/raid1/www/Hosts/bankrupt/TCR_Public/171001.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, October 1, 2017, Vol. 21, No. 273
Headlines
ACIS CLO 2014-4: S&P Affirms B+ Rating on Class F Notes
AIRCRAFT LEASE: Fitch Affirms 'BBsf' Rating on Class C Notes
APEX CREDIT 2017-II: Moody's Assigns Ba3 Rating to Class E Notes
ATTENTUS CDO I: Moody's Hikes Rating on Class A-2 Notes to Ba3
BANC OF AMERICA 2004-1: Fitch Lowers Class H Certs Rating to CCC
BATTALION CLO XI: S&P Assigns BB(sf) Rating on $590MM Cl. D Notes
BAYVIEW KOITERE 2017-RT4: Fitch to Rate Class B5 Notes 'Bsf'
BEAR STEARNS 2006-PWR13: Fitch Hikes Class B Debt Rating to BBsf
BEAR STEARNS 2006-TOP24: Fitch Hikes Rating on A-J Certs From CCC
BLUEMOUNTAIN FUJI II: S&P Assigns BB-(sf) Ratings on Class D Notes
CATAMARAN CLO 2014-1: S&P Affirms Bsf Rating on Class E Notes
CENT CLO 16: S&P Affirms BB(sf) Rating on Class D-R Notes
CFG INVESTMENTS 2017-1: S&P Assigns Prelim BB Rating on Cl. B Notes
COMM 2010-C1: Moody's Affirms B1(sf) Rating on Class G Certs
CONN'S RECEIVABLES 2016-B: Fitch Affirms B Rating on Class C Notes
CREDIT SUISSE 2007-C2: Moody's Hikes Cl. A-J Certs Rating to B1
CSAIL 2015-C4: Fitch Affirms 'B-sf' Rating on 2 Tranches
DIAMOND RESORTS 2017-1: S&P Gives Prelim BB Rating on Class C Notes
DLJ COMMERCIAL 1999-CG2: Moody's Affirms C Rating on Class S Certs
FINN SQUARE: S&P Affirms BB(sf) Rating on Class D Notes
FREDDIE MAC 2017-3: Fitch to Rate Class M-2 Notes 'B-sf'
GARRISON FUNDING 2015-1: Moody's Assigns B2 Rating to Cl. E-R Notes
GE COMMERCIAL 2004-C2: Fitch Affirms 'BBsf' Rating on Cl. M Certs
GILBERT PARK: Moody's Assigns Prov. Ba3 Rating to Class E Notes
GLM LLC 2015-1: Moody's Assigns Ba1(sf) Rating to Class D Notes
GREAT WOLF 2017-WOLF: S&P Gives Prelim B Rating on Class F Certs
GS MORTGAGE 2014-GC20: Fitch Affirms 'BB-sf' Rating on 2 Tranches
GUGGENHEIM PDFNI 2: Fitch Assigns 'Bsf' Rating to Class D Notes
HARBOR SPC 2006-2: S&P Lowers Ratings on 4 Tranches to 'D(sf)'
JAMESTOWN CLO II: S&P Affirms BB(sf) Rating on Class D Notes
JP MORGAN 2014-C24: Fitch Affirms 'Bsf' Rating on Class X-D Notes
KCAP F3C: S&P Assigns Prelim BB-(sf) Rating on Class E Notes
MADISON PARK XXVI: S&P Assigns B- Rating on Class F-R Notes
MCF CLO IV: S&P Assigns Prelim BB-(sf) Rating on Class E-R Notes
MORGAN STANLEY 2001-TOP3: Fitch Affirms BB Rating on Class E Certs
MORGAN STANLEY 2003-TOP11: Moody's Hikes Class H Debt Rating to B1
MORGAN STANLEY 2004-TOP13: Fitch Hikes Rating on Cl. O Certs to CC
MORGAN STANLEY 2007-IQ15: S&P Affirms CCC Rating on Class B Certs
MORGAN STANLEY 2015-C26: Fitch Affirms B-sf Rating on Cl. F Certs
N-STAR REAL V: Fitch Cuts & Withdraws 'Dsf' Ratings on 4 Tranches
NATIONAL COLLEGIATE 2006-A: Fitch Hikes Rating on Cl. B Debt to BB
NATIONAL COLLEGIATE: Fitch Puts 17 Tranches on Rating Watch Neg.
NATIONSTAR 2017-2: Moody's Gives Prov. Ba3 Rating to Cl. M2 Debt
PARK AVENUE: S&P Assigns Prelim. BB-(sf) Rating on Class D Notes
PREFERRED TERM XXIII: Moody's Hikes Ratings on 3 Tranches to Ba1
REGATTA FUNDING VIII: Moody's Rates Class E Notes 'Ba3'
SEQUOIA MORTGAGE 2017-7: Moody's Gives (P)Ba3 Rating to B-4 Certs
STONEMONT PORTFOLIO 2017-STONE: S&P Rates Class F Certs 'B-'
TRUPS FINANCIALS 2017-2: Moody's Gives Prov. Ba2 Rating to B Debt
UBS COMMERCIAL 2017-C4: Fitch to Rate Class F Certs 'B-sf'
UBS COMMERCIAL 2017-C4: S&P Gives Prelim B- Ratings on 2 Tranches
WELLFLEET CLO 2017-2: Moody's Assigns Ba3 Rating to Class D Notes
WELLS FARGO 2015-NXS4: Fitch Affirms B-sf Rating on Class X-G Certs
[*] Fitch Downgrades 61 Distressed Bonds in 46 RMBS Deals to 'Dsf'
[*] Moody's Takes Action on $89.7MM of Alt-A RMBS Issued in 2004
[*] S&P Completes Review on 74 Classes From 15 US RMBS Deals
[*] S&P Discontinues Ratings on 13 Classes From Four CDO Deals
[*] S&P Takes Various Actions on 38 Classes From 4 US RMBS Deals
[*] S&P Takes Various Actions on 56 Classes From 11 US RMBS Deals
*********
ACIS CLO 2014-4: S&P Affirms B+ Rating on Class F Notes
-------------------------------------------------------
S&P Global Ratings affirmed its ratings on the class A, B, C, D, E,
F, and combination notes from ACIS CLO 2014-4 Ltd., a U.S.
collateralized loan obligation (CLO) transaction that closed in
2014 and is managed by Acis Capital Management L.P.
S&P said, "The rating actions follow our review of the
transaction's performance using data from the Aug. 21, 2017,
trustee report. The transaction is scheduled to remain in its
reinvestment period until June 5, 2019.
"The affirmations of the ratings reflect our belief that the credit
support available is commensurate with the current rating levels.
"Since the time of our last rating action, in connection with the
transaction's effective date in July 2014, the trustee-reported
collateral portfolio's weighted average life has decreased to 4.98
years from 5.36 years. This seasoning decreased the overall credit
risk profile, which, in turn, provided more cushion to the tranche
ratings. In addition, the aggregate number of obligors in the
portfolio increased, which resulted in increased portfolio
diversification.
"The portfolio has had some notable credit improvement since the
transaction's effective date. The par balance of the underlying
collateral rated 'BB-' and above by S&P Global Ratings increased by
approximately $65.00 million since the July 2014 trustee report,
which we used for our effective date rating affirmations."
However, the transaction also experienced an increase in the par
balance of underlying collateral rated 'CCC+' and below.
Specifically, the trustee-reported par amount of collateral rated
'CCC+' and below increased to $22.30 million by August 2017
(representing 4.64% of the aggregate principal balance of the
collateral held in August 2017) from $12.23 million in July 2014
(2.51% of the aggregate principal balance of the collateral held in
July 2014). As of August 2017, the transaction had no exposure to
defaulted collateral.
This increase in lower-rated collateral largely offsets the benefit
to the transaction from the increase in higher-rated collateral.
Because of this, the weighted average rating of the portfolio
remains at 'B+'.
The total par balance (including principal proceeds) of the
collateral backing the rated notes has decreased since the
effective date by $6.76 million. This decrease, 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 since the effective date trustee report:
-- The class A/B O/C ratio decreased to 131.92%, from 133.78%.
-- The class C O/C ratio decreased to 120.96%, from 122.66%.
-- The class D O/C ratio decreased to 112.85%, from 114.45%.
-- The class E O/C ratio decreased to 107.67%, from 109.19%.
-- All coverage tests are currently above their respective minimum
requirements.
The par balance on the combination notes at the transaction's
closing date was $347.60 million and is backed by interest in both
the class A and B notes. Pursuant to the transaction documents, the
combination noteholders may exchange all, or a portion of, their
interests in the combination notes into respective positions in
each of the underlying classes of notes, subject to limitations in
the transaction documents. Due to this feature, the par balance of
the combination notes has decreased to $3.55 million since the
closing date. However, the same noteholders may also exchange all,
or a portion of, their interests in the underlying notes into a
respective position in the combination notes, up to a maximum
allowable par balance of the combination notes of $364.00 million.
Therefore, S&P's cash flow analysis considered this maximum
allowable par balance.
S&P said, "Although our cash flow analysis indicates higher ratings
for the class B, C, D, E, F, and combination notes than today's
rating actions suggest, our rating affirmations consider additional
sensitivity runs that allowed for volatility in the underlying
portfolio given that the transaction is still in its reinvestment
period. Other factors we considered in our rating affirmations
included the decline in O/C ratios due to the par loss in the
underlying collateral, the transaction's increased exposure to
'CCC' rated collateral obligations, as well as drops in the
weighted average recovery and excess spread generated off of the
underlying collateral. Therefore, we limited the upgrade in these
cases to offset future potential credit migration in the underlying
collateral.
"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. 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
ACIS CLO 2014-4 Ltd.
Class Rating
A AAA (sf)
B AA (sf)
C A (sf)
D BBB (sf)
E BB (sf)
F B+ (sf)
Combination AA (sf)
AIRCRAFT LEASE: Fitch Affirms 'BBsf' Rating on Class C Notes
------------------------------------------------------------
Fitch Ratings affirms Aircraft Lease Securitization Limited (ALS)
as follows:
-- Class A notes at 'Asf'; Outlook Stable;
-- Class B notes at 'BBBsf'; Outlook Stable;
-- Class C notes at 'BBsf'; Outlook Stable.
KEY RATING DRIVERS
The affirmation of the class A, B, and C notes reflects performance
within Fitch's expectations to date. Lease and maintenance cash
flows, along with sales proceeds, have been above Fitch's initial
modeled expectations and all classes of notes are paying according
to their expected amortization schedules. In addition, loan to
value (LTV) levels are consistent with those at close.
Assumptions used in Fitch's cash flow modeling scenarios are
unchanged from the initial review of the transaction, with one
exception which is that the starting collateral value of each
aircraft utilized was the average of each of the three appraisers
as opposed to the lower of mean and median.
RATING SENSITIVITIES
Due to the correlation between global economic conditions and the
airline industry, the ratings may be impacted by global
macro-economic or geopolitical factors over the remaining term of
the transaction. Therefore, in its initial rating analysis, Fitch
evaluated various sensitivity scenarios which could affect future
cash flows from the pool and the ratings of the notes.
First, Fitch performed a sensitivity analysis assuming a 10%
decrease to Fitch's lease rate factor (LRF) curve to observe the
impact of depressed lease rates on the pool. This scenario
highlights the effect of increased competition in the aircraft
leasing market, particularly for mid-life aircraft over the past
few years, and stresses the pool to a higher degree by assuming
lease rates well below observed market rates. Under this scenario,
the notes showed little sensitivity and continued to pass their
respective rating scenarios.
Fitch next evaluated a scenario in which aircraft were assumed to
have useful lives of 25 years, versus 20 years used in the primary
rating scenario. This scenario considers the inability of AerCap to
sell aircraft in the pool and ages aircraft further, essentially
running aircraft to part-out scenarios. All the aircraft in the
pool migrate to Tier 3 asset types under this scenario, and
therefore are assumed to have migrated to 'CCC' airline credits, in
addition to exposure to higher levels of depreciation rates and
recessionary value declines. Depending on their age, certain
aircraft are further exposed to more recessionary value declines
under this scenario. Though there is more impact on cash flows, the
notes showed little sensitivity to this scenario, and passed their
respective rating scenarios.
Lastly, Fitch analyzed a scenario in which residual proceeds were
assumed to be 50% of the market value for all aircraft in the pool.
This scenario assumes that AerCap must sell the aircraft for values
far below current and projected market values, indicating a severe
downturn in the aviation industry and/or high oversupply of next
generation aircraft in the pool. This scenario displays a quick,
impactful effect of the 'neo' and 'MAX' introductions on the next
generation aircraft in the pool and their respective values. Fitch
found this scenario to have the most impact on cash flows, but the
class A and B notes continued to pass their respective rating
scenarios. The class C notes suffered the most under this scenario,
which could result in a potential downgrade of one to two rating
categories.
APEX CREDIT 2017-II: Moody's Assigns Ba3 Rating to Class E Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Apex Credit CLO 2017-II, Ltd.
Moody's rating action is:
US$2,500,000 Class X Senior Secured Floating Rate Notes Due 2029
(the "Class X Notes"), Definitive Rating Assigned Aaa (sf)
US$288,000,000 Class A Senior Secured Floating Rate Notes Due 2029
(the "Class A Notes"), Definitive Rating Assigned Aaa (sf)
US$51,750,000 Class B Senior Secured Floating Rate Notes Due 2029
(the "Class B Notes"), Definitive Rating Assigned Aa2 (sf)
US$29,250,000 Class C Secured Deferrable Floating Rate Notes Due
2029 (the "Class C Notes"), Definitive Rating Assigned A2 (sf)
US$22,500,000 Class D Secured Deferrable Floating Rate Notes Due
2029 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf)
US$22,500,000 Class E Secured Deferrable Floating Rate Notes Due
2029 (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 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.
Apex CLO 2017-II is a managed cash flow CLO. The issued notes will
be collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 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, senior unsecured
loans, and first-lien last out loans. The portfolio is required to
be at least 93% ramped as of the closing date.
Apex Credit Partners LLC (the "Manager") will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's four year reinvestment period.
Thereafter, the Manager may reinvest unscheduled principal payments
and proceeds from sales of credit risk assets, subject to certain
restrictions.
In addition to the Rated Notes, the Issuer issued one other class
of subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $450,000,000.00
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2692
Weighted Average Spread (WAS): 3.60%
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
August 2017.
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 2692 to 3096)
Rating Impact in Rating Notches
Class X Notes: 0
Class A Notes: 0
Class B Notes: -1
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2692 to 3500)
Rating Impact in Rating Notches
Class X Notes: 0
Class A Notes: -1
Class B Notes: -3
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
ATTENTUS CDO I: Moody's Hikes Rating on Class A-2 Notes to Ba3
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Attentus CDO I, Ltd.:
US$280,000,000 Class A-1 First Priority Senior Secured Floating
Rating Notes Due May 2036 (current outstanding balance of
$74,611,417.40), Upgraded to Baa1 (sf); previously on February 11,
2015 Upgraded to Baa3 (sf)
US$20,000,000 Class A-2 Second Priority Senior Secured Floating
Rating Notes Due May 2036, Upgraded to Ba3 (sf); previously on
February 11, 2015 Upgraded to B2 (sf)
US$65,000,000 Class B Third Priority Senior Secured Floating Rating
Notes Due May 2036, Upgraded to Caa2 (sf); previously on February
11, 2015 Upgraded to Caa3 (sf)
Attentus CDO I, Ltd., issued in May 2006, is a collateralized debt
obligation (CDO) backed by a portfolio of REIT and insurance trust
preferred securities (TruPS), CMBS tranches and corporate
securities.
RATINGS RATIONALE
The rating actions are primarily a result of the deleveraging of
the Class A-1 notes and the increase in the transaction's
overcollateralization (OC) ratios since October 2016.
The Class A-1 notes have paid down by $10.6 million or 12.4% since
October 2016, using principal proceeds from the redemption of the
underlying assets and the diversion of excess interest proceeds due
to the failure of the Class B OC test. Based on Moody's
calculation, the Class A-1, Class A-2, and Class B notes' OC ratios
have improved to 239.97%, 189.24%, 112.18%, from October 2016
levels of 217.39%, 176.06%, 108.82%. The Class A-1 notes will
continue to benefit from excess interest diversion as long as the
Class B OC test is failing (current test level of 115.53% compared
to a trigger level of 124.00%).
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 maintains its stable outlook on the US
insurance sector.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's current
expectations could have a positive impact on the transaction's
performance. Conversely, asset credit performance weaker than
Moody's current expectations could have adverse consequences on the
transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and excess
interest proceeds will continue and at what pace. Note repayments
that are faster than Moody's current expectations could have a
positive impact on the notes' ratings, beginning with the notes
with the highest payment priority.
4) Exposure to non-publicly rated assets: The deal contains a large
number of securities whose default probability Moody's assesses
through credit scores derived using RiskCalc™ 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 2463)
Class A-1: +2
Class A-2: +2
Class B: +3
Class C-1: +2
Assuming a two-notch downgrade to assets with below-investment
grade ratings or rating estimates (WARF of 5068)
Class A-1: -2
Class A-2: -4
Class B: -2
Class C-1: 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 and principal proceeds
balance (after treating deferring securities as performing if they
meet certain criteria) of $179.0 million, defaulted par of $20.4
million, a weighted average default probability of 54.7% (implying
a WARF of 4122), and a weighted average recovery rate upon default
of 11.3%.
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.
BANC OF AMERICA 2004-1: Fitch Lowers Class H Certs Rating to CCC
----------------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed eight classes
of Banc of America Commercial Mortgage Inc. (BACM 2004-1)
commercial mortgage pass-through certificates series 2004-1.
KEY RATING DRIVERS
Realized Losses: The downgrade to class H reflects the erosion of
credit enhancement to the class due to the disposition of one loan
since Fitch's last rating action. The previously specially serviced
loan sustained losses of approximately 91%. As of the September
2017 distribution date, the pool's aggregate principal balance has
been reduced by 97.6% to $32.2 million from $1.33 billion at
issuance. One loan (0.9% of the pool) is defeased.
High Pool Concentration: The pool is highly concentrated with only
three non-defeased loans remaining, one of which accounts for 85%
of the pool. The largest loan, Mercantile East Shopping Center,
reflects stable performance metrics; however, the largest anchor
tenant, Kohl's, closed its store in June of 2016 but continues to
pay rent. Kohl's lease expires in January 2024 with no termination
options. The property achieved a June 2017 net operating income
(NOI) debt service coverage ratio (DSCR) of 2.07x with occupancy
96.4%. Fitch remains concerned about the loan's ability to
refinance at its October 2018 maturity without a replacement tenant
for the Kohl's space. Should the loan transfer to special
servicing, fees could quickly eat through the small remaining
balance of class J.
RATING SENSITIVITIES
The Rating Outlooks on the non-distressed classes remain Stable.
Class F is expected to repay in full at the next remittance. The
ratings are sensitive to the performance of the Mercantile East
Shopping Center. If the loan transfers to the special servicer
downgrades are possible. Conversely, upgrades are possible in the
event of stabilization of the dark anchor.
Fitch has downgraded the following class:
-- $19.9 million class H to 'CCsf' from 'CCCsf'; RE 90%.
Fitch has affirmed the following classes:
-- $45.2 thousand class F at 'AAAsf'; Outlook Stable;
-- $11.6 million class G at 'BBsf'; Outlook Stable;
-- $619.2 thousand 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-1A, A-2, A-3, A-4, B, C, D, E and XP certificates
have paid in full. Fitch does not rate the class P certificates.
Fitch previously withdrew the rating on the interest-only class XC
certificate.
BATTALION CLO XI: S&P Assigns BB(sf) Rating on $590MM Cl. D Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Battalion CLO XI
Ltd./Battalion CLO XI LLC's $590.0 million floating-rate notes.
The note issuance is a collateralized loan obligation transaction
primarily backed by broadly syndicated senior secured term loans.
The ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
Battalion CLO XI Ltd./Battalion CLO XI LLC
Amount
Class Rating (mil. $)
X AAA (sf) 4.00
A AAA (sf) 395.00
B AA (sf) 88.50
C (deferrable) A (sf) 39.50
D (deferrable BBB (sf) 37.00
E (deferrable) BB (sf) 26.00
Subordinate notes NR 62.75
NR--Not rated.
BAYVIEW KOITERE 2017-RT4: Fitch to Rate Class B5 Notes 'Bsf'
------------------------------------------------------------
Fitch Ratings expects to rate Bayview Koitere Fund Trust 2017-RT4:
-- $79,074,000 class A notes 'AAAsf'; Outlook Stable;
-- $79,074,000 class A-IOA notional notes 'AAAsf'; Outlook
Stable;
-- $79,074,000 class A-IOB notional notes 'AAAsf'; Outlook
Stable;
-- $9,317,000 class B1 notes 'AAsf'; Outlook Stable;
-- $9,317,000 class B1-IOA notional notes 'AAsf'; Outlook Stable;
-- $9,317,000 class B1-IOB notional notes 'AAsf'; Outlook Stable;
-- $2,807,000 class B2 notes 'Asf'; Outlook Stable;
-- $2,807,000 class B2-IO notional notes 'Asf'; Outlook Stable;
-- $7,346,000 class B3 notes 'BBBsf'; Outlook Stable;
-- $7,346,000 class B3-IOA notional notes 'BBBsf'; Outlook
Stable;
-- $7,346,000 class B3-IOB notional notes 'BBBsf'; Outlook
Stable;
-- $6,510,000 class B4 notes 'BBsf'; Outlook Stable;
-- $4,300,000 class B5 notes 'Bsf'; Outlook Stable.
The following class will not be rated by Fitch:
-- $10,094,297 class B6 notes.
The notes are supported by a pool of 2,052 seasoned performing and
re-performing loans (RPL) totaling $119.45 million, which including
$4.1 million in non-interest-bearing deferred principal amounts, as
of the cutoff date. Distributions of principal and interest and
loss allocations are based on a sequential pay, senior subordinate
structure.
The 'AAAsf' rating on the class A, A-IOA and A-IOB notes reflects
the 33.80% subordination provided by the 7.80% class B1, 2.35%
class B2, 6.15% class B3, 5.45% class B4, 3.60% class B5, and 8.45%
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, RSS2+), the representation (rep) and warranty
framework, minimal due diligence findings, and the sequential pay
structure.
KEY RATING DRIVERS
Recent Delinquencies (Negative): Approximately 30.5% of the
borrowers in the pool have had a delinquency in the prior 24
months, with 22.5% occurring in the past 12 months. The majority of
the pool (53.5%) has received a modification due to performance
issues. Although the borrowers had prior delinquencies as recent as
two or three 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 (Negative): Based on Fitch's analysis, the
average current property value of the pool is approximately
$112,000, 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 $100,000, which increased the
'AAAsf' loss expectation by roughly 230 basis points (bps).
Tier I Representation Framework (Positive): While the breach review
trigger has been revised from prior transactions, Fitch still
considers the transaction's representation, warranty and
enforcement (RW&E) mechanism framework to be consistent with Tier I
quality. The automatic third-party review performed on any loan
that becomes 120+ days delinquent or experienced a realized loss
has been replaced with an automatic review of any loan that incurs
a realized loss or is 180 or more days delinquent after cumulative
realized losses plus the 180+ delinquency bucket exceeds 50% of the
single-B percentage as of the closing date. In addition, any
unaffiliated investor has the ability to cause a third-party review
(TPR) on any loans within 180 days of the loan incurring a realized
loss.
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, Koitere Fund L.P., is liquidated or
terminated.
Due Diligence Findings (Negative): A third-party review, which was
conducted on 100% of the pool, resulted in 14.7% (or 302 loans)
graded 'C' or 'D'. For 230 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. 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 six of the
presale report. In addition, timelines were extended on 227 loans
that were missing final modification documents (excluding 54 loans
that were already adjusted for HUD1 issues).
Hurricane Harvey and Irma Loans (Mixed): The extent of damage from
Hurricane Harvey and Irma to properties in the mortgage pool is not
yet known. The servicer, Bayview Loan Servicing, LLC (BLS), will be
conducting inspections on properties located in counties designated
as major disaster areas by the Federal Emergency Management Agency
(FEMA) as a result of Harvey and Irma.
The sponsor is obligated to repurchase loans that have incurred
property damage due to water, flood or hurricane prior to the
transaction's closing that adversely affects the value of the
property. Fitch currently does not expect the effect of the storm
damage to have rating implications due to the repurchase obligation
of the sponsor and due to the limited exposure to affected areas
relative to the credit enhancement (CE) of the rated bonds.
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, 40 bps 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.
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, Koitere Fund
L.P., will acquire and retain a 5% vertical interest in each class
of the securities to be issued.
In addition, the sponsor will also be the rep provider until at
least September 2024. If the fund is liquidated or terminated, BAM
will be obligated to provide a remedy for material breaches
of R&Ws.
Deferred Amounts (Negative): Non-interest-bearing principal
forbearance amounts totaling $4.1 million (3.4%) of the unpaid
principal balance are outstanding on 1,534 loans. Fitch included
the deferred amounts when calculating the borrower's LTV and sLTV
despite the lower payment and amounts not being owed during the
term of the loan. The inclusion resulted in higher PDs and LS than
if there were no deferrals. Fitch believes that borrower default
behavior for these loans will resemble that of the higher LTVs, as
exit strategies (that is, sale or refinancing) will be limited
relative to those borrowers with more equity in the property.
Servicing Fee Stress (Negative): Fitch determined that the
servicing fee may be insufficient to attract subsequent servicers
under a period of poor performance and high delinquencies. To
account for the potentially higher fee above what is allowed for
under the current transaction documents, Fitch's cash flow analysis
assumed a 100-bp servicing fee.
CRITERIA APPLICATION
Fitch's analysis incorporated one criteria variation from "U.S.
RMBS Loan Loss Model Criteria," and one criteria variation from
"U.S. RMBS Seasoned, Re-Performing and Non-Performing Loan Rating
Criteria," which are described below.
The first variation relates to overriding the default assumption
for original DTI in Fitch's Loan Loss model. Based on a historical
data analysis of over 750,000 loans from Fannie Mae and Fitch's
rated RPL transactions, Fitch assumed an original debt-to-income
ratio (DTI) of 45% for all loans in pool that did not have original
DTI data available (100% of the pool). The historical loan data
supports the DTI assumption of 45%. Prior to conducting the
historical analysis, Fitch had previously assumed 55% for loans
that were missing original DTI values.
The second variation is that 0.05% 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 a small
percentage of missing tax, title, and lien reviews as of the
closing date 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 37.5% at 'AAAsf'. The analysis indicates there is
some potential rating migration with higher MVDs, compared with the
model projection.
Fitch also conducted sensitivities to determine the stresses to
MVDs that would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'.
BEAR STEARNS 2006-PWR13: Fitch Hikes Class B Debt Rating to BBsf
----------------------------------------------------------------
Fitch Ratings has upgraded one class and affirmed 12 classes of
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR13
commercial mortgage pass-through certificates.
KEY RATING DRIVERS
The upgrade of class B reflects the increased credit enhancement
and better than expected recoveries on the specially serviced loans
disposed since Fitch's last rating action. Despite the improved
credit enhancement, Fitch limited its upgrade of class B based on
the high concentration of specially serviced loans with uncertain
dispositions, possibility of an increase in interest shortfalls,
and binary risk associated with the pool's performing loans.
As of the September 2017 remittance report, the pool has been
reduced by 94.7% to $152.7 million from $2.9 billion at issuance.
Realized losses since issuance total $189.6 million (6.52% of
original pool balance). Cumulative interest shortfalls totaling
$14.6 million are currently affecting classes E, F and H through
P.
Concentrated Pool: The pool is highly concentrated with only 17
loans remaining. Due to the concentrated nature of the pool, Fitch
performed a sensitivity analysis that grouped the remaining loans
based on loan structural features, collateral quality and
performance and ranked them by their perceived likelihood of
repayment. This includes defeased loans, fully amortizing loans,
balloon loans, and Fitch Loans of Concern (FLOC). The ratings
reflect this sensitivity analysis.
Defeasance: Three loans (31.3% of the pool balance) are defeased
with scheduled maturity dates in July 2020. The sum of the defeased
loans would currently repay 81% of the class B balance.
Maturity Schedule: Two loans (4.15% of the current pool balance)
have passed their July 2016 ARD dates and have final maturities in
July 2036. Both loans are considered Fitch Loans of Concern (FLOC)
and are fully leased to Rite Aid Corporation (rated B/Negative
Watch) with near-term lease expirations in December 2019. The
remaining five (13.9%) non-specially serviced or non-defeased loans
mature between June 2020 and September 2026.
Fitch Loans of Concern: Fitch has designated 13 loans (66.2% of the
pool balance) as a FLOC, which includes seven specially serviced
loans (50.8%) in primarily secondary markets. Risks associated with
the six FLOCs not in special servicing (15.4%) include low DSCR,
near-term tenant rollover, and single tenancy risks including one
industrial portfolio loan with Houston exposure.
First Industrial Portfolio, the largest loan in the pool (31.1% of
current pool balance), is secured by 21 industrial properties
located in Norcross and Marietta, Georgia. The loan transferred to
special servicing in June 2014 due to cash flow issues from
occupancy declines. The subject loan is paid through the June 2017
payment date, with net operating income DSCR reporting at 0.82x as
of YE 2016. The property occupancy was 66% as of the July 2017 rent
roll. The borrower has provided several modification proposals that
have been rejected by the servicer. The delinquent status of the
loan was changed to foreclosure by the servicer as of September
2017.
RATING SENSITIVITIES
The Rating Outlook for class B is expected to remain Stable as
uncertainty regarding dispositions and pool concentrations offset
potential increases in credit enhancement; however, an upgrade may
be warranted as paydown occurs from loan liquidations and scheduled
amortization prior to the maturity of the defeased loans in 2020.
Further downgrades to the distressed classes C and D are possible
if losses begin to be realized.
Fitch has upgraded the following class:
-- $58.9 million class B to 'BBsf' from 'Bsf'; Outlook Stable.
Fitch has affirmed the following classes:
-- $29.1 million class C at 'CCCsf'; RE 100%;
-- $40 million class D at 'Csf'; RE 55%.
-- $24.8 million class E at 'Dsf'; RE 0%.
Classes F, G, H, J, K, L, M, N and O are affirmed at 'Dsf'/RE 0%
due to realized losses.
Classes A-1, A-2, A-3, A-AB, A-4, A-1A, A-M and A-J have paid in
full. Fitch does not rate the fully depleted class P. Fitch
previously withdrew the rating on the interest-only classes X-1 and
X-2.
BEAR STEARNS 2006-TOP24: Fitch Hikes Rating on A-J Certs From CCC
-----------------------------------------------------------------
Fitch Ratings upgrades one class and affirms the remaining classes
of Bear Stearns Commercial Mortgage Securities Trust commercial
mortgage pass-through certificates series 2006-TOP24 (BSCMT
2006-TOP24).
KEY RATING DRIVERS
Defeasance & Increased Credit Enhancement: The upgrade reflects
defeasance and increased credit enhancement. Since the last rating
action, eight loans were disposed resulting in significantly higher
than expected recoveries. One loan (5.1% of pool) is defeased and
supports full repayment of class A-J. An additional five
non-defeased loans in the pool (28.9%) are fully amortizing.
Monthly amortization from the amortizing loans can repay the
balance of class J within 10 months.
Fitch Loans of Concern: Fitch has designated two loans (15.5% of
current pool) as Fitch Loans of Concern (FLOC), which includes one
specially serviced loan (7.8%). The specially serviced loan,
Woodland Harvest Square, is secured by a 12,000 square foot (sf)
strip shopping center located in Woodland, CA. The loan was
transferred to special servicing in July 2016 for maturity default.
Property cash flow has been negatively impacted by erratic
occupancy over the last few years. The borrower has listed the
property for sale but reports limited interest to date, and has
also proposed a Deed in Lieu, which is currently being considered.
The non-specially serviced FLOC is secured by a 19,416 sf
industrial property located in Phoenix, AZ, which is now fully
vacant following the sole tenant vacating upon its Feb. 28, 2017
lease expiration. Additionally, the loan did not repay at its Sept.
1, 2017 maturity date.
RATING SENSITIVITIES
The Rating Outlook of class A-J is Stable, as no rating changes are
expected. The remaining classes' ratings are distressed and have
already experienced losses.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has upgraded the following rating:
-- $1.3 million class A-J to 'AAAsf' from 'CCCsf'; Outlook Stable
assigned.
Fitch has affirmed the following ratings:
-- $28.4 million class B at 'Dsf'; RE 0%;
-- $0 class C at 'Dsf'; RE 0%;
-- $0 class D at 'Dsf'; RE 0%;
-- $0 class E at 'Dsf'; RE 0%;
-- $0 class F at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%.
Classes A-1, A-2, A-3, A-AB, A-4 and A-M were repaid in full. Fitch
does not rate the class P certificates. Fitch previously withdrew
the ratings on the interest-only class X-1 and X-2 certificates.
BLUEMOUNTAIN FUJI II: S&P Assigns BB-(sf) Ratings on Class D Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to BlueMountain Fuji US CLO
II Ltd./BlueMountain Fuji US CLO II LLC's $472.45 million
floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed primarily by broadly syndicated senior secured term loans.
The ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
BlueMountain Fuji US CLO II Ltd./BlueMountain Fuji US CLO II LLC
Class Rating Amount (mil. $)
A-1A AAA (sf) 332.75
A-1B NR 33.55
A-2 AA (sf) 51.70
B A (sf) 35.20
C BBB- (sf) 33.00
D BB- (sf) 19.80
Subordinated notes NR 55.35
NR--Not rated.
CATAMARAN CLO 2014-1: S&P Affirms Bsf Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings affirmed its ratings on the class A-1, A-2, B,
C, D, and E notes from Catamaran CLO 2014-1 Ltd., a U.S.
collateralized loan obligation (CLO) transaction that closed in May
2014, and is managed by Trimaran Advisors LLC.
S&P said, "The rating actions follow our review of the
transaction's performance using data from the August 2017 trustee
report. The transaction is scheduled to remain in its reinvestment
period until April 2018.
"The affirmed ratings reflect our belief that the credit support
available is commensurate with the current rating levels and the
transaction's stable performance since our October 2014 effective
date rating affirmations."
According to the August 2017 trustee report that S&P used for this
review, the
overcollateralization (O/C) ratios for each class have exhibited
mild declines since the July 2014 trustee report, which S&P used
for its previous rating affirmations:
-- The class A O/C ratio decreased to 129.08%, from 131.27%%.
-- The class B O/C ratio decreased to 119.67%, from 121.69%.
-- The class C O/C ratio decreased to 112.49%, from 114.40%.
-- The class D O/C ratio decreased to 107.21%, from 109.02%.
However, all coverage tests are currently passing and are well
above the minimum requirements. Additionally, the CCC asset
exposure has increased above the threshold level, resulting in
further haircuts to the O/C ratios. S&P said, "Although our cash
flow analysis indicated higher ratings for the class A-2, B, C, and
D notes, we affirmed our ratings for these classes to maintain
cushion as this transaction continues to reinvest into 2018.
"Though the results of the cash flow analysis indicated a lower
rating on the class E notes, we affirmed our rating for this class
after considering the positive O/C cushions and other qualitative
factors as this transaction continues to reinvest. However, further
increase in defaults and/or par losses could lead to future
negative rating actions.
"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.
"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
Catamaran CLO 2014-1 Ltd.
Class Rating
A-1 AAA (sf)
A-2 AA (sf)
B A (sf)
C BBB (sf)
D BB (sf)
E B (sf)
OTHER CLASSES OUTSTANDING
Catamaran CLO 2014-1 Ltd.
Class Rating
Subordinated notes NR
NR--Not rated.
CENT CLO 16: S&P Affirms BB(sf) Rating on Class D-R Notes
---------------------------------------------------------
S&P Global Ratings raised its ratings on the class A-2-R, B-R, C-R
notes from Cent CLO 16 L.P. At the same time, S&P affirmed its
ratings on the class A-1a-R, A-1b-R, and D-R notes from the same
transaction.
The rating actions follow S&P's review of the transaction's
performance using data from the August 2017 trustee report.
The upgrades reflect the transaction's $47.79 in collective
paydowns to the class A-1a-R and A-1b-R notes since our September
2014 rating actions. These paydowns resulted in improved reported
overcollateralization (O/C) ratios to all classes except the class
D notes since the August 2014 trustee report, which S&P used for
its previous rating actions:
-- The class A O/C ratio improved to 138.38% from 134.13%.
-- The class B O/C ratio improved to 123.29% from 121.60%.
-- The class C O/C ratio improved to 115.56% from 115.02%.
-- The class D O/C ratio decreased to 109.42% from 109.71%.
The collateral portfolio's credit quality has slightly deteriorated
since our last rating actions. Collateral obligations with an S&P
Global Ratings credit rating of 'CCC+' or below have increased to
$20.52 million from $3.12 million. Over the same period, the par
amount of defaulted collateral has increased to $5.35 million from
$0. Despite the increased concentrations in the 'CCC' category and
defaulted collateral, the transaction has benefited from a drop in
the weighted average life due to underlying collateral seasoning to
3.77 years from 4.91 years.
The upgrades reflect the improved credit support at the prior
rating levels; the affirmations reflect our view that the credit
support available is commensurate with the current rating levels.
On a stand-alone basis, the results of the cash flow analysis
indicated higher ratings on the class A-2-R, B-R, C-R, D-R notes.
However, because of the decline in the collateral portfolio's
credit quality and increased exposure to 'CCC' and 'D' rated
collateral obligations, our rating actions consider additional
sensitivity runs. Furthermore, we limited the upgrades on these
classes to offset future potential credit migration in the
underlying collateral.
S&P said, "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 RAISED
Cent CLO 16 L.P.
Rating Rating
Class To From
A-2-R AA+ (sf) AA (sf)
B-R AA- (sf) A (sf)
C-R BBB+ (sf) BBB (sf)
RATINGS AFFIRMED
Cent CLO 16 L.P.
Class Rating
A-1a-R AAA (sf)
A-1b-R AAA (sf)
D-R BB (sf)
CFG INVESTMENTS 2017-1: S&P Assigns Prelim BB Rating on Cl. B Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to CFG
Investments 2017-1 Ltd.'s $210 million notes series 2017-1.
The note issuance is an asset-backed securities (ABS) transaction
backed by unsecured personal loan receivables, or beneficial
interests therein, from four different jurisdictions: Aruba
(BBB+/Stable/A-2), Curaçao (A-/Stable/A-2), Bonaire (not rated),
and Panama (BBB/Stable/A-2).
The preliminary ratings are based on information as of Sept. 22,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The characteristics of the pool being securitized, which
include loans from four different jurisdictions: Aruba, Curaçao,
Bonaire, and Panama. The transaction has a three-year revolving
period during which the loan composition can change. As such, we
considered the worst-case pool allowed by the transaction's
concentration limits.
-- The availability of approximately 32.85% and 17.88% credit
support to the class A and B notes, respectively, in the form of
subordination, overcollateralization, a reserve account, and excess
spread. The excess spread calculation is only an estimate for the
first month because the future excess spread will still need to be
realized and is unknown at the expected closing date. Additionally,
the credit support level is sufficient to withstand stresses
commensurate with the preliminary ratings on the notes based on our
stressed cash flow scenarios.
-- The transaction's payment structure and mechanisms, which
incorporate performance-based early amortization triggers that are
linked to a monthly cumulative net loss percentage defined in the
transaction documents, and early amortization triggers that are
linked to a servicer default.
-- CFG Holdings' (CFG's) established management and its experience
in origination and servicing consumer loan products across all
jurisdictions, and our assessment of the operational risks
associated with CFG's decentralized business model across all
jurisdictions.
-- The transaction's exposure to the counterparty risk of the bank
account providers in each relevant jurisdiction, which have credit
quality consistent with the preliminary ratings. Additionally, the
transaction's commingling risk, which we believe is mitigated by
the two-day transfer of funds, the existence of a reserve account,
and the small amount of exposure to this risk.
-- The transaction's legal structure, which includes a Cayman
Islands special-purpose vehicle issuing the notes, and
special-purpose entities in each jurisdiction called borrowers, to
which the portfolio of loans, or beneficial interests therein, has
been transferred by the respective sellers.
PRELIMINARY RATINGS ASSIGNED
CFG Investments 2017-1 Ltd.
Class Rating Type Interest Amount
rate (mil. $)
A BBB (sf) Senior TBD 173.0
B BB (sf) Subordinate TBD 37.0
RR NR Subordinate TBD 12.0
NR--Not rated.
TBD--To be defined.
COMM 2010-C1: Moody's Affirms B1(sf) Rating on Class G Certs
------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on 12 classes in
COMM 2010-C1 Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2010-C1:
Cl. A-2, Affirmed Aaa (sf); previously on Oct 13, 2016 Affirmed Aaa
(sf)
Cl. A-3, Affirmed Aaa (sf); previously on Oct 13, 2016 Affirmed Aaa
(sf)
Cl. B, Affirmed Aaa (sf); previously on Oct 13, 2016 Affirmed Aaa
(sf)
Cl. C, Affirmed Aa2 (sf); previously on Oct 13, 2016 Affirmed Aa2
(sf)
Cl. D, Affirmed Baa1 (sf); previously on Oct 13, 2016 Affirmed Baa1
(sf)
Cl. E, Affirmed Baa3 (sf); previously on Oct 13, 2016 Affirmed Baa3
(sf)
Cl. F, Affirmed Ba2 (sf); previously on Oct 13, 2016 Affirmed Ba2
(sf)
Cl. G, Affirmed B1 (sf); previously on Oct 13, 2016 Affirmed B1
(sf)
Cl. XP-A, Affirmed Aaa (sf); previously on Oct 13, 2016 Affirmed
Aaa (sf)
Cl. XS-A, Affirmed Aaa (sf); previously on Oct 13, 2016 Affirmed
Aaa (sf)
Cl. XW-A, Affirmed Aaa (sf); previously on Oct 13, 2016 Affirmed
Aaa (sf)
Cl. XW-B, Affirmed Ba2 (sf); previously on Jun 9, 2017 Upgraded to
Ba2 (sf)
RATINGS RATIONALE
The ratings on the eight 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 four IO classes, Classes XP-A, XS-A, XW-A and
XW-B, were affirmed based on the credit quality of their referenced
classes
Moody's rating action reflects a base expected loss of 0.3% of the
current balance, compared to 0.1% at last review. Moody's base
expected loss plus realized losses is now 0.1% of the original
pooled balance compared to 0.0% at last review. Moody's provides a
current list of base expected losses for conduit and fusion CMBS
transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration (the
pool has a large retail concentration between regional malls and
anchored retail), an increase in realized and expected losses from
specially serviced and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in these ratings were "Approach to Rating US
and Canadian Conduit/Fusion CMBS" published in July 2017, and
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in July 2017.
Additionally, the methodology used in rating Cl. XP-A, Cl. XS-A,
Cl. XW-A, and Cl. XW-B was "Moody's Approach to Rating Structured
Finance Interest-Only (IO) Securities" published in June 2017.
DEAL PERFORMANCE
As of the September 12, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 60% to $339 million
from $857 million at securitization. The certificates are
collateralized by 17 mortgage loans ranging in size from less than
1% to 33% of the pool, with the top ten loans constituting 92% of
the pool.
Five loans, constituting 19% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Moody's identified one property, representing 0.2% of the pool,
located in a Texas county affected by Hurricane Harvey and one
property, representing 0.2% of the pool, located in a Florida
county that was potentially affected by Hurricane Irma. While the
full extent of any damage is not yet known, Moody's will continue
to monitor potentially affected loans as more information becomes
available.
No loans have been liquidated from the pool and there currently no
loans in special servicing.
Moody's received full year 2016 and partial year 2017 operating
results for 100%. Moody's weighted average conduit LTV is 66%,
compared to 67% 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 12% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.2%.
Moody's actual and stressed conduit DSCRs are 1.78X and 1.57X,
respectively, compared to 1.73X and 1.50X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 55% of the pool balance. The
largest loan is the Fashion Outlets of Niagara Falls Loan ($110.7
million -- 32.6% of the pool), which is secured by a 525,663 square
foot (SF) fashion outlet center located in Niagara, New York. The
property is located approximately five miles east of the Niagara
Falls and the Canadian Border. As of June 2017, the property was
92% leased compared to 91% at last review. Property performance has
continued to improve and the loan has amortized 9.6% since
securitization. Moody's LTV and stressed DSCR are 56% and 1.68X,
respectively, compared to 61% and 1.50X at the last review.
The second largest loan is the Harrison Loan ($39 million -- 11.5%
of the pool), which is secured by a retail property located in New
York, New York. The property was constructed in 2009 and contains
approximately 90,000 SF of ground floor retail space. The property
was 100% leased as of June 2017 and benefits from longer term
leases. Moody's LTV and stressed DSCR are 68% and 1.31X,
respectively, compared to 74% and 1.21X at the last review.
The third largest loan is the Auburn Mall Loan ($38 million --
11.2% of the pool), which is secured by a portion of a 588,000 SF
regional mall located in Auburn, Massachusetts. The property is
anchored by Sears and Macy's, though Macy's owns its improvements
and is excluded as part of the loan's collateral. The collateral is
83% occupied as of June 2017 due to the closing of a Macy's Home
Store in January 2016. Property performance has increased slightly
each year since 2015 and the loan has amortized 9.4% since
securitization. Moody's LTV and stressed DSCR are 64% and 1.68X,
respectively, compared to 65% and 1.58X at the last review.
CONN'S RECEIVABLES 2016-B: Fitch Affirms B Rating on Class C Notes
------------------------------------------------------------------
Fitch Ratings has taken the following rating actions on Conn's
Receivables Funding 2016-B, LLC (Conn's 2016-B), which consists of
notes backed by retail loans originated and serviced by Conn
Appliances, Inc. (Conn's):
-- Class A notes upgraded to 'BBB+sf' from 'BBBsf'; Outlook
Stable;
-- Class B notes affirmed at 'BBsf'; Outlook revised to Positive
from Stable;
-- Class C notes affirmed at 'Bsf'; Outlook Stable.
The upgrade of the class A note to 'BBB+sf' from 'BBBsf' is due to
the credit enhancement (CE) that has built since closing. CE for
the class A, B, and C notes will continue to grow until the target
total overcollateralization (OC) level of 40% is reached. Total OC
is 32.43% as of the August 2017 payment date.
Although the model implied rating of the class B note is higher
than 'BBsf', the affirmation and Outlook revision to Positive is
due to default rates projected higher than Fitch lifetime base case
at closing and continued uncertainty about the effects on
performance caused by Hurricane Harvey in the Houston area.
KEY RATING DRIVERS
Collateral Quality: The Conn's 2016-B trust pool consists of 100%
fixed-rate consumer loans originated and serviced by Conn's
Appliances, Inc. The pool exhibits a weighted average FICO score of
604 and a weighted average borrower rate of 21.43%.
The lifetime base case default rate for the 2016-B pool is assumed
to be approximately 26.25%, slightly higher than the original
lifetime base case default rate at closing of 24.75%, due to trust
default rates higher than originally projected. After taking into
account defaults that have already been recognized, remaining
defaults of approximately 29.35% were assumed. Remaining defaults
for this pool will continue to increase as the loans age, mitigated
by the CE that will continue to build to the 40% CE release level.
Fitch applied a 2.2x stress at the 'BBBsf' level, reflecting the
high absolute value of the historical defaults, along with the
variability of default performance in recent years and the high
geographic concentration. The recovery rate on defaulted loans for
each note is assumed to be 5%, and Fitch utilized a default
definition of zero months in modeling to account for currently
delinquent assets.
In addition, Fitch continues to monitor the trust performance in
the aftermath of Hurricane Harvey, as greater than 20% of the trust
pool by receivables balance is located in the Houston Metropolitan
Statistical Area.
Dependence on Trust Triggers: The trust depends on three trust
triggers (Cumulative Net Loss Trigger, Annualized Net Loss Trigger,
and Recovery Trigger) in order to ensure the payments due on the
notes during times of degrading collateral performance. While the
class A notes are expected to be repaid ahead of any cash release,
the triggers help protect the class B notes in stressed scenarios.
The class C notes are currently constrained due to excess spread
that can be released from the trust before the triggers are
activated, especially with stress scenarios with back loaded
defaults.
A shortened version of the 18-month WAL default timing curve as
show in the Global Consumer ABS Criteria was utilized in order to
recognize all defaults within the life of the transaction.
Rating Cap at the 'BBBsf' Category: Due to higher loan defaults in
recent years, management changes at Conn's, and the credit risk
profile of Conn's, Fitch has placed a rating cap on this
transaction at the 'BBBsf' category.
Liquidity Support: Liquidity support is provided by a reserve
account, which was fully funded at closing at 1.50% of the initial
pool balance. The reserve account stepped down to 1.25% of the
original collateral balance when OC reached 30% of the current
collateral balance and will step down to 1.00% of the original
collateral balance once OC reaches 40% of the current collateral
balance. The reserve account is currently sized at $8,746,512.
Servicing Capabilities: Conn Appliances, Inc. demonstrates adequate
abilities as originator, underwriter, and servicer. The credit risk
profile of the entity is mitigated by the backup servicing provided
by Systems & Services Technologies, Inc. (SST).
RATING SENSITIVITIES
Unanticipated increases in the frequency of defaults or charge-offs
on borrower accounts could produce loss levels higher than the base
case and would likely result in declines of CE and remaining loss
coverage levels available to the notes. Decreased CE may make
certain ratings on the notes susceptible to potential negative
rating actions, depending on the extent of the decline in
coverage.
Fitch conducts sensitivity analysis by stressing a transaction's
initial base case charge-off assumption by an additional 10%, 25%,
and 50%, and examining the rating implications. The increases of
the base case charge-offs are intended to provide an indication of
the rating sensitivity of the notes to unexpected deterioration of
a transaction's performance.
During the sensitivity analysis, Fitch examines the magnitude of
the multiplier compression by projecting the expected cash flows
and loss coverage levels over the life of investments under higher
than the initial base case charge-off assumptions. Fitch models
cash flows with the revised charge-off estimates while holding
constant all other modelling assumptions.
Rating sensitivity to increased charge-off rate:
-- Class A, B, and C current ratings (Remaining Defaults:
29.35%): 'BBB+sf', 'BBsf', 'Bsf';
-- Increase base case by 10% for class A, B, and C: 'BBB+sf',
'BB+sf', 'B-sf';
-- Increase base case by 25% for class A, B, and C: 'BBB+sf',
'BBsf', 'CCCsf';
-- Increase base case by 50% for class A, B, and C: 'BBB-sf',
'Bsf', '
CREDIT SUISSE 2007-C2: Moody's Hikes Cl. A-J Certs Rating to B1
---------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on nine classes
and upgraded the rating on one class in Credit Suisse Commercial
Mortgage Trust Series 2007-C2, Commercial Mortgage Pass-Through
Certificates, Series 2007-C2.:
Cl. A-J, Upgraded to B1 (sf); previously on Apr 13, 2017 Affirmed
B2 (sf)
Cl. B, Affirmed Caa1 (sf); previously on Apr 13, 2017 Affirmed Caa1
(sf)
Cl. C, Affirmed Caa2 (sf); previously on Apr 13, 2017 Affirmed Caa2
(sf)
Cl. D, Affirmed Caa3 (sf); previously on Apr 13, 2017 Affirmed Caa3
(sf)
Cl. E, Affirmed C (sf); previously on Apr 13, 2017 Downgraded to C
(sf)
Cl. F, Affirmed C (sf); previously on Apr 13, 2017 Downgraded to C
(sf)
Cl. G, Affirmed C (sf); previously on Apr 13, 2017 Affirmed C (sf)
Cl. H, Affirmed C (sf); previously on Apr 13, 2017 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Apr 13, 2017 Affirmed C (sf)
Cl. A-X, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The rating on the P&I class A-J was upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 51% since Moody's last
review.
The ratings on eight P&I classes (Classes B, C, D, E, F, G, H & J)
were affirmed because the ratings are consistent with Moody's
expected loss.
The rating on the IO Class (Class A-X) was affirmed based on the
credit quality of the referenced classes.
Moody's rating action reflects a base expected loss of 40.2% of the
current balance, compared to 30.7% at Moody's last review. Moody's
base expected loss plus realized losses is now 8.0% of the original
pooled balance, compared to 9.5% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.
Additionally, the methodology used in rating Cl. A-X was "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the September 15, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 91% to $279 million
from $3.298 billion at securitization. The certificates are
collateralized by 12 mortgage loans ranging in size from less than
1% to 45.6% of the pool, with the top ten loans (excluding
defeasance) constituting 93% of the pool.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 4, compared to 10 at Moody's last review.
Two loans, constituting 46% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Thirty loans have been liquidated from the pool, contributing to an
aggregate realized loss of $151 million (for an average loss
severity of 33%). Seven loans, constituting 44% of the pool, are
currently in special servicing. The largest specially serviced loan
is the Metro Square 95 Office Park loan ($48 million -- 17.2% of
the pool), which is secured by a seven-building office campus
located in Jacksonville, Florida, just south of the Jacksonville
CBD. The property was 80% leased as of June 2016, compared to 77%
leased as of June 2015. Major tenants at the property include Wells
Fargo, Skate World, and Baptist Medical; Wells Fargo renewed their
lease in December 2015 through 2020. The loan transferred to
special servicing in September 2011 for imminent default.
The second largest specially serviced loan is the 300-318 East
Fordham Road - A Note loan( $30 million -- 10.7% of the pool),
which is secured by a street level retail space in the Bronx, New
York, the third largest retail district in New York City. The loan
was previously modified in 2012, bifurcating the original loan
balance of $47 million into a $30 million A-Note and a $17.7
million B-Note. The loan transferred back to special servicing for
the second time due to delinquency in April 2015. There is ongoing
litigation between the borrower and lender.
The remaining five specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $89 million loss for
the specially serviced loans (72% expected loss on average).
Moody's received full year 2016 operating results for 100% of the
pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 123%, compared to 108% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's value reflects a
weighted average capitalization rate of 9.2%.
Moody's actual and stressed conduit DSCRs are 3.04X and 0.84X,
respectively, compared to 2.83X and 1.11X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
As of the September 15, 2017 remittance statement cumulative
interest shortfalls were $92 million. Moody's anticipates interest
shortfalls will continue because of the exposure to specially
serviced loans and/or modified loans. Interest shortfalls are
caused by special servicing fees, including workout and liquidation
fees, appraisal entitlement reductions (ASERs), loan modifications
and extraordinary trust expenses.
The top three performing conduit loans represent 55% of the pool
balance. The largest loan is the Two North LaSalle Loan ($127.4
million -- 45.6% of the pool), which is secured by a 26-story,
691,410 square foot (SF) Class A office building in Chicago's
downtown loop. The structure was built in 1978 and renovated in
2001. The property was 60% leased as of December 2016, compared to
71% as of December 2015. The loan was returned to the Master
Servicer as a performing loan on March 3, 2017, following a
modification. As part of the modification, the borrower contributed
$22 million of new equity, $19 million into a TI/LC reserve and the
remaining $3 million into an interest reserve. Furthermore, the
maturity date was extended by three years, with two additional
extension options, and the interest rate was reduced. Moody's LTV
and stressed DSCR are 132% and 0.76X, respectively.
The second largest loan is the University Commons Loan ($24.5
million -- 8.8% of the pool), which is secured by 227,689 SF retail
property located in Burlington, North Carolina. The property was
98% leased as of March 2017. The loan is fully amortizing and has
amortized 25% since securitization. Performance has been stable.
Moody's LTV and stressed DSCR are 85% and 1.15X, respectively.
The third largest loan is the Chamberlain Plaza Loan ($1.9 million
-- 0.7% of the pool), which is secured by a 29,630 SF retail center
located in Louisville, Kentucky. As of May 2017, the property was
82% leased. The loan is fully amortizing and has amortized 35%
since securitization. Performance has been stable. Moody's LTV and
stressed DSCR are 87% and 1.27X, respectively.
CSAIL 2015-C4: Fitch Affirms 'B-sf' Rating on 2 Tranches
--------------------------------------------------------
Fitch Ratings has affirmed all 17 classes of CSAIL 2015-C4
Commercial Mortgage Trust commercial mortgage pass-through
certificates.
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
September 2017 remittance report, the pool has been reduced by 1.0%
to $929.8 million from $939.6 million at issuance. There have been
no realized losses to date. Property-level performance remains
generally in-line with issuance expectations, with the most recent
servicer-reported aggregate pool level DSCR at 1.89x compared to
1.62x at issuance. There are no defeased loans and no loans in
special servicing. One loan (1.8% of the pool) has been identified
as a Fitch Loan of Concern as a result of the single tenant never
taking occupancy as expected at issuance.
High Retail/Hotel Concentration: Thirty-five loans (32.4% of the
pool) are secured by retail properties with no regional or
super-regional mall exposure. Approximately 21.9% of the pool by
balance, including three of the top 15 loans (19.5%), consists of
hotel properties, which is higher than the 2015 average of 16.5%.
Of the three loans, the largest loan (12.1%) is located in Kohala
Coast, HI and the second largest loan (4.8%) is located in Phoenix,
AZ. For loans secured by hotel assets, Fitch applied an additional
stress to the most recently reported full year NOIs to reflect the
peaked performance outlook of the sector.
Pool Amortization: Five loans (16.4%) are interest only and
forty-two loans (51.9%) are partial interest only. Based on the
scheduled balance at maturity, the pool is expected to pay down by
12.5%.
Hurricane Exposure: The pool's exposure to areas impacted by
Hurricane Harvey and Hurricane Irma includes 13 loans totalling
9.9% of the current pool. Per the servicer provided significant
insurance event report, three loans (2.7%) have reported no damage.
Per Fitch's recent visit to the property's locations, two loans
(2.4%) have not incurred any damage. Per Fitch inquiry to tenants
and leasing offices, five loans (2.5%) have incurred minimal to no
damage. Fitch awaits updates from the master servicer for the
remaining three loans (2.3%) and has applied a higher cap rate
stress in its analysis.
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:
-- $30.0 million class A-1 at 'AAAsf'; Outlook Stable;
-- $25.5 million class A-2 at 'AAAsf'; Outlook Stable;
-- $180.0 million class A-3 at 'AAAsf'; Outlook Stable;
-- $341.0 million class A-4 at 'AAAsf'; Outlook Stable;
-- $71.5 million class A-SB at 'AAAsf'; Outlook Stable;
-- $56.4 million class A-S at 'AAAsf'; Outlook Stable;
-- $704.3b million class X-A at 'AAAsf'; Outlook Stable;
-- $61.1 million class B at 'AA-sf'; Outlook Stable;
-- $61.1b million class X-B at 'AA-sf'; Outlook Stable;
-- $39.9 million class C at 'A-sf'; Outlook Stable;
-- $27.0 million class D at 'BBBsf'; Outlook Stable;
-- $22.3 million class E at 'BBB-sf'; Outlook Stable;
-- $49.3ab million class X-D at 'BBB-sf'; Outlook Stable;
-- $22.3a million class F at 'BB-sf'; Outlook Stable;
-- $22.3ab million class X-F at 'BB-sf'; Outlook Stable;
-- $9.4a million class G at 'B-sf'; Outlook Stable;
-- $9.4ab million class X-G at 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
Fitch does not rate the $43.5 million class NR and class X-NR
certificates.
DIAMOND RESORTS 2017-1: S&P Gives Prelim BB Rating on Class C Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Diamond
Resorts Owner Trust 2017-1's $206.65 million timeshare loan-backed
notes series 2017-1.
The note issuance is an asset-backed securities transaction backed
by vacation ownership interval (timeshare) loans.
The preliminary ratings are based on information as of Sept. 28,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect our view of the transaction's
credit enhancement that is available in the form of subordination,
overcollateralization, a reserve account, and available excess
spread.
PRELIMINARY RATINGS ASSIGNED
Diamond Resorts Owner Trust 2017-1
Class Rating Amount (mil. $)
A A (sf) 164.20
B BBB (sf) 35.90
C BB (sf) 6.55
DLJ COMMERCIAL 1999-CG2: Moody's Affirms C Rating on Class S Certs
------------------------------------------------------------------
Moody's Investors Service has affirmed the rating on one interest
only (IO) class of DLJ Commercial Mortgage Corp., Commercial
Mortgage Pass-Through Certificates, Series 1999-CG2.:
Cl. S, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The rating on the IO class S was affirmed based on the credit
quality of the referenced classes. The IO class is the only
outstanding Moody's-rated class in this transaction.
Moody's rating action reflects a base expected loss of 0% of the
current balance, compared to 0.2% at Moody's last review. Moody's
base expected loss plus realized losses is now 4.0% of the original
pooled balance, the same as at the last review. Moody's provides a
current list of base expected losses for conduit and fusion CMBS
transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
Moody's does not anticipate losses from the remaining collateral in
the current environment. However, over the remaining life of the
transaction, losses may emerge from macro stresses to the
environment and changes in collateral performance. Our ratings
reflect the potential for future losses under varying levels of
stress.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
An IO class may be subject to ratings upgrades if there is an
improvement in the credit quality of its referenced classes,
subject to the limits and provisions of the updated IO
methodology.
An IO class may be subject to ratings downgrades if there is (i) a
decline in the credit quality of the reference classes and/or (ii)
paydowns of higher quality reference classes, subject to the limits
and provisions of the updated IO methodology.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in this rating was "Moody's Approach
to Rating Large Loan and Single Asset/Single Borrower CMBS"
published in July 2017.
Additionally, the methodology used in rating Cl. S was "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the September 11, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $17.1 million
from $1.55 billion at securitization. The Certificates are
collateralized by 15 mortgage loans ranging in size from less than
1% to 34% of the pool, with the top ten loans representing 84% of
the pool. Seven loans, representing 73% of the pool, have defeased
and are secured by US Government securities.
There are currently no loans in special servicing nor on the
servicer's watchlist. Forty three loans have been liquidated from
the pool, resulting in an aggregate realized loss of $62 million
(35% loss severity on average).
Moody's was provided with full year 2016 and partial year 2017
operating results for 98% and 51% of the pool, respectively.
Moody's weighted average conduit LTV is 20%, compared to 45% at
Moody's last review. Moody's conduit component excludes loans with
credit assessments, defeased and CTL loans and specially serviced
and troubled loans. Moody's net cash flow (NCF) reflects a weighted
average haircut of 15% to the most recently available net operating
income (NOI). Moody's value reflects a weighted average
capitalization rate of 9.4%.
Moody's actual and stressed conduit DSCRs are 2.03X and >4.0X,
respectively, compared to 1.56X and 3.84X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stressed rate applied to the loan balance.
All conduit loans are fully amortizing loans. The top three conduit
loans represent 17% of the pool balance. The largest loan is the
Vagabond Apartments Loan ($1.2 million -- 7.1% of the pool), which
is secured by a 51-unit multifamily property in Lodi, New Jersey.
As of December 2016, the property was 93% leased compared to 94% as
of December 2015. Performance has been stable. The loan is fully
amortizing and has amortized 48% since securitization. Moody's LTV
and stressed DSCR are 41% and 2.35X, respectively, compared to 57%
and 1.71X at the last review.
The second largest loan is the Anaheim Mobile Estates Loan ($0.9
million -- 5.7% of the pool), which is secured by a 229-pad
manufactured housing community located in Anaheim, California,
approximately 5 miles west of Disneyland Park. The property was
100% occupied as of June 2017. Performance has been stable. The
loan is fully amortizing and has amortized 81% since
securitization. Moody's LTV and stressed DSCR are 4% and >4.0X,
respectively, compared to 6% and >4.0X at the last review.
The third largest loan is the Heritage Apartments Loan ($0.8
million -- 4.6% of the pool), which is secured by a 42-unit
multifamily property in Hackensack, New Jersey. As of December
2016, the property was 93% leased. Performance has been stable. The
loan is fully amortizing and has amortized 48% since
securitization. Moody's LTV and stressed DSCR are 23% and >4.0X,
respectively, compared to 27% and 3.54X at the last review.
FINN SQUARE: S&P Affirms BB(sf) Rating on Class D Notes
-------------------------------------------------------
S&P Global Ratings raised its ratings on the class A-2-R, B-1-R,
B-2-R, and C notes from Finn Square CLO Ltd., a collateralized loan
obligation (CLO) managed by GSO/Blackstone Debt Funds Management.
S&P also removed these ratings from CreditWatch, where it placed
them with positive implications on July 18, 2017. At the same time,
S&P affirmed its ratings on the class A-1-R and D notes from the
same transaction.
The rating actions follow S&P' review of the transaction's
performance using data from the August 2017 trustee report.
The upgrades reflect $148.08 million in paydowns to the class A-1-R
notes since our September 2016 rating actions. These paydowns
resulted in improved reported overcollateralization (O/C) ratios
since the August 2016 trustee report, which we used for our
previous rating actions:
-- The class A O/C ratio improved to 151.24% from 131.96%.
-- The class B O/C ratio improved to 128.85% from 119.40%.
-- The class C O/C ratio improved to 117.98% from 112.72%.
-- The class D O/C ratio improved to 108.59% from 106.60%.
The collateral portfolio's credit quality has slightly deteriorated
since our last rating actions. Collateral obligations with ratings
in the 'CCC' category have increased, with $25.24 million reported
as of the August 2017 trustee report, compared with $17.52 million
reported as of the August 2016 trustee report.
Over the same period, the par amount of defaulted collateral has
increased to $5.30 million from $4.38 million. However, despite the
slightly larger concentrations in the 'CCC' category and defaulted
collateral, the transaction has benefited from a drop in the
weighted average life due to the underlying collateral's seasoning,
with 3.69 years reported as of the August 2017 trustee report,
compared with 4.17 years reported as of the August 2016 trustee
report.
The upgrades reflect the improved credit support at the prior
rating levels; the affirmed ratings reflect S&P's view that the
credit support available is commensurate with the current rating
levels.
S&P said, "Although our cash flow analysis indicated higher ratings
for the class C notes, our rating actions consider the decline in
the portfolio's credit quality, the tight cushion at the model
implied rating, and exposure to market value risk. In addition, the
ratings reflect additional sensitivity runs that considered the
exposure to specific distressed industries and 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 RAISED AND REMOVED FROM CREDITWATCH
Finn Square CLO Ltd.
Rating
Class To From
A-2-R AAA (sf) AA (sf)/Watch Pos
B-1-R AA+ (sf) A (sf)/Watch Pos
B-2-R AA+ (sf) A (sf)/Watch Pos
C A (sf) BBB (sf)/Watch Pos
RATINGS AFFIRMED
Finn Square CLO Ltd.
Class Rating
A-1-R AAA (sf)
D BB (sf)
FREDDIE MAC 2017-3: Fitch to Rate Class M-2 Notes 'B-sf'
--------------------------------------------------------
Fitch Ratings expects to rate Freddie Mac's risk-transfer
transaction, Seasoned Credit Risk Transfer Series 2017-3 (SCRT
2017-3):
-- $42,672,000 class M-1 notes 'BBsf'; Outlook Stable;
-- $76,808,000 class M-2 notes 'B-sf'; Outlook Stable.
The following classes will not be rated by Fitch:
-- $521,247,000 class HT notes;
-- $390,935,000 class HA exchangeable notes;
-- $130,312,000 class HB exchangeable notes;
-- $65,156,000 class HV exchangeable notes;
-- $65,156,000 class HZ exchangeable notes;
-- $895,439,000 class MT notes;
-- $671,579,000 class MA exchangeable notes;
-- $223,860,000 class MB exchangeable notes;
-- $111,930,000 class MV exchangeable notes;
-- $111,930,000 class MZ exchangeable notes;
-- $1,416,686,000 class A-IO notional notes;
-- $170,685,495 class B notes;
-- $290,165,495 class B-IO notional notes.
The 'BBsf' rating for the M-1 notes reflects the 14.50%
subordination provided by the 4.50% class M-2 notes, and the 10.00%
class B notes. The 'B-sf' rating for the M-2 notes reflects the
10.00% subordination provided by the class B notes.
SCRT 2017-3 represents Freddie Mac's fourth seasoned risk transfer
transaction issued as part of the Federal Housing Finance Agency's
Conservatorship Strategic Plan for 2013-2017 for each of the
government-sponsored enterprises (GSEs) to demonstrate the
viability of multiple types of risk-transfer transactions involving
single-family mortgages. SCRT 2017-3 consists of two collateral
groups backed by 7,176 seasoned performing and re-performing
mortgages with a total balance of approximately $1.707 billion,
which includes $375.4 million, or 22%, of the aggregate pool
balance in non-interest-bearing deferred principal amounts, as of
the cut-off date. The two collateral groups are distinguished
between loans that have additional interest rate increases
outstanding due to the terms of the modification and those that are
expected to remain fixed for the remainder of the term.
Distributions of principal and interest (P&I) and loss allocations
to the rated notes are based on a senior subordinate, sequential
structure.
KEY RATING DRIVERS
Distressed Performance History (Negative): The collateral pool
consists primarily of peak-vintage re-performing loans (RPLs), all
of which have been modified. Roughly 92% of the pool has been
paying on time for the past 24 months per the Mortgage Bankers
Association methodology (MBA), and none of the loans have
experienced a delinquency within the past 12 months. The pool has a
weighted average sustainable loan-to-value ratio (WA sLTV) of
104.6% and the WA model FICO is 688.
Deferred Amounts (Negative) Non-interest-bearing principal
forbearance amounts totaling $375.4 million (22%) are outstanding
on 6,566 loans. Fitch included the deferred amounts in the LTV and
sLTV despite the lower payment and amounts not being owed during
the term of the loan. The inclusion resulted in higher probability
of default (PD) and loss severity (LS) assumptions than if there
were no deferrals. Fitch believes that borrower default behavior
for these loans will resemble that of the higher LTVs, as exit
strategies (that is, sale or refinancing) will be limited relative
to those borrowers with more equity in the property.
Interest Payment Risk (Negative): In Fitch's timing scenarios both
the M-1 and M-2 class incur temporary shortfalls in their
respective rating categories but are ultimately repaid prior to
maturity of the transaction. The difference between Fitch's
expected loss and the credit enhancement (CE) on the rated classes
is due to the repayment of interest deferrals. Interest to the
rated classes is subordinated to the senior notes as well as
repayments made to Freddie Mac for prior payments on the senior
classes. Timely payments of interest are also a potential risk as
principal collections on the underlying can only be used to repay
interest shortfalls on the rated classes after the balance has been
paid off.
Third-Party Due Diligence (Neutral): A third-party due diligence
review was conducted on a sample basis of approximately 10% of the
pool as it relates to regulatory compliance and pay history and a
tax and title lien search for 100% of the loans in the pool. The
third-party review (TPR) firms' due diligence review resulted in
4.6% of the sample loans remaining in the final pool graded 'D' (0%
'C' graded loans), meaning the loans had material violations or
lacked documentation to confirm regulatory compliance. This is well
below the average of approximately 11% seen in other recently rated
RPL transactions and demonstrates relatively low operational risk.
New Issuer (Neutral): This is Freddie Mac's fourth rated RPL
securitization and the first one that Fitch has been asked to rate.
Fitch has conducted multiple reviews of Freddie Mac and is
confident that it has have the necessary policies, procedures and
third party oversight in place to properly aggregate and securitize
reperforming mortgage loans (RPL). In addition to the satisfactory
operational assessments, the sample due diligence that was
conducted points to sound operational controls.
Representation Framework (Negative): Fitch considers the
representation, warranty, and enforcement (RW&E) mechanism
construct for this transaction as weaker than other Fitch rated RPL
deals. The weakness is due to the exclusion of a number of reps
that Fitch views as consistent with a full framework as well as the
limited diligence that may have otherwise acted as a mitigant.
Additionally, Freddie Mac as rep provider will only be obligated to
repurchase a loan due to breaches prior to Oct. 9, 2020. However,
Fitch believes that the defect risk is lower relative to other RPL
transactions because the loans were subject to Freddie Mac's loan
level review process in place at the time the loan became
delinquent. Therefore, Fitch treated the construct as Tier 3 and
increased its 'BBsf' PD expectations by 104 bps to account for a
the weaknesses in the reps.
Sequential-Pay Structure (Positive): The transaction's cash flow is
similar to what is seen in Freddie Mac's STACR transactions. Once
the initial CE of the senior notes has reached the target and if
all performance triggers are passing principal is allocated pro
rata among the seniors and subordinate classes with the most senior
subordinate bond receiving the full subordinate share. This
structure is a positive to the rated notes as it results in a
faster paydown and allows them to receive principal earlier than
under a traditional sequential structure. To the extent any of the
performance triggers are failing, however, principal is distributed
sequentially.
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 ultimate
payments of interest to the rated classes.
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 MSA and national levels. The implied
rating sensitivities are only an indication of some of the
potential outcomes and do not consider other risk factors that the
transaction may become exposed to or be considered in the
surveillance of the transaction.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the
model projected 19.2% at the 'BBsf' level, and 11.3% at the 'Bsf'
level. The analysis indicates that there is some potential rating
migration with higher MVDs, compared with the model projection.
Fitch also conducted defined rating sensitivities which determine
the stresses to MVDs that would reduce a rating by one full
category, to non-investment grade, and to 'CCCsf'. For example,
additional MVDs of 7%, and 16% would potentially move the 'BBsf'
rated class down one rating category, and to 'CCCsf', respectively.
GARRISON FUNDING 2015-1: Moody's Assigns B2 Rating to Cl. E-R Notes
-------------------------------------------------------------------
Moody's Investors Service has assigned the following ratings to the
following notes (the "Refinancing Notes") issued by Garrison
Funding 2015-1 Ltd.:
US$255,500,000 Class A-1R Senior Secured Floating Rate Notes Due
2029 (the "Class A-1R Notes"), Assigned Aaa (sf)
US$48,500,000 Class A-2R Senior Secured Floating Rate Notes Due
2029 (the "Class A-2R Notes"), Assigned Aa2 (sf)
US$24,000,000 Class B-R Senior Secured Deferrable Floating Rate
Notes Due 2029 (the "Class B-R Notes"), Assigned A2 (sf)
US$22,000,000 Class C-R Senior Secured Deferrable Floating Rate
Notes Due 2029 (the "Class C-R Notes"), Assigned Baa3 (sf)
US$20,000,000 Class D-R Secured Deferrable Floating Rate Notes Due
2029 (the "Class D-R Notes"), Assigned Ba3 (sf)
US$4,700,000 Class E-R Secured Deferrable Floating Rate Notes Due
2029 (the "Class E-R Notes"), Assigned B2 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of senior secured, broadly syndicated corporate loans.
Garrison Funding 2015-1 Manager LLC (the "Manager") manages the
CLO. It directs the selection, acquisition, and disposition of
collateral on behalf of the Issuer.
RATINGS RATIONALE
Moody's ratings on the Refinancing Notes address the expected
losses posed to noteholders. The ratings reflect the risks due to
defaults on the underlying portfolio of assets, the transaction's
legal structure, and the characteristics of the underlying assets.
The Issuer has issued the Refinancing Notes on September 21, 2017
(the "Refinancing Date") in connection with the refinancing of all
classes of the secured notes (the "Refinanced Original Notes")
previously issued on June 4, 2015 (the "Original Closing Date"). On
the Refinancing Date, the Issuer used proceeds from the issuance of
the Refinancing Notes to redeem in full the Refinanced Original
Notes.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; and changes to the
overcollateralization test levels.
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 August 2017.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Performing par and principal proceeds balance: $397,869,732
Defaulted par: $4,260,536
Recoveries on defaulted: $2,130,268
Diversity Score: 55
Weighted Average Rating Factor (WARF): 2908
Weighted Average Spread (WAS): 3.75%
Weighted Average Recovery Rate (WARR): 48.5%
Weighted Average Life (WAL): 8 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or a Downgrade of the
Ratings:
The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing 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 Refinancing 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 Refinancing 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 Refinancing
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 2908 to 3344)
Rating Impact in Rating Notches
Class A-1R Notes: 0
Class A-2R Notes: -2
Class B-R Notes: -2
Class C-R Notes: -1
Class D-R Notes: 0
Class E-R Notes: -1
Percentage Change in WARF -- increase of 30% (from 2908 to 3780)
Rating Impact in Rating Notches
Class A-1R Notes: -1
Class A-2R Notes: -3
Class B-R Notes: -4
Class C-R Notes: -2
Class D-R Notes: -1
Class E-R Notes: -3
GE COMMERCIAL 2004-C2: Fitch Affirms 'BBsf' Rating on Cl. M Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed one class of GE Commercial Mortgage
Corporation, commercial mortgage pass-through certificates, series
2004-C2 (GECMC 2004-C2).
KEY RATING DRIVERS
The affirmation reflects the concentration and adverse selection of
the remaining pool.
Pool Concentration & Adverse Selection: The pool is highly
concentrated with four loans remaining. Two assets/loans,
comprising 96.2% of the current pool balance, are in special
servicing, the largest of which is a loan that was previously
modified into A/B notes (85.8%) and the other is a retail asset
(10.4%) which has been real-estate owned (REO) since 2013. The two
remaining loans (3.8%) have been defeased.
Performance Decline on Largest Loan: The largest loan, Continental
Centre (85.8% of pool), transferred back to the special servicer
for a second time in May 2017 for imminent default due to tenancy
issues. As of the July 2017 rent roll, the property was 79%
occupied. Occupancy is expected to decline significantly as the
largest tenant, AT&T, is expected to further downsize its space at
the property from 33.6% of the net rentable area (NRA) to 4% of the
NRA, following their December 2017 lease expiration. In addition,
the third largest tenant, Miami Jacobs Career Center (9.1% of NRA)
is closing all of their locations and vacating its space at the
property after their September 2018 lease expiration. However, the
second largest tenant, the State of Ohio (28.9% of NRA), recently
renewed its lease through June 2019 from June 2017.
The loan had first transferred to the special servicer in December
2012 for imminent default. At that time, AT&T had already reduced
its space at the property (from 54.3% of the NRA at issuance),
which had impacted the overall occupancy and performance of the
property. The loan was modified in March 2014 into A/B notes, the
maturity date was extended to March 2019 and the interest rate was
reduced. The loan returned to the master servicer in September
2014.
REO Asset: The Bayshore Plaza asset (10.4% of pool) is a 27,702
square foot retail property located in Gilbert, AZ. The asset has
been REO since 2013. The special servicer continues to lease up the
property and has not currently listed the asset for sale. Occupancy
was 83.8% as of July 2017, compared to 88% at year-end (YE) 2016
and 67% at YE 2015. The second largest tenant, Accelerated Health
Systems (9.8% of NRA), recently renewed their lease through July
2024 from April 2017.
As of the September 2017 distribution date, the pool's aggregate
principal balance has been reduced by 97.9% to $27 million from
$1.38 billion at issuance. Cumulative interest shortfalls are
impacting class P.
RATING SENSITIVITIES
No rating change on class M is expected given the pool
concentration and high percentage of specially serviced
loans/assets. The remaining class M balance is covered mostly by
defeased collateral and minimal proceeds from the specially
serviced loans/asset.
Fitch has affirmed the following class:
-- $1.8 million class M at 'BBsf', Outlook Stable.
The class A1, A2, A3, A4, A1A, B, C, D, E, F, G, H, J, K, L, PPL1,
PPL2, PPL3, PPL4, PPL5 and PPL6 certificates have paid in full.
Fitch does not rate the class N, O and P certificates. Fitch
previously withdrew the rating on the interest-only class X1
certificates and the interest-only class X2 certificates have paid
in full.
GILBERT PARK: Moody's Assigns Prov. Ba3 Rating to Class E Notes
---------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of notes to be issued by Gilbert Park CLO, Ltd.
Moody's rating action is:
US$520,000,000 Class A Senior Secured Floating Rate Notes due 2030
(the "Class A Notes"), Assigned (P)Aaa (sf)
US$84,000,000 Class B Senior Secured Floating Rate Notes due 2030
(the "Class B Notes"), Assigned (P)Aa2 (sf)
US$43,500,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2030 (the "Class C Notes"), Assigned (P)A2 (sf)
US$48,500,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2030 (the "Class D Notes"), Assigned (P)Baa3 (sf)
US$40,000,000 Class E Mezzanine Secured Deferrable Floating Rate
Notes due 2030 (the "Class E Notes"), Assigned (P)Ba3 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes, and the Class E Notes are referred to herein,
collectively, as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
RATINGS RATIONALE
Moody's provisional ratings of the Rated Notes address the expected
losses posed to noteholders. The provisional ratings reflect the
risks due to defaults on the underlying portfolio of assets, the
transaction's legal structure, and the characteristics of the
underlying assets.
Gilbert Park 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,
unsecured loans and first lien last out loans. Moody's expects the
portfolio to be approximately 70% ramped as of the closing date.
GSO / Blackstone Debt Funds Management LLC (the "Manager") will
direct the selection, acquisition and disposition of the assets on
behalf of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $800,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2850
Weighted Average Spread (WAS): 3.35%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 9.2 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
August 2017.
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 2850 to 3278)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2850 to 3705)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -4
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
GLM LLC 2015-1: Moody's Assigns Ba1(sf) Rating to Class D Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by GLM 2015-1 LLC.
Moody's rating action is:
US$12,775,000 Series A/Class A-1 Notes due 2029 (the "Class A-1
Notes"), Assigned Aaa (sf)
US$2,425,000 Series A/Class A-2 Notes due 2029 (the "Class A-2
Notes"), Assigned Aa2 (sf)
US$1,200,000 Series A/Class B Notes due 2029 (the "Class B Notes"),
Assigned A2 (sf)
US$1,100,000 Series A/Class C Notes due 2029 (the "Class C Notes"),
Assigned Baa2 (sf)
US$1,000,000 Series A/Class D Notes due 2029 (the "Class D Notes"),
Assigned Ba1 (sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the
Class C Notes and the Class D Notes are referred to herein as the
"Rated Notes."
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.
GLM 2015-1 is an affiliate of Garrison Funding 2015-1 Manager LLC,
the collateral manager of Garrison Funding 2015-1 Ltd. (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 the US Risk Retention Rules.
The Rated Notes are collateralized primarily by the Underlying CLO
Notes. In addition, the Rated Notes benefit from additional credit
enhancement provided by (i) 80% of the senior management fees from
the Underlying CLO (the "Pledged Management Fee"), (ii) an
unconditional guaranty provided by Garrison Loan Management LLC,
the indirect parent of the Issuer, up to 10% of the initial
aggregate principal amount of the Rated Notes, and, (iii) in the
event the Rated Notes experience a default, certain excess
collections from other, non-defaulted Series of notes outstanding
under the base indenture and any related supplemental indenture.
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 other Series issued under the same
base indenture (and related supplemental indenture) and have
limited rights to assets constituting excess collections from other
Series. Holders of other Series of Debt are likewise precluded from
foreclosing on the assets of the Rated Notes and are limited in
their rights to excess collections from the Rated Notes.
In addition to a variety of other factors, our 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 the Issuer's parent and of 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 August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $400,000,000
Diversity Score: 55
Weighted Average Rating Factor (WARF): 2908
Weighted Average Spread (WAS): 3.75%
Weighted Average Coupon (WAC): 7.0%
Weighted Average Recovery Rate (WARR): 48.5%
Weighted Average Life (WAL): 8.0 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
August 2017.
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 collateral 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 2908 to 3344)
Rating Impact in Rating Notches
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 2908 to 3780)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -3
Class B Notes: -3
Class C Notes: -2
Class D Notes: -1
GREAT WOLF 2017-WOLF: S&P Gives Prelim B Rating on Class F Certs
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Great Wolf
Trust 2017-WOLF's $1.0 billion 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 $1.0 billion, with three one-year extension
options, secured by cross-collateralized first-mortgage liens on
the fee interests in 12 Great Wolf resort properties (the wholly
owned properties), a pledge of the borrowers' indirect equity
interests in two joint venture properties (the JV properties), and
a pledge of the borrowers' interest in the license and franchise
management agreements in one property (the non-owned
managed/licensed property).
The preliminary ratings are based on information as of Sept. 22,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of the collateral's
historical and projected performance, the sponsor's and manager's
experience, the trustee-provided liquidity, the loan's terms, and
the transaction's structure.
PRELIMINARY RATINGS ASSIGNED
Great Wolf Trust 2017-WOLF
Class Rating(i) Amount ($)
A AAA (sf) 319,900,000
X-CP BBB- (sf) 448,400,000(ii)
X-EXT BBB- (sf) 648,400,000(ii)
B AA- (sf) 120,500,000
C A- (sf) 89,600,000
D BBB- (sf) 118,400,000
E BB- (sf) 186,600,000
F B (sf) 114,000,000
HRR B- (sf) 51,000,000
(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 reduced by the aggregate amount of principal
distributions and realized losses allocated to the A-2 portion of
the class A certificates and the class B, C, and D certificates.
The notional amount of the class X-EXT certificates will be reduced
by the aggregate amount of principal distributions and realized
losses allocated to the class A, B, C, and D certificates. The A-2
portion of the class A certificates will be $119.9 million.
GS MORTGAGE 2014-GC20: Fitch Affirms 'BB-sf' Rating on 2 Tranches
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Fitch Ratings has affirmed 13 classes of GS Mortgage Securities
Trust Series 2014-GC20 commercial mortgage pass-through
certificates.
KEY RATING DRIVERS
The affirmations reflect the relatively stable pool performance and
the Fitch Loans of Concern. Fitch modeled losses of 6.4% of the
remaining pool; expected losses on the original pool balance total
5.8%. The pool has experienced no realized losses to date. As of
the September 2017 distribution date, the pool's aggregate
principal balance has been reduced by 10.1% to $1.06 billion from
$1.18 billion at issuance. Per the servicer reporting, one loan
(2.2% of the pool) is defeased. Interest shortfalls are currently
affecting class H.
Fitch Loans of Concern (LOC): Fitch has designated six loans
(15.9%) as Fitch LOCs, including three of the top 15 loans (13.7%).
The largest LOC, Three WestLake Park (7.5% of the pool), is secured
by a 19-story office building located in Houston's Energy Corridor.
At issuance, it was nearly fully occupied by two tenants,
ConocoPhillips (57.7% of the net rentable area [NRA]) and BP Amoco
(40.8% of the NRA). However, BP has vacated after its November 2016
lease expiration, and ConocoPhillips informed the borrower it would
be vacating nearly all of its space in 2017, well before the
February 2019 lease expiration.
ConocoPhillips (rated 'A-'/Outlook Stable) maintains its
headquarters less than two miles from the subject and has been
consolidating its Houston employees into the nearby Energy Center
Three and Four.
Despite the Fitch LOCs, overall property-level performance remains
generally in line with issuance expectations. The transaction
balance has been reduced by 10.1% since issuance.
Hurricane Exposure: Loans secured by properties located in Houston
total 12.4% of the pool, and loans located in Florida total 14.3%.
Damage reports are still being gathered to determine the severity
of impact from Hurricanes Harvey and Irma.
Limited Lodging Exposure: The pool's hotel concentration of 7.7% is
lower than the 2013 vintage average hotel concentration of 14.7%.
However, two of the 15 largest loans (Sheraton Suites Houston and
the Oklahoma Hotel Portfolio) in the pool are collateralized by
hotel properties.
RATING SENSITIVITIES
The Rating Outlook for class E remains Negative due to concerns
with the third largest loan, Three Westlake Park. The property has
experienced significant occupancy decline, and damage from
Hurricane Harvey is still being assessed. The Rating Outlooks for
classes A-3 through D remain Stable due to overall stable
collateral performance. Fitch does not foresee positive or negative
ratings migration for these classes unless a material economic or
asset level event changes the underlying transaction's
portfolio-level metrics.
Fitch affirms the following classes:
-- $162 million class A-3 at 'AAAsf'; Outlook Stable;
-- $185 million class A-4 at 'AAAsf'; Outlook Stable;
-- $272.4 million class A-5 at 'AAAsf'; Outlook Stable;
-- $88.9 million class A-AB at 'AAAsf'; Outlook Stable;
-- $780.7 million* class X-A at 'AAAsf'; Outlook Stable;
-- $78.3 million* class X-B at 'AA-sf'; Outlook Stable;
-- $72.4 million class A-S at 'AAAsf'; Outlook Stable;
-- $78.3 million class B at 'AA-sf'; Outlook Stable;
-- $200.9 class PEZ at 'A-sf'; Outlook Stable;
-- $50.2 million class C at 'A-sf'; Outlook Stable;
-- $29.6 million* class X-C at 'BB-sf'; Outlook Negative;
-- $59.1 million class D at 'BBB-sf'; Outlook Stable;
-- $29.6 million class E at 'BB-sf'; Outlook Negative.
*Notional amount and Interest-Only.
The class A-1 and A-2 certificates have paid in full. Fitch does
not rate the class F, G, H and X-D certificates.
GUGGENHEIM PDFNI 2: Fitch Assigns 'Bsf' Rating to Class D Notes
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Fitch Ratings has assigned the following ratings to the notes
issued on the Sixth Funding Date by Guggenheim Private Debt Fund
Note Issuer 2.0, LLC (Guggenheim PDFNI 2):
-- $31,354,983 Class A notes series A-6 'A-sf'; Outlook Stable;
-- $11,780,515 Class B notes series B-6 'BBB-sf'; Outlook Stable;
-- $7,973,124 Class C notes series C-6 'BBsf'; Outlook Stable;
-- $4,120,940 Class D notes series D-6 'Bsf'; Outlook Stable.
Fitch has also affirmed all other outstanding notes.
Fitch does not rate the leverage tranche and class E notes.
TRANSACTION SUMMARY
Fitch assigned ratings to the notes issued on the sixth funding
date, occurring on Sept. 22, 2017. Pursuant to the sixth funding
date, the issuer has drawn an aggregate of $78,947,369 from the
commitments plus $33,034,715 from the leverage tranche (not rated
by Fitch). Of the $78,947,369, $23,717,807 was issued in the form
of first-loss class E notes, which are also not rated by Fitch.
The first five funding dates occurred on April 12, 2016, July 8,
2016, Aug. 30, 2016, May 11, 2017, and June 9, 2017, achieving a
total capitalization of approximately $1.52 billion through the
fifth funding date. This amount consisted of approximately $748.5
million of rated notes, $321.5 million of unrated first-loss class
E notes and LLC interests, and $447.7 million from the leverage
tranche. All notes from each series are cross-collateralized by the
entire collateral portfolio, which, after the sixth funding, is
expected to consist of approximately $171 million of broadly
syndicated loans, $1.26 billion of private-debt investments (PDIs)
and approximately $244 million in cash. The manager expects to use
the cash in the near term to purchase additional broadly syndicated
loans from the primary loan market.
Guggenheim PDFNI 2.0 is a collateralized loan obligation (CLO)
transaction that invests in a portfolio composed of a combination
of broadly syndicated loans and middle-market PDIs. The manager,
Guggenheim Partners Investment Management, LLC (GPIM), has notified
Fitch that the sixth funding date shall be the last scheduled
funding date, and all investor commitments have been fully drawn.
Further transaction details are described in Fitch's report
'Guggenheim Private Debt Fund Note Issuer 2.0, LLC' dated Sept. 25,
2015.
KEY RATING DRIVERS
Credit Enhancement: CE for each class of rated notes, in addition
to excess spread, is sufficient to protect against portfolio
default and recovery rate projections in each class's respective
rating stress scenario. The degree of CE available to each class of
rated notes exceeds the average CE levels typically seen on
like-rated tranches of recent CLO issuances backed by middle-market
loans.
'B-' Asset Quality: The average credit quality of the indicative
portfolio is 'B'/'B-'. Fitch's analysis centered on a
Fitch-stressed portfolio with a weighted average rating of 43.4
('B-'/'CCC+'). Issuers rated in the 'B' rating category denote a
highly speculative credit quality while issuers in the 'CCC' rating
category denote substantial credit risk. When analyzing the Fitch
stressed portfolio for the sixth funding date, class A, B, C and D
notes were projected to withstand default rates of up to 78.2%,
69.0%, 66.2%, and 65.1%, at their current rating stresses,
respectively.
Moderate Recovery Expectations: In determining the rating of the
notes, Fitch created a stressed portfolio and assumed recovery
prospects consistent with a Fitch Recovery Rating of 'RR3' in line
with the collateral quality test limit for asset recoveries.
FITCH ANALYSIS
Analysis was conducted on a Fitch-stressed portfolio which was
created by Fitch and designed to address the impact of the most
prominent risk-presenting concentration allowances and targeted
test levels to ensure that the transaction's expected performance
is in line with the ratings assigned. The Fitch-stressed portfolio
and notable portfolio concentration limitations are described in
the press release 'Fitch Rates Guggenheim Private Debt Fund Note
Issuer 2.0, LLC' dated April 12, 2016.
The Fitch-stressed portfolio assumed an approximate $1.63 billion
portfolio with the following assumptions:
-- Total of 39 obligors, with maximum concentrations for the nine
largest obligors;
-- Maximum weighted average life of 7.1 years;
-- 90% floating rate assets earning a weighted average spread
(WAS) of 6.25% (per WAS covenant);
-- 60% of the assets were assumed at 'CCC', 20% at 'B-' and 20%
at 'B';
-- Maximum allowable industry concentrations of 20% for the top
two industries and 15% for all other industries;
-- 10% fixed rate assets earning a weighted average coupon (WAC)
of 7.00% (per current WAC);
-- 10% of the assets paying interest semi-annually;
-- 15% deferrable items.
Cash flow modelling results show that all notes passed their
respective PCM hurdle rates in all nine stress scenarios when
analysing the indicative portfolio, with minimum cushions of 21% or
more. The class A, B, C, and D notes also passed their hurdle rates
in all nine stress scenarios with a minimum cushion of 2.2%, 0.0%,
5.2%, and 13.1%, respectively, when analyzing the Fitch stressed
portfolio.
Fitch was comfortable assigning the 'A-sf', 'BBB-sf', 'BBsf' and
'Bsf' ratings to class A, B, C and D notes, respectively, because
the agency believes the notes can sustain a robust level of
defaults combined with low recoveries, and due to other factors,
such as the strong performance of the notes in the sensitivity
scenarios and the degree of cushions when analyzing the indicative
portfolio. The Stable Outlooks on the notes reflect the expectation
that the notes have a sufficient level of credit protection to
withstand potential deterioration in the credit quality of the
portfolio.
RATING SENSITIVITIES
Fitch evaluated the sixth funding date structure's sensitivity to
the potential variability of key model assumptions including
decreases in recovery rates and increases in default rates or
correlation.
Fitch expects each class of notes to remain within one or two
rating categories of their original ratings even under the most
extreme sensitivity scenarios. Results under these sensitivity
scenarios ranged between 'Asf' and 'BB+sf' for the class A notes;
'BB+sf' and 'B+sf' for the class B notes; 'BB-sf' and 'B-sf' for
the class C notes; and 'B+sf' and 'CCCsf' for the class D notes.
The results of the sensitivity analysis also contributed to Fitch's
assignment of Stable Outlooks for each class of notes.
HARBOR SPC 2006-2: S&P Lowers Ratings on 4 Tranches to 'D(sf)'
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S&P Global Ratings lowered its ratings on the class A, B, C, and D
notes to 'D (sf)' from 'CCC (sf)' from Harbor SPC Series 2006-2, a
synthetic collateralized debt obligation transaction backed by
commercial mortgage-backed securities.
The downgrades reflect principal losses on the class A, B, C, and D
notes based on the August 2017 trustee report.
JAMESTOWN CLO II: S&P Affirms BB(sf) Rating on Class D Notes
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S&P Global Ratings raised its ratings on the class A-2A, A-2B, and
B notes from Jamestown CLO II Ltd. and affirmed its ratings on the
class A-1, C, and D notes. We also removed our ratings on classes
A-2A, A-2B, B, and C from CreditWatch, where we placed them with
positive implications on July 18, 2017.
The rating actions follow S&P's review of the transaction's
performance using data from the Aug. 31, 2017 trustee report.
The upgrades reflect $132.15 million in paydowns to the class A-1
notes since S&P's May 6, 2016, rating actions. These paydowns
improved the reported overcollateralization (O/C) ratios since the
April 12, 2016, trustee report, which S&P used for its May 6, 2016
rating actions:
-- The class A-1 O/C ratio improved to 204.94% from 160.74%.
-- The class A-2A/A-2B O/C ratio improved to 151.09% from
133.59%.
-- The class B O/C ratio improved to 128.18% from 119.83%.
-- The class C O/C ratio improved to 116.54% from 112.21%.
-- The class D O/C ratio improved to 109.61% from 107.45%.
S&P said, "The collateral portfolio's credit quality has slightly
deteriorated since our last rating actions. Collateral obligations
with ratings in the 'CCC' category have increased to $30.59 million
from $17.74 million reported as of the April 12, 2016 trustee
report. Over the same period, the par amount of defaulted
collateral increased to $10.28 million from $8.73. However, despite
the slightly larger concentrations in the 'CCC' category and
defaulted collateral, the transaction has benefited from a drop in
the weighted average life due to underlying collateral's seasoning,
which is now at 4.46 years compared to 4.51 years in May 2016.
"On a standalone basis, the results of the cash flow analysis
indicated higher ratings on the class B, C, and D notes. However,
due to the portfolio credit deterioration, we limited the upgrades
on certain classes to maintain rating cushion as the transaction
continues to amortize.
"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."
RATING AND CREDITWATCH ACTIONS
Jamestown CLO II Ltd.
Rating
Class To From
A-2A AAA (sf) AA (sf)/Watch Pos
A-2B AAA (sf) AA (sf)/Watch Pos
B AA (sf) A (sf)/Watch Pos
C BBB (sf) BBB (sf)/Watch Pos
RATINGS AFFIRMED
Jamestown CLO II Ltd.
Class Rating
A-1 AAA (sf)
D BB (sf)
JP MORGAN 2014-C24: Fitch Affirms 'Bsf' Rating on Class X-D Notes
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Fitch Ratings has affirmed 19 classes of J.P. Morgan Chase
Commercial Mortgage Securities Trust (JPMBB), series 2014-C24
commercial mortgage pass-through certificates.
KEY RATING DRIVERS
The affirmations are based on the stable performance of the
underlying collateral. As of the August 2017 distribution date, the
pool's aggregate balance has been reduced by 1.2% to $1.26 billion,
from $1.28 billion at issuance.
Stable Performance: The overall performance of the pool has been
stable since issuance. There are currently no loans delinquent or
in special servicing. Three loans totaling 3.2% of pool balance are
on the servicer watch list. However, only one of these loans (0.9%
of the pool) is on the list due to performance issues.
Regional Mall Exposure: Three of the loans in the top 10 totaling
23.9% of the pool balance are collateralized by regional malls. Two
of these properties (14.8% of the pool) reflect direct or indirect
exposure to Sears, Macy's, JCPenney or Bon-Ton Stores, which have
recently experienced declining sales and closed stores.
Highly Concentrated Pool: The top 10 loans in the pool compose
60.2% of the outstanding balance, with the top 20 representing
81%.
Limited Amortization: At issuance, six loans (28.7%) were full
term, interest only, while an additional 21 loans (49.8%) had a
partial interest-only period. Only one loan (0.23%) was fully
amortizing. There were 22 (17.9%) amortizing balloon loans with
loan terms of five to 11 years. The pool is scheduled to amortize
by 8.37%. As of the August 2017 remittance, the pool had paid down
approximately 1.1%.
RATING SENSITIVITIES
Rating Outlooks for all classes remain Stable due to the overall
stable performance of the pool and continued amortization. Upgrades
may occur with improved pool performance and significant paydown or
defeasance. Downgrades to the classes are possible should overall
pool performance decline.
Fitch has affirmed the following ratings:
-- $20.5 million notes A-1 at 'AAAsf'; Outlook Stable;
-- $184 million notes A-2 at 'AAAsf'; Outlook Stable;
-- $41 million notes A-3 at 'AAAsf'; Outlook Stable;
-- $190 million notes A-4A1 at 'AAAsf'; Outlook Stable;
-- $75 million notes A-4A2 at 'AAAsf'; Outlook Stable;
-- $297.3 million notes A-5 at 'AAAsf'; Outlook Stable;
-- $66.6 million notes A-SB at 'AAAsf'; Outlook Stable;
-- $76.2 million notes A-S at 'AAAsf'; Outlook Stable;
-- $76.2 million notes B at 'AA-sf'; Outlook Stable;
-- $47.7 million notes C at 'A-sf'; Outlook Stable;
-- $200.2 million notes EC at 'A-sf'; Outlook Stable;
-- $81 million notes D at 'BBB-sf'; Outlook Stable;
-- $25.4 million notes E at 'BBsf'; Outlook Stable;
-- $14.3 million notes F at 'Bsf'; Outlook Stable;
-- $950.9 million* notes X-A at 'AAAsf'; Outlook Stable;
-- $76.2 million* notes X-B1 at 'AA-sf'; Outlook Stable;
-- $81 million* notes X-B2 at 'BBB-sf'; Outlook Stable;
-- $25.4 million* notes X-C at 'BBsf'; Outlook Stable;
-- $14.3 million* notes X-D at 'Bsf'; Outlook Stable.
Class A-S, B, and C certificates may be exchanged for class EC
certificates and class EC certificates may be exchanged for class
A-S, B, and C certificates. Fitch does not rate the X-E, NR, and
ESK certificates.
*Notional amount and interest only
KCAP F3C: S&P Assigns Prelim BB-(sf) Rating on Class E Notes
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S&P Global Ratings assigned its preliminary ratings to KCAP F3C
Senior Funding LLC's $216.25 million floating-rate notes.
The note issuance is a collateralized loan obligation transaction
is primarily backed by middle-market speculative-grade senior
secured term loans.
The preliminary ratings are based on information as of Sept. 27,
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
middle-market speculative-grade senior secured term loans that are
governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
KCAP F3C Senior Funding LLC
Class Rating Amount (mil. $)
A AAA (sf) 135.00
B AA (sf) 35.25
C (deferrable) A (sf) 16.50
D (deferrable) BBB- (sf) 15.00
E (deferrable) BB- (sf) 14.50
Subordinate notes NR 33.75
NR--Not rated.
MADISON PARK XXVI: S&P Assigns B- Rating on Class F-R Notes
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S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-R, E-R, and F-R replacement notes from Madison Park Funding XXVI
Ltd. (formerly known as Madison Park Funding IV Ltd.), a
collateralized loan obligation (CLO) originally issued in 2007 that
is managed by Credit Suisse Asset Management LLC. S&P withdrew its
ratings on the original class A-1a, A-1b, A-2, B, C, D, and E notes
following payment in full on the Sept. 22, 2017, refinancing date.
On the Sept. 22, 2017, refinancing date, the proceeds from the
class A-R, B-R, C-R, D-R, E-R, and F-R replacement note issuances
were used to redeem the original class A-1a, A-1b, A-2, B, C, D,
and E notes as outlined in the transaction document provisions.
Therefore, S&P withdrew its ratings on the original notes in line
with their full redemption, and it is assigning ratings to the
replacement notes.
The replacement notes are being issued via a supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, has also:
-- Upsized the rated par amount to $469.00 million.
-- Extended the reinvestment period to Oct. 29, 2022, from March
22, 2014.
-- Extended the non-call period to Oct. 29, 2019, from March 22,
2010.
-- Extended the weighted average life test to nine years from the
refinancing date from 9.5 years from the first payment date on
Sept. 22, 2007.
-- Extended the legal final maturity date on the rated notes to
July 29, 2030, from March 22, 2021. In addition, the transaction
extended the legal final maturity date on the subordinated notes to
July 29, 2047, from March 22, 2021.
-- Adopted the use of the non-model version of CDO Monitor. During
the reinvestment period, the non-model version of CDO Monitor may
be used for this transaction to indicate whether changes to the
collateral portfolio are generally consistent with the transaction
parameters we assumed when initially assigning ratings to the
notes. The non-model CDO Monitor approach is built on a foundation
of six portfolio benchmarks intended to provide insight into the
characteristics that inform our view of CLO collateral credit
quality. The benchmarks are meant to enhance transparency for
investors and other CLO market participants by allowing them to
compare metrics across CLO portfolios as well as assess changes
within a given portfolio over time (see "Standard & Poor's
Introduces Non-Model Version Of CDO Monitor," Dec. 8, 2014).
-- Changed the required minimum thresholds for the coverage
tests.
REPLACEMENT AND ORIGINAL NOTE ISSUANCES
Replacement Notes
Class Notional Interest
(mil. $) rate (%)
A-R 305.00 LIBOR + 1.20
B-R 70.00 LIBOR + 1.60
C-R 35.00 LIBOR + 2.05
D-R 29.50 LIBOR + 3.00
E-R 20.50 LIBOR + 6.50
F-R 9.00 LIBOR + 7.95
Subordinated notes 50.00 N/A
Original Notes
Class Original Notional
notional Aug. 2017 Interest
(mil. $) (mil. $) rate (%)
A-1a 200.00 81.04 LIBOR + 0.22
A-1b 50.00 50.00 LIBOR + 0.30
A-2 110.00 57.66 LIBOR + 0.23
B 31.25 31.25 LIBOR + 0.37
C 30.00 30.00 LIBOR + 0.65
D 20.00 20.00 LIBOR + 1.43
E 21.00 17.94 LIBOR + 3.60
Subordinated notes 37.75 37.75 N/A
N/A--Not applicable.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"The assigned ratings reflect our opinion that the credit support
available is commensurate with the associated rating levels.
"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 rating actions as we
deem necessary."
RATINGS ASSIGNED
Madison Park Funding XXVI Ltd.
(formerly known as Madison Park Funding IV Ltd.)
Replacement class Rating Amount
(mil. $)
A-R AAA (sf) 305.00
B-R AA (sf) 70.00
C-R A (sf) 35.00
D-R BBB- (sf) 29.50
E-R BB- (sf) 20.50
F-R B- (sf) 9.00
Subordinated notes NR 50.00
RATINGS WITHDRAWN
Madison Park Funding XXVI Ltd. (formerly known as Madison Park
Funding IV Ltd.)
Rating
Original class To From
A-1a NR AAA (sf)
A-1b NR AAA (sf)
A-2 NR AAA (sf)
B NR AA+ (sf)
C NR AA- (sf)
D NR A- (sf)
E NR BB+ (sf)
NR--Not rated.
MCF CLO IV: S&P Assigns Prelim BB-(sf) Rating on Class E-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-R, and E-R replacement notes from MCF CLO IV LLC,
a collateralized loan obligation (CLO) originally issued in
November 2014 that is managed by Madison Capital Funding LLC. The
replacement notes will be issued via a proposed supplemental
indenture.
The preliminary ratings reflect S&P's opinion that the credit
support available is commensurate with the associated rating
levels.
The preliminary ratings are based on information as of Sept. 25,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Oct. 16, 2017, refinancing date, the proceeds from the
issuance of the replacement notes are expected to redeem the
original notes. S&P said, "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, we
may affirm the ratings on the original notes and withdraw our
preliminary ratings on the replacement notes."
The replacement notes are being issued via a proposed supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, will also:
-- Extend the stated maturity, reinvestment period, and non-call
period; and
-- Update the S&P Global Ratings industry codes and recovery rates
and incorporate the formula version of Standard & Poor's CDO
Monitor.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take further rating actions
as we deem necessary."
PRELIMINARY RATINGS ASSIGNED
MCF CLO IV LLC Replacement class
Rating Amount (mil. $)
A-R AAA (sf) 262.25
B-R (deferrable) AA (sf) 37.50
C-R (deferrable) A (sf) 35.50
D-R (deferrable) BBB- (sf) 30.50
E-R (deferrable) BB- (sf) 30.00
Subordinated notes NR 61.85
NR--Not rated.
MORGAN STANLEY 2001-TOP3: Fitch Affirms BB Rating on Class E Certs
------------------------------------------------------------------
Fitch Ratings has affirmed eight classes of Morgan Stanley Dean
Witter Capital I Trust (MSDWCI) commercial mortgage pass-through
certificates series 2001-Top3.
KEY RATING DRIVERS
The affirmation of class E reflects the pool concentration and the
collateral quality of the remaining loans. As of the September 2017
distribution date, the pool's aggregate principal balance has been
reduced by 98.1% to $19.2 million from $1.03 billion at issuance.
Per the servicer reporting, two loans (10.3% of the pool) are
defeased. Interest shortfalls are currently affecting classes G
through N.
Concentrated Pool: There are only 10 loans remaining. The largest
three loans make up 66.1% of the pool, and 67.5% of pool is secured
by retail properties. Approximately 99% of the pool matures in
2021. The largest loan in the pool (26%) is secured by a 56,963
square foot retail property in Belle Harbor, NY. The property was
previously 100% occupied by A&P (Waldbaum's), but is now leased to
Stop & Shop through May 2021 (co-terminus with the loan's
maturity). The year-end 2016 debt service coverage ratio was
reported to be 1.46x.
Due to the concentrated nature of the pool, Fitch performed a
sensitivity analysis that grouped the remaining loans based on loan
structural features, collateral quality and performance and ranked
them by their perceived likelihood of repayment. This includes
defeased loans, fully amortizing loans, balloon loans, and Fitch
Loans of Concern (FLOC). The ratings reflect this sensitivity
analysis.
Fitch Loans of Concern/Collateral Quality: There are two FLOCs
(40.3%), both of which are vacant grocery stores. The largest FLOC
is secured by a 56,777 square-foot property located in
Indianapolis, IN. The subject was formerly 100% occupied by Marsh
Supermarket, but the tenant filed for bankruptcy in May 2017 and
has since vacated. The borrower is in the process of finding a
replacement tenant.
The rest of the non-defeased collateral mainly consists of retail
and self-storage properties located in secondary and tertiary
markets, and self-storage properties located in secondary and
tertiary markets.
RATING SENSITIVITIES
The Rating Outlook on class E remains Stable due to the high level
of credit enhancement and expected continued paydown. Any losses
from the remaining loans are expected to be absorbed by the
subordinate class F. Future upgrades to class E will be limited due
to the increasing concentrations within the pool and the collateral
quality of the remaining loans. Conversely, class E may be subject
to downgrades if the performance of the underlying collateral
declines.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating.
Fitch affirms the following classes:
-- $12.1 million class E at 'BBsf'; Outlook Stable;
-- $7.1 million class F at 'Dsf'; RE 50%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-4, B, C, D and X-2 certificates have
paid in full. Fitch does not rate the class N certificates. Fitch
previously withdrew the rating on the interest-only class X-1
certificates.
MORGAN STANLEY 2003-TOP11: Moody's Hikes Class H Debt Rating to B1
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two classes
and affirmed the ratings on two classes in Morgan Stanley Capital I
Trust, Commercial Mortgage Pass-Through Certificates, Series
2003-TOP11:
Cl. G, Upgraded to Aaa (sf); previously on Sep 23, 2016 Upgraded to
Aa2 (sf)
Cl. H, Upgraded to B1 (sf); previously on Sep 23, 2016 Upgraded to
B3 (sf)
Cl. J, Affirmed C (sf); previously on Sep 23, 2016 Affirmed C (sf)
Cl. X-1, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The ratings on two P&I Classes were upgraded due to an increase in
credit support resulting from loan paydowns and amortization. The
deal has paid down 24% since Moody's last review.
The rating on Class J was affirmed because the ratings are
consistent with Moody's expected loss plus realized losses. Class J
has already experienced a 35% realized loss as result of previously
liquidated loans.
The rating on IO Class, Class X-1, was affirmed based on the credit
quality of its referenced classes.
Moody's rating action reflects a base expected loss of 0.2% of the
current balance, unchanged from Moody's last review. Moody's base
expected loss plus realized losses is now 1.8% of the original
pooled balance, unchanged from Moody's last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in these ratings were "Approach to Rating US
and Canadian Conduit/Fusion CMBS" published in July 2017, and
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in July 2017.
Additionally, the methodology used in rating Cl. X-1 was "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the September 13, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by nearly 99% to $15.2
million from $1.19 billion at securitization. The certificates are
collateralized by 18 mortgage loans ranging in size from less than
1% to 23% of the pool, with the top ten loans constituting 79% of
the pool. Four loans, constituting 17% of the pool, have defeased
and are secured by US government securities.
Five loans, constituting 18% 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.
We identified one property, representing 5.4% of the pool, located
in Texas counties affected by Hurricane Harvey as well as one
property, representing 1.1% of the pool located in Orlando, Florida
that was potentially affected by Hurricane Irma. While the full
extent of any damage is not yet known, Moody's will continue to
monitor potentially affected loans as more information becomes
available.
Fifteen loans have been liquidated from the pool, contributing to
an aggregate realized certificate loss of approximately $21.9
million. There are no loans currently in special servicing.
Moody's received full year 2016 operating results for 100% of the
pool, and full or partial year 2017 operating results for 66% of
the pool. Moody's weighted average conduit LTV is 36.5%, compared
to 34.5% 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 15% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.6%.
Moody's actual and stressed conduit DSCRs are 1.81X and 6.26X,
respectively, compared to 1.85X and 5.56X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 44.2% of the pool balance.
The largest conduit loan is the All Size Storage Loan ($3.48
million -- 22.8% of the pool), which is secured by a three story,
six building, 665 unit self-storage property located in San
Clemente, CA approximately 28 miles south of Orange County and less
than 2 miles east of I-5. The Property was 87% leased as of June
2017, compared to 83% in March 2016. The loan benefits from
amortization and is scheduled to mature in June 2018. Moody's LTV
and stressed DSCR are 34% and 3.05X, respectively.
The second largest conduit loan is the 11-15 Henry Street Loan
($1.67 million -- 10.9% of the pool), which is secured by a 41 unit
multifamily property located in a suburban neighborhood in
Bloomfield, NJ. The Property was 98% occupied as of June 2017 and
listed in good condition in its June 2017 servicer inspection
report. The loan benefits from amortization and is scheduled to
mature in April 2018. Moody's LTV and stressed DSCR are 93% and
1.11X, respectively.
The third largest conduit loan is the Foothilll Junction Shopping
Center Loan ($1.6 million -- 10.5% of the pool), which is secured
by a six building retail center located in Roseville, California
approximately 19 miles northeast of Sacramento. The property is
shadow anchored by a Save-Mart super-market and CVS. The property
was 90% leased as of June 2017 compared to 78% in June 2016. The
Loan is fully amortizing and has a loan maturity in May 2023.
Moody's LTV and stressed DSCR are 36% and 2.89X, respectively.
MORGAN STANLEY 2004-TOP13: Fitch Hikes Rating on Cl. O Certs to CC
------------------------------------------------------------------
Fitch Ratings has affirmed one and upgraded eight classes of Morgan
Stanley Capital I Trust commercial mortgage pass-through
certificates, series 2004-TOP13.
KEY RATING DRIVERS
Concentration: The pool is concentrated by loan size and property
type. There are 24 loans outstanding, with the Top 10 representing
87.3% of the pool. Of the remaining loans, 18 (67.4% of the pool)
are secured by retail properties.
Defeasance: Six loans representing 29.4% of the pool are fully
defeased.
Amortization: The transaction has experienced 95.4% of collateral
reduction since issuance. Loans representing 14.2% of the pool are
fully amortizing and another 9.3% of the pool is hyper-amortizing
to a negligible balloon balance. The weighted-average Fitch
stressed LTV is considered low at 46.2%, and the reported
weighted-average debt yield is 50.3%.
Upcoming Maturities: 91.4% of the outstanding balance is scheduled
to mature prior to YE2018. A large portion of the scheduled
upcoming maturities are defeased or fully amortizing loans. Three
loans representing 8.2% of the pool are scheduled to be outstanding
until 2023.
RATING SENSITIVITIES
Fitch revised the Rating Outlook on class G to Stable from Positive
and the Outlooks for classes J, K, L and M to Positive from Stable,
reflecting the possibility for future upgrades should the pool
continue to delever and these classes become backed by defeased
collateral. Defeasance and fully amortizing debt represent 52.1% of
the current pool balance. There is binary risk associated with the
wave of loan maturities occurring in 2018 and the pool's
concentration by loan size; however, Fitch utilized conservative
scenarios and additional sensitivity stresses in its modelling and
points to the pool's credit metrics and continued amortization as
mitigating factors. Future upgrades to classes N and O are possible
if all balloon loans successfully refinance and pay out of the
pool. These classes may be subject to downgrades if maturity
defaults occur.
Fitch has affirmed the following rating:
-- $8.4 million class F at 'AAAsf'; Outlook Stable.
Fitch has upgraded the following ratings and revised Outlook as
indicated:
-- $10.6 million class G to 'AAAsf' from 'AAsf'; Outlook revised
to Stable from Positive;
-- $9.1 million class H to 'AAAsf' from 'Asf'; Outlook Stable;
-- $9.1 million class J to 'Asf' from 'BBBsf'; Oultook revised to
Positive from Stable;
-- $3 million class K to 'BBBsf' from 'BBsf'; Outlook revised to
Positive from Stable;
-- $3 million class L to 'BBBsf' from 'Bsf'; Outlook revised to
Positive from Stable;
-- $3 million class M to 'BBsf' from 'Bsf'; Outlook revised to
Positive from Stable;
-- $4.5 million class N to 'CCCsf' from 'CCsf'; RE 100%;
-- $3 million class O to 'CCsf' from 'Csf'; RE revised to 100%.
The class A-1, A-2, A-3, A-4, B, C, D and E certificates have been
paid in full. Fitch does not rate the class P certificate. Fitch
previously withdrew the ratings on the interest-only class X-1 and
X-2 certificates.
MORGAN STANLEY 2007-IQ15: 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 Morgan Stanley Capital I
Trust 2007-IQ15, a U.S. commercial mortgage-backed securities
(CMBS) transaction. At the same time, S&P affirmed its rating on
the class B certificates from the same transaction.
S&P said, "Our rating actions on the certificates follow our
analysis of the transaction, primarily using our criteria for
rating U.S. and Canadian CMBS transactions, which included a review
of the credit characteristics and performance of the remaining
assets in the pool, the transaction's structure, and the liquidity
available to the trust.
"We raised our rating on the class A-J certificates to reflect our
expectation of the available credit enhancement for this class,
which we believe is greater than our most recent estimate of
necessary credit enhancement for the rating level. The upgrade also
reflects the reduction in trust balance.
"The rating affirmation on the class B certificates reflects the
recent interest shortfalls experienced by the class and its
repayment timing, as well as our view of the class' susceptibility
to liquidity interruption from the six specially serviced assets
($32.8 million, 19.6%), none of which have reported appraisal
reduction amounts.
"While available credit enhancement levels suggest further positive
rating movement on class A-J, our analysis also considered the
susceptibility to reduced liquidity support from the six specially
serviced assets. In addition, we considered the second-largest loan
in the pool, the BoDo Lifestyle Center loan ($23.3 million, 13.9%),
which is on the master servicers' combined watchlist, to be credit
impaired due to the heightened risk of being transferred to special
servicing. The loan has a reported nonperforming matured balloon
payment status and matured on Aug. 5, 2017.
TRANSACTION SUMMARY
As of the Sept. 13, 2017, trustee remittance report, the collateral
pool balance was $167.3 million, which is 8.1% of the pool balance
at issuance. The pool currently includes 24 loans and one real
estate-owned (REO) asset, down from 134 loans at issuance. Six of
these assets are with the special servicer, and seven loans ($64.7
million, 38.7%) are on the master servicers' combined watchlist.
The master servicers, Berkadia Commercial Mortgage LLC and
Prudential Asset Resources, reported financial information for
98.4% of the loans in the pool, of which 94.8% was partial-year or
year-end 2016 data, and the remainder was year-end 2015 data.
S&P said, "We calculated a 1.22x S&P Global Ratings' weighted
average DSC and 74.7% S&P Global Ratings' weighted average
loan-to-value (LTV) ratio using a 7.97% S&P Global Ratings'
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the specially serviced
assets: the credit-impaired Bodo Lifestyle Center loan and the
Kmart Shopping Plaza - Sayville ground lease loan ($13.0 million,
7.8%). The top 10 assets have an aggregate outstanding pool trust
balance of $140.9 million (84.3%). Using adjusted servicer-reported
numbers and excluding the specially serviced assets (the
credit-impaired and ground lease loans), we calculated a S&P Global
Ratings' weighted average DSC and LTV of 1.16x and 81.9%,
respectively, for five of the top 10 assets.
"To date, the transaction has experienced $169.5 million in
principal losses, or 8.3% of the original pool trust balance. We
expect losses to reach approximately 9.2% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses we expect upon the eventual resolution of the
specially serviced assets and the credit-impaired loan."
CREDIT CONSIDERATIONS
As of the Sept. 13, 2017, trustee remittance report, six assets in
the pool were with the special servicer, C-III Asset Management LLC
(C-III). Details of the two largest specially serviced assets, both
of which are top 10 assets, are as follows:
The Firewheel Village loan ($10.4 million, 6.2%), the fifth-largest
loan in the pool, has a total reported exposure of $10.5 million.
The loan is secured by a 148,870-sq.-ft. retail property in
Garland, Texas. The loan, which has a reported nonperforming
matured balloon payment status, was transferred to the special
servicer on May 26, 2017, due to maturity default. The loan matured
on June 1, 2017. The reported DSC and occupancy for year-end 2016
were 1.28x and 80.2%, respectively. C-III stated that it is
evaluating the borrower's request for a maturity extension. S&P
expects a minimal loss upon this loan's eventual resolution.
The Peace Corporate Industrial REO asset ($8.6 million, 5.1%), the
seventh-largest asset in the pool, has a total reported exposure of
$8.8 million. The asset is a 304,704-sq.-ft. industrial property in
Dekalb, Ill. The loan was transferred to the special servicer on
June 24, 2016, because of imminent default. The asset became REO on
June 1, 2017. Based on the most recent updates from the special
servicer, the property is currently 100% vacant following 3M
leaving the property in 2016. S&P expects a moderate loss upon this
asset's eventual resolution.
The four remaining assets with the special servicer each have
individual balances that represent less than 4.7% of the total pool
trust balance.
S&P said, "As mentioned above, we consider the BoDo Lifestyle
Center loan, which matured on Aug. 5, 2017, to be credit impaired.
The loan is secured by an 118,050-sq.-ft. retail property in Boise,
Id. The largest tenants at this property include Edwards Theatres
Inc. (37.8% of the net rentable area [NRA] with a November 2020
lease expiration) and Office Depot Inc. (16.2% of NRA with a
January 2021 lease expiration). The reported DSC and occupancy for
year-end 2016 were 1.11x and 97.5%, respectively. Based on recent
updates from the master servicer, the third-largest tenant, Urban
Outfitters Inc. (approximately 8.4% of NRA), vacated upon its
August 2017 lease expiration.
"We expect a moderate loss upon this loan's eventual resolution.
"We estimated losses for the six specially serviced assets and the
credit impaired loan, arriving at a weighted-average loss severity
of 35.1%."
With respect to the specially serviced assets noted above, a
minimal loss is less than 25%, a moderate loss is 26%-59%, and a
significant loss is 60% or greater.
RATINGS LIST
Morgan Stanley Capital I Trust 2007-IQ15
Commercial mortgage pass-through certificates series 2007-IQ15
Rating
Class Identifier To From
A-J 61755YAK0 BBB (sf) B- (sf)
B 61755YAN4 CCC (sf) CCC (sf)
MORGAN STANLEY 2015-C26: Fitch Affirms B-sf Rating on Cl. F Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of Morgan Stanley Bank of
America Merrill Lynch Trust's MSBAM 2015-C26 Mortgage Trust
commercial mortgage pass-through certificates.
KEY RATING DRIVERS
Stable Performance: Overall pool performance has remained stable,
with minimal paydown and no material changes to pool metrics since
issuance. As of the August 2017 distribution date, the pool's
aggregate principal balance has paid down by 0.8% to $1.04 billion
from $1.05 billion at issuance. There are no specially serviced or
delinquent loans. Three loans (1.4% of current pool) are on the
servicer's watchlist, two of which have been designated as Fitch
Loans of Concern (FLOCs; 1.3%). The FLOCs include a hotel loan with
NOI DSCR below 1.0x due to ongoing property renovations and a
multifamily loan with lower cash flow due to increased operating
expenses as the property undergoes major repairs and capital
expenditures.
Pool Concentrations: The top 10 loans comprise 51.6% of the current
pool balance, which is higher than the average 2015 top 10
concentration of 49.3%. The transaction's exposure to areas
impacted by Hurricane Harvey include two loans in the top 15,
Landmark at City Park and West Oaks Landing Apartments, both of
which are multifamily properties located in Houston, TX, comprising
3.9% of the current pool. Per the servicer provided significant
insurance event report, the Landmark at City Park property
sustained minor damages due to Hurricane Harvey. Fitch spoke with
on-site property management at the West Oaks Landing Apartments
property, which indicated there was no damage.
Manhattan Concentration: The largest three loans representing 29%
of the current pool are located in Manhattan. These three
properties are considered to be in very strong locations for office
and retail, including the Grand Central office market/Lower Fifth
Avenue, Herald Square, and Midtown South submarkets.
Limited Retail and Hotel Exposure: Approximately 10.2% of the
current pool consists of retail properties, which is below the
average 2015 concentration of 26.7%. Approximately 6.9% of the
current pool balance consists of hotel properties, which is below
the average 2015 concentration of 17%.
Limited Upcoming Maturities: Only 1.5% of the pool is scheduled to
mature in 2020. The majority of the pool matures in 2024 (9.6%) and
2025 (88.9%).
Limited Amortization: The pool is scheduled to amortize by 9.8% of
the initial pool balance prior to maturity, which was below the
2015 average of 11.7%. Eight loans representing 32.4% of the pool
are full-term interest-only. Additionally, there are 39 loans
(39.8%) with partial interest-only periods. The remaining 22 loans
(27.9%) are amortizing balloon loans with loan terms of five to 10
years. One loan (0.4%) has an anticipated repayment date. Two of
the loans (0.9%) with an initial partial interest-only period have
begun principal and interest (P&I) payments, nine loans (9%) will
commence P&I payments during the fourth quarter 2017 and the
remaining 28 loans (29.9%) will commence P&I payments between 2018
and 2020.
RATING SENSITIVITIES
Rating Outlooks for all classes remain Stable due to overall
unchanged pool performance. Future upgrades may occur with improved
performance, significant paydown, or a high rate of defeasance.
Downgrades could occur if pool performance deteriorates.
Fitch has affirmed the following ratings:
-- $28.0 million class A-1 at 'AAAsf'; Outlook Stable;
-- $14.8 million class A-2 at 'AAAsf'; Outlook Stable;
-- $59.8 million class A-SB at 'AAAsf'; Outlook Stable;
-- $100 million class A-3 at 'AAAsf'; Outlook Stable;
-- $215 million class A-4 at 'AAAsf'; Outlook Stable;
-- $307.4 million class A-5 at 'AAAsf'; Outlook Stable;
-- $77.3 million class A-S at 'AAAsf'; Outlook Stable;
-- $48.5 million class B at 'AA-sf'; Outlook Stable;
-- $44.5 million class C at 'A-sf'; Outlook Stable;
-- $60.3 million class D at 'BBB-sf'; Outlook Stable;
-- $26.2 million class E at 'BB-sf'; Outlook Stable;
-- $10.5 million class F at 'B-sf'; Outlook Stable;
-- $724.6 million class X-A* at 'AAAsf'; Outlook Stable;
-- $125.8 million class X-B* at 'AA-sf'; Outlook Stable;
-- $60.3 million class X-D* at 'BBB-sf'; Outlook Stable;
* Notional amount and interest-only.
N-STAR REAL V: Fitch Cuts & Withdraws 'Dsf' Ratings on 4 Tranches
-----------------------------------------------------------------
Fitch Ratings has downgraded five and affirmed three classes from
two transactions, N-Star Real Estate CDO V Ltd. and Crest 2001-1
Ltd./Corp., due to the recent liquidation of the remaining assets
in the portfolios. In addition, Fitch has withdrawn the ratings on
these eight classes as the balance of these transactions has been
reduced to zero and is no longer considered by Fitch to be relevant
to the agency's coverage.
KEY RATING DRIVERS
Since the last rating action, the portfolio collateral for the two
commercial real estate collateralized debt obligation transactions
has been liquidated. No assets currently remain.
For the N-Star Real Estate CDO V transaction, final liquidation
proceeds were only sufficient to repay class A-1 and a portion of
class A-2. However, classes A-1, A-2 and A-3 were affirmed at 'Dsf'
as these are non-deferrable classes that have previously
experienced an interest payment shortfall. The downgrade of classes
C through F reflects insufficient principal proceeds to repay these
bonds. The trustee held back $500,000 of liquidation proceeds to
cover liquidation and other expenses which may arise or be
presented for payment. However, the negligible amount in this hold
back account would not impact any rating recommendations.
For the Crest 2001-1 transaction, the downgrade of class C to 'Dsf'
reflects insufficient final liquidation proceeds to repay the
class.
RATING SENSITIVITIES
The bonds have defaulted and are not expected to recover any
material amount of lost principal in the future.
Fitch has downgraded and withdrawn ratings on the following
classes:
N-Star Real Estate CDO V Ltd.
-- Class C to 'Dsf' from 'Csf';
-- Class D to 'Dsf' from 'Csf';
-- Class E to 'Dsf' from 'Csf';
-- Class F to 'Dsf' from 'Csf'.
Crest 2001-1, Ltd./Corp.
-- Class C to 'Dsf' from 'Csf'.
In addition, Fitch has affirmed and withdrawn ratings on the
following classes:
N-Star Real Estate CDO V Ltd.
-- Class A-1 at 'Dsf';
-- Class A-2 at 'Dsf';
-- Class B at 'Dsf'.
NATIONAL COLLEGIATE 2006-A: Fitch Hikes Rating on Cl. B Debt to BB
------------------------------------------------------------------
Fitch Ratings has taken the following rating actions on National
Collegiate Trust (NCT) 2006-A, NCT 2007-A, NCT 2005-GATE and NCT
2005-GATE Re-Packaging Trust (RT):
NCT 2006-A
-- Class A-2 affirmed at 'AAsf'; Outlook Positive;
-- Class B upgraded to 'BBsf' from 'Bsf'; Outlook Stable.
NCT 2007-A:
-- Class A downgraded to 'AAsf' from 'AAAsf'; Outlook Stable;
-- Class B downgraded to 'BBBsf' from 'Asf'; Outlook Stable;
-- Class C downgraded to 'BBsf' from 'BBBsf'; Outlook Negative.
NCT 2005-GATE:
-- Class B affirmed at 'BBBsf'; Outlook Stable.
NCT Trust 2005-GATE RT:
-- Class A2 certificates affirmed at 'BBBsf'; Outlook Stable;
-- Class A3 certificates affirmed at 'BBBsf'; Outlook Stable;
-- Class A4 certificates affirmed at 'BBBsf'; Outlook Stable;
-- Class A5 certificates affirmed at 'BBBsf'; Outlook Stable;
-- Class EC-1 certificates affirmed at 'BBBsf'; Outlook Stable;
-- Class EC-2 certificates affirmed at 'BBBsf'; Outlook Stable;
-- Class EC-3 certificates affirmed at 'BBBsf'; Outlook Stable;
-- Class EC-4 certificates affirmed at 'BBBsf'; Outlook Stable.
The affirmation of NCT 2006-A class A-2 and NCT 2005-GATE reflect
credit enhancement levels commensurate with the corresponding
ratings. The upgrade of NCT 2006-A class B note reflects the
increased loss coverage commensurate with the bonds' ratings. The
downgrades of NCT 2007-A class A, B and C notes results from the
implementation of the recent publication of Fitch's "U.S. Private
Student Loan ABS Rating Criteria" (PSL criteria) on Aug. 4, 2017,
which, among other things, removed the one-rating category
tolerance for default multiples in surveillance.
The affirmation of NCT Trust 2005-GATE RT follows the affirmation
of NCT 2005-GATE, to which the certificates are credit linked.
Although portfolios were mostly originated under First Marblehead
Corp's GATE Program and subsequently transferred to NCTs, these
trusts are not affected by the announcement made by the Consumer
Financial Protection Bureau (CFPB) on Sept. 18 2017 with respect to
National Collegiate Student Loan Trusts (NCSLT) and Fitch is not
aware of any third-party lawsuits.
KEY RATING DRIVERS
Collateral Performance
NCT 2006-A, 2007-A and 2005-GATE trusts are collateralized by
private student loans originated by the Bank of America under First
Marblehead Corp's GATE Program. NCT 2006-A and 2007-A also include
originations by CHELA Funding II, LLC.
Fitch assumes a base case remaining default rate of 10.7%, 14.6%,
and 6.4% for NCT 2006-A, 2007-A, and NCT 2005-GATE, respectively. A
base-case recovery rate of 30% and 14% was assumed for NCT 2006-A,
NCT 2007-A and NCT 2005-GATE, respectively, which was determined to
be appropriate based on data previously provided by the issuer and
included credit to the guarantee provided by Bank of America on
loans originated pursuant to the GATE Program.
Credit Enhancement (CE)
CE is provided by overcollateralization (OC; the excess of the
trust's asset balance over the bond balance) and excess spread. For
NCT 2006-A, cash may be released from the trust at the greater of
(i) 104% total parity, and (ii) the percentage equivalent of
(outstanding notes +$5,300,000)/ (outstanding notes), currently at
109%. No cash is currently being released from NCT 2006-A. For NCT
2007-A and 2005-GATE, cash is currently being released from the
trusts as the 104% parity level required is currently met.
Adequate Liquidity Support
Liquidity support is provided to NCT 2006-A, NCT 2007-A and NCT
2005-GATE by a reserve account sized at about USD1 million. In
Fitch's view, the available reserve accounts are able to cover for
at least one quarter of senior costs and interest payments.
Servicing Capabilities
Day-to-day servicing is provided by Pennsylvania Higher Education
Assistance Agency for NCT 2007-A and NCT 2005-GATE while is
provided by American Education Services (AES), Great Lakes
Educational Loan Services Inc., Conduent Inc., First Mark Services
LLC and Nelnet Servicing, LLC for NCT 2006-A. Fitch believes all
servicers are acceptable servicers of private student loans.
Repackaging Trust
The rating on the certificates of NCT 2005-GATE Repackaging Trust
are linked with the rating on the underlying bond. The repack trust
is structured as a simple pass-through. Amount of interest payable
is equal to interest payments received on the underlying bond net
of trust expenses, which are capped at interest payments received
for any related distribution date. The total parity of repackaging
trust will be constant at 100%. All of the class A and EC-1 to EC-4
certificates mature on the same date, which is two business days
after the maturity date of the underlying bond. As such, the risk
exposure of the repack certificates in terms of timely payment of
interest and ultimately payment of principal is not more than that
of the underlying bond.
CRITERIA VARIATIONS
According to Fitch's private student loan criteria, a committee can
decide to assign ratings with a break-even default multiple within
+/- 0.25 of Fitch's applied default stress multiple at the
model-implied rating level. For this surveillance review, ratings
assigned to NCT 2006-A class A-2 and NCT 2007-A class A notes are
in excess of the +/- 0.25 default multiple threshold, constituting
a variation to the private student loan criteria.
Had Fitch not applied this variation to its criteria, NCT 2006-A
class A-2 and NCT 2007-A class A notes could have been assigned
ratings of 'AAAsf' and 'AA+sf', respectively.
RATING SENSITIVITIES
Rating sensitivities provide greater insight into the model-implied
sensitivities the transaction faces when one or two risk factors
are stressed, while holding others equal. The modelling process
first uses the estimation and stress of base-case default and
recovery assumptions to reflect asset performance in a stressed
environment. Second, structural protection was analysed with
Fitch's GALA Model (see MODELS below). The results below should
only be considered as one potential outcome as the transaction is
exposed to multiple risk factors that are all dynamic variables.
The results below use ratings assigned to the transactions as a
rating cap for each tranche.
NCT 2006-A
Expected impact on the note rating of increased defaults (class
A-2/ class B)
Current Ratings: 'AAsf / BBsf'
Increase base case defaults by 10%: 'AAsf / BBsf'
Increase base case defaults by 25%: 'AAsf / BBsf'
Increase base case defaults by 50%: 'AAsf / BBsf'
Reduce base case recoveries by 10%: 'AAsf / BBsf'
Reduce base case recoveries by 20%: 'AAsf / BBsf'
Reduce base case recoveries by 30%: 'AAsf / BBsf'
Increase base case defaults/ reduce base case recoveries by 10%:
'AAsf / BBsf'
Increase base case defaults/ reduce base case recoveries by 25%:
'AAsf / BBsf'
Increase base case defaults/ reduce base case recoveries by 50%:
'AAsf / BBsf'
NCT 2007-A
Expected impact on the note rating of increased defaults (class A/
class B/ class C)
Current Ratings: 'AAsf / BBBsf / BBsf'
Increase base case defaults by 10%: 'AAsf / BBBsf / BBsf'
Increase base case defaults by 25%: 'AAsf / BBBsf / BBsf'
Increase base case defaults by 50%: 'AAsf / BBBsf / BBsf'
Reduce base case recoveries by 10%: 'AAsf / BBBsf / Bsf'
Reduce base case recoveries by 20%: 'AAsf / BBBsf / CCCsf'
Reduce base case recoveries by 30%: 'AAsf / BBB-sf / CCCsf'
Increase base case defaults/ reduce base case recoveries by 10%:
'AAsf / BBBsf / BBsf'
Increase base case defaults/ reduce base case recoveries by 25%:
'AAsf / BBBsf / BBsf'
Increase base case defaults/ reduce base case recoveries by 50%:
'AAsf / BBBsf / B+sf'
NCT 2005-GATE & NCT GATE 2005-GATE RT
Expected impact on the note rating of increased defaults (class B)
Current Ratings: 'BBBsf'
Increase base case defaults by 10%: 'BB+sf'
Increase base case defaults by 25%: 'BBsf'
Increase base case defaults by 50%: 'B+sf'
Reduce base case recoveries by 10%: 'BBBsf'
Reduce base case recoveries by 20%: 'BBBsf'
Reduce base case recoveries by 30%: 'BBBsf'
Increase base case defaults/ reduce base case recoveries by 10%:
'BB+sf'
Increase base case defaults/ reduce base case recoveries by 25%:
'BBsf'
Increase base case defaults/ reduce base case recoveries by 50%:
'Bsf'
NATIONAL COLLEGIATE: Fitch Puts 17 Tranches on Rating Watch Neg.
----------------------------------------------------------------
Fitch Ratings has placed 17 tranches of 12 National Collegiate
Student Loan Trusts (NCSLTs) on Rating Watch Negative. The rating
actions follow announcement by the Consumer Financial Protection
Bureau (CFPB) of action taken against NCSLTs on Sept. 18, 2017. The
CFPB proposed consent judgment, if confirmed, requires NCSLTs to
pay a settlement amount of at least $19.1 million, depending on the
results of an independent audit on NCSLTs' portfolios.
KEY RATING DRIVERS
CFPB Proposed Judgment
On Sept. 14, 2017, the CFPB filed an action against the NCSLTs for
illegal student loan debt collection. According to the CFPB,
consumers were sued for private student loan debt that the
companies couldn't prove was owed or which were too old to sue
over. On Sept. 18, 2017, a proposed consent judgment was filed with
the court to settle all matters in the dispute. Amongst other
things, the proposed judgment requires an independent audit of all
student loans in the NCSLTs' portfolios. Collections on any student
loans identified by the audit to lack proper documentation or for
which the statute of limitations has expired on the debt collection
would have to cease.
If the proposed judgment is confirmed, it may result, pending the
outcome of a portfolio audit, in the NCSLTs making an aggregate
payment of at least USD19.1 millon. The proposed consent judgment
specifies that the payment is due within 10 days of the effective
date of the judgment. Should this result in a lump sum one-time
cost being charged to the trust as a senior cost it may impair the
ability of some of the trusts, depending on the number of trusts
affected, to pay senior interest in a timely fashion, resulting in
an event of default for the notes. If instead the payment is in
some way distributed over time, for example by being advanced
through an agent, by a reserving mechanism or other means, it will
reduce the cash available to repay noteholders and thereby reduce
the available protection. In addition, the outcome of the
independent loan audit and the possible effect on the
enforceability of underlying loan contracts is at this stage
uncertain. As a result of all these factors, all the NCSLT trusts'
notes with a non-distressed rating were placed on Rating Watch
Negative.
Fitch expects to resolve the watch when additional clarity,
including amount and allocation of payments among trusts, is
available on this senior liability requested by the CFPB to the
NCSLT trusts.
RATING SENSITIVITIES
Allocation of the settlement payment to one or few NCSLTS in a
short period of time may result in multi-category downgrades on the
affected trusts. Allocation of the payment across all trusts over a
longer horizon may result in smaller downgrades or no rating
actions.
Fitch has placed the following on Rating Watch Negative:
National Collegiate Student Loan Trust 2003-1:
-- Class A-7 'BBsf'.
National Collegiate Student Loan Trust 2004-1:
-- Class A-3 'BBsf';
National Collegiate Student Loan Trust 2004-2/NCF Grantor Trust
2004-2:
-- Class A-4 'BBBsf';
-- Class A-5-1 'BBsf';
-- Class A-5-2 'BBsf'.
National Collegiate Student Loan Trust 2005-1/NCF Grantor Trust
2005-1:
-- Class A-5-1 'BBsf';
-- Class A-5-2 'BBsf'.
National Collegiate Student Loan Trust 2005-1/NCF Grantor Trust
2005-2
-- Class A-4 'BBBsf'.
National Collegiate Student Loan Trust 2005-1/NCF Grantor Trust
2005-3:
-- Class A-5-1 'Bsf';
-- Class A-5-2 'Bsf'.
National Collegiate Student Loan Trust 2006-1:
-- Class A-4 'BBBsf'.
National Collegiate Student Loan Trust 2006-2:
-- Class A-3 'BBBsf'.
National Collegiate Student Loan Trust 2006-3:
-- Class A-4 'BBBsf'.
National Collegiate Student Loan Trust 2006-4:
-- Class A-3 'BBBsf'.
National Collegiate Student Loan Trust 2007-1:
-- Class A-3 'BBBsf'.
National Collegiate Student Loan Trust 2007-2:
-- Class A-2 'BBBsf'; '
-- Class A-3 'BBBsf'.
NATIONSTAR 2017-2: Moody's Gives Prov. Ba3 Rating to Cl. M2 Debt
----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to three
classes of residential mortgage-backed securities (RMBS) issued by
Nationstar HECM Loan Trust 2017-2 (NHLT 2017-2). The ratings range
from (P)Aaa (sf) to (P)Ba3 (sf).
The certificates are backed by a pool that includes 1,360 inactive
home equity conversion mortgages (HECMs) and 200 real estate owned
(REO) properties. The servicer for the deal is Nationstar Mortgage
LLC (Nationstar). The complete rating actions are:
Issuer: Nationstar HECM Loan Trust 2017-2
Cl. A, Assigned (P)Aaa (sf)
Cl. M1, Assigned (P)A3 (sf)
Cl. M2, Assigned (P)Ba3 (sf)
RATINGS RATIONALE
The collateral backing NHLT 2017-2 consists of first-lien inactive
HECMs covered by Federal Housing Administration (FHA) insurance
secured by properties in the US along with Real-Estate Owned (REO)
properties acquired through conversion of ownership of reverse
mortgage loans that are covered by FHA insurance. If a borrower or
their estate fails to pay the amount due upon maturity or otherwise
defaults, the sale of the property is used to recover the amount
owed. Nationstar acquired the mortgage assets from Ginnie Mae
sponsored HECM mortgage backed (HMBS) securitizations. All of the
mortgage assets are covered by FHA insurance for the repayment of
principal up to certain amounts. 18.2% of the collateral is from
the recently collapsed NHLT 2015-2 transaction and 33.5% of the
collateral is from the recently collapsed NHLT 2016-1 transaction.
There are 1,560 mortgage assets with a balance of $422,256,709. The
assets are in either default, due and payable, referred,
foreclosure or REO status. Loans that are in default may move to
due and payable; due and payable loans may move to foreclosure; and
foreclosure loans may move to REO. 28.93% of the assets are in
default of which 11.84% (of the total assets) are in default due to
non-occupancy, 16.86% (of the total assets) are in default due to
taxes and insurance and 0.22% (of the total assets) are in default
for other reasons. 9.25% of the assets are due and payable, 48.63%
of the assets are in foreclosure and 1.92% of the assets are in
referred status. Finally, 11.27% of the assets are REO properties
and were acquired through foreclosure or deed-in-lieu of
foreclosure on the associated loan. If the value of the related
mortgaged property is greater than the loan amount, some of these
loans may be settled by the borrower or their estate.
Compared to previous NHLT transactions that Moody's has rated, NHLT
2017-2 has a comparatively high percentage of loans in states with
long foreclosure timelines such as New York, New Jersey, and
Florida. In addition, 16.0% of the assets in this transaction are
backed by properties that may have been affected by Hurricane
Harvey or Hurricane Irma. Finally, there are 12 assets (0.5% of the
asset balance) in NHLT 2017-2 that are backed by properties in
Puerto Rico. Moody's credit ratings reflect state-specific
foreclosure timeline stresses as well as adjustments for risks
associated with the recent hurricanes and the real estate market in
Puerto Rico.
Transaction Structure
The securitization has a sequential liability structure amongst
three classes of notes with overcollateralization and structural
subordination. All funds collected, prior to an acceleration event,
are used to make interest payments to the notes, then principal
payments to the Class A notes, then to a redemption account until
the amount on deposit in the redemption account is sufficient to
cover future principal and interest payments for the subordinate
notes up to their expected final payment dates. The subordinate
notes will not receive principal until the beginning of their
respective target amortization periods (in the absence of an
acceleration event). The notes benefit from overcollateralization
and structural subordination as credit enhancement, and an interest
reserve account funded with cash received from the initial
purchasers of the notes for liquidity and credit enhancement.
The transaction is callable on or after six months with a 1.0%
premium and on or after 12 months without a premium. The mandatory
call date for the Class A notes is in September 2019. For the Class
M1 notes, the expected final payment date is in March 2020.
Finally, for the Class M2 notes, the expected final payment date is
in September 2020. For each of the subordinate notes, there are six
month target amortization periods that conclude on the respective
expected final payment dates. The legal final maturity of the
transaction is 10 years.
Available funds to the transaction are expected to primarily come
from the liquidation of REO properties and receipt of FHA insurance
claims. These funds will be received with irregular timing. In the
event that there are insufficient funds to pay interest in a given
period, the interest reserve account may be utilized. Additionally,
any shortfall in interest will be classified as an available funds
cap shortfall. These available funds cap carryover amounts will
have priority of payments in the waterfall and will also accrue
interest at the respective note rate.
Certain aspects of the waterfall are dependent upon Nationstar
remaining as servicer. Servicing fees and servicer related
reimbursements are subordinated to interest and principal payments
while Nationstar is servicer. However, servicing advances will
instead have priority over interest and principal payments in the
event that Nationstar defaults and a new servicer is appointed.
Third-Party Review
A third party firm conducted a review of certain characteristics of
the mortgage assets on behalf of Nationstar. The review focused on
data integrity, FHA insurance coverage verification, accuracy of
appraisal recording, accuracy of occupancy status recording,
borrower age documentation, identification of excessive corporate
advances, documentation of servicer advances, and identification of
tax liens with first priority in Texas. Also, broker price opinions
(BPOs) were ordered for 300 properties in the pool.
The TPR firm conducted an extensive data integrity review on a
sample of mortgage assets. Certain data tape fields, such as the
MIP rate, the current UPB, current interest rate, and marketable
title date were reviewed against Nationstar's servicing system.
However, a significant number of data tape fields were reviewed
against imaged copies of original documents of record, screen shots
of HUD's HERMIT system, or HUD documents. Some key fields reviewed
in this manner included the original note rate, the debenture rate,
foreclosure first legal date, and the called due date.
The results of the third-party review (TPR) are comparable to
previous NHLT transactions in many respects. However, the number of
exceptions related to missing invoices and corporate advances in
excess of FHA reimbursement thresholds is higher than in other
recently rated NHLT transactions, particularly with respect to
missing tax and insurance invoices. NHLT 2017-2's TPR results
showed a 24.23% initial-tape exception rate related to foreclosure
and bankruptcy fees, a 3.21% initial-tape exception rate related to
property preservation fees, a 12.79% initial-tape exception rate
related to tax and insurance disbursements and a 7.57% initial-tape
exception rate related to non-tax and insurance disbursements. This
compares to 15.02%, 3.00%, 1.91% and 0.32% initial-tape exception
rates for NHLT 2017-1 in these categories respectively.
Reps & Warranties (R&W)
Nationstar is the loan-level R&W provider. Nationstar is rated B2
(Stable). At this point, Moody's has limited insight as to their
ability to serve in this capacity. This risk is mitigated by the
fact that Nationstar is the equity holder in the transaction and
there is therefore a significant alignment of interests. Another
factor mitigating this risk is that a third-party due diligence
firm conducted a review on the loans for evidence of FHA
insurance.
Nationstar represents that the mortgage loans are covered by FHA
insurance that is in full force and effect. Nationstar provides
further R&Ws including those for title, first lien position,
enforceability of the lien, and the condition of the property.
Although Nationstar provides a no fraud R&W covering the
origination of the mortgage loans, determination of value of the
mortgaged properties, and the sale and servicing of the mortgage
loans, the no fraud R&W is made only as to the initial mortgage
loans. Aside from the no fraud R&W, Nationstar does not provide any
other R&W in connection with the origination of the mortgage loans,
including whether the mortgage loans were originated in compliance
with applicable federal, state and local laws. Although certain
representations contain knowledge qualifiers, the transaction
documents contain language specifying that if a representation
would have been breached if not for the knowledge qualifier then
Nationstar will repurchase the relevant asset as if the
representation had been breached.
Upon the identification of an R&W breach, Nationstar has to cure
the breach. If Nationstar is unable to cure the breach, Nationstar
must repurchase the loan within 90 days from receiving the
notification. Moody's believes the absence of an independent third
party reviewer who can identify any breaches to the R&W makes the
enforcement mechanism weak in this transaction.
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 acquisition trustee would be
subject to lawsuits from investors for a failure to adequately
enforce the R&Ws against the Seller. Moody's believes that NHLT
2017-2 is adequately protected against such risk in part because a
third-party data integrity review was conducted on a representative
random sample of the loans. In addition, the third-party due
diligence firm verified that all of the loans in the pool are
covered by FHA insurance.
Trustee & Master Servicer
The acquisition and owner trustee for the NHLT 2017-2 transaction
is Wilmington Savings Fund Society, FSB. The paying agent and cash
management functions will be performed by U.S. Bank National
Association. U.S. Bank National Association will also serve as the
claims payment agent and as such will be the HUD mortgagee of
record for the mortgage assets in the pool.
Methodology
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 "Moody's Global Approach to
Rating Reverse Mortgage Securitizations," published in May 2015.
Moody's quantitative asset analysis is based on a loan-by-loan
modeling of expected payout amounts given the structure of FHA
insurance and with various stresses applied to model parameters
depending on the target rating level.
FHA insurance claim types: funds come into the transaction
primarily through the sale of REO properties and through FHA
insurance claim receipts. There are uncertainties related to the
extent and timing of insurance proceeds received by the trust due
to the mechanics of the FHA insurance. HECM mortgagees may suffer
losses if a property is sold for less than its appraised value.
The amount of insurance proceeds received from the FHA depends on
whether a sales based claim (SBC) or appraisal based claim (ABC) is
filed. SBCs are filed in cases where the property is successfully
sold within the first six months after the servicer has acquired
it. ABCs are filed six months after the servicer has obtained
marketable title if the property has not yet been sold. For an SBC,
HUD insurance will cover the difference between (i) the loan
balance and (ii) the higher of the sales price and 95.0% of the
latest appraisal, with the transaction on the hook for losses if
the sales price is lower than 95.0% of the latest appraisal. For an
ABC, HUD only covers the difference between the loan amount and
100% of appraised value, so failure to sell the property at the
appraised value results in loss.
Moody's expects ABCs to have higher levels of losses than SBCs. The
fact that there is a delay in the sale of the property usually
implies some adverse characteristics associated with the property.
FHA insurance will not protect against losses to the extent that an
ABC property is sold at a price lower than the appraisal value
taken at the six month mark of REO. Additionally, ABCs do not cover
the cost to sell properties (broker fees) while SBCs do cover these
costs. For SBCs, broker fees are reimbursable up to 6.0%
ordinarily. Moody's base case expectations is that properties will
be sold for 13.5% less than their appraisal value for ABCs. This is
based on the historical experience of Nationstar. Moody's stressed
this percentage at higher credit rating levels. At a Aaa rating
level, Moody's assumed that ABC appraisal haircuts could reach up
to 30.0%.
In Moody's asset analysis, Moody's also assumed there would be some
losses for SBCs, albeit lower amounts than for ABCs. Based on
historical performance, in the base case scenario Moody's assumed
that SBCs would suffer 1.0% losses due to a failure to sell the
property for an amount equal to or greater than 95.0% of the most
recent appraisal. Moody's stressed this percentage at higher credit
rating levels. At a Aaa rating level, Moody's assumed that SBC
appraisal haircuts could reach up to 11.0% (i.e., 6.0% below
95.0%).
Under Moody's analytical approach, each loan is modeled to go
through both the ABC and SBC process with a certain probability.
Each loan will thus have both of the sales disposition payments and
associated insurance payments (four payments in total). All
payments are then probability weighted and run through a modeled
liability structure. Based on the historical experience of
Nationstar, for the base case scenario Moody's assumed that 85% of
claims would be SBCs and the rest would be ABCs. Moody's stressed
this assumption and assumed higher ABC percentages for higher
rating levels. At a Aaa rating level, Moody's assumed that 85% of
insurance claims would be submitted as ABCs.
Liquidation process: each mortgage asset is categorized into one of
four categories: default, due and payable, foreclosure and REO. In
Moody's analysis, assume loans that are in referred status to be
either in foreclosure or REO category. The loans are assumed to
move through each of these stages until being sold out of REO.
Moody's assumed that loans would be in default status for six
months. Due and payable status is expected to last six to 12 months
depending on the default reason. Foreclosure status is based on the
state in which that the related property is located and is further
stressed at higher rating levels. The base case foreclosure
timeline is based on FHA timeline guidance. REO disposition is
assumed to take place in six months with respect to SBCs and 12
months with respect to ABCs.
Debenture interest: the receipt of debenture interest is dependent
upon performance of certain actions within certain timelines by the
servicer. If these timeline and performance benchmarks are not met
by the servicer, debenture interest is subject to curtailment.
Moody's base case assumption is that 95.0% of debenture interest
will be received by the trust. Moody's stressed the amount of
debenture interest that will be received at higher rating levels.
Moody's debenture interest assumptions reflect the requirement that
Nationstar (B2, Stable) reimburse the trust for debenture interest
curtailments due to servicing errors or failures to comply with HUD
guidelines.
Additional model features: Moody's incorporated certain additional
considerations into its analysis, including the following:
* In most cases, the most recent appraisal value was used as the
property value in Moody's analysis. However, for seasoned
appraisals Moody's applied a 15.0% haircut to account for potential
home price depreciation between the time of the appraisal and the
cut-off date.
* Mortgage loans with borrowers that have significant equity in
their homes are likely to be paid off by the borrowers or their
heirs rather than complete the foreclosure process. Moody's
estimated which loans would be bought out of the trust by comparing
each loans' appraisal value (post haircut) to its UPB.
* Moody's assumed that foreclosure costs will average $4,500 per
loan, two thirds of which will be reimbursed by the FHA. Moody's
then applied a negative adjustment to this amount based on the TPR
results.
* Moody's estimated monthly tax and insurance advances based on
cumulative tax and insurance advances to date.
Moody's ran additional stress scenarios that were designed to mimic
expected cash flows in the case where Nationstar is no longer the
servicer. Moody's assumes the following in the situation where
Nationstar is no longer the servicer:
* Servicing advances and servicing fees: While Nationstar
subordinates their recoupment of servicing advances, servicing
fees, and MIP payments, a replacement servicer will not subordinate
these amounts.
* Nationstar indemnifies the trust for lost debenture interest due
to servicing errors or failure to comply with HUD guidelines. In
the event of a bankruptcy, Nationstar will not have the financial
capacity to do so.
* A replacement servicer may require an additional fee and thus
Moody's assume a 25 bps strip will take effect if the servicer is
replaced.
* One third of foreclosure costs will be removed from sales
proceeds to reimburse a replacement servicer (one third of
foreclosure costs are not reimbursable under FHA insurance). This
is typically on the order of $1,500 per loan.
Finally, to account for risks posed by the recent hurricanes,
Moody's assumed the following:
* To account for delays in the foreclosure process due to the
hurricanes, Moody's added 7.5 months to the foreclosure timeline in
the base case scenario for properties located in hurricane affected
areas. At a Aaa rating level, this timeline stress is multiplied by
1.6x and so this equates to adding an additional year to
foreclosure timelines in a Aaa scenario.
* For properties located in hurricane impacted areas, Moody's
assumed that a higher percentage of insurance claims would be
submitted as ABCs as a result of the hurricanes.
* For properties located in hurricane impacted areas, Moody's
increased the amount of non-reimbursable expenses that Moody's
expects would be incurred by a replacement servicer following a
servicer termination event.
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 stress could
drive the ratings up. Transaction performance depends greatly on
the US macro economy and housing market. Property markets could
improve from Moody's original expectations resulting in
appreciation in the value of the mortgaged property and faster
property sales.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of stresses could drive the
ratings down. Transaction performance depends greatly on the US
macro economy and housing market. Property markets could
deteriorate from Moody's original expectations resulting in
depreciation in the value of the mortgaged property and slower
property sales.
PARK AVENUE: S&P Assigns Prelim. BB-(sf) Rating on Class D Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Park Avenue
Institutional Advisers CLO Ltd. 2017-1's $345 million floating-rate
notes.
The note issuance is a collateralized loan obligation transaction
primarily backed by broadly syndicated speculative-grade senior
secured term loans.
The preliminary ratings are based on information as of Sept. 21,
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
Park Avenue Institutional Advisers CLO Ltd. 2017-1/Park Avenue
Institutional Advisers CLO LLC 2017-1
Class Rating Amount (mil. $)
A-1 AAA (sf) 229.40
A-2 AA (sf) 44.70
B (deferrable) A (sf) 33.00
C (deferrable) BBB- (sf) 21.90
D (deferrable) BB- (sf) 16.00
Subordinated notes NR 35.35
NR--Not rated.
PREFERRED TERM XXIII: Moody's Hikes Ratings on 3 Tranches to Ba1
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Preferred Term Securities XXIII, Ltd:
US$544,000,000 Floating Rate Class A-1 Senior Notes Due December
22, 2036 (current balance of $329,353,221), Upgraded to Aaa (sf);
previously on August 18, 2014 Upgraded to Aa1 (sf)
US$141,000,000 Floating Rate Class A-2 Senior Notes Due December
22, 2036 (current balance of $127,322,083), Upgraded to Aa1 (sf);
previously on August 18, 2014 Upgraded to Aa3 (sf)
US$321,000,000 Floating Rate Class A-FP Senior Notes Due December
22, 2036 (current balance of $102,151,314), Upgraded to Aa1 (sf);
previously on August 18, 2014 Upgraded to Aa2 (sf)
US$67,400,000 Floating Rate Class B-1 Mezzanine Notes Due December
22, 2036 (current balance of $60,860,620), Upgraded to A1 (sf);
previously on August 18, 2014 Upgraded to Baa3 (sf)
US$31,000,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due
December 22, 2036 (current balance of $27,990,446), Upgraded to A1
(sf); previously on August 18, 2014 Upgraded to Baa3 (sf)
US$57,600,000 Floating Rate Class B-FP Mezzanine Notes Due December
22, 2036 (current balance of $24,826,923), Upgraded to A1 (sf);
previously on August 18, 2014 Upgraded to Baa3 (sf)
US$81,200,000 Floating Rate Class C-1 Mezzanine Notes Due December
22, 2036 (current balance of $75,791,290), Upgraded to Ba1 (sf);
previously on August 18, 2014 Upgraded to B2 (sf)
US$28,000,000 Fixed/Floating Rate Class C-2 Mezzanine Notes Due
December 22, 2036 (current balance of $26,134,914), Upgraded to Ba1
(sf); previously on August 18, 2014 Upgraded to B2 (sf)
US$52,800,000 Floating Rate Class C-FP Mezzanine Notes Due December
22, 2036 (current balance of $30,464,083), Upgraded to Ba1 (sf);
previously on August 18, 2014 Upgraded to B2 (sf)
Moody's also affirmed the rating of the following notes issued by
PreTSL Combination Certificates:
US $500,000 Combination Certificates, Series P XXIII-1 (current
rated balance of $310,125), Affirmed Aaa (sf); previously on August
18, 2014 Affirmed Aaa (sf)
Preferred Term Securities XXIII, Ltd., issued in September 2006, is
a collateralized debt obligation backed by a portfolio of bank,
insurance and REIT trust preferred securities (TruPS).
PreTSL Combination Certificates Series P XXIII-1, issued in
September 2006, is a combination note security originally comprised
of $250,000 of Class A-1 notes, $200,000 of income notes issued by
Preferred Term Securities XXIII, Ltd. and $176,000 of zero coupon
strips payable on March 15, 2031 stripped from bonds issued by the
Federal Home Loan Mortgage Corporation.
RATINGS RATIONALE
The rating actions are primarily a result of the deleveraging of
the senior and mezzanine notes, an increase in the transaction's
over-collateralization (OC) ratios and the maturity of two
out-of-money interest rate swaps since September 2016.
The Class A-1, A-2, A-FP, B-1, B-2, B-FP, C-1, C-2, and C-FP have
paid down collectively by approximately $31.2 million since
September 2016 using principal proceeds from the redemption of the
underlying assets, recovery from one defaulted asset, and the
diversion of excess interest proceeds. Since then, $21.6 million of
principal proceeds were used to pay the fast pay notes (Class A-FP,
B-FP, C-FP, and D-FP notes) pro rata due to a unique structural
feature and $9.6 million of excess interest proceeds were diverted
to pay down the Class A-1, A-2, A-FP, B-1, B-2, B-FP, C-1, C-2, and
C-FP pro-rata due to C OC test failure.
Based on Moody's calculations, the OC ratios for the Class A, B, C,
and D notes have improved to 154.9%, 128.7%, 107.5%, and 94.2%
respectively, from September 2016 levels of 149.7%, 124.3%, 103.8%,
and 90.7%, respectively. Moody's gave full par credit in its
analysis to one deferring asset that meet certain criteria,
totaling $4 million in par. Principal proceeds will continue to be
used to pay down the fast pay notes as long as the credit migration
and the collateral balance tests are met. As the C OC test was
satisfied in March 2017, excess interest proceeds are currently
used to pay down the deferred interest balances on the Class D and
Class D-FP notes. Once the Class D and Class D-FP deferred interest
balances are repaid in full, the failure of the Class D OC test
will divert excess interest to repay the senior and mezzanine
notes, pro rata.
In addition, the notes will continue to benefit from credit
enhancement available in the form of excess spread, because two of
out-of-money interest rate swaps, with a total notional of $40
million, matured in September 2016.
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 504)
Class A-1: 0
Class A-2: 0
Class A-FP: 0
Class B-1: 0
Class B-2: 0
Class B-FP: +1
Class C-1: +2
Class C-2: +2
Class C-FP: +1
Series P XXIII-1: 0
Assuming a two-notch downgrade to assets with below-investment
grade ratings or rating estimates (WARF of 1019)
Class A-1: 0
Class A-2: 0
Class A-FP: -1
Class B-1: -1
Class B-2: -1
Class B-FP: -1
Class C-1: -1
Class C-2: -1
Class C-FP: -1
Series P XXIII-1: 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 (after treating
deferring securities as performing if they meet certain criteria)
of $865.7 million, defaulted/deferring par of $233.0 million, a
weighted average default probability of 8.11% (implying a WARF of
714), 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, insurance companies and REIT
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. For REIT TruPS that do
not have public ratings, Moody's REIT group assesses their credit
quality using the REIT firms' annual financials.
REGATTA FUNDING VIII: Moody's Rates Class E Notes 'Ba3'
-------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Regatta VIII Funding Ltd.
Moody's rating action is:
US$322,500,000 Class A Senior Secured Floating Rate Notes due 2030
(the "Class A Notes"), Assigned Aaa (sf)
US$57,500,000 Class B Senior Secured Floating Rate Notes due 2030
(the "Class B Notes"), Assigned Aa2 (sf)
US$25,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2030 (the "Class C Notes"), Assigned A2 (sf)
US$30,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2030 (the "Class D Notes"), Assigned Baa3 (sf)
US$25,0000,000 Class E Junior Secured Deferrable Floating Rate
Notes due 2030 (the "Class E Notes"), Assigned Ba3 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes and the Class E Notes are referred to herein as the "Rated
Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
Regatta VIII is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90% of the portfolio must consist
of senior secured loans and eligible investments, and up to 10% of
the portfolio may consist of first-lien and last-out, second lien
loans and unsecured loans. The portfolio is approximately 75%
ramped as of the closing date.
Regatta Loan Management LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer issued one class of
subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2890
Weighted Average Spread (WAS): 3.70%
Weighted Average Spread (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 46.25%
Weighted Average Life (WAL): 9 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2890 to 3324)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2890 to 3757)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -4
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
SEQUOIA MORTGAGE 2017-7: Moody's Gives (P)Ba3 Rating to B-4 Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
classes of residential mortgage-backed securities (RMBS) issued by
Sequoia Mortgage Trust (SEMT) 2017-7, Mortgage Pass-Through
Certificates, Series 2017-7. The certificates are backed by one
pool of prime quality, first-lien mortgage loans, including 1 super
conforming mortgage loans. The assets of the trust consist of 489
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 as follows:
Issuer: Sequoia Mortgage Trust 2017-7
Cl. A-1, Assigned (P)Aaa (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. A-4, Assigned (P)Aaa (sf)
Cl. A-5, Assigned (P)Aaa (sf)
Cl. A-6, Assigned (P)Aaa (sf)
Cl. A-7, Assigned (P)Aaa (sf)
Cl. A-8, Assigned (P)Aaa (sf)
Cl. A-9, Assigned (P)Aaa (sf)
Cl. A-10, Assigned (P)Aaa (sf)
Cl. A-11, Assigned (P)Aaa (sf)
Cl. A-12, Assigned (P)Aaa (sf)
Cl. A-13, Assigned (P)Aaa (sf)
Cl. A-14, Assigned (P)Aaa (sf)
Cl. A-15, Assigned (P)Aaa (sf)
Cl. A-16, Assigned (P)Aaa (sf)
Cl. A-17, Assigned (P)Aaa (sf)
Cl. A-18, Assigned (P)Aaa (sf)
Cl. A-19, Assigned (P)Aa1 (sf)
Cl. A-20, Assigned (P)Aa1 (sf)
Cl. A-21, Assigned (P)Aa1 (sf)
Cl. A-22, Assigned (P)Aaa (sf)
Cl. A-23, Assigned (P)Aaa (sf)
Cl. A-24, Assigned (P)Aaa (sf)
Cl. B-1, Assigned (P)Aa3 (sf)
Cl. B-2, Assigned (P)A3 (sf)
Cl. B-3, Assigned (P)Baa3 (sf)
Cl. B-4, Assigned (P)Ba3 (sf)
RATINGS RATIONALE
Summary Credit Analysis
Moody's expected cumulative net loss on the aggregate pool is 0.30%
in a base scenario and reaches 3.55% 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 2017-7 transaction is a securitization of 489 first lien
residential mortgage loans, with an aggregate unpaid principal
balance of $ 350,401,847. There are 135 originators in this pool,
including First Republic Bank (12.25%). None of the originators
other than First Republic Bank contributed 10% or more of the
principal balance of the loans in the pool. The loan-level third
party due diligence review (TPR) encompassed credit underwriting,
property value and regulatory compliance. In addition, Redwood has
agreed to backstop the rep and warranty repurchase obligation of
all originators other than First Republic Bank.
The loans were all aggregated by Redwood Residential Acquisition
Corporation (Redwood), which Moody's has assessed as an Above
Average aggregator of prime jumbo residential mortgages. As of
August 2017 remittance report, there have been no losses on
Redwood-aggregated transactions that Moody's has rated to date, and
delinquencies to date have also been very low.
Borrowers of the mortgage loans backing this transaction have
strong credit profile demonstrated by strong credit scores, high
down payment percentages and significant liquid reserves. Similar
to SEMT transactions Moody's rated recently, SEMT 2017-7 has a
weighted average FICO at 772 and a percentage of loan purpose for
home purchase at 69.9%, better than SEMT transactions issued
earlier this year, where weighted average original FICOs were
slightly below 770 and purchase money percentages were ranging from
40% to 60%.
Structural considerations
Similar to recent rated Sequoia transactions, in this transaction,
Redwood is adding a feature prohibiting the servicer, or securities
administrator, from advancing principal and interest to loans that
are 120 days or more delinquent. These loans on which principal and
interest advances are not made are called the Stop Advance Mortgage
Loans ("SAML"). The balance of the SAML will be removed from the
principal and interest distribution amounts calculations. Moody's
views the SAML concept as something that strengthens the integrity
of senior and subordination relationships in the structure. Yet, in
certain scenarios the SAML concept, as implemented in this
transaction, can lead to a reduction in interest payment to certain
tranches even when more subordinated tranches are outstanding. The
senior/subordination relationship between tranches is strengthened
as the removal of SAML in the calculation of the senior percentage
amount, directs more principal to the senior bonds and less to the
subordinate bonds. Further, this feature limits the amount of
servicer advances that could increase the loss severity on the
liquidated loans and preserves the subordination amount for the
most senior bonds. On the other hand, this feature can cause a
reduction in the interest distribution amount paid to the bonds;
and if that were to happen such a reduction in interest payment is
unlikely to be recovered. The final ratings on the bonds, which are
expected loss ratings, take into consideration Moody's expected
losses on the collateral and the potential reduction in interest
distributions to the bonds. Furthermore, the likelihood that in
particular the subordinate tranches could potentially permanently
lose some interest as a result of this feature was considered.
We believe there is a low likelihood that the rated securities of
SEMT 2017-7 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 1.40% 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 442 loans, the TPR firm conducted a
review for credit, property valuation, compliance and data
integrity ("full review") and limited review for 47 First Republic
loans. For the 47 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, Moody's did not increase
Moody's Aaa loss for the limited review loans.
After a review of the TPR appraisal findings, Moody's found the
exceptions to be minor in nature and did not pose a material
increase in the risk of loan loss. Moody's note that there are 4
escrow holdback loans, including 3 loans where escrow holdbacks
amounts are more 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, Moody's 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.
In addition, Moody's publishes a weekly summary of structured
finance credit ratings and methodologies, available to all
registered users of Moody's website, www.moodys.com/SFQuickCheck
Significant weight was put on judgment taking into account the
results of the modeling tools as well as the aggregate impact of
the third-party review and the quality of the servicers and
originators.
STONEMONT PORTFOLIO 2017-STONE: S&P Rates Class F Certs 'B-'
------------------------------------------------------------
S&P Global Ratings assigned its ratings to Stonemont Portfolio
Trust 2017-STONE's $800.0 million commercial mortgage pass-through
certificates series 2017-STONE.
The certificate issuance is a commercial mortgage-backed securities
transaction backed by a two-year, floating-rate commercial mortgage
loan totaling $800 million, with three, one-year extension options,
secured by a first lien on the borrowers' fee interests (or in one
case, leasehold interest) in a portfolio of 95 office, industrial,
and retail properties totaling 6.8 million sq. ft. The properties
are located across 20 states.
The ratings reflect S&P's view of the collateral's historical and
projected performance, the sponsor's and managers' experience, the
trustee-provided liquidity, the loan's terms, and the transaction's
structure.
RATINGS ASSIGNED
Stonemont Portfolio Trust 2017-STONE
Class Rating(i) Amount ($)
A AAA (sf) 344,850,000
X-CP BBB- (sf) 468,350,000(ii)
X-EXT BBB- (sf) 551,000,000(ii)
B AA- (sf) 76,950,000
C A- (sf) 53,200,000
D BBB- (sf) 76,000,000
E BB- (sf) 115,900,000
F B- (sf) 93,100,000
RR(iii) NR 16,000,000
RR Interest(iii) NR 24,000,000
(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 equal the aggregate of the portion balances of
the class A portion 2, class B portion 2, class C
portion 2, and class D portion 2. The notional amount of the class
X-EXT certificates will equal the aggregate of the certificate
balances of the class A, B, C, and D certificates.
(iii)Non-offered vertical interest components.
NR--Not rated.
TRUPS FINANCIALS 2017-2: Moody's Gives Prov. Ba2 Rating to B Debt
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to three
classes of notes to be issued by TruPS Financials Note
Securitization 2017-2 Ltd.
Moody's rating action is:
US$205,000,000 Class A-1 Senior Secured Floating Rate Notes due
2039 (the "Class A-1 Notes"), Assigned (P)Aa3 (sf)
US$35,000,000 Class A-2 Senior Secured Fixed-Floating Rate Notes
due 2039 (the "Class A-2 Notes"), Assigned (P)Aa3 (sf)
US$45,900,000 Class B Mezzanine Deferrable Floating Rate Notes due
2039 (the "Class B Notes"), Assigned (P)Ba2 (sf)
The Class A-1 Notes, the Class A-2 Notes and the Class B Notes are
referred to herein as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
RATINGS RATIONALE
Moody's provisional ratings of the Rated Notes address the expected
losses posed to noteholders. The provisional ratings reflect the
risks due to defaults on the underlying portfolio of assets, the
transaction's legal structure, and the characteristics of the
underlying assets.
TFINS 2017-2 is a static cash flow CDO. The issued notes will be
collateralized primarily by a portfolio of (1) trust preferred
securities ("TruPS") and subordinated debt issued by US community
banks and their holding companies and (2) TruPS, senior notes and
surplus notes issued by insurance companies and their holding
companies. Moody's expects the portfolio to be 100% ramped as of
the closing date.
EJF CDO Manager LLC (the "Manager"), an affiliate of EJF Capital
LLC, will direct the selection, acquisition and disposition of the
assets on behalf of the Issuer. The Manager will direct the
disposition of any defaulted securities or credit risk securities.
The transaction prohibits any asset purchases or substitutions at
any time.
In addition to the Rated Notes, the Issuer will issue one class of
preferred shares.
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. The transaction also includes an
interest diversion feature beginning in October 2025 whereby 60% of
the interest at a junior step in the priority of interest payments
is used to pay the principal on the Class A Notes until the Class A
Notes' principal has been paid in full.
The portfolio of this CDO consists of (1) TruPS and subordinated
debt issued by 29 US community banks and (2) TruPS, senior notes
and surplus notes issued by 23 insurance companies, the majority of
which Moody's does not rate. Moody's assesses the default
probability of bank obligors that do not have public ratings
through credit scores derived using RiskCalc(TM), an econometric
model developed by Moody's Analytics. Moody's evaluation of the
credit risk of the bank obligors in the pool relies on FDIC Q1-2017
financial data. Moody's assesses the default probability of
insurance company obligors that do not have public ratings through
credit assessments provided by its insurance team based on the
credit analysis of the underlying insurance companies' annual
statutory financial reports. Moody's assumes a fixed recovery rate
of 10% for both the bank and insurance obligations.
Moody's ratings of the Rated Notes also took into account the
concentrated nature of the portfolio. There are 22 issuers that
each make up between 2.80% and 3.0% of the portfolio par. Moody's
ran a stress scenario in which Moody's assumed a two-notch
downgrade for up to 30% of the portfolio par. This stress scenario
was an important factor in the assigned ratings.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $353,010,000
Weighted Average Rating Factor (WARF): 897
Weighted Average Spread (WAS): 3.12%
Weighted Average Coupon (WAC): 7.68%
Weighted Average Recovery Rate (WARR): 10.0%
Weighted Average Life (WAL): 10.7 years.
In addition to the quantitative factors that Moody's explicitly
models, qualitative factors were part of the rating committee
consideration. Moody's considers the structural protections in the
transaction, the risk of an event of default, 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
transaction, influenced the final rating decision.
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: The transaction's performance could
be negatively affected by uncertainty about credit conditions in
the general economy. Moody's has a stable outlook on the US banking
sector and the US P&C insurance sector, and a negative outlook on
the US life insurance sector.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's current
expectations could have a positive impact on the transaction's
performance. Conversely, asset credit performance weaker than
Moody's current expectations could have adverse consequences on the
transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds due to
redemptions will occur and at what pace. Note repayments that are
faster than Moody's current expectations could have an impact on
the notes' ratings.
4) Exposure to non-publicly rated assets: The portfolio consists
primarily of unrated assets whose default probability Moody's
assesses through credit scores derived using RiskCalc(TM) or credit
assessments. Because these are not public ratings, they are subject
to additional estimation uncertainty.
Loss and Cash Flow Analysis:
Moody's obtained a loss distribution for this CDO's portfolio by
simulating defaults using Moody's CDROM(TM), which used Moody's
assumptions for asset correlations and fixed recoveries in a Monte
Carlo simulation framework. Moody's then used the resulting loss
distribution, together with structural features of the CDO, as an
input in its CDOEdge(TM) cash flow model. Moody's CDROM(TM) is
available on www.moodys.com under Products and Solutions --
Analytical Models, upon receipt of a signed free license
agreement.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of different default
probabilities on the Rated Notes relative to the base case modeling
results, which may be different from the ratings assigned to the
Rated Notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the base
case modeling results, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Assuming a two-notch upgrade to assets with below-investment grade
rating estimates (WARF of 594)
Class A-1 Notes: +2
Class A-2 Notes: +2
Class B Notes: +3
Assuming a two-notch downgrade to assets with below-investment
grade rating estimates (WARF of 1303)
Class A-1 Notes: 0
Class A-2 Notes: 0
Class B Notes: -1
UBS COMMERCIAL 2017-C4: Fitch to Rate Class F Certs 'B-sf'
----------------------------------------------------------
Fitch Ratings has issued a presale report on UBS Commercial
Mortgage Trust 2017-C4 commercial mortgage pass-through
certificates.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $29,700,000 class A-1 'AAAsf'; Outlook Stable;
-- $59,394,000 class A-2 'AAAsf'; Outlook Stable;
-- $40,741,000 class A-SB 'AAAsf'; Outlook Stable;
-- $198,022,000 class A-3 'AAAsf'; Outlook Stable;
-- $244,980,000 class A-4 'AAAsf'; Outlook Stable;
-- $572,837,000a class X-A 'AAAsf'; Outlook Stable;
-- $149,347,000a class X-B 'A-sf'; Outlook Stable;
-- $85,926,000 class A-S 'AAAsf'; Outlook Stable;
-- $31,711,000 class B 'AA-sf'; Outlook Stable;
-- $31,710,000 class C 'A-sf'; Outlook Stable;
-- $37,848,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $16,367,000ab class X-E 'BB-sf'; Outlook Stable;
-- $8,184,000ab class X-F 'B-sf'; Outlook Stable;
-- $37,848,000b class D 'BBB-sf'; Outlook Stable;
-- $16,367,000b class E 'BB-sf'; Outlook Stable;
-- $8,184,000b class F 'B-sf'; Outlook Stable.
The following class is not expected to be rated:
-- $20,458,000ab class X-G;
-- $13,298,557ab class X-NR;
-- $20,458,000b class G;
-- $13,298,557b class NR.
(a) Notional amount and interest only.
(b) Privately placed and pursuant to Rule 144A.
VRR Interest - The amount of the VRR Interest is expected to
represent 5.00% ($40,923,557) of the pool balance, but may be
larger or smaller if necessary to satisfy U.S. risk retention
requirements at closing.
The expected ratings are based on information provided by the
issuer as of Sept. 22, 2017.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 50 loans secured by 85
commercial properties having an aggregate principal balance of
$818,339,557 as of the cut-off date. The loans were contributed to
the trust by UBS AG, Societe Generale, Ladder Capital Finance, LLC,
Rialto Mortgage Finance, LLC, CIBC, Inc, and Natixis Real Estate
Capital LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 79.6% of the properties
by balance, cash flow analysis of 81.0%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Investment-Grade Credit Opinion Loans: Four loans, representing
15.4% of the pool, have investment-grade credit opinions: 237 Park
Avenue (6.1% of pool), Park West Village (4.9% of pool), 245 Park
Avenue (3.8% of pool), and Del Amo Fashion Center (0.6% of pool).
Combined, the four credit opinion loans have a weighted average
(WA) Fitch debt service coverage ratio (DSCR) and loan to value
(LTV) of 1.33x and 67.3%, respectively.
Higher Fitch Leverage than Recent Transactions: The pool's leverage
is slightly higher than recent comparable Fitch-rated multiborrower
transactions. The pool's Fitch DSCR and LTV are 1.20x and 101.8%,
as compared to the YTD 2017 averages of 1.25x and 101.4%,
respectively. Excluding credit opinion loans, the pool's normalized
Fitch DSCR and LTV are 1.18x and 108.1%, compared to the YTD
averages of 1.20x and 106.7%, respectively.
Diverse Pool: The top ten loans comprise 44.2% of the pool by
balance. This is better than average when compared to the YTD 2017
and 2016 averages of 53.3% and 54.8%, respectively. The
transaction's LCI of 305 is also below the YTD 2017 and 2016
averages of 399 and 422, respectively. The average loan size is
$16.4 million, compared to the YTD 2017 average of $20.1 million.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 8.8% 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 UBS
2017-C3 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'BBB+sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'
could result.
UBS COMMERCIAL 2017-C4: S&P Gives Prelim B- Ratings on 2 Tranches
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to UBS
Commercial Mortgage Trust 2017-C4's $818.3 million commercial
mortgage pass-through certificates series 2017-C4.
The certificate issuance is a commercial mortgage-backed securities
transaction backed by 50 commercial mortgage loans with an
aggregate principal balance of $818.3 million ($722.184 million of
offered certificates), secured by the fee and leasehold interests
in 85 properties across 21 states.
The preliminary ratings are based on information as of Sept. 22,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect the credit support provided by the
transaction structure, S&P's view of the underlying collateral's
economics, the trustee-provided liquidity, the collateral pool's
relative diversity, and our overall qualitative assessment of the
transaction.
PRELIMINARY RATINGS ASSIGNED
UBS Commercial Mortgage Trust 2017-C4
Class Rating(i) Amount ($)
A-1 AAA (sf) 29,700,000
A-2 AAA (sf) 59,394,000
A-SB AAA (sf) 40,741,000
A-3 AAA (sf) 198,022,000
A-4 AAA (sf) 244,980,000
X-A AAA (sf) 572,837,000
X-B A- (sf) 149,347,000
A-S AA+ (sf) 85,926,000
B AA- (sf) 31,711,000
C A- (sf) 31,710,000
X-D(ii) NR 37,848,000
X-E(ii) BB- (sf) 16,367,000
X-F(ii) BB- (sf) 8,184,000
X-G(ii) B- (sf) 20,458,000
X-NR(ii) NR 13,298,557
D(ii) NR 37,848,000
E(ii) BB- (sf) 16,367,000
F(ii) BB- (sf) 8,184,000
G(ii) B- (sf) 20,458,000
NR(ii) NR 13,298,557
(i) The certificates will be issued to qualified institutional
buyers according to Rule 144A of the Securities Act of 1933.
(ii) Non-offered certificates.
CE--Credit enhancement.
NR--Not rated.
WELLFLEET CLO 2017-2: Moody's Assigns Ba3 Rating to Class D Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Wellfleet CLO 2017-2, Ltd.
Moody's rating action is:
US$354,750,000 Class A-1 Senior Secured Floating Rate Notes due
2029 (the "Class A-1 Notes"), Assigned Aaa (sf)
US$63,250,000 Class A-2 Senior Secured Floating Rate Notes due 2029
(the "Class A-2 Notes"), Assigned Aa2 (sf)
US$27,500,000 Class B Mezzanine Secured Deferrable Floating Rate
Notes due 2029 (the "Class B Notes"), Assigned A2 (sf)
US$35,750,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2029 (the "Class C Notes"), Assigned Baa3 (sf)
US$24,750,000 Class D Junior Secured Deferrable Floating Rate Notes
due 2029 (the "Class D Notes"), Assigned Ba3 (sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the
Class C Notes and the Class D Notes are referred to herein 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.
Wellfleet CLO 2017-2 is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated first lien
senior secured corporate loans. At least 92.5% of the portfolio
must consist of senior secured loans and eligible investments, and
up to 7.5% of the portfolio may consist of collateral obligations
that are second-lien loans, senior unsecured loans and first-lien
last out loans. The portfolio is approximately 75% ramped as of the
closing date.
Wellfleet Credit Partners, LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four-year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer issued one class of
subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $550,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2883
Weighted Average Spread (WAS): 3.75%
Weighted Average Recovery Rate (WARR): 47.5%
Weighted Average Life (WAL): 8 years.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2883 to 3315)
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
Percentage Change in WARF -- increase of 30% (from 2883 to 3748)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -3
Class B Notes: -3
Class C Notes: -2
Class D Notes: -1
WELLS FARGO 2015-NXS4: Fitch Affirms B-sf Rating on Class X-G Certs
-------------------------------------------------------------------
Fitch Ratings has affirmed 18 classes of Wells Fargo Commercial
Mortgage Trust Pass-Through Certificates series 2015-NXS4 (WFCM
2015-NXS4).
KEY RATING DRIVERS
The affirmations are based on the stable performance of the
underlying collateral. As of the September 2017 distribution date,
the pool's aggregate principal balance has been reduced by 0.9% to
$767.6 million from $774.5 million at issuance.
Stable Performance: The overall performance of the pool has been
stable since issuance with no material changes to pool metrics. One
loan representing 0.9% of the pool is in special servicing.
Although five loans (12.6%) are on the watchlist for various
reasons including casualty events and deferred maintenance, only
one loan (1%) was considered a Fitch Loan of Concern (FLOC), due to
a decline in DSCR. The pool also has one loan (0.7%) located in
Puerto Rico, which has uncertainty related to the impact of
Hurricane Maria.
Retail Exposure: The retail concentration in the pool is 30.4%,
which is higher than the average of 26.7% for Fitch-rated
transactions in 2015. The pool has no exposure to regional enclosed
malls and the largest three retail loans in the pool are secured by
large power and grocery anchored centers. One of the power centers
has exposure to JC Penney as a shadow-anchor.
Single-Tenant Properties: The pool consists of 13 (24%)
single-tenanted properties, including collateral for the two
largest loans - One Court Square and Keurig Green Mountain. One
Court Square (9%) is located in Long Island City and is 100%
occupied by Citibank, N.A. (parent rated A); Keurig Green Mountain
(6.5%) is a property built in 2014 in suburban Boston that is 100%
occupied by Keurig Green Mountain.
Hotel Concentration: Loans collateralized by hotel properties
comprise 18.6% of the pool, including the pool's third largest
loan, Renaissance Phoenix Downtown (6.2% of the pool). The pool's
hotel concentration is greater than the 2015 and 2014 vintage
averages of 17% and 14.2%, respectively. 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.
Limited Amortization: Five of the largest 10 loans, representing
27.6% of the pool, are full-term interest-only loans. In total
there are nine full-term I/O loans representing 31.7% of the pool.
Additionally, there are 24 loans representing 37.8% of the pool
that are partial interest-only. Based on the scheduled balance at
maturity, the pool will pay down 9.8%, which is lower than the 2015
and 2014 averages of 12.3% and 12.0%, respectively.
Pari Passu Loans: Four loans comprising 22.4% of the pool are part
of a pari passu loan combination and have companion notes in other
transactions: One Court Square (9.1%), Keurig Green Mountain
(6.5%), CityPlace I (4.5%) and Yosemite Resorts (2.4%).
RATING SENSITIVITIES
The Rating Outlooks remain Stable for all classes due to stable
performance of the pool since issuance. Fitch does not foresee
positive or negative ratings migration until a material economic or
asset-level event changes the transaction's portfolio-level
metrics.
Fitch has affirmed the following ratings:
-- $16.7 million class A-1 at 'AAAsf'; Outlook Stable;
-- $66.8 million class A-2A at 'AAAsf'; Outlook Stable;
-- $66.8 million class A-2B at 'AAAsf'; Outlook Stable;
-- $100 million class A-3 at 'AAAsf'; Outlook Stable;
-- $238.3 million class A-4 at 'AAAsf'; Outlook Stable;
-- $46.7 million class A-SB at 'AAAsf'; Outlook Stable;
-- $40.7 million class A-S at 'AAAsf'; Outlook Stable;
-- $44.5 million class B at 'AA-sf'; Outlook Stable;
-- $37.8 million class C at 'A-sf'; Outlook Stable;
-- $25.2 million class D at 'BBBsf'; Outlook Stable;
-- $19.4a million class E at 'BBB-sf'; Outlook Stable;
-- $19.4a million class F at 'BB-sf'; Outlook Stable;
-- $8.7a million class G at 'B-sf'; Outlook Stable
-- $576b million class X-A at 'AAAsf'; Outlook Stable;
-- $44.5b million class X-B at 'AA-sf'; Outlook Stable
-- $44.5b million class X-D at 'BBB-sf'; Outlook Stable;
-- $19.4ab million class X-F at 'BB-sf'; Outlook Stable;
-- $8.7ab million class X-G at 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
Fitch does not rate the class X-H and class H certificates.
[*] Fitch Downgrades 61 Distressed Bonds in 46 RMBS Deals to 'Dsf'
------------------------------------------------------------------
Fitch Ratings has downgraded 61 distressed bonds in 46 U.S. RMBS
transactions to 'Dsf'. The downgrades indicate that the bonds have
incurred a principal write-down. Of the bonds downgraded to 'Dsf',
52 classes were previously rated 'Csf', and nine classes were rated
'CCsf'. All ratings below 'CCCsf' indicate a default is likely.
Of the 61 classes affected by these downgrades, 14 are Prime, 24
are Alt-A, and 21 are Subprime. The remaining transaction types are
various other sectors. Approximately 72% of the bonds have an RE of
50% to 100%, which indicates that the bonds will recover 50%-100%
of the current outstanding balance, while 11% have an RE of 0%.
KEY RATING DRIVERS
All of the affected classes had incurred a principal write-down and
are expected to endure additional losses in the future.
RATING SENSITIVITIES
While the bonds that have defaulted are not expected to recover any
material amount of lost principal in the future, there is a limited
possibility that this may happen. In this unlikely scenario, Fitch
would further review the affected class.
A spreadsheet detailing Fitch's rating actions can be found at
'www.fitchratings.com' by performing a title search for 'Fitch
Downgrades 61 Distressed Bonds to 'Dsf' in 46 U.S. RMBS
Transactions'. These actions were reviewed by a committee of Fitch
analysts. The spreadsheet provides the contact information for the
performance analyst.
The spreadsheet also details Fitch's assignment of REs to the
transactions. The Recovery Estimate scale is based upon the
expected relative recovery characteristics of an obligation. For
structured finance, REs are designed to estimate recoveries on a
forward-looking basis.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
A list of the Affected Ratings is available at:
http://bit.ly/2xpQm2n
[*] Moody's Takes Action on $89.7MM of Alt-A RMBS Issued in 2004
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of nine tranches
from three transactions, backed by Alt-A RMBS loans, issued by
multiple issuers.
Complete rating actions are:
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2004-16CB
Cl. 1-A-3, Upgraded to Baa3 (sf); previously on Oct 5, 2016
Confirmed at Ba2 (sf)
Cl. 2-A-1, Upgraded to Baa2 (sf); previously on Oct 5, 2016
Upgraded to Ba1 (sf)
Cl. 2-A-4, Upgraded to Baa2 (sf); previously on Oct 5, 2016
Upgraded to Ba1 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2004-8CB
Cl. A, Upgraded to Aa1 (sf); previously on Oct 5, 2016 Upgraded to
A1 (sf)
Cl. M-1, Upgraded to Baa1 (sf); previously on Oct 5, 2016 Upgraded
to Ba1 (sf)
Cl. M-2, Upgraded to B3 (sf); previously on Oct 5, 2016 Upgraded to
Caa3 (sf)
Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates, Series
2004-6CB
Cl. A, Upgraded to Aaa (sf); previously on Oct 7, 2016 Upgraded to
Aa1 (sf)
Cl. M-1, Upgraded to A3 (sf); previously on Oct 7, 2016 Upgraded to
Baa3 (sf)
Cl. M-2, Upgraded to Ba3 (sf); previously on Oct 7, 2016 Upgraded
to B3 (sf)
RATINGS RATIONALE
The rating actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectation on
the pools. The rating upgrades are a result of the improving
performance of the related pools and / or an increase in credit
enhancement available to the bonds.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.4% in August 2017 from 4.9% in
August 2016. Moody's forecasts an unemployment central range of
4.5% to 5.5% for the 2017 year. Deviations from this central
scenario could lead to rating actions in the sector.
House prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2017. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] S&P Completes Review on 74 Classes From 15 US RMBS Deals
------------------------------------------------------------
S&P Global Ratings completed its review of 74 classes from 15 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 1998 and 2007. All of these transactions are backed by
subprime collateral. The review yielded five upgrades, 31
downgrades, 33 affirmations, and five discontinuances. Of the
lowered ratings, we removed five from CreditWatch negative.
S&P said, "We lowered the rating on class M-1 from Securitized
Asset Backed Receivables LLC Trust 2005-OP2 to 'CCC (sf)' from 'BB+
(sf)' due to outstanding interest shortfalls that we determined
unlikely to be repaid at higher rating scenarios. The interest
shortfalls have been outstanding since November 2016.
"We raised the rating on class AV from Home Equity Mortgage Loan
Asset-Backed Trust's series SPMD 2000-C to 'B (sf)' from 'D (sf)'
because the bond was determined to no longer be in default.
Previously we downgraded this class to 'D (sf)' due to interest
shortfalls that have since been reimbursed. The class has never
experienced any writedowns, and it is not projected to take
writedowns or unreimbursed interest shortfalls under the current
rating scenario."
Analytical Considerations
S&P incorporates various considerations into its 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;
-- Priority of principal payments; and
-- Available subordination and/or overcollateralization.
A list of the Affected Ratings is available at:
http://bit.ly/2fmDUtc
[*] S&P Discontinues Ratings on 13 Classes From Four CDO Deals
--------------------------------------------------------------
S&P Global Ratings discontinued its ratings on 12 classes from
three cash flow (CF) collateralized loan obligation (CLO)
transactions and one class from one CF collateral debt obligations
(CDO) backed by commercial mortgage-backed securities (CMBS).
The discontinuances follow the complete paydowns of the notes as
reflected in the most recent trustee-issued note payment reports
for each transaction:
-- BlueMountain CLO II Ltd. (CF CLO): all rated tranches paid
down.
-- Doral CLO III Ltd. (CF CLO): optional redemption in August
2017.
-- Palmer Square Loan Funding 2016-2 Ltd. (CF CLO): optional
redemption in June 2017.
-- Sorin Real Estate CDO I Ltd. (CF CDO of CMBS): senior-most
tranche paid down; other rated tranches still outstanding.
RATINGS DISCONTINUED
BlueMountain CLO II Ltd.
Rating
Class To From
C NR AAA (sf)
D NR AAA (sf)
E NR BBB+ (sf)
Doral CLO III Ltd.
Rating
Class To From
A-2 NR AAA (sf)
B NR AA+ (sf)
C NR A+ (sf)
D NR BB (sf)
Palmer Square Loan Funding 2016-2 Ltd.
Rating
Class To From
A-1 NR AAA (sf)
A-2 NR AAA (sf)
B NR AA+ (sf)
C NR A (sf)
D NR BB+ (sf)
Sorin Real Estate CDO I Ltd.
Rating
Class To From
A-2 NR CCC+ (sf)
NR--Not rated.
[*] S&P Takes Various Actions on 38 Classes From 4 US RMBS Deals
----------------------------------------------------------------
S&P Global Ratings completed its review of 38 classes from four
U.S. residential mortgage-backed securities (RMBS) resecuritized
real estate mortgage investment conduit (re-REMIC) transactions
issued between 2004 and 2006. All of these transactions are backed
by a mix of prime, alternative-A, or home equity line of credit
(HELOC) loans, which are secured primarily by first liens on one-
to four-family residential properties. The review yielded nine
upgrades, four downgrades, 23 affirmations, and two withdrawals.
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;
-- Available subordination and/or overcollateralization; and
-- Priority of principal payments
Rating Actions
The affirmations of ratings reflect S&P's opinion that its
projected credit support and collateral performance on these
classes has remained relatively consistent with its prior
projections.
S&P said, "We withdrew our ratings on classes 04-T-1a, 04-T-1b from
CWHEQ Revolving Home Equity Loan Resecuritization Trust 2006-RES as
the related underlying class 1-A from CWABS Revolving Home Equity
Loan Trust Series 2004-T has received bond insurance payments from
insurer that we no longer rate. Such payments were made in
anticipation of an expected payment default. We withdrew the
ratings on these classes because we no longer have sufficient
information about the insurers' creditworthiness to form the basis
of an insurer-dependent rating."
A list of the Affected Ratings is available at:
http://bit.ly/2flDfEH
[*] S&P Takes Various Actions on 56 Classes From 11 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 56 classes from 11 U.S.
residential mortgage-backed securities transactions issued between
2003 and 2005. All of these transactions are backed by
alternative-A and negative amortization collateral. The review
yielded 18 upgrades, 12 downgrades, 22 affirmations, and four
discontinuances.
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations include:
-- Collateral performance/delinquency trends;
-- Erosion of/increase in credit support;
-- Proportion of modified loans in the pool;
-- Principal-only criteria;
-- Tail risk;
-- Available subordination and/or overcollateralization; and
-- Principal write-downs.
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 our projected credit support and collateral
performance on these classes has remained relatively consistent
with our prior projections.
A list of affected rating can be viewed at:
http://bit.ly/2xtAsUK
*********
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