/raid1/www/Hosts/bankrupt/TCR_Public/190127.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, January 27, 2019, Vol. 23, No. 26
Headlines
AASET 2014-1: Fitch Affirms BB Rating on Class C Debt
ACRE COMMERCIAL 2017-FL3: DBRS Confirms B(low) Rating on F Notes
ANGEL OAK 2019-1: DBRS Gives (P)B(high) Rating on B-2 Certs
ANGEL OAK 2019-1: Fitch to Rate $22.8MM Class B-1 Certs BBsf
BAMLL COMMERCIAL 2016-SS1: DBRS Confirms BB Rating on Class E Certs
BANK OF AMERICA 2017-BNK3: Fitch Affirms Class F Certs at Bsf
CIFC FUNDING 2015-IV: Moody's Rates $9MM Class E-R Notes 'B3'
COMM 2012-CCRE4: Fitch Lowers Class D Certs Rating to CCCsf
COMM 2012-LC4: Moody's Cuts Cl. X-B Debt Rating to B2
COMM 2016-DC2: Fitch Affirms BB- Rating on $10.1MM Class F Certs
CONNECTICUT AVENUE 2017-C03: Moody's Hikes 18 Tranches to Ba1(sf)
CPS AUTO 2017-D: S&P Hikes Class E Debt Rating to BB
CPS AUTO 2019-A: S&P Assigns BB- Rating on $25MM Class E Notes
CREDIT SUISSE 2005-C5: Fitch Affirms Csf Rating on Class H Certs
CSAIL 2016-C5: Fitch Affirms B-sf Rating on Class F Certs
DRYDEN 71 CLO: S&P Gives Prelim BB- Rating on $18MM Cl. E Notes
EXETER AUTO 2019-1: DBRS Gives (P)BB Rating on $50.9MM Cl. E Notes
EXETER AUTOMOBILE 2019-1: S&P Assigns Prelim BB Rating on E Notes
GE COMMERCIAL 2005-C1: DBRS Cuts Class D Debt Rating to Csf
GMAC COMMERCIAL 2004-C3: Fitch Affirms Bsf Rating on Class D Certs
GOLDENTREE LOAN 4: S&P Assigns Prelim B-(sf) Rating on Cl. F Notes
GUANAY FINANCE: Fitch Affirms $450MM Series 2013-1 Notes at BB-
IMSCI 2015-6: DBRS Confirms B Rating on Class G Certificates
JFIN CLO 2014: S&P Affirms B Rating on Cl. F Notes, Off CreditWatch
JP MORGAN 2002-CIBC5: Fitch Affirms Dsf Rating on Class M Certs
JP MORGAN 2003-CIBC6: Fitch Affirms Bsf Rating on Class L Notes
LONE STAR 2015-LSP: S&P Affirms BB+ Rating on Class E Certs
MERRILL LYNCH 2003-WMC1: Moody's Cuts Class S Debt Rating to C
MORGAN STANLEY 2014-C15: DBRS Confirms B Rating on Class X-C Certs
NEUBERGER BERMAN 30: S&P Assigns BB- Rating on Class E Notes
NEW RESIDENTIAL 2019-1: DBRS Finalizes B Rating on 8 Note Classes
NEW RESIDENTIAL 2019-NQM1: DBRS Finalizes B Rating on B-2 Notes
NEW RESIDENTIAL 2019-NQM1: S&P Gives B Rating on $7MM B-2 Notes
OBX TRUST 2019-INV1: Moody's Assigns (P)B2 Rating on Class B-5 Debt
OCEAN TRAILS IV: S&P Raises Class F Notes Rating to 'BB-(sf)'
ONEMAIN FINANCIAL 2019-1: S&P Gives BB Rating on $5MM Cl. E Notes
PARTS PRIVATE 2007-CT1: Fitch Affirms CCsf Rating on Class B Debt
RESIDENTIAL ASSET 2005-A15: Moody Ups Cl. 2-A-X Debt to Caa3
SALOMON BROTHERS 2001-MM: Moody's Hikes Cl. F-8 Certs to Ba2
SEQUOIA MORTGAGE 2019-1: Moody's Gives Ba3 Rating to Cl. B-4 Certs
STACR TRUST 2019-DNA1: DBRS Assigns Prov. B Ratings on 3 Tranches
STACR TRUST 2019-DNA1: S&P Assigns Prelim B- Rating on B-1B Notes
VERTICAL CDO 2003-1: S&P Lowers Ratings on 2 Tranches to 'D(sf)'
VITALITY RE X 2019: S&P Assigns BB+ Rating on Class B Notes
WAMU MORTGAGE 2006-AR19: Moody's Lowers Cl. 2-X-PPP Certs to Caa3
WELLS FARGO 2015-NXS1: Fitch Affirms B-sf Rating on Class F Certs
WELLS FARGO 2019-1: DBRS Gives (P)BB Rating on $3.6MM Cl. B-4 Certs
WELLS FARGO 2019-1: S&P Assigns BB-(sf) Rating on Class B4 Certs
WFRBS COMMERCIAL 2014-LC14: Fitch Cuts Class F Certs Rating to CCC
WHITEHORSE LTD IX: Moody's Cuts Rating on $19.5MM E Notes to B1
[*] DBRS Reviews 67 Ratings From 14 CPS Auto ABS Transactions
[*] Moody's Takes Action on $1.44BB Subprime RMBS Issued 2003-2007
[*] Moody's Takes Action on $120MMM Subprime RMBS Issued 2002-2006
[*] S&P Lowers Ratings on Seven Classes From 3 US CMBS Deals to D
[*] S&P Takes Various Action on 40 Classes From Four US RMBS Deals
[*] S&P Takes Various Actions on 31 Classes From 17 US RMBS Deals
[*] S&P Takes Various Actions on 34 Classes for 25 US RMBS Deals
[*] S&P Takes Various Actions on 60 Classes From 12 US RMBS Deals
*********
AASET 2014-1: Fitch Affirms BB Rating on Class C Debt
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Fitch Ratings affirms AASET 2018-1 Trust and Apollo Aviation
Securitization Equity Trust 2014-1 Refinancing Loan (AASET 2014-1),
2018 Refinance as follows:
2018-1:
-- Class A at 'Asf'; Outlook Stable;
-- Class B at 'BBBsf'; Outlook Stable;
-- Class C at 'BBsf'; Outlook Stable.
2014-1, 2018 Refinance
-- Class A at 'Asf'; Outlook Stable;
-- Class B at 'BBBsf'; Outlook Stable;
-- Class C at 'BBsf'; Outlook Stable.
KEY RATING DRIVERS
The affirmation of the class A, B, and C notes in both transactions
reflects performance to date. For 2018-1, utilization has remained
at 100%, lease cash flows have been above Fitch's base
expectations, and all classes are paying according to their
amortization schedule. In recent months, AASET 2014-1 has
experienced some stress following the bankruptcy and subsequent
repossession of four aircraft from Small Planet. As a result, lease
collections and the debt service coverage ratio (DSCR) have
declined, while utilization currently stands at approximately 90%.
However, Fitch took the status of these aircraft into consideration
for cash flow modelling scenarios, and all classes are still able
to pass stress scenarios consistent with their current ratings. In
Fitch's scenarios, the DSCR trigger is hit within a couple months,
but subsequently recovers as aircraft are redeployed or sold.
For AASET 2018-1, cash flow modelling was not completed as
performance has been within expectations, no performance triggers
have been tripped, and the transaction has been modelled within the
past 18 months, in line with criteria.
For AASET 2014-1, assumptions for cash flow modelling scenarios
remained consistent with the initial review, with a few exceptions.
One of the grounded aircraft was assumed to be sold in the coming
months for 75% of its projected value as opposed to 100%, which
would have been suggested by the initial approach. Additionally,
unrated airlines were assumed to carry 'B' Issuer Default Ratings
(IDRs) aside from the following, which were assumed to have an IDR
of 'CCC': Onur Air, Germania, SpiceJet, SriLankan, Ellinair, and
AtlasJet.
RATING SENSITIVITIES
Due to the correlation between global economic conditions and the
airline industry, the ratings may be impacted by the strength of
the macro-environment over the remaining term of this transaction.
Global economic conditions that are inconsistent with Fitch's
expectations and stress parameters could lead to negative rating
actions. In the initial rating analysis, Fitch found the
transaction to have minimal sensitivity to the timing or severity
of assumed recessions.
Fitch found that greater default probability of the leases would
have a material impact on the ratings. In addition, Fitch found the
timing or degree of technological advancement in the commercial
aviation space and the impacts these changes would have on values,
lease rates, and utilization, would have a moderate impact on the
ratings.
ACRE COMMERCIAL 2017-FL3: DBRS Confirms B(low) Rating on F Notes
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DBRS, Inc. confirmed the ratings on the following classes of
secured Floating Rate Notes issued by ACRE Commercial Mortgage
2017-FL3 Ltd. (the Issuer):
-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class F at B (low) (sf)
All trends are Stable.
Classes E and F are non-offered classes.
The transaction is a managed collateralized loan obligation pool
that includes 17 loans and totals $557.0 million. This represents
an upsize from the initial transaction that was rated by DBRS in
February 2017. The original 2017 transaction consisted of 12 loans
secured by 16 commercial real estate properties, with a total trust
balance of $341.2 million. Since then, 11 loans have been paid off,
comprising $307.2 million of the original pool balance, and 16 new
loans have been added to the trust. Only one loan of the original
2017 securitization remains in the current pool. While the entire
pool can change as loans pay off and funds are redeployed, the
Issuer is required to meet Reinvestment Criteria, which, among
other things, includes a Rating Agency Confirmation (RAC) for each
additional loan obligation prior to reinvestment, to mitigate
volatility. Nine of the current loans, or 52.8% of the total trust
balance, have a pari passu companion participation held by a
subsidiary of the trust asset seller and sponsor, ACRC Lender LLC.
As of December 14, 2018, the total amount of future commitments is
$47.7 million. The current collateral consists of 48 multifamily,
office, hotel and industrial assets that generally have some level
of transition or stabilization, which is the premise for seeking
floating-rate short-term debt. The transaction has a Reinvestment
Period that is expected to expire in March 31, 2021, and DBRS will
have the ability to provide an RAC on loans that are added to the
pool during the Reinvestment Period in order to evaluate any credit
drift caused by potential loan concentrations.
Notes: All figures are in U.S. dollars unless otherwise noted.
ANGEL OAK 2019-1: DBRS Gives (P)B(high) Rating on B-2 Certs
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DBRS, Inc. assigned provisional ratings to the following
Mortgage-Backed Certificates, Series 2019-1 issued by Angel Oak
Mortgage Trust I, LLC 2019-1 (AOMT 2019-1 or the Trust):
-- $390.1 million Class A-1 at AAA (sf)
-- $54.3 million Class A-2 at AA (sf)
-- $49.1 million Class A-3 at A (sf)
-- $40.8 million Class M-1 at BBB (sf)
-- $20.7 million Class B-1 at BB (high) (sf)
-- $22.9 million Class B-2 at B (high) (sf)
The AAA (sf) rating on the Class A-1 Certificates reflects the
36.00% of credit enhancement provided by subordinated Certificates
in the pool. The AA (sf), A (sf), BBB (sf), BB (high) (sf) and B
(high) (sf) ratings reflect 27.10%, 19.05%, 12.35%, 8.95% and 5.20%
of credit enhancement, respectively.
Other than the specified classes above, DBRS does not rate any
other classes in this transaction.
This transaction is a securitization of a portfolio of primarily
first-lien fixed- and adjustable-rate, non-prime, and prime
residential mortgages. The Certificates are backed by 1,752 loans
with a total principal balance of $609,601,531 as of the Cut-Off
Date (January 1, 2019).
Angel Oak Home Loans LLC (AOHL), Angel Oak Mortgage Solutions LLC
(AOMS) and Angel Oak Prime Bridge LLC (collectively, Angel Oak)
originated 95.5% of the portfolio (1,539 loans). The Angel Oak
first-lien mortgages were originated under the following nine
programs:
(1) Portfolio Select (36.7%) – Made to borrowers with near-prime
credit scores who are unable to obtain financing through
conventional or governmental channels because (a) they fail to
satisfy credit requirements, (b) they are self-employed and need an
alternate income calculation using 12 or 24 months of bank
statements to qualify, (c) they may have a credit score that is
lower than that required by government-sponsored entity
underwriting guidelines or (d) they may have been subject to a
bankruptcy or foreclosure 24 or more months prior to origination.
(2) Platinum (34.5%) – Made to borrowers who have prime or
near-prime credit scores but who are unable to obtain financing
through conventional or governmental channels because (a) they fail
to satisfy credit requirements, (b) they are self-employed and need
alternative income calculations using 12 or 24 months of bank
statements or (c) they may have been subject to a bankruptcy or
foreclosure 48 or more months prior to origination.
(3) Prime Jumbo (9.4%) – Made to borrowers who have prime credit
scores and cleaner housing history with no bankruptcy or
foreclosure in the 60 months prior to origination. The loan amounts
will also allow high balance-conforming loan limits. An
interest-only feature is allowed. The income documentation
requirements follow Appendix Q.
(4) Non-Prime General (7.1%) – Made to borrowers who have not
sustained a housing event in the past 24 months, but whose credit
reports show multiple 30+- and/or 60+-day delinquencies on any
reported debt in the past 12 months.
(5) Investor Cash Flow (4.1%) – Made to real estate investors who
are experienced in purchasing, renting and managing investment
properties with an established five-year credit history and at
least 24 months of clean housing payment history but who are unable
to obtain financing through conventional or governmental channels
because (a) they fail to satisfy the requirements of such programs
or (b) may be over the maximum number of properties allowed. Loans
originated under the Investor Cash Flow program are considered
business-purpose and are not covered by the Ability-to-Repay (ATR)
rules or the TRID rule.
(6) Asset Qualifier (1.4%) – Made to borrowers with prime credit
and significant assets who can purchase the property with their
assets but choose to use a financing instrument for cash flow
purposes. Assets should cover the purchase of the home plus 60
months of debt service and six months of reserves. No income
documentation is obtained, but the borrower is qualified based on
certain credit requirements (minimum score of 700) and significant
asset requirements. These loans are available within both the
Platinum and Portfolio Select programs.
(7) Non-Prime Foreign National (1.2%) – Made to investment
property borrowers who are citizens of foreign countries and who do
not reside or work in the United States. Borrowers may use
alternative income and credit documentation. Income is typically
documented by the employer or accountant and credit is verified by
letters from overseas credit holders.
(8) Non-Prime Recent Housing (1.1%) – Made to borrowers who have
completed or have had their properties subject to a short sale,
deed-in-lieu, and notice of default or foreclosure. Borrowers who
have filed bankruptcy 12 or more months prior to origination or
have experienced severe delinquencies may also be considered for
this program.
(9) Non-Prime Investment Property (0.1%) – Made to real estate
investors who may have financed up to four mortgaged properties
with the originators (or 20 mortgaged properties with all
lenders).
In addition, the pool contains 0.1% second-lien mortgage loans,
which were originated under the guidelines established by the
Federal National Mortgage Association (Fannie Mae) and overlaid by
Angel Oak.
The remaining 224 mortgage loans (4.5% of the aggregate pool
balance) were originated by two third-party originators. Of the
third-party origination loans, 29 loans (3.0% of the aggregate pool
balance) were originated by Home Bridge Financial Services (Home
Bridge).
Select Portfolio Servicing Inc. (SPS) is the servicer for all loans
not originated by Home Bridge. Home bridge will be the servicer for
Home Bridge-originated loans. AOHL and Home Bridge will act as
Servicing Administrators and Wells Fargo Bank, N.A. (Wells Fargo;
rated AA with a Stable trend by DBRS) will act as the Master
Servicer. U.S. Bank National Association will serve as Trustee and
Custodian.
Although the mortgage loans were originated to satisfy the Consumer
Financial Protection Bureau (CFPB) ATR rules, they were made to
borrowers who generally do not qualify for an agency, government or
private-label non-agency prime jumbo products for the various
reasons described above. In accordance with the CFPB Qualified
Mortgage (QM) rules, 9.1% of the loans are designated as QM Safe
Harbor, 1.1% is designated as QM Rebuttable Presumption and 79.2%
are designated as Non-QM. Approximately 10.7% of the loans are for
investment properties and thus are not subject to QM rules.
The Servicers will generally fund advances of delinquent principal
and interest on any mortgage until such loan becomes 180 days
delinquent and they are obligated to make advances in respect of
taxes, insurance premiums and reasonable costs incurred in the
course of servicing and disposing of properties.
On or after the distribution date in January 2022, the Depositor
has the option to purchase all of the outstanding certificates at a
price equal to the outstanding class balance plus accrued and
unpaid interest, including any cap carryover amounts. After such
purchase, the Depositor then has the option to sell all of the
remaining mortgage loans either (1) to an unaffiliated third-party
or (2) in an auction in which the Trustee has received at least two
bids from unaffiliated third parties in a single transaction or
multiple simultaneous transactions.
The transaction employs a sequential-pay cash flow structure with a
pro rata principal distribution among the senior tranches.
Principal proceeds can be used to cover interest shortfalls on the
Certificates as the outstanding senior Certificates are paid in
full. Further, the excess spread can be used to cover realized
losses first before being allocated to unpaid cap carryover amounts
up to Class B-1.
The ratings reflect transactional strengths that include the
following:
(1) Strong Underwriting Standards: Whether for prime or non-prime
mortgages, underwriting standards have improved significantly from
the pre-crisis era. All of the mortgage loans (except for Investor
Cash Flow, Investment Property and Foreign National) were
underwritten in accordance with the eight underwriting factors of
the ATR rules, although they may not necessarily comply with
Appendix Q of Regulation Z.
(2) Robust Loan Attributes and Pool Composition:
-- The mortgage loans in this portfolio generally have robust loan
attributes, as reflected in the combined loan-to-value (LTV)
ratios, borrower household incomes and liquid reserves, including
the loans in the Non-Prime programs that have weaker borrower
credit.
-- LTV ratios gradually reduce as the programs move down the
credit spectrum, suggesting the consideration of compensating
factors for riskier pools.
-- The pool comprises 63.2% hybrid adjustable-rate mortgages with
an initial fixed period of five to ten years, allowing borrowers
sufficient time to credit cure before rates reset. The remaining
36.8% of the pool comprises fixed-rate mortgages, which have the
lowest default risk because of the stability of monthly payments.
(3) Satisfactory Third-Party Due Diligence Review: Third-party due
diligence firms conducted property valuation and credit reviews on
100% of the loans in the pool. For 95.9% of the loans (i.e., the
entire pool excluding 162 Investor Cash Flow loans), third-party
due diligence firms performed a regulatory compliance review. Data
integrity checks were also performed on the pool.
(4) Strong Servicer: SPS, a strong residential mortgage servicer
and a wholly owned subsidiary of Credit Suisse AG, services most of
the loans (97.0%) in the pool. In this transaction, AOHL and Home
Bridge, as the Servicing Administrators, or SPS, as the main
servicer, are responsible for funding advances to the extent
required. In addition, the transaction employs Wells Fargo as the
Master Servicer. If the Servicing Administrators or the Servicers
fail in their obligations to make principal and interest advances,
Wells Fargo will be obligated to fund such servicing advances.
(5) Current Loans and Faster Prepayments: Angel Oak began
originating non-agency loans in Q4 2013. Since the first
transaction was issued in December 2015, voluntary prepayment rates
have been relatively high, as these borrowers tend to credit cure
and refinance into lower-cost mortgages. Also, the loans in the
AOMT 2019-1 portfolio are 100% current. Although 3.1% of the pool
has experienced prior delinquencies, these loans have all cured.
The transaction also includes the following challenges and
mitigating factors:
(1) Representations and Warranties (R&W) Framework and Provider:
Although slightly stronger than other comparable Non-QM
transactions rated by DBRS, the R&W framework for AOMT 2019-1 is
weaker compared with post-crisis prime jumbo securitization
frameworks. Instead of an automatic review when a loan becomes
seriously delinquent, this transaction employs a mandatory review
upon less immediate triggers. In addition, the R&W provider,
guarantor or backstop provider are unrated entities, have limited
performance history in Non-QM securitizations and may potentially
experience financial stress that could result in the inability to
fulfill repurchase obligations. DBRS notes the following mitigating
factors:
-- Satisfactory third-party due diligence was conducted on 100% of
the loans included in the pool with respect to credit, property
valuation, and data integrity. A regulatory compliance review was
performed on all but 162 Investor Cash Flow loans. A comprehensive
due diligence review mitigates the risk of future R&W violations.
-- An independent third-party R&W reviewer, Covius Real Estate
Services, LLC is named in the transaction to review loans for
alleged breaches of R&W.
-- DBRS conducted an on-site originator review of AOHL and AOMS
and deems the mortgage companies to be acceptable.
-- The Sponsor or Co-Sponsor, both affiliates of Angel Oak, will
retain an eligible vertical interest in at least 5% of each class'
certifications aligning sponsor and investor interest in the
capital structure.
-- Notwithstanding the above, DBRS adjusted the originator scores
downward to account for the potential inability to fulfill
repurchase obligations, the lack of performance history and the
weaker R&W framework. A lower originator score results in increased
default and loss assumptions and provides additional cushions for
the rated securities.
(2) Non-Prime, QM-Rebuttable Presumption or Non-QM Loans: As
compared with post-crisis prime jumbo transactions, this portfolio
contains mortgages originated to borrowers with weaker credits or
who have prior derogatory credit events, as well as QM-Rebuttable
Presumption or Non-QM loans. In addition, certain loans were
underwritten using 24-month bank statements for income (30.5%),
12-month bank statements (20.6%), and assets in lieu of income
verification (1.4%) or as Investor Cash Flow loans (4.1%). DBRS
notes the following mitigating factors:
-- All loans subject to the ATR rules were originated to meet the
eight required underwriting factors.
-- Underwriting standards have improved substantially since the
pre-crisis era.
-- Bank statements as income and business-purpose loans are
treated as less-than-full documentation in the RMBS Insight Model,
which increases expected losses on those loans.
-- The RMBS Insight Model incorporates loss severity penalties for
Non-QM and QM Rebuttable Presumption loans, as explained further in
the Key Loss Severity Drivers section of the related report.
-- For loans in this portfolio that were originated through the
Non-Prime General and Non-Prime Recent Housing Event programs,
borrower credit events had generally happened, on average, 36
months and 20 months, respectively, prior to the Cut-Off date. In
its analysis, DBRS applies additional penalties for borrowers with
recent credit events within the past two years.
(3) Geographic Concentration: Compared with other recent
securitizations, the AOMT 2019-1 pool has a high concentration of
loans located in Florida (24.2% of the pool). Mitigating factors
include the following:
-- Although the pool is concentrated in Florida, the loans are
well dispersed among metropolitan statistical areas (MSAs). The
largest Florida MSA, Miami-Miami Beach-Kendall, represents only
5.1% of the entire transaction. DBRS does not believe the AOMT
2019-1 pool is particularly sensitive to any deterioration in
economic conditions or to the occurrence of a natural disaster in
any specific region.
-- DBRS's RMBS Insight Model generates an elevated asset
correlation for this portfolio, as determined by the loan size and
geographic concentration, compared with pools with similar
collateral, resulting in higher expected losses across all rating
categories.
(4) Servicer Advances of Delinquent Principal and Interest: The
related Servicer will advance scheduled principal and interest on
delinquent mortgages until such loans become 180 days delinquent or
until such advances are deemed unrecoverable. This will likely
result in lower loss severities to the transaction because advanced
principal and interest will not have to be reimbursed from the
Trust upon the liquidation of the mortgages but will increase the
possibility of periodic interest shortfalls to the Certificate
holders. Mitigating factors include the fact that (a) principal
proceeds can be used to pay interest shortfalls to the Certificates
as the outstanding senior Certificates are paid in full and (b)
subordination levels are greater than expected losses, which may
provide for payment of interest to the Certificates. DBRS ran cash
flow scenarios that incorporated principal and interest advancing
up to 180 days for delinquent loans; the cash flow scenarios are
discussed in more detail in the Cash Flow Analysis section of the
related report.
The DBRS ratings of AAA (sf) and AA (sf) address the timely payment
of interest and full payment of principal by the legal final
maturity date in accordance with the terms and conditions of the
related Certificates. The DBRS ratings of A (sf), BBB (sf), BB
(high) (sf) and B (high) (sf) address the ultimate payment of
interest and full payment of principal by the legal final maturity
date in accordance with the terms and conditions of the related
Certificates.
ANGEL OAK 2019-1: Fitch to Rate $22.8MM Class B-1 Certs BBsf
------------------------------------------------------------
Fitch Ratings expects to rate Angel Oak Mortgage Trust I, LLC
2019-1 (AOMT 2019-1) as follows:
-- $390,145,000 class A-1 certificates 'AAAsf'; Outlook Stable;
-- $54,255,000 class A-2 certificates 'AAsf'; Outlook Stable;
-- $49,072,000 class A-3 certificates 'Asf'; Outlook Stable;
-- $40,844,000 class M-1 certificates 'BBB-sf'; Outlook Stable;
-- $20,726,000 class B-1 certificates 'BBsf'; Outlook Stable;
-- $22,860,000 class B-2 certificates 'Bsf'; Outlook Stable.
Fitch will not be rating the following classes:
-- $31,699,531 class B-3 certificates;
-- $591,041,524 class A-IO-S notional certificates.
TRANSACTION SUMMARY
The certificates in AOMT 2019-1 are secured mainly by non-qualified
mortgages (Non-QM) as defined by the Ability to Repay Rule (ATR).
95.5% of the loans were originated by several Angel Oak entities,
which include Angel Oak Mortgage Solutions LLC (AOMS) (79.8%),
Angel Oak Home Loans LLC (AOHL) (15.2%)and Angel Oak Prime Bridge
LLC (AOPB) (0.5%). HomeBridge Financial Services, Inc. (HomeBridge)
and a third-party originator originated the remaining 4.5% of the
loans. Approximately 79% of the pool is designated as Non-QM, 1.1%
as a higher priced QM (HPQM), 9.1% as safe harbor QM (SHQM) and the
remaining 10.7% is not subject to ATR.
Initial credit enhancement (CE) for the class A-1 certificates of
36.00% is higher than Fitch's 'AAAsf' rating stress loss of 30.25%.
The additional initial CE is primarily driven by the pro rata
principal distribution between the A-1, A-2 and A-3 certificates,
which will result in a significant reduction of the class A-1
subordination over time through principal payments to the A-2 and
A-3.
KEY RATING DRIVERS
Non-prime Credit Quality (Negative): The pool has a weighted
average (WA) model credit score of 708 and WA original combined
loan-to-value ratio (CLTV) of 77.3%. Approximately 20% of the pool
consists of borrowers with prior credit events in the past seven
years, 1.2% is foreign nationals, and 1.6% is second liens. The
pool characteristics resemble recent non-prime collateral and was
analyzed using Fitch's non-prime model. A key distinction between
this pool and legacy Alt-A loans is that these loans adhere to
underwriting and documentation standards required under the CFPB's
Ability to Repay Rule (Rule), which reduce the risk of borrower
default arising from lack of affordability, misrepresentation or
other operational quality risks due to the rigor of the Rule's
mandates for underwriting and documenting a borrower's ability to
repay.
Bank Statement Loans Included (Negative): Approximately 51%
(738 loans) was made to self-employed borrowers underwritten to a
bank statement program (30.5% to a 24-month bank statement program
and 20.6% to a 12-month bank statement program) for verifying
income in accordance with either AOHL's or AOMS's guidelines, which
is not consistent with Appendix Q standards and Fitch's view of a
full documentation program. While employment is fully verified and
assets partially confirmed, the limited income verification
resulted in application of a probability of default (PD) penalty of
approximately 1.5x for the bank statement loans at the 'AAAsf'
rating category. Additionally, Fitch's assumed probability of ATR
claims was doubled, which increased the loss severity (LS).
High Investor Property Concentration (Negative): Approximately 11%
of the pool comprises investment properties, 4.1% of which were
originated through the originators' investor cash flow program that
targets real estate investors qualified on a debt service coverage
ratio (DSCR) basis. While the borrower's credit score and LTV are
used in the underwriting of the investor cash flow loans, the ratio
of market rent as a multiple of mortgage principal, interest,
taxes, insurance and homeowner association dues determines the
DSCR, which averages 1.34. Since Fitch's model was developed using
a debt-to-income (DTI) ratio, in its analysis, Fitch mapped the
DSCR to a DTI ratio of comparable credit risk. The remaining
investor properties were underwritten to borrower DTIs.
Modified Sequential Payment Structure (Mixed): The structure
distributes collected principal pro rata among the class A notes
while shutting out the subordinate bonds from principal until all
three classes have been reduced to zero. To the extent that either
the cumulative loss trigger event or the delinquency trigger event
occurs in a given period, principal will be distributed
sequentially to the class A-1, A-2 and A-3 bonds until they are
reduced to zero. The transaction benefits from a relatively tight
cumulative loss trigger.
Limited Advancing Structure (Mixed): The transaction has a stop
advance feature where the servicer will advance delinquent
principal and interest (P&I) up to 180 days. While the limited
advancing of delinquent P&I benefits the pool's projected LS, it
reduces liquidity. To account for the reduced liquidity of a
limited advancing structure, principal collections are available to
pay timely interest to the 'AAAsf', 'AAsf' and 'Asf' rated bonds.
Fitch expects 'AAAsf' and 'AAsf' rated bonds to receive timely
payments of interest.
Low Operational Risk (Mixed): The operational risk in this
transaction is adequately controlled for despite the non-prime
credit quality of the loan pool. Angel Oak has an 'Average'
originator assessment from Fitch and the transaction benefits from
100% third-party due diligence. The due diligence results indicated
a low level of material defects and the issuer's retention of at
least 5% of the bonds help ensure an alignment of interest between
issuer and investor. The representation and warranty (R&W)
framework (assessed by Fitch as Tier '2') is supported with an
automatic review of loans that are subject to an ATR claim and
cases where documents required to be delivered to a custodian are
outstanding 12 months after closing.
Alignment of Interests (Positive): The transaction benefits from an
alignment of interest between the issuer and investors. Angel Oak
REIT I as sponsor and securitizer, or an affiliate will retain a
vertical interest in the transaction of at least 5% of the
aggregate certificate balance of all certificates in the
transaction. As part of its focus on investing in residential
mortgage credit, as of the closing date, Angel Oak REIT I (sponsor)
and Angel Oak Strategic Mortgage Income Master Fund,
Ltd.(co-sponsor) will retain the class B-2, B-3, A-IO-S, and XS
certificates. Lastly, the R&Ws are provided by Angel Oak REIT I or
the originators in the event the REIT ceases operations, which
provides an incentive to maintain high quality origination
standards and sound performance.
Satisfactory Originator Review and Track Record (Positive): Fitch's
assessment of AOMS and AOHL is based on the companies' seasoned
management team and extensive nonprime mortgage experience, a
comprehensive sourcing strategy and sound underwriting and risk
management practices. AOHL (retail platform) commenced agency loan
originations in 2011 and ramped up its nonprime business in 2012.
Correspondent and broker originations are conducted by AOMS, which
began operations in 2014.
Servicing and Master Servicer (Positive): Select Portfolio
Servicing (SPS), rated 'RPS1-'/Outlook Stable, will be the primary
servicer on 97% of the loans, while HomeBridge will be servicing
the remaining 3%. Wells Fargo Bank, N.A. (Wells Fargo), rated
'RMS1-'/Outlook Stable, will act as master. Advances required but
not paid by SPS or HomeBridge will be paid by Wells Fargo. Fitch
does not rate any primary servicer higher than SPS and does not
rate any master servicer higher than Wells Fargo.
R&W Framework (Negative): As sponsor, the REIT, Angel Oak Real
Estate Investment Trust I (Angel Oak REIT I), will be providing
loan-level representations and warranties (R&W) to the loans in the
trust. If the REIT is no longer an ongoing business concern, it
will assign to the trust its rights under the mortgage loan
purchase agreements with the originators, which include repurchase
remedies for R&W breaches.
While the loan-level reps for this transaction are substantially
consistent with a Tier I framework, the lack of an automatic review
for loans other than those with ATR realized loss and the nature of
the prescriptive breach tests, which limit the breach reviewers'
ability to identify or respond to issues not fully anticipated at
closing, resulted in a Tier 2 framework. Fitch increased its loss
expectations (216 bps at the AAAsf rating category) to mitigate the
limitations of the framework and the non-investment-grade
counterparty risk of the providers.
RATING SENSITIVITIES
Fitch's analysis incorporates a sensitivity analysis to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at the MSA level. 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 may be considered in the surveillance of the transaction. Two
sets of sensitivity analyses were conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0%, and 30.0%, in addition to
the model projected 8.0% at the base case. The analysis indicates
that there is some potential rating migration with higher MVDs,
compared with the model projection.
Fitch also conducted sensitivities to determine the stresses to
MVDs that would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC Diligence, LLC (AMC) and Clayton Loan Services, LLC
(Clayton). The third-party due diligence described in Form 15E
focused on three areas: a compliance review, a credit review and a
valuation review; and was conducted on 100% of the loans in the
pool. Approximately 4.1% of the pool's UPB, or 9.3% by loan count,
was originated as business purpose loans and are not subject to
consumer compliance regulation. Fitch considered this information
in its analysis and believes the overall results of the review
generally reflected strong underwriting controls.
Fitch received certifications indicating that the loan-level due
diligence was conducted in accordance with its published standards
for reviewing loans and in accordance with the independence
standards outlined in its criteria.
BAMLL COMMERCIAL 2016-SS1: DBRS Confirms BB Rating on Class E Certs
-------------------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates issued by BAMLL Commercial Mortgage
Securities Trust 2016-SS1 as follows:
-- Class A at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class X-B at A (high) (sf)
-- Class C at A (sf)
-- Class D at BBB (sf)
-- Class E at BB (sf)
-- Class F at B (high) (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction, which has remained in line with DBRS's
expectations since issuance. This transaction closed in February
2016 and is secured by the fee and leasehold interests in One
Channel Center. The property is located in the Seaport submarket of
Boston and is comprised of a 501,650 square foot Class A office
building and the adjacent Channel Center Garage containing 965
parking spaces. The $166.0 million fixed-rate loan is fully
interest-only (IO) through the ten-year term.
The property was constructed in 2014 and has remained fully
occupied by State Street Corporation (State Street), an
investment-grade tenant rated AA (low) with a Positive trend by
DBRS. State Street's lease runs through December 2029, which is
over three years past loan maturity with no early termination
options available. State Street is currently paying a triple net
rental rate of $26.50, with the next rent step occurring in January
2020. The Channel Center Garage was under a three-year lease with
VPNE Parking Solutions Inc. (VPNE), which expired in December 2018.
According to the servicer, the borrower is negotiating a renewal
with the tenant, however, the terms of the lease are still pending
as of the date of this press release. As of January 2019, the
subject location is still listed on VPNE's website as open with
parking available. VPNE previously paid an annual base rent of $2.2
million and 50.0% of annual gross revenue above $2.7 million and
the garage had a minimum occupancy of at least 25.9% at all times,
since State Street was required to lease 250 spaces. At issuance,
DBRS noted that the development boom in the area in recent years
has reduced the number of available surface lots. This factor,
combined with the relatively limited parking structure development
in the area, suggests significant upside for income from the
parking structure as the area continues to grow and parking demands
increase.
As at Q3 2018, the in-place debt service coverage ratio (DSCR) was
1.93 times (x) compared with the in-place YE2017 DSCR of 1.88x and
the DBRS Term DSCR of 2.05x derived at issuance. The Q3 2018 figure
is reflective of a 2.9% net cash flow growth over YE2017 due to a
1.8% increase in effective gross income. The net cash flow decline
from the DBRS issuance figure is attributed to DBRS's long-term
credit tenant treatment of State Street, with the contractual rent
included on a straight-line basis in the DBRS analysis. According
to CoStar, Class A office properties in the Seaport submarket
reported a vacancy rate of 13.6% and an availability rate of 9.5%
as of January 2019, compared with the January 2018 vacancy rate of
5.8% and availability rate of 5.2%.
Classes X-A and X-B 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.
BANK OF AMERICA 2017-BNK3: Fitch Affirms Class F Certs at Bsf
-------------------------------------------------------------
Fitch Ratings has affirmed all classes of Bank of America Merrill
Lynch Commercial Mortgage Trust 2017-BNK3 commercial mortgage
pass-through certificates series 2017-BNK3.
KEY RATING DRIVERS
Stable 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 five loans (3.8% of pool) as Fitch Loans of
Concern (FLOC), primarily due to upcoming rollover or declining
performance, one of which is among the top 15 loans. Plaza at
Legacy (1.9%), the largest FLOC, is secured by 177,185 sf anchored
retail shopping center located in Plano, Texas, approximately 25
miles north of downtown Dallas, Texas. The largest tenant, Hobby
Lobby (approximately 30% NRA and 20% of base rent), has a lease
that is scheduled to expire in September 2019. The servicer
indicated Hobby Lobby is required to provide notice to vacate six
months prior to its lease expiration. Fitch will continue to
monitor the loan for leasing updates.
Minimal Change in Credit Enhancement: As of the December 2018
distribution date, the pool's aggregate principal balance has paid
down by 0.79% to $969.4 million from $977.1 million at issuance.
Sixteen loans (54.5% of pool) are full-term, interest-only and 19
loans (20.8%) are partial interest-only (of which two loans
representing 1.7% have begun amortizing). At issuance it was noted
that the transaction had below-average amortization given the high
percentage full-term IO loans; the pool is scheduled to amortize
only 6.9% prior to maturity.
ADDITIONAL CONSIDERATIONS
Pool Concentrations: California represents the largest state
concentration at 28.4%. The pool's largest property type is retail
at 29.6%, including the first and fourteenth largest loans (9.7%),
which are secured by regional malls. The largest loan, The Summit
Birmingham (7.6%), is secured by a 681,245 sf lifestyle center
located in Birmingham, AL. Major tenants include: Belk, Inc., RSM
US and Barnes & Noble. The other loan, Potomac Mills (2.1%), is
secured by a 1,459,997 sf interest in a 1,840,009 sf super regional
mall in Woodbridge, Virginia, along the I-95 corridor between
Washington, D.C. and Richmond, VA. Collateral anchors include
Costco Warehouse, J.C. Penney, Buy Buy Baby/and That!, Marshalls
and an 18-screen AMC. Non-collateral anchors include Costco
Warehouse and J.C. Penney. Three additional loans (7.9%) in the top
15 are secured by retail properties.
High Percentage of Pari Passu Loans: Nine Loans representing 40.6%
of the pool are pari passu and have one or more pieces securitized
in other CMBS transactions.
Low Mortgage Coupons: As of the December 2018 distribution date,
the pool's WA coupon rate was 4.56%.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset-level event changes the transaction's overall
portfolio-level metrics.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third party due diligence was provided or reviewed by Fitch in
relation to this rating.
Fitch has affirmed the following ratings:
-- $20,138,279 class A-1 at 'AAAsf'; Outlook Stable;
-- $52,680,000 class A-2 at 'AAAsf'; Outlook Stable;
-- $33,360,000 class A-SB at 'AAAsf'; Outlook Stable;
-- $175,000,000 class A-3 at 'AAAsf'; Outlook Stable;
-- $361,236,000 class A-4 at 'AAAsf'; Outlook Stable;
-- $642,414,279 (b) class X-A at 'AAAsf'; Outlook Stable;
-- $175,205,000 (b) class X-B at 'A-sf'; Outlook Stable;
-- $92,824,000 class A-S at 'AAAsf'; Outlook Stable;
-- $46,412,000 class B at 'AA-sf'; Outlook Stable;
-- $35,969,000 class C at 'A-sf'; Outlook Stable;
-- $38,290,000 (a) (b) class X-D at 'BBB-sf'; Outlook Stable;
-- $38,290,000 (a) class D at 'BBB-sf'; Outlook Stable;
-- $16,244,000 (a) class E at 'BB+sf'; Outlook Stable;
-- $13,924,000 (a) class F at 'Bsf'; Outlook Stable.
The following classes are not rated by Fitch:
-- $34,809,005 (a) class G;
-- $48,467,699 (a) (c) RR Interest.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest only.
(c) Vertical credit risk retention interest representing 5% of the
pool balance (as of the closing date).
CIFC FUNDING 2015-IV: Moody's Rates $9MM Class E-R Notes 'B3'
-------------------------------------------------------------
Moody's Investors Service has assigned the following ratings to the
following notes issued by CIFC Funding 2015-IV, Ltd.:
US$325,000,000 Class A-1-R Senior Secured Floating Rate Notes Due
2027 (the "Class A-1-R Notes"), Assigned Aaa (sf)
US$57,000,000 Class A-2-R Senior Secured Floating Rate Notes Due
2027 (the "Class A-2-R Notes"), Assigned Aa2 (sf)
US$24,500,000 Class B-R Mezzanine Secured Deferrable Floating Rate
Notes Due 2027 (the "Class B-R Notes"), Assigned A2 (sf)
US$31,500,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes Due 2027 (the "Class C-R Notes"), Assigned Baa3 (sf)
US$23,000,000 Class D-R Junior Secured Deferrable Floating Rate
Notes Due 2027 (the "Class D-R Notes"), Assigned Ba3 (sf)
US$9,000,000 Class E-R Junior Secured Deferrable Floating Rate
Notes Due 2027 (the "Class E-R Notes"), Assigned B3 (sf)
Additionally, Moody's has downgraded the rating on the following
notes issued by the Issuer:
US$20,000,000 Combination Securities Due 2027 (the "Combination
Notes") (current rated balance of $1,280,559), Downgraded to B3
(sf); previously on December 20, 2016 Downgraded to Baa1 (sf)
CIFC Funding 2015-IV, Ltd., issued in September 2015 and refinanced
in January 2019, is a collateralized loan obligation (CLO) backed
primarily by a portfolio of senior secured loans. The transaction's
reinvestment period will end on October 2020. The Combination Notes
are currently composed of a component representing $6,100,000 of
the Subordinated Notes.
CIFC Asset Management LLC manages the CLO. It directs the
selection, acquisition, and disposition of collateral on behalf of
the Issuer.
RATINGS RATIONALE
Moody's ratings on the Refinancing Notes reflect the risks due to
defaults on the underlying portfolio of assets, the transaction's
legal structure, and the characteristics of the underlying assets.
On January 22, 2019, the Issuer issued the Refinancing Notes in
connection with the refinancing of all classes of the secured
notes, which were issued on September 18, 2015. The Issuer used the
proceeds from the issuance of the new notes to redeem in full the
notes being refinanced. On the Original Closing Date, the Issuer
also issued Subordinated Notes and Combination Notes, each of which
will remain outstanding.
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 non-call period,
changes to certain collateral quality tests and changes to the
overcollateralization test levels.
The rating downgrade on the Combination Notes is primarily a result
of the refinancing of the transaction. On the Original Closing
Date, the Issuer issued $20 million Combination Notes composed of
components representing $7.1 million of the originally issued Class
A-2 Notes, $6.8 million of the Class B Notes and $6.1 million of
the Subordinated Notes. Prior to the refinancing, the rated balance
on the Combination Notes was $15.5 million. In connection with the
refinancing, the Issuer used the proceeds from the issuance of new
Class A-2-R and B-R Notes to redeem the originally issued A-2 and
Class B notes, including the components of the Combination Notes
representing $7.1 million and $6.8 million of originally issued
Class A-2 and Class B Notes, respectively. Additionally, on the
Refinancing Date the Combination Notes received a distribution from
interest payments to the Class A-2 Notes and Class B Notes
components, and also from a payment to the Subordinated Notes
component. As a result, the rated balance of the Combination Notes
decreased to $1.3 million from $15.5 million. Currently, the
component representing $6.1 million of the Subordinated Notes
accounts for 100% of the Combination Notes' underlying classes.
Thus, the cash flows on the Combination Notes are subject to a high
degree of volatility.
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, weighted average
recovery rate, and weighted average spread, are based on its
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions
Performing par and principal proceeds balance: $500,000,000
Diversity Score: 75
Weighted Average Rating Factor (WARF): 2863 (corresponding to a
weighted average default probability of 25.31%)
Weighted Average Spread (WAS): 3.40%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 7 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.
Moody's rating of the Combination Notes addresses only the ultimate
receipt of the Combination Notes Rated Balance by the holders of
the Combination Notes. Moody's rating of the Combination Notes does
not address any other payments or additional amounts that a holder
of the Combination Notes may receive pursuant to the underlying
documents.
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.
The rating on the Combination Notes, which receives cash flows from
the equity tranche, is subject to a higher degree of volatility
than the other rated notes. Actual equity distributions that differ
significantly from Moody's assumptions can lead to a faster (or
slower) speed of reduction in the combination notes' rated balance,
thereby resulting in better (or worse) ratings performance than
previously expected.
COMM 2012-CCRE4: Fitch Lowers Class D Certs Rating to CCCsf
-----------------------------------------------------------
Fitch Ratings has downgraded six classes and revised the Rating
Outlook for three classes of Deutsche Bank Securities, Inc.'s COMM
2012-CCRE4 commercial mortgage pass-through certificates, series
2012-CCRE4.
KEY RATING DRIVERS
Increased Loss Expectations: Fitch's loss projections have
increased further, mainly attributable to continued performance
decline for the largest loan in special servicing. Fashion Outlets
of Las Vegas was the third largest loan in the pool and failed to
refinance at maturity. The property has been foreclosed and is now
REO.
Fitch Loans of Concern; Alternative Loss Considerations: Seven
loans representing 27.6% of the pool have been flagged as Fitch
Loans of Concern (FLOCs). Fitch ran additional sensitivity stresses
on two of the three largest FLOCs, Eastview Mall and Commons and
Emerald Square Mall. The three largest FLOCs are secured by retail
properties with performance concerns related to declining NOI,
occupancy and/or sales, nearby competition, secondary and tertiary
market locations and upcoming tenant roll. Fitch's base case loss
expectations include a projected 100% loss on the largest FLOC,
Fashion Outlets of Las Vegas. This is the driver for the
downgrades. In its sensitivity, Fitch assumed a 25% loss on Emerald
Square Mall and a 20% loss on Eastview Mall and Commons. This
sensitivity is the driver for the Negative Rating Outlooks.
Minimal Changes to Credit Enhancement: Credit support has not
improved significantly as no loans have been repaid or disposed
since the last rating action. Loans representing 34.8% of the pool
are interest-only. This includes the two largest loans in the pool.
Additionally, the third largest loan has defaulted and the property
is REO. There are no scheduled maturities until 2022. Although
near-term paydown is limited to monthly amortization from
performing loans, seven loans representing 13.1% of the pool are
fully defeased. Defeased collateral fully covers classes A-2 and
A-SB.
Concentration Concerns: Overall, retail properties collateralize
39.6% of the pool, inclusive of the three aforementioned FLOCs.
Eastview Mall and Commons (12.6% of the pool) and Emerald Square
Mall (3.8% of the pool) are both enclosed regional malls located in
Victor, NY and North Attleboro, MA, respectively, with exposure to
weak anchor tenants. Fashion Outlets of Las Vegas (6.6% of the
pool) is an outlet mall in Primm, NV. The pool also has exposure to
energy-reliant markets. Two loans are backed by hotels in the
Permian Basin region of Texas. TownePlace Suites Odessa (1.1% of
the pool) is REO, and Residence Inn Midland (1.4% of the pool) is
on the servicer's watchlist and currently in cash management.
RATING SENSITIVITIES
The downgrades to classes B, C, X-B, D, E and F reflect the
expected decline in credit support at such time that the largest
contributor to projected losses, Fashion Outlets of Las Vegas, is
disposed. Negative Rating Outlooks on classes A-M, X-A, B, C, X-B
and D reflect additional sensitivities to the remaining FLOCs,
notably Eastview Mall and Commons and Emerald Square Mall. Further
downgrades are possible should additional defaults occur, and
distressed classes will be downgraded as losses are realized. The
Rating Outlooks on the remaining senior classes are Stable at this
time as credit enhancement remains sufficient due to prior paydowns
and defeasance collateral. Upgrades are unlikely due to the
concentrated nature of the pool and uncertainty in timing of the
disposition of REO assets.
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 downgraded the following ratings:
-- $65.3 million class B to 'Asf' from 'AA-sf'; Outlook revised
to Negative from Stable;
-- $38.9 million class C to 'BBBsf' from 'A-sf'; Outlook
Negative;
-- $104.2 million* class X-B to 'BBBsf' from 'A-sf'; Outlook
Negative;
-- $45.8 million class D to 'CCCsf' from 'BBsf'; Outlook Negative
removed and assign RE 100%;
-- $19.4 million class E to 'CCsf' from 'B-sf'; Outlook Negative
removed and assign RE 0%;
-- $18.0 million class F to 'Csf' from 'CCCsf'; RE 0%.
Fitch has affirmed the following ratings:
-- $65.1 million class A-2 at 'AAAsf'; Outlook Stable;
-- $55.5 million class A-SB at 'AAAsf'; Outlook Stable;
-- $499.3 million class A-3 at 'AAAsf'; Outlook Stable;
-- $111.1 million class A-M at 'AAAsf'; Outlook revised to
Negative from Stable;
-- $731.1 million* class X-A at 'AAAsf'; Outlook revised to
Negative from Stable.
Class A-1 is paid in full. Fitch does not rate the class G
certificate.
COMM 2012-LC4: Moody's Cuts Cl. X-B Debt Rating to B2
-----------------------------------------------------
Moody's Investors Service has affirmed the ratings on five classes
and downgraded the ratings of four classes in COMM 2012-LC4
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
Series 2012-LC4:
Cl. A-4, Affirmed Aaa (sf); previously on Nov 10, 2017 Affirmed Aaa
(sf)
Cl. A-M, Affirmed Aaa (sf); previously on Nov 10, 2017 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa2 (sf); previously on Nov 10, 2017 Affirmed Aa2
(sf)
Cl. C, Affirmed A2 (sf); previously on Nov 10, 2017 Affirmed A2
(sf)
Cl. D, Downgraded to Ba1 (sf); previously on Nov 10, 2017 Affirmed
Baa3 (sf)
Cl. E, Downgraded to B1 (sf); previously on Nov 10, 2017 Downgraded
to Ba3 (sf)
Cl. F, Downgraded to Caa1 (sf); previously on Nov 10, 2017
Downgraded to B3 (sf)
Cl. X-A*, Affirmed Aaa (sf); previously on Nov 10, 2017 Affirmed
Aaa (sf)
Cl. X-B*, Downgraded to B2 (sf); previously on Nov 10, 2017
Downgraded to B1 (sf)
* Reflects Interest Only Classes
RATINGS RATIONALE
The ratings of four P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf) are within acceptable
ranges.
The ratings of three P&I classes were downgraded due to the
deteriorating performance of three retail loans totaling 23.2% of
the current pool balance: Square One Mall (12.9% of the collateral
pool), Alamance Crossing (6.6%), and Susquehanna Valley Mall
(3.7%).
The rating of the IO class X-A was affirmed because of the credit
quality of the referenced classes.
The rating of the IO class X-B was downgraded due to a decline in
the credit quality of its referenced classes.
Moody's rating action reflects a base expected loss of 5.7% of the
current pooled balance, compared to 3.7% at Moody's last review.
Moody's base expected loss plus realized losses is now 4.2% of the
original pooled balance, compared to 3.1% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in rating all classes except 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 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.
DEAL PERFORMANCE
As of the 12 December, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 26.5% to $691.9
million from $941.3 million at securitization. The certificates are
collateralized by 32 mortgage loans ranging in size from less than
1% to 12.9% of the pool, with the top ten loans (excluding
defeasance) constituting 63.7% of the pool. One loan, constituting
10.8% of the pool, has an investment-grade structured credit
assessment. Two loans, constituting 8.0% 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 19 at Moody's last review.
Six loans, constituting 15.2% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
No loans have been liquidated from the pool at a loss. One loan,
constituting 3.7% of the pool, is currently in special servicing.
The specially serviced loan is the Susquehanna Valley Mall loan
($25.4 million -- 3.7% of the pool), which is secured by a 628,063
square feet (SF) component of a 745,000 SF regional mall located in
Selinsgrove, Pennsylvania. The property is located in a tertiary
market 50 miles north of Harrisburg, Pennsylvania and 40 miles east
of State College, Pennsylvania. The loan transferred to the special
servicer in March 2018 due to imminent monetary default. A receiver
was appointed in October 2018 and the special servicer is pursuing
a foreclosure action. At securitization, the property was anchored
by Sears, JCPenney, Bon-Ton, Boscov's and Carmike Cinemas. The
Sears, JCPenney, and Bon-Ton have closed, with Boscov's and Carmike
being the only remaining original anchors. The property also had an
outparcel grocery-anchor, Weis Market, which closed its doors in
October 2018. The former Sears box was recently leased to Family
Practice, a medical clinic, through 2049. The market has been
experiencing a decline in population in recent years and the mall
has faced competition from a local power center which also offers a
robust mix of national tenants. The mall was 81% leased as of
December 2017, however, occupancy has deteriorated further in
2018.
Moody's has also assumed a high default probability for two poorly
performing loans, constituting 2.0% of the pool, and has estimated
an aggregate loss of $24.2 million (a 62% expected loss based on a
91% probability default) from the specially serviced and troubled
loans.
Moody's received full year 2017 operating results for 100% of the
pool, and full or partial year 2018 operating results for 100% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 87%, compared to 83% 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 18.4% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.9%.
Moody's actual and stressed conduit DSCRs are 1.52X and 1.28X,
respectively, compared to 1.58X and 1.32X 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 Union Square
Retail Loan ($75.0 million -- 10.8% of the pool), which is secured
by the leasehold interest in a 236,000 SF, Class A, mixed-use
property located in Union Square in Manhattan, New York. The
property is anchord by a 14-screen United Artists Theatre, Best
Buy, and Nordstrom Rack. The property was 100% leased as of June
2018. Moody's structured credit assessment and stressed DSCR are
aa1 (sca.pd) and 2.10X, respectively.
The top three conduit loans represent 27.7% of the pool balance.
The largest loan is the Square One Mall Loan ($89.6 million --
12.9% of the pool), which is secured by the fee interest in a
541,000 SF component of a 929,000 SF super-regional mall located in
Saugus, Massacusetts, approximately 10 miles northeast of Boston.
The sponsor is Mayflower Realty LLC, a joint-venture between Simon
Properties, TIAA, and the Canada Pension Plan Investment Board. The
property is anchord by a Sears, Macy's, Dick's Sporting Goods, Best
Buy, BD's Furniture, and TJMaxx. Macy's and Sears own their own
boxes. The property was 87% leased as of September 2018, with
inline occupancy of 77%. NOI at the property declined 9.1% between
2016 and 2017. Moody's LTV and stressed DSCR are 97% and 1.11X,
respectively, compared to 76% and 1.36X at the last review.
The second largest loan is the Puerto Rico Retail Portfolio Loan
($52.3 million -- 7.6% of the pool), which is secured by the fee
interest in a 554,500 SF anchored-retail portfolio spanning four
properties located in Puerto Rico. The collateral consists of Plaza
Los Prados, in Caguas (163,500 SF; 29% of NRA), Juncos Plaza, in
Juncos (208,000 SF; 37.5%), Manati Centro Plaza, in Manati (118,000
SF; 21.3%), and University Plaza, in Mayaguez (65,000 SF; 11.7%).
The portfolio was 95% leased as of December 2017. The property was
impacted by Hurricane Maria, however, only one tenant, Capri Jucos
(4.7% of the portfolio NRA), vacated following the hurricane. The
loan has remained current and the borrower received $5.2 million
from the hazard and loss reserve to repair the properties following
Hurricane Maria. Moody's LTV and stressed DSCR are 85% and 1.24X,
respectively, compared to 87% and 1.21X at the last review.
The third largest loan is the Hampshire Multifamily Portfolio Loan
($49.7 million -- 7.2% of the pool), which is secured by a
six-property portfolio containing 2,103 units located in the
Indianapolis, IN metro area. The properties, which were constructed
between 1967 and 1981 were 95% leased as of September 2018,
compared to 94% in December 2017. Approximately 99% of the units
are market rate, with 30 units at two properties being designated
for Section 8 tenants. Portfolio NOI has increased by approximately
26% between 2012 and 2017. Moody's LTV and stressed DSCR are 64%
and 1.51X, respectively, compared to 68% and 1.41X at the last
review.
COMM 2016-DC2: Fitch Affirms BB- Rating on $10.1MM Class F Certs
----------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of Deutsche Bank Securities,
Inc.'s COMM 2016-DC2 Mortgage Trust commercial mortgage
pass-through certificates.
KEY RATING DRIVERS
Generally Stable Performance: The affirmations reflect the
generally stable performance of the majority of the pool. There
have been minor changes to the pool since the prior rating action.
Loss expectations have increased slightly since the prior rating
action due to the continued decline in performance for the Columbus
Park Crossing loan. There are currently no delinquent loans or
loans in special servicing.
Fitch Loan of Concern (FLOC): Fitch maintains Columbus Park
Crossing (4.99% of the deal) as a FLOC. The loan is collateralized
by a 638,028 sf regional mall located in Columbus, GA. The largest
tenants at the property include a dark Sears, AMC Classic Columbus
Park, and a dark Toys-R-Us. Sears, AMC Classic Columbus Park, and
Toys-R-Us are all subject to ground leases and own their respective
improvements. As of September 2018, the debt service coverage ratio
(DSCR) was 1.08x and occupancy was 71%, down from 100% at issuance.
Inline sales at issuance were $358 psf while stores greater than
10,000 sf had sales of $158 psf. Updated sales have been requested
but have not been received.
Alternative Loss Considerations: The Negative Outlook on class F as
well as interest-only class X-D reflects the sensitivity analysis
for the Columbus Park loan. Fitch assumed this loan could have an
outsized loss and applied a 75% loss severity.
Minimal Changes in Credit Enhancement: As of the January 2019
distribution date, the pool's aggregate principal balance had been
reduced by 2.1% to $789.2 million resulting in minimal increases in
credit enhancement to the senior classes.
Other Considerations
Amortization: The pool has four loans (15.2%) with full-term
interest-only structures. Partial interest-only loans represent
55.3% of the pool, or 23 loans, while 37 loans (29.5%) are
amortizing balloon loans with terms of five to 10 years. The pool
is scheduled to amortize by 12.8% of the initial pool balance prior
to maturity.
Watchlist Loans: There are currently five loans (7.7%) on the
servicer's watchlist. The largest loan on the watchlist is the
Columbus Park Crossing loan (4.99% of the deal). The second largest
loan on the watchlist is The Birch Run Premium Outlets loan
(2.53%). The loan is secured by a 680,000 sf retail property
located in Birch Run, MI. The loan is on the watchlist due to
exposure to Toys-R-Us.
RATING SENSITIVITIES
Rating Outlooks on classes A1 through E remain Stable due to
increasing credit enhancement, continued paydown, and generally
stable collateral performance. Fitch does not foresee positive or
negative ratings migration of these classes until a material
economic or asset-level event changes the transaction's overall
portfolio-level metrics. The Rating Outlook on class F remains
Negative due to the potential downgrade concerns as a result of the
declining performance of the Columbus Park Crossing loan. The
Negative Outlook reflects the property's location in a tertiary
market, declining occupancy and the vacant anchor spaces.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
-- $18.7 million class A-1 at 'AAAsf'; Outlook Stable;
-- $4.5 million class A-2 at 'AAAsf'; Outlook Stable;
-- $15.7 million class A-3 at 'AAAsf'; Outlook Stable;
-- $60.3 million class A-SB at 'AAAsf'; Outlook Stable;
-- $200 million class A-4 at 'AAAsf'; Outlook Stable;
-- $248.2 million class A-5 at 'AAAsf'; Outlook Stable;
-- $597.8 million* class X-A at 'AAAsf'; Outlook Stable;
-- $50.4 million class A-M at 'AAAsf'; Outlook Stable;
-- $40.3 million class B at 'AA-sf'; Outlook Stable;
-- $42.3 million class C at 'A-sf'; Outlook Stable;
-- $42.3 million* class X-C 'BBB-sf'; Outlook Stable;
-- $23.2 million* class X-D 'BB-sf'; Outlook Negative;
-- $42.3 million class D at 'BBB-sf'; Outlook Stable;
-- $13.1 million class E at 'BB+sf'; Outlook Stable;
-- $10.1 million class F at 'BB-sf'; Outlook Negative.
* Indicates notional amount and interest-only. Fitch does not
rate the class G, H, X-E or X-F certificates. The rating for the
X-B certificates was previously withdrawn.
CONNECTICUT AVENUE 2017-C03: Moody's Hikes 18 Tranches to Ba1(sf)
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 29 tranches
from Connecticut Avenue Securities, Series 2017-C03. This
transaction is an actual-loss credit risk transfer transactions
issued by Fannie Mae.
Complete rating actions are as follows:
Issuer: Connecticut Avenue Securities, Series 2017-C03
Cl. 1A-I1,* Upgraded to Baa3 (sf); previously on Apr 13, 2018
Upgraded to Ba1 (sf)
Cl. 1A-I2,* Upgraded to Baa3 (sf); previously on Apr 13, 2018
Upgraded to Ba1 (sf)
Cl. 1A-I3,* Upgraded to Baa3 (sf); previously on Apr 13, 2018
Upgraded to Ba1 (sf)
Cl. 1A-I4,* Upgraded to Baa3 (sf); previously on Apr 13, 2018
Upgraded to Ba1 (sf)
Cl. 1B-I1,* Upgraded to Ba1 (sf); previously on Apr 13, 2018
Upgraded to Ba3 (sf)
Cl. 1B-I2,* Upgraded to Ba1 (sf); previously on Apr 13, 2018
Upgraded to Ba3 (sf)
Cl. 1B-I3,* Upgraded to Ba1 (sf); previously on Apr 13, 2018
Upgraded to Ba3 (sf)
Cl. 1B-I4,* Upgraded to Ba1 (sf); previously on Apr 13, 2018
Upgraded to Ba3 (sf)
Cl. 1E-A1, Upgraded to Baa3 (sf); previously on Apr 13, 2018
Upgraded to Ba1 (sf)
Cl. 1E-A2, Upgraded to Baa3 (sf); previously on Apr 13, 2018
Upgraded to Ba1 (sf)
Cl. 1E-A3, Upgraded to Baa3 (sf); previously on Apr 13, 2018
Upgraded to Ba1 (sf)
Cl. 1E-A4, Upgraded to Baa3 (sf); previously on Apr 13, 2018
Upgraded to Ba1 (sf)
Cl. 1E-B1, Upgraded to Ba1 (sf); previously on Apr 13, 2018
Upgraded to Ba3 (sf)
Cl. 1E-B2, Upgraded to Ba1 (sf); previously on Apr 13, 2018
Upgraded to Ba3 (sf)
Cl. 1E-B3, Upgraded to Ba1 (sf); previously on Apr 13, 2018
Upgraded to Ba3 (sf)
Cl. 1E-B4, Upgraded to Ba1 (sf); previously on Apr 13, 2018
Upgraded to Ba3 (sf)
Cl. 1E-D1, Upgraded to Ba1 (sf); previously on Apr 13, 2018
Upgraded to Ba2 (sf)
Cl. 1E-D2, Upgraded to Ba1 (sf); previously on Apr 13, 2018
Upgraded to Ba2 (sf)
Cl. 1E-D3, Upgraded to Ba1 (sf); previously on Apr 13, 2018
Upgraded to Ba2 (sf)
Cl. 1E-D4, Upgraded to Ba1 (sf); previously on Apr 13, 2018
Upgraded to Ba2 (sf)
Cl. 1E-D5, Upgraded to Ba1 (sf); previously on Apr 13, 2018
Upgraded to Ba2 (sf)
Cl. 1M-2, Upgraded to Ba2 (sf); previously on Apr 13, 2018 Upgraded
to B1 (sf)
Cl. 1M-2A, Upgraded to Baa3 (sf); previously on Apr 13, 2018
Upgraded to Ba1 (sf)
Cl. 1M-2B, Upgraded to Ba1 (sf); previously on Apr 13, 2018
Upgraded to Ba3 (sf)
Cl. 1M-1, Upgraded to Baa1 (sf); previously on May 10, 2017
Definitive Rating Assigned Baa3 (sf)
Cl. 1-X1,* Upgraded to Ba1 (sf); previously on Apr 13, 2018
Upgraded to Ba3 (sf)
Cl. 1-X2,* Upgraded to Ba1 (sf); previously on Apr 13, 2018
Upgraded to Ba3 (sf)
Cl. 1-X3,* Upgraded to Ba1 (sf); previously on Apr 13, 2018
Upgraded to Ba3 (sf)
Cl. 1-X4,* Upgraded to Ba1 (sf); previously on Apr 13, 2018
Upgraded to Ba3 (sf)
RATINGS RATIONALE
The rating upgrades are due to the increase in credit enhancement
available to the bonds and a reduction in the expected losses on
the underlying pools owing to strong collateral performance. The
outstanding rated bonds in this transactions have continued to
benefit from a steady increase in the credit enhancement as a
result of sequential principal distributions among the subordinate
bonds.
This risk transfer transaction provide credit protection against
the performance of a "reference pool" of mortgages guaranteed by
Fannie Mae. The notes are direct, unsecured obligations of Fannie
Mae and are not guaranteed by nor are they obligations of the
United States Government. Unlike a typical RMBS transaction, note
holders are not entitled to receive any cash from the mortgage
loans in the reference pools. Instead, the timing and amount of
principal and interest that Fannie Mae is obligated to pay on the
Notes is linked to the performance of the mortgage loans in the
reference pool. Principal payments to the notes relate only to
actual principal received from the reference pool with pro-rata
payments between senior and subordinate bonds, provided some
performance triggers are met, and sequential among subordinate
bonds.
The bonds have benefited from sustained prepayment rates and
continued increases in credit enhancement. The December 2018
remittance data shows a three month average conditional prepayment
rate (CPR) of 8.261% for CAS 2017-C03. Delinquencies has steadily
declined after the hike due to impact of hurricanes Harvey and Irma
at the end of 2017. The percentage of loans that are 60-plus days
delinquent is low, at about 0.74% of the outstanding balance as
December 2018. The net losses are approximately 0.0004% of the
original pool balance as of the December 2018 remittance report.
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US Prime
RMBS" published in November 2018. The methodologies used in rating
interest-only classes were "Moody's Approach to Rating US Prime
RMBS" published in November 2018 and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in June
2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 3.9% in December 2018 from 4.1% in
December 2017. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2019 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 2019. Lower increases than
Moody's expects or decreases could lead to negative rating actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds and/or pools.
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.
CPS AUTO 2017-D: S&P Hikes Class E Debt Rating to BB
----------------------------------------------------
S&P Global Ratings raised its ratings on 10 classes from three CPS
Auto Receivables Trust asset-backed securities (ABS) transactions.
At the same time, S&P affirmed its ratings on five classes from the
three transactions.
The transactions are securitizations of subprime auto loans backed
predominantly by used automobiles and light-duty trucks.
S&P said, "The rating actions reflect the transactions' collateral
performance to date, our views regarding their future collateral
performance, structures, and available credit enhancement, as well
as our current economic forecast. Additionally, we incorporated
secondary credit factors into our analysis, including credit
stability, payment priorities under various scenarios, and sector-
and issuer-specific analysis. More specifically, the upgrades and
affirmations reflect our view that the total credit support as a
percentage of the amortizing pool balance, compared with our
revised expected remaining losses, is adequate for each raised or
affirmed rating."
Table 1
Collateral Performance (%)
As of the January 2019 distribution date
Pool Current 60+ day
Series Month factor CNL delinq.
2017-B 21 61.28 6.49 6.67
2017-C 18 61.79 5.03 6.11
2017-D 15 71.19 3.88 4.96
CNL--cumulative net loss.
Delinq.—Delinquencies.
S&P said, "Series 2017-B and 2017-D are performing in line with our
initial expectations, and, as a result, we maintained our initial
loss expectation for these series. However, series 2017-C is
trending better than our initial expectations, and we revised our
loss expectations lower than our initial expected losses."
Table 2
CNL Expectations (%)
Original Revised
lifetime lifetime
Series CNL exp. CNL exp.(i)
2017-B 18.00-19.00 18.00-19.00
2017-C 18.00-19.00 17.00-18.00
2017-D 18.00-19.00 18.00-19.00
(i)As of January 2019.
CNL exp.--Cumulative net loss expectations.
Each transaction contains a sequential principal payment structure
in which the notes are paid principal by seniority. Each
transaction also has credit enhancement in the form of a
nonamortizing reserve account, overcollateralization, subordination
for the higher-rated tranches, and excess spread. The
overcollateralization is structured to build over time to its
target (as a percentage of the current pool balance) and then
amortize equal to a certain percentage (subject to the specific
transaction) of the outstanding collateral, subject to a floor
equal to a certain percentage of the initial receivables. Once the
overcollateralization reaches its floor, credit enhancement grows,
along with the spread account, as a percent of the amortizing pool
balance. For all series, credit enhancement is at the specified
enhancement target or floor, and each class' credit support
continues to increase as a percentage of the amortizing collateral
balance.
Each transaction also contains noncurable performance-related
triggers, which step up the credit enhancement level if breached.
None of the transactions have breached a trigger.
Table 3
Hard Credit Support (%)
As of the January 2019 distribution date
Total hard Current total hard
credit support credit support
Series Class at issuance(i) (% of current)(i)
2017-B A 56.80 101.41
2017-B B 39.85 73.76
2017-B C 25.00 49.52
2017-B D 12.95 29.86
2017-B E 3.10 13.79
2017-C A 55.00 95.90
2017-C B 39.75 71.21
2017-C C 26.25 49.36
2017-C D 14.25 29.94
2017-C E 3.25 12.14
2017-D A 55.30 84.64
2017-D B 39.05 61.81
2017-D C 25.10 42.21
2017-D D 13.20 25.50
2017-D E 2.85 10.96
(i)Calculated as a percent of the total gross receivable pool
balance, consisting of a reserve account, overcollateralization,
and, if applicable, subordination. Excess spread is excluded from
the hard credit support and can also provide additional
enhancement.
S&P said, "We incorporated a cash flow analysis to assess the loss
coverage level, giving credit to excess spread. Our various cash
flow scenarios included forward-looking assumptions on recoveries,
timing of losses, and voluntary absolute prepayment speeds that we
believe are appropriate, given each transaction's current
performance and the assigned ratings of each of the classes.
"In addition to our break-even cash flow analysis, we also
conducted sensitivity analyses to determine the impact that a
moderate ('BBB') stress scenario would have on our ratings if
losses began trending higher than our revised base-case loss
expectation. The results demonstrated, in our view, that all of the
classes have adequate credit enhancement at their respective
affirmed or revised rating levels.
"We will continue to monitor the performance of the outstanding
transactions to ensure the credit enhancement remains sufficient,
in our view, to cover our revised cumulative net loss expectations
under our stress scenarios for each of the rated classes."
RATINGS RAISED
CPS Auto Receivables Trust
Rating
Series Class To From
2017-B B AAA (sf) AA (sf)
2017-B C AA (sf) A (sf)
2017-B D A- (sf) BBB (sf)
2017-B E BB (sf) BB- (sf)
2017-C B AAA (sf) AA (sf)
2017-C C AA (sf) A (sf)
2017-C D A- (sf) BBB (sf)
2017-D B AA+ (sf) AA (sf)
2017-D C A+ (sf) A (sf)
2017-D D BBB+(sf) BBB (sf)
RATINGS AFFIRMED
CPS Auto Receivables Trust
Series Class Rating
2017-B A AAA (sf)
2017-C A AAA (sf)
2017-C E BB- (sf)
2017-D A AAA (sf)
2017-D E BB- (sf)
CPS AUTO 2019-A: S&P Assigns BB- Rating on $25MM Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to CPS Auto Receivables
Trust 2019-A's asset-backed notes.
The note issuance is asset-backed securities (ABS) transaction
backed by subprime auto loan receivables.
The ratings reflect:
-- The availability of approximately 56.7%, 48.3%, 39.6%, 31.1%,
and 24.1% of credit support for the class A, B, C, D, and E notes,
respectively, based on stressed cash flow scenarios (including
excess spread). These credit support levels provide coverage of
approximately 3.10x, 2.60x, 2.10x, 1.60x, and 1.23x S&P's
17.75%-18.75% expected cumulative net loss range for the class A,
B, C, D, and E notes, respectively. Additionally, credit
enhancement, including excess spread for classes A, B, C, D, and E,
covers breakeven cumulative gross losses of approximately 92%, 78%,
66%, 52%, and 40%, respectively.
-- S&P's expectation that under a moderate stress scenario of
1.60x its expected net loss level, all else equal, the ratings on
the class A through C notes would remain within one rating category
while they are outstanding, and the rating on the class D notes
would not decline by more than two rating categories within its
life. The rating on the class E notes would remain within two
rating categories during the first year, but the class would
eventually default under the 'BBB' stress scenario after receiving
33%-57% of its principal. These rating migrations are consistent
with S&P's credit stability criteria.
-- The rated notes' underlying credit enhancement in the form of
subordination, overcollateralization, a reserve account, and excess
spread for the class A through E notes.
-- The timely interest and principal payments made to the rated
notes under S&P's stressed cash flow modeling scenarios, which it
believes are appropriate for the assigned ratings.
-- The transaction's payment and credit enhancement structure,
which includes a noncurable performance trigger.
RATINGS ASSIGNED
CPS Auto Receivables Trust 2019-A
Class Rating Amount mil. $)
A AAA (sf) 123.491
B AA (sf) 40.015
C A (sf) 35.245
D BBB (sf) 29.944
E BB- (sf) 25.705
CREDIT SUISSE 2005-C5: Fitch Affirms Csf Rating on Class H Certs
----------------------------------------------------------------
Fitch Ratings has affirmed 11 classes of Credit Suisse First Boston
Mortgage Securities Corp. series 2005-C5, commercial mortgage
pass-through certificates.
KEY RATING DRIVERS
Fitch Loan of Concern; High Loss Expectations: The affirmations of
the distressed classes reflect their reliance on the repayment of
the Gallery at South Dekalb loan (58.5% of pool balance). The loan
is secured by a 528,046-sf portion of a 726,046-sf regional mall
located in Decatur, GA (7 miles southeast of Atlanta) and is
shadow-anchored by a non-collateral Macy's store. The original
$44.1 million interest only loan was previously modified (December
2015) while in special servicing. Terms of the modification
included a borrower equity contribution, plus a bifurcation of the
remaining loan into a $29 million A-Note and a $14.4 million B-Note
(Hope Note). The loan maturity was also extended four years to July
2019. The loan was returned to the master servicer in April 2016.
Property performance has not recovered since being modified, with
occupancy remaining low at 62% as of October 2018. Additionally,
Satellite Cinemas (formerly 8% of net rentable area), which vacated
in September 2017 after only opening in January 2016 is currently
in litigation with the sponsor. Property NOI continues to decline,
with annualized year to date June 2018 reporting 25% below year end
(YE) 2017, and 42% below YE 2015. Tenant sales are low. In
addition, the property faces significant competition from the North
Dekalb Mall and Northlake Mall, both of which are located within 12
miles of the subject.
Fitch's analysis assumes a full loss on the Hope note, which would
be absorbed by the current class J (rated 'Dsf') and class H (rated
'Csf') balances. In addition, given the continued decline in
performance since the loan's modification the repayment of the
A-note at its July 2019 maturity remains uncertain. The distressed
classes incorporate this analysis.
Defeasance & Fully Amortizing Loans: Two loans (37.2% of the pool)
are fully defeased and one additional loan is fully amortizing
(0.2%). All three loans mature between July 2020 and September
2020. Based on the current balances, the defeased loans would fully
repay the outstanding class F balance and approximately 64% of the
current class G balance.
Concentrated Pool: The pool is highly concentrated with only six
loans remaining of the original 282. Due to the concentrated nature
of the pool, Fitch performed a sensitivity analysis that grouped
the remaining loans based on the likelihood of repayment and
expected losses from underperforming or overleveraged loans.
As of the December 2018 distribution date, the transaction has been
reduced by 97.6% to $69.8 million from $2.94 billion at issuance.
There have been $146.6 million (5% of original pool balance) in
realized losses to date. Cumulative interest shortfalls of $6.5
million are currently affecting classes H through S and the
remaining pool balance is undercollateralized by $1.05 million. Two
loans, Kings Village Corp (36.6% of current pool) and Space Savers
Self Storage (0.6%), are fully-defeased. Since Fitch's last rating
action, the 8415 & 8425 Progress Drive loan (0.5% of original pool
balance) and Hudson Manor Terrace Corp. loan (0.3%) both prepaid
with yield maintenance.
RATING SENSITIVITIES
The Stable Outlook on class F reflects the class' remaining balance
being fully-covered by defeased collateral. Downgrades to classes G
and H are likely as losses are realized.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
-- $2.4 million class F at 'AAAsf'; Outlook Stable;
-- $36.3 million class G at 'CCsf', RE 100%;
-- $21.8 million class H at 'Csf', RE 0%;
-- $9.4 million 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%;
-- $0 class Q at 'Dsf', RE 0%.
The class A-1, A-2, A-3, A-AB, A-4, A-1A, A-M, A-J, B, C, D, E,
375-A, 375-B, and 375-C certificates have paid in full. Fitch does
not rate the class S certificates. Fitch previously withdrew the
ratings on the interest-only class A-X, A-SP and A-Y certificates.
CSAIL 2016-C5: Fitch Affirms B-sf Rating on Class F Certs
---------------------------------------------------------
Fitch Ratings has affirmed 17 classes of CSAIL 2016-C5 Commercial
Mortgage Trust commercial mortgage pass-through certificates.
KEY RATING DRIVERS
Stable Performance and Loss Expectations: The affirmations reflect
the overall stable performance of the pool. With the exception of
three loans (3%) in special servicing, collateral level performance
remains generally in line with issuance expectations. There have
been no material changes to the pool since issuance, therefore the
original rating analysis was considered in affirming the
transaction.
Minimal Changes in Credit Enhancement: As of the January 2019
distribution date, the pool's aggregate principal balance has been
reduced by 1.9% to $918.7 million, resulting in minimal increases
in credit enhancement to the senior classes. Five loans,
representing 27.7% of the pool, are full-term, interest-only loans,
32 loans (50% of the pool) are partial interest-only, and
twenty-two (22.3% of the pool) are balloon. Two loans (3% of the
pool) are fully defeased.
ADDITIONAL CONSIDERATIONS
Specially Serviced Loans: University Plains (1.8% of the pool) is
secured by a student housing property consisting of 540 beds, built
in 2001, renovated in 2015, and located in Ames, IA, two miles
southwest of Iowa State University. The loan was recently
transferred to special servicing in November 2018 for imminent
monetary default. The property's occupancy has declined to 80.2%
with average rent of $409 per unit as of September 2018 from 93.3%
in February 2018. Per the special servicer, they are currently
evaluating the loan and the collateral to determine the best course
of action, however, payments remain current. At issuance, five
student housing properties were located less than one mile from
this property and there was new supply of approximately 480 beds
under construction in the market. Additionally, a new 784 bed
residence hall opened in January 2017 at Iowa State University. The
property's rents were also below market.
Arthur Square (0.7% of the pool), was transferred to special
servicing in October 2018 due to damage sustained by Hurricane
Harvey and the borrower's request for forbearance. The loan is
secured by a multifamily complex consisting of 15 buildings and 226
units located in Port Arthur, TX. Per the special servicer, the
borrower is in the insurance claim process, with a majority of the
property claims received and held by lender in reserves, and has
begun restoration efforts on the collateral. Per the special
servicer, approximately 82% of the projected repairs have been
completed. Insurance proceeds have been received and are being held
by lender. Additionally, a fire occurred on the second floor of
Building 2 in July 2018 and fire damage repairs were ongoing at the
most recent servicer inspection in October 2018.
Comfort Inn Lumberton (0.4% of the pool), was transferred to
special servicing recently in December 2018 for imminent default.
The loan is secured by a hotel consisting of 70 rooms, built in
2008, and located in Lumberton, NC. Per the special servicer, the
property was affected by Hurricane Florence; however, the amount of
the loss is still unknown at this time. The borrower was unable to
make their October payment. Per the June 2018 STR report, the
property's occupancy, ADR and RevPAR were 73.7%, $77.76 and $57.34,
respectively, compared with 64.24%, $80.14 and $51.47 for its
competitive set with penetration rates for occupancy, ADR, and
RevPAR at 114.8%, 97.0%, and 111.4%, respectively.
Additional Debt: There are five loans, representing 21.8% of the
pool with subordinate debt, which is higher than recently
Fitch-rated fixed-rate multiborrower transactions.
Investment-Grade Credit Opinion Loan: The largest loan in the pool,
GLP Portfolio Pool A (9.2%), received a credit opinion of 'Asf' on
a stand-alone basis. The sponsor is Global Logistics Properties,
Ltd, which is currently rated 'BBB' by Fitch.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset-level event changes the transaction's overall
portfolio-level metrics.
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:
-- $10.8 million class A-1 at 'AAAsf'; Outlook Stable;
-- $121.6 million class A-2 at 'AAAsf'; Outlook Stable;
-- $19.8 million class A-3 at 'AAAsf'; Outlook Stable;
-- $170 million class A-4 at 'AAAsf'; Outlook Stable;
-- $267.4 million class A-5 at 'AAAsf'; Outlook Stable;
-- $48.1 million class A-SB at 'AAAsf'; Outlook Stable;
-- $67.9 million class A-S at 'AAAsf'; Outlook Stable;
-- $51.5 million class B at 'AA-sf'; Outlook Stable;
-- $42.1 million class C at 'A-sf'; Outlook Stable;
-- $46.8 million class D at 'BBB-sf'; Outlook Stable;
-- $23.4 million class E at 'BB-sf'; Outlook Stable;
-- $9.4 million class F at 'B-sf'; Outlook Stable;
-- $705.6 million* class X-A at 'AAAsf'; Outlook Stable;
-- $51.5 million* class X-B at 'AA-sf'; Outlook Stable;
-- $46.8 million* class X-D at 'BBB-sf'; Outlook Stable;
-- $23.4 million* class X-E at 'BB-sf'; Outlook Stable;
-- $9.4 million* class X-F at 'B-sf'; Outlook Stable.
* Notional amount and interest only.
Fitch does not rate the class NR and X-NR certificates.
DRYDEN 71 CLO: S&P Gives Prelim BB- Rating on $18MM Cl. E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Dryden 71
CLO Ltd./Dryden 71 CLO LLC's floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed primarily by broadly syndicated speculative-grade (rated
'BB+' and lower) senior secured term loans that are governed by
collateral quality tests.
The preliminary ratings are based on information as of Jan. 23,
2019. 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.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
Dryden 71 CLO Ltd./Dryden 71 CLO LLC
Class Rating Amount (mil. $)
A AAA (sf) 270.00
B AA (sf) 48.50
C (deferrable) A (sf) 22.00
D (deferrable) BBB- (sf) 11.50
E (deferrable) BB- (sf) 18.00
Subordinated notes NR 32.60
NR--Not rated.
EXETER AUTO 2019-1: DBRS Gives (P)BB Rating on $50.9MM Cl. E Notes
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following Series
2019-1 notes to be issued by Exeter Automobile Receivables Trust
2019-1 (the Issuer):
-- $253,290,000, Class A rated AAA (sf)
-- $75,260,000, Class B rated AA (sf)
-- $81,050,000, Class C rated A (sf)
-- $89,450,000, Class D rated BBB (sf)
-- $50,950,000, Class E rated 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 transaction
benefits from credit enhancement in the form of
over-collateralization, subordination, amounts held in the reserve
fund and excess spread. Credit enhancement levels are sufficient to
support DBRS-projected expected cumulative net loss assumptions
under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the ratings address the
timely payment of interest on a monthly basis and principal by the
legal final maturity date.
-- Exeter Finance LLC's (Exeter) capabilities with regard to
originations, underwriting, servicing and ownership by The
Blackstone Group L.P., Navigation Capital Partners, Inc. and
Goldman Sachs Vintage Fund.
-- DBRS has performed an operational review of Exeter and
considers the entity to be an acceptable originator and servicer of
subprime automobile loan contracts with an acceptable backup
servicer.
-- Exeter's senior management team has considerable experience and
a successful track record within the auto finance industry.
-- The credit quality of the collateral and performance of
Exeter's auto loan portfolio.
-- A third-party entity that is unaffiliated with Exeter purchased
a pool of automobile loan contracts from Exeter and is subsequently
selling certain of those contracts to EFCAR LLC, the depositor, to
be included as collateral in the transaction.
-- 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 Exeter, that the trust has a valid
first-priority security interest in the assets and the consistency
with the DBRS methodology "Legal Criteria for U.S. Structured
Finance."
EXETER AUTOMOBILE 2019-1: S&P Assigns Prelim BB Rating on E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Exeter
Automobile Receivables Trust 2019-1's automobile receivables-backed
notes.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The preliminary ratings are based on information as of Jan. 17,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The availability of approximately 60.4%, 53.7%, 44.9%, 35.1%,
and 29.3% credit support for the class A, B, C, D, and E notes,
respectively, based on stressed cash flow scenarios (including
excess spread). This credit support provides coverage of
approximately 2.85x, 2.50x, 2.05x, 1.55x, and 1.27x our
20.50%-21.50% expected cumulative net loss (CNL) range. These
break-even scenarios withstand cumulative gross losses (CGLs) of
approximately 92.9%, 82.6%, 71.9%, 56.2%, and 48.4%, respectively.
-- The timely interest and principal payments that S&P believes
will be made to the preliminary rated notes under stressed cash
flow modeling scenarios, which, in its view, are appropriate for
the assigned preliminary ratings.
-- S&P said, "The expectation that under a moderate ('BBB') stress
scenario (1.55x our expected loss level), all else being equal, our
rating on the class A notes will remain at the assigned preliminary
'AAA (sf)' rating; our ratings on the class B and C notes will
remain within one rating category of the assigned preliminary 'AA
(sf)' and 'A (sf)' ratings, respectively, for the deal's life; and
our rating on the class D notes will remain within two rating
categories of the assigned preliminary 'BBB (sf)' rating over the
deal's life. We expect the class E notes to remain within two
rating categories of the assigned preliminary 'BB (sf)' rating over
the first year, but we expect them to eventually default under this
stress scenario. These rating movements are within the limits
specified by our credit stability criteria."
-- The collateral characteristics of the subprime automobile loans
securitized in this transaction.
-- The transaction's payment, credit enhancement, and legal
structures.
PRELIMINARY RATINGS ASSIGNED
Class Rating Amount (mil. $)
A AAA (sf) 253.29
B AA (sf) 75.26
C A (sf) 81.05
D BBB (sf) 89.45
E BB (sf) 50.95
GE COMMERCIAL 2005-C1: DBRS Cuts Class D Debt Rating to Csf
-----------------------------------------------------------
DBRS Limited downgraded the rating of one class of Commercial
Mortgage Pass-Through Certificates, Series 2005-C1 issued by GE
Commercial Mortgage Corporation, Series 2005-C1, as follows:
-- Class D to C (sf) from CCC (sf)
In addition, DBRS confirmed the ratings on the following classes:
-- Class E at C (sf)
-- Class F at C (sf)
-- Class G at C (sf)
None of the ratings carry trends. Classes E, F and G also have the
Interest in Arrears designation.
The rating downgrade of Class D reflects the increase in expected
loss to the trust for the Lakeside Mall loan (Prospectus ID#1,
89.0% of the current pool balance), which is currently in special
servicing. The loan transferred to special servicing in May 2016
for imminent maturity default and became real estate owned (REO) in
August 2017 after a deed in lieu of foreclosure was obtained from
the sponsor, General Growth Properties Inc. The property's
performance has worsened since becoming REO following the recent
departure of the non-collateral Sears in September 2018, which was
the largest of the five anchor stores at the property. Although
long-term redevelopment discussions are ongoing, cash flows have
been sustained well below issuance levels since 2010, while the
property continues to experience downward-trending tenant sales
with elevated competition in the market, which have already
contributed to a significant decline in property value since
issuance without consideration given to the departure of Sears.
While DBRS acknowledges that the proceeds from a sale of the
property could potentially repay Class D in full, the liquidation
approach assumed by DBRS projects a significant loss to the trust,
partially eroding the remaining balance of Class D. Per the August
2017 appraisal, the property's value was estimated at $43.9
million, well below the July 2016 value of $107.5 million and the
current whole loan exposure for this loan of approximately $145.0
as at the December 2018 remittance. The trust piece represents
approximately 49.7% of the whole loan balance, with the other
A-note piece held in the COMM 2005-LP5 trust, not rated by DBRS.
As at the January 2018 remittance, the transaction experienced a
collateral reduction of 95.9% since issuance, with two of the
original 127 loans outstanding and a current trust balance of
approximately $68.0 million. The Versatile Warehouse loan
(Prospectus ID#53, 11.0% of the current pool balance) is scheduled
to mature in February 2020. This loan has exhibited stable
performance year over year, reporting year-end 2017 and 2016
debt-service coverage ratios of 2.16 times (x) and 2.02x,
respectively.
Notes: All figures are in U.S. dollars unless otherwise noted.
GMAC COMMERCIAL 2004-C3: Fitch Affirms Bsf Rating on Class D Certs
------------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of GMAC Commercial Mortgage
Securities, Inc., series 2004-C3 commercial mortgage pass-through
certificates.
KEY RATING DRIVERS
Deal Concentration: The deal is highly concentrated with only four
loans remaining. The largest loan is a Fitch Loan of Concern (FLOC)
and represents 77.6% of the pool balance. The collateral is an
office building in Norwalk, CA with significant lease rollover and
minimal updates on leases that already have or will be expiring in
the near term. The loan is scheduled to mature in November 2019.
Fitch conducted a market analysis of the submarket surrounding the
asset, including recent sales and rent comparables, to determine a
realistic recovery scenario.
Stable Loss Expectation: Fitch's loss projections have not changed
since the last rating action. There have been no loan repayments or
dispositions since the last rating action. The largest loan has
been a FLOC for the last few years given occupancy concerns and
concentrated lease rollover. Occupancy has declined in the last
year, but Fitch's recovery expectations for the asset remain the
same.
Continued Amortization: Credit enhancement continues to improve as
the pool amortizes. Class B is expected to be fully repaid from
scheduled monthly principal by May 2019. Overall, the pool has paid
down 95.8% since issuance. Two loans are scheduled to mature in
2019, including the largest loan in the pool, which is a FLOC. The
other loan scheduled to mature this year is a balloon loan
collateralized by a class C multifamily property near the Gulf
Coast of Alabama. The remaining loans are fully amortizing with
expected repayment dates in 2024 and 2026.
RATING SENSITIVITIES
The Outlooks for classes B, C and D remain Stable. Although class C
is likely to become the first pay piece in the next few months,
Fitch is concerned this class could experience interest shortfall
related to the FLOC. The refinance and repayment of this loan would
result in most of the outstanding class balances being repaid;
however, a default of this loan would result in interest shortfalls
and potential losses to Fitch-rated classes. The binary risk
associated with the size of this loan relative to the pool balance
is the basis for capping the ratings to classes C and D. While
Fitch does not view losses to class E as probable, losses are
considered possible given minimal credit support and the
concentrated lease expirations at the property securing the largest
loan. Should this loan successfully refinance, class E may be
upgraded. Downgrades are possible should the loan default and
transfer to special servicing.
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:
-- $653,322 class B at 'AAAsf'; Outlook Stable;
-- $14.1 million class C at 'Asf'; Outlook Stable;
-- $20.3 million class D at 'Bsf'; Outlook Stable;
-- $12.5 million class E at 'CCCsf'; RE 100%;
-- $4.8 million class F at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%.
The class A-1, A-1A, A-2, A-3, A-4, A-AB, A-5 and A-J certificates
have been paid in full. Fitch does not rate the class P
certificate. Fitch previously withdrew the ratings on the
interest-only class X-1 and X-2 certificates.
GOLDENTREE LOAN 4: S&P Assigns Prelim B-(sf) Rating on Cl. F Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to GoldenTree
Loan Management U.S. CLO 4 Ltd.'s floating-rate notes.
The note issuance is collateralized loan obligation (CLO)
securitization backed by primarily broadly syndicated
speculative-grade senior secured term loans that are governed by
collateral quality tests.
The preliminary ratings are based on information as of Jan. 18,
2019. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests;
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
GoldenTree Loan Management U.S. CLO 4 Ltd./GoldenTree Loan
Management U.S. CLO 4 LLC
Class Rating Amount
(mil. $)
X AAA (sf) 5.75
A AAA (sf) 476.00
A-J NR 40.00
B AA (sf) 69.75
C (deferrable) A (sf) 68.00
D (deferrable) BBB- (sf) 46.25
E (deferrable) BB- (sf) 29.00
F (deferrable) B- (sf) 16.50
Subordinate notes NR 56.00
NR--Not rated.
GUANAY FINANCE: Fitch Affirms $450MM Series 2013-1 Notes at BB-
---------------------------------------------------------------
Fitch Ratings has affirmed Guanay Finance Limited's 2013-1 notes at
'BB-'. The Rating Outlook is Positive, reflecting the Positive
Outlook on the originator's IDR.
The transaction is backed by existing and future U.S. and Canadian
dollar-denominated ticket receivables originated by LATAM Airlines
Group S.A. (LATAM). Receivables result from passenger and cargo
sales booked under IATA code 045 and purchased with a qualified
credit, debit or charge card in the U.S. and Canada. Fitch's rating
addresses timely payment of interest and principal on a quarterly
basis.
On Dec. 5, 2018, LATAM terminated its merchant payment card
processing agreement with Chase Paymentech Solutions (CPS) given
that the company will no longer be processing credit, debit and
charge card sales for airlines in Canada due to an update to its
processing platform. CPS deposited the last proceeds from credit
card sales in Canada as designated obligor on Dec. 7, 2018.
LATAM has designated Elavon Canada Company as new credit, debit and
charge card sales processor in Canada since Dec. 5, 2018 through a
Substitute Contract and U.S. Bank National Association, acting
though its Canadian branch, as the acquiring bank. LATAM has
provided Elavon, now as Substitute Designated Obligor, a Designated
Obligor Notice and Consent Agreement according with the Assignment
and Sale Agreement. Redirection of Canadian flows from receivables
to the transaction's collection account have been tested with the
indenture trustee and received without interruption since Dec. 7,
2018.
KEY RATING DRIVERS
Originator's Credit Quality: Fitch rates LATAM's Long-Term Issuer
Default Rating (IDR) 'B+' with a Positive Rating Outlook. LATAM's
rating is supported by its diversified business model, significant
regional market position and adequate liquidity, which are tempered
by its still-high gross adjusted leverage and operational
volatility related to some key markets.
Going Concern Assessment: Fitch assigns LATAM a going concern
assessment (GCA) score of 'GC3'. The maximum rating uplift allowed
by the GCA score is two notches. However, other risks outlined the
result in a one-notch rating uplift from LATAM's IDR.
Adequate Performance: On average since closing, collections
supported a maximum quarterly debt service coverage ratio (DSCR) of
4.0x, in line with Fitch's expectations. Fitch's DSCR considers the
maximum quarterly debt service for the life of the transaction.
Flows benefit from a strategically important and strong securitized
business line.
Future Flow Debt: As of second-quarter 2018, outstanding future
flow debt represented approximately 3.1% of LATAM's consolidated
debt and 12% relative to unsecured debt. These percentages are low
relative to LATAM's balance sheet and have been improving since
closing.
Moderate Diversion Risk: The transaction is exposed to potential
diversion risk despite structural protections. Cash flows could be
diverted from the transaction by rerouting sales through a
different IATA code or processing card payments in a different
jurisdiction. Moderate diversion risk limits uplift of the future
flow rating from the originator's IDR.
RATING SENSITIVITIES
The ratings on the notes are sensitive to LATAM's credit quality
and its ability to continue generating securitized flows,
specifically in a context of financial stress as reflected by the
GCA score. Other parameters held constant; negative changes in
LATAM's IDR or GCA score could result in a rating downgrade (while
positive changes could result in an upgrade).
The transaction rating is also sensitive to the performance of the
securitized business line. A material contraction in LATAM's North
American gateway business that negatively affects DSCRs could lead
to a rating downgrade. A change in key ratings drivers of a certain
magnitude will not necessarily affect future flows ratings with the
same magnitude.
Fitch has affirmed the following rating:
Guanay Finance Limited
-- $450,000,000 series 2013-1 notes at 'BB-'; Outlook Positive.
IMSCI 2015-6: DBRS Confirms B Rating on Class G Certificates
------------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2015-6 issued by Institutional
Mortgage Securities Canada Inc. (IMSCI), Series 2015-6 as follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class X at A (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
-- Class G at B (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction since issuance. At issuance, the collateral
consisted of 47 fixed-rate loans secured by 64 commercial
properties, with a trust balance of approximately $325.4 million.
As of the December 2018 remittance, 46 of the original 47 loans
remained in the pool, with a current trust balance of $287.3
million, representing a collateral reduction of 11.7% due to loan
repayment and scheduled amortization. To date, approximately 93.6%
of the pool has reported YE2017 financials, and based on the most
recent year-end reporting, the pool reported a weighted-average
(WA) debt service coverage ratio (DSCR) and debt yield of 1.48
times (x) and 10.8%, respectively, compared with the DBRS Term DSCR
and DBRS Debt Yield figures 1.32x and 8.6%, respectively, at
issuance. Based on the same reporting, the top 15 loans (70.7% of
the pool) reported a WA DSCR and debt yield of 1.59x and 12.3%,
respectively, compared with the WA DBRS Term DSCR of 1.42x,
reflecting a 12.5% net cash flow growth over the DBRS issuance
figures.
As of the December 2018 remittance, there were two loans (9.0% of
the pool) on the servicer's watchlist, including Sterling Tower
(Prospectus ID#5, 5.3% of the pool), which was originally flagged
for a low DSCR due to an increase in operating expenses. However,
as of the May 2017 trailing 12-month (T-12) reporting, performance
has stabilized with a DSCR of 1.45x. DBRS has reached out to the
servicer regarding the loan's status on the watchlist; a response
is pending as of the date of this press release. The other loan on
the watchlist, Comfort Inn & Suites Airdrie (Prospectus ID#9, 3.7%
of the pool balance), was flagged for a low DSCR and occupancy,
driven by declines in the oil and gas market sector. The collateral
is secured by a 103-key, limited-service hotel located in Airdrie,
Alberta, 30 kilometres north of Calgary. As of the YE2017
financials, the loan reported an amortizing DSCR of 0.67x compared
with the DBRS Term DSCR of 1.21x. The borrower has been
supplementing the monthly debt service payment since early 2016,
and as of June 2018, a loan amendment was completed, granting a
24-month interest-only (IO) period. As of the February 2018 STR
report, the property had T-12 occupancy, average daily rate and
RevPAR metrics of 53.2%, $104.6 and $55.6, respectively, compared
with the issuance figures of 80.9%, $127.4 and $103.1,
respectively. DBRS assumed a stressed cash flow scenario for the
loan as part of this review, given the downwards trend in
performance and soft market. For further information, please see
the DBRS loan commentary on the DBRS Viewpoint platform, for which
information has been provided below.
At issuance, DBRS assigned investment-grade shadow ratings to the
South Hill Shopping Center (6.6% of the pool balance), Markham Town
Square (4.3% of the pool balance) and U-Haul SAC3 Portfolio (5.8%
of the pool balance) loans. With this review, DBRS confirms that
the performance of these loans remains consistent with
investment-grade loan characteristics.
Class X is an IO certificate that references 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 Canadian dollars unless otherwise noted.
JFIN CLO 2014: S&P Affirms B Rating on Cl. F Notes, Off CreditWatch
-------------------------------------------------------------------
S&P Global Ratings raised its ratings on the class B-1-R, B-2-R,
C-R, and D notes from JFIN CLO 2014 Ltd.
S&P said, "We also removed the above classes from CreditWatch,
where we placed them with positive implications on Oct. 26, 2018.
At the same time, we affirmed our 'AAA (sf)', 'BB (sf)', and 'B
(sf)' ratings on the class A-R, E, and F notes, respectively, from
the same transaction.
"The rating actions follow our review of the transaction's
performance using data from the Nov. 30, 2018, trustee report.
"The upgrades reflect the transaction's $65.63 million in paydowns
to the class A-R notes since our Oct. 20, 2017, rating actions.
These paydowns resulted in improved reported overcollateralization
(O/C) ratios for the class A/B and C O/C ratios since the Aug. 31,
2017, trustee report, which we used for our previous rating action.
However, the class D and E O/C ratios displayed modest
deterioration."
-- The class A/B O/C ratio increased to 148.16% from 142.72%.
-- The class C O/C ratio increased to 125.96% from 124.76%.
-- The class D O/C ratio decreased to 116.15% from 116.51%.
-- The class E O/C ratio decreased to 109.19% from 110.52%.
The collateral portfolio's credit quality has deteriorated since
our last rating actions. Collateral obligations with ratings in the
'CCC' category have increased, with $49.75 million reported as of
the Nov. 30, 2018, trustee report, compared with $35.21 million
reported as of the Aug. 31, 2017, trustee report. However, despite
the large concentration in the 'CCC' category, the transaction has
benefited from a drop in the weighted average life due to
underlying collateral's seasoning, with 3.99 years reported as of
the Nov. 30, 2018, trustee report, compared with 4.76 years
reported at the time of our last rating action.
The upgrades reflect the improved credit support at the prior
rating levels; the affirmations reflect S&P's view that the credit
support available is commensurate with the current rating level.
On a standalone basis, the results of the cash flow analysis
indicated a higher rating on the class D and E notes. However,
because of the transaction's increased concentration of 'CCC' rated
collateral obligations and additional sensitivity runs that
considered the presence of assets trading at distressed prices, S&P
limited the upgrade on this class D notes and affirmed class E
notes to offset future potential credit migration in the underlying
collateral.
Although the cash flow results indicated a lower rating for the
class F notes, S&P views the overall credit seasoning as an
improvement to the transaction and also considered the relatively
stable O/C ratios that currently have a sufficient cushion over
their minimum requirements. However, any increase in defaults
and/or par losses could lead to potential negative rating actions
in the future.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the aforementioned trustee report, to estimate future performance.
In line with our criteria, our cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, our analysis considered
the transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis--and other qualitative factors as
applicable--demonstrated, in our view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with these rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and will take rating actions as we deem
necessary."
RATINGS RAISED AND REMOVED FROM CREDITWATCH POSITIVE
JFIN CLO 2014 Ltd.
Rating
Class To From
B-1-R AAA (sf) AA (sf)/Watch Pos
B-2-R AAA (sf) AA (sf)/Watch Pos
C-R AA+ (sf) A (sf)/Watch Pos
D A- (sf) BBB (sf)/Watch Pos
RATINGS AFFIRMED
JFIN CLO 2014 Ltd.
Class Rating
A-R AAA (sf)
E BB (sf)
F B (sf)
JP MORGAN 2002-CIBC5: Fitch Affirms Dsf Rating on Class M Certs
---------------------------------------------------------------
Fitch Ratings has affirmed all four classes of JP Morgan Chase
Commercial Mortgage Securities Corp. commercial mortgage
pass-through certificates, series 2002-CIBC5.
KEY RATING DRIVERS
Concentrated Pool with Single Tenant Occupancy Risk: Of the
original 118 loans, only seven loans remain. All seven loans are
secured by single tenant properties, two of which (53.2%) have
leases that expire within the loan term.
The largest loan, Southern Wine & Spirits (51% of the pool), is
secured by a 384,763 sf industrial property located in Las Vegas,
NV. The property is 100% leased to Southern Wine & Spirits, one of
the largest distributors of alcohol distributing 150 million cases
of wine and spirits across 44 markets. The tenant's lease is
expected to expire in 10 months prior to the expected loan maturity
date in 2022. The servicer's net operating income (NOI) debt
service coverage ratio (DSCR) has remained around 1.50x over the
past several years (YE2017: 1.52x; YE2016: 1.49x; YE2015: 1.47x).
As of January 2019, loan per square foot (psf) was approximately
$20.
The fifth largest loan, the Walgreens-Alsip (2.2% of the pool), is
secured by a 14,725 sf retail center located in Alsip, IL. The
property is 100% triple net leased to Walgreens. The tenant's lease
is expected to expire within 14 months of the loan maturity. Per
the December 2017 operating statements, the servicer's reported NOI
DSCR remained steady at 2.28x. As of January 2019, loan psf was
approximately $23.
Stable Performance: The pool has continued to exhibit stable
performance. There are no specially serviced or delinquent loans
and no loans currently on the servicer's watchlist. Realized losses
to date have totalled $23.3 million (2.3% of the original pool
balance).
High Credit Enhancement/Defeasance: As of the January 2019
remittance, the pool has been reduced by 98.5% to $15.2 million
from $1.0 billion at issuance. Three loans (43.2% of the pool) have
been defeased, including the second and third largest loans,
Diamler Chrysler Portage & Orlando (40%). Credit enhancement is
expected to continue to increase as the remaining loans are fully
amortizing through their expected maturity dates (2019: 1%; 2020:
43%; 2021: 0%; 2022: 56%).
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable due to the high
amount of defeasance, stable performance and fully amortizing
nature of the remaining loans. Future upgrades are unlikely given
the single tenancy of the non-defeased loans; however, further
upgrades to the classes are possible with continued stable
performance and increased credit enhancement from additional
paydown and/or defeasance. Downgrades are not expected, but are
possible given an asset-level or economic event causing a decline
in pool performance.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third party due diligence was provided or reviewed by Fitch in
relation to this rating.
Fitch has affirmed the following ratings:
-- $4.8 million class K at 'AAAsf'; Outlook Stable;
-- $5.0 million class L at 'BBBsf'; Outlook Stable;
-- $5.4 million class M at 'Dsf'; RE 60%;
-- $0 class N at 'Dsf'; RE 0%.
The classes A-1, A-2, B, C, D, E, F, G, H, J and the interest-only
X-2 certificates have paid in full. Fitch does not rate the class
NR certificates. Fitch previously withdrew the rating on the
interest-only class X-1 certificates.
JP MORGAN 2003-CIBC6: Fitch Affirms Bsf Rating on Class L Notes
---------------------------------------------------------------
Fitch Ratings has affirmed six classes of J.P. Morgan Chase
Commercial Mortgage Securities Corp., commercial mortgage pass
through certificates, series 2003-CIBC6. Fitch has also revised the
Rating Outlook to Positive from Stable on class L.
KEY RATING DRIVERS
Stable Credit Enhancement; Significant Defeasance: The majority of
the remaining debt is either backed by fully defeased collateral
(66% of the pool) or is fully amortizing (7% of the pool). The pool
has experienced 98% collateral reduction since issuance. Since the
last rating action, two loans have repaid from the trust. These
payoffs contributed $1.3 million in principal resulting in minor
increases in credit enhancement to the senior classes. Loans
representing 27.8% of the pool are scheduled to mature in 2020,
46.8% in 2022, and 25.4% in 2023.
Decreased Loss Expectations: Fitch's loss expectations on the
second largest loan Old Orchard East Shopping Center (27.8% of the
pool) have decreased as a result of improved performance at the
property. The loan is backed by a grocery-anchored retail center
approximately 25 miles north of the Dallas CBD. The loan was
previously in special servicing but has been performing according
to its modification terms since returning to the master servicer in
2011. Occupancy at the property increased to 86% as of September
2018 from 85% at YE 2017, 85% at YE 2016, 79% at YE 2015, and 28%
at YE 2014. The Q3 2018 NOI DSCR of 2.69x is up from 2.20x at YE
2017, 1.81x at YE 2016, 1.41x at YE 2015, and 0.78 at YE 2014.
Pool Concentration: The pool is highly concentrated with only seven
loans remaining. Due to the concentrated nature of the pool, Fitch
performed a sensitivity analysis that grouped the remaining loans
based on the likelihood of repayment and expected losses from
underperforming or overleveraged loans.
RATING SENSITIVITIES
The Outlook for class L has been revised to Positive from Stable.
This class could be subject to a multiple category upgrade should
the Old Orchard East Shopping Center pay in full at its 2020
maturity date. This would result in the class being fully covered
by defeased collateral.
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 classes:
-- $512,769 class H notes at 'AAAsf'; Outlook Stable;
-- $5,198,000 class J notes at 'AAAsf'; Outlook Stable;
-- $7,797,000 class K notes at 'AAAsf'; Outlook Stable;
-- $5,198,000 class L notes at 'Bsf'; Outlook revised to Positive
from Stable;
-- $2,211,037 class M notes at 'Dsf'; RE 0%;
-- $0 class N notes at 'Dsf'; RE 0%.
The class A-1, A-2, B, C, D, E F, G, and X-2 certificates have been
paid in full. Fitch previously withdrew the rating on the
interest-only class X-1 certificates. Fitch does not rate the class
NR certificates.
LONE STAR 2015-LSP: S&P Affirms BB+ Rating on Class E Certs
-----------------------------------------------------------
S&P Global Ratings raised its ratings on four classes of commercial
mortgage pass-through certificates from Lone Star Portfolio Trust
2015-LSP, a U.S. commercial mortgage-backed securities transaction.
In addition, S&P affirmed its ratings on two other classes from the
same transaction.
For the upgrades and affirmations, S&P's credit enhancement
expectation was in line with the raised or affirmed rating levels.
S&P upgraded its rating on the class X-EXT interest only (IO)
certificate based on our criteria for rating IO securities, in
which the ratings on the IO securities would not be higher than
that of the lowest-rated reference class. Class X-EXT's notional
balance references classes B, C, and D.
The analysis of stand-alone (single borrower) transactions is
predominantly a recovery-based approach that assumes a loan
default. S&P said, "Using this approach, our property-level
analysis included a revaluation of the portfolio of 43 properties
totaling 6.0 million net-rentable-sq.-ft. in 13 U.S. states that
secures the mortgage loan in the trust. We then derived our
sustainable in-place net cash flow, which we divided by an 8.01%
S&P Global Ratings capitalization rate to determine our
expected-case value." This yielded an overall S&P Global Ratings
loan-to-value ratio of 80.3%.
According to the Dec. 17, 2018, trustee remittance report, the IO
floating rate loan had a trust balance of $299.6 million and a
whole-loan balance of $308.7 million, down from a $705.3 million
trust and whole-loan balance at issuance. The loan pays a per annum
floating interest rate of one-month LIBOR plus a weighted average
5.3920954% spread. The borrower exercised the first of the two
one-year extension options. The loan's new maturity date is Sept.
9, 2019, and still has one additional one-year extension option
remaining. There is also $53.4 million of mezzanine debt
outstanding. In addition, the loan was structured with a future
funding component, which has a balance outstanding of $9.3 million.
The future funding component ranks pari passu with the trust
balance and is senior to the mezzanine loan. To date, the trust has
not incurred any principal losses.
The master servicer, KeyBank Real Estate Capital, reported a debt
service coverage of 1.25x on the trust balance for the year-to-date
Dec. 31, 2018, and overall occupancy for the 46 properties was
66.5% according to the June 30, 2018, rent rolls. Based on the June
2018 rent rolls, the five largest tenants make up 20.0% of the
collateral's total net rentable area. In addition, 15.5%, 19.7%,
and 7.2% of leases, as measured by contribution to rents, expire in
2019, 2020, and 2021, respectively.
RATINGS RAISED
Lone Star Portfolio Trust 2015-LSP
Commercial mortgage pass-through certificates
Rating
Class To From
B AAA (sf) AA+ (sf)
C AA+ (sf) AA- (sf)
D A+ (sf) A- (sf)
X-EXT A+ (sf) A- (sf)
RATINGS AFFIRMED
Lone Star Portfolio Trust 2015-LSP
Commercial mortgage pass-through certificates
Class Rating
E BB+ (sf)
F B+ (sf)
MERRILL LYNCH 2003-WMC1: Moody's Cuts Class S Debt Rating to C
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of two
tranches from two transactions, backed by Subprime loans, issued by
multiple issuers.
Complete rating actions are as follows:
Issuer: Merrill Lynch Mortgage Investors, Inc. 2003-WMC1
Cl. S, Downgraded to C (sf); previously on Sep 5, 2018 Downgraded
to Caa3 (sf)
Issuer: Specialty Underwriting and Residential Finance Trust,
Series 2003-BC1
Cl. S, Downgraded to C (sf); previously on Nov 29, 2017 Confirmed
at Caa1 (sf)
RATINGS RATIONALE
The downgrade of the ratings to C (sf) reflects the nonpayment of
interest for an extended period of 13 months. For these bonds, the
coupon rate is subject to a calculation that has reduced the
required interest distribution to zero. The coupon on these bonds
is subject to changes in interest rates and/or collateral
composition and there is a remote possibility that they may receive
interest in the future. The actions also reflect the recent
performance of the underlying pools and reflect Moody's updated
loss expectations on the pools.
The methodologies used in these ratings were "US RMBS Surveillance
Methodology" published in January 2017 and "Moody's Approach to
Rating Structured Finance Interest-Only (IO) Securities" published
in June 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 3.9% in December 2018 from 4.1% in
December 2017. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2019 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 2019. 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.
MORGAN STANLEY 2014-C15: DBRS Confirms B Rating on Class X-C Certs
------------------------------------------------------------------
DBRS Limited confirmed the ratings for all classes of the
Commercial Mortgage Pass-Through Certificates, Series 2014-C15 (the
Certificates) issued by Morgan Stanley Bank of America Merrill
Lynch Trust 2014-C15 (the Trust), and changed the trends on Classes
B, X-B, C and PST to Positive from Stable. All other trends remain
Stable.
The rating confirmations are as follows:
-- Class A-SB at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (high) (sf)
-- Class B at AA (sf)
-- Class C at A (high) (sf)
-- Class PST at A (high) (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
-- Class G at BB (low) (sf)
-- Class X-C at B (sf)
-- Class H at B (low) (sf)
The Positive trends assigned to four classes and the rating
confirmations reflect the increased credit support to the bonds
resulting from substantial loan repayment since issuance, as well
as the overall strong performance of the underlying collateral for
the pool. At issuance, the pool consisted of 48 fixed-rate loans
secured by 76 commercial properties, with an original trust balance
of $1.1 billion. As of the December 2018 remittance, 41 loans
remained in the pool with a trust balance of $920.4 million,
representing a collateral reduction of 14.8% due to scheduled loan
amortization and loan repayments. Approximately 95.1% of the pool
reported year-end (YE) 2017 financials and based on the most recent
reporting, the pool reported a weighted-average (WA) debt-service
coverage ratio (DSCR) of 2.17 times (x) and 13.7%, respectively. At
issuance, the pool reported a DBRS WA DSCR and debt yield of 1.75x
and 10.4%, respectively.
Based on the most recent reporting, the top 15 loans (80.8% of the
pool) reported a WA DSCR and debt yield of 2.33x and 14.6%,
respectively, representing WA net cash flow (NCF) growth of 25.5%
from DBRS NCF figures at issuance. There are two loans (2.5% of the
pool) that are fully defeased. The pool is concentrated by property
type as 14 loans (30.1% of the pool) are secured by retail
properties, while five loans (24.9% of the pool) are secured by
hotel properties. The largest loan in the pool, Arundel Mills &
Marketplace (Prospectus ID#1, 14.5% of the pool), is secured by a
regional mall located in Hanover, Maryland. The property benefits
from a diverse mix of anchor tenants in Burlington Coat Factory,
Cinemark and Maryland Live! Casino (on a ground lease through June
2111), and continues to report strong sales as in-line tenants less
than 10,000 square feet (sf) reported sales of $463 per sf as of
the most recent reporting on file with DBRS, dated December 2016.
The mall's unique tenant mix makes it a popular destination within
the larger Baltimore, Maryland, area, with strong sales and stable
occupancy performance suggestive of low risk overall.
The largest hotel loan in the pool, La Concha Hotel & Tower
(Prospectus ID#3, 7.8% of the pool), is secured by a resort hotel
located in San Juan, Puerto Rico. The property was damaged as a
result of Hurricane Maria, which hit Puerto Rico in September 2017,
but the property was fully operational by early December 2017 and
cash flow performance has not been materially impacted by the
aftereffects of the storm to date. There was a decline in cash flow
performance from 2015 to 2016, largely driven by higher capital
expenditures; however, performance rebounded in 2017, with cash
flows up by 28.2% from the DBRS estimates derived at issuance. The
servicer's most recently reported figures show a Q3 2018 DSCR of
3.07x, up from 2.17x at YE2017. The property benefits from its
location within the premier beachfront destination in San Juan and
was ranked in the top 50 for "2018 Best Resorts in the Caribbean"
by Conde Nast Traveler's Readers' Choice Awards.
As of the December 2018 remittance, there were nine loans (10.5% of
the pool) on the servicer's watchlist; however, four loans (5.4% of
the pool) were flagged for deferred maintenance items and overall
performance is healthy, as these watch listed loans reported a WA
DSCR and debt yield of 1.47x and 10.0%, respectively. There is one
loan on the servicer's watchlist that DBRS is monitoring closely in
1100 Richmond Office Building (Prospectus ID#33, 0.5% of the pool),
which is secured by a Class B office property in Houston, Texas.
The property has had a significant decline in occupancy since
issuance, as the largest four tenants in place at closing (formerly
42.7% of the NRA) have vacated. One of the larger remaining
tenants, Siemens (8.6% of the NRA, expiring May 2019) recently
extended their lease by two years and is in negotiations to expand
their space. However, given the challenges in the market and the
sharp cash flow declines, with a Q3 2018 DSCR of 0.41x, DBRS
assumed a highly stressed cash flow scenario for the loan with this
review to significantly increase the probability of default.
At issuance, DBRS assigned investment-grade shadow ratings to
Arundel Mills & Marketplace (Prospectus ID#1, 16.3% of the pool)
and JW Marriott and Fairfield Inn & Suites (Prospectus ID#7, 5.4%
of the pool) loans. DBRS confirms with this review that the
performance of both loans remains consistent with investment-grade
loan characteristics.
Classes X-A, X-B and X-C are interest-only (IO) certificates that
reference a single rated tranche or multiple rated tranches. The IO
rating mirrors the lowest-rated applicable reference obligation
tranche adjusted upward by one notch if senior in the waterfall.
Notes: All figures are in U.S. dollars unless otherwise noted.
NEUBERGER BERMAN 30: S&P Assigns BB- Rating on Class E Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to Neuberger Berman Loan
Advisers CLO 30 Ltd./Neuberger Berman Loan Advisers CLO 30 LLC's
fixed- and floating-rate notes.
The note issuance is a collateralized loan obligation (CLO)
transaction backed by broadly syndicated speculative-grade senior
secured term loans.
The ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
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-1 AA (sf) 35.00
B-2 AA (sf) 20.00
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 2019-1: DBRS Finalizes B Rating on 8 Note Classes
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage-Backed Notes, Series 2019-1 (the Notes) issued by New
Residential Mortgage Loan Trust 2019-1 (NRMLT or the Trust):
-- $175.5 million Class A-1 at AAA (sf)
-- $175.5 million Class A-IO at AAA (sf)
-- $175.5 million Class A-1A at AAA (sf)
-- $175.5 million Class A-1B at AAA (sf)
-- $175.5 million Class A1-IOA at AAA (sf)
-- $175.5 million Class A1-IOB at AAA (sf)
-- $198.2 million Class A-2 at AAA (sf)
-- $175.5 million Class A at AAA (sf)
-- $22.7 million Class B-1 at AAA (sf)
-- $22.7 million Class B1-IO at AAA (sf)
-- $22.7 million Class B-1A at AAA (sf)
-- $22.7 million Class B-1B at AAA (sf)
-- $22.7 million Class B-1C at AAA (sf)
-- $22.7 million Class B1-IOA at AAA (sf)
-- $22.7 million Class B1-IOB at AAA (sf)
-- $9.9 million Class B-2 at AA (sf)
-- $9.9 million Class B2-IO at AA (sf)
-- $9.9 million Class B-2A at AA (sf)
-- $9.9 million Class B-2B at AA (sf)
-- $9.9 million Class B-2C at AA (sf)
-- $9.9 million Class B2-IOA at AA (sf)
-- $9.9 million Class B2-IOB at AA (sf)
-- $20.5 million Class B-3 at A (sf)
-- $20.5 million Class B3-IO at A (sf)
-- $20.5 million Class B-3A at A (sf)
-- $20.5 million Class B-3B at A (sf)
-- $20.5 million Class B-3C at A (sf)
-- $20.5 million Class B3-IOA at A (sf)
-- $20.5 million Class B3-IOB at A (sf)
-- $19.9 million Class B-4 at BBB (sf)
-- $19.9 million Class B-4A at BBB (sf)
-- $19.9 million Class B-4B at BBB (sf)
-- $19.9 million Class B-4C at BBB (sf)
-- $19.9 million Class B4-IOA at BBB (sf)
-- $19.9 million Class B4-IOB at BBB (sf)
-- $19.9 million Class B4-IOC at BBB (sf)
-- $13.4 million Class B-5 at BB (sf)
-- $13.4 million Class B-5A at BB (sf)
-- $13.4 million Class B-5B at BB (sf)
-- $13.4 million Class B-5C at BB (sf)
-- $13.4 million Class B5-IOA at BB (sf)
-- $13.4 million Class B5-IOB at BB (sf)
-- $13.4 million Class B5-IOC at BB (sf)
-- $8.0 million Class B-6 at B (sf)
-- $8.0 million Class B-6A at B (sf)
-- $8.0 million Class B-6B at B (sf)
-- $8.0 million Class B-6C at B (sf)
-- $8.0 million Class B6-IOA at B (sf)
-- $8.0 million Class B6-IOB at B (sf)
-- $8.0 million Class B6-IOC at B (sf)
-- $41.2 million Class B-8 at B (sf)
Classes A-IO, A1-IOA, A1-IOB, B1-IO, B1-IOA, B1-IOB, B2-IO, B2-IOA,
B2-IOB, B3-IO, B3-IOA, B3-IOB, B4-IOA, B4-IOB, B4-IOC, B5-IOA,
B5-IOB, B5-IOC, B6-IOA, B6-IOB and B6-IOC are interest-only notes.
The class balances represent notional amounts.
Classes A-1A, A-1B, A1-IOA, A1-IOB, A-2, A, B-1A, B-1B, B-1C,
B1-IOA, B1-IOB, B-2A, B-2B, B-2C, B2-IOA, B2-IOB, B-3A, B-3B, B-3C,
B3-IOA, B3-IOB, B-4A, B-4B, B-4C, B4-IOA, B4-IOB, B4-IOC, B-5A,
B-5B, B-5C, B5-IOA, B5-IOB, B5-IOC, B-6A, B-6B, B-6C, B6-IOA,
B6-IOB, B6-IOC and B-8 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 30.25% of credit
enhancement provided by subordinated notes in the pool. The AA
(sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 26.75%,
19.55%, 12.55%, 7.85% and 5.05% 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 2,484 loans with a total principal balance of
$283,390,635 as of the Cut-off Date (December 1, 2018).
The loans are significantly seasoned with a weighted-average age of
164 months. As of the Cut-off Date, 95.8% of the pool is current,
4.2% is 30 days delinquent under the Mortgage Bankers Association
(MBA) delinquency method and 1.0% is in bankruptcy (all bankruptcy
loans are performing or 30 days delinquent). Approximately 76.5%
and 91.0% of the mortgage loans have been zero times 30 days
delinquent for the past 24 months and 12 months, respectively,
under the MBA delinquency method. The portfolio contains 75.3%
modified loans. The modifications happened more than two years ago
for 91.6% of the modified loans. Approximately 97.7% of the pool is
exempt from the Ability-to-Repay/Qualified Mortgage rules.
The Seller, NRZ Sponsor VII 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 2019-1 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, 60.4% of the pool is serviced by Ocwen Loan
Servicing, 28.8% of the pool is serviced by Nationstar Mortgage LLC
(Nationstar), 4.6% of the pool is serviced by Select Portfolio
Servicing Inc., 2.3% of the pool is serviced by Fay Servicing and
0.2% of the pool is serviced by Shellpoint Mortgage Servicing
(SMS). 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 and payment history. 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.
NEW RESIDENTIAL 2019-NQM1: DBRS Finalizes B Rating on B-2 Notes
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the Mortgage-Backed
Notes, Series 2019-NQM1 (the Notes) issued by New Residential
Mortgage Loan Trust 2019-NQM1 (the Trust) as follows:
-- $192.6 million Class A-1 at AAA (sf)
-- $27.8 million Class A-2 at AA (sf)
-- $33.6 million Class A-3 at A (sf)
-- $14.6 million Class M-1 at BBB (sf)
-- $11.2 million Class B-1 at BB (sf)
-- $7.4 million Class B-2 at B (sf)
The AAA (sf) rating on the Notes reflects the 34.60% of credit
enhancement provided by subordinated Notes in the pool. The AA
(sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 25.15%,
13.75%, 8.80%, 5.00% and 2.50% 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 fixed- and
adjustable-rate, prime, expanded prime and non-prime first-lien
residential mortgages funded by the issuance of the Notes. The
Notes are backed by 532 loans with a total principal balance of
$294,491,925 as of the Cut-Off Date (January 1, 2019).
All the loans were originated by New Penn Financial, LLC (New Penn)
or by a correspondent and underwritten by New Penn, and Shell point
Mortgage Servicing (SMS) is the Servicer. The mortgages were
originated under the following programs:
(1) SmartSelf and SmartSelf Plus (69.9%) — Generally made to
self-employed borrowers using bank statements to support
self-employed income for qualification purposes.
(2) SmartEdge and SmartEdge Plus (23.3%) — Generally made to
borrowers seeking flexible financing options (interest-only (IO)
loans or higher debt-to-income ratios (DTIs)) who may have a recent
credit event (two or more years seasoned) that may preclude
prequalification for another program.
(3) SmartVest (5.6%) — Generally made to borrowers who are
experienced real estate investors looking to purchase or refinance
an investment property that is held for business purposes.
(4) High Balance Extra (0.7%) — Generally made to prime borrowers
with loan amounts exceeding the government-sponsored enterprise
loan limits who may fall outside the Qualified Mortgage (QM)
requirements based on documentation and DTI.
(5) SmartTrac (0.3%) — Generally made to borrowers seeking
flexible financing options (IO loans or higher DTIs) who may have a
recent credit event (one to two or more years seasoned) that may
preclude prequalification for another program.
(6) Smart Condo (0.2%) — Generally made to prime borrowers
seeking flexible financing options for condominium properties that
do not meet agency guidelines.
New Residential Investment Corp. is the Sponsor of the transaction.
Nation star Mortgage LLC (Nation star) will act as the Master
Servicer. Citibank, N.A. (rated A (high) with a Positive trend by
DBRS) will act as the Paying Agent, Note Registrar, and Owner
Trustee. U.S. Bank National Association (rated AA (high) with a
Stable trend by DBRS) will serve as Indenture Trustee. Citicorp
Trust Delaware, National Association will serve as the Delaware
Trustee. Wells Fargo Bank, N.A. (rated AA with a Stable trend by
DBRS) will serve as Custodian.
Although the mortgage loans were originated to satisfy the Consumer
Financial Protection Bureau (CFPB) Ability-to-Repay (ATR) rules,
they were made to borrowers who generally do not qualify for an
agency, government or private-label non-agency prime jumbo products
for various reasons. In accordance with the CFPB QM/ATR rules, 0.2%
of the loans are designated as QM Safe Harbor and 77.6% as non-QM.
Approximately 22.2% of the loans are made to investors for business
purposes and hence are not subject to the QM/ATR rules.
The Servicer will generally fund advances of delinquent principal
and interest on any mortgage until such loan becomes 180 days
delinquent, and it is obligated to make advances in respect of
taxes, insurance premiums and reasonable costs incurred in the
course of servicing and disposing of properties.
The Sponsor intends to retain 5% of the fair value of all the Notes
issued by the Trust (other than the Class R Notes) to satisfy the
credit risk retention requirements under Section 15G of the
Securities Exchange Act of 1934 and the regulations promulgated
thereunder.
The Seller will have the option, but not the obligation, to
repurchase any mortgage loan that becomes 60 or more days
delinquent under the Mortgage Bankers Association method or any
real estate–owned property acquired in respect of a mortgage loan
at a price equal to the stated principal balance of such loan,
provided that such repurchases in aggregate do not exceed 10% of
the total principal balance as of the Cut-Off Date (Optional
Repurchase Price).
On or after the earlier of (1) the payment date occurring in
January 2021 or (2) the date when the aggregate stated principal
balance of the mortgage loans is reduced to 30% of the Cut-Off Date
balance, the Depositor has the option to purchase all of the
outstanding mortgage loans, thereby retiring the Notes, at a price
equal to the outstanding aggregate stated principal balance of the
mortgage loans, plus accrued and unpaid interest.
The transaction employs a sequential-pay cash flow structure with a
pro rata principal distribution among the senior tranches.
Principal proceeds can be used to cover interest shortfalls on the
Notes as the outstanding senior Notes are paid in full.
The ratings reflect transactional strengths that include the
following:
(1) Robust Loan Attributes and Pool Composition: The mortgage loans
in this portfolio generally exhibit expanded prime characteristics
and robust loan attributes as reflected in credit scores, combined
loan-to-value ratios (LTVs), borrower household income and liquid
reserves. As the programs move down the credit spectrum, certain
characteristics, such as lower LTVs, suggest the consideration of
compensating factors for riskier pools. The pool comprises 46.1%
fixed-rate mortgages, which have the lowest default risk because of
the stability of monthly payments. The pool comprises 53.9% hybrid
adjustable-rate mortgages with initial fixed periods of five to ten
years, allowing borrowers sufficient time to credit cure before
rates reset.
(2) ATR Rules and Appendix Q Compliance: All of the mortgage loans,
except for the business-purpose investor loans, were underwritten
in accordance with the eight underwriting factors of the ATR rules.
In addition, New Penn's underwriting standards for the SmartEdge,
SmartEdge Plus, SmartTrac, and SmartCondo programs generally comply
with the Standards for Determining Monthly Debt and Income as set
forth in Appendix Q of Regulation Z with respect to income
verification and the calculation of DTIs; however, in certain
instances, loans were permitted to have deviations from Appendix
Q.
(3) Satisfactory Third-Party Due Diligence Review: A third-party
due diligence firm conducted property valuation, credit and
compliance reviews on 100% of the loans in the pool. Data integrity
checks were also performed on the pool.
(4) Improved Underwriting Standards: Whether for prime or non-prime
mortgages, generally underwriting standards have improved
significantly from the pre-crisis era with respect to certain
attributes, such as income, asset, and employment verification, as
well as appraisal and reserve requirements.
-- Full documentation generally consists of two years of W-2s (or
two years of personal and business tax returns for self-employed
borrowers), two months of asset statements and a verbal or written
verification of employment. Borrowers must execute and submit an
Internal Revenue Service (IRS) Form 4506-T and a tax transcript
from the IRS using the executed Form 4506-T obtained.
-- For loans in the SmartSelf and SmartSelf Plus programs, one
borrower must be self-employed and income must be supported by 12
months or 24 months of personal or business bank statements.
-- New Penn's appraisal review process incorporates validation
through either a second full appraisal, a desk review or a field
review.
-- Minimum reserve and maximum LTV requirements vary based on a
program, loan amount, credit score and DTI.
The transaction also includes the following challenges and
mitigating factors:
(1) Representations and Warranties (R&W) Framework: The R&W
framework is considerably weaker than that of a post-crisis prime
jumbo securitization. Instead of an automatic review when a loan
becomes seriously delinquent, this transaction employs an optional
review only when realized losses occur (unless the alleged breach
relates to an ATR or TILA-RESPA Integrated Disclosure violation).
In addition, rather than engaging a third-party due diligence firm
to perform the R&W review, the Controlling Holder (initially the
Depositor) has the option to perform the review in-house or use a
third-party reviewer. Finally, the R&W provider (the Seller) is an
unrated entity, has a limited performance history of expanded prime
non-QM securitizations and may potentially experience financial
stress that could result in the inability to fulfill repurchase
obligations. DBRS notes the following mitigating factors:
-- The Noteholders representing a 25% interest in the Notes may
direct the Trustee to commence a separate review of the related
mortgage loan, to the extent they disagree with the Controlling
Holder's determination of a breach.
-- Third-party due diligence was conducted on 100% of the loans
included in the pool. A comprehensive due diligence review
mitigates the risk of future R&W violations.
-- DBRS conducted an originator review of New Penn and deems it to
be operationally sound.
-- The Sponsor or an affiliate of the Sponsor will retain 5% of
each class of Notes (other than the Class R Notes), aligning
Sponsor and investor interest in the capital structure.
-- Notwithstanding the above, DBRS adjusted the originator score
downward to account for the potential inability to fulfill
repurchase obligations, the lack of performance history and the
weaker R&W framework. A lower originator score results in increased
default and loss assumptions and provides additional cushions for
the rated securities.
(2) Non-Prime, Non-QM and Investor Loans: Compared with post-crisis
prime jumbo transactions, this portfolio contains mortgages
originated to borrowers with weaker credit and prior derogatory
credit events as well as large concentrations of non-QM and
investor loans. DBRS notes the following mitigating factors:
-- All loans, except for the business-purpose investor loans, were
originated to meet the eight underwriting factors as required by
the ATR rules. Also, certain loans were underwritten to comply with
the standards set forth in Appendix Q.
-- Underwriting standards have improved substantially since the
pre-crisis era.
-- The DBRS RMBS Insight model incorporates loss severity
penalties for non-QM and QM Rebuttable Presumption loans, as
explained further in the Key Loss Severity Drivers section of the
related rating report.
-- For loans in this portfolio, borrower credit events had
generally happened more than two years ago, on average, prior to
origination. In its analysis, DBRS applies additional penalties for
borrowers with recent credit events within the past two years (two
loans, representing 0.1% of the pool).
-- For investor loans, DBRS applies 1.7 times (x) to 1.8x penalty
to default frequency relative to owner-occupied loans, holding
other attributes constant, to address the higher default risk
associated with investment properties. In addition, DBRS applies
further penalties to 63 SmartVest loans, which were underwritten
using a property cash flow ratio to qualify borrowers for income.
The investor loans in this pool generally have a better credit
profile than the overall pool with a weighted-average (WA) current
FICO of 751, WA original combined LTV of 66.6%, WA DTI of 27.1% and
substantial liquid reserves at approximately $204,436.
(3) Servicer Advances of Delinquent Principal and Interest: The
Servicer will advance scheduled principal and interest on
delinquent mortgages until such loans become 180 days delinquent.
This will likely result in lower loss severities to the transaction
because advanced principal and interest will not have to be
reimbursed from the Trust upon the liquidation of the mortgages but
will increase the possibility of periodic interest shortfalls to
the Noteholders. Mitigating factors include the following:
principal proceeds can be used to pay interest shortfalls to the
Notes as the outstanding senior Notes are paid in full and DBRS ran
cash flow scenarios that incorporated principal and interest
advancing up to 180 days for delinquent loans. The cash flow
scenarios are discussed in more detail in the Cash Flow Analysis
section of the related rating report.
(4) Servicer's Financial Capability: In this transaction, SMS,
as the Servicer, is responsible for funding advances to the extent
required. The Servicer is an unrated entity and may face financial
difficulties in fulfilling its servicing advance obligations in the
future. Consequently, the transaction employs Nation star as the
Master Servicer. If the Servicer fails in its obligation to make
advances, Nation star will be obligated to fund such servicing
advances.
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.
NEW RESIDENTIAL 2019-NQM1: S&P Gives B Rating on $7MM B-2 Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to New Residential Mortgage
Loan Trust 2019-NQM1's mortgage-backed notes.
The note issuance is a residential mortgage-backed securities
transaction backed by U.S. residential mortgage loans.
The ratings reflect:
-- The pool's collateral composition;
-- The credit enhancement provided for this transaction;
-- The transaction's associated structural mechanics;
-- The transaction's representation and warranty (R&W) framework;
and
-- The mortgage originator.
RATINGS ASSIGNED
New Residential Mortgage Loan Trust 2019-NQM1
Class Rating Amount ($)
A-1 AAA (sf) 192,597,000
A-2 AA (sf) 27,830,000
A-3 A (sf) 33,572,000
M-1 BBB (sf) 14,577,000
B-1 BB (sf) 11,191,000
B-2 B (sf) 7,362,000
B-3 NR 7,362,924
XS-1 NR Notional(i)
XS-2 NR Notional(i)
A-IO-S NR Notional(i)
R NR N/A
(i)Notional amount equals the loans' aggregate stated principal
balance.
NR--Not rated.
N/A--Not applicable.
OBX TRUST 2019-INV1: Moody's Assigns (P)B2 Rating on Class B-5 Debt
-------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 21
classes of residential mortgage-backed securities (RMBS) issued by
OBX 2019-INV1 Trust. The ratings range from (P)Aaa (sf) to (P)B2
(sf).
OBX 2019-INV1, the first rated issue from Onslow Bay Financial
(OBF) in 2019, is a prime RMBS securitization of fixed-rate, agency
eligible mortgage loans secured by first liens on non-owner
occupied residential properties with original terms to maturity of
30 years. All of the loans are underwritten in accordance with
Freddie Mac or Fannie Mae guidelines, which take into
consideration, among other factors, the income, assets, employment
and credit score of the borrower. All of the loans were run through
one of the government-sponsored enterprises' automated underwriting
systems and received an "Approve" or "Accept" recommendation.
The mortgage loans for this transaction were acquired by the seller
and sponsor, Onslow Bay Financial LLC, from Quicken Loans Inc.
(71.4%), JPMorgan Chase Bank, N.A. (24.6%), and from various
mortgage lending institutions, each of which originated less than
5% of the mortgage loans in the pool.
Quicken Loans Inc., Specialized Loan Servicing LLC (SLS), and
Select Portfolio Servicing, Inc (SPS) (collectively, the servicers)
will service 71.4%, 15.3%, and 13.3% of the aggregate balance of
the mortgage pool, respectively, and Wells Fargo Bank, N.A. (Aa2)
will be the master servicer. The servicers will be obligated to
make certain servicing advances and, for loans which are delinquent
less than 120 days advances for delinquent scheduled interest and
principal payments unless the servicer determines that such
advances would not be recoverable. The master servicer is obligated
to fund any required monthly advances if the servicer fails in its
obligation to do so. The master servicer and servicer will be
entitled to reimbursements for any such monthly advances from
future payments and collections with respect to those mortgage
loans.
OBX 2019-INV1 has a shifting interest structure with a five-year
lockout period that benefits from a senior subordination floor and
a subordinate floor. The servicer will not advance principal and
interest to loans that are 120 days or more delinquent. Moody's
coded the cash flow to each of the certificate classes using
Moody's proprietary cash flow model. In its analysis of tail risk,
Moody's considered the increased risk from borrowers with more than
one mortgage in the pool.
The complete rating actions are as follows:
Issuer: OBX 2019-INV1 Trust
Cl. A-1, Assigned (P)Aaa (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. A-4, Assigned (P)Aaa (sf)
Cl. A-5, Assigned (P)Aaa (sf)
Cl. A-6, Assigned (P)Aaa (sf)
Cl. A-7, Assigned (P)Aaa (sf)
Cl. A-8, Assigned (P)Aaa (sf)
Cl. A-9, Assigned (P)Aaa (sf)
Cl. A-10, Assigned (P)Aaa (sf)
Cl. A-11, Assigned (P)Aaa (sf)
Cl. A-12, Assigned (P)Aaa (sf)
Cl. A-13, Assigned (P)Aaa (sf)
Cl. A-14, Assigned (P)Aaa (sf)
Cl. A-15, Assigned (P)Aa1 (sf)
Cl. A-16, Assigned (P)Aa1 (sf)
Cl. B-1, Assigned (P)Aa2 (sf)
Cl. B-2, Assigned (P)A1 (sf)
Cl. B-3, Assigned (P)Baa1 (sf)
Cl. B-4, Assigned (P)Ba1 (sf)
Cl. B-5, Assigned (P)B2 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected cumulative net loss on the aggregate pool is 0.95%
in a base scenario and reaches 11.40% at a stress level consistent
with the Aaa ratings.
Its loss estimates are based on a loan-by-loan assessment of the
securitized collateral pool as of the cut-off date using Moody's
Individual Loan Level Analysis (MILAN) model. Loan-level
adjustments to the model included adjustments to borrower
probability of default for higher and lower borrower debt-to-income
ratios (DTIs), for borrowers with multiple mortgaged properties,
self-employed borrowers, and for risks related to mortgaged
properties in Homeowner associations (HOAs) in super lien states.
Its final loss estimates also incorporate adjustments for
originator assessments and the strength of the representation and
warranty (R&W) framework.
Moody's bases its provisional 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 R&W framework of the transaction.
Collateral Description
The OBX 2019-INV1 transaction is a securitization of 1,172
investment property mortgage loans secured by fixed rate, first
liens on one-to-fits family residential investment properties,
planned unit developments, condominiums, townhouses and attached
planned unit developments with an unpaid principal balance of
$393,961,409. All of the loans have a 30-year original term. The
mortgage pool has a WA seasoning of 6.9 months. The loans in this
transaction have strong borrower characteristics with a weighted
average original primary borrower FICO score of 762 and a
weighted-average original combined loan-to-value ratio (CLTV) of
67.1%. In addition, 23.8% of the borrowers are self-employed and
refinance loans comprise about 44.6% of the aggregate pool. The
pool has a high geographic concentration with 56.4% of the
aggregate pool located in California; 15.1% located in the Los
Angeles-Long Beach-Anaheim, CA MSA and 14.8% located in San
Francisco-Oakland-Hayward, CA MSA. The characteristics of the loans
underlying the pool are generally comparable to other recent prime
RMBS transactions backed primarily by 30-year mortgage loans that
Moody's has rated.
Origination
Loans in the pool were originated by several different originators.
The largest originators in the pool with more than 5% by balance
are Quicken Loans Inc. (71.4%) and JPMorgan Chase Bank,
N.A.(24.6%).
Third Party Review and Reps & Warranties (R&W)
Two 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, property valuation, data
integrity and regulatory compliance reviews on 100% of the mortgage
pool. The TPR checked to ensure that all of the reviewed loans were
in compliance with Fannie Mae's or Freddie Mac's underwriting
guidelines and loan eligibility requirements with generally no
material compliance, credit data or valuation issues. Moody's
increased its loss severities on two loans where there were
findings related to valuations.
The R&W provider is the sponsor (Onslow Bay), an unrated entity
that may not have the financial wherewithal to purchase defective
loans. Moreover, unlike some other prime jumbo transactions that
Moody's has rated, the R&W framework for this transaction does not
include a mechanism whereby loans that experience an early payment
default (EPD) are repurchased. However, all the loans in the pool
had independent due diligence review and the results of the review
revealed compliance with underwriting guidelines and regulations,
as well as overall strong valuation quality. These results indicate
that the loans most likely do not breach the R&Ws. Also, the
transaction benefits from unqualified R&Ws and an independent
breach reviewer. The R&Ws do not protect against issues discovered
during the due diligence review that were disclosed to investors.
The R&W's are not subject to sunset, other than the six-year
statute of limitations for R&W claims in New York. Moody's
increased its loss levels to account for some weaknesses in the
overall R&W framework due to the financial weakness of the R&W
provider, lack of a repurchase mechanism for loans experiencing an
early payment default and weaknesses in the review procedures
compared to other prime jumbo transactions.
Tail Risk and Subordination Floor
The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to increased performance
volatility, known as tail risk. The transaction provides for a
senior subordination floor of 1.80% of the pool's cut-off date
balance, which mitigates tail risk by protecting the senior bonds
from eroding credit enhancement over time. Additionally there is a
subordination lock-out amount equal to $4,137,408 as of the cut-off
date.
Exposure to Extraordinary expenses
Extraordinary trust expenses in this transaction are deducted from
net WAC as opposed to the available distribution amount. However,
the extraordinary trust expenses of the servicer will not be
subject to the foregoing maximum amount of $275,000 per annum.
Moody's believes there is a very low likelihood that the rated
certificates in this transaction will incur any losses from
extraordinary expenses or indemnification payments from potential
future lawsuits against key deal parties. Firstly, the loans are of
prime quality and were originated under a regulatory environment
that requires tighter controls for originations than pre-crisis,
which reduces the likelihood that the loans have defects that could
form the basis of a lawsuit. Secondly, the transaction has
reasonably well-defined processes in place to identify loans with
defects on an ongoing basis. In this transaction, an independent
breach reviewer must review loans for breaches of representations
and warranties when certain clearly defined triggers have been
breached which reduces the likelihood that parties will be sued for
inaction. Furthermore, the issuer has disclosed the results of a
credit, compliance and valuation review of 100% of the mortgage
loans by independent third parties.
Trustee and Paying Agent, Master Servicer, Note Registrar and
Custodian
Wilmington Savings Fund Society, FSB will act as the trustee for
this transaction. Wells Fargo Bank, N.A. will act as a paying
agent, master servicer, note registrar and custodian for this
transaction. In its capacity as custodian, Wells Fargo Bank, N.A.
will hold the collateral documents, which include, the original
note and mortgage and any intervening assignments of mortgage.
Wells Fargo Bank, N.A. (Aa2) provides oversight of the servicer.
Moody's considers Wells Fargo as a strong master servicer of
residential loans. Wells Fargo's oversight encompasses loan
administration, default administration, compliance and cash
management.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
OCEAN TRAILS IV: S&P Raises Class F Notes Rating to 'BB-(sf)'
-------------------------------------------------------------
S&P Global Ratings raised its ratings on the class B-R, C-R, D-R,
E-R, and F notes from Ocean Trails CLO IV Ltd., a U.S.
collateralized loan obligation (CLO) managed by Five Arrows
Managers North America LLC, and S&P removed class B-R and C-R
ratings from CreditWatch, where it had placed them with positive
implications on Oct. 26, 2018. At the same time, S&P affirmed its
'AAA (sf)' rating on the class A-R notes from the same
transaction.
The rating actions follow its review of the transaction's
performance using data from the Nov. 2, 2018, trustee report.
The upgrades reflect the transaction's $92.93 million in paydowns
to the class A-R notes since S&P's Aug. 28, 2017, rating actions.
These paydowns resulted in improved reported overcollateralization
(O/C) ratios since the July 5, 2017, trustee report, which S&P used
for its previous rating actions. The following are the O/C test
results:
-- The class A/B O/C ratio test improved to 143.93% from 132.83%.
-- The class C O/C ratio test improved to 128.52% from 122.12%.
-- The class D O/C ratio test improved to 118.54% from 114.84%.
-- The class E O/C ratio test improved to 111.49% from 109.51%.
S&P said, "The upgrades reflect the improved credit support at the
prior rating levels and the affirmations reflect our view that the
credit support available is commensurate with the current rating
levels.
"Our review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. On a
standalone basis, the results of the cash flow analysis indicated a
higher rating on the class D-R, E-R, and F notes. However, our
actions on these classes reflect the transaction becoming more
concentrated as it continues to amortize, the increased exposure to
'CCC' rated collateral obligations, and the drop in weighted
average spread to 3.43% from 3.73%. Additionally, the portfolio's
exposure to 'CCC' rated collateral has increased to $31.93 million
from $15.56 million, which also represents an increased
concentration in the portfolio to 10.27% from 3.99%. We limited the
upgrades to offset future potential increased concentration risk
and credit migration in the underlying collateral.
"In line with our criteria, our cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, our analysis considered
the transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis--and other qualitative factors as
applicable--demonstrated, in our view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with these rating actions."
S&P Global Ratings will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the credit
enhancement available to support them and take rating actions as it
deems necessary.
RATINGS RAISED AND REMOVED FROM CREDITWATCH
Ocean Trails CLO IV Ltd.
Rating
Class To From
B-R AAA (sf) AA+ (sf)/Watch Pos
C-R AA+ (sf) AA- (sf)/Watch Pos
RATINGS RAISED
Ocean Trails CLO IV Ltd.
Rating
Class To From
D-R A+ (sf) A- (sf)
E-R BBB- (sf) BB+ (sf)
F BB- (sf) B (sf)
RATINGS AFFIRMED
Ocean Trails CLO IV Ltd.
Class Rating
A-R AAA (sf)
ONEMAIN FINANCIAL 2019-1: S&P Gives BB Rating on $5MM Cl. E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to OneMain Financial
Issuance Trust 2019-1's personal consumer loan-backed notes.
The note issuance is an asset-backed securities transaction backed
by personal consumer loan receivables.
The ratings reflect:
-- The availability of approximately 53.0%, 46.1%, 41.4%, 33.5%,
and 27.2% credit support to the class A, B, C, D, and E notes,
respectively, in the form of subordination, overcollateralization,
a reserve account, and excess spread. These credit support levels
are sufficient to withstand stresses commensurate with the ratings
on the notes based on S&P's stressed cash flow scenarios.
-- S&P said, "Our expectation that under a moderate ('BBB') stress
scenario, all else being equal, our ratings on the class A and B
notes will remain within one rating category of the assigned 'AAA
(sf)' and 'AA (sf)' ratings, respectively, for the life of the
deal; our ratings on the class C and D notes will remain within two
rating categories of the assigned 'A (sf)' and 'BBB (sf)',
respectively, for the life of the deal; and our rating on the class
E notes will remain within two rating category of the assigned 'BB
(sf)' rating in the next 12 months but the class would ultimately
default under a BBB scenario. The above rating movements are within
the one-category rating tolerance for 'AAA' and 'AA' rated
securities and a two-category rating tolerance for 'A', 'BBB', and
'BB' rated securities during the first year; 'BB' rated securities
are permitted to default within three years under a 'BBB' stress
scenario."
-- The timely interest and full principal payments expected to be
made under stressed cash flow modeling scenarios appropriate to the
assigned ratings.
-- The characteristics of the pool being securitized and
receivables expected to be purchased during the revolving period.
-- The transaction's payment and legal structures.
RATINGS ASSIGNED
OneMain Financial Issuance Trust 2019-1
Class Rating Type Interest Amount
rate (%) (mil. $)
A AAA (sf) Senior 3.48 430.120
B AA (sf) Subordinate 3.79 58.550
C A (sf) Subordinate 3.89 37.620
D BBB (sf) Subordinate 4.22 47.430
E BB (sf) Subordinate 5.69 57.890
PARTS PRIVATE 2007-CT1: Fitch Affirms CCsf Rating on Class B Debt
-----------------------------------------------------------------
Fitch Ratings has affirmed the following notes issued by PARTS
Private Student Loan Trust Series 2007-CT1:
-- Class A at 'AAAsf'; Outlook Stable;
-- Class B at 'CCsf'; RE 50%;
-- Class C at 'Csf'; RE 0%.
KEY RATING DRIVERS
Collateral Performance: The PARTS 2007-CT1 trust is collateralized
by approximately $26 million of private student loans originated
according to either The Education Resources Institute or the
Lutheran Education Assistance Resource Network underwriting
guidelines by Liberty Bank, N.A. or Charter One Bank, N.A.
Education Funding Resources, LLC, a wholly-owned subsidiary of
Student Loan Xpress, Inc. (SLX). SLX became a wholly owned
subsidiary of CIT Group, Inc. in 2005. It ceased originating loans
on April 3, 2008.
Fitch assumes a base case remaining default rate of 9%, and applies
a stress multiple of 4x at the 'AAAsf' level. The base case
recovery rate is assumed to be 10%, which is stressed in line with
rating-dependent recovery haircuts described in Fitch's private
student loan criteria.
Fitch does not give any credit to the guarantees provided by TERI
or LEARN. Both parties have stopped paying claims filed by the
trust.
Payment Structure: Credit enhancement (CE) for the class A notes is
provided by overcollateralization (the excess of trust's asset
balance over bond balance), excess spread, and the subordination of
the class B and C notes. CE for the class B notes is provided by
excess spread and the subordination of the class C notes. CE for
the class C notes is provided by excess spread.
As of the November 2018 distribution date, the class A, B and C
parity ratios (excluding claims in process) were 287.9%, 98.7% and
77.0%, respectively. Liquidity support is provided by a reserve
fund, currently fully funded at $1 million, which is the minimum
required reserve fund balance.
The class C junior subordinate note interest and the turbo triggers
are currently in effect. As a result, interest is currently not
paid on the class C notes. The class A, B and C notes are redeemed
sequentially and no cash can be released from the trust as long as
turbo triggers are in effect.
Operational Capabilities: Day-to-day servicing is provided by
American Education Services (AES), a wholly-owned subsidiary of
Pennsylvania Higher Education Assistance Agency (PHEAA). Fitch
considers AES an acceptable servicer for the trust portfolio.
RATING SENSITIVITIES
Rating sensitivities provide greater insight into the model-implied
sensitivities the transaction faces when one or two risk factors
are stressed, while holding others equal. The modelling process
first uses the estimation and stress of base-case default and
recovery assumptions to reflect asset performance in a stressed
environment. Second, structural protection was analysed with
Fitch's GALA Model. The results should only be considered as one
potential outcome as the transaction is exposed to multiple risk
factors that are all dynamic variables. The results use ratings
assigned to the transactions as a rating cap for each tranche.
The 'CCsf' and 'Csf' rated classes are not included in these
sensitivities. Expected impact on the class A is as follows:
-- Defaults increase by 10%: 'AAAsf';
-- Defaults increase by 25%: 'AAAsf';
-- Defaults increase by 50%: 'AAAsf'.
-- Recoveries decrease by 10%: 'AAAsf';
-- Recoveries decrease by 20%: 'AAAsf';
-- Recoveries decrease by 30%: 'AAAsf'.
-- Defaults increase/recoveries decrease by 10%: 'AAAsf';
-- Defaults increase/recoveries decrease by 25%: 'AAAsf;'
-- Defaults increase/recoveries decrease by 50%: 'AAAsf'.
The stresses are intended to provide an indication of the rating
sensitivity of the notes to unexpected deterioration in trust
performance. Rating sensitivity should not be used as an indicator
of future rating performance.
RESIDENTIAL ASSET 2005-A15: Moody Ups Cl. 2-A-X Debt to Caa3
------------------------------------------------------------
Moody's Investors Service has upgraded the rating of one tranche
from one transaction, backed by Alt-A loans.
Complete rating actions are as follows:
Issuer: Residential Asset Securitization Trust 2005-A15
Cl. 2-A-X, Upgraded to Caa3 (sf); previously on Sep 21, 2018
Downgraded to Ca (sf)
RATINGS RATIONALE
The rating upgrade is due to the correction of a prior error. Class
2-AX is a pool-linked IO bond that is linked to groups 3 and 4. The
September 2018 rating action considered the wrong highest rating
for group 3. The error has now been corrected, and the rating
accurately reflects the credit performance of the related linked
pools.
The methodologies used in this rating were "US RMBS Surveillance
Methodology" published in January 2017 and "Moody's Approach to
Rating Structured Finance Interest-Only (IO) Securities" published
in June 2017.
Factors that would lead to an upgrade or downgrade of the 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 3.9% in December 2018 from 4.1% in
December 2017. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2019 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 2019. Lower increases than
Moody's expects or decreases could lead to negative rating
actions.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds and/or pools.
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.
SALOMON BROTHERS 2001-MM: Moody's Hikes Cl. F-8 Certs to Ba2
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two classes
and affirmed the ratings on two classes in Salomon Brothers
Commercial Mortgage Trust 2001-MM, Commercial Mortgage Pass-Through
Certificates, Series 2001-MM as follows:
Cl. E-8, Upgraded to A1 (sf); previously on Jan 4, 2018 Upgraded to
A2 (sf)
Cl. F-8, Upgraded to Ba2 (sf); previously on Jan 4, 2018 Upgraded
to Ba3 (sf)
Cl. G-8, Affirmed B3 (sf); previously on Jan 4, 2018 Upgraded to B3
(sf)
Cl. X*, Affirmed Ba2 (sf); previously on Jan 4, 2018 Upgraded to
Ba2 (sf)
* Reflects Interest Only Classes
RATINGS RATIONALE
The ratings on two rake bonds, classes E-8 and F-8, were upgraded
due to the improvement of the related loan's key metrics, including
Moody's loan-to-value (LTV). The remaining loan has paid down 10%
since the last review.
The rating on one rake bond, class G-8, was affirmed because the
transaction's key metrics are within acceptable ranges.
The rating on the IO class was affirmed based on the credit quality
of the referenced classes.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
defeasance or an improvement in loan performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the loan 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.
DEAL PERFORMANCE
As of the December 18, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $16.2 million
from $674 million at securitization. The certificates are
collateralized by one mortgage loan.
This transaction had several unique features in terms of
certificate structure, loan grouping, payment priority and loss
allocation. The interest-only class (Class X) is the only remaining
senior certificate in the trust. Additionally, there are three
remaining junior certificates in one series corresponding to a
specific loan group. At securitization, the aggregate principal
balance of each loan group was divided into a senior portion and a
junior portion and the senior portion of each series supported the
pooled classes. As of the December 2018 remittance date, the
certificate principal balance of the related senior portions have
been reduced to zero and principal payments are now applied to the
junior certificates on a senior/sequential basis within the
remaining loan group. At securitization there were eight loan
groups, however, seven groups, corresponding to Classes E-1, F-1,
G-1; E-2, F-2, G-2; E-3, F-3, G-3; E-4, F-4, G-4; E-5, F-5, G-5;
E-6, F-6, G-6; and E-7, F-7 and G-7, have been repaid in full.
Loan Group 8 originally held four loans but due to loan pay offs
only one loan remains as the collateral for classes E-8, F-8 and
G-8. The remaining loan in Loan Group 8 is the Stamford Square Loan
($16.2 million), which is secured by a Class A office building
located in Stamford, Connecticut. The property was 84% leased as of
June 2018, up from 72% leased as of November 2016. This loan is on
the master servicer's watchlist due to a low DSCR. The third
largest tenant, KPMG (15% of the NRA), announced it will be
vacating this location, however, the property's cash flow has
improved significantly over the past three years and the loan has
amortized approximately 53% since securitization. Moody's LTV and
stressed DSCR are 97% and 1.18X, respectively, compared to 120% and
0.95X at Moody's last review. Moody's upgraded the ratings of
classes E-8 and F-8 due to the lower Moody's LTV for the Stamford
Square Loan which supports these bonds.
SEQUOIA MORTGAGE 2019-1: Moody's Gives Ba3 Rating to Cl. B-4 Certs
------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
classes of residential mortgage-backed securities issued by Sequoia
Mortgage Trust 2019-1. The certificates are backed by one pool of
prime quality, first-lien mortgage loans, including 184
agency-eligible high balance mortgage loans. The assets of the
trust consist of 535 fully amortizing, fixed-rate mortgage loans.
The borrowers in the pool have high FICO scores, significant equity
in their properties and liquid cash reserves. Nationstar Mortgage
LLC will serve as the master servicer for this transaction. There
are six servicers for this pool: Shellpoint Mortgage Servicing
(59.5% by loan balance), TIAA, FSB (18.4%), Quicken Loans Inc.
(16.6%), HomeStreet Bank (2.0%), First Republic Bank (1.8%), and
Associated Bank, N.A. (1.6%).
The complete rating actions are as follows:
Issuer: Sequoia Mortgage Trust 2019-1
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-5, Definitive Rating Assigned Aaa (sf)
Cl. A-6, Definitive Rating Assigned Aaa (sf)
Cl. A-7, Definitive Rating Assigned Aaa (sf)
Cl. A-8, Definitive Rating Assigned Aaa (sf)
Cl. A-9, Definitive Rating Assigned Aaa (sf)
Cl. A-10, Definitive Rating Assigned Aaa (sf)
Cl. A-11, Definitive Rating Assigned Aaa (sf)
Cl. A-12, Definitive Rating Assigned Aaa (sf)
Cl. A-13, Definitive Rating Assigned Aaa (sf)
Cl. A-14, Definitive Rating Assigned Aaa (sf)
Cl. A-15, Definitive Rating Assigned Aaa (sf)
Cl. A-16, Definitive Rating Assigned Aaa (sf)
Cl. A-17, Definitive Rating Assigned Aaa (sf)
Cl. A-18, Definitive Rating Assigned Aaa (sf)
Cl. A-19, Definitive Rating Assigned Aa1 (sf)
Cl. A-20, Definitive Rating Assigned Aa1 (sf)
Cl. A-21, Definitive Rating Assigned Aa1 (sf)
Cl. A-22, Definitive Rating Assigned Aaa (sf)
Cl. A-23, Definitive Rating Assigned Aaa (sf)
Cl. A-24, Definitive Rating Assigned Aaa (sf)
Cl. B-1, Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Definitive Rating Assigned A3 (sf)
Cl. B-3, Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Definitive Rating Assigned Ba3 (sf)
RATINGS RATIONALE
Summary Credit Analysis
Moody's expected cumulative net loss on the aggregate pool is 0.30%
in a base scenario and reaches 4.65% at a stress level consistent
with the Aaa (sf) ratings. The Aaa stress loss is slightly lower
than at provisional ratings due to minor changes in the collateral
composition. Its loss estimates are based on a loan-by-loan
assessment of the securitized collateral pool using Moody's
Individual Loan Level Analysis (MILAN) model. Loan-level
adjustments to the model included: adjustments to borrower
probability of default for higher and lower borrower DTIs,
borrowers with multiple mortgaged properties, self-employed
borrowers, origination channels and at a pool level, for the
default risk of HOA properties in super lien states. The adjustment
to its Aaa stress loss below the model output also includes
adjustments related to aggregation and origination quality. The
model combines loan-level characteristics with economic drivers to
determine the probability of default for each loan, and hence for
the portfolio as a whole. Severity is also calculated on a
loan-level basis. The pool loss level is then adjusted for
borrower, zip code, and MSA level concentrations.
Collateral Description
The SEMT 2019-1 transaction is a securitization of 535 first-lien
residential mortgage loans, with an aggregate unpaid principal
balance of approximately $348,257,089. Two loans dropped from the
pool compared to the provisional ratings. Moody's revised its Aaa
loss projection to 4.65% as compared to 4.70% in provisional
ratings, due to slight changes in the collateral composition. There
are 69 originators in this pool, including Loan Depot (22.3%),
TIAA, FSB (18.4%) and Quicken (18.0%). None of the originators
other than Loan Depot, TIAA, FSB and Quicken Loans contributed 10%
or more of the principal balance of the loans in the pool. The
loan-level third party due diligence review (TPR) encompassed
credit underwriting, property value and regulatory compliance. In
addition, Redwood has agreed to backstop the rep and warranty
repurchase obligation of all originators other than First Republic
Bank.
The loans were all aggregated by Redwood Residential Acquisition
Corporation (Redwood). Moody's considers Redwood, the mortgage loan
seller, to have strong aggregation and origination practices
compared to peers.
About 40% of the loans in the pool were purchased based on a
reliance letter. These loans were originated by loanDepot.com, LLC
and TIAA, FSB and were underwritten to their respective originator
guidelines. Redwood will rely upon the due diligence carried out by
an independent third party review firm for the originators prior to
acquisition. Moody's independently reviewed the underwriting
guidelines of these originators and factored it in its analysis.
Moody's reduced its base case and Aaa stress loss assumption for
the loans originated by TIAA, FSB, due to its strong origination
practices. The third party review carried out for the originator
could result in a potential conflict of interest, as the originator
can waive conditions at its own discretion. Moody's reviewed the
original third party review and the exceptions and took that into
consideration in its analysis. All waived exceptions were within
its expectation. Overall Moody's considered the TPR framework to be
credit neutral.
Borrowers of the mortgage loans backing this transaction have a
demonstrated ability to save and to manage credit. In addition, the
61.7% of the borrowers in the pool have more than 24 months of
liquid cash reserves or enough money to pay the mortgage for two
years should there be an interruption to the borrower's cash flow.
Consistent with prudent credit management, the borrowers have high
FICO scores, with a weighted average score of 770. In general, the
borrowers have high income, significant liquid assets and a stable
employment history, all of which have been verified as part of the
underwriting process and reviewed by the TPR firms. Borrowers also
have significant equity in their homes (WA CLTV 70.7%) consistent
with recent SEMT transactions.
Approximately, 12.5% of the mortgage loans by aggregate stated
principal balance are secured by mortgaged properties located in
the areas that the Federal Emergency Management Agency (FEMA) had
designated for federal assistance during the prior 12 months.
Redwood has engaged a third party to inspect these properties. No
material visible damage was detected from the inspection and the
related mortgage was included in the transaction pool.
Representations and warranties as to the mortgage loans will have
been made to the effect that in general, the mortgage loans will be
free of material damage as of the closing date.
Structural considerations
Similar to recently rated Sequoia transactions, in this
transaction, Redwood is adding a feature prohibiting the servicer,
or securities administrator, from advancing principal and interest
to loans that are 120 days or more delinquent. These loans on which
principal and interest advances are not made are called the Stop
Advance Mortgage Loans. The balance of the SAML will be removed
from the principal and interest distribution amounts calculations.
In its opinion, the SAML feature strengthens the integrity of
senior and subordination relationships in the structure. Yet, in
certain scenarios the SAML feature, as implemented in this
transaction, can lead to a reduction in interest payments to
certain tranches even when more subordinated tranches are
outstanding. The senior/subordination relationship between tranches
is strengthened since the removal of SAML in the calculation of the
senior percentage amount directs more principal to the senior bonds
and less to the subordinate bonds. Further, this feature limits the
amount of servicer advances that could increase the loss severity
on the liquidated loans and preserves the subordination amount for
the most senior bonds. On the other hand, this feature can cause a
reduction in the interest distribution amount paid to the bonds;
and if that were to happen such a reduction in interest payment is
unlikely to be recovered. The final ratings on the bonds take into
consideration its expected losses on the collateral and the
potential reduction in interest distributions to the bonds.
Furthermore, the likelihood that the subordinate tranches could
potentially permanently lose some interest as a result of this
feature was considered.
Moody's believes there is a low likelihood that the rated
securities of SEMT 2019-1 will incur any losses from extraordinary
expenses or indemnification payments owing to potential future
lawsuits against key deal parties. First, the loans are of prime
quality and were originated under a regulatory environment that
requires tighter controls for originations than pre-crisis, which
reduces the likelihood that the loans have defects that could form
the basis of a lawsuit. Second, Redwood, who initially retains the
subordinate classes and provides a back-stop to the representations
and warranties of all the originators except for First Republic
Bank, has a strong alignment of interest with investors, and is
incentivized to actively manage the pool to optimize performance.
Third, historical performance of loans aggregated by Redwood has
been very strong to date. Fourth, the transaction has reasonably
well defined processes in place to identify loans with defects on
an ongoing basis. In this transaction, an independent breach
reviewer must review loans for breaches of representations and
warranties when a loan becomes 120 days delinquent, which reduces
the likelihood that parties will be sued for inaction.
Tail Risk & Subordination Floor
The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to increased performance
volatility, known as tail risk. The transaction provides for a
subordination floor of 1.25% of the closing pool balance, which
mitigates tail risk by protecting the senior bonds from eroding
credit enhancement over time.
Third-party Review and Reps & Warranties
Two TPR firms conducted a due diligence review of nearly 100% of
the mortgage loans in the pool. Generally, the TPR firms conducted
a review for credit, property valuation, compliance and data
integrity ("full review loans"). The TPR firms randomly selected
two mortgage loans for limited review that were originated by First
Republic Bank.
Generally, for the full review loans, the sponsor or the originator
corrected all material errors identified by following defined
methods of error resolution under the TRID rule or TILA 130(b) as
per the proposed SFIG TRID framework. The sponsor or the originator
provided the borrower with a corrected Closing Disclosure and
letter of explanation as well as a refund where necessary. All
technical errors on the Loan Estimate were subsequently corrected
on the Closing Disclosure. Moody's believes that the TRID
noncompliance risk to the trust is immaterial due to the good-faith
efforts to correct the identified conditions.
No TRID compliance reviews were performed on the limited review
loans. Therefore, there is a possibility that some of these loans
could have unresolved TRID issues. Moody's reviewed the initial
compliance findings of loans from the same originator where a full
review was conducted and there were no material compliance
findings. As a result, Moody's did not increase its Aaa loss.
Each of the originators makes the loan-level R&Ws for the loans it
originated, except for loans acquired by Redwood from the FHLB
Chicago. The mortgage loans purchased by Redwood from the FHLB
Chicago were originated by various participating financial
institution originators. For these mortgage loans, FHLB Chicago
will provide the loan-level R&Ws that are assigned to the trust.
In line with other SEMT transactions, the loan-level R&Ws for SEMT
2019-1 are strong and, in general, either meet or exceed the
baseline set of credit-neutral R&Ws Moody's identified for US
RMBS.
Among other things, the R&Ws address property valuation,
underwriting, fraud, data accuracy, regulatory compliance, the
presence of title and hazard insurance, the absence of material
property damage, and the enforceability of the mortgage.
The R&W providers vary in financial strength, which include some
financially weaker originators. To mitigate this risk, Redwood will
backstop any R&W providers who may become financially incapable of
repurchasing mortgage loans, except for First Republic Bank, which
is one of the strongest originators. Moreover, a third-party due
diligence firm conducted a detailed review on the loans of all of
the originators, which mitigates the risk of unrated and
financially weaker originators.
Trustee & Master Servicer
The transaction trustee is Wilmington Trust, National Association.
The paying agent and cash management functions will be performed by
Citibank, N.A. and the custodian functions will be performed by
Wells Fargo Bank, N.A., rather than the trustee. In addition,
Nationstar Mortgage LLC, as master servicer, is responsible for
servicer oversight, and termination of servicers and for the
appointment of successor servicers. In addition, Nationstar
Mortgage LLC is committed to act as successor if no other successor
servicer can be found.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
STACR TRUST 2019-DNA1: DBRS Assigns Prov. B Ratings on 3 Tranches
-----------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Structured Agency Credit Risk (STACR) 2019-DNA1 Notes (the Notes)
issued by Freddie Mac STACR Trust 2019-DNA1:
-- $215.0 million Class M-1 at BBB (sf)
-- $327.0 million Class M-2 at B (high) (sf)
-- $327.0 million Class M-2R at B (high) (sf)
-- $327.0 million Class M-2S at B (high) (sf)
-- $327.0 million Class M-2T at B (high) (sf)
-- $327.0 million Class M-2U at B (high) (sf)
-- $327.0 million Class M-2I at B (high) (sf)
-- $163.5 million Class M-2A at BB (high) (sf)
-- $163.5 million Class M-2AR at BB (high) (sf)
-- $163.5 million Class M-2AS at BB (high) (sf)
-- $163.5 million Class M-2AT at BB (high) (sf)
-- $163.5 million Class M-2AU at BB (high) (sf)
-- $163.5 million Class M-2AI at BB (high) (sf)
-- $163.5 million Class M-2B at B (high) (sf)
-- $163.5 million Class M-2BR at B (high) (sf)
-- $163.5 million Class M-2BS at B (high) (sf)
-- $163.5 million Class M-2BT at B (high) (sf)
-- $163.5 million Class M-2BU at B (high) (sf)
-- $163.5 million Class M-2BI at B (high) (sf)
-- $163.5 million Class M-2RB at B (high) (sf)
-- $163.5 million Class M-2SB at B (high) (sf)
-- $163.5 million Class M-2TB at B (high) (sf)
-- $163.5 million Class M-2UB at B (high) (sf)
-- $86.0 million Class B-1 at B (low) (sf)
-- $43.0 million Class B-1A at B (sf)
-- $43.0 million Class B-1AR at B (sf)
-- $43.0 million Class B-1AI at B (sf)
-- $43.0 million Class B-1B at B (low) (sf)
Classes M-2, M-2R, M-2S, M-2T, M-2U, M-2I, M-2AR, M-2AS, M-2AT,
M-2AU, M-2AI, M-2BR, M-2BS, M-2BT, M-2BU, M-2BI, M-2RB, M-2SB,
M-2TB, M-2UB, B-1AR, B-1AI and B-1 are Modifiable and Combinable
STACR Notes (MAC Notes). Classes M-2I, M-2AI, M-2BI and B-1AI are
interest-only MAC Notes.
The BBB (sf), BB (high) (sf), B (high) (sf), B (sf) and B (low)
(sf) ratings reflect 3.000%, 2.050%, 1.100%, 0.850% and 0.600% of
credit enhancement, respectively. Other than the specified classes
above, DBRS does not rate any other classes in this transaction.
STACR 2019-DNA1 is the 14th transaction in the STACR DNA series.
The Notes are subject to the credit and principal payment risk of a
certain reference pool of residential mortgage loans held in
various Freddie Mac-guaranteed mortgage-backed securities.
As of the Cut-off Date, the Reference Pool consists of 106,427
greater-than-20-year fully amortizing the first lien fixed-rate
mortgage loans underwritten to a full documentation standard, with
original loan-to-value ratios greater than 60% and less than or
equal to 80%. The mortgage loans were originated on or after
October 2017 and were acquired by Freddie Mac between April 1,
2018, and June 30, 2018.
On the Closing Date, the trust will enter into a credit protection
agreement (CPA) with Freddie Mac. Freddie Mac, as the credit
protection buyer, will be required to make credit premium payments.
The trust is expected to use the aggregate proceeds realized from
the sale of the notes to purchase certain eligible investments to
be held in a custodial account. The eligible investments are
restricted to highly rated, short-term investments. Cash flow from
the reference pool will not be used to make any payments; instead,
a portion of the eligible investments held in the custodial account
will be liquidated to make principal payments to the Noteholders
and credit protection payments, if any, to Freddie Mac upon the
occurrence of certain specified credit events and modification
events. The trust will use the net investment earnings on the
eligible investments together with Freddie Mac's credit premium
payments to pay interest to the Noteholders.
The calculation of principal payments to the Notes will be based on
the actual principal collected on the reference pool. The interest
payments for these transactions are not linked to the performance
of the reference obligations except to the extent that modification
losses have occurred. The Notes will be scheduled to mature on the
payment date in January 2049 but will be subject to mandatory
redemption prior to the scheduled maturity date upon the
termination of the CPA.
DBRS notes the following strengths and challenges for this
transaction:
STRENGTHS
-- Seller (or lender)/servicer approval process and quality
control platform,
-- Well-diversified reference pool,
-- Strong alignment of interest and
-- Extensive performance history.
CHALLENGES
-- Representation and warranties framework,
-- Limited third-party due diligence and
-- Counterparty Exposure.
STACR TRUST 2019-DNA1: S&P Assigns Prelim B- Rating on B-1B Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Freddie Mac
Structured Agency Credit Risk Trust 2019-DNA1's (STACR Trust
2019-DNA1) notes.
The note issuance is a residential mortgage-backed securities
(RMBS) transaction backed by fully amortizing, first-lien,
fixed-rate residential mortgage loans secured by one- to
four-family residences, planned-unit developments, condominiums,
cooperatives, and manufactured housing to mostly prime borrowers.
The preliminary ratings are based on information as of Jan. 17,
2019. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The credit enhancement provided by the subordinated reference
tranches, as well as the associated structural deal mechanics;
-- The credit quality of the collateral included in the reference
pool;
-- A credit-linked note structure that reduces the counterparty
exposure to Freddie Mac for periodic principal payments but, at the
same time, relies on credit premium payments from Freddie Mac (a
highly rated counterparty) to make monthly interest payments and to
make up for any investment losses;
-- The issuer's aggregation experience and the alignment of
interests between the issuer and noteholders in the deal's
performance, which, in our view, enhances the notes' strength; and
-- The enhanced credit risk management and quality control
processes Freddie Mac uses in conjunction with the underlying
representations and warranties framework.
PRELIMINARY RATINGS ASSIGNED
Freddie Mac STACR Trust 2019-DNA1
Class Rating Amount (mil. $)
A-H(i) NR 23,561,926,526
M-1 BBB+ (sf) 215,000,000
M-1H(i) NR 92,596,952
M-2 B+ (sf) 327,000,000
M-2R B+ (sf) 327,000,000
M-2S B+ (sf) 327,000,000
M-2T B+ (sf) 327,000,000
M-2U B+ (sf) 327,000,000
M-2I B+ (sf) 327,000,000
M-2A BBB- (sf) 163,500,000
M-2AR BBB- (sf) 163,500,000
M-2AS BBB- (sf) 163,500,000
M-2AT BBB- (sf) 163,500,000
M-2AU BBB- (sf) 163,500,000
M-2AI BBB- (sf) 163,500,000
M-2AH(i) NR 70,273,684
M-2B B+ (sf) 163,500,000
M-2BR B+ (sf) 163,500,000
M-2BS B+ (sf) 163,500,000
M-2BT B+ (sf) 163,500,000
M-2BU B+ (sf) 163,500,000
M-2BI B+ (sf) 163,500,000
M-2RB B+ (sf) 163,500,000
M-2SB B+ (sf) 163,500,000
M-2TB B+ (sf) 163,500,000
M-2UB B+ (sf) 163,500,000
M-2BH(i) NR 70,273,684
B-1 B- (sf) 86,000,000
B-1A B+ (sf) 43,000,000
B-1AR B+ (sf) 43,000,000
B-1AI B+ (sf) 43,000,000
B-1AH(i) NR 18,519,391
B-1B B- (sf) 43,000,000
B-1BH(i) NR 18,519,391
B-2 NR 86,000,000
B-2A NR 43,000,000
B-2AR NR 43,000,000
B-2AI NR 43,000,000
B-2AH(i) NR 18,519,390
B-2B NR 43,000,000
B-2BH(i) NR 18,519,390
B-3H(i) NR 24,607,757
(i)Reference tranche only and will not have corresponding notes.
Freddie Mac retains the risk of each of these tranches.
NR--Not rated.
VERTICAL CDO 2003-1: S&P Lowers Ratings on 2 Tranches to 'D(sf)'
----------------------------------------------------------------
S&P Global Ratings lowered its ratings to 'D (sf)' on the class A
and B notes from Vertical CDO 2003-1 Ltd., a hybrid collateralized
debt obligation (CDO) transaction referencing primarily CDOs of
structured finance securities. S&P subsequently withdrew its
ratings on these notes.
S&P said, "The rating actions follow our assessment of the
transaction's performance using data from the latest available
trustee reports -- the payment date report dated Dec. 3, 2018, and
the monthly report dated Dec. 27, 2018 -- and the event of default
notice that we received in relation to a missed interest payment on
the class A and B notes.
"The class A and B notes were due $261,255.00 and $182,944.13 on
the Dec. 3, 2018, payment date but received $100,419.82 and $0
respectively. Following the missed interest payments, we received a
notice from the trustee that the transaction had triggered an event
of default due to the missed interest payments. Because the
interest payments on the class A and B notes are nondeferrable and
our ratings on these notes address the timely payment of interest,
we lowered the ratings to 'D (sf)' as per our criteria following
the missed interest payments. Subsequently, we withdrew our ratings
on these classes."
RATINGS LOWERED
Vertical CDO 2003-1 Ltd.
Rating
Class To From
A D (sf) CC (sf)
B D (sf) CC (sf)
RATINGS WITHDRAWN
Vertical CDO 2003-1 Ltd.
Rating
Class To From
A NR D (sf)
B NR D (sf)
NR--Not rated.
VITALITY RE X 2019: S&P Assigns BB+ Rating on Class B Notes
-----------------------------------------------------------
S&P Global Ratings said it has assigned ratings of 'BBB+(sf)' and
'BB+(sf)' to the Class A and B notes, respectively, issued by
Vitality Re X Ltd.
The notes will cover claims payments of Health Re Inc.--and
ultimately, Aetna Life Insurance Co. (ALIC)--related to the covered
insurance business to the extent the medical benefits ratio (MBR)
exceeds 104% for the class A notes and 98% for the class B notes.
The MBR will be calculated on an annual aggregate basis.
The ratings are based on the lowest of the following: the MBR risk
factor on the ceded risk ('bbb+' for the class A notes and 'bb+'
for the class B notes), the rating on ALIC (the underlying ceding
insurer), and the rating on the permitted investments ('AAAm') that
will be held in the collateral account (there is a separate
collateral account for each class of notes) at closing.
According to the risk analysis provided by actuarial consulting
firm Milliman, the primary driver of historical financial
fluctuations has been the volatility in per-capita claim cost
trends and lags in insurers' reactions to these trend changes in
their premium rate-increase actions. Other volatility factors
include changes in expenses and target profit margins. Although
these factors cause the majority of claims volatility, the extreme
tail risk is affected by severe pandemic.
This is the fourth Vitality Re issuance that permits the
probability of attachment, for the class A notes only, to be reset
higher or lower than at issuance. For each reset of the class A
notes, if any class B notes are outstanding on the applicable reset
calculation date, the updated MBR attachment of the class A notes
will be set so it is equal to the updated MBR exhaustion for the
class B notes.
Ratings List
New Rating
Vitality Re X Ltd.
Sr Secured Class A Notes Series 2019 BBB+(sf)
Sr Secured Class B Notes Series 2019 BB+(sf)
WAMU MORTGAGE 2006-AR19: Moody's Lowers Cl. 2-X-PPP Certs to Caa3
-----------------------------------------------------------------
Moody's Investors Service has downgraded the rating of Cl. 2-X-PPP
from WaMu Mortgage Pass-Through Certificates, Series 2006-AR19
Trust, backed by Option Arm loans.
Complete rating actions are as follows:
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2006-AR19
Trust
Cl. 2-X-PPP, Downgraded to Caa3 (sf); previously on Dec 20, 2017
Confirmed at Caa2 (sf)
RATINGS RATIONALE
The rating downgrade on Cl. 2-X-PPP reflects the updated
performance of reference pool backing this bond. The action
reflects the recent performance of the underlying pools and Moody's
updated loss expectations on the pools.
The methodologies used in this rating were "US RMBS Surveillance
Methodology" published in January 2017 and "Moody's Approach to
Rating Structured Finance Interest-Only (IO) Securities" published
in June 2017.
Factors that would lead to an upgrade or downgrade of the 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 3.9% in December 2018 from 4.1% in
December 2017. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2019 year. Deviations from this central
scenario could lead to rating actions in the sector. House prices
are another key driver of US RMBS performance. Lower increases than
Moody's expects or decreases could lead to negative rating actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds and/or pools.
WELLS FARGO 2015-NXS1: Fitch Affirms B-sf Rating on Class F Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of Wells Fargo Commercial
Mortgage Trust 2015-NXS1 commercial mortgage pass-through
certificates.
KEY RATING DRIVERS
Overall Stable Loss Expectations: The affirmations are based on the
overall stable performance of the underlying collateral. One loan
(10.2% of the current pool balance) is in special servicing due to
a technical default and one loan (2%) has been designated as a
Fitch Loan of Concern, which is secured by a 126,925 square foot
(sf) office building located in Raleigh, NC that has experienced an
occupancy decline. Three loans (2.7%) have been defeased. There
have been no realized losses to date.
Minimal Change to Credit Enhancement: As of the December 2018
distribution date, the pool's aggregate principal balance has been
paid down by 2.7% to $929.8 million from $955.2 million at
issuance. Interest shortfalls are currently affecting class G. At
issuance, the pool was scheduled to amortize by 11.8% of the
original pool balance through maturity. Of the current pool, seven
loans (25.3%) are full-term interest-only and 11 loans (27.3%) are
partial-term interest-only that have not started to amortize.
Additionally, there are 11 (21.8%) ARD loans.
Patriots Park: The largest loan in the pool, Patriots Park (10.2%),
transferred to special servicing in November 2018 for non-monetary
default after the borrower completed a non-permitted equity
transfer resulting in changes to the ownership/guarantor structure.
The borrower has cooperated with the special servicer to complete a
forbearance agreement, which will include a full payoff in July
2019. The loan is collateralized by a 723,667 sf suburban office
complex in Reston, VA. The property is 100% occupied by the
Government Services Agency through two leases, one ending in
September 2032 and one ending in March 2033. As of the
third-quarter 2018 financials, the property was performing at a
2.28x DSCR.
Single Tenant Properties: The pool consists of 47 (36.3%)
single-tenanted properties, including collateral for three of the
top 10 loans: Patriots Park, Stanford Research Park and 45
Waterview Boulevard.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset-level event changes the transaction's overall
portfolio-level metrics.
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:
-- $7.0 million class A-1 at 'AAAsf'; Outlook Stable;
-- $164.2 million class A-2 at 'AAAsf'; Outlook Stable;
-- $20.8 million class A-3 at 'AAAsf'; Outlook Stable;
-- $155 million class A-4 at 'AAAsf'; Outlook Stable;
-- $237 million class A-5 at 'AAAsf'; Outlook Stable;
-- $59.3 million class A-SB at 'AAAsf'; Outlook Stable;
-- $54.9 million class A-S at 'AAAsf'; Outlook Stable;
-- $706.2 million* class X-A at 'AAAsf'; Outlook Stable;
-- $52.5 million class B at 'AA-sf'; Outlook Stable;
-- $45.4 million class C at 'A-sf'; Outlook Stable;
-- $152.8 million class PEX at 'A-sf'; Outlook Stable;
-- $53.7 million class D at 'BBB-sf'; Outlook Stable;
-- $22.9 million* class X-E at' BB-sf'; Outlook Stable;
-- $10.7 million* class X-F at 'B-sf'; Outlook Stable;
-- $22.7 million class E at 'BB-sf'; Outlook Stable;
-- $10.7 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 PEX
certificates, and class PEX certificates may be exchanged for class
A-S, B and C certificates.
Fitch does not rate the class G, X-B or X-G certificates.
WELLS FARGO 2019-1: DBRS Gives (P)BB Rating on $3.6MM Cl. B-4 Certs
-------------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage Pass-Through Certificates, Series 2019-1 issued by Wells
Fargo Mortgage Backed Securities 2019-1 Trust:
-- $604.9 million Class A-1 at AAA (sf)
-- $604.9 million Class A-2 at AAA (sf)
-- $453.7 million Class A-3 at AAA (sf)
-- $453.7 million Class A-4 at AAA (sf)
-- $151.2 million Class A-5 at AAA (sf)
-- $151.2 million Class A-6 at AAA (sf)
-- $362.9 million Class A-7 at AAA (sf)
-- $362.9 million Class A-8 at AAA (sf)
-- $242.0 million Class A-9 at AAA (sf)
-- $242.0 million Class A-10 at AAA (sf)
-- $90.7 million Class A-11 at AAA (sf)
-- $90.7 million Class A-12 at AAA (sf)
-- $75.6 million Class A-13 at AAA (sf)
-- $75.6 million Class A-14 at AAA (sf)
-- $75.6 million Class A-15 at AAA (sf)
-- $75.6 million Class A-16 at AAA (sf)
-- $65.9 million Class A-17 at AAA (sf)
-- $65.9 million Class A-18 at AAA (sf)
-- $670.7 million Class A-19 at AAA (sf)
-- $670.7 million Class A-20 at AAA (sf)
-- $670.7 million Class A-IO1 at AAA (sf)
-- $604.9 million Class A-IO2 at AAA (sf)
-- $453.7 million Class A-IO3 at AAA (sf)
-- $151.2 million Class A-IO4 at AAA (sf)
-- $362.9 million Class A-IO5 at AAA (sf)
-- $242.0 million Class A-IO6 at AAA (sf)
-- $90.7 million Class A-IO7 at AAA (sf)
-- $75.6 million Class A-IO8 at AAA (sf)
-- $75.6 million Class A-IO9 at AAA (sf)
-- $65.9 million Class A-IO10 at AAA (sf)
-- $670.7 million Class A-IO11 at AAA (sf)
-- $12.8 million Class B-1 at AA (sf)
-- $11.7 million Class B-2 at A (sf)
-- $7.8 million Class B-3 at BBB (sf)
-- $3.6 million Class B-4 at BB (sf)
Classes A-IO1, A-IO2, A-IO3, A-IO4, A-IO5, A-IO6, A-IO7, A-IO8,
A-IO9, A-IO10 and A-IO11 are interest-only certificates. The class
balance represents a notional amount.
Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-9, A-10, A-11, A-13,
A-15, A-17, A-19, A-20, A-IO2, A-IO3, A-IO4, A-IO6 and A-IO11 are
exchangeable certificates. These classes can be exchanged for a
combination of initial exchangeable certificates as specified in
the offering documents.
Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11,
A-12, A-13, A-14, A-15 and A-16 are super senior certificates.
These classes benefit from additional protection from senior
support certificates (Class A-17 and A-18) with respect to loss
allocation.
The AAA (sf) ratings on the Certificates reflect the 5.75% of
credit enhancement provided by subordinated Certificates in the
pool. The AA (sf), A (sf), BBB (sf) and BB (sf) ratings reflect
3.95%, 2.30%, 1.20% and 0.70% 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 first-lien,
fixed-rate, prime residential mortgages. The Certificates are
backed by 1,017 loans with a total principal balance of
$711,662,431 as of the Cut-off Date (January 1, 2019).
The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of 30 years and a weighted-average loan
age of six months. All of the mortgage loans were originated by
Wells Fargo Bank, N.A. (Wells Fargo) or were acquired by Wells
Fargo from its qualified correspondents. In addition, Wells Fargo
is the Servicer of the mortgage loans, as well as the Mortgage Loan
Seller and Sponsor of the transaction. Wells Fargo will also act as
the Master Servicer, Securities Administrator and Custodian. DBRS
rates both Wells Fargo's Long-Term Issuer Rating and Long-Term
Senior Debt rating at AA with Stable trends and rates it's
Short-Term Instruments at R-1 (high) with a Stable trend.
Wilmington Savings Fund Society, FSB will serve as Trustee. Opus
Capital Markets Consultants, LLC (Opus) will act as the
Representation and Warranty (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 with clean payment histories,
well-qualified borrowers, a highly rated R&W provider and
satisfactory third-party due diligence.
Although Wells Fargo had been a prolific RMBS issuer pre-crisis,
the company recently re-entered the securitization market with its
first prime jumbo transaction in October 2018 after an extensive
hiatus. As a result, Wells Fargo has limited publicly available
performance history on securitized loans. Mitigating factors
include robust performance on Wells Fargo's non-agency originations
since 2011, satisfactory operational risk assessments and a
comprehensive due diligence review.
In addition, this transaction has a R&W framework that contains
certain weaknesses, including 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, DBRS reduced the originator score in this
pool. A lower originator score results in increased default and
loss assumptions and provides additional cushions for the rated
securities.
WELLS FARGO 2019-1: S&P Assigns BB-(sf) Rating on Class B4 Certs
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Wells Fargo
Mortgage Backed Securities 2019-1 Trust's (WFMBS 2019-1's) $711.7
million mortgage pass-through certificates.
The certificate issuance is a residential mortgage-backed
securities transaction backed by first-lien, fixed-rate mortgage
loans secured by one- to four-family residential properties,
condominiums, cooperatives, and planned-unit developments to
primarily prime borrowers.
The preliminary ratings are based on information as of Jan. 14,
2019. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The high-quality collateral in the pool;
-- The available credit enhancement;
-- The experienced originator;
-- The 100% due diligence sampling results consistent with
represented loan characteristics; and
-- The transaction's associated structural mechanics.
PRELIMINARY RATINGS ASSIGNED
Wells Fargo Mortgage Backed Securities 2019-1 Trust
Class Rating Amount ($)
A-1 AAA (sf) 604,880,000
A-2 AAA (sf) 604,880,000
A-3 AAA (sf) 453,660,000
A-4 AAA (sf) 453,660,000
A-5 AAA (sf) 151,220,000
A-6 AAA (sf) 151,220,000
A-7 AAA (sf) 362,928,000
A-8 AAA (sf) 362,928,000
A-9 AAA (sf) 241,952,000
A-10 AAA (sf) 241,952,000
A-11 AAA (sf) 90,732,000
A-12 AAA (sf) 90,732,000
A-13 AAA (sf) 75,610,000
A-14 AAA (sf) 75,610,000
A-15 AAA (sf) 75,610,000
A-16 AAA (sf) 75,610,000
A-17 AA+ (sf) 65,861,000
A-18 AA+ (sf) 65,861,000
A-19 AA+ (sf) 670,741,000
A-20 AA+ (sf) 670,741,000
A-IO1 AA+ (sf) 670,741,000(i)
A-IO2 AAA (sf) 604,880,000(i)
A-IO3 AAA (sf) 453,660,000(i)
A-IO4 AAA (sf) 151,220,000(i)
A-IO5 AAA (sf) 362,928,000(i)
A-IO6 AAA (sf) 241,952,000(i)
A-IO7 AAA (sf) 90,732,000(i)
A-IO8 AAA (sf) 75,610,000(i)
A-IO9 AAA (sf) 75,610,000(i)
A-IO10 AA+ (sf) 65,861,000(i)
A-IO11 AA+ (sf) 670,741,000(i)
B-1 AA- (sf) 12,810,000
B-2 A- (sf) 11,743,000
B-3 BBB- (sf) 7,828,000
B-4 BB- (sf) 3,558,000
B-5 NR 4,982,431
R NR N/A
(i)Notional balance.
NR--Not rated.
N/A--Not applicable.
WFRBS COMMERCIAL 2014-LC14: Fitch Cuts Class F Certs Rating to CCC
------------------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed 14 classes of
WFRBS Commercial Mortgage Trust 2014-LC14 commercial mortgage
pass-through certificates.
KEY RATING DRIVERS
Increased Loss Expectations: Fitch's base case expected loss has
increased primarily due to higher loss expectations on the Williams
Center Tower loan, which transferred to special servicing in May
2018 and the West Side Mall loan. There are 11 Fitch Loans of
Concern (17.4% of the pool), including four specially serviced
assets (6.5% of the pool). The downgrade to class F and the
Negative Rating Outlook assigned to class E reflects the higher
loss expectations.
Specially Serviced Assets: Four loans are specially serviced
(6.5%). The largest is the Williams Center Tower loan (4.3%), which
was transferred to special servicing in May of 2018 for imminent
monetary default. The loan is secured by two office towers totaling
765,809 sf located within the Central Business District of Tulsa,
OK. The property was 79% physically occupied with a 0.66x NOI DSCR
as of June 30, 2018 compared with an occupancy of 92% and NOI DSCR
of 1.65x at issuance. The loan has remained current despite the
negative cashflow over the summer of 2018.
The Westridge Apartments asset (1%) was transferred to special
servicing in June of 2016 for imminent monetary default. The
property is a 96 unit multifamily property located in Williston,
ND, which sits on the Bakken formation and has been negatively
affected by the drop in oil production in the region. The asset is
REO after a deed in lieu of foreclosure closed in November of 2017.
The property's occupancy declined to 65% at year-end (YE) 2015 and
63% at YE 2016 from 100% at issuance and its NOI DSCR declined to
0.39x at YE 2016 and 0.29x at YE 2017 from 1.91x at issuance. The
property manager was recently replaced and occupancy improved to
97% as of October 2018 and concessions were eliminated. NOI DSCR
remains low and was most recently reported at 0.24x as of June
2018.
The Holiday Inn Express Houston West loan (0.8%) was transferred to
special servicing in August 2017 for imminent monetary default, but
remains current on loan payments. The property is a 119 key hotel
located in the West Energy Corridor of Houston, TX. The hotel has
been affected by declining demand in the Houston market from the
volatility in crude oil prices. As of June 2018, the property had a
TTM occupancy of 46% with an NOI DSCR of 0.19x compared with 50%
occupancy and 0.98x NOI DSCR at YE 2017. The resolution strategy
and time frame are unknown at this time.
Fitch Loans of Concern: The largest non-specially serviced Fitch
Loan of Concern is Caruth Plaza (3.1%), secured by a 206,192 sf
retail center located in Dallas, TX. The property had a significant
decline in occupancy to 67% as of YE 2017 from 98% at issuance due
to Sports Authority (28.2% NRA) filing for bankruptcy and vacating
in June 2016. The borrower has since divided the space previously
occupied by Sports Authority and has signed three new tenants
totaling 20.5% of the NRA with two tenants beginning to pay rent in
May 2019. The property has minimal lease rollover with 3% in 2019
and 5% in 2020. One tenant (6% of NRA) vacated in November 2018 at
lease expiration. As of the September 2018 rent roll, the property
was 76.9% physically occupied with an NOI DSCR of 1.44x.
West Side Mall (2.4%) is secured by a 420,434-sf retail power
center anchored by Lowe's and Price Chopper located in
Edwardsville, PA. The property was originally constructed in 1960
as an enclosed mall and has undergone significant renovation in the
decades since, converting to an open-air shopping center. Occupancy
as of September 2018 declined to 71% from 85% at issuance and NOI
DSCR declined to 0.97x as of September 2018 from 1.43x at issuance.
Two additional Fitch Loans of Concern (FLOCs) account for
approximately 1.7% of the pool. Arci Terra Portfolio is secured by
12 retail properties located in eight different states with a
combined 209,779 sf. The property had a decline in occupancy to 74%
as of September 2018 from 97% at issuance, while NOI DSCR dropped
to 1.36x from 1.78x at issuance. Coral Walk is secured by a 102,612
sf retail center located in Cape Coral, FL. Occupancy declined to
41% at YE 2017 from 94% at issuance due to Sports Authority and
Staples vacating in July 2016 and December 2017, respectively.
Occupancy increased in March 2018, to 80%, when Burlington took
over the Sports Authority space and began paying rent in March
2018. NOI DSCR was 1.15x as of September 2018 and 1.01x as of YE
2017 compared with 1.64x at issuance.
Improved Credit Enhancement: As of the December 2018 distribution
date, the pool's aggregate principal balance had paid down by 18.1%
to $1.03 billion from $1.26 billion at issuance and 66 of the
original 71 loans remain. At issuance, the pool was expected to
amortize by approximately 13.3% from aggregate cutoff balance to
aggregate maturity balance. The pool has only four remaining
interest-only (IO) loans (13.6%) with only one full term IO loan:
The Outlet Collection Jersey Gardens (7.8%). The current pool's
loan maturity schedule is as follows: 2% (2019), 7.8% (2020), 31.4%
(2023) and 57.8% (2024). Three loans (3.9%) are defeased.
High Retail Concentration: Retail properties represent 27.2% of the
pool. This percentage includes four loans in the top 15, with a
total current balance of $161.1 million (15.7%). None of the loans
in the pool are traditional regional malls.
RATING SENSITIVITIES
The Negative Rating Outlook on class E reflects concerns over the
specially serviced assets, primarily the Williams Center Towers and
the larger Fitch Loans of Concern. Rating downgrades to this class
may occur if performance of these loans continues to decline.
Rating Outlooks for classes A-1 through D remain Stable due to the
stable performance of the majority of the remaining pool and
continued expected amortization and increased credit enhancement
since issuance due to paydown and defeasance. Rating upgrades may
occur with improved pool performance and additional paydown or
defeasance.
Deutsche Bank is the trustee for the transaction, and also serves
as the backup advancing agent. Fitch's Issuer Default Rating for
Deutsche Bank is currently 'BBB+'/'F2'/Outlook Negative. Fitch
relies on the master servicer, Wells Fargo Bank, N.A., a division
of Wells Fargo & Company (A+/F1/ Stable), which is currently the
primary advancing agent, as counterparty. Fitch provided ratings
confirmation on Jan. 24, 2018.
Fitch has downgraded the following class:
-- $12.6 million class F to 'CCCsf' from 'Bsf'; RE 100%.
Fitch has affirmed the following classes:
-- $27.9 million class A-2 at 'AAAsf'; Outlook Stable;
-- $80 million class A-3FL at 'AAAsf'; Outlook Stable;
-- $0 class A-3FX at 'AAAsf'; Outlook Stable;
-- $175 million class A-4 at 'AAAsf'; Outlook Stable;
-- $278.5 million class A-5 at 'AAAsf'; Outlook Stable;
-- $89.5 million class A-SB at 'AAAsf'; Outlook Stable;
-- $95.7 million class A-S at 'AAAsf'; Outlook Stable;
-- $81.6 million class B at 'AA-sf'; Outlook Stable;
-- $47.1 million class C at 'A-sf'; Outlook Stable;
-- $0 class PEX Exchangeable Certificates at 'A-sf'; Outlook
Stable;
-- $64.3 million class D at 'BBB-sf'; Outlook Stable;
-- $22 million class E at 'BBsf'; Outlook to Negative from
Stable;
-- Interest-Only class X-A at 'AAAsf'; Outlook Stable;
-- Interest-Only class X-B at 'BBB-sf'; Outlook Stable.
Fitch does not rate the IO class X-C or the class G. Class A-1 paid
in full.
WHITEHORSE LTD IX: Moody's Cuts Rating on $19.5MM E Notes to B1
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Whitehorse IX, Ltd.:
US$32,500,000 Class B-1-R Senior Secured Floating Rate Notes due
2026 (the "Class B-1-R Notes"), Upgraded to Aa1 (sf); previously on
July 17, 2017 Assigned Aa2 (sf)
US$20,000,000 Class B-2-R Senior Secured Fixed Rate Notes due 2026
(the "Class B-2-R Notes"), Upgraded to Aa1 (sf); previously on July
17, 2017 Assigned Aa2 (sf)
Moody's also downgraded the ratings on the following notes:
US$19,500,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2026 (the "Class E Notes"), Downgraded to B1 (sf); previously
on July 13, 2017 Affirmed Ba3 (sf)
US$8,250,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2026 (the "Class F Notes"), Downgraded to Caa3 (sf); previously
on July 13, 2017 Downgraded to Caa1 (sf)
Whitehorse IX, Ltd., issued in July 2014, is a collateralized loan
obligation (CLO) backed primarily by a portfolio of senior secured
loans. The transaction's reinvestment period ended in July 2018.
RATINGS RATIONALE
The ratings upgrades on the Class B-1-R notes and Class B-2-R notes
are primarily a result of deleveraging of the senior notes and an
increase in the transaction's over-collateralization (OC) ratios
since July 2017. The Class A-R notes have been paid down by
approximately 11% or $27.3 million since that time. Moody's expects
the majority of $21.4 million in principal proceeds, as of the
December 2018 trustee report, to further pay down the Class A-R
notes on the January 2019 payment date. Based on the trustee's
December 2018 report, the Class B OC ratio is currently 129.94%,
versus the July 2017 level of 127.14%.
The rating downgrades on the Class E and Class F notes are
primarily due to par erosion and a decrease in the weighted average
spread (WAS) of the underlying loan portfolio since July 2017.
Based on Moody's calculations, the Class E and Class F
over-collateralization coverage ratios have decreased from 104.74%
and 102.46% respectively in July 2017 to 104.35% and 101.90%
respectively at present. Over the same period, WAS has decreased,
and is currently reported at 3.57%, versus the July 2017 level of
3.71%.
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 $358.6 million, defaulted par of $9.9
million, a weighted average default probability of 20.26% (implying
a WARF of 2942), a weighted average recovery rate upon default of
48.61%, a diversity score of 63 and a weighted average spread of
3.57% (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.
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) 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.
[*] DBRS Reviews 67 Ratings From 14 CPS Auto ABS Transactions
-------------------------------------------------------------
DBRS, Inc. reviewed 67 ratings from 14 CPS Auto Receivables Trust
asset-backed securities transactions. Of the 67 outstanding
publicly rated classes reviewed, 30 were upgraded, 11 classes were
discontinued due to full repayment and 26 were confirmed. For the
ratings that were upgraded, performance trends are such that credit
enhancement levels are sufficient to cover DBRS's expected losses
at their new respective rating levels. For the ratings that were
confirmed, performance trends are such that credit enhancement
levels are sufficient to cover DBRS's expected losses at their
current respective rating levels.
The ratings are based on DBRS's review of the following analytical
considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit
enhancement.
-- The transaction parties' capabilities with regard to
origination, underwriting, and servicing.
-- The credit quality of the collateral pool and historical
performance.
The Affected Ratings is available at https://bit.ly/2FP3Okq
[*] Moody's Takes Action on $1.44BB Subprime RMBS Issued 2003-2007
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 42 tranches
and downgraded the ratings of two tranches from 20 transactions,
backed by Subprime loans, issued by multiple issuers.
Complete rating actions are as follows:
Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE1
Cl. I-A-2, Upgraded to Caa3 (sf); previously on Aug 7, 2013
Confirmed at Ca (sf)
Cl. I-A-3, Upgraded to Ca (sf); previously on May 21, 2010
Downgraded to C (sf)
Cl. II-2A, Upgraded to Caa2 (sf); previously on Aug 7, 2013
Confirmed at Caa3 (sf)
Cl. II-3A, Upgraded to B1 (sf); previously on Mar 10, 2016 Upgraded
to Caa1 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-7
Cl. AF-4, Upgraded to Aa1 (sf); previously on May 31, 2018 Upgraded
to Aa3 (sf)
Cl. AF-5W, Upgraded to Aa3 (sf); previously on May 31, 2018
Upgraded to A1 (sf)
Underlying Rating: Upgraded to Aa3 (sf); previously on May 31, 2018
Upgraded to A1 (sf)
Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1
and Outlook Developing on Dec 12, 2018)
Cl. AF-6, Upgraded to Aa2 (sf); previously on May 31, 2018 Upgraded
to Aa3 (sf)
Cl. MF-2, Upgraded to B3 (sf); previously on Jun 26, 2017 Upgraded
to Caa1 (sf)
Cl. MV-5, Upgraded to B2 (sf); previously on Jun 26, 2017 Upgraded
to Caa2 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-1
Cl. AF-3, Upgraded to Baa3 (sf); previously on Jun 26, 2017
Upgraded to B2 (sf)
Cl. AF-4, Upgraded to Caa1 (sf); previously on Jun 26, 2017
Upgraded to Caa2 (sf)
Cl. AV-3, Upgraded to Aaa (sf); previously on May 31, 2018 Upgraded
to Aa1 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-18
Cl. 1-A, Upgraded to Ba3 (sf); previously on Apr 9, 2018 Upgraded
to B2 (sf)
Cl. 2-A-2, Upgraded to B3 (sf); previously on Apr 9, 2018 Upgraded
to Caa1 (sf)
Cl. 2-A-3, Upgraded to Caa2 (sf); previously on Oct 19, 2016
Upgraded to Caa3 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-19
Cl. 1-A, Upgraded to A3 (sf); previously on Jun 4, 2018 Upgraded to
Baa3 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-20
Cl. 2-A-4, Upgraded to Ca (sf); previously on Apr 14, 2010
Downgraded to C (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-5
Cl. 1-A, Upgraded to A3 (sf); previously on Jun 26, 2017 Upgraded
to Baa2 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-BC4
Cl. 1-A, Upgraded to Aaa (sf); previously on May 31, 2018 Upgraded
to Aa2 (sf)
Cl. 2-A-2, Upgraded to Aa1 (sf); previously on May 31, 2018
Upgraded to Aa3 (sf)
Cl. 2-A-3, Upgraded to Baa3 (sf); previously on Jun 26, 2017
Upgraded to Ba1 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2007-10
Cl. 2-A-3, Upgraded to B3 (sf); previously on Nov 22, 2016 Upgraded
to Caa1 (sf)
Issuer: Fremont Home Loan Trust 2006-A
Cl. 1-A-1, Upgraded to A1 (sf); previously on Jul 5, 2017 Upgraded
to A3 (sf)
Cl. 2-A-3, Upgraded to Ca (sf); previously on Dec 1, 2014
Downgraded to C (sf)
Cl. 2-A-4, Upgraded to Ca (sf); previously on Apr 29, 2010
Downgraded to C (sf)
Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-HE1
Cl. AV-2, Upgraded to Baa1 (sf); previously on Feb 26, 2018
Upgraded to Ba3 (sf)
Issuer: Long Beach Mortgage Loan Trust 2003-3
Cl. M-2, Upgraded to B3 (sf); previously on Oct 9, 2013 Upgraded to
Caa2 (sf)
Cl. M-3, Upgraded to Caa3 (sf); previously on Mar 8, 2011
Downgraded to Ca (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2007-HE7
Cl. A-1, Upgraded to Ba3 (sf); previously on Apr 10, 2017 Upgraded
to B3 (sf)
Cl. A-2B, Upgraded to B1 (sf); previously on Apr 10, 2017 Upgraded
to B3 (sf)
Cl. A-2C, Upgraded to B3 (sf); previously on Apr 10, 2017 Upgraded
to Caa2 (sf)
Issuer: New Century Home Equity Loan Trust 2006-1
Cl. A-1, Upgraded to Ba1 (sf); previously on May 1, 2018 Upgraded
to B1 (sf)
Cl. A-2b, Upgraded to Caa2 (sf); previously on Jun 1, 2010
Downgraded to Caa3 (sf)
Cl. A-2c, Upgraded to Caa3 (sf); previously on Jun 1, 2010
Downgraded to Ca (sf)
Issuer: RASC Series 2006-EMX3 Trust
Cl. A-2, Upgraded to Baa2 (sf); previously on Jun 11, 2018 Upgraded
to Ba1 (sf)
Cl. A-3, Upgraded to Ba2 (sf); previously on Jun 11, 2018 Upgraded
to B1 (sf)
Issuer: Specialty Underwriting and Residential Finance Trust,
Series 2004-BC1
Cl. M-1, Downgraded to A2 (sf); previously on May 5, 2017 Upgraded
to Aa3 (sf)
Issuer: Structured Asset Securities Corp Trust 2007-OSI
Cl. A-3, Downgraded to B2 (sf); previously on May 31, 2018
Downgraded to B1 (sf)
Cl. A-4, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded
to C (sf)
Issuer: Terwin Mortgage Trust 2006-11ABS
Cl. A-1, Upgraded to Baa3 (sf); previously on Aug 26, 2016 Upgraded
to B1 (sf)
Issuer: Terwin Mortgage Trust 2006-3
Cl. I-A-2, Upgraded to Aa3 (sf); previously on Jun 8, 2017 Upgraded
to A3 (sf)
Cl. I-A-3, Upgraded to Caa3 (sf); previously on Oct 1, 2010
Downgraded to Ca (sf)
Issuer: Terwin Mortgage Trust 2006-5
Cl. I-A-2b, Upgraded to Baa1 (sf); previously on May 18, 2017
Upgraded to Baa3 (sf)
Cl. I-A-2c, Upgraded to Ba1 (sf); previously on May 18, 2017
Upgraded to Ba3 (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to an improvement in the
performance of the underlying collateral and credit enhancement
available to the bonds. The rating downgrade of Cl. M-1 from
Specialty Underwriting and Residential Finance Trust, Series
2004-BC1 is due to the erosion of credit enhancement available to
the bond and the weaker performance of the underlying collateral.
The rating downgrade of Cl. A-3 from Structured Asset Securities
Corp Trust 2007-OSI is due to outstanding interest shortfalls on
the bond that are not expected to be reimbursed and are, in fact,
likely to further increase over time due to the deal's
undercollateralization. The rating actions reflect the recent
performance and Moody's updated loss expectations on the underlying
pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate
The unemployment rate fell to 3.9% in December 2018 from 4.1% in
December 2017. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2019 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 2019. 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 $120MMM Subprime RMBS Issued 2002-2006
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 13 tranches
and downgraded the ratings of two tranches from seven transactions,
backed by Subprime loans, issued by multiple issuers.
Complete rating actions are as follows:
Issuer: Amortizing Residential Collateral Trust, Series 2002-BC5
Cl. M1, Upgraded to Aaa (sf); previously on Apr 13, 2018 Upgraded
to Aa1 (sf)
Cl. M3, Upgraded to Caa1 (sf); previously on May 18, 2017 Upgraded
to Caa3 (sf)
Issuer: C-BASS Mortgage Loan Trust, Series 2005-CB4
Cl. M-2, Downgraded to B1 (sf); previously on Dec 12, 2014 Upgraded
to Ba1 (sf)
Cl. M-3, Downgraded to B1 (sf); previously on Dec 12, 2014 Upgraded
to Ba2 (sf)
Issuer: Finance America Mortgage Loan Trust 2004-1
Cl. M3, Upgraded to B3 (sf); previously on Jun 4, 2017 Upgraded to
Caa2 (sf)
Cl. M5, Upgraded to B3 (sf); previously on Mar 24, 2011 Downgraded
to Ca (sf)
Issuer: First Franklin Mortgage Loan Trust 2003-FF1
Cl. A-1, Upgraded to A3 (sf); previously on Dec 4, 2012 Downgraded
to Baa2 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 15, 2011
Downgraded to C (sf)
Issuer: RASC Series 2003-KS7 Trust
Cl. M-I-1, Upgraded to B3 (sf); previously on Nov 4, 2015 Upgraded
to Caa1 (sf)
Cl. A-I-5, Upgraded to Aaa (sf); previously on Apr 9, 2018 Upgraded
to Aa3 (sf)
Cl. A-I-6, Upgraded to Aaa (sf); previously on Apr 9, 2018 Upgraded
to Aa2 (sf)
Issuer: RASC Series 2004-KS5 Trust
Cl. A-I-5, Upgraded to A2 (sf); previously on May 5, 2017 Upgraded
to Baa2 (sf)
Cl. A-I-6, Upgraded to A1 (sf); previously on May 5, 2017 Upgraded
to Baa1 (sf)
Cl. M-II-1, Upgraded to Ba2 (sf); previously on May 5, 2017
Upgraded to B2 (sf)
Issuer: Soundview Home Loan Trust 2006-2
Cl. M-3, Upgraded to B2 (sf); previously on Apr 9, 2018 Upgraded to
Caa2 (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to improvement in pool
performances and credit enhancement available to the bonds. The
rating downgrades are due to the outstanding interest shortfalls on
the bonds which are not expected to be recouped as the bonds have
weak reimbursement mechanism for interest shortfalls. The rating
actions reflect the recent performance of the pools and Moody's
updated loss expectations on the underlying pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 3.9% in December 2018 from 4.1% in
December 2017. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2019 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 2019. 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 Lowers Ratings on Seven Classes From 3 US CMBS Deals to D
-----------------------------------------------------------------
S&P Global Ratings lowered its ratings on seven classes of
commercial mortgage pass-through certificates from three U.S.
commercial mortgage-backed securities transactions.
S&P lowered its ratings to 'D (sf)' due to accumulated interest
shortfalls that it expects to remain outstanding for the
foreseeable future.
The recurring interest shortfalls for the respective certificates
are primarily due to one or more of the following factors:
-- Appraisal subordinate entitlement reduction (ASER) amounts in
effect for specially serviced assets;
-- The lack of servicer advancing for loans or assets where the
servicer has made nonrecoverable advance declarations;
-- Interest rate modifications or deferrals, or both, related to
corrected mortgage loans; or
-- Special servicing fees.
S&P said, "Our analysis primarily considered the ASER amounts based
on appraisal reduction amounts (ARAs) calculated using recent
Member of the Appraisal Institute (MAI) appraisals. We also
considered servicer nonrecoverable advance declarations and special
servicing fees that are likely, in our view, to cause recurring
interest shortfalls."
The servicer implements ARAs and resulting ASER amounts according
to each transaction's terms. Typically, these terms call for an ARA
equal to 25% of the loan's stated principal balance to be
implemented when it is 60 days past due and an appraisal or other
valuation is not available within a specified time frame. S&P
primarily considered ASER amounts based on ARAs calculated from MAI
appraisals when deciding which classes from the affected
transactions to downgrade to 'D (sf)'. This is because ARAs based
on a principal balance haircut are highly subject to change, or
even reversal, once the special servicer obtains the MAI
appraisals.
Servicer nonrecoverable advance declarations can prompt shortfalls
due to a lack of debt-service advancing, the recovery of previously
made advances after an asset was deemed nonrecoverable, or the
failure to advance trust expenses when nonrecoverable declarations
have been determined. Trust expenses may include, but are not
limited to, property operating expenses, property taxes, insurance
payments, and legal expenses.
Discussions of the individual transactions follow:
COMM 2012-CCRE4 Mortgage Trust
S&P said, "We lowered our rating to 'D (sf)' from 'CCC- (sf)' on
the class F commercial mortgage pass-through certificates to
reflect accumulated interest shortfalls that we expect to be
outstanding for the foreseeable future. The class F certificates
currently have accumulated interest shortfalls outstanding for
eight consecutive months. Based on our analysis, we believe that
the interest shortfalls will continue and the accumulated interest
shortfalls will remain outstanding for a prolonged period."
According to the Jan. 17, 2019, trustee remittance report, the
current monthly interest shortfalls totaled $211,132, and resulted
primarily from ASER amounts totaling $194,915 and special servicing
fees totaling $16,217.
The current reported interest shortfalls have affected classes E,
F, and G.
Morgan Stanley Capital I Trust 2005-IQ9
S&P said, "We lowered our ratings to 'D (sf)' from 'CCC (sf)' on
the class E, F, G, H, and J commercial mortgage pass-through
certificates to reflect accumulated interest shortfalls that we
expect to be outstanding for the foreseeable future. The classes
have accumulated interest shortfalls outstanding for three
consecutive months. Based on our analysis, we believe that the
interest shortfalls will continue and the accumulated interest
shortfalls will remain outstanding for a prolonged period."
According to the Jan 15, 2019, trustee remittance report, the
current monthly interest shortfalls totaled $290,229 and resulted
primarily from net ASER amounts totaling $276,682 and special
servicing fees totaling $13,546.
The current reported interest shortfalls have affected all classes
subordinate to and including class E.
Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26
S&P said, "We lowered our rating to 'D (sf)' from 'CCC- (sf)' on
the class A-J commercial mortgage pass-through certificates to
reflect accumulated interest shortfalls that we expect to be
outstanding for the foreseeable future. The class A-J certificates
have accumulated interest shortfalls outstanding for nine
consecutive months. Based on our analysis, we believe that the
interest shortfalls will continue and the accumulated interest
shortfalls will remain outstanding for a prolonged period."
According to the Jan. 14, 2019, trustee remittance report, the
current monthly interest shortfalls totaled $511,377 and resulted
primarily from:
-- Interest not advanced due to a nonrecoverable determination of
$17,674;
-- Net ASER amounts totaling $464,522; and
-- Special servicing fees totaling $29,181.
The current reported interest shortfalls have affected all classes
subordinate to and including class A-J.
RATINGS LOWERED
COMM 2012-CCRE4 Mortgage Trust Commercial mortgage pass-through
certificates series 2012-CCRE4
Rating
Class To From
F D (sf) CCC- (sf)
Morgan Stanley Capital I Trust 2005-IQ9
Commercial mortgage pass-through certificates series 2005-IQ9
Rating
Class To From
E D (sf) CCC (sf)
F D (sf) CCC (sf)
G D (sf) CCC (sf
H D (sf) CCC (sf)
J D (sf) CCC (sf)
Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26
Commercial mortgage pass-through certificates series 2007-TOP26
Rating
Class To From
A-J D (sf) CCC- (sf)
[*] S&P Takes Various Action on 40 Classes From Four US RMBS Deals
------------------------------------------------------------------
S&P Global Ratings completed its review of 40 classes from four
U.S. residential mortgage-backed securities (RMBS) resecuritized
real estate mortgage investment conduit (re-REMIC) transactions
issued between 2003 and 2009. The transactions are backed by
subprime, alternative-A, closed-end second-lien, and prime jumbo
collateral. The review yielded seven upgrades, 27 affirmations, and
six discontinuances.
ANALYTICAL CONSIDERATIONS
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations may include:
-- Collateral performance or delinquency trends;
-- Historical interest shortfalls or missed interest payments;
-- Available subordination or overcollateralization;
-- Erosion of or increases in credit support; and
-- Expected short duration.
RATING ACTIONS
S&P said, "The rating changes reflect our opinion regarding the
associated transaction-specific collateral performance, structural
characteristics, or the application of specific criteria applicable
to these classes.
"The affirmed ratings reflect our opinion that our projected credit
support and collateral performance on these classes remain
relatively consistent with our prior projections.
"We raised five ratings from one transaction by five or more
notches due to increased credit support, expected short duration,
or the underlying bond performance. The upgrades reflect the
classes' ability to withstand a higher level of projected losses
than previously anticipated."
A list of Affected Ratings can be viewed at:
https://bit.ly/2DwDWbu
[*] S&P Takes Various Actions on 31 Classes From 17 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 31 classes from 17 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2003 and 2007. All of these transactions are backed by
closed-end second-lien, second-lien high loan-to-value (LTV) and
home equity line of credit (HELOC) collateral types. The review
yielded 16 upgrades, one downgrade, six affirmations, and eight
discontinuances.
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations may include:
-- Collateral performance/delinquency trends;
-- Historical interest shortfalls/missed interest payments;
-- Available subordination and/or overcollateralization; and
-- Increases in credit support.
Rating Actions
S&P said, "The rating changes reflect our opinion regarding the
associated transaction-specific collateral performance and/or
structural characteristics, and/or reflect the application of
specific criteria applicable to these classes. Please see the
ratings list below for the specific rationales associated with each
of the classes with rating transitions.
"The affirmations of ratings reflect our opinion that our projected
credit support and collateral performance on these classes has
remained relatively consistent with our prior projections.
"We raised nine ratings from eight transactions by five or more
notches due to increased credit support. The upgrades on these
classes reflect the classes' ability to withstand a higher level of
projected losses than previously anticipated."
A list of Affected Ratings can be viewed at:
https://bit.ly/2HpdpRm
[*] S&P Takes Various Actions on 34 Classes for 25 US RMBS Deals
----------------------------------------------------------------
S&P Global Ratings completed its review of 34 classes from 25 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2001 and 2007. The transactions are backed by closed-end
second-lien residential mortgage loan collateral. The review
yielded one upgrade, 21 downgrades, 11 affirmations, and one
discontinuance.
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 may include:
-- Collateral performance or delinquency trends,
-- Historical interest shortfalls or missed interest payments,
-- Available subordination or overcollateralization,
-- Erosion of or increases in credit support, and
-- Expected short duration.
RATING ACTIONS
S&P said, "The rating changes reflect our opinion regarding the
associated transaction-specific collateral performance, the
structural characteristics, or the application of specific criteria
applicable to these classes.
"The affirmations reflect our opinion that our projected credit
support and collateral performance on these classes have remained
relatively consistent with our prior projections.
"We raised our rating on the class M1 certificates from Structured
Asset Securities Corporation Mortgage Loan Trust 2005-S6 by five or
more notches due to increased credit support." The class received
settlement proceeds per the September 2018 trustee reporting that
increased the credit support to 80.56% as of September 2018 from
23.09% as of August 2018. The upgrade reflects the class' ability
to withstand a higher level of projected losses than we had
previously anticipated.
A list of Affected Ratings can be viewed at:
https://bit.ly/2sONyb3
[*] S&P Takes Various Actions on 60 Classes From 12 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 60 classes from 12 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2002 and 2007. All of these transactions are backed by a
mix of subprime, prime jumbo, re-performing, document deficient,
and Federal Housing Administration collateral. The review yielded
eight upgrades, 10 downgrades, and 42 affirmations.
ANALYTICAL CONSIDERATIONS
S&P said, "We incorporate various considerations into our decisions
to raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by our projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes." Some of these considerations may include:
-- Collateral performance/delinquency trends;
-- Historical interest shortfalls/missed interest payments;
-- Available subordination and/or overcollateralization;
-- Erosion of or increases in credit support;
-- Expected short duration; and
-- Interest-only criteria.
RATING ACTIONS
S&P said, "The rating changes reflect our opinion regarding the
associated transaction-specific collateral performance and/or
structural characteristics, and/or reflect the application of
specific criteria as they pertain to these classes. Please see the
ratings list below for the specific rationales associated with each
of the classes with rating transitions.
"The affirmations of ratings reflect our opinion that our projected
credit support and collateral performance on these classes has
remained relatively consistent with our prior projections.
"We lowered our ratings on classes M-3 and M-4 from Home Equity
Mortgage Loan Asset-Backed Trust, series INABS 2005-B, class M-5
from Home Equity Mortgage Loan Asset-Backed Trust, series INABS
2005-A, and class M-1 from GSAMP Trust 2006-SD1 after assessing the
impact of missed interest payments on these classes. These
downgrades are based on our cash flow projections used in
determining the likelihood that the missed interest payments would
be reimbursed under various scenarios because these classes receive
additional compensation for outstanding missed interest payments.
"We lowered our ratings on class 1-A3 from Bayview Financial
Mortgage Pass-Through Trust 2006-C and class MF-1 from CWABS
Asset-Backed Certificates Trust 2004-15 due to reduced interest
payments resulting from loan modifications in the collateral loan
pools. Respectively, 64.5% and 54.6% of the total loans in these
pools have been modified, many with rate reductions. In turn, these
credit events have resulted in lessened interest to these classes.
Per table one in our criteria "Methodology For Incorporating Loan
Modifications And Extraordinary Expenses Into U.S. RMBS Ratings,"
published April 17, 2015, the cumulative interest reduction amounts
have exceeded the maximum potential rating thresholds at the prior
rating levels requiring rating downgrades."
A list of Affected Ratings can be viewed at:
https://bit.ly/2ATTvbt
*********
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S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
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Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
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