/raid1/www/Hosts/bankrupt/TCR_Public/190602.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, June 2, 2019, Vol. 23, No. 152
Headlines
AMERICAN CREDIT 2019-2: S&P Assigns BB-(sf) Rating to Cl. E Notes
ANGEL OAK 2019-3: S&P Assigns Prelim B (sf) Rating to Cl. B-2 Certs
APIDOS CLO XXXI: Moody's Rates $27.4MM Class E Notes 'Ba3'
BARINGS CLO 2019-III: Moody's Rates $17.7MM Class E Notes 'Ba3'
BEAR STEARNS 2005-PWR7: Fitch Affirms D Rating on 8 Tranches
CD 2007-CD5: S&P Cuts Ratings on Four Classes of Certificates
CEDAR FUNDING XI: S&P Assigns B- (sf) Rating to $8MM Class F Notes
CFCRE 2017-C8: Fitch Affirms 'B-sf' Ratings on 2 Tranches
CIM TRUST 2019-INV2: Moody's Assigns (P)B2 Rating on Cl. B-5 Debt
COMM 2014-CCRE19: Fitch Affirms 'BBsf' Rating on Class E Certs
CREST LTD 2004-1: Fitch Lowers Ratings on 2 Debt Classes to 'Dsf'
EXETER AUTOMOBILE 2018-2: S&P Affirms BB(sf) Rating on Cl. E Notes
GCAT 2019-NQM1: S&P Assigns Prelim B (sf) Rating to Class B-2 Certs
GMAC COMMERCIAL 1999-C2: Moody's Hikes Class X Debt Rating to Ca
GOLDMAN SACHS 2011-GC5: Fitch Cuts Rating on Class F Debt to B-
GREENWICH CAPITAL 2005-GG3: Moody's Cuts Cl. F Debt Rating to Caa3
GS MORTGAGE 2019-GC39: Fitch Rates $7.7MM Class G-RR Certs 'B-'
HPS LOAN 14-2019: S&P Gives Prelim. B- Rating on $6.5MM F Notes
INLAND EMPIRE: S&P Affirms CCC Ratings on 4 Classes of 2007 Bonds
JP MORGAN 2007-CIBC20: Moody's Lowers Class E Debt Rating to Ca
JP MORGAN 2017-JP6: Fitch Affirms B- Rating on Class G-RR Certs
LB-UBS 2007-C7: S&P Affirms 'CCC+ (sf)' Rating on Class C Certs
LBUBS COMMERCIAL 2006-C4: Moody's Hikes Cl. G Notes Rating to Caa3
MADISON PARK XXXV: S&P Rates $30.25MM Class E Notes 'BB- (sf)'
MCF CLO IX: S&P Assigns Prelim BB- (sf) Rating to Class E Notes
OHA CREDIT 3: S&P Assigns Prelim BB- (sf) Rating to Cl. E-2 Notes
ORANGE LAKE 2019-A: S&P Rates $61.308MM Class D Notes 'BB- (sf)'
SPRUCE HILL 2019-SH1: S&P Assigns B (sf) Rating to Class B-2 Notes
TOWD POINT 2018-2: Fitch Rates Class B2 Notes 'Bsf', Outlook Stable
TRIMARAN CAVU 2019-1: S&P Rates $24.2MM Class E Notes 'BB- (sf)'
UNITED AIRLINES: S&P Revises Ratings on Selected EETCs
WELLS FARGO 2015-SG1: Fitch Affirms B- Rating on 2 Cert. Classes
[*] Moody's Takes Action on $222.14MM of RMBS Issued 2005-2007
[*] Moody's Takes Action on $239MM of US RMBS Issued 2004-2006
[*] Moody's Takes Action on $447.8MM RMBS Issued 2002-2006
*********
AMERICAN CREDIT 2019-2: S&P Assigns BB-(sf) Rating to Cl. E Notes
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S&P Global Ratings assigned its ratings to American Credit
Acceptance Receivables Trust 2019-2's asset-backed notes.
The note issuance is an asset-backed securities (ABS) transaction
backed by subprime auto loan receivables.
The ratings reflect:
-- The availability of approximately 64.7%, 58.0%, 47.8%, 40.1%,
35.9%, and 33.0% credit support for the class A, B, C, D, E, and F
notes, respectively, based on break-even stressed cash flow
scenarios (including excess spread). These credit support levels
provide coverage of approximately 2.35x, 2.10x, 1.70x, 1.37x,
1.20x, and 1.10x S&P's 27.00%-28.00% expected net loss range for
the class A, B, C, D, E, and F notes, respectively.
-- The timely interest and principal payments made to the rated
notes by the assumed legal final maturity dates under S&P's
stressed cash flow modeling scenarios that it believes are
appropriate for the assigned ratings.
-- The expectation that under a moderate ('BBB') stress scenario,
all else being equal, S&P's ratings on the class A, B, and C notes
would not be lowered from its 'AAA (sf)', 'AA (sf)', and 'A (sf)'
ratings, respectively, during the first year; S&P's rating on the
class D notes would remain within two rating categories of its 'BBB
(sf)' rating during the first year; and S&P's ratings on the class
E and F notes would remain within two rating categories of the 'BB-
(sf)' and 'B (sf)' ratings, respectively, in the first year, though
the notes are expected to default by their legal final maturity
date with approximately 71%-94% and 0% of principal repayment,
respectively. These potential rating movements are within the
limits specified in the rating agency's credit stability criteria.
-- The collateral characteristics of the subprime automobile loans
securitized in this transaction.
-- The backup servicing arrangement with Wells Fargo Bank N.A.
(Wells Fargo).
-- The transaction's payment and credit enhancement structures.
-- The transaction's legal structure.
RATINGS ASSIGNED
American Credit Acceptance Receivables Trust 2019-2
Class Rating Amount (mil. $) Rate (%)
A AAA (sf) 112.20 2.85
B AA (sf) 34.50 3.05
C A (sf) 53.10 3.17
D BBB (sf) 39.00 3.41
E BB- (sf) 18.90 4.29
F B (sf) 17.10 5.81
ANGEL OAK 2019-3: S&P Assigns Prelim B (sf) Rating to Cl. B-2 Certs
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S&P Global Ratings assigned its preliminary ratings to Angel Oak
Mortgage Trust 2019-3's mortgage pass-through certificates.
The issuance is an RMBS transaction backed by first-lien,
second-lien, fixed- and adjustable-rate, fully amortizing, and
interest-only residential mortgage loans secured by single-family
residential properties, townhouses, planned-unit developments,
condominiums, and two- to four-family residential properties to
both prime and nonprime borrowers. The pool has 1,169 loans, which
are primarily nonqualified mortgage loans.
The preliminary ratings are based on information reflected in the
term sheet dated May 28, 2019. Subsequent information may result in
the assignment of final ratings that differ from the preliminary
ratings.
The preliminary ratings reflect:
-- The pool's collateral composition;
-- The credit enhancement provided for this transaction;
-- The transaction's associated structural mechanics;
-- The transaction's representation and warranty (R&W) framework;
and
-- The mortgage originator.
PRELIMINARY RATINGS ASSIGNED(i)
Angel Oak Mortgage Trust 2019-3
Class Prelim rtg Prelim amount ($)
A-1 AAA (sf) 227,037,000
A-2 AA (sf) 26,687,000
A-3 A (sf) 53,185,000
M-1 BBB- (sf) 31,263,000
B-1 BB (sf) 16,203,000
B-2 B (sf) 16,585,000
B-3 NR 10,293,566
A-IO-S NR Notional(ii)
XS NR Notional(ii)
R NR N/A
(i)The collateral and structural information in this report
reflects the term sheet dated May 28, 2019. The preliminary ratings
address the ultimate payment of interest and principal.
(ii)The notional amount equals the loans' stated principal balance.
NR--Not rated.
N/A--Not applicable.
APIDOS CLO XXXI: Moody's Rates $27.4MM Class E Notes 'Ba3'
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Moody's Investors Service has assigned ratings to three classes of
notes issued by Apidos CLO XXXI (the "Issuer" or "Apidos XXXI").
Moody's rating action is as follows:
US$370,150,000 Class A-1 Senior Secured Floating Rate Notes due
2031 (the "Class A-1 Notes"), Definitive Rating Assigned
Aaa (sf)
US$39,350,000 Class A-2 Senior Secured Floating Rate Notes due
2031 (the "Class A-2 Notes"), Definitive Rating Assigned
Aaa (sf)
US$27,400,000 Class E Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class E Notes"), Definitive Rating Assigned
Ba3 (sf)
The Class A-1 Notes, the Class A-2 Notes and the Class E Notes are
referred to herein, collectively, as the "Rated Notes."
RATINGS RATIONALE
Apidos XXXI is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90% of the portfolio must consist of
first lien senior secured loans, cash, and eligible investments,
and up to 10% of the portfolio may consist of second lien loans and
unsecured loans. The portfolio is approximately 75% ramped as of
the closing date.
CVC Credit Partners U.S. CLO 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, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.
In addition to the Rated Notes, the Issuer issued four other
classes of secured notes and one class of subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in March 2019.
For modeling purposes, Moody's used the following base-case
assumptions:
-- Par amount: $630,000,000
-- Diversity Score: 75
-- Weighted Average Rating Factor (WARF): 2876
-- Weighted Average Spread (WAS): 3.30%
-- Weighted Average Coupon (WAC): 7.00%
-- Weighted Average Recovery Rate (WARR): 47.25%
-- 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
March 2019.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
BARINGS CLO 2019-III: Moody's Rates $17.7MM Class E Notes 'Ba3'
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Moody's Investors Service has assigned ratings to three classes of
notes issued by Barings CLO Ltd. 2019-III (the "Issuer" or "Barings
2019-III").
Moody's rating action is as follows:
US$231,000,000 Class A-1 Senior Secured Floating Rate Notes due
2031 (the "Class A-1 Notes"), Definitive Rating Assigned
Aaa (sf)
US$25,000,000 Class A-2 Senior Secured Floating Rate Notes due
2031 (the "Class A-2 Notes"), Definitive Rating Assigned
Aaa (sf)
US$17,750,000 Class E Secured Deferrable Mezzanine Floating
Rate Notes due 2031 (the "Class E Notes"), Definitive Rating
Assigned Ba3 (sf)
The Class A-1 Notes, the Class A-2 Notes and the Class E Notes are
referred to herein, collectively, as the "Rated Notes."
RATINGS RATIONALE
The rationale for the ratings is based on a consideration of the
risks associated with the CLO's portfolio and structure as
described in Moody's methodology.
Barings 2019-III is a managed cash flow CLO. The issued notes will
be collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90% of the portfolio must consist of
first lien senior secured loans and eligible investments, and up to
10% of the portfolio may consist of second lien loans and unsecured
loans. The portfolio is approximately 90% ramped as of the closing
date.
Barings 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,
subject to certain restrictions, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets.
In addition to the Rated Notes, the Issuer issued three other
classes of secured notes and one class of subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in March 2019.
For modeling purposes, Moody's used the following base-case
assumptions:
-- Par amount: $400,000,000
-- Diversity Score: 65
-- Weighted Average Rating Factor (WARF): 2894
-- Weighted Average Spread (WAS): 3.45%
-- Weighted Average Coupon (WAC): 7.00%
-- Weighted Average Recovery Rate (WARR): 46.75%
-- 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
March 2019.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
BEAR STEARNS 2005-PWR7: Fitch Affirms D Rating on 8 Tranches
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Fitch Ratings has affirmed 13 classes of Bear Stearns Commercial
Mortgage Securities Trust (BSCMS) commercial mortgage pass-through
certificates series 2005-PWR7.
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7
Class
B Affirmed BB
C Affirmed B
D Affirmed CCC
E Affirmed CC
F Affirmed C
G Affirmed D
H Affirmed D
J Affirmed D
K Affirmed D
L Affirmed D
M Affirmed D
N Affirmed D
P Affirmed D
KEY RATING DRIVERS
Stable Loss Expectations: The affirmations reflect the relatively
stable loss expectations since Fitch's last rating action. Although
credit enhancement (CE) is high, ratings were capped below
investment grade as the pool is concentrated and the classes are
reliant on recoveries from the specially serviced loan, which
comprises 69% of the pool.
Minimal Change to Credit Enhancement: The pool has seen a minimal
increase in CE since Fitch's prior rating action. As of the April
2019 remittance report, the pool has been reduced by 93.9% to $69.2
million from $1.1 billion at issuance, which includes $58.8 million
in realized losses (5.23% of the original pool balance).
Specially Serviced Loan, Shops at Boca Park: The largest loan in
the pool (69% of the pool balance) is secured by a 247,472-sf
anchored retail center located in Las Vegas, NV. The loan had
originally transferred to special servicing in October 2009 for
imminent default, and the borrower subsequently filed for
bankruptcy in June 2010. The loan was modified in November 2012,
which included an extension of the interest-only period and
maturity, and a reduction in the interest rate. The loan matured in
January 2016 without repayment and transferred back to special
servicing in February 2016. According to service updates, the asset
is being held to pursue leasing opportunities. As of the March 2019
rent roll, property occupancy was reported at 83% up from 42% in
March 2017. Fitch continues to monitor the status of any
negotiations and/or resolution.
Pool Concentration: The pool is highly concentrated with only eight
of the original 124 loans remaining. Of the remaining loans, three
are fully-defeased (2.7%), four are designated as Fitch Loans of
Concern (FLOC; 28%) due to low debt service coverage ratios,
substantial upcoming roll and/or imminent maturities, and the
largest loan (69%) is in special servicing.
RATING SENSITIVITIES
Fitch's analysis included a conservative loss assumption on the
specially serviced loan. The Rating Outlooks on classes B and C are
considered Stable due to high credit enhancement. Upgrades are
unlikely due to adverse selection, remaining collateral quality and
pool concentrations. Downgrades to the distressed classes could
occur if a loss on the specially serviced loan exceeds Fitch's
expectations if pool performance deteriorates, or as losses are
realized.
CD 2007-CD5: S&P Cuts Ratings on Four Classes of Certificates
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S&P Global Ratings lowered its ratings on four classes of
commercial mortgage pass-through certificates from CD 2007-CD5
Mortgage Trust, a U.S. commercial mortgage-backed securities (CMBS)
transaction.
The downgrades on classes D, E, F, and G reflect their
susceptibility to reduced liquidity support or continued interest
shortfalls from the nine specially serviced assets ($104.0 million,
97.8%), as well as credit support erosion that S&P anticipates will
occur upon the eventual resolution of the specially serviced
assets. Specifically, S&P lowered its ratings on classes F and G to
'D (sf)' due to accumulated interest shortfalls that it expects to
remain outstanding in the near term. Classes F and G had
accumulated interest shortfalls outstanding for nine consecutive
months.
While class E has accumulated interest shortfalls outstanding for
seven consecutive months, S&P's rating action considered the
potential for the shortfalls as well as the class' outstanding
principal balance to be repaid in full from specially serviced
assets resolutions in the near term. However, if the accumulated
interest shortfalls on class E remain outstanding for a prolonged
period of time, S&P may revisit its analysis and further lower the
rating to 'D (sf)'. According to the May 16, 2019, trustee
remittance report, the current net monthly interest shortfalls
totaled $374,620 and resulted primarily from:
-- Interest not advanced due to nonrecoverable determination
totaling $272,421;
-- Net appraisal subordinate entitlement reduction amounts
totaling $80,511; and
-- Special servicing fees totaling $21,688.
TRANSACTION SUMMARY
As of the May 16, 2019, trustee remittance report, the collateral
pool balance was $106.4 million, which is 5.1% of the pool balance
at issuance. The pool currently includes three loans and seven real
estate owned (REO) assets, down from 161 loans at issuance. Nine of
these assets are with the special servicer, and no loans are on the
master servicers' combined watchlist or are defeased.
Excluding the specially serviced assets, S&P calculated a 1.54x S&P
Global Ratings' debt service coverage (DSC) and 54.1% S&P Global
Ratings' loan-to-value ratio using a 7.75% S&P Global Ratings'
capitalization rate for the sole performing Fletcher Square
Shopping Center loan.
To date, the transaction has experienced $119.0 million in
principal losses, or 5.7% of the original pool trust balance. S&P
expects losses to reach approximately 8.2% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses it expects upon the eventual resolution of
the nine specially serviced assets.
CREDIT CONSIDERATIONS
As of the May 16, 2019, trustee remittance report, nine assets in
the pool were with the special servicer, LNR Partners LLC. Details
of the two largest specially serviced assets, are as follows:
The Versar Center Office Building loan ($25.6 million, 24.1%) is
the largest asset in the pool and has a total reported exposure of
$26.1 million. The loan, which has a foreclosure-in-process payment
status, is secured by a 217,396-sq.-ft. suburban office property in
Springfield, Va. The loan was transferred to the special servicer
on Oct. 13, 2014, for imminent default. The reported DSC and
occupancy as of Dec. 31, 2018, were 0.78x and 49.0%, respectively.
The master servicer for the loan has deemed it nonrecoverable. S&P
expects a moderate loss (26%-59%) upon this loan's eventual
resolution.
The Parkway Plaza REO asset ($24.6 million, 23.1%) is the
second-largest asset in the pool and has a total reported exposure
of $29.2 million. The asset is a 262,624-sq.-ft. retail property in
Norman, Okla. The loan was transferred to the special servicer on
May 2, 2016, for imminent default, and the property became REO on
Feb. 12, 2018. An appraisal reduction amount of $17.6 million is in
effect against this asset. The reported DSC for the nine months
ended Sept. 30, 2018, were 0.69x, and occupancy as of Sept. 30,
2018, was 69.0%, respectively. S&P expects a significant loss
(greater than 60%) upon this asset's eventual resolution. The
seven remaining assets with the special servicer each have
individual balances that represent less than 17.7% of the total
pool trust balance. S&P estimated losses for the nine specially
serviced assets, arriving at a weighted-average loss severity of
49.8%.
RATINGS LOWERED
CD 2007-CD5 Mortgage Trust
Commercial mortgage pass-through certificates
Rating
Class To From
D BB- (sf) BBB+ (sf)
E CCC- (sf) BBB- (sf)
F D (sf) B+ (sf)
G D (sf) B- (sf)
CEDAR FUNDING XI: S&P Assigns B- (sf) Rating to $8MM Class F Notes
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S&P Global Ratings assigned its ratings to Cedar Funding XI CLO
Ltd./Cedar Funding XI CLO LLC's fixed- and floating-rate notes and
combination notes.
The note issuance is collateralized loan obligation (CLO)
transaction backed by primarily broadly syndicated
speculative-grade (rated 'BB+' and lower) 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 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.
S&P's principal-only rating on the combination notes (which consist
of $31.5 million class B-1 notes, $20.25 million class C notes,
$6.25 million class D notes, $9.0 million class E notes, and $8.0
million class F notes) takes into account its cash flow analysis,
assuming paydowns to the principal balance of the combination notes
from both interest and principal payments from the underlying
notes.
RATINGS ASSIGNED
Cedar Funding XI CLO Ltd./Cedar Funding XI CLO LLC
Class Rating Amount (mil. $)
A-1A AAA (sf) 190.00
A-1F AAA (sf) 50.00
A-2 NR 20.00
B-1 AA (sf) 31.50
B-F AA (sf) 14.50
C (deferrable) A- (sf) 26.00
D (deferrable) BBB- (sf) 20.00
E (deferrable) BB- (sf) 13.50
F (deferrable) B- (sf) 8.00
Subordinated notes NR 30.50
R combination notes(i) A-p (sf) 75.00
(i)The class R combination notes are backed by $31.5 million class
B-1 notes, $20.25 million class C notes, $6.25 million class D
notes, $9.0 million class E notes, and $8.0 million class F notes.
CFCRE 2017-C8: Fitch Affirms 'B-sf' Ratings on 2 Tranches
---------------------------------------------------------
Fitch Ratings has affirmed 17 classes of CFCRE Commercial Mortgage
Trust 2017-C8 (CFCRE 2017-C8) Commercial Mortgage Pass-Through
Certificates.
The Affirmed Ratings are:
CFCRE 2017-C8
A-1 12532CAW5 AAAsf
A-2 12532CAX3 AAAsf
A-3 12532CAZ8 AAAsf
A-4 12532CBA2 AAAsf
A-M 12532CBB0 AAAsf
A-SB 12532CAY1 AAAsf
B 12532CBC8 AA-sf
C 12532CBD6 A-sf
D 12532CAA3 BBB-sf
E 12532CAC9 BB-sf
F 12532CAE5 B-sf
X-A 12532CBE4 AAAsf
X-B 12532CBF1 AA-sf
X-C 12532CBG9 A-sf
X-D 12532CAJ4 BBB-sf
X-E 12532CAL9 BB-sf
X-F 12532CAN5 B-sf
KEY RATING DRIVERS
Stable Performance and Loss Expectations: The affirmations reflect
the pool's generally stable performance that remains in line with
Fitch's expectations at issuance. Two loans (1.9% of the pool) have
been designated as Fitch Loans of Concern (FLOC), including one
loan (1.5%) that transferred to special servicing. No loans have
been disposed since issuance and the original 43 loans remain in
the pool. As property-level performance is generally in line with
issuance expectations, the original rating analysis was considered
in affirming the transaction.
Minimal Change to Credit Enhancement: As of the April 2019
distribution date, the pool's aggregate principal balance has been
paid down by 6% to $637.6 million from $644.7 million at issuance.
Based on the scheduled balance at maturity, the pool will pay down
by 10.8%. Seven loans (24.3%) are full-term interest only (IO),
while eight loans (21.9%) remain in their partial IO periods.
Fitch Loans of Concern: Two loans (1.9%) have been designated as
FLOCs. The largest FLOC, the Hickory Corners loan (1.5%), is
secured by a 156,474 sf anchored community shopping center located
in Hickory, NC. The property transferred to special servicing in
October 2018 after the sponsor was indicted for securities fraud. A
receiver was appointed and is currently marketing the property for
sale. The loan remains current.
The other FLOC is the Best Western Syracuse-Liverpool loan (0.5%),
which is secured by a 61 unit limited service hotel located in
Liverpool, NY. The loan has been designated as a FLOC due to
performance issues. The servicer-reported NOI debt service coverage
ratio was 0.61x at YE 2017 and 1.03x for YTD September 2018. The
borrower attributes the performance decline to ongoing property
renovations and an increase in competition in the area. According
to the TTM March 2019 STR report, the subject outperforms its comp
set in occupancy (70.9% versus 60.2%), but is outperformed in
average daily rate ($82 versus $97), resulting in RevPAR
penetration of slightly below its comp set at 98.5%.
Single-Tenant Properties: Five of the 20 largest loans are
collateralized by single-tenant properties (19.6% of the pool):
Yeshiva University Portfolio (5.5%), 380 Lafayette Street (5.1%),
Google Kirkland Campus Phase II (3.5%), Art Van Portfolio (3.2%)
and Brink's Office (2.3%). At issuance, Fitch conducted a
dark-value analysis to test the probability of recovery in the
event that the tenant in each case vacated the entire property.
Fitch was comfortable the dark value covers the implied high
investment-grade proceeds for the single-tenant properties sampled,
except the Yeshiva University Portfolio. Fitch increased the
'AAAsf' lost estimate to account for the shortfall allocable to the
Yeshiva University Portfolio loan.
Pari Passu Loans: Ten loans (36.2% of the pool), including five of
the top ten, are pari passu loans.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset-level event changes the transaction's overall
portfolio-level metrics.
CIM TRUST 2019-INV2: Moody's Assigns (P)B2 Rating on Cl. B-5 Debt
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Moody's Investors Service has assigned provisional ratings to 24
classes of residential mortgage-backed securities (RMBS) issued by
CIM Trust 2019-INV2. The ratings range from (P)Aaa (sf) to (P)B2
(sf).
CIM Trust 2019-INV2, the second rated transaction sponsored by
Chimera Investment Corporation (Chimera or the Sponsor) in 2019, is
a prime RMBS securitization of fixed-rate investment property
mortgage loans secured by first liens on agency-eligible non-owner
occupied residential investor properties with original term to
maturity of up to 30 years.
All of the loans are underwritten in accordance with Freddie Mac or
Fannie Mae guidelines, which take into consideration, among other
factors, the income, assets, employment and credit score of the
borrower. All the loans were run through one of the
government-sponsored enterprises' (GSE) automated underwriting
systems (AUS) and received an "Approve" or "Accept"
recommendation.
As of the cut-off date of May 1, 2019, the pool consists of 1,438
mortgage loans with an aggregate principal balance of $364,220,181
secured by one- to four-family residential properties, planned unit
developments and condominiums. The average stated principal balance
is $253,282 and the weighted average (WA) current mortgage rate is
5.10%. The mortgage pool has a WA seasoning of 5.7 months. The
borrowers have a WA credit score of 775, WA combined loan-to-value
ratio (CLTV) of 67.91% and WA debt-to-income ratio (DTI) of 33.39%.
Approximately 6.19% of the pool balance is related to borrowers
with more than one mortgage loan in the pool. Most of the
properties are located in California (27.8% by balance).
The mortgage loans were acquired by the affiliates of the Sponsor,
Chimera Funding TRS LLC and Chimera Residential Mortgage Inc.
(Sellers) from Bank of America, National Association (BANA). BANA
acquired the mortgage loans through its whole loan purchase program
from various originators. The Sponsor, a publicly traded real
estate investment trust, is the parent of each Seller.
Each mortgage loan was represented by the related originator to be
secured by an investment property (which includes for such purpose
both business purpose loans and personal use loans). None of the
"business-purpose" mortgage loans included in CIM Trust 2019-INV2
are qualified residential mortgages under U.S. risk retention
rules. All of the personal use loans are "qualified mortgages"
under Regulation Z as result of the temporary provision allowing
qualified mortgage status for loans eligible for purchase,
guaranty, or insurance by Fannie Mae and Freddie Mac (and certain
other federal agencies). As of the closing date, the Sponsor or a
majority-owned affiliate of the Sponsor will retain an eligible
horizontal residual interest with a fair value of at least 5% of
the aggregate fair value of the certificates issued by the trust,
which is expected to satisfy U.S. risk retention rules.
Shellpoint Mortgage Servicing (Shellpoint), Amerihome Mortgage
Company LLC (AmeriHome) and TIAA, FSB will service 84.79%, 11.69%
and 3.53% of the mortgage loan pool by balance, respectively. With
respect to the AmeriHome mortgage loans, it is anticipated that
substantially all of the servicing duties will be performed through
Cenlar FSB (Cenlar), as the subservicer designated by AmeriHome.
Wells Fargo Bank, N.A. (Wells Fargo, Aa2) will be the master
servicer. The servicers will be primarily responsible for funding
certain servicing advances and delinquent scheduled interest and
principal payments for the mortgage loans, unless the servicer
determines that such amounts would not be recoverable. The master
servicer is obligated to fund any required monthly advances if the
servicer fails in its obligation to do so. The master servicer and
servicer will be entitled to reimbursements for any such monthly
advances from future payments and collections (including insurance
and liquidation proceeds) with respect to those mortgage loans.
CIM Trust 2019-INV2 has a shifting interest structure with a
five-year lockout period that benefits from a senior subordination
floor and a subordinate floor.
Moody's coded the cash flow to each of the certificate classes
using Moody's proprietary cash flow model. In Moody's analysis of
tail risk, it considered the increased risk from borrowers with
more than one mortgage in the pool.
The complete rating actions are as follows:
Issuer: CIM Trust 2019-INV2
-- Cl. A-1, Assigned (P)Aaa (sf)
-- Cl. A-2, Assigned (P)Aaa (sf)
-- Cl. A-3, Assigned (P)Aaa (sf)
-- Cl. A-4, Assigned (P)Aaa (sf)
-- Cl. A-5, Assigned (P)Aaa (sf)
-- Cl. A-6, Assigned (P)Aaa (sf)
-- Cl. A-7, Assigned (P)Aaa (sf)
-- Cl. A-8, Assigned (P)Aaa (sf)
-- Cl. A-9, Assigned (P)Aaa (sf)
-- Cl. A-10, Assigned (P)Aaa (sf)
-- Cl. A-11, Assigned (P)Aaa (sf)
-- Cl. A-12, Assigned (P)Aaa (sf)
-- Cl. A-13, Assigned (P)Aaa (sf)
-- Cl. A-14, Assigned (P)Aa1 (sf)
-- Cl. A-15, Assigned (P)Aa1 (sf)
-- Cl. A-16, Assigned (P)Aaa (sf)
-- Cl. A-17, Assigned (P)Aa1 (sf)
-- Cl. B-1, Assigned (P)Aa3 (sf)
-- Cl. B-1A, Assigned (P)Aa3 (sf)
-- Cl. B-2, Assigned (P)A2 (sf)
-- Cl. B-2A, Assigned (P)A2 (sf)
-- Cl. B-3, Assigned (P)Baa2 (sf)
-- Cl. B-4, Assigned (P)Ba2 (sf)
-- Cl. B-5, Assigned (P)B2 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected cumulative net loss on the aggregate pool is 0.80%
in a base scenario and reaches 8.50% at a stress level consistent
with the Aaa ratings.
Moody's said, "Our loss estimates are based on a loan-by-loan
assessment of the securitized collateral pool as of the cut-off
date using Moody's Individual Loan Level Analysis (MILAN) model.
Loan-level adjustments to the model included adjustments to
borrower probability of default for higher and lower borrower
debt-to-income ratios (DTIs), for borrowers with multiple mortgaged
properties, self-employed borrowers, and for risks related to
mortgaged properties in Homeownership associations (HOAs) in super
lien states. Our loss levels and provisional ratings on the
certificates also took into consideration qualitative factors such
as the results of the third-party due diligence review, origination
quality, the servicing arrangement, alignment of interest of the
Sponsor with investors, the representations and warranties (R&W)
framework and the transaction's legal structure and
documentation."
Collateral Description
The CIM Trust 2019-INV2 transaction is a securitization of 1,438
fixed rate agency-eligible mortgage loans secured by first liens on
non-owner occupied residential investor properties with original
terms to maturity up to 30 years (87.6% of pool balance between
25-30 years) with an unpaid principal balance of $364,220,181. The
mortgage pool has a weighted average (WA) seasoning of 5.7 months.
The loans in this transaction have strong borrower characteristics
with a WA original FICO score of 775 and a WA original combined
loan-to-value ratio (CLTV) of 67.91%. In addition, 21.54% of the
borrowers are self-employed and refinance loans (rate/term and cash
out) comprise about 35.31% of the aggregate pool. The pool has a
high geographic concentration with 27.8% of the aggregate pool
located in California and 8.0% located in the Los Angeles-Long
Beach-Anaheim, CA MSA. The characteristics of the loans underlying
the pool are generally comparable to CIM Trust 2019-INV1.
About 7.81% of the aggregate stated balance of the mortgage loans
as of the Cut-off Date (103 loans), have been 30 days or more
delinquent and are now current under the methodology used by the
Mortgage Bankers Association (the "MBA Method"). Of these loans, 97
loans with delinquencies of 30 days or more (counting 3 loans
displaying delinquencies of 90 days or more) occurred around the
time of a servicing transfer and the Sponsor believes that these
delinquencies were related to the transfer of the servicing on such
mortgage loans. The remaining balance of 6 loans were deemed not to
be related solely to the transfer of the servicing and have been
30-89 days delinquent during most recent 12-month pay history. We
took into consideration updated FICO scores for these 9 delinquent
borrowers (counting 3 loans displaying delinquencies of 90 days or
more) and adjusted our base case and Aaa loss assumptions
accordingly.
Origination Quality
Loans in the pool were originated by 8 different originators. The
largest originators in the pool with more than 10% by balance are
Provident Funding Associates, L.P. (50.03%), loanDepot.com, LLC
(19.46%), and AmeriHome (11.69%). We took into consideration the
origination quality of these originators and factored it in our
analysis. Moody's increased its base case and Aaa loss assumption
for the loans originated by Home Point Financial Corporation (2.18%
by balance) due to limited historical performance data, reduced
retail footprints which will limit the seller's oversight on
originations and lack of strong controls to support recent rapid
growth.
Third Party Review and Reps & Warranties (R&W)
Two third party review (TPR) firms verified the accuracy of the
loan-level information that we received from the Sponsor. These
firms conducted detailed credit, property valuation, data integrity
and regulatory compliance reviews on 100% of the mortgage pool. The
TPR results indicated compliance with the originators' and
aggregators' underwriting guidelines for the vast majority of the
loans, no material compliance issues, and no material appraisal
defects.
The TPR firms' property valuation review consisted of reviewing the
valuation materials utilized at origination to ensure the appraisal
report was complete and in conformity with AUS underwriting
guidelines. The TPR firms also compared the original appraisals to
third party valuation products, which began with Clear Capital and
Red Bell AVMs. Moody's believes that because the deal is utilizing
AVMs as a comparison to verify the original appraisals, this is
much weaker than if they had done CDAs for the entire pool. Loans
with variance greater than 10% received a CDA. Loans with negative
CDA variances greater than 10% had a field review conducted in some
cases. Moody's took this framework into consideration and applied
an adjustment to loans for which only an AVM was conducted.
Each originator will provide comprehensive loan level reps and
warranties for their respective loans. BANA will assign each
originator's R&W to the Sellers, who will in turn assign to the
depositor, which will assign to the trust. To mitigate the
potential concerns regarding the originators' ability to meet their
respective R&W obligations, the Sellers will backstop the R&Ws for
all originators loans. The Sellers obligation to backstop third
party R&Ws will terminate 5 years after the closing date, subject
to certain performance conditions. The Sellers will also provide
the gap reps.
The R&W framework is adequate in part because the results of the
independent TPRs revealed a high level of compliance with
underwriting guidelines and regulations, as well as overall
adequate appraisal quality. These results give confidence that the
loans do not systemically breach the R&Ws the originators have made
and that the originators are unlikely to face material repurchase
requests in the future. Furthermore, the transaction has reasonably
well-defined processes in place to identify loans with defects on
an ongoing basis. In this transaction, an independent reviewer,
when appointed, must review loans for breaches of representations
and warranties when certain clearly defined triggers have been
breached (Review Event). A Review Event will be in effect for a
mortgage loan if (i) such mortgage loan has become 120 days or more
delinquent, (ii) such mortgage loan is liquidated and such
liquidation results in a realized loss, or (iii) the related
servicer determines that a monthly advance for a mortgage loan is
nonrecoverable. Overall, the loan-level R&Ws are strong and, in
general, either meet or exceed the baseline set of credit-neutral
R&Ws Moody's identified for US RMBS. Among other considerations,
the R&Ws address property valuation, underwriting, fraud, data
accuracy, regulatory compliance, the presence of title and hazard
insurance, the absence of material property damage, and the
enforceability of mortgage.
Tail Risk and Subordination Floor
The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to increased performance
volatility, known as tail risk. The transaction provides for a
senior subordination floor of 1.55% of the closing pool balance,
which mitigates tail risk by protecting the senior bonds from
eroding credit enhancement over time. Additionally there is a
subordination lock-out amount which is 0.70% of the closing pool
balance.
Exposure to Extraordinary expenses
Extraordinary trust expenses in this transaction are deducted from
net WAC. Moody's believes there is a very low likelihood that the
rated certificates in CIM Trust 2019-INV2 will incur any losses
from extraordinary expenses or indemnification payments from
potential future lawsuits against key deal parties. Firstly, the
loans are of prime quality and were originated under a regulatory
environment that requires tighter controls for originations than
pre-crisis, which reduces the likelihood that the loans have
defects that could form the basis of a lawsuit. Secondly, the
transaction has reasonably well-defined processes in place to
identify loans with defects on an ongoing basis. In this
transaction, an independent reviewer, when appointed, must review
loans for breaches of representations and warranties when certain
clearly defined triggers have been breached which reduces the
likelihood that parties will be sued for inaction. Furthermore, the
issuer has disclosed results of the credit, compliance and
valuation review of 100% of the mortgage loans by independent third
parties.
Other Considerations
In CIM Trust 2019-INV2, the controlling holder has the option to
hire at its own expense the independent reviewer upon the
occurrence of a Review Event. If there is no controlling holder (no
single entity holds a majority of the class principal amount of the
most subordinate class of certificates outstanding), the trustee
will appoint an independent reviewer at the cost of the trust.
However, if the controlling holder does not hire the independent
reviewer, the holders of more than 50% of the aggregate voting
interests of all outstanding certificates may direct (at their
expense) the trustee to appoint an independent reviewer. In this
transaction, the controlling holder can be the depositor or a
Seller (or an affiliate of these parties). If the controlling
holder is affiliated with the depositor, Seller or Sponsor, then
the controlling holder may not be motivated to discover and enforce
R&W breaches for which its affiliate is responsible.
The servicer will not commence foreclosure proceedings on a
mortgage loan unless the servicer has notified the controlling
holder at least five (5) business days in advance of the
foreclosure and the controlling holder has not objected to such
action. If the controlling holder objects, the servicer has to
obtain three appraisals from the appraisal firms as listed in the
pooling and servicing agreement (or, with respect to AmeriHome,
pursuant to the AmeriHome assumption and recognition agreement).
The cost of the appraisals are borne by the controlling holder. The
controlling holder will be required to purchase such mortgage loan
at a price equal to the highest of the three appraisals plus
accrued and unpaid interest on such mortgage loan as of the
purchase date. If the servicer cannot obtain three appraisals there
are alternate methods for determining the purchase price. If the
controlling holder fails to purchase the mortgage loan within the
time frame, the controlling holder forfeits any foreclosure rights
thereafter. Moody's considers this credit neutral because a) the
appraiser is chosen by the servicer from the approved list of
appraisers, b) the fair value of the property is decided by the
servicer, based on third party appraisals, and c) the controlling
holder will pay the fair price and accrued interest.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
COMM 2014-CCRE19: Fitch Affirms 'BBsf' Rating on Class E Certs
--------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of Deutsche Bank Securities,
Inc.'s COMM 2014-CCRE19 Commercial Mortgage Trust Pass-Through
Certificates.
The Affirmed Ratings are:
COMM 2014-CCRE19
Affirmed Rating
A-2 12592GAZ6 AAAsf
A-3 12592GBA0 AAAsf
A-4 12592GBC6 AAAsf
A-5 12592GBD4 AAAsf
A-M 12592GBF9 AAAsf
A-SB 12592GBB8 AAAsf
B 12592GBG7 AA-sf
C 12592GBJ1 A-sf
D 12592GAG8 BBB-sf
E 12592GAJ2 BBsf
PEZ 12592GBH5 A-sf
X-A 12592GBE2 AAAsf
X-B 12592GAA1 AA-sf
KEY RATING DRIVERS
Increased Credit Enhancement: Credit enhancement (CE) has increased
since Fitch's last rating action due to loan payoffs and continued
scheduled amortization. Two loans prepaid during their open period
in April 2019, including the prior fourth largest loan (Park at
Siena; 4.9% of last rating action pool balance) and one loan
outside of the top 15 (The Falls; 0.7%).
As of the April 2019 remittance, the pool's aggregate principal
balance has been reduced by 11.4% to $1.04 billion from $1.17
billion at issuance. Seven loans (9.7% of current pool) have been
defeased, up from two loans (1.3% of last rating action pool
balance). Four loans (12.1% of current pool) are full-term interest
only and 26 loans (37%) are partial-term interest only, 20 of which
(30.4%) are currently amortizing.
Stable Performance and Loss Expectations: Overall pool performance
and loss expectations for the majority of the pool remain
relatively stable since issuance. There are no loans currently in
special servicing. Realized losses to date have been minimal at
0.3% of original pool balance and are fully attributed to the
Pheasant Ridge Apartments II loan, which was disposed in April 2018
with a $3 million loss.
Fitch Loans of Concern: Fitch has designated six loans (10.3% of
pool balance) as Fitch Loans of Concern (FLOCs), including the
largest loan, Bridgepoint Tower (6.9%), and five loans outside of
the top 15 (3.4%). Bridgepoint Tower, an 11-story office property
located in Kearny Mesa, CA (approximately 10 miles north of San
Diego CBD), will become vacant as the sole tenant, Bridgepoint
Education, announced plans to relocate its headquarters from the
subject property to Chandler, AZ. Per local news sources, the
relocation will begin in early summer 2019, with plans to complete
the transition over the next 18-24 months. The tenant is expected
to continue making rent payments through its February 2020 lease
expiration.
The other five FLOCs outside of the top 15 include loans secured by
a suburban office property in Mount Laurel, NJ (0.9%); an office
property in Sacramento, CA (0.8%); an anchored retail center in
Charlottesville, VA (0.7%); a grocery-anchored retail center in
Boiling Springs, SC (0.6%); and a portfolio of multifamily
properties in Portland, ME (0.4%). These loans were flagged for
occupancy declines from tenants vacating and/or downsizing or
deterioration/damages.
Additional Considerations
High Hotel Concentration: The pool has a high hotel concentration
at 22.1% of the pool, including four of the top 15 loans (13.6%).
Hotel performance is considered more volatile and at its peak.
Limited Near-Term Maturities: One loan, the Post Ranch Inn (4.8% of
pool) has an upcoming anticipated repayment date in August 2019.
Five loans (5.3%) mature in 2019; one loan (1.6%) in 2021 and 59
loans (88.3%) mature in 2024.
RATING SENSITIVITIES
Rating Outlooks for all classes remain Stable due to increasing CE,
overall stable pool performance and expected continued paydown.
Future upgrades may occur with improved pool performance and
additional paydown or defeasance. Downgrades may be possible should
overall performance, primarily the FLOC Bridgepoint Tower, decline
significantly.
CREST LTD 2004-1: Fitch Lowers Ratings on 2 Debt Classes to 'Dsf'
-----------------------------------------------------------------
Fitch Ratings has downgraded two and affirmed nine classes from two
commercial real estate collateralized debt obligations (CRE CDOs)
with exposure to commercial mortgage-backed securities.
KEY RATING DRIVERS
Fitch has downgraded two and affirmed three classes of Crest
2004-1, Ltd. The downgrade of classes G-1 and G-2 to 'Dsf' reflects
the occurrence of an event of default; these classes defaulted on
their timely interest payment at the April 29, 2019 payment date.
The affirmation of classes H-1, H-2 and Preferred Shares at 'Csf'
reflect inevitable default; these classes are undercollateralized.
Fitch has affirmed six classes in ARCap 2003-1 Resecuritization,
Inc. The affirmation of these classes at 'Csf' reflects an
inevitable default. Class E is reliant upon collateral that has
already experienced principal write-down where limited recoveries
upon default are expected. Classes F through K is
undercollateralized.
This review was conducted under the framework described in Fitch's
'Global Structured Finance Rating Criteria' and 'Structured Finance
CDOs Surveillance Rating Criteria.' None of the reviewed
transactions were analyzed within the Portfolio Credit Model or a
cash flow model framework due to the concentrated nature of these
CDOs. Fitch also determined the impact of any structural features
to be minimal in the context of these outstanding CDO ratings or
where the hedge has expired. A look-through analysis of the
remaining underlying bonds was performed to determine the
collateral coverage of the remaining liabilities.
RATING SENSITIVITIES
Classes rated 'Csf' have limited sensitivity to further negative
migration given their highly distressed rating level. Classes may
be downgraded to 'Dsf' if they are non-deferrable classes that
experience any interest payment shortfalls or if the classes
experience principal write-downs at or prior to loan maturity.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to these rating actions.
Crest 2004-1, Ltd.
Fitch has downgraded the following ratings:
-- $2.6 million class G-1 to 'Dsf' from 'Csf';
-- $16.0 million class G-2 to 'Dsf' from 'Csf'.
Fitch has affirmed the following ratings:
-- $11.3 million class H-1 at 'Csf';
-- $2.0 million class H-2 at 'Csf';
-- $96.4 million Preferred Shares at 'Csf'.
ARCap 2003-1 Resecuritization, Inc.
Fitch has affirmed the following ratings:
-- $16.6 million class E at 'Csf';
-- $13.0 million class F at 'Csf';
-- $45.0 million class G at 'Csf';
-- $9.0 million class H at 'Csf';
-- $28.0 million class J at 'Csf';
-- $24.0 million class K at 'Csf'.
Fitch does not rate the class L and interest-only class X
certificates.
EXETER AUTOMOBILE 2018-2: S&P Affirms BB(sf) Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings raised its ratings on 28 classes of notes from
Exeter Automobile Receivables Trust 2015-1, 2015-2, 2015-3, 2016-1,
2016-2, 2016-3, 2017-1, 2017-2, 2017-3, 2018-1, and 2018-2. At the
same time, S&P affirmed its ratings on six classes of notes from
four of the transactions.
"The rating actions reflect the transactions' collateral
performance to date, our expectations regarding their future
collateral performance, and their structure and credit enhancement.
Additionally, we incorporated secondary credit factors, including
credit stability, payment priorities under various scenarios, and
sector- and issuer-specific analyses," S&P said. "Considering all
these factors, we believe the creditworthiness of the notes remains
consistent with the raised and affirmed ratings."
S&P maintained its expected cumulative net loss (CNL) ranges for
series 2015-3, 2016-1, 2016-2, 2016-3, 2017-1, 2017-2, 2017-3,
2018-1, and 2018-2. Series 2015-3, 2016-1, 2016-2, and 2016-3 are
all performing in line with S&P's previously revised expected CNL
ranges, which are higher than its initial expected CNL ranges.
Series 2017-1, 2017-2, 2017-3, 2018-1, and 2018-2 are all
performing in line with S&P's initial expected CNL ranges.
"In May 2018, we revised our expected CNL range for series 2015-1
and 2015-2, and these transactions are now performing better than
our revised expected CNL range. As result, we lowered our expected
CNL range to up to 18.50% for series 2015-1 and to 21.00%-22.00%
for series 2015-2," S&P said.
Table 1
Collateral Performance (%)(i)
Mo. Pool Current 60+ day
Series factor CNL delinq.
2015-1 50 12.63 17.77 16.01
2015-2 48 15.89 20.02 15.01
2015-3 43 19.43 20.33 13.68
2016-1 39 23.54 18.34 13.11
2016-2 36 26.79 17.70 12.55
2016-3 31 33.52 14.48 10.86
2017-1 27 38.30 12.29 10.43
2017-2 25 44.47 11.84 10.71
2017-3 20 53.15 9.01 8.99
2018-1 16 59.73 7.44 9.02
2018-2 13 67.72 6.01 7.60
(i)As of the May 2019 distribution date.
Mo.--Month.
CNL--cumulative net loss.
Table 2
Cumulative Net Loss Expectations (%)
Original Prior revised Current revised/
lifetime lifetime maintained lifetime
Series CNL exp. CNL exp.(i) CNL exp.(ii)
2015-1 17.50-18.50 19.00-19.50 Up to 18.50
2015-2 17.50-18.50 21.50-22.50 21.00-21.50
2015-3 17.50-18.50 22.00-23.00 22.00-23.00
2016-1 18.50-19.50 20.50-21.50 20.50-21.50
2016-2 18.75-19.75 20.50-21.50 20.50-21.50
2016-3 18.50-19.50 20.50-21.50 20.50-21.50
2017-1 19.75-20.75 N/A 19.75-20.75
2017-2 20.10-21.10 N/A 20.10-21.10
2017-3 20.00-21.00 N/A 20.00-21.00
2018-1 20.00-21.00 N/A 20.00-21.00
2018-2 20.50-21.50 N/A 20.50-21.50
(i)As of May 2018.
(ii)As of May 2019.
CNL exp.--Cumulative net loss expectations.
N/A–-Not applicable.
Each transaction contains a sequential principal payment structure
in which the notes are paid principal by seniority. Each
transaction also has credit enhancement in the form of a
nonamortizing reserve account, overcollateralization, subordination
for the higher-rated tranches, and excess spread. The credit
enhancement for each transaction is at the specified target or
floor, and each class' credit support continues to increase as a
percentage of the amortizing collateral balance.
In addition, the overcollateralization for each transaction can
step up to a higher target overcollateralization level if certain
CNL triggers are breached. Overcollateralization step-up tests
occur every three months and are curable on any following test
dates if the CNL rate is below the specified threshold. The series
2015-2 and 2015-3 transactions failed their tests, and their target
overcollateralization stepped up as a result. Series 2015-2
breached its test in the January 2017 collection month, and series
2015-3 breached its test in the December 2016 collection month. The
breaches have since been cured, and the overcollateralization
target subsequently stepped back down. All series are currently
below their CNL trigger levels.
Table 3
Hard Credit Support (%)(i)
Total hard Current total hard
credit support credit support
Series Class at issuance(ii) (% of current)(ii)
2015-1 C 15.80 102.71
2015-1 D 6.50 29.09
2015-2 C 15.55 85.45
2015-2 D 6.00 25.34
2015-3 C 16.50 79.93
2015-3 D 5.50 23.30
2016-1 C 21.50 76.18
2016-1 D 9.10 23.50
2016-2 B 29.75 97.97
2016-2 C 22.50 70.90
2016-2 D 9.75 23.32
2016-3 B 27.50 82.37
2016-3 C 16.25 48.81
2016-3 D 6.50 19.72
2017-1 B 30.10 80.22
2017-1 C 18.45 49.81
2017-1 D 7.50 21.22
2017-2 B 28.65 66.50
2017-2 C 20.00 47.05
2017-2 D 6.75 17.25
2017-3 A 43.50 86.44
2017-3 B 27.75 56.80
2017-3 C 14.75 32.34
2017-3 D 7.00 17.76
2018-1 A 56.95 100.72
2018-1 B 42.10 75.86
2018-1 C 28.15 52.51
2018-1 D 12.30 25.97
2018-1 E 7.30 17.60
2018-2 A 58.25 92.44
2018-2 B 45.00 72.88
2018-2 C 30.75 51.83
2018-2 D 14.75 28.21
2018-2 E 7.30 17.20
(i)As of the May 2019 distribution date.
(ii)Calculated as a percentage of the total gross receivable
pool balance and includes a reserve account,
overcollateralization, and, if applicable, subordination.
S&P considered the current hard credit enhancement compared with
the expected remaining CNL for those classes for which hard credit
enhancement alone -- without credit to the expected excess spread
-- was sufficient, in its view, to upgrade or affirm the notes. For
the other classes, the rating agency incorporated a cash flow
analysis to assess the loss coverage level, giving credit to excess
spread. S&P's various cash flow scenarios included forward-looking
assumptions on recoveries, timing of losses, and voluntary absolute
prepayment speeds that it believes are appropriate, given each
transaction's performance to date. Aside from its break-even cash
flow analysis, S&P also conducted sensitivity analyses for these
series to determine the impact that a moderate ('BBB') stress
scenario would have on its ratings if losses began trending higher
than its revised base-case loss expectation.
"We believe the results demonstrate that all of the classes for
which we have considered cashflow scenarios have adequate credit
enhancement at the raised or affirmed rating levels. We will
continue to monitor the performance of all outstanding transactions
to assess whether the credit enhancement remains sufficient, in our
view, to cover our cumulative net loss expectations under our
stress scenarios for each of the rated classes," S&P said.
RATINGS RAISED
Exeter Automobile Receivables Trust
Rating
Series Class To From
2015-1 D AAA (sf) BBB (sf)
2015-2 C AAA (sf) AA+ (sf)
2015-2 D AAA (sf) BBB- (sf)
2015-3 C AAA (sf) AA+ (sf)
2015-3 D A (sf) BBB+ (sf)
2016-1 C AAA (sf) AA+ (sf)
2016-1 D A- (sf) BBB (sf)
2016-2 B AAA (sf) AA+ (sf)
2016-2 C AAA (sf) AA (sf)
2016-2 D A- (sf) BBB- (sf)
2016-3 B AAA (sf) AA+ (sf)
2016-3 C AA (sf) A (sf)
2016-3 D BB+ (sf) BB (sf)
2017-1 B AAA (sf) AA (sf)
2017-1 C AA (sf) A (sf)
2017-1 D BBB- (sf) BB (sf)
2017-2 B AAA (sf) AA (sf)
2017-2 C AA (sf) A (sf)
2017-2 D BB+ (sf) BB (sf)
2017-3 A AAA (sf) AA (sf)
2017-3 B AA (sf) A (sf)
2017-3 C A- (sf) BBB (sf)
2018-1 B AAA (sf) AA (sf)
2018-1 C AA (sf) A (sf)
2018-1 D BBB+ (sf) BBB (sf)
2018-2 B AAA (sf) AA (sf)
2018-2 C AA- (sf) A (sf)
2018-2 D BBB+ (sf) BBB (sf)
RATINGS AFFIRMED
Exeter Automobile Receivables Trust
Series Class Rating
2015-1 C AAA (sf)
2017-3 D BB (sf)
2018-1 A AAA (sf)
2018-1 E BB (sf)
2018-2 A AAA (sf)
2018-2 E BB (sf)
GCAT 2019-NQM1: S&P Assigns Prelim B (sf) Rating to Class B-2 Certs
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to GCAT
2019-NQM1 Trust's mortgage pass-through certificates.
The certificate issuance is a residential mortgage-backed
securities (RMBS) transaction backed by U.S. residential mortgage
loans.
The preliminary ratings are based on information as of May 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 (R&W) framework for this
transaction; and
-- The mortgage aggregator, Blue River Mortgage TRS (BRM).
PRELIMINARY RATINGS ASSIGNED
GCAT 2019-NQM1 Trust
Class Rating(i) Amount ($)
A-1 AAA (sf) 277,287,000
A-2 AA (sf) 25,744,000
A-3 A (sf) 42,841,000
M-1 BBB (sf) 19,259,000
B-1 BB (sf) 12,774,000
B-2 B (sf) 8,843,000
B-3 NR 6,288,931
A-IO-S NR Notional(ii)
X NR Notional(ii)
R NR N/A
(i)The collateral and structural information in this report
reflects the term sheet dated May 23, 2019. The preliminary ratings
address S&P's expectation for the ultimate payment of interest and
principal.
(ii)The notional amount equals the loans' stated principal balance.
N/A--Not applicable.
NR--Not rated.
GMAC COMMERCIAL 1999-C2: Moody's Hikes Class X Debt Rating to Ca
----------------------------------------------------------------
Moody's Investors Service has affirmed the rating on one class and
upgraded the ratings on two classes in GMAC Commercial Mortgage
Securities, Inc. 1999-C2, Commercial Mortgage Pass-Through
Certificates, Series 1999-C2 as follows:
Cl. K, Upgraded to Aa3 (sf); previously on Mar 22, 2018
Upgraded to B3 (sf)
Cl. L, Affirmed C (sf); previously on Mar 22, 2018 Affirmed
C (sf)
Cl. X*, Upgraded to Ca (sf); previously on Mar 22, 2018
Affirmed C (sf)
* Reflects Interest Only Classes
RATINGS RATIONALE
The rating on Cl. L was affirmed because the ratings are consistent
with Moody's realized losses. Class L has already experienced a 95%
realized loss as result of previously liquidated loans.
The rating of Cl. K was upgraded due to the class being fully
covered by defeasance. However, the class had previously sustained
interest shortfalls for up to 15 consecutive months. All the
previous interest shortfalls have been repaid.
The rating on the interest only (IO) class was upgraded due to an
improvement in the credit quality of its referenced classes.
Moody's rating action reflects a base expected loss of 0.0% of the
current pooled balance, compared to 1.1% at Moody's last review.
Moody's base expected loss plus realized losses is now 2.2% of the
original pooled balance, compared to 2.3% at the last review.
Moody's does not anticipate losses from the remaining collateral in
the current environment. However, over the remaining life of the
transaction, losses may emerge from macro stresses to the
environment and changes in collateral performance. Moody's 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.
DEAL PERFORMANCE
As of the May 15, 2019 distribution date, the transaction's
aggregate certificate balance has decreased by 98.5% to $15 million
from $975 million at securitization. The certificates are
collateralized by two mortgage loans, both of which have defeased
and are secured by US government securities.
GOLDMAN SACHS 2011-GC5: Fitch Cuts Rating on Class F Debt to B-
---------------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed eight classes
of Goldman Sachs Commercial Mortgage Capital, LP, series 2011-GC5
commercial mortgage pass-through certificates.
KEY RATING DRIVERS
Higher Loss Expectations/Increased Fitch Loans of Concern: The
downgrade of class F to 'B-sf' and Negative Rating Outlooks on
classes D, E and F reflect higher loss expectations due to the
increasing number of Fitch Loans of Concern (FLOCs) within the top
15. Six loans have been identified as FLOCs (34.2%), primarily due
to upcoming lease rollover concerns and declining performance, of
which three (25.5%) are secured by regional malls, some of which
are located in secondary and tertiary markets.
The largest FLOC and second largest loan, Park Place Mall (15.4%),
is secured by 478,333 sf of a 1.06 million-sf, anchored, regional
mall in Tucson, AZ. The mall at issuance was anchored by Dillard's,
Macy's, Sears (non-collateral), Century Theaters (15.3% of NRA) and
Total Wine & More (5.6% of NRA), which are part of the mall's
collateral. Sears, owned by Seritage, vacated in July 2018, and
redevelopment plans include Round One Bowling & Entertainment and
additional retail with an expected completion date in 4Q19.
While the property has exhibited overall stable performance,
approximately 35% of NRA is expected to roll between 2019 and 2020,
including top tenants K-Momo (2.6% of NRA; Nov. 30, 2019), the Gap
(2.5% of NRA; Jan. 31, 2020) and Ulta Beauty (2.3% of NRA; Aug. 31,
2020). Additionally, Macy's lease expires in 2020. Per the master
servicer, the Gap vacated its space ahead of its 2020 lease
expiration, and Ulta is expected to renew.
The second largest FLOC and third largest loan, Parkdale Mall
(6.9%), is secured by 743,175 sf of a 1.4 million-sf, anchored,
retail center in Beaumont, TX. The property is anchored by a
Dillard's, Sears and JCPenney, none of which are collateral. The
non-collateral Macy's closed in 2017 and is expected to be
partially re-leased by Dick's Sporting Goods and Five Below. The
collateral is anchored by a Hollywood Theaters (5.9% of NRA;
December 2022) and Tilt Arcade (5.7% of NRA; January 2028). Per the
master servicer, Brightwood College (formerly 4.1% of NRA), the
fifth largest tenant with a lease expiration in November 2019,
vacated its space in February 2019 after losing its accreditation
from the Accrediting Council for Independent Colleges and funding
for operations. There is approximately 20% upcoming rollover
between 2019 and 2020, including Brightwood College.
The third largest FLOC and sixth largest loan, the Cole Portfolio
(4.1%), is secured by 17 retail properties totaling 496,618 sf
located throughout the U.S. The portfolio suffered a significant
decline in occupancy due to the largest property, Volusia Square
(47% of NRA), losing three of its tenants, Hobby Lobby (24.1% of
the center NRA), TJMaxx (12.3% of the center NRA) and Bealls Outlet
(4.5% of the center NRA) to a competing, newly constructed
lifestyle center. The vacant spaces remain dark. As of December
2018, Volusia Square was 36% occupied and the portfolio's total
occupancy was 67.2%, down from 86.4% at YE 2017 and 93.9% at YE
2016.
The fourth largest FLOC and seventh largest loan, Ashland Town
Center (3.2%), is secured by a 437,284-sf, anchored retail center
located in Ashland, KY. The collateral is anchored by a JCPenney
(23.6% of NRA; July 2028), Belk (14.9% of NRA; Jan. 31, 2020), Belk
Home Store (6.9% of NRA; Jan. 31, 2025), Cinemark (6.6% of NRA;
April 30, 2023) and TJMaxx (6.4% of NRA; May 31, 2020).
Approximately 27% of NRA is expected to roll in 2020, including the
second largest tenant, Belk. Fitch requested a leasing update from
the master servicer, but has not yet received a response. Per the
servicer-provided tenant sales, YoY sales at Belk and Belk Home
have declined 4.8% and 14%, respectively.
The fifth largest FLOC and eighth largest loan, the AppleTree
Business Park (3%), is secured by a 399,245-sf suburban office park
located in Cheektowaga, NY. The decline in performance is due to
the Center for Hospice (3.8% of NRA) vacating at lease expiration
in 2017 and Wellness Through Fitness (2.7% of NRA), which vacated
prior to lease expiration in 2021. Additionally, the property's
largest tenant, the IRS (24.1% of NRA), has a lease expiration in
December 2020.
The last FLOC and 15th largest loan, Harrison Executive Park (1.6%
of the pool), is secured by a 160,682-sf office park located in
Purchase, NY. The property has suffered declining performance due
to tenants vacating at their 2014 and 2015 lease expirations,
including Westmed Practice Partners (5% of NRA). The borrower
partially re-leased the space but offered significant rental
concessions.
Additional Loss Considerations: Fitch performed an additional
sensitivity scenario applying a 40% loss severity on Parkdale Mall
& Crossing (6.9%), a 25% loss severity on Ashland Town Center and a
25% loss severity on AppleTree Business Park, while also factoring
in the expected paydown of the transaction from the defeased loans.
The additional sensitivity scenarios took into consideration the
potential for outsized losses due to near-term rollover concerns,
declining in-line sales, tenant loss, potential Sears auction and
secondary market locations. This sensitivity analysis contributed
to the Negative Rating Outlooks on classes D, E and F.
Increasing Credit Enhancement/Defeasance: As of the May 2019
remittance, 49 of the original 74 loans remain. The pool was
reduced 35.3% to $1.13 billion from $1.175 billion at issuance.
Since Fitch's last rating action, the previous specially serviced
REO asset, The Hills (previously 1.2%), was disposed, which
resulted in better than expected recoveries, reducing the balance
of the A-3 class certificates by 13%. Losses were limited to the
non-rated class G certificates.
Fifteen loans (22.1%) are defeased, which include an additional
three loans (2.9%) since Fitch's last rating action. There are
currently no loans in special servicing. All the remaining loans
are expected to mature in 2021. Four loans (26.4% of the pool) are
interest only for the full loan term, three of which (25%) are in
the top 15. Four loans (2.2% of the pool) are partial interest only
and now amortizing. All the remaining loans are amortizing.
Interest shortfalls currently exist on the non-rated class G
certificates.
High Concentration of Retail Loans: Approximately 22 loans in the
pool (68.9% of the pool) are secured by retail properties,
including 10 (51%) of the top 15 loans in the pool. Four loans
(28.2%) are secured by regional malls located in secondary and
tertiary markets, including Beaumont, TX, Ashland, KY and
Plattsburgh, NY with exposure to and/or closure of at least one
anchor tenant, Sears, JCPenney or Macy's.
RATING SENSITIVITIES
The downgrade of class F and Negative Rating Outlooks on class D,
E, and F reflect the increased number of FLOCs and high retail
concentration of loans secured by anchored retail centers located
in tertiary and secondary markets. Downgrades to the classes are
possible should the performance of the FLOCs deteriorate further.
The Rating Outlooks for all other classes remain Stable due to
overall stable pool performance, better than expected recoveries on
the previously disposed REO asset and continued amortization.
Upgrades may occur with improved pool performance and additional
paydown or defeasance; however, they may be limited due to the high
retail concentration.
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, 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 downgraded the following rating:
-- $24 million class F to 'B-sf' from 'Bsf'; Outlook Negative;
Fitch has affirmed the following ratings and revised outlooks as
indicated:
-- $42.5 million class A-3 at 'AAAsf'; Outlook Stable;
-- $568.2 million class A-4 at 'AAAsf'; Outlook Stable;
-- $181.1 million class A-S at 'AAAsf'; Outlook Stable;
-- $791.9 million* class X-A at 'AAAsf'; Outlook Stable;
-- $96 million class B at 'AAsf'; Outlook Stable;
-- $69.8 million class C at 'Asf'; Outlook Stable;
-- $74.2 million class D at 'BBB-sf'; Outlook to Negative from
Stable;
-- $28.4 million class E at 'BBsf'; Outlook Negative.
*Notional amount and interest only.
Classes A-1 and A-2 have paid in full. Fitch does not rate the
class G and X-B certificates.
GREENWICH CAPITAL 2005-GG3: Moody's Cuts Cl. F Debt Rating to Caa3
------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
and downgraded the rating on one class in Greenwich Capital
Commercial Funding Corp., 2005-GG3, Commercial Mortgage
Pass-Through Certificates, Series 2005-GG3 as follows:
Cl. F, Downgraded to Caa3 (sf); previously on Jun 29, 2018
Affirmed Caa2 (sf)
Cl. G, Affirmed C (sf); previously on Jun 29, 2018 Affirmed
C (sf)
Cl. XC*, Affirmed C (sf); previously on Jun 29, 2018 Affirmed
C (sf)
* Reflects Interest Only Classes
RATINGS RATIONALE
The rating on Cl. F was downgraded due to higher anticipated losses
from the specially serviced loan. One loan, representing 84% of the
pool balance, is in special servicing.
The rating on Cl. G was affirmed because the rating is consistent
with Moody's expected loss plus realized losses. Cl. G has already
experienced a 28% realized loss as a result previously liquidated
loans.
The rating on the IO class, Cl. XC, was affirmed based on the
credit quality of its referenced classes.
Moody's rating action reflects a base expected loss of 51.5% of the
current pooled balance, compared to 36.5% at Moody's last review.
Moody's base expected loss plus realized losses is now 5.8% of the
original pooled balance, compared to 5.5% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
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, 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
February 2019.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 84% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for the specially serviced loan that it
expects will generate a loss and estimates a loss given default
based on a review of broker's opinions of value (if available),
other information from the special servicer, available market data
and Moody's internal data. The loss given default for each loan
also takes into consideration repayment of servicer advances to
date, estimated future advances and closing costs. Translating the
probability of default and loss given default into an expected loss
estimate, Moody's then applies the aggregate loss from specially
serviced loans to the most junior class and the recovery as a pay
down of principal to the most senior class.
DEAL PERFORMANCE
As of the May 10, 2019 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $69.6 million
from $3.6 billion at securitization. The certificates are
collateralized by four mortgage loans. Two loans, constituting 16%
of the pool, have defeased and are secured by US government
securities.
There are no loans currently on the master servicer's watchlist.
Thirty-eight loans have been liquidated from the pool, resulting in
an aggregate realized loss of $171.6 million (for an average loss
severity of 36%).
One loan, constituting 84% of the pool, is currently in special
servicing. The specially serviced loan is the Doral Arrowwood Hotel
Loan ($58.6 million -- 84.2% of the pool), which is secured by a
373-key resort hotel in Rye Brook, New York, approximately 25 miles
north of New York City. The property is part of the Doral Arrowwood
Golf Course. The loan was previously modified in 2015 which
included, among other items, (a) a loan term increase of 36 months
to a February 2018 maturity date with two, one year extension
options, (b) conversion to interest-only payments and (c) an
interest rate reduction from 6.0% to 4.7% through September 2015;
2.0% through September 2016; and then 3.0% for the remaining term.
Performance has declined due to decreased ADR as a result of Pfizer
decreasing their presence at the hotel. Pfizer had a long-term
contract with the property and was contracted at a significantly
higher room rate. The RevPAR for the trailing twelve month period
ending March 2019 was $88.7, respectively, compared to $96.4 for
the same period in 2018. The loan transferred again to special
servicing in February 2019 due to the Borrower's hardship letter.
The special servicer is currently dual tracking with foreclosure.
Moody's has estimated a material loss from this specially serviced
loan.
The sole remaining non-defeased performing loan is secured by a
retail property and represents 0.2% of the pool. The loan is
fully-amortizing, has amortized 96% since securitization and
matures in September 2019.
GS MORTGAGE 2019-GC39: Fitch Rates $7.7MM Class G-RR Certs 'B-'
---------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to GS Mortgage Securities Trust 2019-GC39 commercial
mortgage pass-through certificates series 2019-GC39.
-- $13,478,000 class A-1 'AAAsf'; Outlook Stable;
-- $122,528,000 class A-2 'AAAsf'; Outlook Stable;
-- $175,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $209,062,000 class A-4 'AAAsf'; Outlook Stable;
-- $21,171,000 class A-AB 'AAAsf'; Outlook Stable;
-- $622,424,000a class X-A 'AAAsf'; Outlook Stable;
-- $69,588,000a class X-B 'A-sf'; Outlook Stable;
-- $81,185,000 class A-S 'AAAsf'; Outlook Stable;
-- $35,761,000 class B 'AA-sf'; Outlook Stable;
-- $33,827,000 class C 'A-sf'; Outlook Stable;
-- $18,364,000b class D 'BBBsf'; Outlook Stable;
-- $32,861,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $14,497,000b class E 'BBB-sf'; Outlook Stable;
-- $15,464,000b class F 'BB-sf'; Outlook Stable;
-- $7,732,000bc class G-RR 'B-sf'; Outlook Stable.
The following classes are not rated by Fitch:
-- $25,129,711bc class H-RR;
-- $29,343,000bd class VRR Interest.
(a) Notional amount and interest only.
(b) Privately placed and pursuant to Rule 144A.
(c) Horizontal credit-risk retention interest.
(d) Vertical credit-risk retention interest.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 36 loans secured by 64
commercial properties having an aggregate principal balance of
$802,541,712 as of the cut-off date. The loans were contributed to
the trust by Goldman Sachs Mortgage Company and Citi Real Estate
Funding Inc.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 81.4% of the properties
by balance, cash flow analysis of 88.7% and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Credit Opinion Loans: Three loans representing 23.4% of the pool
have investment-grade credit opinions, which is above both the 2018
average of 13.6% and YTD 2019 average of 10.8%. Fitch's debt
service coverage ratio (DSCR) and loan to value ratio (LTV) net of
the credit opinion loans are 1.16x and 107.2%, respectively.
Pool Concentration: The top 10 loans in the pool comprise 63.9% of
the pool, reflecting higher concentration than the 2018 and YTD
2019 averages of 50.6% and 50.7%, respectively. The pool's 520/520
loan concentration index (LCI) and sponsor concentration index
(SCI) also indicate higher loan and sponsor concentration than the
2018 and YTD 2019 averages of 373/375 and 398/404, respectively.
Fitch Leverage: The pool's Fitch leverage is slightly better
compared with other Fitch-rated, fixed-rate, multi-borrower
transactions. The pool's Fitch DSCR of 1.19x is approximately in
line with the 2018 and YTD 2019 averages of 1.22x and 1.21x,
respectively. The pool's Fitch LTV of 98.2% is better than the 2018
and YTD 2019 averages of 102.0% and 102.3%, respectively.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 13.7% below
the most recent year's net operating income (NOI) for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period. Unanticipated further declines
in property-level NCF could result in higher defaults and loss
severities on defaulted loans and in potential rating actions on
the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the GSMS
2019-GC39 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'A-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBBsf'
could result.
HPS LOAN 14-2019: S&P Gives Prelim. B- Rating on $6.5MM F Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to HPS Loan
Management 14-2019 Ltd./HPS Loan Management 14-2019 LLC's
floating-rate notes.
The note issuance is a collateralized loan obligation (CLO)
transaction backed by a diversified collateral pool, which consists
primarily of broadly syndicated speculative-grade (rated 'BB+' and
lower) senior secured term loans that are governed by collateral
quality tests.
The preliminary ratings are based on information as of May 24,
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; and
-- The transaction's legal structure, which is expected to
be bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
HPS Loan Management 14-2019 Ltd./HPS Loan Management 14-2019 LLC
Class Rating Amount
(mil. $)
X AAA (sf) 4.50
A-1 AAA (sf) 279.00
A-2 NR 17.90
B AA (sf) 45.00
C A (sf) 27.10
D BBB- (sf) 27.00
E BB- (sf) 18.00
F B- (sf) 6.55
Subordinated notes NR 32.30
NR--Not rated.
INLAND EMPIRE: S&P Affirms CCC Ratings on 4 Classes of 2007 Bonds
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Inland Empire Tobacco
Securitization Authority's tobacco settlement bonds series 2019. At
the same time, S&P affirmed its ratings on the series 2007 class
C-1, C-2, D, and E bonds.
The bond issuance is an asset-backed securities (ABS) transaction
backed by the County of Riverside's (California) pledged tobacco
settlement revenues resulting from the master settlement agreement
(MSA) payments, the fully funded debt service reserve account, and
the interest income.
The ratings reflect:
-- The likelihood that timely interest and scheduled principal
payments will be made by the legal maturity date under the
appropriate rating stress level.
-- The credit quality of the two largest participating tobacco
manufacturers: Altria Group Inc., parent of Philip Morris USA Inc.
(Philip Morris), and British American Tobacco PLC (BAT), parent of
Reynolds American Inc.
-- The transaction's legal and payment structures.
-- The debt service reserve account of $10.5 million, which will
be fully funded at closing and only available to the series 2019
bonds.
RATING ASSIGNED
Inland Empire Tobacco Securitization Authority (Series 2019)
Series Rating Amount (mil. $)
2019 A- (sf) 100.4
RATINGS AFFIRMED
Inland Empire Tobacco Securitization Authority (Series 2007)
Class Maturity date Rating
C-1 June 1, 2036 CCC (sf)
C-2 June 1, 2047 CCC (sf)
D June 1, 2057 CCC (sf)
E June 1, 2057 CCC (sf)
JP MORGAN 2007-CIBC20: Moody's Lowers Class E Debt Rating to Ca
---------------------------------------------------------------
Moody's Investors Service has downgraded the rating on one class
and affirmed the ratings on four classes in J.P. Morgan Chase
Commercial Mortgage Securities Trust 2007-CIBC20, Commercial
Pass-Through Certificates, Series 2007-CIBC20 as follows:
Cl. D, Affirmed Caa2 (sf); previously on Apr 27, 2018 Affirmed
Caa2 (sf)
Cl. E, Downgraded to Ca (sf); previously on Apr 27, 2018
Affirmed Caa3 (sf)
Cl. F, Affirmed C (sf); previously on Apr 27, 2018 Affirmed
C (sf)
Cl. G, Affirmed C (sf); previously on Apr 27, 2018 Affirmed
C (sf)
Cl. H, Affirmed C (sf); previously on Apr 27, 2018 Affirmed
C (sf)
RATINGS RATIONALE
The rating on Cl. E was downgraded due to higher anticipated losses
from specially serviced loans. Five loans, representing 95% of the
pool balance are in special servicing and three of those specially
serviced loans, representing 33% of the pool balance, are already
real estate owned ("REO").
The ratings on the remaining four P&I classes, Cl. D, Cl. F, Cl. G
and Cl. H, were affirmed because the ratings are consistent with
Moody's expected loss plus realized losses.
Moody's rating action reflects a base expected loss of 59.8% of the
current pooled balance, compared to 47.8% at Moody's last review.
Moody's base expected loss plus realized losses is now 10.1% of the
original pooled balance, compared to 9.8% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, an increase in realized and
expected losses from specially serviced and troubled loans or
interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings "Moody's Approach
to Rating Large Loan and Single Asset/Single Borrower CMBS"
published in July 2017.
DEAL PERFORMANCE
As of the May 13, 2019 distribution date, the transaction's
aggregate certificate balance has decreased by 96% to $96.7 million
from $2.5 billion at securitization. The certificates are
collateralized by seven mortgage loans ranging in size from 2% to
45% 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 4, compared to 5 at Moody's last review.
One loan, constituting 2.5% 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-three loans have been liquidated from the pool, resulting in
an aggregate realized loss of $198 million (for an average loss
severity of 45%). Five loans, constituting 95.2% of the pool, are
currently in special servicing.
The largest specially serviced exposure is the Clark Tower -- A
note Loan ($43.3 million -- 44.8% of the pool) and Clark Tower - B
Note Loan ($16.9 million -- 17.6% of the pool). The loans are
secured by a 657,245 SF, 34-story, office building located in East
Memphis, Tennessee. The original $60.75 million loan transferred to
the special servicer in September 2013 and was subsequently
modified and bifurcated into a $43.5 million A-Note and a $16.9
million B-Note. The modification also extended the loan maturity
and reduced the interest rate to 5.0%. The loan transferred to
special servicing again in July 2018 due to maturity default. The
special servicer indicated they were unable to come to an
acceptable pay off offer by the borrower and are now pursuing
foreclosure. There is currently ongoing litigation between the
borrower and the trust. The property was 67% leased as of June 2018
,compared to 62% in September 2017.
The next largest specially serviced exposure is the Holiday Inn --
Harrisburg West ($12.6 million -- 13.0% of the pool), which is
secured by a 238-key, limited-service, hotel located in
Mechanicsburg, Pennsylvania, approximately 6 miles west of
Harrisburg. The loan transferred to the special servicer in July
2016 after the borrower indicated that they would be unable to
support the cash flow waterfall. The property's occupancy, ADR, and
revenue per available room (RevPAR) for the 12 month period ended
January 2019 was 38.2%, $77, and $29, respectively, compared to
45.7%, $76, and $35, respectively, for the same period in 2018. The
loan has been deemed non-recoverable.
The remaining two specially serviced loans are secured by a
hospitality and retail property. Moody's estimates an aggregate
$57.8 million loss for the specially serviced loans (63% expected
loss on average).
As of the May 13, 2019 remittance statement cumulative interest
shortfalls were $17.3 million and impact up to Class E. 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 two remaining performing loans represent 4.8% of the pool
balance. Both loans are fully amortizing, secured by retail
properties and have a Moody's LTV below 70%.
JP MORGAN 2017-JP6: Fitch Affirms B- Rating on Class G-RR Certs
---------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of J.P. Morgan Chase
Commercial Mortgage Securities Trust commercial mortgage
pass-through certificates, series 2017-JP6.
The Affirmed Ratings are:
JPMCC 2017-JP6
Old Rating New Rating
A-1 48128KAQ4 AAAsf AAAsf
A-2 48128KAR2 AAAsf AAAsf
A-3 48128KAS0 AAAsf AAAsf
A-4 48128KAT8 AAAsf AAAsf
A-5 48128KAU5 AAAsf AAAsf
A-S 48128KAX9 AAAsf AAAsf
A-SB 48128KBA8 AAAsf AAAsf
B 48128KAY7 AA-sf AA-sf
C 48128KAZ4 A-sf A-sf
D 48128KAA9 BBB+sf BBB+sf
E-RR 48128KAC5 BBB-sf BBB-sf
F-RR 48128KAE1 BB-sf BB-sf
G-RR 48128KAG6 B-sf B-sf
X-A 48128KAV3 AAAsf AAAsf
X-B 48128KAW1 A-sf A-sf
KEY RATING DRIVERS
Increased Loss Expectations: While overall pool performance remains
stable, loss expectations have increased due to the transfer of the
ninth largest loan, Pillsbury Portfolio (3.0%), to special
servicing. Two loans (6.2% of pool) have been designated as Fitch
Loans of Concern (FLOCs), both in the top 15, including the
specially serviced loan.
The Pillsbury Portfolio (3.0%) is a four-property, 254-unit senior
living portfolio located in Vermont. At issuance, approximately 50%
of the portfolio was assisted living and 50% was independent
living. The portfolio transferred to special servicing in August
2018 when the borrower failed to open the required lockbox
accounts. Media reports indicate that the portfolio was put under
state receivership in November 2018 due to significant management
issues. The servicer received notice of litigation concerning both
the borrower and the collateral and is working to enforce the
trust's rights under the loan documents. The loan has been
delinquent since October 2018.
Marriott Colorado Springs (3.2%) is a 309-key, full-service hotel
located in Colorado Springs, CO. Year-end 2018 RevPAR declined to
$84 compared with $90 at year-end 2017, resulting in a decline in
year-end 2018 NCF debt service coverage ratio (DSCR) to 1.28x from
2.00x at year-end 2017. Increased competition in the market has
resulted in declining occupancy and RevPAR year-over-year.
Minimal Change to Credit Enhancement: As of the April 2019
distribution date, the pool's aggregate principal balance has been
reduced by 0.92% to $779.4 million from $786.6 million at issuance.
Eight loans (34.5% of the current pool balance) are full-term
interest only and 18 loans (34.9%) are partial-term interest only,
four of which (10.4%) have begun amortizing. There are no defeased
loans and interest shortfalls are currently impacting class NR-RR.
ADDITIONAL CONSIDERATIONS
Pool Concentration: The largest ten loans in the pool account for
52.5% of the pool, with the largest loan accounting for 12.6% of
the pool. Loans backed by office properties represent 52.3% of the
pool, including nine (46.4%) in the top 15.
RATING SENSITIVITIES
The Rating Outlook for Class G-RR has been revised to Negative to
reflect the increase in loss expectations due to the transfer of
the Pillsbury Portfolio to special servicing. Rating Outlooks for
classes A-1 through F-RR remain Stable due to overall stable
performance of the pool and continued amortization. Upgrades may
occur with improved pool performance and additional paydown or
defeasance. Rating downgrades are possible if the performance of
the specially serviced loan declines or if performing loans
transfer to special servicing.
LB-UBS 2007-C7: S&P Affirms 'CCC+ (sf)' Rating on Class C Certs
---------------------------------------------------------------
S&P Global Ratings affirmed its 'CCC+ (sf)' rating on the class C
commercial mortgage pass-through certificates from LB-UBS
Commercial Mortgage Trust 2007-C7, a U.S. commercial
mortgage-backed securities (CMBS) transaction.
The affirmation on class C reflects its susceptibility to reduced
liquidity support from the four specially serviced assets ($58.9
million, 89.8% of the current asset pool balance) as well as credit
support erosion that S&P anticipates will occur upon the eventual
resolution of the specially serviced assets. While class C has
accumulated interest shortfalls outstanding for four consecutive
months, S&P's rating action considered the potential for the
shortfalls as well as the class' outstanding principal balance to
be repaid in full from resolutions of the specially serviced assets
in the near term. However, if the accumulated interest shortfalls
on the class remain outstanding for a prolonged period, S&P said it
may revisit its analysis and may lower the rating.
According to the May 17, 2019, trustee remittance report, the
current monthly interest shortfalls totaled $336,653 and resulted
primarily from:
-- Interest not advanced due to nonrecoverable determinations
totaling $145,292;
-- A net appraisal subordinate entitlement reduction amount
totaling $31,961;
-- Special servicing fees totaling $12,272; and
-- Additional trust expenses (real estate tax expenses) for the
specially serviced Soundview Marketplace real estate owned (REO)
asset totaling $222,375 (of which $81,570 was paid from monthly
principal amortization).
TRANSACTION SUMMARY
As of the May 17, 2019, trustee remittance report, the trust pool
balance was $65.0 million, which is 2.1% of the pool balance at
issuance. However, the collateral asset pool balance was $65.6
million for the same reporting period. The pool currently includes
two loans and four REO assets, down from 100 loans at issuance.
Four of these assets are with the special servicer, one loan ($0.5
million, 0.8% of the current asset balance) is on the master
servicer's watchlist, and one loan ($6.2 million, 9.4%) is a
corrected mortgage loan.
Excluding the specially serviced assets, the rating agency
calculated a 1.24x S&P Global Ratings weighted average debt service
coverage (DSC) and 91.8% S&P Global Ratings weighted average
loan-to-value ratio using a 10.11% S&P Global Ratings weighted
average capitalization rate for the two performing loans.
The transaction has experienced $243.9 million in principal losses,
or 7.7% of the original pool trust balance. S&P expects losses to
reach approximately 8.5% of the original pool trust balance in the
near term based on losses incurred to date and additional losses it
expects upon the eventual resolution of the four specially serviced
assets.
CREDIT CONSIDERATIONS
As of the May 17, 2019, trustee remittance report, four assets in
the pool were with the special servicer, C-III Asset Management LLC
(C-III). Details of the two largest specially serviced assets are
as follows:
The Fairfield Shopping Center REO asset ($26.1 million, 39.8%) is
the largest asset in the pool and has a total reported exposure of
$29.9 million. The asset is a 240,471-sq.-ft. retail power center
in Virginia Beach, Va. The loan was transferred to the special
servicer on Oct. 20, 2017, due to maturity default (it matured on
Oct. 11, 2017), and the property became REO on Jan. 22, 2019. An
appraisal reduction amount of $4.7 million is in effect against the
asset. Occupancy was 90.4% as of April 30, 2019. C-III stated that
it is working on selling the property. S&P expects a minimal loss
(less than 25%) upon its eventual resolution.
The Soundview Marketplace REO asset ($19.2 million, 29.2%) is the
second-largest asset in the pool and has a total reported exposure
of $21.1 million. The asset is a 183,979-sq.-ft. retail property in
Port Washington, N.Y. The loan was transferred to the special
servicer on March 30, 2010, due to imminent default, and the
property became REO on Jan. 31, 2014. The asset has been deemed
nonrecoverable. The reported occupancy was 67.2% as of March 31,
2019. C-III is currently evaluating its liquidation options. S&P
expects a significant loss (greater than 60%) upon its eventual
resolution.
The two remaining assets with the special servicer each have
individual balances that represent less than 16.0% of the total
asset pool balance. S&P estimated losses for the four specially
serviced assets, arriving at a weighted-average loss severity of
42.4%.
LBUBS COMMERCIAL 2006-C4: Moody's Hikes Cl. G Notes Rating to Caa3
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two classes
in LB-UBS Commercial Mortgage Trust 2006-C4, Commercial Mortgage
Pass-Through Certificates, Series 2006-C4, as follows:
Cl. F, Upgraded to Aa1 (sf); previously on Apr 12, 2018
Upgraded to B1 (sf)
Cl. G, Upgraded to Caa3 (sf); previously on Apr 12, 2018
Upgraded to Ca (sf)
RATINGS RATIONALE
The rating of Cl. F was upgraded due to the class being fully
covered by defeasance. However, the class had previously sustained
interest shortfalls for up to 12 consecutive months. All of the
previous interest shortfalls have been repaid.
The rating of Cl. G was upgraded due to paydowns and a decrease in
realized losses.
Moody's rating action reflects a base expected loss of 0.0% of the
current pooled balance, the same as at Moody's last review. Moody's
base expected loss plus realized losses is now 6.8% of the original
pooled balance, the same as at the last review. Moody's provides a
current list of base expected losses for conduit and fusion CMBS
transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
Moody's does not anticipate losses from the remaining collateral in
the current environment. However, over the remaining life of the
transaction, losses may emerge from macro stresses to the
environment and changes in collateral performance. Moody's ratings
reflect the potential for future losses under varying levels of
stress.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.
DEAL PERFORMANCE
As of the May 17, 2019 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $20.4 million
from $1.98 billion at securitization. The certificates are
collateralized by three mortgage loans. Two loans, constituting 23%
of the pool, have defeased and are secured by US government
securities.
There is no loan currently in special servicing or on the
servicer's watchlist. Forty-five loans have been liquidated from
the pool, resulting in an aggregate transaction realized loss of
$136 million ($131 million loss for the pooled balance) for an
average loss severity of 40%.
The remaining non-defeased loan is the Seven Corners Loan ($15.7
million -- 76.6% of the pool), which is secured by a 70,183 square
feet (SF) unanchored retail center located in Falls Church,
Virginia (less than 10 miles outside of Washington DC). The
property was 95% leased as of September 2018, compared to 97% as of
September 2017. Performance has remained stable since last review.
The loan matures in May 2020 and has amortized 13% since
securitization. Moody's LTV and stressed DSCR are 100% and 1.03X,
respectively, the same as at last review.
MADISON PARK XXXV: S&P Rates $30.25MM Class E Notes 'BB- (sf)'
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Madison Park Funding
XXXV Ltd./Madison Park Funding XXXV LLC's floating-rate notes.
The note issuance is a collateralized loan obligation (CLO)
transaction backed by primarily broadly syndicated
speculative-grade (rated 'BB+' and lower) 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 collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
Madison Park Funding XXXV Ltd./Madison Park Funding XXXV LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 480.00
A-2A NR 30.50
A-2B NR 5.50
B AA (sf) 80.00
C (deferrable) A (sf) 56.00
D (deferrable) BBB- (sf) 44.00
E (deferrable) BB- (sf) 30.25
Subordinated notes NR 75.00
NR--Not rated.
MCF CLO IX: S&P Assigns Prelim BB- (sf) Rating to Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to MCF CLO IX
Ltd./MCF CLO IX LLC's floating-rate notes and loans.
The note and loan issuance is collateralized loan obligation (CLO)
securitization backed by primarily middle market speculative-grade
senior secured term loans that are governed by collateral quality
tests.
The preliminary ratings are based on information as of May 30,
2019. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversified collateral pool;
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
MCF CLO IX Ltd./MCF CLO IX LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 105.00
A-1 loans AAA (sf) 50.00
A-2 AAA (sf) 20.00
B AA (sf) 20.00
C A (sf) 29.00
D BBB- (sf) 17.00
E BB- (sf) 21.00
Subordinate notes NR 38.78
NR--Not rated.
OHA CREDIT 3: S&P Assigns Prelim BB- (sf) Rating to Cl. E-2 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to OHA Credit
Funding 3 Ltd.'s fixed- and floating-rate notes.
The note issuance is a CLO transaction backed by primarily broadly
syndicated speculative-grade senior secured term loans that are
governed by collateral quality tests.
The preliminary ratings are based on information as of May 29,
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
OHA Credit Funding 3 Ltd./OHA Credit Funding 3 LLC
Class Rating Amount (mil. $)
X AAA (sf) 3.00(i)
A-1 AAA (sf) 427.00
A-2 NR 24.50
B-1 AA (sf) 63.00
B-2 AA (sf) 17.50
C (deferrable) A (sf) 42.00
D (deferrable) BBB- (sf) 38.50
E-1 (deferrable) BB- (sf) 14.00
E-2 (deferrable) BB- (sf) 14.00
Subordinated notes NR 64.50
(i)Class X notes are anticipated to be paid in seven equal
quarterly payments beginning with the second payment date.
NR--Not rated.
ORANGE LAKE 2019-A: S&P Rates $61.308MM Class D Notes 'BB- (sf)'
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Orange Lake Timeshare
Trust 2019-A's vacation ownership interest (timeshare) loan-backed
notes series 2019-A.
The note issuance is an asset-backed securities transaction backed
by vacation ownership interval (timeshare) loans.
The ratings reflect S&P's opinion of the credit enhancement
available in the form of overcollateralization, subordination (for
the class A, B, and C notes only), and excess spread. S&P's ratings
also reflect its view of Orange Lake Country Club Inc.'s servicing
ability and experience in the timeshare market.
RATINGS ASSIGNED
Orange Lake Timeshare Trust 2019-A
Amount
Class Rating (mil. $)
A AAA (sf) 103.893
B A (sf) 97.265
C BBB(sf) 63.960
D BB- (sf) 61.308
SPRUCE HILL 2019-SH1: S&P Assigns B (sf) Rating to Class B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Spruce Hill Mortgage
Loan Trust 2019-SH1's mortgage-backed notes.
The note issuance is a residential mortgage-backed transaction
backed by first-lien, fixed- and adjustable-rate, fully amortizing
residential mortgage loans secured by single-family residences,
planned-unit developments, two- to four-family residences, and
condominiums to both prime and nonprime borrowers. The pool has 977
loans, which are primarily non-qualified mortgage loans.
The ratings reflect:
-- The pool's collateral composition;
-- The credit enhancement provided for this transaction;
-- The transaction's associated structural mechanics;
-- The transaction's representation and warranty framework; and
-- The mortgage originator.
RATINGS ASSIGNED
Spruce Hill Mortgage Loan Trust 2019-SH1
Class Rating Amount ($)
A-1 AAA (sf) 172,771,000
A-2 AA (sf) 19,714,000
A-3 A (sf) 38,159,000
M-1 BBB (sf) 18,586,000
B-1 BB (sf) 14,644,000
B-2 B (sf) 10,983,000
B-3 NR 6,759,766
XS NR Notional(i)
R NR N/A
(i)Notional amount equals the loans' aggregate stated principal
balance.
NR--Not rated.
N/A--Not applicable.
TOWD POINT 2018-2: Fitch Rates Class B2 Notes 'Bsf', Outlook Stable
-------------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Outlooks to
nine previously unrated classes from five Towd Point Mortgage Trust
(TPMT) transactions issued between 2016 and 2018:
Series 2018-2 class A2 notes 'AAsf'; Outlook Stable;
Series 2018-2 class M1 notes 'Asf'; Outlook Stable;
Series 2018-2 class M2 notes 'BBBsf'; Outlook Stable;
Series 2018-2 class B1 notes 'BBsf'; Outlook Stable;
Series 2018-2 class B2 notes 'Bsf'; Outlook Stable;
Series 2017-4 class B3 notes 'Bsf'; Outlook Stable;
Series 2017-3 class B3 notes 'Bsf'; Outlook Stable;
Series 2017-2 class B3 notes 'Bsf'; Outlook Stable;
Series 2016-4 class B4 notes 'Bsf'; Outlook Stable.
Fitch has rated other classes within these transactions since deal
close. The nine classes rated today are more junior than the
classes with existing ratings and were unrated at deal close. All
of the transactions have performed well since closing, with many of
the previously rated bonds upgraded or assigned a Positive Rating
Outlook. All of the transactions are U.S. RMBS transactions
collateralized by pools of re-performing loans (RPLs) in which the
majority have been modified.
KEY RATING DRIVERS
Performance Better than Projections (Positive): Serious delinquency
has increased since issuance for each transaction under review with
an average of under 5.4% and the highest delinquency of 6.1%. These
values are materially lower than Fitch's base case default
expectations at initial rating. Realized losses have also been
limited with losses as a percentage of original balance averaging
less than 2%.
Lower Loss Expectations (Positive): The expected losses for the
underlying pools backing the rated notes have decreased since
issuance. The reduced loss expectation is driven by home price
appreciation over the past few years, continued borrower
performance and criteria changes. Since the initial rating, Fitch
has expanded its application of a seasoned performing credit for
borrowers that have been current for at least three years. This has
led to both a larger performance credit as well as more borrowers
receiving the benefit as they have continued to season and perform
since transaction close.
Increased Subordination (Positive): Since the transactions have
closed, the subordination on the classes rated today has increased
by 2.2 points on average. The increase in subordination has been
driven by limited losses to date, steady pay down of the senior
classes due to the sequential structure and the use of excess
spread to build up additional protection to the rated notes.
No Servicer P&I Advances (Mixed): The servicer will not be
advancing delinquent monthly payments of principal and interest
(P&I), which reduces liquidity to the trust. However, as P&I
advances made on behalf of loans that become delinquent and
eventually liquidate reduce liquidation proceeds to the trust,
loan-level loss severity is less for this transaction than for
those where the servicer is obligated to advance P&I.
CRITERIA APPLICATION
Fitch analyzed the transaction in accordance with its
"U.S. RMBS Rating Criteria." This incorporates a review of the
originators' lending platforms, as well as an assessment of the
transaction's R&Ws provided by the originators and arranger, which
were consistent with the ratings assigned to the certificates.
Fitch's analysis incorporated one criteria variation from the "U.S.
RMBS Seasoned, Re-Performing and Non-Performing Loan Rating
Criteria" for the assignment of ratings on Towd Point 2018-2. For
the assignment of investment grade ratings on Towd Point 2018-2,
Fitch looks for an updated tax and title searches, as well as
updated credit scores and property valuations. Despite these
updates occurring outside of the time thresholds described in
Fitch's criteria, Fitch does not believe that the lack of updated
information impacts its opinion of the pool's risk profile, due to
the limited seasoning of the initial data provided to Fitch at deal
closing and the strong oversight by the servicer, who independently
performs tax and title searches on a yearly basis. For the
transactions with non-investment grade ratings, (Towd Point 2017-4,
Towd Point 2017-3, Towd Point 2017-2, and Towd Point 2016-4) the
lack of updated tax and title searches, credit scores and property
valuations are consistent with criteria for non-investment grade
rated RPL transactions and relying on the updated information
provided to Fitch at deal closing is sufficient. Fitch believes
that these deals also benefit from the servicer's oversight. As a
result of these variations, no additional adjustment was made to
Fitch's analysis and there was no rating impact.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the metropolitan statistical area (MSA) and
national levels. The implied rating sensitivities are only an
indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to or
considered in the surveillance of the transaction.
Fitch also conducted defined rating sensitivities, which determine
the stresses to MVDs that would reduce a rating by one full
category, to non-investment grade and to 'CCCsf'.
TRIMARAN CAVU 2019-1: S&P Rates $24.2MM Class E Notes 'BB- (sf)'
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Trimaran Cavu 2019-1
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 collateral manager's experienced team, which can affect
the performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
Trimaran Cavu 2019-1 Ltd.
Class Rating Amount (mil. $)
A-1 AAA (sf) 354.00
A-2(i) NR 34.80
B(i) AA (sf) 66.00
C-1 (deferrable)(i) A (sf) 23.00
C-2 (deferrable) A (sf) 14.20
D (deferrable)(i) BBB- (sf) 31.20
E (deferrable)(i) BB- (sf) 24.20
Subordinated notes NR 62.50
Exchangeable note combinations
Max. princ.
Class Rating Amount (mil. $)
Combination 1(iv)
A-2-1(ii) NR 34.80
A-2-1X(iii) NR N/A
Combination 2(iv)
A-2-2(ii) NR 34.80
A-2-2X(iii) NR N/A
Combination 3(iv)
A-3-3(ii) NR 34.80
A-3-3X(iii) NR N/A
Combination 4(iv)
A-4-4(ii) NR 34.80
A-4-4X(iii) NR N/A
Combination 5(iv)
B-1(ii) AA (sf) 66.00
B-1X(iii) AA (sf) N/A
Combination 6(iv)
B-2 (deferrable)(ii) AA (sf) 66.00
B-2X(iii) AA (sf) N/A
Combination 7(iv)
B-3(ii) AA (sf) 66.00
B-3X(iii) AA (sf) N/A
Combination 8(iv)
B-4(ii) AA (sf) 66.00
B-4X(iii) AA (sf) N/A
Combination 9(iv)
C-1-1(ii) A (sf) 23.00
C-1-1X(iii) A (sf) N/A
Combination 10(iv)
C-1-2(ii) A (sf) 23.00
C-1-2X(iii) A (sf) N/A
Combination 11(iv)
C-1-3(ii) A (sf) 23.00
C-1-3X(iii) A (sf) N/A
Combination 12(iv)
C-1-4(ii) A (sf) 23.00
C-1-4X(iii) A (sf) N/A
Combination 13(iv)
D-1(ii) BBB- (sf) 31.20
D-1X(iii) BBB- (sf) N/A
Combination 14(iv)
D-2(ii) BBB- (sf) 31.20
D-2X(iii) BBB- (sf) N/A
Combination 15(iv)
D-3(ii) BBB- (sf) 31.20
D-3X(iii) BBB- (sf) N/A
Combination 16(iv)
D-4(ii) BBB- (sf) 31.20
D-4X(iii) BBB- (sf) N/A
Combination 17(iv)
E-1(ii) BB- (sf) 24.20
E-1X(iii) BB- (sf) N/A
Combination 18(iv)
E-2(ii) BB- (sf) 24.20
E-2X(iii) BB- (sf) N/A
Combination 19(iv)
E-3(ii) BB- (sf) 24.20
E-3X(iii) BB- (sf) N/A
Combination 20(iv)
E-4(ii) BB- (sf) 24.20
E-4X(iii) BB- (sf) N/A
(i)The class A-2, B, C-1, D, and E notes will be exchangeable for
proportionate interest in combinations of MASCOT P&I notes and
interest-only notes of their respective classes. In aggregate, the
cost of debt, outstanding balance, stated maturity, subordination
levels, and payment priority following such an exchange would
remain the same. Reference the exchangeable note
combinations section for combinations. (ii)MASCOT P&I notes will
have the same principal balance as the class A-2, B, C-1, D, and E
notes, as applicable, surrendered in the exchange.
(iii)Interest-only notes earn a fixed rate of interest on its
notional balance and is not entitled to any payments of principal.
The notional balance will equal the principal balance of the
corresponding MASCOT P&I note of such combination. (iv)Applicable
combinations will have an aggregate interest rate equal to that of
the exchanged note. P&I--Principal and interest. NR--Not rated.
N/A--Not applicable.
UNITED AIRLINES: S&P Revises Ratings on Selected EETCs
------------------------------------------------------
S&P Global Ratings revised its issue-level ratings on selected
enhanced equipment trust certificates (EETCs) of United Airlines
Inc. to reflect changes in its view of the likelihood that the
airline would agree to continue paying on these obligations in a
hypothetical future bankruptcy or changes in collateral coverage of
the certificates.
The rating agency raised its rating on the series 2000-1 Class B
certificates originally issued by Continental Airlines Inc. (since
merged into United) to 'BBB+' from 'BBB'. It also raised its rating
on the certificates originally issued by Continental, series
2004-ERJ1, to 'BB+ from 'BB'. S&P lowered its rating on United's
2007-1 class A certificates to 'BB+' from 'BBB-' and its rating on
the 2007-1 class B certificates to 'BB-' from 'BB'."
S&P's ratings on EETCs are in almost all cases higher than the
issuer credit rating on an airline because a default on the
certificates occurs only if: 1) the airline enters bankruptcy; and
2) the airline either liquidates or reorganizes but rejects the
secured aircraft debt or leases that collateralize the rated
certificates; and 3) proceeds from repossession and sale of the
aircraft collateral are insufficient to repay principal and
interest due on the certificates. The chance of these three events
happening in succession is almost always less than that of a
bankruptcy filing of the airline. Holders of EETCs, particularly
the senior class, can also be repaid if the airline agrees on a
restructuring plan with them that lowers payments but still pays
enough to cover the senior class of EETCs.
For the Continental 2000-1B certificates, S&P revised its
assessment of the likelihood that United would reorganize
successfully and agree to keep paying on the certificates to two
notches of rating uplift from the previous one notch. This reflects
the fact that the class B certificates have been paid down to a
nominal amount and the economic incentive for the airline, if
bankrupt, to negotiate a restructuring that would fully repay the
2000-1 class A, but not the class B, has diminished. This, combined
with the two notches of rating uplift S&P assigns for the
collateral protection, results in the 'BBB+' rating that is four
notches above the 'BB' issuer credit rating on United.
For the Continental 2004-ERJ1 certificates, S&P revised its rating
uplift for collateral coverage to one notch from zero notches.
There is no credit for the likelihood of United affirming this debt
as these are 50-seat regional jets, an aircraft model that United
has been shifting away from in favor of larger regional jets. S&P
estimates the loan-to-value ratio of these certificates at around
50%.
S&P's downgrades of the United 2007-1 class A and class B
certificates reflected in each case reduced credit for the
likelihood that United would continue paying on these obligations
in bankruptcy (from two notches to one notch in the case of the
Class A certificates and from one notch to zero notches in the case
of the Class B certificates). The certificates are collateralized
by four types of widebody aircraft, and two of those, B747-400 and
B777-200 (non-ER), are ones that S&P would expect United to reject
in bankruptcy (it has already stopped flying B747-400s). Also, the
certificates are significantly undercollateralized -- S&P estimates
the loan to value on the class A certificates at around 140% and on
the class B certificates at around 160%. S&P assigns zero
collateral credit to the class A certificates (and thus the rating
on them is now only one notch higher than the 'BB' issuer credit
rating on United) and negative one notch to the class B
certificates. The resulting rating on the Class B certificates of
'BB-' is unusual for an EETC in that it is lower than the issuer
credit rating and lower than the issue-level rating on United's
senior unsecured debt. However, senior unsecured claims on the
estate of a bankrupt United for a shortfall on collateral coverage
go first to benefit the Class A certificates and only thereafter to
Class B certificates. Given a likely further deterioration in
collateral coverage from current levels in any bankruptcy scenario,
that could mean little or no recovery for the Class B
certificates.
Ratings List
Downgraded
To From
United Airlines Inc.
Equipment Trust Certificates
US$106.835 mil 7.336% Class B pass-thru ser 2007-1B due 2019
BB- BB
Equipment Trust Certificates
US$485.086 mil 6.636% Class A pass-thru ser 2007-1A due 2022
B+ BBB-
Upgraded
To From
United Airlines Inc.
Equipment Trust Certificates
US$173.629 mil 9.558% Class A pass-thru ser 2004-ERJ1 due 2019
BB+ BB
Equipment Trust Certificates
US$113.149 mil 8.388% Class B pass-thru ser 2000-1 due 2020
BBB+ BBB
Ratings Affirmed
United Airlines Inc.
Equipment Trust Certificates A
Equipment Trust Certificates A+
Equipment Trust Certificates A-
Equipment Trust Certificates AA+
Equipment Trust Certificates BB
Equipment Trust Certificates BBB
Equipment Trust Certificates BBB+
Equipment Trust Certificates BBB-
AIR 2 US LLC
Equipment Trust Certificates BB-
Equipment Trust Certificates BBB-
WELLS FARGO 2015-SG1: Fitch Affirms B- Rating on 2 Cert. Classes
----------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of Wells Fargo Bank National
Association commercial mortgage pass-through certificates series
2015-SG1.
KEY RATING DRIVERS
Relatively Stable Overall Performance: The affirmations are a
result of the stable performance of the majority of the pool and
sufficient credit enhancement relative to expected losses. Fitch
has designated four loans as Fitch Loans of Concern (FLOC) (6%),
including two specially serviced assets (2.1%). There have been no
realized losses to date.
High Retail and Hotel Concentration: Loans backed by retail
properties represent 34.9% of the pool, including five (21.9%) in
the top 15. Hotel loans represent 23.2% of the pool, including
three (9.5%) in the top 10. The largest loan in the pool, Patrick
Henry Mall (9.5%), is a regional mall located in Newport News, VA
with exposure to JCPenney (collateral) and Macy's (non-collateral).
The JCPenney lease expires in October 2020. Inline sales were
reported to be $408 psf as of the TTM period ending March 2018
compared to $405 psf at issuance. Total mall occupancy has been
stable to improving since issuance and was reported to be 98%
according to the December 2018 rent roll. Fitch's base case loss
included an additional 10% haircut to the reported NOI given
concern with upcoming rollover, weak anchor exposure, and tertiary
location.
Another notable retail loan is 2113 Kalakaua (1.9%), a 5,714 square
foot retail building in Honolulu, HI, near Waikiki Beach. Due to an
increase in occupancy, the loan is no longer considered to be a
FLOC. Lucky Brand (55.2% NRA) and Sunglass Hut (13.8% NRA) both
vacated at their lease expirations in January 2018, reducing
occupancy at the property to 31%. However, both units have been
released and property occupancy is 100% according to the April 2019
rent roll. Rents for the new tenants are in line with the market,
but well below the above-market rents previously received from
Lucky Brand and Sunglasses Hut. The 2019 NOI is expected to be down
approximately 35% from year-end 2017 with the new tenants. The
decline was expected by Fitch at issuance as it was assumed that
Lucky Brand and Sunglasses Hut would both vacate and be replaced
with market rent tenants.
Landmark Center: The largest FLOC is the Landmark Center (2.3%), a
306,074 square foot office building in Indianapolis, IN. Angie's
List, the largest tenant occupying 32% of the net rentable area
(NRA), vacated in April 2018. Occupancy was reported to be 48% as
of March 2019. The borrower has completed renovations to the lobby
and amenity spaces and is working to re-tenant the space. The
borrower also reports that recent leasing activity has been
positive and new leases are expected from several tenants. Fitch
stressed the NOI to reflect the drop in occupancy and applied a cap
rate of 9.0%.
Specially Serviced Assets: The largest specially serviced loan is
Hampton Inn & Applebee's, Westhampton (1.4%), a 100-key limited
service hotel and 5,203 sf restaurant in Westhampton, NJ near
Philadelphia. The loan transferred to special servicing in March
2018 for payment default. An increase in supply in the market
caused a decline in occupancy and NOI resulting in the borrower
missing loan payments. Foreclosure is expected to occur in the
third-quarter 2019. The second largest specially serviced loan is
Golfsmith Myrtle Beach (0.7%) is a 35,000 sf single-tenant retail
building in Myrtle Beach, SC. The loan transferred to special
servicing in January 2017 after losing the sole tenant. The
property became REO in May 2018 and is under contract to a local
furniture retailer. The tenant is leasing the property until the
sale closes in 2020. A pari-passu portion of the Patriots Park loan
(0.6%) is also in special servicing. The loan transferred to
special servicing in November 2018 for non-monetary default after
the borrower completed a non-permitted equity transfer resulting in
changes to the ownership/guarantor structure. The borrower has
cooperated with the special servicer to complete a forbearance
agreement, which will include a full payoff in July 2019.
Minimal Change to Credit Enhancement: As of the May 2018
distribution date, the pool's aggregate principal balance has paid
down by 3.7% to $690.2 million from $716.3 million at issuance.
Interest shortfalls are currently impacting class G.
At issuance, the pool was scheduled to amortize by 14.5% of the
initial pool balance through maturity, which was considered above
average compared to other similar Fitch-rated, fixed-rate
multi-borrower transactions. Of the current pool, 12.4% the loan
balance is full-term interest-only and 11.7% is partial
interest-only that have not started to amortize.
Maturity Concentration: Maturities for the pool are as follows:
2019 - 1 loan (0.6%); 2020 - 1 loan (0.6%); 2022 - 1 loan (1%);
2024 - 1 loan (0.6%); and 2025 - 68 loans (97.1%).
RATING SENSITIVITIES
The Rating Outlooks on classes E, X-E, F, and X-F remain Negative
due to potential erosion in credit enhancement due to losses from
the specially serviced assets, performance declines from the FLOCs
and the overall retail exposure within the pool. A revision to
Stable Outlooks for these classes are possible with better than
expected recoveries on the specially serviced assets and improved
performance of the FLOCs. Rating Outlooks for classes A-1 through D
remain Stable due to generally stable pool performance and
continued amortization. Upgrades may occur with improved pool
performance and additional paydown or defeasance.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating.
Fitch has affirmed the following:
-- $4.1 million class A-1 at 'AAAsf'; Outlook Stable;
-- $17.9 million class A-2 at 'AAAsf'; Outlook Stable;
-- $6.6 million class A-3 at 'AAAsf'; Outlook Stable;
-- $391.8 million class A-4 at 'AAAsf'; Outlook Stable;
-- $54.8 million class A-SB at 'AAAsf'; Outlook Stable;
-- $41.2 million class A-S at 'AAAsf'; Outlook Stable;
-- $515.3 million class X-A* at 'AAAsf'; Outlook Stable;
-- $44.8 million class B at 'AA-sf'; Outlook Stable;
-- $33.1 million class C at 'A-sf'; Outlook Stable;
-- $119.1 million class PEX at 'A-sf'; Outlook Stable;
-- $38.5 million class D at 'BBB-sf'; Outlook Stable;
-- $17.9 million class E at 'BB-sf'; Outlook Negative;
-- $17.9 million class X-E* at 'BB-sf'; Outlook Negative;
-- $8.1 million class F at 'B-sf'; Outlook Negative;
-- $8.1 million class X-F* at 'B-sf'; Outlook Negative.
*Notional amount and interest only.
Fitch does not rate the class G or X-G certificates. Fitch
previously withdrew the ratings on the class A-4FL, A-4FX, and X-B
certificates.
[*] Moody's Takes Action on $222.14MM of RMBS Issued 2005-2007
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 11 tranches
from three transactions and downgraded the rating of one tranche
from one transaction.
Complete rating actions are as follows:
Issuer: Bear Stearns ALT-A Trust 2005-8
Cl. I-1A-1, Upgraded to B1 (sf); previously on Oct 1, 2018
Upgraded to Caa1 (sf)
Cl. I-1A-2, Upgraded to Caa2 (sf); previously on Jul 2, 2010
Downgraded to Ca (sf)
Cl. I-2A-1, Upgraded to B1 (sf); previously on Oct 1, 2018
Upgraded to Caa1 (sf)
Cl. I-2A-2, Upgraded to Caa2 (sf); previously on Jul 2, 2010
Downgraded to Ca (sf)
Issuer: J.P. Morgan Alternative Loan Trust 2006-A6
Cl. 1-A-1, Upgraded to Caa3 (sf); previously on Sep 17, 2010
Downgraded to Ca (sf)
Cl. 1-A-4, Upgraded to Ca (sf); previously on Sep 17, 2010
Downgraded to C (sf)
Cl. 2-A-5, Upgraded to Caa2 (sf); previously on Sep 17, 2010
Downgraded to Caa3 (sf)
Cl. 2-A-7, Upgraded to Caa2 (sf); previously on Sep 17, 2010
Downgraded to Caa3 (sf)
Issuer: J.P. Morgan Mortgage Acquisition Trust 2006-CW2
Cl. AV-4, Upgraded to Aa1 (sf); previously on Nov 15, 2018
Upgraded to A3 (sf)
Cl. AV-5, Upgraded to A1 (sf); previously on Nov 15, 2018
Upgraded to Baa1 (sf)
Cl. MV-1, Upgraded to B3 (sf); previously on Nov 5, 2010
Downgraded to Ca (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2007-OA6
Cl. 2X-PPP*, Downgraded to C (sf); previously on Dec 20, 2017
Confirmed at Caa3 (sf)
*Reflects Interest-Only Class
RATINGS RATIONALE
The rating 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 the payments distributed to
the transactions in Feb 2019 pursuant to a settlement between J.P.
Morgan and certain RMBS investors. The upgrades on the Cl. AV-4 ,
Cl. AV-5 and Cl. MV-1 from J.P. Morgan Mortgage Acquisition Trust
2006-CW2 reflects 22.1 million paydown from the settlement, which
translated to 21% of outstanding bond balance of the related group.
The downgrade of the rating to C (sf) on the Cl. 2X-PPP from
transaction WaMu Mortgage Pass-Through Certificates, Series
2007-OA6 reflects the nonpayment of interest for an extended period
of 12 months. For this bond, the coupon rate is subject to a
calculation that has reduced the required interest distribution to
zero. The coupon on this bond is subject to changes in interest
rates and/or collateral composition and there is a remote
possibility that they may receive interest in the future.
[*] Moody's Takes Action on $239MM of US RMBS Issued 2004-2006
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of nine tranches
and downgraded ratings of five tranches from six transactions
issued from 2004 to 2006.
Complete rating actions are as follows:
Issuer: Bear Stearns Asset Backed Securities I Trust 2004-AC5
Cl. A-1, Downgraded to B2 (sf); previously on Oct 22, 2013
Downgraded to Ba3 (sf)
Cl. A-2, Downgraded to B2 (sf); previously on Oct 22, 2013
Downgraded to Ba3 (sf)
Cl. A-3*, Downgraded to B2 (sf); previously on Oct 22, 2013
Downgraded to Ba3 (sf)
Cl. M-1, Downgraded to Ca (sf); previously on Apr 17, 2012
Downgraded to Caa2 (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2004-HE7
Cl. M-1, Downgraded to B1 (sf); previously on Apr 9, 2012 Upgraded
to Baa2 (sf)
Issuer: RAMP Series 2005-EFC1 Trust
Cl. M-4, Upgraded to Aaa (sf); previously on Jul 17, 2017 Upgraded
to Aa2 (sf)
Cl. M-5, Upgraded to A2 (sf); previously on Jul 17, 2017 Upgraded
to Baa1 (sf)
Issuer: RAMP Series 2005-EFC3 Trust
Cl. M-5, Upgraded to Aaa (sf); previously on Mar 6, 2018 Upgraded
to Aa2 (sf)
Cl. M-6, Upgraded to Baa1 (sf); previously on Mar 6, 2018 Upgraded
to Baa3 (sf)
Issuer: RAMP Series 2005-RS5 Trust
Cl. M-3, Upgraded to Aaa (sf); previously on Feb 27, 2018 Upgraded
to Aa2 (sf)
Cl. M-4, Upgraded to Aa3 (sf); previously on Feb 27, 2018 Upgraded
to A3 (sf)
Cl. M-5, Upgraded to Ba1 (sf); previously on Feb 27, 2018 Upgraded
to Ba3 (sf)
Issuer: Soundview Home Loan Trust 2006-OPT2
Cl. A-3, Upgraded to A1 (sf); previously on Jul 5, 2017 Upgraded to
Baa1 (sf)
Cl. A-4, Upgraded to Baa1 (sf); previously on Jul 5, 2017 Upgraded
to Baa3 (sf)
* Reflects Interest Only Classes
RATINGS RATIONALE
The rating actions reflect the recent performance and Moody's
updated loss expectations on the underlying pools. The rating
upgrades are a result of improving performance on the related pools
and / or an increase in credit enhancement available to the bonds.
The rating downgrade on Cl. M-1 from Bear Stearns Asset Backed
Securities I Trust 2004-HE7 is due to the outstanding interest
shortfalls on the bond which are not expected to be recouped as the
transaction has weak reimbursement mechanism for interest
shortfalls. The rating downgrades on the remaining bonds are due to
the weaker performance of the underlying collateral and the erosion
of enhancement available to the bonds.
The principal methodology used in rating all classes except
interest-only classes was "US RMBS Surveillance Methodology"
published in February 2019. The methodologies used in rating
interest-only classes were "US RMBS Surveillance Methodology"
published in February 2019 and "Moody's Approach to Rating
Structured Finance Interest-Only Securities" published in February
2019.
The above Credit Ratings were assigned in accordance with Moody's
existing methodology entitled "US RMBS Surveillance Methodology,"
dated February 22, 2019. Please note that on May 8, 2019, Moody's
released a Request for Comment, in which it has requested market
feedback on the use of an updated version of third-party cash flow
modeling software for certain structured finance asset classes. If
the revised update is implemented as proposed, these Credit Ratings
may be negatively or positively affected. The final rating outcome
will overlay qualitative judgments and considerations such as
performance to date and structural features.
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 3.6% in April 2019 from 3.9% in April
2018. 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
this transaction.
[*] Moody's Takes Action on $447.8MM RMBS Issued 2002-2006
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of eight
tranches from five transactions issued by various issuers in 2006
and downgraded the rating of Saxon Asset Securities Trust 2002-3
Class AF-6.
Complete rating actions are as follows:
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-WMC1
Cl. A-2c, Upgraded to Aa3 (sf); previously on Mar 16, 2018
Upgraded to A3 (sf)
Issuer: Option One Mortgage Loan Trust 2006-1
Cl. II-A-3, Upgraded to Aaa (sf); previously on Apr 9, 2018
Upgraded to Aa1 (sf)
Cl. II-A-4, Upgraded to Aa2 (sf); previously on Apr 9, 2018
Upgraded to A1 (sf)
Issuer: Saxon Asset Securities Trust 2002-3
Cl. AF-6, Downgraded to B3 (sf); previously on Jul 23, 2018
Downgraded to B2 (sf)
Issuer: Greenpoint Mortgage Funding Trust 2006-AR1
Cl. A-1A, Upgraded to B3 (sf); previously on Dec 9, 2010
Downgraded to Caa2 (sf)
Cl. A-1B, Upgraded to B3 (sf); previously on Dec 9, 2010
Downgraded to Caa2 (sf)
Issuer: GreenPoint Mortgage Funding Trust 2006-AR6
Cl. 2-A1, Upgraded to Ba3 (sf); previously on Nov 7, 2017
Upgraded to B2 (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR4
Cl. A1-A, Upgraded to B2 (sf); previously on Jan 26, 2011
Downgraded to Caa2 (sf)
Cl. A2-A, Upgraded to Caa3 (sf); previously on Jan 26, 2011
Confirmed at Ca (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to improvement in pool
performances and credit enhancement available to the bonds. The
rating downgrade of Saxon Asset Securities Trust 2002-3 Class AF-6
is due to outstanding interest shortfalls that are not expected to
be reimbursed as interest payments are not cross-collateralized
between collateral groups. The actions reflect the recent
performance of the underlying pools and Moody's updated loss
expectations on the pools.
*********
Monday's edition of the TCR delivers a list of indicative prices
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