/raid1/www/Hosts/bankrupt/TCR_Public/181209.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, December 9, 2018, Vol. 22, No. 342
Headlines
AMERICREDIT AUTOMOBILE 2018-3: Moody's Rates $25.5MM E Notes Ba2
APEX CREDIT 2018-II: Moody's Rates US$8MM Class F Notes 'B3'
ATLAS SENIOR VII: S&P Assigns B- Rating on Class F-R Notes
BANC OF AMERICA 2007-3: S&P Raises Class F Certs Rating to 'B(sf)'
BANK 2018-BNL15: Fitch Assigns BB-sf Rating on $11MM Class G Certs
BARCLAYS BANK 2017-C1: Fitch Affirms B- Rating on 2 Tranches
BBCMS MORTGAGE 2018-C2: DBRS Gives Prov. B(low) Rating on H-RR Debt
BEAR STEARNS 2003-TOP10: S&P Affirms CCC- Rating on Class N Certs
BEAR STEARNS 2004-PWR4: Fitch Ups $4.8MM Class L Certs Rating to B
BEAR STEARNS 2005-PWR7: Moody's Lowers Class C Debt Rating to B1
BEAR STEARNS 2005-TOP20: Fitch Affirms C Rating on Class F Notes
BENCHMARK 2018-B7: DBRS Finalizes BB Rating on Class G-RR Certs
BENCHMARK MORTGAGE 2018-B8: Fitch to Rate Class G-RR Certs 'B-sf'
CITIGROUP COMMERCIAL 2006-C5: Fitch Lowers A-J Certs Rating to Csf
CITIGROUP COMMERCIAL 2016-GC36: Fitch Affirms B Rating on F Certs
COBALT CMS 2007-C2: Moody's Affirms B1 Rating on 2 Tranches
COLONNADE GLOBAL 2018-2: DBRS Gives Prov. BB(high) on K Debt
COMM 2004-RS1: Fitch Affirms Csf Rating on 9 Tranches
COMM 2014-CCRE15: Moody's Affirms B2 Rating on Class F Debt
COMM 2016-CCRE28: Fitch Affirms B-sf Rating on Class G Certs
COMM MORTGAGE 2004-LNB5: Fitch Affirms C Rating on Class K Certs
COMM MORTGAGE 2006-C8: Fitch Hikes Class B Certs to BBsf
CSAIL 2018-C14: Fitch Assigns BB-sf Rating on 2 Tranches
CSMC 2018-SITE: Moody's Assigns (P)Ba3 Rating on Class E Certs
DRYDEN CLO 61: Moody's Assigns Ba3 Rating on $29.5MM Class E Notes
GS MORTGAGE 2012-GS6: Fitch Affirms BBsf Rating on $21.6MM E Certs
GS MORTGAGE 2013-GC10: DBRS Confirms BB Rating on Class E Certs
GS MORTGAGE 2017-GS8: Fitch Affirms B- Rating on Class G-RR Certs
GS MORTGAGE 2018-FBLU: DBRS Finalizes B Rating on Class HRR Certs
GS MORTGAGE 2018-RPL1: DBRS Finalizes BB Rating on Class B1 Notes
GSAA HOME 2005-3: Moody's Hikes Class B-2 Debt Rating to B1
HALCYON LOAN 2014-2: Moody's Lowers Class E Notes Rating to Caa2
HORIZON AIRCRAFT I: Fitch Rates BBsf Rating on Series C Notes
ICG US 2018-3: Moody's Rates $21MM Class E Notes 'Ba3'
JP MORGAN 2016-JP4: Fitch Affirms BB-sf Rating on Class E Certs
JP MORGAN 2018-LTV1: DBRS Finalizes B Rating on Class B-5 Certs
JP MORGAN 2018-LTV1: Moody's Assigns B3 Rating on Class B-5 Debt
KKR CLO 15: Moody's Assigns Ba3 Rating on $24.25MM Class E-R Notes
LCM XVI: S&P Rates $28MM Class E-R2 Debt 'BB-'
MERRILL LYNCH 1997-C2: Fitch Affirms Bsf Rating on Class G Certs
MESA GLOBAL 2002-1: Moody's Hikes Class B-1 Debt Rating to B2
MILL CITY 2018-4: DBRS Finalizes B(low) Rating on Class B2 Notes
MONROE CAPITAL 2015-1: Moody's Lowers Class F Notes Rating to B3
MORGAN STANLEY 2007-HQ11: Moody's Affirms C Rating on 2 Tranches
MORGAN STANLEY 2016-C32: DBRS Confirms BB Rating on Class F Certs
MORGAN STANLEY I 2017-CLS: Moody's Affirms B3 on Class F Certs
NEUBERGER BERMAN 30: S&P Assigns Prelim BB- Rating on E Notes
NEW RESIDENTIAL 2018-5: DBRS Finalizes B(high) Rating on 10 Classes
NEW RESIDENTIAL 2018-5: Moody's Assigns B1 Rating on Cl. B-7 Debt
OAKTREE CLO 2018-1: S&P Assigns BB- Rating on Class D Notes
RCO TRUST 2018-VFS1: S&P Assigns B Rating in Class B-2 Notes
REGIONAL MANAGEMENT 2018-2: DBRS Gives (P)BB Rating on Cl. D Notes
SELKIRK TRUST 2013-1: DBRS Confirms BB(low) Rating on Class F Notes
STARWOOD MORTGAGE 2018-IMC2: S&P Assigns B+ on Cl. B-2 Certs
THL CREDIT 2015-1: Moody's Rates $12MM Class F-R Notes 'B3'
THL CREDIT 2016-2: Moody's Assigns Ba3 Rating on Class E-R Notes
TOWD POINT 2016-5: Moody's Hikes Class B2 Debt Rating to Ba2(sf)
TOWD POINT 2018-SJ1: Fitch to Rate $21.33MM Class B2 Notes 'Bsf'
WACHOVIA BANK 2006-C28: Fitch Hikes Cl. D Certs Rating to CCCsf
WACHOVIA BANK 2006-C28: Moody's Hikes Class D Certs Rating to Caa1
WELLS FARGO 2014-LC18: DBRS Confirms B Rating on X-F Debt
WELLS FARGO 2015-C26: Fitch Affirms Bsf Rating on Class F Certs
WELLS FARGO 2018-C48: Fitch to Rate Class G-RR Certs B-sf
WFCG COMMERCIAL 2015-BXRP: S&P Affirms B+(sf) Rating on G Certs
[*] DBRS Reviews 18 Ratings From 3 US Structured Fin. Transactions
[*] Moody's Takes Action on $21.26MM RMBS Issued 2001 & 2004
[*] Moody's Takes Action on $55.7MM 2nd Lien RMBS Issued 2003-2006
[*] S&P Cuts Ratings on 17 Classes From 17 US RMBS Deals to D(sf)
[*] S&P Takes Various Action on 146 Classes From 19 US RMBS Deals
[*] S&P Takes Various Actions on 88 Classes From 19 US RMBS Deals
*********
AMERICREDIT AUTOMOBILE 2018-3: Moody's Rates $25.5MM E Notes Ba2
----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
notes issued by AmeriCredit Automobile Receivables Trust 2018-3.
This is the third AMCAR auto loan transaction of the year for
AmeriCredit Financial Services, Inc. (AFS; Unrated). The notes are
backed by a pool of retail automobile loan contracts originated by
AFS, who is also the servicer and administrator for the
transaction.
The complete rating actions are as follows:
Issuer: AmeriCredit Automobile Receivables Trust 2018-3
$161,000,000, 2.70676%, Class A-1 Notes, Definitive Rating Assigned
P-1 (sf)
$240,000,000, 3.11%, Class A-2-A Notes, Definitive Rating Assigned
Aaa (sf)
$65,000,000, One Month Libor + 0.25%, Class A-2-B Notes, Definitive
Rating Assigned Aaa (sf)
$261,450,000, 3.38%, Class A-3 Notes, Definitive Rating Assigned
Aaa (sf)
$78,950,000, 3.58%, Class B Notes, Definitive Rating Assigned Aa1
(sf)
$98,010,000, 3.74%, Class C Note, Definitive Rating Assigned Aa3
(sf)
$96,380,000, 4.04%, Class D Notes, Definitive Rating Assigned Baa2
(sf)
$25,590,000, 0.00%, Class E Notes, Definitive Rating Assigned Ba2
(sf)
RATINGS RATIONALE
The ratings are based on the quality of the underlying collateral
and its expected performance, the strength of the capital
structure, and the experience and expertise of AFS as the servicer
and administrator.
Moody's median cumulative net loss expectation for the 2018-3 pool
is 9.5% and the loss at a Aaa stress is 38.0%. Moody's based its
cumulative net loss expectation and loss at a Aaa stress 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 AFS to perform the servicing functions; and current
expectations for the macroeconomic environment during the life of
the transaction.
At closing, the Class A notes, Class B notes, Class C notes, Class
D, and Class E notes benefit from 35.20%, 27.95%, 18.95%, 10.10%,
and 7.75% of hard credit enhancement, respectively. Hard credit
enhancement for the notes consists of a combination of
overcollateralization, a non-declining reserve account, and
subordination, except for Class E notes, which do not benefit from
surbordination. The notes may also benefit from excess spread.
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
October 2016.
Please note that on November 14, 2018, Moody's released a Request
for Comment, in which it has requested market feedback on potential
revisions to its Methodology for auto loan and lease-backed ABS. If
the revised Methodology is implemented as proposed, the Credit
Rating on this transaction may be neutrally affected. Please refer
to Moody's Request for Comment, titled "Proposed Update to Moody's
Global Approach to Rating Auto Loan-and Lease-Backed ABS," for
further details regarding the implications of the proposed
Methodology revisions on certain Credit Ratings.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the subordinate 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. Prepayments and interest collections directed toward note
principal payments will accelerate this build of enhancement.
Moody's expectation of pool losses could decline as a result of a
lower number of obligor defaults or appreciation in the value of
the vehicles securing an obligor's promise of payment. Portfolio
losses also depend greatly on the US job market, the market for
used vehicles, and changes in servicing practices.
Down
Moody's could downgrade the notes if, given current expectations of
portfolio losses, 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 could rise as a result of a higher
number of obligor defaults or deterioration in the value of the
vehicles securing an obligor's promise of payment. Portfolio losses
also depend greatly on the US job market, the market for used
vehicles, and poor servicing. Other reasons for worse-than-expected
performance include error on the part of transaction parties,
inadequate transaction governance, and fraud. Additionally, Moody's
could downgrade the Class A-1 short-term rating following a
significant slowdown in principal collections that could result
from, among other things, high delinquencies or a servicer
disruption that impacts obligor's payments.
APEX CREDIT 2018-II: Moody's Rates US$8MM Class F Notes 'B3'
------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
notes issued by Apex Credit CLO 2018-II Ltd.
Moody's rating action is as follows:
US$260,000,000 Class A Senior Secured Floating Rate Notes due 2031
(the "Class A Notes"), Assigned Aaa (sf)
US$46,000,000 Class B Senior Secured Floating Rate Notes due 2031
(the "Class B Notes"), Assigned Aa2 (sf)
US$11,600,000 Class C-1 Secured Deferrable Floating Rate Notes due
2031 (the "Class C-1 Notes"), Assigned A2 (sf)
US$8,400,000 Class C-2 Secured Deferrable Fixed Rate Notes due 2031
(the "Class C-2 Notes"), Assigned A2 (sf)
US$22,000,000 Class D Secured Deferrable Floating Rate Notes due
2031 (the "Class D Notes"), Assigned Baa3 (sf)
US$20,000,000 Class E Secured Deferrable Floating Rate Notes due
2031 (the "Class E Notes"), Assigned Ba3 (sf)
US$8,000,000 Class F Secured Deferrable Floating Rate Notes due
2031 (the "Class F Notes"), Assigned B3 (sf)
The Class A Notes, the Class B Notes, the Class C-1 Notes, the
Class C-2 Notes, the Class D Notes, the Class E Notes and the Class
F Notes are referred to herein, collectively, as the "Rated Notes."
RATINGS RATIONALE
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.
Apex Credit CLO 2018-II 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 80% ramped as of
the closing date.
Apex Credit Partners 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): 2665
Weighted Average Spread (WAS): 3.50%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 45.5%
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.
The Credit Rating for Apex Credit CLO 2018-II Ltd. was assigned in
accordance with Moody's existing Methodology entitled "Moody's
Global Approach to Rating Collateralized Loan Obligations," dated
August 31, 2017. Please note that on November 14, 2018, Moody's
released a Request for Comment, in which it has requested market
feedback on potential revisions to its Methodology for
Collateralized Loan Obligations. If the revised Methodology is
implemented as proposed, Moody's does not expect the changes to
affect the Credit Rating on Apex Credit CLO 2018-II Ltd. Please
refer to Moody's Request for Comment, titled "Proposed Update to
Moody's Global Approach to Rating Collateralized Loan Obligations,"
for further details regarding the implications of the proposed
Methodology revisions on certain Credit Ratings.
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 VII: S&P Assigns B- Rating on Class F-R Notes
----------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
X-R, A-1-R, B-1-R, B-2-R, C-R, D-R, E-R, and F-R notes from Atlas
Senior Loan Fund VII Ltd., a collateralized loan obligation (CLO)
originally issued in November 2016 and managed by Crescent Capital
Group L.P. The replacement notes are being issued via a
supplemental indenture. This is a reset of the November 2016
transaction.
S&P said, "The ratings reflect our opinion that the credit support
available is commensurate with the associated rating levels.
Subsequent information may result in the assignment of final
ratings that differ from the ratings.
The replacement notes are being issued via a supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, will also:
-- Issue the replacement class X-R, B-1-R, D-R, and E-R notes at
lower spreads than the original notes.
-- Issue the replacement class B-2-R notes at a higher spread than
the original notes.
-- Replace the original floating-rate class A notes with the new
floating-rate class A-1-R and A-2-R notes.
-- Replace the original floating-rate class C-1 notes and
fixed-rate class C-2 notes with the new floating-rate class C-R
notes.
-- Issue new class F-R notes at a floating rate.
-- Extend the legal final maturity by three years to November
2031.
-- Extend the reinvestment period by three years to November
2023.
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. Updated S&P recoveries and
industry categories were used.
"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
Atlas Senior Loan Fund VII Ltd./Atlas Senior Loan Fund VII LLC
Class Rating Amount mil. $)
X-R AAA (sf) 1.50
A-1-R AAA (sf) 244.00
A-2-R NR 20.00
B-1-R AA (sf) 15.00
B-2-R AA (sf) 18.00
C-R (deferrable) A (sf) 31.00
D-R (deferrable) BBB- (sf) 20.00
E-R (deferrable) BB- (sf) 17.00
F-R (deferrable) B- (sf) 7.00
Subordinated notes NR 42.50
RATINGS WITHDRAWN
Atlas Senior Loan Fund VII Ltd./Atlas Senior Loan Fund VII LLC
Rating
Original class To From
X NR AAA (sf)
A NR AAA (sf)
B-1 NR AA (sf)
B-2 NR AA (sf)
C-1 NR A (sf)
C-2 NR A (sf)
D NR BBB (sf)
E NR BB- (sf)
NR--Not rated.
BANC OF AMERICA 2007-3: S&P Raises Class F Certs Rating to 'B(sf)'
------------------------------------------------------------------
S&P Global Ratings raised its rating on the class F commercial
mortgage pass-through certificates from Banc of America Commercial
Mortgage Trust 2007-3, a U.S. commercial mortgage-backed securities
(CMBS) transaction. At the same time, S&P lowered its rating on the
class G certificates from the same transaction.
S&P said, "The upgrade reflects our expectation of the class F
certificates' credit enhancement, which is in line with the raised
rating level. The upgrade also considered the reduction in trust
balance and the certificates' front bond status, which will benefit
from any amortization of the underlying assets. While available
credit enhancement levels suggest further positive rating movement
on class F, our analysis also considered the magnitude of assets
with the special servicer (11 assets totaling $99.7 million, or
77.1% of the pool balance), the low reported debt service coverage
(DSC) as of year-end 2017 for the largest loan in the pool, the
Yuba City Marketplace loan ($26.6 million, 20.5%), and the
transaction's bond susceptibility to liquidity interruption from
these aforementioned assets.
"The downgrade of the class G certificates reflect the accumulated
interest shortfalls that we expect to remain outstanding in the
near term. Class G had accumulated interest shortfalls outstanding
for five consecutive months.
"According to the Nov. 13, 2018, trustee remittance report, the
current monthly interest shortfalls totaled $504,282 and resulted
primarily from interest not advanced due to nonrecoverable
determination ($486,390) and special servicing fees ($21,396). The
current interest shortfalls affected classes subordinate to and
including class G."
TRANSACTION SUMMARY
As of the Nov. 13, 2018, trustee remittance report, the collateral
pool balance was $129.3 million, which is 3.7% of the pool balance
at issuance. The pool currently includes four loans and 10 real
estate owned (REO) assets, down from 151 loans at issuance. No
loans are on the master servicer's watchlist or defeased and 11
assets are with the special servicer.
For the three performing loans, S&P calculated a 0.86x S&P Global
Ratings weighted average DSC and 126.6% S&P Global Ratings weighted
average loan-to-value ratio using a 7.77% S&P Global Ratings
weighted average capitalization rate.
To date, the transaction has experienced $185.8 million in
principal losses, or 5.3% of the original pool trust balance. S&P
expects losses to reach approximately 7.0% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses S&P expects upon the eventual resolution of
the 11 specially serviced assets.
CREDIT CONSIDERATIONS
As of the Nov. 13, 2018, trustee remittance report, 11 assets in
the pool were with the special servicer, C-III Asset Management LLC
(C-III).
The Stonecrest Marketplace REO asset ($34.5 million, 26.7% of the
pool) is the largest asset in the pool and has a total reported
exposure of $34.6 million. The asset is a 264,644-sq.-ft. retail
property in Lithonia, Ga. The loan was transferred to the special
servicer on Feb. 28, 2017, and the property became REO on Feb. 6,
2018. C-III stated that the property was 95.3% occupied as of June
30, 2018. The master servicer, KeyBank Real Estate Capital, has
deemed the asset nonrecoverable, and S&P expects a moderate loss
upon this asset's eventual resolution.
The Marsh Warehouse 858 REO asset ($10.3 million, 8.0% of the pool)
is the third-largest asset in the pool and has a total reported
exposure of $10.8 million. The asset is an 118,860-sq.-ft.
industrial property in Indianapolis, Ind. The loan was transferred
to the special servicer on Dec. 23, 2016, and the property became
REO on Sept. 25, 2017. According to C-III, the property is
currently vacant. KeyBank has deemed the asset nonrecoverable, and
S&P expects a moderate loss upon this asset's eventual resolution.
The Schneider Electric REO asset ($10.3 million, 8.0% of the pool),
the fourth-largest asset in the pool, has a reported $13.8 million
total exposure. The asset is a 545,000-sq.-ft. industrial property
in Loves Park, Ill. C-III indicated that the property was 29.7%
occupied as of Aug. 31, 2018. The master servicer had deemed the
asset nonrecoverable, and S&P expects a significant loss upon its
eventual resolution.
The eight remaining assets with the special servicer each have
individual balances that represent less than 5.5% of the total pool
trust balance. S&P estimated losses for the 11 specially serviced
assets, arriving at a weighted-average loss severity of 59.4%.
With respect to the specially serviced assets noted above, a
minimal loss is less than 25%, a moderate loss is 26%-59%, and a
significant loss is 60% or greater.
RATING RAISED
Banc of America Commercial Mortgage Trust 2007-3
Commercial Mortgage Pass-Through Certificates Series 2007-3
Rating
Class To From
F B (sf) CCC- (sf)
RATING LOWERED
Banc of America Commercial Mortgage Trust 2007-3
Commercial Mortgage Pass-Through Certificates Series 2007-3
Rating
Class To From
G D (sf) CCC- (sf)
BANK 2018-BNL15: Fitch Assigns BB-sf Rating on $11MM Class G Certs
------------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to BANK 2018-BNK15 commercial mortgage pass-through
certificates, series 2018-BNK15:
-- $47,900,000 class A-1 'AAAsf'; Outlook Stable;
-- $24,600,000 class A-2 'AAAsf'; Outlook Stable;
-- $43,000,000 class A-SB 'AAAsf'; Outlook Stable;
-- $300,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $305,969,000 class A-4 'AAAsf'; Outlook Stable;
-- $721,469,000b class X-A 'AAAsf'; Outlook Stable;
-- $207,423,000b class X-B 'AAAsf'; Outlook Stable;
-- $128,834,000 class A-S 'AAAsf'; Outlook Stable;
-- $43,804,000 class B 'AA-sf'; Outlook Stable;
-- $34,785,000 class C 'A-sf'; Outlook Stable;
-- $42,515,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $19,325,000ab class X-F 'BB-sf'; Outlook Stable;
-- $11,595,000ab class X-G 'B-sf'; Outlook Stable;
-- $23,190,000a class D 'BBBsf'; Outlook Stable;
-- $19,325,000a class E 'BBB-sf'; Outlook Stable;
-- $19,325,000a class F 'BB-sf'; Outlook Stable;
-- $11,595,000a class G 'B-sf'; Outlook Stable.
The following classes are not rated by Fitch:
-- $28,344,384a class H;
-- $54,245,862.35c RR Interest.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
(c) Vertical 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 ratings are based on information provided by the issuer as of
Nov. 28, 2018.
Since Fitch published its expected ratings on Nov. 7, 2018, the
balances for class A-3 and class A-4 were finalized. At the time
the classes were assigned, the class A-3 balance range was
$100,000,000 - $300,000,000, and the expected class A-4 balance
range was $305,969,000 - $505,969,000. The final class sizes for
class A-3 and A-4 are $300,000,000 and $305,969,000, respectively.
Additionally, there will be no cashflow generated from the class B
or C to the X-B notes. As such, the rating of the class X-B is
'AAAsf', which is a change from the expected rating of 'A-sf' for
the class X-B. The classes reflect the final ratings and deal
structure.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 67 loans secured by 126
commercial properties having an aggregate principal balance of
$1,084,917,247 as of the cut-off date. The loans were contributed
to the trust by: Wells Fargo Bank, NA, Bank of America, NA, Morgan
Stanley Mortgage Capital Holdings LLC Bank, NA and National
Cooperative Bank, NA.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 64.0% of the properties
by balance, cash flow analysis of 84.9% and asset summary reviews
on 84.9% of the pool.
KEY RATING DRIVERS
Lower Fitch Leverage than Recent Transactions: The pool's Fitch
leverage is lower than average compared with other Fitch-rated,
fixed-rate, multiborrower transactions. Specifically, the pool's
Fitch DSCR of 1.36x is superior to the 2017 and 2018 YTD averages
of 1.26x and 1.22x, respectively. The pool's Fitch LTV of 91.5% is
also superior to the 2017 and 2018 YTD averages of 101.6% and
102.2%, respectively. Excluding investment-grade credit opinion and
multifamily cooperative loans, the pool has a Fitch DSCR and LTV of
1.20x and 106.7%, respectively.
Credit Opinion Loans: Five loans, representing 29.6% of the pool,
have investment-grade credit opinions, which is well above both the
2017 average of 11.7% and 2018 YTD average of 13.5%. Aventura Mall
(9.2% of the pool) has an investment-grade credit opinion of 'Asf*'
on a stand-alone basis. Millennium Partners Portfolio (6.9% of the
pool) and Pfizer Building (2.7% of the pool) have investment-grade
credit opinions of 'A-sf*' on a stand-alone basis. 685 Fifth Avenue
Retail (5.5% of the pool) and Moffett Towers - Buildings E,F,G
(5.2% of the pool) have investment-grade credit opinions of
'BBB-sf*' on a stand-alone basis. Combined, the five loans have a
weighted average (WA) Fitch DSCR and LTV of 1.38x and 102.5%,
respectively.
Property Type Concentration: The pool has a relatively high
exposure to retail properties, which at 46.4% of the pool, far
exceeds 2017 and 2018 YTD average concentrations of 24.8% and
28.5%, respectively. However, a large portion of this includes
credit opinion loans: Aventura Mall (9.2% of the pool), Millennium
Partners Portfolio (6.9% of the pool) and 685 Fifth Avenue Retail
(5.5% of the pool).
RATING SENSITIVITIES
For this transaction, Fitch's NCF was 15.5% 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 BANK
2018-BNK15 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 'BBBsf'
could result.
BARCLAYS BANK 2017-C1: Fitch Affirms B- Rating on 2 Tranches
------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of Barclays Bank Commercial
Mortgage Securities LLC Trust 2017-C1 commercial mortgage
pass-through certificates, series 2017-C1.
KEY RATING DRIVERS
Stable Performance: The overall pool performance remains stable
from issuance. There are no delinquent or specially serviced loans.
As of the October 2018 distribution date, the pool's aggregate
balance has been reduced by approximately 5.7% to $849 million,
from $856 million at issuance. There are 11 loans on the servicer's
watchlist, none of which are considered a Fitch Loan of Concern.
Minimal Changes to Credit Enhancement: There has been little change
to credit support given the recent issuance of the deal.
Amortization in the near term will be limited as 13 loans
representing 47.7% of the pool are full-term interest-only and 18
loans representing 22.8% of the pool are partial interest-only. The
pool is scheduled to amortize by 7.4% prior to maturity.
Additional Considerations
Pool Concentration: The pool has an above-average concentration of
office properties compared to other recent Fitch-rated
transactions. The pool is 42.2% office, compared with the 2016
average of 28.7% and the 2017 average of 39.8%. However, the hotel
concentration of 15.2% is below the 2016 average of 16.0% and the
2017 average of 15.8%. Hotels have a higher probability of default
in Fitch's multi-borrower model.
Wildfire Exposure: Out of the 16 loans backed by California
properties, Fitch identified six representing 8% of the pool, which
are located in areas that have been impacted by wildfires.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable due to the overall
stable performance of the pool. Future upgrades may occur with
improved pool performance and additional paydown or defeasance.
Downgrades may be possible should a material asset-level or
economic event adversely affect pool performance.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third party due diligence was provided to or reviewed by Fitch
in relation to this rating action.
Fitch has affirmed the following ratings:
-- $18,635,930 class A-1 notes at 'AAAsf'; Outlook Stable;
-- $63,640,000 class A-2 notes at 'AAAsf'; Outlook Stable;
-- $145,000,000 class A-3 notes at 'AAAsf'; Outlook Stable;
-- $303,582,000 class A-4 notes at 'AAAsf'; Outlook Stable;
-- $35,550,000 class A-SB notes at 'AAAsf'; Outlook Stable;
-- $63,004,000 class A-S notes at 'AAAsf'; Outlook Stable;
-- $41,664,000 class B notes at 'AA-sf'; Outlook Stable;
-- $36,584,000 class C notes at 'A-sf'; Outlook Stable;
-- $41,664,000 class D notes at 'BBB-sf'; Outlook Stable;
-- $20,324,000 class E notes at 'BB-sf'; Outlook Stable;
-- $8,129,000 class F notes at 'B-sf'; Outlook Stable;
-- $563,019,616 class X-A* notes at 'AAAsf'; Outlook Stable;
-- $104,668,000 class X-B* notes at 'AA-sf'; Outlook Stable;
-- $78,248,000 class X-D* notes at 'BBB-sf'; Outlook Stable;
-- $20,324,000 class X-E* notes at 'BB-sf'; Outlook Stable;
-- $8,129,000 class X-F* notes at 'B-sf'; Outlook Stable.
Fitch does not rate the class G, H, X-G, and X-H certificates.
* Notional amount and interest-only.
BBCMS MORTGAGE 2018-C2: DBRS Gives Prov. B(low) Rating on H-RR Debt
-------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2018-C2 to be
issued by BBCMS Mortgage Trust 2018-C2:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at AA (low) (sf)
-- Class X-B at AA (sf)
-- Class D at A (sf)
-- Class E at BBB (sf)
-- Class X-D at BBB (high) (sf)
-- Class F at BB (high) (sf)
-- Class X-F at BBB (low) (sf)
-- Class G at B (high) (sf)
-- Class X-G at BB (low) (sf)
-- Class H-RR at B (low) (sf)
All trends are Stable. The Classes X-A, X-B, X-D, X-F and X-G
balances are notional.
The collateral consists of 44 fixed-rate loans secured by 87
commercial and multifamily properties. The transaction is a
sequential-pay pass-through structure. The conduit pool was
analyzed to determine the provisional ratings, reflecting the
long-term probability of loan default within the term and its
liquidity at maturity. Trust assets contributed from four
loans, representing 12.6% 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 12.6%
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, only one loan, Alex Park South, representing 1.7% 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 25
loans, representing 59.5% of the pool, having refinance DSCRs below
1.00x, and 11 loans, representing 26.3% of the pool, having
refinance DSCRs below 0.90x.
Nine loans, representing 41.7% of the DBRS sample, have favorable
property quality. Four loans (Dream Inn, Zenith Ridge, Moffett
Towers II – Building 1 and The Shops at Solaris), representing
17.6% of the sample in aggregate, received Above Average property
quality, and the remaining five loans, representing 24.0% of the
sample in aggregate, received Average (+) property quality.
Additionally, no loans received Below Average or Poor property
quality grades. Higher-quality properties are more likely to retain
existing tenants/guests and more easily attract new tenants/guests,
resulting in more stable performance.
Four loans (Christiana Mall; Moffett Towers – Buildings E, F and
G; Moffett Towers II – Building 1; and Fair Oaks Mall),
representing a combined 12.6% of the pool, exhibit credit
characteristics consistent with investment-grade shadow ratings.
Christiana Mall exhibits credit characteristics consistent with an
A (sf ) shadow rating; Moffett Towers – Buildings E, F and G
exhibit credit characteristics consistent with a BBB (low) (sf )
shadow rating; Moffett Towers II – Building 1 exhibits credit
characteristics consistent with a BBB (sf ) shadow rating; and Fair
Oaks Mall exhibits credit characteristics consistent with a BBB
(high) (sf ) shadow rating. The pool is representative of
moderate-leverage financing with a DBRS Going-In and Exit Debt
Yield of 9.2% and 9.9%, respectively, based on the whole loans. The
metrics improve slightly to 9.5% and 10.2%, respectively, when
considering A-note balances. Term default risk is moderate, as
indicated by the relatively strong DBRS Term DSCR of 1.65x. In
addition, 23 loans, representing 61.9% of the pool, have a DBRS
Term DSCR above 1.50x. Even when excluding the four
investment-grade shadow-rated loans, the deal exhibits a favorable
DBRS Term DSCR of 1.62x.
The pool is highly concentrated by property type, as office
concentration is 38.7%. While the transaction is concentrated by
property type, 13.6% of the office concentration is shadow-rated
investment grade by DBRS. Additionally, the weighted-average (WA)
DBRS Term DSCR of the office properties is high at 1.76x. The pool
is assessed with a concentration penalty, which is partly a result
of property-type concentration that increases the pool-wide
probability of default (POD). 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 POD
based on the lower of term or refinance DSCRs; therefore, loans
that lack amortization are treated more punitively. Additionally,
two of the full interest-only (IO) loans (Christiana Mall and
Moffett Towers – Buildings E, F and G), representing 9.0% of the
full IO concentration, are shadow-rated investment grade by DBRS.
Five loans, representing 16.4% 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. Loans
secured by properties occupied by single tenants have been found to
suffer higher loss severities in an event of default. DBRS applied
a penalty for single-tenant properties that resulted in higher
loan-level credit enhancement. Amazon.com, Inc. has fully executed
leases for six office towers in the larger Moffett Place office
campus, including the subject buildings (Moffett Towers –
Buildings E, F and G and Moffett Towers II – Building 1) and
views the entire campus as mission critical. GNL Portfolio was
excluded from the single-tenant penalty, given the tenant
diversification across different portfolio properties.
The transaction's WA DBRS Refi DSCR is 1.00x, indicating higher
refinance risk on an overall pool level. In addition, 25 loans,
representing 59.4% of the pool, have DBRS Refi DSCRs below 1.00x,
including eight of the top 15 loans. Eleven of these loans,
comprising 26.3% of the pool, have DBRS Refi DSCRs below 0.90x,
including four of the top 15 loans. These credit metrics are based
on whole-loan balances. One of the pool's loans with a DBRS Refi
DSCR below 0.90x, Christiana Mall, which represents 6.2% of the
transaction balance, is shadow-rated investment grade by DBRS and
has a large piece of subordinate mortgage debt outside the trust.
Based on A-note balances only, the deal's WA DBRS Refi DSCR
improves to 1.03x, and the concentration of loans with DBRS Refi
DSCRs below 1.00x and 0.90x reduces to 53.3% and 20.1%,
respectively. The pool's DBRS Refi DSCRs for these loans are based
on a WA stressed refinance constant of 9.92%, which implies an
interest rate of 9.30% amortizing on a 30-year schedule. This
represents a significant stress of 4.309% over the WA contractual
interest rate of the loans in the pool.
Classes X-A, X-B, X-D, X-F, X-G 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.
BEAR STEARNS 2003-TOP10: S&P Affirms CCC- Rating on Class N Certs
-----------------------------------------------------------------
S&P Global Ratings affirmed its 'CCC- (sf)' rating on the class N
commercial mortgage pass-through certificates from Bear Stearns
Commercial Mortgage Securities Trust 2003-TOP10, a U.S. commercial
mortgage-backed securities (CMBS) transaction.
S&P said, "For the affirmation, we considered the class' interest
shortfalls repayment timing. Specifically, while available credit
enhancement levels may suggest positive rating movement, class N
had accumulated interest shortfalls totaling $197,398 outstanding
as of the October 2018 trustee remittance report due primarily to
the master servicer's nonrecoverable determination on the specially
serviced asset. The amount was fully repaid this month. Based on
our criteria, for any tranche downgraded below 'BB+ (sf)' due to
temporary interest shortfalls, we generally consider an upgrade as
high as 'BB+ (sf)' after the reimbursement of all past interest
shortfalls and the subsequent payment of timely interest over at
least the subsequent six months. We would generally consider an
upgrade as high as 'AA+ (sf)' after the reimbursement of all past
interest shortfalls and the subsequent payment of timely interest
over at least the subsequent 15 months. We will continue to monitor
the performance of this transaction and may take further rating
action as warranted."
TRANSACTION SUMMARY
As of the Nov. 13, 2018, trustee remittance report, the collateral
pool balance was $6.2 million, which is 0.5% of the pool balance at
issuance. The pool currently includes four loans, down from 167
loans at issuance.
S&P calculated a 1.70x S&P Global Ratings weighted average debt
service coverage and 17.5% S&P Global Ratings weighted average
loan-to-value ratio using a 7.54% S&P Global Ratings weighted
average capitalization rate for the remaining loans.
To date, the transaction has experienced $8.5 million in principal
losses, or 0.7% of the original pool trust balance.
BEAR STEARNS 2004-PWR4: Fitch Ups $4.8MM Class L Certs Rating to B
------------------------------------------------------------------
Fitch Ratings has upgraded one class and affirmed nine others of
Bear Stearns Commercial Mortgage Securities Trust commercial
mortgage pass-through certificates, series 2004-PWR4.
KEY RATING DRIVERS
Increased Credit Enhancement and Defeasance: Amortization continues
to increase credit support to the bonds and defeased collateral now
makes up over 95% of the pool. As a result of continued paydown,
class L is now 87% covered by defeasance, compared with 75% at the
last rating action. The defeased asset is scheduled to mature in
April 2019, by which time a majority of outstanding classes are
expected to be repaid.
Stable Loss Projections: Fitch's loss projections for the pool have
not changed since the last rating action. The only remaining
non-defeased loans are fully amortizing with low leverage. One of
these loans continues to be a Fitch Loan of Concern (FLOC) based on
concerns with tenant rollover and low DSCR. The asset is a
grocery-shadow-anchored retail center in Sparks, NV. The borrower
has historically had to offer below-market rents and short-term
leases to maintain occupancy, resulting in low DSCR and high annual
lease roll. Leases representing 28.6% of the NRA are scheduled to
expire in the next 12 months. This loan is not scheduled to mature
until 2023.
Sensitivity Analysis: Give the pool's concentration, Fitch ran a
sensitivity analysis on the remaining non-defeased loans. This
sensitivity indicated that the FLOC would need to recover at least
25% of its current balance for class L to be made whole at
maturity. Based on the loan's low leverage point and high debt
yield, Fitch does not deem this loan to be at immediate risk of
default.
RATING SENSITIVITIES
Rating Outlooks for classes E through K remain Stable as their
cumulative balance is fully covered by defeased collateral. Full
repayment of class L is reliant on the continued payment of an
underperforming loan, which is scheduled to fully amortize by
February 2023. While the loan is not expected to be at immediate
risk of default, the Rating Outlook to class L is Stable based on
concerns with the volume of upcoming lease rollover at the
underlying property. This class could be upgraded should the
borrower continue to renew leases and the pool continue to
amortize.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has upgraded the following rating:
-- $4.8 million class L to 'Bsf', Outlook Stable assigned, from
'CCCsf', RE 100%.
Fitch has affirmed the following ratings:
-- $3.6 million class E at 'AAAsf'; Outlook Stable;
-- $9.5 million class F at 'AAAsf'; Outlook Stable;
-- $8.4 million class G at 'AAAsf'; Outlook Stable;
-- $10.7 million class H at 'AAAsf'; Outlook Stable;
-- $3.6 million class J at 'AAAsf'; Outlook Stable;
-- $4.8 million class K at 'AAAsf'; Outlook Stable;
-- $1.6 million class M at 'Dsf'; RE 100%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, B, C and D certificates have been paid in
full. Fitch does not rate the class Q certificate. Fitch previously
withdrew the rating on the interest-only class X certificate.
BEAR STEARNS 2005-PWR7: Moody's Lowers Class C Debt Rating to B1
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three classes
and downgraded the ratings on four classes in Bear Stearns
Commercial Mortgage Securities Trust 2005-PWR7 as follows:
Cl. B, Downgraded to Baa1 (sf); previously on Feb 8, 2018 Affirmed
A2 (sf)
Cl. C, Downgraded to B1 (sf); previously on Feb 8, 2018 Affirmed
Baa3 (sf)
Cl. D, Downgraded to Caa2 (sf); previously on Feb 8, 2018 Affirmed
B3 (sf)
Cl. E, Downgraded to C (sf); previously on Feb 8, 2018 Affirmed
Caa3 (sf)
Cl. F, Affirmed C (sf); previously on Feb 8, 2018 Affirmed C (sf)
Cl. G, Affirmed C (sf); previously on Feb 8, 2018 Affirmed C (sf)
Cl. X-1*, Affirmed C (sf); previously on Feb 8, 2018 Affirmed C
(sf)
* Reflects Interest Only Classes
RATINGS RATIONALE
The ratings on the P&I classes B, C, D and E were downgraded due to
interest shortfalls and realized and anticipated losses from
specially serviced loans that are higher than Moody's had
previously expected.
The ratings on the P&I classes F and G were affirmed because the
ratings are consistent with Moody's expected loss.
The ratings on the IO class, Cl. X-1 was affirmed based on the
credit quality of the referenced classes.
Moody's rating action reflects a base expected loss of 41.4% of the
current pooled balance, compared to 26.9% at Moody's last review.
Moody's base expected loss plus realized losses is now 7.8% of the
original pooled balance, compared to 6.9% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating interest-only classes 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 Securities" published in June
2017.
The Credit Rating for Bear Stearns Commercial Mortgage Securities
Trust 2005-PWR7, Cl. X-1 was assigned in accordance with Moody's
existing Methodology entitled "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" dated June 2017.
Please note that on November 14, 2018, Moody's released a Request
for Comment, in which it has requested market feedback on potential
revisions to its Methodology for rating structured finance
interest-only (IO) securities. If the revised Methodology is
implemented as proposed, the Credit Rating on Bear Stearns
Commercial Mortgage Securities Trust 2005-PWR7, Cl. X-1 is unlikely
to be impacted. Please refer to Moody's Request for Comment, titled
"Proposed Update to Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" for further details regarding the
implications of the proposed Methodology revisions on certain
Credit Ratings.
DEAL PERFORMANCE
As of the November 13, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 93.8% to $70.0
million from $1.12 billion at securitization. The certificates are
collateralized by eight mortgage loans ranging in size from less
than 1% to 69% of the pool. Three loans, constituting 2.9% of the
pool, have defeased and are secured by US government securities.
One loan, constituting 8.3% 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 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.
Eight loans have been liquidated from the pool with a loss,
resulting in an aggregate realized loss of approximately $58.7
million (for an average loss severity of 65%). One loan,
constituting 69% of the pool, is currently in special servicing.
The specially serviced loan is Shops at Boca Park ($47.8 million --
68.6% of the pool), which is secured by a 137,000 square foot (SF)
retail center located in Las Vegas, Nevada approximately 12 miles
northwest of the Vegas strip. The loan has been in and out of
special servicing since October 2009. The loan transferred to
special servicing for the third time in December 2015 due to
imminent maturity default. The Trust took title on September 6,
2018. The loan is now real estate owned (REO). Collier's was
engaged to manage the property and ROI Commercial Real Estate will
provide the leasing services. The master servicer has deemed this
loan non-recoverable. The property was 93% occupied as of August
2018 compared to 96% occupied as of January 2018.
Moody's estimates an aggregate $27.5 million loss for the specially
serviced loan (a 57% expected loss on average).
Moody's received full year 2017 operating results for 100% of the
pool and partial year 2018 operating results for 71% of the pool.
Moody's weighted average conduit LTV is 92% compared to 97% at 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 22% to the most recently available net operating
income (NOI). Moody's value reflects a weighted average
capitalization rate of 9.8%.
Moody's actual and stressed conduit DSCRs are 0.96X and 1.24X,
respectively, compared to 0.96X and 1.17X, 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 25.9% of the pool balance.
The largest loan is the Mission Paseo Loan ($6.8 million -- 9.8% of
the pool), which is secured by a 61,000 SF retail property in Las
Vegas, Nevada. The loan transferred to special servicing in January
2015 for maturity default and returned to master servicing after a
term and rate modification in February 2016. The Property was 88%
leased as of June 2018, compared to 90% leased as of March 2018.
Moody's LTV and stressed DSCR are 133% and 0.86X, respectively,
compared to 134% and 0.85X at the last review.
The second largest loan is the 33 Route 304 Loan ($5.8 million --
8.3% of the pool), which is secured by a 120,000 SF retail property
in Nanuet, New York. The property was 100% leased as of September
2018, the same as at last review. Moody's LTV and stressed DSCR are
75% and 1.38X, respectively, compared to 82% and 1.25X at the last
review.
The third largest loan is the Best Buy Plaza Loan ($5.4 million --
7.7% of the pool), which is secured by a 109,000 SF retail property
in Melbourne, Florida. The largest tenant is Best Buy, which leases
approximately 42% of the net rentable area through February 2020.
The property was 100% leased as of June 2018, the same as at last
review. Moody's LTV and stressed DSCR are 67% and 1.45X,
respectively, compared to 64% and 1.51X, at the last review.
BEAR STEARNS 2005-TOP20: Fitch Affirms C Rating on Class F Notes
----------------------------------------------------------------
Fitch Ratings has downgraded one and affirmed 12 classes of Bear
Stearns Commercial Mortgage Securities Trust, commercial mortgage
pass-through certificates series 2005-TOP20 and revised the Rating
Outlook to Stable from Negative on class D.
KEY RATING DRIVERS
Increased Loss Expectations: Fitch's loss expectations on the
largest REO asset Lake Forest Mall (72.4% of the pool balance) have
increased as the property continues to experience declining
occupancy and tenant sales trends. The Lakeforest Mall asset
consists of 409,965 square feet of inline space within a 1.1
million square foot regional mall located in Gaithersburg, MD.
Collateral occupancy has declined to 40.9% as of September 2018,
from 76.5% as of August 2017, 80.5% as of YE 2016, 84% as of YE
2015, and 93% as of YE 2014. Additionally, according to the latest
sales report provided by the servicer, annualized inline sales
declined to $162 psf as of August 2018 from $168 psf in 2017.
Pool Concentration: The pool is highly concentrated with only 10
loans remaining and the majority of the pool is comprised of
non-performing assets. Based on this concentration, Fitch relied on
a sensitivity analysis of the remaining loans. Fitch expects that
adverse selection will continue to create concentration concerns as
performing loans are able to repay, leaving only non-performing
assets outstanding. The two largest assets are specially serviced,
REO properties and make up 80.5% of the pool balance. Fitch's loss
projections for these assets are the drivers for the downgrade of
class E. Based on declining performance at both REO properties,
uncertainty surrounding the timing of dispositions and their
exposure relative to the total pool balance, Fitch has downgraded
class E to reflect that a loss is possible.
Future Amortization: Credit enhancement has increased since the
last rating action due to paydown and amortization. One loan has
disposed since the last rating action, and the pool has paid down
3.3% since that time. Future amortization is limited to the
remaining eight performing loans. These loans consist of four fully
amortizing loans, which represent 11.5% of the pool. One of the
fully amortizing loans matures in 2020 (0.3% of the pool) and the
remaining three fully amortizing loans (11.2% of the pool) mature
in 2025. There are an additional three performing balloon loans
(4.9% of the pool) scheduled to mature in 2020. One loan (3.1% of
the pool) is fully defeased and has a scheduled maturity date of
2025.
RATING SENSITIVITIES
The Outlook for class D has been revised to Stable from Negative
based on increased credit enhancement and expected future paydown.
Four loans with a current balance of $5.5 million are scheduled to
mature in 2020 and are considered healthy candidates for refinance.
Additionally, approximately 31% of this class is covered by fully
defeased collateral. Further downgrades to Class E and the other
distressed classes are possible if losses are realized. While
considered unlikely, should the resolution of the specially
serviced loans result in significantly higher recoveries than
modeled, Class E may be upgraded.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third party due diligence was provided to or reviewed by Fitch
in relation to this rating action.
Fitch has downgraded the following class:
-- $28,503,000 class E notes to 'CCCsf' from 'Bsf'; RE 90%.
Fitch has affirmed the following classes:
-- $10,665,477 class D notes at 'Asf'; revised Outlook to Stable
from Negative;
-- $18,139,000 class F notes at 'Csf'; revised RE to 0% from
35%;
-- $18,139,000 class G notes at 'Csf'; RE 0%;
-- $23,321,000 class H notes at 'Csf'; RE 0%;
-- $8,749,034 class J notes at 'Dsf'; RE0 %;
-- $0 class K notes at 'Dsf'; RE 0%;
-- $0 class L notes at 'Dsf'; RE 0%;
-- $0 class M notes at 'Dsf'; RE 0%;
-- $0 class N notes at 'Dsf'; RE 0%;
-- $0 class O notes at 'Dsf'; RE 0%;
-- $0 class P notes at 'Dsf'; RE 0%;
-- $0 class LF notes at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-AB, A-4A, A-4B, A-J, B and C
certificates have been paid in full. Fitch previously withdrew the
rating on the interest-only class X certificate. Fitch does not
rate the class Q certificate.
BENCHMARK 2018-B7: DBRS Finalizes BB Rating on Class G-RR Certs
---------------------------------------------------------------
DBRS, Inc. finalized the provisional ratings on the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2018-B7 issued by Benchmark 2018-B7 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 (high) (sf)
-- Class X-B at AA (sf)
-- Class C at AA (low) (sf)
-- Class D at A (sf)
-- Class X-D at A (low) (sf)
-- Class E at BBB (high) (sf)
-- Class X-F at BBB (low) (sf)
-- Class F at BB (high) (sf)
-- Class G-RR at BB (sf)
-- Class H-RR at B (sf)
Classes X-B, X-D, X-F, D, E, F, G-RR and H-RR have been privately
placed. The X-A, X-B, X-D and X-F balances are notional.
The collateral consists of 51 fixed-rate loans, secured by 227
commercial and multifamily properties. The transaction is a
sequential-pay-pass-through structure. The conduit pool was
analyzed to determine the provisional ratings, reflecting the
long-term probability of loan default within the term and its
liquidity at maturity. Trust assets contributed from six loans,
representing 26.0% of the pool, are shadow-rated investment grade
by DBRS. Proceeds for the shadow-rated loans are floored at their
respective rating within the pool. When the combined 26.0% 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, seven loans, representing 9.5% 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 (refi) risk given the current low
interest-rate environment, DBRS applied its refinance constants to
the balloon amounts. This resulted in 34 loans, representing 69.2%
of the pool, having whole-loan refinance DSCRs below 1.00x and 20
loans, representing 41.1% of the pool, having whole-loan refinance
DSCRs below 0.90x. DUMBO Heights Portfolio, Aventura Mall and
Workspace, three of the pool's loans with a DBRS Refi DSCR below
0.90x, which represent 14.6% of the transaction balance, are
shadow-rated investment grade by DBRS and have a large piece of
subordinate mortgage debt outside the trust.
Ten loans, representing 29.6% 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; New York;
Brooklyn, New York; Sunnyvale, California; and New Orleans,
Louisiana. Furthermore, there is limited rural and tertiary
concentration with only eight loans, representing 6.8% of the pool.
Six loans — DUMBO Heights Portfolio; Moffett Towers E, F, G;
Aventura Mall; Aon Center; Workspace; and 636 11th Avenue —
representing a combined 26.0% of the pool, exhibit credit
characteristics consistent with investment-grade shadow ratings.
DUMBO Heights Portfolio exhibits credit characteristics consistent
with an A (high) shadow rating, Moffett Towers E, F, G exhibits
credit characteristics consistent with a BBB (low) shadow rating,
Aventura Mall exhibits credit characteristics consistent with a BBB
(high) shadow rating, Aon Center exhibits credit characteristics
consistent with a A (high) shadow rating, Workspace exhibits credit
characteristics consistent with an AA (low) shadow rating and 636
11th Avenue exhibits credit characteristics consistent with an BBB
(low) shadow rating. For additional information on these six
assets, please refer to pages 16, 21, 26, 56, 62 and 64 of this
report, respectively.
Term default risk is moderate as indicated by the strong
weighted-average (WA) DBRS Term DSCR of 1.64x. In addition, 21
loans, representing 55.4% of the pool, have a DBRS Term DSCR above
1.50x. Even when excluding the six investment-grade shadow-rated
loans, the deal exhibits an acceptable WA DBRS Term DSCR of 1.53x.
Only four loans, representing 6.4% of the pool, have sponsorship
and/or loan collateral with a prior loan default, limited liquidity
relative to loan obligation, a historical negative credit event or
have a prior or pending litigation issue with the respective
property. None of these loans are in the top 15 and this is a
significantly smaller concentration compared with recent conduit
securitizations. DBRS increased the probability of default (POD)
for the loan with identified sponsorship concerns.
Twenty-two loans, representing 57.3% of the pool, including ten of
the largest 15 loans, are structured with full-term interest-only
(IO) payments. An additional 18 loans, comprising 23.9% of the
pool, have partial-IO periods ranging from 12 months to 60 months.
As a result, the transaction's scheduled amortization by maturity
is only 5.4%, 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 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 51.6% of the full-IO concentration in the
transaction, are located in urban or super-dense urban markets.
Additionally, all six loans that are shadow-rated investment grade
by DBRS are full-term IO and they represent 45.3% of the full-term
IO concentration.
Nine loans, representing 12.2% 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: Moffett
Towers E, F, G, and 636 11th Avenue. Loans secured by properties
occupied by single tenants have been found to suffer higher loss
severities in an event of default. Two of the largest single-tenant
loans are leased to tenants that are rated investment grade or have
investment-grade-rated parent companies. This includes Moffett
Towers E, F, G, which is fully leased by Amazon.com, Inc., and 636
11th Avenue, which is fully leased by The Ogilvy Group, Inc., a
subsidiary of WPP plc, which backs the lease. 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 seven loans, totaling 17.0% of the pool, secured by
hotels, which are vulnerable to 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. Two of the largest 15 loans, The Hotel Erwin
(3.9% of the pool) and Courtyard at The Navy Yard (3.4% of the
pool), are secured by hospitality properties. The concentration
penalty applied to this pool incorporates property type
concentration as well as concentration by loan size and geographic
location. Such loans exhibit a WA DBRS Debt Yield and DBRS Exit
Debt Yield of 10.7% and 12.3%, respectively, which compare
favorably with the overall deal. Additionally, six of the seven
loans (92.7% of the hotel concentration) are in established urban
or suburban markets that benefit from increased liquidity and more
stable performance.
The transaction's WA DBRS Refi DSCR is 0.95x, indicating higher
refinance risk on an overall pool level. In addition, 34 loans,
representing 69.2% of the pool, have DBRS Refi DSCRs below 1.00x,
including eight of the top ten loans and 11 of the top 15 loans.
Twenty of these loans, comprising 41.1% of the pool, have DBRS Refi
DSCRs less than 0.90x, including five of the top ten loans. These
credit metrics are based on whole-loan balances. When measured
against A-note balances only, the pool WA DBRS Refi DSCR rises
significantly to 1.05x. Three of the pool's loans with a DBRS Refi
DSCR below 0.90x — DUMBO Heights Portfolio, Aventura Mall and
Workspace, which represent 14.6% of the transaction balance — are
shadow-rated investment grade by DBRS and have large pieces of
subordinate mortgage debt outside the trust. The pool's DBRS Refi
DSCRs for these loans are based on a WA stressed refinance constant
of 9.79%, which implies an interest rate of 9.15%, amortizing on a
30-year schedule. This represents a significant stress of 4.27%
over the WA contractual interest rate of the loans in the pool.
Classes X-A, X-B, X-D, and X-F are IO certificates that reference a
single rated tranche or multiple rated tranches. The IO rating
mirrors the lowest-rated reference tranche adjusted upward by one
notch if senior in the waterfall.
BENCHMARK MORTGAGE 2018-B8: Fitch to Rate Class G-RR Certs 'B-sf'
-----------------------------------------------------------------
Fitch Ratings has issued a presale report on Benchmark 2018-B8
Mortgage Trust commercial mortgage pass-through certificates,
Series 2018-B8.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $9,994,000 class A-1 'AAAsf'; Outlook Stable;
-- $102,721,000 class A-2 'AAAsf'; Outlook Stable;
-- $4,487,000 class A-3 'AAAsf'; Outlook Stable;
-- $187,000,000d class A-4 'AAAsf'; Outlook Stable;
-- $405,761,000d class A-5 'AAAsf'; Outlook Stable;
-- $23,849,000 class A-SB 'AAAsf'; Outlook Stable;
-- $102,279,000 class A-S 'AAAsf'; Outlook Stable;
-- $836,591,000a class X-A 'AAAsf'; Outlook Stable;
-- $51,140,000a class X-B 'AA-sf'; Outlook Stable;
-- $51,140,000 class B 'AA-sf'; Outlook Stable;
-- $41,961,000 class C 'A-sf'; Outlook Stable;
-- $23,340,000ab class X-D 'BBBsf'; Outlook Stable;
-- $23,340,000b class D 'BBBsf'; Outlook Stable;
-- $22,554,000bc class E-RR 'BBB-sf'; Outlook Stable;
-- $22,292,000bc class F-RR 'BB-sf'; Outlook Stable;
-- $10,490,000bc class G-RR 'B-sf'; Outlook Stable.
The following class is not expected to be rated:
-- $40,649,462bc class NR-RR.
(a) Notional amount and interest-only.
(b) Privately placed and pursuant to Rule 144A.
(c) Horizontal credit risk retention interest.
(d) The certificate balances will be determined based on the final
pricing of those classes of certificates.
The expected ratings are based on information provided by the
issuer as of Dec. 3, 2018.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 41 loans secured by 200
commercial properties having an aggregate principal balance of
$1,049,017,463 as of the cut-off date. The loans were contributed
to the trust by JPMorgan Chase Bank, National Association, German
American Capital Corporation, Goldman Sachs Mortgage Company and
Citigroup Global Markets Realty Corporation.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 74.4% of the properties
by balance, cash flow analysis of 85.7%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Fitch Leverage: The pool's Fitch LTV of 100.7% is slightly better
than the 2017 and YTD 2018 averages of 101.6% and 102.4%,
respectively. The pool's Fitch DSCR of 1.19x is lower than the 2017
and YTD 2018 averages of 1.26x and 1.22x, given the slightly higher
weighted average mortgage rate.
Credit Opinion Loans: Five loans comprising 19.2% of the
transaction received an investment-grade credit opinion. Aventura
Mall (5.7%) received a credit opinion 'Asf*' on a stand-alone
basis, Moffet Towers Buildings E, F & G (4.5%) received a
stand-alone credit opinion of 'BBB-sf*, Workspace (3.8% of the
pool) received a credit opinion of 'Asf*'on a stand-alone basis,
Dumbo Heights (2.9%) received a stand-alone credit opinion of
'BBB-sf*, Moffett Towers II (2.4% of the pool balance) received a
credit opinion 'BBB-sf*' on a stand-alone basis. Excluding these
loans, the pool's Fitch DSCR and LTV are 1.01x and 116.1%,
respectively.
The Aventura Mall and Workspace loans were treated as 'AAAsf*' in
the context of the pool.
Single-Tenant Concentration: Approximately 34.4% of the pool is
backed by properties designated as single-tenant properties by
Fitch, including properties backing five of the 10-largest loans.
This is greater than the 2017 and YTD 2018 single-tenant property
concentration averages of 19.3% and 23.4%, respectively.
Weak Amortization: Twenty loans (60.5% of the pool) are full-term,
interest-only and 12 loans (16.8% of the pool) are partial
interest-only. The pool is scheduled to amortize just 3.7% of the
initial pool balance by maturity, which is significantly lower than
the 2017 and YTD 2018 averages of 7.9% and 7.3%, respectively.
RATING SENSITIVITIES
For this transaction, Fitch's NCF was 12.9% 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
Benchmark 2018-B8 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 COMMERCIAL 2006-C5: Fitch Lowers A-J Certs Rating to Csf
------------------------------------------------------------------
Fitch Ratings has downgraded one and affirmed 13 classes of
Citigroup Commercial Mortgage Trust, commercial mortgage
pass-through certificates, series 2006-C5.
KEY RATING DRIVERS
High Loss Expectations: The downgrade of class A-J reflects
increased loss expectations on the remaining specially serviced
loans/assets since Fitch's last rating action. Default of classes
A-J, B and C is considered inevitable.
Although credit enhancement has improved since the last rating
action primarily from the liquidation of three underlying
properties in the real-estate owned (REO) IRET Portfolio asset, the
remaining pool is adversely selected and there is a greater
certainty of loss to the outstanding classes due to the high
concentration of specially serviced loans/assets. Five of the eight
remaining loans/assets in the pool are specially serviced (94.5% of
pool), including four REO assets (67%) and one loan (27.5%)
classified as in foreclosure. Significant losses are expected upon
liquidation. The three non-specially serviced loans (5.5%), which
are secured by multifamily properties in Texas and South Carolina,
are low leveraged and scheduled to mature in 2021.
As of the October 2018 distribution date, the pool's aggregate
principal balance has been reduced by 93.2% to $145.5 million from
$2.1 billion at issuance. Realized losses since issuance total
$180.5 million (8.5% of original pool balance). Cumulative interest
shortfalls totaling $10.9 million are currently impacting classes B
through D, G through K and M through P.
Specially Serviced Loans/Assets: The largest asset, IRET Portfolio
(50%), which became REO in January 2016, was initially comprised of
a portfolio of nine suburban office properties totaling
approximately 937,000 square feet (sf) located in the Omaha, NE MSA
(four properties), the greater Minneapolis, MN MSA (two), the St.
Louis, MO MSA (two) and Leawood, KS (one). Seven of these
properties have since been sold at auction between March 2017 and
September 2018. The two remaining REO properties include the
Flagship Corporate Center in Eden Prairie, MN and the Farnam
Executive Center in Omaha, NE. Occupancy at the Flagship Corporate
Center, the larger of the two remaining properties, has further
declined to 67.3% as of May 2018 from 78.1% in October 2017 due to
a large tenant vacating at lease expiration. In addition,
approximately 28% of the net rentable area (NRA) rolls in 2019,
including the largest tenant (18% of NRA) in April 2019. Occupancy
at the Farnam Executive Center remains low at 39.3% as of September
2018, although it has improved slightly from 24.3% in October 2017.
A new lease with Hayneedle Inc. (25% of NRA) was executed in March
2018; however, the occupancy gain was offset by Hewlett Packard
downsizing to only 13% of the NRA in August 2018. According to the
special servicer, the Farnam Executive Center property has been
scheduled for auction this month. The special servicer continues to
stabilize the Flagship Corporate Center property with no
disposition plans at this time.
The second largest specially serviced loan, Tri City Plaza (27.5%),
is secured by a retail shopping center anchored by Price Chopper
located in Vernon, CT. The loan transferred to special servicing in
September 2016 for imminent maturity default and subsequently
matured in October 2016. Price Chopper, which currently leases 33%
of the NRA through December 2024, has indicated to the borrower
they are losing approximately $1 million per year and will go dark
if a termination agreement cannot be reached. If Price Chopper were
to go dark, co-tenancy clauses would be triggered with Dollar Tree
(4.6% of NRA; lease expiry in February 2022), Home Goods (9.3%;
April 2020) and TJMaxx (9%; January 2022), all of which have the
option of closing their stores within six to 12 months after Price
Chopper goes dark. Price Chopper has been reporting declining sales
since issuance, with 2017 sales of $223 per square foot down nearly
34% from 2005. The special servicer continues to dual track
foreclosure proceedings with alternate workout discussions.
The remaining three REO assets (16.9%) include a retail property in
Madison, WI, where both anchors (88% of NRA) have leases rolling
during the fourth quarter 2019; an outlet center in North Branch,
MN, with declining occupancy and additional lease rollover concerns
in 2019; and a single tenant office property in Detroit, MI, fully
leased to the State of Michigan's Department of Human Services.
RATING SENSITIVITIES
Upgrades are not likely due to the high concentration of specially
serviced loans/assets. The distressed classes are subject to
further downgrades as additional losses are realized or if losses
exceed Fitch's expectations.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third party due diligence was provided or reviewed in relation
to this rating.
Fitch has downgraded the following class:
-- $73.7 million class A-J to 'Csf' from 'CCsf'; RE 80%.
In addition, Fitch has affirmed the following classes:
-- $42.5 million class B at 'Csf'; RE 0%;
-- $21.2 million class C at 'Csf'; RE 0%;
-- $8.0 million class D at 'Dsf'; RE 0%;
-- $0 class E at 'Dsf'; RE 0%;
-- $0 class F at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf''; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%.
Classes A-1, A-2, A-3, A-SB, A-4, A-1A, A-M, AMP-1, AMP-2 and AMP-3
have paid in full. Fitch previously withdrew the ratings on the
interest-only XP and XC certificates. Fitch does not rate class P.
CITIGROUP COMMERCIAL 2016-GC36: Fitch Affirms B Rating on F Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of Citigroup Commercial
Mortgage Trust 2016-GC36 commercial mortgage pass-through
certificates.
KEY RATING DRIVERS
Stable Loss Expectations: Performance and loss expectations for the
majority of the pool have remained stable since issuance. There
have been no realized losses or specially serviced loans to date.
Fitch has designated four loans (12.6% of pool) as Fitch Loans of
Concern (FLOCs), including two of the top 15 loans (11.1%).
Minimal Change in Credit Enhancement: As of the November 2018
distribution date, the pool's aggregate principal balance has paid
down by 2.2% to $1.13 billion from $1.16 billion at issuance. Eight
loans (30.2% of pool) are full-term, interest-only and 20 loans
(21.1%) are partial interest-only and have yet to begin amortizing.
One loan (0.5%) has been defeased. Since Fitch's last rating
action, one loan (AAAA Self Storage; $6.2 million) was prepaid
ahead of its 2026 scheduled maturity date.
ADDITIONAL CONSIDERATIONS
Fitch Loans of Concern: The four FLOCs (12.6% of pool) were flagged
due to declining occupancy, weak tenant sales and/or tenant
rollover.
The largest FLOC, Glenbrook Square (8.9%), is secured by a
super-regional mall located in Fort Wayne, IN that has experienced
both declining occupancy and tenant sales since issuance. As of
September 2018, collateral occupancy declined to 82.4% from 96.8%
in September 2017, after Carson's, a collateral anchor, closed its
store at the end of August 2018 as a result of Bon-Ton's bankruptcy
filing and liquidation. Additionally, the non-collateral Sears
anchor closed its store at the property at the end of November 2018
as part of the retailer's continued efforts to shut down
underperforming locations. As of September 2018, total mall
occupancy was 85.5%, down from 97.4% one year earlier; however,
when factoring in Sears' recent departure, total mall occupancy is
estimated at approximately 68%. Inquiries to the servicer for
information regarding co-tenancy clauses remain outstanding.
Reported sales for both inline and anchor tenants have also been
trending downward since issuance. Comparable inline sales for
tenants occupying less than 10,000 sf were $414 psf for the
trailing 12-month (TTM) period ended July 2018, down from $442 psf
at YE 2016 and $443 psf at issuance.
The second largest FLOC, Northeast Corporate Center (2.2%), a
suburban office property in Ann Arbor, MI, was flagged due to the
anticipated loss of its largest tenant and upcoming lease rollover
in 2019. MB Financial Bank, which currently leases 31% of the
property's total NRA on a lease scheduled to expire in May 2020,
announced in April 2018 its plans to close down its mortgage
origination business and all of its locations in Michigan. Employee
layoffs were expected to begin in July 2018, including 364 workers
at Northeast Corporate Center. Additionally, the lease of the
second largest tenant, ForeSee Results (27% NRA) is scheduled to
expire in May 2019. Fitch's inquiry to the servicer for updates
regarding the MB Financial Bank and ForeSee Results leases remains
outstanding. The loan is structured with a full cash flow sweep
that will be triggered if either of the three largest tenants
defaults, terminates its lease, files for bankruptcy or fails to
renew its lease at least six months prior to the lease expiration.
The other two FLOCs outside of the top 15 include Southwood Tower
(0.8%), an office property in Shenandoah, TX that has continued to
report declining cash flow after the largest tenant vacated at
expiration in October 2016, and Golden Mile Marketplace (0.8%), a
retail center in Frederick, MD with a significant recent occupancy
decline after Toys R Us, which was previously the largest tenant,
vacated in June 2018.
Alternative Loss Consideration: Fitch ran an additional sensitivity
scenario which applied a 25% loss on the Glenbrook Square loan to
reflect the potential for outsized losses given the loss of two
anchors, Sears and Carson's, as well as declining inline and anchor
tenant sales and tertiary market location. However, this
sensitivity scenario did not impact any of the ratings or Rating
Outlooks.
Pool and Loan Concentrations: The largest 10 loans in the
transaction represent 59.7% of the current pool balance.
Additionally, loans secured by office properties represent 31.6% of
the pool by balance, including seven loans (25.2%) in the top 15.
Loans backed by retail properties represent 26.3% of the pool,
including three loans (14.2%) in the top 15. This includes two
regional mall properties, Glenbrook Square (8.9%) and South Plains
Mall (2.7%), located in the tertiary markets of Fort Wayne, IN and
Lubbock, TX, respectively.
RATING SENSITIVITIES
The Stable Rating Outlooks for all classes reflect the stable
performance of the majority of the underlying pool and expected
continued paydown. Fitch applied an additional sensitivity scenario
to reflect a potential outsized loss of 25% on the Glenbrook Square
loan; this additional sensitivity analysis did not impact any
ratings or Outlooks. Rating downgrades are possible if performance
of the FLOCs continue to further deteriorate. Rating upgrades,
although unlikely in the near term, could occur with improved pool
performance and increased credit enhancement from additional
paydown and/or defeasance.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
-- $17.7 million class A-1 at 'AAAsf'; Outlook Stable;
-- $22.1 million class A-2 at 'AAAsf'; Outlook Stable;
-- $33.5 million class A-3 at 'AAAsf'; Outlook Stable;
-- $225 million class A-4 at 'AAAsf'; Outlook Stable;
-- $415.2 million class A-5 at 'AAAsf'; Outlook Stable;
-- $70.4 million class A-AB at 'AAAsf'; Outlook Stable;
-- $835.9 million class X-A* at 'AAAsf'; Outlook Stable;
-- $52 million class A-S** at 'AAAsf'; Outlook Stable;
-- $75.1 million class B** at 'AA-sf'; Outlook Stable;
-- $0 class EC** at 'A-sf'; Outlook Stable;
-- $54.9 million class C** at 'A-sf'; Outlook Stable;
-- $65 million class D at 'BBB-sf'; Outlook Stable;
-- $65 million class X-D* at 'BBB-sf'; Outlook Stable;
-- $28.9 million class E at 'BB-sf'; Outlook Stable;
-- $11.6 million class F at 'B-sf'; Outlook Stable.
* Notional Amount and interest-only.
** Class A-S, B, and C certificates may be exchanged for class EC
certificates, and class EC certificates may be exchanged for the
class A-S, B, and C certificates. Fitch does not rate the class G
or H certificates.
COBALT CMS 2007-C2: Moody's Affirms B1 Rating on 2 Tranches
-----------------------------------------------------------
Moody's Investors Service has affirmed the ratings on seven classes
in COBALT CMBS Commercial Mortgage Trust 2007-C2, Commercial
Mortgage Pass-Through Certificates, Series 2007-C2 as follows:
Cl. A-JFX, Affirmed B1 (sf); previously on Nov 30, 2017 Downgraded
to B1 (sf)
Cl. A-JFL, Affirmed B1 (sf); previously on Nov 30, 2017 Downgraded
to B1 (sf)
Cl. B, Affirmed Caa1 (sf); previously on Nov 30, 2017 Downgraded to
Caa1 (sf)
Cl. C, Affirmed Caa3 (sf); previously on Nov 30, 2017 Downgraded to
Caa3 (sf)
Cl. D, Affirmed C (sf); previously on Nov 30, 2017 Downgraded to C
(sf)
Cl. E, Affirmed C (sf); previously on Nov 30, 2017 Downgraded to C
(sf)
Cl. X*, Affirmed C (sf); previously on Nov 30, 2017 Downgraded to C
(sf)
* Reflects Interest Only Classes
RATINGS RATIONALE
The ratings on six principal and interes (P&I) classes were
affirmed because the ratings are consistent with Moody's expected
loss plus realized losses.
The rating on the interest only (IO) class was affirmed based on
the credit quality of the referenced classes.
Moody's rating action reflects a base expected loss of 27.2% of the
current pooled balance, compared to 46.7% at Moody's last review.
Moody's base expected loss plus realized losses is now 9.7% of the
original pooled balance, compared to 11.3% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating interest-only classes 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 Credit Rating for COBALT 2007-C2, Cl. X was assigned in
accordance with Moody's existing Methodology entitled "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" dated June 2017. Please note that on November 14, 2018,
Moody's released a Request for Comment, in which it has requested
market feedback on potential revisions to its Methodology for
rating structured finance interest-only (IO) securities. If the
revised Methodology is implemented as proposed, the Credit Rating
on COBALT 2007-C2, Cl. X may be positively affected. Please refer
to Moody's Request for Comment, titled "Proposed Update to Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities," for further details regarding the implications of the
proposed Methodology revisions on certain Credit Ratings.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 15% of the pool is in
special servicing and Moody's has identified additional troubled
loans representing 68% 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 November 15, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 96% to $109.9
million from $2.42 billion at securitization. The certificates are
collateralized by six mortgage loans ranging in size from less than
5% to 37% of the pool.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of four, compared to 15 at Moody's last review.
Two loans, constituting 66% 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.
Forty-eight loans have been liquidated from the pool, contributing
to an aggregate realized loss of $205 million (for an average loss
severity of 41%). The only specially serviced loan is the Medwick
Marketplace Loan ($16.5 million -- 15.0% of the pool), which is
secured by an 184,000 square foot (SF) anchored retail property in
Medina, Ohio. The loan transferred to special servicing in November
2013 due to imminent default and became REO in January 2017. As of
October 2018, the property was 83% leased. The property was
inspected in December 2017 and listed in good condition.
Moody's has also assumed a high default probability for three
poorly performing loans, constituting 68% of the pool, and has
estimated an aggregate loss of $28.9 million (a 32% expected loss
based on a 61% probability default) from these specially serviced
and troubled loans.
Moody's received full year 2017 operating results for 95% of the
pool, and full or partial year 2018 operating results for 100% of
the pool (excluding specially serviced and defeased loans). Moody's
net cash flow (NCF) reflects a weighted average haircut of 24% to
the most recently available net operating income (NOI). Moody's
value reflects a weighted average capitalization rate of 9.4%.
The top three performing loans represent 78% of the pool balance.
The largest loan is the Westin -- Fort Lauderdale, FL Loan ($40.1
million -- 37% of the pool), which is secured by a 15-story,
293-room full-service hotel located in Fort Lauderdale, Florida.
The loan previously transferred to the special servicer in 2013 and
was modified and returned to the master servicer in 2015. Following
the modification, the borrower contributed a $7 million capital
infusion into the property. The Average Daily Rate (ADR) has
increased and the property continues to outperform their
competitors. Despite the improving perfomance, Moody's continues to
identify this as a troubled loan.
The second largest loan is the 1515 Flagler Waterview -- A note
Loan ($31.8 million -- 29% of the pool), which is secured by a
163,500 SF medical office property located in West Palm Beach,
Florida. The loan transferred to the special servicer in 2015 and
was modified and returned to the master servicer in 2016. The loan
was modified with an A/B note split. The loan has a final maturity
in February 2019, however the borrower has invoked the capital
event provisions per the modification and plans to repay the loan
by year end. Moody's identifies this as a troubled loan.
The third largest loan is the Lowe's Home Improvement Center Loan
($13.9 million -- 13% of the pool), which is secured by a 130,000
SF property 100% leased to Lowe's through December 2026. The loan
has amortized approximately 20% since securitization and has a
final maturity date in November 2020. To account for the nature of
single tenant risk, Moody's incorporated a lit/dark analysis.
Moody's LTV and stressed DSCR are 126% and 0.79X, respectively.
COLONNADE GLOBAL 2018-2: DBRS Gives Prov. BB(high) on K Debt
------------------------------------------------------------
DBRS Ratings Limited assigned provisional ratings to 11 tranches of
an unexecuted, unfunded financial guarantee (the senior guarantee)
regarding a portfolio of corporate loans and credit facilities (the
Colonnade Global 2018-2 portfolio) originated or managed by
Barclays Bank PLC (Barclays) and its affiliates as follows:
-- USD1,102,790,000 Tranche A at AAA (sf)
-- USD21,190,000 Tranche B at AA (high) (sf)
-- USD6,390,000 Tranche C at AA (sf)
-- USD7,330,000 Tranche D at AA (low) (sf)
-- USD20,530,000 Tranche E at A (high) (sf)
-- USD3,590,000 Tranche F at A (sf)
-- USD10,930,000 Tranche G at A (low) (sf)
-- USD20,260,000 Tranche H at BBB (high) (sf)
-- USD3,990,000 Tranche I at BBB (sf)
-- USD6,660,000 Tranche J at BBB (low) (sf)
-- USD19,673,328 Tranche K at BB (high) (sf)
The ratings address the likelihood of a reduction to the respective
tranche notional amounts resulting from borrower defaults within
the guaranteed portfolio of the notional loan portfolio financial
guarantee during the eight-year credit protection period. Borrower
default events are limited to failure to pay, bankruptcy and
restructuring events.
The ratings take into consideration only the creditworthiness of
the reference portfolio. The ratings do not address counterparty
risk nor the likelihood of any event of default or termination
events under the agreement occurring.
The transaction is a synthetic balance-sheet collateralized loan
obligation structured in the form of a financial guarantee. The
loans were originated by Barclays' corporate and investment banking
businesses in the Barclays International division over its regular
course of business.
Barclays bought protection under a similar financial guarantee for
the first loss piece but has not executed the contracts relating to
the rated tranches. Under the unexecuted guarantee agreement,
Barclays will transfer the remaining credit risk (from 8.25% to
100%) of the same USD 1,333.3 million portfolio.
The ratings assigned by DBRS are expected to remain provisional
until the underlying agreements are executed. Barclays may have no
intention of executing the senior guarantee. DBRS will maintain and
monitor the provisional ratings throughout the life of the
transaction or while it continues to receive performance
information.
Under the senior guarantee, Barclays will buy protection against
principal losses as well as interest accrued prior to the
occurrence of a credit event and unpaid interest on the reference
portfolio for a period of eight years. The transaction has a
three-year replenishment period during which time Barclays can add
new reference obligations or increase the notional amount of
existing reference obligations. Barclays has implemented
rules-based selection guidelines that are designed to minimize the
chances that new reference obligations are adversely selected. In
addition, the new reference obligations also need to comply with
the eligibility criteria and portfolio profile tests that are
established to ensure that the credit quality of new reference
obligations proposed are similar or better than that of the
reference obligations they replace.
The credit facilities under the reference portfolio can be drawn in
various currencies but any negative impact from currency movements
is neutralized. Therefore, movements in the foreign exchange rate
should not have a negative impact on the rated tranches.
However, each reference obligation can reference a broad number of
interest rate indices around the world. The interest rate index,
spread and interest payment frequency will determine the amount of
additional risk that the guarantee has to cover. To address this
risk, DBRS calculated stressed interest rates in accordance with
its "Interest Rate Stresses for European Structured Finance
Transactions" methodology as well as the spread and
weighted-average (WA) payment frequency covenants defined as part
of the transaction's portfolio profile tests.
DBRS also took comfort from the portfolio profile test that limits
the guaranteed obligations that can be denominated in a currency
other than the U.S. dollar, British pound sterling, Japanese yen,
Canadian dollar, euro, Swedish krona, Norwegian krone, Danish
krone, Australian dollar and Swiss franc (other currencies are
referred to as minority currency) to only 2%. DBRS assumed a
stressed interest rate index ranging from 8.5% at the AAA (sf)
rating stress and 4.4% at the BB (sf) rating stress for the
obligations denominated in eligible currencies. DBRS also assumed a
stressed interest rate index ranging from 42.4% at the AAA (sf)
rating stress and 21.8% at the BB (sf) rating stress for
obligations denominated in minority currencies. The analysis was
used to haircut the standard recovery rate assumptions applied. For
example, at the AAA (sf) stress level, the unsecured recovery rate
for an obligor in a DBRS recovery Tier 1 country was reduced to
24.1% from 28.5%. This adjustment was made to account for the
additional risk posed by the accrual interest coverage of the
guarantee.
For the recovery rate, DBRS applied the senior secured and senior
unsecured recovery rates defined in its "Rating CLOs and CDOs of
Large Corporate Credit" methodology. The portfolio can reference
obligations from obligors based in Australia, Austria, Belgium,
Canada, the Cayman Islands, Denmark, Finland, France, Germany, the
Republic of Ireland, the Isle of Man, Italy, Japan, Luxembourg, the
Netherlands, Norway, Portugal, Spain, Sweden, Switzerland the
United Kingdom or the United States. DBRS applies different
recovery rates depending on the recovery tier and seniority. All
eligible borrowers will be based in countries with a DBRS recovery
Tier 1 (higher recovery) to recovery Tier 4 (lower recovery). The
aggregate balance of portfolio for borrowers operating in Tier 1
countries will be at least 81.4% of the total portfolio balance.
The portfolio WA recovery rate was calculated based on the
worst-case concentration allowed under the portfolio profile tests
and adjusted as per the analysis mentioned above.
DBRS used its CLO Asset Model to determine expected default rates
for the portfolio at each rating level. To determine the credit
risk of each underlying reference obligation, DBRS relied on either
public ratings or a ratings mapping to DBRS ratings of Barclays'
internal ratings models. The mapping was completed in accordance
with DBRS's "Mapping Financial Institution Internal Ratings to DBRS
Ratings for Global Structured Credit Transactions" methodology.
The eligibility criteria and portfolio profile test define key
obligor eligibility and exclusion criteria as well as portfolio
level concentration limits which DBRS used to determine a
worst-case portfolio for the analysis. Relevant portfolio level
criteria include the maximum single borrower group concentration of
0.50% and a maximum single DBRS industry concentration of 12%.
Notes: All figures are in U.S. dollars unless otherwise noted.
COMM 2004-RS1: Fitch Affirms Csf Rating on 9 Tranches
-----------------------------------------------------
Fitch Ratings has upgraded one and affirmed nine classes of COMM
2004-RS1, Ltd.
KEY RATING DRIVERS
The upgrade of class D reflects increased credit enhancement from
continued deleveraging of the capital structure. Since Fitch's last
rating action, and as of the November 2018 trustee report, the
collateralized debt obligation (CDO) has received principal paydown
totaling $18.2 million (68% of the last rating action collateral
balance). The majority of the paydown was due to the full repayment
of the BACM 2004-1 class H bond and the liquidation of the LBUBS
2004-C2 class K bond at a small loss; these bonds had Fitch-derived
ratings of 'CCsf' and 'Csf' at the last rating action.
Due to the concentrated nature of the remaining portfolio, a
look-through analysis of the two remaining underlying bonds was
performed to determine the collateral coverage of the remaining CDO
liabilities. The two remaining underlying bonds are JPMCC 2004-C8
class H ($4.8 million; 57.1% of CDO portfolio) and BACM 2004-3
class H ($3.6 million; 42.9%).
The rating of class D was capped at 'BBBsf' based on the class'
reliance upon proceeds from the underlying JPMCC 2004-CB8 class H
bond, which is the senior most class within its respective
transaction. Approximately 47% of the JPMCC 2004-CB8 class H bond
held by the CDO is covered by defeasance and the remaining 52.6% is
reliant upon proceeds from fully amortizing, low leveraged loans
with credit characteristics consistent with a 'BBBsf' rating.
The affirmation of class E reflects minimal credit enhancement and
the class' reliance upon proceeds from the underlying BACM 2004-3
class H bond, which is the first loss bond within its respective
transaction. Only two loans remain in the BACM 2004-3 transaction,
one of which is considered a Loan of Concern. The Mountain View
Marketplace loan is secured by a 123,172 square foot neighborhood
retail center in Phoenix, AZ. The grocer anchor, Safeway, vacated
the property at its July 2018 lease expiration, which resulted in
property occupancy dropping to 41% as of September 2018 from 76% as
of March 2018. Fitch remains concerned about the potential for
losses on this loan should it fail to repay at its upcoming April
2019 maturity.
Default is considered inevitable for the class F through N notes as
they are undercollateralized.
This review was conducted under the framework described in Fitch's
'Global Structured Finance Rating Criteria' and 'Structured Finance
CDOs Surveillance Rating Criteria'. The transaction was not
analyzed within the Portfolio Credit Model or a cash flow model
framework due to the concentrated nature of the remaining CDO
portfolio. Fitch also determined that the impact of any structural
features was minimal in the context of the outstanding CDO ratings,
and the hedge has already expired.
RATING SENSITIVITIES
The Stable Outlook on class D reflects increasing credit
enhancement and expected continued paydown. A multi-category
upgrade of class E may be possible should the Mountain View
Marketplace loan in the BACM 2004-3 transaction repay at its April
2019 loan maturity. Classes F through N have limited sensitivity to
further negative migration given their undercollaterization. These
classes will be downgraded to 'Dsf' at or prior to their final
maturity.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to these rating actions.
Fitch has upgraded and assigned a Rating Outlook to the following
class:
-- $4 million class D to 'BBBsf' from 'Csf'; assigned Outlook
Stable.
In addition, Fitch has affirmed the following classes:
-- $4.3 million class E at 'Csf';
-- $2.9 million class F at 'Csf';
-- $2.1 million class G at 'Csf';
-- $0.7 million class H at 'Csf';
-- $1.3 million class J at 'Csf';
-- $1.5 million class K at 'Csf';
-- $0.6 million class L at 'Csf';
-- $2.4 million class M at 'Csf';
-- $2.4 million class N at 'Csf'.
The class A, B-1, B-2 and interest-only XP certificates have paid
in full. Fitch previously withdrew the ratings on the interest-only
IO-1 and IO-2 certificates.
COMM 2014-CCRE15: Moody's Affirms B2 Rating on Class F Debt
-----------------------------------------------------------
Moody's Investors Service has affirmed the ratings on thirteen
classes in COMM 2014-CCRE15 Mortgage Trust as follows:
Cl. A-2, Affirmed Aaa (sf); previously on Nov 9, 2017 Affirmed Aaa
(sf)
Cl. A-3, Affirmed Aaa (sf); previously on Nov 9, 2017 Affirmed Aaa
(sf)
Cl. A-4, Affirmed Aaa (sf); previously on Nov 9, 2017 Affirmed Aaa
(sf)
Cl. A-M, Affirmed Aaa (sf); previously on Nov 9, 2017 Affirmed Aaa
(sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Nov 9, 2017 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa3 (sf); previously on Nov 9, 2017 Affirmed Aa3
(sf)
Cl. C, Affirmed A3 (sf); previously on Nov 9, 2017 Affirmed A3 (sf)
Cl. D, Affirmed Baa3 (sf); previously on Nov 9, 2017 Affirmed Baa3
(sf)
Cl. E, Affirmed Ba2 (sf); previously on Nov 9, 2017 Affirmed Ba2
(sf)
Cl. F, Affirmed B2 (sf); previously on Nov 9, 2017 Affirmed B2 (sf)
Cl. X-A*, Affirmed Aaa (sf); previously on Nov 9, 2017 Affirmed Aaa
(sf)
Cl. X-B*, Affirmed Baa1 (sf); previously on Nov 9, 2017 Affirmed
Baa1 (sf)
Cl. PEZ**, Affirmed A1 (sf); previously on Nov 9, 2017 Affirmed A1
(sf)
* Reflects interest-only classes
** Reflects exchangeable classes
RATINGS RATIONALE
The ratings on ten principal and interest Classes were affirmed
because the transaction's key metrics, including Moody's
loan-to-value (LTV) ratio, Moody's stressed debt service coverage
ratio (DSCR) and the transaction's Herfindahl Index, are within
acceptable ranges.
The ratings on two interest-only Classes were affirmed based on the
credit performance of the referenced classes.
The rating on one exchangeable class was affirmed due to the
weighted average rating factor of the exchangeable classes.
Moody's rating action reflects a base expected loss of 2.2% of the
current balance, compared to 4.4% at Moody's last review. Moody's
base expected loss plus realized losses is now 3.2% of the original
pooled balance, compared to 4.1% at Moody's last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in rating all classes except exchangeable
classes and interest-only classes were "Approach to Rating US and
Canadian Conduit/Fusion CMBS" published in July 2017 and "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017. The methodologies used in rating
exchangeable classes were "Approach to Rating US and Canadian
Conduit/Fusion CMBS" published in July 2017, "Moody's Approach to
Rating Large Loan and Single Asset/Single Borrower CMBS" published
in July 2017, and "Moody's Approach to Rating Repackaged
Securities" published in June 2015. The methodologies used in
rating interest-only classes were "Approach to Rating US and
Canadian Conduit/Fusion CMBS" published in July 2017, "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017, and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in June
2017.
The Credit Ratings for COMM 2014-CCRE15 Mortgage Trust, Cl. X-A and
Cl. X-B were assigned in accordance with Moody's existing
Methodology entitled "Moody's Approach to Rating Structured Finance
Interest-Only Securities" dated June 2017. Please note that on
November 14, 2018, Moody's released a Request for Comment, in which
it has requested market feedback on potential revisions to its
Methodology for rating structured finance interest-only (IO)
securities. If the revised Methodology is implemented as proposed,
the Credit Ratings on Commercial Mortgage Pass-Through Certificates
COMM 2014-CCRE15 Mortgage Trust, Cl. X-A is unlikely to be
affected. If the revised Methodology is implemented as proposed,
the Credit Ratings on Commercial Mortgage Pass-Through Certificates
COMM 2014-CCRE15 Mortgage Trust, Cl. X-B may be positively to be
affected. Please refer to Moody's Request for Comment, titled
"Proposed Update to Moody's Approach to Rating Structured Finance
Interest-Only Securities," for further details regarding the
implications of the proposed Methodology revisions on certain
Credit Ratings.
The Credit Rating for COMM 2014-CCRE15 Mortgage Trust, Cl. PEZ was
assigned in accordance with Moody's existing Methodology entitled
"Moody's Approach to Rating Repackaged Securities" dated June 2015.
Please note that on November 14, 2018, Moody's released a Request
for Comment, in which it has requested market feedback on potential
revisions to its Methodology for rating repackaged securities. If
the revised Methodology is implemented as proposed, the Credit
Rating on COMM 2014-CCRE15 Mortgage Trust, Cl. PEZ may be
positively affected. Please refer to Moody's Request for Comment,
titled " Proposed Update to Moody's Approach to Rating Repackaged
Securities," for further details regarding the implications of the
proposed Methodology revisions on certain Credit Ratings.
DEAL PERFORMANCE
As of the November 13, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 16% to $845.9
million from $1.01 billion at securitization. The certificates are
collateralized by 37 mortgage loans ranging in size from less than
1% to 12.9% of the pool, with the top ten loans (excluding
defeasance) constituting 67.1% of the pool. One loan, constituting
10.0% of the pool, has an investment-grade structured credit
assessment. Three loans, constituting 5.0% of the pool, have
defeased and are secured by US government securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 15, compared to 18 at Moody's last review.
Five loans, constituting 10.7% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council monthly reporting package. As part of Moody's
ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
There are no loans in special servicing. Two loans have been
liquidated from the pool, resulting in an aggregate realized loss
of $13.7 million (for an average loss severity of 61%).
Moody's received full year 2017 operating results for 88% of the
pool, and full or partial year 2018 operating results for 66% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 106%, compared to 104% 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 11.9% 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 1.39X and 0.99X,
respectively, compared to 1.43X and 1.02X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The loan with a structured credit assessment is the 625 Madison
Avenue Loan ($85.0 million -- 10.0% of the pool), which represents
a 43.6% pari-passu portion of a $195.0 million mortgage loan. The
property is also encumbered by $195.0 million of mezzanine debt.
The loan is secured by the fee interest in a 0.81-acre parcel of
land located at 625 Madison Avenue between East 58th and East 59th
Street in New York City. The fee interest is subject to a ground
lease pursuant to which the ground tenant constructed, developed
and owns the improvements that sit on top of the ground. The
improvements consist of a 17-story, mixed-use building, and the
ground tenant's interest in the improvements is not collateral for
the 625 Madison Avenue loan. Moody's structured credit assessment
is aa2 (sca.pd), the same as at last review.
The top three conduit loans represent 31.3% of the pool balance.
The largest loan is the Google and Amazon Office Portfolio Loan
($108.8 million -- 12.9% of the pool), which represents a 24.3%
pari-passu portion of a $447.3 million senior mortgage. The
property is also encumbered by $67.8 million of mezzanine debt. The
loan is secured by an office portfolio located in Sunnyvale,
California. The Moffett Towers Building D (Amazon Building) is a
newly constructed eight-story, Class A office building containing
357,481 square feet (SF). It is part of a seven-building campus.
A2Z Development, a wholly owned subsidiary of Amazon, will use the
space for design and product development for the Kindle e-reader.
The Google Campus is comprised of four, four-story, Class A office
buildings totaling 700,328 (SF), which is part of a six-building
office campus known as Technology Corners. Moody's LTV and stressed
DSCR are 111% and 0.92X, respectively, compared to 112% and 0.91X
at the last review.
The second largest loan is the AMC Portfolio Pool I Loan ($86.3
million -- 10.2% of the pool), which is secured by seven
manufactured housing communities. The properties are located in
Dallas, Texas (3 properties); Austin, Texas (2 properties); and
Flint, Michigan (2 properties). The communities were built between
1968 and 1998 and contain approximately 2,000 pads in total. The
portfolio was 92% leased as of June 2018 compared to 91% at
year-end 2016 and at securitization. The loans initial 47 month
interest only period has passed and it has started amortizing on a
360-month schedule. Moody's LTV and stressed DSCR are 117% and
0.82X, respectively, compared to 119% and 0.80X at the last review.
The third largest loan is the 25 West 45th Street Loan ($70.0
million -- 8.3% of the pool), which is secured by a 17-story
Class-B office property on West 45th street of 5th Avenue in
Manhattan, New York. The improvements contain approximately 186,000
SF of which approximately 169,000 SF (91% of NRA) is represented by
office space and the remaining 16,500 (9% of NRA) consists of grade
level retail. The property was 84% leased as of June 2018 compared
to 76% at year-end 2016. Moody's LTV and stressed DSCR are 122% and
0.80X, respectively, the same as at the last review.
COMM 2016-CCRE28: Fitch Affirms B-sf Rating on Class G Certs
------------------------------------------------------------
Fitch Ratings has affirmed 18 classes of COMM 2016-CCRE28 Mortgage
Trust commercial mortgage pass-through certificates.
KEY RATING DRIVERS
Stable Performance: The affirmations follow the generally stable
performance of the pool. There have been no material changes to the
pool since issuance, therefore the original rating analysis was
considered in affirming the transaction.
One loan is in special servicing. The Holiday Inn Fort Worth North
Fossil Creek loan (1.2% of the pool) transferred in February 2018
due to imminent monetary default after the borrower's inability to
cover cash flow shortfalls. A required Property Improvement Plan
(PIP) has not been completed and the hotel's franchise agreement is
set to expire in December 2018. The servicer is planning to proceed
with the appointment of a receiver. As of September 2018, hotel
occupancy was reported to be 66%.
Minimal Changes in Credit Enhancement: As of the November 2018
distribution date, the pool's aggregate principal balance has been
reduced by 1.04% to $1.02 billion resulting in minimal increases in
credit enhancement to the senior classes. Eight of the largest 15
loans, representing 39.3% of the pool, are full-term, interest-only
loans. In total, there are 11 full-term, interest-only loans
representing 41% of the pool. Additionally, there are 11 loans
representing 25% of the pool that remain in their partial
interest-only period.
Other Considerations
Watchlist Loans: There are three loans (5.7%) on the servicer's
watchlist. The largest loan on the servicer's watchlist is The
Place Apartments loan (2.4%), which is secured by a 442-unit
multi-family property located in Mesquite, TX. The property
sustained hail damage in June 2017 and repair work is still
ongoing. The other two loans are on the watchlist for lease
rollover and deferred maintenance.
High Fitch Leverage: At issuance, Fitch stressed debt service
coverage ratio (DSCR) on the trust-specific debt was 1.10x and the
Fitch stressed loan-to-value was 114%, both of which are higher
than other transactions of a similar vintage.
RATING SENSITIVITIES
Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset-level event changes the transaction's overall
portfolio-level metrics.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating.
Fitch has affirmed the following classes:
-- $12.7 million class A-1 at 'AAAsf'; Outlook Stable;
-- $82.8 million class A-2 at 'AAAsf'; Outlook Stable;
-- $48 million class A-SB at 'AAAsf'; Outlook Stable;
-- $230 million class A-3 at 'AAAsf'; Outlook Stable;
-- $281.3 million class A-4 at 'AAAsf'; Outlook Stable;
-- $54.19 million class A-HR at 'AAAsf'; Outlook Stable;
-- $398.4 million* class XP-A at 'AAAsf'; Outlook Stable;
-- $694.6 million* class X-A at 'AAAsf'; Outlook Stable;
-- $53.3 million* class X-HR at 'AAAsf'; Outlook Stable;
-- $39.8 million class A-M at 'AAAsf'; Outlook Stable;
-- $73.2 million class B at 'AA-sf'; Outlook Stable;
-- $50.1 million class C at 'A-sf'; Outlook Stable;
-- $33.4 million class D at 'BBBsf'; Outlook Stable;
-- $59.0 million* class X-C at 'BBB-sf'; Outlook Stable;
-- $27.0 million* class X-D at 'BB-sf'; Outlook Stable;
-- $25.7 million class E at 'BBB-sf'; Outlook Stable;
-- $27 million class F at 'BB-sf'; Outlook Stable;
-- $11.6 million class G at 'B-sf'; Outlook Stable.
* Indicates notional amount and interest-only.
Fitch does not rate the class H, class J, interest-only X-E or
interest-only X-F certificates. Fitch previously withdrew the
rating on the interest-only class X-B certificates.
COMM MORTGAGE 2004-LNB5: Fitch Affirms C Rating on Class K Certs
----------------------------------------------------------------
Fitch Ratings has affirmed seven classes of COMM Mortgage Trust
2004-LNB2 commercial mortgage pass-through certificates.
KEY RATING DRIVERS
Stable Loss Expectations: The affirmations reflect no change in
loss expectations for the pool since Fitch's last rating action and
uncertainty regarding the resolution of the specially serviced
asset. The pool is highly concentrated with only three of the
original 91 loans remaining, of which one (16%) is specially
serviced and real estate owned (REO). Due to the concentrated
nature of the pool, Fitch performed a sensitivity analysis that
grouped the remaining loans based on loan structural features,
collateral quality, amortization profile and performance, assumed a
stressed value on the distressed loans, and ranked them by their
perceived likelihood of repayment.
REO Asset: Alta Mesa (16%) is secured by a 59,933 sf neighborhood
retail center. The loan transferred to special servicing in January
2014 due to a maturity default. The property has suffered declines
in occupancy since 2010 when the shadow anchor Sack N Save vacated.
Per servicer reporting, the property was 47% occupied as of October
2018 and NOI DSCR for the six month period ending June 2018 was
0.06x. The special servicer continues to actively market the vacant
spaces and there is a potential tenant for 7.5% of the NRA. The
distressed rating of class K reflects the class' reliance on
proceeds from this REO asset, for which ultimate recoveries and
disposition timing remain uncertain.
Increased Credit Enhancement: Although the pool benefits from
increased credit enhancement from the payoff of two loans that were
fully defeased at the time of Fitch's last rating action, credit
enhancement remains insufficient relative to Fitch expected losses.
As of the November 2018 remittance report, the pool's aggregate
principal balance has been reduced by 98.6% to $13.3 million from
$963.8 million at issuance. Realized losses total $24.0 million
(2.5% of original pool balance). Cumulative interest shortfalls in
the amount of $1.3 million are currently affecting classes K, L and
P.
Defeasance/Pool Concentration: The largest loan in the pool, Tesla
Park Apartments (72% of the pool balance) is fully defeased with a
March 2019 maturity. The second largest loan (16%) is REO and the
third largest loan (12%) is lowly levered and fully amortizing with
an April 2028 maturity; it is secured by a single-tenant drugstore
leased to an investment-grade tenant.
RATING SENSITIVITIES
The Stable Outlooks assigned to classes H and J reflect the
expected full repayment of the classes supported by defeasance.
Future upgrades to class K are possible should the REO asset
dispose with better-than-expected recoveries and/or prior to the
maturity of the defeased collateral, which would result in
significant improvement to the class' credit enhancement and
multi-category upgrades. Downgrades are possible as losses are
realized should the REO asset dispose with larger losses than
expected.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following classes:
-- $1.2 million class H at 'AAAsf'; Outlook Stable;
-- $4.8 million class J at 'AAAsf'; Outlook Stable;
-- $6.0 million class K at 'Csf'; RE 90%;
-- $1.3 million class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-4, B, C, D, E, F and G certificates have
paid in full. Fitch previously withdrew the ratings on the
interest-only class X-1 and X-2 certificates. Fitch does not rate
the class P certificates.
COMM MORTGAGE 2006-C8: Fitch Hikes Class B Certs to BBsf
--------------------------------------------------------
Fitch Ratings has upgraded two and affirmed 12 classes of COMM
Mortgage Trust series 2006-C8 Commercial Mortgage Pass-Through
Certificates.
KEY RATING DRIVERS
Increased Credit Enhancement; Recent and Expected Payoffs: The
upgrades to classes A-J and B reflect the expected sale of the
second largest loan/REO asset, 300 7th Street (25.2%), which is
secured by a 143,413-sf office building located in Washington D.C.
The property is currently only 1.2% occupied following the
departure of the largest tenant, the U.S. Department of Agriculture
(98.8%), upon their lease expiration in November 2017. However,
according to recent news reports, the Washington Metropolitan Area
Transit Authority (WMATA; Fitch rated AA-sf) is planning to
purchase and renovate the property for use as a new headquarters.
Upon completion of renovations, the building will be LEED-Gold
certified and potentially expanded by three floors. Per the WMATA
website, the sale is expected to close by the end of the year.
The loan per square foot relative to the outstanding balances of
classes A-J and B are $36 and $234 psf, respectively. Based on
recent sales prices of comparable properties, Fitch anticipates
that the proceeds from the sale will be sufficient to pay off
classes A-J and B in full.
As of the November 2018 distribution, the pool's aggregate
principal balance was reduced by 95.0% to $189.1 million from $3.78
billion at issuance. The pool has paid down by 36.3% since Fitch's
last rating action, primarily from the payoff of the JQH Hotel
Portfolio loan, which disposed with no losses following the sale of
John Q. Hammons Hotels & Resorts' assets to its largest creditor.
Interest shortfalls totaling $48.0 million are currently affecting
classes B through S.
Although the distressed classes benefit from substantially
increased credit enhancement since Fitch's last rating action,
credit enhancement is expected to erode as the remaining specially
serviced loans/REO assets are disposed.
Ratings Capped: The ratings for classes A-J and B are capped at
'BBBsf' and 'BBsf', respectively, to reflect the adverse selection
of the pool, the high concentration of Fitch Loans of Concern
(FLOCs), the uncertain timing and final resolution of 300 7th
Street and the possibility that the 300 7th Street loan may not
payoff as expected.
High Loss Expectations; Remaining Pool is Specially Serviced: The
remainder of the pool is secured by specially serviced loans/REO
assets. The affirmations of the distressed classes reflect the
uncertainty surrounding the ultimate resolution of the remaining
pool. Actual deal losses to date total 7.1% of the pool at
issuance.
The largest loan/REO asset in the pool is the REO Sierra Vista Mall
(39.8% of the pool), which consists of a 503,998-sf portion of a
688,724-sf regional mall in Clovis, CA. The mall was built in 1998
and is anchored by a non-collateral Target (109,648-sf, through
2023) and Kohl's (75,088-sf, through July 31, 2019), and collateral
Sears (23.1% of NRA, through Oct. 31, 2019), MB2 Raceway (11.5% of
NRA, through May 31, 2019) and Sierra Vista Cinema 16 (10.9% of
NRA, through 2032). The loan originally transferred to special
servicing in September 2013 after a dispute between the borrower
and the ground lessor. The property eventually became REO in
January 2015. Collateral occupancy was 88% as of the September 2018
rent roll; however, Sears has announced nationwide store closings
after filing for Chapter 11 bankruptcy in October 2018. While the
subject has not appeared on any store closing lists to date, Fitch
remains concerned with Sears' long-term viability. The property is
not currently listed on the market.
The remaining specially serviced loans/REO assets are 300 7th
Street (25.2%), a REO 751-site campground (24.7% spread across two
notes) located in Saltlick Township, PA., a 76,370-sf medical
office property (7.2%) located in Baton Rouge, LA that was only 56%
occupied as of the March 2018 rent roll, and a REO 121-unit
multifamily property (3.1%) located in Tallahassee, FL. Fitch will
continue to monitor all of the specially serviced loans/REO
assets.
ADDITIONAL CONSIDERATIONS
Concentrated Pool: Due to the highly concentrated nature of the
pool, Fitch performed a sensitivity analysis, which assumed
conservative loss expectations on the remaining loans/REO assets.
The ratings reflect this sensitivity and liquidation analysis.
RATING SENSITIVITIES
The Stable Outlooks on classes A-J and B reflect the expected sale
of 300 7th Street, as well as the increased credit enhancement of
the classes following the payoff of the JQH Hotel Portfolio loan.
Downgrades to classes A-J and B are unlikely, but possible if the
final sale price of 300 7th Street falls well below Fitch's
expectations. Upgrades to the distressed classes are also unlikely,
but may be possible with sustained improved performance of the
remaining specially serviced loans/REO assets or better than
expected recoveries.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch has upgraded the following classes:
-- $5.2 million class A-J to 'BBBsf' from 'CCCsf'; Stable Outlook
assigned;
-- $28.3 million class B to 'BBsf' from 'CCsf'; Stable Outlook
assigned.
Fitch has affirmed the following classes:
-- $42.5 million class C at 'Csf'; RE 65%;
-- $37.8 million class D at 'Csf'; RE 0%;
-- $23.6 million class E at 'Csf'; RE 0%;
-- $28.3 million class F at 'Csf'; RE 0%;
-- $23.5 million class G at 'Dsf'; RE 0%.
Classes H through O have been fully depleted due to realized losses
and are affirmed at 'Dsf'; RE 0%. The class A-1, A-2A, A-2B, A-3,
A-BA, A-4, A-1A and A-M certificates have paid in full. Fitch does
not rate the class P, Q and S certificates. Fitch previously
withdrew the ratings on the interest-only class X-P and X-S
certificates.
CSAIL 2018-C14: Fitch Assigns BB-sf Rating on 2 Tranches
--------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to Credit Suisse CSAIL 2018-C14 Commercial Mortgage
Pass-Through Certificates, Series 2018-C14:
-- $14,923,000 class A-1 'AAAsf'; Outlook Stable;
-- $95,533,000 class A-2 'AAAsf'; Outlook Stable;
-- $175,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $230,612,000 class A-4 'AAAsf'; Outlook Stable;
-- $23,092,000 class A-SB 'AAAsf'; Outlook Stable;
-- $69,320,000 class A-S 'AAAsf'; Outlook Stable;
-- $608,480,000b class X-A 'AAAsf'; Outlook Stable;
-- $35,623,000 class B 'AA-sf'; Outlook Stable;
-- $34,661,000 class C 'A-sf'; Outlook Stable;
-- $21,181,000a class D 'BBBsf'; Outlook Stable;
-- $16,367,000a class E 'BBB-sf'; Outlook Stable;
-- $18,293,000a class F 'BB-sf'; Outlook Stable;
-- $18,293,000ab class X-F 'BB-sf'; Outlook Stable;
-- $7,702,000a class G 'B-sf'; Outlook Stable;
-- $7,702,000ab class X-G 'B-sf'; Outlook Stable.
The following classes are not rated by Fitch:
-- $70,284,000b class X-B;
-- $27,921,731a class NR;
-- $27,921,731ab class X-NR.
(a) Privately placed.
(b) Notional amount and interest-only.
The balances for class A-3 and class A-4 were finalized. At the
time that the expected ratings were assigned, the exact initial
certificate balances of class A-3 and class A-4 were unknown and
expected to be within the range of $75,000,000 - $175,000,000 and
$230,612,000 - $330,612,000, respectively. The final class balances
for class A-3 and class A-4 are $175,000,000 and $230,612,000,
respectively. Additionally, the rating of class X-B was withdrawn
from the expected 'A-sf' as Fitch expects no excess cash flow to be
generated from the class B and class C notes, which both pay
interest on a weighted average coupon (WAC) basis.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 44 loans secured by 65
commercial properties having an aggregate principal balance of
$770,228,731 as of the cut-off date. The loans were contributed to
the trust by: Column Financial, Inc., Natixis Real Estate Capital
LLC, Argentic Real Estate Finance LLC, Rialto Real Estate Fund II -
Debt, LP and Ladder Capital Finance LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 75.3% of the properties
by balance, cash flow analysis of 83.5% and asset summary reviews
on 83.5% of the pool.
KEY RATING DRIVERS
Average Leverage Relative to Recent Transactions: The pool has
average leverage relative to other recent Fitch-rated multiborrower
transactions. The pool's Fitch debt service coverage ratio (DSCR)
of 1.20x is slightly lower than both the YTD 2018 average of 1.22x
and the 2017 average of 1.26x. The pool's Fitch loan-to-value (LTV)
of 102.5% is slightly worse than both the YTD 2018 average of
102.2% and the 2017 average of 101.6%. Excluding the credit opinion
loans, the Fitch DSCR is 1.19x and the Fitch LTV is 105.3%.
Investment-Grade Credit Opinion Loans: There are two loans with
investment-grade credit opinions totaling 6.9% of the pool. The
Greystone (5.5% of the pool) received a credit opinion of 'BBBsf*'
and 20 Times Square (1.4% of the pool) received a credit opinion of
'Asf*', both on a stand-alone basis. This is below the YTD 2018
average of 13.5% credit opinion loans in other Fitch-rated
multiborrower transactions. Net of these loans, the Fitch DSCR and
LTV are 1.19x and 105.3%, respectively for this transaction.
High Hotel Exposure: Loans secured by hotel properties represent
19.9% of the pool by balance. Three of the top 10 loans, including
Sheraton Grand Nashville Downtown (3.9% of the pool), Holiday Inn
FiDi (3.3% of the pool) and Westin & Element Huntsville (3.3% of
the pool), are backed by hotel properties. The total hotel
concentration exceeds both the YTD 2018 average of 13.8% and the
2017 average of 15.8%.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 17.2% 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
CSAIL 2018-C14 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 'BBBsf' 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.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
Fitch was provided with Form ABS Due Diligence-15E. The report was
prepared by Ernst & Young LLP. The third-party due diligence
described in the Form 15E focused on a comparison and
re-computation of certain characteristics with respect to the
mortgage loans and related mortgaged properties in the data file.
Fitch considered this information in its analysis and it did not
have an effect on Fitch's analysis or conclusions.
CSMC 2018-SITE: Moody's Assigns (P)Ba3 Rating on Class E Certs
--------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to seven
classes of CMBS securities, issued by CSMC 2018-SITE, Commercial
Mortgage Pass-Through Certificates, Series 2018-SITE:
Cl. A, Assigned (P)Aaa (sf)
Cl. B, Assigned (P)Aa3 (sf)
Cl. C, Assigned (P)A3 (sf)
Cl. D, Assigned (P)Baa3 (sf)
Cl. E, Assigned (P)Ba3 (sf)
Cl. HRR, Assigned (P)B1 (sf)
Cl. X*, Assigned (P)Aa1 (sf)
* Reflects interest-only class
RATINGS RATIONALE
The certificates are collateralized by a single loan backed by the
borrower's fee simple interest in 10 anchored retail assets located
in nine states: NC (2), AZ (1), CT (1), MO (1), IL (1), GA (1), VA
(1), SC (1) and NJ (1). In aggregate, the collateral improvements
contain 3,410,366 SF of net rentable area. The loan is a 64-month,
fixed-rate, interest-only, first lien mortgage loan with an
original and outstanding principal balance of $364.32 million. The
ratings are based on the collateral and the structure of the
transaction.
More specifically, the trust assets primarily consist of two
promissory notes, including a $170.00 million senior trust note A-1
and a $144.32 million note B, which combined have an aggregate
principal balance of $314,320,000 as of the cut-off date. The
mortgage loan also includes a senior non-trust, pari passu note A-2
with an original principal balance of $50.00 million.
As of September 30, 2018 the portfolio was 93.4% leased to a
combination of national, regional and local retail tenants. The top
ten tenants include: AMC Theatres (231,800 SF; 9.6% in-place base
rent), TJX Companies (204,743 SF; 4.8% in-place base rent), Ross
Dress for Less (181,294 SF; 4.4% in-place base rent), Dick's
Sporting Goods (146,216 SF; 4.3% in-place Base Rent), Best Buy
(141,368 SF; 4.3% in-place base rent), Lowe's (260,554 SF; 4.3%
in-place base rent), Kohl's (237,169 SF; 4.1% in-place base rent),
Petco (60,145 SF; 2.7% in-place base rent), Old Navy (85,317 SF;
2.6% in-place base rent) and Ulta Beauty (43,636 SF; 2.1% in-place
base rent).
Moody's approach to rating this transaction involved an application
of Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS and Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities. The rating approach for securities
backed by a single loan compares the credit risk inherent in the
underlying collateral with the credit protection offered by the
structure. The structure's credit enhancement is quantified by the
maximum deterioration in property value that the securities are
able to withstand under various stress scenarios without causing an
increase in the expected loss for various rating levels. In
assigning single borrower ratings, Moody's also considers a range
of qualitative issues as well as the transaction's structural and
legal aspects.
The credit risk of commercial real estate loans is determined
primarily by two factors: 1) the probability of default, which is
largely driven by the DSCR, and 2) and the severity of loss in the
event of default, which is largely driven by the LTV of the
underlying loan.
The first mortgage balance of $364.3 million represents a Moody's
LTV of 90.9%. The Moody's first mortgage DSCR is 2.10x and Moody's
first mortgage DSCR at a 9.25% stressed constant is 1.09x.
Moody's also considers both loan level diversity and property level
diversity when selecting a ratings approach. The subject
transaction is secured by fee simple interests in ten anchored
retail properties located in 10 distinct submarkets within nine
states.
Notable strengths of the transaction include: strong anchor
tenancy, granular tenant roster, experienced sponsorship, cash
equity, portfolio diversity and cross-collateralization.
Notable concerns of the transaction include: interest-only mortgage
loan profile, rollover risk, secondary/tertiary market exposure,
property release provisions and credit negative legal features.
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating interest-only classes 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 Credit Rating for CSMC 2018-SITE was assigned in accordance
with Moody's existing Methodology entitled "Moody's Approach to
Rating Structured Finance Interest-Only (IO) Securities" dated June
2017. Please note that on November 14th, 2018, Moody's released a
Request for Comment, in which it has requested market feedback on
potential revisions to its Methodology for rating structured
finance interest-only (IO) securities. If the revised Methodology
is implemented as proposed, the Credit Rating on CSMC 2018-SITE may
be POSITIVELY affected. Please refer to Moody's Request for
Comment, titled "Proposed Update to Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" for further
details regarding the implications of the proposed Methodology
revisions on certain Credit Ratings.
Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from its
Moody's loan level LTV ratios. Major adjustments to determining
proceeds include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.
These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer at
the date it was prepared and such information has not been
independently verified by Moody's; (b) must be construed solely as
a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating to
the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third party
for any loss, injury or cost caused to the issuer or any other
third party, in whole or in part, including by any negligence (but
excluding fraud, dishonesty and/or willful misconduct or any other
type of liability that by law cannot be excluded) on the part of,
or any contingency beyond the control of Moody's, or any of its
employees or agents, including any losses arising from or in
connection with the procurement, compilation, analysis,
interpretation, communication, dissemination, or delivery of any
information or rating relating to the issuer.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan paydowns or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
Moody's ratings address only the credit risks associated with the
transaction. Other non-credit risks have not been addressed and may
have a significant effect on yield to investors.
The ratings do not represent any assessment of (i) the likelihood
or frequency of prepayment on the mortgage loans, (ii) the
allocation of net aggregate prepayment interest shortfalls, (iii)
whether or to what extent prepayment premiums might be received, or
(iv) in the case of any class of interest-only certificates, the
likelihood that the holders thereof might not fully recover their
investment in the event of a rapid rate of prepayment of the
mortgage loans.
DRYDEN CLO 61: Moody's Assigns Ba3 Rating on $29.5MM Class E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
notes issued by Dryden 61 CLO, Ltd.
Moody's rating action is as follows:
US$5,000,000 Class X Senior Secured Floating Rate Notes due 2032
(the "Class X Notes"), Assigned Aaa (sf)
US$315,000,000 Class A-1 Senior Secured Floating Rate Notes due
2032 (the "Class A-1 Notes"), Assigned Aaa (sf)
US$10,000,000 Class A-2 Senior Secured Floating Rate Notes due 2032
(the "Class A-2 Notes"), Assigned Aaa (sf)
US$55,000,000 Class B Senior Secured Floating Rate Notes due 2032
(the "Class B Notes"), Assigned Aa2 (sf)
US$23,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2032 (the "Class C Notes"), Assigned A2 (sf)
US$27,500,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2032 (the "Class D Notes"), Assigned Baa3 (sf)
US$29,500,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2032 (the "Class E Notes"), Assigned Ba3 (sf)
US$6,500,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2032 (the "Class F Notes"), Assigned B3 (sf)
The Class X Notes, the Class A-1 Notes, the Class A-2 Notes, the
Class B Notes, the Class C Notes, the Class D Notes, the Class E
Notes and the Class F Notes are referred to herein, collectively,
as the "Rated Notes."
RATINGS RATIONALE
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.
Dryden 61 CLO is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90% of the portfolio must consist of
senior secured loans, cash and eligible investments, and up to 10%
of the portfolio may consist of second lien loans and unsecured
loans. The portfolio is approximately 85% ramped as of the closing
date.
PGIM, Inc. will direct the selection, acquisition and disposition
of the assets on behalf of the Issuer and may engage in trading
activity, including discretionary trading, during the transaction's
five year reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
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: 85
Weighted Average Rating Factor (WARF): 2750
Weighted Average Spread (WAS): 3.00%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 47.5%
Weighted Average Life (WAL): 9.1 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
The Credit Rating for Dryden 61 CLO, Ltd. was assigned in
accordance with Moody's existing Methodology entitled "Moody's
Global Approach to Rating Collateralized Loan Obligations," dated
August 31, 2017. Please note that on November 14, 2018, Moody's
released a Request for Comment, in which it has requested market
feedback on potential revisions to its Methodology for
Collateralized Loan Obligations. If the revised Methodology is
implemented as proposed, Moody's does not expect the changes to
affect the Credit Rating on Dryden 61 CLO, Ltd. Please refer to
Moody's Request for Comment, titled "Proposed Update to Moody's
Global Approach to Rating Collateralized Loan Obligations," for
further details regarding the implications of the proposed
Methodology revisions on certain Credit Ratings.
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.
GS MORTGAGE 2012-GS6: Fitch Affirms BBsf Rating on $21.6MM E Certs
------------------------------------------------------------------
Fitch Ratings has affirmed nine classes of Goldman Sachs Mortgage
Company's GS Mortgage Securities Trust, commercial mortgage
pass-through certificates, series 2012-GC6.
KEY RATING DRIVERS
Relatively Stable Performance and Loss Expectations: The majority
of the pool has continued to exhibit relatively stable performance
since issuance. Sixteen loans (20.1% of the current pool) are fully
defeased. Five loans (5.1%) have been identified as Fitch Loans of
Concern (FLOCs); of these, four (3.2%) are currently in special
servicing.
FLOC/Specially Serviced Loans: Fitch Ratings has identified Great
Northern Corporate Center (1.8% of pool), a 271,011 sf suburban
office building located in North Olmsted, OH, as a FLOC. The
property has experienced a decline in occupancy following the
departure of two tenants that vacated at their respective lease
expirations in February and March 2018.
Four loans (3.2% of the pool) are currently in special servicing,
three (2.5%) of which have been transferred since Fitch's last
rating action. All four loans are current.
The largest specially serviced loan, Coconut Grove Courtyard by
Marriott (1.3%), a 196-key full service hotel in Miami, FL,
suffered extensive damage from Hurricane Irma; the property is
currently closed for repairs.
Preston Belt Line Office Park (0.8%) and Towers of Coral Springs
(0.8%) are secured by suburban office buildings in Dallas, TX and
Coral Springs, FL. Both properties transferred to special servicing
for imminent monetary default and have experienced declines in
occupancy.
Holiday Inn Express - Baltimore, MD (0.4%) is secured by a 68-unit
limited service hotel in Baltimore, MD. The loan transferred to
special servicing as the franchise agreement was not renewed 12
months prior to its September 2019 expiration date; a cash flow
sweep has been triggered per the loan documents. Per the special
servicer, the borrower has negotiated with InterContinental Hotel
Group to extend the flag agreement through September 2029,
contingent upon the completion of a franchise-mandated property
improvement plan (PIP).
Alternative Loss Considerations: In addition to modeling a base
case loss, Fitch applied additional stresses on three loans: the
Meadowood Mall, Great Northern Corporate Center, and Coconut Grove
Courtyard by Marriott, to address the potential for outsized
losses. Fitch performed an additional sensitivity on the Meadowood
Mall and Coconut Grove Courtyard by Marriott loans that assumed a
20% loss on the balloon balances to account for the possibility of
a further deterioration in performance due to exposure to troubled
retailers and increased competition and delays in renovation and
reopening, respectively. Fitch's additional sensitivity on the
Great Northern Corporate Center assumed a 50% loss on the balloon
balance to account for declining occupancy and market weakness. The
Negative Rating Outlooks on classes E and F reflect this additional
sensitivity scenario.
Increased Defeasance/Improved Credit Enhancement: Since Fitch's
last rating action, an additional seven loans (12.9%), including
the third largest loan (5.6%), have been fully defeased. As of the
November 2018 remittance report, the transaction's outstanding
balance has been reduced by 16.1% to $968.4 million from $1.2
billion at issuance. Realized losses total $34,211, and interest
shortfalls in the amount of $171,364 are currently affecting class
G.
Additional Considerations
Property Type Concentrations: Loans secured by retail properties
represent 41.1% of the pool, including the largest loan, Meadowood
Mall (11.6%), a regional mall located in Reno, NV. At issuance,
Meadowood Mall was anchored by Macy's, JC Penney, Sears, and Dick's
Sporting Goods. Sears recently closed in July 2018, and the space
remains vacant. Additionally, the mall has had to contend with
increased competition from newer lifestyle/outlet centers located
less than 10 miles from the subject property.
Loans backed by hotel properties represent 15% of the pool,
including two within the top 15 (9.9%). Other property type
concentrations include office (16.8%), manufactured housing
communities (13.6%) and multifamily (9.2%).
Pool Concentrations: Based on the loans' scheduled maturity
balances, the pool is expected to amortize 6.5% during the term.
Loan maturities are concentrated in 2021 (89.7% of the pool). Two
loans (3.1% of the pool) are full-term, interest only, and three
loans (19.8%) have a partial-term, interest-only component; the
remaining 62 loans (77.1%) are partially amortizing with a balloon
payment.
RATING SENSITIVITIES
The Negative Rating Outlooks on classes E and F reflect the
transaction's high retail concentration, FLOCs, and increased
specially serviced loans, which include a property that is
currently closed and undergoing significant repairs due to major
hurricane damage. Fitch performed an additional sensitivity
analysis on the Meadowood Mall, Great Northern Corporate Center,
and Coconut Grove Courtyard by Marriott loans, assuming a 20%, 50%
and 20% loss, respectively; the current Negative Rating Outlooks
reflect this analysis. Downgrades are possible if additional loans
default and/or performance of these loans continues to decline. The
Stable Rating Outlooks on classes A-3 through D reflect the
increased credit enhancement due to defeasance and scheduled
amortization. Based on the FLOCs and pool concentrations, future
upgrades are unlikely but possible with additional paydown or
defeasance and stable to improved performance.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
-- $568.3 million class A-3 at 'AAAsf'; Outlook Stable;
-- $53.9 million class A-AB at 'AAAsf'; Outlook Stable;
-- $119.7 million class A-S at 'AAAsf'; Outlook Stable;
-- Interest-only class X-A at 'AAAsf'; Outlook Stable;
-- $63.5 million class B at 'AA-sf'; Outlook Stable;
-- $44.7 million class C at 'A-sf'; Outlook Stable;
-- $49.1 million class D at 'BBB-sf'; Outlook Stable;
-- $21.6 million class E at 'BBsf'; revise Outlook to Negative
from Stable;
-- $11.5 million class F at 'Bsf'; Outlook Negative.
The class A-1 and A-2 certificates have paid in full. Fitch does
not rate the class G or X-B certificates.
GS MORTGAGE 2013-GC10: DBRS Confirms BB Rating on Class E Certs
---------------------------------------------------------------
DBRS Limited confirmed all classes of Commercial Mortgage
Pass-Through Certificates issued by GS Mortgage Securities Trust
2013-GC10 as follows:
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class X-B at AA (low) (sf)
-- Class C at A (high) (sf)
-- Class D at BBB (sf)
-- Class E at BB (sf)
-- Class F at B (sf)
All trends are Stable, with the exception of Class F, to which DBRS
assigned a Negative trend to reflect the concerns surrounding
several underperforming loans, including the largest loan in the
pool, Empire Hotel & Retail (Prospectus ID#1, 15.0% of pool).
Although there are some loans exhibiting higher risk profiles,
there are no delinquent or specially serviced loans in the pool,
and the pool has largely performed as expected, with 56 of the
original 61 loans remaining in the pool as of the November 2018
remittance and collateral reduction of 12.6% since issuance and the
top three classes repaid in full. In addition, there are 12 loans,
representing 12.6% of the pool, including three loans in the top
15, that are fully defeased. Of the 44 non-defeased loans, 43
loans, representing 86.9% of the pool, are reporting year-end (YE)
2017 financials, with a weighted-average (WA) debt-service coverage
ratio (DSCR) and debt yield of 1.78 times (x) and 11.4%,
respectively. All 12 non-defeased loans in the top 15, which
represent 64.0% of the pool, are reporting YE2017 financials. These
loans reported a WA DSCR and debt yield of 1.70x and 10.5%,
respectively, representing a WA net cash flow growth of 9.2% over
the DBRS issuance figures.
As of the November 2018 remittance, there are 10 loans,
representing 32.0% of the pool, on the servicer's watch list. Five
loans are being monitored for performance related issues and an
additional four loans are being monitored for significant tenant
rollover. The largest loan in the pool, Empire Hotel & Retail, is
secured by a 423-key full-service hotel with ground level retail
located in New York City, across the street from Lincoln Center and
within close proximity to Central Park. The loan is being monitored
because of its low DSCR, which has remained depressed since YE2016,
and was reported at 0.76x for the trailing 12 months ending June
2018. According to the servicer, the borrower attributes the
revenue declines to ongoing room renovations, but Trip Advisor
reviews from recent stays frequently mention the generally shabby
state of the rooms at the hotel. At issuance, a $5.0 million
renovation was planned for the near term, but that work was largely
allocated to common areas, including the hotel's rooftop bar.
Comparable hotel properties near the property are reporting revenue
per available room (RevPAR) figures up to 20% greater than what
Empire Hotel is reporting, suggesting potential upside if the
necessary renovations are completed. DBRS has inquired about the
scope and cost of all renovations completed over the last five
years and the servicer's response is pending. The property is well
located within a short walk of many New York City attractions and
RevPAR trends over the past six months do suggest improvement. In
addition, the loan benefits from extensive reserves, with $6.0
million in furniture's, fixtures and equipment reserves; $5.0
million in a certificate of occupancy reserve (that appears to be
eligible for release; DBRS has requested confirmation); and $6.7
million in excess cash reserves. For additional information on this
loan, please see the loan commentary in the DBRS Viewpoint
platform, for which information has been provided below.
Although not yet added to the servicer's watch list, the Parkwood
Plaza (Prospectus ID#11, 2.5% of pool) loan, secured by an office
property located in Atlanta, Georgia, is being monitored by DBRS
because the property's largest tenant, General Electric (GE) (69.4%
of net rentable area; lease expires August 2019), vacated its space
in December 2014 and has not been able to sublease any of the space
over the last four years. The submarket is quite soft, with CoStar
reporting an overall availability rate of 34.1% as of late November
2018 for Class A properties. GE has honored the lease obligations,
currently paying $25.16 per square foot and representing
approximately 82.7% of the property's base rent. Once these
payments stop, the DSCR will fall well below 1.0x. The loan was
structured with a cash flow sweep to be triggered if the GE lease
was not renewed within 12 months of the lease expiry and DBRS has
requested confirmation from the servicer that the sweep is in
place. In addition, DBRS has asked the servicer why the loan was
not placed on the watch list when the tenant went dark, as it
appears this information has been cited in the property inspection
reports for the last several years. For additional information on
this property, please see the loan commentary in the DBRS Viewpoint
platform, for which information has been provided below.
Class X-A and X-B 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.
GS MORTGAGE 2017-GS8: Fitch Affirms B- Rating on Class G-RR Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 17 classes of GS Mortgage Securities
Trust commercial mortgage pass-through certificates, series
2017-GS8.
KEY RATING DRIVERS
Stable Performance and Loss Expectations: Overall pool performance
remains relatively stable and in line with Fitch's expectations at
issuance. There have been no delinquent or specially serviced loans
since issuance. One loan (2.2% of the current pool) has been
identified as a Fitch Loan of Concern due to tenant rollover
concerns.
Minimal Change in Credit Enhancement: There has been minimal change
to credit enhancement since issuance. As of the October 2018
remittance report, the transaction's outstanding balance has been
reduced by 0.07% to $1.0197 billion from $1.0204 billion at
issuance with no realized losses to date.
ADDITIONAL CONSIDERATIONS
Fitch Loan of Concern: One Allen Center (2.2% of pool) has been
identified as a Fitch Loan of Concern. The loan is secured by a
150,509 sf suburban office property located in Allen, TX. The
property's largest tenant, Concur Technologies (14.5% of NRA), has
notified the borrower that they plan to terminate their lease
effective August 2019, prior to their June 2022 expiration date,
but in line with their one time termination option per their lease
terms. Per servicer reporting, the borrower and tenant are in
on-going negotiations regarding a potential long-term lease
extension for less space. The property is 91% occupied as of June
2018.
Pool/Maturity Concentration: The top-10 loans comprise 56.5% of the
current pool. Based on the loans' scheduled maturity balances, the
pool is expected to amortize 5.6% during the term. Loan maturities
are concentrated in 2027 (92.9% of pool). Fourteen loans (52.3%)
are full-term, interest-only and 19 loans (44.6%) have a
partial-term, interest-only component.
International Asset: One loan, Esperanza (1.5% of pool), is secured
by a 53-room full service hotel located in Cabo San Lucas, Mexico.
The Cabo San Lucas market is heavily dependent on U.S. tourists as
a primary demand generator and hotel performance is susceptible to
external risk factors including geopolitical and hurricane risk.
Credit Opinion Loans: Three loans (19.0% of pool) were given
investment-grade credit opinions at issuance; Worldwide Plaza
(9.8%) has a credit opinion of 'BBB+sf', Starwood Lodging Hotel
Portfolio (4.9%) has a credit opinion of 'Asf', and Olympic Tower
(4.3%) has a credit opinion of 'BBBsf'.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable due to overall
stable collateral performance and recent issuance. No rating
actions are anticipated unless there are material changes in
property occupancy or cash flow. The property performance is
consistent with issuance.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
-- $13.6 million class A-1 at 'AAAsf'; Outlook Stable;
-- $72.4 million class A-2 at 'AAAsf'; Outlook Stable;
-- $270.0 million class A-3 at 'AAAsf'; Outlook Stable;
-- $311.9 million class A-4 at 'AAAsf'; Outlook Stable;
-- $35.6 million class A-AB at 'AAAsf'; Outlook Stable;
-- $10.0 million class A-BP at 'AAAsf'; Outlook Stable;
-- $773.7a million class X-A at 'AAAsf'; Outlook Stable;
-- $10.0a million class X-BP at 'AAAsf'; Outlook Stable;
-- $44.6a million class X-B at 'AA-sf'; Outlook Stable;
-- $70.2 million class A-S at 'AAAsf'; Outlook Stable;
-- $44.6 million class B at 'AA-sf'; Outlook Stable;
-- $56.1 million class C at 'A-sf'; Outlook Stable;
-- $29.0b million class D at 'BBBsf'; Outlook Stable;
-- $29.0ab million class X-D at 'BBBsf'; Outlook Stable;
-- $27.1bc million class E-RR at 'BBB-sf; Outlook Stable;
-- $26.8bc million class F-RR at 'BB-sf'; Outlook Stable;
-- $10.2bc million class G-RR at 'B-sf'; Outlook Stable.
(a) Notional amount and interest-only.
(b) Privately placed and pursuant to Rule 144A.
(c) Horizontal credit-risk retention interest representing 10.4%
($106,223,386) of the pool balance as of the closing date.
Fitch does not rate the class H-RR certificates.
GS MORTGAGE 2018-FBLU: DBRS Finalizes B Rating on Class HRR Certs
-----------------------------------------------------------------
DBRS, Inc. finalized the provisional ratings on the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2018-FBLU issued by GS Mortgage Securities Corporation Trust
2018-FBLU:
-- Class A at AAA (sf)
-- Class X-CP at AAA (sf)
-- Class X-NCP at AAA (sf)
-- Class B at AAA (sf)
-- Class C at AA (low) (sf)
-- Class D at A (high) (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (high) (sf)
-- Class HRR at B (sf)
All trends are Stable.
All classes have been privately placed. The Class X-CP and X-NCP
balances are notional.
The Fontainebleau Miami Beach is a four-diamond, 1,594-room luxury
resort situated along 15.52 acres of oceanfront property at 4441
Collins Avenue in the mid-beach area of Miami Beach, Florida.
Collateral includes the fee-simple interest in the land and resort
improvements. The total room count includes 748 non-owned
condominium-hotel units, which are not collateral for the loan.
However, historical participation in the hotel's unit rental
program has averaged 84.4% since 2011, up to and including the most
recent trailing 12-month (T-12) period ending September 2018, which
reports a current participation rate of 86.6%. Two major airports
are proximate to the subject, including the Miami International
Airport located ten miles west and Fort Lauderdale-Hollywood
International Airport approximately 21 miles north. Originally
constructed in 1954, the property serves as one of the most
recognizable and architecturally significant resorts in the world,
rich with historical relevance and well known for its extensive
amenity offering. Designed by the distinguished architect, Morris
Lapidus, the resort was added to the U.S. National Register of
Historic Places in December 2008. The subject boasts an impressive
amenity package, including 12 food and beverage (F&B) outlets, 11
pools, 199,763 square feet (sf) of indoor and outdoor meeting
space, six retail shops, a 40,000-sf spa, a 5,800-sf fitness center
and a 23-slip deep-water marina along the intracoastal side of the
resort. The financing package totals $1.05 billion with $850.0
million structured as first-mortgage debt and $200.0 million
structured as mezzanine debt. The sponsor, Turnberry Associates,
Inc. (Turnberry), originally acquired the subject in 2005, and
later brought in an equity partner, Istithmar Hotels FB Miami LLC
(Istithmar), which took on a 50.0% stake in 2008 for $375.0 million
just prior to completing an extensive $571.8 million ($397,079 per
key) renovation. The collateral was refinanced with subsequent
commercial mortgage-backed security loans in 2012 and again in 2013
with first-mortgage amounts of $412.0 million and $535.0 million,
respectively. The 2013 transaction facilitated the buyout of
Istithmar's 50.0% equity interest, reconsolidating sole ownership
to Turnberry. The subject financing package will retire outstanding
debt of $950.0 million, cover approximately $21.0 million in
closing costs and return $79.0 million of equity to the sponsor.
The property experienced a performance decline in 2016 and 2017,
primarily as a result of the combination of the Zika virus and
Hurricane Irma. This affected the overall Miami Beach submarket and
was not specific to the subject asset. After experiencing 9.4% in
average year-over-year net operating income (NOI) growth from 2011
through 2015, NOI was down 9.9% and 14.5% for 2016 and 2017,
respectively, compared with the 2015 figure. The Centers for
Disease Control and Prevention issued a travel alert in August
2016, identifying numerous cases of Zika reported in several Miami
neighborhoods and recommended avoiding travel to the Miami area.
The travel alert remained in place until June 2017, but the stigma
lingered and continued to affect performance at the subject.
Hurricane Irma, who made landfall in south Florida in September
2017, also severely affected performance at the property. The STR
report indicates that property occupancy and revenue per available
room (RevPAR) in September 2017 declined 41.4% and 32.1%,
respectively, compared with metrics reported for September 2015.
The impact was less in October 2017, but still quite substantial.
The sponsor identified more than 11,206 room nights, equating to
$8.0 million in lost revenue, associated with Hurricane Irma. As it
relates to Zika, the sponsor's insurance policy covered up to $15.0
million in damages for a single instance of an infectious disease.
As a result, the sponsor performed a thorough analysis outlining
lost business, which was submitted to the insurance companies. The
analysis revealed more than 48,000 lost room nights, or
approximately $26.0 million in lost revenue, attributed to Zika and
the adverse impact on the property. Notably, the analysis took
place at the end of 2016 and, therefore, does not capture the full
impact of 2017 cancellations. Furthermore, neither analysis
accounts for lost F&B revenue associated with the lost room nights.
Insurance proceeds amounting to $15.4 million were paid out to the
sponsor as a result of the impact of Zika and Hurricane Irma.
Performance has bounced back through the T-12 ending September 2018
period with RevPAR up 8.8% over the YE2017 figure. Similarly, NOI
has increased 10.1% over the same period. Moderate RevPAR growth
should continue as Zika concerns have curtailed and as the Miami
Beach Convention Center is slated to reopen in December 2018.
No new incoming supply is identified in the appraisal that would
compete directly with the subject, but the appraiser references the
Turnberry Isle Resort, which is being converted to a JW Marriott by
December 2018, as secondarily competitive, given the conversion.
However, given the non-beachfront location in Aventura, Florida,
and the lower daily rate, Turnberry Isle Resort has been deemed
only 25% competitive with the subject. November 2018 news reports
indicate that Miami Beach voters approved the development of an
800-key hotel that will be constructed adjacent to the Miami Beach
Convention Center. Because of the proposed hotel's non-beachfront
location, convention-based targeted guests and location
approximately two miles south, DBRS does not consider the new
supply as a primary competitor to the subject.
At 0.95 times (x), the DBRS refinance debt service coverage ratio
(DSCR) on the mortgage debt is moderately low for a hotel loan,
even one with a high-end product offering and excellent location
such as the subject. Term default risk is considered modest, as
reflected in the DBRS Term DSCR of 1.95x, based on a 2.81% loan
margin and a LIBOR of 2.07% based on the DBRS "Interest Rate
Stresses for U.S. Structured Finance Transactions" methodology,
which is lower than the 3.0% LIBOR strike of the interest-rate cap
in place at closing. The DBRS value of $829.0 million represents a
considerable 53.7% discount to the appraiser's as-is concluded
value of $1.54 billion. Furthermore, the appraisal estimates an
as-stabilized valuation of $1.71 billion by November 2021, which
suggests further upside as capital renovations continue to have a
positive impact on performance at the subject. The DBRS cap rate of
9.75% is well above the cap-rate range between 1.8% and 6.3% in the
appraiser's sales comparable and is likely approximately 400 basis
points above a current market cap rate for the subject. This allows
for a significant buffer against 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) ratio on the full $1.05
billion debt load is high at 126.7%, falling to a still-relatively
high level of 102.5% based on the senior mortgage debt of $850.0
million; however, the cumulative investment-grade-rated proceeds of
$676.0 million reflect a more reasonable LTV of 79.5%. As a result
of the property's irreplaceable location, continued anticipated
increase in RevPAR from the elimination of Zika concerns and
detrimental impact of Hurricane Irma, lack of competitive new
supply and extensive amenity offerings, including upscale
restaurants and a world-renowned nightclub, DBRS anticipates that
the mortgage loan will perform well during its fully extended
five-year term. At refinance, the highly desirable location, which
generates increased demand for trophy-caliber assets such as the
subject, should provide insulation from market volatility to
property value over the loan term.
Classes X-CP and X-NCP 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.
GS MORTGAGE 2018-RPL1: DBRS Finalizes BB Rating on Class B1 Notes
-----------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Mortgage-Backed Securities, Series 2018-RPL1 (the Notes) issued by
GS Mortgage-Backed Securities Trust 2018-RPL1 (the Trust):
-- $500.2 million Class A1A1 at AAA (sf)
-- $55.6 million Class A1A2 at AAA (sf)
-- $500.8 million Class A1A at AAA (sf)
-- $61.8 million Class A1B at AAA (sf)
-- $617.5 million Class A1 at AAA (sf)
-- $25.9 million Class A2 at AAA (sf)
-- $55.8 million Class A3 at AA (sf)
-- $48.2 million Class M1 at A (sf)
-- $36.0 million Class M2 at BBB (sf)
-- $35.1 million Class B1 at BB (sf)
-- $27.0 million Class B2 at B (sf)
Classes A1A and A1 are exchangeable notes. These classes can be
exchanged for combinations of exchange notes as specified in the
offering documents.
Classes A1A1, A1A2 and A1A are super-senior notes. These classes
benefit from additional protection from the senior support note
(Class A1B) with respect to loss allocation.
The AAA (sf) ratings on the notes reflect the 28.55% of credit
enhancement provided by subordinated notes in the pool. The AA
(sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect credit
enhancement of 22.35%, 17.00%, 13.00%, 9.10% and 6.10%,
respectively.
Other than the specified classes above, DBRS does not rate any
other classes in this transaction.
After DBRS assigned provisional ratings to GSMBS 2018-RPL1, the
collateral pool was significantly reduced by 4,075 loans,
reflecting a 50% decrease in principal balance. Although this was a
substantial change, the portfolio was relatively comparable to the
previous pool, with slight deterioration in certain credit
characteristics. In addition, certain fees (including the Indenture
Trustee fee and the annual cap for extraordinary trust expenses)
have changed, causing the fees to increase disproportionately to
the reduction in the collateral pool. DBRS incorporated such
changes in its cash flow analysis.
This transaction is a securitization of a portfolio of seasoned
performing and re-performing first-lien residential mortgages. The
Notes are backed by 4,063 loans with a total principal balance of
$947,870,115 as of the Cut-Off Date (October 31, 2018).
The portfolio is approximately 138 months seasoned, and 99.3% of
the loans are modified. The modifications happened more than two
years from the Cut-Off Date for 93.4% of the modified loans. Within
the pool, 85.1% are mortgages that have non-interest-bearing
deferred amounts, which equate to 19.8% of the total principal
balance.
The majority of the loans in the pool (97.3%) are current as of the
Cut-Off Date. Approximately 1.5% of the pool is 30 days delinquent,
0.1% is 60 days delinquent, less than 0.1% is 90 days delinquent
and 1.1% is bankruptcy loans, which are either performing or 30
days to 90 days delinquent. Approximately 87.7% of the mortgage
loans have been zero times 30 days delinquent (0 x 30) for at least
the past 24 months under the Mortgage Bankers Association
delinquency method. All but four of the loans are not subject to
the Consumer Financial Protection Bureau Ability-to-Repay/Qualified
Mortgage rules.
The Mortgage Loan Sellers, Goldman Sachs Mortgage Company (GSMC;
99.8% of the loans) and MTGLQ Investors, L.P. (0.2% of the loans),
acquired the loans in a whole-loan purchase from a third-party
mortgage loan seller prior to the Closing Date and, through an
affiliate, GS Mortgage Securities Corp. (the Depositor), will
contribute the loans to the Trust. As the Sponsor, GSMC, or a
majority-owned affiliate, will retain an eligible vertical interest
in the transaction consisting of an uncertificated interest (the
Retained Interest) in the Issuer representing the right to receive
at least 5.0% of the amounts collected on the mortgage loans, net
of fees, expenses and reimbursements of the Issuer and paid on the
Notes (other than the Class R Notes) and the Retained Interest to
satisfy the credit risk retention requirements under Section 15G of
the Securities Exchange Act of 1934 and the regulations promulgated
thereunder. These loans were originated and previously serviced by
various entities through purchases in the secondary market.
The loans will be serviced by Select Portfolio Servicing, Inc.
(SPS). The servicing fee for the GSMBS 2018-RPL1 portfolio will be
0.08% per annum, significantly lower than transactions backed by
similar collateral. DBRS stressed such servicing expenses in its
cash flow analysis to account for a potential fee increase in a
distressed scenario.
There will not be any advancing of delinquent principal or interest
on any mortgages by the Servicer or any other party to the
transaction; however, the Servicer is obligated to make advances
with respect to the preservation, inspection, restoration,
protection and repair of a mortgaged property, including delinquent
tax and insurance payments, the enforcement or judicial proceedings
associated with a mortgage loan and the management and liquidation
of properties (to the extent such advances are deemed recoverable
by the Servicer).
As a loss mitigation alternative, the Servicer may sell mortgage
loans that are in early stage or advanced default to maximize
proceeds on such defaulted loan on a net present value basis.
The transaction employs a sequential-pay cash flow structure.
Principal proceeds and excess interest can be used to cover
interest shortfalls on the Notes, but such shortfalls on Class M1
and more subordinate bonds will not be paid from principal proceeds
until the more senior classes are retired.
The representations and warranties (R&W) framework is comparable
with other DBRS-rated seasoned re-performing transactions with some
variances with respect to the Breach Reserve Account. The remedy
obligations of a Mortgage Loan Seller with regard to material
breaches of R&W will expire 13 months from the Closing Date. After
which, a Breach Reserve Account will be available to satisfy losses
related to potential R&W breaches. It is beneficial that such
reserve account will be fully funded (as opposed to partially
funded in certain other transactions) upfront at the initial target
amount of $3,559,412.50 by the Sponsor. However, in the future, if
there is a need to build the account back to target, the additional
amounts will be funded using monthly excess cash flow at the bottom
of the payment waterfall. This funding mechanism is weaker than
certain other securitizations where the account is funded using
excess servicing at the top of the waterfall. Furthermore, the cash
flow structure of GSMBS 2018-RPL1 allows very little, if any,
excess cash flow to accrue to target due to the lack of spread
between the collateral Net Weighted-Average (WA) Coupon (Net WAC)
and bond coupons.
The ratings reflect transactional strengths that include underlying
assets that had relatively clean performance in the recent past, a
strong servicer and better credit quality as compared with other
distressed and re-performing pools. Additionally, a satisfactory
third-party due diligence review was performed on the entire
portfolio with respect to regulatory compliance, payment history,
data integrity, servicing comments and title and tax review.
Updated broker price opinions were provided for all the loans;
however, a reconciliation was not performed on the updated values.
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 Notes. The DBRS ratings of A (sf), BBB (sf), BB (sf) and B
(sf) address the ultimate payment of interest and full payment of
principal by the legal final maturity date in accordance with the
terms and conditions of the related Notes.
GSAA HOME 2005-3: Moody's Hikes Class B-2 Debt Rating to B1
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of two tranches
from two transactions, backed by Alt-A and Option Arm loans.
Complete rating actions are as follows:
Issuer: GSAA Home Equity Trust 2005-3
Cl. B-2, Upgraded to B1 (sf); previously on Feb 2, 2018 Upgraded to
Caa1 (sf)
Issuer: HarborView Mortgage Loan Trust 2007-4
Cl. 2A-1, Upgraded to Baa3 (sf); previously on Feb 2, 2018 Upgraded
to Ba1 (sf)
RATINGS RATIONALE
The rating actions reflect the recent performance and Moody's
updated loss expectations on the underlying pools. The rating
upgrades are due to an increase in the credit enhancement available
to the bonds.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
The Credit Ratings for Cl. B-2 from GSAA Home Equity Trust 2005-3
and Cl. 2A-1 from HarborView Mortgage Loan Trust 2007-4 were
assigned in accordance with Moody's existing Methodology entitled
"US RMBS Surveillance Methodology," dated 1/31/2017. Please note
that on 11/14/2018, Moody's released a Request for Comment, in
which it has requested market feedback on potential revisions to
its Methodology for pre-2009 US RMBS Prime Jumbo, Alt-A, Option
ARM, Subprime, Scratch and Dent, Second Lien and Manufactured
Housing transactions. If the revised Methodology is implemented as
proposed, the Credit Ratings on Cl. B-2 from GSAA Home Equity Trust
2005-3 and Cl. 2A-1 from HarborView Mortgage Loan Trust 2007-4 are
not expected to be affected.
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 3.7% in October 2018 from 4.1% in
October 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.
HALCYON LOAN 2014-2: Moody's Lowers Class E Notes Rating to Caa2
----------------------------------------------------------------
Moody's Investors Service has upgraded the rating on the following
notes issued by Halcyon Loan Advisors Funding 2014-2 Ltd.:
US$38,500,000 Class B-R Senior Secured Deferrable Floating Rate
Notes Due April 2025, Upgraded to Aa3 (sf); previously on March 14,
2018 Affirmed A2 (sf)
Moody's also downgrades the rating on the following notes:
US$5,500,000 Class E Senior Secured Deferrable Floating Rate Notes
Due April 2025, Downgraded to Caa2 (sf); previously on March 14,
2018 Downgraded to Caa1 (sf)
Moody's also affirmed the ratings on the following notes:
US$220,000,000 Class A-1A-R Senior Secured Floating Rate Notes Due
April 2025 (current outstanding balance of $130,642,521), Affirmed
Aaa (sf); previously on March 14, 2018 Affirmed Aaa (sf)
US$110,000,000 Class A-1B-R Senior Secured Floating Rate Notes Due
April 2025 (current outstanding balance of $65,321,261), Affirmed
Aaa (sf); previously on March 14, 2018 Affirmed Aaa (sf)
US$82,500,000 Class A-2-R Senior Secured Floating Rate Notes Due
April 2025, Affirmed Aaa (sf); previously on March 14, 2018
Upgraded to Aaa (sf)
US$33,000,000 Class C Senior Secured Deferrable Floating Rate Notes
Due April 2025, Affirmed Baa3 (sf); previously on March 14, 2018
Affirmed Baa3 (sf)
US$27,500,000 Class D Senior Secured Deferrable Floating Rate Notes
Due April 2025, Affirmed Ba3 (sf); previously on March 14, 2018
Affirmed Ba3 (sf)
Halcyon Loan Advisors Funding 2014-2 Ltd., issued in April 2014 and
refinanced in April 2017, is a collateralized loan obligation (CLO)
backed primarily by a portfolio of senior secured loans. The
transaction's reinvestment period ended in April 2018.
RATINGS RATIONALE
The upgrade and affirmation rating actions are primarily a result
of deleveraging of the senior notes and an increase in the
transaction's over-collateralization (OC) ratios since March 2018.
The Class A-1A-R and Class A-1B-R notes have been paid down by
approximately 40.6% or $134.0 million since then. Based on Moody's
calculation, the OC ratios for the Class A, Class B, Class C and
Class D notes are 142.9%, 125.5%, 113.7% and 105.4%, respectively,
versus March 2018 levels of 129.2%, 118.2%, 110.1% and 104.2%,
respectively.
The downgrade rating action on the Class E notes reflects the
specific risks to the junior notes posed by credit deterioration
observed in the underlying CLO portfolio. Based on Moody's
calculations, the weighted average rating factor (WARF) is
currently 2905 compared to 2721 in March 2018.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analyzed the collateral pool as having a performing par and
principal proceeds balance of $396.0 million, defaulted par of $7.8
million, a weighted average default probability of 19.25% (implying
a WARF of 2905), a weighted average recovery rate upon default of
47.75%, a diversity score of 57 and a weighted average spread of
3.82% (before accounting for LIBOR floors).
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.
The Credit Rating for Halcyon Loan Advisors Funding 2014-2 Ltd. was
assigned in accordance with Moody's existing Methodology entitled
"Moody's Global Approach to Rating Collateralized Loan
Obligations," dated August 31, 2017. Please note that on November
14, 2018, Moody's released a Request for Comment, in which it has
requested market feedback on potential revisions to its Methodology
for Collateralized Loan Obligations. If the revised Methodology is
implemented as proposed, Moody's does not expect the changes to
affect the Credit Rating on Halcyon Loan Advisors Funding 2014-2
Ltd. Please refer to Moody's Request for Comment, titled "Proposed
Update to Moody's Global Approach to Rating Collateralized Loan
Obligations," for further details regarding the implications of the
proposed Methodology revisions on certain Credit Ratings.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to
uncertainty about credit conditions in the general economy.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO documentation
by different transactional parties owing to embedded ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current expectations,
can lead to positive CLO performance. Conversely, a negative shift
in credit quality or performance of the collateral can have adverse
consequences for CLO performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging of the CLO
could accelerate owing to high prepayment levels in the loan market
and/or collateral sales by the manager, which could have a
significant impact on the notes' ratings. Note repayments that are
faster than Moody's current expectations will usually have a
positive impact on CLO notes, beginning with those with the highest
payment priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets could result in volatility in the deal's
overcollateralization levels. Further, the timing of recovery
realization and whether the manager decides to work out or sell
defaulted assets create additional uncertainty. Realization of
recoveries that are either materially higher or lower than assumed
in Moody's analysis would impact the CLO positively or negatively,
respectively.
6) Exposure to assets with low credit quality and weak liquidity:
The historical default rate of assets rated Caa3 with a negative
outlook, Caa2 or Caa3 on review for downgrade or the worst Moody's
speculative grade liquidity (SGL) rating, SGL-4, is higher than the
average. Exposure to such assets subject the notes to additional
risks if these assets default.
HORIZON AIRCRAFT I: Fitch Rates BBsf Rating on Series C Notes
-------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Outlooks to
the Horizon Aircraft Finance I Limited notes:
-- $476,000,000 Series A asset-backed notes 'Asf'; Outlook
Stable;
-- $91,000,000 Series B asset-backed notes 'BBBsf'; Outlook
Stable;
-- $45,000,000 Series C asset-backed notes 'BBsf'; Outlook
Stable.
The notes issued from Horizon are backed by lease payments and
disposition proceeds on a pool of 29 primarily mid-life aircraft.
BBAM Aviation Services Limited and BBAM US LP, wholly-owned
subsidiaries of BBAM Limited Partnership (BBAM), will service the
transaction. Horizon expects to use the rated note and equity
proceeds to acquire the initial aircraft, fund the initial reserve
account amounts and pay certain expenses. This is the second
BBAM-serviced aircraft ABS rated by Fitch and the first since 2015.
Fitch does not rate (NR) BBAM.
BBAM only manages and services aircraft and does not own any
aircraft sold to Horizon. Fitch views this positively as BBAM will
be incentivized to adequately service the aircraft, relying solely
on the transaction servicing fees.
Horizon Aircraft Manager Co., Ltd. is a wholly owned subsidiary of
BBAM and affiliate of the Servicers, and will act as Asset Manager
for Horizon. Fitch also views this feature positively since the
Asset Manager is owned by BBAM, and will be further incentivized to
service Horizon adequately. UMB Bank, N.A. will act as trustee and
operating bank, and Maples Fiduciary Services Limited will act as
managing agent.
KEY RATING DRIVERS
Asset Quality - Liquid Narrowbody Aircraft: The pool comprises
solely of 29 in-demand, mostly Tier 1 classified, mid-life NB
A320-200, and B737-700 and -800 (top-3 models total 95.6%) current
generation aircraft. The weighted average () age is 9.8 years,
similar to recent transactions.
Lease Term and Maturity Schedule - Negative: The WA original lease
term is 8.8 years with 3.4 remaining. This is a credit negative as
these maturing leases will have less certainty as to cash flows,
and the aircraft coming off leases will be subject to remarketing
costs and downtime. 70.6% of the leases mature in 2019-2022, with
10 leases (31.6%) maturing in 2019, risks that Fitch took into
account when applying asset assumptions and stresses.
Lessee Credit Risk - Diverse/Weak Credits: There are 21 airline
lessees with a significant amount of unrated/speculative-grade
airlines, typical of aircraft ABS. The pool is diverse with the top
three totaling 29.6% and 21.0% flag-carriers, while AirAsia branded
airlines total 18.6%. Fitch assumed unrated lessees would perform
consistently with either a 'B' or 'CCC' Issuer Default Rating (IDR)
to accurately reflect the default risk in the pool. Lessee ratings
were further stressed during assumed future recessions and as
aircraft reach Tier 3 classification.
Releasing Risk/Servicer Reliance - Strong Servicing Capability:
BBAM (NR by Fitch) was founded in 1989 and is a very
experienced/tenured aircraft servicer/manager. Fitch believes BBAM
is a capable servicer as evidenced by its experienced team, the
servicing of their managed fleet and prior serviced/managed
securitizations. Horizon Aircraft Manager Co., Ltd., a wholly owned
subsidiary of BBAM and affiliate of the Servicers, will be the
Asset Manager, which Fitch views positively.
Transaction Structure - Adequate Credit Enhancement: Credit
enhancement comprises overcollateralization, a liquidity facility
and a cash reserve. The initial loan to value ratios for the class
A, B and C notes are 64.5%, 76.9% and 83.0%, respectively, based on
the average of half-life base values adjusted for maintenance by
Alton.
Adequate Structural Protections: Each class of notes makes full
payment of interest and principal in the primary scenarios
commensurate with their expected ratings after applying Fitch's
stressed asset and liability assumptions. Fitch also created
multiple alternative cash flows to evaluate the structure
sensitivity to different scenarios, detailed later in the report.
Aviation Market Cyclicality: Commercial aviation has been subject
to significant cyclicality due to macroeconomic and geopolitical
events. Fitch's analysis assumes multiple periods of significant
volatility over the life of the transaction.
Asset Value and Lease Rate Volatility: Downturns are typically
marked by reduced aircraft utilization rates, values and lease
rates as well as deteriorating lessee credit quality. Fitch employs
aircraft value stresses in its analysis, which takes into account
age and marketability to simulate the decline in lease rates
expected over the course of an aviation market downturn, and
decrease to potential residual sales proceeds.
Rating Cap of 'Asf': Fitch limits aircraft operating lease ratings
to a maximum cap of 'Asf' due to the factors detailed, and the
potential volatility they produce as detailed in Fitch's "Aircraft
Operating Lease ABS Rating Criteria."
RATING SENSITIVITIES
Due to the correlation between global economic conditions and the
airline industry, the ratings may be affected by global
macro-economic or geopolitical factors over the remaining term of
the transaction. Therefore, Fitch evaluated various sensitivity
scenarios, which could affect future cash flows from the pool and
recommended ratings for the notes.
Increased competition, largely from newly established Asia-Pacific
(APAC) lessors, has contributed to declining lease rates in the
aircraft leasing market. Additionally, certain variants have been
more prone to value declines and lease rates due to oversupply
issues. Fitch performed a sensitivity analysis assuming lease rate
factors (LRFs) would not increase after an aircraft reached 11
years of age, providing a material haircut to future lease cash
flow generation. Per Fitch's criteria LRF curve, no subsequent
leases were executed at a LRF greater than 1.13%.
This scenario is more taxing in the latter stages of the
transaction's life as aircraft are assumed to not receive
increasing LRFs as they age into mid- and end-of-life status.
Across the rating scenarios, gross lease cash flow collected
decreased approximately $52 million-$53 million. Under the 'Asf'
scenario, the class A notes fail to pay in full by a small margin
as they are left with approximately $3 million outstanding. They
are able to pass the 'BBBsf' scenario, while the class B notes fall
short by approximately $7 million. All classes are then able to
pass the 'BBsf' scenario. Such a stress could possibly result in a
downgrade of one to two notches for the class A and B notes, while
the rating on the class C notes is likely to be unaffected.
As the tenure of the leases is materially shorter than that of the
transaction, new leases will continue to be executed over time. As
such, the future pool mix is unknown. Airlines are generally
speculative-grade credits and are sensitive to global economic
downturns. As aircraft are leased across the globe, some may be
placed in jurisdictions where repossession of aircraft may prove to
be more difficult than in others. As such, Fitch considered a
scenario in which the lessees in the pool performed notably worse
than BBAM's historical experience.
This scenario is more taxing on the structure than the LRF
sensitivity as additional stress is immediately felt as a result of
defaulting lessees. Under the rating scenarios, gross cash flow
declines approximately $21 million-$25 million while expenses
increase approximately $71 million-$85 million as a result of the
increased repossession and remarketing activity. Class A is unable
to pass the 'Asf' scenario, and falls just short of passing the
'BBBsf' scenario by approximately $7 million. Class B is able to
pass under the 'BBsf' scenario, while class C is locked out from
receiving any principal payments. Class C is however able to pass
the 'Bsf' scenario. Such a stress is likely to result in the class
A notes being downgraded to the low 'BBBsf' or high 'BBsf'
category, while the class B and C notes could experience a
downgrade of up to one category.
All aircraft in the pool face replacement programs over the next
decade, particularly the A320ceo and B737 NG aircraft in the form
of A320neo and B737 MAX aircraft, which have already started
delivering. Certain appraisers have started to adjust market values
in response to this replacement risk; the majority of the pool's
market value appraisals are slightly lower than base values. Fitch
believes current generation aircraft are well insulated due to
large operator bases and the long lead time for full replacement,
particularly when considering conservative retirement ages and
aggressive production schedules for new Airbus and Boeing
technology.
However, Fitch believes a sensitivity scenario is warranted to
address these risks. Therefore, Fitch utilized a scenario in which
the first recession was assumed to occur two years following close,
but recessionary value declines were increased by 10% under all
scenarios. Fitch additionally utilized a 25% residual assumption
rather than the base level of 50% to stress end-of-life proceeds
for each asset in the pool. Lease rates drop fairly significantly
under this scenario, and aircraft are essentially sold for scrap at
the end of their useful lives.
This scenario is the most stressful sensitivity envisioned herein.
Across the rating scenarios, gross lease cash flow declines
approximately $60 million-$78 million, while sales proceeds decline
approximately $59 million-$69 million from already conservative
levels. Under such a stress, the class A notes fail to pay in full
under both the 'Asf' and 'BBBsf' scenarios. They also do not pay in
full under 'BBsf'; however, the miss is marginal and less than $1
million. However, all classes then are able to pay in full under
the 'Bsf' scenario. Such a stress is likely to result in the
downgrade of the class A and B notes by two categories, while the
class C notes could experience a downgrade of one category.
ICG US 2018-3: Moody's Rates $21MM Class E Notes 'Ba3'
------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to eight
classes of notes issued by ICG US CLO 2018-3, Ltd.
Moody's rating action is as follows:
US$209,750,000 Class A-1 Senior Secured Floating Rate Notes due
2032 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf)
US$46,250,000 Class A-2 Senior Secured Fixed Rate Notes due 2032
(the "Class A-2 Notes"), Definitive Rating Assigned Aaa (sf)
US$15,000,000 Class B-1 Senior Secured Floating Rate Notes due 2032
(the "Class B-1 Notes"), Definitive Rating Assigned Aa2 (sf)
US$19,800,000 Class B-2 Senior Secured Floating Rate Notes due 2032
(the "Class B-2 Notes"), Definitive Rating Assigned Aa2 (sf)
US$10,000,000 Class B-3 Senior Secured Fixed Rate Notes due 2032
(the "Class B-3 Notes"), Definitive Rating Assigned Aa2 (sf)
US$20,200,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2032 (the "Class C Notes"), Definitive Rating Assigned A2 (sf)
US$27,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2032 (the "Class D Notes"), Definitive Rating Assigned Baa3
(sf)
US$21,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2032 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B-1 Notes, the
Class B-2 Notes, the Class B-3 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
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.
ICG US CLO 2018-3 is a managed cash flow CLO. The issued notes will
be collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90% of the portfolio must consist of
senior secured loans, cash, and eligible investments, and up to 10%
of the portfolio may consist of second lien loans and unsecured
loans. The portfolio is approximately 80% ramped as of the closing
date.
ICG Debt Advisors LLC -- Manager Series (the "Manager") will direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $400,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2845
Weighted Average Spread (WAS): 3.40%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 9.14 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.
The Credit Rating for ICG US CLO 2018-3, Ltd. was assigned in
accordance with Moody's existing Methodology entitled "Moody's
Global Approach to Rating Collateralized Loan Obligations," dated
August 31, 2017. Please note that on November 14, 2018, Moody's
released a Request for Comment, in which it has requested market
feedback on potential revisions to its Methodology for
Collateralized Loan Obligations. If the revised Methodology is
implemented as proposed, Moody's does not expect the changes to
affect the Credit Rating on ICG US CLO 2018-3, Ltd.
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.
JP MORGAN 2016-JP4: Fitch Affirms BB-sf Rating on Class E Certs
---------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of J.P. Morgan Chase
Commercial Mortgage Securities Trust 2016-JP4 commercial mortgage
pass-through certificates.
KEY RATING DRIVERS
Stable Performance and Loss Expectations: The affirmations are
based on the stable performance of the underlying collateral. There
have been no material changes to the pool since issuance, and
therefore the original rating analysis was considered in affirming
the transaction. There are no delinquent loans and no loans have
transferred to special servicing. There have been no realized
losses or interest shortfalls to date.
Minimal Credit Enhancement Improvement/Limited Amortization: As of
the November 2018 distribution date, the pool's aggregate principal
balance has been paid down by 1.1% to $986.4 million from $997.6
million at issuance.
Of the current pool, nine loans (37.4%) are full-term interest-only
and 13 loans (28.5%) are partial-term interest-only.
High Retail Concentration: Loans collateralized by retail
properties account for 36.7% of the pool, including two regional
malls (13.2%).
Fresno Fashion Fair Mall (8.1%) is the dominant mall in its primary
trade area of an approximately seven-mile radius in Fresno, CA.
Anchor tenants include Macy's (non-collateral), JC Penney (29%),
Forever 21 (non-collateral), and Macy's Men's and Children's. Of
note, except for Forever 21, the anchor tenants perform above their
respective national sales average.
Summit Mall (5.1%) is located in Fairlawn, Ohio, approximately
seven miles northwest of downtown Akron and 26 miles south of
downtown Cleveland. The mall is anchored by Dillard's
(non-collateral) and Macy's, which has a lease expiration in
October 2020. At issuance both anchors had sales that were below
their respective national averages and inline sales were $461 psf
and $379 excluding Apple. Per the loan agreement, sales reports are
not required for Summit Mall.
Alternative Loss Consideration: Fitch applied an additional
sensitivity scenario of 20% on the Summit Mall, to reflect the
potential for outsized losses given the lack of updated sales
information, as well as the mall's secondary location. The
sensitivity Scenario did not affect the ratings.
Additional Considerations
Pari Passu Loans: Eleven loans comprising of 53% of the pool,
including seven of the top 10, are pari passu loans.
Maturity Concentration: Maturities for the pool are as follows:
2021 - five loans (13.7%), 2026 - 32 loans (76.7%) and 2027 - three
loans (10%).
RATING SENSITIVITIES
The Rating Outlooks for all classes remain Stable due to the
overall stable performance of the pool. Fitch does not foresee
positive or negative ratings migration until a material economic or
asset-level event changes the transaction's portfolio level
metrics.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
-- $24,395,935 class A-1 at 'AAAsf'; Outlook Stable;
-- $129,067,000 class A-2 at 'AAAsf'; Outlook Stable;
-- $215,000,000 class A-3 at 'AAAsf'; Outlook Stable;
-- $266,136,000 class A-4 at 'AAAsf'; Outlook Stable;
-- $52,478,000 class A-SB at 'AAAsf'; Outlook Stable;
-- $746,934,935* class X-A at 'AAAsf'; Outlook Stable;
-- $61,106,000* class X-B at 'AA-sf'; Outlook Stable;
-- $59,858,000 class A-S at 'AAAsf'; Outlook Stable;
-- $61,106,000 class B at 'AA-sf'; Outlook Stable;
-- $49,882,000 class C at 'A-sf'; Outlook Stable;
-- $105,999,000* class X-C at 'BBB-sf'; Outlook Stable;
-- $56,117,000 class D at 'BBB-sf'; Outlook Stable;
-- $22,447,000 class E at 'BB-sf'; Outlook Stable.
* Notional amount and interest only.
Fitch does not rate classes F and NR.
JP MORGAN 2018-LTV1: DBRS Finalizes B Rating on Class B-5 Certs
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the Mortgage
Pass-Through Certificates, Series 2018-LTV1 (the Certificates)
issued by J.P. Morgan Mortgage Trust 2018-LTV1 as follows:
-- $404.1 million Class A-1 at AAA (sf)
-- $404.1 million Class A-2 at AAA (sf)
-- $367.4 million Class A-3 at AAA (sf)
-- $367.4 million Class A-4 at AAA (sf)
-- $275.6 million Class A-5 at AAA (sf)
-- $275.6 million Class A-6 at AAA (sf)
-- $91.9 million Class A-7 at AAA (sf)
-- $91.9 million Class A-8 at AAA (sf)
-- $71.7 million Class A-9 at AAA (sf)
-- $71.7 million Class A-10 at AAA (sf)
-- $20.1 million Class A-11 at AAA (sf)
-- $20.1 million Class A-12 at AAA (sf)
-- $36.7 million Class A-13 at AAA (sf)
-- $36.7 million Class A-14 at AAA (sf)
-- $229.6 million Class A-15 at AAA (sf)
-- $229.6 million Class A-16 at AAA (sf)
-- $46.0 million Class A-17 at AAA (sf)
-- $46.0 million Class A-18 at AAA (sf)
-- $137.8 million Class A-19 at AAA (sf)
-- $137.8 million Class A-20 at AAA (sf)
-- $404.1 million Class A-X-1 at AAA (sf)
-- $404.1 million Class A-X-2 at AAA (sf)
-- $367.4 million Class A-X-3 at AAA (sf)
-- $275.6 million Class A-X-4 at AAA (sf)
-- $91.9 million Class A-X-5 at AAA (sf)
-- $71.7 million Class A-X-6 at AAA (sf)
-- $20.1 million Class A-X-7 at AAA (sf)
-- $36.7 million Class A-X-8 at AAA (sf)
-- $229.6 million Class A-X-9 at AAA (sf)
-- $46.0 million Class A-X-10 at AAA (sf)
-- $404.1 million Class A-X-11 at AAA (sf)
-- $14.9 million Class B-1 at AA (sf)
-- $13.8 million Class B-2 at A (sf)
-- $11.5 million Class B-3 at BBB (sf)
-- $8.0 million Class B-4 at BB (sf)
-- $3.0 million Class B-5 at B (sf)
Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8,
A-X-9, A-X-10 and A-X-11 are interest-only (IO) notes. The class
balances represent notional amounts.
Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-11, A-13,
A-15, A-17, A-19, A-20, A-X-2, A-X-3, A-X-4, A-X-5 and A-X-11 are
exchangeable certificates. These classes can be exchanged for a
combination of depositable certificates, as specified in the
offering documents.
Classes A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-15,
A-16 A-17, A-18, A-19 and A-20 are super-senior certificates. These
classes benefit from additional protection from the senior support
certificate (Classes A-13 and A-14) with respect to loss
allocation.
The AAA (sf) ratings on the Certificates reflect the 12.00% of
credit enhancement provided by subordinated certificates in the
pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings
reflect 8.75%, 5.75%, 3.25%, 1.50% and 0.85% of credit enhancement,
respectively.
Other than the specified classes above, DBRS does not rate any
other classes in this transaction.
The Certificates are backed by 694 loans with a total principal
balance of $459,258,410 as of the Cut-Off Date (November 1, 2018).
Compared with other post-crisis prime pools, this portfolio
consists of higher loan-to-value (LTV), fully amortizing fixed-rate
mortgages with original terms to maturity of primarily 30 years.
Almost the entire pool (99.0%) comprises loans with current CLTV
ratios greater than 79.0%. The high LTV attribute of this portfolio
is partially balanced by certain mitigants, such as FICO, the
debt-to-income ratio, income, reserves and other default drivers.
Details on the underwriting of conforming loans can be found in the
Key Probability of Default Drivers section of the related report.
The originators for the aggregate mortgage pool are United Shore
Financial Services (53.0%), SoFi Lending Corp. (10.1%),
loanDepot.com (7.0%) and various other originators, each comprising
less than 5.0% of the mortgage loans. Approximately 7.7% of the
loans sold to the mortgage loan seller were acquired by MAXEX
Clearing LLC, which purchased loans from the related originators or
an unaffiliated third party that directly or indirectly purchased
such loans from the related originators.
The mortgage loans will be serviced or sub-serviced by New Penn
Financial, LLC d/b/a Shell point Mortgage Servicing (SMS, 93.0%)
and Cenlar FSB (Cenlar, 7.0%). Servicing will be transferred from
SMS to J.P. Morgan Chase Bank, N.A. (JPMCB) on the servicing
transfer date (January 2, 2019, or a later date) as determined by
the issuing entity and JPMCB. Unique to this transaction is the
servicing fee payable for mortgage loans serviced by SMS, which is
composed of three separate constituents: the aggregate base
servicing fee, the aggregate delinquent servicing fee and the
aggregate additional servicing fee. These fees vary based on the
delinquency status of the related loan and will be paid from
interest collections before distribution to the securities. The
mortgage loans serviced by Cenlar are payable based on a fixed
servicing fee framework.
Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS) will
act as the Master Servicer, Securities Administrator and Custodian.
U.S. Bank Trust National Association will serve as Delaware
Trustee. Pentalpha Surveillance LLC will serve as the
representations and warranties (R&W) Reviewer.
The transaction employs a senior-subordinate shifting-interest cash
flow structure that is enhanced from a pre-crisis structure.
The ratings reflect transactional strengths that include
high-quality underlying assets, well-qualified borrowers and a
satisfactory third-party due diligence review.
This transaction employs an R&W framework that contains certain
weaknesses, such as materiality factors, some unrated R&W
providers, knowledge qualifiers and sunset provisions that allow
for certain R&Ws to expire within three to six years after the
Closing Date. The framework is perceived by DBRS to be limiting
compared with traditional lifetime R&W standards in certain
DBRS-rated securitizations. To capture the perceived weaknesses in
the R&W framework, DBRS reduced the originator scores in this pool.
A lower originator score results in increased default and loss
assumptions and provides additional cushions for the rated
securities.
JP MORGAN 2018-LTV1: Moody's Assigns B3 Rating on Class B-5 Debt
----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 25
classes of residential mortgage-backed securities issued by J.P.
Morgan Mortgage Trust 2018-LTV1. The ratings range from Aaa (sf) to
B3 (sf).
The certificates are backed by 694 30-year, fully-amortizing
fixed-rate mortgage loans with a total balance of $459,258,410 as
of the November 1, 2018 cut-off date. Conforming loans comprise
only 0.7% of the pool balance. All the loans are subject to the
Qualified Mortgage and Ability-to-Repay rules and are categorized
as either QM-Safe Harbor or QM-Agency Safe Harbor.
JPMMT 2018-LTV1 is the first JPMMT transaction with the LTV
designation. The weighted average loan-to-value ratio of the
mortgage pool is 86%, which is higher than that of previous JPMMT
transactions which had WA LTVs of about 70% on average. All the
loans have LTVs greater than 75%, and 62% of the loans by balance
have LTVs greater than 80%. None of the loans in the pool have
mortgage insurance. Consistent with previous JPMMT transactions,
the borrowers in the pool have a WA FICO score of 767 and a WA
debt-to-income ratio of 35%. The WA mortgage rate of the pool is
4.9%.
United Shore Financial Services (United Shore) originated 53% of
the mortgage loans by balance and SoFi Lending, Corp. (SoFi)
originated 10%. The remaining originators each account for less
than 10% of the aggregate principal balance of the loans in the
pool. About 49% of the mortgage pool was originated under United
Shore's High Balance Nationwide program, in which, using the
Desktop Underwriter automated underwriting system, loans are
underwritten to Fannie Mae guidelines with overlays. The loans
receive a DU Approve Ineligible feedback due to the loan amount
exceeding the GSE limit for certain markets.
Shellpoint Mortgage Servicing will service 93% of the pool and
loanDepot.com, LLC will service 7%. The servicing fee for loans
serviced by Shellpoint will be based on a step-up incentive fee
structure with a $20 base servicing fee and additional fees for
servicing delinquent and defaulted loans. loanDepot.com, LLC will
be paid a fee of one-twelfth of 0.25% of the remaining principal
balance of the mortgage loans it services. Shellpoint will act as
the interim servicer for 93% of the mortgage pool balance from the
closing date until the servicing transfer date, which is expected
to occur on or about January 2, 2019 (but which may occur after
such date). After the servicing transfer date, these mortgage loans
will be serviced by JPMorgan Chase Bank, N.A. (Chase).
Wells Fargo Bank, N.A. will be the master servicer and securities
administrator. U.S. Bank Trust National Association will be the
trustee. Pentalpha Surveillance LLC will be the representations and
warranties breach reviewer. Distributions of principal and interest
and loss allocations are based on a typical shifting interest
structure that benefits from senior and subordination floors.
The complete rating actions are as follows:
Issuer: J.P. Morgan Mortgage Trust 2018-LTV1
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-5, Definitive Rating Assigned Aaa (sf)
Cl. A-6, Definitive Rating Assigned Aaa (sf)
Cl. A-7, Definitive Rating Assigned Aaa (sf)
Cl. A-8, Definitive Rating Assigned Aaa (sf)
Cl. A-9, Definitive Rating Assigned Aaa (sf)
Cl. A-10, Definitive Rating Assigned Aaa (sf)
Cl. A-11, Definitive Rating Assigned Aaa (sf)
Cl. A-12, Definitive Rating Assigned Aaa (sf)
Cl. A-13, Definitive Rating Assigned Aa1 (sf)
Cl. A-14, Definitive Rating Assigned Aa1 (sf)
Cl. A-15, Definitive Rating Assigned Aaa (sf)
Cl. A-16, Definitive Rating Assigned Aaa (sf)
Cl. A-17, Definitive Rating Assigned Aaa (sf)
Cl. A-18, Definitive Rating Assigned Aaa (sf)
Cl. A-19, Definitive Rating Assigned Aaa (sf)
Cl. A-20, Definitive Rating Assigned Aaa (sf)
Cl. B-1, Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Definitive Rating Assigned A1 (sf)
Cl. B-3, Definitive Rating Assigned Baa1 (sf)
Cl. B-4, Definitive Rating Assigned Ba2 (sf)
Cl. B-5, Definitive Rating Assigned B3 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected cumulative net loss on the aggregate pool is 0.75%
in a base scenario and reaches 10.25% at a stress level consistent
with the Aaa (sf) ratings.
Moody's calculated losses on the pool using its US Moody's
Individual Loan Analysis model based on the loan-level collateral
information as of the cut-off date. Loan-level adjustments to the
model results included adjustments to probability of default for
higher and lower borrower debt-to-income ratios (DTIs), for
borrowers with multiple mortgaged properties, self-employed
borrowers, and for the default risk of Homeownership association
(HOA) properties in super lien states. Its final loss estimates
also incorporate adjustments for originator assessments and the
financial strength of Representation & Warranty (R&W) providers.
Moody's bases its definitive ratings on the certificates on the
credit quality of the mortgage loans, the structural features of
the transaction, its assessments of the aggregators, originators
and servicers, the strength of the third party due diligence and
the representations and warranties (R&W) framework of the
transaction.
Collateral Description
JPMMT 2018-LTV1 is a securitization of a pool of 694 30-year,
fully-amortizing fixed-rate mortgage loans with a total balance of
$459,258,410 as of the cut-off date, with a WA remaining term to
maturity of 356 months and a WA seasoning of 4 months. The WA
current FICO score of the borrowers in the pool is 767. The WA LTV
ratio of the mortgage pool is 86%, which is higher than that of
previous JPMMT transactions which had WA LTVs of about 70% on
average. All the loans have LTVs greater than 75%, and 62% of the
loans by balance have LTVs greater than 80%. None of the loans in
the pool have mortgage insurance. The other characteristics of the
loans in the pool are generally comparable to that of recent JPMMT
transactions.
The mortgage loans in the pool were originated mostly in California
(36% by loan balance). The sponsor is in the process of determining
which loans in the pool are backed by properties that may be
affected by the recent and ongoing California wildfires. The
sponsor will order post-disaster inspection reports for properties
in areas designated for individual assistance by FEMA. To the
extent any of these properties sustained material damage from the
wildfires, the sponsor will repurchase the affected loans from the
pool.
United Shore Financial Services (United Shore) originated 53% of
the mortgage loans by balance and SoFi Lending, Corp. (SoFi)
originated 10%. The remaining originators each account for less
than 10% of the aggregate principal balance of the loans in the
pool. About 49% of the mortgage pool was originated under United
Shore's High Balance Nationwide program, in which, using the
Desktop Underwriter (DU) automated underwriting system, loans are
underwritten to Fannie Mae guidelines with overlays. The loans
receive a DU Approve Ineligible feedback due to the loan amount
exceeding the GSE limit for certain markets.
Servicing Fee Framework
The servicing fee for loans serviced by Chase and Shellpoint (93%
of the mortgage pool by balance) will be based on a step-up
incentive fee structure with a monthly base fee of $20 per loan and
additional fees for servicing delinquent and defaulted loans. All
other servicers will be paid a monthly flat servicing fee equal to
one-twelfth of 0.25% of the remaining principal balance of the
mortgage loans.
While this fee structure is common in non-performing mortgage
securitizations, it is unique to rated prime mortgage
securitizations which typically incorporate a flat 25 basis point
servicing fee rate structure. By establishing a base servicing fee
for performing loans that increases with the delinquency of loans,
the fee-for-service structure aligns monetary incentives to the
servicer with the costs of the servicer. The servicer receives
higher fees for labor-intensive activities that are associated with
servicing delinquent loans, including loss mitigation, than they
receive for servicing a performing loan, which is less
labor-intensive. The fee-for-service compensation is reasonable and
adequate for this transaction because it better aligns the
servicer's costs with the deal's performance. Furthermore, higher
fees for the more labor-intensive tasks make the transfer of these
loans to another servicer easier, should that become necessary. By
contrast, in typical RMBS transactions a servicer can take actions,
such as modifications and prolonged workouts, that increase the
value of its mortgage servicing rights.
The incentive structure includes an initial monthly base servicing
fee of $20 for all performing loans and increases according to the
delinquent and incentive fee schedules outlined in the exhibit.
The delinquent and incentive servicing fees will be deducted from
the available distribution amount and Class B-6 net WAC. The Class
B-6 is first in line to absorb any increase in servicing costs
above the base servicing fee. Once the Class B-6 is written off,
the Class B-5 will absorb any increase in servicing costs. The
transaction does not have a servicing fee cap, so, in the event of
a servicer replacement, any increase in the base servicing fee
beyond the current fee will be paid out of the available
distribution amount.
Third-party Review and Reps & Warranties
Five third party review (TPR) firms verified the accuracy of the
loan-level information that Moody's received from the sponsor.
These firms conducted detailed credit, valuation, regulatory
compliance and data integrity reviews on 100% of the mortgage pool.
The TPR results indicated compliance with the originators'
underwriting guidelines for the vast majority of loans, no material
compliance issues, and no appraisal defects. The loans that had
exceptions to the originators' underwriting guidelines had strong
documented compensating factors such as low DTIs, low LTVs, high
reserves, high FICOs, or clean payment histories. The TPR firms
also identified minor compliance exceptions for reasons such as
inadequate RESPA disclosures (which do not have assignee liability)
and TILA/RESPA Integrated Disclosure (TRID) violations related to
fees that were out of variance but then were cured and disclosed.
Moody's did not make any adjustments to its expected or Aaa (sf)
loss levels due to the TPR results.
JPMMT 2018-LTV1's R&W framework is in line with that of other JPMMT
transactions where an independent reviewer is named at closing, and
costs and manner of review are clearly outlined at issuance. Its
review of the R&W framework takes into account the financial
strength of the R&W providers, scope of R&Ws (including qualifiers
and sunsets) and enforcement mechanisms.
The R&W providers vary in financial strength. The sponsor, J.P.
Morgan Mortgage Acquisition Corp. (JPMMAC), is the R&W provider for
approximately 2% (by loan balance) of the pool. Moody's made no
adjustments to the loans for which JPMMAC provided R&Ws since it is
an affiliate of JPMorgan Chase Bank, N.A. (rated Aa2). In contrast,
the rest of the R&W providers are unrated and/or financially weaker
entities and Moody's applied an adjustment to the loans for which
these entities provided R&Ws. JPMMAC will not backstop any R&W
providers who may become financially incapable of repurchasing
mortgage loans. JPMMAC is the R&W provider for loans originated by
FirstBank of Colorado, Guaranteed Rate Affinity, Inc., NexBank SSB
and Western Bancorp.
For loans that JPMMAC acquired via the MAXEX platform, MAXEX under
the assignment, assumption and recognition agreement with JPMMAC,
will make the R&Ws. The R&Ws provided by MAXEX to JPMMAC and
assigned to the trust are in line with the R&Ws found in the JPMMT
transactions. Five Oaks Acquisition Corp. will backstop the
obligations of MaxEx with respect to breaches of the mortgage loan
representations and warranties made by MaxEx.
Trustee & Master Servicer
The transaction trustee is U.S. Bank Trust National Association.
The custodian, paying agent, and cash management functions will be
performed by Wells Fargo Bank. In addition, as master servicer,
Wells Fargo is responsible for servicer oversight, the termination
of servicers and the appointment of successor servicers. Wells
Fargo is committed to act as successor servicer if no other
successor servicer can be engaged.
Tail Risk & Subordination Floor
This deal has a standard shifting-interest structure, with a
subordination floor to protect against losses that occur late in
the life of the pool when relatively few loans remain (tail risk).
When the total senior subordination is less than 1.85% of the
original pool balance, the subordinate bonds do not receive any
principal and all principal is then paid to the senior bonds. In
addition, if the subordinate percentage drops below 12.00% of
current pool balance, the senior distribution amount will include
all principal collections and the subordinate principal
distribution amount will be zero. The subordinate bonds themselves
benefit from a floor. When the total current balance of a given
subordinate tranche plus the aggregate balance of the subordinate
tranches that are junior to it amount to less than 1.15% of the
original pool balance, those tranches do not receive principal
distributions. Principal those tranches would have received are
directed to pay more senior subordinate bonds pro-rata.
Transaction Structure
The transaction uses the shifting interest structure in which the
senior bonds benefit from a number of protections. Funds collected,
including principal, are first used to make interest payments to
the senior bonds. Next, principal payments are made to the senior
bonds. Next, available distribution amounts are used to reimburse
realized losses and certificate write-down amounts for the senior
bonds (after subordinate bond have been reduced to zero, i.e. the
credit support depletion date). Finally, interest and then
principal payments are paid to the subordinate bonds in sequential
order.
Realized losses are allocated in a reverse sequential order, first
to the lowest subordinate bond. After the balance of the
subordinate bonds is written off, losses from the pool begin to
write off the principal balance of the senior support bond, and
finally losses are allocated to the super senior bonds.
In addition, the pass-through rate on the bonds is based on the net
WAC as reduced by the sum of (i) the reviewer annual fee rate and
(ii) the capped trust expense rate. In the event that there is a
small number of loans remaining, the last outstanding bonds' rate
can be reduced to zero.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
KKR CLO 15: Moody's Assigns Ba3 Rating on $24.25MM Class E-R Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
CLO refinancing notes issued by KKR CLO 15 Ltd.:
Moody's rating action is as follows:
US$245,000,000 Class A-1-R Senior Secured Floating Rate Notes due
2032 (the "Class A-1-R Notes"), Assigned Aaa (sf)
US$15,000,000 Class A-2-R Senior Secured Floating Rate Notes due
2032 (the "Class A-2-R Notes"), Assigned Aaa (sf)
US$40,500,000 Class B-R Senior Secured Floating Rate Notes due 2032
(the "Class B-R Notes"), Assigned Aa2 (sf)
US$19,750,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2032 (the "Class C-R Notes"), Assigned A2 (sf)
US$24,250,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2032 (the "Class D-R Notes"), Assigned Baa3 (sf)
US$23,500,000 Class E-R Senior Secured Deferrable Floating Rate
Notes due 2032 (the "Class E-R Notes"), Assigned Ba3 (sf)
US$4,000,000 Class F-R Senior Secured Deferrable Floating Rate
Notes due 2032 (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.
KKR Financial Advisors II, LLC manages the CLO. It directs the
selection, acquisition, and disposition of collateral on behalf of
the Issuer.
RATINGS RATIONALE
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 November 29, 2018 in
connection with the refinancing of all classes of the secured notes
previously issued on September 14, 2016. On the Refinancing Date,
the Issuer used proceeds from the issuance of the Refinancing Notes
to redeem in full the Refinanced Original Notes.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; and changes to the
overcollateralization test levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Performing par and principal proceeds balance: $400,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2875
Weighted Average Spread (WAS): 3.20%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 9.0 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
The Credit Rating for KKR CLO 15 Ltd. was assigned in accordance
with Moody's existing Methodology entitled "Moody's Global Approach
to Rating Collateralized Loan Obligations," dated August 31, 2017.
Please note that on November 14, 2018, Moody's released a Request
for Comment, in which it has requested market feedback on potential
revisions to its Methodology for Collateralized Loan Obligations.
If the revised Methodology is implemented as proposed, Moody's does
not expect the changes to affect the Credit Rating on KKR CLO 15
Ltd. Please refer to Moody's Request for Comment, titled "Proposed
Update to Moody's Global Approach to Rating Collateralized Loan
Obligations," for further details regarding the implications of the
proposed Methodology revisions on certain Credit Ratings.
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.
LCM XVI: S&P Rates $28MM Class E-R2 Debt 'BB-'
----------------------------------------------
S&P Global Ratings assigned its ratings to the class X-R, A-1A-R,
A-1B-R, A-2-R, B-R2, C-R2, D-R2, and E-R2 replacement notes from
LCM XVI L.P./LCM XVI LLC, a collateralized loan obligation,
originally issued in June 2014 and partially refinanced in June
2017, that is managed by LCM Asset Management LLC.
On the Dec. 4, 2018, refinancing date, the proceeds from the
replacement notes issuance were used to redeem the original notes.
Therefore, S&P withdrew its ratings on the original notes in line
with their full redemption, and it is assigning ratings to the
replacement notes.
The replacement notes are being issued via a supplemental
indenture. Based on provisions in the supplemental indenture:
-- The transaction will be collateralized by at least 92.5% senior
secured loans, with a minimum of 85.0% of the loan issuers required
to be based in the U.S. or Canada.
-- A maximum of 95.0% of the loans in the collateral pool can be
covenant-lite.
-- The reinvestment period will be reinstated, now ending Oct. 15,
2023.
-- The stated maturity will be extended by 5.25 years to Oct. 15,
2031.
-- The non-call period will be re-established and ending Oct. 15,
2020.
-- New class X-R notes will be issued and are expected to be
repaid with interest proceeds.
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
LCM XVI L.P./LCM XVI LLC
Replacement class Rating Amount (mil. $)
X-R AAA (sf) 7.45
A-1A-R AAA (sf) 265.00
A-1B-R AAA (sf) 7.60
A-2-R AAA (sf) 166.60
B-R2 AA (sf) 94.30
C-R2 (deferrable) A (sf) 45.70
D-R2 (deferrable) BBB- (sf) 36.80
E-R2 (deferrable) BB- (sf) 28.00
RATINGS WITHDRAWN
LCM XVI L.P./LCM XVI LLC
Original Class To From
A-R NR AAA (sf)
B-R NR AA (sf)
C-R (deferrable) NR A (sf)
D-R (deferrable) NR BBB (sf)
E (deferrable) NR BB- (sf)
NR--Not rated.
MERRILL LYNCH 1997-C2: Fitch Affirms Bsf Rating on Class G Certs
----------------------------------------------------------------
Fitch Ratings has affirmed three classes of Merrill Lynch Mortgage
Trust's commercial mortgage pass-through certificates, series
1997-C2.
KEY RATING DRIVERS
Stable Loss Expectations: Loss expectations remain consistent with
Fitch's last rating action; however, due to paydown and continued
amortization, Fitch deems it likely that class G will repay in the
next six months from scheduled amortization.
Increased Credit Enhancement: Although credit enhancement has
improved since Fitch's last rating action from two loan payoffs and
continued amortization, the affirmation reflects the concentration
and adverse selection with one underperforming loan remaining in
the pool. Realized losses incurred to date total 3.4% of the
original pool balance. Interest shortfalls are currently affecting
classes H through K.
Rating Cap/Adverse Selection: The pool is highly concentrated with
only one loan remaining. The remaining loan, Northlake Tower
Festival, which is secured by a 330,375 square foot community
shopping center located in Tucker, GA, is considered a Fitch Loan
of Concern due to declining performance for several years; however,
the loan has low leverage. Due to the quality of the remaining
collateral the rating of class G is capped at 'Bsf'.
RATING SENSITIVITIES
The revision of the Outlook on class G to Stable from Negative
reflects the minimal remaining class balance, expected continued
paydown to the class and low leverage of the remaining collateral.
Further rating changes to this class are considered unlikely but
could be possible if the remaining loan defaults prior to the
repayment of this class. Classes H and J will remain at 'Dsf' due
to realized losses.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third party due diligence was provided or reviewed in relation
to this rating.
Fitch has affirmed and revised Rating Outlook to the following
ratings:
-- $357,112 class G at 'Bsf'; Outlook to Stable from Negative;
-- $9.3 million class H at 'Dsf'; RE 50%;
-- $0 class J at 'Dsf'; RE 0%.
The class A-1, A-2, B, C, D, E and F certificates have paid in
full. Fitch does not rate the class E and K certificates. Fitch
previously withdrew the rating on the interest-only class IO
certificates.
MESA GLOBAL 2002-1: Moody's Hikes Class B-1 Debt Rating to B2
-------------------------------------------------------------
Moody's Investors Service has upgraded the rating of one tranche
from one transaction, backed by Subprime loans, issued by MESA
2002-1 Global Issuance Company.
Complete rating actions are as follows:
Issuer: MESA 2002-1 Global Issuance Company
Cl. B-1, Upgraded to B2 (sf); previously on Jul 22, 2009 Downgraded
to Caa3 (sf)
RATINGS RATIONALE
The rating upgrade is primarily due to an increase in the credit
enhancement available to the bond and reflects the recent
performance and Moody's updated loss expectation on the underlying
pool.
In its prior analysis of this transaction, Moody's used a static
approach in which Moody's compared the total credit enhancement for
a bond, including excess spread, subordination,
overcollateralization, and other external support, if any, to its
expected losses on the mortgage pool supporting that bond. Moody's
has updated its approach to include a cash flow analysis, wherein
Moody's runs several different loss levels, loss timing, and
prepayment scenarios using its scripted cash flow waterfalls to
estimate the losses to the different bonds under these scenarios.
The rating action also reflects this cash flow analysis.
The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in January 2017.
The Credit Rating for MESA 2002-1 Global Issuance Company Cl. B-1
was assigned in accordance with Moody's existing Methodology
entitled "US RMBS Surveillance Methodology," dated 1/31/2017.
Please note that on 11/14/2018, Moody's released a Request for
Comment, in which it has requested market feedback on potential
revisions to its Methodology for pre-2009 US RMBS Prime Jumbo,
Alt-A, Option ARM, Subprime, Scratch and Dent, Second Lien and
Manufactured Housing transactions. If the revised Methodology is
implemented as proposed, the Credit Rating on MESA 2002-1 Global
Issuance Company Cl. B-1 is not expected to be affected. Please
refer to Moody's Request for Comment, titled "Proposed Update to US
RMBS Surveillance Methodology," for further details regarding the
implications of the proposed Methodology revisions on certain
Credit Ratings.
Factors that would lead to an upgrade or downgrade of the rating:
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 3.7% in October 2018 from 4.1% in
October 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 this transaction.
MILL CITY 2018-4: DBRS Finalizes B(low) Rating on Class B2 Notes
----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the Mortgage Backed
Securities, Series 2018-4 (the Notes) issued by Mill City Mortgage
Loan Trust 2018-4 (the Trust) as follows:
-- $60.7 million Class A1A at AAA (sf)
-- $317.1 million Class A1B at AAA (sf)
-- $377.9 million Class A1 at AAA (sf)
-- $410.8 million Class A2 at AA (sf)
-- $450.3 million Class A3 at A (sf)
-- $485.8 million Class A4 at BBB (sf)
-- $33.0 million Class M1 at AA (sf)
-- $39.5 million Class M2 at A (sf)
-- $35.5 million Class M3 at BBB (sf)
-- $41.7 million Class B1 at BB (low) (sf)
-- $36.7 million Class B2 at B (low) (sf)
Classes A1, A2, A3 and A4 are exchangeable notes. These classes can
be exchanged for combinations of exchange notes as specified in the
offering documents.
The AAA (sf) ratings on the Notes reflect 39.80% of credit
enhancement provided by subordinated notes in the pool. The AA
(sf), A (sf), BBB (sf), BB (low) (sf) and B (low) (sf) ratings
reflect 34.55%, 28.25%, 22.60%, 15.95% and 10.10% 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, seasoned, performing and re-performing residential
mortgages funded by the issuance of the Notes. The Notes are backed
by 3,214 loans with a total principal balance of approximately
$627,658,650 as of the Cut-Off Date (October 31, 2018).
The loans are approximately 132 months seasoned. As of the Cut-Off
Date, 90.7% of the pool is current, 4.4% is 30 days delinquent,
1.0% is 60 days to 89 days delinquent and 0.5% is 90+ days
delinquent under the Mortgage Bankers Association delinquency
method; 3.3% are in bankruptcy. Approximately 35.1% of the pool has
been zero times 30 (0 x 30) days delinquent for the past 24 months,
61.2% has been 0 x 30 for the past 12 months and 75.0% has been 0 x
30 for the past six months.
Modified loans comprise 78.5% of the portfolio. The modifications
happened more than two years from the Cut-Off Date for 71.4% of the
modified loans. Within the pool, 1,310 loans have
non-interest-bearing deferred amounts, which equates to 10.1% of
the total principal balance. In accordance with the Consumer
Financial Protection Bureau Qualified Mortgage (QM) rules, 7.1% of
the loans are designated as QM Safe Harbor, 0.1% as QM Rebuttable
Presumption and 0.9% as Non-QM. Approximately 91.8% of the loans
are not subject to the QM rules.
Approximately 4.7% of the pool comprises non-first-lien loans.
Through a series of transactions, Mill City Holdings, LLC (Mill
City) will acquire the mortgage loans on the Closing Date. Prior to
the Closing Date, the loans are being held in one or more trusts
that acquired the mortgage loans between May 2012 and September
2018. Such trusts are entities of which the Representation Provider
or an affiliate thereof holds an indirect interest. Upon acquiring
the loans, Mill City, through a wholly owned subsidiary (the
Depositor), will contribute loans to the Trust. As the Sponsor,
Mill City, through a majority-owned affiliate, will acquire and
retain a 5.0% eligible vertical interest in each class of
securities to be issued (other than any residual certificates) to
satisfy the credit risk retention requirements under Section 15G of
the "Securities Exchange Act of 1934" and the regulations
promulgated thereunder. These loans were originated and previously
serviced by various entities through purchases in the secondary
market.
As of the Cut-Off Date, the loans are serviced by Shell point
Mortgage Servicing (81.8%); Fay Servicing, LLC (15.4%); and Select
Portfolio Servicing, Inc. (2.9%).
There will not be any advancing of delinquent principal or interest
on any mortgages by the servicers or any other party to the
transaction; however, the servicers are obligated to make advances
in respect of taxes and insurance, reasonable costs and expenses
incurred in the course of servicing and disposing of properties.
The transaction employs a sequential-pay cash flow structure.
Principal proceeds can be used to cover interest shortfalls on the
Notes, but such shortfalls on Class M2 and more subordinate bonds
will not be paid until the more senior classes are retired.
The lack of principal and interest advances on delinquent mortgages
may increase the possibility of periodic interest shortfalls to the
Note holders; however, principal proceeds can be used to pay
interest to the Notes sequentially and subordination levels are
greater than expected losses, which may provide for timely payment
of interest to the rated Notes.
A satisfactory third-party due diligence review was performed on
the portfolio with respect to regulatory compliance, payment
history and data capture as well as a title and lien review.
Updated broker price opinions or exterior appraisals were provided
for all but 21 loans in the pool; however, a reconciliation was not
performed on the updated values.
The transaction employs a relatively weak representations and
warranties framework that includes a 13-month sunset, an unrated
provider (CVI CVF III Lux Master S.à.r.l.), certain knowledge
qualifiers and fewer mortgage loan representations relative to DBRS
criteria for seasoned pools. Mitigating factors include (1)
significant loan seasoning, (2) a comprehensive due diligence
review and (3) a representations and warranties enforcement
mechanism, including a loss review trigger and a breach reserve
account.
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 Notes. The DBRS ratings of A (sf), BBB (sf), BB (low) (sf)
and B (low) (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 Notes.
MONROE CAPITAL 2015-1: Moody's Lowers Class F Notes Rating to B3
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Monroe Capital BSL CLO 2015-1, Ltd.:
US$8,000,000 Class F Mezzanine Secured Deferrable Floating Rate
Notes Due 2027, Downgraded to B3 (sf); previously on May 28, 2015
Assigned B2 (sf)
Moody's also affirmed the ratings on the following notes:
US$252,000,000 Class A-R Senior Secured Floating Rate Notes Due
2027, Affirmed Aaa (sf); previously on August 22, 2017 Assigned Aaa
(sf)
US$48,000,000 Class B-R Senior Secured Floating Rate Notes Due
2027, Affirmed Aa1 (sf); previously on August 22, 2017 Assigned Aa1
(sf)
US$21,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes Due 2027, Affirmed A2 (sf); previously on August 22, 2017
Assigned A2 (sf)
US$24,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes Due 2027, Affirmed Baa3 (sf); previously on August 22, 2017
Assigned Baa3 (sf)
US$22,000,000 Class E Mezzanine Secured Deferrable Floating Rate
Notes Due 2027, Affirmed Ba3 (sf); previously on May 28, 2015
Assigned Ba3 (sf)
Monroe Capital BSL CLO 2015-1, Ltd., issued in May 2015 and
partially refinanced in August 2017, is a collateralized loan
obligation backed primarily by a portfolio of senior secured loans.
The transaction's reinvestment period will end in May 2019.
RATINGS RATIONALE
The rating downgrade on the Class F notes is primarily due to
deterioration of the weighted average rating factor (WARF) and a
decrease in the weighted average spread (WAS) of the underlying
loan portfolio since November 2017. Based on the trustee's November
2018 report, the WARF is currently reported at 3129, versus the
November 2017 level of 2939, and is failing its trigger level of
2945. Over the same period, WAS has decreased, and is currently
reported at 3.82%, versus the November 2017 level of 4.02%.
Notwithstanding the above deterioration, the overcollateralization
(OC) ratios of the rated notes have modestly improved since
November 2017. The OC ratios for the Class A/B, Class C, Class D
and Class E notes are reported at 133.00%, 124.30%, 115.66% and
108.72%, respectively, in November 2018, versus November 2017
levels of 132.76%, 124.08%, 115.44% and 108.52%, respectively.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analyzed the collateral pool as having a performing par and
principal proceeds balance of $398.51 million, no defaulted par, a
weighted average default probability of 23.82% (implying a WARF of
3190), a weighted average recovery rate upon default of 47.53%, a
diversity score of 51 and a weighted average spread of 3.84%
(before accounting for LIBOR floors).
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.
The Credit Rating for Monroe Capital BSL CLO 2015-1, Ltd. was
assigned in accordance with Moody's existing Methodology entitled
"Moody's Global Approach to Rating Collateralized Loan
Obligations," dated August 31, 2017. Please note that on November
14, 2018, Moody's released a Request for Comment, in which it has
requested market feedback on potential revisions to its Methodology
for Collateralized Loan Obligations. If the revised Methodology is
implemented as proposed, Moody's does not expect the changes to
affect the Credit Rating on Monroe Capital BSL CLO 2015-1, Ltd.
Please refer to Moody's Request for Comment, titled "Proposed
Update to Moody's Global Approach to Rating Collateralized Loan
Obligations," for further details regarding the implications of the
proposed Methodology revisions on certain Credit Ratings.
Factors that would lead to an upgrade or downgrade of the ratings:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to
uncertainty about credit conditions in the general economy.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO documentation
by different transactional parties owing to embedded ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current expectations,
can lead to positive CLO performance. Conversely, a negative shift
in credit quality or performance of the collateral can have adverse
consequences for CLO performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will commence and at what pace. Deleveraging of the CLO
could accelerate owing to high prepayment levels in the loan market
and/or collateral sales by the manager, which could have a
significant impact on the notes' ratings. Note repayments that are
faster than Moody's current expectations will usually have a
positive impact on CLO notes, beginning with those with the highest
payment priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets could result in volatility in the deal's
overcollateralization levels. Further, the timing of recovery
realization and whether the manager decides to work out or sell
defaulted assets create additional uncertainty. Realization of
recoveries that are either materially higher or lower than assumed
in Moody's analysis would impact the CLO positively or negatively,
respectively.
6) Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which could
lengthen owing to any decision by the manager to reinvest into new
issue loans or loans with longer maturities, or participate in
amend-to-extend offerings. Life extension can increase the default
risk horizon and assumed cumulative default probability of CLO
collateral.
7) Weighted Average Spread (WAS): CLO performance can be sensitive
to WAS, which is a key factor driving the amount of excess spread
available as credit enhancement when a deal fails its
over-collateralization or interest coverage tests. A decrease in
excess spread, including as a result of losing the net interest
benefit of LIBOR floors, or because market conditions make it
difficult for the deal to source assets of appropriate credit
quality in order to maintain its WAS target, would reduce the
effective credit enhancement available for the notes.
8) Exposure to assets with low credit quality and weak liquidity:
The historical default rate of assets rated Caa3 with a negative
outlook, Caa2 or Caa3 on review for downgrade or the worst Moody's
speculative grade liquidity (SGL) rating, SGL-4, is higher than the
average. Exposure to such assets subject the notes to additional
risks if these assets default.
MORGAN STANLEY 2007-HQ11: Moody's Affirms C Rating on 2 Tranches
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three classes
of Morgan Stanley Capital I Inc 2007-HQ11 as follows:
Cl. B, Affirmed Caa3 (sf); previously on Nov 30, 2017 Downgraded to
Caa3 (sf)
Cl. C, Affirmed C (sf); previously on Nov 30, 2017 Downgraded to C
(sf)
Cl. X*, Affirmed C (sf); previously on Nov 30, 2017 Affirmed C (sf)
* Reflects interest-only classes
RATINGS RATIONALE
The ratings on the P&I classes were affirmed because the ratings
are consistent with Moody's expected loss plus realized losses.
Three loans, representing 62% of the pool balance, are already real
estate owned. Additionally, Class C, has already experienced a 63%
realized loss as result of previously liquidated loans.
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 38.4% of the
current pooled balance, compared to 67.6% at Moody's last review.
Moody's base expected loss plus realized losses is now 11.2% of the
original pooled balance, compared to 11.7% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating interest-only classes 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 Credit Rating for Morgan Stanley Capital I Inc 2007-HQ11, Cl.
X, was assigned in accordance with Moody's existing Methodology
entitled "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" dated June 2017. Please note that on
November 14, 2018, Moody's released a Request for Comment, in which
it has requested market feedback on potential revisions to its
Methodology for rating structured finance interest-only (IO)
securities. If the revised Methodology is implemented as proposed,
the Credit Rating on Morgan Stanley Capital I Inc 2007-HQ11, Cl. X,
is unlikely to be impacted. Please refer to Moody's Request for
Comment, titled "Proposed Update to Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" for further
details regarding the implications of the proposed Methodology
revisions on certain Credit Ratings.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 87.2% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then applies the aggregate loss
from specially serviced to the most junior class and the recovery
as a pay down of principal to the most senior class.
DEAL PERFORMANCE
As of the November 15, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $23.8 million
from $2.4 billion at securitization. The certificates are
collateralized by 6 mortgage loans ranging in size from less than
1% to 31.9% 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 3 at Moody's last review.
There are no loans 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-eight loans have been liquidated from the pool, resulting in
an aggregate realized loss of $261.6 million (for an average loss
severity of 45.8%). Five loans, constituting 87.2% of the pool, are
currently in special servicing. The largest specially serviced loan
is the Southbridge Plaza Loan ($7.6 million -- 31.9% of the pool),
which is secured by an approximately 33,500 square foot (SF), one
story retail center located in Dumfries, Virginia approximately 30
miles southwest of Washington, D.C. The center is shadow anchored
by a non-collateral Walmart Supercenter. The loan transferred to
Special Servicing in June 2015 for imminent payment default, the
property was 100% occupied at that time but was unable to generate
enough cashflow to cover it's debt service. The Trust took title to
the property in Decemeber 2017. As per the September 2018 rent roll
the property was 82% leased.
The second largest specially serviced loan is the Country Brook
Village Loan ($4.2 million -- 17.8% of the pool), which is secured
by a 52,000 SF retail center located in Garland, Texas
approximately 26 miles from downtown Dallas. The loan transferred
to Special Servicing in March 2017 due to maturity default, as the
borrower was unable to refinance the property after occupancy
declined. A modification was approved extending the loan maturity
date to July 2019. As per the March 2018 rent roll the property was
78% leased compared to 63% leased as of December 2017.
The third largest specially serviced loan is the Staples Center at
Northlake Village ($4.2 million -- 17.7% of the pool), which is
secured by a 31,800 SF retail strip center located Charlotte, NC
approximately 9 miles north of the Charlotte central business
district. The property is part of a larger retail center
(non-collateral) known as Northlake Village. As per the September
2018 rent roll the property was 96.2% leased with Staples as the
anchor tenant and three inline tenants. The Staples lease runs
through Novemeber 2020. The loan transferred to Special Servicing
in January 2017 after the borrower failed to procure financing at
loan maturity. The Trust took title in July 2018.
The remaining 2 specially serviced loans are secured by a retail
and office property. Moody's estimates an aggregate $8.5 million
loss for the specially serviced loans (41.1% expected loss on
average).
As of the November 15, 2018 remittance statement cumulative
interest shortfalls were $19.7 million. Moody's anticipates
interest shortfalls will continue because of the exposure to
specially serviced loans and/or modified loans. Interest shortfalls
are caused by special servicing fees, including workout and
liquidation fees, appraisal entitlement reductions (ASERs), loan
modifications and extraordinary trust expenses.
The one performing loan, the Walgreens -- Indianapolis Loan ($3.05
million -- 12.8% of the pool), which is secured by a 13,905 square
foot stand-alone property located in Fishers, Indiana approximately
18 miles northeast of Indianapolis. The property which is currently
vacant, is 100% leased to Walgreens on a long term triple-net lease
with termination options every 5 years beginning in November 2019.
The loan has amortized over 22% since securitization. Moody's LTV
and stressed DSCR are 140% and 0.73X, respectively, compared to
130% and 0.79X at last review.
MORGAN STANLEY 2016-C32: DBRS Confirms BB Rating on Class F Certs
-----------------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2016-C32 issued by Morgan Stanley
Bank of America Merrill Lynch Trust 2016-C32 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-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class B at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class C at AA (sf)
-- Class X-D at A (low) (sf)
-- Class D at BBB (high) (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction, which has remained generally in line with DBRS's
expectations since issuance. The collateral consists of 56
fixed-rate loans secured by 76 commercial and multifamily
properties. As of the October 2018 remittance, all loans remain in
the pool with an aggregate principal balance of $897.4 million,
representing a collateral reduction of 1.1% since issuance. At
issuance, the transaction had a DBRS Term Debt Service Coverage
Ratio (DSCR) and DBRS Debt Yield of 1.93 times (x) and 9.7%,
respectively. Fifty-two loans (94.2% of the pool) have reported
financials since issuance, including a YE2017 DSCR and Debt Yield
of 1.92x and 9.8%, respectively. Based on the most recent financial
reporting provided, 14 loans in the top 15, representing 61.5% of
the pool balance, are reporting a healthy weighted-average (WA)
in-place DSCR of 2.10x, reflective of 6.5% net cash flow growth
over the DBRS issuance WA DSCR figure of 1.96x.
The pool is concentrated by property type, as 24 loans (45.8% of
the pool) are secured by retail properties. However, based on the
most recent financial reporting provided, these loans are reporting
stable performance metrics with a WA DSCR and Debt Yield of 1.85x
and 9.9%, respectively. The pool is also concentrated by loan size,
as the top ten and top 15 loans represent 50.4% and 64.1% of the
pool, respectively.
Four loans, representing 6.8% of the pool balance, are on the
servicer's watch list. Two of these loans (4.9% of the pool) are
flagged for outstanding deferred maintenance items, and the
remaining two loans (1.9% of the pool) are being monitored for
performance-related issues. Southeast Retail Portfolio (Prospectus
ID#27; 1.1% of the pool) is secured by three retail properties
located in South Carolina, Georgia and Virginia, and the loan was
added to the watch list due to the bankruptcy announcement for
Southeastern Grocers, affecting two of the three portfolio
properties. In March 2018, Southeastern Grocers (parent company of
Winn Dixie and BI-LO) filed for Chapter 11 bankruptcy protection
and announced that it would be closing 94 of its underperforming
stores. Although the subject has BI-LO stores at two of the
portfolio properties, neither of these locations is currently on
the closure list. For further information on this loan and the
pivotal watch list loans in the pool, please see the loan
commentary in the DBRS Viewpoint platform.
At issuance, DBRS shadow-rated two loans, Hilton Hawaiian Village
(Prospectus ID#1; 7.0% of the pool balance) and Potomac Mills
(Prospectus ID#5; 5.8% of current pool balance), investment grade,
supported by the loans' strong credit metrics, strong sponsorship
strength and historically stable collateral performance. With this
review, DBRS confirms that the characteristics of these loans
remain consistent with the investment-grade shadow rating.
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 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 2017-CLS: Moody's Affirms B3 on Class F Certs
--------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on six classes
in Morgan Stanley Capital I Trust 2017-CLS, Commercial Mortgage
Pass-Through Certificates, Series 2017-CLS, as follows:
Cl. A, Affirmed Aaa (sf); previously on Dec 18, 2017 Definitive
Rating Assigned Aaa (sf)
Cl. B, Affirmed Aa3 (sf); previously on Dec 18, 2017 Definitive
Rating Assigned Aa3 (sf)
Cl. C, Affirmed A3 (sf); previously on Dec 18, 2017 Definitive
Rating Assigned A3 (sf)
Cl. D, Affirmed Baa3 (sf); previously on Dec 18, 2017 Definitive
Rating Assigned Baa3 (sf)
Cl. E, Affirmed Ba3 (sf); previously on Dec 18, 2017 Definitive
Rating Assigned Ba3 (sf)
Cl. F, Affirmed B3 (sf); previously on Dec 18, 2017 Definitive
Rating Assigned B3 (sf)
RATINGS RATIONALE
The rating on the P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
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.
DEAL PERFORMANCE
As of the November 15, 2018 distribution date, the transaction's
aggregate certificate balance was $700.0 million, unchanged from
securitization. The certificates are collateralized by an
interest-only, floating rate, first-lien loan with an outstanding
balance of $700.0 million. In addition there are two mezzanine
loans totaling $140.0 million. The first lien loan is secured by
the borrower's fee simple interest in the Center for Life Science
building, a 21-story class A LEED Gold certified office and
laboratory property located in Boston's Longwood Medical area.
The property was developed between 2004 and 2008 and contains
704,159 square feet. Approximately 65% of the net rentable area
(NRA) is laboratory space while the remaining 35% is traditional
office space. The construction quality of the building is very high
and holds a LEED Gold status. The buildings mechanical and
laboratory infrastructure includes the necessary power and air
infrastructure to cater to life science tenants. The building also
has a dedicated heating and cooling plant, 14 air handlers, six
boilers, four chillers, three stand by generators, one life-safety
generator and 250 utility sub-meters.
As of June 2018, the property was 100% leased. The largest tenants
include: Beth Israel (51.5% of NRA), Children's Hospital Corp.
(22.4% of NRA), Dana-Farber Cancer Institute (7.2% of NRA), the
Immune Disease Institute, Inc. (7.1% of NRA) and Harvard College
(5.7% of NRA).
Moody's LTV and the stressed debt service coverage ratio (DSCR) are
113.9% and 0.78X, respectively, the same as at securitization.
NEUBERGER BERMAN 30: S&P Assigns Prelim BB- Rating on E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Neuberger
Berman Loan Advisers CLO 30 Ltd.'s floating-rate notes.
The note issuance is a collateralized loan obligation (CLO)
transaction backed by broadly syndicated speculative-grade (rated
'BB+' and lower) senior secured term loans. This is Neuberger
Berman Loan Advisers LLC's fourth CLO in 2018, which will bring its
total CLO assets under management to approximately $8.00 billion.
The preliminary ratings are based on information as of Dec. 4,
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;
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
Neuberger Berman Loan Advisers CLO 30 Ltd./Neuberger Berman Loan
Advisers CLO 30 LLC
Class Rating Amount mil. $)
A-1 AAA (sf) 300.00
A-2 NR 25.00
B AA (sf) 55.00
C (deferrable) A (sf) 32.50
D (deferrable) BBB- (sf) 27.50
E (deferrable) BB- (sf) 20.00
Subordinated notes NR 45.13
NR--Not rated.
NEW RESIDENTIAL 2018-5: DBRS Finalizes B(high) Rating on 10 Classes
-------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage-Backed Notes, Series 2018-5 (the Notes) to be issued by
New Residential Mortgage Loan Trust 2018-5 (NRMLT 2018-5 or the
Trust):
-- $279.8 million Class A at AAA (sf)
-- $279.8 million Class A-1 at AAA (sf)
-- $279.8 million Class A-IO at AAA (sf)
-- $279.8 million Class A-1A at AAA (sf)
-- $279.8 million Class A-1B at AAA (sf)
-- $279.8 million Class A-1C at AAA (sf)
-- $279.8 million Class A1-IOA at AAA (sf)
-- $279.8 million Class A1-IOB at AAA (sf)
-- $279.8 million Class A1-IOC at AAA (sf)
-- $305.7 million Class A-2 at AA (high) (sf)
-- $25.9 million Class B-1 at AA (high) (sf)
-- $25.9 million Class B1-IO at AA (high) (sf)
-- $25.9 million Class B-1A at AA (high) (sf)
-- $25.9 million Class B-1B at AA (high) (sf)
-- $25.9 million Class B-1C at AA (high) (sf)
-- $25.9 million Class B-1D at AA (high) (sf)
-- $25.9 million Class B1-IOA at AA (high) (sf)
-- $25.9 million Class B1-IOB at AA (high) (sf)
-- $25.9 million Class B1-IOC at AA (high) (sf)
-- $20.2 million Class B-2 at A (high) (sf)
-- $20.2 million Class B2-IO at A (high) (sf)
-- $20.2 million Class B-2A at A (high) (sf)
-- $20.2 million Class B-2B at A (high) (sf)
-- $20.2 million Class B-2C at A (high) (sf)
-- $20.2 million Class B-2D at A (high) (sf)
-- $20.2 million Class B2-IOA at A (high) (sf)
-- $20.2 million Class B2-IOB at A (high) (sf)
-- $20.2 million Class B2-IOC at A (high) (sf)
-- $20.8 million Class B-3 at BBB (high) (sf)
-- $20.8 million Class B3-IO at BBB (high) (sf)
-- $20.8 million Class B-3A at BBB (high) (sf)
-- $20.8 million Class B-3B at BBB (high) (sf)
-- $20.8 million Class B-3C at BBB (high) (sf)
-- $20.8 million Class B-3D at BBB (high) (sf)
-- $20.8 million Class B3-IOA at BBB (high) (sf)
-- $20.8 million Class B3-IOB at BBB (high) (sf)
-- $20.8 million Class B3-IOC at BBB (high) (sf)
-- $11.7 million Class B-4 at BB (high) (sf)
-- $11.7 million Class B-4A at BB (high) (sf)
-- $11.7 million Class B-4B at BB (high) (sf)
-- $11.7 million Class B-4C at BB (high) (sf)
-- $11.7 million Class B4-IOA at BB (high) (sf)
-- $11.7 million Class B4-IOB at BB (high) (sf)
-- $11.7 million Class B4-IOC at BB (high) (sf)
-- $8.1 million Class B-5 at B (high) (sf)
-- $8.1 million Class B-5A at B (high) (sf)
-- $8.1 million Class B-5B at B (high) (sf)
-- $8.1 million Class B-5C at B (high) (sf)
-- $8.1 million Class B-5D at B (high) (sf)
-- $8.1 million Class B5-IOA at B (high) (sf)
-- $8.1 million Class B5-IOB at B (high) (sf)
-- $8.1 million Class B5-IOC at B (high) (sf)
-- $8.1 million Class B5-IOD at B (high) (sf)
-- $19.8 million Class B-7 at B (high) (sf)
Classes A-IO, A1-IOA, A1-IOB, A1-IOC, B1-IO, B1-IOA, B1-IOB,
B1-IOC, B2-IO, B2-IOA, B2-IOB, B2-IOC, B3-IO, B3-IOA, B3-IOB,
B3-IOC, B4-IOA, B4-IOB, B4-IOC, B5-IOA, B5-IOB, B5-IOC and B5-IOD
are interest-only notes. The class balances represent notional
amounts.
Classes A, A-1A, A-1B, A-1C, A1-IOA, A1-IOB, A1-IOC, A-2, B-1A,
B-1B, B-1C, B-1D, B1-IOA, B1-IOB, B1-IOC, B-2A, B-2B, B-2C, B-2D,
B2-IOA, B2-IOB, B2-IOC, B-3A, B-3B, B-3C, B-3D, B3-IOA, B3-IOB,
B3-IOC, B-4A, B-4B, B-4C, B4-IOA, B4-IOB, B4-IOC, B-5A, B-5B, B-5C,
B-5D, B5-IOA, B5-IOB, B5-IOC, B5-IOD and B-7 are exchangeable
notes. These classes can be exchanged for combinations of initial
exchangeable notes as specified in the offering documents.
The AAA (sf) ratings on the Notes reflect the 29.20% of credit
enhancement provided by subordinated notes in the pool. The AA
(high) (sf), A (high) (sf), BBB (high) (sf), BB (high) (sf) and B
(high) (sf) ratings reflect 22.65%, 17.55%, 12.30%, 9.35% and 7.30%
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 seasoned
performing and re-performing first-lien residential mortgages. The
Notes are backed by 3,119 loans with a total principal balance of
$395,251,332 as of the Cut-Off Date (November 1, 2018).
The loans are significantly seasoned with a weighted-average (WA)
age of 159 months. As of the Cut-Off Date, 90.8% of the pool is
current, 9.2% is 30 days delinquent under the Mortgage Bankers
Association (MBA) delinquency method and 1.1% is in bankruptcy (all
bankruptcy loans are performing or 30 days delinquent).
Approximately 73.0% and 77.8% of the mortgage loans have been zero
times 30 days delinquent (0 x 30) for the past 24 months and 12
months, respectively, under the MBA delinquency method. The
portfolio contains 36.1% modified loans. The modifications happened
more than two years ago for 77.2% of the modified loans. As a
result of the seasoning of the collateral, none of the loans are
subject to the Consumer Financial Protection Bureau
Ability-to-Repay/Qualified Mortgage rules.
The Seller, NRZ Sponsor V LLC (NRZ), acquired the loans prior to
the Closing Date in connection with the termination of various
securitization trusts. Upon acquiring the loans, NRZ, through an
affiliate, New Residential Funding 2018-5 LLC (the Depositor), will
contribute the loans to the Trust. As the Sponsor, New Residential
Investment Corp., through a majority-owned affiliate, will acquire
and retain a 5% eligible vertical interest in each class of
securities to be issued (other than the residual notes) to satisfy
the credit risk retention requirements under Section 15G of the
“Securities Exchange Act of 1934” and the regulations
promulgated thereunder. These loans were originated and previously
serviced by various entities through purchases in the secondary
market.
As of the Cut-Off Date, 37.4% of the pool is serviced by Nationstar
Mortgage LLC, 29.1% of the pool is serviced by Shell point Mortgage
Servicing, 10.7% by Ocwen Loan Servicing, 8.7% by TIAA Bank, FSB,
5.9% Wells Fargo Bank, N.A., 3.6% by Specialized Loan Servicing,
LLC, 2.8% by Select Portfolio Servicing, Inc. and 1.8% by PNC
Mortgage. Nationstar will also act as the Master Servicer and SMS
will act as the Special Servicer.
The Seller will have the option to repurchase any loan that becomes
60 or more days delinquent under the MBA method or any real
estate-owned property acquired in respect of a mortgage loan at a
price equal to the principal balance of the loan (Optional
Repurchase Price), provided that such repurchases will be limited
to 10% of the principal balance of the mortgage loans as of the
Cut-Off Date.
Unlike other seasoned re-performing loan securitizations, the
Servicers in this transaction will advance principal and interest
on delinquent mortgages to the extent such advances are deemed
recoverable.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that is enhanced from a pre-crisis structure.
The ratings reflect transactional strengths that include underlying
assets that have significant seasoning, relatively clean payment
histories and robust loan attributes with respect to credit scores,
product types and loan-to-value ratios. Additionally, historically,
NRMLT securitizations have exhibited fast voluntary prepayment
rates.
The transaction employs a relatively weak representations and
warranties framework that includes an unrated representation
provider (NRZ), certain knowledge qualifiers and fewer mortgage
loan representations relative to DBRS criteria for seasoned pools.
Satisfactory third-party due diligence was performed on the pool
for regulatory compliance, title/lien, payment history and data
integrity. Updated Home Data Index and/or broker price opinions
were provided for the pool; however, a reconciliation was not
performed on the updated values.
Certain loans have missing assignments or endorsements as of the
Closing Date. Given the relatively clean performance history of the
mortgages and the operational capability of the servicers, DBRS
believes the risk of impeding or delaying foreclosure is remote.
Notes: All figures are in U.S. dollars unless otherwise noted.
NEW RESIDENTIAL 2018-5: Moody's Assigns B1 Rating on Cl. B-7 Debt
-----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 31
classes of notes issued by New Residential Mortgage Loan Trust
2018-5. The NRMLT 2018-5 transaction is a $395.3 million
securitization of first lien, seasoned performing and re-performing
fixed rate mortgage loans with weighted average seasoning of 160
months, a weighted average updated LTV ratio of 60.3% and a
weighted average updated FICO score of 703. Based on the OTS
methodology, 81.4% of the loans by scheduled balance have been
current every month in the past 24 months. Additionally, 36.1% of
the loans in the pool have been previously modified. New Penn
Financial, LLC d/b/a Shellpoint Mortgage Servicing, Nationstar
Mortgage LLC, Wells Fargo Bank, N.A., TIAA, FSB, Ocwen Loan
Servicing LLC, Select Portfolio Servicing, Inc., PNC Mortgage and
Specialized Loan Servicing, LLC will act as primary servicers.
Nationstar Mortgage will act as master servicer and successor
servicer and Shellpoint will act as the special servicer.
The complete rating action is as follows:
Issuer: New Residential Mortgage Loan Trust 2018-5
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-1A, Definitive Rating Assigned Aaa (sf)
Cl. A-1B, Definitive Rating Assigned Aaa (sf)
Cl. A-1C, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aa1 (sf)
Cl. B-1, Definitive Rating Assigned Aa2 (sf)
Cl. B-1A, Definitive Rating Assigned Aa2 (sf)
Cl. B-1B, Definitive Rating Assigned Aa2 (sf)
Cl. B-1C, Definitive Rating Assigned Aa2 (sf)
Cl. B-1D, Definitive Rating Assigned Aa2 (sf)
Cl. B-2, Definitive Rating Assigned A2 (sf)
Cl. B-2A, Definitive Rating Assigned A2 (sf)
Cl. B-2B, Definitive Rating Assigned A2 (sf)
Cl. B-2C, Definitive Rating Assigned A2 (sf)
Cl. B-2D, Definitive Rating Assigned A2 (sf)
Cl. B-3, Definitive Rating Assigned Baa2 (sf)
Cl. B-3A, Definitive Rating Assigned Baa2 (sf)
Cl. B-3B, Definitive Rating Assigned Baa2 (sf)
Cl. B-3C, Definitive Rating Assigned Baa2 (sf)
Cl. B-3D, Definitive Rating Assigned Baa2 (sf)
Cl. B-4, Definitive Rating Assigned Ba2 (sf)
Cl. B-4A, Definitive Rating Assigned Ba2 (sf)
Cl. B-4B, Definitive Rating Assigned Ba2 (sf)
Cl. B-4C, Definitive Rating Assigned Ba2 (sf)
Cl. B-5, Definitive Rating Assigned B2 (sf)
Cl. B-5A, Definitive Rating Assigned B2 (sf)
Cl. B-5B, Definitive Rating Assigned B2 (sf)
Cl. B-5C, Definitive Rating Assigned B2 (sf)
Cl. B-5D, Definitive Rating Assigned B2 (sf)
Cl. B-7, Definitive Rating Assigned B1 (sf)
RATINGS RATIONALE
Its losses on the collateral pool equal 5.80% in an expected
scenario and reach 26.85% at a stress level consistent with the Aaa
ratings on the senior classes. This is slightly lower than the
losses at provisional rating as 144 loans were dropped from the
pool and the pool composition improved slightly. Moody's based its
expected losses for the pool on its estimates of (1) the default
rate on the remaining balance of the loans and (2) the principal
recovery rate on the defaulted balances. The final expected losses
for the pool reflect the third party review (TPR) findings and its
assessment of the representations and warranties (R&Ws) framework
for this transaction. Also, the transaction contains a mortgage
loan sale provision, the exercise of which is subject to potential
conflicts of interest. As a result of this provision, Moody's
increased its expected losses for the pool.
To estimate the losses on the pool, Moody's used an approach
similar to its surveillance approach. Under this approach, Moody's
applies expected annual delinquency rates, conditional prepayment
rates loss severity rates and other variables to estimate future
losses on the pool. Its assumptions on these variables are based on
the observed performance of seasoned modified and non-modified
loans, the collateral attributes of the pool including the
percentage of loans that were delinquent in the past 24 months, and
the observed performance of recent New Residential Mortgage Loan
Trust issuances rated by Moody's. For this pool, Moody's used
default burnout assumptions similar to those detailed in its "US
RMBS Surveillance Methodology" for Alt-A loans originated before
2005. Moody's then aggregated the delinquencies and converted them
to losses by applying pool-specific lifetime default frequency and
loss severity assumptions.
Collateral Description
NRMLT 2018-5 is a securitization of seasoned performing and
re-performing residential mortgage loans which the seller, NRZ
Sponsor V LLC, has primarily purchased in connection with the
termination of various securitization trusts. Unlike prior NRMLT
transactions Moody's has rated, a significant percentage of the
collateral, 27.4% based on total balance, was sourced from a
portfolio acquisition rather than from terminated securitizations.
The transaction is comprised of 3,119 FRM loans. For the loans in
the pool, 63.9% by balance have never been modified and have been
performing while 36.1% of the loans were previously modified but
are now current and cash flowing.
The updated value of properties in this pool were provided by a
third party firm using a home data index (HDI) and/or an updated
broker price opinion (BPO). BPOs were provided for a sample of 938
out of the 3,119 properties contained within the securitization.
HDI values were provided for 2,181 of the properties contained
within the securitization. The weighted average updated LTV ratio
on the collateral is 60.31%, implying an average of 39.7% borrower
equity in the properties. The LTV is calculated using the lower of
the updated BPO and HDI when both values are available.
Third-Party Review and Representations & Warranties
Two third party due diligence providers, AMC and Recovco, conducted
a compliance review on a sample of 1,419 and 389 seasoned mortgage
loans, respectively, for the initial securitized pool. The
regulatory compliance review consisted of a review of compliance
with the federal Truth in Lending Act (TILA) as implemented by
Regulation Z, the federal Real Estate Settlement Procedures Act as
implemented by Regulation X, the disclosure requirements and
prohibitions of Section 50(a)(6), Article XVI of the Texas
Constitution, federal, state and local anti-predatory regulations,
federal and state specific late charge and prepayment penalty
regulations, and document review.
AMC found that 1,241 out of 1,419 loans had compliance exceptions
with 209 having rating agency grade C or D level exceptions.
Recovco identified 369 mortgage loans with grade B exceptions and 1
loan with grade D exception in its review of 389 loans. Also, based
on information provided by the seller, there were additional loans
were dropped from the securitization due to compliance exceptions.
The C or D level exceptions broadly fell into four categories:
missing final HUD-1 settlement statements/HUD errors, Texas
(TX50(a)(6)) cash-out loan violations, other state compliance
exceptions (including North Carolina CHL Tangible Net Benefit
violations), and missing documents or missing information.
Moody's applied a small adjustment to its loss severities to
account for the C or D level missing final HUD-1 settlement
statement and HUD errors. For these types of issues, borrowers can
raise legal claims in defense against foreclosure as a set off or
recoupment and win damages that can reduce the amount of the
foreclosure proceeds. Such damages can include up to $4,000 in
statutory damages, borrowers' legal fees and other actual damages.
Moody's also applied small adjustments to loss severities for
TX50(a)(6) violations, North Carolina CHL Tangible Net Benefit
exceptions, and other state law compliance exceptions. Moody's did
not apply an adjustment for missing documents or missing
information identified by the diligence provider in part because
Moody's separately received and assessed a title report and a
custodial report for the mortgage loans in the pool.
AMC and Recovco reviewed the findings of various title search
reports covering 1,412 and 426 mortgage loans respectively in the
preliminary sample population in order to confirm the first lien
position of the related mortgages. Overall, AMC's review confirmed
that 925 mortgages were in first lien position. For 486 of the
remaining loans reviewed by AMC, proof of first lien position could
only be confirmed by supplemental searches or using the final title
policy as of loan origination. For one loan, first lien position
could not be confirmed as it has a pending final title policy. This
loan will be removed from the pool if it is not confirmed. Recovco
reported that mortgage loans reviewed were in first-lien position
and for any of the remaining loans reviewed by Recovco, proof of
first lien position could only be confirmed using the final title
policy as of loan origination. Due to the title/lien results and
because the payment history review was only conducted on a sample
of the whole-loan purchased loans in the pool, Moody's applied an
adjustment to losses in its analysis.
The seller, NRZ Sponsor V LLC, is providing a representation and
warranty for missing mortgage files. To the extent that the
indenture trustee, master servicer, related servicer or depositor
has actual knowledge of a defective or missing mortgage loan
document or a breach of a representation or warranty regarding the
completeness of the mortgage file or the accuracy of the mortgage
loan documents, and such missing document, defect or breach is
preventing or materially delaying the (a) realization against the
related mortgaged property through foreclosure or similar loss
mitigation activity or (b) processing of any title claim under the
related title insurance policy, the party with such actual
knowledge will give written notice of such breach, defect or
missing document, as applicable, to the seller, indenture trustee,
depositor, master servicer and related servicer. Upon notification
of a missing or defective mortgage loan file, the seller will have
120 days from the date it receives such notification to deliver the
missing document or otherwise cure the defect or breach. If it is
unable to do so, the seller will be obligated to replace or
repurchase the mortgage loan.
Moody's did not apply an adjustment for missing documents or
missing information identified by AMC in part because Moody's
separately received and assessed a title report and a custodial
report for the mortgage loans in the pool. Moody's reviewed a draft
of the custodial report and identified ten loans with note
instrument issues. Even though this exception and the missing file
exceptions noted in the compliance review are protected by the R&W
framework, Moody's assumed that 0.3% (ten out of initial population
of 3,263) of the projected defaults will have missing document
breaches that will not be effectively remedied and will result in
higher loss severities. This adjustment is due in part to its view
of the financial strength of the R&W provider.
Trustee, Custodian, Paying Agent, Servicers, Master Servicer,
Successor Servicer and Special Servicer
The transaction indenture trustee is Wilmington Trust, National
Association. The custodian functions will be performed by Wells
Fargo Bank, N.A., Bank of New York Mellon Trust Company, N.A., and
U.S. Bank National Association. The paying agent and cash
management functions will be performed by Citibank, N.A. In
addition, Nationstar Mortgage, as master servicer, is responsible
for servicer oversight, termination of servicers, and the
appointment of successor servicers. Having Nationstar Mortgage as a
master servicer mitigates servicing-related risk due to the
performance oversight that it will provide. Nationstar Mortgage
will serve as the designated successor servicer for the transaction
and Shellpoint will serve as the special servicer. As the special
servicer, Shellpoint will be responsible for servicing mortgage
loans that become 60 or more days delinquent.
Nationstar Mortgage LLC (37.4%), Shellpoint Mortgage Servicing
(29.1%), Ocwen Loan Servicing, LLC (10.7%), TIAA, FSB (8.7%), Wells
Fargo Bank, N.A. (5.9%), Specialized Loan Servicing LLC (3.6%),
Select Portfolio Servicing, Inc. (2.8%) and PNC Mortgage (1.8%)
will act as the primary servicers of the collateral pool.
Transaction Structure
The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to increasingly receive principal
prepayments after an initial lock-out period of five years,
provided two performance tests are met. To pass the first test, the
delinquent and recently modified loan balance cannot exceed 50% of
the subordinate bonds outstanding. To pass the second test,
cumulative losses cannot exceed certain thresholds that gradually
increase over time.
Because a shifting interest structure allows subordinated bonds to
pay down over time as the loan pool shrinks, senior bonds are
exposed to tail risk, i.e., risk of back-ended losses when fewer
loans remain in the pool. The transaction provides for a
subordination floor that helps to reduce this tail risk.
Specifically, the subordination floor prevents subordinate bonds
from receiving any principal if the amount of subordinate bonds
outstanding falls below 7.30% of the closing principal balance.
There is also a provision that prevents subordinate bonds from
receiving principal if the credit enhancement for the Class A-1
Note falls below its percentage at closing, 29.2%. These provisions
mitigate tail risk by protecting the senior bonds from eroding
credit enhancement over time.
Other Considerations
The transaction contains a mortgage loan sale provision, the
exercise of which is subject to potential conflicts of interest.
The servicers in the transaction may sell mortgage loans that
become 60 or more days delinquent according to the MBA methodology
to any party in the secondary market in an arms-length transaction
and at a fair market value. For such sale to take place, the
related servicer must determine, in its reasonable commercial
judgment, that such sale would maximize proceeds on a present value
basis. If the sponsor or any of its subsidiaries is the purchaser,
the servicers must obtain at least two additional independent bids.
The transaction documents provide little detail on the method of
receipt of bids and there is no set minimum sale price. Such lack
of detail creates a risk that the independent bids could be weak
bids from purchasers that do not actively participate in the
market. Furthermore, the transaction documents provide little
detail regarding how servicers should conduct present value
calculations when determining if a note sale should be pursued. The
special servicer and the second largest servicer in the
transaction, Shellpoint, is an affiliate of the sponsor. The first
largest servicer in the transaction, Nationstar Mortgage, has a
commercial relationship with the sponsor outside of the
transaction. These business arrangements could lead to conflicts of
interest. Moody's took this into account and adjusted its losses
accordingly.
When analyzing the transaction, Moody's reviewed the transaction's
exposure to large potential indemnification payments owed to
transaction parties due to potential lawsuits. In particular,
Moody's assessed the risk that the indenture trustee would be
subject to lawsuits from investors for a failure to adequately
enforce the R&Ws against the seller. Moody's believes that NRMLT
2018-5 is adequately protected against such risk primarily because
the loans in this transaction are highly seasoned with a weighted
average seasoning is approximately 160 months. Although some loans
in the pool were previously delinquent and modified, the loans all
have a substantial history of payment performance. This includes
payment performance during the recent recession. As such, if loans
in the pool were materially defective, such issues would likely
have been discovered prior to the securitization. Furthermore,
third party due diligence was conducted on a significant random
sample of the loans for issues such as data integrity, compliance,
and title. As such, Moody's did not apply adjustments in this
transaction to account for indemnification payment risk.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from its original expectations
as a result of a lower number of obligor defaults or appreciation
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
better-than-expected performance include changes to servicing
practices that enhance collections or refinancing opportunities
that result in prepayments.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above its original expectations as
a result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
The methodologies used in these ratings were "Moody's Approach to
Rating Securitisations Backed by Non-Performing and Re-Performing
Loans" published in August 2016 and "US RMBS Surveillance
Methodology" published in January 2017.
OAKTREE CLO 2018-1: S&P Assigns BB- Rating on Class D Notes
-----------------------------------------------------------
S&P Global Ratings today assigned its ratings to Oaktree CLO 2018-1
Ltd./Oaktree CLO 2018-1 LLC's floating-rate notes.
The note issuance is a CLO transaction backed by broadly syndicated
speculative-grade senior secured term loans.
The ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade (rated 'BB+' and lower) 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
Oaktree CLO 2018-1 Ltd./Oaktree CLO 2018-1 LLC
Class Rating Amount (mil. $)
A-1a AAA (sf) 290.00
A-1b NR 35.00
A-2 AA (sf) 57.00
B A (sf) 28.00
C BBB- (sf) 30.00
D BB- (sf) 19.00
Subordinated notes NR 50.25
NR--Not rated.
RCO TRUST 2018-VFS1: S&P Assigns B Rating in Class B-2 Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to RCO 2018-VFS1 Trust's
$199.467 million mortgage pass-through notes.
The note issuance is a residential mortgage-backed securities
transaction backed by first-lien, fixed- and adjustable-rate, fully
amortizing, investment property mortgage loans secured by
single-family residential properties, planned-unit developments,
condominiums, and two- to four-family residential properties to
both prime and nonprime borrowers. The pool has 1,180 loans; all
loans are business-purpose investor loans and are exempt from the
qualified mortgage/ability-to-repay rules.
The ratings reflect:
-- The pool's collateral composition;
-- The credit enhancement provided for this transaction;
-- The transaction's associated structural mechanics;
-- The representation and warranty framework for this transaction;
and
-- The mortgage originator, Visio Financial Services Inc.
RATINGS ASSIGNED
RCO 2018-VFS1 Trust
Class Rating(i) Amount ($)
A-1 AAA (sf) 130,751,000
A-2 AA (sf) 13,564,000
A-3 A (sf) 22,440,000
M-1 BBB (sf) 11,669,000
B-1 BB (sf) 9,375,000
B-2 B (sf) 7,180,000
B-3 NR 4,488,485
XS NR Notional(ii)
R NR N/A
(i)The ratings assigned to the classes address the ultimate payment
of interest and principal.
(ii)Notional amount equals the loans' stated principal balance.
N/A--Not applicable.
NR--Not rated.
REGIONAL MANAGEMENT 2018-2: DBRS Gives (P)BB Rating on Cl. D Notes
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
asset-backed notes issued by Regional Management Issuance Trust
2018-2 (the Issuer):
-- $101,630,000 Class A Asset-Backed Notes at AA (sf)
-- $10,840,000 Class B Asset-Backed Notes at A (sf)
-- $9,490,000 Class C Asset-Backed Notes at BBB (sf)
-- $8,125,000 Class D Asset-Backed 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.
-- 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 principal by the
legal final maturity date.
-- Regional Management Corp.'s (Regional) capabilities with regard
to originations, underwriting and servicing.
-- DBRS has performed an operational review of Regional and
considers the entity to be an acceptable originator and servicer of
unsecured personal loans with an acceptable backup servicer.
-- Regional's senior management team has considerable experience
and a successful track record within the consumer loan industry.
-- Regional has remained consistently profitable since 2007.
-- In February 2018, Regional completed a system migration to the
Nortridge Loan Management System, allowing for the implementation
of centralized underwriting for all branches, which led to the
ability to implement a hybrid servicing model.
-- The credit quality of the collateral and performance of
Regional's consumer loan portfolio. DBRS used a hybrid approach in
analyzing Regional's portfolio which incorporates elements of
static pool analysis, employed for assets such as consumer loans,
and revolving asset analysis, employed for such assets as credit
card master trusts.
-- 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 Regional and that the trust has a
valid first-priority security interest in the assets and is
consistent with the DBRS methodology "Legal Criteria for U.S.
Structured Finance."
Credit enhancement in the transaction consists of
overcollateralization, subordination, excess spread and a reserve
account. The rating on the Class A Notes reflects the 26.00% of
initial hard credit enhancement provided by the subordinated notes
in the pool, the reserve account (1.00%) and overcollateralization
(4.00%). The ratings on the Class B Notes, the Class C Notes, the
Class D Notes reflect 18.00%, 11.00% and 5.00% of initial hard
credit enhancement, respectively. Additional credit support may be
provided by excess spread available in the structure.
SELKIRK TRUST 2013-1: DBRS Confirms BB(low) Rating on Class F Notes
-------------------------------------------------------------------
DBRS Limited upgraded the ratings on the following classes of
Asset-Back Notes issued by Selkirk 2013-1 (the Trust) as follows:
-- Class D to A (high) (sf) from A (low) (sf)
-- Class E to BBB (sf) from BB (high) (sf)
DBRS also confirmed the ratings of the following classes:
-- Class A2 at AAA (sf)
-- Class B at AAA (sf)
-- Class C at AA (sf)
-- Class F at BB (low) (sf)
All trends are Stable.
The rating upgrades reflect the increased credit support to the
bonds as a result of scheduled loan amortization, successful loan
repayment and the overall stable performance of the remaining
collateral in the pool. As of the November 2018 remittance, there
has been a collateral reduction of 65.1% since issuance and 10.5%
in the last 12 months, as seven loans have repaid from the Trust
over the past year, contributing $96.4 million in principal
reduction to the senior bonds. Of the original 55-loan pool, 25
loans remain with an aggregate outstanding principal balance of
$321.2 million.
Thirteen of the top 15 loans that are reporting YE2017 financials
continue to exhibit stable performance with a weighted-average (WA)
debt service coverage ratio (DSCR) and debt yield of 1.61 times (x)
and 12.2%, respectively. These loans have experienced a WA net cash
flow growth of 13.8% over the DBRS issuance figures. As of the
November 2018 remittance, there are no loans in special servicing
and one loan on the servicer's watch list, representing 4.0% of the
current pool balance. The 830 Morris Turnpike loan (Prospectus
ID#24) is being monitored for performance decline as the YE2017
DSCR was 0.60x as the former largest tenant at the subject vacated
at lease expiration in October 2016. The borrower has successfully
leased a portion of the vacant space, bringing the occupancy rate
to 69.9% as of March 2018, compared with 63.0% at March 2017. DBRS
accounted for the elevated vacancy and analyzed the loan with a
stressed cash flow scenario.
STARWOOD MORTGAGE 2018-IMC2: S&P Assigns B+ on Cl. B-2 Certs
------------------------------------------------------------
S&P Global Ratings assigned its ratings to Starwood Mortgage
Residential Trust 2018-IMC2's mortgage pass-through certificates.
The note issuance is a residential mortgage-backed securities
(RMBS) transaction backed by first-lien fixed- and adjustable-rate
fully amortizing residential mortgage loans (some with
interest-only periods) secured by single-family residential
properties, planned-unit developments, condominiums, and two- to
four-family residential properties to both prime and nonprime
borrowers. The loans are primarily nonqualified mortgage loans.
The ratings reflect:
-- The pool's collateral composition;
-- The credit enhancement provided for this transaction;
-- The transaction's associated structural mechanics;
-- The representation and warranty framework for this
transaction;
-- The geographic concentration; and
-- The mortgage aggregator, Starwood Non-Agency Lending LLC, and
the mortgage originator, Impac Mortgage Corp.
RATINGS ASSIGNED
Starwood Mortgage Residential Trust 2018-IMC2
Class Rating Amount (mil. $)
A-1 AAA (sf) 193,162,000
A-2 AA (sf) 16,656,000
A-3 A (sf) 33,454,000
M-1 BBB (sf) 13,997,000
B-1 BB (sf) 10,218,000
B-2 B+ (sf) 4,479,000
B-3 NR 7,979,063
A-IO-S NR Notional(i)
XS NR Notional(ii)
A-R NR N/A
(i)The notional amount will equal the aggregate stated principal
balance of the mortgage loans as of the first day of the related
due period.
(ii)The notional amount will equal the aggregate class principal
balance of the class A-1, A-2, A-3, M-1, B-1, B-2, and B-3
certificates as of the related distribution date.
NR--Not rated.
N/A--Not applicable.
THL CREDIT 2015-1: Moody's Rates $12MM Class F-R Notes 'B3'
-----------------------------------------------------------
Moody's Investors Service has assigned ratings to nine classes of
CLO refinancing notes issued by THL Credit Wind River 2015-1 CLO
Ltd.:
Moody's rating action is as follows:
US$1,350,000 Class X Senior Secured Floating Rate Notes due 2030
(the "Class X Notes"), Definitive Rating Assigned Aaa (sf)
US$370,050,000 Class A-1 Senior Secured Floating Rate Notes due
2030 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf)
US$21,060,000 Class A-2 Senior Secured Floating Rate Notes due 2030
(the "Class A-2 Notes"), Definitive Rating Assigned Aaa (sf)
US$62,580,000 Class B-RR Senior Secured Floating Rate Notes due
2030 (the "Class B-RR Notes"), Definitive Rating Assigned Aa2 (sf)
US$14,745,000 Class C-1 Mezzanine Secured Deferrable Floating Rate
Notes due 2030 (the "Class C-1 Notes"), Definitive Rating Assigned
A2 (sf)
US$14,745,000 Class C-2 Mezzanine Secured Deferrable Floating Rate
Notes due 2030 (the "Class C-2 Notes"), Definitive Rating Assigned
A2 (sf)
US$37,310,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2030 (the "Class D-R Notes"), Definitive Rating Assigned
Baa3 (sf)
US$33,100,000 Class E-R Junior Secured Deferrable Floating Rate
Notes due 2030 (the "Class E-R Notes"), Definitive Rating Assigned
Ba3 (sf)
US$12,030,000 Class F-R Junior Secured Deferrable Floating Rate
Notes due 2030 (the "Class F-R Notes"), Definitive Rating Assigned
B3 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
THL Credit Advisors LLC manages the CLO. It directs the selection,
acquisition, and disposition of collateral on behalf of the Issuer.
RATINGS RATIONALE
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 issued the Refinancing Notes on November 21, 2018 in
connection with the refinancing of (i) certain classes of the
secured notes previously issued on July 9, 2015 and (ii) certain
classes of the secured notes previously refinanced and issued on
August 9, 2017. On the Second Refinancing Date, the Issuer used
proceeds from the issuance of the Refinancing Notes to redeem in
full the Refinanced Notes.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: reinstatement and extension of the
reinvestment period; extensions of the stated maturity and non-call
period; changes to certain collateral quality tests; 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, weighted average spread, weighted
average coupon, 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: $603,522,244
Diversity Score: 80
Weighted Average Rating Factor (WARF): 2972
Weighted Average Spread (WAS): 3.40%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 9 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
The Credit Rating for THL Credit Wind River 2015-1 CLO Ltd. was
assigned in accordance with Moody's existing Methodology entitled
"Moody's Global Approach to Rating Collateralized Loan
Obligations," dated August 31, 2017. Please note that on November
14, 2018, Moody's released a Request for Comment, in which it has
requested market feedback on potential revisions to its Methodology
for Collateralized Loan Obligations. If the revised Methodology is
implemented as proposed, Moody's does not expect the changes to
affect the Credit Rating on THL Credit Wind River 2015-1 CLO Ltd.
Please refer to Moody's Request for Comment, titled "Proposed
Update to Moody's Global Approach to Rating Collateralized Loan
Obligations," for further details regarding the implications of the
proposed Methodology revisions on certain Credit Ratings.
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.
THL CREDIT 2016-2: Moody's Assigns Ba3 Rating on Class E-R Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
CLO refinancing notes issued by THL Credit Wind River 2016-2 CLO
Ltd.:
Moody's rating action is as follows:
US$3,000,000 Class X Senior Secured Floating Rate Notes due 2031
(the "Class X Notes"), Assigned Aaa (sf)
US$389,700,000 Class A-1-R Senior Secured Floating Rate Notes due
2031 (the "Class A-1-R Notes"), Assigned Aaa (sf)
US$26,300,000 Class A-2-R Senior Secured Fixed Rate Notes due 2031
(the "Class A-2-R Notes"), Assigned Aaa (sf)
US$76,700,000 Class B-R Senior Secured Floating Rate Notes due 2031
(the "Class B-R Notes"), Assigned Aa2 (sf)
US$18,800,000 Class C-1-R Mezzanine Secured Deferrable Floating
Rate Notes due 2031 (the "Class C-1-R Notes"), Assigned A2 (sf)
US$11,750,000 Class C-2-R Mezzanine Secured Deferrable Floating
Rate Notes due 2031 (the "Class C-2-R Notes"), Assigned A2 (sf)
US$41,275,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class D-R Notes"), Assigned Baa3 (sf)
US$35,100,000 Class E-R Junior Secured Deferrable Floating Rate
Notes due 2031 (the "Class E-R Notes"), Assigned Ba3 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
THL Credit Advisors LLC (the "Manager") 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 reflects 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 November 29, 2018 in
connection with the refinancing of all classes of the secured notes
previously issued on November 1, 2016 . On the Refinancing Date,
the Issuer used proceeds from the issuance of the Refinancing Notes
to redeem in full the Refinanced Original Notes.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; and changes to the
overcollateralization test levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Performing par and principal proceeds balance: $650,000,000
Defaulted Par: $0
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2904
Weighted Average Spread (WAS): 3.45%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 8.92 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.
The Credit Ratings for THL Credit Wind River 2016-2 CLO Ltd. were
assigned in accordance with Moody's existing Methodology entitled
"Moody's Global Approach to Rating Collateralized Loan
Obligations," dated August 31, 2017. Please note that on November
14, 2018, Moody's released a Request for Comment, in which it has
requested market feedback on potential revisions to its Methodology
for Collateralized Loan Obligations. If the revised Methodology is
implemented as proposed, Moody's does not expect the changes to
affect the Credit Rating on the Refinancing Notes issued by THL
Credit Wind River 2016-2 CLO Ltd. Please refer to Moody's Request
for Comment, titled "Proposed Update to Moody's Global Approach to
Rating Collateralized Loan Obligations," for further details
regarding the implications of the proposed Methodology revisions on
certain Credit Ratings.
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.
TOWD POINT 2016-5: Moody's Hikes Class B2 Debt Rating to Ba2(sf)
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 17 tranches
from five transactions issued by Towd Point Mortgage Trust in 2016
and 2017. The transactions are backed by seasoned performing and
re-performing mortgage loans with a large percentage of the loans
previously modified.
Complete rating actions are as follows:
Issuer: Towd Point Mortgage Trust 2016-4
Cl. M1, Upgraded to Aaa (sf); previously on Jan 30, 2018 Upgraded
to Aa2 (sf)
Cl. M2, Upgraded to Aa2 (sf); previously on Jan 30, 2018 Upgraded
to A2 (sf)
Cl. B1, Upgraded to A3 (sf); previously on Jan 30, 2018 Upgraded to
Baa2 (sf)
Cl. B2, Upgraded to Baa3 (sf); previously on Jan 30, 2018 Upgraded
to Ba2 (sf)
Issuer: Towd Point Mortgage Trust 2016-5
Cl. M1, Upgraded to Aa2 (sf); previously on Mar 30, 2018 Assigned
Aa3 (sf)
Cl. B2, Upgraded to Ba2 (sf); previously on Mar 30, 2018 Assigned
Ba3 (sf)
Issuer: Towd Point Mortgage Trust 2017-1
Cl. M1A, Upgraded to Aa2 (sf); previously on Mar 16, 2018 Upgraded
to Aa3 (sf)
Cl. M1B, Upgraded to Aa2 (sf); previously on Mar 16, 2018 Upgraded
to Aa3 (sf)
Cl. M1, Upgraded to Aa2 (sf); previously on Mar 16, 2018 Upgraded
to Aa3 (sf)
Cl. X3*, Upgraded to Aa2 (sf); previously on Mar 16, 2018 Upgraded
to Aa3 (sf)
Cl. X4*, Upgraded to Aa2 (sf); previously on Mar 16, 2018 Upgraded
to Aa3 (sf)
Issuer: Towd Point Mortgage Trust 2017-2
Cl. M2, Upgraded to A2 (sf); previously on Mar 16, 2018 Upgraded to
A3 (sf)
Cl. B1, Upgraded to Baa2 (sf); previously on Mar 16, 2018 Upgraded
to Baa3 (sf)
Issuer: Towd Point Mortgage Trust 2017-3
Cl. M1, Upgraded to A2 (sf); previously on Jul 25, 2017 Definitive
Rating Assigned A3 (sf)
Cl. M2, Upgraded to Baa1 (sf); previously on Mar 16, 2018 Upgraded
to Baa2 (sf)
Cl. B1, Upgraded to Baa3 (sf); previously on Mar 16, 2018 Upgraded
to Ba1 (sf)
Cl. B2, Upgraded to Ba3 (sf); previously on Mar 16, 2018 Upgraded
to B2 (sf)
RATINGS RATIONALE
The rating upgrades are driven by the strong performance of the
underlying loans in the pools and credit enhancement available to
the rated bonds. The actions reflect Moody's updated loss
expectations on the pool, which incorporate its assessment of the
weak representations and warranties frameworks of the transactions,
the due diligence findings of the third party review received at
the time of issuance, and the strength of Select Portfolio
Servicing, Inc. as the transaction's servicer.
The loans underlying the pools have fewer delinquencies and have
prepaid at faster rates than originally anticipated, resulting in
an improvement in its future loss projections on the pools.
Moreover, cumulative losses realized on the pools to date have been
small. Moody's bases its expected losses on a pool of re-performing
mortgage loans on its estimates of 1) the default rate on the
remaining balance of the loans and 2) the principal recovery rate
on the defaulted balances. Its estimates of defaults are driven by
annual delinquency assumptions adjusted for roll-rates, prepayments
and default burnout factors. In estimating defaults on these pools,
Moody's used expected annual delinquency rates between 9% and 11%
and expected prepayment rates between 6% and 8% based on the
collateral characteristics of the individual pools.
The rating upgrades further reflect the increase in credit
enhancement available to the bonds, owing to the sequential pay
structure of the transactions.
The methodologies used in rating all deals except interest-only
classes were "Moody's Approach to Rating Securitisations Backed by
Non- Performing and Re-Performing Loans" published in August 2016
and "US RMBS Surveillance Methodology" published in January 2017.
The methodologies used in rating interest-only classes were
"Moody's Approach to Rating Securitisations Backed by Non-
Performing and Re-Performing Loans" published in August 2016 , "US
RMBS Surveillance Methodology" published in January 2017 and
"Moody's Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
The Credit Rating for these five deals issued by Towd Point
Mortgage Trust was assigned in accordance with Moody's existing
Methodology entitled "Moody's Approach to Rating Securitisations
Backed by Non-Performing and Re-Performing Loans," dated 8/2/2016.
Please note that on 11/14/2018, Moody's released a Request for
Comment, in which it has requested market feedback on potential
revisions to its Methodology for Securitisations Backed by
Non-Performing and Re-Performing Loans. If the revised Methodology
is implemented as proposed, the Credit Rating on these five deals
issued by Towd Point Mortgage Trust is not expected to be affected.
Please refer to Moody's Request for Comment, titled "Proposed
Update to Moody's Approach to Rating Securitisations Backed by
Non-Performing and Re-Performing Loans," for further details
regarding the implications of the proposed Methodology revisions on
certain Credit Ratings.
The Credit Rating for these five deals issued by Towd Point
Mortgage Trust was assigned in accordance with Moody's existing
Methodology entitled "US RMBS Surveillance Methodology," dated
1/31/2017. Please note that on 11/14/2018, Moody's released a
Request for Comment, in which it has requested market feedback on
potential revisions to its Methodology for pre-2009 US RMBS Prime
Jumbo, Alt-A, Option ARM, Subprime, Scratch and Dent, Second Lien
and Manufactured Housing transactions. If the revised Methodology
is implemented as proposed, the Credit Rating on these five deals
issued by Towd Point Mortgage Trust is not expected to be affected.
Please refer to Moody's Request for Comment, titled "Proposed
Update to US RMBS Surveillance Methodology," for further details
regarding the implications of the proposed Methodology revisions on
certain Credit Ratings.
The Credit Ratings for Towd Point Mortgage Trust 2017-1 Classes X3
and X4 were assigned in accordance with Moody's existing
Methodology entitled "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities," dated 6/8/2017. Please note that on
11/14/2018, Moody's released a Request for Comment, in which it has
requested market feedback on potential revisions to its Methodology
for Structured Finance Interest-Only (IO) Securities. If the
revised Methodology is implemented as proposed, the Credit Ratings
of Towd Point Mortgage Trust 2017-1 Classes X3 and X4 may be
positively affected. Please refer to Moody's Request for Comment,
titled "Proposed Update to Moody's Approach to Rating Structured
Finance Interest-Only (IO) Securities," for further details
regarding the implications of the proposed Methodology revisions on
certain Credit Ratings.
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 3.7% in November 2018 from 4.1% in
November 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.
TOWD POINT 2018-SJ1: Fitch to Rate $21.33MM Class B2 Notes 'Bsf'
----------------------------------------------------------------
Fitch Ratings expects to rate Towd Point Mortgage Trust 2018-SJ1 as
follows:
-- $242,462,000 class A1 notes 'AAAsf'; Outlook Stable;
-- $37,825,000 class A2 notes 'AAsf'; Outlook Stable;
-- $35,399,000 class M1 notes 'Asf'; Outlook Stable;
-- $32,490,000 class M2 notes 'BBBsf'; Outlook Stable;
-- $26,186,000 class B1 notes 'BBsf'; Outlook Stable;
-- $21,337,000 class B2 notes 'Bsf'; Outlook Stable;
-- $280,287,000 class A3 exchangeable notes 'AAsf'; Outlook
Stable;
-- $315,686,000 class A4 exchangeable notes 'Asf'; Outlook
Stable;
-- $348,176,000 class A5 exchangeable notes 'BBBsf'; Outlook
Stable.
Fitch will not be rating the following classes:
-- $25,216,000 class B3 notes;
-- $25,216,000 class B4 notes;
-- $38,794,956 class B5 notes;
-- $484,925,956 class A6 exchangeable notes;
-- $20,500,000 class XA notes.
The notes are supported by one collateral group that consists of
12,148 seasoned performing and re-performing mortgages with a total
balance of approximately $484.93 billion (which includes $12.1
million, or 2.5%, of the aggregate pool balance in
non-interest-bearing deferred principal amounts) as of the
statistical calculation date.
KEY RATING DRIVERS
Closed-End Second Liens (Negative): The collateral pool consists of
100% closed-end, second lien, seasoned performing loans and RPLs
with a weighted average (WA) credit score of 712, sustainable
combined loan to value ratio (CLTV) of 87%, 72% 36 months of clean
pay history, and seasoning of approximately 143 months. Fitch
assumes second lien loans default at a rate comparable to first
lien loans, after controlling for credit attributes and the
economy, and, therefore, no additional default penalty for the
second lien status was applied. Fitch assumed 100% loss severity
(LS) on all defaulted loans.
Re-Performing Loans (Negative): No loans were delinquent as of the
statistical calculation date, and 77% of the pool have been
"current" for over two years. 23% of loans are current but have
recent delinquencies or incomplete pay strings. Of the total pool,
32.2% have received modifications. The average time since loan
modification is approximately 72 months.
Moderate Operational Risk (Negative): Due predominantly to the
smaller diligence sample size, operational risk is modestly higher
for this transaction compared to other TPMT transactions rated by
Fitch. However, the results were consistent with the sponsor's
prior transactions. FirstKey Mortgage, LLC (FirstKey) has a
well-established track record as an aggregator of seasoned
performing and RPL mortgages and has an 'average' aggregator
assessment from Fitch. The collateral loan pool is approximately
143 months seasoned and acquired from only two primary sources,
reducing the potential impact of origination misrepresentations.
Additionally, the sponsor or its affiliate's retention of at least
5% of the bonds should help mitigate the operational risk of the
transaction.
Realized Loss and Writedown Feature (Positive): Loans that are
delinquent for 180 days or more will be considered a realized loss
and, therefore, will cause the most subordinated class to be
written down. Despite the 100% LS assumed for each defaulted loan,
Fitch views the writedown feature positively as cash flows will not
be needed to pay timely interest to the 'AAAsf' and 'AAsf' notes
during loan resolution by the servicer. In addition, subsequent
recoveries realized after the writedown at 180 days delinquent will
be passed on to bondholders as principal.
Low Aggregate Servicing Fee (Negative): Fitch determined that the
initial servicing fee of 25 basis points (bps) may be insufficient
to attract subsequent servicers under a period of poor performance
and high delinquencies. To account for the potentially higher fee
needed to obtain a subsequent servicer, Fitch assumed a 75-bp
servicing fee in its cash flow analysis to reflect the risk of
trustee-directed increase in fees.
Representation Framework (Negative): Fitch considers the
representation, warranty and enforcement (RW&E) mechanism construct
for this transaction to generally be consistent with what it views
as a Tier 2 framework, due to the inclusion of knowledge qualifiers
and the exclusion of certain reps that Fitch typically expects for
RPL transactions. After a threshold event (which occurs when
realized loss exceeds the class principal balance of the B3, B4 and
B5 notes), loan reviews for identifying breaches will be conducted
on loans that experience a realized loss of $10,000 or more. To
account for the Tier 2 framework, Fitch increased its 'AAAsf' loss
expectations by roughly 344bps to account for a potential increase
in defaults and losses arising from weaknesses in the reps.
Limited Life of Rep Provider (Negative): FirstKey, as rep provider,
will only be obligated to repurchase a loan due to breaches prior
to the payment date in January 2020. Thereafter, a reserve fund
will be available to cover amounts due to noteholders for loans
identified as having rep breaches. Amounts on deposit in the
reserve fund, as well as the increased level of subordination, will
be available to cover additional defaults and losses resulting from
rep weaknesses or breaches occurring on or after the payment date
in January 2020.
No Servicer P&I Advances (Mixed): The servicer will not be
advancing delinquent monthly payments of P&I, which reduce
liquidity to the trust. P&I advances made on behalf of loans that
become delinquent and eventually liquidate reduce liquidation
proceeds to the trust. Typically, the lack of P&I advancing would
result in lower loan-level LS. However, Fitch is assuming 100% LS
for all loans in the transaction. Structural provisions and cash
flow priorities, together with increased subordination, provide for
timely payments of interest to the 'AAAsf' and 'AAsf' rated
classes.
Sequential-Pay Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure whereby the subordinate classes
do not receive principal until the senior classes are repaid in
full. Losses are allocated in reverse-sequential order.
Furthermore, the provision to re-allocate principal to pay interest
on the 'AAAsf' and 'AAsf' rated notes prior to other principal
distributions is highly supportive of timely interest payments to
those classes in the absence of servicer advancing.
Deferred Amounts (Negative): Non-interest-bearing principal
forbearance amounts totaling $12.1 million (2.5%) of the UPB are
outstanding on 582 loans. Fitch included the deferred amounts when
calculating the borrower's loan to value ratio (LTV) and
sustainable LTV (sLTV), despite the lower payment and amounts not
being owed during the term of the loan. The inclusion resulted in a
higher probability of default (PD) than if there were no deferrals.
Because deferred amounts are due and payable by the borrower at
maturity, Fitch believes that borrower default behavior for these
loans will resemble that of the higher LTVs, as exit strategies
(that is, sale or refinancing) will be limited relative to those
borrowers with more equity in the property.
CRITERIA APPLICATION
Fitch analyzed the transaction in accordance with its criteria
report, "U.S. RMBS Rating Criteria." This incorporates a review of
the originators' lending platforms as well as an assessment of the
transaction's R&Ws provided by the originators and arranger, which
were found to be consistent with the ratings assigned to the
certificates.
Fitch's analysis incorporated two criteria variations from the
"U.S. RMBS Seasoned, Re-Performing and Non-Performing Loan Rating
Criteria" and one variation from the "U.S. RMBS Loan Loss Model
Criteria." The first variation relates to the tax/title review. An
updated tax/title review was not completed on 9,340 loans. While a
tax/title review was not completed, Fitch's analysis already
assumed that these loans were not in first-lien position, and Fitch
assumes 100% LS for all second liens. There was no rating impact
due to this variation.
The second variation is that a due diligence compliance and data
integrity review was not completed on 9,272 loans. Fitch's model
assumes 100% LS for all second liens and therefore no additional
adjustment was made to Fitch's expected losses. There was no rating
impact from application of this variation.
The third variation was application of the same performance credit
for first lien loans that have clean pay histories of 24 months or
more. Performance data for second lien loans support the same
reduction applied to first lien PDs. The impact of this variation
resulted in ratings that were one category higher.
A fourth and final variation is an adjustment that was made to
Fitch's U.S. RMBS Loan Loss Model. Fitch's model typically applies
a PD credit for mortgage loans with 15-year loan terms. Historical
data have shown that 15-year second lien mortgage loans do not
perform the same as 15-year first lien mortgage loans. As a result,
this credit is not applicable and was removed from the model.
Application of this variation resulted in ratings that were one
notch lower.
MODELING
Fitch analyzed the credit characteristics of the underlying
collateral to determine base case and rating stress loss
expectations, using a customized version of its residential
mortgage loss model, which is fully described in its criteria
report, "U.S. RMBS Loan Loss Model Criteria."
The customized model removed the probability of default credit that
is typically applied to loans originated with 15-year terms.
Historical data show that 15-year second lien mortgage loans do not
perform the same as 15-year first lien mortgage loans. As a result,
this credit is not applicable and was removed from the model. This
had an impact of approximately 275 bps at the 'AAA' loss level.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the metropolitan statistical area (MSA) and
national levels. The implied rating sensitivities are only an
indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to or be
considered in the surveillance of the transaction.
Fitch conducted sensitivity analysis determining how the ratings
would react to steeper MVDs at the national level. The analysis
assumes MVDs of 10%, 20% and 30%, in addition to the
model-projected 39% at 'AAAsf'. The analysis indicates there is
some potential rating migration with higher MVDs, compared with the
model projection.
Fitch also conducted sensitivity analysis to determine the stresses
to MVDs that would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by WestCor Land Title Insurance Company (WestCor), Clayton
Services LLC, and AMC Diligence, LLC (AMC). The third-party due
diligence described in Form 15E focused on regulatory compliance,
pay history, servicing comments, the presence of key documents in
the loan file and data integrity. In addition, Westcor was retained
to perform an updated title and tax search. A regulatory compliance
and data integrity review was completed on 46% of the pool by
balance.
489 of the reviewed loans received either a "C" or "D" grade. For
192 of these loans, this was due to missing documents that
prevented testing for predatory lending compliance. The inability
to test for predatory lending may expose the trust to potential
assignee liability, which creates added risk for bond investors.
Typically, Fitch makes an LS adjustments to account for this;
however, all loans in the pool are already receiving 100% LS;
therefore, no adjustments were made. Reasons for the remaining 297
"C" and "D" grades include missing final HUD1s that are not subject
to predatory lending, missing state disclosures and other
compliance-related documents. Fitch believes these issues do not
add material risk to bondholders, since the statute of limitations
has expired. No adjustment to loss expectations were made for any
of the 489 loans that received either a "C" or "D" grade.
WACHOVIA BANK 2006-C28: Fitch Hikes Cl. D Certs Rating to CCCsf
---------------------------------------------------------------
Fitch Ratings has upgraded one and affirmed 11 classes of Wachovia
Bank Commercial Mortgage Trust commercial mortgage pass-through
certificates series 2006-C28.
KEY RATING DRIVERS
Increased Credit Enhancement: The upgrade of class D reflects
increased credit enhancement relative to Fitch's expected losses as
the pool has benefited from the payoff of five loans totaling
$138.4 million and the disposition of five assets with better than
expected recoveries since Fitch's last rating action. As of the
November 2018 remittance report, the pool's aggregate principal
balance has been reduced by 98.2% to $64.1 million from $3.6
billion at issuance. Realized losses total $290.1 million (8.1% of
original pool balance). The transaction is undercollateralized by
$5,518,493.79. Cumulative interest shortfalls in the amount of
$21.5 million are currently affecting classes E and F and classes N
through Q.
Stable Loss Expectations: Overall pool performance and loss
expectations have remained relatively stable since Fitch's last
rating action. The largest loan in the transaction (65.8% of the
pool) has been deemed a Fitch Loan of Concern (FLOC) and two assets
(26.4%) are currently specially serviced and real estate owned
(REO). The remaining performing loans are amortizing and
low-levered but secured by retail properties located in tertiary
markets.
The largest FLOC, ITC Crossing South Shopping Center (65.8% of the
pool) is secured by a 372,730 sf retail center in Flanders, NJ,
anchored by Lowe's (collateral) and Walmart (non-collateral). The
property's second-largest tenant, Babies R Us (10.2% of NRA, 7.1%
of base rent), vacated in April 2018 following the bankruptcy of
its parent company. Property occupancy is now 88.7% as of September
2018, down from 98.9% in December 2017. Per the master servicer,
the borrower has been unable to find a replacement tenant but
continues to actively market the space. The loan was interest-only,
but failed to repay at its anticipated repayment date (ARD) in
October 2016 and is now amortizing with all excess cashflow being
applied to the loan's principal balance. The loan's final maturity
date is October 2021. Fitch remains concerned about potential
refinance risk for this loan given its leasing challenges, tenant
roll and substantial balloon payment.
The largest specially serviced asset, Marketplace Retail & Office
Center (22.1%) of the pool is a neighborhood/community retail and
office center located in Waite Park, MN (St. Cloud, MN MSA). The
loan transferred to special servicing for payment default in March
2010, ahead of its October 2016 maturity. The decline in
performance is due to low occupancy and declining cashflow. Upon
transfer to special servicer, the loan faced litigation regarding
recourse rights that have since been resolved. Foreclosure was
completed in January 2017 and the asset is currently REO. Per the
most recent servicer reporting, the property was 67.6% occupied as
of August 2018, up from 59.5% as of December 2017, and 66.4% in
December 2016. The most recent reported NOI DSCR as of year-end
2016 stood at 0.43x.
Rating Cap/Increased Pool Concentration: The pool remains highly
concentrated with only six of the original 210 loans remaining, of
which two (26%) are REO. Due to the concentrated nature of the
pool, Fitch performed a sensitivity analysis that grouped the
remaining loans based on loan structural features, collateral
quality, amortization profile and performance, assumed a stressed
value on the distressed loans, and ranked them by their perceived
likelihood of repayment. The rating of class D has been capped at
'CCCsf' to reflect the increased pool concentration, remaining
collateral quality and binary risk should the largest FLOC fail to
repay at its maturity given the class' reliance on proceeds from
the loan.
RATING SENSITIVITIES
Future upgrades are possible with better-than-expected recoveries
on the REO assets and timely payoff of the FLOC, but may be limited
due to pool concentration. Downgrades are possible as losses are
realized with loan dispositions or if loans fail to repay at
maturity.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has upgraded the following class:
-- $26.1 million class D to 'CCCsf' from 'Csf'; RE revised to
100% from 0%.
Fitch also has affirmed the following classes:
-- $38.0 million class E at 'Dsf'; RE revised to 60% from 0%;
-- $0 class F at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-4, A-1A, A-PB, A-4FL, A-M, A-J, B and C
certificates have paid in full. Fitch previously withdrew the
rating on the interest-only class IO certificates. Fitch does not
rate the class Q and FS certificates.
WACHOVIA BANK 2006-C28: Moody's Hikes Class D Certs Rating to Caa1
------------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class and
affirmed the ratings on two classes in Wachovia Bank Commercial
Mortgage Trust 2006-C28, Commercial Mortgage Pass-Through
Certificates, Series 2006-C28 as follows:
Cl. D, Upgraded to Caa1 (sf); previously on Dec 1, 2017 Affirmed
Caa3 (sf)
Cl. E, Affirmed C (sf); previously on Dec 1, 2017 Affirmed C (sf)
Cl. IO*, Affirmed C (sf); previously on Dec 1, 2017 Affirmed C (sf)
* Reflects interest-only classes
RATINGS RATIONALE
The rating on one principal and interest (P&I) class was upgraded
based primarily on an increase in credit support resulting from
loan paydowns and amortization. The deal has paid down 81% since
Moody's last review.
The ratings on one P&I class was affirmed because the ratings are
consistent with Moody's expected loss.
The rating on the interest-only (IO) class was affirmed based on
the credit quality of the referenced classes.
Moody's rating action reflects a base expected loss of 36.9% of the
current balance, compared to 26.3% at Moody's last review. Moody's
base expected loss plus realized losses is now 8.7% of the original
pooled balance, compared to 9.6% 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.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating interest-only classes 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 Securities" published in June
2017.
The Credit Rating for Wachovia Bank Commercial Mortgage Trust
2006-C28, Cl. IO was assigned in accordance with Moody's existing
Methodology entitled "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" dated June 2017. Please note that on
November 14, 2018, Moody's released a Request for Comment, in which
it has requested market feedback on potential revisions to its
Methodology for rating structured finance interest-only (IO)
securities. If the revised Methodology is implemented as proposed,
the Credit Rating on Wachovia Bank Commercial Mortgage Trust
2006-C28, Cl. IO may be positively affected. Please refer to
Moody's Request for Comment, titled "Proposed Update to Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities," for further details regarding the implications of the
proposed Methodology revisions on certain Credit Ratings.
DEAL PERFORMANCE
As of the November 19, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $58.5 million
from $3.6 billion at securitization. The certificates are
collateralized by six mortgage loans ranging in size from less than
2% to 66% 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 two, compared to a Herf of six at Moody's last
review.
There is one loan constituting 66% of the pool currently 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.
Forty-five loans have been liquidated from the pool with a loss to
the trust, resulting in an aggregate realized loss of $290.1
million (for an average loss severity of 37%). Two loans,
constituting 26% of the pool, are currently in special servicing.
The largest specially serviced loan is the Marketplace Retail &
Office Center Loan ($12.9 million -- 22.0% of the pool), which is
secured by 121,512 square foot (SF), mixed-use property located in
St. Cloud, MN. The property consists of a 4-story office building
and a retail strip center. The loan transferred to special
servicing in March 2010 due to payment default. The loan was
foreclosed on in January 2017 and became REO in February 2017. The
property is 67% occupied as of October 2018, and property occupancy
has been in the mid-60% range for three years. The property is
being evaluated for disposition.
The other specially serviced loan is the Compass Insurance Agency
Loan ($2.5 million -- 4.3% of the pool), which is secured by a
24,414 SF suburban office complex constructed in 1983 and located
in a residential area of Phoenix, AZ. The loan transferred to
special servicing effective October 2016 due to a maturity default.
The property was foreclosed upon in May 2017 and is now an REO
property. The property is currently 100% vacant and was formerly
leased to Compass bank who vacated in December 2017. A
full-building lease prospect is currently under evaluation.
Moody's estimates an aggregate $16 million loss for the specially
serviced loans (24% expected loss on average). The pool is also
under-collateralized by $5.5 million. Moody's incorporates this
under-collateralization as a loss to the trust.
As of the November 19, 2018 remittance statement the total unpaid
interest was $21.4 million. Moody's anticipates interest shortfalls
will continue because of the exposure to specially serviced loans
and/or modified loans. Interest shortfalls are caused by special
servicing fees, including workout and liquidation fees, appraisal
entitlement reductions (ASERs), loan modifications and
extraordinary trust expenses.
The top three conduit loans represent 71.7% of the pool balance.
The largest loan is the ITC Crossing South Shopping Center Loan
($38.5 million -- 65.8% of the pool), which is secured by an open
air shopping center anchored by Wal-Mart (non-collateral), Lowe's,
Bed Bath & Beyond and TJ Maxx. The property is located in Flanders,
NJ approximately 35 miles northwest of Newark, NJ. The property was
92% leased as of September 2018. The property had been 99% leased
or higher from securitization through year-end 2017. Babies R' Us
occupied 10% of the NRA and has vacated in accordance to the Toys
R' Us bankruptcy. Moody's LTV and stressed DSCR are 97% and 1.06X,
respectively, compared to 100% and 1.03X at the last review.
The second largest loan is the Rite Aid -- Ontario, OR Loan ($1.9
million -- 3.3% of the pool), which is secured by a 17,272 SF Rite
Aid located in Ontario, OR. The property is located in a retail
corridor and is directly across from a community college. The loan
is fully amortizing and has paid down 44% since securitization.
Moody's LTV and stressed DSCR are 54% and 1.91X, respectively,
compared to 59% and 1.75X at the last review.
The third largest loan is the United SuperMarket -- Borger West
Loan ($1.5 million -- 2.6% of the pool), which is secured by a
44,250 SF United Supermarket located in Borger, TX. The property is
shadow anchored by a Walmart Supercenter. The loan is fully
amortizing and has paid down 45% since securitization. Moody's LTV
and stressed DSCR are 51% and 2.00X, respectively, compared to 56%
and 1.83X at the last review.
WELLS FARGO 2014-LC18: DBRS Confirms B Rating on X-F Debt
---------------------------------------------------------
DBRS, Inc. confirmed the ratings of all classes of Commercial
Mortgage Pass-Through Certificates, Series 2014-LC18 issued by
Wells Fargo Commercial Mortgage Trust 2014-LC18 as follows:
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class PEX at A (low) (sf)
-- Class X-B at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class X-E at BB (sf)
-- Class E at BB (low) (sf)
-- Class X-F at B (sf)
-- Class F at B (low) (sf)
All trends are Stable.
The Class PEX certificates are exchangeable with the Class A-S,
Class B and Class C certificates (and vice versa).
The rating confirmations reflect the overall stable performance of
the transaction since issuance in December 2014, when the pool
consisted of 99 loans secured by 117 commercial properties. As of
the November 2018 remittance, 98 of the original 99 loans remain in
the pool, with a collateral reduction of 6.0% since issuance as a
result of scheduled amortization and one loan repayment. As of the
November 2018 remittance, 20 loans (34.1% of the pool balance) have
remaining interest-only (IO) periods, with 13 of those loans (12.5%
of the pool balance) structured with a full IO term.
As of the most recent year-end cash flow figures, the pool reported
a strong weighted-average (WA) preceding-year debt service coverage
ratio (DSCR) and debt yield of 1.92 times (x) and 11.5%,
respectively, compared with the WA DBRS Term DSCR and DBRS Debt
Yield at issuance of 1.90x and 10.9%, respectively. As of November
2018, 80 loans (92.8% of the pool balance) provided YE2017
financials and 79 loans (90.5% of the pool balance) provided
partial-year 2018 financials. Four loans (5.9% of the pool balance)
mature prior to December 2019. In general, those loans are
performing well, with a WA DSCR and debt yield of 2.50x and 17.8%,
respectively, indicating a high likelihood of refinance and further
pay down of the certificate balance in the next 12 months.
Although the pool performance has remained steady since issuance,
with the top class repaid and no losses to date, there are three
loans, representing 2.8% of the pool balance, in special servicing
as of the November 2018 remittance. There are also nine loans,
representing 9.0% of the pool balance, on the servicer's watch
list. In general, the larger loans on the watch list are not
expected to default, and DBRS notes that most have mitigating
factors for the issues currently outstanding. The largest watch
listed loan, Colorado Mills (Prospectus ID#6; 3.3% of the pool
balance), had significant hail damage in May 2017 and is being
monitored through the repair process. A DBRS analyst visited the
property on Friday, November 16, 2018, and noted that repairs
appear to be in the final stages, with the mall quite busy during
the visit. For additional information on the observations at that
visit and the loan in general, please see the DBRS Viewpoint
platform, for which information has been provided below.
Two of the loans in special servicing have been in default for a
year or more, including Sand Creek Estates (Prospectus ID#27; 1.1%
of the pool) and The Gardens on Whispering Pines (Prospectus ID#40;
0.9% of the pool). The third loan in special servicing, 13201
Northwest Freeway, recently transferred to special servicing with
the October 2018 remittance. That loan is secured by a suburban
office property in Houston and was transferred for imminent default
following the sponsor's notice to the servicer that the property's
largest tenant (approximately 35.0% of the net rentable area) would
be vacating at lease expiry next year. There is limited information
available about the status of the workout for that loan given the
recent transfer; as such, DBRS applied a stressed cash flow
scenario to increase the probability of default for the loan as
part of this review.
The Sand Creek Estates loan is secured by two manufactured housing
communities located in the Bakken shale oilfield region of North
Dakota, which has been adversely affected by declines in the oil
and gas sector in recent years. As of the November 2018 remittance,
the loan was due for February 2018 payment and all payments due
thereafter, with a total trust exposure of approximately $11.5
million. The servicer obtained a March 2018 appraisal valuing the
property at $11.3 million, and based on this value, DBRS estimates
the loss severity could approach 40.0% upon resolution. The Gardens
on Whispering Pines loan is secured by two adjacent multifamily
properties located in Albany, Georgia, and was transferred to the
special servicer due to a legal dispute over a former partner's
equity sale. The property has been underperforming since 2016, and
the special servicer is pursuing foreclosure; a June 2018 appraisal
valued the property at $9.7 million, suggesting that a loss
severity in excess of 30.0% could be realized at liquidation. DBRS
expects losses for these two loans to be contained to the unrated
Class G certificates, which had an outstanding balance of $34.2
million as of November 2018.
Classes X-A, X-B, X-E, X-F and X-G 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.
WELLS FARGO 2015-C26: Fitch Affirms Bsf Rating on Class F Certs
---------------------------------------------------------------
Fitch Ratings affirms 15 classes of Wells Fargo Commercial Mortgage
Trust 2015-C26, commercial mortgage pass-through certificates.
KEY RATING DRIVERS
Increased Loss Expectations: While the majority of the pool
continues to exhibit stable performance, Fitch's loss expectations
have increased due to the increased percentage of Fitch Loans of
Concern (FLOCs, 19.7% of the pool), including two specially
serviced loans (5.9%). The Negative Rating Outlooks on classes E
and F and the interest-only classes X-C and X-D primarily reflect
concerns over these loans.
Two loans are in special servicing, including the largest loan in
the pool, Chateau on the Lake (4.8%); the loan transferred to
special servicing in July 2016 due to the borrower and parent
company filing for Chapter 11 bankruptcy. The filing was made in
connection with litigation related to a complex deal made in 2005
to reprivatize the sponsor's company, Hammons Hotels. The loan
remains current. The servicer-reported year-end 2017 DSCR was
1.72x. Per the June 2018 STR report, the TTM occupancy, ADR and
RevPAR were 55.8%, $168 and $94, respectively. While there has been
a slight decline in occupancy since issuance (58.3%, as of TTM
October 2014), ADR has increased over the period to $168 from $155
at issuance. The other specially serviced loan is Piedmont Center
(1.1%), which transferred to special servicing on November 27,
2018. The office property, which is located in Greenville, SC, has
been on the servicer watchlist due to its deteriorating cash flow
performance.
The other FLOCs include the fourth largest loan in the pool, the
Broadcom Building loan (4%). The loan is secured by a fully vacant
200,000-sf office property located in San Jose, CA. The property
lost its sole tenant earlier this year when the tenant exercised
its early termination option. The property is currently being
marketed for lease. Fitch performed an additional sensitivity
scenario on this loan assuming a 25% loss severity given the
potential for outsized losses; this sensitivity contributed to the
Negative Rating Outlooks on classes E and F.
The fifth largest loan, Aloft Houston by the Galleria (3.5%), has
suffered a 24% decline in RevPAR since issuance. The hotel
continues to perform in line with its competitive set with RevPAR
penetration of 99.3% as of TTM June 2018. The borrower is
instituting an expense reduction program until demand stabilizes
and rates rise.
The ninth largest loan, One and Two Summit Square Portfolio (2.8%),
has a rolling anchor tenant in September 2019. While the borrower
expects Giant Food Stores to exercise the first of its eight
five-year renewal options, a cash flow sweep has been triggered.
No other FLOC comprises more than 1.4% of the pool collateral.
Fitch will continue to monitor all FLOCs going forward.
Minimal Change to Credit Enhancement Since Issuance: As of the
November 2018 distribution date, the pool's aggregate balance had
been reduced by 6.8% to $896.8 million from $962.2 million at
issuance. Only two loans have paid off since issuance. While the
majority of the pool matures in 2024 (19.9%) and 2025 (75.9%),
three loans (4%) are scheduled to mature in 2020, and one loan
(0.1%) matures in 2022. The transaction is expected to pay down by
15.9%, based on scheduled loan maturity balances. Currently, three
loans (1%) are full-term interest only, while 17 loans (28.6%)
remain in their partial interest-only periods. Three loans (1%) are
currently defeased.
Additional Considerations
Diverse Pool: The 10 largest loans represent 35.6% of the total
pool balance, which is a lower concentration than other Fitch-rated
CMBS transactions of similar vintage.
Property Type Concentration: The portfolio has above-average
multifamily concentration at 33.3% (including loans backed by coops
and mobile home parks). The next highest concentrations are retail
at 24.4% and hotels at 20.6%.
RATING SENSITIVITIES
The Negative Outlooks on classes E and F reflect concern over the
larger FLOCs; downgrades to these classes may occur if a
replacement lease is not executed for the Broadcom Building or if
performance continues to decline at other properties. Fitch
performed an additional sensitivity scenario on this loan assuming
a 25% loss severity given the potential for outsized losses. Rating
Outlooks for the senior classes remain Stable due to the stable
performance of the majority of the remaining pool and continued
expected amortization. Upgrades may occur with improved pool
performance and additional paydown or defeasance.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
-- $4.3 million class A-1 at 'AAAsf'; Outlook Stable;
-- $37.8 million class A-2 at 'AAAsf'; Outlook Stable;
-- $198 million class A-3 at 'AAAsf'; Outlook Stable;
-- $279.8 million class A-4 at 'AAAsf'; Outlook Stable;
-- $88.2 million class A-SB at 'AAAsf'; Outlook Stable;
-- $77 million class A-S at 'AAAsf'; Outlook Stable;
-- Interest only class X-A at 'AAAsf'; Outlook Stable;
-- $42.1 million class B at 'AA-sf'; Outlook Stable;
-- $49.3 million class C at 'A-sf'; Outlook Stable;
-- $168.4 million class PEX at 'A-sf'; Outlook Stable;
-- Interest only class X-C at 'BBsf'; Outlook Negative;
-- Interest only class X-D at 'Bsf'; Outlook Negative;
-- $46.9 million class D at 'BBB-sf'; Outlook Stable;
-- $19.2 million class E at 'BBsf'; Outlook Negative;
-- $9.6 million class F at 'Bsf'; Outlook Negative.
Class A-S, B and C certificates may be exchanged for class PEX
certificates, and class PEX certificates may be exchanged for class
A-S, B, and C certificates.
Fitch does not rate the class X-B, X-E, and G certificates.
WELLS FARGO 2018-C48: Fitch to Rate Class G-RR Certs B-sf
---------------------------------------------------------
Fitch Ratings has issued a presale report on Wells Fargo Commercial
Mortgage Trust 2018-C48 Commercial Mortgage Pass-Through
Certificates, series 2018-C48. Fitch expects to rate the
transaction and assign Rating Outlooks as follows:
-- $18,490,000 class A-1 'AAAsf'; Outlook Stable;
-- $36,431,000 class A-2 'AAAsf'; Outlook Stable;
-- $23,767,000 class A-3 'AAAsf'; Outlook Stable;
-- $32,713,000 class A-SB 'AAAsf'; Outlook Stable;
-- $165,000,000 class A-4 'AAAsf'; Outlook Stable;
-- $307,352,000 class A-5 'AAAsf'; Outlook Stable;
-- $583,753,000a class X-A 'AAAsf'; Outlook Stable;
-- $138,642,000a class X-B 'A-sf'; Outlook Stable;
-- $59,418,000 class A-S 'AAAsf'; Outlook Stable;
-- $40,654,000 class B 'AA-sf'; Outlook Stable;
-- $38,570,000 class C 'A-sf'; Outlook Stable;
-- $31,848,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $31,848,000b class D 'BBB-sf'; Outlook Stable;
-- $14,018,000bc class E-RR 'BBB-sf'; Outlook Stable;
-- $20,848,000bc class F-RR 'BB-sf'; Outlook Stable;
-- $9,382,000bc class G-RR 'B-sf'; Outlook Stable;
The following class is not expected to be rated:
-- $35,442,944bc class H-RR.
(a) Notional amount and interest-only.
(b) Privately placed and pursuant to Rule 144A.
(c) Horizontal credit risk retention interest.
The initial certificate balances of class A-4 and class A-5 are
unknown and expected to be $472,352,000 in aggregate plus or minus
5%. The certificate balances will be determined based on the final
pricing of those classes of certificates. The expected class A-4
balance range is $100,000,000 to $230,000,000 and the expected
class A-5 balance range is $242,352,000 to $372,352,000.
The expected ratings are based on information provided by the
issuer as of Dec. 3, 2018.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 52 loans secured by 95
commercial properties having an aggregate principal balance of
$833,933,944 as of the cutoff date. The loans were contributed to
the trust by Argentic Real Estate Finance LLC, Wells Fargo Bank,
National Association, Barclays Bank PLC, Basis Real Estate Capital
II, LLC and BSPRT CMBS Finance, LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 70.6% of the properties
by balance, cash flow analysis of 83.5% and asset summary reviews
on 100.0% of the pool.
KEY RATING DRIVERS
Fitch Debt Service Coverage Lower Than Recent Transactions: The
pool's Fitch DSCR of 1.14x is well below the YTD 2018 and 2017
averages of 1.23x and 1.26x, respectively, while the pool's Fitch
LTV ratio of 105.9% is greater the YTD 2018 and 2017 averages of
101.9% and 101.6%, respectively.
Diverse Pool: The top 10 loans make up 45.0% of the pool, which is
below the YTD 2018 and 2017 averages of 50.7% and 53.1%,
respectively. The pool has a loan concentration index (LCI) of 327,
indicating a significantly lower loan concentration than the YTD
2018 and 2017 LCI averages of 374 and 398, respectively. The pool's
sponsor concentration index (SCI) is 330, indicating a
significantly lower sponsor concentration than the YTD 2018 and
2017 SCI averages of 400 and 422, respectively.
Investment-Grade Credit Opinion Loans: Three loans, representing
6.9% of the pool, are credit assessed, which is lower than the YTD
2018 and 2017 averages of 14.0% and 11.7%. The eighth largest loan,
Christiana Mall (3.4% of the pool), has a stand-alone credit
opinion of 'AA-sf'. The 16th largest loan, Aventura Mall (2.4% of
the pool), has a stand-alone credit opinion of 'Asf'*. The 31st
largest loan, Fair Oaks Mall (1.2% of the pool), has a stand-alone
credit opinion of 'BBB-sf'*. Excluding the credit opinion loans,
the pool has a Fitch DSCR and LTV of 1.12x and 109.2%,
respectively.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 16.2% below
the most recent year's net operating income (NOI) for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period. Unanticipated further declines
in property-level NCF could result in higher defaults and loss
severities on defaulted loans and in potential rating actions on
the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the WFCM
2018-C48 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.
WFCG COMMERCIAL 2015-BXRP: S&P Affirms B+(sf) Rating on G Certs
---------------------------------------------------------------
S&P Global Ratings raised its ratings on four classes of commercial
mortgage pass-through certificates from WFCG Commercial Mortgage
Trust 2015-BXRP, a U.S. commercial mortgage-backed securities
(CMBS) transaction. At the same time, S&P affirmed its ratings on
two other classes of certificates from the same transaction.
S&P said, "For the upgrades and affirmations, our expectation of
credit enhancement was generally in line with the raised or
affirmed rating levels. The upgrades reflect deleveraging of the
trust balance from additional property releases done at a premium
over the properties' allocated loan amounts.
"While available credit enhancement levels suggest further positive
rating movements on classes D and E and positive rating movements
on classes F and G, our analysis also considered that the
transaction is secured by retail properties in secondary or
tertiary markets, as well as the loan's final maturity in 2019.
"This is a stand-alone (single borrower) transaction backed by a
floating-rate interest-only (IO) mortgage loan secured by 14 retail
properties located across seven U.S. states. Our property-level
analysis included a re-evaluation of the retail properties that
secure the mortgage loan in the trust and considered the stable
servicer-reported net operating income and occupancy for the past
three years (2015 through 2017). We then derived our sustainable
in-place net cash flow, which we divided by a 7.32% S&P Global
Ratings weighted average capitalization rate to determine our
expected-case value. This yielded an overall S&P Global Ratings
loan-to-value ratio coverage of 73.5% on the trust balance."
According to the Nov. 15, 2018, trustee remittance report, the IO
mortgage loan has a trust and whole loan balance of $254.8 million,
down from $796.8 million at issuance. The loan pays an annual
floating interest rate of LIBOR plus weighted average spread of
2.86% and currently matures on Nov. 15, 2019. To date, the trust
has not incurred any principal losses.
The master servicer, Wells Fargo Bank, N.A., reported a debt
service coverage of 2.64x on the trust balance for the year ended
Dec. 31, 2017, and occupancy was 89.6% according to the June 30,
2018, rent rolls for the remaining properties. Based on the June
2018 rent rolls, the five largest tenants make up 15.2% of the
collateral's total net rentable area (NRA). In addition, 2.4%,
6.6%, and 9.3% of the NRA have leases that expire in 2018, 2019,
and 2020, respectively.
RATINGS RAISED
WFCG Commercial Mortgage Trust 2015-BXRP
Commercial mortgage pass-through certificates
Rating
Class To From
B AAA (sf) AA+ (sf)
C AA+ (sf) AA- (sf)
D A+ (sf) A- (sf)
E A- (sf) BBB+ (sf)
RATINGS AFFIRMED
WFCG Commercial Mortgage Trust 2015-BXRP
Commercial mortgage pass-through certificates
Class Rating
F BB- (sf)
G B+ (sf)
[*] DBRS Reviews 18 Ratings From 3 US Structured Fin. Transactions
------------------------------------------------------------------
DBRS, Inc. reviewed 18 ratings from three U.S. structured finance
asset-backed securities transactions: BCC Funding XIV LLC, BCC
Funding XIII LLC and BCC Funding X LLC Equipment Contract Backed
Notes, Series 2015-1. Of the 18 outstanding publicly rated classes
reviewed, nine were confirmed, seven were upgraded and two were
discontinued due to repayment. For 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 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.
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/2KVA3yQ
[*] Moody's Takes Action on $21.26MM RMBS Issued 2001 & 2004
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 7 tranches
and downgraded the rating of one tranche from 5 transactions,
backed by subprime RMBS loans, issued by multiple issuers.
Complete rating actions are as follows:
Issuer: Meritage Mortgage Loan Trust 2004-1
Cl. M-1, Upgraded to B1 (sf); previously on May 4, 2012 Confirmed
at Caa2 (sf)
Issuer: Morgan Stanley Capital I Inc. Trust 2003-NC4
Cl. M-2, Upgraded to B3 (sf); previously on Jun 26, 2014 Upgraded
to Caa2 (sf)
Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2002-NC3
Cl. A-2, Upgraded to Aaa (sf); previously on Apr 10, 2012
Downgraded to Aa3 (sf)
Underlying Rating: Upgraded to Aaa (sf); previously on Apr 10, 2012
Downgraded to Aa3 (sf)
Financial Guarantor: Assured Guaranty Municipal Corp (A2, Oulook
Stable on May 7, 2018)
Cl. A-3, Upgraded to Aaa (sf); previously on Apr 10, 2012
Downgraded to Aa3 (sf)
Cl. M-1, Upgraded to Baa3 (sf); previously on Apr 29, 2015 Upgraded
to B1 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on Jun 9, 2014 Upgraded
to Ca (sf)
Issuer: New Century Home Equity Loan Trust, Series 2003-6
Cl. M-2, Upgraded to B1 (sf); previously on Jun 21, 2017 Upgraded
to B2 (sf)
Issuer: RAMP Series 2001-RS3 Trust
A-I-5, Downgraded to Caa3 (sf); previously on Mar 30, 2011
Downgraded to Caa2 (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to improvement in pool
performances and credit enhancement available to the bonds. The
ratings of Meritage Mortgage Loan Trust 2004-1 Class M-1, Morgan
Stanley Dean Witter Capital I Inc. Trust 2002-NC3 Class M-1 and New
Century Home Equity Loan Trust, Series 2003-6 Class M-2 also
consider the outstanding interest shortfalls, as of September 2018
remittance, that are not likely to be reimbursed.The rating
downgrade on RAMP Series 2001-RS3 Trust, Cl. A-I-5 is due to the
weak performance of the underlying collateral and the erosion of
enhancement available to the bond. The rating actions reflect the
recent performance of the underlying pools and Moody's updated loss
expectations on those pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
The Credit Ratings were assigned in accordance with Moody's
existing Methodology entitled "US RMBS Surveillance Methodology,"
dated 1/31/2017. Please note that on November 14, 2018, Moody's
released a Request for Comment, in which it has requested market
feedback on potential revisions to its Methodology for pre-2009 US
RMBS Prime Jumbo, Alt-A, Option ARM, Subprime, Scratch and Dent,
Second Lien and Manufactured Housing transactions. If the revised
Methodology is implemented as proposed, these Credit Ratings are
not expected to be affected. Please refer to Moody's Request for
Comment, titled "Proposed Update to US RMBS Surveillance
Methodology," for further details regarding the implications of the
proposed Methodology revisions on certain Credit Ratings.
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 3.7% in October 2018 from 4.1% in
October 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 $55.7MM 2nd Lien RMBS Issued 2003-2006
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 7 tranches
from 4 transactions backed by second lien mortgage loans.
Complete rating actions are as follows:
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes, Series
2004-I
Notes, Upgraded to Ba2 (sf); previously on May 20, 2016 Downgraded
to Caa1 (sf)
Issuer: RFMSII Home Loan Trust 2006-HI3
Cl. A-4, Upgraded to Caa3 (sf); previously on Apr 21, 2010
Downgraded to C (sf)
Underlying Rating: Upgraded to Caa3 (sf); previously on Apr 21,
2010 Downgraded to C (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: SACO I Trust 2005-GP1
Cl. A-2, Upgraded to A3 (sf); previously on Feb 28, 2018 Upgraded
to Baa3 (sf)
Cl. M-1, Affirmed A3 (sf); previously on Jan 18, 2013 Downgraded to
A3 (sf)
Underlying Rating: Upgraded to Caa3 (sf); previously on Sep 2, 2010
Downgraded to C (sf)
Financial Guarantor: Assured Guaranty Corp (Affirmed at A3, Outlook
Stable on May 07,2018)
Cl. A-1, Affirmed A3 (sf); previously on Jan 18, 2013 Downgraded to
A3 (sf)
Underlying Rating: Upgraded to A3 (sf); previously on Feb 28, 2018
Upgraded to Baa3 (sf)
Financial Guarantor: Assured Guaranty Corp (Affirmed at A3, Outlook
Stable on May 07,2018)
Issuer: Structured Asset Securities Corp 2003-S2
Cl. M1-A, Upgraded to A3 (sf); previously on Jul 6, 2010 Downgraded
to Ba1 (sf)
Cl. M1-F, Upgraded to A3 (sf); previously on Jul 6, 2010 Downgraded
to Ba1 (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pools
and reflect Moody's updated loss expectations on the pools. The
rating upgrades are a result of the improving performance of the
related pools and an increase in credit enhancement available to
the bonds.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 3.7% in October 2018 from 4.1% in
October 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.
[*] S&P Cuts Ratings on 17 Classes From 17 US RMBS Deals to D(sf)
-----------------------------------------------------------------
S&P Global Ratings lowered its ratings on 17 classes of mortgage
pass-through certificates from 17 U.S. residential mortgage-backed
securities (RMBS) transactions issued between 2003 and 2009 to 'D
(sf)'.
The transactions in this review are backed by a mix of fixed- and
adjustable-rate mortgage loans, which are secured primarily by
first liens on one- to four-family residential properties. The
downgrades reflect S&P's assessment of the principal write-downs'
impact on the affected classes during recent remittance periods.
All of the classes were rated either 'CCC (sf)' or 'CC (sf)' before
the rating actions.
The 17 defaulted classes consist of the following:
-- Four from alternative-A transactions (23.53%);
-- Nine from prime jumbo transactions (52.94%);
-- Three from subprime transactions (17.65%); and
-- One from a re-REMIC transaction (5.88%).
All of the transactions in this review receive credit enhancement
from a combination of subordination, excess spread, and
overcollateralization (where applicable).
A list of Affected Ratings can be viewed at:
https://bit.ly/2BNDhkL
[*] S&P Takes Various Action on 146 Classes From 19 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 146 classes from 19 U.S.
residential mortgage-backed securities (RMBS) transactions, issued
between 1997 and 2007. All of these transactions are backed by
subprime, alternative-A, and prime jumbo collateral. The review
yielded 13 upgrades, 30 downgrades, 89 affirmations and 14
discontinuances. S&P removed two of the affirmed ratings from
CreditWatch negative.
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by our projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations include:
-- Collateral performance/delinquency trends;
-- Historical interest shortfalls;
-- Increases in credit support;
-- Expected duration;
-- Priority of principal payments;
-- Interest-only criteria;
-- Principal-only criteria and;
-- Available subordination and/or overcollateralization.
Rating Actions
S&P said, "The rating affirmations reflect our opinion that our
projected credit support and collateral performance on these
classes has remained relatively consistent with our prior
projections.
"We raised our rating on class M-1 from CWABS Asset Backed
Certificates Trust 2005-AB1 to 'A+ (sf)' from 'BB (sf)' as a result
of increased credit support. The class has benefitted from the
failure of performance triggers and the resulting sequential
payment of principal whereby it is receiving all principal
distribution amounts, which has built credit support for the class
as a percent of the deal balance. We believe this class now has
credit support that is sufficient to withstand losses at this
higher rating level.
"We also raised our ratings on five classes due to expected short
duration. Based on the classes' average recent principal
allocation, these classes are projected to pay down in a short
period of time relative to the projected loss timing, limiting its
exposure to potential losses.
"We placed our 'B- (sf)' ratings on classes A1 and A3 from
Structured Adjustable Rate Mortgage Loan Trust Series 2004-7 on
CreditWatch with negative implications on Sept. 14, 2018, as a
result of the write-down on class A4 from this transaction, while
we determined whether the performance of the loans backing this
transaction has affected these ratings. We affirmed the ratings on
these classes and removed them from CreditWatch negative, as the
projected credit support on these classes has remained relatively
consistent with our prior projections."
The majority of the downgrades reflect that the payment allocation
triggers are passing, allowing principal payments to be made to
more subordinate classes and eroding projected credit support for
the affected classes.
A list of Affected Ratings can be viewed at:
https://bit.ly/2BOGxg0
[*] S&P Takes Various Actions on 88 Classes From 19 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 88 classes from 19 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 1999 and 2006. All of these transactions are backed by
subprime and reperforming collateral. The review yielded 29
upgrades, 17 downgrades, and 42 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 or missed interest payments,
-- Priority of principal payments,
-- Proportion of reperforming loans in the pool, 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 10 ratings by four or more notches due to increased
credit support. These classes have benefitted from failed
performance triggers, which built credit support as a percent of
the classes' respective deal balance. Ultimately, we believe these
classes have credit support that is sufficient to withstand
projected losses at higher rating levels."
A list of Affected Ratings can be viewed at:
https://bit.ly/2Rqv4IN
*********
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Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors.
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