/raid1/www/Hosts/bankrupt/TCR_Public/171112.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, November 12, 2017, Vol. 21, No. 315
Headlines
AIRLIE 2006-II: S&P Lowers Class D Notes Rating to 'D(sf)'
AMERICREDIT AUTOMOBILE 2017-4: Moody's Rates Class E Notes (P)Ba1
ANTARES CLO 2017-2: S&P Gives Prelim BB- Rating on Class E Notes
ASSURANT CLO I: Moody's Assigns Ba3 Rating to Class E Notes
BANC OF AMERICA 2005-3: Moody's Cuts Class XC Certs Rating to C
BANK 2017-BNK7: DBRS Finalizes B Rating on Class X-F Certs
BAYVIEW OPPORTUNITY 2017-RT5: Fitch to Rate Class B5 Notes 'Bsf'
BCC FUNDING XIII: DBRS Confirms B Rating on Class F Debt
CAESARS PALACE 2017-VICI: S&P Gives Prelim B+(sf) on F Certs
CD 2017-CD6: Fitch to Rate Class G-RR Certificates 'B-sf'
CITIGROUP 2013-GCJ11: Fitch Affirms 'Bsf' Rating on Class F Certs
COMM 2013-CCRE11: DBRS Confirms B Rating on Class F Certs
COMMERCIAL MORTGAGE 1999-C2: Moody's Affirms C Rating on X Certs
CW CAPITAL I: Moody's Hikes Rating on Class D Notes to Caa2(sf)
DEEPHAVEN RESIDENTIAL 2017-3: S&P Rates Class B-2 Notes 'B(sf)'
FIRST UNION 1997-C2: Moody's Affirms C Rating on Cl. IO Debt
GS MORTGAGE 2010-C2: Moody's Affirms B2 Rating on Class F Notes
GSMPS MORTGAGE 2005-LT1: Moody's Hikes Cl. B-2 Debt Rating to B1
GSRPM MORTGAGE 2006-1: Moody's Ups Rating on Cl. M-1 Debt to Ba1
IVY HILL VII: Moody's Assigns Ba2 Rating to Class E-R Notes
JP MORGAN 2005-LDP1: Fitch Affirms BB Rating on Class G Certs
JP MORGAN 2005-LDP4: Fitch Affirms 'CCCsf' Rating on Class C Certs
JP MORGAN 2017-FL11: S&P Assigns B-(sf) Rating on Class F Certs
METAL 2017-1: Fitch Rates Series C-2 Notes 'Bsf'
METLIFE SECURITIZATION 2017-1: Fitch Rates Cl. B2 Certs 'B'
MORGAN STANLEY 2016-BNK2: Fitch Affirms B-sf Ratings on 2 Tranches
NEWCASTLE CDO V: Moody's Hikes Rating on Class III Notes to Ba3
PFP LTD 2017-4: DBRS Finalizes Provisional B Rating on Cl. G Notes
PREFERREDPLUS CZN-1: Moody's Cuts $34.50MM Certs Rating to B3
ROMARK CLO I: Moody's Assigns Ba3 Rating to Class D Notes
SEQUOIA MORTGAGE 2017-CH2: Moody's Gives (P)Ba3 Rating to B-5 Certs
SLM STUDENT 2012-1: Fitch Lowers Ratings on 2 Tranches From 'BBsf'
STEERS TRUST 2: Moody's Hikes Ratings on 2 Tranches From Caa3(sf)
TIAA CHURCHILL II: S&P Assigns Prelim B-(sf) Rating on Cl. F Notes
TRAPEZA CDO VI: Moody's Hikes Ratings on 2 Tranches to B1
TRAPEZA CDO XI: Moody's Hikes Rating on Cl. B Notes to Ba3
TRIAXX PRIME 2006-2: Moody's Hikes Class A-2 Notes Rating to Caa3
TUCKAHOE CREDIT 2001-CTL1: S&P Affirms 'BB' CCR, Outlook Negative
WACHOVIA BANK 2006-C25: Fitch Hikes Class F Notes Rating to 'Bsf'
WACHOVIA BANK 2006-C27: Moody's Affirms B1 Rating on Cl. A-J Debt
WFBRS COMMERCIAL 2013-C18: DBRS Confirms B Rating on Cl. F Debt
[*] DBRS Reviews 22 Ratings of 5 US ABS Transactions
[*] Moody's Hikes $58.6MM of Prime Jumbo RMBS Issued 2016
[*] Moody's Takes Action on $100MM of Alt-A Issued 1999-2006
[*] S&P Takes Various Actions on 77 Classes From 21 US RMBS Deals
*********
AIRLIE 2006-II: S&P Lowers Class D Notes Rating to 'D(sf)'
----------------------------------------------------------
S&P Global Ratings lowered its rating on the class D notes from
Airlie CLO 2006-II Ltd., a cash flow collateralized loan obligation
(CLO) that closed in December 2006 and is managed by Airlie
Opportunity Capital Management LLP.
The rating actions follow S&P's review of the transaction's
performance using data from the October 2017 trustee report.
On the redemption date, the amount of proceeds received from
liquidation of the portfolio was inadequate to pay off all
outstanding principal balances. There are no remaining assets or
proceeds therefore no future payments will be made to the remaining
principal balance on the class D notes as reflected in the Oct. 20,
2017, note valuation report. Because of this principal shortfall,
S&P lowered its rating on the class D notes to 'D (sf)'.
S&P discontinued the rating on the class C notes as they were paid
down in full on the October 2017 redemption date.
RATING LOWERED
Airlie CLO 2006-II Ltd.
Rating
Class To From
D D (sf) CCC+ (sf)
RATING DISCONTINUED
Airlie CLO 2006-II Ltd.
Rating
Class To From
C NR A+ (sf)
AMERICREDIT AUTOMOBILE 2017-4: Moody's Rates Class E Notes (P)Ba1
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
notes to be issued by AmeriCredit Automobile Receivables Trust
2017-4 (AMCAR 2017-4). This is the fourth AMCAR auto loan
transaction of the year for AmeriCredit Financial Services, Inc.
(AFS; Unrated). The notes will be backed by a pool of retail
automobile loan contracts originated by AFS, who is also the
servicer and administrator for the transaction.
The complete rating actions are:
Issuer: AmeriCredit Automobile Receivables Trust 2017-4
Class A-1 Notes, Assigned (P)P-1 (sf)
Class A-2-A Notes, Assigned (P)Aaa (sf)
Class A-2-B Notes, Assigned (P)Aaa (sf)
Class A-3 Notes, Assigned (P)Aaa (sf)
Class B Notes, Assigned (P)Aa1 (sf)
Class C Notes, Assigned (P)Aa3 (sf)
Class D Notes, Assigned (P)Baa1 (sf)
Class E Notes, Assigned (P)Ba1 (sf)
RATINGS RATIONALE
The ratings are based on the quality of the underlying collateral
and its expected performance, the strength of the capital
structure, and the experience and expertise of AFS as the servicer
and administrator.
Moody's median cumulative net loss expectation for the 2017-4 pool
is 9.5% and the Aaa level is 38.0%. The Aaa level is the level of
credit enhancement consistent with a Aaa (sf) rating. Moody's based
its cumulative net loss expectation and Aaa level on an analysis of
the credit quality of the underlying collateral; the historical
performance of similar collateral, including securitization
performance and managed portfolio performance; the ability of AFS
to perform the servicing functions; and current expectations for
the macroeconomic environment during the life of the transaction.
At closing, the Class A notes, Class B notes, Class C notes, Class
D, and Class E notes are expected to benefit from 35.20%, 27.95%,
18.95%, 10.10%, and 7.75% of hard credit enhancement, respectively.
Hard credit enhancement for the notes consists of a combination of
overcollateralization, a non-declining reserve account, and
subordination. The notes may also benefit from excess spread.
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
October 2016.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the subordinate notes if, given current
expectations of portfolio losses, levels of credit enhancement are
consistent with higher ratings. In sequential pay structures, such
as the one in this transaction, credit enhancement grows as a
percentage of the collateral balance as collections pay down senior
notes. Prepayments and interest collections directed toward note
principal payments will accelerate this build of enhancement.
Moody's expectation of pool losses could decline as a result of a
lower number of obligor defaults or appreciation in the value of
the vehicles securing an obligor's promise of payment. Portfolio
losses also depend greatly on the US job market, the market for
used vehicles, and changes in servicing practices.
Down
Moody's could downgrade the notes if, given current expectations of
portfolio losses, levels of credit enhancement are consistent with
lower ratings. Credit enhancement could decline if excess spread is
not sufficient to cover losses in a given month. Moody's
expectation of pool losses could rise as a result of a higher
number of obligor defaults or deterioration in the value of the
vehicles securing an obligor's promise of payment. Portfolio losses
also depend greatly on the US job market, the market for used
vehicles, and poor servicing. Other reasons for worse-than-expected
performance include error on the part of transaction parties,
inadequate transaction governance, and fraud. Additionally, Moody's
could downgrade the Class A-1 short-term rating following a
significant slowdown in principal collections that could result
from, among other things, high delinquencies or a servicer
disruption that impacts obligor's payments.
ANTARES CLO 2017-2: S&P Gives Prelim BB- Rating on Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Antares CLO
2017-2 Ltd./Antares CLO 2017-2 LLC's $708.00 million floating-rate
notes.
The note issuance is a collateralized loan obligation transaction
backed primarily by middle-market senior secured term loans.
The preliminary ratings are based on information as of Nov. 3,
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
Antares CLO 2017-2 Ltd. /Antares CLO 2017-2 LLC
Class Rating Amount (mil. $)
A AAA (sf) 460.00
B AA (sf) 92.00
C (deferrable) A (sf) 60.00
D (deferrable) BBB- (sf) 52.00
E (deferrable) BB- (sf) 44.00
Subordinated notes NR 98.75
NR--Not rated.
ASSURANT CLO I: Moody's Assigns Ba3 Rating to Class E Notes
-----------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Assurant CLO I, Ltd. (the "Issuer" or "Assurant
I").
Moody's rating action is:
US$254,000,000 Class A Senior Secured Floating Rate Notes due 2029
(the "Class A Notes"), Assigned Aaa (sf)
US$50,000,000 Class B Senior Secured Floating Rate Notes due 2029
(the "Class B Notes"), Assigned Aa2 (sf)
US$22,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2029 (the "Class C Notes"), Assigned A2 (sf)
US$23,500,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2029 (the "Class D Notes"), Assigned Baa3 (sf)
US$18,500,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2029 (the "Class E Notes"), Assigned Ba3 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes and the Class E Notes are referred to herein, collectively,
as the "Rated Notes".
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
Assurant I is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90.0% of the portfolio must
consist of senior secured loans, cash, and eligible investments,
and up to 10.0% of the portfolio may consist of second lien loans
and unsecured loans. The portfolio is approximately 90% ramped as
of the closing date.
Assurant CLO Management, LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions. This is the Manager's
first CLO.
In addition to the Rated Notes, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $400,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2784
Weighted Average Spread (WAS): 3.35%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 8 years.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
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 2784 to 3202)
Rating Impact in Rating Notches
Class A Notes: 0
Class B Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2784 to 3619)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -3
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
BANC OF AMERICA 2005-3: Moody's Cuts Class XC Certs Rating to C
---------------------------------------------------------------
Moody's Investors Service has downgraded the rating on one class
and affirmed the rating on one class in Banc of America Commercial
Mortgage Inc. Commercial Mortgage Pass-Through Certificates, Series
2005-3:
Cl. A-J, Downgraded to Ca (sf); previously on Dec 21, 2016
Downgraded to Caa3 (sf)
Cl. XC, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The rating on Cl. A-J, was downgraded due to realized losses and
Moody's anticipated losses from specially serviced loans. Cl. A-J
has already experienced a 36% loss as a result of previously
liquidated loans.
The rating on the IO Class, Cl. XC, was affirmed based on the
credit quality of its referenced classes.
Moody's rating action reflects a base expected loss of 16.8% of the
current balance, compared to 76.7% at Moody's last review. Moody's
base expected loss plus realized losses is now 17.8% of the
original pooled balance, compared to 17.2% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.
Additionally, the methodology used in rating Cl. XC was "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 19% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for the specially serviced loan that it
expects will generate a loss and estimates a loss given default
based on a review of broker's opinions of value (if available),
other information from the special servicer, available market data
and Moody's internal data. The loss given default for the loan also
takes into consideration repayment of servicer advances to date,
estimated future advances and closing costs. Translating the
probability of default and loss given default into an expected loss
estimate, Moody's then applies the aggregate loss from specially
serviced loan to the most junior class and the recovery as a pay
down of principal to the most senior class.
DEAL PERFORMANCE
As of the October 10, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $48.6 million
from $2.16 billion at securitization. The certificates are
collateralized by two mortgage loans.
Twenty-five loans have been liquidated from the pool, contributing
to a total certificate loss of $376.0 million (for an average loss
severity of 57%). One loan, the Emster Portfolio Loan (19% of the
pool), is currently in special servicing. The loan originally
transferred to the special servicer in April 2012 due to
non-monetary default and the borrower then failed to pay off the
loan at its maturity date in May 2012. The current unpaid principal
balance for the Emster Portfolio is $9.01 million and only the
Freeport, Illinois property remains as collateral. The remaining
property has been vacant since 2013 after Kmart' vacated the
property at its lease expiration date. The remaining asset is REO
and the property is scheduled for auction in November 2017. Moody's
anticipates a significant loss on the remaining balance of this
loan.
The only remaining performing loan is the Mercantile West Loan
($39.5 million -- 81% of the pool), which is secured by a grocery
anchored retail center located in Ladera Ranch, California. The
center is anchored by a Gelson's grocery store with a lease through
2019. As of July 2017, the property was 88% leased compared to 94%
at last review. Moody's LTV and stressed DSCR are 83% and 1.21X,
respectively, compared to 83% and 1.19X at the last review. Moody's
stressed DSCR is based on Moody's NCF and a 9.25% stress rate the
agency applied to the loan balance.
BANK 2017-BNK7: DBRS Finalizes B Rating on Class X-F Certs
----------------------------------------------------------
DBRS, Inc. finalized the provisional ratings of the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2017-BNK7 (the Certificates) to be issued by BANK 2017-BNK7:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at A (high) (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class X-D at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class X-E at BB (sf)
-- Class E at BB (low) (sf)
-- Class X-F at B (sf)
-- Class F at B (low) (sf)
All trends are Stable.
Classes X-D, X-E, X-F, X-G, D, E, F and G will be privately placed.
The Class X-A, X-B, X-D, X-E, X-F and X-G balances are notional.
The collateral consists of 65 fixed-rate loans secured by 83
commercial and multifamily properties. The transaction is a
sequential-pay pass-through structure. The conduit pool was
analyzed to determine the ratings, reflecting the long-term
probability of loan default within the term and its liquidity at
maturity. When the cut-off loan balances were measured against the
DBRS Stabilized net cash flow (NCF) and their respective actual
constants, one loan, representing 0.5% of the pool balance, had a
DBRS Term debt service coverage ratio (DSCR) below 1.15 times (x),
a threshold indicative of a higher likelihood of mid-term default.
Additionally, to assess refinance risk given the current low
interest rate environment, DBRS applied its refinance constants to
the balloon amounts. This resulted in 20 loans, representing 47.3%
of the pool, having refinance DSCRs below 1.00x, and 12 loans,
representing 27.4% of the pool, having refinance (Refi) DSCRs below
0.90x. These credit metrics are based on whole-loan balances.
General Motors Building, which represents 9.2% of the transaction
balance and is one of the pool's loans with a DBRS Refi DSCR below
0.90x, is shadow-rated investment grade by DBRS and has a large
piece of subordinate mortgage debt outside the trust. Based on
A-note balances only, the deal's weighted-average (WA) DBRS Refi
DSCR improves to 1.23x, and the concentration of loans with DBRS
Refi DSCRs below 1.00x and 0.90x reduces to 38.1% and 18.2%,
respectively.
Five of the largest 13 loans in the pool – General Motors
Building, Westin Building Exchange, The Churchill, Overlook at King
of Prussia and Moffett Place B4 – exhibit credit characteristics
consistent with shadow ratings of AAA, AAA, AAA, BBB (low) and A
(low), respectively. These loans represent 24.8% of the transaction
balance. Furthermore, 19 loans, representing 9.5% of the pool, are
secured by cooperative properties and are very low-leverage with
minimal term and refinance default risk. Twenty-one loans,
representing 46.8% of the pool, are located in urban markets with
increased liquidity that benefit from consistent investor demand,
even in times of stress. Of these, eight loans, totaling 23.7% of
the transaction balance, are considered to be located in Super
Dense Urban markets, which DBRS defines as gateway locations with
extremely high liquidity and low cap rates. Both term default risk
and refinance risk are low, as indicated by the strong WA DBRS Term
and Refi DSCRs of 2.04x and 1.19x, respectively. In addition, 51
loans, representing 75.2% of the pool, have a DBRS Term DSCR in
excess of 1.50x, and 31 loans, totaling 27.5%, have a DBRS Refi
DSCR in excess of 1.15x. Five of the largest 13 loans in the pool
meet both criteria. Even when excluding the five loans shadow-rated
investment grade and the co-operative loans, the deal exhibits a
robust WA DBRS Term and Refi DSCR of 1.69x and 1.00x,
respectively.
The pool is concentrated based on loan size, with a concentration
profile equivalent to that of a pool of 23 equal-sized loans. The
largest five and ten loans total 36.7% and 57.9% of the pool,
respectively. The pool also has a relatively high concentration of
loans secured by non-traditional property types, such as
self-storage, hospitality and MHC assets, which, on a combined
basis, represent 17.1% of the pool across 13 loans. There are four
loans, totaling 12.5% of the pool, secured by hotels, and nine
loans, totaling 4.6% of the transaction balance, secured by
self-storage properties. Each of these asset types is vulnerable to
high NCF volatility because of the relatively short-term leases
compared with other commercial properties, which can cause NCF to
quickly deteriorate in a declining market. Three of the largest 12
loans are secured by hospitality properties. Twenty-two loans,
representing 49.3% of the pool, including seven of the largest 15
loans, are structured with interest-only (IO) payments for the full
term. An additional 13 loans, representing 23.2% of the pool, have
partial IO periods ranging from 24 months to 60 months. The
percentage of loans structured with full term and partial IO
payments relative to the total pool is elevated at 72.5%.
The DBRS sample included 24 of the 65 loans in the pool. Site
inspections were performed on 22 of the 83 properties in the
portfolio (72.5% of the pool by allocated loan balance). DBRS
conducted meetings with the on-site property manager, leasing agent
or a representative of the borrowing entity for 71.0% of the pool.
A cash flow review, as well as a cash flow stability and structural
review, were completed on 24 of the 65 loans, representing 80.5% of
the pool by loan balance. The DBRS sample had an average NCF
variance of -10.2% and ranged from -29.7% (Fresenius Distribution
Center SC) to +1.0% (Metro Towne Center).
Notes:
All figures are in U.S. dollars unless otherwise noted.
BAYVIEW OPPORTUNITY 2017-RT5: Fitch to Rate Class B5 Notes 'Bsf'
----------------------------------------------------------------
Fitch Ratings expects to rate Bayview Opportunity Master Fund IVa
Trust 2017-RT5 (BOMFT 2017-RT5):
-- $187,440,000 class A notes 'AAAsf'; Outlook Stable;
-- $187,440,000 class A-IOA notional notes 'AAAsf'; Outlook
Stable;
-- $$187,440,000 class A-IOB notional notes 'AAAsf'; Outlook
Stable;
-- $26,713,000 class B1 notes 'AAsf'; Outlook Stable;
-- $26,713,000 class B1-IOA notional notes 'AAsf'; Outlook
Stable;
-- $26,713,000 class B1-IOB notional notes 'AAsf'; Outlook
Stable;
-- $5,224,000 class B2 notes 'Asf'; Outlook Stable;
-- $5,224,000 class B2-IO notional notes 'Asf'; Outlook Stable;
-- $13,729,000 class B3 notes 'BBBsf'; Outlook Stable;
-- $13,729,000 class B3-IOA notional notes 'BBBsf'; Outlook
Stable;
-- $13,729,000 class B3-IOB notional notes 'BBBsf'; Outlook
Stable;
-- $25,221,000 class B4 notes 'BBsf'; Outlook Stable;
-- $12,238,000 class B5 notes 'Bsf'; Outlook Stable.
The following class will not be rated by Fitch:
-- $27,907,170 class B6 notes.
The notes are supported by a pool of 4,561 loans totaling $298.5
million (comprising 4,533 seasoned performing and re-performing
loans [RPLs] and 28 newly originated loans), including $12.3
million in non-interest-bearing deferred principal amounts, as of
the cutoff date. Distributions of principal and interest (P&I) and
loss allocations are based on a sequential-pay, senior-subordinate
structure.
The 'AAAsf' rating on the class A notes reflects the 37.20%
subordination provided by the 8.95% class B1, 1.75% class B2, 4.60%
class B3, 8.45% class B4, 4.10% class B5, and 9.35% class B6
notes.
Fitch's ratings on the notes reflect the credit attributes of the
underlying collateral, the quality of the servicer (Bayview Loan
Servicing, LLC, rated 'RSS2+'), the representation (rep) and
warranty framework, minimal due diligence findings, and the
sequential pay structure.
KEY RATING DRIVERS
Recent Delinquencies (Negative): Approximately 45.5% of the
borrowers in the pool have had a delinquency in the prior 24
months, with 35.2% occurring in the past 12 months. The majority of
the pool (61.1%) has received a modification due to performance
issues. Although the borrowers had prior delinquencies as recent as
four months ago and tend to be chronic late payers, the seasoning
of roughly 11 years indicates a willingness to stay in their home.
Low Property Values (Negative): Based on Fitch's analysis, the
average current property value of the pool is approximately
$120,000, 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 210 basis points (bps).
Tier I Representation Framework (Positive): Fitch considers the
transaction's representation, warranty and enforcement (RW&E)
mechanism framework to be strong and consistent with a Tier I
framework. An automatic review of any loan that incurs a realized
loss or is 180 or more days delinquent will occur after cumulative
realized losses plus the 180+ delinquency bucket exceeds 50% of the
'Bsf' credit enhancement (CE) 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. Fitch believes the performance trigger
for causing an automatic review is sufficient for identifying
breaches before significant deterioration in pool performance
occurs.
The transaction benefits from life-of-loan representations and
warranties (R&Ws) as well as a backstop by Bayview Asset Management
(BAM) in the event the sponsor, Bayview Opportunity Master Fund
IVa, L.P., is liquidated or terminated.
Due Diligence Findings (Negative): A TPR conducted on 100% of the
pool resulted in 17.8% (or 811 loans) graded 'C' or 'D'. For 672
loans, the due diligence results showed issues regarding high-cost
testing -- the loans were either missing the final HUD1, used
alternate documentation to test, or had incomplete loan files --
and therefore a slight upward revision to the model output LS was
applied, as further described in the Third-Party Due Diligence
section beginning on page 6. In addition, timelines were extended
on 697 loans that were missing final modification documents
(excluding 166 loans that were already adjusted for HUD1 issues).
Recent Natural Disasters (Mixed): The full extent of damage from
Hurricane Harvey, Hurricane Irma and the California wildfires 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, Bayview Opportunity Master Fund IVa, L.P., is
obligated to repurchase loans that have incurred property damage
due to water, flood or hurricane prior to the transaction's closing
that materially and 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 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, 40bps from the interest remittance amount will be used
to pay down principal as well as any excess interest allocation
from the loan-level daily interest accrual calculation. The
provision to re-allocate principal to pay interest on the 'AAAsf'
and 'AAsf' rated notes prior to other principal distributions, as
well as the application of excess interest to the notes, is highly
supportive of timely interest payments to those classes, in the
absence of servicer advancing.
Potential Interest Deferrals (Mixed): Given that there is no
external P&I advancing mechanism, Fitch analyzed the collateral's
cash flows using its standard prepayment and default timing
assumptions to assess the cash flow stability of the high
investment-grade rated bonds. Fitch considered the borrower's pay
histories in comparison to its timing assumptions and found that
the subordination is expected to be sufficient to cover timely
payment of interest on the 'AAAsf' and 'AAsf' notes. In addition,
principal otherwise distributable to the notes may be used to pay
monthly interest, which also helps provide stability in the cash
flows. However, the lower-rated bonds may experience long periods
of interest deferral, and will generally not be repaid until the
note becomes the most senior outstanding.
No Servicer P&I Advances (Mixed): The servicer will not be
advancing delinquent monthly payments of P&I, which reduces
liquidity to the trust. However, as P&I advances made on behalf of
loans that become delinquent and eventually liquidate reduce
liquidation proceeds to the trust, the loan-level LS are less for
this transaction than for those where the servicer is obligated to
advance P&I. Structural provisions and cash flow priorities,
together with increased subordination, provide for timely payments
of interest to the 'AAAsf' and 'AAsf' rated classes.
Solid Alignment of Interest (Positive): The sponsor, Bayview
Opportunity Master Fund IVa, L.P., will acquire and retain a 5%
vertical interest in each class of the securities to be issued. In
addition, the sponsor will also be the rep provider until at least
January 2024. If the fund is liquidated or terminated, BAM will be
obligated to provide a remedy for material breaches of R&Ws.
Deferred Amounts (Negative): Non-interest-bearing principal
forbearance amounts totaling $12.3 million (4.1%) of the unpaid
principal balance are outstanding on 2,164 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 analyzed the transaction in general accordance with its
criteria, as described in the report, "U.S. RMBS Rating Criteria."
This incorporates a review of the originators' lending platforms,
as well as an assessment of the transaction's R&Ws provided by the
originators and arranger, which were found to be consistent with
the ratings assigned to the certificates.
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 the pool that did not have
original DTI data available (95% 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 1.14% of the tax, title and lien
review will be completed within 90 days of closing. Fitch considers
the robust servicing and ongoing monitoring from Bayview Loan
Servicing, which is a high-touch servicing platform that
specializes in seasoned loans, to be a positive. Given the strength
of the servicer, Fitch considered the impact of a small percentage
of incomplete 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 38.2% 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'.
BCC FUNDING XIII: DBRS Confirms B Rating on Class F Debt
--------------------------------------------------------
DBRS, Inc. conducted a review of BCC Funding XIII LLC with seven
outstanding publicly rated classes. Of the classes reviewed, four
were confirmed, two were upgraded and one was discontinued because
it was repaid in full. For the ratings that were confirmed and
upgraded, performance trends are such that credit enhancement
levels are sufficient to cover DBRS's expected losses at their
current and new respective rating levels.
The following public transactions were reviewed:
-- BCC Funding XIII LLC
The DBRS ratings are based on DBRS's review of the following
analytical considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- The transaction parties' capabilities with regard to
origination, underwriting and servicing.
-- Credit quality of the collateral pool and the historical
performance of the portfolio.
Notes: All figures are in U.S. dollars unless otherwise noted.
The affected ratings are:
BCC Funding XIII LLC
Equipment Contract Backed Notes
Series 2016-1
Class A-1 Rating Discontinued
Class A-2 Confirmed at AAA(sf)
Class B Upgraded to AA(high)
Class C Upgraded to A(high)
Class D Confirmed at BBB(sf)
Class E Confirmed at BB(sf)
Class F Confirmed at B(sf)
CAESARS PALACE 2017-VICI: S&P Gives Prelim B+(sf) on F Certs
------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Caesars
Palace Las Vegas Trust 2017-VICI's $1.55 billion commercial
mortgage pass-through certificates.
The issuance is a commercial mortgage-backed securities transaction
backed by one five-year, fixed-rate interest-only commercial
mortgage loan totaling $1.55 billion, secured by the fee simple and
leasehold interest in Caesars Palace Las Vegas, a full-service
hotel, casino, and entertainment resort located in Las Vegas, Nev.
The preliminary ratings are based on information as of Nov. 7,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect our view of the collateral's
historical and projected performance, the sponsors' and managers'
experience, the trustee-provided liquidity, the loan's terms, and
the transaction's structure.
PRELIMINARY RATINGS ASSIGNED
Caesars Palace Las Vegas Trust 2017-VICI
Class Rating(i) Amount ($)
A AAA (sf) 535,500,000
X-A AAA (sf) 535,500,000(ii)
X-B A- (sf) 343,100,000(ii)
B AA- (sf) 200,500,000
C A- (sf) 142,600,000
D BBB- (sf) 206,700,000
E BB- (sf) 312,300,000
F B+ (sf) 61,000,000
HRR(iii) B (sf) 91,400,000
(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-A
certificates will equal the aggregate of the portion balances of
the class A certificates. The notional amount of the class X-B
certificates will equal the aggregate certificate balance of the
class B and C certificates.
(iii)Horizontal risk retention class.
CD 2017-CD6: Fitch to Rate Class G-RR Certificates 'B-sf'
---------------------------------------------------------
Fitch Ratings has issued a presale report on CD 2017-CD6 Mortgage
Trust Commercial Mortgage Pass-Through Certificates, Series
2017-CD6 and expects to rate the transaction and assign Rating
Outlooks as follows:
-- $44,159,000 class A-1 'AAAsf'; Outlook Stable;
-- $103,497,000 class A-2 'AAAsf'; Outlook Stable;
-- $67,649,000 class A-3 'AAAsf'; Outlook Stable;
-- $61,062,000 class A-SB 'AAAsf'; Outlook Stable;
-- $209,460,000 class A-4 'AAAsf'; Outlook Stable;
-- $257,521,000 class A-5 'AAAsf'; Outlook Stable;
-- $104,865,000 class A-M 'AAAsf'; Outlook Stable;
-- $848,213,000b class X-A 'AAAsf'; Outlook Stable;
-- $42,477,000 class B 'AA-sf'; Outlook Stable;
-- $42,477,000ab class X-B 'AA-sf'; Outlook Stable;
-- $45,132,000 class C 'A-sf'; Outlook Stable;
-- $19,911,000a class D 'BBBsf'; Outlook Stable;
-- $19,911,000ab class X-D 'BBBsf'; Outlook Stable;
-- $31,857,000ac class E-RR 'BBB-sf'; Outlook Stable;
-- $23,894,000ac class F-RR 'BB-sf'; Outlook Stable;
-- $10,619,000ac class G-RR 'B-sf'; Outlook Stable.
The following are not expected to be rated:
-- $39,822,721ac class H-RR.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest only.
(c) Classes E-RR, F-RR, G-RR and H-RR certificates, in the
aggregate initial certificate balance of approximately $106,192,721
constitute the eligible horizontal residual interest to satisfy a
portion of the sponsor's risk retention obligation. The combined
interest retained by the horizontal residual interest is no less
than 5.0%.
The expected ratings are based on information provided by the
issuer as of Nov. 3, 2017.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 58 loans secured by 125
commercial properties having an aggregate principal balance of
$1,061,925,721 as of the cut-off date. The loans were contributed
to the trust by German American Capital Corporation, Citi Real
Estate Funding Inc., and Argentic Real Estate Finance LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 64.9% of the properties
by balance, cash flow analysis of 80.6%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Higher Fitch Leverage: The pool's leverage is higher than recent
Fitch-rated multiborrower transactions. The Fitch LTV for the pool
is 104.2%, which is worse than the YTD 2017 average of 101.2%. The
Fitch DSCR is 1.26x which is equal to the YTD 2017 average.
Excluding investment-grade credit opinion loans, the pool has a
Fitch DSCR and LTV of 1.24x and 108.5%, respectively.
Diversified Pool: The pool has concentration metrics better than
recent transactions. The pool's loan concentration index (LCI) of
283 is better than the YTD 2017 average of 393. The pool's top 10
loan concentration of 41.3% is also better than the YTD 2017
average of 52.7%.
Investment-Grade Credit Opinion Loans: Three loans, representing
8.97% of the pool, have investment-grade credit opinions; this is
less than the YTD 2017 average credit opinion concentration of
11.65% in recent transactions. Burbank Office Portfolio (4.71% of
the pool) has an investment-grade credit opinion of 'BBB+sf*' on a
stand-alone basis, while Moffett Place Building 4 (2.38% of the
pool) and Colorado Center (1.88% of the pool) have investment-grade
credit opinions of 'BBB-sf*' and 'A+sf*', respectively, on a
stand-alone basis.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 6.9% below
the most recent year's net operating income (NOI) for properties
for which a full-year NOI was provided, excluding properties that
were stabilized during this period.
Unanticipated further declines in property-level NCF could result
in higher defaults and loss severities on defaulted loans and in
potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the CD
2017-CD6 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 'AA+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 'BBBsf'
could result.
CITIGROUP 2013-GCJ11: Fitch Affirms 'Bsf' Rating on Class F Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 12 classes of Citigroup Commercial
Mortgage Trust, commercial mortgage pass-through certificates
series 2013-GCJ11.
KEY RATING DRIVERS
Stable Performance: The affirmations are based on the overall
stable performance of the majority of the underlying collateral
with no material changes to pool metrics since issuance. All loans
in the pool are current as of the October 2017 remittance. The
pool's aggregate principal balance has been reduced by 8.3% to $1.1
billion from $1.2 billion at issuance.
Loans of Concern: Nine loans (8.9%) are on the servicer's watchlist
due to deteriorating performance, upcoming rollover or deferred
maintenance; four (2.3%) have been designated as Fitch Loans of
Concerns. Generally, overall pool performance is stable.
High Hotel Exposure: The pool has a lower concentration of retail
and office properties, compared to recent transactions. In
addition, hotels consist of 21.6% of the pool, plus one mixed-use
property (6.3%) with a significant hotel component. Five of the top
15 loans (19.4%) are secured by hotels or mixed-use with hotel.
Amortization: Full interest-only loans account for 5% of the pool,
and partial interest-only loans account for 32.1% of the pool. The
pool pays down 15.1% from cutoff date to maturity, based on loans'
scheduled maturity balances.
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:
-- $265.9 million class A-2 at 'AAAsf'; Outlook Stable;
-- $150 million class A-3 at 'AAAsf'; Outlook Stable;
-- $236.2 million class A-4 at 'AAAsf'; Outlook Stable;
-- $92.9 million class A-AB at 'AAAsf'; Outlook Stable;
-- $104.1 million class A-S at 'AAAsf'; Outlook Stable;
-- $75.4 million class B at 'AA-sf'; Outlook Stable;
-- $42.2 million class C at 'A-sf'; Outlook Stable;
-- $58.8 million class D at 'BBB-sf'; Outlook Stable;
-- $21.1 million class E at 'BBsf'; Outlook Stable;
-- $18.1 million class F at 'Bsf'; Outlook Stable;
-- $849.1 million* class X-A at 'AAAsf'; Outlook Stable;
-- $117.7 million* class X-B at 'A-sf'; Outlook Stable.
*Notional amount and interest-only.
Class A-1 was repaid in full. Fitch does not rate the class G
certificates.
COMM 2013-CCRE11: DBRS Confirms B Rating on Class F Certs
---------------------------------------------------------
DBRS, Inc. confirmed the following classes of Commercial Mortgage
Pass-Through Certificates, Series 2013-CCRE11 (the Certificates)
issued by COMM 2013-CCRE11 Mortgage Trust:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at BBB (sf)
-- Class X-C at B (high) (sf)
-- Class A-M at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (high) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (sf)
-- Class F at B (sf)
All trends are Stable. DBRS previously assigned a Positive trend to
Classes B and C; however, given the year-over-year cash flow
declines for two of the largest ten loans in the pool from 2015 to
2016 and concerns regarding upcoming lease expiration dates for two
anchor tenants at Oglethorpe Mall (Prospectus ID#5, 7.2% of the
pool), DBRS changed those trends to Stable with this review.
The rating confirmations reflect the strong overall performance of
the transaction since issuance. As of the August 2017 remittance,
the transaction had an outstanding balance of $1.24 billion,
representing collateral reduction since issuance, with all of the
original 46 loans remaining in the pool. There is one defeased
loan, Prospectus ID#10, The Vintage Estate, which represents 3.2%
of the pool balance. At issuance, the DBRS Term debt service
coverage ratio (DSCR) and DBRS Debt Yield were 1.65 times (x) and
10.0%, respectively. Based on the most recent year-end reporting
for the loans in the pool, most of which are as of YE2016, the pool
reported a weighted-average (WA) DSCR and Debt Yield of 1.90x and
11.3%, respectively, reflective of WA net cash flow (NCF) growth of
19.0% of the DBRS NCF figures at issuance.
The transaction also benefits from an above-average concentration
of properties situated in urban and suburban markets, with each
market type individually representing over 40.0% of the outstanding
pool balance. In addition, the pool benefits from property type
diversification, as the largest concentration of property types is
in retail properties, which represent approximately 31.0% of the
pool balance, and other property types including office,
industrial, hospitality and self-storage properties, each
representing at least 10.0% of the transaction balance. Finally,
there are three loans in the top 15, representing 16.5% of the
pool, that are shadow rated investment grade by DBRS.
There are challenges in the pool's concentration by loan size, with
the largest ten loans representing 64.5% of the overall pool
balance. Overall, these loans are performing well, with the
tenth-largest loan defeased and a WA DSCR of 2.02x and WA NCF
growth over the DBRS NCF figures at issuance of 18.6% for the nine
non-defeased loans in the top ten. In addition, there are seven
loans, representing 31.0% of the pool, which were structured with
full interest-only terms. In general, these loans have healthy to
strong DBRS refinance DSCR and Exit Debt Yield metrics as based on
the most recent year-end NCF figures. There are only two loans on
the servicer's watchlist as of the August 2017 remittance, with no
loans in special servicing. Combined, the two loans on the
watchlist represent 1.8% of the pool and only one of those loans,
which represents 0.06% of the pool, is being monitored for
performance issues.
DBRS has assigned investment-grade shadow ratings to three loans:
Prospectus ID#3, One & Only Palmilla (7.2% of the pool), Prospectus
ID#6, One Wilshire (6.4% of the pool) and Prospectus ID#11, 200-206
East 87th Street (2.8% of the pool). DBRS confirmed that the
performance of these three loans remains consistent with
investment-grade loan characteristics.
COMMERCIAL MORTGAGE 1999-C2: Moody's Affirms C Rating on X Certs
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
and upgraded the rating on one class in Commercial Mortgage Asset
Trust 1999-C2, Commercial Mortgage Pass-Through Certificates,
Series 1999-C2:
Cl. G, Affirmed Aaa (sf); previously on Nov 17, 2016 Affirmed Aaa
(sf)
Cl. H, Upgraded to Caa3 (sf); previously on Nov 17, 2016 Affirmed
Ca (sf)
Cl. X, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The rating on Class H was upgraded to align with Moody's expected
plus realized losses. Class H as already experienced a 19% realized
loss as a result of previously liquidated loans.
The rating on Class G was affirmed because it is fully covered by
defeased loans. Defeasance represents 82% of the current pool
balance.
The rating on the IO class, Class X, was affirmed based on the
credit quality of the referenced classes.
Moody's does not anticipate losses from the remaining collateral in
the current environment. However, over the remaining life of the
transaction, losses may emerge from macro stresses to the
environment and changes in collateral performance. Moody's ratings
reflect the potential for future losses under varying levels of
stress. Moody's base expected loss plus realized losses is now 7.6%
of the original pooled balance, compared to 7.7% at the last
review. Moody's provides a current list of base expected losses for
conduit and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.
Additionally, the methodology used in rating Cl. X was "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the October 17, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 97.8% to $16.7
million from $775.2 million at securitization. The certificates are
collateralized by four remaining mortgage loans. Three loans,
constituting 81.9% of the pool, have defeased and are secured by US
government securities.
Fifteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $59.2 million (for an average loss
severity of 49.9%).
The sole remaining non-defeased loan is the Regal Cinema Loan ($3.0
million -- 18.1% of the pool), which is secured by a stadium-style
movie theater in Medina, Ohio. The lease expires in December 2018,
approximately nine months prior to the loan's anticipated repayment
date of September 2019. The loan has amortized 57% since
securitization and Moody's current LTV and stressed DSCR are 51%
and 2.35X, respectively, compared to 53% and 2.27X at last review.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress
rate the agency applied to the loan balance.
CW CAPITAL I: Moody's Hikes Rating on Class D Notes to Caa2(sf)
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by CW Capital Cobalt I, Ltd. ("CW Capital Cobalt I"):
Cl. D, Upgraded to Caa2 (sf); previously on Nov 17, 2016 Upgraded
to Ca (sf)
Cl. E-1, Affirmed C (sf); previously on Nov 17, 2016 Affirmed C
(sf)
Cl. E-2, Affirmed C (sf); previously on Nov 17, 2016 Affirmed C
(sf)
Cl. F-1, Affirmed C (sf); previously on Nov 17, 2016 Affirmed C
(sf)
Cl. F-2, Affirmed C (sf); previously on Nov 17, 2016 Affirmed C
(sf)
Cl. G, Affirmed C (sf); previously on Nov 17, 2016 Affirmed C (sf)
The Class D Notes, Class E-1 Notes, Class E-2 Notes, Class F-1
Notes, Class F-2 Notes, and Class G notes are referred to herein as
the "Rated Notes."
RATINGS RATIONALE
Moody's has upgraded the ratings on one class of Rated Notes
primarily due the greater than expected recoveries on high credit
risk assets. This more than offset the decrease in credit quality
of the remaining pool balance as evidenced by WARF and WARR.
Moody's has affirmed the ratings on five classes of Rated Notes
because the key transaction metrics are commensurate with existing
ratings. The rating action is the result of Moody's on-going
surveillance of commercial real estate collateralized debt
obligation (CRE CDO and ReRemic) transactions.
CW Capital Cobalt I, Ltd. is a static cash transaction whose
re-investment period ended in May 2010. The transaction is backed
by a portfolio of 100% commercial mortgage backed securities
(CMBS). As of the trustee's September 29, 2017 note valuation
report, the aggregate note balance of the transaction, including
preferred shares, has decreased to $138.34 million from $450.9
million at issuance, with the paydown directed to the senior most
outstanding notes, as a result of recoveries from defaulted
collateral, regular amortization, and the re-direction of interest
proceeds as principal payment due to the failure of certain
coverage tests.
The pool contains eleven assets totaling $28.3 million (84.0% of
the collateral pool balance) that are listed as defaulted
securities as of the trustee's September 29, 2017 report. While
there have been realized losses on the underlying collateral to
date, Moody's does expect moderate/low losses to occur on the
defaulted securities.
Moody's has identified the following as key indicators of the
expected loss in CRE CDO CLO transactions: the weighted average
rating factor (WARF), the weighted average life (WAL), the weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
Moody's typically models these as actual parameters for static
deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO CLO
pool. Moody's has updated its assessments for the collateral it
does not rate. The rating agency modeled a bottom-dollar WARF of
4789, compared to 4307 at last review. The current ratings on the
Moody's-rated collateral and the assessments of the non-Moody's
rated collateral follow: Aaa-Aa3 (20.3% compared to 12.7% at last
review), Baa1-Baa3 (25.3% compared to 27.2% at last review);
Ba1-Ba3 (0% compared to 14.0% at last review); B1-B3 (10.4%
compared to 0% at last review); and Caa1-Ca/C (44.1% compared to
46.1% at last review).
Moody's modeled a WAL of 1.8 years, the same as that at last
review. The WAL is based on assumptions about extensions on the
underlying CMBS collateral look-through loan exposures.
Moody's modeled a fixed WARR of 0%, compared to 4.9% at last
review.
Moody's modeled a MAC of 13.4%, compared to 3.1% at last review.
The increase in MAC is due to a reduction in the number of obligors
combined with an increase in credit risk in the remaining
collateral pool.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating SF CDOs" published in June 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
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 servicing decisions and
management of the transaction will also affect the performance of
the Rated Notes.
Moody's Parameter Sensitivities: Changes to any one or more of the
key parameters could have rating implications for some of the rated
notes, although a change in one key parameter assumption could be
offset by a change in one or more of the other key parameter
assumptions. The rated notes are particularly sensitive to changes
in the recovery rates of the underlying collateral and credit
assessments. Holding all other parameters constant, increasing the
recovery rate of 100% of the collateral pool by +5% would result in
an average modeled rating movement on the rated notes of zero to
one notch upward (e.g., one notch up implies a ratings movement of
Baa3 to Baa2).
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment. Commercial real estate
property values are continuing to move in a positive direction
along with a rise in investment activity and stabilization in core
property type performance. Limited new construction, moderate job
growth and the decreased cost of debt and equity capital have aided
this improvement.
DEEPHAVEN RESIDENTIAL 2017-3: S&P Rates Class B-2 Notes 'B(sf)'
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to Deephaven Residential
Mortgage Trust 2017-3's $305.016 million mortgage pass-through
notes.
The note issuance is a residential mortgage-backed securities
(RMBS) transaction backed by first-lien, fixed- and
adjustable-rate, and interest-only residential mortgage loans
secured by single-family residences, planned-unit developments,
two- to four-family residences and condominiums to nonconforming
borrowers.
The ratings reflect:
-- The pool's collateral composition;
-- The credit enhancement provided for this transaction;
-- The transaction's associated structural mechanics;
-- The transaction's representation and warranty framework; and
-- The mortgage aggregator.
RATINGS ASSIGNED
Deephaven Residential Mortgage Trust 2017-3
Class Rating(i) Amount ($)
A-1 AAA (sf) 187,702,000
A-2 AA (sf) 30,824,000
A-3 A (sf) 41,865,000
M-1 BBB (sf) 18,556,000
B-1 BB (sf) 15,335,000
B-2 B (sf) 10,734,000
B-3 NR 1,687,204
XS NR Notional(ii)
R NR N/A
(i) The ratings assigned to the classes address the ultimate
principal and interest payments, but interest can be deferred on
the classes.
(ii)Notional equals to the aggregate balance of the class A-1, A-2,
A-3, M-1, B-1, B-2, and B-3 notes.
NR--Not rated.
N/A--Not applicable.
FIRST UNION 1997-C2: Moody's Affirms C Rating on Cl. IO Debt
------------------------------------------------------------
Moody's Investors Service has affirmed the rating on one
interest-only (IO) class of First Union-Lehman Brothers Commercial
Mortgage Trust II, Series 1997-C2:
Cl. IO, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The rating on the IO class was affirmed based on the credit quality
of the referenced classes. Class IO is the only Moody's rated
class
Moody's rating action reflects a base expected loss of 0.8% of the
current balance, compared to 1.5% at Moody's last review. Moody's
base expected loss plus realized losses is now 2.9% of the original
pooled balance, compared to 3.0% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
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 methodologies used in this rating were "Moody's Approach to
Rating Large Loan and Single Asset/Single Borrower CMBS" published
in July 2017, and "Moody's Approach to Rating Credit Tenant Lease
and Comparable Lease Financings" published in October 2016.
Additionally, the methodology used in rating Cl. IO was "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the October 18, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 98.8% to $26.1
million from $2.2 billion at securitization. The certificates are
collateralized by seven remaining mortgage loans. The pool has one
loan, representing 37.7% of the pool that has defeased and is
secured by US Government securities. The pool contains a Credit
Tenant Lease (CTL) component that includes one loan, representing
41.7% of the pool.
Two loans, representing 4.6% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which 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, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Thirty-one loans have been liquidated from the pool, resulting in
an aggregate realized loss of $64.7 million (45.1% loss severity on
average). There are currently no loans in special servicing.
Moody's was provided with full year 2016 and full or partial year
2017 operating results for 100% of the pool. Moody's weighted
average conduit LTV is 37.6 % compared to 46.2% at Moody's prior
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 10.8% to the most recently available net
operating income (NOI). Moody's value reflects a weighted average
capitalization rate of 10.4%.
Moody's actual and stressed conduit DSCRs are 1.35X and 3.63X,
respectively, compared to 1.30X and 3.41X at prior 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.
The top three conduit loans represent 16% of the pool balance. The
largest loan is the Preston Luther Center Loan ($1.6 million --
6.3% of the pool), which is secured by a 39,200 square foot (SF)
mixed-use facility in Preston Center, an upscale Commercial
District on the North side of Dallas, TX. The property has high-end
retail space on the ground level and office space on the upper
floors. As of September 2017, the subject was 98% occupied,
compared to 100% occupied at the time of Moody's last review.
Moody's LTV and stressed DSCR are 29.1% and >4.00X,
respectively, compared to 32.3% and 3.68X at the last review.
The second largest loan is the Moberly Manor Loan ($1.4 million --
5.5% of the pool), which is secured by a 144-unit multifamily
property located in Bentonville, Arizona. As of June 2017, the
subject was 97% occupied, compared to 99% at the time of Moody's
last review. Moody's LTV and stressed DSCR are 31.1% and 3.30X,
respectively, compared to 33.6% and 3.05X at the last review.
The third largest loan is the Wexford Square Apartments Loan ($1.1
million -- 4.2% of the pool), which is secured by a 119-unit
multifamily property located in Minneapolis, MN. As of October
2017, the property was 95% occupied, compared to 97% at the time of
Moody's last review. Moody's LTV and stressed DSCR are 19.0% and
>4.00X, respectively, compared to 21.7% and >4.00X at prior
review.
The CTL component consists of one loan leased to Blue Cross Blue
Shield, representing 41.7% of the pool. Anthem, Inc. is the parent
of Blue Cross Blue Shield and it's senior unsecured rating is Baa2
with a stable outlook.
GS MORTGAGE 2010-C2: Moody's Affirms B2 Rating on Class F Notes
---------------------------------------------------------------
Moody's Investors Service has affirmed the ratings of nine classes
in GS Mortgage Securities Trust 2010-C2:
Cl. A-1, Affirmed Aaa (sf); previously on Nov 4, 2016 Affirmed Aaa
(sf)
Cl. A-2, Affirmed Aaa (sf); previously on Nov 4, 2016 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa1 (sf); previously on Nov 4, 2016 Affirmed Aa1
(sf)
Cl. C, Affirmed Aa3 (sf); previously on Nov 4, 2016 Affirmed Aa3
(sf)
Cl. D, Affirmed Baa3 (sf); previously on Nov 4, 2016 Affirmed Baa3
(sf)
Cl. E, Affirmed Ba2 (sf); previously on Nov 4, 2016 Affirmed Ba2
(sf)
Cl. F, Affirmed B2 (sf); previously on Nov 4, 2016 Affirmed B2
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on Nov 4, 2016 Affirmed Aaa
(sf)
Cl. X-B, Affirmed Ba3 (sf); previously on Nov 4, 2016 Affirmed Ba3
(sf)
RATINGS RATIONALE
The ratings on the seven P&I Classes were affirmed due to the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR).
The ratings on two IO Classes, Classes X-A and X-B, were affirmed
based on the credit performance of the referenced classes.
Moody's rating action reflects a base expected loss of 0.6% of the
current balance, compared to 0.8% at Moody's last review. Moody's
base expected loss plus realized losses is now 0.4% of the original
pooled balance, compared to 0.5% at securitization. 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-A and Cl. X-B
was "Moody's Approach to Rating Structured Finance Interest-Only
(IO) Securities" published in June 2017.
DEAL PERFORMANCE
As of the October 13, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 1.7% to $561.1
million from $876.4 million at securitization. The certificates are
collateralized by 27 mortgage loans ranging in size from less than
1% to 15% of the pool, with the top ten loans constituting 69% of
the pool. Three loans, constituting 16% of the pool, have
investment-grade structured credit assessments. Five loans,
constituting 11% of the pool, has defeased and is secured by US
government securities.
Two loans, constituting 10% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
There are no loans in special servicing and no loans have been
liquidated from the pool.
Moody's received full year 2016 and partial year 2017 operating
results for 100% of the pool. Moody's weighted average conduit LTV
is 83.2%, compared to 81.1% at 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
21.7% to the most recently available net operating income (NOI).
Moody's value reflects a weighted average capitalization rate of
9.5%.
Moody's actual and stressed conduit DSCRs are 1.68X and 1.31X,
respectively, compared to 1.73X and 1.33X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The largest loan with a structured credit assessment is the Cole
Portfolio I Loan ($31.5 million -- 5.6% of the pool), which is
secured by a portfolio of 20 single tenant properties located
across 13 states. The portfolio consists of 17 retail properties,
two industrial properties and one ground leased parcel that is
improved with a retail building. In aggregate, the portfolio
contains approximately 555,100 square feet (SF) and was 100% leased
as of June 2017, the same as at last review. Moody's structured
credit assessment and stressed DSCR are aa3 (sca.pd) and 1.58X,
respectively.
The second largest loan with a structured credit assessment is the
Cole Portfolio II Loan ($30.0 million -- 5.3% of the pool), which
is secured by a 14 single tenant properties and one multi-tenant
industrial property located across 11 states. In aggregate, the
portfolio contains approximately 331,500 SF and was 100% leased as
of June 2017. Moody's structured credit assessment and stressed
DSCR are a1 (sca.pd) and 1.55X, respectively.
The third largest loan with a structured credit assessment is the
Payless and Brown Industrial Portfolio ($27.4 million -- 4.9% of
the pool), which is secured by two single tenant industrial
properties. The Payless Distribution Center represents the larger
of the two properties and totals approximately 802,000 SF of the
Northbrook Industrial Park in Brookville, Ohio. The property was
built in 2008 and has 32' ceiling heights, three grade drive-in
doors, 76 dock high doors, and approximately 25,000 SF of office
space. The remainder of the collateral is represented by the Brown
Shoe Distribution Center, a 352,000 SF warehouse/distribution
building located in Lebec, California. The property was built in
2008 and has 32' ceiling heights, a single grade drive-in door, 38
exterior docks with levelers and approximately 12,000 SF of office
space. The portfolio is exposed to concentration risk as two
tenants occupy all of the NRA. Moody's structured credit assessment
and stressed DSCR are baa1 (sca.pd) and 1.57X, respectively.
The top three conduit loans represent 33% of the pool balance. The
largest loan is the 52 Broadway Loan ($83.8 million -- 14.9% of the
pool), which is secured by a 19-story, 400,000 SF, Class B office
building located in downtown Manhattan, New York. The property was
constructed in 1982 and renovated in 2002. The United Federation of
Teachers has occupied the entire building since the 2002
renovation. They are currently operating under a long term net
lease expiring in August 2034. Moody's LTV and stressed DSCR are
99.6% and 1.02X, respectively, compared to 101.3% and 1.00X at the
last review.
The second largest conduit loan is the Station Square Loan ($55.9
million -- 10.0% of the pool), which is secured by a 670,000 SF
mixed use property located in Pittsburgh, Pennsylvania. The
property is comprised of four buildings containing 449,000 SF of
office space and 220,000 SF of retail space, two open-air parking
lots offering approximately 2,500 spaces, a covered parking garage
offering 1,210 spaces, docks leased to the Gateway Clipper Fleet,
marina slips, an outdoor amphitheater leased to a third party
operator and land under a gas stations owned by a third party
operator. The age of the improvements vary, with the oldest
structure built in 1897 and the newest structure built in 2001.
Moody's LTV and stressed DSCR are 79% and 1.30X, respectively,
compared to 80.4% and 1.28X at the last review.
The third largest loan is the 123 South Broad Loan ($43.8 million
-- 7.8% of the pool), which is secured by two interconnected Class
B office buildings located in the central business district of
Philadelphia, PA. The two buildings are referred to as the Wells
Fargo Building and the Witherspoon Building. The property was 71%
leased as of June 2017, compared to 95% in June 2016 and 85% at
securitization. There were 24 vacant units totaling over 180,000
SF. Property performance has declined in 2017 due to the increase
in vacancy. Moody's LTV and stressed DSCR are 89.2% and 1.21X,
respectively, compared to 68% and 1.51X at the last review.
GSMPS MORTGAGE 2005-LT1: Moody's Hikes Cl. B-2 Debt Rating to B1
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of three
tranches from GSMPS Mortgage Loan Trust 2005-LT1. The collateral
backing the deal consists of first-lien fixed and adjustable rate
mortgage loans insured by the Federal Housing Administration (FHA),
an agency of the U.S. Department of Urban Development (HUD) or
guaranteed by the Veterans Administration (VA).
Complete rating actions are:
Issuer: GSMPS Mortgage Loan Trust 2005-LT1
Cl. B-1, Upgraded to Baa3 (sf); previously on Jun 1, 2015 Upgraded
to Ba2 (sf)
Cl. B-2, Upgraded to B1 (sf); previously on Jun 1, 2015 Upgraded to
Caa3 (sf)
Cl. M-2, Upgraded to A3 (sf); previously on Jun 1, 2015 Upgraded to
Baa1 (sf)
RATINGS RATIONALE
The rating actions reflect the recent performance of the underlying
pool and reflect Moody's updated loss expectation on the pool. The
ratings upgrades are primarily driven by the increase in credit
enhancement available to the bonds due to the sequential pay nature
of the transaction.
A FHA guarantee covers 100% of a loan's outstanding principal and a
large portion of its outstanding interest and foreclosure-related
expenses in the event that the loan defaults. A VA guarantee covers
only a portion of the principal based on the lesser of either the
sum of the current loan amount, accrued and unpaid interest, and
foreclosure expenses, or the original loan amount. HUD usually pays
claims on defaulted FHA loans when servicers submit the claims, but
can impose significant penalties on servicers if it finds
irregularities in the claim process later during the servicer
audits. This can prompt servicers to push more expenses to the
trust that they deem reasonably incurred than submit them to HUD
and face significant penalty. The rating actions consider the
portion of a defaulted loan normally not covered by the FHA or VA
guarantee and other servicer expenses they deemed reasonably
incurred and passed on to the trust.
The principal methodology used in these ratings was "FHA-VA US RMBS
Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to macroeconomic
uncertainty, and in particular the unemployment rate. The
unemployment rate fell to 4.1% in October 2017 from 4.8% in October
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.
GSRPM MORTGAGE 2006-1: Moody's Ups Rating on Cl. M-1 Debt to Ba1
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of nine tranches
from five transactions backed by "scratch and dent" RMBS loans
issued between 2003 and 2006.
Complete rating actions are:
Issuer: GSRPM Mortgage Loan Trust 2006-1
Cl. A-1, Upgraded to Aaa (sf); previously on Nov 14, 2016 Upgraded
to Aa3 (sf)
Cl. A-3, Upgraded to Aaa (sf); previously on Nov 14, 2016 Upgraded
to A1 (sf)
Cl. M-1, Upgraded to Ba1 (sf); previously on Nov 14, 2016 Upgraded
to B1 (sf)
Issuer: RAAC Series 2005-RP2 Trust
Cl. M-2, Upgraded to Aaa (sf); previously on Nov 22, 2016 Upgraded
to Aa2 (sf)
Cl. M-3, Upgraded to Aa2 (sf); previously on Nov 22, 2016 Upgraded
to A3 (sf)
Cl. M-4, Upgraded to Baa2 (sf); previously on Nov 22, 2016 Upgraded
to Ba1 (sf)
Issuer: RAAC Series 2006-RP2 Trust
Cl. A, Upgraded to Aaa (sf); previously on Nov 22, 2016 Upgraded to
Aa2 (sf)
Issuer: RFSC Series 2003-RP2 Trust
M-2, Upgraded to A3 (sf); previously on Nov 22, 2016 Upgraded to
Ba1 (sf)
Issuer: RFSC Series 2004-RP1 Trust
M-2, Upgraded to Aaa (sf); previously on Nov 22, 2016 Upgraded to
Aa2 (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pools
and Moody's updated loss expectations on these pools. The ratings
upgraded are primarily driven by an improvement to Moody's updated
loss projections or an increase in the total 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 macroeconomic
uncertainty, and in particular the unemployment rate. The
unemployment rate fell to 4.1% in October 2017 from 4.8% in October
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.
IVY HILL VII: Moody's Assigns Ba2 Rating to Class E-R Notes
-----------------------------------------------------------
Moody's Investors Service has assigned the following ratings to the
following notes (the "Refinancing Notes") issued by Ivy Hill Middle
Market Credit Fund VII, Ltd.:
US$225,000,000 Class A-R Senior Floating Rate Notes Due 2029 (the
"Class A-R Notes"), Assigned Aaa (sf)
US$68,000,000 Class B-R Floating Rate Notes Due 2029 (the "Class
B-R Notes"), Assigned Aa2 (sf)
US$27,000,000 Class C-R Deferrable Mezzanine Floating Rate Notes
Due 2029 (the "Class C-R Notes"), Assigned A2 (sf)
US$21,250,000 Class D-R Deferrable Mezzanine Floating Rate Notes
Due 2029 (the "Class D-R Notes"), Assigned Baa2 (sf)
US$34,000,000 Class E-R Deferrable Mezzanine Floating Rate Notes
Due 2029 (the "Class E-R Notes"), Assigned Ba2 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of senior secured, small and medium enterprise and broadly
syndicated corporate loans.
Ivy Hill Asset Management, L.P. (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 November 3, 2017
(the "Refinancing Date") in connection with the refinancing of all
classes of the secured notes (the "Refinanced Original Notes")
previously issued on October 23, 2013 (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: reinstatement and 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: $425,000,000
Defaulted par: $0
Diversity Score: 50
Weighted Average Rating Factor (WARF): 3913
Weighted Average Spread (WAS): 5.05%
Weighted Average Recovery Rate (WARR): 47.5%
Weighted Average Life (WAL): 8.00 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% (4500)
Rating Impact in Rating Notches
Class A-R Notes: 0
Class B-R Notes: -2
Class C-R Notes: -2
Class D-R Notes: -2
Class E-R Notes: -1
Percentage Change in WARF -- increase of 30% (5087)
Rating Impact in Rating Notches
Class A-R Notes: 0
Class B-R Notes: -3
Class C-R Notes: -4
Class D-R Notes: -2
Class E-R Notes: -2
JP MORGAN 2005-LDP1: Fitch Affirms BB Rating on Class G Certs
-------------------------------------------------------------
Fitch Ratings affirms eight classes of JP Morgan Chase Commercial
Mortgage Securities Corp. series 2005-LDP1 (JPMCCM 2005-LDP1)
commercial mortgage pass-through certificates.
KEY RATING DRIVERS
The affirmation of class G reflects credit enhancement sufficient
to cover expected losses on the pool. As of the October 2017
distribution date, the pool's aggregate principal balance was
reduced by 98.5% to $43.1 million from $2.88 billion at issuance.
Interest shortfalls are currently impacting class H and below.
Concentrated Pool: The pool is very concentrated with only 11 loans
and one real estate owned (REO) asset remaining in the transaction.
One loan is defeased (1.6% of the pool). Retail loans comprise the
majority of the collateral at 71.7%, including the largest loan in
the pool (31%). 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, then ranked them by the perceived likelihood of
repayment. The ratings reflect this sensitivity analysis.
Low Leverage: All 11 performing loans are currently amortizing with
six loans (23.6% of the pool) fully amortizing over their terms.
Fitch Loan of Concerns: Golf Glen Mart Plaza, the largest loan in
the pool is secured by a 234,816 square foot (sf) retail property
located in Niles, IL. The center, which was built in 1979, has a
dark anchor tenant. Meijer, which is a regional supermarket chain
HQ in Michigan, vacated its space in 2016; the grocer leases
approximately 44% of the space through 2024. As of the June 2017
rent roll, the center was 88.4% leased. Per the servicer, the
year-to-date (YTD) June 2017 net operating income (NOI) debt
service coverage ratio (DSCR) was 2.04x.
The REO South Park Business Center (13.9% of the pool) is comprised
of three office buildings totalling 162,000 sf located in
Greenwood, IN. The property suffered from historical occupancy
issues and the loan matured in January 2015 without repayment.
Foreclosure occurred in June/July 2016. The servicer has been
working to stabilize the property. As of the August 2017 rent roll,
the property was 73% leased to approximately 30 tenants.
Maturities: No loan matures prior to 2019. The two largest loans in
the pool (50.3%) are scheduled to mature in December 2019.
RATING SENSITIVITIES
The Stable Outlook on class G reflects sufficient credit
enhancement to the class relative to expected losses. Fitch
performed an additional loss sensitivity analysis related to the
Golf Glen Mart Plaza loan; credit enhancement to class G remained
sufficient to support the rating. Upgrades to the class are
unlikely due to the concentrated nature of the pool. Downgrades to
the class may occur should the performance of the loans/assets
further decline.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
-- $27.5 million class G at 'BBsf'; Outlook Stable;
-- $15.6 million class H at 'Dsf'; RE 70%.
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%.
Classes A-1 through F have paid in full. Fitch does not rate the
class NR certificates. Fitch previously withdrew the ratings on the
interest-only class X-1 and X-2 certificates.
JP MORGAN 2005-LDP4: Fitch Affirms 'CCCsf' Rating on Class C Certs
------------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of J.P. Morgan Chase
Commercial Mortgage Securities Corp. (JPMCC) commercial mortgage
pass-through certificates series 2005-LDP4.
KEY RATING DRIVERS
The affirmations reflect the stable performance, as well as the
concentrated nature and adverse selection of the remaining pool.
Upward rating migrations are limited for class B and class C based
on the high concentration of specially serviced loans, and binary
risk associated with the pools performing loans. As of the October
2017 distribution date, the pool's aggregate principal balance has
been reduced 96.7% to $88.4 million from $2.7 billion at issuance,
which includes $223.6 million (8.4% of the original pool balance)
in realized losses to date. One loan has been fully defeased (0.47%
of the current pool balance). Interest shortfalls are affecting
class D, and L through NR.
Concentrated Pool with Adverse Selection: The remaining pool is
highly concentrated with only 13 of the original 184 loans
remaining, and the largest loan accounting for 30.8% of the pool
balance. Current risk exposure of the remaining loans includes
properties with high vacancies, low debt service coverage ratios
(DSCRs), single-tenant properties, secondary market exposure, and
loans with previously modified debt including a Hope note.
The largest loan in the pool (30.8%) is secured by a 350,000 square
foot (sf) suburban office building located in Holmdel, N.J. The
property is 100% occupied by Vonage, whose lease was extended to
October 2023 from August 2017. Although the property has maintained
full occupancy since issuance, submarket vacancy is high reporting
at 21.1% per Reis' second quarter 2017 report for the North GSP
submarket. DSCR has remained stable, reporting at 1.99x for
year-to-date June 2017, 1.90x for year-end (YE) 2016, and 1.73x at
YE 2015. The loan has remained current since issuance, and is
scheduled to mature in September 2018.
High Percentage of FLOCs and Specially Serviced Loans: Six loans
(47% of the pool) have been identified as FLOCs, including two
specially serviced REO loans (26%).
The largest FLOC is secured by a 68,435-sf office property in Las
Vegas, NV (17.1%). The property had experienced cash flow issues in
2015 after two major tenants had vacated at or prior to their lease
expirations. The loan had transferred to special servicing in
August 2015 for monetary default, and has been REO since March
2016. The property is currently 48% occupied per the September 2017
rent roll. Per servicer updates, a lease was executed for the
remaining vacant space with a large medical tenant, which is
expected to take occupancy in May 2018. The property is currently
being marketed for sale with multiple offers received in late
September 2017 and closing expected by year end.
RATING SENSITIVITIES
Rating Outlook on class B remains Stable due to sufficient credit
enhancement. Although the credit enhancement will increase with
scheduled amortization, Fitch is concerned with increasing pool
concentration and high potential for performance volatility of the
remaining collateral; therefore, a rating cap of 'BBsf' was
considered appropriate on class B. Fitch does not foresee positive
or negative rating migration unless there is material economic
change to the remaining loans.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this transaction.
Fitch has affirmed the following classes:
-- $30.9 million class B at 'BBsf'; Outlook Stable;
-- $23.4 million class C at 'CCCsf'; RE 100%;
-- $34.0 million class D at 'Dsf'; RE 20%;
-- $0 class E at 'Dsf'; RE 0%;
-- $0 class F at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%.
The class A-1, A-1A, A-2, A-2FL, A-3A1, A-3A2, A-4, A-SB, A-M, and
A-J certificates have paid in full. Fitch does not rate the class
NR certificates. Fitch previously withdrew the ratings on the
interest-only class X-1 and X-2 certificates.
JP MORGAN 2017-FL11: S&P Assigns B-(sf) Rating on Class F Certs
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to J.P. Morgan Chase
Commercial Mortgage Securities Trust 2017-FL11 's $493.1 million
commercial mortgage pass-through certificates.
The certificate issuance is backed by two pools of mortgage loans:
a pool of six floating-rate commercial mortgage loans (the pooled
trust) with an aggregate principal balance of $496.6 million and
then one non-pooled $22.5 million subordinate interest in the
floating-rate mortgage loan secured by the Park Hyatt Beaver Creek,
which is part of a split loan structure whereby the loan's $45.0
million senior companion note will not be an asset of the trust.
All of the pool-level statistics in the presale report are based on
the pooled trust loans only, unless otherwise noted.
The ratings reflect the credit support provided by the transaction
structure, our view of the underlying collateral's economics, the
trustee-provided liquidity, the collateral pool's relative
diversity, and S&P's overall qualitative assessment of the
transaction.
RATINGS ASSIGNED
J.P. Morgan Chase Commercial Mortgage Securities Trust 2017-FL11
Class Rating(i) Amount ($)
A AAA (sf) 208,525,000
X-CP B- (sf) 471,770,000(ii)
X-EXT B- (sf) 471,770,000(ii)
B AA- (sf) 60,230,000
C A- (sf) 45,695,000
D BBB- (sf) 56,240,000
E BB- (sf) 80,750,000
F B- (sf) 20,330,000
VRR interest(iv) NR 24,830,000
BC(iii) NR 21,375,000
BC VRR interest(iii)(iv) NR 1,125,000
(i)The certificates will be issued to qualified institutional
buyers according to Rule 144A of the Securities Act of 1933.
(ii)Notional balance.
(iii)Non-pooled certificates.
(iv)Non-offered certificates. The VRR and BC VRR interests provide
credit support only if losses are incurred on the underlying
mortgage loans, as such losses are allocated between the risk
retention interest and the non-retained certificates, pro rata,
according to their respective percentage allocation entitlements.
NR--Not rated.
METAL 2017-1: Fitch Rates Series C-2 Notes 'Bsf'
------------------------------------------------
Fitch Ratings has assigned the following ratings and Outlooks to
the notes co-issued by METAL 2017-1 Limited (METAL Cayman) and
METAL 2017-1 USA LLC (METAL USA), collectively METAL 2017-1:
-- $430,028,000 series A 2017-1 notes 'Asf'; Outlook Stable;
-- $86,006,000 series B 2017-1 notes 'BBBsf'; Outlook Stable;
-- $55,044,000 series C-1 2017-1 notes 'BBsf'; Outlook Stable;
-- $13,761,000 series C-2 2017-1 notes 'Bsf'; Outlook Stable.
METAL 2017-1 is the first aircraft ABS to be serviced and sponsored
by Aergo Capital Limited (Aergo). Aergo, through affiliates, will
retain equity E and S certificates issued by METAL Cayman, thereby
retaining an economic interest in the transaction outside of merely
collecting servicing fees. Fitch views this as a positive since
Aergo has a significant interest in generating positive cash flows
through management and servicing of the assets over the life of the
transaction. The transaction is being issued for general funding
purposes.
Ownerships interests in the aircraft and/or aircraft owning
entities will be sold from the sellers to the co-issuers during the
novation period, which will end 270 days after transaction closing
(the purchase period). If ownership of the initial or substitute
aircraft is not transferred within the purchase period, the
applicable amount attributable to each aircraft not transferred
will be utilized to prepay the notes without premium, consistent
with other aircraft ABS.
Wells Fargo Bank, N.A. will act as security trustee, indenture
trustee, and operating bank and Phoenix American Financial Services
will act as managing agent. Natixis, S.A. is the provider of the
initial liquidity facility.
KEY RATING DRIVERS
Very Conservative Asset Assumptions Applied: Fitch utilized notably
more conservative asset assumptions than recent Fitch-rated
transactions given the pool's higher exposure to weaker airline
credits in emerging markets resulting from Aergo's origination
strategy. The most impactful is a 'CCC' assumption for unrated
lessees versus 'B' for all prior transactions. Other more
conservative assumptions include high repossession costs, stressful
remarketing downtime probability curves, low lease extension rate
and shorter new lease terms.
High Exposure of Weaker Emerging Market Lessees: 97.7% of the pool
is leased to weak emerging market airline credits, a high
concentration versus recent aircraft ABS. The largest aircraft is
leased to South Africa Airlines (SAA) who is in financial distress
requiring government intervention to continue operations.
Asset Quality: The pool is young with a weighted average (WA) age
of 5.3 years, largely comprised of Tier 1 A320 current engine
option (ceo) and B737 next generation (NG) aircraft. However, Tier
2 aircraft account for 24.5% of the pool. The pool's strong WA
remaining term of 7.8 years and high lease rate factors (LRFs)
should give strong support to future cash flows.
Technological Replacement Risk Exists: The A320ceo and B737 NG both
face replacement from the neo and MAX. Additionally, Airbus plans
to introduce the A330neo to replace the A330. Each aircraft is
expected to come under pressure as a result of new variant
introductions over the next decade. However, various mitigants
exist, such as long lead time for replacement.
Structural Features Support Ratings: The structure is consistent
with recent aircraft ABS, albeit with quicker amortization and
tighter performance triggers. The structure allows for the
repayment of the notes when applying stressed asset flows
commensurate with the expected ratings.
Adequate Servicing Capability: The transaction will depend heavily
on Aergo's ability to monitor lessees, place aircraft on lease and
protect asset values. Fitch believes Aergo is a capable servicer,
as evidenced by the leasing activities and managed portfolio
servicing since the company's founding in 1999. Aergo also benefits
from the support of CarVal, its majority owner.
Commercial Aviation Cyclicality: The aviation industry has
historically been subject to significant cyclicality due to
macroeconomic and geopolitical events. Downturns are typically
marked by lower utilization, values and lease rates in addition to
deteriorating credit quality. Fitch assumes multiple recessionary
periods over the transaction's life.
RATING SENSITIVITIES
The performance of aircraft operating lease ABS can be affected by
various factors, which, in turn, could have an impact on the
assigned ratings. Fitch conducted sensitivity analyses to evaluate
the impact of changes to a number of the variables in the analysis.
These sensitivity scenarios were considered in determining Fitch's
expected ratings.
For the first sensitivity, the technological cliff scenario, Fitch
assumed the first recession would occur in three years, at which
point all aircraft would be subjected to recessionary value decline
stresses 10% higher than those assumed in primary scenarios.
Further, once aircraft are assumed to be sold, proceeds represented
25% of the future stressed value, down from 50% in primary
scenarios.
This sensitivity is meant to reflect a scenario in which incoming
technological replacements gain market share at a far quicker pace
than anticipated. Under this scenario, Airbus and Boeing production
rates would surpass their current aggressive schedules and
disposition events would result in lower residual proceeds for the
aircraft. This scenario is also meant to consider a significant
rise in fuel costs, leading airlines and lessors to opt for the
more fuel-efficient neo or MAX aircraft.
Under this scenario, the cash flows are negatively impacted in
relation to the primary cash flow runs but all classes pay in full
in scenarios commensurate with their expected ratings. Therefore,
this scenario would not likely result in any downgrades to the
notes.
In the second scenario, the shorter useful life scenario, Fitch
decreased the assumed useful life by five years for all aircraft in
the portfolio. This sensitivity is intended to address a situation
where aircraft need to be sold earlier either due to pressure from
replacement technology or a change in Aergo's disposition
strategy.
As a result of less lease cash flow, total cash received by the
trust declines approximately $47 million to $106 million across the
rating scenarios when compared to the primary runs. However, a
greater portion of the cash received is from dispositions, as
aircraft are sold earlier and thus subjected to less depreciation
and recessionary value shocks. While cash declines from the primary
runs, all classes are still able to pass scenarios commensurate
with their expected ratings with the exception of series C-2. Given
its subordinate position in the structure, it is negatively
impacted by the decreased cash flow. Therefore, the shorter useful
life scenario is likely to result in a downgrade to the class C-2
notes.
The third scenario addresses the potential default of Lion Air
Group (LAG), which owns three airlines represented in the METAL
portfolio: Thai Lion, Lion Air and Malindo Air. Together, these
airlines represent 28.0% of the portfolio, which would be the
largest exposure, when considered in aggregate. In these runs, the
first recession was assumed to occur after one year. The LAG
airlines were always assumed to default in the first recession, but
never prior.
Under these sensitivities, all classes are able to pass scenarios
commensurate with their expected ratings. The disruption in cash
flow resulting from the LAG default scenario would not likely
result in any downgrades to the notes.
METLIFE SECURITIZATION 2017-1: Fitch Rates Cl. B2 Certs 'B'
-----------------------------------------------------------
Fitch Ratings has assigned the following ratings to MetLife
Securitization Trust 2017-1 (MST 2017-1):
-- $288,892,000 class A notes 'AAAsf'; Outlook Stable;
-- $12,022,000 class M1 notes 'AAsf'; Outlook Stable;
-- $11,164,000 class M2 notes 'Asf'; Outlook Stable;
-- $13,054,000 class M3 notes 'BBBsf'; Outlook Stable;
-- $7,042,000 class B1 certificates 'BBsf'; Outlook Stable;
-- $5,324,000 class B2 certificates 'Bsf'; Outlook Stable.
The following classes will not be rated by Fitch:
-- $1,031,000 class B3 certificates;
-- $1,030,000 class B4 certificates;
-- $1,031,000 class B5 certificates;
-- $1,030,000 class B6 certificates;
-- $1,031,000 class B7 certificates;
-- $859,150 class B8 certificates;
-- $327,675,352 notional class A-IO-S certificates.
MST 2017-1 is MetLife Securitization Trust's inaugural residential
re-performing loan (RPL) transaction. The notes and certificates
are supported by 1,378 seasoned performing and re-performing
mortgages with a total balance of $343.51 million, which includes
$15.8 million or 4.6% of the aggregate pool balance in
non-interest-bearing deferred principal amounts as of the cut-off
date.
The 'AAAsf' rating on the class A notes reflects the 15.90%
subordination provided by the 3.50% class M1, 3.25% class M2, 3.80%
class M3, 2.05% class B1, 1.55% class B2, 0.30% class B3, 0.30%
class B4, 0.30% class B5, 0.30% class B6, 0.30% class B7, and 0.25%
class B8 notes and certificates.
Fitch's ratings on the notes and certificates reflect the credit
attributes of the underlying collateral, the quality of the
servicer, Select Portfolio Servicing, Inc. (SPS, rated RPS1-), and
the representation (rep) and warranty framework, minimal due
diligence findings and the sequential pay structure.
KEY RATING DRIVERS
High Credit Quality (Positive): The notes and certificates are
backed by a pool of high quality RPL mortgage loans. The weighted
average (wavg) primary borrower's most recent FICO score of 733 is
the highest of all other RPL RMBS rated by Fitch to date. In
addition, the pool has a current loan-to value ratio (LTV) of just
71%, a sustainable LTV of 74.5% and is seasoned on average over 10
years. This is most evidenced by Fitch's 'AAAsf' loss expectation
of 15%.
Experienced Aggregator (Positive): This will be the first rated RPL
transaction issued by Metropolitan Life Insurance Company (MLIC).
Fitch reviewed MetLife Investment Management (MIM), a business
division of MetLife, Inc., in August 2017 and currently considers
MIM to be an average aggregator of RPL collateral. MIM, which began
aggregating RPLs in 2012 and managed approximately $16 billion in
investments as of March 31, 2017, benefits from a conservative loan
sourcing strategy and use of robust analytics in its aggregation
process.
Clean Current Loans (Positive): Although 80% of the pool has been
modified, all of the borrowers have been paying on time for the
past 24 months. In addition, 91.7% of the borrowers have been clean
for 36 months. Borrowers that have been current for at least the
past 36 months received a 25% reduction to Fitch's 'AAAsf'
probability of default (PD) while those that have been current
between 24 and 36 months received an 18.75% reduction.
Third-Party Due Diligence (Positive): A third-party due diligence
review was conducted on 100% of the pool and focused on regulatory
compliance and pay histories; a tax and title lien search was also
conducted. Roughly 8% of the pool (114 loans) was assigned a grade
'C' or 'D' for compliance violations, a third of which had material
violations or lacked documentation to confirm regulatory compliance
and were applied an adjustment by Fitch. The remaining loans had
violations with limited assignee liability or other exceptions that
could delay foreclosure, which is addressed by Fitch's extended
timelines applied to RPLs. The findings for MST 2017-1 is below the
average of 10.8% seen in other Fitch rated RPL RMBS.
Tier 2 Representation and Warranty Framework (Mixed): Life of loan
representations and warranties are being provided by MLIC
(A+/Stable Outlook/F1+). Based on Fitch's assessment, the construct
for this transaction was categorized as a Tier 2 due to the high
threshold (less than 50%) of investors unaffiliated with the issuer
needed for noteholders to cause a review. While there is no 120 day
delinquent loan threshold to cause a third party review to identify
breaches, there are other performance triggers for an automatic
review that Fitch views as adequate. Given the rating of MLIC,
there was no adjustment made to the expected losses.
Sequential-Pay Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure whereby the subordinate classes
do not receive principal until the senior classes are repaid in
full. Losses are allocated in reverse-sequential order.
Furthermore, the provision to re-allocate principal to pay interest
on the 'AAAsf' and 'AAsf' rated notes prior to other principal
distributions is highly supportive of timely interest payments to
those classes in the absence of servicer advancing.
Deferred Amounts (Negative): Non-interest-bearing principal
forbearance amounts totaling $15.8 million (4.6%) of the unpaid
principal balance are outstanding on 210 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.
No Servicer P&I Advances (Mixed): The servicer will not be
advancing delinquent monthly payments of P&I, which reduces
liquidity to the trust. However, as P&I advances made on behalf of
loans that become delinquent and eventually liquidate reduce
liquidation proceeds to the trust, the loan-level loss severities
(LS) are less for this transaction than for those where the
servicer is obligated to advance P&I. Structural provisions and
cash flow priorities, together with increased subordination,
provide for timely payments of interest to the 'AAAsf' and 'AAsf'
rated classes.
Recent Natural Disasters (Mixed): The servicer, Select Portfolio
Servicing, Inc. (SPS), is contacting borrowers to inquire about
potential natural disaster related damage. If a borrower reports
material damage to the property, the loan will be removed from the
pool.
The remedy provider 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.
Solid Alignment of Interest (Positive): The sponsor, MLIC, and/or
one or more of its majority-owned affiliates 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.
CRITERIA APPLICATION
Fitch's analysis incorporated one criteria variation from its "U.S.
RMBS Loan Loss Model Criteria," which is described below.
The variation relates to overriding the default assumption for
original debt-to-income ratio (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 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.
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 38.2% 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'.
MORGAN STANLEY 2016-BNK2: Fitch Affirms B-sf Ratings on 2 Tranches
------------------------------------------------------------------
Fitch Ratings has affirmed all classes of Morgan Stanley Capital I
trust 2016-BNK2 (MSC 2016-BNK2) commercial mortgage pass-through
certificates.
KEY RATING DRIVERS
Stable Performance: The overall pool performance remains stable and
the servicer reported loan-level cash flow remains in line with
Fitch's expectations at issuance. As of the October 2017 remittance
report, the pool has been reduced by 0.68% to $720.6 million, from
$725.6 million at issuance. There are no delinquent or specially
serviced loans and no realized losses to date.
High Retail Concentration: Fourteen loans (41.0% of the pool) are
backed by retail properties, which is higher than the 2015 and 2016
averages of 26.7% and 31.4%, respectively, for other Fitch-rated
multiborrower deals. Seven loans (35.3%) are in the top 15. Among
them is one loan (4.2%) that is backed by a super-regional mall
with exposure to JC Penney, Sears, Macy's, Gymboree, Payless, and
Justice.
Pari Passu Loans: Ten loans (54.4% of the pool) are pari passu
loans, of which all are in the top 15. This is higher than the 2015
and 2016 averages of 25.1% and 42.2%, respectively, for other
Fitch-rated multiborrower deals.
Concentrated Pool: The top 15 loans comprise 75.3% of the pool,
which is greater than the 2015 and 2016 averages of 60.0% and
68.0%, respectively, for other Fitch-rated multiborrower deals.
Natural Disaster Exposure: Four loans (9.1% of the pool) are
secured by properties located in Texas, Georgia, and California
that may have been impacted by Hurricane Irma, Hurricane Harvey, or
a wildfire. One loan (5.5%) is among the top 15 loans: The Orchard
is a 280,644sqf anchored retail center located in Lake Forest,
California. Of the four, one (1.0%), located in Humble, TX has
reported no damage. Fitch is closely monitoring these loans and
awaiting updates from the master servicer.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset-level event changes the transaction's overall
portfolio-level metrics.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
-- $26.7 million class A-1 at 'AAAsf'; Outlook Stable;
-- $45.7 million class A-2 at 'AAAsf'; Outlook Stable;
-- $50.6 million class A-SB at 'AAAsf'; Outlook Stable;
-- $160.0 million class A-3 at 'AAAsf'; Outlook Stable;
-- $194.8 million class A-4 at 'AAAsf'; Outlook Stable;
-- $ 477.8b million class X-A at 'AAAsf'; Outlook Stable;
-- $85.3b million class X-B at 'AA-sf'; Outlook Stable;
-- $52.6 million class A-S at 'AAAsf'; Outlook Stable;
-- $32.7 million class B at 'AA-sf'; Outlook Stable;
-- $31.9 million class C at 'A-sf'; Outlook Stable;
-- $37.1ab million class X-D at 'BBB-sf'; Outlook Stable;
-- $37.1a million class D at 'BBB-sf'; Outlook Stable;
-- $9.0ac million class E-1 at 'BB+sf'; Outlook Stable;
-- $9.0ac million class E-2 at 'BB-sf'; Outlook Stable;
-- $18.1ac million class E at 'BB-sf'; Outlook Stable;
-- $6.9ac million class F at 'B-sf'; Outlook Stable;
-- $25.0ac million class EF at 'B-sf'; Outlook Stable.
Fitch does not rate the following classes:
-- $3.4ac million class F-1;
-- $3.4ac million class F-2;
-- $6.0ac million class G-1;
-- $6.0ac million class G-2;
-- $12.1ac million class G;
-- $37.1ac million class EFG;
-- $7.8ac million class H-1;
-- $7.8ac million class H-2;
-- $15.5ac million class H;
-- $36.0ad million RRI Interest.
a) Privately placed pursuant to Rule 144A.
b) Notional amount and interest-only.
c) The class E-1 and E-2 certificates may be exchanged for a
related amount of class E certificates, and the class E
certificates may be exchanged for a ratable portion of class E-1
and E-2 certificates. Class E-1 is senior to class E-2. Likewise,
class F, G and H, and corresponding exchangeable classes, are
structured in a similar fashion. Additionally, a holder of class
E-1, E-2, F-1 and F-2 certificates may exchange such classes of
certificates (on an aggregate basis) for a related amount of class
EF certificates, and a holder of class EF certificates may exchange
that class EF for a ratable portion of each class of the class E-1,
E-2, F-1 and F-2 certificates. A holder of class E-1, E-2, F-1,
F-2, G-1 and G-2 certificates may exchange such classes of
certificates (on an aggregate basis) for a related amount of class
EFG certificates, and a holder of class EFG certificates may
exchange that class EFG for a ratable portion of each class of the
class E-1, E-2, F-1, F-2, G-1 and G-2 certificates.
d) Vertical credit risk retention interest representing 5.0% of
pool balance (as of the closing date).
NEWCASTLE CDO V: Moody's Hikes Rating on Class III Notes to Ba3
---------------------------------------------------------------
Moody's Investors Service has upgraded the rating on the following
notes issued by Newcastle CDO V, Limited:
Class III Deferrable Floating Rate Notes, Upgraded to Ba3 (sf);
previously on Nov 17, 2016 Upgraded to Caa1 (sf)
Moody's has also affirmed the ratings on the following notes:
Class IV-FL Deferrable Floating Rate Notes, Affirmed Ca (sf);
previously on Nov 17, 2016 Downgraded to Ca (sf)
Class IV-FX Deferrable Fixed Rate Notes, Affirmed Ca (sf);
previously on Nov 17, 2016 Downgraded to Ca (sf)
The Class III Deferrable Floating Rate Notes, Class IV-FL
Deferrable Floating Rate Notes, and Class IV-FX Deferrable Fixed
Rate Notes are referred to herein as the "Rated Notes."
RATINGS RATIONALE
Moody's has upgraded the rating of one class of Rated Notes
primarily due to greater than expected amortization of high credit
risk and defaulted assets and the improvement of the credit profile
of the remaining collateral pool as evidenced by WARF. Moody's has
also affirmed the ratings on two classes of Rated Notes because the
key transaction metrics are commensurate with the existing ratings.
The rating action is the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation (CRE CDO and
Re-REMIC) transactions.
Newcastle CDO V, Limited is a static cash transaction wholly backed
by a portfolio of: i) commercial mortgage backed securities (CMBS)
(37.2%); and ii) asset backed securities (ABS) primarily in the
form of subprime RMBS (62.8%). As of the trustee's September 18,
2017 report, the aggregate note balance of the transaction has
decreased to $34.7 million from $65.6 million at last review, and
$500.0 million at issuance, with the paydown directed to the senior
most outstanding class of notes, as a result of the combination of
regular amortization, recoveries on defaulted and high credit risk
assets, and interest proceeds re-diverted as principal due to
failure of certain par value tests.
No assets had defaulted as of the trustee's September 18, 2017
report.
Moody's has identified the following as key indicators of the
expected loss in CRE CLO transactions: the weighted average rating
factor (WARF), the weighted average life (WAL), the weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
Moody's typically models these as actual parameters for static
deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CLO pool.
Moody's has updated its assessments for the collateral it does not
rate. The rating agency modeled a bottom-dollar WARF of 2699,
compared to 4147 at last review. The current distribution of
Moody's rated collateral and assessments for non-Moody's rated
collateral is: A1-A3 and 0.0% compared to 2.8% at last review,
Baa1-Baa3 and 25.3% compared to 0.0% at last review, Ba1-Ba3 and
13.7% compared to 13.5% at last review, B1-B3 and 26.0% compared to
19.9% at last review, Caa1-Ca/C and 35.0% compared to 63.8% at last
review.
Moody's modeled a WAL of 4.9 years, compared to 4.6 years at last
review. The WAL is based on assumptions about extensions on the
underlying look-through CMBS and RMBS collateral loan exposures.
Moody's modeled a fixed WARR of 2.3%, compared to 2.8% at last
review.
Moody's modeled a MAC of 28.5%, compared to 30.1% at last review.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating SF CDOs" published in June 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 servicing decisions and
management of the transaction will also affect the performance of
the Rated Notes.
Moody's Parameter Sensitivities: Changes to any one or more of the
key parameters could have rating implications for some of the Rated
Notes, although a change in one key parameter assumption could be
offset by a change in one or more of the other key parameter
assumptions. The Rated Notes are particularly sensitive to changes
in the ratings of the underlying collateral and assessments.
Holding all other parameters constant, increasing the recovery rate
of 100% of the collateral pool by +10% would result in an average
modeled rating movement on the Rated Notes of zero notches upward
(e.g., one notch up implies a ratings movement of Baa3 to Baa2).
Decreasing the recovery rate of 100% of the collateral pool to 0%
would result in an average modeled rating movement on the rated
notes of zero notches downward (e.g., one notch down implies a
ratings movement of Baa3 to Ba1).
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment.
Commercial real estate property values continue to improve
modestly, along with a rise in investment activity and
stabilization in core property type performance. Limited new
construction and moderate job growth have aided this improvement.
PFP LTD 2017-4: DBRS Finalizes Provisional B Rating on Cl. G Notes
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of secured floating-rate notes (the Notes) to be issued by
PFP 2017-4, Ltd.:
-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
-- Class G at B (sf)
All trends are Stable.
All classes have been privately placed.
With respect to the deferrable notes (the Class C, Class D, Class
E, Class F and Class G Notes), to the extent that interest proceeds
are not sufficient on a given payment date to pay accrued interest,
interest will not be due and payable on the payment date and will
instead be deferred and capitalized. The ratings assigned by DBRS
contemplate the timely payments of distributable interest and, in
the case of deferred interest notes, the ultimate recovery of
deferred interest (inclusive of interest payable thereon at the
applicable rate), to the extent permitted by law.
The initial collateral consists of 31 floating-rate mortgages
secured by 35 transitional properties totaling $652.2 million
(93.1% of total loan pool), excluding the $48.1 million of future
funding commitments. Of the 31 loans, there is one unclosed loan as
of October 5, 2017, 1155 Northern Boulevard, representing 1.5% of
the pool. The unclosed loan is expected to close within the 90-day
window that begins post-settlement; however, if the loan does not
close within the 90-day window, the unused proceeds will be
distributed first in sequential order to meet the targeted credit
enhancement levels and then to the preferred shares. The loans are
secured by current cash flowing assets, most of which are in a
period of transition with plans to stabilize and improve the asset
value. Twenty-one of these loans have future funding participations
that may be acquired by the Issuer in the future with principal
repayment proceeds for a total of $48.1 million. If the acquisition
by the Issuer of all or a portion of a future funding participation
results in a downgrade of the ratings by DBRS, in and of itself,
then PFP Holding Company V, LLC will be required to promptly
repurchase such related funded companion participation at the same
price as the Issuer paid to acquire it.
The floating-rate mortgages were analyzed to determine the
probability of default (POD) over the term of the loan and its
refinance risk at maturity based on a fully extended loan term.
Because of the floating-rate nature of the loans, the index DBRS
used (one-month LIBOR) was the lower of a DBRS stressed rate that
corresponded to the remaining fully extended term of the loans or
the strike price of the interest rate cap with the respective
contractual loan spread added to determine a stressed interest rate
over the loan term. When the cut-off balances were measured against
the DBRS In-Place net cash flow (NCF) and their respective stressed
constants, there were 24 loans, representing 63.6% of the mortgage
loan cut-off date balance (initial pool balance), with a DBRS Term
debt service coverage ratio (DSCR) below 1.15 times (x), a
threshold indicative of a higher likelihood of term default.
Additionally, to assess refinance risk, DBRS applied its refinance
constants to the balloon amounts, resulting in 22 loans, or 64.9%
of the loans, having a DBRS Refi DSCR below 1.00x relative to the
DBRS Stabilized NCF. The properties are often transitioning with
potential upside in the cash flow; however, DBRS does not give full
credit to the stabilization if there are no holdbacks or if other
loan structural features in place were insufficient to support such
treatment. Furthermore, even with structure provided, DBRS
generally does not assume the assets to stabilize above market
levels. Eighteen loans totaling 46.0% of the initial pool balance
represent acquisition financing, with borrowers contributing cash
equity to the transaction.
The loans were all sourced by Prime Finance, an affiliate of PFP,
Inc., which has strong origination practices. Since inception,
Prime Finance has originated or acquired approximately 316
commercial and multifamily mortgage loans, representing total
capital commitments of approximately $9.2 billion. Class E, Class
F, Class G and the Preferred Shares will be purchased by a wholly
owned subsidiary of PFP, Inc. and represent 15.4% of the initial
pool balance.
The properties are primarily located in core markets (1.9% urban
and 97.5% suburban) that benefit from greater liquidity. Only one
loan, representing 0.6% of the mortgage loan cut-off date balance,
is located in a tertiary market, and no loans are located in rural
markets. The pool is relatively concentrated based on loan size, as
there are only 31 loans in the initial pool, resulting in a
concentration profile similar to a pool of 19 equally sized loans.
The ten largest loans represent 59.1% of the initial pool balance,
and the largest three loans represent 25.5% of the initial pool
balance. Furthermore, the pool is relatively geographically
non-diverse, as the top two states, California and Missouri,
account for 12 loans, representing 47.8% of the initial pool
balance.
The deal appears concentrated by property type, with 17 loans,
representing 59.7% of the mortgage loan cut-off date balance,
secured by office properties. The largest loan secured by an office
property, One Kansas City Place, representing 17.3% of the office
concentration, is primarily occupied by an investment-grade tenant,
Kansas City Power and Light Company, on a long-term lease that
expires over nine years past the fully extended loan maturity.
There are eight loans in the pool, representing 23.1% of the
initial pool balance, secured by multifamily properties.
Multifamily properties benefit from staggered lease rollover and
generally low expense ratios compared with other property types.
While revenue is quick to decline in a downturn because of the
short-term nature of the leases, it is also quick to respond when
the market improves. None of the multifamily loans in the pool are
currently secured by student or military housing properties, which
often exhibit higher cash flow volatility than traditional
multifamily properties.
Based on the weighted initial pool balances, the overall
weighted-average DBRS Term DSCR and DBRS Refi DSCR of 1.01x and
0.96x, respectively, and corresponding DBRS Debt Yield and DBRS
Exit Debt Yield of 7.4% and 8.9%, respectively, are reflective of
high-leverage financing. Based on pool balances if all eligible
future funding participations are acquired by the trust and higher
quality loans pay down in an equal amount, the overall
weighted-average DBRS Term DSCR and DBRS Refi DSCR of 0.98x and
0.96x, respectively, and corresponding DBRS Debt Yield and DBRS
Exit Debt Yield of 7.3% and 8.9%, respectively, are also considered
high-leverage financing. DBRS made relatively conservative
stabilization assumptions and in each instance considered the
business plan to be rational and the future funding amounts to be
sufficient to execute such plans. In addition, DBRS analyzes POD
based on the DBRS In-Place NCF. The corresponding weighted-average
DBRS Debt Yield is 7.4%, which is lower than the weighted-average
DBRS Exit Debt Yield, based on a DBRS Stabilized NCF of 8.9%. Both
the DBRS as-is and Stabilized NCF figures are weighted on the
initial pool balance. Credit is given to the higher DBRS Stabilized
NCF when determining loss given default and, based on the 8.9%,
would indicate a modest amount of upside.
Notes: All figures are in U.S. dollars unless otherwise noted.
PREFERREDPLUS CZN-1: Moody's Cuts $34.50MM Certs Rating to B3
-------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
rating of the following certificates issued by PREFERREDPLUS Trust
Series CZN-1:
$34,500,000 PREFERREDPLUS Trust Series CZN-1 Certificates,
Downgraded to B3; previously on May 24, 2017 Downgraded to B2
RATINGS RATIONALE
The rating action is a result of the change in the rating of 7.05%
Debentures due October 01, 2046 issued by Frontier Communications
Corporation ("Underlying Securities") which was downgraded to B3 on
November 2, 2017.
The transaction is a structured note whose ratings are based on the
rating of the Underlying Securities and the legal structure of the
transaction.
Methodology Underlying the Rating Action:
The principal methodology used in this rating was "Moody's Approach
to Rating Repackaged Securities" published in June 2015.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
The rating will be sensitive to any change in the rating of the
7.05% Debentures due October 1, 2046 issued by Frontier
Communications Corporation.
ROMARK CLO I: Moody's Assigns Ba3 Rating to Class D Notes
---------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Romark CLO - I Ltd. (the "Issuer" or "Romark I").
Moody's rating action is:
US$290,250,000 Class A-1 Senior Secured Floating Rate Notes due
2030 (the "Class A-1 Notes"), Assigned Aaa (sf)
US$51,750,000 Class A-2 Senior Secured Floating Rate Notes due 2030
(the "Class A-2 Notes"), Assigned Aa2 (sf)
US$22,500,000 Class B Secured Deferrable Floating Rate Notes due
2030 (the "Class B Notes"), Assigned A2 (sf)
US$28,500,000 Class C Secured Deferrable Floating Rate Notes due
2030 (the "Class C Notes"), Assigned Baa3 (sf)
US$21,000,000 Class D Secured Deferrable Floating Rate Notes due
2030 (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 are referred to herein, collectively,
as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
Romark I is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90.0% of the portfolio must
consist of senior secured loans and eligible investments, and up to
10.0% of the portfolio may consist of second lien loans and
unsecured loans. The portfolio is approximately 80% ramped as of
the closing date.
Romark CLO Advisors LLC (the "Manager") will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's five year reinvestment period.
Thereafter, the Manager may reinvest unscheduled principal payments
and proceeds from sales of credit risk assets, subject to certain
restrictions.
In addition to the Rated Notes, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $450,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2792
Weighted Average Spread (WAS): 3.35%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 46.5%
Weighted Average Life (WAL): 9 years.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
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 2792 to 3211)
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: -1
Percentage Change in WARF -- increase of 30% (from 2792 to 3630)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -4
Class B Notes: -4
Class C Notes: -2
Class D Notes: -1
SEQUOIA MORTGAGE 2017-CH2: Moody's Gives (P)Ba3 Rating to B-5 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-CH2, except for the
interest-only classes. The certificates are backed by one pool of
prime quality, first-lien mortgage loans.
SEMT 2017-CH2 is the second securitization that includes loans
acquired by Redwood Residential Acquisition Corporation ("Redwood"
or "Seller"), a subsidiary of Redwood Trust, Inc., under its
expanded credit prime loan program called "Redwood Choice".
Redwood's Choice program is a prime program with credit parameters
outside of Redwood's traditional prime jumbo program, "Redwood
Select." The Choice program expands the low end of Redwood's FICO
range to 661 from 700, while increasing the high end of eligible
loan-to-value ratios from 85% to 90%. The pool also includes loans
with non-QM characteristics (28.6%), such as debt-to-income ratios
up to 50.6%. Non-QM loans were acquired by Redwood under each of
the Select and Choice programs.
The assets of the trust consist of 423 fixed rate mortgage loans,
all of which are fully amortizing, except for one mortgage loan
that has an interest-only term. The mortgage loans have an original
term to maturity of 30 years except for one loan which has an
original term to maturity of 20 years and another loan of 25 years.
The loans were sourced from multiple originators and acquired by
Redwood. All of the loans conform to the Seller's guidelines,
except for loans originated by First Republic Bank, which were
originated to conform with First Republic Bank's guidelines.
The transaction benefits from nearly 100% due diligence of data
integrity, credit, property valuation, and compliance conducted by
an independent third-party firm.
CitiMortgage Inc. will act as the master servicer of the loans in
this transaction. Shellpoint Mortgage Servicing and First Republic
Bank will be primary servicers on the deal.
The complete rating actions are:
Issuer: Sequoia Mortgage Trust 2017-CH2
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)Aa2 (sf)
Cl. A-20, Assigned (P)Aa2 (sf)
Cl. A-21, Assigned (P)Aa2 (sf)
Cl. A-22, Assigned (P)Aa1 (sf)
Cl. A-23, Assigned (P)Aa1 (sf)
Cl. A-24, Assigned (P)Aa1 (sf)
Cl. B-1A, Assigned (P)Aa3 (sf)
Cl. B-1B, Assigned (P)Aa3 (sf)
Cl. B-2A, Assigned (P)A2 (sf)
Cl. B-2B, Assigned (P)A2 (sf)
Cl. B-3, Assigned (P)A3 (sf)
Cl. B-4, Assigned (P)Baa3 (sf)
Cl. B-5, Assigned (P)Ba3 (sf)
RATINGS RATIONALE
Summary Credit Analysis
Moody's expected cumulative net loss on the aggregate pool is 1.00%
in a base scenario and reaches 10.90% at a stress level consistent
with Moody's Aaa scenario. Moody's Aaa stress loss is higher than
the senior credit enhancement of 10.00%. Moody's took this
difference into account in Moody's ratings of the senior classes.
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-CH2 transaction is a securitization of 423 first lien
residential mortgage loans, with an aggregate unpaid principal
balance of $320,295,255. There are more than 100 originators in
this pool, including PrimeLending (7.5%). The remaining contributed
less than 5% 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.
SEMT 2017-CH2 includes loans acquired by Redwood under its Choice
program. Although from a FICO and LTV perspective, the borrowers in
SEMT 2017-CH2 are not the super prime borrowers included in
traditional SEMT transactions, these borrowers are prime borrowers
with a demonstrated ability to manage household finance. In
addition, the majority of borrowers have more than 24 months of
liquid cash reserves or enough money to pay the mortgage for two
years should there be an interruption to the borrower's cash flow.
Moreover, the borrowers on average have a monthly residual income
of $15,551. The WA FICO is 740, which is lower than traditional
SEMT transactions, which has averaged 769 in 2017 SEMT
transactions. The lower WA FICO for SEMT 2017-CH2 may reflect
recent mortgage lates (0x30x3, 1x30x12, 2x30x24) which are allowed
under the Choice program, but not under Redwood's traditional
product, Redwood Select (0x30x24). While the WA FICO may be lower
for this transaction, Moody's do not believe that the limited
mortgage lates demonstrates a history of financial mismanagement.
Moody's also note that SEMT 2017-CH2 is the second SEMT transaction
to include a significant number of non-QM loans (112) compared to
previous SEMT transactions, where the number of non-QM loans was
limited. Previously, 2017-CH1 had the largest number of non-QM
loans at 108 loans out of 409 loans.
Redwood's Choice program is in its early stages, having been
launched by Redwood in April 2016. In contrast to Redwood's
traditional program, Select, Redwood's Choice program allows for
higher LTVs, lower FICOs, non-occupant co-borrowers,
non-warrantable condos, limited loans with adverse credit events,
among other loan attributes. Under both Select and Choice, Redwood
also allows for loans with non-QM features, such as interest-only,
DTIs greater than 43%, asset depletion, among other loan
attributes.
However, Moody's note that Redwood historically has been on average
stronger than its peers as an aggregator of prime jumbo loans,
including a limited number of non-QM loans in previous SEMT
transactions. As of the September 2017 remittance report, there
have been no losses on Redwood-aggregated transactions that Moody's
have rated to date, and delinquencies to date have also been very
low. While in traditional SEMT transactions, Moody's have factored
this qualitative strength into Moody's analysis, in SEMT 2017-CH2,
Moody's have a neutral assessment of the Choice Program until
Moody's are able to review a longer performance history of Choice
mortgage loans.
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
view the SAML concept as something that strengthens the integrity
of senior and subordination relationships in the structure. Yet, in
certain scenarios the SAML concept, as implemented in this
transaction, can lead to a reduction in interest payment to certain
tranches even when more subordinated tranches are outstanding. The
senior/subordination relationship between tranches is strengthened
as the removal of SAML in the calculation of the senior percentage
amount, directs more principal to the senior bonds and less to the
subordinate bonds. Further, this feature limits the amount of
servicer advances that could increase the loss severity on the
liquidated loans and preserves the subordination amount for the
most senior bonds. On the other hand, this feature can cause a
reduction in the interest distribution amount paid to the bonds;
and if that were to happen such a reduction in interest payment is
unlikely to be recovered. The final ratings on the bonds, which are
expected loss ratings, take into consideration Moody's expected
losses on the collateral and the potential reduction in interest
distributions to the bonds. Furthermore, the likelihood that in
particular the subordinate tranches could potentially permanently
lose some interest as a result of this feature was considered.
Moody's believe there is a low likelihood that the rated securities
of SEMT 2017-CH2 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 (or a majority-owned affiliate
of the sponsor), who will retain credit risk in accordance with the
U.S. Risk Retention Rules and provides a back-stop to the
representations and warranties of all the originators except for
First Republic Bank, has a strong alignment of interest with
investors, and is incentivized to actively manage the pool to
optimize performance. Third, the transaction has reasonably well
defined processes in place to identify loans with defects on an
ongoing basis. In this transaction, an independent breach reviewer
must review loans for breaches of representations and warranties
when a loan becomes 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 1.90% ($6,085,609.84) of the closing pool
balance, which mitigates tail risk by protecting the senior bonds
from eroding credit enhancement over time. However, based on
Moody's tail risk analysis, the level of senior subordination floor
in SEMT 2017-CH2 may provide less protection against potential tail
risk than the floor in previous SEMT transactions.
Third-party Review and Reps & Warranties
One TPR firm conducted a due diligence review of 100% of the
mortgage loans in the pool. For 409 loans, the TPR firm conducted a
review for credit, property valuation, compliance and data
integrity ("full review") and limited review for 13 First Republic
loans and 1 PrimeLending loan. For the 14 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 First
Republic Bank 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 originated by First
Republic Bank.
The property valuation review conducted by the TPR firm consisted
of (i) a review of all of the appraisals for full review loans,
checking for issues with the comparables selected in the appraisal
and (ii) a value supported analysis for all 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.
The originators and Redwood 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.
SLM STUDENT 2012-1: Fitch Lowers Ratings on 2 Tranches From 'BBsf'
------------------------------------------------------------------
Fitch Ratings has downgraded SLM Student Loan Trust 2012-1 (SLM
2012-1):
-- Class A-3 to 'BBsf' from 'BBBsf'; Outlook Stable;
-- Class B to 'BBsf' from 'BBBsf'; Outlook Stable.
The downgrade is mainly driven by the extension of weighted average
remaining terms compared to last year. With 101% total parity, the
final payoff of the bonds will be closely tied with the last paying
loans of the trust. Extension of the terms further acerbate the
tail-end maturity risk, causing the class A-3 notes to miss their
legal final maturity date under Fitch's 'B' cases. This technical
default of class A notes would result in interest payments being
diverted away from class B, which would cause that note to default
as well. As the notes fail Fitch's 'Bsf' cash flow scenarios
marginally in maturity, meaning the model indicated that notes are
paid shortly after their maturity date without principal or
interest shortfall and they have a long time horizon to maturity,
Fitch leaves the notes at 'BBsf', as a slight change in the future
economic environment could result in full repayment of bonds by
maturity dates.
During the review process, a discrepancy was found in the
definition of the specified overcollateralization amount (SOA)
between the executed Indenture and the final offering memorandum
(OM). The indenture defines the SOA as $7,000,174 whereas the OM
defines the SOA as the greater of 1.00% of adjusted pool balance or
$2,000,000. The OM definition was the one that has been adhered to
by the trust since closing, which is also what Fitch based its
analysis on. The servicer, Navient, has acknowledged the
discrepancy, and has confirmed that they intended to amend
definition in the indenture to be consistent with that in OM by
December 2017.
KEY RATING DRIVERS
U.S. Sovereign Risk: The trust collateral comprises 100% Federal
Family Education Loan Program (FFELP) loans, with guaranties
provided by eligible guarantors and reinsurance provided by the
U.S. Department of Education (ED) for at least 97% of principal and
accrued interest. The U.S. sovereign rating is currently
'AAA'/Outlook Stable.
Collateral Performance: Fitch assumes a base case default rate of
20.75% and a 62.25% default rate under the 'AAA' credit stress
scenario. The base case default assumption of 20.75% implies a
constant default rate of 4.0% (assuming a weighted average life of
5.2 years) consistent with a sustainable constant default rate
utilized in the maturity stresses. Fitch applies the standard
default timing curve in its credit stress cash flow analysis. The
claim reject rate is assumed to be 0.5% in the base case and 3.0%
in the 'AAA' case. The TTM levels of deferment, forbearance,
income-based repayment (prior to adjustment) and constant
prepayment rate (voluntary and involuntary) are 9.7%, 15.8%, 18.5%,
and 12.5%, respectively, and are used as the starting point in cash
flow modelling. Subsequent declines or increases are modelled as
per criteria. The borrower benefit is assumed to be approximately
0.04%, based on information provided by the sponsor.
Basis and Interest Rate Risk: Basis risk for this transaction
arises from any rate and reset frequency mismatch between interest
rate indices for SAP and the securities. As of October 2017, all of
the trust student loans are indexed to one-month LIBOR and notes
are indexed to three-month LIBOR. Fitch applies its standard basis
and interest rate stresses to this transaction as per criteria.
Payment Structure: Credit enhancement (CE) is provided by excess
spread and, for the class A notes, subordination. As of September
2017, Fitch calculated senior parity ratio (including the reserve)
was 108.2% (7.6% CE) and total reported parity was 101.0% (1.0%
CE), respectively. Liquidity support is provided by a reserve sized
at the greater of 0.25% of the pool balance or $764,728, currently
equal to $875,946.65. The trust will continue to release cash as
long as the specified overcollateralization amount of the greater
of 1.00% of adjusted pool balance or $2,000,000 is maintained.
Maturity Risk: Fitch's student loan ABS cash flow model indicates
that the class A-3 notes do not pay off before their maturity date
in the 'BB' stress cases of Fitch's modelling scenarios. If the
breach of the class A-3 maturity date triggers an event of default,
interest payments will be diverted away from the class B notes,
causing them to fail the 'BB' stress cases as well.
Operational Capabilities: Day-to-day servicing is provided by
Navient Solutions, LLC. (formerly known as Sallie Mae, Inc.). Fitch
believes Navient to be an acceptable servicer, due to its extensive
track record as the largest servicer of FFELP loans.
RATING SENSITIVITIES
'AAAsf' rated tranches of most FFELP securitizations will likely
move in tandem with the U.S. sovereign rating, given the strong
linkage to the U.S. sovereign by nature of the reinsurance and SAP
provided by ED. Sovereign risks are not addressed in Fitch's
sensitivity analysis.
Fitch conducted a CE sensitivity analysis by stressing both the
related lifetime default rate and basis spread assumptions. In
addition, Fitch conducted a maturity sensitivity analysis by
running different assumptions for the IBR usage and prepayment
rate. The results below should only be considered as one potential
model-implied outcome, as the transaction is exposed to multiple
risk factors that are all dynamic variables.
Credit Stress Rating Sensitivity
-- Default increase 25%: class A 'CCCsf', class B 'CCCsf';
-- Default increase 50%: class A 'CCCsf', class B 'CCCsf';
-- Basis Spread increase 0.25%: class A 'CCCsf', class B 'CCCsf';
-- Basis Spread increase 0.5%: class A 'CCCsf', class B 'CCCsf'.
Maturity Stress Rating Sensitivity
-- CPR decrease 50%: class A 'CCCsf', class B 'CCCsf';
-- CPR increase 100%: class A 'AAAsf', class B 'AAAsf'';
-- IBR Usage decrease 50%: class A 'Bsf', class B 'BBsf';
-- IBR Usage increase 100%: class A 'CCCsf', class B 'CCCsf'.
It is important to note that the stresses are intended to provide
an indication of the rating sensitivity of the notes to unexpected
deterioration in trust performance. Rating sensitivity should not
be used as an indicator of future rating performance.
STEERS TRUST 2: Moody's Hikes Ratings on 2 Tranches From Caa3(sf)
-----------------------------------------------------------------
Moody's has upgraded the ratings on the following trust units
issued by STEERS High-Grade CMBS Resecuritization Trust 2:
Series 2006-6, Upgraded to Baa3 (sf); previously on Nov 17, 2016
Affirmed Caa3 (sf)
Series 2006-8, Upgraded to Baa3 (sf); previously on Nov 17, 2016
Affirmed Caa3 (sf)
The Series 2006-6 and Series 2006-8 are referred to herein as the
"Rated Notes".
RATINGS RATIONALE
Moody's has upgraded the ratings of two trust units of Rated Notes
primarily due to greater than expected amortization of the
underlying high credit risk reference obligations; combined with a
material improvement of WARF.. The rating action is the result of
Moody's on-going surveillance of commercial real estate
collateralized debt obligation (CRE CDO Synthetic) transactions.
STEERS High-Grade CMBS Resecuritization Trust 2 is a static
synthetic transaction backed by a portfolio of credit default swaps
referencing 100% commercial mortgage backed securities (CMBS). The
CMBS reference obligations were securitized in 2005 (98.8%) and
2006 (1.2%). As of this review, all of the reference obligations
are not publicly rated by Moody's.
Moody's has identified the following as key indicators of the
expected loss in CRE CDO transactions: WARF, the weighted average
life (WAL), WARR, and Moody's asset correlation (MAC). Moody's
typically models these as actual parameters for static deals and as
covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has updated its assessments for the reference obligations
it does not rate. The rating agency modeled a bottom-dollar WARF of
51, compared to 1211 at last review. The current ratings on the
Moody's-rated reference obligations and the assessments of the
non-Moody's rated reference obligations follow: Aaa-Aa3 and 98.8%
compared to 38.9% at last review; Baa1-Baa3 and 15.4% compared to
0.0% at last review; Ba1-Ba3 and 6.7% compared to 0.0% at last
review; B1-B3 and 39.0% compared to 1.2% at last review.
Moody's modeled a WAL of 3.1 years, compared to 0.9 year at last
review. The WAL is based on extension assumptions about the CMBS
look-through loans within the underlying reference obligations.
Moody's modeled a variable WARR of 10.0%, compared to 12.1% at last
review.
Moody's modeled a MAC of 85.5%, compared to 49.3% at last review.
The increase in MAC is due to a reduction in the number of
reference obligations.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating SF CDOs" published in June 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying reference obligations, which in turn depends on
economic and credit conditions that may change. The servicing
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Moody's Parameter Sensitivities: Changes to any one or more of the
key parameters could have rating implications for the Rated Notes,
although a change in one key parameter assumption could be offset
by a change in one or more of the other key parameter assumptions.
The Rated Notes are particularly sensitive to changes in the
ratings of the underlying reference obligations and credit
assessments. Holding all other parameters constant, notching down
100% of the reference obligation pool by -1 notch would result in
an average modeled rating movement on the Rated Notes of one notch
downward (e.g., one notch down implies a ratings movement of Baa3
to Ba1). Notching up 100% of the reference obligation pool by +1
notch would result in an average modeled rating movement on the
Rated Notes of one notch upward (e.g., one notch up implies a
ratings movement of Baa3 to Baa2).
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment.
Commercial real estate property values continue to improve
modestly, along with a rise in investment activity and
stabilization in core property type performance. Limited new
construction and moderate job growth have aided this improvement.
TIAA CHURCHILL II: S&P Assigns Prelim B-(sf) Rating on Cl. F Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to TIAA
Churchill Middle Market CLO II Ltd./TIAA Churchill Middle Market
CLO II LLC's $307.30 million floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed primarily by middle-market speculative-grade senior-secured
term loans that are governed by collateral quality tests.
The preliminary ratings are based on information as of Nov. 6,
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
TIAA Churchill Middle Market CLO II Ltd./TIAA Churchill Middle
Market CLO II LLC
Class Rating Amount
(mil. $)
A AAA (sf) 189.10
B AA (sf) 33.50
C (deferrable) A (sf) 27.90
D (deferrable) BBB- (sf) 21.90
E (deferrable) BB- (sf) 19.05
F (deferrable) B- (sf) 15.85
Subordinated notes NR 32.97
NR--Not rated.
TRAPEZA CDO VI: Moody's Hikes Ratings on 2 Tranches to B1
---------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Trapeza CDO VI, Ltd.:
US$59,350,000 Class A-2 Third Priority Senior Secured Floating Rate
Notes Due 2034, Upgraded to Aaa (sf); previously on July 13, 2015
Upgraded to Aa1 (sf)
US$39,500,000 Class B-1 Fourth Priority Secured Floating Rate Notes
Due 2034 (current balance, including deferred interest, of
$43,206,814.74), Upgraded to B1 (sf); previously on July 13, 2015
Upgraded to B2 (sf)
US$56,500,000 Class B-2 Fourth Priority Secured Fixed/Floating Rate
Notes Due 2034 (current balance, including deferred interest, of
$62,087,918.54), Upgraded to B1 (sf); previously on July 13, 2015
Upgraded to B2 (sf)
Moody's also affirmed the rating on the following notes:
US$21,000,000 Class A-1B Second Priority Senior Secured Floating
Rate Notes Due 2034 (current balance of $4,428,553.58), Affirmed
Aaa (sf); previously on July 13, 2015 Upgraded to Aaa (sf)
Trapeza CDO VI, Ltd., issued in April 2004, is a collateralized
debt obligation (CDO) backed mainly by a portfolio of bank trust
preferred securities (TruPS).
RATINGS RATIONALE
The rating actions are primarily a result of the deleveraging of
the Class A-1 notes and an increase in the transaction's
overcollateralization (OC) ratios since November 2016.
Since November 2016, the Class A-1A notes have been paid down in
full and the Class A-1B notes have paid down by $16.6 million or
78.9%, using principal proceeds from the redemption of underlying
assets and the diversion of excess interest proceeds due to the
failure of the Class B OC test. Based on Moody's calculations, the
OC ratios for the Class A-1, Class A-2 and Class B notes have
improved to 3695.36%, 256.59%, and 96.79%, respectively, from
November 2016 levels of 1100.06%, 230.89%, and 96.13%,
respectively. The Class A-1B and Class A-2 notes will continue to
benefit from the diversion of excess interest and the use of
proceeds from redemptions of any assets in the collateral pool.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs" published in October 2016.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:
1) Macroeconomic uncertainty: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in the
general economy. Moody's has a stable outlook on the US banking
sector.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's current
expectations could have a positive impact on the transaction's
performance. Conversely, asset credit performance weaker than
Moody's current expectations could have adverse consequences on the
transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and excess
interest proceeds will continue and at what pace. Note repayments
that are faster than Moody's current expectations could have a
positive impact on the notes' ratings, beginning with the notes
with the highest payment priority.
4) Exposure to non-publicly rated assets: The deal contains a large
number of securities whose default probability Moody's assesses
through credit scores derived using RiskCalc™ 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 402)
Class A-1B: 0
Class A-2: 0
Class B-1: +2
Class B-2: +2
Assuming a two-notch downgrade to assets with below-investment
grade ratings or rating estimates (WARF of 886)
Class A-1B: 0
Class A-2: -1
Class B-1: -1
Class B-2: -1
Loss and Cash Flow Analysis:
Moody's applied a Monte Carlo simulation framework in Moody's
CDOROM(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. CDOROM(TM) is available on www.moodys.com under
Products and Solutions -- Analytical models, upon receipt of a
signed free license agreement.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool as having a performing par and principal proceeds
balance of $163.7 million, defaulted par of $48.8 million, a
weighted average default probability of 6.45% (implying a WARF of
602), and a weighted average recovery rate upon default of 10.0%.
In addition to the quantitative factors Moody's explicitly models,
qualitative factors are part of rating committee considerations.
Moody's considers the structural protections in the transaction,
the risk of an event of default, recent deal performance under
current market conditions, the legal environment and specific
documentation features. All information available to rating
committees, including macroeconomic forecasts, inputs from other
Moody's analytical groups, market factors, and judgments regarding
the nature and severity of credit stress on the transactions, can
influence the final rating decision.
The portfolio of this CDO contains mainly TruPS issued by small to
medium sized U.S. community banks that Moody's does not rate
publicly. To evaluate the credit quality of bank TruPS that do not
have public ratings, Moody's uses RiskCalc(TM), an econometric
model developed by Moody's Analytics, to derive credit scores.
Moody's evaluation of the credit risk of most of the bank obligors
in the pool relies on the latest FDIC financial data.
TRAPEZA CDO XI: Moody's Hikes Rating on Cl. B Notes to Ba3
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Trapeza CDO XI, Ltd.:
US$281,000,000 Class A-1 First Priority Senior Secured Floating
Rate Notes Due 2041 (current balance of $114,613,088), Upgraded to
Aa2 (sf); previously on March 20, 2017 Upgraded to A1 (sf)
US$53,000,000 Class A-2 Second Priority Senior Secured Floating
Rate Notes Due 2041, Upgraded to A1 (sf); previously on March 20,
2017 Upgraded to A3 (sf)
US$25,000,000 Class B Fourth Priority Secured Deferrable Floating
Rate Notes Due 2041 (current balance including deferred interest of
$25,602,329), Upgraded to Ba3 (sf); previously on March 20, 2017
Upgraded to B2 (sf)
Moody's also affirmed the rating on the following notes:
US$20,000,000 Class A-3 Third Priority Senior Secured Floating Rate
Notes Due 2041, Affirmed Baa1 (sf); previously on March 20, 2017
Upgraded to Baa1 (sf)
Trapeza CDO XI, Ltd., issued on November 8, 2006, is a
collateralized debt obligation (CDO) backed mainly by a portfolio
of bank, insurance and REIT trust preferred securities (TruPS).
RATINGS RATIONALE
The rating actions are primarily a result of the deleveraging of
the Class A-1 notes, an increase in the transaction's
overcollateralization (OC) ratios, and the partial repayment of the
Class B notes' deferred interest balance since March 2017.
The Class A-1 notes have paid down by approximately 15.8% or $21.4
million since March 2017, using principal proceeds from the
redemption of one underlying asset with a par of $18.75 million and
the diversion of excess interest proceeds. Based on Moody's
calculations, the OC ratios for the Class A-1, Class A-2, Class
A-3, and Class B notes have improved to 224.0%, 153.2%, 136.9% and
120.4%, respectively, from March 2017 levels of 202.5%, 145.7%,
131.8% and 116.9%, respectively. On the October 2017 payment date,
the Class B OC test was cured, and the remaining excess interest
was used to pay $1.06 million of the Class B notes' deferred
interest balance. Once the Class B notes' deferred interest balance
is reduced to zero, the Class C notes will begin to receive current
interest and excess interest diverted by the failure of the Class C
OC test will be used to pay down the Class A-1 notes. Additionally,
Class A-1 notes will continue to benefit from the use of proceeds
from redemptions of any assets in the collateral pool.
Nevertheless, the credit quality of the underlying portfolio has
deteriorated since March 2017. According to Moody's calculations,
the weighted average rating factor (WARF) is currently 2212,
compared to 2077 in March 2017.
Methodology Used for the Rating Action
The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs" published in October 2016.
Factors that Would Lead to an Upgrade or Downgrade of the 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 and
insurance sectors.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's current
expectations could have a positive impact on the transaction's
performance. Conversely, asset credit performance weaker than
Moody's current expectations could have adverse consequences on the
transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and excess
interest proceeds will continue and at what pace. Note repayments
that are faster than Moody's current expectations could have a
positive impact on the notes' ratings, beginning with the notes
with the highest payment priority.
4) Exposure to non-publicly rated assets: The deal contains a large
number of securities whose default probability Moody's assesses
through credit scores derived using RiskCalc(TM) or credit
estimates. Because these are not public ratings, they are subject
to additional uncertainties.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Assuming a two-notch upgrade to assets with below-investment grade
ratings or rating estimates (WARF of 1343)
Class A-1: +1
Class A-2: +1
Class A-3: +2
Class B: +2
Class C: +3
Assuming a two-notch downgrade to assets with below-investment
grade ratings or rating estimates (WARF of 2648)
Class A-1: -1
Class A-2: -2
Class A-3: -2
Class B: -2
Class C: -1
Loss and Cash Flow Analysis:
Moody's applied a Monte Carlo simulation framework in Moody's
CDROM(TM) to model the loss distribution for TruPS CDOs. The
simulated defaults and recoveries for each of the Monte Carlo
scenarios defined the reference pool's loss distribution. Moody's
then used the loss distribution as an input in its CDOEdge(TM) cash
flow model. CDROM(TM) is available on www.moodys.com under Products
and Solutions -- Analytical models, upon receipt of a signed free
license agreement.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool as having a performing par of $256.8 million,
defaulted par of $63.0 million, a weighted average default
probability of 25.20% (implying a WARF of 2212), and a weighted
average recovery rate upon default of 10.6%.
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(TM), an econometric model developed by
Moody's Analytics, to derive credit scores. Moody's evaluation of
the credit risk of most of the bank obligors in the pool relies on
the latest FDIC financial data. For insurance TruPS that do not
have public ratings, Moody's relies on the assessment of its
Insurance team, based on the credit analysis of the underlying
insurance firms' annual statutory financial reports. For REIT TruPS
that do not have public ratings, Moody's REIT group assesses their
credit quality using the REIT firms' annual financials.
TRIAXX PRIME 2006-2: Moody's Hikes Class A-2 Notes Rating to Caa3
-----------------------------------------------------------------
Moody's Investors Service has upgraded the rating on notes issued
by Triaxx Prime CDO 2006-2, Ltd.:
US$400,000,000 Class A-2 Second Priority Senior Secured Floating
Rate Notes Due October 2039 (current outstanding balance of
$339,852,509), Upgraded to Caa3 (sf); previously on January 30,
2009 Downgraded to C (sf)
Triaxx Prime CDO 2006-2, Ltd, issued in December 2006, is a
collateralized debt obligation backed primarily by a portfolio of
portfolio of Jumbo and Alt-A RMBS originated from 2005 to 2008.
RATINGS RATIONALE
The rating action is due primarily to the deleveraging of the
senior notes and an increase in the transaction's Class A-2
over-collateralization (OC) ratio since December 2016. The Class
A-1 notes have been paid down in full and Class A-2 notes have been
paid down by approximately 15%, or $60.1 million since then. The
deleveraging and increase in OC are due primarily to proceeds from
recent sales of collateral assets by the manager. According to the
August 2017 trustee report, the manager sold $415 million in
principal amount of assets for a total of $320 million in proceeds.
Based on Moody's calculation, the OC ratio for the Class A-2 notes
is currently 132.3%, versus 117.7% in December 2016.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's Approach
to Rating SF CDOs" published in June 2017.
Factors That Would Lead To an Upgrade or Downgrade of the Rating:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:
1) Macroeconomic uncertainty: Primary causes of uncertainty about
assumptions are the extent of any deterioration in either consumer
or commercial credit conditions and in the residential real estate
property markets. The residential real estate property market's
uncertainties include housing prices; the pace of residential
mortgage foreclosures, loan modifications and refinancing; the
unemployment rate; and interest rates.
2) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from principal proceeds, recoveries from
defaulted assets, and excess interest proceeds will continue and at
what pace. Faster than expected deleveraging could have a
significantly positive impact on the notes' ratings.
3) Recovery of defaulted assets: The amount of recoveries received
from defaulted assets reported by the trustee and those that
Moody's assumes as having defaulted as well as the timing of these
recoveries create additional uncertainty. Moody's analyzed
defaulted assets assuming limited recoveries, and therefore,
realization of any recoveries exceeding Moody's expectation in the
future would positively impact the notes' ratings.
Loss and Cash Flow Analysis:
Owing to the high weighted average rating factor (WARF) of the
deal's portfolio, Moody's did not use a cash flow model to analyze
the default and recovery properties of the collateral pool.
Instead, Moody's analyzed the transaction by assessing the ratings
impact of, and the deal's sensitivity to, asset coverage of its
performing assets and the market value of the assets that are
treated as defaulted by the trustee.
The deal's ratings are not expected to be sensitive to the typical
range of changes (plus or minus two rating notches on Caa-rated
assets) in the rating quality of the collateral that Moody's tests,
and no sensitivity analysis was performed.
TUCKAHOE CREDIT 2001-CTL1: S&P Affirms 'BB' CCR, Outlook Negative
-----------------------------------------------------------------
S&P Global Ratings affirmed its 'BB' rating on the credit
lease-backed pass-through certificates from Tuckahoe Credit Lease
Trust 2001-CTL1, a U.S. commercial mortgage-backed securities
credit tenant lease transaction, and revised the outlook to
negative from stable.
The rating action reflects the Nov. 1, 2017, rating action taken on
CenturyLink Inc. The rating on the transaction is dependent on the
rating assigned to CenturyLink Inc. ('BB/Negative/B').
The certificates are collateralized by a first mortgage and
assignment of lease encumbering a condominium interest in a
two-story industrial building in Yonkers, N.Y. The entire property
is leased to Qwest Communications Corp. (QCC), a wholly owned
subsidiary of Qwest Communications International Inc., on a
triple-net-basis, with QCC responsible for all operating and
maintenance costs. Qwest Communications International Inc. was
acquired by CenturyLink Inc. in 2011.
RATINGS LIST
Tuckahoe Credit Lease Trust 2001-CTL1
Credit lease-backed pass-through certificates series 2001-CTL1
Rating
Class Identifier To From
898613AA2 BB/Negative BB
WACHOVIA BANK 2006-C25: Fitch Hikes Class F Notes Rating to 'Bsf'
-----------------------------------------------------------------
Fitch Ratings has upgraded one and affirmed 10 defaulted classes of
Wachovia Bank Commercial Mortgage Trust 2006-C25 (WBCMT 2006-C25)
commercial mortgage pass-through certificates.
KEY RATING DRIVERS
The upgrade of class F reflects improved credit enhancement
relative to expected losses. Since the last rating action, eight
specially serviced loans/real-estate owned (REO) assets were
disposed at better recoveries than anticipated. As of the October
2017 distribution date, the pool's aggregate principal balance was
reduced by 98.9% to $31.1 million from $2.86 billion at issuance.
Interest shortfalls are currently impacting class G and below.
Concentrated Pool: The pool is extremely concentrated with only two
loans secured by retail properties remaining. The largest loan,
Shoppes at North Village, comprises 92% of the pool. Due to the
concentrated nature of the pool, Fitch's analysis was based on the
recovery of the remaining assets.
Shoppes at North Village: The largest loan in the pool is secured
by a 226,160 square foot (sf) neighborhood shopping center located
in St. Joseph, MO. The center, which is shadow anchored by Target,
Home Depot and Kohl's, was built in 2005. St. Joseph, the eighth
largest city in the state, is located near the northwest corner of
the state along the Missouri River, and is famous for being the
starting point of the Pony Express. As of the March 2017 rent roll,
the property was 97.8% occupied by a mix of national and regional
retailers, including Regal Hollywood Stadium 10 theatres, TJ Maxx,
Michaels, Beth Bath & Beyond and Best Buy. Only 3% of the tenancy
rolls over the next year. The servicer reported year-end (YE) 2016
net operating income debt service coverage ratio (NOI DSCR) was
1.73x, on an interest only basis. The loan passed its anticipated
repayment date (ARD) in November 2015. The formerly interest-only
loan remains current and is now hyper-amortizing. The borrower is
reportedly marketing the property for sale.
Ballantyne Shopping Center: The other remaining loan (8% of the
pool) is secured by a 10,000 sf retail shopping center located in
Charlotte, NC. The center, which was built in 2005, is 100% leased,
per the July 2017 rent roll. The largest tenants are Pei Wei (31%
of the net rentable area [NRA], through 2020) and Starbucks (17.7%
of the NRA, through 2025). The loan, which is fully amortizing,
matures in 2026. The servicer reported YE 2016 NOI DSCR was 1.47x.
RATING SENSITIVITIES
Further upgrade to class F is unlikely due to the concentrated
nature of the pool with only two loans remaining. A downgrade is
possible should the performance of Shoppes at North Center
significantly decline.
Fitch has upgraded and assigned a Rating Outlook to the following
class:
-- $12.8 million class F to 'Bsf' from 'CCCsf'; assign Outlook
Stable.
Fitch has affirmed the following classes:
-- $18.3 million class G at 'Dsf'; RE 60%.
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%;
-- $0 class Q at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-PB1, A-PB2, A-4, A-5, A-1A, A-M, A-J, B,
C, D, and E certificates have paid in full. Fitch previously
withdrew the rating on the interest-only class IO certificates.
Fitch does not rate the class S certificates.
WACHOVIA BANK 2006-C27: Moody's Affirms B1 Rating on Cl. A-J Debt
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three classes
and downgraded the rating on one class in Wachovia Bank Commercial
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
Series 2006-C27
Cl. A-J, Affirmed B1 (sf); previously on February 7, 2017 Affirmed
B1 (sf)
Cl. B, Affirmed Caa1 (sf); previously on February 7, 2017 Affirmed
Caa1 (sf)
Cl. C, Downgraded to Ca (sf); previously on February 7, 2017
Downgraded to Caa3 (sf)
Cl. X-C, Affirmed C (sf); previously on June 9, 2017 Downgraded to
C (sf)
RATINGS RATIONALE
The ratings on Classes A-J and B were affirmed because the ratings
are consistent with expected recovery of principal and interest
from the remaining loans in the pool.
The rating on Class C was downgraded due Moody's base expected loss
plus realized expected loss. Class C has already experienced a 27%
realized loss as a result of previously liquidated loans.
The rating on the IO class, Class X-C, was affirmed based on the
credit quality of the referenced classes.
Moody's rating action reflects a base expected loss of 10.4% of the
current pooled balance, compared to 35.6% at Moody's last review.
Moody's base expected loss plus realized losses is now 10.3% of the
original pooled balance, essentially the same as at the last
review. Moody's provides a current list of base expected losses for
conduit and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.
Additionally, the methodology used in rating Class X-C was "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the October 17, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 95% to $162.5
million from $3.1 billion at securitization. The certificates are
collateralized by four remaining mortgage loans.
Thirty loans have been liquidated from the pool, resulting in an
aggregate realized loss of $301.0 million (for an average loss
severity of 25.1%). One loan, the BlueLinx Holdings Pool ($48.9
million -- 30.1% of the pool) is currently in special servicing.
The loan represents a pari-passu interest of a $97.8 million
mortgage loan. The loan has paid down significantly since
securitization and is now secured by a portfolio of 31 industrial
properties across multiple states. The properties are all master
leased to BlueLinx through June 2026. The Lender and Borrower
entered into an extension of the maturity date in March 2016. The
modification provides for, among other items, up to three years of
extensions to July 2019, subject to annual principal pay down
amounts. The loan is current on its debt service payments but
remains in special servicing.
The three remaining loans not in special servicing represent
approximately 70% of the pool. The largest loan is 500-512 Seventh
Avenue Loan ($96.1 million -- 59.1% of the pool), which represents
a pari-passu portion of a $192.2 million mortgage loan. The loan is
secured by a leasehold interest in three office buildings totaling
1.2 million SF and located in the Garment District of Midtown
Manhattan, New York. The loan previously transferred to special
servicing in September 2016 due to maturity default and a
modification was subsequently executed that included a maturity
date extension to April 2018. The loan returned to the master
servicer in March 2017 and is performing under the terms of the
modification, however, the loan remains on the master servicer's
watchlist. The properties were 73% leased, compared to 67% at the
prior review. Moody's LTV and stressed DSCR are 109.5% and 0.89X,
respectively.
The second largest non-specially serviced loan is the Centennial
Plaza Loan ($11.9 million -- 7.3% of the pool), which is secured by
a 59,630 SF movie theater anchored retail center located in Oxnard,
CA. The loan is fully amortizing, has amortized 24% since
securitization and matures in July 2031. The property was 100%
leased as of June 2017. Moody's LTV and stressed DSCR are 79.9% and
1.22X, respectively.
The other remaining loan is the JC Penney -- Independence, MO Loan
($5.6 million -- 3.4% of the pool), which is secured by single
tenant retail building located in Independence, MO. The entire
building is leased to JC Penney through January 2021. Due to the
single tenant concentration, Moody's value is based on a lit/dark
analysis. Moody's LTV and stressed DSCR are 129.2% and 0.79X,
respectively.
As of the October 2017 remittance statement cumulative interest
shortfalls were $13.8 million and impacted up to Class AJ. Interest
shortfalls are caused by special servicing fees, including workout
and liquidation fees, appraisal entitlement reductions (ASERs),
loan modifications and extraordinary trust expenses.
WFBRS COMMERCIAL 2013-C18: DBRS Confirms B Rating on Cl. F Debt
---------------------------------------------------------------
DBRS Limited corrected a September 12, 2017, press release that did
not include language identifying the material deviation for the
rating action taken on Class PEX of WFRBS Commercial Mortgage Trust
2013-C18. The press release has been amended with the correct
material deviations identified and is available on the DBRS
website.
The revised release is as follows:
On September 12, 2017, DBRS Limited confirmed the ratings on the
Commercial Mortgage Pass-Through Certificates, Series 2013-C18 (the
Certificates) issued by WFRBS Commercial Mortgage Trust 2013-C18 as
follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class PEX at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (sf)
-- Class F at B (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance
exhibited since issuance. At issuance, the collateral consisted of
67 fixed-rate loans secured by 73 commercial properties. As of the
August 2017 remittance, 66 loans remain in the pool with an
aggregate principal balance of $994 million, representing a
collateral reduction of 4.2% since issuance as a result of the
unscheduled repayment of one loan and scheduled loan amortization.
One loan, the Sullivan Center (3.9% of the pool) is secured by
collateral that has been fully defeased. According to YE2016
financial reporting, the transaction had a weighted-average (WA)
debt service coverage ratio (DSCR) and WA debt yield of 2.46 times
(x) and 13.0%, respectively, compared to the DBRS Term DSCR and
DBRS Debt Yield of 2.05x and 11.3% at issuance, respectively.
The pool is concentrated by property type, as 15 loans,
representing 40.4% of the pool, are secured by retail properties
(two loans representing 29.2% of the pool are considered regional
malls), ten loans (21.4% of the pool) are secured by hotel
properties and four loans (18.1% of the pool) are secured by office
properties. The pool is also concentrated by loan size, as the Top
10 and Top 15 loans represent 68.0% and 75.7% of the pool,
respectively. Additionally, the largest three loans represent 42.3%
of the pool. To date, 37 loans (73.0% of the pool) reported
partial-year 2017 net cash flow (NCF) figures, while 59 loans
(98.6% of the pool) reported YE2016 NCF figures. Based on the most
recent cash flows available, the Top 15 loans (excluding
defeasance) reported a WA DSCR of 2.53x, compared to the WA DBRS
Term DSCR of 2.29x, reflective of 11.9% NCF growth over the DBRS
issuance figures.
As of the August 2017 remittance, there is one loan (2.3% of the
pool) in special servicing and eight loans (9.3% of the pool) on
the servicer's watchlist. The Cedar Rapids loan is secured by two
Class A office properties located in Cedar Rapids, Iowa, and was
transferred to special servicing in May 2017 because of delinquency
and technical defaults. Three of the loans (8.4% of the pool) on
the servicer's watchlist are secured by hotel properties, while the
remaining five loans (0.9% of the pool) are secured by co-op
properties. All loans were flagged as a result of
performance-related reasons.
At issuance, DBRS assigned an investment-grade shadow rating to two
loans: Garden State Plaza (Prospectus ID#1, 15.1% of the pool) and
The Outlet Collection – Jersey Gardens (Prospectus ID#3, 14.1% of
the pool). DBRS confirmed that the performance of these loans
remains consistent with the investment-grade loan characteristics.
DBRS has provided updated loan-level commentary [and analysis for
larger and/or pivotal watchlisted loans and specially serviced
loans in the transaction, as well as the Top 15 loans], in the DBRS
commercial mortgage-backed securities (CMBS) IReports platform.
Registration is free.
The ratings assigned to Classes B, C, F, and PEX materially deviate
from the higher rating implied by the quantitative results. DBRS
considers a material deviation to be a rating differential of three
or more notches between the assigned rating and the rating implied
by the quantitative results that is a substantial component of a
rating methodology. The deviations are warranted because of the
sustainability of loan performance trends not demonstrated.
Notes: All figures are in USD unless otherwise noted.
[*] DBRS Reviews 22 Ratings of 5 US ABS Transactions
----------------------------------------------------
DBRS, Inc., on Sept. 14, 2017, reviewed 22 ratings from five U.S.
structured finance asset-backed securities (ABS) transactions. Of
the classes reviewed, DBRS confirmed 11 classes, upgraded eight
classes and discontinued three classes that were repaid. For the
ratings that were confirmed and upgraded, performance trends are
such that credit enhancement levels are sufficient to cover DBRS's
expected losses at their current and new respective rating levels.
The issuer's ratings are based on DBRS's review of the following
analytical considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- The transaction parties' capabilities with regard to
origination, underwriting and servicing.
-- Credit quality of the collateral pool and historical
performance.
Notes: The principal methodology is DBRS Master U.S. ABS
Surveillance Methodology, which can be found on dbrs.com under
Methodologies.
The rated entity or its related entities did participate in the
rating process. DBRS had access to the accounts and other relevant
internal documents of the rated entity or its related entities.
A list of the Affected Ratings is available at:
http://bit.ly/2AyWuEc
[*] Moody's Hikes $58.6MM of Prime Jumbo RMBS Issued 2016
---------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 12 tranches
from two transactions backed by Prime Jumbo RMBS loans, issued in
2016. Both deals are backed by pools of prime quality, first-lien,
fixed rate mortgage loans. The borrowers in the pools have high
FICO scores, significant equity in their properties and liquid cash
reserves.
The complete rating actions are:
Issuer: J.P. Morgan Mortgage Trust 2016-1
Cl. A-13, Upgraded to Aaa (sf); previously on Jun 30, 2016
Definitive Rating Assigned Aa1 (sf)
Cl. A-14, Upgraded to Aaa (sf); previously on Jun 30, 2016
Definitive Rating Assigned Aa1 (sf)
Cl. B-1, Upgraded to Aa1 (sf); previously on Jun 30, 2016
Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Upgraded to Aa3 (sf); previously on Jun 30, 2016
Definitive Rating Assigned A2 (sf)
Cl. B-3, Upgraded to A3 (sf); previously on Jun 30, 2016 Definitive
Rating Assigned Baa3 (sf)
Cl. B-4, Upgraded to Baa3 (sf); previously on Jun 30, 2016
Definitive Rating Assigned Ba3 (sf)
Cl. A-X-1, Upgraded to Aaa (sf); previously on Jun 9, 2017
Downgraded to Aa1 (sf)
Cl. A-X-2, Upgraded to Aaa (sf); previously on Jun 9, 2017
Downgraded to Aa1 (sf)
Cl. A-X-8, Upgraded to Aaa (sf); previously on Jun 30, 2016
Definitive Rating Assigned Aa1 (sf)
Issuer: Sequoia Mortgage Trust 2016-1
Cl. B-2, Upgraded to A2 (sf); previously on Jun 8, 2016 Definitive
Rating Assigned Baa1 (sf)
Cl. B-3, Upgraded to Baa3 (sf); previously on Jun 8, 2016
Definitive Rating Assigned Ba1 (sf)
Cl. B-4, Upgraded to Ba3 (sf); previously on Jun 8, 2016 Definitive
Rating Assigned B1 (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to an increase in credit
enhancement available to the bonds and a decrease in Moody's
projected pool losses (see link below). The actions reflect the
strong performance of the underlying pools with minimal serious
delinquencies till date. Moreover, high voluntary prepayment rates
since issuance have contributed to large increases in percentage
credit enhancement levels for upgraded bonds. The transaction
structures further benefit from credit enhancement floors that
protect against tail risk. Moody's updated loss expectations on the
pools incorporate, amongst other factors, Moody's assessment of the
representations and warranties frameworks of the transactions, the
due diligence findings of the third party review received at the
time of issuance, and the strength of the transaction's originators
and servicers.
The principal methodology used in these ratings was "Moody's
Approach to Rating US Prime RMBS" published in February 2015.
Additionally, the methodology used in rating J.P. Morgan Mortgage
Trust 2016-1 Cl. A-X-1, Cl. A-X-2, Cl. A-X-8 "Moody's Approach to
Rating Structured Finance Interest-Only (IO) Securities" published
in June 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
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.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] Moody's Takes Action on $100MM of Alt-A Issued 1999-2006
------------------------------------------------------------
Moody's Investors Service has upgraded ratings of 12 tranches and
downgraded two tranches from five transactions backed by Alt-A and
Option ARM mortgage loans, issued by multiple issuers.
Complete rating actions are:
Issuer: GreenPoint Mortgage Funding Trust 2006-AR6
Cl. 2-A1, Upgraded to B2 (sf); previously on Jan 12, 2016 Upgraded
to Caa1 (sf)
Issuer: Impac CMB Trust Series 2003-11
Cl. 1-A-1, Upgraded to A1 (sf); previously on Nov 22, 2016 Upgraded
to A2 (sf)
Cl. 1-A-2, Upgraded to A3 (sf); previously on Nov 22, 2016 Upgraded
to Baa1 (sf)
Cl. 1-M-1, Upgraded to Baa1 (sf); previously on Nov 22, 2016
Upgraded to Baa2 (sf)
Cl. 1-M-2, Upgraded to Baa2 (sf); previously on Nov 22, 2016
Upgraded to Baa3 (sf)
Cl. 1-M-3, Upgraded to Baa2 (sf); previously on Nov 22, 2016
Upgraded to Baa3 (sf)
Issuer: Impac Secured Assets Corp. Mortgage Pass-Through
Certificates, Series 2004-2
Cl. A-5, Upgraded to Ba1 (sf); previously on Mar 4, 2015 Upgraded
to Ba3 (sf)
Cl. A-6, Upgraded to Baa3 (sf); previously on Mar 4, 2015 Upgraded
to Ba2 (sf)
Issuer: PAMEX Mortgage Trust 1999-A
M-1, Downgraded to Ba3 (sf); previously on Aug 29, 2013 Downgraded
to Ba1 (sf)
M-2, Downgraded to B3 (sf); previously on Oct 15, 2012 Downgraded
to B1 (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-16XS
Cl. A-1, Upgraded to Aaa (sf); previously on Nov 22, 2016 Upgraded
to Aa3 (sf)
Cl. A-2A, Upgraded to Aa1 (sf); previously on Nov 22, 2016 Upgraded
to A1 (sf)
Cl. A-2B, Upgraded to Aa1 (sf); previously on Nov 22, 2016 Upgraded
to A1 (sf)
Cl. A-3, Upgraded to Aa2 (sf); previously on Nov 22, 2016 Upgraded
to A3 (sf)
RATINGS RATIONALE
The rating actions reflect the recent performance of the underlying
pools and Moody's updated loss expectations on those pools. The
rating upgrades are primarily due to improvement of credit
enhancement available to the bonds and/or expected losses on the
collateral. The rating downgrades on PAMEX Mortgage Trust 1999-A
are due to the increase in dellinquencies in the underlying pool
over the past year and Moody's projected expected loss on the pool
(see link below).
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to macroeconomic
uncertainty, and in particular the unemployment rate. The
unemployment rate fell to 4.2% in September 2017 from 4.9% in
September 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.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
[*] S&P Takes Various Actions on 77 Classes From 21 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 77 classes from 21 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2001 and 2006. All of these transactions are backed by
subprime, second-lien high loan-to-value (LTV), closed-end
second-lien, or home equity line of credit (HELOC) collateral. The
review yielded 13 upgrades, one downgrade, 48 affirmations and 15
discontinuances.
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 missed interest payments;
-- Priority of principal payments;
-- Proportion of reperforming loans in the pool; and
-- Available subordination and/or overcollateralization.
Rating Actions
The affirmations of ratings reflect S&P's opinion that S&P's
projected credit support and collateral performance on these
classes has remained relatively consistent with our prior
projections.
Classes M-1 and M-2 from Home Equity Asset Trust Series 2002-2 were
raised from 'D (sf)' to 'B (sf)' and 'CCC (sf)', respectively.
These classes were previously downgraded to 'D (sf)' because of
missed interest payments. These missed interest payments were fully
reimbursed in August 2015. S&P believes these classes have credit
support that is sufficient to withstand losses at these higher
rating levels.
A list of Affected Ratings can be viewed at:
http://bit.ly/2hQcqtU
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
TCR subscribers have free access to our on-line news archive.
Point your Web browser to http://TCRresources.bankrupt.com/and use
the e-mail address to which your TCR is delivered to login.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman,
Editors.
Copyright 2017. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The TCR subscription rate is $975 for 6 months delivered via
e-mail. Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each. For subscription information, contact Peter A.
Chapman at 215-945-7000 or Nina Novak at 202-362-8552.
*** End of Transmission ***