/raid1/www/Hosts/bankrupt/TCR_Public/180429.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, April 29, 2018, Vol. 22, No. 118
Headlines
AMMC CLO XI: S&P Assigns Prelim BB(sf) Rating on Class E-R2 Notes
APIDOS CLO XV: S&P Assigns B-(sf) Rating on $9.25MM Cl. F-RR Notes
ASHFORD HOSPITALITY 2018-ASHF: S&P Gives (P)B- Rating on Cl. F Debt
BAIN CAPITAL 2018-1: S&P Assigns BB-(sf) Rating on Class E Notes
BAIN CAPITAL 2018-1: S&P Assigns Prelim. BB(sf) Rating on E Notes
BENEFIT STREET V-B: S&P Assigns Prelim BB-(sf) Rating on D Notes
EPICUREAN LLC: Hires McCarthy Reynolds as Counsel
FORTRESS CREDIT III: S&P Assigns BB(sf) Rating on Class E-R Notes
GE COMMERCIAL 2005-C1: S&P Affirms 'B-(sf)' Rating on Cl. D Certs
GOLDENTREE LOAN 3: S&P Assigns Prelim B-(sf) Rating on Cl. F Notes
HONOR AUTO 2016-1: S&P Puts BB- Rating on C Notes on Watch Neg.
JP MORGAN 2004-LN2: S&P Cuts Class B Certs Rating to 'D(sf)'
JP MORGAN 2018-4: S&P Assigns Prelim B+(sf) Rating on Cl B-5 Certs
LCM XXI: S&P Assigns BB-(sf) Rating on $16MM Class E-R Notes
LCM XXI: S&P Assigns Prelim BB-(sf) Rating on Class E-R Notes
MADISON PARK XIII: S&P Assigns B-(sf) Rating on Class F-R Notes
MAPS LTD 2018-1: S&P Assigns Prelim BB(sf) Rating on Class C Notes
MIDOCEAN CREDIT IV: S&P Assigns BB(sf) Rating on Class E-R Notes
N-STAR REAL IX: S&P Cuts Ratings on 3 Tranche to Dsf
NEUBERGER BERMAN XXI: S&P Assigns BB-(sf) Rating on Cl. E-R Notes
NORTHWOODS CAPITAL XI-B: S&P Gives Prelim BB- Rating on Cl. E Notes
OCTAGON INVESTMENT 18-R: S&P Assigns B-(sf) Rating on Cl. E Notes
RESIDENTIAL REINSURANCE 2018-I S&P Gives (P)B Rating on 13 Notes
RR LTD 4: S&P Assigns Prelim BB-(sf) Rating on $34MM Class D Notes
TCW CLO 2018-1: S&P Assigns Prelim BB-(sf) Rating on Class E Notes
TELOS CLO 2014-5: S&P Assigns BB-(sf) Rating on Class E-R Notes
TIDEWATER AUTO 2018-A: S&P Assigns Prelim BB(sf) Rating on E Notes
TRYON PARK: S&P Assigns B-(sf) Rating on $8.40MM Class E-R Notes
VOYA CLO 2014-1: S&P Assigns B-(sf) Rating on Class E-R2 Notes
VOYA CLO 2014-1: S&P Assigns Prelim. B-(sf) Rating on Cl E-R2 Notes
WACHOVIA BANK 2005-C21: S&P Cuts Class E Certs Rating to D(sf)
WEST CLO 2012-1: S&P Raises Class D Notes Rating to BB+(sf)
WHITEHORSE VI: S&P Affirms B(sf) Rating on Class B-3L Notes
WOODMONT TRUST 2018-4: S&P Assigns BB Rating on $33MM Cl. E Notes
[*] DBRS Reviews 706 Classes From 59 US RMBS Transactions
[*] S&P Places 21 Classes From 13 US CLO Deals on CreditWatch
[*] S&P Takes Various Actions on 101 Classes From 25 US RMBS Deals
[*] S&P Takes Various Actions on 37 Classes From Four US RMBS Deals
*********
AMMC CLO XI: S&P Assigns Prelim BB(sf) Rating on Class E-R2 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R2, A-2-R2, A-3A-R2, A-3B-R2, B-R2, C-R2, D-R2, and E-R2
replacement notes, as well as to the new class X and F notes from
AMMC CLO XI Ltd., a collateralized loan obligation (CLO) originally
issued in 2012 that is managed by American Money Management Corp.
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. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
On the April 30, 2018, refinancing date, the proceeds from the
replacement notes issuance are expected to redeem the original
notes. S&P said, "At that time, we anticipate withdrawing the
ratings on the original notes and assigning ratings to the
replacement notes. However, if the refinancing doesn't occur, we
may affirm the ratings on the original notes and withdraw our
preliminary ratings on the replacement notes. "
The replacement notes are being issued via a proposed supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, will also:
-- Extend the reinvestment period to April 30, 2023, from Oct. 30,
2018.
-- Extend the legal final maturity date on the notes to April 30,
2031, from Oct. 30, 2023.
-- Adopt the use of the non-model version of CDO Monitor for this
transaction. During the reinvestment period, the non-model version
of CDO Monitor may be used to indicate whether changes to the
collateral portfolio are generally consistent with the transaction
parameters S&P assumed when initially assigning ratings to the
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.
"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
AMMC CLO XI Ltd.
Replacement class Rating Amount (mil. $)
A-1-R2 AAA (sf) 216.60
A-2-R2 AAA (sf) 30.00
A-3A-R2 AAA (sf) 30.00
A-3B-R2 AAA (sf) 2.50
B-R2 AA (sf) 45.20
C-R2 A (sf) 30.00
D-R2 BBB (sf) 23.60
E-R2 BB (sf) 17.20
Subordinated notes NR 44.60
New class Rating Amount (mil. $)
X AAA (sf) 6.00
F B (sf) 6.40
NR--Not rated.
APIDOS CLO XV: S&P Assigns B-(sf) Rating on $9.25MM Cl. F-RR Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class X-RR, A-1-RR,
B-RR, C-RR, D-RR, E-RR, and F-RR replacement notes from Apidos CLO
XV/Apidos CLO XV LLC, a collateralized loan obligation (CLO)
originally issued in October 2013 and partially refinanced in March
2017.
On the April 20, 2018 refinancing date, proceeds from the
replacement note issuances were used to redeem the original 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 assigned 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 will take further rating actions as
we deem necessary."
RATINGS ASSIGNED
Apidos CLO XV/Apidos CLO XV LLC
Replacement class Rating Amount (mil. $)
X-RR AAA (sf) 5.00
A-1-RR AAA (sf) 300.00
A-2-RR NR 20.00
B-RR AA (sf) 60.00
C-RR (deferrable) A (sf) 32.50
D-RR (deferrable) BBB- (sf) 27.50
E-RR (deferrable) BB- (sf) 20.00
F-RR (deferrable) B- (sf) 9.25
Subordinated notes NR 55.70
NR--Not rated.
RATINGS WITHDRAWN
Apidos CLO XV/Apidos CLO XV LLC
Rating
Class To From
A-1-R NR AAA (sf)
A-2AR NR AA+ (sf)
A-2BR NR AA+ (sf)
B-1R NR A+ (sf)
B-2R NR A+ (sf)
C NR BBB (sf)
D NR BB (sf)
E NR B (sf)
NR--Not rated.
ASHFORD HOSPITALITY 2018-ASHF: S&P Gives (P)B- Rating on Cl. F Debt
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Ashford
Hospitality Trust 2018-ASHF's $743.6 million commercial mortgage
pass-through certificates series 2018-ASHF.
The note issuance is a commercial mortgage-backed securities
transaction backed by one, two-year, floating-rate, interest-only
commercial mortgage loan totaling $782.7 million with five,
one-year extension options, secured by cross-collateralized and
cross-defaulted mortgages, on the borrowers' fee and leasehold
interests in 22 hotels, 12 full-service, nine limited-service, and
one extended-stay hotels.
The preliminary ratings are based on information as of April 25,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of the collateral's
historical and projected performance, the sponsor's and managers'
experience, the trustee-provided liquidity, the loan's terms, and
the transaction's structure.
PRELIMINARY RATINGS ASSIGNED
Ashford Hospitality Trust 2018-ASHF
Class Rating(i) Amount ($)
A AAA (sf) 243,105,000
X-CP BBB- (sf) 241,585,000(ii)
X-EXT BBB- (sf) 241,585,000(ii)
B AA- (sf) 88,635,000
C A- (sf) 65,930,000
D BBB- (sf) 87,020,000
E BB- (sf) 137,275,000
F B- (sf) 121,600,000
RR interest(iii) NR 39,135,000
(i) The issuer will issue the certificates to qualified
institutional buyers in line with Rule 144A of the Securities Act
of 1933.
(ii) Notional balance. The notional amount of the class X-CP and
X-EXT certificates will be reduced by the aggregate amount of
principal distributions and realized losses allocated to the class
B, C, and D certificates.
(iii) Eligible vertical risk retention interest.
NR--Not rated.
BAIN CAPITAL 2018-1: S&P Assigns BB-(sf) Rating on Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Bain Capital Credit CLO
2018-1 Ltd./Bain Capital Credit CLO 2018-1 LLC's $509.40 million
floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed primarily by broadly syndicated senior secured term loans.
The ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
Bain Capital Credit CLO 2018-1 Ltd. /Bain Capital Credit CLO
2018-1 LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 341.40
A-2 NR 42.60
B AA (sf) 75.60
C (deferrable) A (sf) 34.20
D (deferrable) BBB- (sf) 34.20
E (deferrable) BB- (sf) 24.00
Subordinated notes NR 59.30
NR--Not rated.
BAIN CAPITAL 2018-1: S&P Assigns Prelim. BB(sf) Rating on E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Bain Capital
Credit CLO 2018-1 Ltd./Bain Capital Credit CLO 2018-1 LLC's $509.40
million floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed primarily by broadly syndicated senior secured term loans.
The preliminary ratings are based on information as of April 18,
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
Bain Capital Credit CLO 2018-1 Ltd./Bain Capital Credit CLO
2018-1 LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 341.40
A-2 NR 42.60
B AA (sf) 75.60
C (deferrable) A (sf) 34.20
D (deferrable) BBB- (sf) 34.20
E (deferrable) BB- (sf) 24.00
Subordinated notes NR 59.30
NR--Not rated.
BENEFIT STREET V-B: S&P Assigns Prelim BB-(sf) Rating on D Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Benefit
Street Partners CLO V-B Ltd.'s $457.50 million floating notes.
The note issuance is a collateralized loan obligation (CLO)
transaction backed by primarily broadly syndicated
speculative-grade senior secured term loans that are governed by
collateral quality tests.
The preliminary ratings are based on information as of April 23,
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
Benefit Street Partners CLO V-B Ltd.
Class Rating Amount
(mil. $)
A-1A AAA (sf) 310.00
A-1B AAA (sf) 10.00
A-2 AA (sf) 50.00
B (deferrable) A (sf) 40.00
C (deferrable) BBB- (sf) 30.00
D (deferrable) BB- (sf) 17.50
Subordinated notes NR 51.40
NR--Not rated.
EPICUREAN LLC: Hires McCarthy Reynolds as Counsel
-------------------------------------------------
The Epicurean, LLC, seeks authority from the U.S. Bankruptcy Court
for the District of South Carolina to employ McCarthy Reynolds &
Penn, LLC, as counsel to the Debtor.
Epicurean, LLC requires McCarthy Reynolds to:
a. advise the Debtor of its rights, powers and duties;
b. attend meetings with the Debtor and hearings before the
Bankruptcy Court;
c. assist other professionals retained by the Debtor in the
investigation of the acts, conduct, assets, liabilities and
financial condition of Debtor, and any other matters
relevant to the case or to the formulation of a plan of
reorganization or liquidation;
d. investigate the validity, extent, and priority of secured
claims against the Debtor's estate, and investigating the
acts and conduct of such secured creditors and other
parties to determine whether any causes of action may
exist;
e. advise the Debtor with regard to the preparation and filing
of all necessary and appropriate applications, motions,
pleadings, draft orders, notices, schedules, and other
documents, and review all financial and other reports to be
filed in these matters;
f. advise the Debtor with regard to the preparation and filing
of responses to applications, motions, pleadings, notices
and other papers that may be filed and served in these
chapter 11 cases by other parties; and
g. perform other necessary legal services for and on behalf of
the Debtor that may be necessary or appropriate in the
administration of these chapter 11 cases.
McCarthy Reynolds will be paid at these hourly rates:
Attorneys $250 to $425
Paralegals $100 to $125
Prepetition, McCarthy Reynolds received from the Debtor a retainer
of $10,000, where $5,356 was deducted as prepetition charges,
leaving a balance of $4,644 held in McCarthy Reynolds trust
account.
McCarthy Reynolds will also be reimbursed for reasonable
out-of-pocket expenses incurred.
G. William McCarthy, a partner at McCarthy Reynolds, assured the
Court that the firm is a "disinterested person" as the term is
defined in Section 101(14) of the Bankruptcy Code and does not
represent any interest adverse to the Debtor and its estates.
McCarthy Reynolds can be reached at:
G. William McCarthy, Jr., Esq.
MCCARTHY REYNOLDS & PENN, LLC
P. O. Box 11332
Columbia, SC 29211-1332
Tel: (803) 771-8836
Fax: (803) 753-6960
E-mail: bmccarthy@mccarthy-lawfirm.com
About The Epicurean
The Epicurean, LLC, filed a Chapter 11 bankruptcy petition (Bankr.
D.S.C. Case No. 18-01820) on April 10, 2018, estimating under $1
million in assets and liabilities. G. William McCarthy, Esq., at
McCarthy Reynolds & Penn, LLC, serves as the Debtor's counsel.
FORTRESS CREDIT III: S&P Assigns BB(sf) Rating on Class E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-1-R,
B-2-R, C-R, D-R, and E-R replacement notes from Fortress Credit BSL
III Ltd., a collateralized loan obligation (CLO) originally issued
in 2015 that is managed by FC BSL III CM LLC. S&P withdrew its
ratings on the class A, B-1, B-2, C, D, and E notes following
payment in full on the April 18, 2018, refinancing date.
On the April 18, 2018, refinancing date, the proceeds from the
class A-R, B-1-R, B-2-R, C-R, D-R, and E-R replacement notes
issuances were used to redeem the original class A, B-1, B-2, 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 assigned ratings to 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:
-- Issue all replacement class notes, apart from class B-2-R, at a
lower spread than the original notes.
-- Extend the stated maturity to 13 years.
-- Extend the reinvestment period to April 2023 from October
2019.
-- Extend the non-call period to April 2020 from October 2017.
Extend the weighted average life test date will be April 16, 2027.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take further rating actions
as we deem necessary."
RATINGS ASSIGNED
Fortress Credit BSL III Ltd./Fortress Credit BSL III LLC
Replacement class Rating Amount (mil. $)
A-R AAA (sf) 331.0
B-1-R AA (sf) 58.0
B-2-R AA (sf) 26.0
C-R A (sf) 33.0
D-R BBB (sf) 29.0
E-R BB (sf) 22.5
Subordinate notes NR 61.5
NR--Not rated.
GE COMMERCIAL 2005-C1: S&P Affirms 'B-(sf)' Rating on Cl. D Certs
-----------------------------------------------------------------
S&P Global Ratings affirmed its 'B- (sf)' rating on the class D
commercial mortgage pass-through certificates from GE Commercial
Mortgage Corp.'s series 2005-C1, a U.S. commercial mortgage-backed
securities (CMBS) transaction.
The affirmation reflects that S&P's expectation of credit
enhancement was in line with the affirmed rating level.
While the available credit enhancement level may suggest positive
rating movement on class D, S&P's analysis also considered the
susceptibility to reduced liquidity support from its exposure to
the specially serviced Lakeside Mall real estate-owned (REO) asset
($64.0 million, 89.1%), the resolution timing of which remains
uncertain.
TRANSACTION SUMMARY
As of the April 10, 2018, trustee remittance report, the collateral
pool balance was $71.8 million, which is 4.3% of the pool balance
at issuance. The pool currently includes one loan and one REO
asset, down from 127 loans at issuance. One asset is with the
special servicer, and no loans are reported on the master
servicer's watchlist.
S&P said, "We calculated a 1.51x S&P Global Ratings debt service
coverage and 47.9% S&P Global Ratings loan-to-value ratio using a
8.25% S&P Global Ratings capitalization rate on the sole performing
loan.
"To date, the transaction has experienced $84.5 million in
principal losses, or 5.0% of the original pool trust balance. We
expect losses to reach approximately 8.0% 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
sole specially serviced asset."
CREDIT CONSIDERATIONS
As of the April 10, 2018, trustee remittance report, the Lakeside
Mall REO asset was with the special servicer, C-III Asset
Management LLC (C-III). The Lakeside Mall REO asset, the larger of
the two remaining assets in the trust, has a reported $68.9 million
exposure. The trust balance represents a 50% pari passu piece of
the whole balance. The other 50% pari passu piece is in COMM
2005-LP5, also a U.S. CMBS transaction, which also reported a $68.9
million exposure. The asset is 643,375 sq. ft. of a 1.48
million-sq.-ft. regional mall in Sterling Heights, Mich. The whole
loan was transferred to special servicing on May 17, 2016, due to
imminent maturity default (the loan matured on June 1, 2016), and
the property became REO on June 30, 2017. The reported DSC was
0.87x for year-end 2016, and according to the Feb. 28, 2018, rent
roll, the occupancy on the collateral property was 65.1%. C-III
stated that it is working on leasing up the vacant space prior to
liquidation. A $47.8 million appraisal reduction amount was in
effect against the asset, and S&P expects a significant loss
(greater than 60%) upon its eventual resolution.
RATINGS LIST
GE Commercial Mortgage Corporation
Commercial mortgage pass-through certificates series 2005-C1
Rating
Class Identifier To From
D 36828QKX3 B- (sf) B- (sf)
GOLDENTREE LOAN 3: S&P Assigns Prelim B-(sf) Rating on Cl. F Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Goldentree
Loan Management US CLO 3 Ltd./Goldentree Loan Management US CLO 3
LLC's $632.9 million floating-rate notes.
The note issuance is collateralized loan obligation securitization
backed by primarily broadly syndicated speculative-grade senior
secured term loans that are governed by collateral quality tests.
The preliminary ratings are based on information as of April 23,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The 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
Goldentree Loan Management US CLO 3 Ltd./Goldentree Loan
Management US CLO 3 LLC
Class Rating Amount
(mil. $)
X AAA (sf) 5.00
A AAA (sf) 427.00
A-J NR 24.50
B-1 AA (sf) 33.00
B-2 AA (sf) 23.00
C (deferrable) A (sf) 57.75
D (deferrable) BBB- (sf) 43.75
E (deferrable) BB- (sf) 28.00
F (deferrable) B- (sf) 15.40
Subordinate notes NR 52.40
NR--Not rated.
HONOR AUTO 2016-1: S&P Puts BB- Rating on C Notes on Watch Neg.
---------------------------------------------------------------
S&P Global Ratings placed its 'BB- (sf)' rating on the class C
notes from Honor Automobile Trust Securitization 2016-1 on
CreditWatch with negative implication. Honor Automobile Trust
Securitization 2016-1 is a subprime auto loan asset-backed
securities (ABS) transaction.
The transaction's overcollateralization (O/C), which is the primary
form of credit enhancement for the class C notes, has declined from
its target of 20.50% of the current collateral balance as of the
end of November 2017 to 15.62% ($7.20 million) as of March 31,
2018. While O/C increased approximately $100,000 in March, S&P
believes continued reductions are likely to occur given the rate at
which it was declining before March and the current high level of
extensions and repossessions. As of the end of March, approximately
$3.2 million was in repossession inventory that had not liquidated
or defaulted (7.04% of ending collateral balance). During March,
$9.1 million in extensions (18.35% of that month's beginning
collateral balance) were granted.
The pool has experienced cumulative net loss (CNL) of 16.41% based
on the transaction's March servicing report and has a pool factor
of 41.1%. Our original expected cumulative net loss (ECNL) level
was approximately 21%. At this point, it appears that losses are
trending significantly worse than we originally expected.
S&P did not place its 'A (sf)' and 'BBB (sf)' ratings on classes A
and B, respectively, on CreditWatch negative at this time given
that credit enhancement currently appears adequate to support their
ratings. Total hard credit enhancement at this point for class A is
71.42%, consisting of 50.94% subordination, 15.62% of O/C, and
4.87% in the reserve account; for class B, total hard credit
enhancement is 39.67%, consisting of 19.19% subordination, 15.62%
of O/C, and 4.87% in the reserve account. However, continued
performance deterioration and operational factors could affect the
class B notes, and cause it to take rating action on these bonds at
a later date.
Class C's total hard credit enhancement is 20.48%. While class C's
hard credit enhancement has grown from 13% at closing (11% initial
O/C plus 2% reserve account), S&P believes O/C will decline going
forward to the extent repossessions are liquidated in a timely
fashion and a portion of the extended contracts ultimately default.
Class C is highly dependent upon excess spread and vulnerable to
losses that cause O/C to decline.
Several senior managers have recently left Honor. The president,
who was the co-founder, departed in December 2017, and the chief
financial officer retired in March 2018. The company's other
co-founder, who was serving as its chief operating officer and
chief compliance officer, has now assumed the additional role of
president. Honor's controller, who was hired in October 2017 to
fill the vacancy left by the former controller, has become the
interim CFO.
S&P said, "We will continue to monitor this transaction and plan to
resolve the CreditWatch after we have gathered sufficient data to
more accurately project future losses, develop a loss-timing
forecast, and conduct cash flow analysis. The company's high
delinquency, repossession, and extension levels are complicating
factors in this analysis. We will also assess various operational
factors that could influence the pool's performance."
JP MORGAN 2004-LN2: S&P Cuts Class B Certs Rating to 'D(sf)'
------------------------------------------------------------
S&P Global Ratings lowered its rating on the class B commercial
mortgage pass-through certificates from JPMorgan Chase Commercial
Mortgage Securities Corp.'s series 2004-LN2, a U.S. commercial
mortgage-backed securities (CMBS) transaction, to 'D (sf)' from
'CCC- (sf)' .
The downgrade reflects principal losses on the affected class as
detailed in the April 16, 2018, trustee remittance report.
According to the April 16, 2018, trustee remittance report, class B
experienced $55,656 in principal losses this period due primarily
to the liquidation of the specially serviced Dayton Portfolio
asset. Consequently, class B experienced a 0.2% loss of its
original bond balance.
JP MORGAN 2018-4: S&P Assigns Prelim B+(sf) Rating on Cl B-5 Certs
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to J.P. Morgan
Mortgage Trust 2018-4's $732.8 million mortgage pass-through
certificates.
The issuance is a residential mortgage-backed securities
transaction backed by residential mortgage loans.
The preliminary ratings are based on information as of April 23,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- High-quality collateral in the pool;
-- Available credit enhancement;
-- Experienced aggregator;
-- The 100% due diligence sampling results consistent with
represented loan characteristics; and
-- The transaction's associated structural mechanics.
PRELIMINARY RATINGS ASSIGNED
J.P. Morgan Mortgage Trust 2018-4
Class Rating Amount ($)
A-1 AA+ (sf) 692,308,000
A-2 AA+ (sf) 692,308,000
A-3 AAA (sf) 648,118,000
A-4 AAA (sf) 648,118,000
A-5 AAA (sf) 518,494,000
A-6 AAA (sf) 518,494,000
A-7 AAA (sf) 129,624,000
A-8 AAA (sf) 129,624,000
A-9 AAA (sf) 99,296,000
A-10 AAA (sf) 99,296,000
A-11 AAA (sf) 30,328,000
A-12 AAA (sf) 30,328,000
A-13 AA+ (sf) 44,190,000
A-14 AA+ (sf) 44,190,000
A-15 AAA (sf) 408,314,000
A-16 AAA (sf) 408,314,000
A-17 AAA (sf) 110,180,000
A-18 AAA (sf) 110,180,000
A-X-1 AA+ (sf) 692,308,000(i)
A-X-2 AA+ (sf) 692,308,000(i)
A-X-3 AAA (sf) 648,118,000(i)
A-X-4 AAA (sf) 518,494,000(i)
A-X-5 AAA (sf) 129,624,000(i)
A-X-6 AAA (sf) 99,296,000(i)
A-X-7 AAA (sf) 30,328,000(i)
A-X-8 AA+ (sf) 44,190,000(i)
A-X-9 AAA (sf) 408,314,000(i)
A-X-10 AAA (sf) 110,180,000(i)
B-1 AA- (sf) 11,047,000
B-2 A- (sf) 12,152,000
B-3 BBB- (sf) 9,943,000
B-4 BB- (sf) 5,156,000
B-5 B+ (sf) 2,209,000
B-6 NR 3,683,181
A-IO-S NR 243,457,464(i)
A-R NR N/A
(i)Notional balance.
NR--Not rated.
N/A--Not applicable.
LCM XXI: S&P Assigns BB-(sf) Rating on $16MM Class E-R Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, and
E-R replacement notes from LCM XXI L.P., a U.S. collateralized loan
obligation (CLO) transaction managed by LCM Asset Management LLC.
The replacement notes are being issued via a supplemental
indenture. S&P said, "We withdrew our ratings on the original class
A, B-1, B-2, and E notes from this transaction following payment in
full on the April 20, 2018, refinancing date. At the same time, we
affirmed our ratings on the class C and D notes.
On the April 20, 2018, refinancing date, the proceeds from the
class A-R, B-R, and E-R replacement note issuances were used to
redeem the original class A, B-1, B-2, and E notes as outlined in
the transaction document provisions. Therefore, we withdrew our
ratings on the original notes in line with their full redemption,
and we are assigning final ratings to the new notes. The class C
and D notes are not affected by the changes in the supplemental
indenture."
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"The assigned ratings reflect our opinion that the credit support
available is commensurate with the associated rating levels.
"We will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as it deems
necessary."
RATINGS ASSIGNED
LCM XXI L.P.
Replacement class Rating Amount (mil $)
A-R AAA (sf) 235.00
B-R AA (sf) 46.80
E-R BB- (sf) 16.00
L.P. certificates NR 36.36
RATINGS WITHDRAWN
LCM XXI L.P.
Rating
Original class To From
A NR AAA (sf)
B-1 NR AA (sf)
B-2 NR AA (sf)
E NR BB- (sf)
RATINGS AFFIRMED
LCM XXI L.P.
Class Rating
C A (sf)
D BBB (sf)
NR--Not rated.
LCM XXI: S&P Assigns Prelim BB-(sf) Rating on Class E-R Notes
-------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, and E-R replacement notes from LCM XXI L.P., a
collateralized loan obligation (CLO) originally issued in 2016 that
is managed by LCM Asset Management LLC. The replacement notes will
be issued via a proposed supplemental indenture. The currently
outstanding class C and D notes are unaffected by this proposed
amendment.
The preliminary ratings are based on information as of April 18,
2018 and reflect S&P's opinion that the credit support available is
commensurate with the associated rating level. Subsequent
information may result in the assignment of final ratings that
differ from the preliminary ratings.
On the April 20, 2018, refinancing date, the proceeds from the
issuance of the replacement notes are expected to redeem the
original class A, B-1, B-2 and E notes. S&P said, "At that time, we
anticipate withdrawing the ratings on the original refinanced notes
and assigning ratings to the new replacement notes, as well as
affirming our rating on the class C and D 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."
Based on the proposed supplemental indenture, the floating-rate
class B-1 and fixed-rate class B-2 notes will be replaced with the
proposed floating-rate class B-R notes.
CASH FLOW ANALYSIS RESULTS
Current date after proposed refinancing
Class Amount Interest BDR SDR Cushion
(mil. $) rate (%) (%) (%) (%)
A-R 235.00 LIBOR + 0.88 73.07 61.21 11.86
B-R 46.80 LIBOR + 1.40 69.91 53.97 15.95
E-R 16.00 LIBOR + 5.75 43.42 33.27 10.15
BDR--Break-even default rate. SDR--Scenario default rate.
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 (see table). In
line with our criteria, our cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, our analysis considered
the transaction's ability to pay timely interest or ultimate
principal, or both, to each of the rated tranches.
"We will continue to review whether, in our view, the rating
assigned to the note remains consistent with the credit enhancement
available to support it, and we will take further rating action as
we deem necessary."
PRELIMINARY RATINGS ASSIGNED
LCM XXI L.P.
Replacement class Rating Amount (mil. $)
A-R AAA (sf) 235.00
B-R AA (sf) 46.80
E-R BB- (sf) 16.00
OTHER OUTSTANDING RATINGS
LCM XXI L.P.
Class Rating
C A (sf)
D BBB (sf)
L.P. certificates NR
NR--Not Rated.
MADISON PARK XIII: S&P Assigns B-(sf) Rating on Class F-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to Madison Park Funding
XIII Ltd./Madison Park Funding XIII LLC's $675.5 million
floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed primarily by broadly syndicated speculative-grade senior
secured term loans. This is a refinancing of the Madison Park
Funding XIII Ltd. transaction that closed in February 2014, which
we did not rate.
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
Madison Park Funding XIII Ltd./Madison Park Funding XIII LLC
Class Rating Amount (mil. $)
X-R NR 5.52
A-R2 AAA (sf) 450.00
B-R2 AA (sf) 96.50
C-R2 A (sf) 45.00
D-R2 BBB- (sf) 46.50
E-R BB- (sf) 27.50
F-R B- (sf) 10.00
Subordinated notes NR 60.50
NR--Not rated.
MAPS LTD 2018-1: S&P Assigns Prelim BB(sf) Rating on Class C Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to MAPS 2018-1
Ltd.'s series A, B, and C $506.5 million fixed-rate notes.
The note issuance is backed by 25 aircraft and the related leases
and shares and beneficial interests in entities that directly and
indirectly receive aircraft portfolio lease rental and residual
cash flows, among others.
The preliminary ratings are based on information as of April 23,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The likelihood of timely interest on the series A notes
(excluding the step-up amount) on each payment date, the timely
interest on the series B notes (excluding the step-up amount) when
they are the senior-most notes outstanding on each payment date,
and the ultimate interest and principal payment on the series A, B,
and C notes on the legal final maturity at the respective rating
stress.
-- The 68.61% loan-to-value (LTV) ratio (based on the lower of the
mean and median [LMM] of the three half-life base values and the
three half-life current market values) on the series A notes; the
77.71% LTV ratio on the series B notes; and the 83.74% LTV ratio on
the series C notes.
-- The aircraft collateral's quality and lease rental and residual
value generating capability. The portfolio contains 25
in-production narrow-body passenger planes (10 A320 family and 15
B737-NG). The 25 aircraft have a weighted average age of
approximately nine years and a remaining average lease term of
approximately 4.4 years. These aircraft, though entering mid-life,
are still liquid narrow-body aircraft models. While Airbus
delivered the first A320neo in January 2016 and Boeing delivered
the B737MAX in 2017, S&P expects that the new, more fuel-efficient
models replacing all of the current A320 family and B737-NG will
take many years; S&P views this as a moderate threat to aircraft
values and incorporate it into our collateral evaluation.
-- Many of the initial lessees have low credit quality, which is
not uncommon in aircraft securitizations (and 56% of the lessees
(by aircraft value) are domiciled in emerging markets. S&P views of
the lessee credit quality, country risk, lessee concentration, and
country concentration is reflected in its lessee default rate
assumptions.
-- The series A and B notes follow a straight-line
13-years-to-zero amortization. The series C notes follow a
straight-line seven-years-to-zero amortization.
-- The transaction's capital structure, payment priority, note
amortization schedules, and performance triggers. Similar to other
recently S&P Global Ratings-rated mid-life aircraft asset-backed
securities (ABS), this transaction has a few structural
features--such as rapid amortization and excess proceeds
payment--that can, to some extent, mitigate the value retention
risk of aging aircraft and the risk of an aircraft's green time
monetizing. However, the transaction's partial rapid amortization
only applies to the series C notes.
-- The existence of a liquidity facility that equals nine months
of interest on the series A and B notes.
-- Alton Aviation Consulting performed a maintenance analysis
before closing. After closing, the servicer will perform a
forward-looking 18-month maintenance analysis at least
semiannually, which Alton Aviation Consulting will review and
confirm for reasonableness and achievability.
-- The maintenance reserve account must keep a balance of the
higher of the lower of $1 million and the preliminary rated series
A and B notes' outstanding notional amount and the sum of
forward-looking maintenance expenses. The maintenance reserve
account will be funded at $23.7 million at closing and any excess
amount in the maintenance reserve account will not be transferred
to collection account during the first six months after closing.
-- The senior indemnification (excluding indemnification amount to
lessees under leases entered before this transaction's closing) is
capped at $10 million and is modeled to occur in the first 12
months.
-- The junior indemnification (uncapped) is subordinated to the
rated series' principal payment.
-- Merx Aviation Servicing Ltd., which is recently formed but part
of the Merx group, is the servicer for this transaction. Merx group
is an aircraft leasing and management company founded by Apollo
Investment Corp. in 2012.
PRELIMINARY RATINGS ASSIGNED
MAPS 2018-1 Ltd.
Series Rating(i) Coupon (%) Amount
(mil. $)
A A (sf) 4.25 415.0
B BBB (sf) 6.00 55.0
C BB (sf) 7.00 36.5
MIDOCEAN CREDIT IV: S&P Assigns BB(sf) Rating on Class E-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-R, and E-R replacement notes from MidOcean Credit CLO IV, a U.S.
collateralized loan obligation (CLO) originally issued in 2015 that
is managed by MidOcean Credit Fund Management LP. S&P said, "We
withdrew our ratings on the original class A, B, C, D, and E notes
following payment in full on the April 16, 2018, refinancing date.
At the same time, we affirmed our rating on the class F notes."
On the April 16, 2018, refinancing date, the proceeds from the
class A-R, B-R, C-R, D-R, and E-R replacement note issuances were
used to redeem the original class A, 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 final ratings to the new notes.
The replacement notes are being issued via a supplemental
indenture. The class F notes are not affected by the changes in the
supplemental indenture.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"The assigned ratings reflect our opinion that the credit support
available is commensurate with the associated rating levels.
"We will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as it deems
necessary."
RATINGS ASSIGNED
MidOcean Credit CLO IV
Replacement class Rating Amount (mil $)
A-R AAA (sf) 251.50
B-R AA (sf) 48.50
C-R A (sf) 29.75
D-R BBB (sf) 20.75
E-R BB (sf) 18.00
Subordinated notes NR 32.00
RATINGS AFFIRMED
MidOcean Credit CLO IV
Class Rating
F B (sf)
RATINGS WITHDRAWN
MidOcean Credit CLO IV
Rating
Original class To From
A NR AAA (sf)
B NR AA (sf)
C NR A (sf)
D NR BBB (sf)
E NR BB (sf)
NR--Not rated.
N-STAR REAL IX: S&P Cuts Ratings on 3 Tranche to Dsf
----------------------------------------------------
S&P Global Ratings lowered its ratings on the class A-2, A-3, and B
notes from N-Star Real Estate CDO IX Ltd., a U.S. commercial real
estate collateralized debt obligation (CRE CDO) transaction, to 'D
(sf)'.
The rating actions follow S&P's review of the April 9, 2018,
trustee payment report.
The downgrades reflect an event of default (EOD) that was triggered
when the class A/B principal coverage ratio decreased below the
mandated level of 100%. Following this, the holders of at least a
majority in aggregate principal amount of the outstanding notes of
the controlling class directed the trustee to declare the principal
and accrued interest on all notes to be immediately due and
payable, as of the payment date occurring in April 2018. As a
result, the class A-1 notes were the only notes to receive interest
per the April 9, 2018, payment report. The ratings on the class
A-2, A-3, and B notes have been lowered to 'D (sf)' due to their
missed interest payments as these classes are not deferrable.
For this analysis, S&P did not rely on cash or credit analysis due
to the review being based on the triggering of an EOD that caused
payment accelerations.
RATINGS LOWERED
N-Star Real Estate CDO IX Ltd.
Rating
Class To From
A-2 D (sf) CCC (sf)
A-3 D (sf) CCC- (sf)
B D (sf) CCC- (sf)
NEUBERGER BERMAN XXI: S&P Assigns BB-(sf) Rating on Cl. E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-1-R, B-R, C-R, D-R, and E-R notes from Neuberger Berman CLO XXI
Ltd., a collateralized loan obligation (CLO) originally issued on
March 29, 2016, managed by Neuberger Berman Investment Advisers
LLC. The class A-2-R replacement notes are not rated by S&P Global
Ratings. S&P withdrew its ratings on the original class A and E
notes following payment in full on the April 20, 2018, refinancing
date.
On the April 20, 2018, refinancing date, the proceeds from the
replacement note issuances were used to redeem the original notes
as outlined in the transaction document provisions. Therefore, S&P
withdrew its ratings on the class A and E notes in line with their
full redemption, and it is assigning ratings to the class A-1-R,
B-R, C-R, D-R, and E-R replacement notes. The current class B-1,
B-2, C-1, C-2, and D notes are not rated by S&P Global Ratings. In
addition, the replacement class A-2-R notes are not rated by S&P
Global Ratings.
The replacement notes are being issued via a supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, will also:
-- Change the rated par amount and target initial par amount to
$357.00 million and $400.00 million, from $242.40 million and
$360.00 million, respectively. The first payment date following the
April 20, 2018, refinancing date is July 20, 2018.
-- Extend the non-call period on all of the notes to April 20,
2019, from April 20, 2018.
-- Extend the weighted average life test to seven years from the
April 20, 2018, refinancing date, from eight years from the initial
closing date of March 29, 2016.
-- Change the required minimum thresholds for the coverage tests.
-- Incorporate the recovery rate methodology and updated industry
classifications outlined in our August 2016 CLO criteria update.
-- There is no change to the reinvestment period duration, which
ends April 20, 2020, or the April 20, 2027, legal final maturity
date.
REPLACEMENT AND ORIGINAL NOTE ISSUANCES
Replacement Notes
Class Amount Interest
(mil. $) rate (%)
A-1-R 247.00 LIBOR + 0.75
A-2-R 13.00 LIBOR + 0.95
B-R 44.00 LIBOR + 1.18
C-R 26.00 LIBOR + 1.60
D-R 22.00 LIBOR + 2.40
E-R 18.00 LIBOR + 5.20
Subordinated notes 30.90 N/A
Original Notes
Class Amount Interest
(mil. $) rate (%)
X 3.00 LIBOR + 1.00
A 223.20 LIBOR + 1.55
B-1 20.00 LIBOR + 2.40
B-2 25.00 3.65
C-1 15.50 LIBOR + 3.30
C-2 7.90 5.21
D 19.80 LIBOR + 4.95
E 16.20 LIBOR + 7.00
Subordinated notes 30.90 N/A
N/A--Not applicable.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
The assigned ratings reflect our opinion that the credit support
available is commensurate with the associated rating levels.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take rating actions as we
deem necessary."
RATINGS ASSIGNED
Neuberger Berman CLO XXI Ltd.
Replacement class Rating Amount (mil $)
A-1-R AAA (sf) 247.00
A-2-R NR 13.00
B-R AA (sf) 44.00
C-R A (sf) 26.00
D-R BBB- (sf) 22.00
E-R BB- (sf) 18.00
Subordinated notes NR 30.90
RATINGS WITHDRAWN
Neuberger Berman CLO XXI Ltd.
Rating
Original class To From
A NR AAA (sf)
E NR BB (sf)
NR--Not rated.
NORTHWOODS CAPITAL XI-B: S&P Gives Prelim BB- Rating on Cl. E Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Northwoods
Capital XI-B Ltd./Northwoods Capital XI-B LLC's $521.50 million
floating-rate notes. This is a proposed reissue of Northwoods
Capital XI Ltd., which closed in April 2014 and was partially
refinanced in April 2017. Angelo, Gordon & Co. L.P. is the
collateral manager for this transaction. The transaction will
replace the current outstanding notes from Northwoods Capital XI
Ltd. through an optional redemption and issue new notes through a
newly created issuer, Northwoods Capital XI-B Ltd. The new notes
will be issued with amended spreads and extended stated maturity
dates.
The preliminary ratings are based on information as of April 23,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The 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
Northwoods Capital XI-B Ltd./Northwoods Capital XI-B LLC
Replacement class Rating Amount (mil $)
A-1 AAA (sf) 352.00
A-2 NR 27.25
B (deferrable) AA (sf) 71.50
C (deferrable) A (sf) 39.00
D (deferrable) BBB- (sf) 29.75
E (deferrable) BB- (sf) 29.25
Subordinated notes NR 54.45
NR--Not rated.
OCTAGON INVESTMENT 18-R: S&P Assigns B-(sf) Rating on Cl. E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1a, A-2,
B-1, B-2, C, D, and E replacement notes from Octagon Investment
Partners 18-R Ltd., a collateralized loan obligation (CLO)
originally issued in 2013 (and subsequently reset in March 2017),
that is managed by Octagon Credit Investors LLC. We withdrew our
ratings on the class A-1-R, A-2A-R, B-R, C-R, D, and E of Octagon
Investment Partners XVIII Ltd. notes following payment in full on
the April 19, 2018, refinancing date.
On the April 19, 2018, refinancing date, the proceeds from the
class A-1a, A-1b, A-2, B-1, B-2, C, D, and E replacement note
issuances were used to redeem the class A-1-R, A-2A-R, B-R, C-R, D,
and E notes as outlined in the transaction document provisions.
Therefore, we withdrew our ratings on the current outstanding notes
in line with their full redemption, and we are assigning ratings to
the replacement notes.
The replacement notes are being issued via a supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, also:
-- Issued the replacement notes at lower spreads than the original
notes.
-- The stated maturity will be extended to April 16, 2031.
-- The reinvestment period will be extended to April 2023.
-- The non-call period will be extended to April 2020.
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
Octagon Investment Partners 18-R Ltd.
Replacement class Rating Amount (mil. $)
A-1a AAA (sf) 420.00
A-1b NR 28.00
A-2 AA (sf) 87.50
B-1 A (sf) 14.25
B-2 A (sf) 24.25
C BBB- (sf) 42.00
D BB- (sf) 28.00
E B- (sf) 14.00
Subordinated notes NR 33.90
RATINGS WITHDRAWN
Octagon Investment Partners XVIII Ltd.
Rating
Original class To From
A-1-R NR AAA (sf)
A-2A-R NR AA+ (sf)
A-2B-R NR AA+ (sf)
B-R NR A+ (sf)
C-R NR BBB (sf)
D NR BB (sf)
E NR B (sf)
NR--Not rated.
RESIDENTIAL REINSURANCE 2018-I S&P Gives (P)B Rating on 13 Notes
----------------------------------------------------------------
S&P Global Ratings said it has assigned a preliminary rating of
'B(sf)' to the Series 2018-I Class 13 notes to be issued by
Residential Reinsurance 2018 Ltd. (Res Re 2018). The notes cover
losses in all 50 states and the District of Columbia from tropical
cyclone (including flood coverage for renters policies), earthquake
(including fire following and flood coverage for renters policies),
severe thunderstorm, winter storm, wildfire, volcanic eruption,
meteorite impact, and other perils (including in each case flood
losses arising from automobile policies) on an annual aggregate
basis.
The ratings are based on the lowest of the natural-catastrophe
(nat-cat) risk factor ('b'), the rating on the assets in the
Regulation 114 trust account ('AAAm'), and the rating on the ceding
insurer, various operating companies in the USAA corporation (all
currently rated 'AA+/Stable/--').
The base-case one-year probability of attachment, expected loss,
and probability of exhaustion are 1.76%, 0.82%, and 0.38%,
respectively. Using the warm-sea surface temperature results, these
percentages are 2.09%, 0.98%, and 0.48%, respectively.
Additionally, this issuance has a variable reset. Beginning with
the initial reset in June 2019, the attachment probability and
expected loss can be reset to maximums of 2.26% and 1.07%,
respectively. This maximum attachment probability was used as the
baseline to determine the nat-cat risk factor for the remaining
risk periods.
Based on AIR's analysis, on a historical basis, there have not been
any years when the modeled losses exceeded the initial attachment
level of the notes.
RATINGS LIST
New Rating
Residential Reinsurance 2018 Ltd.
Series 2018-I Class 13 notes B(sf)(Prelim)
RR LTD 4: S&P Assigns Prelim BB-(sf) Rating on $34MM Class D Notes
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S&P Global Ratings assigned its preliminary ratings to RR 4 Ltd.'s
$763 million floating notes.
The note issuance is a collateralized loan obligation transaction
backed by primarily broadly syndicated speculative-grade senior
secured term loans that are governed by collateral quality tests.
The preliminary ratings are based on information as of April 17,
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
RR 4 Ltd.
Class Rating Amount
(mil. $)
X AAA (sf) 5.00
A-1A AAA (sf) 527.00
A-1B NR 24.00
A-2 AA (sf) 69.50
B (deferrable) A (sf) 77.50
C (deferrable) BBB- (sf) 50.00
D (deferrable) BB- (sf) 34.00
Subordinated notes NR 69.75
NR--Not rated.
TCW CLO 2018-1: S&P Assigns Prelim BB-(sf) Rating on Class E Notes
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S&P Global Ratings assigned its preliminary ratings to TCW CLO
2018-1 Ltd./TCW CLO 2018-1 LLC's $350.00 million fixed- and
floating-rate notes. The class A-2a and A-2b notes are not rated by
S&P Global Ratings.
The note issuance is a collateralized loan obligation (CLO) backed
primarily by broadly syndicated speculative-grade senior secured
term loans.
The preliminary ratings are based on information as of April 23,
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
TCW CLO 2018-1 Ltd./TCW CLO 2018-1 LLC
Class Rating Amount
(mil. $)(i)
A-1a AAA (sf) 215.00
A-1b AAA (sf) 25.00
A-2a NR 4.00
A-2b NR 14.00
B-1 AA (sf) 21.00
B-2 AA (sf) 25.00
C (deferrable) A (sf) 26.00
D (deferrable) BBB- (sf) 22.00
E (deferrable) BB- (sf) 16.00
Subordinated notes NR 40.20
NR--Not rated.
TELOS CLO 2014-5: S&P Assigns BB-(sf) Rating on Class E-R Notes
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S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R,
B-R, C-R, D-R, and E-R replacement notes from Telos CLO 2014-5
Ltd., a collateralized loan obligation (CLO) originally issued in
2014 that is managed by Telos Asset Management LLC. S&P said, "We
withdrew our ratings on the class A, B-1, B-2, C, D, E, and F notes
following payment in full on the April 17, 2018, refinancing date.
We also assigned a rating to new class X notes that were created as
part of the refinancing."
The ratings reflect S&P's opinion that the credit support available
is commensurate with the associated rating levels.
On the April 17, 2018, refinancing date, the proceeds from the
issuance of the replacement notes were used to redeem the original
notes as outlined in the transaction document provisions.
Therefore, S&P discontinued its ratings on the refinanced notes in
line with their full redemption, and it is assigning ratings to the
replacement notes.
Based on provisions in the supplemental indenture:
-- The replacement class A-1-R, A-2-R, B-R, C-R, D-R, and E-R
notes are being issued at lower spreads than the original notes.
-- The stated maturity is being extended three years, and the
reinvestment period is being extended by two years.
-- The non-call period is also being reset, ending in April 2019.
S&p said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take further rating actions
as we deem necessary."
RATINGS ASSIGNED
Telos CLO 2014-5 Ltd.
Replacement class Rating Amount (mil. $)
X AAA (sf) 4.00
A-1-R AAA (sf) 221.50
A-2-R AAA (sf) 37.50
B-R AA (sf) 42.50
C-R A (sf) 25.75
D-R BBB- (sf) 19.75
E-R BB- (sf) 24.50
RATINGS WITHDRAWN
Telos CLO 2014-5 Ltd.
Class To From
A NR AAA (sf)
B-1 NR AA (sf)
B-2 NR AA (sf)
C NR A (sf)
D NR BBB (sf)
E NR BB (sf)
F NR B (sf)
NR--Not rated.
TIDEWATER AUTO 2018-A: S&P Assigns Prelim BB(sf) Rating on E Notes
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S&P Global Ratings assigned its preliminary ratings to Tidewater
Auto Receivables Trust 2018-A's $170.788 million automobile
receivables-backed notes.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The preliminary ratings are based on information as of April 18,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The availability of approximately 47.0%, 39.9%, 31.2%, 25.4%,
and 22.2% credit support, including excess spread (based on
stressed cash flow scenarios). These credit support levels provide
coverage of approximately 3.50x, 3.00x, 2.30x, 1.75x, and 1.50x our
12.50%-13.50% expected cumulative net loss range. These credit
support levels are commensurate with the assigned preliminary 'AAA
(sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings,
respectively.
-- The timely interest and principal payments made under the
stressed cash flow modeling scenarios, which are consistent with
the assigned preliminary ratings.
-- The credit enhancement in the form of subordination, a cash
collateral account, overcollateralization, excess spread, and a
capitalized interest account.
-- The transaction's ability to withstand 1.75x our expected net
loss level in S&P's "what-if" scenario analysis before becoming
vulnerable to a downgrade.
-- The securitized pool's moderate level of seasoning
(approximately 11 months).
-- The transaction's payment and legal structures, which include a
curable performance trigger.
Tidewater Finance Co.'s (Tidewater's) 23-year history in the
subprime auto finance business.
Fourteen years of static pool data on Tidewater's 341 (consumers
who have recently entered bankruptcy) and non-341 loan programs.
Under the 341 loan program, Tidewater underwrites loans to
consumers who have filed bankruptcy after facing temporary life
events resulting in credit difficulty.
PRELIMINARY RATINGS ASSIGNED
Tidewater Auto Receivables Trust 2018-A
Class(i) Rating Type Interest Amount
rate (mil. $)(ii)
A-1 A-1+ (sf) Senior Fixed 30.700
A-2 AAA (sf) Senior Fixed 79.390
B AA (sf) Subordinate Fixed 14.456
C A (sf) Subordinate Fixed 21.963
D BBB (sf) Subordinate Fixed 14.271
E BB (sf) Subordinate Fixed 10.008
(i)Series 2018-A has an unrated class F, which is part of the
overcollateralization and does not provide additional
subordination. Interest and principal payments on class F are
subordinated in the waterfall and are the last items before any
residual amount is distributed.
(ii)The actual size of the tranches will be determined on the
pricing date.
NR--Not rated.
TRYON PARK: S&P Assigns B-(sf) Rating on $8.40MM Class E-R Notes
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S&P Global Ratings assigned its ratings to the class A1S-R, A2-R,
B-R, C-R, D-R, and E-R replacement notes and the new class X notes
from Tryon Park CLO Ltd., a collateralized loan obligation (CLO)
originally issued in 2013 that is managed by GSO/Blackstone Debt
Funds Management LLC. S&P withdrew its ratings on the class A-1,
A-2, B, C, D, and E notes following payment in full on the April
16, 2018, refinancing date.
On the April 16, 2018, refinancing date, the proceeds from the
replacement notes issuance were used to redeem the original notes
as outlined in the transaction document provisions. Therefore, S&P
withdrew its ratings on the original notes in line with their full
redemption, and it is assigning ratings to the replacement notes.
The replacement notes are being issued via a proposed supplemental
indenture. Based on the provisions in the amended and restated
indenture, the following changes will be made, among others:
-- The replacement class A1S-R, A2-R, B-R, C-R, D-R, and E-R notes
are expected to be issued at a floating spread, replacing the
current floating spread.
-- The stated maturity and reinvestment period are being extended
by approximately four years.
-- 91.25% of the identified underlying collateral obligations have
credit ratings assigned by S&P Global Ratings.
-- 95.48% of the identified underlying collateral obligations have
recovery ratings issued by S&P Global Ratings.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take further rating actions
as we deem necessary."
RATINGS ASSIGNED
Tryon Park CLO Ltd.
Replacement class Rating Amount (mil. $)
X AAA (sf) 5.00
A1S-R AAA (sf) 261.90
A1J-R NR 16.90
A2-R AA (sf) 42.20
B-R A (sf) 29.60
C-R BBB- (sf) 21.10
D-R BB- (sf) 16.90
E-R B- (sf) 8.40
Subordinated notes NR 66.50
RATINGS WITHDRAWN
Tryon Park CLO Ltd.
Rating
Original class To From
A-1 NR AAA (sf)
A-2 NR AA (sf)
B NR A (sf)
C NR BBB (sf)
D NR BB (sf)
E NR B (sf)
NR--Not rated.
VOYA CLO 2014-1: S&P Assigns B-(sf) Rating on Class E-R2 Notes
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S&P Global Ratings assigned its ratings to the $352.25 million
floating-rate notes from Voya CLO 2014-1 Ltd., a broadly syndicated
collateralized loan obligation (CLO) managed by Voya Alternative
Asset Management LLC, in connection with the transaction's
refinancing.
The ratings reflect S&P's assessment of:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans
(i.e., those rated 'BB+' or below) 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
Voya CLO 2014-1 Ltd.
Class Rating Balance (mil. $)
X AAA (sf) 4.00
A-1A-R2 AAA (sf) 228.00
A-1B-R2 NR 26.50
A-2-R2 AA (sf) 47.50
B-R2 (deferrable) A (sf) 23.00
C-R2 (deferrable) BBB- (sf) 25.50
D-R2 (deferrable) BB- (sf) 15.00
E-R2 (deferrable) B- (sf) 9.25
Sub notes (deferrable) NR 43.25
NR--Not rated.
VOYA CLO 2014-1: S&P Assigns Prelim. B-(sf) Rating on Cl E-R2 Notes
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S&P Global Ratings assigned its preliminary ratings to the $352.25
million floating-rate notes from Voya CLO 2014-1 Ltd., a broadly
syndicated collateralized loan obligation (CLO) managed by Voya
Alternative Asset Management LLC. This is a proposed refinancing of
its March 2014 transaction, which S&P did not rate.
The preliminary ratings reflect S&P's assessment of:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans
(i.e., those rated 'BB+' or below) 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
Voya CLO 2014-1 Ltd.
Class Prelim rating Balance (mil. $)
X AAA (sf) 4.00
A-1A-R2 AAA (sf) 228.00
A-1B-R2 NR 26.50
A-2-R2 AA (sf) 47.50
B-R2 (deferrable) A (sf) 23.00
C-R2 (deferrable) BBB- (sf) 25.50
D-R2 (deferrable) BB- (sf) 15.00
E-R2 (deferrable) B- (sf) 9.25
Sub notes (deferrable) NR 43.25
NR--Not rated.
WACHOVIA BANK 2005-C21: S&P Cuts Class E Certs Rating to D(sf)
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S&P Global Ratings lowered its ratings on three classes of
commercial mortgage pass-through certificates from Wachovia Bank
Commercial Mortgage Trust series 2005-C21, a U.S. commercial
mortgage-backed securities (CMBS) transaction. In addition, S&P
affirmed its ratings on three other classes from the same
transaction.
S&P said, "For the affirmations, our credit enhancement expectation
was in line with the affirmed rating levels. While available credit
enhancement levels may suggest positive rating movements on classes
B, C, and D, our analysis also considered the susceptibility to
reduced liquidity support from the five assets with the special
servicer ($259.2 million, 84.5%) and their uncertain liquidation
timing. In addition, our analysis considered the performance of the
remaining five nondefeased performing loans. In particular, we
noted that the Phillips Lighting loan ($36.4 million, 11.9%), the
largest performing loan outstanding, failed to repay at its
September 2015 anticipated repayment date. The loan has a final
maturity of Sept. 11, 2035, while the single tenant occupying 100%
of the 199,900-sq.-ft. office property that secures the loan has a
lease expiration of Dec. 31, 2021.
"We lowered the ratings on the class E, F, and G notes to 'D (sf)'
because we expect the bonds' accumulated interest shortfalls to
remain outstanding for the foreseeable future."
According to the March 16, 2018, trustee remittance report, the
current monthly interest shortfalls totaled $583,231 and resulted
primarily from appraisal subordinate entitlement reduction amounts
totaling $400,707; modified reduced interest rates totaling
$102,997; and special servicing fees totaling $79,009.
The current interest shortfalls affected classes subordinate to and
including class E.
TRANSACTION SUMMARY
As of the March 16, 2018, trustee remittance report, the collateral
pool balance was $306.8 million, which is 9.4% of the pool balance
at issuance. The pool currently includes eight loans and three real
estate-owned (REO) assets, down from 230 loans at issuance. Five of
these assets are with the special servicer and one ($2.0 million,
0.6%) is defeased. There are no loans reported on the master
servicer's watchlist.
S&P said, "We calculated a 1.25x S&P Global Ratings
weighted-average debt service coverage (DSC) and 95.1% S&P Global
Ratings weighted-average loan-to-value (LTV) ratio using a 7.54%
S&P Global Ratings weighted average capitalization rate. The DSC,
LTV, and capitalization rate calculations exclude the five
specially serviced assets and the defeased loan.
"To date, the transaction has experienced $111.6 million in
principal losses, or 3.4% of the original pool trust balance. We
expect losses to reach approximately 7.9% 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
five specially serviced assets."
CREDIT CONSIDERATIONS
As of the March 16, 2018, trustee remittance report, five assets in
the pool were with the special servicers. The NGP Rubicon GSA Pool
loan is with CWCapital Asset Management LLC while the remaining
assets are with LNR Partners LLC. Details of the two largest
specially serviced assets are as follows:
The Metropolitan Square loan ($124.1 million, 40.5%) is the largest
nondefeased loan in the pool and has a total reported exposure of
$126.4 million. The loan is secured by a 43-story, class A office
property totaling 987,300 sq. ft. in St. Louis, Mo. The loan, which
has a reported nonperformed matured balloon payment status, was
transferred to the special servicer on June 27, 2017, due to
imminent maturity default. The loan matured on Aug. 11, 2017. The
reported DSC and occupancy for the nine months ended Sept. 30,
2017, were 1.29x and 74.9%, respectively. An appraisal reduction
amount (ARA) of $78.2 million is in effect against the loan. S&P
expects a significant loss upon its eventual resolution.
The NGP Rubicon GSA Pool loan ($56.2 million, 18.3%), the
second-largest nondefeased asset in the pool, has a total reported
exposure of $59.9 million. The loan was originally secured by one
industrial property and nine office properties totaling 2,247,988
sq. ft. in various U.S. states. Currently, there are five office
properties totaling 777,000 sq. ft. in various U.S. states
remaining in the pool. A $56.2 million pari passu loan is in the
WBCMT 2005-C20 transaction, also a U.S. CMBS transaction. The loan
was transferred to the special servicer on April 23, 2015, due to
imminent maturity default. The loan matured on June 11, 2015. The
reported DSC and occupancy as of year-end 2017 were 0.47x and
100.0%, respectively. S&P expects a moderate loss upon this loan's
eventual resolution.
The three remaining assets with the special servicer each have
individual balances that represent less than 15.0% of the total
pool trust balance. S&P's estimated losses for the five specially
serviced assets, arriving at a weighted-average loss severity of
56.2%.
With respect to the specially serviced assets noted above, a
minimal loss is less than 25%, a moderate loss is 26%-59%, and a
significant loss is 60% or greater.
RATINGS LIST
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2005-C21
Rating Rating
Class Identifier To From
B 9297667L1 BBB+ (sf) BBB+ (sf)
C 9297667M9 BBB (sf) BBB (sf)
D 9297667N7 BBB- (sf) BBB- (sf)
E 92976BAA0 D (sf) BB+ (sf)
F 92976BAB8 D (sf) B+ (sf)
G 92976BAC6 D (sf) CCC (sf)
WEST CLO 2012-1: S&P Raises Class D Notes Rating to BB+(sf)
-----------------------------------------------------------
S&P Global Ratings raised its ratings on the class A-2R, B, C, and
D notes from West CLO 2012-1, a collateralized loan obligation
(CLO) managed by Allianz Global Investors Capital. S&P also removed
the ratings on the class A-2R, B, and C notes from CreditWatch,
where we placed them with positive implications on Jan. 19, 2018.
The rating actions follow its review of the transaction's
performance using data from the March 2018 trustee report.
The upgrades reflect $313.83 million in aggregate paydowns to the
class A-1R and A-2R notes since our November 2016 rating actions.
These paydowns resulted in the full payoff of the class A-1R notes
and improved reported overcollateralization (O/C) ratios since the
October 2016 trustee report, which S&P used for its previous rating
actions:
-- The class A O/C ratio improved to 558.70% from 131.68%.
-- The class B O/C ratio improved to 203.81% from 118.50%.
-- The class C O/C ratio improved to 150.97% from 112.30%.
-- The class D O/C ratio improved to 120.80% from 106.92%.
S&P said, "The collateral portfolio's credit quality has
deteriorated since our last rating actions. Although the total par
amount of collateral obligations in the 'CCC' category decreased to
$18.19 million as of the March 2018 trustee report from $32.16
million as of the October 2016 trustee report, as a proportion of
the overall collateral the 'CCC' bucket increased to 15.9% of the
collateral principal amount from 7.3% over the same period. The par
amount of defaulted collateral has also increased to $17.83 million
from $13.59 million over the same period. The increased
concentrations of lower-rated and defaulted assets have led to a
decline in the portfolio's weighted average rating to 'B-' from
'B'."
The transaction has benefited from a drop in the weighted average
life due to the underlying collateral's seasoning, with 2.94 years
reported as of the March 2018 trustee report, compared with 3.53
years reported as of the October 2016 trustee report. This decrease
in the portfolio's weighted average life has contributed to some
reduction of the collateral portfolio's overall credit risk
profile.
S&P said, "Although our cash flow analysis indicated a higher
rating for the class D notes, we only raised the rating on this
class by two notches, to 'BB+ (sf)'. This rating action considers
the decline in the portfolio's credit quality, increased obligor
concentration, the constraints of the top obligor supplemental
test, and the reported failed class D interest coverage (I/C) test
as of the March 2018 trustee report. Even though the class D I/C
test was failing, we attributed that in part to the large amount of
cash currently held in the transaction ($47.21 million). Once this
cash is used for paydowns on the April 2018 payment date, this
could likely improve the I/C ratio. The portfolio's increased
concentration risks from large exposure to 'CCC' rated assets and
assets from the distressed specialty retail industry are
contributing to its higher market value risk as it continues to
amortize. The portfolio has experienced a significant decrease in
diversification, with the top five obligors now representing
approximately 35% of the remaining performing portfolio.
"Our review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with our criteria, our cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, our analysis considered
the transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis demonstrated, in our view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with these rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and will take rating actions as we deem
necessary."
RATINGS RAISED AND REMOVED FROM CREDITWATCH
West CLO 2012-1 Ltd.
Rating
Class To From
A-2R AAA (sf) AA (sf)/Watch Pos
B AAA (sf) A (sf)/Watch Pos
C AAA (sf) BBB (sf)/Watch Pos
RATING RAISED
West CLO 2012-1 Ltd.
Rating
Class To From
D BB+ (sf) BB- (sf)
WHITEHORSE VI: S&P Affirms B(sf) Rating on Class B-3L Notes
-----------------------------------------------------------
S&P Global Ratings raised its ratings on the class A-2R and A-3R
notes from WhiteHorse VI Ltd., and removed them from CreditWatch,
where we placed them with positive implications on Jan. 19, 2018.
At the same time, S&P raised its ratings on the class B-1L and B-2L
notes. S&P also affirmed its ratings on the class A-1R and B-3L
notes from the same transaction.
The rating actions follow S&P's review of the transaction's
performance using data from the March 20, 2018, trustee report.
The upgrades reflect the transaction's $168.34 million in paydowns
to the class A-1R notes since our November 2016 rating actions.
These paydowns resulted in improved reported overcollateralization
(O/C) ratios to all classes, except the class B-3L notes, since the
September 2016 trustee report, which we used for our previous
rating actions:
-- The senior class A O/C ratio improved to 169.52% from 133.45%.
-- The class A O/C ratio improved to 132.80% from 119.09%.
-- The class B-1L O/C ratio improved to 119.49% from 112.85%.
-- The class B-2L O/C ratio improved to 109.15% from 107.52%.
-- The class B-3L O/C ratio decreased to 104.50% from 104.97%.
The collateral portfolio's credit quality has slightly deteriorated
since our last rating actions. Collateral obligations with ratings
in the 'CCC' category have increased, with $38.74 million reported
as of the March 2018 trustee report, compared with $35.51 million
reported as of the September 2016 trustee report. However, despite
the slightly larger concentrations in the 'CCC' category
collateral, the transaction has benefited from a drop in the
weighted average life due to underlying collateral's seasoning,
with 3.36 years reported as of the March 2018 trustee report,
compared with 4.24 years reported at the time of S&P's September
2016 rating actions.
The upgrades reflect the improved credit support at the prior
rating levels; the affirmation reflects our view that the credit
support available is commensurate with the current rating level.
S&P said, "Although the cash flow results indicated a lower rating
for the class B-3L notes, we view the overall credit seasoning as
an improvement to the transaction and also considered the
relatively stable O/C ratios that currently have a significant
cushion over their minimum requirements. However, any increase in
defaults and/or par losses could lead to potential negative rating
actions on the class B-3L notes in the future.
"Our review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with our criteria, our cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, our analysis considered
the transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis demonstrated, in our view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with these rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take rating actions as we
deem necessary."
RATINGS RAISED AND REMOVED FROM WATCH POSITIVE
WhiteHorse VI Ltd.
Rating
Class To From
A-2R AAA (sf) AA (sf)/Watch POS
A-3R AA+ (sf) A (sf)/Watch POS
RATINGS RAISED
WhiteHorse VI Ltd.
Rating
Class To From
B-1L A+ (sf) BBB (sf)
B-2L BB+ (sf) BB- (sf)
RATINGS AFFIRMED
WhiteHorse VI Ltd.
Class Rating
A-1R AAA (sf)
B-3L B (sf)
WOODMONT TRUST 2018-4: S&P Assigns BB Rating on $33MM Cl. E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Woodmont 2018-4 Trust's
$489.50 million floating-rate notes.
The note issuance is a collateralized loan obligation transaction
primarily backed by middle-market speculative-grade senior secured
term loans.
The ratings reflect:
-- The diversified collateral pool, which consists primarily of
middle market speculative-grade senior secured term loans that are
governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
Woodmont 2018-4 Trust
Class Rating Amount (mil. $)
A-1 AAA (sf) 316.25
A-2 AAA (sf) 16.50
B AA (sf) 46.75
C (deferrable) A (sf) 41.25
D (deferrable) BBB- (sf) 35.75
E (deferrable) BB (sf) 33.00
Certificates NR 64.90
NR--Not rated.
[*] DBRS Reviews 706 Classes From 59 US RMBS Transactions
---------------------------------------------------------
DBRS, Inc. reviewed 706 classes from 59 U.S. residential
mortgage-backed securities (RMBS) transactions. Of the 706 classes
reviewed, DBRS upgraded 19 ratings, confirmed 675 ratings and
discontinued 12 ratings.
The rating upgrades reflect positive performance trends and
increases in credit support sufficient to withstand stresses at
their new rating levels. For transactions where the ratings have
been confirmed, current asset performance and credit support levels
are consistent with the current ratings. The discontinued ratings
are the result of full repayment of principal to bondholders.
The rating actions are the result of DBRS's application of "RMBS
Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and
Rating Methodology," published on April 4, 2017.
The transactions consist of U.S. RMBS transactions. The pools
backing these transactions consist of prime, Alt-A, subprime and
resecuritization of real estate mortgage investment conduit
collateral.
The ratings assigned to the securities listed below differ from the
ratings implied by the quantitative model. DBRS considers this
difference to be a material deviation, but in this case, the
ratings of the subject notes reflect structural features and
historical performance that constrain the quantitative model
output.
-- CSMC Series 2010-9R, CSMC Series 2010-9R, Class 17-A-3
-- CSMC Series 2010-9R, CSMC Series 2010-9R, Class 49-A-3
-- CSMC Series 2010-9R, CSMC Series 2010-9R, Class 49-A-4
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series
2006-FM1, Asset-Backed Certificates, Series 2006-FM1, Class
I-A
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series
2006-FM1, Asset-Backed Certificates, Series 2006-FM1, Class
II-A-3
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series
2006-FM1, Asset-Backed Certificates, Series 2006-FM1, Class
II-A-4
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series
2006-HE2, Home Equity Loan Trust Asset-Backed Certificates,
Series 2006-HE2, Class A-3
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series
2006-HE2, Home Equity Loan Trust Asset-Backed Certificates,
Series 2006-HE2, Class A-4
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series
2006-HE2, Home Equity Loan Trust Asset-Backed Certificates,
Series 2006-HE2, Class M-1
-- Securitized Asset Backed Receivables LLC Trust 2006-NC2,
Mortgage Pass-Through Certificates, Series 2006-NC2, Class A-
3
-- Securitized Asset Backed Receivables LLC Trust 2007-NC2,
Mortgage Pass-Through Certificates, Series 2007-NC2, Class A-
1
-- Renaissance Home Equity Loan Trust 2005-2, Home Equity Loan
Asset-Backed Notes, Series 2005-2, Class AF-5
-- Renaissance Home Equity Loan Trust 2005-2, Home Equity Loan
Asset-Backed Notes, Series 2005-2, Class AF-6
-- Structured Asset Securities Corporation Mortgage Loan Trust
2005-OPT1, Mortgage Pass-Through Certificates, Series 2005-
OPT1, Class A2
-- Structured Asset Securities Corporation Mortgage Loan Trust
2005-S5, Mortgage Pass-Through Certificates, Series 2005-S5,
Class M1
-- Structured Asset Securities Corporation Mortgage Loan Trust
2007-BC1, Mortgage Pass-Through Certificates, Series 2007-
BC1, Class A4
-- Structured Asset Securities Corporation Mortgage Loan Trust
2007-BC1, Mortgage Pass-Through Certificates, Series 2007-
BC1, Class A5
-- Structured Asset Securities Corporation Mortgage Loan Trust
2007-BC4, Mortgage Pass-Through Certificates, Series 2007-
BC4, Class A1
-- Structured Asset Securities Corporation Mortgage Loan Trust
2007-BC4, Mortgage Pass-Through Certificates, Series 2007-
BC4, Class A2
-- Structured Asset Securities Corporation Mortgage Loan Trust
2007-BC4, Mortgage Pass-Through Certificates, Series 2007-
BC4, Class A4
-- Structured Asset Securities Corporation Mortgage Loan Trust
2007-WF2, Mortgage Pass-Through Certificates, Series 2007-
WF2, Class A1
-- Structured Asset Securities Corporation Mortgage Loan Trust
2007-WF2, Mortgage Pass-Through Certificates, Series 2007-
WF2, Class A3
-- Structured Asset Securities Corporation Mortgage Loan Trust
2007-WF2, Mortgage Pass-Through Certificates, Series 2007-
WF2, Class A4
-- Wells Fargo Home Equity Asset-Backed Securities 2006-3 Trust,
Home Equity Asset-Backed Certificates, Series 2006-3, Class
A-2
-- Wells Fargo Home Equity Asset-Backed Securities 2006-3 Trust,
Home Equity Asset-Backed Certificates, Series 2006-3, Class
A-3
-- WinWater Mortgage Loan Trust 2015-A, Mortgage Pass-Through
Certificates, Series 2015-A, Class B-4
-- Lehman Mortgage Trust 2008-6, Mortgage Pass-Through
Certificates, Series 2008-6, Class 2-A1
-- Lehman Mortgage Trust 2008-6, Mortgage Pass-Through
Certificates, Series 2008-6, Class 2-A2
The Affected Ratings is available at https://bit.ly/2vwkHwq
Notes: All figures are in U.S. dollars unless otherwise noted.
[*] S&P Places 21 Classes From 13 US CLO Deals on CreditWatch
-------------------------------------------------------------
S&P Global Ratings placed its ratings on 10 tranches from 10 U.S.
collateralized loan obligation (CLO) transactions on CreditWatch
with negative implications. Concurrently, S&P placed its ratings on
11 tranches from three U.S. CLO transactions on CreditWatch with
positive implications.
The CreditWatch placements follow S&P's surveillance review of U.S.
cash flow collateralized debt obligation (CDO) transactions.
S&P's CreditWatch negative placements reflect a decline in these
classes' respective credit support. The affected tranches are all
subordinate within their respective transactions. In general, these
transactions had one or more of the common characteristics that
typically cause credit support to decline, such as par losses,
increased defaults, decline in portfolio weighted average spread,
increased exposure to 'CCC' rated assets, or distressed sectors.
The CreditWatch positive placements resulted from enhanced
overcollateralization primarily due to paydowns to the senior
tranches of these CLO transactions.
S&P expects to resolve the CreditWatch placements within 90 days
after it completes a cash flow analysis and committee review.
RATINGS PLACED ON CREDITWATCH NEGATIVE
BNPP IP CLO 2014-1 Ltd.
Rating
Class To From
E B- (sf)/Watch Neg B- (sf)
CVP Cascade CLO-2 Ltd.
Rating
Class To From
E B (sf)/Watch Neg B (sf)
KVK CLO 2014-3 Ltd.
Rating
Class To From
F B (sf)/Watch Neg B (sf)
Trinitas CLO II Ltd.
Rating
Class To From
F B- (sf)/Watch Neg B- (sf)
Halcyon Loan Advisors Funding 2012-1 Ltd.
Rating
Class To From
D BB (sf)/Watch Neg BB (sf)
Halcyon Loan Advisors Funding 2012-2 Ltd.
Rating
Class To From
E BB (sf)/Watch Neg BB (sf)
Halcyon Loan Advisors Funding 2013-1 Ltd.
Rating
Class To From
D BB (sf)/Watch Neg BB (sf)
Mountain Hawk II CLO Ltd.
Rating
Class To From
E B (sf)/Watch Neg B (sf)
Mountain View CLO 2014-1 Ltd.
Rating
Class To From
F B- (sf)/Watch Neg B- (sf)
Hull Street CLO Ltd.
Rating
Class To From
F B (sf)/Watch Neg B (sf)
RATINGS PLACED ON CREDITWATCH POSITIVE
JFIN CLO 2012 Ltd.
Rating
Class To From
B-2 AA- (sf)/Watch Pos AA- (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D BB (sf)/Watch Pos BB (sf)
JFIN Revolver CLO 2014 Ltd.
Rating
Class To From
C A+ (sf)/Watch Pos A+ (sf)
D BBB+ (sf)/Watch Pos BBB+ (sf)
E BB+ (sf)/Watch Pos BB+ (sf)
Octagon Investment Partners XVI Ltd.
Rating
Class To From
B-1 AA+ (sf)/Watch Pos AA+ (sf)
B-2 AA+ (sf)/Watch Pos AA+ (sf)
C-1 A+ (sf)/Watch Pos A+ (sf)
C-2 A+ (sf)/Watch Pos A+ (sf)
D BBB (sf)/Watch Pos BBB (sf)
[*] S&P Takes Various Actions on 101 Classes From 25 US RMBS Deals
------------------------------------------------------------------
S&P Global Ratings completed its review of 101 classes from 25 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 1998 and 2006. All of these transactions are backed by
subprime and re-performing collateral. The review yielded 29
upgrades, eight downgrades, 62 affirmations, one withdrawal, and
one discontinuance. S&P removed six of the raised ratings from
CreditWatch with positive implications. Five of these ratings were
placed on CreditWatch positive on Feb. 26, 2018, and one was placed
on CreditWatch positive on April 10, 2018.
Analytical Considerations
S&P said, "We incorporate various considerations into our decisions
to raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by our projected cash flows." These
considerations are based on transaction-specific performance or
structural characteristics (or both) and their potential effects on
certain classes. Some of these considerations include:
-- Collateral performance and delinquency trends;
-- Erosion of or increases in credit support;
-- Historical missed interest payments;
-- Available subordination and/or overcollateralization;
-- Priority of principal payments; and
-- Expected duration.
Rating Actions
The affirmations of ratings reflect S&P's opinion that its
projected credit support and collateral performance on these
classes has remained relatively consistent with its prior
projections.
Certain classes in JPMorgan Mortgage Acquisition Trust 2006-ACC1,
JPMorgan Mortgage Acquisition Trust 2006-CH1, and JPMorgan Mortgage
Acquisition Corp. 2006-FRE1 received funds related to a July 2014
settlement regarding the alleged breach of certain representations
and warranties in the governing agreements of 330 JPMorgan Chase &
Co. legacy RMBS trusts. Settlement proceeds for these transactions
were distributed during the January 2018 remittance period. The
trustee applied the settlement funds as subsequent recoveries and
unscheduled principal payments. S&P said, "As a result, we raised
nine ratings from these transactions because their credit support
sufficiently increased to cover our projected losses at higher
rating levels. Of these nine ratings, we removed five from
CreditWatch positive, where we placed them on Feb. 26, 2018."
Certain classes in Long Beach Mortgage Loan Trust 2004-6 and Long
Beach Mortgage Loan Trust 2005-2 received funds related to an
August 2016 settlement regarding the alleged breach of certain
representations and warranties in the governing agreements of 127
Washington Mutual Mortgage Securities Corp. (WAMU)/JPMorgan Chase &
Co. legacy RMBS trusts. Settlement proceeds for these transactions
were distributed during the February 2018 remittance period. The
trustee applied the settlement funds as subsequent recoveries and
unscheduled principal payments. S&P said, "As a result, we raised
three ratings from these transactions because their credit support
sufficiently increased to cover our projected losses at higher
rating levels. Of these three ratings, we removed one from
CreditWatch positive, where we placed it on April 10, 2018."
Most of the raised ratings were due to an increase in credit
support that can be attributed to the subject classes having senior
positions in their respective distribution waterfalls and receiving
all principal payments due to failing cumulative loss triggers. As
a result, the upgrades on these classes reflect the classes'
ability to withstand a higher level of projected losses than
previously anticipated.
S&P said, "We lowered our rating on class M-1 from Home Equity
Mortgage Loan Asset-Backed Trust's series SPMD 2004-C to 'CCC (sf)'
from 'BB+ (sf)' after assessing the impact of missed interest
payments on this class. Our cash flow projections showed that
ultimate repayment of the missed interest on this class is unlikely
at higher rating levels."
A list of Affected Ratings can be viewed at:
https://bit.ly/2HfjRpf
[*] S&P Takes Various Actions on 37 Classes From Four US RMBS Deals
-------------------------------------------------------------------
S&P Global Ratings completed its review of 37 classes from four
U.S. residential mortgage-backed securities (RMBS) transactions
issued between 2003 and 2005. All of these transactions are backed
by mixed collateral, including subprime and prime. The review
yielded 24 affirmations and 11 withdrawals. S&P also placed two
ratings on CreditWatch with developing implications.
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by our projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations include:
-- Collateral performance/delinquency trends;
-- Historical interest shortfalls;
-- Priority of principal payments;
-- Proportion of reperforming loans in the pool;
-- Tail risk; and
-- Available subordination and/or overcollateralization.
Rating Actions
S&P said, "The affirmations of ratings reflect our opinion that our
projected credit support and collateral performance on these
classes has remained relatively consistent with our prior
projections.
"We placed our ratings on classes M-2 and M-3 from Morgan Stanley
Home Equity Loan Trust 2005-3 on CreditWatch with developing
implications due to outstanding questions we have with the trustee
regarding the reported interest payments to bondholders. After
verifying the reported interest payments, we will take rating
actions as we consider appropriate according to our criteria."
A list of Affected Ratings can be viewed at:
https://bit.ly/2H8qJER
*********
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