/raid1/www/Hosts/bankrupt/TCR_Public/171231.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, December 31, 2017, Vol. 21, No. 364
Headlines
APIDOS CLO XXVIII: S&P Assigns BB-(sf) Rating on Class D Notes
BEAR STEARNS 2005-TOP20: Fitch Lowers Class E Debt Rating to Bsf
CANADIAN COMMERCIAL 2013-2: DBRS Confirms B Rating on Cl. G Certs
CARBONE CLO: Moody's Assigns Ba3 Rating to Class D Notes
CARNOW AUTO 2015-1: S&P Affirms B Rating on Class E Notes
CATAMARAN CLO 2015-1: S&P Affirms BB Rating on Class E Notes
CIFC FUNDING 2015-I: Moody's Assigns B3 Rating to Class F-RR Notes
CIFC FUNDING 2015-II: Moody's Assigns Ba3 Rating to Cl. E-R Notes
CITIGROUP COMMERCIAL 2016-GC36: Fitch Affirms B- Rating on F Certs
COMM 2016-CCRE28: Fitch Affirms 'B-sf' Rating on Cl. G Certs
CREDIT SUISSE 2007-C5: Fitch Affirms CCsf Rating on Cl. A-M Certs
CSAIL 2016-C7: DBRS Confirms BB Rating on Class X-F Certs
CSMC TRUST 2016-MFF: DBRS Confirms BB(low) Rating on Cl. F Certs
DRYDEN 37: Moody's Assigns B3(sf) Rating to Class FR Notes
DT AUTO 2017-4: DBRS Finalizes BB Rating on Class E Notes
EATON VANCE 2015-1: Moody's Assigns B3(sf) Rating to Cl. F-R Notes
FREDDIE MAC 2005-S001: Moody's Lowers Cl. X Debt Rating to Ca
GS MORTGAGE 2005-ROCK: S&P Affirms BB+(sf) Rating on Cl. J Certs
HSI ASSET 2006-OPT1: Moody's Hikes Class M-2 Debt Rating to B1
IMPACT FUNDING 2014-1: DBRS Confirms B Rating on Class F Certs
JP MORGAN 2004-CIBC8: Moody's Lowers Cl. X-1 Debt Rating to C(sf)
JP MORGAN 2007-CIBC20: Fitch Hikes Class B Debt Rating to Bsf
KDAC AVIATION: S&P Assigns BB Rating on $722.50MM Cl. C Notes
LCM LTD 26: S&P Assigns Prelim BB- Rating on Class E Notes
MORGAN STANLEY 2004-IQ7: Fitch Affirms BBsf Ratings on 2 Tranches
MORGAN STANLEY 2017-HR2: Fitch Rates Cl. H-RR Debt 'B-sf'
NASSAU LTD 2017-II: Moody's Assigns Ba3 Rating to Class E Notes
OAKTREE CLO 2015-1: S&P Assigns BB Rating on Class D-R Notes
OHA CREDIT XV: S&P Assigns BB- Rating on Class E Notes
REGATTA X FUNDING: Moody's Assigns Ba3 Rating to Class E Notes
SDART 2016-1: Fitch Affirms 'BBsf' Rating on Cl. E Debt
TRAPEZA CDO X: Moody's Ups Rating on 3 Tranches to Caa3
TRINITAS CLO VII: Moody's Assigns Ba3 Rating to Class E Notes
UBS COMMERCIAL 2017-C7: Fitch Assigns B- Rating to Cl. G-RR Certs
VENTURE CLO XX: S&P Affirms B Rating on Class F Notes
VOYA CLO 2014-3: Moody's Affirms B2(sf) Rating on Cl. E Notes
VOYA CLO 2015-1: Moody's Assigns B3(sf) Rating to Class E-R Notes
WELLS FARGO 2016-NXS5: Fitch Affirms B-sf Rating on 2 Tranches
WELLS FARGO 2017-C42: Fitch Assigns 'B-sf' Rating on 2 Tranches
WELLS FARGO 2017-SMP: Moody's Assigns Ba3 Rating to Cl. E Certs
[*] Moody's Withdraws $250MM of RMBS Issued 2003-2007
[*] S&P Lowers Five Ratings From Two U.S. CMBS Deals to 'D'
[*] S&P Takes Various Action on 50 Classes From Nine RMBS Deals
[*] S&P Takes Various Actions on 51 Classes From 12 US RMBS Deals
[*] S&P Takes Various Actions on 90 Classes From 12 US RMBS Deals
[*] S&P Takes Various Rating on 41 Classes From 11 U.S. RMBS Deals
[*] US CMBS Conduit/Fusion Loans Delinquencies Down in November
*********
APIDOS CLO XXVIII: S&P Assigns BB-(sf) Rating on Class D Notes
--------------------------------------------------------------
S&P Global Ratings today assigned its ratings to Apidos CLO
XXVIII/Apidos CLO XXVIII LLC's $637.50 million floating-rate
notes.
The note issuance is a collateralized loan obligation (CLO)
transaction backed primarily by broadly syndicated senior secured
term loans.
The rating reflects:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATING ASSIGNED
Apidos CLO XXVIII/Apidos CLO XXVIII LLC
Class Rating Amount (mil. $)
A-1A AAA (sf) 435.00
A-1B NR 52.50
A-2 AA (sf) 70.50
B A (sf) 51.00
C BBB- (sf) 51.00
D BB- (sf) 30.00
Subordinated notes NR 78.35
NR--Not rated.
BEAR STEARNS 2005-TOP20: Fitch Lowers Class E Debt Rating to Bsf
----------------------------------------------------------------
Fitch Ratings has downgraded three and affirmed ten classes of Bear
Stearns Commercial Mortgage Securities Trust, commercial mortgage
pass-through certificates series 2005-TOP20 (BSCMI 2005-TOP20).
KEY RATING DRIVERS
The downgrades reflect increased loss expectations and continued
underperformance of the largest asset in the pool, Lakeforest Mall,
which became real-estate owned (REO) in August 2017.
Pool Concentrations; Adverse Selection: The pool is highly
concentrated with 11 loans/assets remaining. The two specially
serviced assets are REO and comprise 79.1% of the pool. The
majority of the non-specially serviced loans are located in
secondary and tertiary markets. One loan (3.3% of current pool) has
been defeased. Due to the concentrated nature of the pool, Fitch
performed a sensitivity analysis that grouped the remaining loans
based on loan structural features, collateral quality and
performance, which ranked them by their perceived likelihood of
repayment. The ratings and Outlooks reflect this analysis.
REO Assets: Fitch's loss expectations on the Lakeforest Mall asset
(71.1% of current pool) have increased as the property continues to
experience declining occupancy and tenant sales trends. The
Lakeforest Mall asset consists of a 409,965 square foot (sf) inline
portion of a 1.1 million sf regional mall located in Gaithersburg,
MD. Non-collateral anchors include Sears, Macy's, JC Penney and
Lord & Taylor. Collateral occupancy has declined to 76.5% as of
August 2017, from 80.5% at year-end (YE) 2016, 84% at YE 2015 and
93% at YE 2014. Per the latest sales report provided by the
servicer, in-line collateral tenant sales have also declined to
$241 per square foot (psf) in 2016, from $287 psf in 2015 and $373
in 2004 around the time of issuance. The special servicer continues
to evaluate REO disposition strategies.
The loan had previously transferred to special servicing in July
2010 for maturity default and has had the maturity date extended
twice to September 2017. In August 2012, the loan was modified into
an A note and B note, and the property was sold to a new sponsor
while in special servicing. As part of the purchase, the sponsor
paid down the loan balance by $20.5 million and assumed an $82
million A note, while the $34.1 million B notes (which included
$19.4 million of subordinate debt secured by the class LF bond)
were written off for a full loss. The loan most recently
transferred to special servicing in July 2016 after the borrower
had requested a loan modification due to refinancing challenges
stemming from declining occupancy and lower cash flow. The A-note
went into payment default at the January 2017 payment date.
The other REO asset, Mercado Fiesta Center (7.9% of pool), is a
71,157 sf neighborhood retail shopping center located in Mesa, AZ.
The loan transferred to special servicing in May 2015 due to
imminent default. Property cash flow has been negatively impacted
from declining occupancy since issuance. As a result, the borrower
was unable to secure refinancing prior to the loan maturing in
September 2015. The asset became REO as of July 2016. Occupancy as
of August 2017 was 51.6%, which represents further decline from 57%
at YE 2016, 68% at YE 2015 and 97% at issuance. Tenants that have
recently vacated include Regency Beauty School, Mattress Firm and
Starbucks. Upcoming rollover includes the second largest tenant
(7.2% of net rentable area [NRA]), which has a lease expiring at
the end of January 2018. Month-to-month tenants comprise 13.6% of
the NRA. The special servicer has reported the plan is to continue
to lease up the asset and market for sale during the second quarter
of 2018.
Loan Maturities: Excluding the two REO assets, the remaining loans
mature in 2020 (5 loans; 5.7% of pool) and 2025 (four loans;
15.2%).
As of the December 2017 distribution date, the pool's aggregate
principal has been reduced by 94.7% to $111.2 million from $2.07
billion. Cumulative interest shortfalls totaling $2.9 million are
currently affecting classes F through L, N, P, Q and LF.
RATING SENSITIVITIES
The Negative Outlooks on classes D and E reflect concerns
surrounding the Lakeforest Mall asset. Downgrades are possible if
performance declines further or if losses exceed Fitch's
expectation should a prolonged workout occur. In addition, with the
increasing pool concentration and adverse selection, additional
loan defaults may also lead to further downgrades. Distressed
classes are subject to future downgrades as losses are realized.
Fitch has downgraded the following classes:
-- $28.5 million class E to 'Bsf' from 'BBBsf'; Outlook Negative;
-- $18.1 million class F to 'Csf' from 'Bsf'; RE 35%;
-- $18.1 million class G to 'Csf' from 'CCsf'; RE 0%.
Fitch has affirmed and revised Rating Outlooks as indicated:
-- $14.5 million class D at 'Asf'; Outlook to Negative from
Stable;
-- $23.3 million class H at 'Csf'; RE 0%;
-- $8.6 million class J at 'Dsf'; RE 0%;
-- Class K at 'Dsf'; RE 0%;
-- Class L at 'Dsf'; RE 0%;
-- Class M at 'Dsf'; RE 0%;
-- Class N at 'Dsf'; RE 0%;
-- Class O at 'Dsf'; RE 0%;
-- Class P at 'Dsf'; RE 0%;
-- Class LF at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-AB, A-4A, A-4B, A-J, B, and C
certificates have paid in full. Fitch does not rate the class Q
certificates. Fitch previously withdrew ratings on interest-only
class X certificates.
CANADIAN COMMERCIAL 2013-2: DBRS Confirms B Rating on Cl. G Certs
-----------------------------------------------------------------
DBRS Limited confirmed the ratings of the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2013-2 issued
by Canadian Commercial Mortgage Origination Trust, Series 2013-2 as
follows:
-- Class A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class X at A (sf)
-- Class C at A (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
-- Class G at B (sf)
In addition, DBRS maintained the Positive trend for Class C. All
other trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction. At issuance, the collateral for this transaction
consisted of 42 loans secured by 49 properties with an issuance
trust balance of $394.0 million. All loans in the pool were
structured with five-year terms and are scheduled to mature in 2017
and 2018. As of the October 2017 remittance, 32 loans remain in the
trust with an outstanding aggregate balance of $295.3 million,
which represents a collateral reduction of 25.0%. Ten loans were
repaid from the trust, with those repayments (combined with
scheduled amortization) resulting in a principal paydown of $65.1
million since issuance. All but two of the remaining loans in the
pool as of the October 2017 remittance are scheduled to mature by
December 2018. Those two loans maturing this year represent 4.9% of
the current pool balance and are scheduled to mature in December
2017. The largest loan in the pool, Playfair Residences (Prospectus
ID#1, 11.8% of the current pool balance) is scheduled to mature in
April 2018.
There are 26 loans, representing 71.3% of the current pool balance,
that benefit from recourse guarantees from the respective sponsors.
Historically, the Canadian commercial mortgage-backed security
delinquency rate has remained relatively low, and loans with
borrowers that have provided partial or full recourse guarantees
have exhibited a higher likelihood for repayment at maturity as
compared with loans with no recourse guarantee.
The top ten loans in the pool, representing 60.2% of the current
pool balance, exhibited stable performance overall. According to
YE2016 financials, those loans reported a weighted-average
debt-service coverage ratio 1.56 times and debt yield of 10.5%,
representing a year-over-year growth of 4.2%.
Eight loans, representing 21.4% of the pool, share a common
sponsorship in affiliates of Northview Apartment REIT and True
North Commercial REIT. To account for this increased concentration
risk, DBRS applied a penalty to all loans in the pool, thereby
elevating the probability of default in the analysis. As of the
October 2017 remittance, there are no loans in special servicing or
on the servicer's watchlist; however, loans with an upcoming
maturity date should already be on or should soon be placed on the
watchlist as per the Commercial Real Estate Finance Council
watchlist criteria, which states that loans are to be added to the
watchlist 90 days prior to the maturity date.
Class X is an interest-only (IO) certificate that references
multiple rated tranches. The rating assigned to Class X materially
deviates from the lower ratings implied by the quantitative
results. DBRS considers a material deviation to be a rating
differential of three or more notches between the assigned rating
and the rating implied by the quantitative results that is a
substantial component of a rating methodology. The deviation is
warranted as consideration was given for the actual loan,
transaction and sector performance when a rating based on the
lowest rated notional class may not reflect the observed risk.
Notes: All figures are in Canadian dollars unless otherwise noted.
CARBONE CLO: Moody's Assigns Ba3 Rating to Class D Notes
--------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Carbone CLO, Ltd.
Moody's rating action is:
US$325,000,000 Class A-1 Senior Secured Floating Rate Notes due
2031 (the "Class A-1 Notes"), Assigned Aaa (sf)
US$55,000,000 Class A-2 Senior Secured Floating Rate Notes due 2031
(the "Class A-2 Notes"), Assigned Aa2 (sf)
US$27,500,000 Class B Deferrable Mezzanine Secured Floating Rate
Notes due 2031 (the "Class B Notes"), Assigned A2 (sf)
US$30,000,000 Class C Deferrable Mezzanine Secured Floating Rate
Notes due 2031 (the "Class C Notes"), Assigned Baa3 (sf)
US$22,500,000 Class D Deferrable Junior Secured Floating Rate Notes
due 2031 (the "Class D Notes"), Assigned Ba3 (sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the
Class C Notes and the Class D Notes are referred to herein,
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.
Carbone CLO is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 95.0% of the portfolio must consist of
first lien senior secured loans, and up to 5.0% of the portfolio
may consist of senior unsecured loans, second lien loans and
first-lien last out loans. The portfolio is approximately 87%
ramped as of the closing date.
Invesco RR Fund L.P. (the "Manager") will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's 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: $500,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2983
Weighted Average Spread (WAS): 3.35%
Weighted Average Coupon (WAC): 7.0%
Weighted Average Recovery Rate (WARR): 49.0%
Weighted Average Life (WAL): 9 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
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 2983 to 3430)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -2
Class B Notes: -2
Class C Notes: -1
Class D Notes: 0
Percentage Change in WARF -- increase of 30% (from 2983 to 3878)
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
CARNOW AUTO 2015-1: S&P Affirms B Rating on Class E Notes
---------------------------------------------------------
S&P Global Ratings raised its ratings on the class C and D notes
from CarNow Auto Receivables Trust 2015-1 (CNART 2015-1). At the
same time, S&P affirmed its ratings on the class E notes.
S&P said, "The rating actions reflect the series' collateral
performance to date, our views regarding future collateral
performance, the transaction's structure, available credit
enhancement, and our analysis of existing loss coverage levels.
Additionally, we incorporated secondary credit factors, such as
credit stability, payment priorities under certain scenarios, our
economic forecast, and sector- and issuer-specific analyses.
Furthermore, our review included a cash flow analysis for the
transaction. Based on all of these factors, we consider the notes'
creditworthiness consistent with the raised and affirmed ratings.
The maximum potential ratings on these notes are capped at 'A
(sf)'.
"In our view, series 2015-1 is performing worse than the issuer's
previous securitizations and worse than originally expected,
largely due to competitive pressures decreasing the credit quality
of borrowers available for the issuer to book, and weaker
underwriting. After 27 months of performance, it has a pool factor
of 20.47% and has experienced cumulative net losses (CNL) of
32.67%. Our original expected CNL at issuance was 26.50%-27.50%. In
December 2016, we revised our expected CNL upward to 33.00%-34.00%.
Given continued weak and volatile collateral performance, we
further revised our expected CNL upward to 33.75%-34.25% in
November 2017. We ran several cash flow scenarios and we believe
the ratings are adequately supported at this revised CNL level."
Table 1
Collateral Performance (%)
As of the December 2017 distribution date
Collateral Current 60+ day
Series Month pool factor CNL delinquency
2015-1 27 20.47 32.67 4.30
Table 2
CNL Expectations (%)
Former Revised
lifetime lifetime
Series CNL exp. CNL exp.
(as of November 2017)
2015-1 33.00-34.00 33.75-34.25
CNL exp.--Cumulative net loss expectations.
Series 2015-1 has a sequential principal payment priority and is
structured with credit enhancements consisting of
overcollateralization (O/C), a reserve account, subordination for
the higher classes, and excess spread. The transaction's reserve
account is non-amortizing and is at its target level. The series
2015-1 O/C amount reached its target level approximately three
months after closing, but has steadily declined since then. In
October 2016, the sponsor, Byrider Finance LLC, made a capital
contribution of approximately $4 million to pay down the senior
notes. This paydown of the senior notes did not raise the O/C to
its target level. Additionally, the O/C level has continued to
steadily fall since that capital contribution. The O/C currently
stands at approximately 24% of its target level. Despite the
continued decrease in O/C, the hard credit enhancement available to
the class C and D notes has increased steadily since closing.
However, given its junior position in the capital structure, the
hard credit enhancement available to the class E notes has steadily
decreased since closing, leaving this class most susceptible to
pool underperformance and volatility. S&P said, "If the pace of
losses and note paydown remains constant relative to recent
performance, we expect the O/C level to turn negative in
approximately five months. We further expect the transaction's pool
factor to fall below the optional clean-up call percentage (15%)
around the same period, making the transaction eligible for
optional redemption. In our cash flow scenarios, we analyzed the
pool's performance to final maturity and our ratings are to timely
payment of interest and ultimate payment of principal by final
maturity. Our analysis indicates the ratings are adequately
supported at the raised and affirmed levels."
Table 3
Hard Credit Support (%)
As of the December 2017 distribution date
Total hard Current total hard
credit support credit support
Series Class at issuance(i) (% of current)(i)
2015-1 C 27.75 63.76
2015-1 D 23.00 40.55
2015-1 E 17.50 13.68
(i)Consists of overcollateralization, a reserve account, and
subordination for the higher classes, and excludes excess spread
that can also provide additional enhancement.
S&P said, "We conducted a cash flow analysis to assess the
tranches' loss coverage levels, giving credit to excess spread. Our
various cash flow scenarios included forward-looking stressed
assumptions on recoveries, timing of losses, and voluntary absolute
prepayment speeds that we believe are appropriate given the series
2015-1's current performance and ratings. We also conducted a
sensitivity analysis to determine the impact that a moderate
('BBB') stress scenario would have on our ratings if losses were to
begin trending higher than our revised loss expectation, all else
constant. Our results show that the raised and affirmed ratings on
the series 2015-1 notes are consistent with our rating stability
criteria, which outline the outer bound of credit deterioration for
any given security under specific, hypothetical stress scenarios."
The combined cash flow results demonstrate that the classes
reviewed currently have adequate credit enhancement at the
respective raised and affirmed rating levels. S&P will continue to
monitor the transaction's performance to ensure that the credit
enhancement remains sufficient, in its view, to cover its expected
CNL under stress scenarios commensurate with each of the rated
classes.
RATINGS RAISED
CarNow Auto Receivables Trust 2015-1
Rating
Class To From
C A (sf) BBB (sf)
D A (sf) BB (sf)
RATINGS AFFIRMED
CarNow Auto Receivables Trust 2015-1
Class Rating
E B (sf)
CATAMARAN CLO 2015-1: S&P Affirms BB Rating on Class E Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-R, B-R, C-1-R, C-2-R, and D-R notes from Catamaran CLO 2015-1
Ltd., a U.S. collateralized loan obligation (CLO) transaction
managed by Trimaran Advisors Management LLC. S&P said "We withdrew
our ratings on the original class A, B, C-1, C-2, and D notes from
this transaction after they were fully redeemed. We also affirmed
our rating on the class E note.
The new notes are being issued via a supplemental indenture. On the
Dec. 21, 2017, refinancing date, the proceeds from the new note
issuances were used to redeem the original notes as outlined in the
transaction document provisions. S&P said, "Therefore, we are
withdrawing the ratings on the original notes in line with their
full redemption, and assigning final ratings to the new notes. The
class E note is not affected by the changes in the supplemental
indenture. We affirmed our rating on the E note."
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"The assigned ratings reflect our opinion that the credit support
available is commensurate with the associated rating levels.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take rating actions as we
deem necessary."
RATINGS ASSIGNED
Catamaran CLO 2015-1 Ltd.
New class Rating Amount (mil $)
A-R AAA (sf) 287.40
B-R AA (sf) 45.90
C-1-R A (sf) 32.40
C-2-R A (sf) 8.00
D-R BBB (sf) 20.00
RATINGS WITHDRAWN
Catamaran CLO 2015-1 Ltd.
Rating
Original class To From
A NR AAA (sf)
B NR AA (sf)
C-1 NR A (sf)
C-2 NR A (sf)
D NR BBB (sf)
RATING AFFIRMED
Catamaran CLO 2015-1 Ltd.
Class Rating
E BB (sf)
OUTSTANDING CLASS
Catamaran CLO 2015-1 Ltd.
Class Rating
Subordinate notes NR
NR--Not rated.
CIFC FUNDING 2015-I: Moody's Assigns B3 Rating to Class F-RR Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
CLO refinancing notes (the "Refinancing Notes") issued by CIFC
Funding 2015-I, Ltd.:
Moody's rating action is:
U.S.$390,150,000 Class A-RR Senior Secured Floating Rate Notes due
2031 (the "Class A-RR Notes"), Assigned Aaa (sf)
U.S.$66,000,000 Class B-RR Senior Secured Floating Rate Notes due
2031 (the "Class B-RR Notes"), Assigned Aa2 (sf)
U.S.$32,400,000 Class C-RR Mezzanine Secured Deferrable Floating
Rate Notes due 2031 (the "Class C-RR Notes"), Assigned A2 (sf)
U.S.$36,600,000 Class D-RR Mezzanine Secured Deferrable Floating
Rate Notes due 2031 (the "Class D-RR Notes"), Assigned Baa3 (sf)
U.S.$27,500,000 Class E-RR Mezzanine Secured Deferrable Floating
Rate Notes due 2031 (the "Class E-RR Notes"), Assigned Ba3 (sf)
U.S.$10,500,000 Class F-RR Mezzanine Secured Deferrable Floating
Rate Notes due 2031 (the "Class F-RR Notes"), Assigned B3 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
CIFC VS Management LLC (the "Manager") manages the CLO. It directs
the selection, acquisition, and disposition of collateral on behalf
of the Issuer.
RATINGS RATIONALE
Moody's ratings on the Refinancing Notes address the expected
losses posed to noteholders. The ratings reflect the risks due to
defaults on the underlying portfolio of assets, the transaction's
legal structure, and the characteristics of the underlying assets.
The Issuer has issued the Refinancing Notes on December 21, 2017
(the "Refinancing Date") in connection with the refinancing of all
classes of the secured notes (the "Refinanced Notes") previously
issued on December 8, 2016 (Class A-1R Notes, Class A-2R Loans,
Class A-2R Notes, Class B-R Notes, and Class C-R Notes) and March
19, 2015 (the "Original Closing Date," Class D Notes, Class E-1
Notes, Class E-2 Notes, and Class F Notes). On the Refinancing
Date, the Issuer used proceeds from the issuance of the Refinancing
Notes to redeem in full the Refinanced Notes.
In addition to the issuance of the Refinancing Notes a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; and changes to the
overcollateralization test levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Performing par and principal proceeds balance: $597,699,339
Defaulted par: $865,213
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2931
Weighted Average Spread (WAS): 3.50%
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 9.0 years
Methodology Underlying the Rating Action:
The principal methodology used these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or a Downgrade of the
Ratings:
The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Refinancing Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Refinancing
Notes (shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2931 to 3371)
Rating Impact in Rating Notches
Class A-RR Notes: -1
Class B-RR Notes: -2
Class C-RR Notes: -2
Class D-RR Notes: -1
Class E-RR Notes: 0
Class F-RR Notes: 0
Percentage Change in WARF -- increase of 30% (from 2931 to 3810)
Rating Impact in Rating Notches
Class A-RR Notes: -1
Class B-RR Notes: -4
Class C-RR Notes: -4
Class D-RR Notes: -2
Class E-RR Notes: -1
Class F-RR Notes: -3
CIFC FUNDING 2015-II: Moody's Assigns Ba3 Rating to Cl. E-R Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned the following ratings to the
following notes (the "Refinancing Notes") issued by CIFC Funding
2015-II, Ltd.:
US$325,000,000 Class A-R Senior Secured Floating Rate Notes due
2027 (the "Class A-R Notes"), Assigned Aaa (sf)
US$55,000,000 Class B-R Senior Secured Floating Rate Notes due 2027
(the "Class B-R Notes"), Assigned Aa2 (sf)
US$26,700,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2027 (the "Class C-R Notes"), Assigned A2 (sf)
US$30,300,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2027 (the "Class D-R Notes"), Assigned Baa3 (sf)
US$23,000,000 Class E-R Junior Secured Deferrable Floating Rate
Notes due 2027 (the "Class E-R Notes"), Assigned Ba3 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of senior secured, broadly syndicated corporate loans.
CIFC VS Management LLC (the "Manager") manages the CLO. It directs
the selection, acquisition, and disposition of collateral on behalf
of the Issuer.
RATINGS RATIONALE
Moody's ratings on the Refinancing Notes address the expected loss
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 December 21, 2017
(the "Refinancing Date") in connection with the refinancing of
certain classes of notes (the "Refinanced Original Notes")
previously issued on the Original Closing Date. On the Refinancing
Date, the Issuer used the proceeds from the issuance of the
Refinancing Notes to redeem in full the Refinanced Original Notes.
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 each class of the Issuer's notes is subject to
uncertainty relating to certain factors and circumstances, and this
uncertainty could lead Moody's to change its ratings:
1) Macroeconomic uncertainty: CLO performance is subject to
uncertainty about credit conditions in the general economy.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the Manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO documentation
by the Manager or other transaction parties owing to embedded
ambiguities.
3) Collateral credit risk: Investing in collateral of better credit
quality, or better than Moody's expected credit performance of the
assets collateralizing the transaction can lead to positive CLO
performance. Conversely, a negative shift in the credit quality or
performance of the collateral can have adverse consequences for CLO
performance.
4) Deleveraging: During the amortization period, the pace of
deleveraging from unscheduled principal proceeds is an important
source of uncertainty. Deleveraging of the CLO could accelerate
owing to high prepayment levels in the loan market and/or
collateral sales by the Manager, which could have a significant
impact on the ratings. Note repayments that are faster than Moody's
current expectations will usually have a positive impact on CLO
notes, beginning with those notes having the highest payment
priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets could result in volatility in the deal's
overcollateralization levels. Further, the timing of recovery
realization and whether the Manager decides to work out or sell
defaulted assets create additional uncertainty. Realization of
recoveries that are either materially higher or lower than assumed
in Moody's analysis would impact the CLO positively or negatively,
respectively.
6) Weighted average life: The notes' ratings can be sensitive to
the weighted average life assumption of the portfolio, which could
lengthen owing to any decision by the Manager to reinvest into new
issue loans or loans with longer maturities, or participate in
amend-to-extend offerings. Life extension can increase the default
risk horizon and assumed cumulative default probability of CLO
collateral.
7) Weighted Average Spread (WAS): CLO performance can be sensitive
to WAS, which is a key factor driving the amount of excess spread
available as credit enhancement when a deal fails its
over-collateralization or interest coverage tests. A decrease in
excess spread, including as a result of losing the net interest
benefit of LIBOR floors, or because market conditions make it
difficult for the deal to source assets of appropriate credit
quality in order to maintain its WAS target, would reduce the
effective credit enhancement available for the notes.
Together with the set of modeling assumptions described below,
Moody's conducted additional sensitivity analyses, which were
considered in determining the ratings assigned to the rated notes.
In particular, in addition to the base case analysis, Moody's
conducted sensitivity analyses to test the impact of a number of
default probabilities on the rated notes relative to the base case
modeling results. Below is a summary of the impact of different
default probabilities, expressed in terms of WARF level, on the
rated notes (shown in terms of the number of notches difference
versus the base case model output, where a positive difference
corresponds to a lower expected loss):
Moody's Assumed WARF - 20% (2717)
Class A-R: 0
Class B-R: +2
Class C-R: +2
Class D-R: +2
Class E-R: +1
Moody's Assumed WARF + 20% (4075)
Class A-R: 0
Class B-R: -2
Class C-R: -3
Class D-R: -1
Class E-R: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
recovery rate, and weighted average spread, 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: $498,127,808
Defaulted par: $826,625
Diversity Score: 72
Weighted Average Rating Factor (WARF): 3396 (corresponding to a
weighted average default probability of 27.35%)
Weighted Average Spread (WAS): 3.62%
Weighted Average Recovery Rate (WARR): 48.59%
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of the
assets in the collateral pool. In each case, historical and market
performance and the collateral manager's latitude for trading the
collateral are also factors.
CITIGROUP COMMERCIAL 2016-GC36: Fitch Affirms B- Rating on F Certs
------------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of Citigroup Commercial
Mortgage Trust (CGCMT) 2016-GC36 commercial mortgage pass-through
certificates.
KEY RATING DRIVERS
Stable Performance: Overall pool performance remains stable and
generally in line with expectations at issuance, with minimal
paydown or changes to credit enhancement. As of the December 2017
distribution date, the pool's aggregate principal balance paid down
by 0.8% to $1.15 billion from $1.16 billion at issuance.
Fitch has designated one loan (0.8% of pool) as a Fitch Loan of
Concern (FLOC). The loan, which is secured by a 78,196 square foot
office property located in The Woodlands, TX, has been on the
master servicer's watchlist since June 2016 due to the trigger of a
cash management period after the largest tenant (21% of net
rentable area) failed to give the required renewal notice and
subsequently vacated at expiration in October 2016. Property cash
flow has declined as a result of the increased vacancy at the
property and the loan will be cash managed for the remainder of the
term. According to watchlist commentary, the property was 77%
occupied as of September 2017 compared to 88.7% at the time of
issuance. Six other loans (9.3%) are on the servicer's watchlist
due to deferred maintenance, hurricane damage that has since been
remedied or for temporary performance declines tied to property
renovations, none of which are considered FLOCs.
Pool and Loan Concentrations: The largest 10 loans in the
transaction represent 59.4% of the pool by balance, which is above
the 2015 and 2016 average concentrations of 49.3% and 54.8%,
respectively. Loans secured by office properties represent 31.3% of
the pool by balance, including seven loans (25%) in the top 15.
Loans backed by retail properties represent 26.3% of the pool,
including three loans (14.2%) in the top 15. This includes two
regional mall properties, Glenbrook Square (8.9%) and South Plains
Mall (2.6%), located in the tertiary markets of Fort Wayne, IN and
Lubbock, TX, respectively. Both malls have direct or indirect
exposure to regional mall tenants such as Sears, Macy's and JC
Penney.
Interest-Only Loans: Eight loans (29.8% of pool) are full-term
interest-only, which is higher than the respective 2015 and 2016
averages of 23.3% and 33.3%. In addition, 26 loans (26.1%) are
partial interest-only and have yet to begin amortizing. Overall,
the pool is scheduled to amortize by 10.3% of the initial pool
balance prior to maturity, compared to the 2015 and 2016 averages
of 11.7% and 10.4%, respectively.
Hurricane Exposure: Five loans (6.4% of pool) are secured by
properties located in regions affected by Hurricane Harvey (0.8%)
and Hurricane Irma (5.6%). According to the master servicer's
significant insurance event (SIE) reporting, the majority of the
properties sustained only minor damage from the recent hurricanes.
One of the 24 properties securing the GSA Portfolio loan located in
Gadsden, AL (0.1% of pool) sustained minor roof damage from
Hurricane Irma. However, the borrower has indicated that the damage
should be covered by insurance and does not anticipate filing any
claims. Fitch currently awaits borrower updates for the SpringHill
Suites Altamonte (0.4%), a hotel property located in Altamonte
Springs, FL.
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:
-- $33.2 million class A-1 at 'AAAsf'; Outlook Stable;
-- $22.1 million class A-2 at 'AAAsf'; Outlook Stable;
-- $33.5 million class A-3 at 'AAAsf'; Outlook Stable;
-- $225 million class A-4 at 'AAAsf'; Outlook Stable;
-- $415.2 million class A-5 at 'AAAsf'; Outlook Stable;
-- $70.4 million class A-AB at 'AAAsf'; Outlook Stable;
-- $851.4 million class X-A* at 'AAAsf'; Outlook Stable;
-- $52 million class A-S** at 'AAAsf'; Outlook Stable;
-- $75.1 million class B** at 'AA-sf'; Outlook Stable;
-- $182.1 million class EC** at 'A-sf'; Outlook Stable;
-- $54.9 million class C** at 'A-sf'; Outlook Stable;
-- $65 million class D at 'BBB-sf'; Outlook Stable;
-- $65 million class X-D* at 'BBB-sf'; Outlook Stable;
-- $28.9 million class E at 'BB-sf'; Outlook Stable;
-- $11.6 million class F at 'B-sf'; Outlook Stable.
*Notional Amount and interest-only.
**Class A-S, B, and C certificates may be exchanged for class EC
certificates, and class EC certificates may be exchanged for the
class A-S, B, and C certificates. Fitch does not rate the class G
or H certificates.
COMM 2016-CCRE28: Fitch Affirms 'B-sf' Rating on Cl. G Certs
------------------------------------------------------------
Fitch Ratings has affirmed 18 classes of COMM 2016-CCRE28 Mortgage
Trust commercial mortgage pass-through certificates.
KEY RATING DRIVERS
Stable Performance: The affirmations are the result of stable
performance since issuance. All the loans in the pool continue to
perform with property level performance generally in line with
issuance expectations. The original rating analysis was considered
in affirming the transaction as there have been no material changes
to pool metrics. As of the December 2017 distribution date, the
pool's aggregate balance has been reduced by 0.58% to $1.02
billion, from $1.03 billion at issuance.
High Fitch Leverage: At issuance, Fitch stressed debt service
coverage ratio (DSCR) on the trust-specific debt was 1.10x and the
Fitch stressed loan-to-value (LTV) was 114%, both of which are
higher than other transactions of a similar vintage.
High Proportion of Interest Only Loans: Full term interest-only
loans represent 40.8% of the pool balance, which includes six of
the top 10 loans.
Watchlist Loans / Hurricane and Wildfire Exposure: There are five
loans (6.1%) on the servicer's watchlist. Two loans (3.6%) are on
the watchlist due to deferred maintenance and two others (1.1%) are
due to lease rollover exposure. The Emerald Beach Resort loan
(1.4%) is on the servicer's watchlist due to damage associated with
Hurricane Irma. The property is a 90-key resort hotel located on
St. Thomas, USVI. According to the master servicer, the hotel is
operating, but with limited services and amenities. Repairs are in
process and the property will be open to leisure guests starting in
February 2018 according to a communication from the hotel.
There are six loans (11.8%) secured by 14 properties located in the
Los Angeles MSA; however, none are in locations where wildfires
have been reported.
RATING SENSITIVITIES
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 affirms the following classes:
-- $16.7 million class A-1 at 'AAAsf'; Outlook Stable;
-- $82.8 million class A-2 at 'AAAsf'; Outlook Stable;
-- $48 million class A-SB at 'AAAsf'; Outlook Stable;
-- $230 million class A-3 at 'AAAsf'; Outlook Stable;
-- $281.3 million class A-4 at 'AAAsf'; Outlook Stable;
-- $54.1 million class A-HR at 'AAAsf'; Outlook Stable;
-- $574.8 million* class XP-A at 'AAAsf'; Outlook Stable;
-- $698.5 million* class X-A at 'AAAsf'; Outlook Stable;
-- $54.1 million* class X-HR at 'AAAsf'; Outlook Stable;
-- $39.8 million class A-M at 'AAAsf'; Outlook Stable;
-- $73.2 million class B at 'AA-sf'; Outlook Stable;
-- $50.1 million class C at 'A-sf'; Outlook Stable;
-- $33.4 million class D at 'BBBsf'; Outlook Stable;
-- $59.0 million* class X-C at 'BBB-sf'; Outlook Stable;
-- $27.0 million* class X-D at 'BB-sf'; Outlook Stable;
-- $25.7 million class E at 'BBB-sf'; Outlook Stable;
-- $27 million class F at 'BB-sf'; Outlook Stable;
-- $11.6 million class G at 'B-sf'; Outlook Stable.
*Indicates notional amount and interest-only.
Fitch does not rate the class H, class J, interest-only X-E or
interest-only X-F certificates. Fitch previously withdrew the
rating on the interest-only class X-B certificates.
CREDIT SUISSE 2007-C5: Fitch Affirms CCsf Rating on Cl. A-M Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of Credit Suisse Commercial
Mortgage Trust, series 2007-C5 commercial mortgage pass-through
certificates.
KEY RATING DRIVERS
Concentration Concerns: The pool is concentrated with only 19 loans
outstanding. Sixteen loans representing 93.7% of the pool are in
special servicing. Given this concentration, repayment of the
senior outstanding class is reliant on proceeds from the
disposition of specially serviced assets.
Recent Transfers: Ten loans representing 57.7% of the pool have
transferred to special servicing within the last year as a result
of imminent or actual maturity default. The timing of the
disposition or modification of these assets is somewhat uncertain.
Mesilla Valley Mall: The largest loan represents 26.5% of the pool
and is secured by a regional mall in Las Cruces, NM. The mall is
anchored by Sears (collateral), JCPenney, Dillard's, Dillard's Men
and Home, Conn's and a 10-screen Cineport movie theater. Annual
inline sales were estimated to be $279 psf according to a June
report, with sales for Sears estimated at $7.9 million. The most
recent appraised value for the subject is dated October 2017 and is
well below the outstanding debt amount, which is interest-only and
was originally scheduled to mature in January 2018. This loan
transferred in November for imminent maturity default and the
special servicer is currently tracking it for foreclosure.
RATING SENSITIVITIES
Since the last rating action, 85 loans have been disposed via
liquidation or repayment. Many of the reported recoveries were
higher than Fitch anticipated based on recent performance, although
losses to the class A-M are still probable. The pool has become
much more concentrated since the last rating action, with 93.7% of
the pool in special servicing. Given this, Fitch utilized a
sensitivity stress in its analysis and determined that repayment of
the senior bond is reliant on proceeds from specially serviced
assets. As the timing of dispositions is uncertain, future upgrades
are unlikely.
Fitch has affirmed the following ratings:
-- $95.7 million class A-M at 'CCsf'; RE revised to 90% from 50%;
-- $85.6 million class A-J at 'Dsf'; RE 0%;
-- $32 million class A-1-AJ at 'Dsf'; RE 0%;
-- $0 class B at 'Dsf'; RE 0%;
-- $0 class C at 'Dsf'; RE 0%;
-- $0 class D at 'Dsf'; RE 0%;
-- $0 class E at 'Dsf'; RE 0%;
-- $0 class F at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-AB, A-4, A-1A and A-1-AM certificates
have been paid in full. Fitch does not rate the class O, P, Q and S
certificates. Fitch previously withdrew the ratings on the
interest-only class A-SP and A-X certificates.
CSAIL 2016-C7: DBRS Confirms BB Rating on Class X-F Certs
---------------------------------------------------------
DBRS, Inc. confirmed the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2016-C7
issued by CSAIL 2016-C7 Commercial Mortgage Trust:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class B at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class C at AA (low) (sf)
-- Class D at BBB (high) (sf)
-- Class X-E at BBB (low) (sf)
-- Class E at BB (high) (sf)
-- Class X-F at BB (sf)
-- Class F at BB (low) (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction, which has remained generally in line with DBRS's
expectations since issuance. The collateral consists of 53 loans
secured by 199 properties, and as of the October 2017 remittance,
there has been a collateral reduction of 0.8% since issuance due to
scheduled loan amortization. The weighted-average (WA) DBRS Term
Debt-Service Coverage Ratio (DSCR) and WA DBRS Debt Yield for the
pool at issuance were 1.54x and 8.7%, respectively. The largest 15
loans in the pool collectively represent 64.4% of the transaction
balance, and based on the most recent financial reporting
available, those loans have exhibited a WA net cash flow growth of
16.8% over the DBRS issuance figures with a WA DSCR and debt yield
of 2.08x and 8.5%, respectively.
There is one loan in special servicing and five loans on the
servicer's watchlist, which represent 0.78% and 3.3% of the current
pool balance, respectively; however, two watchlisted loans are
flagged for outstanding deferred maintenance items while the
remaining watchlisted loans are being monitored for either cash
flow declines or tenant rollover risk. The loan in special
servicing was transferred after the hotel franchisor issued a
default letter to the borrower for missed franchise payments;
however, the default letter has since been rescinded as the
borrower is working with the special servicer and the franchisor to
improve property performance and to correct the payments in
arrears.
Classes X-A, X-B, X-E and X-F are interest-only (IO) certificates
that reference a single rated tranche or multiple rated tranches.
The IO rating mirrors the lowest-rated reference tranche adjusted
upward by one notch if senior in the waterfall.
CSMC TRUST 2016-MFF: DBRS Confirms BB(low) Rating on Cl. F Certs
----------------------------------------------------------------
DBRS Limited confirmed all classes of Commercial Mortgage
Pass-Through Certificates, Series 2016-MFF (the Certificates)
issued by CSMC Trust 2016-MFF as follows:
-- Class A at AAA (sf)
-- Class X-CP at AAA (sf)
-- Class X-EXT at AAA (sf)
-- Class B at AAA (sf)
-- Class C at AAA (sf)
-- Class D at A (high) (sf)
-- Class E at BB (high) (sf)
-- Class F at BB (low) (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction since issuance. The transaction consists of a
$280.0 million first-mortgage loan secured by a portfolio of 27
single-tenant retail stores located across Wisconsin, Minnesota and
Iowa. The transaction represents a sale and leaseback from Mills
Fleet Farm Group, LLC (MFF) to the current loan sponsor, Davidson
Kempner Capital Management L.P. MFF was founded in 1955 and began
as a membership-based wholesale retailer. The loan has
approximately one year left remaining on the original two-year
term, followed by three one-year extension options available to the
borrower.
MFF benefits from being the first major retailer in smaller
submarkets and has a history of steady growth and limited
operational volatility. The loan sponsor contributed $181.7 million
of equity to the transaction, representing 36.6% of the total
$500.2 million acquisition cost. In addition, KKR & Co. L.P. (KKR)
invested approximately $800.0 million of equity in its acquisition
of MFF in 2016, while MFF retained $100 million of preferred
equity. At issuance, the portfolio reported average sales of $333
per square foot based on selling square footage. DBRS has requested
an updated sales report from the servicer and is awaiting those
documents. Historically, the tenant has reported stables sales
despite store locations within a few miles of major competitors.
Overall, portfolio health is determined by each store's four-wall
EBITDAR ratio. Although updated documents were not readily
available, the portfolio reported a healthy ratio of 3.90 times (x)
at DBRS's original analysis. In addition, it was observed that the
portfolio's EBITDAR was stable and growing as it was reported at
$170.2 million in 2015, $168.9 million in 2014 and $163.9 million
in 2013. At issuance, the rent structure resulted in EBITDAR
coverage of 3.74x across the portfolio with individual stores
ranging from 1.97x to 6.82x. The absolute-net master lease across
the portfolio has an initial 25-year term, followed by four
five-year extension options. The master lease carries contractual
2.0% annual rental rate increases.
KKR acquired MFF in February 2016 and plans to consolidate the
company's distribution and inventory management while also
increasing store footprints. These changes are growth-oriented and,
as the transaction recently closed, some of the proposed changes
are yet to be fully implemented into the organization. According to
an article posted by "DeForest Times Tribune" on October 12, 2017,
MFF has four additional stores planned for Wisconsin and one for
Iowa. An additional seven and ten stores are planned for 2019 and
2020, respectively. Also, "StarTribune" reported on November 5,
2017, that KKR aims to double its suburban farm-supply stores in
the next five years, while a new distribution center will be
opening in Chippewa Falls, Wisconsin, next year. This will allow
goods to flow more quickly to stores with less need for inventory
on hand. Overall, these changes are positive signs of KKR's
commitment to the growth of the Mills Fleet Farm brand.
Classes X-CP and X-EXT are interest-only (IO) certificates that
reference a single rated tranche or multiple rated tranches. The IO
rating mirrors the lowest-rated reference tranche adjusted upward
by one notch if senior in the waterfall.
DRYDEN 37: Moody's Assigns B3(sf) Rating to Class FR Notes
----------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
CLO refinancing notes (the "Refinancing Notes") issued by Dryden 37
Senior Loan Fund:
Moody's rating action is:
US$320,000,000 Class AR Senior Secured Floating Rate Notes Due 2031
(the "Class AR Notes"), Assigned Aaa (sf)
US$62,300,000 Class BR Senior Secured Floating Rate Notes Due 2031
(the "Class BR Notes"), Assigned Aa2 (sf)
US$22,200,000 Class CR Mezzanine Secured Deferrable Floating Rate
Notes Due 2031 (the "Class CR Notes"), Assigned A2 (sf)
US$31,100,000 Class DR Mezzanine Secured Deferrable Floating Rate
Notes Due 2031 (the "Class DR Notes"), Assigned Baa3 (sf)
US$25,650,000 Class ER Junior Secured Deferrable Floating Rate
Notes Due 2031 (the "Class ER Notes"), Assigned Ba3 (sf)
US$8,750,000 Class FR Junior Secured Deferrable Floating Rate Notes
Due 2031 (the "Class FR Notes"), Assigned B3 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
PGIM, Inc. (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 December 21, 2017
(the "Refinancing Date") in connection with the refinancing of all
classes of the secured notes (the "Refinanced Original Notes")
previously issued on March 12, 2015 (the "Original Closing Date").
On the Refinancing Date, the Issuer used proceeds from the issuance
of the Refinancing Notes to redeem in full the Refinanced Original
Notes.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity and non-call period; and
changes to certain collateral quality tests.
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: $498,633,072
Defaulted par: $2,733,856
Diversity Score: 85
Weighted Average Rating Factor (WARF): 2987
Weighted Average Spread (WAS): 3.35%
Weighted Average Recovery Rate (WARR): 48.5%
Weighted Average Life (WAL): 9.37years
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. Please see the Rating Methodologies page on
www.moodys.com for a copy of this methodology.
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% (2987 to 3435)
Rating Impact in Rating Notches
Class AR Notes: 0
Class BR Notes: -2
Class CR Notes: -2
Class DR Notes: -1
Class ER Notes: 0
Class FR Notes: 0
Percentage Change in WARF -- increase of 30% (2987 to 3883)
Rating Impact in Rating Notches
Class AR Notes: -1
Class BR Notes: -4
Class CR Notes: -4
Class DR Notes: -2
Class ER Notes: -1
Class FR Notes: -2
DT AUTO 2017-4: DBRS Finalizes BB Rating on Class E Notes
---------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by DT Auto Owner Trust 2017-4 (DTAOT 2017-4
or the Issuer):
-- $239,970,000 Series 2017-4 Notes, Class A at AAA (sf)
-- $44,110,000 Series 2017-4 Notes, Class B at AA (sf)
-- $100,570,000 Series 2017-4 Notes, Class C at A (sf)
-- $102,340,000 Series 2017-4 Notes, Class D at BBB (sf)
-- $77,640,000 Series 2017-4 Notes, Class E at BB (sf)
The ratings are based on DBRS's review of the following analytical
considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- DTAOT 2017-4 provides for Class A, B, C, D and E coverage
multiples slightly below the DBRS range of multiples set forth in
the criteria for this asset class. DBRS believes that this is
warranted given the magnitude of expected loss and structural
features of the transaction.
-- The transaction parties' capabilities with regard to
originations, underwriting and servicing.
-- The portfolio of DriveTime Automotive Group, Inc. (DriveTime)
has exposure to the areas of Texas, Florida and Louisiana, which
were affected by Hurricanes Harvey and Irma. To limit the risk to
the transaction, DriveTime excluded loans that had a billing
address within a zip code subject to a disaster declaration by the
Federal Emergency Management Agency and had not yet made a full
monthly or monthly equivalent payment.
-- The quality and consistency of the provided historical static
pool data for DriveTime originations and the performance of the
DriveTime auto loan portfolio.
-- The November 19, 2014, settlement of the Consumer Financial
Protection Bureau inquiry relating to allegedly unfair trade
practices.
-- The legal structure and presence of legal opinions that address
the true sale of the assets to the Issuer, the non-consolidation of
the special-purpose vehicle with DriveTime, that the trust has a
valid first-priority security interest in the assets and the
consistency with DBRS's "Legal Criteria for U.S. Structured
Finance."
The DTAOT 2017-4 transaction represents a securitization of a
portfolio of motor vehicle retail installment sales contracts
originated by DriveTime Car Sales Company, LLC (the Originator).
The Originator is a direct, wholly owned subsidiary of DriveTime.
DriveTime is a leading used vehicle retailer in the United States
that focuses on the sale and financing of vehicles to the subprime
market.
The rating on the Class A notes reflects the 67.50% of initial hard
credit enhancement provided by the subordinated notes in the pool,
the Reserve Account (1.50%) and overcollateralization (20.00%). The
ratings on the Class B, C, D and E notes reflect 61.25%, 47.00%,
32.50% and 21.50% of initial hard credit enhancement, respectively.
Additional credit support may be provided from excess spread
available in the structure.
EATON VANCE 2015-1: Moody's Assigns B3(sf) Rating to Cl. F-R Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
CLO refinancing notes (the "Refinancing Notes") issued by Eaton
Vance CLO 2015-1, Ltd.:
Moody's rating action is:
US$2,000,000 Class X Senior Secured Floating Rate Notes due 2030
(the "Class X Notes"), Definitive Rating Assigned Aaa (sf)
US$246,000,000 Class A-1-R Senior Secured Floating Rate Notes due
2030 (the "Class A-1-R Notes"), Definitive Rating Assigned Aaa
(sf)
US$22,500,000 Class A-2-R Senior Secured Floating Rate Notes due
2030 (the "Class A-2-R Notes"), Definitive Rating Assigned Aaa
(sf)
US$29,000,000 Class B-R Senior Secured Floating Rate Notes due 2030
(the "Class B-R Notes"), Definitive Rating Assigned Aa1 (sf)
US$30,500,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2030 (the "Class C-R Notes"), Definitive Rating Assigned
A2 (sf)
US$24,400,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2030 (the "Class D-R Notes"), Definitive Rating Assigned
Baa3 (sf)
US$16,600,000 Class E-R Secured Deferrable Floating Rate Notes due
2030 (the "Class E-R Notes"), Definitive Rating Assigned Ba2 (sf)
US$8,000,000 Class F-R Secured Deferrable Floating Rate Notes due
2030 (the "Class F-R Notes"), Definitive Rating Assigned B3 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
Eaton Vance Management (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 December 21, 2017
(the "Refinancing Date") in connection with the refinancing of all
classes of the secured notes (the "Refinanced Original Notes")
previously issued on October 29, 2015 (the "Original Closing
Date"). On the Refinancing Date, the Issuer used proceeds from the
issuance of the Refinancing Notes to redeem in full the Refinanced
Original Notes.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; and changes to the
overcollateralization test levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Performing par and principal proceeds balance: $401,150,000
Defaulted par: $0
Diversity Score: 75
Weighted Average Rating Factor (WARF): 2935
Weighted Average Spread (WAS): 3.20%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 48.75%
Weighted Average Life (WAL): 9 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Refinancing Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Refinancing
Notes (shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2935 to 3375)
Rating Impact in Rating Notches
Class X Notes: 0
Class A-1-R Notes: 0
Class A-2-R Notes: -1
Class B-R Notes: -2
Class C-R Notes: -2
Class D-R Notes: -1
Class E-R Notes: -1
Class F-R Notes: 0
Percentage Change in WARF -- increase of 30% (from 2935 to 3816)
Rating Impact in Rating Notches
Class X Notes: 0
Class A-1-R Notes: -1
Class A-2-R Notes: -3
Class B-R Notes: -4
Class C-R Notes: -4
Class D-R Notes: -2
Class E-R Notes: -2
Class F-R Notes: -3
FREDDIE MAC 2005-S001: Moody's Lowers Cl. X Debt Rating to Ca
-------------------------------------------------------------
Moody's Investors Service has downgraded the rating of one
Interest-Only (IO) bond and withdrawn the rating of another IO bond
from two US residential mortgage-backed transactions (RMBS). These
bonds were among those placed on review on August 29, 2017 in
connection with a reassessment of Moody's internal linkage of these
IO bonds to their reference bond(s) or pool(s).
Complete Rating Actions are:
Issuer: Freddie Mac Securities REMIC Trust 2005-S001
Cl. X, Downgraded to Ca (sf); previously on Aug 29, 2017 Aaa (sf)
Placed Under Review for Possible Downgrade
Issuer: New Century Home Equity Loan Trust 1997-NC6
Cl. A-8IO, Withdrawn (sf); previously on Aug 29, 2017 A2 (sf)
Placed Under Review for Possible Downgrade
RATINGS RATIONALE
The action resolves the review of Class X from Freddie Mac
Securities REMIC Trust 2005-S001 (Freddie Mac 2005-S001) and Class
A-8IO from New Century Home Equity Loan Trust 1997-NC6 (New Century
1997-NC6), which bonds were among those placed on review for a
reassessment of the IO bond linkages captured in Moody's internal
database, prompted by the identification of errors in that
database. This action also reflects a correction of an error in
Moody's previous analysis.
The factors that Moody's considers in rating an IO bond depend on
the type of referenced securities or assets to which the IO bond is
linked. Moody's has reassessed the linkage for the bonds in rating
action, and determined that Class A-8IO from New Century 1997-NC6
was linked to the correct reference pool; for Class X from Freddie
Mac 2005-S001, however, the linkage was incorrect and has been
updated.
The bonds in action carry credit support from third-party
guarantors. Class A-8IO from New Century 1997-NC6 is wrapped by
financial guarantor Assured Guarantee, and Class X from Freddie Mac
2005-S001 carries a guarantee from Federal Home Loan Mortgage Corp.
(Freddie Mac). Moody's prior ratings of these IO bonds reflected
the ratings of these support providers under the credit
substitution approach. Under this approach, Moody's assesses a
bond's credit quality given the credit enhancement provided by the
support provider, whereby the bond rating matches the higher of the
rating of the support provider and the underlying rating of the
guaranteed security. The goal of such credit support is to provide
credit protection to investors from the transaction's performance
and to provide for payment of principal and accrued interest on the
debt when due.
For these IO bonds, however, although the financial guarantor
guarantees the payment of interest, it does not guarantee the
notional balance upon which the interest distribution amount is
calculated. As such the financial guarantee does not address any
decrease in notional balance or interest due to losses or
performance. Under Moody's analysis IO bonds should not be assigned
the rating of their credit support provider unless the notional
balance of such bonds are guaranteed as well. The bonds in action
do not benefit from a guarantee of the notional balance, and
Moody's has corrected the ratings accordingly.
The financial guarantee provided by Freddie Mac to Class X from
Freddie Mac 2005-S001 does not address a decrease in notional
balance due to losses or performance; as a result, the rating of
this IO bond must be determined based on its underlying rating,
which in turn depends on the ratings of its reference bonds. Class
X is a multi-tranche IO that is linked to senior tranches that are
guaranteed by Freddie Mac, and to subordinate tranches that are not
guaranteed and which have experienced write-downs due to losses
where the only remaining outstanding subordinate bond is currently
rated C. Moody's has therefore downgraded the rating of Class X to
incorporate the linkage to the subordinate bonds. The rating also
reflects updated performance of the transaction, including expected
losses on the collateral, and pay-downs or write-offs of the
related reference bonds.
Class A-8IO from New Century 1997-NC6 is an IO bond whose notional
balance is linked to the pool balance. The underlying rating of
this bond was withdrawn in July 2016 for small pool factor, because
the bond is backed by a mortgage pool whose size had fallen below
the level specified in the applicable methodology. Although Moody's
generally maintains the ratings on bonds that benefit from a full
and unconditional third-party guarantee even if the bonds are
backed by pools impacted by small pool factor, the Class A-8IO does
not have such benefit. The rating of the IO class should have been
the underlying rating because the notional balance of the pool was
not guaranteed. Because the underlying rating was withdrawn due to
small pool factor, Moody's is withdrawing the rating on Class
A-8IO.
Moody's is evaluating the remaining IO bonds on review and note
that, although a number of linkages may be corrected, this will not
necessarily lead to rating movements in all cases.
The methodologies used in these ratings were "US RMBS Surveillance
Methodology" published in January 2017 and "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:
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds and/or pools.
GS MORTGAGE 2005-ROCK: S&P Affirms BB+(sf) Rating on Cl. J Certs
----------------------------------------------------------------
S&P Global Ratings affirmed its ratings on 12 classes of commercial
mortgage pass-through certificates from GS Mortgage Securities
Corp. II's series 2005-ROCK, a U.S. commercial mortgage-backed
securities (CMBS) transaction.
S&P said, "For the affirmations, our expectation of credit
enhancement was generally in line with the affirmed rating levels.
Our analysis also considered the loan and deal structures,
specifically, prior to a loan event of default. All principal
prepayments are applied on a pro rata basis.
"Our analysis considered that the mortgage is recorded at $1.21
billion, and the maximum amount recoverable in a mortgage
foreclosure action may not be sufficient to repay the loan. Any
amount over $1.21 billion would be considered unsecured debt of the
borrower. Additionally, if the equity pledge forecloses before a
foreclosure on the mortgage, the trust would have to pay
significant real property transfer tax because the resulting
transfer would be treated as a property transfer under New York
law.
"Furthermore, we reviewed the transaction's insurance provisions
and providers and determined that they are, for the most part,
consistent with our property insurance criteria and normal market
standards. The transaction documents note
that the borrower is not required to incur aggregate "all risk" and
terrorism coverage premiums greater than $7.95 million in any
policy year, subject to annual Consumer Price Index adjustments. We
increased our minimum credit enhancement levels at each rating
category to account for this provision.
"We affirmed our rating on the class X-1 interest-only (IO)
certificates based on our criteria for rating IO securities."
This is a stand-alone (single borrower) transaction backed by a
$1.685 billion fixed-rate IO loan secured by a first-priority
mortgage (up to a maximum of $1.21 billion) on the fee and
leasehold interests of the borrower in a portfolio of 12 individual
office/retail properties and a plaza totaling 6.8 million sq. ft.
in midtown Manhattan, as well as a first-priority pledge of all the
equity interests in the borrower. S&P said, "Our property-level
analysis included a re-evaluation of the property that secures the
mortgage loan in the trust and considered the relatively stable
servicer-reported net operating income and occupancy from 2013
through year-to-date June 2017. We then derived our sustainable
in-place net cash flow, which we divided by a 6.79% S&P Global
Ratings weighted average capitalization rate to determine our
expected-case value. This yielded an overall S&P Global Ratings
loan-to-value ratio and debt service coverage (DSC) of 47.4% and
2.50x, respectively, on the trust balance."
According to the Dec. 4, 2017, trustee remittance report, the IO
mortgage loan has a trust and whole loan balance of $1.685 billion,
pays an annual fixed interest rate of 5.6435%, and matures May 1,
2025. The borrower's equity interest in the whole loan secures
$320.0 million of mezzanine financing. To date, the trust has not
incurred any principal losses.
The master servicer, Wells Fargo Bank N.A., reported a DSC of 2.91x
on the trust balance for the nine months ended Sept. 30, 2017, and
reported occupancy was 92.0%. Based on the September 2017 rent
roll, the five largest tenants comprise 31.3% of the collateral's
total net rentable area (NRA). In addition, 5.4% of the NRA expires
in 2018, 7.3% in 2019, and 5.5% in 2020.
RATINGS LIST
GS Mortgage Securities Corp. II
Trust pass-through certificates series 2005-ROCK
Rating
Class Identifier To From
A 36228CUV3 AAA (sf) AAA (sf)
A-FL 36228CUW1 AAA (sf) AAA (sf)
X-1 36228CUY7 AAA (sf) AAA (sf)
B 36228CUZ4 AAA (sf) AAA (sf)
C-1 36228CVA8 AAA (sf) AAA (sf)
C-2 36228CVL4 AAA (sf) AAA (sf)
D 36228CVB6 AAA (sf) AAA (sf)
E 36228CVC4 AA+ (sf) AA+ (sf)
F 36228CVD2 AA (sf) AA (sf)
G 36228CVE0 A+ (sf) A+ (sf)
H 36228CVF7 A (sf) A (sf)
J 36228CVG5 BB+ (sf) BB+ (sf)
HSI ASSET 2006-OPT1: Moody's Hikes Class M-2 Debt Rating to B1
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of two tranches,
from HSI Asset Securitization Corporation Trust 2006-OPT1.
Complete rating actions are as follows:
Issuer: HSI Asset Securitization Corporation Trust 2006-OPT1
Cl. M-2, Upgraded to B1 (sf); previously on Feb 8, 2017 Upgraded to
B2 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on Aug 13, 2010
Downgraded to C (sf)
RATINGS RATIONALE
The upgrades are primarily due to the improvement in the
performance of the underlying pools and Moody's updated loss
expectations on the pools. The rating actions also reflect
corrections to the cash-flow model previously used by Moody's in
rating the transaction. In prior rating actions, the cash flow
modeling used for HSI Asset Securitization Corporation Trust
2006-OPT1 overestimated the servicing fee payment, thereby
underestimating the cash flow available to these bonds. This has
now been corrected, and today's rating action reflects this
change.
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 November 2017 from 4.6% in
November 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.
IMPACT FUNDING 2014-1: DBRS Confirms B Rating on Class F Certs
--------------------------------------------------------------
DBRS Limited confirmed the ratings of the following classes of
Affordable Multifamily Mortgage Loan Pass-Through Certificates,
Series 2014-1 (the Certificates) issued by Impact Funding
Affordable Multifamily Housing Mortgage Loan Trust 2014-1 (the
Trust):
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-FX1 at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (sf)
-- Class X-B at B (high) (sf)
-- Class X-FX2 at B (high) (sf)
-- Class F at B (sf)
All trends are Stable.
Classes A-1, A-2, A-3, X-A and X-FX1 represent the Certificates
that were purchased and guaranteed by Freddie Mac and deposited
into the SPC Trust to back the offered SPCs. Classes B, C, D, E, F,
X-B and X-FX2 represent the non-guaranteed offered certificates.
The rating confirmations reflect the overall stable performance of
the transaction, which closed in November 2014 with 124 fixed-rate
loans secured by 118 multifamily properties. As of the October 2017
remittance report, there has been a collateral reduction of 4.0%
since issuance, with all original loans remaining in the pool. The
collateral properties are Low Income Housing Tax Credit (LIHTC)
developments with generally low leverage metrics as reflected in
the weighted-average (WA) current debt yield and loan-to-value of
15.5% and 41.1%, respectively. Based on the YE2016 reporting, the
WA debt-service coverage ratio (DSCR) for the pool was 1.81 times
(x), up from the WA DBRS Term DSCR figure of 1.41x at issuance and
the Issuer's figure of 1.50x. The top 15 loans, which represent
30.9% of the current pool, reported a WA YE2016 DSCR of 1.53x and a
healthy WA net cash flow growth of 23.1% over the DBRS issuance
figures.
There are 13 loans (11 properties) on the servicer's watchlist,
representing 6.3% of the transaction balance. All of these loans
are being monitored for cash flow declines since issuance, with
coverage ratios ranging between 0.04x and 1.06x for the Q2 2017
reporting period. Some of the collateral properties on the
watchlist have shown occupancy declines since issuance while others
have shown stable revenues with sharp increases in operating
expenses. Although these cash flow declines present additional risk
for the respective loans within the transaction, there are
mitigants in the value of the tax credits sold as part of the LIHTC
program, which provide significant incentive for the tax credit
investors to fund any cash flow shortfalls (as necessary) at the
collateral properties to avoid a credit recapture in the event the
borrower defaults on the loan. The two largest loans on the
watchlist are detailed below.
The Brookland ArtSpace Lofts loan (Prospectus ID #29, 1.1% of the
pool) is secured by a 41-unit loft-style apartment property in
Washington, D.C, which is approximately four miles northeast of the
White House. The property was constructed in 2011 and caters to low
income artists and performers. The loan is currently on the
watchlist because of performance issues as occupancy rates at the
property have remained below issuance levels for the past few
years, with levels hovering around 85%. The servicer reports that
the cash flow decline for Q1 2017 is a combination of vacancy
losses, concessions and unit turnover of 22%. Occupancy recently
rebounded to issuance levels at 95.1%, with an average rental rate
of $1,053 per unit, according to the April 2017 rent roll.
According to the borrower, occupancy is up because of staff
additions and an increase in advertising and marketing spending.
The servicer's June 2017 site inspection cited a further
improvement in occupancy to 97.4% and found the property in good
condition overall, with no deferred maintenance items observed.
According to REIS, the subject's Brookland submarket is reporting
an average rental rate of $1,315 per unit and a vacancy of 5.5%,
with properties of similar vintage reporting an average rental rate
of $2,393 per unit and a vacancy rate of 9.0%, as of September
2017. As cash flows have been sustained at significantly lower
levels since issuance, with a Q1 2017 DSCR of 0.69x compared with
the DBRS Term DSCR of 1.27x, DBRS analyzed this loan with a
stressed scenario. However, given the recent stabilization of
occupancy levels at the property, DBRS expects cash flows to
continue to improve through the remainder of 2017.
The Noland Green Apartments loan (Prospectus ID #47, 0.9% of the
pool) is secured by a 60-unit low-rise apartment complex located in
Newport News, Virginia. The property was constructed in 1929 and
reported historically stable occupancy rates that hovered around
98.0% since issuance. However, the loan was added to the watchlist
as the Q2 2017 DSCR declined to 0.79x, compared with the YE2016
DSCR of 1.28x as a result of the occupancy dipping to 83.0%. The
servicer noted that the decline was primarily due to high vacancy
losses and increased unit turnover costs through 2017. In addition,
the servicer noted that a new management team is in place to pursue
qualifying tenants through their newly launched website. According
to REIS, the subject's Newport News submarket is reporting an
average rental rate of $904 per unit and a vacancy of 5.5%, with
properties of similar vintage reporting an average rental rate of
$773 per unit and a vacancy rate of 7.8%, as of September 2017. In
addition, REIS reports that the Newport News submarket is heavily
weighted on older multifamily stock as 81.0% of the existing
inventory was built prior to 1990, with inventory growth rates
within the next five years forecasted at 0.3% for the Newport News
submarket. Given the decline in cash flow compared with the DBRS
Term DSCR of 1.16x, DBRS applied a stressed cash flow in its
analysis to capture the risk associated with the increased vacancy
at the subject.
Classes X-A, X-FX1, X-B and X-FX2 are interest-only (IO)
certificates that reference a single rated tranche or multiple
rated tranches. The IO rating mirrors the lowest-rated reference
tranche adjusted upward by one notch if senior in the waterfall.
All ratings will be subject to ongoing surveillance, which could
result in ratings being upgraded, downgraded, placed under review,
confirmed or discontinued by DBRS.
JP MORGAN 2004-CIBC8: Moody's Lowers Cl. X-1 Debt Rating to C(sf)
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on four classes,
upgraded the ratings on two classes and downgraded the ratings on
one class in J.P. Morgan Chase Commercial Mortgage Securities Corp.
Series 2004-CIBC8:
Cl. G, Upgraded to Aa2 (sf); previously on Dec 21, 2016 Upgraded to
A1 (sf)
Cl. H, Upgraded to Ba1 (sf); previously on Dec 21, 2016 Upgraded to
Ba2 (sf)
Cl. J, Affirmed B2 (sf); previously on Dec 21, 2016 Upgraded to B2
(sf)
Cl. K, Affirmed Caa3 (sf); previously on Dec 21, 2016 Upgraded to
Caa3 (sf)
Cl. L, Affirmed C (sf); previously on Dec 21, 2016 Affirmed C (sf)
Cl. M, Affirmed C (sf); previously on Dec 21, 2016 Affirmed C (sf)
Cl. X-1, Downgraded to C (sf); previously on Jun 9, 2017 Downgraded
to Ca (sf)
RATINGS RATIONALE
The ratings on the P&I Classes G and H were upgraded based
primarily on an increase in credit support resulting from loan
amortization, plus increased defeasance in the transaction which
benefits these classes. The deal has paid down 9% since Moody's
last review, while defeasance as a share of total pool balance
increased from 8% to 18% over the same period.
The rating on the P&I Class J was affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on the P&I Classes K, L and M were affirmed because the
ratings are consistent with Moody's expected loss.
The rating on the IO Class Class X-1 was downgraded due to the
credit performance of its referenced classes.
Moody's rating action reflects a base expected loss of 9.6% of the
current pooled balance, compared to 9.5% at Moody's last review.
Moody's base expected loss plus realized losses is now 2.5% of the
original pooled balance, essentially unchanged from the last
review. Moody's provides a current list of base expected losses for
conduit and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The 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. The methodology used in
rating Cl. X-1 was "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" published in June 2017. Please see
the Rating Methodologies page on www.moodys.com for a copy of these
methodologies.
DEAL PERFORMANCE
As of the December 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $43 million
from $1.25 billion at securitization. The certificates are
collateralized by 13 mortgage loans ranging in size from less than
1% to 24% of the pool, with the top ten loans (excluding
defeasance) constituting 82% of the pool. Two loans, constituting
18% of the pool, have defeased and are secured by US government
securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 6, compared to 7 at Moody's last review.
One loan, constituting 4% of the pool, is on the master servicer's
watchlist. The watchlist includes loans that meet certain portfolio
review guidelines established as part of the CRE Finance Council
(CREFC) monthly reporting package. As part of Moody's ongoing
monitoring of a transaction, the agency reviews the watchlist to
assess which loans have material issues that could affect
performance.
Fourteen loans have been liquidated from the pool, contributing to
an aggregate realized loss of $27 million (for an average loss
severity of 19%). One loan, constituting 13% of the pool, is
currently in special servicing. The specially serviced loan is the
Holualoa Centre East Loan ($5 million -- 13% of the pool), which is
secured by a 95,000 square foot office property located in Tuscon,
Arizona. The loan transferred to special servicing in February 2014
ahead of the March 2014 loan maturity date and the property is
currently REO. The property was 31% occupied as of December 2017.
The loan recently received an appraisal reduction representing
approximately 60% of the remaining loan balance. Reimbursement of
servicing advances related to this loan has contributed to interest
shortfalls affecting the trust. Moody's estimates a high loss
severity for this loan.
As of the December remittance statement cumulative interest
shortfalls were $1.5 million. Moody's anticipates interest
shortfall risk to the trust will be ongoing due to the exposure to
the specially serviced loan. Interest shortfalls are caused by
special servicing fees, including workout and liquidation fees,
appraisal entitlement reductions (ASERs), loan modifications and
extraordinary trust expenses.
Moody's received full year 2016 operating results and partial year
2017 operating results for 79% of the pool, respectively. Moody's
weighted average conduit LTV is 40%, compared to 42% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 12.5% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.4%.
Moody's actual and stressed conduit DSCRs are 1.51X and 3.24X,
respectively, compared to 1.50X and 2.85X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 48% of the pool balance. The
largest loan is the Canyon Park Loan ($10 million -- 24% of the
pool), which is secured by a 157,000 square foot retail property
located in Twin Falls, Idaho. The property was 100% leased as of
September 2017. The loan balance has amortized by 36% since
securitization. Moody's LTV and stressed DSCR are 53% and 1.84X,
respectively, compared to 55% and 1.76X at the last review.
The second largest loan is the Precise Technology, Inc. Loan ($8
million -- 18% of the pool), which is secured by a 616,000 square
foot portfolio of five crossed loans, secured by industrial
properties located in five U.S. states. The portfolio is 100%
leased to a single tenant. Moody's value incorporates a lit/dark
analysis to account for the single tenant rollover risk. The loan
metrics benefit from amortization. Moody's LTV and stressed DSCR
are 25% and >4.00X, respectively, compared to 28% and 3.68X at
the last review.
The third largest loan is the Franciscan Metro Center Loan ($3
million -- 6% of the pool), which is secured by a 267,000 square
foot retail center in Los Angeles, California. The property was 89%
leased as of June 2017. The loan metrics benefit from amortization.
Moody's LTV and stressed DSCR are 37% and 2.65X, respectively,
compared to 41% and 2.36X at the last review.
JP MORGAN 2007-CIBC20: Fitch Hikes Class B Debt Rating to Bsf
-------------------------------------------------------------
Fitch Ratings upgrades one class and affirms 11 classes of J.P.
Morgan Chase Commercial Mortgage Securities Corp. (JPMCC)
commercial mortgage pass-through certificates, series 2007-CIBC20.
KEY RATING DRIVERS
Increased Credit Enhancement: The upgrade of class B is due to
increased credit enhancement (CE) as a result of amortization and
loan payoffs. As of the December 2017 distribution date, the
transaction has paid down by 95% to $139.9 million from $2.5
billion at issuance. The transaction has become highly concentrated
with only 10 loans remaining. Forty percent of the pool is
currently in special servicing. There are interest shortfalls in
the amount of $12.7 million affecting distressed classes F thru
NR.
High Specially Serviced Loan Concentration: Six loans (40%) are
currently in special servicing and losses are expected. The largest
specially serviced loan (9%) was transferred to special servicing
in July 2016 due to imminent default. The loan is secured by a
limited-service hotel property consisting of 288 rooms located in
Mechanicsburg, PA. Per the September 2017 Smith Travel Research
report the property is underperforming its competitive set with
occupancy, ADR, and RevPar of 47.7%, $74.66, $35.60, respectively,
compared to 56.4%, $90.03 and $50.76 for its competitive set, with
penetration rates for occupancy, ADR, and RevPar of 84.6, 82.9%,
70.1%; respectively. A receiver was appointed to the property in
October 2016 and the special servicer anticipates foreclosure to
occur late in the first quarter of 2018.
Concentrated Pool/Adverse Selection: The pool is highly
concentrated with only 10 loans remaining of the original 139
loans. Due to the concentrated nature of the pool, Fitch performed
a sensitivity analysis that grouped the remaining loans based on
structural features, collateral quality and performance which
ranked them by their perceived likelihood of repayment. This
includes defeased loans, fully amortizing loans, balloon loans, and
Fitch loans of concern. The ratings reflect this sensitivity
analysis.
Amortization and Maturity Schedule: Two (4.1%) of the remaining 10
loans in the pool are fully amortizing. Of the remaining
non-specially serviced loans, the largest loan (31%) is
interest-only and matures Sept. 1, 2018 and the other (13.5%) is a
balloon loan with maturity of Sept. 1, 2019.
RATING SENSITIVITIES
The Stable Outlook on class B reflects the sufficient credit
enhancement relative to the pool expected losses. The distressed
classes may be subject to further downgrades if there is an
increase in the number of specially serviced loans and additional
losses are realized.
Fitch has upgraded and assigned a Rating Outlook to the following
rating:
-- $5.1 million class B to 'Bsf' from 'CCCsf'; Outlook Stable
assigned.
Fitch has also affirmed the following ratings:
-- $25.4 million class C at 'CCCsf'; RE 100%;
-- $28.6 million class D at 'CCsf'; RE 100%;
-- $22.3 million class E at 'CCsf'; RE 60%;
-- $22.3 million class F at 'Csf'; RE 0%;
-- $25.4 million class G at 'Csf'; RE 0%;
-- $10.9 million class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-4, A-SB, A-1A, A-M, A-MFX, and A-J
certificates have paid in full. Fitch does not rate the class P, Q,
T and NR certificates. Fitch previously withdrew the ratings on the
interest-only class X-2 and X-1.
KDAC AVIATION: S&P Assigns BB Rating on $722.50MM Cl. C Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to KDAC Aviation Finance
(Cayman) Ltd.'s $722.50 million fixed-rate series A, B, and C
notes.
The note issuance is an asset-backed securities (ABS) transaction
backed by 36 aircraft and the related leases, and shares or
beneficial interests in entities that directly and indirectly
receive aircraft portfolio lease rental and residual cash flows,
among others.
The ratings reflect:
-- The likelihood of timely interest on the series A notes
(excluding step-up interest) on each payment date, the timely
interest on the series B notes (excluding step up interest) when
the series A notes are no longer outstanding on each payment date,
and the ultimate interest and principal payment on the series A, B,
and C notes on or before the legal final maturity at the
respectively rating stress. The 64% loan-to-value (LTV) (based on
the lower of the mean and median [LMM] of the half-life book value
and half-life market value) on the series A notes; the 75% LTV on
the series B notes; and the 82% LTV on the series C notes.
-- The portfolio, which comprises 28 narrow-body passenger planes
(14 A320 family, six B737-700, and eight B737-800), and eight
wide-body passenger planes (four A330-200, two A330-300, and two
B777-200ER). The 36 assets have a weighted average age of
approximately 11.78 years and remaining average lease term of
approximately 3.97 years. None of the aircraft are currently out of
production.
-- Many of the lessees, which are in the emerging market where the
commercial aviation market is growing (42%). The series A and B
notes, which follow a 12-year amortization profile for the first
four years and an 11-year amortization profile thereafter; and the
series C notes, which follow a seven-year amortization profile.
-- The payment of the series A notes outstanding principal
balance, followed by the series B notes, if a rapid amortization
event has occurred and is continuing.
-- An end-of-lease payment that will be paid to the series A, B,
and C notes according to a percentage equaling to each then-current
LTV ratio.
-- A liquidity facility that is sized to at least nine months'
interest on the series A notes and B notes. The maintenance
analysis provided by ICF International Co. at closing and by the
servicers on a semi-annual basis thereafter. The maintenance
reserve account, which is required to keep a balance to meet the
higher of $1 million and the sum of forward-looking maintenance
expenses. The excess maintenance over the required maintenance
amount will be transferred to waterfall.
-- The senior indemnification (capped at $10 million), which is
modeled to occur in the first 12 months.
-- The junior indemnification (un-capped), which is subordinated
to the rated series' principal payment.
-- DVB Bank SE, London Branch (DVB), which is the servicer for
this transaction. DVB's in-house aircraft assets and aviation
finance team is experienced in managing new and young mid-life
aircraft assets.
RATINGS ASSIGNED
KDAC Aviation Finance (Cayman) Ltd.
Class Rating Amount
(mil. $)(i)
A A (sf) 565.0
B BBB (sf) 95.5
C BB (sf) 62.0
LCM LTD 26: S&P Assigns Prelim BB- Rating on Class E Notes
----------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to LCM 26
Ltd./LCM 26 LLC's $555 million floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by primarily broadly syndicated
speculative-grade senior secured term loans that are governed by
collateral quality tests.
The preliminary ratings are based on information as of Dec. 22,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
LCM 26 Ltd./LCM 26 LLC
Class Rating Amount
(mil. $)
X AAA (sf) 3.00
A-1 AAA (sf) 366.00
A-2 NR 24.00
B AA (sf) 66.00
C (deferrable) A (sf) 39.00
D (deferrable) BBB- (sf) 33.00
E (deferrable) BB- (sf) 24.00
Subordinated notes NR 58.70
NR--Not rated.
MORGAN STANLEY 2004-IQ7: Fitch Affirms BBsf Ratings on 2 Tranches
-----------------------------------------------------------------
Fitch Ratings has affirmed seven classes of Morgan Stanley Capital
I Trust (MSCI 2004-IQ7) commercial mortgage pass-through
certificates series 2004-IQ7.
KEY RATING DRIVERS
Stable Performance: The affirmations reflect the overall stable
pool performance and high credit enhancement. As of the December,
2017 distribution date, the transaction has paid down 96.9% since
issuance, to $26.7 million from $863 million at issuance. All loans
are current with no loans in special servicing or material changes
in loan-level performance since last rating action.
Pool Concentration: The pool is highly concentrated with only 12
loans remaining. Due to the concentrated nature of the pool, Fitch
performed a sensitivity analysis which grouped the remaining loans
based on loan structural features, collateral quality and
performance which ranked them by their perceived likelihood of
repayment. The largest of these loans, Linden Place Office
Building, accounts for 47.7% of total pool balance, resulting in
binary risk factors.
Quality Collateral: Of the loans remaining in the pool, 28.6% are
secured by defeasance collateral and 12% of non-defeased loans are
secured by cooperative properties predominantly located in New York
City. The remaining collateral consists of a performing office
building in Omaha, Nebraska and three fully amortizing loans (11%)
secured by retail properties.
RATING SENSITIVITIES
The Stable Outlooks reflect the stable performance of the pool,
continued amortization, defeasance and reasonably strong credit
profile of the underlying collateral. Downgrades are not likely as
the pool continues to amortize and credit enhancement is expected
to increase. Upgrades are not likely without the repayment of the
Linden Place Office Building Loan due to the binary risk associated
with the loan. Should that loan repay in full, further upgrades are
possible.
Fitch has affirmed the following ratings:
-- $3.0 million class G at 'AAAsf', Outlook Stable;
-- $5.4 million class H at 'AAAsf', Outlook Stable;
-- $4.3 million class J at 'AAsf', Outlook Stable;
-- $2.2 million class K at 'Asf', Outlook Stable;
-- $2.2 million class L at 'BBBsf', Outlook Stable;
-- $2.2 million class M at 'BBsf', Outlook Stable;
-- $2.2 million class N at 'BBsf', Outlook Stable.
Classes A-1, A-2, A-3, A-4, B, C, D, E and F certificates have paid
in full. Fitch does not rate the class O certificates. Fitch
previously withdrew the ratings on the interest-only class X-1 and
X-Y certificates.
MORGAN STANLEY 2017-HR2: Fitch Rates Cl. H-RR Debt 'B-sf'
---------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to Morgan Stanley Capital I Trust 2017-HR2, Commercial
Mortgage Pass-Through Certificates, Series 2017-HR2:
-- $15,000,000 class A-1 'AAAsf'; Outlook Stable;
-- $114,600,000 class A-2 'AAAsf'; Outlook Stable;
-- $26,300,000 class A-SB 'AAAsf'; Outlook Stable;
-- $235,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $269,015,000 class A-4 'AAAsf'; Outlook Stable;
-- $659,915,000b class X-A 'AAAsf'; Outlook Stable;
-- $107,237,000b class X-B 'AA-sf'; Outlook Stable;
-- $58,922,000 class A-S 'AAAsf'; Outlook Stable;
-- $48,315,000 class B 'AA-sf'; Outlook Stable;
-- $48,315,000 class C 'A-sf'; Outlook Stable;
-- $31,110,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $31,110,000a class D 'BBB-sf'; Outlook Stable;
-- $23,097,000ac class E-RR 'BBB-sf'; Outlook Stable;
-- $15,320,000ac class F-RR 'BB+sf'; Outlook Stable;
-- $11,784,000ac class G-RR 'BB-sf'; Outlook Stable;
-- $10,606,000ac class H-RR 'B-sf'; Outlook Stable.
The following class is not rated by Fitch:
-- $35,353,074ac class J-RR.
Since Fitch published its expected ratings on Dec. 6, 2017, the
following changes have occurred: the issuer decreased the class X-B
balance to $107,237,000, the issuer decreased the class X-D balance
to $31,110,000, the issuer decreased the class D balance to
$31,110,000, the issuer increased the class E-RR balance to
$23,097,000, and the rating for class X-B changed from 'A-sf' to
'AA-sf' based on the final deal structure. The classes above
reflect the final ratings and deal structure.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
(c) Horizontal credit risk retention interest representing at least
5% of the estimated fair value of all classes of regular
certificates issued by the issuing entity (as of the closing
date).
The final ratings are based on information provided by the issuer
as of Dec. 22, 2017.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 42 loans secured by 82
commercial properties having an aggregate principal balance of
$942,737,075 as of the cut-off date. The loans were contributed to
the trust by Morgan Stanley Mortgage Capital Holdings LLC, Citi
Real Estate Funding Inc, Starwood Mortgage Funding III LLC and
Argentic Real Estate Finance LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 71.3% of the properties
by balance, cash flow analysis of 85.3%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Higher Fitch Leverage Than Recent Transactions: The pool's leverage
is higher than recent comparable Fitch-rated multiborrower
transactions. The pool's Fitch DSCR and LTV are 1.22x and 108.0%,
respectively, compared to the YTD 2017 averages of 1.26x and
101.3%. Excluding the credit opinion loan, the pool has a Fitch
DSCR and LTV of 1.18x and 112.9%, respectively, compared to the YTD
2017 normalized averages of 1.21x and 107.0%.
Above-Average Retail Concentration; Diverse Property Types: The
pool's largest property type is retail at 30.1%, which is greater
than the YTD 2017 average of 24.1%. Although the retail
concentration is above average, the pool has a diverse range of
property types. The second and third largest pool concentrations
are office at 16.8% and multifamily at 13.6%. Hotel properties
comprise only 11.4% of the pool, which is below the YTD 2017
average of 16.0%. Overall, there are 12 retail properties,
consisting of a mix of standalone, anchored shopping centers, and a
lifestyle center. None of the properties are regional malls.
Very Low Amortization: Based on the scheduled balance at maturity,
the pool will pay down 4.5%. This is well below the YTD 2017 and
2016 averages of 8.0% and 10.4%, respectively. Nineteen loans
(67.2% of pool) are full-term interest-only, which is significantly
higher than the respective YTD 2017 and 2016 averages of 45.8% and
33.3%.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 8.8% below
the most recent year's net operating income (NOI) for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period. Unanticipated further declines
in property-level NCF could result in higher defaults and loss
severities on defaulted loans and in potential rating actions on
the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the MSC
2017-HR2 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'Asf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf'
could result.
NASSAU LTD 2017-II: Moody's Assigns Ba3 Rating to Class E Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Nassau 2017-II Ltd.
Moody's rating action is:
US$260,000,000 Class A-L Senior Secured Floating Rate Notes due
2030 (the "Class A-L Notes"), Assigned Aaa (sf)
US$30,000,000 Class A-F Senior Secured Fixed Rate Notes due 2030
(the "Class A-F Notes"), Assigned Aaa (sf)
US$52,000,000 Class B Senior Secured Floating Rate Notes due 2030
(the "Class B Notes"), Assigned Aa2 (sf)
US$25,500,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class C Notes"), Assigned A2 (sf)
US$28,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class D Notes"), Assigned Baa3 (sf)
US$18,500,000 Class E Secured Deferrable Floating Rate Notes due
2030 (the "Class E Notes"), Assigned Ba3 (sf)
The Class A-L Notes, the Class A-F 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.
Nassau 2017-II is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90.0% of the portfolio must consist of
first lien senior secured loans, cash and eligible investments, and
up to 10.0% of the portfolio may consist of second lien loans,
unsecured loans and first-in last-out loans. The portfolio is
approximately 75% ramped as of the closing date.
NCC CLO Manager LLC (the "Manager") will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's four year reinvestment period.
Thereafter, the Manager may reinvest unscheduled principal payments
and proceeds from sales of credit risk assets, subject to certain
restrictions.
In addition to the Rated Notes, the Issuer issued 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: 60
Weighted Average Rating Factor (WARF): 2845
Weighted Average Spread (WAS): 3.75%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 47.0%
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 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 2845 to 3272)
Rating Impact in Rating Notches
Class A-L Notes: 0
Class A-F 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 2845 to 3699)
Rating Impact in Rating Notches
Class A-L Notes: -1
Class A-F Notes: -1
Class B Notes: -3
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
OAKTREE CLO 2015-1: S&P Assigns BB Rating on Class D-R Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, A-2A-R,
A-2B-R, B-R, C-R, and D-R replacement notes from Oaktree CLO 2015-1
Ltd., a collateralized loan obligation (CLO) originally issued in
2015 that is managed by Oaktree Capital Management L.P.
S&P withdrew its ratings on the original class A-1, A-2A, A-2B, B,
C, and D notes following payment in full on the Dec. 27, 2017,
refinancing date.
On the Dec. 27, 2017, refinancing date, the proceeds from the class
A-1-R, A-2A-R, A-2B-R, B-R, C-R, and D-R replacement note issuances
were used to redeem the original class A-1, A-2A, A-2B, B, C, and D
notes as outlined in the transaction document provisions.
Therefore, S&P withdrew its ratings on the original notes in line
with their full redemption, and it is assigning ratings to the
replacement notes.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"The assigned ratings reflect our opinion that the credit support
available is commensurate with the associated rating levels.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take rating actions as we
deem necessary."
RATINGS ASSIGNED
Oaktree CLO 2015-1 Ltd.
Replacement class Rating Amount (mil $)
A-1-R AAA (sf) 310.00
A-2A-R AA (sf) 60.50
A-2B-R AA (sf) 14.50
B-R A (sf) 26.00
C-R BBB (sf) 25.50
D-R BB (sf) 23.00
RATINGS WITHDRAWN
Oaktree CLO 2015-1 Ltd.
Rating
Original class To From
A-1 NR AAA (sf)
A-2A NR AA (sf)
A-2B NR AA (sf)
B NR A (sf)
C NR BBB (sf)
D NR BB (sf)
NR--Not rated.
OHA CREDIT XV: S&P Assigns BB- Rating on Class E Notes
------------------------------------------------------
S&P Global Ratings assigned its ratings to OHA Credit Partners XV
Ltd.'s $437.50 million floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed by a diversified collateral pool, which consists primarily
of broadly syndicated speculative-grade senior secured term loans
that are governed by collateral quality tests.
The ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
OHA Credit Partners XV Ltd./OHA Credit Partners XV LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 292.50
A-2 NR 22.50
B AA (sf) 66.25
C (deferrable) A (sf) 30.00
D (deferrable) BBB- (sf) 30.25
E (deferrable) BB- (sf) 18.50
Subordinated notes NR 52.00
NR--Not rated.
REGATTA X FUNDING: Moody's Assigns Ba3 Rating to Class E Notes
--------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Regatta X Funding Ltd. (the "Issuer" or "Regatta
X").
Moody's rating action is:
US$336,000,000 Class A Senior Secured Floating Rate Notes due 2031
(the "Class A Notes"), Assigned Aaa (sf)
US$60,375,000 Class B Senior Secured Floating Rate Notes due 2031
(the "Class B Notes"), Assigned Aa2 (sf)
US$31,500,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C Notes"), Assigned A2 (sf)
US$31,500,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class D Notes"), Assigned Baa3 (sf)
US$23,625,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2031 (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.
Regatta X is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90% of the portfolio must consist of
first lien senior secured loans and eligible investments, and up to
10% of the portfolio may consist of second lien loans, first-lien
last-out loans and unsecured loans. The portfolio is approximately
75% ramped as of the closing date.
Regatta Loan Management LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer issued 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: $525,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2860
Weighted Average Spread (WAS): 3.45%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 9.0 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
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 2860 to 3289)
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 2860 to 3718)
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
SDART 2016-1: Fitch Affirms 'BBsf' Rating on Cl. E Debt
-------------------------------------------------------
As part of its ongoing surveillance, Fitch Ratings has affirmed
seven and upgraded eight classes from Santander Drive Auto
Receivables Trusts 2014-1, 2014-2, 2015-3, and 2016-1.
KEY RATING DRIVERS
The rating actions are based on available credit enhancement and
loss performance to date. The collateral pools continue to perform
within Fitch's expectations and hard CE is building for the senior
notes. The securities are able to withstand stress scenarios
consistent with the current ratings and make full payments to
investors in accordance with the terms of the documents. The
Positive Outlooks on the applicable classes reflect the possibility
for an upgrade in the next one to two years.
Santander Drive Auto Receivables Trust 2014-1
As of the December 2017 servicer report, 61+ day delinquencies were
8.13% of the remaining collateral balance. Cumulative net losses
(CNLs) were at 11.48% and tracking below Fitch's initial base case
of 16.00%. Further, hard CE has grown to 105.69% for class C,
64.50% for class D, and 28.85% for class E.
For this analysis, Fitch utilized the original loss curve
extrapolation method to arrive at a revised lifetime CNL proxy of
13.40%. Under Fitch's stressed cash flow assumptions, loss coverage
for the class C and D notes are able to support multiples in excess
of 3.00x and the class E notes in excess of 2.50x for 'AAAsf' and
'AAsf,' respectively.
Santander Drive Auto Receivables Trust 2014-2
As of the December 2017 servicer report, 61+ day delinquencies were
7.62% of the remaining collateral balance. Cumulative net losses
(CNLs) were at 11.27% and tracking below Fitch's initial base case
of 16.45%. Further, hard CE has grown to 89.21% for class C, 60.17%
for class D, and 28.36% for class E.
For this analysis, Fitch utilized the original loss curve
extrapolation method to arrive at a revised lifetime CNL proxy of
13.40%. Under Fitch's stressed cash flow assumptions, loss coverage
for the class C and D notes are able to support multiples in excess
of 3.00x and the class E notes in excess of 2.50x for 'AAAsf' and
'AAsf,' respectively.
Santander Drive Auto Receivables Trust 2015-3
As of the December 2017 servicer report, 61+ day delinquencies were
5.86% of the remaining collateral balance. Cumulative net losses
(CNLs) were at 9.04% and tracking below Fitch's initial base case
of 17.25%. Further, hard CE has grown to 97.14% for class B, 59.13%
for class C, 36.47% for class D, and 21.85% for class E.
For this analysis, Fitch utilized the average of the original loss
curve extrapolation method and the original base case loss proxy to
arrive at a revised lifetime CNL proxy of 15.00%. Under Fitch's
stressed cash flow assumptions, the class B and C notes are able to
support loss coverage multiples in excess of 3.00x, the D notes are
able to support multiples in excess of 2.00x and the class E notes
in excess of 1.50x for 'AAAsf' and 'Asf,' and 'BBBsf,'
respectively.
Santander Drive Auto Receivables Trust 2016-1
As of the December 2017 servicer report, 61+ day delinquencies were
5.23% of the remaining collateral balance. Cumulative net losses
(CNLs) were at 7.34% and tracking below Fitch's initial base case
of 17.25%. Further, hard CE has grown to 99.46% for class A, 74.11%
for class B, 46.89% for class C, 30.66% for class D, and 20.19% for
class E.
For this analysis, Fitch utilized the average of the pool factor
extrapolation method and the original base case loss proxy to
arrive at a revised lifetime CNL proxy of 15.50%. Under Fitch's
stressed cash flow assumptions, the class A and B notes are able to
support loss coverage multiples in excess of 3.00x, the class C
notes in excess of 2.50x, the class D notes in excess of 2.00x, and
the class E notes in excess of 1.25x for 'AAAsf', 'AAsf,' 'Asf,'
and 'BBsf,' respectively.
Most cash flow modeling assumptions were unchanged for this review
versus prior reviews. Fitch updated voluntary prepayment
assumptions to 1.30% and assumed recovery rates of 40%. Fitch will
continue to monitor all four transactions and may take additional
rating actions in the future. The ratings reflect the quality of
Santander Consumer USA, Inc.'s retail auto loan originations, the
adequacy of its servicing capabilities, and the sound financial and
legal structure of the transaction.
RATING SENSITIVITIES
Unanticipated increases in the frequency of defaults and loss
severity could produce loss levels higher than the current
projected base case loss proxies and impact available loss coverage
and multiples levels for both transactions. Lower loss coverage
could impact ratings and Rating Outlooks, depending on the extent
of the decline in coverage.
In Fitch's initial review of the transactions, the notes were found
to have limited sensitivity to a 1.5x and 2.5x increase of Fitch's
base case loss expectation. To date, the transactions have
exhibited strong performance with losses within Fitch's initial
expectations with rising loss coverage and multiple levels
consistent with the current ratings. A material deterioration in
performance would have to occur within the asset pools to have
potential negative impact on the outstanding ratings.
Further, Fitch assessed each transaction's sensitivity to
back-ended default timing and found it was limited for the senior
classes in all transactions. In the 2016-1 transaction, the class E
notes do exhibit a slight decline in loss coverage multiples under
a back-ended loss-timing scenario. However, Fitch believes the
back-loaded scenarios to be unlikely given the level of seasoning
on each transaction and loss timing observed on the SDART platform
for prior transactions.
Fitch has taken the following rating actions:
Santander Drive Auto Receivables Trust 2014-1
-- Class C affirmed at 'AAAsf'; Outlook Stable;
-- Class D affirmed at 'AAAsf'; Outlook Stable;
-- Class E upgraded to 'AAsf' from 'Asf'; Outlook revised to
Stable from Positive.
Santander Drive Auto Receivables Trust 2014-2
-- Class C affirmed at 'AAAsf'; Outlook Stable;
-- Class D affirmed at 'AAAsf'; Outlook Stable;
-- Class E upgraded to 'AAsf' from 'Asf'; Outlook revised to
Stable from Positive.
Santander Drive Auto Receivables Trust 2015-3
-- Class B affirmed at 'AAAsf'; Outlook Stable;
-- Class C upgraded to 'AAAsf' from 'AAsf'; Outlook revised to
Stable from Positive;
-- Class D upgraded to 'Asf' from 'BBBsf'; Outlook Positive;
-- Class E upgraded to 'BBBsf' from 'BBsf'; Outlook Positive.
Santander Drive Auto Receivables Trust 2016-1
-- Class A-3 affirmed at 'AAAsf'; Outlook Stable;
-- Class B upgraded to 'AAAsf' from 'AAsf'; Outlook revised to
Stable from Positive;
-- Class C upgraded to 'AAsf' from 'Asf'; Outlook Positive;
-- Class D upgraded to 'Asf' from 'BBBsf'; Outlook Positive;
-- Class E affirmed at 'BBsf'; Outlook Positive.
TRAPEZA CDO X: Moody's Ups Rating on 3 Tranches to Caa3
-------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Trapeza CDO X, Ltd.:
US$268,000,000 Class A-1 First Priority Senior Secured Floating
Rate Notes Due 2041 (current balance of $110,024,063), Upgraded to
Aa1 (sf); previously on November 1, 2016 Upgraded to Aa2 (sf)
US$69,000,000 Class A-2 Second Priority Senior Secured Floating
Rate Notes Due 2041, Upgraded to Aa3 (sf); previously on November
1, 2016 Upgraded to A1 (sf)
US$31,000,000 Class B Third Priority Secured Deferrable Floating
Rate Notes Due 2041 (current balance including deferred interest of
$31,665,881), Upgraded to Baa2 (sf); previously on November 1, 2016
Upgraded to Ba1 (sf)
US $21,000,000 Class C-1 Fourth Priority Secured Deferrable
Floating Rates Notes (current balance including deferred interest
of $25,337,748), Upgraded to Caa3 (sf); previously on April 10,
2013 Affirmed C (sf)
US $35,000,000 Class C-2 Fourth Priority Secured Deferrable
Fixed/Floating Rates Notes (current balance including deferred
interest of $48,029,476), Upgraded to Caa3 (sf); previously on
April 10, 2013 Affirmed C (sf)
US $20,000,000 Composite Notes (current rated balance of
$16,681,200), Upgraded to Caa3 (sf); previously on April 10, 2013
Downgraded to C (sf)
Trapeza CDO X, Ltd., issued in June 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
over-collateralization ratios (OC) and partial repayment of the
Class B deferred interest balance since December 2016.
The Class A-1 notes have paid down by approximately 16.8% or $22.2
million since December 2016, using principal proceeds from the
redemption of the underlying assets and the diversion of excess
interest proceeds. Based on Moody's calculations, the OC ratios for
the Class A-1, Class A-2 and Class B notes have improved to 242.4%,
149.0% and 126.6%, respectively, from December 2016 levels of
215.9%, 141.9% and 122.1%, respectively. Since July 2017 payment
date, the Class B OC test was cured, and excess interest was used
to pay $1.0 million of the Class B deferred interest balance. Once
the Class B notes' deferred interest balance is reduced to zero,
the Class C notes will start to receive interest payments and the
Class A-1 notes will continue to benefit from the diversion of
excess interest as long as the Class C OC test continues to fail.
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
sector. Moody's maintains its stable outlook on the US insurance
sector.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's current
expectations could have a positive impact on the transaction's
performance. Conversely, asset credit performance weaker than
Moody's current expectations could have adverse consequences on the
transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and excess
interest proceeds will continue and at what pace. Note repayments
that are faster than Moody's current expectations could have a
positive impact on the notes' ratings, beginning with the notes
with the highest payment priority.
4) Exposure to non-publicly rated assets: The deal contains a large
number of securities whose default probability Moody's assesses
through credit scores derived using RiskCalc(TM) or credit
estimates. Because these are not public ratings, they are subject
to additional uncertainties.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Assuming a two-notch upgrade to assets with below-investment grade
ratings or rating estimates (WARF of 635)
Class A-1: 0
Class A-2: +2
Class B: +3
Class C-1: +2
Class C-2: +2
Composite Notes: +1
Assuming a two-notch downgrade to assets with below-investment
grade ratings or rating estimates (WARF of 1541)
Class A-1: -1
Class A-2: -1
Class B: -2
Class C-1: -2
Class C-2: -2
Composite Notes: -1
Loss and Cash Flow Analysis:
Moody's applied a Monte Carlo simulation framework in Moody's
CDROM(TM) to model the loss distribution for TruPS CDOs. The
simulated defaults and recoveries for each of the Monte Carlo
scenarios defined the reference pool's loss distribution. Moody's
then used the loss distribution as an input in its CDOEdge(TM) cash
flow model. CDROM(TM) is available on www.moodys.com under Products
and Solutions -- Analytical models, upon receipt of a signed free
license agreement.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool has having a performing par of $266.7 million,
defaulted par of $60.1 million, a weighted average default
probability of 12.61% (implying a WARF of 1071), and a weighted
average recovery rate upon default of 10%.
In addition to the quantitative factors Moody's explicitly models,
qualitative factors are part of rating committee considerations.
Moody's considers the structural protections in the transaction,
the risk of an event of default, recent deal performance under
current market conditions, the legal environment and specific
documentation features. All information available to rating
committees, including macroeconomic forecasts, inputs from other
Moody's analytical groups, market factors, and judgments regarding
the nature and severity of credit stress on the transactions, can
influence the final rating decision.
The portfolio of this CDO contains mainly TruPS issued by small to
medium sized U.S. community banks, insurance companies and REIT
companies that Moody's does not rate publicly. To evaluate the
credit quality of bank TruPS that do not have public ratings,
Moody's uses RiskCalc(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.
TRINITAS CLO VII: Moody's Assigns Ba3 Rating to Class E Notes
-------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Trinitas CLO VII, Ltd.
Moody's rating action is:
U.S.$384,000,000 Class A Floating Rate Notes due 2031 (the "Class A
Notes"), Assigned Aaa (sf)
U.S.$72,000,000 Class B Floating Rate Notes due 2031 (the "Class B
Notes"), Assigned Aa2 (sf)
U.S.$34,800,000 Class C Deferrable Floating Rate Notes due 2031
(the "Class C Notes"), Assigned A2 (sf)
U.S.$34,200,000 Class D Deferrable Floating Rate Notes due 2031
(the "Class D Notes"), Assigned Baa3 (sf)
U.S.$27,000,000 Class E Deferrable Floating Rate Notes due 2031
(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.
Trinitas CLO VII is a managed cash flow CLO. The issued notes will
be collateralized primarily by broadly syndicated senior secured
corporate loans. Subject to at least 92.5% of the portfolio
consisting of first lien senior secured loans, cash, and eligible
investments, up to 7.5% of the portfolio may consist of second lien
loans, and up to 2.5% of the portfolio may consist of unsecured
loans. The portfolio is approximately 89% ramped as of the closing
date.
Trinitas Capital 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 4.6-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: $600,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2842
Weighted Average Spread (WAS): 3.65%
Weighted Average Coupon (WAC): 4.00%
Weighted Average Recovery Rate (WARR): 47.5%
Weighted Average Life (WAL): 8.6 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 2842 to 3268)
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 2842 to 3695)
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
UBS COMMERCIAL 2017-C7: Fitch Assigns B- Rating to Cl. G-RR Certs
-----------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to UBS
Commercial Mortgage Trust 2017-C7 Commercial Mortgage Pass-Through
Certificates, Series 2017-C7.
Fitch rates the transaction and assigns Rating Outlooks as
follows:
-- $33,907,000 class A-1 'AAAsf'; Outlook Stable;
-- $49,837,000 class A-2 'AAAsf'; Outlook Stable;
-- $47,439,000 class A-SB 'AAAsf'; Outlook Stable;
-- $177,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $315,490,000 class A-4 'AAAsf'; Outlook Stable;
-- $623,673,000b class X-A 'AAAsf'; Outlook Stable;
-- $98,005,000 class A-S 'AAAsf'; Outlook Stable;
-- $36,753,000 class B 'AA-sf'; Outlook Stable;
-- $35,638,000 class C 'A-sf'; Outlook Stable;
-- $170,396,000b class X-B 'AA-sf'; Outlook Stable;
-- $21,160,000ac class D-RR 'BBBsf'; Outlook Stable;
-- $17,820,000ac class E-RR 'BBB-sf'; Outlook Stable;
-- $17,819,000ac class F-RR 'BB-sf'; Outlook Stable;
-- $8,909,000ac class G-RR 'B-sf'; Outlook Stable.
The following class is not rated:
-- $31,184,565ac class NR-RR.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
(c) Horizontal credit risk retention interest representing no less
than 5% of the estimated fair value of all classes of regular
certificates issued by the issuing entity as of the closing date.
Since Fitch published its expected ratings on Dec. 13, 2017, the
expected 'A-sf' rating on the interest-only X-B class has been
revised to 'AA-sf' based on the final deal structure.
The final ratings are based on information provided by the issuer
as of Dec. 27, 2017.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 48 loans secured by 109
commercial properties having an aggregate principal balance of
$890,961,565 as of the cut-off date. The loans were contributed to
the trust by: UBS AG, Ladder Capital Finance LLC, KeyBank National
Association, Societe Generale, Cantor Commercial Real Estate
Lending, L.P. and Natixis Real Estate Capital LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 66.5% of the properties
by balance, cash flow analysis of 78.4% and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Higher Fitch Leverage than Recent Transactions: The pool's leverage
is slightly higher than recent comparable Fitch-rated multiborrower
transactions. The pool's Fitch DSCR is 1.22x, which is lower than
the YTD 2017 average of 1.26x. The pool's Fitch LTV is 100.9%,
which is slightly better than the YTD 2017 average of 101.3%.
Similarly, excluding credit opinion loans, the pool's normalized
Fitch DSCR and LTV are 1.17x and 106.6%, compared to the YTD 2017
averages of 1.21x and 107%, respectively.
Investment-Grade Credit Opinion Loans: Two loans, representing
11.2% of the pool, have investment-grade credit opinions. One State
Street (7.0%), the largest loan in the pool, has an
investment-grade credit opinion of 'BBB+sf*' on a stand-alone
basis. General Motors Building (4.2%) has an investment-grade
credit opinion of 'AAAsf*' on a stand-alone basis.
Lower Hotel Exposure: Loans secured by hotel properties represent
only 12.3% of the pool by balance, which is lower than the YTD 2017
and 2016 average of 16% for Fitch-rated transactions. Hotels have
the highest probability of default in Fitch's multiborrower model,
all else equal. Loans secured by office properties and mixed-use
properties that are predominantly office make up 30.8% of the pool.
Loans secured by retail properties and mixed-use properties that
are predominantly retail make up 29.8%. Office and retail
properties have an average probability of default in Fitch's
multiborrower model, all else equal.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 14.7% below
the most recent year's NOI for properties for which a full-year NOI
was provided, excluding properties that were stabilizing during
this period. Unanticipated further declines in property-level NCF
could result in higher defaults and loss severities on defaulted
loans and in potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the UBS
2017-C7 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'BBB+sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'
could result.
VENTURE CLO XX: S&P Affirms B Rating on Class F Notes
-----------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-1-R,
B-2-R, C-R, and D-R replacement notes from Venture XX CLO Ltd., a
U.S. collateralized loan obligation (CLO) transaction managed by
MJX Asset Management LLC. The replacement notes are being issued
via a supplemental indenture. S&P said, "We withdrew our ratings on
the original class A, B-1, B-2, C, and D notes from this
transaction following payment in full on the Dec. 27, 2017,
refinancing date. At the same time, we affirmed our ratings on the
class E-1, E-2, and F notes."
On the Dec. 27, 2017, refinancing date, the proceeds from the class
A-R, B-1-R, B-2-R, C-R, and D-R replacement note issuances were
used to redeem the original class A, B-1, B-2, C, and D notes as
outlined in the transaction document provisions. Therefore, S&P
withdrew its ratings on the original notes in line with their full
redemption, and it is assigning final ratings to the new notes. The
class E-1, E-2, and F notes are not affected by the changes in the
supplemental indenture.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"The assigned ratings reflect our opinion that the credit support
available is commensurate with the associated rating levels.
"We will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as it deems
necessary."
RATINGS ASSIGNED
Venture XX CLO Ltd.
Replacement class Rating Amount (mil. $)
A-R AAA (sf) 378.10
B-1-R AA (sf) 61.90
B-2-R AA (sf) 10.00
C-R A (sf) 46.10
D-R BBB (sf) 31.40
Subordinated notes NR
RATINGS WITHDRAWN
Venture XX CLO Ltd.
Rating
Original class To From
A NR AAA (sf)
B-1 NR AA (sf)
B-2 NR AA (sf)
C NR A (sf)
D NR BBB (sf)
RATINGS AFFIRMED
Venture XX CLO Ltd.
Class Rating
E-1 BB (sf)
E-2 BB (sf)
F B (sf)
NR--Not rated.
VOYA CLO 2014-3: Moody's Affirms B2(sf) Rating on Cl. E Notes
-------------------------------------------------------------
Moody's Investors Service has assigned the following ratings to the
following notes (the "Refinancing Notes") issued by Voya CLO
2014-3, Ltd. (the "Issuer"):
US$320,000,000 Class A-1-R Floating Rate Notes due 2026 (the "Class
A-1-R Notes"), Assigned Aaa (sf)
US$31,250,000 Class C-R Deferrable Floating Rate Notes due 2026
(the "Class C-R Notes"), Assigned Baa3 (sf)
Additionally, Moody's has taken rating actions on the following
outstanding notes issued by the Issuer on the original issuance
date (the "Original Closing Date"):
US$53,750,000 Class A-2A Floating Rate Notes due 2026 (the "Class
A-2A Notes"), Upgraded to Aa1 (sf); previously on July 31, 2014
Definitive Rating Assigned Aa2 (sf)
US$12,500,000 Class A-2B Fixed Rate Notes due 2026 (the "Class A-2B
Notes"), Upgraded to Aa1 (sf); previously on July 31, 2014
Definitive Rating Assigned Aa2 (sf)
US$23,750,000 Class B Deferrable Floating Rate Notes due 2026 (the
"Class B Notes"), Upgraded to A1 (sf); previously on July 31, 2014
Definitive Rating Assigned A2 (sf)
US$23,000,000 Class D Deferrable Floating Rate Notes due 2026 (the
"Class D Notes"), Affirmed Ba3 (sf); previously on July 31, 2014
Definitive Rating Assigned Ba3 (sf)
US$8,750,000 Class E Deferrable Floating Rate Notes due 2026 (the
"Class E Notes"), Affirmed B2 (sf); previously on July 31, 2014
Definitive Rating Assigned B2 (sf)
US$71,250,000 Combination Securities (composed of components
representing US$12,500,000 Class A-2A Notes, US$12,500,000 Class
A-2B Notes, US$23,750,000 Class B Notes and US$22,500,000
subordinated notes) due 2026 (the "Combination Securities")
(current outstanding balance of $51,851,125), Upgraded to A1 (sf);
previously on December 6, 2016 Confirmed at A3 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of senior secured, broadly syndicated corporate loans.
Voya Alternative Asset Management LLC (the "Manager") manages the
CLO. It directs the selection, acquisition, and disposition of
collateral on behalf of the Issuer.
RATINGS RATIONALE
Moody's ratings on the Refinancing Notes address the expected loss
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 December 21, 2017
(the "Refinancing Date") in connection with the refinancing of
certain classes of notes (the "Refinanced Original Notes")
previously issued on the Original Closing Date. On the Refinancing
Date, the Issuer used the proceeds from the issuance of the
Refinancing Notes to redeem in full the Refinanced Original Notes.
Moody's rating actions on the Class A-2A Notes, Class A-2B Notes
and Class B Notes are primarily a result of the refinancing, which
increases excess spread available as credit enhancement to the
rated notes. Additionally, Moody's expects the Issuer to continue
to benefit from a portfolio weighted average recovery rate (WARR)
level that is higher than the covenanted test level.
The rating upgrade on the Combination Securities is primarily the
result of reduction of the rated balance since December 2016, by
approximately $5.0 million or 8.7% of the rated balance at that
time. The Combination Securities will also benefit from an increase
in the deal's excess spread resulting from the refinancing of the
CLO's Class A-1 Notes and Class C Notes.
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 each class of the Issuer's notes is subject to
uncertainty relating to certain factors and circumstances, and this
uncertainty could lead to either an upgrade or downgrade of Moody's
ratings:
1) Macroeconomic uncertainty: CLO performance is subject to
uncertainty about credit conditions in the general economy.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the Manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO documentation
by the Manager or other transaction parties owing to embedded
ambiguities.
3) Collateral credit risk: Investing in collateral of better credit
quality, or better than Moody's expected credit performance of the
assets collateralizing the transaction can lead to positive CLO
performance. Conversely, a negative shift in the credit quality or
performance of the collateral can have adverse consequences for CLO
performance.
4) Deleveraging: During the amortization period, the pace of
deleveraging from unscheduled principal proceeds is an important
source of uncertainty. Deleveraging of the CLO could accelerate
owing to high prepayment levels in the loan market and/or
collateral sales by the Manager, which could have a significant
impact on the ratings. Note repayments that are faster than Moody's
current expectations will usually have a positive impact on CLO
notes, beginning with those notes having the highest payment
priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets could result in volatility in the deal's
overcollateralization levels. Further, the timing of recovery
realization and whether the Manager decides to work out or sell
defaulted assets create additional uncertainty. Realization of
recoveries that are either materially higher or lower than assumed
in Moody's analysis would impact the CLO positively or negatively,
respectively.
6) Weighted average life (WAL): The notes' ratings can be sensitive
to the weighted average life assumption of the portfolio, which
could lengthen owing to any decision by the Manager to reinvest
into new issue loans or loans with longer maturities, or
participate in amend-to-extend offerings. Life extension can
increase the default risk horizon and assumed cumulative default
probability of CLO collateral.
7) Combination notes: The rating on combination notes which
combines cash flows from one or more of the CLO's debt tranches and
the equity tranche, is subject to a higher degree of volatility
than the other rated notes. Actual equity distributions that differ
significantly from Moody's assumptions can lead to a faster (or
slower) speed of reduction in the combination notes' rated balance,
thereby resulting in better (or worse) ratings performance than
previously expected. Additionally, a refinancing of the CLO debt
tranches securing combination notes exposes them to the risks of
losing future coupon payments from the refinanced CLO debt
tranches, as well as shortening the weighted average life/duration
of the combination security.
8) Weighted Average Spread (WAS): CLO performance can be sensitive
to WAS, which is a key factor driving the amount of excess spread
available as credit enhancement when a deal fails its
over-collateralization or interest coverage tests. A decrease in
excess spread, including as a result of losing the net interest
benefit of LIBOR floors, or because market conditions make it
difficult for the deal to source assets of appropriate credit
quality in order to maintain its WAS target, would reduce the
effective credit enhancement available for the notes.
Together with the set of modeling assumptions described below,
Moody's conducted additional sensitivity analyses, which were
considered in determining the ratings assigned to the rated notes.
In particular, in addition to the base case analysis, Moody's
conducted sensitivity analyses to test the impact of a number of
default probabilities on the rated notes relative to the base case
modeling results. Below is a summary of the impact of different
default probabilities, expressed in terms of WARF level, on the
rated notes (shown in terms of the number of notches difference
versus the base case model output, where a positive difference
corresponds to a lower expected loss):
Moody's Assumed WARF - 20% (2330)
Class A-1-R: 0
Class A-2A: +1
Class A-2B: +1
Class B: +3
Class C-R: +3
Class D: +1
Class E: +1
Combination Securities: +1
Moody's Assumed WARF + 20% (3495)
Class A-1-R: 0
Class A-2A: -2
Class A-2B: -2
Class B: -2
Class C-R: -1
Class D: -2
Class E: -3
Combination Securities: -2
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
recovery rate, and weighted average spread, 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: $499,307,498
Defaulted par: $0
Diversity Score: 87
Weighted Average Rating Factor (WARF): 2912 (corresponding to a
weighted average default probability of 22.56%)
Weighted Average Spread (WAS): 3.42%
Weighted Average Recovery Rate (WARR): 49.08%
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of the
assets in the collateral pool. In each case, historical and market
performance and the collateral manager's latitude for trading the
collateral are also factors.
VOYA CLO 2015-1: Moody's Assigns B3(sf) Rating to Class E-R Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
CLO refinancing notes (the "Refinancing Notes") issued by Voya CLO
2015-1, Ltd.:
Moody's rating action is:
US$386,750,000 Class A-1-R Floating Rate Notes due 2029 (the "Class
A-1-R Notes"), Assigned Aaa (sf)
US$66,250,000 Class A-2-R Floating Rate Notes due 2029 (the "Class
A-2-R Notes"), Assigned Aa2 (sf)
US$44,250,000 Class B-R Deferrable Floating Rate Notes due 2029
(the "Class B-R Notes"), Assigned A2 (sf)
US$30,250,000 Class C-R Deferrable Floating Rate Notes due 2029
(the "Class C-R Notes"), Assigned Baa3 (sf)
US$26,000,000 Class D-R Deferrable Floating Rate Notes due 2029
(the "Class D-R Notes"), Assigned Ba3 (sf)
US$13,000,000 Class E-R Deferrable Floating Rate Notes due 2029
(the "Class E-R Notes"), Assigned B3 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
Voya Alternative Asset Management LLC (the "Manager") manages the
CLO. It directs the selection, acquisition, and disposition of
collateral on behalf of the Issuer.
RATINGS RATIONALE
Moody's ratings on the Refinancing Notes address the expected
losses posed to noteholders. The ratings reflect the risks due to
defaults on the underlying portfolio of assets, the transaction's
legal structure, and the characteristics of the underlying assets.
The Issuer has issued the Refinancing Notes on December 21, 2017
(the "Refinancing Date") in connection with the refinancing of all
classes of the secured notes (the "Refinanced Original Notes")
previously issued on April 2, 2015 (the "Original Closing Date").
On the Refinancing Date, the Issuer used proceeds from the issuance
of the Refinancing Notes to redeem in full the Refinanced Original
Notes.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; and changes to the
overcollateralization test levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Performing par and principal proceeds balance: $597,000,000
Defaulted par: $0
Diversity Score: 80
Weighted Average Rating Factor (WARF): 2873
Weighted Average Spread (WAS): 3.10%
Weighted Average Coupon (WAC): 7.0%
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 7 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% (2873 to 3304)
Rating Impact in Rating Notches
Class A-1-R Notes: 0
Class A-2-R Notes: -1
Class B-R Notes: -2
Class C-R Notes: -1
Class D-R Notes: 0
Class E-R Notes: -1
Percentage Change in WARF -- increase of 30% (2873 to 3735)
Rating Impact in Rating Notches
Class A-1-R Notes: 0
Class A-2-R Notes: -2
Class B-R Notes: -4
Class C-R Notes: -2
Class D-R Notes: -1
Class E-R Notes: -3
WELLS FARGO 2016-NXS5: Fitch Affirms B-sf Rating on 2 Tranches
--------------------------------------------------------------
Fitch Ratings has affirmed 20 classes of Wells Fargo Commercial
Mortgage Trust Pass-Through Certificates series 2016-NXS5 (WFCM
2016-NXS5).
KEY RATING DRIVERS
Stable Performance with No Material Changes: The affirmations are
based on the stable performance of the underlying collateral and
minimal changes to credit enhancement. As of the December 2017
distribution date, the pool's aggregate principal balance has been
reduced by 1.2% to $864.7 million from $875.1 million at issuance.
There have been no specially serviced or delinquent loans since
issuance. Three loans (2.3% of pool) are on the servicer's
watchlist for deferred maintenance and none are considered Fitch
Loans of Concern.
Pool Concentration: The top 10 loans make up 48.4% of the pool,
which is below the respective 2016 and 2015 averages of 54.8% and
49.3%. Loans secured by office, retail and hotel properties
represent 29.4%, 26.6% and 15.8%, respectively.
Single-Tenant Properties: The pool includes six loans (18.2% of
pool) secured by properties that are exclusively occupied by a
single-tenant. However, including all 31 properties with
single-tenant concentration greater than 75%, the exposure
represents approximately 33.4% of the pool. This is significantly
higher than the 2015 and 2014 averages of 12.8% and 9.3%. Loans in
the top 10 secured by properties with single tenant concentration
include One Court Square (8.7% of pool), Torrance Crossroads
(5.2%), Walgreens-CVS Portfolio (5.1%) and Keurig Green Mountain
(3.2%).
Amortization: Based on the loans' scheduled maturity balances, the
pool is expected to amortize 11.2% during the term, compared to the
respective 2016 and 2015 averages of 10.4% and 11.7%. Seven loans,
representing 28.7% of the pool, are full-term, interest-only. At
issuance, 17 loans (32.4% of pool) have partial-term, interest-only
component. Of these, one (0.8%) has begun to amortize.
Loan Maturities: The loan maturity schedule consists of 12.6% of
the pool in 2020, 1.2% in 2021, 4.4% in 2023, 19.0% in 2025 and
62.8% in 2026.
Hurricane/Wildfire Exposure: Three properties (1.2% of pool),
including one in the Lightstone Retail Portfolio I, are located in
areas impacted by Hurricane Irma. According to the master
servicer's most recent significant insurance event (SIE) reporting,
the Fort Knox Self Storage property (0.4%) in Pompano Beach, FL did
not sustain any damages. The Value Self Storage property (0.2%) in
Port Charlotte, FL and the New Smyrna Shopping Center property
(0.6%) in New Smyrna, FL (part of the Lightstone Retail Portfolio
I) sustained minor damages. Seven properties (6.7%) are located in
areas impacted by Hurricane Harvey. Only one, The Lake Apartments
(1.8%), in Houston, TX sustained minor damages. Exposure to the
recent wildfires in California consists of two properties (1.6%)
located in Grass Valley, CA and Santa Rosa, CA, neither of which
sustained damages.
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 classes:
-- $22.7 million class A-1 at 'AAAsf'; Outlook Stable;
-- $121.9 million class A-2 at 'AAAsf'; Outlook Stable;
-- $35.8 million class A-3 at 'AAAsf'; Outlook Stable;
-- $65 million class A-4 at 'AAAsf'; Outlook Stable;
-- $85 million class A-5 at 'AAAsf'; Outlook Stable;
-- $164.8 million class A-6 at 'AAAsf'; Outlook Stable;
-- $50 million class A-6FL at 'AAAsf'; Outlook Stable;
-- $0 class A-6FX at 'AAAsf'; Outlook Stable;
-- $57 million class A-SB at 'AAAsf'; Outlook Stable;
-- $50.3 million class A-S at 'AAAsf'; Outlook Stable;
-- $52.5 million class B at 'AA-sf'; Outlook Stable;
-- $39.4 million class C at 'A-sf'; Outlook Stable;
-- $26.3 million class D at 'BBBsf'; Outlook Stable;
-- $20.8 million class E at 'BBB-sf'; Outlook Stable;
-- $22.2 million class F at 'BB-sf'; Outlook Stable;
-- $9.5 million class G at 'B-sf'; Outlook Stable;
-- Interest-Only class X-A at 'AAAsf'; Outlook Stable;
-- Interest-Only class X-B at 'AA-sf'; Outlook Stable;
-- Interest-Only class X-F at 'BB-sf'; Outlook Stable;
-- Interest-Only class X-G at 'B-sf'; Outlook Stable.
Fitch does not rate the class H or class X-H certificates.
WELLS FARGO 2017-C42: Fitch Assigns 'B-sf' Rating on 2 Tranches
---------------------------------------------------------------
Fitch Ratings has assigned the following final ratings and Rating
Outlooks to Wells Fargo Commercial Mortgage Trust 2017-C42
commercial mortgage pass-through certificates:
-- $13,377,000 class A-1 'AAAsf'; Outlook Stable;
-- $12,320,000 class A-2 'AAAsf'; Outlook Stable;
-- $27,697,000 class A-SB 'AAAsf'; Outlook Stable;
-- $147,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $287,780,000 class A-4 'AAAsf'; Outlook Stable;
-- $7,125,000 class A-BP 'AAAsf'; Outlook Stable;
-- $488,174,000a class X-A 'AAAsf'; Outlook Stable;
-- $7,125,000a class X-BP 'AAAsf'; Outlook Stable;
-- $116,750,000a class X-B 'A-sf'; Outlook Stable;
-- $40,686,000 class A-S 'AAAsf'; Outlook Stable;
-- $39,801,000 class B 'AA-sf'; Outlook Stable;
-- $36,263,000 class C 'A-sf'; Outlook Stable;
-- $40,685,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $20,343,000ab class X-E 'BB-sf'; Outlook Stable;
-- $7,960,000ab class X-F 'B-sf'; Outlook Stable;
-- $40,685,000b class D 'BBB-sf'; Outlook Stable;
-- $20,343,000b class E 'BB-sf'; Outlook Stable;
-- $7,960,000b class F 'B-sf'; Outlook Stable.
The following classes are not rated by Fitch:
-- $26,534,190b class G.
-- $37,240,588.98bc class RR Interest.
(a) Notional amount and interest only.
(b) Privately placed and pursuant to Rule 144A.
(c) Vertical credit risk retention interest representing at least
5% of the estimated fair value of all classes of regular
certificates issued by the issuing entity as of the closing date.,
The ratings are based on information provided by the issuer as of
Dec. 21, 2017.
Since Fitch published its expected ratings on Dec. 6, 2017, the
class A-3 certificate balance decreased from $205,000,000 to
$147,000,000, and the class A-4 certificate balance increased from
$229,780,000 to $287,780,000. The classes above reflect the final
ratings and deal structure.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 37 loans secured by 66
commercial properties having an aggregate principal balance of
$744,811,779 as of the cut-off date. The loans were contributed to
the trust by Barclays Bank PLC, Starwood Mortgage Funding II LLC,
Wells Fargo Bank, National Association, and Rialto Mortgage
Finance, LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 85.3% of the properties
by balance, cash flow analysis of 93.5%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Higher Fitch Leverage: The transaction has lower Fitch coverage and
higher Fitch leverage relative to other recent Fitch-rated
multiborrower transactions. The pool's Fitch debt service coverage
ratio (DSCR) of 1.20x is below the year-to-date (YTD) 2017 average
of 1.26x and in line with the 2016 average of 1.21x. The pool's
Fitch loan to value (LTV) of 107.8% is higher than the YTD 2017 and
2016 averages of 101.3% and 105.2%, respectively.
Above-Average Pool Concentration: The pool is more concentrated
relative to other recent Fitch-rated multiborrower transactions.
The top 10 loans total 58.7% of the pool, compared to the YTD 2017
average of 52.7% and the 2016 average of 54.8%. Additionally, the
loan concentration index (LCI) is 476, which also exceeds the YTD
2017 and 2016 averages of 394 and 422, respectively, for this
transaction.
Investment-Grade Credit Opinion Loan: The fifth largest loan,
Moffett Towers II - Building 2 (5.4% of the pool), has a credit
opinion of 'BBB-sf*' on a stand-alone basis. The loan has a Fitch
DSCR of 1.26x and Fitch LTV of 70.4%. Net of this loan, the pool's
Fitch DSCR and LTV are 1.20x and 109.9%, respectively.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 17% below the
most recent year's net operating income (NOI) for properties for
which a full-year NOI was provided, excluding properties that were
stabilizing during this period. Unanticipated further declines in
property-level NCF could result in higher defaults and loss
severities on defaulted loans and in potential rating actions on
the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the WFCM
2017-C42 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'Asf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf'
could result.
WELLS FARGO 2017-SMP: Moody's Assigns Ba3 Rating to Cl. E Certs
---------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to six
classes of CMBS securities, issued by Wells Fargo Commercial
Mortgage Trust 2017-SMP, Commercial Mortgage Pass-Through
Certificates, Series 2017-SMP:
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned Aa3 (sf)
Cl. C, Definitive Rating Assigned A3 (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. E, Definitive Rating Assigned Ba3 (sf)
Cl. X-CP*, Definitive Rating Assigned Aaa (sf)
* Reflects interest-only classes
RATINGS RATIONALE
The Certificates are collateralized by a single loan backed by a
first lien commercial mortgage related to one property, Santa
Monica Place. The ratings are based on the collateral and the
structure of the transaction.
Santa Monica Place is an open-air, regional mall located in Santa
Monica, CA. Collateral for the loan includes (i) the fee simple
interest in the 523,139 SF, three-level shopping center (including
the Anchor SF) and (ii) the leasehold interest in two, multi-level
parking garages contiguous to the shopping center and the retail
space in the parking facilities (collectively, the "Property"). The
Property contains three anchor tenants, which include Nordstrom
(121,665 SF, 23.3% of NRA), Bloomingdale's (101,756 SF, 19.5% of
NRA), and ArcLight Cinemas (48,000 SF, 9.2% of NRA). Other
noteworthy national retailers at the Property include Tiffany &
Co., Louis Vuitton, All Saints, Coach, Hugo Boss, Kate Spade,
Michael Kors, Barney's, Ted Baker, White House Black Market, Nike,
Uniqlo and Disney. The Property also contains an entertainment
component including a 12-screen movie theater, six restaurants, and
a food court. The subject's full-service restaurants, which are
primarily located on the third floor, include The Cheesecake
Factory, Lure Fish House & Oyster Bar, Sonoma Wine Garden, True
Food Kitchen, Dude's Brewing Company, and the Curious Palate.
The Property is well located in downtown Santa Monica, CA, one
block from the famous Santa Monica Pier and at the southern base of
the Third Street Promenade retail district. The Property is
situated just off Interstate 10 and adjacent to the newly added
Metro Expo Line, which connects Santa Monica to downtown Los
Angeles.
Moody's approach to rating this transaction involved the
application of both Moody's Large Loan and Single Asset/Single
Borrower CMBS methodology and Moody's IO Rating methodology. The
rating approach for securities backed by a single loan compares the
credit risk inherent in the underlying collateral with the credit
protection offered by the structure. The structure's credit
enhancement is quantified by the maximum deterioration in property
value that the securities are able to withstand under various
stress scenarios without causing an increase in the expected loss
for various rating levels. In assigning single borrower ratings,
Moody's also consider a range of qualitative issues as well as the
transaction's structural and legal aspects.
The credit risk of commercial real estate loans is determined
primarily by two factors: 1) the probability of default, which is
largely driven by the DSCR, and 2) and the severity of loss in the
event of default, which is largely driven by the LTV of the
underlying loan.
The first mortgage balance of $300,000,000 represents a Moody's LTV
of 94.7%. The Moody's First Mortgage Actual DSCR is 2.91X and
Moody's First Mortgage Actual Stressed DSCR is 0.86X.
Moody's also grades properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The Property's quality
grade is 0.75, reflecting the strong quality of the asset.
Notable strengths of the transaction include: asset quality,
property location, operating performance trends, and an experienced
and committed Sponsor.
Notable credit challenges of the transaction include: lack of
diversity for this single asset transaction, tenant rollover risk,
sponsor cash out, and the lack of loan amortization.
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. The methodologies used in rating Cl.
X-CP was "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" published in June 2017 and "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.
Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from Moody's
Moody's loan level LTV ratios. Major adjustments to determining
proceeds include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.
Moody's analysis considers the following inputs to calculate the
proposed IO rating based on the published methodology: original and
current bond ratings and credit estimates; original and current
bond balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology.
Moody's Parameter Sensitivities: If Moody's value of the collateral
used in determining the initial rating were decreased by 5.0%,
15.6%, and 25.0%, the model-indicated rating for the currently
rated Aaa (sf) classes would be Aa1 (sf), Aa3 (sf), and A2 (sf),
respectively. Parameter Sensitivities are not intended to measure
how the rating of the security might migrate over time; rather they
are designed to provide a quantitative calculation of how the
initial rating might change if key input parameters used in the
initial rating process differed. The analysis assumes that the deal
has not aged. Parameter Sensitivities only reflect the ratings
impact of each scenario from a quantitative/model-indicated
standpoint. Qualitative factors are also taken into consideration
in the ratings process, so the actual ratings that would be
assigned in each case could vary from the information presented in
the Parameter Sensitivity analysis.
These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer at
the date it was prepared and such information has not been
independently verified by Moody's; (b) must be construed solely as
a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating to
the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third party
for any loss, injury or cost caused to the issuer or any other
third party, in whole or in part, including by any negligence (but
excluding fraud, dishonesty and/or willful misconduct or any other
type of liability that by law cannot be excluded) on the part of,
or any contingency beyond the control of Moody's, or any of its
employees or agents, including any losses arising from or in
connection with the procurement, compilation, analysis,
interpretation, communication, dissemination, or delivery of any
information or rating relating to the issuer.
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 may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
Moody's ratings address only the credit risks associated with the
transaction. Other non-credit risks have not been addressed and may
have a significant effect on yield to investors.
The ratings do not represent any assessment of (i) the likelihood
or frequency of prepayment on the mortgage loans, (ii) the
allocation of net aggregate prepayment interest shortfalls, (iii)
whether or to what extent prepayment premiums might be received, or
(iv) in the case of any class of interest-only certificates, the
likelihood that the holders thereof might not fully recover their
investment in the event of a rapid rate of prepayment of the
mortgage loans.
[*] Moody's Withdraws $250MM of RMBS Issued 2003-2007
-----------------------------------------------------
Moody's Investors Service has withdrawn the ratings of 18 tranches
from nine re-securitization (Resec) transactions issued between
2003 and 2007. These Resec transactions are backed by residential
mortgage backed securities (RMBS) which in turn are backed by
mortgage pools for which the number of loans remaining in the pools
has fallen below the level specified in Moody's applicable
methodology, thereby calling for withdrawal for small pool factor.
For 5 tranches from 3 Resec transactions, Moody's previously
withdrew the ratings of the underlying RMBS and mistakenly did not
withdraw the ratings on the associated Resec transactions at the
same time. For 13 tranches from 6 Resec transactions, Moody's does
not rate the RMBS backing the Resec transactions, but has
determined that these RMBS are currently backed by mortgage pools
subject to the small pool factor.
Complete rating actions are:
Affected Resec transactions where Moody's previously withdrew the
ratings of the underlying RMBS
Issuer: Bear Stearns Structured Products, Inc. 2003-1
Cl. B-2, Withdrawn (sf); previously on Jun 2, 2011 Downgraded to Ca
(sf)
Issuer: MASTR Asset Securitization Trust 2004-P7
Cl. A-5, Withdrawn (sf); previously on Sep 30, 2016 Confirmed at
Baa3 (sf)
Cl. A-6, Withdrawn (sf); previously on Sep 30, 2016 Confirmed at
Baa3 (sf)
Cl. A-7, Withdrawn (sf); previously on Sep 30, 2016 Confirmed at B1
(sf)
Issuer: MASTR Resecuritization Trust 2005-1
Notes, Withdrawn (sf); previously on Jun 2, 2011 Downgraded to C
(sf)
Affected Resec transactions where Moody's did not rate the RMBS
backing the Resec transactions
Issuer: MASTR Resecuritization Trust 2005-2
Notes, Withdrawn (sf); previously on Jun 2, 2011 Downgraded to Ca
(sf)
Issuer: Mellon Re-Remic Pass-Through Trust 2004-TBC1
Cl. A, Withdrawn (sf); previously on Aug 15, 2013 Downgraded to
Baa1 (sf)
Cl. X, Withdrawn (sf); previously on Aug 15, 2013 Downgraded to
Baa1 (sf)
Issuer: MASTR Resecuritization TRUST 2004-2
5.25% Mortgage Resec Notes, Series 2004-2, Withdrawn (sf);
previously on Dec 18, 2015 Downgraded to Ca (sf)
Issuer: MASTR Resecuritization Trust 2004-3
Notes, Withdrawn (sf); previously on Jun 2, 2011 Downgraded to Ca
(sf)
Issuer: Bayview Financial Asset Trust 2007-SSR1
Cl. A, Withdrawn (sf); previously on Jul 6, 2011 Downgraded to Ba1
(sf)
Cl. M-1, Withdrawn (sf); previously on Jul 6, 2011 Downgraded to B3
(sf)
Cl. M-2, Withdrawn (sf); previously on Jul 6, 2011 Downgraded to Ca
(sf)
Cl. M-3, Withdrawn (sf); previously on Nov 13, 2009 Downgraded to
Ca (sf)
Cl. M-4, Withdrawn (sf); previously on Nov 13, 2009 Downgraded to C
(sf)
Issuer: Bayview Financial Revolving Asset Trust 2004-B
Cl. A-1, Withdrawn (sf); previously on Nov 5, 2013 Downgraded to
Caa1 (sf)
Cl. A-2, Withdrawn (sf); previously on Nov 5, 2013 Downgraded to Ca
(sf)
Cl. M-1, Withdrawn (sf); previously on Nov 12, 2012 Downgraded to C
(sf)
RATINGS RATIONALE
The Resec transactions in actions are backed by RMBS with mortgage
pools for which the number of loans remaining in the pools has
fallen below the level specified in Moody's "US RMBS Surveillance
Methodology" published January 2017. Under Moody's US RMBS
Surveillance Methodology, the ratings on RMBS with such small pools
are subject to withdrawal for small pool factor.
For five of the Resec tranches in action -- Class B-2 issued by
Bear Stearns Structured Products, Inc. 2003-1; Notes issued by
MASTR Resecuritization TRUST 2005-1; and Classes A-5, A-6, and A-7
issued by MASTR Asset Securitization Trust 2004-P7 -- Moody's
previously maintained ratings on the associated RMBS until December
2013, June 2010, and December 2016, respectively, when the ratings
on the underlying RMBS were withdrawn for small pool factor. After
the withdrawal of the ratings on the underlying RMBS, Moody's
failed to withdraw the ratings on the associated five Resec
tranches, and did not correctly apply its rating methodology to
those tranches during the period between the withdrawal of the
ratings on the underlying RMBS and withdrawal actions.
For the remaining 13 tranches in action, Moody's did not rate the
RMBS underlying the Resec transactions, and has determined that
these RMBS are backed by mortgage pools subject to the small pool
factor. Because the ratings on Resec bonds generally link to the
ratings on the underlying securities and their performance, Moody's
cannot maintain the ratings on these 13 tranches due to the
application of small pool factor to the RMBS transactions with
which they are associated, and has thus withdrawn their ratings.
[*] S&P Lowers Five Ratings From Two U.S. CMBS Deals to 'D'
-----------------------------------------------------------
S&P Global Ratings lowered its ratings to 'D (sf)' on five classes
of commercial mortgage pass-through certificates from two U.S.
commercial mortgage-backed securities (CMBS) transactions.
The downgrades to 'D (sf)' reflect principal losses on the affected
bonds as detailed in the transactions' respective Dec. 15, 2017,
trustee remittance reports.
In addition, S&P discontinued its rating on class H from Wachovia
Bank Commercial Mortgage Trust's series 2005-C16 following its full
repayment as denoted in the December 2017 trustee remittance
report.
Discussions of the individual transactions follow:
Wachovia Bank Commercial Mortgage Trust Series 2005-C16
According to the Dec. 15, 2017, trustee remittance report, the
trust experienced $33.4 million in principal losses this period due
primarily to the liquidation of the specially serviced AON Office
Building loan. The loan's loss severity was 51.5% of its $64.8
million cut-off trust balance and 81.8% of its $40.8 million
beginning scheduled balance. Consequently, classes L, M, N, O, and
P experienced a 100% loss of their respective beginning balances,
while class K experienced a 68.2% loss of its beginning balance.
Classes N, O, and P are not rated by S&P Global Ratings.
Wachovia Bank Commercial Mortgage Trust Series 2007-C32
According to the Dec. 15, 2017, trustee remittance report, the
trust experienced $204.9 million in principal losses this period
due mainly to the liquidation of 15 specially serviced assets.
These 15 assets had a reported aggregate beginning scheduled
balance of $319.4 million and liquidated at losses totaling $200.0
million. The weighted average loss severity was 62.6%. The
remaining losses to the trust were due to loss adjustments on
previously liquidated assets. Consequently, classes D, E, F, G, and
H experienced a 100% loss of their respective beginning balances,
while class C experienced a 77.7% loss of its beginning balance.
Classes F, G, and H are not rated by S&P Global Ratings.
RATINGS LOWERED
Wachovia Bank Commercial Mortgage Trust Commercial mortgage
pass-through certificates series 2005-C16
Rating
Class To From
K D (sf) CCC- (sf)
L D (sf) CCC- (sf)
M D (sf) CCC- (sf)
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates 2007-C32
Rating
Class To From
C D (sf) CCC- (sf)
D D (sf) CCC- (sf)
RATING DISCONTINUED
Wachovia Bank Commercial Mortgage Trust Commercial mortgage
pass-through certificates series 2005-C16
Rating
Class To From
H NR BB+ (sf)
[*] S&P Takes Various Action on 50 Classes From Nine RMBS Deals
---------------------------------------------------------------
S&P Global Ratings completed its review of 50 classes from nine
U.S. residential mortgage-backed securities (RMBS) transactions
issued between 2003 and 2006. All of these transactions are backed
by prime, subprime, alternative-A, reperforming, and
outside-the-guidelines collateral. The review yielded seven
upgrades, 15 downgrades, 23 affirmations, one withdrawal, and four
discontinuances.
Analytical Considerations
S&P incorporate 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;
-- Erosion of/increase in credit support;
-- Proportion of reperforming loans in the pool;
-- Proportion of modified loans in the pool;
-- Missed interest payments;
-- Interest-only criteria; and
-- Principal only criteria
Rating Actions
The affirmations of ratings reflect S&P's opinion that its
projected credit support and collateral performance on these
classes has remained relatively consistent with its prior
projections.
S&P said, "We lowered our rating on class M-1 from New Century Home
Equity Loan Trust 2004-4 to 'CCC (sf)' from 'BB+ (sf)' after
assessing the impact of missed interest payments on this class.
This downgrade is based on our cash flow projections, which show
that ultimate interest repayment is unlikely at higher rating
levels."
A list of Affected Ratings can be viewed at:
http://bit.ly/2pfE7mp
[*] S&P Takes Various Actions on 51 Classes From 12 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 51 classes from 12 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2003 and 2005. All of these transactions are backed by
subprime collateral. The review yielded 14 upgrades, one downgrade,
35 affirmations, and one discontinuance.
Analytical Considerations
S&P incorporate 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:
-- Historical interest shortfalls;
-- Priority of principal payments;
-- Loan modifications; and
-- Available subordination and/or overcollateralization.
Rating Actions
The affirmations of ratings reflect S&P's opinion that its
projected credit support and collateral performance on these
classes has remained relatively consistent with its prior
projections.
S&P raised its rating on class M-6 from Accredited Mortgage Loan
Trust 2005-1 to 'CCC (sf)' from 'D (sf)'. The rating on this class
was previously lowered to 'D (sf)' because of missed interest
payments. These missed interest payments were fully reimbursed in
May 2017 as the overcollateralization target was reached;
therefore, the class is no longer in default. In addition, the
credit support on this class has grown to 7.49% as of December
2017.
A list of Affected Ratings can be viewed at:
http://bit.ly/2EdUSll
[*] S&P Takes Various Actions on 90 Classes From 12 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 90 classes from 12 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2003 and 2005. All of these transactions are backed by
prime jumbo collateral. The review yielded 34 upgrades, one
downgrade, 43 affirmations, nine discontinuances, and three
withdrawals.
Analytical Considerations
S&P said, "We incorporate various considerations into our decisions
to raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by our projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes." Some of these considerations include:
-- Collateral performance/delinquency trends;
-- Historical interest shortfalls;
-- Missed interest payments;
-- Priority of principal payments;
-- Proportion of reperforming loans in the pool;
-- Tail risk; and
-- Available subordination.
Rating Actions
Please see the ratings list for the rationales for classes with
rating transitions. The affirmations of ratings reflect S&P's
opinion that its projected credit support and collateral
performance on these classes has remained relatively consistent
with its prior projections.
A list of Affected Ratings can be viewed at:
http://bit.ly/2DAD5nM
[*] S&P Takes Various Rating on 41 Classes From 11 U.S. RMBS Deals
------------------------------------------------------------------
S&P Global Ratings completed its review of 41 classes from 11 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2004 and 2006. All of these transactions are backed by
subprime collateral. The review yielded 16 upgrades, two
downgrades, and 23 affirmations.
Analytical Considerations
S&P said, "We incorporate various considerations into our decisions
to raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by our projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes." Some of these considerations include:
-- Historical interest shortfalls;
-- Priority of principal payments;
-- Loan modifications; and
-- Available subordination and/or overcollateralization.
Rating Actions
Please see the ratings list for the rationales for classes with
rating transitions. The affirmations of ratings reflect S&P's
opinion that its projected credit support and collateral
performance on these classes has remained relatively consistent
with its prior projections.
S&P said, "We raised our ratings six or more notches on 10 classes
from eight transactions. Each upgrade was supported by an increase
in available credit support benefiting from failing cumulative loss
triggers."
A list of Affected Ratigs can be viewed at:
http://bit.ly/2zgX0oy
[*] US CMBS Conduit/Fusion Loans Delinquencies Down in November
---------------------------------------------------------------
Moody's Delinquency Tracker (DQT) fell to 6.30% in November from
6.34% in October, due mainly to the resolution of delinquent loans
from the 2006 vintage, the rating agency says in its latest monthly
report on US CMBS conduit loan delinquencies. Delinquency rates
decreased in the multifamily, office, industrial and retail
sectors, while they increased in hotel.
"Notable last month was the increase in the delinquency rate for
the New York-Newark-Jersey City metropolitan statistical area, to
2.9% from 2.3% in October," says Vice President -- Senior Analyst,
Kevin Fagan. "The rise was driven by the $295 million One State
Street Plaza Loan, which was transferred to special servicing
following a maturity default stemming from ongoing low occupancy."
Other findings from October's Moody's Delinquency Tracker include:
- The balance of delinquent CMBS conduit loans fell to $21.18
billion from $21.23 billion in October, with the $996 million of
resolutions outweighing the $946 million of newly delinquent loans.
The total balance of CMBS conduit loans outstanding increased to
$336.16 billion last month from $334.89 billion in October, and
there were $5.28 billion of payoffs and dispositions and $6.55
billion of new issuance in November.
- Delinquency rates decreased for all core commercial property
types except hotel, which increased to 4.61% in November from 4.36%
in October.
- Multifamily continues to have the lowest delinquency rate and
last month it fell again, to 2.54% from 2.75% in October. And the
office sector continues to have the highest delinquency rate,
though it declined in November to 8.47% from 8.58% the prior
month.
Moody's DQT follows the delinquency rate of US CMBS conduit/fusion
loans across five primary commercial property types -- multifamily,
retail, industrial, office and hotel -- by amount outstanding,
market and vintage.
*********
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 ***