Dsf' RE0%, and have either incurred realized
losses or been reduced to zero due to realized losses. Classes P
and Q, also reduced to zero due to realized losses, are not rated
by Fitch. Fitch previously withdrew the ratings on the interest
only classes X-C and X-P.
GRACE MORTGAGE 2014-GRCE: Fitch Affirms Bsf Rating on Cl. G Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed all classes of GRACE 2014-GRCE Mortgage
Trust, commercial mortgage pass-through certificates.
KEY RATING DRIVERS
The affirmations reflect property performance remaining consistent
with expectations at issuance. The servicer-reported year-end (YE)
2016 debt service coverage ratio, on a net cash flow basis, was
2.07x, compared to 2.15x in 2015 and 1.69x in 2014.
Trophy Office Collateral in Prime Manhattan Location: The Grace
Building is a well-known, 1.5 million square foot, class A office
tower with an iconic design located on Bryant Park, a desirable
Manhattan location.
Occupancy Declines: As of the March 2017 rent roll, the property
was 85% occupied, down from 86.9% at Fitch's last rating action,
93% at YE 2015 and 90% at YE 2014. The Interpublic Group (6.3% of
net rentable area [NRA]) vacated at its February 2016 lease
expiration and Sybase Inc. (2%) vacated at its October 2016 lease
expiration. Given the strong property location and high overall
submarket occupancy, Fitch expects the property will be able to
re-tenant its vacancies.
Credit Tenancy: Five tenants accounting for approximately 27% of
the NRA are investment-grade rated, including the largest tenant
Home Box Office (HBO; 22.5% of NRA; guaranteed by Time Warner Inc.,
rated 'BBB+' by Fitch Ratings).
Rollover Risk: Approximately 45% of the NRA rolls during the
remainder of the loan term. Fitch considers there an increased
probability that the HBO will vacate their space when their lease
expires in December 2018 as part of Time Warner moving to Hudson
Yards. The loan is structured with a hard lockbox and low DSCR cash
flow sweep upon a DSCR of less than 1.30x. Fitch will continue to
monitor the tenancy and leasing at the property.
Institutional Sponsorship: The loan is sponsored by an affiliate of
Trizec Properties, Inc. (controlled by a partnership of Brookfield
Office Properties Inc.) and an affiliate of The Swig Company, LLC,
who originally developed the property in 1971.
Interest Only: The seven-year loan (maturing in June 2021) is
interest-only for the entire loan term at a fixed rate of 3.61%.
RATING SENSITIVITIES
The Rating Outlook for all classes remains Stable. No rating
actions are expected unless there are material changes in property
occupancy or cash flow. This transaction is secured by a single
asset and is more susceptible to single event risk related to the
market, sponsor, or the largest tenants occupying the property.
DUE DILIGENCE USAGE 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:
-- $520,598,000 class A at 'AAAsf'; Outlook Stable;
-- $74,078,000 class B at 'AA-sf'; Outlook Stable;
-- $594,676,000* class X-A at 'AA-sf'; Outlook Stable;
-- $51,324,000 class C at 'A-sf'; Outlook Stable;
-- $18,000,000 class D at 'A-sf'; Outlook Stable;
-- $96,000,000 class E at 'BBB-sf'; Outlook Stable;
-- $115,000,000 class F at 'BB-sf'; Outlook Stable;
-- $25,000,000 class G at 'Bsf'; Outlook Stable.
*Interest-only class X-A is equal to the notional balance of class
A and class B.
GS MORTGAGE 2016-GS2: Fitch Affirms B-sf Rating on Class F Certs
----------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of GS Mortgage Securities
Trust 2016-GS2 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 0.2% to $749.2 million from $750.6 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.
High Retail Concentration: Loans backed by retail properties
represent 44% of the pool, including seven within the top 15. None
of the loans have exposure to enclosed regional malls. The largest
loan in pool, Twenty Ninth Street, is a lifestyle center that was
converted from a regional mall and has exposure to Macy's (21% of
NRA).
Interest-Only Loans: 17 loans that make up 62.6% of the pool are
full interest-only. This is higher than the average of 23.3% for
2015 and 33.3% for 2016 in other Fitch-rated U.S. multiborrower
deals. In addition, 14 loans which comprised 23.4% of the pool are
partial interest-only; this share is lower than the average of
43.1% for 2015 and 33.3% for 2016 of the other Fitch-rated U.S.
multiborrower deals. Overall, the pool is scheduled to pay down by
5.08%, compared with the averages of 11.7% for 2015 and 10.4% for
2016 for the other Fitch-rated U.S. deals.
Above-Average Pool Concentration: The top 10 loans make up 62.7% of
the pool, which is above the 2016 average of 54.8% for other
Fitch-rated fixed-rate multiborrower transactions. The pool's loan
concentration index (LCI) of 539 is above the 2016 average of 422.
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 has affirmed the following classes:
-- $10.3 class A-1 at 'AAAsf'; Outlook Stable;
-- $137.6 class A-2 at 'AAAsf'; Outlook Stable;
-- $165 class A-3 at 'AAAsf'; Outlook Stable;
-- $188 class A-4 at 'AAAsf'; Outlook Stable;
-- $23.2 class A-AB at 'AAAsf'; Outlook Stable;
-- $569b class X-A at 'AAAsf'; Outlook Stable;
-- $42.2b class X-B at 'AA-sf'; Outlook Stable;
-- $45c class A-S at 'AAAsf'; Outlook Stable;
-- $42.2c class B at 'AA-sf'; Outlook Stable;
-- $122.9c class PEZ at 'A-sf'; Outlook Stable;
-- $35.7c class C at 'A-sf'; Outlook Stable;
-- $42.2a class D at 'BBB-sf'; Outlook Stable;
-- $42.2ab class X-D at 'BBB-sf'; Outlook Stable;
-- $20.6a class E at 'BB-sf'; Outlook Stable;
-- $7.5a class F at 'B-sf'; Outlook Stable.
a Privately placed and pursuant to rule 144A.
b Notional amount and interest only.
c The class A-S, class B, and class C certificates may be exchanged
for class PEZ certificates, and class PEZ certificates may be
exchanged for the class A-S, class B, and class C certificates.
GUGGENHEIM PRIVATE: Fitch Hikes Ratings on 5 Tranches to 'BBsf'
---------------------------------------------------------------
Fitch Ratings has upgraded 15 classes of notes issued by Guggenheim
Private Debt Fund Note Issuer, LLC (Guggenheim PDFNI).
KEY RATING DRIVERS
The upgrades are the result of increased credit enhancement levels
due to significant amortization of the capital structure and the
cushions available in Fitch's cash flow analysis of the current
portfolio and sensitivity scenario. The transaction had exited its
reinvestment period in July 2016 and $547.65 million of the class A
note series paid in full by the Jan. 2017 payment date.
Approximately 44% of the class B note series had been redeemed on
the April 2017 payment date, and approximately $50.7 million of the
class series remains outstanding.
The performing portfolio from the April 2017 trustee report
consisted of 20 obligors, totalling $583 million in par (excluding
PIK loan balances), down from 49 performing obligors totalling
$1.10 billion at the last review (May 2016). Two issuers were
reported as defaulted, unchanged from last review, and had a $77.3
million notional balance (including PIK loan balances).
Approximately 99.8% of the performing portfolio is composed of
private debt investments (PDIs), with a weighted average rating of
'B-', based on Fitch's Issuer Default Rating (IDR) Equivalency Map.
In addition, approximately 20.1% of the portfolio has strong
recovery prospects or a Fitch assigned Recovery Rating of 'RR2' or
higher, versus 64.1% at the last review. The transaction continued
to generate a significant amount of excess spread, with the
weighted average spread (WAS) reported at 9.21%, relative to the
trigger level of 4.25%.
This review was conducted under the framework described in the
report 'Global Rating Criteria for CLOs and Corporate CDOs' using
the Portfolio Credit Model (PCM) for projecting future default and
recovery levels for the underlying portfolio. These default and
recovery levels were then utilized in Fitch's cash flow model under
various default timing and interest rate stress scenarios. The cash
flow model was customized to reflect the CLO's structural
features.
Fitch's cash flow analysis of the current portfolio shows that the
class B notes series pass at their current ratings, while the class
C and D notes series pass above their current respective ratings.
However, an additional sensitivity scenario was analyzed to address
the concentration risks of the amortizing portfolio, as described
below. The Stable Outlooks on all the notes reflect the notes'
robust cushions available to withstand future potential
deterioration in the underlying portfolio.
RATING SENSITIVITIES
The ratings of the notes may be sensitive to the following: asset
defaults, significant negative credit migration, and lower than
historically observed recoveries for defaulted assets.
Fitch also analyzed a sensitivity scenario that increased
correlation for obligors larger than 3.5% of the total portfolio
notional amount. As a result, the stress was applied to 11
obligors, or approximately 83% of the portfolio. The class C and D
notes series were able to pass within their current rating
categories under the sensitivity scenario. The class B notes passed
the 'AAAsf' rating stress in eight of the nine cash flow scenarios
and at the 'AA+sf' rating stress in the remaining scenario. Fitch
considered the failure to pass the 'AAAsf' hurdle rate in the
scenario to be marginal and believed that the class B note series
had sufficient collateral coverage from expected prepayment
proceeds, given its senior position in the capital structure.
Guggenheim PDFNI (the issuer) is a collateralized loan obligation
(CLO) transaction that closed in July 2012 and is managed by
Guggenheim Partners Investment Management, LLC (GPIM). The
transaction had issued multiple series of notes on the first,
second, third, fourth and fifth funding dates in July 2012, October
2012, March 2013, April 2014 and May 2014, respectively. All notes
from each series are cross-collateralized by the portfolio of PDIs
and broadly syndicated loans (where applicable).
DUE DILIGENCE USAGE
No third-party due diligence was reviewed in relation to this
rating action.
Fitch has upgraded the following ratings:
-- $27,091,666 class B notes, series B-1, to 'AAAsf' from
'BBBsf''; Outlook Stable;
-- $4,167,947 class B notes, series B-2, to 'AAAsf' from
'BBBsf''; Outlook Stable;
-- $8,419,264 class B notes, series B-3, to 'AAAsf' from
'BBBsf''; Outlook Stable;
-- $7,169,604 class B notes, series B-4, to 'AAAsf' from
'BBBsf''; Outlook Stable;
-- $3,875,462 class B notes, series B-5, to 'AAAsf' from
'BBBsf''; Outlook Stable;
-- $60,124,994 class C notes, series C-1, to 'BBBsf' from 'BBsf',
Outlook Stable;
-- $9,249,995 class C notes, series C-2, to 'BBBsf' from 'BBsf',
Outlook Stable;
-- $18,685,011 class C notes, series C-3, to 'BBBsf' from 'BBsf',
Outlook Stable;
-- $15,911,623 class C notes, series C-4, to 'BBBsf' from 'BBsf',
Outlook Stable;
-- $8,600,877 class C notes, series C-5, to 'BBBsf' from 'BBsf',
Outlook Stable;
-- $40,624,994 class D notes, series D-1, to 'BBsf' from 'Bsf',
Outlook Stable;
-- $6,249,996 class D notes, series D-2, to 'BBsf' from 'Bsf',
Outlook Stable;
-- $12,625,010 class D notes, series D-3, to 'BBsf' from 'Bsf',
Outlook Stable;
-- $10,751,096 class D notes, series D-4, to 'BBsf' from 'Bsf',
Outlook Stable;
-- $5,811,404 class D notes, series D-5, to 'BBsf' from 'Bsf',
Outlook Stable.
Fitch does not rate the class E1 notes (series E1-1, E1-2, E1-3,
E1-4, E1-5), E2 notes (series E2-1, E2-2, E2-3, E2-4, E2-5) and the
limited liability company (LLC) membership interests (series 1, 2,
3, 4, 5).
HALCYON LTD 2005-2: Moody's Affirms C Rating on Class C Debt
------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on the following
classes of notes issued by Halcyon 2005-2, Ltd.:
Cl. A, Affirmed Caa3 (sf); previously on Jun 30, 2016 Affirmed
Caa3 (sf)
Cl. B, Affirmed Ca (sf); previously on Jun 30, 2016 Affirmed
Ca (sf)
Cl. C, Affirmed C (sf); previously on Jun 30, 2016 Downgraded to
C (sf)
RATINGS RATIONALE
Moody's has affirmed the ratings of the notes because its key
transaction metrics are commensurate with existing ratings. The
rating action is the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation (CRE CDO
Synthetic) transactions.
Halcyon 2005-2, Ltd. is a static synthetic transaction backed by a
portfolio of credit default swaps referencing 100% commercial
mortgage backed securities (CMBS). The CMBS reference obligations
were securitized in 2005 and 2006. As of the March 27, 2017 trustee
report, the aggregate issued balance of the transaction has
decreased to EUR $64.2 million and USD $2.1 million, from EUR $64.2
million and USD $15.7 million at issuance. The decrease in the
balance of the Class C is a result of the write-downs from the
reference obligation.
Moody's has identified the following as key indicators of the
expected loss in CRE CDO transactions: the weighted average rating
factor (WARF), the weighted average life (WAL), the weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
Moody's typically models these as actual parameters for static
deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has updated its assessments for the reference obligations
it does not rate. The rating agency modeled a bottom-dollar WARF of
6157, compared to 4235 at last review. The current ratings on the
Moody's-rated reference obligations and the assessments of the
non-Moody's rated reference obligations follow: Aaa-Aa3 (0.0%
compared to 3.9% at last review); A1-A3 (0.0%, the same as that at
last review); Baa1-Baa3 (13.8% compared to 16.3% at last review);
Ba1-Ba3 (0.0% compared to 19.9% at last review); B1-B3 (17.0%
compared to 11.5% at last review); and Caa1-Ca/C (69.2% compared to
48.5% at last review).
Moody's modeled a WAL of 1.3 years, compared to 0.5 years at last
review. The WAL is based on extension assumptions about the
look-through loans within the underlying reference obligations.
Moody's modeled a fixed WARR of 3.1%, compared to 5.9% at last
review.
Moody's modeled a MAC of 0.0%, compared to 13.2% at last review.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating SF CDOs" published in October 2016.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance of the notes is subject to uncertainty, because it
is sensitive to the performance of the underlying portfolio, which
in turn depends on economic and credit conditions that are subject
to change. The servicing decisions of the master and special
servicer and surveillance by the operating advisor with respect to
the collateral interests and oversight of the transaction will also
affect the performance of the rated notes.
Moody's Parameter Sensitivities: Changes to any one or more of the
key parameters could have rating implications for the rated notes,
although a change in one key parameter assumption could be offset
by a change in one or more of the other key parameter assumptions.
The rated notes are particularly sensitive to changes in the
ratings of the underlying reference obligations and credit
assessments. Holding all other parameters constant, notching down
100% of the reference obligation pool by -1 notch would result in
an average modeled rating movement on the rated notes of zero
notches downward (e.g., one notch down implies a ratings movement
of Baa3 to Ba1). Notching up 100% of the reference obligation pool
by +1 notch would result in an average modeled rating movement on
the rated notes of zero notches upward (e.g., one notch up implies
a ratings movement of Baa3 to Baa2).
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment given the
weak recovery and certain commercial real estate property markets.
Commercial real estate property values continue to improve
modestly, along with a rise in investment activity and
stabilization in core property type performance. Limited new
construction and moderate job growth have aided this improvement.
However, sustained growth will not be possible until investment
increases steadily for a significant period, non-performing
properties are cleared from the pipeline and fears of a euro area
recession abate.
HERTZ VEHICLE II: 2017-A Debt Issue No Impact on Moody's Ratings
----------------------------------------------------------------
Moody's Investors Service announced that the issuance of the Series
2017-A VFN (not rated by Moody's) would not, in and of itself and
as of this time, result in the downgrade, the placement on review
for possible downgrade or withdrawal of the ratings currently
assigned to any outstanding series of notes issued by Hertz Vehicle
Financing II (HVF II; unrated), a wholly-owned subsidiary of The
Hertz Corporation (Hertz; B1 negative).
Moody's rates the following transactions of the Issuer: the Series
2015-1 Notes, the Series 2015-2 Notes, the Series 2015-3 Notes, the
Series 2016-1 Notes, the Series 2016-2 Notes, the Series 2016-3
Notes and the Series 2016-4 Notes (collectively the Rated Notes).
Moody's has determined that the issuance, in and of itself and at
this time, will not result in the downgrade, the placement on
review for possible downgrade or withdrawal of the ratings
currently assigned to the Rated Notes. However, Moody's opinion
addresses only the credit impact associated with the issuance, and
Moody's is not expressing any opinion as to whether the issuance
has, or could have, other non-credit related effects that may have
a detrimental impact on the interests of note holders and/or
counterparties.
HOSPITALITY 2017-HIT: S&P Assigns Prelim. B- Rating on Cl. F Certs
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Hospitality
2017-HIT Mortgage Trust's $805.0 million commercial mortgage
pass-through certificates.
The note issuance is a commercial mortgage-backed securities
transaction backed by one two-year, floating-rate commercial
mortgage loan with three one-year extension options totaling $805.0
million, secured by a first-lien mortgage on the borrowers' fee
simple and leasehold interests in 87 hotel properties.
The preliminary ratings are based on information as of May 8, 2017.
Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of the collateral's
historical and projected performance, the sponsor's and managers'
experience, the trustee-provided liquidity, the loan's terms, and
the transaction's structure.
PRELIMINARY RATINGS ASSIGNED
Hospitality 2017-HIT Mortgage Trust
Class Rating( Amount ($)
A AAA (sf) 252,905,000
X-CP(ii) BBB- (sf) 197,828,000(ii)
X-EXT(ii) BBB- (sf) 247,285,000(ii)
B AA- (sf) 90,725,000
C A- (sf) 67,441,000
D BBB- (sf) 89,119,000
E BB- (sf) 140,503,000
F B- (sf 124,057,000
VRR interest(iii) NR 40,250,000
(i)The issuer will issue the certificates to qualified
institutional buyers in line with Rule 144A of the Securities Act
of 1933.
(ii)Notional balance. The notional amount of the class X-CP
certificates will be equal to the sum of the portion balances of
the class B-2 portion, class C-2 portion, and class D-2 portion, of
the class B, class C, and class D certificates respectively. The
notional amount of the class X-EXT certificates will equal the sum
of the class B, class C, and class D certificates.
(iii)Non-offered vertical interest certificate.
NR--Not rated.
JP MORGAN 2000-C9: Moody's Affirms C(sf) Rating on Class J Certs
----------------------------------------------------------------
Moody's Investors Service affirmed the ratings on two classes of J.
P. Morgan Commercial Mortgage Finance Corp. 2000-C9, Pass-Through
Certificates, Series 2000-C9:
Cl. J, Affirmed C (sf); previously on Jun 23, 2016 Affirmed C (sf)
Cl. X, Affirmed Caa3 (sf); previously on Jun 23, 2016 Affirmed Caa3
(sf)
RATINGS RATIONALE
The rating on Class J was affirmed because this class has already
experienced a 66% realized loss from previously liquidated loans.
The rating on the IO class, Class X, was affirmed based on the
credit performance of its referenced classes.
Moody's rating action reflects a base expected loss of 0% of the
current balance, the same as at last review. Moody's does not
anticipate losses from the remaining collateral in the current
environment. However, over the remaining life of the transaction,
losses may emerge from macro stresses to the environment and
changes in collateral performance. Moody's ratings reflect the
potential for future losses under varying levels of stress. Moody's
base expected loss plus realized losses is now 4.7% of the original
pooled balance, the same as at last review. Moody's provides a
current list of base expected losses for conduit and fusion CMBS
transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan 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 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 Commercial
Mortgage Finance Corp. 2000-C9.
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 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 over 99% to $249,918
from $814 million at securitization. The pool has paid down 91%
since last review and the certificates are collateralized by one
remaining mortgage loan.
Twenty-four loans have been liquidated from the pool, contributing
to an aggregate certificate loss of $37.9 million.
The only remaining loan is the RiteAid - Dayton Loan ($249,918 --
100% of the pool), which is secured by a single tenant retail
property leased to Rite Aid and located in Dayton, Ohio. The loan
is fully-amortizing and is co-terminus with the tenant's lease term
that is scheduled to expire in 2018. Moody's LTV and stressed DSCR
are 18.5% and greater than 4.00X, respectively. Moody's stressed
DSCR is based on Moody's NCF and a 9.25% stress rate the agency
applied to the loan balance.
JP MORGAN 2014-C21: Fitch Affirms 'Bsf' Rating on Class F Certs
---------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of J.P. Morgan Chase Bank,
N.A. Commercial Mortgage Securities Trust, series 2014-C21
commercial mortgage pass-through certificates.
KEY RATING DRIVERS
The affirmations are based on the stable performance of the
underlying collateral. As of the April 2017 distribution date, the
pool's aggregate principal balance has been reduced by 1.6% to
$1.25 billion from $1.26 billion at issuance. No loans are
delinquent, in special servicing, or defeased.
Stable Performance: Aside from the Fitch Loan of Concern and the
two loans in special servicing, the majority of the loans in the
pool are paying as agreed and reflect loan-level performance
largely in line with Fitch's issuance expectations. No loans are
defeased and no loans have paid off since issuance.
Fitch Loan of Concern - 200 West Monroe: 200 West Monroe (2% of the
pool), has been identified as a Fitch Loan of Concern. This loan
has experienced declining occupancy and deteriorating cash flow.
Further declines are anticipated given the near-term departure of
three additional tenants totaling 16.8% of net rentable area (NRA),
including its largest tenant, Select Hotels Group, which accounts
for 10.5% of NRA.
Specially Serviced Loans: Two loans totaling 1.1% of the pool are
currently delinquent and in special servicing. The ultimate
resolution for both loans will likely be foreclosure and sale of
the collateral properties.
Retail Concentration and Mall Exposure: Loans backed by retail
properties represent 30.6% of the pool, including four within the
top 15. Of these retail properties, three are regional malls and
reflect direct or indirect exposure to anchor tenants such as
JCPenney, Macy's, and Sears.
RATING SENSITIVITIES
Rating Outlooks for all classes remain Stable due to overall stable
performance of the pool and continued amortization. Upgrades may
occur with improved pool performance and additional paydown or
defeasance; however, this possibility may be limited due to the
high regional mall exposure. Downgrades to the classes are possible
should performance of the Fitch Loan of Concern continue to
deteriorate further.
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:
-- $16.1 million class A-1 at 'AAAsf'; Outlook Stable;
-- $25.5 million class A-2 at 'AAAsf'; Outlook Stable;
-- $59.4 million class A-3 at 'AAAsf'; Outlook Stable;
-- $325 million class A-4 at 'AAAsf'; Outlook Stable;
-- $357.2 million class A-5 at 'AAAsf'; Outlook Stable;
-- $82.5 million class A-SB at 'AAAsf'; Outlook Stable;
-- $935.3 million(a) class X-A at 'AAAsf'; Outlook Stable;
-- $90.1 million(a) class X-B at 'AA-sf'; Outlook Stable;
-- $69.5 million class A-S at 'AAAsf'; Outlook Stable;
-- $90.1 million class B at 'AA-sf'; Outlook Stable;
-- $45.8 million class C at 'A-sf'; Outlook Stable;
-- $205.5 million class EC at 'A-sf'; Outlook Stable;
-- $25.3 million(a)(b) at class X-C'BBsf'; Outlook Stable;
-- $74.3 million(b) class D at 'BBB-sf'; Outlook Stable;
-- $25.3 million(b) class E at 'BBsf'; Outlook Stable;
-- $17.4 million(b) class F at 'Bsf'; Outlook Stable.
(a) Notional amount and interest-only.
(b) Privately placed pursuant to Rule 144A.
Class A-S, class B, and class C certificates may be exchanged for a
related amount of class EC certificates, and class EC certificates
may be exchanged for class A-S, class B, and class C certificates.
Fitch does not rate the $56.9 million NR class, or the $74.3
million interest-only class X-D.
JPMDB COMMERCIAL 2016-C2: Fitch Affirms B- Rating on Cl. F Certs
----------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of JPMDB Commercial Mortgage
Securities Trust 2016-C2 commercial mortgage pass-through
certificates.
KEY RATING DRIVERS
The affirmations are based on the stable performance of the
underlying collateral. As of the April 2017 distribution date, the
pool's aggregate principal balance has been reduced by 0.4% to
$889.6 million from $892.8 million at issuance.
Stable Performance: The overall pool performance remains stable
from issuance. No loans are in special servicing or defeased. Three
loans (6.8%) are on the servicer's watch list, one (0.8% of the
pool) of which has been designated a Fitch Loan of Concern and is
delinquent.
Concentrated Pool: The pool is more concentrated than other recent
Fitch-rated multiborrower transactions. The top 15 loans comprise
77.5% of the pool, which is above the 2016 and 2015 averages of 68%
and 60%, respectively. This includes two large mall properties, one
of which, Palisades Center, has a JCPenney that has been named on a
list of store closures. Additionally, the pool totals only 30
loans.
Limited Amortization: At issuance, six loans (36.8%) were full-term
interest only, and 11 loans (38.3%) were partial interest only. The
pool is scheduled to amortize by 9.2% of the initial pool balance
prior to maturity, which is the 2016 and 2015 averages of 10.4% and
11.7%, respectively.
Additional Debt: The transaction has five loans with subordinate
debt, or 29.1% of the pool balance. Three loans, or 19.5% of the
pool balance, have secured subordinate debt which is higher than
both 2016 and 2015 averages of 8.5% and 4.4%, respectively. Four
loans, or 19.7% of the pool balance, have mezzanine or preferred
equity compared to 2016 and 2015 averages of 9.3% and 9.1%,
respectively. Approximately 63.8% of the pool balance consists of
loans with pari passu participations. This is significantly higher
than 2016 and 2015 averages of 42.2% and 25.1%, 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.
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:
-- $20,176,981 class A-1 at 'AAAsf'; Outlook Stable;
-- $160,394,000 class A-2 at 'AAAsf'; Outlook Stable;
-- $120,000,000 class A-3A at 'AAAsf'; Outlook Stable;
-- $222,981,000 class A-4 at 'AAAsf'; Outlook Stable;
-- $48,243,000 class A-SB at 'AAAsf'; Outlook Stable;
-- $697,682,981b class X-A at 'AAAsf'; Outlook Stable;
-- $44,639,000b class X-B at 'AA-sf'; Outlook Stable;
-- $75,888,000 class A-S at 'AAAsf'; Outlook Stable;
-- $44,639,000 class B at 'AA-sf'; Outlook Stable;
-- $36,828,000 class C at 'A-sf'; Outlook Stable;
-- $50,000,000a class A-3B at 'AAAsf'; Outlook Stable;
-- $80,352,000ab class X-C at 'BBB-sf'; Outlook Stable;
-- $43,524,000a class D at 'BBB-sf'; Outlook Stable;
-- $17,856,000a class E at 'BBsf'; Outlook Stable;
-- $12,276,000a class F at 'B-sf'; Outlook Stable.
Notional amount and interest-only.
Privately placed pursuant to Rule 144A.
Fitch does not rate the $36.8 million NR class.
LB-UBS COMMERCIAL 2005-C2: Moody's Affirms Ca Rating on Cl. E Certs
-------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
in LB-UBS Commercial Mortgage Trust 2005-C2, Commercial Mortgage
Pass-Through Certificates, Series 2005-C2:
Cl. E, Affirmed Ca (sf); previously on Jun 30, 2016 Affirmed Ca
(sf)
Cl. X-CL, Affirmed Caa3 (sf); previously on Jun 30, 2016 Affirmed
Caa3 (sf)
RATINGS RATIONALE
The rating on Class E was affirmed because the rating is consistent
with cumulative realized losses to the class. Class E has already
experienced a 60% loss based on its original balance as a result of
previously liquidated loans.
The rating on the IO, Class X-CL, was affirmed based on the credit
performance of its referenced class.
Moody's rating action reflects a base expected loss of 0.0% of the
current balance, compared to 19.3% at Moody's last review. Moody's
does not anticipate losses from the remaining collateral in the
current environment. However, over the remaining life of the
transaction, losses may emerge from macro stresses to the
environment and changes in collateral performance. Moody's ratings
reflect the potential for future losses under varying levels of
stress. Moody's base expected loss plus realized losses is now 8.7%
of the original pooled balance, compared to 8.7% 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 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-CL 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 LBUBS 2005-C2.
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 99% to $14 million
from $1.9 billion at securitization. The certificates are
collateralized by three remaining mortgage loans.
Thirty-one loans have been liquidated from the pool, resulting in
an aggregate realized loss of $168.5 million (for an average loss
severity of 20%). There are no loans currently in special
servicing.
Moody's received full year 2015 and 2016 operating results for 100%
of the pool.
The largest remaining loan is the Boulevard Shops Loan ($9.9
million -- 71% of the pool), which is secured by a 41,000 square
foot (SF) two-building retail plaza in Laurel, Maryland. The
property was 91% leased as of December 2016, the same as the last
review. The largest tenants at the property include Kabuto Japanese
Seafood, Verizon Wireless, and Mattress Firm. Performance has
improved due to contractual rent increases. Moody's LTV and
stressed DSCR are 103% and 0.94X, respectively.
The second loan is the Smoky Hill Loan ($3.3 million -- 23% of the
pool), which is secured by a 20,047 SF retail property in
Centennial, Colorado. The property was 80% leased as of December
2016, the same as at the prior review. Moody's LTV and stressed
DSCR are 83% and 1.12X, respectively.
The third loan is the Kmart - Parkersburg Loan ($0.8 million -- 6%
of the pool), which is secured by a single tenant retail property
in Parkersburg, West Virginia. The single tenant, Kmart, had a
lease expiration in December 2017 but announced at year-end 2016
that they planned to close this location by April 2017. The loan
has amortized 42% since securitization and matures in December
2017.
LB-UBS COMMERCIAL 2007-C6: Fitch Affirms CCC Rating on 3 Tranches
-----------------------------------------------------------------
Fitch Ratings has affirmed 20 classes of LB-UBS Commercial
Mortgage Trust (LBUBS) commercial mortgage pass-through
certificates series 2007-C6.
KEY RATING DRIVERS
The affirmations reflect sufficient credit enhancement relative to
Fitch expected losses. As of the April 2017 distribution date, the
pool's aggregate principal balance has been reduced by 56% to $1.31
billion from $2.98 billion at issuance. Fitch has designated 56
loans (48% of the pool balance) as Fitch Loans of Concern, which
includes 50 specially serviced assets (29.4%). Per the servicer
reporting, 14 loans (17.2%) are defeased. Interest shortfalls are
currently affecting classes J through T.
Stable Loss Expectations: Fitch modeled losses of 15.6% of the
original pool balance, including 5.3% of losses incurred to date.
This is a slight increase from the previous rating action in May
2016, when loss expectations of the original pool balance were
15.1%.
High Percentage of Specially Serviced Loans: As of the April 2017
remittance, 50 loans (29.4% of the pool balance) were in special
servicing. Of the delinquent loans, 41 assets (22.6%) are real
estate owned (REO), including the 39 cross-collateralized PECO
Portfolio loans (21.4%). Additional top 15 specially serviced loans
include Lakeland Town Center (1.9%) and Dolce Norwalk (1.7%).
Maturity Concentration: Excluding the REO loans, the majority of
the remaining loans are scheduled to mature over the next five
months (69.3% of the pool) with 33 loans in the second quarter
(46.3%) and 38 loans in the third quarter (23%). Second quarter
maturities include the $109.9 million Santa Clara Towers (f/k/a
McCandless Towers) loan (8.4%), which the servicer has reported the
borrower intends to pay in full in May 2017. Longer term maturities
include the Islandia Shopping Center A/B notes (5.5%) in July 2021
and two loans (2.6%) in July 2022.
Defeasance Collateral: As of April 2017, 14 loans (17.2% of the
pool) were defeased, including five (12.4%) of the top 15 loans.
All the defeased loans are scheduled to mature over the next three
months. In total, 58.2% of the original pool has paid down or is
defeased.
RATING SENSITIVITIES
The Negative Outlook on classes A-M and A-MFL reflects the
potential risk for greater than expected losses and/or accruing
advances on the specially serviced loans, primarily the PECO
Portfolio, as well as performance concerns and declining cash flows
for several underperforming properties in the top 15. The classes
could be subjected to future downgrades should expected losses
increase.
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:
-- $349.6 million class A-4 at 'AAAsf'; Outlook Stable;
-- $227.1 million class A-1A at 'AAAsf'; Outlook Stable;
-- $227.9 million class A-M at 'Asf'; Outlook Negative;
-- $70 million class A-MFL at 'Asf'; Outlook Negative;
-- $156.4 million class A-J at 'CCCsf'; RE 85%;
-- $33.5 million class B at 'CCCsf'; RE 0%;
-- $37.2 million class C at 'CCCsf'; RE 0%;
-- $33.5 million class D at 'CCsf'; RE 0%;
-- $29.8 million class E at 'CCsf'; RE 0%;
-- $29.8 million class F at 'Csf'; RE 0%;
-- $33.5 million class G at 'Csf'; RE 0%;
-- $37.2 million class H at 'Csf'; RE 0%;
-- $41 million class J at 'Csf'; RE 0%;
-- $4.7 million class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%;
-- $0 class Q at 'Dsf'; RE 0%;
-- $0 class S at 'Dsf'; RE 0%.
The class A-1, A-2, A-2FL, A-3 and A-AB certificates have paid in
full. Fitch does not rate the class T certificates. Fitch
previously withdrew the rating on the interest-only class X
certificates.
MORGAN STANLEY 2007-HQ12: Fitch Affirms CCC Ratings on 2 Tranches
-----------------------------------------------------------------
Fitch Ratings has upgraded four and affirmed 13 classes of Morgan
Stanley Capital I Trust (MSCI) commercial mortgage pass-through
certificates series 2007-HQ12.
KEY RATING DRIVERS
Increased Credit Enhancement: The upgrades reflect increased credit
enhancement since Fitch's last rating action from loan payoffs,
scheduled amortization and the resolution of the Beacon Seattle &
D.C. Portfolio loans at better recoveries than previously modeled.
As of the April 2017 distribution date, the pool's aggregate
principal balance has been reduced by 90.8% to $184.2 million from
$2 billion at issuance. The pool has paid down by $481.1 million
since the last rating action (71.4% of the outstanding balance at
the last rating action). Interest shortfalls totaling $13.3 million
are currently affecting classes D through S.
Pool Concentrations and Adverse Selection: The pool is highly
concentrated with only 16 loans/assets remaining. The largest loan
comprises 30.4% of the current pool balance. Due to the
concentrated nature of the pool, the ratings reflect a sensitivity
analysis which grouped the remaining loans based on structural
features, collateral quality and performance, as well as by the
perceived likelihood of repayment.
Fitch Loans of Concern: Fitch has designated nine loans/assets
(49.9% of the pool) as Fitch Loans of Concern (FLOC), which
includes eight loans/assets in special servicing (47.6%). Of the
specially serviced loans/assets, four (27.5%) are real estate owned
(REO) and three (18.4%) are classified as in foreclosure. The
non-specially serviced FLOC (2.3%) is secured by an unanchored
retail property that has experienced a recent occupancy decline.
Specially Serviced Disposition Timing: The ultimate resolution of
loan/asset workouts and the timing of their disposition remain
uncertain. This directly affects the repayment of classes E though
J which rely on the proceeds from the disposition of loans/assets
in special servicing.
Upcoming Loan Maturities: The loan maturities for the non-specially
serviced loans include 49.5% of the current pool through year-end
2017 (1.7% in May, 33.4% in June, 7.1% in November, and 7.3% in
December) and 3% in 2022.
RATING SENSITIVITIES
The Stable Outlooks on classes A-J through C reflect the increasing
credit enhancement, continued amortization, and expected continued
paydown of the pool. The class A-J, A-JFL, and B balances are
covered by the lowly leveraged Four Seasons San Francisco loan,
which is expected to fully repay at its June 2017 maturity. The
class C balance is dependent upon a combination of the remainder of
the proceeds from the Four Seasons San Francisco loan and from
lowly leveraged performing balloon loans. Further upgrades to class
C are unlikely due to interest shortfall concerns based on the
pool's significant concentration and the quality of the remaining
collateral; however, downgrades could occur if losses on the
specially serviced loans/assets exceed Fitch's expectations, if
pool performance deteriorates, or if loans default at maturity.
Distressed classes may be subject to further downgrades as
additional losses are realized or if losses exceed Fitch's
expectations.
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 ratings and revised Outlooks as
indicated:
-- $2.4 million class A-J to 'AAAsf' from 'Asf'; Outlook to
Stable from Positive;
-- $4.1 million class A-JFL to 'AAAsf' from 'Asf'; Outlook to
Stable from Positive;
-- $41.6 million class B to 'AAAsf' from 'BBBsf'; Outlook Stable;
-- $22 million class C to 'Asf' from 'BBsf'; Outlook to Stable
from Negative.
Fitch has affirmed the following classes:
-- $24.5 million class D at 'CCCsf'; RE 100%;
-- $14.7 million class E at 'CCCsf'; RE 100%;
-- $24.5 million class F at 'CCsf'; RE 35%;
-- $22 million class G at 'Csf'; RE 0%;
-- $22 million class H at 'Csf'; RE 0%;
-- $6.3 million 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%;
-- $0 class P at 'Dsf'; RE 0%;
-- $0 class Q at 'Dsf'; RE 0%.
Classes A-1, A-1A, A-2, A-2FL, A-2FX, A-3, A-4, A-5, A-M, and A-MFL
have paid in full. Fitch does not rate the class S certificates.
Fitch previously withdrew the rating on the interest-only class X
certificates.
MORGAN STANLEY 2007-IQ13: S&P Affirms B- Rating on Cl. A-J Certs
----------------------------------------------------------------
S&P Global Ratings affirmed its 'B- (sf)' rating on the class A-J
commercial mortgage pass-through certificates from Morgan Stanley
Capital I Trust 2007-IQ13, a U.S. commercial mortgage-backed
securities (CMBS) transaction. At the same time, S&P discontinued
its 'BB+ (sf)' rating on class A-M from the same transaction
following its full repayment as noted in the April 2017 trustee
remittance report.
The affirmation on class A-J follows 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 affirmation also reflects S&P's expectation that
the available credit enhancement for the class will be within its
estimate of the necessary credit enhancement required for the
current rating. S&P's analysis also considered the susceptibility
to reduced liquidity support from the six specially serviced assets
(reflecting crossed loans) totaling $115.8 million, or 78.5% of the
pool. This includes three loans ($90.7 million, 61.5%) on the
master servicers' combined watchlist; the master servicers informed
S&P that these loans were transferred to the special servicer after
the April 2017 trustee determination date.
TRANSACTION SUMMARY
As of the April 17, 2017, trustee remittance report, the collateral
pool balance was $147.4 million, which is 9.0% of the pool balance
at issuance. The pool currently includes 13 loans and one real
estate-owned (REO) asset (reflecting crossed loans), down from 166
loans at issuance. Six of these assets are currently with the
special servicer, including three loans on the master servicers'
combined watchlist that the master servicers informed S&P was
transferred to special servicing subsequent to the April 2017
trustee remittance report. The other seven loans ($113.5 million,
76.9%) are on the master servicers' combined watchlist (of which
three were transferred to special servicing and one ($12.1 million,
8.2%) was paid off in full after the April 2017 trustee
determination date. There are no defeased loans. The master
servicers, Wells Fargo Bank N.A. and National Cooperative Bank
N.A., reported financial information for 97.1% of the loans in the
pool, of which 81.4% was partial- or full-year 2016 data, and the
remainder was full-year 2015 data.
S&P calculated a 1.03x S&P Global Ratings' weighted average debt
service coverage (DSC) and 91.9% S&P Global Ratings' weighted
average loan-to-value (LTV) ratio using a 8.07% S&P Global Ratings'
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude five ($30.7 million,
20.8%) of the six specially serviced assets, five loans backed by
co-operative housing properties ($12.9 million, 8.7%), and one loan
that Wells Fargo informed us was paid off in full after the April
2017 trustee remittance report.
To date, the transaction has experienced $151.6 million in
principal losses, or 9.2% of the original pool trust balance. S&P
expects losses to reach approximately 9.9% 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
five of the six specially serviced assets.
CREDIT CONSIDERATIONS
As of the April 17, 2017, trustee remittance report, three assets
(reflecting crossed loans as one) ($25.1 million, 17.0%) in the
pool were with the special servicer, LNR Partners LLC (LNR). Wells
Fargo informed us that the Gateway I loan, the Aspen Court Medical
Building loan, and the Imperial Corners loan, totaling $90.7
million (61.5% of the pool balance), were transferred to the
special servicer after the April 2017 trustee determination date.
Details of the three largest assets currently with the special
servicer are:
-- The Gateway I loan ($85.1 million, 57.7%) is the largest
loan in the pool and has a total reported exposure of $85.8
million. The loan is secured by a 514,956-sq.-ft. office
building in Newark, N.J. The loan was transferred to the
special servicer on April 13, 2017, due to maturity default.
The loan, which has a reported nonperforming matured balloon
payment status, matured on April, 5, 2017. The loan was
previously transferred to the special servicer on Nov. 22,
2010, due to imminent default. The reported DSC and
occupancy as of year-end 2016 were 0.99x and 73.6%,
respectively. S&P's analysis considered that this loan was
recently transferred back to special servicing and will
continue to monitor the workout/liquidation strategy as well
as the performance of the loan.
-- The Neiss Portfolio Roll-Up loan consists of three crossed
loans (the Country Club Centre – Neiss, the Main Street
Crossing – Neiss, and the Shoppes at Lakewood – Neiss
loans)
totaling $14.3 million (9.7%). The loan is secured by three
retail properties totaling 215,647 sq. ft. in Alabama and
North Carolina and has a reported $14.6 million total
exposure. The loan, which has a reported nonperforming
matured balloon payment status, was transferred to special
servicing on Dec. 8, 2016, due to imminent default. The
loan matured on Feb. 5, 2017. The master servicer reported
DSC for the nine months ended Sept. 30, 2016, of less than
1.00x for each of the three crossed loans. LNR stated that
it is exploring various liquidation strategies. S&P expects
a minimal loss (less than 25%) upon the loan's eventual
resolution.
-- The Shadow Medical REO asset ($6.5 million, 4.4%) has a
total reported exposure of $7.2 million. The asset is a
41,849-sq.-ft. suburban office building in Las Vegas, Nev.
The loan was transferred to special servicer on April 13,
2015, due to delinquent payments, and the property became
REO on March 30, 2016. LNR indicated that the asset is not
currently on the market for sale. The reported occupancy
was 47.0% as of Dec.. 31, 2016, and the reported cash flow
at the property was not sufficient to cover debt service for
the same reporting period. An appraisal reduction amount of
$3.6 million is in effect against the asset. S&P expects a
moderate loss (between 26% and59%) upon the asset's eventual
resolution.
The three remaining assets with the special servicer each have
individual balances that represent less than 3.0% of the total pool
trust balance.
S&P estimated losses for five of the six specially serviced assets,
arriving at a weighted-average loss severity of 34.1%.
RATINGS LIST
Morgan Stanley Capital I Trust 2007-IQ13
Commercial mortgage pass-through certificates, series 2007-IQ13
Rating
Class Identifier To From
A-M 61753JAF6 NR BB+ (sf)
A-J 61753JAG4 B- (sf) B- (sf)
NR--Not rated.
NCMS 2017-75B: S&P Assigns Prelim. BB- Rating on Class E Certs.
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to NCMS
2017-75B's $143.0 million commercial mortgage pass-through
certificates series 2017-75B.
The note issuance is a commercial mortgage-backed securities
transaction backed by a $143.0 million portion of a whole loan with
an aggregate cut-off date principal balance of $230.0 million.
The preliminary ratings are based on information as of May 10,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of the collateral's
historical and projected performance, the sponsor's and manager's
experience, the trustee-provided liquidity, the loan's terms, and
the transaction's structure.
PRELIMINARY RATINGS ASSIGNED
NCMS 2017-75B
Class Rating Amount (mil. $)
A AAA (sf) 56,997,000
X-A AAA (sf) 56,997,000(i)
X-B A- (sf) 37,764,000(i)
B AA- (sf) 21,100,000
C A- (sf) 16,664,000
D BBB- (sf) 20,442,000
E BB- (sf) 27,797,000
(i)Notional balance. The notional amount of the class X-A and X-B
certificates will be reduced by the aggregate amount of realized
losses allocated to the class A certificates. The notional amount
of the class X-B certificates will be reduced by the aggregate
amount of realized losses allocated to the class B and C
certificates.
OLYMPIC TOWER 2017-OT: Fitch to Rate Class E Notes 'BB-sf'
----------------------------------------------------------
Fitch Ratings has issued a presale report on Olympic Tower 2017-OT
Mortgage Trust Commercial Mortgage Pass-Through Certificates.
Fitch expects to rate the transaction and assign Rating Outlooks:
-- $230,597,000 class A 'AAAsf'; Outlook Stable;
-- $230,597,000 class X-A 'AAAsf'; Outlook Stable;
-- $64,811,000 class X-B 'A-sf'; Outlook Stable;
-- $35,990,000 class B 'AA-sf'; Outlook Stable;
-- $28,821,000 class C 'A-sf'; Outlook Stable;
-- $56,092,000 class D 'BBB-sf'; Outlook Stable;
-- $104,500,000 class E 'BB-sf'; Outlook Stable.
The following class is not expected to be rated:
-- $24,000,000b VRR Interest.
(a) Notional amount and interest-only.
(b) 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 May 6, 2017.
The certificates represent the beneficial interests in the mortgage
loan, securing the leasehold interests in 388,170 square feet (sf)
of office space and 36,556 sf of retail space within 21 stories of
a 52-story mixed use building known as Olympic Tower, two adjoining
buildings totaling 75,000 sf of ground and upper level retail
space, and a 25,646 sf, seven-story mixed use building located at
641, 647, and 651 Fifth Avenue, and 10 East 52nd Street in New
York, NY. Proceeds of the loan were used to refinance existing
debt, fund up-front reserves, pay closing costs, and return equity
to the borrower. The certificates will follow a sequential-pay
structure.
KEY RATING DRIVERS
High Quality Asset in Prime Office and Retail Location: The
property consists of 388,170 sf of class A office space within the
Plaza submarket and 96,899 sf of retail space along Fifth Avenue,
between East 51st and East 52nd Streets in midtown Manhattan. The
retail submarket is a premier shopping district, with some of the
highest asking rents in the world.
Strong Historical Occupancy and Long Term Leases: The property is
currently 98.8% leased and has maintained an average historical
occupancy of 97.2% since 2008. The top five tenants, which account
for 83.2% of the NRA, have a weighted average remaining lease term
of 13.8 years.
Diverse and High Quality Tenant Base: The property is leased to 22
office and retail tenants. It serves as the headquarters' locations
for the NBA, MSD Capital, and Richemont North America and as
flagship locations for Cartier and Versace USA. The property leases
space to other luxury retailers including Furla, Armani, and H.
Stern.
Below-Market Retail Rents: In-place rents for the retail space that
expires during the loan term are approximately 23% below-market
rents as determined by the appraisal.
Fitch Leverage: The $760.0 million mortgage loan has a Fitch DSCR
and LTV of 1.05x and 83.6%, respectively, and debt of $1,447 psf.
RATING SENSITIVITIES
Fitch found that the 'AAAsf' class could withstand an approximate
48.3% decrease to the most recent actual net cash flow (NCF) prior
to experiencing $1 of loss to the 'AAAsf' rated class. Fitch
performed several stress scenarios in which the Fitch NCF was
stressed. Fitch determined that a 37.9% reduction in Fitch's
implied NCF would cause the notes to break even at a 1.0x debt
service coverage ratio (DSCR), based on the actual debt service.
Fitch evaluated the sensitivity of the ratings for class A and
found that a 7% decline in Fitch's implied NCF would result in a
one-category downgrade, while a 31% decline would result in a
downgrade to below investment grade.
PALMER SQUARE 2013-1: S&P Assigns Prelim. BB Rating on Cl. D-R Debt
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R, A-2-R, B-R, C-R, and D-R replacement notes from Palmer
Square CLO 2013-1 Ltd., a collateralized loan obligation (CLO)
originally issued in 2013 that is managed by Palmer Square Capital
Management LLC. The class E notes are not part of this refinancing
and S&P expects to affirm the current rating on the refinancing
date.
The preliminary ratings reflect S&P's opinion that the credit
support available is commensurate with the associated rating
levels.
The preliminary ratings are based on information as of May 10,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the May 15, 2017, refinancing date, the proceeds from the
replacement note issuance are expected to redeem the class A-1,
A-2, B, C, and D notes. At that time, S&P anticipates withdrawing
the ratings on the class A-1, A-2, B, C, and D original notes and
assigning ratings to the class A-1-R, A-2-R, B-R, C-R, and D-R
replacement notes. The class E notes are not part of this
refinancing. However, if the refinancing doesn't occur, S&P may
affirm the ratings on the original notes and withdraw its
preliminary ratings on the replacement notes.
The replacement notes are being issued via a proposed supplemental
indenture. Based on the proposed supplemental indenture and the
information provided to S&P Global Ratings in connection with this
review, the replacement notes are expected to be issued at a lower
spread over LIBOR than the corresponding original notes. There is
no proposed change to the reinvestment period duration, which ends
in May 2017, or the transaction's legal final maturity, scheduled
for May 2025.
The supplemental indenture is not expected to make other
substantive changes to the transaction.
REPLACEMENT AND ORIGINAL NOTE ISSUANCES
Replacement notes
Class Amount Interest
(mil. $) rate (%)
A-1-R 212.80 LIBOR + 0.97
A-2-R 59.70 LIBOR + 1.50
B-R 19.75 LIBOR + 2.05
C-R 16.20 LIBOR + 3.10
D-R 13.65 LIBOR + 5.00
Original notes
Class Amount Interest
(mil. $) rate (%)
A-1 212.80 LIBOR + 1.25
A-2 59.70 LIBOR + 2.00
B 19.75 LIBOR + 2.85
C 16.20 LIBOR + 4.05
D 13.65 LIBOR + 5.20
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the trustee
report, to estimate future performance. In line with S&P's
criteria, its cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, S&P's analysis considered
the transaction's ability to pay timely interest or ultimate
principal, or both, to each of the rated tranches.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and S&P will take further rating actions
as it deems necessary.
PRELIMINARY RATINGS ASSIGNED
Palmer Square CLO 2013-1 Ltd.
Replacement class Rating Amount (mil. $)
A-1-R AAA (sf) 212.80
A-2-R AA (sf) 59.70
B-R A (sf) 19.75
C-R BBB (sf) 16.20
D-R BB (sf) 13.65
PREFERRED TERM XXIV: Moody's Hikes Ratings on 2 Tranches to Ba1
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Preferred Term Securities XXIV, Ltd.:
US$577,800,000 Floating Rate Class A-1 Senior Notes Due March 22,
2037 (current balance of $364,732,723.20), Upgraded to Aa1 (sf);
previously on April 14, 2015 Upgraded to A1 (sf)
US$152,800,000 Floating Rate Class A-2 Senior Notes Due March 22,
2037 (current balance of $150,798,744.39), Upgraded to Aa3 (sf);
previously on April 14, 2015 Upgraded to A3 (sf)
US$85,800,000 Floating Rate Class B-1 Mezzanine Notes Due March 22,
2037 (current balance including interest shortfall of
$87,215,827.11), Upgraded to Ba1 (sf); previously on April 14, 2015
Upgraded to Caa2 (sf)
US$20,000,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due
March 22, 2037 (current balance including interest shortfall of
$21,381,742.52), Upgraded to Ba1 (sf); previously on April 14, 2015
Upgraded to Caa2 (sf)
Preferred Term Securities XXIV, Ltd., issued in December 2006, is a
collateralized debt obligation (CDO) backed by a portfolio of bank
and insurance trust preferred securities (TruPS).
RATINGS RATIONALE
The rating actions are primarily a result of the deleveraging of
the Class A-1 notes, an increase in the transaction's
overcollateralization (OC) ratios, the resumption of interest
payments on the Class B-1 and Class B-2 notes and the partial
repayment of the Class B-1 and Class B-2 deferred interest balance
since December 2016.
The Class A-1 notes have paid down by approximately 1.7% or $6.5
million since December 2016, using principal proceeds from the
redemption of underlying assets. The Class B-1 and Class B-2 notes'
deferred interest amount has been paid down by approximately $6.5
million since December 2016 when the notes began receiving current
and deferred interest. Based on the trustee's March 2017 report,
the OC ratios for the Class A-2 and Class B-2 notes have improved
to 130.54% and 107.21%, respectively, from December 2016 levels of
128.26% and 105.09%, respectively. The Class A-1 notes will
continue to benefit from the use of proceeds from redemptions of
any assets in the collateral pool. Once the Class B-2 notes'
deferred interest balance is reduced to zero, the Class A-1, Class
A-2, Class B-1 and Class B-2 notes will benefit from the pro-rata
diversion of excess interest as long as the Class B-2 OC test
continues to fail (current level of 107.21% verses the trigger of
115.00%).
Additionally, the credit quality of the portfolio has improved.
Based on Moody's calculation, the Weighted Average Rating Factor
(WARF) has improved to 669, from 735 in December 2016. Moody's also
gave full par credit in its analysis to one deferring asset that
met certain criteria, totaling $8.0 million in par. The total par
amount that Moody's treated as defaulted or deferring declined to
$223.3 million from $248.3 million in December 2016. Since that
time, two previously deferring banks with a total par of $14.0
million have resumed making interest payments on their TruPS.
Methodology Used for the Rating Action
The principal methodology used in this rating was "Moody's Approach
to Rating TruPS CDOs," published in October 2016.
Factors that Would Lead to an Upgrade or Downgrade of the Rating
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:
1) Macroeconomic uncertainty: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in the
general economy. Moody's has a stable outlook on the US banking
sector and the US P&C insurance sector, and a negative outlook on
the US life insurance sector.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's current
expectations could have a positive impact on the transaction's
performance. Conversely, asset credit performance weaker than
Moody's current expectations could have adverse consequences on the
transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and excess
interest proceeds will continue and at what pace. Note repayments
that are faster than Moody's current expectations could have a
positive impact on the notes' ratings, beginning with the notes
with the highest payment priority.
4) Resumption of interest payments by deferring assets: A number of
banks have resumed making interest payments on their TruPS. The
timing and amount of deferral cures could have significant positive
impact on the transaction's over-collateralization ratios and the
ratings on the notes.
5) Exposure to non-publicly rated assets: The deal contains a large
number of securities whose default probability Moody's assesses
through credit scores derived using RiskCalc™ or credit
estimates. Because these are not public ratings, they are subject
to additional uncertainties.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Assuming a two-notch upgrade to assets with below-investment grade
ratings or rating estimates (WARF of 450)
Class A-1: 0
Class A-2: +1
Class B-1: +1
Class B-2: +1
Assuming a two-notch downgrade to assets with below-investment
grade ratings or rating estimates (WARF of 972)
Class A-1: -1
Class A-2: -1
Class B-1: -2
Class B-2: -2
Loss and Cash Flow Analysis
Moody's applied a Monte Carlo simulation framework in Moody's
CDROM(TM) to model the loss distribution for TruPS CDOs. The
simulated defaults and recoveries for each of the Monte Carlo
scenarios defined the reference pool's loss distribution. Moody's
then used the loss distribution as an input in its CDOEdge(TM) cash
flow model. CDROM(TM) is available on www.moodys.com under Products
and Solutions -- Analytical models, upon receipt of a signed free
license agreement.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool has having a performing par (after treating
deferring securities as performing if they meet certain criteria)
of $681.0 million, defaulted and deferring par of $223.3 million, a
weighted average default probability of 7.52% (implying a WARF of
669), and a weighted average recovery rate upon default of 10.00%.
In addition to the quantitative factors Moody's explicitly models,
qualitative factors are part of rating committee considerations.
Moody's considers the structural protections in the transaction,
the risk of an event of default, recent deal performance under
current market conditions, the legal environment and specific
documentation features. All information available to rating
committees, including macroeconomic forecasts, inputs from other
Moody's analytical groups, market factors, and judgments regarding
the nature and severity of credit stress on the transactions, can
influence the final rating decision.
The portfolio of this CDO contains mainly TruPS issued by small to
medium sized U.S. community banks and insurance companies that
Moody's does not rate publicly. To evaluate the credit quality of
bank TruPS that do not have public ratings, Moody's uses
RiskCalc™, an econometric model developed by Moody's Analytics,
to derive credit scores. Moody's evaluation of the credit risk of
most of the bank obligors in the pool relies on the latest FDIC
financial data. For insurance TruPS that do not have public
ratings, Moody's relies on the assessment of its Insurance team,
based on the credit analysis of the underlying insurance firms'
annual statutory financial reports.
REALT 2007-1: Moody's Lowers Rating on Class J Certs to B3
----------------------------------------------------------
Moody's Investors Service has affirmed the ratings on five classes
and downgraded the ratings on eight classes in Real Estate Asset
Liquidity Trust (REALT), Commercial Mortgage Pass-Through
Certificates, Series 2007-1 as follows:
Cl. C, Affirmed Aa3 (sf); previously on May 5, 2016 Upgraded to Aa3
(sf)
Cl. D-1, Affirmed Baa2 (sf); previously on May 5, 2016 Affirmed
Baa2 (sf)
Cl. D-2, Affirmed Baa2 (sf); previously on May 5, 2016 Affirmed
Baa2 (sf)
Cl. E-1, Affirmed Baa3 (sf); previously on May 5, 2016 Affirmed
Baa3 (sf)
Cl. E-2, Affirmed Baa3 (sf); previously on May 5, 2016 Affirmed
Baa3 (sf)
Cl. F, Downgraded to Ba2 (sf); previously on May 5, 2016 Affirmed
Ba1 (sf)
Cl. G, Downgraded to B1 (sf); previously on May 5, 2016 Affirmed
Ba2 (sf)
Cl. H, Downgraded to B2 (sf); previously on May 5, 2016 Affirmed
Ba3 (sf)
Cl. J, Downgraded to B3 (sf); previously on May 5, 2016 Affirmed B1
(sf)
Cl. K, Downgraded to Caa2 (sf); previously on May 5, 2016 Affirmed
B3 (sf)
Cl. L, Downgraded to Caa3 (sf); previously on May 5, 2016 Affirmed
Caa2 (sf)
Cl. XC-1, Downgraded to B2 (sf); previously on May 5, 2016 Affirmed
Ba3 (sf)
Cl. XC-2, Downgraded to B2 (sf); previously on May 5, 2016 Affirmed
Ba3 (sf)
RATINGS RATIONALE
The ratings on five P&I classes, classes C through E-2, were
affirmed because the transaction's key metrics, including Moody's
loan-to-value (LTVs) ratio, Moody's stressed debt service coverage
ratio (DSCR) and the transaction's Herfindahl Index (Herf), are
within acceptable ranges.
The ratings on six P&I classes, classes F through L, were
downgraded due to anticipated losses from the loan in special
servicing.
The ratings on the IO Classes, classes XC-1 and XC-2, were
downgraded due to a decline in the credit performance (or the
weighted average rating factor or WARF) of its referenced classes.
Moody's rating action reflects a base expected loss of 22.2% of the
current balance, compared to 1.7% at Moody's last review. Moody's
base expected loss plus realized losses is now 1.7% of the original
pooled balance, compared to 1.2% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in October 2015.
Additionally, the methodology used in rating Cl. XC-1 and Cl. XC-2
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 REALT 2007-1.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 65.6% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then applies the aggregate loss
from specially serviced 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 2, compared to 15 at Moody's last review.
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 12, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 93.3% to $34.6
million from $514 million at securitization. The certificates are
collateralized by 6 mortgage loans ranging in size from less than
1% to 65.6% of the pool. There are no loans that have defeased.
Five loans, constituting 34.4% 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.
Three loans have been liquidated from the pool, resulting in an
aggregate realized loss of $0.8 million (for an average loss
severity of 56.3%). One loan, constituting 65.6% of the pool, is
currently in special servicing. The largest specially serviced loan
is the Sundance Pooled Interest Loan ($22.7 million -- 65.6% of the
pool), which represents a pari passu interest in a $45.4 million
first mortgage loan. The loan is secured by a 175,500 square foot
(SF) office property located in the suburbs of Calgary, Alberta. As
per the April 2017 rent roll the property was 16% leased, compared
to 34% in April 2016; as compared to 53% in April 2015 and 100% in
March 2014. The loan transferred to Special Servicing on April 4,
2017 due to maturity default. The current resolution strategy, as
per the Special Servicer, is to enter into a Forbearance Agreement
with the Borrower and a agree upon a maturity extension for the
loan. Moody's has a modest loss for this loan.
Moody's received full year 2014 operating results for 100% of the
pool, and full or partial year 2015 operating results for 100% of
the pool (excluding specially serviced and defeased loans). Moody's
net cash flow (NCF) reflects a weighted average haircut of 21.9% to
the most recently available net operating income (NOI). Moody's
value reflects a weighted average capitalization rate of 8.98%.
The top three conduit loans represent 65.6% of the pool balance.
The largest loan is the 5995 & 6001 14th Avenue and 7760 Markham
Road Loan ($5.1 million -- 14.8% of the pool), which is secured by
a 37,000 square foot (SF) grocery anchored retail center located in
Markham, Ontario. The property was 100% occupied as of December
2015. The loan is full recourse. Moody's LTV and stressed DSCR are
82.6% and 1.15X, respectively, compared to 79.5% and 1.2X at the
last review.
The second largest loan is the Compass Centre One Loan ($3 million
-- 8.9% of the pool), which is secured by 37,000 square foot (SF)
warehouse flex building. As per the June 2015 rent roll the
property was 100% leased. Moody's LTV and stressed DSCR are 86.9%
and 1.12X, respectively, compared to 76.5% and 1.27X at the last
review.
The third largest loan is the Yonge Davisville Commercial Loan
($1.8 million -- 5.4% of the pool), which is secured by a two story
mixed-use commercial/residential building. As of June 2016 the
property was 97.1% occupied. The loan is full recourse. Moody's LTV
and stressed DSCR are 126.4% and 0.75X, respectively, compared to
108% and 0.88X at the last review.
REALT 2007-2: Moody's Lowers Rating on Class G Notes to B2
----------------------------------------------------------
Moody's Investors Service has affirmed the ratings on eight classes
and downgraded the ratings on eight classes in Real Estate Asset
Liquidity Trust (REALT) 2007-2, Commercial Mortgage Pass-Through
Certificates, Series 2007-2:
Cl. A-2, Affirmed Aaa (sf); previously on Jun 9, 2016 Affirmed Aaa
(sf)
Cl. A-J, Affirmed Aaa (sf); previously on Jun 9, 2016 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa2 (sf); previously on Jun 9, 2016 Affirmed Aa2
(sf)
Cl. C, Affirmed A2 (sf); previously on Jun 9, 2016 Affirmed A2
(sf)
Cl. D-1, Affirmed Baa2 (sf); previously on Jun 9, 2016 Affirmed
Baa2 (sf)
Cl. D-2, Affirmed Baa2 (sf); previously on Jun 9, 2016 Affirmed
Baa2 (sf)
Cl. E-1, Downgraded to Ba1 (sf); previously on Jun 9, 2016 Affirmed
Baa3 (sf)
Cl. E-2, Downgraded to Ba1 (sf); previously on Jun 9, 2016 Affirmed
Baa3 (sf)
Cl. F, Downgraded to Ba3 (sf); previously on Jun 9, 2016 Affirmed
Ba1 (sf)
Cl. G, Downgraded to B2 (sf); previously on Jun 9, 2016 Affirmed
Ba3 (sf)
Cl. H, Downgraded to Caa1 (sf); previously on Jun 9, 2016 Affirmed
B2 (sf)
Cl. J, Downgraded to Caa2 (sf); previously on Jun 9, 2016 Affirmed
B3 (sf)
Cl. K, Downgraded to Caa3 (sf); previously on Jun 9, 2016 Affirmed
Caa1 (sf)
Cl. L, Downgraded to Caa3 (sf); previously on Jun 9, 2016 Affirmed
Caa2 (sf)
Cl. XC-1, Affirmed Ba3 (sf); previously on Jun 9, 2016 Affirmed Ba3
(sf)
Cl. XC-2, Affirmed Ba3 (sf); previously on Jun 9, 2016 Affirmed Ba3
(sf)
RATINGS RATIONALE
The ratings on the P&I classes A-2 through D-2 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 P&I classes E-1 through L were downgraded due to
anticipated losses from specially serviced loans that were higher
than Moody's had previously expected.
The ratings on the IO classes XC-1 and XC-2 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 6.1% of the
current balance, compared to 3.2% at Moody's last review. Moody's
base expected loss plus realized losses is now 2.5% of the original
pooled balance, compared to 2.2% 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-1 and Cl. XC-2
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 REALT 2007-2.
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 12, compared to 14 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 12, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 61% to $149 million
from $377 million at securitization. The certificates are
collateralized by 24 mortgage loans ranging in size from less than
1% to 15% of the pool, with the top ten loans (excluding
defeasance) constituting 78% of the pool. One loan, constituting 3%
of the pool, has defeased and is secured by Canadian government
securities.
Twenty-two loans, constituting 78% 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.
The pool has experienced a $486,897 realized loss to date due to
one loan modification. One loan, constituting 15% of the pool, is
currently in special servicing. The specially serviced loan is the
Sundance Pooled Interest Loan ($22.7 million -- 15.3% of the pool),
which represents a pari-passu interest in a $45.4 million first
mortgage loan. The loan is secured by a 175,500 square foot (SF)
office property located in the suburbs of Calgary, Alberta. As per
the April 2017 rent roll the property was 16% leased, compared to
34% in April 2016; as compared to 53% in April 2015 and 100% in
March 2014. The loan transferred to Special Servicing on April 4,
2017 due to maturity default. The current resolution strategy, as
per the Special Servicer, is to enter into a Forbearance Agreement
with the Borrower and a agree upon a maturity extension for the
loan. Moody's estimates a modest loss for this loan.
Moody's received full year 2015 operating results for 100% of the
pool, and full or partial year 2016 operating results for 5% of the
pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 76%, compared to 77% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 8% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.0%.
Moody's actual and stressed conduit DSCRs are 1.36X and 1.43X,
respectively, compared to 1.46X and 1.39X 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 32.1% of the pool balance.
The largest loan is the 55 St. Clair Pooled Interest Loan ($16.9
million -- 11.4% of the pool), which represents a participation
interest in a $33.8 million loan. The loan is secured by a 250,000
SF office building located in downtown Toronto, Ontario. This loan
is full recourse to the borrower, Incore Equities, Inc. and Slate
Toronto Core Office, Inc. As of December 2015 the property was 85%
leased compared to 91% in December 2014 and 87% as of December
2013. Moody's LTV and stressed DSCR are 94% and 1.04X,
respectively, compared to 96% and 1.02X at the last review.
The second largest loan is the Place Louis Riel Loan ($15.8 million
-- 10.6% of the pool), which is secured by a high-rise building
located in Winnipeg, MB. The property was formerly operated as a
302 unit hotel but was converted into a multifamily building in
2014/2015, branded as the Antares Luxury Suites. As of February
2016, the multifamily units were 76% leased. Moody's LTV and
stressed DSCR are 105% and 1.09X, respectively.
The third largest loan is the Berwick Comax Valley Loan ($15
million -- 10.1% of the pool), which is secured by a 133 unit
retirement home located in Comox, BC. As of year-end 2015, the
property was 99% leased. The borrower plans to expand the facility
by 32 rooms. The loan is recourse to the borrower. Moody's LTV and
stressed DSCR are 59% and 1.46X, respectively.
RESIDENTIAL REINSURANCE 2017-I: S&P Rates Class 13 Notes 'BB-'
--------------------------------------------------------------
S&P Global Ratings said it has assigned its 'BB-(sf)' rating to the
$150 million Series 2017-I Class 13 notes issued by Residential
Reinsurance 2017 Ltd. due June 6, 2021. The notes cover losses in
all 50 states and the District of Columbia from tropical cyclones
(including flood coverage for renters' policies), earthquakes
including fire following, severe thunderstorms, winter storms,
wildfires, volcanic eruption, meteorite impact, and other perils on
an annual aggregate basis.
The rating is based on the lowest of the natural-catastrophe
(nat-cat) risk factor ('bb-'), the rating on the assets in the
Regulation 114 trust account ('AAAm'), and the rating on the ceding
insurer, various operating companies in the United Services
Automobile Association group (all currently rated
'AA+/Stable/--').
The base-case one-year probability of attachment, expected loss,
and probability of exhaustion are 0.99%, 0.59%, and 0.36%,
respectively. Using the warm sea surface temperature results,
these percentages are 1.13%, 0.68%, and 0.42%, respectively.
Additionally, this issuance has a variable reset.
Beginning with the initial reset in June 2018, the attachment
probability and expected loss can be reset to maximum of 1.24% and
0.84%, respectively. This maximum attachment probability was used
as the baseline to determine the nat-cat risk factor for the
remaining risk periods.
Based on AIR's analysis, on a historical basis, there have not been
any years when the modeled losses exceeded the initial attachment
level of the notes.
RATINGS LIST
New Rating
Residential Reinsurance 2017 Ltd.
$150 Million Sr Sec Series 2017-I Class 13 notes BB-(sf)
RESOURCE CAPITAL 2015-CRE4: Moody's Hikes Cl. C Debt Rating to B1
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Resource Capital Corp. 2015-CRE4, Ltd. ("RSO
2015-CRE4"):
Cl. B, Upgraded to Baa1 (sf); previously on Jun 22, 2016
Affirmed Baa3 (sf)
Cl. C, Upgraded to B1 (sf); previously on Jun 22, 2016 Affirmed
B3 (sf)
Moody's has also affirmed the rating on the following notes:
Cl. A, Affirmed Aaa (sf); previously on Jun 22, 2016 Affirmed
Aaa (sf)
RATINGS RATIONALE
Moody's has upgraded the ratings of two classes of notes because of
earlier than expected prepayment on high credit risk collateral,
which more than offsets the deterioration in the weighted average
rating factor (WARF) and the weighted average recovery rate (WARR).
Moody's has also affirmed the ratings of one class because key
transaction metrics are commensurate with the existing ratings. The
rating action is the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation and
collateralized loan obligation (CRE CDO CLO) transactions.
RSO 2015-CRE4 is a static cash flow transaction that is backed by a
portfolio of commercial real estate whole loans and senior
participations (100% of the collateral pool balance). The
transaction has a permitted companion loan acquisition period which
ends in August 2017, whereby principal prepayments, subject to
collateral and transaction performance metrics, may be used to
purchase companion notes with respect to certain eligible
pari-passu participations within the existing collateral pool. As
of the trustee's March 17, 2017 report, the aggregate note balance
of the transaction, including preferred shares, has decreased to
$208.6 million, from $312.9 million at issuance, as a result of
pay-downs from prepayments of the underlying collateral.
No assets are listed as defaulted as of March 17, 2017 payment
date.
Moody's has identified the following as key indicators of the
expected loss in CRE CLO transactions: the WARF, the weighted
average life (WAL), the WARR, and Moody's asset correlation (MAC).
Moody's typically models these as actual parameters for static
deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CLO pool.
Moody's has updated its assessments for the collateral it does not
rate. The rating agency modeled a bottom-dollar WARF of 4728,
compared to 4606 at last review. The current distribution of
Moody's rated collateral and assessments for non-Moody's rated
collateral is as follows: B1-B3 and 3.3% compared to 14.6% at last
review, Caa1-Ca/C and 96.7% compared to 85.4% at last review.
Moody's modeled a WAL of 3.1 years, compared to 4.0 years at last
review The WAL is based on assumptions about extensions on the
underlying collateral loan exposures.
Moody's modeled a fixed WARR of 58.4%, compared to 58.8% at last
review.
Moody's modeled a MAC of 36.7%, compared to 33.0% at last review.
The increase in MAC is due to a decrease in the number of
collateral obligors since last review.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating SF CDOs" published in October 2016.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance of the notes is subject to uncertainty, because it
is sensitive to the performance of the underlying portfolio, which
in turn depends on economic and credit conditions that are subject
to change. The servicing decisions of the master and special
servicer and surveillance by the operating advisor with respect to
the collateral interests and oversight of the transaction will also
affect the performance of the rated notes.
Moody's Parameter Sensitivities: Changes to any one or more of the
key parameters could have rating implications for the rated notes,
although a change in one key parameter assumption could be offset
by a change in one or more of the other key parameter assumptions.
The rated notes are particularly sensitive to changes in the
ratings of the underlying collateral and assessments. Holding all
other key parameters static, notching down 30% of the collateral
pool by -1 notch would result in an average modeled rating movement
on the rated notes of 0 notch downward (e.g. one notch down implies
a rating movement from Baa3 to Ba1). Additionally, notching down
30% of the collateral pool by -2 notches would result in an average
modeled rating movement on the rated notes of 0 to 1 notch
downward.
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment given the
weak recovery and certain commercial real estate property markets.
Commercial real estate property values continue to improve
modestly, along with a rise in investment activity and
stabilization in core property type performance. Limited new
construction and moderate job growth have aided this improvement.
However, sustained growth will not be possible until investment
increases steadily for a significant period, non-performing
properties are cleared from the pipeline and fears of a euro area
recession abate.
ROCKFORD TOWER 2017-1: Moody's Assigns Ba3 Rating to Cl. E Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Rockford Tower CLO 2017-1, Ltd.
Moody's rating action is as follows:
US$319,800,000 Class A Senior Secured Floating Rate Notes due 2029
(the "Class A Notes"), Assigned Aaa (sf)
US$54,750,000 Class B Senior Secured Floating Rate Notes due 2029
(the "Class B Notes"), Assigned Aa2 (sf)
US$24,750,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2029 (the "Class C Notes"), Assigned A2 (sf)
US$32,250,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2029 (the "Class D Notes"), Assigned Baa3 (sf)
US$27,750,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2029 (the "Class E Notes"), Assigned Ba3 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes, and the Class E Notes are referred to herein 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.
Rockford Tower 2017-1 is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated first lien
senior secured corporate loans. At least 90% of the portfolio must
consist of senior secured loans, cash and eligible investments, and
up to 10% of the portfolio may consist of second lien loans and
unsecured loans. The portfolio is approximately 90% ramped as of
the closing date.
Rockford Tower Capital Management, 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 4 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 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: $500,000,000
Diversity Score: 55
Weighted Average Rating Factor (WARF): 2800
Weighted Average Spread (WAS): 3.50%
Weighted Average Coupon (WAC): 5.0%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 8.25 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 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 2800 to 3220)
Rating Impact in Rating Notches
Class A Notes: 0
Class B Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: -1
Percentage Change in WARF -- increase of 30% (from 2800 to 3640)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -3
Class C Notes: -3
Class D Notes: -2
Class E Notes: -1
SAYBROOK POINT: Moody's Hikes Rating on Cl. B Notes to B3(sf)
-------------------------------------------------------------
Moody's Investors Service has upgraded the rating on notes issued
by Saybrook Point CBO, Limited:
US$18,000,000 Class B Floating Rate Senior Secured Notes Due 2036
(current outstanding balance of $7,760,868.94), Upgraded to B3
(sf); previously on October 29, 2015 Upgraded to Caa1 (sf)
Saybrook Point CBO, Limited, issued in February 2001, is a
collateralized debt obligation backed primarily by a portfolio of
RMBS and ABS originated between 1995 and 2003.
RATINGS RATIONALE
This rating action is due primarily to the deleveraging of the
Class B notes and an increase in the transaction's Class A/B
overcollateralization (OC) ratio since November 2016. The Class B
notes have paid down by approximately 19%, or $1.8 million, since
then. Based on the trustee's April 2017 report, the Class A/B OC
ratio is reported at 148.2 %, versus 136.4% in November 2016.
Despite benefits of the deleveraging, the credit quality of the
portfolio has deteriorated since November 2016. Based on the
trustee's April 2017 report, the weighted average rating factor
(WARF) is currently 7810, compared to 7448 in November 2016.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's Approach
to Rating SF CDOs," published in October 2016.
Factors That Would Lead To an Upgrade or Downgrade of the Rating:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:
1) Macroeconomic uncertainty: Primary causes of uncertainty about
assumptions are the extent of any deterioration in either consumer
or commercial credit conditions and in the residential real estate
property markets. The residential real estate property market's
uncertainties include housing prices; the pace of residential
mortgage foreclosures, loan modifications and refinancing; the
unemployment rate; and interest rates.
2) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from principal proceeds, recoveries from
defaulted assets, and excess interest proceeds will continue and at
what pace. Faster than expected deleveraging could have a
significantly positive impact on the notes' ratings.
3) Amortization profile assumptions: Moody's modeled the
amortization of the underlying collateral portfolio based on its
assumed weighted average life (WAL). Regardless of the WAL
assumption, due to the sensitivity of amortization assumption and
its impact on the amount of principal available to pay down the
notes, Moody's supplemented its analysis with various sensitivity
analysis around the amortization profile of the underlying
collateral assets.
Loss and Cash Flow Analysis:
Moody's applies a Monte Carlo simulation framework in Moody's
CDROM(TM) to model the loss distribution for SF CDOs. The simulated
defaults and recoveries for each of the Monte Carlo scenarios
define the reference pool's loss distribution. Moody's then uses
the loss distribution as an input in the CDOEdge(TM) cash flow
model.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes. Below is a summary of the impact
of different default probabilities (expressed in terms of WARF) on
all of the rated notes (by the difference in the number of notches
versus the current model output, for which a positive difference
corresponds to lower expected loss):
Caa ratings notched up by two rating notches (2353):
Class B: +2
Class C: 0
Caa ratings notched down by two notches (4096):
Class B: -1
Class C: 0
SDART 2016-2: Fitch Affirms 'BBsf' Rating on Class E Notes
----------------------------------------------------------
As part of its ongoing surveillance, Fitch Ratings has taken the
following rating actions on Santander Drive Auto Receivables Trust
(SDART) 2013-3, 2013-5, 2014-5, 2015-4, and 2016-2 transactions:
2013-3
-- Class C affirmed at 'AAAsf'; Outlook Stable;
-- Class D upgraded to 'AAAsf' from 'AAsf'; Outlook revised to
Stable from Positive;
-- Class E upgraded to 'Asf' from 'BBBsf'; Outlook Positive.
2013-5
-- Class C affirmed at 'AAAsf'; Outlook Stable;
-- Class D upgraded to 'AAAsf' from 'AAsf'; Outlook revised to
Stable from Positive;
-- Class E upgraded to 'AAsf' from 'Asf'; Outlook Positive.
2014-5
-- Class B affirmed at 'AAAsf' Outlook Stable;
-- Class C upgraded to 'AAAsf' from 'AAsf'; Outlook revised to
Stable from Positive;
-- Class D upgraded to 'AAsf' from 'Asf'; Outlook Positive;
-- Class E upgraded to 'Asf' from 'BBBsf'; Outlook Positive.
2015-4
-- Class A-3 affirmed at 'AAAsf'; Outlook Stable;
-- Class B upgraded to 'AAAsf' from 'AAsf'; Outlook revised to
Stable from Positive;
-- Class C upgraded to 'AAsf' from 'Asf'; Outlook Positive;
-- Class D upgraded to 'Asf' from 'BBBsf'; Outlook Positive;
-- Class E affirmed at 'BBsf'; Outlook Positive.
2016-2
-- Class A-2-A affirmed at 'AAAsf'; Outlook Stable;
-- Class A-2-B affirmed at 'AAAsf'; Outlook Stable;
-- Class A-3 affirmed at 'AAAsf'; Outlook Stable;
-- Class B upgraded to 'AAAsf' from 'AAsf'; Outlook Stable;
-- Class C affirmed at 'Asf'; Outlook revised to Positive from
Stable;
-- Class D affirmed at 'BBBsf'; Outlook revised to Positive from
Stable;
-- Class E affirmed at 'BBsf'; Outlook revised to Positive from
Stable.
KEY RATING DRIVERS
The rating actions are based on available credit enhancement (CE)
and loss performance to date. The collateral pools continue to
perform within Fitch's expectations. Under the CE structures, the
securities are able to withstand stress scenarios consistent with
the recommended ratings and make full payments to investors in
accordance with the terms of the documents.
As of the April 2017 servicer reports, cumulative net losses (CNLs)
were at 12.67%, 11.11%, 8.79%, 6.75% and 3.23% for 2013-3, 2013-5,
2014-5, 2015-4 and 2016-2 respectively. CNLs are all tracking well
below Fitch's initial expectations to date.
Fitch updated each loss proxy (as a percentage of original assets)
to 14.50%, 13.50%, 14.00% and 16.00% for 2013-3, 2013-5, 2014-5 and
2015-4 respectively based on each transaction's performance to
date.
The 2016-2 base case loss proxy of 17.00% from the initial review
was maintained for this review, due to low seasoning and the high
pool factor above 70%. Should performance continue to be well
within initial expectations, Fitch may revise the proxy downward in
a subsequent review.
Most cash flow modeling assumptions were unchanged for this review
versus prior reviews and the initial review for 2016-2. Fitch
updated voluntary prepayment assumptions to 1.30% and assumed
recovery rates of 50%.
The upgrades to certain notes reflect the improved loss coverage
and stronger loss multiples produced in cash flow modeling. Fitch
will continue to monitor all four transactions and may take
additional rating actions in the future. The ratings reflect the
quality of Santander Consumer USA, Inc.'s retail auto loan
originations, the adequacy of its servicing capabilities, and the
sound financial and legal structure of the transaction.
RATING SENSITIVITIES
Unanticipated increases in the frequency of defaults and loss
severity could produce loss levels higher than the current
projected base case loss proxies and impact available loss coverage
and multiples levels for both transactions. Lower loss coverage
could impact ratings and Rating Outlooks, depending on the extent
of the decline in coverage.
In the 2014-5 and 2015-4 transactions, the class E notes do exhibit
a slight decline in loss coverage multiples under a back-ended loss
timing scenario. However, Fitch believes the back-loaded scenarios
to be unlikely given the level of seasoning on each transaction and
losing timing observed on the SDART platform for prior
transactions.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
STRATFORD CLO: Moody's Affirms Ba2 Rating on Class D Notes
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Stratford CLO Ltd.:
US$41,300,000 Class B Floating Rate Senior Secured Extendable
Notes Due 2021 (current outstanding balance of $36,784,800),
Upgraded to Aaa (sf); previously on September 15, 2016 Upgraded
to Aa1 (sf)
US$37,100,000 Class C Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2021, Upgraded to A1 (sf);
previously on September 15, 2016 Affirmed Baa1 (sf)
Moody's also affirmed the ratings on the following notes:
US$16,100,000 Class D Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2021, Affirmed Ba2 (sf); previously
on September 15, 2016 Affirmed Ba2 (sf)
US$21,000,000 Class E Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2021 (current outstanding balance
of $14,676,786), Affirmed B1 (sf); previously on September 15,
2016 Affirmed B1 (sf)
Stratford CLO Ltd., issued in October 2007, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans, with some exposure to non-senior secured loans and
CLO tranches. The transaction's reinvestment period ended in
November 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 September 2016. The Class
A-1 and Class A-2 notes have been paid down by 100% or $113.4
million and $104.3 million respectively since that time. The Class
B notes have also paid down by approximately 10.9% or $4.5 million
since that time. Based on Moody's calculations, the OC ratios for
the Class B, Class C, Class D and Class E notes are 335.50%,
167.03%, 137.15% and 117.92%, respectively, versus September 2016
levels of 135.42%, 118.45%, 112.34% and 107.30%, respectively. In
addition, the deal holds a material dollar amount of thinly traded
or untraded loans, whose lack of liquidity may pose additional
risks relating to the issuer's ultimate ability or inclination to
pursue a liquidation of such assets, especially if the sales can be
transacted only at heavily discounted price levels.
Nevertheless, the credit quality of the portfolio has deteriorated
since September 2016. Based on the trustee's April 2017 report, the
weighted average rating factor is currently 2989 compared to 2785
on September 2016. Based on Moody's calculations, which include
adjustments for ratings with a negative outlook and ratings on
review for downgrade, assets with a Moody's default probability
rating of Caa1 or below currently make up 34.5% of the portfolio,
compared to 19.6% in September 2016.
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. Realization of higher than assumed
recoveries would positively impact the CLO.
6) Long-dated assets: The presence of assets that mature after the
CLO's legal maturity date exposes the deal to liquidation risk on
those assets. This risk is borne first by investors with the lowest
priority in the capital structure. Moody's assumes that the
terminal value of an asset upon liquidation at maturity will be
equal to the lower of an assumed liquidation value (depending on
the extent to which the asset's maturity lags that of the
liabilities) or the asset's current market value. The deal's
increased exposure owing to amendments to loan agreements extending
maturities continues. In light of the deal's sizable exposure to
long-dated assets, which increases its sensitivity to the
liquidation assumptions in the rating analysis, Moody's ran
scenarios using a range of liquidation value assumptions. However,
actual long-dated asset exposures and prevailing market prices and
conditions at the CLO's maturity will drive the deal's actual
losses, if any, from long-dated assets.
7) Exposure to credit estimates: The deal contains a large number
of securities whose default probabilities Moody's has assessed
through credit estimates. Moody's normally updates such estimates
at least once annually, but if such updates do not occur, the
transaction could be negatively affected by any default probability
adjustments Moody's assumes in lieu of updated credit estimates.
8) 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 $1.9 million of par, Moody's
ran a sensitivity case defaulting those assets.
9) Lack of portfolio granularity: The performance of the portfolio
depends to a large extent on the credit conditions of a few large
obligors Moody's rates non-investment grade, especially if they
jump to default.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Moody's Adjusted WARF -- 20% (3193)
Class B: 0
Class C: +1
Class D: +2
Class E: +1
Moody's Adjusted WARF + 20% (4789)
Class B: 0
Class C: -1
Class D: -1
Class E: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analyzed the collateral pool as having a performing par and
principal proceeds balance of $118.6 million, defaulted par of
$26.1 million, a weighted average default probability of 25.45%
(implying a WARF of 3991), a weighted average recovery rate upon
default of 48.43%, a diversity score of 17 and a weighted average
spread of 3.27% (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.
A material proportion of the collateral pool includes debt
obligations whose credit quality Moody's assesses through credit
estimates. Moody's analysis reflects adjustments with respect to
the default probabilities associated with credit estimates.
Specifically, Moody's assumed an equivalent of Caa3 for assets with
credit estimates that have not been updated within the last 15
months, which represent approximately 12.93% of the collateral
pool.
THUNDERBOLT AIRCRAFT: S&P Assigns 'BB' Rating on Class C Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Thunderbolt Aircraft
Lease Ltd./Thunderbolt Aircraft Lease US LLC's $344.7 million
series A, B, and C fixed-rate notes.
The note issuance is an aircraft securitization transaction backed
by 19 aircraft and the related leases and shares and beneficial
interests in entities that directly and indirectly receive aircraft
portfolio lease rental and residual cash flows, among others.
The ratings reflect:
-- The likelihood of timely interest on the series A notes
(excluding the step-up amount) on each payment date, the
timely interest on the series B notes (excluding the step-up
amount) when they are the senior-most notes outstanding on
each payment date, and the ultimate interest and principal
payment on the series A, B, and C notes on the legal final
maturity at the respective rating stress.
-- The 60.87% loan-to-value (LTV) ratio (based on the lower of
the mean and median of the three half-life base values and
the three half-life current market values) on the series A
notes; the 77.52% LTV ratio on the series B notes; and the
82.81% LTV ratio on the series C notes.
-- The aircraft collateral's quality and lease rental and
residual value generating capability. The portfolio
contains 19 in-production narrow-body passenger planes (six
A320 family, 12 B737-NG, and one A330-200). The 19 aircraft
have a weighted average age of approximately 12.6 years and
a remaining average lease term of approximately 3.2 years.
These aircraft, though entering mid-life, are still liquid
narrow-body aircraft models. While Airbus delivered the
first A320neo in January 2016 and Boeing will deliver the
B737MAX in 2017, S&P expects that the new, more fuel-
efficient models replacing all of the current A320 family
and B737-NG will take many years; we view this as a moderate
threat to aircraft values and incorporate it into S&P's
collateral evaluation.
-- Many of the initial lessees have low credit quality, and
50.5% of the lessees (by aircraft value) are domiciled in
emerging markets. S&P's view of the lessee credit quality,
country risk, lessee concentration, and country
concentration is reflected in S&P's lessee default rate
assumptions.
-- The transaction's capital structure, payment priority, note
amortization schedules, and performance triggers. Similar
to other recently rated mid-life aircraft securitizations,
this transaction has an excess proceeds payment mechanism
that can, to some extent, mitigate the value retention risk
of aging aircraft and the risk of an aircraft's green time
monetizing.
-- The existence of a liquidity facility that equals 17 months
of interest on the series A and B notes, with a floor of
$0.5 million.
-- There is a series C reserve account (initially funded with
$1 million) to cover the series C notes' interest and, at
the election of the E noteholders, scheduled principal
payments on the series C notes. ICF International performed
a maintenance analysis before closing. After closing, ICF
International will perform a forward-looking 24-month
maintenance analysis annually. The maintenance reserve
account must keep a balance of the higher of the maintenance
reserve minimum amount and the sum of forward-looking
maintenance expenses. The maintenance reserve account will
be funded at $30 million at closing. Any excess maintenance
amounts over the required amount will be transferred to the
collection account to the extent not reserved by the
borrowers to pay future maintenance expenses.
-- The senior indemnification (capped at $10 million) is
modeled to occur in the first 12 months.
-- The junior indemnification (uncapped) is subordinated to the
rated series' principal payment.
-- ALC and ALC Ireland are the servicers for this transaction.
ALC is a rapidly growing mid-tier provider of aircraft
operating leases. S&P views ALC's capability of servicing
such aircraft assets as sufficient.
-- Although the class B notes can pass S&P's rating stress at
'BBB', the slow amortization speed and its subordination
after year seven, in S&P's view, present a much higher tail
risk for the notes. Therefore, S&P's rating on the class B
notes is one notch lower than the model-implied rating.
RATINGS ASSIGNED
Thunderbolt Aircraft Lease Ltd./Thunderbolt Aircraft Lease US LLC
Series Rating Amount
(mil. $)
A A (sf) 253.4
B BBB- (sf) 69.3
C BB (sf) 22
US CAPITAL I: Moody's Hikes Ratings on 2 Tranches to Ba2(sf)
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by US Capital Funding I LTD:
US$100,000,000 Class A-1 Floating Rate Senior Notes Due 2034
(current balance of $25,347,823.89), Upgraded to Aaa (sf);
previously on December 4, 2015 Upgraded to Aa1 (sf)
US$45,000,000 Class B-1 Floating Rate Senior Subordinate Notes Due
2034, Upgraded to Ba2 (sf); previously on December 4, 2015 Upgraded
to B1 (sf)
US$24,000,000 Class B-2 Fixed/Floating Rate Senior Subordinate
Notes Due 2034, Upgraded to Ba2 (sf); previously on December 4,
2015 Upgraded to B1 (sf)
Moody's also affirmed the rating on the following note:
US$24,000,000 Class A-2 Floating Rate Senior Notes Due 2034,
Affirmed Aa3 (sf); previously on December 4, 2015 Upgraded to Aa3
(sf)
US Capital Funding I LTD, issued in February 2004, is a
collateralized debt obligation (CDO) backed by a portfolio of bank
trust preferred securities (TruPS).
RATINGS RATIONALE
The rating actions are primarily a result of the deleveraging of
the Class A-1 notes and an increase in the transaction's
overcollateralization (OC) ratios since May 2016.
The Class A-1 notes have paid down by approximately 33.1% or $12.5
million since May 2016, using principal proceeds from the
unscheduled redemption of two assets with total par of $11 million
and the diversion of excess interest proceeds. Based on Moody's
calculations, the OC ratios for the Class A-1, Class A-2, and Class
B notes have improved to 493.9%, 253.7%, and 105.8%, respectively,
from May 2016 levels of 355.3%, 218.6%, and 103.8%, respectively.
Methodology Used for the Rating Action
The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs," published in October 2016.
Factors that Would Lead to an Upgrade or Downgrade of the Rating
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:
1) Macroeconomic uncertainty: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in the
general economy. Moody's has a stable outlook on the US banking
sector.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's current
expectations could have a positive impact on the transaction's
performance. Conversely, asset credit performance weaker than
Moody's current expectations could have adverse consequences on the
transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and excess
interest proceeds will continue and at what pace. Note repayments
that are faster than Moody's current expectations could have a
positive impact on the notes' ratings, beginning with the notes
with the highest payment priority.
4) Resumption of interest payments by deferring assets: A number of
banks have resumed making interest payments on their TruPS. The
timing and amount of deferral cures could have significant positive
impact on the transaction's over-collateralization ratios and the
ratings on the notes.
5) Exposure to non-publicly rated assets: The deal contains a large
number of securities whose default probability Moody's assesses
through credit scores derived using RiskCalc™ or credit
estimates. Because these are not public ratings, they are subject
to additional uncertainties.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Assuming a two-notch upgrade to assets with below-investment grade
ratings or rating estimates (WARF of 364)
Class A-1: 0
Class A-2: +2
Class B-1: +1
Class B-2: +1
Assuming a two-notch downgrade to assets with below-investment
grade ratings or rating estimates (WARF of 882)
Class A-1: 0
Class A-2: -1
Class B-1: -2
Class B-2: -2
Loss and Cash Flow Analysis
Moody's applied a Monte Carlo simulation framework in Moody's
CDROM(TM) to model the loss distribution for TruPS CDOs. The
simulated defaults and recoveries for each of the Monte Carlo
scenarios defined the reference pool's loss distribution. Moody's
then used the loss distribution as an input in its CDOEdge(TM) cash
flow model. CDROM(TM) is available on www.moodys.com under Products
and Solutions -- Analytical models, upon receipt of a signed free
license agreement.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool as having a performing par of $125.2 million,
defaulted par of $16.0 million, a weighted average default
probability of 6.12% (implying a WARF of 582), and a weighted
average recovery rate upon default of 10.0%.
In addition to the quantitative factors Moody's explicitly models,
qualitative factors are part of rating committee considerations.
Moody's considers the structural protections in the transaction,
the risk of an event of default, recent deal performance under
current market conditions, the legal environment and specific
documentation features. All information available to rating
committees, including macroeconomic forecasts, inputs from other
Moody's analytical groups, market factors, and judgments regarding
the nature and severity of credit stress on the transactions, can
influence the final rating decision.
The portfolio of this CDO contains mainly TruPS issued by small to
medium sized U.S. community banks that Moody's does not rate
publicly. To evaluate the credit quality of bank TruPS that do not
have public ratings, Moody's uses RiskCalc(TM), an econometric
model developed by Moody's Analytics, to derive credit scores.
Moody's evaluation of the credit risk of most of the bank obligors
in the pool relies on the latest FDIC financial data.
WACHOVIA BANK 2005-C17: Moody's Affirms C Ratings on 2 Tranches
---------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on five classes
in Wachovia Bank Commercial Mortgage Trust 2005-C17, Commercial
Mortgage Pass-Through Certificates, Series 2005-C17 as follows:
Cl. H, Affirmed Caa2 (sf); previously on May 19, 2016 Affirmed Caa2
(sf)
Cl. J, Affirmed Caa3 (sf); previously on May 19, 2016 Affirmed Caa3
(sf)
Cl. K, Affirmed C (sf); previously on May 19, 2016 Affirmed C (sf)
Cl. L, Affirmed C (sf); previously on May 19, 2016 Affirmed C (sf)
Cl. X-C, Affirmed Caa3 (sf); previously on May 19, 2016 Downgraded
to Caa3 (sf)
RATINGS RATIONALE
The ratings on two P&I classes, classes H&J, were affirmed because
the transaction's key metrics, including Moody's loan-to-value
(LTV) ratio, Moody's stressed debt service coverage ratio (DSCR)
and the transaction's Herfindahl Index (Herf), are within
acceptable ranges.
The ratings on two P&I classes, classes K&L, 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 34.7% of the
current balance, compared to 24.5% at Moody's last review. Moody's
base expected loss plus realized losses is now 3.0% of the original
pooled balance, the same as at the last review. Moody's provides a
current list of base expected losses for conduit and fusion CMBS
transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in October 2015.
Additionally, the methodology used in rating Cl. X-C 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 WBCMT 2005-C17.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since Moody's has identified
troubled loans representing 67% of the pool. In this approach,
Moody's determines a probability of default for each troubled loan
that it expects will generate a loss and estimates a loss given
default based on a review of broker's opinions of value (if
available), available market data and Moody's internal data. The
loss given default for each loan also takes into consideration
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 troubled
loans to the most junior classes and the recovery as a pay down of
principal to the most senior classes.
DESCRIPTION OF MODELS USED
Moody's 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 7 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.
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 98.7% to $35.8
million from $2.7 billion at securitization. The certificates are
collateralized by 8 mortgage loans ranging in size from less than
1% to 29.3% of the pool. One loan, constituting 2% of the pool, has
defeased and is secured by US government securities.
Three loans, constituting 56.2% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Twenty loans have been liquidated from the pool, resulting in an
aggregate realized loss of $70.3 million (for an average loss
severity of 32.5%). There are currently no loans in special
servicing.
Moody's has assumed a high default probability for three poorly
performing loans, constituting 67% of the pool, and has estimated
an aggregate loss of $12.4 million (a 51.7% expected loss based on
a 81.6% probability default) from these troubled loans.
As of the April 17, 2017 remittance statement cumulative interest
shortfalls were $8.4 million. Moody's anticipates interest
shortfalls will continue because of the exposure to modified loans.
Interest shortfalls are caused by special servicing fees, including
workout and liquidation fees, appraisal entitlement reductions
(ASERs), loan modifications and extraordinary trust expenses.
Moody's received full year 2015 operating results for 100% of the
pool, and full or partial year 2016 operating results for 100% of
the pool (excluding specially serviced and defeased loans).
The top three conduit loans represent 60.3% of the pool balance.
The largest loan is the Westland Mall A-note Loan ($10.5 million
-- 29.3% of the pool), which is secured by a 338,000 square foot
(SF) regional mall located in West Burlington, Iowa. The mall was
formerly anchored by JC Penney who vacated its 92,000 square foot
(SF) space in April 2015 and continued to pay rent through its
lease expiration in March 2017. As per the December 2016 rent roll
the property was 59.6% occupied; compared to 57.96% occupied as of
year-end 2015. The 2016 year-end total in-line sales
WELLS FARGO 2015-C30: Fitch Affirms 'B-sf' Rating on Class F Certs
------------------------------------------------------------------
Fitch Ratings affirms Wells Fargo Commercial Mortgage Trust
2015-C30 commercial pass-through certificates with Stable Outlooks.
KEY RATING DRIVERS
Stable Performance: The pool's performance and Fitch's loss
projections remain stable since the last rating action. There have
been no material changes to the pool's performance since issuance.
Limited Amortization: The pool has paid down 1.2% since issuance.
Five loans representing 11.3% of the pool are interest only (IO)
for the full term. An additional 33 loans representing 43.8% of the
pool have partial IO periods and have not yet begun to amortize.
High Leverage: The pool's Fitch stressed debt service coverage
ratio (DSCR) and loan to value (LTV) at issuance were 1.44x and
104.9%, respectively. However, excluding co-op collateral, these
figures were 1.12x and 110.1%, respectively.
Secondary Markets: Only four of the top 15 loans are secured by
properties located in what Fitch considers to be primary markets.
Secondary and tertiary markets represented in the top 15 include
Troy, MI, Spokane, WA, Little Rock, AR, Columbus, OH, West
Sacramento, CA and Slidell, LA.
RATING SENSITIVITIES
The Rating Outlook for all classes remains Stable due to stable
collateral performance overall. Fitch does not foresee positive or
negative ratings migration until a material economic or asset-level
event changes the transaction's portfolio level metrics.
Fitch has affirmed the following ratings:
-- $30.2 million class A-1 at 'AAAsf', Outlook Stable;
-- $4.4 million class A-2 at 'AAAsf', Outlook Stable;
-- $150 million class A-3 at 'AAAsf', Outlook Stable;
-- $263 million class A-4 at 'AAAsf', Outlook Stable;
-- $61.8 million class A-SB at 'AAAsf', Outlook Stable;
-- $51.8 million class A-S at 'AAAsf', Outlook Stable;
-- $560.9 million* class X-A at 'AAAsf', Outlook Stable;
-- $43.5 million class B at 'AA-sf', Outlook Stable;
-- $31.5 million class C at 'A-sf', Outlook Stable;
-- $0 class PEX at 'A-sf', Outlook Stable;
-- $39.8 million class D at 'BBB-sf', Outlook Stable;
-- $16.7 million class E at 'BB-sf', Outlook Stable;
-- $16.7 million* class X-E at 'BB-sf', Outlook Stable;
-- $8.3 million class F at 'B-sf', Outlook Stable.
*Notional amount and interest-only
Fitch does not rate the G, H, X-B, X-FG or X-H certificates. The
ratings for the classA-4FX and A-4FL certificates were previously
withdrawn.
WEST CLO 2013-1: S&P Raises Rating on Class D Notes to BB-
----------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1AR, A-1BR,
A-2AR, A-2BR, and B-R replacement notes from West CLO 2013-1 Ltd.,
a collateralized loan obligation (CLO) originally issued in 2013
that is managed by Allianz Global Investors. S&P withdrew its
ratings on the original class A-1A, A-1B, A-2A, A-2B, and B notes
following payment in full on the May 8, 2017, refinancing date. At
the same time, S&P affirmed its rating on the original class C
notes and raised its rating on the class D notes one notch to
'BB- (sf)'.
On the May 8, 2017, refinancing date, the proceeds from the class
A-1AR, A-1BR, A-2AR, A-2BR, and B-R replacement note issuances were
used to redeem the original class A-1A, A-1B, A-2A, A-2B, and B
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 it assigned ratings to the
replacement notes.
The replacement notes were issued via a supplemental indenture,
which included no other substantial changes to the transaction.
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.
The upgrade of the class D notes reflects the increase in
overcollateralization since S&P's July 2016 rating actions as well
as the increase in excess spread provided by the refinancing.
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
West CLO 2013-1 Ltd.
Replacement class Rating Amount (mil. $)
A-1AR AAA (sf) 252.00
A-1BR AAA (sf) 30.00
A-2AR AA (sf) 15.00
A-2BR AA (sf) 44.00
B-R A (sf) 31.00
RATING RAISED
West CLO 2013-1 Ltd.
Original class Rating
To From
D BB- (sf) B+ (sf)
RATING AFFIRMED
West CLO 2013-1 Ltd.
Original class Rating
C BBB (sf)
RATINGS WITHDRAWN
West CLO 2013-1 Ltd.
Rating
Original class To From
A-1A NR AAA (sf)
A-1B NR AAA (sf)
A-2A NR AA (sf)
A-2B NR AA (sf)
B NR A (sf)
NR--Not rated.
[*] Fitch Affirmed & Withdrew Distressed Ratings in 845 RMBS Deals
------------------------------------------------------------------
Fitch Ratings has affirmed and subsequently withdrawn ratings on
6,753 classes in 845 U.S. RMBS transactions. All class ratings are
affirmed at 'Csf' or 'Dsf' prior to the withdrawal.
Class Rating Action Summary:
-- 504 'Csf' classes affirmed and withdrawn;
-- 6249 'Dsf' classes affirmed and withdrawn.
All classes are in transactions issued in 2009 or earlier. The
transactions consist of 406 legacy Alt-A, 269 legacy Prime, 109
legacy Subprime and 60 additional transactions collateralized with
Closed-End Second Liens, HELOCs, Manufactured Housing, and Scratch
and Dent loans.
All classes affirmed at 'Csf' prior to the withdrawal are
under-collateralized but have not yet incurred bond writedowns due
to an "implied writedown" structure that does not realize principal
losses until final maturity. Fitch expects the ratings on these
classes to remain at 'Csf' until transaction maturity. These
ratings are no longer relevant to Fitch's coverage. All classes
rated 'Dsf' have defaulted.
A spreadsheet detailing Fitch's rating actions can be found at
'www.fitchratings.com' by performing a title search for 'Fitch
Affirms and Withdraws Distressed Ratings in 845 U.S. RMBS Deals'.
RATING SENSITIVITIES
All of the classes being withdrawn have either already defaulted or
will default in the future as the total outstanding collateral is
less than the amount due on the bonds. No changes in performance
are expected to have any material change in risk of default.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
[*] Fitch Takes Various Rating Actions on 18 CRE CDOs
-----------------------------------------------------
Fitch Ratings has downgraded one, upgraded nine and affirmed 107
classes from 18 commercial real estate collateralized debt
obligations (CRE CDOs) with exposure to commercial mortgage-backed
securities (CMBS).
The individual rating actions are detailed in the report 'Fitch
Takes Various Rating Actions on 18 CRE CDOs', released and
available at 'www.fitchratings.com' by performing a title search or
by using the link included in this press release.
KEY RATING DRIVERS
This review was conducted under the framework described in the
reports, 'Global Structured Finance Rating Criteria' and 'Global
Rating Criteria for Structured Finance CDOs'. None of the reviewed
transactions have been analyzed within a cash flow model framework
due to the concentrated nature of these CDOs. The impact of any
structural features was also determined to be minimal in the
context of these outstanding CDO ratings or the hedge has expired.
A look-through analysis of the remaining underlying bonds was
performed to determine the collateral coverage of the remaining
liabilities.
Six transactions had a variance to criteria, whereby the PCM model,
was not run to determine ratings: Halcyon 2005-1, Ltd., Halcyon
2005-2, Ltd., Madison Square 2004-1, Morgan Stanley 1997-RR, MSCI
2004-RR, and N-Star Real Estate CDO I, Ltd. For these transactions
a PCM run was not deemed analytically significant, as the
respective pools are concentrated with significant exposure to
distressed collateral. In the past, for concentrated pools with
high concentrations of distressed collateral PCM runs had been
completed in parallel with a look-through analysis. However, in
these cases, PCM runs have suggested ratings higher than rating
recommendations using a look-through analysis and did not drive the
rating outcome. For concentrated pools a detailed review of
underlying collateral offers insight into future performance that
cannot be ascertained from PCM results.
For three transactions where the percentage of collateral
experiencing full interest shortfalls significantly exceeds the
credit enhancement (CE) of the most senior class of notes, Fitch
did not perform a look-through analysis or PCM run as the
probability of default for these classes of notes can be evaluated
without factoring in potential further losses.
The upgrade to class B in CT CDO IV Ltd. to 'BBsf' is attributed to
repayment of deferred interest and deleveraging of the capital
structure. The class had previously been rated 'Dsf' due to missed
timely interest payments. These payments have since been recovered;
the current ratings reflect future performance expectations as
recoveries are likely from the underlying collateral. The
transaction has received $58.3 million in pay down since the last
rating action.
The upgrades to classes A2 and B in Sorin Real Estate CDO I,
Ltd./Corp. to 'BBsf' and 'Bsf' is attributed to deleveraging of the
capital structure and collateral upgrades.
Two classes have been upgraded and four classes have been affirmed
at 'CCCsf', indicating that default is possible, due to reliance on
distressed collateral rated 'CCCsf' and below to perform and/or the
credit enhancement to the notes exceeds the percentage of
collateral with interest shortfalls.
Four classes have been upgraded and five have been affirmed at
'CCsf', indicating that default is probable, due to reliance on
distressed collateral to perform.
Fitch has affirmed 83 classes at 'Csf' due to
undercollateralization, or if these classes' CE fall below the
percentage of collateral with a Fitch derived rating of 'CCsf' or
are experiencing full interest shortfalls.
Fitch has affirmed 15 classes at 'Dsf' because they are
non-deferrable classes that have experienced interest payment
shortfalls or principal writedowns. One class was downgraded to
'Dsf' due to principal writedowns.
RATING SENSITIVITIES
Negative migration and defaults beyond those projected could lead
to downgrades for 10 transactions. Upgrades are possible with
continued deleveraging of the capital structure or with positive
migration of the underlying bond ratings. The remaining eight
transactions have limited sensitivity to further negative migration
given their highly distressed rating levels. However, there is
potential for classes to be downgraded to 'Dsf' if either they are
non-deferrable classes that experience any interest payment
shortfalls or are classes that experience principal writedowns.
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.
A list of the Affected Ratings is available at:
http://bit.ly/2pyFwzY
[*] Moody's Hikes $1.8BB of Subprime RMBS Issued 2005-2006
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 50 tranches,
from 21 transactions issued by various issuers.
Complete rating actions are as follows:
Issuer: Citigroup Mortgage Loan Trust, Series 2005-OPT3
Cl. M-5, Upgraded to B3 (sf); previously on Jan 4, 2017 Upgraded to
Caa2 (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-HE4
Cl. M-3, Upgraded to B1 (sf); previously on Nov 4, 2015 Upgraded to
Caa1 (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-HE7
Cl. M-2, Upgraded to B3 (sf); previously on Jul 18, 2011 Downgraded
to Ca (sf)
Cl. A-2c, Upgraded to Aaa (sf); previously on Jun 22, 2016 Upgraded
to Aa2 (sf)
Issuer: Morgan Stanley Home Equity Loan Trust 2005-3
Cl. M-4, Upgraded to Ca (sf); previously on Jul 15, 2010 Downgraded
to C (sf)
Issuer: New Century Home Equity Loan Trust, Series 2005-B
Cl. A-1, Upgraded to Aaa (sf); previously on Jun 23, 2016 Upgraded
to Aa2 (sf)
Cl. A-2d, Upgraded to Aa2 (sf); previously on Jun 23, 2016 Upgraded
to A2 (sf)
Cl. M-1, Upgraded to B1 (sf); previously on Jul 28, 2015 Upgraded
to B2 (sf)
Issuer: New Century Home Equity Loan Trust, Series 2005-C
Cl. A-1, Upgraded to Aa2 (sf); previously on Jun 23, 2016 Upgraded
to A1 (sf)
Cl. A-2c, Upgraded to A1 (sf); previously on Jun 23, 2016 Upgraded
to Baa1 (sf)
Cl. A-2d, Upgraded to A3 (sf); previously on Jun 23, 2016 Upgraded
to Baa3 (sf)
Cl. M-1, Upgraded to B1 (sf); previously on Jul 28, 2015 Upgraded
to Caa2 (sf)
Issuer: Nomura Home Equity Loan Trust 2006-WF1
Cl. A-4, Upgraded to Aaa (sf); previously on Jun 17, 2016 Upgraded
to Aa1 (sf)
Cl. M-1, Upgraded to Aa2 (sf); previously on Jun 17, 2016 Upgraded
to A2 (sf)
Cl. M-2, Upgraded to Ba1 (sf); previously on Jun 17, 2016 Upgraded
to B1 (sf)
Cl. M-3, Upgraded to Caa2 (sf); previously on Aug 13, 2010
Downgraded to C (sf)
Issuer: Option One Mortgage Loan Trust 2005-5
Cl. A-1, Upgraded to Aaa (sf); previously on Jun 17, 2016 Upgraded
to Aa1 (sf)
Cl. A-3, Upgraded to Aaa (sf); previously on Jun 17, 2016 Upgraded
to Aa2 (sf)
Cl. A-4, Upgraded to Aaa (sf); previously on Jun 17, 2016 Upgraded
to A1 (sf)
Cl. M-2, Upgraded to B1 (sf); previously on Jul 2, 2015 Upgraded to
Caa2 (sf)
Issuer: Option One Mortgage Loan Trust 2006-1
Cl. I-A-1, Upgraded to Aa3 (sf); previously on Jun 29, 2016
Upgraded to A1 (sf)
Cl. II-A-3, Upgraded to A1 (sf); previously on Jun 29, 2016
Upgraded to A3 (sf)
Cl. II-A-4, Upgraded to A3 (sf); previously on Jun 29, 2016
Upgraded to Baa3 (sf)
Cl. M-1, Upgraded to B1 (sf); previously on Jun 29, 2016 Upgraded
to B2 (sf)
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2005-WCH1
Cl. M-5, Upgraded to B1 (sf); previously on Sep 2, 2015 Upgraded to
B3 (sf)
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2005-WCW3
Cl. M-3, Upgraded to Caa1 (sf); previously on Jun 24, 2016 Upgraded
to Caa3 (sf)
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2005-WHQ1
Cl. M-6, Upgraded to Caa2 (sf); previously on Jul 2, 2015 Upgraded
to Ca (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2006-FR1
Cl. A-2C, Upgraded to Aa2 (sf); previously on Jun 24, 2016 Upgraded
to Baa1 (sf)
Cl. M-1, Upgraded to Ca (sf); previously on Jul 15, 2011 Downgraded
to C (sf)
Issuer: Soundview Home Loan Trust 2006-2
Cl. A-4, Upgraded to Aaa (sf); previously on Jun 29, 2016 Upgraded
to Aa2 (sf)
Cl. M-2, Upgraded to Ba3 (sf); previously on Jan 23, 2015 Upgraded
to B2 (sf)
Issuer: Specialty Underwriting and Residential Finance Trust,
Series 2005-BC2
Cl. M-3, Upgraded to Ba3 (sf); previously on Jun 23, 2016 Upgraded
to B2 (sf)
Issuer: Structured Asset Investment Loan Trust 2005-4
Cl. M2, Upgraded to Aaa (sf); previously on Jun 23, 2016 Upgraded
to Aa2 (sf)
Cl. M3, Upgraded to Aa2 (sf); previously on Jun 23, 2016 Upgraded
to A2 (sf)
Cl. M4, Upgraded to Baa2 (sf); previously on Jun 23, 2016 Upgraded
to Ba2 (sf)
Cl. M5, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded
to C (sf)
Issuer: Structured Asset Investment Loan Trust 2005-5
Cl. M2, Upgraded to Aaa (sf); previously on Jun 23, 2016 Upgraded
to Aa3 (sf)
Cl. M3, Upgraded to A2 (sf); previously on Jun 23, 2016 Upgraded to
Baa2 (sf)
Cl. M4, Upgraded to B1 (sf); previously on Jun 23, 2016 Upgraded to
Caa1 (sf)
Issuer: Structured Asset Investment Loan Trust 2005-7
Cl. M1, Upgraded to Aa1 (sf); previously on Jun 23, 2016 Upgraded
to A1 (sf)
Cl. M2, Upgraded to B2 (sf); previously on Jul 28, 2015 Upgraded to
Caa2 (sf)
Issuer: Structured Asset Securities Corp Trust 2006-WF2
Cl. A4, Upgraded to Aa1 (sf); previously on Jun 24, 2016 Upgraded
to A1 (sf)
Cl. M1, Upgraded to Baa3 (sf); previously on Jun 24, 2016 Upgraded
to B1 (sf)
Cl. M2, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded
to C (sf)
Issuer: Terwin Mortgage Trust 2006-1
Cl. I-A-3, Upgraded to Aa1 (sf); previously on Jun 15, 2016
Upgraded to A1 (sf)
Cl. I-M-1, Upgraded to Ba1 (sf); previously on Jul 2, 2015 Upgraded
to B1 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, WMABS Series
2006-HE1 Trust
Cl. I-A, Upgraded to A3 (sf); previously on Jun 17, 2016 Upgraded
to Baa3 (sf)
Cl. II-A-3, Upgraded to Baa1 (sf); previously on Jul 2, 2015
Upgraded to Ba1 (sf)
Cl. II-A-4, Upgraded to Baa3 (sf); previously on Jul 2, 2015
Upgraded to B2 (sf)
Cl. M-1, Upgraded to Ca (sf); previously on Jul 16, 2010 Downgraded
to C (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 rating action on Citigroup Mortgage Loan Trust, Series
2005-OPT3 Class M-5 also partially reflects a correction to the
cash-flow model previously used by Moody's in rating this
transaction. In prior rating actions, the cash flow model
overstated the trustee and servicing fees. This error has now been
corrected, and the rating action reflects this change. The
correction had only a small positive impact, and the rating action
is primarily due to the total credit enhancement.
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 $116.7MM of Subprime RMBS Issued in 2007
----------------------------------------------------------
Moody's Investors Service, on May 9, 2017, upgraded the ratings of
five tranches from three transactions issued by various issuers,
and backed by subprime mortgage loans.
Complete rating actions are:
Issuer: Carrington Mortgage Loan Trust, Series 2007-HE1
Cl. M-1, Upgraded to Ca (sf); previously on Apr 29, 2010 Downgraded
to C (sf)
Issuer: Home Equity Loan Asset-Backed Certificates, Series
2007-FRE1
Cl. 2-AV-2, Upgraded to Caa3 (sf); previously on Jul 14, 2010
Downgraded to Ca (sf)
Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-CH2,
Asset-Backed Pass-Through Certificates, Series 2007-CH2
Cl. AV-1, Upgraded to Aaa (sf); previously on Dec 12, 2016 Upgraded
to Aa2 (sf)
Cl. AV-3, Upgraded to Aaa (sf); previously on Dec 12, 2016 Upgraded
to Aa3 (sf)
Cl. MV-2, Upgraded to Caa2 (sf); previously on Dec 12, 2016
Upgraded to Ca (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 rating action on J.P. Morgan Mortgage Acquisition Trust
2007-CH2 Class MV-2 also partially reflects a correction to the
cash-flow model previously used by Moody's in rating this
transaction. In prior rating actions, the cash flow model did not
reimburse losses and/or arrears after a tranche was paid down. This
error has now been corrected, and rating action reflects this
change.
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 4.4% in April 2017 from 5.0% in April
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 $165MM of RFC Subprime RMBS Issued 2002-2004
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 19 tranches,
from 7 transactions issued by various issuers.
Complete rating actions are as follows:
Issuer: RAMP Series 2002-RS4 Trust
Cl. A-I-5, Upgraded to Ba3 (sf); previously on Oct 23, 2014
Upgraded to B2 (sf)
Cl. A-I-6, Upgraded to Ba1 (sf); previously on Oct 23, 2014
Upgraded to B1 (sf)
Issuer: RAMP Series 2002-RS5 Trust
Cl. A-I-5, Upgraded to Ba2 (sf); previously on Mar 30, 2011
Downgraded to B3 (sf)
Cl. A-I-6, Upgraded to Ba1 (sf); previously on Mar 30, 2011
Downgraded to B2 (sf)
Cl. A-II, Upgraded to Ba1 (sf); previously on Apr 17, 2012
Confirmed at B2 (sf)
Issuer: RAMP Series 2003-RS5 Trust
A-II-B, Upgraded to Ba1 (sf); previously on Dec 11, 2015 Upgraded
to Ba2 (sf)
Issuer: RASC Series 2003-KS2 Trust
Cl. A-I-5, Upgraded to Baa1 (sf); previously on Nov 4, 2015
Upgraded to Baa2 (sf)
Cl. A-I-6, Upgraded to A3 (sf); previously on Nov 4, 2015 Upgraded
to Baa1 (sf)
Issuer: RASC Series 2003-KS7 Trust
Cl. A-I-5, Upgraded to A2 (sf); previously on Nov 4, 2015 Upgraded
to Baa1 (sf)
Cl. A-I-6, Upgraded to A1 (sf); previously on Nov 4, 2015 Upgraded
to A3 (sf)
Issuer: RASC Series 2004-KS3 Trust
Cl. A-I-5, Upgraded to A3 (sf); previously on Aug 19, 2015 Upgraded
to Baa3 (sf)
Cl. A-I-6, Upgraded to A2 (sf); previously on Aug 19, 2015 Upgraded
to Baa2 (sf)
Cl. M-I-1, Upgraded to B2 (sf); previously on Aug 19, 2015 Upgraded
to Caa3 (sf)
Cl. M-II-1, Upgraded to Ba1 (sf); previously on Sep 3, 2014
Upgraded to B2 (sf)
Cl. M-II-2, Upgraded to Caa2 (sf); previously on Apr 5, 2011
Downgraded to C (sf)
Issuer: RASC Series 2004-KS5 Trust
Cl. A-I-5, Upgraded to Baa2 (sf); previously on Jun 25, 2015
Upgraded to B1 (sf)
Cl. A-I-6, Upgraded to Baa1 (sf); previously on Jul 30, 2015
Confirmed at Ba2 (sf)
Cl. M-I-1, Upgraded to Caa2 (sf); previously on Apr 9, 2012
Downgraded to C (sf)
Cl. M-II-1, Upgraded to B2 (sf); previously on Jun 25, 2015
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 $420.5MM of Subprime RMBS Issued 2003-2006
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 22 tranches
from nine transactions issued by various issuers, and backed by
subprime mortgage loans.
Complete rating actions are as follows:
Issuer: Aegis Asset Backed Securities Trust 2005-4
Cl. M1, Upgraded to Aa3 (sf); previously on Oct 1, 2015 Upgraded to
Baa1 (sf)
Cl. M2, Upgraded to Ba3 (sf); previously on Oct 1, 2015 Upgraded to
B2 (sf)
Cl. IA4, Upgraded to Aaa (sf); previously on Oct 1, 2015 Upgraded
to Aa3 (sf)
Cl. IIA, Upgraded to Aaa (sf); previously on Oct 1, 2015 Upgraded
to Aa3 (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF4
Cl. A-2, Upgraded to Ba1 (sf); previously on Jul 2, 2015 Upgraded
to Ba3 (sf)
Cl. A-3, Upgraded to Ba2 (sf); previously on Jul 2, 2015 Upgraded
to B2 (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF7
Cl. I-A, Upgraded to Baa3 (sf); previously on Jul 2, 2015 Upgraded
to B2 (sf)
Issuer: Long Beach Mortgage Loan Trust 2004-5
Cl. A-1, Upgraded to Aa2 (sf); previously on Mar 8, 2011 Downgraded
to A1 (sf)
Cl. A-5, Upgraded to Baa1 (sf); previously on Dec 4, 2012
Downgraded to Ba3 (sf)
Cl. A-6, Upgraded to Ba1 (sf); previously on Feb 10, 2016 Upgraded
to B3 (sf)
Cl. M-1, Upgraded to Ba3 (sf); previously on Feb 10, 2016 Upgraded
to Caa1 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 8, 2011
Downgraded to C (sf)
Issuer: Merrill Lynch Mortgage Investors, Inc. 2003-BC4
Cl. M-1, Upgraded to Baa3 (sf); previously on Mar 22, 2016 Upgraded
to Ba1 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 22, 2016 Upgraded
to Caa3 (sf)
Cl. M-3, Upgraded to Ca (sf); previously on Mar 21, 2011 Downgraded
to C (sf)
Issuer: New Century Home Equity Loan Trust, Series 2004-4
Cl. M-3, Upgraded to B3 (sf); previously on Mar 22, 2016 Upgraded
to Caa2 (sf)
Issuer: NovaStar Mortgage Funding Trust, Series 2003-4
Cl. M-2, Upgraded to B2 (sf); previously on Apr 30, 2014 Upgraded
to B3 (sf)
Issuer: Specialty Underwriting and Residential Finance Trust,
Series 2004-BC1
Cl. M-1, Upgraded to Aa3 (sf); previously on Jan 21, 2016 Upgraded
to A1 (sf)
Cl. M-2, Upgraded to Ba1 (sf); previously on Jan 21, 2016 Upgraded
to B1 (sf)
Cl. M-3, Upgraded to B3 (sf); previously on Mar 4, 2011 Downgraded
to Ca (sf)
Issuer: Structured Asset Securities Corporation Series 2005-AR1
Cl. M1, Upgraded to Aaa (sf); previously on Feb 19, 2016 Upgraded
to Aa3 (sf)
Cl. M2, Upgraded to Caa1 (sf); previously on Feb 19, 2016 Upgraded
to Caa3 (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 Hikes $5.7MM of Subprime RMBS Issued 1998-1999
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of three
tranches from two transactions, backed by subprime mortgage loans,
issued by multiple issuers.
Complete rating actions are:
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
1999-LB1
A-1F, Upgraded to Ba3 (sf); previously on Mar 11, 2011 Downgraded
to B1 (sf)
B-1A, Upgraded to Ba3 (sf); previously on Jan 26, 2016 Upgraded to
Caa1 (sf)
Issuer: New Century Asset-Backed Floating Rate Certificates Series
1998-NC6
A, Upgraded to Ba2 (sf); previously on May 15, 2012 Downgraded to
Ba3 (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to the total credit
enhancement available to the bonds compared to their expected loss.
The rating actions reflect the recent performance of the underlying
pools and Moody's updated loss expectation on the pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in 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 4.4% in April 2017 from 5.0% in April
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 $72MM of Subprime RMBS Issued 2007
----------------------------------------------------
Moody's Investors Service, on May 9, 2017, upgraded the ratings of
three tranches from two transactions issued by various issuers,
backed by subprime mortgage loans.
Complete rating actions are:
Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE1
Cl. II-1A-3, Upgraded to Ca (sf); previously on May 21, 2010
Downgraded to C (sf)
Issuer: Soundview Home Loan Trust 2007-OPT3
Cl. II-A-3, Upgraded to B1 (sf); previously on Nov 3, 2015 Upgraded
to B3 (sf)
Cl. II-A-4, Upgraded to B1 (sf); previously on Nov 3, 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 rating action on Bear Stearns Asset Backed Securities I Trust
2007-HE1 Class II-1A-3 also partially reflects a correction to the
cash-flow model previously used by Moody's in rating this
transaction. In prior rating actions, the cash flow model
incorrectly modeled cross-collateralization between subgroups,
which understated the amount of principal to be distributed to
Class II-1A-3. This error has now been corrected, and rating action
reflects this change.
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 4.4% in April 2017 from 5.0% in April
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: B3- and Lower Corp. Ratings List Down in April
-----------------------------------------------------------
The number of companies on its B3 Negative and Lower Corporate
Ratings List declined for an 13th straight month in April, Moody's
Investors Service says in a new report. The list now includes 239
companies, an 18% drop from its peak of 291 firms at the end of the
first quarter last year.
"In April, our list of low-rated companies declined as a result of
rating withdrawals and defaults," said Moody's Associate Analyst
Julia Chursin. "The list today accounts for 16% of the total US
speculative-grade population, just above its long-term average of
15% due to a still-sizable percentage of oil and gas companies."
Meanwhile, the pace of rating actions on companies that remain part
of the list moderated last month, with the probability-of-default
ratings of three downgraded and of one upgraded, Chursin says in
the rating agency's most recent B3 Negative and Lower report.
Companies rated Ca-PD or C-PD currently account for 7% of the list,
signaling more defaults ahead. Notably, of this same group of
companies, close to 70% are from the oil and gas sector, with more
than half of them oilfield services and drilling (OFS) firms.
The oil and gas sector today represents 23% of the B3 Negative and
Lower Corporate Ratings List, with lower-rated OFS issuers likely
in for another tough year due to still weak demand, overcapacity
and a high debt burden, Moody's says. Consumer and business
services, the next-most prevalent sector, represents 13% of the
list, followed by manufacturing, at 9%.
The oil and gas sector was overtaken in March by aircraft and
aerospace as the industry with the highest percentage of companies
with a corporate family rating of Ba1 or lower that end up on
Moody's list. At the end of the first quarter, the oil and gas
sector accounted for 37% of these firms, as compared to 43% for
aircraft and aerospace.
[*] S&P Completes Review on 20 Classes From 5 US RMBS Deals
-----------------------------------------------------------
S&P Global Ratings completed its review of 20 classes from five
U.S. residential mortgage-backed securities (RMBS) transactions
issued between 1998 and 2003. The review yielded one upgrade, five
downgrades, 13 affirmations, and one discontinuance.
With respect to insured obligations, where S&P maintains a rating
on the bond insurer that is lower than what it would rate the class
without bond insurance, or where the bond insurer is not rated, S&P
relied solely on the underlying collateral's credit quality and the
transaction structure to derive the rating on the class. The
rating on a bond-insured obligation will be the higher of the
rating on the bond insurer and the rating of the underlying
obligation, without considering the potential credit enhancement
from the bond insurance.
Of the classes reviewed, First Alliance Mortgage Loan Trust
1998-4's class A-1 ('AAA (sf)') is insured by MBIA Insurance Corp.
that is currently rated ('CCC') by S&P Global Ratings.
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
S&P's projected credit support for class A-1 from First Alliance
Mortgage Loan Trust 1998-4 is sufficient to cover S&P's projected
loss for this rating level. The upgrade reflects an increase in
credit support and the class' ability to withstand a higher level
of projected losses than previously anticipated. Credit support
for class A-1 increased to 84.06% in March 2017 from 65.95% in
November 2015.
DOWNGRADES
S&P lowered its rating on one class to speculative grade ('BB+' or
lower) from investment grade ('BBB-' or higher). Another one of
the lowered ratings remained at an investment-grade level, while
the remaining three downgraded classes already had
speculative-grade ratings. The downgrades reflect S&P's belief
that its projected credit support for the affected classes will be
insufficient to cover its projected losses for the related
transactions at a higher rating. The downgrades reflect erosion of
credit support and/or tail risk.
Tail Risk
Structured Asset Securities Corp. 2003-2A is backed by a small
remaining pool of mortgage loans. S&P believes that pools with
less than 100 loans remaining create an increased risk of credit
instability, because a liquidation and subsequent loss on one loan,
or a small number of loans, at the tail end of a transaction's life
may have a disproportionate impact on a given RMBS tranche's
remaining credit support.
S&P addressed the tail risk on class 3-A1 and 4-A1 from this
transaction by conducting a loan-level analysis that assesses this
risk, as set forth in S&P's tail risk criteria. The rating actions
on these classes reflect the application of S&P's tail risk
criteria.
AFFIRMATIONS
The affirmations of ratings in the 'AAA' through 'B' rating
categories reflect S&P's opinion that its projected credit support
on these classes remained relatively consistent with its prior
projections and is sufficient to cover its projected losses for
those rating scenarios.
For certain transactions, S&P considered specific performance
characteristics that, in its view, could add volatility to its loss
assumptions and, in turn, to the ratings suggested by S&P's cash
flow projections. When S&P's model recommended an upgrade, it
either limited the extent of its upgrade or affirmed its ratings on
those classes to account for this uncertainty and promote ratings
stability.
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," 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.
DISCONTINUANCES
S&P discontinued its rating on class II-P from CSFB Mortgage-Backed
Trust Series 2003-1. This class was paid in full during the
February 2015 remittance period.
A list of the Affected Ratings is available at:
http://bit.ly/2pW4goy
[*] S&P Completes Review on 33 Classes From 7 RMBS Issued 2002-2005
-------------------------------------------------------------------
S&P Global Ratings completed its review of 33 classes from seven
U.S. residential mortgage-backed securities (RMBS) transactions
issued between 2002 and 2005. The review yielded five upgrades, 11
affirmations, and 17 discontinuances. The transactions in this
review are backed by a mix of fixed- and adjustable-rate prime
jumbo, subprime, and re-performing mortgage loans, which are
secured primarily by first liens on one- to four-family residential
properties.
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
S&P's projected credit support for the affected classes is
sufficient to cover its projected losses for these rating levels.
The upgrades reflect one or more of these:
-- Improved collateral performance/delinquency trends;
-- Increased credit support relative to S&P's projected losses;
and/or
-- Expected short duration.
S&P raised its rating on class M-1 from Salomon Mortgage Loan Trust
Series 2003-CB1 to 'BB (sf)' from 'B (sf)' due to a decrease in
S&P's projected losses and its belief that its projected credit
support will be sufficient to cover its revised projected losses at
this rating level. S&P has decreased its projected losses because
there have been fewer reported delinquencies during the most recent
performance periods compared to those reported during the previous
review dates. Total delinquencies decreased to 17.47% in April
2017 from 20.86% in November 2014, and severe delinquencies
decreased to 12.37% from 18.51% during the same period. S&P also
raised its rating on class M-2 from Salomon Mortgage Loan Trust
Series 2003-CB1 to 'B (sf)' from 'CCC (sf)'
because S&P believes this class is no longer vulnerable to default,
primarily owing to the improved performance of the collateral
backing this transaction.
The upgrade on class A-4 from Popular ABS Mortgage Pass-Through
Trust 2005-D to 'BBB- (sf)' from 'BB+ (sf)' reflects the shorter
expected duration. S&P anticipates the class to be paid down
within the next 12 months.
The upgrades on classes A-1 and A-2 from Morgan Stanley ABS Capital
I Inc. Trust 2003-SD1 to 'AA (sf)' from 'A+ (sf)' reflect an
increase in credit support and the classes' ability to withstand a
higher level of projected losses than previously anticipated.
Credit support for class A-1 increased to 63.35% in April 2017 from
60.78% in November 2014, and credit support for class A-2 increased
to 51.13% from 47.71%.
AFFIRMATIONS
The affirmations of ratings in the 'AAA' through 'B' rating
categories reflect S&P's opinion that its projected credit support
on these classes remained relatively consistent with its prior
projections and is sufficient to cover its projected losses for
those rating scenarios.
For certain transactions, S&P considered specific performance
characteristics that, in its view, could add volatility to its loss
assumptions and, in turn, to the ratings suggested by S&P's cash
flow projections. When S&P's model recommended an upgrade, it
either limited the extent of its upgrade or affirmed its ratings on
those classes to account for this uncertainty and promote ratings
stability. In general, these classes have one or more of these
characteristics that limit any potential upgrade:
-- Insufficient subordination, overcollateralization, or both;
-- Delinquency trends; 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.
DISCONTINUANCES
S&P discontinued its ratings on 17 classes that were paid in full
during recent remittance periods. Class M-I-1 from RASC Series
2002-KS2 Trust paid down in February 2017, class AF-6 from Popular
ABS Mortgage Pass-Through Trust 2005-5 paid down in September 2016,
and MASTR Asset Securitization Trust 2002-8 paid down in March
2017.
MASTR Asset Securitization Trust 2002-8
Rating to Rating From
Class 1-A-1 NR AA+(sf) Paid down
Class 1-A-2 NR AA+(sf) Paid down
Class 1-A-3 NR AA+(sf) IO criteria
Class 1-A-4 NR AA+(sf) Paid down
Class 1-A-5 NR AA+(sf) Paid down
Class 1-A-11 NR AA+(sf) Paid down
Class 1-PO NR AA+(sf) PO criteria
Class 1-A-X NR AA+(sf) IO criteria
Class 2-A-5 NR AA+(sf) Paid down
Class 2-A-6 NR AA+(sf) Paid down
Class 2-PO NR AA+(sf) PO criteria
Class 2-A-X NR AA+(sf) IO criteria
Class B-1 NR BBB-(sf) Paid down
Class B-2 NR CCC(sf) Paid down
Class B-3 NR CCC(sf) Paid down
Morgan Stanley ABS Capital I Inc. 2002-8
Rating to Rating From
Class A-1 AA A+ Increased credit support
Class A-2 AA A+ Increased credit support
Class M-1 CCC CCC
Popular ABS Mortgage Pass-Through Trust 2005-5
Class AF-6 NR D Paid down
Class MV-1 CCC CCC
Class A-4 BBB- BB+ Expected short duration
RASC Trust Series 2002-KS2
Class M-I-1 NR D Paid down
Class A-I-5 A A
Class A-I-6 A+ A+
Class M-I-1 B- B-
Class M-II-1 CCC CCC
Class M-I-2 CCC CCC
Class M-II-2 CC CC
Class M-I-3 CC CC
Salomon Mortgage Loan Trust, Series 2003-CB1
Class AF AA- AA-
Class M-1 BB B Decreased delinquencies
Class M-2 B CCC Decreased delinquencies
Class B-1 CCC CCC
IO-Interest only
PO-Principal only
NR-not rated
*********
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