/raid1/www/Hosts/bankrupt/TCR_Public/170709.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, July 9, 2017, Vol. 21, No. 189
Headlines
ALESCO PREFERRED V: Moody's Hikes Rating on 3 Tranches to Caa1
AMAC CDO I: Fitch Withdraws 'Csf' Rating on Class F Notes
ANGEL OAK 2017-2: DBRS Gives Prov. B Rating on Class B-2 Debt
ANGEL OAK 2017-2: S&P Assigns Prelim. 'B' Rating on Cl. B-2 Certs
BANC OF AMERICA 2007-1: Fitch Cuts Ratings on 2 Tranches to BBsf
BAYVIEW OPPORTUNITY 2017-SPL5: DBRS Finalizes B Rating on B5 Debt
BAYVIEW OPPORTUNITY 2017-SPL5: Fitch Rates Class B5 Notes 'Bsf'
BEAR STEARNS 2004-PWR5: Fitch Hikes Rating on Class M to 'BBsf'
BENEFIT STREET II: S&P Assigns BB- Rating on Class D-R Debt
BUSINESS LOAN 2006-1: S&P Affirms 'CCC-(sf)' Rating on Cl. A Notes
CANYON CAPITAL 2006-1: Moody's Ups Rating to Cl. E Notes From Ba2
CARLYLE US 2017-2: Moody's Assigns Ba3(sf) Rating to Cl. D Notes
CAVALRY CLO III: S&P Assigns Prelim. BB- Rating on Class E Notes
CBAM LTD 2017-1: Moody's Assigns Ba3(sf) Rating to Class E Notes
COLLEGE AVE 2017-A: DBRS Assigns Prov. BB Rating to Class C Debt
COMM 2014-PAT: DBRS Confirms B(sf) Rating on Class F Debt
CORONADO CDO: Moody's Hikes Rating on 2 Tranches to Ba1(sf)
CREDIT SUISSE 2005-C1: Fitch Affirms 'CCCsf' Rating on Cl. F Debt
CSAIL 2017-C8: Fitch Assigns 'B-sf' Rating to Class F Certs
CSFB COMMERCIAL 2006-C2: Moody's Cuts Cl. A-J Certs Rating to Ca
CSFB MORTGAGE 1998-C2: Moody's Affirms B3 Rating on Class H Certs
CSMC TRUST 2017-CHOP: DBRS Finalizes BB Rating on Class E Debt
CSMC TRUST 2017-CHOP: S&P Assigns 'B-' Rating on Class F Certs
CSMC TRUST 2017-HL1: Fitch Rates Class B-5 Certs 'Bsf'
CSMC TRUST 2017-RPL1: DBRS Gives Prov. B Rating to Class B2 Debt
DBJPM MORTGAGE 2017-C6: Fitch Assigns B- Rating to Cl. F-RR Certs
DRIVE AUTO 2017-1: S&P Assigns 'BB' Rating on Cl. E Notes
DRYDEN 49: Moody's Assigns B3(sf) Rating to Class F Notes
GLS AUTO 2017-1: S&P Assigns 'BB' Rating on Class D Notes
GS MORTGAGE 2013-GCJ16: Moody's Affirms B3 Rating on Cl. G Certs
HMH TRUST 2017-NSS: S&P Assigns 'B-' Rating on Cl. F Certificates
IMSCI 2014-5: Fitch Affirms 'Bsf' Rating on Class G Certs
JMP CREDIT IV: Moody's Assigns Ba3(sf) Rating to Class E Notes
JP MORGAN 2005-CIBC13: Moody's Affirms B3 Rating on Cl. A-J Debt
JP MORGAN 2008-C2: Fitch Cuts Ratings on 3 Tranches to BBsf
LADDER CAPITAL 2017-LC26: Fitch Assigns B-sf Rating on Cl. F Certs
LB-UBS COMMERCIAL 2004-C1: Moody's Affirms C Rating on 2 Tranches
LCM XXV: Moody's Assigns (P)Ba3(sf) Rating to Cl. E Notes
MADISON PARK XXIII: S&P Gives Prelim BB- Rating on Class E Notes
MCA FUND II: DBRS Finalizes BB Rating on Class C Notes
MERRILL LYNCH 2006-1: Moody's Affirms C Rating on 3 Tranches
MERRILL LYNCH 2007-CANADA22: S&P Affirms BB- Rating on Cl. G Debt
MMCAPS FUNDING XVIII: Moody's Hikes Rating on 3 Tranches to B2
MORGAN STANLEY 2005-TOP17: Fitch Affirms BB Rating on Cl. B Debt
MORGAN STANLEY 2005-TOP17: S&P Raises Class B Certs Rating to BB+
MORGAN STANLEY 2006-HQ9: Fitch Affirms Bsf Rating on Class D Certs
MORGAN STANLEY 2012-C6: Moody's Affirms B2 Rating on 2 Tranches
MP CLO IX: Moody's Affirms B1(sf) Rating on Class D-2 Notes
NEW RESIDENTIAL 2017-4: DBRS Gives (P)B Rating to 10 Tranches
NEW RESIDENTIAL 2017-4: Moody's Gives B1(sf) Ratings on 10 Tranches
OCTAGON INVESTMENT 31: Moody's Assigns B3 Rating to Class F Notes
OMI TRUST 2000-A: S&P Withdraws D Rating on Class A-2 Certs
OZLM XVII: Moody's Assigns (P)Ba3(sf) Rating to Class D Notes
PALMER SQUARE 2015-2: S&P Assigns Prelim. B- Rating to Cl. E-R Debt
RAIT CRE I: Fitch Affirms Bsf Rating on Class A-2 Notes
ROSSLYN PORTFOLIO 2017-ROSS: DBRS Gives (P)BB Rating to X-CP Debt
ROSSLYN PORTFOLIO 2017-ROSS: S&P Gives (P)B Rating on X-CP Certs
SEQUOIA MORTGAGE 2017-4: Moody's Gives Ba3 Rating to Class B4 Certs
SNACC AUTO 2014-1: S&P Affirms 'BB' Rating on Class E Debt
SOCIETE GENERALE 2016-C5: Fitch Affirms B- Rating on Class F Certs
SPRINGLEAF FUNDING 2017-A: DBRS Finalizes BB Rating on Cl. D Notes
SPRINGLEAF FUNDING 2017-A: S&P Assigns 'BB' Rating on Cl. D Notes
STRUCTURED ASSET 2005-8: Moody's Hikes Cl. M1 Notes Rating to Ba1
TELOS CLO 2014-5: S&P Affirms 'BB' Rating on Class E Notes
THL CREDIT 2013-1: S&P Assigns Prelim. 'BB' Rating on Cl. D-R Debt
TOWD POINT 2017-3: Fitch to Rate Class B2 Notes 'Bsf'
VNDO 2013-PENN: S&P Affirms 'BB-' Rating on Cl. E Certificates
WACHOVIA BANK 2005-C18: Moody's Affirms B1 Rating on Class G Certs
WELLS FARGO 2012-LC5: Fitch Affirms Bsf Rating on Class F Certs
WELLS FARGO 2016-BNK1: Fitch Affirms B-sf Rating on 2 Tranches
WESTCHESTER CLO: S&P Affirms 'B+' Rating on Class E Notes
WOODMONT 2017-2 TRUST: S&P Assigns BB- Rating on Class E Notes
ZAIS CLO 1: S&P Affirms 'B' Rating on Class E Notes
[*] Moody's Hikes $1.2MM of Subprime RMBS Issued 2005-2007
[*] Moody's Hikes $93MM of Subprime RMBS Issued 2002-2004
[*] Moody's Takes Action on $10MM of RMBS Issued 2004-2005
[*] Moody's Takes Action on $480MM of RMBS Issued 2004-2007
[*] Moody's Takes Action on $809MM of RMBS Issued 2001-2007
[*] Moody's Takes Action on $87MM of RMBS Issued 2015-2016
[*] S&P Completes Review on 56 Classes From 8 US RMBS Deals
[*] S&P Takes Various Actions on 43 Classes From 12 US RMBS Deals
*********
ALESCO PREFERRED V: Moody's Hikes Rating on 3 Tranches to Caa1
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by ALESCO Preferred Funding V, Ltd.:
US$189,000,000 Class A-1 First Priority Senior Secured Floating
Rate Notes Due 2034 (current outstanding balance of $64,923,756),
Upgraded to Aa1 (sf); previously on January 6, 2016 Upgraded to Aa2
(sf)
US$42,000,000 Class A-2 Second Priority Senior Secured Floating
Rate Notes Due 2034, Upgraded to Aa3 (sf); previously on January 6,
2016 Upgraded to A1 (sf)
US$10,000,000 Class B Deferrable Third Priority Secured Floating
Rate Notes Due 2034 (current outstanding balance including deferred
interest of $10,615,266), Upgraded to A3 (sf); previously on
January 6, 2016 Upgraded to Baa1 (sf)
US$42,350,000 Class C-1 Deferrable Mezzanine Secured Floating Rate
Notes Due 2034 (current outstanding balance including deferred
interest of $45,515,935), Upgraded to Caa1 (sf); previously on
January 6, 2016 Upgraded to Caa2 (sf)
US$37,700,000 Class C-2 Deferrable Mezzanine Secured Fixed/Floating
Rate Notes Due 2034 (current outstanding balance including deferred
interest of $40,838,472) Upgraded to Caa1 (sf); previously on
January 6, 2016 Upgraded to Caa2 (sf)
US$4,450,000 Class C-3 Deferrable Mezzanine Secured Fixed/Floating
Rate Notes Due 2034 (current outstanding balance including deferred
interest of $5,540,962), Upgraded to Caa1 (sf); previously on
January 6, 2016 Upgraded to Caa2 (sf)
US$5,000,000 Series I Combination Notes Due 2034 (current rated
balance of $3,387,821), Upgraded to Aa1 (sf); previously on January
6, 2016 Upgraded to Aa2 (sf)
US$4,150,000 Series II Combination Notes Due 2034 (current rated
balance of $1,591,230), Upgraded to Ba3 (sf); previously on January
6, 2016 Upgraded to B2 (sf)
ALESCO Preferred Funding V, Ltd, issued in September 2004, is a
collateralized debt obligation (CDO) backed mainly by a portfolio
of bank and insurance trust preferred securities (TruPS).
The Series I Combination Notes are composed of $3,500,000 of the
Class A-2 notes and $1,500,000 of the Class C-1 notes. The Series
II Combination Notes are composed of $2,150,000 of the Class C-3
notes and $2,000,000 of Preferred Shares.
RATINGS RATIONALE
The rating actions are primarily a result of the deleveraging of
the Class A-1 notes and an increase in the transaction's
over-collateralization (OC) ratios since September 2016.
The Class A-1 notes have paid down by approximately 27% or $24
million since September 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 B, Class C and Class D notes have
improved to 323.3%, 196.3%, 178.6%, 100.2%, and 96.9%,
respectively, compared to September 2016 levels of 259.1%, 175.2%,
162.8%, 98.7%, and 95.8%, respectively. The Class A-1 notes will
continue to benefit from the diversion of excess interest as long
as the Class B/C/D OC test continues to fail (current level of
97.5% versus a trigger of 102.6%) and the use of proceeds from
redemptions of any assets in the collateral pool.
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. Moody's maintains its stable outlook on the US insurance
sector.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's current
expectations could have a positive impact on the transaction's
performance. Conversely, asset credit performance weaker than
Moody's current expectations could have adverse consequences on the
transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and excess
interest proceeds will continue and at what pace. Note repayments
that are faster than Moody's current expectations could have a
positive impact on the notes' ratings, beginning with the notes
with the highest payment priority.
4) 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 567)
Class A-1: +1
Class A-2: +2
Class B: +2
Class C-1: +1
Class C-2: +1
Class C-3: +1
Class D: 0
Series I Combination: +1
Series II Combination: +3
Assuming a two-notch downgrade to assets with below-investment
grade ratings or rating estimates (WARF of 1502)
Class A-1: -1
Class A-2: -2
Class B: -3
Class C-1: -2
Class C-2: -2
Class C-3: -2
Class D: 0
Series I Combination: -1
Series II Combination: -2
Loss and Cash Flow Analysis:
Moody's applied a Monte Carlo simulation framework in Moody's
CDROM(TM) to model the loss distribution for TruPS CDOs. The
simulated defaults and recoveries for each of the Monte Carlo
scenarios defined the reference pool's loss distribution. Moody's
then used the loss distribution as an input in its CDOEdge(TM) cash
flow model. CDROM(TM) is available on www.moodys.com under Products
and Solutions -- Analytical models, upon receipt of a signed free
license agreement.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool has having a performing par of $209.9 million,
defaulted par of $37.2 million, a weighted average default
probability of 9.95% (implying a WARF of 944), and a weighted
average recovery rate upon default of 10.0%.
In addition to the quantitative factors Moody's explicitly models,
qualitative factors are part of rating committee considerations.
Moody's considers the structural protections in the transaction,
the risk of an event of default, recent deal performance under
current market conditions, the legal environment and specific
documentation features. All information available to rating
committees, including macroeconomic forecasts, inputs from other
Moody's analytical groups, market factors, and judgments regarding
the nature and severity of credit stress on the transactions, can
influence the final rating decision.
The portfolio of this CDO contains mainly TruPS issued by small to
medium sized U.S. community banks and insurance companies that
Moody's does not rate publicly. To evaluate the credit quality of
bank TruPS that do not have public ratings, Moody's uses
RiskCalc(TM), an econometric model developed by Moody's Analytics,
to derive credit scores. Moody's evaluation of the credit risk of
most of the bank obligors in the pool relies on the latest FDIC
financial data. For insurance TruPS that do not have public
ratings, Moody's relies on the assessment of its Insurance team,
based on the credit analysis of the underlying insurance firms'
annual statutory financial reports.
AMAC CDO I: Fitch Withdraws 'Csf' Rating on Class F Notes
---------------------------------------------------------
Fitch Ratings has withdrawn ratings on three classes of Resource
Real Estate Funding CDO 2007-1 Ltd./LLC (RRE 2007-1) and one class
of AMAC CDO Funding I (AMAC CDO).
KEY RATING DRIVERS
The rating withdrawals for RRE 2007-1 are the result of note
cancellations. The remaining class of AMAC CDO was withdrawn due to
lack of investor interest.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch has withdrawn the following RRE 2007-1 ratings:
-- Class K 'CCCsf';
-- Class L 'CCCsf';
-- Class M 'CCsf.
Fitch has withdrawn the following AMAC CDO rating:
-- Class F 'Csf.
ANGEL OAK 2017-2: DBRS Gives Prov. B Rating on Class B-2 Debt
-------------------------------------------------------------
DBRS, Inc. on June 28, 2017, assigned the following provisional
ratings to the Mortgage-Backed Certificates, Series 2017-2 (the
Certificates) issued by Angel Oak Mortgage Trust I, LLC 2017-2
(AOMT 2017-2 or the Trust):
-- $131.0 million Class A-1 at AAA (sf)
-- $15.7 million Class A-2 at AA (sf)
-- $22.7 million Class A-3 at A (sf)
-- $15.8 million Class M-1 at BBB (sf)
-- $10.5 million Class B-1 at BB (sf)
-- $7.9 million Class B-2 at B (sf)
The AAA (sf) ratings on the Certificates reflect the 37.75% of
credit enhancement provided by subordinated Certificates in the
pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings
reflect 30.30%, 19.50%, 12.00%, 7.00% and 3.25% 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 fixed- and
adjustable-rate, non-prime first-lien residential mortgages. The
Certificates are backed by 698 loans with a total principal balance
of $210,448,066 as of the Cut-Off Date (June 1, 2017).
Angel Oak Mortgage Solutions LLC (AOMS), Angel Oak Home Loans LLC
(AOHL) and Angel Oak Prime Bridge LLC are the originators for
79.3%, 17.6% and 3.0% of the portfolio, respectively. The mortgages
were originated under the following six programs:
(1) Portfolio Select (67.6%) – Made to borrowers with near-prime
credit scores who are unable to obtain financing through
conventional or governmental channels because (a) they fail to
satisfy credit requirements; (b) they are self-employed and need an
alternate income calculation using 12 or 24 months of bank
statements to qualify; (c) they may have a credit score that is
lower than that required by government-sponsored entity
underwriting guidelines; or (d) they may have been subject to a
bankruptcy or foreclosure 24 or more months prior to origination.
(2) Non-Prime General (7.8%) – Made to borrowers who have not
sustained a housing event in the past 24 months, but whose credit
reports show multiple 30+ and/or 60+ day delinquencies on any
reported debt in the past 12 months.
(3) Non-Prime Recent Housing (6.9%) – Made to borrowers who have
completed or have had their properties subject to a short sale,
deed-in-lieu, notice of default or foreclosure. Borrowers who have
filed for bankruptcy 12 or more months prior to origination or have
experienced severe delinquencies may also be considered for this
program.
(4) Non-Prime Foreign National (6.1%) – Made to investment
property borrowers who are citizens of foreign countries and who do
not reside or work in the United States. Borrowers may use
alternative income and credit documentation. Income is typically
documented by the employer or accountant, and credit is verified by
letters from overseas credit holders.
(5) Non-Prime Investment Property (0.8%) – Made to real estate
investors who may have financed up to five mortgaged properties
with the originators (or 20 mortgaged properties overall).
(6) Investor Cash Flow (10.8%) – Made to real estate investors
who are experienced in purchasing, renting and managing investment
properties with an established five-year credit history and at
least 24 months of clean housing payment history, but who are
unable to obtain financing through conventional or governmental
channels because (a) they fail to satisfy the requirements of such
programs or (b) may be over the maximum number of properties
allowed. Loans originated under the Investor Cash Flow program are
considered business-purpose and are not covered by the
ability-to-repay (ATR) rules or TRID (TILA-RESPA Integrated
Disclosure) rule.
Select Portfolio Servicing Inc. (SPS) is the servicer for the
loans. Angel Oak Home Loans LLC will act as Servicing
Administrator, and Wells Fargo Bank, N.A. (Wells Fargo) will act as
the Master Servicer. U.S. Bank National Association will serve as
Trustee and Custodian.
Although the mortgage loans were originated to satisfy the Consumer
Financial Protection Bureau (CFPB) ATR rules, they were made to
borrowers who generally do not qualify for agency, government or
private label non-agency prime jumbo products for various reasons
described above. In accordance with the CFPB Qualified Mortgage
(QM) rules, none of the loans are designated as QM Safe Harbor,
1.0% as QM Rebuttable Presumption and 75.9% as non-QM.
Approximately 23.1% of the loans are for investment properties and
thus not subject to the QM rules.
The servicing administrator or servicer will generally fund
advances of delinquent principal and interest on any mortgage until
such loan becomes 180 days delinquent, and they are obligated to
make advances in respect of taxes, insurance premiums and
reasonable costs incurred in the course of servicing and disposing
of properties.
On or after the distribution date in July 2019, the Depositor has
the option to purchase all of the outstanding certificates at a
price equal to the outstanding class balance plus accrued and
unpaid interest, including any cap carryover amounts.
The transaction employs a sequential-pay cash flow structure with a
pro rata principal distribution among the senior tranches.
Principal proceeds can be used to cover interest shortfalls on the
Certificates as the outstanding senior Certificates are paid in
full. Further, excess spread can be used to cover realized losses
first before being allocated to unpaid cap carryover amounts up to
the Class B-1 Certificates.
ANGEL OAK 2017-2: S&P Assigns Prelim. 'B' Rating on Cl. B-2 Certs
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Angel Oak
Mortgage Trust I LLC 2017-2's $203.609 million mortgage
pass-through certificates.
The certificate issuance is a 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,
two- to four-family residences, townhomes, and condominiums to
nonconforming borrowers.
The preliminary ratings are based on information as of June 28,
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 originator concentration.
RELIMINARY RATINGS ASSIGNED
Deephaven Residential Mortgage Trust 2017-2
Class Rating(i) Amount
A-1 AAA (sf) 131,004,000
A-2 AA (sf) 15,678,000
A-3 A (sf) 22,729,000
M-1 BBB (sf) 15,783,000
B-1 BB (sf) 10,523,000
B-2 B (sf) 7,892,000
B-3 NR 6,839,065
XS NR Notional(ii)
R NR N/A
(i) The rating on each class of securities is preliminary and
subject to change at any time. The collateral and structural
information in this report reflects the preliminary term sheet
dated June 27, 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 certificates.
NR--Not rated.
N/A--Not applicable.
BANC OF AMERICA 2007-1: Fitch Cuts Ratings on 2 Tranches to BBsf
----------------------------------------------------------------
Fitch Ratings has downgraded two and affirmed 14 classes of Banc of
America Commercial Mortgage Trust, commercial mortgage pass-through
certificates, series 2007-1 (BACM 2007-1).
KEY RATING DRIVERS
High Loss Expectations: Although credit enhancement has improved
significantly from loan payoffs since Fitch's last rating action,
the downgrades to classes A-MFX and A-MFL reflect the higher loss
expectations on the remaining specially serviced loans/assets in
the pool and pool concentration and adverse selection concerns.
Pool Concentrations: The pool is concentrated with 16 of the
original 163 loans remaining. The largest asset, the Skyline
Portfolio, represents 59.7% of the current pool and became
real-estate owned (REO) in December 2016. Due to the concentrated
nature of the pool, the ratings reflect a sensitivity analysis
which grouped the remaining loans based on structural features,
collateral quality and performance, as well as by the perceived
likelihood of repayment.
Adverse Selection: Fitch has designated 14 loans (90.8% of pool) as
Fitch Loans of Concern (FLOCs). They include 11 loans/assets
(79.5%) currently in special servicing, two loans (8.4%) previously
modified into A/B notes still have not reached stabilization, and
one underperforming office loan (2.9%) with continued occupancy and
cash flow declines over the past few years. The remaining two loans
not designated as FLOCs are secured by single-tenant office
properties located in Hilliard, OH and Whippany, NJ where the
single tenant's lease maturity is co-terminus with the loan's
maturity.
The largest asset, Skyline Portfolio (59.7%), which is a portfolio
of eight office buildings totaling 2.6 million square feet and
located in Falls Church, VA, transferred back to the special
servicer for a second time in April 2016 for imminent default.
Portfolio performance had not improved since the loan was modified
in October 2013 and returned to the master servicer in February
2014. The sponsor was not willing to contribute any additional
funds to the portfolio and agreed to a cooperative transition of
the portfolio to REO. The properties were foreclosed upon in
December 2016. Overall portfolio occupancy was 45.9% in December
2016, with the six older Skyline buildings (Skyline One through
Six) being 24.5% leased, while One Skyline Tower was 97% leased and
Seven Skyline Place was 70% leased. The special servicer is still
determining workout strategy at this time, while addressing leasing
and deferred maintenance items. The loan had first transferred to
special servicing in March 2012 for imminent default as portfolio
occupancy was negatively impacted by the Base Realignment and
Closure statute. The October 2013 loan modification bifurcated the
total debt into a $350 million A-note and a $328 million B-note
(trust portion, $140 million A-note and $131.2 million B-note). The
loan's maturity had been extended to February 2022, with a one-year
extension option if certain performance metrics are attained.
As of the June 2017 distribution date, the pool's aggregate
principal balance has been reduced by 85.5% to $457.4 million from
$3.15 billion at issuance. Since Fitch's last rating action, the
pool has paid down by over $1 billion (68.8% of the outstanding
balance at the last rating action). Interest shortfalls totaling
$53.5 million are currently affecting classes A-J through Q.
RATING SENSITIVITIES
The Rating Outlook on classes A-MFX and A-MFL remains Negative due
to the high concentration of specially serviced loans/assets in the
pool and the uncertainty surrounding their ultimate workout and
resolution timeframe. Further downgrades are possible should
valuations of the loans/assets in special servicing drop
significantly or prolonged workouts occur. Downgrades to the
remaining distressed classes will occur as losses are realized.
Upgrades are not expected due to adverse selection and significant
losses anticipated on the remaining pool.
Fitch has downgraded the following classes:
-- $78.3 million class A-MFX to 'BBsf' from 'BBBsf'; Outlook
Negative;
-- $21.9 million class A-MFL to 'BBsf' from 'BBBsf'; Outlook
Negative.
In addition, Fitch has affirmed the following classes:
-- $259.5 million class A-J at 'Csf'; RE 10%;
-- $27.5 million class B at 'Csf'; RE 0%;
-- $35.4 million class C at 'Csf'; RE 0%;
-- $20.2 million class D at 'Dsf'; RE 0%;
-- $0 class E at 'Dsf'; RE 0%;
-- $0 class F at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%.
Classes A-1, A-2, A-3, A-AB, A-4 and A-1A have paid in full. Fitch
does not rate the fully depleted class Q. Fitch previously withdrew
the rating on the interest-only class XW and the $14.6 million
class A-MFX2.
BAYVIEW OPPORTUNITY 2017-SPL5: DBRS Finalizes B Rating on B5 Debt
-----------------------------------------------------------------
DBRS, Inc. on June 29, 2017, finalized its provisional ratings on
the following Mortgage-Backed Securities, Series 2017-SPL5 (the
Notes) issued by Bayview Opportunity Master Fund IVa Trust
2017-SPL5 (the Trust):
-- $253.0 million Class A at AAA (sf)
-- $253.0 million Class A-IOA at AAA (sf)
-- $253.0 million Class A-IOB at AAA (sf)
-- $26.8 million Class B1 at AA (sf)
-- $26.8 million Class B1-IOA at AA (sf)
-- $26.8 million Class B1-IOB at AA (sf)
-- $16.5 million Class B2 at A (sf)
-- $16.5 million Class B2-IO at A (sf)
-- $18.8 million Class B3 at BBB (sf)
-- $18.8 million Class B3-IOA at BBB (sf)
-- $18.8 million Class B3-IOB at BBB (sf)
-- $16.5 million Class B4 at BB (sf)
-- $16.5 million Class B4-IOA at BB (sf)
-- $16.5 million Class B4-IOB at BB (sf)
-- $13.0 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 34.00% of credit
enhancement provided by subordinated Notes in the pool. The AA
(sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 27.00%,
22.70%, 17.80%, 13.50% and 10.10% 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 8,003 loans with a total interest-bearing
principal balance of $383,291,272 as of the Cut-off Date (May 31,
2017).
The portfolio comprises 96.4% daily simple interest loans and has
an average original loan size of $65,487. The loans are
approximately 135 months seasoned, and all are current as of the
Cut-off Date, including 1.8% bankruptcy-performing loans.
Approximately 95.5% 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
delinquency methods. Approximately 31.7% of the loans have been
modified, 99.8% of which happened more than two years ago. Within
the pool, 3,626 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 IVa Depositor, LLC (the Depositor) acquired the
loans from CitiFinancial Credit Company and its lending
subsidiaries during the period from March 2016 through March 2017
and subsequently transferred the loans to various transferring
trusts owned by Bayview Opportunity Master Fund IVa 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 an RMBS transaction with seasoned
collateral; however, the transaction employs a representations and
warranties framework that includes an unrated representation
provider (Bayview Opportunity Master Fund IVa 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 a
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.
BAYVIEW OPPORTUNITY 2017-SPL5: Fitch Rates Class B5 Notes 'Bsf'
---------------------------------------------------------------
Fitch Ratings has assigned the following ratings to Bayview
Opportunity Master Fund IVa Trust 2017-SPL5:
-- $252,972,000 class A notes 'AAAsf'; Outlook Stable;
-- $252,972,000 class A-IOA notional notes 'AAAsf'; Outlook
Stable;
-- $252,972,000 class A-IOB notional notes 'AAAsf'; Outlook
Stable;
-- $26,830,000 class B1 notes 'AAsf'; Outlook Stable;
-- $26,830,000 class B1-IOA notional notes 'AAsf'; Outlook
Stable;
-- $26,830,000 class B1-IOB notional notes 'AAsf'; Outlook
Stable;
-- $16,482,000 class B2 notes 'Asf'; Outlook Stable;
-- $16,482,000 class B2-IO notional notes 'Asf'; Outlook Stable;
-- $18,781,000 class B3 notes 'BBBsf'; Outlook Stable;
-- $18,781,000 class B3-IOA notional notes 'BBBsf'; Outlook
Stable;
-- $18,781,000 class B3-IOB notional notes 'BBBsf'; Outlook
Stable;
-- $16,481,000 class B4 notes 'BBsf'; Outlook Stable;
-- $16,481,000 class B4-IOA notional notes 'BBsf'; Outlook
Stable;
-- $16,481,000 class B4-IOB notional notes 'BBsf'; Outlook
Stable;
-- $13,032,000 class B5 notes 'Bsf'; Outlook Stable.
The following classes will not be rated by Fitch:
-- $38,713,271 class B6 notes;
-- $38,713,271 class B6-IO notional notes.
The notes are supported by a pool of 8,003 seasoned performing and
re-performing loans (RPL) totaling $383.29 million, which excludes
$11.2 million in non-interest-bearing deferred principal amounts,
as of the cutoff date. Of the total interest-bearing pool balance,
96.4% are daily simple interest mortgage loans. Distributions of
principal and interest and loss allocations are based on a
sequential pay, senior subordinate structure.
The 'AAAsf' rating on the class A, A-IOA and A-IOB notes reflects
the 34.00% subordination provided by the 7.00% class B1, 4.30%
class B2, 4.90% class B3, 4.30% class B4, 3.40% class B5, and
10.10% class B6 notes.
Fitch's ratings on the notes reflect the credit attributes of the
underlying collateral, the quality of the servicer (Bayview Loan
Servicing, LLC, rated 'RSS2+'), the representation (rep) and
warranty framework, minimal due diligence findings, and the
sequential pay structure.
KEY RATING DRIVERS
Clean Current Loans (Positive): The loans are seasoned
approximately 11 years with 95.5% paying on time for the past 24
months and 92.0% for the past three years. In addition, 31.7% have
been modified due to performance issues, while the remaining loans
were either not modified (35.7%) or had their interest rates
reduced due to a rate reduction rider at origination (32.6%).
Low Property Values (Concern): Based on Fitch's analysis, the
average current property value of the pool is approximately
$93,000, which is much lower than the average of other Fitch-rated
RPL transactions of over $150,000. Historical data from CoreLogic
Loan Performance indicate that recently observed loss severities
(LS) have been higher for much lower property values than implied
by Fitch's loan loss model. For this reason, loss severity (LS)
floors were applied to loans with property values below $99,000,
which increased the 'AAAsf' loss expectation by roughly 280 basis
points (bps).
Daily Simple Interest Loans (Concern):
Approximately 96% of the pool consists of daily simple interest
loans that accrue interest on a daily basis from the date of the
borrower's last payment. While the monthly payment is fixed, if a
borrower pays earlier than the due date, less of the payment is
applied to interest and more is applied to principal. If the
borrower pays late, more of the payment is applied to interest and
less goes to principal.
Because the bonds pay on a 30/360 day schedule, Fitch analyzed the
risk of a disproportionate number of borrowers paying earlier than
scheduled, which could cause the bonds to become
undercollateralized solely due to the mismatch in application of
payments between the loans and the bonds. Fitch analyzed pay dates
of the borrowers and found that roughly the same number of
borrowers pay either earlier or later than the due date. In
addition, approximately 47% of the borrowers are on autopay, which
mitigates the payment date risk. Furthermore, Fitch believes the
excess interest generated by the later-pay borrowers that is
available to pay down principal should offset the risk of
undercollateralization.
Portfolio Loans from a Single Originator (Positive): This
transaction consists of a portfolio of loans that Bayview Asset
Management (BAM) purchased from CitiFinancial Credit Company and
its lending subsidiaries (CitiFinancial). Given that roughly 94% of
the loans were originated and serviced by a single originator prior
to sale to BAM, Fitch believes that the approximately 21%
compliance, data integrity and pay history sample is sufficient to
capture the potential risk of incomplete files that could accompany
portfolios traded in the secondary market. A full custodial file
review was conducted on 100% of the pool, and a tax and title
search was conducted on over 99% of the pool. In addition, BAM,
with the guidance of Bayview Loan Servicing, LLC (BLS; as servicer
and rated 'RSS2+' by Fitch), reconstructed the past three years of
pay histories for 100% of the loans.
No Servicer P&I Advances (Mixed): The servicer will not be
advancing delinquent monthly payments of P&I, which reduces
liquidity to the trust. However, as P&I advances made on behalf of
loans that become delinquent and eventually liquidate reduce
liquidation proceeds to the trust, the loan-level LS are less for
this transaction than for those where the servicer is obligated to
advance P&I. Structural provisions and cash flow priorities,
together with increased subordination, provide for timely payments
of interest to the 'AAAsf' and 'AAsf' rated classes.
Sequential-Pay Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure, whereby the subordinate
classes do not receive principal until the senior classes are
repaid in full. Losses are allocated in reverse-sequential order.
In addition, 40bps from the interest remittance amount will be used
to pay down principal as well as any excess interest allocation
from the loan-level daily interest accrual calculation. The
provision to re-allocate principal to pay interest on the 'AAAsf'
and 'AAsf' rated notes prior to other principal distributions, as
well as the application of excess interest to the notes, is highly
supportive of timely interest payments to those classes, in the
absence of servicer advancing.
Potential Interest Deferrals (Mixed):
To address the lack of an external P&I advance mechanism, principal
otherwise distributable to the notes may be used to pay monthly
interest. While this helps to provide stability in the cash flows
to the high investment-grade-rated bonds, the lower-rated bonds may
experience long periods of interest deferral and will generally not
be repaid until the note becomes the most senior outstanding.
Per Fitch's criteria, Fitch may assign ratings of up to 'Asf' on
notes that incur deferrals if such deferrals are permitted under
terms of the transaction documents, provided such amounts are fully
recovered well in advance of the legal final maturity under the
relevant rating stress.
Tier I Representation Framework (Positive): Fitch considers the
transaction's representation, warranty and enforcement (RW&E)
mechanism framework to be consistent with Tier I quality. The
transaction benefits from life-of-loan representations and
warranties (R&Ws), as well as a backstop by BAM in the event the
sponsor, Bayview Opportunity Master Fund IVa, L.P., is liquidated
or terminated.
Solid Alignment of Interest (Positive): The sponsor, Bayview
Opportunity Master Fund IVa, L.P., will acquire and retain a 5%
vertical interest in each class of the securities to be issued. In
addition, the sponsor will also be the rep provider until at least
January 2024. If the fund is liquidated or terminated, BAM will be
obligated to provide a remedy for material breaches of R&Ws.
CRITERIA APPLICATION
Fitch's analysis incorporated three criteria variations from 'U.S.
RMBS Seasoned, Re-Performing and Non-Performing Loan Criteria,'
which are described below.
The first variation is the less than 100% third-party review (TPR)
due diligence review for regulatory compliance, data integrity and
pay history. Tax and title review was conducted on approximately
99% of the pool, and a custodial file review was conducted on 100%
of the pool. The remaining tax and title review will be performed
post-close. The less than 100% TPR review is consistent with
Fitch's criteria for seasoned performing pools. However, because
Fitch's criteria state Fitch views pools as seasoned-performing if
they consist of loans that were never modified, a criteria
variation was made. Without this variation, the pool would have had
to have 100% compliance, data integrity and pay history TPR review
to achieve a 'AAAsf' rating.
Fitch is comfortable with the reduced due diligence sample because
roughly 94% of the loans were originated by a single lender and the
sample provided is sufficient to provide a reliable indication of
the operational quality of the lender.
The second variation is the use of Clear Capital's HDI valuation
product as updated property values instead of an automated
valuation model (AVM). Fitch's criteria allow for the use of an AVM
product as updated values if there are sufficient compensating
factors. Clear Capital's HDI product is not an AVM but, rather, an
indexation product. Clear Capital is a reputable third-party vendor
that provides valuation services.
A review of the HDI product's white paper indicates values are
based on a robust data set that goes down to the neighborhood level
and incorporates real estate owned (REO) sales. Fitch believes the
HDI product to be an adequate alternative to an AVM. The HDI
product was only used for loans that were clean-current for the
prior 24 months and had a loan to value (LTV)
BEAR STEARNS 2004-PWR5: Fitch Hikes Rating on Class M to 'BBsf'
---------------------------------------------------------------
Fitch Ratings has upgraded four, downgraded one and affirmed four
classes of Bear Stearns Commercial Mortgage Securities Trust,
commercial mortgage pass-through certificates, series 2004-PWR5.
KEY RATING DRIVERS
The upgrades to classes J through M reflect increased credit
enhancement, significant defeasance and better recoveries than
previously expected on two real-estate owned (REO) asset
dispositions since Fitch's last rating action. The downgrade
reflects realized losses incurred by class N as a result of these
REO dispositions. As of the June 2017 distribution date, the pool's
aggregate principal balance has been reduced by 95% to $61.2
million from $1.23 billion at issuance.
Pool Concentration: The pool is highly concentrated with only nine
of the original 130 loans remaining. Due to the concentrated nature
of the pool, Fitch performed a sensitivity analysis that grouped
the remaining loans based on loan structural features, collateral
quality and performance, which ranked them by their perceived
likelihood of repayment. The ratings reflect this sensitivity
analysis.
Defeasance: The two largest loans, representing 78% of the pool,
are defeased. The remaining seven loans (22%) are fully
amortizing.
Specially Serviced Loan: One small loan (0.9% of current pool),
which is secured by a single-tenant theatre property located in
Layton, UT, was recently transferred to special servicing at the
end of May 2017 for non-monetary default stemming around the
tenant's upcoming November 2017 lease expiration. Should the tenant
not renew for a minimum of five years at a minimum specified lease
rate, the borrower would be required to fund an escrow account for
tenant improvement and leasing commission. The special servicer
indicated the theatre tenant has exercised its next five-year
extension option through November 2022, with three additional
five-year extension options remaining.
Loan Maturities: Loan maturities are concentrated in 2019 (86% of
current pool) and 2024 (14%).
RATING SENSITIVITIES
The Stable Outlooks on classes F through L reflect the increasing
credit enhancement, expected continued amortization and stable pool
performance. Classes F through K are covered by defeased
collateral. Class L is covered by fully amortizing, lowly leveraged
loans with continued stable performance. Class M is covered by
fully amortizing loans secured by properties in secondary markets
with upcoming rollover concerns over the next year. Further
upgrades to classes L and M may be limited due to the increasing
concentration of the remaining pool. Downgrades are not likely as
any future losses would be absorbed by Class N.
Fitch has upgraded and assigned Rating Outlooks to the following
classes:
-- $4.6 million class J to 'AAAsf' from 'Asf'; Outlook Stable;
-- $4.6 million class K to 'AAAsf' from 'BBsf'; Outlook Stable;
-- $6.2 million class L to 'Asf' from 'Bsf'; Outlook Stable;
-- $4.6 million class M to 'BBsf' from 'CCsf'; Outlook Stable
assigned.
Fitch has downgraded the following class:
-- $3.8 million class N to 'Dsf' from 'Csf'; RE 70%.
In addition, Fitch has affirmed the following classes:
-- $9.7 million class F at 'AAAsf'; Outlook Stable;
-- $9.3 million class G at 'AAAsf'; Outlook Stable;
-- $18.5 million class H 'AAAsf'; Outlook Stable;
-- $0 class P at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-4, A-5, B, C, D and E certificates have
paid in full. Fitch does not rate the fully-depleted class Q
certificates. Fitch previously withdrew the ratings on the
interest-only class X-1 and X-2 certificates.
BENEFIT STREET II: S&P Assigns BB- Rating on Class D-R Debt
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R,
B-R, C-R, and D-R replacement notes, as well as the new class X
notes, from Benefit Street Partners CLO II Ltd., a collateralized
loan obligation (CLO) originally issued in 2013 that is managed by
Benefit Street Partners LLC. S&P withdrew its ratings on the
original class A-1, A-2A, A-2B, B, C, and D notes following payment
in full on the June 29, 2017, refinancing date.
On the June 29, 2017, refinancing date, the proceeds from the
issuance of the replacement notes were used to redeem the original
notes. Therefore, S&P withdrew its ratings on the original notes in
line with their full redemption, and it assigned ratings to the
replacement notes.
The replacement notes were issued via a supplemental indenture.
Based on the provisions in the amended and restated indenture:
- The replacement class A-1-R, C-R, and D-R notes were issued at
a higher spread than the original notes.
- The replacement class B-R notes were issued at a lower spread
than the original notes.
- The replacement class A-2-R notes were issued at a floating
spread, replacing the current class A-2A floating-rate and A-2B
fixed-coupon notes.
- The stated maturity, reinvestment period, and weighted average
life test dates were each extended four years.
- The class X notes were issued at closing.
The assigned ratings, including the class C-R note rating, which
S&P changed from its preliminary rating, reflect its opinion that
the credit support available is commensurate with the associated
rating levels and based on updated information on the underlying
portfolio.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take further rating actions
as we deem necessary."
RATINGS ASSIGNED
Benefit Street Partners CLO II Ltd.
Replacement class Rating Amount (mil. $)
X AAA (sf) 5.00
A-1-R AAA (sf) 307.50
A-2-R AA (sf) 61.90
B-R (deferrable) A (sf) 40.00
C-R (deferrable) BBB (sf) 28.10
D-R (deferrable) BB- (sf) 22.50
RATINGS WITHDRAWN
Benefit Street Partners CLO II Ltd.
Rating
Class To From
A-1 NR AAA (sf)
A-2A NR AA+ (sf)
A-2B NR AA+ (sf)
B NR A+ (sf)
C NR BBB (sf)
D NR BB (sf)
OUTSTANDING RATING
Benefit Street Partners CLO II Ltd.
Class Rating
Subordinated notes NR
NR--Not rated.
BUSINESS LOAN 2006-1: S&P Affirms 'CCC-(sf)' Rating on Cl. A Notes
------------------------------------------------------------------
S&P Global Ratings affirmed its 'CCC-(sf)' rating on the class A
notes from Business Loan Express SBA Loan Trust 2006-1.
The transaction is an asset-backed securities transaction
collateralized by a pool of unguaranteed Small Business Association
Section 7(a) loans, which are primarily backed by first liens on
commercial real estate. The transaction distributes principal
payments on a pro rata basis. It does not have a reserve account;
credit enhancement consists of a subordinated unrated B class and
excess spread.
As of the April 2017 servicer report, this transaction has paid
down to approximately 14.0% of its original outstanding balance
from approximately 24.7% as of our June 2014 rating action. There
are 81 loans remaining in the pool as of the April 2017 servicer
report. S&P said, "In our analysis, we considered the largest
obligor default test, which constrained the rating. The five
largest obligors represent approximately 17.4% of the pool, up from
12.4% in the April 2014 servicer report, and the 10 largest
represent approximately 30.8% of the pool, up from approximately
22.0%. As of April 2017, four loans were delinquent or in default,
totaling approximately 1.62% of the pool, down from approximately
13.6% in April 2014. The portfolio's cumulative net loss has
remained stable for the past 20 months, at approximately 17.0% of
the original pool balance.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take further rating actions
as we deem necessary."
CANYON CAPITAL 2006-1: Moody's Ups Rating to Cl. E Notes From Ba2
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Canyon Capital CLO 2006-1 Ltd.:
US$22,800,000 Class C Floating Rate Deferrable Notes Due 2020,
Upgraded to Aaa (sf); previously on December 1, 2016 Affirmed Aa1
(sf)
US$22,800,000 Class D Floating Rate Deferrable Notes Due 2020,
Upgraded to A2 (sf); previously on December 1, 2016 Upgraded to A3
(sf)
US$13,300,000 Class E Floating Rate Deferrable Notes Due 2020,
Upgraded to Baa3 (sf); previously on December 1, 2016 Upgraded to
Ba2 (sf)
Moody's also affirmed the ratings on the following notes:
US$226,000,000 Class A-1 Senior Floating Rate Notes Due 2020
(current outstanding balance of $170,004,535.56), Affirmed Aaa
(sf); previously on December 1, 2016 Affirmed Aaa (sf)
US$40,000,000 Class A-2 Senior Variable Funding Floating Rate Notes
Due 2020 (current outstanding balance of $30,089,298.34), Affirmed
Aaa (sf); previously on December 1, 2016 Affirmed Aaa (sf)
US$15,200,000 Class B Floating Rate Notes Due 2020, Affirmed Aaa
(sf); previously on December 1, 2016 Affirmed Aaa (sf)
Canyon Capital CLO 2006-1 Ltd., issued in August 2006, is a
collateralized loan obligation (CLO) backed primarily by a
portfolio of senior secured loans. The transaction's reinvestment
period ended in September 2012.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since December 2016. The Class
A-1 and A-2 notes collectively have been paid down by approximately
10% or $22.1 million since that time. Based on the trustee's June
2017 report, the OC ratios for the Class A/B, Class C, Class D and
Class E notes are reported at 138.28%, 125.55%, 114.97% and
109.59%, respectively, versus December 2016 levels of 133.31%,
121.63%, 111.84% and 106.82%, respectively.
The deal has benefited from an improvement in the credit quality of
the portfolio since December 2016. Based on the trustee's June 2017
report, the weighted average rating factor (WARF) is currently 2081
compared to 2241 in December 2016.
Nevertheless, the portfolio's weighted average recovery rate (WARR)
has decreased since December 2016 owing to the deal's increased
exposure to non-senior secured loans and bonds. Based on the
trustee's June 2017 report, the WARR has decreased to 47.19%
compared to 51.16% in December 2016.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
October 2016.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy and b)
the large concentration of upcoming speculative-grade debt
maturities, which could make refinancing difficult for issuers.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO documentation
by different transactional parties owing to embedded ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current expectations,
can lead to positive CLO performance. Conversely, a negative shift
in credit quality or performance of the collateral can have adverse
consequences for CLO performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Moody's notes that the
transaction held a large amount of cash in its principal account,
of $72.2 million based on the June 2017 trustee report, and as such
the manager's decision to reinvest in additional collateral versus
releasing the unscheduled principal proceeds to repay the notes
could impact the speed of note repayment, and thus the notes'
ratings. In addition, deleveraging of the CLO could accelerate
owing to high prepayment levels in the loan market and/or
collateral sales by the manager, which could have a significant
impact on the notes' ratings. Note repayments that are faster than
Moody's current expectations will usually have a positive impact on
CLO notes, beginning with those with the highest payment priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets reported by the trustee and those that Moody's
assumes as having defaulted could result in volatility in the
deal's OC levels. Further, the timing of recoveries and whether a
manager decides to work out or sell defaulted assets create
additional uncertainty. Moody's analyzed defaulted recoveries
assuming the lower of the market price and the recovery rate in
order to account for potential volatility in market prices.
Realization of higher than assumed recoveries would positively
impact the CLO.
6) Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which could
lengthen owing to the manager's decision to reinvest into new issue
loans or loans with longer maturities, or participate in
amend-to-extend offerings. Life extension can increase the default
risk horizon and assumed cumulative default probability of CLO
collateral.
7) Post-Reinvestment Period Trading: Subject to certain
requirements, the deal can reinvest certain proceeds after the end
of the reinvestment period, and as such the manager has the ability
to erode some of the collateral quality metrics to the covenant
levels. Such reinvestment could affect the transaction either
positively or negatively.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Moody's Adjusted WARF - 20% (1820)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: +1
Class D: +2
Class E: +2
Moody's Adjusted WARF + 20% (2730)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: -2
Class D: -2
Class E: -2
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analyzed the collateral pool as having a performing par and
principal proceeds balance of $302.9 million, defaulted par of $1.4
million, a weighted average default probability of 10.61% (implying
a WARF of 2275), a weighted average recovery rate upon default of
46.48%, a diversity score of 35 and a weighted average spread of
2.60% (before accounting for LIBOR floors).
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of the
assets in the collateral pool. In each case, historical and market
performance and the collateral manager's latitude for trading the
collateral are also factors.
CARLYLE US 2017-2: Moody's Assigns Ba3(sf) Rating to Cl. D Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
notes issued by Carlyle US CLO 2017-2, Ltd.
Moody's rating action is:
US$5,000,000 Class X Senior Secured Floating Rate Notes due 2031
(the "Class X Notes"), Assigned Aaa (sf)
US$104,500,000 Class A-1A Senior Secured Floating Rate Notes due
2031 (the "Class A-1A Notes"), Assigned Aaa (sf)
US$285,500,000 Class A-1B Senior Secured Floating Rate Notes due
2031 (the "Class A-1B Notes"), Assigned Aaa (sf)
US$54,700,000 Class A-2A Senior Secured Floating Rate Notes due
2031 (the "Class A-2A Notes"), Assigned Aa2 (sf)
US$13,300,000 Class A-2B Senior Secured Fixed Rate Notes due 2031
(the "Class A-2B Notes"), Assigned Aa2 (sf)
US$32,000,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2031 (the "Class B Notes"), Assigned A2 (sf)
US$38,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C Notes"), Assigned Baa3 (sf)
US$24,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class D Notes"), Assigned Ba3 (sf)
The Class X Notes, the Class A-1A Notes, the Class A-1B Notes, the
Class A-2A Notes, the Class A-2B 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.
Carlyle 2017-2 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90.0% of the portfolio must
consist of senior secured loans and eligible investments, and up to
10.0% of the portfolio may consist of second lien loans and
unsecured loans. The portfolio is approximately 81% ramped as of
the closing date.
Carlyle CLO Management L.L.C. (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's six-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: $600,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2750
Weighted Average Spread (WAS): 3.55%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 47.5%
Weighted Average Life (WAL): 10 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 2750 to 3163)
Rating Impact in Rating Notches
Class X Notes: 0
Class A-1A Notes: -1
Class A-1B Notes: -1
Class A-2A Notes: -2
Class A-2B Notes: -2
Class B Notes: -2
Class C Notes: -1
Class D Notes: 0
Percentage Change in WARF -- increase of 30% (from 2750 to 3575)
Rating Impact in Rating Notches
Class X Notes: 0
Class A-1A Notes: -1
Class A-1B Notes: -1
Class A-2A Notes: -4
Class A-2B Notes: -4
Class B Notes: -4
Class C Notes: -2
Class D Notes: -1
CAVALRY CLO III: S&P Assigns Prelim. BB- Rating on Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class X,
A-R, B-R, C-R, D-R, and E replacement notes from Cavalry CLO III
Ltd., a collateralized loan obligation (CLO) originally issued in
2013 that is managed by Bain Capital Credit L.P. The replacement
notes will be issued via a proposed supplemental indenture.
The preliminary ratings reflect S&P's opinion that the credit
support available is commensurate with the associated rating
levels. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
On the July 25, 2017, refinancing date, the proceeds from the
issuance of the replacement notes are expected to redeem the
original notes. At that time, S&P anticipates withdrawing the
ratings on the original notes and assigning ratings to the
replacement notes. However, if the refinancing doesn't occur, S&P
may affirm the ratings on the original notes and withdraw our
preliminary ratings on the replacement notes.
The replacement notes are being issued via a proposed supplemental
indenture, which will outline the terms of the replacement notes.
Based on provisions in the indenture:
-- The issuer and co-issuer will be renamed Bain Capital Credit
CLO 2017-2 Ltd. and Bain Capital Credit CLO 2017-2 LLC,
respectively, in connection with the refinancing.
-- The transaction will issue additional class X and class E
notes.
-- The replacement class A-R, B-R, and C-R notes are expected to
be issued at a lower spread than the original notes.
-- The replacement class D-R notes are expected to be issued at a
higher spread than the original notes.
-- The stated maturity and reinvestment period will be extended
approximately 4.5 years. The non-call period will be extended
approximately 3.5 years. The transaction will also introduce a
refinancing ramp-up period.
-- The transaction will amend its overcollateralization test
thresholds and interest diversion test threshold.
-- The transaction will add the option for the manager to utilize
the non-model version of Standard & Poor's CDO monitor.
CASH FLOW ANALYSIS RESULTS
Current date after proposed refinancing
Class Amount Interest BDR SDR Cushion
(mil. $) rate (%) (%) (%) (%)
X 1.525 3ML + 1.00 96.60 68.44 28.16
A-R 250.000 3ML + 1.25 70.66 68.44 2.23
B-R 48.750 3ML + 1.80 69.71 60.85 8.86
C-R 37.000 3ML + 2.50 57.92 55.25 2.68
D-R 21.615 3ML + 3.55 50.63 46.10 4.53
E 15.000 3ML + 6.35 42.57 39.78 2.79
Effective date
Class Amount Interest BDR SDR Cushion
(mil. $) rate (%) (%) (%) (%)
A 245.000 3ML + 1.45 75.19 65.96 9.23
B 40.000 3ML + 2.00 75.54 58.09 17.45
C 35.500 3ML + 2.80 64.11 52.25 11.86
D 30.529 3ML + 3.30 52.64 43.15 9.49
3ML--Three-month LIBOR.
BDR--Break-even default rate.
SDR-- Scenario default rate.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take further rating actions
as we deem necessary."
PRELIMINARY RATINGS ASSIGNED
Cavalry CLO III Ltd.
Replacement class Rating Amount (mil. $)
X AAA (sf) 1.525
A-R AAA (sf) 250.000
B-R AA (sf) 48.750
C-R A (sf) 37.000
D-R BBB- (sf) 21.615
E BB- (sf) 15.000
CBAM LTD 2017-1: Moody's Assigns Ba3(sf) Rating to Class E Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
notes issued by CBAM 2017-1, Ltd.
Moody's rating action is:
US$10,000,000 Class X Floating Rate Notes due 2030 (the "Class X
Notes"), Assigned Aaa (sf)
US$750,000,000 Class A-1 Floating Rate Notes due 2030 (the "Class
A-1 Notes"), Assigned Aaa (sf)
US$87,500,000 Class A-2 Fixed Rate Notes due 2030 (the "Class A-2
Notes"), Assigned Aaa (sf)
US$112,500,000 Class B Floating Rate Notes due 2030 (the "Class B
Notes"), Assigned Aa2 (sf)
US$71,250,000 Class C Deferrable Floating Rate Notes due 2030 (the
"Class C Notes"), Assigned A2 (sf)
US$75,000,000 Class D Deferrable Floating Rate Notes due 2030 (the
"Class D Notes"), Assigned Baa3 (sf)
US$53,750,000 Class E Deferrable Floating Rate Notes due 2030 (the
"Class E Notes"), Assigned Ba3 (sf)
The Class X Notes, 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.
CBAM 2017-1 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90.0% of the portfolio must
consist of senior secured loans (including participation interests
with respect to senior secured loans), and up to 10.0% of the
portfolio may consist of collateral obligations that are
second-lien loans and senior unsecured loans. The portfolio is
approximately 96% ramped as of the closing date.
CBAM 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 and from distressed
exchanges, 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: $1,250,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2670
Weighted Average Spread (WAS): 3.325%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 9 years.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
October 2016.
Factors That Would Lead to 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 2670 to 3071)
Rating Impact in Rating Notches
Class X Notes: 0
Class A-1 Notes: 0
Class A-2 Notes: -1
Class B Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2670 to 3471)
Rating Impact in Rating Notches
Class X Notes: 0
Class A-1 Notes: 0
Class A-2 Notes: -3
Class B Notes: -3
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
COLLEGE AVE 2017-A: DBRS Assigns Prov. BB Rating to Class C Debt
----------------------------------------------------------------
DBRS, Inc. June 23, 2017, assigned provisional ratings to the
following classes of notes issued by College Ave Student Loans
2017-A, LLC (College Ave 2017-A):
-- $95,320,000 Class A-1 at A (sf)
-- $43,470,000 Class A-2 at A (sf)
-- $10,760,000 Class B at BBB (sf)
-- $11,340,000 Class C at BB (sf)
The $160.9 million College Ave 2017-A transaction represents the
first asset-backed security (ABS) transaction sponsored by College
Avenue Student Loans, LLC (College Ave).
The provisional ratings are based on DBRS's review of the following
analytical considerations:
-- The transaction's form and sufficiency of available credit
enhancement.
-- Transaction cash flows are sufficient to repay investors under
all A (sf), BBB (sf) and BB (sf) stress scenarios in
accordance with the terms of the College Ave 2017-A
transaction documents.
-- 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
minimum parity levels are not maintained.
-- College Ave's capabilities with regard to originations and
underwriting.
-- The ability of the Servicer to perform collections on the
collateral pool and other required activities.
-- The benefits offered by the existence of a backup servicer,
Pennsylvania Higher Education Assistance Agency.
-- 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 the consistency
with the DBRS "Legal Criteria for U.S. Structured Finance"
methodology.
College Ave 2017-A will use a traditional pass-through structure
with credit enhancement consisting of overcollateralization, a
reserve account, a capitalized interest account, 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 and excess spread. Principal
payments to the Notes, once required overcollateralization targets
are met, will be paid on a pro rata basis. The Notes will be
primarily secured by a single pool of student loans that includes
both variable-rate loans and fixed-rate loans.
COMM 2014-PAT: DBRS Confirms B(sf) Rating on Class F Debt
---------------------------------------------------------
DBRS Limited on June 26, 2017, confirmed all classes of Commercial
Mortgage Pass-Through Certificates, Series 2014-PAT issued by COMM
2014-PAT Mortgage Trust as follows:
-- Class A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class D at BBB (sf)
-- Class E at BB (sf)
-- Class F at B (sf)
All trends are Stable. DBRS does not rate the first loss piece,
Class G.
The rating confirmations reflect the performance of the
transaction. The transaction consists of a $425 million
interest-only single-mortgage loan structured with an initial
two-year term, followed by three one-year extension options. The
whole loan also consists of senior mezzanine ($35 million) and
junior mezzanine ($100 million) loan components. The loan is
structured with a full cash flow sweep reserve to address planned
building improvements and anticipated leasing costs associated with
a significant amount of rollover that has occurred over the past 12
months. The loan is also structured with an original $53.2 million
payment guarantee from the sponsor, Blackstone Real Estate Partners
VII, L.P. (Blackstone), which decreases dollar for dollar as funds
are applied for tenant improvement/leasing commission (TI/LC) costs
for applicable leases.
The loan is secured by the fee interest in a 586,926-square-foot
(sf) 36-story Class A office tower located in Midtown Manhattan,
New York. The subject property is well situated between Park Avenue
and Madison Avenue at East 55th Street with public entrances on
both sides. The collateral consists of 579,694 sf (98.7% of the net
rentable area (NRA)) of office space; 7,232 sf (1.2% of the NRA) of
retail space; and some storage space. An affiliate of Blackstone
acquired the property in July 2014 for $750.0 million, including
$263.0 million in cash equity. Since acquisition, Blackstone has
renovated and rebranded the subject as the "Equity Office," with
lobby renovations ($5.1 million), plaza renovations ($3.9 million),
amenity upgrades ($7.4 million) and ongoing elevator modernization
($5.0 million) projects totaling $21.4 million. Additionally,
Blackstone has completed high-end pre-tenant build-outs to display
the property to prospective tenants.
As of the December 2016 rent roll, the property had an occupancy
and average base rental rate of 35.0% and $86.24 per square foot
(psf), respectively, down from 90.0% occupied and $74.12 psf,
respectively, at issuance. Historically, the property has
maintained stable performance, with an average occupancy rate of
98.5% from 2000 through 2013. Based on leasing updates, the
property is currently 46.0% leased, with an average base rental
rate of $102.38 psf. Four tenants, representing 58.2% of the NRA,
have vacated the property in the past few years, relocating to
other Class A properties in Manhattan. The most notable tenants to
vacate include Paul Hastings LLP (Paul Hastings; 41.0% of the NRA
at issuance), Davidson Kempner Capital Management LLC (Davidson
Kempner; 8.0% of the NRA at issuance), Olshan Grundman Frome
Rosenzweig & Wolosky LLP (5.8% of the NRA at issuance) and the
National Association for Stock Car Auto Racing (3.4% of the NRA at
issuance). Prior to their departure, these tenants had an average
base rental rate of approximately $75.00 psf, which provides the
borrower with upside revenue potential if new tenants sign leases
at higher rental rates. At issuance, DBRS expected the vacancy rate
at the subject to increase, anticipating that there would be
approximately $17.1 million swept into the leasing reserve prior to
the Paul Hastings and Davidson Kempner lease expirations. As of
June 2016, the reserve totaled approximately $16.9 million but has
since been depleted and is not being funded, as there is currently
no excess cash flow given shortfalls because of the increased
vacancy rate. Funds have been used to fund operating expenses,
mezzanine debt service and approved capital expenditures from the
budget as allowed by the loan agreement. In 2016, approximately
$12.2 million in building improvements were approved, while the
remaining disbursements from the reserve were used to fund monthly
shortfalls from June 2016 onward. DBRS has requested the updated
balance of the Blackstone guarantee, as the sponsor has spent an
undisclosed amount of money on TI/LC costs and building renovations
since issuance.
Two tenants at the property, EOTFR, LLC (5.8% of the NRA through
January 2033) and Stephens Inc. (4.3% of the NRA through November
2022) have recently extended their leases and marginally increased
their footprints at the subject. Additionally, EOTFR, LLC has
increased its base rental rate to $95.00 psf from $85.00 psf. The
tenant will receive nine months of rental abatements from June 2017
through March 2018 totaling $2.5 million, as well as annual
abatement periods averaging $0.6 million throughout the remainder
of its leasing term. Blackstone has also signed a new tenant, ICM
Partners (11.4% of the NRA), which will occupy 71,000 sf through
February 2033 at a gross rate of $110 psf. Blackstone has also held
several tours of the property and is in negotiations with four
prospective tenants ranging from 17,000 sf to 33,000 sf; however,
no tenant has signed a letter of intent at this time. According to
the servicer, potential rental rates for prospective tenants range
from $90.00 psf to $200.00 psf. According to CoStar, Class A office
properties in the Plaza District submarket of New York report an
average gross rental rate of $74.51 psf with an average vacancy and
availability rate of 9.8% and 14.8%, respectively. When compared
with the Plaza District submarket of New York, the subject property
maintains a competitive rental rate. The growth in the tenants’
rental rate is indicative of the subject’s desirability and
feasibility of the sponsor’s business plan.
As of YE2016, the loan reported a net cash flow (NCF) of $11.5
million, down from $30.0 million as of YE2015 and the DBRS issuance
figure of $30.6 million. While the YE2016 NCF represents a 62.5%
decline from the DBRS issuance figure, the recent performance
decline is mitigated by the recent capital investments made at the
subject, the potential revenue upside from increased rental rates,
the low market vacancy rate, the amount of cash equity in the
transaction and the strength and experience of the sponsor.
CORONADO CDO: Moody's Hikes Rating on 2 Tranches to Ba1(sf)
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on notes issued
by Coronado CDO, Ltd./Coronado CDO Corp.:
US$377,000,000 Class A-1 Floating Rate Notes Due September 4, 2038
(current outstanding balance of $15,322,047), Upgraded to Ba1 (sf);
previously on November 30, 2016 Upgraded to Ba2 (sf)
US$5,000,000 Class A-2 Fixed Rate Notes Due September 4, 2038
(current outstanding balance of $203,210), Upgraded to Ba1 (sf);
previously on November 30, 2016 Upgraded to Ba2 (sf)
Coronado CDO, Ltd./Coronado CDO Corp., issued in September 2003, is
a collateralized debt obligation backed primarily by a portfolio of
RMBS and CMBS, originated in 1996 to 2006.
RATINGS RATIONALE
These rating actions are due primarily to the deleveraging of the
senior notes and an increase in the transaction's
over-collateralization ratios since November 2016. The Class A-1
and A-2 notes have been paid down collectively by approximately
44.9%, or $12.7 million since then. Based on the trustee's May 2017
report, the over-collateralization ratio of the Class A notes is
reported at 243.7%, versus 180.5% in November 2016.
Notwithstanding the benefits of deleveraging, there is interest
shortfall and interest payments to the Class B notes are
supplemented with principal proceeds in the waterfall. Principal
proceeds in an amount of $0.2 million have been diverted to pay the
Class B interest on the June payment date.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating SF CDOs" published in June 2017.
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) Primary causes of uncertainty about assumptions are the extent
of any deterioration in either consumer or commercial credit
conditions and in the commercial and residential real estate
property markets. Commercial real estate property market is subject
to uncertainty about general economic conditions including
commercial real estate prices, investment activities, and economic
performances. The residential real estate property market's
uncertainties include housing prices; the pace of residential
mortgage foreclosures, loan modifications and refinancing; the
unemployment rate; and interest rates.
2) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from principal proceeds, recoveries from
defaulted assets, and excess interest proceeds will continue and at
what pace. Faster than expected deleveraging could have a
significantly positive impact on the notes' ratings.
3) Recovery of defaulted assets: The amount of recoveries received
from defaulted assets reported by the trustee and those that
Moody's assumes as having defaulted as well as the timing of these
recoveries create additional uncertainty. Moody's analyzed
defaulted assets assuming limited recoveries, and therefore,
realization of any recoveries exceeding Moody's expectation in the
future would positively impact the notes' ratings.
4) Exposure to credit estimates: The deal contains one
significantly large security whose default probability Moody's has
assessed through a credit estimate. Moody's normally updates such
estimates at least once annually, but if such updates do not occur,
the transaction could be negatively affected by any default
probability adjustments Moody's assumes in lieu of an updated
credit estimate.
5) Amortization profile assumptions: Moody's modeled the
amortization of the underlying collateral portfolio based on its
assumed weighted average life (WAL). Regardless of the WAL
assumption, due to the sensitivity of amortization assumption and
its impact on the amount of principal available to pay down the
notes, Moody's supplemented its analysis with various sensitivity
analysis around the amortization profile of the underlying
collateral assets.
Loss and Cash Flow Analysis:
Moody's applies a Monte Carlo simulation framework in Moody's
CDROM(TM) to model the loss distribution for SF CDOs. The simulated
defaults and recoveries for each of the Monte Carlo scenarios
define the reference pool's loss distribution. Moody's then uses
the loss distribution as an input in the CDOEdge(TM) cash flow
model.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes. Below is a summary of the impact
of different default probabilities (expressed in terms of WARF) on
all of the rated notes (by the difference in the number of notches
versus the current model output, for which a positive difference
corresponds to lower expected loss):
Ba1 and below ratings notched up by two rating notches (1541):
Class A-1: +2
Class A-2: +2
Class B-1: 0
Class B-2: 0
Class C-1: 0
Class C-2: 0
Ba1 and below ratings notched down by two notches (4404):
Class A-1: -4
Class A-2: -3
Class B-1: 0
Class B-2: 0
Class C-1: 0
Class C-2: 0
CREDIT SUISSE 2005-C1: Fitch Affirms 'CCCsf' Rating on Cl. F Debt
-----------------------------------------------------------------
Fitch Ratings has affirmed eight classes of Credit Suisse First
Boston Mortgage Securities Corp. series 2005-C1 (CSFB 2005-C1),
commercial mortgage pass-through securities.
KEY RATING DRIVERS
The affirmations reflect the significant concentration and adverse
selection of the remaining pool, as well as uncertainty surrounding
the ultimate timing and resolution of the specially serviced loan.
Fitch modeled losses of 29% of the remaining pool; expected losses
based on the original pool balance are 5.8%, including $85.9
million (5.7% of the original pool balance) in realized losses to
date.
Concentration and Adverse Selection: The pool is highly
concentrated with only four of the original 166 assets remaining,
of which one loan (37% of the pool balance) is 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 three fully amortizing loans, and one
specially serviced asset all located in secondary markets. The
ratings reflect this sensitivity analysis.
Largest Loan in Special Servicing: The largest loan in the pool,
Staples Plaza (37% of the pool balance), is secured by a 33,912
square foot anchored retail center located in Easton, MD. The loan
had transferred to special servicing in November 2014 for imminent
default, and has been in payment default since April 2015. Per
servicer updates, the lender was the winning bidder at the August
2016 foreclosure sale, which was fully ratified in April 2017 and
expected to close once the deed is recorded. The property is 80%
occupied, per the December 2016 rent roll, and has been at or below
current occupancy levels since 2011. The property faces near-term
rollover risks, as the primary tenant's lease, Staples (70.6% of
the net rentable area) expires in October 2018.
RATING SENSITIVITIES
Fitch analysis included conservative loss assumption on the
specially serviced loan, given the secondary location, near-term
rollover risks, and uncertainty as to the ultimate resolution of
the loan. Upgrades to class F are considered possible should actual
losses be lower than expected; however, any actions are expected to
be limited due to the increasing concentration and adverse
selection of the remaining pool. The class could also be subject to
downgrade should collateral performance further decline, and
additional losses are realized.
Fitch has affirmed the following classes:
-- $5 million class F at 'CCCsf'; RE 100%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%.
The class A-1, A-2, A-AB, A-3, A-4, A-J, B, C, D and E certificates
have paid in full. Fitch does not rate the class P certificates.
Fitch had previously withdrawn the ratings on the $2.8 million
class G certificates, and the interest-only class A-X and class
A-SP certificates.
CSAIL 2017-C8: Fitch Assigns 'B-sf' Rating to Class F Certs
-----------------------------------------------------------
Fitch Ratings has assigned the following ratings and Ratings
Outlooks to CSAIL 2017-C8 Commercial Mortgage Trust Commercial
Mortgage Pass-Through Certificates Series 2017-C8.
-- $17,863,000 class A-1 'AAAsf'; Outlook Stable;
-- $163,585,000 class A-2 'AAAsf'; Outlook Stable;
-- $142,336,000 class A-3 'AAAsf'; Outlook Stable;
-- $213,505,000 class A-4 'AAAsf'; Outlook Stable;
-- $30,449,000 class A-SB 'AAAsf'; Outlook Stable;
-- $651,885,000b class X-A 'AAAsf'; Outlook Stable;
-- $78,065,000b class X-B 'A-sf'; Outlook Stable;
-- $84,147,000 class A-S 'AAAsf'; Outlook Stable;
-- $651,885,000e class V1-A 'AAAsf'; Outlook Stable;
-- $44,608,000 class B 'AA-sf'; Outlook Stable;
-- $33,457,000 class C 'A-sf'; Outlook Stable;
-- $78,065,000e class V1-B 'A-sf'; Outlook Stable;
-- $32,442,000a class D 'BBB-sf'; Outlook Stable;
-- $32,442,000ae class V1-D 'BBB-sf'; Outlook Stable;
-- $18,248,000a class E 'BB-sf'; Outlook Stable;
-- $7,097,000acd class F 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
(c) Horizontal credit risk retention interest representing 0.79% of
the pool balance (as of the closing date).
(d) The class F tranche is thinner than Fitch would normally
desire. However, the transaction has a significant percentage of
investment-grade credit opinion loans.
(e) Exchangeable classes.
Fitch does not rate the $23,318,563a class NR, $48,663,563ae class
V1-E and $811,055,563ae class V2. The transaction structure also
includes non-pooled, non-offered, loan-specific certificates
entitled to receive distributions from the 85 Broad Street trust
subordinate companion loan.
VRR Interest - The amount of the VRR Interest represents 4.22%
($34,197,563) of the pool balance (as of the closing date).
The ratings are based on information provided by the issuer as of
June 28, 2017.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 32 loans secured by 55
commercial properties having an aggregate principal balance of
$811,055,563 as of the cut-off date. The loans were contributed to
the trust by Column Financial, Inc., Natixis Real Estate Capital
LLC, and Benefit Street Partners CRE Finance LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 87.3% of the properties
by balance, cash flow analysis of 89.8%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Lower Fitch Leverage than Recent Transactions: The pool's leverage
statistics are lower than recent comparable Fitch-rated
multiborrower transactions. The pool's Fitch debt service coverage
ratio (DSCR) of 1.29x is better than the 2017 year-to-date (YTD)
average of 1.21x and 2016 average of 1.21x. The pool's Fitch loan
to value (LTV) of 91.0% is significantly better than the 2017 YTD
and 2016 averages of 104.1% and 105.2%, respectively. Excluding the
transaction's four credit opinion loans and multifamily cooperative
loans, the pool has a Fitch DSCR and LTV of 1.18x and 106.6%.
Investment-Grade Credit Opinion Loans: Four loans, representing
34.4% of the pool, have investment-grade credit opinions. 85 Broad
Street (11.1% of the pool), 245 Park Avenue (9.9%) and Apple
Sunnyvale (8.7%) each have an investment-grade credit opinion of
'BBB-sf*' on a stand-alone basis. Urban Union Amazon (4.7%) has an
investment-grade credit opinion of 'AAsf' on a stand-alone basis.
The pool's credit opinion loan concentration is significantly above
the respective 2017 YTD and 2016 averages of 5.5% and 8.4%.
Highly Concentrated Pool: The largest 10 loans compose 62.9% of the
pool, higher than the average top 10 concentration for 2017 YTD and
2016 of 52.9% and 54.8%, respectively. The pool's loan
concentration index (LCI) score is 617, indicating greater
concentration than the 2017 YTD average of 391 and 2016 average of
422. The pool is concentrated in the New York Metro area with 33.1%
of the pool located in NYC and surrounding suburbs in New York, New
Jersey and Connecticut.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 8.4% below
the most recent year's net operating income (NOI) for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period. Unanticipated further declines
in property-level NCF could result in higher defaults and loss
severities on defaulted loans and in potential rating actions on
the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the
CSAIL 2017-C8 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'Asf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf'
could result.
CSFB COMMERCIAL 2006-C2: Moody's Cuts Cl. A-J Certs Rating to Ca
----------------------------------------------------------------
Moody's Investors Service has downgraded the rating on one class in
CSFB Commercial Mortgage Trust 2006-C2, Commercial Mortgage
Pass-through Certificates, Series 2006-C2:
Cl. A-J, Downgraded to Ca (sf); previously on Jul 12, 2016 Affirmed
Caa3 (sf)
RATINGS RATIONALE
The rating on the one below investment-grade P&I class was
downgraded due to realized and anticipated losses from specially
serviced and troubled loans that were higher than Moody's had
previously expected.
Moody's rating action reflects a base expected loss of 54.1% of the
current balance, compared to 80.9% at Moody's last review. Moody's
base expected loss plus realized losses is now 15.6% of the
original pooled balance, compared to 14.1% 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 RATING:
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 this rating was "Moody's Approach
to Rating Large Loan and Single Asset/Single Borrower CMBS"
published in October 2015.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 100% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then applies the aggregate loss
from specially serviced loans to the most junior class and the
recovery as a pay down of principal to the most senior class.
DEAL PERFORMANCE
As of the June 16, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $2.56 million
from $1.44 billion at securitization. The certificates are
collateralized by one mortgage loan.
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 1, the same as at Moody's last review.
Thirty-nine loans have been liquidated from the pool, resulting in
an aggregate realized loss of $222.51 million (for an average loss
severity of 68%). The one remaining loan in the pool is currently
in special servicing. The specially serviced loan is the Norgate
Shoppes Loan ($2.56 million -- 100.0% of the pool), which is
secured by an unanchored retail center in Indianapolis, IN
approximately 10 miles northeast of the Indianapolis CBD. The
property was 100% occupied as of December 2016. The loan was
transferred to special servicing in March 2015 due to payment
default. The special servicer is proceeding with foreclosure with a
sale in process. The master servicer deemed the loan
non-recoverable in June 2016.
CSFB MORTGAGE 1998-C2: Moody's Affirms B3 Rating on Class H Certs
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on four classes
in CS First Boston (CSFB) Mortgage Securities Corp., Commercial
Mortgage Pass-Through Certificates, Series 1998-C2:
G, Affirmed Aaa (sf); previously on Aug 11, 2016 Upgraded to Aaa
(sf)
H, Affirmed B3 (sf); previously on Aug 11, 2016 Upgraded to B3
(sf)
I, Affirmed C (sf); previously on Aug 11, 2016 Affirmed C (sf)
AX, Affirmed Ca (sf); previously on Jun 9, 2017 Downgraded to Ca
(sf)
RATINGS RATIONALE
The rating on 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 ratings on P&I classes H & I were affirmed because the ratings
are consistent with Moody's expected loss plus realized losses.
Class I has already experienced a 94% realized loss as result of
previously liquidated loans.
The rating on the IO class was affirmed based on the credit quality
of the referenced classes.
Moody's rating action reflects a base expected loss of 3.2% of the
current balance, compared to 3.5% at Moody's last review. Moody's
base expected loss plus realized losses is now 3.1% 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. AX was Moody's
Approach to Rating Structured Finance Interest-Only (IO) Securities
methodology published in June 2017.
DEAL PERFORMANCE
As of the June 16, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $65.4 million
from $1.92 billion at securitization. The certificates are
collateralized by 44 mortgage loans ranging in size from less than
1% to 3% of the pool, with the top ten loans (excluding defeasance)
constituting 12% of the pool. Nineteen loans, constituting 81% of
the pool, have defeased and are secured by US government
securities. The pool contains a Credit Tenant Lease (CTL) component
that includes 25 loans, representing 16% of the pool.
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 14.
One loan, constituting 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.
Nineteen loans have been liquidated from the pool, contributing to
an aggregate realized loss of $56.5 million (for an average loss
severity of 44%).
Moody's received full year 2015 and 2016 operating results for the
one remaining conduit component loan in the pool.
The sole performing loan that is neither defeased nor part of the
CTL component is the Derrer Field Estates Apartments Loan ($1.98
million -- 3.0% of the pool). The loan is secured by a 151-unit
apartment building located in Columbus, Ohio. The loan has passed
its initial anticipated repayment date (ARD) in July 2008 and has a
final maturity date in July 2028. As of December 2016, the property
was 74% leased, down from 77% the year prior. The loan is on the
watchlist for low occupancy, partially due to a fire that damaged
eleven units. Moody's LTV and stressed DSCR are 46% and 2.22X,
respectively, compared to 49% and 2.11X at the last review.
The CTL component consists of 25 loans, constituting 16% of the
pool, secured by properties leased to four tenants. The largest
exposures are CVS Health ($4.9 million -- 7.5 % of the pool; senior
unsecured rating: Baa1 -- stable outlook) and Shopko (formerly
Pamida Discount Center) ($3.7 million -- 5.6 % of the pool). Three
of the tenants have a Moody's rating and Moody's has completed
updated credit assessments for the non-Moody's rated tenants. The
bottom-dollar weighted average rating factor (WARF) for this pool
is 3205, compared to 2789 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.
CSMC TRUST 2017-CHOP: DBRS Finalizes BB Rating on Class E Debt
--------------------------------------------------------------
DBRS, Inc. on June 28, 2017, finalized its provisional ratings on
the following classes of Commercial Mortgage Pass-Through
Certificates, Series 2017-CHOP (the Certificates) to be issued by
CSMC Trust 2017-CHOP. The trends are Stable.
-- Class A at AAA (sf)
-- Class X-CP at AAA (sf)
-- Class X-EXT at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
All classes have been privately placed.
The Class X-CP and X-EXT balances are notional.
The collateral for the transaction consists of the fee and
leasehold interests in a portfolio of 48 select-service,
limited-service and extended-stay hotels, totaling 6,401 keys,
located in 21 different states across the United States. The hotels
operate under eight different flags across three hotel brands that
include Marriott, Hilton and Hyatt. The assets are managed by
Island Hospitality Management (Island) and Marriott International,
Inc. (Marriott). Island manages 34 of the hotels in the portfolio
(4,370 keys; 65.5% of the total loan amount), and Marriott manages
14 hotels in the portfolio (2,031 keys; 34.5% of the total loan
amount). Sponsorship for this loan is provided by a joint-venture
between Colony NorthStar, Inc. and Chatham Lodging Trust. The
sponsor acquired the collateral assets in 2014 from Inland American
Real Estate Trust as part of a larger $1.1 billion hotel portfolio,
which included four additional hotel assets that are not collateral
for the subject loan. The sponsor obtained total financing of
$817.0 million to facilitate the acquisition of the properties in
2014, which was securitized in the BAMLL 2014-INLD transaction.
Each property has been renovated at some point within the last two
to three years or is currently undergoing a capex plan. Since 2009,
the portfolio has received roughly $201.0 million ($31,400 per key)
of capital improvements, of which approximately $109.3 million
($17,084 per key) was contributed by the sponsor following the 2014
acquisition of the portfolio.
The portfolio's performance has been generally stable over the past
few years, despite a few instances where significant declines were
reported, particularly in 2009. Revenue per available room (RevPAR)
bottomed out in 2009 at $73.13, which represented a 17.5% decrease
compared with the previous high of $88.60 in YE2007. Through the
T-12 period ending April 30, 2017, RevPAR fully recovered to
$90.59, representing a 23.9% increase from the cyclical low. This
strong rebound indicates that without the significant planned
renovations, future material RevPAR growth may be challenged. The
portfolio reached its highest RevPAR in 2015 at $92.18, following
the $31.4 million investment spent on capital improvements across
the portfolio during the same year. As of YE2016, the portfolio's
RevPAR has declined by 3.1% over the YE2015 level to $89.31 as a
result of displacement from rooms being taken offline to perform
over $69.1 million in capital improvements portfolio-wide for
property improvement plan (PIP) renovations. However, the portfolio
showed a slight uptick in performance during the first few months
in 2017, and as of the T-12 period ending April 30, 2017, the
assets reported a weighted-average RevPAR of $90.59, a 1.4%
increase over the YE2016 level.
The sponsor plans to invest an additional $68.4 million ($10,678
per key) across the portfolio over the next five years for PIPs,
cycle renovations and planned capital improvements, a portion of
which will be funded from an upfront $16.0 million PIP reserve.
Nineteen of the 48 portfolio hotels have brand-mandated PIPs or
cycle renovations that occur during the fully extended loan term
through 2021, totaling $33.4 million ($13,298 per key). The
remaining $35.0 million in the sponsor's planned capex budget will
be used to cover planned maintenance items across the portfolio.
The loan is structured with ongoing PIP reserves during the first
19 months of the loan term, which will be collected at a rate of
$350,000 per month ($4.2 million annually), capped at $6.65
million. In addition, ongoing furniture, fixtures & equipment
reserves will be collected at 4.3% of gross revenue on a monthly
basis, and these funds are available for required PIP work (up to a
cap) and planned maintenance.
Loan proceeds of $780.0 million along with approximately $79.1
million of equity contribution from the sponsors were used to
refinance $817.0 million ($127,636 per key) of existing portfolio
debt securitized in the BAMLL 2014-INLD transaction. Remaining
proceeds were used to pay estimated closing costs of $21.5 million
and fund an upfront PIP reserve of approximately $16.0 million
($2,493 per key). The first mortgage is a 24-month term
floating-rate (one-month LIBOR plus 3.30% per annum) interest-only
mortgage loan, with three 12-month extension options. The as-is
portfolio appraised value of $1.06 billion, based on an average
applied cap rate of 6.47%, equates to a relatively high
loan-to-value (LTV) of 73.6% for the mortgage loan. The DBRS value
of $519,253,073 represents a significant discount to the appraised
value, resulting in a DBRS LTV of 150.2% on the full loan amount.
However, the DBRS value is based on reversionary cap rates of
between 11.0% and 12.0%, with an average applied cap rate of
11.26%, which represents a significant stress over current
prevailing market rates. While leverage on the entire mortgage loan
is extremely high based on the DBRS Value, the DBRS LTV on the $480
million of rated proceeds through BB (low) is 92.4%, and the DBRS
LTV on the $398.5 million of investment-grade-rated proceeds is
76.7%. Furthermore, cumulative rated proceeds through BB (low) are
well below the portfolio insurable replacement cost of
$615,858,493.
CSMC TRUST 2017-CHOP: S&P Assigns 'B-' Rating on Class F Certs
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to CSMC Trust 2017-CHOP's
$780.0 million commercial mortgage pass-through certificates series
2017-CHOP.
The issuance is a commercial mortgage-backed securities transaction
backed by one two-year, floating-rate commercial mortgage loan
totaling $780.0 million, with three one-year extension options,
secured by the fee simple interest in 28 limited-service and 18
extended-stay hotels and leasehold interests in one limited-service
and one extended-stay hotel property.
The ratings reflect S&P's view of the collateral's historical and
projected performance, the sponsors' and managers' experience, the
trustee-provided liquidity, the loan's terms, and the transaction's
structure.
RATINGS ASSIGNED
CSMC Trust 2017-CHOP
Class Rating Amount ($)
A AAA (sf) 210,500,000
X-CP AAA sf) 54,500,000(i)
X-EXT AAA (sf) 54,500,000(i)
B AA- (sf) 69,000,000
C A- (sf) 51,200,000
D BBB- (sf) 67,800,000
E BB- (sf) 81,500,000
F B- (sf) 119,900,000
G NR 70,400,000
H NR 70,400,000
HRR NR 39,300,000
(i) Notional balance. The notional amount of the class X-CP and
X-EXT certificates will be reduced by the aggregate amount of
principal distributions and realized losses allocated to the class
A2 portion of the class A certificates.
NR--Not rated.
CSMC TRUST 2017-HL1: Fitch Rates Class B-5 Certs 'Bsf'
------------------------------------------------------
Fitch Ratings rates CSMC 2017-HL1 Trust (CSMC 2017-HL1):
-- $429,742,000 class A-1 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $429,742,000 class A-2 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $322,306,000 class A-3 certificates 'AAAsf'; Outlook Stable;
-- $322,306,000 class A-4 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $21,487,000 class A-5 certificates 'AAAsf'; Outlook Stable;
-- $21,487,000 class A-6 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $85,949,000 class A-7 certificates 'AAAsf'; Outlook Stable;
-- $85,949,000 class A-8 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $48,788,000 class A-9 certificates 'AAAsf'; Outlook Stable;
-- $48,788,000 class A-10 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $343,793,000 class A-11 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $107,436,000 class A-12 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $343,793,000 class A-13 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $107,436,000 class A-14 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $478,530,000 class A-IO1 notional certificates 'AAAsf';
Outlook Stable;
-- $429,742,000 class A-IO2 notional exchangeable certificates
'AAAsf'; Outlook Stable;
-- $322,306,000 class A-IO3 notional exchangeable certificates
'AAAsf'; Outlook Stable;
-- $21,487,000 class A-IO4 notional exchangeable certificates
'AAAsf'; Outlook Stable;
-- $85,949,000 class A-IO5 notional exchangeable certificates
'AAAsf'; Outlook Stable;
-- $48,788,000 class A-IO6 notional exchangeable certificates
'AAAsf'; Outlook Stable;
-- $7,837,000 class B-1 certificates 'AAsf'; Outlook Stable;
-- $8,848,000 class B-2 certificates 'Asf'; Outlook Stable;
-- $5,055,000 class B-3 certificates 'BBBsf'; Outlook Stable;
-- $2,276,000 class B-4 certificates 'BBsf'; Outlook Stable;
-- $1,718,000 class B-5 certificates 'Bsf'; Outlook Stable.
The following class will not be rated by Fitch:
-- $1,314,999 class B-6 certificates.
The certificates are supported by one collateral group that
consists of 839 prime fixed-rate mortgages (FRMs) acquired by
subsidiaries of American International Group, Inc. (AIG) from
various mortgage originators with a total balance of approximately
$505.58 million of the cut-off date.
The 'AAAsf' rating on the class A certificates reflects the 5.35%
subordination provided by the 1.55% class B-1, 1.75% class B-2,
1.00% class B-3, 0.45% class B-4, 0.34% class B-5 and 0.26% class
B-6 certificates.
KEY RATING DRIVERS
High-Quality Mortgage Pool (Positive): The collateral attributes
are among the strongest of those rated by Fitch. The pool consists
of 30-year fixed-rate fully amortizing Safe Harbor Qualified
Mortgage (SHQM) loans to borrowers with strong credit profiles,
relatively low leverage and large liquid reserves. The loans are
seasoned an average of 15 months.
The pool has a weighted average (WA) original FICO score of 779
which is higher than any transaction rated by Fitch post crisis and
is indicative of very high credit-quality borrowers. Approximately
53% of the borrowers have original FICO scores at or above 780. In
addition, the original WA CLTV ratio of 74.0% represents
substantial borrower equity in the property and reduced default
probability.
New Aggregator (Neutral): AIG is a global insurance corporation
that previously has not participated in the issuance of RMBS. In
2013, AIG established the Residential Mortgage Lending (RML) group
to establish relationships with mortgage originators and acquire
prime jumbo loans on behalf of funds owned by AIG. Fitch conducted
a full review of AIG's aggregation processes and believes that AIG
meets industry standards needed to aggregate mortgages for
residential mortgage-backed securitization. In addition to the
satisfactory operational assessment, a due diligence review was
completed on 100% of the pool.
Third-Party Due Diligence Results (Positive): A loan-level due
diligence reviews was conducted on 100% of the pool in accordance
with Fitch's criteria, and focused on credit, compliance and
property valuation. 21.9% of the loans received an 'A' grade, and
the remainder were graded 'B' (77.4%) and 'C' (0.7%). The loans
that were graded 'B' and 'C' were due to nonmaterial findings and
contained compensating factors such as large reserves, low LTV, low
DTIs and high FICOs. In Fitch's view, the results of the diligence
indicate acceptable controls and adherence to underwriting
guidelines, and no adjustment was made to the expected losses.
Top Tier Representation and Warranty Framework (Positive): Fitch
considers the transaction's representation, warranty and
enforcement (RW&E) mechanism framework to be consistent with Tier I
quality. As a result of the Tier I RW&E framework and the 'A'
Fitch-rated counterparty supporting the repurchase obligations of
the RW&E providers, the pool received a PD credit of 41 basis
points at the 'AAAsf' level.
Straightforward Deal Structure (Positive): The mortgage cash flow
and loss allocation are based on a senior-subordinate,
shifting-interest structure, whereby the subordinate classes
receive only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps maintain subordination for a longer period should
losses occur later in the life of the deal. The applicable credit
support percentage feature redirects subordinate principal to
classes of higher seniority if specified credit enhancement (CE)
levels are not maintained.
CE Floor (Positive): To mitigate tail risk, which arises as the
pool seasons and fewer loans are outstanding, a subordination floor
of 1.00% of the original balance will be maintained for the
certificates. Additionally, there is no early stepdown test that
might allow principal prepayments to subordinate bondholders
earlier than the five-year lockout schedule.
Geographic Concentration (Neutral): Approximately 36.5% of the pool
is located in California, which is in line or slightly lower than
recent Fitch rated transactions. In addition, the Metropolitan
Statistical Area (MSA) concentration is minimal, as the top three
MSAs account for only 28% of the pool. As a result, no geographic
concentration penalty was applied.
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 5.8%. 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'.
CSMC TRUST 2017-RPL1: DBRS Gives Prov. B Rating to Class B2 Debt
----------------------------------------------------------------
DBRS, Inc. on June 27, 2017, assigned provisional ratings to the
following CSMC 2017-RPL1 Mortgage-Backed Securities, Series
2017-RPL1 (the Notes) issued by CSMC 2017-RPL1 Trust (the Trust):
-- $211.8 million Class A1 at AAA (sf)
-- $36.4 million Class A2 at AAA (sf)
-- $49.2 million Class M1 at A (sf)
-- $21.7 million Class M2 at BBB (sf)
-- $17.7 million Class B1 at BB (sf)
-- $20.1 million Class B2 at B (sf)
The AAA (sf) ratings on the Notes reflect the 37.00% of credit
enhancement provided by the subordinated Notes in the pool. The A
(sf), BBB (sf), BB (sf) and B (sf) ratings reflect 24.50%, 19.00%,
14.50% and 9.40% 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 2,077 loans with a total principal balance of
$393,968,732 as of the Cut-off Date (May 31, 2017).
The portfolio contains 99.6% modified loans. Within the pool, 1,852
mortgages have non-interest-bearing deferred amounts, which equates
to 20.7% of the total principal balance. The modifications happened
more than two years ago for 93.9% of the modified loans. The loans
are approximately 124 months seasoned and 98.4% of the loans are
current as of the Cut-off Date, including 2.2%
bankruptcy-performing loans. 1.6% of the loans are 30 days
delinquent under the Mortgage Banker Association (MBA) delinquency
method. Approximately 79.9% of the mortgage loans have been zero
times 30 days delinquent for at least the past 24 months under the
MBA delinquency methods. None of the loans is subject to the
Consumer Financial Protection Bureau’s Qualified Mortgage rules.
As the Sponsor, DLJ Mortgage Capital, Inc. (DLJMC or the Sponsor),
a wholly owned subsidiary of Credit Suisse (USA), Inc. (Credit
Suisse), will retain an eligible vertical interest in each security
issued by the Issuer (other than the Class R Notes and the trust
certificates) in the required amount of not less than 5% of each
such security to satisfy the credit risk retention requirements. It
is expected that the servicer, Select Portfolio Servicing, Inc.,
will begin servicing the loans on or about July 1, 2017. Prior to
the servicing transfer date, two interim servicers will service the
loans. The interim servicers will remit collections on the loans to
the servicer in July 2017.
There will be no advancing of delinquent principal or interest on
the 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.
The transaction employs a sequential-pay cash flow structure.
Principal proceeds can be used to cover interest shortfalls on the
Class A-1 and Class A-2 Notes, but such shortfalls on Class M-1 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 have robust payment histories, an experienced servicer
and strong structural features. Additionally, a due diligence
review was performed on the portfolio with respect to regulatory
compliance, payment history, data integrity, tax, title/lien and
servicing comment review. Updated property values (generally broker
price opinions) were provided for 100.0% of the pool.
The transaction employs a relatively weak representations and
warranties framework that includes a 12-month sunset, certain
knowledge qualifiers and fewer mortgage loan representations
relative to DBRS criteria for seasoned pools. Mitigating factors
include (1) significant loan seasoning and relative clean
performance history in recent years; (2) a comprehensive due
diligence review; (3) the representation provider up to the sunset
date is DLJMC, a wholly owned subsidiary of Credit Suisse; (4) a
breach reserve account; and (5) disputes are ultimately subject to
determination made in a related arbitration proceeding.
The DBRS rating of AAA (sf) addresses 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.
DBJPM MORTGAGE 2017-C6: Fitch Assigns B- Rating to Cl. F-RR Certs
-----------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to DBJPM Mortgage Trust Commercial Mortgage Pass-Through
Certificates, Series 2017-C6.
-- $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 rated:
-- $37,187,594a 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 final ratings are based on information provided by the issuer
as of June 21, 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%. 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.
Fitch evaluated the sensitivity of the ratings assigned to DBJPM
2017-C6 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 'Asf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf'
could result.
DRIVE AUTO 2017-1: S&P Assigns 'BB' Rating on Cl. E Notes
---------------------------------------------------------
S&P Global Ratings assigned its ratings to Drive Auto Receivables
Trust 2017-1's $1.110 billion automobile receivables-backed notes
series 2017-1.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The ratings reflect:
-- The availability of 66.0%, 59.4%, 49.5%, 39.1%, and 36.5% of
credit support for the class A (consisting of classes A-1,
A-2, and A-3), B, C, D, and E notes, respectively, based on
stressed cash flow scenarios (including excess spread),
which provide coverage of more than 2.35x, 2.10x, 1.70x,
1.35x, and 1.25x S&P's 27.00%-28.00% expected cumulative net
loss. These break-even scenarios cover total cumulative
gross defaults of 94%, 85%, 70%, 60%, and 56%, respectively.
-- The timely interest and principal payments made under
stressed cash flow modeling scenarios appropriate to the
assigned ratings.
-- The expectation that under a moderate ('BBB') stress
scenario (1.35x S&P's expected loss level), all else being
equal, its ratings on the class A and B notes ('AAA (sf)'
and 'AA (sf)', respectively) will remain at the assigned
ratings, S&P's rating on the class C notes ('A (sf)') will
remain within one category of the assigned rating, and S&P's
rating on the class D notes ('BBB (sf)') will remain within
two rating categories of the assigned rating while they are
outstanding. The class E 'BB (sf)' rated notes will remain
within two rating categories of the assigned rating during
the first year but will eventually default under the 'BBB'
stress scenario after having received 52%-87% of their
principal. These rating movements are within the limits
specified by S&P's credit stability criteria.
-- The originator/servicer's history in the subprime/specialty
auto finance business.
-- S&P's analysis of 10 years of static pool data on Santander
Consumer USA Inc.'s lending programs.
-- The transaction's payment/credit enhancement and legal
structures.
RATINGS ASSIGNED
Drive Auto Receivables Trust 2017-1
Class Rating Type Interest Amount
rate(i) (mil. $)
A-1 A-1+ (sf) Senior Fixed 141.00
A-2-A AAA (sf) Senior Fixed 170.00
A-2-B AAA (sf) Senior Float 70.00
A-3 AAA (sf) Senior Fixed 111.92
B AA (sf) Subordinate Fixed 159.00
C A (sf) Subordinate Fixed 207.40
D BBB (sf) Subordinate Fixed 187.36
E BB (sf) Subordinate Fixed 63.60
DRYDEN 49: Moody's Assigns B3(sf) Rating to Class F Notes
---------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Dryden 49 Senior Loan Fund.
Moody's rating action is:
US$384,000,000 Class A Senior Secured Floating Rate Notes Due 2030
(the "Class A Notes"), Assigned Aaa (sf)
US$72,000,000 Class B Senior Secured Floating Rate Notes Due 2030
(the "Class B Notes"), Assigned Aa1 (sf)
US$39,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes Due 2030 (the "Class C Notes"), Assigned A2 (sf)
US$30,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes Due 2030 (the "Class D Notes"), Assigned Baa3 (sf)
US$27,000,000 Class E Junior Secured Deferrable Floating Rate Notes
Due 2030 (the "Class E Notes"), Assigned Ba3 (sf)
US$7,750,000 Class F Junior Secured Deferrable Floating Rate Notes
Due 2030 (the "Class F Notes"), Assigned B3 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes, the Class E Notes, and the Class F 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.
Dryden 49 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90% of the portfolio must consist
of senior secured loans, and up to 10% of the portfolio may consist
of second lien loans or unsecured loans. The portfolio is at least
87.5% ramped as of the closing date.
PGIM, Inc. (the "Manager") will direct the selection, acquisition
and disposition of the assets on behalf of the Issuer and may
engage in trading activity, including discretionary trading, during
the transaction's five-year reinvestment period. Thereafter, the
Manager may reinvest unscheduled principal payments and proceeds
from sales of credit risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer issued one class of
subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in October 2016.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $600,000,000
Diversity Score: 85
Weighted Average Rating Factor (WARF): 2760
Weighted Average Spread (WAS): 3.45%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 9 years.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
October 2016.
Factors That Would Lead to 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 2760 to 3174)
Rating Impact in Rating Notches
Class A Notes: 0
Class B Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Class F Notes: 0
Percentage Change in WARF -- increase of 30% (from 2760 to 3588)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -4
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
Class F Notes: -2
GLS AUTO 2017-1: S&P Assigns 'BB' Rating on Class D Notes
---------------------------------------------------------
S&P Global Ratings assigned its ratings to GLS Auto Receivables
Trust 2017-1's $181.65 million automobile receivables-backed notes
series 2017-1.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The ratings reflect:
-- The availability of approximately 50.1%, 42.5%, 35.1%, and
28.8% of credit support for the class A, B, C, and D notes,
respectively, based on stressed cash flow scenarios
(including excess spread, post haircut). These credit
support levels provide coverage of approximately 1.90x,
1.77x, 1.50x, and 1.25x, our 21.00%-22.00% expected
cumulative net loss (ECNL) for the class A, B, C, and D
notes, respectively.
-- The expectation that under a moderate ('BBB') stress
scenario (1.50x S&P's expected loss level), all else being
equal, its ratings on the class A notes will remain at the
assigned ratings ('A (sf)'), S&P's ratings on the B notes
will remain within one rating category of the assigned
'A- (sf),' and S&P's ratings on the C notes will remain
within two rating categories of the assigned 'BBB (sf).'
The class D notes will remain within two rating categories
of the assigned 'BB (sf)' rating during the first year, but
will eventually default under the 'BBB' stress scenario,
after having received 25% of their principal. These rating
movements are within the limits specified by its credit
stability criteria.
-- S&P's analysis of over four years of origination static pool
data and performance data on GLS' two securitizations.
-- The collateral characteristics of the subprime automobile
loans securitized in this transaction, including the
representations in the transaction documents that all
contracts in the pool have made a least one payment.
-- The notes' underlying credit enhancement in the form of
subordination, overcollateralization (O/C), a reserve
account, and excess spread for the class A, B, C, and D
notes.
-- The timely interest and principal payments made to the notes
under S&P's stressed cash flow modeling scenarios, which S&P
believes are appropriate for the assigned ratings.
RATINGS ASSIGNED
GLS Auto Receivables Trust 2017-1
Class Rating Type Interest Amount
rate (mil. $)
A-1 NR Senior Fixed 27.00
A-2 A (sf) Senior Fixed 105.63
B A- (sf) Subordinate Fixed 29.23
C BBB (sf) Subordinate Fixed 25.73
D BB (sf) Subordinate Fixed 21.06
NR--Not rated.
GS MORTGAGE 2013-GCJ16: Moody's Affirms B3 Rating on Cl. G Certs
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on 14 classes in
GS Mortgage Securities Trust 2013-GCJ16, Commercial Mortgage
Pass-Through Certificates, Series 2013-GCJ16:
Cl. A-2, Affirmed Aaa (sf); previously on Jul 15, 2016 Affirmed Aaa
(sf)
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-AB, Affirmed Aaa (sf); previously on Jul 15, 2016 Affirmed
Aaa (sf)
Cl. A-S, Affirmed Aaa (sf); previously on Jul 15, 2016 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa3 (sf); previously on Jul 15, 2016 Affirmed Aa3
(sf)
Cl. C, Affirmed A3 (sf); previously on Jul 15, 2016 Affirmed A3
(sf)
Cl. D, Affirmed Baa3 (sf); previously on Jul 15, 2016 Affirmed Baa3
(sf)
Cl. E, Affirmed Ba1 (sf); previously on Jul 15, 2016 Affirmed Ba1
(sf)
Cl. F, Affirmed Ba3 (sf); previously on Jul 15, 2016 Affirmed Ba3
(sf)
Cl. G, Affirmed B3 (sf); previously on Jul 15, 2016 Affirmed B3
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on Jul 15, 2016 Affirmed Aaa
(sf)
Cl. X-B, Affirmed Aa3 (sf); previously on Jul 15, 2016 Affirmed Aa3
(sf)
Cl. PEZ, Affirmed A1 (sf); previously on Jul 15, 2016 Affirmed A1
(sf)
RATINGS RATIONALE
The ratings on 11 P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The transaction contains a group of exchangeable certificates.
Classes A-S, B and C may be exchanged for Class PEZ certificates
and Class PEZ may be exchanged for the Classes A-S, B and C. The
PEZ certificates will be entitled to receive the sum of interest
and principal distributable on the Classes A-S, B and C
certificates that are exchanged for such PEZ certificates. The
rating on the PEZ class was affirmed due to the weighted average
rating factor (WARF) of its exchangeable classes.
The ratings on the two IO classes, Classes X-A and X-B, were
affirmed based on the credit quality of their respective referenced
classes.
Moody's rating action reflects a base expected loss of 1.7% of the
current balance, compared to 2.0% at Moody's last review. Moody's
base expected loss plus realized losses is now 1.7% of the original
pooled balance, compared to 1.9% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Approach to
Rating US and Canadian Conduit/Fusion CMBS" published in December
2014. The methodology used in rating the exchangeable class, Cl.
PEZ was "Moody's Approach to Rating Repackaged Securities"
published in June 2015.
Additionally, the methodology used in rating Cl. X-A and Cl. X-B
was "Moody's Approach to Rating Structured Finance Interest-Only
(IO) Securities" published in June 2017.
DEAL PERFORMANCE
As of the June 12, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 5% to $1.03 billion
from $1.09 billion at securitization. The certificates are
collateralized by 76 mortgage loans ranging in size from less than
1% to 7% of the pool, with the top ten loans constituting 42% of
the pool. One loan, constituting 5.5% of the pool, has an
investment grade structured credit assessment. Four loan,
constituting 9% of the pool, have defeased and are secured by US
government securities.
Nine loans, constituting 12% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance. There are currently no loans in special
servicing.
Moody's received full year 2015 operating results for 97% of the
pool, and full or partial year 2016 operating results for 98% of
the pool. Moody's weighted average conduit LTV is 91%, compared to
95% at Moody's last review. Moody's conduit component excludes
loans with structured credit assessments, defeased and CTL loans,
and specially serviced and troubled loans. Moody's net cash flow
(NCF) reflects a weighted average haircut of 11% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.6%.
Moody's actual and stressed conduit DSCRs are 1.59X and 1.19X,
respectively, compared to 1.52X and 1.13X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The loan with a structured credit assessment is the Gates at
Manhasset Loan ($56.4 million -- 5.5% of the pool), which is
secured by a 106,000 square foot (SF) open air retail property
located on Northern Boulevard in Manhasset, New York. The property
was 100% leased as of March 2017, compared to 99% leased at last
review. The property's tenants include Crate & Barrel as the
anchor, and in-line shops include Gap, Urban Outfitters, Banana
Republic and Abercrombie & Fitch. Moody's structured credit
assessment and stressed DSCR are a1 (sca.pd) and 1.34X,
respectively.
The top three conduit loans represent 18% of the pool balance. The
largest loan is the Miracle Mile Shops Loan ($70 million -- 6.8% of
the pool), which is secured by a 448,835 SF regional mall located
on the Las Vegas strip in Las Vegas, NV. The property was
originally developed in 2000 as the Desert Passage, a high-end
luxury mall attached to the Aladdin Hotel and Casino and was
rebranded in 2008. As of December 2016, the subject was 97% leased
compared to 96% at last review. The loan represents a pari-passu
portion of a total $580 million mortgage loan. Moody's LTV and
stressed DSCR are 89% and 0.88X, respectively, the same as at last
review.
The second largest loan is the Windsor Court New Orleans Loan
($69.2 million -- 6.7% of the pool), which is secured by 316-key
hotel located in the central business district (CBD) of New
Orleans, Louisiana (less than one mile from the French Quarter).
According to the April 2017 Smith Travel Research (STR) report, the
property has the strongest revenue per available room (RevPAR)
amongst its competitive set. As of May 2017, the property's
trailing twelve month RevPAR decreased by less than 1% to $224
while ADR increased 6% over the prior year to $324. Moody's LTV and
stressed DSCR are 98% and 1.22X, respectively, compared to 99% and
1.20X at last review.
The third largest loan is the Walpole Shopping Mall Loan ($46.9
million -- 4.5% of the pool), which represents a pari-passu portion
of a $64.4 million mortgage loan. The loan is secured by a 397,791
SF shopping mall located in Walpole, Massachusetts. The property is
also encumbered by a $10 million mezzanine loan. The property was
99% leased as of December 2016, compared to 93% at last review. The
property's financial performance has steadily increased in each of
the past three years and there are limited lease expirations over
the next 12 months. Moody's LTV and stressed DSCR are 109% and
0.92X, respectively, the same as at last review.
HMH TRUST 2017-NSS: S&P Assigns 'B-' Rating on Cl. F Certificates
-----------------------------------------------------------------
S&P Global Ratings assigned its 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 assumed
interest rate when S&P assigned the preliminary ratings was 4.50%
compared to the actual fixed interest rate of 4.7833%, resulting in
an S&P Global Ratings' debt service coverage ratio of 2.0x based on
S&P's net cash flow and the $204.0 million first mortgage balance.
The 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.
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.
IMSCI 2014-5: Fitch Affirms 'Bsf' Rating on Class G Certs
---------------------------------------------------------
Fitch Ratings has affirmed eight classes of Institutional Mortgage
Securities Canada Inc.'s (IMSCI) commercial mortgage pass-through
certificates, series 2014-5. All currencies are denominated in
Canadian dollars (CAD).
KEY RATING DRIVERS
Overall Stable Performance and Increase in Credit Enhancement: The
pool performance has been stable since Fitch's last rating action.
As of the June 2017 distribution date, the pool's aggregate
principal balance has been reduced 22.2% to $242.7 million from
$311.8 million at issuance with 34 loans remaining. There are no
full or partial interest only loans in the pool. There are
currently no specially serviced loans, and there are five loans
(13.5%) on the servicer's watch list.
Pool Concentrations: The top 10 and 15 loans (including crossed
loans) account for 59.7% and 77.5% of the pool, respectively.
Retail properties back 43.3% of the pool while multifamily loans
comprise 20.8% of the pool. There is sponsor concentration with two
crossed and seven other loans (14.8%) sponsored by Skyline REIT and
three loans backed by Alberta properties (10.8%) with the same
sponsor group, Lanesborough REIT (LREIT) and related entities. The
pool has 24 properties (65.9%) located in Ontario; however, Ontario
is Canada's most populous province and accounts for approximately
40% of the country's population and GDP.
Energy Market Exposure: The pool has four loans (11.5%) backed by
properties in Alberta, which has experienced volatility from the
energy sector in the past few years. The pari passu Nelson Ridge
Pooled Loan (3%), secured by a 225-unit multifamily property in
Fort McMurray, AB, was transferred to special servicing in early
2016 due to a decrease in operating performance. Property
operations were subsequently affected by the area wildfires in May
2016. However, the loan returned to master servicing in January
2017 and is current. The loan has full recourse to the borrower,
sponsor and manager.
Canadian Loan Attributes: The ratings reflect strong Canadian
commercial real estate loan performance, including a low
delinquency rate and low historical losses of less than 0.1%, as
well as positive loan attributes such as short amortization
schedules, recourse to the borrower, and additional guarantors. Of
the remaining pool, 84.6% of the loans feature full or partial
recourse to the borrowers and/or sponsors. The pool is scheduled to
amortize 8.5% from the June 2017 cutoff balance to maturity.
The largest loan in the pool is Milton Crossroads West (9% of the
pool), which is secured by a 103,199-square foot (sf) anchored
retail center located in Milton, Ontario. Major collateral tenants
include SportChek, Indigo and Michael's. The loan is sponsored by
Smart REIT (formerly Calloway REIT) and First Gulf Development
Corporation.
RATING SENSITIVITIES
The Rating Outlook on class G remains Negative. A downgrade could
be possible if the volatility in energy markets has a prolonged
impact on loan performance and property values and the ability for
loans to refinance. However, any potential losses could be
mitigated by loan recourse provisions. The Rating Outlooks on the
senior classes remain Stable as the classes have benefited from an
increase in credit enhancement from loan payoffs though upgrades
may be limited as the pool is becoming more concentrated.
Fitch affirmed the following ratings:
-- $83.1 million class A-1 at 'AAAsf'; Outlook Stable;
-- $119 million class A-2 at 'AAAsf'; Outlook Stable;
-- $6.2 million class B at 'AAsf'; Outlook Stable;
-- $9.4 million class C at 'Asf'; Outlook Stable;
-- $8.2 million class D at 'BBBsf'; Outlook Stable;
-- $4.7 million class E at 'BBB-sf'; Outlook Stable;
-- $3.1 million class F at 'BBsf'; Outlook Stable;
-- $3.1 million class G at 'Bsf'; Outlook Negative.
Fitch does not rate the interest-only class X or the non-offered
$5.8 million class H certificate.
JMP CREDIT IV: Moody's Assigns Ba3(sf) Rating to Class E Notes
--------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by JMP Credit Advisors CLO IV Ltd.
Moody's rating action is:
US$285,750,000 Class A Senior Secured Floating Rate Notes due 2029
(the "Class A Notes"), Assigned Aaa (sf)
US$54,000,000 Class B Senior Secured Floating Rate Notes due 2029
(the "Class B Notes"), Assigned Aa2 (sf)
US$27,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2029 (the "Class C Notes"), Assigned A2 (sf)
US$24,750,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2029 (the "Class D Notes"), Assigned Baa3 (sf)
US$22,500,000 Class E Mezzanine Secured Deferrable Floating Rate
Notes due 2029 (the "Class E Notes"), Assigned Ba3 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes, and the Class E Notes are referred to herein as the "Rated
Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
JMP CLO IV is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 92.5% of the portfolio must
consist of senior secured loans and eligible investments
representing principal proceeds, and up to 7.5% of the portfolio
may consist of collateral obligations that are second lien loans
and senior unsecured loans. The portfolio is almost 100% ramped as
of the closing date.
JMP Credit Advisors 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 up to 50% of unscheduled
principal payments and proceeds from sales of credit risk assets
and credit improved assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer issued two classes 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: $450,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2751
Weighted Average Spread (WAS): 3.65%
Weighted Average Coupon (WAC): 7.00%
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.
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 2751 to 3164)
Rating Impact in Rating Notches
Class A Notes: 0
Class B Notes: -1
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2751 to 3576)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -3
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
JP MORGAN 2005-CIBC13: Moody's Affirms B3 Rating on Cl. A-J Debt
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
in J.P. Morgan Chase Commercial Mortgage Securities Corp.,
Commercial Pass-Through Certificates, Series 2005-CIBC13:
Cl. A-J, Affirmed B3 (sf); previously on Jul 21, 2016 Affirmed B3
(sf)
Cl. B, Affirmed C (sf); previously on Jul 21, 2016 Downgraded to C
(sf)
RATINGS RATIONALE
The ratings on P&I classes A-J and B were affirmed because the
ratings are consistent with Moody's expected loss plus realized
losses. Class B has already experienced a 33% realized loss as a
result of previously liquidated loans.
Moody's rating action reflects a base expected loss of 17.6% of the
current balance, compared to 14.2% at Moody's last review. Moody's
base expected loss plus realized losses is now 12.6% of the
original pooled balance, compared to 12.5% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in these ratings were "Approach to Rating US
and Canadian Conduit/Fusion CMBS" published in December 2014 and
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in October 2015.
DEAL PERFORMANCE
As of the June 12, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 96% to $118.1
million from $2.72 billion at securitization. The certificates are
collateralized by 19 mortgage loans ranging in size from less than
1% to 10% of the pool, with the top ten loans (excluding
defeasance) constituting 61% of the pool. Three loans, constituting
30% of the pool, have defeased and are secured by US government
securities.
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 11, compared to 15 at Moody's last review.
Five loans, constituting 15% 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-seven loans have been liquidated from the pool, contributing
to an aggregate realized loss of $321 million (for an average loss
severity of 54%). Five loans, constituting 28% of the pool, are
currently in special servicing. The largest specially serviced loan
is the Bayou Walk Village Loan ($11.8 million -- 10.0% of the
pool), which is secured by a 94,000 square foot (SF) retail
shopping center in Shreveport, Louisiana. The loan transferred to
special servicing in January 2014 for imminent default due to
structural issues at the property. The loan is currently in
monetary default.
The second largest specially serviced loan is the Cressona Mall
Loan ($8.04 million -- 6.8% of the pool), which is secured by a
partially enclosed community shopping center, anchored by a Giant
Food Store, in Pottsville, Pennsylvania. The loan transferred to
special servicing in October 2014 for imminent default due to the
borrower engaging in a legal dispute. As of May 2017, the property
was 81% leased, unchanged from the prior review.
The third largest specially serviced loan is the Stratford at
Williamsburg Apartments ($7.72 million -- 6.5% of the pool), which
is secured by a garden-style apartment complex comprised of eight,
2-story buildings with 156 units in Williamsburg, Virginia. The
property was foreclosed on and became REO in 2012.
The remaining two specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $18.7 million loss
for the specially serviced loans (56% expected loss on average).
As of the June 12, 2017 remittance statement cumulative interest
shortfalls were $20.3 million. Moody's anticipates interest
shortfalls will continue because of the exposure to specially
serviced loans and/or modified loans. Interest shortfalls are
caused by special servicing fees, including workout and liquidation
fees, appraisal entitlement reductions (ASERs), loan modifications
and extraordinary trust expenses.
Moody's received full year 2015 operating results for 100% of the
pool, and full or partial year 2016 operating results for 87% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 84%, compared to 68% 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 18% 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 1.08X and 1.53X,
respectively, compared to 1.33X and 1.72X 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 24% of the pool balance. The
largest loan is the 1015 -- 1055 North Main Street Loan ($10.6
million -- 8.9% of the pool), which is secured by a 208,000 SF
suburban office building located in Santa Ana, California. The
property is 100% leased and has been since securitization. The
County of Orange leases 96% NRA; the Orange County Department of
Child Support Services' Community Resource Center is based out of
this location. Moody's LTV and stressed DSCR are 71% and 1.46X,
respectively.
The second largest loan is the State Farm Insurance Building Loan
($9.04 million -- 7.7% of the pool), which is secured by a suburban
office property in Vallejo, California. In 2014 the largest tenant,
State Farm, renewed their lease by five years but downsized from
100% NRA to 53%. One new tenant commenced a lease in April 2017,
bringing the occupancy to 69%. The remaining vacant space is being
marketed for lease. Moody's LTV and stressed DSCR are 138% and
0.71X, respectively.
The third largest loan is the T-Mobile -- Oakland Maine Loan ($8.51
million -- 7.2% of the pool), which is secured by a suburban office
property in Oakland, Maine. The space is 100% leased to T-Mobile as
a call center through August 2020. Moody's LTV and stressed DSCR
are 101% and 0.96X, respectively.
JP MORGAN 2008-C2: Fitch Cuts Ratings on 3 Tranches to BBsf
-----------------------------------------------------------
Fitch Ratings has downgraded three and affirmed 17 classes of J.P.
Morgan Chase Commercial Mortgage Securities Trust series 2008-C2.
KEY RATING DRIVERS
The downgrades are largely due to a greater certainty of losses on
underperforming collateral as the pool becomes increasingly
concentrated; 55 of the original 80 loans remain. While a majority
of the remaining loans are expected to perform through their terms,
Fitch is concerned with the ability of several highly leveraged
loans to refinance; approximately 45% of the pool has a Fitch
stressed LTV in excess of 100%.
Fitch modeled losses of 19.9% of the remaining pool; expected
losses on the original pool balance total 26.8%, a slight increase
from 26.1% at Fitch's last rating action. Realized losses total
$190.5 million (16.3% of the original pool balance). Fitch has
designated 11 loans (34.3%) as Fitch Loans of Concern, which
includes three specially serviced assets (19%).
As of the June 2017 distribution date, the pool's aggregate
principal balance has been reduced by approximately 47.4% to $612.6
million from $1.16 billion at issuance. Eleven loans (22.4%) are
currently defeased. Interest shortfalls are currently affecting
classes A-M through T. Approximately 30.2% of the pool matures in
2017, 50.2% matures in 2018, 0.7% in 2022, and 17.5% in 2033.
The largest contributor to expected losses remains the Westin
Portfolio, the largest remaining loan (17.5%). The loan is secured
by two Westin resort hotels: the 487-room Westin La Paloma in
Tucson, AZ and the 416-room oceanfront Westin Hilton Head, in
Hilton Head, SC. Both resorts offer numerous restaurants, pools and
over 100,000 sf of meeting space. The loan, which transferred to
special servicing soon after securitization (due to a borrower
bankruptcy), fell short of performance expectations as a result of
the recession and the impact it had on the hotels' performance. The
loan was modified in 2012 to a 30-year loan term, of which fixed
monthly payments are made by the present sponsor, Southwest Value
Partners.
The sponsor has completed significant renovations on both
properties over the last few years, and the properties appear
attractive and well kept. The franchise agreement with the Westin
Hilton Head expires on Dec. 31, 2019, and the agreement with Westin
La Paloma expires on Dec. 31, 2028.
Updated valuations for the properties have not been made available,
largely due to lengthy court proceedings that remain open.
Additionally, Fitch modeled a conservative value in its analysis,
and will closely monitor any performance updates including updated
valuations as they become available.
The next contributor to expected losses is a 138,588 sf office
property in Las Vegas, NV. The property serves as the headquarters
for Stations Casinos' operations, which occupy roughly 71.3% of the
overall space. The remaining 28.7% is vacant. Stations Casinos
filed for bankruptcy in 2009. The company emerged from BK in 2011,
and as part of its restructuring, the tenant's rent was adjusted to
cover only expenses at the collateral property. As a result, the
property has operated near a 1.00x DSCR since this restructuring.
The subject is located in a weak submarket within Las Vegas, with
vacancy at nearly 32%. Fitch anticipates the loan will have
difficulty refinancing at its November 2017 maturity based on the
outstanding loan amount and current in-place rents.
RATING SENSITIVITIES
Rating Outlooks for classes A-4, A-4FL, and A-1A are Stable.
Upgrades are not likely due to adverse selection in the pool
including loans with low debt service coverage ratios, occupancy
declines, tenant rollover, and high leverage. Downgrades are
possible if expected losses increase or if these classes are
further affected by repeated interest shortfalls.
Fitch has downgraded the following classes as indicated:
-- $285.3 million class A-4 to 'BBsf' from 'BBBsf'; Outlook to
Stable from Negative;
-- $116.7 million class A-4FL to 'BBsf' from 'BBBsf'; Outlook to
Stable from Negative;
-- $51.4 million class A-1A to 'BBsf' from 'BBBsf'; Outlook to
Stable from Negative;
Fitch has affirmed the following classes:
-- $116.6 million class A-M at 'CCsf'; RE 25%;
-- $42.7 million class A-J at 'Dsf'; RE 0%;
-- $0 class B at 'Dsf'; RE 0%;
-- $0 class C at 'Dsf'; RE 0%;
-- $0 class D at 'Dsf'; RE 0%;
-- $0 class E at 'Dsf'; RE 0%;
-- $0 class F at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%;
-- $0 class Q at 'Dsf'; RE 0%;
-- $0 class T at 'Dsf'; RE 0%.
Class 'NR' is not rated.
LADDER CAPITAL 2017-LC26: Fitch Assigns B-sf Rating on Cl. F Certs
------------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to Ladder Capital Commercial Mortgage Trust 2017-LC26
commercial mortgage pass-through certificates.
-- $20,163,000 class A-1 'AAAsf'; Outlook Stable;
-- $89,600,000 class A-2 'AAAsf'; Outlook Stable;
-- $31,969,000 class A-SB 'AAAsf'; Outlook Stable;
-- $125,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $171,225,000 class A-4 'AAAsf'; Outlook Stable;
-- $437,957,000a class X-A 'AAAsf'; Outlook Stable;
-- $100,104,000a class X-B 'A-sf'; Outlook Stable;
-- $35,975,000a class X-D 'BBB-sf'; Outlook Stable;
-- $39,103,000 class A-S 'AAAsf'; Outlook Stable;
-- $28,937,000 class B 'AA-sf'; Outlook Stable;
-- $32,064,000 class C 'A-sf'; Outlook Stable;
-- $35,975,000 class D 'BBB-sf'; Outlook Stable;
-- $17,206,000b class E 'BB-sf'; Outlook Stable;
-- $7,038,000b class F 'B-sf'; Outlook Stable.
The following class is not rated by Fitch:
-- $27,373,188b class G 'NR'.
(a) Notional amount and interest only.
(b) Horizontal credit risk retention interest.
All classes are privately placed and pursuant to Rule 144A.
VRR Interest: The amount of the VRR Interest represents
approximately 1.97% ($12,947,536) of the total pool balance.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 57 loans secured by 69
commercial properties having an aggregate principal balance of
$625,653,188 as of the cut-off date. The loans were contributed to
the trust by Ladder Capital Finance LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 74.3% of the properties
by balance, cash flow analysis of 84.5%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Higher Fitch Leverage Compared to Recent Transactions: The pool has
higher leverage than other recent Fitch-rated multiborrower
transactions. The pool's Fitch debt service coverage ratio (DSCR)
of 1.13x and Fitch loan to value (LTV) of 107.0% are worse than the
year-to-date (YTD) 2017 average Fitch DSCR of 1.21x and Fitch LTV
of 104.1%.
Concentrated Pool: The pool is more concentrated than other recent
Fitch-rated multiborrower transactions. The largest 10 loans
comprise 60.6% of the pool, which is worse than the YTD 2017 and
2016 averages of 52.9% and 54.8%, for other Fitch-rated
multiborrower deals. This results in a loan concentration index
(LCI) score of 490, which is higher than the YTD 2017 and 2016
averages of 391 and 422.
Investment-Grade Credit Opinion Loan: One loan, Two Riverfront
Plaza (8.8% 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 8.8% is greater than the 2017 YTD and
the 2016 averages of 5.5% and 8.4%, respectively.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 18.2% 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 LCCM
2017-LC26 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'A-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'
could result.
LB-UBS COMMERCIAL 2004-C1: Moody's Affirms C Rating on 2 Tranches
-----------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class and
affirmed the ratings on two classes in LB-UBS Commercial Mortgage
Trust 2004-C1:
Cl. D, Upgraded to Caa1 (sf); previously on Jan 13, 2017 Downgraded
to Caa3 (sf)
Cl. E, Affirmed C (sf); previously on Jan 13, 2017 Downgraded to C
(sf)
Cl. X-CL, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to
C (sf)
RATINGS RATIONALE
The rating on Class D was upgraded due primarily to lower than
anticipated losses from liquidated loans, particularly the UBS
Center - Stamford loan. The class also benefitted from an increase
in credit support from paydowns, amortization, and recoveries from
liquidated loans. The deal balance has decreased by 93% since
Moody's last review.
The rating on Class E was affirmed because the ratings are
consistent with Moody's expected loss plus realized losses. Class E
has already experienced an 80% realized loss as a result of
previously liquidated loans.
The rating on one IO class, Class X-CL, was affirmed based on the
credit quality of its referenced classes.
Moody's rating action reflects a base expected loss of 0% of the
current balance, compared to 70.8% 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
10.4% of the original pooled balance, compared to 12.2% at the last
review. Moody's provides a current list of base expected losses for
conduit and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in October 2015.
Additionally, the methodology used in rating Cl. X-CL was "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the June 16, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $14.9 million
from $1.42 billion at securitization. The certificates are
collateralized by two remaining mortgage loans..
Fourteen loans have been liquidated from the pool, contributing to
an aggregate realized loss of $148.8 million (for an average loss
severity of 65%).
The largest remaining loan is the Centre at River Oaks Loan ($9.2
million -- 61.7% of the pool), which is secured by an anchored
retail property located in Houston, Texas. The property, which was
previously anchored by a Borders, was 100% leased as of December
2016. This loan has amortized down by 34% since securitization.
Moody's LTV and stressed DSCR are 47% and 2.07X, respectively,
compared to 42% and 2.30X at the last review.
The other remaining loan is the FedEx Freight Distribution Center
Loan ($5.7 million -- 38.3% of the pool), which is secured by a
warehouse facility located in Bessemer, Alabama, approximately 10
miles west of Birmingham. The property is 100% leased to FedEx
Freight East, Inc. This loan has amortized down by 21% since
securitization. Moody's LTV and stressed DSCR are 94% and 1.12X,
respectively, compared to 93% and 1.12X at the last review.
LCM XXV: Moody's Assigns (P)Ba3(sf) Rating to Cl. E Notes
---------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to nine
classes of notes to be issued by LCM XXV Ltd.
Moody's rating action is:
US$2,700,000 Class X Senior Floating Rate Notes due 2030 (the
"Class X Notes"), Assigned (P)Aaa (sf)
US$290,250,000 Class A Senior Floating Rate Notes due 2030 (the
"Class A Notes"), Assigned (P)Aaa (sf)
US$11,220,000 Class B-1 Senior Floating Rate Notes due 2030 (the
"Class B-1 Notes"), Assigned (P)Aa2 (sf)
US$40,530,000 Class B-2 Senior Floating Rate Notes due 2030 (the
"Class B-2 Notes"), Assigned (P)Aa2 (sf)
US$3,060,000 Class C-1 Deferrable Mezzanine Floating Rate Notes due
2030 (the "Class C-1 Notes"), Assigned (P)A2 (sf)
US$16,190,000 Class C-2 Deferrable Mezzanine Floating Rate Notes
due 2030 (the "Class C-2 Notes"), Assigned (P)A2 (sf)
US$10,000,000 Class C-3 Deferrable Mezzanine Fixed Rate Notes due
2030 (the "Class C-3 Notes"), Assigned (P)A2 (sf)
US$24,750,000 Class D Deferrable Mezzanine Floating Rate Notes due
2030 (the "Class D Notes"), Assigned (P)Baa3 (sf)
US$18,000,000 Class E Deferrable Mezzanine Floating Rate Notes due
2030 (the "Class E Notes"), Assigned (P)Ba3 (sf)
The Class X Notes, the Class A Notes, the Class B-1 Notes, the
Class B-2 Notes, the Class C-1 Notes, the Class C-2 Notes, The
Class C-3 Notes, the Class D Notes, and the Class E Notes are
referred to herein as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
RATINGS RATIONALE
Moody's provisional ratings of the Rated Notes address the expected
losses posed to noteholders. The provisional ratings reflect the
risks due to defaults on the underlying portfolio of assets, the
transaction's legal structure, and the characteristics of the
underlying assets.
LCM XXV is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90% of the portfolio must consist
of senior secured loans that are secured by a valid first priority
perfected security interest (including participations) and eligible
investments, and up to 10% of the portfolio may consist of second
lien loans and unsecured loans. Moody's expects the portfolio to be
approximately 50% ramped as of the closing date.
LCM Asset Management LLC (the "Manager") will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's 5 year reinvestment period.
Thereafter, the Manager may reinvest unscheduled principal payments
and proceeds from sales of credit risk assets, subject to certain
restrictions.
In addition to the Rated Notes, the Issuer will issue 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: $450,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2775
Weighted Average Spread (WAS): 3.55%
Weighted Average Coupon (WAC): 7.0%
Weighted Average Recovery Rate (WARR): 47.75%
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 2775 to 3191)
Rating Impact in Rating Notches
Class X Notes: 0
Class A Notes: 0
Class B-1 Notes: -1
Class B-2 Notes: -1
Class C-1 Notes: -2
Class C-2 Notes: -2
Class C-3 Notes: -2
Class D Notes: -1
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2775 to 3608)
Rating Impact in Rating Notches
Class X Notes: 0
Class A Notes: -1
Class B-1 Notes: -3
Class B-2 Notes: -3
Class C-1 Notes: -4
Class C-2 Notes: -4
Class C-3 Notes: -4
Class D Notes: -2
Class E Notes: -1
MADISON PARK XXIII: S&P Gives Prelim BB- Rating on Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Madison Park
Funding XXIII Ltd./Madison Park Funding XXIII LLC's $643 million
floating-rate notes.
The note issuance is a collateralized loan obligation backed by
broadly syndicated speculative-grade senior secured term loans.
The preliminary ratings are based on information as of June 28,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary 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.
PRELIMINARY RATINGS ASSIGNED
Madison Park Funding XXIII Ltd./Madison Park Funding XXIII LLC
Class Rating Amount
(mil. $)
A AAA (sf) 427.00
B AA (sf) 94.50
C (deferrable) A (sf) 52.50
D (deferrable) BBB- (sf) 42.00
E (deferrable) BB- (sf) 27.00
Subordinated notes NR 70.00
NR--Not rated.
MCA FUND II: DBRS Finalizes BB Rating on Class C Notes
------------------------------------------------------
DBRS, Inc. on June 28, 2017, finalized its provisional ratings on
the Class A Notes, the Class B Notes and the Class C Deferrable
Notes (together, the Notes) issued by MCA Fund II Holding LLC
pursuant to the Indenture dated as of June 28, 2017, between MCA
Fund II Holding LLC, as Issuer, and Wells Fargo Bank, N.A. (rated
AA (high) with a Negative trend by DBRS), as Trustee and
Calculation Agent, as outlined below. DBRS has also finalized its
provisional rating on the Liquidity Loan Facility (the Liquidity
Facility) with MCA Fund II Holding LLC as Issuer, Barclays Bank PLC
(rated A (high) with a Negative trend by DBRS) as Liquidity Lender
and Wells Fargo Bank, N.A. as Trustee and Calculation Agent, as
follows:
-- Class A Notes at A (sf)
-- Class B Notes at BBB (sf)
-- Class C Deferrable Notes at BB (sf)
-- Liquidity Facility at A (sf)
The ratings on the Class A Notes, the Class B Notes and the
Liquidity Facility address the timely payment of interest and the
ultimate payment of principal on or before the Final Maturity Date
(as defined in the Indenture referenced above). The rating on the
Class C Deferrable Notes addresses the ultimate payment of interest
and the ultimate payment of principal on or before the Final
Maturity Date (as defined in the Indenture referenced above).
The Notes are backed by a portfolio of limited partnership
interests in leveraged buyout, mezzanine debt and venture capital
private equity funds. Each class of notes is able to withstand a
percentage of tranche defaults from a Monte Carlo asset analysis
commensurate with its respective rating.
The ratings reflect the following:
(1) The Indenture dated June 28, 2017.
(2) The integrity of the transaction structure.
(3) DBRS's assessment of the portfolio quality.
(4) Adequate credit enhancement to withstand projected collateral
loss rates under various cash flow stress scenarios.
(5) DBRS's assessment of the management capabilities of MEMBERS
Capital Advisors, Inc. as Investment Manager.
MERRILL LYNCH 2006-1: Moody's Affirms C Rating on 3 Tranches
------------------------------------------------------------
Moody's Investors Service affirmed the ratings of three interest
only (IO) classes of Merrill Lynch Floating Trust Commercial
Pass-Through Certificates, Series 2006-1:
Cl. X-1B, Affirmed C (sf); previously on Jul 28, 2016 Affirmed C
(sf)
Cl. X-3B, Affirmed C (sf); previously on Jul 28, 2016 Affirmed C
(sf)
Cl. X-3C, Affirmed C (sf); previously on Jul 28, 2016 Affirmed C
(sf)
RATINGS RATIONALE
The rating of Class X-1B was affirmed based on the credit quality
of the reference classes. The ratings of Classes X-3B and X-3C were
affirmed based on the credit quality of their referenced loan, the
Royal Holiday Portfolio loan. Moody's does not rate Classes L and
M.
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, amortization, or an increase
in loan performance.
Factors that may cause a downgrade of the ratings include a decline
in the overall performance of the loan or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS," published in October 2015.
Additionally, the methodology used in rating Classes X-1B, X-3B and
X-3C was "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" published in June 2017.
DEAL PERFORMANCE
As of the July 15, 2017 Payment Date, the certificate balance has
remains unchanged from the last review at $65 million. The trust
balance has decreased by 98% from $2.6 billion at securitization
from the payoff of 14 loans. The trust has experienced $1.0 million
in cumulative bond losses, affecting Class M. Interest shortfalls
total $7.9 million and affect Classes L, M, X-3B, and X-3C.
Interest shortfalls are caused by special servicing fees, including
workout and liquidation fees, appraisal subordinate entitlement
reductions (ASERs) and extraordinary trust expenses.
One specially-serviced loan remains in the pool, the Royal Holiday
Portfolio loan ($65 million), secured by six hotels located in
Mexico with a total of 1,501-keys. Two of the hotels are located in
Cancun, and the other four hotels are located in Cozumel, Ixtapa,
Acapulco and San Jose del Cabo. The $103 million whole loan
includes $38 million in non-trust subordinate debt. Moody's current
structured credit assessment is c (sca.pd), the same as at last
review.
The loan was transferred to special servicing in February 2010 and
is a non-performing matured loan. The borrower had filed a Mexican
bankruptcy petition for the Cozumel Caribe Hotel in May 2010. The
bankruptcy court terminated the flow of funds into the lender's
cash management system and blocked the lender from pursuing
remedies against the five other assets or the guarantors. The
borrower has not made debt service payments since May 2010, nor has
the borrower provided financials for the hotel properties. Interest
advances were terminated in late 2012.
Currently, approximately $21 million in servicer advances are
outstanding, including $4.5 million in P&I advances with the
balance primarily for legal and insurance expenses, cumulative
accrued unpaid advance interest and taxes and insurance. The
special servicer is defending and pursuing multiple legal actions
and foresees a lengthy litigation.
MERRILL LYNCH 2007-CANADA22: S&P Affirms BB- Rating on Cl. G Debt
-----------------------------------------------------------------
S&P Global Ratings raised its rating to 'AAA (sf)' from 'BBB- (sf)'
on the class E commercial mortgage pass-through certificates from
Merrill Lynch Financial Assets Inc.'s series 2007-Canada 22, a
Canadian commercial mortgage-backed securities (CMBS) transaction.
In addition, S&P affirmed its ratings on seven other classes and
discontinued its ratings on three other classes from the same.
S&P said, "Our rating actions on the principal- and interest-paying
certificates follow our analysis of the transaction, primarily
using our 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.
"We raised our rating on class E to reflect our expectation of the
available credit enhancement for this class, which we believe is
greater than our most recent estimate of necessary credit
enhancement for the respective rating level. The upgrade also
reflects our expectation that this class will repay in full prior
to any liquidity interruptions resulting from the remaining loans.
"The affirmations on the principal- and interest-paying
certificates reflect our expectation that the available credit
enhancement for these classes will be within our estimate of the
necessary credit enhancement required for the current ratings. The
affirmations also reflect the risk of liquidity interruptions to
these classes.
"We discontinued our ratings on classes B, C, and D following their
full repayment as noted in the June 12, 2017, trustee remittance
report.
"While available credit enhancement levels suggest positive rating
movements on classes F through L, our analysis also considered the
susceptibility to reduced liquidity support from the three
remaining loans in the transaction. One of the loans, 4240 Manor
Street (C$6.2 million, 41.9%), was recently transferred to the
special servicer due to payment default. In addition, the other two
loans have also failed to repay at their respective maturity dates
and are in the process of being extended. If the performing loans
are unable to extend their maturity dates, interest shortfalls, as
a result of special servicing fees and appraisal reduction amounts,
may affect these classes.
"We affirmed our 'AAA (sf)' rating on the class XC interest-only
(IO) certificates based on our criteria for rating IO securities."
TRANSACTION SUMMARY
As of the June 12, 2017, trustee remittance report, the collateral
pool balance was C$14.9 million, which is 3.4% of the pool balance
at issuance. The pool currently includes three loans, down from 66
loans at issuance. Three loans (C$14.9 million, 100.0%) are on the
master servicer's watchlist as of the June 2017 remittance report.
However, the master servicer informed S&P that the 4240 Manor
Street loan was transferred to the special servicer after the June
2017 remittance report. The master servicer, Midland Loan Services,
reported financial information for 58.1% of the loans in the pool,
of which 28.4% was year-end 2016 data, and the remainder was
year-end 2015 data.
Excluding the 4240 Manor Street loan that was recently transferred
to the special servicer, S&P calculated a 1.40x S&P Global Ratings'
weighted average debt service coverage (DSC) and a 66.2% S&P Global
Ratings' weighted average loan-to-value (LTV) ratio using a 9.11%
S&P Global Ratings' weighted average capitalization rate.
To date, the transaction has experienced C$3.2 million in principal
losses, or 0.7% of the original pool trust balance. S&P expect
losses to reach approximately 1.1% of the original pool trust
balance in the near term, based on losses incurred to date and
additional losses we expect upon the eventual resolution of the
specially serviced loan.
CREDIT CONSIDERATIONS
Subsequent to the June 2017 remittance report, the 4240 Manor
Street loan was transferred to the special servicer, Midland Loan
Services Inc. Details of the loan are:
The 4240 Manor Street loan is the largest loan in the trust and has
a total reported exposure of $6.4 million. The loan is secured by a
recently converted self-storage property totaling 70,291 sq. ft.
located in Burnaby, B.C. The loan was transferred to the special
servicer on June 8, 2017, because of payment default. The loan
matured on Feb. 1, 2017. According to the special servicer, the
property is 100% leased by a single tenant, Agritech Evolution
Inc., operating as Westmount Storage. The special servicer said the
preliminary resolution strategy includes the borrower seeking
refinancing or sale of the property. S&P expects a moderate loss
(26%-59%) upon the asset's eventual resolution.
RATINGS LIST
Merrill Lynch Financial Assets Inc.
Commercial mortgage pass-through certificates series 2007-Canada
22
Rating
Class Identifier To From
B 59022BMS1 NR AAA (sf)
C 59022BMT9 NR AA (sf)
D 59022BMU6 NR BBB+ (sf)
E 59022BMV4 AAA (sf) BBB- (sf)
F 59022BMW2 BB (sf) BB (sf)
G 59022BMX0 BB- (sf) BB- (sf)
H 59022BMY8 B+ (sf) B+ (sf)
J 59022BMZ5 B (sf) B (sf)
K 59022BNA9 B (sf) B (sf)
L 59022BNB7 B- (sf) B- (sf)
XC 59022BNE1 AAA (sf) AAA (sf)
NR--Not rated.
MMCAPS FUNDING XVIII: Moody's Hikes Rating on 3 Tranches to B2
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by MMCaps Funding XVIII, Ltd.:
US$185,100,000 Class A-1 Floating Rate Notes Due 2039 (current
balance of $108,216,308), Upgraded to Aa2 (sf); previously on April
17, 2015 Upgraded to Aa3 (sf);
US$21,800,000 Class A-2 Floating Rate Notes Due 2039, Upgraded to
Aa3 (sf); previously on April 17, 2015 Upgraded to A2 (sf);
US$20,100,000 Class B Floating Rate Notes Due 2039, Upgraded to A1
(sf); previously on April 17, 2015 Upgraded to A3 (sf);
US$55,900,000 Class C-1 Floating Rate Deferrable Interest Notes Due
2039 (current balance of $59,946,531, including deferred interest
balance), Upgraded to B2 (sf); previously on April 17, 2015
Upgraded to Caa1 (sf);
US$12,000,000 Class C-2 Fixed/Floating Rate Deferrable Interest
Notes Due 2039 (current balance of $14,814,163, including deferred
interest balance), Upgraded to B2 (sf); previously on April 17,
2015 Upgraded to Caa1 (sf);
US$4,000,000 Class C-3 Fixed Rate Deferrable Interest Notes Due
2039 (current balance of $5,194,634, including deferred interest
balance), Upgraded to B2 (sf); previously on April 17, 2015
Upgraded to Caa1 (sf);
US$10,000,000 Combination Notes Due 2039 (current rated balance of
$10,266,561, including deferred interest balance), Upgraded to Caa3
(sf); previously on May 30, 2013 Affirmed Ca (sf)
MMCaps Funding XVIII, Ltd., issued in December 2006, is a
collateralized debt obligation (CDO) backed by a portfolio of bank
trust preferred securities (TruPS).
Combination Notes, issued in December 2006, were originally
composed of components representing $7 million of Class C-1 Notes
and $3 million of Income Notes issued by MMCaps Funding XVIII,
Ltd.
RATINGS RATIONALE
The rating actions are primarily a result of the deleveraging of
the Class A-1 notes, an increase in the transaction's
overcollateralization (OC) ratios, the resumption of interest
payments on one previously deferring asset, and partial repayment
of the Class C deferred interest balance since June 2016.
The Class A-1 notes have paid down by approximately 1.8% or $2.0
million since June 2016, using proceeds from the diversion of
excess interest. Based on Moody's calculations, the OC ratios for
the Class A-1, Class A-2, Class B, and Class C notes have improved
to 222.70%, 185.36%, 160.54%, and 104.75%, respectively, from June
2016 levels of 215.30%, 180.20%, 156.66%, and 102.34%,
respectively. Since June 2016, one previously deferring bank has
resumed making interest payments on its TruPS, totaling $10 million
in par. Additionally, the Class C OC ratio has been passing its
trigger since December 2016, therefore, excess interest was used to
pay $1.8 million of the Class C deferred interest balance since
then. The Class C Notes will continue to benefit from the diversion
of excess interest as long as the Class C OC test continue to pass
(current level of 109.17% versus a trigger of 103.98%).
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) 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 484)
Class A-1: +1
Class A-2: +1
Class B: +1
Class C-1: +2
Class C-2: +2
Class C-3: +2
Combination Notes: +1
Assuming a two-notch downgrade to assets with below-investment
grade ratings or rating estimates (WARF of 1171)
Class A-1: -1
Class A-2: -1
Class B: -1
Class C-1: -2
Class C-2: -2
Class C-3: -2
Combination 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 $241.0 million,
defaulted par of $44.7 million, a weighted average default
probability of 8.53% (implying a WARF of 768), 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.
MORGAN STANLEY 2005-TOP17: Fitch Affirms BB Rating on Cl. B Debt
----------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of Morgan Stanley Capital I
Trust commercial mortgage pass-through certificates series
2005-TOP17.
KEY RATING DRIVERS
The affirmations reflect the concentrated nature of the pool and
the stable performance of the remaining loans. There have been
$61.7 million (6.3% of the original pool balance) in realized
losses to date. As of the June 2017 distribution date, the pool's
aggregate principal balance has been reduced by 97.8% to $21.4
million from $980.8 million at issuance. No loans are defeased.
Interest shortfalls are currently affecting classes C through P.
Concentrated Pool: The pool is concentrated with only 11 assets
remaining, of which nine (51.4%) are fully amortizing and mature in
2019 through 2025. The amortizing loans consist of mostly retail
properties in secondary and tertiary locations.
REO Asset: One asset is real estate owned (REO) (21.4%), which is a
145 key hotel located in Augusta, GA. The borrower failed to pay
off the loan and a court appointed receiver took control of the
property in July 2016. The property has been converted to a Red
Roof Inn and the special servicer is now in the process of listing
the property for sale with a liquidation expected by year-end
2017.
RATING SENSITIVITIES
The Rating Outlook on class B remains Stable. Although the credit
enhancement will increase with continued paydown, an upgrade to
class B is unlikely as Fitch has concerns with adverse selection.
Conversely, Fitch does not foresee negative rating migration for
class B unless there is material economic change to the remaining
loans. The distressed class C, however, is subject to a downgrade
as losses are realized.
DUE DILIGENCE USAGE PURSUANT TO SEC RULE 17G-10
No third party due diligence was provided or reviewed in relation
to this rating.
Fitch has affirmed the following classes:
-- $12 million class B at 'BBsf'; Outlook Stable;
-- $7.4 million class C at 'Csf'; RE 60%;
-- $2.1 million class D at 'Dsf'; RE 0%;
-- $0 class E at 'Dsf'; RE 0%;
-- $0 class F at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-4, A-AB, A-5 and A-J certificates have
paid in full. Fitch does not rate the class P certificates. Fitch
previously withdrew the ratings on the interest-only class X-1 and
X-2 certificates.
MORGAN STANLEY 2005-TOP17: S&P Raises Class B Certs Rating to BB+
-----------------------------------------------------------------
S&P Global Ratings raised its rating on the class B commercial
mortgage pass-through certificates from Morgan Stanley Capital I
Trust 2005-TOP17, a U.S. commercial mortgage-backed securities
(CMBS) transaction.
S&P said, "The upgrade follows our analysis of the transaction,
primarily using our 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.
"We raised our rating on class B to reflect our expectation of the
available credit enhancement for the class, which we believe is
greater than our most recent estimate of the necessary credit
enhancement for the rating level, our views regarding the current
and future performance of the transaction's collateral, and the
significant reduction in trust balance.
"While the available credit enhancement level suggests further
positive rating movement on class B, our analysis also considered
the refinancing risk of the largest loan in the pool, the 3245
Meridian Parkway loan ($5.8 million, 27.2%), which matures Nov. 1,
2017; tenant rollover concerns for the second and third largest
performing loans, the Sugarloaf Marketplace loan ($3.6 million,
17.0%) and Cool Springs Corner loan ($2.2 million, 10.2%),
respectively, both of which are secured by retail properties; and
the class's interest shortfall history and full repayment timing."
TRANSACTION SUMMARY
As of the June 13, 2017, trustee remittance report, the collateral
pool balance was $21.4 million, which is 2.2% of the pool balance
at issuance. The pool currently includes 10 loans and one real
estate owned (REO) asset, down from 108 loans at issuance. One
asset ($4.6 million, 21.4%) is with the special servicer, two loans
($1.9 million, 8.8%) are on the master servicer's watchlist, and
there are no defeased loans. The master servicer, Wells Fargo Bank
N.A. (Wells Fargo), reported financial information for 100% of the
loans in the pool, of which 72.0% was year-end 2016 data, and the
remainder was year-end 2015 data.
Excluding the specially serviced asset, S&P calculated a 1.45x S&P
Global Ratings weighted average debt service coverage and 36.7% S&P
Global Ratings weighted average loan-to-value ratio using a 7.53%
S&P Global Ratings weighted average capitalization rate for the
remaining loans.
To date, the transaction has experienced $61.7 million in principal
losses, or 6.3% of the original pool trust balance. S&P expects
losses to reach approximately 6.6% of the original pool trust
balance in the near term, based on losses incurred to date and
additional losses it expects upon the eventual resolution of the
sole specially serviced asset.
CREDIT CONSIDERATIONS
As of the June 13, 2017, trustee remittance report, the Hampton Inn
Augusta REO asset was the sole asset with the special servicer,
C-III Asset Management LLC (C-III). The asset has $5.4 million in
total reported exposure and is a 145-room limited service hotel in
Augusta, Ga. The loan was transferred to the special servicer on
Dec. 4, 2015, because of maturity default (matured on Dec. 1, 2015)
and the property became REO on Feb. 7, 2017. C-III stated that the
property was converted to a Red Roof Inn flag on Aug. 31, 2016, and
the property is scheduled to be marketed for sale in the summer of
2017. A $2.6 million appraisal reduction amount is in effect
against the asset and we expect a significant loss (greater than
60%) upon its eventual resolution.
RATINGS LIST
Morgan Stanley Capital I Trust 2005-TOP17
Commercial mortgage pass-through certificates series 2005-TOP17
Rating
Class Identifier To From
B 61745MW74 BB+ (sf) CCC- (sf)
MORGAN STANLEY 2006-HQ9: Fitch Affirms Bsf Rating on Class D Certs
------------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of Morgan Stanley Capital I
Trust commercial mortgage pass-through certificates series 2006-HQ9
(MSC 2006-HQ9).
KEY RATING DRIVERS
Affirmations reflect sufficient credit enhancement relative to high
expected losses in the pool. The pool has 13 assets remaining, six
of which are in special servicing (54.3%). Three assets in special
servicing are real estate owned or in foreclosure (6.9%). The
transaction has incurred $154.9 million (6% of the original pool
balance) in realized losses to date.
As of the June 2017 distribution date, the pool's aggregate
principal balance has been reduced by 94.9% to $132.8 million from
$2.6 billion at issuance. No loans are defeased.
Concentration and Adverse Selection: The pool is highly
concentrated with only 13 of the original 219 assets remaining, of
which six (54.3% 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. The ratings
reflect this sensitivity analysis.
Largest Loan in Special Servicing: The largest loan in the pool
(45.2%) is a 257,844 square foot (sf) power center located in West
Bloomfield, MI, outside of Detroit. The property is anchored by a
Kohl's, Whole Foods and Dunham's Sports. The center has experienced
anchor tenant turnover with the closing of Staples in early 2016
and DSW being replaced by Stein Mart which opened in October 2016.
The loan transferred to special servicing in July 2016 due to
litigation filed by the borrower. Court ordered mediation in early
2017 was unsuccessful and litigation continues. The loan is 90 days
delinquent as of the June 2017 remittance.
Loan Maturities: Of the performing loans, two loans (20.1%) mature
in 2020 and three loans (10.8%) mature in 2021 and beyond. One loan
(4.3%) was modified in December 2016 with a maturity extension to
2018.
RATING SENSITIVITIES
The Negative Rating Outlooks reflect the potential for a downgrade
should expected losses increase and additional loans transfer to
special servicing. In addition, concerns remain surrounding the
performing loans including previously modified debt and
single-tenant occupancy with upcoming lease expirations, coupled
with secondary and tertiary market exposure. The distressed classes
(those rated below 'B') may be subject to downgrades as further
losses are realized. Upgrades are not likely as the remaining pool
is adversely selected and has a high concentration of assets in
special servicing.
Fitch affirms the following classes:
-- $14 million class B at 'Asf'; Outlook Negative;
-- $35.3 million class C at 'BBsf'; Outlook Negative;
-- $28.9 million class D at 'Bsf'; Outlook Negative;
-- $22.4 million class E at 'CCsf'; RE 100%;
-- $25.7 million class F at 'Csf'; RE 0%;
-- $6.6 million class G at 'Dsf'; RE 0%.
-- $0 million class H at 'Dsf'; RE 0%;
-- $0 million class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%;
-- $0 class Q at 'Dsf'; RE 0%.
Classes A-1, A-1A, A-2, A-3, A-AB, A-4, A-4FL, A-M, A-J, X-RC,
ST-A, ST-B, ST-C, ST-D, and ST-E have paid in full. Fitch does not
rate the class S, ST-F and DP certificates. Fitch previously
withdrew the ratings on the interest-only class X and X-MP
certificates.
MORGAN STANLEY 2012-C6: Moody's Affirms B2 Rating on 2 Tranches
---------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on fifteen
classes Morgan Stanley Bank of America Merrill Lynch Trust
2012-C6:
Cl. A-2, Affirmed Aaa (sf); previously on Jun 29, 2016 Affirmed Aaa
(sf)
Cl. A-3, Affirmed Aaa (sf); previously on Jun 29, 2016 Affirmed Aaa
(sf)
Cl. A-4, Affirmed Aaa (sf); previously on Jun 29, 2016 Affirmed Aaa
(sf)
Cl. A-S, Affirmed Aaa (sf); previously on Jun 29, 2016 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa2 (sf); previously on Jun 29, 2016 Affirmed Aa2
(sf)
Cl. C, Affirmed A2 (sf); previously on Jun 29, 2016 Affirmed A2
(sf)
Cl. D, Affirmed Baa1 (sf); previously on Jun 29, 2016 Affirmed Baa1
(sf)
Cl. E, Affirmed Baa3 (sf); previously on Jun 29, 2016 Affirmed Baa3
(sf)
Cl. F, Affirmed Ba2 (sf); previously on Jun 29, 2016 Affirmed Ba2
(sf)
Cl. G, Affirmed Ba3 (sf); previously on Jun 29, 2016 Affirmed Ba3
(sf)
Cl. H, Affirmed B2 (sf); previously on Jun 29, 2016 Affirmed B2
(sf)
Cl. PST, Affirmed Aa3 (sf); previously on Jun 29, 2016 Affirmed Aa3
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on Jun 29, 2016 Affirmed Aaa
(sf)
Cl. X-B, Affirmed A1 (sf); previously on Jun 29, 2016 Affirmed A1
(sf)
Cl. X-C, Affirmed B2 (sf); previously on Jun 29, 2016 Affirmed B2
(sf)
RATINGS RATIONALE
The ratings on 11 P&I classes were affirmed because the
transaction's key metrics including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR), and the
transaction's Herfindahl Index (Herf) are within acceptable ranges.
The ratings of the IO classes X-A, X-B, and X-C were affirmed due
to the credit quality of their referenced classes.
The rating of the exchangeable class PST was affirmed due to the
weighted average rating factor (WARF) of the exchangeable classes.
Moody's rating action reflects a base expected loss of 2.2% of the
current balance, compared to 2.3% at Moody's last review. Moody's
base expected loss plus realized losses is now 1.7% of the original
pooled balance, compared to 2.1% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in these ratings were "Approach to Rating US
and Canadian Conduit/Fusion CMBS" published in December 2014, and
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in October 2015. The methodology used in
rating the exchangeable class, Cl. PST was "Moody's Approach to
Rating Repackaged Securities" published in June 2015.
Additionally, the methodology used in rating Cl. X-A, Cl. X-B and
Cl. X-C was "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" published in June 2017.
DEAL PERFORMANCE
As of the June 16, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 20.5% to $893.7
million from $1.12 billion at securitization. The certificates are
collateralized by 52 mortgage loans ranging in size from less than
1% to 14.0% of the pool, with the top ten loans (excluding
defeasance) constituting 57.0% of the pool. One loan, constituting
4.5% of the pool, has defeased and is secured by US government
securities.
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 19, compared to 22 at Moody's last review.
Nine loans, constituting 24.4% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Moody's has assumed a high default probability for one poorly
performing loans, constituting 1.5% of the pool.
Moody's received full year 2015 operating results for 84% of the
pool, and full or partial year 2016 operating results for 87% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 86%, compared to 84% 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 14.1% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.4%.
Moody's actual and stressed conduit DSCRs are 1.86X and 1.25X,
respectively, compared to 1.90X and 1.28X 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 29.4% of the pool balance.
The largest loan is the 1880 Broadway/15 Central Park West Retail
Loan ($125.0 million -- 14.0% of the pool), which is secured by an
84,240 SF, four-level (two levels below grade), multi-tenant retail
condominium located on the Upper West Side of Manhattan. The
property has 232 feet of frontage along the east side of Broadway.
The property was 100% leased as of March 2017. Moody's LTV and
stressed DSCR are 94% and 0.92X, respectively, the same as Moody's
last review.
The second largest loan is the Chelsea Terminal Building Loan
($75.0 million -- 8.4% of the pool), which is secured by 1.05
million SF mixed-use property located in New York City's Chelsea
neighborhood. The property consists of 25 interconnected
seven-to-nine story commercial buildings originally constructed as
a warehouse and distribution center. Approximately 50% of the NRA
is utilized as a self-storage facility, 22% as leasable office, 16%
as general warehouse, 8% as retail, and 4% as miscellaneous
storage. The property sustained damage during Hurricane Sandy but
the borrower completed the insurance loss repairs. The property was
93% leased as of December 2016 and the loan is interest-only
throughout the loan term. Moody's LTV and stressed DSCR are 73% and
1.26X, respectively, the same as Moody's last review.
The third largest loan is the Greenwood Mall Loan ($63.0 million --
7.0% of the pool), which is secured by 575,000 SF component of a
851,500 SF super-regional mall located in Bowling Green, Kentucky.
The mall, which is owned by GGP Inc., is anchored by a Dillard's,
J.C. Penney, Sears, and a 10-screen Regal Cinema. The property was
previously also anchored by Macy's, however, Macy's vacated the
property and sold their box to GGP. The former Macy's space is
reported to have been leased to Belk, which plans to take occupancy
at the property in the latter-half of 2017. Greenwood Mall is the
only regional mall within a 50 mile radius. The property was 98%
leased as of March 2017, with in-line occupancy of 94%. Moody's LTV
and stressed DSCR are 69% and 1.53X, respectively, compared to 66%
and 1.56X at the last review.
MP CLO IX: Moody's Affirms B1(sf) Rating on Class D-2 Notes
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by MP CLO IX, Ltd.:
US$44,000,000 Class A-2 Senior Secured Floating Rate Notes Due
April 2025, Upgraded to Aaa (sf); previously on April 15, 2016
Definitive Rating Assigned Aa2 (sf)
US$17,000,000 Class B Senior Secured Deferrable Floating Rate Notes
Due April 2025, Upgraded to Aa2 (sf); previously on April 15, 2016
Definitive Rating Assigned A2 (sf)
US$22,000,000 Class C Senior Secured Deferrable Floating Rate Notes
Due April 2025, Upgraded to Baa1 (sf); previously on April 15, 2016
Definitive Rating Assigned Baa3 (sf)
US$9,000,000 Class D-1 Senior Secured Deferrable Floating Rate
Notes Due April 2025, Upgraded to Ba1 (sf); previously on April 15,
2016 Definitive Rating Assigned Ba2 (sf)
Moody's also affirmed the ratings on the following notes:
US$268,000,000 Class A-1 Senior Secured Floating Rate Notes Due
April 2025 (current outstanding balance of $172,620,119), Affirmed
Aaa (sf); previously on April 15, 2016 Definitive Rating Assigned
Aaa (sf)
US$9,000,000 Class D-2 Senior Secured Deferrable Floating Rate
Notes Due April 2025, Affirmed B1 (sf); previously on April 15,
2016 Definitive Rating Assigned B1 (sf)
MP CLO IX, Ltd., issued in April 2016, is a collateralized loan
obligation (CLO) backed primarily by a portfolio of senior secured
loans. The transaction is a static cash flow CLO with no
reinvestment period.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since October 2016. The Class
A-1 notes have been paid down by approximately 35.6% or $95.4
million since that time. Based on the trustee's June 2017 report,
the OC ratios for the Class A, Class B, Class C, and Class D notes
are reported at 140.50%, 130.28%, 119.06%, and 111.23%,
respectively, versus October 2016 levels of 128.24%, 121.61%,
113.99%, and 108.43%, respectively.
Nevertheless, the credit quality of the portfolio has deteriorated
since October 2016. Based on the trustee's June 2017 report, the
weighted average rating factor is currently 2812 compared to 2690
at that time.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
October 2016.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy and b)
the large concentration of upcoming speculative-grade debt
maturities, which could make refinancing difficult for issuers.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO documentation
by different transactional parties owing to embedded ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current expectations,
can lead to positive CLO performance. Conversely, a negative shift
in credit quality or performance of the collateral can have adverse
consequences for CLO performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging of the CLO
could accelerate owing to high prepayment levels in the loan market
and/or collateral sales by the manager, which could have a
significant impact on the notes' ratings. Note repayments that are
faster than Moody's current expectations will usually have a
positive impact on CLO notes, beginning with those with the highest
payment priority.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Moody's Adjusted WARF -- 20% (2254)
Class A-1: 0
Class A-2: 0
Class B: +2
Class C: +2
Class D-1: +2
Class D-2: +2
Moody's Adjusted WARF + 20% (3380)
Class A-1: 0
Class A-2: -1
Class B: -2
Class C: -2
Class D-1: -1
Class D-2: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analyzed the collateral pool as having a performing par and
principal proceeds balance of $304.4 million, no defaulted par, a
weighted average default probability of 21.22% (implying a WARF of
2817), a weighted average recovery rate upon default of 49.16%, a
diversity score of 54 and a weighted average spread of 3.50%
(before accounting for LIBOR floors).
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of the
assets in the collateral pool. In each case, historical and market
performance and the collateral manager's latitude for trading the
collateral are also factors.
NEW RESIDENTIAL 2017-4: DBRS Gives (P)B Rating to 10 Tranches
-------------------------------------------------------------
DBRS, Inc. on June 26, 2017, assigned the following provisional
ratings to the Mortgage-Backed Notes, Series 2017-4 (the Notes)
issued by New Residential Mortgage Loan Trust 2017-4 (the Trust):
-- $433.8 million Class A-1 at AAA (sf)
-- $433.8 million Class A-IO at AAA (sf)
-- $433.8 million Class A-1A at AAA (sf)
-- $433.8 million Class A-1B at AAA (sf)
-- $433.8 million Class A-1C at AAA (sf)
-- $433.8 million Class A1-IOA at AAA (sf)
-- $433.8 million Class A1-IOB at AAA (sf)
-- $433.8 million Class A1-IOC at AAA (sf)
-- $452.8 million Class A-2 at AA (sf)
-- $433.8 million Class A at AAA (sf)
-- $19.0 million Class B-1 at AA (sf)
-- $19.0 million Class B1-IO at AA (sf)
-- $19.0 million Class B-1A at AA (sf)
-- $19.0 million Class B-1B at AA (sf)
-- $19.0 million Class B-1C at AA (sf)
-- $19.0 million Class B1-IOA at AA (sf)
-- $19.0 million Class B1-IOB at AA (sf)
-- $19.0 million Class B1-IOC at AA (sf)
-- $12.1 million Class B-2 at A (sf)
-- $12.1 million Class B2-IO at A (sf)
-- $12.1 million Class B-2A at A (sf)
-- $12.1 million Class B-2B at A (sf)
-- $12.1 million Class B-2C at A (sf)
-- $12.1 million Class B2-IOA at A (sf)
-- $12.1 million Class B2-IOB at A (sf)
-- $12.1 million Class B2-IOC at A (sf)
-- $9.1 million Class B-3 at BBB (sf)
-- $9.1 million Class B-3A at BBB (sf)
-- $9.1 million Class B-3B at BBB (sf)
-- $9.1 million Class B-3C at BBB (sf)
-- $9.1 million Class B3-IOA at BBB (sf)
-- $9.1 million Class B3-IOB at BBB (sf)
-- $9.1 million Class B3-IOC at BBB (sf)
-- $4.9 million Class B-4 at BB (sf)
-- $4.9 million Class B-4A at BB (sf)
-- $4.9 million Class B4-IOA at BB (sf)
-- $4.9 million Class B-4B at BB (sf)
-- $4.9 million Class B4-IOB at BB (sf)
-- $4.9 million Class B-4C at BB (sf)
-- $4.9 million Class B4-IOC at BB (sf)
-- $4.2 million Class B-5 at B (sf)
-- $4.2 million Class B-5A at B (sf)
-- $4.2 million Class B5-IOA at B (sf)
-- $4.2 million Class B-5B at B (sf)
-- $4.2 million Class B5-IOB at B (sf)
-- $4.2 million Class B-5C at B (sf)
-- $4.2 million Class B5-IOC at B (sf)
-- $4.2 million Class B-5D at B (sf)
-- $4.2 million Class B5-IOD at B (sf)
-- $9.1 million Class B-7 at B (sf)
Classes A-IO, A1-IOA, A1-IOB, A1-IOC, B1-IO, B1-IOA, B1-IOB,
B1-IOC, B2-IO, B2-IOA, B2-IOB, B2-IOC, B3-IOA, B3-IOB, B3-IOC,
B4-IOA, B4-IOB, B4-IOC, B5-IOA, B5-IOB, B5-IOC and B5-IOD are
interest-only notes. The class balances represent notional amounts.
Classes A-1A, A-1B, A-1C, A1-IOA, A1-IOB, A1-IOC, A-2, A, B-1A,
B-1B, B-1C, B1-IOA, B1-IOB, B1-IOC, B-2A, B-2B, B-2C, B2-IOA,
B2-IOB, B2-IOC, B-3A, B-3B, B-3C, B3-IOA, B3-IOB, B3-IOC, B-4A,
B4-IOA, B-4B, B4-IOB, B-4C, B4-IOC, B-5A, B5-IOA, B-5B, B5-IOB,
B-5C, B5-IOC, B-5D, B5-IOD and B-7 are exchangeable notes. These
classes can be exchanged for combinations of initial exchangeable
notes as specified in the offering documents.
The AAA (sf) ratings on the Notes reflect the 12.00% of credit
enhancement provided by subordinated Notes in the pool. The AA
(sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 8.15%,
5.70%, 3.85%, 2.85% and 2.00% 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 3,500 loans with a total principal balance of
$492,985,393 as of the Cut-Off Date (June 1, 2017).
The loans are significantly seasoned with a weighted-average age of
153 months. As of the Cut-Off Date, 96.1% of the pool is current,
2.8% is 30 days delinquent under the Mortgage Bankers Association
(MBA) delinquency method and 1.1% is in bankruptcy (all bankruptcy
loans are performing or 30 days delinquent). Approximately 78.0%
and 89.2% of the mortgage loans have been zero times 30 days
delinquent (0 x 30) for the past 24 months and 12 months,
respectively, under the MBA delinquency method. The portfolio
contains 15.9% modified loans. The modifications happened more than
two years ago for 65.5% of the modified loans. As a result of the
seasoning of the collateral, none of the loans are subject to the
Consumer Financial Protection Bureau Ability-to-Repay/Qualified
Mortgage rules.
The Seller, NRZ Sponsor V LLC (NRZ), acquired certain loans prior
to the Closing Date and will acquire certain loans on the Closing
Date in connection with the termination of various securitization
trusts or through a whole loan purchase. Upon acquiring the loans
from the securitization trusts, NRZ, through an affiliate, New
Residential Funding 2017-4 LLC (the Depositor), will contribute the
loans to the Trust. As the Sponsor, New Residential Investment
Corp., through a majority-owned affiliate, will acquire and retain
a 5% eligible vertical interest in each class of securities to be
issued (other than the residual notes) to satisfy the credit risk
retention requirements under Section 15G of the Securities Exchange
Act of 1934 and the regulations promulgated thereunder. These loans
were originated and previously serviced by various entities through
purchases in the secondary market.
As of the Cut-Off Date, 87.0% by Nationstar Mortgage LLC
(Nationstar), 13.0% by Specialized Loan Servicing LLC. Nationstar
will also act as the Master Servicer and the Special Servicer.
Beginning on October 1, 2017, the Seller will have the option to
repurchase any loan that becomes 60 or more days delinquent under
the MBA method at a price equal to the principal balance of the
loan (Optional Repurchase Price), provided that such repurchases
will be limited to 10% of the principal balance of the mortgage
loans as of the Cut-Off Date.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that is enhanced from a pre-crisis structure.
The ratings reflect transactional strengths that include underlying
assets that have significant seasoning, relatively clean payment
histories and robust loan attributes with respect to credit scores,
product types and loan-to-value ratios. Additionally, historical
NRMLT securitizations have exhibited fast voluntary prepayment
rates and satisfactory deal performance.
The transaction employs a relatively weak representations and
warranties framework that includes an unrated representation
provider (NRZ), certain knowledge qualifiers and fewer mortgage
loan representations relative to DBRS criteria for seasoned pools.
Satisfactory third-party due diligence was performed on the pool
for regulatory compliance, title/lien, payment history and data
integrity. Updated Home Data Index and/or broker price opinions
were provided for the pool; however, a reconciliation was not
performed on the updated values.
Certain loans have missing assignments or endorsements as of the
Closing Date. Given the relatively clean performance history of the
mortgages and the operational capability of the servicers, DBRS
believes the risk of impeding or delaying foreclosure is remote.
NEW RESIDENTIAL 2017-4: Moody's Gives B1(sf) Ratings on 10 Tranches
-------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 50
classes of notes issued by New Residential Mortgage Loan Trust
2017-4. The NRMLT 2017-4 transaction is a securitization of $493.0
million of first lien, seasoned performing and re-performing
mortgage loans with weighted average seasoning of approximately 153
months, weighted average updated LTV ratio of 49.2% and weighted
average updated FICO score of 721. 87.6% of the loans by scheduled
balance have been current every month in the past 24 months based
on the OTS methodology. Approximately 15.9% of the loans in the
pool were previously modified. Nationstar Mortgage LLC and
Specialized Loan Servicing, LLC, will act as primary servicers and
Nationstar Mortgage LLC will act as master servicer, successor
servicer and special servicer.
The complete rating action is:
Issuer: New Residential Mortgage Loan Trust 2017-4
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-IO, Definitive Rating Assigned Aaa (sf)
Cl. A-1A, Definitive Rating Assigned Aaa (sf)
Cl. A-1B, Definitive Rating Assigned Aaa (sf)
Cl. A-1C, Definitive Rating Assigned Aaa (sf)
Cl. A-1-IOA, Definitive Rating Assigned Aaa (sf)
Cl. A-1-IOB, Definitive Rating Assigned Aaa (sf)
Cl. A-1-IOC, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aa2 (sf)
Cl. B-1, Definitive Rating Assigned Aa2 (sf)
Cl. B-1-IO, Definitive Rating Assigned Aa2 (sf)
Cl. B-1A, Definitive Rating Assigned Aa2 (sf)
Cl. B-1B, Definitive Rating Assigned Aa2 (sf)
Cl. B-1C, Definitive Rating Assigned Aa2 (sf)
Cl. B-1-IOA, Definitive Rating Assigned Aa2 (sf)
Cl. B-1-IOB, Definitive Rating Assigned Aa2 (sf)
Cl. B-1-IOC, Definitive Rating Assigned Aa2 (sf)
Cl. B-2, Definitive Rating Assigned A3 (sf)
Cl. B-2-IO, Definitive Rating Assigned A3 (sf)
Cl. B-2A, Definitive Rating Assigned A3 (sf)
Cl. B-2B, Definitive Rating Assigned A3 (sf)
Cl. B-2C, Definitive Rating Assigned A3 (sf)
Cl. B-2-IOA, Definitive Rating Assigned A3 (sf)
Cl. B-2-IOB, Definitive Rating Assigned A3 (sf)
Cl. B-2-IOC, Definitive Rating Assigned A3 (sf)
Cl. B-3, Definitive Rating Assigned Baa3 (sf)
Cl. B-3A, Definitive Rating Assigned Baa3 (sf)
Cl. B-3B, Definitive Rating Assigned Baa3 (sf)
Cl. B-3C, Definitive Rating Assigned Baa3 (sf)
Cl. B-3-IOA, Definitive Rating Assigned Baa3 (sf)
Cl. B-3-IOB, Definitive Rating Assigned Baa3 (sf)
Cl. B-3-IOC, Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Definitive Rating Assigned Ba3 (sf)
Cl. B-4A, Definitive Rating Assigned Ba3 (sf)
Cl. B-4-IOA, Definitive Rating Assigned Ba3 (sf)
Cl. B-4B, Definitive Rating Assigned Ba3 (sf)
Cl. B-4-IOB, Definitive Rating Assigned Ba3 (sf)
Cl. B-4C, Definitive Rating Assigned Ba3 (sf)
Cl. B-4-IOC, Definitive Rating Assigned Ba3 (sf)
Cl. B-5, Definitive Rating Assigned B1 (sf)
Cl. B-5A, Definitive Rating Assigned B1 (sf)
Cl. B-5-IOA, Definitive Rating Assigned B1 (sf)
Cl. B-5B, Definitive Rating Assigned B1 (sf)
Cl. B-5-IOB, Definitive Rating Assigned B1 (sf)
Cl. B-5C, Definitive Rating Assigned B1 (sf)
Cl. B-5-IOC, Definitive Rating Assigned B1 (sf)
Cl. B-5D, Definitive Rating Assigned B1 (sf)
Cl. B-5-IOD, Definitive Rating Assigned B1 (sf)
Cl. B-7, Definitive Rating Assigned B1 (sf)
RATINGS RATIONALE
Our losses on the collateral pool average 1.80% in an expected
scenario and reach 11.05% at a stress level consistent with the Aaa
ratings on the senior classes. 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 final expected losses for the
pool reflect the third party review (TPR) findings and Moody's
assessment of the representations and warranties (R&Ws) framework
for this transaction.
To estimate the losses on the pool, Moody's used an approach
similar to Moody's surveillance approach. Under this approach,
Moody's apply expected annual delinquency rates, conditional
prepayment rates (CPRs), loss severity rates and other variables to
estimate future losses on the pool. Moody's assumptions on these
variables are based on the observed rate of delinquency on seasoned
modified and non-modified loans, the collateral attributes of the
pool including the percentage of loans that were delinquent in the
past 24 months, and the observed performance of recent New
Residential Mortgage Loan Trust issuances rated by Moody's. For
this pool, Moody's used default burnout and voluntary CPR
assumptions similar to those detailed in Moody's "US RMBS
Surveillance Methodology" for Alt-A loans originated before 2005.
Moody's then aggregated the delinquencies and converted them to
losses by applying pool-specific lifetime default frequency and
loss severity assumptions.
Collateral Description
NRMLT 2017-4 is a securitization of seasoned performing and
re-performing residential mortgage loans which the seller, NRZ
Sponsor V LLC, has previously purchased in connection with the
termination of various securitization trusts. The transaction
consists primarily of 30-year fixed rate loans. 84.1% of the loans
in this pool by balance have never been modified and have been
performing while approximately 15.9% of the loans were previously
modified but are now current and cash flowing. The weighted average
seasoning on the collateral is approximately 153 months.
Property values were updated using home data index (HDI) values or
broker price opinions (BPOs). HDIs were obtained for all but four
properties contained within the securitization. In addition,
updated BPOs were obtained from a third party BPO provider for 708
properties.
Third-Party Review ("TPR") and Representations & Warranties
("R&W")
A third party due diligence provider, AMC, conducted a compliance
review on a sample of 519 mortgage loans for the securitization
pool. The regulatory compliance review consisted of a review of
compliance with the federal Truth in Lending Act (TILA) as
implemented by Regulation Z, the federal Real Estate Settlement
Procedures Act (RESPA) as implemented by Regulation X, the
disclosure requirements and prohibitions of Section 50(a)(6),
Article XVI of the Texas Constitution, federal, state and local
anti-predatory regulations, federal and state specific late charge
and prepayment penalty regulations, and document review. The TPR
identified 449 loans with compliance exceptions, 67 of which were
considered to have rating agency grade C or D level exceptions.
These C or D level exceptions broadly fell into three categories:
missing final HUD-1 Settlement Statements/HUD errors, (TX50(a)(6))
Texas cash-out loan violations, and missing documents or missing
information. Moody's applied a small adjustment to Moody's loss
severities to account for the C or D level missing final HUD-1
Settlement Statement and HUD errors. For these types of issues,
borrowers can raise legal claims in defense against foreclosure as
a set off or recoupment and win damages that can reduce the amount
of the foreclosure proceeds. Such damages can include up to $4,000
in statutory damages, borrowers' legal fees and other actual
damages. Moody's considered but did not apply an adjustment for
TX(a)(6) violations due to the small percentage of exceptions and
the R&Ws in place to prevent losses to the trust. Moody's did not
apply an adjustment for missing documents or missing information
identified by the Diligence Provider in part because Moody's
separately received and assessed a title report and a custodial
report for the mortgage loans in the pool.
The third party due diligence provider also conducted reviews of
data integrity, pay history, and title/lien on selected samples to
confirm that certain information in the mortgage loan files matched
the information supplied by the servicers. Any issues identified
during the data integrity review were corrected on the data tape,
and the pay history analysis indicated there were no material pay
history issues on the data tape.
The seller, NRZ Sponsor V LLC, is providing a representation and
warranty for missing mortgage files. To the extent that the
indenture trustee, master servicer, related servicer, depositor or
custodian has actual knowledge of a defective or missing mortgage
loan document or a breach of a representation or warranty regarding
the completeness of the mortgage file or the accuracy of the
mortgage loan documents, and such missing document, defect or
breach is preventing or materially delaying the (a) realization
against the related mortgaged property through foreclosure or
similar loss mitigation activity or (b) processing of any title
claim under the related title insurance policy, the party with such
actual knowledge will give written notice of such breach, defect or
missing document, as applicable, to the related seller, indenture
trustee, depositor, master servicer, related servicer and
custodian. Upon notification of a missing or defective mortgage
loan file, the related seller will have 120 days from the date it
receives such notification to deliver the missing document or
otherwise cure the defect or breach. If it is unable to do so, the
related seller will be obligated to replace or repurchase the
mortgage loan.
Despite this provision, Moody's increased Moody's loss severities
to account for loans with note instrument issues. This adjustment
was based on both the results of the TPR review and because the R&W
provider is an unrated entity and weak from a credit perspective.
In Moody's analysis Moody's assumed that a small percentage of the
projected defaults (calculated based upon the TPR results) will
have missing document breaches that will not be remedied and result
in higher than expected loss severities.
Trustee, Custodian, Paying Agent, Master Servicer, Successor
Servicer and Special Servicer
The transaction indenture trustee is Wilmington Trust, National
Association. The custodian functions will be performed by Wells
Fargo Bank, N.A. The paying agent and cash management functions
will be performed by Citibank, N.A. In addition, Nationstar
Mortgage LLC, as master servicer, is responsible for servicer
oversight, termination of servicers, and the appointment of
successor servicers. Having Nationstar Mortgage LLC as a master
servicer mitigates servicing-related risk due to the performance
oversight that it will provide. Moody's assess Nationstar Mortgage
LLC's servicing quality assessment at SQ2- (Above Average) as a
master servicer of residential mortgage loans. Nationstar Mortgage
LLC is the named successor servicer for the transaction and will
also serve as the special servicer. As the special servicer, it
will be responsible for servicing mortgage loans that become 60 or
more days delinquent.
Transaction Structure
The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to increasingly receive principal
prepayments after an initial lock-out period of five years,
provided two performance tests are met. To pass the first test, the
delinquent and recently modified loan balance cannot exceed 50% of
the subordinate bonds outstanding. To pass the second test,
cumulative losses cannot exceed certain thresholds that gradually
increase over time.
Because a shifting interest structure allows subordinated bonds to
pay down over time as the loan pool shrinks, senior bonds are
exposed to tail risk, i.e., risk of back-ended losses when fewer
loans remain in the pool. The transaction provides for a
subordination floor that helps to reduce this tail risk.
Specifically, the subordination floor prevents subordinate bonds
from receiving any principal if the amount of subordinate bonds
outstanding falls below 1.20% of the closing principal balance.
There is also a provision that prevents subordinate bonds from
receiving principal if the credit enhancement for the Class A-1
Note falls below its percentage at closing, 12.00%. These
provisions mitigate tail risk by protecting the senior bonds from
eroding credit enhancement over time.
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 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.
The methodologies used in these ratings were "Moody's Approach to
Rating Securitisations Backed by Non-Performing and Re-Performing
Loans" published in August 2016, and "US RMBS Surveillance
Methodology" published in January 2017.
Additionally, the methodology used in rating Cl. A-IO, Cl. A-1-IOA,
Cl. A-1-IOB, Cl. A-1-IOC, Cl. B-1-IO, Cl. B-1-IOA, Cl. B-1-IOB, Cl.
B-1-IOC, Cl. B-2-IO, Cl. B-2-IOA, Cl. B-2-IOB, Cl. B-2-IOC, Cl.
B-3-IOA, Cl. B-3-IOB, Cl. B-3-IOC, Cl. B-4-IOA, Cl. B-4-IOB, Cl.
B-4-IOC, Cl. B-5-IOA, Cl. B-5-IOB, Cl. B-5-IOC, Cl. B-5-IOD, was
"Moody's Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
OCTAGON INVESTMENT 31: Moody's Assigns B3 Rating to Class F Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
notes issued by Octagon Investment Partners 31, Ltd.
Moody's rating action is:
US$356,400,000 Class A Senior Secured Floating Rate Notes due 2030
(the "Class A Notes"), Assigned Aaa (sf)
US$44,550,000 Class B-1 Senior Secured Floating Rate Notes due 2030
(the "Class B-1 Notes"), Assigned Aa2 (sf)
US$13,200,000 Class B-2 Senior Secured Fixed Rate Notes due 2030
(the "Class B-2 Notes"), Assigned Aa2 (sf)
US$38,500,000 Class C Secured Deferrable Floating Rate Notes due
2030 (the "Class C Notes"), Assigned A2 (sf)
US$31,350,000 Class D Secured Deferrable Floating Rate Notes due
2030 (the "Class D Notes"), Assigned Baa3 (sf)
US$22,000,000 Class E Secured Deferrable Floating Rate Notes due
2030 (the "Class E Notes"), Assigned Ba3 (sf)
US$11,000,000 Class F Secured Deferrable Floating Rate Notes due
2030 (the "Class F Notes"), Assigned B3 (sf)
The Class A Notes, the Class B-1 Notes, the Class B-2 Notes, the
Class C Notes, the Class D Notes, the Class E Notes and the Class F
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.
Octagon 31 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90% of the portfolio must consist
of senior secured loans, cash, and eligible investments, and up to
10% of the portfolio may consist of second lien loans, unsecured
loans and first-lien last-out loans. The portfolio is at least 85%
ramped as of the closing date.
Octagon Credit Investors, LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five-year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer has issued 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: $550,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2675
Weighted Average Spread (WAS): 3.55%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 46.5%
Weighted Average Life (WAL): 9 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
October 2016.
Factors That Would Lead to 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 2675 to 3076)
Rating Impact in Rating Notches
Class A Notes: 0
Class B-1 Notes: -1
Class B-2 Notes: -1
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Class F Notes: 0
Percentage Change in WARF -- increase of 30% (from 2675 to 3478)
Rating Impact in Rating Notches
Class A Notes: -1
Class B-1 Notes: -3
Class B-2 Notes: -3
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
Class F Notes: -2
OMI TRUST 2000-A: S&P Withdraws D Rating on Class A-2 Certs
-----------------------------------------------------------
S&P Global Ratings lowered its rating to 'D (sf)' from 'CC (sf)' on
the class A-2 notes from OMI Trust 2000-A, an asset-backed
securities transaction backed by fixed-rate manufactured housing
loans. S&P subsequently withdrew the rating.
The downgrade reflects that this transaction did not make its full
principal payment on class A-2 on its final maturity date on May
15, 2017.
RATINGS LIST
OMI Trust 2000-A
Senior/subordinated pass-through certificates series 2000-A
Rating
Class Identifier To From
A-2 67087TBA8 D (sf) CC (sf)
Rating Withdrawn
OMI Trust 2000-A
Senior/subordinated pass-through certificates series 2000-A
Rating
Class Identifier To From
A-2 67087TBA8 NR D (sf)
NR--Not rated.
OZLM XVII: Moody's Assigns (P)Ba3(sf) Rating to Class D Notes
-------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of notes to be issued by OZLM XVII, Ltd.
Moody's rating action is:
US$322,500,000 Class A-1 Senior Secured Floating Rate Notes due
2030 (the "Class A-1 Notes"), Assigned (P)Aaa (sf)
US$55,000,000 Class A-2 Senior Secured Floating Rate Notes due 2030
(the "Class A-2 Notes"), Assigned (P)Aa2 (sf)
US$27,500,000 Class B Mezzanine Secured Deferrable Floating Rate
Notes due 2030 (the "Class B Notes"), Assigned (P)A2 (sf)
US$30,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2030 (the "Class C Notes"), Assigned (P)Baa3 (sf)
US$25,000,000 Class D Junior Secured Deferrable Floating Rate Notes
due 2030 (the "Class D Notes"), Assigned (P)Ba3 (sf)
The Class A-1 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."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
RATINGS RATIONALE
Moody's provisional ratings of the Rated Notes address the expected
losses posed to noteholders. The provisional ratings reflect the
risks due to defaults on the underlying portfolio of assets, the
transaction's legal structure, and the characteristics of the
underlying assets.
OZLM XVII is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90% of the portfolio must consist
of senior secured loans and eligible investments, and up to 10% of
the portfolio may consist of second lien loans and unsecured loans.
Moody's expects the portfolio to be approximately 65% ramped as of
the closing date.
OZ CLO Management LLC (the "Manager") and Och-Ziff Loan Management
LP, acting as the sub-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 and credit improved assets,
subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in October 2016.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2890
Weighted Average Spread (WAS): 3.65%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 9 years.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
October 2016.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2890 to 3324)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes:-2
Class B Notes: -2
Class C Notes: -1
Class D Notes: -1
Percentage Change in WARF -- increase of 30% (from 2890 to 3757)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -3
Class B Notes: -4
Class C Notes: -2
Class D Notes: -1
PALMER SQUARE 2015-2: S&P Assigns Prelim. B- Rating to Cl. E-R Debt
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1A-R, A-2-R, B-R, C-R, D-R, and E-R replacement notes from Palmer
Square CLO 2015-2 Ltd., a collateralized loan obligation (CLO)
originally issued in 2015 that is managed by Palmer Square Capital
Management LLC. The replacement notes will be issued via a
proposed supplemental indenture.
The preliminary ratings reflect S&P's opinion that the credit
support available is commensurate with the associated rating
levels.
The preliminary ratings are based on information as of June 28,
2017. Subsequent information may result in the assignment of final
ratings that differs from the preliminary ratings.
On the July 20, 2017, refinancing date, the proceeds from the
replacement note issuance are expected to redeem the original
notes. At that time, S&P anticipates withdrawing the ratings on
the original notes and assigning ratings to the replacement notes.
However, if the refinancing doesn't occur, S&P may affirm the
ratings on the original notes and withdraw its preliminary ratings
on the replacement notes.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as presented to S&P in
connection with this review, to estimate future performance. In
line with S&P's criteria, its cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest or
ultimate principal, or both, to each of the rated tranches. The
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 preliminary rating levels associated
with these rating actions.
PRELIMINARY RATINGS ASSIGNED
Palmer Square CLO 2015-2 Ltd./Palmer Square CLO 2015-2 LLC
Replacement class Rating Amount (mil. $)
A-1A-R AAA (sf) 330.00
A-1B-R NR 20.50
A-2-R AA (sf) 68.90
B-R A (sf) 31.50
C-R BBB- (sf) 33.00
D-R BB- (sf) 19.25
E-R B- (sf) 8.25
NR--Not rated.
RAIT CRE I: Fitch Affirms Bsf Rating on Class A-2 Notes
-------------------------------------------------------
Fitch Ratings has upgraded two classes and affirmed nine classes of
RAIT CRE CDO I Ltd. (RAIT CRE CDO I).
KEY RATING DRIVERS
The upgrades to the senior classes, A-1A and A-1B, reflect their
significant credit enhancement. Since the last rating action, the
senior classes have received $180 million in paydown from scheduled
amortization and the disposition of approximately 30 loan
interests, including 20 full payoffs. Realized losses since the
last rating action totaled approximately $18.2 million. While
recoveries were higher than previously expected on these assets,
many of the remaining assets in the pool are significantly
overleveraged with high losses modeled.
The remaining pool consists of interests from approximately 44
different assets. Approximately 21% of the pool are defaulted or
have their final extended maturity date within the next year. The
current percentage of defaulted assets and Loans of Concern (LOCs)
is 7.8% and 74.7%, respectively. Many of the remaining loans have
been modified, including maturity extensions, since origination.
Further, RAIT affiliates now have ownership interests in 20 of the
CDO assets, totaling approximately $378 million (72%).
As of the June 2017 trustee report, and per Fitch categorization,
the CDO is substantially invested: whole loans/A-notes (78.5%),
mezzanine debt (10.5%), and preferred equity (11.1%). Fitch expects
significant losses upon default for many of the loan positions as
they are significantly overleveraged. All overcollateralization and
interest coverage tests were in compliance.
Fitch's base case loss expectation is 65.7%. Under Fitch's
methodology, 100% of the portfolio is modeled to default in the
base case stress scenario, defined as the 'B' stress. In this
scenario, the modeled average cash flow decline is 16.6% from,
generally, trailing 12-month first-quarter 2016 or YE 2016. Modeled
recoveries are 34.3%.
The largest contributor to Fitch's base case loss expectation is an
A-note (7.3% of the pool) secured by a poorly performing regional
mall located in Houston, TX. The mall has not seen notable
improvement since a repositioning in 2010/2011. The year-end 2016
reported occupancy was 61% and cash flow has been insufficient to
cover debt service. The most recent servicer reported debt service
coverage ratio (DSCR) was 0.15x. Fitch modeled a substantial loss
on this loan in its base case.
The next largest component of Fitch's base case loss expectation is
a whole loan (5.8%) secured by a leasehold interest in a poorly
performing regional mall located near Myrtle Beach, South Carolina.
As of YE 2016, occupancy remained low at 33% after the movie
theater/bowling alley closed suddenly in May 2016. The sponsor has
been covering debt service shortfalls. The most recent servicer
reported DSCR was 0.05x. Fitch modeled a substantial loss in its
base case scenario on this loan.
The third largest contributor to Fitch's base case loss expectation
is a whole loan (7.6%) secured by a 128,000-sf office property
located in Scottsdale, AZ, approximately 15 miles northeast of the
Phoenix CBD. The YE 2016 occupancy was reported at 99%; however,
the largest tenant (72% of the net rentable area [NRA]) is expected
to vacate the majority of its space (50% of the NRA) next month at
lease maturity to relocate to a larger property. The remaining 22%
of the tenant's space matures in 2020. The most recent servicer
reported DSCR was 0.78x. Fitch modeled a substantial loss in its
base case scenario on this loan.
This transaction was analyzed according to Fitch's 'Surveillance
Criteria for U.S. CREL CDOs', which applies stresses to property
cash flows and DSCR tests to project future default levels for the
underlying portfolio. Recoveries are based on stressed cash flows
and Fitch's long-term capitalization rates. Cash flow modeling was
not performed as it was not expected to provide any additional
analytical value.
The 'CCCsf' and below ratings for classes B through J are based on
a deterministic analysis that considers Fitch's base case loss
expectation for the pool and the current percentage of defaulted
assets and Fitch Loans of Concern, factoring in anticipated
recoveries relative to each class's credit enhancement.
RAIT CRE CDO I is managed by RAIT Partnership, L.P.
RATING SENSITIVITIES
The Stable Outlooks for classes A-1A and A-1B reflect these
classes' high credit enhancement and expectation of continued
payoff. Further upgrades to these classes are unlikely due to the
portfolio's concentration, adverse selection and significant
percentage of Fitch Loans of Concern.
The Negative Outlook on Class A-2 reflects the potential for
further negative credit migration of the underlying pool and the
lower cushion in Fitch's modeling. Further, the class requires
timely payment of interest, and should a significant percentage of
the underlying loans default, the payment of interest to that class
could be disrupted, causing the class to default.
The distressed classes are subject to further downgrade should
realized losses exceed Fitch's expectations.
Fitch upgrades the following classes and revises Outlooks as
indicated:
-- $14.8 million class A-1A notes to 'BBBsf' from 'BBsf'; Outlook
to Stable from Positive;
-- $20.4 million class A-1B notes to 'BBBsf' from 'BBsf'; Outlook
to Stable from Positive.
Fitch affirms the following classes:
-- $90 million class A-2 notes at 'Bsf'; Outlook Negative;
-- $110 million class B notes at 'CCCsf'; RE 40%;
-- $41.5 million class C notes at 'CCCsf'; RE 0%;
-- $22.5 million class D notes at 'CCCsf'; RE 0%;
-- $16 million class E notes at 'CCsf'; RE 0%;
-- $500,000 class F notes at 'CCsf'; RE 0%;
-- $12.5 million class G notes at 'CCsf'; RE 0%.
-- $17.5 million class H notes at 'CCsf'; RE 0%;
-- $35 million class J notes at 'CCsf'; RE 0%.
Fitch does not rate class PS (the preferred shares).
ROSSLYN PORTFOLIO 2017-ROSS: DBRS Gives (P)BB Rating to X-CP Debt
-----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2017-ROSS
(the Certificates) to be issued by Rosslyn Portfolio Trust
2017-ROSS:
-- Class A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class D at BBB (high) (sf)
-- Class E at BBB (low) (sf)
-- Class X-CP at BB (sf)
-- Class F at BB (low) (sf)
-- Class HRR at BB (low) (sf)
All trends are Stable. All classes will be privately placed.
The Class X-CP balance is a notional amount and will be equal to
the aggregate of the balances of the loan components as follows:
the A-2 Portion, the B-2 Portion, the C-2 Portion, the D-2 Portion,
the E-2 Portion, the F-2 Portion and the HRR-2 Portion. Class HRR
represents the Eligible Horizontal Residual Interest and will be
retained by the Retaining Sponsor in accordance with the credit
risk retention rules applicable to this securitization transaction.
Distributions in respect of principal and interest on each class of
Certificates will be made in sequential order, but for a Voluntary
Principal Prepayment the amount will be allocated on a pro rata
basis.
The collateral for the transaction consists of seven office
properties totaling 2.0 million square feet (sf) located in
Arlington, Virginia, just over the Potomac River from Washington,
D.C. Three of the assets are considered to be Class A buildings and
some of the best in the market with unobstructed views of national
monuments and landmarks throughout D.C. Sponsorship for the loan is
a joint venture between US Real Estate Opportunities I, L.P.
(USREO; 89.0%) and an affiliate of Monday Properties (11.0%).
Monday Properties has managed the portfolio since 2005 and acquired
the assets in 2007 while USREO acquired an equity interest in the
portfolio in 2011. USREO is a $1.3 billion fund formed by the
Goldman Sachs Group, Inc. and two sovereign wealth funds. Monday
Properties has substantial experience and is the largest real
estate owner in the Rosslyn market with 35.0% of the total office
space. As of October 2011, the sponsors have invested $503.8
million of cash equity in the portfolio, which includes the $16.4
million of cash equity contribution at origination for the subject
loan.
The collateral for the transaction consists of a portfolio of seven
office properties totaling 2.0 million sf located in Arlington. The
Rosslyn submarket has been greatly affected by the Department of
Defense's Base Realignment and Closure Act (BRAC) as well as the
federal budget sequestration and budget crisis over the past
several years, which caused office demand to plummet and vacancy
rates to spike. These initiatives have driven the office market
vacancy rate to an elevated 26.5%, which has been persistent as
evidenced by the five-year average vacancy rate of over 25.0%. The
collateral was not immune to the government initiates as overall
portfolio vacancy reached as high as 33.7% in 2015 and has averaged
26.7% since 2011. As of May, 1, 2017, the portfolio is 67.5%
occupied with occupancies for the individual buildings ranging
between 38.1% and 91.3%. Prior to the implementation of BRAC, the
portfolio benefited from an average occupancy of 94.5% between 2005
and 2010. To restore to a stabilized occupancy level, the sponsors
engaged in a leasing initiative with a budget cost of $118.3
million expected to be spent over the initial three-year loan term,
$110.6 million of which will be in the form of future mezzanine
debt funded by the junior mezzanine lender with the remaining $7.7
million to be funded by borrower equity. Of the total improvement
plan, $65.3 million will be expected to go toward speculative
leasing costs, which include tenant improvements/leasing
commissions and landlord work, and $22.9 million will be reserved
for base building capital expenditures to upgrade building systems,
such as mechanical, plumbing, fire and safety as well as elevator
modernizations. Also included in the budget is $30.1 million of
committed leasing costs for which the junior mezzanine lender has
provided a letter of credit to backstop its future funding
obligations. Since 2016, the property has gained leasing momentum
by executing 39 new and renewal leases, representing 29.1% of the
net rentable area.
Initial loan proceeds of $500.0 million, along with $142.1 million
of mezzanine loans and a $16.4 million equity infusion from the
sponsor, were used to refinance $635.2 million of debt (comprising
prior CMBS debt securitized in the LBCMT 2007-C3 transaction for
three of the office buildings, mezzanine debt and a balance-sheet
mortgage loan), fund an upfront reserve of $6.8 million and cover
closing costs of $16.4 million. The mezzanine lender is Blackstone
Mortgage Trust, Inc. (BXMT) through its affiliate, Husky Finco, LLC
(Husky Finco). BXMT, through Husky Finco, will be obligated to make
the future funding advances. In aggregate, the $752.6 million fully
funded total debt amount will consist of a $500.0 million mortgage
loan, $71.0 million senior mezzanine loan and $181.9 million junior
mezzanine loan. The first mortgage is a 37-month term floating-rate
(one-month LIBOR plus 2.20% per annum) interest-only loan with
three 12-month extension options.
Cushman & Wakefield has determined the stabilized value of the
portfolio to be $1,277,200,000 ($625.60 per square foot (psf))
based on a weighted-average cap rate of 6.1%. The DBRS stabilized
value of $599.4 million ($274.00 psf), using an 8.5% cap rate,
equates to a 46.2% discount to the appraiser's stabilized value.
DBRS research has found that issuance cap rates (Issuer net cash
flow (NCF) divided by appraised value) for Arlington office
properties securitized in CMBS transactions, regardless of location
or quality, have not exceeded 8.5% since 1998 with the highest year
in 2000 (8.4%). Assuming a refinance constant of 8.75%, 555 basis
points above the current assumed mortgage loan rate, the DBRS
Refinance Debt Service Coverage Ratio (DSCR) is moderately strong
at 1.09 times (x), indicating lower refinance risk. Furthermore,
term default risk is considered relatively low per the DBRS Debt
Yield and DBRS Term DSCR of 8.5% and 1.64x, respectively, based on
DBRS In-Place NCF.
The ratings assigned to the Certificates by DBRS are based
exclusively on the credit provided by the transaction structure and
underlying trust assets. All classes will be subject to ongoing
surveillance, which could result in upgrades or downgrades by DBRS
after the date of issuance.
ROSSLYN PORTFOLIO 2017-ROSS: S&P Gives (P)B Rating on X-CP Certs
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Rosslyn Portfolio Trust
2017-ROSS' commercial mortgage pass-through certificates series
2017-ROSS.
The certificate issuance is a commercial mortgage-backed securities
transaction backed by the issuing entity's assets, which will
consist of a whole loan with an aggregate cut-off date principal
balance of $500.0 million. The whole loan is secured by the
borrowers' fee simple interest in seven office properties,
comprising 2.04 million sq. ft. and located in the Rosslyn
submarket of Arlington, Va.
The ratings reflect S&P's view of the collateral's historical and
projected performance, the sponsor's and manager's experience, the
trustee-provided liquidity, the loan's terms, and the transaction's
structure. S&P determined that the loan has an 92.1% beginning and
ending loan-to-value (LTV) ratio based on S&P Global Ratings'
value.
After the preliminary ratings were released, the class X-CP
certificates' notional balance was reduced by $1.15 million to
$461.35 million from $462.50 million. This was the result of
changes to the A-2, B-2, C-2, D-2, E-2, F-2, and HRR-2 portion
balances of the class A, B, C, D, E, F, and HRR certificates,
respectively. No changes in ratings from the preliminary ratings on
the class X-CP certificates were warranted following these portion
balance changes.
PRELIMINARY RATINGS ASSIGNED
Rosslyn Portfolio Trust 2017-ROSS
Class Rating(i) Amount ($)
A AAA (sf) 230,676,000
X-CP(ii) B- (sf) 461,350,000(ii)
B AA- (sf) 54,277,000
C A- (sf) 40,707,000
D BBB- (sf) 49,935,000
E BB- (sf) 67,845,000
F B (sf) 31,180,000
HRR B- (sf) 25,380,000
(i)The certificates will be issued to qualified institutional
buyers according to Rule 144A of the Securities Act of 1933.
(ii)Notional balance. The notional amount of the class X-CP
certificates will be equal to the aggregate portion balance of the
A-2 portion, the B-2 portion, the C-2 portion, the D-2 portion, the
E-2 portion, the F-2 portion and the HRR-2 portion, of the class A,
B, C, D, E, F and HRR certificates, respectively.
SEQUOIA MORTGAGE 2017-4: Moody's Gives Ba3 Rating to Class B4 Certs
-------------------------------------------------------------------
Moody's Investors Service has assigned definitive 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 477 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:
Issuer: Sequoia Mortgage Trust 2017-4
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 Aaa (sf)
Cl. A-14, Definitive Rating Assigned Aaa (sf)
Cl. A-15, Definitive Rating Assigned Aaa (sf)
Cl. A-16, Definitive Rating Assigned Aaa (sf)
Cl. A-17, Definitive Rating Assigned Aaa (sf)
Cl. A-18, Definitive Rating Assigned Aaa (sf)
Cl. A-19, Definitive Rating Assigned Aa1 (sf)
Cl. A-20, Definitive Rating Assigned Aa1 (sf)
Cl. A-21, Definitive Rating Assigned Aa1 (sf)
Cl. A-22, Definitive Rating Assigned Aaa (sf)
Cl. A-23, Definitive Rating Assigned Aaa (sf)
Cl. A-24, Definitive Rating Assigned Aaa (sf)
A-IO1, Definitive Rating Assigned Aaa (sf)
Cl. A-IO2, Definitive Rating Assigned Aaa (sf)
Cl. A-IO3, Definitive Rating Assigned Aaa (sf)
Cl. A-IO4, Definitive Rating Assigned Aaa (sf)
Cl. A-IO5, Definitive Rating Assigned Aaa (sf)
Cl. A-IO6, Definitive Rating Assigned Aaa (sf)
Cl. A-IO7, Definitive Rating Assigned Aaa (sf)
Cl. A-IO8, Definitive Rating Assigned Aaa (sf)
Cl. A-IO9, Definitive Rating Assigned Aaa (sf)
Cl. A-IO10, Definitive Rating Assigned Aaa (sf)
Cl. A-IO11, Definitive Rating Assigned Aaa (sf)
Cl. A-IO12, Definitive Rating Assigned Aaa (sf)
Cl. A-IO13, Definitive Rating Assigned Aaa (sf)
Cl. A-IO14, Definitive Rating Assigned Aaa (sf)
Cl. A-IO15, Definitive Rating Assigned Aaa (sf)
Cl. A-IO16, Definitive Rating Assigned Aaa (sf)
Cl. A-IO17, Definitive Rating Assigned Aaa (sf)
Cl. A-IO18, Definitive Rating Assigned Aaa (sf)
Cl. A-IO19, Definitive Rating Assigned Aaa (sf)
Cl. A-IO20, Definitive Rating Assigned Aa1 (sf)
Cl. A-IO21, Definitive Rating Assigned Aa1 (sf)
Cl. A-IO22, Definitive Rating Assigned Aa1 (sf)
Cl. A-IO23, Definitive Rating Assigned Aa1 (sf)
Cl. A-IO24, Definitive Rating Assigned Aa1 (sf)
Cl. A-IO25, Definitive Rating Assigned Aa1 (sf)
Cl. B1, Definitive Rating Assigned Aa3 (sf)
Cl. B2, Definitive Rating Assigned A3 (sf)
Cl. B3, Definitive Rating Assigned Baa3 (sf)
Cl. B4, Definitive Rating Assigned 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 477 first lien
residential mortgage loans, with an aggregate unpaid principal
balance of $348,598,894. 85.4% of the loans were originated through
retail channel and the 60.4% of the loans were for home purchase.
There are 135 originators in this pool, including First Republic
Bank (10.4%) and Quicken Loans Inc. (8.8%). In addition, Redwood
acquired approximately 14.5% 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 458 loans, the TPR firm conducted a
review for credit, property valuation, compliance and data
integrity ("full review") and limited review for nineteen First
Republic loans. For the nineteen 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
nineteen limited review loans. Therefore, there is a possibility
that some of these loans could have unresolved TRID issues.
Moody's, 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.
Additionally, the methodology used in rating 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
(IO) Securities" published in June 2017.
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.
SNACC AUTO 2014-1: S&P Affirms 'BB' Rating on Class E Debt
----------------------------------------------------------
S&P Global Ratings raised its ratings on two classes and affirmed
its rating on one class from SNAAC Auto Receivables Trust's series
2013-1 and series 2014-1.
The rating actions reflect each transaction's collateral
performance to date, S&P's views regarding future collateral
performance, each transaction's structure, and the credit
enhancement available to the classes' notes. In addition, S&P's
analysis included secondary credit factors, such as credit
stability, payment priorities under various scenarios, and sector-
and issuer-specific analyses.
The raised ratings reflect S&P's view that the total credit support
as a percentage of the amortizing pool balance, compared with S&P's
revised expected remaining losses, is adequate for each raised
rating.
S&P maintained its loss expectation for series 2013-1 and increased
its loss expectation for series 2014-1 in June 2017, given S&P's
expectations for default frequencies and its view of the
transactions' future collateral performance. The cumulative net
loss (CNL) rate for series 2013-1 is trending higher than that of
the trust's series 2012-1, which was paid off with a CNL of 10.00%.
In addition, series 2014-1's CNL is trending higher than that of
series 2012-1 and series 2013-1. However, while losses for series
2013-1 and series 2014-1 have increased, the hard credit support as
a percentage of the amortizing pool balance has also increased for
both (see table 3).
Table 1
Collateral Performance (%)
As of the June 2017 distribution date
Pool Current 60-plus day
Series Mo. factor CNL delinq.
2013-1 50 2.24 12.49 4.02
2014-1 38 10.56 13.66 3.10
Mo.--Month.
CNL--Cumulative net loss.
Delinq.--Delinquencies.
Table 2
CNL Expectations (%)
As of the June 2017 distribution date
Former Current
Initial revised revised
lifetime lifetime lifetime
Series CNL exp. CNL exp. CNL exp.
2013-1 10.50-11.50 12.75-13.25 12.75-13.25
2014-1 10.50-11.50 14.75-15.25 15.50-16.00
CNL exp.--Cumulative net loss expectations.
Both transactions contain a sequential principal payment structure
in which the notes are paid principal by seniority. Each
transaction also has credit enhancement in the form of a
nonamortizing reserve account, overcollateralization, subordination
for the higher-rated tranches, and excess spread.
The credit enhancement for neither transaction is at the specified
target or floor, though each class' credit support continues to
increase as a percentage of the amortizing collateral balance (see
table 3).
Table 3
Hard Credit Support (%)
As of the June 2017 distribution date
Total hard Current total hard
credit support credit support
Series Class at issuance(i) (% of current)(i)
2013-1 D 4.00 98.38
2014-1 D 7.93 63.29
2014-1 E 3.50 21.33
(i)Calculated as a percentage of the total receivable pool balance,
consisting of a reserve account, overcollateralization, and, if
applicable, subordination. Excess spread is excluded from the hard
credit support, which can also provide additional enhancement.
S&P's review of the series 2014-1 transaction incorporated a
stressed break-even cash flow analysis, which included its
assumptions on recoveries, timing of losses, and voluntary absolute
prepayment speeds that S&P believes are appropriate given each
transaction's performance to date and assigned ratings.
In addition to S&P's break-even cash flow analysis, it conducted a
sensitivity analysis for series 2014-1 to determine the impact that
a moderate ('BBB') stress scenario would have on S&P's ratings if
losses began trending higher than its revised base-case loss
expectations. In S&P's view, the results show that the raised and
affirmed ratings are consistent with its ratings stability
criteria, which outline the outer bounds of credit deterioration
for any given security under specific hypothetical stress
scenarios.
S&P will continue to monitor the performance of all the outstanding
transactions to ensure that, in S&P's view, the credit enhancement
remains sufficient to cover its revised CNL expectations under
S&P's stress scenarios for all of the rated classes.
RATINGS RAISED
SNAAC Auto Receivables Trust
Rating
Series Class To From
2013-1 D AA (sf) BBB+ (sf)
2014-1 D AA (sf) BBB+ (sf)
RATINGS AFFIRMED
SNAAC Auto Receivables Trust
Series Class Rating
2014-1 E BB (sf)
SOCIETE GENERALE 2016-C5: Fitch Affirms B- Rating on Class F Certs
------------------------------------------------------------------
Fitch Ratings has affirmed 17 classes of Societe Generale
Commercial Mortgage Securities Trust, Commercial Mortgage
Pass-Through Certificates, series 2016-C5 (SGCMS 2016-C5).
KEY RATING DRIVERS
Stable Performance: The overall pool performance remains stable
from issuance. There are no delinquent or specially serviced loans.
As of the June 2017 distribution date, the pool's aggregate balance
has been reduced by 0.6% to $732.2 million from $736.8 million at
issuance. Three loans (3.1%) currently on the servicer's watchlist
are considered Fitch Loans of Concern (FLOC), including two hotel
properties (2.7%) due to low debt service coverage ratio (DSCR) and
one multifamily property (0.4%) due to occupancy declines.
High Hotel/Retail Concentration: Loans backed by hotel properties
represent 20.8% of the pool, including one top 15 loan (4.6%).
Loans backed by retail properties represent 31.5% of the pool,
including six top 15 loans (25.3%). Two of the retail loans (8.7%)
are secured by regional malls, The Mall at Rockingham Park (5.5%)
and Peachtree Mall (3.2%), both of which have exposure to JC
Penney, Sears and Macy's. None of these store locations are
reported to be closing at this time.
Less Concentrated Pool: The largest 10 loans in the transaction
represent 43.6% of the current pool balance. Compared to other
similar vintage Fitch-rated U.S. multiborrower deals, the
concentration in this transaction is lower than the 2016 and 2015
average concentrations of 54.8% and 49.3%, respectively.
Single Tenant Exposure: The pool includes 14 loans (25.1% of pool)
secured by properties that are exclusively occupied by a single
tenant as defined by Fitch. This is significantly higher than the
2016 and 2015 averages of 15.7% and 12.7%, respectively. The loans
in the top 10 that are secured by properties with single-tenant
concentration include 85 Bluxome (5.2%), AG Life Time Fitness
Portfolio (4%), 3501 Corporate Parkway (3.9%) and East Lake Tower
Corporate Center (3.2%).
Below-Average Amortization: The pool was scheduled to amortize by
10.6% of the initial pool balance prior to maturity, which is
better than the 2016 level of 10.4%, but worse than the 2015
average of 11.7%. Nine loans (32%) are full-term interest-only, 11
loans (23%) are partial interest-only and 27 loans (45.3%) are
amortizing balloons with schedules of 25 years or less.
Although not considered a FLOC, Fitch will continue to monitor the
leasing status of Nassau Square, an anchored retail center located
in Lake Worth, FL. The property is one of the two retail properties
securing the transaction's 14th largest loan, Sandalfoot Plaza &
Nassau Square (2.9% of pool). According to the servicer, Nassau
Square's largest tenant, Metro Lumber (14.5% of total portfolio net
rentable area) has exercised its lease termination option and will
be vacating the property in June 2017, which is ahead of their
scheduled March 2019 lease expiration. The borrower indicated that
they have negotiated with a replacement tenant and expect to
execute a new lease in the near term. Without Metro Lumber, total
portfolio occupancy would decline to 73.9% from 88.4% as of the
June 2017 rent roll. The loan is structured with ongoing tenant
rollover reserves of $13,307 per month.
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:
-- $25.4 million class A-1 at 'AAAsf'; Outlook Stable;
-- $92.2 million class A-2 at 'AAAsf'; Outlook Stable;
-- $165 million class A-3 at 'AAAsf'; Outlook Stable;
-- $188.9 million class A-4 at 'AAAsf'; Outlook Stable;
-- $39.6 million class A-SB at 'AAAsf'; Outlook Stable;
-- $50.7 million class A-M at 'AAAsf'; Outlook Stable;
-- $561.8 million class X-A* at 'AAAsf'; Outlook Stable;
-- $35.9 million class X-B* at 'AA-sf'; Outlook Stable;
-- $33.2 million class X-C* at 'A-sf'; Outlook Stable;
-- $35.9 million class B at 'AA-sf'; Outlook Stable;
-- $33.2 million class C at 'A-sf'; Outlook Stable;
-- $39.6 million class X-D* at 'BBB-sf'; Outlook Stable;
-- $19.3 million class X-E* at 'BB-sf'; Outlook Stable;
-- $8.3 million class X-F* at 'B-sf'; Outlook Stable;
-- $39.6 million class D at 'BBB-sf'; Outlook Stable;
-- $19.3 million class E at 'BB-sf'; Outlook Stable;
-- $8.3 million class F at 'B-sf'; Outlook Stable.
*Notional amount and interest-only.
Fitch does not rate the class G or interest-only class X-G
certificates.
SPRINGLEAF FUNDING 2017-A: DBRS Finalizes BB Rating on Cl. D Notes
------------------------------------------------------------------
DBRS, Inc. on June 28, 2017, finalized its provisional ratings on
the following notes issued by Springleaf Funding Trust 2017-A
(Series 2017-A):
-- $516,820,000 Series 2017-A Notes, Class A (the Class A Notes)
rated AA (sf)
-- $35,960,000 Series 2017-A Notes, Class B (the Class B Notes)
rated A (sf)
-- $41,450,000 Series 2017-A Notes, Class C (the Class C Notes)
rated BBB (sf)
-- $57,540,000 Series 2017-A Notes, Class D (the Class D Notes)
rated BB (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 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 payment of timely interest on a monthly basis and
principal by the legal final maturity date.
-- OneMain Financial Group, LLC's (OneMain) capabilities with
regard to originations, underwriting and servicing.
-- Receivables are generated through legacy Springleaf Finance
Corporation (SFC) branches. Cash and check payments are
received at these branches. In a decentralized operation, this
can introduce risks that are hard to quantify.
-- Acquisition of OneMain Financial Holdings, LLC by OneMain.
-- The credit quality of the collateral and performance of
OneMain's legacy Springleaf consumer loan portfolio (the
Springleaf portfolio). DBRS used a hybrid approach in
analyzing the Springleaf portfolio that incorporates elements
of static pool analysis, which is employed for assets such as
consumer loans, and revolving asset analysis, which is
employed for assets such as credit card master trusts.
-- The legal structure and presence of legal opinions that
address the true sale of the assets to Series 2017-A, the non-
consolidation of the special-purpose vehicle with OneMain and
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.
The Series 2017-A transaction represents the seventh securitization
of a portfolio of non-prime and subprime personal loans originated
through OneMain's legacy branch network of SFC.
Credit enhancement in the transaction consists of
overcollateralization, subordination, excess spread and a reserve
account. The rating on the Class A Notes reflects 25.05% of initial
hard credit enhancement provided by the subordinated notes in the
pool, the Reserve Account (0.50%) and overcollateralization
(4.85%). The ratings on the Class B, Class C and Class D Notes
reflect 19.80%, 13.75% and 5.35% of initial hard credit
enhancement, respectively.
SPRINGLEAF FUNDING 2017-A: S&P Assigns 'BB' Rating on Cl. D Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Springleaf Funding Trust
2017-A's $651.77 million personal consumer loan-backed notes.
The note issuance is an asset-backed securities (ABS) transaction
backed by personal consumer loan receivables.
The ratings reflect:
-- The availability of approximately 44.4%, 40.0%, 34.7%, and
26.8% credit support to the class A, B, C, and D notes,
respectively, in the form of subordination,
overcollateralization, a reserve account, and excess spread.
These credit support levels are sufficient to withstand
stresses commensurate with the ratings on the notes based on
S&P's stressed cash flow scenarios.
-- S&P's expectation that under a moderate ('BBB') stress
scenario, all else being equal, its 'AA (sf)' rating on the
class A notes will remain within one rating category of the
assigned rating in the next 12 months, and S&P's 'A (sf)',
'BBB (sf)', and 'BB (sf)' ratings on the class B, C, and D
notes, respectively, will remain within two rating
categories of the assigned ratings in the next 12 months,
based on S&P's credit stability criteria.
-- The timely interest and full principal payments expected to
be made under stressed cash flow modeling scenarios are
appropriate to the assigned ratings.
-- The characteristics of the pool being securitized.
-- The operational risks associated with OneMain Holding Inc.'s
hybrid business model.
-- The relatively limited time since the recent platform
integration of Springleaf and OneMain Financial Holdings LLC
(OMFH). On Nov. 15, 2015, OneMain, through its wholly owned
subsidiary, Independence Holdings LLC, completed the
acquisition of OMFH from CitiFinancial Credit Company for
$4.5 billion in cash. OneMain and its subsidiaries (other
than OMFH) are referred to as "Springleaf."
-- The transaction's payment and legal structures.
RATINGS ASSIGNED
Springleaf Funding Trust 2017-A
Class Rating Type Amount
(mil. $)
A AA (sf) Senior 516.82
B A (sf) Subordinate 35.96
C BBB (sf) Subordinate 41.45
D BB (sf) Subordinate 57.54
STRUCTURED ASSET 2005-8: Moody's Hikes Cl. M1 Notes Rating to Ba1
-----------------------------------------------------------------
Moody's Investors Service has upgraded the rating of 1 tranche and
assigned the rating of 1 tranche, from Structured Asset Investment
Loan Trust 2005-8 Subprime RMBS.
Complete rating actions are:
Issuer: Structured Asset Investment Loan Trust 2005-8
Cl. A4, Assigned to Aaa (sf); previously on Jul 19, 2016 Withdrawn
(sf)
Cl. M1, Upgraded to Ba1 (sf); previously on Jul 19, 2016 Upgraded
to B2 (sf)
RATINGS RATIONALE
The upgrade is primarily due to the total credit enhancement
available to the bond. The assignment of the rating for Class A-4
reflects the correction of a prior error. The rating on this trance
was withdrawn during a prior review due to a data error. This error
has now been fixed, and a rating of Aaa has been assigned. The
actions reflect the recent performance of the underlying pools and
Moody's updated loss expectations on the pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.3% in May 2017 from 5.7% 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.
TELOS CLO 2014-5: S&P Affirms 'BB' Rating on Class E Notes
----------------------------------------------------------
S&P Global Ratings affirmed its ratings on the class A, B-1, B-2,
C, D, E, and F notes from Telos CLO 2014-5 Ltd., a U.S.
collateralized loan obligation transaction that closed in May 2014
and is managed by Telos Asset Management LLC.
The rating actions follow S&P's review of the transaction's
performance using data from the May 31, 2017, trustee report. The
transaction is scheduled to remain in its reinvestment period until
April 2018.
Since the transaction's effective date, the trustee-reported
collateral portfolio weighted average life has decreased to 4.24
years from 5.55 years. This seasoning has decreased the overall
credit risk profile. In addition, the number of obligors in the
portfolio increased during the same period, which contributed to
the portfolio's increased diversification.
That said, the transaction has also experienced an increase in both
defaults and assets rated 'CCC+' and below since the May 2014
trustee report, which S&P used for its effective date analysis.
Specifically, the amount of defaulted assets increased to
$4.81 million as of the May 2017 trustee report from $0.00 as of
the May 2014 report. The level of assets rated 'CCC+' and below
increased to 9.9% of the aggregate principal balance from 0.00%
over the same period.
Furthermore, according to the May 2017 trustee report, the
overcollateralization (O/C) ratios for each class have exhibited
mild declines since the May 2014 trustee report:
-- The class A/B O/C ratio decreased to 133.16% from 133.79%.
-- The class C O/C ratio decreased to 120.00% from 120.56%.
-- The class D O/C ratio decreased to 113.25% from 113.78%.
-- The class E O/C ratio decreased to 107.72% from 108.23%.
Even with the decline in credit support, all coverage tests are
currently passing and are above the minimum requirements.
Overall, the increase in defaulted assets has been largely offset
by the decline in the weighted average life. However, any
significant deterioration in these metrics could negatively affect
the deal in the future, especially the junior tranches. As such,
the affirmed ratings reflect S&P's belief that the credit support
available is commensurate with the current rating levels.
Although the cash flow results indicated a lower rating for the
class F notes, S&P views the overall credit seasoning as an
improvement and also considered the relatively stable O/C ratios
that currently have significant cushion over their minimum
requirements. However, any increase in defaults and/or par losses
could lead to potential negative rating actions on the class F
notes in the future.
In addition, the ratings reflect additional sensitivity runs and
allowed for volatility in the underlying portfolio given that the
transaction is still in its reinvestment period.
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 AFFIRMED
Telos CLO 2014-5 Ltd.
Class Rating
A AAA (sf)
B-1 AA (sf)
B-2 AA (sf)
C A (sf)
D BBB (sf)
E BB (sf)
F B (sf)
THL CREDIT 2013-1: S&P Assigns Prelim. 'BB' Rating on Cl. D-R Debt
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1R, A-2R, B-R, C-R, and D-R replacement notes from THL Credit
Wind River 2013-1 CLO Ltd., a collateralized loan obligation (CLO)
originally issued in April 2013 that is managed by THL Credit
Senior Loan Strategies LLC. The replacement notes will be issued
via a proposed supplemental indenture.
The preliminary ratings reflect S&P's opinion that the credit
support available is commensurate with the associated rating
levels.
The preliminary ratings are based on information as of June 27,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the July 20, 2017, refinancing date, the proceeds from the
issuance of the replacement notes are expected to redeem the
original notes. At that time, S&P anticipates withdrawing the
ratings on the original notes and assigning ratings to the
replacement notes. However, if the refinancing doesn't occur, S&P
may affirm the ratings on the original notes and withdraw its
preliminary ratings on the replacement notes.
The replacement notes are being issued via a proposed supplemental
indenture, which outlines the terms of the replacement notes. In
addition, based on provisions in the supplemental indenture:
-- There will be a revised capital structure.
-- The non-call period, the reinvestment period, and the stated
maturity will be extended to July 2019, July 2022, and July
2030, respectively. The weighted average life test has also
been extended.
-- Of the underlying collateral obligations, 97.72% have credit
ratings assigned by S&P Global Ratings.
-- Of the underlying collateral obligations, 95.30% have
recovery ratings issued by S&P Global Ratings.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the trustee
report, to estimate future performance. In line with S&P's
criteria, its cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, S&P's analysis considered
the transaction's ability to pay timely interest or ultimate
principal, or both, to each of the rated tranches.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and S&P will take further rating actions
as it deems necessary.
PRELIMINARY RATINGS ASSIGNED
THL Credit Wind River 2013-1 CLO Ltd.
Replacement class Rating Amount (mil. $)
A-1R AAA (sf) 289.30
A-2R AA (sf) 52.00
B-R (deferrable) A (sf) 29.40
C-R (deferrable) BBB (sf) 24.80
D-R (deferrable) BB (sf) 20.20
Subordinated notes NR 51.50
NR--Not rated.
TOWD POINT 2017-3: Fitch to Rate Class B2 Notes 'Bsf'
-----------------------------------------------------
Fitch Ratings expects to rate Towd Point Mortgage Trust 2017-3
(TPMT 2017-3) as follows:
-- $519,617,000 class A1 notes 'AAAsf'; Outlook Stable;
-- $49,804,000 class A2 notes 'AAsf'; Outlook Stable;
-- $569,421,000 class A3 exchangeable notes 'AAsf'; Outlook
Stable;
-- $617,265,000 class A4 exchangeable notes 'Asf'; Outlook
Stable;
-- $47,844,000 class M1 notes 'Asf'; Outlook Stable;
-- $37,648,000 class M2 notes 'BBBsf'; Outlook Stable;
-- $30,589,000 class B1 notes 'BBsf'; Outlook Stable;
-- $22,746,000 class B2 notes 'Bsf'; Outlook Stable.
The following classes will not be rated by Fitch:
-- $25,098,000 class B3 notes;
-- $25,099,000 class B4 notes;
-- $25,882,823 class B5 notes.
The notes are supported by one collateral group that consists of
4,936 seasoned performing and re-performing mortgages with a total
balance of approximately $784.33 million (which includes $43.6
million, or 5.6%, 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 33.75%
subordination provided by the 6.35% class A2, 6.10% class M1, 4.80%
class M2, 3.90% class B1, 2.90% class B2, 3.20% class B3, 3.20%
class B4 and 3.30% 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" (73.2%) and loans
that are current but have recent delinquencies or incomplete
paystrings, identified as "dirty current" (26.8%). All loans were
current as of the cutoff date and 85.2% of the loans have received
modifications.
Third-Party Due Diligence (Mixed): A third-party due diligence
review was conducted and focused on regulatory compliance, pay
history and a tax and title lien search. The third-party review
(TPR) firm's due diligence review resulted in approximately 6.9%
'C' and 'D' graded loans, meaning the loans had material violations
or lacked documentation to confirm regulatory compliance. The
percentage of 'C' and 'D' graded loans is the lowest seen in any
TPMT transaction and is below the average of approximately 13% seen
in other recently rated RPL transactions. See the third-party due
diligence section beginning on for additional details.
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 severity
(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 1.0% of
the loans were originated as investment property loans by an
affiliate of the seller. While the loan to value (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 August 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 August 2018.
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 50 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
expectations by roughly 410 basis points (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 to repurchase loans, for which assignments are not
recorded and endorsements are not completed by the payment date in
August 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 $43.6 million (5.6%) of the unpaid
principal balance) are outstanding on 972 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.
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. To account for the potentially higher fee above what
is allowed for under the current transaction documents, Fitch's
cash flow analysis assumed a 50-bp servicing fee in the 'AAAsf,'
'AAsf,' and 'Asf' rating stresses.
CRITERIA APPLICATION
Fitch's analysis incorporated two variations from the "U.S. RMBS
Seasoned, Re-Performing and Non-Performing Loan Rating Criteria."
The first variation to this criteria is related to the 2.4% of
loans for which a compliance and data integrity review was not
completed. These loans were not subject to federal, state, and
local high cost testing, not subject to QM/ATR, and are seasoned
beyond the SOL for an affirmative action under TILA. Due to the
loan characteristics, such as the high WAVG updated FICO of 746,
and low WAVG CLTV of 70.2%, Fitch was comfortable with the 97.6%
due diligence performed. In addition, none of these loans have been
modified.
The second variation is related to the tax and title review for
approximately 2% of the loans, which was completed outside of the
six-month timeframe expected in Fitch's criteria. These loans had
tax and title searches performed at acquisition, which was outside
of Fitch's 6 month tolerance. 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.
Additionally, 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.
Furthermore, Fitch's analysis incorporated one criteria variation
from the "U.S. RMBS Rating Criteria." There are 50 loans
(approximately 1.36% by balance) in the pool which are seasoned
slightly less than Fitch's threshold for seasoned loans, which is
24 months. On average these loans are approximately 21 months
seasoned. The due diligence scope for these loans was not
consistent with Fitch's scope for newly originated loans. Fitch is
comfortable with the due diligence that was completed on these
loans as it is a small percentage of pool and the scope was
consistent with Fitch's criteria for seasoned and re-performing
loans. In addition Fitch received updated values for these loans
and conservative assumptions were made on the collateral analysis.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the metropolitan statistical area (MSA) and
national levels. The implied rating sensitivities are only an
indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to or be
considered in the surveillance of the transaction.
Fitch conducted sensitivity analysis determining how the ratings
would react to steeper MVDs at the national level. The analysis
assumes MVDs of 10%, 20%, and 30%, in addition to the
model-projected 37.5% at 'AAAsf'. The analysis indicates there is
some potential rating migration with higher MVDs, compared with the
model projection.
Fitch also conducted sensitivities to determine the stresses to
MVDs that would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'.
VNDO 2013-PENN: S&P Affirms 'BB-' Rating on Cl. E Certificates
--------------------------------------------------------------
S&P Global Ratings affirmed its ratings on six classes of
commercial mortgage pass-through certificates from VNDO 2013-PENN
Mortgage Trust, a U.S. commercial mortgage-backed securities (CMBS)
transaction.
The affirmations on the principal- and interest-paying certificate
classes follow S&P's analysis of the transaction primarily using
its criteria for rating U.S. and Canadian CMBS transactions, which
included a review of the credit characteristics and current and
future performance of the office collateral securing the loan in
the pool, the transaction's structure, and liquidity available to
the trust. The affirmations also reflect S&P's expectation that
the available credit enhancement for the classes will be within its
estimate of the necessary credit enhancement required for the
current ratings.
S&P affirmed its rating on the class X-A interest-only (IO)
certificates based on its criteria for rating IO securities, under
which the ratings on the IO securities would not be higher than
that of the lowest-rated reference class. The notional balance on
class X-A references class A.
The analysis of stand-alone (single borrower) transactions is
predominantly a recovery-based approach that assumes a loan
default. Using this approach, S&P's property-level analysis
included a revaluation of Eleven Penn Plaza, a 1.1 million-sq.-ft.
office building in New York, which secures the mortgage loan in the
trust. S&P also considered the servicer-reported net operating
income (NOI) and stable occupancy for the past six years. S&P
derived its sustainable in-place net cash flow, which S&P divided
by a 6.75% capitalization rate to determine its expected-case
value. This yielded a S&P Global Ratings loan-to-value (LTV) ratio
and debt service coverage (DSC) of 82.4% and 2.04x, respectively,
on the trust balance.
According to the June 15, 2017, trustee remittance report, the
trust consisted of a $450.0 million 3.95% fixed-rate IO loan that
matures Dec. 6, 2020. In addition, the borrower can incur future
mezzanine debt provided the loan meets certain conditions,
including a specific LTV ratio, DSC, and debt yield tests.
According to the master servicer, Wells Fargo Bank N.A., the
borrower has not incurred any mezzanine debt to date. According to
the transaction documents, the borrower will pay the special
servicing, work-out, and liquidation fees, as well as costs and
expenses incurred from appraisals and inspections conducted by the
special servicer. To date, the trust has not incurred any
principal losses.
S&P based its analysis partly on a review of the property's
historical NOI for the years ended Dec. 31, 2016, 2015, 2014, 2013,
2012, and 2011 (where available), and the April 1, 2017, rent roll,
provided by the master servicer to determine S&P's opinion of a
sustainable cash flow for the office property. Wells Fargo Bank
N.A. reported a DSC and occupancy of 2.04x and 93.6%, respectively,
for year-end 2016. Based on the April 1, 2017, rent roll, three
tenants--Macy's, AMC Networks, and Madison Square Gardens
Inc.--comprise 91.6% of the collateral's total net rentable area
(NRA). In addition, 0.6%, 0.1%, and 0.0% of the NRA reflects
leases that expire in 2017, 2018, and 2019, respectively.
RATINGS LIST
VNDO 2013-PENN Mortgage Trust
Commercial mortgage pass-through certificates, series 2013-PENN
Rating
Class Identifier To From
A 91830MAA4 AAA (sf) AAA (sf)
X-A 91830MAC0 AAA (sf) AAA (sf)
B 91830MAG1 AA- (sf) AA- (sf)
C 91830MAJ5 A- (sf) A- (sf)
D 91830MAL0 BBB- (sf) BBB- (sf)
E 91830MAN6 BB- (sf) BB- (sf)
WACHOVIA BANK 2005-C18: Moody's Affirms B1 Rating on Class G Certs
------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
in Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage
Pass-Through Certificates, Series 2005-C18:
Cl. G, Affirmed B1 (sf); previously on Jul 7, 2016 Upgraded to B1
(sf)
Cl. H, Affirmed C (sf); previously on Jul 7, 2016 Affirmed C (sf)
RATINGS RATIONALE
The rating on Class G was affirmed due the transaction's key
metrics, including Moody's loan-to-value (LTV) ratio and Moody's
stressed debt service coverage ratio (DSCR), are within acceptable
ranges.
The rating on Class H was affirmed because the ratings are
consistent with Moody's expected loss. Class H has already
experienced a 48% realized loss as result of previously liquidated
loans.
Moody's rating action reflects a base expected loss of 30.8% of the
current balance, compared to 25.4% at Moody's last review. Moody's
base expected loss plus realized losses is now 4.6% 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.
DEAL PERFORMANCE
As of the June 17, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $12.9 million
from $1.41 billion at securitization. The certificates are
collateralized by two mortgage loans.
One of two remaining loans, constituting 63% 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.
Seven loans have been liquidated from the pool, resulting in an
aggregate realized loss of $61 million (for an average loss
severity of 43%). One loan is currently in special servicing. The
specially serviced loan is the Friarsgate Plaza Shopping Center
Loan ($4.8 million -- 36.7% of the pool), which is secured by a
neighborhood shopping center in Irmo, South Carolina, a suburb of
Columbia located 12 miles northwest of the city center. The loan
was transferred to special servicing in April 2015 due to a
maturity default, and was deemed non-recoverable in June 2015. The
loan is currently in receivership. The largest tenant, Bi-Lo/Edens
& Avant Financing (66% of the net rentable area) will be vacating
the property with a lease maturity of July 2017. After Bi-Lo/Edens
& Avant Financing vacates, the property will be 22% leased. Moody's
anticipates a significant loss for this loan.
The sole performing loan in the pool is the Market Square -- Phase
II Loan ($8.2 million -- 63% of the pool), which is secured by a
66,000 square feet retail property in Fort Myers, Florida. The loan
was added to the master servicer's watchlist in February 2015 for
an upcoming Anticipated Repayment Date (ARD) in May 2015. The loan
has since passed its ARD without payoff, therefore the interest
rate has increased and excess cash is collected and applied towards
principal. As of December 2016, the property was 100% leased
compared to 66% leased at last review. The property was 66% leased
at the last review due to the largest tenant terminating their
lease early. The space was filled by Michael's with a lease
commencing in July 2016. Moody's LTV and stressed DSCR are 112% and
0.92X, respectively, compared to 114% and 0.90X at the prior
review.
WELLS FARGO 2012-LC5: Fitch Affirms Bsf Rating on Class F Certs
---------------------------------------------------------------
Fitch Ratings has affirmed 11 classes of Wells Fargo Commercial
Mortgage Trust (WFCM) commercial mortgage pass-through
certificates, series 2012-LC5.
KEY RATING DRIVERS
The affirmations reflect the relatively stable performance of the
pool, and sufficient credit enhancement (CE) relative to Fitch's
loss expectations for the pool. Fitch modelled losses of 4.50% of
the remaining pool; expected losses based on the original pool
balance are 3.73%. There are currently no interest shortfalls, and
two loans (0.81% of the pool) are currently defeased.
Stable Performance: The pool has had relatively stable performance
since issuance, with zero losses to date and no loans in special
servicing. CE has increased since issuance due to 17.0% paydown,
including the full repayment of three loans (11.3% of the original
pool) on or ahead of their 2017 maturity dates.
Retail Concentration: Loans secured by retail properties represent
the largest concentration at 41.5% of the pool, which includes five
of the top 15 loans (24.1%). The largest loan in the pool, the
$142.7 million Westside Pavilion (13.5%), is secured by an urban
mall located in Westwood, CA (West Los Angeles) and is sponsored by
Macerich Partnership, L.P. Cash flow has declined since issuance
and is expected to further deteriorate due to the impending vacancy
of a major anchor (Nordstrom; 26% NRA). In addition, the property
also has exposure to Macy's.
Fitch Loans of Concern: Three loans (17.9% of the pool) have been
identified as Fitch Loans of Concern (FLOCs), all three of which
are in the top 15 loans. The FLOCs include two retail properties
(Westside Pavilion and Rooney Ranch) with vacating and/or vacant
anchor space (16%), plus an underperforming office property in
Washington D.C. (The Walker Building) with occupancy declines and
negative NOI (1.9%).
Amortization and Loan Term: Of the remaining pool, seven loans
(16.6%) are interest-only (IO), and seven loans (19.0%) were
structured with partial IO, of which six (16.7%) have transitioned
into their amortization period. The remaining 53 loans (64.4%) are
balloon loans. The pool currently receives $1.62 million in
scheduled monthly principal per the June 2017 remittance report
(excludes maturing loans). Approximately 97.9% of the pool consists
of 10-year loans, and one five-year and one six-year loan comprise
1.5% and 0.6%, respectively.
RATING SENSITIVITIES
The Rating Outlooks for classes A-2 through E are considered Stable
due to the relatively stable performance of the pool, sufficient CE
and expected continued amortization. Upgrades may be possible with
improved pool performance and additional paydown or defeasance. The
Negative Outlook on class F reflects concerns surrounding the
pool's high retail concentration (41.5% of the pool), particularly
the largest loan in the pool (13.5%), which is an urban mall and
identified as a FLOC. Fitch's analysis includes a sensitivity test
reflecting a negative stress scenario due to risks associated with
vacating anchors, declining revenues, and uncertainty surrounding
the property's future development plans. Based on the stress
scenario, this component of the transaction now carries greater
volatility.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the ratings and revised the Outlooks for the
following classes as indicated:
-- $20 million class A-2 at 'AAAsf'; Outlook Stable;
-- $556.7 million class A-3 at 'AAAsf'; Outlook Stable;
-- $100 million class A-SB at 'AAAsf'; Outlook Stable;
-- $124.5 million class A-S at 'AAAsf'; Outlook Stable;
-- $801,256,110* class X-A 'AAAsf'; Outlook Stable;
-- $118,138,000* class X-B 'A-sf'; Outlook to Stable from
Positive;
-- $76.6 million class B at 'AA-sf'; Outlook to Stable from
Positive;
-- $41.5 million class C at 'A-sf'; Outlook to Stable from
Positive;
-- $49.5 million class D at 'BBB-sf'; Outlook Stable;
-- $20.8 million class E at 'BBsf'; Outlook Stable;
-- $23.9 million class F at 'Bsf'; Outlook to Negative from
Stable.
*Notional amount and interest only.
The class A-1 certificates have paid in full. Fitch does not rate
the class G certificates.
WELLS FARGO 2016-BNK1: Fitch Affirms B-sf Rating on 2 Tranches
--------------------------------------------------------------
Fitch Ratings affirms 15 classes of Wells Fargo Commercial Mortgage
(WFCM) Trust 2016-BNK1 commercial mortgage pass through
certificates.
KEY RATING DRIVERS
Stable Performance: The affirmations are based on the stable
performance of the underlying collateral. There have been no
material changes to the pool since issuance, and therefore the
original rating analysis was considered in affirming the
transaction. There are no delinquent or specially serviced loans.
As of the June, 2017 distribution date, the pool's aggregate
balance has been reduced by 0.52% to $865.9 million, from $870.5
million at issuance.
Two loans (5.29%) are on the servicer's watchlist due to tenant
rollover or vacancy; servicer notes indicate the borrowers are in
the process of renewing or signing new leases. No loans are
considered Fitch loans of concern.
Higher Pool Concentration: The top 10 loans comprise 58.8% of the
pool, which is greater than the full-year 2016 and 2015 respective
averages of 54.8% and 49.3%.
Average Amortization: The pool is scheduled to amortize by 11.3%,
which is above the 2016 average of 10.4% and slightly below the
2015 average of 11.7% for fixed-rate transactions. There are 12
loans representing 37.7% of the pool that are full-term
interest-only, which is above the 2016 average of 33.0% for
fixed-rate transactions. Ten loans representing 29.1% of the pool
are partial interest-only. The remainder of the pool consists of 17
balloon loans representing 32.7% of the pool, and one fully
amortizing loan over a 10-year term representing 0.5% of the pool.
Property Type Concentration: The largest property type
concentration is office at 31.6% of the pool, followed by retail at
26.2% and hotel at 15.2%. Industrial properties represent 11.2% of
the pool, and no other property type represents more than 6.8% of
the pool (mixed use). The pool's hotel concentration is below the
YTD 2016 average of 16.3% for fixed-rate transactions.
RATING SENSITIVITIES
The Rating Outlook on all classes remains Stable given the
relatively stable performance of the transaction since issuance.
Fitch does not foresee positive or negative ratings migration until
a material economic or asset-level event changes the transaction's
overall portfolio-level metrics.
Fitch has affirmed the following ratings:
-- $31.8 million class A-1 notes at 'AAAsf'; Outlook Stable;
-- $45.8 million class A-SB notes at 'AAAsf'; Outlook Stable;
-- $230 million class A-2 notes at 'AAAsf'; Outlook Stable;
-- $267 million class A-3 notes at 'AAAsf'; Outlook Stable;
-- $67.2 million class A-S notes at 'AAAsf'; Outlook Stable;
-- 574.6* million class X-A notes at 'AAAsf'; Outlook Stable;
-- $44.5 million class B notes at 'AA-sf'; Outlook Stable;
-- $150.9* million class X-B notes at 'A-sf'; Outlook Stable;
-- $39.3 million class C notes at 'A-sf'; Outlook Stable;
-- $39.3 million class D notes at 'BBB-sf'; Outlook Stable;
-- $39.3* million class X-D notes at 'BBB-sf'; Outlook Stable;
-- $18.6 million class E notes at 'BB-sf'; Outlook Stable;
-- $18.6* million class X-E notes at 'BB-sf'; Outlook Stable;
-- $8.3 million class F notes at 'B-sf'; Outlook Stable;
-- $8.3* million class X-F notes at 'B-sf'; Outlook Stable.
* Notional amount and interest-only.
Fitch does not rate the class G, X-G, or RRI certificates.
WESTCHESTER CLO: S&P Affirms 'B+' Rating on Class E Notes
---------------------------------------------------------
S&P Global Ratings raised its rating on the class B notes from
Westchester CLO Ltd. At the same time, S&P affirmed its ratings on
the class A-1-B, C, D, and E notes. S&P also removed the rating on
the class E notes from CreditWatch, where it placed it with
negative implications on March 30, 2017. Westchester CLO Ltd. is a
U.S. collateralized loan obligation (CLO) managed by Highland
Capital Management L.P.
The rating actions follow S&P's review of the transaction's
performance using data from the trustee report dated May 31, 2017.
Since S&P's last rating actions in March 2016, $385.38 million has
been paid down to the principal balances of the rated notes. This
resulted in the full payment of the class A-1-A notes, as well as
paydowns to the class A-1-B and E notes, leaving these with
approximately 18.00% and 68.07% of their original outstanding
balances remaining, respectively.
The paydowns to the class E notes have been the result of turbo
payments of interest proceeds made directly to this class due to a
breach of the class E overcollateralization (O/C) test.
According to the May 2017 trustee report, there has been some par
decrease in 'CCC' rated and defaulted collateral held in the
portfolio since the January 2016 trustee report, which S&P used for
its last rating actions. As of May 2017, the trustee reported the
aggregate balance of 'CCC' obligations was down to
$16.01 million from $28.23 million reported in January 2016, and
defaulted collateral was down to $54.40 million from
$67.68 million over the same period. However, because the
portfolio's size declined since our last rating actions, the
concentration of low-rated and defaulted obligations has risen
significantly. As a result of the increased concentration in
lower-credit-quality assets, the weighted average rating has
declined to 'B' from 'B+'.
The portfolio's overall diversification has also decreased. As of
May 2017, there were only 51 performing obligors remaining in the
collateral pool, down from 127 at the time of S&P's last actions.
The top five largest obligors in the transaction currently make up
more than 27% of the portfolio's performing collateral balance.
In addition, the underlying portfolio has incurred par losses,
resulting in a decline in the trustee-reported O/C ratio for the
class E notes; however, the significant paydowns to the senior
notes have led to increases in the O/C ratios for the other
classes. The trustee-reported O/C ratios as of May 2017 compared
with those as of January 2016 were:
-- The class A/B O/C ratio was 213.36%, up from 126.48%.
-- The class C O/C ratio was 141.63%, up from 114.48%.
-- The class D O/C ratio was 115.50%, up from 107.61%.
-- The class E O/C ratio was 102.14%, down from 102.96% and
below its trigger of 102.30%.
As the class E O/C ratio was failing on the April 2017 payment
date, which led to the CreditWatch negative placement, this test
was cured per the transaction's structural features in which
interest proceeds were paid directly to the class E notes'
principal balance and principal proceeds were paid to the senior
class A-1-A and then A-1-B notes. This test was cured on the April
2017 payment date, but due to an increase in haircuts for the
concentration of 'CCC' rated assets in the portfolio, the
calculated ratio was once again below its trigger according to the
May 2017 trustee report. However, the class E O/C ratio has
improved since our CreditWatch placement, and it could improve
further if the notes receive more paydowns.
S&P affirmed and removed from CreditWatch negative its rating on
the class E notes because of the passing cash flow results and
model implied rating. S&P also considered that the application of
its supplemental tests did not constrain the rating at a level
lower than its current level and the benefit of the turbo feature
on this class' O/C test.
S&P affirmed its 'AAA (sf)' rating on the class A-1-B notes based
on its existing credit support.
S&P raised its rating on the class B notes because the credit
support increased for these notes.
On a stand-alone basis, the results of the cash flow analysis
indicated higher ratings on the class B, C, and E notes. However,
the application of the largest obligor default test constrained the
ratings on the class E notes at 'B+ (sf)'.
The affirmations of S&P's ratings on the class C and D notes
reflect its view of the portfolio's increased concentration risk,
decreased diversity, increased exposures to 'CCC' rated and
defaulted obligations, presence of long-dated assets, and exposure
to companies in the distressed specialty retail, energy, and
commodities sectors. S&P believes these factors offset the benefit
from the significant paydowns to the senior notes.
S&P will continue to monitor whether the portfolio experiences any
adverse impact due to the increased concentration risks.
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 this rating action.
S&P Global Ratings will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the credit
enhancement available to support them and take rating actions as it
deems necessary.
RATING RAISED
Westchester CLO Ltd.
Rating
Class To From
B AAA (sf) AA+ (sf)
RATING AFFIRMED AND REMOVED FROM CREDITWATCH
Westchester CLO Ltd.
Rating
Class To From
E B+ (sf) B+ (sf)/Watch Neg
RATINGS AFFIRMED
Westchester CLO Ltd.
Class Rating
A-1-B AAA (sf)
C A+ (sf)
D BB+ (sf)
WOODMONT 2017-2 TRUST: S&P Assigns BB- Rating on Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Woodmont 2017-2 Trust's
$1.05 billion floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed by middle-market speculative-grade senior secured term
loans.
The ratings reflect:
- The diversified collateral pool, which consists primarily of
middle-market 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
Woodmont 2017-2 Trust
Class Rating Amount
(mil. $)
A AAA (sf) 672.00
B AA (sf) 130.20
C (deferrable) A (sf) 93.00
D (deferrable) BBB- (sf) 77.10
E (deferrable) BB- (sf) 77.70
Certificates NR 162.20
NR--Not rated.
ZAIS CLO 1: S&P Affirms 'B' Rating on Class E Notes
---------------------------------------------------
S&P Global Ratings affirmed its ratings on the class A-1, A-2, B,
C, D, E, and combination notes from Zais CLO 1 Ltd., a U.S.
collateralized loan obligation (CLO) transaction that closed in
March 2014 and is managed by ZAIS Group.
The rating actions follow S&P's review of the transaction's
performance using data from the May 4, 2017, trustee report. The
transaction is scheduled to remain in its reinvestment period until
April 2019.
Since the transaction's effective date, the trustee-reported
collateral portfolio's weighted average life has decreased to 4.85
years from 5.85 years. This seasoning has decreased the overall
credit risk profile, which, in turn, provided more cushion to the
tranche ratings. In addition, the number of obligors in the
portfolio has increased during this period, which contributed to
the portfolio's increased diversification.
That said, the transaction has also experienced an increase in both
defaults and assets rated 'CCC+' and below since the May 2014
trustee report, which S&P used for its effective date analysis. The
amount of defaulted assets increased to $0.986 million as of the
May 2017 trustee report, from 0.00 as of the May 2014 report. The
level of assets rated 'CCC+' and below increased to $18.18 million
(6.0% of the aggregate principal balance) from $1.5 million (0.5%
of the aggregate principal balance) over the same period.
Furthermore, according to the May 2017 trustee report that S&P used
for this review, the overcollateralization (O/C) ratios for each
class have increased slightly since the May 2014 trustee report,
which S&P used for its effective date analysis:
-- The class A O/C ratio increased to 133.34% from 132.94%.
-- The class B O/C ratio increased to 121.88% from 121.51%.
-- The class C O/C ratio increased to 114.88% from 114.53%.
-- The class D O/C ratio increased to 109.58% from 109.26%.
-- The class E O/C ratio increased to 106.27% from 105.95%.
All coverage tests are currently passing and are above the minimum
requirements.
Overall, the increase in defaulted assets has been largely offset
by the decline in the weighted average life. However, any
significant deterioration in these metrics could negatively affect
the deal in the future, especially the junior tranches. As such,
the affirmed ratings reflect our belief that the credit support
available is commensurate with the current rating levels.
Although S&P's cash flow analysis indicated slightly higher ratings
for the class A-2, B, C, D, E, and combination notes, its rating
actions consider the increase in defaults and decline in the
portfolio's credit quality. In addition, the ratings reflect
additional sensitivity runs that allowed for volatility in the
underlying portfolio given that the transaction is still in its
reinvestment period.
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 AFFIRMED
Zais CLO 1 Ltd.
Class Rating
A-1 AAA (sf)
A-2 AA (sf)
B A (sf)
C BBB (sf)
D BB (sf)
E B (sf)
Combination note AA (sf)
[*] Moody's Hikes $1.2MM of Subprime RMBS Issued 2005-2007
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 31 tranches,
from 13 transactions issued by various issuers.
Complete rating actions are:
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
NC 2005-HE8
M4, Upgraded to B1 (sf); previously on Nov 22, 2016 Upgraded to
Caa1 (sf)
Issuer: Carrington Mortgage Loan Trust Series 2006-FRE1
Cl. A-3, Upgraded to B1 (sf); previously on Jan 23, 2015 Upgraded
to Caa2 (sf)
Cl. A-4, Upgraded to B3 (sf); previously on Oct 16, 2015 Upgraded
to Caa3 (sf)
Issuer: Carrington Mortgage Loan Trust, Series 2006-RFC1
Cl. A-3, Upgraded to Aa3 (sf); previously on Aug 26, 2016 Upgraded
to Baa1 (sf)
Cl. A-4, Upgraded to A2 (sf); previously on Aug 26, 2016 Upgraded
to Baa2 (sf)
Cl. M-1, Upgraded to B1 (sf); previously on Aug 26, 2016 Upgraded
to B2 (sf)
Issuer: Citicorp Residential Mortgage Trust Series 2006-1
Cl. A-4, Upgraded to A2 (sf); previously on Jan 27, 2016 Upgraded
to Baa1 (sf)
Cl. A-5, Upgraded to A3 (sf); previously on Jan 27, 2016 Upgraded
to Baa2 (sf)
Cl. A-6, Upgraded to A2 (sf); previously on Jan 27, 2016 Upgraded
to Baa1 (sf)
Cl. M-1, Upgraded to Ba3 (sf); previously on Nov 22, 2016 Upgraded
to B1 (sf)
Issuer: CSFB Home Equity Asset Trust 2006-1
Cl. M-1, Upgraded to Aaa (sf); previously on Sep 7, 2016 Upgraded
to Aa2 (sf)
Cl. M-2, Upgraded to A3 (sf); previously on Sep 7, 2016 Upgraded to
Baa1 (sf)
Issuer: Ellington Loan Acquisition Trust 2007-1
Cl. A-1, Upgraded to Ba3 (sf); previously on Feb 1, 2016 Upgraded
to Caa1 (sf)
Cl. A-2c, Upgraded to A3 (sf); previously on Feb 1, 2016 Upgraded
to B1 (sf)
Cl. A-2d, Upgraded to Baa1 (sf); previously on Feb 1, 2016 Upgraded
to B1 (sf)
Issuer: GSAMP Trust 2006-NC1
Cl. A-2, Upgraded to Aaa (sf); previously on Aug 26, 2016 Upgraded
to A1 (sf)
Cl. A-3, Upgraded to A1 (sf); previously on Aug 26, 2016 Upgraded
to Baa1 (sf)
Issuer: Nomura Home Equity Loan Trust 2005-FM1
Cl. M-3, Upgraded to B1 (sf); previously on Nov 22, 2016 Upgraded
to B3 (sf)
Issuer: Nomura Home Equity Loan Trust 2006-FM1
Cl. I-A, Upgraded to A3 (sf); previously on Nov 22, 2016 Upgraded
to Baa2 (sf)
Cl. II-A-3, Upgraded to Ba1 (sf); previously on Nov 22, 2016
Upgraded to Ba3 (sf)
Cl. II-A-4, Upgraded to B1 (sf); previously on Nov 22, 2016
Upgraded to B2 (sf)
Issuer: Saxon Asset Securities Trust 2007-1, Mortgage Loan Asset
Backed Certificates, Series 2007-1
Cl. A-1, Upgraded to B2 (sf); previously on Aug 26, 2016 Upgraded
to Caa2 (sf)
Cl. A-2c, Upgraded to Ba2 (sf); previously on Aug 26, 2016 Upgraded
to B1 (sf)
Cl. A-2d, Upgraded to Ba3 (sf); previously on Aug 26, 2016 Upgraded
to B2 (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2006-NC2
Cl. A-3, Upgraded to Baa1 (sf); previously on Nov 22, 2016 Upgraded
to Ba1 (sf)
Issuer: Wells Fargo Home Equity Asset-Backed Securities 2006-1
Trust
Cl. A-4, Upgraded to Aaa (sf); previously on Aug 26, 2016 Upgraded
to Aa1 (sf)
Cl. M-3, Upgraded to Ba3 (sf); previously on Aug 26, 2016 Upgraded
to B1 (sf)
Cl. M-4, Upgraded to B1 (sf); previously on Aug 26, 2016 Upgraded
to Ca (sf)
Issuer: Wells Fargo Home Equity Asset-Backed Securities 2006-3
Trust
Cl. A-2, Upgraded to A1 (sf); previously on Aug 26, 2016 Upgraded
to Baa1 (sf)
Cl. A-3, Upgraded to A2 (sf); previously on Aug 26, 2016 Upgraded
to Ba1 (sf)
Cl. M-1, Upgraded to Ca (sf); previously on Jun 3, 2010 Downgraded
to C (sf)
RATINGS RATIONALE
The upgrades are primarily due to the total credit enhancement
available to the bonds. The upgrades on Ellington Loan Acquisition
Trust 2007-1 Cl. A-1, Cl. A-2c, and Cl. A-2d also reflect the
reimbursement of past interest shortfalls. The actions reflect the
recent performance of the underlying pools and Moody's updated loss
expectations on the pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.3% 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.
[*] Moody's Hikes $93MM of Subprime RMBS Issued 2002-2004
---------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 25 tranches
from nine transactions, backed by subprime mortgage loans, issued
by multiple issuers.
Complete rating actions are:
Issuer: ABFC 2002-OPT1 Trust
Cl. M-1, Upgraded to Ba2 (sf); previously on Nov 20, 2015 Upgraded
to Ba3 (sf)
Cl. M-2, Upgraded to Ba2 (sf); previously on Nov 20, 2015 Upgraded
to B3 (sf)
Cl. M-3, Upgraded to Caa2 (sf); previously on May 4, 2012
Downgraded to C (sf)
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2004-HE10
Cl. M3, Upgraded to B3 (sf); previously on Mar 15, 2013 Downgraded
to Ca (sf)
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2004-HE5
Cl. M2, Upgraded to B3 (sf); previously on Apr 12, 2012 Downgraded
to Caa1 (sf)
Cl. M3, Upgraded to Caa3 (sf); previously on Apr 12, 2012
Downgraded to C (sf)
Issuer: Centex Home Equity Company (CHEC) Loan Trust 2004-1
Cl. A-3, Upgraded to A2 (sf); previously on Aug 16, 2016 Upgraded
to Baa2 (sf)
Cl. M-1, Upgraded to Ba1 (sf); previously on Aug 16, 2016 Upgraded
to Ba3 (sf)
Cl. M-2, Upgraded to Ba1 (sf); previously on Oct 1, 2015 Upgraded
to B2 (sf)
Cl. M-3, Upgraded to Ba2 (sf); previously on Sep 3, 2013 Downgraded
to Caa2 (sf)
Cl. M-4, Upgraded to Ba3 (sf); previously on Sep 3, 2013 Downgraded
to Caa3 (sf)
Cl. M-5, Upgraded to B1 (sf); previously on Sep 3, 2013 Downgraded
to Ca (sf)
Cl. M-6, Upgraded to B2 (sf); previously on Mar 18, 2011 Downgraded
to Ca (sf)
Cl. M-7, Upgraded to Caa3 (sf); previously on Mar 18, 2011
Downgraded to Ca (sf)
Issuer: Centex Home Equity Loan Trust 2002-C
Cl. AF-5, Upgraded to A1 (sf); previously on Aug 30, 2016 Upgraded
to A3 (sf)
Cl. M-1, Upgraded to B2 (sf); previously on Jul 23, 2013 Confirmed
at Caa1 (sf)
Issuer: Centex Home Equity Loan Trust 2002-D
Cl. AF-5, Upgraded to A1 (sf); previously on Aug 16, 2016 Upgraded
to Baa1 (sf)
Cl. M-1, Upgraded to Ba3 (sf); previously on Sep 10, 2015 Upgraded
to B3 (sf)
Issuer: Centex Home Equity Loan Trust 2004-B
Cl. M-2, Upgraded to Ba2 (sf); previously on Jul 23, 2013 Confirmed
at B2 (sf)
Cl. M-3, Upgraded to B2 (sf); previously on Jan 21, 2014 Downgraded
to Caa2 (sf)
Cl. M-4, Upgraded to Caa1 (sf); previously on Jul 23, 2013
Downgraded to Ca (sf)
Issuer: CHEC Loan Trust 2004-2
Cl. A-3, Upgraded to A1 (sf); previously on Apr 16, 2013 Upgraded
to Baa2 (sf)
Cl. M-1, Upgraded to Ba1 (sf); previously on Apr 16, 2013 Upgraded
to Caa1 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 7, 2011
Downgraded to Ca (sf)
Issuer: Renaissance Home Equity Loan Trust 2002-2
Cl. M-1, Upgraded to B1 (sf); previously on Mar 7, 2011 Downgraded
to B3 (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to the total credit
enhancement available to the bonds. The rating actions reflect the
recent performance of the underlying pools and Moody's updated loss
expectation on these pools. The upgrades from Centex Home Equity
Company (CHEC) Loan Trust 2004-1 and CHEC Loan Trust 2004-2 also
partially reflect corrections to the pool loss projections used by
Moody's in rating these transactions. In prior rating actions,
incorrect delinquency data was used, leading to overstated pool
loss projections. The delinquency data has since been revised, and
rating actions reflect the corrected delinquency information and
associated projected pool losses.
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 $10MM of RMBS Issued 2004-2005
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of five tranches
and downgraded the ratings of five tranches from three transactions
backed by Prime Jumbo RMBS loans, issued by miscellaneous issuers.
The complete rating actions are:
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2004-4
Cl. I-A-3, Upgraded to Baa1 (sf); previously on Mar 18, 2011
Downgraded to Baa3 (sf)
Cl. I-A-9, Upgraded to Baa1 (sf); previously on Mar 18, 2011
Downgraded to Baa3 (sf)
Cl. I-A-10, Upgraded to Baa1 (sf); previously on Mar 18, 2011
Downgraded to Baa3 (sf)
Cl. I-A-13, Upgraded to Baa1 (sf); previously on Aug 1, 2016
Upgraded to Baa3 (sf)
Cl. I-X, Downgraded to B3 (sf); previously on May 24, 2012
Downgraded to B2 (sf)
Cl. D-B-2, Downgraded to C (sf); previously on Jul 25, 2013
Downgraded to Caa3 (sf)
Cl. D-B-3, Downgraded to C (sf); previously on May 24, 2012
Downgraded to Ca (sf)
Issuer: Sequoia Mortgage Trust 2004-6
Cl A-3-B, Downgraded to Ba2 (sf); previously on Mar 2, 2012
Upgraded to Baa3 (sf)
Cl. B-1, Downgraded to B3 (sf); previously on Mar 2, 2012 Upgraded
to B2 (sf)
Issuer: Wells Fargo Mortgage Backed Securities Trust 2005-4 Trust
Cl. A-4, Upgraded to Ba1 (sf); previously on Nov 12, 2015 Upgraded
to Ba3 (sf)
RATINGS RATIONALE
The ratings upgraded are primarily due to an increase in credit
enhancement available to the bonds. The downgrade actions are due
to erosion of credit enhancement. The upgrade of Class A-4 from
Wells Fargo Mortgage Backed Securities Trust 2005-4 Trust is also
due to the fact that the tranche is benefiting from sequential
principal payment priority. The actions are a result of the recent
performance of the underlying pools and reflect Moody's updated
loss expectations on the pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Additionally, the methodology used in rating CSFB Mortgage-Backed
Pass-Through Certificates, Series 2004-4 Cl. I-X and Cl. I-A-10 was
"Moody's Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 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 $480MM of RMBS Issued 2004-2007
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 42 tranches
and downgraded the ratings of eight tranches from 17 transactions,
backed by Alt-A and Option ARM RMBS loans, issued by multiple
issuers.
Complete rating actions are:
Issuer: Banc of America Funding 2005-A Trust
Cl. 5-A-1 Certificate, Upgraded to Aa1 (sf); previously on Nov 3,
2016 Upgraded to Aa3 (sf)
Cl. 5-A-2 Certificate, Upgraded to Aaa (sf); previously on Nov 3,
2016 Upgraded to Aa2 (sf)
Cl. 5-A-3A Certificate, Upgraded to Aa2 (sf); previously on Nov 3,
2016 Upgraded to A1 (sf)
Cl. 5-A-3B Certificate, Upgraded to Aa2 (sf); previously on Nov 3,
2016 Upgraded to A1 (sf)
Cl. 5-M-1 Certificate, Upgraded to Ba3 (sf); previously on Nov 3,
2016 Upgraded to B3 (sf)
Issuer: Bear Stearns ALT-A Trust 2004-10
Cl. I-A-1 Certificate, Upgraded to Aa1 (sf); previously on Sep 4,
2016 Upgraded to Aa3 (sf)
Cl. I-A-3 Certificate, Upgraded to Aa1 (sf); previously on Sep 4,
2016 Upgraded to Aa3 (sf)
Cl. II-A-1 Certificate, Upgraded to Aaa (sf); previously on Sep 4,
2016 Upgraded to Aa2 (sf)
Cl. II-A-2 Certificate, Upgraded to Aa2 (sf); previously on Sep 4,
2016 Upgraded to A1 (sf)
Cl. M-2 Certificate, Upgraded to Ca (sf); previously on Mar 14,
2011 Downgraded to C (sf)
Issuer: CHL Mortgage Pass-Through Trust 2005-2
Cl. 2-A-1 Certificate, Upgraded to Ba3 (sf); previously on Sep 19,
2016 Upgraded to B3 (sf)
Cl. 2-X Certificate, Upgraded to Caa3 (sf); previously on Jun 9,
2017 Upgraded to Ca (sf)
Issuer: CitiMortgage Alternative Loan Trust 2006-A5
Cl. IIA-1 Certificate, Upgraded to B3 (sf); previously on Dec 14,
2010 Downgraded to Caa2 (sf)
Cl. IIA-IO Certificate, Upgraded to B3 (sf); previously on Dec 14,
2010 Downgraded to Caa2 (sf)
Issuer: CitiMortgage Alternative Loan Trust 2007-A6
Cl. IIA-1 Certificate, Upgraded to B3 (sf); previously on Aug 27,
2012 Upgraded to Caa1 (sf)
Cl. IIA-IO Certificate, Upgraded to B3 (sf); previously on Aug 27,
2012 Upgraded to Caa1 (sf)
Issuer: CitiMortgage Alternative Loan Trust, Series 2007-A2
Cl. IIA-1 Certificate, Upgraded to B3 (sf); previously on Dec 14,
2010 Downgraded to Caa1 (sf)
Cl. IIA-IO Certificate, Upgraded to B3 (sf); previously on Dec 14,
2010 Downgraded to Caa1 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-IM1
Cl. A-3 Certificate, Upgraded to Aa2 (sf); previously on Sep 27,
2016 Upgraded to A1 (sf)
Cl. A-3M Certificate, Upgraded to A3 (sf); previously on Sep 27,
2016 Upgraded to Baa3 (sf)
Cl. A-4 Certificate, Upgraded to Aa1 (sf); previously on Sep 27,
2016 Upgraded to A1 (sf)
Cl. A-4M Certificate, Upgraded to Baa1 (sf); previously on Sep 27,
2016 Upgraded to Ba1 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-J4
Cl. M-2 Certificate, Upgraded to Baa3 (sf); previously on Sep 27,
2016 Upgraded to Ba3 (sf)
Issuer: GSAA Home Equity Trust 2004-6
Cl. A-1 Certificate, Upgraded to A2 (sf); previously on Sep 4, 2016
Upgraded to Baa2 (sf)
Issuer: GSAA Home Equity Trust 2005-1
Cl. AF-4 Certificate, Upgraded to Aaa (sf); previously on Nov 3,
2016 Upgraded to Aa1 (sf)
Cl. AF-5 Certificate, Upgraded to Aaa (sf); previously on Nov 3,
2016 Upgraded to Aa1 (sf)
Cl. M-2 Certificate, Upgraded to B2 (sf); previously on Dec 9, 2015
Upgraded to Caa2 (sf)
Issuer: GSAA Home Equity Trust 2005-8
Cl. A-3 Certificate, Upgraded to Aa3 (sf); previously on Aug 22,
2016 Upgraded to A3 (sf)
Cl. A-4 Certificate, Upgraded to Aa2 (sf); previously on Aug 22,
2016 Upgraded to Aa3 (sf)
Cl. A-5 Certificate, Upgraded to A1 (sf); previously on Aug 22,
2016 Upgraded to Baa1 (sf)
Cl. M-1 Certificate, Upgraded to Caa2 (sf); previously on Aug 22,
2016 Upgraded to Caa3 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust 2005-A6
Cl. I-A-1 Certificate, Upgraded to A3 (sf); previously on Aug 22,
2016 Upgraded to Baa3 (sf)
Cl. I-A-2 Certificate, Upgraded to Ba1 (sf); previously on Aug 22,
2016 Upgraded to B1 (sf)
Cl. II-A-3 Certificate, Upgraded to Aa3 (sf); previously on Aug 22,
2016 Upgraded to A3 (sf)
Cl. II-A-4 Certificate, Upgraded to A3 (sf); previously on Aug 22,
2016 Upgraded to Baa3 (sf)
Issuer: Morgan Stanley Mortgage Loan Trust 2004-5AR
Cl. 1-A-1 Certificate, Upgraded to Ba1 (sf); previously on Oct 21,
2015 Upgraded to Ba2 (sf)
Cl. 1-A-2 Certificate, Upgraded to Ba1 (sf); previously on Oct 21,
2015 Upgraded to Ba2 (sf)
Cl. 1-A-3 Certificate, Upgraded to Ba1 (sf); previously on Oct 21,
2015 Upgraded to Ba2 (sf)
Cl. 3-A-3 Certificate, Upgraded to Ba2 (sf); previously on Oct 21,
2015 Upgraded to B1 (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-17
Cl. A1 Certificate, Downgraded to B2 (sf); previously on Sep 4,
2016 Downgraded to Ba3 (sf)
Cl. A2 Certificate, Downgraded to B2 (sf); previously on Sep 4,
2016 Downgraded to Ba3 (sf)
Cl. A3 Certificate, Downgraded to B2 (sf); previously on Sep 4,
2016 Downgraded to Ba3 (sf)
Cl. A1X Certificate, Downgraded to B2 (sf); previously on Sep 4,
2016 Downgraded to Ba3 (sf)
Cl. A2X Certificate, Downgraded to B2 (sf); previously on Sep 4,
2016 Downgraded to Ba3 (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-19
Cl. 1-A1 Certificate, Downgraded to Ba3 (sf); previously on Oct 21,
2015 Downgraded to Baa3 (sf)
Cl. 1-A2 Certificate, Downgraded to Ba3 (sf); previously on Oct 21,
2015 Downgraded to Baa3 (sf)
Cl. 1-A2X Certificate, Downgraded to Ba3 (sf); previously on Oct
21, 2015 Downgraded to Baa3 (sf)
Issuer: Structured Asset Securities Corp Trust 2004-9XS
Cl. 2-M1 Certificate, Upgraded to Baa1 (sf); previously on Sep 4,
2016 Upgraded to Baa3 (sf)
Cl. 2-M2 Certificate, Upgraded to B1 (sf); previously on Sep 4,
2016 Upgraded to Caa1 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2006-AR1
Cl. 2A-1A Certificate, Upgraded to A3 (sf); previously on Nov 22,
2016 Upgraded to Baa2 (sf)
RATINGS RATIONALE
The rating actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectation on
the pools. The rating upgrades are a result of the improving
performance of the related pools and / or an increase in credit
enhancement available to the bonds. The rating downgrades are due
to the weaker performance of the underlying collateral and / or the
erosion of enhancement available to the bonds.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Additionally, the methodology used in rating Structured Adjustable
Rate Mortgage Loan Trust 2004-19 Cl. 1-A2X, CHL Mortgage
Pass-Through Trust 2005-2 Cl. 2-X, CitiMortgage Alternative Loan
Trust 2006-A5 Cl. IIA-IO, CitiMortgage Alternative Loan Trust
2007-A6 Cl. IIA-IO, CitiMortgage Alternative Loan Trust, Series
2007-A2 Cl. IIA-IO, Morgan Stanley, Mortgage Loan Trust 2004-5AR
Cl. 1-A-3, Structured Adjustable Rate Mortgage Loan Trust 2004-17
Cl. A1X, Structured Adjustable Rate Mortgage Loan Trust 2004-17 Cl.
A2X was "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" published in June 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 $809MM of RMBS Issued 2001-2007
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 30 tranches
and downgraded the rating of one tranche from 18 transactions,
issued by various issuers, backed by subprime mortgage loans.
Complete rating actions are:
Issuer: Ace Securities Corp. Home Equity Loan Trust, Series
2002-HE2
Cl. M-1, Downgraded to B1 (sf); previously on Jul 28, 2014 Upgraded
to Ba1 (sf)
Cl. M-4, Upgraded to B2 (sf); previously on Dec 23, 2015 Upgraded
to Caa2 (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2004-IN1
Cl. M-1, Upgraded to Ba3 (sf); previously on Nov 3, 2015 Upgraded
to B1 (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2006-ASAP2
Cl. A-1, Upgraded to Aaa (sf); previously on Aug 30, 2016 Upgraded
to Aa1 (sf)
Cl. A-2D, Upgraded to Aa2 (sf); previously on Aug 30, 2016 Upgraded
to A1 (sf)
Issuer: Aegis Asset Backed Securities Trust 2004-4
Cl. A1, Upgraded to Aaa (sf); previously on May 4, 2012 Confirmed
at Aa1 (sf)
Cl. A2-B, Upgraded to Aaa (sf); previously on May 4, 2012 Confirmed
at Aa1 (sf)
Cl. M1, Upgraded to A3 (sf); previously on Aug 25, 2016 Upgraded to
Baa1 (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2004-R12
Cl. M-4, Upgraded to B3 (sf); previously on Aug 25, 2016 Upgraded
to Caa1 (sf)
Issuer: C-Bass Mortgage Loan Asset Backed Notes, Series 2001-CB4
Cl. IA-1, Upgraded to A2 (sf); previously on Aug 30, 2016 Upgraded
to Baa2 (sf)
Cl. IM-1, Upgraded to Ba3 (sf); previously on Oct 16, 2015 Upgraded
to Caa1 (sf)
Cl. IM-2, Upgraded to Caa3 (sf); previously on Oct 16, 2015
Upgraded to Ca (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2006-CB8
Cl. A-2B, Upgraded to Aaa (sf); previously on Aug 30, 2016 Upgraded
to A3 (sf)
Issuer: First Franklin Mortgage Loan Trust 2005-FFH2
Cl. M2, Upgraded to Aa3 (sf); previously on Aug 30, 2016 Upgraded
to A2 (sf)
Issuer: First Franklin Mortgage Loan Trust Series 2005-FF6
Cl. M-2, Upgraded to Aa2 (sf); previously on Aug 30, 2016 Upgraded
to Aa3 (sf)
Cl. M-3, Upgraded to Baa2 (sf); previously on Aug 30, 2016 Upgraded
to Ba1 (sf)
Issuer: Fremont Home Loan Trust 2005-2
Cl. M-4, Upgraded to B1 (sf); previously on Oct 7, 2015 Upgraded to
Caa1 (sf)
Issuer: Fremont Home Loan Trust 2006-A
Cl. 1-A-1, Upgraded to A3 (sf); previously on Aug 26, 2016 Upgraded
to Baa3 (sf)
Issuer: GSAMP Trust 2004-FM2
Cl. M-2, Upgraded to Ba3 (sf); previously on Dec 17, 2015 Upgraded
to B2 (sf)
Issuer: New Century Home Equity Loan Trust 2006-2
Cl. A-1, Upgraded to Ba3 (sf); previously on Aug 26, 2016 Upgraded
to Caa1 (sf)
Cl. A-2b, Upgraded to Caa2 (sf); previously on Jun 1, 2010
Downgraded to Caa3 (sf)
Cl. A-2c, Upgraded to Caa3 (sf); previously on Jun 1, 2010
Downgraded to Ca (sf)
Issuer: New Century Home Equity Loan Trust, Series 2003-A
Cl. M-2, Upgraded to Ba2 (sf); previously on May 15, 2012
Downgraded to B1 (sf)
Cl. M-3, Upgraded to B1 (sf); previously on May 15, 2012 Downgraded
to Caa1 (sf)
Issuer: Popular ABS Mortgage Pass-Through Trust 2005-C
Cl. M-3, Upgraded to Caa3 (sf); previously on Jan 28, 2015 Upgraded
to Ca (sf)
Issuer: Soundview Home Loan Trust 2006-EQ1
Cl. A-3, Upgraded to Ba1 (sf); previously on Aug 26, 2016 Upgraded
to B1 (sf)
Cl. A-4, Upgraded to Ba3 (sf); previously on Aug 26, 2016 Upgraded
to B3 (sf)
Issuer: Soundview Home Loan Trust 2006-OPT2
Cl. A-3, Upgraded to Baa1 (sf); previously on Aug 26, 2016 Upgraded
to Ba1 (sf)
Cl. A-4, Upgraded to Baa3 (sf); previously on Aug 26, 2016 Upgraded
to Ba2 (sf)
Issuer: Soundview Home Loan Trust 2007-NS1, Asset-Backed
Certificates, Series 2007-NS1
Cl. A-3, Upgraded to Ba3 (sf); previously on Aug 26, 2016 Upgraded
to Caa1 (sf)
Cl. A-4, Upgraded to B1 (sf); previously on Aug 26, 2016 Upgraded
to Caa2 (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to the total credit
enhancement available to the bonds.The rating downgrade on Ace
Securities Corp. Home Equity Loan Trust, Series 2002-HE2 Class M-1
is due to an outstanding interest shortfall which is unlikely to be
recouped. The actions reflect the recent performance of the
underlying pools and Moody's updated loss expectation on these
pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.3% 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 $87MM of RMBS Issued 2015-2016
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of twenty-three
tranches from three transactions backed by Prime Jumbo RMBS loans,
issued by miscellaneous issuers.
The complete rating actions are:
Issuer: WinWater Mortgage Loan Trust 2015-3
Class A-X-1, Upgraded to Aaa (sf); previously on Jun 9, 2017
Downgraded to Aa1 (sf)
Class A-X-9, Upgraded to Aaa (sf); previously on Mar 27, 2015
Definitive Rating Assigned Aa1 (sf)
Class A-X-13, Upgraded to Aaa (sf); previously on Mar 27, 2015
Definitive Rating Assigned Aa1 (sf)
Class A-X-20, Upgraded to Aaa (sf); previously on Mar 27, 2015
Definitive Rating Assigned Aa1 (sf)
Class A-15, Upgraded to Aaa (sf); previously on Mar 27, 2015
Definitive Rating Assigned Aa1 (sf)
Class A-16, Upgraded to Aaa (sf); previously on Mar 27, 2015
Definitive Rating Assigned Aa1 (sf)
Class A-20, Upgraded to Aaa (sf); previously on Mar 27, 2015
Definitive Rating Assigned Aa1 (sf)
Class B-1, Upgraded to Aa1 (sf); previously on Aug 1, 2016 Upgraded
to Aa2 (sf)
Class B-2, Upgraded to Aa2 (sf); previously on Aug 1, 2016 Upgraded
to A1 (sf)
Class B-3, Upgraded to A1 (sf); previously on Aug 1, 2016 Upgraded
to A3 (sf)
Class B-4, Upgraded to Baa3 (sf); previously on Aug 1, 2016
Upgraded to Ba1 (sf)
Issuer: Agate Bay Mortgage Trust 2016-2
Cl. A-9, Upgraded to Aaa (sf); previously on Mar 31, 2016
Definitive Rating Assigned Aa1 (sf)
Cl. A-10, Upgraded to Aaa (sf); previously on Mar 31, 2016
Definitive Rating Assigned Aa1 (sf)
Cl. A-X-1, Upgraded to Aaa (sf); previously on Jun 9, 2017
Downgraded to Aa1 (sf)
Cl. A-X-6, Upgraded to Aaa (sf); previously on Mar 31, 2016
Definitive Rating Assigned Aa1 (sf)
Cl. B-1, Upgraded to Aa1 (sf); previously on Mar 31, 2016
Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Upgraded to Aa3 (sf); previously on Mar 31, 2016
Definitive Rating Assigned A2 (sf)
Cl. B-3, Upgraded to A3 (sf); previously on Mar 31, 2016 Definitive
Rating Assigned Baa2 (sf)
Cl. B-4, Upgraded to Ba1 (sf); previously on Mar 31, 2016
Definitive Rating Assigned Ba2 (sf)
Issuer: WinWater Mortgage Loan Trust 2016-1
Cl. B-1, Upgraded to Aa2 (sf); previously on Feb 11, 2016
Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Upgraded to Aa3 (sf); previously on Feb 11, 2016
Definitive Rating Assigned A1 (sf)
Cl. B-3, Upgraded to A2 (sf); previously on Feb 11, 2016 Definitive
Rating Assigned A3 (sf)
Cl. B-4, Upgraded to Baa2 (sf); previously on Feb 11, 2016
Definitive Rating Assigned Baa3 (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to an increase in credit
enhancement available to the bonds and a reduction in Moody's
expected pool losses. The actions are also a result of the recent
performance of the underlying pools which have displayed very low
levels of serious delinquencies.
The principal methodology used in these ratings was "Moody's
Approach to Rating US Prime RMBS" published in February 2015.
Additionally, the methodology used in rating Agate Bay Mortgage
Trust 2016-2 Cl. A-X-1 and Cl. A-X-6, WinWater Mortgage Loan Trust
2015-3 Class A-X-1, Class A-X-9, Class A-X-13, and Class A-X-20 was
"Moody's Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 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.
[*] S&P Completes Review on 56 Classes From 8 US RMBS Deals
-----------------------------------------------------------
S&P Global Ratings completed its review of 56 classes from eight
U.S. residential mortgage-backed securities (RMBS) transactions
issued between 2002 and 2005. All of these transactions are backed
by prime jumbo and subprime collateral. The review yielded 13
downgrades and 43 affirmations.
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its 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:
-- Collateral performance/delinquency trends;
-- Historical interest shortfalls;
-- Eroded credit support;
-- Proportion of reperforming loans in the pool;
-- Tail risk;
-- Principal-only criteria; and
-- Interest-only criteria.
Rating Actions
The ratings list for the rationales for classes with rating
transitions is presented. 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 our prior projections.
The ratings on six classes from GMACM Mortgage Loan Trust 2004-AR1
were lowered as a result of revised loan modification information
from our data provider causing more reperforming loans, and
ultimately more projected defaults.
On May 2, 2017, S&P's data provider revised and incorporated the
"Modification Code" field for 25 loans in the total collateral pool
for the January 2017 performance period. Before January 2017 the
Modification Code for these 25 loans was left blank, falsely
indicating that there was no modification. All of these loans were
modified before January 2017. The revised Modification Codes caused
a large increase in reperforming loans, whereas in prior reviews
many of these loans were treated as current. As a result, projected
defaults increased. Based on this revised information, these six
classes were not able to withstand stresses at higher rating
categories without experiencing principal write-downs.
A list of the Affected Ratings is available at:
http://bit.ly/2svFOsY
[*] S&P Takes Various Actions on 43 Classes From 12 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 43 classes from 12 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2004 and 2006. All of these transactions are backed by
reperforming collateral. The review yielded 16 upgrades, three
downgrades, and 24 affirmations.
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its 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:
-- Collateral performance/delinquency trends;
-- Historical interest shortfalls;
-- Priority of principal payments; and
-- Available subordination and/or overcollateralization.
Rating Actions
The ratings list for the rationales for classes with rating
Transitions is presented. 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 its prior projections.
The downgrades on classes M-1, M-2, and M-3 from MASTR Specialized
Loan Trust 2005-02 were based on our assessment of interest
shortfalls to these classes during recent remittance periods. The
lowered ratings reflect the application of our interest shortfall
criteria (see "Structured Finance Temporary Interest Shortfall
Methodology," published Dec. 15, 2015), which designate a maximum
potential rating to these classes.
In applying the criteria, S&P looks to see if the applicable
classes have delayed reimbursement provisions and have direct
economic compensation for the delay in interest payments, and it
projects the transaction's cash flows to assess the likelihood of
the interest shortfalls' reimbursement under various scenarios. The
resulting ratings reflect the application of S&P's criteria based
on those projections.
A list of the Affected Ratings is available at:
http://bit.ly/2uwIBU7
*********
Monday's edition of the TCR delivers a list of indicative prices
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S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
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Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
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Copyright 2017. All rights reserved. ISSN: 1520-9474.
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