/raid1/www/Hosts/bankrupt/TCR_Public/180204.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, February 4, 2018, Vol. 22, No. 34
Headlines
AASET TRUST 2018-1: Fitch Assigns BBsf Rating on Class C Notes
ANCHORAGE CAPITAL 3-R: S&P Gives Prelim BB-(sf) Rating on E Notes
ANCHORAGE CAPITAL 4-R: S&P Assigns BB-(sf) Rating on Cl. E Notes
ATLAS FUND X: S&P Assigns Prelim. B-(sf) Rating on Class F Notes
BANK OF AMERICA 2017-BNK3: Fitch Affirms Bsf Rating on Cl. F Certs
BENEFIT STREET VIII: S&P Gives Prelim BB-(sf) Rating on D-R Notes
BUCKEYE TOBACCO 2007: S&P Affirms B- Ratings on Eight Classes
CARLYLE US 2017-5: S&P Assigns BB- Rating on Class D Notes
CBA COMMERCIAL 2007-1: Moody's Affirms Caa3 Rating on Cl. A Certs
COMMERCIAL MORTGAGE 2007-GG11: S&P Ups Class D Certs Rating to B+
CRESTLINE DENALI XVI: Moody's Assigns (P)Ba3 Rating to Cl. E Notes
CSAIL TRUST 2016-C5: Fitch Affirms B- Rating on Class X-F Certs
CSFB COMMERCIAL 2006-C5: Moody's Affirms C Ratings on 4 Tranches
ELEVATION CLO 2017-8: Moody's Assigns B3 Rating to Class F Notes
FREEPORT-MCMORAN INC: Moody's Hikes CFR to Ba2; Outlook Stable
HPS LOAN 4-2014: S&P Assigns B-(sf) Rating on Class E-R Notes
JP MORGAN 2013-C10: Fitch Affirms B Rating on Class F Notes
KMART FUNDING: Moody's Affirms Ca Rating on Class G Notes
MARATHON CLO XI: Moody's Assigns (P)Ba3 Rating to Class D Notes
MARYLAND TRUST 2006-1: Moody's Lowers Ser. A Certs. Rating to B3
MASTR ALTERNATIVE 2003-2: Moody's Lowers Cl. B-3 Debt Rating to C
MERRILL LYNCH 2002-CAN8: Moody's Affirms Ba3 Ratings on 2 Tranches
MORGAN STANLEY 2004-IQ8: Fitch Hikes Class H Certs Rating to Bsf
MORGAN STANLEY 2004-TOP15: Moody's Hikes Class H Debt Rating to B2
MORGAN STANLEY 2005-TOP19: Fitch Affirms CCC Rating on Cl. K Certs
MOUNTAIN VIEW X: S&P Affirms B-(sf) Rating on Class F Notes
NATIXIS COMMERCIAL 2018-285M: S&P Gives B- Rating on Class F Certs
NEW RESIDENTIAL 2018-1: S&P Assigns B Ratings on 10 Tranches
OZLM LTD XXI: Moody's Assigns Ba3(sf) Rating to Class D Notes
RR LTD 3: S&P Assigns BB-(sf) Rating on Class D-R2 Notes
SEQUOIA MORTGAGE 2018-2: Moody's Assigns Ba3 Rating to B-4 Certs
SLM STUDENT 2003-1: Fitch Lowers Class B Debt Rating to 'BBsf'
SOUND POINT II: S&P Assigns B-(sf) Rating on Class B3-R Notes
STACR 2018-DNA1: Fitch Assigns 'Bsf' Ratings on 12 Tranches
TESLA AUTO 2018-A: Moody's Assigns (P)Ba3 Rating to Class E Notes
TICP CLO IX: Moody's Assigns Ba3 Rating to Class E Notes
TOBACCO SETTLEMENT FA: S&P Ups 2007A Bonds Rating to 'B-(sf)'
TRALEE CLO IV: S&P Assigns B-(sf) Rating on Class F Notes
TROPIC CDO IV: Fitch Affirms BB Rating on Class A-3L Notes
UBS COMMERCIAL 2012-C1: Fitch Affirms B Rating on Class F Certs
VITALITY RE IX: S&P Assigns BB+(sf) Rating on Class B Notes
WELLS FARGO 2018-BXI: Fitch Assigns B-sf Rating to Class HRR Certs
WFRBS COMMERCIAL 2014-C25: DBRS Confirms B Rating on Cl. F Debt
WFRBS COMMERCIAL 2014-LC14: Fitch Affirms B Rating on Cl. F Notes
[*] Fitch Takes Actions on 15 SF CDOs on 2001-2005 Vintages
[*] Moody's Takes Action on $14.6MM of RMBS Issued Prior to 2003
[*] Moody's Takes Action on $23.8M of Prime Jumbo Issued 2003-2006
[*] Moody's Takes Action on $894MM of Subprime RMBS
*********
AASET TRUST 2018-1: Fitch Assigns BBsf Rating on Class C Notes
--------------------------------------------------------------
Fitch Ratings assigns the following ratings and Outlooks to the
asset-backed notes issued from AASET 2018-1 Trust:
-- $351,689,000 class A 'Asf'; Outlook Stable;
-- $58,615,000 class B 'BBBsf'; Outlook Stable;
-- $31,972,000 class C 'BBsf'; Outlook Stable.
The notes issued from AASET 2018-1 are backed by lease payments and
disposition proceeds on a pool of 24 mid- to end-of-life aircraft.
Apollo Aviation Management Limited (AAML), a wholly owned
subsidiary of Apollo Aviation Holdings Limited, will be the
servicer. Note proceeds will finance the purchase of the aircraft
from certain funds (SASOF funds) managed by affiliates of Apollo.
AASET 2018-1 is the second AASET transaction rated by Fitch and
will be the fifth aircraft ABS transaction to be sponsored and
serviced by Apollo since 2014. Fitch does not rate Apollo or AAML.
SASOF III, the primary seller of the assets to AASET 2018-1, will
retain a position as a beneficial holder of an E certificate,
consistent with similar investments made by funds managed by
affiliates of Apollo in prior AASET transactions. Therefore, Apollo
will have a vested interest in performance of the transaction
outside of merely collecting servicing fees, aided by the
European-style waterfall in SASOF III. Fitch views this positively,
since Apollo has a significant interest in generating positive cash
flows through management of the assets over the life of the
transaction.
The aircraft in the pool will be transferred from SASOF III to the
aircraft owning entity (AOE) issuers during a delivery period
ending 270 days after closing of the transaction. However, there
are certain aircraft in the pool that are currently not owned by
SASOF III or its affiliates and may be acquired by the AOE issuers
from the third-party sellers after close. If aircraft in the pool
(or replacement aircraft) are not transferred to the AOE issuers
within 270 days of closing, the applicable amount attributable to
each aircraft not transferred will be used to prepay the notes
without premium, consistent with prior ASSET and other aircraft ABS
transactions.
Wells Fargo Bank, N.A. will act as trustee and operating bank and
Phoenix American Financial Services, Inc. will act as managing
agent.
KEY RATING DRIVERS
Stable Asset Quality: Despite the weighted average (WA) age of 14.1
years, the pool largely comprises high-quality A320 and B737 family
current-generation aircraft. However, the pool features an increase
in less marketable widebody aircraft relative to AASET 2017-1. The
WA remaining lease term is 4.1 years, and 51.9% of the pool is on
lease till at least 2022, a positive for future cash flow
generation.
Weak Lessee Credit: Most of the 16 lessees in the pool are either
unrated or speculative-grade credits, typical of aircraft ABS
transactions. Fitch assumed unrated lessees would perform
consistent with either a 'B' or 'CCC' Issuer Default Rating (IDR)
to accurately reflect the default risk in the pool. Lessee ratings
were further stressed during future recessions and once aircraft
reach Tier 3 classification.
Technological Risk Exists: The A320 and B737 current-generation
aircraft both face replacement programs over the next decade from
the A320neo and B737 MAX. The A330 and B777 families also face
future replacement and competition from the A330neo, B777X and A350
variants. New variants will pressure current aircraft values and
lease rates, but the long lead time for replacement and healthy
operator bases will help mitigate replacement risk.
Consistent Transaction Structure: Credit enhancement (CE) consists
of overcollateralization, a liquidity facility and a cash reserve.
The initial loan to value (LTV) ratios for the class A, B and C
notes are 66.6%, 77.7% and 83.7%, respectively, based on the lower
of the median or mean (LMM) of the maintenance-adjusted base value.
These levels are consistent with AASET 2017-1.
Capable Servicing History and Experience: Fitch believes AAML has
the ability to collect lease payments, remarket and repossess
aircraft in an event of lessee default, and procure maintenance to
retain values and ensure stable performance. Fitch considers AAML
to be a capable servicer, evidenced by prior securitization
performance and its servicing experience of aviation assets and
Apollo's managed aviation funds.
Adequate Structural Protections: Each class of notes makes full
payment of interest and principal in the primary scenarios
commensurate with their recommended ratings after applying Fitch's
stressed asset and liability assumptions. Fitch also created
multiple alternative cash flows to evaluate the structure
sensitivity to different scenarios, as detailed in the presale
report.
High Industry Cyclicality: Commercial aviation has been subject to
significant cyclicality due to macroeconomic and geopolitical
events. Downturns are typically marked by reduced aircraft
utilization rates, values and lease rates, as well as deteriorating
lessee credit quality. Fitch's analysis assumes multiple periods of
significant volatility over the life of the transaction.
RATING SENSITIVITIES
Due to the correlation between global economic conditions and the
airline industry, the ratings may be affected by global
macro-economic or geopolitical factors over the remaining term of
the transaction. Therefore, Fitch evaluated various sensitivity
scenarios which could affect future cash flows from the pool and
recommended ratings for the notes.
Fitch performed a sensitivity analysis assuming a 25% decrease to
Fitch's lease rate factor curve to observe the impact of depressed
lease rates on the pool. This scenario highlights the effect of
increased competition in the aircraft leasing market, particularly
for mid- to end-of-life aircraft over the past few years, and
stresses the pool to a higher degree by assuming lease rates well
below observed market rates. Under this scenario, the notes could
be subject to ratings downgrades of up to two rating categories.
Fitch evaluated a scenario in which all unrated airlines are
assumed to carry a 'CCC' rating. This scenario mimics a prolonged
recessionary environment in which airlines are susceptible to an
increased likelihood of default. This would, in turn, subject the
aircraft pool to more downtime and expenses, as repossession and
remarketing events would increase. Under this scenario, the notes
show varying sensitivity due to increased defaults and associated
expenses and downtime. The rating on the class B notes is unlikely
to be affected by such a scenario, while the class A and C notes
may experience a downgrade of up to two notches.
Fitch created a scenario in which the A330-200s in the pool
encounter a considerable amount of stress to their residual values.
All the A330-200s were assumed to be Tier 3 aircraft to stress
recessionary value declines, and Fitch placed a higher 25% haircut
on residual proceeds. Under this scenario the A330-200s are only
granted part-out value at the end of their useful lives, and the
notes show sensitivity that would likely result in downgrades of
four to five notches for class A and B, and three notches for class
C.
ANCHORAGE CAPITAL 3-R: S&P Gives Prelim BB-(sf) Rating on E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Anchorage
Capital CLO 3-R Ltd./Anchorage Capital CLO 3-R LLC's $459.60
million floating-rate notes. It is expected that Anchorage Capital
CLO 3-R Ltd., a newly created special-purpose entity, will acquire
its assets from the optional redemption of Anchorage Capital CLO 3
Ltd., a collateralized loan obligation (CLO) that closed in March
2014 and that S&P Global Ratings did not rate.
The note issuance is a CLO transaction backed primarily by broadly
syndicated speculative-grade senior secured term loans that are
governed by collateral quality tests.
The preliminary ratings are based on information as of Jan. 26,
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
Anchorage Capital CLO 3-R Ltd./Anchorage Capital CLO 3-R LLC
Class Rating Amount
(mil. $)
A AAA (sf) 300.00
B AA (sf) 59.10
C (deferrable) A (sf) 50.40
D (deferrable) BBB- (sf) 30.60
E (deferrable) BB- (sf) 19.50
Subordinated notes NR 49.15
NR--Not rated.
ANCHORAGE CAPITAL 4-R: S&P Assigns BB-(sf) Rating on Cl. E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Anchorage Capital CLO
4-R Ltd./Anchorage Capital CLO 4-R LLC's $551.8 million
floating-rate notes. Anchorage Capital CLO 4-R Ltd., a newly
created special-purpose entity, acquired its assets from the
optional redemption of Anchorage Capital CLO 4 Ltd., a
collateralized loan obligation (CLO) that closed in June 2014 and
that S&P Global Ratings did not rate.
The note issuance is a CLO transaction backed primarily by broadly
syndicated speculative-grade senior secured term loans governed by
collateral quality tests.
The ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests;
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
Anchorage Capital CLO 4-R Ltd./Anchorage Capital CLO 4-R LLC
Class Rating Amount
(mil. $)
A AAA (sf) 360.50
B AA (sf) 67.50
C A (sf) 63.90
D BBB- (sf) 37.50
E BB- (sf) 22.40
Subordinated notes NR 62.35
NR--Not rated.
ATLAS FUND X: S&P Assigns Prelim. B-(sf) Rating on Class F Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class X,
A, B, C, D, E, and F replacement notes from Atlas Senior Loan Fund
X Ltd., a collateralized loan obligation (CLO) managed by Crescent
Capital Group L.P. This is a proposed second refinancing of its
September 2014 original transaction, Atlas Senior Loan Fund VI Ltd.
(Atlas VI). Atlas VI will be merged into Atlas X prior to the
closing date. 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 replacement class A, B, C, and D notes are expected to
be issued at a lower spread than the previously refinanced notes.
The preliminary ratings are based on information as of Jan. 26,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Feb. 7, 2018, refinancing date, the proceeds from the
issuance of the replacement notes are expected to redeem the
previously refinanced notes. S&P said, "At that time, we anticipate
withdrawing the ratings on the previously refinanced notes and
assigning ratings to the replacement notes. However, if the
refinancing doesn't occur, we may affirm the ratings on the
previously refinanced 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:
-- Additional class X and F notes will be issued.
-- The stated maturity, reinvestment period, and non-call period
will be extended 4.25, 4.25, and 3.25 years, respectively.
-- 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, S&P's analysis considered the transaction's
ability to pay timely interest or ultimate principal, or both, to
each of the rated tranches.
-- S&P said, "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
Atlas Senior Loan Fund X Ltd./Atlas Senior Loan Fund X LLC
Replacement class Rating Amount (mil. $)
X AAA (sf) 1.50
A AAA (sf) 333.00
B AA (sf) 77.00
C A (sf) 38.00
D BBB- (sf) 32.50
E BB- (sf) 20.00
F B- (sf) 8.00
Subordinated notes NR 58.12
NR--Not rated.
BANK OF AMERICA 2017-BNK3: Fitch Affirms Bsf Rating on Cl. F Certs
------------------------------------------------------------------
Fitch Ratings has affirmed all classes of Bank of America Merrill
Lynch Commercial Mortgage Trust 2017-BNK3 commercial mortgage
pass-through certificates series 2017-BNK3.
KEY RATING DRIVERS
Stable Performance: The overall pool performance remains stable
from issuance. There are no delinquent or specially serviced loans.
As of the Jan. 18, 2018 distribution date, the pool's aggregate
balance has been reduced by 0.38% to $973.4 million, from $977.1
million at issuance. One loan (1.0%), a retail property located in
Bedford, TX, is on the servicer's watchlist and is considered a
Fitch Loan of Concern as the largest tenant (41.6% NRA) is dark.
Fiesta Supermarkets vacated upon its Aug. 31, 2017 lease expiration
despite investing over $1.0 million in inventory and rebranding
itself. However, Safeway has guaranteed the rental payments for the
first five-year option under the lease.
Concentration: Loans backed by retail properties represent 29.6% of
the pool, including five loans (17.5%) in the top 15. One of the
retail loans (2.1%) is backed by a regional mall that has exposure
to JC Penney. Sixteen loans, representing 28.5% of the pool, are
secured by properties located in the state of California, including
four of the top 10 loans (17.5% of the pool).
Well Below-Average Amortization: Sixteen loans, representing 54.3%
of the pool, are full term interest-only loans, including nine of
the top 10 loans, and 19 loans representing 20.7% of the pool are
partial interest only.
Investment-Grade Credit Opinion Loans: Two loans, representing 7.3%
of the pool, were assigned investment-grade credit opinions at
Issuance: 85 Tenth Avenue (5.1% of the pool) and Potomac Mills
(2.1% of the pool).
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:
-- $23,942,164 class A-1 'AAAsf'; Outlook Stable;
-- $52,680,000 class A-2 'AAAsf'; Outlook Stable;
-- $33,360,000 class A-SB 'AAAsf'; Outlook Stable;
-- $175,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $361,236,000 class A-4 'AAAsf'; Outlook Stable;
-- $649,7218,164 (b) class X-A 'AAAsf'; Outlook Stable;
-- $175,205,000 (b) class X-B 'A-sf'; Outlook Stable;
-- $92,824,000 class A-S'AAAsf'; Outlook Stable;
-- $46,412,000 class B 'AA-sf'; Outlook Stable;
-- $35,969,000 class C 'A-sf'; Outlook Stable;
-- $38,290,000 (a) (b) class X-D 'BBB-sf'; Outlook Stable;
-- $38,290,000 (a) class D 'BBB-sf'; Outlook Stable;
-- $16,244,000 (a) class E 'BB+sf'; Outlook Stable;
-- $13,924,000 (a) class F 'Bsf'; Outlook Stable.
The following classes are not rated by Fitch:
-- $34,809,005 (a) class G;
-- $48,667,904 (a) (c) RR Interest.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest only.
(c) Vertical credit risk retention interest representing 5% of the
pool balance (as of the closing date).
BENEFIT STREET VIII: S&P Gives Prelim BB-(sf) Rating on D-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned preliminary ratings to the class
A-1A-R, A-2-R, B-R, C-R, and D-R replacement notes from Benefit
Street Partners CLO VIII Ltd., a collateralized loan obligation
(CLO) originally issued on Nov. 15, 2015, that is managed by
Benefit Street Partners LLC (see list). 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. 294,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Feb. 9, 2018, refinancing date, the proceeds from the
issuance of the replacement notes are expected to fully 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."
S&P said, "Our review of this transaction included a cash flow
analysis, based on an identified portfolio of assets provided by
the arranger, as well as some unidentified hypothetical assets. At
the time of our cash flow analysis, 91.17% of the underlying
collateral was identified; further, 94.26% and 95.36% of the
identified collateral maintained an S&P Rating and an S&P Recovery
Rating, respectively. The purpose of conducting these cash flow
analyses was to estimate future performance of the CLO. 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 this transaction through the
refinancing date, at which point we will assign final ratings,
based on the credit enhancement available to support the notes at
that time."
PRELIMINARY RATINGS ASSIGNED
Benefit Street Partners VIII CLO Ltd.
Replacement class Rating Amount (mil $)
A-1A-R AAA (sf) 351.00
A-1B-R NR 27.50
A-2-R AA (sf) 42.50
B-R A (sf) 42.25
C-R BBB- (sf) 33.60
D-R BB- (sf) 22.95
NR--Not rated.
BUCKEYE TOBACCO 2007: S&P Affirms B- Ratings on Eight Classes
-------------------------------------------------------------
S&P Global Ratings affirmed its ratings on eight classes from
Buckeye Tobacco Settlement Financing Authority's series 2007. The
bonds were originally issued in 2007.
The rating actions reflect S&P's view of the performance of the
transaction under a series of stressed cash flow scenarios,
including:
-- A cigarette volume decline test that assesses if the
transaction can withstand annual declines in cigarette shipments;
-- Payment disruptions by the largest of the participating
manufacturers, by market share, at various points over the
transaction's term to reflect a Chapter 11 bankruptcy filing; and
-- A liquidity stress test to account for settlement amount
disputes by participating manufacturers, as a result of changes to
their market share, which has generally shifted to nonparticipating
manufacturers.
S&P said, "Since our last rating actions in January 2015, the
previously remaining three classes of the 2007-A-1 bonds, which
matured in 2015, 2016, and 2017, paid off in full.
"We affirmed our ratings on the outstanding 2007-A-2 and 2007-A-3
classes, which reflects our view of the tranches' ability to pay
timely interest and principal payments under various stress
scenarios.
"Our analysis also reflects developments within the tobacco
industry. We view the U.S. tobacco industry as having a stable
ratings outlook based on the high brand equity and pricing power of
the top three manufacturers' conventional cigarette brands. In our
view, this should help offset ongoing cigarette volume declines and
allow for sustained cash flows. However, changing regulations and
ongoing litigation risk are constraining factors the industry
faces."
RATINGS AFFIRMED
Buckeye Tobacco Settlement Financing Authority (Series 2007)
Class CUSIP Maturity Rating
2007-A-2 118217AN8 6/1/2024 B- (sf)
2007 A-2 118217AP3 6/1/2024 B- (sf)
2007 A-2 118217AQ1 6/1/2030 B- (sf)
2007 A-2 118217AR9 6/1/2034 B- (sf)
2007 A-2 118217AS7 6/1/2042 B- (sf)
2007 A-2 118217AT5 6/1/2047 B- (sf)
2007 A-2 118217AU2 6/1/2047 B- (sf)
2007-A-3 118217AV0 6/1/2037 B- (sf)
CARLYLE US 2017-5: S&P Assigns BB- Rating on Class D Notes
----------------------------------------------------------
S&P Global Ratings assigned its ratings to Carlyle U.S. CLO 2017-5
Ltd.'s $415.50 floating-rate debt.
The note issuance is a collateralized loan obligation transaction
backed primarily by broadly syndicated speculative-grade senior
secured term loans.
The ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
Carlyle U.S. CLO 2017-5 Ltd./Carlyle U.S. CLO 2017-5 LLC
Class Rating Amount
(mil. $)
A-1A AAA (sf) 287.00
A-1B NR 44.50
A-2 AA (sf) 51.80
B A (sf) 28.20
C BBB- (sf) 30.75
D BB- (sf) 17.75
Subordinated notes NR 49.95
NR--Not rated.
CBA COMMERCIAL 2007-1: Moody's Affirms Caa3 Rating on Cl. A Certs
-----------------------------------------------------------------
Moody's Investors Service has affirmed the rating on one class in
CBA Commercial Assets, Small Balance Commercial Mortgage
Pass-Through Certificates Series 2007-1:
Cl. A, Affirmed Caa3 (sf); previously on Mar 10, 2017 Affirmed Caa3
(sf)
RATINGS RATIONALE
The rating on the P&I class was affirmed because the ratings are
consistent with Moody's expected loss plus realized losses.
Moody's rating action reflects a base expected loss of 29.2% of the
current pooled balance, compared to 33.9% at Moody's last review.
Moody's base expected loss plus realized losses is now 33.6% of the
original pooled balance, compared to 34.2% 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 RATING:
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 this rating was "Approach to
Rating US and Canadian Conduit/Fusion CMBS" published in July 2017.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 32.6% of the pool is in
special servicing and Moody's has identified additional troubled
loans representing 5.8% 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(es) and the recovery as a pay down of principal
to the most senior class(es).
DEAL PERFORMANCE
As of the December 26, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 83% to $21.8 million
from $127.6 million at securitization. The certificates are
collateralized by 54 mortgage loans ranging in size from less than
1% to 11.5% of the pool, with the top ten loans (excluding
defeasance) constituting 47.4% 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 25, compared to 33 at Moody's last review.
Ninety-one loans have been liquidated from the pool, resulting in
an aggregate realized loss of $36.5 million (for an average loss
severity of 73.4%). Sixteen loans, constituting 32.6% of the pool,
are currently in special servicing. Moody's has also assumed a high
default probability for four poorly performing loans, constituting
5.8% of the pool.
COMMERCIAL MORTGAGE 2007-GG11: S&P Ups Class D Certs Rating to B+
-----------------------------------------------------------------
S&P Global Ratings raised its rating on the class D commercial
mortgage pass-through certificates from Commercial Mortgage Trust
2007-GG11, a U.S. commercial mortgage-backed securities (CMBS)
transaction, to 'B+ (sf)' from 'D (sf)'.
S&P said, "For the upgrade, our expectation of credit enhancement
was in line with the raised rating level.
"Class D was previously downgraded to 'D (sf)' due to accumulated
interest shortfalls that we expected to remain outstanding for a
prolonged period of time. We raised our rating on this class from
'D (sf)' because the interest shortfalls have been resolved in full
and we do not believe, at this time, a further default is virtually
certain.
"While available credit enhancement levels suggest further positive
rating movement on class D, our analysis also considered the
susceptibility to reduced liquidity support from the remaining four
assets ($19.2 million, 100%), all of which are specially
serviced."
TRANSACTION SUMMARY
As of the Jan. 12, 2018, trustee remittance report, the collateral
pool balance was $19.2 million, which is 0.7% of the pool balance
at issuance. The pool currently includes three loans and one real
estate-owned (REO) asset, down from 122 loans at issuance.
To date, the transaction has experienced $249.0 million in
principal losses, or 9.3% of the original pool trust balance. S&P
expects losses to reach approximately 9.6% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses we expect upon the eventual resolution of the
four remaining specially serviced assets.
CREDIT CONSIDERATIONS
As of the most recent trustee remittance report, all of the
remaining assets in the pool were with the special servicer, C-III
Asset Management LLC (C-III). Details are:
The Best Buy & Delphax Technologies REO asset ($6.6 million,
34.6%), the largest asset in the pool, has a total reported
exposure of $7.8 million. The asset is two adjacent industrial
buildings totaling 160,177 sq. ft. in Bloomington, Minn. The loan
was transferred to the special servicer on March 7, 2016, due to
imminent default and the property became REO on July 27, 2017.
C-III indicated that the property's occupancy recently increased
from 18.0% to 72.0%. A $2.2 million appraisal reduction amount
(ARA) is in effect against this asset. We expect a moderate loss
upon its eventual resolution.
The Center at Evergreen loan ($5.6 million, 29.1%) has a total
reported exposure of $5.9 million. The loan is secured by two
office buildings totaling 43,404 sq. ft. in Evergreen, Colo. The
loan, which has a nonperforming matured balloon payment status,
transferred to special servicing on March 8, 2017, due to imminent
default. C-III indicated that it is working on various workout
strategies, including foreclosure. The reported debt service
coverage (DSC) and occupancy for the 11 months ended Nov. 30, 2017,
were 1.24x and 90.7%, respectively. A $1.4 million ARA is in effect
against the loan. S&P expects a moderate loss upon its eventual
resolution.
The Walgreen Madison loan ($3.7 million, 19.2%) has a total
reported exposure of $3.9 million. The loan is secured by a
14,490-sq.-ft. free standing retail building in Madison, Ohio. The
loan, which has a nonperforming matured balloon payment status,
transferred to the special servicer on July 12, 2017, due to a
maturity default. The loan matured on July 6, 2017. C-III indicated
that it has engaged trust counsel to make a formal demand and
exercise the noteholder's rights and remedies should the borrower
fail to pay off the loan or provide an acceptable proposal within a
reasonable period of time. The reported DSC and occupancy as of
year-end 2016 were 1.31x and 100%, respectively. A $926,841 ARA is
in effect against this loan. S&P expects a moderate loss upon its
eventual resolution.
The Hanes Square loan ($3.3 million, 17.1%) has a total reported
exposure of $3.3 million. The loan is secured by an 18,326-sq.-ft.
retail strip center in Winston-Salem, N.C. The loan was transferred
to special servicing on July 11, 2017, due to a maturity default.
The loan matured on July 6, 2017. C-III indicated that the borrower
is working on paying off the loan. The reported DSC and occupancy
as of year-end 2016 were 1.29x and 89.1%. An $830,486 ARA is in
effect against this loan. S&P expects a moderate loss upon its
eventual resolution.
S&P calculated a weighted average loss severity of 41.8% for these
assets.
S&P considered a minimal loss as less than 25%, a moderate loss as
26%-59%, and a significant loss as 60% or greater.
RATINGS LIST
Commercial Mortgage Trust 2007-GG11
Commercial mortgage pass through certificates series 2007-GG11
Rating
Class Identifier To From
D 20173VAL4 B+ (sf) D (sf)
CRESTLINE DENALI XVI: Moody's Assigns (P)Ba3 Rating to Cl. E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of notes to be issued by Crestline Denali CLO XVI, Ltd.:
Moody's rating action is:
US$256,000,000 Class A Senior Secured Floating Rate Notes due 2030
(the "Class A Notes"), Assigned (P)Aaa (sf)
US$48,000,000 Class B Senior Secured Floating Rate Notes due 2030
(the "Class B Notes"), Assigned (P)Aa2 (sf)
US$24,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class C Notes"), Assigned (P)A2 (sf)
US$22,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class D Notes"), Assigned (P)Baa3 (sf)
US$18,000,000 Class E Secured Deferrable Floating Rate Notes due
2030 (the "Class E Notes"), Assigned (P)Ba3 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes, and the Class E Notes are referred to herein,
collectively, as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
RATINGS RATIONALE
Moody's provisional ratings of the Rated Notes address the expected
losses posed to noteholders. The provisional ratings reflect the
risks due to defaults on the underlying portfolio of assets, the
transaction's legal structure, and the characteristics of the
underlying assets.
Crestline Denali XVI 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, cash, and eligible investments,
and up to 7.5% of the portfolio may consist of first-lien last-out
loans, second lien loans and unsecured loans. Moody's expect the
portfolio to be approximately 80% ramped as of the closing date.
Crestline Denali Capital, L.P. (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's 5 year reinvestment
period. Thereafter, the Manager may reinvest unscheduled principal
payments and proceeds from sales of credit risk assets, subject to
certain restrictions.
In addition to the Rated Notes, the Issuer will issue subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $400,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2920
Weighted Average Spread (WAS): 3.50%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 9.0 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
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 2920 to 3358)
Rating Impact in Rating Notches
Class A Notes: 0
Class B Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2920 to 3796)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -4
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
CSAIL TRUST 2016-C5: Fitch Affirms B- Rating on Class X-F Certs
---------------------------------------------------------------
Fitch Ratings has affirmed 17 classes of CSAIL 2016-C5 Commercial
Mortgage Trust 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 January 2018
distribution date, the pool's aggregate principal balance paid down
by 0.9% to $928.2 million from $936.4 million at issuance. One loan
(0.7%) is currently in special servicing; however, any losses are
not expected to impact the rated classes.
Specially Serviced Loan: Arthur Square (0.7%) is currently 90 days
delinquent. The loan was transferred to special servicing in
October 2017 due to damage caused by Hurricane Harvey. The loan is
secured by a garden-style multifamily property consisting of 226
units located in Port Arthur, TX. Per the special servicer, the
borrower is in the insurance claim process and will shortly begin
restoration efforts on the collateral. The property is 38.5%
occupied with average rent $654 as of October 2017. Per the master
servicer's Significant Insurance Event report, the property does
have flood insurance.
Additional Debt: There are five loans (21.7%) with subordinate
debt, which is higher than the 2014 and 2015 averages of 10.4% and
9.1%, respectively for similar Fitch rated fixed-rate multiborrower
transactions.
Pool and Loan Concentrations: The largest 10 loans in the
transaction represent 53.5% of the pool by balance, which is above
the 2015 average top ten concentration of 49.3%. The pool's largest
concentration by property type is multifamily 25.8%, followed by
industrial properties at 21.6% and hotels at 21.2%. The industrial
and hotel concentrations are above the 2015 averages of 4.2% and
17%, respectively for other Fitch-rated fixed-rate multiborrower
transactions.
Hurricane Exposure: Three loans (1.9%) are listed on the master
servicer's significant insurance event report as they are located
in areas of Texas impacted by Hurricane Harvey. Of the three, two
have no damages reported and one (0.7%) has reported damages and
has been transferred to the special servicer. Three loans (10%)
appear on the significant insurance event report as they are
located in areas in Florida impacted by Hurricane Irma; however, it
is unknown if the properties have sustained any damage.
Amortization: Five loans representing 27.7% are interest only,
which is higher than the 2015 average of 23.3% for other Fitch
rated multiborrower transactions. There are 32 loans, representing
49.9% of the pool, that are partial interest-only. Based on the
scheduled balance at maturity, the pool is expected to pay down by
8.8%.
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:
-- $20.3 million class A-1 at 'AAAsf'; Outlook Stable;
-- $121.6 million class A-2 at 'AAAsf'; Outlook Stable;
-- $19.8 million class A-3 at 'AAAsf'; Outlook Stable;
-- $170 million class A-4 at 'AAAsf'; Outlook Stable;
-- $267.4 million class A-5 at 'AAAsf'; Outlook Stable;
-- $48.1 million class A-SB at 'AAAsf'; Outlook Stable;
-- $67.9 million class A-S at 'AAAsf'; Outlook Stable;
-- $51.5 million class B at 'AA-sf'; Outlook Stable;
-- $42.1 million class C at 'A-sf'; Outlook Stable;
-- $46.8 million class D at 'BBB-sf'; Outlook Stable;
-- $23.4 million class E at 'BB-sf'; Outlook Stable;
-- $9.4 million class F at 'B-sf'; Outlook Stable;
-- $715.2 million* class X-A at 'AAAsf'; Outlook Stable;
-- $51.5 million* class X-B at 'AA-sf'; Outlook Stable;
-- $46.8 million* class X-D at 'BBB-sf'; Outlook Stable;
-- $23.4 million* class X-E at 'BB-sf'; Outlook Stable;
-- $9.4 million* class X-F at 'B-sf'; Outlook Stable.
* Notional amount and interest only.
Fitch does not rate the class NR and X-NR certificates.
CSFB COMMERCIAL 2006-C5: Moody's Affirms C Ratings on 4 Tranches
----------------------------------------------------------------
Moody's Investors Service affirmed five classes of CSFB Commercial
Mortgage Trust 2006-C5 as follows:
Cl. A-J, Affirmed Caa1 (sf); previously on Jan 27, 2017 Affirmed
Caa1 (sf)
Cl. B, Affirmed C (sf); previously on Jan 27, 2017 Downgraded to C
(sf)
Cl. C, Affirmed C (sf); previously on Jan 27, 2017 Affirmed C (sf)
Cl. D, Affirmed C (sf); previously on Jan 27, 2017 Affirmed C (sf)
Cl. A-X, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The ratings on four P&I Classes (A-J, B, C & D) were affirmed due
to Moody's expected loss.
The rating on IO Class A-X was affirmed based on the credit
performance of the referenced classes.
Moody's rating action reflects a base expected loss of 53.9% of the
current balance, compared to 56.3% at Moody's last review. Moody's
base expected loss plus realized losses is now 12.8% of the
original pooled balance, compared to 13.4% at Moody's last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The 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
Class A-X were"Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" published in June 2017 and "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.
Moody's 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 classes and the
recovery as a pay down of principal to the most senior classes.
DEAL PERFORMANCE
As of the January 18, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 92.2% to $270.1
million from $3.43 billion at securitization. The certificates are
collateralized by 23 mortgage loans ranging in size from less than
1% to 26.1% of the pool, with the top ten loans (excluding
defeasance) constituting 88.1% of the pool. There are no loans that
have defeased.
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 7, compared to 6 at Moody's last review.
There are no loans on the master servicer's watchlist.
Seventy-seven loans have been liquidated from the pool, resulting
in an aggregate realized loss of $293.9 million (for an average
loss severity of 47%). 100% of the pool is currently in special
servicing.
The specially serviced loans are secured by a mix of office,
retail, hotel and industrial properties. Moody's estimates an
aggregate $143.5 million loss for the specially serviced loans
(53.6% expected loss on average).
The largest specially serviced loan is the Best Western President
Loan ($70 million -- 26.1% of the pool), which is secured by a
16-story, 334-room, full service hotel located in the Theater
District on West 48th Street between Seventh and Eighth Avenue in
Manhattan, New York. The flag was changed from a Best Western to a
TRYP by Wyndham in 2014 and is now known as the Gallivant Times
Square. The loan was first transferred to special servicing in
March 2013 for imminent payment default and was modified effective
October 2014. The loan transferred back into Special Servicing in
December 2015 and did not pay off at maturity in August 2016.
The second largest specially serviced loan is the Sandhill Phase I
Loan ($51 million -- 19.0% of the pool), and is secured by a
288,021 square foot (SF) lifestyle retail center which includes a
ground lease to a 98,542 square foot (SF) JC Penney Department
store located in Columbia, South Carolina. The loan transferred to
special servicing in October 2011 due to delinquent payment and
became REO in September 2012. The Property was 88% leased and 77%
occupied as of October 2017, with 18 extended leases for 45,000 SF
approximately 16% of the GLA.
The third largest specially serviced loan is the West Covina
Portfolio Loan ($45.8 million -- 17.1% of the pool), which was
originally secured by Wells Fargo Bank Tower and West Covina
Community Shopping Center, both located approximately 19 miles east
of Los Angeles in West Covina, California. These
cross-collateralized and cross-defaulted loans initially
transferred to special servicing in June 2009 due to delinquent
payments and a modification closed in May 2013. The loans were
returned to the master servicer in 2013 but were subsequently
transferred back to the special servicer in June 2014 due to
imminent monetary default. The Wells Fargo Bank Tower Loan, secured
by a 215,000 square foot (SF) suburban office building, later
became REO in April 2016 and sold in March 2017 for $35.4 million.
The remaining West Covina Village Community Shopping Center Loan is
secured by a 229,000 square foot (SF) anchored retail center. The
Property was 74.92% occupied as of March 2017 compared to 75.64% in
July 2016. Current tenants include a mix of medical offices,
restaurants, local and national retail brands.
ELEVATION CLO 2017-8: Moody's Assigns B3 Rating to Class F Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
notes issued by Elevation CLO 2017-8, Ltd. (the "Issuer" or
"Elevation CLO 2017-8").
Moody's rating action is:
US$254,000,000 Class A-1 Senior Secured Floating Rate Notes due
2030 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf)
US$7,000,000 Class A-2 Senior Secured Fixed Rate Notes due 2030
(the "Class A-2 Notes"), Definitive Rating Assigned Aaa (sf)
US$42,000,000 Class B Senior Secured Floating Rate Notes due 2030
(the "Class B Notes"), Definitive Rating Assigned Aa2 (sf)
US$20,000,000 Class C Secured Deferrable Floating Rate Notes due
2030 (the "Class C Notes"), Definitive Rating Assigned A2 (sf)
US$26,000,000 Class D Secured Deferrable Floating Rate Notes due
2030 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf)
US$19,000,000 Class E Secured Deferrable Floating Rate Notes due
2030 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf)
US$7,000,000 Class F Secured Deferrable Floating Rate Notes due
2030 (the "Class F Notes"), Definitive Rating Assigned B3 (sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the
Class C Notes, the Class D Notes, 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.
Elevation CLO 2017-8 is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 90.0% of the portfolio must
consist of senior secured loans and eligible investments, and up to
10.0% of the portfolio may consist of senior unsecured loans,
second lien loans and first-lien last-out loans. The portfolio is
approximately 80% ramped as of the closing date.
325 Fillmore 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 approximately 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: 60
Weighted Average Rating Factor (WARF): 2850
Weighted Average Spread (WAS): 3.70%
Weighted Average Coupon (WAC): 5.00%
Weighted Average Recovery Rate (WARR): 46.0%
Weighted Average Life (WAL): 8.75 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2850 to 3278)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2 Notes: -1
Class B Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Class F Notes: 0
Percentage Change in WARF -- increase of 30% (from 2850 to 3705)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -3
Class B Notes: -4
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
Class F Notes: -1
FREEPORT-MCMORAN INC: Moody's Hikes CFR to Ba2; Outlook Stable
--------------------------------------------------------------
Moody's Investors Service upgraded Freeport-McMoRan Inc's (FCX)
Corporate Family Rating (CFR) and Probability of Default rating to
Ba2 and Ba2-PD respectively from B1 and B1-PD respectively. The
senior unsecured ratings of FCX and Freeport-McMoRan Oil & Gas LLC
(FM O&G) were upgraded to Ba2 from B1. The rated debt instruments
at FCX and FM O&G are cross guaranteed by the respective holding
companies. The senior unsecured ratings of Freeport Minerals
Corporation (FMC), which have a downstream guarantee from FCX, were
upgraded to Baa3 from Ba2. FCX's Speculative Grade Liquidity rating
was affirmed at SGL-1. The outlook is stable.
Upgrades:
Issuer: Freeport Minerals Corporation
-- Gtd. Senior Unsecured Regular Bonds/Debentures, Upgraded to
Baa3(LGD2) from Ba2(LGD2)
Issuer: Freeport-McMoRan Inc.
-- Probability of Default Rating, Upgraded to Ba2-PD from B1-PD
-- Corporate Family Rating, Upgraded to Ba2 from B1
-- Gtd. Senior Unsecured Regular Bonds/Debentures, Upgraded to
Ba2(LGD4) from B1(LGD4)
Issuer: Freeport-McMoRan Oil & Gas LLC
-- Gtd. Senior Unsecured Regular Bonds/Debentures, Upgraded to
Ba2(LGD4) from B1(LGD4)
Outlook Actions:
Issuer: Freeport Minerals Corporation
-- Outlook, Remains Positive
Issuer: Freeport-McMoRan Inc.
-- Outlook, Changed To Stable From Positive
Issuer: Freeport-McMoRan Oil & Gas LLC
-- Outlook, Remains Positive
Affirmations:
Issuer: Freeport-McMoRan Inc.
-- Speculative Grade Liquidity Rating, Affirmed SGL-1
RATINGS RATIONALE
The Ba2 rating considers FCX's improved performance, strengthened
debt protection measures and reduced leverage. The company, over
the course of 2016 and 2017 executed on its strategic objectives to
reduce debt, take costs out of its operations and run at lower
capital expenditure levels. Improving fundamentals in the copper
market in 2017 also contributed to a rebound in earnings, EBITDA
and free cash flow generation. Asset sales, including a 13% stake
in the Morenci mine, the sale of Tenke Fungurume, the sale of most
of the oil and gas properties and a $1.5 billion at the market
equity offering in 2016 and stronger free cash flow generation
through September 2017 all were instrumental in FCX's ability to
reduce debt from $21.4 billion at the end of 2015 to $16 billion at
September 30, 2017. Pro-forma for the November 2017 debt repayments
and tender offers, adjusted debt is approximately $14.6 billion.
On improved operating performance, a better price environment, a
continued low level of capital expenditures, no common stock
dividend payments and reduced debt levels, Freeport's performance
has rebounded strongly with almost $2 billion in free cash flow for
the twelve months through September 2017. The combination of
improved copper market fundamentals and reducing debt levels
contributed to a reduction in leverage as measured by the
debt/EBITDA ratio at September 30, 2017 of 3.2x compared with 4.7x
and 6.6x (with Moody's standard adjustments) at the end of fiscals
2016 and 2015 respectively. The rating also acknowledges the
competitive and low cost nature of FCX's operations, the company's
position as the second largest copper producer globally with an
approximate 10% market share, the largest molybdenum producer and
an important gold producer.
A key factor in the rating however, remains the ongoing uncertainty
with respect to the final terms and details of any agreement with
the Government of Indonesia surrounding the ongoing operations of
the Grasberg mining complex at Freeport's 90.64% owned subsidiary
PT-FI. In late August, 2017 Freeport and the Indonesian government
reached a framework agreement regarding long-term operations within
Indonesia. Key highlights of the framework agreement, which is
subject to documentation and board approval of FCX and its
partners, include a) converting the contract of work (COW) to a
special license (IUPK), which will provide operating rights through
2041, b) the providing of fiscal and legal terms during the tenor
of the IUPK by the Government of Indonesia, which will give greater
certainty of operations going forward, c) the construction of a new
smelter within 5 years by PT-FI and d) the divestiture by FCX, at
fair market value, its holdings in PT-FI such that FCX's interest
reduces to 49%. Freeport will, however, continue to be the operator
of the mine.
Consequently, despite the strengthened metrics, the Ba2 CFR
reflects continued uncertainty as to:
* The ultimate value to be agreed on interest in Grasberg required
to be divested and use of proceeds by Freeport
* The position of Rio Tinto, which after 2022 would have a 40%
interest in all production
* How the funding of the underground development will be
undertaken
* Cost and funding for a new smelter
The Ba2 CFR considers that at $2.50/lb and $2.75/lb copper price
sensitivities in 2018 and 2019, with only 49% of Grasberg from July
2018 onward, and lower copper production there in 2019 due to the
transition to underground mining, and no value received for the
divestiture, leverage should remain acceptable, at 3.5x and 3.2x
respectively, for the rating.
Additionally, the rating factors in the minority shareholders at
both Cerro Verde and El Abra. Proportionately consolidating these
operations at a copper price of $2.50/lb and $2.75 lb with only 49%
of Grasberg, leverage would be in the low 4x range.
The stable outlook reflects expectations for copper market
fundamentals to remain at favorable levels, although some pull back
later in the year is likely. Additionally, the outlook anticipates
that upon conclusion of a definitive agreement with the Government
of Indonesia and clarity as to the uncertainty factors stated
above, ratings could be favorably impacted.
An upgrade to the ratings would require the successful resolution
of the negotiations with the Indonesian Government on PT-FI
including the IUPK, as well as clarity on spending for the
underground expansion at Grasberg, smelter construction, valuation
of the interest being sold, and use of proceeds received. Clarity
on the company's financial policy will also be a factor in an
upgrade consideration. Additionally, an upgrade would be considered
if the company can sustain EBIT/interest of at least 4x,
debt/EBITDA under 2.75x, and (CFO-dividends)/debt above 25% through
various price points. The ratings could be downgraded should
liquidity contract meaningfully or negotiations with the Government
of Indonesia not conclude successfully. From a quantitative
perspective, the ratings could be downgraded should leverage
increase to and be sustained above 3.5x, EBIT/interest be 2.5x or
less and the company turns free cash flow negative.
The SGL-1 Speculative Grade Liquidity rating considers the
company's $5 billion cash position at September 30, 2017, full
availability under the $3.5 billion unsecured revolving credit
facility, favorable debt maturity profile following the debt
redemptions, and free cash flow generation capability. The SGL-1
anticipates that the $1.4 billion in debt maturing in March 2018
will be repaid at maturity.
Under Moody's Loss Given Default methodology, the rating on the FCX
and the FM O&G notes, at the same level as the CFR, reflects the
absence of secured debt in the capital structure and the parity of
instruments. The Baa3 rating of FMC reflects the fact that this
debt is at the operating company and benefits from a downstream
guarantee from FCX.
FCX, a Phoenix, Arizona based mining company, is predominately
involved in copper mining and the related by-product credits from
the mining operations. The company's global footprint includes
copper mining operations in Indonesia through its 90.64% owned
subsidiary PT-FI, the United States, Chile, and Peru. Through an
unincorporated joint venture, Rio Tinto has a 40% interest in
PT-FI's existing Contract of Work and in certain assets and future
production in Block A above specified amounts through 2022.
Thereafter, Rio Tinto has a 40% interest in all production from
Block A. Revenues for the 12 months ended December 31, 2017 were
$16.4 billion.
HPS LOAN 4-2014: S&P Assigns B-(sf) Rating on Class E-R Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class X, A1-R, A2-R,
B-R, C-R, D-R, and E-R replacement notes from HPS Loan Management
4-2014 Ltd., a collateralized loan obligation (CLO) originally
issued in August 2014 that is managed by HPS Investment Partners
CLO (US) LLC. S&P withdrew its ratings on the original class A-1,
A-2a, A-2b, B, C, D, and E notes following payment in full on the
Jan. 29, 2018, refinancing date.
On the Jan. 29, 2018, refinancing date, the proceeds from the class
X, A1-R, A2-R, B-R, C-R, D-R, and E-R replacement note issuances
were used to redeem the original class A-1, A-2a, A-2b, B, C, D,
and E notes as outlined in the transaction document provisions.
Therefore, S&P withdrew its ratings on the original notes in line
with their full redemption, and it is assigning ratings to the
replacement notes.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"The assigned ratings reflect our opinion that the credit support
available is commensurate with the associated rating levels.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take rating actions as we
deem necessary."
RATINGS ASSIGNED
HPS Loan Management 4-2014 Ltd./HPS Loan Management 4-2014 LLC
Replacement class Rating Amount (mil. $)
X AAA (sf) 5.300
A1-R AAA (sf) 313.500
A2-R AA (sf) 101.750
B-R A (sf) 30.250
C-R BBB- (sf) 34.375
D-R BB- (sf) 19.250
E-R B- (sf) 9.625
RATINGS WITHDRAWN
HPS Loan Management 4-2014 Ltd./HPS Loan Management 4-2014 LLC
Rating
Class To From
A-1 NR AAA (sf)
A-2a NR AA (sf)
A-2b NR AA (sf)
B NR A (sf)
C NR BBB (sf)
D NR BB (sf)
E NR B (sf)
NR--Not rated.
JP MORGAN 2013-C10: Fitch Affirms B Rating on Class F Notes
-----------------------------------------------------------
Fitch Ratings has affirmed 10 classes of J.P. Morgan Chase
Commercial Mortgage Securities Trust commercial mortgage
pass-through certificates, series 2013-C10.
KEY RATING DRIVERS
Increased Credit Enhancement; Paydowns: The majority of the
remaining pool continues to exhibit relatively stable performance
since issuance, with increased credit enhancement relative to
Fitch's loss expectations. As of the December 2017 remittance
reporting, the pool's aggregate principal balance has paid down by
19.2% to $1.03 billion from $1.28 billion at issuance. Since
Fitch's last rating action, six loans totaling $174 million were
prepaid prior to their scheduled loan maturities with yield
maintenance penalties or during their open period. There have been
no realized losses since issuance. Two loans (2% of current pool)
have been defeased.
Specially Serviced Loan: The Fashion Outlets of Santa Fe loan (1%),
which is secured by a 124,504 sf outlet mall property located 10
miles southwest of downtown Santa Fe, NM, transferred to special
servicing in April 2017. The borrower indicated it would be unable
to pay off the loan at the November 2017 maturity Occupancy had of
October 2017 was 74.4% but is expected to decline further to
approximately 70% when Under Armour vacates at its end of January
2018 lease expiration. The special servicer is pursuing
foreclosure, which is expected mid-2018.
Fitch Loans of Concern: Fitch has designated seven loans (11.8% of
current pool) as Fitch Loans of Concern (FLOCs), which includes
three top 20 loans (7.6%) and one specially serviced loan (1%). The
ninth largest loan, Platinum Tower (3%), reported a low NOI DSCR of
0.85x as of YTD September 2017. Occupancy has significantly
declined due to four tenants vacating at their 2017 lease
expirations, including the property's two largest tenants. A new
lease with a healthcare tenant recently commenced in January 2018,
which should help improve cash flow. The 12th largest loan, Oak
Creek Center (2.6%), matured on Jan. 1, 2018, and the borrower has
requested a payoff quote, according to the servicer.
Portfolio-level NOI in 2016 declined 18% from 2015 due to lower
occupancy from vacating tenants. Although occupancy improved to 79%
as of October 2017 from a low of 70% in March 2017, it still
remains below the 87% at issuance. The 16th largest loan, The
Villages of Wildwood III & IV (2%), reported a low NOI DSCR of
0.94x at YE 2016 due to declining occupancy since issuance.
Property-level NOI in 2016 remains 43% below underwritten levels at
issuance. The FLOCs outside of the top 20 (combined, 4.2%) were
flagged for low NOI DSCR due to underperformance or a past due loan
currently under forbearance.
High Retail Concentration: Loans secured by retail properties
represent 42.1% of the pool, including six loans in the top 15
(30.1%). Regional mall exposure consists of two top 15 loans
(combined, 18.2%): The Shops at Riverside (12.6%) located in
Hackensack, NJ and West County Center (5.6%) located in Des Peres,
MO.
Hurricane Irma Exposure: Six loans (7.7% of pool) are secured by or
have underlying exposure to properties in areas of Florida impacted
by Hurricane Irma. According to the master servicer's most recent
significant insurance event (SIE) reporting, the Discovery Tech
Center II property in Orlando (0.7%) did not sustain any damage.
The servicer is still awaiting an update from the borrowers on the
following properties: Millenia Crossing in Orlando (2.1%),
Concourse Jacksonville (2%), Alderman Plaza in Palm Harbor (1.1%),
Pine Island Road Portfolio in Plantation (1%) and 663, 665 & 667
Lincoln Road in Miami Beach (0.8%).
Amortization: The majority of the pool (37 loans; 78.1% of current
pool) is currently amortizing. One loan (4.7%) is still within its
interest-only period until February 2018. Five loans (17.2%) are
full-term interest only.
RATING SENSITIVITIES
The Negative Rating Outlook on class F reflects downgrade concerns
as a result of expected losses from the specially serviced loan and
the potential for further performance decline of the West County
Center. Rating Outlooks for classes A-4 through E remain Stable due
to the relatively stable performance of the majority of the
remaining pool and expected continued amortization. Upgrades,
although unlikely due to pool concentrations, may occur with
improved pool performance and additional paydown or defeasance.
Fitch has affirmed and revised Rating Outlooks on the following
classes as indicated:
-- $114.9 million class A-4 at 'AAAsf'; Outlook Stable;
-- $430.1 million class A-5 at 'AAAsf'; Outlook Stable;
-- $757 million class A-SB at 'AAAsf'; Outlook Stable;
-- $107.1 million class X-A* at 'AAAsf'; Outlook Stable;
-- $107.1 million class A-S at 'AAAsf'; Outlook Stable;
-- $84.7 million class B at 'AA-sf'; Outlook Stable;
-- $55.9 million class C at 'A-sf'; Outlook Stable;
-- $47.9 million class D at 'BBB-sf'; Outlook Stable;
-- $30.4 million class E at 'BBsf'; Outlook Stable;
-- $12.8 million class F at 'Bsf'; Outlook to Negative from
Stable.
*Notional amount and interest-only.
The class A-1, A-2, and A-3 certificates have paid in full. Fitch
does not rate the interest-only class X-B or class NR certificates.
KMART FUNDING: Moody's Affirms Ca Rating on Class G Notes
---------------------------------------------------------
Moody's Investors Service has affirmed the rating of Kmart Funding
Corporation Secured Lease Bonds:
Cl. G, Affirmed at Ca; previously on Jan 26, 2017 Upgraded to Ca
RATINGS RATIONALE
The rating was affirmed because the ratings are consistent with
Moody's expected loss. Class G is in default and has experienced a
$5.0 million realized loss.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
The ratings of Credit Tenant Lease (CTL) deals are primarily based
on the senior unsecured debt rating (or the corporate family
rating) of the tenants leasing the real estate collateral
supporting the bonds. Other factors that are also considered are
Moody's dark value of the collateral (value based on the property
being vacant or dark), which is used to determine a recovery rate
upon a loan's default and the rating of the residual insurance
provider, if applicable. Factors that may cause an upgrade of the
ratings include an upgrade in the rating of the corporate tenant or
significant loan paydowns or amortization which results in a lower
loan to dark value ratio. Factors that may cause a downgrade of the
ratings include a downgrade in the rating of the corporate tenant
or the residual insurance provider.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in this rating was "Moody's Approach
to Rating Credit Tenant Lease and Comparable Lease Financings"
published in October 2016.
DEAL PERFORMANCE
This credit tenant lease (CTL) transaction at origination consisted
of seven classes supported by twenty-four retail properties leased
to Kmart under fully bondable, triple net leases. In 2001, Kmart
filed voluntary petitions for reorganization under Chapter 11 of
the US Bankruptcy Code and subsequently rejected the leases for
seventeen properties secured in this transaction. Leases for three
of the properties were later assumed by other retailers and
fourteen properties were liquidated from the trust. Due to the
liquidations of properties originally occupied by Kmart, Class G
has experienced a $5.0 million realized loss. The final principal
distribution date is July 1, 2018.
MARATHON CLO XI: Moody's Assigns (P)Ba3 Rating to Class D Notes
---------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of notes to be issued by Marathon CLO XI Ltd.
Moody's rating action is as follows:
US$357,500,000 Class A-1 Senior Secured Floating Rate Notes due
2031 (the "Class A-1 Notes"), Assigned (P)Aaa (sf)
US$60,500,000 Class A-2 Senior Secured Floating Rate Notes due 2031
(the "Class A-2 Notes"), Assigned (P)Aa2 (sf)
US$30,000,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2031 (the "Class B Notes"), Assigned (P)A2 (sf)
US$35,800,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2031 (the "Class C Notes"), Assigned (P)Baa3 (sf)
US$22,000,000 Class D Secured Deferrable Floating Rate Notes due
2031 (the "Class D Notes"), Assigned (P)Ba3 (sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the
Class C Notes, and the Class D Notes are referred to herein,
collectively, as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
RATINGS RATIONALE
Moody's provisional ratings of the Rated Notes address the expected
losses posed to noteholders. The provisional ratings reflect the
risks due to defaults on the underlying portfolio of assets, the
transaction's legal structure, and the characteristics of the
underlying assets.
Marathon CLO XI 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 and unsecured loans.
Moody's expect the portfolio to be approximately 100% ramped on a
trade date basis as of the closing date.
Marathon Asset Management, L.P. (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue one class of
subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $550,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2900
Weighted Average Spread (WAS): 3.50%
Weighted Average Coupon (WAC): 5.50%
Weighted Average Recovery Rate (WARR): 47.5%
Weighted Average Life (WAL): 9 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2900 to 3335)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -2
Class B Notes: -2
Class C Notes: -1
Class D Notes: 0
Percentage Change in WARF -- increase of 30% (from 2900 to 3770)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -3
Class B Notes: -4
Class C Notes: -2
Class D Notes: -1
MARYLAND TRUST 2006-1: Moody's Lowers Ser. A Certs. Rating to B3
----------------------------------------------------------------
Moody's Investors Service has downgraded the Series A Investor
Certificates (certificates) from Maryland Trust 2006-1, a
securitization of a small pool of insurance policies (primarily
life insurance policies, single premium life annuities and
supplemental policies).
The complete rating action is:
Issuer: Maryland Trust 2006-1
Ser. A, Downgraded to B3 (sf); previously on Dec 6, 2017 Downgraded
to Ba3 (sf) and Remained On Review for Possible Downgrade
RATINGS RATIONALE
Moody's took negative rating action on Maryland Trust 2006-1
because the transaction did not have sufficient cash flow to pay
the Series A Additional Monthly Income Distribution on the January
2018 Distribution Date, due to insurance premiums increasing over
time and the priority of premium payments over the Series A
Additional Monthly Income Distribution. As a result, the shortfall
has been accrued to the outstanding certificate balance which
increased from $40,090,000 to $40,244,146. This will likely result
in future principal loss to investors.
The transaction was structured with a Liquidity Reserve Account
that can be used to pay for shortfalls of certain items in the
priority of payments. It has been used to make timely Series A
Additional Monthly Income Distribution payments to the
certificates, until the January 2018 distribution period when the
account balance was almost completely depleted. Based on recent
trust cash flows Moody's expect shortfalls in the Series A
Additional Monthly Income Distribution to investors to continue and
to be added to the certificate balance, most likely causing
additional loss to investors over time.
The transaction is also structured with a Premium Reserve Account
to help pay for the increasing insurance premiums. However, should
the Premium Reserve Account be depleted and not be sufficient to
absorb continuing increases in premiums, some of the Life Insurance
Policies in the pool may lapse due to failure to pay the full
amount of the premiums required to keep them in force. The
likelihood of policy lapses depends on the longevity of the
insured, and the amount of Annuity Payment and Life Insurance
Policy account balances available to cover costs. Lapse of a Life
Insurance Policy in the pool would result in further loss to the
certificates.
The principal methodology used in this rating was "Moody's Approach
to Monitoring Life Insurance ABS" published in January 2015.
Factors that would lead to an upgrade or downgrade of the rating:
Change in mortality or lapse risk as well as change in the
insurance financial strength ratings of the life insurance,
annuity, annuity guaranty, or gap policy providers.
MASTR ALTERNATIVE 2003-2: Moody's Lowers Cl. B-3 Debt Rating to C
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of two bonds,
and confirmed the rating of one interest-only (IO) bond from MASTR
Alternative Loan Trust 2003-2. The action resolves the review of
the IO bond, Class 6-A-IO, which was among those placed on review
on 15 August 2017 in connection with a correction of errors in
Moody's earlier analysis of certain RMBS IO bonds.
Complete rating actions are:
Issuer: MASTR Alternative Loan Trust 2003-2
Cl. B-2, Downgraded to Ca (sf); previously on Apr 26, 2012
Downgraded to Caa2 (sf)
Cl. B-3, Downgraded to C (sf); previously on Feb 28, 2011
Downgraded to Ca (sf)
Cl. 6-A-IO, Confirmed at B3 (sf); previously on Aug 15, 2017 B3
(sf) Placed Under Review Direction Uncertain
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 weaker performance of the underlying
collateral and the erosion of enhancement available to the bonds.
The action resolves the review of Class 6-A-IO, an IO bond which
was placed on review in connection with data input errors in prior
analysis. The prior analysis used an incorrect expected loss for
the referenced pool; this has been corrected, and updated expected
loss data has been used in connection with action.
A reassessment of the linkages captured in Moody's internal
database for the Class 6-A-IO bond was also completed. The factors
that Moody's considers in rating an IO bond depend on the type of
referenced securities or assets to which the IO bond is linked.
Class 6-A-IO is a pool IO that references a portion of the
aggregate collateral pool (a "sub-pool"), and the sub-pool amounts
to 75% or more of the entire collateral pool. As a result, Moody's
have treated this IO bond as linked to the entire pool. Following
the linkage reassessment, Moody's determined that the rating of
Class 6-A-IO correctly reflects the linkage of the bond to its
referenced pool. The rating confirmation on Class 6-A-IO reflects
the correction of the prior input error, the updated loss
expectation on the referenced pool, and the linkage reassessment.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017. The
methodologies used in rating Cl. 6-A-IO 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 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.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds and/or pools.
MERRILL LYNCH 2002-CAN8: Moody's Affirms Ba3 Ratings on 2 Tranches
------------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class and
affirmed the ratings on two classes in Merrill Lynch Financial
Assets Inc. Commercial Mortgage Pass-Through Certificates, Series
2002-Canada 8 as follows:
Cl. K, Upgraded to Aaa (sf); previously on Mar 24, 2017 Upgraded to
Aa1 (sf)
Cl. X-1, Affirmed Ba3 (sf); previously on Mar 24, 2017 Affirmed Ba3
(sf)
Cl. X-2, Affirmed Ba3 (sf); previously on Mar 24, 2017 Affirmed Ba3
(sf)
RATINGS RATIONALE
The ratings on the IO classes X-1 and X-2 were affirmed based on
the credit quality of the referenced classes.
The rating on the P&I class K were upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 27% since Moody's last
review.
Moody's rating action reflects a base expected loss of 0.2% of the
current balance, compared to 0.0% at Moody's last review. Moody's
anticipates minimal 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 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 and Cl. X-2 were "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 January 12, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $9.0 million
from $468.3 million at securitization. The certificates are
collateralized by 15 mortgage loans ranging in size from less than
1% to 20% of the pool, with the top ten loans (excluding
defeasance) constituting 77% of the pool. Four loans, constituting
23% of the pool, have defeased and are secured by Canadian
government securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 6, the same as at Moody's last review
One loan, constituting 8% 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.
No loans have been liquidated from the pool and there are currently
no loans in special servicing.
Moody's received full year 2016 operating results for 82% of the
pool, and full or partial year 2017 operating results for 0% of the
pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 14%, compared to 19% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 12% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.5%.
Moody's actual and stressed conduit DSCRs are 1.81X and 10.27X,
respectively, compared to 1.73X and 7.29X 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 49% of the pool balance.
Edmonton Industrial Portfolio Loan (Prospectus IDs: 29 and 44)
($1.8 million -- 20.2% of the pool), which is secured by two
cross-collateralized and cross-defaulted industrial properties
located in Edmonton, Alberta. The properties total over 183,000
square feet (SF) and are 100% leased to the sole tenant Purolator.
The tenant's leases both expire in March 2020. The loan is fully
amortizing and is full recourse to the sponsor. Due to the single
tenant exposure, Moody's stressed the value of this property
utilizing a lit/dark analysis. Moody's LTV and stressed DSCR are
16% and >4.00X, respectively, compared to 21% and >4.00X at
the last review.
The second largest loan is the CLA-ASC-741024 Loan (Prospectus ID:
23) ($1.3 million -- 14.7% of the pool), which is secured by a
73,550 SF anchored retail/office strip center located in Ancaster,
Ontario. The property was 100% leased as of March 2016, compared to
92% in March 2015. Performance dropped as base rent decreased and
expenses remained relatively flat; however, performance is expected
to rebound as a number of tenants signed leases in 2015. The loan
is fully amortizing and is recourse to the borrower. Moody's LTV
and stressed DSCR are 11% and >4.00X, respectively, compared to
15% and >4.00X at the last review.
The third largest loan is the CLA-MFAM-758861 Loan (Prospectus ID:
39) ($1.3 million -- 13.9% of the pool), which is secured by a
88-unit multifamily property located in Toronto, Ontario. As of
December 2015, the property was 100% leased, unchanged from the
prior year. Moody's LTV and stressed DSCR are 18% and >4.00X,
respectively, compared to 26% and 3.97X at the last review.
MORGAN STANLEY 2004-IQ8: Fitch Hikes Class H Certs Rating to Bsf
----------------------------------------------------------------
Fitch Ratings has upgraded two and affirmed six classes of Morgan
Stanley Capital I Trust, Commercial Mortgage Trust Pass-Through
Certificates series 2004-IQ8 (MSCI 2004-IQ8).
KEY RATING DRIVERS
Low Leverage; Increased Credit Enhancement: The upgrades reflect
the majority of the remaining pool consisting of fully amortizing,
low leverage loans and the increased credit enhancement due to four
loan repayments and continued amortization since Fitch's last
rating action. The overall weighted-average stressed leverage for
the remaining loans in the pool is less than 25%. Further upgrades
were not warranted given the increasing pool concentration.
Strong Amortization: 19 loans (73% of pool) are fully amortizing
loans.
Concentrated Pool: The pool is highly concentrated with only 20 of
the original 100 loans remaining. Due to the concentrated nature of
the pool, Fitch performed a sensitivity analysis, which grouped the
remaining loans based on loan structural features, collateral
quality and performance and ranked them by their perceived
likelihood of repayment. The ratings reflect this sensitivity
analysis. Nine loans (42.5%) are secured by properties leased to
single tenants.
Fitch Loans of Concern: Five loans (16.3% of pool) have been
designated as Fitch Loans of Concern (FLOCs). With the exception of
the Meridian Office Building (5.1%), the other four FLOCs (11.2%)
were flagged primarily for near-term lease rollover concerns, but
are fully amortizing and have low leverage.
The largest contributor to Fitch's loss expectations is the
Meridian Office Building loan (5.1%), which is secured by a 30,582
square foot office building located in Tempe, AZ. The loan, which
has remained current since issuance, has reported debt service
coverage ratio (DSCR) below 1.0x since 2008. The property has
underperformed over the last several years due to tenant rollover
and high market vacancies. Year-end (YE) 2016 net operating income
DSCR was 0.56x. Occupancy as of YE 2016 was 80.1%, compared to
84.1% at YE 2015.
Hurricane Exposure: The Walgreens located in Spring, TX (1.5% of
pool) is located in an area impacted by Hurricane Harvey. According
to the master servicer's most recent significant insurance event
reporting, the servicer has contacted the borrower and is still
awaiting a response, however, the Walgreens is open for business.
Loan Maturities: 12 loans (43.3% of pool) mature in 2019, six loans
(40.1%) in 2024, one loan (8.5%) in 2028 and one loan (8.2%) in
2029.
As of the January 2018 distribution date, the pool's aggregate
principal balance has been reduced by 97.6% to $18.5 million from
$759.2 million at issuance. There have been $15.3 million (2% of
original pool balance) in realized losses to date. Cumulative
interest shortfalls of $1 million are currently affecting classes J
through O.
RATING SENSITIVITIES
The Stable Outlooks for classes F, G and H reflect increased credit
enhancement and expected continued amortization. Further upgrades
are not expected due to increasing pool concentration. Downgrades,
although unlikely, could occur if pool performance declines
significantly.
Fitch has upgraded and assigned Rating Outlooks for the following
classes:
-- $6.6 million class G to 'Asf' from 'BBBsf'; Outlook Stable;
-- $5.7 million class H to 'Bsf' from 'CCCsf'; assigned Stable
Outlook.
In addition, Fitch has affirmed the following classes:
-- $4.3 million class F at 'AAAsf'; Outlook Stable;
-- $1.8 million class J at 'Dsf'; RE 35%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-4, A-5, A-J, B, C, D, and E certificates
have paid in full. Fitch does not rate the class O certificates.
Fitch had previously withdrawn the ratings on the interest-only
class X-1 and X-2 certificates.
MORGAN STANLEY 2004-TOP15: Moody's Hikes Class H Debt Rating to B2
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on three classes
and affirmed the ratings on three in Morgan Stanley Capital I Trust
2004-TOP15, Commercial Mortgage Pass-Through Certificates, Series
2004-TOP15:
Cl. E, Affirmed Aaa (sf); previously on Feb 9, 2017 Affirmed Aaa
(sf)
Cl. F, Upgraded to Aa2 (sf); previously on Feb 9, 2017 Upgraded to
A1 (sf)
Cl. G, Upgraded to Baa2 (sf); previously on Feb 9, 2017 Upgraded to
Ba1 (sf)
Cl. H, Upgraded to B2 (sf); previously on Feb 9, 2017 Upgraded to
B3 (sf)
Cl. J, Affirmed C (sf); previously on Feb 9, 2017 Affirmed C (sf)
Cl. X-1, Affirmed Ca (sf); previously on Jun 9, 2017 Downgraded to
Ca (sf)
RATINGS RATIONALE
The ratings on the P&I classes, F, G, and H, were upgraded based
primarily on an increase in credit support resulting from loan
paydowns and amortization. The deal has paid down 19% since Moody's
last review.
The rating on the P&I class E 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 on the P&I class J was affirmed because the ratings are
consistent with Moody's expected loss.
The rating on the IO class X-1 was affirmed based on the credit
quality of the referenced classes.
Moody's rating action reflects a base expected loss of 0.9% of the
current pooled balance, compared to 1.0% at Moody's last review.
Moody's base expected loss plus realized losses is now 1.6% of the
original pooled balance, unchanged from the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in these ratings were "Approach to Rating US
and Canadian Conduit/Fusion CMBS" published in July 2017 and
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in July 2017. The methodologies used in
rating Cl. X-1 were "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 January 16, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $22.9 million
from $889.8 million at securitization. The certificates are
collateralized by 20 mortgage loans ranging in size from less than
1% to 12% of the pool, with the top ten loans (excluding
defeasance) constituting 81% of the pool. Five loans, constituting
9.0% 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 11, compared to 12 at Moody's last review.
Three loans, constituting 9.8% 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.
Ten loans have been liquidated from the pool, resulting in an
aggregate realized loss of $14.1 million (for an average loss
severity of 20%). There are no loans currently in special
servicing.
Moody's received full year 2016 operating results for 93% of the
pool, and partial year 2017 operating results for 60% of the pool
(excluding specially serviced and defeased loans). Moody's weighted
average conduit LTV is 33%, compared to 38% 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 14% to the most recently available net operating
income (NOI). Moody's value reflects a weighted average
capitalization rate of 9.4%.
Moody's actual and stressed conduit DSCRs are 1.56X and 4.67X,
respectively, compared to 1.53X and 3.82X 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 33.5% of the pool balance.
The largest loan is the Elkhorn Plaza Shopping Center Loan ($2.8
million -- 12.3% of the pool), which is secured by a grocery
shadow-anchored shopping center located in Sacramento, California.
The loan is fully amortizing and matures in June 2024. The loan has
amortized approximately 53% since securitization. As of November
2017, the collateral was 81% leased, unchanged from the prior year.
Approximatley 75% of the property's net rentable area leases roll
by 2020. Moody's LTV and stressed DSCR are 50% and 1.95X,
respectively, compared to 56% and 1.75X at the last review.
The second largest loan is the Braeswood Shopping Center Loan ($2.6
million -- 11.3% of the pool), which is secured by a neighborhood
shopping center located in Houston, Texas. The loan is fully
amortizing and matures in June 2024. The loan has amortized
approximately 55% since securitization. The property is located
near Texas Medical Center, one of the largest medical complexes in
the world. As of October 2017, the property was 74% leased,
unchanged from September 2016, and 88% in June 2015. Financial
performance has remained steady over the past couple of years.
Moody's LTV and stressed DSCR are 21% and 4.95X, respectively,
compared to 23% and 4.41X at the last review.
The third largest loan is the Del Monte Plaza Loan ($2.2 million --
9.8% of the pool), which is secured by a neighborhood shopping
center located in Reno, Nevada. The property is shadow anchored by
a Whole Foods Market and less than 0.5 miles from Meadowood Mall.
The loan is fully amortizing and matures in March 2024. The loan
has amortized approximately 56% since securitization. Moody's LTV
and stressed DSCR are 32% and 3.07X, respectively, compared to 35%
and 2.80X at the last review.
MORGAN STANLEY 2005-TOP19: Fitch Affirms CCC Rating on Cl. K Certs
------------------------------------------------------------------
Fitch Ratings has upgraded one and affirmed 12 classes of Morgan
Stanley Capital I Trust (MSCI) commercial mortgage pass-through
certificates, series 2005-TOP19.
KEY RATING DRIVERS
High Credit Enhancement; Upgrade Limited due to Concentration: The
upgrade and affirmations reflect the increased credit enhancement
from the defeasance of the seventh largest loan (8.3% of the
current pool) and continued amortization of the pool, as well as
the stable performance of the remaining collateral. Further
upgrades are not warranted given the pool's concentration of
single-tenant and retail loans in secondary and tertiary markets
and loans with longer-term maturities.
Concentrated Pool: The pool is highly concentrated with only 17 of
the original 157 loans remaining. Six loans (41.3% of the pool) are
currently defeased. Two loans (8.1%) are in special servicing. Of
the other nine loans, five (21.4%) are secured by retail properties
in secondary and tertiary markets with some tenant rollover
concerns. Two loans (18.2%) are secured by multi-family properties
in the Albany, New York MSA. One loan (9.4%) is secured by a
portfolio of industrial boatyards and one loan (1.6%) is secured by
a single-tenant office building. Due to the concentrated nature of
the pool, Fitch performed a sensitivity analysis which grouped the
remaining loans based on loan structural features, collateral
quality and performance and ranked them by their perceived
likelihood of repayment.
Specially Serviced Loans: Two loans (8.3% of the pool) are
currently real estate owned (REO) and losses are expected.
The Sportmart Crystal Lake (4.4%) is secured by a 52,599 square
foot (sf) single-tenant retail property in Crystal Lake, IL. The
loan was transferred to special servicing in May 2015 due to
maturity balloon default. An 18-month maturity extension was
initially set to be approved but was not granted when the sole
tenant at the property, Sports Authority, declared bankruptcy in
March 2016. The property remains vacant since August 2015, though
Sports Authority did pay rent through February 2016, and became REO
in July 2016. The property was previously under contract twice in
the first half of 2017 but was terminated by the purchaser in both
March and July of 2017. Per servicer reporting, they are currently
negotiating offers.
Parkway Plaza Shopping Center (3.7%) is secured by a 75,300 sf
neighborhood retail center in Idaho Falls, ID. The loan was
transferred to special servicing in November 2013 due to
non-monetary default and the property has been REO since November
2015. The property has seen significant improvements in its
occupancy (81% as of November 2017) with the recent addition of
tenant Planet Fitness in the 41,711 square foot anchor space (55.5%
of NRA). Planet Fitness opened in December 2017 and has a lease
expiration in February 2028. Per servicer reporting, the property
is under contract with an anticipated closing in the first quarter
of 2018.
Maturity and Amortization Schedule: All of the 15 non-specially
serviced loans remaining in the pool (91.9% of the pool) are
amortizing with seven (20.4%) fully amortizing. Loan maturities are
long dated with 78.8% of the pool maturing in 2020 and 13.1% in
2025.
As of the January 2018 remittance report, the pool has been reduced
by 91.9% to $99.4 million from $1.2 billion at issuance. Fitch
modelled 1.4% in losses out of the original pool balance including
$11.8 million (0.96%) incurred. Cumulative interest shortfalls in
the amount of $870,628 are currently affecting classes L through
P.
RATING SENSITIVITIES
The Stable Outlooks on classes B through K reflect sufficient
credit enhancement to the classes relative to expected losses.
Future upgrades are possible with timely loan dispositions and
workout resolutions. Downgrades are possible if pool performance
deteriorates or loans default at maturity.
Fitch has upgraded the following class:
-- $9.2 million class F to 'BBBsf' from 'BBsf'; Outlook Stable.
Fitch has affirmed the following classes:
-- $12.97 million class B at 'AAAsf'; Outlook Stable;
-- $12.3 million class C at 'AAAsf'; Outlook Stable;
-- $15.4 million class D at 'AAAsf'; Outlook Stable;
-- $12.3 million class E at 'BBBsf'; Outlook Stable;
-- $9.2 million class G at 'BBsf'; Outlook Stable;
-- $10.7 million class H at 'Bsf'; Outlook Stable;
-- $3.1 million class J at 'Bsf'; Outlook Stable;
-- $3.1 million class K at 'CCCsf'; RE 100%;
-- $6.1 million class L at 'CCsf'; RE 60%;
-- $1.5 million class M at 'Csf'; RE 0%;
-- $3.1 million class N at 'Csf'; RE 0%;
-- $453,904 class O at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-AB, A-4A, A-4B, and A-J certificates
have paid in full. Fitch does not rate the class P certificates.
Fitch previously withdrew the rating on the interest-only class X-1
and X-2 certificates.
MOUNTAIN VIEW X: S&P Affirms B-(sf) Rating on Class F Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
and D-R replacement notes from Mountain View CLO X Ltd., a
collateralized loan obligation (CLO) originally issued in 2015 that
is managed by Seix Investment Advisors LLC. S&P said, "We withdrew
our ratings on the original class A-1, A-2, B-1, B-2, C, and D
notes, and the class A-2 loans following payment in full on the
Jan. 30, 2018, refinancing date. At the same time, we affirmed our
ratings on the class E and F notes."
On the Jan. 30, 2018, refinancing date, the proceeds from the class
A-R, B-R, C-R, and D-R replacement note issuances were used to
redeem the original class A-1, A-2, B-1, B-2, C, and D notes, and
the class A-2 loans as outlined in the transaction document
provisions. Therefore, S&P withdrew its ratings on the original
notes in line with their full redemption, and it is assigning
ratings to the replacement notes.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"The assigned ratings reflect our opinion that the credit support
available is commensurate with the associated rating levels.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take rating actions as we
deem necessary."
RATINGS ASSIGNED
Mountain View CLO X Ltd.
Replacement class Rating Amount (mil $)
A-R AAA (sf) 250.0
B-R AA (sf) 50.0
C-R A (sf) 25.5
D-R BBB (sf) 24.5
RATINGS AFFIRMED
Mountain View CLO X Ltd.
Class Rating
E BB (sf)
F B- (sf)
RATINGS WITHDRAWN
Mountain View CLO X Ltd.
Rating
Original class To From
A-1 NR AAA (sf)
A-2 loans NR AAA (sf)
A-2 notes NR AAA (sf)
B-1 NR AA (sf)
B-2 NR AA (sf)
C NR A (sf)
D NR BBB (sf)
NR--Not rated.
NATIXIS COMMERCIAL 2018-285M: S&P Gives B- Rating on Class F Certs
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Natixis Commercial
Mortgage Securities Trust 2018-285M's $235.0 million commercial
mortgage pass-through certificates series 2018-285M.
The issuance is a commercial mortgage-backed securities transaction
backed by a five-year, fixed-rate commercial mortgage loan totaling
$235.0 million, secured by a first lien on the borrower's fee
interest in 285 Madison Avenue, a 27-story office building totaling
511,208 sq. ft. located within Midtown Manhattan's Grand Central
office submarket.
The ratings reflect S&P's view of the collateral's historical and
projected performance, the sponsor's and manager's experience, the
trustee-provided liquidity, the loan's terms, and the transaction's
structure.
RATINGS ASSIGNED
Natixis Commercial Mortgage Securities Trust 2018-285M
Class Rating(i) Amount ($)
A AAA (sf) 105,270,000
B AA- (sf) 26,320,000
C A- (sf) 19,740,000
D BBB- (sf) 24,220,000
E BB- (sf) 32,890,000
F B- (sf) 26,560,000
(i)The certificates will be issued to qualified institutional
buyers according to Rule 144A of the Securities Act of 1933.
NEW RESIDENTIAL 2018-1: S&P Assigns B Ratings on 10 Tranches
------------------------------------------------------------
S&P Global Ratings assigned its ratings to New Residential Mortgage
Loan Trust 2018-1's $655.298 million residential mortgage-backed
notes.
The note issuance is a residential mortgage-backed securities
transaction backed by highly seasoned, prime and nonprime
first-lien, fully amortizing and balloon, fixed-rate,
adjustable-rate, and step-rate residential mortgage loans secured
primarily by one-to four-family residential properties,
condominiums, townhouses, manufactured homes, cooperatives, and
planned unit developments.
The ratings reflect:
-- The credit enhancement provided, as well as the associated
structural transaction mechanics;
-- The pool's collateral composition, which consists of highly
seasoned, prime and nonprime, fully amortizing and balloon,
fixed-rate, step-rate, and adjustable-rate mortgages;
-- The representation and warranty framework; and
-- The ability and willingness of key transaction parties to
perform their contractual obligations and the likelihood that the
parties could be replaced if needed.
RATINGS ASSIGNED
New Residential Mortgage Loan Trust 2018-1
Class Rating Amount (mil. $)(i)
A-1 AAA (sf) 527,742,000
A-IO AAA (sf) 527,742,000(ii)
A-1A AAA (sf) 527,742,000
A-1B AAA (sf) 527,742,000
A-1C AAA (sf) 527,742,000
A1-IOA AAA (sf) 527,742,000(ii)
A1-IOB AAA (sf) 527,742,000(ii)
A1-IOC AAA (sf) 527,742,000(ii)
A-2 AA (sf) 561,734,000
A AAA (sf) 527,742,000
X NR 23,503,498(ii)
B-1 AA (sf) 33,992,000
B1-IO AA (sf) 33,992,000(ii)
B-1A AA (sf) 33,992,000
B-1B AA (sf) 33,992,000
B-1C AA (sf) 33,992,000
B-1D AA (sf) 33,992,000
B1-IOA AA (sf) 33,992,000(ii)
B1-IOB AA (sf) 33,992,000(ii)
B1-IOC AA (sf) 33,992,000(ii)
B-2 A (sf) 28,034,000
B2-IO A (sf) 28,034,000(ii)
B-2A A (sf) 28,034,000
B-2B A (sf) 28,034,000
B-2C A (sf) 28,034,000
B-2D A (sf) 28,034,000
B2-IOA A (sf) 28,034,000(ii)
B2-IOB A (sf) 28,034,000(ii)
B2-IOC A (sf) 28,034,000(ii)
B-3 BBB+ (sf) 26,983,000
B3-IO BBB+ (sf) 26,983,000(ii)
B-3A BBB+ (sf) 26,983,000
B-3B BBB+ (sf) 26,983,000
B-3C BBB+ (sf) 26,983,000
B-3D BBB+ (sf) 26,983,000
B3-IOA BBB+ (sf) 26,983,000(ii)
B3-IOB BBB+ (sf) 26,983,000(ii)
B3-IOC BBB+ (sf) 26,983,000(ii)
B-4 BB+ (sf) 19,274,000
B-4A BB+ (sf) 19,274,000
B-4B BB+ (sf) 19,274,000
B-4C BB+ (sf) 19,274,000
B4-IOA BB+ (sf) 19,274,000(ii)
B4-IOB BB+ (sf) 19,274,000(ii)
B4-IOC BB+ (sf) 19,274,000(ii)
B-5 B (sf) 19,273,000
B-5A B (sf) 19,273,000
B-5B B (sf) 19,273,000
B-5C B (sf) 19,273,000
B-5D B (sf) 19,273,000
B5-IOA B (sf) 19,273,000(ii)
B5-IOB B (sf) 19,273,000(ii)
B5-IOC B (sf) 19,273,000(ii)
B5-IOD B (sf) 19,273,000(ii)
B-6 NR 45,555,694
B-7 B (sf) 38,547,000
B-8 NR 64,828,694
B-9 NR 84,102,694
B NR 173,111,694
FB NR 25,677,374
R NR 0
(i)The note amounts are based on the aggregate stated principal
balance of the mortgage loans as of the cut-off date.
(ii)Notional amount.
NR--Not rated.
OZLM LTD XXI: Moody's Assigns Ba3(sf) Rating to Class D Notes
-------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued OZLM XXI, Ltd.
Moody's rating action is as follows:
US$320,000,000 Class A-1 Senior Secured Floating Rate Notes due
2031 (the "Class A-1 Notes"), Assigned Aaa (sf)
US$54,500,000 Class A-2 Senior Secured Floating Rate Notes due 2031
(the "Class A-2 Notes"), Assigned Aa2 (sf)
US$27,500,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2031 (the "Class B Notes"), Assigned A2 (sf)
US$35,500,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2031 (the "Class C Notes"), Assigned Baa3 (sf)
US$22,500,000 Class D Secured Deferrable Floating Rate Notes due
2031 (the "Class D Notes"), Assigned Ba3 (sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the
Class C Notes and the Class D Notes are referred to herein,
collectively, as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
OZLM XXI is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90.0% of the portfolio must consist of
first lien senior secured loans and eligible investments, and up to
10.0% of the portfolio may consist of second lien loans and
unsecured loans. The portfolio is approximately 95% ramped as of
the closing date.
OZ CLO Management LLC (the "Manager") will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's five year reinvestment period.
Thereafter, the Manager may reinvest unscheduled principal payments
and proceeds from sales of credit risk assets, subject to certain
restrictions.
In addition to the Rated Notes, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2850
Weighted Average Spread (WAS): 3.50%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 45.75%
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 2850 to 3278)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -2
Class B Notes: -2
Class C Notes: -1
Class D Notes: 0
Percentage Change in WARF -- increase of 30% (from 2850 to 3705)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -3
Class B Notes: -4
Class C Notes: -2
Class D Notes: -1
RR LTD 3: S&P Assigns BB-(sf) Rating on Class D-R2 Notes
--------------------------------------------------------
S&P Global Ratings assigned its ratings to RR 3 Ltd./RR 3 LLC's
(fka ALM XIV Ltd./ALM XIV LLC) $1.364 billion floating-rate notes.
The note issuance is collateralized loan obligation (CLO)
transaction backed primarily by broadly syndicated
speculative-grade senior secured term loans governed by collateral
quality tests. The transaction is the second refinancing of ALM XIV
Ltd. issued in July 2014, which S&P Global Ratings did not
initially rate. The management contract will transfer from Apollo
Credit Management (CLO) LLC to Redding Ridge Asset Management LLC
via assignment agreement. The name of the transaction was changed
to RR 3 Ltd./RR 3 LLC on the closing date.
The ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
RR 3 Ltd./RR 3 LLC (f/k/a ALM XIV Ltd./ALM XIV LLC)
(Refinancing And Extension)
Class Rating Amount
(mil. $)
A-1-R2 AAA (sf) 916.00
A-2-R2 AA (sf) 155.00
B-R2 (deferrable) A (sf) 150.00
C-R2 (deferrable) BBB- (sf) 75.00
D-R2 (deferrable) BB- (sf) 68.00
Preferred shares NR 192.95
NR--Not rated.
SEQUOIA MORTGAGE 2018-2: Moody's Assigns Ba3 Rating to B-4 Certs
----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
classes of residential mortgage-backed securities (RMBS) issued by
Sequoia Mortgage Trust (SEMT) 2018-2. The certificates are backed
by one pool of prime quality, first-lien mortgage loans, including
164 agency-eligible high balance mortgage loans. The assets of the
trust consist of 713 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 Mortgage Servicing
(92.21%), First Republic Bank (3.81%), Homestreet Bank (2.92%), and
PHH Mortgage Corporation (1.06%).
The complete rating actions are as follows:
Issuer: Sequoia Mortgage Trust 2018-2
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-5, Definitive Rating Assigned Aaa (sf)
Cl. A-6, Definitive Rating Assigned Aaa (sf)
Cl. A-7, Definitive Rating Assigned Aaa (sf)
Cl. A-8, Definitive Rating Assigned Aaa (sf)
Cl. A-9, Definitive Rating Assigned Aaa (sf)
Cl. A-10, Definitive Rating Assigned Aaa (sf)
Cl. A-11, Definitive Rating Assigned Aaa (sf)
Cl. A-12, Definitive Rating Assigned Aaa (sf)
Cl. A-13, Definitive Rating Assigned Aaa (sf)
Cl. A-14, Definitive Rating Assigned Aaa (sf)
Cl. A-15, Definitive Rating Assigned Aaa (sf)
Cl. A-16, Definitive Rating Assigned Aaa (sf)
Cl. A-17, Definitive Rating Assigned Aaa (sf)
Cl. A-18, Definitive Rating Assigned Aaa (sf)
Cl. A-19, Definitive Rating Assigned Aa1 (sf)
Cl. A-20, Definitive Rating Assigned Aa1 (sf)
Cl. A-21, Definitive Rating Assigned Aa1 (sf)
Cl. A-22, Definitive Rating Assigned Aaa (sf)
Cl. A-23, Definitive Rating Assigned Aaa (sf)
Cl. A-24, Definitive Rating Assigned Aaa (sf)
Cl. B-1, Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Definitive Rating Assigned A3 (sf)
Cl. B-3, Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Definitive Rating Assigned Ba3 (sf)
RATINGS RATIONALE
Summary Credit Analysis
Moody's expected cumulative net loss on the aggregate pool is 0.30%
in a base scenario and reaches 3.50% 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 713 first lien
residential mortgage loans, with an aggregate unpaid principal
balance of $ 459,409,103. There are 158 originators in this pool,
including United Shore Financial Services (14.81%). 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 ranged 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.
Moody's 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 eight 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.
SLM STUDENT 2003-1: Fitch Lowers Class B Debt Rating to 'BBsf'
--------------------------------------------------------------
Fitch Ratings has downgraded the following classes of SLM Student
Loan Trust 2003-1:
-- Class A-5A to 'BBsf' from 'Asf'; Outlook Stable;
-- Class A-5B to 'BBsf' from 'Asf'; Outlook Stable;
-- Class A-5C to 'BBsf' from 'Asf'; Outlook Stable;
-- Class B to 'BBsf' from 'Asf'; Outlook Stable.
The downgrade of the senior notes is mainly driven by a decrease in
the weighted average remaining term that is slower than Fitch's
expectations. With 100.55% total parity and the release of excess
cash, the final payoff of the bonds will be closely tied with the
last paying loans of the trust.
Extension of the receivable pool's loan terms further exacerbates
the tail-end maturity risk, causing the class A notes to miss their
legal final maturity date under Fitch's 'Bsf' maturity stress
scenarios. This technical default of class A notes would result in
interest payments being diverted away from class B notes, which
would cause those notes to default as well.
Although the notes fail Fitch's 'Bsf' maturity stress scenarios,
the notes have a long time horizon to their legal final maturity
date and are paid in full shortly after their maturity date without
principal or interest shortfalls under Fitch's 'Bsf' maturity
stress scenarios. Due to these mitigating factors, Fitch downgrades
the notes to 'BBsf', as a slight change in the future economic
environment could result in full repayment of bonds by maturity
dates.
In addition, 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 19.25% and
a 57.75% default rate under the 'AAA' credit stress scenario. Fitch
assumes a sustainable constant default rate of 2.9%, and a constant
prepayment rate of 10% is used as the sustainable rate in cash flow
modeling. 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 4.2%, 10.9%, and 23.9%, respectively, and are
used as the starting point in cash flow modeling. Subsequent
declines or increases are modeled as per criteria. The borrower
benefit is assumed to be approximately 0.03%, 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. 100% of the student loans
are indexed to one-month LIBOR. Fitch applies its standard basis
and interest rate stresses to this transaction as per criteria.
Payment Structure: Credit enhancement (CE) is provided by excess
spread, overcollateralization, and for the class A notes,
subordination. As of November 2017, total and senior effective
parity ratio (including the reserve) are 100.55% (0.55% CE) and
105.5% (5.21% CE), respectively. Liquidity support is provided by a
reserve sized at 0.25% of the pool balance, currently equal to the
floor of $3,083,057. Excess cash will continue to be released as
long as 100% parity is maintained.
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 'Asf'; class B 'Asf';
-- IBR Usage decrease 50%: class A 'CCCsf'; class B 'CCCsf';
-- IBR Usage increase 100%: class A 'CCCsf'; class B 'CCCsf'.
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.
SOUND POINT II: S&P Assigns B-(sf) Rating on Class B3-R Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A1-R, A2-R,
A3-R, B1-R, B2-R, and B3-R replacement notes from Sound Point CLO
II Ltd., a collateralized loan obligation (CLO) originally issued
in March 2013 that is managed by Sound Point Capital Management
L.P. S&P withdrew its ratings on the original class A-1L, A-1F,
A-2L, A-2F, A-3L, B-1L, B-2L, and B-3L notes following payment in
full on the Jan. 26, 2018, refinancing date.
On the Jan. 26, 2018, refinancing date, the proceeds from the
replacement class A1-R, A2-R, A3-R, B1-R, B2-R, and B3-R notes
issuances were used to redeem the original class A-1L, A-1F, A-2L,
A-2F, A-3L, B-1L, B-2L, and B-3L notes as outlined in the
transaction document provisions. Therefore, S&P withdrew its
ratings on the original notes in line with their full redemption,
and it is assigning ratings to the replacement notes.
The replacement notes are being issued via an amended and restated
indenture, which, in addition to outlining the terms of the
replacement notes, will also:
-- Increase the rated par amount and effective date target par
amount to $517.00 million and $550.00 million, respectively, from
$357.50 million and $378.74 million, respectively. Given that the
transaction was in its amortization period, the current portfolio
had approximately $255.97 million in assets. The proceeds from the
replacement note issuance and additional subordinated notes added
$294.03 million in par to purchase additional assets. Therefore,
the transaction has an additional ramp-up period and subsequent
effective date, expected to be on or before March 29, 2018. The
first payment date following the Jan. 26, 2018, refinancing date is
April 26, 2018.
-- Extend the reinvestment period to Jan. 26, 2023, from April 26,
2017.
-- Extend the non-call period to Jan. 26, 2020, from April 26,
2015.
-- Extend the weighted average life test to Jan. 26, 2027, from
eight years measured from the original closing date, March 28,
2013.
-- Extend the legal final maturity date on the rated and
subordinated notes to Jan. 26, 2031, from April 26, 2025.
-- Issue additional subordinated notes, increasing their total
balance to approximately $69.29 million from $42.50 million.
-- Change the required minimum thresholds for the coverage tests.
-- Make the transaction U.S. risk retention-compliant.
-- Adopt the use of the non-model version of CDO Monitor. During
the reinvestment period, the non-model version of CDO Monitor may
be used for this transaction to indicate whether changes to the
collateral portfolio are generally consistent with the transaction
parameters we assumed when initially assigning ratings to the
notes.
-- Incorporate the recovery rate methodology and updated industry
classifications outlined in our August 2016 CLO criteria update.
REPLACEMENT AND ORIGINAL NOTE ISSUANCES
Replacement Notes
Class Amount Interest
(mil. $) rate (%)
A1-R 346.50 LIBOR + 1.07
A2-R 71.50 LIBOR + 1.45
A3-R 30.25 LIBOR + 1.85
B1-R 33.00 LIBOR + 2.70
B2-R 24.75 LIBOR + 5.50
B3-R 11.00 LIBOR + 7.47
Subordinated notes 69.29 N/A
Original Notes
Class Original amount Interest
(mil. $) rate (%)
A-1L 230.50(i) LIBOR + 1.20
A-1F 10.00(i) 2.2464
A-2L 27.50 LIBOR + 1.90
A-2F 10.00 3.3877
A-3L 31.50 LIBOR + 2.75
B-1L 19.50 LIBOR + 3.75
B-2L 19.00 LIBOR + 4.50
B-3L 9.50 LIBOR + 5.50
Subordinated notes 42.50 N/A
(i)The transaction was post reinvestment period, and as of December
2017, had paid down the class A-1L and A-1F notes to approximately
$172.88 million and $7.50 million, respectively. N/A--Not
applicable.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios.
"In addition, our analysis considered the transaction's ability to
pay timely interest or ultimate principal, or both, to each of the
rated tranches.
The assigned ratings reflect our opinion that the credit support
available is commensurate with the associated rating levels.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take rating actions as we
deem necessary."
RATINGS ASSIGNED
Sound Point CLO II Ltd.
Replacement class Rating Amount (mil $)
A1-R AAA (sf) 346.50
A2-R AA (sf) 71.50
A3-R A (sf) 30.25
B1-R BBB- (sf) 33.00
B2-R BB- (sf) 24.75
B3-R B- (sf) 11.00
Subordinated notes NR 69.29
RATINGS WITHDRAWN
Sound Point CLO II Ltd.
Rating
Original class To From
A-1L NR AAA (sf)
A-1F NR AAA (sf)
A-2L NR AA (sf)
A-2F NR AA (sf)
A-3L NR A (sf)
B-1L NR BBB (sf)
B-2L NR BB- (sf)
B-3L NR B (sf)
NR--Not rated.
STACR 2018-DNA1: Fitch Assigns 'Bsf' Ratings on 12 Tranches
-----------------------------------------------------------
Fitch rates Freddie Mac's risk-transfer transaction, Structured
Agency Credit Risk Debt Notes Series 2018-DNA1 (STACR 2018-DNA1):
-- $230,000,000 class M-1 notes 'BBB-sf'; Outlook Stable;
-- $270,000,000 class M-2A notes 'BBsf'; Outlook Stable;
-- $270,000,000 class M-2B notes 'Bsf'; Outlook Stable;
-- $540,000,000 class M-2 exchangeable notes 'Bsf'; Outlook
Stable;
-- $540,000,000 class M-2R exchangeable notes 'Bsf'; Outlook
Stable;
-- $540,000,000 class M-2S exchangeable notes 'Bsf'; Outlook
Stable;
-- $540,000,000 class M-2T exchangeable notes 'Bsf'; Outlook
Stable;
-- $540,000,000 class M-2U exchangeable notes 'Bsf'; Outlook
Stable;
-- $540,000,000 class M-2I notional exchangeable notes 'Bsf';
Outlook Stable;
-- $270,000,000 class M-2AR exchangeable notes 'BBsf'; Outlook
Stable;
-- $270,000,000 class M-2AS exchangeable notes 'BBsf'; Outlook
Stable;
-- $270,000,000 class M-2AT exchangeable notes 'BBsf'; Outlook
Stable;
-- $270,000,000 class M-2AU exchangeable notes 'BBsf'; Outlook
Stable;
-- $270,000,000 class M-2AI notional exchangeable notes 'BBsf';
Outlook Stable;
-- $270,000,000 class M-2BR exchangeable notes 'Bsf'; Outlook
Stable;
-- $270,000,000 class M-2BS exchangeable notes 'Bsf'; Outlook
Stable;
-- $270,000,000 class M-2BT exchangeable notes 'Bsf'; Outlook
Stable;
-- $270,000,000 class M-2BU exchangeable notes 'Bsf'; Outlook
Stable;
-- $270,000,000 class M-2BI notional exchangeable notes 'Bsf';
Outlook Stable.
The following classes are not rated by Fitch:
-- $33,343,969,909 class A-H reference tranche;
-- $82,599,718 class M-1H reference tranche;
-- $94,699,671 class M-2AH reference tranche;
-- $94,699,671 class M-2BH reference tranche;
-- $130,000,000 class B-1 notes;
-- $43,666,510 class B-1H reference tranche;
-- $173,666,510 class B-2H reference tranche.
The 'BBB-sf' rating for the M-1 notes reflects the 3.10%
subordination provided by the 1.05% class M-2A notes, the 1.05%
class M-2B notes, the 0.50% class B-1 notes and their corresponding
reference tranches, as well as the 0.50% class B-2H reference
tranche. The 'BBsf' rating for the M-2A notes reflects the 2.05%
subordination provided by the 1.05% class M-2B notes, the 0.50%
class B-1 notes and their corresponding reference tranches, as well
as the 0.50% class B-2H reference tranche. The 'Bsf' rating for the
M-2B notes reflects the 1.00% subordination provided by the 0.50%
class B-1 notes and the 0.50% class B-2H reference tranche. The
notes are general unsecured obligations of Freddie Mac (AAA/Stable)
subject to the credit and principal payment risk of a pool of
certain residential mortgage loans held in various Freddie
Mac-guaranteed MBS.
STACR 2018-DNA1 represents Freddie Mac's 22nd risk transfer
transaction applying actual loan loss severity (LS) issued as part
of the Federal Housing Finance Agency's Conservatorship Strategic
Plan for 2013-2017 for each of the government-sponsored enterprises
(GSEs) to demonstrate the viability of multiple types of
risk-transfer transactions involving single-family mortgages.
The objective of the transaction is to transfer credit risk from
Freddie Mac to private investors with respect to a $34.7 billion
pool of mortgage loans currently held guaranteed by Freddie Mac
where principal repayment of the notes is subject to the
performance of a reference pool of mortgage loans. As loans
liquidate or other credit events occur, the outstanding principal
balance of the debt notes will be reduced by the actual loan's LS
percentage related to those credit events, which includes
borrower's delinquent interest.
While the transaction structure simulates the behavior and credit
risk of traditional RMBS senior-subordinate securities, Freddie Mac
will be responsible for making monthly payments of interest and
principal to investors. Because of the counterparty dependence on
Freddie Mac, Fitch's rating on the M-1, M-2A and M-2B notes will be
based on the lower of: the quality of the mortgage loan reference
pool and credit enhancement (CE) available through subordination,
and Freddie Mac's Issuer Default Rating. The M-1, M-2A, M-2B, and
B-1 notes will be issued as LIBOR-based floaters. In the event that
the one-month LIBOR rate falls below zero and becomes negative, the
coupons of the interest-only modifications and combinations (MAC)
notes may be subject to a downward adjustment, so that the
aggregate interest payable within the related MAC combination does
not exceed the interest payable to the notes for which such classes
were exchanged. The notes will carry a 12.5-year legal final
maturity.
KEY RATING DRIVERS
High-Quality Mortgage Pool (Positive): The reference pool consists
of loans with original loan-to-value ratios (LTVs) of over 60% and
less than or equal to 80% with a weighted average (WA) original
combined LTV of 76.6%. The WA debt-to-income (DTI) ratio of 35.9%
and credit score of 747 reflect the strong credit profile of
post-crisis mortgage originations.
Home Possible Loans (Negative): Approximately 2% of the reference
pool was originated under Freddie Mac's Home Possible or Home
Possible Advantage program, which targets low- to moderate-income
homebuyers or buyers in high-cost or underrepresented communities,
and provides flexibility for a borrower's LTV, income, down payment
and mortgage insurance coverage requirements. Fitch anticipates
higher default risk for Home Possible loans due to measurable
attributes (such as FICO, LTV and property value), which is
reflected in increased credit enhancement.
12.5-Year Hard Maturity (Positive): The M-1, M-2A and M-2B notes
benefit from a 12.5-year legal final maturity. Thus, any credit
events on the reference pool that occur beyond year 12.5 are borne
by Freddie Mac and do not affect the transaction. In addition,
credit events that occur prior to maturity with losses realized
from liquidations or loan modifications that occur after the final
maturity date will not be passed through to noteholders.
Solid Lender Review and Acquisition Processes (Positive): Fitch
found that Freddie Mac has a well-established and disciplined
process in place for the purchase of loans and views its
lender-approval and oversight processes for minimizing counterparty
risk and ensuring sound loan quality acquisitions as positive. Loan
quality control (QC) review processes are thorough and indicate a
tight control environment that limits origination risk. Fitch has
determined Freddie Mac to be an above-average aggregator for its
2013 and later product. Fitch accounted for the lower risk by
applying a lower default estimate for the reference pool.
Advantageous Payment Priority (Positive): The M-1 class strongly
benefits from the sequential pay structure and stable CE provided
by the more junior M-2A, M-2B and B-1 classes, which are locked out
from receiving any principal until classes with a more senior
payment priority are paid in full. However, available CE for the
junior classes as a percentage of the outstanding reference pool
increases in tandem with the paydown of the M-1 class. Given the
size of the M-1 class relative to the combined total of all the
junior classes, together with the sequential pay structure, the
class M-1 will de-lever and CE as a percentage will build faster
than in a pro rata payment structure.
Solid Alignment of Interests (Positive): While the transaction is
designed to transfer credit risk to private investors, Fitch
believes the transaction benefits from a solid alignment of
interests. Freddie Mac will retain credit risk in the transaction
by holding the senior reference tranche A-H, which has 4.00% of
loss protection, as well as a minimum of 5% of the M-1, M-2A, M-2B
and B-1 tranches and a minimum of 75% of the first-loss B-2H
tranche. Initially, Freddie Mac will retain an approximately 26.10%
vertical slice/interest in the M-1, M-2A and M-2B tranches.
Receivership Risk Considered (Neutral): Under the Federal Housing
Finance Regulatory Reform Act, the Federal Housing Finance Agency
(FHFA) must place Freddie Mac into receivership if it determines
that the government-sponsored enterprise's (GSE) assets are less
than its obligations for longer than 60 days following the deadline
of its SEC filing. As receiver, FHFA could repudiate any contract
entered into by Freddie Mac if it is determined that such action
would promote an orderly administration of Freddie Mac's affairs.
Fitch believes that the U.S. government will continue to support
Freddie Mac, as reflected in its current rating of the GSE.
However, if, at some point, Fitch views the support as being
reduced and receivership likely, the rating of Freddie Mac could be
downgraded and ratings on the M-1, M-2A and M-2B notes, along with
their corresponding MAC notes, could be affected.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the MSA and national levels. The implied
rating sensitivities are only an indication of some of the
potential outcomes and do not consider other risk factors that the
transaction may become exposed to or be considered in the
surveillance of the transaction.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the model
projected 25.4% at the 'BBBsf' level, and 16% at the 'Bsf' level.
The analysis indicates that there is some potential rating
migration with higher MVDs, compared with the model projection.
Fitch also conducted defined rating sensitivities which determine
the stresses to MVDs that would reduce a rating by one full
category, to non-investment grade, and to 'CCCsf'. For example,
additional MVDs of 12%, 12% and 36% would potentially move the
'BBBsf' rated class down one rating category, to non-investment
grade, to 'CCCsf', respectively.
TESLA AUTO 2018-A: Moody's Assigns (P)Ba3 Rating to Class E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
notes to be issued by Tesla Auto Lease Trust 2018-A (TESLA 2018-A).
This is the first auto lease transaction for Tesla Finance LLC
(TFL; not rated). The notes will be backed by a pool of closed-end
retail automobile leases originated by TFL, who is also the
servicer and administrator for this transaction.
The complete rating actions are as follows:
Issuer: Tesla Auto Lease Trust 2018-A
Class A Notes, Assigned (P)Aaa (sf)
Class B Notes, Assigned (P)Aa2 (sf)
Class C Notes, Assigned (P)A2 (sf)
Class D Notes, Assigned (P)Baa2 (sf)
Class E Notes, Assigned (P)Ba3 (sf)
RATINGS RATIONALE
The ratings are based on the quality of the underlying collateral
and its expected performance, the strength of the capital
structure, and the experience and expertise of TFL as the servicer
and administrator.
Moody's expected median cumulative net credit loss expectation for
TESLA 2018-A is 0.50% and the total Aaa loss on the collateral is
35.00% (including 4.00% credit loss and 31.00% residual value loss
at a Aaa stress). Moody's based its cumulative net credit loss
expectation and Aaa loss level of the collateral on an analysis of
the quality of the underlying collateral; the historical credit
loss and residual value performance of similar collateral,
including securitization performance and managed portfolio
performance; the ability of TFL and its sub-servicer
LeaseDimensions to perform the servicing functions; and current
expectations for the macroeconomic environment during the life of
the transaction.
At closing, the Class A notes, the Class B notes, the Class C
notes, the Class D notes, and the Class E notes are expected to
benefit from 31.25%, 24.65%, 20.05%, 16.15%, and 10.95% of hard
credit enhancement, respectively. Hard credit enhancement for the
notes consists of a combination of overcollateralization, a
non-declining reserve account and subordination, except for the
Class E notes which do not benefit from subordination. The notes
may also benefit from excess spread.
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
October 2016.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the subordinate notes if levels of credit
enhancement are higher than necessary to protect investors against
current expectations of portfolio losses. 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 vehicles
securing an obligor's promise of payment. Portfolio losses also
depend greatly on the US job market and the market for used
vehicles. Other reasons for better-than-expected performance
include changes to servicing practices that enhance collections or
refinancing opportunities that result in prepayments.
Down
Moody's could downgrade the notes if levels of credit enhancement
are insufficient to protect investors against current expectations
of portfolio losses. 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 vehicles securing an obligor's
promise of payment. Portfolio losses also depend greatly on the US
job market and the market for used vehicles. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
TICP CLO IX: Moody's Assigns Ba3 Rating to Class E Notes
--------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by TICP CLO IX, Ltd.
Moody's rating action is as follows:
US$256,000,000 Class A Senior Secured Floating Rate Notes due 2031
(the "Class A Notes"), Assigned Aaa (sf)
US$42,200,000 Class B Senior Secured Floating Rate Notes due 2031
(the "Class B Notes"), Assigned Aa2 (sf)
US$22,100,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C Notes"), Assigned A2 (sf)
US$28,200,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class D Notes"), Assigned Baa3 (sf)
US$19,500,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class E Notes"), Assigned Ba3 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes and the Class E Notes are referred to herein, collectively,
as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
TICP IX 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
first lien senior secured loans, cash, and eligible investments,
and up to 7.5% of the portfolio may consist of second lien loans
and unsecured loans. The portfolio is approximately 75% ramped as
of the closing date.
TICP CLO IX Management, LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $400,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2887
Weighted Average Spread (WAS): 3.10%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 9.0 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
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 2887 to 3320)
Rating Impact in Rating Notches
Class A Notes: 0
Class B Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: -1
Percentage Change in WARF -- increase of 30% (from 2887 to 3753)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -3
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
TOBACCO SETTLEMENT FA: S&P Ups 2007A Bonds Rating to 'B-(sf)'
-------------------------------------------------------------
S&P Global Ratings raised its ratings on the class 2007A bonds from
Tobacco Settlement Finance Authority series 2007 from 'B- (sf)' to
'B+ (sf)'. At the same time, S&P affirmed its 'CCC (sf)' rating on
the class 2007B bonds from the same transaction. The bonds were
originally issued in 2007.
The rating actions reflect S&P's view of the performance of the
transaction under a series of stressed cash flow scenarios,
including:
-- A cigarette volume decline test that assesses if the
transaction can withstand annual declines in cigarette shipments;
-- Payment disruptions by the largest of the participating
manufacturers, by market share, at various points over the
transaction's term to reflect a Chapter 11 bankruptcy filing; and
-- A liquidity stress test to account for settlement amount
disputes by participating manufacturers, as a result of changes to
their market share, which has generally shifted to nonparticipating
manufacturers.
S&P said, "We raised our rating on the class 2007A bonds as they
can now make timely interest and principal payments commensurate
with a higher rating level.
"At the same time, we affirmed our rating on the class 2007B bonds,
which reflects our view of the ability of the 2007B class to pay
timely interest and principal payments under various stress
scenarios."
Tobacco Settlement Finance Authority's series 2007 issuance
consists of the series 2007A current interest turbo term bonds and
series 2007B capital appreciation turbo term bonds, both maturing
in 2047. Capital appreciation bonds generally capitalize interest
until any senior notes have been paid in full and therefore tend to
have the most risk.
S&P said, "Our analysis also reflects developments within the
tobacco industry. We view the U.S. tobacco industry as having a
stable ratings outlook based on the high brand equity and pricing
power of the top three manufacturers' conventional cigarette
brands. In our view, this should help offset ongoing cigarette
volume declines and allow for sustained cash flows." However,
changing regulations and ongoing litigation risk are constraining
factors the industry faces.
RATING RAISED
Tobacco Settlement Finance Authority (West Virginia)
US$911.142 mil taxable tobacco settlement asset backed bonds
series 2007
Rating
Class CUSIP Maturity To From
2007A 88880LAA1 June 1, 2047 B+ (sf) B- (sf)
RATING AFFIRMED
Tobacco Settlement Finance Authority (West Virginia)
US$911.142 mil taxable tobacco settlement asset backed bonds
series 2007
Class CUSIP Maturity Rating
2007B 88880LAB9 June 1, 2047 CCC (sf)
TRALEE CLO IV: S&P Assigns B-(sf) Rating on Class F Notes
---------------------------------------------------------
S&P Global Ratings assigned its 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 ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
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
NR--Not rated.
TROPIC CDO IV: Fitch Affirms BB Rating on Class A-3L Notes
----------------------------------------------------------
Fitch Ratings has placed two classes of notes on Rating Watch
Negative (RWN) and affirmed four classes issued by Tropic CDO IV
Ltd./Corp. (Tropic IV).
The RWN on the class A-1L and A-2L notes reflects the possibility
of interest shortfall due to the uncertainty in timing and outcome
of an interpleader filed by the trustee in January.
KEY RATING DRIVERS
On Oct. 6, 2017, the current swap counterparty, Bank of New York
Mellon (BNYM) notified the issuer (Tropic IV) and trustee that it
was owed a partial termination amount under the fixed for floating
interest rate swap as a result of previous collateral redemptions.
On the Oct. 16th payment date, BNYM received only a partial
termination amount, after class A-1L and A-2L notes were paid their
current interest. Interest on other classes of notes was deferred.
BNYM declared an event of default (EOD) under the swap agreement,
announced termination of the swap and calculated a termination
amount of approximately $6.9 million due to BNYM by the issuer on
the January 2018 payment date.
In December, one of the beneficial noteholders alleged that BNYM
did not comply with the swap agreement and that the termination and
the EOD under the swap agreement are not valid. In addition, the
beneficial noteholder alleged that BNYM had been overpaid between
2010 and 2017 as all payments made to BNYM were based on the full
initial $22 million swap notional.
On Jan. 12, 2018, the trustee filed an interpleader complaint with
the U.S. District Court to determine the course of action because
of conflicting demands by the two parties.
Per the transaction's governing documents, swap termination
payments are paid pari passu with the interest due on the class
A-1L and A-2L notes as part of the interest waterfall. However,
interest due to classes A-1L and A-2L was paid in full on the last
two payment periods in October 2017 and January 2018. All remaining
proceeds have been held in escrow starting from the January payment
date. As a result, the class A-3L, A-4, A-4L, and B-1L notes have
been deferring interest payments, but their ratings remain accurate
at their current levels.
There have been no new redemptions, cures, deferrals, or defaults
since Fitch's last rating action in April 2017. All classes are
passing at their current rating levels based on the analytical
framework described in Fitch's 'Trust Preferred CDOs Surveillance
Rating Criteria', dated March 28, 2017.
RATING SENSITIVITIES
Changes in the rating drivers described above could lead to rating
changes in the TruPS CDO notes. To address potential risks of
adverse selection and increased portfolio concentration Fitch
applied a sensitivity scenario, as described in the criteria, to
applicable transactions.
Fitch expects to remove the rating watch once the interpleader is
resolved.
Fitch has taken the following rating actions:
-- $49,323,252 class A-1L notes 'AAsf'; placed on Rating Watch
Negative;
-- $40,000,000 class A-2L notes 'Asf'; placed on Rating Watch
Negative;
-- $37,945,767 class A-3L notes affirmed at 'BBsf' maintained
Outlook Stable;
-- $40,685,451 class A-4 notes affirmed at 'Csf';
-- $29,769,528 class A-4L notes affirmed at 'Csf';
-- $27,232,930 class B-1L notes affirmed at 'Csf'.
UBS COMMERCIAL 2012-C1: Fitch Affirms B Rating on Class F Certs
---------------------------------------------------------------
Fitch Ratings has upgraded two classes and affirmed seven classes
of UBS Commercial Trust 2012-C1 (UBS 2012-C1) commercial mortgage
pass-through certificates.
KEY RATING DRIVERS
Upgrades: Upgrades to class B and C reflect the increasing credit
enhancement to the classes and significant percentage of defeased
assets at 23.6% of the pool.
Stable Performance: The actions reflect the stable performance of
the majority of the underlying pool and significant defeasance,
including three of the top six loans. The pool should continue to
amortize as only two loans (13.9% of the pool) are full term
interest-only. All other loans are currently amortizing. As of the
January 2018 distribution date, the pool's aggregate principal
balance had paid down by 16% to $1.1 billion from $1.3 billion at
issuance.
Property Type Diversity: No property type accounts for more than
27.2% of the transaction collateral. Retail is highest at 27.2%
followed by defeased collateral at 23.6%.
Dream Downtown Net Lease: The largest loan in the transaction
(10.7% of the pool) is secured by the fee-simple interest in the
property located at 346 West 17th Street in Manhattan, subject to
the rights of net lease tenants under two separate net leases,
which expire in September 2112. The 316-room Dream Hotel Downtown
operates at the site. The income from the two net leases is the
sole source of cash flow to pay the loan's debt service (which the
servicer reported, as of YTD September 2017, at 1.26x). In the
event of a default on the net lease payments, the sponsor has the
right to take over the operations of the hotel, which may generate
significantly higher cash flow than the net lease payments. At
issuance, hotel operations ran at a 1.2x multiple of the net
leases. The servicer has not provided updated operating performance
on the underlying hotel.
Specially Serviced Asset: There is one specially serviced asset in
the pool, the real estate owned (REO), Emerald Coast Hotel
Portfolio (1.6% of the pool), which consists of two limited service
hotels located in West Virginia. The loan transferred to special
servicing after the borrower filed Chapter 11; the loan became REO
in November 2017. Five other loans (6.7% of the pool) are
designated Fitch Loans of Concern due to various performance
issues. Fitch will continue to monitor these loans/assets.
RATING SENSITIVITIES
The Stable Outlooks reflect the stable performance of the majority
of the underlying pool, high level of defeasance, and expected
continued paydown from amortization. Fitch's analysis included an
additional stress on the number four loan in the pool, the
Poughkeepsie Galleria loan (7.1% of the pool), which is secured by
a regional mall located in a tertiary market. Upgrades to classes C
and below may occur with improved pool performance and additional
paydown or defeasance. Downgrades to the classes are possible
should an asset level or economic event cause a decline in pool
performance.
Deutsche Bank is the trustee for the transaction and also serves as
the backup advancing agent. Fitch downgraded Deutsche Bank's Issuer
Default Rating to 'BBB+'/'F2' from 'A-'/'F1' on Sept. 28, 2017.
Fitch relies on the master servicer, Wells Fargo & Company (A+/F1),
which is currently the primary advancing agent, as a direct
counterparty. Fitch provided ratings confirmation on Jan. 24,
2018.
Fitch has upgraded the following ratings:
-- $66.5 million class B to 'AAAsf' from 'AAsf'; Outlook to
Stable from Positive;
-- $49.9 million class C to 'AAsf' from 'Asf'; Outlook to Stable
from Positive.
Fitch has affirmed the following ratings:
-- $639.2 million class A-3 at 'AAAsf'; Outlook Stable;
-- $79.7 million class A-AB at 'AAAsf'; Outlook Stable;
-- $113.1 million class A-S at 'AAAsf'; Outlook Stable;
-- $832 million class X-A* at 'AAAsf'; Outlook Stable;
-- $74.9 million class D at 'BBB-sf'; Outlook Stable;
-- $26.6 million class E at 'BBsf'; Outlook Stable;
-- $23.3 million class F at 'Bsf'; Outlook Stable.
*Notional amount and interest-only.
Class A- 1 and A-2 have paid in full. Fitch does not rate the class
G or X-B interest-only certificates.
VITALITY RE IX: S&P Assigns BB+(sf) Rating on Class B Notes
-----------------------------------------------------------
S&P Global Ratings said that it has assigned its 'BBB+(sf)' and
'BB+(sf)' issue-level ratings to the class A and B notes,
respectively, 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.
S&P said, "Our ratings are based on the lowest of: the MBR risk
factor on the ceded risk ('bbb+' for the class A notes and 'bb+'
for the class B notes); our rating on ALIC (the underlying ceding
insurer); and our rating on the permitted investments, Federated
U.S Treasury Cash Reserves (UTIXX; '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 actuarial consulting
firm 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 normal 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.
$140 mil sr. sec class A notes due Jan. 10, 2022 BBB+(sf)
$60 mil sr. sec class B notes due Jan. 10, 2022 BB+(sf)
WELLS FARGO 2018-BXI: Fitch Assigns B-sf Rating to Class HRR Certs
------------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to Wells Fargo Commercial Mortgage Trust 2018-BXI
commercial mortgage pass-through certificates:
-- $88,000,000 class A 'AAAsf'; Outlook Stable;
-- $20,000,000 class B 'AA-sf'; Outlook Stable;
-- $13,000,000 class C 'A-sf'; Outlook Stable;
-- $18,000,000 class D 'BBB-sf'; Outlook Stable;
-- $28,000,000 class E 'BB-sf'; Outlook Stable;
-- $15,200,000 class F 'Bsf'; Outlook Stable;
-- $9,800,000a class HRR 'B-sf'; Outlook Stable.
a) Horizontal credit risk retention interest.
Since Fitch published its expected ratings on Jan. 12, 2018, the
expected ratings of two classes of interest-only certificates,
class X-CP (notional balance $74,800,000) and class X-NCP (notional
balance $88,000,000) have been withdrawn because the classes were
removed from the final deal structure by the issuer. Additionally,
class F increased in size from $14,200,000 to $15,200,000 and class
HRR decreased in size from $10,800,000 to $9,800,000. The classes
above reflect the final ratings and deal structure.
The Wells Fargo Commercial Mortgage Trust 2018-BXI pass-through
certificates represent the beneficial interest in a trust that
holds a floating-rate mortgage loan secured by the fee interest in
34 industrial properties and one office property, located primarily
in Chicago and South Florida and totalling 4.4 million square feet
(sf). Proceeds from the loan, together with approximately $64.7
million (inclusive of closing costs) in equity and $60 million in
subordinate mezzanine debt, were used by affiliates of Blackstone
Real Estate Partners VIII L.P. to acquire the portfolio of
properties from Prologis for a purchase price of $300 million
($67.50 psf). The certificates will follow a sequential-pay
structure; however, so long as there is no event of default, any
voluntary prepayments (up to the first 15% of the loan), including
property releases, will be applied to the loan components on a pro
rata basis.
Key Rating Drivers
Primary Market Locations: Approximately 92.2% of the portfolio NRA
is located in Chicago (third-largest U.S. MSA) and South Florida
(eighth-largest U.S. MSA), and features immediate access to some of
the country's largest markets. The properties are predominantly
clustered around major interstates and thoroughfares within each
market, and benefit from close proximity to numerous transportation
networks.
Portfolio Diversity: The portfolio exhibits modest geographic
diversity with 35 properties (4.4 million sf) located in four
states and 16 individual submarkets. The largest 10 properties (by
allocated loan amount) account for approximately 45.5% of the
portfolio net cash flow and 56.3% of total NRA. The portfolio also
exhibits significant tenant diversity, as it features 87 distinct
tenants with no individual tenant representing more than 8.5% of
base rents.
High Aggregate Leverage: The trust amount of $192.0 million
represents 64.0% of the recent purchase price, and the total debt
of $252.0 million represents a loan-to-cost of 84.0%. Fitch's DSCR
and LTV on the trust debt are 0.94x and 96.1%, respectively, while
Fitch's DSCR and LTV on the total debt are 0.72x and 126.1%,
respectively.
Institutional Sponsorship: The loan is sponsored by Blackstone Real
Estate Partners VIII L.P., which is owned by affiliates of the
Blackstone Group, L.P. Blackstone is a global leader in real estate
investing with over $111 billion in assets under management
including 272 million sf of industrial properties as of Sept. 30,
2017.
Rating Sensitivities
For this transaction, Fitch's net cash flow (NCF) was 3.0% below
the TTM July 2017 NCF. Included in Fitch's presale report are
numerous Rating Sensitivities that describe the potential impact
given further NCF declines below Fitch's NCF. Fitch evaluated the
sensitivity of the ratings for class A and found that a 30% decline
would result in a downgrade to 'BBBsf'.
WFRBS COMMERCIAL 2014-C25: DBRS Confirms B Rating on Cl. F Debt
---------------------------------------------------------------
DBRS Limited confirmed the ratings for all classes of Commercial
Mortgage Pass-Through Certificates, Series 2014-C25 issued by WFRBS
Commercial Mortgage Trust 2014-C25 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 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 X-C at BB (high) (sf)
-- Class E at BB (sf)
-- Class X-D at B (high) (sf)
-- Class F at B (sf)
All trends are Stable. Up to the full certificate balance of the
Class A-S, Class B and Class C certificates may be exchanged for
the Class PEX certificates and vice versa.
The rating confirmations reflect the overall stable performance of
the transaction. At issuance, the collateral consisted of 59 loans
secured by 73 properties, with a trust balance of $875.7 million.
As of the November 2017 remittance, there has been collateral
reduction of 1.4% since issuance as a result of scheduled loan
amortization. In addition, two loans representing 1.8% of the pool
have been fully defeased. As of the year-end 2016 financials, the
pool reported a weighted-average (WA) debt service coverage ratio
(DSCR) and debt yield of 1.87 times (x) and 8.83%, respectively,
with loans representing 96.1% of the pool reporting. At issuance,
the WA DBRS Term DSCR and WA DBRS Debt Yield for those loans were
1.61x and 9.0%, respectively.
As of the November 2017 remittance, there were six loans
representing 15.8% of the pool balance on the servicer's watchlist.
The largest loan on the watchlist is Prospectus ID #2, Colorado
Mills (11.6% of the pool). That loan is secured by an outlet mall
in Lakewood, Colorado, and is being monitored for significant
damage to the property as a result of a hail storm that impacted
the area in May 2017. The remaining loans on the watchlist are
relatively small and/or are being monitored for non-performance
related issues. There is one loan in special servicing, Prospectus
ID #20, Elsinore Courtyard Apartments (1.4% of the pool). This loan
was transferred to the special servicer after the sponsor was cited
for numerous code violations at the property. In-depth analysis and
extended commentary for the specially-serviced loan and noteworthy
watchlist loans are available on the DBRS Viewpoint platform.
At issuance, DBRS shadow-rated one loan, Prospectus ID #1, St.
Johns Town Center (11.6% of the pool balance) as investment grade,
supported by the loan's strong credit metrics, strong sponsorship
strength and continued stable collateral performance. With this
review, DBRS confirms that the characteristics of this loan remain
consistent with the investment-grade shadow rating.
Classes X-A, X-B, X-C and X-D 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.
WFRBS COMMERCIAL 2014-LC14: Fitch Affirms B Rating on Cl. F Notes
-----------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of WFRBS Commercial Mortgage
Trust 2014-LC14 commercial mortgage pass-through certificates.
KEY RATING DRIVERS
Sufficient Credit Enhancement: Although there are two specially
serviced assets and larger Fitch Loans of Concern, Fitch's overall
loss expectations have not increased significantly since issuance.
The majority of the pool is performing in-line with issuance
expectations. There are seven Fitch Loans of Concern (10.7% of the
pool), including two specially serviced assets (1.6% of the pool).
Three loans (7.2% of pool) have been defeased.
Specially Serviced Assets: Two assets are in special servicing
(1.6%). The Westridge Apartments asset (.9%) was transferred to
special servicing in June 2016 for imminent monetary default. The
property is a 96 unit multifamily property located in Williston,
ND, which sits on the Bakken formation and has been negatively
affected by the drop in oil production in the region. The asset is
REO after a deed in lieu closed in November 2017. The property has
seen a drop in occupancy to 63% at YE 2016 from 100% at issuance
and NOI DSCR declined to .05x at June 2017 and 0.39x at YE 2016
from 1.91x at issuance.
The Holiday Inn Express Houston West loan (.7%) was transferred to
special servicing in August 2017 for imminent monetary default but
remains current on loan payments. The property is a 119 key hotel
located in the West Energy Corridor of Houston, TX. The hotel has
been affected by declining demand in the Houston market from the
volatility in crude oil. As of June 2017, the property had a TTM
occupancy of 39% with a NOI DSCR of 0.32x. The resolution strategy
and time frame is unknown at this time.
Limited Amortization: As of the January 2018 distribution date, the
pool's aggregate principal balance has paid down by 5.5% to $1.19
billion from $1.26 billion at issuance. Based on the scheduled
balance at maturity, the pool is expected to amortize by
approximately an additional 8%. The pool includes three
interest-only loans (13.5%) and 21 partial IO loans (39%). The
current pool's loans maturity schedule is as follows: 2.2% (2018),
11.6% (2019), 6.7% (2020), 27.8% (2023) and 50.9% (2024).
Retail Concentration: Retail properties represent 23.8% of the
pool. This percentage includes four loans in the top 15, with a
total current balance of $161.7 million (13.7%). The transaction
does not contain any traditional malls; however, Fitch's second
largest LOC (2.7%) is collateralized by a big box retail center
with occupancy issues.
Hurricane Exposure: Eight properties (14.9% of pool) are located in
regions impacted by Hurricane Irma. Per the master servicer's
significant insurance event (SIE) reporting, two of the underlying
properties including Lantana Cascade (2.3%) located in Lantana, FL
sustained minor damage from Hurricane Irma. All of the other
properties reported no damage. There was minimal exposure to
Hurricane Harvey.
RATING SENSITIVITIES
Rating Outlooks for all classes remain Stable. Although two loans
have transferred to the special servicer, overall pool performance
has remained stable and credit enhancement has increased from
amortization. Upgrades may occur with improved pool performance and
additional paydown (13.8% of the pool matures in 2018 and 2019) or
defeasance. Downgrades to the classes are possible should Fitch's
loss expectations increase or additional loans transfer to the
special servicer.
Deutsche Bank is the trustee for the transaction, and also serves
as the backup advancing agent. Fitch downgraded Deutsche Bank's
Issuer Default Rating to 'BBB+'/'F2' from 'A-'/'F1' on Sept. 28,
2017. Fitch relies on the master servicer, Wells Fargo Bank &
Company (A+/Outlook Stable/F1), which is currently the primary
advancing agent, as a direct counterparty. Fitch provided ratings
confirmation on Jan. 24, 2018.
Fitch has affirmed the following classes:
-- $187.4 million class A-2 at 'AAAsf'; Outlook Stable;
-- $80 million class A-3FL at 'AAAsf'; Outlook Stable;
-- $0 class A-3FX at 'AAAsf'; Outlook Stable;
-- $175 million class A-4 at 'AAAsf'; Outlook Stable;
-- $278.5 million class A-5 at 'AAAsf'; Outlook Stable;
-- $89.5 million class A-SB at 'AAAsf'; Outlook Stable;
-- $95.7 million class A-S at 'AAAsf'; Outlook Stable;
-- $81.6 million class B at 'AA-sf'; Outlook Stable;
-- $47.1 million class C at 'A-sf'; Outlook Stable;
-- $ 0 class PEX Exchangeable Certificates at 'A-sf'; Outlook
Stable;
-- $64.3 million class D at 'BBB-sf'; Outlook Stable;
-- $22 million class E at 'BBsf'; Outlook Stable;
-- $12.6 million class F at 'Bsf'; Outlook Stable;
-- Interest-Only class X-A at 'AAAsf'; Outlook Stable;
-- Interest-Only class X-B at 'BBB-sf'; Outlook Stable.
Fitch does not rate the IO class X-C or the class G. Class A-1 paid
in full.
[*] Fitch Takes Actions on 15 SF CDOs on 2001-2005 Vintages
-----------------------------------------------------------
Fitch Ratings has taken the following rating actions on 61 tranches
from 15 structured finance collateralized debt obligations (SF
CDOs) with exposure to various structured finance assets.
-- Affirmed 48 tranches;
-- Downgraded and withdrew six tranches;
-- Downgraded two tranches;
-- Upgraded five tranches.
KEY RATING DRIVERS
Fitch affirmed 39 classes at 'Csf' and downgraded one class to
'Csf' that have credit enhancement (CE) levels exceeded by the
expected losses (EL) from the distressed collateral (rated CCsf and
lower) of each portfolio. For these classes, the probability of
default was evaluated without factoring in potential losses from
the performing assets. Default for these notes at or prior to
maturity continues to appear inevitable.
Fitch affirmed three classes of notes at 'CCsf' and downgraded one
class to 'CCsf' for which default remains probable. The classes'
current CE levels exceed the EL, but their CE is lower than the
losses projected at the 'CCCsf' rating stress under Fitch's
Structured Finance Portfolio Credit Model (SF PCM) analysis.
Fitch affirmed five non-deferrable classes that have experienced
and are expected to continue experiencing interest payment
shortfalls at 'Dsf'. In addition, class B in SFA ABS CDO III
Ltd./Inc. is now the most senior class and is currently receiving
interest and paying down cumulative deferred interest; however,
Fitch views its default as inevitable at final maturity.
Fitch downgraded six notes issued by Duke Funding VIII, Ltd. to
'Dsf'. Following portfolio liquidation in July 2017, there are no
remaining assets. Fitch is also withdrawing the ratings as it is no
longer considered by Fitch to be relevant to the agency's
coverage.
The upgrades are attributed to significant deleveraging of each
transaction's capital structure which has resulted in increased CE
for the notes, and credit quality improvement in the underlying
assets. According to the SF PCM analysis, these tranches are now
able to withstand losses at a higher rating stress compared to
Fitch's previous review.
For the upgraded transactions, Fitch performed two additional
sensitivity scenarios. In the first, the assets' weighted average
lives were extended to half of their term to their legal
maturities. In the second, the ratings of obligors which made up
greater than 5% of the performing portfolio were lowered by one
rating category to account for potential performance volatility of
a concentrated portfolio. The results of the sensitivity analysis
support the upgrades. The Stable Outlooks on four of the tranches
reflect Fitch's view that the notes have a sufficient level of
protection to withstand potential deterioration of the underlying
collateral going forward. The Positive Outlook on one tranche from
Vermeer Funding Ltd./Inc. reflects Fitch's expectation that the
notes will continue to benefit from deleveraging.
RATING SENSITIVITIES
Negative migration, defaults beyond those projected, and lower than
expected recoveries could lead to downgrades for classes analyzed
under the SF PCM. Classes rated 'Csf' and 'Dsf' have limited
sensitivity to further negative migration given their highly
distressed rating levels. However, there is potential for
non-deferrable classes to be downgraded to 'Dsf' should they
experience any interest payment shortfalls.
This review was conducted under the framework described in the
reports 'Global Structured Finance Rating Criteria' and 'Structured
Finance and CDOs Surveillance Rating Criteria'. The individual
rating actions are detailed in the report 'Fitch Takes Various
Rating Actions on 15 SF CDOs from 2001-2005 Vintages.'
A list of the Affected Ratings is available at:
http://bit.ly/2EjBgfU
[*] Moody's Takes Action on $14.6MM of RMBS Issued Prior to 2003
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of three
tranches from two transactions, and downgraded the rating of one
tranche from one transaction. The transactions were issued prior to
2003 and are backed by subprime mortgage loans.
Complete rating actions are as follows:
Issuer: Bear Stearns Asset Backed Securities, Inc., 1999-2
MF-1, Downgraded to C (sf); previously on Jun 5, 2015 Downgraded to
Ca (sf)
Issuer: ContiMortgage Home Equity Loan Trust 1997-5
B, Upgraded to Caa3 (sf); previously on Mar 7, 2011 Confirmed at Ca
(sf)
Issuer: Option One Woodbridge Loan Trust 2002-1
Cl. M-2, Upgraded to Ba1 (sf); previously on Apr 27, 2015 Upgraded
to B1 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on Mar 18, 2011
Downgraded to C (sf)
RATINGS RATIONALE
The upgrades are primarily due to the total credit enhancement
available to the bonds. The downgrade is primarily due to ongoing
poor performance of the collateral and Moody's expectation that the
tranche will incur large losses. The actions reflect the recent
performance of the underlying pools, Moody's updated loss
expectations on the pools and an update in the approach used in
analyzing the transaction structures.
In Moody's prior analysis Moody's used a static approach in which
Moody's compared the total credit enhancement for a bond, including
excess spread, subordination, overcollateralization, and other
external support, if any, to Moody's expected losses on the
mortgage pool(s) supporting that bond. Moody's have updated Moody's
approach to include a cash flow analysis, wherein Moody's run
several different loss levels, loss timing, and prepayment
scenarios using Moody's scripted cash flow waterfalls to estimate
the losses to the different bonds under these scenarios
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.1% 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. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] Moody's Takes Action on $23.8M of Prime Jumbo Issued 2003-2006
------------------------------------------------------------------
Moody's Investors Service has upgraded the rating of one tranche
and downgraded the ratings of three tranches from 4 transactions
backed by Prime Jumbo mortgage loans, issued by multiple issuers.
Complete rating actions are as follows:
Issuer: CHL Mortgage Pass-Through Trust 2003-42
Cl. 2-A-4, Downgraded to B1 (sf); previously on Apr 21, 2011
Downgraded to Ba2 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2006-3
Cl. I-A, Downgraded to Caa1 (sf); previously on Aug 5, 2015
Downgraded to B3 (sf)
Issuer: Thornburg Mortgage Securities Trust 2003-3
Cl. B1, Downgraded to Ca (sf); previously on Feb 9, 2017 Downgraded
to Caa2 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2005-AR7 Trust
Cl. II-A-2, Upgraded to Baa2 (sf); previously on Feb 9, 2017
Upgraded to Ba1 (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 upgrade is primarily due to improvement of credit
enhancement available to the bond and expected loss on the
collateral. The rating downgrades are due to the deterioration of
collateral pool performance and decrease in credit enhancement.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.1% 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. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] Moody's Takes Action on $894MM of Subprime RMBS
---------------------------------------------------
Moody's Investors Service has upgraded the rating of 43 tranches
from 17 transactions issued by various issuers, and downgraded the
rating of one tranche from ACE Securities Corp. Home Equity Loan
Trust, Series 2004-HE3
Complete rating actions are as follows:
Issuer: ABFC 2007-NC1 Trust
Cl. A-1, Upgraded to A3 (sf); previously on Feb 3, 2017 Upgraded to
Ba1 (sf)
Cl. A-2, Upgraded to Ba3 (sf); previously on Feb 3, 2017 Upgraded
to B1 (sf)
Issuer: ABFC Asset Backed Certificates, Series 2005-WF1
Cl. M-6, Upgraded to Ba3 (sf); previously on Feb 3, 2017 Upgraded
to B3 (sf)
Cl. M-7, Upgraded to B1 (sf); previously on Feb 3, 2017 Upgraded to
Caa2 (sf)
Cl. M-8, Upgraded to Caa1 (sf); previously on Jun 3, 2010
Downgraded to C (sf)
Cl. M-9, Upgraded to Ca (sf); previously on Jun 3, 2010 Downgraded
to C (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2004-HE3
Cl. M-1, Downgraded to B1 (sf); previously on Mar 26, 2013
Downgraded to Baa3 (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE10
Cl. I-M-1, Upgraded to Ca (sf); previously on May 21, 2010
Downgraded to C (sf)
Cl. I-A-2, Upgraded to Ba1 (sf); previously on Mar 10, 2016
Upgraded to B1 (sf)
Cl. I-A-3, Upgraded to Ba2 (sf); previously on Mar 10, 2016
Upgraded to B2 (sf)
Issuer: Conseco Finance Home Equity Loan Trust 2002-B
Cl. B-2, Upgraded to B2 (sf); previously on Mar 11, 2016 Upgraded
to Caa2 (sf)
Issuer: CWABS, Inc., Asset-Backed Certificates, Series 2002-BC3
Cl. M-2, Upgraded to B2 (sf); previously on Apr 16, 2012 Downgraded
to Caa3 (sf)
Issuer: GSAA Home Equity Trust 2006-2
Cl. 1A2, Upgraded to Ba2 (sf); previously on Feb 17, 2017 Upgraded
to B2 (sf)
Cl. 2A5, Upgraded to Ba3 (sf); previously on Feb 17, 2017 Upgraded
to B3 (sf)
Cl. 2A4, Upgraded to Baa1 (sf); previously on Feb 17, 2017 Upgraded
to Baa3 (sf)
Issuer: J.P. Morgan Mortgage Acquisition Trust 2006-CW2
Cl. AV-1, Upgraded to A1 (sf); previously on Feb 8, 2017 Upgraded
to Baa2 (sf)
Cl. AV-4, Upgraded to Baa1 (sf); previously on Feb 8, 2017 Upgraded
to Ba1 (sf)
Cl. AV-5, Upgraded to Baa2 (sf); previously on Feb 8, 2017 Upgraded
to Ba2 (sf)
Issuer: Long Beach Mortgage Loan Trust 2006-1
Cl. I-A, Upgraded to B2 (sf); previously on Feb 17, 2017 Upgraded
to Caa1 (sf)
Issuer: NovaStar Mortgage Funding Trust, Series 2005-1
Cl. M-4, Upgraded to Aaa (sf); previously on Feb 3, 2017 Upgraded
to Aa1 (sf)
Cl. M-5, Upgraded to A1 (sf); previously on Feb 3, 2017 Upgraded to
Baa1 (sf)
Cl. M-6, Upgraded to Ba1 (sf); previously on Feb 3, 2017 Upgraded
to B1 (sf)
Issuer: NovaStar Mortgage Funding Trust, Series 2005-2
Cl. M-2, Upgraded to Aaa (sf); previously on Feb 3, 2017 Upgraded
to Aa2 (sf)
Cl. M-3, Upgraded to A1 (sf); previously on Feb 3, 2017 Upgraded to
Baa1 (sf)
Cl. M-4, Upgraded to Caa2 (sf); previously on Feb 3, 2017 Upgraded
to Caa3 (sf)
Issuer: NovaStar Mortgage Funding Trust, Series 2005-4
Cl. A-2D, Upgraded to Aaa (sf); previously on Feb 3, 2017 Upgraded
to Aa2 (sf)
Cl. M-1, Upgraded to A1 (sf); previously on Feb 24, 2016 Upgraded
to Baa1 (sf)
Issuer: NovaStar Mortgage Funding Trust, Series 2006-1
Cl. A-2D, Upgraded to B1 (sf); previously on Feb 3, 2017 Upgraded
to B2 (sf)
Issuer: Ownit Mortgage Loan Trust 2006-3
Cl. A-1, Upgraded to Aa3 (sf); previously on Feb 8, 2017 Upgraded
to A3 (sf)
Cl. A-2D, Upgraded to Ba3 (sf); previously on Feb 8, 2017 Upgraded
to B1 (sf)
Cl. A-2C, Upgraded to A3 (sf); previously on Feb 8, 2017 Upgraded
to Ba1 (sf)
Issuer: Renaissance Home Equity Loan Trust 2005-1
Cl. AV-3, Upgraded to Ba1 (sf); previously on May 9, 2014
Downgraded to Ba3 (sf)
Cl. AF-4, Upgraded to Ba2 (sf); previously on Jun 10, 2013
Confirmed at B2 (sf)
Cl. AF-5, Upgraded to Ba3 (sf); previously on Jun 10, 2013
Confirmed at B2 (sf)
Cl. AF-6, Upgraded to Ba2 (sf); previously on Jun 10, 2013
Confirmed at B1 (sf)
Cl. M-1, Upgraded to Ca (sf); previously on Jul 15, 2011 Downgraded
to C (sf)
Issuer: Renaissance Home Equity Loan Trust 2005-3
Cl. AF-3, Upgraded to Baa1 (sf); previously on Jun 10, 2013
Confirmed at B1 (sf)
Cl. AF-4, Upgraded to B2 (sf); previously on Jun 10, 2013 Confirmed
at Caa2 (sf)
Issuer: Salomon Mortgage Loan Trust, Series 2002-CB3 C-BASS
Mortgage Loan Asset-Backed Certificates
Cl. B-2, Upgraded to Caa1 (sf); previously on Apr 1, 2013 Affirmed
Caa3 (sf)
Issuer: Terwin Mortgage Trust, Series TMTS 2004-3HE
Cl. B-1, Upgraded to Caa3 (sf); previously on May 3, 2012
Downgraded to C (sf)
Cl. M-2, Upgraded to Ba3 (sf); previously on Mar 1, 2016 Upgraded
to B2 (sf)
Cl. M-2-X, Upgraded to Ba3 (sf); previously on Mar 1, 2016 Upgraded
to B2 (sf)
Cl. M-3, Upgraded to B2 (sf); previously on Mar 1, 2016 Upgraded to
Ca (sf)
Cl. M-3-X, Upgraded to B2 (sf); previously on Mar 1, 2016 Upgraded
to Ca (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 available to the
bonds. The downgrade of ACE Securities Corp. Home Equity Loan
Trust, Series 2004-HE3 Cl. M-1 is primarily due to recent interest
shortfalls on the bond which are not expected to be reimbursed due
to a weak interest shortfall reimbursement waterfall.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017. The
methodologies used in rating class M-2-X and class M-3-X 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 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.
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
TCR subscribers have free access to our on-line news archive.
Point your Web browser to http://TCRresources.bankrupt.com/and use
the e-mail address to which your TCR is delivered to login.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman,
Editors.
Copyright 2018. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The TCR subscription rate is $975 for 6 months delivered via
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firm for the term of the initial subscription or balance thereof
are $25 each. For subscription information, contact Peter A.
Chapman at 215-945-7000 or Nina Novak at 202-362-8552.
*** End of Transmission ***