/raid1/www/Hosts/bankrupt/TCR_Public/170611.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, June 11, 2017, Vol. 21, No. 161
Headlines
AIRCRAFT FINANCE 1999-1: Moody's Cuts Rating on Cl A-1 Notes to C
AIRPLANES PASS THROUGH 2001: Moody's Cuts Rating on A-9 Certs. to C
AMERICAN CREDIT 2017-2: S&P Assigns 'BB-' Rating on Cl. E Notes
APIDOS CLO XXVI: Moody's Assigns Ba3(sf) Rating to Cl. D Notes
ARES CLO XXVII: Moody's Assigns (P)Ba3 Rating to Class E-R Notes
BANC OF AMERICA 2004-3: Moody's Affirms Ba1 Rating on Cl. G Certs
BANC OF AMERICA 2005-1: Fitch Affirms Bsf Rating on Class B Certs
BAYVIEW COMMERCIAL 2006-4: Moody's Cuts Cl. M-3 Notes Rating to Ca
BAYVIEW OPPORTUNITY 2017-SPL4: DBRS Finalizes B Rating on B5 Debt
BEAR STEARNS 2004-TOP14: Moody's Affirms B1 Rating on Class O Certs
BEAR STEARNS 2005-PWR9: S&P Affirms 'B-' Rating on Class F Certs
BEAR STEARNS 2006-PWR11: S&P Lowers Rating on 2 Tranches to D
CD 2005-CD1: Moody's Affirms B3 Rating on Class F Certificates
CD MORTGAGE 2007-CD5: Moody's Hikes Class B Debt Rating to Ba1
CLNS TRUST 2017-IKPR: S&P Assigns B- Rating on Cl. F Certificates
COMM 2015-PC1: DBRS Confirms B(low)(sf) Rating on Class F Debt
COMMONBOND STUDENT 2017-A-GS: DBRS Assigns BB Rating to Cl. C Debt
CONNECTICUT AVENUE 2017-C04: Fitch Rates 19 Tranches 'Bsf'
CPS AUTO: DBRS Reviews 51 Ratings From 10 ABS Transactions
CREDIT SUISSE 2006-TFL2: Fitch Affirms CCCsf Rating on Cl. K Debt
CSFB COMMERCIAL 2005-C4: Moody's Affirms C(sf) Rating on A-X Certs
CSMC TRUST 2017-FHA1: Moody's Assigns B3sf Rating to Cl. B-3 Notes
DBJPM MORTGAGE 2017-C6: Fitch to Rate Class F-RR Certs 'B-sf'
DEEPHAVEN RESIDENTIAL 2017-2: S&P Gives (P)B Rating to B-2 Notes
DORAL CLO III: S&P Affirms 'BB' Rating on Class D Notes
DT AUTO OWNER: DBRS Review 22 Ratings From 7 US ABS Deals
FLAGSHIP CREDIT 2017-2: DBRS Finalizes BB Rating on Class E Debt
GE BUSINESS 2005-2: S&P Raises Rating on Class D Notes to 'BB+'
GE COMMERCIAL 2007-C1: S&P Affirms 'B-' Rating on 3 Tranches
GMAC COMMERCIAL 1997-C2: Moody's Affirms Csf Rating on Cl. H Debt
GOLDMAN SACHS 2013-G1: Fitch Affirms 'BBsf' Rating on Cl. DM Debt
GRAMERCY REAL 2005-1: Fitch Affirms 'CCCsf' Rating on Cl. G Debt
GS MORTGAGE 2017-GS6: Fitch Assigns 'B-sf' Rating to Class F Certs
HMH TRUST 2017-NSS: S&P Assigns Prelim. B- Rating on Class F Certs
IVY HILL XII: Moody's Assigns Ba3(sf) Rating to Class D Notes
JP MORGAN 2000-C10: Moody's Affirms C(sf) Rating on Class G Certs
JP MORGAN 2004-PNC1: Fitch Affirms 'CCsf' Rating on Class G Certs
JP MORGAN 2005-CIBC11: S&P Raises Rating on Class H Debt to CCC
JP MORGAN 2006-LDP7: Moody's Affirms C(sf) Ratings on 4 Tranches
JP MORGAN 2017-2: Moody's Assigns Ba3(sf) Rating to Cl. B-5 Debt
KODIAK CDO II: Moody's Hikes Rating on Class A-3 Notes to Ba1
LB-UBS COMMERCIAL 2004-C2: S&P Raises Rating on Cl. J Debt to BB+
MFA TRUST 2017-RPL1: Fitch to Rate Class B-2 Notes 'Bsf'
MILL CITY 2017-2: Fitch to Rate Class B2 Notes 'Bsf'
MORGAN STANLEY 1998-CF1: Moody's Affirms Caa3 Rating on Cl. X Certs
MORGAN STANLEY 2006-HQ8: S&P Lowers Rating on Cl. E Certs to D
MORGAN STANLEY 2011-C3: Moody's Affirms B2 Rating on Class B2 Certs
PAINE WEBBER 1999-C1: Moody's Affirms C(sf) Rating on Cl. H Notes
PEGASUS AVIATION 2001-1: Moody's Cuts Ratings on 2 Tranches to Csf
PREFERRED TERM IV: Moody's Hikes Class M Notes Rating to Ba1(sf)
SEQUOIA MORTGAGE 2017-4: Moody's Assigns (P)Ba3 Rating to B4 Certs
TABERNA PREFERRED IX: Moody's Hikes Rating on 2 Tranches to Ba1
TOWD POINT 2017-2: DBRS Finalizes B(sf) Ratings on Class B2 Debt
TOWD POINT 2017-2: Fitch Assigns 'Bsf' Rating to Class B2 Notes
TOWD POINT 2017-2: Moody's Assigns Ba2(sf) Rating to Cl. B1 Notes
TRAPEZA CDO VII: Moody's Raises Ratings on 2 Tranches to Caa3
UNITED AUTO 2017-1: DBRS Assigns Prov. BB(low) Rating to Cl. E Debt
UNITED AUTO 2017-1: S&P Assigns Prelim. BB- Rating on Cl. E Notes
VOYA CLO 2017-2: S&P Assigns 'BB-' Rating on Class D Notes
WACHOVIA BANK 2003-C7: Moody's Hikes Class G Certs Rating to B1
WACHOVIA BANK 2007-C31: S&P Hikes Rating on Class B Certs to BB+
WAMU COMMERCIAL 2007-SL2: Moody's Affirms B1 Rating on Class D Debt
WELLS FARGO 2012-CCRE2: Fitch Affirms B Rating on Class G Certs
ZAIS CLO 6: Moody's Assigns Ba3(sf) Rating to Class E Notes
[*] Moody's Hikes $476.2MM of ARM & Alt-A RMBS Issued 2005-2006
[*] Moody's Takes Action on $17.6MM of RMBS Issued 2003-2005
[*] Moody's Takes Action on $355MM of RMBS Issued 2004-2005
[*] S&P Completes Review on 101 Classes From 14 RMBS Deals
[] S&P Lowers Ratings to 'D' on 86 Classes From 57 RMBS Deals
*********
AIRCRAFT FINANCE 1999-1: Moody's Cuts Rating on Cl A-1 Notes to C
-----------------------------------------------------------------
Moody's Investors Service has downgraded the rating of Class A-1
issued by Aircraft Finance Trust, Series 1999-1.
The complete rating action is:
Issuer: Aircraft Finance Trust, Series 1999-1
Class A-1, Downgraded to C (sf); previously on Apr 13, 2015
Downgraded to Ca (sf)
RATINGS RATIONALE
The downgrade rating action on Class A-1 issued by Aircraft Finance
Trust, Series 1999-1 reflects the continued increase in loss
percentage expectation for the Class A-1 Notes, measured as a
percentage of the outstanding note balance, and Moody's
expectations about the pace of future note amortization. The bond
has not received any principal since December 2016 when a
B767-300ER aircraft was sold at approximately 50% of its appraised
value resulting in lower than expected bond recoveries. Since
December, there have been sale or conditional sale agreements
signed for three further aircraft backing the deal, with, in
aggregate, sales prices of 31% of their latest appraisal values
(assuming 10% per annum depreciation since the December 2016
appraisal).
Using the most recent appraisal values (assuming 10% per annum
depreciation since the December 2016 appraisal), and anticipated
sales prices for the three aircraft subject to sale, plus the
reserve account as a rough proxy for expected Class A Note
principal pay down, note holder recovery would be around 23%.
As of May 2017 calculation date, there are seven aircraft in the
deal. The portfolio backing Aircraft Finance Trust, Series 1999-1
consists of seven aircraft with a 38% concentration in B767s, 20%
in Airbus 320s, and 42% in B737s weighted by appraised aircraft
value.
PRINCIPAL METHODOLOGY
The principal methodology used in this rating was "Moody's Approach
To Pooled Aircraft-Backed Securitization" published in March 1999.
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 the transaction will be neutral. 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.
Primary sources of uncertainty include the global economic
environment, aircraft lease income generating ability, aircraft
maintenance and other expenses to the trust, and valuation for the
aircraft backing the transaction.
Factors that would lead to an upgrade of the rating:
Changes to lease rates or aircraft values that differ from
historical and current trends.
AIRPLANES PASS THROUGH 2001: Moody's Cuts Rating on A-9 Certs. to C
-------------------------------------------------------------------
Moody's Investors Service has downgraded the rating of the Subclass
A-9 Certificates issued by Airplanes Pass Through Trust, Series
2001 Refinancing Trust.
The complete rating action is:
Issuer: Airplanes Pass Through Trust, Series 2001 Refinancing
Trust
Subclass A-9, Downgraded to C (sf); previously on Nov 20, 2014
Downgraded to Ca (sf)
RATINGS RATIONALE
The downgrade reflects Moody's increased loss expectation for this
bond, measured as a percentage of the outstanding Subclass A-9 bond
balance. As of April 2017, a significant portion of the required
expense reserve was used to pay down the bond, resulting in lower
future recoveries for the bond based on the remaining cash
available in the required expense reserve.
Given that all the aircraft backing the transaction have been sold,
the future cash flows to the Subclass A-9 bond will rely solely on
the remaining cash in the required expense reserve. Even if the
bond receives all the cash in the reserve as principal, the loss on
the bond will be approximately 84%, expressed as a percentage of
the outstanding bond balance, consistent with C rating.
There is an ongoing litigation between Airplanes Holdings Limited,
a subsidiary of the issuer Airplanes Limited, and Transbrasil, a
former lessee, which could potentially require litigation-related
payment in the future. In April 2017, the Board decreased the
required expense reserve amount to $45.7MM from $185.0MM to take
into account the view of reduced litigation risk.
PRINCIPAL METHODOLOGY
The principal methodology used in this rating was "Moody's Approach
To Pooled Aircraft-Backed Securitization" published in March 1999.
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 the transaction will be neutral. 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 of the rating:
None because even in the scenario where Subclass A-9 receives all
the cash in the required expense reserve, the bond rating is still
implied at C (sf).
AMERICAN CREDIT 2017-2: S&P Assigns 'BB-' Rating on Cl. E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to American Credit
Acceptance Receivables Trust 2017-2's $220.110 million asset-backed
notes series 2017-2.
The note issuance is asset-backed securities transaction backed by
subprime auto loan receivables.
The ratings reflect:
-- The availability of approximately 67.0%, 59.9%, 50.0%,
41.3%, and 37.2% credit support for the class A, B, C, D,
and E notes, respectively, based on break-even stressed cash
flow scenarios (including excess spread), which provides
coverage of approximately 2.30x, 2.05x, 1.67x, 1.35x, and
1.20x S&P's 28.50%-29.50% expected net loss range for the
class A, B, C, D, and E notes, respectively.
-- The timely interest and principal payments made to the rated
notes by the assumed legal final maturity dates under S&P's
stressed cash flow modeling scenarios that S&P believes is
appropriate for the assigned ratings. The expectation that
under a moderate ('BBB') stress scenario, all else being
equal, the ratings on the class A, B, and C notes would
remain within the same rating category as S&P's 'AAA (sf)',
'AA (sf)', and 'A (sf)' ratings, the ratings on the class D
notes would remain within two rating categories of S&P's
'BBB (sf)' rating, and the rating on the class E notes would
also remain within two rating categories of S&P's 'BB- (sf)'
rating in the first year, but that class is expected to
default by its legal final maturity date with approximately
65%-79% repayment. These potential rating movements are
consistent with S&P's credit stability criteria, which
outline the outer bound of credit deterioration equal to
a one rating category downgrade within the first year for
'AAA' and 'AA' rated securities and a two rating category
downgrade within the first year for 'A' through 'BB' rated
securities under moderate stress conditions. Eventual
default for a 'BB' rated class under a moderate ('BBB')
stress scenario is also consistent with our credit stability
criteria.
-- The collateral characteristics of the subprime automobile
loans securitized in this transaction.
The backup servicing arrangement with Wells Fargo Bank N.A. (Wells
Fargo).
-- The transaction's payment and credit enhancement structures.
-- The transaction's legal structure.
RATINGS ASSIGNED
American Credit Acceptance Receivables Trust 2017-2
Class Rating Type Interest Amount
rate (mil. $)
A AAA (sf) Senior Fixed 93.30
B AA (sf) Subordinate Fixed 25.63
C A (sf) Subordinate Fixed 49.28
D BBB (sf) Subordinate Fixed 39.42
E BB- (sf) Subordinate Fixed 12.48
APIDOS CLO XXVI: Moody's Assigns Ba3(sf) Rating to Cl. D Notes
--------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Apidos CLO XXVI.
Moody's rating action is:
US$295,000,000 Class A-1A Senior Secured Floating Rate Notes due
2029 (the "Class A-1A Notes"), Definitive Rating Assigned Aaa (sf)
US$25,000,000 Class A-1B Senior Secured Floating Rate Notes due
2029 (the "Class A-1B Notes"), Definitive Rating Assigned Aaa (sf)
US$52,500,000 Class A-2 Senior Secured Floating Rate Notes due 2029
(the "Class A-2 Notes"), Definitive Rating Assigned Aa2 (sf)
US$37,500,000 Class B Mezzanine Deferrable Floating Rate Notes due
2029 (the "Class B Notes"), Definitive Rating Assigned A2 (sf)
US$30,000,000 Class C Mezzanine Deferrable Floating Rate Notes due
2029 (the "Class C Notes"), Definitive Rating Assigned Baa3 (sf)
US$20,000,000 Class D Mezzanine Deferrable Floating Rate Notes due
2029 (the "Class D Notes"), Definitive Rating Assigned Ba3 (sf)
The Class A-1A Notes, the Class A-1B Notes, the Class A-2 Notes,
the Class B Notes, the Class C Notes and the Class D Notes are
referred to herein, collectively, as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
Apidos XXVI is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 96% of the portfolio must consist
of senior secured loans and eligible investments, and up to 4% of
the portfolio may consist of second lien loans and unsecured loans.
The portfolio is approximately 80% ramped as of the closing date.
CVC Credit Partners U.S. 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 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 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: 65
Weighted Average Rating Factor (WARF): 2900
Weighted Average Spread (WAS): 3.65%
Weighted Average Coupon (WAC): 6.00%
Weighted Average Recovery Rate (WARR): 48%
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 2900 to 3335)
Rating Impact in Rating Notches
Class A-1A Notes: 0
Class A-1B Notes: -1
Class A-2 Notes: -1
Class B Notes: -2
Class C Notes: -1
Class D Notes: 0
Percentage Change in WARF -- increase of 30% (from 2900 to 3770)
Rating Impact in Rating Notches
Class A-1A Notes: 0
Class A-1B Notes: -2
Class A-2 Notes: -3
Class B Notes: -4
Class C Notes: -2
Class D Notes: -1
ARES CLO XXVII: Moody's Assigns (P)Ba3 Rating to Class E-R Notes
----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to seven
classes of notes issued by Ares XXVII CLO Ltd.
Moody's rating action is:
US$4,500,000 Class X-R Senior Floating Rate Notes due 2030 (the
"Class X-R Notes"), Assigned (P)Aaa (sf)
US$229,100,000 Class A-1-R Senior Floating Rate Notes due 2030 (the
"Class A-1-R Notes"), Assigned (P)Aaa (sf)
US$35,550,000 Class A-2-R Senior Floating Rate Notes due 2030 (the
"Class A-2-R Notes"), Assigned (P)Aaa (sf)
US$27,650,000 Class B-R Senior Floating Rate Notes due 2030 (the
"Class B-R Notes"), Assigned (P)Aa2 (sf)
US$25,675,000 Class C-R Mezzanine Deferrable Floating Rate Notes
due 2030 (the "Class C-R Notes"), Assigned (P)A2 (sf)
US$21,725,000 Class D-R Mezzanine Deferrable Floating Rate Notes
due 2030 (the "Class D-R Notes"), Assigned (P)Baa3 (sf)
US$23,700,000 Class E-R Mezzanine Deferrable Floating Rate Notes
due 2030 (the "Class E-R Notes"), Assigned (P)Ba3 (sf)
The Class X-R Notes, Class A-1-R Notes, Class A-2-R Notes, Class
B-R Notes, Class C-R Notes, Class D-R Notes, Class E-R Notes are
referenced to herein as the "Refinancing Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
RATINGS RATIONALE
Moody's provisional ratings of the Refinancing Notes address the
expected losses posed to noteholders. The provisional ratings
reflect the risks due to defaults on the underlying portfolio of
assets, the transaction's legal structure, and the characteristics
of the underlying assets.
The Issuer is expected to issue the Refinancing Notes on June 22,
2017 (the "Refinancing Date") in connection with the refinancing of
six classes of secured notes (the "Refinanced Original Notes"),
previously issued on July 26, 2013 (the "Original Closing Date").
Proceeds from the issuance of the Refinancing Notes will be used to
redeem in full six classes of secured notes issued on the Original
Closing Date. On the Original Closing Date, the Issuer also issued
one class of subordinated notes that will remain outstanding. On
the Refinancing Date, the Issuer will issue additional subordinated
notes.
In addition to the issuance of Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These changes include: extensions of the
reinvestment period, stated maturity and non-call period; changes
to certain collateral quality tests; changes to the initial asset
matrix and recovery rate modifier matrix; changes to the
overcollateralization test levels; and a variety of other changes
to transaction features.
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of senior secured, broadly syndicated corporate loans. At least 90%
of the portfolio must consist of senior secured loans that are
secured by a valid first priority perfected security interest and
eligible investments, and up to 10% of the portfolio may consist of
second lien loans and unsecured loans.
Ares CLO Management LLC (as successor asset manager to Ares CLO
Management XXVII, L.P.) (the "Manager") manages the CLO. It directs
the selection, acquisition, and disposition of collateral on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transactions remaining five year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
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.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Performing par: $394,954,471
Diversity Score: 75
Weighted Average Rating Factor (WARF): 3005
Weighted Average Spread (WAS): 3.45%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 48.00%
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 3005 to 3456)
Rating Impact in Rating Notches
Class X-R Notes: 0
Class A-1-R Notes: 0
Class A-2-R Notes: -1
Class B-R Notes: -2
Class C-R Notes: -2
Class D-R Notes: -1
Class E-R Notes: -1
Percentage Change in WARF -- increase of 30% (from 3005 to 3907)
Rating Impact in Rating Notches
Class X-R Notes: 0
Class A-1-R Notes: -1
Class A-2-R Notes: -3
Class B-R Notes: -4
Class C-R Notes: -4
Class D-R Notes: -2
Class E-R Notes: -1
BANC OF AMERICA 2004-3: Moody's Affirms Ba1 Rating on Cl. G Certs
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on four classes
in Banc of America Commercial Mortgage Inc. Commercial Mortgage
Pass-Through Certificates, Series 2004-3 as follows:
Cl. F, Affirmed Aa2 (sf); previously on Jul 13, 2016 Upgraded to
Aa2 (sf)
Cl. G, Affirmed Ba1 (sf); previously on Jul 13, 2016 Affirmed Ba1
(sf)
Cl. H, Affirmed C (sf); previously on Jul 13, 2016 Affirmed C (sf)
Cl. X, Affirmed Ca (sf); previously on Jul 13, 2016 Downgraded to
Ca (sf)
RATINGS RATIONALE
The ratings on Classes F and G were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The rating on Class H was affirmed because the rating is consistent
with Moody's expected and realized losses. Class H has already
experienced a 26% realized loss as result of previously liquidated
loans.
The rating on the IO class, Class X, was affirmed because the class
does not, nor is expected to receive monthly interest payments.
Moody's rating action reflects a base expected loss of 13.2% of the
current balance, compared to 12.8% at Moody's last review. Moody's
base expected loss plus realized losses is now 4.5% 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 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 in Banc of America Commercial
Mortgage Inc. Commercial Mortgage Pass-Through Certificates, Series
2004-3.
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 May 10, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $24.8 million
from $1.2 billion at securitization. The certificates are
collateralized by three mortgage loan. There are no loans with
investment grade structured credit assessments or that have
defeased from the pool.
Six loans have been liquidated from the pool, resulting in an
aggregate realized loss of $48.8 million (for an average loss
severity of 87.3%). One loan, constituting 28.7% of the pool, is
currently in special servicing. The specially serviced loan is the
Nextel Office Building -- Temple, TX Loan ($7.1 million), which is
secured by an 108,800 square foot (SF) single story office
building. The loan transferred to special servicing in January 2016
due to maturity default. The property was formerly occupied by a
single tenant, Nextel (Sprint) of Texas. The tenant entered into an
a lease amendment in May 2015 whereby, among other things, agreed
to extend the term for 5 years and downsized from 108,800 SF to
54,117 SF. Sprint ceased operations and vacated the entire building
in February 2016 but continues to pay rent. The asset became real
estate owned (REO) in December 2016.
The two performing loans represent 71.3% of the pool balance. The
largest loan is the Shops at Camp Lowell Loan ($9.5 million --
38.3% of the pool), which is secured by a retail shopping center
that consists of three one-story buildings. As per the March 2017
rent roll, the property was 96% occupied, compared to 95% in
December 2015. The loan is benefitting from amortization and has a
Moody's LTV and stressed DSCR of 99% and 1.03X, respectively,
compared to 101% and 1.01X at the last review.
The other performing loan is the Mountain View Marketplace Loan
($8.2 million -- 32.9% of the pool), which is secured by an 123,172
SF Safeway anchored retail shopping center in Phoenix, Arizona. As
per the March 2017 rent roll, the property was 80% occupied,
compared to 79% occupied as of December 2015. Moody's LTV and
stressed DSCR are 86% and 1.10X, respectively, essentially the same
as at last review.
BANC OF AMERICA 2005-1: Fitch Affirms Bsf Rating on Class B Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Banc of America Commercial
Mortgage Inc. commercial mortgage pass-through certificates, series
2005-1.
KEY RATING DRIVERS
The affirmations are based on the stable performance of the pool
since last rating action. As of the May 2017 distribution date, the
pool's aggregate principal balance has been reduced by 93.4% to
$153 million from $2.4 billion at issuance.
Concentration & Adverse Selection: The pool is highly concentrated
with only three of the original 140 assets remaining, of which two
(98% of the pool balance) are in special servicing. Due to the
concentrated nature of the pool, Fitch performed a sensitivity
analysis which grouped the remaining loans based on loan structural
features, collateral quality and performance which ranked them by
their perceived likelihood of repayment. This includes the one
fully amortizing loan, and two specially serviced assets. The
ratings reflect this sensitivity analysis.
Specially Serviced Loans: The two largest remaining assets (98% of
pool balance) are in special servicing and consist of struggling
retail properties.
The largest specially serviced loan in the pool is the Mall at
Stonecrest (61% of the pool) which is secured by the 396,840 square
foot (sf) portion of a regional mall totalling 1.2 million sf
located in Lithonia, GA, approximately 20 miles east of downtown
Atlanta. The loan transferred to the special servicer in January
2013 for imminent payment default. The loan is current but in
maturity default for not paying off at the October 2016 maturity
date. As of March 2017, the mall had a collateral occupancy of
approximately 97% and a total occupancy of 87%. The year-end 2016
net operating income (NOI) debt service coverage ratio (DSCR) was
1.40x and in-line sales were $441 PSF. The borrower is requesting a
26 month extension until December 2018 to allow the new tenants,
H&M and Round 1 Bowling and Amusement, to open and generate
adequate operating history in order to refinance the loan.
The second largest specially serviced asset is Indian River Mall &
Commons (37% of the pool). The real estate owned (REO) asset is
secured by a 302,456 sf portion of the single-story 748,008 sf
enclosed regional mall and a 132,121 sf portion of the adjacent
260,868 sf power center located in Vero Beach, FL. The loan
transferred to special servicing in August 2014 and the borrower
did not pay off the loan at the November 2014 maturity. The overall
mall was 86.5% occupied and the in-line tenants were 66% occupied
as of March 2017. The Commons was separated from the Indian River
Mall and sold in April 2016 for $16.5 million. Proceeds from the
sale were applied as principal paydown to the trust. The mall was
put up for sale at the end of March 2017 and best and final offers
were requested in the middle of May.
RATING SENSITIVITIES
The Negative Outlook for class B reflects the uncertainty
surrounding The Mall at Stonecrest and The Indian River Mall and
Commons and the possibility of increased losses as the pool is
concentrated. Further downgrades to the remaining classes are
possible should expected losses to the specially serviced loans
increase, or realized losses on either specially serviced asset be
higher than anticipated.
Fitch affirms and revises Outlooks for the following classes:
-- $6.4 million class A-J at 'Asf'; Outlook to Stable
from Negative;
-- $61 million class B at 'Bsf'; Outlook Negative;
-- $20.3 million class C at 'CCsf'; RE 25%;
-- $43.5 million class D at 'Csf'; RE 0%;
-- $20.3 million class E at 'Csf'; RE 0%;
-- $1.7 million class F at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%.
BAYVIEW COMMERCIAL 2006-4: Moody's Cuts Cl. M-3 Notes Rating to Ca
------------------------------------------------------------------
Moody's Investors Service upgraded three tranches from two
transactions and downgraded one tranche from one transaction issued
by Bayview Commercial Asset Trust, reflecting the performance of
the transactions. The Bayview transactions are backed by small
business loans secured primarily by small commercial real estate
properties in the U.S. owned by small businesses and investors; the
2006-CAD1 transaction's loans are secured by small commercial real
estate properties located in Canada.
Complete rating actions are as follows:
Issuer: BayView Commercial Asset Trust 2006-CAD1
Cl. B-2, Upgraded to Aa1 (sf); previously on Nov 22, 2016 Upgraded
to Aa2 (sf)
Issuer: Bayview Commercial Asset Trust 2006-4
Cl. M-3, Downgraded to Ca (sf); previously on Jan 14, 2016
Downgraded to Caa3 (sf)
Issuer: Bayview Commercial Asset Trust 2007-6
Cl. A-3A, Upgraded to Baa2 (sf); previously on May 31, 2012
Downgraded to Ba1 (sf)
Cl. A-3B, Upgraded to Baa2 (sf); previously on May 31, 2012
Downgraded to Ba1 (sf)
RATINGS RATIONALE
The upgrade actions reflect either stable performance of the
transactions, resulting in the build-up of credit enhancement or
repayments of interest shortfalls. The upgrade of the 2006-CAD1
transaction was prompted by an increase in both subordination and
overcollateralization. The upgrade of the 2007-6 transaction is due
to the interest shortfalls for the outstanding tranches paying off
as of the April 2017 distribution date. The interest shortfalls for
the 2007-6 transaction were repaid due to the expiry of the IO
tranche that was paid interest senior to all other tranches. The
resulting increase in available interest funds causes the
likelihood of future interest shortfalls to be low for the
outstanding tranches of the 2007-6 transaction.
The downgrade action on the 2006-4 transaction is prompted mainly
by an increase in the 60 days or more delinquent loans to 18.8% of
the outstanding pool balance as of the May 2017 distribution date
from 16.6% of the outstanding pool balance as of the October 2016
distribution date and an increase in the foreclosure and REO loans
to 11.2% of the outstanding pool balance as of the May 2017
distribution date from 9.3% of the outstanding pool balance as of
the October 2016 distribution date. Although the credit enhancement
has been relatively stable, the higher delinquencies increase the
likelihood of the M-3 tranche incurring significant losses.
A key factor in Moody's loss projections is its evaluation and
treatment of modified loans. Excluding the Canadian transaction,
Bayview Loan Servicing has modified approximately 63% to 65% of the
loan balance classified as current as of the April 2017
distribution date in the deals affected by rating actions. Most of
these loans were delinquent before modification and are therefore
more likely to become delinquent than non-modified loans in the
future. Moody's evaluation of loan-level data indicates that these
current, modified loans are two to three times as likely to become
defaulted compared to current, non-modified loans. Moody's
accounted for this likelihood in its loss projection methodology
described in the "Methodology" section below.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Moody's Global
Approach to Rating SME Balance Sheet Securitizations" published in
October 2015.
Moody's evaluated the sufficiency of credit enhancement by first
analyzing the loans to determine an expected remaining net loss for
each collateral pool. Moody's compared these expected net losses
with the available credit enhancement, consisting of
overcollateralization, subordination, excess spread, and a reserve
account if any. For the lower subordinate tranches, Moody's
identified relatively near term future write-downs by examining the
expected losses from loans in foreclosure and REO in relation to a
tranche's available credit enhancement.
To forecast expected losses for the Bayview small business ABS
collateral pools, Moody's evaluated each pool according to the
delinquency and modification status of the underlying loans,
applying different roll rates to default to loans according to each
status. In order to determine the roll rates to default, Moody's
assessed historical roll rate behavior according to their
delinquency status.
This approach leads to a wide range of lifetime loan default rates
depending on vintage, modification status and delinquency status.
Excluding the Canadian transaction, for modified current loans, the
remaining lifetime default rate assumption was 15% to 20%, more
than two times the remaining lifetime default rate estimate of 5%
to 8% for non-modified current loans. For delinquent loans, the
lifetime default rates range from 30% to 75%. For loans in
foreclosure or REO, the lifetime default rates are roughly 70% to
100%. For loss severities, Moody's generally applied 75% severities
for both modified and non-modified loans.
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 Bayview small business 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.
Other methodologies and factors that Moody's may have considered in
the process of rating these transactions appear on Moody's website.
More information on Moody's analysis of this transaction is
available at www.moodys.com.
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 expected losses could drive the ratings
up. Losses below Moody's expectations as a result of a decrease in
seriously delinquent loans or lower severities than expected on
liquidated loans. For loans with maturities in excess of the
transaction maturity date, levels of prepayments above
expectations, or the further modification of those loans such that
they mature prior to the transaction maturity date for their
respective transactions.
Down
Levels of credit protection that are insufficient to protect
investors against expected losses could drive the ratings down.
Losses above Moody's expectations as a result of an increase in
seriously delinquent loans and higher severities than expected on
liquidated loans. For loans with maturities in excess of the
transaction maturity date, levels of prepayments below
expectations, or the modification of additional loans such that
they mature after the transaction maturity date for their
respective transactions.
BAYVIEW OPPORTUNITY 2017-SPL4: DBRS Finalizes B Rating on B5 Debt
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage-Backed Securities, Series 2017-SPL4 (the Notes) issued by
Bayview Opportunity Master Fund IVb Trust 2017-SPL4 (the Trust):
-- $143.6 million Class A at AAA (sf)
-- $143.6 million Class A-IOA at AAA (sf)
-- $143.6 million Class A-IOB at AAA (sf)
-- $15.3 million Class B1 at AA (sf)
-- $15.3 million Class B1-IOA at AA (sf)
-- $15.3 million Class B1-IOB at AA (sf)
-- $8.8 million Class B2 at A (sf)
-- $8.8 million Class B2-IO at A (sf)
-- $11.2 million Class B3 at BBB (sf)
-- $11.2 million Class B3-IOA at BBB (sf)
-- $11.2 million Class B3-IOB at BBB (sf)
-- $8.9 million Class B4 at BB (sf)
-- $8.9 million Class B4-IOA at BB (sf)
-- $8.9 million Class B4-IOB at BB (sf)
-- $8.0 million Class B5 at B (sf)
Classes A-IOA, A-IOB, B1-IOA, B1-IOB, B2-IO, B3-IOA, B3-IOB, B4-IOA
and B4-IOB are interest-only notes. The class balances represent
notional amounts.
The AAA (sf) ratings on the Notes reflect the 34.20% of credit
enhancement provided by subordinated Notes in the pool. The AA
(sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 27.20%,
23.15%, 18.00%, 13.90% and 10.25% of credit enhancement,
respectively.
Other than the specified classes above, DBRS does not rate any
other classes in this transaction.
This transaction is a securitization of a portfolio of seasoned
performing and re-performing first-lien residential mortgages. The
Notes are backed by 4,738 loans with a total interest-bearing
principal balance of $218,262,302 as of the Cut-off Date (April 30,
2017).
The portfolio comprises 95.7% daily simple interest (DSI) loans and
has an average original loan size of $63,434. The loans are
approximately 133 months seasoned, and all are current as of the
Cut-off Date, including 1.3% bankruptcy-performing loans.
Approximately 96.3% of the mortgage loans have been zero times 30
days delinquent (0 x 30) based on the interest paid through date
for the past 24 months under the Mortgage Bankers Association (MBA)
delinquency methods. Approximately 30.1% of the loans have been
modified, 100.0% of which happened more than two years ago. Within
the pool, 2,060 mortgages have non-interest-bearing deferred
amounts as of the Cut-off Date, which are not certificated into the
rated Notes, and any recoveries on these will instead be payable to
the holders of the Class X Notes. As a result of the seasoning of
the collateral, none of the loans are subject to the Consumer
Financial Protection Bureau Ability-to-Repay/Qualified Mortgage
rules.
An affiliate of BFA IVb Depositor, LLC (the Depositor) acquired the
loans from CitiFinancial Credit Company and its lending
subsidiaries during the period from July 2016 through February
2017, and subsequently transferred the loans to various
transferring trusts owned by Bayview Opportunity Master Fund IVb
L.P. (the Sponsor). On the Closing Date, the transferring trusts
will assign the loans to the Depositor, who will contribute the
loans to the Trust. The Sponsor will acquire and retain a 5%
eligible vertical interest in each class of securities to be issued
to satisfy the credit risk retention requirements under Section 15G
of the Securities Exchange Act of 1934 and the regulations
promulgated thereunder.
These loans were originated and previously serviced by
CitiFinancial Credit Company. As of the Cut-off Date, all of the
loans are serviced by Bayview Loan Servicing, LLC.
There will not be any advancing of delinquent principal or interest
on any mortgages by the servicer or any other party to the
transaction; however, the servicer is obligated to make advances in
respect of taxes and insurance, reasonable costs and expenses
incurred in the course of servicing and disposing of properties.
The transaction employs a sequential-pay cash flow structure.
Principal proceeds can be used to cover interest shortfalls on the
Class A and Class B1 Notes (and the related interest-only bonds),
but such shortfalls on more subordinate bonds will not be paid from
principal. In addition, diverted interest from the mortgage loans
will be used to pay down principal on the Notes sequentially.
The lack of principal and interest advances on delinquent mortgages
may increase the possibility of periodic interest shortfalls to the
Noteholders; however, principal proceeds used to pay interest to
the Notes sequentially and subordination levels greater than
expected losses may provide for timely payment of interest to the
rated Notes.
The ratings reflect transactional strengths that include underlying
assets that have generally performed well through the crisis, an
experienced servicer and strong structural features. Additionally,
a third-party due diligence review was performed on the portfolio
with respect to regulatory compliance, payment history, data
capture and title and lien review. Updated property values
(generally Home Data Index values and, for a subset of the pool,
broker price opinions or 2055 appraisals) were provided for the
mortgage loans.
The representations and warranties provided in this transaction
generally conform to the representations and warranties that DBRS
would expect to receive for a RMBS transaction with seasoned
collateral; however, the transaction employs a representations and
warranties framework that includes an unrated representation
provider (Bayview Opportunity Master Fund IVb L.P.) with a backstop
by an unrated entity (Bayview Asset Management, LLC) and certain
knowledge qualifiers. Mitigating factors include (1) significant
loan seasoning and relatively clean performance history in recent
years; (2) third-party due diligence review; (3) a strong
representations and warranties enforcement mechanism, including
delinquency review trigger; and (4) for representations and
warranties with knowledge qualifiers, even if the Sponsor did not
have actual knowledge of the breach, the Remedy Provider is still
required to remedy the breach in the same manner as if no knowledge
qualifier had been made.
The enforcement mechanism for breaches of representations includes
automatic breach reviews by a third-party reviewer for any
seriously delinquent loans or any loans that incur loss upon
liquidation. Resolution of disputes are ultimately subject to
determination in an arbitration proceeding.
The DBRS ratings of AAA (sf) and AA (sf) address the timely payment
of interest and full payment of principal by the legal final
maturity date in accordance with the terms and conditions of the
related Notes. The DBRS rating of A (sf), BBB (sf), BB (sf) and B
(sf) addresses the ultimate payment of interest and full payment of
principal by the legal final maturity date in accordance with the
terms and conditions of the related Notes.
BEAR STEARNS 2004-TOP14: Moody's Affirms B1 Rating on Class O Certs
-------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three classes
and upgraded the ratings on three classes in Bear Stearns
Commercial Mortgage Securities Trust, Commercial Mortgage
Pass-Through Certificates, Series 2004-TOP14:
Cl. K, Affirmed Aaa (sf); previously on June 24, 2016 Upgraded to
Aaa (sf)
Cl. L, Upgraded to Aa1 (sf); previously on June 24, 2016 Upgraded
to Aa2 (sf)
Cl. M, Upgraded to A1 (sf); previously on June 24, 2016 Upgraded to
A2 (sf)
Cl. N, Upgraded to Baa3 (sf); previously on June 24, 2016 Upgraded
to Ba1 (sf)
Cl. O, Affirmed B1 (sf); previously on June 24, 2016 Upgraded to B1
(sf)
Cl. X-1, Affirmed Caa1 (sf); previously on June 24, 2016 Downgraded
to Caa1 (sf)
RATINGS RATIONALE
The ratings on two P&I Classes (K & O) 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 three P&I Classes (L, M & N) were upgraded based
primarily on an increase in credit support resulting from loan
paydowns and amortization. The deal has paid down 15.5% since
Moody's last review.
The rating IO Class X-1 was affirmed based on the credit
performance (or the weighted average rating factor or WARF) of
their referenced classes.
Moody's rating action reflects a base expected loss of 0.6% of the
current balance, compared to 0.7% at Moody's last review. Moody's
base expected loss plus realized losses is now 0.4% of the original
pooled balance, and remains unchanged since Moody's 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 Class X-1 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 in Bear Stearns Commercial
Mortgage Securities Trust, Commercial Mortgage Pass-Through
Certificates, Series 2004-TOP14.
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 9, compared to a Herf of ten at Moody's last
review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model and then reconciles and weights the results from the
conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type and sponsorship. Moody's also further adjusts these aggregated
proceeds for any pooling benefits associated with loan level
diversity and other concentrations and correlations.
DEAL PERFORMANCE
As of the May 12, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 98.2% to $16.4
million from $895 million at securitization. The certificates are
collateralized by 14 mortgage loans ranging in size from 2% to 18%
of the pool. Two loans, constituting 3.9% of the pool, have
defeased and are secured by US government securities.
Five loans, constituting 39.8% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Four loans have been liquidated from the pool, resulting in an
aggregate realized loss of $3.8 million (for an average loss
severity of 2.4%). Currently, no loans are 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 100% of
the pool. Moody's weighted average conduit LTV is 37.4%, compared
to 38.2% at Moody's last review. Moody's conduit component excludes
loans with structured credit assessments, defeased and CTL loans,
and specially serviced and troubled loans. Moody's net cash flow
(NCF) reflects a weighted average haircut of 13% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.5%.
Moody's actual and stressed conduit DSCRs are 1.63X and 3.83X,
respectively, compared to 1.54X and 3.30X 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 42.2% of the pool balance.
The largest loan is The Shops at Thoroughbred Square VI Loan ($2.95
million -- 18.0% of the pool), which is secured by a three building
strip center, shadow anchored by a 20-screen movie theater, Lowe's
and Walmart located in Franklin, Tennessee approximately 17 miles
south of Nashville. The property was 100% leased as of December
2016. The loan is fully amortizing and has paid down by 50.5%. It
is currently scheduled to mature in February 2024. Moody's LTV and
stressed DSCR are 45.7% and 2.48X, respectively, compared to 55.6%
and 2.04X at the last review.
The second largest loan is the Modesto Office Park Loan ($2.25
million -- 13.7% of the pool), which is secured by five buildings
comprising 88,000 square feet (SF) of a suburban office park in
Modesto, California. The property was 91% leased as of March 2017
compared to 95% in March 2016. The loan is fully amortizing and has
paid down by 53.8%. It is currently scheduled to mature in July
2023. Moody's LTV and stressed DSCR are 25.6% and >4.00X,
respectively, compared to 26.3% and 4.00X at the last review.
The third largest loan is the Scarborough Lane Shoppes Loan ($1.71
million -- 10.5% of the pool), which is secured by a retail
property located in Duck, North Carolina. The property was 97%
leased as of December 2016 compared to 92% in January 2016. The
loan fully amortizing and has paid down by 50.6%. Moody's LTV and
stressed DSCR are 41.5% and 2.60X, respectively, compared to 45.3%
and 2.38X at the last review.
BEAR STEARNS 2005-PWR9: S&P Affirms 'B-' Rating on Class F Certs
----------------------------------------------------------------
S&P Global Ratings raised its ratings on three classes of
commercial mortgage pass-through certificates from Bear Stearns
Commercial Mortgage Securities Trust 2005-PWR9, a U.S. commercial
mortgage-backed securities (CMBS) transaction. In addition, S&P
affirmed its rating on one class from the same transaction.
S&P's rating actions follow its analysis of the transaction,
primarily using its criteria for rating U.S. and Canadian CMBS
transactions, which included a review of the credit characteristics
and performance of the remaining assets in the pool, the
transaction's structure, and the liquidity available to the trust.
S&P raised its ratings on classes C, D, and E 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, and
the trust balance's significant reduction.
The affirmation on class F 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.
While available credit enhancement levels suggest further positive
rating movements on classes D and E and positive rating movement on
class F, S&P's analysis also considered the susceptibility to
reduced liquidity support from the eight specially serviced assets
(reflecting crossed assets; $48.9 million, 33.2%) and the two loans
on the master servicers' combined watchlist ($13.8 million, 9.4%).
In addition, for class F, we also considered its interest shortfall
history and its full repayment timing.
TRANSACTION SUMMARY
As of the May 11, 2017, trustee remittance report, the collateral
pool balance was $147.2 million, which is 6.8% of the pool balance
at issuance. The pool currently includes 17 loans and five real
estate-owned (REO) assets (reflecting crossed assets), down from
199 loans at issuance. Eight of these assets are with the special
servicer, two loans are on the master servicers' combined
watchlist, and six loans ($45.6 million, 31.0%) are defeased. The
master servicers, Wells Fargo Bank N.A. and Prudential Asset
Resources, reported financial information for 86.1% of the
nondefeased loans in the pool, of which 48.7% was year-end 2016
data, and the remainder was partial-year or year-end 2015 data.
S&P calculated a 1.33x S&P Global Ratings weighted average debt
service coverage (DSC) and 62.8% S&P Global Ratings weighted
average loan-to-value (LTV) ratio using a 7.64% S&P Global Ratings
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the eight specially
serviced assets and six defeased loans. The top 10 nondefeased
assets have an aggregate outstanding pool trust balance of
$88.8 million (60.3%). Using adjusted servicer-reported numbers, we
calculated an S&P Global Ratings weighted average DSC and LTV of
1.34x and 65.4%, respectively, for five of the top 10 nondefeased
assets. The remaining assets are specially serviced and discussed
below.
To date, the transaction has experienced $101.2 million in
principal losses, or 4.7% of the original pool trust balance. S&P
expects losses to reach approximately 5.4% 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 eight specially serviced assets (reflecting crossed assets).
CREDIT CONSIDERATIONS
As of the May 11, 2017, trustee remittance report, eight assets
(reflecting crossed assets) in the pool were with the special
servicer, C-III Asset Management LLC (C-III). Details of the three
largest specially serviced assets, all of which are top 10
nondefeased assets, are:
The Jackson Retail Portfolio REO asset ($17.7 million, 12.0%), the
largest nondefeased asset in the pool, has a $19.7 million reported
exposure and consists of three cross-collateralized and
cross-defaulted assets: the Purple Creek Plaza REO asset, an
81,636-sq.-ft. retail property in Jackson, Miss.; the North Regency
Square REO asset, a 64,844-sq.-ft. retail property in Ridgeland,
Miss.; and the Centre Park REO asset, a 41,759-sq.-ft. retail
property in Ridgeland, Miss. The crossed loan was transferred to
special servicing on May 1, 2015, because of imminent maturity
default (matured on June 1, 2015), and the property became REO on
May 23, 2016. C-III stated that it is working on leasing up the
vacant space and marketing the asset for sale.
Reported DSC and occupancy for the first quarter of 2017 ranged
from 0.47x to 1.08x and 65.4% to 97.5%, respectively, for the
properties. Appraisal reduction amounts (ARAs) totaling
$6.8 million are in effect against the asset, and S&P expects a
moderate loss upon its eventual resolution.
The Townview Square REO asset ($8.9 million, 6.0%), the
fifth-largest nondefeased asset in the pool, has a $10.3 million
reported exposure. The asset is a 169,833-sq.-ft. community
shopping center in Zephyrhills, Fla. The loan was transferred to
special servicing on June 1, 2015, for imminent default, and the
property became REO on Oct. 26, 2016. The reported DSC and
occupancy as of March 31, 2017, were 0.34x and 47.9%, respectively.
C -III indicated that it is working on leasing up the vacant space.
A $1.4 million ARA is in effect against the asset, and we expect a
minimal loss upon its eventual resolution.
The Wright Executive Center loan ($8.5 million, 5.8%), the
sixth-largest nondefeased asset in the pool, has a reported $9.0
million exposure. The loan, which has a foreclosure in process
payment status, is secured by two suburban office properties
totaling 119,097 sq. ft. in Fairborn, Ohio. The loan transferred
to special servicing on Aug. 13, 2015, for maturity default
(matured on Aug. 5, 2015). The reported DSC was 1.05x for the nine
months ended Sept. 30, 2016, and reported occupancy was 85.0% as of
Feb. 28, 2017. An $879,109 ARA is in effect against the loan, and
we expect a minimal loss upon its eventual resolution.
The five remaining assets with the special servicer have individual
balances that represent less than 2.3% of the total pool trust
balance. S&P estimated losses for the eight specially serviced
assets, arriving at a weighted average loss severity of 31.5%.
With respect to the specially serviced assets noted above, a
minimal loss is less than 25%, a moderate loss is 26%-59%, and a
significant loss is 60% or greater.
RATINGS LIST
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9
Commercial mortgage pass-through certificates series 2005-PWR9
Rating
Class Identifier To From
C 07387BAN3 AAA (sf) A- (sf)
D 07387BAP8 AA- (sf) BBB (sf)
E 07387BAQ6 BBB- (sf) BB (sf)
F 07387BAT0 B- (sf) B- (sf)
BEAR STEARNS 2006-PWR11: S&P Lowers Rating on 2 Tranches to D
-------------------------------------------------------------
S&P Global Ratings lowered its ratings on the class C and D
commercial mortgage pass-through certificates from Bear Stearns
Commercial Mortgage Securities Trust 2006-PWR11, a U.S. commercial
mortgage-backed securities (CMBS) transaction. In addition, S&P
affirmed its rating on class B from the same transaction.
S&P's rating actions follow its analysis of the transaction,
primarily using its criteria for rating U.S. and Canadian CMBS
transactions, which included a review of the credit characteristics
and performance of the remaining loans in the pool, the
transaction's structure, and the liquidity available to the trust
as well as the "Structured Finance Temporary Interest Shortfall
Methodology," published Dec. 15, 2015.
S&P lowered its ratings on classes C and D to 'D (sf)' because of
accumulated interest shortfalls that S&P expects to remain
outstanding in the near term as well as credit support erosion that
S&P anticipates will occur upon the eventual resolution of the
three specially serviced loans ($65.4 million, 67.7%). Classes C
and D have accumulated interest shortfalls outstanding for four
consecutive months.
According to the May 11, 2017, trustee remittance report, the
current monthly interest shortfalls totaled $260,314 and resulted
primarily from: appraisal subordinate entitlement reduction amounts
totaling $14,334, interest not advanced due to a nonrecoverable
determination of $231,951, and special servicing fees totaling
$13,631.
The current interest shortfalls affected classes subordinate to and
including class C.
S&P affirmed its rating on class B to reflect its expectation that
the available credit enhancement for the class will be within its
estimate of the necessary credit enhancement required for the
current rating.
While available credit enhancement levels suggest positive rating
movement on class B, S&P's analysis also considered the
susceptibility to reduced liquidity support from the three
specially serviced loans, the loan on the master servicers'
combined watchlist ($2.1 million, 2.1%), and the corrected Hickory
Point Mall mortgage loan ($27.4 million, 28.4%).
TRANSACTION SUMMARY
As of the May 11, 2017, trustee remittance report, the collateral
pool balance was $96.7 million, which is 5.2% of the pool balance
at issuance. The pool currently includes six loans, down from 181
loans at issuance. Three loans are with the special servicer, one
loan is on the master servicers' combined watchlist, and no loans
are defeased. The master servicers, Wells Fargo Bank N.A. and
Prudential Asset Resources, reported financial information for
90.0% of the loans in the pool, of which 35.9% was year-end 2016
data, and the remainder was year-end 2015 data.
Excluding the three specially serviced loans, S&P calculated a
1.25x S&P Global Ratings weighted average debt service coverage
(DSC) and 91.2% S&P Global Ratings weighted average loan-to-value
ratio using an 8.05% S&P Global Ratings weighted average
capitalization rate for the three performing loans. To date, the
transaction has experienced $118.9 million in principal losses, or
6.4% of the original pool trust balance. S&P expects losses to
reach approximately 9.0% 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 three specially
serviced loans.
CREDIT CONSIDERATIONS
As of the May 11, 2017, trustee remittance report, three loans in
the pool were with the special servicer, C-III Asset Management LLC
(C-III). Details are:
The SBC – Hoffman Estates loan ($55.7 million, 57.7%), the
largest loan in the pool, has a $57.9 million reported exposure.
The loan is pari passu with a $58.0 million note in Morgan Stanley
Capital I Trust 2006-TOP21, also a U.S. CMBS transaction. The
whole loan, which has a reported foreclosure in process payment
status, is secured by three suburban office buildings totaling 1.69
million sq. ft. in Hoffman Estates, Ill. The whole loan was
transferred to special servicing on June 24, 2016, because the sole
tenant will vacate when its lease expires on Aug. 13, 2016. The
property is currently 100% vacant. The master servicer has deemed
principal and interest advances on the loan nonrecoverable. S&P
expects a significant loss upon its eventual resolution.
The Greystone Park Retail & Office loan ($5.1 million, 5.2%) has a
$5.6 million total reported exposure. The loan is secured by a
76,000-sq.-ft. mixed-use retail property in Birmingham, Ala. The
loan, which has a reported foreclosure in process payment status,
was transferred to special servicing on March 9, 2016, because of
maturity default. The loan matured on March 5, 2016.
According to the June 2, 2017, rent roll, the property was 57.2%
occupied, and reported DSC was 0.57x as of year-end 2016. C-III
stated that it is working on leasing up the vacant space. An
$824,557 appraisal reduction amount (ARA) was in effect against the
loan, and S&P expects a minimal loss upon its eventual resolution.
The 2970 Presidential Drive loan ($4.6 million, 4.8%) has a
$5.4 million reported exposure. The loan is secured by a
59,070-sq.-ft. suburban office property in Fairborn, Ohio. The
loan, which has a reported foreclosure in process payment status,
was transferred to special servicing on March 6, 2015, because of
payment default. The reported DSC and occupancy were 0.37x and
46.4%, respectively, as of year-end 2016. A $2.3 million ARA is in
effect against the loan, and S&P expects a moderate loss upon its
eventual resolution.
S&P estimated losses for the three specially serviced loans,
arriving at a weighted average loss severity of 75.4%.
With respect to the specially serviced loans noted above, a minimal
loss is less than 25%, a moderate loss is 26%-59%, and a
significant loss is 60% or greater.
RATINGS LIST
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR11
Commercial mortgage pass-through certificates, series 2006-PWR11
Rating
Class Identifier To From
B 07387MAK5 B+ (sf) B+ (sf)
C 07387MAL3 D (sf) B (sf)
D 07387MAM1 D (sf) B- (sf)
CD 2005-CD1: Moody's Affirms B3 Rating on Class F Certificates
--------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class and
affirmed the ratings on four classes in CD 2005-CD1 Commercial
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
Series 2005-CD1 as follows:
Cl. E, Upgraded to Baa3 (sf); previously on Jan 13, 2017 Upgraded
to Ba1 (sf)
Cl. F, Affirmed B3 (sf); previously on Jan 13, 2017 Affirmed B3
(sf)
Cl. G, Affirmed Caa3 (sf); previously on Jan 13, 2017 Downgraded to
Caa3 (sf)
Cl. H, Affirmed C (sf); previously on Jan 13, 2017 Affirmed C (sf)
Cl. X, Affirmed C (sf); previously on Jan 13, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The rating on Class E was upgraded based primarily on an increase
in credit support resulting from loan paydowns and amortization.
The deal has paid down 47% since Moody's last review and 97% since
securitization.
The ratings on Classes F, G and H were affirmed because the ratings
are consistent with Moody's expected loss.
The rating on the IO class, Class X, was affirmed because the class
does not, nor is expected to receive interest payments.
Moody's rating action reflects a base expected loss of 19.3% of the
current balance, compared to 40.4% at Moody's last review. Moody's
base expected loss plus realized losses is now 5.9% of the original
pooled balance, compared to 6.1% at the 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 "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 CD 2005-CD1.
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 3, compared to 9 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 May 17, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $110 million
from $3.88 billion at securitization. The certificates are
collateralized by nine mortgage loans ranging in size from 1% to
49% of the pool. One loan, constituting 2% of the pool, has
defeased and is secured by US government securities.
Two loans, constituting 55% 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.
Forty-four loans have been liquidated from the pool, resulting in
an aggregate realized loss of $208 million (for an average loss
severity of 36%). Two loans, constituting 11% of the pool, are
currently in special servicing. The largest specially serviced loan
is the Landfall Park loan ($7.2 million -- 6.6% of the pool), which
is secured by a 53,500 SF, class B+ suburban office property. The
property is comprised of two, 2-story office buildings located
roughly seven miles east of the Wilmington, NC central business
district. The loan transferred to special servicing in August 2015
due to maturity default.
The other specially serviced loan is the 2150 Joshua Path loan
($4.9 million -- 4.5% of the pool), which is secured by a 41,000 SF
suburban office building located in Hauppauge, Long Island, NY. The
loan transferred to special servicing in July 2012 due to payment
default. The property was only 19% leased as of December 2016 and
the special servicer indicated they are proceeding with
foreclosure.
Moody's has also assumed a high default probability for one poorly
performing loan, constituting 5.9% of the pool, and has estimated
an aggregate loss of $9.4 million (a 50% expected loss on average)
from these specially serviced and troubled loan.
The top three conduit loans represent 74% of the pool balance. The
largest loan is the Cedarbrook Corporate Center Portfolio Loan
($53.9 million -- 49% of the pool), which is secured by a
four-building complex consisting of three Class A research and
development buildings and one Class A office structure. The
property is located within the 1.5 million SF Cedarbrook Corporate
Center office park in Cranbury, New Jersey. The property was 65%
leased as of December 2016. The loan previously transferred to
special servicing in June 2015, was modified in June 2016 and then
subsequently returned to the master service. The loan modification
included a term extension and an increased interest only period.
Moody's LTV and stressed DSCR are 137% and 0.75X, respectively.
The second largest loan is the ConnectiCare Office Building Loan
($14.6 million -- 13.3% of the pool), which is secured by a 100,540
SF single tenant occupied office property located in Farmington,
Connecticut. As of December 2016, the property was 100% occupied by
ConnectiCare Insurance with a lease expiration in February 2018.
The tenant has expressed interest in extending their lease. Due to
the single tenancy, Moody's value incorporated a lit/dark analysis.
The loan has passed its anticipated repayment date in July 2015.
Moody's LTV and stressed DSCR are 114% and 0.88X, respectively.
The third largest loan is the ICI-Glidden Research Center Loan
($13.0 million -- 11.9% of the pool), which is secured by a 194,600
SF single tenant office property located in Strongsville, Ohio, a
suburb of Cleveland. As of December 2016, the property was 100%
occupied by AKZO Nobel Coating, Inc. with a lease expiration in
December 2018. Due to the single tenancy, Moody's value
incorporated a lit/dark analysis. The loan has passed its
anticipated repayment date in June 2014. Moody's LTV and stressed
DSCR are 89% and 1.13X, respectively.
CD MORTGAGE 2007-CD5: Moody's Hikes Class B Debt Rating to Ba1
--------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on eight
classes, upgraded the ratings on five classes and downgraded the
ratings on three classes in CD 2007-CD5 Mortgage Trust, Commercial
Mortgage Pass-Through Certificates, Series 2007-CD5:
CL. A-1A, Affirmed Aaa (sf); previously on Oct 28, 2016 Affirmed
Aaa (sf)
CL. A-4, Affirmed Aaa (sf); previously on Oct 28, 2016 Affirmed Aaa
(sf)
CL. AM, Upgraded to Aaa (sf); previously on Oct 28, 2016 Upgraded
to Aa1 (sf)
CL. A-MA, Upgraded to Aaa (sf); previously on Oct 28, 2016 Upgraded
to Aa1 (sf)
CL. AJ, Upgraded to Baa1 (sf); previously on Oct 28, 2016 Affirmed
Baa3 (sf)
CL. A-JA, Upgraded to Baa1 (sf); previously on Oct 28, 2016
Affirmed Baa3 (sf)
CL. B, Upgraded to Ba1 (sf); previously on Oct 28, 2016 Affirmed
Ba2 (sf)
CL. C, Affirmed B1 (sf); previously on Oct 28, 2016 Affirmed B1
(sf)
CL. D, Affirmed B2 (sf); previously on Oct 28, 2016 Affirmed B2
(sf)
CL. E, Affirmed B3 (sf); previously on Oct 28, 2016 Affirmed B3
(sf)
CL. F, Downgraded to Caa2 (sf); previously on Oct 28, 2016 Affirmed
Caa1 (sf)
CL. G, Downgraded to Caa3 (sf); previously on Oct 28, 2016 Affirmed
Caa2 (sf)
CL. H, Affirmed C (sf); previously on Oct 28, 2016 Downgraded to C
(sf)
CL. J, Affirmed C (sf); previously on Oct 28, 2016 Affirmed C (sf)
CL. K, Affirmed C (sf); previously on Oct 28, 2016 Affirmed C (sf)
CL. XS, Downgraded to B3 (sf); previously on Oct 28, 2016 Affirmed
Ba3 (sf)
RATINGS RATIONALE
The ratings on the P&I classes A-4, A-1A, C, 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 the P&I classes H, J and K were affirmed because the
ratings are consistent with Moody's expected loss.
The ratings on the P&I classes AM, A-MA, AJ, A-JA, and B were
upgraded primarily due to an increase in credit support since
Moody's last review, resulting from paydowns and amortization, as
well as Moody's expectation of additional increases in credit
support resulting from the payoff of loans approaching maturity
that are well positioned for refinance. The pool has paid down by
50% since Moody's last review. In addition, loans constituting 32%
of the pool have either defeased or have debt yields exceeding
12.0% are scheduled to mature within the next 6 months.
The ratings on the P&I classes F and G were downgraded due to
realized and anticipated losses from specially serviced and
troubled loans that are higher than Moody's had previously
expected.
The rating on the IO Class (Class XS) was downgraded due to the
decline in the credit performance of its reference classes
resulting from principal paydowns of higher quality reference
classes.
Moody's rating action reflects a base expected loss of 13.0% of the
current balance, compared to 7.0% at Moody's last review. Moody's
base expected loss plus realized losses is now 9.4% of the original
pooled balance, compared to 9.6% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Approach to
Rating US and Canadian Conduit/Fusion CMBS" published in December
2014.
Additionally, the methodology used in rating Cl. XS 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 CD 2007-CD5 Mortgage Trust.
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 37, compared to 27 at Moody's last review.
DEAL PERFORMANCE
As of the May 17, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 69% to $658 million
from $2.094 billion at securitization. The certificates are
collateralized by 88 mortgage loans ranging in size from less than
1% to 5.5% of the pool, with the top ten loans (excluding
defeasance) constituting 40% of the pool. Eleven loans,
constituting 10% of the pool, have defeased and are secured by US
government securities.
Thirty-seven loans, constituting 37% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Thirty-three loans have been liquidated from the pool, resulting in
an aggregate realized loss of $111 million (for an average loss
severity of 43%). Eight loans, constituting 14% of the pool, are
currently in special servicing. The largest specially serviced loan
is the Versar Center Office Building Loan ($26.0 million -- 4.0% of
the pool), which is secured by a 220,000 square foot (SF) suburban
office property located in Springfield, Virginia. The loan
transferred to special servicing in October 2014 due to imminent
default.
The second largest specially serviced loan is the Parkway Plaza
Loan ($25.5 million -- 3.9% of the pool), which is secured by a
263,000 SF power retail center located Norman, Oklahoma. The loan
transferred to special servicing in May 2016 for imminent default.
The property is currently anchored by Toys R Us, Ross Dress for
Less, Bed Bath & Beyond, Barnes and Noble, and Pet Smart. The loan
failed to trade in an April 2017 note sale.
The remaining 6 specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $50.8 million loss
for the specially serviced loans (55% expected loss on average).
Moody's has assumed a high default probability for 10 poorly
performing loans, constituting 12% of the pool, and has estimated
an aggregate loss of $14.6 million (a 19% expected loss based on a
69% probability default) from these troubled loans.
Moody's received full year 2015 operating results for 59% of the
pool, and full or partial year 2016 operating results for 80% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 94%, compared to 97% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 13% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.8%.
Moody's actual and stressed conduit DSCRs are 1.36X and 1.20X,
respectively, compared to 1.51X and 1.18X 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 15% of the pool balance. The
largest loan is the Quality King Loan ($35.9 million -- 5.5% of the
pool), which is secured by a 571,410 SF single-story
warehouse-distribution facility located in Bellport, Long Island,
New York. The subject is fully leased to Quality King Distributors
through September 2027. The subject was constructed between 2006
and 2007 as the headquarters for Quality King Distributors. Due to
the single tenant concentration at this property, Moody's value
incorporates a lit/dark analysis. The loan matures in December
2017. Moody's LTV and stressed DSCR are 82% and 1.32X,
respectively, compared to 83% and 1.31X at Moody's last review.
The second largest loan is the 2 Journal Square Loan ($34.2 million
-- 5.2% of the pool), which is secured by a nine-story, 276,164 SF,
Class A office building located in the Journal Square district of
Jersey City, New Jersey. The property is located directly across
the street from The Journal Square Transportation Center which
links Jersey City with Manhattan and Newark, New Jersey, as well as
Amtrak and NJ Transit railroads. The property's anchor tenant,
Broadridge Financial Solutions (271,534 SF; 98% GLA), has a lease
expiring December 2017. The borrower has stated that the tenant
will not be renewing their lease and will vacate the property. Due
to the single tenant concentration at this property, Moody's value
incorporates dark analysis. The loan matures August 2017. Moody's
LTV and stressed DSCR are 126% and 0.86X, respectively.
The third largest loan is the Royale Retail Condominium Loan ($31.2
million -- 4.7% of the pool), which is secured by a 2-story retail
building comprising the entire western block front of Third Avenue
between East 63rd and 64th streets in New York City. The property
was 100% leased as of March 2017, and has remained so since
securitization. The loan matures November 2017. Moody's LTV and
stressed DSCR are 94% and 0.98X, respectively.
CLNS TRUST 2017-IKPR: S&P Assigns B- Rating on Cl. F Certificates
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to CLNS Trust 2017-IKPR's
$754 million commercial mortgage pass-through certificates.
The certificates issuance is a commercial mortgage-backed
securities transaction backed by one two-year, floating-rate
commercial mortgage loan totaling $754.0 million, with three
one-year extension options, secured by the fee and leasehold
interests in 36 extended-stay, nine limited-service, and two
full-service hotels.
The ratings reflect S&P's view of the collateral's historical and
projected performance, the sponsors' and managers' experience, the
trustee-provided liquidity, the loan's terms, and the transaction's
structure.
RATINGS ASSIGNED
CLNS Trust 2017-IKPR
Class Rating(i) Amount ($)
A AAA (sf) 239,210,000
X-CP BBB- (sf) 326,230,000(ii)
X-EXT BBB- (sf) 469,490,000(ii)
B AA- (sf) 84,455,000
C A- (sf) 62,795,000
D BBB- (sf) 83,030,000
E BB- (sf) 130,815,000
F B- (sf) 115,995,000
RR NR 37,700,000
(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 class X-CP certificates' notional
amount will be reduced by the aggregate amount of principal
distributions and realized losses allocated to the A-2 portion of
the class A certificates, as well as the B, C, and D certificates.
The class X-EXT certificates' notional amount will be reduced by
the aggregate amount of principal distributions and realized losses
allocated to the class A, B, C, and D certificates.
COMM 2015-PC1: DBRS Confirms B(low)(sf) Rating on Class F Debt
--------------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2015-PC1 issued by COMM 2015-PC1
Mortgage Trust as follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-M at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class X-B at A (sf)
-- Class C at A (low) (sf)
-- Class X-C at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class X-D at BB (sf)
-- Class E at BB (low) (sf)
-- Class X-E at B (sf)
-- Class F at B (low) (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction, which has remained in line with DBRS's
expectations since issuance. As of the May 2017 remittance, there
has been a collateral reduction of 1.4% as a result of one loan
prepayment and scheduled amortization, with 79 of the original 80
loans remaining in the trust. Loans representing 22.7% of the
current pool balance are reporting partial-year 2017 financials and
loans representing 91.9% of the current pool balance are reporting
YE2016 figures. According to the YE2016 financials, the pool
reported a weighted-average (WA) debt service coverage ratio (DSCR)
and WA debt yield of 1.76 times (x) and 10.2%, respectively. The
DBRS WA DSCR and WA debt yield at issuance were 1.51x and 8.6%,
respectively. The largest 15 loans in the pool represent 48.3% of
the transaction balance and 13 of those loans, representing 44.8%
of the current pool balance, reported YE2016 financials, which
showed a WA net cash flow growth of 14.6% over the DBRS issuance
figures, with a WA DSCR and WA debt yield of 1.70x and 8.7%,
respectively.
As of the May 2017 remittance, there were three loans on the
servicer's watchlist, representing 1.5% of the current pool
balance.
COMMONBOND STUDENT 2017-A-GS: DBRS Assigns BB Rating to Cl. C Debt
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes
issued by CommonBond Student Loan Trust 2017-A-GS (CBSLT
2017-A-GS):
-- $135,128,000 Class A-1 rated AA (sf)
-- $64,947,000 Class A-2 rated AA (sf)
-- $22,629,000 Class B rated BBB (sf)
-- $8,980,000 Class C rated BB (sf)
The provisional ratings are based on a review by DBRS of the
following considerations:
-- The transaction's form and sufficiency of available credit
enhancement.
-- The quality and credit characteristics of the student loan
borrowers.
-- Structural features of the transaction that require the Notes
to enter into full turbo principal amortization if certain
performance triggers are breached or if credit enhancement
deteriorates.
-- The experience, underwriting and origination capabilities of
CommonBond Lending, LLC.
-- The ability of the Servicer to perform collections on the
collateral pool and other required activities.
-- The legal structure and expected legal opinions that will
address the true sale of the student loans, the non-
consolidation of the trust, that the trust has a valid first-
priority security interest in the assets and consistency with
the DBRS "Legal Criteria for U.S. Structured Finance"
methodology.
The fixed-rate Class A-1 Notes will be secured by a group of
fixed-rate loans. The variable-rate Class A-2 Notes will be secured
by a group of variable-rate loans. The Class B Notes and Class C
Notes will be secured by both the fixed-rate and variable-rate loan
groups.
CBSLT 2017-A-GS will use a traditional pass-through structure, with
credit enhancement consisting of overcollateralization, a separate
reserve account for each class of Class A Notes, separate liquidity
accounts for the Class B Notes and Class C Notes, subordination
provided by the Class B Notes and Class C Notes for the benefit of
the Class A Notes, subordination provided by the Class C Notes for
the benefit of the Class B Notes, excess spread and limited
cross-collateralization.
CONNECTICUT AVENUE 2017-C04: Fitch Rates 19 Tranches 'Bsf'
----------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to Fannie Mae's risk transfer transaction, Connecticut
Avenue Securities series 2017-C04:
-- $257,814,000 class 2M-1 notes 'BBB-sf'; Outlook Stable;
-- $200,522,000 class 2M-2A notes 'BBsf'; Outlook Stable;
-- $200,522,000 class 2M-2B notes 'BB-sf'; Outlook Stable;
-- $200,522,000 class 2M-2C notes 'Bsf'; Outlook Stable;
-- $601,566,000 class 2M-2 exchangeable notes 'Bsf'; Outlook
Stable;
-- $200,522,000 class 2A-I1 exchangeable notional notes 'BBsf';
Outlook Stable;
-- $200,522,000 class 2E-A1 exchangeable notes 'BBsf'; Outlook
Stable;
-- $200,522,000 class 2A-I2 exchangeable notional notes 'BBsf';
Outlook Stable;
-- $200,522,000 class 2E-A2 exchangeable notes 'BBsf'; Outlook
Stable;
-- $200,522,000 class 2A-I3 exchangeable notional notes 'BBsf';
Outlook Stable;
-- $200,522,000 class 2E-A3 exchangeable notes 'BBsf'; Outlook
Stable;
-- $200,522,000 class 2A-I4 exchangeable notional notes 'BBsf';
Outlook Stable;
-- $200,522,000 class 2E-A4 exchangeable notes 'BBsf'; Outlook
Stable;
-- $200,522,000 class 2B-I1 exchangeable notional notes 'BB-sf';
Outlook Stable;
-- $200,522,000 class 2E-B1 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $200,522,000 class 2B-I2 exchangeable notional notes 'BB-sf';
Outlook Stable;
-- $200,522,000 class 2E-B2 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $200,522,000 class 2B-I3 exchangeable notional notes 'BB-sf';
Outlook Stable;
-- $200,522,000 class 2E-B3 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $200,522,000 class 2B-I4 exchangeable notional notes 'BB-sf';
Outlook Stable;
-- $200,522,000 class 2E-B4 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $200,522,000 class 2C-I1 exchangeable notional notes 'Bsf';
Outlook Stable;
-- $200,522,000 class 2E-C1 exchangeable notes 'Bsf'; Outlook
Stable;
-- $200,522,000 class 2C-I2 exchangeable notional notes 'Bsf';
Outlook Stable;
-- $200,522,000 class 2E-C2 exchangeable notes 'Bsf'; Outlook
Stable;
-- $200,522,000 class 2C-I3 exchangeable notional notes 'Bsf';
Outlook Stable;
-- $200,522,000 class 2E-C3 exchangeable notes 'Bsf'; Outlook
Stable;
-- $200,522,000 class 2C-I4 exchangeable notional notes 'Bsf';
Outlook Stable;
-- $200,522,000 class 2E-C4 exchangeable notes 'Bsf'; Outlook
Stable;
-- $401,044,000 class 2E-D1 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $401,044,000 class 2E-D2 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $401,044,000 class 2E-D3 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $401,044,000 class 2E-D4 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $401,044,000 class 2E-D5 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $401,044,000 class 2E-F1 exchangeable notes 'Bsf'; Outlook
Stable;
-- $401,044,000 class 2E-F2 exchangeable notes 'Bsf'; Outlook
Stable;
-- $401,044,000 class 2E-F3 exchangeable notes 'Bsf'; Outlook
Stable;
-- $401,044,000 class 2E-F4 exchangeable notes 'Bsf'; Outlook
Stable;
-- $401,044,000 class 2E-F5 exchangeable notes 'Bsf'; Outlook
Stable;
-- $401,044,000 class 2-X1 exchangeable notional notes 'BB-sf';
Outlook Stable;
-- $401,044,000 class 2-X2 exchangeable notional notes 'BB-sf';
Outlook Stable;
-- $401,044,000 class 2-X3 exchangeable notional notes 'BB-sf';
Outlook Stable;
-- $401,044,000 class 2-X4 exchangeable notional notes 'BB-sf';
Outlook Stable;
-- $401,044,000 class 2-Y1 exchangeable notional notes 'Bsf';
Outlook Stable;
-- $401,044,000 class 2-Y2 exchangeable notional notes 'Bsf';
Outlook Stable;
-- $401,044,000 class 2-Y3 exchangeable notional notes 'Bsf';
Outlook Stable;
-- $401,044,000 class 2-Y4 exchangeable notional notes 'Bsf';
Outlook Stable.
The following classes will not be rated by Fitch:
-- $28,947,583,273 class 2A-H reference tranche;
-- $13,569,593 class 2M-1H reference tranche;
-- $10,554,128 class 2M-AH reference tranche;
-- $10,554,128 class 2M-BH reference tranche;
-- $10,554,128 class 2M-CH reference tranche;
-- $143,230,000 class 2B-1 notes;
-- $7,538,663 class 2B-1H reference tranche;
-- $150,768,663.17 class 2B-2H reference tranche.
The 'BBB-sf' rating for the 2M-1 note reflects the 3.10%
subordination provided by the 0.70% class 2M-2A, the 0.70% class
2M-2B, the 0.70% class 2M-2C, the 0.50% class 2B-1 and their
corresponding reference tranches as well as the 0.50% 2B-2H
reference tranche. The notes are general senior unsecured
obligations of Fannie Mae (rated 'AAA'/Outlook Stable) subject to
the credit and principal payment risk of a pool of certain
residential mortgage loans held in various Fannie Mae-guaranteed
MBS.
The reference pool of mortgages will consist of mortgage loans with
loan to values (LTVs) greater than 80.01% and less than or equal to
97.00%.
Connecticut Avenue Securities, series 2017-C04 (CAS 2017-C04) is
Fannie Mae's 19th risk transfer transaction issued as part of the
Federal Housing Finance Agency's Conservatorship Strategic Plan for
2013 to 2017 for each of the government sponsored enterprises
(GSEs) to demonstrate the viability of multiple types of risk
transfer transactions involving single-family mortgages.
The objective of the transaction is to transfer credit risk from
Fannie Mae to private investors with respect to a $30.2 billion
pool of mortgage loans currently held in previously issued MBS
guaranteed by Fannie Mae where principal repayment of the notes are
subject to the performance of a reference pool of mortgage loans.
As loans liquidate, are modified or other credit events occur, the
outstanding principal balance of the debt notes will be reduced by
the loan's actual loss severity percentage related to those credit
events.
While the transaction structure simulates the behavior and credit
risk of traditional RMBS mezzanine and subordinate securities,
Fannie Mae will be responsible for making monthly payments of
interest and principal to investors. Due to the counterparty
dependence on Fannie Mae, Fitch's expected rating on the 2M-1,
2M-2A, 2M-2B and 2M-2C notes will be based on the lower of: the
quality of the mortgage loan reference pool and credit enhancement
(CE) available through subordination and on Fannie Mae's Issuer
Default Rating.
The 2M-1, 2M-2A, 2M-2B, 2M-2C, and 2B-1 notes will be issued as
LIBOR-based floaters. In the event that the one-month LIBOR rate
falls below the applicable negative LIBOR trigger value described
in the offering memorandum, the interest payment on the
interest-only notes will be capped at the excess of (i) the
interest amount payable on the related class of exchangeable notes
for that payment date over (ii) the interest amount payable on the
class of floating rate related combinable and recombinable (RCR)
notes included in the same combination for that payment date. If
there are no floating rate classes in the related exchange, then
the interest payment on the interest-only notes will be capped at
the aggregate of the interest amounts payable on the classes of RCR
notes included in the same combination that were exchanged for the
specified class of interest-only RCR notes for that payment date.
KEY RATING DRIVERS
High Quality Mortgage Pool (Positive): The reference mortgage loan
pool consists of high quality mortgage loans that were acquired by
Fannie Mae from October 2016 through December 2016. In this
transaction, Fannie Mae has only included one group of loans with
loan-to-value ratios (LTVs) from 80.01%-97.00%. Overall, the
reference pool's collateral characteristics are similar to recent
CAS transactions and reflect the strong credit profile of
post-crisis mortgage originations.
Actual Loss Severities (Neutral): This will be Fannie Mae's 12th
actual loss risk transfer transaction in which losses borne by the
noteholders will not be based on a fixed loss severity (LS)
schedule. The notes in this transaction will experience losses
realized at the time of liquidation or modification, which will
include both lost principal and delinquent or reduced interest.
Mortgage Insurance Guaranteed by Fannie Mae (Positive): The
majority of the loans in the pool are covered either by
borrower-paid mortgage insurance (BPMI) or lender-paid MI (LPMI).
Fannie Mae will be guaranteeing the mortgage insurance (MI)
coverage amount, which will typically be the MI coverage percentage
multiplied by the sum of the unpaid principal balance as of the
date of the default, up to 36 months of delinquent interest, taxes,
and maintenance expenses. While the Fannie Mae guarantee allows for
credit to be given to MI, Fitch applied a haircut to the amount of
BPMI available due to the automatic termination provision as
required by the Homeowners Protection Act when the loan balance is
first scheduled to reach 78%.
12.5-Year Hard Maturity (Positive): The 2M-1, 2M-2A, 2M-2B, 2M-2C,
and 2B-1 notes benefit from a 12.5-year legal final maturity. As a
result, any collateral losses on the reference pool that occur
beyond year 12.5 are borne by Fannie Mae and do not affect the
transaction. Fitch accounted for the 12.5-year window in its
default analysis and applied a reduction to its lifetime default
expectations.
Limited Size/Scope of Third-Party Diligence (Neutral): This is the
ninth transaction in which Fitch received third-party due diligence
on a loan production basis as opposed to a transaction-specific
review. Fitch believes that production-based diligence is
sufficient for validating Fannie Mae's quality control (QC)
processes. The sample selection was limited to 6,811 loans that
were previously reviewed as part of Fannie Mae's post-purchase QC
review. Of those loans, 999 were selected for a full review
(credit, property valuation, and compliance) by third-party due
diligence providers. Of the 999 loans, 167 were part of this
transaction's reference pool. Fitch views the results of the due
diligence review as consistent with its opinion of Fannie Mae as an
above-average aggregator; as a result, no adjustments were made to
Fitch's loss expectations based on due diligence.
Advantageous Payment Priority (Positive): The 2M-1 class strongly
benefits from the sequential pay structure and stable CE provided
by the more junior 2M-2A, 2M-2B, 2M-2C, and 2B-1 classes which are
locked out from receiving any principal until classes with a more
senior payment priority are paid in full. However, available CE for
the junior classes as a percentage of the outstanding reference
pool increases in tandem with the paydown of the 2M-1 class. Given
the size of the 2M-1 class relative to the combined total of all
the junior classes, together with the sequential pay structure, the
class 2M-1 will de-lever and CE as a percentage will build faster
than in a pro rata payment structure.
Solid Alignment of Interests (Positive): While the transaction is
designed to transfer credit risk to private investors, Fitch
believes that it benefits from a solid alignment of interests.
Fannie Mae will be retaining credit risk in the transaction by
holding the 2A-H senior reference tranche, which has an initial
loss protection of 4.00%, as well as 100% of the first loss 2B-2H
reference tranche, sized at 50bps. Fannie Mae is also retaining an
approximately 5% vertical slice/interest in the 2M-1, 2M-2A, 2M-2B,
2M-2C, and 2B-1 tranches.
Receivership Risk Considered (Neutral): Under the Federal Housing
Finance Regulatory Reform Act, the Federal Housing Finance Agency
(FHFA) must place Fannie Mae into receivership if it determines
that Fannie Mae's assets are less than its obligations for more
than 60 days following the deadline of its SEC filing, as well as
for other reasons. As receiver, FHFA could repudiate any contract
entered into by Fannie Mae if it is determined that the termination
of such contract would promote an orderly administration of Fannie
Mae's affairs. Fitch believes that the U.S. government will
continue to support Fannie Mae; this is reflected in Fitch current
ratings of Fannie Mae. However, if, at some point, Fitch views the
support as being reduced and receivership likely, the ratings of
Fannie Mae could be downgraded and the 2M-1, 2M-2A, 2M-2B, and
2M-2C notes' ratings affected.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the metropolitan statistical area (MSA) and
national levels. The implied rating sensitivities are only an
indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to or be
considered in the surveillance of the transaction.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the model
projected 'BBB' sMVD of 23.6% and 'BB' sMVD of 18.8%. It indicates
there is some potential rating migration with higher MVDs, compared
with the model projection.
Fitch also conducted defined rating sensitivities that determine
the stresses to MVDs that would reduce a rating by one full
category, to non-investment grade, and to 'CCCsf'. For example,
additional MVDs of 11%, 11% and 34% would potentially reduce the
'BBBsf' rated class down one rating category, to non-investment
grade, and to 'CCCsf', respectively.
CPS AUTO: DBRS Reviews 51 Ratings From 10 ABS Transactions
----------------------------------------------------------
DBRS, Inc. reviewed 51 ratings from ten CPS Auto Receivables Trust
U.S. structured finance asset-backed securities transactions. Of
the 51 outstanding publicly rated classes reviewed, 40 were
confirmed, ten were upgraded and one class was discontinued as a
result of full repayment. For the ratings that were confirmed,
performance trends are such that credit enhancement levels are
sufficient to cover DBRS's expected losses at their current
respective rating levels. For the ratings that were upgraded,
performance trends are such that credit enhancement levels are
sufficient to cover DBRS’s expected losses at their new
respective rating levels.
The ratings are based on DBRS's review of the following analytical
considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- The transaction parties’ capabilities with regard to
origination, underwriting and servicing.
-- The credit quality of the collateral pool and historical
performance.
The Affected Ratings are:
Action Rating
CPS Auto Receivables Trust, Series 2014-B
Class B Rating Upgraded AAA(sf)
Class C Rating Upgraded A(high)(sf)
Class D Rating Confirmed BB(high)(sf)
Class E Rating Confirmed B(high)(sf)
Class A Rating Disc-Repaid Discontinued
CPS Auto Receivables Trust, Series 2014-C
Class A Rating Confirmed AAA(sf)
Class B Rating Upgraded AAA(sf)
Class C Rating Upgraded A(low)(sf)
Class D Rating Confirmed BB(sf)
Class E Rating Confirmed B(sf)
CPS Auto Receivables Trust, Series 2014-D
Class A Rating Confirmed AAA(sf)
Class B Rating Upgraded AA(sf)
Class C Rating Upgraded BBB(high)(sf)
Class D Rating Confirmed BB(sf)
Class E Rating Confirmed B(sf)
CPS Auto Receivables Trust, Series 2014-A
Class A Rating Confirmed AAA(sf)
Class B Rating Upgraded AA(sf)
Class C Rating Upgraded BBB(high)(sf)
Class D Rating Confirmed BB(sf)
Class E Rating Confirmed B(sf)
CPS Auto Receivables Trust, Series 2015-B
Class A Rating Confirmed AAA(sf)
Class B Rating Upgraded AA(low)(sf)
Class C Rating Confirmed BBB(sf)
Class D Rating Confirmed BB(sf)
Class E Rating Confirmed B(sf)
CPS Auto Receivables Trust, Series 2015-C
Class A Rating Confirmed AAA(sf)
Class B Rating Upgraded AA(high)(sf)
Class C Rating Confirmed A(sf)
Class D Rating Confirmed BBB(sf)
Class E Rating Confirmed BB(sf)
Class F Rating Confirmed B(sf)
CPS Auto Receivables Trust, Series 2016-A
Class A Rating Confirmed AAA(sf)
Class B Rating Confirmed AA(high)(sf)
Class C Rating Confirmed A(sf)
Class D Rating Confirmed BBB(low)(sf)
Class E Rating Confirmed BB(low)(sf)
Class F Rating Confirmed B(low)(sf)
CPS Auto Receivables Trust, Series 2016-B
Class A Rating Confirmed AAA(sf)
Class B Rating Confirmed AA(high)(sf)
Class C Rating Confirmed A(low)(sf)
Class D Rating Confirmed BBB(low)(sf)
Class E Rating Confirmed BB(low)(sf)
CPS Auto Receivables Trust, Series 2016-C
Class A Rating Confirmed AAA(sf)
Class B Rating Confirmed AA(sf)
Class C Rating Confirmed A(sf)
Class D Rating Confirmed BBB(low)(sf)
CPS Auto Receivables Trust, Series 2016-D
Class A Rating Confirmed AAA(sf)
Class B Rating Confirmed AA(high)(sf)
Class C Rating Confirmed A(sf)
Class D Rating Confirmed BBB(low)(sf)
Class E Rating Confirmed BB(low)(sf)
CREDIT SUISSE 2006-TFL2: Fitch Affirms CCCsf Rating on Cl. K Debt
-----------------------------------------------------------------
Fitch Ratings has affirmed all classes of Credit Suisse First
Boston Mortgage Securities Corp., series 2006-TFL2. Since issuance,
the transaction has been reduced by nearly 98% from paydown and
dispositions. The one outstanding loan, JW Marriott Starr Pass,
remains in special servicing.
KEY RATING DRIVERS
The affirmations reflect Fitch's expectations that property value
remains sufficient relative to credit enhancement for each class.
Since Fitch's last rating action, the special servicer has
continued to make progress with active legal cases, settling key
cases surrounding property easements. While each resolution is a
positive development, litigation remains open. The outstanding
judgements need to be settled before the servicer can move forward
with the foreclosure process.
The JW Marriott Starr Pass consists of a 575-room full service
hotel and a 27-hole Arnold Palmer-designed championship golf
course, located in Tucson, AZ. The hotel, which offers
88,000 square foot (sf) of meeting space, including a 20,000 sf
ballroom, was opened in 2005 and maintains high curb appeal with
well-kept landscaping and an attractive design.
In April 2010, the loan transferred to special servicing for
imminent default. Performance did not meet expectations from
issuance, and the recession hit the Southwest, specifically the
Tucson market, particularity hard. Resort performance improved as
the U.S. lodging market rebounded from recessionary lows, but
workout momentum has not been successfully maintained due to the
open legal disputes that have carried on for years.
The resort has strong curb appeal, but the lengthy workout has
taken a toll on property upkeep. The servicer indicated that in a
recent site inspection, the property is in need of capital repairs,
namely to the spa area, restaurant, and certain exterior items.
RATING SENSITIVITIES
The ratings are expected to remain stable in the near term. The
Negative Outlook assigned to class J indicates that downgrades are
possible should property value decline. Upgrades are unlikely given
the loan's defaulted status as well as limited financial
information available. While recovery prospects have improved,
further downgrades to the already distressed classes are possible
if workout negotiations continue to stall.
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 affirms the following classes:
-- $949,356 class G at 'Asf'; Outlook Stable;
-- $20 million class H at 'BBBsf'; Outlook Stable.
-- $19 million class J at 'Bsf'; Outlook to Negative from Stable;
-- $22 million class K at 'CCCsf'; RE 60%;
-- $16.1 million class L at 'Dsf'; RE 0%.
CSFB COMMERCIAL 2005-C4: Moody's Affirms C(sf) Rating on A-X Certs
------------------------------------------------------------------
Moody's Investors Service affirmed the ratings on two classes in
CSFB Commercial Mortgage Trust, Commercial Mortgage Pass Through
Certificates, Series 2005-C4 as follows:
Cl. F, Affirmed Caa3 (sf); previously on Jul 21, 2016 Affirmed Caa3
(sf)
Cl. A-X, Affirmed C (sf); previously on Jul 21, 2016 Downgraded to
C (sf)
RATINGS RATIONALE
The rating on P&I Class F 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 rating IO Class A-X was affirmed based on the credit
performance (or the weighted average rating factor or WARF) of
their referenced classes.
Moody's rating action reflects a base expected loss of 32.9% of the
current balance, compared to 34.6% at Moody's last review. Moody's
base expected loss plus realized losses is 6.5% of the original
pooled balance, and remains unchanged since Moody's 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. A-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 in CSFB Commercial Mortgage
Trust, Commercial Mortgage Pass Through Certificates, Series
2005-C4.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based Large Loan Model. The large
loan model derives credit enhancement levels based on an
aggregation of adjusted loan-level proceeds derived from Moody's
loan-level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure, property type and sponsorship.
Moody's also further adjusts these aggregated proceeds for any
pooling benefits associated with loan level diversity and other
concentrations and correlations.
DEAL PERFORMANCE
As of the May 17, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $15.6 million
from $1.33 billion at securitization. The certificates are
collateralized by three mortgage loans ranging in size from 11% to
44% of the pool.
One loan, constituting 44.3% of the pool, is on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Twenty-four loans have been liquidated from the pool, resulting in
an aggregate realized loss of $80.5 million (for an average loss
severity of 43.1%). One loan, constituting 44.4% of the pool, is
currently in special servicing. This specially serviced loan is the
Shoppes at Lake Village ($6.9 million -- 44.4% of the pool), which
is secured by a 135,437 square foot (SF) grocery anchored retail
center located in Leesburg, Florida approximately 45 miles
northwest of Orlando. The property was transferred to special
servicing in July 2015 due to maturity default. The property was
70% occupied as of December 2016. The largest tenant, Publix
Supermarkets (31% of NRA), has a lease that expires in March 2018.
Moody's received full year 2015 operating results for 100% of the
pool, and full or partial year 2016 operating results for 44% of
the pool.
The largest conduit loan is the Southport Center ($6.9 million --
44.3% of the pool), which is secured by a 86,371 square foot (SF)
retail center in Indianapolis, Indiana. The property, which is
shadow anchored by a Walmart, was 57 % leased as of March 2017
compared to 63% in March 2016. In December 2013, the loan was
modified with an A/B note split. Currently, the A-note is $6.9
million and the B-note is $1.7 million. For the A-note, Moody's LTV
and stressed DSCR are 148.2% and 0.69X, respectively, compared to
149.3% and 0.69X at the last review.
CSMC TRUST 2017-FHA1: Moody's Assigns B3sf Rating to Cl. B-3 Notes
------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to four
classes of notes issued by CSMC Trust 2017-FHA1.
The notes are backed by seasoned performing and re-performing
fully-amortizing, residential mortgage loans insured by Federal
Housing Administration (the "FHA") of the United States Department
of Housing and Urban Development ("HUD). This transaction
represents the first transaction in 2017 from the CSMC shelf and
the first re-performing transaction backed by FHA insured loans
since 2010. The collateral pool is comprised of 672 first lien,
fixed rate and adjustable rate mortgage loans, with a weighted
average updated FICO score of 614 and a weighted average (WA)
current Loan-To-Value Ratio (LTV) of 94.2%. Approximately 82.4% of
the loans in the collateral pool were previously modified and 52.8%
of the total borrowers have been current on their payments for the
past 24 months.
The complete rating actions are:
Issuer: CSMC 2017-FHA1 Trust
Cl. A-1, Definitive Rating Assigned A1 (sf)
Cl. B-1, Definitive Rating Assigned Baa2 (sf)
Cl. B-2, Definitive Rating Assigned Ba3 (sf)
Cl. B-3, Definitive Rating Assigned B3 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected losses on CSMC 2017-FHA1's collateral pool average
4.0% in Moody's base case scenario. Moody's loss estimates takes
into account the credit quality of the underlying mortgage loans,
the value of the credit protection provided by the FHA insurance, a
review of the due diligence reports, the servicer's capability and
the representations and warranties (R&Ws) framework of the
transaction.
Given the collateral profile of the loans, Moody's estimated losses
on the pool by applying Moody's assumptions on expected future
delinquencies, default rates, loss severities and prepayments as
observed on similar seasoned subprime and FHA collateral. Moody's
projected future annual delinquencies for eight years by applying
an initial annual default rate assumption adjusted for future years
through delinquency burnout factors. The delinquency burnout
factors reflect Moody's future expectations of the economy and the
U.S. housing market. Moody's then calculated future delinquencies
using default burnout and voluntary conditional prepayment rate
(CPR) assumptions. Moody's aggregated the delinquencies and
converted them to losses by applying pool specific lifetime default
frequency and loss severity assumptions.
Moody's estimated recoveries based on loan level analysis. In
applying Moody's loss severity assumptions, Moody's accounted for
the credit protection provided by FHA policy. The FHA insurance
covers 100% of the principal amount of the loans and most of the
lost interest and foreclosure expenses on defaulted loans. To
calculate the severity on the pool, Moody's considered the loss
severity where the FHA claim is paid in accordance with the program
guidelines as well as an exception rate to the FHA coverage. The
exception rate refers to the proportion of loans that experience
losses in excess of this uncovered amount either because HUD
rejects the claim or because the servicer passes through costs to
the trust that they believe have reasonably incurred. The exception
severity refers to the losses in excess of the uncovered amount, in
the case of an exception. In Moody's severity analysis, Moody's
took into consideration the third party due diligence results and
the impact on the foreclosure timeline and/or exception severity.
The methodologies used in these ratings were "Moody's Approach to
Rating Securitizations Backed by Non-Performing and Re-Performing
Loans" published in August 2016, "FHA-VA US RMBS Methodology"
published in November 2013, and "US RMBS Surveillance Methodology"
published in January 2017.
Collateral Description
CSMC 2017-FHA1's collateral pool is comprised of 672 first lien,
fixed rate and adjustable rate mortgage loans, with a WA updated
FICO score of 614 and a current WA LTV of 94.2%. Approximately 33%
of the loans have LTV ratio higher than 100%. 82.4% of the loans in
the collateral pool were previously modified, with weighted average
modification age of 43 months. Approximately 52.8% of the loans
have been current for at least the past 24 months. 98% of the pool
are owner occupied and approximately 5.6% are manufactured housing
loans. The loans underlying this transaction exhibit collateral
characteristics similar to that of seasoned subprime mortgage
loans.
Transaction Structure
CSMC 2017-FHA1 has a sequential priority of payments structure, in
which a given class of notes can only receive principal payments
when all the classes of notes above have been paid off. Similarly,
losses will be applied in the reverse sequential order of priority.
The Class A1 notes carry a fixed-rate coupon subject to a cap by
the collateral's Net WAC Rate. The Class B1, B2, B3 and B4 are
variable rate notes where the coupon is equal to the Net WAC Rate.
There are no performance triggers in this transaction that alter
the cashflow waterfall.
The monthly excess cash flow in this transaction, will first be
used to replenish the R&W breach reserve account, then to pay the
principal balance of the notes sequentially, allowing for a faster
pay down of the notes. As of closing, the excess spread in the
transaction is approximately 50 bps.
Moody's coded CSMC 2017-FHA1's cashflow waterfall using SFW®, a
cashflow tool developed by Moody's Analytics. To assess the final
rating on the notes, Moody's ran 96 different loss and prepayment
scenarios. The scenarios encompass six loss levels, four loss
timing curves, and four prepayment curves. The structure allows for
timely payment of interest and ultimate payment of principal with
respect to the notes by the legal final maturity.
Servicer Quality
Servicing is a critical component of credit analysis for FHA
securitizations as non-compliance with FHA stated procedures may
lead to reduction in the claim payment amount, rescission or denial
of claims by FHA, and consequently losses to the securitization.
Select Portfolio Servicing, Inc (SPS) will be the servicer for this
transaction. SPS currently services a FHA portfolio of 1,923 loans,
majority of which are non-performing loans. The company has a long
history of servicing FHA loans since 1992. Based on Moody's
servicer reviews, SPS has adequate controls and policies and
procedures in place to ensure compliance with FHA guidelines. The
servicer is audited by HUD and had no material finding during its
last review.
Representations & Warranties
Moody's considers CSMC 2017-FHA1's representations and warranties
(R&Ws) framework to be weak for the following reasons: (1) the
Representation Provider's obligations are in effect for only twelve
payment dates (through May 2018), (2) the quality and scope of the
R&Ws are weak, (3) the reserve account that covers R&W breaches
after May 2018 is small relative to the aggregate size of the
collateral pool, and (4) there is no prescribed process for the
breach review.
The R&W provider is DLJ Mortgage Capital, Inc. (DLJ or the
"Sponor"). The entity is affiliated with Credit Suisse AG (Senior
Unsecured A1, Stable Outlook). Through May 2018, DLJ will be
responsible to remedy breaches of R&W. After May 2018, R&W breaches
that do not get covered will be compensated from the Breach Reserve
Account. At closing, the seller will fund the breach reserve
account with $204,591. Thereafter, the paying agent will fund the
reserve accounts from amounts otherwise distributable to Class X
Notes each month up to target balances based on the outstanding
principal balance of the Class A1, B1, B2 and B3 notes.
Third Party Review
The transaction benefits from independent third-party due diligence
review that included 1) a review of compliance of all loans with
federal, state, local laws and regulations, 2) a title/lien review
on all of the mortgage loans to confirm the appropriate lien was
recorded in the correct amount and lien position, 3) a tax review
on all of the mortgage loans to review delinquent taxes, 4) a data
integrity review of all the mortgage loans which includes a review
of the most recent 24 months payment history. Moody's loss severity
assumption on the pool reflects a negative adjustment for the
findings from the TPR firms on exceptions that could delay or
negatively impact the assignment of the mortgage loans to the FHA.
Collateral Documents
The initial custodial receipts from the two custodians Wells Fargo
Bank, N.A. and Deutsche Bank National Trust Company indicated that
a portion of the underlying loans have document exceptions. The
majority of the exceptions relate to missing intervening
assignments of mortgage and/or missing intervening endorsements of
the note. Other exceptions include, among other things, lost note
affidavits instead of original mortgage notes, copies of documents
instead of originals, and missing title insurance policies. The
absence of an intervening assignment of mortgage, original note or
endorsement can delay or prevent the servicer from foreclosing on
the property thus increasing loss severity. The Sponsor has agreed
to actively resolve missing assignments during the first 12 months
of the transaction. In addition, in June 2018, the sponsor will
purchase any mortgage loan, with exceptions related to missing
intervening assignments of mortgage and endorsements identified by
the custodians on an exception report to be delivered on June 15,
2018. To the extent an assignment of mortgage has been sent for
recordation and has not been returned by that date, the sponsor
will have three additional months to deliver such recorded
assignment to the related Custodian. At the end of such
three-months period, the Sponsor has agreed to repurchase the
related mortgage loan for which the related custodian has not
received such recorded assignment.
Transaction parties
Wells Fargo Bank NA and Deutsche Bank National Trust Company are
the Custodians of the transaction. Citibank, N.A. will act as the
paying agent, the note registrar and the indenture trustee.
Wilmington Savings Fund Society, FSB, d/b/a Christiana Trust, will
act as the owner trustee and will be authorized to take certain
actions on behalf of the Issuer.
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. Other reasons
for better-than-expected performance include changes to servicing
practices that enhance collections or refinancing opportunities
that result in prepayments.
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 obligors defaulting or
deterioration in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market. Other reasons
for worse-than-expected performance include poor servicing, error
on the part of transaction parties, inadequate transaction
governance and fraud.
DBJPM MORTGAGE 2017-C6: Fitch to Rate Class F-RR Certs 'B-sf'
-------------------------------------------------------------
Fitch Ratings has issued a presale report on DBJPM Mortgage Trust
Commercial Mortgage Pass-Through Certificates, Series 2017-C6.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $24,010,000 class A-1 'AAAsf'; Outlook Stable;
-- $96,439,000 class A-2 'AAAsf'; Outlook Stable;
-- $151,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $35,950,000 class A-SB 'AAAsf'; Outlook Stable;
-- $200,000,000 class A-4 'AAAsf'; Outlook Stable;
-- $263,878,000 class A-5 'AAAsf'; Outlook Stable;
-- $875,951,000b class X-A 'AAAsf'; Outlook Stable;
-- $104,674,000 class A-M 'AAAsf'; Outlook Stable;
-- $48,205,000 class B 'AA-sf'; Outlook Stable;
-- $49,582,000 class C 'A-sf'; Outlook Stable;
-- $97,787,000ab class X-B 'A-sf'; Outlook Stable;
-- $53,714,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $53,714,000a class D 'BBB-sf'; Outlook Stable;
-- $26,168,000a class E-RR 'BB-sf'; Outlook Stable;
-- $11,018,000a class F-RR 'B-sf'; Outlook Stable.
The following classes are not expected to be rated:
-- $37,187,594ac class G-RR;
-- $30,574,810ac class VRR.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest only.
(c) Vertical credit risk retention interest representing
2.69999992% of the pool balance (as of the closing date).
The expected ratings are based on information provided by the
issuer as of June 5, 2017.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 41 loans secured by 196
commercial properties having an aggregate principal balance of
$1,132,400,405 as of the cut-off date. The loans were contributed
to the trust by German American Capital Corporation and JPMorgan
Chase Bank, National Association.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 65.1% of the properties
by balance, cash flow analysis of 90.7%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Lower Fitch Leverage: The Fitch leverage for this transaction is
better than that of other recent Fitch-rated transactions. The
fusion pool has a Fitch debt service coverage ratio (DSCR) of 1.28x
and a Fitch loan-to-value (LTV) of 100.0%. Both metrics compare
favorably to the year-to-date (YTD) 2017 and 2016 average DSCRs of
1.21x, as well as the YTD 2017 and 2016 average LTV ratios of
104.4% and 105.2%. Excluding credit opinion loans, the conduit-only
Fitch DSCR is 1.28x and the conduit-only Fitch LTV is 105.3%.
Investment-Grade Credit Opinion Loans: Two loans representing 15.3%
of the pool have investment-grade credit opinions. The proportion
of investment-grade credit opinion loans in this securitization
exceeds YTD 2017 and 2016 average concentrations of 5.4% and 8.4%,
respectively. The largest loan in the pool, 245 Park Avenue (8.3%),
has a credit opinion of 'BBB-sf*' on a stand-alone basis. The third
largest loan in the pool, Olympic Tower (7.1%), has a credit
opinion of 'BBBsf*' on a stand-alone basis.
Highly Concentrated Pool: The largest 10 loans comprise 57.4% of
the pool, slightly higher than the average top 10 concentration of
53.9% for YTD 2017 and 54.8% for 2016. The pool's loan
concentration index (LCI) is 435, which is slightly above the YTD
2017 average of 401. Of note, the three largest loans make up 22.8%
of the pool.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 3.4% below
the most recent year's net operating income (NOI) for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period). Unanticipated further
declines in property-level NCF could result in higher defaults and
loss severities on defaulted loans and in potential rating actions
on the certificates.
DEEPHAVEN RESIDENTIAL 2017-2: S&P Gives (P)B Rating to B-2 Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Deephaven
Residential Mortgage Trust 2017-2's $250.132 million mortgage
pass-through notes.
The note issuance is residential mortgage-backed securities
transaction backed by first-lien, fixed- and adjustable-rate and
interest-only residential mortgage loans secured by single-family
residences, planned-unit developments, and condominiums to
nonconforming borrowers.
The preliminary ratings are based on information as of June 7,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The pool's collateral composition;
-- The credit enhancement provided for this transaction;
-- The transaction's associated structural mechanics;
-- The transaction's representation and warranty framework; and
-- The mortgage aggregator.
PRELIMINARY RATINGS ASSIGNED
Deephaven Residential Mortgage Trust 2017-2
Class Rating(i) Amount
(mil. $)
A-1 AAA (sf) 162,836,000
A-2 AA (sf) 17,259,000
A-3 A (sf) 32,768,000
M-1 BBB (sf) 12,631,000
B-1 BB (sf) 14,633,000
B-2 B (sf) 8,505,000
B-3 NR 1,500,827
XS NR Notional(ii)
R NR N/A
(i)The collateral and structural information in this report
reflects the preliminary term sheet dated June 6, 2017. The
preliminary ratings address ultimate principal and interest
payments, but interest can be deferred on the classes.
(ii)Notional equals to the aggregate balance of the class A-1,
A-2, A-3, M-1, B-1, B-2, and B-3 notes.
NR--Not rated.
N/A--Not applicable.
DORAL CLO III: S&P Affirms 'BB' Rating on Class D Notes
-------------------------------------------------------
S&P Global Ratings raised its ratings on the class A-2, B, and C
notes from Doral CLO III Ltd. At the same time, S&P affirmed its
ratings on the class A-1 and D notes from the same transaction and
removed our ratings on the class A-2, B, C, and D notes from
CreditWatch, where S&P placed them with positive implications on
March 30, 2017.
The rating actions follow S&P's review of the transaction's
performance using data from the April 7, 2017, trustee report.
The upgrades reflect the transaction's $116.74 million in paydowns
to the class A-1 notes since our July 26, 2016, rating actions.
These paydowns resulted in improved reported overcollateralization
(O/C) ratios since the June 8, 2016, trustee report, which S&P used
for its July 2016 rating actions:
-- The class A O/C ratio improved to 171.03% from 128.85%.
-- The class B O/C ratio improved to 139.30% from 117.70%.
-- The class C O/C ratio improved to 125.25% from 111.84%.
-- The class D O/C ratio improved to 112.57% from 105.96%.
The collateral portfolio's credit quality has deteriorated since
S&P's last rating actions. Collateral obligations with ratings in
the 'CCC' category have increased as a percentage of total
principal amount to 23.21% of the portfolio as of the April 2017
trustee report from 12.05% of the portfolio as of the June 2016
trustee report. Over the same period, the par amount of defaulted
collateral has increased to $1.70 million from zero. Despite the
larger concentrations in the 'CCC' category and defaulted
collateral, the transaction has benefited from a drop in the
weighted average life due to underlying collateral seasoning, with
3.14 years reported as of the April 2017 trustee report compared
with 3.63 years as of the June 2016 trustee report.
The upgrades reflect the improved credit support at the prior
rating levels; the affirmations reflect S&P's view that the credit
support available is commensurate with the current rating level.
On a standalone basis, the results of the cash flow analysis
indicated higher ratings on the class B, C, and D notes. However,
because the transaction currently has substantial exposure to 'CCC'
rated collateral obligations and loans from companies in
higher-risk sectors such as retail and energy, S&P limited the
upgrades to offset future potential credit migration in the
underlying collateral.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with S&P's criteria, its cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest and/or
ultimate principal to each of the rated tranches. The results of
the cash flow analysis demonstrated, in S&P's view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with these rating
actions.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and will take rating actions as S&P
deems necessary.
RATINGS RAISED AND REMOVED FROM CREDITWATCH POSITIVE
Doral CLO III Ltd.
Rating
Class To From
A-2 AAA (sf) AA+ (sf)/Watch Pos
B AA+ (sf) A (sf)/Watch Pos
C A+ (sf) BBB (sf)/Watch Pos
RATING AFFIRMED AND REMOVED FROM CREDITWATCH POSITIVE
Doral CLO III Ltd.
Rating
Class To From
D BB (sf) BB (sf)/Watch Pos
RATING AFFIRMED
Doral CLO III Ltd.
Class Rating
A-1 AAA (sf)
DT AUTO OWNER: DBRS Review 22 Ratings From 7 US ABS Deals
---------------------------------------------------------
DBRS, Inc. reviewed 22 ratings from eight DT Auto Owner Trust U.S.
structured finance asset-backed securities transactions. Of the 22
outstanding publicly rated classes reviewed, ten were confirmed, 11
were upgraded and one class was discontinued as a result of full
repayment. For the ratings that were confirmed, performance trends
are such that credit enhancement levels are sufficient to cover
DBRS’s expected losses at their current respective rating levels.
For the ratings that were upgraded, performance trends are such
that credit enhancement levels are sufficient to cover DBRS’s
expected losses at their new respective rating levels.
The ratings are based on DBRS's review of the following analytical
considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- The transaction parties’ capabilities with regard to
origination, underwriting and servicing.
-- The credit quality of the collateral pool and historical
performance.
Action Rating
DTS Auto Owner Trust, Series 2013-2
Class D Rating Upgraded AA(high)(sf)
DTS Auto Owner Trust, Series 2014-1
Class D Rating Upgraded AA(sf)
DTS Auto Owner Trust, Series 2014-2
Class D Rating Upgraded AA(low)(sf)
Class C Rating Disc.-repaid Discontinued
DTS Auto Owner Trust, Series 2015-1
Class C Rating Upgraded AAA(sf)
Class D Rating Upgraded A(high)(sf)
DTS Auto Owner Trust, Series 2015-1
Class B Rating Upgraded AAA(sf)
Class C Rating Upgraded AA(high)(sf)
Class D Rating Upgraded BBB(high)(sf)
DTS Auto Owner Trust, Series 2016-2
Class A Rating Confirmed AAA(sf)
Class B Rating Upgraded AA(high)(sf)
Class C Rating Upgraded A(high)(sf)
Class D Rating Confirmed BBB(sf)
DTS Auto Owner Trust, Series 2016-3
Class A Rating Confirmed AAA(sf)
Class B Rating Upgraded AA(high)(sf)
Class C Rating Confirmed A(sf)
Class D Rating Confirmed BBB(sf)
DTS Auto Owner Trust, Series 2016-4
Class A Rating Confirmed AAA(sf)
Class B Rating Confirmed AA(sf)
Class C Rating Confirmed A(sf)
Class D Rating Confirmed BBB(sf)
Class E Rating Confirmed BB(sf)
FLAGSHIP CREDIT 2017-2: DBRS Finalizes BB Rating on Class E Debt
----------------------------------------------------------------
DBRS, Inc. finalized the provisional ratings on the following
classes issued by Flagship Credit Auto Trust 2017-2 (the Issuer):
-- $113,330,000 Series 2017-2, Class A at AAA (sf)
-- $28,840,000 Series 2017-2, Class B at AA (sf)
-- $23,270,000 Series 2017-2, Class C at A (sf)
-- $18,720,000 Series 2017-2, Class D at BBB (sf)
-- $11,130,000 Series 2017-2, Class E at BB (sf)
The ratings are based on DBRS's review of the following analytical
considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- Credit enhancement in the form of overcollateralization (OC),
subordination, amounts held in the reserve fund and excess
spread. Credit enhancement levels are sufficient to support
the DBRS-projected cumulative net loss assumption under
various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under
which they have invested. For this transaction, the ratings
address the timely payment of interest on a monthly basis and
the payment of principal by the legal final maturity date.
-- The strength of the combined organization after the merger of
Flagship Credit Acceptance LLC (Flagship or the Company) and
CarFinance Capital LLC; DBRS believes the merger of the two
companies provides synergies that make the combined company
more financially stable and competitive.
-- The capabilities of Flagship with regard to originations,
underwriting and servicing.
-- DBRS has performed an operational review of Flagship and
considers the entity to be an acceptable originator and
servicer of subprime automobile loan contracts with an
acceptable backup servicer.
-- The Flagship senior management team has considerable
experience and a successful track record within the auto
finance industry.
-- DBRS used a proxy analysis in its development of an expected
loss.
-- A limited amount of performance data was available for the
Company's current originations mix.
-- A combination of Company-provided performance data and
industry comparable data was used to determine an expected
loss.
-- The legal structure and presence of legal opinions that
address the true sale of the assets to the Issuer, the non-
consolidation of the special-purpose vehicle with Flagship,
that the trust has a valid first-priority security interest in
the assets and is consistent with DBRS's "Legal Criteria for
U.S. Structured Finance" methodology.
Flagship is an independent, full-service automotive financing and
servicing company that provides financing to borrowers who do not
typically have access to prime credit lending terms for the
purchase of late-model vehicles and refinancing of existing
automotive financing.
The rating on the Class A notes reflects the 46.00% of initial hard
credit enhancement provided by the subordinated notes in the pool
(40.50%), the Reserve Account (2.00%) and OC (3.50%). The ratings
on the Class B, Class C, Class D and Class E notes reflect 31.75%,
20.25%, 11.00% and 5.50% of initial hard credit enhancement,
respectively. Additional credit support may be provided from excess
spread available in the structure.
GE BUSINESS 2005-2: S&P Raises Rating on Class D Notes to 'BB+'
---------------------------------------------------------------
S&P Global Ratings lowered its ratings on one class and raised its
ratings on three classes from GE Business Loan Trust 2005-2. At
the same time, S&P affirmed its ratings on all four classes from GE
Business Loan Trust 2006-2.
The deals are asset-backed securities transactions backed by
payments from small business loans primarily collateralized by
first liens on commercial real estate. The transactions distribute
principal payments on a pro rata basis, with principal payments
distributed to the rated classes based on set percentages.
The downgrade reflects the decreasing portfolio size and the
application of the largest obligor default test, a supplemental
test S&P adopted in our 2014 U.S. small business loan
securitization criteria update.
In addition to the supplemental tests, S&P's analysis also
considered the increased concentration in loans greater than $5
million and balloon loans in the underlying portfolio. S&P ran
additional scenarios to address these factors.
The affirmed ratings reflect the adequate credit support available
at the current rating levels. The raised ratings reflect the
increased credit support available.
GE BUSINESS LOAN TRUST 2005-2
This transaction has paid down to approximately 10.9% of its
original outstanding balance. There are 58 loans left in the pool,
according to the April 2017 servicer report. The five largest
obligors represent approximately 39% of the pool, and the 10
largest represent approximately 57% of the pool. There were two
delinquent or defaulted loans in the pool as of April 2017. The
reserve account's current balance is $17.5 million, which is its
requisite amount.
GE BUSINESS LOAN TRUST 2006-2
This transaction has paid down to approximately 18.4% of its
original outstanding balance. There are 96 loans left in the pool,
according to the April 2017 servicer report. The five largest
obligors represent approximately 28% of the pool, and the 10
largest represent approximately 44% of the pool. There were no
delinquent or defaulted loans in the pool as of April 2017. The
reserve account's current balance is $12.8 million, which is below
the current requisite amount of $17.6 million.
S&P will continue to review whether, in its view, the ratings
currently 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.
RATING LOWERED
GE Business Loan Trust 2005-2
Rating
Class To From
A A+ (sf) AA (sf)
RATINGS RAISED
GE Business Loan Trust 2005-2
Rating
Class To From
B A (sf) BBB+ (sf)
C BBB+ (sf) BB+ (sf)
D BB+ (sf) B+ (sf)
RATINGS AFFIRMED
GE Business Loan Trust 2006-2
Class Rating
A A (sf)
B BBB+ (sf)
C BB+ (sf)
D B+ (sf)
GE COMMERCIAL 2007-C1: S&P Affirms 'B-' Rating on 3 Tranches
------------------------------------------------------------
S&P Global Ratings raised its rating to 'AAA (sf)' on the class
A-1A commercial mortgage pass-through certificates from GE
Commercial Mortgage Corp. Series 2007-C1 Trust, a U.S. commercial
mortgage-backed securities (CMBS) transaction. In addition, S&P
affirmed its ratings on three other classes from the same
transaction.
S&P's rating actions follow its analysis of the transaction,
primarily using its criteria for rating U.S. and Canadian CMBS
transactions, which included a review of the credit characteristics
and performance of the remaining assets in the pool, the
transaction's structure, and the liquidity available to the trust.
S&P raised its rating on class A-1A to reflect its expectation of
the available credit enhancement for the class, which S&P believes
is greater than its most recent estimate of necessary credit
enhancement for the respective rating level. The upgrade also
follows S&P's views regarding the reduction in the trust balance.
The affirmations on classes A-M, A-MFL, and A-MFX reflect S&P's
expectation that the available credit enhancement for these classes
will be within its estimate of the necessary credit enhancement
required for the current ratings. The affirmations also reflect
the classes' susceptibility to interest shortfalls if appraisal
reductions amounts are implemented or increased on the specially
serviced assets.
TRANSACTION SUMMARY
As of the May 10, 2017, trustee remittance report, the collateral
pool balance was $905.0 million, which is 22.9% of the pool balance
at issuance. The trust is under-collateralized with the pool trust
balance totaling $912.9 million, or 23.1% of the initial pool
balance. The pool currently includes 14 loans and five real
estate-owned (REO) assets (representing crossed loans and A/B notes
as one loan), down from 197 loans at issuance. Sixteen of these
assets ($539.1 million, 59.6% of the collateral pool balance;
representing crossed loans and A/B notes as one loan) are with the
special servicer, two loans ($253.7 million, 28.0%) are on the
master servicer's watchlist, and no loans are defeased. The master
servicer, KeyBank Real Estate Capital, reported financial
information for 94.0% of the loans in the pool, of which 69.5% was
partial-year or year-end 2016 data, and the remainder was
partial-year or year-end 2015 data.
S&P calculated a 0.74x S&P Global Ratings weighted average debt
service coverage (DSC) and 123.5% S&P Global Ratings weighted
average loan-to-value (LTV) ratio using a 6.76% S&P Global Ratings
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the 16 specially serviced
assets and the 666 Fifth Avenue subordinate B notes ($23.6 million,
2.6%). The top 10 assets have an aggregate outstanding pool trust
balance of $861.5 million (95.2%). Using adjusted servicer-reported
numbers, S&P calculated an S&P Global Ratings weighted average DSC
and LTV of 0.72x and 124.5%, respectively, for the two performing
top 10 assets. The remaining assets are specially serviced and
discussed below.
To date, the transaction has experienced $367.6 million in
principal losses, or 9.3% of the original pool trust balance. S&P
expects losses to reach approximately 18.1% 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 16 specially serviced assets.
CREDIT CONSIDERATIONS
As of the May 10, 2017, trustee remittance report, 14 assets in the
pool were with the special servicer, C-III Asset Management LLC,
while the JP Morgan Portfolio loan was with LNR Partners LLC, and
the Skyline Portfolio REO asset was with CWCapital Asset Management
LLC. Details of the two largest specially serviced assets are:
The JP Morgan Portfolio loan ($198.5 million, 21.9%) has
$199.4 million total reported exposure. The loan is secured by two
office properties in Phoenix, and Houston, totaling 1.15 million
sq. ft. and a 1,905-space parking garage at the Phoenix property.
The properties are 100% leased to JPMorgan Chase Bank N.A. The
loan, which has a nonperforming matured balloon payment status, was
transferred to the special servicer on March 16, 2017, because the
borrower stated it will not be able to repay the loan at its April
1, 2017, maturity. The special servicer stated a trust counsel has
been engaged, and third-party reports have been ordered in
anticipation of foreclosure. An appraisal reduction amount (ARA)
has not been implemented on the loan. The reported combined DSC
was 1.15x as of year-end 2016. S&P expects a significant loss upon
this loan's eventual resolution.
The Skyline Portfolio REO asset ($203.4 million, 22.5%) has
$209.6 million total reported exposure. The asset consists of
eight suburban office properties totaling 2.57 million sq. ft. in
Falls Church, Va. The loan was transferred to the special servicer
on April 12, 2016, because of imminent monetary default. The
property became REO on Dec. 21, 2016. The special servicer stated
that CBRE has been engaged to provide property management and
leasing services. The portfolio is currently 44.0% leased, and a
$179.9 million ARA is in effect against the asset. S&P expects a
moderate loss on the $105.0 million A-note and a 100% loss on the
$98.4 million subordinate B note upon this asset's eventual
resolution.
The 14 remaining assets with a special servicer each have
individual balances that represent less than 2.4% of the total pool
trust balance. S&P estimated losses for the specially serviced
assets, arriving at a weighted average loss severity of 64.6%.
With respect to the specially serviced assets noted above, a
minimal loss is less than 25%, a moderate loss is 26%-59%, and a
significant loss is 60% or greater.
RATINGS LIST
GE Commercial Mortgage Corp. Series 2007-C1 Trust
Commercial mortgage pass-through certificates series 2007-C1
Rating
Class Identifier To From
A-1A 36159XAF7 AAA (sf) A- (sf)
A-M 36159XAH3 B- (sf) B- (sf)
A-MFL 36159XAQ3 B- (sf) B- (sf)
A-MFX 36163HAA7 B- (sf) B- (sf)
GMAC COMMERCIAL 1997-C2: Moody's Affirms Csf Rating on Cl. H Debt
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three classes
in GMAC Commercial Mortgage Securities Inc 1997-C2:
Cl. G, Affirmed Aaa (sf); previously on Aug 11, 2016 Affirmed Aaa
(sf)
Cl. H, Affirmed C (sf); previously on Aug 11, 2016 Affirmed C (sf)
Cl. X, Affirmed Caa3 (sf); previously on Aug 11, 2016 Affirmed Caa3
(sf)
RATINGS RATIONALE
The rating on the P&I class, G, was affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The rating on the P&I class, H, was affirmed because the ratings
are consistent with Moody's expected loss. Class H has a realized
loss of 65%.
The rating on the IO class was affirmed based on the credit
performance (or the weighted average rating factor) of the
referenced classes.
Moody's rating action reflects a base expected loss of 0.0% of the
current balance, unchanged from the prior 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 5.4% of the original
pooled balance, unchanged from 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 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 GMAC Commercial Mortgage
Securities Inc 1997-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 May 15, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $14.3 million
from $1.07 billion at securitization. The certificates are
collateralized by four mortgage loans ranging in size from less
than 1% to 47% of the pool
There are not any 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.
Fifteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $57.5 million (for an average loss
severity of 22%).
Moody's received full year 2016 operating results for 66% of the
pool, and partial year 2017 operating results for 33% of the pool
(excluding specially serviced and defeased loans).
The largest non-defeased loan is the Kmart - Laredo Loan ($4.03
million -- 28% of the pool), which is secured by a 112,000 square
foot (SF) single-tenant retail property located in Laredo, Texas.
The property is 100% leased to Kmart through October 2022. The loan
fully amortizes during its term and has amortized almost 57% since
securitization. The loan is co-terminus with the lease maturity.
Due to the single tenant nature, Moody's utilized a lit/dark
analysis. Moody's LTV and stressed DSCR are 76% and 1.42X,
respectively, compared to 64% and 1.68X at the last review.
The second largest non-defeased loan is the Kmart - Lafayette Loan
($3.4 million -- 24% of the pool), which is secured by a 119,000 SF
retail property located in Lafayette, Indiana, which is 100% leased
to Kmart through October 2022. The property is part of a larger
strip center which is not part the collateral. The loan fully
amortizes during its term and has amortized almost 57% since
securitization. The loan is co-terminus with the lease maturity.
Due to the single tenant nature, Moody's utilized a lit/dark
analysis. Moody's LTV and stressed DSCR are 77% and 1.4X,
respectively, compared to 74% and 1.46X at the last review.
The third largest non-defeased loan is the CVS Drugstore Loan ($114
thousand -- 0.8% of the pool), which is secured by a 9,400 SF
single-tenant retail property located in a suburban retail corridor
in Media, Pennsylvania, 12 miles east of Philadelphia. The property
is 100% leased to CVS through January 2018. The loan fully
amortizes during its term and has amortized almost 95% since
securitization. The loan is co-terminus with the lease maturity.
Due to the single tenant nature, Moody's utilized a lit/dark
analysis. Moody's LTV and stressed DSCR are 6% and 19.7X,
respectively, compared to 12% and 8.82X at the last review.
GOLDMAN SACHS 2013-G1: Fitch Affirms 'BBsf' Rating on Cl. DM Debt
-----------------------------------------------------------------
Fitch Ratings has affirmed seven classes of Goldman Sachs & Co. GS
Mortgage Securities Trust series 2013-G1.
KEY RATING DRIVERS
The affirmations reflect the stable performance of the assets in
the pool. Fitch reviewed the most recently available rent rolls and
financial performance of the collateral. Full-year 2016 performance
data for all three malls were provided.
As of the May 2017 distribution date, the pool's aggregate
certificate balance declined by 6.3% to $534.3 million from $569
million at issuance due to scheduled amortization. The transaction
consists of three mortgage loans secured by the Great Lakes
Crossing Outlets (Great Lakes), located in Auburn Hills, MI;
Deptford Mall (Deptford) in Deptford, NJ; and Katy Mills Mall (Katy
Mills), in Katy, TX. All three malls are sponsored by large
national real estate investment trusts focused on regional and
super-regional shopping centers.
Great Lakes (38.6% of the pool) is a 1.4 million square foot (sf)
super-regional mall/outlet center anchored by Outdoor World, AMC
Theater and Burlington Coat Factory. Collateral consists of 1.1
million sf, which excludes Outdoor World and AMC Theater. Sports
Authority (6% of NRA) vacated its space as expected during the
second half of 2016. The servicer-reported occupancy for the
collateral space slightly declined to 96.4% as of year-end (YE)
2016 compared to 99.4% the prior year but remained higher than
issuance (94.1%). Upcoming rollover for the collateral space
includes 4.4% in 2017 and 16.8% in 2018. Comparable sales decreased
to $369 psf at YE 2016 from $375 psf at YE 2015.
Deptford (35.2%) is a 1 million sf regional mall anchored by
Macy's, JC Penney, Sears and Boscov's. Collateral for the loan
consists of 343,910 sf of in-line space, which excludes the four
anchor tenants. The servicer-reported occupancy for the collateral
space remained stable at 97% compared to 96.6% the prior year and
96.8% at issuance. Comparable sales decreased to $565 psf at YE
2016 from $577 psf at YE 2015. Upcoming rollover for the collateral
space includes 10% in 2017 and 8.9% in 2018.
Katy Mills (26.2% of the pool) is a 1.6 million sf regional,
mall/outlet center whose major tenants include the following: Bass
Pro Shops Outdoor, AMC Theaters, Marshalls, Burlington Coat
Factory, Bed Bath & Beyond, Marshalls and Off-Fifth Saks Fifth
Avenue. Collateral consists of 1.2 million sf, which excludes
Wal-Mart and 12 additional outparcels. The servicer-reported
occupancy for the collateral space slightly declined to 94.4% as of
YE 2016 compared to 96.7% the prior year but still represents a
significant increase since issuance (88.9%). Upcoming tenant
rollover for the collateral includes 3.8% in 2017 and 9.3% in 2018.
Sales for tenants of less than 10,000 sf were a reported $436 psf
at YE 2016 compared to $465 psf as of YE 2015.
RATING SENSITIVITIES
The Rating Outlook for all classes remains Stable. Future upgrades
are possible should tenants with upcoming lease expirations renew
their leases and overall performance continues to improve.
Conversely, downgrades would be considered should property
performance or cash flow decline.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
-- $51.5 million class A-1 at 'AAAsf'; Outlook Stable;
-- $295.7 million class A-2 at 'AAAsf'; Outlook Stable;
-- Interest only class X-A at 'AAAsf'; Outlook Stable;
-- $76 million class B at 'AAsf'; Outlook Stable;
-- $49.7 million class C at 'Asf'; Outlook Stable;
-- $38.3 million class D at 'BBBsf'; Outlook Stable;
-- $23 million class DM* at 'BBsf'; Outlook Stable.
* Class DM represents the interest solely in the subordinate note
of the Deptford Mall loan.
GRAMERCY REAL 2005-1: Fitch Affirms 'CCCsf' Rating on Cl. G Debt
----------------------------------------------------------------
Fitch Ratings has upgraded three and affirmed three classes of
Gramercy Real Estate CDO 2005-1, Ltd./LLC (Gramercy 2005-1).
KEY RATING DRIVERS
The upgrades and affirmations primarily reflect the continued
deleveraging of the capital structure. Total pay down to classes B
through E from loan payoffs, scheduled amortization, and diverted
interest since the last rating action was $88.4 million. Six assets
are no longer in the pool; four commercial mortgage-backed
securities (CMBS) positions paid off in full, while two loans were
disposed with partial losses totaling approximately $18 million.
The collateralized debt obligation (CDO) is very concentrated with
only six assets from four obligors remaining. The CDO is comprised
of 100% rated CMBS collateral, which has a weighted average rating
of B/B-. The CMBS collateral consists of one bond (5%) rated 'AAA',
two bonds (53%) with credit characteristics consistent with 'BB',
one bond (2.1%) with credit characteristics consistent with 'B-';
and two bonds (39%) considered distressed at 'CCC'.
The upgrade to class E reflects the small outstanding class balance
being fully covered by principal proceeds currently held in the
CDO's collection account from a CMBS bond that was repaid in full
since the last April payment date. The class is expected to be
repaid in full at the next July payment date.
While the principal balance of class F and G are fully covered by
collateral with credit characteristics at 'BB', Fitch also
evaluated the ability of the CDO's underlying collateral to cover
interest obligations to these outstanding classes. As each class
becomes the senior most class in the CDO, timely interest payments
are required. Interest shortfalls within the underlying CMBS
transactions would increase the likelihood of insufficient interest
proceeds to maintain timely interest on this class.
Class F is expected to become the senior most class after the next
payment date. Based on a review of the underlying collateral, the
interest cushion is expected to be sufficient to cover this class;
therefore, the upgrade reflects the class' reliance on collateral
with 'BB' credit characteristics.
Fitch capped the rating of class G at 'CCCsf' due to future
interest shortfall concerns on the underlying transactions, as they
are becoming increasingly concentrated and adversely selected,
which may impact timely payments to this class.
The upgrade to class H reflects the fact that the class relies on
collateral that is rated 'CCC' for full payoff. The CDO is
currently under-collateralized by approximately $197.9 million;
classes J and below have negative credit enhancement. Further, as
of the April 2017 trustee report, the CDO is failing one
over-collateralization test resulting in the diversion of interest
payments from classes J and below.
The transaction was analyzed under the framework described in the
report 'Global Surveillance Criteria for Structured Finance CDOs'
using the Portfolio Credit Model (PCM) for projecting future
default levels for the underlying portfolio. However, while the PCM
output was used as a reference point, due to the concentration of
the pool, a look-through analysis of the underlying portfolio was
the determining factor in the rating actions. Cash flow modeling
was not performed as it was not expected to provide analytical
value.
Gramercy 2005-1 is a commercial real estate CDO managed by
CWCapital Investments LLC, which became the successor collateral
manager in March 2013. At the last rating action, the CDO was
encumbered with one interest rate swap with a notional amount of
$24.1 million that expired on Jan. 1, 2017. There are no remaining
swaps in the CDO. In December 2011, $6.1 million of notes were
surrendered to the trustee for cancellation, including partial
amounts of classes E, F, G and H.
RATING SENSITIVITIES
Class E is expected to pay in full at the next payment date. The
Stable Outlook on class F reflects the credit quality of the
underlying transactions as well as the expectation of further pay
down. Upgrades to classes F and G are possible should the credit
characteristics of the underlying collateral continue to improve;
however, any actions are expected to be limited due to the
increasing concentration of both the CDO and the underlying
transactions. Class H could be subject to downgrade should
additional losses be realized.
Classes J and K are significantly under-collateralized and expected
to ultimately default.
Fitch has upgraded and assigned Rating Outlooks to the following
classes:
-- $245,239 class E to 'AAAsf' from 'Bsf'; Outlook Stable;
-- $15 million class F to 'BBsf' from 'CCCsf'; assigned Outlook
Stable;
-- $27 million class H to 'CCCsf' from 'CC'sf; RE 95%.
Fitch has affirmed the following classes:
-- $15.5 million class G at 'CCCsf'; RE 100%;
-- $60.3 million class J at 'Csf'; RE 0%;
-- $49.6 million class K at 'Csf'; RE 0%.
Class A-1 through D have paid in full. Fitch does not rate the
preferred shares.
GS MORTGAGE 2017-GS6: Fitch Assigns 'B-sf' Rating to Class F Certs
------------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to GS Mortgage Securities Trust 2017-GS6 commercial
mortgage pass-through certificates:
-- $15,431,000 class A-1 'AAAsf'; Outlook Stable;
-- $250,000,000 class A-2 'AAAsf'; Outlook Stable;
-- $359,651,000 class A-3 'AAAsf'; Outlook Stable;
-- $29,390,000 class A-AB 'AAAsf'; Outlook Stable;
-- $738,619,000a class X-A 'AAAsf'; Outlook Stable;
-- $87,653,000a class X-B 'AA-sf'; Outlook Stable;
-- $84,147,000 class A-S 'AAAsf'; Outlook Stable;
-- $45,579,000 class B 'AA-sf'; Outlook Stable;
-- $42,074,000 class C 'A-sf'; Outlook Stable;
-- $46,748,000b class D 'BBB-sf'; Outlook Stable;
-- $46,748,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $17,530,000bd class E 'BBsf'; Outlook Stable;
-- $10,518,000bd class F 'B-sf'; Outlook Stable.
The following classes are not rated by Fitch:
-- $33,893,308bd class G.
-- $24,170,112c VRR Interest.
a) Notional amount and interest only.
b) Privately placed pursuant to Rule 144A.
c) Vertical credit risk retention interest.
d) Horizontal credit risk retention interest.
The final ratings are based on information provided by the issuer
as of May 30, 2017. Since Fitch published its expected ratings on
May 15th, 2017, the rating on class X-B has been updated to reflect
the rating of the lowest referenced tranche whose payable interest
has an impact on the IO payments, consistent with the 'Global
Structured Finance Rating Criteria,' dated May 3rd, 2017.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 33 loans secured by 73
commercial properties having an aggregate principal balance of
$959,131,421 as of the cut-off date. Goldman Sachs Mortgage Company
and Goldman Sachs Bank USA contributed the loans to the trust.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 77.7% of the properties
by balance, asset summary reviews on 100% of the pool, and cash
flow analysis of 91.2% of the pool.
KEY RATING DRIVERS
Lower Fitch Leverage: The pool's Fitch leverage is better than
average when compared with other recent Fitch-rated, fixed-rate
multiborrower transactions. Specifically, the pool's Fitch DSCR of
1.32x is stronger than the YTD 2017 and 2016 averages of 1.22x and
1.21x, respectively. Similarly, the Fitch LTV for the pool of 98.8%
is better than the YTD 2017 and 2016 averages of 104.5% and 105.2%,
respectively.
Highly Concentrated Pool: The pool is more concentrated than other
recent Fitch-rated multiborrower transactions. Specifically, the
pool has 33 loans as compared with the YTD 2017 and 2016 averages
of 48 and 50 loans, respectively. Moreover, the largest 10 loans
comprise 66.3% of the pool, which is worse than the YTD 2017 and
2016 averages of 53.5% and 54.8%, for other Fitch-rated
multiborrower deals. This results in a loan concentration index
(LCI) score of 535, which is higher than the YTD 2017 and 2016
averages of 395 and 422. The largest loan in the pool is 1999
Avenue of the Stars at 9.96% of the pool.
Low Amortization: Thirteen loans comprising 53.8% of the pool are
full interest-only, which is poorer than the YTD 2017 and 2016
averages of 45.9% and 33.3%, respectively, for other Fitch-rated
multiborrower deals. Additionally, 12 loans representing 28.8% of
the pool are partial interest-only. Overall, the pool is scheduled
to pay down by 5.32%, which is worse than the YTD 2017 and 2016
averages of 8.1% and 10.4%, respectively.
Investment-Grade Credit Opinion Loan: One loan, 1999 Avenue of the
Stars (9.96% of the pool), received an investment-grade credit
opinion of 'BBB-sf' on a stand-alone basis. The pool's credit
opinion loan concentration of 9.96% is greater than the 2017 YTD
and the 2016 averages of 5.90% and 8.36%, respectively. Net of the
credit opinion loan, Fitch's DSCR and LTV are 1.31x and 102.4%,
respectively.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 14.5% below
the most recent year's net operating income (NOI) for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period. Unanticipated further declines
in property-level NCF could result in higher defaults and loss
severities on defaulted loans and in potential rating actions on
the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the GSMS
2017-GS6 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.
HMH TRUST 2017-NSS: S&P Assigns Prelim. B- Rating on Class F Certs
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to HMH Trust
2017-NSS's $204.0 million commercial mortgage pass-through
certificates.
The certificate issuance is a commercial mortgage-backed securities
transaction backed by one five-year, fixed-rate commercial mortgage
loan totaling $204.0 million, secured by a first-lien mortgage on
the borrowers' fee simple interest in one hotel property and the
borrowers' leasehold interests in 21 hotel properties.
The preliminary ratings are based on information as of June 2,
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
HMH Trust 2017-NSS
Class Rating(i) Amount
(mil. $)
A AAA (sf) 72,200,000
B AA- (sf) 23,300,000
C A- (sf) 17,400,000
D BBB- (sf) 22,900,000
E BB- (sf) 36,100,000
F B- (sf) 32,100,000
(i) The issuer will issue the certificates to qualified
institutional buyers in line with Rule 144A of the Securities Act
of 1933.
IVY HILL XII: Moody's Assigns Ba3(sf) Rating to Class D Notes
-------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Ivy Hill Middle Market Credit Fund XII, Ltd. (the
"Issuer" or "Ivy Hill XII").
Moody's rating action is:
US$159,800,000 Class A-1a Senior Floating Rate Notes Due 2029 (the
"Class A-1a Notes"), Assigned Aaa (sf)
US$53,000,000 Class A-1b Senior Floating Rate Notes Due 2029 (the
"Class A-1b Notes"), Assigned Aaa (sf)
US$49,300,000 Class A-2 Senior Floating Rate Notes Due 2029 (the
"Class A-2 Notes"), Assigned Aa2 (sf)
US$30,400,000 Class B Deferrable Mezzanine Floating Rate Notes Due
2029 (the "Class B Notes"), Assigned A3 (sf)
US$22,800,000 Class C Deferrable Mezzanine Floating Rate Notes Due
2029 (the "Class C Notes"), Assigned Baa3 (sf)
US$29,700,000 Class D Deferrable Mezzanine Floating Rate Notes Due
2029 (the "Class D Notes"), Assigned Ba3 (sf)
The Class A-1a Notes, the Class A-1b Notes, the Class A-2 Notes,
the Class B Notes, the Class C Notes, and the Class D 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.
Ivy Hill XII is a managed cash flow SME CLO. The issued notes will
be collateralized primarily by small and medium enterprise and
broadly syndicated first lien senior secured corporate loans. At
least 95.0% of the portfolio must consist of senior secured loans
and eligible investments, and up to 5.0% of the portfolio may
consist of second lien loans and unsecured loans. The portfolio is
approximately 72% ramped as of the closing date.
Ivy Hill Asset Management, 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 four year
reinvestment period. Thereafter, the Manager may not reinvest in
new assets and all principal proceeds, including sale proceeds,
will be used to amortize the notes in accordance with the priority
of payments.
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: $379,000,000
Diversity Score: 55
Weighted Average Rating Factor (WARF): 3587
Weighted Average Spread (WAS): 4.85%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 8 years.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
October 2016.
The CLO permits the manager to determine RiskCalc-derived rating
factors, based on modifications to certain pre-qualifying
conditions applicable to the use of RiskCalc, for obligors
ineligible to receive Moody's credit estimates. Such determination
is limited to a small portion of the portfolio and permits certain
modifications for a limited time. Moody's rating analysis included
a stress scenario in which Moody's assumed a rating factor
commensurate with a Caa2 rating for such obligors.
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 3587 to 4125)
Rating Impact in Rating Notches
Class A-1a Notes: 0
Class A-1b Notes: 0
Class A-2 Notes: -1
Class B Notes: -1
Class C Notes: -1
Class D Notes: -1
Percentage Change in WARF -- increase of 30% (from 3587 to 4663)
Rating Impact in Rating Notches
Class A-1a Notes: -1
Class A-1b Notes: -1
Class A-2 Notes: -3
Class B Notes: -3
Class C Notes: -2
Class D Notes: -1
JP MORGAN 2000-C10: Moody's Affirms C(sf) Rating on Class G Certs
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
in J.P. Morgan Commercial Mortgage Finance Corp. 2000-C10,
Commercial Pass-Through Certificates, Series 2000-C10 as follows:
Cl. G, Affirmed C (sf); previously on Jun 2, 2016 Affirmed C (sf)
Cl. X, Affirmed Caa3 (sf); previously on Jun 2, 2016 Affirmed Caa3
(sf)
RATINGS RATIONALE
The rating on Class G was affirmed because the ratings are
consistent with Moody's expected loss plus realized losses. Class G
has already experienced a 59% realized loss as a result of
previously liquidated loans.
The rating on the IO class was affirmed based on the credit
performance of its referenced classes.
Moody's does not anticipate losses from the remaining collateral in
the current environment. However, over the remaining life of the
transaction, losses may emerge from macro stresses to the
environment and changes in collateral performance. Moody's ratings
reflect the potential for future losses under varying levels of
stress. Moody's base expected loss plus realized losses is now 8.4%
of the original pooled balance, compared to 8.4% at the last
review. Moody's provides a current list of base expected losses for
conduit and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The 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-C10.
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 May 15, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 99.5% to $3.9
million from $738.5 million at securitization. The certificates are
collateralized by four remaining mortgage loans. One loan,
constituting 33% of the pool, has defeased and is secured by US
government securities.
Thirty-two loans have been liquidated from the pool, resulting in
an aggregate realized loss of $62.4 million (for an average loss
severity of 45%). There are currently no loans in special
servicing.
The three non-defeased loans represent 67% of the pool balance. The
largest loan is the Eckerd - Media Loan ($1.2 million -- 30% of the
pool), which is secured by a freestanding Rite-Aid Drug store in
Media Borough, Pennsylvania. The loan is subject to a 20-year lease
with multiple five-year renewal options. The loan has amortized
over 72% since securitization. Moody's LTV and stressed DSCR are
37% and 2.89X, respectively. Moody's stressed DSCR is based on
Moody's NCF and a 9.25% stress rate the agency applied to the loan
balance.
The second loan is the Eckerd-Clayton, NC Loan ($840,805 -- 21.5%
of the pool), which is secured by a freestanding Rite-Aid Drug
store in Clayton, North Carolina. Moody's LTV and stressed DSCR are
55% and 1.97X, respectively.
The third loan is the Safe N Sound Self Storage Loan ($587,756 --
15% of the pool), which is secured by 885 unit storage property
located in Groton, Connecticut. The property consists of climate
controlled units, outdoor storage, U-Haul, mailboxes, an office,
and a vacant two bedroom staff apartment. The units are a multitude
of sizes and an electronically controlled security gate allows for
24 hour access. Moody's LTV and stressed DSCR are 10.5% and
>4.00X, respectively.
JP MORGAN 2004-PNC1: Fitch Affirms 'CCsf' Rating on Class G Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 12 classes of J.P. Morgan Chase
Commercial Mortgage Securities Corp., series 2004-PNC1 commercial
mortgage pass-through certificates (JPMCC 2004-PNC1). Fitch has
also revised the Rating Outlook on classes D through F to Negative.
KEY RATING DRIVERS
Sufficient Credit Enhancement: The affirmations reflect sufficient
credit enhancement (CE) relative to expected losses. The senior
classes continue to benefit from increasing CE due to amortization,
the payoff of one loan since Fitch's last rating action, and the
recent disposition of one specially serviced loan which had better
than expected recoveries.
Increasingly Concentrated Pool: The pool is highly concentrated
with only 11 loans remaining, compared to 13 at Fitch's last rating
action. Due to the concentrated nature of the pool, Fitch performed
a sensitivity analysis that grouped the remaining loans based on
loan structural features, collateral quality and the likelihood of
repayment.
Binary Risk: Employers Reinsurance Corp I (51%), the largest loan
in the pool, is secured by a 320,198-square foot (sf) suburban
office building located in Overland Park, KS. The property is 100%
occupied by the single tenant Swiss Re Management (US) Corp.
('AA-'/Stable Outlook) with a lease expiring in December 2018. The
tenant has two 10-year lease renewal options, but their intentions
as to whether they intend to remain at the property will not be
known until 2018. The property's submarket remains soft; per
first-quarter 2017 REIS information, the North Johnson office
submarket had a vacancy rate of 20% with average asking rent of
$18.76 per sf. The tenant is paying $16.99 per sf. The loan has an
ARD date of May 1, 2019, with a final maturity date of May 1,
2034.
Specially Serviced Loan: The second largest loan (15.1%) was
transferred to special servicing in August 2016 due to imminent
default, as the borrower could not continue to fund debt service
payments. Property occupancy dropped to 57% from 100% in October
2015 after Dick's Sporting Goods, formerly the largest tenant,
occupying 43% of the space, vacated upon lease expiration. The
special servicer is pursuing foreclosure.
Defeasance: Two loans, representing 7.8% of the pool, are
defeased.
Maturity Schedule: $3.5 million in 2019; $9.9 million in 2022, $6.7
million in 2024; $1.9 million in 2029 (with an ARD date of April
2019); $33.2 million in 2034 (with an ARD date of May 2019).
As of the May 2017 distribution date, the pool's aggregate
principal balance has been reduced by 94.1% to $65 million from
$1.1 billion at issuance. Interest shortfalls in the amount of $2.8
million are affecting classes H, and L through NR.
RATING SENSITIVITIES
The Rating Outlook on class C remains Stable due to sufficient
credit enhancement as the principal balance is fully covered by
defeasance. The Negative Outlooks on classes D, E and F indicate
that future downgrades are possible in the event Swiss Re
Management (US) Corp. does not renew its lease, as the significant
size of the property in a soft market will be difficult to release,
increasing the potential for losses. In addition, the distressed
classes (rated below 'B') may be subject to further rating actions
as losses are realized.
Fitch has affirmed the following classes and revised Outlooks as
indicated:
-- $0.05 million class C at 'AAAsf'; Outlook Stable;
-- $17.8 million class D at 'Asf'; Outlook to Negative
from Positive;
-- $11 million class E at 'BBBsf'; Outlook to Negative
from Stable;
-- $16.5 million class F at 'B'; Outlook to Negative from Stable;
-- $11 million class G at 'CCsf'; RE 90%;
-- $8.7 million class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-4, A-1A and B notes have paid in full.
Fitch does not rate the class NR notes. Fitch has previously
withdrawn the rating on the interest-only class X certificates.
JP MORGAN 2005-CIBC11: S&P Raises Rating on Class H Debt to CCC
---------------------------------------------------------------
S&P Global Ratings raised its ratings on six classes of commercial
mortgage pass-through certificates from JPMorgan Chase Commercial
Mortgage Securities Corp.'s series 2005-CIBC11, a U.S. commercial
mortgage-backed securities (CMBS) transaction. At the same time,
S&P affirmed its ratings on two 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 assets in the pool, the transaction's
structure, and the liquidity available to the trust.
S&P raised its ratings on classes C, D, E, F, G, and H 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 enhancements for the respective rating
levels. The upgrades also follow S&P's views regarding the current
and future performance of the transaction's collateral, available
liquidity support, and reduction in trust balance.
Class H was previously lowered to 'D (sf)' because of accumulated
interest shortfalls that S&P expected to remain outstanding for a
prolonged period of time. S&P raised its rating on class H from 'D
(sf)' because the accumulated interest shortfalls outstanding were
fully repaid. S&P do not believe, at this time, a further default
of this certificate class is virtually certain.
While available credit enhancement levels suggest further positive
rating movements on class G and H, S&P's analysis also considered
the susceptibility to reduced liquidity support from the corrected
mortgage loan, the Doctors Pavillion – A/B Note ($13.2 million,
7.6%), and the two specially serviced assets ($23.7 million,
13.7%).
S&P affirmed its rating on class B to reflect its 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 views regarding the current and future
performance of the transaction's collateral, and the class's
interest shortfall history.
S&P affirmed its 'AAA (sf)' rating on the class X-1 interest-only
(IO) certificates based on S&P's criteria for rating IO
securities.
TRANSACTION SUMMARY
As of the May 12, 2017, trustee remittance report, the collateral
pool balance was $173.5 million, which is 9.6% of the pool balance
at issuance. The pool currently includes 15 loans and one real
estate owned (REO) asset (reflecting the A/B note as one loan),
down from 143 loans at issuance. Two of these assets are with the
special servicer, three ($21.3 million, 12.3%) are defeased and
five ($27.9 million, 16.1%) are on the master servicer's watchlist.
The master servicer, Berkadia Commercial Mortgage LLC, reported
financial information for 84.4% of the nondefeased loans in the
pool, of which 96.3% was partial-year or year-end 2016 data, and
the remainder was year-end 2015 data.
S&P calculated a 1.50x S&P Global Ratings weighted average debt
service coverage (DSC) and 63.1% S&P Global Ratings weighted
average loan-to-value (LTV) ratio using a 7.82% S&P Global Ratings
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the two specially serviced
assets, three defeased loans and a subordinate B note ($2.2million,
1.2%). The top 10 nondefeased assets have an aggregate outstanding
pool trust balance of $149.5 million (86.3%). Using adjusted
servicer-reported numbers, S&P calculated a S&P Global Ratings
weighted average DSC and LTV of 1.48x and 64.6%, respectively, for
eight of the top 10 nondefeased assets. The remaining assets are
specially serviced and discussed below.
To date, the transaction has experienced $52.0 million in principal
losses, or 2.9% of the original pool trust balance. S&P expects
losses to reach approximately 3.3% of the original pool trust
balance in the near term, based on losses incurred to date and
additional losses S&P expects upon the eventual resolution of the
two specially serviced assets, as well as assigning 100% loss on
the subordinate B note.
CREDIT CONSIDERATIONS
As of the May 12, 2017, trustee remittance report, two assets in
the pool were with the special servicer, C-III Asset Management LLC
(C-III). Details are:
-- The Shoppes at IV loan ($15.7 million, 9.1%) is the second-
largest nondefeased asset in the pool and has a total
reported exposure of $15.9 million. The loan is secured by
a 134,001-sq.-ft. retail property in Paramus, N.J. The
loan, which has a foreclosure in process payment status, was
transferred to special servicer on Feb. 11, 2015, because of
maturity default. The loan matured on Feb. 1, 2015. C-III
stated that the noteholder has filed foreclosure documents.
Updated financials were not available for this loan. An
appraisal reduction amount (ARA) of $1.3 million is in
effect against this loan. S&P expects a minimal loss (less
than 25%) upon this loan's eventual resolution.
-- The Waterside Center REO asset ($7.9 million, 4.6%), the
fourth-largest asset in the pool, has a total reported
exposure of $8.8 million. The asset is a 52,115-sq.-ft.
retail property in Naperville, Ill. The loan was
transferred to special servicer on Aug. 22, 2014, because of
imminent maturity default (matured on Feb. 1, 2015). The
property became REO on Jan. 6, 2016. C-III indicated that
the property is on the market for sale.
-- The reported occupancy as of March 2017 was 80.0%. An ARA
of $1.9 million is in effect against this asset. S&P
expects a moderate loss (between 26% and 59%) upon this
asset's eventual resolution.
S&P estimated losses for the two specially serviced assets, as well
as assigning 100% loss on the Doctors Pavillion subordinate B hope
note, arriving at a weighted-average loss severity of 26.5%.
RATINGS LIST
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2005-CIBC11
Rating
Class Identifier To From
B 46625YJL8 AA+ (sf) AA+ (sf)
C 46625YJM6 AA+ (sf) AA (sf)
D 46625YJN4 AA (sf) A (sf)
X-1 46625YJP9 AAA (sf) AAA (sf)
E 46625YJR5 AA- (sf) A- (sf)
F 46625YJS3 A+ (sf) BBB (sf)
G 46625YJT1 BBB (sf) BB (sf)
H 46625YJU8 CCC (sf) D (sf)
JP MORGAN 2006-LDP7: Moody's Affirms C(sf) Ratings on 4 Tranches
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on six classes
and downgraded the ratings on two classes in J.P. Morgan Chase
Commercial Mortgage Securities Corp. Series 2006-LDP7 as follows:
Cl. A-M, Affirmed A1 (sf); previously on Jun 30, 2016 Affirmed A1
(sf)
Cl. A-J, Downgraded to Caa2 (sf); previously on Jun 30, 2016
Downgraded to Caa1 (sf)
Cl. B, Downgraded to C (sf); previously on Jun 30, 2016 Downgraded
to Caa3 (sf)
Cl. C, Affirmed C (sf); previously on Jun 30, 2016 Downgraded to C
(sf)
Cl. D, Affirmed C (sf); previously on Jun 30, 2016 Downgraded to C
(sf)
Cl. E, Affirmed C (sf); previously on Jun 30, 2016 Downgraded to C
(sf)
Cl. F, Affirmed C (sf); previously on Jun 30, 2016 Affirmed C (sf)
Cl. X, Affirmed Ca (sf); previously on Jun 30, 2016 Affirmed Ca
(sf)
RATINGS RATIONALE
The rating on Class A-M 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 four P&I classes, Classes C through F, were affirmed because the
ratings are consistent with Moody's expected loss.
The ratings on Classes A-J and B were downgraded due to anticipated
losses from specially serviced and troubled loans.
The rating on the IO class, Class X, was affirmed because the class
does not, nor is expected to receive monthly interest payments.
Moody's rating action reflects a base expected loss of 51.1% of the
current balance, compared to 34.0% at Moody's last review. Moody's
base expected loss plus realized losses is now 13.7% of the
original pooled balance, compared to 13.8% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in October 2015.
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 JPMCC 2006-LDP7.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 87% of the pool is in
special servicing and Moody's has identified additional troubled
loans representing 3% of the pool. In this approach, Moody's
determines a probability of default for each specially serviced and
troubled loan that it expects will generate a loss and estimates a
loss given default based on a review of broker's opinions of value
(if available), other information from the special servicer,
available market data and Moody's internal data. The loss given
default for each loan also takes into consideration repayment of
servicer advances to date, estimated future advances and closing
costs. Translating the probability of default and loss given
default into an expected loss estimate, Moody's then applies the
aggregate loss from specially serviced and troubled loans to the
most junior classes and the recovery as a pay down of principal to
the most senior classes.
JP MORGAN 2017-2: Moody's Assigns Ba3(sf) Rating to Cl. B-5 Debt
----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 27
classes of residential mortgage-backed securities (RMBS) issued by
J.P. Morgan Mortgage Trust 2017-2 (JPMMT 2017-2). The ratings range
from Aaa (sf)-Ba3 (sf).
The certificates are supported by 1,519 primarily 30-year,
fully-amortizing fixed rate mortgage loans with a total balance of
$ 1,019,973,689 as of the May 1, 2017 Cut-off date. Like JPMMT
2017-1, JPMMT 2017-2 includes conforming fixed-rate mortgage loans
originated by JPMorgan Chase Bank, N. A. (Chase) and underwritten
to the government sponsored enterprises (GSE) guidelines in
addition to prime jumbo non-conforming mortgages purchased by
JPMMAC from various originators and aggregators, including loans
acquired either directly or indirectly from TH TRS Corp. (Two
Harbors). These loans were acquired by JPMMAC either directly from
Two Harbors or indirectly through MAXEX, LLC, which operates a
mortgage loan exchange for the purchase and sale of mortgage loans.
Chase will be the servicer on the conforming loans, while
Shellpoint Mortgage Servicing, Everbank and PHH Mortgage
Corporation will be the servicers on the prime jumbo loans. Wells
Fargo Bank, N.A. will be the master servicer and securities
administrator. U.S. Bank Trust National Association will be the
trustee. Pentalpha Surveillance LLC will be the representations and
warranties breach reviewer. Distributions of principal and interest
and loss allocations are based on a typical shifting-interest 'I'
structure that benefits from a subordination floor.
The complete rating actions are as follows:
Issuer: J.P. Morgan Mortgage Trust 2017-2
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-5, Definitive Rating Assigned Aaa (sf)
Cl. A-6, Definitive Rating Assigned Aaa (sf)
Cl. A-7, Definitive Rating Assigned Aaa (sf)
Cl. A-8, Definitive Rating Assigned Aaa (sf)
Cl. A-9, Definitive Rating Assigned Aaa (sf)
Cl. A-10, Definitive Rating Assigned Aaa (sf)
Cl. A-11, Definitive Rating Assigned Aaa (sf)
Cl. A-12, Definitive Rating Assigned Aaa (sf)
Cl. A-13, Definitive Rating Assigned Aa1 (sf)
Cl. A-14, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-1, Definitive Rating Assigned Aaa (sf)
Cl. A-X-2, Definitive Rating Assigned Aaa (sf)
Cl. A-X-3, Definitive Rating Assigned Aaa (sf)
Cl. A-X-4, Definitive Rating Assigned Aaa (sf)
Cl. A-X-5, Definitive Rating Assigned Aaa (sf)
Cl. A-X-6, Definitive Rating Assigned Aaa (sf)
Cl. A-X-7, Definitive Rating Assigned Aaa (sf)
Cl. A-X-8, Definitive Rating Assigned Aa1 (sf)
Cl. B-1, Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Definitive Rating Assigned A2 (sf)
Cl. B-3, Definitive Rating Assigned Baa2 (sf)
Cl. B-4, Definitive Rating Assigned Ba1 (sf)
Cl. B-5, Definitive Rating Assigned Ba3 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected cumulative net loss on the aggregate pool average
0.40% in a base scenario and reaches 4.90% at a stress level
consistent with the Aaa ratings.
Moody's calculated losses on the pool using Moody's US Moody's
Individual Loan Analysis (MILAN) model based on the loan-level
collateral information as of the Cut-off Date. Loan-level
adjustments to the model results included adjustments to
probability of default for higher and lower borrower debt-to-income
ratios (DTIs), for borrowers with multiple mortgaged properties,
self-employed borrowers, and for the default risk of Homeownership
Association (HOA) properties in super lien states. Moody's final
loss estimates also incorporate adjustments for originator
assessments, the financial strength of Representation & Warranty
(R&W) providers, and extraordinary expenses.
Moody's base Moody's definitive ratings on the certificates on the
credit quality of the mortgage loans, the structural features of
the transaction, Moody's assessments of the aggregators,
originators and servicers, the strength of the third party due
diligence and the representations and warranties (R&W) framework of
the transaction.
Collateral Description
JPMMT 2017-2 is a securitization of a pool of 1,519 primarily
30-year, fully-amortizing mortgage loans with a total balance of $
1,019,973,689 as of the cutoff date, with a weighted average (WA)
remaining term to maturity of 354 months, and a WA seasoning of six
months. The borrowers in this transaction have high FICO scores and
sizeable equity in their properties. The WA current FICO score is
773 and the WA original combined loan-to-value ratio (CLTV) is
69.9%. The characteristics of the loans underlying the pool are
generally comparable to other JPMMT transactions backed by 30-year
fixed mortgage loans that Moody's has recently rated.
In this transaction, 15.2% of the pool by loan balance was
underwritten by Chase to Fannie Mae's and Freddie Mac's guidelines
(conforming loans). Moreover, the conforming loans in this
transaction have a high average current loan balance at $ 498,036.
The higher conforming loan balance of loans in JPMMT 2017-2 is
attributable to the greater amount of properties located in
high-cost areas, such as the metro areas of New York City and San
Francisco.
Approximately 11.8% (by loan balance) of the pool consists of loans
acquired by JPMMAC either directly or indirectly from TH TRS Corp.
(Two Harbors). These loans were acquired by JPMMAC either directly
from TH TRS Corp. (7.1% by loan balance) or indirectly through
MAXEX, LLC, (MAXEX) (4.7% by loan balance), a financial services
technology company which operates a mortgage loan exchange for the
purchase and sale of mortgage loans called LNEX. MAXEX acts as a
central clearinghouse and single counterparty to exchange
participants. As an independent market utility, MAXEX can provide
consistency through standardized guidelines and procedures
including a pre-settlement independent loan audit on all loans.
Moreover, all Two Harbors loans were reviewed by an independent
third-party due diligence firm, who checked the loans for adherence
to Two Harbors guidelines, regulatory compliance and valuation.
Among the originators contributing more than 10% to the pool, Chase
represents 15.2% of the outstanding principal balance of mortgage
loans, Everbank represents 15.8% of the outstanding principal
balance of the mortgage loans, and United Shore Financial Services,
LLC represents 19.5% of the outstanding principal balance of the
mortgage loans. The remaining originators each account for less
than 10% of the principal balance of the loans in the pool.
Third-party Review
Three independent third party review (TPR) firms - Opus Capital
Markets Consultants LLC (Opus), AMC Diligence, LLC (AMC) and
Clayton Services LLC (Clayton) - reviewed 100% of the loans in this
transaction for credit, regulatory compliance, property valuation,
and data accuracy. The due diligence results confirm compliance
with the originators' underwriting guidelines for the vast majority
of loans, no material compliance issues, and no material valuation
issues. The loans that had exceptions to the originators'
underwriting guidelines had significant compensating factors that
were documented.
Representations & Warranties (R&W) Framework
The sellers have provided clear R&Ws, including an unqualified
fraud R&W. There is a provision for binding arbitration in the
event of a dispute between the trust and the R&W provider
concerning R&W breaches. Further, R&W breaches are evaluated by an
independent third party using a set of objective criteria. JPMMT
2017-2 introduces a new breach review trigger: Loans are reviewed
if the loan becomes between 30 days and 120 days delinquent and is
modified by the servicer. The R&W providers vary in financial
strength. JPMorgan Chase Bank, N. A. (rated Aa2), who is the R&W
provider for approximately 15.2% (by loan balance) of the loans, is
the strongest R&W provider. For loans that JPMMAC acquired via the
MAXEX platform, Central Clearing and Settlement LLC, (CCS) MAXEX's
subsidiary and seller under the Assignment, Assumption and
Recognition agreement (AAR), will make the R&Ws. The loans where
CCS is the R&W provider represent 6.92% by loan balance of the
pool. Under the AAR, JPMMAC will assign to the trust a backstop
made by Five Oaks Acquisition Corp. (Five Oaks) where Five Oaks
backstops CCS in the event that CCS is insolvent.
Tail Risk & Subordination Floor
This deal has a standard shifting-interest structure, with a
subordination floor to protect against losses that occur late in
the life of the pool when relatively few loans remain (tail risk).
When the total senior subordination is less than 0.50% of the
original pool balance ($5,099,868), the subordinate bonds do not
receive any principal and all principal is then paid to the senior
bonds. In addition, if the subordinate percentage drops below 6.00%
of current pool balance, the senior distribution amount will
include all principal collections and the subordinate principal
distribution amount will be zero. The subordinate bonds themselves
benefit from a floor. When the total current balance of a given
subordinate tranche plus the aggregate balance of the subordinate
tranches that are junior to it amount to less than 0.70% of the
original pool balance ($7,140,689), those tranches do not receive
principal distributions. Principal those tranches would have
received are directed to pay more senior subordinate bonds
pro-rata.
Net WAC
The net WAC definition is the greater of (1) (a) the weighted
average of the net mortgage rates of the mortgage loans in that
group as of the first day of the related due period, weighted on
the basis of their stated principal balances, minus (b) the
reviewer annual fee rate for such distribution date and (2) zero.
The certificates that are at risk are the lockout classes,
especially Class B-6, which has the longest weighted average life.
Extraordinary Trust Expenses
Extraordinary expenses, which include expenses to be reimbursed to
the trustee, securities administrator and to the reviewer, as well
as expenses related to enforcement for breach of R&Ws and others,
will be taken out of the available distribution amount, which
decreases funds available for payment of the certificates.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
Methodology
The principal methodology used in these ratings was "Moody's
Approach to Rating US Prime RMBS," published on February 2015.
Additionally, the methodology used in rating Cl. A-X-1, Cl. A-X-2,
Cl. A-X-3, Cl. A-X-4, Cl. A-X-5, Cl. A-X-6, Cl. A-X-7, and Cl.
A-X-8 was "Moody's Approach to Rating Structured Finance
Interest-Only Securities" published in October 2015.
KODIAK CDO II: Moody's Hikes Rating on Class A-3 Notes to Ba1
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Kodiak CDO II, Ltd.:
US$338,000,000 Class A-1 Senior Secured Floating Rate Notes Due
2042 (current balance of $47,863,805.33), Upgraded to A3 (sf);
previously on October 18, 2016 Upgraded to Baa2 (sf)
US$53,000,000 Class A-2 Senior Secured Floating Rate Notes Due
2042, Upgraded to Baa1 (sf); previously October 18, 2016 Upgraded
to Baa3 (sf)
US$80,000,000 Class A-3 Senior Secured Floating Rate Notes Due
2042, Upgraded to Ba1(sf); previously October 18, 2016 Affirmed B1
(sf)
US$81,000,000 Class B-1 Senior Secured Floating Rate Notes Due
2042, Upgraded to Caa2 (sf); previously October 18, 2016 Affirmed
Caa3 (sf)
US$5,000,000 Class B-2 Senior Secured Fixed/Floating Rate Notes Due
2042, Upgraded to Caa2 (sf); previously October 18, 2016 Affirmed
Caa3 (sf)
Kodiak CDO II, Ltd., issued in June 2007, is a collateralized debt
obligation (CDO) backed mainly by a portfolio of REIT trust
preferred securities (TruPS), with small exposures to insurance
TruPS, TruPS CDO tranches, corporate bonds, and CMBS and CRE CDO
securities.
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 and the improvement in the credit
quality of the underlying portfolio since October 2016.
The Class A-1 notes have paid down by approximately 39.8% or $31.6
million since October 2016, using principal proceeds from the
redemption of the underlying assets and the diversion of excess
interest proceeds. Based on Moody's calculations, the OC ratios for
the Class A-1, Class A-2, Class A-3 and Class B notes have improved
to 713.5%, 338.6%, 188.8% and 128.0%, respectively, compared to
October 2016 levels of 461.0%, 276.6%, 172.4% and 122.8%,
respectively. The Class A-1 notes will continue to benefit from the
diversion of excess interest and the use of proceeds from
redemptions of any assets in the collateral pool. Additionally, the
notes are expected to benefit from credit enhancement available in
the form of excess spread, because two out-of-the-money interest
rate swaps, with a total notional of $65.9 million, matured in
January and February 2017.
The deal has also benefited from improvement in the credit quality
of the underlying portfolio. According to Moody's calculations, the
weighted average rating factor (WARF) improved to 4422 from 4701 in
October 2016.
The ratings on the notes also reflect the correction of prior
errors. In certain sensitivity analyses considered in the October
2016 rating action, a default timing profile of six years was used
to model the transaction instead of eight years, which understated
the excess spread that will be available to the notes. In addition,
the default probability distribution for underlying collateral was
too high. The errors have now been corrected, and actions reflect
this change.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs," published in October 2016.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:
1) Macroeconomic uncertainty: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in the
general economy. Moody's has a stable outlook on the US REIT
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) 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 2602)
Class A-1: +1
Class A-2: +2
Class A-3: +2
Class B-1: +3
Class B-2: +3
Assuming a two-notch downgrade to assets with below-investment
grade ratings or rating estimates (WARF of 4923)
Class A-1: -1
Class A-2: 0
Class A-3: -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
CDOROM to model the loss distribution for TruPS CDOs. The simulated
defaults and recoveries for each of the Monte Carlo scenarios
defined the reference pool's loss distribution. Moody's then used
the loss distribution as an input in its CDOEdge cash flow model.
CDOROM is available on www.moodys.com under Products and Solutions
-- Analytical models, upon receipt of a signed free license
agreement.
The 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 of $341.5 million,
defaulted par of $81.6 million, a weighted average default
probability of 56.83% (implying a WARF of 4422), and a weighted
average recovery rate upon default of 13.06%.
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 REIT
companies that Moody's does not rate publicly. To evaluate the
credit quality of REIT companies that do not have public ratings,
Moody's REIT group assesses their credit quality using the REIT
firms' annual financials.
LB-UBS COMMERCIAL 2004-C2: S&P Raises Rating on Cl. J Debt to BB+
-----------------------------------------------------------------
S&P Global Ratings raised its ratings on three classes of
commercial mortgage pass-through certificates from LB-UBS
Commercial Mortgage Trust 2004-C2, a U.S. commercial
mortgage-backed securities (CMBS) transaction.
The rating actions follow S&P's analysis of the transaction,
primarily using its criteria for rating U.S. and Canadian CMBS
transactions, which included a review of the credit characteristics
and performance of the remaining assets in the pool, the
transaction's structure, and the liquidity available to the trust.
S&P raised its ratings on classes G, H, and J 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 S&P's views regarding the transaction
collateral's current and future performance, the reduced trust
balance, and the bonds' interest shortfall histories.
While available credit enhancement levels suggest further positive
rating movement on class J, S&P's analysis also considered the
bond's susceptibility to reduced liquidity support from the three
specially serviced assets ($12.7 million, 30.2%).
TRANSACTION SUMMARY
As of the May 17, 2017, trustee remittance report, the collateral
pool balance was $42.0 million, which is 3.4% of the pool balance
at issuance. The pool currently includes five assets, down from 83
loans at issuance. Three of these assets ($12.7 million, 30.2%)
are specially serviced and one loan ($10.2 million, 24.3%) is
defeased. The master servicer, Midland Loan Services, reported
recent financial information for 94.7% of the nondefeased loans in
the pool, consisting of year-end 2016 and year-end 2015 data.
For the sole non-defeased performing loan, Voice Road Shopping
Center ($19.1 million, 45.5%), S&P calculated a 1.14x S&P Global
Ratings weighted average debt service coverage (DSC) and 68.8% S&P
Global Ratings weighted average loan-to-value ratio using a 7.50%
S&P Global Ratings weighted average capitalization rate.
To date, the transaction has experienced $30.8 million in principal
losses, or 2.5% of the original pool trust balance.
CREDIT CONSIDERATIONS
As of the May 17, 2017, trustee remittance report, three real
estate-owned (REO) assets in the pool were with the special
servicer, LNR Partners LLC. The largest of these, Warm Springs
($8.4 million, 20.1%), has a reported total exposure of $10.4
million. The asset is a 71,034-sq.-ft. office in Las Vegas, Nev.
The loan was transferred to special servicing in August 2012 and
the asset became REO in September 2013. Reported DSC was 0.35x for
2016 and reported occupancy was 38.0% as of January 2017. There is
a $5.6 million appraisal reduction amount (ARA) in effect against
the asset. S&P anticipates a moderate loss, which it considers to
be a loss between 26% and 59% of outstanding principal balance,
upon the asset's eventual resolution,
The remaining two specially serviced assets each have balances
representing less than 6.5% of the total pool balance. S&P
estimated losses on all three specially serviced assets which
resulted in a 37.0% weighted-average loss severity.
RATINGS LIST
LB-UBS Commercial Mortgage Trust 2004-C2
Commercial mortgage pass-through certificates series 2004-C2
Rating
Class Identifier To From
G 52108HA61 AAA (sf) AA- (sf)
H 52108HA79 AA+ (sf) BB+ (sf)
J 52108HA87 BB+ (sf) B- (sf)
MFA TRUST 2017-RPL1: Fitch to Rate Class B-2 Notes 'Bsf'
--------------------------------------------------------
Fitch Ratings expects to rate MFA 2017-RPL1 Trust (MFA 2017-RPL1):
-- $120,696,000 class A-1 notes 'AAAsf'; Outlook Stable;
-- $27,151,000 class M-1 notes 'Asf'; Outlook Stable;
-- $11,652,000 class M-2 notes 'BBBsf'; Outlook Stable;
-- $10,113,000 class B-1 notes 'BBsf'; Outlook Stable;
-- $9,893,000 class B-2 notes 'Bsf'; Outlook Stable.
The following class will not be rated by Fitch:
-- $40,343,031 class B-3 notes.
The notes are supported by one collateral group that consists of
992 seasoned performing and re-performing mortgages with a total
balance of approximately $219.85 million (which includes $25.06
million, or 11.4%, of the aggregate pool balance in
non-interest-bearing deferred principal amounts) as of the
statistical calculation date.
The 'AAAsf' rating on the class A1 notes reflects the 45.10%
subordination provided by the 12.35% class M-1, 5.30% class M-2,
4.60% class B-1, 4.50% class B-2, and 18.35% class B-3 notes.
Fitch's ratings on the class notes reflect the credit attributes of
the underlying collateral, the quality of the servicer, Select
Portfolio Servicing, Inc. (SPS, rated 'RPS1-'), and the
representation (rep) and warranty framework, minimal due diligence
findings and the sequential pay structure.
KEY RATING DRIVERS
Distressed Performance History (Concern): The collateral pool
consists primarily of peak-vintage seasoned re-performing loans
(RPLs). Based on Mortgage Bankers Association methodology (MBA),
13% of the loans were 30 days delinquent as of the cut-off date and
76.3% have either experienced a delinquency in the past 24 months,
or had an incomplete pay string, identified by Fitch as 'dirty
current'. The remaining 10.6% of the loans have been paying for the
past 24 months, identified as 'clean current'. 71.4% of the loans
have received modifications.
Solid Alignment of Interest (Positive): The sponsor, or a
majority-owned affiliate, will retain at least a 5% eligible
horizontal interest in the securities to be issued. Fitch considers
the transaction's representation, warranty and enforcement (RW&E)
mechanism framework to be consistent with Tier 1 quality. The
transaction benefits from life-of-loan representations and
warranties (R&Ws).
New Issuer (Neutral): This is MFA Financial, Inc.'s (MFA) first RPL
securitization. Fitch conducted a full review of aggregation
processes and believes that MFA meets industry standards that are
needed to properly aggregate and securitize re-performing and
non-performing residential mortgage loans (RPL and NPL,
respectively). In addition to the satisfactory operational
assessment, a due diligence review was completed on 100% of the
pool.
Third-Party Due Diligence (Positive): A third-party due diligence
review was conducted on 100% of the pool and focused on regulatory
compliance, pay history and a tax and title lien search. The
third-party review (TPR) firms' due diligence review resulted in
1.7% 'C' and 'D' graded loans, meaning the loans had material
violations or lacked documentation to confirm regulatory
compliance. This is well below the average of approximately 13%
seen in other recently rated RPL transactions, and demonstrates
relatively low operational risk.
Sequential-Pay Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure whereby the subordinate classes
do not receive principal until the senior classes are repaid in
full. Losses are allocated in reverse-sequential order.
Furthermore, the provision to re-allocate principal to pay interest
on the 'AAAsf' rated notes prior to other principal distributions
is highly supportive of timely interest payments to those classes
in the absence of servicer advancing.
Deferred Amounts (Negative): Non-interest-bearing principal
forbearance amounts totaling $25.06 million (11.4%) of the unpaid
principal balance are outstanding on 794 loans. Fitch included the
deferred amounts when calculating the borrower's LTV and sLTV
despite the lower payment and amounts not being owed during the
term of the loan. The inclusion resulted in higher PDs and LS than
if there were no deferrals. Fitch believes that borrower default
behavior for these loans will resemble that of the higher LTVs, as
exit strategies (sale or refinancing) will be limited relative to
those borrowers with more equity in the property.
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 loss severities
(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' rated
classes.
CRITERIA APPLICATION
Fitch's analysis incorporated three criteria variations from 'U.S.
RMBS Seasoned, Re-Performing and Non-Performing Loan Criteria.'
The first variation is the tax and title review which was completed
outside of the six-month timeframe expected in Fitch's criteria.
The tax and title review for the loans in this pool was done at
acquisition, roughly nine to 11 months ago. However, Fitch does not
view the lack of an updated tax and title review as a material risk
given that the review conducted at acquisition is aged just
slightly more than six months as stated in Fitch's criteria.
In addition, Fitch considers the robust servicing of SPS, which is
a high-touch servicing platform that specializes in seasoned loans,
to be a mitigant to the slightly aged tax and title search. SPS
uses industry accepted tools to identify new liens on a regular
basis and Fitch feels confident that they are appropriately
monitoring any additional liens. Given the strength of the
servicer, Fitch considers the impact of slightly seasoned tax,
title and lien reviews to be nonmaterial.
The second variation is that the Opus due diligence compliance
review did not include a RESPA test. While Fitch expects to see
that a RESPA test was performed, no adjustment was made as there is
no assignee liability associated with RESPA violations. Fitch also
considered the clean due diligence results for the remaining tests
in it assessment and believes that no additional compliance risk
due to the lack of RESPA testing is likely.
Lastly, per the criteria, the PD is increased to 100% for loans
that are delinquent at the time of analysis that are missing a due
diligence review of the servicing comments. However, the 100% PD
penalty was not applied to all of the loans delinquent at the time
of Fitch's analysis. The servicer, SPS provided a summary of their
most recent contact with the borrowers, in lieu of diligence review
of servicing comments. The comments provided by SPS indicated that
many of the borrowers showed their ability to pay and therefore the
100% PD penalty was only applied to those loans that Fitch believes
may be prone to foreclosure.
In addition, the analysis incorporated one variation from Fitch's
'U.S. RMBS Master Rating Criteria' related to the independence of
RRR as a TPR firm. RRR performed a portion of the due diligence
review for this transaction that included the paystring review and
a review/summary of title search results. RRR is owned by SPS, the
servicer and SPS is wholly owned by Credit Suisse, the
transaction's underwriter. Per the criteria, Fitch expects that any
firm performing due diligence functions be an independent company
with no ties to the loan originator/aggregator, the issuer of the
notes or the security underwriter, or any other party to the
transaction. Fitch held a call with RRR and is comfortable that
there is a clear separation between RRR, SPS and Credit Suisse.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the metropolitan statistical area (MSA) and
national levels. The implied rating sensitivities are only an
indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to or be
considered in the surveillance of the transaction.
Fitch conducted sensitivity analysis determining how the ratings
would react to steeper MVDs at the national level. The analysis
assumes MVDs of 10%, 20%, and 30%, in addition to the
model-projected 37.5% at 'AAAsf'. The analysis indicates there is
some potential rating migration with higher MVDs, compared with the
model projection.
Fitch also conducted sensitivities to determine the stresses to
MVDs that would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'.
MILL CITY 2017-2: Fitch to Rate Class B2 Notes 'Bsf'
----------------------------------------------------
Fitch Ratings expects to rate Mill City Mortgage Loan Trust 2017-2
(MCMLT 2017-2) as follows:
-- $250,689,000 class A1 notes 'AAAsf'; Outlook Stable;
-- $26,580,000 class M1 notes 'AAsf'; Outlook Stable;
-- $21,799,000 class M2 notes 'Asf'; Outlook Stable;
-- $18,357,000 class M3 notes 'BBBsf'; Outlook Stable;
-- $18,740,000 class B1 notes 'BBsf'; Outlook Stable;
-- $13,194,000 class B2 notes 'Bsf'; Outlook Stable;
-- $277,269,000 class A2 subsequent exchangeable notes 'AAsf';
Outlook Stable;
-- $299,068,000 class A3 subsequent exchangeable notes 'Asf';
Outlook Stable.
The following classes will not be rated by Fitch:
-- $14,724,000 class B3 notes;
-- $10,709,000 class B4 notes;
-- $7,648,865 class B5 notes.
The notes are supported by one collateral group that consists of
1,568 seasoned performing and re-performing mortgages with a total
balance of approximately $382.44 million (which includes $20.6
million, or 5.4%, of the aggregate pool balance in
non-interest-bearing deferred principal amounts) as of the
statistical calculation date.
The 'AAAsf' rating on the class A1 notes reflects the 34.45%
subordination provided by the 6.95% class M1, 5.70% class M2, 4.80%
class M3, 4.90% class B1, 3.45% class B2, 3.85% class B3, 2.80%
class B4 and 2.00% class B5 notes.
Fitch's ratings on the class notes reflect the credit attributes of
the underlying collateral, the quality of the servicers: Shellpoint
Mortgage Servicing (Shellpoint) and Fay Servicing, LLC (Fay), both
rated 'RSS3+', the representation (rep) and warranty framework,
minimal due diligence findings and the sequential pay structure.
KEY RATING DRIVERS
Distressed Performance History (Concern): The collateral pool
consists primarily of peak-vintage seasoned re-performing loans
(RPLs), including loans that have been paying for the past 24
months, which Fitch identifies as "clean current" (71%), and loans
that are current but have recent delinquencies or incomplete
paystrings, identified as "dirty current" (29%). All loans were
current as of the cutoff date; 69.8% of the loans have received
modifications.
Due Diligence Findings (Concern): The third-party review (TPR)
firm's due diligence review resulted in approximately 317 loans
(20%) graded 'C' and 'D', of which 74 were subject to a loss
severity (LS) adjustment for issues regarding high-cost testing,
including 15 loans that were unable to perform a compliance review
due to incomplete loan files. In addition, timelines were extended
on 56 loans that were missing final modification documents.
Tax and Title Search Aged Over Six months (Concern): For
approximately 70% of the loans, the tax and title search was
performed more than six months prior to securitization. However,
Fitch received an updated gap report for tax liens that showed
$239,000 outstanding that will be satisfied within 90 days of
closing. With respect to the municipal and homeowner association
dues (HOA), a gap report will be obtained prior to deal closing.
Any municipal liens will be satisfied within 90 days of closing and
HOA liens will be satisfied as part of the servicer's practices.
For more information, see the Criteria Application section on page
11 of the presale report.
HELOCs Included (Concern): Approximately 6.2% of the total pool is
made up of home equity lines of credit (HELOCs). To account for
future potential draws, Fitch added the available draw amount to
the loans where the line was marked as anything other than
"permanently closed." This approach impacted 71 loans and increased
the amount owed by $668 thousand for determining borrowers'
probability of default (PD) and loss severity (LS) in Fitch's
analysis.
No Servicer P&I Advances (Mixed): The servicers 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 is 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 (Mixed): The transaction's cash flow is
based on a sequential-pay structure whereby the subordinate classes
do not receive principal until the senior classes are repaid in
full. Losses are allocated in reverse-sequential order.
Furthermore, the provision to re-allocate principal to pay interest
on the 'AAAsf' and 'AAsf' rated notes prior to other principal
distributions is highly supportive of timely interest payments to
those classes, in the absence of servicer advancing.
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 that will generally not be repaid
until such note becomes the most senior outstanding.
Under Fitch's "Global Structured Finance Criteria," dated May 2017,
the agency 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.
Limited Life of Rep Provider (Concern): CVI CVF III Lux Master
S.a.r.l., as rep provider, will only be obligated to repurchase a
loan due to breaches prior to the payment date in July 2018.
Thereafter, a reserve fund will be available to cover amounts due
to noteholders for loans identified as having rep breaches. Amounts
on deposit in the reserve fund, as well as the increased level of
subordination, will be available to cover additional defaults and
losses resulting from rep weaknesses or breaches occurring on or
after the payment date in July 2018.
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 that will generally not be repaid
until such note becomes the most senior outstanding.
Representation Framework (Concern): Fitch generally considers the
representation, warranty, and enforcement (RW&E) mechanism
construct for this transaction to be generally consistent with a
Tier 2 framework due to the inclusion of knowledge qualifiers and
the exclusion of loans from certain reps as a result of third-party
due diligence findings. For 67 loans that are seasoned less than 24
months, Fitch viewed the framework as a Tier 3 because the reps
related to the origination and underwriting of the loan, which are
typically expected for newly originated loans, were not included.
Thus, Fitch increased its 'AAAsf' PD l expectations by
approximately 462bps to account for a potential increase in
defaults and losses arising from weaknesses in the reps.
Timing of Recordation and Document Remediation (Neutral): A review
was performed.While the expected timelines for recordation and
remediation are viewed by Fitch as reasonable, the obligation of
CVI CVF III Lux Master S.a.r.l. to repurchase loans, for which
assignments are not recorded and endorsements are not completed by
the payment date in July 2018, aligns the issuer's interests
regarding completing the recordation process with those of
noteholders. While there will not be an asset manager in this
transaction, the indenture trustee will be reviewing the custodian
reports. The indenture trustee will request CVI CVF III Lux Master
S.a.r.l. to purchase any loans with outstanding assignment and
endorsement issues two days prior to the July 2018 payment date.
Deferred Amounts (Negative): Non-interest-bearing principal
forbearance amounts totaling $20.6 million (5.4% of the unpaid
principal balance) are outstanding on 490 loans. Fitch included the
deferred amounts when calculating the borrower's LTV and sLTV,
despite the lower payment and amounts not being owed during the
term of the loan. The inclusion resulted in higher PDs and LS than
if there were no deferrals. Fitch believes that borrower default
behavior for these loans will resemble that of the higher LTVs, as
exit strategies (that is, sale or refinancing) will be limited
relative to those borrowers with more equity in the property.
Solid Alignment of Interest (Positive): The sponsor, Mill City
Holdings, LLC, through a majority owned affiliate, will acquire and
retain a 5% interest in each class of the securities to be issued.
In addition, the rep provider is an indirect owner of the sponsor.
MORGAN STANLEY 1998-CF1: Moody's Affirms Caa3 Rating on Cl. X Certs
-------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
in Morgan Stanley Capital I Inc. 1998-CF1, Commercial Mortgage
Pass-Through Certificates, Series 1998-CF1 as follows:
Cl. G, Affirmed Caa1 (sf); previously on Jun 10, 2016 Affirmed Caa1
(sf)
Cl. X, Affirmed Caa3 (sf); previously on Jun 10, 2016 Affirmed Caa3
(sf)
RATINGS RATIONALE
The rating on Class G was affirmed because the ratings are
consistent with Moody's expected loss plus realized losses. Class G
has already experienced a 6.7% realized loss as result of
previously liquidated loans.
The rating on the IO class was affirmed based on the credit
performance of its referenced classes.
Moody's rating action reflects a base expected loss of 0.0% of the
current balance, compared to 0.7% 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 7.2%
of the original pooled balance, unchanged from Moody's 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 MSC 1998-CF1.
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 May 15, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $22.95
million from $1.11 billion at securitization. The certificates are
collateralized by 12 mortgage loans ranging in size from less than
1% to 32% of the pool. Five loans, constituting 24% of the pool,
have defeased and are secured by US government securities.
Four loans, constituting 44% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Fifty-four loans have been liquidated from the pool with a loss,
contributing to an aggregate realized loss of $79.7 million (for an
average loss severity of 47%).
Moody's received full year 2015 operating results for 100% of the
pool, and full or partial year 2016 operating results for 86% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 60%, compared to 43% 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 11% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 10.1%.
Moody's actual and stressed conduit DSCRs are 1.22X and 2.30X,
respectively, compared to 1.69X and 2.99X 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 69% of the pool balance. The
largest loan is the Bristol Market Place Loan ($7.3 million -- 32%
of the pool), which is secured by 99,000 square foot (SF)
grocery-anchored retail center in Santa Ana, California. As of
March 2017, the property was 93% leased. The loan has amortized 36%
since securitization and matures in May 2018. Moody's LTV and
stressed DSCR are 45% and 2.31X, respectively.
The second largest loan is the Van Dorn Station Loan ($5.4 million
-- 24% of the pool), which is secured by a 74,000 SF anchored
retail center in Alexandria, Virginia. As of December 2016, the
property was 72% leased, up from 68% at year-end 2015. The loan has
amortized 38% since securitization and matures in March 2018.
Moody's LTV and stressed DSCR are 64% and 1.79X, respectively.
The third largest loan is the Gardenside Shopping Center Loan ($3.1
million -- 13.3% of the pool), which is secured by a 188,000 SF
anchored retail center in Henderson, Kentucky. As of June 2016, the
property was 76% leased. The loan is fully amortizing and has
amortized 58% since securitization. Moody's LTV and stressed DSCR
are 81% and 1.40X, respectively.
MORGAN STANLEY 2006-HQ8: S&P Lowers Rating on Cl. E Certs to D
--------------------------------------------------------------
S&P Global Ratings raised its ratings on three classes of
commercial mortgage pass-through certificates from Morgan Stanley
Capital I Trust 2006-HQ8, a U.S. commercial mortgage-backed
securities (CMBS) transaction. At the same time, S&P lowered its
rating on class E and affirmed our rating on class D from the same
transaction.
S&P's rating actions follow its analysis of the transaction,
primarily using its criteria for rating U.S. and Canadian CMBS
transactions, which included a review of the credit characteristics
and performance of the remaining assets in the pool, the
transaction's structure, and the liquidity available to the trust.
S&P raised its ratings on classes 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 S&P's views regarding the current and future
performance of the transaction's collateral and reduction in the
trust balance.
S&P lowered its rating on class E to 'D (sf)' due to actual and
forecasted interest shortfalls that S&P expects to remain
outstanding in the near term. S&P's analysis also considered
credit support erosion that it anticipates will occur upon the
eventual resolution of the 12 assets (reflecting
cross-collateralized and cross-defaulted assets) ($185.0 million,
76.1%) with the special servicer.
According to the May 12, 2017, trustee remittance report, the
current monthly interest shortfalls totaled $514,390 and resulted
primarily from:
-- Appraisal subordinate entitlement reduction amounts totaling
$262,109;
-- Interest not advanced due to non-recoverable determination
totaling $210,820;
-- Special servicing fees totaling $40,392; and
-- Workout fee totaling $1,069.
The current interest shortfalls affected classes subordinate to and
including class E.
S&P affirmed its rating on class D to reflect its expectation that
the available credit enhancement for the class will be within its
estimate of the necessary credit enhancement required for the
current rating and S&P's views regarding the current and future
performance of the transaction's collateral.
While available credit enhancement levels suggest further positive
rating movements on classes A-J, B, and C and positive rating
movement on class D, S&P's analysis also considered the magnitude
of assets with the special servicer and their resolution timing as
well as susceptibility to reduced liquidity support from these
specially serviced assets, loans on the master servicer's
watchlist, and/or corrected mortgage loan.
TRANSACTION SUMMARY
As of the May 12, 2017, trustee remittance report, the collateral
pool balance was $243.2 million, which is 8.9% of the pool balance
at issuance. The pool currently includes six loans and 10 real
estate-owned (REO) assets (reflecting cross-collateralized and
cross-defaulted assets), down from 257 loans at issuance. Twelve
of these assets are with the special servicer; two loans
($37.5 million, 15.4%) are on the master servicer's watchlist; and
no loans are defeased. The master servicer, Wells Fargo Bank N.A.,
reported financial information for 63.4% of the loans in the pool,
of which 94.2% was partial-year or year-end 2016 data, and the
remainder was year-end 2015 data.
Excluding the specially serviced assets, S&P calculated a 0.75x S&P
Global Ratings' weighted average debt service coverage (DSC) and
94.0% S&P Global Ratings' weighted average loan-to-value (LTV)
ratio using a 8.25% S&P Global Ratings' weighted average
capitalization rate for the remaining loans. The top 10 assets
have an aggregate outstanding pool trust balance of $220.4 million
(90.6%). Using adjusted servicer-reported numbers, S&P calculated a
S&P Global Ratings' weighted average DSC and LTV of 0.69x and
96.5%, respectively, for three of the top 10 assets. The remaining
assets are specially serviced and discussed below.
To date, the transaction has experienced $137.1 million in
principal losses, or 5.0% of the original pool trust balance. S&P
expects losses to reach approximately 9.0% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses S&P expects upon the eventual resolution of
the 12 specially serviced assets (reflecting cross-collateralized
and cross-defaulted assets).
CREDIT CONSIDERATIONS
As of the May 12, 2017, trustee remittance report, 12 assets in the
pool were with the special servicer, LNR Partners LLC. Details of
the two-largest specially serviced assets are:
-- The Marketplace at Northglenn REO asset ($54.8 million,
22.5%) is the largest asset in the pool and has $62.2
million in total reported exposure. The asset is a 439,273-
sq.-ft. retail property in Northglenn, Colo. The loan was
transferred to the special servicer on Aug. 30, 2011, due to
imminent default. The property became REO on July 11, 2012.
The special servicer indicated that the asset is currently
listed for sale with Faris Lee. A $24.0 million appraisal
reduction amount (ARA) is in effect against the asset. The
most recent appraised value was $42.4 million as of July 1,
2016. The most recent reported occupancy and DSC as of
year-end 2016 are 75.0% and 0.65x, respectively. S&P
expects a moderate loss upon this asset's eventual
resolution.
-- The Allstate Charlotte & Roanoke – Roll-up REO asset ($36.4
million, 15.0%), the second-largest asset in the pool, has
$40.9 million in total reported exposure. The asset
consists of two office properties totaling 357,489 sq. ft.
in Roanoke, Va. and Charlotte, N.C. The loan was
transferred to the special servicer on Dec. 8, 2014, due to
imminent default. The Roanoke property became REO
on July 18, 2016, and the Charlotte property became REO on
Aug. 24, 2016. The special servicer indicated that the
Roanoke building is currently vacant with no new leases, and
the property is under contract. The Charlotte property is
also 100% vacant as of Feb. 1, 2017. The most recent
appraisal value for the two properties totaled $22.4 million
as of April 28, 2016. A $17.7 million ARA is in effect
against the asset. S&P expects a significant loss upon this
asset's eventual resolution.
The 10 remaining assets with the special servicer each have
individual balances that represent less than 15.0% of the total
pool trust balance. S&P estimated losses for the 12 specially
serviced assets, arriving at a weighted-average loss severity of
58.9%.
With respect to the specially serviced assets noted above, a
minimal loss is less than 25%, a moderate loss is 26%-59%, and a
significant loss is 60% or greater.
RATINGS LIST
Morgan Stanley Capital I Trust 2006-HQ8
Commercial mortgage pass-through certificates series 2006-HQ8
Rating
Class Identifier To From
A-J 617451FN4 AA+ (sf) BB+ (sf)
B 617451FP9 AA (sf) BB (sf)
C 617451FQ7 BB- (sf) B+ (sf)
D 617451FR5 B- (sf) B- (sf)
E 617451FS3 D (sf) CCC- (sf)
MORGAN STANLEY 2011-C3: Moody's Affirms B2 Rating on Class B2 Certs
-------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on eleven
classes in Morgan Stanley Capital I Trust 2011-C3, Commercial
Mortgage Pass-Through Certificates, Series 2011-C3:
Cl. A-3, Affirmed Aaa (sf); previously on Jul 15, 2016 Affirmed Aaa
(sf)
Cl. A-4, Affirmed Aaa (sf); previously on Jul 15, 2016 Affirmed Aaa
(sf)
Cl. A-J, Affirmed Aaa (sf); previously on Jul 15, 2016 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa1 (sf); previously on Jul 15, 2016 Affirmed Aa1
(sf)
Cl. C, Affirmed A1 (sf); previously on Jul 15, 2016 Affirmed A1
(sf)
Cl. D, Affirmed A3 (sf); previously on Jul 15, 2016 Affirmed A3
(sf)
Cl. E, Affirmed Baa3 (sf); previously on Jul 15, 2016 Affirmed Baa3
(sf)
Cl. F, Affirmed Ba2 (sf); previously on Jul 15, 2016 Affirmed Ba2
(sf)
Cl. G, Affirmed B2 (sf); previously on Jul 15, 2016 Affirmed B2
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on Jul 15, 2016 Affirmed Aaa
(sf)
Cl. X-B, Affirmed Ca (sf); previously on Jul 15, 2016 Downgraded to
Ca (sf)
RATINGS RATIONALE
The ratings on the P&I classes, A-3, A-4, A-J, B, C, D, E, and F,
were affirmed because the transaction's key metrics, including
Moody's loan-to-value (LTV) ratio, Moody's stressed debt service
coverage ratio (DSCR) and the transaction's Herfindahl Index
(Herf), are within acceptable ranges.
The rating on the P&I class, G, was affirmed because the ratings
are consistent with Moody's expected loss.
The rating on the IO class, X-A, was affirmed based on the credit
performance (or the weighted average rating factor) of the
referenced classes.
The rating on the IO class, X-B, is affirmed because it is not
receiving interest but may receive prepayment premiums.
Moody's rating action reflects a base expected loss of 2.1% of the
current balance, compared to 2.2% at Moody's last review. Moody's
base expected loss plus realized losses is now 1.3% of the original
pooled balance, compared to 1.6% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in these ratings were "Approach to Rating US
and Canadian Conduit/Fusion CMBS" published in December 2014, and
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in October 2015.
Additionally, the methodology used in rating Cl. X-A and Cl. X-B
was "Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in October 2015.
Please note that on February 27, 2017, Moody's released a "Request
for Comment" in which it has requested market feedback on proposed
changes to its methodology for rating structured finance
interest-only (IO) securities called "Moody's Approach to Rating
Structured Finance Interest-Only Securities," dated October 20,
2015. If Moody's adopts the new methodology as proposed, the
changes could affect the ratings of Morgan Stanley Capital I Trust
2011-C3.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based CMBS Conduit Model, which it
uses for both conduit and fusion transactions. Credit enhancement
levels for conduit loans are driven by property type, Moody's
actual and stressed DSCR, and Moody's property quality grade (which
reflects the capitalization rate Moody's uses to estimate Moody's
value). Moody's fuses the conduit results with the results of its
analysis of investment grade structured credit assessed loans and
any conduit loan that represents 10% or greater of the current pool
balance.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 15, compared with 17 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 May 17, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 38% to $930.1
million from $1.49 billion at securitization. The certificates are
collateralized by 45 mortgage loans ranging in size from less than
1% to 15% of the pool, with the top ten loans (excluding
defeasance) constituting 69% of the pool. Two loans, constituting
16.4% of the pool, have investment-grade structured credit
assessments. Two loans, constituting 0.9% of the pool, have
defeased and are secured by US government securities.
Eight loans, constituting 11% 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.
No loans have been liquidated from the pool. One loan, constituting
0.6% of the pool, is currently in special servicing.
Moody's received full year 2016 operating results for 95% of the
pool, and partial year 2017 operating results for 42% of the pool
(excluding specially serviced and defeased loans). Moody's weighted
average conduit LTV is 87%, compared to 82% 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 16% to the most recently available net operating
income (NOI). Moody's value reflects a weighted average
capitalization rate of 9.3%.
Moody's actual and stressed conduit DSCRs are 1.55X and 1.22X,
respectively, compared to 1.67X and 1.29X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The largest loan with a structured credit assessment is the Park
City Center Loan ($141.2 million -- 15.2% of the pool), which is
secured by a 1.2 million square foot (SF) super-regional mall
located in Lancaster, Pennsylvania. The property is also encumbered
by a $42 million mezzanine loan. As of December 2016, inline
vacancy was 7.6% and the total property vacancy was 2.6%. The
largest tenants include JC Penney (20% of the net rentable area
(NRA); lease expiration July 2020), Bon Ton (15% of the NRA; lease
expiration of February 2028), and Sears (13% of the NRA; lease
expiration April 2023). The property has an Apple store, with the
next closest Apple store over 44 miles away. Performance dropped
slightly in 2016 due to a drop in revenue, while expenses remained
roughly flat. Excluding Apple, inline sales ending 2016 for tenants
less than 10,000 square feet were $414 per square foot (PSF)
compared to $417 PSF for 2015. Apple's sales increased over 6% from
2015 to 2016. Moody's structured credit assessment and stressed
DSCR are baa1 (sca.pd) and 1.45X, respectively.
The second loan with a structured credit assessment is the 420 East
72nd Street Coop Loan ($11.0 million -- 1.2% of the pool), which is
secured by 20 story co-op building located in the Lenox Hill
neighborhood of Manhattan in New York City. Moody's structured
credit assessment is aaa (sca.pd).
The top three conduit loans represent 28.3% of the pool balance.
The largest loan is the Westfield Belden Village Loan ($98.8
million -- 10.6% of the pool), which is secured by a 419,000 SF
within a 818,000 SF regional mall located 18 miles south of Akron
in Canton, Ohio. The non-collateral anchors are Dillard's and
Sears. As of December 2016, inline space was 99% occupied and the
total mall was 99% occupied, compared to 100% and 99% in December
2015, respectively. Retail competition consists of Chapel Hill
Mall, located 21 miles north, and The Strip, a power center located
just north of the subject property. Moody's LTV and stressed DSCR
are 87% and 1.16X, respectively, compared to 82% and 1.19X at the
last review.
The second largest loan is the Oxmoor Center Loan ($86.6 million --
9.3% of the pool), which is secured by a 941,000 SF super-regional
mall in Louisville, Kentucky. The center is anchored by Macy's,
Sears, Von Maur, and Dick's Sporting Goods. As of December 2016,
inline space was 91% occupied and the total mall was 96% occupied.
Retail competition includes Mall Saint Matthews, which has the same
owner as the subject and is located across the street, and The
Jefferson Mall, which is located approximately 12 miles south of
the subject. As of March 2016, the total property was 98% leased
with the in-line space 94% leased, the same as at last review. The
property has an Apple store, with the next closest Apple store over
60 miles away. Excluding Apple, inline sales ending 2016 for
tenants less than 10,000 square feet were $462 per square foot
(PSF) compared to $460 PSF for 2015. Apple's sales increased over
7% from 2015 to 2016. Moody's LTV and stressed DSCR are 80% and
1.25X, respectively, compared to 84% and 1.15X at the last review.
The third largest loan is the One BriarLake Plaza Loan ($78.1
million -- 8.4% of the pool), which is secured by a 502,000 SF
Class A office building located in Houston, Texas. The property is
also encumbered by a $15 million mezzanine loan. The property
includes a seven story parking garage and the building is LEED gold
certified and has received an Energy Star Award. As of December
2016, the property was 93% occupied, compared to 89% in March 2016
and 93% at securitization. The property is located in the West
Chase submarket of Houston, which has a vacancy rate of over 20%.
The property has 21% of the NRA with leases expiring by the end of
2019, with approximately 14% in 2017. Performance improved in 2016
mainly due to a drop in expenses. Moody's LTV and stressed DSCR are
83% and 1.27X, respectively, compared to 68% and 1.51X at the last
review.
PAINE WEBBER 1999-C1: Moody's Affirms C(sf) Rating on Cl. H Notes
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
and downgraded the rating on one class in Paine Webber Mortgage
Acceptance Corporation V 1999-C1 as follows:
Cl. G, Affirmed A1 (sf); previously on Jun 10, 2016 Upgraded to A1
(sf)
Cl. H, Affirmed C (sf); previously on Jun 10, 2016 Affirmed C (sf)
Cl. X, Downgraded to Caa2 (sf); previously on Jun 10, 2016 Affirmed
Caa1 (sf)
RATINGS RATIONALE
The rating on Class G was affirmed because the transaction's key
metrics, including Moody's loan-to-value (LTV) ratio, Moody's
stressed debt service coverage ratio (DSCR) and the transaction's
Herfindahl Index (Herf), are within acceptable ranges.
The rating on Class H was affirmed because the ratings are
consistent with Moody's expected loss plus realized losses. Class H
has already experienced a 25% realized loss as result of previously
liquidated loans.
The rating on the IO Class (Class X) was downgraded due to the
decline in the credit performance of its reference classes
resulting from principal paydowns of higher quality reference
classes.
Moody's rating action reflects a base expected loss of 15.7% of the
current balance, compared to 13.1% at Moody's last review. Moody's
base expected loss plus realized losses is now 2.4% of the original
pooled balance, unchanged from Moody's 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
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 PMAC 1999-C1.
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 for the
credit tenant lease (CTL) component of the transaction.
DEAL PERFORMANCE
As of the May 15, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $18.7 million
from $704.8 million at securitization. The certificates are
collateralized by 13 mortgage loans ranging in size from 1% to 32%
of the pool. Four loans, constituting 17% of the pool, have
defeased and are secured by US government securities. The pool
contains a Credit Tenant Lease (CTL) component that includes three
non-defeased loans, representing 67% of the pool.
Four loans, constituting 37% 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.
Thirteen loans have been liquidated from the pool, contributing to
an aggregate realized loss of $13.8 million (for an average loss
severity of 36%).
Moody's received full year 2015 operating results for 100% of the
pool, and full or partial year 2016 operating results for 100% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 22%, compared to 30% 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 11.0%.
Moody's actual and stressed conduit DSCRs are 1.54X and >4.00X,
respectively, compared to 1.51X and >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 top three conduit loans represent 11.6% of the pool balance.
The largest loan is the Post Haste Plaza Loan ($1.41 million --
7.4% of the pool), which is secured by a 36,000 square foot (SF)
retail property located in Hollywood, Florida. As of December 2016,
the property was 100% leased, unchanged from Moody's prior review.
The loan is fully amortizing and has amortized 50% since
securitization. The loan matures in October 2023 and Moody's LTV
and stressed DSCR are 25% and >4.00X, respectively.
The second largest loan is the Best Western Regent Inn Loan ($0.45
million -- 2.4% of the pool), which is secured by an 88-room
limited service hotel located in Mansfield, Connecticut. The loan
is on the watchlist due to low DSCR caused by low occupancy and an
increase in expenses. The loan is fully amortizing and has
amortized 84% since securitization. The loan matures in September
2018 and Moody's LTV and stressed DSCR are 37% and 3.46X,
respectively.
The third largest loan is the Hard Rock Cafe Loan ($0.35 million --
1.8% of the pool), which is secured by a 15,650 SF retail property
in downtown San Diego, California. As of December 2016, the
property was 98% leased. The loan is on the watchlist due to recent
lease rollover, however, the occupancy is not expected to decline.
The loan is fully amortizing and has amortized 85% since
securitization. Moody's LTV and stressed DSCR are 10% and
>4.00X, respectively.
The CTL component consists of three loans, constituting 67% of the
pool, secured by properties leased to three tenants. The largest
exposures are Beckman Coulter, Inc. ($6.1 million -- 32% of the
pool; Beckman was acquired by Danaher Corporation; senior unsecured
rating A2 -- stable outlook) and Regal Cinemas Corporation ($5.7
million -- 30% of the pool; Regal Entertainment Group; senior
unsecured rating: B3 -- stable outlook). The bottom-dollar weighted
average rating factor (WARF) for this pool is 2354, compared to
2310 at the last review. WARF is a measure of the overall quality
of a pool of diverse credits. The bottom-dollar WARF is a measure
of default probability.
PEGASUS AVIATION 2001-1: Moody's Cuts Ratings on 2 Tranches to Csf
------------------------------------------------------------------
Moody's has downgraded the ratings of the Pegasus Aviation Lease
Securitization III (PALS III), Series 2001-1 Class A-1 and A-2
Notes issued by PALS III.
The complete rating actions are as follow:
Issuer: Pegasus Aviation Lease Securitization III (PALS III),
Series 2001-1
Class A-1, Downgraded to C (sf); previously on Aug 4, 2014
Downgraded to Ca (sf)
Class A-2, Downgraded to C (sf); previously on Aug 4, 2014
Downgraded to Ca (sf)
RATINGS RATIONALE
The downgrades reflect the continued increase in loss percentage
expectation for the Classes A-1 and A-2 Notes, measured as a
percentage of the outstanding note balances, and Moody's
expectations about the pace of future note amortization.
Using the most recent appraisal value of the remaining aircraft as
a rough proxy for expected Classes A-1 and A-2 Note principal pay
down, Moody's estimated that note holders would recover around 24%
of their notes outstanding. Moody's used appraisal value as of
December 2016 and adjusted it down by assuming 10% per annum
depreciation.
The portfolio consists of 13 aircraft and 2 engines with a 37%
concentration in Boeing 757s, 14% in Airbus 320s, and 38% in B767s,
weighted by appraised aircraft value. The remainder of the
portfolio consists of McDonnell Douglas MD-11, MD-82, MD-83, and
MD-87 aircraft in addition to two engines.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Moody's
Approach To Pooled Aircraft-Backed Securitization" published in
March 1999.
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 the transaction will be neutral. 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 the ratings:
Changes to lease rates or aircraft values that differ from
historical and current trends.
PREFERRED TERM IV: Moody's Hikes Class M Notes Rating to Ba1(sf)
----------------------------------------------------------------
Moody's Investors Service has upgraded the rating on the following
notes issued by Preferred Term Securities IV, Ltd.:
US$341,000,000 Class M Floating Rate Mezzanine Notes Due December
23, 2031 (current balance of $41,526,525), Upgraded to Ba1 (sf);
previously on October 11, 2013 Upgraded to B1 (sf)
Preferred Term Securities IV, Ltd., issued in December 2001, is a
collateralized debt obligation (CDO) backed by a portfolio of bank
trust preferred securities (TruPS).
RATINGS RATIONALE
The rating action is primarily a result of the improvement in the
credit quality of the underlying portfolio. According to Moody's
calculations, the weighted average rating factor (WARF) improved to
626 from 702 in June 2016.
The deal has also benefited from the deleveraging of the Mezzanine
Notes. Starting in March 2017, 30% of the remaining interest
proceeds, after paying the interest on the Mezzanine Notes, will be
used to pay down the principal of the Mezzanine Notes. On the March
2017 payment date, the Mezzanine Notes were paid down by $73,475
using excess interest proceeds. The Mezzanine Notes will benefit
from the diversion of excess interest and the use of proceeds from
redemptions of any assets in the collateral pool.
Methodology Underlying 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.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's current
expectations could have a positive impact on the transaction's
performance. Conversely, asset credit performance weaker than
Moody's current expectations could have adverse consequences on the
transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and excess
interest proceeds will continue and at what pace. Note repayments
that are faster than Moody's current expectations could have a
positive impact on the notes' ratings, beginning with the notes
with the highest payment priority.
4) Exposure to non-publicly rated assets: The deal contains a large
number of securities whose default probability Moody's assesses
through credit scores derived using RiskCalc(TM) or credit
estimates. Because these are not public ratings, they are subject
to additional uncertainties.
5) Lack of portfolio granularity: The performance of the portfolio
depends to a large extent on the credit conditions of five
performing obligors. The deal's lack of granularity could introduce
high volatility to the performance of the deal. Moody's
supplemented its modeling with individual scenario analysis.
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 360)
Mezzanine Notes: +1
Assuming a two-notch downgrade to assets with below-investment
grade ratings or rating estimates (WARF of 1005)
Mezzanine Notes: -1
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 of $54.5 million,
defaulted par of $12 million, a weighted average default
probability of 6.09% (implying a WARF of 626), and a weighted
average recovery rate upon default of 10%.
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 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.
SEQUOIA MORTGAGE 2017-4: Moody's Assigns (P)Ba3 Rating to B4 Certs
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
classes of residential mortgage-backed securities (RMBS) issued by
Sequoia Mortgage Trust (SEMT) 2017-4. The certificates are backed
by one pool of prime quality, first-lien mortgage loans. The assets
of the trust consist of 478 fully amortizing, fixed rate mortgage
loans, substantially all of which have an original term to maturity
of 30 years except for 2 loans with original term to maturity of 20
years. The borrowers in the pool have high FICO scores, significant
equity in their properties and liquid cash reserves.
The complete rating actions are as follows:
Issuer: Sequoia Mortgage Trust 2017-4
Cl. A-1, Assigned (P)Aaa (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. A-4, Assigned (P)Aaa (sf)
Cl. A-5, Assigned (P)Aaa (sf)
Cl. A-6, Assigned (P)Aaa (sf)
Cl. A-7, Assigned (P)Aaa (sf)
Cl. A-8, Assigned (P)Aaa (sf)
Cl. A-9, Assigned (P)Aaa (sf)
Cl. A-10, Assigned (P)Aaa (sf)
Cl. A-11, Assigned (P)Aaa (sf)
Cl. A-12, Assigned (P)Aaa (sf)
Cl. A-13, Assigned (P)Aaa (sf)
Cl. A-14, Assigned (P)Aaa (sf)
Cl. A-15, Assigned (P)Aaa (sf)
Cl. A-16, Assigned (P)Aaa (sf)
Cl. A-17, Assigned (P)Aaa (sf)
Cl. A-18, Assigned (P)Aaa (sf)
Cl. A-19, Assigned (P)Aa1 (sf)
Cl. A-20, Assigned (P)Aa1 (sf)
Cl. A-21, Assigned (P)Aa1 (sf)
Cl. A-22, Assigned (P)Aaa (sf)
Cl. A-23, Assigned (P)Aaa (sf)
Cl. A-24, Assigned (P)Aaa (sf)
Cl. A-IO4, Assigned (P)Aaa (sf)
Cl. A-IO5, Assigned (P)Aaa (sf)
Cl. A-IO6, Assigned (P)Aaa (sf)
Cl. A-IO7, Assigned (P)Aaa (sf)
Cl. A-IO8, Assigned (P)Aaa (sf)
Cl. A-IO9, Assigned (P)Aaa (sf)
Cl. A-IO1, Assigned (P)Aaa (sf)
Cl. A-IO2, Assigned (P)Aaa (sf)
Cl. A-IO3, Assigned (P)Aaa (sf)
Cl. A-IO10, Assigned (P)Aaa (sf)
Cl. A-IO11, Assigned (P)Aaa (sf)
Cl. A-IO12, Assigned (P)Aaa (sf)
Cl. A-IO13, Assigned (P)Aaa (sf)
Cl. A-IO14, Assigned (P)Aaa (sf)
Cl. A-IO15, Assigned (P)Aaa (sf)
Cl. A-IO16, Assigned (P)Aaa (sf)
Cl. A-IO17, Assigned (P)Aaa (sf)
Cl. A-IO18, Assigned (P)Aaa (sf)
Cl. A-IO19, Assigned (P)Aaa (sf)
Cl. A-IO20, Assigned (P)Aa1 (sf)
Cl. A-IO21, Assigned (P)Aa1 (sf)
Cl. A-IO22, Assigned (P)Aa1 (sf)
Cl. A-IO23, Assigned (P)Aaa (sf)
Cl. A-IO24, Assigned (P)Aaa (sf)
Cl. A-IO25, Assigned (P)Aaa (sf)
Cl. B1, Assigned (P)Aa3 (sf)
Cl. B2, Assigned (P)A3 (sf)
Cl. B3, Assigned (P)Baa3 (sf)
Cl. B4, Assigned (P)Ba3 (sf)
RATINGS RATIONALE
Summary Credit Analysis
Moody's expected cumulative net loss on the aggregate pool is 0.30%
in a base scenario and reaches 3.70% at a stress level consistent
with the Aaa ratings. Moody's loss estimates are based on a
loan-by-loan assessment of the securitized collateral pool using
Moody's Individual Loan Level Analysis (MILAN) model. Loan-level
adjustments to the model included: adjustments to borrower
probability of default for higher and lower borrower DTIs,
borrowers with multiple mortgaged properties, self-employed
borrowers, origination channels and at a pool level, for the
default risk of HOA properties in super lien states. The adjustment
to Moody's Aaa stress loss above the model output also includes
adjustments related to aggregator and originators assessments. The
model combines loan-level characteristics with economic drivers to
determine the probability of default for each loan, and hence for
the portfolio as a whole. Severity is also calculated on a
loan-level basis. The pool loss level is then adjusted for
borrower, zip code, and MSA level concentrations.
Collateral Description
The SEMT 2017-4 transaction is a securitization of 478 first lien
residential mortgage loans, with an aggregate unpaid principal
balance of $349,460,467. 85.4% of the loans were originated through
retail channel and the 60.5% of the loans were for home purchase.
There are 135 originators in this pool, including First Republic
Bank (10.3%) and Quicken Loans (8.7%). In addition, Redwood
acquired approximately 14.4% of the mortgage loans by stated
principal balance from the Federal Home Loan Bank of Chicago (FHLB
Chicago). The mortgage loans purchased by Redwood from FHLB Chicago
were originated by various participating financial institution
originators. The mortgage loans purchased by Redwood from FHLB
Chicago were originated by various participating financial
institution originators and purchased by Redwood according to its
acquisition guidelines. None of the originators other than First
Republic Bank and Quicken Loans Inc. contributed 5.0% or more of
the principal balance of the loans in the pool. The loan-level
third party due diligence review (TPR) encompassed credit
underwriting, property value and regulatory compliance. In
addition, Redwood has agreed to backstop the rep and warranty
repurchase obligation of all originators other than First Republic
Bank.
The loans were all aggregated by Redwood Residential Acquisition
Corporation (Redwood), which Moody's has assessed as an Above
Average aggregator of prime jumbo residential mortgages. As of the
April 2017 remittance report, there have been no losses on
Redwood-aggregated transactions that closed in 2010 and later, and
delinquencies to date have also been very low.
Structural considerations
Similar to recent rated Sequoia transactions, in this transaction,
Redwood is adding a feature prohibiting the servicer, or securities
administrator, from advancing principal and interest to loans that
are 120 days or more delinquent. These loans on which principal and
interest advances are not made are called the Stop Advance Mortgage
Loans ("SAML"). The balance of the SAML will be removed from the
principal and interest distribution amounts calculations. Moody's
views the SAML concept as something that strengthens the integrity
of senior and subordination relationships in the structure. Yet, in
certain scenarios the SAML concept, as implemented in this
transaction, can lead to a reduction in interest payment to certain
tranches even when more subordinated tranches are outstanding. The
senior/subordination relationship between tranches is strengthened
as the removal of SAML in the calculation of the senior percentage
amount, directs more principal to the senior bonds and less to the
subordinate bonds. Further, this feature limits the amount of
servicer advances that could increase the loss severity on the
liquidated loans and preserves the subordination amount for the
most senior bonds. On the other hand, this feature can cause a
reduction in the interest distribution amount paid to the bonds;
and if that were to happen such a reduction in interest payment is
unlikely to be recovered. The final ratings on the bonds, which are
expected loss ratings, take into consideration Moody's expected
losses on the collateral and the potential reduction in interest
distributions to the bonds. Furthermore, the likelihood that in
particular the subordinate tranches could potentially permanently
lose some interest as a result of this feature was considered.
Tail Risk & Subordination Floor
The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to increased performance
volatility, known as tail risk. The transaction provides for a
subordination floor of 1.50% of the closing pool balance, which
mitigates tail risk by protecting the senior bonds from eroding
credit enhancement over time.
Third-party Review and Reps & Warranties
One TPR firm conducted a due diligence review of 100% of the
mortgage loans in the pool. For 459 loans, the TPR firm conducted a
review for credit, property valuation, compliance and data
integrity ("full review") and limited review for 19 First Republic
loans. For the remaining four loans, Redwood Trust elected to
conduct a limited review, which did not include a TPR firm check
for TRID compliance.
For the full review loans, the third party review found that the
majority of reviewed loans were compliant with Redwood's
underwriting guidelines and had no valuation or regulatory defects.
Most of the loans that were not compliant with Redwood's
underwriting guidelines had strong compensating factors.
Additionally, the third party review didn't identify material
compliance-related exceptions relating to the TILA-RESPA Integrated
Disclosure (TRID) rule for the full review loans.
No TRID compliance reviews were performed by the TPR firm on the
seventeen limited review loans. Therefore, there is a possibility
that some of these loans could have unresolved TRID issues. We,
however reviewed the initial compliance findings of loans from the
same originator where a full review was conducted and there were no
material compliance findings. As a result, Moody's did not increase
Moody's Aaa loss for the limited review loans.
There is one loan which has a final valuation grade of D related to
form 1004-D being required upon completion of certain interior
and/or exterior work in order to release the escrow-holdback. In
addition, there is one escrow holdback loan where the initial
escrow holdback amount is greater than 10%. In the event the escrow
funds greater than 10% have not been disbursed within six months of
the Closing Date, the Seller shall repurchase the affected Escrow
Holdback Mortgage Loan, on or before the date that is six months
after the Closing Date at the applicable Repurchase Price. Moody's
didn't make adjustment to those two loans.
The originators and the seller have provided unambiguous
representations and warranties (R&Ws) including an unqualified
fraud R&W. There is provision for binding arbitration in the event
of dispute between investors and the R&W provider concerning R&W
breaches.
Trustee & Master Servicer
The transaction trustee is Wilmington Trust, National Association.
The paying agent and cash management functions will be performed by
Citibank, N.A. and the custodian functions will be performed by
Wells Fargo Bank, N.A., rather than the trustee. In addition,
CitiMortgage Inc., as Master Servicer, is responsible for servicer
oversight, and termination of servicers and for the appointment of
successor servicers. In addition, CitiMortgage is committed to act
as successor if no other successor servicer can be found.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
Methodology
The principal methodology used in these ratings was "Moody's
Approach to Rating US Prime RMBS" published in February 2015.
The methodology used in rating Cl. A-IO1, Cl. A-IO2, Cl. A-IO3, Cl.
A-IO4, Cl. A-IO5, Cl. A-IO6, Cl. A-IO7, Cl. A-IO8, Cl. A-IO9, Cl.
A-IO10, Cl. A-IO11, Cl. A-IO12, Cl. A-IO13, Cl. A-IO14, Cl. A-IO15,
Cl. A-IO16, Cl. A-IO17, Cl. A-IO18, Cl. A-IO19, Cl. A-IO20, Cl.
A-IO21, Cl. A-IO22, Cl. A-IO23, Cl. A-IO24, Cl. A-IO25, 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. If the revised Methodology
is implemented as proposed, the Credit Rating on certain
Interest-Only securities on SEMT 2017-4 may be negatively affected.
Please refer to Moody's RFC titled "Moody's Proposes Revised
Approach to Rating Structured Finance Interest-Only (IO)
Securities" for further details regarding the implications of the
proposed methodology revisions on certain Credit Ratings.
In addition, Moody's publishes a weekly summary of structured
finance credit ratings and methodologies, available to all
registered users of Moody's website, www.moodys.com/SFQuickCheck
Significant weight was put on judgment taking into account the
results of the modeling tools as well as the aggregate impact of
the third-party review and the quality of the servicers and
originators.
TABERNA PREFERRED IX: Moody's Hikes Rating on 2 Tranches to Ba1
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Taberna Preferred Funding IX, Ltd.:
US$275,000,000 Class A-1LA Floating Rate Notes Due May 2038
(current outstanding balance of $88,494,721.29), Upgraded to Ba1
(sf); previously on January 4, 2017 Upgraded to B2 (sf)
US$100,000,000 Class A-1LAD Delayed Draw Floating Rate Notes Due
May 2038 (current outstanding balance of $32,179,898.65), Upgraded
to Ba1 (sf); previously on January 4, 2017 Upgraded to B2 (sf)
Taberna Preferred Funding IX, Ltd., issued in June 2007, is a
collateralized debt obligation (CDO) backed mainly by a portfolio
of REIT trust preferred securities (TruPS), with a small exposure
to CMBS assets.
RATINGS RATIONALE
The rating actions are primarily a result of the improvement in the
credit quality of the underlying portfolio, the expiration of a
large out-of-the-money swap, and the deleveraging of the Class
A-1LA and Class A-1LAD notes since January 2017.
According to Moody's calculations, the weighted average rating
factor (WARF) improved to 3882 from 4459 in January 2017. Since
then, the Class A-1LA and Class A-1LAD notes have paid down by
approximately 7.6% (or $7.2 million and $2.6 million, respectively)
using principal proceeds from the redemption of underlying assets
and the diversion of excess interest proceeds. Based on Moody's
calculations, the OC ratio for the Class A-1LA and Class A-1LAD
notes has improved to 238.0% compared to 227.2% in January 2017.
Additionally, a large out-of-the-money swap with a notional of $250
million has expired in May 2017, increasing the excess interest
proceeds available as additional credit enhancement to the Class
A-1LA and Class A-1LAD notes.
Taberna Preferred Funding IX, Ltd. declared an event of default
(EOD) on November 10, 2015 and acceleration of the notes on
November 30, 2015. As a result, the Class A-1LA and A-1AD notes
have become senior to all other notes and will continue to benefit
from all interest and principal proceeds of the collateral pool
until they will be paid in full.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs," published in October 2016.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:
1) Macroeconomic uncertainty: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in the
general economy.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's current
expectations could have a positive impact on the transaction's
performance. Conversely, asset credit performance weaker than
Moody's current expectations could have adverse consequences on the
transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and excess
interest proceeds will continue and at what pace. Note repayments
that are faster than Moody's current expectations could have a
positive impact on the notes' ratings, beginning with the notes
with the highest payment priority.
4) Exposure to non-publicly rated assets: The deal contains a large
number of securities whose default probability Moody's assesses
through credit scores derived using credit estimates. Because these
are not public ratings, they are subject to additional
uncertainties.
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 2272)
Class A-1LA: +1
Class A-1LAD: +1
Assuming a two-notch downgrade to assets with below-investment
grade ratings or rating estimates (WARF of 4831)
Class A-1LA: 0
Class A-1LAD: 0
Loss and Cash Flow Analysis:
Moody's applied a Monte Carlo simulation framework in Moody's
CDOROM to model the loss distribution for TruPS CDOs. The simulated
defaults and recoveries for each of the Monte Carlo scenarios
defined the reference pool's loss distribution. Moody's then used
the loss distribution as an input in its CDOEdge cash flow model.
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 of $287.2 million,
defaulted par of $77.6 million, a weighted average default
probability of 52.73% (implying a WARF of 3882), and a weighted
average recovery rate upon default of 10.34%.
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.
TOWD POINT 2017-2: DBRS Finalizes B(sf) Ratings on Class B2 Debt
----------------------------------------------------------------
DBRS, Inc. finalized the provisional ratings on the Asset Backed
Securities, Series 2017-2 (the Notes) issued by Towd Point Mortgage
Trust 2017-2 (the Trust) as follows:
-- $577.6 million Class A1 at AAA (sf)
-- $56.0 million Class A2 at AA (sf)
-- $60.2 million Class M1 at A (sf)
-- $48.6 million Class M2 at BBB (sf)
-- $44.8 million Class B1 at BB (sf)
-- $35.5 million Class B2 at B (sf)
-- $633.6 million Class A3 at AA (sf)
-- $693.9 million Class A4 at A (sf)
The AAA (sf) rating on Class A1 reflects the 38.15% of credit
enhancement provided by the subordinated Notes in the pool. The AA
(sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect credit
enhancement of 32.15%, 25.70%, 20.50%, 15.70% and 11.90%,
respectively.
Other than the specified classes above, DBRS does not rate any
other classes in this transaction.
This transaction is a securitization of a portfolio of seasoned
performing and re-performing first-lien residential mortgages. The
Notes are backed by 4,898 loans with a total principal balance of
$933,872,769 as of the Cut-Off Date (April 30, 2017).
As of the Statistical Calculation Date (March 31, 2017), the
portfolio contains 4,946 loans with a total principal balance of
$945,478,522. All of the following statistics regarding the
mortgage loans are based on the Statistical Calculation Date.
Modified loans comprise 78.7% of the portfolio. Within the pool,
1,541 mortgages have non-interest-bearing deferred amounts, which
equate to 5.7% of the total principal balance. The modifications
happened more than two years ago for 82.9% of the modified loans.
The loans are approximately 125 months seasoned. All loans (100.0%)
were current as of the Statistical Calculation Date, including 0.8%
bankruptcy-performing loans. Approximately 53.7% of the mortgage
loans have been zero times 30 days delinquent for at least the past
24 months under both Office of Thrift Supervision and Mortgage
Bankers Association delinquency methods. In accordance with
Consumer Financial Protection Bureau Qualified Mortgage (QM) rules,
1.8% of the loans are designated as QM Safe Harbor, less than 0.1%
as QM Rebuttable Presumption and none as non-QM. Approximately
98.2% of the loans are not subject to the QM rules.
FirstKey Mortgage, LLC (FirstKey) will acquire the loans from
various transferring trusts on or prior to the Closing Date. The
transferring trusts acquired the mortgage loans between 2013 and
2017 and are beneficially owned by both the Responsible Party and
other funds managed by affiliates of Cerberus Capital Management,
L.P. Upon acquiring the loans from the transferring trusts,
FirstKey, through a wholly owned subsidiary, Towd Point Asset
Funding, LLC (the Depositor), will contribute loans to the Trust.
As the Sponsor, FirstKey, through a majority-owned affiliate, will
acquire and retain a 5% eligible vertical interest in each class of
securities to be issued (other than any residual certificates) to
satisfy the credit risk retention requirements. These loans were
originated and previously serviced by various entities through
purchases in the secondary market. As of the Closing Date, all
loans will be serviced by Select Portfolio Servicing, Inc.
There will not be any advancing of delinquent principal or interest
on any mortgages by the servicer or any other party to the
transaction; however, the servicer is obligated to make advances in
respect of homeowner association fees, taxes and insurance,
reasonable costs and expenses incurred in the course of servicing
and disposing of properties.
FirstKey, as the Asset Manager, has the option to sell certain
non-performing loans or real estate owned (REO) properties to
unaffiliated third parties individually or in bulk sales. The asset
sale price has to equal a minimum reserve amount to maximize
liquidation proceeds of such loans or properties. The minimum
reserve amount equals the product of 61.37% and the then-current
principal amount of the mortgage loans or REO properties. In
addition, on the payment date when the aggregate pool balance of
the mortgage loans is reduced to 30% of the Cut-Off Date balance,
the holders of more than 50% of the Class X Certificates will have
the option to cause the Issuer to sell all of its remaining
property (other than amounts in the Breach Reserve Account) to one
or more third-party purchasers so long as the aggregate proceeds
meet a minimum price.
The transaction employs a sequential-pay cash flow structure.
Principal proceeds can be used to cover interest shortfalls on the
Notes, but such shortfalls on Class M1 and more subordinate bonds
will not be paid until the more senior classes are retired.
The ratings reflect transactional strengths that include underlying
assets that generally performed well through the crisis, strong
servicers and Asset Manager oversight. Additionally, a satisfactory
third-party due diligence review was performed on the portfolio
with respect to regulatory compliance, payment history and data
capture as well as title and tax review. Servicing comments were
reviewed for a sample of then loans. Updated broker price opinions
or exterior appraisals were provided for 100.0% of the pool;
however, a reconciliation was not performed on the updated values.
The transaction employs a relatively weak representations and
warranties framework that includes a 13-month sunset; an unrated
representation provider (FirstKey) with a backstop by an unrated
entity (Cerberus Global Residential Mortgage Opportunity Fund,
L.P.); certain knowledge qualifiers; and fewer mortgage loan
representations relative to DBRS criteria for seasoned pools.
Mitigating factors include (1) significant loan seasoning and
relatively clean performance history in recent years, (2) a
comprehensive due diligence review and (3) a strong representations
and warranties enforcement mechanism, including a delinquency
review trigger and breach reserve accounts.
The lack of principal and interest advances on delinquent mortgages
may increase the possibility of periodic interest shortfalls to the
Noteholders; however, principal proceeds can be used to pay
interest to the Notes sequentially and subordination levels are
greater than expected losses, which may provide for timely payment
of interest to the rated Notes.
The DBRS ratings of AAA (sf) and AA (sf) address the timely payment
of interest and full payment of principal by the legal final
maturity date in accordance with the terms and conditions of the
related Notes. The DBRS ratings of A (sf), BBB (sf), BB (sf) and B
(sf) address the ultimate payment of interest and full payment of
principal by the legal final maturity date in accordance with the
terms and conditions of the related Notes.
TOWD POINT 2017-2: Fitch Assigns 'Bsf' Rating to Class B2 Notes
---------------------------------------------------------------
Fitch Ratings has assigned the following ratings to Towd Point
Mortgage Trust 2017-2 (TPMT 2017-2):
-- $577,600,000 class A1 notes 'AAAsf'; Outlook Stable;
-- $56,032,000 class A2 notes 'AAsf'; Outlook Stable;
-- $633,632,000 class A3 exchangeable notes 'AAsf'; Outlook
Stable;
-- $693,867,000 classA4 exchangeable notes 'Asf'; Outlook Stable;
-- $60,235,000 class M1 notes 'Asf'; Outlook Stable;
-- $48,561,000 class M2 notes 'BBBsf'; Outlook Stable;
-- $44,826,000 class B1 notes 'BBsf'; Outlook Stable;
-- $35,487,000 class B2 notes 'Bsf'; Outlook Stable.
The following classes will not be rated by Fitch:
-- $29,884,000 class B3 notes;
-- $40,624,000 class B4 notes;
-- $40,623,768 class B5 notes.
The notes are supported by one collateral group that consists of
4,946 seasoned performing and re-performing mortgages with a total
balance of approximately $945.5 million (which includes $54.3
million, or 5.7%, of the aggregate pool balance in
non-interest-bearing deferred principal amounts) as of the
statistical calculation date.
The 'AAAsf' rating on the class A1 notes reflects the 38.15%
subordination provided by the 6.00% class A2, 6.45% class M1, 5.20%
class M2, 4.80% class B1, 3.80% class B2, 3.20% class B3, 4.35%
class B4 and 4.35% class B5 notes.
Fitch's ratings on the class notes reflect the credit attributes of
the underlying collateral, the quality of the servicer, Select
Portfolio Servicing, Inc. (SPS, rated 'RPS1-'), and the
representation (rep) and warranty framework, minimal due diligence
findings and the sequential pay structure.
KEY RATING DRIVERS
Distressed Performance History (Concern): The collateral pool
consists primarily of peak-vintage seasoned re-performing loans
(RPLs), including loans that have been paying for the past 24
months, which Fitch identifies as 'clean current' (57.1%) and loans
that are current but have recent delinquencies or incomplete
paystrings, identified as 'dirty current' (42.9%). All loans were
current as of the statistical calculation date and 78.7% of the
loans have received modifications.
Due Diligence Compliance Findings (Concern): The third-party review
(TPR) firm's due diligence review resulted in approximately 8.5%
'C' and 'D' graded loans. For 116 loans, the due diligence results
showed issues regarding high cost testing. The loans were either
missing the final HUD1, used alternate documentation to test, or
had incomplete loan files, and therefore a slight upward revision
to the model output loss severity (LS) was applied, as further
described in the Third-Party Due Diligence section of the presale
report. In addition, timelines were extended on 714 loans that were
missing final modification documents.
No Servicer P&I Advances (Mixed): The servicer will not be
advancing delinquent monthly payments of P&I, which reduces
liquidity to the trust. However, as P&I advances made on behalf of
loans that become delinquent and eventually liquidate reduce
liquidation proceeds to the trust, the loan-level LS are less for
this transaction than for those where the servicer is obligated to
advance P&I. Structural provisions and cash flow priorities,
together with increased subordination, provide for timely payments
of interest to the 'AAAsf' and 'AAsf' rated classes.
Sequential-Pay Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure whereby the subordinate classes
do not receive principal until the senior classes are repaid in
full. Losses are allocated in reverse-sequential order.
Furthermore, the provision to re-allocate principal to pay interest
on the 'AAAsf' and 'AAsf' rated notes prior to other principal
distributions is highly supportive of timely interest payments to
those classes in the absence of servicer advancing.
Inclusion of Investor Property Loans (Mixed): Approximately 3.2% of
the loans were originated as investment property loans by an
affiliate of the seller. While the LTV and credit score profile for
these loans is strong, the program is geared toward real estate
investors who are qualified on a cash flow ratio basis, rather than
a DTI. Fitch assumed a 55% borrower DTI and nonfull documentation
for these loans.
Limited Life of Rep Provider (Concern): FirstKey Mortgage, LLC
(FirstKey), as rep provider, will only be obligated to repurchase a
loan due to breaches prior to the payment date in June 2018.
Thereafter, a reserve fund will be available to cover amounts due
to noteholders for loans identified as having rep breaches. Amounts
on deposit in the reserve fund, as well as the increased level of
subordination, will be available to cover additional defaults and
losses resulting from rep weaknesses or breaches occurring on or
after the payment date in June. If FirstKey does not fulfill its
obligation to repurchase a mortgage loan due to a breach, Cerberus
Global Residential Mortgage Opportunity Fund, L.P. (the responsible
party) will repurchase the loan.
Representation Framework (Concern): Fitch considers the
representation, warranty, and enforcement (RW&E) mechanism
construct for this transaction to generally be consistent with what
it views as a Tier 2 framework, due to the inclusion of knowledge
qualifiers and the exclusion of loans from certain reps as a result
of third-party due diligence findings. For 118 loans which are
seasoned less than 24 months, Fitch viewed the framework as a Tier
3 because the reps related to the origination and underwriting of
the loan, which are typically expected for newly originated loans,
were not included. Thus, Fitch increased its 'AAAsf' PD
expectations by roughly 487 bps to account for a potential increase
in defaults and losses arising from weaknesses in the reps.
Timing of Recordation and Document Remediation (Neutral): An
updated title and tax search, as well as a review to confirm that
the mortgage and subsequent assignments were recorded in the
relevant local jurisdiction, was also performed. Per the
representations provided in the transaction documents, all loans
have either all been recorded in the appropriate jurisdiction, are
in the process of being recorded, or will be sent for recordation
within 12 months of the closing date.
While the expected timelines for recordation and remediation are
viewed by Fitch as reasonable, Fitch believes that FirstKey's
oversight for completion of these activities serves as a strong
mitigant to potential delays. In addition, the obligation of
FirstKey or Cerberus Global Residential Mortgage Opportunity Fund,
L.P. to repurchase loans, for which assignments are not recorded
and endorsements are not completed by the payment date in June
2018, aligns the issuer's interests regarding completing the
recordation process with those of noteholders.
Deferred Amounts (Negative): Non-interest-bearing principal
forbearance amounts totaling $54.3 million (5.7%) of the unpaid
principal balance) are outstanding on 1,541 loans. Fitch included
the deferred amounts when calculating the borrower's LTV and sLTV
despite the lower payment and amounts not being owed during the
term of the loan. The inclusion resulted in higher PDs and LS than
if there were no deferrals. Fitch believes that borrower default
behavior for these loans will resemble that of the higher LTVs, as
exit strategies (that is, sale or refinancing) will be limited
relative to those borrowers with more equity in the property.
Solid Alignment of Interest (Positive): A majority-owned affiliate
of FirstKey will acquire and retain a 5% eligible vertical interest
in each class of the securities to be issued.
Servicing Fee Stress (Negative): Fitch determined that the
aggregate servicing fee of 30bps may be insufficient to attract
subsequent servicers under a period of poor performance and high
delinquencies as observed under its 'AAAsf' rating stress. To
account for the potentially higher fee above what is allowed for
under the current transaction documents, Fitch's cash flow analysis
assumed a 50bp servicing fee.
CRITERIA APPLICATION
Fitch's analysis incorporated one criteria variation from its 'U.S.
RMBS Master Rating Criteria' as described below.
There are 118 loans (approximately 2.29% by balance) in the pool
that are seasoned slightly less than Fitch's threshold for seasoned
loans, which is 24 months. On average these loans are approximately
21 months seasoned. The due diligence scope for these loans was not
consistent with Fitch's scope for newly originated loans. Fitch is
comfortable with the due diligence that was completed on these
loans as it is a small percentage of pool and the scope was
consistent with Fitch's criteria for seasoned and re-performing
loans. In addition, Fitch received updated values for these loans
and conservative assumptions were made on the collateral analysis.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the metropolitan statistical area (MSA) and
national levels. The implied rating sensitivities are only an
indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to or be
considered in the surveillance of the transaction.
Fitch conducted sensitivity analysis determining how the ratings
would react to steeper MVDs at the national level. The analysis
assumes MVDs of 10%, 20%, and 30%, in addition to the
model-projected 37.5% at 'AAAsf'. The analysis indicates there is
some potential rating migration with higher MVDs, compared with the
model projection.
Fitch also conducted sensitivities to determine the stresses to
MVDs that would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'.
TOWD POINT 2017-2: Moody's Assigns Ba2(sf) Rating to Cl. B1 Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to seven
classes of notes issued by Towd Point Mortgage Trust 2017-2.
The notes are backed by one pool of seasoned, performing and
re-performing residential mortgage loans. The collateral pool is
comprised of 4,946 first lien, fixed-rate and adjustable rate
mortgage loans as of the statistical calculation date, and has a
non-zero updated weighted average FICO score of 664 and a weighted
average current LTV of 83.6%. Approximately 78.7% of the loans in
the collateral pool have been previously modified. Select Portfolio
Servicing, Inc. is the servicer for the loans in the pool. FirstKey
Mortgage, LLC will be the asset manager for the transaction.
The complete rating actions are as follows:
Issuer: Towd Point Mortgage Trust 2017-2
Cl. A1, Definitive Rating Assigned Aaa (sf)
Cl. A2, Definitive Rating Assigned Aa2 (sf)
Cl. A3, Definitive Rating Assigned Aa1 (sf)
Cl. A4, Definitive Rating Assigned A1 (sf)
Cl. M1, Definitive Rating Assigned A2 (sf)
Cl. M2, Definitive Rating Assigned Baa2 (sf)
Cl. B1, Definitive Rating Assigned Ba2 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected losses on TPMT 2017-2's collateral pool is 12.0%
in Moody's base case scenario. Moody's loss estimates take into
account the historical performance of the loans that have similar
collateral characteristics as the loans in the pool, and also
incorporate an expectation of a continued strong credit environment
for RMBS, supported by improving home prices over the next two to
three years.
The methodologies used in this ratings were "Moody's Approach to
Rating Securitisations Backed by Non-Performing and Re-Performing
Loans" published in August 2016 and "US RMBS Surveillance
Methodology" published in January 2017.
Collateral Description
TPMT 2017-2's collateral pool is primarily comprised of seasoned,
re-performing mortgage loans. Approximately 78.7% of the loans in
the collateral pool have been previously modified. The majority of
the loans underlying this transaction exhibit collateral
characteristics similar to that of seasoned Alt-A mortgages.
Moody's based Moody's expected losses on the pool on Moody's
estimates of 1) the default rate on the remaining balance of the
loans and 2) the principal recovery rate on the defaulted balances.
The two factors that most strongly influence a re-performing
mortgage loan's likelihood of re-default are the length of time
that the loan has performed since modification, and the amount of
the reduction in monthly mortgage payments as a result of
modification. The longer a borrower has been current on a
re-performing loan, the less likely they are to re-default.
Approximately 53.7% of the borrowers of the loans in the collateral
pool have been current on their payments for the past 24 months.
Moody's estimated expected losses using two approaches -- (1)
pool-level approach, and (2) re-performing loan level analysis. In
the pool-level approach, Moody's estimated losses on the pool by
applying Moody's assumptions on expected future delinquencies,
default rates, loss severities and prepayments as observed on
similar seasoned collateral. Moody's projected future annual
delinquencies for eight years by applying an initial annual default
rate assumption adjusted for future years through delinquency
burnout factors. The delinquency burnout factors reflect Moody's
future expectations of the economy and the U.S. housing market.
Based on the loan characteristics of the pool and the demonstrated
pay histories, Moody's applied an initial expected annual
delinquency rate of 11.0% for the pool for year one. Moody's then
calculated future delinquencies using default burnout and voluntary
conditional prepayment rate (CPR) assumptions. Moody's aggregated
the delinquencies and converted them to losses by applying pool
specific lifetime default frequency and loss severity assumptions.
Moody's CPR and loss severity assumptions are based on actual
observed performance of seasoned loans and prior TPMT deals. In
applying Moody's loss severity assumptions, Moody's accounted for
the lack of principal and interest advancing in this transaction.
Moody's also conducted a loan level analysis on TPMT 2017-2's
collateral pool. Moody's applied loan-level baseline lifetime
propensity to default assumptions, and considered the historical
performance of seasoned loans with similar collateral
characteristics and payment histories. Moody's then adjusted this
base default propensity up for (1) adjustable-rate loans, (2) loans
that have the risk of coupon step-ups and (3) loans with high
updated loan to value ratios (LTVs). Moody's applied a higher
baseline lifetime default propensity for interest-only loans, using
the same adjustments. To calculate the final expected loss for the
pool, Moody's applied a loan-level loss severity assumption based
on the loans' updated estimated LTVs. Moody's further adjusted the
loss severity assumption upwards for loans in states that give
super-priority status to homeowner association (HOA) liens, to
account for potential risk of HOA liens trumping a mortgage.
For loans with deferred balances, Moody's assumed that 100% of the
remaining PRA amount and a portion of the non-PRA deferred
principal balance on modified loans would be forgiven and not
recovered. The deferred balance in this transaction is $54,272,567,
representing approximately 5.7% of the total unpaid principal
balance. Loans that have HAMP and proprietary remaining principal
reduction amount (PRA) totaled $3,748,508, representing
approximately 6.9% of total deferred balance. The final expected
loss for the collateral pool reflects the due diligence findings of
four independent third party review (TPR) firms as well as Moody's
assessment of TPMT 2017-2's representations & warranties (R&Ws)
framework.
Transaction Structure
TPMT 2017-2 has a sequential priority of payments structure, in
which a given class of notes can only receive principal payments
when all the classes of notes above it have been paid off.
Similarly, losses will be applied in the reverse order of priority.
The Class A1, A2, M1 and M2 notes carry a fixed-rate coupon subject
to the collateral adjusted net WAC and applicable available funds
cap. The Class A3 and A4 are variable Rate Notes where the coupon
is equal to the weighted average of the note rates of the related
exchange notes. The Class B1, B2, B3, B4 and B5 are Variable Rate
Notes where the coupon is equal to the lesser of adjusted net WAC
and applicable available funds cap. There are no performance
triggers in this transaction. Additionally, the servicer will not
advance any principal or interest on delinquent loans.
Moreover, the monthly excess cash flow in this transaction, after
payment of such expenses, if any, will be fully captured to pay the
principal balance of the bonds sequentially, allowing for a faster
paydown of the bonds.
Moody's modeled TPMT 2017-2's cashflows using SFW®, a cashflow
tool developed by Moody's Analytics. To assess the final rating on
the notes, Moody's ran 96 different loss and prepayment scenarios
through SFW. The scenarios encompass six loss levels, four loss
timing curves, and four prepayment curves. The structure allows for
timely payment of interest and ultimate payment of principal with
respect to the notes by the legal final maturity.
Third Party Review
Four independent third party review (TPR) firms conducted due
diligence on 100% of the loans in TPMT 2017-2's collateral pool for
compliance, pay string history, title and tax review and data
capture. The four TPR firms -- JCIII & Associates, Inc.
(subsequently acquired by American Mortgage Consultants), Clayton
Services, LLC, AMC Diligence, LLC, and Westcor Land Title Insurance
Company -- reviewed compliance, data integrity and key documents,
to verify that loans were originated in accordance with federal,
state and local anti-predatory laws. The TPR firms also conducted
audits of designated data fields to ensure the accuracy of the
collateral tape.
Based on Moody's analysis of the third-party review reports,
Moody's determined that a portion of the loans had legal or
compliance exceptions that could cause future losses to the trust.
Moody's incorporated an additional hit to the loss severities for
these loans to account for this risk. FirstKey Mortgage, LLC,
retained Westcor and AMC Diligence, LLC to review the title and tax
reports for the loans in the pool, and will oversee Westcor and
monitor the loan sellers in the completion of the assignment of
mortgage chains. 100% of the loans are in first lien position,
subject in some cases to certain liens as described in the R&Ws. In
addition, FirstKey expects a significant number of the assignment
and endorsement exceptions to be cleared within the first twelve
months following the closing date of the transaction. The
representation provider has deposited collateral of $0.5 million in
Assignment Reserve Account to ensure that the asset manager
completes the clearing of these exceptions.
Representations & Warranties
Moody's ratings reflect TPMT 2017-2's weak representations and
warranties (R&Ws) framework. The representation provider, FirstKey
Mortgage, LLC and the responsible party, Cerberus Global
Residential Mortgage Opportunity Fund, L.P., are unrated by
Moody's. Moreover, FirstKey's obligations will be in effect for
only thirteen months (until the payment date in June 2018). The
R&Ws themselves are weak because they contain many knowledge
qualifiers and the regulatory compliance R&W does not cover
monetary damages that arise from TILA violations whose right of
rescission has expired. While the transaction provides a Breach
Reserve Account to cover for any breaches of R&Ws after June 2018,
the size of the account is small relative to TPMT 2017-2's
aggregate collateral pool ($945 million) as of the statistical
calculation date. An initial deposit of $1,850,000 will be remitted
to the Breach Reserve Account on the closing date, with an initial
Breach Reserve Account target amount of $3,309,409.
Transaction Parties
The transaction benefits from a strong servicing arrangement.
Select Portfolio Servicing, Inc. will service 100% of TPMT 2017-2's
collateral pool. Moody's assess SPS higher compared to its peers.
Furthermore, FirstKey Mortgage, LLC, the asset manager, will
oversee the servicer, which strengthens the overall servicing
framework in the transaction. Wells Fargo Bank NA and U.S. Bank
National Association are the Custodians of the transaction. The
Delaware Trustee for TPMT 2017-2 is Wilmington Trust, National
Association. TPMT 2017-2's Indenture Trustee is U.S. Bank National
Association.
Factors that would lead to an upgrade or downgrade of the ratings:
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligors defaulting or
deterioration in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market. Other reasons
for worse-than-expected performance include poor servicing, error
on the part of transaction parties, inadequate transaction
governance and fraud.
TRAPEZA CDO VII: Moody's Raises Ratings on 2 Tranches to Caa3
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Trapeza CDO VII, Ltd.
US$194,000,000 Class A-1 First Priority Senior Secured Floating
Rate Notes due January 25, 2035 (current balance of
$70,022,842.18), Upgraded to Aa1 (sf); previously on October 2,
2015 Affirmed Aa2 (sf)
US$56,500,000 Class B-1 Third Priority Secured Floating Rate Notes
due January 25, 2035 (current balance of $61,863,419.04, including
deferred interest), Upgraded to Caa3 (sf); previously on August 14,
2014 Confirmed at Ca (sf)
US$37,500,000 Class B-2 Third Priority Senior Secured
Fixed/Floating Rate Notes due January 25, 2035 (current balance of
$41,947,613.38, including deferred interest), Upgraded to Caa3
(sf); previously on August 14, 2014 Confirmed at Ca (sf)
Moody's also affirmed the rating on the following notes:
US$32,000,000 Class A-2 Second Priority Senior Secured Floating
Rate Notes January 25, 2035, Affirmed Aa3 (sf); previously on
October 2, 2015 Upgraded to Aa3 (sf)
Trapeza CDO VII, Ltd., issued in October 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, an increase in the transaction's
over-collateralization (OC) ratios and the resumption of interest
payments of previously deferring assets since May 2016.
The Class A-1 notes have paid down by approximately 15.2% or $12.5
million since May 2016 using principal proceeds from the redemption
of the underlying assets 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-2 notes have improved to 268.71%,
184.43% and 91.41%, respectively, from May 2016 levels of 223.55%,
161.83% and 85.37%, respectively. Moody's gave full par credit in
its analysis to one deferring asset that meets certain criteria,
totaling $3.5 million in par. One previously deferring bank has
resumed making interest payments on its TruPS since May 2016,
totaling $10.0 million in par. Due to the failure of the Class B OC
test (currently reported at 90.57% versus a trigger of 101.64%),
the Class A-1 notes will continue to benefit from the diversion of
excess interest and the use of proceeds from redemptions of any
assets in the collateral pool.
However, the deal has suffered from deterioration in the credit
quality of the underlying portfolio since May 2016. Based on
Moody's calculations, the weighted average rating factor (WARF)
increased to 822, from 716 at that time.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs," published in October 2016.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:
1) Macroeconomic uncertainty: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in the
general economy. 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: One bank is
expected to resume 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(TM) 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 541)
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 1313)
Class A-1: 0
Class A-2: -1
Class B-1: -2
Class B-2: -1
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 and (after treating
deferring securities as performing if they meet certain criteria)
of $188.2 million, defaulted par of $31.9 million, a weighted
average default probability of 8.78% (implying a WARF of 822), 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 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.
UNITED AUTO 2017-1: DBRS Assigns Prov. BB(low) Rating to Cl. E Debt
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DBRS, Inc. assigned provisional ratings to the following classes of
notes issued by United Auto Credit Securitization Trust 2017-1 (the
Issuer):
-- $69,200,000 Series 2017-1, Class A Notes rated AAA (sf)
-- $20,800,000 Series 2017-1, Class B Notes rated AA (sf)
-- $19,600,000 Series 2017-1, Class C Notes rated A (sf)
-- $21,700,000 Series 2017-1, Class D Notes rated BBB (sf)
-- $16,200,000 Series 2017-1, Class E notes rated BB (low) (sf)
The ratings are based on a review by DBRS of the following
analytical considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- The transaction benefits from credit enhancement in the form
of overcollateralization, subordination, amounts held in the
reserve fund and excess spread. Credit enhancement levels are
sufficient to support the DBRS-projected expected cumulative
net loss assumptions under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under
which they have invested. For this transaction, the ratings
address the timely payment of interest on a monthly basis and
principal by the legal final maturity date.
-- United Auto Credit Corporation's (UACC or the Company)
capabilities with regard to originations, underwriting and
servicing and the existence of an experienced and capable
backup servicer.
-- DBRS has performed an operational review of UACC and considers
the entity to be an acceptable originator and servicer of
subprime automobile loan contracts with an acceptable backup
servicer.
-- UACC's senior management team has considerable experience and
a successful track record within the auto finance industry.
-- The Company successfully consolidated its business into a
centralized servicing platform and has consolidated
originations to two regional buying centers. UACC retained
experienced managers and staff at the servicing center and
buying centers.
-- UACC continues to evaluate and fine-tune its underwriting
standards as necessary. The Company has a risk management
system, centralized oversight of all underwriting and improved
its technology system to provide daily metrics on all
originations, servicing and collection of loans.
-- The credit quality of the collateral and performance of UACC's
auto loan portfolio.
-- UACC's origination of collateral, which has a shorter term,
higher down payment, lower book value and higher income
requirements than some sub-prime auto loan originators.
-- The legal structure and presence of legal opinions that
address the true sale of the assets to the Issuer, the non-
consolidation of the special-purpose vehicle with UACC and
that the trust has a valid first-priority security interest in
the assets, and the consistency with the DBRS methodology
"Legal Criteria for U.S. Structured Finance."
UNITED AUTO 2017-1: S&P Assigns Prelim. BB- Rating on Cl. E Notes
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S&P Global Ratings assigned its preliminary ratings to United Auto
Credit Securitization Trust 2017-1's $147.500 million automobile
receivables-backed notes series 2017-1.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The preliminary ratings are based on information as of June 1,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The availability of approximately 62.0%, 53.8%, 44.6%,
34.3%, and 27.3% credit support for the class A, B, C, D,
and E notes, respectively, based on stressed break-even cash
flow scenarios (including excess spread). These credit
support levels provide coverage of approximately 2.85x,
2.45x, 2.00x, 1.50x, and 1.17x S&P's expected net loss range
of 21.00%-22.00% for the class A, B, C, D, and E notes,
respectively.
-- The likelihood of timely interest and principal payments by
the assumed legal final maturity dates under stressed cash
flow modeling scenarios that are appropriate for the
assigned preliminary ratings.
-- S&P's expectation that under a moderate ('BBB') stress
scenario, all else being equal, its ratings on the class A
and B notes ('AAA (sf)' and 'AA (sf)', respectively) will
remain at the assigned preliminary ratings, S&P's rating on
the class C notes ('A (sf)') will remain within one rating
category of the assigned preliminary rating, and S&P's
rating on the class D notes ('BBB (sf)') will remain within
two rating categories of the assigned preliminary rating.
S&P's rating on the class E notes ('BB-(sf)') will remain
within two rating categories of the assigned preliminary
rating within the first year, but the class will eventually
default after receiving 32%-33% of its principal. These
potential rating movements are within the limits specified
by S&P's credit stability criteria.
-- The credit enhancement in the form of subordination,
overcollateralization, a reserve account, and excess spread.
-- The collateral characteristics of the subprime pool being
securitized. It is approximately four months seasoned, with
a weighted average original term of approximately 42 months
and an average remaining term of about 38 months. As a
result, S&P expects that the pool will pay down more quickly
than many other subprime pools with longer weighted average
original and remaining terms.
-- S&P's analysis of five years of static pool data following
the credit crisis and after United Auto Credit Corp. (UACC)
centralized its operations and shifted toward shorter loan
terms. S&P also reviewed the performance of UACC's three
outstanding securitizations, as well as its seven
securitizations from 2004 to 2007. UACC's 20-plus-year
history of originating, underwriting, and servicing
subprime auto loans.
-- The transaction's payment and legal structures.
PRELIMINARY RATINGS ASSIGNED
United Auto Credit Securitization Trust 2017-1
Class Rating Type Interest Amount
rate(i) (mil. $)
A AAA (sf) Senior Fixed 69.20
B AA (sf) Subordinate Fixed 20.80
C A (sf) Subordinate Fixed 19.60
D BBB (sf) Subordinate Fixed 21.70
E BB- (sf) Subordinate Fixed 16.20
(i)The interest rates of these tranches will be determined on the
pricing date.
VOYA CLO 2017-2: S&P Assigns 'BB-' Rating on Class D Notes
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S&P Global Ratings assigned its ratings to Voya CLO 2017-2
Ltd./Voya CLO 2017-2 LLC's $556.30 million fixed- and floating-rate
notes.
The note issuance is a collateralized loan obligation transaction
backed primarily by broadly syndicated senior secured term loans.
The ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term
loans that are governed by collateral quality tests. The
credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect
the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading. The
transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
Voya CLO 2017-2 Ltd./Voya CLO 2017-2 LLC
Class Rating Amount
(mil. $)
X AAA (sf) 4.30
A-1 AAA (sf) 369.00
A-2a AA (sf) 77.00
A-2b AA (sf) 10.00
B (deferrable) A (sf) 39.00
C (deferrable) BBB (sf) 33.00
D (deferrable) BB- (sf) 24.00
Subordinated notes NR 55.00
NR--Not rated.
WACHOVIA BANK 2003-C7: Moody's Hikes Class G Certs Rating to B1
---------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
and upgraded the ratings on two classes in Wachovia Bank Commercial
Mortgage Trust 2003-C7, Commercial Mortgage Pass-Through
Certificates, Series 2003-C7 as follows:
Cl. F, Upgraded to Aaa (sf); previously on Jul 14, 2016 Upgraded to
Aa2 (sf)
Cl. G, Upgraded to B1 (sf); previously on Jul 14, 2016 Upgraded to
Caa1 (sf)
Cl. H, Affirmed C (sf); previously on Jul 14, 2016 Affirmed C (sf)
Cl. X-C, Affirmed Ca (sf); previously on Jul 14, 2016 Affirmed Ca
(sf)
RATINGS RATIONALE
The rating on the P&I class H was affirmed because the ratings are
consistent with Moody's expected loss plus realized losses. Class H
has already experienced a 71% realized loss as result of previously
liquidated loans.
The ratings on the P&I classes F and G were upgraded due to a
significant increase in defeasance, to 18% of the current pool
balance from 4% at the last review, as well as an increase in
credit support resulting from loan paydowns and amortization. The
deal has paid down 9% since Moody's last review.
The rating on the IO class, Class X-C, was affirmed because the
class does not, nor is expected to receive monthly interest
payments.
Moody's rating action reflects a base expected loss of 0.0% of the
current balance, compared to 0.4% 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 6.5%
of the original pooled balance, compared to 6.6% at the last
review. Moody's provides a current list of base expected losses for
conduit and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these rating was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in October 2015.
Additionally, the methodology used in rating Cl. 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 Wachovia Bank Commercial
Mortgage Trust 2003-C7.
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 4, compared to 6 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 May 15, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $22 million
from $1.012 billion at securitization. The certificates are
collateralized by 14 mortgage loans ranging in size from less than
1% to 35% of the pool, with the top ten loans (excluding
defeasance) constituting 83% of the pool. Three loans, constituting
18% of the pool, have defeased and are secured by US government
securities.
There are currently no loans on the watchlist or in special
servicing.
Five loans have been liquidated from the pool, resulting in an
aggregate realized loss of $66 million (for an average loss
severity of 75%).
Moody's received full year 2015 operating results for 100% of the
pool, and full or partial year 2016 operating results for 98% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 54%, compared to 61% 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 25% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.2%.
Moody's actual and stressed conduit DSCRs are 1.19X and 2.13X,
respectively, compared to 1.18X and 1.82X 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 57% of the pool balance. The
largest loan is the Plaza de Laredo Loan ($7.6 million -- 34.7% of
the pool), which is secured by a retail property located in Laredo,
Texas, approximately 2.5 hours south of San Antonio near the border
of Mexico. The top three tenants at the property are Home Depot,
Academy Sports & Outdoors, and Office Depot. As of December 2016,
the property was 100% leased. The loan has amortized 33% since
securitization and is scheduled to mature in October 2023. Moody's
LTV and stressed DSCR are 61% and 1.63X, respectively, compared to
65% and 1.55X at the last review.
The second largest loan is the Clearwater and Ocala, Florida Loan
(formerly known as the Florida Eckerd Portfolio Loan) ($2.7 million
-- 12.1% of the pool), which was originally secured by two
cross-collateralized and cross-defaulted single-tenant Eckerd
stores in Clearwater and Ocala, Florida. The property in Clearwater
is now a Main Street Thrift Shop and the property in Ocala is a
Dollar Tree. Performance has remained stable and the loan has
benefited from 54% of amortization since securitization. The loan
is scheduled to mature in September 2023. Moody's LTV and stressed
DSCR are 53% and 1.82X, respectively, compared to 57% and 1.72X at
the last review.
The third largest loan is the Sorrento Place I & II Loan ($2.2
million -- 10.3% of the pool), which is secured by a 72-unit
multifamily property in Fargo, North Dakota. The subject property
consists of two three-story garden style apartments with a mixture
of 1, 2, and 3 bedroom units, along with single and double car
garages. The property was 90% occupied in December 2016, compared
to 91% occupied in December 2015. The loan has amortized 24% since
securitization and is scheduled to mature in July 2018. Moody's LTV
and stressed DSCR are 64% and 1.48X, respectively, compared to 68%
and 1.4X at the last review.
WACHOVIA BANK 2007-C31: S&P Hikes Rating on Class B Certs to BB+
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S&P Global Ratings raised its ratings on the class A-J and B
commercial mortgage pass-through certificates from Wachovia Bank
Commercial Mortgage Trust 2007-C31, a U.S. commercial
mortgage-backed securities (CMBS) transaction. In addition, S&P
affirmed its rating on class C and discontinued our rating on class
A-M from the same transaction.
S&P's rating actions on the certificates follow its analysis of the
transaction, primarily using its criteria for rating U.S. and
Canadian CMBS transactions, which included a review of the credit
characteristics and performance of the remaining assets in the
pool, the transaction's structure, and the liquidity available to
the trust.
S&P raised its ratings on classes A-J and B 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.
The affirmation of the 'CCC (sf)' rating on class C reflects the
recent interest shortfalls and the bond's susceptibility to future
reduced liquidity support from the 24 assets ($433.6 million,
49.1%) with the special servicer.
S&P discontinued its 'BB- (sf)' rating on the class A-M
certificates following the bond's full repayment as noted on the
May 17, 2017, trustee remittance report.
While available credit enhancement levels suggest further positive
rating movement on classes A-J and B and positive rating movement
on class C, S&P's analysis also considered their susceptibility to
reduced liquidity support from the specially serviced assets as
well as loans on the master servicer's watchlist ($450.0 million,
50.9%).
TRANSACTION SUMMARY
As of the May 17, 2017, trustee remittance report, the
certificates' pool balance was $895.2 million, which is 15.1% of
the pool balance at issuance. The collateral balance was $883.6
million. The pool currently includes 13 loans and 14 real
estate-owned (REO) assets (reflecting crossed loans and A/B notes
as a single loan), down from 181 loans at issuance.
Twenty-four assets are with the special servicer, and three loans
are on the master servicer's watchlist. There are currently no
defeased loans in the transaction. The master servicer, Wells
Fargo Bank N.A., reported financial information for 85.4% of the
nondefeased loans in the pool, of which 47.0% was partial-year or
year-end 2016 data, and the remainder was year-end 2015 data.
S&P calculated an S&P Global Ratings weighted average debt service
coverage (DSC) of 0.91x and S&P Global Ratings weighted average
loan-to-value (LTV) ratio of 127.4% using an S&P Global Ratings
weighted average capitalization rate of 6.40% for the three
performing loans in the transaction. The top 10 assets have an
aggregate outstanding pool trust balance of $704.8 million (79.8%).
Two of the top 10 assets are performing, while the remaining eight
are defaulted and with the special servicer.
To date, the transaction has experienced $180.7 million in
principal losses, or 3.1% of the original pool trust balance. S&P
expects losses to reach approximately 6.2% 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 specially serviced assets.
CREDIT CONSIDERATIONS
As of the May 17, 2017, trustee remittance report, 24 assets in the
pool were with the special servicer, LNR Partners LLC. Details of
the two largest specially serviced assets are:
The largest asset with the special servicer is the Cherry Hill
Corporate Center Pool loan ($51.7 million, 5.9%) with a total
reported exposure of $52.2 million. The loan is secured by a
portfolio of nine mixed-used (industrial and office) properties
totaling 601,889 sq.-ft. located in Danvers and Beverly, Mass. The
loan was transferred to the special servicer on Feb. 10, 2017,
because of imminent maturity default. The loan matured on
March 11, 2017. The reported DSC and occupancy as of September
2016 were 1.20x and 75.0%, respectively. No appraisal reduction
amount (ARA) is currently in effect on the loan. S&P expects a
moderate loss (between 26% and 59%) upon the loan's eventual
resolution.
The second-largest asset with the special servicer is the Corporate
Plaza loan ($43.6 million, 4.9%) with a total reported exposure of
$44.4 million. The loan is secured by a 277,799 sq.-ft. office
property located in Wilmington, Del. The loan was transferred to
the special servicer on Nov. 17, 2014, for imminent default. The
reported DSC and occupancy as of year-end 2016 were 0.96x and
70.0%, respectively. According to various media reports, Capital
One will lease a portion of space at the property. No ARA is
currently in effect on the loan. S&P expects a minimal loss (less
than 25%) upon the loan's eventual resolution.
The remaining assets with the special servicer each have individual
balances that represent less than 4.5% of the total pool trust
balance. S&P estimated losses for the specially serviced loans,
arriving at a weighted average loss severity of 42.2%.
RATINGS LIST
Wachovia Bank Commercial Mortgage Trust Series 2007-C31
Commercial mortgage pass-through certificates series, 2007-C31
Rating
Class Identifier To From
A-M 92978TAH4 NR BB- (sf)
A-J 92978TAJ0 A+ (sf) B- (sf)
B 92978TAK7 BB+ (sf) B- (sf)
C 92978TAL5 CCC (sf) CCC (sf)
NR--Not rated.
WAMU COMMERCIAL 2007-SL2: Moody's Affirms B1 Rating on Class D Debt
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Moody's Investors Service has affirmed the ratings on eight and
downgraded the rating on one class in Wamu Commercial Mortgage
Securities Trust 2007-SL2, Pass-Through Certificates, Series
2007-SL2:
Cl. A-1A, Affirmed Aaa (sf); previously on June 2, 2016 Upgraded to
Aaa (sf)
Cl. B, Affirmed Aa3 (sf); previously on June 2, 2016 Upgraded to
Aa3 (sf)
Cl. C, Affirmed Baa2 (sf); previously on June 2, 2016 Upgraded to
Baa2 (sf)
Cl. D, Affirmed B1 (sf); previously on June 2, 2016 Upgraded to B1
(sf)
Cl. E, Affirmed Caa1 (sf); previously on June 2, 2016 Affirmed Caa1
(sf)
Cl. F, Affirmed Caa3 (sf); previously on June 2, 2016 Affirmed Caa3
(sf)
Cl. G, Affirmed C (sf); previously on June 2, 2016 Affirmed C (sf)
Cl. H, Affirmed C (sf); previously on June 2, 2016 Affirmed C (sf)
Cl. X, Downgraded to Caa1 (sf); previously on June 2, 2016
Downgraded to B2 (sf)
RATINGS RATIONALE
The ratings on eight P&I classes were affirmed because the ratings
are consistent with Moody's expected loss.
The rating on the IO class X was downgraded due to the decline in
the credit performance of its reference classes resulting from
principal paydowns of higher quality reference classes.
Moody's rating action reflects a base expected loss of 10.1% of the
current balance, compared to 8.2% at Moody's last review. Moody's
base expected loss plus realized losses is now 4.6% of the original
pooled balance, compared to 5.2% 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 "Approach to
Rating US and Canadian Conduit/Fusion CMBS" published in December
2014.
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 Wamu Commercial Mortgage
Securities Trust 2007-SL2.
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 78, compared to 108 at Moody's last review.
DEAL PERFORMANCE
As of the May 26th 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 87.9% to $101.6
million from $296.3million at securitization. The certificates are
collateralized by 136 mortgage loans ranging in size from less than
1% to 3.8% of the pool, with the top ten loans (excluding
defeasance) constituting 24.8% of the pool.
Thirty loans, constituting 30.3% 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.
Sixty five loans have been liquidated from the pool, resulting in
an aggregate realized loss of $28.2 million (for an average loss
severity of 41.9%). Five loans, constituting 6.0% of the pool, are
currently in special servicing. The specially serviced loans are
secured by a mix of property types. Moody's estimates an aggregate
$4.2 million loss for the specially serviced loans (68.3% expected
loss on average).
Moody's has assumed a high default probability for 17 poorly
performing loans, constituting 13% of the pool, and has estimated
an aggregate loss of $4.6 million (a 34.6% expected loss based on a
67.6% probability default) from these troubled loans.
Moody's received full year 2015 operating results for 91% of the
pool, and full or partial year 2016 operating results for 37% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 85.8%, compared to 86.9% 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 7.8% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.1%.
Moody's actual and stressed conduit DSCRs are 1.84X and 1.31X,
respectively, compared to 1.57X and 1.29X 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.
WELLS FARGO 2012-CCRE2: Fitch Affirms B Rating on Class G Certs
---------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of German American Capital
Corp.'s Wells Fargo Commercial Mortgage Trust (COMM) commercial
mortgage pass-through certificates, series 2012-CCRE2.
KEY RATING DRIVERS
Stable Performance: The affirmations reflect generally stable
performance of the pool since issuance. As of the May 2017
distribution date, the pool's aggregate principal balance has been
reduced by 13.3% to $1.15 billion from $1.32 billion at issuance.
Overall pool performance remains stable and generally in line with
issuance expectations. As of year-end (YE) 2016, aggregate
pool-level net operating income (NOI) improved 6.1% from 2015 for
the 37 non-defeased loans reporting full-year 2015 and 2016
financials. As of the May 2017 remittance reporting, six loans
(4.7% of current pool) had been defeased.
Loans of Concern: Fitch has designated six Fitch Loans of Concern
(FLOCs; 11.6% of pool), four of which are in the top 15 (10.2%),
due to occupancy declines and /or tenancy concerns. The other FLOCs
outside of the top 15 include a loan (0.7%) that defaulted at its
May 2017 maturity date, which is being transferred to the special
servicer, and another loan (0.7%) secured by a unanchored
neighborhood retail center in Oxnard, CA that experienced a drop in
cash flow due to loss of tenants.
Pool Concentrations: Office properties represent 56.7% of the pool
and include nine of the top 15 loans (52.7%). However, 48.3% of the
loans are secured by properties located in major markets that
include New York, Los Angeles, Chicago, and Washington, D.C.,
including the five largest loans (43.7%). Retail properties
represent 25% of the pool and include two regional malls (12.8%)
anchored or shadow anchored by Sears, Macy's, and JC Penney.
However, none of these store locations are reported to be closing.
Amortization: Three loans (16.2%) are interest only for the full
term. Additionally, one loan (9.5% of the current pool) still has a
partial interest-only component during its remaining loan term,
compared to 14.7% of the original pool at issuance.
RATING SENSITIVITIES
Rating Outlooks for all classes remain Stable due to overall stable
pool performance and expected continued paydown. Future upgrades
may occur with improved pool performance and additional paydown or
defeasance. Downgrades, although not likely in the near term, may
be possible should overall performance decline significantly.
Fitch has affirmed the following ratings:
-- $0.4 million class A-2 at 'AAAsf'; Outlook Stable;
-- $102 million class A-SB at 'AAAsf'; Outlook Stable;
-- $100 million class A-3 at 'AAAsf'; Outlook Stable;
-- $546.3 million class A-4 at 'AAAsf'; Outlook Stable;
-- $879.1 million class X-A* at 'AAAsf'; Outlook Stable;
-- $77.6 million class A-M at 'AAAsf'; Outlook Stable;
-- $52.8 million class A-M-PEZ** at 'AAAsf'; Outlook Stable;
-- $37.3 million class B at 'AAsf'; Outlook Stable;
-- $25.4 million class B-PEZ** at 'AAsf'; Outlook Stable;
-- $25.5 million class C at 'Asf'; Outlook Stable;
-- $17.4 million class C-PEZ** at 'Asf'; Outlook Stable;
-- $23.1 million class D** at 'BBB+sf'; Outlook Stable;
-- $51.2 million class E at 'BBB-sf'; Outlook Stable;
-- $23.1 million class F at 'BBsf'; Outlook Stable;
-- $23.1 million class G at 'Bsf'; Outlook Stable.
*Notional amount and interest-only.
**Up to the full certificate balance of the class A-M-PEZ, class
B-PEZ and class C-PEZ certificates and up to $9,363,000 in
certificate balance of the class D certificates may be exchanged
for class PEZ certificates. Class PEZ certificates may be exchanged
for up to the full certificate balance of the class A-M-PEZ, class
B-PEZ and class C-PEZ certificates and up to $9,363,000 in
certificate balance of the class D certificates.
Fitch does not rate the class X-B, PEZ, and H certificates. Class
A-1 has paid in full.
ZAIS CLO 6: Moody's Assigns Ba3(sf) Rating to Class E Notes
-----------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by ZAIS CLO 6, Limited.
Moody's rating action is as follows:
US$310,000,000 Class A-1 Senior Secured Floating Rate Notes due
2029 (the "Class A-1 Notes"), Assigned Aaa (sf)
US$25,000,000 Class A-2 Senior Secured Floating Rate Notes due 2029
(the "Class A-2 Notes"), Assigned Aaa (sf)
US$45,000,000 Class B Senior Secured Floating Rate Notes due 2029
(the "Class B Notes"), Assigned Aa2 (sf)
US$30,000,000 Class C Deferrable Mezzanine Floating Rate Notes due
2029 (the "Class C Notes"), Assigned A2 (sf)
US$25,000,000 Class D Deferrable Mezzanine Floating Rate Notes due
2029 (the "Class D Notes"), Assigned Baa3 (sf)
US$25,000,000 Class E Deferrable Mezzanine Floating Rate Notes due
2029 (the "Class E Notes"), Assigned Ba3 (sf)
The Class A-1 Notes, the Class A-2 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.
ZAIS CLO 6 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 second lien loans
and unsecured loans. The portfolio is over 85% ramped as of the
closing date.
ZAIS Leveraged Loan Master Manager, LLC (the "Manager") will direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer 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: 60
Weighted Average Rating Factor (WARF): 2785
Weighted Average Spread (WAS): 3.70%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 8.1 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 2785 to 3306)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2 Notes: -1
Class B Notes: -2
Class C Notes: -3
Class D Notes: -1
Class E Notes: -1
Percentage Change in WARF -- increase of 30% (from 2785 to 3738)
Rating Impact in Rating Notches
Class A--1 Notes: -1
Class A-2 Notes: -3
Class B Notes: -4
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
[*] Moody's Hikes $476.2MM of ARM & Alt-A RMBS Issued 2005-2006
---------------------------------------------------------------
Moody's Investors Service has upgraded the rating of 11 tranches
from four transactions, backed by Option ARM and Alt-A mortgage
loans, issued by multiple issuers.
Issuer: Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series
2005-3
Cl. IV-A-5, Upgraded to B1 (sf); previously on Oct 13, 2015
Upgraded to Caa1 (sf)
Issuer: GSAA Home Equity Trust 2005-4
Cl. A-3, Upgraded to Aaa (sf); previously on Aug 22, 2016 Upgraded
to Aa1 (sf)
Cl. A-4, Upgraded to Aa3 (sf); previously on Aug 22, 2016 Upgraded
to A1 (sf)
Cl. A-5, Upgraded to Aaa (sf); previously on Aug 22, 2016 Upgraded
to Aa1 (sf)
Cl. A-6, Upgraded to Aa3 (sf); previously on Aug 22, 2016 Upgraded
to A1 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on Aug 22, 2016 Upgraded
to Caa2 (sf)
Issuer: GSAA Home Equity Trust 2005-6
Cl. M-3, Upgraded to B3 (sf); previously on Aug 22, 2016 Upgraded
to Caa2 (sf)
Cl. M-4, Upgraded to Ca (sf); previously on Feb 19, 2009 Downgraded
to C (sf)
Issuer: HarborView Mortgage Loan Trust 2006-10
Cl. 1A-1A, Upgraded to Caa2 (sf); previously on Dec 5, 2010
Downgraded to Caa3 (sf)
Cl. 2A-1A, Upgraded to Baa3 (sf); previously on Aug 25, 2016
Upgraded to Ba1 (sf)
Cl. 2A-1B, Upgraded to Ca (sf); previously on Dec 5, 2010
Downgraded to C (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pools
and reflect Moody's updated loss expectations on the pools. The
ratings upgraded are a result of improving performance of the
related pools and an increase in credit enhancement available to
the bonds. The rating upgrade on Class IV-A-5 from Deutsche Alt-A
Securities, Inc. Mortgage Loan Trust Series 2005-3 is due to the
improving performance of the related underlying pool, the pace of
principal amortization and the existing credit enhancement
available to the bond. The rating upgrades on HarborView Mortgage
Loan Trust 2006-10 are solely due to the improving performance of
the related underlying 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 Takes Action on $17.6MM of RMBS Issued 2003-2005
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of ten tranches
and downgraded the rating of one tranche from seven transactions
backed by second-lien RMBS loans.
Complete rating actions are:
Issuer: CWABS Master Trust, Series 2003-E
Notes, Upgraded to Baa2 (sf); previously on Jul 21, 2016 Upgraded
to Ba3 (sf)
Issuer: CWABS, INC., Asset-Backed Certificates, Series 2003-S1
Cl. A-5, Downgraded to B1 (sf); previously on Jul 29, 2016
Downgraded to Ba2 (sf)
Issuer: First Franklin Mortgage Loan Trust 2004-FFB
Cl. M-4, Upgraded to A3 (sf); previously on Jul 21, 2016 Upgraded
to Baa1 (sf)
Issuer: First Franklin Mortgage Loan Trust 2004-FFC
Cl. B-2, Upgraded to Baa3 (sf); previously on Oct 20, 2010
Confirmed at Ba2 (sf)
Cl. B-3, Upgraded to Ba3 (sf); previously on Sep 28, 2015 Upgraded
to B2 (sf)
Issuer: Nomura Asset Acceptance Corporation, Alternative Loan
Trust, Series 2005-S1
Cl. M-2, Upgraded to B2 (sf); previously on Oct 6, 2015 Upgraded to
B3 (sf)
Issuer: RFMSII Home Equity Loan Trust 2003-HS3
Cl. A-II-A, Upgraded to Baa1 (sf); previously on Apr 14, 2015
Upgraded to Baa3 (sf)
Cl. A-II-B, Upgraded to Baa3 (sf); previously on Jul 25, 2016
Upgraded to Ba1 (sf)
Cl. A-I-4, Upgraded to Baa2 (sf); previously on Jun 4, 2010
Downgraded to Ba2 (sf)
Issuer: RFMSII Home Equity Loan Trust 2004-HS1
Cl. A-II, Upgraded to Ba1 (sf); previously on Feb 24, 2015 Upgraded
to Ba3 (sf)
Underlying Rating: Upgraded to Ba1 (sf); previously on Feb 24, 2015
Upgraded to Ba3 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. A-I-5, Upgraded to Baa3 (sf); previously on Feb 24, 2015
Upgraded to Ba1 (sf)
Underlying Rating: Upgraded to Baa3 (sf); previously on Feb 24,
2015 Upgraded to Ba1 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pools
and Moody's updated loss expectations on these pools. The tranches
upgraded are primarily due to the build-up in credit enhancement
available to the bonds. The downgrade reflects the expectation that
the tranche is unlikely to be paid in full prior to its last
scheduled distribution date in December 2017.
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 4.3% in May 2017 from 4.7% in May
2016. Moody's forecasts an unemployment central range of 4.5% to
5.5% for the 2017 year. Deviations from this central scenario could
lead to rating actions in the sector.
House prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2017. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] Moody's Takes Action on $355MM of RMBS Issued 2004-2005
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of twenty-one
tranches and downgraded the rating of one tranche from five
transactions backed by Prime Jumbo RMBS loans, issued by
miscellaneous issuers.
The complete rating actions are as follows:
Issuer: Banc of America Mortgage 2004-G Trust
Cl. 2-A-6, Upgraded to Baa2 (sf); previously on Dec 3, 2015
Upgraded to Ba2 (sf)
Cl. 2-A-7, Upgraded to Baa2 (sf); previously on Dec 3, 2015
Upgraded to Ba2 (sf)
Cl. 3-A-1, Downgraded to Caa1 (sf); previously on Apr 25, 2011
Downgraded to B3 (sf)
Issuer: Banc of America Mortgage 2004-H Trust
Cl. 1-A-1, Upgraded to B1 (sf); previously on May 11, 2012
Downgraded to Caa1 (sf)
Cl. 1-A-2, Upgraded to B1 (sf); previously on May 11, 2012
Downgraded to Caa1 (sf)
Cl. 2-A-1, Upgraded to Ba1 (sf); previously on Nov 3, 2015 Upgraded
to Ba3 (sf)
Cl. 2-A-2, Upgraded to Ba1 (sf); previously on Nov 3, 2015 Upgraded
to Ba3 (sf)
Issuer: J.P. Morgan Mortgage Trust 2004-A6
Cl. 1-A-1, Upgraded to Ba1 (sf); previously on Apr 29, 2011
Downgraded to Ba2 (sf)
Cl. 1-A-2, Upgraded to Ba3 (sf); previously on May 10, 2012
Confirmed at B2 (sf)
Cl. 2-A-1, Upgraded to Ba1 (sf); previously on May 10, 2012
Confirmed at Ba2 (sf)
Cl. 3-A-1, Upgraded to Ba1 (sf); previously on May 10, 2012
Confirmed at Ba3 (sf)
Cl. 3-A-3, Upgraded to Ba1 (sf); previously on May 10, 2012
Confirmed at Ba3 (sf)
Cl. 4-A-1, Upgraded to Ba1 (sf); previously on Apr 29, 2011
Downgraded to Ba2 (sf)
Cl. 5-A-2, Upgraded to Ba3 (sf); previously on May 10, 2012
Confirmed at B2 (sf)
Cl. B-1, Upgraded to Caa3 (sf); previously on Apr 29, 2011
Downgraded to Ca (sf)
Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2005-2
Cl. 1-A, Upgraded to Baa1 (sf); previously on Nov 20, 2015 Upgraded
to Baa3 (sf)
Cl. 2-A, Upgraded to Baa1 (sf); previously on Aug 1, 2016 Upgraded
to Baa3 (sf)
Cl. 3-A, Upgraded to Baa1 (sf); previously on Jun 5, 2013
Downgraded to Baa3 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2004-Z Trust
Cl. I-A-2, Upgraded to Ba3 (sf); previously on Sep 18, 2013
Upgraded to B1 (sf)
Cl. I-A-1, Upgraded to Baa2 (sf); previously on Sep 18, 2013
Upgraded to Ba1 (sf)
Cl. II-A-1, Upgraded to Baa1 (sf); previously on Sep 18, 2013
Upgraded to Baa2 (sf)
Cl. II-A-2, Upgraded to Baa1 (sf); previously on Sep 18, 2013
Upgraded to Baa2 (sf)
RATINGS RATIONALE
The ratings upgraded are primarily due to an increase in credit
enhancement available to the bonds. The downgrade of Class 3-A-1
from Banc of America Mortgage 2004-G Trust is due to the fact that
Class 3-A-1 is currently under-collateralized and will be written
down to parity once Class B-1 is fully written down.
The upgrade actions on Banc of America Mortgage 2004-H Trust are
due to overall credit enhancement to the bonds. The actions are a
result of the recent performance of the underlying pools and
reflect Moody's updated loss expectations on the pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
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.
[*] S&P Completes Review on 101 Classes From 14 RMBS Deals
----------------------------------------------------------
S&P Global Ratings completed its review of 101 classes from 14 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2000 and 2005. Thirteen deals are backed by subprime
mortgage loan collateral, and one is backed by Alternative-A
mortgage loans. The review yielded nine downgrades, four upgrades,
and 88 affirmations.
Analytical Considerations
S&P incorporates various considerations into our 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. Some of these considerations include:
-- Historical interest shortfalls;
-- Priority of principal payments;
-- Proportion of reperforming loans in the pool; and
-- Available subordination and/or overcollateralization.
Rating Actions
The affirmations of ratings reflect S&P's opinion that its
projected credit support and collateral performance on these
classes has remained relatively consistent with S&P's prior
projections.
The rating actions taken on classes 1-A-2 and 1-A-3 from Impac CMB
Trust Series 2004-6 are due to a revision made to the transaction's
indenture regarding the allocation of losses. There had been a
discrepancy between the language in the transaction's prospectus
and in the indenture regarding allocating losses to the senior
classes. The prospectus states that class 1-A-3 takes losses
allocable to class 1-A-2; however, the indenture provided that
class 1-A-2 takes losses allocable to class 1-A-3. On Feb. 22,
2017, the trustee, Wells Fargo Bank N.A., filed a petition to
revise this provision in the indenture so that it is consistent
with the prospectus. On April 19, 2017, the court entered an order
approving this revision, and the trustee has subsequently informed
S&P that it is allocating losses in accordance with the revision.
This revision has yielded significant changes to the credit support
for these classes. The credit support for class 1-A-2 increased to
29.91% (from 22.12% under the previous allocation of losses), while
the credit support for class 1-A-3 decreased to 22.12% (from
92.21%). Due to this revision and the resulting changes in credit
support, S&P raised its rating on class 1-A-2 to 'BB- (sf)' from
'B- (sf) ', and lowered its rating on class 1-A-3 to 'B- (sf) '
from 'AAA (sf) '.
A list of the Affected Ratings is available at:
http://bit.ly/2s2hS33
[] S&P Lowers Ratings to 'D' on 86 Classes From 57 RMBS Deals
-------------------------------------------------------------
S&P Global Ratings lowered its ratings on 86 classes of mortgage
pass-through certificates from 57 U.S. residential mortgage-backed
securities (RMBS) transactions issued between 2003 and 2008 to 'D
(sf)'.
The transactions in this review are backed by a mix of fixed- and
adjustable-rate mixed collateral mortgage loans, which are secured
primarily by first liens on one- to four-family residential
properties. The downgrades reflect S&P's assessment of the
principal write-downs' impact on the affected classes during recent
remittance periods.
All of the classes were rated either 'CCC (sf)' or 'CC (sf)' before
the rating actions.
Class PO from RBSGC Mortgage Loan Trust 2005-A, class A-PO from
Citicorp Mortgage Securities Trust Series 2007-5, class 15-PO from
MASTR Alternative Loan Trust 2005-5, class II-PO from Prime
Mortgage Trust 2005-4, and class AP2 from Lehman Mortgage Trust
2006-4 are principal-only (PO) strip classes. PO strip classes
receive principal primarily from discount loans within the related
transaction. When a discount loan takes a loss, the PO strip class
is allocated a loan-specific percentage of that loss.
However, because these PO classes are senior classes in the
waterfall, they are reimbursed from cash flows that would otherwise
be paid to the most junior classes. Further, S&P do not expect any
future reimbursements from the transaction's cash flow because the
balances of the subordinate classes have been reduced to zero.
Therefore, the PO classes within this review have incurred a loss
on their principal obligation without the likelihood of future
reimbursement. S&P is lowering the ratings on all five PO classes
within this review to 'D (sf)'.
The 86 defaulted classes consist of these:
-- 37 from prime jumbo transactions (42.53%);
-- 19 from Alternative-A transactions (21.84%);
-- 14 from subprime transactions (16.09%);
-- Six from Federal Housing Administration/Veteran Affairs
transactions (6.9%);
-- Four from negative amortization transactions (4.6%);
-- Three from Outside the Guidelines transactions (3.45%);
-- Two from resecuritized real estate mortgage investment
conduit (re-REMIC) transactions (3.45%); and
-- One from a Risk Transfer transaction (1.15%).
All of the transactions in this review receive credit enhancement
from a combination of subordination, excess spread, and
overcollateralization (where applicable).
S&P will continue to monitor its ratings on securities that
experience principal write-downs, and S&P will take rating actions
as it considers appropriate according to our criteria.
A list of the Affected Ratings is available at:
http://bit.ly/2r47inL
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
TCR subscribers have free access to our on-line news archive.
Point your Web browser to http://TCRresources.bankrupt.com/and use
the e-mail address to which your TCR is delivered to login.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman,
Editors.
Copyright 2017. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The TCR subscription rate is $975 for 6 months delivered via
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firm for the term of the initial subscription or balance thereof
are $25 each. For subscription information, contact Peter A.
Chapman at 215-945-7000 or Nina Novak at 202-362-8552.
*** End of Transmission ***