/raid1/www/Hosts/bankrupt/TCR_Public/180114.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, January 14, 2018, Vol. 22, No. 13
Headlines
ACCESS GROUP 2004-2: Fitch Affirms CCCsf Ratings on 4 Tranches
ANGEL OAK I: DBRS Finalizes B Rating on Class B-2 Certificates
BEAR STEARNS 2004-PWR4: Fitch Affirms CCC Rating on Class L Debt
CIG AUTO 2017-1: DBRS Finalizes BB Rating on Class C Notes
COMM 2012-CCRE4: Moody's Lowers Rating on Class D Certs to 'Ba1'
COMM 2015-DC1: Fitch Affirms 'BB-sf' Rating on Class E Certs
COMM MORTGAGE 2004-LNB2: Fitch Affirms Csf Rating on Class K Certs
COMM MORTGAGE 2015-LC19: Fitch Affirms B-sf Rating on Cl. F Certs
CPS AUTO 2018-A: S&P Assigns Prelim BB- Rating on Class E Notes
DBUBS 2011-LC2: Moody's Affirms B3(sf) Ratings on 2 Tranches
DBWF 2015-LCM: S&P Affirms B+ Rating on Class F Certs
FAIRWAY OUTDOOR 2015-1: Fitch Affirms BB- Rating on Cl. B Notes
GREENBRIAR CLO: Moody's Affirms Ba3 Rating on Class E Notes
GREENWICH CAPITAL 2003-C2: Moody's Affirms C Rating on XC Certs
GS MORTGAGE 2006-RR3: Moody's Affirms C(sf) Ratings on 3 Tranches
IMPACT FUNDING 2014-1: DBRS Confirms Bsf Rating on Cl. F Certs
IMSCI 2012-2: DBRS Confirms B(low) Rating on Class G Certs
JP MORGAN 2004-CIBC10: Moody's Hikes Class E Debt Rating to B2
JP MORGAN 2006-S3: Moody's Lowers Ratings on 2 Tranches to C
JP MORGAN 2016-C1: Fitch Affirms 'B-sf' Rating on Class F Certs
JPMCC COMMERCIAL 2015-JP1: DBRS Confirms BB(low) Rating on G Certs
LB-UBS COMMERCIAL 2004-C4: Moody's Affirms C Rating on Cl. K Certs
LB-UBS COMMERCIAL 2005-C3: Moody's Cuts Cl. X-CL Debt Rating to C
MERRILL LYNCH 2005-LC1: Moody's Affirms C Ratings on 4 Tranches
MORGAN STANLEY 1998-HF2: Fitch Affirms 'Dsf' Rating on Cl. L Certs
MORGAN STANLEY 2004-TOP13: Moody's Hikes Class N Debt Rating to B3
MOUNTAIN VIEW 2017-2: Moody's Assigns B3 Rating to Class F Notes
MSBAM 2014-C14: Fitch Affirms B-sf Rating on Class G Certs
MSBAM 2015-C21: Fitch Affirms B-sf Rating on Class F Certificates
MSBAM 2016-C28: Fitch Affirms B-sf Ratings on 2 Tranches
NOMURA ASSET 1998-D6: Moody's Affirms C Rating on Cl. PS-1 Certs
RFC CDO 2007-1: Moody's Affirms C(sf) Ratings on 12 Tranches
SALOMON BROTHERS 2001-MM: Moody's Hikes Cl. G-8 Certs Rating to B3
SEQUOIA MORTGAGE 2018-2: Moody's Gives (P)Ba3 Rating on B-4 Debt
SHACKLETON 2013-III: S&P Assigns Prelim. B- Rating on Cl. F-R Notes
SLM STUDENT 2005-10: Fitch Affirms 'Bsf' Ratings on 2 Tranches
SLM STUDENT 2008-4: Moody's Hikes Class B Debt Rating to Ba1(sf)
STRIPS III 2003-1: Moody's Affirms C Rating on Class N Notes
TOWD POINT 2015-3: Moody's Assigns Ba2(sf) Rating to Cl. B2 Notes
TRALEE CLO IV: S&P Assigns Prelim. B- Rating on Class F Notes
VITALITY RE IX: S&P Assigns Prelim BB+ Rating on Class B Notes
WACHOVIA BANK 2007-C30: Fitch Affirms 'Bsf' Rating on Cl. A-J Certs
WELLS FARGO 2012-LC5: Moody's Lowers Class E Certs Rating to B1
WESTLAKE AUTO 2018-1: S&P Gives Prelim. B Rating on Class F Notes
WFRBS COMMERCIAL 2014-LC14: DBRS Confirms B Rating on Class F Debt
[*] DBRS Reviews 370 Classes From 19 US RMBS Transactions
[*] Moody's Hikes Ratings on $31.5MM of US RMBS Issued 2001-2004
[*] Moody's Takes Action on $863MM of First Franklin Subprime RMBS
[*] S&P Discontinues Ratings on 23 Classes From Six CDO Deals
[*] S&P Takes Various Actions on 49 Classes From 12 US RMBS Deals
[*] S&P Takes Various Actions on 85 Classes From 14 US RMBS Deals
*********
ACCESS GROUP 2004-2: Fitch Affirms CCCsf Ratings on 4 Tranches
--------------------------------------------------------------
Fitch Ratings has affirmed the notes of the Access Group, Inc.,
2004-2 Indenture of Trust at 'CCCsf' for all notes and recovery
estimates of 100% for class A and 95% for class B.
As of the Oct. 25, 2017 distribution, the issuer has resumed note
paydown after releasing excess cash that was injected into the
trust to pay off the A-2 note in January 2016. All class A notes
continue to miss their legal final maturity under Fitch's maturity
stress and the class A-4 is the only note that is paid in full on
or prior to legal final maturity under the credit stress. This
technical default would result in interest payments being diverted
away from class B, which would cause that note to default as well.
Fitch has considered qualitative factors such as the long time
horizon until the maturity dates, and the eventual full payment of
principal in modelling. Fitch calculates recovery estimates (REs)
for distressed structured finance securities of 'CCCsf' or lower.
REs reflect remaining recoveries expected to be received by the
security and applied as principal proceeds from the point that the
RE is calculated until legal final maturity.
KEY RATING DRIVERS
U.S. Sovereign Risk: The trust is collateral consists of 100% a
Federal Family Education Loan Program (FFELP) loan. The credit
quality of the trust is high, in Fitch's opinion, based on the
guarantees provided by the transaction's eligible guarantors and
reinsurance provided by the U.S. Department of Education (ED) for
at least 97% of principal and accrued interest. The Stable Outlook
on the notes is consistent with Fitch's affirmation of the U.S.
sovereign rating at 'AAA'/Stable.
U.S. Sovereign Risk: The trust collateral comprises FFELP loans,
with guaranties provided by eligible guarantors and reinsurance
provided by the U.S. Department of Education (ED) for at least 97%
of principal and accrued interest. The U.S. sovereign rating is
currently 'AAA'/Stable.
Collateral Performance: Fitch assumes a base case default rate of
14.5% and a 43.5 % default rate under the 'AAA' credit stress
scenario. The base case default assumption implies a constant
default rate of 2.0% (assuming a weighted average life of 6.8
years) consistent with a sustainable constant default rate utilized
in the maturity stresses. Fitch applies the standard default timing
curve in its credit stress cash flow analysis. The claim reject
rate is assumed to be 0.5% in the base case and 3% in the 'AAA'
case. The TTM levels of deferment, forbearance, and income-based
repayment (prior to adjustment) are 1.8%, 3.1%, and 5.1%,
respectively, and are used as the starting point in cash flow
modelling. The TTM constant prepayment rate (voluntary and
involuntary) is 12.0%, and was used as the sustainable rate for
modelling. Subsequent declines or increases are modelled as per
criteria.
Basis and Interest Rate Risk: Basis risk for these transactions
arises from any rate and reset frequency mismatch between interest
rate indices for SAP and the securities. As of Oct. 25, 2017, all
trust student loans are indexed to either 91-day T-bill or
one-month LIBOR and all notes are indexed to 3ML. Fitch applies its
standard basis and interest rate stresses to this transaction as
per criteria.
Payment Structure: Credit enhancement (CE) is provided by excess
spread and the class A notes benefit from subordination provided by
the class B notes. As of Oct. 25, 2017, reported senior and total
parity are 110.85% and 101.0%, respectively. Liquidity support is
provided by a reserve account sized at $1.15 million which is at
its floor. Cash can be released when total parity equals or exceeds
101%.
Maturity Risk: Under Fitch's credit stress, only the class A-4
notes are paid in full on or prior to their legal maturity date.
All class A notes miss their legal final maturity date under the
maturity stress. This technical default would result in interest
payments being diverted away from class B, which would cause that
note to default as well.
Operational Capabilities: Day-to-day servicing is provided by
Conduent Education Services LLC, which Fitch believes to be an
acceptable servicer of student loans due to their long servicing
history. Conduent will be exiting the student loan servicing
business in 2018 and the issuer is in the process of selecting a
replacement servicer.
RATING SENSITIVITIES
'AAAsf' rated tranches of most FFELP securitizations will likely
move in tandem with the U.S. sovereign rating, given the strong
linkage to the U.S. sovereign by nature of the reinsurance and SAP
provided by ED. Sovereign risks are not addressed in Fitch's
sensitivity analysis.
Fitch conducted a CE sensitivity analysis by stressing both the
related lifetime default rate and basis spread assumptions. In
addition, Fitch conducted a maturity sensitivity analysis by
running different assumptions for the IBR usage and prepayment
rate. The results below should only be considered as one potential
model implied outcome, as the transaction is exposed to multiple
risk factors that are all dynamic variables.
Credit Stress Rating Sensitivity
-- Default increase 25%: class A 'CCCsf'; class B 'CCCsf'
-- Default increase 50%: class A 'CCCsf'; class B 'CCCsf'
-- Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'
-- Basis Spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf'
Maturity Stress Rating Sensitivity
-- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'
-- CPR increase 100%: class A 'CCCsf'; class B 'CCCsf'
-- IBR Usage increase 100%: class A 'CCCsf'; class B 'CCCsf'
-- IBR Usage decrease 50%: class A 'CCCsf'; class B 'CCCsf'
It is important to note that the stresses are intended to provide
an indication of the rating sensitivity of the notes to unexpected
deterioration in trust performance. Rating sensitivity should not
be used as an indicator of future rating performance.
Fitch has affirmed the following ratings:
Access Group Inc., 2004-2 Indenture of Trust
-- Class A-3 notes at 'CCCsf'; RE 100%;
-- Class A-4 notes at 'CCCsf'; RE 100%;
-- Class A-5 notes at 'CCCsf'; RE 100%;
-- Class B notes at 'CCCsf'; RE 95%.
ANGEL OAK I: DBRS Finalizes B Rating on Class B-2 Certificates
--------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage-Backed Certificates, Series 2017-3 (the Certificates)
issued by Angel Oak Mortgage Trust I, LLC 2017-3 (AOMT 2017-3 or
the Trust):
-- $113.0 million Class A-1 at AAA (sf)
-- $24.8 million Class A-2 at AA (sf)
-- $27.7 million Class A-3 at A (sf)
-- $17.4 million Class M-1 at BBB (sf)
-- $10.7 million Class B-1 at BB (sf)
-- $8.2 million Class B-2 at B (sf)
The AAA (sf) rating on the Certificates reflect the 46.25% of
credit enhancement provided by subordinated Certificates in the
pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings
reflect 34.45%, 21.25%, 12.95%, 7.85% and 3.95% of credit
enhancement, respectively.
Other than the specified classes above, DBRS does not rate any
other classes in this transaction.
This transaction is a securitization of a portfolio of fixed- and
adjustable-rate, non-prime, primarily first-lien residential
mortgages. The Certificates are backed by 691 loans with a total
principal balance of $210,175,981 as of the Cut-Off Date (October
1, 2017).
Angel Oak Mortgage Solutions LLC (AOMS), Angel Oak Home Loans LLC
(AOHL) and Angel Oak Prime Bridge LLC (together, Angel Oak) are the
originators for 74.0%, 22.6% and 3.4% of the portfolio,
respectively. The mortgages were originated under the following six
programs:
(1) Portfolio Select (72.8%) -- Made to borrowers with near-prime
credit scores who are unable to obtain financing through
conventional or governmental channels because (a) they fail to
satisfy credit requirements; (b) they are self-employed and need an
alternate income calculation using 12 months or 24 months of bank
statements to qualify; (c) they may have a credit score that is
lower than that required by government-sponsored entity
underwriting guidelines; or (d) they may have been subject to a
bankruptcy or foreclosure 24 or more months prior to origination.
(2) Non-Prime General (8.8%) -- Made to borrowers who have not
sustained a housing event in the past 24 months but whose credit
reports show multiple 30+ day and/or 60+ day delinquencies on any
reported debt in the past 12 months.
(3) Non-Prime Recent Housing (5.7%) -- Made to borrowers who have
completed or have had their properties subject to a short sale,
deed-in-lieu, notice of default or foreclosure. Borrowers who have
filed for bankruptcy 12 or more months prior to origination or have
experienced severe delinquencies may also be considered for this
program.
(4) Non-Prime Foreign National (3.1%) -- Made to investment
property borrowers who are citizens of foreign countries and who do
not reside or work in the United States. Borrowers may use
alternative income and credit documentation. Income is typically
documented by the employer or accountant, and credit is verified by
letters from overseas creditholders.
(5) Non-Prime Investment Property (0.2%) -- Made to real estate
investors who may have financed up to five mortgaged properties
with the originators (or 20 mortgaged properties overall).
(6) Investor Cash Flow (5.7%) -- Made to real estate investors who
are experienced in purchasing, renting and managing investment
properties with an established five-year credit history and at
least 24 months of clean housing payment history but who are unable
to obtain financing through conventional or governmental channels
because (a) they fail to satisfy the requirements of such programs
or (b) they may be over the maximum number of properties allowed.
Loans originated under the Investor Cash Flow program are
considered business purpose and are not covered by ability-to-repay
(ATR) rules or TRID (TILA-RESPA Integrated Disclosure) rule.
In addition, the pool contains 3.7% second-lien mortgage loans,
which were originated either under the Portfolio Select program
(0.3%) or under the guidelines established by the Federal National
Mortgage Association (Fannie Mae, 3.5%) and overlaid by Angel Oak.
Select Portfolio Servicing, Inc. (SPS) is the servicer for the
loans. AOHL and AOMS will act as Servicing Administrators, and
Wells Fargo Bank, N.A. (Wells Fargo; rated AA with a Stable trend
by DBRS) will act as the Master Servicer. U.S. Bank National
Association (rated AA (high) with a Stable trend by DBRS) will
serve as Trustee and Custodian.
Although the mortgage loans were originated to satisfy the Consumer
Financial Protection Bureau (CFPB) ATR rules, they were made to
borrowers who generally do not qualify for agency, government or
private-label non-agency prime jumbo products for the various
reasons described above. In accordance with the CFPB Qualified
Mortgage (QM) rules, none of the loans are designated as QM Safe
Harbor, 1.0% are designated as QM Rebuttable Presumption and 83.9%
are designated as Non-QM. Approximately 15.2% of the loans are for
investment properties and thus are not subject to QM rules.
The servicing administrators or servicer will generally fund
advances of delinquent principal and interest on any mortgage until
such loan becomes 180 days delinquent, and they are obligated to
make advances in respect of taxes, insurance premiums and
reasonable costs incurred in the course of servicing and disposing
of properties.
On or after the earlier of the distribution date in December 2019
or the date on which the principal balance of the mortgage loans
has been reduced to 30% of its Cut-Off Date balance, the Depositor
has the option to purchase all of the outstanding Certificates at a
price equal to the outstanding class balance plus accrued and
unpaid interest, including any cap carryover amounts.
The transaction employs a sequential-pay cash flow structure with a
pro rata principal distribution among the senior tranches.
Principal proceeds can be used to cover interest shortfalls on the
Certificates as the outstanding senior Certificates are paid in
full. Further, excess spread can be used to cover realized losses
first before being allocated to unpaid cap carryover amounts up to
the Class B-2 Certificates.
As of the Cut-Off Date, approximately ten properties (1.9% of the
pool) and 232 properties (26.5% of the pool) securing the loans in
the pool were located in zip codes identified by the Federal
Emergency Management Agency (FEMA) as affected by Hurricane Harvey
or Hurricane Irma, respectively. In addition, approximately 15
properties (5.0% of the pool) are located in FEMA-designated
disaster zones in California related to wildfires. Property
inspections were ordered for these FEMA loans, which showed that
none of the loans included in the pool had material damage. In
addition, the representation provider provides a representation
that properties have no damage/condemnation that materially
adversely affects the value of the properties and is expected to
remedy such loans that breach this representation.
The ratings reflect transactional strengths that include the
following:
(1) Strong Underwriting Standards: Whether for prime or
non-prime mortgages, underwriting standards have improved
significantly from the pre-crisis era. All of the mortgage loans
were underwritten in accordance with the eight underwriting factors
of the ATR rules, although they may not necessarily comply with
Appendix Q of Regulation Z.
(2) Robust Loan Attributes and Pool Composition:
-- The mortgage loans in this portfolio generally have
robust loan attributes, as reflected in the combined loan-to-value
(LTV) ratios, borrower household incomes and liquid reserves,
including the loans in the Non-Prime programs that have weaker
borrower credit.
-- LTV ratios gradually reduce as the programs move down
the credit spectrum, suggesting the consideration of compensating
factors for riskier pools.
-- The pool comprises 17.6% fixed-rate mortgages, which
have the lowest default risk because of the stability of monthly
payments. The pool comprises 82.4% hybrid adjustable-rate mortgages
(ARMs) with an initial fixed period of five to ten years, allowing
borrowers sufficient time to credit cure before rates reset. None
of the loans are riskier hybrid ARMs with shorter teaser periods
(two to three years).
(3) Satisfactory Third-Party Due Diligence Review: A
third-party due diligence firm conducted property valuation and
credit reviews on 100% of the loans in the pool. For 94.3% of the
loans (i.e., the entire pool, excluding 98 Investor Cash Flow
loans), a third-party due diligence firm performed a regulatory
compliance review. Data integrity checks were also performed on the
pool.
(4) Strong Servicer: SPS, a strong residential mortgage
servicer and a wholly owned subsidiary of Credit Suisse AG (rated
“A” with a Stable trend by DBRS), services the pool. In this
transaction, AOHL, as the servicing administrator, or SPS, as the
servicer, is responsible for funding advances to the extent
required. In addition, the transaction employs Wells Fargo as the
Master Servicer. If the servicing administrators or the servicer
fails in their obligation to make principal and interest advances,
Wells Fargo will be obligated to fund such servicing advances.
(5) Current Loans and Faster Prepayments: Angel Oak began
originating non-agency loans in Q4 2013. Since the first
transaction was issued in December 2015, voluntary prepayment rates
have been relatively high, as these borrowers tend to credit cure
and refinance into lower-cost mortgages. Also, the loans in the
AOMT 2017-3 portfolio are 100% current. Although 3.8% of the pool
has experienced prior delinquencies, these loans have all cured.
The transaction also includes the following challenges and
mitigating factors:
(1) Geographic Concentration: Compared with other recent
securitizations, the AOMT 2017-3 pool has a high concentration of
loans located in Florida (27.8% of the pool). Mitigating factors
include the following:
-- Although the pool is concentrated in Florida, the loans
are well dispersed among the metropolitan statistical areas (MSAs).
The largest Florida MSA, Miami-Miami Beach-Kendall, represents only
4.7% of the entire transaction. DBRS does not believe the AOMT
2017-3 pool is particularly sensitive to any deterioration in
economic conditions or to the occurrence of a natural disaster in
any specific region.
-- DBRS's RMBS Insight model generates an elevated asset
correlation for this portfolio, as determined by the loan size and
geographic concentration, compared with pools with similar
collateral, resulting in higher expected losses across all rating
categories.
(2) Representations and Warranties (R&W) Framework and
Provider: Although slightly stronger than other comparable Non-QM
transactions (such as COLT) rated by DBRS, the R&W framework for
AOMT 2017-3 is weaker compared with post-crisis prime jumbo
securitization frameworks. Instead of an automatic review when a
loan becomes seriously delinquent, this transaction employs a
mandatory review upon less immediate triggers. In addition, the R&W
provider, guarantor or backstop provider are unrated entities, have
limited performance history in Non-QM securitizations and may
potentially experience financial stress that could result in the
inability to fulfill repurchase obligations. DBRS notes the
following mitigating factors:
-- Satisfactory third-party due diligence was conducted on
100% of the loans included in the pool with respect to credit,
property valuation and data integrity. A regulatory compliance
review was performed on all but 98 Investor Cash Flow loans. A
comprehensive due diligence review mitigates the risk of future R&W
violations.
-- An independent third-party R&W reviewer, Clayton
Services LLC, is named in the transaction to review loans for
alleged breaches of representations and warranties.
-- DBRS conducted an on-site originator review of AOHL and
AOMS and deems the mortgage companies to be operationally sound.
-- The sponsor, an affiliate of Angel Oak, will retain an
eligible horizontal interest in a portion of the Class B-3
certificates and all of the Class XS certificates, which
collectively represent at least 5% of the fair value of all the
certificates, aligning sponsor and investor interest in the capital
structure.
-- Notwithstanding the above, DBRS adjusted the originator
scores downward to account for the potential inability to fulfill
repurchase obligations, the lack of performance history and the
weaker R&W framework. A lower originator score results in increased
default and loss assumptions and provides additional cushions for
the rated securities.
(3) Non-Prime, QM-Rebuttable Presumption or Non-QM Loans: As
compared with post-crisis prime jumbo transactions, this portfolio
contains mortgages originated to borrowers with weaker credits or
who have prior derogatory credit events, as well as QM-Rebuttable
Presumption or Non-QM loans. In addition, certain loans were
underwritten to 24-month bank statements for income (32.5%), to
12-month bank statements for income (2.7%) or as business-purpose
loans (5.7%). DBRS notes the following mitigating factors:
-- All loans, except for Investor Cash Flow loans, were
originated to meet the eight underwriting factors as required by
the ATR rules.
-- Underwriting standards have improved substantially
since the pre-crisis era.
-- Bank statements as income and business-purpose loans
are treated as less-than-full documentation in the RMBS Insight
model, which increases expected losses on those loans.
-- The RMBS Insight model incorporates loss severity
penalties for Non-QM and QM Rebuttable Presumption loans, as
explained further in the Key Loss Severity Drivers section of the
related rating report.
-- For loans in this portfolio that were originated
through the Non-Prime General and Non-Prime Recent Housing Event
programs, borrower credit events had generally happened, on
average, 36 months and 16 months, respectively, prior to
origination. In its analysis, DBRS applies additional penalties for
borrowers with recent credit events within the past two years.
(4) Servicer Advances of Delinquent Principal and Interest:
The servicing administrators or servicer will advance scheduled
principal and interest on delinquent mortgages until such loans
become 180 days delinquent. This will likely result in lower loss
severities to the transaction because advanced principal and
interest will not have to be reimbursed from the Trust upon the
liquidation of the mortgages but will increase the possibility of
periodic interest shortfalls to the Certificateholders. Mitigating
factors include the fact that (a) principal proceeds can be used to
pay interest shortfalls to the Certificates as the outstanding
senior Certificates are paid in full and (b) subordination levels
are greater than expected losses, which may provide for payment of
interest to the Certificates. DBRS ran cash flow scenarios that
incorporated principal and interest advancing up to 180 days for
delinquent loans; the cash flow scenarios are discussed in more
detail in the Cash Flow Analysis section of the rating report.
The DBRS ratings of AAA (sf) and AA (sf) address the timely payment
of interest and full payment of principal by the legal final
maturity date in accordance with the terms and conditions of the
related Certificates. The DBRS ratings of A (sf), BBB (sf), BB (sf)
and B (sf) address the ultimate payment of interest and full
payment of principal by the legal final maturity date in accordance
with the terms and conditions of the related Certificates.
BEAR STEARNS 2004-PWR4: Fitch Affirms CCC Rating on Class L Debt
----------------------------------------------------------------
Fitch Ratings has affirmed 10 classes of Bear Stearns Commercial
Mortgage Securities Trust (BSCMSI) commercial mortgage pass-through
certificates, series 2004-PWR4.
KEY RATING DRIVERS
Defeasance: The largest loan, representing 94.3% of the pool, is
fully defeased and backed by 'AAA' rated collateral.
Concentration: The pool is extremely concentrated with three loans
remaining. Although the largest loan is considered investment grade
based on its collateral, the second largest loan, on which
repayment of classes L and M is reliant, is secured by an
underperforming retail center in Sparks, NV with upcoming tenant
roll. Although the leverage point of this loan is low given the
debt is fully amortizing, the maturity profile is extended and
revenue at the property has declined significantly since issuance.
RATING SENSITIVITIES
Rating Outlooks for classes E through K remain Stable as their
cumulative balance is fully covered by defeased collateral.
Repayment of class L is reliant on the continued payment of an
underperforming loan, which is secured by a retail center with
upcoming tenant roll. Should the tenants with upcoming lease
expirations renew or the borrower sign replacement tenants, it is
possible that this class could be upgraded.
Fitch has affirmed the following ratings:
-- $5.6 million class E at 'AAAsf'; Outlook Stable;
-- $9.5 million class F at 'AAAsf'; Outlook Stable;
-- $8.4 million class G at 'AAAsf'; Outlook Stable;
-- $10.7 million class H at 'AAAsf'; Outlook Stable;
-- $3.6 million class J at 'AAAsf'; Outlook Stable;
-- $4.8 million class K at 'AAAsf'; Outlook Stable;
-- $4.8 million class L at 'CCCsf'; RE 100%;
-- $1.6 million class M at 'Dsf'; RE 100%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, B, C and D certificates have been paid in
full. Fitch does not rate the class Q certificate. Fitch previously
withdrew the rating on the interest-only class X certificate.
CIG AUTO 2017-1: DBRS Finalizes BB Rating on Class C Notes
----------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes issued by CIG Auto Receivables Trust 2017-1 (CIGAR 2017-1
or the Issuer):
-- $150,950,000 Series 2017-1, Class A Notes rated A (sf)
-- $8,980,000 Series 2017-1, Class B Notes rated BBB (sf)
-- $12,580,000 Series 2017-1, Class C Notes rated BB (sf)
The ratings are based on DBRS's review of the following analytical
considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- Credit enhancement is in the form of overcollateralization,
subordination, amounts held in the reserve fund and excess spread.
Credit enhancement levels are sufficient to support the
DBRS-projected expected cumulative net loss assumption under
various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the rating addresses the
timely payment of interest on a monthly basis and payment of
principal by the legal final maturity date.
-- The capabilities of CIG Financial, LLC (CIG) with regard to
originations, underwriting and servicing.
-- DBRS has performed an operational review of CIG and considers
the entity to be an acceptable originator and servicer of subprime
automobile loan contracts with an acceptable backup servicer.
-- The presence of CSC Logic, Inc. (CSC) as a hot backup servicer.
CSC is deemed to be an acceptable backup servicer of subprime auto
loans by DBRS.
-- The CIG senior management team has considerable experience and
a successful track record within the auto finance industry, having
managed the company through multiple economic cycles.
-- The quality and consistency of provided historical static pool
data for CIG originations and performance of the CIG auto loan
portfolio.
-- 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 CIG, that the trust has a valid
first-priority security interest in the assets and the consistency
with DBRS's "Legal Criteria for U.S. Structured Finance"
methodology.
The CIGAR 2017-1 transaction represents the inaugural public term
securitization of subprime auto loans and offers both senior and
subordinate rated securities. The receivables securitized in CIGAR
2017-1 are subprime automobile loan contracts secured primarily by
used automobiles, light-duty trucks, minivans and sport-utility
vehicles.
The rating on the Class A Notes reflects the 17.50% of initial hard
credit enhancement provided by the subordinated notes in the pool
(12.00%), the Reserve Account (1.50%) and overcollateralization
(4.00%). The ratings on the Class B and Class C Notes reflect
12.50% and 5.50% of initial hard credit enhancement, respectively.
Additional credit support may be provided from excess spread
available in the structure.
COMM 2012-CCRE4: Moody's Lowers Rating on Class D Certs to 'Ba1'
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on eight classes
and downgraded the ratings on three classes in COMM 2012-CCRE4
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
Series 2012-CCRE4 as follows:
Class A-2, Affirmed Aaa (sf); previously on July 21, 2017 Affirmed
Aaa (sf)
Class A-3, Affirmed Aaa (sf); previously on July 21, 2017 Affirmed
Aaa (sf)
Class A-M, Affirmed Aaa (sf); previously on July 21, 2017 Affirmed
Aaa (sf)
Class A-SB, Affirmed Aaa (sf); previously on July 21, 2017 Affirmed
Aaa (sf)
Class B, Affirmed Aa3 (sf); previously on July 21, 2017 Affirmed
Aa3 (sf)
Class C, Affirmed A3 (sf); previously on July 21, 2017 Affirmed A3
(sf)
Class D, Downgraded to Ba1 (sf); previously on July 21, 2017
Affirmed Baa3 (sf)
Class E, Downgraded to B3 (sf); previously on July 21, 2017
Downgraded to Ba3 (sf)
Class F, Downgraded to Caa3 (sf); previously on July 21, 2017
Downgraded to B3 (sf)
Class X-A, Affirmed Aaa (sf); previously on July 21, 2017 Affirmed
Aaa (sf)
Class X-B, Affirmed A2 (sf); previously on July 21, 2017 Affirmed
A2 (sf)
RATINGS RATIONALE
The ratings on the six P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on three P&I classes were downgraded due to an increase
in Moody's anticipated losses from specially serviced and troubled
loans that were higher than Moody's had previously expected.
The ratings on the two IO classes were affirmed based on the credit
quality of the referenced classes.
Moody's rating action reflects a base expected loss of 7.9% of the
current pooled balance, compared to 4.3% at Moody's last review.
Moody's base expected loss plus realized losses is now 6.9% of the
original pooled balance, compared to 4.0% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE 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 methodologies used in
rating Class X-A and Class X-B were "Approach to Rating US and
Canadian Conduit/Fusion CMBS" published in July 2017, "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017 and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in June
2017.
DEAL PERFORMANCE
As of the December 15, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 12.8% to $968.6
million from $1,111.0 million at securitization. The certificates
are collateralized by 39 mortgage loans ranging in size from less
than 1% to 12.9% of the pool, with the top ten loans (excluding
defeasance) constituting 62.1% of the pool. 3 loans, constituting
3.7% 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 16, compared to a herf of 18 at the time of
Moody's last review.
Six loans, constituting 11.7% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Three loans have been liquidated from the pool, resulting in an
aggregate realized loss of $86,566 (for an average loss severity of
1.4%).
Two loans, making up 8.0% of the pool are in special servicing. The
largest loan in special servicing is the Fashion Outlets of Las
Vegas Loan ($66.7 million -- 6.9% of the pool). The loan is secured
by a 375,700 SF outlet center located along Interstate 15 in Primm,
Nevada. The property was built in 1998 and subsequently renovated
in 2004. Major tenants include H&M, Vanity Fair, Old Navy, Williams
Sonoma, and Nike. As of October 2017, the property was 75% leased,
compared to 77% in March 2016 and 96% at securitization. The loan
was transferred to special servicing in November 2017 due to
maturity default. The second specially serviced loan is the Towne
Place Suites Odessa Loan ($10.8 million -- 1.1% of the pool). The
loan is secured by a 108 unit lodging facility located in Odessa,
Texas. The property was built in 2009. Property performance has
declined due to a decrease in both occupancy and revenue per
available room (RevPAR). The loan transferred to special servicing
in April 2016 due to payment default and became REO in December
2016.
Moody's has also assumed a high default probability for one other
poorly performing loans, constituting 1.5% of the pool.
As of the December 15, 2017 remittance statement cumulative
interest shortfalls were $0.4 million. Moody's anticipates interest
shortfalls will continue because of the exposure to specially
serviced loans and/or modified loans. Interest shortfalls are
caused by special servicing fees, including workout and liquidation
fees, appraisal entitlement reductions (ASERs), loan modifications
and extraordinary trust expenses.
Moody's received full year 2016 operating results for 100% of the
pool, and full or partial year 2017 operating results for 100% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 90.7%, compared to 90.6% 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 13.6% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.9%.
Moody's actual and stressed conduit DSCRs are 1.94X and 1.26X,
respectively, compared to 1.92X and 1.25X 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 31.5% of the pool balance.
The largest loan is the Prince Building Loan ($125.0 million --
12.9% of the pool). The loan represents a pari-passu interest in a
$200 million loan and is interest-only throughout the entire term.
The loan is secured by a mixed use (retail / office) building
located in Manhattan's SoHo District. The property's leasable area
includes 276,400 square feet (SF) of office space, 69,300 SF of
retail and 8,800 SF of storage space. As of December 2017, the
retail component was 100% leased to three tenants with Equinox (11%
of the total NRA, lease expiration November 2020) as the largest
retail tenant. The total property was 98% leased as of December
2017, the same as at the time of last review. Moody's LTV and
stressed DSCR are 86.8% and 1.09X, respectively, compared to 85.3%
and 1.10X at the last review.
The second largest loan is the Eastview Mall and Commons Loan
($120.0 million -- 12.4% of the pool). The loan represents a
pari-passu interest in a $210.0 million loan and is interest-only
throughout the entire term. The loan is secured by the borrower's
interest in a 725,000 SF portion of a 1.4 million SF super regional
mall and a 86,000 SF portion of a 341,000 SF adjacent power center,
both located in Victor, New York, approximately 15 miles southeast
of Rochester. The mall's non-collateral anchors includes Macy's,
Von Maur, JC Penney, Lord & Taylor and Sears. The mall was 95%
leased as of January 2017 with 89% inline occupancy. Moody's LTV
and stressed DSCR are 112.8% and 0.86X, respectively, compared to
110% and 0.88X at the last review.
The third largest loan is the Synopsys Tech Center Loan ($59.8
million -- 6.2% of the pool), which is secured by 215,824 SF Class
A, two office building office complex in Sunnyvale, California. The
property was built in 1997 and subsequently renovated in 2004. The
property was built to suit for Synopsys, Inc. and includes
amenities such as 2,300 SF of conference space, a 2,200 SF fitness
center with locker rooms and showers, and a 2 story, on-site,
parking garage. As of December 2017, the property was 100% leased,
the same as at securitization. Moody's LTV and stressed DSCR are
103.7% and 1.09X, respectively, compared to 92.8% and 1.22X at the
last review.
COMM 2015-DC1: Fitch Affirms 'BB-sf' Rating on Class E Certs
------------------------------------------------------------
Fitch Ratings affirms all classes of COMM 2015-DC1 Mortgage Trust
commercial mortgage pass-through certificates.
KEY RATING DRIVERS
Sufficient Credit Enhancement Relative to Pool Performance: Overall
pool performance remains in-line with expectations at issuance. Per
the December 2017 remittance report, the transaction has paid down
1.4% to $1.38 billion from $1.40 billion. Nine loans (11.4%) are
considered Fitch loans of concern, the largest (8.4%) the Pinnacle
Hills Promenade, an anchored retail property located in Rogers, AK.
Eight loans (5.9%) are on the master servicer's watchlist, six
(2.3%) of which are considered Fitch loans of concern and are on
the watchlist for occupancy declines due to tenants vacating and/or
deferred maintenance. There are two loans in special servicing
(0.7%). Of the two, one (0.4%) is 60 days delinquent and the other
(0.3%) is real estate owned (REO). There are interest shortfalls of
approximately $75,000 affecting the non-rated class H
certificates.
Specially Serviced Loans: Real Plaza & Santa Rosa Warehouse (0.4%)
was transferred to special servicing in October 2017 due to damages
sustained by Hurricane Maria. The loan is secured by a retail
shopping center and an industrial warehouse property totaling
124,245 sf located in Guyanabo, PR. Per the special servicer, the
roof partially collapsed on the Santa Rosa Warehouse resulting in
significant damage. The Real Plaza property suffered partial
damage. The properties are partially open and operating. The
borrower is waiting to receive funds on a claim for business
interruption insurance and property coverage and is currently
seeking vendor estimates for restoration.
The Comfort Inn - St. Clairsville loan (0.3%) was transferred to
special servicing in September 2016 for imminent default. The
collateral became REO on May 5, 2017. Occupancy and ADR have
increased compared to last year as the market continues to improve.
Per the October 2017 Smith Travel Research (STR) report, the
property's occupancy, ADR, and RevPAR were 72.5%, $76.69, $55.58
compared to 63.4%, $70.94, $44.98 for its competitive set.
Penetration rates: occupancy, ADR, and RevPAR of 114.3%, 108.1%,
123.6%, respectively.
High New York Concentration: The largest state concentration is New
York (30.5%), with five of the top 10 loans (25.9%) secured by
properties located in New York City. The next largest state
concentrations are California (9.7%), Arkansas (8.4%), Pennsylvania
(8.1%) and Texas (5%). The largest loan in the pool (8.7%) is
secured by an office property located in New York.
Limited Amortization: Twelve loans, representing 34.9% of the pool,
are full-term interest-only, and 32 loans representing 41.4% of the
pool are partial interest-only. The remainder of the pool consists
of 24 balloon loans representing 23.8% of the pool, with loan terms
of five to 10 years. Based on the scheduled balance at maturity,
the pool will pay down 9.4%.
Hurricane Exposure: Four loans (2.8%) are on the master servicer's
significant insurance event report and are located in Texas areas
affected by Hurricane Harvey. Of the four, one loan (1%) has
confirmed no damages sustained and the servicer awaits the borrower
response for the remaining three loans. Five loans (2.4%) are
located in Florida in areas affected by Hurricane Irma; however,
the master servicer has not provided updates on whether or not the
properties were affected.
RATING SENSITIVITIES
The Rating Outlooks on all classes A-1 thru D remain Stable. The
Negative Outlook on classes E and X-D reflects Fitch's additional
stress to the Pinnacle Hills Promenade loan given concerns with
declining in-line and anchor mall sales, JC Penney exposure, and
its secondary market location. Should JC Penney vacate or if there
is a further decline in performance, downgrades are possible.
Downgrades may also be possible should pool performance decline or
additional loans default. Near-term upgrades are not expected, but
may occur with improved pool performance and additional paydown or
defeasance.
Fitch has affirmed and revised Rating Outlooks on the following
classes:
-- $18.3 million class A-1 at 'AAAsf'; Outlook Stable;
-- $172.5 million class A-2 at 'AAAsf'; Outlook Stable;
-- $120.0 million class A-3 at 'AAAsf'; Outlook Stable;
-- $68.5 million class A-SB at 'AAAsf'; Outlook Stable;
-- $200.0 million A-4 at 'AAAsf'; Outlook Stable;
-- $382.6 million class A-5 at 'AAAsf'; Outlook Stable;
-- $1.056a billion class X-A at 'AAAsf'; Outlook Stable;
-- $94.7b million class A-M at 'AAAsf'; Outlook Stable;
-- $80.6b million class B at 'AA-sf'; Outlook Stable;
-- $238.5b million class PEZ at 'A-sf'; Outlook Stable;
-- $63.1b million class C at 'A-sf'; Outlook Stable;
-- $143.8ac million class X-B at 'AA-sf'; Outlook Stable;
-- $29.8ac million class X-D at 'BB-sf'; Outlook revised to
Negative from Stable;
-- $71.9c million class D at 'BBB-sf'; Outlook Stable;
-- $29.8c million class E at 'BB-sf'; Outlook revised to Negative
from Stable.
(a) Notional amount and interest-only.
(b) Class A-M, B and C certificates may be exchanged for class PEZ
certificates, and class PEZ certificates may be exchanged for class
A-M, B, and C certificates.
(c) Privately placed and pursuant to Rule 144A.
Fitch does not rate the $38.6 million class X-E, the $42.1 million
class X-F, the $14.0 million class F, the $24.5 million class G,
the $42.1 million class H and the $13.0 million class HIX
certificates. The X-C certificates were previously withdrawn per
Fitch's criteria.
COMM MORTGAGE 2004-LNB2: Fitch Affirms Csf Rating on Class K Certs
------------------------------------------------------------------
Fitch Ratings has affirmed 12 classes of COMM Mortgage Trust
2004-LNB2 commercial mortgage pass-through certificates.
KEY RATING DRIVERS
The affirmations reflect the stable performance of the remaining
collateral, the high concentration of defeasance and uncertainty
regarding the resolution of the one specially serviced asset. As of
the December 2017 remittance report, the pool has been reduced by
92.3% to $74.3 million from $963.8 million at issuance. There has
been $24 million in realized losses, accounting for 2.5% of the
original pool balance. Cumulative interest shortfalls of $1.2
million are currently affecting classes L and P.
Concentrated Pool with High Defeasance: The pool is highly
concentrated with only five of the original 91 loans remaining. The
three largest loans (94.7% of the pool) are defeased; these loans
are sufficient to cover the balance of classes C through J.
Specially Serviced Asset: One asset, Alta Mesa, (3% of the pool) is
with the special servicer and REO. The property is a 59,933 square
foot retail center in Fort Worth, TX. The center is largely
occupied by small local tenants and has seen its occupancy decline
to 54% as of November 2017. The loan transferred to special
servicing in January 2014 due to maturity default and became REO
effective Feb. 2, 2016. Per servicer updates, there are no current
disposition plans as the servicer continues to work on stabilizing
the property through actively marketing vacant space and renewing
existing leases.
Amortization and Maturity Schedules: The defeased loans (94.7% of
the pool) are amortizing and will mature between December 2018 and
March 2019. The non-defeased performing loan (2.3% of the pool) is
fully amortizing with a 2028 maturity date.
RATING SENSITIVITIES
The Stable Rating Outlooks on classes C through J reflect the
expected full repayment of the classes from defeased loans.
Upgrades to class K are unlikely unless there is certainty of
resolution on the specially serviced loan.
Fitch has affirmed the following classes:
-- $3.1 million class C at 'AAAsf'; Outlook Stable;
-- $19.3 million class D at 'AAAsf'; Outlook Stable;
-- $8.4 million class E at 'AAAsf'; Outlook Stable;
-- $9.6 million class F at 'AAAsf'; Outlook Stable;
-- $10.8 million class G at 'AAAsf'; Outlook Stable;
-- $10.8 million class H at 'AAAsf'; Outlook Stable;
-- $4.8 million class J at 'AAAsf'; Outlook Stable;
-- $6.0 million class K at 'Csf'; RE 90%;
-- $1.3 million class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-4, and B certificates have paid in full.
Fitch does not rate the class P certificates. Fitch previously
withdrew the ratings on the interest-only class X-1 and X-2
certificates.
COMM MORTGAGE 2015-LC19: Fitch Affirms B-sf Rating on Cl. F Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed all classes of COMM Mortgage Trust
commercial mortgage pass-through certificates, series 2015-LC19.
KEY RATING DRIVERS
Overall Stable Pool Performance: There have been no material
changes to the pool's performance since issuance. Per the December
2017 remittance report, the transaction has paid down 1.8% to $1.39
billion from $1.42 billion at issuance. There are two hotel loans
(1.7%) located in Texas currently in special servicing; however,
both loans are current. Five loans (7.9%) are on the master
servicer's watchlist and all are considered Fitch Loans of Concern,
including a top 15 loan with hurricane damage. There are interest
shortfalls of approximately $29,000 affecting the non-rated class H
certificates.
Specially Serviced Loans: The largest specially serviced loan, the
Lubbock Portfolio (1.4%) is secured by a portfolio of 2-Holiday
Inns, a Super 8 and a Comfort Inn & Suites all located in Lubbock,
TX. The loan transferred to special servicing on Aug. 17, 2017 due
to a technical loan default as the franchise agreement for the
Comfort Inn & Suites property was terminated by the franchisor. The
loan documents require prior lender consent to change/terminate a
flag. The special servicer is currently reviewing the Borrower's
request for a ratification of the change in flag from a Comfort Inn
to a Quality Inn. The special servicer's counsel is preparing an
acceleration and intent to foreclose notice to the borrower as
settlement discussions have not moved forwarded.
The second loan, the Holiday Inn Express Houston (0.3%) is secured
by a 70-room limited service hotel located in northwestern Houston,
TX. The loan was transferred to special servicing on Aug. 19, 2016
due to imminent default and failure to complete PIP work timely.
The borrower is struggling to make monthly payments due to the
overbuilt Houston market and the weak petroleum market. The special
servicer inspected the collateral on Sept. 15, 2016 and found the
PIP work was completed and the property was in good condition, but
without street visibility in a secondary market. Property income
has recently changed due to Hurricane Harvey. Per the special
servicer, minor hurricane damage was reported. The special servicer
is monitoring the loan for payment.
Hurricane Harvey Exposure: Two loans (3.9%) were identified on the
master servicer's significant insurance event report with reported
damage as a result of Hurricane Harvey. The largest loan,
Decorative Center of Houston (3.6%) is the eighth largest in the
transaction and is secured by a 515,942 sf office property located
in Houston, TX. The property sustained major damages to the roof
and flooding. Per the master servicer, an insurance adjuster has
been to the property and a claim will be filed. The borrower
estimates $1 million in damages. The borrower has insurance
policies covering Business Income/Rental Value for 12 months-
Actual Loss Sustained, Flood with a limit of $100 million and a
$50,000 deductible and Wind/Hail with a $600 million limit with no
deductible. The other loan, Holiday Inn Express Houston (0.3%)
sustained minor damage and is currently in special servicing.
Limited Amortization: The pool is scheduled to amortize by 9.67% of
the initial pool balance prior to maturity, which is less than
other Fitch rated transactions. The pool contains a high percentage
(41.4% of the current balance) of full-term interest-only loans.
Additionally, 29.6% of the pool is composed of partial
interest-only loans.
High Hotel Concentration: Eleven loans (17.5%) are collateralized
by hotel properties. This includes three loans (10.9%) in the top
15, with a total current balance of $152.2 million.
RATING SENSITIVITIES
The Rating Outlooks on classes A-1 thru D remain Stable. The
Negative Outlook on classes E and F reflect the uncertainty
regarding the ultimate resolution of the specially serviced loans,
as well as the potential impact of storm damage on the Decorative
Center of Houston. Downgrades are possible should performance
decline or additional loans default. Near-term upgrades are not
expected, but may occur with improved pool performance and
additional paydown or defeasance.
Fitch has affirmed the following ratings and Revised Outlooks:
-- $25.9 million class A-1 at 'AAAsf'; Outlook Stable;
-- $45 million class A-2 at 'AAAsf'; Outlook Stable;
-- $81.6 million class A-SB at 'AAAsf'; Outlook Stable;
-- $300 million class A-3 at 'AAAsf'; Outlook Stable;
-- $518.6 million class A-4 at 'AAAsf'; Outlook Stable;
-- $1.06 billion* class X-A at 'AAAsf'; Outlook Stable;
-- $74.7 million class A-M at 'AAAsf'; Outlook Stable;
-- $107.3 million class B at 'AA-sf'; Outlook Stable;
-- $65.8 million class C at 'A-sf'; Outlook Stable;
-- $247.8 million* class PEZ at 'A-sf'; Outlook Stable;
-- $173 million* class X-B at 'AA-sf'; Outlook Stable;
-- $70.7 million class D at 'BBB-sf'; Outlook Stable;
-- $70.7 million* class X-C at 'BBB-sf'; Outlook Stable;
-- $33.8 million class E at 'BB-sf'; Outlook revised to Negative
from Stable;
-- $14.2 million class F at 'B-sf'; Outlook revised to Negative
from Stable.
*Notional and interest-only
Fitch does not rate the class G and H certificates.
CPS AUTO 2018-A: S&P Assigns Prelim BB- Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to CPS Auto
Receivables Trust 2018-A's $190 million asset-backed notes.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The preliminary ratings are based on information as of Jan. 5,
2018. 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 availability of approximately 57.53%, 48.94%, 40.14%,
31.26%, and 25.17% of credit support for the class A, B, C, D, and
E notes, respectively, based on stressed cash flow scenarios
(including excess spread). These credit support levels provide
coverage of approximately 3.10x, 2.60x, 2.10x, 1.60x, and 1.23x
S&P's 18.00-19.00% expected cumulative net loss (CNL) range for the
class A, B, C, D and E notes, respectively. Additionally, credit
enhancement including excess spread for classes A, B, C, D, and E
covers breakeven cumulative gross losses of approximately 93%, 79%,
67%, 52%, and 42%, respectively.
-- S&P's expectation that, under a moderate stress scenario of
1.60x its expected net loss level and all else equal, the
preliminary ratings on the class A, B, and C notes would remain
within one rating category while they are outstanding, and the
preliminary rating on the class D notes would not decline by more
than two rating categories within its life. The preliminary rating
on the class E notes would remain within two rating categories
during the first year, but the class would eventually default under
the 'BBB' stress scenario after receiving 27%-51% of its principal.
These rating migrations are consistent with S&P's credit stability
criteria
-- The preliminary rated notes' underlying credit enhancement in
the form of subordination, overcollateralization (O/C), a reserve
account, and excess spread for the class A, B, C, D, and E notes.
-- The timely interest and principal payments made to the
preliminary rated notes under S&P's stressed cash flow modeling
scenarios, which it believes are appropriate for the assigned
preliminary ratings.
-- The transaction's payment and credit enhancement structure,
which includes a non-curable performance trigger.
PRELIMINARY RATINGS ASSIGNED
CPS Auto Receivables Trust 2018-A
Class Rating Type Interest Amount
rate (mil. $)
A AAA (sf) Senior Fixed 88.47
B AA (sf) Subordinate Fixed 31.46
C A (sf) Subordinate Fixed 26.91
D BBB (sf) Subordinate Fixed 23.13
E BB- (sf) Subordinate Fixed 20.04
DBUBS 2011-LC2: Moody's Affirms B3(sf) Ratings on 2 Tranches
------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on fourteen
classes in DBUBS 2011-LC2 Commercial Mortgage Trust, Commercial
Mortgage Pass-Through Certificates as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Mar 2, 2017 Affirmed Aaa
(sf)
Cl. A-1FL, Affirmed Aaa (sf); previously on Mar 2, 2017 Affirmed
Aaa (sf)
Cl. A-1C, Affirmed Aaa (sf); previously on Mar 2, 2017 Affirmed Aaa
(sf)
Cl. A-3FL, Affirmed Aaa (sf); previously on Mar 2, 2017 Affirmed
Aaa (sf)
Cl. A-3C, Affirmed Aaa (sf); previously on Mar 2, 2017 Affirmed Aaa
(sf)
Cl. A-4, Affirmed Aaa (sf); previously on Mar 2, 2017 Affirmed Aaa
(sf)
Cl. B, Affirmed Aaa (sf); previously on Mar 2, 2017 Upgraded to Aaa
(sf)
Cl. C, Affirmed Aa3 (sf); previously on Mar 2, 2017 Upgraded to Aa3
(sf)
Cl. D, Affirmed Baa2 (sf); previously on Mar 2, 2017 Upgraded to
Baa2 (sf)
Cl. E, Affirmed Ba3 (sf); previously on Mar 2, 2017 Affirmed Ba3
(sf)
Cl. F, Affirmed B3 (sf); previously on Mar 2, 2017 Affirmed B3
(sf)
Cl. FX, Affirmed B3 (sf); previously on Mar 2, 2017 Affirmed B3
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on Mar 2, 2017 Affirmed Aaa
(sf)
Cl. X-B, Affirmed B1 (sf); previously on Jun 9, 2017 Downgraded to
B1 (sf)
RATINGS RATIONALE
The ratings on eleven P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on three IO classes were affirmed based on the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes.
Moody's rating action reflects a base expected loss of 1.7% of the
current balance, compared to 1.8% at Moody's last review. Moody's
base expected loss plus realized losses is now 1.1% of the original
pooled balance, compared to 1.2% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The 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-A, Cl. X-B and Cl. FX was "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in June
2017, "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.
DEAL PERFORMANCE
As of the December 12, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 35.2% to $1.39
billion from $2.14 billion at securitization. The certificates are
collateralized by 43 mortgage loans ranging in size from less than
1% to 14.3% of the pool, with the top ten loans (excluding
defeasance) constituting 69.6% of the pool. One loan, constituting
1.5% of the pool, has an investment-grade structured credit
assessment. Three loans, constituting 1.3% of the pool, have
defeased and are secured by US government securities.
Seven loans, constituting 17.0% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
There are no loans that have been liquidated from the pool. One
loan, constituting 0.6% of the pool, is currently in special
servicing. The specially serviced loan is the Montgomery Village
professional Center Loan ($8.6 million -- 0.6% of the pool), which
is secured by an office complex containing eight contiguous
two-story, walk-up buildings totaling 72,000 square feet (SF). The
property is located in Gaithersburg, Maryland approximately 30
miles northwest of Washington, D.C. The loan transferred to special
servicing in May 2014 due to payment default and became REO in
April 2015. The resolution strategy is to reposition the property
for sale as a prospective redevelopment.
Moody's received full year 2016 operating results for 100% of the
pool, and partial year 2017 operating results for 94% of the pool
(excluding specially serviced and defeased loans). Moody's weighted
average conduit LTV is 83%, compared to 85% 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 17% to the most recently available net operating
income (NOI). Moody's value reflects a weighted average
capitalization rate of 9.1%.
Moody's actual and stressed conduit DSCRs are 1.48X and 1.23X,
respectively, compared to 1.45X and 1.20X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The loan with a structured credit assessment is the Angelica
Portfolio Loan ($21.4 million -- 1.5% of the pool), which is
secured by 12 industrial facilities located in eight states and
100% occupied by Angelica Corporation under a 20-year lease which
expires in January 2030. The average age of the collateral is 25
years. Performance has increased since securitization. Due to the
single tenant exposure, Moody's utilized a lit/dark analysis on
this portfolio. Moody's structured credit assessment and stressed
DSCR are a2 (sca.pd) and 1.58X, respectively, compared to a2
(sca.pd) and 1.55X at last review.
The top three conduit loans represent 41.8% of the pool balance.
The largest loan is the US Steel Tower Loan ($198.9 million --
14.3% of the pool), which is secured by a 64-story, Class A office
building located in downtown Pittsburgh, Pennsylvania. The property
serves as the headquarters for US Steel and the University of
Pittsburgh Medical Center (UPMC). As of the September 2017 rent
roll the property was 87% leased, compared to 92% leased as of
December 2016. Financial performance has improved since
securitization. Moody's LTV and stressed DSCR are 78% and 1.29X,
respectively, compared to 79% and 1.27X at last review.
The second largest loan is the Willowbrook Mall Loan ($192.3
million -- 13.8% of the pool), which is secured by the 400,466
square foot (SF) in-line component of a 1.4 million square foot
(SF) regional mall located in Houston, Texas. Anchors include
Dillard's, Macy's, Macy's Men and Furniture, Sears, and J.C.
Penney. All anchors own their own improvements and are not part of
the collateral. Total property occupancy was 99% as of September
2017, compared to 93% as of September 2016. As of September 2017,
the running twelve month sales for total in-line tenants
DBWF 2015-LCM: S&P Affirms B+ Rating on Class F Certs
-----------------------------------------------------
S&P Global Ratings affirmed its ratings on eight classes of
commercial mortgage pass-through certificates from DBWF 2015-LCM
Mortgage Trust, a U.S. commercial mortgage-backed securities (CMBS)
transaction.
S&P said, "For the affirmations, our expectation of credit
enhancement was in line with the affirmed rating levels.
"We affirmed our rating on the class X-A interest-only (IO)
certificates based on our criteria for rating IO securities, in
which the ratings on the IO securities would not be higher than
that of the lowest-rated reference class. Class X-A's notional
balance references class A-1."
This is a stand-alone (single borrower) transaction backed by an
11-year amortizing balloon mortgage loan secured by Lakewood Center
Mall, a 2.07-million-sq.-ft. super regional mall in Lakewood,
Calif. The borrowers own all land and improvements except for the
Costco, Wells Fargo, and Applebee's spaces, which own their
improvements and pay ground rent to the borrowers. S&P said, "Our
property-level analysis included a re-evaluation of the retail
property that secures the mortgage loan in the trust and considered
the servicer-reported net operating income and occupancy for the
past four years (2013 through 2016). We then derived our
sustainable in-place net cash flow, which we divided by a 6.75% S&P
Global Ratings 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 84.9% and 1.49x,
respectively, on the trust balance."
The whole loan has an aggregate principal balance of $390.1
million, evidenced by three promissory notes, A-2, B-1, and B-2,
and a companion A-1 loan. The companion A-1 loan of $110.1 million
is not an asset of the trust. According to the Dec. 12, 2017,
trustee remittance report, the amortizing balloon mortgage loan has
an in-trust balance of $280.1 million, down from $290.0 million at
issuance, pays an annual fixed interest rate of 3.432%, and matures
on June 1, 2026. To date, the trust has not incurred any principal
losses.
The master servicer, Wells Fargo Bank N.A., reported a DSC of 1.56x
on the trust balance for year-end 2016, and occupancy was 96.1%
according to the June 30, 2017, rent roll. Based on the June 2017
rent roll, the five largest tenants are Macy's, Costco
(tenant-owned improvement), J.C. Penney, Target, and Home Depot.
Other major tenants at the property include Pacific Lakewood Center
Theater, Forever 21, and Albertsons. The property benefits from
minimal tenant rollover risk in the near term, with 9.4% of leases
set to expire in 2018 and 10.4% of leases set to expire in 2019.
Best Buy (2019) and Malecon (2018) are the only tenants over 10,000
sq. ft. that have leases expiring in 2018 or 2019.
RATINGS LIST
DBWF 2015-LCM Mortgage Trust
Commercial mortgage pass-through certificates series 2015-LCM
Rating Rating
Class Identifier To From
A-1 23306NAA0 AAA (sf) AAA (sf)
A-2 23306NAC6 AAA (sf) AAA (sf)
X-A 23306NAE2 AAA (sf) AAA (sf)
B 23306NAG7 AA- (sf) AA- (sf)
C 23306NAJ1 A- (sf) A- (sf)
D 23306NAL6 BBB- (sf) BBB- (sf)
E 23306NAN2 BB- (sf) BB- (sf)
F 23306NAQ5 B+ (sf) B+ (sf)
FAIRWAY OUTDOOR 2015-1: Fitch Affirms BB- Rating on Cl. B Notes
---------------------------------------------------------------
Fitch Ratings has affirmed five classes of Fairway Outdoor Funding,
LLC secured billboard revenue notes series 2012-1 and 2015-1.
The Fairway Outdoor transaction represents a securitization in the
form of notes backed by outdoor advertising sites with greater than
20,000 billboard faces as of October 2017. The class A-1 variable
funding note termination date was extended to 2018. The pari passu
series 2012-1 and 2015-1 notes are secured by a security interest
in all membership interests and limited partnership interests in
the issuer and a guaranty of all of the issuer's obligations by the
issuer's subsidiaries. Additionally, the notes are secured by a
first perfected security interest in all of the issuer's right,
title, and interest in and to the billboard assets as well as all
income, payments and proceeds of any of the foregoing and all
accessions to, substitutions and replacements for, and rents,
profits, products, insurance proceeds, confiscation and/or
condemnation awards, and any other proceeds from the disposition of
any of the foregoing.
Billboard assets include all outdoor display assets owned by the
issuer to advertise products and services, which assets include,
but are not limited to all billboards, digital billboards, permits,
licenses, contracts, ground leases, real property, insurance
proceeds, and structures as well as any amounts generated from the
liquidated assets. As this transaction isolates the assets from the
parent company, the ratings reflect a structured finance analysis
of the cash flows from advertising structures, not an assessment of
the corporate default risk of the ultimate parent.
KEY RATING DRIVERS
Fitch Cash Flow and Leverage: Fitch's trailing-twelve- month (TTM)
net cash flow (NCF) on the pool as of December 2017 is $41.7
million, implying a Fitch stressed debt service coverage ratio
(DSCR) of 1.44x. The debt multiple relative to Fitch's NCF is 7.5x,
which equates to a debt yield of 13.4%.
Notes Not Secured by Mortgages: The security interest will be
perfected by a pledge of the membership interests of the issuer and
its subsidiaries and the filing of financing statements under the
Uniform Commercial Code (UCC). The issuer will be filing UCCs on
the permits and the advertising contracts. The security interest in
the equity of the issuer provides the noteholders with the ability
to foreclose on the issuer in an event of default. The lack of
mortgages is mitigated in this transaction as the value of
billboard assets is heavily dependent on non-mortgageable permits
and licenses, which have been secured by UCC filings.
Additional Notes: Fairway will have the ability to issue additional
notes in the future subject to underwriting factors that include
but are not limited to the following: the pro forma IO DSCR after
such issuance is no less than 2.00x, the issuer pro forma leverage
multiple is no greater than 5.1x and 7.1x for class A notes and
class B notes, respectively, and ratings confirmation. As Fitch
monitors the transaction, the possibility of upgrades may be
limited due to the provision that allows additional notes.
Scheduled Amortization: Principal will be payable to the series
2015-1 class A-2 note to the extent funds are available totaling
$4.9 million, or 14.3%, and 11.3% of the total series 2015-1,
respectively, over the term prior to the ARD in Nov. 2019.
High Barriers to Entry: Fairway faces limited competition in most
of its markets as result of the billboard permitting process and
the significant federal, state, and local regulations that limit
supply and prohibit new billboards.
There was a variance from Fitch's ' related to the stressed
refinance constant and rating specific DSCR parameters. The
constant used is outside Fitch's published refinance constant range
for 'Other' property types; however, the constant used reflects
Fairway's position in its respective markets, barriers to entry and
experienced management. The DSCR attachment points used to
determine the class sizes were derived from Fitch's large loan
criteria, reflecting retail attachment points with an adjustment
for non-mortgage collateral.
RATING SENSITIVITIES
The Rating Outlook for all classes remains Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset-level event changes the transaction's
portfolio-level metrics. Upgrades may be limited due to the
provision allowing the issuance of additional notes.
Fitch has affirmed the following ratings:
-- $50 million series 2012-1 Class A-1* at 'A-sf'; Outlook
Stable;
-- $149.28 million series 2012-1 class A-2 at 'A-sf'; Outlook
Stable;
-- $72 million series 2012-1 class B at 'BB-sf'; Outlook Stable;
-- $31.39 million series 2015-1 class A-2 at 'A-sf'; Outlook
Stable;
-- $8.85 million series 2015-1 class B at 'BB-sf'; Outlook
Stable.
* Variable funding note maximum principal balance. All of the class
balances reflect the December 2017 reporting period.
GREENBRIAR CLO: Moody's Affirms Ba3 Rating on Class E Notes
-----------------------------------------------------------
Moody's Investors Service has upgraded the rating on the following
notes issued by Greenbriar CLO, Ltd.:
US$40,000,000 Class D Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2021, Upgraded to A3 (sf); previously
on July 28, 2017 Upgraded to Baa1 (sf)
Moody's also affirmed the ratings on the following notes:
US$60,000,000 Class B Floating Rate Senior Secured Extendable Notes
Due 2021 (current outstanding balance of $17,983,408), Affirmed Aaa
(sf); previously on July 28, 2017 Affirmed Aaa (sf)
US$50,000,000 Class C Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2021, Affirmed Aaa (sf); previously
on July 28, 2017 Upgraded to Aaa (sf)
US$40,000,000 Class E Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2021 (current outstanding balance of
$22,955,095), Affirmed Ba3 (sf); previously on July 28, 2017
Affirmed Ba3 (sf)
Greenbriar CLO, Ltd., issued in December 2007, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans with exposure to equity, illiquid loans and legacy
defaulted assets. The transaction's reinvestment period ended in
November 2014.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since July 2017. The Class A
notes were paid off and Class B notes have been paid down by
approximately 70.0% or $42.0 million since then. Based on Moody's
calculation, the OC ratios for the Class A/B, Class C, Class D and
Class E notes are currently 878.94%, 232.50%, 146.38%, and 120.72%,
respectively, versus July 2017 levels of 312.69%, 179.32%, 133.70%,
and 116.67%, respectively.
Nevertheless, the credit quality of the portfolio has deteriorated
since July 2017. Based on Moody's calculation, the weighted average
rating factor (WARF) is currently 4285 compared to 3898 at that
time. The deterioration in WARF is primarily due to percentage
increase in assets with a Moody's default probability rating of
Caa1 or below. Based on Moody's calculation, which include
adjustments for ratings with a negative outlook, ratings on review
for downgrade and stale credit estimates, assets with a Moody's
default probability rating of Caa1 or below currently make up 41.0%
of the portfolio, compared to 36.4% in July 2017. Moody's also
notes that the deal holds a material par amount of thinly traded or
untraded loans, whose lack of liquidity may pose additional risks
especially for the Class D and the Class E notes relating to the
issuer's ultimate ability to pursue a liquidation of such assets,
especially if the sales can be transacted only at heavily
discounted price levels.
The portfolio includes a number of investments in securities that
mature after the notes do (long-dated assets). Based on Moody's
calculation, the long-dated assets currently make up approximately
7.3% or $9.8 million of the portfolio. These investments could
expose the notes to market risk in the event of liquidation when
the notes mature.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy and b)
the large concentration of upcoming speculative-grade debt
maturities, which could make refinancing difficult for issuers.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO documentation
by different transactional parties owing to embedded ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current expectations,
can lead to positive CLO performance. Conversely, a negative shift
in credit quality or performance of the collateral can have adverse
consequences for CLO performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging of the CLO
could accelerate owing to high prepayment levels in the loan market
and/or collateral sales by the manager, which could have a
significant impact on the notes' ratings. Note repayments that are
faster than Moody's current expectations will usually have a
positive impact on CLO notes, beginning with those with the highest
payment priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets reported by the trustee and those that Moody's
assumes as having defaulted could result in volatility in the
deal's OC levels. Further, the timing of recoveries and whether a
manager decides to work out or sell defaulted assets create
additional uncertainty. Moody's analyzed defaulted recoveries
assuming the lower of the market price and the recovery rate in
order to account for potential volatility in market prices.
Realization of higher than assumed recoveries would positively
impact the CLO.
6) Long-dated and illiquid assets: Repayment of the notes at their
maturity will be highly dependent on the issuer's successful
monetization of illiquid assets and those that mature after the
CLO's legal maturity date (long-dated assets). This risk in turn
may be contingent upon issuer's ability and willingness to sell
these assets. This risk is borne first by investors with the lowest
priority in the capital structure. However, actual long-dated and
illiquid asset exposures and prevailing market prices and
conditions at the time of liquidation will drive the deal's actual
losses, if any.
7) Exposure to assets with low credit quality and weak liquidity:
The presence of assets rated Caa3 with a negative outlook, Caa2 or
Caa3 on review for downgrade or the worst Moody's speculative grade
liquidity (SGL) rating, SGL-4, exposes the notes to additional
risks if these assets default. The historical default rate is
higher than average for these assets. Due to the deal's exposure to
such assets, which constitute around $3.4 million of par, Moody's
ran a sensitivity case defaulting those assets.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Moody's Adjusted WARF -- 20% (3428)
Class B: 0
Class C: 0
Class D: +2
Class E: +1
Moody's Adjusted WARF + 20% (5142)
Class B: 0
Class C: 0
Class D: -1
Class E: 0
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analyzed the collateral pool as having a performing par and
principal proceeds balance of $147.4 million, defaulted par of
$35.3 million, a weighted average default probability of 25.7%
(implying a WARF of 4285), a weighted average recovery rate upon
default of 48.54 %, a diversity score of 14 and a weighted average
spread of 3.42% (before accounting for LIBOR floors).
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of the
assets in the collateral pool. Moody's generally applies recovery
rates for CLO securities as published in "Moody's Approach to
Rating SF CDOs". In some cases, alternative recovery assumptions
may be considered based on the specifics of the analysis of the CLO
transaction. In each case, historical and market performance and
the collateral manager's latitude for trading the collateral are
also factors.
A material proportion of the collateral pool includes debt
obligations whose credit quality Moody's assesses through credit
estimates. Moody's analysis reflects adjustments with respect to
the default probabilities associated with credit estimates.
Specifically, Moody's assumed an equivalent of Caa3 for assets with
credit estimates that have not been updated within the last 15
months, which represent approximately 20.87% of the collateral
pool.
GREENWICH CAPITAL 2003-C2: Moody's Affirms C Rating on XC Certs
---------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
in Greenwich Capital Commercial Funding Corporation, Commercial
Mortgage Pass-Through Certificates, Series 2003-C2:
Cl. L, Affirmed Ca (sf); previously on Jan 20, 2017 Affirmed Ca
(sf)
Cl. XC, Affirmed C (sf); previously on Jan 20, 2017 Affirmed C
(sf)
RATINGS RATIONALE
The rating on the P&I class L was affirmed because the rating is
consistent with Moody's expected loss including realized losses.
The rating on the IO class XC was affirmed based on the credit
quality of the referenced classes.
Moody's rating action reflects a base expected loss of 32.5% of the
current pooled balance, compared to 66.8% at Moody's last review.
Moody's base expected loss plus realized losses is now 3.6% of the
original pooled balance, compared to 3.6% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017. The methodologies used in rating Cl.
XC were "Moody's Approach to Rating Large Loan and Single
Asset/Single Borrower CMBS" published in July 2017 and "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 100% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then applies the aggregate loss
from specially serviced loans to the most junior class and the
recovery as a pay down of principal to the most senior class.
DEAL PERFORMANCE
As of the December 7, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $3.6 million
from $1.735 billion at securitization. The certificates are
collateralized by one mortgage loan constituting 100% of the pool.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of one, compared to two at Moody's last review.
Thirteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $60.8 million (for an average loss
severity of 45%). One loan, constituting 100% of the pool, is
currently in special servicing. The specially serviced loan is the
Alamerica Bank Building Loan ($3.6 million -- 100% of the pool),
which is secured by a 32,850 square foot (SF) office building
located in Birmingham, Alabama. The loan was transferred to special
servicing for delinquent payments in April 2013 and became REO in
May 2017. In May 2017, the property was appraised for $2.7
million.
Moody's estimates an aggregate $1.2 million loss for the specially
serviced loan (32.5% expected loss on average).
As of the December 7, 2017 remittance statement cumulative interest
shortfalls were $1.75 million. Moody's anticipates interest
shortfalls will continue because of the exposure to specially
serviced loans and/or modified loans. Interest shortfalls are
caused by special servicing fees, including workout and liquidation
fees, appraisal entitlement reductions (ASERs), loan modifications
and extraordinary trust expenses.
GS MORTGAGE 2006-RR3: Moody's Affirms C(sf) Ratings on 3 Tranches
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on the following
certificates issued by GS Mortgage Securities Corporation II,
Commercial Mortgage Pass-Through Certificates, Series 2006-RR3:
Cl. A1-P, Affirmed C (sf); previously on Jan 6, 2017 Affirmed C
(sf)
Cl. A1-S, Affirmed C (sf); previously on Jan 6, 2017 Affirmed C
(sf)
Cl. X, Affirmed C (sf); previously on Jan 6, 2017 Affirmed C (sf)
The Class A1-P, Class A1-S and Class X Certificates are referred to
herein as the "Rated Certificates"
RATINGS RATIONALE
Moody's has affirmed the ratings on the Rated Certificates
transaction because the key transaction metrics are commensurate
with existing ratings. While the credit of the remaining collateral
pool has deteriorated since last review, as evidenced by the
weighted average rating factor (WARF), the outstanding Moody's
ratings reflect this credit risk. The affirmation is the result of
Moody's on-going surveillance of commercial real estate
collateralized debt obligation (CRE CDO and ReRemic) transactions.
GSMS 2006-RR3 is a static Re-Remic transaction backed by a
portfolio of commercial mortgage backed securities (CMBS) (100.0%
of the current pool balance), issued in 2005 and 2006. As of the
December 20, 2017 trustee report, the aggregate certificate balance
of the transaction has decreased to $43.4 million compared to
$727.8 million at issuance as a result of the sales and recoveries
of certain assets and realized losses to the remaining underlying
CMBS collateral pool.
Moody's has identified the following as key indicators of the
expected loss in CRE CDO transactions: the WARF, the weighted
average life (WAL), the weighted average recovery rate (WARR), and
Moody's asset correlation (MAC). Moody's typically models these as
actual parameters for static deals and as covenants for managed
deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has updated its assessments for the collateral it does not
rate. The rating agency modeled a bottom-dollar WARF of 8057,
compared to 6209 at last review. The current ratings on the
Moody's-rated collateral and the assessments of the non-Moody's
rated collateral follow: B1-B3 (18.4% compared to 52.2% at last
review) and Caa1-Ca/C (81.6% compared to 47.8% at last review).
Moody's modeled a WAL of 1.5 years, compared to 1.2 years at last
review. The WAL is based on assumptions about extensions on the
CMBS look-through underlying loan collateral.
Moody's modeled a fixed WARR of 0.0%, same as that at last review.
Moody's modeled a MAC of 99.9%, compared to 32.5% at last review.
The increase in MAC is due to the greater credit risk of the
outstanding collateral pool.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating SF CDOs" published in June 2017. The
methodologies used in rating Cl. X were "Moody's Approach to Rating
SF CDOs" published in June 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:
The performance of the Rated Certificates is subject to
uncertainty. The performance of the Rated Certificates is sensitive
to the performance of the underlying portfolio, which in turn
depends on economic and credit conditions that may change. The
manager's decisions and management of the transaction will also
affect the performance of the Rated Certificates.
Moody's Parameter Sensitivities: Changes to any one or more of the
key parameters could have rating implications for some of the Rated
Certificates, although a change in one key parameter assumption
could be offset by a change in one or more of the other key
parameter assumptions. The Rated Certificates are particularly
sensitive to changes in the recovery rates of the underlying
collateral and credit assessments. However, in light of the
performance indicators noted above, Moody's believes that it is
unlikely that the ratings announced are sensitive to further
change.
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment.
Commercial real estate property values continue to improve
modestly, along with a rise in investment activity and
stabilization in core property type performance. Limited new
construction and moderate job growth have aided this improvement.
IMPACT FUNDING 2014-1: DBRS Confirms Bsf Rating on Cl. 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.
IMSCI 2012-2: DBRS Confirms B(low) Rating on Class G Certs
----------------------------------------------------------
DBRS Limited confirmed the Commercial Mortgage Pass-Through
Certificates, Series 2012-2 (the Certificates) issued by
Institutional Mortgage Securities Canada Inc., Series 2012-2 (the
Issuer) as follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class XP at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class XC at A (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)
All trends are Stable, with the exception of Class F and G, for
which DBRS has maintained Negative trends to reflect the concerns
surrounding the third-largest loan, Lakewood Apartments (Prospectus
ID#3, 9.6% of the pool), which is secured by an apartment building
located in Fort McMurray, Alberta.
As of the November 2017 remittance, 18 loans remained in the pool
with an aggregate principal balance of $151.7 million, representing
a collateral reduction of 36.8% since issuance as a result of
scheduled loan repayments and amortization. Since DBRS's last
review in March 2017, 11 loans have repaid in full, representing a
principal repayment of $52.2 million, or a 21.7% collateral
reduction since that time. To date, 15 loans (93.7% of the pool)
have reported YE2016 financials, while all remaining loans have
reported YE2015 financials. Based on the most recent year-end
financials, the transaction had weighted-average (WA) debt service
coverage ratio (DSCR) and WA Debt Yield of 1.31x and 11.5%
(excluding Lakewood Apartments; 1.41 times (x) and 12.4%),
respectively, compared with the DBRS Term DSCR and Debt Yield of
1.36x and 9.2%, respectively. The largest loan in the pool, Cedars
Apartments (13.1% of the pool), which reported a YE2016 DSCR of
1.10x, is one of the four loans, representing 41.9% of the pool,
currently on the servicer's watchlist.
The Lakewood Apartments loan transferred to special servicing in
February 2016 for imminent default. Ultimately, the loan was
brought current in October 2016, and following a monitoring period,
the loan was returned to the master servicer in late January 2017.
However, the loan recently transferred back to special servicing
after the loan failed to repay at the scheduled final maturity date
of November 1, 2017. The special servicer has confirmed that the
maturity date has been extended by two years, through November
2019, and that all other terms have been maintained from issuance.
As part of the extension agreement, the borrower paid the principal
balance of the loan down by $2.0 million, with those funds applied
with the October 2017 remittance. The loan is also subject to three
future principal curtailments of $750,000 each that are to be paid
by the borrower through the next 18 months. The loan will remain in
special servicing through the extended maturity period.
The property has seen significant performance declines since
issuance, which is a direct result of the decline in the energy
markets that have significantly affected both the local Fort
McMurray and larger Alberta economy in recent years. According to
the August 2017 rent roll, the property had an occupancy rate of
73.0% and an average rental rate of $1,649 per unit, compared with
the respective figures of 87.0% and $2,092 per unit at issuance.
Over the last few years, the property's occupancy rate has fallen
as low as approximately 30% as of December 2015 before generally
hovering between 70% and 80% for the last year. The property has
experienced some performance uptick with the construction in the
area following the wildfires that tore through the area in early
2017, but occupancy and average rental rates still remain well
below issuance levels. As of the trailing 12-month period ending
June 2017, the servicer reported a DSCR of 0.59x compared with the
coverage ratios of 0.45x at both YE2016 and YE2015, 1.04x at
YE2014, and the DBRS Term DSCR at issuance of 1.40x.
The loan has full recourse to the sponsors, Lanesborough Real
Estate Investment Trust (LREIT), 2668921 Manitoba Ltd. and Shelter
Canadian Properties Limited. LREIT's assets are heavily
concentrated in Alberta, and the portfolio has been significantly
affected by the downturn in the oil industry. In its Q3 2017
unaudited financial statements, LREIT reported total assets and
total liabilities of $230.7 million and $255.7 million,
respectively, resulting in a deficit of $25.0 million. In addition,
LREIT reported a loss before discontinued operations of $20.5
million for the nine months ending September 30, 2017. Based on the
Q3 2017 updated appraisals, LREIT's property portfolio was valued
at $287.4 million, down from $312.5 million at YE2016, and at this
point in time, LREIT's revolving loan facility from 2668921
Manitoba Ltd. had been drawn to its maximum balance of $30.0
million.
Although the loan was returned to the special servicer for the
maturity default, DBRS believes the structured loan modification
that includes an initial paydown of $2.0 million, with an
additional $2.25 million that will be repaid over the next 18
months, is a positive development given all the challenges the
sponsor faces in the depressed economy and sustained cash flow
declines within the sponsor's portfolio. In addition, the sponsor
continues to fund debt service shortfalls out of pocket and has
remained cooperative with the servicer throughout the two transfers
to special servicing. DBRS will continue to monitor the loan for
developments through the extended maturity and has applied a highly
stressed scenario for the loan in its analysis for this review.
All ratings will be subject to ongoing surveillance, which could
result in ratings being upgraded, downgraded, placed under review,
confirmed or discontinued by DBRS.
Class XP and XC are interest-only certificates that reference
multiple rated tranches. The rating assigned to Class XC materially
deviates from the lower rating implied by the quantitative results.
DBRS considers a material deviation to be a rating differential of
three or more notches between the assigned rating and the rating
implied by the quantitative results that is a substantial component
of a rating methodology. The deviation for Class XC is warranted,
as consideration was given for actual loan, transaction and sector
performance where 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.
JP MORGAN 2004-CIBC10: Moody's Hikes Class E Debt Rating to B2
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on four classes
and affirmed the ratings on two classes in J.P. Morgan Chase
Commercial Mortgage Securities Corp., Commercial Pass-Through
Certificates, Series 2004-CIBC10:
Cl. B, Upgraded to Aa2 (sf); previously on Jan 6, 2017 Upgraded to
A1 (sf)
Cl. C, Upgraded to Baa1 (sf); previously on Jan 6, 2017 Upgraded to
Baa3 (sf)
Cl. D, Upgraded to Ba1 (sf); previously on Jan 6, 2017 Upgraded to
Ba2 (sf)
Cl. E, Upgraded to B2 (sf); previously on Jan 6, 2017 Affirmed B3
(sf)
Cl. F, Affirmed Ca (sf); previously on Jan 6, 2017 Downgraded to Ca
(sf)
Cl. X-1, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The ratings on P&I Classes B, C, D and E, were upgraded based
primarily on an increase in credit support resulting from loans
amortization. The deal has paid down 7.3% since Moody's last
review.
The rating on P&I Class F was affirmed because the rating is
consistent with Moody's expected loss.
The rating on the IO Class, Class X-1, was affirmed based on the
credit quality of the referenced classes.
Moody's rating action reflects a base expected loss of 2.7% of the
current balance, compared to 2.2% at Moody's last review. Moody's
base expected loss plus realized losses is now 7.7% of the original
pooled balance, compared to 7.8% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The 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 methodologies used in
rating Cl. X-1 were "Approach to Rating US and Canadian
Conduit/Fusion CMBS" published in July 2017, "Moody's Approach to
Rating Large Loan and Single Asset/Single Borrower CMBS" published
in July 2017 and "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" published in June 2017.
DEAL PERFORMANCE
As of the December 12, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 95% to $103.4
million from $1.96 billion at securitization. The certificates are
collateralized by 23 mortgage loans ranging in size from less than
1% to 18% of the pool, with the top ten loans constituting 82% of
the pool. Two loans, constituting 2% 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 10, the same as the Moody's last review.
Six loans, constituting 25% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Thirty-two loans have been liquidated from the pool at a loss,
resulting in an aggregate realized loss of $149 million (for an
average loss severity of 43%). One loan, constituting 2.2% of the
pool, is currently in special servicing. The specially serviced
loan is the 100 South Shore Drive Loan ($2.3 million -- 2.2% of the
pool), which is secured by a 43,000 square foot (SF) office
property located in East Haven, Connecticut. The loan was
transferred to special servicing in October 2014 due to maturity
default. As of December 2016, the property was 32% occupied. The
property became real estate owned ("REO") in August 2017. Moody's
estimates a significant loss for this specially serviced loan.
Moody's received full year 2016 operating results for 100% of the
pool, and partial year 2017 operating results for 100% of the pool.
Moody's weighted average conduit LTV is 58.7%, compared to 59.7% at
Moody's last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 10.4% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.8%.
Moody's actual and stressed conduit DSCRs are 1.37X and 2.10X,
respectively, compared to 1.41X and 2.01X 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 46.7% of the pool balance.
The largest loan is The Greens at Hurricane Creek Apartments Loan
($18.2 million -- 17.6% of the pool), which is secured by a
576-unit multifamily property located in Bryant, Arkansas. As of
June 2017, the property was 94% occupied, compared to 99% occupied
in September 2016. Financial performance has increased
incrementally each year since year-end 2015. The loan has also
amortized 34% since securitization. Moody's LTV and stressed DSCR
are 58.3% and 1.58X, respectively, compared to 61.5% and 1.50X at
the last review.
The second largest loan is the 65-75 Lower Welden Street Loan
($15.7 million -- 15.2% of the pool), which is secured by a 149,000
square foot (SF) suburban office building located in St. Albans,
Vermont (approximately 18 miles from the Canadian border). As of
June 2017, the property was 100% occupied by The Department of
Homeland Security, whose lease expires in December 2021. Due to the
single tenancy, Moody's analysis incorporated a lit/dark analysis.
This loan has amortized 23% since securitization. Moody's LTV and
stressed DSCR are 94.9% and 1.58X, respectively, compared to 97.9%
and 1.54X at the last review
The third largest loan is The Links at Oxford Apartments Loan
($14.4 million -- 13.9% of the pool), which is secured by a
492-unit multifamily property located in Oxford, Mississippi. As of
June 2017, the property was 94% occupied, compared to 100% in
September 2016. Financial performance has increased incrementally
since year-end 2015 and the loan has amortized 34% since
securitization. Moody's LTV and stressed DSCR are 48.9% and 1.83X,
respectively. compared to 51.6% and 1.74X at the last review.
JP MORGAN 2006-S3: Moody's Lowers Ratings on 2 Tranches to C
------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of sixteen
tranches issued by J.P. Morgan Mortgage Trust 2006-S3, a prime
jumbo RMBS transaction issued in 2006.
Complete rating actions are:
Issuer: J.P. Morgan Mortgage Trust 2006-S3
Cl. 1-A-10, Downgraded to Ca (sf); previously on Sep 19, 2012
Downgraded to Caa3 (sf)
Cl. 1-A-11, Downgraded to Ca (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. 1-A-12, Downgraded to Ca (sf); previously on Sep 19, 2012
Downgraded to Caa2 (sf)
Cl. 1-A-13, Downgraded to Ca (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. 1-A-14, Downgraded to Ca (sf); previously on Sep 19, 2012
Downgraded to Caa2 (sf)
Cl. 1-A-15, Downgraded to Ca (sf); previously on Sep 19, 2012
Downgraded to Caa2 (sf)
Cl. 1-A-16, Downgraded to Ca (sf); previously on Sep 19, 2012
Downgraded to Caa2 (sf)
Cl. 1-A-17, Downgraded to Ca (sf); previously on Sep 19, 2012
Downgraded to Caa2 (sf)
Cl. 1-A-18, Downgraded to Ca (sf); previously on Sep 19, 2012
Downgraded to Caa2 (sf)
Cl. 1-A-19, Downgraded to Ca (sf); previously on Sep 19, 2012
Downgraded to Caa2 (sf)
Cl. 1-A-21, Downgraded to C (sf); previously on Sep 19, 2012
Downgraded to Caa3 (sf)
Cl. 1-A-22, Downgraded to C (sf); previously on Sep 19, 2012
Downgraded to Caa3 (sf)
Cl. 1-A-28, Downgraded to Ca (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. 1-A-30, Downgraded to Ca (sf); previously on Sep 19, 2012
Downgraded to Caa2 (sf)
Cl. 1-A-31, Downgraded to Ca (sf); previously on Sep 19, 2012
Downgraded to Caa2 (sf)
Cl. 2-A-6, Downgraded to Caa2 (sf); previously on Sep 3, 2013
Upgraded to Caa1 (sf)
RATINGS RATIONALE
The rating actions reflect the recent performance of the underlying
pools and Moody's updated loss expectation on the pools. The rating
downgrades are due to the weak performance of the underlying
collateral and the erosion of credit enhancement available to the
bonds.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017. The
methodologies used in rating J.P. Morgan Mortgage Trust 2006-S3 Cl.
1-A-22 were "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" published in June 2017 and "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.1% in November 2017 from 4.6% in
November 2016. Moody's forecasts an unemployment central range of
3.5% to 4.5% for 2018. 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 2018. 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.
JP MORGAN 2016-C1: Fitch Affirms 'B-sf' Rating on Class F Certs
---------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of JP Morgan Chase JPMBB
2016-C1 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 0.64% to $1.02
billion.
Highly Concentrated Pool: The top 10 loans account for 58.9% of the
pool, which is well above the 2015 and 2014 vintage averages of
49.3% and 50.5%, respectively.
Property Concentration: The largest property type is office
(36.5%), followed by hotel (20.9%), and multifamily (16.0%). The
pool's office concentration is above the 2014 vintage average of
22.8% and the 2015 vintage average of 23.5%. The pool's hotel
concentration is higher than the 2014 vintage concentration of
14.2% and the 2015 vintage average of 17.0%.
Fitch Leverage: At issuance, the transaction had a higher leverage
than other Fitch-rated fixed-rate multiborrower transactions issued
at the same timeframe. The pool's Fitch DSCR of 1.14x was lower
than both the 2015 average of 1.18x and the 2014 average of 1.19x,
while the pool's Fitch LTV of 109.5% was in line with the 2015
average of 109.3% and higher than the 2014 average of 106.2%.
Watchlist Loans/Hurricane Exposure: There are five loans (15.4%) on
the servicer's watchlist. Two loans (7.7%) are on the watchlist due
to deferred maintenance and two others (0.8%) are due to occupancy
issues. The Naples Grand Beach loan (6.9%) is on the servicer's
watchlist due to damage associated with Hurricane Irma. The
property is a 474-key resort hotel located in Naples, FL. According
to the master servicer, the resort suffered water and wind damage
and was temporarily closed to assess the severity. Roughly 40% of
the rooms had water damage, but the vast majority of the hard goods
were not damaged. A local media report states the property was
closed for three months, but reopened 90 rooms in mid-December
after undergoing extensive renovation work, which included new
flooring, a new lobby bar and resurfaced pool. The report also
stated that all rooms would be ready for occupancy in January
2018.
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 has affirmed the following classes:
-- $26.4 million class A-1 at 'AAAsf'; Outlook Stable;
-- $95.9 million class A-2 at 'AAAsf'; Outlook Stable;
-- $44.5 million class A-3 at 'AAAsf'; Outlook Stable;
-- $175 million class A-4 at 'AAAsf'; Outlook Stable;
-- $317.5 million class A-5 at 'AAAsf'; Outlook Stable;
-- $53.3 million class A-SB at 'AAAsf'; Outlook Stable;
-- $771.3 million* class X-A at 'AAAsf'; Outlook Stable;
-- $58.8 million class A-S at 'AAAsf'; Outlook Stable;
-- $58.8 million class B at 'AA-sf'; Outlook Stable;
-- $47.3 million class C at 'A-sf'; Outlook Stable;
-- $56.2 million* class X-D at 'BBB-sf'; Outlook Stable;
-- $34.5 million class D-1 at 'BBBsf'; Outlook Stable;
-- $21.7 million class D-2 at 'BBB-sf'; Outlook Stable;
-- $56.2 million class D at 'BBB-sf'; Outlook Stable;
-- $29.4 million class E at 'BB-sf'; Outlook Stable;
-- $11.5 million class F at 'B-sf'; Outlook Stable.
*Indicates notional amount and interest-only.
The Class D-1 and Class D-2 certificates may be exchanged for Class
D certificates, and Class D certificates may be exchanged for the
Class D-1 and Class D-2 certificates.
Fitch does not rate the class NR certificates. Fitch previously
withdrew the ratings on the interest-only classes X-B and X-C
certificates.
JPMCC COMMERCIAL 2015-JP1: DBRS Confirms BB(low) Rating on G Certs
------------------------------------------------------------------
DBRS Limited confirmed all classes of Commercial Mortgage
Pass-Through Certificates, Series 2015-JP1 issued by JPMCC
Commercial Mortgage Securities Trust 2015-JP1 as follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (high) (sf)
-- Class B at AA (sf)
-- Class X-C at A (high) (sf)
-- Class C at A (sf)
-- Class X-D at A (low) (sf)
-- Class D at BBB (high) (sf)
-- Class X-E at BBB (high) (sf)
-- Class E at BBB (sf)
-- Class F at BB (high) (sf)
-- Class G at BB (low) (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction, which has remained in line with DBRS's
expectations since issuance. The collateral consists of 51
fixed-rate loans secured by 58 properties, and as of the October
2017 remittance, there has been a collateral reduction of 0.9% as a
result of scheduled loan amortization. Loans representing 96.5% of
the pool balance reported YE2016 financials, and these loans
reported a weighted-average (WA) debt service coverage ratio (DSCR)
and debt yield of 1.67 times (x) and 9.6%, respectively, compared
with the DBRS term DSCR and debt yield of 1.45x and 8.3%,
respectively. The largest 15 loans reported a WA YE2016 DSCR of
1.72x compared with 1.47x at DBRS's original analysis, representing
a WA cash flow improvement of 18.6%. These loans reported a WA debt
yield of 9.7%. Six loans -- representing 30.9% of the pool,
including three of the largest 15 loans -- were structured with
full-term interest-only (IO) payments. An additional 21 loans,
representing 36.3% of the pool, have partial IO periods ranging
from 12 months to 60 months. As of the October 2017 remittance, 13
loans representing 25.3% of the pool balance have remaining IO
periods, and these loans reported a stable WA DSCR and debt yield
of 1.53x and 9.8%, respectively.
As of the October 2017 remittance, there are six loans representing
6.7% of the pool being monitored on the servicer's watchlist. Four
of these loans, representing 3.1% of the pool balance, are being
monitored for non-performance-related issues limited to deferred
maintenance.
The Hyatt Place Houston loan (Prospectus ID#38; 0.81% of the
current pool balance) was flagged for a depressed DSCR as a result
of ongoing renovations and soft market dynamics. Based on the
October 2017 Significant Insurance Event report forwarded by the
servicer, the subject suffered minor damages as a result of
Hurricane Harvey. DBRS will continue to monitor for developments,
providing updated commentary on the DBRS Viewpoint platform as new
information becomes available.
Classes X-A, X-B, X-C, X-D and X-E are 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.
LB-UBS COMMERCIAL 2004-C4: Moody's Affirms C Rating on Cl. K Certs
------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
in LB-UBS Commercial Mortgage Trust 2004-C4, Commercial Mortgage
Pass-Through Certificates, Series 2004-C4 as follows:
Cl. J, Affirmed Caa2 (sf); previously on Jan 12, 2017 Affirmed Caa2
(sf)
Cl. K, Affirmed C (sf); previously on Jan 12, 2017 Affirmed C (sf)
RATINGS RATIONALE
The ratings of two P&I classes were affirmed because the ratings
are consistent with Moody's expected loss plus realized losses.
Moody's rating action reflects a base expected loss of 42.9% of the
current pooled balance, compared to 36.8% at Moody's last review.
Moody's base expected loss plus realized losses is now 3.4% of the
original pooled balance, compared to 3.5% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 42% of the pool is in
special servicing and Moody's has identified additional troubled
loans representing 13% of the pool. In this approach, Moody's
determines a probability of default for each specially serviced and
troubled loan that it expects will generate a loss and estimates a
loss given default based on a review of broker's opinions of value
(if available), other information from the special servicer,
available market data and Moody's internal data. The loss given
default for each loan also takes into consideration repayment of
servicer advances to date, estimated future advances and closing
costs. Translating the probability of default and loss given
default into an expected loss estimate, Moody's then applies the
aggregate loss from specially serviced and troubled loans to the
most junior class and the recovery as a pay down of principal to
the most senior class.
DEAL PERFORMANCE
As of the 15 December, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $21.0 million
from $1.41 billion at securitization. The certificates are
collateralized by seven mortgage loans ranging in size from 2% to
42% of the pool.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of four, compared to five at Moody's last review.
Two loans, constituting 16% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Nineteen loans have been liquidated from the pool at a loss,
contributing to an aggregate realized loss of $39.4 million (for an
average loss severity of 33%). One loan, constituting 42% of the
pool, is currently in special servicing. The largest specially
serviced loan is the 2200 Byberry Road Loan ($8.7 million -- 41.5%
of the pool), which is secured by two, Class B, office buildings
located in Hatboro, Pennsylvania, situated off of the Pennsylvania
Turnpike between Trenton, NJ and Philadelphia, PA. Building A
(93,000 SF; 88% of NRA) is 100% vacant and Building B (12,191 SF;
12% of NRA) is 100% leased to Verizon through September 2023. The
combined property SF was 12% leased as of October 2017. The special
servicer is evaluating whether to market the property for sale in
the spring of 2018.
Moody's has also assumed a high default probability for one poorly
performing loan, constituting 13% of the pool, and has estimated an
aggregate loss of $0.9 million (a 32% expected loss based on a 50%
probability default) from this troubled loan.
Moody's received full year 2016 operating results for 100% of the
pool. Moody's weighted average LTV for the performing loans is 59%,
compared to 69% at Moody's last review. Moody's net cash flow (NCF)
reflects a weighted average haircut of 44% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.8%.
Moody's actual and stressed DSCRs for the performing loans are
0.72X and 1.85X, respectively, compared to 0.89X and 1.59X 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 46% of the pool balance. The
largest loan is the Regal Cinema Loan ($5.7 million -- 27.2% of the
pool), which is secured by a stand-alone, 20-screen, Regal Cinemas
located in Augusta, Georgia, approximately 140 miles east of
Atlanta. The property is part of a larger retail development called
August Exchange, a power center anchored by a Target, Hobby Lobby
and Burlington Coat Factory. The loan collateral is 100% leased to
Regal Cinemas through October 2019. The loan benefits from
amortization and has paid down 50% since securitization. Moody's
analysis incorporated a Lit/Dark approach to account for the
single-tenant exposure. Moody's LTV and stressed DSCR are 60% and
1.80X, respectively, compared to 64% and 1.70X at the last review.
The second largest loan is the Heritage Plaza Shopping Center Loan
($2.8 million -- 13.3% of the pool), which is secured by a 22,700
SF unanchored retail center located in Grapevine, Texas. The
property has been on the watchlist due to low DSCR and occupancy
since 2009, but has experienced leasing momemtum in the past two
years, and was 100% leased as of October 2017. The borrower was
able to improve occupancy by retaining a new leasing agent who has
been actively marketing vacant space at the property. The loan
benefits from amortization and has paid down 22% since
securitization. Despite amortization and strong recent leasing
momentum, Moody's has identified this as a troubled loan given
looming tenant lease expirations and maturity.
The third largest loan is the Rite Aid -- Westlake Loan ($1.2
million -- 5.8% of the pool), which is secured by a 11,200 SF
stand-alone Rite Aid located in Westlake, Ohio. The property is
100% leased to Rite Aid through July 2021. The loan is fully
amortizing and has paid down 65% since securitization. Moody's
analysis incorporated a Lit/Dark approach to account for the
single-tenant exposure. Moody's LTV and stressed DSCR are 58% and
1.86X, respectively, compared to 66% and 1.64X at the last review.
LB-UBS COMMERCIAL 2005-C3: Moody's Cuts Cl. X-CL Debt Rating to C
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on four classes,
upgraded the rating on one class and downgraded the rating on one
class in LB-UBS Commercial Mortgage Trust 2005-C3:
Cl. D, Affirmed Aaa (sf); previously on Jan 11, 2017 Affirmed Aaa
(sf)
Cl. E, Upgraded to A3 (sf); previously on Jan 11, 2017 Affirmed
Baa1 (sf)
Cl. F, Affirmed B1 (sf); previously on Jan 11, 2017 Affirmed B1
(sf)
Cl. G, Affirmed Caa2 (sf); previously on Jan 11, 2017 Affirmed Caa2
(sf)
Cl. H, Affirmed Ca (sf); previously on Jan 11, 2017 Downgraded to
Ca (sf)
Cl. X-CL, Downgraded to C (sf); previously on Jan 11, 2017 Affirmed
Caa3 (sf)
RATINGS RATIONALE
The rating of the Class D 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 rating of the Class E was upgraded due to an increase in credit
support resulting from paydowns and amortization.
The ratings of Classes F, G, and H were affirmed because the
ratings are consistent with Moody's expected loss plus realized
losses.
The rating of the IO class X-CL was downgraded due to the credit
quality of the referenced classes.
Moody's rating action reflects a base expected loss of 7.3% of the
current pooled balance, compared to 8.4% at Moody's last review.
Moody's base expected loss plus realized losses is now 4.5% of the
original pooled balance, compared to 4.6% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017. The methodologies used in rating Cl.
X-CL were "Moody's Approach to Rating Large Loan and Single
Asset/Single Borrower CMBS" published in July 2017 and "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the 15 December, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $64.0 million
from $1.97 billion at securitization. The certificates are
collateralized by six mortgage loans ranging in size from less than
4.7% to 45.1% of the pool.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of four, the same as at Moody's last review.
Two loans, constituting 22.5% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Twenty loans have been liquidated from the pool at a loss,
contributing to an aggregate realized loss of $84.6 million (for an
average loss severity of 43%). There are currently no loans in
special servicing.
Moody's has also assumed a high default probability for two poorly
performing loans, constituting 22.5% of the pool, and has estimated
an aggregate loss of $4.0 million (a 28% expected loss based on a
75% probability default) from these troubled loans.
Moody's received full year 2016 operating results for 100% of the
pool, and full or partial year 2017 operating results for 100% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average LTV for performing loans is 110%, compared to 111%
at Moody's last review. Moody's net cash flow (NCF) reflects a
weighted average haircut of 14% to the most recently available net
operating income (NOI). Moody's value reflects a weighted average
capitalization rate of 9.8%.
Moody's actual and stressed DSCRs for performing loans are 1.11X
and 0.97X, respectively, compared to 1.12X and 0.96X 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 performing loans represent 77.8% of the pool balance.
The largest loan is the Medlock Crossing Loan ($28.9 million --
45.1% of the pool), which is secured by a 159,000 SF retail center
located in Duluth, Georgia, approximately 30 miles northeast of the
Atlanta CBD. The property is anchored by a 70,700 SF, 18-screen,
Regal Cinemas (45% of the NRA), whose lease extends through
February 2019. Regal Cinemas has five, five-year extension options.
The property was 95% leased as of September 2017. Moody's LTV and
stressed DSCR are 112% and 0.92X, respectively, compared to 114%
and 0.90X at the last review.
The second largest loan is the University Square Loan ($12.6
million -- 19.7% of the pool), which is secured by a 76,000 SF
retail center located in San Antonio, Texas. The property is
anchored by Mega Furniture (34% of the NRA) whose lease extends
through April 2026. The property was 100% leased as of September
2017. Moody's LTV and stressed DSCR are 105% and 1.08X,
respectively, compared to 114% and 0.99X at the last review.
The third largest loan is the The Crossing Loan ($8.3 million --
13.0% of the pool), which is secured by a 95,400 SF retail center
located in Matthews, NC, approximately 10 miles southeast of the
Charlotte CBD. The property is anchored by The Tile Shop (18% of
the NRA) and Guitar Center (16%). The property was 82% as of the
September 2017 rent roll, however, the property was only 60% leased
excluding temporary tenant Spirit Halloween (22%). Moody's has
identified this as a troubled loan.
MERRILL LYNCH 2005-LC1: Moody's Affirms C Ratings on 4 Tranches
---------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on four classes
in Merrill Lynch Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2005-LC1:
Cl. H, Affirmed C (sf); previously on Jan 13, 2017 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Jan 13, 2017 Affirmed C (sf)
Cl. K, Affirmed C (sf); previously on Jan 13, 2017 Affirmed C (sf)
Cl. X, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The ratings on the three P&I classes were affirmed because the
ratings are consistent with Moody's expected loss.
The rating on the IO class was affirmed based on the credit quality
of the referenced classes.
Moody's rating action reflects a base expected loss of 75.3% of the
current pooled balance, compared to 64.6% at Moody's last review.
Moody's base expected loss plus realized losses is now 4.0% of the
original pooled balance, compared to 4.3% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017. The methodologies used in rating Cl.
X were "Moody's Approach to Rating Large Loan and Single
Asset/Single Borrower CMBS" published in July 2017 and "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 100% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then applies the aggregate loss
from specially serviced to the most junior class(es) and the
recovery as a pay down of principal to the most senior class(es).
DEAL PERFORMANCE
As of the December 12, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $18.1 million
from $1.55 billion at securitization. The certificates are
collateralized by three mortgage loans ranging in size from 21% to
51% of the pool.
Twenty-seven loans have been liquidated from the pool, resulting in
an aggregate realized loss of $48 million (for an average loss
severity of 30%). All three remaining loans are currently in
special servicing. The largest specially serviced loan is the
Presnell Portfolio II Loan ($9.3 million -- 51.3% of the pool),
which was secured by a 225,014 squarefoot (SF) portfolio of five
retail properties and one office property in Indiana. The portfolio
became REO in 2012, and there is only one remaining retail property
that serves as collateral for the portfolio. The remaining
property, Greensburg Crossing, totals 97,923 SF and is located in
Greensburg, Indiana approximately 50 miles southeast of the
Indianapolis CBD. Moody's anticipates a significant loss on this
loan.
The second largest specially serviced loan is the Fox Lake Town
Center ($5.0 million -- 27.3% of the pool), which is secured by a
retail property located in Fox Lake, Illionois, approximately 55
miles northwest of Chicago. The property was 84% occupied as of
June 2017. The loan transferred to special servcing in November
2015 when the borrower was unable to secure refinancing prior to
its December 2015 maturity date. Moody's anticipates a significant
loss on this loan.
The third largest specially serviced loan is the Safeway Market
Place (Yale & Monaco) ($3.9 million -- 21.4% of the pool), which is
secured by a 23,134 SF grocery-shadow anchored neighborhood retail
center in Denver, Colorado. As of March 2017, the property was 86%
occupied. The loan transferred to special servicing in March 2013
due to payment default. Moody's anticipates a significant loss on
this loan.
MORGAN STANLEY 1998-HF2: Fitch Affirms 'Dsf' Rating on Cl. L Certs
------------------------------------------------------------------
Fitch Ratings has upgraded one class of Morgan Stanley Capital I
Trust's commercial mortgage pass-through certificates, series
1998-HF2.
KEY RATING DRIVERS
Defeasance: The upgrade reflects class K being fully covered by
defeased collateral and anticipation that this class will pay in
full in the first half of 2018 (1H18). The second and third largest
loans are defeased with maturities in 2021 and 2023, respectively;
the remaining three defeased loans mature in 2018.
Concentrated Pool: As of the December 2017 distribution date, the
pool's aggregate principal balance has been reduced by 99% to $10
million from $1.06 billion at issuance. The pool has experienced
$28.3 million (2.7% of the original pool balance) in realized
losses to date. A total of 10 loans remain in the pool; five are
defeased (51% of the pool) and none are delinquent or in special
servicing.
RATING SENSITIVITIES
Class K is expected to pay in full in 1H18. Classes L and M will
remain at 'D' due to realized losses. No further rating changes are
anticipated for the remaining life of the transaction.
Fitch has upgraded the following class:
-- $1.3 million class K to 'AAAsf' from 'Asf'; Outlook Stable.
Fitch has affirmed the following ratings:
-- $8.7 million class L at 'Dsf', RE 100%;
-- $0 class M at 'Dsf', RE 0%.
The class A-1, A-2, B, C, D, E, F, G, H and J certificates have
paid in full. Fitch does not rate the class N certificates. Fitch
previously withdrew the rating on the interest-only class X
certificates.
MORGAN STANLEY 2004-TOP13: Moody's Hikes Class N Debt Rating to B3
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on seven classes
and affirmed the ratings on three classes in Morgan Stanley Capital
I Trust 2004-TOP13:
Cl. F, Affirmed Aaa (sf); previously on Jan 13, 2017 Affirmed Aaa
(sf)
Cl. G, Affirmed Aaa (sf); previously on Jan 13, 2017 Affirmed Aaa
(sf)
Cl. H, Affirmed Aaa (sf); previously on Jan 13, 2017 Upgraded to
Aaa (sf)
Cl. J, Upgraded to Aa3 (sf); previously on Jan 13, 2017 Upgraded to
Baa1 (sf)
Cl. K, Upgraded to A2 (sf); previously on Jan 13, 2017 Upgraded to
Baa3 (sf)
Cl. L, Upgraded to Baa2 (sf); previously on Jan 13, 2017 Upgraded
to Ba3 (sf)
Cl. M, Upgraded to Ba3 (sf); previously on Jan 13, 2017 Upgraded to
Caa1 (sf)
Cl. N, Upgraded to B3 (sf); previously on Jan 13, 2017 Affirmed Ca
(sf)
Cl. O, Upgraded to Caa2 (sf); previously on Jan 13, 2017 Affirmed C
(sf)
Cl. X-1, Upgraded to Caa1 (sf); previously on Jun 9, 2017
Downgraded to Caa2 (sf)
RATINGS RATIONALE
The ratings on six P&I classes were upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization, as well as due to a significant increase in
defeasance, to 45% of the current pool balance from 12% at the last
review.
The ratings on three P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The rating on one IO class was upgraded based on the credit quality
of the referenced classes.
Moody's rating action reflects a base expected loss of 0% of the
current pooled balance, compared to 0.9% at Moody's last review.
Moody's base expected loss plus realized losses is now 0.8% of the
original pooled balance, compared to 0.9% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
Moody's does not anticipate losses from the remaining collateral in
the current environment. However, over the remaining life of the
transaction, losses may emerge from macro stresses to the
environment and changes in collateral performance. Moody's ratings
reflect the potential for future losses under varying levels of
stress.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017. The methodologies used in rating Cl.
X-1 were "Moody's Approach to Rating Large Loan and Single
Asset/Single Borrower CMBS" published in July 2017 and "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the December 12, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 96% to $52.9 million
from $1.21 billion at securitization. The certificates are
collateralized by 23 mortgage loans ranging in size from less than
1% to 22% of the pool. One loan, constituting 8% of the pool, has
an investment-grade structured credit assessment. Seven loans,
constituting 45% 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 five, the same as at Moody's last review.
Ten loans have been liquidated from the pool, resulting in or
contributing to an aggregate realized loss of $10.2 million (for an
average loss severity of 11.5%).
Moody's received full year 2016 operating results for 100% of the
pool, and partial year 2017 operating results for 100% of the pool
(excluding specially serviced and defeased loans). Moody's weighted
average conduit LTV is 36%, compared to 52% at Moody's last review.
Moody's conduit component excludes loans with structured credit
assessments, defeased and CTL loans, and specially serviced and
troubled loans. Moody's net cash flow (NCF) reflects a weighted
average haircut of 18% to the most recently available net operating
income (NOI). Moody's value reflects a weighted average
capitalization rate of 9.3%.
Moody's actual and stressed conduit DSCRs are 2.25X and 5.45X,
respectively, compared to 1.73X and 3.57X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The loan with a structured credit assessment is the Gallup
Headquarter Loan ($4.0 million -- 7.6% of the pool), which is
secured by a 296,000 square foot (SF) office building located in
Omaha, Nebraska. The property is 100% leased to Gallup, Inc. under
a triple net lease that expires in October 2018. The lease
expiration is co-terminus with the loan's maturity date. The loan
has amortized approximately 88% since securitization and Moody's
structured credit assessment and stressed DSCR are aaa (sca.pd) and
>4.00X, respectively.
The top three conduit loans represent 35% of the pool balance. The
largest loan is the Highlander Plaza Loan ($11.7 million -- 22.2%
of the pool), which is secured by a 161,600 SF grocery-anchored
retail property in Salem, Massachusetts. The anchor is Shaw's
Supermarket, which leases approximately 39% of the NRA through
February 2021. As of June 2016, the property was 100% leased. After
an initial ten year interest-only period, the loan is now
benefitting from a 30-year amortization schedule. Moody's LTV and
stressed DSCR are 46% and 2.10X, respectively, compared to 50% and
1.93X at the last review.
The second largest loan is The Center for Shopping Loan ($4.5
million -- 8.6% of the pool), which is secured by a
grocery-anchored retail center located in Sanford, Maine, about 35
miles southwest of Portland, Maine. The largest tenant, Shaw's
Supermarkets, has a lease expiration through 2029. The loan has
amortized by 56% since securitization. Moody's LTV and stressed
DSCR are 26% and 3.88X, respectively, compared to 28% and 3.71X at
the last review.
The third largest loan is the Oak Knoll North Loan ($2.4 million --
4.6% of the pool), which is secured by an unanchored retail center
located in Orcutt, California about 150 miles northwest of Los
Angeles. The loan has amortized by 26% since securitization.
Moody's LTV and stressed DSCR are 33% and 3.10X, respectively,
compared to 32% and 3.21X at the last review.
MOUNTAIN VIEW 2017-2: Moody's Assigns B3 Rating to Class F Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
notes issued by Mountain View CLO 2017-2 Ltd.
Moody's rating action is:
US$3,000,000 Class X Senior Secured Floating Rate Notes due 2031
(the "Class X Notes"), Assigned Aaa (sf)
US$256,000,000 Class A Senior Secured Floating Rate Notes due 2031
(the "Class A Notes"), Assigned Aaa (sf)
US$48,000,000 Class B Senior Secured Floating Rate Notes due 2031
(the "Class B Notes"), Assigned Aa2 (sf)
US$21,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C Notes"), Assigned A2 (sf)
U.S.$25,500,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class D Notes"), Assigned Baa3 (sf)
U.S.$17,500,000 Class E Junior Secured Deferrable Floating Rate
Notes due 2031 (the "Class E Notes"), Assigned Ba3 (sf)
US$7,400,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class F Notes"), Assigned B3 (sf)
The Class X Notes, the Class A Notes, the Class B Notes, the Class
C Notes, the Class D Notes, the Class E Notes and the Class F Notes
are referred to herein, 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.
Mountain View CLO 2017-2 is a managed cash flow CLO. The issued
notes will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 92.5% of the portfolio must
consist of senior secured loans and eligible investments, and up to
7.5% of the portfolio may consist of second lien loans, senior
unsecured loans, and first-lien last-out loans. The portfolio is at
least 65% ramped as of the closing date.
Seix Investment Advisors LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $400,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2824
Weighted Average Spread (WAS): 3.65%
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 2824 to 3248)
Rating Impact in Rating Notches
Class X Notes: 0
Class A Notes: 0
Class B Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Class F Notes: -1
Percentage Change in WARF -- increase of 30% (from 2824 to 3671)
Rating Impact in Rating Notches
Class X Notes: 0
Class A Notes: -1
Class B Notes: -4
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
Class F Notes: -3
MSBAM 2014-C14: Fitch Affirms B-sf Rating on Class G Certs
----------------------------------------------------------
Fitch Ratings has affirmed 15 classes of Morgan Stanley Bank of
America Merrill Lynch Trust, Series 2014-C14 (MSBAM 2014-C14)
commercial mortgage pass-through certificates.
KEY RATING DRIVERS
Stable Performance: The majority of the pool is performing in line
with issuance expectations. As of the November 2017 distribution
date, the pool's aggregate principal balance has paid down by 6% to
$1.39 billion from $1.48 billion at issuance. There are four Fitch
Loans of Concern (6.3% of the pool), including one specially
serviced loan (3.6% of the pool). Only two loans (1.6% of pool)
have been defeased.
Specially Serviced Loan: Aspen Heights - Columbia (3.6% of the
pool), which is secured by a student housing property located off
the campus of the University of Missouri - Columbia, transferred to
special servicing on Nov. 8, 2017 due to imminent monetary default.
Occupancy at the subject student housing property has continued to
decline in recent years. The most recent servicer reported TTM July
2017 NOI DSCR was 1.14x compared to 0.76x as of TTM July 2016.
However, per the October 2017 rent roll, the property was only
75.8% leased compared with 90.2% in September 2016. The special
servicer is currently evaluating the collateral before proceeding
with an action plan. The loan has been under hard cash management
since 2016 due to poor performance. Fitch will continue to monitor
loan performance.
Pool Concentration: The top three loans in the pool represent 27.6%
of the total pool balance, which is among the highest
concentrations for similar vintage transactions. The top 10 loans
in the pool represent 57.4% of the total pool balance.
Interest Only Loans: Approximately 24.6% of the pool is full-term
interest-only. However, 48.9% is partial-term interest-only. Only
six loans remain in their partial IO periods. The remainder of the
pool consists of amortizing balloon loans (25.7%) and two fully
amortizing loans (0.8%).
Property Type Concentrations: The largest property type
concentration is multifamily at 26.7% (including mobile home
parks); the next highest are retail at 21.5% and hotel at 21.4%.
RATING SENSITIVITIES
The Negative Outlook on class G primarily reflects concern over the
specially serviced asset. A downgrade to this class may occur if
performance continues to decline at the property. Rating Outlooks
for the senior classes remain Stable due to the stable performance
of the majority of the remaining pool and continued expected
amortization. Upgrades may occur with improved pool performance and
additional paydown or defeasance.
Fitch has affirmed the following ratings:
-- $265,443,651 class A-2 at 'AAAsf'; Outlook Stable;
-- $90,400,000 class A-SB at 'AAAsf'; Outlook Stable;
-- $173,800,000 class A-3 at 'AAAsf'; Outlook Stable;
-- $160,000,000 class A-4 at 'AAAsf'; Outlook Stable;
-- $256,038,000 class A-5 at 'AAAsf'; Outlook Stable;
-- Interest-only class X-A at 'AAAsf'; Outlook Stable;
-- $114,593,000 class A-S* at 'AAAsf'; Outlook Stable;
-- $81,324,000 class B* at 'AA-sf'; Outlook Stable;
-- $264,304,000 class PST* at 'A-sf'; Outlook Stable;
-- $68,387,000 class C* at 'A-sf'; Outlook Stable;
-- Interest-only X-B at 'AA-sf'; Outlook Stable;
-- $66,538,000 class D at 'BBB-sf'; Outlook Stable;
-- $20,331,000 class E at 'BB+sf'; Outlook Stable;
-- $16,635,000 class F at 'BB-sf'; Outlook Stable;
-- $12,938,000 class G at 'B-sf'; Outlook Negative.
*Class A-S, B and C certificates may be exchanged for class PST
certificates, and class PST certificates may be exchanged for class
A-S, B and C certificates.
Class A-1 has paid in full. Fitch does not rate class H or the
interest-only class X-C.
MSBAM 2015-C21: Fitch Affirms B-sf Rating on Class F Certificates
-----------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of Morgan Stanley Bank of
America Merrill Lynch Trust, commercial mortgage pass-through
certificates, series 2015-C21 (MSBAM 2015-C21).
KEY RATING DRIVERS
Stable Performance with No Material Changes: The pool has been paid
down 1.86% to $885.0 million from $901.2 million at issuance. All
of the loans were current as of the December 2017 distribution
date, with no material changes to pool metrics. As property-level
performance is generally in line with issuance expectations, the
original rating analysis was considered in affirming the
transaction.
Specially Serviced Loan: The fifth largest loan, Fontainebleau Park
Plaza (5.7% of the pool), transferred to special servicing in
January 2017 when the master servicer determined the tenants were
not making full rent and CAM reimbursement deposits into the
lockbox. The 234,500-sf retail center is located in Miami and
anchored by Walmart. Performance has improved with a YE 2016 NOI
DSCR of 1.98x compared to 0.99x at YE 2015, and occupancy remains
at 100%. Leases accounting for only 9.4% of the net rentable area
expire during the loan term. As of December 2017, the loan is less
than one month delinquent and the borrower has been delinquent
three other times in the past 12 months.
Loans of Concern: In addition to the specially serviced loan, Fitch
Ratings has designated four loans (5.8% of the pool) as Loans of
Concern, one of which is in the top 15 (2.9%). The ninth largest
loan, Briarwood Office, recently had its third largest tenant
vacate, leaving the property 72% occupied, according to the
December 2017 rent roll.
Above-Average Amortization: The pool is scheduled to amortize by
13.5% of the initial pool balance prior to maturity, which is above
the 2014 average of 12.0%. There are 31 loans (40.9% of pool) with
partial interest-only periods, seven loans (31.4%) that are
full-term interest-only and one loan (3.2%) that is fully
amortizing. The remaining 25 loans (24.5%) are amortizing balloon
loans with loan terms of five to 10 years. Nine partial
interest-only loans (8.5%) have begun amortizing.
Additional Subordinate Debt: Three loans (14.6% of pool), all of
which are in the top 10, have subordinate debt in place. These
loans include 555 11th Street NW (6.8%), which has a $30 million
senior B-note, a $57 million junior B-note and $50 million in
mezzanine debt; Cumberland Cove Apartments (5.0%), which has $7
million in mezzanine debt; and Briarwood Office (2.8%), which has
$4.5 million in mezzanine debt.
Hurricane and Wildfire Exposure: Two loans (2.4%) have exposure to
Hurricane Harvey, but neither reported damage. Seven loans (17.8%)
have exposure to Hurricane Irma, with four (8.5%) reporting minor
damage, two (6.1%) reporting no damage and one (3.3%) having yet to
respond to the servicer. No loans in the pool have exposure to the
California wildfires.
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:
-- $17.2 million class A-1 at 'AAAsf'; Outlook Stable;
-- $25 million class A-2 at 'AAAsf'; Outlook Stable;
-- $72.2 million class A-SB at 'AAAsf'; Outlook Stable;
-- $205 million class A-3 at 'AAAsf'; Outlook Stable;
-- $274.3 million class A-4 at 'AAAsf'; Outlook Stable;
-- $64.3 million (b) class A-S at 'AAAsf'; Outlook Stable;
-- $657.9 million (a) class X-A at 'AAAsf'; Outlook Stable;
-- $39.2 million (b) class B at 'AAsf'; Outlook Stable;
-- $39.2 million (a)(c) class X-B at 'AAsf'; Outlook Stable;
-- $53.4 million (b) class C at 'A-sf'; Outlook Stable;
-- $156.8 million (b) class PST at 'A-sf'; Outlook Stable;
-- $41.4 million (c) class D at 'BBB-sf'; Outlook Stable;
-- $19.6 million (c) class E at 'BB-sf'; Outlook Stable;
-- $19.6 million (a)(c) class X-E at 'BB-sf'; Outlook Stable;
-- $8.7 million (c) class F at 'B-sf'; Outlook Stable;
-- $11.7 million (c)(d) class 555A at 'BBB-sf'; Outlook Stable.
(a) Notional amount and interest-only.
(b) Class A-S, B and C certificates may be exchanged for class PST
certificates, and class PST certificates may be exchanged for class
A-S, B, and C certificates.
(c) Privately placed and pursuant to Rule 144A.
(d) The 555A and 555B certificates represent the beneficial
interests in the 555 11th NW Street non-pooled senior B Note.
Fitch does not rate the class X-FG, X-H, G, H or 555B certificates.
MSBAM 2016-C28: Fitch Affirms B-sf Ratings on 2 Tranches
--------------------------------------------------------
Fitch Ratings has affirmed 17 classes of Morgan Stanley Bank of
America Merrill Lynch Trust (MSBAM) Mortgage Trust 2016-C28
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 0.6% to $949.6 million from $955.6 million at issuance. There
have been no specially serviced loans since issuance.
Fitch Loans of Concern: Fitch has designated four loans (7.4% of
pool) as Fitch Loans of Concern (FLOCs), including one of the top
15 loans, DoubleTree by Hilton - Cleveland, OH (3%). Two other
loans (12.2%) are on the servicer's watchlist, but not considered
FLOCs.
The largest FLOC, DoubleTree by Hilton - Cleveland, OH (3% of pool)
is secured by a 379-room full service hotel located in downtown
Cleveland, OH and within close proximity to the Cleveland
Convention Center, the Rock and Roll Hall of Fame and First Energy
Stadium. The loan was added to the servicer's watchlist in December
2017 due to a low reported net cash flow debt service coverage
ratio of 1.12x for the nine months ended September 2017. According
to the servicer's watchlist commentary, operating revenues have
decreased during 2017, and the master servicer has contacted the
borrower for details regarding the declining performance. Fitch had
also requested from the servicer an updated Smith Travel Research
report for the property, but it was not provided. At the time of
issuance, the hotel was underperforming its competitive set, and
Fitch was concerned about new hotel supply coming online during
2016 in the downtown Cleveland market.
The other FLOCs are secured by a retail property located in Plano,
TX (1.9%), an office property located in Houston, TX (1.8%) and a
limited-service hotel property located in Pensacola, FL. The retail
property was affected by significant hail damage. The
Houston-office property sustained major damage from Hurricane
Harvey. The borrower of the hotel property failed to provide notice
regarding renewal of the hotel's franchise agreement within the
required 24-month timeframe. The hotel loan, which has been on the
servicer's watchlist since October 2017, is currently being cash
managed under a hard lockbox and excess cash flow is being swept
into a Franchise Expiration Reserve account until the franchise
renewal and resulting PIP have been completed. The borrower is
currently in discussions with the franchisor to begin the renewal
process.
Pool and Loan Concentrations: The largest 10 loans in the
transaction represent 57.1% of the pool by balance, which is above
the 2015 and 2016 average concentrations of 49.3% and 54.8%,
respectively. Loans secured by retail properties represent 36.6% of
the pool by balance, including two regional malls (14.1%) and one
outlet property (7.5%) in the top 15. The largest loan, Penn Square
Mall (9.5%), is secured by the leasehold interest in a regional
mall anchored by Dillard's, Macy's and JC Penney located in
Oklahoma City, OK. The seventh largest loan, Greenville Mall
(4.6%), is secured by a regional mall anchored by JCPenney, Belk
and Dunham's Sports located in Greenville, NC. The second largest
loan, Ellenton Premium Outlets (7.5%) is secured by an outlet
property located in Ellenton, FL sponsored by Simon Property Group,
L.P.
Hurricane and Wildfire Exposure: Seven properties (13.9% of pool)
are located in regions impacted by Hurricane Irma (10.4%) and
Hurricane Harvey (3.5%). Per the master servicer's significant
insurance event (SIE) reporting, one of the underlying properties
in Palmetto, FL (1.2%) securing the Simply Self Storage OK & FL
Portfolio loan and the Holiday Inn Express - Orlando, FL property
(0.8%) sustained minor damage from Hurricane Irma. The Fish Haven
Lodge MHC property (0.2%) located in Auburndale, FL sustained no
damage. The servicer is still awaiting borrower updates on Ellenton
Premium Outlets (located in Ellenton, FL; 7.5%) and Regency Plaza
(Jacksonville, FL; 0.7%) for possible damage from Hurricane Irma.
Per the servicer's SIE reporting, the 16055 Space Center office
property (1.8%) located in Houston, TX sustained major damage from
Hurricane Harvey; Fitch has requested an update from the servicer
on the extent of the damage. The servicer is still awaiting
borrower updates on the Stoneleigh on the Lake Apartments property
(1.7%) in Spring, TX for possible damage from Hurricane Harvey.
Two properties (3.6%) are located in areas that had exposure to
recent wildfires in California. According to the servicer's SIE
report, the Fountaingrove Center property (located in Santa Rosa,
CA; 2.7%) sustained minor damage from the recent wildfires, and the
Asian Village property (located in Westminster, CA; 0.8%) sustained
no damage.
Leasehold Interests: Approximately 12.6% of the pool consists of
leasehold-only ownership interests, which is greater than the 2015
and 2016 averages of 3.5% and 4.2%, respectively. The
leasehold-only collateral in this transaction includes two of the
top 15 loans, Penn Square Mall (9.5%) and Le Meridien Cambridge MIT
(3.2%).
Below-Average Amortization: The pool is scheduled to amortize by
8.8% of the initial pool balance prior to maturity, which is below
the respective 2015 and 2016 averages of 11.7% and 10.4%. Six loans
(27.2% of pool) are interest-only for the full term. In addition,
18 loans (47.3%) are partial interest-only and have yet to begin
amortizing.
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:
-- $19.7 million class A-1 at 'AAAsf'; Outlook Stable;
-- $43.8 million class A-2 at 'AAAsf'; Outlook Stable;
-- $59.3 million class A-SB at 'AAAsf'; Outlook Stable;
-- $215 million class A-3 at 'AAAsf'; Outlook Stable;
-- $325.2 million class A-4 at 'AAAsf'; Outlook Stable;
-- $662.9 million class X-A* at 'AAAsf'; Outlook Stable;
-- $97.9 million class X-B* at 'AAAsf'; Outlook Stable;
-- $47.8 million class A-S at 'AAAsf'; Outlook Stable;
-- $50.2 million class B at 'AA-sf'; Outlook Stable;
-- $46.6 million class C at 'A-sf'; Outlook Stable;
-- $52.6 million class X-D* at 'BBB-sf'; Outlook Stable;
-- $52.6 million class D at 'BBB-sf'; Outlook Stable;
-- $14.3 million class E-1** at 'BBsf'; Outlook Stable;
-- $14.3 million class E-2** at 'BB-sf'; Outlook Stable;
-- $28.7 million class E** at 'BB-sf'; Outlook Stable;
-- $9.6 million class F** at 'B-sf'; Outlook Stable;
-- $38.2 million class EF** at 'B-sf'; Outlook Stable.
*Notional amount and interest-only.
** The class E-1 and E-2 certificates may be exchanged for a
related amount of class E certificates, and the class E
certificates may be exchanged for a rateable portion of class E-1
and E-2 certificates. Additionally, a holder of class E-1, E-2,
Class F-1 and F-2 certificates may exchange such classes of
certificates (on an aggregate basis) for a related amount of class
EF certificates, and a holder of class EF certificates may exchange
that class EF for a rateable portion of each class of the class
E-1, E-2, F-1 and F-2 certificates.
Fitch does not rate the class F-1, F-2, G-1, G-2, H-1, H-2, G, H,
or EFG certificates.
NOMURA ASSET 1998-D6: Moody's Affirms C Rating on Cl. PS-1 Certs
----------------------------------------------------------------
Moody's Investors Service has affirmed the rating of one class in
Nomura Asset Securities Corporation, Commercial Mortgage
Pass-Through Certificates, Series 1998-D6 as follows:
Cl. PS-1, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to
C (sf)
RATINGS RATIONALE
The rating of the IO Class, PS-1, was affirmed based on the credit
performance of its referenced classes. The IO class is the only
outstanding Moody's-rated class in this transaction.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
An IO class may be subject to ratings upgrades if there is an
improvement in the credit quality of its referenced classes,
subject to the limits and provisions of the updated IO
methodology.
An IO class may be subject to ratings downgrades if there is (i) a
decline in the credit quality of the reference classes and/or (ii)
paydowns of higher quality reference classes, subject to the limits
and provisions of the updated IO methodology.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in this rating were "Moody's Approach to
Rating Large Loan and Single Asset/Single Borrower CMBS" published
in July 2017, "Moody's Approach to Rating Credit Tenant Lease and
Comparable Lease Financings" published in October 2016 and "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the December 15, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 99.5% to $17.3
million from $3.7 billion at securitization. The Certificates are
collateralized by eight mortgage loans ranging in size from less
than 1% to 22% of the pool. Four loans, representing 39% of the
pool have defeased and are secured by US Government securities.
The watchlist includes loans which meet certain portfolio review
guidelines established as part of the CRE Finance Council (CREFC)
monthly reporting package. As part of Moody's ongoing monitoring of
a transaction, Moody's reviews the watchlist to assess which loans
have material issues that could impact performance.
Twenty-nine loans have been liquidated from the pool, resulting in
an aggregate realized loss of $90 million (43% loss severity on
average). No loans are currently in special servicing and Moody's
did not identify any troubled loans.
Moody's received full year 2016 operating results for 100% of the
pool's non-defeased and non-CTL loans.
The only non-defeased and non-CTL loan is the Tech Center of
Executive Hills Loan ($778,000 -- 4.5% of the pool), which is
secured by a three-building industrial complex located in Kansas
City, Missouri. The property was 100% leased as of September
compared to 92% leased at last review. The loan has amortized 72%
since securitization. Moody's LTV and stressed DSCR are 18% and
>4.0X, respectively, compared to 29% and 3.52X at last review.
The CTL component consists of three fully amortizing loans,
totaling $8 million and representing 46% of the pool leased to
CarMax.
RFC CDO 2007-1: Moody's Affirms C(sf) Ratings on 12 Tranches
------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on the following
notes issued by RFC CDO 2007-1, Ltd.:
Cl. A-2, Affirmed C (sf); previously on Feb 2, 2017 Downgraded to C
(sf)
Cl. A-2R, Affirmed C (sf); previously on Feb 2, 2017 Downgraded to
C (sf)
Cl. B, Affirmed C (sf); previously on Feb 2, 2017 Affirmed C (sf)
Cl. C, Affirmed C (sf); previously on Feb 2, 2017 Affirmed C (sf)
Cl. D, Affirmed C (sf); previously on Feb 2, 2017 Affirmed C (sf)
Cl. E, Affirmed C (sf); previously on Feb 2, 2017 Affirmed C (sf)
Cl. F, Affirmed C (sf); previously on Feb 2, 2017 Affirmed C (sf)
Cl. G, Affirmed C (sf); previously on Feb 2, 2017 Affirmed C (sf)
Cl. H, Affirmed C (sf); previously on Feb 2, 2017 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Feb 2, 2017 Affirmed C (sf)
Cl. K, Affirmed C (sf); previously on Feb 2, 2017 Affirmed C (sf)
Cl. L, Affirmed C (sf); previously on Feb 2, 2017 Affirmed C (sf)
The Class A-2, Class A-2R, Class B, Class C, Class D, Class E,
Class F, Class G, Class H, Class J, Class K , and Class L Notes are
referred to herein as the "Rated Notes".
RATINGS RATIONALE
Moody's has affirmed the Rated Notes because key transaction
metrics are commensurate with the existing ratings. The rating
action is the result of Moody's on-going surveillance of commercial
real estate collateralized debt obligation (CRE CDO and Re-Remic)
transactions.
RFC CDO 2007-1, Ltd. is a currently static cash transaction (the
reinvestment period ended in April 2012) backed by one defaulted
commercial mortgage backed securities (CMBS) issued in 2005. As of
the November 30, 2017 monthly trustee report, the aggregate note
balance of the transaction, including income notes and deferred
interest, has decreased to $458.8 million from $1 billion at
issuance, with the pay-down directed to the senior most classes of
notes, as a result of the combination of principal repayment of
collateral, resolution and sales of defaulted collateral and credit
risk collateral, and the failing of certain par value tests.
Currently, the transaction is under-collateralized by $452.8
million (45.3% of original aggregate note balance, compared to
42.0% at last review) due to implied losses on the collateral.
Moody's does expect significant losses to occur on the only
defaulted asset once realized and has accounted for this in its
analysis.
Moody's has identified the following as key indicators of the
expected loss in CRE CDO transactions: the weighted average rating
factor (WARF), the weighted average life (WAL), the weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
Moody's typically models these as actual parameters for static
deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has updated its assessments for the collateral it does not
rate. The rating agency modeled a bottom-dollar WARF of 10000,
compared to 9805 at last review. The current ratings on the
Moody's-rated reference obligations and the assessments of the
non-Moody's rated reference obligations follow: Caa1-Caa3 and 0.0%
compared to 10.1% at last review; and Ca/C and 100.0% compared to
89.9% at last review.
Moody's modeled a WAL of 1.3 years, compared to 1 2 year at last
review. The WAL is based on extension assumptions about the
remaining underlying collateral and assumptions about extensions of
the remaining underlying CBMS look-through loan collateral.
Moody's modeled a fixed WARR of 0.0%, the same as that at last
review.
As there is only one asset in the outstanding pool, MAC is not
applicable.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating SF CDOs" published in June 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The servicing decisions and
management of the transaction will also affect the performance of
the Rated Notes.
Moody's Parameter Sensitivities: Changes to any one or more of the
key parameters could have rating implications for the Rated Notes,
although a change in one key parameter assumption could be offset
by a change in one or more of the other key parameter assumptions.
The Rated Notes are particularly sensitive to changes in the
recovery rates of the underlying collateral and credit assessments.
However, in light of the performance indicators noted above,
Moody's believes that it is unlikely that the ratings announced are
sensitive to further change.
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment.
Commercial real estate property values continue to improve
modestly, along with a rise in investment activity and
stabilization in core property type performance. Limited new
construction and moderate job growth have aided this improvement.
SALOMON BROTHERS 2001-MM: Moody's Hikes Cl. G-8 Certs Rating to B3
------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
and upgraded the ratings on four classes in Salomon Brothers
Commercial Mortgage Trust 2001-MM, Commercial Mortgage Pass-Through
Certificates, Series 2001-MM:
Cl. F-4, Affirmed Aa1 (sf); previously on Jan 11, 2017 Affirmed Aa1
(sf)
Cl. G-4, Affirmed Aa2 (sf); previously on Jan 11, 2017 Affirmed Aa2
(sf)
Cl. E-8, Upgraded to A2 (sf); previously on Jan 11, 2017 Downgraded
to A3 (sf)
Cl. F-8, Upgraded to Ba3 (sf); previously on Jan 11, 2017
Downgraded to B1 (sf)
Cl. G-8, Upgraded to B3 (sf); previously on Jan 11, 2017 Downgraded
to Caa1 (sf)
Cl. X, Upgraded to Ba2 (sf); previously on Jan 11, 2017 Affirmed
Ba3 (sf)
RATINGS RATIONALE
The ratings on two rake bonds, F-4 and G-4, were affirmed because
the transaction's key metrics, including Moody's loan-to-value
(LTV) ratio and Moody's stressed debt service coverage ratio
(DSCR), are within acceptable ranges.
The ratings on three rake bonds, E-8, F-8, and G-8, were upgraded
due to an increase in credit support resulting from loan paydowns
and amortization. The deal has paid down 15% since Moody's last
review.
The rating on the IO class was upgraded based on the credit quality
of the referenced classes.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017. The methodologies used in rating Cl.
X were "Moody's Approach to Rating Large Loan and Single
Asset/Single Borrower CMBS" published in July 2017 and "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the December 18th, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $19.8 million
from $674.4 million at securitization. The certificates are
collateralized by two mortgage loans.
One loan, constituting 91% 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.
This transaction has several unique features in terms of
certificate structure, loan grouping, payment priority and loss
allocation. The interest-only class (Class X) is the only remaining
senior certificate in the trust. Additionally, there are five
remaining junior certificates that are divided into two series
corresponding to specific loan groups. At securitization, the
aggregate principal balance of each loan group was divided into a
senior portion and a junior portion and the senior portion of each
series supported the pooled classes. As of the December 2017
remittance date, the certificate principal balance of the related
senior portions have been reduced to zero and principal payments
are now applied to the junior certificates on a senior/sequential
basis within each respective loan group. Based on the payment
priority and the certificate structure of this transaction, it is
possible that a junior certificate holder may receive principal
payments before the principal balance of a higher-rated certificate
from a different loan group is reduced to zero. At securitization
there were eight loan groups, however, six groups, corresponding to
Classes E-1, F-1, G-1; E-2, F-2, G-2; E-3, F-3, G-3; E-5, F-5, G-5;
E-6, F-6, G-6; and E-7, F-7 and G-7, have been repaid in full.
Loan Group 4 originally consisted of four loans but due to loan pay
offs only one loan remains as the collateral for classes F-4 and
G-4. The remaining loan in Loan Group 4 is the Peace Corps Building
Loan ($1.8 million -- 8.9% of the pool), which is secured by a
159,000 square foot (SF) office building located in Washington,
D.C. The property was 100% leased as of December 2017, the same as
at last review. The GSA leases over 90% of the net rentable area
(NRA) through May 2018, which is six months prior to the loan
maturity date of November 2018. The loan is fully amortizing and
has amortized approximately 91% since securitization. Moody's LTV
and stressed DSCR are 16.5% and greater than 4.00X, respectively,
compared to 18% and greater than 4.00X at Moody's last review.
Moody's affirmed the ratings of classes F-4 and G-4 due to overall
stable loan performance.
Loan Group 8 originally held four loans but due to loan pay offs
only one loan remains as the collateral for classes E-8, F-8 and
G-8. The remaining loan in Loan Group 8 is the Stamford Square Loan
($18.1 million -- 91.1% of the pool), which is secured by a Class A
office building located in Stamford, Connecticut. The property was
72% leased as of November 2016, compared to 71% leased as of
December 2014. This loan is on the master servicer's watchlist due
to a low DSCR. The loan amortizes on a 25-year schedule and has
amortized approximately 48% since securitization. Moody's LTV and
stressed DSCR are 120% and 0.95X, respectively, compared to 131%
and 0.87X at Moody's last review. Moody's upgraded the ratings of
classes E-8, F-8 and G-8 due to the lower Moody's LTV for the
Stamford Square Loan which supports these bonds.
SEQUOIA MORTGAGE 2018-2: Moody's Gives (P)Ba3 Rating on B-4 Debt
----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
classes of residential mortgage-backed securities (RMBS) issued by
Sequoia Mortgage Trust (SEMT) 2018-2. The certificates are backed
by one pool of prime quality, first-lien mortgage loans, including
165 agency-eligible high balance mortgage loans. The assets of the
trust consist of 717 fully amortizing, fixed rate mortgage loans,
substantially all of which have an original term to maturity of 30
years. The borrowers in the pool have high FICO scores, significant
equity in their properties and liquid cash reserves. CitiMortgage,
Inc. will serve as the master servicer for this transaction. There
are four servicers in this pool: Shellpoint (92.26%), First
Republic (3.78%), Homestreet Bank (2.91%), and PHH (1.05%).
The complete rating actions are:
Issuer: Sequoia Mortgage Trust 2018-2
Cl. A-1, Assigned (P)Aaa (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. A-4, Assigned (P)Aaa (sf)
Cl. A-5, Assigned (P)Aaa (sf)
Cl. A-6, Assigned (P)Aaa (sf)
Cl. A-7, Assigned (P)Aaa (sf)
Cl. A-8, Assigned (P)Aaa (sf)
Cl. A-9, Assigned (P)Aaa (sf)
Cl. A-10, Assigned (P)Aaa (sf)
Cl. A-11, Assigned (P)Aaa (sf)
Cl. A-12, Assigned (P)Aaa (sf)
Cl. A-13, Assigned (P)Aaa (sf)
Cl. A-14, Assigned (P)Aaa (sf)
Cl. A-15, Assigned (P)Aaa (sf)
Cl. A-16, Assigned (P)Aaa (sf)
Cl. A-17, Assigned (P)Aaa (sf)
Cl. A-18, Assigned (P)Aaa (sf)
Cl. A-19, Assigned (P)Aa1 (sf)
Cl. A-20, Assigned (P)Aa1 (sf)
Cl. A-21, Assigned (P)Aa1 (sf)
Cl. A-22, Assigned (P)Aaa (sf)
Cl. A-23, Assigned (P)Aaa (sf)
Cl. A-24, Assigned (P)Aaa (sf)
Cl. B-1, Assigned (P)Aa3 (sf)
Cl. B-2, Assigned (P)A3 (sf)
Cl. B-3, Assigned (P)Baa3 (sf)
Cl. B-4, Assigned (P)Ba3 (sf)
RATINGS RATIONALE
Summary Credit Analysis
Moody's expected cumulative net loss on the aggregate pool is 0.30%
in a base scenario and reaches 3.50% at a stress level consistent
with the Aaa ratings. Moody's loss estimates are based on a
loan-by-loan assessment of the securitized collateral pool using
Moody's Individual Loan Level Analysis (MILAN) model. Loan-level
adjustments to the model included: adjustments to borrower
probability of default for higher and lower borrower DTIs,
borrowers with multiple mortgaged properties, self-employed
borrowers, origination channels and at a pool level, for the
default risk of HOA properties in super lien states. The adjustment
to Moody's Aaa stress loss above the model output also includes
adjustments related to aggregator and originators assessments. The
model combines loan-level characteristics with economic drivers to
determine the probability of default for each loan, and hence for
the portfolio as a whole. Severity is also calculated on a
loan-level basis. The pool loss level is then adjusted for
borrower, zip code, and MSA level concentrations.
Collateral Description
The SEMT 2018-2 transaction is a securitization of 717 first lien
residential mortgage loans, with an aggregate unpaid principal
balance of $ 462,013,883. There are 158 originators in this pool,
including United Shore Financial Services (14.87%). None of the
originators other than United Shore contributed 10% or more of the
principal balance of the loans in the pool. The loan-level third
party due diligence review (TPR) encompassed credit underwriting,
property value and regulatory compliance. In addition, Redwood has
agreed to backstop the rep and warranty repurchase obligation of
all originators other than First Republic Bank.
The loans were all aggregated by Redwood Residential Acquisition
Corporation (Redwood). Moody's consider Redwood, the sponsor and
mortgage loan seller, as a stronger aggregator of prime jumbo loans
compared to its peers. As of December 2017 remittance report, there
have been no losses on Redwood-aggregated transactions that Moody's
have rated to date, and delinquencies to date have also been very
low.
Borrowers of the mortgage loans backing this transaction have
strong credit profile demonstrated by strong credit scores, high
down payment percentages and significant liquid reserves. Similar
to SEMT transactions Moody's rated recently, SEMT 2018-2 has a
weighted average FICO at 772 and a percentage of loan purpose for
home purchase at 60.0%, better than SEMT transactions issued
earlier last year, where weighted average original FICOs were
slightly below 770 and purchase money percentages were ranging from
40% to 60%.
Structural considerations
Similar to recent rated Sequoia transactions, in this transaction,
Redwood is adding a feature prohibiting the servicer, or securities
administrator, from advancing principal and interest to loans that
are 120 days or more delinquent. These loans on which principal and
interest advances are not made are called the Stop Advance Mortgage
Loans ("SAML"). The balance of the SAML will be removed from the
principal and interest distribution amounts calculations. Moody's
view the SAML concept as something that strengthens the integrity
of senior and subordination relationships in the structure. Yet, in
certain scenarios the SAML concept, as implemented in this
transaction, can lead to a reduction in interest payment to certain
tranches even when more subordinated tranches are outstanding. The
senior/subordination relationship between tranches is strengthened
as the removal of SAML in the calculation of the senior percentage
amount, directs more principal to the senior bonds and less to the
subordinate bonds. Further, this feature limits the amount of
servicer advances that could increase the loss severity on the
liquidated loans and preserves the subordination amount for the
most senior bonds. On the other hand, this feature can cause a
reduction in the interest distribution amount paid to the bonds;
and if that were to happen such a reduction in interest payment is
unlikely to be recovered. The final ratings on the bonds, which are
expected loss ratings, take into consideration Moody's expected
losses on the collateral and the potential reduction in interest
distributions to the bonds. Furthermore, the likelihood that in
particular the subordinate tranches could potentially permanently
lose some interest as a result of this feature was considered.
We believe there is a low likelihood that the rated securities of
SEMT 2018-2 will incur any losses from extraordinary expenses or
indemnification payments owing to potential future lawsuits against
key deal parties. First, the loans are prime quality and were
originated under a regulatory environment that requires tighter
controls for originations than pre-crisis, which reduces the
likelihood that the loans have defects that could form the basis of
a lawsuit. Second, Redwood, who initially retains the subordinate
classes and provides a back-stop to the representations and
warranties of all the originators except for FRB, has a strong
alignment of interest with investors, and is incentivized to
actively manage the pool to optimize performance. Third, historical
performance of loans aggregated by Redwood has been very strong to
date. Fourth, the transaction has reasonably well defined processes
in place to identify loans with defects on an ongoing basis. In
this transaction, an independent breach reviewer must review loans
for breaches of representations and warranties when a loan becomes
120 days delinquent, which reduces the likelihood that parties will
be sued for inaction.
Tail Risk & Subordination Floor
The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to increased performance
volatility, known as tail risk. The transaction provides for a
subordination floor of 1.00% of the closing pool balance, which
mitigates tail risk by protecting the senior bonds from eroding
credit enhancement over time.
Third-party Review and Reps & Warranties
One TPR firm conducted a due diligence review of 100% of the
mortgage loans in the pool. For 677 loans, the TPR firm conducted a
review for credit, property valuation, compliance and data
integrity ("full review") and limited review for 717 First Republic
loans. For the 40 loans, Redwood Trust elected to conduct a limited
review, which did not include a TPR firm check for TRID
compliance.
Generally, for the full review loans, the sponsor or the originator
corrected all material errors identified by following defined
methods of error resolution under the TRID rule or TILA 130(b) as
per the proposed SFIG TRID framework. The sponsor or the originator
provided the borrower with a corrected Closing Disclosure and
letter of explanation as well as a refund where necessary. All
technical errors on the Loan Estimate were subsequently corrected
on the Closing Disclosure. Moody's believe that the TRID
noncompliance risk to the trust is immaterial due to the good-faith
efforts to correct the identified conditions.
There are seven loans with a final event grade of "C" due to issues
with compliance with the TRID rule. The conditions cited by Clayton
included the minimum and/or maximum payment amounts were
inconsistent on the closing disclosure and either or both of the
"In 5 Years" total payment or total principal amounts were
under-disclosed. Moody's believe that such conditions are not
material and thus, Moody's did not make any adjustments for these
loans.
No TRID compliance reviews were performed on the limited review
loans. Therefore, there is a possibility that some of these loans
could have unresolved TRID issues. Moody's reviewed the initial
compliance findings of loans from the same originator where a full
review was conducted and there were no material compliance
findings. As a result, Moody's did not increase Moody's Aaa loss.
After a review of the TPR appraisal findings, Moody's found the
exceptions to be minor in nature and did not pose a material
increase in the risk of loan loss. Moody's note that there are 6
escrow holdback loans, including 5 loans where the initial escrow
holdback amount is greater than 10%. In the event the escrow funds
greater than 10% have not been disbursed within six months of the
closing date, the seller shall repurchase the affected escrow
holdback mortgage loan, on or before the date that is six months
after the closing date at the applicable repurchase price. Given
that the small number of such loans and that the seller has the
obligation to repurchase, Moody's did not make an adjustment for
these loans.
Each of the originators makes the loan-level R&Ws for the loans it
originated, except for loans acquired by Redwood from the FHLB
Chicago. The mortgage loans purchased by Redwood from the FHLB
Chicago were originated by various participating financial
institution originators. For these mortgage loans, FHLB Chicago
will provide the loan-level R&Ws that are assigned to the trust.
In line with other SEMT transactions, the loan-level R&Ws for SEMT
2018-2 are strong and, in general, either meet or exceed the
baseline set of credit-neutral R&Ws Moody's identified for US
RMBS.
Among other things, the R&Ws address property valuation,
underwriting, fraud, data accuracy, regulatory compliance, the
presence of title and hazard insurance, the absence of material
property damage, and the enforceability of the mortgage.
The R&W providers vary in financial strength, which include some
financially weaker originators. To mitigate this risk, Redwood will
backstop any R&W providers who may become financially incapable of
repurchasing mortgage loans, except for First Republic Bank, which
is one of the strongest originators. Moreover, a third-party due
diligence firm conducted a detailed review on the loans of all of
the originators, which mitigates the risk of unrated and
financially weaker originators.
Trustee & Master Servicer
The transaction trustee is Wilmington Trust, National Association.
The paying agent and cash management functions will be performed by
Citibank, N.A. and the custodian functions will be performed by
Wells Fargo Bank, N.A., rather than the trustee. In addition,
CitiMortgage Inc., as master servicer, is responsible for servicer
oversight, and termination of servicers and for the appointment of
successor servicers. In addition, CitiMortgage is committed to act
as successor if no other successor servicer can be found.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
Methodology
The principal methodology used in these ratings was "Moody's
Approach to Rating US Prime RMBS" published in February 2015.
Significant weight was put on judgment taking into account the
results of the modeling tools as well as the aggregate impact of
the third-party review and the quality of the servicers and
originators.
SHACKLETON 2013-III: S&P Assigns Prelim. B- Rating on Cl. F-R Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
X-R, A-R, B-R, C-R, D-R, E-R, and F-R replacement notes from
Shackleton 2013-III CLO Ltd., a collateralized loan obligation
(CLO) originally issued in 2013 that is managed by Alcentra NY LLC.
The replacement notes will be issued via a proposed supplemental
indenture.
The preliminary ratings reflect S&P's opinion that the credit
support available is commensurate with the associated rating
levels.
The preliminary ratings are based on information as of Jan. 5,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Jan. 16, 2018, refinancing date, the proceeds from the
issuance of the replacement notes are expected to redeem the
original notes. S&P said, "At that time, we anticipate withdrawing
the ratings on the original notes and assigning ratings to the
replacement notes. However, if the refinancing doesn't occur, we
may affirm the ratings on the original notes and withdraw our
preliminary ratings on the replacement notes."
The replacement notes are being issued via a proposed supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, will also:
-- The replacement class X-R, A-R, B-R, C-R, D-R, E-R, and F-R
notes are expected to be issued at a lower spread than the original
notes.
-- The stated maturity will be extended 5.25 years.
-- The original transaction exited its reinvestment period in
April 2017. The reinvestment period ending in July 2022 will be
reinstated as part of the refinancing.
-- The non-call period ending in January 2020 will also be
reinstated.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take further rating actions
as we deem necessary."
PRELIMINARY RATINGS ASSIGNED
Shackleton 2013-III CLO Ltd./Shackleton 2013-III CLO LLC
Replacement class Rating Amount (mil. $)
X-R AAA (sf) 5.00
A-R AAA (sf) 303.00
B-R AA (sf) 70.00
C-R A (sf) 39.00
D-R BBB (sf) 27.00
E-R BB- (sf) 21.00
F-R B- (sf) 10.00
Subordinated notes NR 71.25
NR--Not rated.
SLM STUDENT 2005-10: Fitch Affirms 'Bsf' Ratings on 2 Tranches
--------------------------------------------------------------
Fitch Ratings has affirmed the following classes of SLM Student
Loan Trust 2005-10:
-- Class A-5 at 'Bsf'; Outlook Stable;
-- Class B at 'Bsf'; Outlook Stable.
The trust, at 9.05% pool factor, is past its clean-up call
eligibility of 10%. Fitch has observed that Navient has
historically let transactions continue to pay down rather than call
them immediately upon eligibility, and has received no indication
otherwise for SLM 2005-10.
Based on current speed of paydown, Fitch's base case expectation is
that the class A-5 and B notes will miss their legal final maturity
dates in 2021 and 2026, respectively. In affirming at 'Bsf', Fitch
has considered qualitative factors such as Navient's historical
commitment to the performance of its securitizations, their option
to call the bonds and the revolving credit agreement in place for
the benefit of noteholders.
The trust has entered into a revolving credit agreement with
Navient by which it may borrow funds at maturity in order to pay
off the notes. Because Navient has the option but not the
obligation to lend to the trust, Fitch cannot give full
quantitative credit to the agreement. However, the agreement does
provide qualitative comfort that Navient is committed to limiting
investors' exposure to maturity risk.
KEY RATING DRIVERS
U.S. Sovereign Risk: The trust collateral comprises 100% Federal
Family Education Loan Program (FFELP) loans, with guaranties
provided by eligible guarantors and reinsurance provided by the
U.S. Department of Education (ED) for at least 97% of principal and
accrued interest. The U.S. sovereign rating is currently 'AAA'/
Stable.
Collateral Performance: Fitch assumes a default rate of 22.5% and a
67.5% default rate under the 'AAA' credit stress scenario. Fitch
assumes a sustainable constant default rate of 4.5%, and a constant
prepayment rate of 11% is used as the sustainable rate in cash flow
modelling. Fitch applies the standard default timing curve in its
credit stress cash flow analysis. The claim reject rate is assumed
to be 0.5% in the base case and 3.0% in the 'AAA' case. The TTM
levels of deferment, forbearance, and income-based repayment (prior
to adjustment) are 10.3%, 15.9%, and 17.9%, respectively, and are
used as the starting point in cash flow modelling. Subsequent
declines or increases are modelled as per criteria. The borrower
benefit is assumed to be approximately 0.01%, based on information
provided by the sponsor.
Basis and Interest Rate Risk: Basis risk for this transaction
arises from any rate and reset frequency mismatch between interest
rate indices for SAP and the securities. Fitch applies its standard
basis and interest rate stresses to this transaction as per
criteria.
Payment Structure: Credit enhancement (CE) is provided by excess
spread, overcollateralization, and for the class A notes,
subordination. As of September 2017, total and senior effective
parity ratio (including the reserve) are 102.05% and 153.99%
(35.06% CE), respectively. Liquidity support is provided by a
reserve sized at 0.25% of the pool balance, currently equal to the
floor of $3,002,803.
Maturity Risk: Fitch's SLABS cash flow model indicates that the
class A-5 and B notes do not pay off before their legal final
maturity dates under the commensurate rating scenario.
Operational Capabilities: Day-to-day servicing is provided by
Navient Solutions, LLC. (formerly known as Sallie Mae, Inc.). Fitch
believes Navient to be an acceptable servicer, due to its extensive
track record as the largest servicer of FFELP loans.
RATING SENSITIVITIES
'AAAsf' rated tranches of most FFELP securitizations will likely
move in tandem with the U.S. sovereign rating, given the strong
linkage to the U.S. sovereign by nature of the reinsurance and SAP
provided by ED. Sovereign risks are not addressed in Fitch's
sensitivity analysis.
Fitch conducted a CE sensitivity analysis by stressing both the
related lifetime default rate and basis spread assumptions. In
addition, Fitch conducted a maturity sensitivity analysis by
running different assumptions for the IBR usage and prepayment
rate. The results below should only be considered as one potential
model implied outcome as the transaction is exposed to multiple
risk factors that are all dynamic variables.
Credit Stress Rating Sensitivity
-- Default increase 25%: class A 'CCCsf'; class B 'CCCsf';
-- Default increase 50%: class A 'CCCsf'; class B 'CCCsf';
-- Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf';
-- Basis Spread increase 0.5%: class A 'CCCsf'; class B 'CCCsf'.
Maturity Stress Rating Sensitivity
-- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf';
-- CPR increase 100%: class A 'BBBsf'; class B 'BBsf';
-- IBR Usage decrease 50%: class A 'CCCsf'; class B 'CCCsf';
-- IBR Usage increase 100%: class A 'CCCsf'; class B 'CCCsf'.
SLM STUDENT 2008-4: Moody's Hikes Class B Debt Rating to Ba1(sf)
----------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class of
notes in one student loan securitization sponsored and administered
by Navient Solutions, LLC. The securitization is backed by student
loans originated under the Federal Family Education Loan Program
(FFELP) that are guaranteed by the US government for a minimum of
97% of defaulted principal and accrued interest.
The complete rating action is as follow:
Issuer: SLM Student Loan Trust 2008-4
Cl. B, Upgraded to Ba1 (sf); previously on Nov 1, 2016 Downgraded
to Ba2 (sf)
RATINGS RATIONALE
The action is prompted by Navient's extension of the legal final
maturity date of the affected note. Navient amended deal documents
to extend the legal final maturity dates by 44 years. The extension
of the legal maturity date mitigates the risk arising from low
payment rates on the underlying securitized pool of student loans.
While extension of legal maturity reduces the risk of technical
default at maturity, it does not eliminate the risk of insufficient
collateral cash flows to pay off the bond in full.
Moody's derives the expected loss of the tranche by running its
standard 28 cash flow scenarios and using the weights associated
with each scenario. The upgrade is primarily a result of Moody's
analysis indicating that the expected loss of the tranch across
Moody's cash flow scenarios is consistent with the expected loss
benchmarks in Moody's idealized loss tables for the rating assigned
in action.
The principal methodology used in this rating was "Moody's Approach
to Rating Securities Backed by FFELP Student Loans" published in
August 2016.
Factors that would lead to an upgrade or downgrade of the rating:
Up
Moody's could upgrade the rating if the paydown speed of the loan
pool increases as a result of declining borrower usage of
deferment, forbearance and IBR, increasing voluntary prepayment
rates, or prepayments with proceeds from sponsor repurchases of
student loan collateral. Moody's could also upgrade the rating
owing to a build-up in credit enhancement.
Down
Moody's could downgrade the rating if the paydown speed of the loan
pool declines as a result of lower than voluntary prepayments, and
higher than expected deferment, forbearance and IBR rates, which
would threaten full repayment of the class by its final maturity
date. In addition, because the US Department of Education
guarantees at least 97% of principal and accrued interest on
defaulted loans, Moody's could downgrade the rating of the note if
it were to downgrade the rating on the United States government.
REGULATORY DISCLOSURES
In rating this transaction, Moody's used a cash flow model to model
cash flow stress scenarios to determine the extent to which
investors would receive timely payments of interest and principal
in the stress scenarios, given the transaction structure and
collateral composition.
Moody's quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take
into account the likelihood of severe collateral losses or impaired
cash flows. Moody's weights the impact on the rated instruments
based on its assumptions of the likelihood of the events in such
scenarios occurring.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain regulatory disclosures in
relation to each rating of a subsequently issued bond or note of
the same series or category/class of debt or pursuant to a program
for which the ratings are derived exclusively from existing ratings
in accordance with Moody's rating practices. For ratings issued on
a support provider, this announcement provides certain regulatory
disclosures in relation to the credit rating action on the support
provider and in relation to each particular credit rating action
for securities that derive their credit ratings from the support
provider's credit rating. For provisional ratings, this
announcement provides certain regulatory disclosures in relation to
the provisional rating assigned, and in relation to a definitive
rating that may be assigned subsequent to the final issuance of the
debt, in each case where the transaction structure and terms have
not changed prior to the assignment of the definitive rating in a
manner that would have affected the rating.
For any affected securities or rated entities receiving direct
credit support from the primary entity(ies) of this credit rating
action, and whose ratings may change as a result of this credit
rating action, the associated regulatory disclosures will be those
of the guarantor entity. Exceptions to this approach exist for the
following disclosures, if applicable to jurisdiction: Ancillary
Services, Disclosure to rated entity, Disclosure from rated entity.
STRIPS III 2003-1: Moody's Affirms C Rating on Class N Notes
------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on the following
notes issued by STRIPs III Ltd./STRIPs III Corp. Master Trust,
Series 2003-1:
Cl. M, Affirmed Caa3 (sf); previously on Mar 23, 2017 Affirmed Caa3
(sf)
Cl. N, Affirmed C (sf); previously on Mar 23, 2017 Affirmed C (sf)
The Class M and Class N notes are referred to herein as the "Rated
Notes".
RATINGS RATIONALE
Moody's has affirmed the ratings on the transaction because the key
transaction metrics are commensurate with the existing rating. The
underlying CMBS transactions support the cash flows to the
respective interest only (IO) certificates, which in turn support
the STRIPs 2003-1 Rated Notes. The underlying IO certificates are
nearing their respective maturities based on outstanding expected
weighted average life. That, combined with the small number of
outstanding supporting IO certificates, may lead to cash flow
volatility through maturity. However, these risks are captured in
Moody's analysis. The affirmation is the result of Moody's on-going
surveillance of commercial real estate collateralized debt
obligation (CRE CDO and ReRemic) transactions.
STRIPs 2003-1 is a pooled re-securitization transaction backed by a
portfolio of three weighted average coupon (WAC) IO certificates
from three CMBS transactions issued from 1999 to 2002. As of the
November 24, 2017 trustee report, the aggregate note balance of the
transaction has decreased to $5.1 million from $465.2 million at
issuance, with the cash flow from the IO certificates directed to
pay interest and principal per the transaction documents.
Within the resecuritization pool, the identified weighted average
life is 2.2 years assuming a 0%/0% constant default and prepayment
rate (CDR/CPR).
Updates to key parameters, including the constant default rate
(CDR), the constant prepayment rate (CPR), the weighted average
life (WAL), and the weighted average recovery rate (WARR), did not
materially change the expected loss estimate of the resecuritized
classes.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating Resecuritizations" published in February 2014.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes are subject to uncertainty,
because it is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that are subject to change. The servicing decisions of the master
and special servicer and surveillance by the operating advisor with
respect to the collateral interests and oversight of the
transaction will also affect the performance of the Rated Notes.
Moody's Parameter Sensitivities: Changes to any one or more of the
key parameters could have rating implications for the Rated Notes,
although in many instances, a change in assumptions of any one key
parameter may be offset by a change in one or more of the other key
parameters. Cash flows to the underlying IO certificates are
particularly sensitive to changes in recovery rate assumptions for
the underlying CMBS transactions.
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment.
Commercial real estate property values continue to improve
modestly, along with a rise in investment activity and
stabilization in core property type performance. Limited new
construction and moderate job growth have aided this improvement.
TOWD POINT 2015-3: Moody's Assigns Ba2(sf) Rating to Cl. B2 Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to 17 notes issued
by Towd Point Mortgage Trust ("TPMT") 2015-3, a transaction backed
by re-performing mortgage loans.
The notes are backed by one pool of seasoned, re-performing
residential mortgage loans. As of October 2017, the collateral pool
is comprised of 3,260 first lien, fixed-rate and adjustable rate
mortgage loans, with aggregate pool balance of $547,643,585. 100%
of the loans in the collateral pool have been previously modified.
Select Portfolio Servicing, Inc. is the servicer for the loans in
the pool. FirstKey Mortgage, LLC is the asset manager for the
transaction.
The complete rating actions are:
Issuer: Towd Point Mortgage Trust 2015-3
Cl. A1, Assigned Aaa (sf)
Cl. A2, Assigned Aaa (sf)
Cl. M1, Assigned Aa1 (sf)
Cl. M2, Assigned A2 (sf)
Cl. B1, Assigned Baa2 (sf)
Cl. B2, Assigned Ba2 (sf)
Cl. A1A, Assigned Aaa (sf)
Cl. A1B, Assigned Aaa (sf)
Cl. A1C, Assigned Aaa (sf)
Cl. A3, Assigned Aaa (sf)
Cl. A3A, Assigned Aaa (sf)
Cl. A3B, Assigned Aaa (sf)
Cl. A3C, Assigned Aaa (sf)
Cl. A4, Assigned Aa1 (sf)
Cl. A4A, Assigned Aa1 (sf)
Cl. A4B, Assigned Aa1 (sf)
Cl. A4C, Assigned Aa1 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
The rating actions are based on lowered loss expectation on the
underlying pool and an increase in credit enhancement available to
the bonds since the transaction's issuance in 2015. Moody's loss
expectations is 8.35% on the outstanding balance of the pool. The
current loss expectation takes into account the observed
performance of the underlying loans, the historical performance of
the loans that have similar collateral characteristics as the loans
in the pool, Moody's assessment of the weak representations and
warranties framework for the transaction, the due diligence
findings of the third party review at issuance for the outstanding
loans in the pool, and the overall servicing framework of the
transaction which includes FirstKey Mortgage, LLC, as the asset
manager, as well as the strength of Select Portfolio Servicing,
Inc. ("SPS") as the transaction's servicer.
Collateral Description
TPMT 2015-3's collateral pool is comprised of seasoned,
re-performing mortgage loans. 100% of the loans in the collateral
pool have been previously modified. The majority of the loans
underlying this transaction exhibit collateral characteristics
similar to that of seasoned Alt-A mortgages.
Moody's loss expectations are 8.35% on the outstanding balance of
the pool. Moody's estimated losses on the pool by applying Moody's
assumptions on expected future delinquencies, default rates, loss
severities and prepayments. Moody's projected future annual
delinquencies for eight years by applying an initial annual default
rate assumption adjusted for future years through delinquency
burnout factors. The delinquency burnout factors reflect Moody's
future expectations of the economy and the U.S. housing market.
Based on the loan characteristics of the pool and the performance
histories, Moody's applied an expected annual delinquency rate of
7.0% for the pool for year one. Moody's then calculated future
delinquencies using default burnout and voluntary conditional
prepayment rate (CPR) assumptions. Moody's aggregated the
delinquencies and converted them to losses by applying pool
specific lifetime default frequency and loss severity assumptions.
Moody's CPR and loss severity assumptions are based on actual
observed performance of modified loans, underlying loans of TPMT
2015-3 and other rated TPMT deals. In applying Moody's loss
severity assumptions, Moody's accounted for the lack of principal
and interest advancing in this transaction.
Moody's used an expected annual delinquency rate of 7.0% to
calculate the delinquencies on the pool for year one based on the
collateral characteristics of the loans. As of October 2017, loans
that are sixty or more days delinquent account for 1.2% of the
outstanding pool, cumulative losses are 0.2% of the original
balance, and the twelve month average prepayment rate was 13.7%.
As of October 2017, the non-PRA deferred balance in this
transaction is $1,206,027.80, representing approximately 0.2% of
the total unpaid principal balance. Based on performance data and
information from servicers, Moody's applied a slightly higher
default rate for these loans than what Moody's assumed for the
overall pool given that borrowers with deferred balance have worse
collateral profile compared to the overall pool. Also, Moody's
assumed approximately 95% severity as servicer can recover a
portion of the deferred balance.
Transaction Structure
The capital structure of the transaction is pure sequential in
which a given class of notes can only receive principal payment
when all the classes of notes above it have been paid off. Using a
similar principle, losses will be applied in the reverse order. The
rated notes carry a fixed-rate coupon subject to the collateral
adjusted net WAC (and applicable available funds cap), except for
Class B1, B2, B3 and B4 the coupon rates of which equal to adjusted
net WAC and subject to applicable available funds cap. Any excess
spread (the excess of net interest received on the collateral over
interest payable on the notes) available in the transaction is
available to pay Net WAC Shortfalls to the fixed rate notes. Cash
cannot be diverted to pay principal on the junior tranches without
completely repaying the principal on the senior notes. The triggers
usually present in mortgage-backed transactions are not
incorporated in this transaction, also the servicer will not
advance any principal or interest on delinquent loans.
Moody's coded TPMT 2015-3's cashflows using SFW®, a cashflow tool
developed by Moody's Analytics. To assess the final rating on the
notes, Moody's ran 96 different loss and prepayment scenarios
through SFW. The scenarios encompass six loss levels, four loss
timing curves, and four prepayment curves. The structure allows for
timely payment of interest and ultimate payment of principal with
respect to the notes by the legal final maturity.
Transaction Parties
The transaction benefits from a strong servicing arrangement.
Select Portfolio Servicing, Inc. services 100% of TPMT 2015-3's
collateral pool. Moody's assess SPS higher compared to its peers.
Furthermore, FirstKey Mortgage, LLC, the asset manager, oversees
the servicer, which strengthens the overall servicing framework in
the transaction. Wells Fargo Bank NA and U.S. Bank National
Association are the Custodians of the transaction. The Delaware
Trustee for TPMT 2015-3 is Christiana Trust. TPMT 2015-3's
Indenture Trustee is U.S. Bank National Association.
Representations & Warranties
Our ratings reflect the weak representations and warranties (R&Ws)
framework on the transaction. The obligation of the representation
provider, Cerberus Global Residential Mortgage Opportunity Fund,
L.P. expired in August 2016. While the transaction provides for a
Breach Reserve Account to cover for any breaches of R&Ws, the size
of the account is small relative to the aggregate size of the pool
with the ending balance of $1,760,625.68 in October 2017. The R&Ws
themselves are weak because they contain many knowledge qualifiers
and the regulatory compliance R&W does not cover monetary damages
that arise from TILA violations whose right of rescission has
expired.
Methodology
The methodologies used in these ratings were "Moody's Approach to
Rating Securitisations Backed by Non-Performing and Re-Performing
Loans" published in August 2016 and "US RMBS Surveillance
Methodology" published in January 2017.
In addition, Moody's publishes a weekly summary of structured
finance credit ratings and methodologies, available to all
registered users of Moody's website, www.moodys.com/SFQuickCheck
Significant weight was put on judgment taking into account the
results of the modeling tools as well as the aggregate impact of
the third-party review and the quality of the servicers and
originators.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
TRALEE CLO IV: S&P Assigns Prelim. B- Rating on Class F Notes
-------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Tralee CLO
IV Ltd.'s $376 million floating-rate notes.
The note issuance is a CLO transaction 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 Jan. 9,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
Tralee CLO IV Ltd./Tralee CLO IV LLC
Class Rating Amount
(mil. $)
A AAA (sf) 256.00
B AA (sf) 49.50
C (deferrable) A (sf) 25.50
D (deferrable) BBB- (sf) 20.00
E (deferrable) BB- (sf) 17.00
F (deferrable) B- (sf) 8.00
Subordinated notes NR 33.20
VITALITY RE IX: S&P Assigns Prelim BB+ Rating on Class B Notes
--------------------------------------------------------------
S&P Global Ratings said it has assigned preliminary ratings of
'BBB+(sf)' and 'BB+(sf)' to the Class A and B Notes, respectively,
to be issued by Vitality Re IX Ltd.
The notes will cover claims payments of Health Re Inc. -- and
ultimately, Aetna Life Insurance Co. (ALIC) -- related to the
covered insurance business to the extent the Medical Benefits Ratio
(MBR) exceeds 100% for the Class A Notes and 94% for the Class B
Notes. The MBR will be calculated on an annual aggregate basis.
The preliminary ratings are based on the lowest of the following:
the MBR risk factor on the ceded risk ('bbb+' for the Class A Notes
and 'bb+' for the Class B Notes), the rating on ALIC (the
underlying ceding insurer), and the rating on the permitted
investments ('AAAm') that will be held in the collateral account
(there is a separate collateral account for each class of notes) at
closing.
According to the risk analysis provided by Milliman, the primary
driver of historical financial fluctuations has been the volatility
in per-capita claim cost trends and lags in insurers' reactions to
these trend changes in their premium rate-increase actions. Other
volatility factors include changes in expenses and target profit
margins. Although these factors cause the majority of claims
volatility, the extreme tail risk is affected by severe pandemic.
This is the third Vitality Re issuance that permits the probability
of attachment, for the Class A Notes only, to be reset higher or
lower than at issuance. For each reset of the Class A Notes, if any
Class B Notes are outstanding on the applicable reset calculation
date, the updated MBR attachment of the Class A Notes will be set
so it is equal to the updated MBR exhaustion for the Class B
Notes.
RATINGS LIST
New Ratings
Vitality Re IX Ltd.
Class A notes BBB+(sf) (Prelim.)
Class B notes BB+(sf) (Prelim.)
WACHOVIA BANK 2007-C30: Fitch Affirms 'Bsf' Rating on Cl. A-J Certs
-------------------------------------------------------------------
Fitch Ratings has affirmed 10 classes of Wachovia Bank Commercial
Mortgage Trust's commercial mortgage pass-through certificates,
series 2007-C30.
KEY RATING DRIVERS
Pool and Loan Concentration/Adverse Selection: Although credit
enhancement has improved since Fitch's last rating action from loan
payoffs, dispositions and amortization, the affirmations reflect
the concentration and adverse selection of the remaining pool as
75% of the pool is in special servicing. The pool is highly
concentrated with only 40 of the original 275 loans remaining.
Since Fitch's last rating action, the pool has paid down by an
additional $1.75 billion (62% of the outstanding pool balance at
the last rating action) with slightly better recoveries than
previously expected. As of the December 2017 distribution date, the
pool's aggregate principal balance has been reduced by 86% to $1.07
billion from $7.92 billion at issuance. The largest ten loans in
the transaction represent 62% of the pool balance. Additionally,
office properties comprise 53% of the pool with many located in
secondary and tertiary locations.
Concentration of Specially Serviced Loans/Assets: There are 33
specially serviced loans/assets representing 75% of the pool,
including 28 REO and Foreclosure assets (62.4%). The largest
contributor to expected losses is the specially-serviced Four
Seasons Aviara Resort - Carlsbad, CA loan (17.5% of the pool),
which is secured by a resort hotel with 329 rooms and an Arnold
Palmer designed 18-hole golf course. The property is now known as
the Park Hyatt Aviara. The loan transferred to the special servicer
in April 2013 for a second time due to monetary default after
originally being modified and returned to the master servicer in
May 2011. The loan modification included a maturity extension from
February 2012 to February 2017, additional reserves, and a
reduction in interest rate to 2% for the first year, 2.75% for the
second year, 4.5% for the third year, and a coupon rate of 5.94%
thereafter. The servicer reported net operating income (NOI) debt
service coverage ratio (DSCR) as of YE 2016 of 0.43x. The reported
occupancy, ADR, and RevPAR as of November 2017 was 71%, $260 and
$185 respectively compared to the comp set of 69%, $313, and $217.
A Deed in Lieu was recorded 6/1/2017 and Special Servicer continues
to evaluate capital investment needs.
Undercollateralization: The pool is undercollateralized as the
aggregate balance of the certificates is $42.4 million greater than
the aggregate collateral balance. This disparity of principal
balances is due to the servicer recovering workout-delayed
reimbursement amounts from the transaction's principal
collections.
Hurricane and Wildfire Exposure: Two loans (5%) have exposure to
Hurricane Irma and there was no reported damage per the significant
insurance event report provided by the master servicer. No loans in
the pool have exposure to Hurricane Harvey or to the California
wildfires.
RATING SENSITIVITIES
The Stable Outlook on classes B reflects sufficient credit
enhancement from continued delevering of the transaction through
amortization, loan payoffs and dispositions. Upgrades are not
likely due to the concentrated nature of the pool and the high
percentage of specially serviced assets. Downgrades are possible
with increased certainty of losses on the specially serviced assets
or if performing loans that have previously been modified fail to
refinance at maturity. The distressed classes may be subject to
further downgrades as additional losses are realized.
Fitch has affirmed the following ratings:
-- $364.4 million class A-J at 'Bsf'; Outlook Stable;
-- $49.4 million class B at 'CCCsf'; RE 100%;
-- $79 million class C at 'CCCsf'; RE 30%;
-- $69.2 million class D at 'CCsf'; RE 0%;
-- $59.3 million class E at 'Csf'; RE 0%;
-- $69.2 million class F at 'Csf'; RE 0%;
-- $98.8 million class G at 'Csf'; RE 0%;
-- $79 million class H at 'Csf'; RE 0%;
-- $88.9 million class J at 'Csf'; RE 0%
-- $79 million class K at 'Csf'; RE 0%.
The class A-1, A-2, A-3, A-4, A-5, A-1A, A-M, A-MFL, and A-PB
certificates have paid in full. Fitch does not rate the class L, M,
N, O, P, Q and S certificates. Fitch previously withdrew the
ratings on the interest-only class X-P, X-C and X-W certificates.
WELLS FARGO 2012-LC5: Moody's Lowers Class E Certs Rating to B1
---------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on eight classes
and downgraded the ratings on two classes in Wells Fargo Commercial
Mortgage Trust 2012-LC5, Commercial Mortgage Pass-Through
Certificates, Series 2012-LC5 as follows:
Cl. A-3, Affirmed Aaa (sf); previously on Jul 14, 2017 Affirmed Aaa
(sf)
Cl. A-S, Affirmed Aaa (sf); previously on Jul 14, 2017 Affirmed Aaa
(sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Jul 14, 2017 Affirmed
Aaa (sf)
Cl. B, Affirmed Aa3 (sf); previously on Jul 14, 2017 Affirmed Aa3
(sf)
Cl. C, Affirmed A3 (sf); previously on Jul 14, 2017 Affirmed A3
(sf)
Cl. D, Affirmed Baa3 (sf); previously on Jul 14, 2017 Affirmed Baa3
(sf)
Cl. E, Downgraded to B1 (sf); previously on Jul 14, 2017 Affirmed
Ba2 (sf)
Cl. F, Downgraded to Caa1 (sf); previously on Jul 14, 2017 Affirmed
B2 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on Jul 14, 2017 Affirmed Aaa
(sf)
Cl. X-B, Affirmed A2 (sf); previously on Jul 14, 2017 Affirmed A2
(sf)
RATINGS RATIONALE
The ratings on six P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on two P&I classes, Classes E and F, were downgraded
due to anticipated losses from specially serviced and troubled
loans.
The ratings on the IO classes, Classes X-A and X-B, were affirmed
based on the credit quality of the referenced classes.
Moody's rating action reflects a base expected loss of 9.1% of the
current pooled balance, compared to 4.0% at Moody's last review.
Moody's base expected loss plus realized losses is now 7.4% of the
original pooled balance, compared to 3.3% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Approach to
Rating US and Canadian Conduit/Fusion CMBS" published in July 2017.
The methodologies used in rating Cl. X-A and Cl. X-B were "Approach
to Rating US and Canadian Conduit/Fusion CMBS" published in July
2017 and "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" published in June 2017.
DEAL PERFORMANCE
As of the December 15, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 19% to $1.03 billion
from $1.27 billion at securitization. The certificates are
collateralized by 66 mortgage loans ranging in size from less than
1% to 13.7% of the pool, with the top ten loans (excluding
defeasance) constituting 53% of the pool. One loan, constituting
9.7% of the pool, has an investment-grade structured credit
assessments. Three loans, constituting 1.9% 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 21, compared to 22 at Moody's last review.
Ten loans, constituting 12.9% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
There are no loans that have been liquidated from the pool. Two
loans, constituting 14.9% of the pool, are currently in special
servicing. The largest specially serviced loan is the Westside
Pavilion Loan ($141.3 million -- 13.7% of the pool), which is
secured by the borrower's interest in a 755,500 square foot (SF)
regional mall (collateral is 535,500 SF) located in Los Angeles,
California. The property is situated approximately 10 miles west of
downtown Los Angeles. The current mall anchors include Macy's
(non-owned) and Macy's Home Store. Macy's has announced plans to
close both stores at the property by early next year. Additionally,
the mall lost its second largest anchor Nordstrom when it relocated
to the new Century City mall. The loan was transferred to Special
Servicing in September 2017 for imminent default. As of June 2017
the collateral portion was 87% occupied; with the departure of
Nordstrom and Macy's Homestore the property occupancy will decline
35.4% to 51.6% by early next year. As per the Special Servicer, a
pre-negotiation letter has been sent to the Borrower for review.
The second specially serviced loan is the Belle Foods Portfolio
Loan ($12.7 million -- 1.2% of the pool), which was originally
secured by nine neighborhood retail/grocery properties leased to
Belle Foods. Belle Foods filed for Chapter 11 bankruptcy in July
2013, thereafter in July 2014 the nine properties were released and
replaced with two free standing Gander Mountain properties located
in Lubbock and College Station, Texas. In early 2017, Gander
Mountain filed for Chapter 11 bankruptcy and vacated both
properties. The current collateral is 100% vacant. Moody's has
assumed a high loss to the loan.
Moody's has also assumed a high default probability for two poorly
performing loans, constituting 2.5% of the pool, and has estimated
an aggregate loss of $3.9 million (a 15% expected loss based on a
50% probability default) from these troubled loans.
Moody's received full year 2016 operating results for 98.7% of the
pool, and full or partial year 2017 operating results for 97.5% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 89.9%, compared to 89.7% 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 13.8% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.73%.
Moody's actual and stressed conduit DSCRs are 1.67X and 1.24X,
respectively, compared to 1.68X and 1.24X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The loan with a structured credit assessment is the Trump Tower
Commercial Condominium Loan ($100 million -- 9.7% of the pool),
which is secured by the commercial condominium component of the
Trump Tower located at 725 5th Avenue in New York City. The
collateral is a Class A, multi-tenant office and retail building
containing approximately 244,500 square feet (SF) and consists of
the lower level, ground floor and floors 2 - 26. The retail
represents approximately 24% of the collateral and is located on
the Garden Level (Lower Level), and 2nd through 4th floors. The
office space comprises the remaining 76% of the collateral and is
located on the 5th and 14th through 26th floors. Due to the public
atrium there are no 6th through 13th floors within the building.
The largest tenant in the retail space is Gucci (20% of the net
rentable area (NRA); lease expiration February 2026) which operates
its American flagship store. The remaining floors 29-68 comprise
the residential component and are not contributed as loan
collateral. The loan is interest only for the full 10-year term. As
per the October 2017 rent roll the property was 82% leased,
compared to 94% as of March 2017. Moody's structured credit
assessment and stressed DSCR are aa1 (sca.pd) and 1.44,
respectively.
The top three conduit loans represent 7.3% of the pool balance. The
largest loan is the 100 Church Street Loan ($75.6 million -- 7.3%
of the pool), which represents a parri-passu portion of a $217.6
million mortgage loan. The loan is secured by a 21-story, 1.1
million square foot (SF), Class B+ office building located in the
City Hall office submarket of Lower Manhattan. The property was
originally built in 1958 and renovated in 2012. As of September
2017 the property was 99% leased, compared to 98% as of December
2016. Moody's LTV and stressed DSCR are 92% and 1.06X,
respectively, compared to 93% and 1.05X at the last review.
The second largest loan is the Cole Retail 12 Portfolio Loan ($42.4
million -- 4.1% of the pool), which is secured by a
cross-collateralized and cross-defaulted portfolio of 12
single-tenant properties located across 10 states. Eight of the 12
properties represent anchored retail, six of which are occupied by
Walgreens pharmacies, two of which are occupied by CVS pharmacies.
Three of the remaining four properties represent unanchored retail.
The three non-anchor tenants in occupancy include Office Depot, LA
Fitness, and La-Z-Boy Furniture. The twelfth property consists of a
FedEx distribution center. The Portfolio was 100% occupied as of
September 2017. Moody's LTV and stressed DSCR are 113.6% and 1.0X,
respectively, compared to 96.4% and 1.18X at the last review.
The third largest loan is the Somerset Shoppes Loan ($38.5 million
-- 3.7% of the pool), which is secured by a 186,335 square foot
(SF) retail center located on Glades Road in Boca Raton, Florida.
The property is anchored by a TJ Maxx, Michaels, and Saks Fifth
Ave. As of September 2017 the property was 98% leased, compared to
100% leased as of December 2016. Moody's LTV and stressed DSCR are
104.6% and 0.98X, respectively, compared to 102% and 1.01X at the
last review.
WESTLAKE AUTO 2018-1: S&P Gives Prelim. B Rating on Class F Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Westlake
Automobile Receivables Trust 2018-1's $750.00 million automobile
receivables-backed notes series 2018-1.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The preliminary ratings are based on information as of Jan. 10,
2018. 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 availability of approximately 48.6%, 42.1%, 32.8%, 25.1%,
21.1%, and 17.4% credit support for the class A, B, C, D, E, and F
notes, respectively, based on stress cash flow scenarios (including
excess spread). These provide approximately 3.50x, 3.00x, 2.30x,
1.75x, 1.50x, and 1.10x, respectively, of S&P's 13.00%-13.50%
expected cumulative net loss range.
-- The transaction's ability to make timely interest and principal
payments under stressed cash flow modeling scenarios appropriate
for the assigned preliminary ratings.
-- S&P said, "Our expectation that under a moderate ('BBB') stress
scenario, all else being equal, for the transaction's life our
ratings on the class A and B notes would not be lowered from the
assigned preliminary ratings, our rating on the class C notes would
remain within one rating category of the assigned preliminary
rating, and our rating on the class D notes would remain within two
rating categories of the assigned preliminary rating. Our ratings
on the class E and F notes would remain within two rating
categories of the assigned preliminary rating over one year, but
would ultimately default at months 61 and 24, respectively, which
is within the bounds of our credit stability criteria."
-- The collateral characteristics of the securitized pool of
subprime automobile loans.
-- The originator/servicer's long history in the
subprime/specialty auto finance business.
-- S&P's analysis of approximately 10 years (2006-2016) of static
pool data on the company's lending programs.
-- The transaction's payment, credit enhancement, and legal
structures.
PRELIMINARY RATINGS ASSIGNED
Westlake Automobile Receivables Trust 2018-1
Class Rating Type Interest Amount
rate(i) (mil. $)
A-1 A-1+ (sf) Senior Fixed 161.00
A-2-A/A-2-B AAA (sf) Senior Fixed/floating(ii) 283.57
B AA (sf) Subordinate Fixed 66.50
C A (sf) Subordinate Fixed 84.28
D BBB (sf) Subordinate Fixed 78.87
E BB (sf) Subordinate Fixed 33.25
F B (sf) Subordinate Fixed 42.53
(i)The interest rate for each class will be determined on the
pricing date.
(ii)The sizes of class A-2-A and A-2-B will be determined at
pricing, and class A-2-B will be a maximum of 50% of the overall
class. The class A-2-B coupon will be expressed as a spread tied to
one-month LIBOR.
WFRBS COMMERCIAL 2014-LC14: DBRS Confirms B Rating on Class F Debt
------------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2014-LC14
issued by WFRBS Commercial Mortgage Trust 2014-LC14:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3FL at AAA (sf)
-- Class A-3FX at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class PEX at A (low) (sf)
-- Class X-B at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (sf)
-- Class X-C at B (high) (sf)
-- Class F at B (sf)
All trends are Stable. DBRS does not rate the first loss piece,
Class G.
The rating confirmations reflect the overall stable performance of
the transaction, which has experienced a collateral reduction of
5.2% as of the October 2017 remittance. At issuance, the
transaction consisted of 71 loans secured by 144 commercial and
multifamily properties. As of the October 2017 remittance, 70 loans
remain in the pool with an aggregate outstanding balance of $1.2
billion. Based on the YE2016 financials, the pool reported a
weighted-average (WA) debt service coverage ratio (DSCR) of 1.80
times (x) and a WA debt yield of 11.6%. Comparatively, the YE2015
WA DSCR and WA debt yield were 1.74x and 11.1%, respectively. The
pool is concentrated with loans secured by retail properties, which
represent 18.5% of the current pool balance. Three of the retail
loans, representing 11.5% of the current pool balance, are in the
Top 15 and are reporting a WA YE2016 DSCR of 2.54x.
As of the October 2017 remittance, there are two loans in special
servicing, representing 1.6% of the current pool balance, and ten
loans on the servicer's watchlist, representing 15.2% of the
current pool balance. The largest loan in special servicing is
Prospectus ID #33, Westridge Apartments (0.90% of the pool). That
loan transferred to special servicing in June 2016 and is secured
by a multifamily property in Williston, North Dakota, an area
significantly affected by the negative trends in the oil and gas
industries over the past several years. Based on the most recent
appraisal, DBRS estimates the loss severity for this loan could
approach or even exceed 80% at resolution. For more information on
the specially serviced and watchlisted loans, please see the
related DBRS commentary on the DBRS Viewpoint platform.
At issuance, DBRS shadow rated two loans investment grade:
Prospectus ID #3, The Outlet Collection – Jersey Gardens, and
Prospectus ID #4, Westin New York at Times Square – Lease Fee.
DBRS has been informed by the servicer that as of November 2017, a
defeasance was in process for the Westin New York at Times Square
– Lease Fee loan. DBRS confirms with this review that the
performance of both loans, which collectively represent 11.3% of
the current pool balance, remains consistent with investment-grade
loan characteristics. DBRS will continue to monitor for
developments surrounding the defeasance.
Classes X-A, X-B, X-C 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.
[*] DBRS Reviews 370 Classes From 19 US RMBS Transactions
---------------------------------------------------------
DBRS, Inc. reviewed 370 classes from 19 U.S. residential
mortgage-backed security (RMBS) transactions. Of the 370 classes
reviewed, 205 ratings were upgraded, 163 ratings were confirmed and
two ratings were discontinued.
The rating upgrades reflect positive performance trends and that
these classes have experienced increases in credit support
sufficient to withstand stresses at their new rating levels. The
rating confirmations reflect current asset performance and that
credit support levels have been consistent with the current
rating.
The rating actions are a result of DBRS's application of its "RMBS
Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and
Rating Methodology," published on April 4, 2017.
The transactions consist of U.S. RMBS transactions. The pools
backing these transactions consist of reperforming and prime
collateral.
The ratings assigned to the following securities differ from the
ratings implied by the quantitative model. DBRS considers this
difference to be a material deviation, but in this case the ratings
of the subject notes reflect the structural features and historical
performance that constrain the quantitative model output.
-- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-
Backed Notes, Series 2016-SPL1, Class B2
-- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-
Backed Notes, Series 2016-SPL1, Class B2-IO
-- Bayview Opportunity Master Fund IVb Trust 2016-SPL2, Mortgage-
Backed Securities, Series 2016-SPL2, Class B2
-- Bayview Opportunity Master Fund IVb Trust 2016-SPL2, Mortgage-
Backed Securities, Series 2016-SPL2, Class B2-IO
-- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2016-
1, Asset Backed Securities, Series 2016-1, Class M-1
-- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2016-
1, Asset Backed Securities, Series 2016-1, Class M-2
-- Mill City Mortgage Loan Trust 2016-1, Mortgage Backed
Securities, Series 2016-1, Class M2
-- Mill City Mortgage Loan Trust 2016-1, Mortgage Backed
Securities, Series 2016-1, Class M3
-- Mill City Mortgage Loan Trust 2016-1, Mortgage Backed
Securities, Series 2016-1, Class B1
-- Mill City Mortgage Loan Trust 2016-1, Mortgage Backed
Securities, Series 2016-1, Class B2
-- SoFi Mortgage Trust Series 2016-1, Mortgage Pass-Through
Certificates, Series 2016-1, Class B2
-- SoFi Mortgage Trust Series 2016-1, Mortgage Pass-Through
Certificates, Series 2016-1, Class B3
-- SoFi Mortgage Trust Series 2016-1, Mortgage Pass-Through
Certificates, Series 2016-1, Class B4
-- SoFi Mortgage Trust Series 2016-1, Mortgage Pass-Through
Certificates, Series 2016-1, Class B5
-- Towd Point Mortgage Trust 2015-2, Asset Backed Notes, Series
2015-2, Class 1-B1
-- Towd Point Mortgage Trust 2015-2, Asset Backed Notes, Series
2015-2, Class 1-B2
-- Towd Point Mortgage Trust 2015-2, Asset Backed Notes, Series
2015-2, Class 1-M2
-- Towd Point Mortgage Trust 2015-3, Asset Backed Notes, Series
2015-3, Class M2
-- Towd Point Mortgage Trust 2015-3, Asset Backed Notes, Series
2015-3, Class B1
-- Towd Point Mortgage Trust 2015-3, Asset Backed Notes, Series
2015-3, Class B2
-- Towd Point Mortgage Trust 2015-4, Asset Backed Notes, Series
2015-4, Class M2
-- Towd Point Mortgage Trust 2015-4, Asset Backed Notes, Series
2015-4, Class B1
-- Towd Point Mortgage Trust 2015-4, Asset Backed Notes, Series
2015-4, Class B2
-- Towd Point Mortgage Trust 2015-4, Asset Backed Notes, Series
2015-4, Class M2A
-- Towd Point Mortgage Trust 2015-4, Asset Backed Notes, Series
2015-4, Class M2X
-- Towd Point Mortgage Trust 2015-5, Asset Backed Notes, Series
2015-5, Class M2
-- Towd Point Mortgage Trust 2015-5, Asset Backed Notes, Series
2015-5, Class B1
-- Towd Point Mortgage Trust 2015-5, Asset Backed Notes, Series
2015-5, Class B2
-- Towd Point Mortgage Trust 2015-6, Asset Backed Notes, Series
2015-6, Class M2
-- Towd Point Mortgage Trust 2015-6, Asset Backed Notes, Series
2015-6, Class M2A
-- Towd Point Mortgage Trust 2015-6, Asset Backed Notes, Series
2015-6, Class M2X
-- Towd Point Mortgage Trust 2016-1, Asset Backed Notes, Series
2016-1, Class M1
-- Towd Point Mortgage Trust 2016-1, Asset Backed Notes, Series
2016-1, Class M2
-- Towd Point Mortgage Trust 2016-1, Asset Backed Notes, Series
2016-1, Class B1
-- Towd Point Mortgage Trust 2016-1, Asset Backed Notes, Series
2016-1, Class B2
-- Towd Point Mortgage Trust 2016-1, Asset Backed Notes, Series
2016-1, Class A4
-- Towd Point Mortgage Trust 2016-1, Asset Backed Notes, Series
2016-1, Class A4A
-- Towd Point Mortgage Trust 2016-1, Asset Backed Notes, Series
2016-1, Class A4B
-- Towd Point Mortgage Trust 2016-1, Asset Backed Notes, Series
2016-1, Class A4C
-- Towd Point Mortgage Trust 2016-1, Asset Backed Notes, Series
2016-1, Class X7
-- Towd Point Mortgage Trust 2016-1, Asset Backed Notes, Series
2016-1, Class X8
-- Towd Point Mortgage Trust 2016-1, Asset Backed Notes, Series
2016-1, Class X9
-- Towd Point Mortgage Trust 2016-1, Asset Backed Notes, Series
2016-1, Class A5
-- Towd Point Mortgage Trust 2016-2, Asset Backed Securities,
Series 2016-2, Class M1
-- Towd Point Mortgage Trust 2016-2, Asset Backed Securities,
Series 2016-2, Class M2
-- Towd Point Mortgage Trust 2016-2, Asset Backed Securities,
Series 2016-2, Class B1
-- Towd Point Mortgage Trust 2016-2, Asset Backed Securities,
Series 2016-2, Class B2
-- Towd Point Mortgage Trust 2016-2, Asset Backed Securities,
Series 2016-2, Class A4
-- Towd Point Mortgage Trust 2016-2, Asset Backed Securities,
Series 2016-2, Class A4A
-- Towd Point Mortgage Trust 2016-2, Asset Backed Securities,
Series 2016-2, Class A4B
-- Towd Point Mortgage Trust 2016-2, Asset Backed Securities,
Series 2016-2, Class A4C
-- Towd Point Mortgage Trust 2016-2, Asset Backed Securities,
Series 2016-2, Class X7
-- Towd Point Mortgage Trust 2016-2, Asset Backed Securities,
Series 2016-2, Class X8
-- Towd Point Mortgage Trust 2016-2, Asset Backed Securities,
Series 2016-2, Class X9
-- Towd Point Mortgage Trust 2016-2, Asset Backed Securities,
Series 2016-2, Class A5
-- Towd Point Mortgage Trust 2016-3, Asset Backed Securities,
Series 2016-3, Class M1
-- Towd Point Mortgage Trust 2016-3, Asset Backed Securities,
Series 2016-3, Class M2
-- Towd Point Mortgage Trust 2016-3, Asset Backed Securities,
Series 2016-3, Class M1A
-- Towd Point Mortgage Trust 2016-3, Asset Backed Securities,
Series 2016-3, Class M1B
-- Towd Point Mortgage Trust 2016-3, Asset Backed Securities,
Series 2016-3, Class X3
-- Towd Point Mortgage Trust 2016-3, Asset Backed Securities,
Series 2016-3, Class X4
-- Towd Point Mortgage Trust 2016-3, Asset Backed Securities,
Series 2016-3, Class M2A
-- Towd Point Mortgage Trust 2016-3, Asset Backed Securities,
Series 2016-3, Class M2B
-- Towd Point Mortgage Trust 2016-3, Asset Backed Securities,
Series 2016-3, Class X5
-- Towd Point Mortgage Trust 2016-3, Asset Backed Securities,
Series 2016-3, Class X6
-- Towd Point Mortgage Trust 2016-3, Asset Backed Securities,
Series 2016-3, Class B1
-- Towd Point Mortgage Trust 2016-3, Asset Backed Securities,
Series 2016-3, Class B2
-- Towd Point Mortgage Trust 2016-4, Asset Backed Securities,
Series 2016-4, Class M1
-- Towd Point Mortgage Trust 2016-4, Asset Backed Securities,
Series 2016-4, Class M2
-- Towd Point Mortgage Trust 2016-4, Asset Backed Securities,
Series 2016-4, Class B1
-- Towd Point Mortgage Trust 2016-4, Asset Backed Securities,
Series 2016-4, Class B2
-- Towd Point Mortgage Trust 2016-4, Asset Backed Securities,
Series 2016-4, Class B3
-- Towd Point Mortgage Trust 2016-5, Asset Backed Securities,
Series 2016-5, Class M1
-- Towd Point Mortgage Trust 2016-5, Asset Backed Securities,
Series 2016-5, Class M2
-- Towd Point Mortgage Trust 2016-5, Asset Backed Securities,
Series 2016-5, Class B1
-- Towd Point Mortgage Trust 2016-5, Asset Backed Securities,
Series 2016-5, Class B2
Notes:
The principal methodologies are U.S. RMBS Surveillance Methodology
and RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities
Model and Rating Methodology, which can be found on www.dbrs.com
under Methodologies.
The rated entity or its related entities did participate initially
in the rating process. DBRS had access to the accounts and other
relevant internal documents of the rated entity or its rated
entities.
The Affected Ratings is available at http://bit.ly/2CWpqqC
[*] Moody's Hikes Ratings on $31.5MM of US RMBS Issued 2001-2004
----------------------------------------------------------------
Moody's Investors Service has upgraded ratings of 13 tranches from
two US residential mortgage backed transactions (RMBS), backed by
Alt-A and Scratch & Dent mortgage loans, issued by multiple
issuers.
Complete rating actions are:
Issuer: Morgan Stanley Mortgage Loan Trust 2004-9
Cl. 1-A, Upgraded to Baa3 (sf); previously on Jan 12, 2017 Upgraded
to Ba2 (sf)
Cl. 2-A, Upgraded to Baa3 (sf); previously on Jan 12, 2017 Upgraded
to Ba2 (sf)
Cl. 3-A-P, Upgraded to Baa3 (sf); previously on Jan 12, 2017
Upgraded to B1 (sf)
Cl. 3-A-4, Upgraded to Baa1 (sf); previously on Jan 12, 2017
Upgraded to Baa2 (sf)
Cl. 3-A-5, Upgraded to Baa1 (sf); previously on Jan 12, 2017
Upgraded to Baa2 (sf)
Cl. 3-A-2, Upgraded to Ba2 (sf); previously on Jan 12, 2017
Upgraded to B3 (sf)
Cl. 3-A-1, Upgraded to Baa3 (sf); previously on Jan 12, 2017
Upgraded to Ba2 (sf)
Cl. 3-A-6, Upgraded to Baa3 (sf); previously on Jan 12, 2017
Upgraded to Ba3 (sf)
Cl. 3-A-3, Upgraded to Baa1 (sf); previously on Jan 12, 2017
Upgraded to Baa2 (sf)
Cl. 5-A, Upgraded to Baa3 (sf); previously on Jan 12, 2017 Upgraded
to Ba3 (sf)
Cl. 5-A-P, Upgraded to Baa3 (sf); previously on Jan 12, 2017
Upgraded to B1 (sf)
Issuer: Salomon Brothers Mortgage Trust 2001-2
Cl. M-2, Upgraded to Aa2 (sf); previously on Jan 31, 2002 Assigned
A2 (sf)
Cl. M-3, Upgraded to Baa3 (sf); previously on Jun 28, 2013 Upgraded
to Ba2 (sf)
RATINGS RATIONALE
The rating actions reflect the recent performance of the underlying
pools and Moody's updated loss expectations on those pools. The
rating upgrades are primarily due to improvement of credit
enhancement available to the bonds and pay-down of senior bonds.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017. The
methodologies used in rating Morgan Stanley Mortgage Loan Trust
2004-9 Cl. 3-A-5 was "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:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.1% in November 2017 from 4.6% in
November 2016. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2018 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 2018. Lower increases than
Moody's expects or decreases could lead to negative rating actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] Moody's Takes Action on $863MM of First Franklin Subprime RMBS
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 26 tranches
and downgraded the rating of one tranche from 14 First Franklin
RMBS subprime transactions.
Complete rating actions are:
Issuer: First Franklin Mortgage Loan Trust 2005-FF1
Cl. M-2, Upgraded to Caa1 (sf); previously on Jul 18, 2016 Upgraded
to Ca (sf)
Issuer: First Franklin Mortgage Loan Trust 2005-FF3
Cl. M5, Upgraded to A1 (sf); previously on Aug 18, 2016 Upgraded to
Baa1 (sf)
Cl. M6, Upgraded to B2 (sf); previously on Aug 18, 2016 Upgraded to
Caa2 (sf)
Issuer: First Franklin Mortgage Loan Trust 2005-FF4
Cl. M-4, Upgraded to B1 (sf); previously on Aug 28, 2015 Upgraded
to Caa1 (sf)
Issuer: First Franklin Mortgage Loan Trust 2005-FF8
Cl. M-3, Upgraded to Ca (sf); previously on Mar 19, 2009 Downgraded
to C (sf)
Issuer: First Franklin Mortgage Loan Trust 2005-FFH1
Cl. M-1, Upgraded to Aaa (sf); previously on Aug 18, 2016 Upgraded
to A1 (sf)
Cl. M-2, Upgraded to B1 (sf); previously on Sep 4, 2015 Upgraded to
B3 (sf)
Issuer: First Franklin Mortgage Loan Trust 2005-FFH3
Cl. M-4, Upgraded to Caa1 (sf); previously on Jul 2, 2015 Upgraded
to Ca (sf)
Issuer: First Franklin Mortgage Loan Trust 2005-FFH4
Cl. M-2, Upgraded to Caa2 (sf); previously on Feb 5, 2014 Upgraded
to Ca (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF1
Cl. I-A, Upgraded to Aaa (sf); previously on Jun 29, 2016 Upgraded
to Aa2 (sf)
Cl. II-A-4, Upgraded to Aaa (sf); previously on Jun 29, 2016
Upgraded to A2 (sf)
Cl. M-2, Upgraded to Caa3 (sf); previously on Apr 6, 2010
Downgraded to C (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF11
Cl. I-A-1, Upgraded to Ba3 (sf); previously on Jul 18, 2016
Upgraded to B2 (sf)
Cl. II-A-3, Downgraded to Ca (sf); previously on Apr 6, 2010
Downgraded to Caa3 (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF4
Cl. A-2, Upgraded to A3 (sf); previously on May 5, 2017 Upgraded to
Ba1 (sf)
Cl. A-3, Upgraded to Baa3 (sf); previously on May 5, 2017 Upgraded
to Ba2 (sf)
Cl. M-1, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded
to C (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF5
Cl. I-A, Upgraded to A1 (sf); previously on May 18, 2017 Upgraded
to Baa1 (sf)
Cl. II-A-3, Upgraded to Ba1 (sf); previously on May 18, 2017
Upgraded to B1 (sf)
Cl. II-A-4, Upgraded to B1 (sf); previously on May 18, 2017
Upgraded to B2 (sf)
Cl. II-A-5, Upgraded to Ba1 (sf); previously on May 18, 2017
Upgraded to Ba2 (sf)
Cl. M-1, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded
to C (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF6
Cl. A-3, Upgraded to Baa1 (sf); previously on Sep 2, 2015 Upgraded
to B1 (sf)
Cl. A-4, Upgraded to B1 (sf); previously on Sep 2, 2015 Upgraded to
B3 (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FFH1
Cl. M-2, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded
to C (sf)
Issuer: First Franklin Mortgage Loan Trust Series 2005-FF6
Cl. M-2, Upgraded to Aaa (sf); previously on Jul 5, 2017 Upgraded
to Aa2 (sf)
Cl. M-3, Upgraded to Baa1 (sf); previously on Jul 5, 2017 Upgraded
to Baa2 (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pools
and Moody's updated loss expectations on the pools. The upgrades
are primarily due to the total credit enhancement to the tranches.
The upgrade on First Franklin Mortgage Loan Trust 2006-FF6 Cl. A3
also reflects the fact that the tranche is receiving all principal
proceeds and is expected to pay off in the near term. The downgrade
of First Franklin Mortgage Loan Trust 2006-FF11 Cl. II-A-3 is
primarily due to the poor performance of the underlying
collateral.
Certain rating actions also reflect corrections to the cash-flow
models previously used by Moody's in rating those transactions. In
prior rating actions, the cash flow modeling used for First
Franklin Mortgage Loan Trust 2005-FFH4, First Franklin Mortgage
Loan Trust 2005-FFH1, First Franklin Mortgage Loan Trust 2005-FF3,
and First Franklin Mortgage Loan Trust 2005-FF1 did not provide
full excess spread benefit, as the models did not reimburse
tranches for past losses once they had a zero balance. For First
Franklin Mortgage Loan Trust 2006-FF5 Class II-A-3, the principal
priority was previously modeled to the prospectus supplement,
rather than the principal priority noted in the pooling and
servicing agreement of the transaction. These errors have now been
corrected, and rating actions reflects these changes.
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 December 2017 from 4.7% in
December 2016. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2018 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 2018. 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.
[*] S&P Discontinues Ratings on 23 Classes From Six CDO Deals
-------------------------------------------------------------
S&P Global Ratings discontinued its ratings on one class from one
cash flow (CF) collateral debt obligation (CDO) backed by
commercial mortgage-backed securities (CMBS) and 22 classes from
five CF collateralized loan obligation (CLO) transactions.
The discontinuances follow the complete paydown of the notes as
reflected in the most recent trustee-issued note payment reports
for each transaction:
-- California Street CLO II Ltd. (CF CLO): senior-most tranches
paid down, other rated tranches still outstanding.
-- Cent CDO 14 Ltd. (CF CLO): optional redemption in December
2017.
-- Finn Square CLO Ltd. (CF CLO): optional redemption in December
2017.
-- ICG US CLO 2014-1 Ltd. (CF CLO): optional redemption in
November 2017.
-- Lime Street CLO Ltd. (CF CLO): senior-most tranche paid down;
other rated tranches still outstanding.
-- RAIT Preferred Funding II, Ltd. (CF CDO of CMBS): senior-most
tranche paid down; other rated tranches still outstanding.
RATINGS DISCONTINUED
California Street CLO II Ltd.
Rating
Class To From
A-1 NR AAA (sf)
A-2b NR AAA (sf)
Cent CDO 14 Ltd.
Rating
Class To From
A-1 NR AAA (sf)
A-2a NR AAA (sf)
A-2b NR AAA (sf)
B NR AA+ (sf)
C NR A+ (sf)
D NR BBB+ (sf)
E NR BB+ (sf)
Finn Square CLO Ltd.
Rating
Class To From
A-1-R NR AAA (sf)
A-2-R NR AAA (sf)
B-1-R NR AA+ (sf)
B-2-R NR AA+ (sf)
C NR A (sf)
D NR BB (sf)
ICG US CLO 2014-1 Ltd.
Rating
Class To From
A-1 NR AAA (sf)
A-2 NR AA (sf)
B NR A (sf)
C NR BBB (sf)
D NR BB (sf)
E NR B (sf)
Lime Street CLO Ltd.
Rating
Class To From
A NR AAA (sf)
RAIT Preferred Funding II Ltd.
Rating
Class To From
B NR CCC+ (sf)
NR--Not rated.
[*] S&P Takes Various Actions on 49 Classes From 12 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings reviewed 49 ratings from 12 U.S. residential
mortgage-backed securities (RMBS) transactions issued between 2003
and 2006. All of these transactions are backed by subprime
collateral. The review yielded 14 upgrades, 33 affirmations, and
two discontinuances.
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by our projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations include:
-- Collateral performance/delinquency trends;
-- Historical missed interest payments;
-- Priority of principal payments; 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.
A vast majority of the classes with ratings raised by three or more
notches have the benefit of failing cumulative loss triggers. Since
these transactions' cumulative loss triggers are failing (in
effect), the most senior payment priority classes are receiving all
scheduled and unscheduled principal allocations. This resulted in
locking out principal to subordinate classes and building credit
support for these classes. Ultimately, S&P believes these classes
have credit support that is sufficient to withstand losses at
higher rating levels.
A list of Affected Ratings can be viewed at:
http://bit.ly/2m9RiAh
[*] S&P Takes Various Actions on 85 Classes From 14 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 85 classes from 14 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2003 and 2005. All of these transactions are backed by
mixed collateral. The review yielded 42 upgrades, three downgrades,
28 affirmations, and 12 discontinuances.
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by our projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations include:
-- Collateral performance/delinquency trends;
-- Historical missed interest payments;
-- Priority of principal payments;
-- Available subordination and/or overcollateralization.
Rating Actions
S&P said, "The affirmations of ratings reflect our opinion that our
projected credit support and collateral performance on these
classes has remained relatively consistent with our prior
projections.
"We raised our ratings by five or more notches on 17 ratings from
six transactions. Of these, 14 were due to increased credit support
and the classes' ability to withstand a higher level of projected
losses than previously anticipated, and three were due to improved
collateral performance during the most recent performance periods
compared with previous review dates."
A list of Affected Ratings can be reached through:
http://bit.ly/2zXWoEy
*********
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