/raid1/www/Hosts/bankrupt/TCR_Public/180902.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, September 2, 2018, Vol. 22, No. 244
Headlines
ANCHORAGE CAPITAL 2018-10: S&P Assigns Prelim BB- Rating on E Notes
ANGEL OAK 2018-3: DBRS Finalizes B Rating on Class B-2 Certs
ARBOR REALTY 2017-FL2: DBRS Confirms BB(low) Rating on Class E Debt
ASSURANT CLO III: Moody's Assigns Ba3 Rating on Class E Notes
ATLAS SENIOR XII: S&P Assigns Prelim. BB- Rating on Cl. E Notes
BBCMS 2017-DELC: DBRS Confirms B Rating on Class HRR Certs
BENCHMARK 2018-B5: DBRS Finalizes B Rating on Class G-RR Certs
BLACKHAWK MINING: Bank Debt Trades at 18% Off
BLUEMOUNTAIN CLO 2014-2: S&P Gives Prelim B- Rating on F-R2 Notes
BLUEMOUNTAIN CLO 2018-2: S&P Assigns B-(sf) Rating on Cl. F Notes
BXP TRUST 2017-CC: DBRS Confirms BB Rating on Class E Certs
CD 2016-CD1: DBRS Confirms B Rating on Class F Certs
CD 2018-CD7: Fitch Assigns 'B-sf' Rating on $7.17MM Class G-R Certs
CITIGROUP 2004-CB3: Moody's Hikes Ratings on 2 Tranches to B3
COMM 2013-CCRE11: DBRS Confirms B Rating on Class F Certs
CSAIL 2018-CX12: DBRS Finalizes BB(high) Rating on Class G-RR Certs
ELLIGHTON CLO I: Moody's Assigns B3 Rating on $12.4MM Cl. F-R Notes
FLAGSHIP CREDIT 2018-3: DBRS Finalizes BB Rating on Class E Notes
FREMF 2011-K704: Moody's Hikes Class X2 Certs Rating to 'Ba2'
GLACIER FUNDING II: Moody's Hikes $22.5M A-2 Notes Rating to Caa2
GREYWOLF CLO VII: S&P Assigns Prelim BB-(sf) Rating on Cl. D Notes
HERTZ VEHICLE II: Fitch Affirms 44 Tranches on 11 Deals
HUSKY INJECTION: Bank Debt Trades at 6% Off
JP MORGAN 2004-CIBCB: Moody's Hikes Class K Certs Rating to 'Caa2'
JP MORGAN 2007-LDP11: Moody's Hikes Class A-M Certs Rating to 'Ba1'
KKR CLO 12: Moody's Assigns (P)Ba3 Rating on Class E-R2 Notes
LB-UBS COMMERCIAL 2006-C6: S&P Cuts Cl. A-J Certs Rating to D(sf)
MARATHON CLO VIII: Moody's Gives (P)Ba3 Rating on Class D-R Notes
MARATHON CLO XII: S&P Assigns Prelim BB- Rating on D Notes
MONARCH BEACH 2018-MBR: DBRS Finalizes B(high) on Class G Certs
MORGAN STANLEY I: S&P Raises Class L Certs Rating to BB+(sf)
NEUBERGER BERMAN XXII: S&P Gives Prelim BB- Rating on Cl. E-R Notes
OCP CLO 2014-7: S&P Assigns Prelim B-(sf) Rating on Cl. E-RR Notes
OZLM FUNDING II: S&P Assigns BB- Rating on Class D-R2 Notes
PROSPER MARKETPLACE 2018-2: Moody's Rates Class C Notes B2(sf)
SERTA SIMMONS: Bank Debt Trades at 16% Off
SOUND POINT CLO XXI: Moody's Assigns Ba3 Rating on Class D Notes
STEELE CREEK 2018-2: Moody's Assigns Ba3 Rating on Class E Notes
UBS COMMERCIAL 2018-C12: Fitch Rates Class F-RR Certs 'BB-'
WACHOVIA BANK 2003-C5: Moody's Affirms Class X-C Certs at 'Ca'
WACHOVIA BANK 2006-C23: Moody's Affirms Class H Certs at 'Caa2'
WELLS FARGO 2018-C46: Fitch Rates Class G-RR Certs 'B-sf'
WHITEHORSE LTD XII: S&P Assigns Prelim BB- Rating on Cl. E Notes
[*] DBRS Reviews 27 Ratings From 5 U.S. ABS Transactions
[*] DBRS Reviews 36 Ratings From 7 U.S. ABS Transactions
[*] Moody's Hikes 19 Tranches From 7 US RMBS Deals
[*] Moody's Takes Action on $104.2MM Scratch & Dent RMBS Deals
[*] Moody's Takes Action on $159.6MM U.S. RMBS Issued in 2005-2006
[*] Moody's Takes Action on $347.4MM of RMBS Issued 2003-2007
[*] S&P Completes Review of 20 Classes From 6 RMBS Deals
[*] S&P Discontinues Ratings on 34 Classes From 11 CDO Deals
[*] S&P Takes Various Action on 43 Classes from 15 U.S. RMBS Deals
[*] S&P Takes Various Action on 88 Classes From 17 U.S. RMBS Deals
[*] S&P Takes Various Actions on 107 Classes From 14 US RMBS Deals
[*] S&P Takes Various Actions on 40 Classes From 17 US RMBS Deals
*********
ANCHORAGE CAPITAL 2018-10: S&P Assigns Prelim BB- Rating on E Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Anchorage
Capital CLO 2018-10 Ltd./Anchorage Capital CLO 2018-10 LLC's fixed-
and floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed primarily by broadly syndicated senior secured term loans.
The preliminary ratings are based on information as of Aug. 29,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
Anchorage Capital CLO 2018-10 Ltd./Anchorage Capital CLO 2018-10
LLC
Class Rating Amount (mil. $)
A-1A AAA (sf) 187.90
A-1B-1 AAA (sf) 35.00
A-1B-2 AAA (sf) 3.10
A-2 NR 26.00
B AA (sf) 35.50
C (deferrable) A (sf) 33.00
D (deferrable) BBB- (sf) 26.50
E (deferrable) BB- (sf) 16.00
Subordinated notes NR 45.40
NR--Not rated.
ANGEL OAK 2018-3: DBRS Finalizes B Rating on Class B-2 Certs
------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage-Backed Certificates, Series 2018-3 (the Certificates)
issued by Angel Oak Mortgage Trust I, LLC 2018-3 (AOMT 2018-3 or
the Trust):
-- $258.0 million Class A-1 at AAA (sf)
-- $34.4 million Class A-2 at AA (sf)
-- $32.8 million Class A-3 at A (sf)
-- $20.2 million Class M-1 at BBB (sf)
-- $11.7 million Class M-2 at BBB (low) (sf)
-- $10.9 million Class B-1 at BB (sf)
-- $14.2 million Class B-2 at B (sf)
The AAA (sf) rating on the Certificates reflects the 34.80% of
credit enhancement provided by subordinated Certificates in the
pool. The AA (sf), A (sf), BBB (sf), BBB (low) (sf), BB (sf) and B
(sf) ratings reflect 26.10%, 17.80%, 12.70%, 9.75%, 7.00% and 3.40%
of credit enhancement, respectively.
Other than the specified classes above, DBRS does not rate any
other classes in this transaction.
This transaction is a securitization of a portfolio of primarily
first-lien fixed- and adjustable-rate non-prime and prime
residential mortgages. The Certificates are backed by 966 loans
with a total principal balance of $395,765,158 as of the Cut-Off
Date (August 1, 2018).
Angel Oak Home Loans LLC (AOHL), Angel Oak Mortgage Solutions LLC
(AOMS) and Angel Oak Prime Bridge LLC (together, Angel Oak)
originated 100.0% of the portfolio. The Angel Oak first-lien
mortgages were mainly originated under the following nine
programs:
(1) Platinum (41.8%) — Made to borrowers who have prime or
near-prime credit scores but who are unable to obtain financing
through conventional or governmental channels because (a) they fail
to satisfy credit requirements, (b) they are self-employed and need
alternative income calculations using 12 months or 24 months of
bank statements or (c) they may have been subject to a bankruptcy
or foreclosure 48 or more months prior to origination.
(2) Portfolio Select (32.4%) — Made to borrowers with near-prime
credit scores who are unable to obtain financing through
conventional or governmental channels because (a) they fail to
satisfy credit requirements, (b) they are self-employed and need an
alternate income calculation using 12 months' or 24 months' bank
statements to qualify, (c) they may have a credit score that is
lower than that required by government-sponsored entity
underwriting guidelines or (d) they may have been subject to a
bankruptcy or foreclosure 24 or more months prior to origination.
(3) Prime Jumbo (11.0%) — Made to borrowers who have prime credit
scores and cleaner housing history with no bankruptcy or
foreclosure in the 60 months prior to origination. The loan amounts
will also allow high balance-conforming loan limits. Interest-only
features are allowed. The income documentation requirements follow
Appendix Q.
(4) Non-Prime General (7.3%) — Made to borrowers who have not
sustained a housing event in the past 24 months but whose credit
reports show multiple 30+- and/or 60+-day delinquencies on any
reported debt in the past 12 months.
(5) Investor Cash Flow (2.7%) — Made to real estate investors who
are experienced in purchasing, renting and managing investment
properties with an established five-year credit history and at
least 24 months of clean housing payment history but who are unable
to obtain financing through conventional or governmental channels
because (a) they fail to satisfy the requirements of such programs
or (b) they may be over the maximum number of properties allowed.
Loans originated under the Investor Cash Flow program are
considered business-purpose and are not covered by the
Ability-to-Repay (ATR) rules or the TILA-RESPA Integrated
Disclosure rule.
(6) Asset Qualifier (2.4%) — Made to borrowers with prime credit
and significant assets who can purchase the property with their
assets but choose to use a financing instrument for cash flow
purposes. Assets should cover the purchase of the home plus 60
months of debt service and six months of reserves. No income
documentation is obtained, but the borrower is qualified based on
certain credit requirements (minimum score 700) and significant
asset requirements. These loans are available within both the
Platinum and Portfolio Select programs.
(7) Non-Prime Recent Housing (1.1%) — Made to borrowers who have
completed or have had their properties subject to a short sale,
deed in lieu, notice of default or foreclosure. Borrowers who have
filed for bankruptcy 12 or more months prior to origination or have
experienced severe delinquencies may also be considered for this
program.
(8) Non-Prime Foreign National (0.8%) — Made to investment
property borrowers who are citizens of foreign countries and do not
reside or work in the United States. Borrowers may use alternative
income and credit documentation. Income is typically documented by
the employer or accountant, and credit is verified by letters from
overseas credit holders.
(9) Non-Prime Investment Property (0.2%) — Made to real estate
investors who may have financed up to four mortgaged properties
with the originators (or 20 mortgaged properties with all
lenders).
In addition, the pool contains 0.4% second-lien mortgage loans,
which were originated under the guidelines established by the
Federal National Mortgage Association and overlaid by Angel Oak.
Select Portfolio Servicing, Inc. (SPS) is the Servicer for the
loans. AOHL and AOMS will act as Servicing Administrators, and
Wells Fargo Bank, N.A. (Wells Fargo; rated AA with a Stable trend
by DBRS) will act as the Master Servicer. U.S. Bank National
Association (rated AA (high) with a Stable trend by DBRS) will
serve as Trustee and Custodian.
Although the mortgage loans were originated to satisfy the Consumer
Financial Protection Bureau (CFPB) ATR rules, they were made to
borrowers who generally do not qualify for agency, government or
private-label non-agency prime jumbo products for the various
reasons described above. In accordance with the CFPB Qualified
Mortgage (QM) rules, 8.4% of the loans are designated as QM Safe
Harbor, 0.4% is designated as QM Rebuttable Presumption and 83.1%
are designated as Non-QM. Approximately 8.2% of the loans are for
investment properties and thus are not subject to QM rules.
The Servicing Administrators or Servicer will generally fund
advances of delinquent principal and interest on any mortgage until
such loan becomes 180 days delinquent and are obligated to make
advances in respect of taxes, insurance premiums and reasonable
costs incurred in the course of servicing and disposing of
properties.
On or after the distribution date in August 2021, the Depositor has
the option to purchase all of the outstanding Certificates at a
price equal to the outstanding class balance plus accrued and
unpaid interest, including any cap carryover amounts.
The transaction employs a sequential-pay cash flow structure with a
pro rata principal distribution among the senior tranches.
Principal proceeds can be used to cover interest shortfalls on the
Certificates as the outstanding senior Certificates are paid in
full. Further, excess spread can be used to cover realized losses
first before being allocated to unpaid cap carryover amounts up to
Class B-1.
The ratings reflect transactional strengths that include the
following:
(1) Strong Underwriting Standards: Whether for prime or non-prime
mortgages, underwriting standards have improved significantly from
the pre-crisis era. All of the mortgage loans (except for Investor
Cash Flow, Investment Property and Foreign National) were
underwritten in accordance with the eight underwriting factors of
the ATR rules, although they may not necessarily comply with
Appendix Q of Regulation Z.
(2) Robust Loan Attributes and Pool Composition:
-- The mortgage loans in this portfolio generally have robust loan
attributes, as reflected in the combined loan-to-value (LTV)
ratios, borrower household incomes and liquid reserves, including
the loans in the Non-Prime programs that have weaker borrower
credit.
-- LTV ratios gradually reduce as the programs move down the
credit spectrum, suggesting the consideration of compensating
factors for riskier pools.
-- The pool comprises 65.6% hybrid adjustable-rate mortgages with
an initial fixed period of five to ten years, allowing borrowers
sufficient time to credit cure before rates reset. The remaining
34.4% of the pool comprises fixed-rate mortgages, which have the
lowest default risk because of the stability of monthly payments.
(3) Satisfactory Third-Party Due Diligence Review: A third-party
due diligence firm conducted property valuation and credit reviews
on 100% of the loans in the pool. For 97.3% of the loans (i.e., the
entire pool, excluding 79 Investor Cash Flow loans), a third-party
due diligence firm performed a regulatory compliance review. Data
integrity checks were also performed on the pool.
(4) Strong Servicer: SPS, a strong residential mortgage servicer
and a wholly owned subsidiary of Credit Suisse AG (rated "A" with a
Stable trend by DBRS), services the pool. In this transaction, AOHL
and AOMS, as the Servicing Administrators, or SPS, as the Servicer,
is responsible for funding advances to the extent required. In
addition, the transaction employs Wells Fargo as the Master
Servicer. If the Servicing Administrators or the Servicer fails in
their obligation to make principal and interest advances, Wells
Fargo will be obligated to fund such servicing advances.
(5) Current Loans and Faster Prepayments: Angel Oak began
originating non-agency loans in Q4 2013. Since the first
transaction was issued in December 2015, voluntary prepayment rates
have been relatively high, as these borrowers tend to credit cure
and refinance into lower-cost mortgages. Also, the loans in the
AOMT 2018-3 portfolio are 100% current. Although 1.4% of the pool
has experienced prior delinquencies, these loans have all cured.
The transaction also includes the following challenges and
mitigating factors:
(1) Representations and Warranties (R&W) Framework and Provider:
Although slightly stronger than other comparable Non-QM
transactions rated by DBRS, the R&W framework for AOMT 2018-3 is
weaker compared with post-crisis prime jumbo securitization
frameworks. Instead of an automatic review when a loan becomes
seriously delinquent, this transaction employs a mandatory review
upon less immediate triggers. In addition, the R&W provider,
guarantor or backstop provider are unrated entities; have limited
performance history in Non-QM securitizations; and may potentially
experience financial stress that could result in the inability to
fulfill repurchase obligations. DBRS notes the following mitigating
factors:
-- Satisfactory third-party due diligence was conducted on 100% of
the loans included in the pool with respect to credit, property
valuation and data integrity. A regulatory compliance review was
performed on all but 79 Investor Cash Flow loans. A comprehensive
due diligence review mitigates the risk of future R&W violations.
-- An independent third-party R&W reviewer, Recovco Mortgage
Management, LLC, is named in the transaction to review loans for
alleged breaches of R&W.
-- DBRS conducted an on-site originator review of AOHL and AOMS
and deems the mortgage companies to be operationally sound.
-- The Sponsor or Co-Sponsor, both affiliates of Angel Oak, will
retain an eligible vertical interest in at least 5% of each class's
certificates, aligning Sponsor and investor interest in the capital
structure.
-- Notwithstanding the above, DBRS adjusted the originator scores
downward to account for the potential inability to fulfill
repurchase obligations, the lack of performance history and the
weaker R&W framework. A lower originator score results in increased
default and loss assumptions and provides additional cushions for
the rated securities.
(2) Non-Prime, QM Rebuttable Presumption or Non-QM Loans: As
compared with post-crisis prime jumbo transactions, this portfolio
contains mortgages originated to borrowers with weaker credits or
who have prior derogatory credit events, as well as QM Rebuttable
Presumption or Non-QM loans. In addition, certain loans were
underwritten to 24-month bank statements for income (30.7%), to
12-month bank statements for income (18.1%) or as business-purpose
loans (2.7%). DBRS notes the following mitigating factors:
-- All loans subject to the ATR rules were originated to meet the
eight required underwriting factors.
-- Underwriting standards have improved substantially since the
pre-crisis era.
-- Bank statements as income and business-purpose loans are
treated as less-than-full documentation in the RMBS Insight model,
which increases expected losses on those loans.
-- The RMBS Insight model incorporates loss severity penalties for
Non-QM and QM Rebuttable Presumption loans, as explained further in
the Key Loss Severity Drivers section of the related rating
report.
-- For loans in this portfolio that were originated through the
Non-Prime General and Non-Prime Recent Housing Event programs,
borrower credit events had generally happened, on average, 35
months and 27 months, respectively, prior to cut-off. In its
analysis, DBRS applies additional penalties for borrowers with
recent credit events within the past two years.
(3) Geographic Concentration: Compared with other recent
securitizations, the AOMT 2018-3 pool has a high concentration of
loans located in Florida (24.0% of the pool). Mitigating factors
include the following:
-- Although the pool is concentrated in Florida, the loans are
well dispersed among the metropolitan statistical areas (MSAs). The
largest Florida MSA, Miami-Miami Beach-Kendall, represents only
3.8% of the entire transaction. DBRS does not believe the AOMT
2018-3 pool is particularly sensitive to any deterioration in
economic conditions or to the occurrence of a natural disaster in
any specific region.
-- DBRS's RMBS Insight model generates an elevated asset
correlation for this portfolio, as determined by the loan size and
geographic concentration, compared with pools with similar
collateral, resulting in higher expected losses across all rating
categories.
(4) Servicer Advances of Delinquent Principal and Interest: The
Servicing Administrators or Servicer will advance scheduled
principal and interest on delinquent mortgages until such loans
become 180 days delinquent. This will likely result in lower loss
severities to the transaction because advanced principal and
interest will not have to be reimbursed from the Trust upon the
liquidation of the mortgages but will increase the possibility of
periodic interest shortfalls to the Certificate holders. Mitigating
factors include the fact that (a) principal proceeds can be used to
pay interest shortfalls to the Certificates as the outstanding
senior Certificates are paid in full and (b) subordination levels
are greater than expected losses, which may provide for payment of
interest to the Certificates. DBRS ran cash flow scenarios that
incorporated principal and interest advancing up to 180 days for
delinquent loans; the cash flow scenarios are discussed in more
detail in the Cash Flow Analysis section of the rating report.
The DBRS ratings of AAA (sf) and AA (sf) address the timely payment
of interest and full payment of principal by the legal final
maturity date in accordance with the terms and conditions of the
related Certificates. The DBRS ratings of A (sf), BBB (sf), BBB
(low) (sf), BB (sf) and B (sf) address the ultimate payment of
interest and full payment of principal by the legal final maturity
date in accordance with the terms and conditions of the related
Certificates.
ARBOR REALTY 2017-FL2: DBRS Confirms BB(low) Rating on Class E Debt
-------------------------------------------------------------------
DBRS Limited confirmed the following classes of Senior Secured
Floating-Rate Notes issued by Arbor Realty Commercial Real Estate
Notes 2017-FL2, Ltd.:
-- Class A Senior Secured Floating-Rate Notes at AAA (sf)
-- Class A-S Senior Secured Floating-Rate Notes at AAA (sf)
-- Class B Senior Secured Floating-Rate Notes at AA (low) (sf)
-- Class C Senior Secured Floating-Rate Notes at A (low) (sf)
-- Class D Senior Secured Floating-Rate Notes at BBB (low) (sf)
-- Class E Senior Secured Floating-Rate Notes at BB (low) (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction, which remains in line with DBRS's expectations at
issuance. The pool currently consists of 24 floating-rate loans
totaling $328.4 million, secured by 30 multifamily properties and
four commercial properties. At issuance in August 2017, the pool
consisted of 23 loans totaling $293.7 million, secured by 32
multifamily properties. The transaction is structured with an
initial 36-month replacement period whereby the Issuer can
substitute collateral in the pool, subject to certain Eligibility
Criteria, including the rating agency condition by DBRS. As of the
July 2018 remittance, there remains $36.6 million in equity that
the Issuer can deploy to originate additional loans. The
transaction pays sequentially after the replacement period ends.
As of the July 2018 remittance, only 13 of the original 23 loans,
representing 46.0% of the current transaction balance, remain in
the pool. There have been 11 replacement loans added since
issuance. Most loans have a maximum initial term of two or three
years, with extension options generally available, subject to
criteria.
The loans are predominantly secured by multifamily properties, most
of which are located in urban and suburban markets that benefit
from greater liquidity and/or are affordable offerings in stable
communities. Most of the properties are currently cash-flowing
assets in a period of transition with viable plans and loan
structures in place to facilitate stabilization and value growth.
All of the loans are structured with cash management in place at
origination and are also structured with reserves, including
several loans that were structured with an initial debt service
reserve.
The Issuer, Servicer, Mortgage Loan Seller and Advancing Agent are
related parties, a non-rated entity. In addition to recently issued
transactions (one in 2013, one in 2014, two in 2015, one in 2016,
three in 2017 and one in 2018), Arbor Realty SR, Inc. (Arbor) has a
proven track record with several collateralized loan obligation
platforms that performed well in 2004, 2005 and 2006. Arbor holds
the 14.5% equity of the Preferred Shares in the transaction.
ASSURANT CLO III: Moody's Assigns Ba3 Rating on Class E Notes
-------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Assurant CLO III, Ltd.
Moody's rating action is as follows:
US$4,600,000 Class X Senior Secured Floating Rate Notes due 2031
(the "Class X Notes"), Assigned Aaa (sf)
US$296,700,000 Class A Senior Secured Floating Rate Notes due 2031
(the "Class A Notes"), Assigned Aaa (sf)
US$46,950,000 Class B Senior Secured Floating Rate Notes due 2031
(the "Class B Notes"), Assigned Aa2 (sf)
US$23,450,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C Notes"), Assigned A2 (sf)
US$30,150,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class D Notes"), Assigned Baa3 (sf)
US$25,870,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class E Notes"), Assigned Ba3 (sf)
The Class X Notes, 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.
Assurant III 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 75% ramped as of
the closing date.
Assurant 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 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: $460,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2744
Weighted Average Spread (WAS): 3.20%
Weighted Average Coupon (WAC): 7.5%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 9.0 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
ATLAS SENIOR XII: S&P Assigns Prelim. BB- Rating on Cl. E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Atlas Senior
Loan Fund XII Ltd./Atlas Senior Loan Fund XII LLC's $436.50 million
floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed primarily by broadly syndicated speculative-grade senior
secured term loans that are governed by collateral quality tests.
The preliminary ratings are based on information as of Aug. 24,
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
Atlas Senior Loan Fund XII Ltd./Atlas Senior Loan Fund XII LLC
Class Rating Amount (mil. $)
X AAA (sf) 1.50
A-1 AAA (sf) 300.00
A-2 NR 25.00
B AA (sf) 53.75
C (deferrable) A (sf) 33.75
D (deferrable) BBB- (sf) 23.25
E (deferrable) BB- (sf) 24.25
Subordinated notes NR 51.64
NR--Not rated.
BBCMS 2017-DELC: DBRS Confirms B Rating on Class HRR Certs
----------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2017-DELC issued by BBCMS
2017-DELC Mortgage Trust as follows:
-- Class A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class X-CP at AA (low) (sf)
-- Class X-NCP at AA (low) (sf)
-- Class C at A (high) (sf)
-- Class D at A (low) (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class HRR at B (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction since issuance. This transaction closed in August
2017, at an original trust balance of $507.6 million, with three
mezzanine loans totaling $204.4 million held outside of the trust.
The collateral for this transaction is the Hotel del Coronado
located on Coronado Island in the greater San Diego area. The
underlying trust loan is interest-only (IO) throughout the term,
structured with a two-year initial term with five one-year
extension options. The loan is sponsored by Blackstone Real Estate
Partners, an affiliate of The Blackstone Group, the world's largest
alternative asset manager and real estate advisory firm. The hotel
previously operated as an independent hotel, but is now managed by
Hilton Worldwide Holdings Inc. (Hilton) under the Curio Collection
flag, which is one of Hilton's upscale brands. The hotel management
agreement with Hilton began in July 2017, and runs through July
2027, containing two five-year extension options.
It was noted at issuance that the sponsor planned to develop the
parcel located south of the Ocean Tower building, currently used
for surface parking for the hotel. According to recent news
articles, this development, which had been in the pipeline since
2010, is scheduled to commence in Q1 2019, with an expected
completion date in Q4 2022. The $200 million project will include
parking upgrades, a new conference center and 144 additional
guestrooms. As noted by DBRS at issuance, although disruptions to
property operations are likely, the sponsor is highly incentivized
to keep disruptions to a minimum and must replace any lost parking
with an amount equal to or greater than the current amount
associated with the parcel.
Per the trailing 12 months ending April 2018 STR report, the
subject reported an occupancy rate, average daily rate and revenue
per available room (RevPAR) of 71.3%, $422.80 and $301.66,
respectively. The subject is outperforming its competitive set,
with occupancy rate and RevPAR increases of 5.2% and 4.6% year over
year, respectively. At issuance, DBRS noted that the new
affiliation with Hilton could improve overall performance as guests
loyal to the brand could be attracted to the property and rooms
could be booked within the Hilton system. In addition, with its
unique historic status and highly desirable location with over
1,400 linear feet of ocean frontage and a relatively substantial
meeting and event space footprint of over 135,000 square feet, the
hotel has no true direct competition in the vicinity or even in the
larger Southern California market.
According to the trailing 12 months Q1 2018 financials, the debt
service coverage ratio (DSCR) for the trust portion of the loan was
1.69 times (x), compared to the YE2017 DSCR of 1.73x and DBRS Term
DSCR at issuance of 1.63x. Although an in-place DSCR for the whole
loan was not reported, DBRS derived an estimate based on a stressed
interest rate scenario that implied a whole-loan DSCR of 1.10x as
at Q1 2018 and 1.25x as at YE2017.
Classes X-CP and X-NCP are IO certificates that reference a single
rated tranche or multiple rated tranches. The IO rating mirrors the
lowest-rated applicable reference obligation tranche adjusted
upward by one notch if senior in the waterfall.
BENCHMARK 2018-B5: DBRS Finalizes B Rating on Class G-RR Certs
--------------------------------------------------------------
DBRS, Inc. finalized the provisional ratings of the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2018-B5 issued by Benchmark 2018-B5 Mortgage Trust:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X‑A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-B at AA (high) (sf)
-- Class B at AA (sf)
-- Class C at A (low) (sf)
-- Class X-D at A (low) (sf)
-- Class D at BBB (high) (sf)
-- Class E-RR at BBB (low) (sf)
-- Class F-RR at BB (low) (sf)
-- Class G-RR at B (sf)
All trends are Stable.
Classes X-D, D, E-RR, F-RR, G-RR and NR-RR will be privately
placed. The Class X-A, X-B and X-D balances are notional.
The collateral consists of 53 fixed-rate loans, which include two
sets of two cross-collateralized loans, secured by 219 commercial
and multifamily properties. The DBRS analysis of this transaction
incorporates these loans as a portfolio, resulting in a modified
loan count of 53 and the loan number references within the report
for this transaction reflect this total. The transaction is of a
sequential-pay pass-through structure. The conduit pool was
analyzed to determine the final ratings, reflecting the long-term
probability of loan default within the term and its liquidity at
maturity. Trust assets contributed from five loans, representing
27.6% of the pool, are shadow rated investment grade by DBRS.
Proceeds for the shadow-rated loans are floored at their respective
ratings within the pool. When the combined 27.6% of the pool has no
proceeds assigned below the rating floor, the resulting pool
subordination is diluted or reduced below that rated floor. When
the cut-off loan balances were measured against the DBRS Stabilized
Net Cash Flow (NCF) and their respective actual constants, four
loans, representing 6.7% of the total pool, had a DBRS Term Debt
Service Coverage Ratio (DSCR) below 1.15 times (x), a threshold
indicative of a higher likelihood of mid-term default.
Additionally, to assess refinance risk given the current
low-interest-rate environment, DBRS applied its refinance constants
to the balloon amounts. This resulted in 37 loans, representing
72.4% of the pool, having whole-loan refinance DSCRs below 1.00x
and 25 loans, representing 55.7% of the pool, having whole-loan
refinance DSCRs below 0.90x. Aventura Mall, eBay North First
Commons and Workspace, which represent 19.6% of the transaction
balance and are three of the pool's loans with a DBRS Refinance
(Refi) DSCR below 0.90x, are shadow rated investment grade by DBRS
and have a large piece of subordinate mortgage debt outside the
trust.
Ten loans, representing 20.9% of the pool, are located in urban and
super-dense urban gateway markets with increased liquidity that
benefit from consistent investor demand, even in times of stress.
Urban markets represented in the deal include Chicago, San
Francisco and New York City. Furthermore, there is limited rural
and tertiary concentration with only four loans, representing 6.1%
of the pool.
Five loans – Aventura Mall, eBay North First Commons, Workspace,
AON Center and 181 Fremont Street – representing a combined 27.6%
of the pool, exhibit credit characteristics consistent with
investment-grade shadow ratings. Aventura Mall exhibits credit
characteristics consistent with a BBB (high) shadow rating, eBay
North First Commons exhibits credit characteristics consistent with
an A (low) shadow rating, Workspace exhibits credit characteristics
consistent with an AA (low) shadow rating, AON Center exhibits
credit characteristics consistent with an A (high) shadow rating
and 181 Fremont Street exhibits credit characteristics consistent
with an AA shadow rating. For additional information on these five
assets, please refer to the report associated with this
transaction.
Term default risk is moderate, as indicated by the relatively
strong weighted-average (WA) DBRS Term DSCR of 1.71x, and when
measured against A-note balances only, the WA DBRS Term DSCR
increases to 1.96x. In addition, 18 loans, representing 49.2% of
the pool, have a DBRS Term DSCR in excess of 1.50x. Even when
excluding the five investment-grade shadow-rated loans, the deal
exhibits an acceptable WA DBRS Term DSCR of 1.62x.
Twenty-one loans, representing 59.0% of the pool, are structured
with full-term interest-only (IO) payments, and one loan,
representing 3.9% of the pool, is structured with full-term IO
payments followed by an Anticipated Repayment Date trail. An
additional 18 loans, comprising 19.9% of the pool, have partial IO
periods ranging from ten months to 59 months. As a result, the
transaction's scheduled amortization by maturity is only 6.0%,
which is generally below other recent conduit securitizations. The
DBRS Term DSCR is calculated using the amortizing debt service
obligation and the DBRS Refi DSCR is calculated considering the
balloon balance and lack of amortization when determining refinance
risk. DBRS determines probability of default (POD) based on the
lower of term or refinance DSCRs; therefore, loans that lack
amortization are treated more punitively. Ten of the full-term IO
loans, representing 33.3% of the full-IO concentration in the
transaction, are located in urban markets. Additionally, all five
of the loans that are shadow-rated investment grade by DBRS are
full-term IO, and they represent 43.9% of the full-term IO
concentration.
Seven loans, representing 11.8% of the transaction balance, are
secured by properties that are either fully or primarily leased to
a single tenant. This includes two of the largest 15 loans: eBay
North First Commons and 181 Fremont Street. Loans secured by
properties occupied by single tenants have been found to suffer
higher loss severities in an event of default. Both of the largest
single-tenant loans are leased to tenants that are rated investment
grade or have investment-grade-rated parent companies. In addition,
DBRS applied a penalty for single-tenant properties that resulted
in higher loan-level credit enhancement. The majority of the loans
have been structured with cash flow sweeps prior to tenant expiry
if the lease expires during, at or just beyond loan maturity.
There are eight loans, totaling 16.7% of the pool, secured by
hotels, which are vulnerable to having high NCF volatility because
of their relatively short-term leases compared with other
commercial properties, which can cause the NCF to quickly
deteriorate in a declining market. Three of the largest 15 loans
are secured by either hospitality or self-storage properties. Such
loans exhibit a WA DBRS Debt Yield and DBRS Exit Debt Yield of
11.0% and 13.2%, respectively, which compare favorably with the
overall deal. Additionally, all such loans are located in
established urban or suburban markets that benefit from increased
liquidity and more stable performance.
Ten loans, representing 22.6% of the pool (eBay North First
Commons, Renaissance Tampa International Plaza Hotel, Embassy
Suites Kennesaw, Woodland Gardens Apartments, Stone brook
Apartments, Kingsley Apartments, Westbrook Corporate Center,
Deerfield Woods Apartments, MacArthur Center and Cascades Shopping
Center), have sponsorship risks identified by DBRS that include,
but are not limited to, one or a combination of the following
deficiencies: a foreign-entity-based sponsor, a prior loan default,
limited liquidity relative to the loan obligation, a historical
negative credit event or a prior or pending litigation issue. DBRS
increased the POD for loans with identified sponsorship concerns,
based on the severity of the risk associated with the sponsor. This
includes three of the top ten loans.
The transaction's WA DBRS Refi DSCR is 0.94x, indicating higher
refinance risk on an overall pool level. In addition, 37 loans,
representing 72.4% of the pool, have DBRS Refi DSCRs below 1.00x,
including seven of the top ten loans and ten of the top 15 loans.
Twenty-five of these loans, comprising 55.7% of the pool, have DBRS
Refi DSCRs of less than 0.90x, including six of the top ten loans
and seven of the top 15 loans. These credit metrics are based on
whole-loan balances. Three of the pool's loans with a DBRS Refi
DSCR below 0.90x – Aventura Mall, eBay North First Commons and
Workspace – which represent 19.6% of the transaction balance, are
shadow rated investment grade by DBRS and have large pieces of
subordinate mortgage debt outside of the trust. Based on A-note
balances only, the deal's WA DBRS Refi DSCR improves materially to
1.06x and the concentration of loans with DBRS Refi DSCRs below
1.00x and 0.90x reduces to 32.8% and 15.6%, respectively. The
pool's DBRS Refi DSCRs for these loans are based on a WA stressed
refinance constant of 9.36%, which implies an interest rate of
8.66%, amortizing on a 30-year schedule. This represents a
significant stress of 4.63% over the WA contractual interest rate
of the loans in the pool.
Classes X-A, X-B and X-D are IO certificates that reference a
single rated tranche or multiple rated tranches. The IO rating
mirrors the lowest-rated applicable reference obligation tranche
adjusted upward by one notch if senior in the waterfall.
Notes: All figures are in U.S. dollars unless otherwise noted.
BLACKHAWK MINING: Bank Debt Trades at 18% Off
---------------------------------------------
Participations in a syndicated loan under which Blackhawk Mining
LLC is a borrower traded in the secondary market at 81.58
cents-on-the-dollar during the week ended Friday, August 24, 2018,
according to data compiled by LSTA/Thomson Reuters MTM Pricing.
This represents a decrease of 1.41 percentage points from the
previous week. Blackhawk Mining pays 950 basis points above LIBOR
to borrow under the $660 million facility. The bank loan matures on
February 17, 2022. Moody's gave no rating to the loan and Standard
& Poor's gave no rating to the loan. The loan is one of the biggest
gainers and losers among 247 widely quoted syndicated loans with
five or more bids in secondary trading for the week ended Friday,
August 24.
BLUEMOUNTAIN CLO 2014-2: S&P Gives Prelim B- Rating on F-R2 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class X,
A-1-R2, B-R2, C-R2, D-R2, E-R2, and F-R2 replacement notes from
BlueMountain CLO 2014-2 Ltd., a collateralized loan obligation
(CLO) originally issued in July 2014 and first refinanced in July
2017 that is managed by BlueMountain Capital Management LLC. The
replacement notes will be issued via a proposed supplemental
indenture.
The preliminary ratings reflect S&P's opinion that the credit
support available is commensurate with the associated rating
levels.
The preliminary ratings are based on information as of Aug. 28,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Oct. 22, 2018, refinancing date, the proceeds from the
issuance of the replacement notes are expected to redeem the
original notes. At that time, S&P anticipates withdrawing the
ratings on the original notes and assigning ratings to the
replacement notes. However, if the refinancing doesn't occur, S&P
may affirm the ratings on the original notes and withdraw its
preliminary ratings on the replacement notes.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"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
BlueMountain CLO 2014-2 Ltd./BlueMountain CLO 2014-2 LLC
Replacement class Rating Amount (mil. $)
X AAA (sf) 3.00
A-1-R2 AAA (sf) 328.50
A-2-R2 NR 20.00
B-R2 AA (sf) 62.00
C-R2 (deferrable) A (sf) 32.50
D-R2 (deferrable) BBB- (sf) 32.00
E-R2 (deferrable) BB- (sf) 20.50
F-R2 (deferrable) B- (sf) 9.10
Subordinated notes NR 67.30
NR--Not rated.
BLUEMOUNTAIN CLO 2018-2: S&P Assigns B-(sf) Rating on Cl. F Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to BlueMountain CLO 2018-2
Ltd./BlueMountain CLO 2018-2 LLC's floating-rate notes. This is a
reissue of BlueMountain CLO 2014-4 Ltd. -- which was refinanced in
November 2016 -- with the assets being transferred in the form of
participations. Therefore, S&P is also withdrawing its ratings on
the class A-1-R, A-2-R, B-1-R, B-2-R, C-R, D, E, and F notes from
BlueMountain CLO 2014-4 Ltd.
The note issuance is a collateralized loan obligation transaction
backed primarily by broadly syndicated senior secured term loans.
The ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
BlueMountain CLO 2018-2 Ltd./BlueMountain CLO 2018-2 LLC
Class Rating Amount (mil. $)
X AAA (sf) 2.00
A AAA (sf) 315.00
B AA (sf) 55.40
C (deferrable) A (sf) 39.60
D (deferrable) BBB- (sf) 27.50
E (deferrable) BB- (sf) 22.50
F (deferrable) B- (sf) 8.80
Subordinated notes NR 41.80
RATINGS WITHDRAWN
BlueMountain CLO 2014-4 Ltd.
Rating
Class To From
A-1-R NR AAA (sf)
A-2-R NR AAA (sf)
B-1-R NR AA (sf)
B-2-R NR AA (sf)
C-R NR A (sf)
D NR BBB- (sf)
E NR BB- (sf)
F NR B (sf)
NR--Not rated.
BXP TRUST 2017-CC: DBRS Confirms BB Rating on Class E Certs
-----------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2017-CC issued by BXP Trust
2017-CC as follows:
-- Class A at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (sf)
-- Class E at BB (sf)
All trends are Stable.
The rating conformations reflect the overall stable performance of
the transaction since issuance. This transaction consists of a
ten-year interest-only (IO) fixed-rate loan of $350.0 million loan
secured by Colorado Center in Santa Monica, California. The trust
loan is part of a split-loan structure with an aggregate
outstanding whole-loan balance of $550.0 million. The collateral is
an office park consisting of six Class A buildings totaling 1.2
million square feet and a three-level underground parking garage
situated on a 15.0-acre plot of land. The property is located
approximately 1.5 miles northeast of downtown Santa Monica, in the
heart of the city's Media and Entertainment District. According to
the Q1 2018 financials, the loan reported an annualized debt
service coverage ratio (DSCR) of 2.32 times (x) compared with the
DBRS Term DSCR of 2.24x derived at issuance. The loan did not
report YE2017 financials.
The office park was originally built in 1984 and underwent
renovations in 2004. The sponsor, Boston Properties, Inc., will be
injecting substantial improvements to revamp the property's retail
and food-court portions to improve its overall marketability within
the submarket. According to the servicer's May 2018 site
inspection, an $18.9 million renovation project was in process. The
project was said to include work to modernize elevators, make
Americans with Disabilities Act-required upgrades and complete
systems upgrades. There is an additional project planned for the
next year at an estimated cost of $4.8 million with funds slated to
complete the remaining renovations.
As of the March 2018 rent roll, the subject was 83.9% occupied, a
decline from the physical occupancy rate of 86.2% and leased rate
of 91.5% at issuance. At issuance, DBRS noted that existing tenant,
Edmunds.com Inc. (which houses its headquarters at the subject),
was expected to expand into the third floor of the 2401 Colorado
building for a ten-year term beginning in August 2018, but the
March 2018 rent roll shows that the space remains vacant and
available for lease. The rent roll shows Edmunds.com Inc. in place
for 11.3% of the net rentable area (NRA) on a lease that runs
through January 2028. DBRS has requested clarification from the
servicer on the status of that space and the tenant's plans for
expansion.
In addition to Edmunds.com Inc., the subject also serves as
headquarters for Hulu, Rubin Postaer and Associates (RPA) and Kite
Pharma, Inc. (Kite Pharma). The three-largest tenants are Hulu
(20.4% of NRA with lease expiry in November 2021), RPA (15.9% of
NRA with lease expiry in December 2025) and Kite Pharma (13.5% of
NRA with lease expiry in July 2032). HBO (10.9% of NRA) has
informed the sponsor of its intent to vacate the subject upon lease
expiration in June 2019 with the servicer reporting ongoing
negotiations to sign the tenant for a nine-month extension. The
servicer also noted that the borrower is conducting lease
negotiations for two units, representing 6.3% of NRA, with these
leases expected to be finalized by May 2018. DBRS has requested an
update on the status of these negotiations and, as of the date of
this press release, a response is pending.
Although the property's leased rate has fallen since issuance, with
potential for further decline in the near term once HBO vacates,
DBRS believes the property is well positioned in the market, given
the sponsor's recent capital investment and plans for additional
upgrades to improve the property's competitive stance. The market
dynamics remain stable from issuance with Costar reporting an
office vacancy rate of 15.7% within a 0.25-mile radius of the
property as of August 2018.
Class X-A are IO certificates that reference a single-rated tranche
or multiple-rated tranches. The IO rating mirrors the lowest-rated
applicable reference obligation tranche adjusted upward by one
notch if senior in the waterfall.
CD 2016-CD1: DBRS Confirms B Rating on Class F Certs
----------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2016-CD1 issued by CD 2016-CD1
Mortgage Trust as follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-M at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class X-B at A (high) (sf)
-- Class C at A (sf)
-- Class X-C at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class X-D at BB (sf)
-- Class E at BB (low) (sf)
-- Class X-E at B (high) (sf)
-- Class F at B (sf)
All trends are Stable.
The rating confirmations reflect the strong overall performance of
the transaction since issuance. The collateral consists of 32
fixed-rate loans secured by 58 commercial properties. As of the
August 2018 remittance report, the pool exhibited a collateral
reduction of 1.1% since issuance as a result of scheduled loan
amortization, with a current outstanding balance of $695.2 million.
Five loans, representing 34.3% of the pool, are structured with
full-term interest-only (IO) payments and seven loans, representing
25.7% of the pool, have partial IO periods with one to 22 months
remaining. These loans exhibited a weighted-average (WA) YE2017
debt service coverage ratio (DSCR) of 2.08 times (x) and debt yield
of 9.7%.
Per the most recent year-end financials, 28 loans (85.2% of the
pool) reported a WA DSCR of 2.06x and a debt yield of 9.7%. As of
the August 2018 remittance, the top 15 loans reported a WA DSCR and
WA debt yield of 2.23x and 9.9%, respectively, compared with 2.03x
and 8.9%, respectively, at issuance.
Two loans representing 2.9% of the pool balance are on the
servicer's watch list: Prospectus ID#18 – Kahana Retail and
Prospectus ID#23 – North Pacific Plaza. These loans are being
monitored for tenancy issues. The WA YE2017 DSCR and WA debt yield
for the two loans was 1.17x and 9.6%, respectively. Further details
are available on the DBRS Viewpoint platform.
At issuance, DBRS shadow rated the following loans as investment
grade: 10 Hudson Yards (Prospectus ID#1 – 9.4% of the pool
balance), Westfield San Francisco Centre (Prospectus ID#3 – 8.6%
of the pool balance), Gas Company Tower & World Trade Center
Parking Garage (Prospectus ID#8 – 5.8% of the pool balance) and
Vertex Pharmaceuticals HQ (Prospectus ID#9 – 4.3% of the pool
balance). DBRS confirmed that the performance of these loans
remains consistent with investment-grade characteristics.
Classes X-A, X-B, X-C, X-D and X-E are IO certificates that
reference a single rated tranche or multiple rated tranches. The IO
rating mirrors the lowest-rated applicable reference obligation
tranche adjusted upward by one notch if senior in the waterfall.
CD 2018-CD7: Fitch Assigns 'B-sf' Rating on $7.17MM Class G-R Certs
-------------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Ratings
Outlooks on CD 2018-CD7 Mortgage Trust Commercial Mortgage
Pass-Through Certificates, Series 2018-CD7:
-- $15,321,000 class A-1 'AAAsf'; Outlook Stable;
-- $5,757,000 class A-2 'AAAsf'; Outlook Stable;
-- $32,486,000 class A-SB 'AAAsf'; Outlook Stable;
-- $200,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $248,645,000 class A-4 'AAAsf'; Outlook Stable;
-- $562,295,000a class X-A 'AAAsf'; Outlook Stable;
-- $60,086,000 class A-M 'AAAsf'; Outlook Stable;
-- $31,388,000 class B 'AA-sf'; Outlook Stable;
-- $33,182,000 class C 'A-sf'; Outlook Stable;
-- $64,570,000ab class X-B 'AA-sf'; Outlook Stable;
-- $20,444,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $20,444,000b class D 'BBB-sf'; Outlook Stable;
-- $15,428,000bc class E-RR 'BBB-sf'; Outlook Stable;
-- $17,039,000bc class F-RR 'BB-sf'; Outlook Stable;
-- $7,175,000bc class G-RR 'B-sf'; Outlook Stable.
The following class is not rated:
-- $30,491,712bc class H-RR.
(a) Notional amount and interest-only.
(b) Privately placed and pursuant to Rule 144A.
(c) Horizontal credit risk retention interest.
Since Fitch issued its expected ratings on July 30, 2018, the
rating on class X-B has been updated to 'AA-sf' from 'A-sf' to
reflect the rating of the lowest referenced tranche whose payable
interest has an impact on the IO payments, consistent with Fitch's
Global Structured Finance Rating Criteria dated May 15, 2018. The
classes reflect the final ratings and deal structure.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 42 loans secured by 72
commercial properties having an aggregate principal balance of
$717,442,713 as of the cutoff date. The loans were contributed to
the trust by Cantor Commercial Real Estate Lending, L.P., German
American Capital Corporation, Starwood Mortgage Funding II LLC and
Citi Real Estate Funding Inc.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 73.4% of the properties
by balance, cash flow analysis of 84.2% and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Higher Fitch Leverage than Recent Transactions: The pool exhibits
higher leverage than recent Fitch-rated multiborrower transactions.
The Fitch LTV of 104.6% is above the 2017 and 2018 YTD averages of
101.6% and 103.5%, respectively. Additionally, the pool's Fitch
DSCR of 1.14x is worse than 2017 and 2018 YTD averages of 1.26x and
1.23x, respectively.
Investment-Grade Credit Opinion Loans: Two loans, representing
14.2% of the pool have investment-grade credit opinions. Aventura
Mall (8.4%) has an investment-grade credit opinion of 'Asf' on a
stand-alone basis. Westside NYC Multifamily Portfolio (5.9%) has an
investment-grade opinion of 'BBB-sf' on a stand-alone basis. Net of
these loans, the pool's Fitch DSCR and LTV are 1.11x and 110.6%.
Property Type Diversity: The largest property type concentration is
office at 26.1%, followed by retail at 25.9% and multifamily at
22.6%. This pool's multifamily concentration is above the YTD 2018
average of 12.1%. Office and retail properties have an average
probability of default in Fitch's multiborrower model, while
multifamily properties have a lower probability of default, all
else equal.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 18.5% 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 CD
2018-CD7 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 'A-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.
CITIGROUP 2004-CB3: Moody's Hikes Ratings on 2 Tranches to B3
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of three
tranches and downgraded the ratings of two tranches from two
transactions
Complete rating actions are as follows:
Issuer: Citigroup Mortgage Loan Trust, Series 2004-CB3, C-Bass
Mortgage Loan Asset-Backed Certificates
Cl. B-1, Downgraded to B1 (sf); previously on Nov 18, 2016 Upgraded
to Ba3 (sf)
Cl. B-2, Upgraded to B1 (sf); previously on Nov 18, 2016 Upgraded
to B2 (sf)
Cl. B-3, Upgraded to B3 (sf); previously on Nov 18, 2016 Upgraded
to Caa1 (sf)
Cl. B-4, Upgraded to B3 (sf); previously on Nov 18, 2016 Upgraded
to Caa2 (sf)
Issuer: Structured Asset Mortgage Investments II Trust 2004-AR5
Cl. I-X, Downgraded to Caa3 (sf); previously on Oct 27, 2017
Confirmed at Caa2 (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pools
and Moody's updated loss expectations on the pools. The rating
upgrades are primarily due to total credit enhancement available to
the bonds and improvement in pool performance. The rating downgrade
on Citigroup Mortgage Loan Trust, Series 2004-CB3, C-Bass Mortgage
Loan Asset-Backed Certificates Class B-1 is due to outstanding
interest shortfalls on the bond that are not expected to be
recouped as the bond has a weak interest shortfall reimbursement
mechanism. The rating downgrade on Structured Asset Mortgage
Investments II Trust 2004-AR5 Class I-X is due to the reduced
balance of the higher rated referenced tranches for this interest
only bond.
The principal methodology used in rating Citigroup Mortgage Loan
Trust, Series 2004-CB3, C-Bass Mortgage Loan Asset-Backed
Certificates Cl. B-1, Cl. B-2, Cl. B-3, and Cl. B-4 was "US RMBS
Surveillance Methodology" published in January 2017. The
methodologies used in rating Structured Asset Mortgage Investments
II Trust 2004-AR5 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 3.9% in July 2018 from 4.3% in July 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.
COMM 2013-CCRE11: DBRS Confirms B Rating on Class F Certs
---------------------------------------------------------
DBRS Limited confirmed the following classes of the Commercial
Mortgage Pass-Through Certificates, Series 2013-CCRE11 issued by
COMM 2013-CCRE11 Mortgage Trust:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class X-A at AAA (sf)
-- Class A-M at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (high) (sf)
-- Class X-B at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (sf)
-- Class X-C at B (high) (sf)
-- Class F at B (sf)
All trends are Stable.
The rating confirmations reflect the stable overall performance of
the transaction since issuance. The collateral consists of 46
fixed-rate loans secured by 82 commercial and multifamily
properties. As of the August 2018 remittance, the pool had a
balance of $1.23 billion, representing a collateral reduction of
2.9% since issuance. Four loans, representing 6.4% of the pool
balance, are fully defeased, including two loans in the top 15
(Prospectus ID#10 - The Vintage Estate and Prospectus ID#13 -
Detroit City Apartments). Per the most recent financials, the
weighted-average (WA) DBRS debt-service coverage ratio (DSCR) for
the pool was 1.86 times (x), compared with the DBRS Term DSCR of
1.48x (which reflects all non-defeased loans), representing a 23.4%
net cash flow growth since issuance. The WA debt yield for the pool
is 11.5% compared with the issuance WA debt yield of 10.0%.
Five loans are on the servicer's watch list, representing
approximately 2.0% of the pool balance. Two loans (1.3% of the pool
balance) are being monitored for occupancy declines, two loans
(0.7% of the pool balance) are being monitored for covenant
compliance issues and the remaining loan (0.1% of the pool balance)
is being monitored for performance issues. These watch list loans
exhibited a WA DSCR of 1.10x and debt yield of 10.4%, per the most
recent year-end financials. There is one loan (Prospectus ID#17 -
iPark Hudson Buildings 4 & 5) that is in special servicing,
representing 1.8% of the pool balance, due to covenant compliance.
The borrower failed to use the clearing account when the
second-largest tenant failed to renew its lease 12 months prior to
expiration, as required in the loan documents. Renewal terms have
been agreed upon and the special servicer stated the loan should be
transferred to the master servicer in the near future.
DBRS has assigned investment-grade shadow ratings to three loans:
Prospectus ID#3 - One & Only Palmilla (7.3% of the pool),
Prospectus ID#6 - One Wilshire (6.5% of the pool) and Prospectus
ID#11 - 200-206 East 87th Street (2.8% of the pool). DBRS confirmed
that the performance of these three loans remains consistent with
investment-grade loan characteristics.
Classes X-A, X-B and X-C are interest-only (IO) certificates that
reference a single rated tranche or multiple rated tranches. The IO
rating mirrors the lowest-rated applicable reference obligation
tranche adjusted upward by one notch if senior in the waterfall.
CSAIL 2018-CX12: DBRS Finalizes BB(high) Rating on Class G-RR Certs
-------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2018-CX12 issued by CSAIL 2018-CX12 Commercial Mortgage Trust:
-- Class A-1 at AAA (sf)
-- Class A‑2 at AAA (sf)
-- Class A‑3 at AAA (sf)
-- Class A‑4 at AAA (sf)
-- Class A‑SB at AAA (sf)
-- Class X‑A at AAA (sf)
-- Class A‑S at AAA (sf)
-- Class B at AA (sf)
-- Class X-B at AA (low) (sf)
-- Class C at A (high) (sf)
-- Class X‑D at A (high) (sf)
-- Class D at A (sf)
-- Class E-RR at BBB (high) (sf)
-- Class F-RR at BBB (low) (sf)
-- Class G-RR at BB (high) (sf)
All trends are Stable.
Classes X-D, D, E-RR, F-RR and G-RR will be privately placed. The
Class X-A, X-B and X-D balances are notional.
The collateral consists of 41 fixed-rate loans secured by 44
commercial and multifamily properties. The transaction is a
sequential-pay pass-through structure. Three loans, representing
23.2% of the pool, are shadow-rated investment grade by DBRS.
Proceeds for the shadow-rated loans are floored at their respective
ratings within the pool. When 23.2% of the pool has no proceeds
assigned below the rated floor, the resulting subordination is
diluted or reduced below the rated floor. The conduit pool was
analyzed to determine the ratings, reflecting the long-term
probability of loan default within the term and its liquidity at
maturity. When the cut-off loan balances were measured against the
DBRS Stabilized Net Cash Flow and their respective actual
constants, only one loan, representing 0.2% of the pool, has a DBRS
Term Debt Service Coverage Ratio (DSCR) below 1.15 times (x), a
threshold indicative of a higher likelihood of mid-term default.
Additionally, to assess refinance risk given the current low
interest rate environment, DBRS applied its refinance constants to
the balloon amounts. This resulted in 20 loans, representing 59.8%
of the pool, having refinance DSCRs below 1.00x, and 11 loans,
representing 34.5% of the pool, having refinance DSCRs below
0.90x.
Three of the largest five loans — 20 Times Square, Aventura Mall
and Queens Place — exhibit credit characteristics consistent with
investment-grade shadow ratings. Combined, these loans represent
23.2% of the pool. 20 Times Square has credit characteristics
consistent with a AAA shadow rating, while Aventura Mall exhibits
credit characteristics consistent with a BBB (high) shadow rating,
and Queens Place has credit characteristics consistent with an A
(high) shadow rating. Only two loans, totaling 1.5% of the
transaction balance, are secured by properties that are either
fully or primarily leased to a single tenant. The largest of these
loans is The Studio School NYC (The Studio School), representing
1.4% of the pool balance and 90.3% of the single-tenant
concentration. The property is located in Manhattan's densely
populated Upper West Side neighborhood, occupied solely by The
Studio School. Loans secured by properties occupied by single
tenants have been found to suffer higher loss severities in an
event of default.
Eleven loans, representing 27.1% of the pool, are secured by full-
and limited-service hotel properties, including four of the top 15
loans. Hotels have the highest cash flow volatility of all major
property types, as their income, which is derived from daily
contracts rather than multi-year leases, and their expenses, which
are often mostly fixed, are quite high as a percentage of revenue.
These two factors cause revenue to fall swiftly during a downturn
and cash flow to fall even faster as a result of high operating
leverage. However, the loans in the pool secured by hotel
properties exhibit a weighted-average (WA) DBRS Debt Yield and DBRS
Exit Debt Yield of 10.6% and 12.3%, respectively, which compare
quite favorably with the comparable figures of 7.6% and 8.1%,
respectively, for the non-hotel properties in the pool.
Additionally, the majority, or 94.4%, of such loans are located in
established urban or suburban markets that benefit from increased
liquidity and more stable performance.
The deal appears concentrated by property type, with 13 loans,
representing 37.2% of the pool, secured by retail properties. None
of the retail concentration is represented by marginal or
low-quality regional malls that could suffer extraordinarily high
loss severities in the event of default. Two of these loans —
Aventura Mall and Queens Place, representing 36.7% of the office
concentration and 13.7% of the total pool balance — are
shadow-rated investment grade.
The DBRS Refinance (Refi) DSCR is 0.94x, indicating a higher
refinance risk on an overall pool level. In addition, 20 loans,
representing 59.8% of the pool, have DBRS Refi DSCRs below 1.00x.
Eleven of these loans, comprising 34.5% of the pool, have DBRS Refi
DSCRs less than 0.90x, include four of the top ten loans. These
metrics are based on whole-loan balances. Three of the pool's loans
with a DBRS Refi DSCR below 0.90x, 20 Times Square, Aventura Mall
and Queens Place, which represent 23.2% of the transaction balance,
are shadow-rated investment grade by DBRS and have a large piece of
subordinate mortgage debt outside the trust. Based on A-note
balances only, the deal's WA DBRS Refi DSCR improves dramatically
to 1.09x, and the concentration of loans with DBRS Refi DSCRS below
1.00x and 0.90x reduces to 44.0% and 11.3%, respectively. The
pool's DBRS Refi DSCRs for these loans are based on a WA stressed
refinance constant of 9.82%, which implies an interest rate of
9.19% amortizing on a 30-year schedule. This represents a
significant stress of 4.4% over the WA contractual interest rate of
the loans in the pool. DBRS models the probability of default based
on the more constraining of the DBRS Term DSCR and DBRS Refi DSCR.
Classes X-A, X-B and X-D are interest-only (IO) certificates that
reference a single rated tranche or multiple rated tranches. The IO
rating mirrors the lowest-rated reference tranche adjusted upward
by one notch if senior in the waterfall.
ELLIGHTON CLO I: Moody's Assigns B3 Rating on $12.4MM Cl. F-R Notes
-------------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
CLO refinancing notes issued by Ellington CLO I, Ltd.:
Moody's rating action is as follows:
US$213,000,000 Class A-R Senior Secured Floating Rate Notes due
2029 (the "Class A-R Notes"), Assigned Aaa (sf)
US$22,600,000 Class B-R Senior Secured Fixed Rate Notes due 2029
(the "Class B-R Notes"), Assigned Aa2 (sf)
US$29,400,000 Class C-R Secured Deferrable Floating Rate Notes due
2029 (the "Class C-R Notes"), Assigned A2 (sf)
US$40,800,000 Class D-R Secured Deferrable Floating Rate Notes due
2029 (the "Class D-R Notes"), Assigned Baa3 (sf)
US$43,000,000 Class E-R Secured Deferrable Floating Rate Notes due
2029 (the "Class E-R Notes"), Assigned Ba3 (sf)
US$12,400,000 Class F-R Secured Deferrable Floating Rate Notes due
2029 (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.
Ellington CLO 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 August 28, 2018 in
connection with the refinancing of all classes of the secured notes
previously issued on June 20, 2017. On the Refinancing Date, the
Issuer used proceeds from the issuance of the Refinancing Notes,
along with the proceeds from the issuance of subordinated notes, to
redeem in full the Refinanced Original Notes.
In addition to the issuance of the Refinancing Notes and
subordinated 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: $425,000,000
Diversity Score: 39
Weighted Average Rating Factor (WARF): 4927
Weighted Average Spread (WAS): 6.00%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 40.0%
Weighted Average Life (WAL): 7.0 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.
FLAGSHIP CREDIT 2018-3: DBRS Finalizes BB Rating on Class E Notes
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by Flagship Credit Auto Trust 2018-3 (the
Issuer):
-- $183,630,000 Class A Notes at AAA (sf)
-- $31,610,000 Class B Notes at AA (sf)
-- $36,880,000 Class C Notes at A (sf)
-- $27,850,000 Class D Notes at BBB (sf)
-- $17,310,000 Class E Notes at BB (sf)
The ratings are based on a review by DBRS of the following
analytical considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- Credit enhancement in the form of overcollateralization (OC),
subordination, amounts held in the reserve fund and excess spread.
Credit enhancement levels are sufficient to support the
DBRS-projected cumulative net loss assumption under various stress
scenarios.
-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the ratings address the
timely payment of interest on a monthly basis and the payment of
principal by the legal final maturity date.
-- The strength of the combined organization after the merger of
Flagship Credit Acceptance, LLC (Flagship) and Car Finance Capital
LLC. DBRS believes the merger of the two companies provides
synergies that make the combined company more financially stable
and competitive.
-- The capabilities of Flagship with regard to originations,
underwriting and servicing.
-- DBRS has performed an operational review of Flagship and
considers the entity to be an acceptable originator and servicer of
subprime automobile loan contracts with an acceptable backup
servicer.
-- The Flagship senior management team has considerable experience
and a successful track record within the auto finance industry.
-- DBRS used a proxy analysis in its development of an expected
loss.
-- A combination of company-provided performance data and
industry-comparable data was used to determine an expected loss.
-- The legal structure and presence of legal opinions that address
the true sale of the assets to the Issuer, the non-consolidation of
the special-purpose vehicle with Flagship, that the trust has a
valid first-priority security interest in the assets and the
consistency with the DBRS "Legal Criteria for U.S. Structured
Finance."
Flagship is an independent full-service automotive financing and
servicing company that provides (1) financing to borrowers who do
not typically have access to prime credit-lending terms for the
purchase of late-model vehicles and (2) refinancing of existing
automotive financing.
The rating on the Class A Notes reflects 41.00% of initial hard
credit enhancement provided by the subordinated notes in the pool
of 37.75%, a 2.00% reserve account and OC of 1.25%. Initial Class B
enhancement is 30.50% and includes a 2.00% reserve account (funded
at inception and non-declining), initial OC of 1.25% and
subordination of 27.25% of the initial pool balance. Initial Class
C enhancement is 18.25% and includes a 2.00% reserve account
(funded at inception and non-declining), initial OC of 1.25% and
subordination of 15.00% of the initial pool balance. Initial Class
D enhancement is 9.00% and includes a 2.00% reserve account (funded
at inception and non-declining), initial OC of 1.25% and
subordination of 5.75% of the initial pool balance. Initial Class E
enhancement is 3.25% and includes a 2.00% reserve account (funded
at inception and non-declining) and initial OC of 1.25%. Additional
credit support may be provided from excess spread available in the
structure.
FREMF 2011-K704: Moody's Hikes Class X2 Certs Rating to 'Ba2'
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two classes
and affirmed the ratings on two classes of CMBS securities, issued
by FREMF 2011-K704 Mortgage Trust, Multifamily Mortgage
Pass-Through Certificates, Series 2011-K704, and affirmed the
ratings on two classes of related Structured Pass-Through
Certificates issued by Freddie Mac Structured Pass-Through
Certificates (SPCs), Series K-704.
Issuer: FREMF 2011-K704 Mortgage Trust, Multifamily Mortgage
Pass-Through Certificates, Series 2011-K704
Cl. A-2, Affirmed Aaa (sf); previously on Dec 13, 2017 Affirmed Aaa
(sf)
Cl. B, Upgraded to Aaa (sf); previously on Dec 13, 2017 Affirmed A1
(sf)
Cl. X1, Affirmed Aaa (sf); previously on Dec 13, 2017 Affirmed Aaa
(sf)
Cl. X2, Upgraded to Ba2 (sf); previously on Dec 13, 2017 Affirmed
B1 (sf)
Issuer: Freddie Mac Structured Pass-Through Certificates (SPCs),
Series K-704
Cl. A-2, Affirmed Guaranteed Rating Aaa (sf); Underlying Rating
Affirmed Aaa (sf); previously on Dec 13, 2017 Assigned Guaranteed
Rating Aaa (sf); previously on Dec 13, 2017 Affirmed Underlying
Rating Aaa (sf)
Cl. X1, Affirmed Guaranteed Rating Aaa (sf); Underlying Rating
Affirmed Aaa (sf); previously on Dec 13, 2017 Assigned Guaranteed
Rating Aaa (sf); previously on Dec 13, 2017 Affirmed Underlying
Rating Aaa (sf)
RATINGS RATIONALE
The four REMIC Classes are collateralized by a pool of 17 fixed
rate loans. Of these four classes, two REMIC Classes (Classes B and
X2) were offered to investors, while the remaining two classes
(Classes A-2 and X1, or the "Underlying Guaranteed Classes") were
acquired and guaranteed by Federal Home Loan Mortgage Corp.
("Freddie Mac") and subsequently deposited into the SPC Trust to
back the SPCs that were offered to investors. As a result, any
guarantee payments made by Freddie Mac on the Underlying Guaranteed
Classes will be passed through to the holders of the corresponding
SPC Classes. Freddie Mac also guarantees the SPC Classes
themselves. Moody's rates Freddie Mac's senior unsecured debt Aaa.
The SPC Classes issued by the SPC Trust are associated with the
REMIC Classes issued by the REMIC Trust. Each of the SPC Classes
represents a pass-through interest in an associated REMIC Class
issued by the REMIC Trust. Class A-2 SPC represents a pass-through
interest in REMIC Class A-2 and Class X1 SPC represents a
pass-through interest in REMIC Class X1. The two trusts are
interrelated given that the aggregate certificate amount of
$254,592,457 as of the July 25, 2018 remittance statement,
comprised of $60,618,640 in offered SPCs and $193,973,817 in
offered REMIC Classes, equals the underlying mortgage loan pool
balance of $254,592,457.
One principal and interest (P&I) REMIC Class (Class B) was upgraded
due to a significant increase in defeasance, to 89% of the current
pool balance from 50% at the last review.
One P&I REMIC Class (Class A-2) was affirmed at Aaa (sf) due to
defeasance and the transaction's key metrics, including Moody's
loan-to-value (LTV) ratio and Moody's stressed debt service
coverage ratio DSCR), are within acceptable ranges.
One interest-only (IO) REMIC Class (Class X2) was upgraded due to
an increase in the credit quality of its referenced classes.
One IO REMIC Class (Class X1) was affirmed based on the credit
quality of its referenced classes.
Under the transaction documents, Freddie Mac guarantees payments on
the Underlying Guaranteed Classes and the SPC Classes, including
(a) timely payment of interest, (b) payment of related principal on
the distribution date following the maturity date of each balloon
mortgage loan to the extent such principal would have been
distributed to Class A-2, (c) realized losses and other
fees/expenses allocated to Class A-2, and (d) ultimate payment of
principal by the final distribution date for Class A-2.
Moody's believes that the Freddie Mac guarantees that enhance SPC
Class A-2 support complete credit substitution given the strong
incentives for Freddie Mac to fulfill its guarantee obligations
under this transaction. The failure to fulfill its guarantee
obligations under this transaction would have negative credit
implications for Freddie Mac. As a result, the Guaranteed Ratings
on the SPC Class A-2 are the higher of the support provider's
financial strength rating (Aaa, senior unsecured) and the
Underlying Rating of the SPC Classes absent Freddie Mac's
guarantees.
Moody's notes that the Freddie Mac guarantees on the interest-only
SPC Class X1 do not provide additional enhancement. Freddie Mac's
guarantee does not cover any loss of yield on this interest-only
class following a reduction of notional amount due to a reduction
of the principal balance of the REMIC Underlying Guaranteed
Classes. Therefore, SPC Class X1's Guaranteed Rating and Underlying
Rating reflect only the class' underlying credit risk without
credit for the guarantees.
Given the repack nature of the structure, SPC note holders are
exposed to the credit risk of the underlying SPC assets, namely,
the rated REMIC Underlying Guaranteed Classes. The SPC Trust
contains separate pass-through pools, designated as Pass-Through
Pool A-2 and X1, and each holds a corresponding rated REMIC
Underlying Guaranteed Class, including REMIC Classes A-2 and X1,
respectively. All cash flow received by each of the Underlying
Guaranteed Classes is applied to make pass-through payments to the
corresponding SPC Class. Repayment of the rated SPC Classes depends
primarily on the performance of the rated REMIC Underlying
Guaranteed Certificates, as well as any payments made by Freddie
Mac pursuant to its guarantees.
In the affirmation of the Guaranteed Ratings on the two SPC
Classes, Moody's considered the repack nature of the structure, the
credit quality of the underlying collateral, and, other than with
respect to the Underlying Ratings, the guarantees that Freddie Mac
provides for the benefit of the SPCs.
The Underlying Ratings on the SPC Classes were affirmed based on
the underlying credit risk of the related REMIC Underlying
Guaranteed Classes without credit for the guarantee provided by
Freddie Mac.
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. Its ratings
reflect the potential for future losses under varying levels of
stress. Moody's base expected loss plus realized losses is now 0%
of the original pooled balance, compared to 0.6% 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.
With respect to certain SPC Classes, key to its assumption in
reaching the certificates' Guaranteed Ratings are the Freddie Mac
guarantees.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating REMIC Class A-2 and REMIC
Class B was "Moody's Approach to Rating Large Loan and Single
Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating REMIC Class X1 and REMIC Class X2 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.
The methodologies used in rating SPC Class A-2 Guaranteed Rating
were "Rating Transactions Based on the Credit Substitution
Approach: Letter of Credit-backed, Insured and Guaranteed Debts"
published in May 2017 and "Moody's Approach to Rating Repackaged
Securities" published in June 2015. The methodologies used in
rating SPC Class X1 Guaranteed Rating were "Rating Transactions
Based on the Credit Substitution Approach: Letter of Credit-backed,
Insured and Guaranteed Debts" published in May 2017, "Moody's
Approach to Rating Repackaged Securities" published in June 2015,
and "Moody's Approach to Rating Structured Finance Interest-Only
(IO) Securities" published in June 2017.
The principal methodology used in rating SPC Class A-2 Underlying
Rating was "Moody's Approach to Rating Repackaged Securities"
published in June 2015. The methodologies used in rating SPC Class
X1 Underlying Rating were "Moody's Approach to Rating Repackaged
Securities" published in June 2015 and "Moody's Approach to Rating
Structured Finance Interest Only (IO) Securities" published in June
2017.
DEAL PERFORMANCE
As of the July 25, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 79% to $255 million
from $1.20 billion at securitization. The certificates are
collateralized by 17 mortgage loans ranging in size from 2% to 27%
of the pool. Fifteen loans, constituting 89% of the pool, have
defeased and are secured by US government securities.
Moody's received full year 2017 operating results for 100% of the
pool and partial year 2018 operating results for 100% of the pool
(excluding specially serviced and defeased loans).
The two non-defeased loans represent 11.4% of the pool balance. The
largest loan is the Los Feliz Club Apartments Loan ($15.7 million
-- 6.2% of the pool), which is secured by a 134-unit low-rise
apartment complex located in the city of Los Angeles. The loan was
added to the watchlist due to its maturity date in August 2018.
Moody's LTV and stressed DSCR are 80% and 1.27X, respectively,
compared to 81% and 1.25X at the last review.
The second largest loan is the Briarwood Apartments Loan ($13.4
million -- 5.3% of the pool), which is secured by a 422-unit
apartment complex located in College Station, Texas. The loan was
added to the watchlist due to its maturity date in August 2018.
Moody's LTV and stressed DSCR are 68% and 1.51X, respectively,
compared to 69% and 1.49X at the last review.
GLACIER FUNDING II: Moody's Hikes $22.5M A-2 Notes Rating to Caa2
-----------------------------------------------------------------
Moody's Investors Service has upgraded the rating on notes issued
by Glacier Funding CDO II, Ltd.:
US$70,000,000 Class A-2 Second Priority Senior Secured Floating
Rate Notes Due November 2042 (current outstanding balance of
$22,477,013), Upgraded to Caa2 (sf); previously on April 8, 2014
Upgraded to Ca (sf)
Glacier Funding CDO II, Ltd., issued in October 2004, is a
collateralized debt obligation backed primarily by a portfolio of
RMBS with some exposure to CMBS assets, originated in 2004.
RATINGS RATIONALE
The rating action is due primarily to the deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratio since September 2017. The Class
A-2 notes have been paid down by approximately 41.3%, or $15.8
million since then. Based on Moody's calculation, the OC ratio of
the Class A-2 notes is currently 113.1%. The deleveraging of the
notes is partially the result of cash collections from certain
assets treated as defaulted by the trustee in amounts materially
exceeding expectations.
As reported by the trustee, on June 17, 2011 the transaction
experienced an "Event of Default" caused by a failure of the
overcollateralization ratio with respect to the Class A Notes to be
at least equal to 100%, as required under Section 5.1(i) of the
indenture dated October 12, 2004. Acceleration was declared on July
21, 2011. This Event of Default is continuing.
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 rating, as described:
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.
Loss and Cash Flow Analysis:
Moody's applies a Monte Carlo simulation framework in Moody's
CDOROM(TM) 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(TM) cash
flow model.
GREYWOLF CLO VII: S&P Assigns Prelim BB-(sf) Rating on Cl. D Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Greywolf CLO
VII Ltd.'s $411.30 million floating-rate notes.
The note issuance is a $455.30 million broadly syndicated
collateralized loan obligation (CLO) managed by Greywolf Loan
Management L.P. (Greywolf). This is Greywolf's second CLO in 2018,
which will bring its total CLO assets under management to $2.22
billion.
The preliminary ratings are based on information as of Aug. 27,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflects:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
Greywolf CLO VII Ltd./Greywolf CLO VII LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 272.25
A-2 AA (sf) 69.75
B (deferrable) A (sf) 27.00
C (deferrable) BBB- (sf) 27.00
D (deferrable) BB- (sf) 15.30
Subordinated notes NR 44.00
NR--Not rated.
HERTZ VEHICLE II: Fitch Affirms 44 Tranches on 11 Deals
-------------------------------------------------------
Fitch Ratings has affirmed the following outstanding rental car ABS
notes issued by Hertz Vehicle Financing II LP (HVF II) as a result
of its annual review of the trust series:
HVF II, Series 2015-2
-- $189,475,000 class A notes at 'AAAsf'; Outlook Stable;
-- $46,209,000 class B notes at 'Asf'; Outlook Stable;
-- $14,316,000 class C notes at 'BBBsf'; Outlook Stable;
-- $15,111,000 class D notes at 'BBsf'; Outlook Stable.
HVF II, Series 2015-3
-- $265,265,000 class A notes at 'AAAsf'; Outlook Stable;
-- $64,692,000 class B notes at 'Asf'; Outlook Stable;
-- $20,043,000 class C notes at 'BBBsf'; Outlook Stable;
-- $21,156,000 class D notes at 'BBsf'; Outlook Stable.
HVF II, Series 2016-1
-- $332,902,000 class A notes at 'AAAsf'; Outlook Stable;
-- $81,187,000 class B notes at 'Asf'; Outlook Stable;
-- $25,152,000 class C notes at 'BBBsf'; Outlook Stable;
-- $26,549,000 class D notes at 'BBsf'; Outlook Stable.
HVF II, Series 2016-2
-- $425,000,000 class A notes at 'AAAsf'; Outlook Stable;
-- $103,648,000 class B notes at 'Asf'; Outlook Stable;
-- $32,111,000 class C notes at 'BBBsf'; Outlook Stable;
-- $33,894,000 class D notes at 'BBsf'; Outlook Stable.
HVF II, Series 2016-3
-- $299,979,000 class A notes at 'AAAsf'; Outlook Stable;
-- $77,116,000 class B notes at 'Asf'; Outlook Stable;
-- $22,905,000 class C notes at 'BBBsf'; Outlook Stable;
-- $24,177,000 class D notes at 'BBsf'; Outlook Stable.
HVF II, Series 2016-4
-- $299,979,000 class A notes at 'AAAsf'; Outlook Stable;
-- $77,116,000 class B notes at 'Asf'; Outlook Stable;
-- $22,905,000 class C notes at 'BBBsf'; Outlook Stable;
-- $24,177,000 class D notes at 'BBsf'; Outlook Stable.
HVF II, Series 2017-1
-- $324,900,000 class A notes at 'AAAsf'; Outlook Stable;
-- $76,500,000 class B notes at 'Asf'; Outlook Stable;
-- $23,850,000 class C notes at 'BBBsf'; Outlook Stable;
-- $28,800,000 class D notes at 'BBsf'; Outlook Stable.
HVF II, Series 2017-2
-- $267,407,000 class A notes at 'AAAsf'; Outlook Stable;
-- $62,963,000 class B notes at 'Asf'; Outlook Stable;
-- $19,630,000 class C notes at 'BBBsf'; Outlook Stable;
-- $20,370,000 class D notes at 'BBsf'; Outlook Stable.
HVF II, Series 2018-1
-- $764,020,000 class A notes at 'AAAsf'; Outlook Stable;
-- $179,900,000 class B notes at 'Asf'; Outlook Stable;
-- $56,080,000 class C notes at 'BBBsf'; Outlook Stable;
-- $58,200,000 class D notes at 'BBsf'; Outlook Stable.
HVF II, Series 2018-2
-- $153,712,000 class A notes at 'AAAsf'; Outlook Stable;
-- $35,365,000 class B notes at 'Asf'; Outlook Stable;
-- $10,923,000 class C notes at 'BBBsf'; Outlook Stable;
-- $12,944,000 class D notes at 'BBsf'; Outlook Stable.
HVF II, Series 2018-3
-- $153,890,000 class A notes at 'AAAsf'; Outlook Stable;
-- $35,173,000 class B notes at 'Asf'; Outlook Stable;
-- $10,937,000 class C notes at 'BBBsf'; Outlook Stable;
-- $13,194,000 class D notes at 'BBsf'; Outlook Stable.
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 Issuer Default
Rating 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
In the initial analyses for all series, Fitch assumed longer
periods for the bankruptcy/liquidation timing scenario and also
considered a scenario whereby the disposition stresses were moved
to the higher end of the range. Finally, Fitch considered a
scenario in which both scenarios were combined, which would produce
the highest amount of stress for the notes. The notes showed
heavier sensitivity to the combined scenarios and could see
downgrades of one to two categories.
HUSKY INJECTION: Bank Debt Trades at 6% Off
-------------------------------------------
Participations in a syndicated loan under which Husky Injection
Moldings is a borrower traded in the secondary market at 94.20
cents-on-the-dollar during the week ended Friday, August 24, 2018,
according to data compiled by LSTA/Thomson Reuters MTM Pricing.
This represents a decrease of 4.01 percentage points from the
previous week. Husky Injection pays 300 basis points above LIBOR to
borrow under the $2.1 billion facility. The bank loan matures on
March 15, 2025. Moody's rates the loan 'B2' and Standard & Poor's
gave a 'B' rating to the loan. The loan is one of the biggest
gainers and losers among 247 widely quoted syndicated loans with
five or more bids in secondary trading for the week ended Friday,
August 24.
JP MORGAN 2004-CIBCB: Moody's Hikes Class K Certs Rating to 'Caa2'
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on three classes
and affirmed the ratings on three classes in J.P. Morgan Chase
Commercial Mortgage Securities Corp. Series 2004-CIBC8, Commercial
Pass-Through Certificates, Series 2004-CIBC8:
Cl. H, Upgraded to Baa1 (sf); previously on Dec 21, 2017 Upgraded
to Ba1 (sf)
Cl. J, Upgraded to B1 (sf); previously on Dec 21, 2017 Affirmed B2
(sf)
Cl. K, Upgraded to Caa2 (sf); previously on Dec 21, 2017 Affirmed
Caa3 (sf)
Cl. L, Affirmed C (sf); previously on Dec 21, 2017 Affirmed C (sf)
Cl. M, Affirmed C (sf); previously on Dec 21, 2017 Affirmed C (sf)
Cl. X-1, Affirmed C (sf); previously on Dec 21, 2017 Downgraded to
C (sf)
RATINGS RATIONALE
The ratings on three P&I classes, Cl. H, Cl. J and Cl. K, were
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 11% since Moody's last review. In addition,
defeasance now represents approximately 22% of the pool balance, up
from 18% at the last review.
The ratings on Cl. L and Cl. M were affirmed because the ratings
are consistent with Moody's expected loss plus realized losses.
The rating on the IO class, Cl. X-1, was affirmed based on the
credit quality of its referenced classes.
Moody's rating action reflects a base expected loss of 13.0% of the
current pooled balance, compared to 9.6% at Moody's last review.
Moody's base expected loss plus realized losses is now 2.5% of the
original pooled balance, essentially unchanged from the last
review.
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 J.P. Morgan Chase
Commercial Mortgage Securities Corp. Series 2004-CIBC8, Cl. H, Cl.
J, Cl. K, Cl. L, and Cl. M was "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 Corp. Series 2004-CIBC8, Cl. X-1 were "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017 and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in June
2017.
DEAL PERFORMANCE
As of the August 13, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $38 million
from $1.25 billion at securitization. The certificates are
collateralized by 11 mortgage loans ranging in size from less than
1% to 26% of the pool. Three loans, constituting 22% 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 5, compared to 6 at Moody's last review.
One loan, constituting 26% of the pool, is on the master servicer's
watchlist. The watchlist includes loans that meet certain portfolio
review guidelines established as part of the CRE Finance Council
(CREFC) monthly reporting package. As part of Moody's ongoing
monitoring of a transaction, the agency reviews the watchlist to
assess which loans have material issues that could affect
performance.
Fourteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $27 million (for an average loss
severity of 19%). One loan, constituting 14% of the pool, is
currently in special servicing. The specially serviced loan is the
Holualoa Centre East Loan ($5 million -- 14% of the pool), which is
secured by a 95,000 square foot office property located in Tucson,
Arizona. The loan transferred to special servicing in February 2014
ahead of the March 2014 loan maturity date and the property is
currently REO. The property was 31% occupied as of June 2018.
Moody's estimates a high loss severity for this loan.
Moody's received full year 2017 operating results for 100% of the
pool, and partial year 2018 operating results for 68% of the pool
(excluding specially serviced and defeased loans). Moody's weighted
average conduit LTV is 38%, compared to 40% at Moody's last review.
Moody's conduit component excludes loans with structured credit
assessments, defeased and CTL loans, and specially serviced and
troubled loans. Moody's net cash flow (NCF) reflects a weighted
average haircut of 13.1% to the most recently available net
operating income (NOI). Moody's value reflects a weighted average
capitalization rate of 9.4%.
Moody's actual and stressed conduit DSCRs are 1.50X and 3.49X,
respectively, compared to 1.51X and 3.24X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 51% of the pool balance. The
largest loan is the Canyon Park Loan ($10 million -- 26% of the
pool), which is secured by a 157,000 square foot retail property
located in Twin Falls, Idaho. The property was 100% leased as of
July 2018. The loan is scheduled to mature in February 2019 and has
amortized by 39% since securitization. Moody's LTV and stressed
DSCR are 52% and 1.88X, respectively, compared to 53% and 1.84X at
the last review.
The second largest loan is the Precise Technology, Inc. Loan ($7
million -- 18% of the pool), which is secured by a 616,000 square
foot portfolio of five crossed loans, secured by industrial
properties located in five U.S. states. The portfolio is 100%
leased to a single tenant. Moody's value incorporates a lit/dark
analysis to account for the single-tenant rollover risk. The loan
is fully amortizing. Moody's LTV and stressed DSCR are 23% and
greater than 4.00X, respectively.
The third largest loan is the Franciscan Metro Center Loan ($3
million -- 7% of the pool), which is secured by a 267,000 square
foot retail center in Los Angeles, California. The property was 89%
leased as of June 2017. The loan is fully amortizing. Moody's LTV
and stressed DSCR are 31% and 3.14X, respectively.
JP MORGAN 2007-LDP11: Moody's Hikes Class A-M Certs Rating to 'Ba1'
-------------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one and
affirmed the ratings on three classes in J.P. Morgan Chase
Commercial Mortgage Securities Trust 2007-LDP11, Commercial
Mortgage Pass-Through Certificates, Series 2007-LDP11 as follows:
Cl. A-M, Upgraded to Ba1 (sf); previously on Aug 31, 2017 Affirmed
Ba2 (sf)
Cl. A-J, Affirmed Caa3 (sf); previously on Aug 31, 2017 Affirmed
Caa3 (sf)
Cl. B, Affirmed C (sf); previously on Aug 31, 2017 Affirmed C (sf)
Cl. C, Affirmed C (sf); previously on Aug 31, 2017 Affirmed C (sf)
RATINGS RATIONALE
The rating on one P&I (Cl. A-M) was upgraded due to an increase in
credit support resulting from loan paydowns and amortization. The
deal has paid down 19.6% since Moody's last review.
The ratings on three P&I classes (Cl. A-J, Cl. B & Cl. C) were
affirmed due to Moody's expected loss.
Moody's rating action reflects a base expected loss of 41.6% of the
current balance, compared to 39.4% at Moody's last review. Moody's
base expected loss plus realized losses is now 15.3% of the
original pooled balance, compared to 15.6% 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 these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 72% of the pool is either
in special servicing or has been identified as troubled loans of
the pool. In this approach, Moody's determines a probability of
default for each specially serviced and troubled loan that it
expects will generate a loss and estimates a loss given default
based on a review of broker's opinions of value (if available),
other information from the special servicer, available market data
and Moody's internal data. The loss given default for each loan
also takes into consideration repayment of servicer advances to
date, estimated future advances and closing costs. Translating the
probability of default and loss given default into an expected loss
estimate, Moody's then applies the aggregate loss from specially
serviced and troubled loans to the most junior classes and the
recovery as a pay down of principal to the most senior classes.
DEAL PERFORMANCE
As of the August 15, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 89% to $589.3
million from $5.41 billion at securitization. The certificates are
collateralized by 23 mortgage loans ranging in size from less than
1% to 38% of the pool, with the top ten loans (excluding
defeasance) constituting 96.5% 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, compared to 7 at Moody's last review.
Six loans, constituting 27% 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.
Fifty-nine loans have been liquidated from the pool, resulting in
an aggregate realized loss of $584 million (for an average loss
severity of 46%). Thirteen loans, constituting 53% of the pool, are
currently in special servicing.
The largest specially serviced loan is the GSA Portfolio -- A Note
Loan ($225.0 million -- 38% of the pool), which is secured by a
portfolio of eight cross-collateralized properties located in five
states (Colorado, New York, West Virginia, Kansas, and
Pennsylvania). The loan has transferred in and out of special
servicing since 2012. When it transferred to special servicing in
February 2016 for leasing concerns, the loan was modified and
returned to the master servicer for a second time in March 2017.
Per the modification, the loan maturity date was extended to May
2020 and the Borrower was required to contribute approximately $20
million for TI/LC reserves, expenses and an extension fee. The loan
has since returned to special servicing once more in April 2018 at
the Borrower's request to modify the loan in order to allow
individual releases of properties that are under contract for sale.
The request has been approved. The loan is also encumbered by a $34
million B Note, which was created as part of a previous
modification that was effective August 2013. There is also
mezzanine debt associated with the property. The weighted average
occupancy for the portfolio was 99% as of December 2017.
The remaining specially serviced and troubled loans are secured by
a mix of property types. Moody's estimates an aggregate $199
million loss for the specially serviced and troubled loans (47%
expected loss on average).
The top three conduit loans represent 41% of the pool balance. The
largest loan is the Franklin Mills -- A Note Loan ($112.9 million
-- 28% of the pool), which represents a pari passu portion of a
$188.2 million A Note senior mortgage. The loan is secured by a
super-regional mall located in Philadelphia, Pennsylvania, and has
rebranded under the name "Philadelphia Mills." The total property
was 86% leased while in-line occupancy was 76% as of March 2018,
compared to 88% and 79%, respectively, in March 2017. For the March
2018 trailing-twelve period, in-line sales per square foot were
$293 compared to the actual 2017 of $285. JC Penney has vacated
their 100,200 SF store at this location but continue to make lease
payments until February 2022. The loan was previously modified in
November 2012 with an A/B Note split, and the B note totals $90.0
million, $54 million of which is contributed to this trust. This
loan is pari passu with GSMS 2007-GG10. Moody's LTV and stressed
DSCR are 159% and 0.68X, respectively, compared to 159% and 0.66X
at the last review.
The second largest loan is the Healthnet Headquarters -- A Note
Loan ($33.9 million -- 11.5% of the pool), which is secured by a
327,327 SF Class B suburban office building located in Shelton,
Connecticut approximately 35 miles north of Stamford. The property
was previously 100% leased to Healthnet Services through April
2017. During its lease term, Healthnet Services vacated the
property and subleased its space to Sikorsky Aircraft (a subsidiary
of Lockheed Martin). Sikorsky Aircraft has since signed a lease
extending through June 2022 with extension options. The loan
previously transferred to special servicing and was modified in
September 2016, creating a $33.7 million B Note and extending loan
maturity to April 2027. Due to single tenant exposure, Moody's
value is based on a lit/dark analysis. Moody's LTV and stressed
DSCR are 147% and 0.74X, respectively, compared to 145% and 0.73X
at the last review.
The third largest loan is the Rite Aid Portfolio Loan ($5.1 million
-- 0.9% of the pool), which is secured by a portfolio of three
single tenant Rite Aid stores located in Wilmington, Delaware;
Biddeford, Maine and Louisville, Kentucky. The loan previously
transferred to special servicing in March 2017 due to maturity
default after the borrower was unable to secure financing due to
underlying ground lease issues. A cash management program was
created, the loan term was extended nineteen months to October 2018
and it returned to the master servicer in June 2018. Moody's LTV
and stressed DSCR are 101% and 1.02X, respectively, compared to
105% and 0.92X at the last review.
KKR CLO 12: Moody's Assigns (P)Ba3 Rating on Class E-R2 Notes
-------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of CLO refinancing notes to be issued by KKR CLO 12 Ltd.:
Moody's rating action is as follows:
US$1,000,000 Class X Senior Secured Floating Rate Notes Due 2030
(the "Class X Notes"), Assigned (P)Aaa (sf)
US$248,000,000 Class A-R2a Senior Secured Floating Rate Notes Due
2030 (the "Class A-R2a Notes"), Assigned (P)Aaa (sf)
US$44,800,000 Class B-R2 Senior Secured Floating Rate Notes Due
2030 (the "Class B-R2 Notes"), Assigned (P)Aa2 (sf)
US$19,500,000 Class C-R2 Senior Secured Deferrable Floating Rate
Notes Due 2030 (the "Class C-R2 Notes"), Assigned (P)A2 (sf)
US$25,700,000 Class D-R2 Senior Secured Deferrable Floating Rate
Notes Due 2030 (the "Class D-R2 Notes"), Assigned (P)Baa3 (sf)
US$22,000,000 Class E-R2 Senior Secured Deferrable Floating Rate
Notes Due 2030 (the "Class E-R2 Notes"), Assigned (P)Ba3 (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.
KKR Financial Advisors II, LLC will manage the CLO. It will direct
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 October 1,
2018 in connection with the refinancing of all classes of the
secured notes previously issued on August 16, 2017. On the
Refinancing Date, the Issuer will use proceeds from the issuance of
the Refinancing Notes, along with the proceeds from the issuance of
one other class of secured notes to redeem in full the Refinanced
Notes.
In addition to the issuance of the Refinancing Notes and one other
class 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; changes to the overcollateralization test levels;
and changes to certain concentration limits.
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: 70
Weighted Average Rating Factor (WARF): 2950
Weighted Average Spread (WAS): 3.20%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 48.50%
Weighted Average Life (WAL): 8.50 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.
LB-UBS COMMERCIAL 2006-C6: S&P Cuts Cl. A-J Certs Rating to D(sf)
-----------------------------------------------------------------
On Aug. 24, 2018, S&P Global Ratings lowered its rating on the
class A-J commercial mortgage pass-through certificates from LB-UBS
Commercial Mortgage Trust 2006-C6, a U.S. commercial
mortgage-backed securities (CMBS) transaction, to 'D (sf)' from
'CCC- (sf)'.
The downgrade reflects principal losses reported on the class, as
detailed in the Aug. 17, 2018, trustee remittance report.
The August 2018 trustee remittance report reported $140.3 million
in realized losses, which resulted primarily from the liquidation
of the specially serviced West Chesterfield real estate owned (REO)
asset. According to the trustee remittance report, the REO asset
liquidated at a 99.9% loss severity of its $140.0 million original
balance. Consequently, class A-J experienced a loss of $36.4
million (15.9%) of its $228.5 million original principal balance,
class B (not rated) lost 100% of its $26.7 million original
balance, class C (not rated) lost 100% of its $49.5 million
original balance, and class D (not rated) lost 100% of its $27.7
million beginning balance.
MARATHON CLO VIII: Moody's Gives (P)Ba3 Rating on Class D-R Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of CLO refinancing notes to be issued by Marathon CLO VIII
Ltd.:
Moody's rating action is as follows:
US$283,500,000 Class A-1-R Senior Secured Floating Rate Notes Due
2031 (the "Class A-1-R Notes"), Assigned (P)Aaa (sf)
US$56,250,000 Class A-2-R Senior Secured Floating Rate Notes Due
2031 (the "Class A-2-R Notes"), Assigned (P)Aa2 (sf)
US$24,750,000 Class B-R Senior Secured Deferrable Floating Rate
Notes Due 2031 (the "Class B-R Notes"), Assigned (P)A2 (sf)
US$27,000,000 Class C-R Senior Secured Deferrable Floating Rate
Notes Due 2031 (the "Class C-R Notes"), Assigned (P)Baa3 (sf)
US$22,000,000 Class D-R Secured Deferrable Floating Rate Notes Due
2031 (the "Class D-R Notes"), Assigned (P)Ba3 (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.
Marathon Asset Management, L.P. manages the CLO. It will direct the
selection, acquisition, and disposition of collateral on behalf of
the Issuer.
RATINGS RATIONALE
Moody's provisional ratings on the Refinancing Notes addresses the
expected loss posed to noteholders. The ratings reflect the risks
due to defaults on the underlying portfolio of assets, the
transaction's legal structure, and the characteristics of the
underlying assets.
The Issuer intends to issue the Refinancing Notes on September 18,
2018 in connection with the refinancing of all classes of the
secured notes previously issued on July 24, 2015. On the
Refinancing Date, the Issuer will use proceeds from the issuance of
the Refinancing Notes, along with the proceeds from the issuance of
additional subordinated 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: 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: $445,687,938
Defaulted par: $5,985,893
Diversity Score: 69
Weighted Average Rating Factor (WARF): 2940
Weighted Average Spread (WAS): 3.75%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 9.08 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.
MARATHON CLO XII: S&P Assigns Prelim BB- Rating on D Notes
----------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Marathon CLO
XII Ltd./Marathon CLO XII LLC's fixed- and floating-rate notes.
The note issuance is a collateralized loan obligation (CLO)
transaction backed by broadly syndicated speculative-grade senior
secured term loans that are governed by collateral quality tests.
The preliminary ratings are based on information as of Aug. 28,
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
Marathon CLO XII Ltd./Marathon CLO XII LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 274.10
A-2a AA (sf) 56.65
A-2b AA (sf) 15.00
B A (sf) 27.40
C BBB- (sf) 25.00
D BB- (sf) 20.55
Subordinated notes NR 40.90
NR--Not rated.
MONARCH BEACH 2018-MBR: DBRS Finalizes B(high) on Class G Certs
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2018-MBR to be issued by Monarch Beach Resort Trust 2018-MBR:
-- Class A at AAA (sf)
-- Class X-CP at A (sf)
-- Class X-EXT at A (sf)
-- Class B at AA (sf)
-- Class C at A (high) (sf)
-- Class D at A (low) (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (high) (sf)
All trends are Stable.
All classes have been privately placed. The Class X-CP and Class
X-EXT balances are notional, with the notional balances based on
the aggregate certificate balance of the Class A, Class B, Class C
and Class D certificates.
The subject is a 400-key, five-diamond luxury resort located along
the Southern California coastline in Dana Point, California. The
property is situated midway between Los Angeles to the north and
San Diego to the south with convenient access to both the I-5
Freeway and Pacific Coast Highway. Three major airports are within
reasonable proximity of the subject, including John Wayne Airport
(21 miles away), Long Beach Airport (41 miles away) and Los Angeles
International Airport (60 miles away). As of 2016, these airports
have collectively served 94 million passengers, offering non-stop
flights to over 196 destinations worldwide. Originally constructed
in 2001, the property offers 400 hotel keys, an award-winning
18-hole championship golf course, eight food and beverage outlets,
a 30,000 square-foot (sf) destination wellness spa and access to an
exclusive private beach club. Additionally, the property boasts
120,600 sf of indoor and outdoor function space, which is 54.6%
more than the second-ranked hotel among its competitive set. The
subject financing package totals $340.0 million, with $238.0
million structured as first mortgage debt and $102.0 million
structured as mezzanine debt. The sponsor, KSL Capital Partners,
LLC (KSL), acquired the subject in 2014 for $316.9 million and has
since invested $47.6 million ($119,100 per key) into renovations,
resulting in a total-cost basis of $365.0 million. Prior to the KSL
purchase, Washington Holdings had acquired ownership of the subject
via its senior mortgage position on a 2007 financing through a
settlement with the mezzanine lender that took control of the
property upon default in July 2009.
While the macroeconomic effects of the Great Recession adversely
affected all luxury resorts in the southern California region, the
subject's underperformance was exacerbated by a specific event that
occurred in October 2008 when, after receiving a government
bailout, AIG held a lavish party at the subject property while it
was flagged under the St. Regis brand. As a result of the negative
news coverage surrounding the event and increased scrutiny
associated with excess spending in a recession, several corporate
meetings and retreats were cancelled, and the resort experienced a
large decline in future group bookings as part of the backlash. The
Hotel Del Coronado, another nearby luxury resort that KSL managed
throughout the same time period with similar segmentation as the
subject, reported a 35.0% decline peak to trough, as compared with
a 62.0% drop experienced at the subject property. After bottoming
out in 2010 with a reported revenue per available room (RevPAR) of
$149.94, performance improved as the overall market recovered, with
RevPAR increasing an average of 12.1% year over year through 2014,
when KSL acquired the subject. The subject's competitive set
experienced 14.1% average year-over-year growth over the same
period. The resort expectedly underperformed during full-year 2015
through July 2016 as rooms were taken offline and extensive
renovation work was completed. As of the trailing 12 months ending
June 2018 Smith Travel Research report, RevPAR had increased 6.8%
since the most recent pre-renovation reporting year in 2014.
Furthermore, RevPAR penetration against the competitive set has
increased to 83.7% from 81.3% over the same period, and in more
recent months RevPAR penetration has generally exceeded 90.0%.
Given the high barriers to entry in the Dana Point market, which
are reflected in the lack of new supply and projects under
development, there is minimal threat of over-building despite the
high RevPAR figures achieved in the market. The only potentially
competitive property mentioned in the appraisal is the Rosewood
Miramar Beach Montecito, which is still under construction and is
located within Santa Barbara County approximately 150 miles to the
north and therefore would not directly compete with the subject.
Inclusive of the $102.0 mezzanine loan and closing costs, the
sponsor will be cashing out approximately $108.2 million at loan
closing. At 0.86 times (x), the DBRS Refi debt service coverage
ratio (DSCR) on the mortgage debt is low for a hotel loan, even one
with a luxury product offering and excellent location such as the
subject. This higher leverage is reflected in the fact that only
$208.0 million of mortgage proceeds are rated and only $171.0
million are rated investment grade. Term default risk is considered
modest, as reflected in the DBRS Term DSCR of 1.75x, based on a
2.07% loan margin that will contractually increase by 25 basis
points (bps) during the fourth of fifth one-year extension options
and a LIBOR of 3.09% based on the DBRS "Unified Interest Rate Model
for Rating U.S. Structured Finance Transactions," which is lower
than the 3.5% LIBOR strike of the interest rate cap in place at
closing.
The DBRS value of $209.8 million represents a significant 55.0%
discount to the appraiser's as-is concluded value of $466.4
million. Furthermore, the appraisal estimates an as-stabilized
valuation by July 2021 of $514.0 million, which suggests further
upside as the capital renovations continue to have a positive
impact on performance at the subject. Additionally, the DBRS cap
rate of 10.25% is well above the cap rate range between 2.6% and
6.0% in the appraiser's sales comparable and is likely at least 400
bps above a current market cap rate for the subject. This allows
for a meaningful buffer for market volatility in the near term that
could result in a widening cap rate and lower trading activity. The
implied DBRS loan-to-value (LTV) on the full $340.0 million debt
load is very high at 162.1%, falling to a still-high 113.4% when
based on the senior mortgage debt of $238.0 million; however, the
cumulative investment grade-rated proceeds of $171.0 million
reflect a more reasonable LTV of 81.6%. As a result of the
property's irreplaceable location, continued increase in RevPAR due
to recent renovation, lack of competitive new supply and extensive
amenity offerings, including a world-class golf course, DBRS
anticipates that the mortgage loan will perform well during its
fully extended seven-year term. At refinance, the highly desirable
location, which generates increased demand for trophy assets such
as the subject, should provide ample insulation to volatility in
the market as it relates to property value over the loan term.
Classes X-CP and X-EXT are interest-only (IO) certificates that
reference a single rated tranche or multiple rated tranches. The IO
rating mirrors the lowest-rated applicable reference obligation
tranche adjusted upward by one notch if senior in the waterfall.
Notes: All figures are in U.S. dollars unless otherwise noted.
MORGAN STANLEY I: S&P Raises Class L Certs Rating to BB+(sf)
------------------------------------------------------------
S&P Global Ratings raised its rating on two classes of commercial
mortgage pass-through certificates from Morgan Stanley Capital I
Inc.'s series 1998-WF2, a U.S. commercial mortgage-backed
securities (CMBS) transaction.
S&P said, "For the upgrades, our expectation of credit enhancement
was in line with the raised rating levels. The upgrades also
reflect the reduced trust balance, the duration of class K, and our
view that the performance of the property securing the 1201
Pennsylvania Avenue loan ($20.3 million, 100.0%) is expected to
improve. While available credit enhancement levels may suggest
further positive rating movement on classes K and L, our analysis
also considered the risk of interest shortfalls to the classes if
the property's currently weak performance (including negative cash
flow and a low occupancy rate) caused a loan default, as well as
the "Structured Finance Temporary Interest Shortfall Methodology,"
published Dec. 15, 2015."
The 1201 Pennsylvania loan is the sole remaining loan in the trust.
It is secured by a leasehold interest in a 438,000-sq.-ft. office
property in Washington, D.C. Per media reports, the borrower
recently invested a significant amount in property renovations. In
addition, there are $1.9 million-tenant improvement reserves in
place.
Occupancy as of Feb. 13, 2018 was 36.09%. S&P calculated a 0.95x
S&P Global Ratings weighted average debt service coverage and a
33.9% S&P Global Ratings weighted average loan-to-value ratio using
a 7.25% S&P Global Ratings weighted average capitalization rate. To
date, the transaction certificates have experienced $9.1 million in
principal losses, or 0.9% of the original pool trust balance.
RATINGS RAISED
Morgan Stanley Capital I Inc. (Series 1998-WF2)
Rating
Class To From
K AA+ (sf) BB- (sf)
L BB+ (sf) CCC (sf)
NEUBERGER BERMAN XXII: S&P Gives Prelim BB- Rating on Cl. E-R Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R, B-R, C-R, D-R, and E-R replacement notes and the new class X
notes from Neuberger Berman CLO XXII Ltd.
Neuberger Berman CLO XXII LLC, a collateralized loan obligation
(CLO) originally issued in 2016 that is managed by Neuberger Berman
Investment Advisers LLC. The replacement notes will be issued via a
proposed supplemental indenture.
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 Aug. 27,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Oct. 17, 2018, refinancing date, the proceeds from the
issuance of the replacement notes are expected to redeem the
original notes. S&P said, "At that time, we anticipate withdrawing
the ratings on the original notes and assigning ratings to the
replacement notes. However, if the refinancing doesn't occur, we
may affirm the ratings on the original notes and withdraw our
preliminary ratings on the replacement notes."
The replacement notes are being issued via a proposed supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, will also:
-- Issue the replacement notes at a lower weighted-average cost of
debt than the original notes.
-- Issue all replacement classes at floating spreads, replacing
the current floating-rate notes.
-- Extend the reinvestment period by 2.5 years and the stated
maturity by three years.
-- Add class X notes to the structure in connection with the
reset.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance). "In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches."
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take further rating actions
as we deem necessary."
PRELIMINARY RATINGS ASSIGNED
Neuberger Berman CLO XXII Ltd./Neuberger Berman CLO XXII LLC
Replacement class Rating Amount (mil. $)
X AAA (sf) 3.00
A-1-R AAA (sf) 246.00
A-2-R NR 10.00
B-R AA (sf) 42.00
C-R (deferrable) A (sf) 30.00
D-R (deferrable) BBB- (sf) 24.00
E-R (deferrable) BB- (sf) 16.00
Subordinated notes NR 41.00
NR--Not rated.
OCP CLO 2014-7: S&P Assigns Prelim B-(sf) Rating on Cl. E-RR Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-1-RR, A-2-RR, B-1-RR, B-2-RR, C-RR, D-RR, and
E-RR notes and the new class X-RR notes from OCP CLO 2014-7 Ltd., a
collateralized loan obligation (CLO) transaction originally issued
in November 2014 and subsequently refinanced in October 2017. The
transaction is managed by Onex Credit Partners LLC. The replacement
notes will be issued via a proposed supplemental indenture.
S&P said, "The preliminary ratings reflect our opinion that the
credit support available is commensurate with the associated rating
levels. The replacement classes are expected to be issued at a
higher weighted average cost of debt than the current notes.
Furthermore, all replacement classes are expected to be issued at
floating spreads, except class B-2-RR, which will be issued at a
fixed rate."
The preliminary ratings are based on information as of Aug. 29,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Sept. 6, 2018, refinancing date, the proceeds from the
issuance of the replacement notes are expected to redeem the
original notes. At that time, S&P anticipates withdrawing the
ratings on the original class A-1A-R, A-1B-R, A-2A-R, A-2B-R,
B-1-R, B-2-R, C, D, and E notes and assigning ratings to the
replacement class A-1-RR, A-2-RR, B-1-RR, B-2-RR, C-RR, D-RR, and
E-RR notes and the new class X-RR notes.
The replacement notes are being issued via a proposed supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, is expected to:
-- Issue the replacement class at a higher weighted average cost
of debt than the current notes.
-- Issue all replacement classes at floating spreads, except the
class B-2-RR notes, which will be issued with a fixed rate.
-- Extend the stated maturity by 2.75 years compared to the
original transaction's stated maturity.
The reinvestment period and non-call period will end 2.87 and 0.87
years respectively from the reset closing date.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take further rating actions
as we deem necessary."
PRELIMINARY RATINGS ASSIGNED
OCP CLO 2014-7 Ltd./OCP CLO 2014-7 Corp.
Replacement class Rating Amount (mil. $)
X-RR AAA (sf) 5.00
A-1-RR AAA (sf) 330.00
A-2-RR AA (sf) 50.00
B-1-RR (deferrable) A (sf) 20.00
B-2-RR (deferrable) A (sf) 10.00
C-RR (deferrable) BBB- (sf) 30.00
D-RR (deferrable) BB- (sf) 24.00
E-RR (deferrable) B- (sf) 6.00
Subordinated notes NR 10.00
Preference shares NR 75.95
NR--Not rated.
OZLM FUNDING II: S&P Assigns BB- Rating on Class D-R2 Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1a-R,
A-1a-F, A-2-R2, A-2-RF, B-R2, C-R2, and D-R2 replacement notes from
OZLM Funding II Ltd., a collateralized loan obligation (CLO)
originally issued in 2012 that is managed by Och-Ziff Loan
Management L.P. At the same time, S&P withdrew its ratings on the
original class A-1-R, A-2a-R, A-2b-R, B-R, C-R, and D-R note
following payment in full on the Aug. 29, 2018, refinancing date.
On the Aug. 29, 2018, refinancing date, the proceeds from the
issuance of the replacement class A-1a-R, A-1a-F, A-1b-R, A-2-R2,
A-2-RF, B-R2, C-R2, and D-R2 notes were used to redeem the original
notes as outlined in the transaction document provisions.
Therefore, S&P withdrew its ratings on the original class A-1-R,
A-2a-R, A-2b-R, B-R, C-R, and D-R notes in line with their full
redemption, and S&P is assigning ratings to the replacement notes.
The assigned ratings reflect S&P's opinion that the credit support
available is commensurate with the associated rating levels.
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
OZLM Funding II Ltd./OZLM Funding II LLC
Replacement class Rating Amount (mil. $)
A-1a-R AAA (sf) 301.50
A-1a-F AAA (sf) 27.50
A-1b-R NR 21.70
A-2-R2 AA (sf) 40.00
A-2-RF AA (sf) 19.20
B-R2 A (sf) 32.40
C-R2 BBB- (sf) 29.80
D-R2 BB- (sf) 22.90
Subordinated notes NR 72.10
RATINGS WITHDRAWN
OZLM Funding II Ltd./OZLM Funding II LLC
Original class Rating Amount (mil. $)
A-1-R AAA (sf) 336.50
A-2a-R AA+ (sf) 52.90
A-2b-R AA+ (sf) 10.00
B-R A+ (sf) 45.80
C-R BBB (sf) 26.50
D-R BB (sf) 26.80
NR--Not rated.
PROSPER MARKETPLACE 2018-2: Moody's Rates Class C Notes B2(sf)
--------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
notes issued by Prosper Marketplace Issuance Trust, Series 2018-2
(PMIT 2018-2), the second marketplace lending transaction issued
from the PMIT platform this year. The collateral backing PMIT
2018-2 consists of unsecured consumer installment loans originated
by WebBank, a Utah state-chartered industrial bank, through the
online platform operated by Prosper Funding LLC (Prosper), who also
acts as the servicer of the loans.
The complete rating actions are as follows:
Issuer: Prosper Marketplace Issuance Trust, Series 2018-2
$335,500,000, 3.35% Class A Notes, Definitive Rating Assigned A3
(sf)
$59,950,000, 3.96% Class B Notes, Definitive Rating Assigned Baa3
(sf)
$105,050,000, 5.50% Class C Notes, Definitive Rating Assigned B2
(sf)
RATINGS RATIONALE
The ratings are based on the quality of the underlying collateral
and its expected performance, the strength of the capital structure
and fast amortization of the assets, and the experience and
expertise of Prosper as servicer and the back-up servicing
arrangement with Citibank N.A. (Citibank, counterparty risk
assessment of A1(cr)).
The definitive rating for the Class C notes, B2 (sf), is one notch
higher than its provisional rating, (P)B3 (sf). This difference is
a result of the transaction closing with a lower weighted average
cost of funds (WAC) than Moody's modeled when the provisional
ratings were assigned. The WAC assumptions, as well as other
structural features, were provided by the issuer.
Moody's median cumulative net loss expectation for the 2018-2 pool
is 13.00%. Moody's based its cumulative net loss expectation on an
analysis of the credit quality of the underlying collateral; the
historical performance of similar collateral, including
securitization performance and managed portfolio performance; the
ability of Prosper to perform the servicing functions and Citibank
to perform the backup servicing functions; and current expectations
for the macroeconomic environment during the life of the
transaction.
At closing the Class A notes, Class B notes, and Class C notes
benefit from 39.50%, 28.60%, and 9.50%, of hard credit enhancement,
respectively. Hard credit enhancement for the notes consists of a
combination of overcollaterization, a non-declining reserve account
and subordination, except for the Class C notes which do not
benefit from subordination. The notes will also benefit from excess
spread.
The principal methodology used in these ratings was "Moody's
Approach to Rating Consumer Loan-Backed ABS" published in September
2015.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the notes if, given current expectations of
portfolio losses, levels of credit enhancement are consistent with
higher ratings. In sequential pay structures, such as the one in
this transaction, credit enhancement grows as a percentage of the
collateral balance as collections pay down senior notes. Moody's
expectation of pool losses could decline as a result of better than
expected improvements in the economy, changes to servicing
practices that enhance collections or refinancing opportunities
that result in prepayments. In addition, greater certainty
concerning the legal and regulatory risks facing this transaction
could lead to lower loss volatility assumptions, and thus lead to
an upgrade of the notes.
Down
Moody's could downgrade the ratings of the notes if pool losses
exceed its expectations and levels of credit enhancement are
consistent with lower ratings. Credit enhancement could decline if
excess spread is not sufficient to cover losses in a given month.
Moody's expectation of pool losses may increase, for example, due
to performance deterioration stemming from a downturn in the US
economy, deficient servicing, errors on the part of transaction
parties, inadequate transaction governance or fraud. In addition,
the legal and regulatory risks stemming from the bank partner model
that Prosper utilizes could expose the pool to increased losses.
For example, a successful legal challenge asserting that WebBank is
not the true lender of the loans in PMIT 2018-2 or that state usury
laws applied upon WebBank's sale of the loans could also lead to a
downgrade of the notes.
SERTA SIMMONS: Bank Debt Trades at 16% Off
------------------------------------------
Participations in a syndicated loan under which Serta Simmons
Bedding LLC is a borrower traded in the secondary market at 84.14
cents-on-the-dollar during the week ended Friday, August 24, 2018,
according to data compiled by LSTA/Thomson Reuters MTM Pricing.
This represents an increase of 2.22 percentage points from the
previous week. Serta Simmons pays 350 basis points above LIBOR to
borrow under the $1.95 billion facility. The bank loan matures on
November 8, 2023. Moody's rates the loan 'B3' and Standard & Poor's
gave a 'B-' rating to the loan. The loan is one of the biggest
gainers and losers among 247 widely quoted syndicated loans with
five or more bids in secondary trading for the week ended Friday,
August 24.
SOUND POINT CLO XXI: Moody's Assigns Ba3 Rating on Class D Notes
----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of notes to be issued by Sound Point CLO XXI, Ltd.
Moody's rating action is as follows:
US$315,000,000 Class A-1A Senior Secured Floating Rate Notes due
2031 (the "Class A-1A Notes"), Assigned (P)Aaa (sf)
US$55,000,000 Class A-2 Senior Secured Floating Rate Notes due 2031
(the "Class A-2 Notes"), Assigned (P)Aa2 (sf)
US$30,000,000 Class B Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class B Notes"), Assigned (P)A2 (sf)
US$27,500,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C Notes"), Assigned (P)Baa3 (sf)
US$22,500,000 Class D Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class D Notes"), Assigned (P)Ba3 (sf)
The Class A-1A Notes, the Class A-2 Notes, the Class B Notes, the
Class C Notes and the Class D Notes are referred to herein,
collectively, as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
RATINGS RATIONALE
Moody's provisional ratings of the Rated Notes address the expected
losses posed to noteholders. The provisional ratings reflect the
risks due to defaults on the underlying portfolio of assets, the
transaction's legal structure, and the characteristics of the
underlying assets.
Sound Point XXI is a managed cash flow CLO. The issued notes will
be collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90.0% of the portfolio must consist of
first lien senior secured loans and eligible investments, and up to
10.0% of the portfolio may consist of second lien loans and
unsecured loans. Moody's expects the portfolio to be approximately
60.0% ramped as of the closing date.
Sound Point Capital Management, LP will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's five year reinvestment period.
Thereafter, the Manager may reinvest unscheduled principal payments
and proceeds from sales of credit risk assets, subject to certain
restrictions.
In addition to the Rated Notes, the Issuer will issue one 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 the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 55
Weighted Average Rating Factor (WARF): 2530
Weighted Average Spread (WAS): 3.25%
Weighted Average Coupon (WAC): 6.5%
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 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.
STEELE CREEK 2018-2: Moody's Assigns Ba3 Rating on Class E Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Steele Creek CLO 2018-2, Ltd.
Moody's rating action is as follows:
US$256,000,000 Class A Senior Secured Floating Rate Notes due 2031
(the "Class A Notes"), Assigned Aaa (sf)
US$46,000,000 Class B Senior Secured Floating Rate Notes due 2031
(the "Class B Notes"), Assigned Aa2 (sf)
US$22,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C Notes"), Assigned A2 (sf)
US$25,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class D Notes"), Assigned Baa3 (sf)
US$19,000,000 Class E Mezzanine 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.
Steele Creek CLO 2018-2 is a managed cash flow CLO. The issued
notes will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 92.5% of the portfolio must
consist of senior secured loans and eligible investments, and up to
7.5% of the portfolio may consist of second lien loans and
unsecured loans. The portfolio is approximately 90% ramped as of
the closing date.
Steele Creek Investment 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 five year reinvestment period.
Thereafter, the Manager may reinvest unscheduled principal payments
and proceeds from sales of credit risk assets, subject to certain
restrictions.
In addition to the Rated Notes, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $400,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2775
Weighted Average Spread (WAS): 3.30%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 9.0 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
UBS COMMERCIAL 2018-C12: Fitch Rates Class F-RR Certs 'BB-'
-----------------------------------------------------------
Fitch Ratings has assigned the following final ratings and Rating
Outlooks to UBS Commercial Mortgage Trust 2018-C12 Commercial
Mortgage Pass-Through Certificates, Series 2018-C12:
-- $23,420,000 class A-1 'AAAsf'; Outlook Stable;
-- $87,995,000 class A-2 'AAAsf'; Outlook Stable;
-- $38,957,000 class A-SB 'AAAsf'; Outlook Stable;
-- $10,670,000 class A-3 'AAAsf'; Outlook Stable;
-- $185,000,000 class A-4 'AAAsf'; Outlook Stable;
-- $217,415,000 class A-5 'AAAsf'; Outlook Stable;
-- $563,457,000b class X-A 'AAAsf'; Outlook Stable;
-- $139,858,000b class X-B 'AA-sf'; Outlook Stable;
-- $69,426,000 class A-S 'AAAsf'; Outlook Stable;
-- $34,210,000 class B 'AA-sf'; Outlook Stable;
-- $36,222,000 class C 'A-sf'; Outlook Stable;
-- $21,585,000ab class X-D 'BBBsf'; Outlook Stable;
-- $21,585,000a class D 'BBBsf'; Outlook Stable;
-- $20,674,000ac class D-RR 'BBB-sf'; Outlook Stable;
-- $9,056,000ac class E-RR 'BB+sf'; Outlook Stable;
-- $9,055,000ac class F-RR 'BB-sf'; Outlook Stable;
-- $9,056,000ac class G-RR 'B-sf'; Outlook Stable.
The following class is not rated:
-- $32,197,824ac 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.
The horizontal risk retention is represented by the D-RR, E-RR,
F-RR, G-RR and NR-RR classes.
The ratings are based on information provided by the issuer as of
Aug. 27, 2018.
Since Fitch published its expected ratings on July 30, 2018, class
X-D increased in size from $21,357,000 to $21,585,000, class D
increased in size from $21,357,000 to $21,585,000 and class D-RR
decreased in size from $20,902,000 to $20,674,000. Additionally,
based on final pricing of the certificates, class C is WAC class,
which provides no excess cash flow that would affect the payable
interest on the class X-B certificates. Fitch's rating on class X-B
has been updated to 'AA-sf' (from 'A-sf') to reflect the rating of
the lowest referenced tranche whose payable interest has an impact
on the interest-only payments. The classes reflect the final
ratings and deal structure.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 65 loans secured by 75
commercial properties having an aggregate principal balance of
$804,938,824 as of the cutoff date. The loans were contributed to
the trust by: UBS AG, Societe Generale, Ladder Capital Finance LLC,
Natixis Real Estate Capital LLC, Rialto Mortgage Finance LLC,
Cantor Commercial Real Estate Lending, L.P. and CIBC, Inc.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 68.6% of the properties
by balance, cash flow analysis of 81.0% and asset summary reviews
on 100.0% of the pool.
KEY RATING DRIVERS
Investment-Grade Credit Opinion Loans: Two loans, representing a
combined 9.3% of the transaction, are credit assessed. The largest
loan, Wyvernwood Apartments (6.2% of the pool) received an
investment-grade credit opinion of 'BBB-sf' on a stand-alone basis.
The sixth-largest loan, 20 Times Square (3.1% of pool), has a
stand-alone credit opinion of 'Asf'. The pool's Fitch DSCR and LTV,
net of credit opinion loans, are 1.14x and 108.1%, respectively.
Lower Fitch Debt Service Coverage (DSCR) Than Recent Fitch-Rated
Transactions: The pool's weighted average (WA) Fitch DSCR of 1.16x
is worse than the 2017 and 2018 YTD averages of 1.26x and 1.23x,
respectively. However, the pool's WA Fitch LTV of 103.9% is
comparable with the 2017 and YTD 2018 averages of 101.6% and
103.8%, respectively.
Diverse Pool: The pool is more diverse than recent Fitch-rated
transactions. The top-10 loans comprise 40.0% of the pool balance;
less than the 2017 average of 53.1% and the 2018 YTD average of
51.0%. The pool's average loan size of $12.4 million is lower than
the average of $20.0 million for 2017 and $18.7 million for YTD
2018. The concentration results in an LCI of 261, less than the
2017 average of 398 and the YTD 2018 average of 378.
RATING SENSITIVITIES
For this transaction, Fitch's NCF was 13.4% 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-C12 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.
WACHOVIA BANK 2003-C5: Moody's Affirms Class X-C Certs at 'Ca'
--------------------------------------------------------------
Moody's Investors Service has affirmed the rating on one interest
only (IO) class of Wachovia Bank Commercial Mortgage Trust 2003-C5,
Commercial Mortgage Pass-through Certificates, Series 2003-C5 as
follows:
Cl. X-C, Affirmed Ca (sf); previously on Aug 10, 2017 Affirmed Ca
(sf)
RATINGS RATIONALE
The rating on the IO class was affirmed based on the credit quality
of the referenced classes.
Moody's rating action reflects a base expected loss of 0% of the
current pooled balance, compared to 13.5% at Moody's last review.
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. Its ratings
reflect the potential for future losses under varying levels of
stress. Moody's base expected loss plus realized losses is now 1.0%
of the original pooled balance, the same as that at the last
review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
An IO class may be subject to ratings upgrades if there is an
improvement in the credit quality of its referenced classes,
subject to the limits and provisions of the updated IO methodology.
An IO class may be subject to ratings downgrades if there is (i) a
decline in the credit quality of the reference classes and/or (ii)
paydowns of higher quality reference classes, subject to the limits
and provisions of the updated IO methodology.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in this rating were "Moody's Approach to
Rating Large Loan and Single Asset/Single Borrower CMBS" published
in July 2017 and "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" published in June 2017.
DEAL PERFORMANCE
As of the August 15, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $9.7 million
from $1.2 billion at securitization. The certificates are
collateralized by 7 mortgage loans ranging in size from less than
1% to 20% of the pool. One loan, constituting 13.4% of the pool,
has defeased and is 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 5, compared to 6 at Moody's last review.
One loan, constituting 17.2% 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.
Seven loans have been liquidated from the pool, resulting in an
aggregate realized loss of $11.5 million (for an average loss
severity of 45%). There are no loans that are currently in special
servicing.
Moody's received full year 2017 operating results for 100% of the
pool, and partial year 2018 operating results for 50% of the pool
(excluding specially serviced and defeased loans). Moody's weighted
average conduit LTV is 40.8%, compared to 43.4% 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 20.6% to the most recently available net
operating income (NOI). Moody's value reflects a weighted average
capitalization rate of 8.9%.
Moody's actual and stressed conduit DSCRs are 1.13X and 2.61X,
respectively, compared to 1.19X and 2.40X 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 55.5% of the pool balance.
The largest loan is the Brandon Oaks Loan ($1.9 million -- 20.2% of
the pool), which is secured by a 160-unit multifamily property
located in Brandon, Florida. The property was 93% leased as of
March 2018, compared to 98% leased as of March 2017. Moody's LTV
and stressed DSCR are 23% and >4.00X, respectively, compared to
27% and 3.59X at the last review.
The second largest loan is the Rite Aid -- Las Vegas Loan ($1.8
million -- 18.1% of the pool), which is secured by a 17,000 square
foot (SF), single tenant retail property located in Las Vegas,
Nevada, approximately 2.9 miles from the Las Vegas Strip. The
property is subject to a triple net lease with Rite Aid through
September 2024. The tenant closed its Las Vegas stores in mid-2008,
the property was then subleased to Dollar General in 2011, however
according to online sources, Dollar General has vacated. Moody's
LTV and stressed DSCR are 50% and 1.89X, respectively, compared to
48% and 1.96X at the last review.
The third largest loan is the Forest Hill Centre Loan ($1.7 million
-- 17.2% of the pool), which is secured by an approximately 53,000
SF grocery anchored retail center located in Lexington, NC. As of
March 2017, the property was 80% leased, compared to 82% leased at
the prior review. The loan is currently on the Master Servicer's
watchlist for low occupancy and DSCR. Moody's LTV and stressed DSCR
are 50% and 2.00X, respectively, compared to 57% and 1.75X at the
last review.
WACHOVIA BANK 2006-C23: Moody's Affirms Class H Certs at 'Caa2'
---------------------------------------------------------------
Moody's Investors Service has affirmed the rating on one class in
Wachovia Bank Commercial Mortgage Trust 2006-C23, Commercial
Mortgage Pass-Through Certificates, Series 2006-C23 as follows:
Cl. H, Affirmed Caa2 (sf); previously on Aug 24, 2017 Downgraded to
Caa2 (sf)
RATINGS RATIONALE
The rating on Cl. H was affirmed because the transaction's key
metrics, including Moody's loan-to-value (LTV) ratio and Moody's
stressed debt service coverage ratio (DSCR), are within acceptable
ranges.
Moody's rating action reflects a base expected loss of 4.5% of the
current pooled balance, compared to 10.5% at Moody's last review.
Moody's base expected loss plus realized losses is now 6.3% of the
original pooled balance, compared to 6.4% at Moody's last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in this rating was "Moody's Approach
to Rating Large Loan and Single Asset/Single Borrower CMBS"
published in July 2017.
DEAL PERFORMANCE
As of the August 17, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $36.9 million
from $4.2 billion at securitization. The certificates are
collateralized by nine mortgage loans ranging in size from 8% to
17% 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 compared to 6 at Moody's last review.
Five loans, constituting 49% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Thirty-six loans have been liquidated from the pool, resulting in
an aggregate realized loss of $264.5 million (for an average loss
severity of 52%). There are no loans in special servicing.
Moody's received full year 2017 operating results for 100% of the
pool, and partial year 2018 operating results for 55% of the pool
(excluding specially serviced and defeased loans). Moody's weighted
average conduit LTV is 88%, compared to 89% 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 26% to the most recently available net operating
income (NOI). Moody's value reflects a weighted average
capitalization rate of 8.8%.
Moody's actual and stressed conduit DSCRs are 1.30X and 1.32X,
respectively, compared to 1.32X and 1.29X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 66% of the pool balance. The
largest loan is the Walgreens Pool 1 Loan ($10.6 million -- 28.7%
of the pool), which is secured by three cross-collateralized and
cross-defaulted loans secured by properties located in Southfield,
Michigan; Flushing, Michigan and Stevensville, Michigan. All three
properties are 100% leased to Walgreens through 2021. The loan had
an anticipated repayment date of January 2016. Due to the single
tenant exposure, Moody's value incorporated a lit/dark analysis.
Moody's LTV and stressed DSCR are 125% and 0.76X, respectively,
compared to 124% and 0.77X at the last review.
The second largest loan is the Walgreens Pool 2 Loan ($7.4 million
-- 20.0% of the pool), which is secured by two cross-collateralized
and cross-defaulted loans secured by two properties located in
Saginaw, Michigan and Taylor, Michigan. Both properties are leased
to Walgreens through 2021. Due to the single tenant exposure,
Moody's value incorporated a lit/dark analysis. Moody's LTV and
stressed DSCR are 122% and 0.78X, respectively, compared to 124%
and 0.77X at the last review.
The third largest loan is the Arbutus Business Center Loan ($6.4
million -- 17.3% of the pool), which is secured by an industrial
property located in Arbutus, Maryland, located approximately six
miles southwest of Baltimore, Maryland. As of March 2018, the
property was 99% leased, compared to 95% in August 2017. Moody's
LTV and stressed DSCR are 62% and 1.53X, respectively, compared to
64% and 1.49X at the last review.
WELLS FARGO 2018-C46: Fitch Rates Class G-RR Certs 'B-sf'
---------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to Wells Fargo Commercial Mortgage Trust 2018-C46
commercial mortgage pass-through certificates, series 2018-C46:
-- $14,029,000 class A-1 'AAAsf'; Outlook Stable;
-- $147,143,000 class A-2 'AAAsf'; Outlook Stable;
-- $24,040,000 class A-SB 'AAAsf'; Outlook Stable;
-- $115,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $184,264,000 class A-4 'AAAsf'; Outlook Stable;
-- $484,476,000b class X-A 'AAAsf'; Outlook Stable;
-- $119,389,000b class X-B 'AA-sf'; Outlook Stable;
-- $56,234,000 class A-S 'AAAsf'; Outlook Stable;
-- $31,145,000 class B 'AA-sf'; Outlook Stable;
-- $32,010,000 class C 'A-sf'; Outlook Stable;
-- $20,840,000ab class X-D 'BBBsf'; Outlook Stable;
-- $20,840,000a class D 'BBBsf'; Outlook Stable;
-- $16,361,000ac class E-RR 'BBB-sf'; Outlook Stable;
-- $12,977,000ac class F-RR 'BBsf'; Outlook Stable;
-- $10,382,000ac class G-RR 'B-sf'; Outlook Stable.
The following class is not rated by Fitch:
-- $27,684,550 class H-RR.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
(c) Horizontal credit risk retention interest.
Since Fitch published its expected ratings on Aug. 7, 2018, the
balances for class X-D, class D and class E-RR were finalized. At
the time that expected ratings were assigned, the class X-D and
class D balances were estimated at $20,840,000 and $20,840,000,
respectively, and the estimated class E-RR balance was $16,361,000.
The final class sizes for class X-D, class D, and class E-RR were
$20,840,000, $20,840,000 and $16,361,000, respectively.
Additionally, Fitch's rating on class X-B has been updated to
'AA-sf' (from 'A-sf) to reflect the rating of the lowest referenced
tranche whose payable interest has an impact on the interest-only
payments. The classes reflect the final ratings and deal structure.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 49 loans secured by 55
commercial properties having an aggregate principal balance of
$692,109,550 as of the cut-off date. The loans were contributed to
the trust by Wells Fargo Bank, National Association, Barclays Bank
PLC, Rialto Mortgage Finance, LLC, BSPRT Finance, LLC and Argentic
Real Estate Finance LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 70.4% of the properties
by balance, cash flow analysis of 83.3% and asset summary reviews
on 100.0% of the pool.
KEY RATING DRIVERS
Fitch Leverage: The pool's leverage is slightly higher than that of
recent Fitch-rated multiborrower transactions. The pool's Fitch
DSCR of 1.15x is below the YTD 2018 average of 1.24x for
Fitch-rated conduit multiborrower transactions. The pool's Fitch
LTV of 104.1% is slightly above the YTD 2018 average of 103.0% for
Fitch-rated conduit multiborrower transactions.
Diverse Pool: The top-10 loans make up 46.7% of the pool, which is
below the 2017 and YTD 2018 averages of 53.1% and 51.6%,
respectively. The pool has a loan concentration index (LCI) of 327,
indicating a lower loan concentration than the YTD 2018 and 2017
LCI averages of 385 and 398, respectively. Additionally, the pool
has a sponsor concentration index (SCI) of 338, indicating a lower
sponsor concentration than the YTD 2018 and 2017 amounts of 412 and
422, respectively.
Investment-Grade Credit Opinion Loans: Two loans, representing 8.7%
of the transaction, are credit assessed, which is lower than the
2017 average of 11.7%. The second largest loan, Fair Oaks Mall
(5.9% of the pool), has a stand-alone credit opinion of 'BBB-sf',
with a Fitch DSCR and LTV of 1.49x and 59.9%, respectively. The
ninth largest loan, Moffett Towers II - Building 1 (2.9% of the
pool), has a stand-alone credit opinion of 'BBB-sf', with a Fitch
DSCR and LTV of 1.25x and 71.1%, respectively.
RATING SENSITIVITIES
For this transaction, Fitch's NCF was 11.9% 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 WFCM
2018-C46 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 further to 30% below Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'
could result.
WHITEHORSE LTD XII: S&P Assigns Prelim BB- Rating on Cl. E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to WhiteHorse
XII Ltd./WhiteHorse XII LLC's floating-rate notes.
The note issuance is a collateralized loan obligation (CLO)
transaction backed primarily by broadly syndicated
speculative-grade senior secured term loans.
The preliminary ratings are based on information as of Aug. 29,
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
WhiteHorse XII Ltd./WhiteHorse XII LLC
Class Rating Amount (mil. $)
X AAA (sf) 6.00
A AAA (sf) 283.50
B AA (sf) 58.50
C A (sf) 29.00
D BBB- (sf) 25.00
E BB- (sf) 18.00
Subordinated notes NR 38.10
NR--Not rated.
[*] DBRS Reviews 27 Ratings From 5 U.S. ABS Transactions
--------------------------------------------------------
DBRS, Inc. reviewed 27 ratings from five U.S. structured finance
asset-backed securities transactions. Of the 27 outstanding
publicly rated classes reviewed, 15 were upgraded, seven were
confirmed and five were discontinued due to repayment. For the
ratings that were upgraded, performance trends are such that credit
enhancement levels are sufficient to cover DBRS's expected losses
at their new respective rating levels. For the ratings that were
confirmed, performance trends are such that credit enhancement
levels are sufficient to cover DBRS's expected losses at their
current respective rating levels.
The ratings are based on DBRS's review of the following analytical
considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- The transaction parties' capabilities with regard to
origination, underwriting and servicing.
-- The credit quality of the collateral pool and historical
performance.
Notes: The principal methodology is DBRS Master U.S. ABS
Surveillance Methodology, which can be found on dbrs.com under
Methodologies.
The Affected Ratings is available at https://bit.ly/2woZHVL
[*] DBRS Reviews 36 Ratings From 7 U.S. ABS Transactions
--------------------------------------------------------
DBRS, Inc. reviewed 36 ratings from seven U.S. structured finance
asset-backed securities transactions. Of the 36 outstanding
publicly rated classes reviewed, 19 were confirmed, 15 were
upgraded and two were discontinued due to repayment. For the
ratings that were confirmed, performance trends are such that
credit enhancement levels are sufficient to cover DBRS's expected
losses at their current respective rating levels. For the ratings
that were upgraded, performance trends are such that credit
enhancement levels are sufficient to cover DBRS's expected losses
at their new respective rating levels.
The ratings are based on DBRS's review of the following analytical
considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- The transaction parties' capabilities with regard to
origination, underwriting and servicing.
-- The credit quality of the collateral pool and historical
performance.
The Affected Ratings is available at https://bit.ly/2wgP2gy
[*] Moody's Hikes 19 Tranches From 7 US RMBS Deals
--------------------------------------------------
Moody's Investors Service has upgraded the ratings of 19 tranches
from seven transactions issued by various issuers.
Complete rating actions are as follows:
Issuer: Asset Backed Funding Corporation Asset-Backed Certificates,
Series 2006-OPT1
Cl. A-1, Upgraded to A1 (sf); previously on Dec 28, 2017 Upgraded
to A2 (sf)
Cl. A-2, Upgraded to Aaa (sf); previously on Dec 28, 2017 Upgraded
to A1 (sf)
Cl. A-3C1, Upgraded to A3 (sf); previously on Dec 28, 2017 Upgraded
to Baa2 (sf)
Cl. A-3C2, Upgraded to A3 (sf); previously on Dec 28, 2017 Upgraded
to Baa2 (sf)
Cl. A-3D, Upgraded to Baa1 (sf); previously on Dec 28, 2017
Upgraded to Baa3 (sf)
Issuer: Citigroup Mortgage Loan Trust 2006-HE1
Cl. M-2, Upgraded to Ba1 (sf); previously on Jan 18, 2017 Upgraded
to Ba3 (sf)
Issuer: Citigroup Mortgage Loan Trust 2006-NC1
Cl. A-1, Upgraded to A1 (sf); previously on Dec 28, 2017 Upgraded
to A3 (sf)
Cl. A-2C, Upgraded to A1 (sf); previously on Dec 28, 2017 Upgraded
to Baa3 (sf)
Cl. A-2D, Upgraded to Baa2 (sf); previously on Dec 28, 2017
Upgraded to Ba3 (sf)
Issuer: Citigroup Mortgage Loan Trust 2007-AHL1
Cl. A-1, Upgraded to A1 (sf); previously on Dec 28, 2017 Upgraded
to A3 (sf)
Cl. A-2B, Upgraded to A3 (sf); previously on Dec 28, 2017 Upgraded
to Baa2 (sf)
Cl. A-2C, Upgraded to Baa1 (sf); previously on Dec 28, 2017
Upgraded to Baa3 (sf)
Issuer: Citigroup Mortgage Loan Trust 2007-AMC4
Cl. A-1, Upgraded to Baa1 (sf); previously on Dec 28, 2017 Upgraded
to Ba1 (sf)
Cl. A-2C, Upgraded to A1 (sf); previously on Dec 28, 2017 Upgraded
to Baa3 (sf)
Cl. A-2D, Upgraded to A2 (sf); previously on Dec 28, 2017 Upgraded
to Ba1 (sf)
Issuer: Citigroup Mortgage Loan Trust 2007-WFHE3
Cl. A-3, Upgraded to Aaa (sf); previously on Dec 28, 2017 Upgraded
to Aa2 (sf)
Cl. M-2, Upgraded to Caa3 (sf); previously on Jan 18, 2017 Upgraded
to Ca (sf)
Issuer: RAMP Series 2006-NC2 Trust
Cl. A-2, Upgraded to Aaa (sf); previously on Dec 6, 2017 Upgraded
to Aa1 (sf)
Cl. A-3, Upgraded to Aaa (sf); previously on Dec 6, 2017 Upgraded
to Aa3 (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 the total 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 macroeconomic
uncertainty, and in particular the unemployment rate. The
unemployment rate fell to 3.9% in July 2018 from 4.3% in July 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.
[*] Moody's Takes Action on $104.2MM Scratch & Dent RMBS Deals
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 15 tranches,
and downgraded ratings of 3 tranches from 8 US residential mortgage
backed transactions (RMBS), backed by Scratch & Dent loans, issued
by multiple issuers..
Complete rating actions are as follows:
Issuer: Bayview Financial Mortgage Pass-Through Trust 2005-D
Cl. A-PO, Upgraded to A1 (sf); previously on Dec 29, 2017 Upgraded
to Baa2 (sf)
Cl. AF-4, Upgraded to Aa3 (sf); previously on Dec 29, 2017 Upgraded
to Baa2 (sf)
Cl. AF-5, Upgraded to Aa2 (sf); previously on Dec 29, 2017 Upgraded
to Baa1 (sf)
Underlying Rating: Upgraded to Aa2 (sf); previously on Dec 29, 2017
Upgraded to Baa1 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: Bayview Financial Mortgage Pass-Through Trust 2006-B
Cl. M-1, Upgraded to Aa3 (sf); previously on Dec 29, 2017 Upgraded
to A3 (sf)
Cl. M-2, Upgraded to Baa1 (sf); previously on Dec 29, 2017 Upgraded
to Ba2 (sf)
Issuer: Bayview Financial Mortgage Pass-Through Trust 2007-A
Cl. 1-A2, Upgraded to A1 (sf); previously on Mar 26, 2015
Downgraded to Baa2 (sf)
Cl. 1-A3, Upgraded to Ba1 (sf); previously on Mar 26, 2015
Downgraded to Ba3 (sf)
Issuer: Bayview Financial Mortgage Pass-Through Trust, Series
2004-A
Cl. B-1, Upgraded to B1 (sf); previously on Dec 29, 2017 Upgraded
to B2 (sf)
Cl. M-3, Upgraded to A1 (sf); previously on Dec 29, 2017 Upgraded
to Baa2 (sf)
Cl. M-4, Upgraded to Baa2 (sf); previously on Dec 29, 2017 Upgraded
to Ba2 (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2007-SP1
Cl. A-4, Upgraded to Aa3 (sf); previously on Dec 29, 2017 Upgraded
to A2 (sf)
Cl. M-1, Downgraded to Caa2 (sf); previously on Jun 6, 2014
Upgraded to B3 (sf)
Issuer: Countrywide Home Loan Trust 2003-SD2
Cl. M-1, Upgraded to B2 (sf); previously on May 19, 2011 Downgraded
to Caa1 (sf)
Issuer: GMACM Mortgage Loan Trust 2003-GH2
Cl. M-2, Downgraded to B2 (sf); previously on Jul 17, 2012
Downgraded to Ba3 (sf)
Issuer: GMACM Mortgage Loan Trust 2004-GH1
Cl. A-5, Upgraded to Aaa (sf); previously on Dec 29, 2017 Upgraded
to Aa3 (sf)
Cl. A-6, Upgraded to Aaa (sf); previously on Dec 29, 2017 Upgraded
to Aa2 (sf)
Cl. B, Downgraded to C (sf); previously on May 19, 2011 Downgraded
to Ca (sf)
Cl. M-1, Upgraded to A2 (sf); previously on Dec 29, 2017 Upgraded
to Baa3 (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 downgraded are due to the weaker performance of the
underlying collateral. 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 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 3.9% in July 2018 from 4.3% in July 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.
[*] Moody's Takes Action on $159.6MM U.S. RMBS Issued in 2005-2006
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 7 tranches
from 4 transactions, backed by second lien loans, issued by
multiple issuers.
Complete rating actions are as follows:
Issuer: CWHEQ Revolving Home Equity Loan Trust, Series 2005-F
Cl. 1-A, Upgraded to Caa2 (sf); previously on Aug 13, 2010
Downgraded to Ca (sf)
Cl. 2-A, Upgraded to Caa2 (sf); previously on Aug 13, 2010
Confirmed at Ca (sf)
Issuer: Greenpoint Mortgage Funding Trust 2005-HE3
Cl. A, Upgraded to Caa2 (sf); previously on Nov 4, 2010 Downgraded
to Ca (sf)
Underlying Rating: Upgraded to Caa2 (sf); previously on Nov 4, 2010
Downgraded to Ca (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Issuer: SACO I Trust 2005-10
Cl. II-A-1, Upgraded to Baa2 (sf); previously on Jan 17, 2018
Upgraded to Ba2 (sf)
Cl. II-A-3, Upgraded to Baa2 (sf); previously on Jan 17, 2018
Upgraded to Ba2 (sf)
Issuer: CWHEQ Revolving Home Equity Loan Resecuritization Trust
2006-RES
Cl. 05F-1a, Upgraded to Caa2 (sf); previously on Feb 11, 2013
Affirmed Ca (sf)
Cl. 05F-1b, Upgraded to Caa2 (sf); previously on Feb 11, 2013
Affirmed Ca (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 rating upgrade is primarily due to funds received by
the deals in February 2018 pursuant to the Second Amended Plan of
Rehabilitation of the Segregated account of Ambac Assurance
Corporation, which resulted in paydown of the bonds and reducing
the undercollateralization on these transactions. The upgrade on
CL. 05F-1a and CL. 05F-1b from CWHEQ Revolving Home Equity Loan
Resecuritization Trust 2006-RES reflects the upgrade of the linked
underlying bond CL. 1-A from CWHEQ Revolving Home Equity Loan
Trust, Series 2005-F.
The principal methodology used in rating all deals except CWHEQ
Revolving Home Equity Loan Resecuritization Trust 2006-RES Cl.
05F-1a and Cl. 05F-1b was "US RMBS Surveillance Methodology"
published in January 2017. The principal methodology used in rating
CWHEQ Revolving Home Equity Loan Resecuritization Trust 2006-RES
Cl. 05F-1a and Cl. 05F-1b was "Moody's Approach to Rating
Resecuritizations" published in February 2014.
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 3.9% in July 2018 from 4.3% in July
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 $347.4MM of RMBS Issued 2003-2007
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 17 tranches
and downgraded the ratings of two tranches from nine transactions,
backed by Alt-A, Option ARM, and Prime Jumbo RMBS loans, issued by
multiple issuers.
Complete rating actions are as follows:
Issuer: Bear Stearns ALT-A Trust 2003-5
Cl. M, Downgraded to B3 (sf); previously on Jul 29, 2015 Upgraded
to B1 (sf)
Issuer: Bear Stearns ALT-A Trust 2004-10
Cl. II-A-2, Upgraded to Aaa (sf); previously on Jun 28, 2017
Upgraded to Aa2 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on Jun 28, 2017 Upgraded
to Ca (sf)
Issuer: Bear Stearns Mortgage Funding Trust 2007-AR4
Cl. I-A-1, Upgraded to Ba2 (sf); previously on Oct 3, 2017 Upgraded
to B2 (sf)
Cl. II-A-1, Upgraded to B2 (sf); previously on Feb 5, 2015 Upgraded
to Caa1 (sf)
Issuer: CSFB Adjustable Rate Mortgage Trust 2004-2
Cl. 7-M-1, Upgraded to Aaa (sf); previously on Oct 3, 2017 Upgraded
to Aa3 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2004-18CB
Cl. 1-A-1, Upgraded to Baa1 (sf); previously on Oct 3, 2017
Upgraded to Baa3 (sf)
Cl. 2-A-8, Upgraded to Baa1 (sf); previously on Oct 3, 2017
Upgraded to Baa3 (sf)
Cl. 4-A-1, Upgraded to Baa1 (sf); previously on Oct 3, 2017
Upgraded to Baa3 (sf)
Cl. 5-A-1, Upgraded to Baa1 (sf); previously on Oct 3, 2017
Upgraded to Baa3 (sf)
Cl. 5-A-2, Upgraded to Baa3 (sf); previously on Oct 3, 2017
Upgraded to Ba2 (sf)
Cl. PO, Upgraded to Baa3 (sf); previously on Oct 27, 2016 Upgraded
to Ba2 (sf)
Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Trust,
Series 2004-5
Cl. A-4A, Upgraded to A3 (sf); previously on Oct 3, 2017 Upgraded
to Ba1 (sf)
Underlying Rating: Upgraded to A3 (sf); previously on Oct 3, 2017
Upgraded to Ba1 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. A-4B, Upgraded to A3 (sf); previously on Oct 3, 2017 Upgraded
to Ba1 (sf)
Cl. A-5B, Upgraded to A3 (sf); previously on Oct 3, 2017 Upgraded
to Baa2 (sf)
Underlying Rating: Upgraded to A3 (sf); previously on Oct 3, 2017
Upgraded to Baa2 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: Impac CMB Trust Series 2003-9F
Cl. A-1, Upgraded to A1 (sf); previously on Mar 12, 2015 Downgraded
to A3 (sf)
Cl. M, Upgraded to A3 (sf); previously on Mar 12, 2015 Downgraded
to Baa3 (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2004-AR1
Cl. 2-A-1, Upgraded to B2 (sf); previously on Jul 3, 2012 Confirmed
at Caa1 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2004-A
Cl. X-B, Downgraded to C (sf); previously on Oct 27, 2017 Confirmed
at Ca (sf)
RATINGS RATIONALE
The rating upgrades are due to an increase in the credit
enhancement available to the bonds. The rating downgrades are due
to the weak collateral performance of the underlying pools and the
total credit enhancement available to the bonds. The rating actions
also reflect the recent performance of the underlying pools and
reflect Moody's updated loss expectation on those pools.
The principal methodology used in rating Bear Stearns ALT-A Trust
2003-5 Cl. M; Bear Stearns ALT-A Trust 2004-10 Cl. II-A-2 and Cl.
M-2; CSFB Adjustable Rate Mortgage Trust 2004-2 Cl. 7-M-1; CWALT,
Inc. Mortgage Pass-Through Certificates, Series 2004-18CB Cl.
4-A-1, Cl. 5-A-1, Cl. PO, Cl. 2-A-8, Cl. 5-A-2, and Cl. 1-A-1;
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust, Series
2004-5 Cl. A-4A, Cl. A-5B, and Cl. A-4B; Impac CMB Trust Series
2003-9F Cl. A-1 and Cl. M; Bear Stearns Mortgage Funding Trust
2007-AR4 Cl. I-A-1 and Cl. II-A-1; and IndyMac INDX Mortgage Loan
Trust 2004-AR1 Cl. 2-A-1 was "US RMBS Surveillance Methodology"
published in January 2017. The methodologies used in rating Merrill
Lynch Mortgage Investors Trust MLCC 2004-A Cl. X-B 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 the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 3.9% in July 2018 from 4.3% in July
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.
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.
[*] S&P Completes Review of 20 Classes From 6 RMBS Deals
--------------------------------------------------------
S&P Global Ratings completed its review of 20 classes from six U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2002 and 2004. All of these transactions are backed by
prime jumbo and alternative-A collateral. The review yielded 19
downgrades and one discontinuance.
Analytical Considerations
The lowered ratings are based on the implementation of our tail
risk analysis per our criteria "U.S. RMBS Surveillance Credit And
Cash Flow Analysis For Pre-2009 Originations," published March 2,
2016. S&P applies this analysis when the transaction contains fewer
than 100 loans on the structure level or on the group level (group
level analysis is performed only if the transaction has multiple
groups and cross-subordination is depleted).
As RMBS transactions become more seasoned, the number of
outstanding mortgage loans backing them declines as loans are
prepaid and default. As a result, a liquidation and subsequent loss
on one or a small number of remaining loans at the tail end of a
transaction's life may have a disproportionate impact on remaining
credit enhancement, which could result in a level of credit
instability that is inconsistent with high ratings. According to
S&P's criteria, additional minimum loss projection estimations are
calculated at each rating category based on a certain number of
loans defaulting and liquidating. To address the potential that
greater losses could result if the loans with higher balances were
to default, the criteria use the largest liquidation amounts for
each rating category.
S&P said, "If the transaction's structure contains multiple
collateral groups and cross-subordination remains outstanding, we
apply our tail risk analysis on the structure level since
cross-subordination is shared among all groups. In this situation
we would calculate tail risk caps using the structure level loan
count irrespective of the groups' loan counts.
"Alternatively, if the transaction's structure contains multiple
collateral groups and cross-subordination no longer remains
outstanding, we will apply our tail risk analysis on the respective
group since group level losses are not absorbed from
cross-subordination. In this situation we would calculate tail risk
caps using the group level loan count irrespective of the structure
loan count.
"We lowered our ratings on class PO from Residential Asset
Securitization Trust 2004-A6 and class P from WaMu Mortgage
Pass-Through Certificates Series 2003-S10 Trust based on our
criteria for rating principal-only classes."
A list of Affected Ratings can be viewed at:
https://bit.ly/2N6S6pd
[*] S&P Discontinues Ratings on 34 Classes From 11 CDO Deals
------------------------------------------------------------
S&P Global Ratings discontinued its ratings on 29 classes from
eight cash flow (CF) collateralized loan obligation (CLO)
transactions and five classes from three CF collateral debt
obligations (CDO) backed by commercial mortgage-backed securities
(CMBS).
The discontinuances follow the complete paydown of the notes as
reflected in the most recent trustee-issued note payment reports
for each transaction:
-- CT CDO IV Ltd. (CF CDO of CMBS): last rated tranche paid down.
-- Eastland CLO Ltd. (CF CLO): senior-most tranche paid down,
other rated tranches still outstanding.
-- Grayson CLO Ltd. (CF CLO): senior-most tranche paid down, other
rated tranches still outstanding.
-- Greenbriar CLO Ltd. (CF CLO): senior-most tranches paid down,
one rated tranche still outstanding.
-- Limerock CLO II Ltd. (CF CLO): optional redemption in July and
August 2018.
-- Mach One 2004-1 LLC (CF CDO of CMBS): senior-most tranche paid
down, one rated tranche still outstanding.
-- NewMark Capital Funding 2013-1 CLO Ltd. (CF CLO): optional
redemption in July 2018.
-- RAIT Preferred Funding II Ltd. (CF CDO of CMBS): senior-most
tranches paid down, other rated tranches still outstanding.
-- Shackleton 2015-VII CLO Ltd. (CF CLO): optional redemption in
July 2018.
-- Stratford CLO Ltd. (CF CLO): all rated tranches paid down.
-- Westchester CLO Ltd. (CF CLO): senior-most tranche paid down,
other rated tranches still outstanding.
RATINGS DISCONTINUED
CT CDO IV Ltd.
Rating
Class To From
C NR CC (sf)
Eastland CLO Ltd.
Rating
Class To From
B NR AA+ (sf)
Grayson CLO Ltd.
Rating
Class To From
B NR A+ (sf)
Greenbriar CLO Ltd.
Rating
Class To From
C NR AA+ (sf)
D NR BBB+ (sf)
Limerock CLO II Ltd.
Rating
Class To From
A-R NR AAA (sf)
B-1-R NR AA (sf)
B-2-R NR AA (sf)
C-1-R NR A (sf)
C-2-R NR A (sf)
D NR BBB (sf)
E NR BB (sf)
F NR B- (sf)
Mach One 2004-1 LLC
Rating
Class To From
L NR CCC- (sf)
NewMark Capital Funding 2013-1 CLO Ltd.
Rating
Class To From
A-1 NR AAA (sf)
A-2 NR AAA (sf)
A-3 NR AAA (sf)
B NR AA (sf)
C NR A (sf)
D NR BBB (sf)
E NR BB (sf)
F NR B- (sf)
RAIT Preferred Funding II Ltd.
Rating
Class To From
D NR CCC+ (sf)
E NR CCC (sf)
F NR CCC (sf)
Shackleton 2015-VII CLO Ltd.
Rating
Class To From
A-R NR AAA (sf)
B-R NR AA (sf)
C-R NR A (sf)
D NR BBB (sf)
E NR BB (sf)
Stratford CLO Ltd.
Rating
Class To From
C NR AA+ (sf)
D NR BBB+ (sf)
E NR B+ (sf)
Westchester CLO Ltd.
Rating
Class To From
B NR AAA (sf)
NR-Not rated.
[*] S&P Takes Various Action on 43 Classes from 15 U.S. RMBS Deals
------------------------------------------------------------------
S&P Global Ratings completed its review of 43 classes from 15 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 1996 and 2007. All of these transactions are backed by
subprime collateral. The review yielded six upgrades, six
downgrades, 29 affirmations, and two discontinuances.
ANALYTICAL CONSIDERATIONS
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by 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;
-- Priority of principal payments;
-- Proportion of re-performing loans in the pool;
-- Redemption;
-- Virtual certainty of default;
-- Loan modification criteria;
-- Expected short duration until pay down; and
-- Available subordination and/or overcollateralization.
RATING ACTIONS
S&P said, "In terms of transitions of three or more notches, we
raised the ratings on classes A-4 and A-6 from Citicorp Residential
Mortgage Trust Series 2006-3 to 'BBB+ (sf)' and 'BBB (sf)',
respectively, from 'B- (sf)'. The transaction's cumulative loss
performance trigger is failing, which has locked in the hard credit
enhancement and caused the deal to pay sequentially. Both classes
experienced an increase in credit support to 40% from 31.2% since
our last review. Class A-4 is rated higher to reflect its higher
payment priority.
"Also, we raised the rating on class A-2B from C-BASS Mortgage Loan
Asset-Backed Certificates' series 2006-CB8 to 'AAA (sf)' from 'B-
(sf)' to reflect the expected short duration until the class is
paid in full. The transaction's cumulative loss and delinquency
performance triggers are failing, which has locked in the hard
credit enhancement and caused the Group Two classes to pay
sequentially. Class A-2B is the most senior class in the Group Two
waterfall and is receiving all principal distributions from the
Group Two collateral.
"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."
A list of Affected Ratings can be viewed at:
https://bit.ly/2on6bkq
[*] S&P Takes Various Action on 88 Classes From 17 U.S. RMBS Deals
------------------------------------------------------------------
S&P Global Ratings completed its review of 88 classes from 17 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2003 and 2007. All of these transactions are backed by
prime collateral. The review yielded 36 upgrades, 11 downgrades, 36
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;
-- Erosion of or increases in credit support;
-- Expected short duration;
-- Principal-only criteria; and
-- Available subordination and/or overcollateralization.
Rating Actions
The affirmations of ratings reflect S&P's opinion that its
projected credit support and collateral performance on these
classes has remained relatively consistent with its prior
projections.
A list of Affected Ratings can be viewed at:
https://bit.ly/2MQxHES
[*] S&P Takes Various Actions on 107 Classes From 14 US RMBS Deals
------------------------------------------------------------------
S&P Global Ratings completed its review of 107 classes from 14 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2002 and 2010. The transactions are backed by various types
of collateral. The review yielded 41 upgrades, 15 downgrades, 48
affirmations, one withdrawal, and two discontinuances.
ANALYTICAL CONSIDERATIONS
S&P incorporate 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;
-- Priority of principal payments; and
-- Available subordination and/or overcollateralization.
RATING ACTIONS
S&P said, "The affirmed ratings reflect our opinion that our
projected credit support and collateral performance on these
classes have remained relatively consistent with our prior
projections.
"We raised five ratings from the transaction American Home Mortgage
Investment Trust 2005-1 by five notches due to increased credit
support. These classes benefited from sequential principal
allocation, which locked out principal to subordinate classes and
built credit support for those classes. Ultimately, we believe
these classes have credit support that is sufficient to withstand
losses at higher rating levels."
A list of Affected Ratings can be viewed at:
https://bit.ly/2NzMWiF
[*] S&P Takes Various Actions on 40 Classes From 17 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 40 classes from 19 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 1998 and 2007. All of these transactions are backed by
subprime collateral. The review yielded four upgrades, three
downgrades, and 33 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;
-- Historical interest shortfalls;
-- Priority of principal payments;
-- Proportion of reperforming loans in the pool;
-- Tail risk; and
-- Available subordination and/or overcollateralization.
Rating Actions
The affirmations of ratings reflect S&P's opinion that its
projected credit support and collateral performance on these
classes has remained relatively consistent with its prior
projections.
Classes M-2 and M-3 from Morgan Stanley Home Equity Loan Trust
2005-3 were removed from CreditWatch with developing implications,
and each was upgraded five notches primarily because of increased
credit support. These classes also benefit from failing cumulative
loss triggers, whereby the most-senior classes receive all
scheduled and unscheduled principal allocations. This increases
credit support. S&P said. "As a result, we believe these classes
have credit support that is sufficient to withstand losses at
higher rating levels. The classes were initially placed on
CreditWatch on April 17, 2018, due to outstanding questions with
the trustee concerning prior reported interest payments. We
received confirmation from the trustee that the July 2018
remittance statement included proper adjustments to the paid
interest amounts to the outstanding classes; as a result, we have
removed these classes from CreditWatch with developing
implications."
A list of Affected Ratings can be viewed at:
https://bit.ly/2Pfo14b
*********
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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,
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Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
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Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors.
Copyright 2018. All rights reserved. ISSN: 1520-9474.
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