/raid1/www/Hosts/bankrupt/TCR_Public/170806.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, August 6, 2017, Vol. 21, No. 217
Headlines
1211 AVENUE 2015-1211: Fitch Affirms 'BBsf' Rating on Cl. E Certs
ALESCO PREFERRED XIII: Moody's Hikes Cl. B Notes Rating to Ba2
APIDOS CLO XXVII: Moody's Assigns B3(sf) Rating to Class E Notes
BANK 2017-BNK6: DBRS Finalizes Prov. BB Rating on Class F Debt
BANK 2017-BNK6: Fitch Assigns 'B-sf' Rating on 2 Tranches
BAYVIEW OPPURTUNITY 2017-RT2: Fitch Gives 'Bsf' Rating to B5 Notes
BX TRUST 2017-APPL: DBRS Gives Prov. BB(low) Rating on E Debt
BX TRUST 2017-APPL: S&P Gives Prelim. B- Rating to Cl. F Certs
CANADIAN COMMERCIAL 2012-1: DBRS Confirms B Rating on Cl. G Debt
CAPITAL AUTO 2015-1: Moody's Hikes Class E Notes Rating From Ba1
CGMS COMMERCIAL 2017-MDDR: S&P Rates Class E-FX Certs 'BBsf'
CIFC FUNDING 2013-I: S&P Gives Prelim. BB- Rating on Cl. D-R Notes
CITIGROUP COMMERCIAL 2016-P4: Fitch Affirms B- Rating on F Certs
COLLEGE AVE 2017-A: DBRS Finalizes Prov. BB Rating on Class C Notes
COMM 2013-CCRE10: DBRS Confirms B(sf) Rating on Class F Debt
COMM 2013-CCRE12: Fitch Affirms CCC Rating on Class F Certs
CONNECTICUT AVE 2017-C05: DBRS Finalizes (P)B Rating on 18 Classes
CPS AUTO 2017-C: DBRS Finalize Prov. BB Rating on Cl. E Debt
CREDIT SUISSE 2006-C4: S&P Affirms CCC+ Rating on Class B Certs
CREDIT SUISSE 2015-C3: Fitch Affirms 'B-sf' Ratings on 2 Tranches
CREST LTD 2003-2: S&P Affirms CC Ratings on 2 Tranches
CSMC TRUST 2017-MOON: Fitch Assigns BB-sf Rating on 2 Tranches
FLAGSTAR MORTGAGE 2017-1: DBRS Gives Prov. B Rating to Cl. B-5 Debt
FLAGSTAR MORTGAGE 2017-1: Moody's Rates Cl. B-5 Debt 'B3'
FREDDIE MAC 2017-2: Moody's Assigns (P)B1 Rating to Cl. M-1 Debt
FREMF 2012-K705: Moody's Affirms Ba2(sf) Rating on Cl. X2 Notes
GAHR 2015-NRF: S&P Affirms B- Rating on Class G-FX Certs
GE COMMERCIAL 2005-C1: Fitch Cuts Rating on Cl. D Certs to BBsf
GREENBRIAR CLO: Moody's Affirms Ba3(sf) Rating on Class E Notes
GS MORTGAGE 2010-C1: DBRS Hikes Class F Debt Rating to BB(low)
GS MORTGAGE 2017-STAY: DBRS Gives Prov. B Rating to Class HRR Debt
HUNT COMMERCIAL 2017-FL1: DBRS Gives Prov. B(low) Rating on E Debt
JFIN CLO 2014: S&P Affirms B(sf) Rating on Class F Notes
JP MORGAN 2014-FL6: S&P Affirms B-(sf) Rating on 3 Tranches
JP MORGAN 2016-JP2: Fitch Affirms 'BB-sf' Rating on Cl. E Certs
JP MORGAN 2017-FL10: S&P Gives Prelim. B-(sf) Rating to 3 Tranches
JP MORGAN 2017-MAUI: DBRS Gives Prov. B Rating to Class F Debt
JPMBB COMMERCIAL 2015-C30: DBRS Confirms B Rating on Class F Debt
JPMBB COMMERCIAL 2015-C31: DBRS Confirms B(low) Rating on F Debt
JPMCC COMMERCIAL 2016-JP2: DBRS Confirms B(low) Rating on F Certs
KKR CLO 18: Moody's Assigns Ba3(sf) Rating to Class E Senior Notes
LEAF RECEIVABLES 2016-1: Moody's Hikes Cl. E-2 Debt Rating to Ba1
MAD MORTGAGE 2017-330M: DBRS Gives Prov. BB Rating to Class E Debt
MIDOCEAN CREDIT II: S&P Affirms BB Rating on Class F Notes
MJX VENTURE II: Moody's Assigns Ba1(sf) Rating to Cl. E Notes
NASSAU 2017-I: S&P Gives Prelim. BB- Rating on Class D Notes
NEUBERGER BERMAN 25: Moody's Assigns (P)Ba3 Rating to Cl. E Notes
NEW RESIDENTIAL 2017-5: DBRS Gives Prov. B Ratings on 5 Tranches
NEW RESIDENTIAL 2017-5: Moody's Assigns B1 Ratings on 5 Tranches
SEQUOIA MORTGAGE 2017-5: Moody's Gives Ba3 Rating to Cl. B-4 Certs
TCI-CENT 2017-1: Moody's Assigns Ba3(sf) Rating to Class D Notes
TOWD POINT 2017-3: DBRS Finalizes Prov. B Rating on Cl. B2 Debt
VENTURE 28A: Moody's Assigns Ba3(sf) Rating to Class E Notes
VENTURE VIII: Moody's Hikes Rating on Class E Notes to Ba2(sf)
VERUS SECURITIZATION 2017-2: S&P Assigns BB- Rating on B-3 Certs
WELLS FARGO 2010-C1: Fitch Affirms 'Bsf' Rating on Class F Certs
WESTLAKE AUTOMOBILE 2017-2: DBRS Gives Prov. BB Rating on E Debt
WESTLAKE AUTOMOBILE 2017-2: S&P Gives Prelim BB Rating on E Notes
[*] S&P Takes Various Actions on 55 Classes From 23 US RMBS Deals
[*] S&P Takes Various Actions on 59 Classes From 3 US RMBS Deals
*********
1211 AVENUE 2015-1211: Fitch Affirms 'BBsf' Rating on Cl. E Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed eight classes of 1211 Avenue of the
Americas Trust 2015-1211 commercial mortgage pass-through
certificates.
KEY RATING DRIVERS
The affirmations reflect the stable performance of the underlying
trust asset since issuance.
Stable Performance since Issuance: The Fitch stressed cash flow is
stable from issuance; per the March 2017 rent roll, occupancy has
improved to 95.5% from 91.5% at issuance.
Above Average Property Quality in Strong Location: 1211 Avenue of
the Americas consists of a 45-story, class A office building
located in Midtown Manhattan. The property is adjacent to
Rockefeller Center and in close proximity to subway lines and major
transportation hubs.
Strong Historical Occupancy and Diverse Tenant Base: The top five
tenants account for approximately 83.8% of net rentable area (NRA)
and include 21st Century Fox (55.3% of NRA; rated 'BBB+'), Ropes &
Gray (17.1% of NRA), Axis Reinsurance (6.1% of NRA; rated 'A+'),
RBC (3.1% of NRA; rated 'AA') and Nordea (2.1% of NRA; rated 'AA-'
)
Major Tenant Lease Expiration: The property faces the expiration of
54% of the NRA in 2020, which is leased to 21st Century Fox. The
tenant has one five-year renewal option; notice to extend is
required by November 2018.
Sponsorship and Property Manager: The loan sponsors are Ivanhoe
Cambridge Inc., BCSP IV U.S. Investments, L.P., and Beacon Capital
Partners, LLC. The property is sub managed by Cushman & Wakefield
and Callahan Capital Properties LLC.
Interest Only Loan for the Entire Term: As of the July 2017
distribution date, the transaction's balance remained at $1.035
billion, unchanged from issuance. The 10-year, fixed-rate,
interest-only loan matures in August 2025.
RATING SENSITIVITIES
The Rating Outlook for all classes remains Stable. Future upgrades
are possible with several years of sustained improved performance.
Although not expected, if the loan's performance metrics decline
significantly, downgrades are possible.
Fitch has affirmed the following ratings:
-- $100,000,000 class A-1A1 at 'AAAsf'; Outlook Stable;
-- $490,000,000 class A-1A2 at 'AAAsf'; Outlook Stable;
-- $590,000,000 class X-A* at 'AAAsf'; Outlook Stable;
-- $119,000,000 class X-B* at 'AA-sf'; Outlook Stable;
-- $119,000,000 class B at 'AA-sf'; Outlook Stable;
-- $79,000,000 class C at 'A-sf'; Outlook Stable;
-- $110,800,000 class D at 'BBB-sf'; Outlook Stable;
-- $136,200,000 class E at 'BBsf'; Outlook Stable.
*Notional Amount and interest only.
ALESCO PREFERRED XIII: Moody's Hikes Cl. B Notes Rating to Ba2
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Alesco Preferred Funding XIII, Ltd.:
US$250,800,000 Class A-1 First Priority Senior Secured Floating
Rate Notes Due 2037 (current balance of $152,828,137.98), Upgraded
to Aa1 (sf); previously on May 15, 2015 Upgraded to Aa3 (sf)
US$55,200,000 Class A-2 Second Priority Senior Secured Floating
Rate Notes Due 2037, Upgraded to Aa3 (sf); previously on May 15,
2015 Upgraded to A1 (sf)
US$80,000,000 Class B Deferrable Third Priority Secured Floating
Rate Notes Due 2037, Upgraded to Ba2 (sf); previously on May 15,
2015 Upgraded to B1 (sf)
Alesco Preferred Funding XIII, Ltd. issued in November 2006, is a
collateralized debt obligation backed by a portfolio of bank and
insurance trust preferred securities (TruPS).
RATINGS RATIONALE
The rating actions are primarily a result of the deleveraging of
the Class A-1 notes, an increase in the transaction's
over-collateralization (OC) ratios and the resumption of interest
payments of previously deferring assets since March 2016.
The Class A-1 notes have paid down by approximately 2.8% or $4.4
million since March 2016, using principal proceeds from the
redemption of the underlying assets. Additionally, the total par
amount that Moody's treated as having defaulted or deferring
declined to $15 million from $30 million in March 2016. Since then,
two previously deferring banks with a total par of $6.5 million
have resumed making interest payments on their TruPS; three assets
with a total par of $12.0 million have redeemed at par. Based on
Moody's calculations, the OC ratios for the Class A-1, A-2, B, and
C notes have improved to 208.42%, 153.12%, 110.59%, and 88.91%,
respectively, from July 2016 levels of 205.28%, 151.93%, 110.37%
and 88.22%, respectively.
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) Resumption of interest payments by deferring assets: A number of
banks have resumed making interest payments on their TruPS. The
timing and amount of deferral cures could have significant positive
impact on the transaction's over-collateralization ratios and the
ratings on the notes.
5) Exposure to non-publicly rated assets: The deal contains a large
number of securities whose default probability Moody's assesses
through credit scores derived using RiskCalc or credit estimates.
Because these are not public ratings, they are subject to
additional uncertainties.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Assuming a two-notch upgrade to assets with below-investment grade
ratings or rating estimates (WARF of 509)
Class A-1: 0
Class A-2: +2
Class B: +2
Class C-1: +1
Class C-2: +1
Assuming a two-notch downgrade to assets with below-investment
grade ratings or rating estimates (WARF of 1299)
Class A-1: -1
Class A-2: -1
Class B: -3
Class C-1: 0
Class C-2: 0
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 $318.5 million,
defaulted/deferring par of $15 million, a weighted average default
probability of 9.15% (implying a WARF of 826), and a weighted
average recovery rate upon default of 10%.
In addition to the quantitative factors Moody's explicitly models,
qualitative factors are part of rating committee considerations.
Moody's considers the structural protections in the transaction,
the risk of an event of default, recent deal performance under
current market conditions, the legal environment and specific
documentation features. All information available to rating
committees, including macroeconomic forecasts, inputs from other
Moody's analytical groups, market factors, and judgments regarding
the nature and severity of credit stress on the transactions, can
influence the final rating decision.
The portfolio of this CDO contains mainly TruPS issued by small to
medium sized U.S. community banks and insurance companies that
Moody's does not rate publicly. To evaluate the credit quality of
bank TruPS that do not have public ratings, Moody's uses RiskCalc,
an econometric model developed by Moody's Analytics, to derive
credit scores. Moody's evaluation of the credit risk of most of the
bank obligors in the pool relies on the latest FDIC financial data.
For insurance TruPS that do not have public ratings, Moody's relies
on the assessment of its Insurance team, based on the credit
analysis of the underlying insurance firms' annual statutory
financial reports.
APIDOS CLO XXVII: Moody's Assigns B3(sf) Rating to Class E Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Apidos CLO XXVII.
Moody's rating action is:
US$320,000,000 Class A-1 Senior Secured Floating Rate Notes due
2030 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf)
US$57,500,000 Class A-2 Senior Secured Floating Rate Notes due 2030
(the "Class A-2 Notes"), Definitive Rating Assigned Aa2 (sf)
US$28,750,000 Class B Mezzanine Deferrable Floating Rate Notes due
2030 (the "Class B Notes"), Definitive Rating Assigned A2 (sf)
US$31,250,000 Class C Mezzanine Deferrable Floating Rate Notes due
2030 (the "Class C Notes"), Definitive Rating Assigned Baa3 (sf)
US$22,500,000 Class D Mezzanine Deferrable Floating Rate Notes due
2030 (the "Class D Notes"), Definitive Rating Assigned Ba3 (sf)
US$7,500,000 Class E Junior Deferrable Floating Rate Notes due 2030
(the "Class E Notes"), Definitive Rating Assigned B3 (sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the
Class C Notes, the Class D Notes and the Class E Notes are referred
to herein, collectively, as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
Apidos XXVII 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.
The portfolio is required to be at least 80% ramped as of the
closing date.
CVC Credit Partners U.S. CLO Management LLC (the "Manager") will
direct the selection, acquisition and disposition of the assets on
behalf of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer 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: $500,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 3000
Weighted Average Spread (WAS): 3.60%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 9 years.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
October 2016.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 3000 to 3450)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2 Notes: -2
Class B Notes: -2
Class C Notes: -1
Class D Notes: 0
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 3000 to 3900)
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
Class E Notes: -2
BANK 2017-BNK6: DBRS Finalizes Prov. BB Rating on Class F Debt
--------------------------------------------------------------
DBRS, Inc. finalized provisional ratings on the followings classes
of Commercial Mortgage Pass-Through Certificates, Series 2017-BNK6
(the Certificates) to be issued by BANK 2017-BNK6:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class X-A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AAA (sf)
-- Class X-B at AA (high) (sf)
-- Class C at AA (sf)
-- Class X-D at A (low) (sf)
-- Class D at BBB (high) (sf)
-- Class X-E at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class X-F at BB (high) (sf)
-- Class F at BB (sf)
All trends are Stable.
Classes X-D, X-E, X-F, D, E, F and G have been privately placed.
The X-A, X-B, X-D, X-E and X-F balances are notional.
The collateral consists of 72 fixed-rate loans secured by 189
commercial and multifamily properties. The transaction is a
sequential-pay pass-through structure. The conduit pool was
analyzed to determine the ratings, reflecting the long-term
probability of loan default within the term and its liquidity at
maturity. When the cut-off loan balances were measured against the
DBRS Stabilized net cash flow (NCF) and their respective actual
constants, no loans had a DBRS Term debt service coverage ratio
(DSCR) below 1.15 times (x), a threshold indicative of a higher
likelihood of mid-term default. Additionally, to assess refinance
(refi) risk given the current low interest rate environment, DBRS
applied its refinance constants to the balloon amounts. This
resulted in 17 loans, representing 49.6% of the pool, having
refinance DSCRs below 1.00x and 11 loans, representing 34.4% of the
pool, having refinance DSCRs below 0.90x.
Three loans, representing 22.6% of the transaction balance, exhibit
credit characteristics consistent with an investment-grade shadow
rating: General Motors Building (AAA), Gateway Net Lease Portfolio
(BBB (high)) and Del Amo Fashion Center (A (low)). Both the pool's
term default risk and refinance risk are low as indicated by the
strong weighted-average (WA) DBRS Term and Refi DSCRs of 1.95x and
1.28x, respectively. In addition, 52 loans, representing 77.1% of
the pool, have a DBRS Term DSCR in excess of 1.50x and 34 loans,
totaling 77.1%, have a DBRS Refi DSCR in excess of 1.15x. Eleven of
the largest 15 loans in the pool meet both criteria. Even when
excluding the three loans shadow-rated investment grade and the 19
co-operative loans that are very low leverage, the deal exhibits
robust WA DBRS Term and Refi DSCRs of 1.73x and 1.13x,
respectively. Seven loans that comprise 36.8% of the DBRS sample
(28.3% of the pool) have favorable property quality based on
physical attributes and/or a desirable location within their
respective markets. One loan, representing 12.5% of the DBRS
sample, was considered to be of Excellent property quality and two
loans, totaling 11.9% of the DBRS sample, were considered to be
Above Average property quality. Another four loans, representing
12.4% of the DBRS sample, received Average (+) property quality.
Higher-quality properties are more likely to retain existing
tenants/guests and more easily attract new tenants/guests,
resulting in a more stable performance. No sampled loans were
considered to be Below Average or Poor quality and only one loan,
comprising 3.6% of the DBRS sample, was considered to be Average
(-) quality.
The pool has a relatively high concentration of loans secured by
non-traditional property types, such as self-storage, hospitality
and mobile home community (MHC) assets which, on a combined basis,
represent 24.0% of the pool across 17 loans. There are six loans
totaling 14.7% of the pool that are secured by hotels, nine loans
totaling 8.7% of the transaction balance secured by self-storage
properties and two loans comprising 0.7% of the pool secured by MHC
properties. Each of these asset types is vulnerable to high NCF
volatility because of the relatively short-term leases compared
with other commercial properties, which can cause NCF to quickly
deteriorate in a declining market; however, such loans exhibit a WA
DBRS Debt Yield and DBRS Exit Debt Yield of 11.5% and 13.0%,
respectively, which compare favorably with the overall deal. The
pool's interest-only (IO) concentration is elevated at 73.3%.
Fourteen loans, representing 43.9% of the pool, including seven of
the largest 15 loans, are structured with IO payments for the full
term and another 20 loans, representing 29.5% of the pool, have
partial-IO periods ranging from 12 months to 60 months. Four of the
full-term IO loans, representing 27.8% of the full-IO concentration
in the transaction, have excellent locations in super dense urban
markets that benefit from steep investor demand. Additionally, the
transaction's scheduled amortization by maturity is 9.4%, which is
generally in line with other recent conduit securitizations.
The DBRS sample included 30 of the 72 loans in the pool. Site
inspections were performed on 72 of the 189 properties in the
portfolio (66.8% of the pool by allocated loan balance). The DBRS
sample had an average NCF variance of -8.6% and ranged from -26.6%
(General Motors Building) to +5.0% (Amazon Lakeland).
BANK 2017-BNK6: Fitch Assigns 'B-sf' Rating on 2 Tranches
---------------------------------------------------------
Fitch Ratings has assigned the following ratings and Ratings
Outlooks to BANK 2017-BNK6 Commercial Mortgage Pass-Through
Certificates, Series 2017-BNK6:
-- $31,100,000 class A-1 'AAAsf'; Outlook Stable;
-- $26,600,000 class A-2 'AAAsf'; Outlook Stable;
-- $39,900,000 class A-SB 'AAAsf'; Outlook Stable;
-- $58,200,000 class A-3 'AAAsf'; Outlook Stable;
-- $225,000,000 class A-4 'AAAsf'; Outlook Stable;
-- $239,812,000 class A-5 'AAAsf'; Outlook Stable;
-- $620,612,000a class X-A 'AAAsf'; Outlook Stable;
-- $172,885,000a class X-B 'A-sf'; Outlook Stable;
-- $97,525,000 class A-S 'AAAsf'; Outlook Stable;
-- $41,005,000 class B 'AA-sf'; Outlook Stable;
-- $34,355,000 class C 'A-sf'; Outlook Stable;
-- $35,464,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $19,948,000ab class X-E 'BB-sf'; Outlook Stable;
-- $8,866,000ab class X-F 'B-sf'; Outlook Stable;
-- $35,464,000b class D 'BBB-sf'; Outlook Stable;
-- $19,948,000b class E 'BB-sf'; Outlook Stable;
-- $8,866,000b class F 'B-sf'; Outlook Stable.
The following classes are not rated by Fitch:
-- $28,814,330ab class X-G;
-- $28,814,330b class G;
-- $46,662,596.37bc RR Interest.
(a) Notional amount and interest-only.
(b) Privately placed and pursuant to Rule 144A.
(c) Vertical credit risk retention interest representing no less
than 5% of the estimated fair value of all classes of regular
certificates issued by the issuing entity as of the closing date.
The ratings are based on information provided by the issuer as of
July 24, 2017.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 72 loans secured by 189
commercial properties having an aggregate principal balance of
$933,251,927 as of the cut-off date. The loans were contributed to
the trust by Wells Fargo Bank, National Association; Bank of
America, National Association; Morgan Stanley Mortgage Capital
Holdings LLC; and National Cooperative Bank, N.A.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 74.9% of the properties,
by balance, cash flow analysis of 82.5%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Lower Fitch Leverage than Recent Transactions: The pool's leverage
is lower than recent comparable Fitch-rated multiborrower
transactions. The Fitch DSCR and LTV for the pool are 1.61x and
93.2%, respectively, significantly better than the YTD 2017
averages of 1.23x and 102.7%. Excluding investment-grade credit
opinion and multifamily cooperative loans, the pool has a Fitch
DSCR and LTV of 1.28x and 105.4%, respectively, better than the YTD
2017 normalized averages of 1.19x and 106.7%.
Investment-Grade Credit Opinion Loans: Two loans, representing 16%
of the pool, have investment-grade credit opinions. General Motors
Building (9.6% of the pool) and Del Amo Fashion Center (6.4% of the
pool) have investment-grade credit opinions of 'AAAsf*' and
'BBBsf*, respectively, on a stand-alone basis. Combined, the two
loans have a weighted average (WA) Fitch DSCR and LTV of 1.50x and
58.5%, respectively.
Pool Diversity by Loan Size: The transaction exhibits low pool
concentration, with a loan concentration index (LCI) of 362,
compared to the YTD average of 403. The top 10 loans account for
50.7% of the pool, below the YTD 2017 average of 53.7%, and the
pool's average loan size is $13 million, compared to the YTD 2017
average of $20.6 million.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 11.8% 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 BANK
2017-BNK6 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.
BAYVIEW OPPURTUNITY 2017-RT2: Fitch Gives 'Bsf' Rating to B5 Notes
------------------------------------------------------------------
Fitch Ratings has assigned the following ratings to Bayview
Opportunity Master Fund IVb Trust 2017-RT2 (BOMFT 2017-RT2):
-- $77,192,000 class A notes 'AAAsf'; Outlook Stable;
-- $77,192,000 class A-IOA notional notes 'AAAsf'; Outlook
Stable;
-- $77,192,000 class A-IOB notional notes 'AAAsf'; Outlook
Stable;
-- $11,324,000 class B1 notes 'AAsf'; Outlook Stable;
-- $11,324,000 class B1-IOA notional notes 'AAsf'; Outlook
Stable;
-- $11,324,000 class B1-IOB notional notes 'AAsf'; Outlook
Stable;
-- $2,579,000 class B2 notes 'Asf'; Outlook Stable;
-- $2,579,000 class B2-IO notional notes 'Asf'; Outlook Stable;
-- $6,102,000 class B3 notes 'BBBsf'; Outlook Stable;
-- $6,102,000 class B3-IOA notional notes 'BBBsf'; Outlook
Stable;
-- $6,102,000 class B3-IOB notional notes 'BBBsf'; Outlook
Stable;
-- $11,702,000 class B4 notes 'BBsf'; Outlook Stable;
-- $5,914,000 class B5 notes 'Bsf'; Outlook Stable.
The following class will not be rated by Fitch:
-- $11,009,566 class B6 notes.
The notes are supported by a pool of 1,581 seasoned performing,
re-performing (RPL), and newly originated loans totaling $125.8
million, which excludes $5.2 million in non-interest-bearing
deferred principal amounts, as of the cutoff date. Of the total
interest-bearing pool balance, 49.2% 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 38.65% subordination provided by the 9.00% class B1, 2.05%
class B2, 4.85% class B3, 9.30% class B4, 4.70% class B5, and 8.75%
class B6 notes.
Fitch's ratings on the notes reflect the credit attributes of the
underlying collateral, the quality of the servicer (Bayview Loan
Servicing, LLC, rated 'RSS2+'), the representation (rep) and
warranty framework, minimal due diligence findings, and the
sequential pay structure.
KEY RATING DRIVERS
Recent Delinquencies (Negative): Approximately 44% of the borrowers
in the pool have had a delinquency in the prior 24 months, with
29.3% occurring in the past 12 months. The majority of the pool
(65.9%) has received a modification due to performance issues.
Although the borrowers had prior delinquencies as recent as four
months ago and tend to be chronic late payers, the seasoning of
roughly 11 years indicates a willingness to stay in their home.
Low Property Values (Concern): Based on Fitch's analysis, the
average current property value of the pool is approximately
$140,000, which is lower than the average of other Fitch-rated RPL
transactions of over $150,000. Historical data from CoreLogic Loan
Performance indicate that recently observed loss severities (LS)
have been higher for very low property values than implied by
Fitch's loan loss model. For this reason, LS floors were applied to
loans with property values below $99,000, which increased the
'AAAsf' loss expectation by roughly 250 basis points (bps).
Tier I Representation Framework (Positive): Fitch considers the
transaction's representation, warranty and enforcement (RW&E)
mechanism framework to be consistent with Tier I quality. The
transaction benefits from life-of-loan representations and
warranties (R&Ws), as well as a backstop by Bayview Asset
Management (BAM) in the event the sponsor, Bayview Opportunity
Master Fund IVb, L.P., is liquidated or terminated.
Due Diligence Findings (Concern): A third-party review (TPR), which
was conducted on 100% of the pool, resulted in 13.7% (or 216 loans)
graded 'C' or 'D'. For 159 loans, the due diligence results showed
issues regarding high cost testing -- the loans were either missing
the final HUD1, used alternate documentation to test, or had
incomplete loan files -- and therefore a slight upward revision to
the model output LS was applied, as further described in the
Third-Party Due Diligence section beginning on page 6. In addition,
timelines were extended on 230 loans that were missing final
modification documents (excluding 50 loans that were already
adjusted for HUD1 issues).
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): Given that there is no
external P&I advancing mechanism, Fitch analyzed the collateral's
cash flows using its standard prepayment and default timing
assumptions to assess the cash flow stability of the high
investment-grade rated bonds. Fitch considered the borrower's pay
histories in comparison to its timing assumptions and found that
the subordination is expected to be sufficient to cover timely
payment of interest on the 'AAAsf' and 'AAsf' notes. In addition,
principal otherwise distributable to the notes may be used to pay
monthly interest, which also helps provide stability in the cash
flows. However, the lower-rated bonds may experience long periods
of interest deferral, and will generally not be repaid until the
note becomes the most senior outstanding.
No Servicer P&I Advances (Mixed): The servicer will not be
advancing delinquent monthly payments of P&I, which reduces
liquidity to the trust. However, as P&I advances made on behalf of
loans that become delinquent and eventually liquidate reduce
liquidation proceeds to the trust, 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.
Solid Alignment of Interest (Positive): The sponsor, Bayview
Opportunity Master Fund IVb, 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
July 2021. 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 one criteria variation from 'U.S.
RMBS Seasoned, Re-Performing and Non-Performing Loan Criteria,'
which is described below.
The variation is that 3% of the tax, title and lien review will be
conducted within 90 days after securitization. If there are any
issues found, the loan will be repurchased from the trust. Fitch
also considered the robust servicing and ongoing monitoring from
Bayview Loan Servicing, which is a high-touch servicing platform
that specializes in seasoned loans. Given the strength of the
servicer, Fitch considered the impact of slightly seasoned tax,
title and lien reviews to be nonmaterial.
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 37.4% at 'AAAsf'. The analysis indicates there is
some potential rating migration with higher MVDs, compared with the
model projection.
BX TRUST 2017-APPL: DBRS Gives Prov. BB(low) Rating on E Debt
-------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the followings classes
of Commercial Mortgage Pass-Through Certificates, Series 2017-APPL
(the Certificates) to be issued by BX 2017-APPL Mortgage Trust:
-- Class A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at A (high) (sf)
-- Class X-CP at A (low) (sf)
-- Class X-EXT at A (low) (sf)
-- Class D at BBB (high) (sf)
-- Class E at BB (low) (sf)
All trends are Stable.
All classes will be privately placed. The Class X-CP and Class
X-EXT are notional.
The $800.0 million mortgage loan is secured by the fee simple
and/or leasehold interest in a portfolio of 51 limited-service,
extended-stay and full-service hotels totaling 6,154 keys, located
in 17 different states across the United States. The portfolio is
geographically diverse and relatively granular, as no single hotel
represents greater than 8.8% of the allocated loan balance, and no
property accounted for more than 8.8% of net operating income based
on the trailing 12-month period ending April 2017 (T-12 Period).
DBRS considered 43 of the properties – approximately 91.0% of the
allocated loan amount – to be located in suburban or urban
locations. The hotels operate under two international brands –
Marriott International, Inc. and Hilton Worldwide – totaling ten
different flags. Hilton Garden Inn, covering 13 of the 51
properties, is the largest flag within the portfolio, as the flag
represents 27.7% of the portfolio by allocated mortgage loan
amount. The portfolio is managed by eight different national
hospitality management firms, with Inn Ventures managing the
largest number of keys at 1,493 and having the greatest total
allocated loan amount at 33.4%.
Since acquiring the portfolio in 2013, the sponsor, BSHH LLC., an
affiliate of Blackstone Real Estate Partners VII, L.P., has
invested roughly $122.2 million ($3,997 per key annually) of capex
across the collateral portfolio, $51.4 million ($8,370 per key) of
which was injected in 2015 alone. Additionally, the sponsor has
budgeted to spend $13.7 million on property improvement plan (PIP)
expenditures on six hotels over the next five years, which equals
approximately $19,062 per key at the six hotels. The loan is
structured with ongoing furniture, fixtures and equipment reserves
that will be collected at 4.0% of gross revenue on a monthly basis
and are available for planned maintenance throughout the term.
Because the loan was not structured with an upfront PIP reserve,
DBRS applied a net cash flow penalty based on straight-lining the
Year 1 and Year 2 budgeted PIP expenditures. Both recently
completed and remaining planned capital improvement programs will
upgrade public areas, guest rooms and guest amenities to meet brand
standards. The properties were built between 1985 and 2009, and the
portfolio's straight-line average year built is 2000. DBRS assessed
the overall portfolio quality to be Average based on the site
inspections, but individual property quality assessments ranged
from Above Average to Average (-). The properties inspected that
had undergone recent renovations were noted to be modern and
attractive but in line with the national-brand standard quality of
recently renovated Marriott and Hilton limited-service hotels.
The portfolio's performance has been generally stable over the past
few years, despite a few instances where significant declines were
reported, particularly in 2010. Revenue per available room (RevPAR)
bottomed out in 2009 at $71.76, which represented a 15.8% decrease
compared with the previous high of $85.24 in YE2008. Through the
T-12 period, RevPAR has fully recovered, and then some, to $103.38,
representing a 44.1% increase from the cyclical low. Additionally,
the portfolio has displayed a stable RevPAR since 2015. Based on
allocated loan amount, the portfolio's weighted-average penetration
index figures of 103.6% for occupancy, 109.8% for average daily
rate and 114.0% for RevPAR as of the T-12 period imply that the
portfolio's properties generally outperform their competitive set.
As of the April 2017 STR Reports, there were 41 properties,
representing 74.0% of the allocated loan balance, that exhibited
RevPAR penetration indexes above 100.0%, including 13 properties,
or 20.8% of the allocated loan amount, achieving strong RevPAR
penetration figures over 130.0%.
Loan proceeds of $800.0 million ($12,997 per key) were used to
refinance $734.2 million ($119,299 per key) of existing portfolio
debt, return $15.3 million of equity to the sponsor and cover
closing costs of approximately $13.6 million. The most recent prior
senior debt was securitized in the CDGJ Commercial Mortgage Trust
2014-BXCH securitization and encumbered all of the current
portfolio assets. The loan is a two-year floating-rate (one-month
LIBOR plus 2.15% per annum) interest-only mortgage loan with five
one-year extension options. The as-is portfolio appraised value of
$1.28 billion, assuming a bulk sale, and $1.16 billion, assuming
individual sales, equate to relatively moderate appraised
loan-to-value (LTV) ratios of 62.5% and 69.1%, respectively. The
DBRS value represents a 41.0% and 34.8% discount to the bulk sale
and individual sale valuation, respectively. The DBRS LTV of 105.9%
is indicative of high-leverage financing; however, the DBRS value
is based on a reversionary cap rate of 10.86%, which represents a
significant stress over current prevailing market cap rates.
Furthermore, the loan's DBRS Debt Yield and DBRS Term debt service
coverage ratio at 10.2% and 1.88 times, respectively, are moderate
considering the portfolio is primarily securitized by suburban
limited-service hotels
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.
BX TRUST 2017-APPL: S&P Gives Prelim. B- Rating to Cl. F Certs
--------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to BX Trust
2017-APPL's $760.0 million commercial mortgage pass-through
certificates.
The certificate issuance is a commercial mortgage-backed securities
transaction backed by one two-year, floating-rate commercial
mortgage loan totaling $800 million ($760 million securitized
balance, which excludes the risk retention class), with five
one-year extension options, secured by the fee simple and leasehold
interest in 32 extended-stay, 18 limited-service, and one
full-service hotel property.
The preliminary ratings are based on information as of July 28,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of the collateral's
historical and projected performance, the sponsors' and managers'
experience, the trustee-provided liquidity, the loan's terms, and
the transaction's structure.
PRELIMINARY RATINGS ASSIGNED
BX Trust 2017-APPL
Class Rating(i) Amount ($)
A AAA (sf) 251,560,000
X-CP BBB- (sf) 205,831,750(ii)
X-EXT BBB- (sf) 242,155,000(ii)
B AA- (sf) 88,825,000
C A- (sf) 66,025,000
D BBB- (sf) 87,305,000
E BB- (sf) 137,560,000
F B- (sf) 121,885,000
G NR 6,840,000
RR(iii) NR 40,000,000
(i)The issuer will issue the certificates to qualified
institutional buyers in line with Rule 144A of the Securities Act
of 1933.
(ii)Notional balance. The notional amount of the class X-CP
certificates will be equal to the aggregate of the portion balances
of the B-2 portion of the class B certificates, the C-2 portion of
the class C certificates, and the D-2 portion of the class D
certificates. The notional amount of the class X-EXT certificates
will be equal to the aggregate certificate balance of class B, C,
and D certificates.
(iii)Non-offered vertical risk retention class.
NR--Not rated.
CANADIAN COMMERCIAL 2012-1: DBRS Confirms B Rating on Cl. G Debt
----------------------------------------------------------------
DBRS Limited confirmed all classes of Commercial Pass-Through
Certificates, Series 2012-1 (the Certificates) issued by Canadian
Commercial Mortgage Origination Trust 2012-1 (CCMOT 2012-1) as
follows:
-- Class A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class X at A (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
-- Class G at B (sf)
All trends are Stable, with the exception of Classes F and G which
carry a Negative trend that has been maintained to reflect concerns
regarding declining performance of the largest loan in the pool,
the Centre RioCan Kirkland loan (18.4% of the current pool balance)
and the near-term maturity of all remaining loans in the pool.
The rating confirmations reflect the overall stable performance of
the transaction. At issuance, the collateral for this transaction
consisted of 25 fixed-rate loans secured by 26 properties with an
issuance trust balance of $248.5 million. All loans in the pool
were structured with five-year terms and are scheduled to mature in
2017. As of the July 2017 remittance, eight loans representing
20.1% of the issuance pool balance have been repaid, contributing
to a principal paydown of $71.4 million in conjunction with
scheduled loan amortization. As a result, the pool has experienced
a collateral reduction of 28.8% since issuance with 17 loans
remaining in the pool and an outstanding aggregate balance of
$177.1 million. All remaining loans are scheduled to mature by
December 2017, with seven loans, representing 23.4% of the current
pool balance, scheduled to mature in August 2017. Four loans,
representing 34.7% of the current pool balance, including the two
largest loans in the pool, are scheduled to mature in October 2017.
The pool benefits from recourse guarantees on all but one of the
remaining loans in the pool. Historically, the Canadian commercial
mortgage-backed security (CMBS) delinquency rate has remained
relatively low and borrowers that have provided partial or full
recourse guarantees to their respective loans have exhibited a
higher likelihood to obtain replacement financing at maturity than
loans with no recourse guarantee.
The remaining top ten loans have exhibited stable performance since
issuance as seven loans, representing 47.1% of the pool, reported
strong net cash flow (NCF) growth of 29.8% over the DBRS issuance
figures and NCF growth of 13.6% year over year, according to the
most recent year-end reporting period available.
As of the July 2017 remittance, there are 12 loans representing
59.1% of the pool balance on the servicer's watchlist. All 12 loans
are being monitored for upcoming maturities, while two loans
representing 21.0% of the pool balance are also being monitored for
low occupancy.
The ratings assigned to Classes A, B, C, D, E and F materially
deviate from the lower ratings implied by the quantitative results.
DBRS considers a material deviation to be a rating differential of
three or more notches between the assigned rating and the rating
implied by the quantitative results that is a substantial component
of a rating methodology. The deviations are warranted as a result
of the uncertain loan level event risk.
The rating assigned to Class X materially deviates from the lower
ratings implied by the quantitive results. Consideration was given
for the actual loan, transaction and sector performance where a
rating based on the lowest rated notional class may not reflect the
observed risk.
CAPITAL AUTO 2015-1: Moody's Hikes Class E Notes Rating From Ba1
----------------------------------------------------------------
Moody's Investors Service has upgraded seven securities and
affirmed twenty-seven securities from five transaction issued in
2015 and 2016. The transactions are sponsored by Ally Financial
Inc. (Ba3, Stable).
The complete rating actions are as follow:
Issuer: Capital Auto Receivables Asset Trust 2015-1
Class A-3 Notes, Affirmed Aaa (sf); previously on May 10, 2017
Affirmed Aaa (sf)
Class A-4 Notes, Affirmed Aaa (sf); previously on May 10, 2017
Affirmed Aaa (sf)
Class B Notes, Affirmed Aaa (sf); previously on May 10, 2017
Affirmed Aaa (sf)
Class C Notes, Affirmed Aaa (sf); previously on May 10, 2017
Affirmed Aaa (sf)
Class D Notes, Affirmed Aaa (sf); previously on May 10, 2017
Affirmed Aaa (sf)
Class E Notes, Upgraded to A1 (sf); previously on May 10, 2017
Upgraded to A2 (sf)
Issuer: Capital Auto Receivables Asset Trust 2015-3
Class A-2 Notes, Affirmed Aaa (sf); previously on May 10, 2017
Affirmed Aaa (sf)
Class A-3 Notes, Affirmed Aaa (sf); previously on May 10, 2017
Affirmed Aaa (sf)
Class A-4 Notes, Affirmed Aaa (sf); previously on May 10, 2017
Affirmed Aaa (sf)
Class B Notes, Affirmed Aaa (sf); previously on May 10, 2017
Affirmed Aaa (sf)
Class C Notes, Affirmed Aaa (sf); previously on May 10, 2017
Upgraded to Aaa (sf)
Class D Notes, Upgraded to Aa1 (sf); previously on May 10, 2017
Upgraded to Aa2 (sf)
Class E Notes, Affirmed Baa2 (sf); previously on May 10, 2017
Upgraded to Baa2 (sf)
Issuer: Capital Auto Receivables Asset Trust 2015-4
Class A-2 Notes, Affirmed Aaa (sf); previously on May 10, 2017
Affirmed Aaa (sf)
Class A-3 Notes, Affirmed Aaa (sf); previously on May 10, 2017
Affirmed Aaa (sf)
Class A-4 Notes, Affirmed Aaa (sf); previously on May 10, 2017
Affirmed Aaa (sf)
Class B Notes, Affirmed Aaa (sf); previously on May 10, 2017
Affirmed Aaa (sf)
Class C Notes, Affirmed Aaa (sf); previously on May 10, 2017
Upgraded to Aaa (sf)
Class D Notes, Upgraded to Aa2 (sf); previously on May 10, 2017
Upgraded to Aa3 (sf)
Class E Notes, Upgraded to Baa2 (sf); previously on May 10, 2017
Affirmed Ba1 (sf)
Issuer: Capital Auto Receivables Asset Trust 2016-2
Class A-2a Asset-Backed Notes, Affirmed Aaa (sf); previously on May
10, 2017 Affirmed Aaa (sf)
Class A-2b Asset-Backed Notes, Affirmed Aaa (sf); previously on May
10, 2017 Affirmed Aaa (sf)
Class A-3 Asset-Backed Notes, Affirmed Aaa (sf); previously on May
10, 2017 Affirmed Aaa (sf)
Class A-4 Asset-Backed Notes, Affirmed Aaa (sf); previously on May
10, 2017 Affirmed Aaa (sf)
Class B Asset-Backed Notes, Affirmed Aaa (sf); previously on May
10, 2017 Upgraded to Aaa (sf)
Class C Asset-Backed Notes, Affirmed Aa1 (sf); previously on May
10, 2017 Upgraded to Aa1 (sf)
Class D Asset-Backed Notes, Upgraded to A1 (sf); previously on May
10, 2017 Affirmed A3 (sf)
Issuer: Capital Auto Receivables Asset Trust 2016-3
Class A-2a Asset-Backed Notes, Affirmed Aaa (sf); previously on May
10, 2017 Affirmed Aaa (sf)
Class A-2b Asset-Backed Notes, Affirmed Aaa (sf); previously on May
10, 2017 Affirmed Aaa (sf)
Class A-3 Asset-Backed Notes, Affirmed Aaa (sf); previously on May
10, 2017 Affirmed Aaa (sf)
Class A-4 Asset-Backed Notes, Affirmed Aaa (sf); previously on May
10, 2017 Affirmed Aaa (sf)
Class B Asset-Backed Notes, Affirmed Aaa (sf); previously on May
10, 2017 Upgraded to Aaa (sf)
Class C Asset-Backed Notes, Upgraded to Aa1 (sf); previously on May
10, 2017 Upgraded to Aa2 (sf)
Class D Asset-Backed Notes, Upgraded to A2 (sf); previously on May
10, 2017 Affirmed A3 (sf)
RATINGS RATIONALE
The upgrades are a result of the buildup of credit enhancement due
to sequential pay structures and non-declining
overcollateralization and reserve accounts. The lifetime cumulative
net loss (CNL) expectations were increased to 3.00% from 2.75% for
2015-1 transactions, to 3.50% from 3.25% for the 2015-3 and 2015-4
transactions, and remained unchanged for the 2016-2 and 2016-3
transactions at 3.75%.
CARAT transactions issued prior to 2016 have the same one-year
revolving feature that allows collateral to be added to the
securitized pool during the first twelve months. After this initial
period, the transactions amortize. All transactions included in
this rating action have completed their revolving period. The
transactions issued in 2016 did not have the revolving feature.
Below are key performance metrics (as of the July 2017 distribution
date) and credit assumptions for the affected transactions. Credit
assumptions include Moody's expected lifetime CNL, expressed as a
percentage of the original pool balance plus any additional added
receivables, as well as Moody's lifetime remaining CNL expectation
and Moody's Aaa levels, both expressed as a percentage of the
current pool balance. The Aaa level is the level of credit
enhancement that would be consistent with a Aaa (sf) rating for the
given asset pool. Performance metrics include the pool factor,
which is the ratio of the current collateral balance to the
original collateral balance at closing; total credit enhancement,
which typically consists of subordination, overcollateralization,
reserve fund; and Excess Spread per annum.
Issuer: Capital Auto Receivables Asset Trust 2015-1
Lifetime CNL expectation - 3.00%; prior expectation (May 2017) -
2.75%
Lifetime Remaining CNL expectation - 2.88%
Aaa (sf) level - 14.00%
Pool factor - 29.04%
Total Hard credit enhancement - Class A 50.49%, Class B 39.07%,
Class C 28.25%, Class D 18.63%, Class E 6.61%
Excess Spread per annum -- Approximately 4.3%
Issuer: Capital Auto Receivables Asset Trust 2015-3
Lifetime CNL expectation - 3.50%; prior expectation (May 2017) -
3.25%
Lifetime Remaining CNL expectation - 3.42%
Aaa (sf) level - 16.00%
Pool factor - 41.04%
Total Hard credit enhancement - Class A 34.58%, Class B 26.76%,
Class C 19.35%, Class D 12.76%, Class E 4.53%
Excess Spread per annum -- Approximately 5.0%
Issuer: Capital Auto Receivables Asset Trust 2015-4
Lifetime CNL expectation - 3.50%; prior expectation (May 2017) -
3.25%
Lifetime Remaining CNL expectation - 3.58%
Aaa (sf) level - 16.00%
Pool factor - 44.54%
Total Hard credit enhancement - Class A 31.61%, Class B 24.46%,
Class C 17.69%, Class D 11.67%, Class E 4.14%
Excess Spread per annum -- Approximately 5.2%
Issuer: Capital Auto Receivables Asset Trust 2016-2
Lifetime CNL expectation - 3.75%; prior expectation (May 2017) -
3.75%
Lifetime Remaining CNL expectation - 3.63%
Aaa (sf) level - 16.50%
Pool factor - 61.98%
Total Hard credit enhancement Class A 25.41%, Class B 20.57%, Class
C 12.5%, Class D 6.86%
Excess Spread per annum -- Approximately 6.7%
Issuer: Capital Auto Receivables Asset Trust 2016-3
Lifetime CNL expectation - 3.75%; prior expectation (May 2017) -
3.75%
Lifetime Remaining CNL expectation - 3.89%
Aaa (sf) level - 16.50%
Pool factor - 66.28%
Total Hard credit enhancement - Class A 23.76%, Class B 19.24%,
Class C 11.69%, Class D 6.41%
Excess Spread per annum -- Approximately 6.8%
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
October 2016.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are greater than necessary to
protect investors against current expectations of loss could lead
to an upgrade of the rating. Moody's current expectations of loss
may be better than its original expectations because of lower
frequency of default by the underlying obligors or appreciation in
the value of the vehicles that secure the obligor's promise of
payment. The US job market and the market for used vehicle are
primary drivers of performance. Other reasons for better
performance than Moody's expected include changes in servicing
practices to maximize collections on the loans or refinancing
opportunities that result in a prepayment of the loan.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could lead to a
downgrade of the ratings. Moody's current expectations of loss may
be worse than its original expectations because of higher frequency
of default by the underlying obligors of the loans or a
deterioration in the value of the vehicles that secure the
obligor's promise of payment. The US job market and the market for
used vehicle are primary drivers of performance. Other reasons for
worse performance than Moody's expected include poor servicing,
error on the part of transaction parties, lack of transactional
governance and fraud.
CGMS COMMERCIAL 2017-MDDR: S&P Rates Class E-FX Certs 'BBsf'
------------------------------------------------------------
S&P Global Ratings assigned its ratings to CGMS Commercial Mortgage
Trust 2017-MDDR's $$207.8 million pool A fixed-rate certificates,
$261.0 million pool B floating-rate certificates, and $202.5
million pool C floating-rate certificates.
The certificate issuance is a commercial mortgage-backed securities
transaction backed by a portfolio of predominantly grocery-anchored
retail properties.
The ratings reflect S&P's view of the collateral's historic and
projected performance, the sponsor's and managers' experience, the
trustee-provided liquidity, the loans' terms, and the transaction's
structure.
RATINGS ASSIGNED
CGMS Commercial Mortgage Trust 2017-MDDR
Class Rating(i) Amount ($)
Pool A fixed-rate certificates
A-FX AAA (sf) 104,860,000
X-FX AAA (sf) 104,860,000(ii)
B-FX AA- (sf) 38,758,000
C-FX A- (sf) 19,585,000
D-FX BBB- (sf) 24,023,000
E-FX BB (sf) 20,567,000
Class VRR NR 10,937,000
Pool B floating-rate certificates
A-FL-PB AAA (sf) 150,533,000
B-FL-PB AA- (sf) 34,942,000
C-FL-PB A- (sf) 25,292,000
D-FL-PB BBB- (sf) 31,026,000
E-FL-PB BB (sf) 19,229,000
Class VRR NR 13,738,000
Pool C floating-rate certificates
A-FL-PC AAA (sf) 108,618,000
X-FL-PC-CP BBB- (sf) 65,761,000(ii)
X-FL-PC-NCP BBB- (sf) 65,761,000(ii)
B-FL-PC AA- (sf) 25,146,000
C-FL-PC A- (sf) 18,240,000
D-FL-PC BBB- (sf) 22,375,000
E-FL-PC BB- (sf) 28,132,500
Class VRR NR 1 0,658,500
(i)The issuer will issue the certificates to qualified
institutional buyers in-line with Rule 144A of the Securities Act
of 1933.
(ii)Notional balance.
NR--Not rated.
CIFC FUNDING 2013-I: S&P Gives Prelim. BB- Rating on Cl. D-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class X,
A-1-R, A-2-R, B-R, C-R, and D-R replacement notes from CIFC Funding
2013-I Ltd., a collateralized loan obligation (CLO) originally
issued in March 2013 that is managed by CIFC Asset Management LLC.
The replacement notes will be issued via two proposed supplemental
indentures.
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 July 27,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the August 9, 2017, refinancing date, the proceeds from the
issuance of the replacement class A-1-R, A-2-R, B-R, C-R, and D-R
notes, as well as the proceeds from the issuance of additional
subordinated notes, are expected to redeem the original class A-1,
A-2, B, C, D, and E notes. At that time, we anticipate 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 two proposed
supplemental indentures, which, in addition to outlining the terms
of the replacement notes, will also:
-- Issue $6.70 million in additional subordinated notes;
-- Extend the reinvestment period to July 2022 from April 2017;
-- Extend the notes' legal final maturity date to July 2030 from
April 2025;
-- Extend the weighted average life test to nine years (calculated
from the refinancing date, August 2017) from eight years
(calculated from the original closing date, March 2013); and
-- Incorporate the recovery rate methodology and updated industry
classifications outlined in S&P's August 2016 CLO criteria update
(see "Global Methodologies And Assumptions For Corporate Cash Flow
And Synthetic CDOs," published Aug. 8, 2016).
REPLACEMENT AND ORIGINAL NOTE ISSUANCES
Replacement Notes
Class Amount Interest
(mil. $) rate (%)
X 7.50 Three-month LIBOR + 0.85
A-1-R 313.70 Three-month LIBOR + 1.25
A-2-R 58.20 Three-month LIBOR + 1.75
B-R 39.40 Three-month LIBOR + 2.40
C-R 24.80 Three-month LIBOR + 3.55
D-R 23.40 Three-month LIBOR + 6.65
2017 sub notes 6.70
Original Notes
Class Amount Interest
(mil. $) rate (%)
A-1 310.60 Three-month LIBOR + 1.15
A-2 50.50 Three-month LIBOR + 1.90
B 47.60 Three-month LIBOR + 2.81
C 28.20 Three-month LIBOR + 3.60
D 22.80 Three-month LIBOR + 5.24
E 10.30 Three-month LIBOR + 6.125
Sub notes 46.60
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 (see table). 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
CIFC Funding 2013-I Ltd.
Replacement class Rating Amount (mil. $)
X AAA (sf) 7.50
A-1-R AAA (sf) 313.70
A-2-R AA (sf) 58.20
B-R A (sf) 39.40
C-R BBB- (sf) 24.80
D-R BB- (sf) 23.40
OTHER OUTSTANDING RATINGS
CIFC Funding 2013-I Ltd.
Class Rating
A-1 AAA (sf)
A-2 AA+ (sf)
B A (sf)
C BBB (sf)
D BB (sf)
E B (sf)
Sub notes NR
NR--Not rated.
CITIGROUP COMMERCIAL 2016-P4: Fitch Affirms B- Rating on F Certs
----------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Citigroup Commercial
Mortgage Trust 2016-P4 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 July, 2017 distribution date, the pool's aggregate
balance has been reduced by 0.4% to $718.1 million, from $721.2
million at issuance. Two loans (3.4%) are on the servicer's
watchlist, and none are considered Fitch loans of concern.
High Hotel Concentration: Six loans backed by hotel properties
represent 19.3% of the pool, including 3 (14.5%) in the top 15,
which is higher than the 2016 and 2015 historical averages for
Fitch rated transactions.
Single-tenant exposure: The pool includes seven loans (16.7%)
secured by collateral with a single tenant occupying approximately
75% or more of NRA.
Average Amortization: The pool is scheduled to amortize by 10.8% of
the initial pool balance prior to maturity. At issuance, this was
in-line with the YTD 2016 and 2015 averages of 9.8% and 11.7%,
respectively, for fixed-rate transactions. There are seven loans
(23.1%) that are full-term interest-only and 25 loans (49.4%) that
are partial interest only. Fitch-rated transactions YTD in 2016 had
an average full-term interest-only percentage of 30.6% and a
partial interest-only percentage of 40.9%.
RATING SENSITIVITIES
The Rating Outlook for all classes remains Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset level event changes the transaction's overall
portfolio-level metrics.
Fitch has affirmed the following ratings:
-- $21.5 million class A-1 at 'AAAsf'; Outlook Stable;
-- $65.4 million class A-2 at 'AAAsf'; Outlook Stable;
-- $170.0 million class A-3 at 'AAAsf'; Outlook Stable;
-- $201.3 million class A-4 at 'AAAsf'; Outlook Stable;
-- $43.5 million class A-AB at 'AAAsf'; Outlook Stable;
-- Interest-only class X-A at 'AAAsf'; Outlook Stable;
-- Interest-only class X-B at 'AA-sf'; Outlook Stable;
-- $48.7 million class A-S at 'AAAsf'; Outlook Stable;
-- $34.3 million class B at 'AA-sf'; Outlook Stable;
-- $33.3 million class C at 'A-sf'; Outlook Stable;
-- $40.6 million class D at 'BBB-sf'; Outlook Stable;
-- Interest-only class X-C at 'BBB-sf'; Outlook Stable;
-- $18.9 million class E at 'BB-sf'; Outlook Stable;
-- $8.1 million class F at 'B-sf'; Outlook Stable.
Fitch does not rate the class G or class H certificates.
COLLEGE AVE 2017-A: DBRS Finalizes Prov. BB Rating on Class C Notes
-------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Notes issued by College Ave Student Loans 2017-A, LLC
(College Ave 2017-A):
-- $95,320,000 Class A-1 rated A (sf)
-- $43,470,000 Class A-2 rated A (sf)
-- $10,760,000 Class B rated BBB (sf)
-- $11,340,000 Class C rated 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 finalized ratings are based on a review by DBRS 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 regards 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,
PHEAA.
-- The legal structure and legal opinions that 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 uses 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 are primarily secured by a
single pool of student loans that includes both variable-rate loans
and fixed-rate loans.
COMM 2013-CCRE10: DBRS Confirms B(sf) Rating on Class F Debt
------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, 2013-CCRE10 (the
Certificates) issued by COMM 2013-CCRE10 Mortgage Trust:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-3FL at AAA (sf)
-- Class A-3FX at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-M at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (high) (sf)
-- Class PEZ at A (high) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (sf)
-- Class F at B (sf)
The Class PEZ certificates are exchangeable for the Class A-M,
Class B and Class C certificates (and vice versa).
All Trends are Stable, with the exception of Class F, which carries
a Negative Trend that has been maintained by DBRS to reflect the
risks with the loan in special servicing, Prospectus ID #15, Strata
Estates (1.8% of the pool).
At issuance, the collateral consisted of 59 fixed-rate loans
secured by 87 commercial properties. As of the June 2017 remittance
report, all 59 loans remained in the pool, and the pool has seen a
collateral reduction of 5.9% since issuance. There are two loans
that are fully defeased, representing 2.4% of the pool balance.
Overall, performance metrics have remained healthy since issuance,
with all but four loans in the pool reporting YE2016 financials
with a weighted-average (WA) debt service coverage ratio (DSCR) and
WA debt yield of 1.98 times (x) and 12.2%, respectively. These
figures compare with the DBRS issuance figures of 1.62x and 9.9%,
respectively. The top 15 loans in the pool are reporting a WA DSCR
and a WA debt yield of 2.09x and 12.1%, respectively, as based on
the YE2016 cash flows.
As of the June 2017 remittance report, there are 11 loans on the
servicer's watchlist, representing 22.5% of the pool balance. Four
of these loans are on the watchlist for relatively minor deferred
maintenance items, and one of the loans is watchlisted for failure
to report YE2016 financials. Four of the loans are on the watchlist
for rollover. There are two loans being monitored for performance
issues, including The Worcester Multifamily Portfolio (Pros ID#14,
2.4% of the pool) and 1411 Fourth Avenue (Pros ID#16, 1.9% of the
pool). With this review, DBRS applied a stressed cash flow scenario
in its analysis for both of those loans to increase the probability
of default. The overall performance of the watchlist is stable with
a WA DSCR and WA debt yield of 1.47x and 9.9%, respectively.
The specially serviced loan, Strata Estates Suites (Prospectus ID
#15, 1.8% of the pool), is secured by two multifamily properties
located in Williston and Watford City, North Dakota. The loan has
been in special servicing since 2014, and based on the most recent
appraisals for each property and the outstanding advances as of the
June 2017 remittance, DBRS expects that the loss severity at
liquidation could be in excess of 100%.
At issuance, DBRS shadow-rated two loans as investment grade,
including the largest loan in the pool, Prospectus ID#1, One
Wilshire (10.4% of the pool) and the another loan in the Top 15,
Prospectus ID#4 (5.0% of the pool). Combined, these two loans
represent 15.4% of the current pool balance. DBRS has today
confirmed that the performance of these loans remain consistent
with investment-grade loan characteristics.
The ratings assigned to Classes C, D and E materially deviate from
the higher rating implied by the quantitative results. The
deviations are warranted because sustainability of loan trends has
not yet been demonstrated.
COMM 2013-CCRE12: Fitch Affirms CCC Rating on Class F Certs
-----------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Deutsche Bank Securities,
Inc.'s COMM 2013-CCRE12 commercial mortgage pass-through
certificates.
KEY RATING DRIVERS
The rating affirmations reflect the stable performance of the
majority of the underlying loans. The Negative Rating Outlooks on
classes C through E reflect concern over potential losses related
to the specially serviced loans and other Fitch Loans of Concern.
As of the July 2017 distribution date, the transaction was paid
down by 2.9%. There have been no realized losses to date.
Approximately 1.5% of the pool is currently defeased. Interest
shortfalls are currently impacting the non-rated class G.
Fitch Loans of Concern: Fitch Loans of Concern comprise 19.8% of
the pool, including six specially serviced loans/real estate owned
(REO) assets (4.8% of the pool). There are two Fitch Loans of
Concern in the top 15 loans in the pool, including the largest loan
in the pool. 175 West Jackson (12.9% of the pool) is secured by an
office property located in Chicago, IL. The largest tenant,
Cars.com (11.6% of net rentable area [NRA]), is expected to vacate
at its year-end (YE) 2017 lease expiration. While another tenant
that currently subleases a portion of the space is expected to go
direct, the majority of the space will need to be re-leased.
Specially Serviced Loans: There are currently six specially
serviced loans/REO assets. Three (1.9%) involve multifamily
properties located in the Bakken shale region of North Dakota,
which has seen significant market impact due to the deterioration
in oil production. Two other specially serviced loans are secured
by hotel properties (1.9%) located in Morgantown, WV and
Schaumberg, IL that have seen recent performance declines. The
remaining specially serviced asset is secured by a retail center
located in Elkview, WV that has been closed for the past year due
to access issues caused by 2016 flooding in the area.
Amortization: No loans in the pool are full-term interest-only.
Further, only three loans (18.2% of the pool) currently remain in
their interest-only periods; all are expected to enter their
amortization periods in 2018.
Property Type Diversity: The highest property type contributors are
retail at 31.2%, followed by office at 27.5% and
multifamily/manufactured housing at 20.0%. Hotels comprise only
8.5% of the pool.
RATING SENSITIVITIES
The Negative Rating Outlooks assigned to classes C through E
primarily reflect concern over the specially serviced assets and
Fitch Loans of Concern. Should performance continue to decline at
these assets or substantial losses be realized on the specially
serviced assets, these classes and the distressed class F could be
subject to rating downgrade. Rating Outlooks for classes A-1
through B remain Stable due to the pool's otherwise overall stable
performance. There are minimal scheduled loan maturities (7.2%)
prior to 2023. Rating upgrades to classes B and below may occur
with favorable resolutions on the specially serviced assets,
improved pool performance and additional class paydown and/or
defeasance.
Fitch has affirmed and revised outlooks as indicated:
-- $19.8 million class A-1 at 'AAAsf'; Outlook Stable;
-- $98.5 million class A-2 at 'AAAsf'; Outlook Stable;
-- $96.5 million class A-SB at 'AAAsf'; Outlook Stable;
-- $225 million class A-3 at 'AAAsf'; Outlook Stable;
-- $356 million class A-4 at 'AAAsf'; Outlook Stable;
-- $76.3 million class A-M at 'AAAsf'; Outlook Stable;
-- $79.3 million class B at 'AA-sf'; Outlook Stable;
-- $49.4 million class C at 'A-sf'; Outlook to Negative from
Stable;
-- $204.9 million* class PEZ at 'A-sf'; Outlook to Negative from
Stable;
-- $64.3 million class D at 'BBB-sf'; Outlook Negative;
-- $23.9 million class E at 'Bsf' Outlook to Negative from
Stable;
-- $16.5 million class F at 'CCCsf'; RE 5%.
-- $871.7 million** class X-A at 'AAAsf'; Outlook Stable;
-- $193 million** class X-B at 'AA-sf'; Outlook Stable.
* The class A-M, B and C certificates may be exchanged for class
PEZ certificates, and class PEZ certificates may be exchanged for
the class A-M, B and C certificates.
** Notional amount and interest-only.
Fitch does not rate the class G and X-C certificates.
CONNECTICUT AVE 2017-C05: DBRS Finalizes (P)B Rating on 18 Classes
------------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Connecticut Avenue Securities (CAS), Series 2017-C05 notes (the
Notes) issued by Fannie Mae (the Issuer):
-- $353.3 million Class 1M-1 at BBB (sf)
-- $249.4 million Class 1M-2A at BBB (low) (sf)
-- $249.4 million Class 1M-2B at BB (sf)
-- $290.9 million Class 1M-2C at B (high) (sf)
-- $789.7 million Class 1M-2 at B (high) (sf)
-- $249.4 million Class 1A-I1 at BBB (low) (sf)
-- $249.4 million Class 1E-A1 at BBB (low) (sf)
-- $249.4 million Class 1A-I2 at BBB (low) (sf)
-- $249.4 million Class 1E-A2 at BBB (low) (sf)
-- $249.4 million Class 1A-I3 at BBB (low) (sf)
-- $249.4 million Class 1E-A3 at BBB (low) (sf)
-- $249.4 million Class 1A-I4 at BBB (low) (sf)
-- $249.4 million Class 1E-A4 at BBB (low) (sf)
-- $249.4 million Class 1B-I1 at BB (sf)
-- $249.4 million Class 1E-B1 at BB (sf)
-- $249.4 million Class 1B-I2 at BB (sf)
-- $249.4 million Class 1E-B2 at BB (sf)
-- $249.4 million Class 1B-I3 at BB (sf)
-- $249.4 million Class 1E-B3 at BB (sf)
-- $249.4 million Class 1B-I4 at BB (sf)
-- $249.4 million Class 1E-B4 at BB (sf)
-- $290.9 million Class 1C-I1 at B (high) (sf)
-- $290.9 million Class 1E-C1 at B (high) (sf)
-- $290.9 million Class 1C-I2 at B (high) (sf)
-- $290.9 million Class 1E-C2 at B (high) (sf)
-- $290.9 million Class 1C-I3 at B (high) (sf)
-- $290.9 million Class 1E-C3 at B (high) (sf)
-- $290.9 million Class 1C-I4 at B (high) (sf)
-- $290.9 million Class 1E-C4 at B (high) (sf)
-- $498.8 million Class 1E-D1 at BB (sf)
-- $498.8 million Class 1E-D2 at BB (sf)
-- $498.8 million Class 1E-D3 at BB (sf)
-- $498.8 million Class 1E-D4 at BB (sf)
-- $498.8 million Class 1E-D5 at BB (sf)
-- $540.3 million Class 1E-F1 at B (high) (sf)
-- $540.3 million Class 1E-F2 at B (high) (sf)
-- $540.3 million Class 1E-F3 at B (high) (sf)
-- $540.3 million Class 1E-F4 at B (high) (sf)
-- $540.3 million Class 1E-F5 at B (high) (sf)
-- $498.8 million Class 1-X1 at BB (sf)
-- $498.8 million Class 1-X2 at BB (sf)
-- $498.8 million Class 1-X3 at BB (sf)
-- $498.8 million Class 1-X4 at BB (sf)
-- $540.3 million Class 1-Y1 at B (high) (sf)
-- $540.3 million Class 1-Y2 at B (high) (sf)
-- $540.3 million Class 1-Y3 at B (high) (sf)
-- $540.3 million Class 1-Y4 at B (high) (sf)
The holders of Class 1M-2 may exchange for proportionate interests
in the class 1M2A, 1M-2B and 1M-2C (Exchangeable Notes) and vice
versa. Holders of the Exchangeable Notes may further exchange for
proportionate interests in the Related Combinable or Recombinable
Notes (RCR Notes) and vice versa. Certain classes of the RCR Notes
may be further exchanged for other classes of RCR Notes and vice
versa. Classes 1M-2, 1A-I1, 1E-A1,1A-I2, 1E-A2, 1A-I3, 1E-A3,
1A-I4, 1E-A4, 1B-I1, 1E-B1, 1B-I2, 1E-B2, IB-I3, 1E-B3, IB-I4,
1E-B4, IC-I1, 1E-C1, IC-I2, 1E-C2, IC-I3, 1E-C3, IC-I4, 1E-C4,
1E-D1, 1E-D2, 1E-D3, 1E-D4, 1E-D5, 1E-F1, 1E-F2, 1E-F3,
1E-F4,1E-F5, I-X1, 1-X2, 1-X3, 1-X4, 1-Y1, I-Y2, 1-Y3 and 1-Y4 are
RCR Notes.
Classes 1A-I1, 1A-I2, 1A-I3, 1A-I4, 1B-I1, 1B-I2, IB-I3, IB-I4,
IC-I1, IC-I2, IC-I3, IC-I4, I-X1, 1-X2, 1-X3, 1-X4, 1-Y1, I-Y2,
1-Y3 and 1-Y4 are interest-only notes. The class balances represent
notional amounts.
The BBB (sf) ratings on the Notes reflect the 2.90% of credit
enhancement provided by subordinated Notes in the pool. The BBB
(low) (sf), BB (sf) and B (high) (sf) ratings reflect 2.30%, 1.70%
and 1.00% of credit enhancement, respectively.
Other than the specified classes above, DBRS does not rate any
other classes in this transaction.
The Notes in the transaction represent unsecured general
obligations of Fannie Mae. The Notes are subject to the credit and
principal payment risk of a certain reference pool (the Reference
Pool) of residential mortgages held in various Fannie
Mae-guaranteed mortgage-backed securities.
The Reference Pool consists of 174,672 fully amortizing first-lien,
fixed-rate mortgage loans (greater than 20 years) underwritten to a
full documentation standard with original loan-to-value ratios
greater than 60% and less than or equal to 80%. Payments to the
Notes will be determined by the credit performance of the Reference
Pool.
Cash flow from the Reference Pool will not be used to make any
payment to the Noteholders; instead, Fannie Mae will be responsible
for making monthly interest payments at the note rate and periodic
principal payments on the Notes based on the actual principal
payments it collects from the Reference Pool.
This transaction is the 13th transaction in the CAS series where
note write-downs are based on actual realized losses and not on a
predetermined set of loss severities. Furthermore, unlike earlier
CAS transactions where a credit event could occur as early as the
date on which a mortgage becomes 180 or more days delinquent, for
this transaction a delinquent mortgage would typically need to go
through the entire liquidation process for a credit event to occur.
Fannie Mae is obligated to retire the Notes by January 2030 by
paying an amount equal to the remaining class balance plus accrued
and unpaid interest. The Notes also may be redeemed on or after (1)
the date on which the Reference Pool pays down to less than 10% of
its cut-off date balance or (2) the payment date in July 2027,
whichever comes first. If there are unrecovered losses for any of
the Notes as of the termination date, then Noteholders are entitled
to certain projected recovery amounts.
DBRS notes the following strengths and challenges for this
transaction:
STRENGTHS
-- Seller (or lender)/servicer approval process and quality
control platform;
-- Well-diversified reference pool;
-- Strong alignment of interest;
-- Strong structural protections; and
-- Extensive performance history.
CHALLENGES
-- Unsecured obligation of Fannie Mae;
-- Representation and warranties framework; and
-- Limited third-party due diligence.
CPS AUTO 2017-C: DBRS Finalize Prov. BB Rating on Cl. E Debt
------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes issued by CPS Auto Receivables Trust 2017-C (CPS 2017-C):
-- $105,800,000 Series 2017-C, Class A rated AAA (sf)
-- $35,075,000 Series 2017-C, Class B rated AA (sf)
-- $31,050,000 Series 2017-C, Class C rated A (sf)
-- $27,600,000 Series 2017-C, Class D rated BBB (sf)
-- $25,300,000 Series 2017-C, Class E rated BB (sf)
The ratings are based on DBRS's review of the following analytical
considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- Credit enhancement is in the form of overcollateralization,
subordination, amounts held in the reserve fund and excess
spread. Credit enhancement levels are sufficient to support
the DBRS-projected expected cumulative net loss assumption
under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under
which they have invested. For this transaction, the rating
addresses the payment of timely interest on a monthly basis
and the payment of principal by the legal final maturity date.
-- The capabilities of Consumer Portfolio Services, Inc. (CPS)
with regard to originations, underwriting and servicing.
-- DBRS has performed an operational review of CPS and considers
the entity to be an acceptable originator and servicer of
subprime automobile loan contracts with an acceptable backup
servicer.
-- The CPS senior management team has considerable experience and
a successful track record within the auto finance industry,
having managed the company through multiple economic cycles.
-- The quality and consistency of provided historical static pool
data for CPS originations and performance of the CPS auto loan
portfolio.
-- The May 29, 2014 settlement of the Federal Trade Commission
(FTC) inquiry relating to allegedly unfair trade practices.
-- CPS paid imposed penalties and restitution payments to
consumers.
-- CPS has made considerable improvements to the collections
process, including management changes, upgraded systems and
software as well as implementation of new policies and
procedures focused on maintaining compliance.
-- CPS will be subject to ongoing monitoring of certain processes
by the FTC.
-- The legal structure and presence of legal opinions that
address the true sale of the assets to the Issuer, the non-
consolidation of the special-purpose vehicle with CPS, that
the trust has a valid first-priority security interest in the
assets and the consistency with DBRS's "Legal Criteria for
U.S. Structured Finance" methodology.
The CPS 2017-C transaction represents the 26th securitization
completed by CPS since 2010 and offers both senior and subordinate
rated securities. The receivables securitized in CPS 2017-C are
subprime automobile loan contracts secured primarily by used
automobiles, light-duty trucks, vans and minivans.
The rating on the Class A Note reflects the 55.00% of initial hard
credit enhancement provided by the subordinated notes in the pool
(51.75%), the Reserve Account (1.00%) and overcollateralization
(2.25%). The ratings on the Class B, Class C, Class D and Class E
Notes reflect 39.75%, 26.25%, 14.25% and 3.25% of initial hard
credit enhancement, respectively. Additional credit support may be
provided from excess spread available in the structure.
CREDIT SUISSE 2006-C4: S&P Affirms CCC+ Rating on Class B Certs
---------------------------------------------------------------
S&P Global Ratings raised its rating on the class A-J commercial
mortgage pass-through certificates from Credit Suisse Commercial
Mortgage Trust Series 2006-C4, a U.S. commercial mortgage-backed
securities (CMBS) transaction. In addition, S&P affirmed its rating
on the class B certificates from the same transaction.
S&P said, "Our rating actions 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.
"The raised rating on class A-J reflects 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.
"The affirmation on class B reflects our expectation that the
available credit enhancement for this class will be within our
estimate of the necessary credit enhancement required for the
current rating, our view regarding the current and future
performance of the transaction's collateral, as well as our view
that this class is susceptible to potential interest shortfalls
from the eight specially serviced assets ($96.7 million, 39.9%)."
TRANSACTION SUMMARY
As of the July 17, 2017, trustee remittance report, the collateral
pool balance was $242.5 million, which is 5.7% of the pool balance
at issuance. The pool currently includes 14 loans. Of which, six
are backed by residential cooperative mortgage loans ($10.0
million, 4.1%) and five are real estate owned (REO) assets
(adjusting for subordinate hope B note), down from 360 loans at
issuance. Eight of these assets are with the special servicer, no
loans are defeased, and eight loans ($73.3 million, 30.2%) are on
the master servicers' combined watchlist. The master servicers,
KeyBank Real Estate Capital and National Consumer Cooperative Bank,
reported financial information for 58.1% of the loans in the pool,
of which 41.6% was partial-year 2017 data, 52.1% was year-end 2016
data, and the remainder was partial-year or year-end 2015 data.
S&P said, "We calculated a 1.48x S&P Global Ratings' weighted
average debt service coverage (DSC) and 100.4% S&P Global Ratings'
weighted average loan-to-value (LTV) ratio using a 7.31% S&P Global
Ratings' weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the eight specially
serviced assets and the subordinate hope B note ($9.7 million,
4.0%). The top 10 assets have an aggregate outstanding pool trust
balance of $232.7 million (95.9%). Using adjusted servicer-reported
numbers, we calculated an S&P Global Ratings' weighted average DSC
and LTV ratio of 1.37x and 99.9%, respectively, for five of the top
10 assets. The remaining assets are specially serviced and
discussed below.
"To date, the transaction has experienced $379.0 million in
principal losses, or 8.9% of the original pool trust balance. We
expect losses to reach approximately 10.9% 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
eight specially serviced assets."
CREDIT CONSIDERATIONS
As of the July 17, 2017, trustee remittance report, six assets in
the pool were with the special servicers, C-III Asset Management
LLC (C-III) and National Consumer Cooperative Bank. Details of the
two largest specially serviced assets, both of which are top 10
assets, are as follows:
The Maxtor Campus REO asset ($44.0 million, 18.1%), the
third-largest asset in the pool, has $48.0 million reported total
exposure. The asset is a 450,090-sq.-ft. suburban office property
in Longmont, Colo. The loan was transferred to the special servicer
on Sept. 5, 2015, due to imminent monetary default associated with
the loss of the sole tenant occupying the property. The property
became REO on July 12, 2016. C-III stated that the following viable
options are currently being evaluated: sale of the property or
restructuring the premises for re-leasing. C-III indicated that
both options will be feasible, as the property is currently 100%
vacant. The asset has been deemed nonrecoverable by the master
servicer. We expect a significant loss (60% or greater) upon this
asset's eventual resolution.
The Acropolis Portfolio REO asset ($23.9 million, 9.9%), the
fourth-largest asset in the pool, has $28.9 million reported total
exposure. The asset is a 204,961-sq.-ft. suburban office property
in Dayton, Ohio. The loan was transferred to the special servicer
on May 6, 2013, due to imminent monetary default and the property
became REO on Oct. 6, 2015. C-III stated that the property's
occupancy has declined to approximately 55.0% as three tenants have
vacated the premises in search of lower rental rates. Other lease
renewal discussions are underway. An appraisal reduction amount of
$15.2 million is in effect against the asset. We expect a
significant loss upon this asset's eventual resolution.
The six remaining assets with the special servicer each have
individual balances that represent less than 5.3% of the total pool
trust balance. S&P estimated losses for the eight specially
serviced assets, arriving at a weighted-average loss severity of
88.8%.
RATINGS LIST
Credit Suisse Commercial Mortgage Trust Series 2006-C4
Commercial mortgage pass-through certificates series 2006-C4
Rating
Class Identifier To From
A-J 22545MAG2 BB+ (sf) B- (sf)
B 22545MAH0 CCC+ (sf) CCC+ (sf)
CREDIT SUISSE 2015-C3: Fitch Affirms 'B-sf' Ratings on 2 Tranches
-----------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of Credit Suisse USA (CSAIL)
Commercial Mortgage Trust Pass-Through Certificates series 2015-C3.
KEY RATING DRIVERS
Overall Stable Performance: The affirmations are based on the
relatively stable performance of the underlying collateral, with no
material changes to pool metrics since issuance. As of the July
2017 remittance reporting, the pool's aggregate principal balance
has paid down by 1.2% to $1.40 billion from $1.42 billion at
issuance; the pool has experienced no realized losses to date.
Property-level performance remains generally in-line with issuance
expectations, with the most recent servicer reported aggregate pool
level net operating income (NOI) approximately 1% above the
issuer's underwritten NOI. The weighted average NOI debt service
coverage ratio (DSCR) was approximately 2.43x, per the servicer
full-year 2016 reporting. There are no defeased loans. Three loans
(2.1% of the pool) have been identified as Fitch Loans of Concern
(FLOC), including one specially serviced loan (0.6%).
High Hotel Exposure: Approximately 23.7% of the pool by balance,
including five of the top 15 loans (18.0%), consists of hotel
properties, which is higher than the 2016 and 2015 averages of
16.0% and 17.0%, respectively. Among the top five loans in the pool
are two hotel portfolios, including the $105 million Starwood
Capital Extended Stay Portfolio loan (7.5%), a diversified
portfolio of 50 properties across 12 states; and the $50 million
Soho-Tribeca Grand Hotel Portfolio loan (3.6%) secured by two Class
A boutique hotels in Manhattan. For loans secured by hotel assets,
Fitch had applied an additional stress to the most recently
reported full-year NOIs to reflect the peaking performance outlook
of the sector.
Retail Concentration; Regional Mall Exposure: Loans secured by
retail properties represent the largest concentration at 32.5% of
the pool, which includes four of the top 15 loans (18.9%). Three of
these top 15 loans (17.0%) are secured by regional malls: the $100
million Mall of New Hampshire located in Manchester, NH (7.1%;
sponsored by Simon Property Group); the $97 million Westfield
Wheaton located in Wheaton, MD (6.9%; sponsored by Westfield
America Inc.); and the $41.2 million Westfield Trumbull located in
Trumbull, CT (2.9%, also sponsored by Westfield). All three of
these regional malls have exposure to Macy's and J.C .Penney, and
one has exposure to Sears (Mall of NH).
Limited Amortization: Five of the largest 10 loans, representing
22.4% of the pool, are full-term interest-only loans. In total
there are 11 full-term I/O loans representing 25.4% of the pool.
Additionally, there are 42 loans representing 42.8% of the pool
that are partial interest-only. Based on the scheduled balance at
maturity, the pool will pay down 11.3%, which is slightly above the
2016 average of 10.4%, and lower than the 2015 and 2014 averages of
11.7% and 12.0%, respectively.
Collateral Quality: Four properties (13.6%), three of which serve
as collateral for top 10 loans (Charles River Plaza North, Soho
Grand Hotel, and Tribeca Grand Hotel), were all assigned property
quality grades of "A-" at issuance. The fourth property to receive
a property quality grade of "A-" was Congress Hall (Cape May
Hotel's loan). The majority of the pool (50.7%) was assigned a
property quality grade in the "B" range at issuance.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset-level event changes the transaction's overall
portfolio-level metrics.
Fitch has affirmed the following ratings and Outlooks:
-- $44,087,375 class A-1 at 'AAAsf'; Outlook Stable;
-- $148,324,000 class A-2 at 'AAAsf'; Outlook Stable;
-- $200,000,000 class A-3 at 'AAAsf'; Outlook Stable;
-- $502,390,000 class A-4 at 'AAAsf'; Outlook Stable;
-- $82,627,000 class A-SB at 'AAAsf'; Outlook Stable;
-- $86,962,000 class A-S at 'AAAsf'; Outlook Stable;
-- $1,064,390,375(b) class X-A at 'AAAsf'; Outlook Stable;
-- $86,961,000 class B at 'AA-sf'; Outlook Stable;
-- $86,961,000(b) class X-B at 'AA-sf'; Outlook Stable;
-- $63,891,000 class C at 'A-sf'; Outlook Stable;
-- $72,764,000 class D at 'BBB-sf'; Outlook Stable;
-- $72,764,000(a)(b) class X-D at 'BBB-sf'; Outlook Stable;
-- $35,495,000(a) class E at 'BB-sf'; Outlook Stable;
-- $35,495,000(a)(b) class X-E at 'BB-sf'; Outlook Stable;
-- $14,197,000(a) class F at 'B-sf'; Outlook Stable;
-- $14,197,000(a)(b) class X-F at 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
CREST LTD 2003-2: S&P Affirms CC Ratings on 2 Tranches
------------------------------------------------------
S&P Global Ratings affirmed its 'CC (sf)' ratings on the class E-1
and E-2 notes from Crest 2003-2 Ltd., a U.S. cash flow
collateralized debt obligation of commercial mortgage-backed
securities (CDO of CMBS) transaction.
The rating action follows S&P's review of the transaction's
performance using data from the June 30, 2017, trustee report.
Following the paydown of the class D notes' remaining balance
earlier this year, the class E notes are currently the most senior
in the transaction and have started to receive their current
interest and a portion of their deferred interest using available
principal proceeds. However, the notes are backed by defaulted
assets and fail our top obligor test at the 'CCC' level.
S&P said, "We affirmed our 'CC (sf)' ratings based on the notes'
existing credit support, the quality of the assets backing the
notes, and the risk of interest shortfall in future.
For this analysis we relied on the supplemental test calculations
and did not run cash flows due to the small amount of obligors
remaining in the underlying asset pool.
"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 will take rating actions as we deem
necessary."
RATINGS AFFIRMED
Crest 2003-2 Ltd.
Class Rating
E-1 CC (sf)
E-2 CC (sf)
CSMC TRUST 2017-MOON: Fitch Assigns BB-sf Rating on 2 Tranches
--------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to CSMC Trust 2017-MOON Commercial Mortgage Pass-Through
Certificates:
-- $49,100,000a class A 'AAAsf'; Outlook Stable;
-- $58,000,000ab class X 'AAAsf'; Outlook Stable;
-- $8,900,000a class B 'AA-sf'; Outlook Stable;
-- $6,000,000a class C 'A-sf'; Outlook Stable;
-- $25,000,000a class D 'BBB-sf'; Outlook Stable;
-- $29,450,000a class E 'BB-sf; Outlook Stable;
-- $7,250,000ac class HRR 'BB-sf'; Outlook Stable.
a) Privately placed pursuant to Rule 144A.
b) Notional amount and interest-only.
c) Horizontal credit risk retention interest.
Since Fitch published its expected ratings on July 12, 2017, the
expected 'AA-sf' rating on the interest-only class X has been
revised to 'AAAsf' based on the final deal structure.
The certificates represent the beneficial interests in the portion
of a five-year, fixed-rate, first-lien $225.7 million whole loan.
The whole loan is secured by the fee interest in a 605,897 square
foot (sf) office building located at 300 E Street SW in Washington,
D.C. and known as Two Independence Square. Proceeds of the loan
were used to fund the acquisition of the property for $354.7
million, pay closing costs, and fund upfront reserves. The
certificates will follow a sequential-pay structure.
KEY RATING DRIVERS
Investment-Grade Tenancy: The office portion of the property (98.6%
of net rentable area [NRA]) is 100% leased to the Government
Services Administration (GSA) through August 2028, on behalf of the
U.S. National Aeronautics and Space Administration (NASA). The
property serves as the worldwide headquarters for NASA. The
remaining space is leased to three retail tenants.
Asset Quality: The LEED Certified Gold building was originally
constructed in 1992 and received approximately $86.3 million in
upgrades from 2012 to 2014 to the building interior and security
features, with NASA investing approximately $45.4 million in its
space. Property amenities include a 235-seat auditorium, 769-space
underground parking facility, and rooftop terrace. Specialized
construction for NASA includes high-tech computer and conference
rooms, recording studios, sound control, separate systems for
back-up and 24-hour operation.
Well Located: Two Independence Square is located in the Southwest
Washington D.C. submarket, just south of the National Mall and
Capitol Building, an area with a concentration of GSA facilities,
and the headquarters for 19 Federal Agencies.
Fitch Leverage: The $125.7 million mortgage loan has a Fitch DSCR
and LTV of 1.02x and 87.2%, respectively, and debt of $373 psf.
RATING SENSITIVITIES
Fitch performed a break-even analysis to determine the amount of
value deterioration the pool could withstand prior to $1 of loss on
the total debt and the 'AAAsf' rated class. The break-even value
declines were performed using both the appraisal values at issuance
and the Fitch-stressed value.
Based on the as-is appraisal value of $375 million, break-even
values represent declines of 39.8% and 66.4% for the total debt and
'AAAsf' class, respectively.
Similarly, Fitch estimated total debt and 'AAAsf' break-even value
declines using the Fitch-adjusted property value of $258.8 million,
which is a function of the Fitch net cash flow (NCF) and a stressed
capitalization rate, in relation to the appropriate class balances.
The break-even value declines relative to the total debt and
'AAAsf' balances are 12.8% and 51.3%, respectively, which
correspond to equivalent declines to Fitch NCF, as the Fitch
capitalization rate is held constant.
Fitch evaluated the sensitivity of the ratings for class A and
found that a 33% decline would result in a downgrade to below
investment grade.
FLAGSTAR MORTGAGE 2017-1: DBRS Gives Prov. B Rating to Cl. B-5 Debt
-------------------------------------------------------------------
DBRS, Inc. on July 24, 2017, assigned provisional ratings to the
Mortgage Pass-Through Certificates, Series 2017-1 (the
Certificates) issued by Flagstar Mortgage Trust 2017-1 (the Trust)
as follows:
-- $365.9 million Class 1-A-1 at AAA (sf)
-- $365.9 million Class 1-A-2 at AAA (sf)
-- $343.4 million Class 1-A-3 at AAA (sf)
-- $343.4 million Class 1-A-4 at AAA (sf)
-- $257.6 million Class 1-A-5 at AAA (sf)
-- $257.6 million Class 1-A-6 at AAA (sf)
-- $85.9 million Class 1-A-7 at AAA (sf)
-- $85.9 million Class 1-A-8 at AAA (sf)
-- $22.4 million Class 1-A-9 at AAA (sf)
-- $22.4 million Class 1-A-10 at AAA (sf)
-- $365.9 million Class 1-A-X-1 at AAA (sf)
-- $365.9 million Class 1-A-X-2 at AAA (sf)
-- $343.4 million Class 1-A-X-3 at AAA (sf)
-- $257.6 million Class 1-A-X-4 at AAA (sf)
-- $85.9 million Class 1-A-X-5 at AAA (sf)
-- $22.4 million Class 1-A-X-6 at AAA (sf)
-- $50.2 million Class 2-A-1 at AAA (sf)
-- $47.1 million Class 2-A-2 at AAA (sf)
-- $3.1 million Class 2-A-3 at AAA (sf)
-- $50.2 million Class 2-A-X-1 at AAA (sf)
-- $9.1 million Class B-1 at AA (sf)
-- $7.8 million Class B-2 at A (sf)
-- $5.3 million Class B-3 at BBB (sf)
-- $2.4 million Class B-4 at BB (sf)
-- $1.1 million Class B-5 at B (sf)
Classes 1-A-X-1, 1-A-X-2, 1-A-X-3, 1-A-X-4, 1-A-X-5, 1-A-X-6 and
2-A-X-1 are interest-only certificates. The class balances
represent notional amounts.
Classes 1-A-1, 1-A-2, 1-A-3, 1-A-4, 1-A-5, 1-A-7, 1-A-9, 1-AX-2,
1-AX-3 and 2-A-1 are exchangeable certificates. These classes can
be exchanged for a combination of depositable certificates as
specified in the offering documents.
Classes 1-A-3, 1-A-4, 1-A-5, 1-A-6, 1-A-7, 1-A-8 and 2-A-2 are
super-senior certificates. These classes benefit from additional
protection from senior support certificates (Classes 1-A-9, 1-A-10
and 2-A-3) with respect to loss allocation.
The AAA (sf) ratings on the Certificates reflect the 6.25% of
credit enhancement provided by subordinated Certificates in the
pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings
reflect 4.20%, 2.45%, 1.25%, 0.70% and 0.45% 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 first-lien,
fixed-rate, prime residential mortgages. The Certificates are
backed by 668 loans with a total principal balance of $443,790,711
as of the Cut-off Date (July 1, 2017).
The loans are divided into two groups: Group 1 and Group 2. Group 1
consists of fully amortizing fixed-rate mortgages (FRMs) with
original terms to maturity of 20 to 30 years, while Group 2
consists of fully amortizing FRMs with original terms to maturity
of 15 years.
Flagstar Bank, FSB is the originator and servicer of the mortgage
loans and the sponsor of the transaction. Wells Fargo Bank, N.A.
will act as the Master Servicer, Securities Administrator,
Certificate Registrar and Custodian. Wilmington Trust, National
Association will serve as Trustee. Inglet Blair LLC will act as the
Representation and Warranty Reviewer.
The transaction employs a senior-subordinate shifting-interest cash
flow structure that is enhanced from a pre-crisis structure. Group
1 and Group 2 senior certificates will be backed by collateral from
each pool, respectively. The subordinate certificates will be
cross-collateralized between the two pools. This is generally known
as Y-Structure.
Unique to this transaction, the servicing fee payable to the
Servicer comprises three separate components: the base servicing
fee, the aggregate delinquent servicing fee and the aggregate
incentive servicing fee. These fees vary based on the delinquency
status of the related loan and will be paid from interest
collections before distribution to the securities. The base
servicing fee will reduce the Net weighted-average coupon (WAC)
payable to certificateholders as part of the aggregate expense
calculation. However, the delinquent and incentive servicing fees
will not be included in the reduction of Net WAC and will thus
reduce available funds entitled to the certificateholders (except
for the Class B-6-C Net WAC). To capture the impact of such
potential fees, DBRS ran additional cash flow stresses based on its
60+-day delinquency and default curves, as detailed in the Cash
Flow Analysis section of the related report.
The ratings reflect transactional strengths that include
high-quality underlying assets, well-qualified borrowers and
satisfactory third-party due diligence review.
This transaction employs a R&W framework that contains certain
weaknesses, such as materiality factors, an unrated R&W provider,
knowledge qualifiers and sunset provisions that allow for certain
R&Ws to expire within three to six years after the Closing Date.
The framework is perceived by DBRS to be limiting compared with
traditional lifetime R&W standards in certain DBRS-rated
securitizations. To capture the perceived weaknesses in the
representations and warranties framework, DBRS reduced the
originator score in this pool. A lower originator score results in
increased default and loss assumptions and provides additional
cushions for the rated securities.
FLAGSTAR MORTGAGE 2017-1: Moody's Rates Cl. B-5 Debt 'B3'
---------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 25
classes of residential mortgage-backed securities (RMBS) issued by
Flagstar Mortgage Trust 2017-1. The ratings range from Aaa (sf)-B3
(sf).
The certificates are backed by two pools of fixed rate non agency
jumbo mortgages (75% of the aggregate pool) and agency eligible
high balance conforming residential fixed rate mortgages (25% of
the aggregate pool), originated by Flagstar Bank, FSB. Group 1
consists of agency eligible high balance mortgages and non-agency
jumbo loans with terms of greater than 15 years. Group 2 consists
of 15 year term agency eligible high balance mortgages and
non-agency jumbo loans.
Flagstar Bank, FSB ("Flagstar") is the servicer of the pool, Wells
Fargo Bank, N.A. ("Well Fargo") is the master servicer and
Wilmington Trust N.A. will serve as the trustee.
Servicing compensation in this transaction is based on a
fee-for-service incentive structure similar to the Chase Mortgage
Trust 2016-2 transaction. The fee-for-service incentive structure
includes an initial base servicing fee of 4 basis points for all
performing loans and increases according to certain delinquent and
incentive fee schedules. The Class B-6-C (NR) is first in line to
absorb any increase in servicing costs above the base servicing
costs. Moreover, the transaction does not have a servicing fee
cap.
The complete rating actions are:
Issuer: FLAGSTAR MORTGAGE TRUST 2017-1
Cl. 1-A-1, Definitive Rating Assigned Aaa (sf)
Cl. 1-A-2, Definitive Rating Assigned Aaa (sf)
Cl. 1-A-3, Definitive Rating Assigned Aaa (sf)
Cl. 1-A-4, Definitive Rating Assigned Aaa (sf)
Cl. 1-A-5, Definitive Rating Assigned Aaa (sf)
Cl. 1-A-6, Definitive Rating Assigned Aaa (sf)
Cl. 1-A-7, Definitive Rating Assigned Aaa (sf)
Cl. 1-A-8, Definitive Rating Assigned Aaa (sf)
Cl. 1-A-9, Definitive Rating Assigned Aa1 (sf)
Cl. 1-A-10, Definitive Rating Assigned Aa1 (sf)
Cl. 1-A-X-1, Definitive Rating Assigned Aaa (sf)
Cl. 1-A-X-2, Definitive Rating Assigned Aaa (sf)
Cl. 1-A-X-3, Definitive Rating Assigned Aaa (sf)
Cl. 1-A-X-4, Definitive Rating Assigned Aaa (sf)
Cl. 1-A-X-5, Definitive Rating Assigned Aaa (sf)
Cl. 1-A-X-6, Definitive Rating Assigned Aa1 (sf)
Cl. 2-A-1, Definitive Rating Assigned Aaa (sf)
Cl. 2-A-2, Definitive Rating Assigned Aaa (sf)
Cl. 2-A-3, Definitive Rating Assigned Aa1 (sf)
Cl. 2-A-X-1, Definitive Rating Assigned Aaa (sf)
Cl. B-1, Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Definitive Rating Assigned A3 (sf)
Cl. B-3, Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Definitive Rating Assigned Ba3 (sf)
Cl. B-5, Definitive Rating Assigned B3 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Expected cumulative net losses on Group 1 are 0.40% and reach 4.9%
at a stress level consistent with Aaa ratings. Expected cumulative
net losses for Group 2 are 0.20% and reach 1.5% at a stress level
consistent with Aaa ratings.
The collateral quality for this transaction, by itself, is
consistent with other prime transactions that Moody's has recently
rated. The Aaa Moody's Individual Loan Analysis (MILAN) credit
enhancement (CE), inclusive of concentration adjustments, is 4.9%
for Group 1 and 1.5% for Group 2. Loan-level adjustments included:
adjustments to borrower probability of default for higher and lower
borrower DTIs, channel of originations, self-employed borrowers,
and at a pool level, for the default risk of HOA properties in
super lien states. Moody's based the MILAN model on stressed
trajectories of home prices, unemployment rates and interest rates,
at a monthly frequency over a 10-year period.
Collateral Description
The FSMT 2017-1 transaction is a securitization of 668 first lien
residential mortgage loans with an unpaid principal balance of
$443,790,711. This transaction has approximately 8 months seasoned
loans, and strong borrower characteristics. The weighted average
current FICO score is 775 and the weighted-average combined
loan-to-value ratio (CLTV) is 63.4%. 94.2% of the borrowers have
more than 24 months' liquid reserves. There are however a
relatively high percentage of self-employed borrowers (28%) in the
aggregate pool.
Flagstar Bank, FSB originated and will service the loans in the
transaction. Moody's considers Flagstar an adequate originator and
servicer of prime jumbo and conforming mortgages and Moody's loss
estimates did not include an adjustment for originator or servicer
quality.
Third-party Review and Reps & Warranties
A third party review (TPR) firms verified the accuracy of the
loan-level information that the sponsor gave us. The firm conducted
detailed credit, collateral, and regulatory reviews on 100% of the
mortgage pool. The TPR results indicated compliance with the
originators' underwriting guidelines for the vast majority of
loans, no material compliance issues, and no appraisal defects.
Flagstar Bank, FSB as the originator, makes the loan-level R&Ws for
the mortgage loans. The loan-level R&Ws are strong and, in general,
either meet or exceed the baseline set of credit-neutral R&Ws
Moody's has identified for US RMBS. Further, R&W breaches are
evaluated by an independent third party using a set of objective
criteria. Similar to JPMMT transactions, the transaction contains a
"prescriptive" R&W framework. The originator makes comprehensive
loan-level R&Ws and an independent reviewer will perform detailed
reviews to determine whether any R&Ws were breached when loans
become 120 days delinquent or the property is liquidated at a loss
above a certain threshold. These reviews are prescriptive in that
the transaction documents set forth detailed tests for each R&W
that the independent reviewer will perform. Moody's did however
make an adjustment to Moody's loss levels to incorporate the weaker
financial strength of the R&W provider.
Servicing Arrangement
Moody's considers the overall servicing arrangement for this pool
to be adequate.
Servicing compensation for loans in this transaction is based on a
fee-for-service incentive structure. The fee-for-service incentive
structure includes an initial base fee of 0.04% per annum for all
performing loans and increases according to certain delinquent and
incentive fee schedules. By establishing a base servicing fee for
performing loans that increases with the delinquency of loans, the
fee-for-service structure aligns monetary incentives to the
servicer with the costs of the servicer. The fee-for-service
compensation is reasonable and adequate for this transaction. It
also better aligns the servicer's costs with the deal's performance
and structure. The Class B-6-C (NR) is first in line to absorb any
increase in servicing costs above the base servicing costs.
Delinquency and incentive fees will be deducted from the Class
B-6-C interest payment amount first and could result in interest
shortfall to the certificates depending on the magnitude of the
delinquency and incentive fees.
Trustee and Master Servicer
The transaction trustee is Wilmington Trust, N.A. The custodian
functions will be performed by Wells Fargo Bank, N.A. The paying
agent and cash management functions will be performed by Wells
Fargo Bank, N.A., rather than the trustee. In addition, Wells
Fargo, as Master Servicer, is responsible for servicer oversight,
and termination of servicers and for the appointment of successor
servicers. In addition, Wells Fargo is obligated to make servicing
advances if the servicer is unable to do so. Moody's assess Wells
Fargo as an SQ1 (strong) master servicer of residential loans.
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
credit enhancement floor of 1.0% of the closing pool balance, which
mitigates tail risk by protecting the senior bonds from eroding
credit enhancement over time.
Y-Structure with Structural Updates
The transaction is structured as a two-group Y-structure similar to
certain JPMMT transactions but with certain structural differences
relative to previous JPMMT Y-structure transactions. Compared to
previous JPMMT Y-structures, the size of the senior credit
enhancement floor (1.0%) is substantially lower than previous deals
- JPMMT 2016-2 had a senior credit enhancement floor of 2.50% and
JPMMT 2016-4 had a senior credit enhancement floor of 2.00%. Lower
floors provide less protection against potential tail risk.
Exposure to Extraordinary Expenses
Extraordinary trust expenses in the FSMT 2017-1 transaction are
deducted directly from the available distribution amount. Although
some of the expenses are capped ($300,000 per year, out of which
amount the Trustee may only be reimbursed in an aggregate amount of
$150,000), the unpaid amount will carry forward and constitute
trust expenses on all future distribution dates until they are paid
in full. Moody's believes there is a very low likelihood that the
rated certificates in FSMT 2017-1 will incur any losses from
extraordinary expenses or indemnification payments from potential
future lawsuits against key deal parties. First, the loans are
prime quality, 100 percent Qualified Mortgages and were originated
under a regulatory environment that requires tighter controls for
originations than pre-crisis, which reduces the likelihood that the
loans have defects that could form the basis of a lawsuit. Second,
the transaction has reasonably well defined processes in place to
identify loans with defects on an ongoing basis. In this
transaction, an independent breach reviewer (Inglet Blair, LLC),
named at closing must review loans for breaches of representations
and warranties when certain clearly defined triggers have been
breached which reduces the likelihood that parties will be sued for
inaction. Furthermore, the issuer has disclosed the results of a
credit, compliance and valuation review of all of the mortgage
loans by an independent third party (Clayton Services LLC) .
Finally, Moody's sized Moody's credit enhancement assuming some
losses on the collateral owing to extraordinary expenses.
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 Cl. 1-A-X-1, Cl.
1-A-X-2, Cl. 1-A-X-3, Cl. 1-A-X-4, Cl. 1-A-X-5, Cl. 1-A-X-6, Cl.
2-A-X-1 was "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" published in June 2017.
FREDDIE MAC 2017-2: Moody's Assigns (P)B1 Rating to Cl. M-1 Debt
----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to Class
M-1 issued by Freddie Mac Seasoned Credit Risk Transfer Trust,
Series 2017-2 (SCRT 2017-2).
SCRT 2017-2 is a securitization of 9,939 fixed and step-rate
modified seasoned loans secured by residential properties with an
aggregate outstanding trust balance of $ 2,474,629,247. This is the
second Re-Performing Loan (RPL) credit risk transfer deal in 2017
sponsored by Freddie Mac. All the mortgage loans underlying the
pool were previously modified and the majority (86%) of which have
been current for at least the prior 24 months. The loans are
divided into two groups: Group H and Group M.
Group H is comprised of 5,779 first lien mortgage loans that were
subject to step rate modifications and Group M is comprised of
4,160 first lien mortgage loans that were subject to fixed rate and
step-rate modifications.
The complete rating actions are:
Issuer: Freddie Mac Seasoned Credit Risk Transfer Trust, Series
2017-2
Cl. M-1, Assigned (P)B1 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected losses on the mortgage loans is 11% in Moody's
base case scenario. Moody's estimated expected losses using two
approaches -- (1) pool-level approach, and (2) re-performing loan
level analysis. In the pool-level approach, Moody's estimates
losses on the pool by applying Moody's assumptions on expected
future delinquencies, default rates, loss severities and
prepayments as observed from Moody's surveillance of similar
collateral as well as from the Freddie Mac Single Family Loan-Level
dataset. In applying Moody's loss severity assumptions, Moody's
accounted for the lack of principal and interest advancing in this
transaction.
In the loan level analysis, Moody's applied loan-level baseline
lifetime propensity to default assumptions, and considered the
historical performance of seasoned modified loans with similar
collateral characteristics and payment histories. Moody's then
adjusted this base default propensity up for (1) loans that have
the risk of coupon step-ups and (2) loans with high updated loan to
value ratios (LTVs). To calculate the final expected loss for the
pool, Moody's applied a loan-level loss severity assumption based
on the loans' updated estimated LTVs. Moody's further adjusted the
loss severity assumption upwards for loans in states that give
super-priority status to homeowner association (HOA) liens, to
account for potential risk of HOA liens trumping a mortgage.
Moody's final loss estimates also incorporates adjustments for the
strength of the third party due diligence, the servicing framework
and the representations and warranties (R&W) framework of the
transaction.
The methodologies used in this rating were "Moody's Approach to
Rating Securitisations Backed by Non-Performing and Re-Performing
Loans" published in August 2016 and "US RMBS Surveillance
Methodology" published in January 2017.
Collateral Description
SCRT 2017-2 is a securitization of 9,939 fixed-rate and step-rate
modified seasoned loans which are divided into two groups: Group H
and Group M.
Group H is comprised of 5,779 first lien mortgage loans that were
subject to step-rate modifications, and have a weighted average
updated FICO score of 687 and a weighted average (WA) current
Loan-To-Value Ratio (LTV) of 87.3%. The total unpaid principal
balance of Group H mortgage loans is $1,519,856,308 which includes
$278,288,853 of non-interest bearing deferred principal balance.
Group M is comprised of 4,160 first lien mortgage loans that were
subject to fixed-rate and step-rate modifications, and have a
weighted average (WA) updated FICO score of 672 and a WA current
Loan-To-Value Ratio (LTV) of 99.7%. The total unpaid principal
balance of Group M mortgage loans is $954,772,939 which includes
$209,769,174 of non-interest bearing deferred principal balance.
Our loss analysis considered the number of step-ups that the
borrowers have experienced, as well as the potential payment shock
from the remaining step-ups.
Valuations of the related mortgaged properties were obtained
through Freddie Mac's automated valuation model, Home Value
Explorer (HVE), where available. When a HVE value was not
available, a Freddie Mac MSA, state or national (in order of
availability) home price index was used to estimate the property
value. As part of the due diligence process, Freddie Mac also
obtained updated BPO for 2,421 properties and Comparative Market
Analysis ("CMA") for 66 properties. Updated property values
obtained through an AVM may not reflect accurate values of the
properties. In assessing the updated property values, Moody's
assessed the strength of the AVMs and performed additional
validation on the values using home price index projections from
Moody's Analytics.
This transaction has a high percentage of deferred balances, which
are the full obligation of the borrowers, and must be paid in full
at the earliest of (i) the sale of properties (ii) voluntary payoff
or (iii) final scheduled payment date of the loans. For loans that
default in the future or get modified after the closing date, the
servicer may opt for partial principal forgiveness to the extent
permitted under the pooling and servicing agreement. Given that
none of the deferred balances are a result of HAMP principal
reduction amount (PRA) where the deferred amounts could be forgiven
over a period of time, Moody's expects a large percentage of the
amounts to be recovered. However, based on performance data and
information from servicers, Moody's applied a default rate slightly
higher than what Moody's assumed for the overall pool given that
these borrowers have experienced past credit events that required
loan modification. Moody's also assumed a severity of approximately
95% on the deferred amounts as servicers can recover a portion of
the deferred balance.
Third Party Review (TPR)
Third party due diligence review was performed on 100% of the loans
for data integrity and title review. However, compliance and pay
history review was performed on sample of 1,291 loans. The review
procedures were intended to discover certain material discrepancies
and possible material defects in the due diligence sample.
The initial custodial receipt indicates that a portion of the
underlying loans have document exceptions. Freddie Mac will
indemnify the trust for any losses due to collateral deficiencies
for a period of 36 months.
Representation and Warranties (R&W)
Freddie Mac is providing a discrete set of R&W with respect to the
mortgage loans to the trust and is the only party from which the
trust may seek repurchase of a mortgage loan or an indemnity for a
loss as a result of any material breach that provides for
repurchase or indemnity as a remedy. R&Ws contain knowledge
qualifiers but there is a clawback that neutralizes them.
The R&Ws sunset after 36 months (except for a REMIC R&W which will
not expire). Moody's considers the sunset provision as a weakness
in the R&Ws framework. In addition, certain mortgage loans, as of
the closing date, have existing HOA, tax and municipal liens. To
the extent that any such mortgage loan experiences a loss
attributable to such lien within the first 36 months following the
closing date, Freddie Mac will indemnify the trust in the amount of
the applicable existing lien. The enforcement mechanism in this
transaction is weak because of the absence of a pre-designated
independent third party breach reviewer. However, it is mitigated
by the strength of the R&W provider (Freddie Mac) as well as the
review mechanism of the R&Ws. Overall, Moody's has not made any
additional adjustment to Moody's expected loss for the R&W
framework.
Transaction Parties
Nationstar Mortgage LLC will act as the primary servicer for the
transaction. Moody's assess the overall servicing arrangement for
this transaction as adequate. Based on an operational review,
Moody's found the company to be an average servicer with the
infrastructure, including staff, technology, processes, and
oversight, to effectively service the transaction. Nationstar
Mortgage is an indirectly held, wholly owned subsidiary of
Nationstar Mortgage Holdings Inc. Moody's rates Nationstar Mortgage
at B2 stable.
Freddie Mac will serve as the Sponsor and Trustee of the Trust.
Wilmington Trust, National Association will function as Trust
Agent. Bank of New York Mellon Trust Company, N.A. is the Custodian
for the Trust and U.S. Bank National Association will serve as the
Securities Administrator for the Trust.
Alignment of Interest
Unlike Freddie Mac's Structured Agency Credit Risk (STACR) and
Freddie Mac Whole Loan Securities (FWLS) transactions where Freddie
Mac generally retains a portion of the subordinate tranches, in
this transaction, Freddie will not retain any portion of the
subordinate tranches. However, as the guarantor of the senior
certificates, Freddie Mac may be exposed to losses in a severe
stress scenario. This represents a weak alignment of interest
compared to transactions where issuers retain a portion of the
offered certificates and Moody's considered this risk in Moody's
analysis.
Transaction Structure
SCRT 2017-2 has a two-pool 'Y' structure. This structure has two
pools of collateral, two groups of senior certificates and one
shared group of subordinated certificates. The transaction
allocates scheduled and unscheduled principal pro rata between
senior certificates and subordinate certificates unless step-down
tests are satisfied. There are four performance triggers (step-down
test) in the transaction (i) the minimum credit enhancement test,
(ii) the aged securitization test, (iii) the cumulative loss test
and (iv) the delinquency test. If any one of the step-down
performance test is breached, the senior principal distribution
amount will include all principal payment allocated to the
subordinate certificates. This will delay the paydown and increase
the weighted average life (WAL) of the rated subordinate
certificate. Moody's ran 96 different loss and prepayment scenarios
through Moody's cash flow model to assess the rating implications
of Moody's projected loss levels. The assigned rating on the Class
M-1 reflects the expected loss on the bond under the various
scenarios.
Moody's believes there is a very low likelihood that the rated
certificates in Freddie Mac SCRT 2017-2 will incur any losses from
extraordinary expenses or indemnification payments owing to
potential future lawsuits against key deal parties. First, the
loans have significant performance history. Nearly all (97.5%) of
the loans in this pool were originated in 2005 or earlier and,
although some loans were previously delinquent and modified, they
have a substantial history of payment performance. Second, Freddie
Mac, who guarantees the senior classes is incentivized to actively
manage the pool to optimize performance. Freddie Mac has strong
oversight over the originators and servicers in the transaction.
Third, the transaction has reasonably well defined processes in
place to identify loans with defects on an ongoing basis. In this
transaction, an independent breach reviewer must review loans for
breaches of representations and warranties when a loan becomes 180
days delinquent, which reduces the likelihood that parties will be
sued for inaction.
Factors that would lead to an upgrade or downgrade of the rating:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
FREMF 2012-K705: Moody's Affirms Ba2(sf) Rating on Cl. X2 Notes
---------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on four classes
and upgraded the ratings on two classes FREMF 2012-K705 Mortgage
Trust and affirmed three classes of Structured Pass-Through
Certificates (SPCs), Series K705 issued by Freddie Mac:
Cl. A-1, Affirmed Aaa (sf); previously on Sep 8, 2016 Affirmed Aaa
(sf)
Cl. A-2, Affirmed Aaa (sf); previously on Sep 8, 2016 Affirmed Aaa
(sf)
Cl. B, Upgraded to Aa1 (sf); previously on Sep 8, 2016 Affirmed A2
(sf)
Cl. C, Upgraded to A1 (sf); previously on Sep 8, 2016 Affirmed Baa2
(sf)
Cl. X1, Affirmed Aaa (sf); previously on Sep 8, 2016 Affirmed Aaa
(sf)
Cl. X2, Affirmed Ba2 (sf); previously on Jun 9, 2017 Upgraded to
Ba2 (sf)
SPC Classes*
Cl. A-1, Affirmed Aaa (sf); previously on Sep 8, 2016 Affirmed Aaa
(sf)
Cl. A-2, Affirmed Aaa (sf); previously on Sep 8, 2016 Affirmed Aaa
(sf)
Cl. X1, Affirmed Aaa (sf); previously on Sep 8, 2016 Affirmed Aaa
(sf)
*SPC Classes represent a pass-through interest to its associated
CMBS Class. CMBS Class A-1 is a pass-through interest to SPC Class
A-1, CMBS Class A-2 is a pass-through interest to SPC Class A-2,
and CMBS Class X1 is a pass-through interest to SPC Class X1.
RATINGS RATIONALE
The ratings on two P&I classes were upgraded due to a significant
increase in defesance, which increased to 44% of the pool, compared
to 18% at Moody's last review and based on the updated rating
methodology "Approach to Rating US and Canadian Conduit/Fusion
CMBS" published on July 26, 2017.
The ratings of two P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR), and the
transaction's Herfindahl Index (Herf) are within acceptable
ranges.
The ratings on the IO classes X1 and X2 were affirmed based on the
credit quality of the referenced classes.
Moody's rating action reflects a base expected loss of 0.8% of the
current pooled balance, compared to 1.9% at Moody's last review.
Moody's base expected loss plus realized losses is now 0.7% of the
original pooled balance, compared to 1.8% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Approach to
Rating US and Canadian Conduit/Fusion CMBS" published on July 26,
2017.
The methodology used in rating the three Structured Pass-through
Certificates (SPCs) was "Moody's Approach to Rating Repackaged
Securities" published in June 2015.
Additionally, the methodology used in rating Cl. X1 and Cl. X2 was
"Moody's Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the 26 June, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 5.9% to $1.15
billion from $1.22 billion at securitization. The certificates are
collateralized by 70 mortgage loans ranging in size from less than
1% to 3.3% of the pool (excluding defeasance), with the top ten
loans (excluding defeasance) constituting 24.8% of the pool. Thirty
loans, constituting 44% 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 30, compared to 26 at Moody's last review.
Three loans, constituting 1.6% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
No loans have been liquidated from the pool and there are currently
no loans in special servicing.
Moody's received full year 2015 operating results for 100% of the
pool, and full or partial year 2016 operating results for 91% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 89%, compared to 91% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 10% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 8.7%.
Moody's actual and stressed conduit DSCRs are 1.58X and 1.17X.
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
8.75% stress rate the agency applied to the loan balance.
The top three conduit loans represent 9.5% of the pool balance. The
largest loan is the Ramblewood Village Loan ($38.1 million -- 3.3%
of the pool), which is secured by a 504-unit multifamily property
located in Mount Laurel, New Jersey, approximately 17 miles east of
Philadelphia. The property was built in 1972 on a 37 acre site that
is improved with 31 two-story multifamily buildings. The property
was 92% leased as of December 2016. Moody's LTV and stressed DSCR
are 84% and 1.15X, respectively, compared to 87% and 1.06X at the
last review.
The second largest loan is the Arbors at Franklin Township Loan
($36.2 million -- 3.1% of the pool), which is secured by a 398-unit
garden-style multifamily property located in Somerset, New Jersey,
approximately 20 miles southwest of Manhattan. The property is
located on a 25 acre site and is improved with 57 two-story
multifamily buildings. The property was 94% leased as of December
2016. Moody's LTV and stressed DSCR are 90% and 1.14X,
respectively, compared to 99% and 0.99X at the last review.
The third largest loan is the Windsor Court & Tower Apartments Loan
($35.0 million -- 3.0% of the pool), which is secured by a 459-unit
multifamily property located in Silver Springs, Maryland,
approximately 15 miles northeast of Washington DC. The property is
located on a 21 acre site and is improved with 26 three-and-four
story garden-style apartment buildings. The property was 94% leased
as of December 2016. Moody's LTV and stressed DSCR are 102% and
1.01X, respectively, compared to 101% and 0.96X at the last review.
GAHR 2015-NRF: S&P Affirms B- Rating on Class G-FX Certs
--------------------------------------------------------
S&P Global Ratings affirmed its ratings on 10 classes of commercial
mortgage pass-through certificates from GAHR Commercial Mortgage
Trust 2015-NRF, a U.S. commercial mortgage-backed securities (CMBS)
transaction.
S&P said, "The affirmations on the principal- and interest-paying
certificate classes follow our analysis of the transaction
primarily using our criteria for rating U.S. and Canadian CMBS
transactions. Our analysis included a review of the 108 medical
office buildings and 72 skilled nursing facilities,
independent-living/assisted-living facilities, and hospitals, which
secure the $1.3 billion interest-only (IO) mortgage loan that
serves as collateral for the stand-alone transaction. We also
considered the deal structure and liquidity available to the trust.
The affirmations reflect subordination and liquidity that are
consistent with the outstanding ratings.
"We also considered the unique risks associated with the health
care industry, the general volatility of health care providers'
operating margins, various facility operators' reliance on payments
from the U.S. Medicare/Medicaid programs, the skilled nursing
industry's litigious nature, and the changes in the property type
composition of the remaining collateral portfolio.
"We affirmed our rating on the class X-FX IO certificates based on
our criteria for rating IO securities, in which the rating on the
IO securities would not be higher than the lowest-rated reference
class. The notional balance on class X-FX references classes A-FX
and B-FX.
"The analysis of stand-alone (single borrower) transactions is
predominantly a recovery-based approach that assumes a loan
default. Using this approach, our property-level analysis included
a revaluation of the collateral properties that secures the
mortgage loan in the trust. We also considered the
servicer-reported net operating income (NOI) and occupancy for the
past two years (2015 and 2016) provided by the issuer at the time
of issuance for the years 2012, 2013 and trailing 12-months ended
Sept. 30, 2014. We then derived our sustainable in-place net cash
flow (NCF), which we divided by a weighted-average capitalization
rate of 9.59% to determine our expected-case value. This yielded an
overall S&P Global Ratings' loan-to-value ratio and debt service
coverage (DSC) of 92.5% and 3.0x, respectively, on the trust
balance."
According to the July 17, 2017, trustee remittance report, the
mortgage loan has a trust and whole-loan balance of $1.3 billion.
The floating-rate component had an initial term of 24 months ending
in Dec. 9, 2016, with three one-year extension options, and carries
a floating interest rate with a spread over LIBOR of approximately
1.30%. The fixed-rate component has a 60-month term and carries a
3.39% rate. The floating-rate loan component is currently in its
first extension period, and is currently set to mature on Dec. 9,
2017. There was also mezzanine debt in-place in the form of three
loans (A, B, and C) totaling $811.1 million at issuance that are
secured by an indirect pledge of equity interests in the
borrowers.
According to the transaction documents, the borrowers will pay the
special servicing fees, work-out fees, liquidation fees, and 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 said, "We based our analysis of each property type cluster
(medical office buildings, skilled nursing facilities, senior
housing facilities, and hospitals) partly on a review of the
properties' historical NOI, along with the March 31, 2017, rent
roll provided by the master servicer to determine our opinion of a
sustainable cash flow for the collateral properties. The master
servicer, Wells Fargo Bank, N.A., reported a trust balance DSC and
consolidated property occupancy of 3.54x and 93.0%, respectively,
for Dec. 31, 2016. These numbers do not reflect the 35 properties
that were released from the portfolio since issuance, which
resulted in a 27.0% paydown in trust balance.
"Of the 35 properties released, 34 were medical office buildings,
which we generally consider to be one of the relatively more stable
property subtypes within the portfolio leading to an adverse change
in the composition of the property portfolio. Since issuance, the
concentration of medical offices in the portfolio has dropped to
37.5% from 53.2% . At the same time, the concentration of skilled
nursing facilities has increased to 27.6% from 19.7%."
Based on the rent roll dated March 31, 2017, the occupancy for the
medical office buildings included in the portfolio currently is
down to 84.9%, compared to 91.9% at issuance.
RATINGS LIST
GAHR Commercial Mortgage Trust 2015-NRF
Commercial mortgage pass-through certificates, series 2015-NRF
Rating
Class Identifier To From
A-FL1 36143WAA9 AAA (sf) AAA (sf)
A-FL2 36143WAC5 AAA (sf) AAA (sf)
A-FX 36143WAJ0 AAA (sf) AAA (sf)
X-FX 36143WAL5 AA- (sf) AA- (sf)
B-FX 36143WAN1 AA- (sf) AA- (sf)
C-FX 36143WAQ4 A- (sf) A- (sf)
D-FX 36143WAS0 BBB- (sf) BBB- (sf)
E-FX 36143WAU5 BB- (sf) BB- (sf)
F-FX 36143WAW1 B (sf) B (sf)
G-FX 36143WAY7 B- (sf) B- (sf)
GE COMMERCIAL 2005-C1: Fitch Cuts Rating on Cl. D Certs to BBsf
---------------------------------------------------------------
Fitch Ratings has downgraded three and affirmed eight classes of GE
Commercial Mortgage Corporation commercial mortgage pass-through
certificates, series 2005-C1 (GECMC 2005-C1).
KEY RATING DRIVERS
The downgrades reflect increased loss expectations on the largest
asset in the pool, Lakeside Mall, which quickly progressed to
real-estate owned (REO) status in June 2017 from being classified
as a non-performing matured balloon loan at Fitch's last August
2016 rating action. Previously sponsored by General Growth
Properties, the ultimate workout strategy for the asset remains
uncertain at this time as the special servicer is still determining
a REO workout strategy.
Increased Loss Expectations on REO Asset: Despite the REO Skytop
Pavilion asset being liquidated at slightly better recoveries than
previously expected since the last rating action, Fitch's loss
expectations on the Lakeside Mall asset have increased as the
property continues to experience declining cash flow and tenant
sales trends.
The Lakeside Mall asset consists of a 643,000 square foot (sf)
portion that includes the inline space and one of the five anchors
(Macy's Men & Home) within a two-level, 1.5 million sf regional
mall located in the Detroit suburb of Sterling Heights, situated 22
miles north of the Detroit CBD. Additional non-collateral anchors
include JCPenney, Sears, Macy's and Lord & Taylor, none of which
are on any recent store closing lists.
The loan was previously in special servicing in relation to GGP's
bankruptcy filing and received a five-year maturity extension
through June 2016. The loan transferred back to special servicing
in May 2016 for imminent default and failed to repay at maturity.
The collateral was 81.2% occupied as of April 2017, compared to
80.1% in May 2016 and 92.5% at issuance. Cash flow has declined
substantially since issuance, as the servicer-reported net
operating income (NOI) for year-end (YE) 2016 was $13.2 million,
down 6.7% from YE 2015 and nearly 90% below NOI at issuance.
Additionally, inline tenant sales for the 12 months ended Mar. 31,
2017 were $247 psf, down from $281 psf in 2015 and $402 psf in 2004
around the time of issuance. Macy's Men's & Home reported
respective sales of $92 psf, $110 psf and $148 psf over the same
time periods.
Pool Concentrations; Adverse Selection: The pool is extremely
concentrated with only two loans/assets remaining, the largest of
which is the REO Lakeside Mall asset, which represents 89.2% of the
pool. The other non-specially serviced loan (10.9%), which is
scheduled to mature in 2020, is secured by a 20-building
industrial/warehouse property located in Davie, FL. The overall
credit quality of the remaining collateral securing the bonds is
considered to be below-investment-grade.
As of the July 2017 distribution date, the pool's aggregate
principal balance has been reduced by 95.5% to $75.5 million from
$1.7 billion at issuance. Since Fitch's last rating action, the
pool has paid down by nearly $18 million (19.3% of the outstanding
balance at the last rating action). Interest shortfalls totaling
$11.7 million are currently affecting classes E through P.
RATING SENSITIVITIES
The Rating Outlook on class D remains Negative due to the
uncertainty surrounding the ultimate workout and resolution
timeframe of the REO Lakeside Mall asset. Further downgrades are
possible should the asset's performance continue to decline or a
prolonged workout occurs. 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:
-- $21.8 million class D to 'BBsf' from 'BBBsf'; Outlook
Negative;
-- $14.6 million class E to 'CCsf' from 'BBsf'; RE 65%;
-- $23 million class F to 'CCsf' from 'CCCsf'; RE 0%;
In addition, Fitch has affirmed the following classes:
-- $14.6 million class G at 'Csf'; RE 0%;
-- $1.4 million class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%;
Classes A-1, A-2, A-3, A-4, A-5, A-AB, A-1A, A-J, B and C have paid
in full. Fitch does not rate the fully depleted class P. Fitch
previously withdrew the ratings on the interest-only class X-P and
X-C certificates.
GREENBRIAR CLO: Moody's Affirms Ba3(sf) Rating on Class E Notes
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Greenbriar CLO, Ltd.:
US$50,000,000 Class C Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2021, Upgraded to Aaa (sf);
previously on March 30, 2017 Upgraded to Aa1 (sf)
US$40,000,000 Class D Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2021, Upgraded to Baa1 (sf);
previously on March 30, 2017 Affirmed Ba1 (sf)
Moody's also affirmed the ratings on the following notes:
US$730,000,000 Class A Floating Rate Senior Secured Extendable
Notes Due 2021 (current outstanding balance of $7,229,798),
Affirmed Aaa (sf); previously on March 30, 2017 Affirmed Aaa (sf)
US$60,000,000 Class B Floating Rate Senior Secured Extendable Notes
Due 2021, Affirmed Aaa (sf); previously on March 30, 2017 Affirmed
Aaa (sf)
US$40,000,000 Class E Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2021 (current outstanding balance of
$22,955,095), Affirmed Ba3 (sf); previously on March 30, 2017
Affirmed Ba3 (sf)
Greenbriar CLO, Ltd., issued in December 2007, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans, with exposure to equity, illiquid loans and legacy
defaulted assets. The transaction's reinvestment period ended in
November 2014.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since March 2017. The Class A
notes have been paid down by approximately 95.9% or $167.8 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 292.20%, 167.57%, 124.94%, and 109.02%, respectively,
versus March 2017 levels of 155.66%, 128.35%, 112.56%, and 105.14%,
respectively.
Nevertheless, the credit quality of the portfolio has deteriorated
since March 2017. Based on Moody's calculation, the weighted
average rating factor is currently 3898 compared to 3419 at that
time. The deterioration in WARF is primarily due to percentage
increase in assets with a Moody's default probability rating of
Caa1 or below. Based on Moody's calculation, which include
adjustments for ratings with a negative outlook, ratings on review
for downgrade and stale credit estimates, assets with a Moody's
default probability rating of Caa1 or below currently make up 36.4%
of the portfolio, compared to 29.6% in March 2017. Moody's also
notes that the deal holds a material par amount of thinly traded or
untraded loans, whose lack of liquidity may pose additional risks
especially for the Class D and the Class E notes relating to the
issuer's ultimate ability to pursue a liquidation of such assets,
especially if the sales can be transacted only at heavily
discounted price levels.
The portfolio also includes a number of investments in securities
that mature after the notes do. Based on Moody's calculation,
securities that mature after the notes do currently make up
approximately 5.3% or $9.8 million of the portfolio. These
investments could expose the notes to market risk in the event of
liquidation when the notes mature.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
October 2016.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy and b)
the large concentration of upcoming speculative-grade debt
maturities, which could make refinancing difficult for issuers.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO documentation
by different transactional parties owing to embedded ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current expectations,
can lead to positive CLO performance. Conversely, a negative shift
in credit quality or performance of the collateral can have adverse
consequences for CLO performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging of the CLO
could accelerate owing to high prepayment levels in the loan market
and/or collateral sales by the manager, which could have a
significant impact on the notes' ratings. Note repayments that are
faster than Moody's current expectations will usually have a
positive impact on CLO notes, beginning with those with the highest
payment priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets reported by the trustee and those that Moody's
assumes as having defaulted could result in volatility in the
deal's OC levels. Further, the timing of recoveries and whether a
manager decides to work out or sell defaulted assets create
additional uncertainty. Moody's analyzed defaulted recoveries
assuming the lower of the market price and the recovery rate in
order to account for potential volatility in market prices.
Realization of higher than assumed recoveries would positively
impact the CLO.
6) Long-dated and illiquid assets: Repayment of the notes at their
maturity will be highly dependent on the issuer's successful
monetization of illiquid assets and those that mature after the
CLO's legal maturity date (long-dated assets). This risk in turn
may be contingent upon issuer's ability and willingness to sell
these assets. This risk is borne first by investors with the lowest
priority in the capital structure. However, actual long-dated and
illiquid asset exposures and prevailing market prices and
conditions at the time of liquidation will drive the deal's actual
losses, if any.
7) Exposure to credit estimates: The deal contains a number of
securities whose default probabilities Moody's has assessed through
credit estimates. Moody's normally updates such estimates at least
once annually, but if such updates do not occur, the transaction
could be negatively affected by any default probability adjustments
Moody's assumes in lieu of updated credit estimates.
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% (3118)
Class A: 0
Class B: 0
Class C: 0
Class D: +2
Class E: +1
Moody's Adjusted WARF + 20% (4678)
Class A: 0
Class B: 0
Class C: 0
Class D: -1
Class E: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analyzed the collateral pool as having a performing par and
principal proceeds balance of $203.0 million, defaulted par of
$27.7 million, a weighted average default probability of 24.60%
(implying a WARF of 3898), a weighted average recovery rate upon
default of 48.71%, a diversity score of 18 and a weighted average
spread of 3.24% (before accounting for LIBOR floors).
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of the
assets in the collateral pool. Moody's generally applies recovery
rates for CLO securities as published in "Moody's Approach to
Rating SF CDOs". In some cases, alternative recovery assumptions
may be considered based on the specifics of the analysis of the CLO
transaction. In each case, historical and market performance and
the collateral manager's latitude for trading the collateral are
also factors.
A material proportion of the collateral pool includes debt
obligations whose credit quality Moody's assesses through credit
estimates. Moody's analysis reflects adjustments with respect to
the default probabilities associated with credit estimates.
Specifically, Moody's assumed an equivalent of Caa3 for assets with
credit estimates that have not been updated within the last 15
months, which represent approximately 10.8% of the collateral pool.
GS MORTGAGE 2010-C1: DBRS Hikes Class F Debt Rating to BB(low)
--------------------------------------------------------------
DBRS Limited on July 21, 2017, upgraded three classes of GS
Mortgage Securities Trust, 2010-C1 as follows:
-- Class D to A (high) (sf) from A (sf)
-- Class E to BBB (low) (sf) from BB (high) (sf)
-- Class F to BB (low) (sf) from B (high) (sf)
In addition, DBRS has confirmed the remaining classes in the
transaction as listed below:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class B at AAA (sf)
-- Class C at AA (high) (sf)
-- Class X at A (sf)
All trends are stable.
These rating actions reflect the strong overall performance of the
transaction, which has benefitted from a collateral reduction of
24.7% since issuance, with 19 of the original 23 loans remaining in
the pool as of the July 2017 remittance report. In addition, there
are three Top 15 loans, representing 17.5% of the current pool,
that are fully defeased, and 55.1% of the pool is shadow rated
investment grade by DBRS.
Based on the reported figures for YE2016, the transaction benefits
from a healthy in-place weighted-average (WA) debt service coverage
ratio (DSCR) of 2.00 times (x) and a WA debt yield of 19.2%
compared with the issuance levels of 1.80x and 14.5%, respectively,
for the pool. The performance for the largest non-defeased loans in
the Top 15 has also been strong since issuance, with a WA net cash
flow growth of 21.5% over the DBRS issuance figures, a 17.1% WA
debt yield and a WA DSCR of 2.00x, based on YE2016 reporting.
As of the July 2017 remittance report, there is one loan, which is
in the Top 15 and represents 10.4% of the pool, on the servicer's
watchlist (monitored for deferred maintenance) and no loans in
special servicing. The pool does have a significant concentration
of retail loans, with five loans, representing 42.7% of the pool,
secured by regional malls, and six loans, representing 34.4% of the
pool balance, secured by anchored retail and weakly anchored retail
properties. As of YE2016, the regional mall loans reported a WA
DSCR of 1.98x, with collateral occupancy rates ranging between
87.0% and 98.3% as of the most recently reported figures for each
property. In general, the sales performance is healthy for these
malls, and only one of the collateral properties, Burnsville Center
(Prospectus ID #2), has been affected by an anchor closure since
issuance.
Nine loans, representing 55.1% of the outstanding pool balance,
were shadow rated investment grade by DBRS at issuance in
Prospectus ID #1, 660 Madison Avenue Retail, Prospectus ID #2,
Burnsville Center, Prospectus ID #4, Valley View Mall, Prospectus
ID #5, Cole Portfolio, Prospectus ID #8, Parkway Place, Prospectus
ID #11, Aardex Ground Lease Portfolio, Prospectus ID #19, Winn
Dixie – Hammond, Prospectus ID #21, Winn Dixie- Montgomery, and
Prospectus ID#22, Winn Dixie – Opa Locka. With this review, DBRS
has confirmed that the performance of these loans remains
consistent with investment-grade loan characteristics. There are
three loans, representing 0.2% of the pool, that are scheduled to
mature in the next 12 months; all three of these loans are shadow
rated investment grade and exhibit strong refinance
characteristics.
The ratings assigned to the Class D, Class E and Class F notes
materially deviate from the higher ratings implied by the
quantitative results. DBRS considers a material deviation to be a
rating differential of three or more notches between the assigned
rating and the rating implied by the quantitative results that is a
substantial component of a rating methodology. The deviations are
warranted, given the uncertain loan level event risk.
The ratings assigned to the Class X note materially deviates from
the lower ratings implied by the quantitative results.
Consideration was given for the actual loan, transaction and sector
performance where a rating based on the lowest rated notional class
may not reflect the observed risk.
GS MORTGAGE 2017-STAY: DBRS Gives Prov. B Rating to Class HRR Debt
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2017-STAY
(the Certificates) to be issued by GS Mortgage Securities
Corporation Trust 2017-STAY. The trends are Stable.
-- Class A at AAA (sf)
-- Class X-CP at A (high) (sf)
-- Class X-NCP at A (high) (sf)
-- Class B at AAA (sf)
-- Class C at AA (sf)
-- Class D at A (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class HRR at B (sf)
All classes will be privately placed.
The Class X-CP and X-NCP balances are notional.
The $200.0 million mortgage loan is secured by the fee interest in
a portfolio of 40 economy, extended-stay hotels, totaling 5,195
keys, located in 14 different states across the United States. The
hotels operate under one sole flag, InTown Suites. The brand is
owned by the loan sponsor, Starwood Capital Group Global LP
(Starwood), which has substantial experience in the hotel sector
and maintains considerable financial wherewithal. Starwood acquired
the collateral assets in 2013 when it purchased the InTown Suites
platform for $770.0 million from Kimco Realty Corporation. At that
time, there were 138 properties operating under the flag, which
ownership has expanded to 190 lodging properties totaling 24,161
keys since its acquisition of the platform. The assets are entirely
operated by affiliates of the loan sponsor and, as such, do not
incur management or franchise fees. Although there is a licensing
agreement in place, it does not stipulate a separate fee.
Since acquiring the portfolio in 2013, Starwood has invested
roughly $24.1 million ($4,639 per key) of capex across the
collateral portfolio, $17.8 million ($3,435 per key) of which was
injected in 2016 alone. This includes $16.2 million in capex
($8,122 per key) that served to fully refresh 15 specific
properties in the collateral portfolio, representing 38.3% of total
keys. The remaining assets have only received light updates. The
portfolio has an average age of 19 years and many of the properties
inspected by DBRS were dated and exhibited deferred maintenance,
resulting in low curb appeal. Such results can be attributed to the
lack of investment across the portfolio as well as the consistently
high occupancies at which the properties have operated. The
collateral portfolio reports an average occupancy rate of 84.2%
dating back to 2007, only dropping below 82.5% to 78.5% in 2009,
which was the trough of the Great Recession; however, the
collateral represents one of the lowest price points in each
respective market, offering value to its blue-collar guests and
local demographic. While such high occupancy is likely
unsustainable, many guests stay on site for several months as
evidenced by the average length of stay across the portfolio, which
is 102 days; this provides some additional stability compared with
traditional limited- and full-service hotels. Ownership plans to
track RevPAR performance at the renovated assets before undertaking
additional value-add renovations. Since the hotels are not subject
to formal franchise agreements, there will not be any required
property improvement plans during the loan term. This limits
displacement risk as Starwood invests in the assets on an ongoing
basis as needed. The fact that the sponsor is the sole owner of the
brand gives it an increased incentive to maintain the collateral.
The loan is structured with ongoing furniture, fixtures and
equipment reserves that will be collected at 5.0% of gross revenue
on a monthly basis, which are available for planned maintenance
throughout the term.
As with the overall hotel market, average daily rate and occupancy
levels at the subject properties have been posting strong gains
over the past few years. The portfolio's revenue per available room
(RevPAR) has increased each year since 2009, but more recent
periods have been increasing at a declining rate. DBRS capped all
occupancies at 82.5%, which is below recent historicals for the
majority of the portfolio. Dating back to 2014, between 65.6% and
71.8% of the portfolio by allocated loan balance reported occupancy
rates in excess of 82.5%. The capped occupancies account for new
supply coming online over the near term in each market as well as
the fact that the current environment could represent a very late
phase of the lodging cycle. As a whole, the portfolio's trailing 12
months (T-12) April 2017 RevPAR is 25.1% above its prior
pre-precession peak of $25.09 in 2007 and 3.9% and 10.2% over the
YE2016 and YE2015 levels, respectively. Such an increase represents
a decline from recent year-over-year increases of 13.7% at YE2015
and 10.4% at YE2014. The resulting DBRS portfolio RevPAR of $29.95
is approximately 3.6% below the T-12 April 2017 level and directly
in line with the YE2016 level, given the modest rate increases
achieved following recent renovations. As of the April 2017 Smith
Travel Research Reports, the portfolio exhibited RevPAR penetration
of only 93.7%; however, such competitive sets capture a mix of
mid-price and economy extended-stay assets, which are of superior
quality and do not directly compete with the subject portfolio's
low-price and minimalistic product offering.
Loan proceeds of $200.0 million ($38,499 per key) were used to
refinance $174.5.0 million ($33,589 per key) of existing portfolio
debt, return $19.0 million of equity to the sponsor and cover
closing costs of approximately $6.5 million. The prior debt was
securitized in the GSMS 2007-GG10 securitization and encumbered 35
of the current portfolio assets. The remaining properties backed
other uncrossed mortgage loans that were paid off with equity in
March 2017. The loan is a three-year, floating-rate (one-month
LIBOR plus 2.87% per annum) interest-only mortgage loan with two
one-year extension options. The as-is portfolio appraised value is
$333.2 million, assuming a bulk sale, based on a weighted-average
applied cap rate of 9.2%, which equates to a relatively moderate
appraised loan-to-value (LTV) ratio of 60.1%. The DBRS-concluded
value of $213.0 million ($40,991 per key) represents a significant
36.1% discount to the appraised value, but results in a DBRS LTV of
93.9%, which is indicative of high-leverage financing; however, the
DBRS value is based on a reversionary cap rate of 11.75%, which
represents a significant stress over current prevailing market cap
rates. Furthermore, the loan's DBRS Debt Yield is strong at 12.5%
and the portfolio's insurable replacement cost of $201.0 million
just exceeds the mortgage loan amount.
HUNT COMMERCIAL 2017-FL1: DBRS Gives Prov. B(low) Rating on E Debt
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
secured Floating-Rate Notes (the Notes) to be issued by Hunt
Commercial Real Estate Notes 2017-FL1:
-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at B (low) (sf)
All trends are Stable.
With respect to the deferrable notes (Class C, Class D and Class
E), to the extent that interest proceeds are not sufficient on a
given payment date to pay accrued interest, interest will not be
due and payable on the payment date and will instead be deferred
and capitalized. The ratings assigned by DBRS contemplate the
timely payments of distributable interest and, in the case of
deferred interest notes, the ultimate recovery of deferred interest
(inclusive of interest payable thereon at the applicable rate, to
the extent permitted by law).
The initial collateral consists of 23 floating-rate mortgages
secured by 36 transitional properties totaling $279.4 million
(80.0% of total loan pool), excluding the $15.5 million of future
funding and additional ramp-up commitment, resulting in a total
Target Mortgage Asset Balance of $349.2 million. The loans are
secured by current cash flowing assets, most of which are in a
period of transition with plans to stabilize and improve the asset
value. The transaction has a ramp-up period during the first 180
days from the closing of the transaction and a Reinvestment Period
30 months from closing; after the expiration of the Reinvestment
Period, there will be no ability to add new loans. Both ramp-up and
reinvestment periods are subject to Acquisition Criteria, which
include rating agency conditions by DBRS.
The floating-rate mortgages were analyzed to determine the
probability of loan default over the term of the loan and its
refinance risk at maturity based on a fully extended loan term.
Because of the floating-rate nature of the loans, the index DBRS
used (one-month LIBOR) was the lower of a DBRS stressed rate that
corresponded to the remaining fully extended term of the loans or
the strike price of the interest rate cap with the respective
contractual loan spread added to determine a stressed interest rate
over the loan term. When the cut-off balances were measured against
the DBRS In-Place net cash flow (NCF) and their respective stressed
constants, there were 18 loans, representing 85.8% of the initial
pool balance, with term debt service coverage ratios (DSCRs) below
1.15 times (x), a threshold indicative of a higher likelihood of
term default. Additionally, to assess refinance risk, DBRS applied
its refinance constants to the balloon amounts, resulting in nine
loans, or 42.8% of the loans, having refinance DSCRs below 1.00x
relative to the DBRS Stabilized NCF. The properties are often
transitioning with potential upside in the cash flow; however, DBRS
does not give full credit to the stabilization if there are no
holdbacks or if other loan structural features in place were
insufficient to support such treatment. Furthermore, even with
structure provided, DBRS generally does not assume the assets to
stabilize above market levels.
The loans were all sourced by Hunt Mortgage Group (HMG), a
subsidiary of Hunt Companies, Inc. (Hunt Companies), a commercial
mortgage originator with strong origination practices and one of
the largest FHA, Freddie Mac and Fannie Mae multifamily loan
originators with an annual $2.0+ billion GSE multifamily lending.
HMG and its affiliates currently act as a servicer for a $12.5
billion loan portfolio, and HMG leverages Hunt Companies'
vertically integrated real estate program. Hunt will retain the
bottom 16.75% of the transaction balance.
The overall weighted-average (WA) DBRS Term and Refi DSCRs of 1.00x
and 1.11x, respectively, and corresponding DBRS Debt and Exit Debt
Yields of 7.3% and 9.6%, respectively, are considered high-leverage
financing. The DBRS Term and Refinance DSCRs are based on the DBRS
In-Place NCF and debt service calculated using a stressed interest
rate. The WA stressed rate used is 7.1%, which is greater than the
current WA interest rate of 5.2% (based on a WA mortgage spread and
an assumed 0.75% one-month LIBOR index). Regarding the refinance
risk indicated by the DBRS Refi DSCR of 1.11x, the credit
enhancement levels are reflective of the increased leverage, which
is substantially higher than in recent fixed-rate transactions. The
assets are generally well positioned to stabilize, and any realized
cash flow growth would help to offset a rise in interest rates and
also improve the overall debt yield of the loans. DBRS associates
its probability of default based on the assets' in-place cash flow,
which does not assume that the stabilization plan and cash flow
growth will ever materialize. The properties are primarily located
in core markets (4.2% urban and 61.4% suburban), which benefit from
greater liquidity. There are only six loans, representing 23.6% of
the initial pool balance, located in tertiary markets, and no
properties located in rural markets.
JFIN CLO 2014: S&P Affirms B(sf) Rating on Class F Notes
--------------------------------------------------------
S&P Global Ratings affirmed its ratings on the class A, B-1, B-2,
C, D, E, and F notes from JFIN CLO 2014 Ltd., a U.S. collateralized
loan obligation (CLO) transaction that closed in March 2014.
S&P said, "T[he] affirmations follow our 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's weighted average life has decreased to 4.83
years from 5.77 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.
S&P said, "The transaction has also experienced an increase in both
defaults and assets rated 'CCC' since the May 2014 trustee report,
which we used for our effective date analysis. The amount of
defaulted assets increased to $3.21 million as of the May 2017
trustee report, from none as of the May 2014 report. The assets
rated 'CCC' increased to $36.56 million (7.07% of the aggregate
principal balance) from none 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 remained relatively stable since the May 2014 trustee
report, which it used for its effective date analysis:
-- The class A/B O/C ratio increased to 143.00% from 142.98%.
-- The class C O/C ratio increased to 125.01% from 124.99%.
-- The class D O/C ratio increased to 116.74% from 116.71%.
-- The class E O/C ratio increased to 110.73% from 110.72%.
-- All coverage tests are currently passing and are above the
minimum requirements.
S&P said, "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 our cash flow analysis indicated slightly higher ratings
for the class B-1, B-2, C, D, E, and F notes, our affirmations
consider the increase in defaulted and 'CCC' rated assets. 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.
"Our 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 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 and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis demonstrated, in our view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with these rating actions.
"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 will take rating actions as we deem
necessary."
RATINGS AFFIRMED
JFIN CLO 2014 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)
JP MORGAN 2014-FL6: S&P Affirms B-(sf) Rating on 3 Tranches
-----------------------------------------------------------
S&P Global Ratings raised its rating on the class B commercial
mortgage pass-through certificates from J.P. Morgan Chase
Commercial Mortgage Securities Trust 2014-FL6, a U.S. commercial
mortgage-backed securities (CMBS) transaction. At the same time,
S&P lowered its rating on the class MTP1 raked certificates and
affirmed our ratings on 17 other classes from the same
transaction.
S&P said, "Our rating actions 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 the current and future performance of the
collateral securing the 10 remaining loans in the pool, the deal
structure, and the liquidity available to the trust.
"The upgrade on the pooled class B certificates reflects our
expectation of the available credit enhancement for the class,
which we believe is greater than our most recent estimate of
necessary credit enhancement for the respective rating levels. We
also considered the reduction in the pooled balance resulting from
the payoff of three loans.
"The downgrade on the class MTP1 raked certificates and the
affirmation on the class MTP2 raked certificates reflects our
re-evaluation of the MTP Hospitality Northeast Portfolio loan. The
$62.6 million trust loan is secured by a portfolio of eight
limited-service lodging properties comprising 932 rooms in N.J. and
Pa. The class 'MTP' raked certificates derive 100% of their cash
flows from the subordinated nonpooled portion totaling $22.0
million of the loan. The loan is currently scheduled to mature on
October 9, 2017. Our analysis considered the hotel's reported
performance, particularly the reported revenue per available room
(RevPAR), which declined in 2016, as well as reported declines in
net operating income in 2015 and 2016 due to increased expenses.
The master servicer, Keybank Real Estate Capital, reported a 1.88x
debt service coverage (DSC) for the year ended Dec. 31, 2016. Our
expected case value, using a 9.82% weighted average capitalization
rate, yielded a 66.3% S&P Global Ratings' loan-to-value (LTV) ratio
on the pool trust balance, and 102.3% on the trust balance.
"The affirmations on the pooled class A, C, and D principal- and
interest-paying certificates reflect our expectation that the
available credit enhancement for these classes are within our
estimate of the necessary credit enhancement required for the
current ratings and our views regarding the current and future
performance of the remaining loans.
"The affirmations on the class DFW1 and DFW2 raked certificates
reflect our analysis of the Hyatt Regency DFW loan. The $64.0
million trust loan is secured by an 811-room full-service lodging
property that is adjacent to Terminal C of the Dallas-Fort Worth
International Airport. The class 'DFW' raked certificates derive
100% of their cash flows from the subordinated nonpooled component
totaling $19.7 million of the loan. Our property analysis concluded
stable operating performance, and using a 9.00% capitalization
rate, we derived an S&P Global Ratings' LTV ratio of 87.6% on the
trust balance.
"The affirmations on the class PHW1 and PHW2 raked certificates
reflect our analysis of the Park Hyatt Washington DC loan. The
$53.0 million trust loan is secured by a 216-room full-service
lodging property in Washington, DC. The class 'PHW' raked
certificates derive 100% of their cash flows from the subordinated
nonpooled component totaling $15.0 million of the loan. Our
property analysis concluded stable operating performance, and using
an 8.75% capitalization rate, we derived an S&P Global Ratings' LTV
ratio of 85.8% on the trust balance.
"The affirmations on the class BAT1 and BAT2 raked certificates
reflect our analysis of the Bank of America Tower loan. The $39.5
million trust loan is pari-passu with a $5.1 million component that
lies outside of the trust. The loan is secured by a 667,854-sq.-ft.
office in Jacksonville, Fla. The class 'BAT' raked certificates
derive 100% of their cash flows from the subordinated nonpooled
component totaling $6.8 million of the loan. Our property analysis
concluded stable operating performance, and using an 8.25%
capitalization rate, we derived an S&P Global Ratings' LTV ratio of
82.4% on the trust balance.
"The affirmation on the class VINE raked certificates reflects our
analysis of the Center at 600 Vine loan. The $32.0 million trust
loan is secured by a 578,893-sq.-ft. office in downtown Cincinnati,
Ohio. The class 'VINE' raked certificates derive 100% of their cash
flows from the subordinated nonpooled component totaling $3.1
million of the loan. Our property analysis concluded stable
operating performance, and using an 8.50% capitalization rate, we
derived an S&P Global Ratings' LTV ratio of 71.2% on the trust
balance.
"The affirmations on the class WCP1 and WCP2 raked certificates
reflect our analysis of the Walnut Creek Executive Park loan. The
$27.5 million trust loan is secured by a 423,458-sq.-ft. office in
Walnut Creek, Calif. The class 'WCP' raked certificates derive 100%
of their cash flows from the subordinated nonpooled component
totaling $7.2 million of the loan. Our property analysis concluded
stable operating performance, and using a 8.25% capitalization
rate, we derived an S&P Global Ratings' LTV ratio of 93.6% on the
trust balance.
"The affirmation on the class HSRV raked certificates reflects our
analysis of the Hilton Scottsdale Resort & Villas loan. The $20.9
million trust loan is secured by a 235-room full-service hotel in
Scottsdale, Ariz. The class 'HSRV' raked certificates derive 100%
of their cash flows from the subordinated nonpooled component
totaling $4.7 million of the loan. Our property analysis concluded
stable operating performance, and using a 9.00% capitalization
rate, we derived an S&P Global Ratings' LTV ratio of 78.0% on the
trust balance.
"The affirmations on the class BWT1 and BWT2 raked certificates
reflect our analysis of the Broadway Tower loan. The $13.0 million
trust loan is secured by a 510,232-sq.-ft. office in the downtown
business district of St. Louis, Mo. The 'BWT' raked certificates
derive 100% of their cash flows from the subordinated nonpooled
portion totaling $3.4 million of the loan. Our property analysis
concluded stable operating performance, resulting in an S&P Global
Ratings' LTV ratio of 72.3% on the trust balance.
"We affirmed our rating on the class X-EXT interest-only (IO)
certificates based on our 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-EXT references classes A, B, C, and D."
According to the July 17, 2017, trustee remittance report, the
trust consisted of 10 floating-rate IO loans indexed to one-month
LIBOR with an aggregate pooled trust balance of $351.6 million and
an aggregate trust balance of $434.1 million. Seven of the loans
currently mature in 2017, and three loans mature in 2018. All of
the loans have extension options remaining with final maturities in
2019. According to the transaction documents, the borrowers 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 said, "We based our analysis partly on a review of the
available historical property performance data, generally for the
years ended 2016, 2015, 2014, and 2013, and where applicable, the
most recent 2017 rent roll or Smith Travel Research (STR) reports
that the master servicer provided to determine our opinion of a
sustainable cash flow for the properties."
RATINGS LIST
J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-FL6
Commercial mortgage pass-through certificates series 2014-FL6
Rating
Class Identifier To From
A 46643RAA4 AAA (sf) AAA (sf)
X-EXT 46643RAE6 BBB- (sf) BBB- (sf)
B 46643RAG1 AA (sf) AA- (sf)
C 46643RAJ5 A (sf) A (sf)
D 46643RAL0 BBB- (sf) BBB- (sf)
DFW1 46643RAQ9 BB- (sf) BB- (sf)
DFW2 46643RAS5 B (sf) B (sf)
MTP1 46643RAU0 B+ (sf) BB- (sf)
MTP2 46643RAW6 B- (sf) B- (sf)
PHW1 46643RAY2 BB- (sf) BB- (sf)
PHW2 46643RBA3 B (sf) B (sf)
BAT1 46643RBC9 BB (sf) BB (sf)
BAT2 46643RBE5 BB- (sf) BB- (sf)
VINE 46643RBG0 BB+ (sf) BB+ (sf)
WCP1 46643RBL9 BB- (sf) BB- (sf)
WCP2 46643RBN5 B- (sf) B- (sf)
HSRV 46643RBQ8 BB- (sf) BB- (sf)
BWT1 46643RBW5 BB- (sf) BB- (sf)
BWT2 46643RBY1 B- (sf) B- (sf)
JP MORGAN 2016-JP2: Fitch Affirms 'BB-sf' Rating on Cl. E Certs
---------------------------------------------------------------
Fitch Ratings affirms 13 classes of J.P. Morgan Chase Commercial
Mortgage Securities Trust 2016-JP2 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 July 2017 distribution date, the pool's aggregate balance
has been reduced by 0.4% to $935.1 million, from $939.2 million at
issuance. Four loans (4.8%) are on the master servicer's watchlist,
and none are considered Fitch loans of concern.
Above-Average Hotel Exposure: Loans backed by hotel properties
represent 16.7% of the pool, including 3 (9.5%) in the top 15. The
pool's hotel concentration falls between the YTD 2016 average of
15.9%.
Average Pool Amortization: Based on the scheduled balance at
maturity, the pool will pay down 11.1% of the initial pool balance,
which is better than historical averages for Fitch rated
transactions.
Concentrated Pool with High Sponsor Concentration: The 10 largest
loans account for 51.9% of the pool by balance. Two sponsors, Simon
Property Group and CIM Commercial Trust Corporation, each comprise
more than 10% of the pool with 12% and 11%, respectively.
RATING SENSITIVITIES
The Rating Outlook for all classes remains Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset level event changes the transaction's overall
portfolio-level metrics.
Fitch has affirmed the following ratings:
-- $27.3 million class A-1 at 'AAAsf'; Outlook Stable;
-- $16.2 million class A-2 at 'AAAsf'; Outlook Stable;
-- $250 million class A-3 at 'AAAsf'; Outlook Stable;
-- $301.5 million class A-4 at 'AAAsf'; Outlook Stable;
-- $58.4 million class A-SB at 'AAAsf'; Outlook Stable;
-- Interest-only class X-A at 'AAAsf'; Outlook Stable;
-- Interest-only class X-B at 'AA-sf'; Outlook Stable;
-- $77.5 million class A-S at 'AAAsf'; Outlook Stable;
-- $48.1 million class B at 'AA-sf'; Outlook Stable;
-- $41.1 million class C at 'A-sf'; Outlook Stable;
-- Interest-only class X-C at 'BBB-sf'; Outlook Stable;
-- $45.7 million class D at 'BBB-sf'; Outlook Stable;
-- $22.3 million class E at 'BB-sf'; Outlook Stable.
Fitch does not rate the class F and NR certificates.
JP MORGAN 2017-FL10: S&P Gives Prelim. B-(sf) Rating to 3 Tranches
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to J.P. Morgan
Chase Commercial Mortgage Securities Trust 2017-FL10's $382.090
million commercial mortgage pass-through certificates.
The certificate issuance is backed by six commercial mortgage loans
with a $402.2 million aggregate principal balance, secured by the
fee and/or leasehold interests in 14 properties across five U.S.
states.
The preliminary ratings are based on information as of July 31,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P Global Ratings' view of the
collateral's historical and projected performance, the sponsors'
and managers' experience, the trustee-provided liquidity, the
loans' terms, and the transaction's structure.
PRELIMINARY RATINGS ASSIGNED
J.P. Morgan Chase Commercial Mortgage Securities Trust 2017-FL10
Class Rating(i) Amount ($)
A AAA (sf) 219,260,000
X-CP(ii) B- (sf) 382,090,000
X-EXT(ii) B- (sf) 382,090,000
B AA (sf) 47,690,000
C A (sf) 36,005,000
D BBB- (sf) 38,855,000
E BB- (sf) 30,115,000
F B- (sf) 10,165,000
VRR interest(iii) NR 20,110,000
(i)The certificates will be issued to qualified institutional
buyers according to Rule 144A of the Securities Act of 1933.
(ii)Notional balance. The class X-CP certificates' notional amount
will be equal to the class A, B, C, D, E, and F certificates'
aggregate balances from time to time. The class X-EXT certificates'
notional amount will be equal to the aggregate of the class A, B,
C, D, E, and F certificates' balances from time to time.
(iii)The VRR interest component provides credit support to the
limited extent that losses are incurred on the underlying mortgage
loans, as such losses are allocated between the VRR interest and
the nonretained certificates, pro rata, according to their
respective percentage allocation entitlements (vertical split).
NR--Not rated.
JP MORGAN 2017-MAUI: DBRS Gives Prov. B Rating to Class F Debt
--------------------------------------------------------------
DBRS, Inc. on July 21, 2017, assigned provisional ratings to the
followings classes of Commercial Mortgage Pass-Through
Certificates, Series 2017-MAUI (the Certificates) to be issued by
J.P. Morgan Chase Commercial Mortgage Securities Trust 2017-MAUI:
-- Class A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at A (high) (sf)
-- Class X at A (sf)
-- Class D at A (low) (sf)
-- Class E at BB (sf)
-- Class F at B (sf)
All trends are Stable.
All classes will be privately placed. The Class X balance is
notional.
The collateral for the transaction consists of the fee interest in
the Four Seasons Maui at Wailea, a 383-key luxury resort on the
Hawaiian island of Maui. The property has an irreplaceable
oceanfront location within the Wailea Resort master planned
community and is the first Four Seasons Resort Worldwide. Situated
on a 16.2-acre site, collateral amenities include, but are not
limited to, four food and beverage (F&B) venues, 37,571 square feet
(sf) of meeting space (16,827 sf of indoor meeting space and 20,744
sf of outdoor meeting space), a 21,000 sf spa, 12,636 sf of retail,
a 486-space two-story parking structure, three swimming pools and
two rooftop tennis courts. The property is one of the premier
resorts on the island and is the only AAA Five-Diamond and Forbes
Travel Guide Five-Star luxury resort on Maui.
The loan sponsor, MSD Capital, L.P. (MSD), acquired the property in
2004 for a purchase price of $280.0 million ($731,070 per key).
Founded in 1998, MSD is an investment vehicle that exclusively
handles the capital of Michael Dell and his family. Within its
portfolio, MSD currently owns two similar luxury resorts: the Four
Seasons Hualalai at Historic Ka'upulehu and the Fairmont Miramar
hotel in Santa Monica, California. Due to the success and prestige
of the subject and the Four Seasons Hualalai at Historic
Ka'upulehu, MSD is considered to be one of the largest
revenue-generating owners for Four Seasons Hotels and Resorts, Inc.
Since acquiring the asset, MSD has invested approximately $145.0
million ($378,500 per key), in capital improvements with the most
recent major renovation occurring between 2015 and 2016 at a cost
of $56.4 million ($147,321 per key), which included a $42.9 million
($111,922 per key) transformation of all guest rooms and corridors.
Over the next three years, management intends to spend an
additional $18.8 million in capital expenditures, which will
include the renovation of the lobby, spa, pool, meeting space and
F&B outlets, among many others.
Loan proceeds of $469.0 million, along with $131.0 million of
mezzanine debt, serves to return $64.0 million of equity back to
the sponsor and refinance $527 million of debt that was originated
in 2014 during which time the $350 million mortgage loan was
securitized in CSMC 2014-TIKI. The first mortgage is a 24-month
term floating-rate (one-month LIBOR plus 1.951% per annum)
interest-only loan with five 12-month extension options. Prior to
that securitization, the subject property was collateral for a $425
million mortgage loan that was securitized in CD 2007-CD4 and GECMC
2007-1. The property was severely affected by the economic
recession and subsequently went into monetary default in 2010. The
sponsor contributed approximately $18.0 million of equity for debt
restructuring and the loan was bifurcated with a $350 million
A-note and $75 million B-note. Both notes were fully repaid as part
of the 2014 refinancing.
HVS has determined the as-is market value of the property to be
$910,700,000 ($2,377,807 per key) based on a cap rate of 5.5%.
Additionally, the appraiser concluded an as-stabilized appraised
value of $976.4 million, which anticipates performance to improve
as the subject benefits from the recent renovation that occurred.
The DBRS value of $434.6 million ($1,134,738 per key) equates to a
substantial 52.3% discount to the as-is appraised value. The DBRS
cap rate of 9.5% is likely at least 400 basis points above a
current market cap rate, allowing for significant reversion to the
mean in lodging valuation metrics. While leverage on the full
$469.0 million mortgage loan is high at a DBRS loan-to-value (LTV)
of 107.9%, the last dollar of mortgage debt is unrated, and the
cumulative investment-grade-rated proceeds of $304.0 million have a
more modest LTV of 69.9%.
JPMBB COMMERCIAL 2015-C30: DBRS Confirms B Rating on Class F Debt
-----------------------------------------------------------------
DBRS Limited on July 21, 2017, confirmed the ratings on the
following classes of Commercial Mortgage Pass-Through Certificates,
Series 2015-C30 issued by JPMBB Commercial Mortgage Securities
Trust 2015-C30:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (sf)
-- Class B at AA (low) (sf)
-- Class X-C at A (sf)
-- Class C at A (low) (sf)
-- Class EC at A (low) (sf)
-- Class X-D at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class X-E at BB (sf)
-- Class E at BB (low) (sf)
-- Class X-F at B (high) (sf)
-- Class F at B (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction since issuance in July 2015. The transaction
consists of 70 fixed-rate loans secured by 114 commercial
properties. The pool has experienced a collateral reduction of 1.3%
since issuance as a result of scheduled amortization and one loan,
representing 0.2% of the original pool balance, having been repaid.
All loans reported YE2016 financials, reporting a weighted-average
(WA) debt service coverage ratio (DSCR) of 1.67 times (x) and a WA
debt yield of 9.5%. Comparatively, the YE2015 WA DSCR and WA debt
yield were 1.61x and 9.0%, respectively.
As of the June 2017 remittance, there were three loans,
representing 1.7% of the pool balance, on the servicer's watchlist
and no loans in special servicing. None of the loans on the
servicer's watchlist individually represent over 1.0% of the
current pool balance.
At issuance, DBRS shadow-rated two loans investment-grade. DBRS
confirms with this review that the performance of these loans,
Prospectus ID#2 Pearlridge Center (5.5% of the current pool
balance) and Prospectus ID#11 Scottsdale Quarter (3.2% of the
current pool balance), remains consistent with investment-grade
loan characteristics.
JPMBB COMMERCIAL 2015-C31: DBRS Confirms B(low) Rating on F Debt
----------------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2015-C31 issued by JPMBB
Commercial Mortgage Trust 2015-C31 as follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (sf)
-- Class B at AA (low) (sf)
-- Class X-C at A (sf)
-- Class C at A (low) (sf)
-- Class EC at A (low) (sf)
-- Class X-D at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class F at B (low) (sf)
All trends are Stable.
The rating confirmations reflect the overall performance of the
transaction, which has remained in line with DBRS's expectations
since issuance. As of the July 2017 remittance, there has been a
collateral reduction of 1.8% as a result of scheduled amortization.
Loans representing 70.5% of the current pool balance show a YE2016
analysis in the servicer's reporting. Those loans reported a
weighted-average (WA) debt service coverage ratio (DSCR) and WA
debt yield of 1.40 times (x) and 8.8%, respectively. The DBRS WA
DSCR and WA debt yield for the pool at issuance were 1.34x and
8.3%, respectively. The largest 15 loans in the pool represent
65.9% of the current pool balance, and 14 of those loans,
representing 63.0% of the current pool balance, show a YE2016
analysis, with a WA net cash flow growth of 8.8% over the DBRS
issuance figures, and a WA DSCR and WA debt yield for those loans
of 1.39x and 8.9%, respectively.
As of the July 2017 remittance, there were four loans on the
servicer's watchlist, representing 2.4% of the current pool
balance. All four of these loans are being monitored for cash flow
declines. There are no loans in special servicing as of the July
2017 remittance.
The rating assigned to Class F materially deviates from the higher
rating implied by the quantitative results. DBRS considers a
material deviation to be a rating differential of three or more
notches between the assigned rating and the rating implied by the
quantitative results that is a substantial component of a rating
methodology; in this case, the assigned rating that reflects the
sustainability of loan performance trends was not demonstrated.
JPMCC COMMERCIAL 2016-JP2: DBRS Confirms B(low) Rating on F Certs
-----------------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2016-JP2 issued by JPMCC
Commercial Mortgage Trust 2016-JP2 as follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class X-C at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class F at B (low) (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction, which has remained in line with DBRS's
expectations since issuance. The collateral for this transaction
consists of 47 fixed-rate loans secured by 78 commercial and
multifamily properties. As of the July 2017 remittance, there has
been a collateral reduction of 0.4% as a result of scheduled loan
amortization. Loans representing 97.9% of the current pool balance
reported YE2016 cash flow figures. Those loans reported a
weighted-average (WA) debt service coverage ratio (DSCR) and WA
debt yield of 1.70 times (x) and 9.6%, respectively, compared with
the DBRS WA DSCR and WA debt yield of 1.80x and 10.0%,
respectively, at issuance. The largest 15 loans in the pool
reported a WA DSCR and debt yield of 1.80x and 9.5%, respectively,
reflective of a WA net cash flow growth of 14.7% over the DBRS
issuance figures.
As of the July 2017 remittance, there were four loans, representing
4.8% of the current pool balance, on the servicer's watchlist. Two
of these loans are being monitored for a low DSCR, and one loan is
being monitored for low occupancy. The last loan is being monitored
for damages sustained from Hurricane Matthew; however, insurance
proceeds were received, and all repairs have been completed. There
are no loans in special servicing.
At issuance, DBRS shadow-rated the Opry Mills loan (Prospectus
ID#1, 8.5% of the pool balance) as investment grade. DBRS has today
confirmed that the performance of this loan remains consistent with
investment-grade characteristics.
KKR CLO 18: Moody's Assigns Ba3(sf) Rating to Class E Senior Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by KKR CLO 18 Ltd.
Moody's rating action is:
US$3,500,000 Class X Senior Secured Floating Rate Notes due 2030
(the "Class X Notes"), Definitive Rating Assigned Aaa (sf)
US$448,000,000 Class A Senior Secured Floating Rate Notes due 2030
(the "Class A Notes"), Definitive Rating Assigned Aaa (sf)
US$84,000,000 Class B Senior Secured Floating Rate Notes due 2030
(the "Class B Notes"), Definitive Rating Assigned Aa2 (sf)
US$35,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class C Notes"), Definitive Rating Assigned A2 (sf)
US$42,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class D Notes"), Definitive Rating Assigned Baa3
(sf)
US$35,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class E Notes"), Definitive Rating Assigned Ba3
(sf)
The Class X Notes, the Class A Notes, the Class B Notes, the Class
C Notes, the Class D Notes and the Class E Notes are referred to
herein, collectively, as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
KKR 18 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 92.5% of the portfolio must
consist of senior secured loans, cash, and eligible investments,
and up to 7.5% of the portfolio may consist of second lien loans
and unsecured loans. Moody's expects the portfolio to be
approximately 77% ramped as of the closing date.
KKR Financial Advisors II, LLC (the "Manager"), will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in October 2016.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $700,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2900
Weighted Average Spread (WAS): 3.55%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 9.0 years.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
October 2016.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2900 to 3335)
Rating Impact in Rating Notches
Class X Notes: 0
Class A Notes: -1
Class B Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: -1
Percentage Change in WARF -- increase of 30% (from 2900 to 3770)
Rating Impact in Rating Notches
Class X Notes: 0
Class A Notes: -1
Class B Notes: -4
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
LEAF RECEIVABLES 2016-1: Moody's Hikes Cl. E-2 Debt Rating to Ba1
-----------------------------------------------------------------
Moody's Investors Service has upgraded six securities and affirmed
nine securities from the LEAF Receivables Funding LLC, Series
2015-1 and 2016-1 transactions. The transactions are
securitizations of small-ticket equipment leases serviced by LEAF
Commercial Capital, Inc.
Complete rating actions are as follow:
Issuer: LEAF Receivables Funding 10, LLC Series 2015-1
Class A-3 Notes, Affirmed Aaa (sf); previously on Apr 11, 2017
Affirmed Aaa (sf)
Class A-4 Notes, Affirmed Aaa (sf); previously on Apr 11, 2017
Affirmed Aaa (sf)
Class B Notes, Affirmed Aaa (sf); previously on Apr 11, 2017
Affirmed Aaa (sf)
Class C Notes, Affirmed Aaa (sf); previously on Apr 11, 2017
Affirmed Aaa (sf)
Class D Notes, Upgraded to Aaa (sf); previously on Apr 11, 2017
Upgraded to Aa1 (sf)
Class E-1 Notes, Upgraded to Aa2 (sf); previously on Apr 11, 2017
Upgraded to Aa3 (sf)
Class E-2 Notes, Affirmed Baa2 (sf); previously on Apr 11, 2017
Upgraded to Baa2 (sf)
Issuer: LEAF Receivables Funding 11 LLC, Series 2016-1
Class A-2 Notes, Affirmed Aaa (sf); previously on Apr 11, 2017
Affirmed Aaa (sf)
Class A-3 Notes, Affirmed Aaa (sf); previously on Apr 11, 2017
Affirmed Aaa (sf)
Class A-4 Notes, Affirmed Aaa (sf); previously on Apr 11, 2017
Affirmed Aaa (sf)
Class B Notes, Affirmed Aaa (sf); previously on Apr 11, 2017
Upgraded to Aaa (sf)
Class C Notes, Upgraded to Aa1 (sf); previously on Apr 11, 2017
Upgraded to Aa2 (sf)
Class D Notes, Upgraded to Aa3 (sf); previously on Apr 11, 2017
Upgraded to A2 (sf)
Class E-1 Notes, Upgraded to A3 (sf); previously on Apr 11, 2017
Upgraded to Baa2 (sf)
Class E-2 Notes, Upgraded to Ba1 (sf); previously on Apr 11, 2017
Affirmed Ba3 (sf)
RATINGS RATIONALE
The actions were prompted mainly by a build-up of credit
enhancement due to sequential payment structure of the transactions
and non-declining reserve account. Moody's lifetime cumulative net
loss (CNL) expectations for 2015-1 and 2016-1 transactions were
unchanged at 2.5% and 3.0% respectively.
Below are key performance metrics (as of the July 2017 distribution
date) and credit assumptions for each affected transaction. Credit
assumptions include Moody's expected lifetime CNL expectation,
which is expressed as a percentage of the original pool balance;
and Moody's remaining net loss expectation and Moody's Aaa level,
both expressed as a percentage of the current pool balance. The Aaa
level is the level of credit enhancement that would be consistent
with a Aaa (sf) rating for the given asset pool. Performance
metrics include pool factor (the ratio of the current collateral
balance to the original collateral balance at closing); total hard
credit enhancement (expressed as a percentage of the outstanding
collateral pool balance) which typically consists of subordination,
overcollateralization, reserve fund as applicable.
Issuer - Leaf Receivables Funding 10, LLC, Series 2015-1
Lifetime CNL expectation -- 2.5%; Prior expectation (April 2017) --
2.5%
Remaining net loss expectation -- 3.6%
Aaa level -- 21.0%
Pool factor -- 38.4%
Total Hard credit enhancement -- Class A-3 Notes 60.3%, Class A-4
Notes 60.3%, Class B Notes 45.1%, Class C Notes 34.4%, Class D
Notes 26.0%, Class E-1 Notes 18.2%, Class E-2 Notes 11.4%
Issuer - Leaf Receivables Funding 11, LLC, Series 2016-1
Lifetime CNL expectation -- 3.0%; Prior expectation (April 2017) --
3.0%
Remaining net loss expectation -- 4.0%
Aaa level -- 23.0%
Pool factor -- 62.5%
Total Hard credit enhancement -- Class A-2 Notes 36.3%, Class A-3
Notes 36.3%, Class A-4 Notes 36.3%, Class B Notes 30.0%, Class C
Notes 23.4%, Class D Notes 18.2%, Class E-1 Notes 13.4%, Class E-2
Notes 9.3%
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Moody's
Approach to Rating ABS Backed by Equipment Leases and Loans"
published in December 2015.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are greater than necessary to
protect investors against expectations of future loss could lead to
an upgrade of the rating. Moody's expectations of future loss may
be better than its original expectations because of lower frequency
of default by the underlying obligors. Performance of the US macro
economy and the equipment markets are primary drivers of
performance. Other reasons for better performance than Moody's
expected include changes in servicing practices to maximize
collections on the leases.
Down
Levels of credit protection that are insufficient to protect
investors against expectations of future loss could lead to a
downgrade of the ratings. Moody's expectations of future loss may
be worse than its original expectations because of higher frequency
of default by the underlying obligors of the loans or a
deterioration in the value of the equipment that secure the
obligor's promise of payment. Performance of the US macro economy
and the equipment markets are primary drivers of performance. Other
reasons for worse performance than Moody's expected include poor
servicing, error on the part of transaction parties, lack of
transactional governance and fraud.
MAD MORTGAGE 2017-330M: DBRS Gives Prov. BB Rating to Class E Debt
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the followings classes
of Commercial Mortgage Pass-Through Certificates, Series 2017-330M
(the Certificates) to be issued by MAD Mortgage Trust 2017-330M:
-- Class A at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (sf)
All trends are Stable.
All classes will be privately placed. The Class X-A balance is
notional.
The subject loan is secured by a Class A LEED Gold office building
that enjoys a prominent location at the corner of Madison Avenue
and 42nd Street in Midtown Manhattan. The property benefits from
having full-block frontage along Madison Avenue from 42nd Street to
43rd Street, directly between Bryant Park, just two blocks west,
and Grand Central Station, one block east of the subject.
Additionally, with Grand Central Station nearby, the property has
great access to multiple subway, train and bus lines. The property
features a progressive tiered floor design that allows some units
to have terraces, which is a highly desirable amenity in the
market. At 39 stories tall and the slightly lower profile of many
of the neighboring properties, the subject offers commanding views
of the city from the terraces and higher floors as well as good
light penetration throughout. However, a brand new mixed-use office
development, One Vanderbilt, is currently under construction
directly across the street from the subject. Besides adding 1.7
million square feet (sf) of inventory to the submarket, which will
put pressure on occupancy rates, the new property will have a
substantial impact on the views from the subject property and
reduce the abundant natural light that currently penetrates the
floorplates. DBRS believes the benefits of the new development
should far outweigh any negatives.
The property greatly benefits from the sponsor's recent $121.0
million renovation and repositioning that occurred in 2014.
Post-renovation, the sponsor executed over 600,000 sf of new and
renewal leases. The renovations have allowed the property to
compete well with other Class A office product in the market and
even led to the property's winning the Pinnacle Award for best
lobby redevelopment in Manhattan. The largest and most notable new
tenant to lease space at the subject post-renovation was
Guggenheim, which relocated its headquarters to the subject.
Guggenheim occupies 28.2% of the net rentable area at an average
in-place rent of $66.38 per square foot (psf) and a lease
expiration that extends four years beyond the loan term. The
overall DBRS weighted-average Base Rent of $71.81 psf is slightly
below the appraiser's $75.00 psf average asking rent for Class A
office space in the Grand Central submarket, but recent leases are
generally in line with market.
The sponsor, a joint venture between affiliates of Chadison (a
wholly owned subsidiary of ADIA) and Vornado, has owned the
property in one respect or another since 1979. While the
acquisition price and the sponsor's total cost basis in the
property are unknown, the sponsor's long-term ownership and recent
large investment into the subject reaffirms its long-term
commitment to the property. Vornado is one of the largest publicly
traded real estate investment trusts in the United States with
interests in approximately 24 million sf of commercial space within
Manhattan alone.
Loan proceeds refinanced prior existing debt of $150.0 million,
resulting in a large $330.7 million equity distribution to the
borrower. CBRE, Inc. has determined the as-is value of the property
to be $950,000,000 ($1,124.00 psf) using a 4.5% cap rate. The DBRS
concluded value of $538.4 million ($634.00 psf) equates to a 43.3%
discount to the appraiser's value and is based on a 7.25% cap rate.
The resulting DBRS loan-to-value (LTV) ratio of 92.9% is indicative
of higher leverage financing; however, the DBRS Debt Yield of 7.8%
is considered to be moderate and the subject's appraised value of
$1,124.00 psf is well supported by recent property sales in the
area that range from $887.00 psf to $1,243.00 psf. Furthermore, the
cumulative investment-grade-rated proceeds of $447.9 million
reflect an extremely attractive basis of only $527.00 psf and the
corresponding DBRS LTV on such proceeds is much lower at 83.2%. The
seven-year loan is interest-only throughout the term.
MIDOCEAN CREDIT II: S&P Affirms BB Rating on Class F Notes
----------------------------------------------------------
S&P Global Ratings affirmed its ratings on the class A, B, C, D,
and E notes from MidOcean Credit CLO II, a U.S. collateralized loan
obligation (CLO) transaction that closed in January 2014 and is
managed by MidOcean Credit Fund Management L.P.
S&P said, "T[he] rating actions follow our review of the
transaction's performance using data from the June 19, 2017,
trustee report. The transaction is scheduled to remain in its
reinvestment period until Jan. 29, 2018. Since the transaction's
effective date, the trustee reported collateral portfolio's
weighted average life decreased to 4.62 years from 5.84 years. This
seasoning 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 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 June 2014
trustee report, which we used for our effective date analysis.
Specifically, the amount of defaulted assets increased to $6.7
million as of the June 2017 trustee report, from 0 as of the June
2014 report. The level of assets rated 'CCC+' or below increased to
$22.6 million from $2.96 million over the same period.
The increase in defaulted assets, as well as other factors, has
affected the level of credit support available to all tranches, as
seen by the decline in the overcollateralization (O/C) ratios:
-- The class A/B O/C ratio was 130.14%, down from 131.61%.
-- The class C O/C ratio was 120.31%, down from 121.67%.
-- The class D O/C ratio was 113.13%, down from 114.41%.
-- The class E O/C ratio was 107.05%, down from 108.26%.
-- The Interest Diversion Test was 107.05%, down from 108.26%.
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 is 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. S&P said, "As such, the
affirmed ratings reflect our belief that the credit support
available is commensurate with the current rating levels.
"Although our cash flow analysis points to higher ratings for the
class B, C, and D notes, our rating actions consider the increase
in the defaults and decline in the portfolio's credit quality. In
addition, the ratings reflect additional sensitivity runs that
considered the exposure to specific distressed industries allowed
for volatility in the underlying portfolio given that the
transaction is still in its reinvestment period. Although the cash
flow results indicated a lower rating for the class E notes, we
view 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 E notes in the future.
"Our 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 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 and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis demonstrated, in our view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with these rating actions.
"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 will take rating actions as we deem
necessary."
RATINGS AFFIRMED
MidOcean Credit CLO II
Class Rating
A AAA (sf)
B AA (sf)
C A (sf)
D BBB (sf)
E BB (sf)
MJX VENTURE II: Moody's Assigns Ba1(sf) Rating to Cl. E Notes
-------------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
notes issued by MJX Venture Management II LLC.
Moody's rating action is:
US$8,237,000 Series C/Class A-1 Notes due 2029 (the "Class A-1
Notes"), Assigned Aaa (sf)
US$5,264,000 Series C/Class A-2 Notes due 2029 (the "Class A-2
Notes"), Assigned Aaa (sf)
US$264,000 Series C/Class B-1 Notes due 2029 (the "Class B-1
Notes"), Assigned Aa1 (sf)
US$2,127,000 Series C/Class B-F Notes due 2029 (the "Class B-F
Notes"), Assigned Aa1 (sf)
US$694,000 Series C/Class C-1 Notes due 2029 (the "Class C-1
Notes"), Assigned A1 (sf)
US$632,000 Series C/Class C-F Notes due 2029 (the "Class C-F
Notes"), Assigned A1 (sf)
US$1,165,000 Series C/Class D Notes due 2029 (the "Class D Notes"),
Assigned Baa1 (sf)
US$1,025,000 Series C/Class E Notes due 2029 (the "Class E Notes"),
Assigned Ba1 (sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B-1 Notes, the
Class B-F Notes, the Class C-1 Notes, the Class C-F Notes, the
Class D Notes, and the Class E Notes are referred to herein as the
"Rated Notes," and together with five unrated supplemental payment
notes, are the "Series C Notes." The Series C Notes are the third
series of issuance in a program of financing for CLOs to be managed
by the Issuer.
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the credit risks of the
collateral assets securing the notes, the Issuer's legal structure,
and the characteristics of the Issuer's assets.
MJX VM II is the collateral manager of Venture 28A CLO, Limited
(the "Underlying CLO"). The proceeds from the issuance of the Rated
Notes will be used to finance the purchase of a 5% vertical slice
of all the CLO tranches (the "Underlying CLO Notes") issued by the
Underlying CLO, in order for the Issuer to comply with the
retention requirements of both the US and EU Risk Retention Rules.
MJX VM II also acts as "originator" (as defined in the EU Risk
Retention Rules) of a part of the assets of the Underlying CLO (the
"Originated Assets"). As a result, MJX VM II is exposed to
potential credit and market value risk of the Originated Assets
during a holding period from the time the Issuer purchases the
Originated Assets in the market by until the Originated Assets are
sold from the Issuer to the Underlying CLO. To mitigate these
risks, the Issuer incorporates (i) a substantial cash reserve in an
escrow account to cover any potential losses during the holding
period and until the Originated Assets settle into the CLO and (ii)
minimum industry diversity and rating requirements for the
Originated Assets.
The Rated Notes are collateralized primarily by the Underlying CLO
Notes and part of the CLO management fees. In addition, the Rated
Notes benefit from additional credit enhancement provided by (i)
50% of the senior management fees from the Underlying CLO (the
"Pledged Management Fee"), (ii) an unconditional guaranty provided
by MJX Asset Management LLC, the indirect parent of the Issuer, up
to 10% of the initial aggregate principal amount of the Series C
Notes, and, (iii) in the event the Rated Notes experience a
default, certain excess collections from other, non-defaulted
Series of notes issued by the Issuer.
On each payment date, each class of Rated Notes will receive an
interest payment equal to 5% of the interest payment paid to the
entire class of the related Underlying CLO Notes. In the event of a
permitted refinancing or re-pricing, the respective interest amount
each class of Rated Notes receives will be reduced by the amount
the respective refinancing or re-pricing reduced the interest rates
on the Underlying CLO Notes.
The Issuer's priority of payments includes an interest trapping
mechanism following the occurrence of certain events (the
"Cash-Trap Events"). Upon a Cash-Trap Event, after payment of
interest on the Rated Notes, all remaining interest proceeds from
the Underlying CLO Notes and the Pledged Management Fee will be
trapped in a cash-trap account. Cash-Trap Events include, but are
not limited to, failure of an overcollateralization test, deferral
of interest on certain Underlying CLO Notes, and certain collateral
manager-related events. Unless the Cash-Trap Event is cured,
amounts in the cash-trap account will be applied to repay the Rated
Notes at maturity or redemption.
Although the Rated Notes constitute full recourse indebtedness of
the Issuer, the holders of the Rated Notes have no right to
foreclose upon the assets of the Issuer's other Series and have
limited rights to assets constituting excess collections from other
Series. Holders of other Series of Debt of the Issuer are likewise
precluded from foreclosing on the assets of the Series C Notes and
are limited in their rights to excess collections from the Series C
Notes.
In addition to a variety of other factors, Moody's analysis of the
Issuer's bankruptcy remoteness took into account a substantive
consolidation legal opinion. The opinion provided comfort that the
Issuer's structure and separateness features minimize the risk that
a bankruptcy court would order the consolidation of the assets and
liabilities of Issuer's parent or the guarantor and the Issuer.
Moody's modeled the Rated Notes 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 for the underlying CLO's portfolio:
Par amount: $422,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2775
Weighted Average Spread (WAS): 3.70%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 45.0%
Weighted Average Life (WAL): 8.25 years.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
October 2016.
Factors That Would Lead to Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
Underlying CLO, which in turn depends on economic and credit
conditions that may change. The Manager's investment decisions and
management of the Underlying CLO 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 A-1 Notes: 0
Class A-2 Notes: 0
Class B-1 Notes: 0
Class B-F Notes: 0
Class C-1 Notes: -1
Class C-F Notes: -1
Class D Notes: -2
Class E Notes: -1
Percentage Change in WARF -- increase of 30% (from 2775 to 3608)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2 Notes: 0
Class B-1 Notes: -2
Class B-F Notes: -2
Class C-1 Notes: -3
Class C-F Notes: -3
Class D Notes: -3
Class E Notes: -2
NASSAU 2017-I: S&P Gives Prelim. BB- Rating on Class D Notes
------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Nassau
2017-I Ltd./Nassau 2017-I LLC's $391.00 million floating-rate
notes.
The note issuance is a collateralized loan obligation backed
primarily by broadly syndicated speculative-grade senior secured
term loans that are governed by collateral quality tests.
The preliminary ratings are based on information as of July 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
Nassau 2017-I Ltd./Nassau 2017-I LLC
Class Rating Amount (mil. $)
A-1a AAA (sf) 231.30
A-1b AAA (sf) 30.00
A-2 AA (sf) 59.50
B A (sf) 29.80
C BBB- (sf) 21.20
D BB- (sf) 19.20
Subordinated notes NR 47.00
NR--Not rated.
NEUBERGER BERMAN 25: Moody's Assigns (P)Ba3 Rating to Cl. E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of notes to be issued by Neuberger Berman Loan Advisers CLO
25, Ltd.
Moody's rating action is:
US$300,000,000 Class A-1 Senior Secured Floating Rate Notes Due
2029 (the "Class A-1 Notes"), Assigned (P)Aaa (sf)
US$35,000,000 Class A-2 Senior Secured Floating Rate Notes Due 2029
(the "Class A-2 Notes"), Assigned (P)Aaa (sf)
US$40,000,000 Class B Senior Secured Floating Rate Notes Due 2029
(the "Class B Notes"), Assigned (P)Aa2 (sf)
US$31,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes Due 2029 (the "Class C Notes"), Assigned (P)A2 (sf)
US$31,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes Due 2029 (the "Class D Notes"), Assigned (P)Baa3 (sf)
US$23,000,000 Class E Junior Secured Deferrable Floating Rate Notes
Due 2029 (the "Class E Notes"), Assigned (P)Ba3 (sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the
Class C Notes, the Class D Notes and the Class E Notes are referred
to herein, 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.
Neuberger Berman CLO 25 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, cash, and eligible
investments, and up to 10.0% of the portfolio may consist of second
lien loans and unsecured loans. Moody's expects the portfolio to be
approximately 70% ramped as of the closing date.
Neuberger Berman Loan Advisers LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in October 2016.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2870
Weighted Average Spread (WAS): 3.30%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 9 years.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
October 2016.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2870 to 3301)
Rating Impact in Rating Notches
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: -1
Percentage Change in WARF -- increase of 30% (from 2870 to 3731)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -3
Class B Notes: -3
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
NEW RESIDENTIAL 2017-5: DBRS Gives Prov. B Ratings on 5 Tranches
-----------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage-Backed Notes, Series 2017-5 (the Notes) issued by New
Residential Mortgage Loan Trust 2017-5 (the Trust):
-- $302.6 million Class A-1 at AAA (sf)
-- $302.6 million Class A-IO at AAA (sf)
-- $311.8 million Class A-2 at AA (sf)
-- $319.1 million Class A-3 at A (sf)
-- $302.6 million Class A-4 at AAA (sf)
-- $311.8 million Class A-5 at AA (sf)
-- $319.1 million Class A-6 at A (sf)
-- $319.1 million Class IO at A (sf)
-- $9.2 million Class B-1 at AA (sf)
-- $9.2 million Class B1-IO at AA (sf)
-- $9.2 million Class B-1A at AA (sf)
-- $7.2 million Class B-2 at A (sf)
-- $7.2 million Class B2-IO at A (sf)
-- $7.2 million Class B-2A at A (sf)
-- $16.5 million Class B-IO at A (sf)
-- $4.4 million Class B-3 at BBB (sf)
-- $4.4 million Class B-3A at BBB (sf)
-- $4.4 million Class B-3B at BBB (sf)
-- $4.4 million Class B-3C at BBB (sf)
-- $4.4 million Class B3-IOA at BBB (sf)
-- $4.4 million Class B3-IOB at BBB (sf)
-- $4.4 million Class B3-IOC at BBB (sf)
-- $3.9 million Class B-4 at BB (sf)
-- $3.9 million Class B-4A at BB (sf)
-- $3.9 million Class B-4B at BB (sf)
-- $3.9 million Class B4-IOA at BB (sf)
-- $3.9 million Class B4-IOB at BB (sf)
-- $2.7 million Class B-5 at B (sf)
-- $2.7 million Class B-5A at B (sf)
-- $2.7 million Class B-5B at B (sf)
-- $2.7 million Class B5-IOA at B (sf)
-- $2.7 million Class B5-IOB at B (sf)
Classes A-IO, X, IO, B1-IO, B2-IO, B-IO, B3-IOA, B3-IOB, B3-IOC,
B4-IOA, B4-IOB, B5-IOA and B5-IOB are interest-only notes. The
class balances represent notional amounts.
Classes A-2, A-3, A-4, A-5, A-6, IO, B-1A, B-2A, B-IO, B-3A, B-3B,
B-3C, B3-IOA, B3-IOB, B3-IOC, B-4A, B- 4B, B4-IOA, B4-IOB, B-5A,
B-5B, B5-IOA, B5-IOB, B-7, B-8, B-9, B-10, B-11 and B 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 10.00% of credit
enhancement provided by subordinated Notes in the pool. The AA
(sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 7.25%,
5.10%, 3.80%, 2.65% and 1.85% 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 1,312 loans with a total principal balance of
$336,216,788 as of the Cut-Off Date (July 1, 2017).
The loans are significantly seasoned with a weighted-average age of
163 months. As of the Cut-Off Date, 96.8% of the pool is current,
1.9% is 30 days delinquent under the Mortgage Bankers Association
(MBA) delinquency method and 1.3% is in bankruptcy (all bankruptcy
loans are performing or 30 days delinquent). Approximately 85.3%
and 89.1% 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 11.2% modified loans. The modifications happened more than
two years ago for 77.6% 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 VII 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 2017-5 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, 76.8% of the pool is serviced by Nationstar
Mortgage LLC (Nationstar) and 23.2% by Ocwen Loan Servicing, LLC
(Ocwen). Nationstar will also act as the Master Servicer and the
Special Servicer.
Beginning on November 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 2017-5: Moody's Assigns B1 Ratings on 5 Tranches
----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 32
classes of notes issued by New Residential Mortgage Loan Trust
2017-5. The NRMLT 2017-5 transaction is a securitization of $336.2
million of first lien, seasoned performing and re-performing
mortgage loans with weighted average seasoning of 163 months,
weighted average updated LTV ratio of 43.5% and weighted average
updated FICO score of 722. Based on the OTS methodology, 94.3% of
the loans by scheduled balance have been current every month in the
past 24 months. 11.2% of the loans in the pool were previously
modified. Nationstar Mortgage LLC (Nationstar Mortgage) and Ocwen
Loan Servicing, LLC (Ocwen), will act as primary servicers and
Nationstar Mortgage will act as master servicer, successor servicer
and special servicer.
The complete rating action is:
Issuer: New Residential Mortgage Loan Trust 2017-5
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aa1 (sf)
Cl. A-3, Definitive Rating Assigned A1 (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-5, Definitive Rating Assigned Aa1 (sf)
Cl. A-6, Definitive Rating Assigned A1 (sf)
Cl. A-IO, Definitive Rating Assigned Aaa (sf)
Cl. B-1, Definitive Rating Assigned Aa2 (sf)
Cl. B-1A, Definitive Rating Assigned Aa2 (sf)
Cl. B1-IO, Definitive Rating Assigned Aa2 (sf)
Cl. B-2, Definitive Rating Assigned A2 (sf)
Cl. B-2A, Definitive Rating Assigned A2 (sf)
Cl. B2-IO, Definitive Rating Assigned A2 (sf)
Cl. B-3, Definitive Rating Assigned Baa2 (sf)
Cl. B-3A, Definitive Rating Assigned Baa2 (sf)
Cl. B-3B, Definitive Rating Assigned Baa2 (sf)
Cl. B-3C, Definitive Rating Assigned Baa2 (sf)
Cl. B3-IOA, Definitive Rating Assigned Baa2 (sf)
Cl. B3-IOB, Definitive Rating Assigned Baa2 (sf)
Cl. B3-IOC, Definitive Rating Assigned Baa2 (sf)
Cl. B-4, Definitive Rating Assigned Ba2 (sf)
Cl. B-4A, Definitive Rating Assigned Ba2 (sf)
Cl. B-4B, Definitive Rating Assigned Ba2 (sf)
Cl. B4-IOA, Definitive Rating Assigned Ba2 (sf)
Cl. B4-IOB, Definitive Rating Assigned Ba2 (sf)
Cl. B-5, Definitive Rating Assigned B1 (sf)
Cl. B-5A, Definitive Rating Assigned B1 (sf)
Cl. B-5B, Definitive Rating Assigned B1 (sf)
Cl. B5-IOA, Definitive Rating Assigned B1 (sf)
Cl. B5-IOB, Definitive Rating Assigned B1 (sf)
Cl. B-IO, Definitive Rating Assigned A1 (sf)
Cl. IO, Definitive Rating Assigned Aa1 (sf)
RATINGS RATIONALE
Moody's losses on the collateral pool average 1.40% in an expected
scenario and reach 8.95% 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. The
pool has a significant percentage of adjustable rate mortgages
(ARMs) and, in Moody's analysis, Moody's incorporated the effect of
rising interest rates on the probability of default for ARMs. 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 2017-5 is a securitization of seasoned performing and
re-performing residential mortgage loans which the seller, NRZ
Sponsor VII LLC, has previously purchased in connection with the
termination of various securitization trusts. The transaction is
comprised of 1,312 loans of which 90.3% by principal balance are
ARMs. 88.8% of the loans in this pool by balance have never been
modified and have been performing while 11.2% of the loans were
previously modified but are now current and cash flowing. The
weighted average seasoning on the collateral is 163 months.
Property values were updated using home data index (HDI) values or
broker price opinions (BPOs). HDIs were obtained for 1,295 out of
the 1,312 properties contained within the securitization. In
addition, updated BPOs were obtained from a third party BPO
provider for 303 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 337 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 303 loans with compliance exceptions, 47 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 and that the loans in the
sample were in first lien position. The pay history and data
integrity analysis largely confirmed the accuracy of information
provided in the data tape. The TPR also confirmed the first lien
position for 277 out of 282 loans subject to the title/lien review.
For the five remaining loans, proof of first lien position could
only be confirmed using the final title policy as of loan
origination.
The seller, NRZ Sponsor VII 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, Servicers, 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, as master servicer, is responsible for servicer
oversight, termination of servicers, and the appointment of
successor servicers. Having Nationstar Mortgage as a master
servicer mitigates servicing-related risk due to the performance
oversight that it will provide. Moody's assess Nationstar
Mortgage's servicing quality assessment at SQ2- (Above Average) as
a master servicer of residential mortgage loans. Nationstar
Mortgage 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.
Nationstar Mortgage will service 76.8% of the loans in the pool by
principal balance (895 loans) and Ocwen will service 23.2% of the
loans in the pool by principal balance (417 loans). On April 20,
2017, the Consumer Financial Protection Bureau's (CFPB) announced
that it had filed suit against Ocwen and a consortium of state
mortgage regulators filed cease and desist orders against Ocwen due
to alleged violations of state and federal laws. These regulatory
actions could adversely impact Ocwen's servicing operations and
could result in monetary penalties, judgments, and reputational
damage. These potential adverse consequences would in turn increase
the probability of an Ocwen bankruptcy. In NRMLT 2017-5, these
risks are mitigated by Nationstar Mortgage's roles as master
servicer, special servicer, and designated successor servicer.
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 1.50% 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, 10.00%. These
provisions mitigate tail risk by protecting the senior bonds from
eroding credit enhancement over time.
Other Considerations
When analyzing the transaction, Moody's reviewed the transaction's
exposure to large potential indemnification payments owed to
transaction parties due to potential lawsuits. In particular,
Moody's assessed the risk that the indenture trustee would be
subject to lawsuits from investors for a failure to adequately
enforce the R&Ws against the Seller. Moody's believes that NRMLT
2017-5 is adequately protected against such risk primarily because
all of the loans in this transaction are more than 11 years
seasoned and the weighted average seasoning is approximately 14
years. Although some loans in the pool were previously delinquent
and modified, the loans all have a substantial history of payment
performance. This includes payment performance during the recent
recession. As such, if loans in the pool were materially defective,
such issues would likely have been discovered prior to the
securitization. Furthermore, third party due diligence was
conducted on a significant random sample of the loans for issues
such as data integrity, compliance, and title. As such, Moody's did
not apply adjustments in this transaction to account for
indemnification payment risk.
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. B1-IO,
Cl. B2-IO, Cl. IO, Cl. B3-IOA, Cl. B3-IOB, Cl. B3-IOC, Cl. B4-IOA,
Cl. B4-IOB, Cl. B5-IOA, Cl. B5-IOB, Cl. B-IO was "Moody's Approach
to Rating Structured Finance Interest-Only (IO) Securities"
published in June 2017.
SEQUOIA MORTGAGE 2017-5: Moody's Gives Ba3 Rating to Cl. B-4 Certs
------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
classes of residential mortgage-backed securities (RMBS) issued by
Sequoia Mortgage Trust (SEMT) 2017-5. The certificates are backed
by one pool of prime quality, first-lien mortgage loans. The assets
of the trust consist of 642 fully amortizing, fixed rate mortgage
loans, substantially all of which have an original term to maturity
of 30 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 2017-5
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)
Cl. 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 Aaa (sf)
Cl. A-IO24, Definitive Rating Assigned Aaa (sf)
Cl. A-IO25, Definitive Rating Assigned Aaa (sf)
Cl. B-1, Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Definitive Rating Assigned A3 (sf)
Cl. B-3, Definitive Rating Assigned Baa3 (sf)
Cl. B-4, 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 3.75% 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 2017-5 transaction is a securitization of 642 first lien
residential mortgage loans, with an aggregate unpaid principal
balance of $483,850,301. Redwood Residential Acquisition Corp.
(Redwood) acquired mortgage loans originated by 127 originators.
The largest originator by principal balance is First Republic Bank
(19.49%). The remaining originators are less than 10% each. Of the
loans acquired, Redwood acquired approximately 3.53% of the
mortgage loans by stated principal balance from the Federal Home
Loan Bank of Chicago (FHLB Chicago), which were originated by
various participating financial institution originators. 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, which we believe to be an
aggregator of prime jumbo residential mortgages that is stronger
than its peers. As of the June 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. We 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.
Moody's believes there is a low likelihood that the rated
securities of SEMT 2017-5 will incur any losses from extraordinary
expenses or indemnification payments owing to potential future
lawsuits against key deal parties. First, the loans are prime
quality and were originated under a regulatory environment that
requires tighter controls for originations than pre-crisis, which
reduces the likelihood that the loans have defects that could form
the basis of a lawsuit. Second, Redwood, who initially retains the
subordinate classes and provides a back-stop to the representations
and warranties of all the originators except for FRB, has a strong
alignment of interest with investors, and is incentivized to
actively manage the pool to optimize performance. Third, historical
performance of loans aggregated by Redwood has been very strong to
date. Fourth, the transaction has reasonably well defined processes
in place to identify loans with defects on an ongoing basis. In
this transaction, an independent breach reviewer must review loans
for breaches of representations and warranties when a loan becomes
120 days delinquent, which reduces the likelihood that parties will
be sued for inaction.
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 1.25% 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 551 loans, the TPR firm conducted a
review for credit, property valuation, compliance and data
integrity ("full review") and limited review for 91 First Republic
loans. For the remaining 91 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
limited review loans. Therefore, there is a possibility that some
of these loans could have unresolved TRID issues. We, however
reviewed the initial compliance findings of loans from the same
originator where a full review was conducted and there were no
material compliance findings. As a result, we did not increase
Moody's Aaa loss for the limited review loans.
After a review of the TPR appraisal findings, we found the
exceptions to be minor in nature and did not pose a material
increase in the risk of loan loss. We note that there are four
escrow holdback loans 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. Given that the small number of
such loans and that the seller has the obligation to repurchase, we
did not make an adjustment for these 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 Cl. A-IO1, Cl. A-IO2,
Cl. A-IO3, Cl. A-IO4, Cl. A-IO5, Cl. A-IO6, Cl. A-IO7, Cl. A-IO8,
Cl. A-IO9, Cl. A-IO10, Cl. A-IO11, Cl. A-IO12, Cl. A-IO13, Cl.
A-IO14, Cl. A-IO15, Cl. A-IO16, Cl. A-IO17, Cl. A-IO18, Cl. A-IO19,
Cl. A-IO20, Cl. A-IO21, Cl. A-IO22, Cl. A-IO23, Cl. A-IO24, Cl.
A-IO25, was "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" published in June 2017.
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.
TCI-CENT 2017-1: Moody's Assigns Ba3(sf) Rating to Class D Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by TCI-Cent CLO 2017-1 Ltd.
Moody's rating action is:
US$1,200,000 Class X Amortizing Senior Secured Floating Rate Notes
due 2030 (the "Class X Notes"), Assigned Aaa (sf)
US$320,000,000 Class A-1 Senior Secured Floating Rate Notes due
2030 (the "Class A-1 Notes"), Assigned Aaa (sf)
US$56,000,000 Class A-2 Senior Secured Floating Rate Notes due 2030
(the "Class A-2 Notes"), Assigned Aa2 (sf)
US$34,000,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class B Notes"), Assigned A2 (sf)
US$30,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class C Notes"), Assigned Baa3 (sf)
US$20,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class D 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, 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.
TCI-Cent 2017-1 is a managed cash flow CLO. The issued notes will
be collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90% of the portfolio must consist
of senior secured loans (including participations), and up to 10%
of the portfolio may consist of non-senior secured loans. The
portfolio is approximately 70% ramped as of the closing date.
TCI Capital Management LLC (the "Manager") and Columbia Management
Investment Advisers, LLC (the "Sub-Advisor") 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 and Sub-Advisor may
reinvest unscheduled principal payments and proceeds from sales of
credit risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in October 2016.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2875
Weighted Average Spread (WAS): 3.65%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 9 years.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
October 2016.
Factors That Would Lead to 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 and Sub-Advisor'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 2875 to 3306)
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: -1
Class D Notes: 0
Percentage Change in WARF -- increase of 30% (from 2875 to 3738)
Rating Impact in Rating Notches
Class X Notes: 0
Class A-1 Notes: -1
Class A-2 Notes: -3
Class B Notes: -4
Class C Notes: -2
Class D Notes: -1
TOWD POINT 2017-3: DBRS Finalizes Prov. B Rating on Cl. B2 Debt
---------------------------------------------------------------
DBRS, Inc. finalized the provisional ratings on the Asset Backed
Securities, Series 2017-3 (the Notes) issued by Towd Point Mortgage
Trust 2017-3 (the Trust):
-- $514.3 million Class A1 at AAA (sf)
-- $49.3 million Class A2 at AA (sf)
-- $47.4 million Class M1 at A (sf)
-- $37.3 million Class M2 at BBB (sf)
-- $30.3 million Class B1 at BB (sf)
-- $22.5 million Class B2 at B (sf)
-- $563.6 million Class A3 at AA (sf)
-- $610.9 million Class A4 at A (sf)
Classes A3 and A4 are exchangeable notes. These classes can be
exchanged for combinations of exchange notes as specified in the
offering documents.
The AAA (sf) ratings on the Notes reflect the 33.75% of credit
enhancement provided by subordinated Notes in the pool. The AA
(sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect credit
enhancement of 27.40%, 21.30%, 16.50%, 12.60% and 9.70%,
respectively.
Other than the specified classes above, DBRS does not rate any
other classes in this transaction.
This transaction is a securitization of a portfolio of seasoned
performing and re-performing first-lien residential mortgages. The
Notes are backed by 4,904 loans with a total principal balance of
$776,257,838 as of the Cut-Off Date (June 30, 2017).
As of the Statistical Calculation Date (May 31, 2017), the
portfolio contains 4,936 loans with a total principal balance of
$784,327,823. All of the following statistics regarding the
mortgage loans are based on the Statistical Calculation Date. The
portfolio contains 85.2% modified loans. The modifications happened
more than two years ago for 82.7% of the modified loans. Within the
pool, 972 mortgages have non-interest-bearing deferred amounts,
which equates to 5.6% of the total principal balance. The loans are
approximately 123 months seasoned. All loans (100.0%) were current
as of the Statistical Calculation Date, including 0.7%
bankruptcy-performing loans. Approximately 71.3% of the mortgage
loans have been zero times 30 days delinquent for at least the past
24 months under the Mortgage Bankers Association delinquency
method. In accordance with the Consumer Financial Protection Bureau
Qualified Mortgage (QM) rules, 3.6% of the loans are designated as
QM Safe Harbor, less than 0.1% as QM Rebuttable Presumption and
0.9% as non-QM. Approximately 95.4% of the loans are not subject to
the QM rules.
FirstKey Mortgage, LLC (FirstKey) will acquire the loans from
various transferring trusts on or prior to the Closing Date. The
transferring trusts acquired the mortgage loans between 2013 and
2017 and are beneficially owned by funds managed by affiliates of
Cerberus Capital Management, L.P.. Upon acquiring the loans from
the transferring trusts, FirstKey, through a wholly owned
subsidiary, Towd Point Asset Funding, LLC (the Depositor), will
contribute loans to the Trust. As the Sponsor, FirstKey, through a
majority-owned affiliate, will acquire and retain a 5% eligible
vertical interest in each class of securities to be issued (other
than any residual certificates) to satisfy the credit risk
retention requirements. These loans were originated and previously
serviced by various entities through purchases in the secondary
market. As of the Closing Date, all loans will be serviced by
Select Portfolio Servicing, Inc.
There will not be any advancing of delinquent principal or interest
on any mortgages by the servicer or any other party to the
transaction; however, the servicer is obligated to make advances in
respect of homeowner association fees, taxes and insurance,
reasonable costs and expenses incurred in the course of servicing
and disposing of properties.
FirstKey, as the Asset Manager, has the option to sell certain
non-performing loans or real estate owned (REO) properties to
unaffiliated third parties individually or in bulk sales. The asset
sale price has to equal a minimum reserve amount to maximize
liquidation proceeds of such loans or properties. The minimum
reserve amount equals the product of 60.08% and the then-current
principal amount of the mortgage loans or REO properties. In
addition, on the payment date when the aggregate pool balance of
the mortgage loans is reduced to 30% of the Cut-Off Date balance,
the holders of more than 50% of the Class X Certificates will have
the option to cause the Issuer to sell all of its remaining
property (other than amounts in the Breach Reserve Account) to one
or more third-party purchasers as long as the aggregate proceeds
meets a minimum price.
The transaction employs a sequential-pay cash flow structure.
Principal proceeds can be used to cover interest shortfalls on the
Notes, but such shortfalls on Class M1 and more subordinate bonds
will not be paid until the more senior classes are retired.
The lack of principal and interest advances on delinquent mortgages
may increase the possibility of periodic interest shortfalls to the
Noteholders; however, principal proceeds can be used to pay
interest to the Notes sequentially and subordination levels are
greater than expected losses, which may provide for timely payment
of interest to the rated Notes.
The ratings reflect transactional strengths that include underlying
assets that generally performed well through the crisis, a strong
servicer and Asset Manager oversight. Additionally, a satisfactory
third-party due diligence review was performed on the portfolio
with respect to regulatory compliance, payment history and data
capture, as well as title and tax reviews. Servicing comments were
reviewed for a sample of loans. Updated broker price opinions or
exterior appraisals were provided for 100.0% of the pool; however,
a reconciliation was not performed on the updated values.
The transaction employs a relatively weak representations and
warranties (R&W) framework that includes a 13-month sunset, an
unrated representation provider (FirstKey), 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; and (3)
a strong R&W enforcement mechanism, including delinquency review
trigger and breach reserve accounts.
The DBRS ratings of AAA (sf) and AA (sf) address the timely payment
of interest and full payment of principal by the legal final
maturity date in accordance with the terms and conditions of the
related Notes. The DBRS ratings of A (sf), BBB (sf), BB (sf) and B
(sf) address the ultimate payment of interest and full payment of
principal by the legal final maturity date in accordance with the
terms and conditions of the related Notes.
VENTURE 28A: Moody's Assigns Ba3(sf) Rating to Class E Notes
------------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
notes issued by Venture 28A CLO, Limited.
Moody's rating action is:
US$164,736,000 Class A-1 Senior Secured Floating Rate Notes due
2029 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf)
US$105,264,000 Class A-2 Senior Secured Floating Rate Notes due
2029 (the "Class A-2 Notes"), Definitive Rating Assigned Aaa (sf)
US$5,264,000 Class B-1 Senior Secured Floating Rate Notes due 2029
(the "Class B-1 Notes"), Definitive Rating Assigned Aa2 (sf)
US$42,536,000 Class B-F Senior Secured Fixed Rate Notes due 2029
(the "Class B-F Notes"), Definitive Rating Assigned Aa2 (sf)
US$13,868,000 Class C-1 Mezzanine Secured Deferrable Floating Rate
Notes due 2029 (the "Class C-1 Notes"), Definitive Rating Assigned
A2 (sf)
US$12,632,000 Class C-F Mezzanine Secured Deferrable Fixed Rate
Notes due 2029 (the "Class C-F Notes"), Definitive Rating Assigned
A2 (sf)
US$23,300,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2029 (the "Class D Notes"), Definitive Rating Assigned
Baa3 (sf)
US$20,500,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2029 (the "Class E Notes"), Definitive Rating Assigned Ba3
(sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B-1 Notes, the
Class B-F Notes, the Class C-1 Notes, the Class C-F Notes, the
Class D Notes and the Class E Notes are referred to herein,
collectively, as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
Venture 28A 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, first-lien
last-out loans and unsecured loans. The portfolio is approximately
80% ramped as of the closing date.
MJX Venture Management II LLC (the "Manager"), a relying adviser on
MJX Asset Management LLC, will direct the selection, acquisition
and disposition of the assets on behalf of the Issuer and may
engage in trading activity, including discretionary trading, during
the transaction's four year reinvestment period. Thereafter, the
Manager may reinvest unscheduled principal payments and proceeds
from sales of credit risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer 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: $422,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2775
Weighted Average Spread (WAS): 3.70%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 45.0%
Weighted Average Life (WAL): 8.25 years.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
October 2016.
Factors That Would Lead to 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 2775 to 3191)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2 Notes: 0
Class B-1 Notes: -1
Class B-F Notes: -1
Class C-1 Notes: -2
Class C-F 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 A-1 Notes: -1
Class A-2 Notes: -1
Class B-1 Notes: -3
Class B-F Notes: -3
Class C-1 Notes: -4
Class C-F Notes: -4
Class D Notes: -2
Class E Notes: -1
VENTURE VIII: Moody's Hikes Rating on Class E Notes to Ba2(sf)
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Venture VIII CDO, Limited:
US$50,000,000 Class C Deferrable Mezzanine Notes Due 2021, Upgraded
to Aaa (sf); previously on April 17, 2017 Upgraded to Aa1 (sf)
US$32,500,000 Class D Deferrable Mezzanine Notes Due 2021, Upgraded
to A2 (sf); previously on April 17, 2017 Upgraded to Baa2 (sf)
US$24,000,000 Class E Deferrable Junior Notes Due 2021, Upgraded to
Ba2 (sf); previously on April 17, 2017 Upgraded to Ba3 (sf)
Moody's also affirmed the ratings on the following notes:
US$106,250,000 Class A-1A Senior Revolving Notes Due 2021 (current
balance of $12,455,237), Affirmed Aaa (sf); previously on April 17,
2017 Affirmed Aaa (sf)
US$4,500,000 Class A-1B Senior Notes Due 2021, Affirmed Aaa (sf);
previously on April 17, 2017 Affirmed Aaa (sf)
US$429,075,000 Class A-2A Senior Notes Due 2021 (current balance of
$25,312,895), Affirmed Aaa (sf); previously on April 17, 2017
Affirmed Aaa (sf)
US$47,675,000 Class A-2B Senior Notes Due 2021, Affirmed Aaa (sf);
previously on April 17, 2017 Affirmed Aaa (sf)
US$50,000,000 Class A-3 Senior Notes Due 2021 (current balance of
$7,654,735), Affirmed Aaa (sf); previously on April 17, 2017
Affirmed Aaa (sf)
US$46,500,000 Class B Senior Notes Due 2021, Affirmed Aaa (sf);
previously on April 17, 2017 Affirmed Aaa (sf)
Venture VIII CDO, Limited, issued in June 2007, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans. The transaction's reinvestment period ended in July
2014.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since April 2017. Since that
time, the Class A-1A, A-2A, and A-3 notes have been paid down by
approximately 66.3%, 80.6% and 59.1%, respectively, or $24.5
million, $105.3 million or $11.0 million, respectively. Based on
Moody's calculation, the OC ratios for the Class A/B, Class C,
Class D and Class E notes are currently 190.99%, 141.79%, 121.45%,
and 109.82%, respectively, versus April 2017 levels of 146.68%,
124.78%, 113.74% and 106.77%, respectively.
Additionally, the deal has benefited from an improvement in the
credit quality of the portfolio since April 2017. Based on Moody's
calculation, the weighted average rating factor (WARF) is currently
3167 compared to 3345 in April 2017.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
October 2016.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy and b)
the large concentration of upcoming speculative-grade debt
maturities, which could make refinancing difficult for issuers.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO documentation
by different transactional parties owing to embedded ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current expectations,
can lead to positive CLO performance. Conversely, a negative shift
in credit quality or performance of the collateral can have adverse
consequences for CLO performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging of the CLO
could accelerate owing to high prepayment levels in the loan market
and/or collateral sales by the manager, which could have a
significant impact on the notes' ratings. Note repayments that are
faster than Moody's current expectations will usually have a
positive impact on CLO notes, beginning with those with the highest
payment priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets reported by the trustee and those that Moody's
assumes as having defaulted could result in volatility in the
deal's OC levels. Further, the timing of recoveries and whether a
manager decides to work out or sell defaulted assets create
additional uncertainty. Moody's analyzed defaulted recoveries
assuming the lower of the market price and the recovery rate in
order to account for potential volatility in market prices.
Realization of higher than assumed recoveries would positively
impact the CLO.
6) Long-dated assets: The presence of assets that mature after the
CLO's legal maturity date exposes the deal to liquidation risk on
those assets. This risk is borne first by investors with the lowest
priority in the capital structure. Moody's assumes that the
terminal value of an asset upon liquidation at maturity will be
equal to the lower of an assumed liquidation value (depending on
the extent to which the asset's maturity lags that of the
liabilities) or the asset's current market value.
7) 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 particular, Moody's tested for a
possible extension of the actual weighted average life in its
analysis given that the post-reinvestment period reinvesting
criteria has loose restrictions on the weighted average life of the
portfolio.
8) Exposure to assets with low credit quality and weak liquidity:
The presence of assets rated Caa3 with a negative outlook, Caa2 or
Caa3 on review for downgrade or the worst Moody's speculative grade
liquidity (SGL) rating, SGL-4, exposes the notes to additional
risks if these assets default. The historical default rate is
higher than average for these assets. Due to the deal's exposure to
such assets, which constitute around $1.6 million of par, Moody's
ran a sensitivity case defaulting those assets.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Moody's Adjusted WARF -- 20% (2534)
Class A-1A: 0
Class A-1B: 0
Class A-2A: 0
Class A-2B: 0
Class A-3: 0
Class B: 0
Class C: 0
Class D: +3
Class E: +2
Moody's Adjusted WARF + 20% (3800)
Class A-1A: 0
Class A-1B: 0
Class A-2A: 0
Class A-2B: 0
Class A-3: 0
Class B: 0
Class C: 0
Class D: -2
Class E: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analyzed the collateral pool as having a performing par and
principal proceeds balance of $267.9 million, defaulted par of
$25.6 million, a weighted average default probability of 15.95%
(implying a WARF of 3167), a weighted average recovery rate upon
default of 47.45%, a diversity score of 61 and a weighted average
spread of 3.79% (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.
VERUS SECURITIZATION 2017-2: S&P Assigns BB- Rating on B-3 Certs
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Verus Securitization
Trust 2017-2's $234.852 million mortgage pass-through
certificates.
The certificate issuance is a residential mortgage-backed
securities transaction backed by first-lien, fixed- and
adjustable-rate fully amortizing and interest-only residential
mortgage loans, as well as some five-year balloon loans, secured by
single-family residential properties, planned-unit developments,
condominiums, and two- to four-family residential properties to
both prime and nonprime borrowers. The pool has 592 loans, which
are primarily non-qualified mortgage loans.
The ratings reflect:
-- The pool's collateral composition;
-- The credit enhancement provided for this transaction;
-- The transaction's associated structural mechanics;
-- The representation and warranty framework for this transaction;
and
-- The mortgage aggregator.
RATINGS ASSIGNED
Verus Securitization Trust 2017-2
Class Rating(i) Interest Amount
rate (%)(ii) (mil. $)
A-1 AAA (sf) 2.485 153,756,000
A-2 AA (sf) 2.640 15,062,000
A-3 A (sf) 2.845 32,896,000
B-1 BBB-(sf) 3.700 22,413,000
B-2 BB (sf) 4.645 5,061,000
B-3 BB- (sf) Net WAC 5,663,677
B-4 NR Net WAC 6,145,326
A-IO-S NR (v) Notional(iii)
XS NR (vi) Notional(iv)
P NR (vii) 100
R NR N/A N/A
(i)Interest can be deferred on the classes; the ratings assigned to
the classes address the ultimate payment of interest and principal.
(ii)Coupons are subject to the pool's net WAC rate. Coupons on
classes B-3 and B-4 equal the pool's net WAC rate.
(iii)Notional amount is equal to the loans' stated principal
balance.
(iv)Notional amount equals the aggregate balance of the class A-1,
A-2, A-3, B-1, B-2, B-3, B-4, and P certificates.
(v)Excess servicing strip plus excess prepayment strip minus
compensating interest.
(vi)Certain excess amounts per the pooling and servicing agreement.
(vii)Prepayment premiums during the related prepayment period.
WAC--Weighted average coupon.
N/A--Not applicable.
NR--Not rated.
WELLS FARGO 2010-C1: Fitch Affirms 'Bsf' Rating on Class F Certs
----------------------------------------------------------------
Fitch Ratings has affirmed eight classes of Wells Fargo Bank N.A.'s
commercial mortgage pass-through certificates series 2010-C1.
KEY RATING DRIVERS
Stable Overall Pool Performance: The transaction continues to
perform as expected. There is one specially serviced loan (0.6%)
and no realized losses to date. Fitch Loans of Concern comprise
6.7% of the pool, and include two top 15 loans with upcoming tenant
rollover.
Paydown and Defeasance: The transaction has paid down 16.3% since
issuance. Defeased collateral represents 34.7% of the pool.
Pool Concentration: The top 15 represent 78.2% of the pool; 29.7%
is collateralized by retail properties, the largest of which, The
Salmon Run Mall (7.7%) has exposure to JC Penney and Sears.
Maturity Schedule: All loans are scheduled to mature in 2020.
RATING SENSITIVITIES
Rating Outlooks for classes A-1 through E remain Stable reflect the
stable performance of the pool and continued amortization. Rating
upgrades may be limited due to the pool's concentration; the top 15
represents 78.2% of the pool and 29.7% of the pool is
collateralized by retail properties. Additionally limited paydown
is expected in the near term as all remaining 35 loans mature in
2020. The Negative Outlook for class F reflects an increase in loss
expectations with respect to loans within the top 15. There is
significant tenant rollover (greater than 20%) in 2018 at four
properties in the top 15. Rating downgrades to the classes are
possible should overall pool performance decline.
Fitch has affirmed the following ratings and revised Outlooks as
indicated:
-- $42.2 million class A-1 at 'AAAsf'; Outlook Stable;
-- $443.3 million class A-2 at 'AAAsf'; Outlook Stable;
-- $485.4 million class X-A* at 'AAAsf'; Outlook Stable;
-- $22.1 million class B at 'AAsf'; Outlook to Stable from
Positive;
-- $31.3 million class C at 'Asf'; Outlook to Stable from
Positive;
-- $34 million class D at 'BBBsf'; Outlook Stable;
-- $13.8 million class E at 'BBB-sf'; Outlook Stable;
-- $12.9 million class F at 'Bsf'; Outlook to Negative from
Stable.
* Interest only.
Fitch does not rate the $16,557,805 class G certificates or the
$130,617,805 interest only class X-B.
WESTLAKE AUTOMOBILE 2017-2: DBRS Gives Prov. BB Rating on E Debt
----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes issued by Westlake Automobile Receivables Trust 2017-2:
-- $187,300,000 Class A-1 at R-1 (high) (sf)
-- Class A-2-A at AAA (sf) *
-- Class A-2-B at AAA (sf) *
-- $65,480,000 Class B at AA (sf)
-- $86,560,000 Class C at A (sf)
-- $71,510,000 Class D at BBB (sf)
-- $36,130,000 Class E at BB (sf)
* The combination of Classes A-2-A and A-2-B is expected to equal
$253.02 million.
The provisional ratings are based on DBRS's review of the following
analytical considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- The 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 rating
addresses the timely payment of interest on a monthly basis
and principal by the legal final maturity date for each class.
-- The credit quality of the collateral and performance of the
auto loan portfolio by origination channels.
-- The capabilities of Westlake Services, LLC (Westlake) with
regards to originations, underwriting and servicing.
-- The quality and consistency of provided historical static pool
data for Westlake originations and performance of the Westlake
auto loan portfolio.
-- Wells Fargo Bank, N.A. (rated AA (high) (Negative)/R-1 (high)
(Stable) by DBRS) has served as a backup servicer for Westlake
since 2003, when a conduit facility was put in place.
-- The legal structure and presence of legal opinions that will
address the true sale of the assets to the Issuer, the non-
consolidation of the special-purpose vehicle with Westlake,
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.
The collateral securing the notes consists entirely of a pool of
retail automobile contracts secured by predominantly used vehicles
that typically have high mileage. The loans are primarily made to
obligors who are categorized as subprime, largely because of their
credit history and credit scores.
The ratings on the Class A Notes reflect the 42.50% of initial hard
credit enhancement provided by the subordinated notes in the pool,
the Reserve Account (1.00%) and overcollateralization (7.00%). The
ratings on the Class B, Class C, Class D and Class E Notes reflect
33.80%, 22.30%, 12.80% and 8.00% of initial hard credit
enhancement, respectively. Additional credit support may be
provided from excess spread available in the structure.
WESTLAKE AUTOMOBILE 2017-2: S&P Gives Prelim BB Rating on E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Westlake
Automobile Receivables Trust 2017-2's $700.00 million automobile
receivables-backed notes series 2017-2.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The preliminary ratings are based on information as of July 27,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The availability of approximately 48.16%, 41.70%,
32.38%,25.13%, and 21.92% credit support for the class A, B, C, D,
and E notes, respectively, based on stressed cash flow scenarios
(including excess spread). These provide approximately 3.50x,
3.00x, 2.30x, 1.75x, and 1.50x, respectively, of S&P's
13.25%-13.75% expected cumulative net loss range.
-- The transaction's ability to make timely interest and principal
payments under stressed cash flow modeling scenarios appropriate
for the assigned preliminary ratings.
-- S&P's expectation that under a moderate ('BBB') stress
scenario, all else being equal, for the transaction's life S&P's
ratings on the class A and B notes would not be lowered from the
assigned preliminary ratings, our rating on the class C notes would
remain within one rating category of the assigned preliminary
rating, and our rating on the class D notes would remain within two
rating categories of the assigned preliminary rating. S&P's rating
on the class E notes would remain within two rating categories of
the assigned preliminary rating over one year, but would ultimately
default at month 61, which is within the bounds of our credit
stability criteria (see "Methodology: Credit Stability Criteria,"
published May 3, 2010).
-- The collateral characteristics of the securitized pool of
subprime automobile loans.
-- The originator/servicer's long history in the
subprime/specialty auto finance business.
-- S&P's analysis of approximately 10 years (2006-2016) of static
pool data on the company's lending programs.
-- The transaction's payment, credit enhancement, and legal
structures.
PRELIMINARY RATINGS ASSIGNED
Westlake Automobile Receivables Trust 2017-2
Class Rating Type Interest Amount
rate(i) (mil. $)
A-1 A-1+ (sf) Senior Fixed 187.30
A-2-A/A-2-B AAA (sf) Senior Fixed/floating(ii) 253.02
B AA (sf) Subordinate Fixed 65.48
C A (sf) Subordinate Fixed 86.56
D BBB (sf) Subordinate Fixed 71.51
E BB (sf) Subordinate Fixed 36.13
(i) The interest rate for each class will be determined on the
pricing date.
(ii) The sizes of classes A-2-A and A-2-B will be determined at
pricing, and class A-2-B will be a maximum of 50% of the overall
class. The class A-2-B coupon will be expressed as a spread tied to
one-month LIBOR.
[*] S&P Takes Various Actions on 55 Classes From 23 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 55 classes from 23 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2001 and 2007. All of these transactions are backed by RMBS
second-lien high loan-to-value (LTV), RMBS closed-end second-lien,
or RMBS home equity line of credit (HELOC) collateral. The review
yielded 29 upgrades, two downgrades, 23 affirmations, and one
discontinuance.
Analytical Considerations
S&P said, "We incorporate various considerations into our decisions
to raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by our 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;
-- Increased risk of interest shortfalls at higher rating
categories;
-- Priority of principal payments; and
-- Available subordination and/or overcollateralization.
Rating Actions
Please see the ratings list for the rationales for classes with
rating transitions. 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 five raised ratings from CWHEQ Revolving Home Equity Loan
Trust, Series 2007-G reflect an increase in credit support
resulting from the Bank of America settlement in June 2016. The
settlement funds were allocated as principal to senior class A, and
junior classes which had previously experienced write-downs were
written up, resulting in zero net write-downs. Ultimately, credit
support, in the form of subordination, increased significantly.
Therefore, these classes are able to withstand a higher level of
projected losses than previously anticipated.
The remaining 24 raised ratings also reflect an increase in credit
support, which is attributed to failing triggers locking out or
limiting subordinate classes' principal allocation, significant
excess interest availability, and/or increasing
overcollateralization. As a result, the upgrades on these classes
reflect the classes' ability to withstand a higher level of
projected losses than previously anticipated.
S&P said, "We discontinued our rating on class B-1 from Irwin Whole
Loan Home Equity Trust 2003-D, which was paid in full during the
remittance period on June 2017.
"Generally, ratings are limited on second-lien transactions at the
liquidity cap of 'A+ (sf)' due to the higher likelihood of interest
shortfalls resulting from the lack of servicer advancing at higher
rating categories. Our criteria "U.S. Second-Lien (Including HELOC,
Closed-End, And HCLTV) RMBS Surveillance Credit And Cash Flow
Analysis For Pre-2009 Originations," published March 12, 2013,
provides situations where we can rate above the liquidity cap. The
criteria states we may assign a rating above 'A+ (sf)' if the
following two conditions are met: Our forward-looking projection at
the applicable rating level indicates the security will be paid in
full within 12-24 months, and the transaction benefits from hard
credit enhancement (i.e., not counting excess spread) that is equal
to at least 2x the level of total credit enhancement needed to
support a 'AA' or 'AAA' rating for that transaction; if such a
security is projected to be paid in full in less than one year, it
would need to have hard credit enhancement equal to at least 1.5x
the level of credit enhancement needed to support a 'AA' or 'AAA'
rating."
The collateral pool performance trend is not deteriorating.
A list of the Affected Ratings is available at:
http://bit.ly/2uO2zdu
[*] S&P Takes Various Actions on 59 Classes From 3 US RMBS Deals
----------------------------------------------------------------
S&P Global Ratings completed its review of 59 classes from three
U.S. residential mortgage-backed securities (RMBS) resecuritized
real estate mortgage investment conduit (re-REMIC) transactions
issued between 2004 and 2009. All of these transactions are backed
by a mix of fixed- and adjustable-rate prime, Alternative-A, and
option adjustable-rate mortgage (ARM) loans, which are secured
primarily by first liens on one- to four-family residential
properties. The review yielded 18 upgrades, six downgrades, 34
affirmations, and one discontinuance.
Analytical Considerations
S&P said, "We incorporate various considerations into our decisions
to raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by our 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:
-- Underlying collateral performance/delinquency trends;
-- Expected short duration; and
-- Available subordination and/or overcollateralization.
Rating Actions
Please see the ratings list for the rationales for classes with
rating transitions. 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 upgrades of classes 7-A1, 8-A1, 8-A2, 12-A1, and 13-A2 from
Jefferies Resecuritization Trust 2009-R4 reflect increased credit
support and the classes' ability to withstand a higher level of
projected losses than previously anticipated. The increased credit
support is driven by realized payments as part of Bank of America
Corp.'s $8.5 billion settlement with certain Countrywide RMBS
investors. In the June 2016 remittance period, the underlying
classes were allocated subsequent recoveries and/or unscheduled
principal payments as part of this settlement (see "Countrywide
RMBS Suit Is Closer To Resolution, But Loose Ends Remain,"
published Feb. 11, 2014, and "Various Rating Actions Taken On 625
Classes From 110 RMBS Transactions Re: BoA Settlement," published
Sept. 30, 2016).
The downgrade on class A-4 from Residential Asset Securitization
Trust 2004-R1 reflects the impact of an annual tax that is stripped
from the available principal funds that would otherwise be
distributable to the certificateholders. According to the trustee,
Deutsche Bank National Trust Co., the trust is obligated to pay
$1,600 annually because of a California state tax on two REMICs,
the master and subsidiary REMICs, in the transaction. S&P believes
these tax payments will cause class A-4 to have insufficient
collateral funds to pay its principal in full.
A list of the Affected Ratings is available at:
http://bit.ly/2vj3Yfl
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
TCR subscribers have free access to our on-line news archive.
Point your Web browser to http://TCRresources.bankrupt.com/and use
the e-mail address to which your TCR is delivered to login.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman,
Editors.
Copyright 2017. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The TCR subscription rate is $975 for 6 months delivered via
e-mail. Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each. For subscription information, contact Peter A.
Chapman at 215-945-7000 or Nina Novak at 202-362-8552.
*** End of Transmission ***