/raid1/www/Hosts/bankrupt/TCR_Public/180624.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, June 24, 2018, Vol. 22, No. 174
Headlines
ACCELERATED ASSETS 2018-1: S&P Assigns (P)BB- Rating on C Notes
ALLEGRO CLO VII: Moody’s Gives Ba3 Rating on $20.4MM Class E Notes
AMERICAN CREDIT 2018-2: S&P Gives (P)B Rating on Class F Notes
AMMC CLO 18: Moody's Assigns Ba3 Rating on $20MM Class ER Notes
APOLLO CREDIT IV: S&P Rates $18.5MM Class D-R Notes 'BB-'
ARGENT SECURITIES 2003-W8: Moody's Cuts M-2 Debt Rating to Caa1
ASHFORD HOSPITALITY 2018-KEYS: Moody's Gives (P)B3 Rating on F Debt
ATRIUM HOTEL 2018-ATRM: S&P Assigns (P)B- Rating on Class F Certs
AVENTURA MALL 2018-AVM: Moody's Gives (P)Ba1 Rating to H-RR Certs
BALLYROCK CLO 2013-1: S&P Affirms BB(sf) Rating on Class E Notes
BANC OF AMERICA 2007-1: Fitch Affirms Csf Ratings on 3 Tranches
BARINGS CLO 2018-III: S&P Rates $12.25MM Class F Notes 'B-'
BEAR STEARNS 2004-PWR5: Fitch Affirms D Rating on Class N Certs
BEAR STEARNS 2005-PWR7: Fitch Affirms C Rating on Class F Debt
BRAEMAR HOTELS 2018-PRME: S&P Assigns B-(sf) Rating on F Certs
BXP TRUST 2017-GM: Moody's Affirms Ba2 Rating on Class E Certs
CANYON CLO 2016-1: Moody's Assigns Ba3 Rating on Class E-R Notes
CANYON CLO 2018-1: Moody's Assigns Ba3 Rating on Class E Notes
CARLYLE GLOBAL 2014-4-R: S&P Gives (P)B- Rating on $9.8MM E Notes
CASTLELAKE AIRCRAFT 2018-1: Fitch Rates $65.5MM Class C Notes BB
CBAM LTD 2018-6: Moody's Gives Ba3 Rating on $40MM Class E Notes
CITIGROUP 2006-C5: Moody's Affirms C Rating on 4 Tranches
CITIGROUP 2015-GC33: Fitch Affirms B- Rating on Class F Certs
CITIGROUP COMMERCIAL 2014-GC23: Fitch Affirms B- Rating on F Certs
CITIGROUP COMMERCIAL 2015-P1: Fitch Affirms B- Rating on F Certs
COMM 2013-CCRE10: Moody's Affirms B3 Rating on Class F Certs
COMM 2013-CCRE8: Moody's Affirms B2 Rating on Class F Debt
COMM MORTGAGE 2015-CCRE26: Fitch Affirms BB- Rating on Cl. F Debt
CSFB MORTGAGE: Moody's Cuts Ratings on 5 Tranches to B3
DT AUTO 2018-2: S&P Assigns BB(sf) Rating on $48MM Class E Notes
FLAGSHIP CLO VIII: S&P Gives (P)B Rating on $20.8MM Cl. F Notes
FLAGSHIP CREDIT 2016-4: S&P Affirms BB Rating on Class E Notes
FLAGSTAR MORTGAGE 2018-4: Fitch to Rate Class B-5 Certs 'Bsf'
GLS AUTO 2018-2: S&P Assigns (P)BB- Rating on $30.2MM Cl. D Notes
GOLDMAN SACHS 2011-GC5: Fitch Affirms Bsf Rating on Class F Certs
GREEN TREE: S&P Takes Action on 19 Tranches on 15 Housing ABS Deals
GS MORTGAGE 2016-RENT: S&P Affirms B-(sf) Rating on Class F Notes
HARBOURVIEW CLO VII-R: Moody's Rates $8MM Class F Notes 'B3'
HERTZ VEHICLE 2018-2: Fitch to Rate Class D Notes 'BBsf'
HPS LOAN 8-2016: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
JAMESTOWN CLO V: Moody's Lowers Class F Notes Rating to Caa2
JP MORGAN 2012-C6: Moody's Affirms B2 Rating on Class H Debt
JP MORGAN 2013-C14: Fitch Affirms B Rating on Class G Certs
JP MORGAN 2018-AON: S&P Assigns Prelim B(sf) Rating on Cl. F Certs
JPMDB COMMERCIAL 2018-C8: Fitch Gives B-sf Ratings on 2 Tranches
LADDER CAPITAL 2017-LC26: Fitch Affirms B- Rating on Class F Certs
LCM XIV: Moody's Assigns B2 Rating on $8MM Class F-R Notes
MAGNETITE XV: Moody's Assigns Ba3 Rating on $32.3MM Class E-R Notes
MCF CLO VIII: S&P Assigns BB-(sf) Rating on $23.6MM Class E Notes
MERRILL LYNCH 2005-MCP1: Moody's Lowers Cl. G Certs Rating to Ca
MILL CITY 2018-2: Fitch to Rate Class B2 Notes 'B-sf'
ML-CFC COMMERCIAL 2006-3: Moody's Cuts Class D Debt Rating to Ca
MORGAN STANLEY 2000-PRIN: Moody's Affirms B2 Rating on Class X Debt
MORGAN STANLEY 2002-IQ3: Moody's Affirms C Rating on 2 Tranches
MORGAN STANLEY 2005-IQ9: S&P Cuts Class D Certs Rating to BB+(sf)
MORGAN STANLEY 2007-TOP25: Moody's Affirms CC Rating on Cl. C Debt
MORGAN STANLEY 2012-C5: Moosy's Affirms B2 Rating on Class H Certs
MORGAN STANLEY 2018-H3: Fitch to Rate Class G-RR Certs 'B-sf'
MOUNTAIN VIEW CLO IX: Moody's Gives (P)B3 Rating on Class E Notes
NATIXIS COMMERCIAL 2018-FL1: S&P Gives (P)B Rating on NHP2 Certs
NORTHWOODS CAPITAL XII-B: Moody's Gives (P)B2 to $6MM Class E Debt
NORTHWOODS CAPITAL XII-B: Moody's Gives B2 Rating on Class F Notes
OCTAGON INVESTMENT 26: Moody's Rates $10MM Class F-R Debt 'B3'
OCTAGON INVESTMENT 26: S&P Rates $20MM Class E-R Debt 'BB-'
ORIGEN MANUFACTURED 2002-A: S&P Cuts M-2 Certs Rating to CCC
SLC STUDENT 2008-2: S&P Lowers Ratings on 2 Tranches to 'B-'
STACK LTD 2004-1: Moody's Hikes Rating on $8MM Cl. C Notes to Caa3
STACR TRUST 2018-DNA2: S&P Assigns (P)B- Rating on $175MM B-1 Notes
STEELE CREEK 2016-1: Moody's Gives B3 Rating on Class F-R Notes
STUDENT LOAN 2007-1: S&P Affirms B+ Rating in Class 5-A-1 Certs
THL CREDIT 2018-1: S&P Assigns Prelim BB-(sf) Rating on E Notes
TIAA BANK 2018-2: Moody's Assigns (P)Ba2 Rating on Class B-4 Debt
TRESTLES CLO II: Moody's Rates $30MM Class D Notes 'Ba3'
UBS COMMERCIAL 2018-C11: Fitch to Rate Class F-RR Certs 'B-sf'
WELLS FARGO 2015-SG1: Fitch Affirms B- Rating on 2 Tranches
WFRBS COMMERCIAL 2013-C12: S&P Affirms B+(sf) Rating on F Certs
WFRBS COMMERCIAL 2013-C15: Fitch Affirms Bsf Rating on Cl. F Certs
WFRBS COMMERCIAL 2013-C16: Fitch Affirms B- Rating on $10MM F Debt
[*] Moody's Cuts Ratings on 7 Certs From 4 Structured Note Deals
[*] Moody's Hikes $93.8MM Subprime RMBS Issued 1997-2004
[*] Moody's Hikes Ratings on 20 Tranches From 8 US RMBS Deals
[*] Moody's Takes Action on 22 Tranches from 10 US RMBS Deals
[*] S&P Cuts Ratings on 8 Classes From 5 JC Penney-Related Deals
[*] S&P Lowers Ratings on 10 Classes From Four U.S. CMBS Deals
[*] S&P Takes Various Actions on 44 Classes From 15 US RMBS Deals
[*] S&P Takes Various Actions on 66 Classes From 18 US RMBS Deals
*********
ACCELERATED ASSETS 2018-1: S&P Assigns (P)BB- Rating on C Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Accelerated
Assets 2018-1 LLC's $130.142 million timeshare loan-backed notes
series 2018-1.
The note issuance is an asset-backed securities transaction backed
by vacation ownership interval (timeshare) loans.
The preliminary ratings are based on information as of June 7,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
S&P said, "The preliminary ratings reflect our opinion of the
credit enhancement available in the form of subordination,
overcollateralization, a reserve account, and available excess
spread. Our preliminary ratings also reflect our view of Bluegreen
Corporation's servicing ability and experience in the timeshare
market."
PRELIMINARY RATINGS ASSIGNED
Accelerated Assets 2018-1 LLC
Preliminary Preliminary
Class rating amount (mil. $)
A A (sf) 77.872
B BBB (sf) 26.242
C BB- (sf) 26.028
ALLEGRO CLO VII: Moody’s Gives Ba3 Rating on $20.4MM Class E Notes
--------------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Allegro CLO VII, Ltd.
Moody's rating action is as follows:
US$260,000,000 Class A Senior Secured Floating Rate Notes due 2031
(the “Class A Notes”), Assigned Aaa (sf)
US$41,600,000 Class B Senior Secured Floating Rate Notes due 2031
(the “Class B Notes”), Assigned Aa2 (sf)
US$20,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the “Class C Notes”), Assigned A2 (sf)
US$26,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the “Class D Notes”), Assigned Baa3 (sf)
US$20,400,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2031 (the “Class E Notes”), Assigned Ba3 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes and the Class E Notes are referred to herein, collectively,
as the “Rated Notes.”
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
Allegro CLO VII is a managed cash flow CLO. The issued notes will
be collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90% of the portfolio must consist of
first lien senior secured loans and eligible investments, and up to
10% of the portfolio may consist of second lien loans and unsecured
loans. The portfolio is approximately 95% ramped as of the closing
date.
AXA Investment Managers, Inc. will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's five year reinvestment period.
Thereafter, the Manager may reinvest unscheduled principal payments
and proceeds from sales of credit risk assets, subject to certain
restrictions.
In addition to the Rated Notes, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
AMERICAN CREDIT 2018-2: S&P Gives (P)B Rating on Class F Notes
--------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to American
Credit Acceptance Receivables Trust's $248 million asset-backed
notes series 2018-2.
The note issuance is an asset-backed securities (ABS) transaction
backed by subprime auto loan receivables.
The preliminary ratings are based on information as of June 7,
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 66.0%, 59.5%, 49.1%,
40.8%,36.4% and 33.9% credit support for the class A, B, C, D, E,
and F notes, respectively, based on break-even stressed cash flow
scenarios (including excess spread). These credit support levels
provide coverage of approximately 2.30x, 2.05x, 1.67x, 1.35x,
1.20x, and 1.10x S&P's 28.00%-29.00% expected net loss range for
the class A, B, C, D, E, and F notes, respectively.
-- The timely interest and principal payments made to the
preliminary rated notes by the assumed legal final maturity dates
under S&P's stressed cash flow modeling scenarios that it believes
are appropriate for the assigned preliminary ratings.
-- S&P said, "The expectation that under a moderate ('BBB') stress
scenario, all else being equal, the ratings on the class A, B, and
C notes would remain within the same rating category as our
preliminary 'AAA (sf)', 'AA (sf)', and 'A (sf)' ratings; the
ratings on the class D notes would remain within two rating
categories of our preliminary 'BBB (sf)' rating; and the rating on
the class E and F notes would remain within two rating categories
of our preliminary 'BB- (sf)' and 'B (sf)' rating, respectively in
the first year, but the E and F classes are expected to default by
their legal final maturity date with approximately 65%-100% and
0%-3% repayment, respectively. These potential rating movements are
consistent with our credit stability criteria, which outline the
outer boundaries of credit deterioration equal to a one-rating
category downgrade within the first year for 'AAA' and 'AA' rated
securities, a two-rating category downgrade within the first year
for 'A' through 'BB' rated securities, and a downgrade to 'D'
within the first year for 'B' rated securities under moderate
stress conditions. An eventual default for a 'BB' and 'B' rated
class under a moderate ('BBB') stress scenario is also consistent
with our credit stability criteria."
-- The collateral characteristics of the subprime automobile loans
securitized in this transaction.
-- The backup servicing arrangement with Wells Fargo Bank N.A.
-- The transaction's payment and credit enhancement structures.
-- The transaction's legal structure.
PRELIMINARY RATINGS ASSIGNED
American Credit Acceptance Receivables Trust 2018-2
Class Rating Type Interest Amount
rate (mil. $)(i)
A AAA (sf) Senior Fixed 98.090
B AA (sf) Subordinate Fixed 27.630
C A (sf) Subordinate Fixed 49.740
D BBB (sf) Subordinate Fixed 39.376
E BB- (sf) Subordinate Fixed 19.340
F B (sf) Subordinate Fixed 13.824
(i) The actual size of these tranches will be determined on the
pricing date.
AMMC CLO 18: Moody's Assigns Ba3 Rating on $20MM Class ER Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
CLO refinancing notes issued by AMMC CLO 18, Limited.
Moody's rating action is as follows:
US$258,000,000 Class AR Senior Secured Floating Rate Notes due 2031
(the "Class AR Notes"), Assigned Aaa (sf)
US$44,000,000 Class BR Senior Secured Floating Rate Notes due 2031
(the "Class BR Notes"), Assigned Aa2 (sf)
US$24,000,000 Class CR Secured Deferrable Floating Rate Notes due
2031 (the "Class CR Notes"), Assigned A2 (sf)
US$22,000,000 Class DR Secured Deferrable Floating Rate Notes due
2031 (the "Class DR Notes"), Assigned Baa3 (sf)
US$20,000,000 Class ER Secured Deferrable Floating Rate Notes due
2031 (the "Class ER Notes"), Assigned Ba3 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
American Money Management Corporation manages the CLO. It directs
the selection, acquisition, and disposition of collateral on behalf
of the Issuer.
RATINGS RATIONALE
Moody's ratings on the Refinancing Notes address the expected
losses posed to noteholders. The ratings reflect the risks due to
defaults on the underlying portfolio of assets, the transaction's
legal structure, and the characteristics of the underlying assets.
The Issuer has issued the Refinancing Notes on June 14, 2018 in
connection with the refinancing of all classes of the secured notes
previously issued on May 26, 2016. On the Refinancing Date, the
Issuer used proceeds from the issuance of the Refinancing Notes to
redeem in full the Refinanced Original Notes.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; and changes to the
overcollateralization test levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Performing par and principal proceeds balance: $400,000,000
Defaulted par: $0
Diversity Score: 80
Weighted Average Rating Factor (WARF): 2942
Weighted Average Spread (WAS): 3.40%
Weighted Average Recovery Rate (WARR): 47.5%
Weighted Average Life (WAL): 8.96 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.
APOLLO CREDIT IV: S&P Rates $18.5MM Class D-R Notes 'BB-'
---------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1A-R, A-2-R, B-R, C-R, and D-R replacement notes from Apollo
Credit Funding IV Ltd., a broadly syndicated collateralized loan
obligation (CLO) originally issued in April 2015 and managed by
Apollo ST Fund Management LLC. S&P did not rate the original
transaction.
The preliminary ratings assigned to the $431 million floating notes
reflect S&P's assessment of:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans
(those rated 'BB+' or lower) 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
Apollo Credit Funding IV Ltd./Apollo Credit Funding IV LLC
Replacement class Rating Amount (mil. $)
A-1A-R AAA (sf) 284.00
A-1B-R NR 20.00
A-2-R AA (sf) 38.00
B-R A (sf) 42.50
C-R BBB- (sf) 28.00
D-R BB- (sf) 18.50
Sub notes NR 43.75
NR--Not rated.
ARGENT SECURITIES 2003-W8: Moody's Cuts M-2 Debt Rating to Caa1
---------------------------------------------------------------
Moody's Investors Service has downgraded the rating of Argent
Securities Inc., Series 2003-W8 Cl. M-2 and upgraded the rating of
Asset Backed Securities Corporation Home Equity Loan Trust 2004-HE3
Cl. M2, both of which are backed by subprime mortgage loans.
Complete list of rating actions is as follows:
Issuer: Argent Securities Inc., Series 2003-W8
Cl. M-2, Downgraded to Caa1 (sf); previously on Dec 23, 2015
Upgraded to B2 (sf)
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2004-HE3
Cl. M2, Upgraded to B3 (sf); previously on Sep 17, 2013 Downgraded
to Caa3 (sf)
RATINGS RATIONALE
The actions are due to the recent performance of the underlying
pools and reflect Moody's updated loss expectations on the pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 3.8% in May 2018 from 4.3% in May
2017. Moody's forecasts an unemployment central range of 3.5% to
4.5% for the 2018 year. Deviations from this central scenario could
lead to rating actions in the sector. House prices are another key
driver of US RMBS performance. Moody's expects house prices to
continue to rise in 2018. Lower increases than Moody's expects or
decreases could lead to negative rating actions. Finally,
performance of RMBS continues to remain highly dependent on
servicer procedures. Any change resulting from servicing transfers
or other policy or regulatory change can impact the performance of
these transactions.
ASHFORD HOSPITALITY 2018-KEYS: Moody's Gives (P)B3 Rating on F Debt
-------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to seven
classes of CMBS securities, issued by Ashford Hospitality Trust
2018-KEYS, Commercial Mortgage Pass-Through Certificates, Series
2018-KEYS:
Cl. A, Assigned (P)Aaa (sf)
Cl. X-CP*, Assigned (P)Ba2 (sf)
Cl. B, Assigned (P)Aa3 (sf)
Cl. C, Assigned (P)A3 (sf)
Cl. D, Assigned (P)Baa3 (sf)
Cl. E, Assigned (P)Ba3 (sf)
Cl. F, Assigned (P)B3 (sf)
* Reflects interest-only classes
RATINGS RATIONALE
The Certificates are collateralized by six mortgage loans secured
by the fee and leasehold interests in 34 full service, select
service and extended stay hotels. All six loans are first lien.
Collectively, the hotels contain a total of 7,270 guestrooms across
16 states. The borrowers are comprised on 34 bankruptcy-remote,
special purpose entities, each of which is a Delaware limited
partnerships owned by the sponsor, Ashford Hospitality Trust, Inc.
Moody's approach to rating this transaction involved the
application of both its Large Loan and Single Asset/Single Borrower
CMBS methodology and its IO Rating methodology. The rating approach
for securities backed by a six loans compares the credit risk
inherent in the underlying collateral with the credit protection
offered by the structure. The structure's credit enhancement is
quantified by the maximum deterioration in property value that the
securities are able to withstand under various stress scenarios
without causing an increase in the expected loss for various rating
levels. In assigning single borrower ratings, Moody's also
considers a range of qualitative issues as well as the
transaction's structural and legal aspects.
The credit risk of loans is determined primarily by two factors: 1)
Moody's assessment of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessment of the
severity of loss upon a default, which is largely driven by each
loan's LTV ratio.
The first mortgage balance of $982,000,000 represents a Moody's LTV
of 105.6%. The Moody's First Mortgage Actual DSCR is 2.14X and
Moody's First Mortgage Actual Stressed DSCR is 1.13X. The financing
is subject to a mezzanine loan totaling $288,240,000. The Moody's
Total Debt LTV (inclusive of the mezzanine loan) is 136.6% while
the Moody's Total Debt Actual DSCR is 1.36X and Moody's Total Debt
Stressed DSCR is 0.88X.
The collateral under the mortgage loan is comprised of six pool of
34 hotel properties diversified across full-service (19 hotels,
68.6% of ALA), select-service (10 hotels, 20.0% of ALA) and
extended-stay (5 hotels, 11.4% of ALA) chain scale segments. The
portfolio is geographically diversified across 16 states and 22
MSAs, with no single state representing more than 34.7%
(California) of the allocated loan amount and no single MSA
representing more than 18.5% (San Francisco-Oakland-Hayward, CA) of
the allocated mortgage loan amount. The portfolio's property-level
Herfindal Index score is 25.8 based on allocated loan amount.
As of February 28, 2018, the portfolio's overall occupancy rate for
the trailing twelve months was 79.1%, ADR (average daily rate) was
$159.71, and RevPAR (revenue per available room) was $126.35.
Additionally, the portfolio's Occupancy, ADR, and RevPAR
penetration for the trailing twelve months was 108.0%, 109.5% and
118.4% respectively.
The properties have a weighted average age of 27 years as the hotel
improvements were built at various points between 1963 and 2002.
The sponsor invested approximately $212.7 million ($29,256 per key)
has been invested into the portfolio improvements from 2013 to
2017. The sponsor plans to spend an additional $26.7 million
($3,677 per key) across the portfolio, of which approximately $5.1
million of the was reserved at closing to fund scheduled property
improvement plans for Walnut Creek Embassy Suites and Durham
Marriott Research Triangle Park.
Notable strengths of the transaction include: the presence of
multiple-property diversification within each of the six loan
pools, geographic diversity, sponsorship, capital investment, and
RevPAR performance relative to each property's respective peer
group.
Notable credit challenges of the transaction include: the average
age of the underlying mortgaged properties, the presence of
subordinate leverage, property type concentration, the loan's
floating-rate and interest-only mortgage loan profile, and credit
negative legal features.
The principal methodology used in rating Ashford Hospitality Trust
2018-KEYS, Cl. A, Cl. B, Cl. C, Cl. D, Cl. E and Cl. F was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017. The methodologies used in rating
Ashford Hospitality Trust 2018-KEYS, Cl. X-CP were "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017 and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in June
2017.
Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from Moody's
loan level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.
Moody's analysis considers the following inputs to calculate the
proposed IO rating based on the published methodology: original and
current bond ratings and credit estimates; original and current
bond balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology.
These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer at
the date it was prepared and such information has not been
independently verified by Moody's; (b) must be construed solely as
a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating to
the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third party
for any loss, injury or cost caused to the issuer or any other
third party, in whole or in part, including by any negligence (but
excluding fraud, dishonesty and/or willful misconduct or any other
type of liability that by law cannot be excluded) on the part of,
or any contingency beyond the control of Moody's, or any of its
employees or agents, including any losses arising from or in
connection with the procurement, compilation, analysis,
interpretation, communication, dissemination, or delivery of any
information or rating relating to the issuer.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
Moody's ratings address only the credit risks associated with the
transaction. Other non-credit risks have not been addressed and may
have a significant effect on yield to investors.
The ratings do not represent any assessment of (i) the likelihood
or frequency of prepayment on the mortgage loans, (ii) the
allocation of net aggregate prepayment interest shortfalls, (iii)
whether or to what extent prepayment premiums might be received, or
(iv) in the case of any class of interest-only certificates, the
likelihood that the holders thereof might not fully recover their
investment in the event of a rapid rate of prepayment of the
mortgage loans.
ATRIUM HOTEL 2018-ATRM: S&P Assigns (P)B- Rating on Class F Certs
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Atrium Hotel
Portfolio Trust 2018-ATRM's $603.250 million commercial mortgage
pass-through certificates.
The issuance is a commercial mortgage-backed securities transaction
backed by one two-year, floating-rate commercial mortgage loan with
five, one-year extension options totaling $635.0 million, secured
by a first-lien mortgage on the borrower's fee simple and/or
leasehold interests in 24 full-service and limited-service hotel
properties.
The preliminary ratings are based on information as of June 7,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of the collateral's
historical and projected performance, the sponsor's and managers'
experience, the trustee-provided liquidity, the loan's terms, and
the transaction's structure.
PRELIMINARY RATINGS ASSIGNED
Atrium Hotel Portfolio Trust 2018-ATRM
Class(i) Rating(ii) Amount ($)
A AAA (sf) 200,879,000
X-CP BBB- (sf) 313,000,800(iii)
X-FP BBB- (sf) 78,250,200(iii)
X-NCP BBB- (sf) 391,251,000(iii)
B AA- (sf) 69,845,000
C A- (sf) 51,919,000
D BBB- (sf) 68,608,000
E BB- (sf) 108,166,000
F B- (sf) 95,473,000
G NR 8,360,000
(i) Excludes a non-offered eligible vertical interest class
totaling $31.750 million.
(ii) The issuer will issue the certificates to qualified
institutional buyers in-line with Rule 144A of the Securities Act
of 1933.
(iii) Notional amounts.
NR--Not rated.
AVENTURA MALL 2018-AVM: Moody's Gives (P)Ba1 Rating to H-RR Certs
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of CMBS securities, issued by Aventura Mall Trust 2018-AVM,
Commercial Mortgage Pass-Through Certificates, Series 2018-AVM:
Cl. A, Assigned (P)Aaa (sf)
Cl. B, Assigned (P)Aa3 (sf)
Cl. C, Assigned (P)A3 (sf)
Cl. D, Assigned (P)Baa2 (sf)
Cl. H-RR, Assigned (P)Ba1 (sf)
Cl. X-A*, Assigned (P)Aaa (sf)
* Reflects interest-only class
RATINGS RATIONALE
The certificates are collateralized by a single loan secured by the
borrower's fee simple interest in 1.2 million SF of the 2.2 million
SF super-regional mall known as the Aventura Mall ("the Property")
located in Aventura, FL, approximately 17 miles north of Miami. The
loan is a ten-year, fixed-rate, interest-only, first lien mortgage
loan with an original and outstanding principal balance of
$1,750,000,000. The ratings are based on the collateral and the
structure of the transaction.
More specifically, the trust assets primarily consist of eight
promissory notes, including four senior notes and four junior
notes, which combined have an aggregate principal balance of
$750,000,000 as of the cut-off date.
The Property is a nationally recognized retail asset, it is the
largest mall in the state of Florida and one of the most productive
malls in the United States. The mall contains five anchors
comprised of Macy's, Bloomingdale's, Macy's Men's and Home, J. C.
Penney and Nordstrom. The collateral for the loan totals 1,217,508
SF and includes the J. C. Penney anchor space and the pad sites
ground leased to Macy's, Bloomingdale's, Macy's Men's and Home, and
Nordstrom. The Property benefits from a large mix of luxury and
mass market tenants that appeal to a wide variety of shoppers.
Notable national tenants in occupancy include a 24-screen AMC
Theatres, Cheesecake Factory, Apple, Zara, Forever 21, H&M,
Victoria Secret, Banana Republic, Abercrombie & Fitch as well as
luxury tenants such Burberry, Louis Vuitton, Gucci, Fendi, Cartier,
Tiffany & Co., and Henri Bendel.
The sponsor recently completed an approximately $230.0 million
expansion of the Property which added a new 226,641 SF two level
wing on the east side of the mall. The new wing is anchored by a
two-story Zara, a two-story Topshop / Topman and a 20,218 SF Apple
cube store at the expansion entrance. As the Apple store is still
completing construction, the retailer remains open at their present
6,300 SF store within the mall. The new store is expected to open
in summer 2019. The expansion wing is currently 72% leased with
much of the vacant space proximate to the new Apple store and that
the Sponsor intends to hold off on leasing until the Apple store
nears completion to maximize achievable rents.
As of February 2018 and including recently executed leases, the
Property (excluding non-collateral space) was 92.8% occupied, which
includes the recently opened and not fully leased expansion wing,
and has averaged 97.9% occupancy from 2010 through 2017.
Moody's approach to rating this transaction involved an application
of Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS and Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities. The rating approach for securities
backed by a single loan compares the credit risk inherent in the
underlying collateral with the credit protection offered by the
structure. The structure's credit enhancement is quantified by the
maximum deterioration in property value that the securities are
able to withstand under various stress scenarios without causing an
increase in the expected loss for various rating levels. In
assigning single borrower ratings, Moody's also considers a range
of qualitative issues as well as the transaction's structural and
legal aspects.
The credit risk of loans is determined primarily by two factors: 1)
Moody's assessment of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessment of the
severity of loss upon a default, which is largely driven by each
loan's LTV ratio.
The first mortgage balance of $1,750,000,000 represents a Moody's
LTV of 85.3%. The Moody's first mortgage DSCR is 1.99x and Moody's
first mortgage DSCR at a 9.25% stressed constant is 0.89x.
Notable strengths of the transaction include the asset's trophy
qualities, diversified shoppers base, sales productivity, inline
sales, recent expansion, and strong sponsorship. Offsetting these
strengths are the lack of asset diversification, interest-only
mortgage loan profile, decline in recent sales, potential future
competition, and credit negative legal features.
The principal methodology used in rating Aventura Mall Trust
2018-AVM, Cl. A, Cl. B, Cl. C, Cl. D, and Cl. HRR was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017. The methodologies used in rating
Aventura Mall Trust 2018-AVM, Cl. X-A were "Moody's Approach to
Rating Large Loan and Single Asset/Single Borrower CMBS" published
in July 2017 and "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" published in June 2017.
Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from Moody's
Moody's loan level LTV ratios. Major adjustments to determining
proceeds include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.
These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer at
the date it was prepared and such information has not been
independently verified by Moody's; (b) must be construed solely as
a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating to
the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third party
for any loss, injury or cost caused to the issuer or any other
third party, in whole or in part, including by any negligence (but
excluding fraud, dishonesty and/or willful misconduct or any other
type of liability that by law cannot be excluded) on the part of,
or any contingency beyond the control of Moody's, or any of its
employees or agents, including any losses arising from or in
connection with the procurement, compilation, analysis,
interpretation, communication, dissemination, or delivery of any
information or rating relating to the issuer.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan paydowns or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
Moody's ratings address only the credit risks associated with the
transaction. Other non-credit risks have not been addressed and may
have a significant effect on yield to investors.
The ratings do not represent any assessment of (i) the likelihood
or frequency of prepayment on the mortgage loans, (ii) the
allocation of net aggregate prepayment interest shortfalls, (iii)
whether or to what extent prepayment premiums might be received, or
(iv) in the case of any class of interest-only certificates, the
likelihood that the holders thereof might not fully recover their
investment in the event of a rapid rate of prepayment of the
mortgage loans.
BALLYROCK CLO 2013-1: S&P Affirms BB(sf) Rating on Class E Notes
----------------------------------------------------------------
S&P Global Ratings raised its ratings on the class B, C,and D notes
from Ballyrock CLO 2013-1 Ltd. and removed them from CreditWatch,
where we had placed them with positive implications on March 20,
2018. S&P also affirmed its ratings on the class A and E notes from
the same transaction.
The rating actions follow S&P's review of the transaction's
performance using data from the May 14, 2018, trustee report.
The upgrades reflect the transaction's $190.25 million in paydowns
to the class A notes since our September 2016 rating actions. These
paydowns resulted in improved reported overcollateralization (O/C)
ratios to all classes since the August 2016 trustee report, which
S&P used for its previous rating actions:
-- The senior class A O/C ratio improved to 159.32% from 132.60%.
-- The class A O/C ratio improved to 129.95% from 118.42%.
-- The class B-1L O/C ratio improved to 116.08% from 110.75%.
-- The class B-2L O/C ratio improved to 107.81% from 105.82%.
The transaction has also benefited from a drop in the weighted
average life due to the underlying collateral's seasoning; 3.66
years were reported as of the May 2018 trustee report, compared
with 4.75 years reported at the time of our September 2016 rating
actions. This seasoning has decreased the overall credit risk
profile, which, in turn, has provided more cushion to the tranche
ratings.
However, the collateral portfolio's credit quality has slightly
deteriorated since our last rating actions. As the portfolio's size
decreased, collateral obligations with S&P Global Ratings' credit
ratings in the 'CCC (sf)' range have increased in percentage terms.
The underlying collateral was reported at approximately 6.3%
($15.38 million) as of the May 2018 trustee report, compared with
approximately 4.5% of the underlying collateral ($17.50 million)
reported as of the August 2015 trustee report. Over the same
period, the par amount of defaulted collateral has increased to
$8.91 million from $7.64 million. Additionally, the weighted
average spread has declined since S&P's prior review, to 3.44% from
4.30%.
S&P said, "The upgrades reflect the improved credit support at the
prior rating levels, while the affirmations reflect our belief that
the credit support available is commensurate with the current
rating levels for these classes.
"Although our cash flow analysis indicated an additional notch
upgrade for the class D notes and a notch upgrade for the class E
notes, we preferred to keep some cushion given the increased
percentage of the 'CCC (sf)' and 'D (sf)' rated collateral in the
portfolio and after considering additional sensitivity runs that
considered the exposure to stressed industries and assets trading
at a significant discount to par.
"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
Ballyrock CLO 2013-1 Ltd.
Rating
Class To From
B AAA (sf) AA (sf)/Watch Pos
C AA+ (sf) A (sf)/Watch Pos
D A (sf) BBB (sf)/Watch Pos
RATINGS AFFIRMED Ballyrock CLO 2013-1 Ltd.
Class Rating
A AAA (sf)
E BB (sf)
BANC OF AMERICA 2007-1: Fitch Affirms Csf Ratings on 3 Tranches
---------------------------------------------------------------
Fitch Ratings has affirmed 17 classes of Banc of America Commercial
Mortgage Trust commercial mortgage pass-through certificates,
series 2007-1 (BACM 2007-1).
KEY RATING DRIVERS
Increased Credit Enhancement to Offset High Loss Expectations:
Although credit enhancement has improved since Fitch's last rating
action from amortization and the liquidation of four specially
serviced loans/assets at better than expected recoveries, the
affirmations reflect the high loss expectations for the remaining
pool and the lack of progress surrounding the resolution of the
largest asset. As of the May 2018 distribution date, the pool's
aggregate principal balance has been reduced by 86.7% to $417.9
million from $3.15 billion at issuance. Realized losses since
issuance total $295.4 million (9.4% of original pool balance). The
transaction is undercollateralized by $3.4 million. Cumulative
interest shortfalls totaling $68.6 million are currently impacting
classes A-J through Q.
High Concentration of Specially Serviced Loans/Assets: Eleven of
the original 208 loans/assets remain (two of which were previously
modified into A/B notes). Over 81% of the pool is in special
servicing, which includes three real-estate owned (REO) assets
(67.7%) and five loans (13.5%) classified as in foreclosure.
The largest asset, Skyline Portfolio (65.4% of pool), consists of a
portfolio of eight office buildings totaling 2.6 million square
feet located in Falls Church, VA. The loan initially transferred to
special servicing in March 2012 for imminent default as portfolio
occupancy was negatively impacted by the Base Realignment and
Closure Act. In 2013, the loan was modified into A/B notes and the
maturity was extended to February 2022; however, the loan
re-defaulted and the asset has been REO since December 2016. A
prior contract to purchase six of the buildings was terminated in
December 2017. Overall portfolio occupancy was 44.6% in February
2018, with the six older Skyline buildings (Skyline One through
Six) being 22% leased, while One Skyline Tower was 100% leased and
Seven Skyline Place was 68% leased.
Fitch has also designated an additional two performing loans (9%)
as Fitch Loans of Concern (FLOCs), including the Merrymeeting Plaza
loan (5.9%), which was previously modified into A/B notes and is
secured by a grocery-anchored shopping center in Brunswick, ME, and
the Orchard Ridge Corporate Park loan (3.1%), which has an upcoming
loan maturity in December 2018 and is secured by an office property
in Brewster, NY. Prior underperformance at the Merrymeeting Plaza
property was related to tenancy issues, including bankruptcies and
lease terminations, as well as the closure of the naval air base in
the area; the property has still not reached stabilization. The
Orchard Ridge Corporate Park property has experienced continued
occupancy and cash flow declines over the past few years.
The remaining two loans not designated as FLOCs are secured by
single-tenant office properties located in Hilliard, OH and
Whippany, NJ; these single tenants have lease expirations
co-terminous with the loan's maturity.
RATING SENSITIVITIES
The Rating Outlook for classes A-MFX and A-MFL remains Negative due
to the high concentration and increasing exposure of the specially
serviced loans/assets. Further downgrades are possible with
prolonged workouts of the specially serviced loans/assets or if
losses exceed Fitch's expectations. Downgrades to the remaining
distressed classes will occur as losses are realized. Upgrades are
not expected due to adverse selection and high loss expectations on
the remaining pool.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following classes:
- $57.5 million class A-MFX at 'BBsf'; Outlook Negative;
- $16.1 million class A-MFL at 'BBsf'; Outlook Negative;
- $259.5 million class A-J at 'Csf'; RE 15%;
- $27.5 million class B at 'Csf'; RE 0%;
- $35.4 million class C at 'Csf'; RE 0%;
- $11.2 million class D at 'Dsf'; RE 0%;
- $0 class E at 'Dsf'; RE 0%;
- $0 class F at 'Dsf'; RE 0%;
- $0 class G at 'Dsf'; RE 0%;
- $0 class H at 'Dsf'; RE 0%;
- $0 class J at 'Dsf'; RE 0%;
- $0 class K at 'Dsf'; RE 0%;
- $0 class L at 'Dsf'; RE 0%;
- $0 class M at 'Dsf'; RE 0%;
- $0 class N at 'Dsf'; RE 0%;
- $0 class O at 'Dsf'; RE 0%;
- $0 class P at 'Dsf'; RE 0%.
Classes A-1, A-2, A-3, A-AB, A-4 and A-1A have paid in full. Fitch
does not rate the fully depleted class Q. Fitch previously withdrew
the rating on the interest-only class XW and the $10.7 million
class A-MFX2.
BARINGS CLO 2018-III: S&P Rates $12.25MM Class F Notes 'B-'
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to Barings CLO Ltd.
2018-III's $624.50 million fixed- and floating-rate 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 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
Barings CLO Ltd. 2018-III
Class Rating Amount
(mil. $)
X AAA (sf) 5.00
A-1 AAA (sf) 420.00
A-2 NR 35.00
B-1 AA (sf) 56.50
B-2 AA (sf) 18.75
C (deferrable) A (sf) 42.00
D (deferrable) BBB- (sf) 43.75
E (deferrable) BB- (sf) 26.25
F (deferrable) B- (sf) 12.25
Subordinated notes NR 99.40
NR--Not rated.
BEAR STEARNS 2004-PWR5: Fitch Affirms D Rating on Class N Certs
---------------------------------------------------------------
Fitch Ratings has affirmed nine classes of Bear Stearns Commercial
Mortgage Securities Trust, Commercial Mortgage Pass-Through
Certificates, Series 2004-PWR5 (BSCMS 2004-PWR5).
KEY RATING DRIVERS
The Stable Rating Outlooks on classes F through M reflect the
pool's stable performance, increased credit enhancement and
significant defeasance, which fully cover classes F through K and a
portion of L. None of the loans are specially serviced or
considered Fitch Loans of Concern (FLOCs). One loan, Loews Cineplex
Layton (0.6% of the pool), was previously in special servicing due
to the imminent lease expiration of the property's sole tenant;
however, the tenant extended their lease through November 2022,
which is after the loan matures.
Pool Concentration: The pool is highly concentrated with only nine
of the original 130 loans remaining. Due to the concentrated nature
of the pool, Fitch performed a sensitivity analysis that considered
the credit quality of the remaining loans, which includes
significant defeasance (81%) as well as seven fully amortizing
loans (19%). Fitch ranked these loans by their perceived likelihood
of repayment, and the ratings reflect this analysis.
Defeasance: The two largest loans in the pool (81.0%) are fully
defeased. Classes F through K are fully covered by defeasance and
class L is 64.4% covered by defeasance.
Fully Amortizing Loans: The remaining seven loans (19.0%) are fully
amortizing. Though lowly leveraged, these loans are primarily
secured by properties located in secondary and tertiary markets.
Further, collateral includes a parking garage (6.6%), five retail
or mixed use-retail properties (11.5%), and a mobile home community
(0.6%).
Credit Enhancement Improvement: As of the May 2018 distribution,
the pool's aggregate principal balance has been reduced by 95.4% to
$56.4 million from $1.23 billion at issuance, or 0.4% of the
initial pool balance since Fitch's last review. Total deal losses
to date are approximately $17.7 million, or 1.4% of the pool at
issuance. Only $4.9 million has paid down since last review with no
losses realized over the period. Interest shortfalls totalling
$240,152 are currently affecting classes M, N and P.
Loan Maturities: Six loans (86.1%) mature in 2019 and three loans
(13.9%) mature in 2024.
RATING SENSITIVITIES
The Stable Outlooks on classes F through M reflect the increased
credit enhancement, significant defeasance (81.0%) and overall
stable performance of the pool. Classes F through K are fully
covered by defeased collateral and class L is 64.4% covered by
defeased collateral. Payment in full of classes L and M is
dependent on fully amortizing loans that mature in 2019 (5.1%) and
2024 (13.9%), respectively. Future upgrades to classes L and M may
be limited due to the increasing concentration of the pool.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following classes:
- $4.7 million class F at 'AAAsf'; Outlook Stable;
- $9.3 million class G at 'AAAsf'; Outlook Stable;
- $18.5 million class H at 'AAAsf'; Outlook Stable;
- $4.6 million class J at 'AAAsf'; Outlook Stable;
- $4.6 million class K at 'AAAsf'; Outlook Stable;
- $6.2 million class L at 'Asf'; Outlook Stable;
- $4.6 million class M at 'BBsf'; Outlook Stable;
- $3.9 million class N at 'Dsf'; RE 100%;
- $0 class P at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-4, A-5, B, C, D and E certificates have
paid in full. Fitch does not rate the fully-depleted class Q
certificates. Fitch previously withdrew the ratings on the
interest-only class X-1 and X-2 certificates.
BEAR STEARNS 2005-PWR7: Fitch Affirms C Rating on Class F Debt
--------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of Bear Stearns Commercial
Mortgage Securities Trust (BSCMS) commercial mortgage pass-through
certificates series 2005-PWR7.
KEY RATING DRIVERS
Pool Concentration: The pool is highly concentrated with only eight
of the original 124 loans remaining. Of the remaining loans, three
are fully-defeased (3.1%), two are fully amortizing (17.5%), two
have been designated as Fitch Loans of Concern (FLOC) due to low
DSCRs, and the largest loan (68%) is in special servicing. As of
the May 2018 distribution date, the pool's aggregate principal
balance has been reduced by 93.7% to $71.2 million from $1.1
billion at issuance, which includes $58.6 million in realized
losses.
Stable Loss Expectations: The affirmations reflect the relatively
stable loss expectations since Fitch's last rating action. Fitch
modeled losses of 33% of the remaining pool; expected losses based
on the original pool balance are 7.31%, including $58.6 million
(5.21% of the original pool balance) in realized losses to date.
Although credit enhancement is high, ratings were capped below
investment grade as the pool is concentrated with and the classes
are reliant on the recovery from the specially serviced loan.
Shops at Boca Park: The largest loan in the pool (68% of the pool
balance) is secured by a 247,472-square foot (sf) anchored retail
center located in Las Vegas, NV. The loan had originally
transferred to special servicing in October 2009 for imminent
default, and the borrower subsequently filed for bankruptcy in June
2010. The loan was modified in November 2012, which included an
extension of the interest-only period and maturity, and a reduction
in interest rate. The loan matured in January 2016 without
repayment and transferred back to special servicing in February
2016. Fitch continues to monitor the status of any negotiations
and/or resolution.
RATING SENSITIVITIES
Fitch's analysis included a conservative loss assumption on the
specially serviced loan. The Rating Outlooks on classes B and C are
considered Stable due to high credit enhancement. Upgrades are
unlikely due to adverse selection, remaining collateral quality and
pool concentrations. Downgrades to the distressed classes could
occur if a loss on the specially serviced loan exceeds Fitch's
expectations, if pool performance deteriorates, or as losses are
realized.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following classes:
- $24.5 million class B at 'BBsf'; Outlook Stable;
- $8.4 million class C at 'Bsf'; Outlook Stable;
- $15.5 million class D at 'CCCsf'; RE 95%;
- $11.2 million class E at 'CCsf'; RE 0%
- $11.2 million class F at 'Csf'; RE 0%
- $394,600 class G at 'Dsf'; RE 0%.
- $0 class H at 'Dsf'; RE 0%;
- $0 class J at 'Dsf'; RE 0%;
- $0 class K at 'Dsf'; RE 0%;
- $0 class L at 'Dsf'; RE 0%;
- $0 class M at 'Dsf'; RE 0%;
- $0 class N at 'Dsf'; RE 0%;
- $0 class P at 'Dsf'; RE 0%.
The classes A-1, A-2, A-AB, A-3 and A-J certificates have paid in
full. Fitch does not rate the class Q certificates. Fitch
previously withdrew the ratings on the interest-only class X-1 and
X-2 certificates.
BRAEMAR HOTELS 2018-PRME: S&P Assigns B-(sf) Rating on F Certs
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Braemar Hotels And
Resorts Trust 2018-PRME's $370.0 million commercial mortgage
pass-through certificates.
The certificate issuance is a commercial mortgage-backed securities
transaction backed by one two-year floating-rate commercial
mortgage loan with five one-year extension options totaling $370.0
million, secured by a first-lien mortgage on the borrowers' fee
simple interests in four hotel properties.
The loan's spread decreased to 1.63% from 1.95% at preliminary
issuance, increasing our actual debt service coverage (DSC) ratio
to 2.60x from 2.39x, based on S&P Global Ratings' net cash flow and
the spread plus a 2.0% LIBOR rate. S&P said, "Our DSC based on the
spread plus the 4.0% LIBOR cap increased to 1.68x from 1.59x.
Additionally, we withdrew the preliminary ratings on the class X-CP
and X-EXT certificates as the classes are only entitled to a
deminimus payment on the first distribution date and a portion of
the spread maintenance premiums, if any, collected on the mortgage
loan."
The ratings reflect S&P's view the collateral's historical and
projected performance, the sponsor's and managers' experience, the
trustee-provided liquidity, the loan's terms, and the transaction's
structure.
RATINGS ASSIGNED
Braemar Hotels And Resorts Trust 2018-PRME
Class Rating(i) Amount ($)
A AAA (sf) 117,705,000
X-CP NR 113,335,000(ii)
X-EXT NR 113,335,000(ii)
B AA- (sf) 41,610,000
C A- (sf) 30,875,000
D BBB- (sf) 40,850,000
E BB- (sf) 64,410,000
F B- (sf) 56,050,000
RR interest(iii) NR 18,500,000
(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
C-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) Non-offered vertical interest certificate.
NR--Not rated.
BXP TRUST 2017-GM: Moody's Affirms Ba2 Rating on Class E Certs
--------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on six classes
in BXP Trust 2017-GM, Commercial Mortgage Pass-Through
Certificates, Series 2017-GM
Cl. A, Affirmed Aaa (sf); previously on Jul 7, 2017 Definitive
Rating Assigned Aaa (sf)
Cl. B, Affirmed Aa3 (sf); previously on Jul 7, 2017 Definitive
Rating Assigned Aa3 (sf)
Cl. C, Affirmed A3 (sf); previously on Jul 7, 2017 Definitive
Rating Assigned A3 (sf)
Cl. D, Affirmed Baa3 (sf); previously on Jul 7, 2017 Definitive
Rating Assigned Baa3 (sf)
Cl. E, Affirmed Ba2 (sf); previously on Jul 7, 2017 Definitive
Rating Assigned Ba2 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on Jul 7, 2017 Definitive
Rating Assigned Aaa (sf)
RATINGS RATIONALE
The ratings on the P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The rating on the IO class was affirmed based on the credit quality
of the referenced class.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating BXP Trust 2017-GM, Cl. A,
Cl. B, Cl. C, Cl. D, and Cl. E, was "Moody's Approach to Rating
Large Loan and Single Asset/Single Borrower CMBS" published in July
2017. The methodologies used in rating BXP Trust 2017-GM, Cl. X-A
were "Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in July 2017 and "Moody's Approach to
Rating Structured Finance Interest-Only (IO) Securities" published
in June 2017.
DEAL PERFORMANCE
As of the May 15, 2018 distribution date, the transaction's
aggregate certificate balance was approximately $1.555 billion, the
same as at securitization. The certificates are collateralized by a
portion of a first-lien whole loan with an outstanding balance of
$2.300 billion (the "Whole Loan"). The Whole Loan will be secured
by the Borrower's fee simple interest in the General Motors
Building, a 1.99 million square foot, Class A, office property
located at 767 Fifth Avenue in New York City.
The trust components consist of eight senior promissory notes (the
"Senior Trust Notes") and four junior promissory notes (the "Junior
Notes"), which combined have an aggregate principal balance of
$1.555 billion. The aggregate Senior Trust Notes and the aggregate
Junior Notes have principal balances of $725,000,000 and
$830,000,000, respectively. There are no outstanding interest
shortfalls or losses to date.
The property was developed in 1968, is 50 stories tall, and spans
the entire city block bound by 58th Street, 59th Street, Madison
Avenue and Fifth Avenue on the southeast corner of Central Park.
The Property features 188,000 SF of retail space on the first two
stories and the below-grade concourse.
As of December 2017, the property was 91.1% leased and has a
diverse tenant roster. The largest tenants include: Weil Gotshal &
Manges (19% of net rentable area (NRA)), Aramis/Estee Lauder (15%
of NRA), Parella Weinberg (7% of NRA), BAMCO (5% of NRA), and Apple
(4.8% of NRA). The property will also include the future flagship
store for Under Armour, when the tenant is expected to take its
space in 2019.
Moody's LTV ratio is 91.4% and stressed debt service coverage ratio
(DSCR) is 0.87X, the same as at securitization. Moody's current
structured credit assessment for this loan is ba2 (sca.pd), the
same as at securitization.
CANYON CLO 2016-1: Moody's Assigns Ba3 Rating on Class E-R Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
CLO refinancing notes issued by Canyon CLO 2016-1, Ltd.
Moody's rating action is as follows:
US$4,200,000 Class X Senior Secured Floating Rate Notes due 2031
(the "Class X Notes"), Assigned Aaa (sf)
US$288,000,000 Class A-R Senior Secured Floating Rate Notes due
2031 (the "Class A-R Notes"), Assigned Aaa (sf)
US$49,000,000 Class B-R Senior Secured Floating Rate Notes due 2031
(the "Class B-R Notes"), Assigned Aa2 (sf)
US$23,000,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2031 (the "Class C-R Notes"), Assigned A2 (sf)
US$28,500,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2031 (the "Class D-R Notes"), Assigned Baa3 (sf)
US$26,200,000 Class E-R Senior Secured Deferrable Floating Rate
Notes due 2031 (the "Class E-R Notes"), Assigned Ba3 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
Canyon CLO Advisors LLC manages the CLO. It directs the selection,
acquisition, and disposition of collateral on behalf of the
Issuer.
RATINGS RATIONALE
Moody's ratings on the Refinancing Notes address the expected
losses posed to noteholders. The ratings reflect the risks due to
defaults on the underlying portfolio of assets, the transaction's
legal structure, and the characteristics of the underlying assets.
The Issuer has issued the Refinancing Notes on June 8, 2018 in
connection with the refinancing of all classes of the secured notes
previously issued on May 5, 2016. On the Refinancing Date, the
Issuer used proceeds from the issuance of the Refinancing Notes to
redeem in full the Refinanced Original Notes.
In addition to the issuance of the Refinancing Notes and additional
subordinated notes, a variety of other changes to transaction
features will occur in connection with the refinancing. These
include: reinstatement and extension of the reinvestment period;
extensions of the stated maturity and non-call period; changes to
certain collateral quality tests; and changes to the
overcollateralization test levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Performing par and principal proceeds balance: $450,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2778
Weighted Average Spread (WAS): 3.30%
Weighted Average Coupon (WAC): 7.0%
Weighted Average Recovery Rate (WARR): 47%
Weighted Average Life (WAL): 9.1 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Refinancing Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Here is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Refinancing
Notes (shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2778 to 3195)
Rating Impact in Rating Notches
Class X Notes: 0
Class A-R Notes: -1
Class B-R Notes: -2
Class C-R Notes: -2
Class D-R Notes: -1
Class E-R Notes: -1
Percentage Change in WARF -- increase of 30% (from 2778 to 3611)
Rating Impact in Rating Notches
Class X Notes: 0
Class A-R Notes: -1
Class B-R Notes: -4
Class C-R Notes: -4
Class D-R Notes: -2
Class E-R Notes: -1
CANYON CLO 2018-1: Moody's Assigns Ba3 Rating on Class E Notes
--------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Canyon CLO 2018-1, Ltd.
Moody's rating action is as follows:
US$320,000,000 Class A Senior Secured Floating Rate Notes due 2031
(the "Class A Notes"), Definitive Rating Assigned Aaa (sf)
US$57,500,000 Class B Senior Secured Floating Rate Notes due 2031
(the "Class B Notes"), Definitive Rating Assigned Aa2 (sf)
US$25,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2031 (the "Class C Notes"), Definitive Rating Assigned A2 (sf)
US$32,500,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2031 (the "Class D Notes"), Definitive Rating Assigned Baa3
(sf)
US$25,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2031 (the "Class E Notes"), Definitive Rating Assigned Ba3
(sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes and the Class E Notes are referred to herein, collectively,
as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
Canyon 2018-1 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90.0% of the portfolio must consist of
first lien senior secured loans, cash, and eligible investments,
and up to 10.0% of the portfolio may consist of second lien loans
and unsecured loans. The portfolio is approximately 82% ramped as
of the closing date.
Canyon CLO Advisors LLC will direct the selection, acquisition and
disposition of the assets on behalf of the Issuer and may engage in
trading activity, including discretionary trading, during the
transaction's five year reinvestment period. Thereafter, the
Manager may reinvest unscheduled principal payments and proceeds
from sales of credit risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2845
Weighted Average Spread (WAS): 3.10%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 9.0 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Here is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2845 to 3272)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: -1
Percentage Change in WARF -- increase of 30% (from 2845 to 3699)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -4
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
CARLYLE GLOBAL 2014-4-R: S&P Gives (P)B- Rating on $9.8MM E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Carlyle
Global Market Strategies CLO 2014-4-R Ltd.'s $497.80 million
floating-rate 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 June 7,
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
Carlyle Global Market Strategies CLO 2014-4-R Ltd.
Class Rating Amount
(mil. $)
X AAA (sf) 4.00
A-1A AAA (sf) 328.00
A-1B NR 28.50
A-2 AA (sf) 68.00
B (deferrable) A (sf) 34.50
C (deferrable) BBB- (sf) 33.00
D (deferrable) BB- (sf) 20.50
E (deferrable) B- (sf) 9.80
Subordinated notes NR 50.584
NR--Not rated.
CASTLELAKE AIRCRAFT 2018-1: Fitch Rates $65.5MM Class C Notes BB
----------------------------------------------------------------
Fitch Ratings assigns the following ratings and Outlooks to the
notes issued by Castlelake Aircraft Structured Trust 2018-1 (CLAS
2018-1):
-- $731,200,000 class A asset-backed notes 'Asf'; Outlook
Stable;
-- $114,600,000 class B asset-backed notes 'BBBsf'; Outlook
Stable;
-- $65,500,000 class C asset-backed notes 'BBsf'; Outlook
Stable.
CLAS 2018-1 used the note proceeds to acquire the aircraft-owning
entity (AOE) series A, B and C notes issued by CLSec Holdings 16S
DAC and CLSec Holdings 17S LLC (collectively, the AOE issuers).
Each AOE issuer used the note proceeds to acquire 36 midlife
aircraft from funds affiliated with and managed by Castlelake, L.P
(Castlelake).
The pool is serviced by Castlelake, with the notes secured by each
aircraft's future lease and residual cash flows. This is the first
Fitch-rated aircraft ABS serviced by Castlelake (NR). Castlelake
has sponsored and serviced four prior aircraft ABS since 2014.
Funds managed by Castlelake, the sellers of the aircraft to CLAS
2018-1, are initially retaining the class C notes and provide
equity to the transaction, consistent with similar investments made
by the funds in prior CLAS transactions. Therefore, Castlelake has
a vested interest in performance outside of merely collecting
servicing fees. Fitch views this positively since Castlelake has a
significant interest in servicing the transaction adequately and
generating positive cash flows through management of the assets
over the life of the transaction.
As of the closing date, Castlelake funds own 15 of the pool's 36
aircraft, with the remaining 21 owned and/or managed by six other
lessors/airlines. The 21 aircraft are subject to executed purchase
agreements or letters of intent (LOIs) for sale to Castlelake
funds. Castlelake funds will acquire these remaining assets and
transfer to the AOE issuers and their subsidiaries during the
contribution period. Fitch views this negatively, since the pool is
exposed to counterparty risks, particularly if any agreements or
LOIs are not finalized during the contribution period.
The contribution period will end 360 days from closing, longer than
periods in most prior aircraft ABS that have typically lasted 270
days. Fitch views this negatively, since initial cash flows may be
lower in the first year if certain aircraft are not novated in a
timely fashion. Additionally, the longer the contribution period
is, the longer the pool will be exposed to risks associated with a
bankruptcy of Castlelake and the counterparties that own aircraft
in the proposed pool. However, if any aircraft or replacements are
not transferred, the applicable debt amount will be prepaid to
noteholders from the acquisition account, offsetting this risk.
The senior amortization schedule is among the slowest observed for
recent transactions, with a 14-year straight-line schedule for the
first three years. Most recent transactions have had 12- or 11-year
schedules in the first couple of years. Additionally, there are no
partial cash sweeps available to noteholders, a feature that has
benefitted performance in many recent aircraft ABS. However, the
weighted average (WA) age of the pool is younger than most recent
transactions, and thus the pool's remaining useful life is longer.
Additionally, the stronger lessee credit quality and lease rate
factors (LRFs) partially offset risks associated with the slower
amortization schedule.
KEY RATING DRIVERS
Strong Assets, Concentrated Maturities: The pool is largely liquid,
midlife A320s and B737s with a WA age of 9.7 years. Four A330s and
one B777-300ER, widebodies prone to higher transition costs,
comprise 22.6% of the pool. No aircraft will reach lease maturity
until 2020, at which time 13 aircraft comprising 38.8% of the pool
will come to lease expiry, a factor Fitch considers negative.
Weak Lessee Credits: Most of the pool's 18 lessees are either
unrated or speculative-grade credits typical of aircraft ABS.
However, Fitch does rate five lessees, including Alaska Airlines
(BBB-), Air Canada (BB-) and Southwest (BBB+), a factor Fitch
considers positive. 'B' or 'CCC' IDRs were assumed for unrated
lessees and stressed downward in recessions.
Technological Risk Increasing: A320ceo and B737 NG aircraft face
replacement from the A320neo and B737 MAX in the next decade.
Widebody replacement technology is also on the way from both Airbus
and Boeing. Fitch expects replacement and competing technology to
pressure values over the next decade. However, the long lead time
for replacement should insulate the pool from these risks.
Adequate Structural Support: The amortization schedules and
triggers are consistent with recent midlife aircraft ABS, although
the senior note's schedules are slightly slower and there are no
partial cash sweeps, factors Fitch considers negative. All series
pay in full prior to their legal final maturity dates when applying
cash flows commensurate with the ratings.
Experienced Midlife Aircraft Servicer: CLAS 2018-1 will largely
depend on Castlelake's experience to ensure stable performance.
Fitch considers Castlelake a strong servicer of midlife to
end-of-life aircraft, evidenced by their prior ABS performance,
with all CLAS transactions performing within expectations.
RATING SENSITIVITIES
Due to the correlation between global economic conditions and the
airline industry, the ratings may be affected by global
macro-economic or geopolitical factors over the remaining term of
the transaction. Therefore, Fitch evaluated various sensitivity
scenarios, which could affect future cash flows from the pool and
recommended ratings for the notes.
Increased competition, largely from newly established Asia-Pacific
(APAC) lessors, has contributed to declining lease rates in the
aircraft leasing market. Additionally, certain variants have been
more prone to value declines and lease rates due to oversupply
issues. Fitch performed a sensitivity analysis assuming 15% and 25%
decreases to Fitch's lease rate factor (LRF) curve for narrow and
widebody aircraft, respectively, to observe the effect of declining
lease rates on the pool. Lease rates in this scenario are well
below market rates.
Cash flow generated in this scenario declined from the primary
scenario by 9%-10%. All three series fail the 'Asf', but class A
passes the 'BBBsf' scenario. Each series of notes would likely
receive a downgrade of two to three notches. Class C does not pass
the 'Bsf' scenario and would likely fall to 'CCCsf' or lower.
All aircraft in the pool face replacement programs over the next
decade, particularly the A320ceo and B737 NG aircraft in the form
of A320neo and B737 MAX aircraft, which have already started
delivering. Airbus plans to deliver the A330neo later this year,
which if received well, could affect the existing A330 fleet.
Certain appraisers have started to adjust market values in response
to this replacement risk; the majority of the pool's market value
appraisals are slightly lower than half-life base values. Fitch
believes current generation aircraft are well insulated due to
large operator bases and the long lead time for full replacement,
particularly when considering conservative retirement ages and
aggressive production schedules for new Airbus and Boeing
technology.
However, Fitch believes a sensitivity scenario is warranted to
address these risks. Therefore, Fitch utilized a scenario in which
the LMM of market values from each appraiser was utilized to
determine each aircraft's value. Fitch additionally utilized a 25%
residual assumption rather than the base level of 50% to stress
end-of-life proceeds for each asset in the pool. Lease rates drop
fairly significantly under this scenario, and aircraft are
essentially sold for scrap at the end of their useful lives.
This scenario is the most stressful compared with the other
scenarios, as 'Asf' cash flow drops to $980 million, compared with
$1.11 billion in the primary scenario. The class A notes barely
fail the 'BBBsf' scenario, while the class B notes only pass the
'Bsf' scenario. The class C notes would likely fall below 'Bsf', to
'CCCsf' or 'CCsf', due to the severe drop in cash flows.
Although a relevant scenario to consider, Fitch believes the
stresses are very conservative, particularly when considering
observed market values for current generation A320s and B737s.
Fitch does not expect a significant effect from the neo or MAX
variants until well into the next decade or 2026.
The pool has two aircraft on lease to Alitalia, the Italian flag
carrier currently in administration. The airline is maintaining
lease payments on time, and there have been no payment interruption
issues. However, if the airline shuts down and ceases operations,
the repossession scenario could be longer than what is typically
observed due to the complexity of Italian bankruptcy laws.
Additionally, although the airline is in stable financial
condition, Fitch assumed an immediate bankruptcy of Qatar Airways,
due to the effects of the Saudi-led block. In both scenarios, Fitch
assumed 10 additional months of downtime due to jurisdictional
issues following immediate default.
Although cash flows drop slightly in these runs due to the extended
downtime related to the assumed bankruptcies, there was no impact
on the ratings. Fitch also views this scenario as unlikely, since
it would assume an immediate bankruptcy of both airlines even
though both are current on their respective leases, per Castlelake.
CBAM LTD 2018-6: Moody's Gives Ba3 Rating on $40MM Class E Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by CBAM 2018-6, Ltd.
Moody's rating action is as follows:
US$650,000,000 Class A Floating Rate Notes due 2031 (the "Class A
Notes"), Assigned Aaa (sf)
US$92,000,000 Class B-1 Floating Rate Notes due 2031 (the "Class
B-1 Notes"), Assigned Aa2 (sf)
US$18,000,000 Class B-2 Floating Rate Notes due 2031 (the "Class
B-2 Notes"), Assigned Aa2 (sf)
US$60,000,000 Class C Deferrable Floating Rate Notes due 2031 (the
"Class C Notes"), Assigned A2 (sf)
US$60,000,000 Class D Deferrable Floating Rate Notes due 2031 (the
"Class D Notes"), Assigned Baa3 (sf)
US$40,000,000 Class E Deferrable Floating Rate Notes due 2031 (the
"Class E Notes"), Assigned Ba3 (sf)
The Class A Notes, the Class B-1 Notes, the Class B-2 Notes, the
Class C Notes, the Class D Notes and the Class E Notes are referred
to herein, collectively, as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
CBAM 2018-6 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90.0% of the portfolio must consist of
first lien senior secured loans, and up to 10.0% of the portfolio
may consist of second lien loans or senior unsecured loans. The
portfolio is 100% ramped as of the closing date.
CBAM CLO Management LLC will direct the selection, acquisition and
disposition of the assets on behalf of the Issuer and may engage in
trading activity, including discretionary trading, during the
transaction's two year reinvestment period. Thereafter, the Manager
may reinvest unscheduled principal payments and proceeds from sales
of credit risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $1,000,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2808
Weighted Average Spread (WAS): 3.325%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 7.1 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
CITIGROUP 2006-C5: Moody's Affirms C Rating on 4 Tranches
---------------------------------------------------------
Moody's Investors Service has affirmed the ratings on five classes
in Citigroup Commercial Mortgage Trust 2006-C5 as follows:
Cl. A-J, Affirmed Caa1 (sf); previously on Jun 15, 2017 Downgraded
to Caa1 (sf)
Cl. B, Affirmed C (sf); previously on Jun 15, 2017 Downgraded to C
(sf)
Cl. C, Affirmed C (sf); previously on Jun 15, 2017 Affirmed C (sf)
Cl. D, Affirmed C (sf); previously on Jun 15, 2017 Affirmed C (sf)
Cl. XC, Affirmed C (sf); previously on Jun 15, 2017 Affirmed C
(sf)
RATINGS RATIONALE
The ratings on the four P&I classes were affirmed because the
ratings are consistent with Moody's expected loss plus realized
losses. Cl. D has already experienced a 64% realized loss as result
of previously liquidated loans.
The rating on the IO class, Cl. XC, was affirmed based on the
credit quality of the referenced classes.
Moody's rating action reflects a base expected loss of 58.4% of the
current pooled balance, compared to 52.7% at Moody's last review.
Moody's base expected loss plus realized losses is now 12.9% of the
original pooled balance, compared to 13.5% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating Citigroup Commercial
Mortgage Trust 2006-C5, Cl. A-J, Cl. B, Cl. C, and Cl. D was
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in July 2017. The methodologies used in
rating Citigroup Commercial Mortgage Trust 2006-C5, Cl.XC were
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in July 2017 and "Moody's Approach to
Rating Structured Finance Interest-Only (IO) Securities" published
in June 2017.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 95% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then applies the aggregate loss
from specially serviced loans to the most junior class(es) and the
recovery as a pay down of principal to the most senior class(es).
DEAL PERFORMANCE
As of the May 17, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 92% to $164 million
from $2.12 billion at securitization. The certificates are
collateralized by eight mortgage loans.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 3, the same as at Moody's last review.
Fifty-six loans have been liquidated from the pool, resulting in an
aggregate realized loss of $179 million (for an average loss
severity of 46%). Five loans, constituting 95% of the pool, are
currently in special servicing. The largest specially serviced loan
is the IRET Portfolio ($91.1 million -- 55.6% of the pool), which
was originally secured by a portfolio of nine cross-collateralized
and cross-defaulted suburban office properties located in Nebraska,
Minnesota, Missouri and Kansas. The loan transferred to special
servicing in July 2014 due to the Borrower stating they would not
be able to pay off the loan at maturity. After the properties
became REO in January 2016, five properties were sold in 2017. The
proceeds from the transactions in 2017 have been applied to pay
down the loan.
The second largest specially serviced loan is the Tri City Plaza
loan ($40.0 million -- 24.4% of the pool), which is secured by a
295,367 square feet(SF) shopping center located in Vernon,
Connecticut approximately 14 miles northeast of Hartford. The loan
transferred to special servicing in September 2016 for imminent
maturity default. The reported occupancy was 90% as of Febraury
2018, and major tenants include Price Chopper (33.5% NRA), Hartford
Healthcare Corporation (10.5% NRA) and TJ Maxx (9.5% NRA).
The third largest specially serviced loan is the Maple Grove
Shopping Center loan ($10.9 million -- 6.7% of the pool), which is
secured by a 78,128 SF retail property with two buildings located
seven miles southwest of Madison CBD. The loan was transferred to
the special servicer in July 2016 for imminent default, and became
REO in September 2017.
The remaining two specially serviced loans are secured by one
office and one retail property. Moody's estimates an aggregate
$95.6 million loss for the specially serviced loans (61% expected
loss on average).
The three performing loans represent 4.9% of the pool balance. The
largest performing loan is Laurel Point Senior Apartments Loan
($4.40 million -- 2.7% of the pool), which is secured by a by a
148-unit seniors only, garden style multifamily property located 20
miles west of Houston, Texas and 9 miles north of Sugar Land. The
property was 99% occupied as of March 2017, unchanged from December
2016. The loan has amortized approximately 15% since securitization
and is scheduled to mature in August 2021. Moody's LTV and stressed
DSCR are 73.1% and 1.33X, respectively, compared to 71.4% and 1.36X
at the last review.
The second largest performing loan is the Killeen Stone Ranch
Apartments Loan ($2.84 million -- 1.7% of the pool), which is
secured by a 152-unit garden style multifamily apartment property
located in Killeen, Texas approximately 3 south of Fort Hood
military base. The property was 95% occupied as of March 2018,
unchanged from March 2017.The loan has amortized approximately 15%
since securitization and is scheduled to mature in September 2021.
Moody's LTV and stressed DSCR are 50.8% and 1.91X, respectively,
compared to 62.5% and 1.56X at the last review.
The third largest loan is the Thornton Hall Apartments Loan
($800,098 -- 0.5% of the pool), which is secured 40-unit
multifamily apartment property located in Georgetown, South
Carolina, approximately 37 miles south of Myrtle Beach. The
property was 95% occupied as of December 2017, compared to 100%
occupied as of December 2016. The loan has amortized 16% since
securitzation and is scheduled to mature in October 2021. Moody's
LTV and stressed DSCR are 71.2% and 1.35X, respectively, compared
to 78.4% and 1.23X at the last review.
CITIGROUP 2015-GC33: Fitch Affirms B- Rating on Class F Certs
-------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Citigroup Commercial
Mortgage Trust (CGCMT) 2015-GC33 commercial mortgage pass-through
certificates.
KEY RATING DRIVERS
Stable Loss Expectations: The affirmations reflect the continued
stable performance of the majority of the pool.
There are four Fitch Loans of Concern (FLOCs, 13% of the pool),
including the second largest loan in the pool, the Hammons Hotel
Portfolio (10.2%), which is in special servicing.
Fitch Loans of Concern: The Hammons Hotel Portfolio loan
transferred to special servicing in August 2016 due to the borrower
and parent company filing for Chapter 11 bankruptcy. The filing was
made in connection with litigation, which was ongoing at issuance,
related to a complex deal made in 2005 to reprivatize Hammons
Hotels. Per a recent update form the servicer, the court's
confirmation order was entered May 2018 for JD Holding's
reorganization plan. Further, the court ruled to approve a full pay
of claims plan.
The portfolio continues to perform. Per servicer reporting, the YE
2017 net operating income (NOI) debt service coverage ratio (DSCR)
was 2.22x compared to YE 2016 at 2.25x, and YE 2015 at 2.14x.
Further, per the TTM March 2018 STR reporting, the weighted average
RevPAR Penetration for the collateral properties was 119.4%.
The other three FLOCS include a loan (1.4%) secured by a portfolio
of two Texas limited service hotels, one of which suffered damage
from Hurricane Harvey that is undergoing repairs while still open
for business; a loan (0.8%) secured by a shopping center in
Riverside, CA which lost its largest tenant, but reportedly lease
negotiations are ongoing with a potential replacement; and a loan
(0.6%) secured by a grocery anchored retail center in Lexington,
SC. While the grocer's parent company has filed for bankruptcy
protection, there has been no indication at this time that this
store location will be closing. Fitch will continue to monitor
these loans.
Minimal Credit Enhancement Improvement/Limited Amortization: As of
the May 2018 distribution date, the pool's aggregate principal
balance has paid down by only 1.4% since issuance. The pool is
scheduled to amortize by 11.4% of the initial pool balance prior to
maturity. No loans have paid off to date. Only 1.6% of the pool is
scheduled to mature prior to 2025. Five loans (13.6%), including
two of the top five loans in the pool, are full-term interest only
while an additional 38 loans (58.8%) were partial interest only, at
issuance. Fifteen partial IO loans (14.4%) have now begun to
amortize with an additional 10 loans (12%) expected to begin
amortizing in the next few months.
Above-Average Pool Concentration: The largest 10 loans account for
54.7% of the pool by balance, which is greater than the average for
Fitch rated transactions of similar vintage.
Diverse Property Types: The pool has a diverse mix of property
types, with office as the largest at 26.9%, followed by retail at
22.9%, hotel at 22.4%, and multifamily at 12.9%. Three of the top
10 loans (23.8%) are office properties. Overall, the office
properties have a diverse mix of geographic locations, including
both CBD and suburban markets.
RATING SENSITIVITIES
Rating Outlooks for all classes remain Stable due to the overall
stable performance of the majority of the pool. Upgrades may occur
with improved pool performance and additional paydown or
defeasance. Downgrades to the classes are possible should overall
pool performance decline significantly.
Deutsche Bank is the trustee for the transaction and also serves as
the backup advancing agent. Fitch downgraded Deutsche Bank's Issuer
Default Rating to 'BBB+'/'F2' from 'A-'/'F1' on Sept. 28, 2017.
Fitch relies on the master servicer, Wells Fargo & Company (A+/F1),
which is currently the primary advancing agent, as a direct
counterparty. Fitch provided ratings confirmation on Jan. 24,
2018.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
-- $18.6 million class A-1 at 'AAAsf'; Outlook Stable;
-- $15.2 million class A-2 at 'AAAsf'; Outlook Stable;
-- $220 million class A-3 at 'AAAsf'; Outlook Stable;
-- $331.5 million class A-4 at 'AAAsf'; Outlook Stable;
-- $72.5 million class A-AB at 'AAAsf'; Outlook Stable;
-- $47.9 million** class A-S at 'AAAsf'; Outlook Stable;
-- $62.3 million** class B at 'AA-sf'; Outlook Stable;
-- $152.2 million** class PEZ at 'A-sf'; Outlook Stable;
-- $41.9 million** class C at 'A-sf'; Outlook Stable;
-- $56.3 million class D at 'BBB-sf'; Outlook Stable;
-- $24 million class E 'BB-sf'; Outlook Stable;
-- $9.6 million class F at 'B-sf'; Outlook Stable;
-- $705.2 million* class X-A at 'AAAsf'; Outlook Stable;
-- $56.3 million* class X-D at 'BBB-sf'; Outlook Stable.
* Notional amount and interest only.
** The class A-S, class B and class C certificates may be
exchanged for class PEZ certificates, and class PEZ certificates
may be exchanged for the class A-S, class B and class C
certificates.
Fitch does not rate the class G or H certificates. The rating on
class X-B was previously withdrawn.
CITIGROUP COMMERCIAL 2014-GC23: Fitch Affirms B- Rating on F Certs
------------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Citigroup Commercial
Mortgage Trust, commercial mortgage pass-through certificates,
series 2014-GC23.
KEY RATING DRIVERS
Stable Performance: The affirmations reflect the overall stable
performance of the majority of the pool since issuance. As of the
May 2018 remittance report, the pool has paid down by 5.7% to $1.16
billion from $1.23 billion at issuance. One loan, which was
previously specially serviced and accounted for approximately 0.2%
of the pool, has paid in full. Two loans (1.1% of the remaining
pool) have been defeased. There have been no realized losses to
date.
Fitch Loans of Concern: Fitch has designated six Loans of
Concern(13.5%), which include the third (7.5%) and eighth (3%)
largest loans in the pool, three performing loans outside the top
15 (2%), and one specially serviced loan (1%). The largest is the
Hyatt NYC Portfolio (7.5%) a two-property hotel portfolio located
in New York City. The portfolio reported an 11.8% decline in net
operating income (NOI) between YE 2016 and YE 2017 due to a decline
in revenue of 3.5% at the Hyatt Place Midtown South and 7.1% at the
Hyatt Herald Square. The second largest is the Wells Fargo Center
(3%) a 715,000 sf office building and parking garage located in
Jacksonville, FL. While the YE 2017 NOI is 7% higher than the YE
2016 NOI, it is still 18.4% lower than Fitch's expectations at
issuance.
The four other Fitch Loans of Concern include a shopping center in
Modesto, CA (1.2%) that lost its largest tenant due to bankruptcy;
a delinquent and specially serviced multifamily portfolio in
Houston, TX (1%); a hotel in southern Louisiana (0.4%) with
declining performance due to energy sector exposure; and an
apartment complex in Houston (0.4%) impacted by a fire that took 24
units off line.
Specially Serviced Loan: The Houston Multifamily Portfolio (1.03%)
is a two-property, 383-unit multifamily portfolio located in
Houston, TX. The property transferred to special servicing in
August 2017 for imminent default. Third quarter 2017 occupancy was
56.7% compared to 69% at YE 2016, 83% in 2015, and 96% at issuance.
DSCR was 0.09x as of 3Q 2017 compared to 0.93% at YE 2016, 1.09x in
2015, and 1.37x at issuance.
Pool Concentration: The top three loans represent 27.9% of the
current pool balance; the top 10 loans represent 56.3%; and the top
15 loans represent 67.1%. Loans collateralized by retail properties
account for 33.5% of the pool, multifamily accounts for 17.6%, and
hotels account for 17.4%. Regional mall exposure is limited to the
fourth largest loan in the pool, Chula Vista Center (5.9% of the
pool) an open-air regional mall that has two direct competitors in
the market; Fitch has not received recent tenant sales information.
Below-Average Loan Amortization: The pool is scheduled to amortize
by 11% of the initial pool balance prior to maturity. At issuance,
Fitch noted below-average pool amortization due to an above-average
concentration of interest-only and partial term interest-only
loans. Three loans (25.9%) are full-term interest-only loans and 32
loans (45.5%) have an interest-only period before beginning to
amortize. Twenty-one loans (28.7%) have already begun paying both
principal and interest. Four loans (8.7%) will begin to amortize in
2018 and the remaining seven (8.7%) will begin to amortize in
2019.
RATING SENSITIVITIES
The Negative Rating Outlook on class F reflects the six Fitch Loans
of Concern listed above, primarily the continued decline in
performance of the Hyatt NYC Portfolio and the specially serviced
Houston Multifamily Portfolio. While not a Fitch Loan of Concern, a
performance decline to the Chula Vista Center may result in
downgrades. If Chula Vista Center were stressed with a 20% loss
severity class E would be subject to a downgrade. Rating Outlooks
for classes A-2 through E remain Stable due to overall stable
performance of the pool and continued amortization. Upgrades may
occur with improved pool performance and additional paydown or
defeasance.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third party due diligence was provided to or reviewed by Fitch
in relation to this rating action.
Fitch affirms the following classes and revises Outlooks as
indicated:
- $65.4 million class A-2 at 'AAAsf'; Outlook Stable;
- $300 million class A-3 at 'AAAsf'; Outlook Stable;
- $345.2 million class A-4 at 'AAAsf'; Outlook Stable;
- $81.8 million class A-AB at 'AAAsf'; Outlook Stable;
- $95.5 million class A-S at 'AAAsf'; Outlook Stable;
- $887.9 million* class X-A at 'AAAsf'; Outlook Stable;
- $80.1 million class B at 'AAsf'; Outlook Stable;
- $49.3 million class C at 'A-sf'; Outlook Stable;
- $129.4 million* class X-B at 'A-sf'; Outlook Stable;
- $224.9 million class PEZ at 'A-sf'; Outlook Stable;
- $64.7 million class D at 'BBB-sf'; Outlook Stable;
- $24.6 million class E at 'BB-sf'; Outlook Stable;
- $24.6 million* class X-C at 'BB-sf'; Outlook Stable;
- $9.2 million class F at 'B-sf'; Outlook to Negative from
Stable.
* Notional and interest-only.
The class A-1 certificates have paid in full. Fitch does not rate
the class G or X-D certificates. The class A-S, class B and class C
certificates may be exchanged for class PEZ certificates, and class
PEZ certificates may be exchanged for the class A-S, class B and
class C certificates.
CITIGROUP COMMERCIAL 2015-P1: Fitch Affirms B- Rating on F Certs
----------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of Citigroup Commercial
Mortgage Trust (CGCMT) 2015-P1 Commercial Mortgage Pass-Through
Certificates.
KEY RATING DRIVERS
Stable Loss Projections: Overall pool performance remains stable
and generally in line with expectations at issuance, with minimal
paydown or changes to credit enhancement. As of the May 2018
distribution date, the pool's aggregate principal balance paid down
by 1.6% to $1.078 billion from $1.096 billion at issuance. There
have been no specially serviced loans since issuance.
Fitch Loans of Concern: Fitch has designated two loans (9.7% of
pool) as Fitch Loans of Concern (FLOCs), including the second
largest loan, Eden Roc (8.8%), which is secured by a full-service
hotel in Miami Beach, FL. The loan experienced a decline in debt
service coverage ratio (DSCR) resulting from the disruption of
property cash flow caused by a significant renovation project. At
issuance, the renovations were scheduled to start in August 2015
and conclude in March 2016; however, the timeline of the project
was delayed when the scope was increased to also include the
complete renovation of unit bathrooms (including some layout
changes) rather than just FF&E upgrades, which was not part of the
original plan. Additional planning and purchasing increased lead
time and pushed the start date to October 2015, and the timeline
was further impacted by the need to take rooms located above and
below those undergoing renovations offline. As a result of the
ongoing renovations, revenue as contemplated at issuance has
dropped significantly, and the loan has been on the master
servicer's watchlist since November 2017 due to DSCR declines. The
servicer has indicated that all room renovations are now complete.
The property was also impacted by Hurricane Irma in September 2017,
and the borrower has yet to receive payment from the insurance
company for the claim. According to the servicer, all damaged rooms
are now back online.
The other FLOC, Best Plaza (0.9%), is secured by a retail center
located in Torrance, CA that is anchored by Babies "R" Us, which is
expected to vacate by June 2018 following the Toys "R" Us
bankruptcy filing and liquidation plans. Babies "R" Us occupied
38.7% of the property's net rentable area (NRA) and accounted for
approximately 29% of total base rent as of the December 2017 rent
roll. The center also has exposure to David's Bridal (10.2% NRA;
13.1% of total base rent), which may join the growing list of
retailers to struggle under the looming wave of its maturing debt,
based on third party news reports. David's Bridal has recently
appointed a new CEO and hired restructuring advisers and legal
counsel to address its maturing debt load.
Pool and Loan Concentrations: The top 10 loans comprise 61% of the
pool, which is above the 2015 average of 49.3%. Loans secured by
retail properties represent 24.1% of the pool by balance, including
three of the top 15 loans (14.2%). The 16th largest loan in the
pool is secured by Alderwood Mall (2.1%), a regional mall in
Lynnwood, WA, which has exposure to Macy's and JC Penney as
non-collateral tenants. The non-collateral Sears anchor at
Alderwood Mall closed in March 2017, but according to local media
reports, the space is being redeveloped into additional retail,
restaurant and entertainment space. Hotel properties represent
21.3% of the pool, which includes three of the top 15 loans
(18.3%).
Pool Amortization: The pool is scheduled to amortize by 10.7% of
the initial pool balance prior to maturity. Five loans (19.9%) are
full-term interest-only, and an additional 15 loans (46.9%) still
have a partial interest-only component during their remaining loan
term, compared to 47.4% of the original pool at issuance.
RATING SENSITIVITIES
Rating Outlooks for all classes remain Stable due to overall stable
pool performance and expected continued paydown. Future upgrades
may occur with improved pool performance and additional paydown or
defeasance. Downgrades, although not likely in the near term, may
be possible should overall performance decline significantly.
Deutsche Bank is the trustee for the transaction and also serves as
the backup advancing agent. Fitch downgraded Deutsche Bank's Issuer
Default Rating to 'BBB+'/'F2' from 'A-'/'F1' on September 28, 2017.
Fitch relies on the master servicer, Wells Fargo & Company (A+/F1),
which is currently the primary advancing agent, as a direct
counterparty. Fitch provided ratings confirmation on Jan. 24,
2018.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
- $17.6 million class A-1 at 'AAAsf'; Outlook Stable;
- $55.3 million class A-2 at 'AAAsf'; Outlook Stable;
- $2.2 million class A-3 at 'AAAsf'; Outlook Stable;
- $200 million class A-4 at 'AAAsf'; Outlook Stable;
- $398.9 million class A-5 at 'AAAsf'; Outlook Stable;
- $75.6 million class A-AB at AAAsf'; Outlook Stable;
- $820.8 million X-A* at 'AAAsf'; Outlook Stable;
- $58.9 million class X-B* at 'AA-sf'; Outlook Stable;
- $71.2 million class A-S** at 'AAAsf'; Outlook Stable;
- $58.9 million class B** at 'AA-sf'; Outlook Stable;
- $0 class PEZ** at 'A-sf'; Outlook Stable;
- $52 million class C** at 'A-sf'; Outlook Stable;
- $56.2 million class D at 'BBB-sf'; Outlook Stable;
- $56.2 million class X-D* at 'BBB-sf'; Outlook Stable;
- $23.3 million class E at 'BBsf'; Outlook Stable;
- $11 million class F at 'Bsf'; Outlook Stable.
* Notional amount and interest-only.
** Class A-S, B and C certificates may be exchanged for class PEZ
certificates, and class PEZ certificates may be exchanged for class
A-S, B and C certificates. Fitch does not rate the class G
certificates.
COMM 2013-CCRE10: Moody's Affirms B3 Rating on Class F Certs
------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on fourteen
classes in COMM 2013-CCRE10 Mortgage Trust, Commercial Mortgage
Pass-Through Certificates Series 2013-CCRE10 as follows:
Cl. A-2, Affirmed Aaa (sf); previously on Jun 16, 2017 Affirmed Aaa
(sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Jun 16, 2017 Affirmed
Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Jun 16, 2017 Affirmed Aaa
(sf)
Cl. A-3FL*, Affirmed Aaa (sf); previously on Jun 16, 2017 Affirmed
Aaa (sf)
Cl. A-3FX*, Affirmed Aaa (sf); previously on Jun 16, 2017 Affirmed
Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Jun 16, 2017 Affirmed Aaa
(sf)
Cl. A-M, Affirmed Aaa (sf); previously on Jun 16, 2017 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa3 (sf); previously on Jun 16, 2017 Affirmed Aa3
(sf)
Cl. C, Affirmed A3 (sf); previously on Jun 16, 2017 Affirmed A3
(sf)
Cl. D, Affirmed Baa3 (sf); previously on Jun 16, 2017 Affirmed Baa3
(sf)
Cl. E, Affirmed Ba3 (sf); previously on Jun 16, 2017 Downgraded to
Ba3 (sf)
Cl. F, Affirmed B3 (sf); previously on Jun 16, 2017 Downgraded to
B3 (sf)
Cl. PEZ, Affirmed A1 (sf); previously on Jun 16, 2017 Affirmed A1
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on Jun 16, 2017 Affirmed Aaa
(sf)
* The aggregate principal balance of the Class A-3FL and Class
A-3FX Certificates equals to the balance of the grantor trust,
A-3FX Regular Interest. All or a portion of the Class A-3FL
Certificates may be exchanged for a like portion of the Class A-3FX
Certificates.
RATINGS RATIONALE
The ratings on 12 P&I Classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The rating on the exchangeable class, Cl. PEZ class, was affirmed
due to the weighted average rating factor (WARF) of the
exchangeable classes.
The ratings on IO Class, Cl. X-A, was affirmed based on the credit
performance of its referenced classes.
Moody's rating action reflects a base expected loss of 3.6% of the
current balance. Moody's base expected loss plus realized losses is
now 3.6% of the original pooled balance.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating COMM 2013-CCRE10 Mortgage
Trust, Cl. A-2, Cl. A-SB, Cl. A-3, Cl. A-3FL, Cl. A-3FX, Cl. A-4,
Cl. A-M, Cl. B, Cl. C, Cl. D, Cl. E & Cl. F was "Approach to Rating
US and Canadian Conduit/Fusion CMBS" published in July 2017. The
principal methodology used in rating COMM 2013-CCRE10 Mortgage
Trust, Cl. PEZ was "Moody's Approach to Rating Repackaged
Securities" published in June 2015. The methodologies used in
rating COMM 2013-CCRE10 Mortgage Trust, Cl. X-A were "Approach to
Rating US and Canadian Conduit/Fusion CMBS" published in July 2017
and "Moody's Approach to Rating Structured Finance Interest-Only
(IO) Securities" published in June 2017.
DEAL PERFORMANCE
As of the June 12, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 11.6% to $893.5
million from $1.01 billion at securitization. The certificates are
collateralized by 54 mortgage loans ranging in size from less than
1% to 11.2% of the pool, with the top ten loans (excluding
defeasance) constituting 50.0% of the pool. One loan, constituting
11.2% of the pool, has an investment-grade structured credit
assessment. Five loans, constituting 10.0% of the pool, have
defeased and are secured by US government securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 23, compared to 27 at Moody's last review.
Thirteen loans, constituting 27.2% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
One loan, the Strata Estate Suites Loan ($17.1 million -- 1.9% of
the pool), is currently in special servicing. The loan is secured
by by two multifamily properties located in North Dakota, one in
Williston, ND and one in Watford, ND. The two properties, which
total 134-units were transferred to the special servicer in
February 2014 for payment default. Prior to the special servicer
taking over the asset, the prior sponsor was operating the assets
as extended stay hotels. The portfolio was 83% occupied as of
December 2017 compared to 70% leased in March 2017.
Moody's received full year 2016 operating results for 88% of the
pool, and full or partial year 2017 operating results for 90% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 95.8%, compared to 96.1% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 14.6% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.7%.
Moody's actual and stressed conduit DSCRs are 1.52X and 1.13X,
respectively, compared to 1.56X and 1.13X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The loan with a structured credit assessment is the One Wilshire
Loan ($100.0 million -- 11.2% of the pool), which represents a pari
passu portion of a $180.0 million first mortgage loan. The loan is
secured by a 663,000 square-foot (SF) Class A office building and
colocation center in Los Angeles, California. The building operated
as a traditional office building until 1992, when the building was
converted to a telecommunications building through installation of
infrastructure necessary to attract telecommunication companies.
The building is recognized as the primary communications hub
connecting North America and Asia, the most significant point of
interconnection in the western United States, and of one the top
three network interconnections points in the world. The property
was 86% leased as of December 2017, compared to 88% in December
2016 and 92% at securitization. Moody's structured credit
assessment and stressed DSCR are a1 (sca.pd) and 1.59X,
respectively.
The top three conduit loans represent 16.3% of the pool balance.
The largest loan is the RHP Portfolio IV Loan ($52.6 million --
5.9% of the pool), which is secured by a portfolio of five
manufactured housing communities located across four states:
Florida (2), Kansas (1), New York (1), and Utah (1). The property
was acquired by the sponsor in 2013 as part of a 35 property
portfolio. The sponsor, RHP Properties, is one of the largest
operators of manufactured housing communities in the United States.
The portfolio was over 88% leased as of December 2017, compared to
85% in December 2016 and 83% at securitization. Moody's LTV and
stressed DSCR are 110.3% and 0.90X, respectively, compared to
112.3% and 0.88X at the last review.
The second largest loan is the RHP Portfolio V Loan ($51.1 million
-- 5.7% of the pool), which is secured by a portfolio of seven
manufactured housing communities located across four states:
Florida (2), Kansas (1), New York (1), and Utah (3). The property
was acquired by the sponsor in 2013 as part of a 35 property
portfolio. The sponsor is also RHP Properties. The portfolio was
78% occupied as of December 2017, compared to 75% in December 2016
and 79% at securitization. Moody's LTV and stressed DSCR are 108.0%
and 0.90X, respectively, compared to 110.0% and 0.89X at the last
review.
The third largest loan is the Brighton Town Square Loan ($41.9
million -- 4.7% of the pool), which is secured by a 328,000 SF
mixed-use power center located in Brighton, Michigan, approximately
20 miles north of Ann Arbor and 45 miles northwest of Detroit. The
property is comprised of a 236,000 SF retail component and 91,500
SF office component. Major tenants at the property include Home
Depot, MJR Theatre, and the University of Michigan, which operates
a medical office at the property. Other major tenants include
Staples, Party City, and KeyBank. The collateral is also
shadow-anchored by a Target. The property was over 98% leased as of
December 2017, compared to 95% in December 2016 and 93% at
securitization. Moody's LTV and stressed DSCR are 103.4% and 1.02X,
respectively, compared to 111.5% and 0.95X at the last review.
COMM 2013-CCRE8: Moody's Affirms B2 Rating on Class F Debt
----------------------------------------------------------
Moody's Investors Service has affirmed the ratings on fourteen
classes in COMM 2013-CCRE8 Mortgage Trust as follows:
Cl. A-2, Affirmed Aaa (sf); previously on Jun 16, 2017 Affirmed Aaa
(sf)
Cl. A-3, Affirmed Aaa (sf); previously on Jun 16, 2017 Affirmed Aaa
(sf)
Cl. A-4, Affirmed Aaa (sf); previously on Jun 16, 2017 Affirmed Aaa
(sf)
Cl. A-5, Affirmed Aaa (sf); previously on Jun 16, 2017 Affirmed Aaa
(sf)
Cl. A-M, Affirmed Aaa (sf); previously on Jun 16, 2017 Affirmed Aaa
(sf)
Cl. A-SBFL, Affirmed Aaa (sf); previously on Jun 16, 2017 Affirmed
Aaa (sf)
Cl. A-SBFX, Affirmed Aaa (sf); previously on Jun 16, 2017 Affirmed
Aaa (sf)
Cl. B, Affirmed Aa3 (sf); previously on Jun 16, 2017 Affirmed Aa3
(sf)
Cl. C, Affirmed A3 (sf); previously on Jun 16, 2017 Affirmed A3
(sf)
Cl. D, Affirmed Baa3 (sf); previously on Jun 16, 2017 Affirmed Baa3
(sf)
Cl. E, Affirmed Ba2 (sf); previously on Jun 16, 2017 Affirmed Ba2
(sf)
Cl. F, Affirmed B2 (sf); previously on Jun 16, 2017 Affirmed B2
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on Jun 16, 2017 Affirmed Aaa
(sf)
Cl. X-C, Affirmed B3 (sf); previously on Jun 16, 2017 Affirmed B3
(sf)
RATINGS RATIONALE
The ratings on the P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on the IO classes, Cl. X-A and Cl. X-C, were affirmed
based on the credit quality of the referenced classes.
Moody's rating action reflects a base expected loss of 3.0% of the
current balance, compared to 2.5% at Moody's last review. Moody's
base expected loss plus realized losses is now 2.6% of the original
pooled balance, compared to 2.4% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in rating COMM 2013-CCRE8 Mortgage Trust,
Cl. A-2, Cl. A-3, Cl. A-4, Cl. A-5, Cl. A-M, Cl. A-SBFL, Cl.
A-SBFX, Cl. B, Cl. C, Cl. D, Cl. E, Cl. F were "Approach to Rating
US and Canadian Conduit/Fusion CMBS" published in July 2017 and
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in July 2017. The methodologies used in
rating COMM 2013-CCRE8 Mortgage Trust, Cl. X-A and Cl. X-C were
"Approach to Rating US and Canadian Conduit/Fusion CMBS" published
in July 2017, "Moody's Approach to Rating Large Loan and Single
Asset/Single Borrower CMBS" published in July 2017, and "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the June 12, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 13% to $1.21 billion
from $1.38 billion at securitization. The certificates are
collateralized by 55 mortgage loans ranging in size from less than
1% to 17% of the pool, with the top ten loans (excluding
defeasance) constituting 57% of the pool. Two loans, constituting
22% of the pool, have investment-grade structured credit
assessments. Five loans, constituting 9% of the pool, have defeased
and are secured by US government securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 15, compared to 17 at Moody's last review.
Three loans, constituting 2% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
There have been no loans liquidated from the pool. Three loans,
constituting 2% of the pool, are currently in special servicing.
The largest specially serviced loan is the DoubleTree Pittsburgh
Airport Loan, ($9.6 million -- 0.8% of the pool), which is secured
by a 135-key full-service hotel located seven miles northeast of
Pittsburgh International Airport. The Loan transferred to special
servicing due to imminent default. The property has seen a decline
in convention bookings and is facing increased competition from new
supply in the market.
The remaining two specially serviced loans are secured by a
manufactured housing portfolio and another hotel property. Moody's
has assumed a high default probability for two poorly performing
loans, constituting 2% of the pool, and has estimated an aggregate
loss of $15.3 million (an 36% expected loss on average) from these
specially serviced and troubled loans.
Moody's received full year 2016 operating results for 96% of the
pool, and full year 2017 operating results for 93% of the pool
(excluding specially serviced and defeased loans). Moody's weighted
average conduit LTV is 101%, compared to 100% at Moody's last
review. Moody's conduit component excludes loans with structured
credit assessments, defeased and CTL loans, and specially serviced
and troubled loans. Moody's net cash flow (NCF) reflects a weighted
average haircut of 17% to the most recently available net operating
income (NOI). Moody's value reflects a weighted average
capitalization rate of 9.1%.
Moody's actual and stressed conduit DSCRs are 1.58X and 1.04X,
respectively, compared to 1.60X and 1.04X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The largest loan with a structured credit assessment is the 375
Park Avenue Loan ($209.0 million -- 17.3% of the pool), which
represents a participation interest in a $418 million senior
mortgage loan. The loan is secured by the Seagram Building, a class
A trophy, landmark office tower located in Midtown Manhattan. The
building has 38 stories with a net rentable area (NRA) of
approximately 830,928 square feet. The property was 97% leased as
of March 2018, compared to 95% leased as of December 2017 and 94%
as of December 2016. The loan is also encumbered by a $364.8
million B note and $217.3 million of mezzanine debt. Moody's
structured credit assessment and stressed DSCR are aaa (sca.pd) and
1.64X, respectively.
The second largest loan with a structured credit assessment is The
Paramount Building Loan ($55.0 million -- 4.5% of the pool), which
represents a participation interest in a $130 million senior
mortgage loan. The loan is secured by a 31-story, Class A office
property in the Times Square section of Midtown Manhattan. The
property was originally constructed in 1926 and received a major
overhaul in 2006. The property incudes ground floor retail space
leased to national retail and restaurant tenants. Occupancy has
fluctuated and property performance has declined since
securitization due to an increase in operating expenses. Moody's
structured credit assessment and stressed DSCR are aa2 (sca.pd) and
1.43X, respectively.
The top three conduit loans represent 19% of the pool balance. The
largest loan is the Moffett Towers Phase II Loan ($115.0 million --
9.5% of the pool), which is secured by three, eight-story, Class A
suburban office properties in Sunnyvale, California. The properties
were 100% occupied as of December 2017, the same as at last review
and compared to 91% at securitization. The two tenants occupying
the property are the Hewlett-Packard Company and a subsidiary of
Amazon.com, Inc. Moody's LTV and stressed DSCR are 107% and 0.94X,
respectively, unchanged from the prior review.
The second largest loan is the Westin San Diego Loan ($64.1 million
-- 5.3% of the pool). The loan is secured by a 27-story, 436-room,
full service hotel property in downtown San Diego, California. The
hotel property is part of a larger, mixed use development which
contains non-collateral components, including condominium
residences and offices. As of the March 2018 STR Report, the
property was penetrating the competitive set in occupancy, ADR, and
RevPAR at 104.9%, 100.6%, and 105.5%, respectively. The loan
benefits from amortization and Moody's LTV and stressed DSCR are
90% and, 1.23X, respectively, compared to 92% and 1.20X at the last
review.
The third largest loan is the RHP Portfolio I Loan ($51.9 million
-- 4.3% of the pool). The loan is secured by six manufactured
housing communities located in Florida, Kansas, New York and Utah.
The portfolio consists of 1,636 pads and all developments were
constructed between 1956 and 1979. The entire portfolio was
approximately 85% occupied as of December 2017. Occupancy levels
have remained consistent since securitization, generally averaging
above 82%. The loan benefits from amortization and Moody's LTV and
stressed DSCR are 111% and 0.86X, respectively, compared to 113%
and 0.85X at the last review.
COMM MORTGAGE 2015-CCRE26: Fitch Affirms BB- Rating on Cl. F Debt
-----------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of Deutsche Bank Securities,
Inc.'s COMM Mortgage Trust 2015-CCRE26 commercial mortgage
pass-through certificates.
KEY RATING DRIVERS
Overall Stable Performance and Loss Expectations; Minimal Change to
Credit Enhancement: Overall pool performance remains stable and
generally in line with expectations at issuance, with minimal
paydown or changes to credit enhancement. As of the May 2018
remittance, the pool's aggregate principal balance has been reduced
by 1.5% to $1.08 billion from $1.09 billion at issuance. Interest
shortfalls are currently impacting class H.
Fitch Loans of Concern: Nine loans (6.6%) are on the servicer's
watchlist due to upcoming rollover risk, failure to provided
updated financials or breaching the servicer's internal performance
triggers; four (2.2%) were flagged as Fitch Loans of Concern
(FLOCs). While not listed on the servicer's watchlist, Ashley Park
(6.3%) and Rosetree Corporate Center (4.2%) were flagged as FLOCs
due to upcoming tenant rollover risk. The eight largest loan,
Crossroads Office Portfolio (4%), transferred to special servicing
on March 15, 2018 due to an imminent default. The property is
collateralized by two office parks (392,003 sf) located in Suffolk
County, Long Island. Occupancy has declined to the low 70s over the
last few years from 80% in 2015.
The largest FLOC, Ashley Park (6.3%), is secured by a 554,364 sf,
open-air anchored retail center in Newnan, Georgia. The property is
anchored by Dillards (29% NRA; lease expires Jan. 31, 2019), Best
Buy (5.6% NRA; lease expires Jan. 31, 2021), Dick's Sporting Goods
(8.4% NRA; lease expires Jan. 31, 2022 and the 14-screen Regal
Cinemas (9.5% NRA; lease expires Nov. 30, 2029), and benefits from
the surrounding phases of the Ashley Park development, including
Belk, JC Penney and Target, which serve as a shadow anchors.
Fitch is awaiting a response on its request for a leasing status
update on Dillard's. Fitch's base case loss reflects and additional
10% haircut to the reported NOI and also performed an additional
stress on the loan and assumed a 25% loss severity to address the
rollover concerns and potential performance decline. This stress
scenario resulted in a Negative Outlook to class F.
RATING SENSITIVITIES
The Negative Rating Outlook on class F reflects potential rating
downgrades due to FLOCs (16.8%), two of which (10.5%) are top 15
loans with rollover concerns. Rating downgrades are possible if the
performance of the FLOCs continues to decline. Fitch's additional
sensitivity scenario incorporates a 25% loss on the Ashley Park
loan to address concerns with upcoming rollover and the potential
of declining performance in the future. The Rating Outlooks on
classes A-1 through E remain Stable due to the overall stable
performance of the pool. Future rating upgrades may occur with
improved pool performance and/or significant defeasance or
paydown.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings and revised Rating
Outlooks as indicated:
- $20.3 million class A-1 at 'AAAsf'; Outlook Stable;
- $44.6 million class A-2 at 'AAAsf'; Outlook Stable;
- $225 million class A-3 at 'AAAsf'; Outlook Stable;
- $381.1 million class A-4 at 'AAAsf'; Outlook Stable;
- $76.8 million class A-SB at 'AAAsf'; Outlook Stable;
- $47.7 million class A-M at 'AAAsf'; Outlook Stable;
- $795.5 million class X-A* at 'AAAsf'; Outlook Stable;
- $61.4 million class X-C *at 'BBB-sf'; Outlook Stable;
- $72.3 million class B at 'AA-sf'; Outlook Stable;
- $54.5 million class C at 'A-sf'; Outlook Stable;
- $61.4 million class D at 'BBB-sf'; Outlook Stable;
- $15 million class E at 'BB+sf'; Outlook Stable;
- $13.6 million class F at 'BB-sf'; Outlook to Negative from
Stable.
* Notional amount and interest only.
Fitch does not rate the class G, H, X-D, X-E and X-F certificates.
Ratings were withdrawn for class X-B.
CSFB MORTGAGE: Moody's Cuts Ratings on 5 Tranches to B3
-------------------------------------------------------
Moody's Investors Service has upgraded the rating of one tranche
from one transaction and downgraded the ratings of five tranches
from one transaction, backed by Option ARM and Alt-A mortgage loans
respectively.
Complete rating actions are as follows:
Issuer: CSFB Mortgage Pass-Through Certificates, Series 2002-9
Cl. I-A-1, Downgraded to B3 (sf); previously on Jun 25, 2013
Downgraded to B1 (sf)
Cl. I-A-2, Downgraded to B3 (sf); previously on Jun 25, 2013
Downgraded to B1 (sf)
Cl. I-A-3, Downgraded to B3 (sf); previously on Jun 25, 2013
Downgraded to B1 (sf)
Cl. I-P, Downgraded to B3 (sf); previously on Jun 25, 2013
Downgraded to B1 (sf)
Cl. I-X, Downgraded to B3 (sf); previously on Nov 29, 2017
Confirmed at B2 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-OA22
Cl. A-1, Upgraded to Ba3 (sf); previously on Aug 31, 2017 Upgraded
to B2 (sf)
RATINGS RATIONALE
The rating actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectation on
the pools. The ratings downgraded are due to the weaker performance
of the underlying collateral and the erosion of enhancement
available to the bonds. The rating upgrade is a result of improving
performance of the related pool and an increase in credit
enhancement available to the bond.
The principal methodology used in rating CWALT, Inc. Mortgage
Pass-Through Certificates, Series 2006-OA22, Cl.A-1 and CSFB
Mortgage Pass-Through Certificates, Series 2002-9 Cl. I-A-1, Cl.
I-P, Cl. I-A-2, Cl. I-A-3 was "US RMBS Surveillance Methodology"
published in January 2017. The methodologies used in rating CSFB
Mortgage Pass-Through Certificates, Series 2002-9 Cl. I-X were "US
RMBS Surveillance Methodology" published in January 2017 and
"Moody's Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to macroeconomic
uncertainty, and in particular the unemployment rate. The
unemployment rate fell to 3.8% in May 2018 from 4.3% in May 2017.
Moody's forecasts an unemployment central range of 3.5% to 4.5% for
the 2018 year. Deviations from this central scenario could lead to
rating actions in the sector. House prices are another key driver
of US RMBS performance. Moody's expects house prices to continue to
rise in 2018. Lower increases than Moody's expects or decreases
could lead to negative rating actions. Finally, performance of RMBS
continues to remain highly dependent on servicer procedures. An IO
bond may be upgraded or downgraded, within the constraints and
provisions of the IO methodology, based on lower or higher realized
and expected loss due to an overall improvement or decline in the
credit quality of the reference bonds and/or pools.
DT AUTO 2018-2: S&P Assigns BB(sf) Rating on $48MM Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to DT Auto Owner Trust
2018-2's $486.02 million asset-backed notes series 2018-2.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The ratings reflect:
-- The availability of approximately 66.5%, 61.4%, 51.2%, 42.4%,
and 37.7% credit support for the class A, B, C, D, and E notes,
respectively, based on stressed break-even cash flow scenarios
(including excess spread). These credit support levels provide
approximately 2.20x, 2.00x, 1.65x, 1.35x, and 1.20x coverage of our
expected net loss range of 29.00%-30.00% for the class A, B, C, D,
and E notes, respectively.
-- Credit enhancement also covers cumulative gross losses of
approximately 95.0%, 87.7%, 73.2%, 60.5%, and 53.8%, respectively,
assuming a 30% recovery rate.
-- The timely interest and principal payments by the legal final
maturity dates made under stressed cash flow modeling scenarios
that we deem appropriate for the assigned ratings.
-- S&P said, "Our expectation that under a moderate ('BBB') stress
scenario, the ratings on the class A, B, and C notes would likely
not be lowered, and the class D notes would likely remain within
one category of our 'BBB (sf)' rating, all else being equal. The
rating on class E would remain within two rating categories of our
'BB (sf)' rating during the first year, though it would ultimately
default in the moderate ('BBB') stress scenario with approximately
71% principal repayment. These potential rating movements are
consistent with our credit stability criteria."
-- The collateral characteristics of the subprime pool being
securitized, including a high percentage (approximately 81%) of
obligors with higher payment frequencies (more than once a month),
which we expect will result in a somewhat faster paydown on the
pool.
-- The transaction's sequential-pay structure, which builds credit
enhancement (on a percentage-of-receivables basis) as the pool
amortizes.
RATINGS ASSIGNED
DT Auto Owner Trust 2018-2
Class Rating Type Interest Amount
rate (%) (mil. $)
A AAA (sf) Senior 2.84 216.01
B AA (sf) Subordinate 3.43 57.00
C A (sf) Subordinate 3.67 87.01
D BBB (sf) Subordinate 4.15 78.00
E BB (sf) Subordinate 5.54 48.00
FLAGSHIP CLO VIII: S&P Gives (P)B Rating on $20.8MM Cl. F Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-RR, B-RR, C-RR, D-R, and E-R replacement notes from Flagship CLO
VIII Ltd., a collateralized loan obligation (CLO) originally issued
in 2014 that is managed by Deutsche Investment Management Americas
Inc. The replacement notes will be issued via a proposed
supplemental indenture. S&P does not expect the refinancing to have
any impact on the current rating on the class F notes.
S&P said, "The preliminary ratings reflect our opinion that the
credit support available is commensurate with the associated rating
levels.
"The preliminary ratings are based on information as of June 7,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
"On the June 26, 2018, refinancing date, the proceeds from the
replacement notes issuance are expected to redeem the original
notes. 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.
"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
Flagship CLO VIII Ltd.
Replacement class Rating Amount (mil. $)
A-RR AAA (sf) 275.00
B-RR AA (sf) 54.50
C-RR A (sf) 30.13
D-R BBB (sf) 22.75
E-R BB- (sf) 20.80
OTHER OUTSTANDING RATING
Flagship CLO VIII Ltd.
Class Rating
F B (sf)
FLAGSHIP CREDIT 2016-4: S&P Affirms BB Rating on Class E Notes
--------------------------------------------------------------
S&P Global Ratings raised its ratings on nine classes and affirmed
its ratings on six classes from three Flagship Credit Auto Trust
(FCAT) transactions.
S&P said, "The rating actions reflect collateral performance to
date and our expectations regarding future collateral performance,
as well as each transaction's structure and credit enhancement.
Additionally, we incorporated secondary credit factors, including
credit stability, payment priorities under various scenarios, and
sector- and issuer-specific analysis. Considering these factors, we
believe the creditworthiness of the notes remains consistent with
the raised and affirmed ratings."
FCAT's series 2016-2, 2016-3, and 2016-4 are currently performing
worse than its initial expectations. As a result, S&P raised its
loss expectations on these transactions.
Table 1
Collateral Performance (%)
As of the May 2018 distribution date
Pool Current 60+ day
Series Mo. factor CNL delinq.
FCAT 2016-2 24 50.27 7.13 2.97
FCAT 2016-3 21 55.34 6.63 3.48
FCAT 2016-4 18 60.29 5.78 3.43
(i)Mo.--Month.
CNL--cumulative net loss.
Table 2
CNL Expectations (%)
Revised
Original lifetime
lifetime CNL exp.
Series CNL exp. (May 2018)
FCAT 2016-2 11.50-12.00 13.00-13.50
FCAT 2016-3 11.50-12.00 13.50-14.00
FCAT 2016-4 11.75-12.25 13.50-14.00
CNL exp.--Cumulative net loss expectations.
Each transaction contains a sequential principal payment structure
in which the notes are paid principal by seniority. Each
transaction also has credit enhancement in the form of a
non-amortizing reserve account, overcollateralization,
subordination for the higher-rated tranches, and excess spread.
Each transaction's reserve amount and overcollateralization are at
their specified targets.
In addition, since the transactions closed, the credit support for
each series has increased as a percentage of the amortizing pool
balance. The raised and affirmed ratings reflect S&P's view that
the total credit support as a percentage of the amortizing pool
balance, compared with our expected remaining losses is
commensurate with each raised or affirmed rating.
Table 3 Hard Credit Support (%)
As of the May 2018 distribution date
Total hard Current total hard
credit support credit support
Series Class at issuance(i) (% of current)(i)
FCAT 2016-2 A-2 29.25 61.45
FCAT 2016-2 B 19.75 42.55
FCAT 2016-2 C 10.25 23.66
FCAT 2016-2 D 4.00 11.23
FCAT 2016-3 A-2 42.00 79.54
FCAT 2016-3 B 31.25 60.11
FCAT 2016-3 C 17.75 35.71
FCAT 2016-3 D 8.25 18.54
FCAT 2016-3 E 4.00 10.86
FCAT 2016-4 A-1 42.00 73.60
FCAT 2016-4 A-2 42.00 73.60
FCAT 2016-4 B 29.90 53.53
FCAT 2016-4 C 17.40 32.79
FCAT 2016-4 D 8.25 17.61
FCAT 2016-4 E 4.00 10.57
(i) Calculated as a percentage of the total gross receivable pool
balance, consisting of a reserve account, overcollateralization,
and, if applicable, subordination.
S&P said, "We incorporated cash flow analysis to assess the
loss-coverage level, which gave credit to excess spread. Our
various cash-flow scenarios included forward-looking assumptions on
recoveries, timing of losses, and voluntary absolute prepayment
speeds that we believe are appropriate given each transaction's
performance to date.
"Aside from our break-even cash-flow analysis, we also conducted
sensitivity analyses for these series to determine the impact that
a moderate ('BB') stress scenario would have on our ratings if
losses began trending higher than our revised base-case loss
expectation. In our view, the results demonstrated that all of the
classes have adequate credit enhancement at the raised or affirmed
rating levels.
"We will continue to monitor the performance of all of the
outstanding transactions to ensure that the credit enhancement
remains sufficient, in our view, to cover our cumulative net loss
expectations under our stress scenarios for each of the rated
classes."
RATINGS RAISED
Flagship Credit Auto Trust
Rating
Series Class To From
2016-2 A-2 AAA (sf) AA (sf)
2016-2 B AA+ (sf) A (sf)
2016-2 C A- (sf) BBB (sf)
2016-3 B AA+ (sf) AA (sf)
2016-3 C AA (sf) A (sf)
2016-3 D BBB+ (sf) BBB (sf)
2016-4 B AA+ (sf) AA (sf)
2016-4 C AA- (sf) A (sf)
2016-4 D BBB+ (sf) BBB (sf)
RATINGS AFFIRMED
Flagship Credit Auto Trust
Series Class Rating
2016-2 D BB- (sf)
2016-3 A-2 AAA (sf)
2016-3 E BB (sf)
2016-4 A-1 AAA (sf)
2016-4 A-2 AAA (sf)
2016-4 E BB (sf)
FLAGSTAR MORTGAGE 2018-4: Fitch to Rate Class B-5 Certs 'Bsf'
-------------------------------------------------------------
Fitch Ratings expects to rate Flagstar Mortgage Trust 2018-4 (FSMT
2018-4) as follows:
-- $437,751,000 class A-1 exchangeable certificates 'AA+sf';
Outlook Stable;
-- $396,894,000 class A-2 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $317,500,000 class A-3 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $256,220,000 class A-4 certificates 'AAAsf'; Outlook Stable;
-- $61,280,000 class A-5 certificates 'AAAsf'; Outlook Stable;
-- $140,674,000 class A-6 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $79,394,000 class A-7 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $60,347,000 class A-8 certificates 'AAAsf'; Outlook Stable;
-- $19,047,000 class A-9 certificates 'AAAsf'; Outlook Stable;
-- $40,857,000 class A10 certificates 'AA+sf'; Outlook Stable;
-- $437,751,000 class A-X-1 notional certificates 'AA+sf';
Outlook Stable;
-- $4,202,000 class B-1 certificates 'AAsf'; Outlook Stable;
-- $10,506,000 class B-2 certificates 'Asf'; Outlook Stable;
-- $6,537,000 class B-3 certificates 'BBBsf'; Outlook Stable;
-- $3,969,000 class B-4 certificates 'BBsf'; Outlook Stable;
-- $2,335,000 class B-5 certificates 'Bsf'; Outlook Stable.
Fitch will not be rating the following classes:
-- $1,634,643 class B-6-C certificates;
-- $0 class R certificates;
-- $0 class LT-R certificates.
The notes are supported by 750 jumbo prime, high-balance
conforming, and conforming fixed-rate mortgages (FRMs) originated
by Flagstar Bank, FSB with a total balance of approximately $466.93
million as of the cut-off date.
KEY RATING DRIVERS
High-Quality Mortgage Pool (Positive): The collateral pool consists
primarily of 30-year, fully amortizing, high-balance conforming and
jumbo fixed-rate loans to borrowers with strong credit profiles and
low leverage. All loans are designated as Safe Harbor Qualified
Mortgages (SHQMs) or Temporary Qualified Mortgages. The pool has a
weighted average (WA) original FICO score of 762 and an original
combined loan to value (CLTV) ratio of 68.3%. The collateral
attributes of the pool are generally consistent with recent prime
transactions.
Low Operational Risk (Positive): Operational risk is well
controlled for in this transaction. Flagstar is experienced in
originating and securitizing prime-quality loans and is considered
an 'Average' originator. The results of 30% due diligence for this
transaction confirm a sound loan origination process. The solid
representation and warranty (R&W) framework (classified by Fitch as
Tier 1) coupled with Flagstar (RPS2-) as servicer, also contribute
to the low operational risk for this transaction.
High Geographic Concentration (Negative): The pool's primary
concentration is in California, representing 53.5% of the pool.
Approximately 48% of the pool is located in the top three
metropolitan statistical areas (MSAs; Los Angeles, San Francisco
and New York), with 28% of the pool located in the Los Angeles MSA.
The pool's high regional concentration added approximately 50 basis
points (bps) to the Fitch's 'AAAsf' loss expectations.
Tier 1 R&W Framework (Positive): Fitch views Flagstar's R&W
framework as a full framework since the company removed minor
loan-level R&W variations that previously existed. While the
framework still contains materiality factors, which the reviewer
must consider when determining if a loan has a material failure,
there are thresholds that define materiality, which Fitch views as
a key mitigant. In addition, the reviewer can consider information
not included in the test, which reduces the tests' prescriptiveness
that could limit the reviewer's ability to identify a breach. Fitch
believes the R&W features support the investors' ability to put
back loans due to misrepresentation or manufacturing defects.
Because of the Tier 1 representation, warranty and enforcement
(RW&E) framework and financial condition of the R&W provider, the
pool received neutral treatment at the 'AAAsf' level.
Strong Due Diligence Results (Positive): A loan-level due diligence
review was conducted on 30% of the pool, in accordance with Fitch's
criteria and focused on credit, compliance and property valuation.
All of the loans that received a due diligence review and are in
the final pool received a grade of 'A' or 'B', indicating strong
underwriting practices and sound quality-control procedures. The
majority of the 'B' graded loans were due to non-material
compliance issues related to TILA-RESPA Integrated Disclosure
(TRID) findings, which were all corrected or cleared/canceled.
Straightforward Deal Structure (Positive): The mortgage cash flow
and loss allocation are based on a senior-subordinate,
shifting-interest structure, whereby the subordinate classes
receive only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps maintain subordination for a longer period should
losses occur later in the life of the deal. The applicable credit
support percentage feature redirects subordinate principal to
classes of higher seniority if specified credit enhancement (CE)
levels are not maintained.
To mitigate tail risk, which arises as the pool seasons and fewer
loans are outstanding, a subordination floor of 1.25% of the
original balance will be maintained for the senior certificates and
a balance of $3,969,643 will be maintained for subordinate
certificates.
Leakage from Reviewer Expenses (Negative): The trust is obligated
to reimburse the breach reviewer, Inglet Blair, LLC (Inglet Blair),
each month for any reasonable, out-of-pocket expenses incurred if
the company is requested to participate in any arbitration, legal
or regulatory actions, proceedings or hearings. These expenses
include Inglet Blair's legal fees and other expenses incurred
outside its reviewer fee and are not subject to a cap or
certificate holder approval.
While Fitch accounted for the potential additional costs by
upwardly adjusting its loss estimate for the pool, Fitch views this
construct as adding potentially more ratings volatility than those
that do not have this type of provision. To account for the risk of
these expenses reducing subordination, Fitch adjusted its loss
expectations upward by 10bps at each rating category.
Extraordinary Expense Adjustment (Neutral): The trust provides for
expenses, including indemnification amounts and costs of
arbitration, to be paid by the net WA coupon (WAC) of the loans,
which does not affect the contractual interest due on the
certificates. Furthermore, the expenses to be paid from the trust
are capped at $300,000 per annum, which can be carried over each
year, subject to the cap until paid in full.
CRITERIA APPLICATION
Fitch analyzed the transaction in general accordance with its
criteria, as described in its report, "U.S. RMBS Rating Criteria."
This incorporates a review of the originator's lending platforms,
as well as an assessment of the transaction's R&Ws provided by the
originator and arranger, which were found to be consistent with the
ratings assigned to the certificates.
Fitch's analysis incorporated two criteria variations from the
"U.S. RMBS Rating Criteria". The first criteria variation relates
to the treatment of Flagstar's R&W framework tier. Based on Fitch's
current tiering scorecard, reducing the loan-level due diligence
percentage below 90% would bring Flagstar's R&W framework down to a
Tier 3 from a Tier 2. However, Fitch considered Flagstar's R&W
framework as a Tier 1 due to Flagstar's alignment of loan level
R&Ws with Fitch's criteria and minor materiality considerations
with set parameters. In addition, due diligence results reviewed by
Fitch in prior rated transactions indicate origination of quality
loans. Comparing Flagstar's R&W framework to other R&W frameworks,
Flagstar's framework is more in line with a Tier 1. The result of
this variation resulted in a 25 bp difference in the 'AAAsf' rating
level.
The second criteria variation was due to the use of Fannie Mae's
Collateral Underwriter (CU) as a secondary valuation tool on 43
loans instead of using a third party desk review. Fitch has
reviewed and is comfortable with Fannie Mae's CU product. Fitch
does not believe the use of CU imposes any additional risk to the
transaction.
Fitch's analysis also incorporated one criteria variation from the
"U.S. RMBS Loan Loss Model Criteria," which relates to the
treatment of the loan origination channel. Approximately 12% of the
pool was originated directly through Flagstar's retail channel,
with the remaining from brokers (13.89%) and Flagstar's
correspondents' channels (73.72%). The due diligence review
indicated that 93% of the correspondent loans were originated
through the correspondent's retail channel and the remaining 7%
were originated through a broker channel. This was extrapolated to
the pool and the retail credit was given for loans originated
through the correspondent's retail channel. The result of this
variation resulted in a 10 bp difference in the 'AAAsf' rating
level.
GLS AUTO 2018-2: S&P Assigns (P)BB- Rating on $30.2MM Cl. D Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to GLS Auto
Receivables Issuer Trust 2018-2's $299.39 million automobile
receivables-backed notes series 2018-2.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The preliminary ratings are based on information as of June 7,
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 51.13%, 41.11%, 32.16% and
25.72% of credit support (as of preliminary pricing) for the class
A, B, C, and D notes, respectively, based on stressed cash flow
scenarios (including excess spread). These credit support levels
provide coverage of approximately 2.50x, 2.00x, 1.55x, and 1.22x
our 19.50%-20.50%% expected cumulative net loss (ECNL) for the
class A, B, C, and D notes, respectively.
-- S&P said, "The expectation that under a moderate ('BBB') stress
scenario (1.55x our expected loss level), all else being equal, our
rating on the class A and B notes will remain within one rating
category of the assigned preliminary 'AA (sf)' and 'A (sf)' ratings
and our rating on the class C notes will remain within two rating
categories of the assigned preliminary 'BBB (sf)' rating. The class
D notes will remain within two rating categories of the assigned
preliminary 'BB- (sf)' rating during the first year but will
eventually default under the 'BBB' stress scenario. These rating
movements are within the limits specified by our credit stability
criteria."
-- S&P's analysis of over four years of origination static pool
data and securitization performance data on Global Lending
Services' (GLS') four Rule 144A securitizations.
-- The collateral characteristics of the subprime automobile loans
securitized in this transaction, including the representation in
the transaction documents that all contracts in the pool have made
a least one payment.
-- The notes' underlying credit enhancement in the form of
subordination, overcollateralization (O/C), a reserve account, and
excess spread for the class A, B, C, and D notes.
-- The timely interest and principal payments made to the notes
under our stressed cash flow modeling scenarios, which S&P believes
are appropriate for the assigned preliminary ratings.
PRELIMINARY RATINGS ASSIGNED
GLS Auto Receivables Issuer Trust 2018-2
Class Rating Type Interest Amount
rate(i) (mil. $)
A AA (sf) Senior Fixed 176.69
B A (sf) Subordinate Fixed 52.84
C BBB (sf) Subordinate Fixed 39.59
D BB- (sf) Subordinate Fixed 30.27
(i)The interest rates and actual sizes of these tranches will be
determined on the pricing date.
GOLDMAN SACHS 2011-GC5: Fitch Affirms Bsf Rating on Class F Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed nine classes of Goldman Sachs Commercial
Mortgage Capital, L.P., series 2011-GC5 commercial mortgage
pass-through certificates.
Fitch has issued a focus report on this transaction. The report
provides a detailed and up-to-date perspective on key credit
characteristics of the GSMS 2011-GC5 transaction and property-level
performance of the related trust loans.
KEY RATING DRIVERS
Change in Loss Expectations; Overall Stable Performance: The change
in loss expectations from issuance reflects the retail exposure and
occupancy declines within the top 15 loans and the specially
serviced REO asset. However, the increase in loss expectations is
mitigated by the transaction's paydown and defeased collateral.
Overall pool performance remains stable from issuance. There is one
REO asset representing 1.2% of the pool that was recently
liquidated, and three loans (11.3%) have been designated as Fitch
Loans of Concern (FLOCs).
Increased Credit Enhancement: The transaction has paid down 33.4%
from issuance, resulting in an increase in credit enhancement.
Additionally, 12 loans (19.23%) have been defeased, including the
fourth and fifth largest loans for a combined 11.93%.
High Concentration of Retail Loans; Fitch Loans of Concern: The
transaction has a high retail concentration. Loans backed by retail
properties represent 68% of the pool, including nine within the top
15. Four loans (28%) are secured by regional malls with locations
in secondary markets including Beaumont, TX, Ashland, KY and
Plattsburgh, NY. Of the four malls, all have had exposure to at
least one Sears, JCPenney or Macy's as an anchor tenant. The
largest FLOC and the third largest loan in the pool, Parkdale Mall
& Crossing (7.0%), is secured by the in-line space of a 1.4
million-sf regional mall with exposure to both Macy's and Sears.
The mall lost non-collateral anchor Macy's in March 2017, and the
Sears store remains open, but is being marketed for sale.
The second largest FLOC is the Champlain Centre loan (2.7%). The
loan is secured by a 610,556-sf (484,556 sf collateral) regional
mall in Plattsburgh, NY, approximately 20 miles from Burlington,
VT. The mall is anchored by Target (non-collateral), Dick's
Sporting Goods, JCPenney, and Regal Cinemas. Sears vacated in 2016,
but was partially backfilled with Hobby Lobby. The loan is a FLOC
due to declining anchor sales, upcoming lease rollover and the
property's tertiary location.
RATING SENSITIVITIES
The Negative Outlook for classes E and F reflects concerns with the
Parkdale Mall & Crossing loan and the overall retail concentration
within the pool. Downgrades to these classes are possible if
performance of the Parkdale Mall & Crossing and Champlain Centre
loans continue to decline. Fitch's additional sensitivity scenario
incorporates a 40% loss on both these loans to reflect the
potential for outsized losses. Rating Outlooks for classes A-3
through D remain Stable due to overall stable performance of the
pool and continued amortization. Upgrades may occur with improved
pool performance and additional paydown or defeasance; however,
they may be limited due to the high retail concentration.
Downgrades to these classes are possible should a material
asset-level or economic event adversely affect pool performance.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings and has revised Outlooks
as indicated:
-- $69.1 million class A-3 at 'AAAsf'; Outlook Stable;
-- $568.2 million class A-4 at 'AAAsf'; Outlook Stable;
-- $181.1 million class A-S at 'AAAsf'; Outlook Stable;
-- $96 million class B at 'AAsf'; Outlook Stable;
-- $69.8 million class C at 'Asf'; Outlook Stable;
-- $74.2 million class D at 'BBB-sf'; Outlook Stable;
-- $28.4 million class E at 'BBsf'; Outlook to Negative from
Stable;
-- $24 million class F at 'Bsf'; Outlook to Negative from
Stable;
-- $818.5 million* class X-A at 'AAAsf'; Outlook Stable.
*Notional amount and interest only.
Classes A-1 and A-2 have paid in full. Fitch does not rate the
class G and X-B certificates.
GREEN TREE: S&P Takes Action on 19 Tranches on 15 Housing ABS Deals
-------------------------------------------------------------------
S&P Global Ratings took various rating actions affecting 19 classes
from 15 Green Tree-related manufactured housing asset-backed
securities (ABS) transactions. Overall, S&P raised its ratings on
16 classes and affirmed its ratings on three.
The 15 affected transactions were issued out of Green Tree
Financial Corp. Manufactured Housing Trust and Manufactured Housing
Contract Senior/Subordinate Pass-Through Certificates.
S&P said, "The rating actions reflect the transactions' collateral
performance to date, our views regarding future collateral
performance, the transactions' structures, and the credit
enhancement available. Furthermore, our analysis incorporated
secondary credit factors such as credit stability, payment
priorities under certain scenarios, and sector- and issuer-specific
analysis.
"The upgrades reflect our assessment of the growth in credit
enhancement for the affected classes in the form of subordination,
which we expect will mitigate the impact of losses being higher
than originally expected for these pools.
"The affirmations reflect our view that the total credit support as
a percentage of the amortizing pool balances, compared with our
expected remaining cumulative net losses, is sufficient to support
the current ratings.
"While all 15 transactions are experiencing higher cumulative net
losses than initially expected, they are performing in line with or
better than our former revised lifetime expectations. We also
considered the significant rise in delinquencies over the past few
years; as a result, we are maintaining our loss expectations."
Table 1
COLLATERAL PERFORMANCE (%)
(As of April 2018 distribution date)
Series Mo. Pool Current Expected
factor CNL lifetime CNL(i)
Green Tree Financial Corp. Manufactured Housing Trust
1995-6 272 2.41 14.24 14.75-15.25
1995-7 271 2.50 14.03 14.75-15.25
1995-8 270 2.53 14.46 15.00-15.50
1995-9 269 2.73 14.02 14.50-15.00
1995-10 268 2.82 14.03 14.50-15.00
1996-1 266 3.39 13.56 14.00-15.00
1996-7 260 4.09 16.81 17.75-18.75
1996-10 256 4.56 16.40 17.00-18.00
1997-8 244 6.89 17.50 18.50-19.50
1998-2 241 6.59 20.84 22.25-23.25
1998-3 240 7.53 21.25 23.25-24.25
1998-5 238 8.92 18.00 20.10-21.10
1998-6 236 7.79 20.95 23.50-24.50
1998-8 233 9.80 20.25 22.75-23.75
Manufactured Housing Contract Sr/Sub Pass-Through Certificates
2001-4 196 10.91 27.97 32.50-33.50
(i)Lifetime CNL expectations based on current performance data.
CNL--cumulative net loss.
Each transaction was initially structured with
overcollateralization (O/C) and subordination. However, due to
higher-than-expected losses, the O/C on each of these transactions
has been depleted to zero, and many of the subordinated classes
have experienced principal write-downs.
S&P Global Ratings will continue to monitor the performance of the
transactions relative to our cumulative net loss expectations and
the available credit enhancement. We will take rating actions as we
consider appropriate.
RATINGS RAISED
Green Tree Financial Corp. Manufactured Housing Trust
Rating
Series Class To From
1995-6 B-1 AAA (sf) BBB (sf)
1995-7 B-1 AAA (sf) BBB- (sf)
1995-8 B-1 AA (sf) BB+ (sf)
1995-9 B-1 AAA (sf) BBB (sf)
1995-10 B-1 AAA (sf) BBB+ (sf)
1996-1 B-1 A+ (sf) B (sf)
1996-7 M-1 BBB- (sf) B- (sf)
1996-10 M-1 BBB (sf) BB- (sf)
1997-8 A-1 AAA (sf) AA (sf)
1998-2 A-5 AA (sf) BBB+ (sf)
1998-2 A-6 AA (sf) BBB+ (sf)
1998-3 A-6 A+ (sf) BB+ (sf)
1998-5 A-1 A (sf) BB+ (sf)
1998-6 A-8 A (sf) BB- (sf)
1998-8 A-1 BBB- (sf) B+ (sf)
Manufactured Housing Contract Senior/Subordinate Pass-Through
Certificates Series 2001-4
Rating
Series Class To From
2001-4 A-4 AAA (sf) BB- (sf)
RATINGS AFFIRMED
Green Tree Financial Corp. Manufactured Housing Trust
Series Class Rating
1997-8 M-1 CC (sf)
1998-8 M-1 CC (sf)
Manufactured Housing Contract Senior/Subordinate Pass-Through
Certificates Series 2001-4
Series Class Rating
2001-4 M-1 CCC- (sf)
GS MORTGAGE 2016-RENT: S&P Affirms B-(sf) Rating on Class F Notes
-----------------------------------------------------------------
S&P Global Ratings affirmed its ratings on eight classes of
commercial mortgage pass-through certificates from GS Mortgage
Securities Corporation Trust 2016-RENT, a U.S. commercial
mortgage-backed securities (CMBS) transaction.
S&P said, "For the affirmations on the principal- and
interest-paying classes, our credit enhancement expectation was
more or less in line with the affirmed rating levels.
"We affirmed our ratings on the class X-A and X-B interest-only
(IO) certificates based on our criteria for rating IO securities,
in which the ratings on the IO securities would not be higher than
that of the lowest rated reference class. Class X-A's notional
balance references class A and class X-B's notional balance
references class B.
"In addition, we reviewed the transaction's insurance provision and
providers and determined that they are, for the most part,
consistent with our property insurance criteria and normal market
standards. However, upon review of the recent insurance
certificates provided by the master servicer, we noted that one of
the insurers is not rated by S&P Global Ratings. We generally
expect insurance providers to be rated by S&P Global Ratings no
lower than two rating categories below the highest-rated securities
backed by the loan, with a 'BBB' rating category floor. As such, we
increased our minimum credit enhancement levels at each rating
category."
This is a stand-alone (single borrower) transaction backed by
$349.75 million of a $480.0 million fixed-rate IO whole mortgage
loan secured by 61 multifamily properties containing 1,726
multifamily units and 37 retail units in San Francisco. S&P said,
"Our property-level analysis included a re-evaluation of the
collateral property that secures the whole mortgage loan and
considered the stable servicer-reported net operating income and
occupancy for the past five years (2013 through 2017). We then
derived our sustainable in-place net cash flow, which we divided by
a 6.25% S&P Global Ratings capitalization rate to determine our
expected-case value. The properties were acquired in 2011 and would
be subject to a reassessment under proposition 13 upon the sale of
the properties. Upon a sale, a property is reassessed generally
resulting in an increase in real estate taxes. To account for the
potential increase in real estate taxes, our valuation also
included an adjustment for the reassessment risk associated with
properties located in the state of California. We have accounted
for this risk by applying a negative $36.8 million adjustment to
our valuation. This yielded an overall S&P Global Ratings
loan-to-value ratio and debt service coverage (DSC) of 93.8% and
1.73x, respectively, on the whole loan balance."
According to the May 11, 2018, trustee remittance report, the IO
mortgage loan has a trust balance of $349.75 million and a whole
loan balance of $480.0 million. The trust balance consists of a
$100.0 million A note and a $249.75 million note B. The $100.0
million trust A note is pari passu with the two nontrust companion
A notes totaling $130.25 million ($75.0 million is in GS Mortgage
Securities Trust 2016-GS2 and $55.25 million is in GS Mortgage
Securities Trust 2016-GS3, both U.S. CMBS transactions). The
$249.75 million trust note B is subordinate to the A notes. The
whole loan pays an annual fixed interest rate of 4.075% and matures
on Feb. 6, 2021. The borrowers' equity interest in the whole loan
also secures $196.5 million of mezzanine financing. To date, the
trust has not incurred any principal losses. The master servicer,
Wells Fargo Bank N.A., reported a DSC of 1.56x on the whole loan
balance for the year ended Dec. 31, 2017, and overall occupancy was
92.4% according to the Dec. 31, 2017, rent rolls.
RATINGS LIST
GS Mortgage Securities Corporation Trust 2016-RENT
Commercial mortgage pass-through certificates series 2016-RENT
Rating
Class Identifier To From
A 36251GAA2 AAA (sf) AAA (sf)
X-A 36251GAC8 AAA (sf) AAA (sf)
X-B 36251GAE4 AA- (sf) AA- (sf)
B 36251GAG9 AA- (sf) AA- (sf)
C 36251GAJ3 A (sf) A (sf)
D 36251GAL8 BBB (sf) BBB (sf)
E 36251GAN4 BB- (sf) BB- (sf)
F 36251GAQ7 B- (sf) B- (sf)
HARBOURVIEW CLO VII-R: Moody's Rates $8MM Class F Notes 'B3'
------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by HarbourView CLO VII-R, Ltd.
Moody's rating action is as follows:
US$259,610,000 Class A-1 Senior Secured Floating Rate Notes due
2031 (the "Class A-1 Notes"), Assigned Aaa (sf)
US$43,940,000 Class B Senior Secured Floating Rate Notes due 2031
(the "Class B Notes"), Assigned Aa2 (sf)
US$21,920,000 Class C Secured Deferrable Floating Rate Notes due
2031 (the "Class C Notes"), Assigned A2 (sf)
US$24,020,000 Class D Secured Deferrable Floating Rate Notes due
2031 (the "Class D Notes"), Assigned Baa3 (sf)
US$17,910,000 Class E Secured Deferrable Floating Rate Notes due
2031 (the "Class E Notes"), Assigned Ba3 (sf)
US$8,000,000 Class F Secured Deferrable Floating Rate Notes due
2031 (the "Class F Notes"), Assigned B3 (sf)
The Class A-1 Notes, the Class B Notes, the Class C Notes, the
Class D Notes, the Class E Notes and the Class F Notes are referred
to herein, collectively, as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
HarbourView CLO VII-R is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 90% of the portfolio must consist
of first lien senior secured loans, cash and eligible investments,
and up to 10% of the portfolio may consist of second lien loans and
unsecured loans. The portfolio is approximately 100% ramped as of
the closing date.
HarbourView Asset Management Corporation will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's five year reinvestment period.
Thereafter, the Manager may reinvest unscheduled principal payments
and proceeds from sales of credit risk assets, subject to certain
restrictions.
In addition to the Rated Notes, the Issuer issued one other class
of secured notes and one class of subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used this base-case assumptions:
Par amount: $399,400,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2850
Weighted Average Spread (WAS): 3.60%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 9 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
HERTZ VEHICLE 2018-2: Fitch to Rate Class D Notes 'BBsf'
--------------------------------------------------------
Fitch Ratings expects to assign the following ratings and Outlooks
to the series 2018-2 and series 2018-3 ABS notes issued by Hertz
Vehicle Financing II LP (HVF II):
HVF II, Series 2018-2
-- $TBD class A notes 'AAAsf'; Outlook Stable;
-- $TBD class B notes 'Asf'; Outlook Stable;
-- $TBD class C notes 'BBBsf'; Outlook Stable;
-- $TBD class D notes 'BBsf'; Outlook Stable;
-- $TBD class RR notes 'NRsf'.
HVF II, Series 2018-3
-- $TBD class A notes 'AAAsf'; Outlook Stable;
-- $TBD class B notes 'Asf'; Outlook Stable;
-- $TBD class C notes 'BBBsf'; Outlook Stable;
-- $TBD class D notes 'BBsf'; Outlook Stable;
-- $TBD class RR notes 'NRsf'.
KEY RATING DRIVERS
Diverse Vehicle Fleet: HVF II is deemed diverse under Fitch's
criteria due to the high degree of OEM, model, segment and
geographic diversification in Hertz and Dollar Thrifty's rental
fleets. Concentration limits, based on a number of characteristics,
are present to help mitigate the risk of individual OEM
bankruptcies or failure to honor repurchase agreement obligations.
Fluctuating Fleet Performance: Hertz's fleet depreciation has been
volatile since 2014 for risk vehicles and remains elevated due to
weaker residual values, particularly for compact cars. Despite
this, vehicle disposition losses have been minimal. Fitch has taken
recent performance into account and adjusted the risk depreciation
assumption higher to 2.0%.
OEM Financial Stability: OEMs with PV concentrations in HVF II have
all improved their financial position in recent years and are well
positioned to meet repurchase agreement obligations. Fitch affirmed
the Issuer Default Rating (IDR) of Nissan, the largest OEM in HVF
II, at 'BBB+' in October 2017 and upgraded the IDR for Fiat
Chrysler Automobiles N.V., the third largest OEM, to 'BB' in
December 2017.
Enhancement Versus Expected Losses: Credit enhancement (CE) is
dynamic and based on the fleet mix, with maximum and minimum
required levels. The levels for the series cover or are well within
range of Fitch's maximum and minimum expected loss levels. Fitch's
expected losses for risk vehicles have increased due to the
adjustment to the risk vehicle depreciation assumptions.
Structural Features Mitigate Risk: Vehicle market value/disposition
proceeds tests, amortization triggers and events of default all
mitigate risks stemming from ongoing vehicle value volatility and
weakness, ensuring parity between asset values and ongoing market
conditions, resulting in low historical fleet disposition losses
and stable depreciation rates.
Adequate Fleet Servicer and Fleet Management: Hertz is deemed an
adequate servicer and administrator, as evidenced by its historical
fleet management and securitization performance to date. Automotive
Solutions, Inc. (Fiserv) is the backup disposition agent, while
Lord Securities Corporation (Lord Securities) is the backup
administrator.
Legal Structure Integrity: The legal structure of the transaction
provides that a bankruptcy of Hertz would not impair the timeliness
of payments on the securities.
RATING SENSITIVITIES
Fitch's rating sensitivity analysis focuses on two scenarios
involving potentially extreme market disruptions that would force
the agency to redefine its stress assumptions. The first examines
the effect of moving Fitch's bankruptcy/liquidation timing scenario
to eight months at 'AAAsf' with subsequent increases to each rating
level. The second considers the effect of moving the disposition
stresses to the higher end of the range at each rating level for a
diverse fleet. For example, the 'AAAsf' stress level would move
from 24% to 28%. Finally, the last example shows the impact of both
stresses on the structure. The purpose of these stresses is to
demonstrate the potential rating impact on a transaction if one or
a combination of these scenarios occurs.
Fitch determined ratings by applying expected loss levels for
various rating scenarios until the proposed CE exceeded the
expected losses from the sensitivity. For all sensitivity
scenarios, the Class A notes show little sensitivity under each of
the scenarios with potential downgrades only occurring under the
combined stress scenario. Two-notch to one-level downgrades would
occur to the subordinate notes under each scenario with greater
sensitivity to the disposition stress scenario. Under the combined
scenario, the subordinate notes would be placed under greater
stress and could experience multiple-level downgrades.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
Fitch was provided with third-party due diligence information from
PricewaterhouseCoopers LLP (PwC). The third-party due diligence
focused on a review of the procedures and related data for 59
vehicles in both pools, including the following areas:
-- Title, Lien and OEM;
-- Capital Costs;
-- Mark-to-Market and Disposition Proceeds.
Fitch considered this information in its analysis, but the findings
had no impact on the ratings.
HPS LOAN 8-2016: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A1-R, B-R, C-R, D-R, and E-R replacement notes from HPS Loan
Management 8-2016 Ltd., a collateralized loan obligation (CLO)
originally issued on April 7, 2016, that is managed by HPS
Investment Partners LLC. The replacement notes will be issued via a
proposed supplemental indenture. The class A2-R notes are not rated
by S&P Global Ratings. The issuer and co-issuer legal names were
changed to HPS Loan Management 8-2016 Ltd. and HPS Loan Management
8-2016 LLC from Highbridge Loan Management 8-2016 Ltd. and
Highbridge Loan Management 8-2016 LLC, respectively, in April
2018.
The preliminary ratings reflect S&P's opinion that the credit
support available is commensurate with the associated rating
levels.
The preliminary ratings are based on information as of June 7,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the July 20, 2018, refinancing date, the proceeds from the
issuance of the replacement notes are expected to redeem the
original notes. S&P said, "At that time, we anticipate withdrawing
the ratings on the original notes and assigning ratings to the
class A1-R, B-R, C-R, D-R, and E-R 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 class
A1-R, B-R, C-R, D-R, and E-R 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:
-- Increase the rated par amount and target initial par amount to
$426.25 million and $500.00 million, respectively, from $369.00
million and $400.00 million. The first payment date following the
refinancing will be Jan. 20, 2019. In addition, given the upsize,
the issuer will have an additional effective date, proposed to be
in January 2019.
-- Extend the reinvestment period to July 20, 2023, from Oct. 20,
2020.
-- Extend the non-call period to July 20, 2020, from April 20,
2018.
-- Extend the weighted average life test to July 20, 2027, from
eight years calculated from the transaction's original April 7,
2016, closing date.
-- Extend the legal final maturity date on the rated and
subordinated notes to July 20, 2030, from April 20, 2027.
-- Issue additional subordinated notes, increasing the
subordinated note total balance to approximately $47.225 million
from $37.75 million.
-- 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.
S&P said, "Although the results of the cash flow analysis indicate
minimal cushion on the class A1-R and E-R notes, we are comfortable
with assigning our preliminary ratings due to the transaction's
significant difference in the actual calculated values of the
portfolio's weighted average spread and weighted average recovery
rates as compared to the minimum assumptions that were stressed in
our cash flow analysis. We believe the results of the cash flow
analysis demonstrated, in our view, that all of the rated classes
have adequate credit enhancement available at the rating levels
associated with these rating actions."
REPLACEMENT AND ORIGINAL NOTE ISSUANCES
Replacement Notes
Class Amount Interest
(mil. $) rate (%)
A1-R 292.50 LIBOR + 1.02
A2-R 32.50 LIBOR + 1.35
B-R 55.00 LIBOR + 1.65
C-R 30.00 LIBOR + 1.95
D-R 30.00 LIBOR + 2.95
E-R 18.75 LIBOR + 5.60
Subordinated notes 47.23 N/A
Original Notes
Class Amount Interest
(mil. $) rate (%)
X(i) 0.00 LIBOR + 1.00
A 248.00 LIBOR + 1.55
B 56.00 LIBOR + 2.40
C-1 18.00 LIBOR + 3.75
C-2 6.00 5.28
D 20.00 LIBOR + 4.85
E 18.00 LIBOR + 7.90
Subordinated notes 37.75 N/A
(i)The class X notes were paid off in full on the Oct. 20, 2016,
payment date. 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 (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 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
HPS Loan Management 8-2016 Ltd.
Replacement class Rating Amount (mil. $)
A1-R AAA (sf) 292.500
A2-R NR 32.500
B-R AA (sf) 55.000
C-R A (sf) 30.000
D-R BBB- (sf) 30.000
E-R BB- (sf) 18.750
Subordinated notes NR 47.225
JAMESTOWN CLO V: Moody's Lowers Class F Notes Rating to Caa2
------------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by Jamestown CLO V Ltd.:
US$8,000,000 Class F Senior Secured Deferrable Floating Rate Notes
due January 2027, Downgraded to Caa2 (sf); previously on December
11, 2014 Definitive Rating Assigned B2 (sf)
Moody's also affirmed the ratings on the following notes:
US$256,000,000 Class A-R Senior Secured Floating Rate Notes due
January 2027 (current outstanding balance of $246,000,000),
Affirmed Aaa (sf); previously on April 12, 2017 Assigned Aaa (sf)
US$28,000,000 Class B-1-R Senior Secured Floating Rate Notes due
January 2027, Affirmed Aa2 (sf); previously on April 12, 2017
Assigned Aa2 (sf)
US$24,000,000 Class B-2-R Senior Secured Fixed Rate Notes due
January 2027, Affirmed Aa2 (sf); previously on April 12, 2017
Assigned Aa2 (sf)
US$19,000,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due January 2027, Affirmed A2 (sf); previously on April 12,
2017 Assigned A2 (sf)
US$21,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due January 2027, Affirmed Baa3 (sf); previously on December 11,
2014 Definitive Rating Assigned Baa3 (sf)
US$20,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due January 2027, Affirmed Ba3 (sf); previously on December 11,
2014 Definitive Rating Assigned Ba3 (sf)
Jamestown CLO V Ltd., issued in December 2014, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans. The transaction's reinvestment period will end in
January 2019.
RATINGS RATIONALE
The rating downgrade on the Class F notes is primarily due to a
decrease in the weighted average spread (WAS) of the underlying
loan portfolio and deterioration of the notes'
overcollateralization (OC) ratio since June 2017. Based on the
trustee's May 2018 report, the WAS is currently reported at 3.52%,
versus the June 2017 level of 3.86%. The interest diversion test
ratio, in effect the Class F OC ratio, is currently reported at
103.36%, versus the June 2017 level of 104.21%, primarily
reflecting portfolio par loss due to an increase in defaulted
assets.
On the April 2018 payment date, the Class A-R notes were paid down
by $10 million, or 3.9% using principal proceeds . This paydown
tempered the OC deterioration since June 2018.
The rating affirmations on the remaining rated notes reflect the
paydown and the benefit of the shorter period of time remaining
before the end of the deal's reinvestment period, which offsets the
decrease in WAS and the deterioration of the OC ratios for these
notes.
Methodology Underlying the Rating Action
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to
uncertainty about credit conditions in the general economy.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO documentation
by different transactional parties owing to embedded ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current expectations,
can lead to positive CLO performance. Conversely, a negative shift
in credit quality or performance of the collateral can have adverse
consequences for CLO performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will commence and at what pace. Deleveraging of the CLO
could accelerate owing to high prepayment levels in the [bond/loan]
market and/or collateral sales by the manager, which could have a
significant impact on the notes' ratings. Note repayments that are
faster than Moody's current expectations will usually have a
positive impact on CLO notes, beginning with those with the highest
payment priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets could result in volatility in the deal's
overcollateralization levels. Further, the timing of recovery
realization and whether the Manager decides to work out or sell
defaulted assets create additional uncertainty. Realization of
recoveries that are either materially higher or lower than assumed
in Moody's analysis would impact the CLO positively or negatively,
respectively.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Here is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Moody's Adjusted WARF -- 20% (2353)
Class A-R: 0
Class B-1-R: +1
Class B-2-R: +1
Class C-R: +3
Class D: +3
Class E: +1
Class F: +4
Moody's Adjusted WARF + 20% (3529)
Class A-R: 0
Class B-1-R: -3
Class B-2-R: -3
Class C-R: -2
Class D: -1
Class E: -1
Class F: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analyzed the collateral pool as having a performing par and
principal proceeds balance of $378.8 million, defaulted par of $
2.0 million, a weighted average default probability of 22.28%
(implying a WARF of 2941), a weighted average recovery rate upon
default of 48.12%, a diversity score of 71 and a weighted average
spread of 3.52%.
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of the
assets in the collateral pool.
JP MORGAN 2012-C6: Moody's Affirms B2 Rating on Class H Debt
------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on 12 classes in
J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-C6,
Commercial Mortgage Pass-Through Certificates Series 2012-C6 as
follows:
Cl. A-3, Affirmed Aaa (sf); previously on Jul 12, 2017 Affirmed Aaa
(sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Jul 12, 2017 Affirmed
Aaa (sf)
Cl. A-S, Affirmed Aaa (sf); previously on Jul 12, 2017 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa2 (sf); previously on Jul 12, 2017 Affirmed Aa2
(sf)
Cl. C, Affirmed A1 (sf); previously on Jul 12, 2017 Affirmed A1
(sf)
Cl. D, Affirmed A3 (sf); previously on Jul 12, 2017 Affirmed A3
(sf)
Cl. E, Affirmed Baa3 (sf); previously on Jul 12, 2017 Affirmed Baa3
(sf)
Cl. F, Affirmed Ba2 (sf); previously on Jul 12, 2017 Affirmed Ba2
(sf)
Cl. G, Affirmed Ba2 (sf); previously on Jul 12, 2017 Affirmed Ba2
(sf)
Cl. H, Affirmed B2 (sf); previously on Jul 12, 2017 Affirmed B2
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on Jul 12, 2017 Affirmed Aaa
(sf)
Cl. X-B, Affirmed Ba3 (sf); previously on Jul 12, 2017 Affirmed Ba3
(sf)
RATINGS RATIONALE
The ratings on ten P&I Classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on the two IO Classes, Cl. X-A and Cl. X-B, were
affirmed based on the credit performance of the referenced
classes.
Moody's rating action reflects a base expected loss of 2.6% of the
current balance, compared to 2.3% at Moody's last review. Moody's
base expected loss plus realized losses is now 2.2% of the original
pooled balance, compared to 2.0% at Moody's last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in rating J.P. Morgan Chase Commercial
Mortgage Securities Trust 2012-C6, Cl. A-3, Cl. A-SB, Cl. A-S, Cl.
B, Cl. C, Cl. D, Cl. E, Cl. F, Cl. G, and Cl. H were "Approach to
Rating US and Canadian Conduit/Fusion CMBS" published in July 2017
and "Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in July 2017. The methodologies used in
rating J.P. Morgan Chase Commercial Mortgage Securities Trust
2012-C6, Cl. X-A and Cl. X-B were "Approach to Rating US and
Canadian Conduit/Fusion CMBS" published in July 2017, "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017 and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in June
2017.
DEAL PERFORMANCE
As of the May 17, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 26.4% to $834.3
million from $1.13 billion at securitization. The certificates are
collateralized by 36 mortgage loans ranging in size from less than
1% to 14.2% of the pool, with the top ten loans (excluding
defeasance) constituting 61% of the pool.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 16, compared to 17 at Moody's last review.
Eleven loans, constituting 18.5% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Moody's received full year 2017 operating results for 87% of the
pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 91%, compared to 90% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 19.9% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.5%.
Moody's actual and stressed conduit DSCRs are 1.63X and 1.22X,
respectively, compared to 1.66X and 1.22X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 35.4% of the pool balance.
The largest loan is the 200 Public Square Loan ($118.8 million --
14.2% of the pool), which is secured by a 1.27 million square foot
(SF), Class A office tower in downtown Cleveland, Ohio. The
property is situated on Public Square and is the third-tallest
building in Cleveland. The property, which was built in 1985
includes an eight-story atrium, conference facilities, a fitness
center, retail, and dining options. As of the December 2017 rent
roll, the property was 85% occupied, compared to 73% at last
review. Moody's LTV and stressed DSCR are 96.2% and 1.04X,
respectively, compared to 97.8% and 1.02X at the last review.
The second largest loan is the Arbor Place Mall Loan ($110.5
million -- 13.2% of the pool), which is secured by a 546,000 SF
portion of a 1.16 million SF super-regional mall located in
Douglasville, Georgia. The property, which was built in 1999, is
anchored by Dillard's, Belk, Macy's, J.C. Penney, and Sears. All
anchors except for J.C. Penney are owned by the tenant and are not
part of the collateral. As of the December 2017 rent roll, the
property was 99% leased, compared to 94% at last review. Moody's
LTV and stressed DSCR are 118.1% and 0.94X, respectively, compared
to 114.4% and 0.92X at the last review.
The third largest loan is the Northwoods Mall Loan ($65.9 million
-- 7.9% of the pool), which is secured by a 404,000 SF portion of a
791,000 SF regional mall located in North Charleston, South
Carolina. The property was built in 1972 and renovated by the
sponsor in 2004. The mall is anchored by J.C. Penney, Dillard's,
and Belk. All anchors except for J.C. Penney are owned by the
tenant and are not part of the collateral. The malls anchors
included a non-collateral Sears at securitization, however, Sears
vacated its space in 2017. As of the December 2017 rent roll, the
property was 98% leased, the same as at the last review. Moody's
LTV and stressed DSCR are 95.4% and 1.13X, respectively, compared
to 97.2% and 1.11X at the last review.
JP MORGAN 2013-C14: Fitch Affirms B Rating on Class G Certs
-----------------------------------------------------------
Fitch Ratings has affirmed 12 classes of J.P. Morgan Chase
Commercial Mortgage Securities Trust (JPMBB) commercial mortgage
pass-through certificates series 2013-C14.
KEY RATING DRIVERS
Changes in Loss Expectations; Sufficient Credit Enhancement: The
affirmations reflect the sufficient credit enhancement (CE)
relative to Fitch's base case loss expectations for the pool. The
change in loss expectations from issuance reflects the performance
risks associated with the retail concentration, primarily the
regional mall Fitch Loans of Concern (FLOCs). The increase in loss
expectations is mitigated by increased credit enhancement with
15.7% of the pool paid down since issuance including five loans
($110 million) that have prepaid in full. Two loans (2.3%) have
defeased. Outside of the FLOCs, pool performance remains relatively
stable from issuance and no losses have been incurred to date.
Retail Concentration / Regional Mall Exposure; Potential for
Outsized Losses: Loans secured by retail properties represent the
largest concentration at 44% of the pool, which includes seven of
the top 15 loans (39%). Four of these top 15 loans (27.4%) are
secured by regional malls. Two of the regional malls, Southridge
Mall (7.34%) and Country Club Mall (2.42%), contain significant
performance risks including vacating anchors, declining sales,
secondary markets and/or poor property quality. Fitch performed an
additional sensitivity scenario, which assumed the potential for
outsized losses on these loans. The ratings and Outlooks reflect
this additional analysis.
Fitch Loans of Concern: Five non-specially loans (24.6% of the
current pool) have been identified as FLOCs, all of which are in
the top 15. Regional mall FLOCs include the largest loan in the
pool secured by Meadows Mall in Las Vegas, NV (10.0%), which has
had declining occupancy and NOI since issuance; Southridge Mall in
Greendale, WI (7.34%) which faces several anchor vacancies (Kohl's
and Boston Store/Bon-Ton) and declining tenant sales; and Country
Club Mall in Lavale, MD (2.42%), with an expected anchor vacancy
(Bon-Ton Store) coupled with declining anchor sales, poor property
quality, and tertiary market location.
Non-retail FLOCs include 575 Maryville Centre Drive (2.5%), a class
B office property in St. Louis, MO, with concentrated tenancy and
near term rollover risks; and Pittsburgh Hyatt Place (2.3%), a
178-key full service hotel in Pittsburgh, PA which has had
declining NOI since issuance due to lower room revenues with flat
occupancy levels.
Specially Serviced Loan: The Four Points Sheraton - San Diego loan
(0.91% of the pool), which is secured by a 225-key full service
hotel property located in San Diego, CA, transferred to special
servicing in February 2016 due to payment default in December 2015.
The property has experienced cash flow issues due to a significant
increase in expenses since issuance, driven by an increase in
franchise fees plus general & administrative costs. In addition,
the property condition had significantly declined, leaving the
borrower in default with the franchiser on a property improvement
plan (PIP). A receiver was appointed by the servicer in April 2016,
followed shortly by the borrower filing for Chapter 11 bankruptcy
in May 2016. A court ordered bankruptcy reorganization plan was
approved in May 2017, which includes prompt completion of the PIP
by August 2017 and the repayment of servicer advances and
outstanding debt service payments.
Per the servicer reporting, as of June 2018 debt service payments
have been made current. However, the borrower has not completed the
PIP required by Marriot. The servicer continues to monitor the
progress, and the borrower is complying with the cash management
provisions.
Maturing Loans: Six loans (18.4% of the pool) are scheduled to
mature in the next 12 months, with five loans maturing in July 2018
(two loans; 5.7%) and August 2018 (three loans; 5.0%). The servicer
has reported the borrowers of the maturing 2018 loans are in
process of obtaining refinancing by the scheduled maturity dates.
RATING SENSITIVITIES
The Negative Outlooks for classes E through G reflect concerns with
the South Ridge Mall and Country Club Mall loans as well as the
overall retail concentration within the pool. Downgrades to these
classes are possible if performance at these properties continue to
decline. Fitch's additional sensitivity scenario incorporates a 50%
loss on both these loans to reflect the potential for outsized
losses. Rating Outlooks for classes A-2 through D remain Stable due
to sufficient credit enhancement relative to Fitch's loss
expectations. Upgrades may occur with improved pool performance and
significant additional paydown or defeasance; however, they may be
limited due to the high retail concentration. Downgrades to these
classes are possible should a material asset-level or economic
event adversely affect pool performance.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third party due diligence was provided or reviewed in relation
to this rating.
Fitch has affirmed the ratings and revised the Outlooks for the
following classes as indicated:
-- $178.1 million class A-2 at 'AAAsf'; Outlook Stable;
-- $75 million class A-3 at 'AAAsf'; Outlook Stable;
-- $288.5 million class A-4 at 'AAAsf'; Outlook Stable;
-- $81.8 million class A-SB at 'AAAsf'; Outlook Stable;
-- $80.4 million class A-S at 'AAAsf'; Outlook Stable;
-- $703.8 million * class X-A at 'AAAsf'; Outlook Stable;
-- $76.1 million class B at 'AA-sf'; Outlook Stable;
-- $45.9 million class C at 'A-sf'; Outlook Stable;
-- $53.1 million class D at 'BBB-sf'; Outlook Stable;
-- $11.5 million class E at 'BBB-sf'; Outlook to Negative from
Stable;
-- $12.9 million class F at 'BB+sf'; Outlook to Negative from
Stable;
-- $23 million class G at 'Bsf'; Outlook Negative.
* Notional amount and interest-only.
The class A-1 certificates have paid in full. Fitch does not rate
the class NR or class X-C certificates. The class X-B certificate
was withdrawn from the transaction prior to closing.
JP MORGAN 2018-AON: S&P Assigns Prelim B(sf) Rating on Cl. F Certs
------------------------------------------------------------------
&P Global Ratings assigned its preliminary ratings to J.P. Morgan
Chase Commercial Mortgage Securities Trust 2018-AON's $400.0
million commercial mortgage pass-through certificates series
2018-AON.
The issuance is a commercial mortgage-backed securities transaction
backed by a $400.0 million trust loan, which is part of a whole
mortgage loan structure in the aggregate principal amount of $536.0
million, secured by a first mortgage lien on the borrowers'
interest in Aon Center, a 2.8 million sq. ft., class A office
building located within Chicago's East Loop office submarket.
The preliminary ratings are based on information as of June 15,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of the collateral's
historic and projected performance, the sponsor's and manager's
experience, the trustee-provided liquidity, the loan's terms, and
the transaction's structure.
PRELIMINARY RATINGS ASSIGNED
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-AON
Class Rating(i) Amount ($)
A AAA (sf) 154,000,000
X-A(ii) AAA (sf) 154,000,000(iii)
X-B(ii) A- (sf) 60,000,000(iii)
B AA- (sf) 36,000,000
C A- (sf) 24,000,000
D BBB- (sf) 60,100,000
E BB- (sf) 74,100,000
F B (sf) 30,300,000(iv)
HRR B- (sf) 21,500,000(iv)
(i)The issuer will issue the certificates to qualified
institutional buyers in line with Rule 144A of the Securities Act
of 1933.
(ii)Interest only.
(iii)Notional balance. The notional amount of the class X-A
certificates will equal the class A certificate balance, and the
notional amount of the class X-B certificates will equal the class
B and C certificate balances.
(iv)The initial certificate balances of the class F and HRR
certificates are subject to change based on the final pricing of
all certificates and the final determination of the eligible
horizontal residual interest that will be held by a retaining
third-party purchaser so that JPMorgan Chase Bank N.A., as loan
seller, can satisfy its U.S. risk retention requirements with
respect to this securitization transaction.
NR--Not rated.
JPMDB COMMERCIAL 2018-C8: Fitch Gives B-sf Ratings on 2 Tranches
----------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to JPMDB Commercial Mortgage Securities Trust 2018-C8
commercial mortgage pass-through certificates:
-- $20,521,343 class A-1 'AAAsf'; Outlook Stable;
-- $131,981,467 class A-2 'AAAsf'; Outlook Stable;
-- $130,013,581 class A-3 'AAAsf'; Outlook Stable;
-- $183,513,650 class A-4 'AAAsf'; Outlook Stable;
-- $33,165,944 class A-SB 'AAAsf'; Outlook Stable;
-- $563,379,010b class X-A 'AAAsf'; Outlook Stable;
-- $65,073,357b class X-B 'AA-sf'; Outlook Stable;
-- $64,183,025 class A-S 'AAAsf'; Outlook Stable;
-- $32,981,845 class B 'AA-sf'; Outlook Stable;
-- $32,091,512 class C 'A-sf'; Outlook Stable;
-- $35,657,005ab class X-D 'BBB-sf'; Outlook Stable;
-- $16,044,716ab class X-EF 'BB-sf'; Outlook Stable;
-- $7,132,025ab class X-G 'B-sf'; Outlook Stable;
-- $35,657,005a class D 'BBB-sf'; Outlook Stable;
-- $8,912,691a class E 'BB+sf'; Outlook Stable;
-- $7,132,025a class F 'BB-sf'; Outlook Stable;
-- $7,132,025a class G 'B-sf'; Outlook Stable.
The following class is not rated by Fitch:
-- $25,851,542ac class NR-RR.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
(c) Horizontal credit risk retention interest representing 3.63% of
the pool balance (as of the closing date).
(d) The amount of the VRR Interest is expected to represent 3.856%
($27,500,000) of the pool balance, but may be larger or smaller if
necessary to satisfy U.S. risk retention requirements at closing.
Since Fitch published its expected ratings on May 18, 2018, the
balances of class A3 and A4 have been finalized at $130,013,581 and
183,513,650, respectively. When expected ratings were published,
the exact initial certificate balances of class A-3 and class A-4
were unknown and expected to be within the range of $78,008,149 -
$130,013,581 and $183,513,650 - $235,519,082, respectively. The
classes reflect the final ratings and deal structure. Also since
Fitch published its expected ratings on May 18, 2018, the expected
'A-sf' rating on the interest-only class X-B has been revised to
'AA-sf' based on the final deal structure.
The ratings are based on the information provided by the issuer as
of June 15, 2018.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 41 loans secured by 69
commercial properties having an aggregate principal balance of
$713,137,655 as of the cut-off date. The loans were contributed to
the trust by: JPMorgan Chase Bank, National Association, German
American Capital Corporation, Starwood Mortgage Funding VI LLC, and
BSPRT Finance, LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 72.5% of the properties
by balance, cash flow analysis of 90.8% and asset summary reviews
on 100.0% of the pool.
KEY RATING DRIVERS
Fitch Debt Service Coverage Ratio (DSCR) is Lower Than Recent
Transactions: The pool's Fitch DSCR is 1.20x relative to the 2017
and 2018 YTD averages of 1.26x and 1.25x, respectively. However,
the pool's loan-to-value (LTV) of 102.2% is comparable to the 2017
and 2018 YTD averages of 101.6% and 103.6%. Excluding
investment-grade credit opinion loans, the pool has a Fitch DSCR
and LTV of 1.19x and 104.6%.
Investment-Grade Credit Opinion Loans: Two loans, representing 6.5%
of the pool have investment-grade credit opinions. DreamWorks
Campus (4.2% of the pool) and Twelve Oaks Mall (2.3% of the pool)
both have investment-grade credit opinions of 'BBB-sf*'. Combined,
the two loans have a weighted average (WA) Fitch DSCR of 1.35x and
LTV of 66.6%, respectively.
Above-Average Retail and Hotel Exposure: The transaction comprises
20 retail properties and seven hotels totalling 38.6% and 16.6% of
the pool, respectively. The pool's retail concentration exceeds the
2017 average of 24.8% and 2018 YTD average of 23.4%. The pool's
hotel concentration exceeds the 2017 average of 15.8% and 2018 YTD
average of 13.9%.
Above-Average Asset Quality: Seven of the top 10 loans were
assigned property quality grades of 'B+' or better.
RATING SENSITIVITIES
For this transaction, Fitch's NCF was 15.1% below the most recent
year's NOI for properties for which a full-year NOI was provided,
excluding properties that were stabilizing during this period.
Unanticipated further declines in property-level NCF could result
in higher defaults and loss severities on defaulted loans and in
potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the
JPMDB 2018-C8 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'BBB+sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'
could result.
LADDER CAPITAL 2017-LC26: Fitch Affirms B- Rating on Class F Certs
------------------------------------------------------------------
Fitch Ratings has affirmed all classes of Ladder Capital Commercial
Mortgage Trust 2017-LC26 commercial mortgage pass-through
certificates.
KEY RATING DRIVERS
Generally Stable Performance: Most of the pool is performing in
line with Fitch's expectations at issuance. There has been limited
financial reporting due to the recent vintage of the transaction.
Specially Serviced Loan: One loan has transferred to special
servicing for imminent default and is a Fitch Loan of Concern. The
seventh largest loan, 55-59 Chrystie Street (4% of the pool), is
secured by a mixed-use building in Manhattan's Chinatown
neighborhood. The asset underwent a $5 million ($124 psf)
renovation in 2016. The borrower has missed the last two monthly
payments due to financial issues stemming from attempts to
reposition the property, although the borrower's intentions for the
property remain unclear. At issuance, the asset was 100% occupied
by a mix of commercial tenants in various industries, including
advertising, accounting, fashion design, education, art and
fitness. Although there is uncertainty surrounding both the
borrower's and special servicer's plans, Fitch views the property's
Manhattan location and recent capital work as positives.
Additionally, Fitch's issuance analysis accounted for this loan's
potential volatility. Fitch will continue to monitor this loan.
Limited Amortization: There has been minimal change to credit
enhancement since issuance. The pool was securitized in June 2017
and has amortized by only 0.6%. Thirty-four loans representing
38.7% of the pool are interest-only for the full term and will not
amortize at all. An additional seven loans representing 16.7% of
the pool were structured with partial interest-only terms and have
not yet begun to amortize.
Pool Concentration: The top 15 loans make up 72.2% of the pool,
which indicates that the pool is more concentrated than the 2017
and 2016 averages for Fitch-rated multiborrower deals. There is
also concentration by property type, with hotels making up an
above-average portion at 18.3% and single-tenant properties at
30.3%. Geographically, 32.9% of the pool is backed by properties in
the New York City and Los Angeles metropolitan areas.
RATING SENSITIVITIES
The Outlooks for all classes remain Stable. While most of the pool
is performing in line with Fitch's expectations, one loan
representing 4% of the pool has transferred to special servicing
for imminent default. Given the uncertainty surrounding the
borrower's intentions for the asset and the special servicer's
strategy, Fitch continues to monitor this loan for updates.
Downgrades may be possible should the special servicer's strategy
or a performance update indicate that the resolution will result in
a loss exceeding Fitch's current expectations.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
- $16.4 million class A-1 at 'AAAsf'; Outlook Stable;
- $89.6 million class A-2 at 'AAAsf'; Outlook Stable;
- $32 million class A-SB at 'AAAsf'; Outlook Stable;
- $125 million class A-3 at 'AAAsf'; Outlook Stable;
- $171.2 million class A-4 at 'AAAsf'; Outlook Stable;
- $434.2 million* class X-A at 'AAAsf'; Outlook Stable;
- $39.1 million class A-S at 'AAAsf'; Outlook Stable;
- $28.9 million class B at 'AA-sf'; Outlook Stable;
- $32.1 million class C at 'A-sf'; Outlook Stable;
- $100.0 million* class X-B at 'A-sf'; Outlook Stable;
- $36 million class D at 'BBB-sf'; Outlook Stable;
- $36 million* class X-D at 'BBB-sf'; Outlook Stable;
- $17.2 million class E at 'BB-sf'; Outlook Stable;
- $7 million class F at 'B-sf'; Outlook Stable.
* Notional amount and interest only
Fitch does not rate the class G certificate. The class E
certificate represents the horizontal credit risk retention
interest. There is also a vertical risk retention (VRR) interest
representing approximately 1.97% of the total pool balance. The
current implied balance of the VRR interest is $12,258,140.
LCM XIV: Moody's Assigns B2 Rating on $8MM Class F-R Notes
----------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
CLO refinancing notes issued by LCM XIV Limited Partnership.
Moody's rating action is as follows:
US$5,100,000 Class X-R Senior Floating Rate Notes due 2031 (the
"Class X-R Notes"), Assigned Aaa (sf)
US$256,000,000 Class A-R Senior Floating Rate Notes due 2031 (the
"Class A-R Notes"), Assigned Aaa (sf)
US$47,500,000 Class B-R Senior Floating Rate Notes due 2031 (the
"Class B-R Notes"), Assigned Aa2 (sf)
US$22,250,000 Class C-R Deferrable Mezzanine Floating Rate Notes
due 2031 (the "Class C-R Notes"), Assigned A2 (sf)
US$23,000,000 Class D-R Deferrable Mezzanine Floating Rate Notes
due 2031 (the "Class D-R Notes"), Assigned Baa3 (sf)
US$19,250,000 Class E-R Deferrable Mezzanine Floating Rate Notes
due 2031 (the "Class E-R Notes"), Assigned Ba3 (sf)
US$8,000,000 Class F-R Deferrable Mezzanine Floating Rate Notes due
2031 (the "Class F-R Notes"), Assigned B2 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
LCM Asset Management LLC manages the CLO. It directs the selection,
acquisition, and disposition of collateral on behalf of the
Issuer.
RATINGS RATIONALE
Moody's ratings on the Refinancing Notes address the expected
losses posed to noteholders. The ratings reflect the risks due to
defaults on the underlying portfolio of assets, the transaction's
legal structure, and the characteristics of the underlying assets.
The Issuer has issued the Refinancing Notes on June 6, 2018 in
connection with the refinancing of all classes of the secured notes
previously issued on July 11, 2013. On the Refinancing Date, the
Issuer used proceeds from the issuance of the Refinancing Notes to
redeem in full the Refinanced Original Notes.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: reinstatement and extension of the
reinvestment period; extensions of the stated maturity and non-call
period; changes to certain collateral quality tests; changes to the
overcollateralization test levels; and changes to comply with the
Volcker Rule.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Performing par and principal proceeds balance: $400,000,000
Diversity Score: 80
Weighted Average Rating Factor (WARF): 2822
Weighted Average Spread (WAS): 3.10%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 48.5%
Weighted Average Life (WAL): 9.1 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Refinancing Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Here is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Refinancing
Notes (shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2822 to 3245)
Rating Impact in Rating Notches
Class X-R Notes: 0
Class A-R Notes: 0
Class B-R Notes: -2
Class C-R Notes: -2
Class D-R Notes: -1
Class E-R Notes: -1
Class F-R Notes: -2
Percentage Change in WARF -- increase of 30% (from 2822 to 3669)
Rating Impact in Rating Notches
Class X-R Notes: 0
Class A-R Notes: -1
Class B-R Notes: -4
Class C-R Notes: -4
Class D-R Notes: -2
Class E-R Notes: -1
Class F-R Notes: -5
MAGNETITE XV: Moody's Assigns Ba3 Rating on $32.3MM Class E-R Notes
-------------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
CLO refinancing notes issued by Magnetite XV, Limited:
Moody's rating action is as follows:
US$2,000,000 Class X Amortizing Senior Secured Floating Rate Notes
due 2031 (the "Class X Notes"), Assigned Aaa (sf)
US$394,000,000 Class A-R Senior Secured Floating Rate Notes due
2031 (the "Class A-R Notes"), Assigned Aaa (sf)
US$63,500,000 Class B-R Senior Secured Floating Rate Notes due 2031
(the "Class B-R Notes"), Assigned Aa2 (sf)
US$35,000,000 Class C-R Deferrable Mezzanine Floating Rate Notes
due 2031 (the "Class C-R Notes"), Assigned A2 (sf)
US$35,800,000 Class D-R Deferrable Mezzanine Floating Rate Notes
due 2031 (the "Class D-R Notes"), Assigned Baa3 (sf)
US$32,300,000 Class E-R Deferrable Mezzanine Floating Rate Notes
due 2031 (the "Class E-R Notes"), Assigned Ba3 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
BlackRock Financial Management, Inc. manages the CLO. It directs
the selection, acquisition, and disposition of collateral on behalf
of the Issuer.
RATINGS RATIONALE
Moody's ratings on the Refinancing Notes addresses the expected
losses posed to noteholders. The ratings reflect the risks due to
defaults on the underlying portfolio of assets, the transaction's
legal structure, and the characteristics of the underlying assets.
The Issuer has issued the Refinancing Notes on June 13, 2018 in
connection with the refinancing of all classes of the secured notes
previously issued on November 18, 2015. On the Refinancing Date,
the Issuer used proceeds from the issuance of the Refinancing Notes
to redeem in full the Refinanced Original Notes.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; and changes to the
overcollateralization test levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Performing par and principal proceeds balance: $605,181,872
Defaulted par: $1,636,256
Diversity Score: 75
Weighted Average Rating Factor (WARF): 2865
Weighted Average Spread (WAS): 3.00%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 9 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.
Together with the set of modeling assumptions, Moody's conducted an
additional sensitivity analysis, which was a component in
determining the ratings assigned to the Refinancing Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Here is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Refinancing
Notes (shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2865 to 3295)
Rating Impact in Rating Notches
Class X Notes: 0
Class A-R Notes: -1
Class B-R Notes: -2
Class C-R Notes: -2
Class D-R Notes: -1
Class E-R Notes: -1
Percentage Change in WARF -- increase of 30% (from 2865 to 3725)
Rating Impact in Rating Notches
Class X Notes: 0
Class A-R Notes: -1
Class B-R Notes: -3
Class C-R Notes: -4
Class D-R Notes: -2
Class E-R Notes: -1
MCF CLO VIII: S&P Assigns BB-(sf) Rating on $23.6MM Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to MCF CLO VIII Ltd.'s
$325.9 million middle-market collateralized loan obligation (CLO)
managed by Madison Capital Funding LLC, a wholly owned subsidiary
of New York Life Insurance Co..
The note issuance is CLO transaction backed primarily 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 (those
rated 'BB+' or lower) 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
MCF CLO VIII Ltd./MCF CLO VIII LLC
Class Rating Amount
(mil. $)(i)
A-1 AAA (sf) 157.50
A-2 AAA (sf) 31.60
B AA (sf) 28.10
C (deferrable) A (sf) 24.40
D (deferrable) BBB- (sf) 18.90
E (deferrable) BB- (sf) 23.60
Sub nts (deferrable) NR 41.80
Combo nts(i) BBB+p (sf) 35.00
(i)The combination notes comprise $12.20 million class C, $12.30
million class D, $3.50 million class E, and $7.00 million
subordinated notes.
NR--Not rated.
MERRILL LYNCH 2005-MCP1: Moody's Lowers Cl. G Certs Rating to Ca
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three classes
and downgrades the rating on one class in Merrill Lynch Mortgage
Trust 2005-MCP1, Commercial Mortgage Pass-Through Certificates,
Series 2005-MCP1 as follows:
Cl. F, Affirmed Caa1 (sf); previously on Jun 15, 2017 Affirmed Caa1
(sf)
Cl. G, Downgraded to Ca (sf); previously on Jun 15, 2017 Affirmed
Caa3 (sf)
Cl. H, Affirmed C (sf); previously on Jun 15, 2017 Affirmed C (sf)
Cl. XC, Affirmed C (sf); previously on Jun 15, 2017 Affirmed C
(sf)
RATINGS RATIONALE
The ratings on Cl F and Cl H. were affirmed because the ratings are
consistent with Moody's expected recovery of principal and interest
from the specially loan as well as losses from previously
liquidated loans.
The rating on Cl. G was downgraded due to anticipated losses from
the specially serviced loan. One specially serviced loan now
represents 97% of the deal.
The ratings on IO Class, Cl. XC, was affirmed based on the credit
performance of its referenced classes.
Moody's rating action reflects a base expected loss of 47.7% of the
current balance, compared to 32.3% at Moody's last review. Moody's
base expected loss plus realized losses is now 5.0% of the original
pooled balance and remains unchanged since Moody's last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating Merrill Lynch Mortgage
Trust 2005-MCP1, Cl. F, Cl. G, and Cl. H was "Moody's Approach to
Rating Large Loan and Single Asset/Single Borrower CMBS" published
in July 2017. The methodologies used in rating Merrill Lynch
Mortgage Trust 2005-MCP1, Cl. XC were "Moody's Approach to Rating
Large Loan and Single Asset/Single Borrower CMBS" published in July
2017 and "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" published in June 2017.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 97% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then applies the aggregate loss
from specially serviced loans to the most junior classes and the
recovery as a pay down of principal to the most senior classes.
DEAL PERFORMANCE
As of the June 12, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 98.3% to $29.1
million from $1.73 billion at securitization. The certificates are
collateralized by two mortgage loans.
Sixteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $73.8 million (for an average loss
severity of 24%). One loan, the Prium Office Portfolio II ($28.3
million -- 97% of the pool), is currently in special servicing. The
specially serviced loan is secured by a portfolio of nine class B
suburban office buildings located throughout the state of
Washington. As of March 2017 the portfolio was 78% leased, the same
as in May 2016. Two of the nine properties are currently 100%
vacant. The majority of the buildings in the portfolio are single
tenant or two tenant offices leased to the State of Washington
agencies on five year leases with the majority of leases expiring
within the next four years.
The single remaining conduit loan is the Linden Professional Tower
Loan ($822,770 thousand -- 3% of the pool). The loan is secured by
an office tower located in Linden, New Jersey approximately 9 miles
southwest of Newark Airport. The property is occupied by primarily
medical tenants and was 100% occupied at securitization. The loan
is fully amortizing and has amortized over 80% since
securitization. Moody's LTV and stressed DSCR are 16.2% and greater
than 4.00X, respectively.
MILL CITY 2018-2: Fitch to Rate Class B2 Notes 'B-sf'
-----------------------------------------------------
Fitch Ratings expects to rate Mill City Mortgage Loan Trust 2018-2
(MCMLT 2018-2) as follows:
-- $202,854,000 class A1A notes 'AAAsf'; Outlook Stable;
-- $50,713,000 class A1B notes 'AAAsf'; Outlook Stable;
-- $48,611,000 class M1 notes 'AA-sf'; Outlook Stable;
-- $27,371,000 class M2 notes 'A-sf'; Outlook Stable;
-- $23,211,000 class M3 notes 'BBB-sf'; Outlook Stable;
-- $19,927,000 class B1 notes 'BB-sf'; Outlook Stable;
-- $17,079,000 class B2 notes 'B-sf'; Outlook Stable;
-- $253,567,000 class A1 exchangeable notes 'AAAsf'; Outlook
Stable;
-- $302,178,000 class A2 exchangeable notes 'AA-sf'; Outlook
Stable;
-- $329,549,000 class A3 exchangeable notes 'A-sf'; Outlook
Stable;
-- $352,760,000 class A4 exchangeable notes 'BBB-sf'; Outlook
Stable.
The following classes will not be rated by Fitch:
-- $8,759,000 class B3 notes;
-- $19,707,000 class B4 notes;
-- $19,708,189 class B5 notes.
The notes are supported by one collateral group that consists of
2,847 seasoned re-performing mortgages with a total balance of
approximately $438.05 million (which includes $29.3 million, or
6.7%, of the aggregate pool balance in non-interest-bearing
deferred principal amounts) as of the statistical calculation
date.
The 'AAAsf' rating on the class A1A and A1B notes reflects the
42.10% subordination provided by the 11.10% class M1, 6.25% class
M2, 5.30% class M3, 4.55% class B1, 3.90% class B2, 2.00% class B3,
4.50% class B4 and 4.50% class B5 notes.
Fitch's ratings on the class notes reflect the credit attributes of
the underlying collateral; the quality of the servicers: Select
Portfolio Servicing, Inc. (SPS) rated 'RPS1-', Shellpoint Mortgage
Servicing (Shellpoint) and Fay Servicing, LLC (Fay), both rated
'RSS3+'; the representation (rep) and warranty framework; minimal
due diligence findings and the sequential pay structure.
KEY RATING DRIVERS
Distressed Performance History (Negative): The collateral pool
consists primarily of peak-vintage seasoned re-performing loans
(RPLs), including loans that have been paying for the past 24
months, which Fitch identifies as "clean current" (57.6%), and
loans that are current but have recent delinquencies or incomplete
paystrings, identified as "dirty current" (39.2%). Additionally, 1%
of the loans are 30 or 60 days delinquent; 66.2% of the loans
received modifications. Fitch excluded any delinquencies caused by
servicing transfer issue.
Due Diligence Findings (Negative): The third-party review (TPR)
firm's due diligence review resulted in approximately 602 loans
(21% by loan count) graded 'C' and 'D'. While the percentage of
loans graded 'C' and 'D' for compliance is high compared with the
industry average, most of the exceptions do not carry assignee
liability and did not warrant a loss adjustment. Adjustments were
made to account for an indeterminate HUD1, the missing modification
agreement, the missing servicing comment review, ATR risk and the
missing compliance review. The overall impact of all due diligence
adjustments is 175bps at the 'AAAsf' loss level.
Historical Performance (Positive): CarVal has issued seven
re-performing RMBS from its Mill City Mortgage Trust shelf since
December 2015. Overall, the MCMLT transactions have been performing
well compared with their cohort. Delinquencies and losses to date
have been low compared with other RPL transactions rated by Fitch.
Inclusion of Loans with Ability-to-Repay (ATR) Issues (Negative):
The due diligence review resulted in 13 loans in the pool (1% by
loan count) with issues regarding ATR compliance. All of these
borrowers have fixed-rate mortgages and have been current for the
life of the loan. All but three loans were underwritten to full
documentation. For the 10 full documentation loans, given that the
borrower's payment will not change and has been paying for the life
of the loan, there is a very unlikely chance the borrower's
challenge to the ability-to-pay rule would hold up in court. No
adjustment was applied to these loans. However, for the three
non-full documentation loans, a 300% loss severity (LS) was applied
to account for the possibility of legal costs to the trust due to a
challenge.
Servicing Fee Stress (Negative): Fitch determined that the
servicing fee may be insufficient to attract subsequent servicers
under a period of poor performance and high delinquencies. To
account for the potentially higher fee needed to obtain a
subsequent servicer, Fitch's cash flow analysis assumed a 60bp
servicing fee for investment-grade rating stresses, which resulted
in higher credit enhancement requirements.
Sequential-Pay Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure, whereby the subordinate
classes do not receive principal until the senior classes are
repaid in full. Losses are allocated in reverse-sequential order.
Furthermore, the provision to re-allocate principal to pay interest
on the 'AAAsf' and 'AAsf' rated notes prior to other principal
distributions is highly supportive of timely interest payments to
those classes, in the absence of servicer advancing.
Deferred Amounts (Negative): Non-interest-bearing principal
forbearance amounts totaling $29.3 million (6.7% of the unpaid
principal balance) are outstanding on 766 loans. Fitch included the
deferred amounts when calculating the borrower's LTV and sLTV,
despite the lower payment and amounts not being owed during the
term of the loan. The inclusion resulted in higher PDs and LS than
if there were no deferrals. Fitch believes that borrower default
behavior for these loans will resemble that of the higher LTVs, as
exit strategies (that is, sale or refinancing) will be limited
relative to those borrowers with more equity in the property.
R&W Framework (Negative): Fitch considers the representation,
warranty and enforcement (RW&E) mechanism construct for this
transaction to be generally consistent with a Tier 2 framework due
to the inclusion of knowledge qualifiers without clawback
provision, limited life of the rep provider and weak enforcement
mechanism. CVI CVF III Lux Master S.a.r.l., as rep provider, will
only be obligated to repurchase a loan due to breaches prior to the
payment date in July 2019. Thereafter, a reserve fund will be
available to cover amounts due to noteholders for loans identified
as having material rep breaches. Fitch applied a breach reserve
account credit to account for the initial deposit, which lowered
Fitch's loss expectations by approximately 25bps.
For 50 loans that are seasoned less than 24 months, Fitch viewed
the framework as Tier 3 because the reps related to the origination
and underwriting of the loan, which are typically expected for
newly originated loans, were not included. Thus, Fitch increased
its 'AAAsf' loss expectations by approximately 267bps to account
for a potential increase in defaults and losses arising from
weaknesses in the reps.
No Servicer P&I Advances (Neutral): The servicers will not advance
delinquent monthly payments of P&I, which reduces liquidity to the
trust. However, as P&I advances made on behalf of loans that become
delinquent and eventually liquidate reduce liquidation proceeds to
the trust, the loan-level LS is less for this transaction than for
those where the servicer is obligated to advance P&I. Structural
provisions and cash flow priorities, together with increased
subordination, provide for timely payments of interest to the
'AAAsf' and 'AAsf' rated classes.
Timing of Recordation and Document Remediation (Neutral): A review
to confirm that the mortgage and subsequent assignments were
recorded in the relevant local jurisdiction was performed. The
review confirmed that all mortgages and subsequent assignments were
recorded in the relevant local jurisdiction or were being
recorded.
While the expected timelines for recordation and remediation are
viewed by Fitch as reasonable, the obligation of CVI CVF III Lux
Master S.a.r.l. to repurchase loans, for which assignments are not
recorded and endorsements are not completed by the payment date in
May 2019, aligns the issuer's interests regarding completing the
recordation process with those of noteholders. While there will not
be an asset manager in this transaction, the indenture trustee will
review the custodian reports. The indenture trustee will request
CVI CVF III Lux Master S.a.r.l. to purchase any loans with
outstanding assignment and endorsement issues two days prior to the
July 2019 payment date.
Solid Alignment of Interest (Positive): The sponsor, Mill City
Holdings, LLC, will acquire and retain a 5% interest in each class
of the securities to be issued. In addition, the rep provider is an
indirect owner of the sponsor.
CRITERIA APPLICATION
Fitch analyzed the transaction in accordance with its criteria, as
described in its report "U.S. RMBS Rating Criteria." This
incorporates a review of the originators' lending platforms, as
well as an assessment of the transaction's R&Ws provided by the
originators and arranger, which were found to be consistent with
the ratings assigned to the certificates.
Fitch's analysis incorporated one criteria variation from "U.S.
RMBS Rating Criteria" and one criteria variation from "U.S. RMBS
Seasoned, Re-Performing and Non-Performing Loan Rating Criteria".
The variation to the "U.S. RMBS Rating Criteria" relates to 50
loans (approximately 4.6% by balance) in the pool that are seasoned
less than 24 months and considered newly originated. On average,
these loans are approximately 19 months seasoned. The due diligence
scope for these loans was not consistent with Fitch's scope for
newly originated loans. Fitch is comfortable with the due diligence
that was completed on these loans as the loans made up a small
percentage of the pool. In addition, conservative assumptions were
made on the collateral analysis for these loans.
The variation to the "U.S. RMBS Seasoned, Re-Performing and
Non-Performing Loan Rating Criteria" relates to tax and title
search for approximately 69% of the pool conducted over six-months
before the cut-off date. A report from a third-party vendor to
confirm the status of any delinquent property taxes, HOA and muni
liens has been ordered but not received as of the assignment of
expected ratings. Fitch expects to receive and review the report
prior to the assignment of final ratings and that the transaction
documents addressing all unpaid property taxes, HOA or muni liens
found through the third party will provide for them to be cured
within the allotted time period noted on page 10 in the Tax and
Title Review table or for the loans to otherwise be repurchased.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the metropolitan statistical area (MSA) and
national levels. The implied rating sensitivities are only an
indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to or be
considered in the surveillance of the transaction.
Fitch conducted sensitivity analysis determining how the ratings
would react to steeper MVDs at the national level. The analysis
assumes MVDs of 10%, 20% and 30%, in addition to the
model-projected 5.7% at the base case. The analysis indicates there
is some potential rating migration with higher MVDs, compared with
the model projection.
Fitch also conducted sensitivities to determine the stresses to
MVDs that would reduce a rating by one full category, to
non-investment-grade, and to 'CCCsf'.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Meridian Asset Services (Meridian), Clayton Services
LLC, and AMC Diligence, LLC (AMC)/JCIII & Associates, Inc. (JCIII).
The third-party due diligence described in Form 15E focused on:
regulatory compliance, pay history, the presence of key documents
in the loan file and data integrity. In addition, Meridian was
retained to perform an updated title and tax search, as well as a
review to confirm that the mortgages were recorded in the relevant
local jurisdiction and the related assignment chains.
Loss adjustments were applied to 475 loans in total. Of this, 126
loans have indeterminate HUD1s with final 'C' or 'D' grades,
material violations or lack loan documentation confirming
compliance. The remainder of the other 'C' or 'D' grades reflects
nonmaterial violations such as HUD deficiencies, state specific
issues where the TPR could not confirm that certain disclosures
were provided to the borrowers, late charge discrepancies and loans
that were tested but were not subject to such testing. Fitch does
not expect these violations to invalidate the note. However, they
could be used as a defense to foreclosure and could delay the
foreclosure process. To mitigate this risk, Fitch assumed a 100% LS
for loans in the states that fall under Freddie Mac's 'do not
purchase' list of high cost or 'high risk.'
104 of 393 loans without a compliance review are 1st lien mortgages
and a 100% LS adjustment was applied. This had an impact of roughly
100bps at the 'AAAsf' expected loss levels. The remaining loans not
reviewed for compliance are 2nd lien mortgages that were originated
and previously securitized by Flagstar in transactions that were
later collapsed. Carval acquired these loans in a larger pool of
Flagstar originated collateral, and reviewed a 10% sample for
compliance. MCMLT 2018-2 includes 73 2nd liens that were part of
that Flagstar acquisition and were reviewed for due diligence. The
diligence results for this subset indicate good loan quality.
Additionally, the pay histories for the non-reviewed Flagstar loans
indicate that only one loan has been delinquent within the past 6
months and only 24 loans have ever been delinquent since the
acquisition. Fitch applied a 200% LS adjustment to non-reviewed 2nd
liens located in the 14 states where Freddie Mac does not purchase
high-cost mortgages despite the presence of the diligence and
paystring analysis; however, no additional adjustments were applied
to the remaining non-reviewed loans, as a 100% LS is already
applied for 2nd lien loans.
Substantially all loans not covered by the tax and title lien
search were 2nd lien mortgages. No additional adjustments are
recommended to compensate for the missing tax and title searches
since 100% LS is already applied to all 2nd liens.
There were 184 loans missing modification documents or a signature
on modification documents. For these loans, timelines were extended
by an additional three months, in addition to the six-month
timeline extension applied to the entire pool.
A servicing comment review was not performed for the 36 delinquent
loans. As such, Fitch assumed a 100% PD for these loans.
This transaction includes 13 loans that were identified as a
potential ATR risk. The loans were 1st lien fixed rate mortgages
with clean pay history since origination. Fitch applied a 300% LS
to three loans which were underwritten to non-full documentation
standards.
ML-CFC COMMERCIAL 2006-3: Moody's Cuts Class D Debt Rating to Ca
----------------------------------------------------------------
Moody's Investors Service downgrades one and affirms two classes of
ML-CFC Commercial Mortgage Trust 2006-3 as follows:
Cl. D, Downgraded to Ca (sf); previously on Aug 4, 2017 Affirmed
Caa3 (sf)
Cl. E, Affirmed C (sf); previously on Aug 4, 2017 Affirmed C (sf)
Cl. XC, Affirmed C (sf); previously on Aug 4, 2017 Affirmed C (sf)
RATINGS RATIONALE
The rating on Cl. D was downgraded due to an increase in
anticipated losses from specially serviced loans. Specially
serviced loans now represent 84.4% of the deal.
The rating on Cl. E was affirmed due to Moody's expected plus
realized loss. Cl. E has already experienced over a 99% realized
loss based on its original balance.
The rating on IO Class, Cl. XC, was affirmed based on the credit
performance of its referenced classes.
Moody's rating action reflects a base expected loss of 81.9% of the
current balance, compared to 36.9% at Moody's last review. Moody's
base expected loss plus realized losses is now 8.4% of the original
pooled balance, compared to 8.2% at Moody's last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating ML-CFC Commercial Mortgage
Trust 2006-3, Cl. D and Cl. E was "Moody's Approach to Rating Large
Loan and Single Asset/Single Borrower CMBS" published in July 2017.
The methodologies used in rating ML-CFC Commercial Mortgage Trust
2006-3, Cl. XC were "Moody's Approach to Rating Large Loan and
Single Asset/Single Borrower CMBS" published in July 2017 and
"Moody's Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the May 14, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 98.7% to $31.2
million from $2.43 billion at securitization. The certificates are
collateralized by five mortgage loans ranging in size from less
than 1% to 69.5% of the pool.
Forty-six loans have been liquidated from the pool, resulting in an
aggregate realized loss of $178.8 million (for an average loss
severity of 46.6%). Two loans, constituting 84.4% of the pool, are
currently in special servicing. The largest specially serviced loan
is the Walnut Hill Plaza loan ($21.6 million -- 69.5% of the pool),
which is secured by a Sears anchored retail center located in
Woonsocket, RI, approximately 15 miles north of Providence. This
loan transferred to special servicing in June 2013 and has been REO
since April 2014. The property was 78% leased as of March 2018,
compared to 81% in May 2017 and 63% in June 2016. Additionally, the
two largest tenants (Sears and Savers) have previously announced
plans to vacate the property. Moody's anticipates a significant
loss on this loan.
The other specially serviced loan is secured by a retail center in
Las Vegas, NV.
The three non-specially serviced loans represent 15.6% of the pool
balance. The largest is The Park at Heritage Greene Apartments Loan
($2.5 million -- 8.1% of the pool), which is secured by a 109 unit
garden style multifamily property located in Atlanta, Georgia. The
property was 99% occupied as of March 2017 with only one vacant
unit as compared to 100% in year-end December 2016. The loan is
scheduled to mature in July 2024. Moody's LTV and stressed DSCR are
74.6% and 1.38X, respectively.
The second largest loan is the Shepard Center Loan ($1.4 million --
4.6% of the pool), which is secured by a 7,800 SF retail property
located in Houston, Texas. The property was 84% leased as of March
2018. The loan is scheduled to mature in August 2021 and Moody's
LTV and stressed DSCR are 69.6% and 1.63X, respectively.
The third largest loan is The Park Whispering Pines Loan ($905,693
-- 2.9% of the pool), which is secured by a 40 unit multifamily
property located in Conway, Arkansas approximately 33 miles north
of Little Rock. The property was 100% occupied as of year-end
December 2016. The loan is scheduled to mature in June 2024 and
Moody's LTV and stressed DSCR are 85.2% and 1.14X, respectively.
MORGAN STANLEY 2000-PRIN: Moody's Affirms B2 Rating on Class X Debt
-------------------------------------------------------------------
Moody's Investors Service has affirmed the rating on one interest
only class in Morgan Stanley Dean Witter Capital I Trust 2000-PRIN
as follows:
Cl. X, Affirmed B2 (sf); previously on Jun 15, 2017 Affirmed B2
(sf)
RATINGS RATIONALE
The rating on the IO class, Cl. X, was affirmed based on the credit
quality of the referenced classes. The IO class is the only
outstanding Moody's rated class in this transaction.
Moody's does not anticipate losses from the remaining collateral in
the current environment. However, over the remaining life of the
transaction, losses may emerge from macro stresses to the
environment and changes in collateral performance. Moody's ratings
reflect the potential for future losses under varying levels of
stress. Moody's base expected loss plus realized losses is now 0.1%
of the original pooled balance, unchanged from the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
An IO class may be subject to ratings upgrades if there is an
improvement in the credit quality of its referenced classes,
subject to the limits and provisions of the updated IO
methodology.
An IO class may be subject to ratings downgrades if there is (i) a
decline in the credit quality of the reference classes and/or (ii)
paydowns of higher quality reference classes, subject to the limits
and provisions of the updated IO methodology.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in rating Morgan Stanley Dean Witter Capital
I Trust 2000-PRIN, Cl. X were "Moody's Approach to Rating Large
Loan and Single Asset/Single Borrower CMBS" published in July 2017
and "Moody's Approach to Rating Structured Finance Interest-Only
(IO) Securities" published in June 2017.
DEAL PERFORMANCE
As of the May 23, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $8.2 million
from $598 million at securitization. The certificates are
collateralized by seven mortgage loans ranging in size from 2% to
30% of the pool.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 5, unchanged from the prior review.
One loan, constituting 9.1% of the pool, is on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Two loans have been liquidated from the pool, resulting in an
aggregate realized loss of $590,044 (for an average loss severity
of 7%). There are currently no loans in special servicing.
Moody's received full year 2016 operating results for 100% of the
pool, and full or partial year 2017 operating results for 78% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 23%, compared to 28% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 16% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.7%.
Moody's actual and stressed conduit DSCRs are 1.27X and greater
than 4.00X, respectively, compared to 1.31X and greater than 4.00X
at the last review. Moody's actual DSCR is based on Moody's NCF and
the loan's actual debt service. Moody's stressed DSCR is based on
Moody's NCF and a 9.25% stress rate the agency applied to the loan
balance.
The top three conduit loans represent 71% of the pool balance. The
largest loan is the 10900 Research Boulevard Loan ($2.5 million --
30.5% of the pool), which is secured by an approximately 73,900
square foot (SF) portion of an approximately 83,500 SF
grocery-anchored retail center located in Austin, Texas. The
property was 98% leased as of February 2018, compared to 100%
leased as of December 2016. The loan is fully amortizing and has
amortized by 68% since securitization. Moody's LTV and stressed
DSCR are 24% and greater than 4.00X, respectively.
The second largest loan is the Kroger Center Loan ($1.8 million --
21.8% of the pool), which is secured by an approximately 106,000 SF
retail property located in Greensboro, North Carolina. As of
December 2017, the property was 96% leased, compared to 95% in
December 2016. The loan is fully amortizing and has amortized by
67% since securitization. Moody's LTV and stressed DSCR are 21% and
greater than 4.00X, respectively.
The third largest loan is the Randall's Austin Loan (also known as
the Westcreek Shopping Center) ($1.5 million -- 18.5% of the pool),
which is secured by an approximately 81,000 SF retail property
located in Austin, Texas. As of December 2017, the property was
100% occupied, the same as in December 2016. The loan is fully
amortizing and has amortized by 71% since securitization. Moody's
LTV and stressed DSCR are 20% and greater than 4.00X,
respectively.
MORGAN STANLEY 2002-IQ3: Moody's Affirms C Rating on 2 Tranches
---------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class and
affirmed the ratings on three classes in Morgan Stanley Dean Witter
Capital I Trust 2002-IQ3, Commercial Mortgage Pass-Through
Certificates, 2002-IQ3 as follows:
Cl. F, Affirmed Aaa (sf); previously on Jun 15, 2017 Affirmed Aaa
(sf)
Cl. G, Upgraded to Baa1 (sf); previously on Jun 15, 2017 Upgraded
to Baa3 (sf)
Cl. H, Affirmed C (sf); previously on Jun 15, 2017 Affirmed C (sf)
Cl. X-1, Affirmed C (sf); previously on Jun 15, 2017 Affirmed C
(sf)
RATINGS RATIONALE
The rating on Cl. F was affirmed because the transaction's key
metrics, including Moody's loan-to-value (LTV) ratio, Moody's
stressed debt service coverage ratio (DSCR) and the transaction's
Herfindahl Index (Herf), are within acceptable ranges. The rating
on Cl. H was affirmed because the rating is consistent with Moody's
expected loss plus realized losses. Class H has already experienced
an 83% realized loss as result of previously liquidated loans
The rating on Cl. G was upgraded primarily due to an increase in
credit support since Moody's last review, resulting from paydowns
and amortization. The pool has paid down by 32% since Moody's last
review and 99% since securitization.
The rating on the IO class, Cl. X-1, was affirmed based on the
credit quality of the referenced classes.
Moody's rating action reflects a base expected loss of 0.9% of the
current pooled balance, compared to 1.0% at Moody's last review.
Moody's base expected loss plus realized losses is now 4.7% of the
original pooled balance, compared to 4.8% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in rating Morgan Stanley Dean Witter Capital
I Trust 2002-IQ3, Cl. F, Cl. G, and Cl. H were "Approach to Rating
US and Canadian Conduit/Fusion CMBS" published in July 2017 and
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in July 2017. The methodologies used in
rating Morgan Stanley Dean Witter Capital I Trust 2002-IQ3, Cl.X-1
were "Approach to Rating US and Canadian Conduit/Fusion CMBS"
published in July 2017, "Moody's Approach to Rating Large Loan and
Single Asset/Single Borrower CMBS" published in July 2017, and
"Moody's Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the May 15, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $8.7 million
from $909.6 million at securitization. The certificates are
collateralized by 20 mortgage loans ranging in size from 1% to 14%
of the pool, with the top ten loans constituting 74% of the pool.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 14, compared to 16 at Moody's last review.
Seven loans, constituting 36% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Nine loans have been liquidated from the pool, resulting in an
aggregate realized loss of $42.6 million (for an average loss
severity of 52%). No loans are currently in special servicing.
Moody's received full year 2016 operating results for 95% of the
pool, and full or partial year 2017 operating results for 85% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 21%, compared to 28% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 16% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 10.1%.
Moody's actual and stressed conduit DSCRs are 1.43X and 6.31X,
respectively, compared to 1.40X and 4.84X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 33% of the pool balance. The
largest loan is the Homewood Plaza Loan ($1.21 million -- 14% of
the pool), which is secured by a 53,000 square feet (SF) office
property in Homewood, Alabama. The property was 95% leased as of
September 2017, unchanged from December 2016. The fully-amortizing
loan matures in September 2022 and has amortized 64% since
securitization. Moody's LTV and stressed DSCR are 22% and 4.87X,
respectively.
The second largest loan is the 4051 Douglas Boulevard Loan
($913,799 -- 10.5% of the pool), which is secured by a 14,490 SF
single tenant retail property in Granite Bay, California. The
property is 100% leased to Walgreens through September 2022. The
fully-amortizing loan matures in October 2022 and has amortized 63%
since securitization. Moody's LTV and stressed DSCR are 34% and
3.32X, respectively.
The third largest loan is the Town Center Lakeside Loan ($751,341
-- 8.7% of the pool), which is secured by a 14,599 SF retail
property located in Sugarland, Texas that was built in 2001. As of
December 2017, the property was 100% occupied. The fully-amortizing
loan matures in October 2022 and has amortized 65% since
securitization. Moody's LTV and stressed DSCR are 27% and 4.18X,
respectively.
MORGAN STANLEY 2005-IQ9: S&P Cuts Class D Certs Rating to BB+(sf)
-----------------------------------------------------------------
S&P Global Ratings lowered its ratings on five classes of
commercial mortgage pass-through certificates from Morgan Stanley
Capital I Trust 2005-IQ9, a U.S. commercial mortgage-backed
securities (CMBS) transaction. In addition, S&P raised its rating
on class B and affirmed its ratings on five other classes from the
same transaction.
S&P said, "For the upgrade and affirmations, our credit enhancement
expectation was in line with the raised or affirmed rating levels.
The upgrade also reflects the reduced trust balance.
"While available credit enhancement levels may suggest a positive
rating movement on class C, our analysis considered the liquidation
proceeds, resolution timing, and susceptibility to reduced
liquidity support from the sole specially serviced loan, the
Central Mall loan, which represents 72.4% of the pool balance.
"The downgrades on classes D, E, F, G, and H reflect our
expectation of further reduction in liquidity support from the
specially serviced Central Mall loan ($110.4 million, 72.4%).
Specifically, we lowered our ratings to 'CCC (sf)' on classes E, F,
G, and H and affirmed our 'CCC (sf)' rating on class J because we
considered that the timely interest payments and ultimate principal
repayments of these classes depended upon favorable business,
financial, and economic conditions, and are vulnerable to default.
Our rating actions reflect the classes' susceptibility to liquidity
interruptions as well as credit support erosion that we anticipate
will occur upon the eventual resolution of the specially serviced
Central Mall loan. Our analysis considered the loan's low reported
overall debt service coverage (DSC) of 1.10x as of year-end 2017,
down from 1.24x as of year-end 2016, and the potential for the DSC
to decline below 1.00x as well as the revised aggregated February
2018 appraisal values, which were 66.8% below the combined
appraisal values at origination.
"We affirmed our 'AAA (sf)' ratings on the class X-1 and X-Y
interest-only (IO) certificates based on our criteria for rating IO
securities."
TRANSACTION SUMMARY
As of the May 15, 2018, trustee remittance report, the collateral
pool balance was $152.5 million, which is 10.0% of the pool balance
at issuance. The pool includes 38 loans, down from 241 loans at
issuance. One loan is with the special servicer, three ($9.4
million, 6.2%) are defeased, 10 ($8.7 million, 5.7%) are on the
master servicer's watchlist and four ($2.3 million, 1.5%) are
residential cooperative mortgage loans.
S&P said, "We calculated a 1.38x S&P Global Ratings weighted
average DSC and 40.2% S&P Global Ratings weighted average
loan-to-value (LTV) ratio using a 7.56% S&P Global Ratings weighted
average capitalization rate. The DSC, LTV, and capitalization rate
calculations exclude the sole specially serviced loan, the three
defeased loans and, one loan ($4.0 million, 2.6%) that we
understand from the master servicer to have repaid in full
subsequent to the May 2018 trustee remittance report. The top 10
nondefeased loans have an aggregate outstanding pool trust balance
of $131.7 million (86.3%). Using adjusted servicer-reported
numbers, we calculated an S&P Global Ratings' weighted average DSC
and LTV of 1.36x and 45.1%, respectively, for eight of the top 10
nondefeased loans. The largest loan in the pool is specially
serviced (discussed below) and the other top 10 loan has repaid in
full.
"To date, the transaction has experienced $29.8 million in
principal losses, or 1.9% of the original pool trust balance. We
expect losses to reach approximately 5.8% 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 loan."
CREDIT CONSIDERATIONS
As of the May 15, 2018, trustee remittance report, the Central Mall
loan was the only loan in the trust with the special servicer,
C-III Asset Management LLC (C-III). The loan is the largest
nondefeased loan in the pool and has a total reported exposure of
$110.6 million. The loan is secured by three regional shopping
centers known as "Central Mall" totaling 1.75 million sq. ft. in
Texas and Oklahoma. The Central Mall – Texarkana, TX property
totaled 686,823-sq.-ft. and had a reported 64.9% occupancy as of
the Feb. 28, 2018, rent roll; the Central Mall – Lawton, OK
property totaled 526,059-sq.-ft. and reported occupancy was 70.9%
as of the Feb. 28, 2018, rent roll; and the Central Mall – Port
Arthur, TX property totaled 706,161-sq.-ft. (of which 539,791 sq.
ft. is collateral) and reported occupancy on the mall was 89.0% as
of the Feb. 28, 2018, rent roll. The loan, which has a reported
current payment status, was transferred to the special servicer on
Dec. 20, 2017, due to imminent maturity default. The borrower sent
a hardship letter stating that the loan would not be repaid by its
June 5, 2018, maturity date because of declining occupancies and
cash flows at the three retail mall properties. C-III stated that
it is pursuing foreclosure. Based on the revised 2018 appraisal
values for the three malls, S&P expects a moderate loss (between
26%-59%) upon its eventual resolution.
RATINGS LIST
Morgan Stanley Capital I Trust 2005-IQ9
Commercial mortgage pass-through certificates series 2005-IQ9
Rating
Class Identifier To From
A-J 61745M2H5 AAA (sf) AAA (sf)
B 61745M2J1 AA (sf) AA- (sf)
C 61745M2K8 A+ (sf) A+ (sf)
D 61745M2L6 BB+ (sf) BBB+ (sf)
E 61745M2M4 CCC (sf) BBB (sf)
F 61745M2N2 CCC (sf) BBB- (sf)
G 61745M2P7 CCC (sf) BB (sf)
H 61745M2Q5 CCC (sf) CCC+ (sf)
J 61745M2U6 CCC (sf) CCC (sf)
X-1 61745M2R3 AAA (sf) AAA (sf)
X-Y 61745M2T9 AAA (sf) AAA (sf)
MORGAN STANLEY 2007-TOP25: Moody's Affirms CC Rating on Cl. C Debt
------------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Morgan Stanley Capital I
Trust 2007-TOP25 (MSCI 2007-TOP25) commercial mortgage pass-through
certificates.
KEY RATING DRIVERS
The affirmations reflect stable loss expectations relative to
credit enhancement of the remaining classes. As of the May 2018
distribution date, the pool's aggregate principal balance has been
reduced by 92.1% to $123.5 million from $1.55 billion at issuance.
Since the last rating action in 2017, the transaction received
minimal pay down of approximately $8.6 million from amortization
and the full payoff of two loans. No losses were realized over the
period.
Pool Concentration: Only 11 of the original 204 loans remain in the
pool. Further, the largest loan, the specially serviced, Shoppes at
Park Place, comprises 57.5% of the pool. A significant percentage
of the remaining loans are secured by retail properties (87.1% of
the pool). Due to the concentrated nature of the pool, Fitch
performed a sensitivity analysis that grouped the remaining loans
based on loan structural features, collateral quality, and
performance, then ranked them by the perceived likelihood of
repayment. This included specially serviced assets, a small
defeased loan, fully amortizing loans, and performing loans with
binary performance risk. The ratings reflect this sensitivity
analysis.
Loans of Concern: A majority of the loans in the pool are
considered Fitch Loans of Concern at 77.9%, including 73.9% in
special servicing.
Shoppes at Park Place: The largest remaining loan in the pool
transferred to special servicing in January 2017 due to maturity
default. The interest-only loan is secured by a 325,270 sf retail
center located in Pinellas Park, FL. The property, which was
constructed in 2006, has a mix of national retailers, including
Regal Cinemas (22.4% of the NRA through 2021), American Signature
Furniture (15.4% through 2021), Marshalls (9.2% through 2021), and
Michaels (6.6% through 2026). The property is shadow anchored by
Target and Home Depot.
The servicer reported YE 2016 NOI DSCR was 1.32x. As of the April
2018 rent roll, occupancy remained high at 97.5%. Approximately 7%
of the NRA was scheduled to roll over the next year, including
Petco (4%; expiry December 2018).
The special servicer is moving forward with foreclosure. A
substantial recovery is expected on this loan based on the most
recently provided valuation.
RATING SENSITIVITIES
The Stable Outlook on class A-J reflects the sufficient credit
enhancement to the class and strong recovery expectations for the
largest loan in the pool. Further upgrade to the class is unlikely
due to the portfolio's concentration, adverse selection and
significant percentage of Fitch Loans of Concern. The distressed
classes B and C may be subject to further rating actions depending
on the ultimate recoveries for the specially serviced loans.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
-- $67.8 million class A-J at 'Bsf'; Outlook Stable;
-- $27.2 million class B at 'CCCsf'; RE 65%.
-- $11.7 million class C at 'CCsf'; RE 0%;
-- $16.8 million class D at 'Dsf'; RE 0%;
-- $0 class E at 'Dsf'; RE 0%;
-- $0 class F at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%.
The class A-1, A-1A, A-2, A-3, A-AB and A-M certificates have paid
in full. Fitch does not rate the class P certificates. Fitch
previously withdrew the rating on the interest-only class X
certificates.
MORGAN STANLEY 2012-C5: Moosy's Affirms B2 Rating on Class H Certs
------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on 14 classes in
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5,
Commercial Mortgage Pass-Through Certificates, Series 2012-C5 as
follows:
Cl. A-3, Affirmed Aaa (sf); previously on Jun 15, 2017 Affirmed Aaa
(sf)
Cl. A-4, Affirmed Aaa (sf); previously on Jun 15, 2017 Affirmed Aaa
(sf)
Cl. A-S, Affirmed Aaa (sf); previously on Jun 15, 2017 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa2 (sf); previously on Jun 15, 2017 Affirmed Aa2
(sf)
Cl. C, Affirmed A2 (sf); previously on Jun 15, 2017 Affirmed A2
(sf)
Cl. D, Affirmed Baa1 (sf); previously on Jun 15, 2017 Affirmed Baa1
(sf)
Cl. E, Affirmed Baa3 (sf); previously on Jun 15, 2017 Affirmed Baa3
(sf)
Cl. F, Affirmed Ba2 (sf); previously on Jun 15, 2017 Affirmed Ba2
(sf)
Cl. G, Affirmed Ba3 (sf); previously on Jun 15, 2017 Affirmed Ba3
(sf)
Cl. H, Affirmed B2 (sf); previously on Jun 15, 2017 Affirmed B2
(sf)
Cl. PST, Affirmed Aa3 (sf); previously on Jun 15, 2017 Affirmed Aa3
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on Jun 15, 2017 Affirmed Aaa
(sf)
Cl. X-B, Affirmed Aa2 (sf); previously on Jun 15, 2017 Affirmed Aa2
(sf)
Cl. X-C, Affirmed B2 (sf); previously on Jun 15, 2017 Affirmed B2
(sf)
RATINGS RATIONALE
The ratings on the P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on the IO classes were affirmed based on the credit
quality of the referenced classes.
The rating on Class PST was affirmed due to the weighted average
rating factor (WARF) of the exchangeable classes.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in rating Morgan Stanley Bank of America
Merrill Lynch Trust 2012-C5, Cl. A-3, Cl. A-4, Cl. A-S, Cl. B, Cl.
C, Cl. D, Cl. E, Cl. F, Cl. G, and Cl. H were "Approach to Rating
US and Canadian Conduit/Fusion CMBS" published in July 2017 and
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in July 2017. The principal methodology
used in rating Morgan Stanley Bank of America Merrill Lynch Trust
2012-C5, Cl. PST was "Moody's Approach to Rating Repackaged
Securities" published in June 2015. The methodologies used in
rating Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5,
Cl. X-A, Cl. X-B, and Cl. X-C were "Approach to Rating US and
Canadian Conduit/Fusion CMBS" published in July 2017, "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017, and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities"published in June
2017.
DEAL PERFORMANCE
As of the May 17, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 24% to $1.02 billion
from $1.35 billion at securitization. The certificates are
collateralized by 65 mortgage loans ranging in size from less than
1% to 16% of the pool, with the top ten loans (excluding
defeasance) constituting 58% of the pool. One loan, constituting
just under 10% of the pool, has an investment-grade structured
credit assessment. Four loans, constituting 3% of the pool, have
defeased and are secured by US government securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 17, compared to 18 at Moody's last review.
Eight loans, constituting 11% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance. There are no loans in special servicing.
Moody's received full year 2016 operating results for 100% of the
pool, and full or partial year 2017 operating results for 100% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 95%, essentially unchanged from
Moody's last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 16.7% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.6%.
Moody's actual and stressed conduit DSCRs are 1.45X and 1.13X,
respectively, compared to 1.47X and 1.12X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The loan with a structured credit assessment is the Silver Sands
Factory Stores Loan ($100 million -- 9.8% of the pool), which is
secured by a 442,000 square foot retail outlet center located in
Miramar, Florida. The center is currently known as "Silver Sands
Premium Outlets". As of September 2017 the property was 92%
occupied, unchanged from December 2016. The loan is interest-only
for the full loan term. Moody's structured credit assessment and
stressed DSCR are a2 (sca.pd) and 1.43X, respectively.
The top three conduit loans represent 31% of the pool balance. The
largest loan is the Legg Mason Tower Loan ($161 million -- 16% of
the pool), which is secured by a 24-story, Class A office tower
located in Baltimore, Maryland. The property was 91% occupied as of
December 2017. Lead tenant Legg Mason occupies approximately 61% of
the building's net rentable area (NRA) under a lease set to expire
in August 2024. The loan metrics benefit from amortization. Moody's
LTV and stressed DSCR are 87% and 1.11X, respectively, compared to
90% and 1.08X at the last review.
The second largest loan is the US Bank Tower Loan ($81 million --
8% of the pool), which is secured by a 26-story, 520,000 square
foot office tower located in Denver, Colorado. The property was 84%
occupied as of December 2017, compared to 85% the prior year and
89% at securitization. Lead tenant US Bank is in the midst of a
space reduction to 96,000 square feet (19% of the property NRA)
from 168,000 square feet (32% of NRA) to be completed by January
2019. The reduction is part of a lease agreement which extended US
Bank's tenancy at the property from December 2016 until June 2028.
Second-largest tenant Liberty Oilfield Services signed a new lease
for 13% of the NRA which commenced in May 2017, helping to mitigate
the impact of the US Bank space reduction. The loan metrics benefit
from amortization. Moody's LTV and stressed DSCR are 125% and
0.80X, respectively, compared to 127% and 0.78X at the last
review.
The third largest loan is the Hamilton Town Center Loan ($80
million -- 8% of the pool), which is secured by a 494,000 square
foot collateral portion of a retail lifestyle center located in
Noblesville, Indiana, a suburb of Indianapolis. Tenants at the
property include Dick's Sporting Goods, Stein Mart, and Bed Bath
and Beyond. Non-collateral anchors include JC Penney and an IMAX
movie theater. The property was 91% occupied as of September 2017.
The loan metrics benefit from amortization. Moody's LTV and
stressed DSCR are 89% and 1.18X, respectively, compared to 91% and
1.16X at the last review.
MORGAN STANLEY 2018-H3: Fitch to Rate Class G-RR Certs 'B-sf'
-------------------------------------------------------------
Fitch Ratings has issued a presale report on Morgan Stanley Capital
I Trust 2018-H3 Commercial Mortgage Pass-Through Certificates.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $24,170,000,000 class A-1 'AAAsf'; Outlook Stable;
-- $62,010,000 class A-2 'AAAsf'; Outlook Stable;
-- $39,360,000 class A-SB 'AAAsf'; Outlook Stable;
-- $38,050,000 class A-3 'AAAsf'; Outlook Stable;
-- $250,000,000d class A-4 'AAAsf'; Outlook Stable;
-- $303,376,000d class A-5 'AAAsf'; Outlook Stable;
-- $716,966,000a class X-A 'AAAsf'; Outlook Stable;
-- $135,712,000a class X-B 'A-sf'; Outlook Stable;
-- $90,902,000 class A-S 'AAAsf'; Outlook Stable;
-- $44,810,000 class B 'AA-sf'; Outlook Stable;
-- $43,530,000 class C 'A-sf'; Outlook Stable;
-- $30,727,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $30,727,000b class D 'BBB-sf'; Outlook Stable;
-- $20,485,000bc class E-RR 'BBB-sf'; Outlook Stable;
-- $24,326,000bc class F-RR 'BB-sf'; Outlook Stable;
-- $10,242,000bc class G-RR 'B-sf'; Outlook Stable.
The following classes are not expected to be rated by Fitch:
-- $16,644,000bc class H-RR;
-- $25,606,358bc class J-RR.
(a) Notional amount and interest-only.
(b) Privately placed and pursuant to Rule 144A.
(c) Horizontal credit risk retention interest representing no less
than 5% of the estimated fair value of all classes of regular
certificates issued by the issuing entity as of the closing date.
(d) The initial certificate balances of Class A-4 and Class A-5 are
unknown but expected to be approximately $553,376,000 in the
aggregate. The certificate balances will be determined based on the
final pricing of those classes of certificates. The expected range
of certificate balances for Class A-4 is 150,000,000 to
$350,000,000. The expected range of certificate balances for Class
A-5 is $203,376,000 to $403,376,000. Fitch's certificate balances
for classes A-4 and A-5 are assumed at the midpoint of the range
for each class.
The expected ratings are based on information provided by the
issuer as of June 15, 2018.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 66 loans secured by 120
commercial properties having an aggregate principal balance of
$1,024,238,359 as of the cut-off date. The loans were contributed
to the trust by Morgan Stanley Mortgage Capital Holdings LLC,
KeyBank National Association, Argentic Real Estate Finance LLC,
Starwood Mortgage Funding III LLC, Bank of America, National
Association and Citi Real Estate Funding Inc.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 66.0% of the properties
by balance, cash flow analysis of 76.2%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Higher Fitch Leverage Relative to Recent Transactions: The pool's
leverage is higher than that of recent Fitch-rated multiborrower
transactions. The pool's Fitch DSCR of 1.16x is below the YTD 2018
and 2017 averages of 1.25x and 1.26x, respectively. The pool's
Fitch LTV of 107.2% is higher than the YTD 2018 and 2017 averages
of 103.8% and 101.6%, respectively. There are no loans with
investment-grade credit opinions in the pool. The average
investment-grade credit opinion loan concentration for the YTD 2018
is 9.91%.
Low Pool Concentration: This pool is more diverse by loan size than
average. The top-10 loans represent 43.7% of the pool by balance.
This is well below the YTD 2018 and 2017 averages of 51.2% and
53.1%, respectively. The pool's LCI is 288 and SCI is 298.
Comparatively, the YTD 2018 average LCI score is 379 and the YTD
2018 average SCI score is 415.
Limited Amortization: There are 27 loans (54.0% of the pool) that
are full-term interest-only and 21 loans (23.1%) that are partial
interest-only. Based on the scheduled balance at maturity, the pool
will pay down by 6.4%, which is below the YTD 2018 average of 7.4%
and the 2017 average of 7.9%.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 11.2% below
the most recent year's net operating income (NOI) for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period. Unanticipated further declines
in property-level NCF could result in higher defaults and loss
severities on defaulted loans and in potential rating actions on
the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the MSC
2018-H3 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'BBB+sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BB+sf'
could result.
MOUNTAIN VIEW CLO IX: Moody's Gives (P)B3 Rating on Class E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to seven
classes of CLO refinancing notes to be issued by Mountain View CLO
IX Ltd.
Moody's rating action is as follows:
US$5,000,000 Class X Senior Secured Floating Rate Notes due 2031
(the "Class X Notes"), Assigned (P)Aaa (sf)
US$355,000,000 Class A-1-R Senior Secured Floating Rate Notes due
2031 (the "Class A-1-R Notes"), Assigned (P)Aaa (sf)
US$62,000,000 Class A-2-R Senior Secured Floating Rate Notes due
2031 (the "Class A-2-R Notes"), Assigned (P)Aa2 (sf)
US$30,500,000 Class B-R Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class B-R Notes"), Assigned (P)A2 (sf)
US$30,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C-R Notes"), Assigned (P)Baa3 (sf)
US$27,300,000 Class D-R Junior Secured Deferrable Floating Rate
Notes due 2031 (the "Class D-R Notes"), Assigned (P)Ba3 (sf)
US$8,250,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class E Notes"), Assigned (P)B3 (sf)
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
Seix Investment Advisors LLC manages the CLO. It directs the
selection, acquisition, and disposition of collateral on behalf of
the Issuer.
RATINGS RATIONALE
Moody's provisional ratings on the Refinancing Notes address the
expected losses posed to noteholders. The provisional ratings
reflect the risks due to defaults on the underlying portfolio of
assets, the transaction's legal structure, and the characteristics
of the underlying assets.
The Issuer intends to issue the Refinancing Notes on June 26, 2018
in connection with the refinancing of all classes of the secured
notes previously issued on June 25, 2015. On the Refinancing Date,
the Issuer will use proceeds from the issuance of the refinancing
to redeem in full the Refinanced Original Notes.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; and changes to the
overcollateralization test levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Performing par and principal proceeds balance: $549,225,000
Defaulted par: $5,547,673
Diversity Score: 80
Weighted Average Rating Factor (WARF): 2900
Weighted Average Spread (WAS): 3.50%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 47.5%
Weighted Average Life (WAL): 9 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.
NATIXIS COMMERCIAL 2018-FL1: S&P Gives (P)B Rating on NHP2 Certs
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Natixis
Commercial Mortgage Securities Trust 2018-FL1's $370.2 million
commercial mortgage pass-through certificates.
The certificate issuance is a commercial mortgage-backed securities
transaction backed by five floating-rate commercial mortgage loans
secured by the fee and leasehold interests, or both, in 42
properties across 20 states, with an aggregate principal balance of
$370.2 (of which $292.9 million will be pooled).
The preliminary ratings are based on information as of June 14,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect the credit support provided by the
transaction structure, our view of the underlying collateral's
economics, the trustee-provided liquidity, the collateral pool's
relative diversity, and our overall qualitative assessment of the
transaction.
PRELIMINARY RATINGS ASSIGNED
Natixis Commercial Mortgage Securities Trust 2018-FL1
Class Rating(i) Amount
(mil. $)
A(ii) AAA (sf) 174,270,000
X-CP(ii) BBB- (sf) 292,932,099(iii)
X-EXT(ii) BBB- (sf) 292,932,099(iii)
X-F(ii) BBB- (sf) 292,932,099(iii)
B(ii) AA- (sf) 45,070,000
C(ii) A- (sf) 33,730,000
D(ii) BBB- (sf) 39,862,099
MCR1(ii)(iv) BB- (sf) 13,470,000
MCR2(ii)(iv) B- (sf) 10,810,000
X-FMC(ii)(iv) B- (sf) 24,280,000(iii)
WAN1(ii)(iv) BB- (sf) 11,690,000
WAN2(ii)(iv) B- (sf) 10,428,065
X-FWB(ii)(iv) B- (sf) 22,118,065(iii)
NHP1(ii)(iv) BB- (sf) 16,690,000
NHP2(ii)(iv) B (sf) 8,830,000
X-FNH(ii)(iv) B (sf) 25,520,000(iii)
ORP1(ii)(iv) BB- (sf) 1,640,000
ORP2(ii)(iv) B- (sf) 580,000
ORP3(ii)(iv) NR 3,085,696
X-FOP(ii)(iv) NR 5,305,696(iii)
V-P(i)(v) BBB- (sf) 0
V-XF(i)(v) BBB- (sf) 0(iii)
V-NHP(i)(v) B (sf) 0
V-FNH(i)(v) B (sf) 0(iii)
V-MCR(i)(v) B- (sf) 0
V-FMC(i)(v) B- (sf) 0(iii)
V-WAN(i)(v) B- (sf) 0
V-FWB(i)(v) B- (sf) 0(iii)
V-ORP(i)(v) NR 0
V-FOP(i)(v) NR 0(iii)
(i)The certificates will be issued to qualified institutional
buyers according to Rule 144A of the Securities Act of 1933.
(ii)Exchangeable class. The following certificates are
exchangeable: class A, X-CP, X-EXT, B, C, and D can be exchanged
with class V-P, class X-F can be exchanged with class V-XF, class
NHP1 and NHP2 to class V-NHP, class X-FNH to class V-FNH, class
MCR1 and MCR2 to V-MCR, class X-FMC to class V-FMC, class WAN1 and
WAN2 to class V-WAN, class X-FWB to class V-FWB, class ORP1, ORP2,
and ORP3 to class V-ORP, and class X-FOP to class V-FOP.
(iii)Notional balance. The notional balance of the class X-CP,
X-EXT, and X-F certificates will be reduced by the aggregate amount
of principal distributions and realized losses allocated to the
class A, B, C, and D certificates.
(iv)Non-pooled loan-specific certificates. The class MCR1, MCR2,
and X-FMC are tied to the Mission Critical Portfolio loan, the
class WAN1, WAN2, and X-FWB are tied to the Wanamaker Building
loan, class NHP1, NHP2, and X-FNH are tied to the National Select
Service Hotel Portfolio loan, and class ORP1, ORP2, ORP3, and X-FOP
are tied to the Olathe Retail Portfolio loan.
(v)Non-offered exchangeable certificates.
NR--Not rated.
NORTHWOODS CAPITAL XII-B: Moody's Gives (P)B2 to $6MM Class E Debt
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to eight
classes of notes to be issued by Northwoods Capital XII-B,
Limited.
Moody's rating action is as follows:
US$3,500,000 Class X Senior Secured Floating Rate Notes due 2031
(the "Class X Notes"), Assigned (P)Aaa (sf)
US$305,000,000 Class A-1 Senior Secured Floating Rate Notes due
2031 (the "Class A-1 Notes"), Assigned (P)Aaa (sf)
US$77,400,000 Class A-2 Senior Secured Floating Rate Notes due 2031
(the "Class A-2 Notes"), Assigned (P)Aaa (sf)
US$71,700,000 Class B Senior Secured Floating Rate Notes due 2031
(the "Class B Notes"), Assigned (P)Aa2 (sf)
US$31,350,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C Notes"), Assigned (P)A2 (sf)
US$37,350,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class D Notes"), Assigned (P)Baa3 (sf)
US$26,900,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class E Notes"), Assigned (P)Ba3 (sf)
US$6,000,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class F Notes"), Assigned (P)B2 (sf)
The Class X Notes, the Class A-1 Notes, the Class A-2 Notes, the
Class B Notes, the Class C Notes, the Class D Notes, the Class E
Notes and the Class F Notes are referred to herein, collectively,
as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
RATINGS RATIONALE
Moody's provisional ratings of the Rated Notes address the expected
losses posed to noteholders. The provisional ratings reflect the
risks due to defaults on the underlying portfolio of assets, the
transaction's legal structure, and the characteristics of the
underlying assets.
Northwoods Capital XII-B is a managed cash flow CLO. The issued
notes will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 95% of the portfolio must consist
of first lien senior secured loans and up to 5% of the portfolio
may consist of certain non-senior secured loans. Moody's expects
the portfolio to be approximately 89% ramped as of the closing
date.
Angelo, Gordon & Co., L.P. will direct the selection, acquisition
and disposition of the assets on behalf of the Issuer and may
engage in trading activity, including discretionary trading, during
the transaction's five-year reinvestment period. Thereafter, the
Manager may reinvest unscheduled principal payments and proceeds
from sales of credit risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $597,500,000
Diversity Score: 57
Weighted Average Rating Factor (WARF): 2797
Weighted Average Spread (WAS): 3.60%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 47.00%
Weighted Average Life (WAL): 9.20 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
NORTHWOODS CAPITAL XII-B: Moody's Gives B2 Rating on Class F Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
notes issued by Northwoods Capital XII-B, Limited.
Moody's rating action is as follows:
US$3,500,000 Class X Senior Secured Floating Rate Notes due 2031
(the "Class X Notes"), Definitive Rating Assigned Aaa (sf)
US$305,000,000 Class A-1 Senior Secured Floating Rate Notes due
2031 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf)
US$77,400,000 Class A-2 Senior Secured Floating Rate Notes due 2031
(the "Class A-2 Notes"), Definitive Rating Assigned Aaa (sf)
US$71,700,000 Class B Senior Secured Floating Rate Notes due 2031
(the "Class B Notes"), Definitive Rating Assigned Aa2 (sf)
US$31,350,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C Notes"), Definitive Rating Assigned A2
(sf)
US$37,350,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class D Notes"), Definitive Rating Assigned
Baa3 (sf)
US$26,900,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class E Notes"), Definitive Rating Assigned Ba3
(sf)
US$6,000,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class F Notes"), Definitive Rating Assigned B2 (sf)
The Class X Notes, the Class A-1 Notes, the Class A-2 Notes, the
Class B Notes, the Class C Notes, the Class D Notes, the Class E
Notes and the Class F Notes are referred to herein, collectively,
as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
Northwoods Capital XII-B is a managed cash flow CLO. The issued
notes will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 95% of the portfolio must consist
of first lien senior secured loans, cash, and eligible investments,
and up to 5% of the portfolio may consist of certain non-senior
secured loans. The portfolio is approximately 87% ramped as of the
closing date.
Angelo, Gordon & Co., L.P. will direct the selection, acquisition
and disposition of the assets on behalf of the Issuer and may
engage in trading activity, including discretionary trading, during
the transaction's five-year reinvestment period. Thereafter, the
Manager may reinvest unscheduled principal payments and proceeds
from sales of credit risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $597,500,000
Diversity Score: 57
Weighted Average Rating Factor (WARF): 2779
Weighted Average Spread (WAS): 3.60%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 47.00%
Weighted Average Life (WAL): 9.20 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
OCTAGON INVESTMENT 26: Moody's Rates $10MM Class F-R Debt 'B3'
--------------------------------------------------------------
Moody's Investors Service has assigned ratings to three classes of
CLO refinancing notes issued by Octagon Investment Partners 26,
Ltd.:
Moody's rating action is as follows:
US$302,500,000 Class A-1-R Senior Secured Floating Rate Notes due
2030 (the "Class A-1-R Notes"), Definitive Rating Assigned Aaa
(sf)
US$25,000,000 Class A-2-R Senior Secured Floating Rate Notes due
2030 (the "Class A-2-R Notes"), Definitive Rating Assigned Aaa
(sf)
US$10,000,000 Class F-R Secured Deferrable Floating Rate Notes due
2030 (the "Class F-R Notes"), Definitive Rating Assigned B3 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
Octagon Credit Investors, LLC manages the CLO. It directs the
selection, acquisition, and disposition of collateral on behalf of
the Issuer.
RATINGS RATIONALE
Moody's ratings on the Refinancing Notes address the expected
losses posed to noteholders. The ratings reflect the risks due to
defaults on the underlying portfolio of assets, the transaction's
legal structure, and the characteristics of the underlying assets.
The Issuer has issued the Refinancing Notes on June 13, 2018 in
connection with the refinancing of all classes of the secured notes
previously issued on April 27, 2016. On the Refinancing Date, the
Issuer used proceeds from the issuance of the Refinancing Notes,
along with the proceeds from the issuance of four other classes of
secured notes, to redeem in full the Refinanced Original Notes.
In addition to the issuance of the Refinancing Notes and the other
classes of secured notes, a variety of other changes to transaction
features will occur in connection with the refinancing. These
include: extension of the reinvestment period; extensions of the
stated maturity and non-call period; changes to certain collateral
quality tests; and changes to the overcollateralization test
levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Performing par and principal proceeds balance: $500,000,000
Defaulted par: $0
Diversity Score: 75
Weighted Average Rating Factor (WARF): 2874
Weighted Average Spread (WAS): 3.35%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 46.5%
Weighted Average Life (WAL): 9.09 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.
Together with the set of modeling assumptions, Moody's conducted an
additional sensitivity analysis, which was a component in
determining the ratings assigned to the Refinancing Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Here is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Refinancing
Notes (shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2874 to 3305)
Rating Impact in Rating Notches
Class A-1-R Notes: 0
Class A-2-R Notes: -1
Class F-R Notes: 0
Percentage Change in WARF -- increase of 30% (from 2874 to 3763)
Rating Impact in Rating Notches
Class A-1-R Notes: -1
Class A-2-R Notes: -3
Class F-R Notes: -3
OCTAGON INVESTMENT 26: S&P Rates $20MM Class E-R Debt 'BB-'
-----------------------------------------------------------
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 Octagon Investment
Partners 26 Ltd., a collateralized loan obligation (CLO) originally
issued in April 2016 and is managed by Octagon Credit Investors
LLC. S&P also withdrew its ratings on the original class A notes
following payment in full on the June 13, 2018, refinancing date.
On the June 13, 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 rating on the original class A notes in line with
their full redemption, and S&P assigned ratings to the replacement
class A-1-R, B-R, C-R, D-R, and E-R notes.
Based on the provisions in the amended and restated indenture, the
following changes will be made, among others:
-- Issue the replacement classes at a lower weighted average cost
of debt than the current notes.
-- Issue the all replacement classes at floating spreads,
replacing the current fixed and floating rates.
-- The stated maturity, reinvestment period, and non-call period
will be extended by 3.25, 2.75, and 2.16 years, respectively.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, 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
Octagon Investment Partners 26 Ltd./Octagon Investment Partners
26 LLC
Replacement class Rating Amount (mil. $)
A-1-R AAA (sf) 302.50
A-2-R NR 25.00
B-R AA (sf) 52.50
C-R (deferrable) A (sf) 33.75
D-R (deferrable) BBB- (sf) 26.25
E-R (deferrable) BB- (sf) 20.00
F-R (deferrable) NR 10.00
RATING WITHDRAWN
Octagon Investment Partners 26 Ltd./Octagon Investment Partners
26 LLC
Rating
Original class To From
A NR AAA (sf)
NR--Not rated.
ORIGEN MANUFACTURED 2002-A: S&P Cuts M-2 Certs Rating to CCC
------------------------------------------------------------
S&P Global Ratings raised its rating on class M-1 and lowered its
rating on class M-2 from Origen Manufactured Housing Contract
Senior/Subordinate Asset-Backed Certificates Series 2002-A.
The collateral pool backing the transaction S&P reviewed consists
of manufactured housing loans that Origen Financial LLC originated.
Ditech Financial LLC is currently servicing the loans.
S&P said, "The upgrade on class M-1 reflects the class' senior
position in the waterfall, collateral performance to date, and our
expectations regarding future collateral performance, as well as
the transaction's structure and credit enhancement. Additionally,
we incorporated secondary credit factors, including credit
stability, payment priorities under various scenarios, and sector-
and issuer-specific analysis. Considering all these factors, we
believe the creditworthiness of the notes remains consistent with
the raised rating."
The downgrade on class M-2 reflects the vulnerability to non-
payment at maturity given the class still has its original
principal balance outstanding and will receive principal only when
class M-1 is fully paid. The only credit support available is in
the form of subordination from class B-1, which continues to be
written down due to losses on the pool, thus eroding support.
As of the May 2018 distribution date, series 2002-A had experienced
cumulative net losses of 26.68% after 194 months of performance and
had a pool factor of 14.70%. S&P said, "While the transaction is
experiencing higher cumulative net losses than we initially
expected, it is performing in line to better than our former
revised expected lifetime. We also considered the significant rise
in delinquencies over the past few years; as a result, we are
maintaining our loss expectation for series 2002-A at
32.00%-33.00%."
The transaction was structured with overcollateralization, excess
spread, and subordination for the more senior classes. Series
2002-A has been unable to meet its performance tests and is
currently paying principal sequentially. S&P expects this to
continue in the future. In addition, the series'
overcollateralization amount has been fully depleted, and
liquidation losses continue to reduce the class B-1 notes'
principal.
Table 1
Hard Credit Support (%)
As of the May 2018 distribution date
Current total hard
credit support
Series Class (% of current)(i)
2002-A M-1 79.20
2002-A M-2 24.76
(i)Calculated as a percentage of the total gross receivable pool
balance, consisting of subordination.
S&P said, "The raised rating on the class M-1 certificates reflects
the class' senior position in the capital structure, and our view
that the total credit support as a percent of the amortizing pool
balance, compared with our expected remaining cumulative net
losses, is sufficient to support the raised ratings. The downgrade
on the class M-2 certificates reflects our view that our projected
credit support will remain insufficient to cover our projected
losses for this class.
"We will continue to monitor the referenced portfolio's performance
to ensure that the credit enhancement remains sufficient, in our
view, to cover our revised cumulative net loss expectations under
our stress scenarios for each rated class."
RATING RAISED
Origen Manufactured Housing Contract Senior/Subordinate Asset-
Backed Certificates Series 2002-A
Rating
Series Class To From
2002-A M-1 AAA (sf) A- (sf)
RATING LOWERED
Origen Manufactured Housing Contract Senior/Subordinate Asset-
Backed Certificates Series 2002-A
Rating
Series Class To From
2002-A M-2 CCC (sf) B- (sf)
SLC STUDENT 2008-2: S&P Lowers Ratings on 2 Tranches to 'B-'
------------------------------------------------------------
S&P Global Ratings affirmed and removed from CreditWatch with
negative implications two ratings and lowered 12 ratings from seven
student loan asset-backed securities transactions. Two of the
lowered ratings remain on CreditWatch with negative implications.
These transactions are discrete trusts backed by student loans
originated through the U.S. Department of Education's (ED's)
Federal Family Education Loan Program (FFELP).
S&P said, "Our rating actions reflect our views regarding the
transactions' expected future collateral performance, payment
priorities, current credit enhancement levels, and asset/bond
payment rates. Our analysis also considered credit stability and
sector- and issuer-specific analyses, as well as a peer analysis.
The rating actions reflect the liquidity pressure the senior
classes are experiencing, not the credit enhancement levels
available to these classes for ultimate principal repayment."
RATIONALE
S&P said, "The primary drivers in our analysis are sensitivity to
payment amounts and the remaining time to maturity. We also
considered the further decline in payment levels since our last
review, the change in payment structure upon an event of default,
and certain mechanisms in the SLM deals that allow Navient to
support the classes as they reach their legal final maturity dates.
The ratings on the class A notes from each transaction reflect the
notes' sensitivity to levels of bond payment rates coupled with
their upcoming legal final maturity dates, which are within the
next five years. The ratings on the class B notes from each
transaction reflect the risk that they will not receive timely
interest payments upon an event of default on a senior note, which
would trigger a structural change, as detailed below. The risk of a
missed interest payment on a class B note is directly linked to the
risk that the principal on a senior note will not be paid at its
respective legal final maturity date. As such, our ratings on the
class B notes are not higher than the lowest-rated senior notes. If
a senior note were paid in full at its legal final maturity date,
the risk of a missed interest payment on the class B note would be
avoided. In this case, we may raise our ratings on the class B
notes.
"We have reviewed the historical amounts paid to these transactions
and noted significant declines in payment rates over time. This
slowdown was further exasperated by disaster forbearances granted
to borrowers in areas affected by natural disasters in the summer
and fall of 2017. The disaster forbearance temporarily postponed
borrowers' requirements to make payments for 90 days. For affected
loans, this could have delayed the filing of default claims of
late-stage delinquent loans, which in turn would delay the ED
recovery on the loan's full balance. Furthermore, at the end of the
90-day disaster forbearance, the borrower could enter a loan status
other than repayment. This further delayed loan and bond principal
paydowns, possibly past the current paying senior bonds' maturity
date. Generally, over time, the loans will either return to current
status and make loan payments, or they will default and receive the
ED reimbursement of at least 97% of the loan's principal and
accrued interest. We expect principal payment rates to improve as
this occurs, and it could partially offset the natural decline in
principal payment rates from the current paying pool as it
continues to amortize. Classes with shorter months to maturity will
be more negatively affected by the disaster forbearance because
these classes may not have the benefit of time that is needed for a
borrower to return to paying status. Further, for loans that may
default, the time to work through the delinquency, claims, and
reimbursement cycle is expected to be longer than the remaining
time to maturity on certain classes. This limits the potential
benefit to the classes with nearer-term maturities.
"We lowered our ratings to 'A (sf)' from 'AA+ (sf)' on SLM 2008-2's
class A-3, SLM 2008-8's class A-4, and SLM 2008-9's class A. These
classes have recently moved within five years of their legal final
maturity dates and have heightened sensitivity to any future
declines in principal payment rates. Assuming that the trust
continues to receive the minimum quarterly amount received over the
past year, or an amount less than that, we believe the class A
notes are sensitive to not receiving full principal payments by
their legal final maturity dates. We also lowered our ratings to 'A
(sf)' from 'AA (sf)' on the respective class B notes because we
believe the risk of nonpayment of principal for the class A notes
is the same as the risk of nonpayment of timely interest on the
class B notes.
"We lowered our ratings to 'BB (sf)' on SLM 2006-3's class A-5 and
SLM 2008-3's class A-3, which we had previously downgraded to 'A
(sf)' on April 24, 2017. Since then, their payment levels have not
improved and they are now closer to maturity. We believe these
classes face major uncertainty that could lead to the trust's
inadequate capacity to meet its financial commitment on these
obligations. We lowered our ratings on the respective class B notes
because we believe the risk of nonpayment of principal for the
class A notes is the same as the risk of nonpayment of timely
interest on the class B notes. The lowered ratings also reflect our
expectation that these ratings will not decline by more than two
rating categories over the next 12 months and will not decline by
no more than four rating categories over the next 36 months.
"On Feb. 20, 2018, we lowered the ratings on SLC 2008-2's class A-3
and SLM 2007-2's class A-3 to 'B (sf)/Watch Neg' because their
paydown rates have significantly slowed. In addition, these notes
have legal final maturity dates within the next year and therefore
would have less time to benefit from improvements in payment rates.
At the same time, we lowered the ratings on the respective class B
notes to 'B (sf)/Watch Neg' due to the risk of a missed interest
payment from a structural change upon an event of default on the
class A notes. Since then, the payment levels have not materially
improved, and the legal final maturity dates are now closer."
The SLM 2007-2 trust was previously amended to optionally allow
Navient to purchase some collateral from the trust or to provide a
subordinated loan to the trust in the amount needed to make timely
principal payments on a class on its legal final maturity date.
Navient, an active issuer in the market and the current
certificateholder for the trusts, has indicated that it intends to
exercise its option at the legal final maturity date through one of
these mechanisms. As such, S&P is affirming the 'B (sf)' ratings on
SLM 2007-2's class A-3 and B and removing them from CreditWatch
negative.
The SLC 2008-2 trust does not have the same amendments in place as
SLM 2007-2, which give Navient the option to support the trust.
Without noteholder consent, similar amendments would require the
consent of the master servicer, Student Loan Corp. (SLC), a
subsidiary of Discover Financial Services. As a result, S&P views
the risk of repayment in the SLC deal to be greater than that of
the SLM deals.
While the payments to the SLC 2008-2 trust have had some minor
improvements, the notes' maturity date is imminently approaching
(September 2018). The trust has a reserve account of $3.1 million,
which will be available to make timely interest and ultimate
principal payments on the notes. Based on the remaining class A-3
balance and the amounts in the reserve, this class could withstand
some minor decreases in its payment rates and still be paid in
full. S&P said, "We have lowered the rating to 'B- (sf)/Watch Neg'
because we believe this class faces significant uncertainty
regarding the trust's ability to meet its financial commitment by
legal final maturity. Because this class is not dependent on
favorable economic conditions but rather a continuation of the
current environment, we did not lower the rating into the 'CCC'
category. We also lowered the rating on the class B notes to 'B-
(sf)/Watch Neg'. The ratings on the class A and B notes remain on
CreditWatch due to their heightened sensitivity to changes in the
paydown rates. We will continue to monitor the bond principal
paydowns to the senior classes over the next six months."
STRUCTURAL CHANGES UPON AN EVENT OF DEFAULT
Principal payments are currently allocated sequentially to the
class A notes until fully repaid, and then to the class B
noteholders. If the class A notes do not receive full principal by
their respective legal final maturity dates, the payment priority
may change, requiring principal payments to the class A notes to be
prioritized over timely interest payments to their respective class
B notes. Our ratings address the trust's ability to make timely
interest payments, as well as its ability to repay the note
balances by their respective legal final maturity dates.
CREDIT ENHANCEMENT AND CURRENT CAPITAL STRUCTURE
The transactions have reached their required release thresholds and
are releasing excess funds to the residual holders. The notes
receive interest based on three-month LIBOR and their respective
margin.
Credit enhancement consists of overcollateralization (as measured
by parity), subordination (for the senior classes), the reserve
account, and excess spread. The following table presents the
capital structure for each deal.
SLC Student Loan Trust(i)
Current Note Note
balance factor margin Parity Non-
paying
Series Class (mil. $) (%) Maturity (%) %)(iii) loans
(%)(iv)
2008-2 A-3 24.4 8 Sept. 2018 0.65 1,653 39
2008-2 A-4 314.6 100 June 2021 0.90 119
2008-2 B 61.4 100 Sept. 2066 1.75 101
SLM Student Loan Trust(ii)
2006-3 A-5 146.4 90 Jan. 2021 0.10 154 41
2006-3 B 77.1 100 Jan. 2027 0.20 101
2007-2 A-3 76.5 17 Jan. 2019 0.04 894 38
2007-2 A-4 486.1 100 July 2022 0.06 122
2007-2 B 120.9 100 July 2025 0.17 100
2008-2 A-3 620.0 57 April 2023 0.75 111 38
2008-2 B 68.4 100 Jan. 2083 1.20 100
2008-3 A-3 264.3 62 Oct. 2021 1.00 114 39
2008-3 B 30.4 100 April 2083 1.20 102
2008-8 A-3 20.7 14 April 2019 1.15 1,432 39
2008-8 A-4 236.7 100 April 2023 1.50 115
2008-8 B 29.5 100 Oct. 2075 2.25 103
2008-9 A 1,112.8 28 April 2023 1.50 116 39
2008-9 B 122.6 100 Oct. 2083 2.25 104
(i)As of the March 2018 distribution date.
(ii)As of the April 2018 distribution date.
(iii)Parity is calculated as the total principal pool balance plus
interest to be capitalized, divided by the respective class note
balance and the class balance for any notes maturing before the
respective notes.
(iv)Non-paying loans covers all statuses outside of current
repayment.
As the parity above illustrates, the classes are fully
collateralized. S&P expects them to receive payment in full, but
the likelihood that they will be repaid by their legal final
maturity has decreased as the bond principal paydowns have slowed.
COLLATERAL
The loan pools consist predominantly of seasoned Stafford loans
originated under FFELP guidelines. The ED reinsures at least 97% of
the principal and accrued interest on defaulted loans that are
serviced according to the FFELP guidelines. Due to the high level
of recoveries from the ED on defaulted loans, defaults effectively
function similar to prepayments. Thus, we expect net losses to be
minimal.
Approximately 40% of the pools are in a non-paying loan status.
These loans are expected to be repaid or to default and be
reimbursed by the ED.
RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE
SLM Student Loan Trust 2007-2
Rating
Class To From
A-3 B (sf) B (sf)/Watch Neg
B B (sf) B (sf)/Watch Neg
RATINGS LOWERED
SLM Student Loan Trust 2006-3
Rating
Class To From
A-5 BB (sf) A (sf)
B BB (sf) A (sf)
SLM Student Loan Trust 2008-3
Rating
Class To From
A-3 BB (sf) A (sf)
B BB (sf) A (sf)
SLM Student Loan Trust 2008-2
Rating
Class To From
A-3 A (sf) AA+ (sf)
B A (sf) AA (sf)
SLM Student Loan Trust 2008-8
Rating
Class To From
A-4 A (sf) AA+ (sf)
B A (sf) AA (sf)
SLM Student Loan Trust 2008-9
Rating
Class To From
A A (sf) AA+ (sf)
B A (sf) AA (sf)
RATINGS LOWERED AND REMAINING ON CREDITWATCH NEGATIVE
SLC Student Loan Trust 2008-2
Rating
Class To From
A-3 B- (sf)/Watch Neg B (sf)/Watch Neg
B B- (sf)/Watch Neg B (sf)/Watch Neg
STACK LTD 2004-1: Moody's Hikes Rating on $8MM Cl. C Notes to Caa3
------------------------------------------------------------------
Moody's Investors Service has upgraded the rating on notes issued
by Stack 2004-1, Ltd.:
US$8,000,000 Class C Floating Rate Deferrable Interest Term Notes
Due May 10, 2039 (current outstanding balance of $7,766,339.96),
Upgraded to Caa3 (sf); previously on April 27, 2012 Downgraded to C
(sf)
Stack 2004-1, Ltd., issued in April 2003, is a collateralized debt
obligation backed primarily by a portfolio of RMBS and ABS,
originated in 2002 and 2003.
RATINGS RATIONALE
The rating action is due primarily to the deleveraging of the
senior notes and an increase in the transaction's
over-collateralization ratios since May 2017. The Class B notes
have been paid down by $4.3 million and redeemed in full, and the
Class C notes have been paid down by $1.6 million, including $1.4
million in deferred interest, since that time. Based on Moody's
calculation, the over-collateralization (OC) ratio of the Class C
notes is currently 107.57 %. The paydown of the Class B and C notes
has been partially the result of cash collections from certain
assets treated as defaulted by the trustee in amounts materially
exceeding expectations. Accordingly, Moody's has assumed the deal
will continue to benefit from potential recoveries on defaulted
securities, some of which have experienced significant price
increases in the last two years.
Despite benefits of the deleveraging, the credit quality of the
portfolio has deteriorated since May 2017. Based on the trustee's
May 2018 report, the weighted average rating factor (WARF) is
currently 7366, compared to 5889 in May 2017.
The trustee reported that, on April 8, 2011, the transaction
experienced an "Event of Default" when the Class A/B
overcollateralization ratio declined below 100%, the minimum
required under Section 5.1(i) of the indenture. On July 20, 2011,
the Holders of at least 50% of the controlling class directed the
trustee to declare the notes immediately due and payable. The Event
of Default continues. Under the acceleration waterfall, Class C
notes receives all the interest and principal proceeds until they
are paid in full.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's Approach
to Rating SF CDOs," published in June 2017.
Factors That Would Lead To an Upgrade or Downgrade of the Rating:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: Primary causes of uncertainty about
assumptions are the extent of any deterioration in either consumer
or commercial credit conditions and in the residential real estate
property markets. The residential real estate property market's
uncertainties include housing prices; the pace of residential
mortgage foreclosures, loan modifications and refinancing; the
unemployment rate; and interest rates.
2) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from principal proceeds, recoveries from
defaulted assets, and excess interest proceeds will continue and at
what pace. Faster than expected deleveraging could have a
significantly positive impact on the notes' ratings.
3) Amortization profile assumptions: Moody's modeled the
amortization of the underlying collateral portfolio based on its
assumed weighted average life (WAL). Regardless of the WAL
assumption, due to the sensitivity of amortization assumption and
its impact on the amount of principal available to pay down the
notes, Moody's supplemented its analysis with various sensitivity
analysis around the amortization profile of the underlying
collateral assets.
4) Recovery of defaulted assets: The amount of recoveries received
from defaulted assets reported by the trustee and those that
Moody's assumes as having defaulted as well as the timing of these
recoveries create additional uncertainty. Moody's analyzed
defaulted assets assuming limited recoveries, and therefore,
realization of any recoveries exceeding Moody's expectation in the
future would positively impact the notes' ratings.
5) Lack of portfolio granularity: The performance of the portfolio
depends to a large extent on the credit conditions of a few large
obligors Moody's rated non-investment-grade, especially if they
jump to default.
Loss and Cash Flow Analysis:
Moody's applies a Monte Carlo simulation framework in Moody's
CDOROM™ to model the loss distribution for SF CDOs. The simulated
defaults and recoveries for each of the Monte Carlo scenarios
define the reference pool's loss distribution. Moody's then uses
the loss distribution as an input in the CDOEdge cash flow model.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes. Here is a summary of the impact
of different default probabilities (expressed in terms of WARF) on
all of the rated notes (by the difference in the number of notches
versus the current model output, for which a positive difference
corresponds to lower expected loss):
B1 and below ratings notched up by two rating notches (3925):
Class C: +1
Class D: 0
B1 and below ratings notched down by two notches (6888):
Class C: 0
Class D: 0
STACR TRUST 2018-DNA2: S&P Assigns (P)B- Rating on $175MM B-1 Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Freddie Mac
STACR Trust 2018-DNA2's $1.050 billion notes issued out of Freddie
Mac STACR Trust 2018-DNA2.
The note issuance is a residential mortgage-backed securities
transaction backed by residential mortgage loans, deeds of trust,
or similar security instruments encumbering mortgaged properties
acquired by Freddie Mac.
The preliminary ratings are based on information as of June 7,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The credit enhancement provided by the subordinated reference
tranches, as well as the associated structural deal mechanics;
-- The credit quality of the collateral included in the reference
pool;
-- A credit-linked note structure that reduces the counterparty
exposure to Freddie Mac for periodic principal payments but, at the
same time, relies on credit premium payments from Freddie Mac (a
highly rated counterparty) to make monthly interest payments and to
make up for any investment losses;
-- The issuer's aggregation experience and alignment of interests
between the issuer and noteholders in the deal's performance,
which, in our view, enhances the notes' strength; and
-- The enhanced credit risk management and quality control
processes Freddie Mac uses in conjunction with the underlying
representations and warranties framework.
PRELIMINARY RATINGS ASSIGNED
Freddie Mac STACR Trust 2018-DNA2
Class Rating Amount ($)
A-H(i) NR 47,618,555,528
M-1 BBB+ (sf) 350,000,000
M-1H(i) NR 143,456,533
M-2 B+ (sf) 525,000,000
M-2R B+ (sf) 525,000,000
M-2S B+ (sf) 525,000,000
M-2T B+ (sf) 525,000,000
M-2U B+ (sf) 525,000,000
M-2I B+ (sf) 525,000,000
M-2A BB+ (sf) 262,500,000
M-2AR BB+ (sf) 262,500,000
M-2AS BB+ (sf) 262,500,000
M-2AT BB+ (sf) 262,500,000
M-2AU BB+ (sf) 262,500,000
M-2AI BB+ (sf) 262,500,000
M-2AH(i) NR 107,592,400
M-2B B+ (sf) 262,500,000
M-2BR B+ (sf) 262,500,000
M-2BS B+ (sf) 262,500,000
M-2BT B+ (sf) 262,500,000
M-2BU B+ (sf) 262,500,000
M-2BI B+ (sf) 262,500,000
M-2BH(i) NR 107,592,400
B-1 B- (sf) 175,000,000
B-1H(i) NR 71,728,268
B-2H(i) NR 246,728,268
(i)Reference tranche only and will not have corresponding notes.
Freddie Mac retains the risk of each of these tranches.
NR--Not rated.
STEELE CREEK 2016-1: Moody's Gives B3 Rating on Class F-R Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
CLO refinancing notes issued by Steele Creek CLO 2016-1, Ltd.
Moody's rating action is as follows:
US$193,500,000 Class A-R Senior Secured Floating Rate Notes due
2031 (the "Class A-R Notes"), Assigned Aaa (sf)
US$34,750,000 Class B-R Senior Secured Floating Rate Notes due 2031
(the "Class B-R Notes"), Assigned Aa2 (sf)
US$19,750,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C-R Notes"), Assigned A2 (sf)
US$16,750,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class D-R Notes"), Assigned Baa3 (sf)
US$13,500,000 Class E-R Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class E-R Notes"), Assigned Ba3 (sf)
US$6,000,000 Class F-R Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class F-R Notes"), Assigned B3 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
Steele Creek Investment Management LLC manages the CLO. It directs
the selection, acquisition, and disposition of collateral on behalf
of the Issuer.
RATINGS RATIONALE
Moody's ratings on the Refinancing Notes address the expected
losses posed to noteholders. The ratings reflect the risks due to
defaults on the underlying portfolio of assets, the transaction's
legal structure, and the characteristics of the underlying assets.
The Issuer has issued the Refinancing Notes on June 15, 2018 in
connection with the refinancing of all classes of the secured notes
previously issued on June 30, 2016. On the Refinancing Date, the
Issuer used proceeds from the issuance of the Refinancing Notes to
redeem in full the Refinanced Original Notes.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; and changes to the
overcollateralization test levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Performing par and principal proceeds balance: $300,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2787
Weighted Average Spread (WAS): 3.60%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 46.5%
Weighted Average Life (WAL): 9.0 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.
STUDENT LOAN 2007-1: S&P Affirms B+ Rating in Class 5-A-1 Certs
---------------------------------------------------------------
S&P Global Ratings lowered its ratings on the class 7-A-1 and
7-A-IO certificates from Student Loan ABS Repackaging Trust Series
2007-1 to 'A-' from 'A' and subsequently removed them from
CreditWatch, where it placed them with negative implications on
April 17, 2018. S&P also affirmed our ratings on the class 5-A-1,
5-A-IO, 6-A-1, and 6-A-IO certificates from the same transaction.
Student Loan ABS Repackaging Trust Series 2007-1 is a repackaging
of NCF Grantor Trust 2005-1's class A-5-1 and A-5-2, NCF Grantor
Trust 2005-3's class A-5-1, and NorthStar Education Finance Inc.'s
series 2006-A's class A-4 notes. Deutsche Bank AG (New York Branch)
serves as the swap counterparty on the various repackaged
certificates.
S&P said, "The ratings on the class 5-A-1 and 5-A-IO certificates
are dependent on the lower of our ratings between (1) Deutsche Bank
AG (New York Branch), the interest rate swap counterparty, and (2)
the higher of our ratings between the underlying securities (NCF
Grantor Trust 2005-1's class A-5-1 and A-5-2 certificates due March
26, 2035 ('B+(sf)')) and the rating on Ambac Assurance Corp. (not
rated), the financial guarantee insurer.
"The ratings on the class 6-A-l and 6-A-IO certificates are
dependent on the lower of the ratings on the transferrable
custodial receipts relating to NCF Grantor Trust 2005-3's class
A-5-1 due Oct. 25, 2033 ('B(sf)') and the rating of Deutsche Bank
AG (New York Branch).
The ratings on the class 7-A-1 and 7-A-IO certificates are
dependent on the lower of the ratings on (1) Deutsche Bank AG (New
York Branch), which provides an interest rate swap on the
certificates, and (2) the higher of the ratings on North Star
Education Finance Series 2006-A's class A-4 notes ('AAA (sf)') and
Ambac Assurance Corp. (not rated), which provides a financial
guarantee insurance policy on the underlying securities.
S&P said, "In addition, the ratings on the class 7-A-1 and 7-A-IO
certificates benefit from a one-notch raise above the support
provider's rating to reflect our criteria for transactions that
require replacement of a support provider if a rating trigger is
breached.
"The rating actions follow the June 1, 2018, lowering of our
'A-/A-2' rating on the swap counterparty bank-branch parent,
Deutsche Bank AG, to 'BBB+/A-2' and our subsequent removal of the
rating from CreditWatch, where we placed them with negative
implications on April 12, 2018. Our rating on the swap
counterparty, Deutsche Bank AG (New York Branch) is based on the
lower of the long- and short-term ratings on Deutsche Bank AG,
('BBB+/A-2'), the bank-branch parent, and the long- and short-term
foreign-currency ratings on the U.S. ('AA+/A-1+'), the jurisdiction
where the bank branch is located."
RATINGS LOWERED
Student Loan ABS Repackaging Trust Series 2007-1
Class To From
7-A-1 A- A/Watch Neg
7-A-IO A- A/Watch Neg
RATINGS AFFIRMED
Student Loan ABS Repackaging Trust Series 2007-1
Class Ratings
5-A-1 B+
5-A-IO B+
6-A-1 B
6-A-IO B
THL CREDIT 2018-1: S&P Assigns Prelim BB-(sf) Rating on E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to THL Credit
Wind River 2018-1 CLO Ltd./THL Credit Wind River CLO 2018-1 LLC's
$431.25 million floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed by a pool consisting primarily of broadly syndicated
speculative-grade senior secured term loans (those rated 'BB+' or
lower).
The preliminary ratings are based on information as of June 14,
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
THL Credit Wind River 2018-1 CLO Ltd./THL Credit Wind River
2018-1 CLO LLC
Class Rating Amount
(mil. $)(i)
A-1 AAA (sf) 298.75
A-2 NR 28.75
B AA (sf) 52.50
C A (sf) 35.00
D BBB- (sf) 25.00
E BB- (sf) 20.00
Subordinated notes NR 51.50
NR--Not rated.
TIAA BANK 2018-2: Moody's Assigns (P)Ba2 Rating on Class B-4 Debt
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 28
classes of residential mortgage-backed securities (RMBS) issued by
TIAA Bank Mortgage Loan Trust 2018-2 (TBMLT 2018-2). The ratings
range from (P)Aaa (sf) to (P)Ba2 (sf).
TIAA Bank Mortgage Loan Trust 2018-2 (TBMLT 2018-2) is the second
transaction entirely backed by loans originated by TIAA, FSB since
2013. In June 2017, EverBank was acquired by Teachers Insurance and
Annuity Association of America (Aa1). TIAA, FSB (TIAA) is the
successor to EverBank. TBMLT 2018-2 consists of prime jumbo pools
underwritten to TIAA's underwriting standards and serviced by TIAA.
All of the mortgage loans in TBMLT 2018-2 are designated as
qualified mortgage (QM) safe harbor loans. TIAA will service the
loans and Wells Fargo Bank, N.A. (Aa2) will be the master
servicer.
The complete rating actions are as follows:
Issuer: TIAA Bank Mortgage Loan Trust 2018-2
Cl. A-1, Assigned (P)Aaa (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. A-4, Assigned (P)Aaa (sf)
Cl. A-5, Assigned (P)Aaa (sf)
Cl. A-6, Assigned (P)Aaa (sf)
Cl. A-7, Assigned (P)Aaa (sf)
Cl. A-8, Assigned (P)Aaa (sf)
Cl. A-9, Assigned (P)Aaa (sf)
Cl. A-10, Assigned (P)Aaa (sf)
Cl. A-11, Assigned (P)Aaa (sf)
Cl. A-12, Assigned (P)Aaa (sf)
Cl. A-13, Assigned (P)Aaa (sf)
Cl. A-14, Assigned (P)Aaa (sf)
Cl. A-15, Assigned (P)Aaa (sf)
Cl. A-16, Assigned (P)Aaa (sf)
Cl. A-17, Assigned (P)Aaa (sf)
Cl. A-18, Assigned (P)Aaa (sf)
Cl. A-19, Assigned (P)Aa1 (sf)
Cl. A-20, Assigned (P)Aa1 (sf)
Cl. A-21, Assigned (P)Aa1 (sf)
Cl. A-22, Assigned (P)Aaa (sf)
Cl. A-23, Assigned (P)Aaa (sf)
Cl. A-24, Assigned (P)Aaa (sf)
Cl. B-1, Assigned (P)Aa3 (sf)
Cl. B-2, Assigned (P)A2 (sf)
Cl. B-3, Assigned (P)Baa2 (sf)
Cl. B-4, Assigned (P)Ba2 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected cumulative net loss on the aggregate pool is 0.35%
in a base scenario and reaches 4.35% at a stress level consistent
with the Aaa ratings. Moody's loss estimates are based on a
loan-by-loan assessment of the securitized collateral pool using
Moody's Individual Loan Level Analysis (MILAN) model. Loan-level
adjustments to the model included: adjustments to borrower
probability of default for higher and lower borrower DTIs,
borrowers with multiple mortgaged properties, self-employed
borrowers, origination channels and at a pool level, for the
default risk of HOA properties in super lien states. The adjustment
to Moody's Aaa stress loss above the model output also includes
adjustments related to aggregator and originators assessments. The
model combines loan-level characteristics with economic drivers to
determine the probability of default for each loan, and hence for
the portfolio as a whole. Severity is also calculated on a
loan-level basis. The pool loss level is then adjusted for
borrower, zip code, and MSA level concentrations.
Collateral Description
TBMLT 2018-2 is a securitization of 450 primarily 30-year
fixed-rate prime residential mortgages (one loan is 25-year fixed).
Borrowers of the mortgage loans backing this transaction have
strong credit profile demonstrated by strong credit scores, high
percentage of equity and significant liquid reserves. The credit
quality of the transaction is in line with recent prime jumbo
transactions that Moody's has rated.
Moody's decreased its loss levels due to TIAA's strength as an
originator of prime jumbo loans. Moody's believes that TIAA is
stronger than its peers due to its conservative underwriting
standards, solid performance history and strong quality control
policies and procedures.
Borrowers of the mortgage loans backing this transaction have a
demonstrated ability to save and to manage credit. On average,
borrowers have 26.1% equity in the properties backing the mortgage
loans. In addition, approximately 72.4% of borrowers have more than
24 months of liquid cash reserves or enough money to pay the
mortgage for two years should there be an interruption to the
borrower's cash flow. Consistent with prudent credit management,
the borrowers have high FICO scores, with a weighted average score
of 774. In general, the borrowers have high income, significant
liquid assets and a stable employment history, all of which have
been verified as part of the underwriting process and reviewed by
the TPR firm.
The transaction includes mortgage loans backed by properties
located in areas designated by the Federal Emergency Management
Authority (FEMA) for federal assistance in the last 12 months. The
sponsor ordered inspections of mortgaged properties located in
counties where borrowers were eligible for individual assistance
from FEMA. No material damage was discovered. However, the sponsor
did not order inspections on properties located in areas designated
by FEMA as public assistance areas. Moody's notes that mortgage
loans backed by properties located in areas affected by Hurricane
Harvey, Hurricane Irma and wildfires show zero delinquencies.
Moreover, the transaction includes an unqualified representation
that the pool does not include properties with material damage that
would adversely affect the value of the mortgaged property.
Third Party Review and Reps & Warranties (R&W)
One third-party due diligence firm verified the accuracy of the
loan level information that the sponsor gave us. This TPR firm
conducted detailed credit, property valuation, data accuracy and
compliance reviews on 100% of the mortgage loans in the collateral
pool. The TPR results indicate that the majority of reviewed loans
were in compliance with originator's underwriting guidelines, no
material compliance or data issues, and no material appraisal
defects.
Moody's considers the strength of the R&W framework in TBMLT 2018-2
to be adequate. Moody's analysis of the R&W framework considers the
R&Ws, enforcement mechanisms and creditworthiness of the R&W
provider. The sponsor is TIAA, FSB whose parent, TIAA has an
insurance financial strength rating at Aa1 and a long-term issuer
rating at Aa2. The sponsor has provided unambiguous representations
and warranties (R&Ws) with no material knowledge qualifiers and not
subject to a sunset. There is a provision for binding arbitration
in the event of a dispute between investors and the R&W provider
concerning R&W breaches.
However, the R&W framework in TBMLT 2018-2 differs from other prime
jumbo transactions because breach review is not automatic. Once a
review trigger has been hit (i.e. 120-day delinquency), it is the
responsibility of the controlling holder, which is the holder of
majority of the most subordinate certificates, and subsequently the
senior holder group to engage an independent reviewer and to bear
the costs of the review, even if a breach is discovered (unless the
R&W is an "intrinsic representation," then the sponsor will bear
the cost of review). If the controlling holder and the senior
holder group elect not to engage an independent reviewer to conduct
a breach review, the loan will not be reviewed, which may result in
systemic defects to go undetected. In its analysis, Moody's
considered the incentives of the controlling holder and the senior
holder group, that a third-party due diligence firm has performed a
100% review of the mortgage loans as well as the early payment
default protection in this transaction.
Trustee/Custodian and Master Servicer/Securities Administrator
U.S. Bank National Association (U.S. Bank) (A1) will act as the
trustee for this transaction. In its capacity as custodian, U.S.
Bank will hold the collateral documents, which include, the
original note and mortgage and any intervening assignments of
mortgage.
Wells Fargo Bank, N.A. (Wells Fargo) (Aa2) provides oversight of
the servicer. Moody's considers Wells Fargo as a strong master
servicer of residential loans. Wells Fargo's oversight encompasses
loan administration, default administration, compliance and cash
management. Wells Fargo will also act as securities administrator,
whose role includes paying the issued securities.
Other Considerations
Servicer optional purchase of delinquent loans: The servicer, TIAA,
has the option to purchase any mortgage loan which is 90 days or
more delinquent, which may result in the step-down test used in the
calculation of the senior prepayment percentage to be satisfied
when otherwise it would not have been. Moreover, because the
purchase may occur prior to the breach review trigger of 120 days
delinquency, the loan may not be reviewed for breaches of
representations and warranties and thus, systemic defects may go
undetected. In its analysis, Moody's considered that the loans will
be purchased by the servicer at par, the servicer is limited to
purchasing loans up to 10% of the aggregate cut-off date balance
and that a third-party due diligence firm has performed a 100%
review of the mortgage loans. Moreover, the reporting for this
transaction will list the mortgage loans purchased by the
servicer.
Extraordinary expenses and risk of trustee holdback: Extraordinary
trust expenses in the TBMLT 2018-2 transaction are deducted from
Net WAC as opposed to available distribution amount. Moody's
believes there is a very low likelihood that the rated certificates
in TBMLT 2018-2 will incur any losses from extraordinary expenses
or indemnification payments from potential future lawsuits against
key deal parties. First, the loans are prime quality, 100%
qualified mortgages and were originated under a regulatory
environment that requires tighter controls for originations than
pre-crisis, which reduces the likelihood that the loans have
defects that could form the basis of a lawsuit. Second, the
transaction has reasonably well defined processes in place to
identify loans with defects on an ongoing basis. In this
transaction, an independent breach reviewer must review loans for
breaches of representations and warranties when certain clearly
defined triggers have been breached which reduces the likelihood
that parties will be sued for inaction. Third, the issuer has
disclosed the results of a credit, compliance and valuation review
of all of the mortgage loans by an independent third party. 100% of
the loans were included in the due diligence review. Finally, the
performance of past EBMLT transactions have been well within
expectation.
Tail Risk & Subordination Floor
The transaction has a shifting interest structure that allows
subordinated bonds to receive principal payments under certain
defined scenarios. Because a shifting interest structure allows
subordinated bonds to pay down over time as the loan pool shrinks,
senior bonds are exposed to increased performance volatility, known
as tail risk. The transaction provides for a senior subordination
floor of 1.80% of the closing pool balance, which mitigates tail
risk by protecting the senior bonds from eroding credit enhancement
over time. Additionally there is a subordination lock-out amount
which is 1.35% of the closing pool balance.
Transaction Structure
The transaction is structured as a one pool shifting interest
structure in which the senior bonds benefit from a senior floor and
a subordination floor. Funds collected, including principal, are
first used to make interest payments to the senior bonds. Next
principal payments are made to the senior bonds and then interest
and principal payments are paid to the subordinate bonds in
sequential order, subject to the subordinate class percentage of
the subordinate principal distribution amounts.
Realized losses are allocated in a reverse sequential order, first
to the lowest subordinate bond. After the balances of the
subordinate bonds are written off, losses from the pool begin to
write off the principal balances of the senior support bonds until
their principal balances are reduced to zero. Next realized losses
are allocated to the super senior bonds until their principal
balances are written off.
As in all transactions with shifting-interest structures, the
senior bonds benefit from a cash flow waterfall that allocates all
prepayments to the senior bonds for a specified period of time, and
allocates increasing amounts of prepayments to the subordinate
bonds thereafter only if loan performance satisfies both
delinquency and loss tests.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
TRESTLES CLO II: Moody's Rates $30MM Class D Notes 'Ba3'
--------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Trestles CLO II, Ltd.
Moody's rating action is as follows:
US$320,000,000 Class A-1 Senior Floating Rate Notes Due 2031 (the
"Class A-1 Notes"), Assigned Aaa (sf)
US$50,000,000 Class A-2 Senior Floating Rate Notes Due 2031 (the
"Class A-2 Notes"), Assigned Aa2 (sf)
US$26,000,000 Class B Mezzanine Deferrable Floating Rate Notes Due
2031 (the "Class B Notes"), Assigned A2 (sf)
US$32,000,000 Class C Mezzanine Deferrable Floating Rate Notes Due
2031 (the "Class C Notes"), Assigned Baa3 (sf)
US$30,000,000 Class D Junior Deferrable Floating Rate Notes Due
2031 (the "Class D Notes"), Assigned Ba3 (sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the
Class C Notes, and the Class D Notes are referred to herein,
collectively, as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
Trestles CLO II is a managed cash flow CLO. The issued notes will
be collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90% of the portfolio must consist of
senior secured loans and eligible investments, and up to 10% of the
portfolio may consist of second-lien loans and senior unsecured
loans. The portfolio is approximately 95% ramped as of the closing
date.
Pacific Asset Management will direct the selection, acquisition and
disposition of the assets on behalf of the Issuer and may engage in
trading activity, including discretionary trading, during the
transaction's five year reinvestment period. Thereafter, the
Manager may reinvest unscheduled principal payments and proceeds
from sales of credit risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2899
Weighted Average Spread (WAS): 3.00%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 9.0 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions, Moody's conducted an
additional sensitivity analysis, which was a component in
determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Here is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2899 to 3334)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -2
Class B Notes: -2
Class C Notes: -1
Class D Notes: -1
Percentage Change in WARF -- increase of 30% (from 2899 to 3769)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -3
Class B Notes: -4
Class C Notes: -2
Class D Notes: -1
UBS COMMERCIAL 2018-C11: Fitch to Rate Class F-RR Certs 'B-sf'
--------------------------------------------------------------
Fitch Ratings has issued a presale report on UBS Commercial
Mortgage Trust 2018-C11 commercial mortgage pass-through
certificates, series 2018-C11.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $26,419,000 class A-1 'AAAsf'; Outlook Stable;
-- $75,257,000 class A-2 'AAAsf'; Outlook Stable;
-- $30,948,000 class A-SB 'AAAsf'; Outlook Stable;
-- $57,478,000d class A-3 'AAAsf'; Outlook Stable;
-- $143,500,000d class A-4 'AAAsf'; Outlook Stable;
-- $229,069,000d class A-5 'AAAsf'; Outlook Stable;
-- $562,671,000b class X-A 'AAAsf'; Outlook Stable;
-- $78,372,000 class A-S 'AAAsf'; Outlook Stable;
-- $35,167,000 class B 'AA-sf'; Outlook Stable;
-- $33,157,000 class C 'A-sf'; Outlook Stable;
-- $146,696,000b class X-B 'A-sf'; Outlook Stable;
-- $35,758,000a class D 'BBB-sf'; Outlook Stable;
-- $35,758,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $18,500,000ac class E-RR 'BB-sf'; Outlook Stable;
-- $10,047,000ac class F-RR 'B-sf'; Outlook Stable.
The following class is not expected to be rated:
-- $30,144,085ac class NR-RR.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
(c) Horizontal credit risk retention interest representing no less
than 5% of the estimated fair value of all classes of regular
certificates issued by the issuing entity as of the closing date.
(d) The exact initial certificate balances of the Class A-4 and
Class A-5 certificates are unknown and will be determined based on
the final pricing of those classes of certificates. The aggregate
initial certificate balance of the Class A-4 and Class A-5
certificates is expected to be approximately $365,069,000, subject
to a variance of plus or minus 5%.
The expected ratings are based on information provided by the
issuer as of June 18, 2018.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 48 loans secured by 91
commercial properties having an aggregate principal balance of
$803,816,086 as of the cut-off date. The loans were contributed to
the trust by: UBS AG, Argentic Real Estate Finance, Natixis Real
Estate Capital LLC, Societe Generale, KeyBank National Association
and Cantor Commercial Real Estate Lending, L.P.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 72.9% of the properties
by balance, cash flow analysis of 80.0% and asset summary reviews
on 97.5% of the pool.
KEY RATING DRIVERS
Fitch Debt Service Coverage (DSCR) is Lower Than Recent
Transactions: The pool's Fitch DSCR is 1.21x relative to the 2017
and 2018 YTD averages of 1.26x and 1.25x, respectively. However,
the pool's LTV of 102.0% is comparable with the 2017 and 2018 YTD
averages of 101.6% and 103.8%. Excluding investment-grade credit
opinion loans, the pool has a Fitch DSCR and LTV of 1.20x and
104.7%, respectively.
Diverse Pool: The pool is more diverse than recent Fitch-rated
transactions. The top-10 loans make up 44.2% of the pool, less than
the 2017 average of 53.1% and the 2018 YTD average of 51.2%. The
pool's average loan size of $16.7 million is lower than the average
of $20.0 million for 2017 and $19.0 million for YTD 2018. The
concentration results in an LCI of 314, less than the 2017 average
of 398 and the YTD 2018 average of 379.
Investment-Grade Credit Opinion Loan: One loan, representing 6.2%
of the transaction, is credit assessed. The largest loan, 20 Times
Square has a stand-alone credit opinion of 'Asf', with a Fitch DSCR
and Fitch LTV of 1.44x and 60.9%, respectively.
RATING SENSITIVITIES
For this transaction, Fitch's NCF was 21.6% below the most recent
year's NOI for properties for which a full-year NOI was provided,
excluding properties that were stabilizing during this period.
Unanticipated further declines in property-level NCF could result
in higher defaults and loss severities on defaulted loans and in
potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the UBS
2018-C11 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'BBB+sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'
could result.
WELLS FARGO 2015-SG1: Fitch Affirms B- Rating on 2 Tranches
-----------------------------------------------------------
Fitch Ratings affirms 15 classes of Wells Fargo Bank, National
Association, commercial mortgage pass-through certificates, series
2015-SG1.
KEY RATING DRIVERS
Relatively Stable Overall Performance: The affirmations are a
result of the stable performance of the majority of the pool and
sufficient credit enhancement to cover losses. Fitch has designated
nine loans as Fitch loans of concern (12%), including two specially
serviced assets (2.2%). There have been no realized losses to
date.
High Retail and Hotel Concentration: Loans backed by retail
properties represent 34.9% of the pool, including five (21.9%) in
the top 15. The largest loan in the pool, Patrick Henry Mall
(9.5%), is a regional mall located in Newport News, VA with
exposure to JC Penney and Macy's. TTM sales were $331 psf in March
2018 compared to $405 psf at issuance. Occupancy has been stable to
improving since issuance. While the mall continues to perform,
there is direct competition. Fitch did not model a loss for the
loan in its base case, but ran an additional scenario assuming a
25% loss severity on the mall; the outlooks reflect this additional
stress. Hotel loans represent 23.2% of the pool, including three
(9.5%) in the top 10.
Fitch Loans of Concern: The largest Loan of Concern is the Landmark
Center (2.3%), a 306,074 square foot office building in
Indianapolis, IN. Angie's List, the largest tenant occupying 32% of
the net rentable area (NRA), vacated in April 2018, which reduced
occupancy at the property to 52%. The borrower is completing
renovations to the lobby and amenity spaces and working to
re-tenant the space. Fitch stressed the NOI to reflect the drop in
occupancy and applied a cap rate of 9.0%.The second largest Loan of
Concern is 2113 Kalakaua (1.9%), a 5,714 square foot retail
building in Honolulu, HI, near Waikiki Beach. Lucky Brand (55.2%
NRA) and Sunglass Hut (13.8% NRA) both vacated at their lease
expirations in January 2018, reducing occupancy at the property to
31%. Fitch stressed the year-end 2017 net operating income (NOI) to
be in-line with the issuance NOI where Fitch performed a dark value
analysis on the Lucky space.
The remaining non-specially serviced Fitch loans of concern include
an underperforming hotel in Grand Forks, ND, a multifamily property
in Baton Rouge, LA that sustained significant flood damage in 2016,
a hotel near Roanoke, VA with an expiring franchise flag, and a
hotel near Jackson, MS with significant water damage after a
sprinkler line broke in January 2018.
Specially Serviced Assets: The largest specially serviced loan is
Hampton Inn & Applebee's, Westhampton (1.42%), a 100-key limited
service hotel and 5,203 sf restaurant in Westhampton, NJ near
Philadelphia. The loan transferred to special servicing in March
2018 for payment default. An increase in supply in the market
caused a decline in occupancy and NOI resulting in the borrower
missing loan payments. Golfsmith Myrtle Beach (0.73%) is a 35,000
sf single tenant retail building in Myrtle Beach, SC. The loan
transferred to special servicing in January 2017 after losing the
sole tenant. The property became REO in May 2018.
Minimal Change to Credit Enhancement: As of the May 2018
distribution date, the pool's aggregate principal balance has paid
down by 2.4% to $698.8 million from $716.3 million at issuance.
Interest shortfalls are currently impacting class G.
At issuance, the pool was scheduled to amortize by 14.5% of the
initial pool balance through maturity, which was considered above
average compared to other similar Fitch-rated, fixed-rate
multiborrower transactions. The 2014 and 2015 averages were 12% and
11.7%, respectively. Of the current pool, only 12.2% are full-term
interest only and 43.3% are partial interest-only.
Maturity Concentration: Maturities for the pool are as follows:
2019 - 1 loan (0.6%); 2020 - 1 loan (0.6%); 2022 - 1 loan (1%);
2024 - 1 loan (0.6%); and 2025 - 68 loans (97.1%).
RATING SENSITIVITIES
The Negative Rating Outlooks on classes E, X-E, F, and X-F reflect
sensitivity to outsized losses on the Patrick Henry Mall, a
regional mall with declining sales and the largest loan in the
pool. If Patrick Henry Mall were stressed with a 25% loss severity
these classes would be subject to a downgrade. Rating Outlooks for
classes A-1 through D remain Stable due to overall stable
performance and continued amortization. Upgrades may occur with
improved pool performance and additional paydown or defeasance.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third party due diligence was provided to or reviewed by Fitch
in relation to this rating action.
Fitch affirms the following ratings and revises Outlooks as
indicated:
-- $8.7 million class A-1 at 'AAAsf'; Outlook Stable;
-- $17.9 million class A-2 at 'AAAsf'; Outlook Stable;
-- $6.6 million class A-3 at 'AAAsf'; Outlook Stable;
-- $391.8 million class A-4 at 'AAAsf'; Outlook Stable;
-- $54.8 million class A-SB at 'AAAsf'; Outlook Stable;
-- $41.2 million class A-S at 'AAAsf'; Outlook Stable;
-- $525.1 million class X-A* at 'AAAsf'; Outlook Stable;
-- $44.8 million class B at 'AA-sf'; Outlook Stable;
-- $33.1 million class C at 'A-sf'; Outlook Stable;
-- $119.1 million class PEX at 'A-sf'; Outlook Stable;
-- $38.5 million class D at 'BBB-sf'; Outlook Stable;
-- $17.9 million class E at 'BB-sf'; Outlook to Negative from
Stable;
-- $17.9 million class X-E* at 'BB-sf'; Outlook to Negative from
Stable;
-- $8.1 million class F at 'B-sf'; Outlook to Negative from
Stable;
-- $8.1 million class X-F* at 'B-sf'; Outlook to Negative from
Stable.
* Notional amount and interest only.
Fitch does not rate the class G or X-G certificates. Fitch
previously withdrew the ratings on the class A-4FL, A-4FX and X-B
certificates.
WFRBS COMMERCIAL 2013-C12: S&P Affirms B+(sf) Rating on F Certs
---------------------------------------------------------------
S&P Global Ratings affirmed its ratings on 13 classes of commercial
mortgage pass-through certificates from WFRBS Commercial Mortgage
Trust 2013-C12, a U.S. commercial mortgage-backed securities (CMBS)
transaction.
For the affirmations on the principal- and interest-paying classes,
S&P's expectation of credit enhancement was in line with the
affirmed rating levels.
S&P said, "Our analysis considered the appraisal value reported for
the specially serviced Studio Green Apartments loan ($26.7 million,
2.6%) and the potential for losses to be higher than expected given
the collateral property's reported declining performance. If
updated information indicates further deterioration in the loan's
credit quality, we may revisit our analysis and assess the impact,
if any, on the outstanding ratings.
"We affirmed our ratings on the class X-A and X-B interest-only
(IO) certificates based on our criteria for rating IO securities,
in which the ratings on the IO securities would not be higher than
that of the lowest-rated reference class. Class A's notional
balance references classes A-1, A-2, A-3, A-3FX, A-4, A-SB, and
A-S, and class X-B's notional balance references classes B and C."
TRANSACTION SUMMARY
As of the May 17, 2018, trustee remittance report, the collateral
pool balance was $1.01 billion, which is 81.9% of the pool balance
at issuance. The pool currently includes 92 loans, of which 23 are
residential cooperative loans ($50.1 million, 5.0%), down from 100
loans at issuance. Two of these loans ($40.4 million, 4.0%) are
with the special servicer, five ($79.6 million, 7.9%) are defeased,
and 27 ($225.1 million, 22.3%) are on the master servicer's
watchlist.
S&P calculated a 1.93x S&P Global Ratings weighted average debt
service coverage (DSC) and 74.4% S&P Global Ratings weighted
average loan-to-value (LTV) ratio using a 7.97% S&P Global Ratings
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the specially serviced and
defeased loans.
The top 10 nondefeased loans have an aggregate outstanding pool
trust balance of $539.6 million (53.5%). Adjusting the
servicer-reported numbers, S&P calculated an S&P Global Ratings
weighted average DSC and LTV of 1.91x and 77.4%, respectively, for
nine of the top 10 nondefeased loans. The remaining loan is
specially serviced and discussed below.
To date, the transaction has not experienced any principal losses.
Upon the resolution of the two specially serviced loans, S&P
expects losses to reach approximately 1.2% of the original pool
trust balance in the near term.
CREDIT CONSIDERATIONS
As of the May 17, 2018, trustee remittance report, two loans in the
pool were with the special servicer, Rialto Capital Advisors LLC
(Rialto). Details of the specially serviced loans, one of which is
a top 10 nondefeased loan, are as follows:
The Studio Green Apartments loan is the larger of the two loans
with the special servicer and is the ninth-largest nondefeased loan
in the pool with a total reported exposure of $27.4 million. The
loan is secured by a 1,074-unit student housing property in Newark,
Del. The loan, which has a 90-plus-day delinquent payment status,
was transferred to the special servicer on April 21, 2016, because
of imminent default. According to the special servicer, the
property's performance could not restabilize after occupancy
declines. The borrower has funded debt service shortfalls through
January 2018, at which point the borrower stated it will no longer
support the property and intends to transfer the property to the
lender. The property's reported cash flow was not sufficient to
cover expenses for the nine months ended Sept. 30, 2017, and
occupancy was 59.0% for the same reporting period. This compares
with the reported DSC and occupancy of 0.42x and 48.2%,
respectively, as of year-end 2016. S&P expects a moderate loss
(between 26% and 59%) upon its eventual resolution.
The Gander Mountain loan ($13.7 million, 1.4%) has a total reported
exposure of $14.4 million. The loan is secured by a 120,000-sq.-ft.
retail property in Palm Beach Gardens, Fla. The loan was
transferred to the special servicer on Aug. 8, 2017, after Gander
Mountain, the previous single tenant who occupied 100% of the
property, filed for bankruptcy. Grander Mountain rejected its lease
and vacated the property. According to Rialto, the property remains
100% vacant. An appraisal reduction amount of $6.2 million is in
effect against this loan. S&P expects a moderate loss upon this
loan's eventual resolution.
S&P estimated losses for the specially serviced loans, arriving at
a weighted average loss severity of 36.3%.
RATINGS LIST
WFRBS Commercial Mortgage Trust 2013-C12
Commercial mortgage pass-through certificates series 2013-C12
Rating
Class Identifier To From
A-3 92937FAC5 AAA (sf) AAA (sf)
A-3FL 92937FAQ4 AAA (sf) AAA (sf)
A-3FX 92937FAS0 AAA (sf) AAA (sf)
A-4 92937FAD3 AAA (sf) AAA (sf)
A-SB 92937FAE1 AAA (sf) AAA (sf)
A-S 92937FAF8 AAA (sf) AAA (sf)
X-A 92937FAJ0 AAA (sf) AAA (sf)
X-B 92937FAL5 A (sf) A (sf)
B 92937FAG6 AA (sf) AA (sf)
C 92937FAH4 A (sf) A (sf)
D 92937FAU5 BBB (sf) BBB (sf)
E 92937FAW1 BB (sf) BB (sf)
F 92937FAY7 B+ (sf) B+ (sf)
WFRBS COMMERCIAL 2013-C15: Fitch Affirms Bsf Rating on Cl. F Certs
------------------------------------------------------------------
Fitch Ratings has affirmed 11 classes of WFRBS Commercial Mortgage
Trust (WFRBS) commercial mortgage pass-through certificates series
2013-C15.
KEY RATING DRIVERS
Increased Loss Expectations: While the majority of the pool
continues to exhibit stable performance, Fitch's loss expectations
have increased due to the notable percentage of Fitch Loans of
Concern (FLOCs, 14.9% of the pool), including three specially
serviced/REO assets (3.0%), and the high concentration of loans
secured by retail properties (40.2% of the pool). The Negative
Rating Outlooks assigned to classes D, E and F reflect concerns
over these loans/assets.
The largest FLOC, Carolina Place (8.2%), is secured by a 694,680-sf
portion of a 1.2 million-sf regional mall located in Pineville, NC.
The mall lost a non-collateral Macy's in early 2017 and has seen
declining anchor and in-line sales since issuance. The second
largest FLOC, the specially serviced Cleveland Airport Marriott
(1.7%), is secured by a 372-key, full-service hotel located in
Cleveland, OH that has suffered declining performance due to the
overbuilt local lodging market. The third largest FLOC, Devonshire
Portfolio (1.7%), is secured by a portfolio of four
grocery-anchored and freestanding drug stores, the largest of which
lost an anchor tenant in December 2016.
The remaining loans/assets of concern include an REO portfolio of
vacant Gander Mountain stores (0.9%), a portfolio of Winn-Dixie
grocery stores (0.8%), an office tower in Dallas, TX (0.7%) that
has suffered declining occupancy since issuance, a neighborhood
shopping center in North Olmsted, OH (0.5%) that is anchored by
Babies "R" Us, and an REO limited-service hotel in Sidney, MT
(0.4%).
Improved Credit Enhancement: The rating affirmations reflect the
improved credit enhancement to the classes, which helps to offset
Fitch's increased loss expectations. Five loans (5.0% of the pool
at issuance) have paid off since issuance, including Arizona
Student Housing (1.0%), which paid off after the most recent
distribution date.
As of the May 2018 distribution date, the pool's aggregate
principal balance had been reduced by 10.1% to $995.6 million from
$1.11 billion at issuance. Further, 5.5% of the pool is defeased.
The pool is scheduled to amortize by a total of 15.2% prior to
maturity. Four loans (12.1%), including the largest loan, are
interest-only, while four loans (20.8%) remain in partial
interest-only periods.
Significant Retail/Regional Mall Concentration: Retail properties
represent the largest property type concentration at 40.2% of the
pool with three of the top five loans secured by regional malls.
Both Augusta Mall (11.1%) and Kitsap Mall (7.8%) have exhibited
improving cash flows and healthy tenant sales performance. However,
Carolina Place (8.2%) is a FLOC that lost a non-collateral anchor
tenant and has seen recent overall declining tenant sales. Fitch
applied an additional stress scenario on the Carolina Place loan.
Co-op Loans: Twenty-three loans (7.8% of the pool) are secured by
co-op properties. These co-op loans have very low leverage metrics
on a rental-scenario basis.
Maturity Schedule: There are limited scheduled loan maturities
until 2023 (95.3%).
RATING SENSITIVITIES
The Negative Outlooks assigned to classes D, E and F reflect
potential rating downgrades should performance of the FLOCs
continue to decline. Fitch's analysis also included an additional
stress scenario whereby a 25% loss was assumed on Carolina Place to
reflect the potential for an outsized loss; the Rating Outlooks
partially reflect this stress. A higher 50% loss scenario on the
Carolina Mall could result in additional Negative Rating Outlooks
through class A-S.
The Outlooks on classes A-3 through C and PEX remain Stable due to
the relatively stable performance of the majority of the pool,
sufficient credit enhancement and expected continued amortization.
Rating upgrades to classes B and below may occur with improved pool
performance and additional paydown or defeasance.
DUE DILIGENCE USAGE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating.
Fitch affirms the following classes and revises Outlooks as
indicated:
-- $256.9 million class A-3 at 'AAAsf', Outlook Stable;
-- $301.8 million class A-4 at 'AAAsf', Outlook Stable;
-- $104.8 million class A-SB at 'AAAsf', Outlook Stable;
-- $80.3 million class A-S at 'AAAsf', Outlook Stable;
-- $743.7 million class X-A* at 'AAAsf', Outlook Stable;
-- $74.7 million class B at 'AA-sf', Outlook Stable;
-- $42.9 million class C at 'A-sf', Outlook Stable;
-- $62.3 million class D at 'BBB-sf', Outlook to Negative from
Stable;
-- $22.1 million class E at 'BBsf', Outlook to Negative from
Stable;
-- $11.1 million class F at 'Bsf', Outlook to Negative from
Stable;
-- $197.9 million class PEX* at 'A-sf', Outlook Stable.
* Notional amount and interest only.
The class A-1 and A-2 certificates have paid in full. Fitch does
not rate the class G certificates. The class A-S, B, and C
certificates may be exchanged for class PEX certificates, and the
class PEX certificates may be exchanged for the class A-S, B, and C
certificates.
WFRBS COMMERCIAL 2013-C16: Fitch Affirms B- Rating on $10MM F Debt
------------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of WFRBS Commercial Mortgage
Trust 2013-C16 certificates.
KEY RATING DRIVERS
Relatively Stable Loss Expectations: The rating affirmations
reflect the overall stable performance of the majority of the pool.
Current loss expectations are slightly higher than issuance due to
the Fitch Loans of Concern (FLOC) but are offset by increased
credit enhancement.
As of the May 2018 distribution date, the pool's aggregate
principal balance has been reduced by 14.4% to $895.6 million from
$1.05 billion at issuance. Two loans are in special servicing
(3.27%) and Fitch has designated five loans as FLOCs. Three loans
are fully defeased (4.33%). One loan, Brennan Industrial Portfolio
(9.4% of the original pool balance), has paid off since issuance.
Interest shortfalls are currently affecting the non-rated class G.
Specially Serviced Loans; FLOCs: Fitch has designated five loans
(6% of the pool balance) as a FLOC, including two specially
serviced loans (3.27%), secured by the Wyoming Hotel Portfolio
(1.82%) and a Hurricane Harvey damaged Holiday Inn & Suites Westway
Park (1.45%). The three current FLOCs include two retail properties
(2.2%) and an Office (0.53%) property located in Orlando, FL. All
three properties have exhibited declining performance and
significant occupancy declines since Fitch's last rating action.
One retail property located in Charlotte, NC lost its largest
tenant Bi Lo (54% NRA) when its parent company Southeastern Grocers
filed for bankruptcy.
Strong Credit Metrics: As of the May 2018 distribution, the pool's
weighted-average debt service coverage ratio (DSCR) was 2.23x based
on borrower reporting, and the weighted-average debt yield was
13.2%. The weighted-average LTV is 78.9%.
Amortization: Loans representing 29.3% of the pool are interest
only for the full term, including the two largest loans. Five loans
representing 6.6% of the pool balance are scheduled to mature in
September 2018, including one fully defeased loan.
Pool Concentration: Hotels account for 18.2% of the pool collateral
and 33% of the pool is backed by retail properties. Hotels are
deemed to experience more volatile cash flow shifts given their
nightly rental platform and high expense ratios, and there is
concern with the retail market as a whole given shifting trends in
consumer spending.
RATING SENSITIVITIES
Rating Outlooks for all classes remain Stable. Although two loans
have transferred to the special servicer, overall pool performance
has remained stable and credit enhancement has increased.
Downgrades are possible should Fitch's loss expectations increase
or additional loans transfer to the special servicer. Upgrades may
occur with improved pool performance and additional paydown or
defeasance.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following classes:
-- $62.9 million class A-2 at 'AAAsf', Outlook Stable;
-- $44 million class A-3 at 'AAAsf', Outlook Stable;
-- $183 million class A-4 at 'AAAsf', Outlook Stable;
-- $221.6 million class A-5 at 'AAAsf', Outlook Stable;
-- $70.4 million class A-SB at 'AAAsf', Outlook Stable;
-- $100.7 million class A-S at 'AAAsf', Outlook Stable;
-- $789 million* class X-A at 'AAAsf', Outlook Stable;
-- $56.2 million class B at 'AA-sf', Outlook Stable;
-- $41.8 million class C at 'A-sf', Outlook Stable;
-- $198.7 class PEX at 'A-sf', Outlook Stable;
-- $47.1 million class D at 'BBB-sf', Outlook Stable;
-- $24.8 million class E at 'BB-sf', Outlook Stable;
-- $10.5 million class F at 'B-sf', Outlook Stable.
* Notional amount and interest only.
Fitch does not rate the class G and X-B certificates. Class A-1 has
paid in full. Fitch previously withdrew the rating on the class X-C
certificate. The class A-S, B and C certificates may be exchanged
for the class PEX certificates and vice versa.
[*] Moody's Cuts Ratings on 7 Certs From 4 Structured Note Deals
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of seven
certificates in four structured note transactions:
Issuer: Corporate Asset Backed Corporation
U.S.$52,650,000 Trust Certificates, Downgraded to Caa1; previously
on September 30, 2016 Upgraded to B3
Issuer: Corporate Backed Callable Trust Certificates, J.C. Penney
Debenture-Backed Series 2006-1
Class A-1 Certificates, Downgraded to Caa1; previously on September
30, 2016 Upgraded to B3
Class A-2 Certificates, Downgraded to Caa1; previously on September
30, 2016 Upgraded to B3
Issuer: Corporate Backed Callable Trust Certificates, J.C. Penney
Debenture-Backed Series 2007-1
Class A-1 Certificates, Downgraded to Caa1; previously on September
30, 2016 Upgraded to B3
Class A-2 Certificates, Downgraded to Caa1; previously on September
30, 2016 Upgraded to B3
Issuer: SATURNS J.C Penney Corporation Inc. Debenture Backed Series
2007-1
U.S.$54,500,000 of 7.00% Callable Units due March 1, 2097
("Certificates"), Downgraded to Caa1; previously on September 30,
2016 Upgraded to B3
U.S.$3,690,000 Initial Notional Amortizing Balance of Interest-Only
Class B Callable Units due March 1, 2097 ("Certificates"),
Downgraded to Caa1; previously on September 30, 2016 Upgraded to
B3
RATINGS RATIONALE
Moody's rating actions are a result of the change in the rating of
J.C. Penney Corporation, Inc.'s 7.625% Debentures due March 1, 2097
("Underlying Securities"), which was downgraded to Caa1 on June 6,
2018. The four transactions listed are structured notes whose
ratings are based on the rating of the Underlying Securities and
the corresponding legal structure of each transaction,
respectively.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating Repackaged Securities" published in June 2015.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS
The ratings of the structured notes will be sensitive to any change
in the rating of the 7.625% Debentures due March 1, 2097 issued by
J.C. Penney Corporation, Inc.
[*] Moody's Hikes $93.8MM Subprime RMBS Issued 1997-2004
--------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 27 tranches
from ten transactions backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: Aegis Asset Backed Securities Trust 2004-4
Cl. B1, Upgraded to Caa1 (sf); previously on Aug 25, 2016 Upgraded
to Caa3 (sf)
Cl. M1, Upgraded to Aa3 (sf); previously on Jul 5, 2017 Upgraded to
A3 (sf)
Cl. M2, Upgraded to Ba1 (sf); previously on Aug 25, 2016 Upgraded
to Ba3 (sf)
Cl. M3, Upgraded to B2 (sf); previously on Aug 25, 2016 Upgraded to
Caa1 (sf)
Issuer: AMRESCO Residential Mortgage Loan Trust 1997-2
A-7, Upgraded to Aaa (sf); previously on Apr 5, 2013 Affirmed Baa1
(sf)
A-8, Upgraded to Aaa (sf); previously on Apr 5, 2013 Affirmed A3
(sf)
Issuer: AMRESCO Residential Mortgage Loan Trust 1997-3
A-8, Upgraded to A1 (sf); previously on Apr 5, 2013 Downgraded to
Baa2 (sf)
Issuer: C-BASS 2002-CB2 Trust
Cl. A-1, Upgraded to Baa2 (sf); previously on Jul 18, 2017 Upgraded
to Ba1 (sf)
Cl. A-2, Upgraded to Baa3 (sf); previously on Jul 18, 2017 Upgraded
to Ba3 (sf)
Cl. M-1, Upgraded to Caa1 (sf); previously on Jul 18, 2017 Upgraded
to Caa3 (sf)
Issuer: C-Bass Mortgage Loan Asset Backed Notes, Series 2001-CB4
Cl. IA-1, Upgraded to Aa2 (sf); previously on Jul 5, 2017 Upgraded
to A2 (sf)
Cl. IM-1, Upgraded to Baa3 (sf); previously on Jul 5, 2017 Upgraded
to Ba3 (sf)
Cl. IM-2, Upgraded to Ba3 (sf); previously on Jul 5, 2017 Upgraded
to Caa3 (sf)
Cl. IB-1, Upgraded to B2 (sf); previously on May 4, 2012 Confirmed
at C (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2004-CB6
Cl. M-2, Upgraded to B1 (sf); previously on Mar 10, 2011 Downgraded
to B3 (sf)
Cl. M-3, Upgraded to Caa2 (sf); previously on May 4, 2012 Confirmed
at Ca (sf)
Issuer: Chase Funding Loan Acquisition Trust 2004-OPT1
Cl. B-1, Upgraded to Caa1 (sf); previously on Apr 23, 2012
Downgraded to C (sf)
Cl. B-2, Upgraded to Caa2 (sf); previously on Mar 7, 2011
Downgraded to C (sf)
Cl. M-3, Upgraded to B2 (sf); previously on Dec 29, 2016 Upgraded
to Ca (sf)
Issuer: CIT Home Equity Loan Trust 2002-2
Cl. AV, Upgraded to Aa1 (sf); previously on Jul 11, 2017 Upgraded
to Aa3 (sf)
Cl. AF, Upgraded to Aa1 (sf); previously on Jan 26, 2016 Upgraded
to Baa1 (sf)
Issuer: Credit Suisse First Boston Mortgage Securities Corp. Series
2002-3
Cl. M-1, Upgraded to Ba1 (sf); previously on Feb 10, 2016 Upgraded
to Ba3 (sf)
Cl. M-2, Upgraded to B3 (sf); previously on Feb 10, 2016 Upgraded
to Caa2 (sf)
Issuer: Credit Suisse First Boston Mortgage Securities Corp. Series
2003-7
Cl. M-1, Upgraded to Baa1 (sf); previously on Jun 11, 2015 Upgraded
to Ba1 (sf)
Cl. M-2, Upgraded to Baa3 (sf); previously on Aug 25, 2016 Upgraded
to Ba3 (sf)
Cl. M-3, Upgraded to Ba2 (sf); previously on Jul 11, 2017 Upgraded
to B1 (sf)
Cl. B-1, Upgraded to Caa3 (sf); previously on Jul 11, 2017 Upgraded
to Ca (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pools
and reflect Moody's updated loss expectations on the pools. The
rating upgrades are a result of the improving performance of the
related pools and an increase in credit enhancement available to
the bonds.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 3.8% in May 2018 from 4.3% in May
2017. Moody's forecasts an unemployment central range of 3.5% to
4.5% for the 2018 year. Deviations from this central scenario could
lead to rating actions in the sector. House prices are another key
driver of US RMBS performance. Moody's expects house prices to
continue to rise in 2018. Lower increases than Moody's expects or
decreases could lead to negative rating actions. Finally,
performance of RMBS continues to remain highly dependent on
servicer procedures. Any change resulting from servicing transfers
or other policy or regulatory change can impact the performance of
these transactions.
[*] Moody's Hikes Ratings on 20 Tranches From 8 US RMBS Deals
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 20 tranches
from eight transactions backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: Accredited Mortgage Loan Trust 2003-1
Cl. A-1, Upgraded to B2 (sf); previously on Sep 12, 2013 Confirmed
at Caa1 (sf)
Issuer: Amortizing Residential Collateral Trust 2002-BC8
Cl. A3, Upgraded to Aa3 (sf); previously on Oct 1, 2015 Upgraded to
A1 (sf)
Issuer: First Franklin Mortgage Loan Trust 2004-FF1
Cl. B-1, Upgraded to Ca (sf); previously on May 20, 2011 Downgraded
to C (sf)
Cl. M-2, Upgraded to Ba1 (sf); previously on Mar 29, 2016 Upgraded
to Ba3 (sf)
Issuer: Fremont Home Loan Trust 2004-A
Cl. M-2, Upgraded to Caa2 (sf); previously on Mar 21, 2011
Downgraded to Ca (sf)
Issuer: GSAMP Trust 2003-HE2
Cl. A-2, Upgraded to A1 (sf); previously on Sep 17, 2013 Confirmed
at A3 (sf)
Cl. A-1A, Upgraded to A1 (sf); previously on Sep 17, 2013 Confirmed
at A3 (sf)
Cl. A-3A, Upgraded to A1 (sf); previously on Sep 17, 2013 Confirmed
at A3 (sf)
Cl. A-1B, Upgraded to A2 (sf); previously on Jan 30, 2017 Upgraded
to Baa1 (sf)
Cl. A-3C, Upgraded to A1 (sf); previously on Sep 17, 2013 Confirmed
at A3 (sf)
Cl. M-1, Upgraded to Ba2 (sf); previously on Jan 30, 2017 Upgraded
to B1 (sf)
Cl. M-2, Upgraded to B3 (sf); previously on Jan 30, 2017 Upgraded
to Caa3 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on Apr 9, 2012
Downgraded to C (sf)
Issuer: RAMP Series 2004-RS10 Trust
Cl. M-I-1, Upgraded to Ba1 (sf); previously on Apr 6, 2017 Upgraded
to B1 (sf)
Cl. M-II-2, Upgraded to Caa1 (sf); previously on Mar 30, 2011
Downgraded to Caa3 (sf)
Issuer: Saxon Asset Securities Trust 2004-1
Cl. M-1, Upgraded to B3 (sf); previously on Jan 21, 2016 Downgraded
to Caa1 (sf)
Issuer: Structured Asset Investment Loan Trust 2003-BC9
Cl. 2-A, Upgraded to A1 (sf); previously on Mar 4, 2011 Downgraded
to Baa2 (sf)
Cl. M1, Upgraded to Baa3 (sf); previously on Mar 10, 2017 Upgraded
to Ba3 (sf)
Cl. M2, Upgraded to Ba3 (sf); previously on Mar 10, 2017 Upgraded
to B2 (sf)
Cl. M3, Upgraded to Caa3 (sf); previously on Mar 4, 2011 Downgraded
to C (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pools
and reflect Moody's updated loss expectations on the pools. The
rating upgrades are a result of the improving performance of the
related pools and an increase in credit enhancement available to
the bonds.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 3.8% in May 2018 from 4.3% in May
2017. Moody's forecasts an unemployment central range of 3.5% to
4.5% for the 2018 year. Deviations from this central scenario could
lead to rating actions in the sector. House prices are another key
driver of US RMBS performance. Moody's expects house prices to
continue to rise in 2018. Lower increases than Moody's expects or
decreases could lead to negative rating actions. Finally,
performance of RMBS continues to remain highly dependent on
servicer procedures. Any change resulting from servicing transfers
or other policy or regulatory change can impact the performance of
these transactions.
[*] Moody's Takes Action on 22 Tranches from 10 US RMBS Deals
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 21 tranches
from nine transactions and downgraded the rating of one tranche
from one transaction, backed by Subprime RMBS loans, issued by
multiple issuers.
Complete rating actions are as follows:
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2005-HE6
Cl. M6, Upgraded to B2 (sf); previously on Jul 18, 2017 Upgraded to
Caa1 (sf)
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2006-HE2
Cl. A1, Upgraded to Aa1 (sf); previously on Aug 3, 2016 Upgraded to
A3 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2007-3
Cl. 1-A, Upgraded to B2 (sf); previously on Oct 17, 2016 Upgraded
to Caa2 (sf)
Issuer: Ellington Loan Acquisition Trust 2007-2
Cl. A-2b, Upgraded to Aa1 (sf); previously on Jul 11, 2017 Upgraded
to A3 (sf)
Cl. A-2c, Upgraded to Baa2 (sf); previously on Jul 11, 2017
Upgraded to Ba1 (sf)
Cl. A-2e, Upgraded to Aa3 (sf); previously on Jul 11, 2017 Upgraded
to A1 (sf)
Issuer: Fremont Home Loan Trust 2006-2
Cl. I-A-1, Upgraded to Aaa (sf); previously on Dec 28, 2016
Upgraded to Aa3 (sf)
Cl. II-A-3, Upgraded to Ba3 (sf); previously on Feb 8, 2016
Upgraded to B1 (sf)
Cl. II-A-4, Upgraded to B1 (sf); previously on Feb 8, 2016 Upgraded
to B2 (sf)
Issuer: GSAMP Trust 2006-HE7
Cl. A-1, Upgraded to Baa1 (sf); previously on Dec 21, 2016 Upgraded
to Baa3 (sf)
Cl. A-2D, Upgraded to A3 (sf); previously on Dec 21, 2016 Upgraded
to Baa3 (sf)
Cl. M-1, Upgraded to Ca (sf); previously on Jun 21, 2010 Downgraded
to C (sf)
Issuer: HSI Asset Securitization Corporation Trust 2006-NC1
Cl. I-A, Upgraded to Baa1 (sf); previously on May 20, 2015 Upgraded
to Ba2 (sf)
Issuer: HSI Asset Securitization Corporation Trust 2006-OPT4
Cl. I-A, Upgraded to Aaa (sf); previously on Dec 16, 2016 Upgraded
to Aa3 (sf)
Cl. II-A-3, Upgraded to Aaa (sf); previously on Dec 16, 2016
Upgraded to A1 (sf)
Cl. II-A-4, Upgraded to Aaa (sf); previously on Dec 16, 2016
Upgraded to A2 (sf)
Cl. M-1, Upgraded to Caa3 (sf); previously on Aug 13, 2010
Downgraded to Ca (sf)
Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, INABS
2005-D
Cl. A-I-1, Upgraded to Aaa (sf); previously on Aug 26, 2016
Upgraded to Aa2 (sf)
Cl. A-I-2, Upgraded to Aa1 (sf); previously on Aug 26, 2016
Upgraded to A3 (sf)
Cl. A-II-4, Upgraded to Aa1 (sf); previously on Aug 26, 2016
Upgraded to A3 (sf)
Cl. M-1, Upgraded to B1 (sf); previously on Aug 26, 2016 Upgraded
to B3 (sf)
Issuer: Long Beach Mortgage Loan Trust 2001-4, Asset Backed
Certificates, Series 2001-4
Cl. II-M1, Downgraded to B1 (sf); previously on Aug 16, 2016
Upgraded to Ba2 (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pools
and reflect Moody's updated loss expectations on the pools. The
ratings upgraded are a result of improving performance of the
related pools and/or an increase in credit enhancement available to
the bonds. The rating downgrade of Cl. II-M1 from Long Beach
Mortgage Loan Trust 2001-4, Asset Backed Certificates, Series
2001-4 is due to recent missed interest payments which are not
expected to be reimbursed due to a weak interest shortfall
reimbursement mechanism.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to macroeconomic
uncertainty, and in particular the unemployment rate. The
unemployment rate fell to 3.8% in May 2018 from 4.3% in May 2017.
Moody's forecasts an unemployment central range of 3.5% to 4.5% for
the 2018 year. Deviations from this central scenario could lead to
rating actions in the sector. House prices are another key driver
of US RMBS performance. Moody's expects house prices to continue to
rise in 2018. Lower increases than Moody's expects or decreases
could lead to negative rating actions. Finally, performance of RMBS
continues to remain highly dependent on servicer procedures.
[*] S&P Cuts Ratings on 8 Classes From 5 JC Penney-Related Deals
----------------------------------------------------------------
S&P Global Ratings lowered its ratings on eight classes from five
transactions linked to J.C. Penney Co. Inc. debentures to 'B-' from
'B'.
S&P said, "Our ratings on all eight classes of certificates are
dependent on our rating on the underlying security, J.C. Penney Co.
Inc.'s 7.625% debentures, due March 1, 2097 ('B-').
"The rating actions reflect the May 23, 2018, lowering of our
rating on the underlying security to 'B-' from 'B'.
"We may take additional rating actions on these transactions due to
subsequent changes in our rating assigned to the underlying
security."
RATINGS LOWERED
CABCO Trust For JC Penney Debentures Series 1999-1
US$52.65 million series trust certificates due 03/01/2097
Rating
Class To From
Certificates B- B
CorTS Trust For J.C. Penney Debentures
US$100 million corporate-backed trust securities (CorTS)
certificates
Class To From
Certificates B- B
Corporate-Backed Callable Trust Certificates J.C. Penney
Debenture-Backed Series 2006-1
US$27.5 million
Class To From
A-1 B- B
A-2 B- B
Corporate-Backed Callable Trust Certificates J.C. Penney
Debenture-Backed Series 2007-1 Trust
US$55 million corporate-backed callable trust certificates J.C.
Penney debentures-backed series 2007-1
Class To From
A-1 B- B
A-2 B- B
Structured Asset Trust Unit Repackaging (SATURNS) J.C. Penney
CompanyUS$54.5 million units series 2007-1
Class To From
A B- B
B B- B
[*] S&P Lowers Ratings on 10 Classes From Four U.S. CMBS Deals
--------------------------------------------------------------
S&P Global Ratings lowered its ratings on 10 classes of commercial
mortgage pass-through certificates from four U.S. commercial
mortgage-backed securities (CMBS) transactions.
S&P said, "We lowered our ratings on nine classes to 'D (sf)' due
to accumulated interest shortfalls that we expect to remain
outstanding for the foreseeable future. In addition, we lowered one
rating to 'CCC- (sf)' due to the duration of interest shortfalls
outstanding. The interest shortfalls on this class may be repaid
upon the liquidation of the sole specially serviced asset in the
transaction."
The recurring interest shortfalls for the respective certificates
are primarily due to one or more of the following factors:
-- Appraisal subordinate entitlement reduction (ASER) amounts in
effect for specially serviced assets;
-- The lack of servicer advancing for loans or assets where the
servicer has made nonrecoverable advance declarations;
-- Interest rate modifications or deferrals, or both, related to
corrected mortgage loans; or
-- Special servicing fees.
S&P said, "Our analysis primarily considered the ASER amounts based
on appraisal reduction amounts (ARAs) calculated using recent
Member of the Appraisal Institute (MAI) appraisals. We also
considered servicer-nonrecoverable advance declarations and special
servicing fees that are likely, in our view, to cause recurring
interest shortfalls."
The servicer implements ARAs and resulting ASER amounts according
to each transaction's terms. Typically, these terms call for an ARA
equal to 25% of the loan's stated principal balance to be
implemented when it is 60 days past due and an appraisal or other
valuation is not available within a specified time frame. S&P
primarily considered ASER amounts based on ARAs calculated from MAI
appraisals when deciding which classes from the affected
transactions to downgrade to 'D (sf)'. This is because ARAs based
on a principal balance haircut are highly subject to change, or
even reversal, once the special servicer obtains the MAI
appraisals.
Servicer-nonrecoverable advance declarations can prompt shortfalls
due to a lack of debt-service advancing, the recovery of previously
made advances after an asset was deemed nonrecoverable, or the
failure to advance trust expenses when nonrecoverable declarations
have been determined. Trust expenses may include, but are not
limited to, property operating expenses, property taxes, insurance
payments, and legal expenses.
Discussions of the individual transactions follow:
Banc of America Commercial Mortgage Inc., series 2006-2
S&P said, "We lowered our rating to 'D (sf)' on the class E
commercial mortgage pass-through certificates series 2006-2 to
reflect accumulated interest shortfalls that we expect to be
outstanding for the foreseeable future. The class E certificates
currently have accumulated interest shortfalls outstanding for 10
consecutive months. We believe that the interest shortfalls to will
continue and the accumulated interest shortfalls will remain
outstanding for a prolonged period."
According to the May 10, 2018, trustee remittance report, the trust
reported a net interest recovery this period of $539,490, of which
classes D and E recovered prior interest shortfalls totaling
$473,527, while class F experienced interest shortfall totaling
$105,512. The net recoveries this month resulted primarily from:
-- Interest not advanced due to a nonrecoverable determination of
$293,165; and
-- Special servicing fees totaling $27,779.
One-time recoveries of ASER and other shortfall refunds from the
other reserves of specially serviced loan Oklahoma retail center,
of $44,444 and $822,119 respectively.
The current reported interest shortfalls have affected all classes
subordinate to and including class E.
Bear Stearns Commercial Mortgage Securities Trust 2003-TOP10
S&P said, "We lowered our rating to 'CCC- (sf)' on class N
commercial mortgage pass-through certificates to reflect
accumulated interest shortfalls that have been outstanding for
eight months. However, our rating action considered the possibility
that the accumulated interest shortfalls outstanding may be repaid
in full when the only specially serviced asset, Power Plaza
Shopping Center, liquidates from the trust." The shortfalls from
Power Plaza Shopping Center resulted in interest shortfalls to
classes M and N, both of which currently have accumulated interest
shortfalls outstanding for eight consecutive months.
According to the May 14, 2018, trustee remittance report, the
current monthly interest shortfalls totaled $44,032 and resulted
primarily from:
-- Net ASER amounts totaling $42,225; and
-- Special servicing fees totaling $1,808.
The current reported interest shortfalls have affected all classes
subordinate to and including class M.
Credit Suisse Commercial Mortgage Trust Series 2007-C4
S&P lowered its ratings to 'D (sf)' on the class C and D commercial
mortgage pass-through certificates to reflect accumulated interest
shortfalls that it expects will remain outstanding for the
foreseeable future. These classes are expected to recover all the
accumulated shortfalls due to the expected liquidation of two real
estate-owned assets, namely the Corpus Christi Medical Tower and
the Lone Tree retail center, but will start incurring interest
shortfall from the next month onwards. The accumulated interest
shortfalls are currently outstanding on classes C and D for four
and eight consecutive months, respectively.
According to the May 17, 2018, trustee remittance report, the
current monthly interest shortfalls totaled $492,590 and resulted
primarily from:
-- Interest not advanced due to a nonrecoverable determination of
$354,649;
-- Net ASER amounts totaling $88,071; and
-- Special servicing fees totaling $39,221.
The current reported interest shortfalls this period have affected
all classes subordinate to and including class C.
Morgan Stanley Capital I Trust 2008-TOP29
S&P said, "We lowered our ratings to 'D (sf)' on the classes H, J,
K, L, M, and N commercial mortgage pass-through certificates to
reflect accumulated interest shortfalls that we expect will remain
outstanding for the foreseeable future. We believe that the
interest shortfalls to the class will continue and the accumulated
interest shortfalls will remain outstanding for a prolonged period
because all the loans in the pool are with the special servicer and
all of these classes are expected to incur some amount of principal
loss upon eventual resolution of specially serviced assets. We did
not take any rating action on class O because it had already been
downgraded to 'D (sf)'." The accumulated interest shortfalls are
currently outstanding on class H and J for three months, on class K
for five months, on class L and M for six months, on class N for 10
months, and on class O for 15 months.
According to the May 11, 2018, trustee remittance report, the
current monthly interest shortfalls totaled $97,250 and resulted
primarily from:
-- Net ASER amounts totaling $63,936; and
-- Special servicing fees totaling $33,313.
The current reported interest shortfalls this period have affected
all classes subordinate to and including class H.
RATINGS LOWERED
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates 2006-2
Rating
Class To From
E D (sf) CCC- (sf)
Bear Stearns Commercial Mortgage Securities Trust 2003-TOP10
Commercial mortgage pass-through certificates series 2003-TOP10
Rating
Class To From
N CCC- (sf) B- (sf)
Credit Suisse Commercial Mortgage Trust Series 2007-C4
Commercial mortgage pass-through certificates series 2007-C4
Rating
Class To From
C D (sf) B- (sf)
D D (sf) CCC (sf)
Morgan Stanley Capital I Trust 2008-TOP29
Commercial mortgage pass-through certificates series 2008-TOP29
Rating
Class To From
H D (sf) B- (sf)
J D (sf) B- (sf)
K D (sf) B- (sf)
L D (sf) B- (sf)
M D (sf) B- (sf)
N D (sf) CCC- (sf)
[*] S&P Takes Various Actions on 44 Classes From 15 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 44 classes from 15 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2001 and 2007. All of these transactions are backed by
subprime and negative amortization collateral. The review yielded
27 upgrades, three downgrades, and 14 affirmations.
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations include:
-- Collateral performance/delinquency trends;
-- Erosion of or increases in credit support;
-- Priority of principal payments;
-- Interest-only criteria;
-- Historical missed interest payments; 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."
S&P raised its rating on class X from WaMu Mortgage Pass-Through
Certificates Series 2005-AR1 Trust to 'AA+ (sf)' from 'B- (sf)' as
a result of the application of its interest-only (IO) criteria.
This class is a combination certificate comprised of an IO
component and a principal-only (PO) component, where the rating was
initially based on the IO and PO components together. Initially,
the PO component had a zero balance but would accrete principal in
the event of net negative amortization on the loans but this class
never accreted principal and currently still has a zero balance.
The PO component can no longer accrete a balance per the
transaction documents, which state that principal could accrete
until the fifth anniversary of the first payment date, which
occurred in February 2010, at which point a reset to a fully
amortizing payment would occur. However, the IO component continues
to receive payments based on an outstanding notional balance. As
such, class X is treated as an IO class outstanding prior to April
15, 2010, per our IO criteria that added the Appendix 1: Frequently
Asked Questions section on Dec. 19, 2016.
A list of Affected Ratings can be viewed at:
https://bit.ly/2LUD2qv
[*] S&P Takes Various Actions on 66 Classes From 18 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 66 ratings from 18 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2001 and 2007. These transactions are backed by prime,
subprime, re-performing, alternative-A, small balance commercial,
and scratch-and-dent collateral. The review yielded 18 upgrades,
three downgrades, 40 affirmations, and five discontinuances.
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations include:
-- Collateral performance/delinquency trends;
-- Historical interest shortfalls/missed interest payments;
-- Priority of principal payments; and
-- Available subordination and/or overcollateralization.
Rating Actions
S&P said, "The ratings affirmations reflect our opinion that our
projected credit support and collateral performance on these
classes has remained relatively consistent with our prior
projections.
"We raised our rating on class M-1 from RAAC Series 2006-RP1 Trust
to 'AAA (sf)' from 'BBB- (sf)' due to increased credit support
available to the class, since our last review. We also project the
class to pay down within a year.
"We lowered our rating on Class M-2 from MASTR Specialized Loan
Trust 2005-02 to 'CCC (sf)' from 'BB+ (sf)' due to multiple missed
interest payments in recent months. We don't expect these missed
interest payments to be ultimately repaid."
A list of Affected Ratings can be viewed at:
https://bit.ly/2t45pLM
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
TCR subscribers have free access to our on-line news archive.
Point your Web browser to http://TCRresources.bankrupt.com/and use
the e-mail address to which your TCR is delivered to login.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors.
Copyright 2018. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The TCR subscription rate is $975 for 6 months delivered via
e-mail. Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each. For subscription information, contact Peter A.
Chapman at 215-945-7000.
*** End of Transmission ***