/raid1/www/Hosts/bankrupt/TCR_Public/190203.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, February 3, 2019, Vol. 23, No. 33
Headlines
ACCREDITED MORTGAGE 2005-2: Moody's Hikes Class M-6 Notes to B2
AIG CLO 2018-1: S&P Assigns Prelim BB- Rating on $19MM Cl. E Notes
AIR 2 US: Moody's Hikes Rating on Series B Notes to B2
ANGEL OAK 2019-1: Fitch Gives Bsf Rating on $22MM Class B-2 Certs
BANC OF AMERICA 2007-1: Moody's Lowers Ratings on 3 Tranches to B1
BANK 2019-BNK16: Fitch to Rate 2 Tranches BB-sf
BEAR STEARNS 2006-TOP24: Moody's Ups Class B Certs Rating to Caa2
BENCHMARK MORTGAGE 2019-B9: Fitch Assigns BB- Rating on Cl. F Certs
COLT 2019-1 MORTGAGE: S&P Assigns Prelim B+ Rating on B-2 Certs
COMM 2004-LNB4: Moody's Hikes Class C Certs Rating to Caa3
COMM 2014-PAT MORTGAGE: S&P Raises Class E Certs Rating to B-(sf)
CREDIT SUISSE 2008-C1: Fitch Lowers Class A-J Certs Rating to Csf
CUTWATER LTD 2014-I: Moody's Lowers $7.3MM Class E Notes to Caa1
GAHR COMMERCIAL 2015-NRF: Fitch Affirms B- Rating on Cl. F-FX Certs
GERMAN AMERICAN 2012-CCRE1: Fitch Affirms Class G Certs at Bsf
GFCM LLLC 2003-1: Moody's Affirms C Rating on Class H Certs
GMAC COMMERCIAL 1998-C2: Fitch Affirms Dsf Rating on 3 Tranches
HERTZ VEHICLE II: Fitch to Rate $32.35MM Class D Notes BBsf
JP MORGAN 2002-CIBC5: Moody's Affirms Ratings on 2 Tranches to C
MORGAN STANLEY 2007-TOP25: Moody's Cuts Class B Debt Rating to Caa3
MORGAN STANLEY I 2004-TOP15: Moody's Hikes Class J Certs to Caa3
NEUBERGER BERMAN 32: S&P Gives (P)BB- Rating on $23MM Cl. E Notes
SCF EQUIPMENT 2018-1: Moody's Puts B1 on Class F Notes on Review
SLM STUDENT 2007-2: S&P Lowers Class A-4 Notes Rating to BB
TABERNA PREFERRED III: Moody's Hikes Class A-2A Notes to B3
TCI-FLATIRON 2018-1: Moody's Rates $31.2MM Class E Notes 'Ba3'
VOYA CLO 2018-4: S&P Assigns B- Rating on $6MM Class F Notes
WACHOVIA BANK 2007-C30: Moody's Hikes Class E Certs Rating to Caa3
WAIKIKI BEACH 2019-WBM: S&P Assigns Prelim B- Rating on F Certs
WAMU COMMERCIAL 2007-SL2: Fitch Hikes Class E Notes Rating to Bsf
WELLS FARGO 2019-1: S&P Assigns BB- Rating on Class B-4 Certs
WFRBS COMMERCIAL 2013-C13: Fitch Affirms Bsf Rating on Cl. F Certs
WIRELESS CAPITAL: Fitch Affirms BB on $31MM Class 2013-1B Debt
YUM BRANDS: Egan-Jones Hikes Senior Unsecured Ratings to BB-
[*] Moody's Takes Action on $12.8MM RMBS Issued 2004-2005
[*] Moody's Takes Action on $76.9MM RMBS Issued 1999-2007
[*] S&P Lowers Ratings on 11 Classes From 4 US RMBS Deals
[*] S&P Takes Various Actions on 72 Classes From 50 US RMBS Deals
*********
ACCREDITED MORTGAGE 2005-2: Moody's Hikes Class M-6 Notes to B2
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 2 tranches
from Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes,
Series 2005-2 backed by Subprime loans.
Complete rating actions are as follows:
Issuer: Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes,
Series 2005-2
Cl. M-6, Upgraded to B2 (sf); previously on Dec 16, 2016 Upgraded
to Caa1 (sf)
Cl. M-7, Upgraded to Ca (sf); previously on Mar 17, 2009 Downgraded
to C (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pools
and Moody's updated loss expectations on the pools.
The rating upgrades are primarily due to corrections to the
cash-flow model used by Moody's in rating the transaction.
Accredited Mortgage Loan Trust 2005-2 utilizes an available funds
cap ("cap") that creates a weak interest promise. This means that
the cap limits the interest accrued on the tranches to actual
interest collections on the mortgages, rather than the scheduled
interest amounts due on the mortgages. Further, the cap calculation
includes the full balance of the notes (which are
under-collateralized) in the denominator of the cap calculation
rather than the pool balance or the amount of the notes which are
fully supported by the mortgage pool. This mechanism further
exacerbates the weak interest promise as it makes it possible for
the interest payments on the notes to be less than the actual
interest collections available for distribution. In such cases,
those undistributed interest funds are instead distributed to note
holders as principal.
In previous actions, the available funds cap was not appropriately
modeled and the cash flow model overstated the amount of interest
funds that would be paid to the tranches as interest rather than
directed as additional principal funds. These errors have now been
corrected, and the rating actions reflect these changes.
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.
AIG CLO 2018-1: S&P Assigns Prelim BB- Rating on $19MM Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to AIG CLO
2018-1 Ltd./AIG CLO 2018-1 LLC's floating-rate notes.
The note issuance is a collateralized loan obligation (CLO)
transaction backed by broadly syndicated speculative-grade (rated
'BB+' and lower) senior secured term loans managed by AIG Asset
Management (U.S.) LLC. The preliminary ratings are based on
information as of Jan. 28, 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
AIG CLO 2018-1 Ltd./AIG CLO 2018-1 LLC
Class Rating Amount mil. $)
A-1 AAA (sf) 296.50
A-2a NR 10.00
A-2b NR 11.00
B (deferrable) AA (sf) 62.50
C (deferrable) A (sf) 32.00
D (deferrable) BBB- (sf) 26.00
E BB- (sf) 19.00
Subordinated notes NR 46.15
NR--Not rated.
AIR 2 US: Moody's Hikes Rating on Series B Notes to B2
------------------------------------------------------
Moody's Investors Service has upgraded the rating of the Series B
Enhanced Equipment Notes (Series B Notes) issued by Air 2 US.
The complete rating action is as follows:
Issuer: Air 2 US, Series A, B, C, D Enhanced Equipment Notes
Ser. B, Upgraded to B2 (sf); previously on Oct 31, 2018 Caa2 (sf)
Placed Under Review for Possible Upgrade
RATINGS RATIONALE
The upgrade action reflects the correction of an error that
previously resulted in the projection of lower lease income than is
payable under the Initial Subleases in accordance with the Payment
Recovery Agreement.
In the June 2015 and February 2017 rating actions, five leases
expiring in July 2019 were incorrectly modeled to expire in June
2018, and four leases expiring in September 2019 were incorrectly
modeled to expire in September 2018. The error has now been
corrected, and the rating action reflects this change. Only the
Series B Notes have been upgraded because of the priority of
payments and the degree to which the corrected additional cash
flows are likely to impact the different classes of notes.
The Series B Notes are expected to be paid in full in the event
that United Airlines, Inc., the sublessee of the transaction, makes
scheduled sublease payments. The Series B Notes would pay off in
October 2020, which is the Final Legal Maturity Date for Series B
Notes. The Series A Notes, which are senior to the Series B Notes
in priority of payments are to be paid off in October of this year,
in line with their Expected Amortization schedule. The Series C and
Class D Notes, are not expected to receive further principal due to
their subordinated position.
The principal methodology used in this rating was "Moody's Approach
to Monitoring Pooled Aircraft-Backed Securitizations" published in
November 2018.
Factors that would lead to an upgrade or downgrade of the rating:
Increase or decrease in the credit quality of United Airlines, Inc.
ANGEL OAK 2019-1: Fitch Gives Bsf Rating on $22MM Class B-2 Certs
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Fitch Ratings assigns ratings to Angel Oak Mortgage Trust I, LLC
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.
BANC OF AMERICA 2007-1: Moody's Lowers Ratings on 3 Tranches to B1
------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on five classes
and downgraded the ratings on three classes of Banc of America
Commercial Mortgage Trust 2007-1, Commercial Mortgage Pass-Through
Certificates, Series 2007-1 as follows:
Cl. A-MFL, Downgraded to B1 (sf); previously on Aug 2, 2018
Affirmed Ba1 (sf)
Cl. A-MFX, Downgraded to B1 (sf); previously on Aug 2, 2018
Affirmed Ba1 (sf)
Cl. A-MFX2, Downgraded to B1 (sf); previously on Aug 2, 2018
Affirmed Ba1 (sf)
Cl. A-J, Affirmed C (sf); previously on Aug 2, 2018 Affirmed C
(sf)
Cl. B, Affirmed C (sf); previously on Aug 2, 2018 Affirmed C (sf)
Cl. C, Affirmed C (sf); previously on Aug 2, 2018 Affirmed C (sf)
Cl. D, Affirmed C (sf); previously on Aug 2, 2018 Affirmed C (sf)
Cl. XW*, Affirmed C (sf); previously on Aug 2, 2018 Affirmed C
(sf)
* Reflects interest-only classes
RATINGS RATIONALE
The ratings on three P&I classes, Cl. A-MFX, Cl. A-MFX2 and Cl.
A-MFL, were downgraded due to the current and potential future
interest shortfalls caused by the specially serviced and modified
loans.
The ratings on four P&I classes, Cl. A-J, Cl. B, Cl. C and Cl. D,
were affirmed because the ratings are consistent with Moody's
expected loss.
The rating on the IO Class was affirmed based on the credit quality
of the referenced classes.
Moody's rating action reflects a base expected loss of 66.8% of the
current pooled balance, compared to 68.8% at Moody's last review.
Moody's base expected loss plus realized losses is now 17.9% of the
original pooled balance, compared to 18.4% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The 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.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 83% of the pool is in
special servicing and Moody's has identified additional troubled
loans representing 2.5% of the pool. In this approach, Moody's
determines a probability of default for each specially serviced and
troubled loan that it expects will generate a loss and estimates a
loss given default based on a review of broker's opinions of value
(if available), other information from the special servicer,
available market data and Moody's internal data. The loss given
default for each loan also takes into consideration repayment of
servicer advances to date, estimated future advances and closing
costs. Translating the probability of default and loss given
default into an expected loss estimate, Moody's then applies the
aggregate loss from specially serviced and troubled loans to the
most junior classes and the recovery as a pay down of principal to
the most senior classes.
DEAL PERFORMANCE
As of the January 15, 2019 distribution date, the transaction's
aggregate certificate balance has decreased by 87% to $404 million
from $3.1 billion at securitization. The certificates are
collateralized by 12 mortgage loans ranging in size from less than
1% to 35% of the pool. The transaction is under-collateralized as
the aggregate certificate balance is $3.4 million greater than the
pooled loan balance.
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 4, the same as at Moody's last review.
One loan, constituting 3.6% of the pool, is on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Thirty-one loans have been liquidated from the pool, resulting in
an aggregate realized loss of $296 million (for an average loss
severity of 39%). The largest loan in special serving is the
Skyline Portfolio ($140 million A-note -- 34.7% of the pool and a
$131 million B-note -- 32.5% of the pool), which represents a
portion of an aggregate $678.0 million mortgage loan (including
both the A and B notes). The loan is secured by eight
cross-collateralized and cross-defaulted office properties totaling
2.6 million (SF) which are located outside of Washington, DC in
Falls Church, Virginia. A modification closed effective October 30,
2013 that created the A / B note split. Post-modification, the loan
returned to the master servicer in February 2014. In April 2016 the
loan transferred to special servicing again for imminent monetary
default. In December 2016 the loan became REO. The portfolio's
total occupancy as of December 2018 was 44%. The special servicer
has indicated an acceptable bid was not received on One Skyline
Tower when offered for sale in late 2018 and they intend to market
the property for sale again in the first quarter of 2019.
Additionally, leasing stabilization efforts on the remainder of
properties are ongoing.
The second largest specially serviced loan is the former Marsh
Office 886 ($18.5 million -- 4.6% of the pool), which is secured by
an approximately 176,000 square foot (SF) office property located
in Fishers, Indiana, a northeastern suburb of Indianapolis. Marsh
Supermarkets was the sole tenant at securitization, using the
property as their corporate headquarters. However, Marsh filed for
Chapter 11 bankruptcy in May 2017 and vacated the property. The
property is currently 31% occupied by two month-to-month tenants.
The loan transferred to special servicing in December 2016 due to
maturity default. The special servicer indicated foreclosure was
filed in February 2017 and a receiver was appointed in March 2017.
Moody's anticipates a significant loss on this specially serviced
loan.
The third largest specially serviced loan is the University Commons
- Lexington ($16.9 million -- 4.2% of the pool), which is secured
by 3-story garden apartment community located in Lexington,
Kentucky. The property is operated as a student housing community
comprising of 182 units and 676 beds. The loan transferred to
special servicing in November 2016 due to maturity default and the
property's occupancy has declined from 77% in December 2017 to 72%
as of May 2018.
The remaining four specially serviced loans are secured by a mix of
property types. Moody's has also assumed a high default probability
for one poorly performing loan, constituting 2.5% of the pool.
Moody's estimates an aggregate $256 million loss for the specially
serviced and troubled loans (74% expected loss on average).
Additionally, Moody's is currently treating the
under-collateralization as a loss of principal to the trust.
As of the January 15, 2019 remittance statement cumulative interest
shortfalls were $80.8 million and have periodically impacted Cl.
A-MFX, Cl. A-MFX2 and Cl. A-MFL. As of the January 2019 remittance
statement, Cl. A-MFX, CL. A-MFX2 and CL. A-MFL have received
partial monthly interest shortfalls in four out of the past five
months. Moody's anticipates interest shortfalls will continue
because of the exposure to specially serviced loans and/or modified
loans. Interest shortfalls are caused by special servicing fees,
including workout and liquidation fees, appraisal entitlement
reductions (ASERs), loan modifications and extraordinary trust
expenses.
The top three performing loans represent 13.6% of the pool balance.
The largest performing loan is the BMW Financial Services Building
Loan ($28.3 million -- 7.1% of the pool), which is secured by a
single tenant suburban office building in Hilliard, Ohio
approximately 16 miles northeast of Columbus. The property was 100%
leased to BMW Financial Services as of December 2018. The loan is
coterminous with the lease expiration which occurs in February
2021. Due to the single tenant exposure, Moody's incorporated a
Lit/Dark analysis for the loan. Moody's LTV and stressed DSCR are
138% and 0.70X, respectively.
The second largest loan is the Merrymeeting Plaza A Note Loan
($14.3 million -- 3.6% of the pool), which is secured by a
157,980-SF grocery-anchored retail property located in Brunswick,
Maine. A loan modification was executed in December 2015 splitting
the loan into two notes, a $14.3 million A Note and a $10.1 million
B-Note. The loan returned from special servicing effective May 2016
as a corrected mortgage. The property is anchored by a Shaw's
Supermarket and includes national tenants Bed Bath & Beyond and
PetSmart. As of November 2018 the property was 80% leased compared
to 74% leased in July 2017. Moody's LTV and stressed DSCR on the A
Note are 127% and 0.74X, respectively. The B-Note was identified as
a troubled loan.
The third largest loan is the CAE, Inc. Loan ($12.1 million -- 3.0%
of the pool), which is secured by a a single tenant suburban office
building located in Whippany, New Jersey. The property was 100%
leased to CAE SimuFlite Inc as of December 2018. CAE SimuFlite Inc
uses the property as its Northeast Training Center, providing
pilot, technical, and flight crew training to business aircraft
operators. Due to the single tenant concentration, Moody's
incorporated a Lit/Dark analysis for the loan. Moody's LTV and
stressed DSCR are 121% and 0.89X, respectively.
BANK 2019-BNK16: Fitch to Rate 2 Tranches BB-sf
-----------------------------------------------
Fitch Ratings has issued a presale report on BANK 2019-BNK16
commercial mortgage pass-through certificates, series 2019-BNK16.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $22,471,000 class A-1 'AAAsf'; Outlook Stable;
-- $50,985,000 class A-2 'AAAsf'; Outlook Stable;
-- $42,321,000 class A-SB 'AAAsf'; Outlook Stable;
-- $177,500,000d class A-3 'AAAsf'; Outlook Stable;
-- $354,992,000d class A-4 'AAAsf'; Outlook Stable;
-- $648,269,000b class X-A 'AAAsf'; Outlook Stable;
-- $180,590,000b class X-B 'A-sf'; Outlook Stable;
-- $103,029,000 class A-S 'AAAsf'; Outlook Stable;
-- $41,674,000 class B 'AA-sf'; Outlook Stable;
-- $35,887,000 class C 'A-sf'; Outlook Stable;
-- $39,359,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $18,522,000ab class X-F 'BB-sf'; Outlook Stable;
-- $9,261,000ab class X-G 'B-sf'; Outlook Stable;
-- $21,995,000a class D 'BBBsf'; Outlook Stable;
-- $17,364,000a class E 'BBB-sf'; Outlook Stable;
-- $18,522,000a class F 'BB-sf'; Outlook Stable;
-- $9,261,000a class G 'B-sf'; Outlook Stable.
The following classes are not expected to be rated by Fitch:
-- $4,631,000a class X-H;
-- $25,467,749ab class X-J;
-- $4,631,000a class H;
-- $25,467,749a class J;
-- $48,742,092.06c RR Interest.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
(c) Vertical credit risk retention interest representing no less
than 5% of the estimated fair value of all classes of regular
certificates issued by the issuing entity as of the closing date.
(d) The initial certificate balances of class A-3 and class A-4 are
unknown and expected to be within the range of $90,000,000 -
$265,000,000 and $267,492,000 - $442,492,000, respectively. The
certificate balances will be determined based on the final pricing
of those classes of certificates. Fitch's certificate balances for
classes A-3 and A-4 are based on the midpoints of the respective
balance ranges and are estimated to total $532,492,000 in
aggregate.
The expected ratings are based on information provided by the
issuer as of Jan. 29, 2019.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 69 loans secured by 115
commercial properties having an aggregate principal balance of
$974,841,840 as of the cut-off date. The loans were contributed to
the trust by: Bank of America, National Association, Morgan Stanley
Mortgage Capital Holdings LLC, Wells Fargo Bank, National
Association and National Cooperative Bank, N.A.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 69.0% of the properties
by balance, cash flow analysis of 77.3% and asset summary reviews
on 100.0% of the pool.
KEY RATING DRIVERS
Lower Fitch Leverage than Recent Transactions: The pool's Fitch
leverage is lower than average compared with other Fitch-rated,
fixed-rate, multiborrower transactions. Specifically, the pool's
Fitch DSCR of 1.42x is superior to the 2017 and 2018 averages of
1.26x and 1.22x, respectively. The pool's Fitch LTV of 98.6% is
also superior to the 2017 and 2018 averages of 101.6% and 102.0%,
respectively. Excluding investment-grade credit opinion and
multifamily cooperative loans, the pool has a Fitch DSCR and LTV of
1.17x and 106.8%, respectively.
Property Type Concentration: The pool has a relatively high
exposure to retail properties, which at 34.3% of the pool, far
exceeds 2017 and 2018 average concentrations of 24.8% and 28.5%,
respectively. However, portion of this includes the credit opinion
loan Millennium Partners Portfolio (6.7% of the pool). Loans
secured by retail properties have an average probability of default
in Fitch's multiborrower model.
Credit Opinion Loans: Two loans, representing 9.2% of the pool have
investment-grade credit opinions, which is below both the 2017
average of 11.7% and 2018 average of 13.8%. Millennium Partners
Portfolio (6.7% of the pool) has an investment-grade credit opinion
of 'A-sf*' on a stand-alone basis. Willowbend Apartments (2.6% of
the pool) has an investment-grade credit opinion of 'AAAsf*' on a
stand-alone basis. Combined, the two loans have a weighted average
(WA) Fitch DSCR and LTV of 1.92x and 50.8%, respectively.
RATING SENSITIVITIES
For this transaction, Fitch's NCF was 13.1% below the most recent
year's NOI for properties for which a full-year NOI was provided,
excluding properties that were stabilizing during this period.
Unanticipated further declines in property-level NCF could result
in higher defaults and loss severities on defaulted loans and in
potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the BANK
2019-BNK16 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'BBB+sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'
could result.
BEAR STEARNS 2006-TOP24: Moody's Ups Class B Certs Rating to Caa2
-----------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class and
affirmed the rating on one class in Bear Stearns Commercial
Mortgage Securities Trust 2006-TOP24, Commercial Mortgage
Pass-Through Certificates, Series 2006-TOP24 as follows:
Cl. B, Upgraded to Caa2 (sf); previously on Dec 15, 2017 Upgraded
to Ca (sf)
Cl. X-1*, Affirmed C (sf); previously on Dec 15, 2017 Affirmed C
(sf)
* Reflects Interest Only Classes
RATINGS RATIONALE
The rating on one principal and interest (P&I) class was upgraded
based primarily on an increase in credit support resulting from
loan paydowns as well as lower than anticipated losses on recently
liquidated loans.
The rating on the interest only (IO) class was affirmed based on
the credit quality of the referenced classes.
Moody's rating action reflects a base expected loss of 8.4% of the
current balance, the same as at Moody's last review. Moody's base
expected loss plus realized losses is now 8.7% of the original
pooled balance, the same as at Moody's last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating 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 January 14, 2019 distribution date, the transaction's
aggregate certificate balance has decreased by 98.5% to $22.7
million from $1.53 billion at securitization. The certificates are
collateralized by seven mortgage loans ranging in size from 2% to
66% of the pool. One loan, constituting 66.0% of the pool, has an
investment-grade structured credit assessment. One loan,
constituting 5% of the pool, has defeased and is secured by US
government securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 2, compared to 3 at Moody's last review.
One loan, constituting 11% of the pool, is on the master servicer's
watchlist. The watchlist includes loans that meet certain portfolio
review guidelines established as part of the CRE Finance Council
(CREFC) monthly reporting package. As part of Moody's ongoing
monitoring of a transaction, the agency reviews the watchlist to
assess which loans have material issues that could affect
performance.
Twenty-four loans have been liquidated from the pool, resulting in
an aggregate realized loss of $132 million (for an average loss
severity of 39%). One loan, constituting 9.8% of the pool, is
currently in special servicing.
The largest specially serviced loan is the Woodland Harvest Square
loan ($2.2 million -- 9.8% of the pool), which is secured by a
12,000 square foot(SF) strip shopping center located in Woodland,
California. Property cash flow has been negatively impacted by
erratic occupancy over the last few years. The loan transferred to
special servicing effective July 2016 for imminent maturity
default. The foreclosure sale occurred in November 2017 and the
property is now REO. As of December 2018, the property was 76%
leased to four tenants, two of which are in place with month to
month leases.
Moody's received full year 2017 operating results for 90% of the
pool (excluding specially serviced and defeased loans).
The loan with a structured credit assessment is the 461 Fifth
Avenue Loan ($15 million -- 66.0% of the pool), which is secured by
a fee position in a parcel of land under a 25-story office building
measuring 204,000 SF. The collateral is located on the corner of
East 40th Street and Fifth Avenue, in the Grand Central office
submarket of Manhattan, New York. Moody's structured credit
assessment and stressed DSCR are aaa (sca.pd) and 1.51X,
respectively.
The top three performing loans represent 18.0% of the pool balance.
The largest performing loan is the Residence Inn by Marriott Loan
($2.4 million -- 10.6% of the pool), which is secured by a 74-room,
14-story, limited service hotel and parking garage located along
Bigelow Boulevard in Pittsburgh, Pennsylvania. There is an assisted
living facility attached to the hotel on the opposite side of the
parking garage. The two buildings are connected by a courtyard
above the parking garage. The property is located within a mile of
the University of Pittsburgh, Carnegie Mellon University, UPMC
Hospitals (including the New Children's Hospital of Pittsburgh),
Hillman Cancer Center and approximately 3.5 miles from Heinz Field.
The December 2017 trailing twelve month occupancy, average daily
rate (ADR) and revenue per available room (RevPar) were 64%, $120
and $77, respectively. The loan is fully-amortizing and has paid
down over 73% since securitization. Moody's LTV and stressed DSCR
are 28% and >4.00X, respectively, compared to 33.5% and 3.79X at
the last review.
The second largest performing loan is the Chatham Square Apartments
loan ($914,002 -- 4.0% of the pool), which is secured by a 16-unit
multifamily located in Bayshore, Long Island, New York. As of June
2018, the property was 100% occupied. The loan is fully-amortizing
and has paid down 44.5% since securitization. Moody's LTV and
stressed DSCR are 40% and 2.39X, respectively, compared to 44% and
2.17X at the last review.
The third largest performing loan is the CVS Drug Store Land Lease
Loan ($771,947 -- 3.4% of the pool), which is secured by the ground
lease under a CVS/pharmacy located in Centereach, New York. The
lease has an initial expiration date of January 2029. The loan is
fully-amortizing and has paid down about 45% since securitization.
Moody's LTV and stressed DSCR are 52% and 1.92X, respectively,
compared to 58% and 1.74X at the last review.
BENCHMARK MORTGAGE 2019-B9: Fitch Assigns BB- Rating on Cl. F Certs
-------------------------------------------------------------------
Fitch Ratings has issued a presale report on Benchmark 2019-B9
Mortgage Trust commercial mortgage pass-through certificates,
Series 2019-B9.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $15,600,000 class A-1 'AAAsf'; Outlook Stable;
-- $15,800,000 class A-2 'AAAsf'; Outlook Stable;
-- $8,867,000 class A-3 'AAAsf'; Outlook Stable;
-- $170,000,000d class A-4 'AAAsf'; Outlook Stable;
-- $345,272,000d class A-5 'AAAsf'; Outlook Stable;
-- $32,000,000 class A-AB 'AAAsf'; Outlook Stable;
-- $649,440,000a class X-A 'AAAsf'; Outlook Stable;
-- $61,901,000 class A-S 'AAAsf'; Outlook Stable;
-- $38,820,000 class B 'AA-sf'; Outlook Stable;
-- $39,869,000 class C 'A-sf'; Outlook Stable;
-- $78,689,000ab class X-B 'A-sf'; Outlook Stable;
-- $26,229,000b class D 'BBBsf'; Outlook Stable;
-- $46,163,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $19,934,000b class E 'BBB-sf'; Outlook Stable;
-- $20,984,000b class F 'BB-sf'; Outlook Stable;
-- $20,984,000ab class X-F 'BB-sf'; Outlook Stable;
-- $9,443,000b class G 'B-sf'; Outlook Stable;
-- $9,443,000ab class X-G 'B-sf'; Outlook Stable.
The following classes are not expected to be rated:
-- $9,442,000b class H;
-- $9,442,000ab class X-H;
-- $25,180,928b class J;
-- $25,180,928ab class X-J;
-- $44,175,891c class VRR.
(a) Notional amount and interest-only.
(b) Privately placed and pursuant to Rule 144A.
(c) Vertical credit risk retention interest, which equals at least
5% of the estimated fair market value of all the classes of regular
certificates issued by the issuing entity as of the closing date.
(d) The initial certificate balances of class A-4 and A-5 are
unknown and expected to be $515,372,000 in aggregate. The
certificate balances will be determined based on the final pricing
of those classes of certificates. The expected class A-4 balance
range is $100,000,000 to $240,000,000, and the expected class A-5
balance range is $275,272,000 to $415,272,000.
The expected ratings are based on information provided by the
issuer as of Jan. 28, 2018.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 50 loans secured by 88
commercial properties having an aggregate principal balance of
$883,517,820 as of the cut-off date. The loans were contributed to
the trust by Citigroup Global Markets Realty Corporation, JPMorgan
Chase Bank, National Association and German American Capital
Corporation.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 67.9% of the properties
by balance, cash flow analysis of 80.1% and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Higher Fitch Leverage than Recent Transactions: The pool's leverage
is higher than that of recent, comparable, Fitch-rated
multiborrower transactions. The pool's Fitch LTV of 108.9% is
higher than the 2017 and 2018 averages of 101.6% and 102.0%,
respectively. The pool's Fitch DSCR of 1.11x is well below the 2017
and 2018 averages of 1.26x and 1.22x, respectively.
Limited Amortization: Nineteen loans (53.3% of the pool) are
full-term interest only and 18 loans (33.4%) are partial
interest-only. Based on the scheduled balance at maturity, the pool
will amortize by 6.1%, which is lower than the 2017 and 2018
averages of 7.9% and 7.2%, respectively.
Investment-Grade Credit Opinion Loan. Only one loan, representing
1.7% of the pool, received an investment-grade credit opinion,
which is lower than the 2017 and 2018 averages of 11.7% and 13.6%,
respectively. The 22nd largest loan, Aventura Mall, has a
stand-alone credit opinion of 'Asf*'.
RATING SENSITIVITIES
For this transaction, Fitch's NCF was 11.7% below the most recent
year's NOI (for properties for which a full year NOI was provided,
excluding properties that were stabilizing during this period).
Unanticipated further declines in property-level NCF could result
in higher defaults and loss severities on defaulted loans and in
potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the
Benchmark 2019-B9 certificates and found that the transaction
displays average sensitivities to further declines in NCF. In a
scenario in which NCF declined a further 20% from Fitch's NCF, a
downgrade of the junior 'AAAsf' certificates BBB+sf' could result.
In a more severe scenario, in which NCF declined a further 30% from
Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to
'BBB-sf' could result.
COLT 2019-1 MORTGAGE: S&P Assigns Prelim B+ Rating on B-2 Certs
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to COLT 2019-1
Mortgage Loan Trust's (COLT 2019-1 MLT's) mortgage pass-through
certificates.
The certificate issuance is an RMBS transaction backed by
first-lien, fixed- and adjustable-rate, fully amortizing
residential mortgage loans (some with interest-only periods)
secured by single-family residential properties, planned-unit
developments, condominiums, and two- to four-family residential
properties to both prime and nonprime borrowers. The loans are
primarily non-qualified mortgage loans.
The preliminary ratings are based on information as of Jan. 29,
2019. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The pool's collateral composition;
-- The credit enhancement provided for this transaction;
-- The transaction's associated structural mechanics;
-- The representation and warranty framework for this
transaction;
-- The geographic concentration; and
-- The mortgage aggregator, Hudson Americas L.P., and the mortgage
originator, Caliber Home Loans Inc.
PRELIMINARY RATINGS ASSIGNED
COLT 2019-1 Mortgage Loan Trust
Class Rating(i) Amount ($)
A-1 AAA (sf) 242,714,000
A-2 AA (sf) 15,312,000
A-3 A (sf) 69,374,000
M-1 BBB- (sf) 21,738,000
B-1 BB (sf) 10,208,000
B-2 B+ (sf) 6,909,000
B-3 NR 11,804,571
X NR Notional(ii)
R NR N/A
(i)The preliminary ratings assigned to the classes address the
ultimate payment of interest and principal.
(ii)The notional amount will equal the aggregate stated principal
balance of the mortgage loans as of the first day of the related
due period.
N/A--Not applicable.
NR--Not rated.
COMM 2004-LNB4: Moody's Hikes Class C Certs Rating to Caa3
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two classes
and affirmed the rating on one class in COMM 2004-LNB4 Commercial
Mortgage Pass-Through Certificates as follows:
Cl. B, Upgraded to Ba1 (sf); previously on Jan 19, 2018 Upgraded to
Ba3 (sf)
Cl. C, Upgraded to Caa3 (sf); previously on Jan 19, 2018 Affirmed C
(sf)
Cl. X-C*, Affirmed C (sf); previously on Jan 19, 2018 Affirmed C
(sf)
* Reflects Interest Only Class
RATINGS RATIONALE
The ratings on Cl. B and Cl. C were upgraded primarily due to
paydowns and amortization, as well as Moody's expectation of
additional paydown from loans approaching maturity that are well
positioned for refinance. The deal has paid down 9% since Moody's
last review and 99% since securtization. In addition, loans
constituting 66% of the pool have either defeased or that have debt
yields exceeding 15.0% are scheduled to mature within the next nine
months.
The rating on the IO class was affirmed based on the credit quality
of the referenced classes.
Moody's rating action reflects a base expected loss of 0.7% of the
current pooled balance, compared to 0.6% at Moody's last review.
Moody's base expected loss plus realized losses is now 9.8% of the
original pooled balance, compared to 9.9% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in rating all classes except for
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 the
interest-only class 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 January 2019 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $12.1 million
from $1.22 billion at securitization. The certificates are
collateralized by ten mortgage loans ranging in size from 1% to 25%
of the pool. One loan, constituting 16% of the pool, has defeased
and is secured by US government securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 6, the same as at Moody's last review.
One loan, constituting 1% of the pool, is on the master servicer's
watchlist. The watchlist includes loans that meet certain portfolio
review guidelines established as part of the CRE Finance Council
(CREFC) monthly reporting package. As part of Moody's ongoing
monitoring of a transaction, the agency reviews the watchlist to
assess which loans have material issues that could affect
performance.
Twenty-two loans have been liquidated from the pool, resulting in
an aggregate realized loss of $119.5 million (for an average loss
severity of 60%). No loans are currently in special servicing.
Moody's received full year 2017 operating results for 61% of the
pool, and full year 2018 operating results for 61% of the pool
(excluding specially serviced and defeased loans). Moody's weighted
average conduit LTV is 63%, compared to 69% at Moody's last review.
Moody's conduit component excludes loans with structured credit
assessments, defeased and CTL loans, and specially serviced and
troubled loans. Moody's net cash flow (NCF) reflects a weighted
average haircut of 17% to the most recently available net operating
income (NOI). Moody's value reflects a weighted average
capitalization rate of 9.9%.
Moody's actual and stressed conduit DSCRs are 1.08X and 1.97X,
respectively, compared to 1.06X and 1.77X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 50% of the pool balance. The
largest loan is the Eagle Valley Marketplace Loan ($3.0 million --
25% of the pool), which is secured by two cross-collateralized and
cross-defaulted strip centers totaling approximately 31,000 square
feet (SF). The properties are located in Woodbury, Minnesota,
approximately 12 miles east of St. Paul CBD. As of September 2018,
Eagle Valley I was 100% leased (unchanged from the prior review)
while Eagle Valley II was 90% leased (up from 79% leased as of
December 2017). The loan benefits from amortization and has
amortized 37% since securitization. Moody's LTV and stressed DSCR
are 76% and 1.50X, respectively, compared to 80% and 1.42X at the
last review.
The second largest loan is the Inver Grove Marketplace Loan ($1.9
million -- 15% of the pool), which is secured by a 21,200 SF strip
retail center in Inver Grove Heights, Minnesota approximately 10
miles south of St. Paul CBD. The property is currently 89% leased
as of September 2018, unchanged from Moody's last review. The loan
benefits from amortization and has amortized 37% since
securitization. Moody's LTV and stressed DSCR are 84% and 1.36X,
respectively, compared to 100% and 1.13X at the last review.
The third largest loan is the Bank of America Loan ($1.2 million --
10.0% of the pool), which is secured by an office property fully
leased to Bank of America and located in the Brentwood neighborhood
of Washington, DC. Moody's accounted for single-tenant risk
exposure through a lit/dark blend value approach. The loan is fully
amortizing and has amortized 50% since securitization. Moody's LTV
and stressed DSCR are 62% and 1.56X, respectively, compared to 71%
and 1.38X at the last review.
COMM 2014-PAT MORTGAGE: S&P Raises Class E Certs Rating to B-(sf)
-----------------------------------------------------------------
S&P Global Ratings raised its rating on the class E commercial
mortgage pass-through certificates from COMM 2014-PAT Mortgage
Trust, a U.S. commercial mortgage-backed securities (CMBS)
transaction. In addition, S&P affirmed its ratings on four other
classes from the same transaction.
This is a stand-alone (single borrower) transaction backed by a
$425.0 million floating-rate interest-only (IO) mortgage loan. The
loan is secured by a 586,926-sq.-ft. class A office property built
in 1986 and located on 56th street, between Park Avenue and Madison
Avenue in New York City. S&P said, "Our property-level analysis
included a re-evaluation of the office property that secures the
mortgage loan in the trust and considered the servicer-reported net
operating income and occupancy for the past four years (2015
through trailing 12-months ending September 2018) as well as the
borrower's 2019 operating budget. We also considered the expected
increase in occupancy rate at the property, from approximately
63.4% as of the Sept. 30, 2018, rent roll, to slightly above 80.0%
due to new leases executed at the property. We then derived our
sustainable in-place net cash flow (NCF), which we divided by a
6.25% 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 103.2% on the trust balance.
According to the Jan. 15, 2019, trustee remittance report, the IO
mortgage loan has a trust and whole loan balance of $425.0 million
and pays an annual floating interest rate of LIBOR plus a 1.6071%
spread until its August 2019 maturity. In addition, there is
mezzanine debt totaling $135.2 million. To date, the trust has not
incurred any principal losses.
The master servicer, Wells Fargo Bank N.A., reported that cash flow
was insufficient to cover debt service for the trailing 12-months
ended Sept. 30, 2018. However, S&P expects net cash flow to improve
in 2019 and 2020 due to the aforementioned new leases.
The five largest tenants make up 34.7% of the collateral's total
net rentable area (NRA). In addition, 14.7% of the NRA have leases
that expire in 2019, including the second-largest tenant at the
property, King Street Capital Management (45,000 sq. ft., 7.3% of
NRA). King Street Capital Management's lease expires in September
2019 and, according to media reports, they are expected to vacate
the property. However, Wells Fargo Bank N.A. informed S&P that
Pinebridge Investments Holdings is expected to take occupancy on
approximately 57,000 sq. ft. (9.3% of NRA) at the property in early
2019.
RATING RAISED
COMM 2014-PAT Mortgage Trust
Commercial mortgage pass-through certificates
Class Rating
To From
E BB- (sf) B (sf)
RATINGS AFFIRMED
COMM 2014-PAT Mortgage Trust
Commercial mortgage pass-through certificates
Class Rating
A AAA (sf)
B AA- (sf)
C A- (sf)
D BBB- (sf)
CREDIT SUISSE 2008-C1: Fitch Lowers Class A-J Certs Rating to Csf
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Fitch Ratings has affirmed 14 classes and downgraded two distressed
classes of Credit Suisse Commercial Mortgage Trust commercial
mortgage pass-through certificates series 2008-C1.
KEY RATING DRIVERS
Loss Expectations Remain High: Loss expectations are largely
unchanged since the last rating action, given limited changes to
pool composition. The largest loan in the pool, Killeen Mall,
accounts for 96% of the pool and drives loss expectations and
ratings, as each remaining class is expected to incur a loss once
the asset is disposed.
Insufficient Credit Support: Although credit enhancement increased
for classes A-J and B, Fitch's projected losses exceed the credit
support available to the senior-most class and losses are expected
to impact all remaining classes.
Concentrated Pool: The pool is comprised almost exclusively of one
loan, Killeen Mall, which accounts for 96% of the pool. The
remaining two loans are both with the special servicer. Based on
this concentration, Fitch relied on a sensitivity analysis of the
remaining loans. Ratings are mainly dependent upon the performance
of the Killeen Mall and reflect Fitch's recovery estimates for each
of the remaining classes.
The Killeen Mall asset, is roughly 385,000-sf of a 558,254-sf
regional mall located in Killeen, TX, home to Fort Hood, the
nation's largest armed forces training and development facility.
Anchors are Dillards (not part of collateral), JCPenney (not part
of collateral), Sears (expected to close in March 2019), and
Burlington Coat Factory. The loan was transferred to the special
servicer in June 2017 because the loan was unable to payoff at
maturity. The mall was 90.5% occupied and the collateral portion
was 83.5% occupied as of September 2017. Per servicer reporting,
NOI has been relatively stable ranging between $6.11 million and
$6.57 million from 2009-2016. As of YE 2016, NOI DSCR was 1.35x and
has fluctuated very little since 2009. The mall became REO in
February 2018 and was recently under contract but the sale did not
close.
RATING SENSITIVITIES
All the remaining classes are distressed and are subject to further
downgrades as additional losses are realized. Upgrades are not
expected.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided to or reviewed by Fitch
in relation to this rating action.
Fitch has downgraded the following classes:
-- $57.4 million class A-J to 'Csf' from 'CCsf'; RE 30%;
-- $8.9 million class B to 'Csf' from 'CCsf'; RE 0%.
Fitch has affirmed the following classes:
-- $8.9 million class C at 'Csf'; RE 0%;
-- $10.0 million class D at 'Dsf'; RE 0%;
-- $0 class E at 'Dsf'; RE 0%;
-- $0 class F at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%;
-- $0 class Q at 'Dsf'; RE 0%.
The class A-1, A-2, A-2FL, A-AB, A-3, A-1-A, A-M certificates have
paid in full. Fitch does not rate the class S certificates. Fitch
previously withdrew the rating on the interest-only class A-X
certificates.
CUTWATER LTD 2014-I: Moody's Lowers $7.3MM Class E Notes to Caa1
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Moody's Investors Service has downgraded the rating on the
following notes issued by Cutwater 2014-I, Ltd.:
US$7,300,000 Class E Secured Deferrable Floating Rate Notes due
2026 (the "Class E Notes"), Downgraded to Caa1 (sf); previously on
July 31, 2014 Definitive Rating Assigned B2 (sf)
Cutwater 2014-I, 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 rating downgrade on the Class E notes is primarily due to par
erosion and a decrease in the weighted average spread (WAS) of the
underlying loan portfolio since June 2017. Based on trustee
reporting, the interest diversion test ratio (a proxy for the Class
E notes overcollateralization ratio) has decreased from 105.83% in
June 2017 to 104.80% in December 2018. Over the same period, WAS
has decreased, and is reported at 4.22%, versus the June 2017 level
of 4.45%.
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 $353.0 million, no defaulted par, a
weighted average default probability of 23.42% (implying a WARF of
3342), a weighted average recovery rate upon default of 46.87%, a
diversity score of 59 and a weighted average spread of 4.21%
(before accounting for LIBOR floors).
Methodology Underlying the Rating Action:
The principal methodology used in this rating 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.
GAHR COMMERCIAL 2015-NRF: Fitch Affirms B- Rating on Cl. F-FX Certs
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Fitch Ratings has affirmed seven classes of GAHR Commercial
Mortgage Trust 2015-NRF certificates.
KEY RATING DRIVERS
The affirmations reflect improving credit enhancement (CE) from
property releases and the continued stable performance of the
underlying assets. Despite increasing CE, Fitch did not upgrade any
classes due to concerns about the redistribution of the portfolio
toward less stable property types and potential volatility within
the healthcare sector.
Collateral Characteristics: The transaction is currently secured by
interests in 161 medical office and healthcare related properties.
Since issuance, 54 properties have been released from the pool. The
collateral currently consists of 90 medical office buildings
(MOBs), 61 healthcare properties NNN-leased to third party
operators as skilled nursing facilities (SNFs), long-term acute
care hospitals (LTACHs), and senior housing, and 10 healthcare
properties subject to operating leases that are tied directly to
free cash from the underlying property operations (RIDEA
Properties). The MOBs had an average occupancy of 81% as of
September 2018 servicer reporting, with two MOBs reported as fully
vacant. Since the last review, four RIDEA skilled nursing
facilities were converted to NNN properties.
The portfolio exhibits significant geographic diversity with assets
located in 28 states and no individual state representing more than
10.6% of the allocated loan balance. By allocated loan balance, 14%
of the pool is secured by leasehold interests in MOBS; all other
loans are secured by fee simple interests.
Released Properties; Improved Credit Enhancement: There has been
full pay down to the senior floating rate classes from a total of
54 releases since issuance, including one SNF and 52 MOBs released
in 2017 and 2018 at 115% release premium. The other release, which
involved another SNF, was anticipated at issuance and permitted to
be released at par, thereafter.
Individual property releases are permitted subject to, among other
things, 115% paydown of the allocated loan amount. However, there
are no provisions to ensure the property type distribution at
issuance is maintained. Therefore, disproportionate MOB property
releases result in the redistribution of the remaining portfolio
toward a larger weighting of collateral with material operating
risk. Fitch's debt sizing hurdles have been adjusted higher to
reflect the migration to more volatile property types.
Property Cash Flow, Portfolio Redistribution: The collateral is
diversified among multiple asset types; however, due to the
releases, which were primarily MOBs, the portfolio's weighting by
asset type has changed. Fitch analyzed the most recently available
cash flows provided by the servicer (generally YE 2017 or YTD
September 2018). The current Fitch NCF attributed to the more
traditionally stable medical office property type has decreased to
26.6% from 30.8% at last review and 49.5% at issuance, while Fitch
NCF attributed to more volatile asset types has increased with NNN
healthcare properties (SNFs, LTACH, and Senior Housing) now at
54.8% compared to 49% at last review and 35.7% at issuance; RIDEA
properties overall contribution declined to 18.6% compared to 20.3%
and last review and 14.8% at issuance; however, four RIDEA
properties were converted to NNN properties since last review.
Approximately 18.6% (by NCF) of the portfolio is secured by RIDEA
properties whose cash flows are directly tied to the operations of
independent living and assisted living facilities. These RIDEA
properties are considered to have a greater risk of cash flow
volatility due to the operational nature of the underlying assets.
Further, the medical nature of the business the RIDEA properties
operates within poses a higher risk of liability claims given the
large number of elderly residents and large number of employees.
Additionally, changes to the Affordable Care Act could adversely
affect these properties.
Leverage Metrics; Additional Debt: The $1.21 billion mortgage loan
has a Fitch debt service coverage ratio (DSCR) and loan-to-value
(LTV) of 0.92x and 102.7%, respectively.
In addition to the trust debt there is a $249.8 million senior
mezzanine loan, a $633,483 senior junior mezzanine loan, and a
$269.2 million junior mezzanine loan. All mezzanine loans are fully
subordinate to the mortgage loan and are subject to subordination
and standstill agreements as well as an intercreditor agreement.
The all in Fitch DSCR and LTV are 0.65x and 146.9%.
Experienced Sponsorship: The loan is sponsored by NorthStar Realty
Finance Corp. The affiliated NorthStar Healthcare Income Inc. (NHI)
is a public, non-traded REIT that was formed to originate and
acquire assets in healthcare real estate. Based on the portfolio's
acquisition price, the sponsors had approximately $1.3 billion of
equity in the transaction at issuance.
RATING SENSITIVITIES
Rating Outlooks for all classes remain Stable as a result of the
improved credit enhancement to the pool and overall stable
performance of the underlying assets. Future upgrades are expected
to be limited due to concerns that the current pattern of releases,
which involved primarily the more traditionally stable medical
office properties, will continue. Further, Fitch expects to see a
period of sustained improved performance prior to any upgrades.
Downgrades to the classes are possible should an asset level or
economic event cause a decline in pool performance.
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.
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:
-- $119 million class A-FX at 'AAAsf'; Outlook Stable;
-- Interest-only class X-FX at 'AAAsf'; Outlook Stable;
-- $202.4 million class B-FX at 'AAsf'; Outlook Stable;
-- $151.2 million class C-FX at 'Asf'; Outlook Stable;
-- $192.2 million class D-FX at 'BBB-sf'; Outlook Stable;
-- $215.5 million class E-FX at 'BB-sf'; Outlook Stable;
-- $180 million class F-FX at 'B-sf'; Outlook Stable.
Classes A-FL1 and A-FL2 have paid in full. Fitch does not rate
classes X-EXT and G-FX.
GERMAN AMERICAN 2012-CCRE1: Fitch Affirms Class G Certs at Bsf
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Fitch Ratings has affirmed 10 classes of German American Capital
Corp., commercial mortgage pass-through certificates, series
2012-CCRE1 and revised the Outlook on one class to Negative from
Stable.
KEY RATING DRIVERS
Stable Loss Expectations: Overall pool performance and loss
expectations remain stable. There are no specially serviced or
delinquent loans.
Fitch Loans of Concern: Two loans (8.6% of pool) were designated
FLOCs. The third largest loan, RiverTown Crossings Mall (7%), which
is secured by 635,769 sf of a 1.3 million sf regional mall in
Grandville, MI was designated a FLOC due to its secondary market
location, near-term rollover concerns, declining in-line sales and
loss of non-collateral anchor, Younkers after its parent, Bon-Ton,
filed for bankruptcy and liquidated. The other FLOC, Heald Colleges
Portfolio (1.6%), which is secured by an 89,713 sf two-building
office portfolio located in Milpitas and Stockton, CA was
designated a FLOC due to occupancy declines. Portfolio occupancy
declined to 62% (compared with 100% at issuance) after the tenant
occupying the Stockton property filed for bankruptcy and vacated in
early 2017. The loan is actively cash managed and occupancy remains
at 62%.
High Retail Concentration; Regional Mall Concern: Loans secured by
retail properties represent 52.8% of the pool, including two that
are secured by regional malls located in secondary markets (22.2%).
The largest loan in the pool, the $107.9 million Crossgates Mall
(15.2%), is secured by a regional mall in Albany, NY. The mall has
had relatively stable performance with occupancy and sales in-line
with issuance.
Increase in Credit Enhancement: As of the January 2019 distribution
date, the pool's aggregate principal balance has been paid down by
23.8% to $711.3 million from $932.8 million at issuance. One loan
(0.6%) prepaid in full, with yield maintenance since the last
rating action. The majority of the pool (94.3%) is currently
amortizing. Six loans (9.4%) are fully defeased.
Alternative Loss Considerations: Fitch performed an additional
sensitivity scenario on RiverTown Crossings Mall (7%), which
assumed potential outsized losses of 35%, while also factoring in
the expected paydown of the transaction from defeased loans. This
additional sensitivity scenario took into consideration refinance
concerns based on RiverTown Crossing Mall's secondary market
location, near-term rollover concerns, declining in-line sales and
loss of non-collateral anchor, Younkers. The Negative Outlook on
Class G reflects this analysis.
RATING SENSITIVITIES
The Negative Rating Outlook on class G reflects concerns with
RiverTown Crossings Mall. The Stable Rating Outlooks on classes A-3
to F reflect the stable performance of the majority of the
underlying pool and expected continued paydown and increasing
credit enhancement from amortization. Rating upgrades, although
unlikely due to pool concentrations, may occur with improved pool
performance and additional paydown or defeasance. Rating downgrades
may be possible should overall pool performance decline
significantly.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following classes and revised Rating
Outlooks as indicated:
-- $383.6 million class A-3 at 'AAAsf'; Outlook Stable;
-- $47.8 million class A-SB at 'AAAsf'; Outlook Stable;
-- $95.6 million class A-M at 'AAAsf'; Outlook Stable;
-- $43.1 million class B at 'AAsf'; Outlook Stable;
-- $32.6 million class C at 'Asf'; Outlook Stable;
-- $50.1 million class D at 'BBB-sf'; Outlook Stable;
-- $2.3 million class E at 'BBB-sf'; Outlook Stable;
-- $14 million class F at 'BBsf'; Outlook Stable;
-- $15.2 million class G at 'Bsf'; Outlook to Negative from
Stable;
-- Interest-Only class X-A at 'AAAsf'; Outlook Stable.
The class A-1 and A-2 certificates have paid in full. Fitch does
not rate the class H or interest only class X-B certificates.
GFCM LLLC 2003-1: Moody's Affirms C Rating on Class H Certs
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two classes
and affirmed the ratings on six classes in in GFCM LLC, Mortgage
Pass-Through Certificates, Series 2003-1 as follows:
Cl. B, Affirmed Aaa (sf); previously on Jan 19, 2018 Affirmed Aaa
(sf)
Cl. C, Affirmed Aaa (sf); previously on Jan 19, 2018 Affirmed Aaa
(sf)
Cl. D, Affirmed Aaa (sf); previously on Jan 19, 2018 Affirmed Aaa
(sf)
Cl. E, Upgraded to Aa1 (sf); previously on Jan 19, 2018 Upgraded to
Aa3 (sf)
Cl. F, Upgraded to Baa2 (sf); previously on Jan 19, 2018 Upgraded
to Ba1 (sf)
Cl. G, Affirmed Caa1 (sf); previously on Jan 19, 2018 Upgraded to
Caa1 (sf)
Cl. H, Affirmed C (sf); previously on Jan 19, 2018 Affirmed C (sf)
Cl. X*, Affirmed B3 (sf); previously on Jan 19, 2018 Affirmed B3
(sf)
* Reflects Interest Only Classes
RATINGS RATIONALE
The ratings on Cl. E and Cl. F were upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 42% since Moody's last review
and fully amortizing loans represent 98% of the pool balance.
The ratings on four P&I classes, Cl. B, Cl. C, Cl. D, and Cl. G
were affirmed because the transaction's key metrics, including
Moody's loan-to-value (LTV) ratio, Moody's stressed debt service
coverage ratio (DSCR) and the transaction's Herfindahl Index
(Herf), are within acceptable ranges. The rating on Cl. H was
affirmed because the rating is consistent with Moody's realized
loss.
The rating on the IO class was affirmed based on the credit quality
of the referenced classes.
Moody's rating action reflects a base expected loss of 1.9% of the
current pooled balance, compared to 1.3% at Moody's last review.
Moody's base expected loss plus realized losses is now 0.5% of the
original pooled balance, the same as 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 January 14, 2019 distribution date, the transaction's
aggregate certificate balance has decreased by 93% to $60.8 million
from $822.6 million at securitization. The certificates are
collateralized by 40 mortgage loans ranging in size from less than
1% to 13.6% of the pool.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 18, compared to 17 at Moody's last review.
Eight loans, constituting 22.7% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (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.
Six loans have been liquidated from the pool, resulting in an
aggregate realized loss of $2.9 million (for an average loss
severity of 9.5%). There are currently no loans in special
servicing.
Moody's received full year 2017 operating results for 92% of the
pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 36.9%, compared to 36.6% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 13.5% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.7%.
Moody's actual and stressed conduit DSCRs are 1.81X and 4.62X,
respectively, compared to 1.80X and 4.33X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 33% of the pool balance. The
largest loan is the Charlotte Apartments Loan ($8.3 million --
13.6% of the pool), which is secured by two cross-collateralized
and cross defaulted loans. The collateral represents an 11
building, 208 unit apartment complex and a 16,100 square foot (SF)
medical office building. As of December 2017 both properties were
94% leased. The loan is scheduled to fully amortize by its maturity
date in October 2027 and has amortized 46% since securitization.
Moody's LTV and stressed DSCR are 57.7% and 1.78X, respectively.
The second largest loan is the Cortland Ridge Apartments Loan ($6.2
million -- 10.1% of the pool), which is secured by an 144 unit
multifamily property located in Orem, Utah. The property was 99%
leased as of December 2017, compared to 97% leased as of March
2017. The loan is scheduled to fully amortize by its maturity date
in May 2033 and has amortized 33% since securitization. Moody's LTV
and stressed DSCR are 80.3% and 1.21X, respectively.
The third largest loan is the Windhaven Plaza Retail Loan ($5.5
million -- 9.0% of the pool), which is secured by an 182,000 square
foot (SF) retail plaza located in Plano, Texas. The property is
anchored by Kroger Signature (35% of NRA) with a lease expiration
of November 2024. The loan is scheduled to fully amortize by its
maturity date in March 2025 and has amortized 52% since
securitization. Moody's LTV and stressed DSCR are 33.8% and 3.04X,
respectively.
GMAC COMMERCIAL 1998-C2: Fitch Affirms Dsf Rating on 3 Tranches
---------------------------------------------------------------
Fitch Ratings has upgraded one and affirmed three classes of GMAC
Commercial Mortgage Securities, Inc. mortgage pass-through
certificates, series 1998-C2.
KEY RATING DRIVERS
Defeasance and Increased Credit Enhancement: The upgrade to class J
reflects its significant credit enhancement and defeasance. The
transaction has paid down by approximately $19 million since
Fitch's last rating action, resulting in increased credit
enhancement to the senior classes. Class J is 90% covered by
defeased collateral and is expected to be fully covered by
defeasance upon the next remittance. The transaction balance has
been reduced by approximately 99% since issuance.
Stable Loss Expectations: Loss expectations have remained stable
since Fitch's last review. Fitch remains concerned about the
ultimate recovery on the specially serviced loan and the ability of
the largest loan in the pool to refinance. Even full losses to
these loans would be contained to the 'Dsf" rated classes.
Highly Concentrated Pool: Only 11 of the original 405 loans remain.
Due to the concentrated nature of the pool, Fitch performed a
sensitivity analysis, which grouped the remaining loans based on
loan structural features, collateral quality and performance and
ranked them by their perceived likelihood of repayment. The ratings
reflect this sensitivity analysis. Interest shortfalls are
currently impacting classes L and below.
RATING SENSITIVITIES
No further rating changes are likely for the remaining life of the
transaction.
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. Class J is expected to be fully covered by defeased
collateral in the next month. Class K remains at 'Dsf' as it
previously incurred a loss; although the class subsequently fully
recovered its principal, it relies on recoveries from specially
serviced assets for full payoff. Classes L and M have realized
losses.
Fitch has upgraded the following rating:
-- $2.5 million class J to 'AAAsf' from 'BBBsf'; Outlook Stable.
Fitch has affirmed the following ratings:
-- $19.0 million class K at 'Dsf'; RE 60%;
-- $3.5 million class L at 'Dsf'; RE 0%;
-- $0.0 million class M at 'Dsf'; RE 0%.
The class A-1, A-2, B, C, D, E , F G and H certificates have paid
in full. Fitch does not rate the class N certificates. Fitch
previously withdrew the rating on the interest-only class X
certificates.
HERTZ VEHICLE II: Fitch to Rate $32.35MM Class D Notes BBsf
-----------------------------------------------------------
Fitch Ratings expects to assign the following ratings and Outlooks
to the series 2019-1 ABS notes issued by Hertz Vehicle Financing II
LP (HVF II):
HVF II, Series 2019-1
-- $384,387,000 class A notes 'AAAsf'; Outlook Stable;
-- $88,412,000 class B notes 'Asf'; Outlook Stable;
-- $27,201,000 class C notes 'BBBsf'; Outlook Stable;
-- $32,359,000 class D notes 'BBsf'; Outlook Stable;
-- $33,000,000 class RR notes 'NRsf'.
KEY RATING DRIVERS
Transaction Analysis: Fitch analyzed the structural features
present in the series, including monthly mark-to-market vehicle
value tests and minimum monthly vehicle depreciation, by stressing
the liquidation timing, vehicle depreciation, disposition losses
and expected carrying costs of the transaction at various rating
levels to determine an expected loss level (ELL) for each rating
category. Credit enhancement (CE) is composed of subordination,
letter(s) of credit and dynamic overcollateralization (OC) that
will shift according to the fleet mix. The levels for the series
cover or are well within range of Fitch's maximum and minimum ELL
for each class under the respective ratings.
Collateral Analysis: Diverse Vehicle Fleet: HVF II's fleet is
deemed diverse under Fitch's criteria due to the high degree of
manufacturer, model, segment and geographic diversification in the
Hertz, Dollar and Thrifty rental fleets. Concentration limits,
based on a number of characteristics, are present to help mitigate
risks related to overconcentrations. Original Equipment
Manufacturers (OEMs) with PV concentrations in HVF II have all
improved their financial position in recent years and are well
positioned to meet repurchase agreement obligations. As of the
cutoff date, 79.0% of the fleet is from OEMs with an investment
grade Issuer Default Rating (IDR).
Vehicle Value Risks: Fluctuating Fleet Performance: Depreciation
experience within Hertz's fleet has been volatile since 2014 for
risk vehicles and remains elevated due weak wholesale values for
compact cars, a segment which comprises the significant majority of
the HVF II fleet. Despite this, vehicle disposition losses have
been minimal for both risk and program vehicles and depreciation
for 2018 has been relatively less volatile than recent years.
Adequate Fleet Servicer and Fleet Management: Hertz is deemed an
adequate servicer and administrator, as evidenced by its historical
fleet management and securitization performance to date. Sagent
Auto, LLC, which is a joint venture between Fiserv, Inc. and
Warburg Pincus, LLC, is the backup disposition agent, while Lord
Securities Corporation (Lord Securities) is the backup
administrator.
Legal Structure Integrity: The legal structure of the transaction
provides that a bankruptcy of Hertz would not impair the timeliness
of payments on the securities.
Macroeconomic and Auto Industry Risks: The economic environment and
state of the travel and auto industries and the wholesale vehicle
market can have a material impact on the ratings. Fitch took these
risks into consideration as well as future expectations and their
impact on a transaction, when deriving the ELL for this series.
RATING SENSITIVITIES
Fitch's rating sensitivity analysis focuses on two scenarios
involving potentially extreme market disruptions that would force
the agency to redefine its stress assumptions. The first examines
the effect of moving Fitch's bankruptcy/liquidation timing scenario
to eight months at 'AAAsf' with subsequent increases to each rating
level. The second considers the effect of moving the disposition
stresses to the higher end of the range at each rating level for a
diverse fleet. For example, the 'AAAsf' stress level would move
from 24% to 28%. Finally, the last example shows the impact of both
stresses on the structure. The purpose of these stresses is to
demonstrate the potential rating impact on a transaction if one or
a combination of these scenarios occurs.
Fitch determined ratings by applying expected loss levels for
various rating scenarios until the proposed CE exceeded the
expected losses from the sensitivity. For all sensitivity
scenarios, the Class A notes show little sensitivity under each of
the scenarios with potential downgrades only occurring under the
combined stress scenario. Two-notch to one-level downgrades would
occur to the subordinate notes under each scenario with greater
sensitivity to the disposition stress scenario. Under the combined
scenario, the subordinate notes would be placed under greater
stress and could experience multiple-level downgrades.
A sufficient increase in either the timing of the liquidation of
the fleet or increases to disposition fees could cause a downgrade
of the Class A notes to 'AAsf'. To approach non-investment-grade
rating levels or down to 'CCCsf', in addition to the combined
scenario described, depreciation costs would need to increase to
previously unseen levels for the platform, increasing at least to
two times the highest monthly depreciation levels seen for both the
program and non-program vehicles at the height of the recession.
JP MORGAN 2002-CIBC5: Moody's Affirms Ratings on 2 Tranches to C
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two classes
and affirmed the ratings on two classes in J.P. Morgan Chase
Commercial Mortgage Securities Corporation, Commercial Mortgage
Pass-Through Certificates, Series 2002-CIBC5 as follows:
Cl. K, Upgraded to Aaa (sf); previously on Feb 1, 2018 Upgraded to
Aa2 (sf)
Cl. L, Upgraded to A2 (sf); previously on Feb 1, 2018 Upgraded to
Baa3 (sf)
Cl. M, Affirmed C (sf); previously on Feb 1, 2018 Affirmed C (sf)
Cl. X-1*, Affirmed C (sf); previously on Feb 1, 2018 Affirmed C
(sf)
* Reflects interest-only classes
RATINGS RATIONALE
The ratings on Cl. K and Cl. L were upgraded primarily due to an
increase in credit support since Moody's last review, resulting
from loan paydowns and amortization. The pool has paid down by 27%
since Moody's last review and defeasance now represents 43% of the
pool. The rating on Cl. M was affirmed due to realized losses from
previously liquidated loans.
The rating on the IO class was affirmed based on the credit quality
of the referenced classes.
Moody's does not anticipate losses from the remaining collateral in
the current environment. However, over the remaining life of the
transaction, losses may emerge from macro stresses to the
environment and changes in collateral performance. Its ratings
reflect the potential for future losses under varying levels of
stress.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating the interest-only class 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 January 14, 2019 distribution date, the transaction's
aggregate certificate balance has decreased by 98.5% to $15.2
million from $1.0 billion at securitization. The certificates are
collateralized by seven mortgage loans ranging in size from less
than 1% to 51% of the pool. Three loans, constituting 43% 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 1, the same as at Moody's last review.
Nine loans have been liquidated from the pool, resulting in an
aggregate realized loss of $24 million (for an average loss
severity of 32%).
The four non-defeased loans represent 57% of the pool balance. The
largest loan is the Southern Wine & Spirits Building Loan ($7.7
million -- 50.8% of the pool), which is secured by a 385,000 square
foot (SF) warehouse and office building in Las Vegas, Nevada. The
property is 100% leased to Southern Wine and Spirits through
December 2021 under a triple net lease. The loan has amortized over
66% since securitization. Moody's LTV and stressed DSCR are 32% and
3.25X, respectively.
The remaining three non-defeased loans are each secured by single
tenant retail properties, are fully amortizing and have a Moody's
LTV below 40%.
MORGAN STANLEY 2007-TOP25: Moody's Cuts Class B Debt Rating to Caa3
-------------------------------------------------------------------
Moody's Investors Service has downgraded the rating on one and
affirmed the ratings on four classes in Morgan Stanley Capital I
Trust 2007-TOP25 as follows:
Cl. A-J, Affirmed Ba2 (sf); previously on Jan 18, 2018 Affirmed Ba2
(sf)
Cl. B, Downgraded to Caa3 (sf); previously on Jan 18, 2018 Affirmed
Caa2 (sf)
Cl. C, Affirmed C (sf); previously on Jan 18, 2018 Downgraded to C
(sf)
Cl. D, Affirmed C (sf); previously on Jan 18, 2018 Affirmed C (sf)
Cl. X*, Affirmed C (sf); previously on Jan 18, 2018 Affirmed C
(sf)
* Reflects interest-only classes
RATINGS RATIONALE
The rating on three principal and interest (P&I) classes were
affirmed due to and expected and realized losses.
The rating on one P&I class was downgraded due to and expected
losses.
The rating on the IO class was affirmed based on the credit quality
of the referenced classes.
Moody's rating action reflects a base expected loss of 37% of the
current pooled balance, compared to 27% at Moody's last review.
Moody's base expected loss plus realized losses is now 9.1% of the
original pooled balance, compared to 8.6% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating interest-only classes were "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017 and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in June
2017.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 74% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then applies the aggregate loss
from specially serviced to the most junior classes and the recovery
as a pay down of principal to the most senior classes.
DEAL PERFORMANCE
As of the January 14, 2019 distribution date, the transaction's
aggregate certificate balance has decreased by 92% to $119.7
million from $1.5 billion at securitization. The certificates are
collateralized by 10 mortgage loans ranging in size from less than
1% to 59% of the pool. One loan, constituting 0.3% of the pool, has
defeased and is secured by US government securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 3, the same as at Moody's last review.
Two loans, constituting 6% 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.
Eighteen loans have been liquidated with a loss from the pool,
resulting in an aggregate realized loss of $97.8 million (for an
average loss severity of 71.7%). Two loans, constituting 74% of the
pool, are currently in special servicing. The largest specially
serviced loan is the Shoppes at Park Place ($70.2 million -- 58.6%
of the pool), which is secured by a 325,000 square foot (SF) retail
center located in Pinellas Park, Florida approximately 15 miles
west of Tampa. The property is shadow anchored by Target and Home
Depot; the collateral anchor includes Regal Cinemas (22.4% of NRA;
lease expiration 10/31/2029). The property was 96% leased as of
November 2018, compared to 98% in April 2017. The loan transferred
to special servicing in January 2017 due to maturity default.
The second largest specially serviced loan is the Romeoveille Towne
Center ($17.9 million -- 15% of the pool), which is secured by a
108,000 SF retail center located in Romeoville, Illinois, a suburb
of Chicago. The loan transferred to special servicing in March 2014
for imminent default, in connection with the shutting of Dominick's
Supermarkets as part of parent company Safeway's exit from the
greater Chicago market. Dominick's operated as the anchor tenant
and occupied 58% of the center's net rentable area (NRA). The
Dominick's lease runs through the end of February 2019, and the
tenant continues to pay rent. As per the November 2018 rent roll
the property was 94% leased but 32% occupied.
As of the January 14, 2019 remittance statement cumulative interest
shortfalls were $2 million. Moody's anticipates interest shortfalls
will continue because of the exposure to specially serviced loans
and/or modified loans. Interest shortfalls are caused by special
servicing fees, including workout and liquidation fees, appraisal
entitlement reductions (ASERs), loan modifications and
extraordinary trust expenses.
Moody's received full year 2017 operating results for 27% of the
pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 71%, compared to 76% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 11% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 10.3%.
Moody's actual and stressed conduit DSCRs are 1.88X and 1.66X,
respectively, compared to 1.83X and 1.57X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 16.9% of the pool balance.
The largest loan is the Franklin Center Loan ($10 million -- 8.4%
of the pool), which is secured by a 320 bed (160 room) nursing
home/rehabilitation center located in Flushing, New York. The
property is located 0.4 miles from Flushing Hospital and 0.9 miles
from the New York Presbyterian Queens Hospital. As of December 2017
the property was 100% occupied, and has been 100% occupied since
securitization. The loan is interest only for its entire term and
is scheduled to mature in September 2021. Moody's LTV and stressed
DSCR are 94% and 1.32X, respectively, the same as at Moody's last
review.
The second largest loan is the Village One Apartments Loan ($5.4
million -- 4.5% of the pool), which is secured by a 320 unit garden
style multifamily apartment property located in Menand, New York
just outside of Albany. The property was 98% occupied as per the
December 2017 rent roll. The loan is interest only for its entire
term and is scheduled to mature in December 2021. Moody's LTV and
stressed DSCR are 56% and 1.88X, respectively, the same as at
Moody's last review.
The third largest loan is the Office Depot - Paramus Loan ($4.8
million -- 4.0% of the pool), which was originally secured by a
single tenant Office Depot located in Paramus, New Jersey. Office
Depot vacated upon lease expiration in September 2016. The property
was 98% leased as of September 2018 compared to 29% in November
2017. The property was occupied by Trader Joe's, who is currently
in place with a lease expiration of September 2021 and Staples who
vacated it's space in 2017. Currently, Trader Joe's has expanded
their space by 4,000 SF and Homesense has backfilled the Staples
space. The loan has amortized over 19% since securitization.
Moody's LTV and stressed DSCR are 66% and 1.49X, respectively,
compared to 68% and 1.48X at the last review.
MORGAN STANLEY I 2004-TOP15: Moody's Hikes Class J Certs to Caa3
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on four classes
and affirmed the rating on one class in Morgan Stanley Capital I
Trust 2004-TOP15, Commercial Mortgage Pass-Through Certificates,
Series 2004-TOP15, as follows:
Cl. F, Upgraded to Aaa (sf); previously on Jan 25, 2018 Upgraded to
Aa2 (sf)
Cl. G, Upgraded to A3 (sf); previously on Jan 25, 2018 Upgraded to
Baa2 (sf)
Cl. H, Upgraded to Ba3 (sf); previously on Jan 25, 2018 Upgraded to
B2 (sf)
Cl. J, Upgraded to Caa3 (sf); previously on Jan 25, 2018 Affirmed C
(sf)
Cl. X-1*, Affirmed Ca (sf); previously on Jan 25, 2018 Affirmed Ca
(sf)
* Reflects interest-only classes
RATINGS RATIONALE
The ratings on the principal and interest (P&I) classes, Cl. F, Cl.
G, and Cl. H, were upgraded based primarily on an increase in
credit support resulting from loan paydowns and amortization. The
deal has paid down 24% since Moody's last review.
The rating on the P&I Cl. J was upgraded due to the ratings to be
consistent with Moody's expected loss.
The rating on the interest only (IO) class was affirmed based on
the credit quality of the referenced classes.
Moody's rating action reflects a base expected loss of 0.5% of the
current pooled balance, compared to 0.9% at Moody's last review.
Moody's base expected loss plus realized losses is now 1.6% of the
original pooled balance.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
NEUBERGER BERMAN 32: S&P Gives (P)BB- Rating on $23MM Cl. E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Neuberger
Berman Loan Advisers CLO 32 Ltd.'s floating-rate notes.
The note issuance is a collateralized loan obligation (CLO)
transaction backed by broadly syndicated speculative-grade (rated
'BB+' and lower) senior secured term loans managed by Neuberger
Berman Loan Advisers LLC. This is Neuberger Berman Loan Advisers
LLC's first CLO in 2019, which will bring its total CLO assets
under management (AUM) to approximately $8.60 billion.
The preliminary ratings are based on information as of Jan. 28,
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
Neuberger Berman Loan Advisers CLO 32 Ltd./Neuberger Berman Loan
Advisers CLO 32 LLC
Class Rating Amount mil. $)
A AAA (sf) 366.00
B AA (sf) 84.00
C (deferrable) A (sf) 45.00
D (deferrable) BBB- (sf) 30.00
E (deferrable) BB- (sf) 23.25
Subordinated notes NR 53.755
NR--Not rated.
SCF EQUIPMENT 2018-1: Moody's Puts B1 on Class F Notes on Review
----------------------------------------------------------------
Moody's Investors Service has placed on review for possible upgrade
four classes of notes and placed on review direction uncertain one
class of notes issued by SCF Equipment Leasing 2018-1 LLC and SCF
Equipment Leasing Canada 2018 Limited Partnership (SCF 2018-1). The
SCF 2018-1 transaction is a securitization of equipment loans and
leases and owner-occupied commercial real estate loans originated
by Stonebriar Commercial Finance, LLC (Stonebriar), along with its
Canadian counterpart - Stonebriar Commercial Finance Canada Inc.,
and will be serviced by Stonebriar. The equipment loans and leases
are backed by collateral such as corporate aircraft, railcars, and
manufacturing and assembly equipment.
The complete rating actions are as follows:
Issuer: SCF Equipment Leasing 2018-1 LLC/SCF Equipment Leasing
Canada 2018 Limited Partnership Series 2018-1
Class B Notes, Aa2 (sf) Placed Under Review for Possible Upgrade;
previously on May 24, 2018 Definitive Rating Assigned Aa2 (sf)
Class C Notes, A3 (sf) Placed Under Review for Possible Upgrade;
previously on May 24, 2018 Definitive Rating Assigned A3 (sf)
Class D Notes, Baa3 (sf) Placed Under Review for Possible Upgrade;
previously on May 24, 2018 Definitive Rating Assigned Baa3 (sf)
Class E Notes, Ba2 (sf) Placed Under Review for Possible Upgrade;
previously on May 24, 2018 Definitive Rating Assigned Ba2 (sf)
Class F Notes, B1 (sf) Placed Under Review Direction Uncertain;
previously on May 24, 2018 Definitive Rating Assigned B1 (sf)
RATINGS RATIONALE
The review actions reflect a significant build-up in credit
enhancement levels since transaction closing as a result of
deleveraging, which results in upward ratings pressure. However,
errors have been discovered in its prior analysis of this
transaction, the correction of which may have negative impact on
the ratings. The credit enhancement buildup will likely have a
greater impact than the error corrections, resulting in the review
for upgrade action for the Class B through E Notes. For the Class F
Notes, the result of the enhancement build-up and correction of the
errors is uncertain.
The actions reflect a significant build-up in credit enhancement
levels for the Class B, C, D and E Notes due to deleveraging from
the sequential pay structure, overcollateralization and a
non-declining reserve account. The SCF 2018-1 transaction features
an overcollateralization target of 5.50% of the original pool
balance which represents 7.17% of the outstanding pool balance as
of the January 22, 2019 distribution date. The non-declining
reserve account target of 1.50% of original balance, which is fully
funded, represents 1.95% of the outstanding pool balance.
In addition, the transaction has exhibited strong performance with
no cumulative net loss to date and securitized residual values of
leased equipment have decreased to approximately 14% of the
outstanding pool balance as of the January 22, 2019 distribution
date from approximately 23% of the pool balance at closing.
Errors have been discovered in its prior analysis that resulted in
the inflation of calculated asset recovery rates and an
understatement of residual value risk. In some instances, for
example, expected recovery rates were inflated because residual
values were not included in the denominator of the recovery rate
calculation. Other cases related to incorrect discounting of
residual values and combining of contract values and asset values.
During the review period, Moody's will continue to analyze and
reconcile data to rectify the errors, and will also complete
updated analysis to reflect current transaction performance.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the ratings on the notes if levels of credit
protection are greater than necessary to protect investors against
current expectations of loss. Moody's updated expectations of loss
may be better than its original expectations because of lower
frequency of default by the underlying obligors or appreciation in
the value of the equipment and commercial real estate that secure
the obligor's promise of payment. As the primary drivers of
performance, positive changes in the US macro economy and the
strong performance of various sectors where the obligors operate
could also affect the ratings. In addition, faster than expected
reduction in residual value exposure could prompt upgrade of
ratings. .
Down
Moody's could downgrade the ratings of the notes if levels of
credit protection are insufficient to protect investors against
current expectations of loss. Moody's updated expectations of loss
may be worse than its original expectations because of higher
frequency of default by the underlying obligors or a greater than
expected deterioration in the value of the equipment and commercial
real estate that secure the obligor's promise of payment. As the
primary drivers of performance, negative changes in the US macro
economy and the weak performance of various sectors where the
obligors operate could also affect Moody's ratings. Other reasons
for worse performance than Moody's expectations could include poor
servicing, error on the part of transaction parties, lack of
transaction governance and fraud.
SLM STUDENT 2007-2: S&P Lowers Class A-4 Notes Rating to BB
-----------------------------------------------------------
S&P Global Ratings lowered three ratings from two SLM Student Loan
Trusts, which are asset-backed securities (ABS) backed by Federal
Family Education Loan Program (FFELP) student loans.
S&P said, "Our rating actions primarily reflect the liquidity
pressure the senior classes are experiencing, not the credit
enhancement levels available to these classes for ultimate
principal repayment. Our ratings address each trust's ability to
make timely interest payments, as well as its ability to repay the
note balances by their respective legal final maturity dates. We
considered each trust's asset/note payment rate, expected future
collateral performance, payment priorities, and current credit
enhancement levels."
RATIONALE
S&P said, "The primary drivers in our analysis are sensitivity to
payment amounts, the remaining time to maturity, and the change in
payment structure upon an event of default. We also considered the
further decline in payment levels since our last review. We have
reviewed the historical amounts paid to these trusts and noted
significant declines in payment rates, due to reduced collateral
payment rates, over time.
"Assuming that the trusts continue to receive the minimum quarterly
amount received over the past year, or an amount less than that, we
believe the class A notes are sensitive to receiving full principal
payments after their legal final maturity dates. As such, we
lowered our ratings to 'BB (sf)' from 'A (sf)' on the senior
classes. These classes are within five years of their legal final
maturity dates and have heightened sensitivity to any future
declines in note principal payment rates. We previously lowered the
ratings on the senior classes from both the trusts to 'A (sf)' in
2018. Since then, their payment levels have not improved, and they
are now closer to maturity. We believe these classes face major
uncertainty that could lead to the trusts' inadequate capacity to
meet their financial commitment on these obligations.
"We also lowered our rating on class B from the 2006-1 trust, to
match the rating of the senior note. This rating action reflects
our view that the risk of nonpayment of principal for the class A
notes is the same as the risk of nonpayment of timely interest on
the class B notes. An event of default on a senior note due to
missing repayment on its legal final maturity date triggers a
structural change in which all principal payments to class A
noteholders are prioritized over periodic interest payments to the
class B note. As a result, the class B notes may not receive
periodic interest payments until the class A notes have been
repaid. As such, our rating on the class B note is not higher than
the rating on the senior note. If a senior note were paid in full
at its legal final maturity date, the risk of a missed interest
payment on the class B note would be avoided. In this case, we may
raise our rating on the class B note."
COLLATERAL
These trusts are discrete trusts backed by FFELP student loans
originated through the U.S. Department of Education's (ED's)
program. The loan pools consist predominantly of seasoned Stafford,
PLUS, and Supplemental Loans for Students (SLS) loans originated
under FFELP guidelines. The ED reinsures at least 97% of the
principal and accrued interest on defaulted loans that are serviced
according to the FFELP guidelines. Due to the high level of
recoveries from the ED on defaulted loans, defaults effectively
function similar to prepayments. Thus, S&P expects net losses to be
minimal. Approximately 35% of the pools are in a nonpaying loan
status (in-school, grace, deferment, forbearance, claims filed, and
loans that are more than 30 days delinquent). These loans are
expected to be repaid or to default and be reimbursed by the ED.
CREDIT ENHANCEMENT
Credit enhancement consists of overcollateralization (as measured
by parity), subordination (for the senior classes), the reserve
account, and excess spread. The classes are fully collateralized,
and we expect them to receive payment in full, but the likelihood
that they will be repaid after their legal final maturity has
increased as the note principal paydowns have slowed.
CURRENT PAYMENT STRUCTURE
The notes receive interest based on three-month LIBOR and their
respective margin. Principal distribution amounts are allocated
sequentially. The 2007-2 trust has reached its required release
thresholds and is releasing excess funds to the residual holders.
The 2006-1 trust has a pool factor less than 10% of the initial
pool balance and has now turned into a turbo structure.
Accordingly, releases to the issuer are not allowed until all of
the notes are paid in full.
REQUEST FOR COMMENT OF PROPOSED CRITERIA CHANGE
S&P said, "The rating actions apply our current approach as
described above. On Nov. 12, 2018, we published a request for
comment of proposed criteria change, which notifies the market that
we are reviewing our criteria for assigning ratings to U.S. FFELP
student loan ABS transactions. The proposed criteria will revise
our current ratings approach to classes that are at higher risk of
repayment after their legal final maturity dates."
RATINGS LOWERED
SLM Student Loan Trust 2006-1
Class CUSIP Rating
To From
A-5 78442GRP3 BB (sf) A (sf)
B 78442GRQ1 BB (sf) A (sf)
SLM Student Loan Trust 2007-2
Class CUSIP Rating
To From
A-4 78443XAD0 BB (sf) A (sf)
TABERNA PREFERRED III: Moody's Hikes Class A-2A Notes to B3
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Taberna Preferred Funding III, Ltd.:
US$188,500,000 Class A-1A First Priority Senior Secured Floating
Rate Notes Due 2036 (current balance of $129,447,915), Upgraded to
Ba3 (sf); previously on June 3, 2015 Upgraded to B3 (sf)
US$10,000,000 Class A-1C First Priority Senior Secured
Fixed/Floating Rate Notes Due 2036 (current balance of $3,248,379),
Upgraded to Ba3 (sf); previously on June 3, 2015 Upgraded to B3
(sf)
US$38,500,000 Class A-2A Second Priority Senior Secured Floating
Rate Notes Due 2036, Upgraded to B3 (sf); previously on June 3,
2015 Affirmed Caa3 (sf)
Taberna Preferred Funding III, Ltd., issued in September 2005, is a
collateralized debt obligation (CDO) backed mainly by a portfolio
of REIT trust preferred securities (TruPS).
RATINGS RATIONALE
The rating actions are primarily a result of the deleveraging of
the Class A-1 notes, an increase in the transaction's
over-collateralization (OC) ratios, and the improvement in the
credit quality of the underlying portfolio since January 2018.
The Class A-1 notes have collectively paid down by approximately
19.2% or $31.5 million since January 2018, using principal proceeds
from the redemption of the underlying assets and the diversion of
excess interest proceeds. Based on Moody's calculations, the OC
ratios for the Class A-1 and Class A-2A notes have improved to
193.5% and 150.0%, respectively, from January 2018 levels of 172.9%
and 140.0%, respectively. The Class A-1 notes will continue to
benefit from the diversion of excess interest and the use of
proceeds from redemptions of any assets in the collateral pool.
The deal has also benefited from improvement in the credit quality
of the underlying portfolio. According to Moody's calculations, the
weighted average rating factor (WARF) improved to 3953 from 4896 in
January 2018.
In August 2009, the transaction declared an Event of Default (EoD)
because of a missed interest payment on the Class B notes. In
September 2009, a majority of the controlling class have directed
the trustee to declare the notes immediately due and payable. As a
result of the declaration of acceleration of the notes, all
proceeds after paying Class A-1A, Class A-1C, Class A-2A and Class
A-2B interest are currently being used to pay down the principal of
the Class A-1A and Class A-1C notes pro rata.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs" published in October 2016.
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, as described:
1) Macroeconomic uncertainty: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in the
general economy.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's current
expectations could have a positive impact on the transaction's
performance. Conversely, asset credit performance weaker than
Moody's current expectations could have adverse consequences on the
transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and excess
interest proceeds will continue and at what pace. Note repayments
that are faster than Moody's current expectations could have a
positive impact on the notes' ratings, beginning with the notes
with the highest payment priority.
4) Exposure to non-publicly rated assets: The deal contains a large
number of securities whose default probability Moody's assesses
through credit scores derived using RiskCalc™ or credit
estimates. Because these are not public ratings, they are subject
to additional uncertainties.
Moody's obtained a loss distribution for this CDO's portfolio by
simulating defaults using Moody's CDOROM™, which used Moody's
assumptions for asset correlations and fixed recoveries in a Monte
Carlo simulation framework. Moody's then used the resulting loss
distribution, together with structural features of the CDO, as an
input in its CDOEdge™ cash flow model.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool as having a performing par and principal proceeds
balance of $256.8 million, defaulted/deferring par of $111.9
million, a weighted average default probability of 52.07% (implying
a WARF of 3953), and a weighted average recovery rate upon default
of 9.84%.
In addition to the quantitative factors Moody's explicitly models,
qualitative factors are part of rating committee considerations.
Moody's considers the structural protections in the transaction,
the risk of an event of default, recent deal performance under
current market conditions, the legal environment and specific
documentation features. All information available to rating
committees, including macroeconomic forecasts, inputs from other
Moody's analytical groups, market factors, and judgments regarding
the nature and severity of credit stress on the transactions, can
influence the final rating decision.
The portfolio of this CDO contains mainly TruPS issued by small to
medium sized REIT companies that Moody's does not rate publicly.
For REIT TruPS that do not have public ratings, Moody's REIT group
assesses their credit quality using the REIT firms' annual
financials.
TCI-FLATIRON 2018-1: Moody's Rates $31.2MM Class E Notes 'Ba3'
--------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
debt issued by TCI-Flatiron CLO 2018-1 Ltd.
Moody's rating action is as follows:
US$75,000,000 Class A Senior Secured Floating Rate Notes due 2032
(the "Class A Notes"), Assigned Aaa (sf)
US$245,000,000 Class A Senior Secured Loans maturing in 2032 (the
"Class A Loans"), Assigned Aaa (sf)
US$52,500,000 Class B Senior Secured Floating Rate Notes due 2032
(the "Class B Notes"), Assigned Aa2 (sf)
US$24,500,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2032 (the "Class C Notes"), Assigned A2 (sf)
US$31,750,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2032 (the "Class D Notes"), Assigned Baa3 (sf)
US$31,250,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2032 (the "Class E Notes"), Assigned Ba3 (sf)
The Class A Notes, the Class A Loans, the Class B Notes, the Class
C Notes, the Class D Notes and the Class E Notes are referred to
herein, collectively, as the "Rated Debt."
RATINGS RATIONALE
The ratings reflect the risks due to defaults on the underlying
portfolio of assets, the transaction's legal structure, and the
characteristics of the underlying assets.
TCI-Flatiron CLO 2018-1 is a managed cash flow CLO. The issued debt
will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 92.5% of the portfolio must
consist of senior secured loans, cash, and eligible investments,
and up to 7.5% of the portfolio may consist of second lien loans
and unsecured loans. The portfolio is approximately 80% ramped as
of the closing date.
TCI Capital Management LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Debt, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 69
Weighted Average Rating Factor (WARF): 2871
Weighted Average Spread (WAS): 3.20%
Weighted Average Coupon (WAC): 7.5%
Weighted Average Recovery Rate (WARR): 47.5%
Weighted Average Life (WAL): 9.0 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Debt is subject to uncertainty. The
performance of the Rated Debt is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Debt.
VOYA CLO 2018-4: S&P Assigns B- Rating on $6MM Class F Notes
------------------------------------------------------------
S&P Global Ratings assigned ratings to Voya CLO 2018-4 Ltd.'s
fixed- and floating-rate notes.
The note issuance is a collateralized loan obligation (CLO)
transaction backed by primarily broadly syndicated
speculative-grade senior secured term loans that are governed by
collateral quality tests.
The ratings reflect:
-- The diversified collateral pool.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
Voya CLO 2018-4 Ltd.
Class Rating Amount (mil. $)
A-1A AAA (sf) 219.40
A-1B AAA (sf) 16.60
A-2A NR 5.00
A-2B NR 19.00
B AA (sf) 44.00
C-1 A (sf) 20.00
C-2 A (sf) 2.00
D BBB- (sf) 22.00
E BB- (sf) 16.00
F B- (sf) 6.00
Subordinated notes NR 33.60
NR--Not rated.
WACHOVIA BANK 2007-C30: Moody's Hikes Class E Certs Rating to Caa3
------------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class and
affirmed the ratings on four classes of Wachovia Bank Commercial
Mortgage Trust 2007-C30, Commercial Mortgage Pass-Through
Certificates, Series 2007-C30 as follows:
Cl. E, Upgraded to Caa3 (sf); previously on Jan 12, 2018 Affirmed C
(sf)
Cl. F, Affirmed C (sf); previously on Jan 12, 2018 Affirmed C (sf)
Cl. G, Affirmed C (sf); previously on Jan 12, 2018 Affirmed C (sf)
Cl. X-C*, Affirmed C (sf); previously on Jan 12, 2018 Affirmed C
(sf)
Cl. X-W*, Affirmed C (sf); previously on Jan 12, 2018 Affirmed C
(sf)
* Reflects Interest Only Classes
RATINGS RATIONALE
The rating on Cl. E was upgraded based primarily on an increase in
credit support resulting from loan paydowns as well as lower than
anticipated losses on recently liquidated loans. The deal has paid
down 89% since Moody's last review.
The ratings on Cl. F and Cl. G were affirmed because the ratings
are consistent with Moody's expected loss plus realized losses.
Class G has already experienced a 99% realized loss as result of
previously liquidated loans.
The ratings on the IO classes were affirmed based on the credit
quality of their referenced classes.
Moody's rating action reflects a base expected loss of 48.2% of the
current pooled balance, compared to 60% at Moody's last review.
Moody's base expected loss plus realized losses is now 8.1% of the
original pooled balance, compared to 10.2% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating interest-only classes were "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017 and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in June
2017.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 49% of the pool is in
special servicing and Moody's has identified additional troubled
loans representing 44% of the pool. In this approach, Moody's
determines a probability of default for each specially serviced and
troubled loan that it expects will generate a loss and estimates a
loss given default based on a review of broker's opinions of value
(if available), other information from the special servicer,
available market data and Moody's internal data. The loss given
default for each loan also takes into consideration repayment of
servicer advances to date, estimated future advances and closing
costs. Translating the probability of default and loss given
default into an expected loss estimate, Moody's then applies the
aggregate loss from specially serviced and troubled loans to the
most junior class(es) and the recovery as a pay down of principal
to the most senior class(es).
DEAL PERFORMANCE
As of the January 17, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $116.3
million from $7.9 billion at securitization. The certificates are
collateralized by seven mortgage loans ranging in size from less
than 1% to 19% of the pool.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 6, compared to 15 at Moody's last review.
Two loans, constituting 22% 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.
Seventy loans have been liquidated from the pool, resulting in an
aggregate realized loss of $581.7 million (for an average loss
severity of 48%). Three loans, constituting 49% of the pool, are
currently in special servicing. The largest specially serviced loan
is the Mercedes-Benz Central Parts Warehouse ($21.4 million --
18.5% of the pool), which is secured by a 518,400 square foot (SF)
industrial property located in Vance, Alabama. The property is
fully occupied by Mercedes Benz US International with a lease that
runs through October 2020 and serves as a parts warehouse to
support the Mercedes Benz plant one mile south of the property. The
loan was transferred to special servicing in May 2016 due to
imminent maturity default ahead of its January 2017 maturity date.
The transfer occurred due to the single tenant lease expiration in
2020 and the fact that the tenant is not required to notify of
their renewal intentions until February 2020. The borrower has
executed an extended forbearance period through January 2019. Due
to the single tenant risk, Moody's value reflects a lit/dark
analysis.
The second largest specially serviced loan is the Twin Oaks Pool
($20.1 million -- 17.4% of the pool), which is secured by two
adjacent, Class A, office properties located in Norfolk, Virginia.
The properties were built in 1999 and total 167,000 SF. The loan
originally transferred to special servicing in November 2016 due to
imminent maturity default and a two year loan extension was
executed in 2017. As of October 2018 the properties were 74%
leased. However, this occupancy includes the largest tenant (25% of
NRA; lease expiration April 2018), who currently occupies the space
but sent a notice to terminate and has not renewed their lease. The
borrower requested a further loan modification but that request was
not accepted.
The third largest specially serviced loan is the Silver Oak --
Medical Office Building ($15.4 million -- 13.4% of the pool), which
is secured by a 78,000 SF medical office building located in
Norfolk, Virginia. The loan transferred to special servicing in
November 2016 due to imminent maturity default and a two year loan
extension was executed in 2017. The loan transferred back to the
special servicer in December 2018 due to imminent monetary default.
The largest tenant (94% of NRA; lease expirations in June and
December 2019) indicated they will be vacating at lease
expirations. The loan remains current as of the January 2019
remittance statement, however, the servicer indicated foreclosure
proceedings will be initiated once the loan goes into default which
is expected in February 2019.
Moody's has also assumed a high default probability for three
poorly performing loans, constituting 43.9% of the pool and Moody's
estimates an aggregate $55.6 million loss for the specially
serviced and troubled loans (51% expected loss on average).
As of the January 2019 remittance statement cumulative interest
shortfalls were $106.7 million. Moody's anticipates interest
shortfalls will continue because of the exposure to specially
serviced loans and/or modified loans. Interest shortfalls are
caused by special servicing fees, including workout and liquidation
fees, appraisal entitlement reductions (ASERs), loan modifications
and extraordinary trust expenses.
The performing non-specially serviced loans represent 51% of the
pool balance. The largest performing exposure is the NJ Office Pool
- A note ($17.9 million -- 15.5% of the pool) and B note ($21.6
million -- 18.7% of the pool). The A / B note split was part of a
modification executed in April 2013 which also extended the
maturity date and decreased the interest rate. The loan was
transferred to special servicing again in October 2016 due to
imminent default as the borrower was unable to pay off the loan at
its February 2017 maturity date. The loan was subsequently modified
for the second time in July 2017. Terms of the modification
included a new maturity date of February 2020. The loan was
originally secured by four office properties located in the cities
of East Hanover, Parsippany and Clifton, New Jersey. The property
located in Clifton, NJ has since sold. As of the September 2018,
the portfolio's weighted average occupancy was 62%. Moody's
identified both the A-Note and the B-Note as troubled loans.
The other performing exposure is the NJ Industrial & Office Pool --
A note Loan ($7.4 million), which was originally secured by six
office properties located in New Jersey. The loan represents a
modified loan which had an original A-note balance of $48.5
million. The November 2013 terms included a split modification with
a new A-note balance of $37 million and creation of a B-note
totaling $11.6 million. Terms of the modification increased the
maturity date to February 2020. All but one property has sold,
which has reduced the original $37 million A-note balance by $29.6
million. The remaining property, 3 University Place, is located in
Hackensack, NJ and measures 225,000 SF. The property was 68% leased
as of December 2017. Moody's A-note LTV and stressed DSCR are 83%
and 1.18X, respectively. Moody's has identified the B note as a
troubled loan.
WAIKIKI BEACH 2019-WBM: S&P Assigns Prelim B- Rating on F Certs
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Waikiki
Beach Hotel Trust 2019-WBM's commercial mortgage pass-through
certificates.
The note issuance is a commercial mortgage-backed securities
transaction backed by the borrower's leasehold interest in the
1,310-guestroom Waikiki Beach Marriott Resort & Spa.
The preliminary ratings are based on information as of Jan. 29,
2019. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P Global Ratings' view of the
collateral's historical and projected performance, the sponsor's
and manager's experience, the trustee-provided liquidity, the
loan's terms, and the transaction's structure. S&P determined that
the loan has a beginning and ending loan-to-value ratio of 103.5%,
based on its value of the property backing the transaction.
PRELIMINARY RATINGS ASSIGNED
Waikiki Beach Hotel Trust 2019-WBM
Class Rating Amount ($)
A AAA (sf) 112,200,000
B AA- (sf) 36,800,000
C A- (sf) 27,300,000
D BBB- (sf) 36,100,000
E BB- (sf) 56,900,000
F B- (sf) 50,375,000
HRR NR 16,825,000
NR--Not rated.
WAMU COMMERCIAL 2007-SL2: Fitch Hikes Class E Notes Rating to Bsf
-----------------------------------------------------------------
Fitch Ratings has upgraded four and affirmed six classes of WaMu
Commercial Mortgage Securities Trust commercial mortgage
pass-through certificates, series 2007-SL2.
KEY RATING DRIVERS
Increased Credit Enhancement: The upgrades to classes C, D, E and F
reflect the increased credit enhancement, declining loss
expectations and improved pool-wide credit metrics. Given that 100%
of the pool is currently past the lockout period and can prepay
without penalty, additional paydown and increased credit
enhancement is possible. Since Fitch's prior rating action, credit
enhancement has improved due to loans repaying during their open
prepayment period. Since Fitch's prior rating action, 18 loans
(accounting for 17.2% of the pool with an aggregate balance at the
last rating action of $13.8 million) have been repaid.
As of the December 2018 distribution date, the pool's aggregate
principal balance has been paid down by 92.3% to $64.5 million from
$842.1 million at issuance. No loans are defeased. One loan (0.9%
of the current pool balance) is in special servicing and 12 loans
(16.1%) have been designated as Fitch Loans of Concern due to
performance declines. Interest shortfalls are currently affecting
classes G through N.
Declining Loss Expectations: Loss expectations for the pool have
declined since Fitch's prior rating action due to the repayment of
underperforming loans and improved credit metrics. The weighted
average Fitch LTV for the pool declined to 104.1% from 131.8% at
the prior rating action and the total number of loans modeling
losses declined due to improvements in cash flow and occupancy.
Additionally, 76 loans (72.6%) are 100% recourse to the borrower.
Alternative Loss Considerations: Fitch applied a sensitivity
scenario where a 100% loss was modeled on the current balances of
the five largest remaining loans in the pool. The upgrades to
classes C, D and E reflect this sensitivity scenario.
Pool Concentration: The pool consists entirely of small balance
loans which traditionally have high loss severities. Fitch utilized
conservative cap rate, constant and cash flow scenarios for
performing loans to mitigate concerns regarding the pool's
concentration and collateral quality. Loans secured by multifamily
properties account for 85.4% of the pool and mixed use properties
with a multifamily component account for the remaining 14.6%. 48.9%
of the remaining pool is collateralized by loans in major
metropolitan areas including New York City (15.4%), Los Angeles
(22.7%), and Chicago (10.8%).
Extended Maturity Profile: 95.1% of the pool does not mature until
2036, which could result in performance issues due to future
economic volatility. However, none of the loans have prepayment
restrictions. All remaining loans in the pool are adjustable rate
mortgages with floating interest rates and if interest rates
continue to rise, borrowers may refinance into a lower, fixed
interest rate. Given the collateral concentration in primary
markets where property values have risen and continued amortization
of the remaining loans, it is likely that most borrowers have
enough equity to be able to refinance. While the majority of these
loans are fully amortizing (77.6%), scheduled monthly principal is
limited due to the loans amortizing over a 30-year schedule.
RATING SENSITIVITIES
The Rating Outlook on class D has been revised to Positive from
Stable and future upgrades are likely with continued unscheduled
principal repayments and stable performance. The Rating Outlook on
class C has been revised to Stable from Positive following the
upgrade. A Stable Rating Outlook was assigned to class E after the
upgrade. The pool continues to experience collateral reduction,
largely because of prepayments. As a result, credit enhancement has
improved since the last rating action and additional upgrades may
result. However, future upgrades may be limited if pool performance
declines or loans transfer to special servicing. The distressed
class (rated below 'Bsf') may be subject to further downgrades as
losses are realized.
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 upgraded ratings and assigned or revised Outlooks on the
following classes as indicated:
-- $20.5 million class C notes to 'AAAsf' from 'BBsf'; Outlook to
Stable from Positive;
-- $16.8 million class D notes to 'BBBsf' from 'Bsf'; Outlook to
Positive from Stable;
-- $6.3 million class E notes to 'Bsf' from 'CCCsf'; Outlook
Stable assigned;
-- $7.4 million class F notes to 'CCCsf from 'CCsf'; RE 100%.
Fitch affirmed the following classes:
-- $13.5 million class G notes at 'Dsf'; RE 35%;
-- $0 class H notes at 'Dsf'; RE 0%;
-- $0 class J notes at 'Dsf'; RE 0%;
-- $0 class K notes at 'Dsf'; RE 0%;
-- $0 class L notes at 'Dsf'; RE 0%;
-- $0 class M notes at 'Dsf'; RE 0%.
The classes A, A-1A and B certificates are paid in full. Fitch does
not rate the class N certificates. Fitch previously withdrew the
rating on the interest-only class X certificates.
WELLS FARGO 2019-1: S&P Assigns BB- Rating on Class B-4 Certs
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to Wells Fargo Mortgage
Backed Securities 2019-1 Trust's (WFMBS 2019-1's) mortgage
pass-through certificates.
The certificate issuance is a residential mortgage-backed
securities (RMBS) transaction backed by first-lien, fixed-rate
mortgage loans secured by one- to four-family residential
properties, condominiums, cooperatives, townhouses and planned-unit
developments to primarily prime borrowers.
The ratings reflect:
-- The high-quality collateral in the pool;
-- The available credit enhancement;
-- The experienced originator;
-- The 100% due diligence sampling results consistent with
represented loan characteristics; and
-- The transaction's associated structural mechanics.
RATINGS ASSIGNED
Wells Fargo Mortgage Backed Securities 2019-1 Trust
Class Rating Amount ($)
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 2013-C13: Fitch Affirms Bsf Rating on Cl. F Certs
------------------------------------------------------------------
Fitch Ratings has affirmed 11 classes of WFRBS Commercial Mortgage
Trust commercial mortgage pass-through certificates series
2013-C13.
KEY RATING DRIVERS
Stable Performance and Loss Expectations: Overall pool performance
and loss expectations remain stable since issuance. There have been
no realized losses to date. No loans have transferred to special
servicing since issuance. While six loans (3.6% of the pool) are on
the servicer's watchlist due to servicer performance triggers,
deferred maintenance or upcoming rollover risk, only three (1.1%)
were flagged as Fitch Loans of Concern (FLOCs). While not listed on
the servicer's watchlist, the second largest loan, 188 Spear Street
and 208 Utah Street (11.2%), was flagged as a FLOC due to upcoming
tenant rollover risk. Amazon, the largest tenant representing 41.4%
of NRA, has a lease expiration of Oct. 31, 2019. Per the servicer,
the tenant is required to submit a leasing status within six months
of expiration (March 2019). Fitch will continue to monitor the loan
for leasing updates.
Improved Credit Enhancement Since Issuance: As of the December 2018
distribution date, the pool's aggregate balance has been reduced by
17.8% to $720.6 million from $876.7 million at issuance. De minimis
interest shortfalls (less than $200) are currently affecting
non-rated class G. Eight loans (16.9% of the pool) are full-term
interest-only, and the remaining 79 loans are amortizing (nine
loans representing 31.5% of the pool have exited their
interest-only period). One loan (0.9%) is defeased.
Pool and Property Concentrations: The largest loan, 301 South
College Street, represents 11.2% of the current pool balance.
Additionally, the top 10 loans represent 50.9% of the current pool
balance. The pool's largest property type is office at 33.2%,
including four loans in the top 15. Retail and lodging represent
the second and third largest property types at 22.6% and 9.8%,
respectively. No other property type represents more than 8% of the
pool balance. There is no regional mall exposure within the pool.
Maturity Concentration: All loans mature between April and May in
2023.
RATING SENSITIVITIES
Rating Outlooks for all classes remain Stable due to the overall
stable performance of the pool and continued amortization. Upgrades
reflect increased credit enhancement. Further rating upgrades may
occur with improved pool performance and additional paydown or
defeasance. Rating downgrades to the classes are possible should
overall pool performance decline.
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:
-- $188.6 million class A-3 at 'AAAsf'; Outlook Stable;
-- $206.5 million class A-4 at 'AAAsf'; Outlook Stable;
-- $548.5 million interest-only class X-A at 'AAAsf'; Outlook
Stable;
-- $62.5 million class A-SB at 'AAAsf'; Outlook Stable;
-- $91 million class A-S at 'AAAsf'; Outlook Stable;
-- $51.5 million class B at 'AAsf'; Outlook Stable;
-- $29.6 million class C at 'Asf'; Outlook Stable;
-- $81.1 million interest-only class X-B at 'Asf'; Outlook
Stable;
-- $32.9 million class D at 'BBB-sf'; Outlook Stable;
-- $15.3 million class E at 'BBsf'; Outlook Stable;
-- $16.4 million class F at 'Bsf'; Outlook Stable.
Classes A-1 and A-2 haves been repaid in full. Fitch does not rate
the class G certificates or the interest only class X-C
certificates.
WIRELESS CAPITAL: Fitch Affirms BB on $31MM Class 2013-1B Debt
--------------------------------------------------------------
Fitch Ratings has affirmed the ratings for Wireless Capital
Partners, LLC secured wireless site contract revenue notes series
2013-1 and 2013-2 as follows:
-- $89.12 million class 2013-1A at 'Asf'; Outlook Stable;
-- $31 million class 2013-1B at 'BB-sf'; Outlook Stable;
-- $16.88 million class 2013-2A at 'Asf'; Outlook Stable;
-- $6 million class 2013-2B at 'BB-sf'; Outlook Stable.
The certificates represent beneficial ownership interest in the
trust, primary assets of which are 745 wireless sites securing one
fixed-rate loan. As of the December 2018 distribution date, the
aggregate principal balance of the notes has been reduced by 4.7%
to $143.0 from $150.0 million since issuance.
The transaction is structured with scheduled monthly principal
payments that will amortize down the principal balance 10% by the
anticipated repayment date (ARD) in year seven, reducing the
refinance risk. The scheduled monthly principal payments are paid
sequentially beginning in the third year from closing until the
note's ARD.
The ownership interest in the wireless sites consists of lease
purchase sites, easements and fee interests in land, rooftops or
other structures on which site space is allocated for placement of
tower and wireless communication equipment. Unlike typical cell
tower securitizations in which the towers serve as collateral, the
collateral for this securitization generally consists of lease
purchase sites, easements and the revenue stream from the payments
the owner of the tower and/or tenants of the site pay to MelTel II
Issuer LLC, formerly known as WCP Issuer LLC.
MelTel II Issuer LLC, an affiliate of Melody Wireless
Infrastructure, acquired Wireless Capital Holdings, LLC, the
ultimate parent of WCP Guarantor LLC, now known as MelTel II
Guarantor LLC, in January 2015. The manager was replaced by an
affiliate of the new issuer.
KEY RATING DRIVERS
Stable Cash Flow: As of January 2019, Fitch stressed debt service
coverage ratio (DSCR) was 1.51x, which compares with 1.52x at last
review and 1.23x at issuance. The debt multiple relative to Fitch's
net cash flow (NCF) was 7.19x, which equates to a debt yield of
13.9%.
Technology-Dependent Credit/Rating Cap: The ratings have been
capped at 'Asf' and upgrades are unlikely due to the specialized
nature of the collateral and the potential for changes in
technology to affect long-term demand for wireless tower space. The
notes have a rated final payment date in 2043, and the long-term
tenor of the notes increases the risk that an alternative
technology rendering obsolete the current transmission of wireless
signals through cellular sites will be developed. Currently,
wireless service providers (WSP) depend on towers to transmit their
signals and continue to invest in this technology.
Leases to Strong Tower Tenants: Cash flow is derived from 950
separate leases across 745 towers in markets throughout the United
States. Investment-grade tenants account for approximately 56.5% of
run-rate revenue. Telephony towers account for 97.5% of run-rate
revenue. Leases to AT&T and Verizon represent approximately 46.6%
of the revenue.
Additional Notes: The borrower has the ability to issue additional
notes in the future that will rank senior to, pari passu with, or
subordinate to the rated notes. These may be issued without the
benefit of additional collateral, provided the post-issuance DSCR
is not less than 2.00x. The possibility of upgrades may be limited
due to this provision.
RATING SENSITIVITIES
The Rating Outlooks on all classes are expected to remain Stable.
Downgrades are unlikely due to continued cash flow growth from
annual rent escalations and automatic renewal clauses resulting in
higher DSCR since issuance. The ratings have been capped at 'A' and
upgrades are unlikely due to the specialized nature of the
collateral and the potential for changes in technology to affect
long-term demand for wireless tower space.
YUM BRANDS: Egan-Jones Hikes Senior Unsecured Ratings to BB-
------------------------------------------------------------
Egan-Jones Ratings Company, on January 22, 2018, upgraded the
foreign currency and local currency senior unsecured ratings on
debt issued by YUM Brands Incorporated to BB- from B+.
Yum! Brands, Inc., or Yum! and formerly Tricon Global Restaurants,
Inc., is an American fast food company. A Fortune 500 corporation,
Yum! operates the brands Taco Bell, KFC, Pizza Hut, and WingStreet
worldwide, except in China, where the brands are operated by a
separate company, Yum China and India YUM INDIA.
[*] Moody's Takes Action on $12.8MM RMBS Issued 2004-2005
---------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 2 tranches
from 2 transactions and downgraded the ratings of 1 tranche from
Bear Stearns Asset Backed Securities Trust 2004-SD3.
Complete rating actions are as follows:
Issuer: Bear Stearns Asset Backed Securities Trust 2004-SD3
Cl. M-2, Downgraded to B1 (sf); previously on Jun 19, 2017 Upgraded
to Ba2 (sf)
Cl. M-3, Upgraded to B2 (sf); previously on Apr 26, 2018 Upgraded
to B3 (sf)
Issuer: Bear Stearns Asset Backed Securities Trust 2005-4
Cl. M-4, Upgraded to Ca (sf); previously on Apr 24, 2009 Downgraded
to C (sf)
RATINGS RATIONALE
The rating actions reflect the recent performance and Moody's
updated loss expectations on the underlying pools. The rating
upgrades are due to an increase in the credit enhancement available
to the bonds. The rating downgrade on Bear Stearns Asset Backed
Securities Trust 2004-SD3 Cl.M-2 is due to outstanding interest
shortfalls, which are not expected to be recouped as the impacted
bond has weak structural mechanisms to reimburse accrued interest
shortfalls.
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 $76.9MM RMBS Issued 1999-2007
---------------------------------------------------------
Moody's Investors Service has upgraded the ratings of six tranches
and downgraded the ratings of five tranches from four transactions,
backed by Subprime, Alt-A and Jumbo loans, issued by multiple
issuers.
Complete rating actions are as follows:
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
1999-LB1
A-1F, Upgraded to Baa3 (sf); previously on Apr 20, 2018 Confirmed
at Ba3 (sf)
Issuer: CHL Mortgage Pass-Through Trust 2003-49
Cl. A-8-A, Downgraded to Baa3 (sf); previously on Jul 25, 2013
Downgraded to Baa1 (sf)
Cl. A-8-B, Downgraded to Ba2 (sf); previously on Mar 16, 2018
Downgraded to Baa3 (sf)
Cl. A-9, Downgraded to Ba1 (sf); previously on Jul 25, 2013
Downgraded to Baa1 (sf)
Cl. B-1, Downgraded to Caa2 (sf); previously on Mar 16, 2018
Downgraded to B3 (sf)
Cl. B-2, Downgraded to Ca (sf); previously on Apr 13, 2012
Confirmed at Caa3 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2007-11
Cl. 1-A-2, Upgraded to Caa3 (sf); previously on Nov 22, 2016
Confirmed at Ca (sf)
Cl. 2-A-3, Upgraded to B1 (sf); previously on Nov 22, 2016 Upgraded
to Caa1 (sf)
Issuer: Merrill Lynch Bank USA Mortgage Pass-Through Certificates,
2001-A
Cl. B-1, Upgraded to Ba3 (sf); previously on Apr 20, 2018 Upgraded
to B2 (sf)
Cl. B-2, Upgraded to B1 (sf); previously on Apr 20, 2018 Upgraded
to Caa1 (sf)
Cl. M-2, Upgraded to Ba2 (sf); previously on Apr 20, 2018 Upgraded
to B1 (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pools
and reflect Moody's updated loss expectations on the pools. The
ratings upgraded are a result of improving performance of the
related pools and/or an increase in credit enhancement available to
the bonds. The ratings downgraded in CHL Mortgage Pass-Through
Trust 2003-49 are due to a decrease in credit enhancement, which is
further exacerbated by the accelerated amortization of subordinate
bonds.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate
The unemployment rate fell to 3.9% 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 11 Classes From 4 US RMBS Deals
---------------------------------------------------------
S&P Global Ratings completed its review of 11 classes from four
U.S. residential mortgage-backed securities (RMBS) transactions
issued in 2003 and 2004. All of these transactions are backed by
prime jumbo collateral. The review yielded 11 downgrades.
Analytical Considerations
The lowered ratings are based on the implementation of our tail
risk analysis per our criteria "U.S. RMBS Surveillance Credit And
Cash Flow Analysis For Pre-2009 Originations," published March 2,
2016. S&P applies this analysis when the transaction contains fewer
than 100 loans on the structure level or on the group level (group
level analysis is performed only if the transaction has multiple
groups and cross-subordination is depleted).
As RMBS transactions become more seasoned, the number of
outstanding mortgage loans backing them declines as loans are
prepaid and default. As a result, a liquidation and subsequent loss
on one or a small number of remaining loans at the tail end of a
transaction's life may have a disproportionate impact on remaining
credit enhancement, which could result in a level of credit
instability that is inconsistent with high ratings. According to
S&P's criteria, additional minimum loss projection estimations are
calculated at each rating category based on a certain number of
loans defaulting and liquidating. To address the potential that
greater losses could result if the loans with higher balances were
to default, the criteria use the largest liquidation amounts for
each rating category.
S&P said, "If the transaction's structure contains multiple
collateral groups and cross-subordination remains outstanding, we
will apply our tail risk analysis on the structure level since
cross-subordination is shared among all groups. In this situation
we would calculate tail risk caps using the structure level loan
count irrespective of the groups' loan counts.
"If the transaction's structure contains multiple collateral groups
and cross-subordination no longer remains outstanding, we will
apply our tail risk analysis on the respective group since group
level losses are not absorbed from cross-subordination. In this
situation we would calculate tail risk caps using the group level
loan count irrespective of the structure loan count."
A list of Affected Ratings can be viewed at:
https://bit.ly/2G8m8oE
[*] S&P Takes Various Actions on 72 Classes From 50 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 72 classes from 50 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2002 and 2009. The review yielded 68 downgrades due to
observed principal write-downs. Additionally, S&P placed four
ratings on CreditWatch with negative implications.
S&P said, "The lowered ratings due to outstanding principal
write-downs reflect our assessment of the principal write-downs'
impact on the affected classes during recent remittance periods.
All of the classes were rated either 'CCC (sf)' or 'CC (sf)' before
the rating actions. All of the transactions in this review receive
credit enhancement from a combination of subordination, excess
spread, and overcollateralization (where applicable).
"We placed our 'AA+ (sf)' ratings on classes A-4, A-5, A-6, and A-7
from WaMu Mortgage Pass-Through Certificates Series 2004-RS2 Trust
on CreditWatch with negative implications. The CreditWatch negative
placements reflect our review of a legal expense incurred in the
October 2018 remittance period, which could have a negative impact
on our ratings on the affected classes. After verifying with the
trustee the nature of this expense and the impact, if any, on these
classes, we will take rating actions that we consider appropriate
per our criteria, including downgrades to the low speculative-grade
range and/or withdrawals."
A list of Affected Ratings can be viewed at:
https://bit.ly/2Up245e
*********
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