/raid1/www/Hosts/bankrupt/TCR_Public/191208.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, December 8, 2019, Vol. 23, No. 341
Headlines
522 FUNDING I: S&P Assigns Prelim BB-(sf) Rating to Class E Notes
AJAX MORTGAGE 2019-F: DBRS Finalizes B Rating on Class B-2 Notes
ALM LTD V: Moody's Hikes Rating on $9MM Class E-R3 Notes to B3
ANGEL OAK 2019-6: DBRS Finalizes B Rating on Class B-2 Certs
BANK 2019-BNK24: Fitch to Rate $11.6MM Class G Certs B-sf
BENCHMARK MORTGAGE 2018-B1: Fitch Affirms B-sf Rating on F-RR Certs
BRAVO RESIDENTIAL 2019-NQM2: DBRS Gives Prov. B Rating on B2 Notes
BRAVO RESIDENTIAL 2019-NQM2: Fitch Rates Class B-2 Debt Bsf
BUNKER HILL 2019-3: S&P Assigns B- (sf) Rating to Class B-2 Notes
BX TRUST 2019-OC11: Moody's Assigns (P)Ba3 Rating on 2 Tranches
CARVANA AUTO 2019-4: Moody's Assigns (P)B2 Rating on Cl. E Notes
CF 2019-CF3: Fitch to Rate $8.6MM Class N-RR Certs 'B-sf'
CITIGROUP COMMERCIAL 2019-C7: Fitch to Rate 2 Tranches 'B-'
CITIGROUP COMMERCIAL 2019-C7: Moody's Rates Class 805C Certs (P)B3
CONTINENTAL CREDIT 2017-1: DBRS Assigns B(high) Rating on C Notes
CONTINENTAL CREDIT 2019-1: DBRS Assigns BB(low) Rating on C Notes
CWABS REVOLVING 2004-R: Moody's Hikes Cl. 1-A Debt Rating to Ba2
FLAGSTAR MORTGAGE 2019-2: DBRS Finalizes B Rating on Cl. B-5 Certs
GALTON FUNDING 2019-H1: DBRS Finalizes B Rating on Class B2 Certs
GREAT WOLF 2019-WOLF: Moody's Assigns (P)B3 Rating on Cl. F Certs
GREENWICH CAPITAL 2004-GG1: Fitch Lowers Class H Certs Rating to C
HERTZ VEHICLE 2019-3: DBRS Finalizes BB Rating on Class D Notes
LB-UBS COMMERCIAL 2007-C7: Fitch Hikes Class C Certs Rating to BBsf
MAD COMMERCIAL 2019-650M: Fitch to Rate $97MM Class B Certs 'B-sf'
MERRILL LYNCH 2006-C1: Fitch Upgrades Class A-J Certs to BBsf
MIDOCEAN CREDIT X: S&P Assigns BB- (sf) Rating to Class E Notes
MORGAN STANLEY 2007-IQ15: Fitch Affirms Csf Rating on Cl. C Certs
NEW RESIDENTIAL 2019-6: DBRS Assigns Prov. BB Rating on 10 Tranches
NEW RESIDENTIAL 2019-6: Moody's Assigns B3 Ratings on 5 Tranches
PROVIDENT FUNDING 2019-1: Moody's Rates Class B-5 Debt 'Ba3'
SECURITIZED TERM 2019-CRT: DBRS Finalizes BB Rating on Cl. D Notes
START LTD III: Fitch Assigns BBsf Rating on Series C Notes
UBS COMMERCIAL 2018-C8: Fitch Affirms Class F-RR Certs at B-sf
UBS COMMERCIAL 2019-C18: Fitch to Rate $7.4MM Class G Debt 'B-sf'
WELLS FARGO 2019-C54: Fitch Assigns B-sf Rating on Cl. G-RR Certs
[*] DBRS Reviews 301 Classes From 32 U.S. RMBS Transactions
*********
522 FUNDING I: S&P Assigns Prelim BB-(sf) Rating to Class E Notes
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S&P Global Ratings assigned its preliminary ratings to 522 Funding
CLO I Ltd.'s fixed- and floating-rate notes.
The note issuance is a collateralized loan obligation (CLO)
transaction backed by broadly syndicated speculative-grade (rated
'BB+' and lower) senior secured term loans that are governed by
collateral quality tests and managed by Morgan Stanley Investment
Management Inc.
The preliminary ratings are based on information as of Dec. 3,
2019. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's assessment of:
-- The diversification of the collateral pool.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
522 Funding CLO I Ltd./522 Funding CLO I LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 279.00
A-2 NR 13.50
B-1 AA (sf) 32.50
B-2 AA (sf) 17.00
C (deferrable) A (sf) 27.00
D (deferrable) BBB- (sf) 24.75
E (deferrable) BB- (sf) 18.00
Subordinated notes NR 45.50
NR--Not rated.
AJAX MORTGAGE 2019-F: DBRS Finalizes B Rating on Class B-2 Notes
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DBRS, Inc. finalized its provisional ratings on the following
Mortgage-Backed Securities, Series 2019-F (the Notes) issued by
Ajax Mortgage Loan Trust 2019-F (AJAX 2019-F or the Trust):
-- $110.1 million Class A-1 at AAA (sf)
-- $12.5 million Class A-2 at A (high) (sf)
-- $5.1 million Class A-3 at A (low) (sf)
-- $6.1 million Class M-1 at BBB (sf)
-- $11.5 million Class B-1 at BB (sf)
-- $10.4 million Class B-2 at B (sf)
The AAA (sf) rating on the Notes reflects the 35.55% of credit
enhancement provided by subordinated Notes in the pool. The A
(high) (sf), A (low) (sf), BBB (sf), BB (sf) and B (sf) ratings
reflect 28.25%, 25.25%, 21.70 %, 14.95% and 8.85% of credit
enhancement, respectively.
Other than the specified classes above, DBRS Morningstar does not
rate any other classes in this transaction.
The transaction is a securitization of a portfolio of seasoned
performing and re-performing first-lien residential mortgages
funded by the issuance of the Notes. The Notes are backed by 923
loans with a total principal balance of approximately $170,800,620
as of the Cut-Off Date (October 31, 2019).
The portfolio is approximately 150 months seasoned. As of the
Cut-Off Date, under the Mortgage Bankers Association delinquency
method, 72.9% of the pool is current, 19.0% is 30-59 days
delinquent, 4.7% is 60-89 days delinquent, 1.8% is 90+ days
delinquent and 1.5% is in bankruptcy.
Although the number of months clean (consecutively zero times 30
days delinquent) at issuance is weaker relative to other DBRS
Morningstar-rated seasoned transactions, the borrowers in this pool
demonstrate reasonable cash flow velocity (as measured by a number
of payments over time) in the past 24 months. Approximately 28.7%
of the pool has been clean for the past 24 months; however, 84.5%
of the pool has made 24 or more payments in the past 24 months.
Modified loans comprise 83.7% of the portfolio. The modifications
happened more than two years ago for 86.3% of the modified loans.
Within the pool, 247 mortgages (31.9% of the pool) have
non-interest-bearing deferred amounts, which equate to 4.4% of the
total principal balance. Included in the deferred amounts are the
Home Affordable Modification Program and proprietary principal
forgiveness amounts, which comprise less than 0.1% of the total
principal balance.
Prior to the Closing Date, Great Ajax Operating Partnership LP
(Ajax), in its capacity as the Sponsor, acquired some loans from
various unaffiliated third-party sellers between 2014 and 2019. On
the Closing Date, Ajax will also acquire other loans directly or
indirectly as a result of the redemption of all or certain classes
of notes that were previously issued by Ajax Mortgage Loan Trust
2017-A. To satisfy the credit risk retention requirements, the
Sponsor or a majority-owned affiliate of the Sponsor will retain at
least a 5% eligible horizontal interest in the securities.
Since 2013, Ajax and its affiliates have issued 29 securitizations
under the Ajax Mortgage Loan Trust shelf prior to AJAX 2019-F.
These issuances were backed by seasoned, re-performing or
non-performing loans. Two of the previously issued Ajax deals, Ajax
Mortgage Loan Trust 2017-B and Ajax Mortgage Loan Trust 2019-D,
were rated by DBRS Morningstar. DBRS Morningstar reviewed the
historical performance of the Ajax shelf; however, the non-rated
deals generally exhibit much worse collateral attributes than the
rated deals with regard to delinquencies at issuance. The prior
Ajax transactions currently exhibit high levels of delinquencies
and losses, which are expected given the nature of these severely
distressed assets.
As of the Cut-Off Date, Gregory Funding LLC is the Servicer for all
the loans in the pool. There will not be advancing of delinquent
principal or interest on the mortgage loans by the Servicer or any
other party to the transaction; however, the Servicer is obligated
to make advances in respect of real estate assessments, taxes, and
insurance and reasonable costs and expenses incurred in the course
of servicing and disposing of properties.
Beginning three years after the Closing Date, the Issuer, at the
direction of the Depositor, has the option to redeem all of the
Notes at a price equal to the remaining amount of the Notes plus
accrued and unpaid interest and any unpaid expenses and
reimbursement amounts (Aggregate Redemption Price). Additionally,
beginning three years after the Closing Date, the Issuer, at the
direction of the Depositor, has the option to redeem one or more of
the most senior notes outstanding at a price (Class Redemption
Price) for each class equal to the sum of the remaining note amount
of such class and any accrued and unpaid interest due through the
redemption date. Beginning two years after the closing date, when
the rated Notes are outstanding, the Issuer has the option to sell
any mortgage loan to an affiliate or non-affiliate provided that
the proceeds of such sale are equal to the aggregate outstanding
note amount of the rated Notes.
The transaction employs a sequential-pay cash flow structure.
Principal proceeds can be used to pay interest and Cap Carryover
Amounts on the Notes, but such interest and Cap Carryover Amounts
on Class A-2 and more subordinate bonds will not be paid until the
more senior classes are retired. In addition, unique to this
transaction, the senior and mezzanine classes are entitled to
Step-Up Interest Payments, beginning seven years from the Closing
Date.
The DBRS Morningstar rating of AAA (sf) addresses the timely
payment of interest and full payment of principal by the legal
final maturity date in accordance with the terms and conditions of
the related Notes. The DBRS Morningstar ratings of A (high) (sf), A
(low) (sf), BBB (sf), BB (sf) and B (sf) address the ultimate
payment of interest and full payment of principal by the legal
final maturity date in accordance with the terms and conditions of
the related Notes.
Notes: All figures are in U.S. dollars unless otherwise noted.
ALM LTD V: Moody's Hikes Rating on $9MM Class E-R3 Notes to B3
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Moody's Investors Service upgraded the ratings on the following
notes issued by ALM V, Ltd.:
US$50,500,000 Class A-2-R3 Senior Secured Floating Rate Notes due
2027, Upgraded to Aa1 (sf); Previously on October 18, 2017 Assigned
Aa2 (sf)
US$25,800,000 Class B-R3 Senior Secured Deferrable Floating Rate
Notes due 2027, Upgraded to A1 (sf); Previously on October 18, 2017
Assigned A2 (sf)
US$29,700,000 Class C-R3 Senior Secured Deferrable Floating Rate
Notes due 2027, Upgraded to Baa2 (sf); Previously on October 18,
2017 Assigned Baa3 (sf)
US$23,000,000 Class D-R3 Secured Deferrable Floating Rate Notes due
2027, Upgraded to Ba2 (sf); Previously on October 18, 2017 Assigned
Ba3 (sf)
US$9,000,000 Class E-R3 Secured Deferrable Floating Rate Notes due
2027, Upgraded to B2 (sf); Previously on October 18, 2017 Assigned
B3 (sf)
ALM V, Ltd., originally issued in February 2012, is a managed
cashflow collateralized loan obligation (CLO). The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period ended in October 2019.
RATINGS RATIONALE
These rating actions reflect the benefit from the end of the deal's
reinvestment period in October 2019. In light of the reinvestment
restrictions during the amortization period which limit the ability
of the manager to effect significant changes to the current
collateral pool, Moody's analyzed the deal assuming a higher
likelihood that the collateral pool characteristics will continue
to satisfy certain covenant requirements. In particular, Moody's
assumed that the deal will benefit from lower weighted average
rating factor and higher weighted average spread compared to the
covenant levels applicable during the reinvestment period. Moody's
modeled a WARF of 3063 and a WAS of 3.58% compared to a WARF
covenant of 3170 and a WAS covenant of 3.45% The deal has also
benefited from a shortening of the portfolio's weighted average
life.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analyzed the collateral pool as having a performing par and
principal proceeds balance of $471.4 million, defaulted par of $2
million, a weighted average default probability of 22.99% (implying
a WARF of 3063), a weighted average recovery rate upon default of
48.71%, a diversity score of 63 and a weighted average spread of
3.58%.
Methodology Used for 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.
ANGEL OAK 2019-6: DBRS Finalizes B Rating on Class B-2 Certs
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DBRS, Inc. finalized its provisional ratings on the following
Mortgage-Backed Certificates, Series 2019-6 (the Certificates)
issued by Angel Oak Mortgage Trust 2019-6 (AOMT 2019-6 or the
Trust):
-- $339.5 million Class A-1 at AAA (sf)
-- $37.0 million Class A-2 at AA (sf)
-- $73.5 million Class A-3 at A (sf)
-- $40.6 million Class M-1 at BBB (sf)
-- $20.7 million Class B-1 at BB (sf)
-- $20.4 million Class B-2 at B (sf)
The AAA (sf) rating on the Class A-1 Certificates reflects 37.65%
of credit enhancement provided by subordinated Certificates in the
pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings
reflect 30.85%, 17.85%, 9.90%, 6.10% and 2.35% of credit
enhancement, respectively.
Other than the specified classes above, DBRS Morningstar does not
rate any other classes in this transaction.
This transaction is a securitization of a portfolio of primarily
first-lien fixed- and adjustable-rate non-prime and prime
residential mortgages funded by the issuance of the Certificates.
The Certificates are backed by 1,708 loans with a total principal
balance of $544,491,260 as of the Cut-Off Date (November 1, 2019).
Angel Oak Mortgage Solutions LLC (AOMS; 78.8%), Angel Oak Home
Loans LLC (8.1%) and Angel Oak Prime Bridge LLC (0.7%;
collectively, Angel Oak) originated approximately 87.5% of the
pool. The rest of the pool (12.5%) was originated through
Third-Party Originators. The Angel Oak first-lien mortgages were
mainly originated under the following eight programs:
(1) Platinum (40.0%) — Made to borrowers that have prime or
near-prime credit scores but who are unable to obtain financing
through conventional or governmental channels because (a) they fail
to satisfy credit requirements, (b) they are self-employed and need
alternative income calculations using 12 or 24 months of bank
statements or the most recent year income tax return, (c) they may
have a credit score that is lower than that required by
government-sponsored entity underwriting guidelines or (d) they may
have been subject to a bankruptcy or foreclosure 48 or more months
prior to origination.
(2) Portfolio Select (30.5%) — Made to borrowers with near-prime
credit scores who are unable to obtain financing through
conventional or governmental channels because (a) they fail to
satisfy credit requirements, (b) they are self-employed and need
alternative income calculations using 12 or 24 months of bank
statements or the most recent year income tax return, (c) they may
have a credit score that is lower than that required by
government-sponsored entity underwriting guidelines or (d) they may
have been subject to a bankruptcy or foreclosure 24 or more months
prior to origination.
(3) Investor Cash Flow (9.5%) — Made to real estate investors who
are experienced in purchasing, renting and managing investment
properties with an established five-year credit history and at
least 24 months of clean housing payment history but who are unable
to obtain financing through conventional or governmental channels
because they (a) fail to satisfy the requirements of such programs
or (b) may be over the maximum number of properties allowed. Loans
originated under the Investor Cash Flow program are considered the
business purposes and are not covered by the Ability-to-Repay (ATR)
or TILA/RESPA Integrated Disclosure rules.
(4) Non-Prime General (5.7%) — Made to borrowers who have not
sustained a housing event in the past 24 months but whose credit
reports show multiple 30+-day and/or 60+-day and/or 90+-day
delinquencies on any reported debt in the past 12 months.
(5) Non-Prime Recent Housing (1.1%) — Made to borrowers who have
completed or have had their properties subject to a short sale,
deed in lieu, notice of default or foreclosure. Borrowers who have
filed bankruptcy 12 months or longer prior to origination or have
experienced severe delinquencies may also be considered for this
program.
(6) Non-Prime Foreign National (0.4%) — Made to investment
property borrowers who are citizens of foreign countries and who do
not reside or work in the United States. Borrowers may use
alternative income and credit documentation. Income is typically
documented by the employer or accountant and credit is verified by
letters from overseas credit holders.
(7) Non-Prime Investment Property (0.2%) — Made to real estate
investors who may have financed up to four mortgaged properties
with the originators (or 20 mortgaged properties with all
lenders).
(8) Asset Qualifier (0.1%) — Made to borrowers with prime credit
and significant assets who can purchase the property with their
assets but choose to use a financing instrument for cash flow
purposes. Assets should cover the purchase of the home plus 60
months of debt service and four months of reserves. No income
documentation is obtained, but the borrower is qualified based on
certain credit requirements (minimum score of 700) and significant
asset requirements, calculated as 60 times all monthly debts and
new principal, interest, taxes, insurance and association payments
(minimum of $1,300 monthly disposable income). These loans are
available within both the Platinum and Portfolio Select programs.
In addition, the pool contains 4.3% second-lien mortgage loans.
Seven of the second-lien loans were originated under the guidelines
established by the Federal National Mortgage Association (Fannie
Mae) and overlaid by Angel Oak. The remaining second-lien loans
(4.1%) were originated by Third-Party Originators.
Similar to more recent AOMT transactions, this pool contains larger
portions of 12-month bank statement loans (55.0%) than 24-month
bank statement loans (6.5%). Investor Cash Flow loans have been
increasing in the recent 2018 and 2019 AOMT deals. They now
comprise 9.5% of the pool by balance. An additional 0.2% of the
pool was Debt Service Coverage Ratio loans that were originated
through Third-Party Originators. In addition, product types have
shifted from having larger proportions of hybrid adjustable-rate
mortgages in prior deals to 83.6% fixed rate for AOMT 2019-6.
Select Portfolio Servicing, Inc. is the Servicer for all loans.
AOMS will act as the Servicing Administrator and Wells Fargo Bank;
N.A. (rated AA with a Stable trend by DBRS Morningstar) will act as
the Master Servicer. U.S. Bank National Association (rated AA
(high) with a Stable trend by DBRS Morningstar) will serve as the
Trustee, Paying Agent and Custodian.
Although the applicable mortgage loans were originated to satisfy
the Consumer Financial Protection Bureau (CFPB) ATR Rules, they
were made to borrowers who generally do not qualify for an agency,
government or private-label non-agency prime products for the
various reasons described above. In accordance with the CFPB
Qualified Mortgage (QM)/ATR Rules, 1.4% of the loans are designated
as QM Safe Harbor, 2.7% as QM Rebuttable Presumption and 78.4% as
non-QM. Approximately 17.5% of the loans are made to investors for
business purposes and thus not subject to the QM/ATR Rules.
The Servicer or Servicing Administrator, as applicable, will
generally fund advances of delinquent principal and interest (P&I)
on any mortgage until such loan becomes 180 days delinquent. The
Servicer or Servicing Administrator, as applicable, is also
obligated to make advances in respect of taxes, insurance premiums
and reasonable costs incurred in the course of servicing and
disposing of properties.
On or after the two-year anniversary of the Closing Date, the
Depositor has the option to purchase all of the outstanding
Certificates (Optional Redemption) at a price equal to the
outstanding class balance plus accrued and unpaid interest,
including any cap carryover amounts. After such purchase, the
Depositor then has the option to complete a qualified liquidation,
which requires a complete liquidation of assets within the Trust,
and distributes the proceeds to the appropriate holders of regular
or residual interest.
The transaction employs a sequential-pay cash flow structure with a
pro-rata principal distribution among the senior tranches.
Principal proceeds can be used to cover interest shortfalls on the
Certificates as the outstanding senior Certificates are paid in
full. Furthermore, the excess spread can be used to cover realized
losses first before being allocated to unpaid cap carryover amounts
up to Class B-2.
Notes: All figures are in U.S. dollars unless otherwise noted.
BANK 2019-BNK24: Fitch to Rate $11.6MM Class G Certs B-sf
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Fitch Ratings issued a presale report on BANK 2019-BNK24 commercial
mortgage pass-through certificates, series 2019-BNK24. Fitch
expects to rate the transaction and assign Rating Outlooks as
follows:
-- $16,763,000 class A-1 'AAAsf'; Outlook Stable;
-- $26,123,000 class A-SB 'AAAsf'; Outlook Stable;
-- $312,500,000a class A-2 'AAAsf'; Outlook Stable;
-- $459,851,000a class A-3 'AAAsf'; Outlook Stable;
-- $815,237,000b class X-A 'AAAsf'; Outlook Stable;
-- $221,278,000b class X-B 'A-sf'; Outlook Stable;
-- $125,197,000 class A-S 'AAAsf'; Outlook Stable;
-- $49,496,000 class B 'AA-sf'; Outlook Stable;
-- $46,585,000 class C 'A-sf'; Outlook Stable;
-- $53,864,000bc class X-D 'BBB-sf'; Outlook Stable;
-- $24,749,000bc class X-F 'BB-sf'; Outlook Stable;
-- $11,646,000bc class X-G 'B-sf'; Outlook Stable;
-- $30,572,000c class D 'BBBsf'; Outlook Stable;
-- $23,292,000c class E 'BBB-sf'; Outlook Stable;
-- $24,749,000c class F 'BB-sf'; Outlook Stable;
-- $11,646,000c class G 'B-sf'; Outlook Stable.
The following classes are not expected to be rated by Fitch:
-- $37,850,589bc class X-H;
-- $37,850,589c class H;
-- $61,296,031d RR Interest.
(a) The initial certificate balances of classes A-2 and A-3 are
unknown and expected to be $772,351,000 in aggregate. The
certificate balances will be determined based on the final pricing
of those classes of certificates. The expected class A-2 balance
range is $250,000,000 to $375,000,000 and the expected class A-3
balance range is $397,351,000 to $522,351,000. Fitch's certificate
balances for classes A-2 and A-3 are assumed at the midpoint of the
range for each class.
(b) Notional amount and interest only.
(c) Privately placed and pursuant to Rule 144A.
(d) Represents the non-offered, eligible vertical credit-risk
retention interest.
The expected ratings are based on information provided by the
issuer as of Dec. 4, 2019.
TRANSACTION SUMMARY
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 71 loans secured by 104
commercial properties having an aggregate principal balance of
$1,225,920,621 as of the cut-off date. The loans were contributed
to the trust by Bank of America, National Association, Morgan
Stanley Mortgage Capital Holdings LLC, Wells Fargo Bank, National
Association, and National Cooperative Bank, National Association.
KEY RATING DRIVERS
Lower Fitch Leverage than Recent Transactions: The pool's Fitch
debt service coverage ratio of 1.68x is better than the 2018 and
2019 YTD averages of 1.22x and 1.25x, respectively, for other
Fitch-rated multiborrower transactions. The pool's Fitch
loan-to-value of 97.4% is below the 2018 and 2019 YTD averages of
102.0% and 103.0%, respectively. Excluding the co-op and credit
assessed collateral, the pool has a Fitch DSCR and LTV of 1.24x and
114.9%, respectively.
Investment-Grade Credit Opinion and Coop Loans: Four loans
representing 22.4% of the pool are credit assessed. This is
significantly above the 13.6% average for both 2019 YTD and 2018
Fitch-rated multiborrower transactions. Jackson Park (8.2% of the
pool) received a credit opinion of 'A-sf' on a stand-alone basis.
55 Hudson Yards (8.2%), Park Tower at Transbay (4.1%) and ILPT
Industrial Portfolio (2.1%) each received credit opinions of
'BBB-sf' on a stand-alone basis. Additionally, the pool contains 32
loans, representing 8.9% of the pool, that are secured by
residential cooperatives and exhibit leverage characteristics
significantly lower than typical conduit loans. The weighted
average DSCR and LTV for the coop loans are 6.14x and 29.3%,
respectively.
High Pool Concentration: The pool's loan concentration index (LCI)
is 433, which is greater than the 2018 and YTD 2019 averages of 373
and 382, respectively. The pool's 10 largest loans comprise 59.3%
of the pool, which is greater than the 2018 and YTD 2019 averages
of 50.6% and 51.3%, respectively. For this transaction, the losses
estimated by Fitch's deterministic test at 'AAAsf' exceeded the
base model loss estimate.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 14.4% below
the most recent year's NOI for properties for which a full-year NOI
was provided, excluding properties that were stabilizing during
this period. Unanticipated further declines in property-level NCF
could result in higher defaults and loss severities on defaulted
loans and in potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the BANK
2019-BNK24 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 'AA-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'
could result.
BENCHMARK MORTGAGE 2018-B1: Fitch Affirms B-sf Rating on F-RR Certs
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Fitch Ratings affirmed 16 classes of Benchmark 2018-B1 Mortgage
Trust Commercial Mortgage Pass-Through Certificates.
RATING ACTIONS
Benchmark 2018-B1 Mortgage Trust
Class A-1 08162PAS0; LT AAAsf Affirmed; previously at AAAsf
Class A-2 08162PAT8; LT AAAsf Affirmed; previously at AAAsf
Class A-3 08162PAU5; LT AAAsf Affirmed; previously at AAAsf
Class A-4 08162PAW1; LT AAAsf Affirmed; previously at AAAsf
Class A-5 08162PAX9; LT AAAsf Affirmed; previously at AAAsf
Class A-M 08162PAZ4; LT AAAsf Affirmed; previously at AAAsf
Class A-SB 08162PAV3; LT AAAsf Affirmed; previously at AAAsf
Class B 08162PBA8; LT AA-sf Affirmed; previously at AA-sf
Class C 08162PBB6; LT A-sf Affirmed; previously at A-sf
Class D 08162PAG6; LT BBB-sf Affirmed; previously at BBB-sf
Class E 08162PAJ0; LT BB-sf Affirmed; previously at BB-sf
Class F-RR 08162PAL5; LT B-sf Affirmed; previously at B-sf
Class X-A 08162PAY7; LT AAAsf Affirmed; previously at AAAsf
Class X-B 08162PAA9; LT AA-sf Affirmed; previously at AA-sf
Class X-D 08162PAC5; LT BBB-sf Affirmed; previously at BBB-sf
Class X-E 08162PAE1; LT BB-sf Affirmed; previously at BB-sf
KEY RATING DRIVERS
Stable Loss Expectations: The affirmations are based on the stable
performance of the underlying collateral. No loans have been
delinquent or transferred to special servicing since issuance and
Fitch has not designated any loans as Fitch Loans of Concern
(FLOCs). Two loans (3.9%) are on the master servicer's watchlist
due to declines in occupancy: 156-158 Bleecker (2.9%) and William
Penn Building (1%). The decline at 156-158 Bleecker is considered
minor; however, the William Penn Building occupancy of 70% as of
September 2019 contributed to a low YE 2018 debt service coverage
ratio (DSCR) of 0.98x and 1.16x as of September 2019. Fitch will
monitor the performance of these two properties and designate them
as FLOCs if performance doesn't improve. There have been no
material changes to the pool since issuance, therefore the original
rating analysis was considered in affirming the transaction.
Minimal Change to Credit Enhancement: There has been minimal change
to credit enhancement since issuance. As of the November 2019
distribution date, the pool's aggregate balance has been paid down
by 0.41% to $1.16 billion from $1.17 billion at issuance. All 49 of
the original loans remain in the pool and none are defeased.
Seventeen loans representing 59% of the pool are full-term,
interest-only loans and 15 loans representing 25.7% of the pool
remain in their partial interest-only period. The pool is scheduled
to amortize by 5.9% of the initial pool balance by maturity.
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.
BRAVO RESIDENTIAL 2019-NQM2: DBRS Gives Prov. B Rating on B2 Notes
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Mortgage-Backed Notes, Series 2019-NQM2 (the Notes) to be issued by
BRAVO Residential Funding Trust 2019-NQM2 (BRAVO 2019-NQM2 or the
Trust):
-- $255.5 million Class A-1 at AAA (sf)
-- $17.1 million Class A-2 at AA (sf)
-- $26.4 million Class A-3 at A (sf)
-- $13.3 million Class M-1 at BBB (sf)
-- $9.6 million Class B-1 at BB (sf)
-- $9.0 million Class B-2 at B (sf)
The AAA (sf) rating on the Class A-1 Notes reflects 25.10% of
credit enhancement provided by subordinated Notes in the pool. The
AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect
20.10%, 12.35%, 8.45%, 5.65% and 3.00% of credit enhancement,
respectively.
Other than the specified classes above, DBRS Morningstar does not
rate any other classes in this transaction.
This transaction is a securitization of a portfolio of fixed- and
adjustable-rate prime and non-prime first-lien residential
mortgages funded by the issuance of the Notes. The Notes are backed
by 742 loans with a total principal balance of $341,102,250 as of
the Cut-Off Date (October 31, 2019). By balance, 40.5% of the loans
included in this pool were included in COLT 2017-2 Mortgage Loan
Trust, a DBRS Morningstar-rated securitization that was collapsed
and cleaned up after the August 2019 distribution. The remaining
59.5% of the loans were acquired by affiliates of the sponsor.
The mortgage loans were originated by Caliber Home Loans, Inc.
(41.3%), AmWest Funding Corp. (10.0%), Excelerate Capital (9.7%),
A&D Mortgage (8.5%), LoanStream (8.2%), Impac (6.4%), and various
other originators, each comprising less than 5.0% of the mortgage
loans.
Although a portion of the mortgage loans was originated to satisfy
the Consumer Financial Protection Bureau (CFPB) ability-to-repay
(ATR) rules, they were made to borrowers who generally do not
qualify for an agency, government or private label non-agency prime
jumbo products for various reasons. In accordance with the CFPB
Qualified Mortgage (QM) rules, 1.5% of the loans by balance are
designated as QM Safe Harbor, 11.7% as QM Rebuttable Presumption
and 63.1% as non-QM. QM/ATR exempt loans consist of loans made to
investors for business purposes (approximately 22.3% of the loans
by balance) and loans originated by Commerce Home Mortgage, LLC, a
Community Development Financial Institution (CDFI; 1.4% of the
pool). While CDFI loans are not required to adhere to the ATR
rules, the CDFI loans included in this pool were documented with at
least 12 months of the income documentation and were made to mostly
creditworthy borrowers with a weighted-average credit score of
726.
There will be no advancing of delinquent principal or interest on
any mortgage loan by the servicers or any other party to the
transaction; however, the servicers are obligated to make advances
in respect of taxes and insurance, the cost of preservation,
restoration, and protection of mortgaged properties and any
enforcement or judicial proceedings, including foreclosures and
reasonable costs and expenses incurred in the course of servicing
and disposing of properties.
On or after the date when the aggregate principal balance of the
mortgage loans and any real estate owned (REO) properties is
reduced to 30% of the Cut-Off Date balance, the holder of the Trust
Certificates has the option to purchase all of the outstanding
loans and REO properties at a price equal to the outstanding
balance plus accrued and unpaid interest, including any fees,
expenses, indemnification amounts and unpaid extraordinary trust
expenses.
This transaction employs a cash flow structure that is similar to
many non-QM securitizations. The transaction contains a
sequential-pay cash flow structure with a pro-rata principal
distribution among the senior tranches. Principal proceeds can be
used to cover interest shortfalls on the Notes as the outstanding
senior Certificates are paid in full. Furthermore, the excess
spread can be used to cover realized losses first before being
allocated to unpaid Cap Carryover Amounts.
Notes: All figures are in U.S. dollars unless otherwise noted.
BRAVO RESIDENTIAL 2019-NQM2: Fitch Rates Class B-2 Debt Bsf
-----------------------------------------------------------
Fitch Ratings assigned the following ratings to BRAVO Residential
Funding Trust 2019-NQM2:
RATING ACTIONS
BRAVO Residential Funding Trust 2019-NQM2
Class A-1; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-2; LT AAsf New Rating; previously at AA(EXP)sf
Class A-3; LT Asf New Rating; previously at A(EXP)sf
Class B-1; LT BBsf New Rating; previously at BB(EXP)sf
Class B-2; LT Bsf New Rating; previously at B(EXP)sf
Class B-3; LT NRsf New Rating; previously at NR(EXP)sf
Class M-1; LT BBBsf New Rating; previously at BBB(EXP)sf
TRANSACTION SUMMARY
Fitch rated the residential mortgage-backed transaction BRAVO
Residential Funding Trust 2019-NQM2 (BRAVO 2019-NQM2), issued by a
private fund managed by Pacific Investment Management Company LLC
(PIMCO). The notes are supported by 742 loans with a total balance
of approximately $341.10 million as of the cutoff date.
Over 41% of the pool consists of loans previously securitized in
the 2016 and 2017 COLT transactions that have since been called.
The remaining loans were originated by various sellers.
Approximately 64% of the pool is designated as non-qualified
mortgages (non-QM), 11% consists of higher priced QM (HPQM) and
close to 2% comprises safe harbor QM (SHQM). The ability to repay
(ATR) does not apply to the remaining loans since they are business
purpose loans that are not subject to ATR (22%) or are exempt from
QM (1.3%) or were originated prior to the QM rule (0.01%).
The servicing agreements provide that a substitute index will be
selected to replace LIBOR when the LIBOR index is not available for
the adjustable rate loans based off one-year LIBOR. The notes in
the transaction are not affected by LIBOR replacement since the
coupons are based on a fixed rate or the net WAC.
KEY RATING DRIVERS
Non-Prime Credit Quality (Mixed): The pool has a weighted average
(WA) Fitch model credit score of 719 and a Fitch derived WA
mark-to-market combined loan-to-value ratio (CLTV) of 72.2%. This
pool is seasoned 18 months, has an original term of 363 months and
is comprised mainly of adjustable rate mortgages (ARMs) (64%). The
pool contains 56 loans that are over $1 million and the largest
loan is $2.83 million. The majority of the loans were originated
through a non-retail channel.
Alternative Income Documentation (Negative): Less than half of the
pool is comprised of fully documented loans (46%) and 54% consists
of alternative income documentation such as bank statements, CPA
letters, profit and loss (P&L) statements, property cash flows, and
asset depletion. Approximately 19% of the pool was underwritten to
a bank statement program and over 10% was underwritten using a
letter from a CPA or P&L statements, or both, to verify income.
Fitch increased its base case probability of default (PD) by
roughly 1.5x to account for higher risk associated with the bank
statements, which assumes slightly less relative risk than a
pre-crisis "stated income" loan. The CPA and P&L income
documentation were treated as "stated income" loans and received a
slightly higher penalty than the bank statements.
Investor Loans (Negative): Approximately 22% of the pool is
comprised of investment property loans, with 13% underwritten to a
debt service cash flow ratio (DSCR) rather than the borrower's
debt-to-income ratio (DTI). The investor property borrowers have a
WA FICO of 730 and an original LTV of 64% (loans underwritten to
the cash flow ratio have a WA FICO of 733 and an original LTV of
63%). Fitch increased the PD by more than 2.0x for the cash flow
ratio loans and assumed them to have 'no income' documentation.
Non-Permanent Residents (Negative): Almost 5% of the pool is
comprised of loans made to non-permanent residents. The collateral
attributes of these borrowers are strong with a weighted average
714 and original LTV of 66%. The majority of these loans are
purchase loans on primary residences (77%), and are mostly
single-family homes (70%). To account for the potentially higher
default risk associated with non-permanent residents, Fitch assumed
these loans to be non-owner occupied with no documented income or
assets and zero liquid reserves.
Geographic Concentration (Negative): Approximately 44% of the pool
is concentrated in California with relatively low MSA
concentration. The largest MSA concentration is in the Los Angeles
MSA (20.4%) followed by the Miami MSA (11.7%) and the New York MSA
(7.2%). The top three MSAs account for 39.3% of the pool. As a
result, there was a 1.03x PD adjustment for geographic
concentration.
Modified Sequential Structure (Positive): A modified sequential
structure is being used, which is in line with previously issued
non-prime transactions. Under this structure principal is
distributed pro-rata to the senior classes subject to the passing
of certain performance triggers while the subordinate classes are
locked out from any principal until the senior classes are paid in
full. To the extent the triggers fail, the payment priority reverts
to fully sequential. Principal collections can be used to provide
interest to the bonds.
Excess Cash Flow (Positive): The transaction benefits from a
material amount of excess cash flow that provides benefit to the
rated notes before being paid out to the class XS. In Fitch's
analysis, the excess is used to protect against realized losses
(resulting in required subordination below Fitch's collateral loss
expectations) as well as timely payment of interest for all classes
in their respective rating stress. To the extent that the
collateral weighted average coupon (WAC) and corresponding excess
are reduced through a rate modification, Fitch would view the
impact as credit neutral as the modification would reduce the
borrower's PD, resulting in a lower loss expectation.
Performance Triggers (Positive): Delinquency and loan loss triggers
convert principal distribution to a straight sequential payment
priority in the event of poor asset performance. The delinquency
trigger is based on a rolling six-month average. The triggers for
this transaction should help to protect the A-1 and A-2 classes
from a high stress scenario by cutting off principal payments to
more junior classes and ensuring a higher amount of protection
compared to when the triggers are passing.
Due Diligence Review Results (Positive): Third-party due diligence
was performed on 99.6% of loans in the transaction. AMC Diligence,
LLC (AMC) and Clayton Services, LLC (Clayton), both an 'Acceptable
- Tier 1' TPR, performed the vast majority of the due diligence
reviews. A small percentage of due diligence review was performed
by Digital Risk, LLC (Digital Risk) an 'Acceptable - Tier 2' TPR.
The results of the review confirm high overall loan quality with
the majority of exceptions deemed as non-material. Fitch applied a
credit for the high percentage of loan level due diligence which
reduced the 'AAA' loss expectation by 42 bps. Negative adjustments
were made on only a handful of loans to account for due diligence
findings relating to missing final HUDs and unrecorded original
modification agreements which had an immaterial impact on Fitch's
loss expectation.
Low Operational Risk (Neutral): Certain investment vehicles managed
by PIMCO have a long operating history of aggregating residential
mortgage loans. PIMCO is assessed as 'Above Average' by Fitch as an
aggregator. The servicers for this transaction are Rushmore Loan
Management Servicer LLC (rated RPS2 by Fitch), Specialized Loan
Servicing, LLC (rated RPS2+ by Fitch), Sterling Bank and Trust, FSB
(not assessed by Fitch) and AmWest Funding Corp. (not assessed by
Fitch). Nationstar Mortgage LLC will be master servicer and is
rated 'RMS2+' by Fitch.
Representation Framework (Negative): The seller will be providing
loan-level representations and warranties (R&W) to the loans in the
trust. The rep and warranty (R&W) framework is consistent with Tier
2 quality. The framework lacks an automatic review trigger which is
the primary driver of the Tier 2 consideration. The controlling
holder has the option to pursue a breach review for loans with a
realized loss; however, 25% of the aggregate bond holders may also
initiate a review. An improvement from BRAVO 2019-NQM1, is the
inclusion of a knowledge qualifier clawback provision. The reps are
being provided by an unrated counterparty. Fitch increased its loss
expectation by 163bps at the 'AAAsf' rating category due to the rep
framework and unrated counterparty.
No P&I Advancing (Mixed): This deal is structured without P&I
advancing. This is atypical for a modified sequential non-prime
transaction structure, which typically features limited advancing
of four to six months. The lack of advancing led to lower loss
severities, but resulted in a higher spread between expected
collateral loss and credit enhancement (CE).
RATING SENSITIVITIES
Fitch's analysis incorporates a sensitivity analysis to demonstrate
how the ratings would react to steeper market value declines than
assumed at the MSA level. The implied rating sensitivities are only
an indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to or
may be considered in the surveillance of the transaction. Three
sets of sensitivity analyses were conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper market value declines at the
national level. The analysis assumes market value declines of 10%,
20% and 30%, in addition to the model-projected 4.3%.
The defined rating sensitivities determine the stresses to MVDs
that would reduce a rating by one full category, to non-investment
grade and to 'CCCsf'.
CRITERIA VARIATION
The transaction was analyzed with one variation to the "U.S. RMBS
Rating Criteria" report regarding the scope of the diligence that
was performed. Per Fitch's criteria, Fitch expects loans seasoned
less than 24 months to have received a property valuation review
and a credit review. In this transaction, two of the recently
originated loans (seasoned less than 24 months) did not receive a
property valuation review and two of the loans (seasoned less than
24 months) did not receive a credit review. For these four loans,
Fitch did not apply due diligence credit. As a result, there was no
rating impact due to this variation.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC Diligence, LLC (AMC), Clayton Services, LLC
(Clayton), Digital Risk, LLC (Digital Risk). The third-party due
diligence focused on three areas: a compliance review; a credit
review; and a valuation review; and was conducted on 99.6% of the
loans in the pool. Solidifi Title & Closing, LLC provided a 15E for
the title review that they completed. Fitch considered this
information in its analysis and believes the overall results of the
review generally reflected strong underwriting controls.
Fitch received certifications indicating that the loan-level due
diligence was conducted in accordance with its published standards
for reviewing loans and in accordance with the independence
standards outlined in its criteria.
BUNKER HILL 2019-3: S&P Assigns B- (sf) Rating to Class B-2 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Bunker Hill Loan
Depositary Trust 2019-3's mortgage-backed notes.
The note issuance is an RMBS transaction backed by U.S. residential
mortgage loans.
The ratings reflect:
-- The pool's collateral composition;
-- The credit enhancement provided for this transaction;
-- The transaction's associated structural mechanics;
-- The transaction's representation and warranty framework; and
-- The mortgage aggregator.
RATINGS ASSIGNED
Bunker Hill Loan Depositary Trust 2019-3
Class Rating(i) Amount ($)
A-1 AAA (sf) 189,769,000
A-2 AA (sf) 24,905,000
A-3 A- (sf) 35,907,000
M-1 BBB (sf) 15,279,000
B-1 BB- (sf) 19,863,000
B-2 B- (sf) 10,695,000
B-3 NR 9,169,628
A-IO-S NR Notional(ii)
XS NR Notional(ii)
R NR N/A
(i)The ratings address the ultimate payment of interest and
principal. They do not address payment of the step-up interest
payment amounts or cap carryover amounts.
(ii)The notional amount equals the loans' aggregate stated
principal
balance.
NR--Not rated.
N/A--Not applicable.
BX TRUST 2019-OC11: Moody's Assigns (P)Ba3 Rating on 2 Tranches
---------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to eight
classes of CMBS securities, issued by BX Trust 2019-OC11,
Commercial Mortgage Pass-Through Certificates, Series 2019-OC11:
Cl. A, Assigned (P)Aaa (sf)
Cl. B, Assigned (P)Aa3 (sf)
Cl. C, Assigned (P)A3 (sf)
Cl. D, Assigned (P)Baa3 (sf)
Cl. E, Assigned (P)Ba3 (sf)
Cl. HRR, Assigned (P)Ba3 (sf)
Cl. X-A*, Assigned (P)Aaa (sf)
Cl. X-B*, Assigned (P)A2 (sf)
* Reflects interest-only classes
RATINGS RATIONALE
The Certificates are collateralized by a single loan backed by a
first lien commercial mortgage related to one property, the
Bellagio Hotel & Resort. The ratings are based on the collateral
and the structure of the transaction.
The Bellagio is a AAA Five Diamond full-service resort and casino
that spans 77 acres on the Las Vegas Strip. The hotel contains
3,933 guestrooms and suites across two hotel towers -- Main Tower
(3,005 rooms) and Spa Tower (928 rooms). The property offers an
expansive package of attractions including approximately 154,000 SF
of casino space, 200,000 SF of meeting, convention and ballroom
facilities, over 29 restaurants, lounges and bars, 30 luxury
retailers across approximately 94,000 SF of space, approximately
55,000 SF of spa facilities, five swimming pools, Bellagio Gallery
of Fine Art, Bellagio Conservatory and Botanical Gardens, and the
Bellagio Fountains, a choreographed water feature with performances
set to light and music. The property is also the home to Cirque du
Soleil's "O", an aquatic acrobatic theater production.
The property is centrally located on the west side of the Las Vegas
Strip at the intersection of S. Las Vegas Boulevard and E. Flamingo
Road. With frontage on the Strip, the property sits between the
Cosmopolitan to the south and Caesar's Palace to the north. As of
September 30, 2019, the Bellagio reported 94.8% occupancy with a
$281.69 ADR resulting in a $267.18 RevPAR.
Moody's approach to rating this transaction involved the
application of both its Large Loan and Single Asset/Single Borrower
CMBS methodology and its IO Rating methodology. The rating approach
for securities backed by a single loan compares the credit risk
inherent in the underlying collateral with the credit protection
offered by the structure. The structure's credit enhancement is
quantified by the maximum deterioration in property value that the
securities are able to withstand under various stress scenarios
without causing an increase in the expected loss for various rating
levels. In assigning single borrower ratings, Moody's also
considers a range of qualitative issues as well as the
transaction's structural and legal aspects.
The credit risk of commercial real estate loans is determined
primarily by two factors: 1) the probability of default, which is
largely driven by the DSCR, and 2) and the severity of loss in the
event of default, which is largely driven by the LTV of the
underlying loan.
The first mortgage balance of $1,910,000,000 represents a Moody's
LTV of 94.8%. The Moody's first mortgage Actual DSCR is 3.44X and
Moody's first mortgage Stressed DSCR is 1.36X.
Moody's also grades properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The Property's
property quality grade is 1.5, reflecting the strong quality of
this asset.
Notable strengths of the transaction include: asset quality,
property location, recent refurbishment, and MGM Guarantee.
Notable credit challenges of the transaction include: lack of
diversity for this single asset transaction, property type
volatility, increased competition, dependence on tourism, and the
lack of loan amortization.
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating interest-only classes were "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017 and "Moody's Approach to Rating
Structured Finance Interest-Only Securities" published in February
2019.
Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from its
Moody's loan level LTV ratios. Major adjustments to determining
proceeds include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.
Moody's analysis considers the following inputs to calculate the
proposed IO rating based on the published methodology: original and
current bond ratings and credit estimates; original and current
bond balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology.
These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer at
the date it was prepared and such information has not been
independently verified by Moody's; (b) must be construed solely as
a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating to
the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third party
for any loss, injury or cost caused to the issuer or any other
third party, in whole or in part, including by any negligence (but
excluding fraud, dishonesty and/or willful misconduct or any other
type of liability that by law cannot be excluded) on the part of,
or any contingency beyond the control of Moody's, or any of its
employees or agents, including any losses arising from or in
connection with the procurement, compilation, analysis,
interpretation, communication, dissemination, or delivery of any
information or rating relating to the issuer.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
Moody's ratings address only the credit risks associated with the
transaction. Other non-credit risks have not been addressed and may
have a significant effect on yield to investors.
The ratings do not represent any assessment of (i) the likelihood
or frequency of prepayment on the mortgage loans, (ii) the
allocation of net aggregate prepayment interest shortfalls, (iii)
whether or to what extent prepayment premiums might be received, or
(iv) in the case of any class of interest-only certificates, the
likelihood that the holders thereof might not fully recover their
investment in the event of a rapid rate of prepayment of the
mortgage loans.
CARVANA AUTO 2019-4: Moody's Assigns (P)B2 Rating on Cl. E Notes
----------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to the notes
to be issued by Carvana Auto Receivables Trust 2019-4. This is the
fourth 144A auto loan transaction for Carvana, LLC, an indirect
wholly owned subsidiary of Carvana Co. (B3 stable). The notes will
be backed by a pool of retail automobile loan contracts originated
by Carvana, who is also the administrator of the transaction.
Bridgecrest Credit Company, LLC, an indirect wholly owned
subsidiary of DriveTime Auto Group (B3 stable), will be the
servicer of the transaction.
Issuer: Carvana Auto Receivables Trust 2019-4
Class A-2 Notes, Assigned (P)Aaa (sf)
Class A-3 Notes, Assigned (P)Aaa (sf)
Class B Notes, Assigned (P)Aa2 (sf)
Class C Notes, Assigned (P)A2 (sf)
Class D Notes, Assigned (P)Baa3 (sf)
Class E Notes, Assigned (P)B2 (sf)
RATINGS RATIONALE
The ratings are based on the quality of the underlying collateral
originated by Carvana and its expected performance, the strength of
the capital structure, the experience and expertise of Bridgecrest
Credit as the servicer and the presence of Vervent Inc. (unrated)
as the backup servicer.
Moody's median cumulative net loss expectation for the 2019-4 pool
is 11% and the loss at a Aaa stress is 50%. The loss levels for
2019-4 are unchanged relative to 2019-3 and 2019-2, the last two
transactions Moody'srated. Moody's based its cumulative net loss
expectation on an analysis of the credit quality of the underlying
collateral; the historical performance of similar collateral
including Carvana's managed portfolio performance; the ability of
Bridgecrest Credit to perform the servicing functions; and current
expectations for the macroeconomic environment during the life of
the transaction.
At closing, the Class A notes, Class B notes, Class C notes, Class
D notes and Class E notes are expected to benefit from 48.85%,
32.50%, 23.35%, 12.20% and 3.70% of hard credit enhancement,
respectively. Hard credit enhancement for the notes consists of a
combination of overcollateralization, a non-declining reserve
account and subordination except for the Class E notes which do not
benefit from subordination. The notes may also benefit from excess
spread.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
March 2019.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the subordinated notes if, given current
expectations of portfolio losses, levels of credit enhancement are
consistent with higher ratings. In sequential pay structures, such
as the one in this transaction, credit enhancement grows as a
percentage of the collateral balance as collections pay down senior
notes. Prepayments and interest collections directed toward note
principal payments will accelerate this build of enhancement.
Moody's expectation of pool losses could decline as a result of a
lower number of obligor defaults or appreciation in the value of
the vehicles securing an obligor's promise of payment. Portfolio
losses also depend greatly on the US job market, the market for
used vehicles, and changes in servicing practices.
Down
Moody's could downgrade the notes if, given current expectations of
portfolio losses, levels of credit enhancement are consistent with
lower ratings. Credit enhancement could decline if excess spread is
not sufficient to cover losses in a given month. Moody's
expectation of pool losses could rise as a result of a higher
number of obligor defaults or deterioration in the value of the
vehicles securing an obligor's promise of payment. Portfolio losses
also depend greatly on the US job market, the market for used
vehicles, and poor servicing. Other reasons for worse-than-expected
performance include error on the part of transaction parties,
inadequate transaction governance, and fraud.
CF 2019-CF3: Fitch to Rate $8.6MM Class N-RR Certs 'B-sf'
---------------------------------------------------------
Fitch Ratings issued a presale report on CF 2019-CF3 Mortgage Trust
commercial mortgage pass-through certificates, series 2019-CF3.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $15,390,000 class A-1 'AAAsf'; Outlook Stable;
-- $58,585,000 class A-2 'AAAsf'; Outlook Stable;
-- $21,534,000 class A-SB 'AAAsf'; Outlook Stable;
-- $147,500,000a class A-3 'AAAsf'; Outlook Stable;
-- $294,294,000a class A-4 'AAAsf'; Outlook Stable;
-- $537,303,000b class X-A 'AAAsf'; Outlook Stable;
-- $146,800,000b class X-B 'A-sf'; Outlook Stable;
-- $84,434,000 class A-S 'AAAsf'; Outlook Stable;
-- $31,663,000 class B 'AA-sf'; Outlook Stable;
-- $30,703,000 class C 'A-sf'; Outlook Stable;
-- $34,541,000bc class X-D 'BBB-sf'; Outlook Stable;
-- $19,189,000c class D 'BBBsf'; Outlook Stable;
-- $15,352,000c class E 'BBB-sf'; Outlook Stable;
-- $7,675,000cd class F-RR 'BBsf'; Outlook Stable;
-- $7,676,000cd class G-RR 'BB-sf'; Outlook Stable;
-- $8,635,000cd class H-RR 'B-sf'; Outlook Stable.
The following classes are not expected to be rated by Fitch:
-- $24,947,113cd class J-RR;
-- $21,551,091e class VRR.
(a) The initial certificate balances of class A-3 and A-4 are
unknown and expected to be $441,794,000 in aggregate. The
certificate balances will be determined based on the final pricing
of those classes of certificates. The expected class A-3 balance
range is $75,000,000 to $220,000,000, and the expected class A-4
balance range is $221,794,000 to $366,794,000.
(b) Notional amount and interest only.
(c) Privately placed and pursuant to Rule 144A.
(d) Represents the eligible horizontal credit-risk retention
interest.
(e) Represents the eligible vertical credit-risk retention
interest.
The expected ratings are based on information provided by the
issuer as of Dec. 2, 2019.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 48 loans secured by 67
commercial properties having an aggregate principal balance of
$789,128,204 as of the cut-off date. The loans were contributed to
the trust by Cantor Commercial Real Estate Lending, L.P., Starwood
Mortgage Capital LLC and KeyBank National Association.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 66.5% of the properties
by balance, cash flow analysis of 81.5% and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Lower Fitch Leverage than Recent Transactions: Overall, the pool's
Fitch DSCR of 1.39x is better than average when compared with the
YTD 2019 and 2018 averages of 1.25x and 1.22x, respectively. The
pool's LTV of 100.9% is better than the YTD 2019 and 2018 averages
of 102.8% and 102.0%, respectively. Excluding credit opinion loans,
the Fitch DSCR and LTV are 1.41x and 106.9%, respectively.
Property Type Concentrations: Loans collateralized by multifamily
properties represent 28.1% of the pool, which is significantly
above the YTD 2019 and 2018 averages of 14.6% and 11.6%,
respectively. Loans secured by multifamily properties have a lower
probability of default in Fitch's multiborrower model, all else
being equal. Additionally, loans collateralized by hotel properties
represent 6.1% of the pool, which is below the YTD 2019 and 2018
averages of 12.8% and 14.7%, respectively. Hotels have the highest
probability of default in Fitch's multiborrower model, all else
equal.
Investment-Grade Credit Opinion Loans: Four loans representing
16.3% of the pool are credit assessed. This is above the 2019 YTD
and 2018 concentrations of 13.9% and 13.6%, respectively. Century
Plaza Tower (6.3%), 225 Bush (3.6%), 180 Water (3.2%) and 3
Columbus Circle (3.2%) each received credit opinions of 'BBB-sf*'
on a stand-alone basis.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 8.5% below
the most recent year's NOI for properties for which a full-year NOI
was provided, excluding properties that were stabilizing during
this period. Unanticipated further declines in property-level NCF
could result in higher defaults and loss severities on defaulted
loans and in potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the CF
2019-CF3 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.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of 3. ESG issues are credit neutral
or have only a minimal credit impact on the transaction, either due
to their nature or the way in which they are being managed by the
transaction.
CITIGROUP COMMERCIAL 2019-C7: Fitch to Rate 2 Tranches 'B-'
-----------------------------------------------------------
Fitch Ratings expects to rate Citigroup Commercial Mortgage Trust
2019-C7 Commercial Mortgage Pass-Through Certificates, series
2019-C7.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $23,936,000 class A-1 'AAAsf'; Outlook Stable;
-- $43,000,000 class A-2 'AAAsf'; Outlook Stable;
-- $178,000,000a class A-3 'AAAsf'; Outlook Stable;
-- $476,619,000a class A-4 'AAAsf'; Outlook Stable;
-- $45,958,000 class A-AB 'AAAsf'; Outlook Stable;
-- $69,898,000 class A-S 'AAAsf'; Outlook Stable;
-- $837,411,000b class X-A 'AAAsf'; Outlook Stable;
-- $50,711,000 class B 'AA-sf'; Outlook Stable;
-- $53,452,000 class C 'A-sf'; Outlook Stable;
-- $104,163,000bc class X-B 'A-sf'; Outlook Stable;
-- $34,264,000c class D 'BBBsf'; Outlook Stable;
-- $28,782,000c class E 'BBB-sf'; Outlook Stable;
-- $63,046,000bc class X-D 'BBB-sf'; Outlook Stable;
-- $15,076,000c class F 'BB+sf'; Outlook Stable;
-- $15,076,000bc class X-F 'BB+sf'; Outlook Stable;
-- $13,705,000c class G 'BB-sf'; Outlook Stable;
-- $13,705,000bc class X-G 'BB-sf'; Outlook Stable;
-- $12,335,000c class H 'B-sf'; Outlook Stable;
-- $12,335,000bc class X-H 'B-sf'; Outlook Stable;
The following classes are not expected to be rated:
-- $17,818,000cd class J-RR.
-- $32,893,569cd class K-RR.
-- The transaction includes five classes of non-offered
loan-specific certificates (non-pooled rake classes) related to the
companion loan of the 805 Third Avenue loan. Classes 805A, 805B,
805C, 805D, and 805H are all not expected to be rated by Fitch.
(a) The initial certificate balances of class A-3 and class A-4 are
unknown and expected to be $654,619,000 in aggregate plus or minus
5%. The certificate balances will be determined based on the final
pricing of those classes of certificates. The expected class A-3
balance range is $50,000,000 to $306,000,000 and the expected class
A-4 balance range is $348,619,000 to $604,619,000.
(b) Notional amount and interest only.
(c) Privately placed and pursuant to rule 144A.
(d) Horizontal risk retention (HRR) interest.
The expected ratings are based on information provided by the
issuer as of Dec. 5, 2019.
TRANSACTION SUMMARY
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 55 loans secured by 113
commercial properties having an aggregate principal balance of
$1,139,147,570 as of the cutoff date. The loans were contributed to
the trust by Citi Real Estate Funding Inc., Ladder Capital Finance
LLC, Starwood Mortgage Capital LLC and Rialto Mortgage Finance,
LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 79.1% of the properties
by balance, cash flow analysis of 74.8% and asset summary reviews
on 100.0% of the pool.
KEY RATING DRIVERS
Fitch Leverage: The pool's Fitch debt service coverage ratio (DSCR)
of 1.16x is lower than the 2018 and 2019 YTD averages of 1.22x and
1.25x, respectively. In addition, the pool's loan to value (LTV) of
111.1% is higher than the 2018 and 2019 YTD average of 102.0% and
103.0%, respectively.
Pool Concentration: The top 10 loans represent 38.2% of the pool by
balance, which is lower than the 2018 and 2019 YTD multiborrower
transaction averages of 50.6% and 51.3%, respectively. The pool's
loan concentration index (LCI) of 271 and sponsor concentration
index (SCI) score of 366 are also below the YTD 2019 averages of
382 and 404, respectively.
Investment-Grade Credit Opinion Loans: Two loans representing 8.8%
of the pool are credit assessed. 650 Madison Avenue loan (4.4% of
the pool) received a stand-alone credit opinion of 'BBB-sf*' and
the 805 3rd Avenue loan (4.4% of the pool) received a stand-alone
credit opinion of 'BBBsf*'. Excluding the credit opinion loans, the
Fitch DSCR and LTV are 1.16x and 114.6%, respectively.
RATING SENSITIVITIES
For this transaction, Fitch's NCF was 13.0% below the most recent
year's NOI (for properties for which a full year NOI was provided,
excluding properties that were stabilizing during this period). The
following rating sensitivities describe how the ratings would react
to further NCF declines below Fitch's NCF. The implied rating
sensitivities are only indicative of some of the potential outcomes
and do not consider other risk factors to which the transaction is
exposed. Stressing additional risk factors may result in different
outcomes. Furthermore, the implied ratings, after the further NCF
stresses are applied, are more akin to what the ratings would be at
deal issuance had those further stressed NCFs been in place at that
time.
Fitch evaluated the sensitivity of the ratings assigned to CGCMT
2019-C7 certificates and found that the transaction displays
average sensitivity to further declines in NCF. In a scenario in
which NCF declines a further 20% from Fitch's NCF, a downgrade of
the 'AAAsf' certificates to 'Asf' could result. A more severe
scenario, in which NCF declines a further 30% from Fitch's NCF,
could result in a downgrade of the 'AAAsf' certificates to 'BBBsf'.
The presale report includes a detailed explanation of additional
stresses and sensitivities.
CITIGROUP COMMERCIAL 2019-C7: Moody's Rates Class 805C Certs (P)B3
------------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to 3 classes
of loan-specific CMBS securities, issued by Citigroup Commercial
Mortgage Trust 2019-C7, Commercial Mortgage Pass-Through
Certificates, Series 2019-C7
Cl. 805A, Assigned (P)Baa3 (sf)
Cl. 805B, Assigned (P)Ba3 (sf)
Cl. 805C, Assigned (P)B3 (sf)
RATINGS RATIONALE
The loan-specific certificates are collateralized by a $125.0
million B-note, which is a junior component of a $275.0 million,
fixed-rate mortgage loan secured by the borrower's fee simple
interest in 596,100 SF office property at 805 Third Avenue, New
York, NY. The ratings are based on the collateral and the structure
of the transaction. In addition to the rake certificates, the
transaction will also issue the following certificates that are not
being rated by Moody's: Class A-1, Class A-2, Class A-3, Class A-4,
Class A-AB, Class X A, Class A-S, Class B, Class C, Class X-B,
Class X-D, Class X-F, Class X-G, Class X-H, Class D, Class E, Class
F, Class G, Class H, Class J-RR, Class R, Class K-RR, and Class S
Certificates. The rake certificates will be entitled to receive
distributions only from the B-note, which will not be part of the
pool of mortgage Loans backing the pooled certificates. Similarly,
the rake certificates will only incur losses that are allocated to
the B-note.
Moody's approach to rating this transaction involved the
application of its Large Loan and Single Asset/Single Borrower CMBS
methodology. The rating approach for securities backed by a single
loan compares the credit risk inherent in the underlying collateral
with the credit protection offered by the structure. The
structure's credit enhancement is quantified by the maximum
deterioration in property value that the securities are able to
withstand under various stress scenarios without causing an
increase in the expected loss for various rating levels. In
assigning single borrower ratings, Moody's also considers a range
of qualitative issues as well as the transaction's structural and
legal aspects.
The credit risk of loans is determined primarily by two factors: 1)
Moody's assessment of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessment of the
severity of loss upon a default, which is largely driven by each
loan's LTV ratio.
The mortgage loan balance of $275,000,000 represents a Moody's LTV
of 135.8%. The Moody's Trust Loan Actual DSCR is 1.46X and Moody's
Trust Loan Stressed DSCR is 0.64X. The whole loan of $275,000,000
is split into multiple promissory notes that include: a $50,000,000
senior trust note that is being contributed to this transaction as
a pooled asset; a $125 million subordinate B note as a non-pooled
asset of the trust supporting the rake certificates; and $100.0
million of non-trust pari passu notes that are expected to be
contributed to future CMBS conduit transactions.
The collateral under the mortgage loan is a 29-story office
building located at 805 Third Avenue. The property is situated on a
0.57-acre site on the east side of Third Avenue between 49th and
50th Streets. The Cohen Brothers developed 805 Third Avenue in 1982
and have owned the property since. The property contains
approximately 596,100 SF of net rentable area that was 91.9%
occupied as of October 2019. The largest tenant, Meredith Corp
(35.7% of NRA) has subleased the majority of its space to multiple
tenants including KBRA (16.0% of NRA) and Gen II Fund (11.8% of
NRA). No other tenant or subtenant occupies more than 6.9% of NRA.
Notable strengths of the transaction include: the Midtown Manhattan
location, stable occupancy history, below-market rents, and the
strong sponsorship.
Notable credit challenges of the transaction include: lack of
diversity for this single asset transaction, high leverage,
age/condition of the asset, and increasing competition from newly
constructed as well as recently renovated properties.
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.
Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from its
Moody's loan level LTV ratios. Major adjustments to determining
proceeds include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.
These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer at
the date it was prepared and such information has not been
independently verified by Moody's; (b) must be construed solely as
a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating to
the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third party
for any loss, injury or cost caused to the issuer or any other
third party, in whole or in part, including by any negligence (but
excluding fraud, dishonesty and/or willful misconduct or any other
type of liability that by law cannot be excluded) on the part of,
or any contingency beyond the control of Moody's, or any of its
employees or agents, including any losses arising from or in
connection with the procurement, compilation, analysis,
interpretation, communication, dissemination, or delivery of any
information or rating relating to the issuer.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
CONTINENTAL CREDIT 2017-1: DBRS Assigns B(high) Rating on C Notes
-----------------------------------------------------------------
DBRS, Inc. assigned new ratings to the following notes issued by
Continental Credit Card ABS 2017-1, LLC (CCCABS 2017-1):
-- $8,706,164.73 Class A Notes rated AA (sf)
-- $$14,845,888.59 Class B Notes rated A (sf)
-- $11,134,416.44 Class C Notes rated B (high) (sf)
These notes are currently also rated by DBRS Morningstar's
affiliated rating agency, Morningstar Credit Ratings, LLC (MCR). In
connection with the ongoing consolidation of DBRS Morningstar and
MCR, MCR previously announced that it had placed its outstanding
ratings of these notes Under Review–Analytical Integration Review
and that MCR intended to withdraw its outstanding ratings; such
withdrawal will occur on or about December 10, 2019. In accordance
with MCR's engagement letter covering these notes, upon withdrawal
of MCR's outstanding ratings, the DBRS Morningstar ratings will
become the successor ratings to the withdrawn MCR ratings.
The ratings are based on a review by DBRS Morningstar of the
following analytical considerations:
-- Transaction capital structure, ratings and form and sufficiency
of available credit enhancement.
-- Credit enhancement in the form of a subordinated note,
over-collateralization, a Spread Account, and Excess Spread.
-- Continental Finance Company, LLC (CFC or the Company) is a
privately held company owned directly or indirectly by its
founders. The founders and principals at the Company are all
veterans of the credit card lending and consumer banking
industries. The origination experience and performance history of
CFC began in 2006, although originations were halted between 2009
and 2011.
-- The Bank of Missouri (pursuant to an assumption agreement for
Mid America Bank) and Celtic Bank Corporation are the Sellers in
the transaction. The Sellers originated all the credit card
accounts. Although this account base is static, the Sellers will
continue to transfer receivables from those accounts on an ongoing
basis.
-- DBRS Morningstar reviewed the operational risk information
originally provided to MCR for CFC and conducted an update call
with the Company. As a result, DBRS Morningstar deems it to be an
acceptable servicer of credit card transactions.
-- Center One, LLC is the sub-servicer for this transaction. DBRS
Morningstar reviewed the operational risk information originally
provided to MCR, conducted an update call and performed an onsite
visit of the company. As a result, DBRS Morningstar deems it to be
an acceptable sub-servicer of this credit card transaction.
-- Vervent, LLC (Vervent; formerly known as First Associates Loan
Servicing, LLC) is the backup servicer on this transaction. DBRS
Morningstar has performed an operational risk review of Vervent and
deems it to be an acceptable backup servicer of this credit card
transaction.
-- The transaction has a Targeted Amortization Period (first four
years after the closing date) in addition to a Targeted Advance
Rate. Excess spread is used to maintain the Targeted Advance Rates
for the transaction during the Targeted Amortization Period. In
addition, if an early amortization event has not occurred, the
structure allows for some leakage to the issuer during the first 48
months (referred to as a Scheduled Amortization Date).
-- Three-month-average Excess spread as reported in October 2019
is approximately 8.72% for CCCABS 2017-1 per year due to the fees
collected by the servicer. A Cash Sweep Trigger (CST) is
incorporated into each structure. CSTs are curable and may occur
prior to an early amortization event if performance continues to
deteriorate. The CST is in effect if the three-month-average Excess
Spread Percentage is less than 5%. At that point, funds will be
withdrawn from the Spread Account and treated as Finance Charge
Collections, in order to increase the three-month-average Excess
Spread Percentage to 5%.
-- The CCCABS 2017-1 securitization base-case charge-off rate is
43.0%. The charge-off rate for this transaction is 36.92% as of
October 2019. The loss coverage multiples are slightly below the
DBRS Morningstar range multiples set forth in the methodology for
this asset class. DBRS Morningstar believes that this is warranted
given the magnitude of base-case losses and structural features of
this transaction.
-- DBRS Morningstar's principal payment rate base-case assumption
for the principal payment rate is 5.50% for CCCABS 2017-1.
-- DBRS Morningstar's base-case variable for yield is 55.0% for
CCCABS 2017-1.
-- The legal structure and presence of legal opinions that address
the true sale of the assets to the Issuing Entity, the
non-consolidation of the special-purpose vehicle with CFC, the fact
that the trust has a valid first-priority security interest in the
assets and the consistency with the DBRS Morningstar "Legal
Criteria for U.S. Structured Finance."
Notes: All figures are in U.S. dollars unless otherwise noted.
CONTINENTAL CREDIT 2019-1: DBRS Assigns BB(low) Rating on C Notes
-----------------------------------------------------------------
DBRS, Inc. assigned ratings to the following notes issued by
Continental Credit Card ABS 2019-1, LLC (CCCABS 2019-1):
-- $77,910,000 Class A Notes rated A (sf)
-- $22,170,000 Class B Notes rated BBB (sf)
-- $27,540,000 Class C Notes rated BB (low) (sf)
These notes are currently also rated by DBRS Morningstar's
affiliated rating agency, Morningstar Credit Ratings, LLC (MCR). In
connection with the ongoing consolidation of DBRS Morningstar and
MCR, MCR previously announced that it had placed its outstanding
ratings of these notes Under Review–Analytical Integration Review
and that MCR intended to withdraw its outstanding ratings; such
withdrawal will occur on or about December 10, 2019. In accordance
with MCR's engagement letter covering these notes, upon withdrawal
of MCR's outstanding ratings, the DBRS Morningstar ratings will
become the successor ratings to the withdrawn MCR ratings.
The ratings are based on a review by DBRS Morningstar of the
following analytical considerations:
-- Transaction capital structure, ratings and form and sufficiency
of available credit enhancement.
-- Credit enhancement in the form of a subordinated note,
over-collateralization, a reserve account, and Excess Spread.
-- Continental Finance Company, LLC (CFC or the Company) is a
privately held company that is owned directly or indirectly by its
founders. The founders and principals at the Company are all
veterans of the credit card lending and consumer banking
industries. The origination experience and performance history of
CFC began in 2006, although originations were halted between 2009
and 2011.
-- The Bank of Missouri (pursuant to an assumption agreement for
Mid America Bank) and Celtic Bank Corporation (Celtic) are the
Sellers in the transaction. The Sellers originated all the credit
card accounts. The Sellers will continue to transfer accounts and
related receivables on an ongoing basis.
-- DBRS Morningstar reviewed the operational risk information
originally provided to MCR for CFC and conducted an update call
with the Company. As a result, DBRS Morningstar deems it to be an
acceptable servicer of credit card transactions.
-- Center One, LLC is the sub-servicer for this transaction. DBRS
Morningstar reviewed the operational risk information originally
provided to MCR, conducted an update call and performed an onsite
visit of the company. As a result, DBRS Morningstar deems it to be
an acceptable sub-servicer of this credit card transaction.
-- Vervent, LLC (Vervent; formerly known as First Associates Loan
Servicing, LLC) is the backup servicer on this transaction. DBRS
Morningstar has performed an operational risk review of Vervent and
deems it to be an acceptable backup servicer of this credit card
transaction.
-- Three-month average Excess Spread as reported in October 2019
is approximately 41.54% for CCCABS 2019-1 per year due to the fees
collected by the servicer.
-- The CCCABS 2019-1 securitization base-case charge-off rate is
37.0%. The charge-off rate for this transaction is 2.09% as of
October 2019. The loss coverage multiples are slightly below the
DBRS Morningstar range multiples set forth in the methodology for
this asset class. DBRS Morningstar believes that this is warranted
given the magnitude of the base-case charge-off rate and structural
features of this transaction.
-- DBRS Morningstar's principal payment rate base-case assumption
for the principal payment rate is 7.5% for CCCABS 2019-1.
-- DBRS Morningstar's base-case variable for yield is 50.0% for
CCCABS 2019-1.
-- The legal structure and presence of legal opinions that address
the true sale of the assets to the Issuing Entity, the
non-consolidation of the special-purpose vehicle with CFC, the fact
that the trust has a valid first-priority security interest in the
assets and the consistency with the DBRS Morningstar "Legal
Criteria for U.S. Structured Finance."
Notes: All figures are in U.S. dollars unless otherwise noted.
CWABS REVOLVING 2004-R: Moody's Hikes Cl. 1-A Debt Rating to Ba2
----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of five tranches
from four transactions, backed by Second Lien loans, issued by
Countrywide.
Complete rating actions are as follows:
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes, Series
2004-L
Cl. 1-A, Upgraded to Baa1 (sf); previously on Aug 21, 2018 Upgraded
to Baa3 (sf)
Issuer: CWABS Revolving Home Equity Loan Trust, Series 2004-R
Cl. 1-A, Upgraded to Ba2 (sf); previously on Aug 21, 2018 Upgraded
to B2 (sf)
Issuer: CWHEQ Revolving Home Equity Loan Trust, Series 2005-B
Cl. 1-A, Upgraded to B2 (sf); previously on Aug 21, 2018 Upgraded
to B3 (sf)
Cl. 2-A, Upgraded to B3 (sf); previously on Aug 21, 2018 Upgraded
to Caa2 (sf)
Issuer: CWHEQ Revolving Home Equity Loan Trust, Series 2005-H
Cl. 1-A, Upgraded to Ba1 (sf); previously on Aug 21, 2018 Upgraded
to Ba3 (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to an improvement in the
performance of the underlying pools and an increase in credit
enhancement available to the bonds. The rating actions reflect the
recent performance and Moody's updated loss expectations on the
underlying pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in February 2019.
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 October 2019 from 3.8% in
October 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 these transactions.
FLAGSTAR MORTGAGE 2019-2: DBRS Finalizes B Rating on Cl. B-5 Certs
------------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Mortgage Pass-Through Certificates, Series 2019-2 (the
Certificates) issued by Flagstar Mortgage Trust 2019-2:
-- $338.8 million Class A-1 at AAA (sf)
-- $305.9 million Class A-2 at AAA (sf)
-- $229.4 million Class A-3 at AAA (sf)
-- $30.6 million Class A-4 at AAA (sf)
-- $30.6 million Class A-5 at AAA (sf)
-- $15.3 million Class A-6 at AAA (sf)
-- $260.0 million Class A-7 at AAA (sf)
-- $45.9 million Class A-8 at AAA (sf)
-- $76.5 million Class A-9 at AAA (sf)
-- $290.6 million Class A-10 at AAA (sf)
-- $32.9 million Class A-11 at AAA (sf)
-- $338.8 million Class A-X-1 at AAA (sf)
-- $5.8 million Class B-1 at AA (sf)
-- $5.6 million Class B-2 at A (sf)
-- $4.3 million Class B-3 at BBB (sf)
-- $2.3 million Class B-4 at BB (sf)
-- $1.1 million Class B-5 at B (sf)
Class A-X-1 is an interest-only certificate. The class balance
represents notional amounts.
Classes A-1, A-2, A-7, A-8, A-9 and A-10 are exchangeable
certificates. These classes can be exchanged for combinations of
exchange notes as specified in the offering documents.
Classes A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9 and A-10 are
super-senior certificates. These classes benefit from additional
protection from the senior support certificates (Class A-11) with
respect to loss allocation.
The AAA (sf) ratings on the Certificates reflect 5.85% of credit
enhancement provided by subordinated notes in the pool. The AA
(sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 4.25%,
2.70%, 1.50%, 0.85% and 0.55% of credit enhancement, respectively.
Other than the specified classes above, DBRS Morningstar does not
rate any other classes in this transaction.
This securitization is a portfolio of first-lien, fixed-rate, prime
residential mortgages funded by the issuance of the Certificates.
The Certificates are backed by 509 loans with a total principal
balance of $359,840,247 as of the Cut-Off Date (November 1, 2019).
Flagstar Bank, FSB is the Originator and Servicer of all mortgage
loans and the Sponsor of the transaction. Wells Fargo Bank, N.A.
(rated AA with a Stable trend by DBRS Morningstar) will act as the
Master Servicer, Securities Administrator and Custodian. Wilmington
Savings Fund Society, FSB will serve as Trustee. PentAlpha
Surveillance LLC will act as the Reviewer.
The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of 30 years. Approximately 21.5% of the
pool is agency eligible mortgage loans that were eligible for
purchase by Fannie Mae or Freddie Mac.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that is enhanced from a pre-crisis structure.
For this transaction, the servicing fee payable to the Servicer
comprises three separate components: the base servicing fee, the
aggregate delinquent servicing fee, and the aggregate incentive
servicing fee. These fees vary based on the delinquency status of
the related loan and will be paid from interest collections before
distribution to the securities. The base servicing fee will reduce
the net weighted-average coupon (WAC) payable to certificate
holders as part of the aggregate expense calculation; however,
except for the Class B-6-C Net WAC, the delinquent and incentive
servicing fees will not be included in the reduction of Net WAC and
will thus reduce available funds entitled to the certificate
holders. To capture the impact of such potential fees, DBRS
Morningstar ran additional cash flow stresses based on its 60+-day
delinquency and default curves.
The ratings reflect transactional strengths that include
high-quality underlying assets, well-qualified borrowers,
structural enhancements and 100% current loans.
This transaction employs a limited third-party due diligence review
as well as a representations and warranties (R&Ws) framework that
contains certain weaknesses, such as materiality factors, an
unrated R&W provider, knowledge qualifiers and sunset provisions
that allow for certain R&Ws to expire within three to six years
after the Closing Date. DBRS Morningstar perceives the framework as
more limiting than traditional lifetime R&W standards in certain
DBRS Morningstar-rated securitizations. To capture the perceived
weaknesses in the R&W framework, DBRS Morningstar reduced the
originator scores in this pool. A lower originator score results in
increased default and loss assumptions and provides additional
cushions for the rated securities.
Notes: All figures are in U.S. dollars unless otherwise noted.
GALTON FUNDING 2019-H1: DBRS Finalizes B Rating on Class B2 Certs
-----------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Mortgage Pass-Through Certificates, Series 2019-H1 (the
Certificates) issued by Galton Funding Mortgage Trust 2019-H1 (GFMT
2019-H1 or the Issuer):
-- $163.4 million Class A1 at AAA (sf)
-- $14.1 million Class A2 at AA (high) (sf)
-- $20.5 million Class A3 at A (high) (sf)
-- $11.3 million Class M1 at BBB (sf)
-- $7.5 million Class B1 at BB (sf)
-- $4.8 million Class B2 at B (sf)
The AAA (sf) rating on Class A1 reflects 26.80% of credit
enhancement provided by the subordinated notes in the pool. The AA
(high) (sf), A (high) (sf), BBB (sf), BB (sf) and B (sf) ratings
reflect 20.50%, 11.30%, 6.25%, 2.90% and 0.75% of credit
enhancement, respectively.
Other than the specified class above, DBRS Morningstar does not
rate any other classes in this transaction.
The Certificates are backed by 293 loans with a total principal
balance of $223,279,318 as of the Cut-Off Date. The mortgage loans
were acquired by Galton Mortgage Acquisition Platform IV H Sponsor
LLC (the Sponsor). The Sponsor-selected the mortgage loans from a
pool of loans originated via the Galton Funding (Galton) Platform
and held by acquisition trusts that meet the Galton acquisition
criteria.
GFMT 2019-H1 is Galton's first securitization that comprises a
targeted mortgage loan collateral pool generally based on the
interest rate of the loans. The pool's weighted-average coupon
(WAC) is 6.038% and generally, the loans have rates that are 2.00%
or more above-market mortgage rates as measured by the Freddie Mac
Primary Mortgage Market Survey. The pool's WAC is higher than
Galton's prior securitizations and, as a result, this transaction
employs a cash flow structure that is similar to many non-Qualified
Mortgage (QM) securitizations, but which Galton has not used in the
past. The transaction contains a sequential-pay cash flow structure
with a pro-rata principal distribution among the senior tranches.
Principal proceeds can be used to cover interest shortfalls on
Certificates that have principal payment priority in a given period
(except Class A2, which is always allocated interest payments prior
to Class A1 principal payments). Furthermore, the excess spread
will be used to cover losses in the current period or those
allocated in prior periods.
Similar to the prior three Galton securitizations, this transaction
incorporates a unique feature in the calculation of interest
entitlements of the Certificates. The interest entitlements,
through the calculation of the net WAC rate, are reduced by the
delinquent interest that would have accrued on the stop-advance
loans (i.e., loans that become 120 or more days delinquent or loans
for which NewRez LLC doing business as (dba) Shellpoint Mortgage
Servicing (the Servicer) determines that the principal and interest
(P&I) advance would not be recoverable). In other words, investors
are not entitled to any interest on such severely delinquent
mortgages.
The originators for the mortgage pool are JMAC Lending, Inc.
(18.7%); Parkside Lending, LLC (9.5%); loanDepot.com, LLC (8.5%);
Broker Solutions Inc. dba New American Funding (5.7%); LendUS, LLC
(5.4); and various other originators, each comprising less than
5.0% of the mortgage loans.
The mortgages were generally originated pursuant to underwriting
standards that conform to Galton's acquisition criteria. Galton has
established product matrices for different loan programs. The
majority of the loans in this securitization (91.5%) are prime
borrowers (Galton's Jumbo, Prime, and Streamlined First Lien
Programs) with unblemished credit who may not meet prime jumbo or
agency/government guidelines.
Although the mortgage loans were originated to satisfy the Consumer
Financial Protection Bureau's (CFPB) ability-to-repay rules, they
were made to borrowers who generally do not qualify for agency,
government or private-label non-agency prime jumbo products for
various reasons as described above. In accordance with the CFPB QM
rules, 5.4% of the loans are designated as QM Safe Harbor, 7.5% as
QM Rebuttable Presumption and 66.7% as non-QM. Approximately 20.3%
of the loans are not subject to the QM rules.
Galton Mortgage Loan Seller LLC (the Seller) will generally fund
advances (to the extent that the available aggregate servicing
rights strip has first been reduced to zero to fund such amounts)
of delinquent P&I on any mortgage until such loan becomes 120 days
delinquent or until the Servicer determines that an advance is not
recoverable and is obligated to make advances in respect of taxes,
insurance premiums and reasonable costs incurred in the course of
servicing and disposing of properties.
The Sponsor intends to retain 5% of the fair value of all
Certificates issued by the Issuer (other than the residual
certificates) to satisfy the credit risk retention requirements
under Section 15G of the Securities Exchange Act of 1934 and the
regulations promulgated thereunder.
The Seller and the Sponsor will have the option, but not the
obligation, to repurchase any mortgage loan that becomes 90 or more
days delinquent under the Mortgage Bankers Association delinquency
method until the date on which the Representations and Warranties
Enforcement Party delivers the enforcement initiation report,
provided that such repurchases in aggregate do not exceed 10% of
the total principal balance as of the Cut-Off Date.
Notes: All figures are in U.S. dollars unless otherwise noted.
GREAT WOLF 2019-WOLF: Moody's Assigns (P)B3 Rating on Cl. F Certs
-----------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to seven
classes of CMBS securities, issued by Great Wolf Trust 2019-WOLF
Commercial Mortgage Pass-Through Certificates, Series 2019-WOLF:
Cl. A, Assigned (P)Aaa (sf)
Cl. B, Assigned (P)Aa3 (sf)
Cl. C, Assigned (P)A3 (sf)
Cl. D, Assigned (P)Baa3 (sf)
Cl. E, Assigned (P)Ba3 (sf)
Cl. F, Assigned (P)B3 (sf)
Cl. X-CP*, Assigned (P)A1 (sf)
*Reflects interest-only class
RATINGS RATIONALE
The certificates are collateralized by a single loan collateralized
by the borrower's varying ownership interests in a portfolio of 17
waterpark resorts. The single borrower underlying the mortgage is
comprised of thirty-three special-purpose bankruptcy-remote
entities, that are subsidiaries of Great Wolf Resorts, Inc. which
is majority owned and controlled by a joint venture indirectly
majority owned and controlled by Blackstone Real Estate Partners IX
L.P.
Moody's approach to rating this transaction involved an application
of Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS and Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities. The rating approach for securities
backed by a single loan compares the credit risk inherent in the
underlying collateral with the credit protection offered by the
structure. The structure's credit enhancement is quantified by the
maximum deterioration in property value that the securities are
able to withstand under various stress scenarios without causing an
increase in the expected loss for various rating levels. In
assigning single borrower ratings, Moody's also considers a range
of qualitative issues as well as the transaction's structural and
legal aspects.
The credit risk of loans is determined primarily by two factors: 1)
Moody's assessment of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessment of the
severity of loss upon a default, which is largely driven by each
loan's LTV ratio.
The first mortgage balance of $1,700,000,000 represents a Moody's
LTV of 118.7%. The Moody's first mortgage actual DSCR is 2.49X and
Moody's first mortgage actual stressed DSCR is 1.07X.
Loan collateral is secured by the cross-collateralized first
mortgage liens on the applicable fee and or leasehold interests in
14 resort properties, (ii) the applicable borrowers' interests in
the operating leases relating to the Wholly Owned Properties (other
than the Williamsburg Wholly Owned property), (iii) a pledge of the
Borrowers' indirect equity interests in the joint venture entities
that own two resort properties, (iv) a pledge of the license and
franchise management agreements with respect to the Wholly Owned
Properties and one resort owned and managed by a third party (the
"Non-Owned Licensed Property" and, together with the Wholly Owned
Properties and the JV Properties, the "Licensed/Managed
Properties") and the applicable Borrowers' right to receive certain
fees under the license, franchise and management agreements with
respect to the JV Properties, (v) the Borrowers' interests in
certain intellectual property and (vi) a pledge of equity interests
in the Borrower that owns such intellectual property and the
Borrower that acts as a manager under the license and franchise
management agreements.
Notable strengths of the transaction include: revenue diversity,
strong performance trends, portfolio diversity, property age and
capital investment, and experienced sponsorship.
Notable credit challenges of the transaction include: competition
and new supply, property type performance volatility, the loan's
floating-rate and interest-only mortgage loan profile, and credit
negative legal features.
Moody's rating approach considers sequential pay in connection with
a collateral release as a credit neutral benchmark. Although the
loans' release premium mitigates the risk of a ratings downgrade
due to adverse selection, the pro rata payment structure limits
ratings upgrade potential as mezzanine classes are prevented from
building enhancement. The benefit received from pooling through
cross-collateralization is also reduced.
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 approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from Moody's
loan level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.
These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer at
the date it was prepared and such information has not been
independently verified by Moody's; (b) must be construed solely as
a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating to
the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third party
for any loss, injury or cost caused to the issuer or any other
third party, in whole or in part, including by any negligence (but
excluding fraud, dishonesty and/or willful misconduct or any other
type of liability that by law cannot be excluded) on the part of,
or any contingency beyond the control of Moody's, or any of its
employees or agents, including any losses arising from or in
connection with the procurement, compilation, analysis,
interpretation, communication, dissemination, or delivery of any
information or rating relating to the issuer.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
Moody's ratings address only the credit risks associated with the
transaction. Other non-credit risks have not been addressed and may
have a significant effect on yield to investors.
GREENWICH CAPITAL 2004-GG1: Fitch Lowers Class H Certs Rating to C
------------------------------------------------------------------
Fitch Ratings downgraded one class and affirmed eight classes of
Greenwich Capital Commercial Funding Corp. commercial mortgage
pass-through certificates, series 2004-GG1.
RATING ACTIONS
Greenwich Capital Commercial Funding Corp. 2004-GG1
Class F 396789FY0; LT Asf Affirmed; previously at Asf
Class G 396789FZ7; LT BBsf Affirmed; previously at BBsf
Class H 396789GA1; LT Csf Downgrade; previously at CCsf
Class J 396789GB9; LT Csf Affirmed; previously at Csf
Class K 396789GC7; LT Csf Affirmed; previously at Csf
Class L 396789GD5; LT Dsf Affirmed; previously at Dsf
Class M 396789GE3; LT Dsf Affirmed; previously at Dsf
Class N 396789GF0; LT Dsf Affirmed; previously at Dsf
Class O 396789GG8; LT Dsf Affirmed; previously at Dsf
KEY RATING DRIVERS
Increased Loss Expectations: The downgrade to the distressed class
H reflects increased loss expectations. The pool remains highly
concentrated with one asset remaining. Aegon Center is secured by
an approximately 634,000 sf office building located in downtown
Louisville, KY. The largest tenant, Aegon (33% NRA) vacated at its
December 2012 lease expiration. As a result occupancy declined to
72% at YE 2013 from 94% at YE 2014. Occupancy has not fully
recovered, and was a reported 76% per the June 2019 rent roll. The
loan was previously in specially servicing and returned back to the
master servicer in November 2013 after undergoing a loan
modification which resulted in an A/B note split. However, it
transferred back to the special servicer in March 2019 due to
maturity default when it did not pay off at its modified April 2019
maturity date. The property is currently being marketed for sale.
Minimal Improvements in Credit Enhancement: There have been minimal
changes in credit enhancement since Fitch's last rating action; two
fully amortizing loans have paid off as expected. Realized losses
to date are $77.1 million, or 2.9% of the original deal balance.
RATING SENSITIVITIES
The downgrade to the distressed class H reflects greater certainty
that the class will be affected by losses from the disposition of
Aegon Center. The Rating Outlooks on classes F and G remain Stable
due to stable credit enhancement. Upgrades are not likely. A
downgrade of the distressed classes to 'D' is expected as losses
are realized.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
No third-party due diligence was provided or reviewed in relation
to this rating.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of 3. ESG issues are credit neutral
or only have a minimal credit impact on the transaction, either due
to their nature or the way in which they are being managed by the
transaction.
HERTZ VEHICLE 2019-3: DBRS Finalizes BB Rating on Class D Notes
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following notes
issued by Hertz Vehicle Financing II LP:
-- Series 2019-3, Class A Notes at AAA (sf)
-- Series 2019-3, Class B Notes at A (sf)
-- Series 2019-3, Class C Notes at BBB (sf)
-- Series 2019-3, Class D Notes at BB (sf)
The ratings are based on a review by DBRS Morningstar of the
following analytical considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- Credit enhancement in the transaction is dynamic depending on
the composition of the vehicles in the fleet and certain market
value tests.
-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the ratings address the
timely payment of interest on a monthly basis and principal by the
legal final maturity date.
-- The transaction parties' capabilities to effectively manage
rental car operations and dispose of the fleet to the extent
necessary.
-- Collateral credit quality and residual value performance.
-- The legal structure and its consistency with the DBRS
Morningstar "Legal Criteria for U.S. Structured Finance"
methodology, the presence of legal opinions that address the
treatment of the operating lease as a true lease, the
non-consolidation of the special-purpose vehicles with the Hertz
Corporation (rated BB (low) with a Stable trend by DBRS
Morningstar) and its affiliates and that the trust has a valid
first-priority security interest in the assets.
Notes: All figures are in U.S. dollars unless otherwise noted.
LB-UBS COMMERCIAL 2007-C7: Fitch Hikes Class C Certs Rating to BBsf
-------------------------------------------------------------------
Fitch Ratings upgraded one and affirmed 13 classes of LB-UBS
Commercial Mortgage Trust commercial mortgage pass-through
certificates, series 2007-C7.
RATING ACTIONS
LB-UBS Commercial Mortgage Trust 2007-C7
Class C 52109RBS9; LT BBsf Upgrade; previously at CCsf
Class D 52109RBT7; LT Csf Affirmed; previously at Csf
Class E 52109RBU4; LT Dsf Affirmed; previously at Dsf
Class F 52109RBV2; LT Dsf Affirmed; previously at Dsf
Class G 52109RAL5; LT Dsf Affirmed; previously at Dsf
Class H 52109RAN1; LT Dsf Affirmed; previously at Dsf
Class J 52109RAQ4; LT Dsf Affirmed; previously at Dsf
Class K 52109RAS0; LT Dsf Affirmed; previously at Dsf
Class L 52109RAU5; LT Dsf Affirmed; previously at Dsf
Class M 52109RAW1; LT Dsf Affirmed; previously at Dsf
Class N 52109RAY7; LT Dsf Affirmed; previously at Dsf
Class P 52109RBA8; LT Dsf Affirmed; previously at Dsf
Class Q 52109RBC4; LT Dsf Affirmed; previously at Dsf
Class S 52109RBE0; LT Dsf Affirmed; previously at Dsf
KEY RATING DRIVERS
Increased Credit Enhancement: The upgrade to class C reflects the
class's increased credit enhancement since Fitch's last rating
action. Three loans (previously 57.5% of the pool balance)
experienced better than expected recoveries, most notably the
Fairfield Shopping Center, which realized a loss of only $694,000.
As expected, the credit enhancement for Class D has declined due to
$12.0 million in losses that were realized by the trust.
As of the November 2019 distribution, the pool has been reduced by
99.1% to $28.3 million from $3.17 billion at issuance. There have
been $253.1 million in realized losses, accounting for 8.0% of the
original pool balance. Cumulative interest shortfalls of $41.0
million are currently impacting classes D through T.
Loss Expectations Remain High: Of the remaining assets, 78.8% are
in special servicing. Proceeds from the disposition and/or
repayment of the remaining specially serviced assets and performing
Fitch Loans of Concern are not expected to be sufficient to pay
class D in full.
High REO Asset Concentration: Of the four remaining loans, two
(78.8%) are Real Estate Owned (REO) and the two performing loans
(21.2%) have been designated as Fitch Loans of Concern. The largest
remaining specially serviced asset, Soundview Marketplace (66.4%),
is a Target-anchored shopping center in Port Washington, NY where
the special servicer is working to lease up and stabilize the
asset. River Plaza (11.0%) is a retail convenience center in
Muncie, IN with historically low occupancy and DSCR.
Fitch Loans of Concern: The two performing loans in the pool have
been designated as Fitch Loans of Concern. Comfort Inn & Country
Inn Portfolio (21.1%) is a two-property, limited service hotel
portfolio in Maine. The loan was modified in August 2017 extending
the maturity date to July 2024, reducing the interest rate, and
creating a hope note which was paid in full in September 2017. The
portfolio experiences significant seasonality and occupancy and NOI
have declined over the life of the loan. 1350 South King Street
(1.5%) is an office building in Honolulu, HI with low occupancy and
negative cash flow.
Pool Concentration/Adverse Selection: The transaction is highly
concentrated with only four of the original 102 loans remaining.
Due to the pool's concentrated nature, Fitch performed a
sensitivity and liquidation analysis that included the expected
losses and potential payoff proceeds of the remaining loans. The
ratings reflect this analysis.
RATING SENSITIVITIES
The Stable Rating Outlook on class C is due to the class's high
credit enhancement and the expectation that the class will pay down
in the near term from amortization. Further upgrades are unlikely
given the concentrated nature of the pool and the adverse selection
of the remaining collateral. Downgrades to the remaining distressed
classes are possible as losses are realized or if loans fail to
repay at maturity.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
No third-party due diligence was provided or reviewed in relation
to this rating action.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of 3. ESG issues are credit neutral
or have only a minimal credit impact on the transaction, either due
to their nature or the way in which they are being managed by
transaction.
MAD COMMERCIAL 2019-650M: Fitch to Rate $97MM Class B Certs 'B-sf'
------------------------------------------------------------------
Fitch Ratings issued a presale report on MAD Commercial Mortgage
Trust 2019-650M, Commercial Mortgage Pass-Through Certificates,
Series 2019-650M.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $105,735,000 class A 'BB-sf'; Outlook Stable;
-- $97,755,000 class B 'B-sf'; Outlook Stable.
Fitch is not expected to rate the following class:
-- $10,710,000a VRR.
(a)Vertical credit risk retention interest, which represents
approximately 5.00% of the certificate balance, of each class
certificates.
The expected ratings are based on information provided by the
issuer as of Dec. 3, 2019. All classes are being privately placed
pursuant to Rule 144A.
The MAD Commercial Mortgage Trust 2019-650M, Commercial Mortgage
Pass-Through Certificates, Series 2019-650M, represent the
beneficial ownership interest in the trust loan portion of an
$800.0-million, 10-year, fixed-rate, interest-only mortgage loan
secured by the fee simple interest in a 600,415-sf, 27-story office
tower located at 650 Madison Avenue, between 59th and 60th Streets,
in New York City.
The total mortgage loan consists of $1.0 million of senior trust
notes (trust loan), $585.8 million of pari passu senior companion
loan notes (non-trust) and $213.2 million of junior notes (trust
loan). The class A certificates include $1.0 million of senior
trust notes and a portion of the junior notes. The class B
certificates consist solely of junior trust notes. The pari passu
senior companion notes will not be part of the assets of this
trust, and they are expected to be contributed to one or more
future securitizations.
Total mortgage loan proceeds, along with $20.0 million held in
existing debt reserve accounts and $9.5 million in sponsor equity,
were used to refinance $800.0 million of existing debt, fund
approximately $9.6 million in upfront reserves and pay closing
costs.
KEY RATING DRIVERS
High-Quality Office Collateral in Prime Location: The 650 Madison
Avenue property is a 27-story, class A office building occupying
the western block of Madison Avenue between 59th and 60th Streets
in the Plaza office submarket of Midtown Manhattan. Fitch Ratings
assigned a property quality grade of A.
Stable Historical Occupancy and High-Quality Tenancy: The property
was 97.4% occupied as of Oct. 31, 2019 and has exhibited average
occupancy of 94.5% since 1996. The property serves as global
corporate headquarters of Ralph Lauren and Sotheby's. Tenants with
investment-grade credit ratings account for 58.9% of the property's
gross rental revenue.
Institutional Sponsorship: Oxford Properties Group is the global
real estate investment, development and management arm of Ontario
Municipal Employees Retirement System (OMERS) Administration
Corporation (AAA/Stable). Oxford Properties owns and operates a
diversified real estate portfolio consisting of over 100 million sf
of office, retail and industrial space, in addition to multifamily
units. Vornado (BBB/Stable) is one of the largest owners and
managers of commercial real estate in the U.S. with a portfolio of
37.1 million sf of office, retail and other commercial space,
primarily located in New York City.
Rollover Risk: Approximately 90.55.9% of the property's Net
Rentable Area (NRA) NRA is subject to rollover during the loan
term. The highest rollover concentration during the loan term
occurs in 2023 and 2024, when 19.7% and 53.7% of the property's NRA
Net Rentable Area (NRA) expires, respectively. This includes the
property's largest tenant, Ralph Lauren (RL; 46.1% of NRA; 36.0% of
gross rent) whose lease expires in December 2024. The loan is
structured with a "specific tenant trigger" tied to the RL lease,
which if tripped, will lead to springing cash management.
Fitch Leverage: The $800.0 million mortgage loan has a Fitch DSCR
and LTV of 0.82x and 106.3%, respectively, and debt of $1,332psf.
The sponsor acquired the property in 2013 for $1.3 billion
(2,165.16 psf)
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 7.3% below
the Underwritten Issuer NCF. Unanticipated further declines in
property-level NCF could result in higher defaults and loss
severities on defaulted loans, and could result in potential rating
actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the MAD
Commercial Mortgage Trust, Series 2019-650M certificates and found
that the transaction displays average sensitivities to further
declines in NCF. In a scenario in which NCF declined a 10% from
Fitch's NCF, a downgrade of the 'BB-sf' certificates to 'B-sf'
could result. In a more severe scenario, in which NCF declined a
further 20% from Fitch's NCF, a downgrade of the 'BB-sf'
certificates to 'CCCsf' could result.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of 3 - ESG issues are credit
neutral or have only a minimal credit impact on the transaction,
either due to their nature or the way in which they are being
managed by the transaction.
MERRILL LYNCH 2006-C1: Fitch Upgrades Class A-J Certs to BBsf
-------------------------------------------------------------
Fitch Ratings upgraded one and affirmed 13 classes of Merrill Lynch
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
series 2006-C1.
RATING ACTIONS
Merrill Lynch Mortgage Trust 2006-C1
Class A-J 59023BAH7; LT BBsf Upgrade; previously at CCCsf
Class B 59023BAJ3; LT Csf Affirmed; previously at Csf
Class C 59023BAK0; LT Dsf Affirmed; previously at Dsf
Class D 59023BAL8; LT Dsf Affirmed; previously at Dsf
Class E 59023BAM6; LT Dsf Affirmed; previously at Dsf
Class F 59023BAN4; LT Dsf Affirmed; previously at Dsf
Class G 59023BAP9; LT Dsf Affirmed; previously at Dsf
Class H 59023BAQ7; LT Dsf Affirmed; previously at Dsf
Class J 59023BAR5; LT Dsf Affirmed; previously at Dsf
Class K 59023BAS3; LT Dsf Affirmed; previously at Dsf
Class L 59023BAT1; LT Dsf Affirmed; previously at Dsf
Class M 59023BAU8; LT Dsf Affirmed; previously at Dsf
Class N 59023BAV6; LT Dsf Affirmed; previously at Dsf
Class P 59023BAW4; LT Dsf Affirmed; previously at Dsf
KEY RATING DRIVERS
Increased Credit Enhancement: The upgrade of class A-J reflects the
increased class credit enhancement (CE) since Fitch's last rating
action following the payoffs of two specially serviced loans, the
Montego Bay Apartments (9.7% of balance at last review) and Holiday
Inn Chicago (5.4% of balance at last review). Neither loan disposed
with any losses. As of the November 2019 distribution date, the
pool's aggregate principal balance has been reduced by 96.6% to
$84.3 million from $2.490 billion at issuance and 15.4% since
Fitch's last review. Realized losses since issuance total $197.8
million (7.9% of the original pool balance). Cumulative interest
shortfalls totaling $18.6 million are currently impacting classes B
and below.
Specially Serviced Loans; High Loss Expectations: The six-largest
loans/assets (99.3%) are specially serviced. One loan (52.0%) is in
foreclosure and five assets (47.3%) are REO. Per the servicer, all
remaining specially serviced assets are currently being marketed
for sale with anticipated closing dates in 1Q20. The rating for
class B remains distressed given the high portion of specially
serviced loans/assets in the remaining pool and significant losses
expected upon disposition.
Highly Concentrated Pool; Adverse Selection: Only seven
loans/assets remain of the 246 at issuance. The largest loan
represents 52.0% of the pool. Due to the concentrated nature of the
pool, Fitch performed a sensitivity analysis, which assumed
conservative loss expectations on the remaining loans/REO assets.
The ratings reflect this sensitivity and liquidation analysis.
Gateway One: The largest loan in the pool, Gateway One (52.0%), is
secured by a 409,920-sf urban office located in the Gateway Mall in
downtown St. Louis, MO, just three blocks north of Busch Stadium.
The property was built in 1986. The loan transferred to special
servicing in May 2016 for non-performing maturity default; and
after the largest tenant, Peabody Investments Corp. had filed for
bankruptcy protection. Peabody, which is the world's largest
private-sector coal company and is listed on the Fortune 500, is
headquartered at the property. Peabody downsized its space to
156,000 sf from 223,000 sf in January 2017, and subsequently
emerged from Chapter 11 bankruptcy in April 2017. The property was
72% occupied as of the September 2019 rent roll, compared with 74%
at YE 2017, 86% at YE 2016 and 94% at YE 2015. The
servicer-reported net operating income debt-service coverage ratio
(NOI DSCR) was 0.53x at YE 2017, compared with 0.94x at YE 2016 and
1.28x at YE 2015. The special servicer is moving forward with
foreclosure; a receiver was appointed in August 2016.
Wachovia Center: The second-largest asset in the pool, the REO
Wachovia Center (14.1%), is secured by a 91,154-sf suburban office
located in Gainesville, GA, approximately 55 miles northeast of
Atlanta. The property was built in 1990. The seven-story tall
property consists of 25 office units, seven storage units and an
11,772-sf first floor bank space. The loan transferred to special
servicing in April 2017 due to imminent default related to expected
cash flow issues. Wells Fargo (20% of NRA), which occupied the bank
space, and M3 Accounting (29% of NRA) vacated upon their respective
lease expirations in June 2017 and January 2018. The asset became
REO in November 2017. The property was 52.2% occupied as of the
October 2019 rent roll, compared with 44% at YE 2018, 72% at YE
2017 and 91% at YE 2016. The servicer-reported NOI DSCR was 0.30x
at YE 2018, compared with 1.30x at YE 2017, 1.18x at YE 2016 and
1.29x at YE 2015.
RATING SENSITIVITIES
The Stable Outlook on class A-J reflects increasing CE and expected
continued paydown. The distressed rating on class B reflects the
significant losses expected to impact the class upon the
disposition of the specially serviced loans/assets. Though
unlikely, further upgrades may occur should recoveries on the
specially serviced assets be better than expected. Downgrades to
class B will occur as losses are realized.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
No third party due diligence was provided or reviewed in relation
to this rating action.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of 3. ESG issues are credit neutral
or have only a minimal credit impact on the transaction, either due
to their nature or the way in which they are being managed by
transaction.
MIDOCEAN CREDIT X: S&P Assigns BB- (sf) Rating to Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to MidOcean Credit CLO X's
fixed- and floating-rate notes.
The note issuance is a CLO transaction backed by broadly syndicated
speculative-grade (rated 'BB+' and lower) senior secured term loans
managed by MidOcean Credit Fund Management L.P.
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 debt through collateral selection, ongoing
portfolio management, and trading; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
MidOcean Credit CLO X/MidOcean Credit CLO X LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 246.00
A-2-1 AAA (sf) 4.00
A-2-2 AAA (sf) 10.00
B AA (sf) 44.00
C (deferrable) A (sf) 24.00
D (deferrable) BBB- (sf) 18.00
E (deferrable) BB- (sf) 20.80
Subordinated notes NR 35.85
NR--Not rated.
MORGAN STANLEY 2007-IQ15: Fitch Affirms Csf Rating on Cl. C Certs
-----------------------------------------------------------------
Fitch Ratings upgraded one and affirmed nine classes of Morgan
Stanley Capital I Trust, commercial mortgage pass-through
certificates, series 2007-IQ15.
RATING ACTIONS
Morgan Stanley Capital I Trust 2007-IQ15
Class B 61755YAN4; LT BBBsf Upgrade; previously at Bsf
Class C 61755YAP9; LT Csf Affirmed; previously at Csf
Class D 61755YAQ7; LT Dsf Affirmed; previously at Dsf
Class E 61755YAR5; LT Dsf Affirmed; previously at Dsf
Class F 61755YAS3; LT Dsf Affirmed; previously at Dsf
Class G 61755YAT1; LT Dsf Affirmed; previously at Dsf
Class H 61755YAU8; LT Dsf Affirmed; previously at Dsf
Class J 61755YAV6; LT Dsf Affirmed; previously at Dsf
Class K 61755YAW4; LT Dsf Affirmed; previously at Dsf
Class L 61755YAX2; LT Dsf Affirmed; previously at Dsf
KEY RATING DRIVERS
Increased Credit Enhancement: The upgrade to class B reflects the
increased credit enhancement (CE) of the class since Fitch's last
rating action in January 2019. As of the November 2019 remittance,
the pool balance has been reduced by 98% from continued
amortization and the disposition of six loans, including the two
largest loans (previously 43.7% of pool) that prepaid during the
open period after being fully defeased, two loans that paid at
maturity, one loan that prepaid with yield maintenance and one loan
that was disposed while in special servicing with a $748,034 loss.
Lower Loss Expectations: Loss expectations have declined primarily
due to better than expected recoveries on specially serviced loans,
which have disposed since Fitch's last rating action. Per the
November 2019 remittance, there have been $170.7 million (8.3% of
original pool balance) in realized losses to date. Cumulative
interest shortfalls of $12.7 million are currently affecting
classes D through P.
Concentrated Pool: The pool is highly concentrated, with only 11 of
the original 134 loans remaining. Due to the concentrated nature of
the pool, Fitch performed a sensitivity analysis that grouped the
remaining loans based on the likelihood of repayment and expected
losses from the liquidation of specially serviced loans and/or
underperforming or overleveraged loans.
The non-Fitch Loan of Concern (FLOC), performing loans include
eight fully amortizing loans (30.1% of pool), which are secured by
collateral in secondary markets with generally stable performance
and relatively lower leverage. These loans are scheduled to mature
in 2022 (three loans; 12.3% of pool), 2026 (one loan; 3.1%) and
2027 (four loans; 14.7%).
FLOC/Specially Serviced Loans: The largest loan in the pool (31% of
pool), secured by a 212,800 sf single-tenant Kmart in Sayville, NY,
was designated a FLOC due to low debt service coverage ratio (DSCR)
and tenancy concerns. The loan DSCR has remained low since
issuance, most recently at 0.81x as of YTD June 2019. Per servicer
updates, Kmart assumed the lease in bankruptcy, and per media
reports, Kmart announced closure of this location in February 2020,
prior to the June 2022 loan maturity. Further updates from the
servicer regarding store closure remain outstanding.
The largest specially serviced loan, Peace Corporate Industrial
(21.1%), is secured by a 304,704 sf industrial/warehouse property
located in DeKalb, IL. The loan was transferred to special
servicing in June 2016 and became REO as of June 2017. The servicer
has been successful in lease up and stabilizing occupancy since
tenant 3M (previously 91.3% NRA) vacated at its lease expiration in
July 2016. Per servicer updates, the property is now 95% leased and
being marketed for sale.
The second specially serviced loan (17.8%), is secured by a 99,005
sf grocery anchored retail center in Avon, IN (approximately 17
miles outside Indianapolis). The loan was transferred to special
servicing in June 2017 for maturity default and became REO as of
January 2019. The anchor tenant, Cub Foods/SuperValu, which
accounted for 66% of NRA and 59% of total base rents, vacated the
property but continued to remit rental payments through its lease
expiration in December 2018. Per servicer updates, the property is
24% occupied and being marketed for sale.
RATING SENSITIVITIES
The Outlook for class B is considered Stable. Class B is currently
the first-pay class, with continued increasing CE from amortization
and loan dispositions. An upgrade to class B is possible with
additional paydown or defeasance. Class C is reliant on proceeds
from the largest loan, which was designated a FLOC due to low DSCR
and tenancy concerns. A downgrade to class C is expected if losses
are realized.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
No third-party due diligence was provided or reviewed in relation
to this rating action.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of 3, which indicates ESG issues
are credit neutral or have only a minimal credit impact on MSCI
2007-IQ15, either due to their nature or the way in which they are
being managed by MSCI 2007-IQ15.
NEW RESIDENTIAL 2019-6: DBRS Assigns Prov. BB Rating on 10 Tranches
-------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Mortgage-Backed Notes, Series 2019-6 (the Notes) to be issued by
New Residential Mortgage Loan Trust 2019-6 (NRMLT or the Trust):
-- $326.2 million Class A-1 at AAA (sf)
-- $326.2 million Class A-IO at AAA (sf)
-- $326.2 million Class A-1A at AAA (sf)
-- $326.2 million Class A-1B at AAA (sf)
-- $326.2 million Class A-1C at AAA (sf)
-- $326.2 million Class A-1D at AAA (sf)
-- $326.2 million Class A1-IOA at AAA (sf)
-- $326.2 million Class A1-IOB at AAA (sf)
-- $326.2 million Class A1-IOC at AAA (sf)
-- $326.2 million Class A1-IOD at AAA (sf)
-- $365.5 million Class A-2 at AAA (sf)
-- $326.2 million Class A at AAA (sf)
-- $39.3 million Class B-1 at AAA (sf)
-- $39.3 million Class B1-IO at AAA (sf)
-- $39.3 million Class B-1A at AAA (sf)
-- $39.3 million Class B-1B at AAA (sf)
-- $39.3 million Class B-1C at AAA (sf)
-- $39.3 million Class B-1D at AAA (sf)
-- $39.3 million Class B1-IOA at AAA (sf)
-- $39.3 million Class B1-IOB at AAA (sf)
-- $39.3 million Class B1-IOC at AAA (sf)
-- $21.0 million Class B-2 at AA (sf)
-- $21.0 million Class B2-IO at AA (sf)
-- $21.0 million Class B-2A at AA (sf)
-- $21.0 million Class B-2B at AA (sf)
-- $21.0 million Class B-2C at AA (sf)
-- $21.0 million Class B-2D at AA (sf)
-- $21.0 million Class B2-IOA at AA (sf)
-- $21.0 million Class B2-IOB at AA (sf)
-- $21.0 million Class B2-IOC at AA (sf)
-- $32.9 million Class B-3 at A (sf)
-- $32.9 million Class B3-IO at A (sf)
-- $32.9 million Class B-3A at A (sf)
-- $32.9 million Class B-3B at A (sf)
-- $32.9 million Class B-3C at A (sf)
-- $32.9 million Class B-3D at A (sf)
-- $32.9 million Class B3-IOA at A (sf)
-- $32.9 million Class B3-IOB at A (sf)
-- $32.9 million Class B3-IOC at A (sf)
-- $22.5 million Class B-4 at BBB (sf)
-- $22.5 million Class B-4A at BBB (sf)
-- $22.5 million Class B-4B at BBB (sf)
-- $22.5 million Class B-4C at BBB (sf)
-- $22.5 million Class B4-IOA at BBB (sf)
-- $22.5 million Class B4-IOB at BBB (sf)
-- $22.5 million Class B4-IOC at BBB (sf)
-- $19.0 million Class B-5 at BB (sf)
-- $19.0 million Class B-5A at BB (sf)
-- $19.0 million Class B-5B at BB (sf)
-- $19.0 million Class B-5C at BB (sf)
-- $19.0 million Class B-5D at BB (sf)
-- $19.0 million Class B5-IOA at BB (sf)
-- $19.0 million Class B5-IOB at BB (sf)
-- $19.0 million Class B5-IOC at BB (sf)
-- $19.0 million Class B5-IOD at BB (sf)
-- $41.5 million Class B-7 at BB (sf)
Classes A-IO, A1-IOA, A1-IOB, A1-IOC, A1-IOD, B1-IO, B1-IOA,
B1-IOB, B1-IOC, B2-IO, B2-IOA, B2-IOB, B2-IOC, B3-IO, B3-IOA,
B3-IOB, B3-IOC, B4-IOA, B4-IOB, B4-IOC, B5-IOA, B5-IOB, B5-IOC, and
B5-IOD are interest-only notes. The class balances represent
notional amounts.
Classes A-1A, A-1B, A-1C, A-1D, A1-IOA, A1-IOB, A1-IOC, A1-IOD,
A-2, A, B-1A, B-1B, B-1C, B-1D, B1-IOA, B1-IOB, B1-IOC, B-2A, B-2B,
B-2C, B-2D, B2-IOA, B2-IOB, B2-IOC, B-3A, B-3B, B-3C, B-3D, B3-IOA,
B3-IOB, B3-IOC, B-4A, B-4B, B-4C, B4-IOA, B4-IOB, B4-IOC, B-5A,
B-5B, B-5C, B-5D, B5-IOA, B5-IOB, B5-IOC, B5-IOD and B-7 are
exchangeable notes. These classes can be exchanged for combinations
of initial exchangeable notes as specified in the offering
documents.
The AAA (sf) ratings on the Notes reflect 27.85% of credit
enhancement provided by subordinated notes. The AA (sf), A (sf),
BBB (sf) and BB (sf) ratings reflect 23.70%, 17.20%, 12.75% and
9.00% of credit enhancement, respectively.
Other than the specified classes above, DBRS Morningstar does not
rate any other classes in this transaction.
This transaction is a securitization of a seasoned portfolio of
performing and re-performing first-lien residential mortgages
funded by the issuance of the Notes. The Notes are backed by 4,681
loans with a total principal balance of $506,525,572 as of the
Cut-Off Date (November 1, 2019).
The loans are significantly seasoned with a weighted-average age of
188 months. As of the Cut-Off Date, 84.5% of the pool is current,
14.1% is 30 days delinquent under the Mortgage Bankers Association
(MBA) delinquency method and 1.4% is in bankruptcy (all bankruptcy
loans are performing or 30 days delinquent). Approximately 54.5%
and 61.6% of the mortgage loans have been zero times 30 days
delinquent for the past 24 months and 12 months, respectively,
under the MBA delinquency method.
The portfolio contains 61.9% modified loans. The modifications
happened more than two years ago for 83.9% of the modified loans.
The entire pool is exempt from the Consumer Financial Protection
Bureau's Ability-to-Repay/Qualified Mortgage rules because of
seasoning.
The Seller, NRZ Sponsor IX LLC (NRZ), acquired the loans prior to
the Closing Date in connection with the termination of various
securitization trusts and from a whole-loan purchase. Upon
acquiring the loans, NRZ, through an affiliate, New Residential
Funding 2019-6 LLC (the Depositor), will contribute the loans to
the Trust. As the Sponsor, New Residential Investment Corp.,
through a majority-owned affiliate, will acquire and retain a 5%
eligible vertical interest in each class of securities to be issued
(other than the residual notes) to satisfy the credit risk
retention requirements under Section 15G of the Securities Exchange
Act of 1934 and the regulations promulgated thereunder. These loans
were originated and previously serviced by various entities through
purchases in the secondary market.
As of the Cut-Off Date, 62.9% of the pool is serviced by PHH
Mortgage Corporation, 29.3% by Nationstar Mortgage LLC (Nationstar)
doing business as (d/b/a) Mr. Cooper Group, Inc., 5.7% by Select
Portfolio Servicing and 2.0% by NewRez LLC d/b/a Shellpoint
Mortgage Servicing (SMS). Nationstar will also act as the Master
Servicer, and SMS will act as the Special Servicer.
The Seller, NRZ, will have the option to repurchase any loan that
becomes 60 or more days delinquent under the MBA method or any real
estate owned property acquired in respect of a mortgage loan at a
price equal to the principal balance of the loan (Optional
Repurchase Price), provided that such repurchases will be limited
to 10% of the principal balance of the mortgage loans as of the
Cut-Off Date.
Unlike other seasoned re-performing loan securitizations, the
servicers in this transaction will advance principal and interest
on delinquent mortgages to the extent that such advances are deemed
recoverable.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that is enhanced from a pre-crisis structure.
The ratings reflect transactional strengths that include underlying
assets with significant seasoning, relatively clean payment
histories and robust loan attributes with respect to credit scores,
product types and loan-to-value ratios. Additionally, historically,
NRMLT securitizations have exhibited fast voluntary prepayment
rates.
The transaction employs a relatively weak representations and
warranties framework that includes an unrated representation
provider (NRZ), certain knowledge qualifiers and fewer mortgage
loan representations relative to DBRS Morningstar criteria for
seasoned pools.
Although limited, third-party due diligence was performed on the
pool for regulatory compliance, data integrity, title/lien, and
payment history. Updated Home Data Index and/or broker price
opinions were provided for the pool; however, a reconciliation was
not performed on the updated values.
Certain loans have missing assignments or endorsements as of the
Closing Date. Given the relatively clean performance history of the
mortgages and the operational capability of the servicers, DBRS
Morningstar believes that the risk of impeding or delaying
foreclosure is remote.
Notes: All figures are in U.S. dollars unless otherwise noted.
NEW RESIDENTIAL 2019-6: Moody's Assigns B3 Ratings on 5 Tranches
----------------------------------------------------------------
Moody's Investors Service assigned definitive ratings to 32 classes
of notes issued by New Residential Mortgage Loan Trust 2019-6. The
NRMLT 2019-6 transaction is a $506 million securitization of 4,681
first lien, seasoned performing and re-performing fixed-rate
mortgage loans with a weighted average seasoning of 188 months, a
weighted average updated LTV ratio of 50.8% and a non-zero weighted
average updated FICO score of 667. Based on the OTS methodology,
74.2% of the loans by scheduled balance have been continuously
current for the past 24 months. Approximately 61.9% of the loans in
the pool (by scheduled balance) have been previously modified. PHH
Mortgage Corporation, Mr. Cooper Group Inc and Select Portfolio
Servicing, Inc. and Shellpoint Mortgage Servicing are the four
servicers who will service approximately 62.9%, 29.3%, 5.7% and
2.0% of the loans (by scheduled balance), respectively. Nationstar
Mortgage LLC will act as master servicer and successor servicer and
Shellpoint will act as the special servicer.
The complete rating action is as follows:
Issuer: New Residential Mortgage Loan Trust 2019-6
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-1A, Definitive Rating Assigned Aaa (sf)
Cl. A-1B, Definitive Rating Assigned Aaa (sf)
Cl. A-1C, Definitive Rating Assigned Aaa (sf)
Cl. A-1D, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aa1 (sf)
Cl. B-1, Definitive Rating Assigned Aa2 (sf)
Cl. B-1A, Definitive Rating Assigned Aa2 (sf)
Cl. B-1B, Definitive Rating Assigned Aa2 (sf)
Cl. B-1C, Definitive Rating Assigned Aa2 (sf)
Cl. B-1D, Definitive Rating Assigned Aa2 (sf)
Cl. B-2, Definitive Rating Assigned A3 (sf)
Cl. B-2A, Definitive Rating Assigned A3 (sf)
Cl. B-2B, Definitive Rating Assigned A3 (sf)
Cl. B-2C, Definitive Rating Assigned A3 (sf)
Cl. B-2D, Definitive Rating Assigned A3 (sf)
Cl. B-3, Definitive Rating Assigned Baa3 (sf)
Cl. B-3A, Definitive Rating Assigned Baa3 (sf)
Cl. B-3B, Definitive Rating Assigned Baa3 (sf)
Cl. B-3C, Definitive Rating Assigned Baa3 (sf)
Cl. B-3D, Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Definitive Rating Assigned Ba3 (sf)
Cl. B-4A, Definitive Rating Assigned Ba3 (sf)
Cl. B-4B, Definitive Rating Assigned Ba3 (sf)
Cl. B-4C, Definitive Rating Assigned Ba3 (sf)
Cl. B-5, Definitive Rating Assigned B3 (sf)
Cl. B-5A, Definitive Rating Assigned B3 (sf)
Cl. B-5B, Definitive Rating Assigned B3 (sf)
Cl. B-5C, Definitive Rating Assigned B3 (sf)
Cl. B-5D, Definitive Rating Assigned B3 (sf)
Cl. B-7, Definitive Rating Assigned B2 (sf)
RATINGS RATIONALE
Its losses on the collateral pool equal 9.00% in an expected
scenario and reach 33.75% at a stress level consistent with the Aaa
ratings on the senior classes. Moody's based its expected losses
for the pool on its estimates of (1) the default rate on the
remaining balance of the loans and (2) the principal recovery rate
on the defaulted balances. The final expected losses for the pool
reflect the third-party review findings and its assessment of the
representations and warranties framework for this transaction.
Also, the transaction contains a mortgage loan sale provision, the
exercise of which is subject to potential conflicts of interest. As
a result of this provision, Moody's increased its expected losses
for the pool.
To estimate the losses on the pool, Moody's used an approach
similar to its surveillance approach. Under this approach, Moody's
applies expected annual delinquency rates, conditional prepayment
rates, loss severity rates and other variables to estimate future
losses on the pool. Its assumptions on these variables are based on
the observed performance of seasoned modified and non-modified
loans, the collateral attributes of the pool including the
percentage of loans that were delinquent in the past 36 months. For
this pool, Moody's used default burnout assumptions similar to
those detailed in its "US RMBS Surveillance Methodology" for Alt-A
loans originated pre-2005. Moody's then aggregated the
delinquencies and converted them to losses by applying
pool-specific lifetime default frequency and loss severity
assumptions.
Collateral Description
NRMLT 2019-6 is a securitization of 4,681 seasoned performing and
re-performing fixed-rate residential mortgage loans which the
seller, NRZ Sponsor IX LLC, has purchased in connection with the
termination of various securitization trusts. Similar to prior
NRMLT transactions Moody's has rated, nearly all of the collateral
was sourced from terminated securitizations. Approximately 61.9% of
the loans had previously been modified.
The updated value of properties in this pool were provided by a
third-party firm using a home data index and/or an updated broker
price opinion. BPOs were provided for a sample of 1,301 out of the
4,681 properties contained within the securitization. HDI values
were provided for all but two properties contained within the
securitization. The weighted average updated LTV ratio on the
collateral is 50.8%, implying an average of 49.2% borrower equity
in the properties.
Third-Party Review and Representations & Warranties
Two third-party due diligence providers, AMC and Recovco, conducted
a regulatory compliance review on a sample of 545 and 1,394
seasoned mortgage loans respectively for the initial due diligence
pool. The regulatory compliance review consisted of a review of
compliance with the federal Truth in Lending Act (TILA) as
implemented by Regulation Z, the federal Real Estate Settlement
Procedures Act (RESPA) as implemented by Regulation X, the
disclosure requirements and prohibitions of Section 50(a)(6),
Article XVI of the Texas Constitution, federal, state and local
anti-predatory regulations, federal and state specific late charge
and prepayment penalty regulations, and document review.
AMC found that 116 out of 545 loans had compliance exceptions with
rating agency grade C or D. Recovco reviewed 1,394 loans and 179
loans have ratings of C or D. Based on its analysis of the TPR
reports, Moody's determined that a portion of the loans with some
cited violations are at enhanced risk of having violated TILA
through an under-disclosure of the finance charges or other
disclosure deficiencies. Although the TPR report indicated that the
statute of limitations for borrowers to rescind their loans has
already passed, borrowers can still raise these legal claims in
defense against foreclosure as a set off or recoupment and win
damages that can reduce the amount of the foreclosure proceeds.
Such damages include up to $4,000 in statutory damages, borrowers'
legal fees and other actual damages. Moody's increased its losses
for these loans to account for such damages.
AMC and Recovco reviewed the findings of various title search
reports covering 269 and 987 mortgage loans, respectively, in the
preliminary sample population in order to confirm the first lien
position of the related mortgages. Overall, AMC's review confirmed
that 157 mortgages were in first lien position. For the 112
remaining loans reviewed by AMC, for 16 mortgage loans the final
title policy at loan origination was accepted to be proof of a
first lien position and two loans had pending searches. Loans with
pending searches were dropped from the pool. Recovco reported that
967 out of 987 mortgage loans it reviewed were in first-lien
position. For 6 mortgage loans, the final title policy was used to
verify the first lien position and for 20 other mortgage loans the
results were pending. All loans with pending searches were dropped
from the pool. The seller, NRZ Sponsor IX LLC, is providing a
representation and warranty for missing mortgage files. To the
extent that the master servicer, related servicer or depositor has
actual knowledge, or a responsible officer of the Indenture Trustee
has received written notice, of a defective or missing mortgage
loan document or a breach of a representation or warranty regarding
the completeness of the mortgage file or the accuracy of the
mortgage loan documents, and such missing document, defect or
breach is preventing or materially delaying the (a) realization
against the related mortgaged property through foreclosure or
similar loss mitigation activity, or (b) processing of any title
claim under the related title insurance policy, the party with such
actual knowledge will give written notice of such breach, defect or
missing document, as applicable, to the seller, indenture trustee,
depositor, master servicer and related servicer. Upon notification
of a missing or defective mortgage loan file, the seller will have
120 days from the date it receives such notification to deliver the
missing document or otherwise cure the defect or breach. If it is
unable to do so, the seller will be obligated to replace or
repurchase the mortgage loan.
Trustee, Custodians, Paying Agent, Servicers, Master Servicer,
Successor Servicer and Special Servicer
The transaction indenture trustee is Wilmington Trust, National
Association. The custodian functions will be performed by Wells
Fargo Bank, N.A and U.S. Bank National Association. The paying
agent and cash management functions will be performed by Citibank,
N.A. In addition, Nationstar, as master servicer, is responsible
for servicer oversight, termination of servicers, and the
appointment of successor servicers. Having Nationstar as a master
servicer mitigates servicing-related risk due to the performance
oversight that it will provide. Shellpoint will serve as the
special servicer and, as such, will be responsible for servicing
mortgage loans that become 60 or more days delinquent. Nationstar
will serve as the designated successor servicer.
PHH Mortgage Corporation, Mr. Cooper, Select Portfolio Servicing,
Inc. and Shellpoint Mortgage Servicing are the four servicers who
will service approximately 62.9%, 29.3%, 5.7% and 2.0% of the loans
(by scheduled balance), respectively. Moody's considers the overall
servicing arrangement to be adequate.
Transaction Structure
The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to increasingly receive principal
prepayments after an initial lock-out period of five years,
provided two performance tests are met. To pass the first test, the
delinquent and recently modified loan balance cannot exceed 50% of
the subordinate bonds outstanding. To pass the second test,
cumulative losses cannot exceed certain thresholds that gradually
increase over time.
Because a shifting interest structure allows subordinated bonds to
pay down over time as the loan pool shrinks, senior bonds are
exposed to tail risk, i.e., risk of back-ended losses when fewer
loans remain in the pool. The transaction provides for a senior and
subordination floor that helps to reduce this tail risk.
Specifically, the subordination floor prevents subordinate bonds
from receiving any principal if the amount of subordinate bonds
outstanding falls below 9.00% of the cut-off date principal
balance. There is also a provision that prevents subordinate bonds
from receiving principal if the credit enhancement for the Class
A-1 note falls below its percentage at closing, 35.60%. In
addition, there are provisions that "lock out" certain subordinate
bonds and allocate principal to more senior subordinate bonds if,
for a given class, credit enhancement levels decline below their
initial percentages or below 9.00% of the cut-off date principal
balance. These provisions have been incorporated into its cash flow
model and are reflected in its ratings
Other Considerations
The transaction contains a mortgage loan sale provision, the
exercise of which is subject to potential conflicts of interest.
The servicers in the transaction may sell mortgage loans that
become 60 or more days delinquent according to the MBA methodology
to any party in the secondary market in an arms-length transaction
and at a fair market value. For such sale to take place, the
related servicer must determine, in its reasonable commercial
judgment, that such sale would maximize proceeds on a present value
basis. If the sponsor or any of its subsidiaries is the purchaser,
the related servicer must obtain at least two additional
independent bids. The transaction documents provide little detail
on the method of receipt of bids and there is no set minimum sale
price. Such lack of detail creates a risk that the independent bids
could be weak bids from purchasers that do not actively participate
in the market. Furthermore, the transaction documents provide
little detail regarding how servicers should conduct present value
calculations when determining if a note sale should be pursued. The
special servicer, Shellpoint, is an affiliate of the sponsor. The
servicers in the transaction may have a commercial relationship
with the sponsor outside of the transaction. These business
arrangements could lead to conflicts of interest. Moody's took this
into account and adjusted its losses accordingly.
When analyzing the transaction, Moody's reviewed the transaction's
exposure to large potential indemnification payments owed to
transaction parties due to potential lawsuits. In particular,
Moody's assessed the risk that the indenture trustee would be
subject to lawsuits from investors for a failure to adequately
enforce the R&Ws against the seller. Moody's believes that NRMLT
2019-6 is adequately protected against such risk primarily because
the loans in this transaction are highly seasoned with a weighted
average seasoning of approximately 190 months. Although some loans
in the pool were previously delinquent and modified, the loans all
have a substantial history of payment performance. This includes
payment performance during the last recession. As such, if loans in
the pool were materially defective, such issues would likely have
been discovered prior to the securitization. Furthermore, third
party due diligence was conducted on a significant random sample of
the loans for issues such as data integrity, compliance, and title.
As such, Moody's did not apply adjustments in this transaction to
account for indemnification payment risk.
In addition, prior to closing, the collateral pool has
approximately $1,857,986 of unreimbursed servicing advances such as
taxes and insurance. The mortgage borrower is responsible for
reimbursing the related servicer for the pre-existing servicing
advances. The related servicer may choose to set the pre-existing
advances as escrow to be repaid by the borrower as part of monthly
mortgage payments. However, in the event the borrower defaults on
the mortgage prior to fully repaying the pre-existing servicing
advances, the related servicer will recoup the outstanding amount
of pre-existing advances from the loan liquidation proceeds. The
amount of pre-existing servicing advances only represents
approximately 20 basis points of total pool balance. As borrowers
make monthly mortgage payments, this amount would likely decrease.
Moreover, its loan loss severity assumption incorporates
reimbursement of servicing advances from liquidation proceeds.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from its original expectations
as a result of a lower number of obligor defaults or appreciation
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
better-than-expected performance include changes to servicing
practices that enhance collections or refinancing opportunities
that result in prepayments.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above its original expectations as
a result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
The methodologies used in these ratings were "Moody's Approach to
Rating Securitizations Backed by Non-Performing and Re-Performing
Loans" published in February 2019 and "US RMBS Surveillance
Methodology" published in February 2019.
PROVIDENT FUNDING 2019-1: Moody's Rates Class B-5 Debt 'Ba3'
------------------------------------------------------------
Moody's Investors Service assigned definitive ratings to 18 classes
of residential mortgage-backed securities issued by Provident
Funding Mortgage Trust 2019-1. The ratings range from Aaa (sf) to
Ba3 (sf).
Provident 2019-1 is the first transaction entirely backed by loans
originated by the sponsor, Provident Funding Associates, L.P.
(Provident Funding). Provident 2019-1, a common law trust formed
under the laws of the State of New York, is a securitization of
agency-eligible mortgage loans originated and serviced by Provident
Funding, a California limited partnership (corporate family rating
B1; senior unsecured B2) and will be the first transaction for
which Provident Funding is the sole originator and servicer.
As of the cut-off date of November 1, 2019, the pool contains of
947 mortgage loans with an aggregate principal balance of
$337,597,325 secured by first liens on one- to four-family
residential properties, condominiums or planned unit developments,
originated from August 2019 through October 2019, and are fully
amortizing, fixed-rate Safe Harbor QM loans, each with an original
term to maturity of 30 years. The mortgage loans have principal
balances which meet the requirements for purchase by Fannie Mae or
Freddie Mac, and were underwritten pursuant to the guidelines of
Fannie Mae or Freddie Mac, as applicable, using their automated
underwriting systems (collectively, agency-eligible loans).
Overall, the credit quality of the mortgage loans backing this
transaction is similar to that of transactions issued by other
prime issuers.
Provident Funding will act as the initial servicer of the mortgage
loans (in such capacity, the Servicer). The Servicer will service
the mortgage loans pursuant to the pooling and servicing agreement.
Wells Fargo Bank, N.A (Wells Fargo, rated Aa1) will be the master
servicer, securities administrator, paying agent and certificate
registrar and the trustee will be Wilmington Savings Fund Society,
FSB.
The complete rating actions are as follows:
Issuer: Provident Funding Mortgage Trust 2019-1
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-1A, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-2A, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-3A, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-4A, Definitive Rating Assigned Aaa (sf)
Cl. A-5, Definitive Rating Assigned Aa1 (sf)
Cl. A-5A, Definitive Rating Assigned Aa1 (sf)
Cl. A-6, Definitive Rating Assigned Aaa (sf)
Cl. A-6A, Definitive Rating Assigned Aaa (sf)
Cl. A-7, Definitive Rating Assigned Aaa (sf)
Cl. B-1, Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Definitive Rating Assigned A2 (sf)
Cl. B-3, Definitive Rating Assigned Baa1 (sf)
Cl. B-4, Definitive Rating Assigned Baa3 (sf)
Cl. B-5, Definitive Rating Assigned Ba3 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected loss for this pool in a baseline scenario is 0.31%
and reaches 3.46% at a stress level consistent with its Aaa
ratings.
Moody's calculated losses on the pool using its US Moody's
Individual Loan Analysis model based on the loan-level collateral
information as of the cut-off date. Loan-level adjustments to the
model results included, but were not limited to, adjustments for
origination quality, third-party review (TPR) scope and results,
and the financial strength of the representation & warranty (R&W)
provider.
Collateral Description
As of the cut-off date of November 1, 2019, the pool contains of
947 mortgage loans with an aggregate principal balance of
$337,597,325 secured by first liens on one- to four-family
residential properties, condominiums or planned unit developments,
originated from August 2019 through October 2019, and are fully
amortizing, fixed-rate Safe Harbor "qualified mortgages" (QM)
loans, each with an original term to maturity of 30 years. The
mortgage loans have principal balances which meet the requirements
for purchase by Fannie Mae or Freddie Mac, and were underwritten
pursuant to the guidelines of Fannie Mae or Freddie Mac, as
applicable, using their automated underwriting systems.
Borrowers of the mortgage loans backing this transaction have
strong credit profiles demonstrated by strong credit scores, high
percentage of equity and significant liquid reserves. The average
stated principal balance is $356,491 and the weighted average (WA)
current mortgage rate is 3.6%. The mortgage pool has a WA original
term of 30 years. The mortgage pool has a WA seasoning of 1.1
months. The borrowers have a WA credit score of 776, WA combined
loan-to-value ratio (CLTV) of 66.6% and WA debt-to-income ratio
(DTI) of 33.3%. Most of the properties are located in California
(25.4% by balance). The credit quality of the transaction is in
line with recent prime jumbo transactions that Moody's has rated.
Approximately 61.1% of the loans (by loan balance) were originated
through the broker channel. Approximately 29.1% and 9.8% were
originated through retail and correspondent channels, respectively.
This pool has a lower proportion of purchase loans (28% by loan
balance) compared to recent JPMMT transactions which typically
contained about 50% to 70% of such loans. Refinance loans,
including debt consolidation, constitute 72% of the pool, with
about 34% of the pool as cash-out refinance loans. Furthermore,
approximately 62.3% (by loan balance) of the properties backing the
mortgage loans are located in five states: California, Utah, Texas,
Colorado and Oregon, with 25.4% (by loan balance) of the properties
located in California. Properties located in the states of
Washington, North Carolina, Pennsylvania, Arizona, and Georgia
round out the top ten states by loan balance. Approximately 81.4%
(by loan balance) of the properties backing the mortgage loans
included in Provident 2019-1 are located in these ten states.
Overall, the credit quality of the transaction is in line with
recent prime jumbo transactions that Moody's has rated.
Third Party Review and Reps & Warranties (R&W)
Two third-party due diligence (TPR) firms verified the accuracy of
the loan level information. The TPR firms conducted detailed
credit, property valuation, data accuracy and compliance reviews on
100% of the mortgage loans in the collateral pool. From the initial
pool of reviewed mortgage loans by the TPR firms, 59 mortgage loans
were removed from the final mortgage pool for the following
reasons: (i) 16 due to an inaccurate designation of a small
borrower paid fee in the TRID disclosures that were remitted by law
to a state governmental reinsurance fund, (ii) five due to issues
related to a CDA where a field review could not be obtained in time
for the transaction, (iii) four for points and fees in excess of
the maximum permitted for "qualified mortgages", and (iv) 34 for
miscellaneous individual minor compliance and documentation issues
unrelated to the credit of the borrower. The TPR results indicate
that the majority of reviewed loans were in compliance with
originator's underwriting guidelines, that there were no material
compliance or data issues, and that there were no material
appraisal defects. Moody's did not make any adjustments to its base
case and Aaa stress loss assumptions based on the TPR results.
Overall, Moody's considers the strength of the R&W framework in
Provident 2019-1 to be adequate. Its analysis of the R&W framework
considers the R&Ws, enforcement mechanisms and creditworthiness of
the R&W provider. The sponsor has provided unambiguous R&Ws with no
material knowledge qualifiers and not subject to a sunset. There is
a provision for binding arbitration in the event of a dispute
between investors and the R&W provider concerning R&W breaches.
However, while the sponsor has provided R&Ws that are generally
consistent with a set of credit neutral R&Ws that we've identified
in its methodology, the R&W framework in Provident 2019-1 differs
from some of the other prime jumbo transactions because breach
review is not automatic since an independent reviewer is not named
at closing and there is a possibility that an independent reviewer
will not be appointed altogether. As a result, there is a risk that
some loans with R&W defects may not be reviewed. In general,
reviews are performed at the option and expense of the controlling
holder (which is the holder of majority of the most subordinate
certificates), or if there is no controlling holder (which is the
case at closing, because an affiliate of the sponsor will hold the
subordinate classes and thus there will be no controlling holder
initially), a senior holder group. Specifically, once a review
trigger has been met (i.e. 120-day delinquency), it is the
responsibility of the controlling holder, or the senior holder
group, to engage an independent reviewer and to bear the costs of
the review, even if a breach is discovered (unless the R&W is an
"intrinsic representation", then the sponsor will bear the cost of
review). If the controlling holder and the senior holder group
elect not to engage an independent reviewer to conduct a breach
review, the loan may not be reviewed, which may result in systemic
defects remaining undetected. In its analysis, Moody's considered
the incentives of the controlling holder (the holder of the most
subordinate certificateholder, has the most at stake in a default)
and the senior holder group, that a third-party due diligence firm
has performed a 100% review of the mortgage loans as well as the
early payment default protection in this transaction.
Origination quality
Moody's considers Provident Funding an adequate originator of
agency-eligible mortgage loans based on the company's staff and
processes for underwriting, quality control, risk management and
performance. The company, a limited partnership that is closely
held by senior management, including CEO Craig Pica, was formed in
1992, as a privately held mortgage banking company headquartered in
San Bruno, California. The company originates, sells and services
residential mortgage loans throughout the US. The company is ranked
as the 34th largest originator for the first six months of 2019
with approximately $5.8 billion in loan origination volume, having
fallen from the 16th largest in 2013. The company has originated
$330+B loans since 1998 (with over 10B YTD 2019). The company
sources loans through a nationwide network of independent brokers,
correspondent lenders and in-house retail channel. All the mortgage
loans in this transaction were originated either through Fannie
Mae's Desktop Underwriter "DU" program or Freddie Mac's Loan
Product Advisor "LP" program in accordance with the underwriting
criteria applicable to such programs, as modified or supplemented
by an additional overlay of the company.
Servicing arrangement
Provident Funding will service the mortgage loans pursuant to the
pooling and servicing agreement. Moody's considers the overall
servicing arrangement for this pool to be adequate given the
servicing abilities of the Provident Funding as primary servicer.
Moody's also considers the presence of a strong master servicer to
be a mitigant against the risk of any servicing disruptions.
Moody's did not make any adjustments to its base case and Aaa
stress loss assumptions based on the servicing arrangement.
Servicer: Provident Funding was formed in 1992, as a privately held
mortgage banking company headquartered in San Bruno, California,
and has been servicing residential mortgage loans since 2009.
Provident Funding is rated B1 by Moody's (similar to other non-bank
entities). The company originates, sells and services residential
mortgage loans throughout the US. The company is a limited
partnership that is closely held by senior management, including
CEO Craig Pica. The COO and chief technology officer also are
members of the Pica family. The company is an approved
seller/servicer in good standing with the Government National
Mortgage Association, the Federal National Mortgage Association,
the Federal Home Loan Mortgage Corporation, the Federal Housing
Administration , the United States Department of Agriculture and
the United States Department of Veterans Affairs.
Before distributions are made on the certificates, the servicer
will be paid an aggregate monthly fee equal to 0.25% per annum of
the stated principal balance of each mortgage loan as of the first
day of the related due period. The servicer will also be entitled
to receive, to the extent provided in the pooling and servicing
agreement, additional compensation in the form of prepayment
interest excess in excess of prepayment interest shortfalls, late
charges and certain other ancillary fees paid by borrowers, REO
management fees (in certain cases) and interest or other income
earned on funds the Servicer has deposited in the collection
account pending remittance to the distribution account.
Master Servicer: Wells Fargo will be the master servicer. Moody's
considers the presence of a strong master servicer to be a mitigant
for any servicing disruptions. Moody's considers Wells Fargo as a
strong master servicer of prime residential mortgage loans. Wells
Fargo maintains a significant market presence in third-party master
servicing space. Based on portfolio size, Wells Fargo is the
largest RMBS master servicer. The master servicing operations,
based in Columbia, Maryland, are part of the corporate trust
services division of the bank, which operates under the wholesale
banking division of Wells Fargo Bank, N.A. Its evaluation of Wells
Fargo as a master servicer takes into account the bank's strong
reporting and remittance procedures, servicer compliance and
monitoring capabilities and servicing stability.
Before distributions are made on the certificates, the master
servicer will be paid prior to deposit into the distribution
account, a monthly fee equal to the greater of (i) 0.021% per annum
multiplied by the stated principal balance of each mortgage loan as
of the first day of the related due period and (ii) $3,500. The
fees of the securities administrator will be paid by the master
servicer from the Master Servicing Fee.
Securities Administrator/Custodian/Trustee
Securities administrator, paying agent and certificate registrar:
Wells Fargo. As securities administrator, Wells Fargo will perform
certain securities administration duties with respect to the
certificates, including acting as authentication agent, calculation
agent, paying agent, certificate registrar, and the party
responsible for preparing distribution statements and preparing tax
filings for the issuing entity.
Custodian: Deutsche Bank National Trust Company (rated A2), a
national banking association, will act as custodian of the mortgage
files pursuant to a custodial agreement. The custodian will
maintain custody of the mortgage loan documents relating to the
mortgage loans on behalf of the trustee for the benefit of the
certificateholders.
Trustee: Wilmington Savings Fund Society, FSB will act as the
trustee for this transaction.
Other Considerations
Servicer optional purchase of delinquent loans: The servicer has
the option to purchase any mortgage loan which is 90 days or more
delinquent, which may result in the step-down test used in the
calculation of the senior prepayment percentage to be satisfied
when otherwise it would not have been. Moreover, because the
purchase may occur prior to the breach review trigger of 120 days
delinquency, the loan may not be reviewed for breaches of
representations and warranties and thus, systemic defects may
remain undetected. In its analysis, Moody's considered that the
loans will be purchased by the servicer at par and that a
third-party due diligence firm has performed a 100% review of the
mortgage loans. Moreover, the reporting for this transaction will
list the mortgage loans purchased by the servicer.
Tail Risk & Subordination Floor
The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 0.60% of the closing pool balance,
and a subordination lock-out amount of 0.60% of the closing pool
balance. The floors are consistent with the credit neutral floors
for the assigned ratings according to its methodology.
Transaction Structure
The transaction is structured as a one pool shifting interest
structure in which the senior bonds benefit from a senior floor and
a subordination floor. Funds collected, including principal, are
first used to make interest payments to the senior bonds. Next
principal payments are made to the senior bonds and then interest
and principal payments are paid to the subordinate bonds in
sequential order, subject to the subordinate class percentage of
the subordinate principal distribution amounts.
Realized losses are allocated in a reverse sequential order, first
to the lowest subordinate bond. After the balances of the
subordinate bonds are written off, losses from the pool begin to
write off the principal balances of the senior support bonds until
their principal balances are reduced to zero. Next realized losses
are allocated to the super senior bonds until their principal
balances are written off.
As in all transactions with shifting-interest structures, the
senior bonds benefit from a cash flow waterfall that allocates all
prepayments to the senior bonds for a specified period of time, and
allocates increasing amounts of prepayments to the subordinate
bonds thereafter only if loan performance satisfies both
delinquency and loss tests.
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.
Methodology
The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework " published in
October 2019.
SECURITIZED TERM 2019-CRT: DBRS Finalizes BB Rating on Cl. D Notes
------------------------------------------------------------------
DBRS Limited finalized the provisional ratings on the following
notes issued by Securitized Term Auto Receivables Trust 2019-CRT
(START 2019-CRT or the Trust):
-- AA (low) (sf) on the Auto Loan Receivables Backed Notes,
Class B (the Class B Notes)
-- A (low) (sf) on the Auto Loan Receivables Backed Notes,
Class C (the Class C Notes)
-- BB (sf) on the Auto Loan Receivables Backed Notes, Class D
(the Class D Notes; collectively with the Class B Notes and
the Class C Notes, the Subordinated Notes)
The Trust also issued Auto Loan Receivables Backed Notes, Class A
(the Class A Notes; collectively with the Subordinated Notes, the
Notes), which are not rated. The Notes are supported by a portfolio
of prime retail auto loan contracts originated by The Bank of Nova
Scotia (rated AA with a Stable trend by DBRS Morningstar) and
secured by new and used light trucks (including sport-utility
vehicles, crossover utility vehicles, and minivans) and passenger
cars (the Portfolio of Assets).
Repayment of the Notes will be made from collections from the
Portfolio of Assets, which generally include scheduled monthly loan
payments, prepayments and proceeds from vehicle sales in the case
of defaults. Principal repayment on the Notes will be made pro-rata
until the occurrence of a Sequential Principal Payment Trigger
Event, after which the Notes will be paid sequentially in the order
of the Class A Notes, Class B Notes, Class C Notes, and Class D
Notes. The ratings on the Subordinated Notes are based on their
full repayment by the Final Scheduled Payment Date.
The ratings incorporate the following considerations:
(1) Available Credit Enhancement (CE)
There is initially subordination of 6.50% and 2.75% (as a
percentage of Class A–D Note Balance) to the Class B Notes and
Class C Notes, respectively, and a non-amortizing cash reserve
account of 0.25% (as a percentage of the Initial Pool Balance).
Prior to the occurrence of a Sequential Principal Payment Trigger
Event, the levels of subordination will amortize as the Notes are
repaid pro-rata; however, following such an event, the
subordination amounts will floor as repayment of the Notes becomes
sequential. In addition, approximately 4.51% excess spread
(annualized), net of the cost of funds and replacement servicer
fees, will be available to offset collection shortfalls on a
monthly basis.
(2) Manufacturer Diversity
The Portfolio of Assets consists of vehicle models from over 20
different vehicle manufacturers marketed through over 40 brands in
the Canadian mainstream and luxury markets. The top five
manufacturers are Fiat Chrysler Automobiles N.V. (20.7%; rated BBB
(low) and Under Review with Positive Implications by DBRS
Morningstar), General Motors Company (17.5%; rated BBB (high) with
a Stable trend by DBRS Morningstar), Ford Motor Company (14.3%;
rated BBB with a Negative trend by DBRS Morningstar), Toyota Motor
Corporation (10.3%; rated AA (low) with a Stable trend by DBRS
Morningstar) and Honda Motor Co., Ltd. (8.4%; rated A (high) with a
Stable trend by DBRS Morningstar), which together represent 71.3%
of the pool. A diverse pool provides stability and can mitigate
potential periods of weak demand for certain brands or vehicle
recalls.
(3) Obligor Profile
The obligors of the underlying loan contracts represent high-credit
quality customers as the weighted-average FICO score is 749 and no
obligors have a FICO score below 620. Approximately 73.1% of the
pool has a FICO score above or equal to 700.
(4) Operational Strength and Experience of Seller
DBRS Morningstar confirmed its rating on The Bank of Nova Scotia
(the Seller or Scotiabank) at AA/R-1 (high) with Stable trends on
April 26, 2019. The corporate rating confirmation recognizes Scotia
bank's highly diversified banking franchise, supported by a
conservative risk profile with sound asset quality, a well-managed
funding, and liquidity profile and solid capital levels. The Seller
has a long history in banking and consumer lending across multiple
product lines in addition to auto loans, including mortgages,
personal loans, and lines of credit, credit cards and financial
services.
DBRS Morningstar's cash flow analysis includes a conservative
base-case cumulative net loss estimate, consideration for the
seasoning in the Portfolio of Assets, prepayments, available CE and
structural features. DBRS Morningstar's stress testing indicates
that the Trust's ability to repay the Subordinated Notes is
consistent with their respective ratings.
Notes: All figures are in Canadian dollars unless otherwise noted.
START LTD III: Fitch Assigns BBsf Rating on Series C Notes
----------------------------------------------------------
Fitch Ratings assigned final ratings to START III Ltd.'s secured
notes issued by START III Ltd.
Supplement No. 1 to Preliminary Offering Memorandum was filed on
Nov. 25, 2019 to amend and reflect the default notice of one
initial lessee for delay in payment, representing 6.85% of the
initial portfolio.
Furthermore, South African Airways (SAA) notified lawmakers that it
would require additional working capital needs amounting to $136
million to fund operations through the end of March 2020. SAA has
been receiving ongoing support from the South African government to
avoid bankruptcy in prior years, but continuation of ongoing
government support is uncertain.
Despite these recent amendments/filings, Fitch's base case cash
flow modeling assumptions incorporate elevated default risks on
unrated lessees in the pool, consistent with aircraft operating
lease ABS criteria. In addition, sensitivity scenarios were
considered in determining Fitch's expected ratings.
RATING ACTIONS
START III Ltd.
Series A; LT Asf New Rating; previously at A(EXP)sf
Series B; LT BBBsf New Rating; previously at BBB(EXP)sf
Series C; LT BBsf New Rating; previously at BB(EXP)sf
TRANSACTION SUMMARY
START III Ltd. (START Ireland) and START III USA LLC (START USA)
(collectively START III, or the Issuers) will co-issue the Series
A, B and C Fixed-Rate Secured Notes (together, the Notes). START
Ireland will separately issue an E Note to START Holding III Ltd.
(E Noteholder).
START III expects to use the proceeds of the initial Notes and E
Note to acquire a portfolio of 20 young- and mid-life narrowbody
(NB) aircraft from GE Capital Global Holdings, LLC (GECGH), GE
Capital Aviation Services Limited (GECAS) and certain subsidiaries
(collectively, the Sellers). The notes issued from START III will
be secured by lease payments and disposition proceeds on the pool,
serviced by GECAS and managed by Canyon Financial Services Limited,
and Sculptor Aviation 2019-2, LLC will act as asset manager for
START III.
This is the second START transaction rated by Fitch, and the third
issued since 2018 (START I was issued in June 2018 but not rated by
Fitch) and serviced by GECAS. General Electric Company (GE), the
ultimate parent of GECGH and GECAS, is currently rated
'BBB+'/'F2'/Outlook Negative.
KEY RATING DRIVERS
Unsecured Exposure to GECGH Credit - Standby Letters of Credit: 99%
of the purchase price in the portfolio will be withdrawn from the
aircraft acquisition account at/around transaction closing. The
Undelivered Aircraft Adjustment Amount (UAAA) will be guaranteed by
GECGH, and the portion allocable to the Series A Notes is
collateralized by irrevocable standby letters of credit (standby
LCs) issued by Credit Agricole and Nordea Bank (standby LC
providers). Both are required to maintain a minimum rating of 'A'
or higher by Fitch. GECAS will charge 6% interest per annum on the
portion that remains on deposit, which is a minor credit negative.
Asset Quality - Liquid NB Aircraft - Positive: The pool comprises
20 in-demand, mostly Tier 1 NB solid quality, current generation
A320 and B737 family aircraft with a WA age of 8.4 years, higher
than START II at 6.0 years, which is in range of with recent
transactions. The remaining lease term is 5.5 years, lower than
START II at 6.6 years, but on the longer side of lease maturities
compared to recently rated aircraft ABS transactions. Two leases
(8.2% of the pool) mature in 2021, six (23.3%) in 2022, three
(12.7%) in 2023 and two (15.3%) in 2024, combined totaling 59.4%
from 2021-2024. 29.4% of the leases have remaining lease terms
between eight and 11 years.
Lessee Credit Risks - Weak: The 'CCC' assumed lessee concentration
is 35.7%, generally consistent with 36.4% from START II. Two of the
airlines in the pool are Fitch-rated, totaling 7.9%. Most of the 17
lessees in the pool are either unrated or speculative-grade
airlines, typical of aircraft ABS. Fitch assumed unrated lessees
would perform consistent with either a 'B' or 'CCC' Issuer Default
Rating (IDR) to accurately reflect the default risk in the pool.
Lessee ratings were further stressed during future assumed
recessions and once aircraft reach Tier 3 classification.
Country Credit Risk - Neutral: There are 14 countries represented
in the pool, with 15.3% of exposure in India and 13.0% of exposure
in Malaysia. Compared to START II, the exposure to China is
noticeably lower at 6.8% versus 30.9%. The ongoing trade dispute
between the U.S. and China has had limited direct impact. Fitch
previously affirmed China's Long-Term IDR at 'A+' with a Stable
Outlook. The affirmation is driven by country's robust external
finances, strong macroeconomic performance and size as the world's
second-largest economy.
Operational and Servicing Risk - Adequate Servicing Capability: The
pool will depend on the ability of GECAS (parent GE rated
BBB+/F2/Negative) to collect rent payments, remarket and repossess
aircraft in an event of lessee default, and procure maintenance to
retain asset values and ensure stable performance. Fitch believes
GECAS to be a capable servicer as evidenced by the experience of
their team, and servicing of their managed fleet and prior
serviced/managed securitizations.
Transaction Structure - Consistent; Higher Expenses/Fees -
Negative: Credit enhancement comprises overcollateralization, a
liquidity facility and a cash reserve. The initial loan to value
ratios for the class A, B and C notes are 65.9%, 76.4% and 82.8%,
respectively, based on the average of maintenance-adjusted base
value (MABV). Higher expenses/fees amounting to approximately 14%
under Fitch's modeled lease cash flows, consistent with START II,
compared to 5%-8% observed in recently rated is viewed as a
negative.
Adequate Structural Protections: Each class of notes makes full
payment of interest and principal in the primary scenarios
commensurate with their expected ratings after applying Fitch's
stressed asset and liability assumptions. Fitch also created
multiple alternative cash flows to evaluate the structure
sensitivity to different scenarios, detailed later in the report.
Aviation Market Cyclicality: Commercial aviation has been subject
to significant cyclicality due to macroeconomic and geopolitical
events. Fitch's analysis assumes multiple periods of significant
volatility over the life of the transaction.
Rating Cap of 'Asf': Fitch limits aircraft operating lease ratings
to a maximum cap of 'Asf' due to the factors mentioned, and the
potential volatility they produce.
RATING SENSITIVITIES
The performance of aircraft operating lease securitizations can be
affected by various factors, which, in turn, could have an impact
on the assigned ratings. Fitch conducted multiple rating
sensitivity analyses to evaluate the impact of changes to a number
of the variables in the analysis. As previously stated, these
sensitivity scenarios were also considered in determining Fitch's
expected ratings.
LRF Stress Scenario
Increased competition has contributed to declining lease rates in
the aircraft leasing market. Additionally, certain variants have
been more prone to declining values and lease rates due to
oversupply issues. Fitch performed a sensitivity analysis assuming
that LRFs would plateau after 11 years of age. Per Fitch's criteria
LRF curve, LRFs at age 11 cap at 1.13%.
Cash flow generated under this scenario decreased from Fitch's
primary scenario due to the drop in monthly cash flows from future
lease payments. All three classes of notes fail the 'Asf' scenario.
The class A notes fail to pay down approximately $27 million in
remaining principal. The class A notes pass the 'BBBsf' scenario,
the class B notes pass the 'BBsf' scenario and the class C notes
pass the 'Bsf' scenario. As such, each class of notes could be
considered for a downgrade by up to one rating category.
'CCC' Unrated Lessee Assumption Stress Scenario
Airlines across the globe are generally viewed as speculative
grade. While Fitch gives credit to available ratings of the initial
lessees in the pool, assumptions must be made for the unrated
lessees in the pool, as well as all future unknown lessees. While
Fitch typically utilizes a 'B' assumption for most unrated lessees
with some assumed to be 'CCC', Fitch evaluated a scenario in which
all unrated airlines are assumed to carry a 'CCC' rating. This
scenario mimics a prolonged recessionary environment in which
airlines are susceptible to an increased likelihood of default.
This would subject the aircraft pool to increased downtime and
expenses, as repossession and remarketing events would increase.
Under this scenario, the decline in net cash flow is mostly driven
by increases in expenses that range from $25 million-$42 million.
As a result of this stress, the class A notes fail the 'Asf' and
'BBBsf' scenario but pass the 'BBsf'. The class B notes fail the
'BBsf' and pass the 'Bsf' scenario. Class C falls short of the
'Bsf' scenario. Such a scenario could result in the downgrade of
each class of notes by one to two rating categories.
Technological Obsolescence Stress Scenarios
All aircraft in the pool face replacement programs over the next
decade, particularly the A320ceo and B737 NG aircraft in the form
of A320neo and B737 MAX aircraft. Deliveries of these models will
be increasing in the coming years. Certain appraisers have started
to adjust MVs in response to this replacement risk; the majority of
the pool's market value appraisals are slightly lower than HL BVs.
Fitch believes current generation aircraft are well insulated due
to large operator bases and the long lead time for full
replacement, particularly when considering conservative retirement
ages and aggressive production schedules for Airbus and Boeing new
technology.
Fitch believes a sensitivity scenario is warranted to address these
risks. Therefore, Fitch utilized a scenario in which demand, and
thus values, of existing aircraft would fall significantly due to
the replacement technology. The first recession was assumed to
occur two years following close, and all recessionary value decline
stresses were increased 10% at each rating category. Fitch
additionally utilized a 25% residual assumption rather than the
base level of 50% to stress end-of-life proceeds for each asset in
the pool. Lease rates drop fairly significantly under this
scenario, and aircraft are essentially sold for scrap at the end of
their useful lives.
This scenario is the most stressful of the three sets of
sensitivities. Across the rating scenarios, gross lease cash flow
declines approximately $56 million-$82 million, while sales
proceeds decline approximately $52 million-$74 million from already
conservative levels. Under such a stress, the class A and B notes
fail to pay in full under the 'Asf', 'BBBsf', and 'BBsf' scenario,
but is able the pass the 'Bsf' scenario. The class C notes fail all
rating scenarios. As a result, each class of notes may be
considered for a downgrade by up to three rating categories.
UBS COMMERCIAL 2018-C8: Fitch Affirms Class F-RR Certs at B-sf
--------------------------------------------------------------
Fitch Ratings affirmed 14 classes of UBS Commercial Mortgage Trust
2018-C8 Commercial Mortgage Pass-Through Certificates.
RATING ACTIONS
UBS Commercial Mortgage Trust 2018-C8
Class A-1 90276VAA7; LT AAAsf Affirmed; previously at AAAsf
Class A-2 90276VAB5; LT AAAsf Affirmed; previously at AAAsf
Class A-3 90276VAD1; LT AAAsf Affirmed; previously at AAAsf
Class A-4 90276VAE9; LT AAAsf Affirmed; previously at AAAsf
Class A-S 90276VAH2; LT AAAsf Affirmed; previously at AAAsf
Class A-SB 90276VAC3; LT AAAsf Affirmed; previously at AAAsf
Class B 90276VAJ8; LT AA-sf Affirmed; previously at AA-sf
Class C 90276VAK5; LT A-sf Affirmed; previously at A-sf
Class D 90276VAN9; LT BBBsf Affirmed; previously at BBBsf
Class D-RR 90276VAQ2; LT BBB-sf Affirmed; previously at BBB-sf
Class E-RR 90276VAS8; LT BBsf Affirmed; previously at BBsf
Class F-RR 90276VAU3; LT B-sf Affirmed; previously at B-sf
Class X-A 90276VAF6; LT AAAsf Affirmed; previously at AAAsf
Class X-B 90276VAG4; LT AA-sf Affirmed; previously at AA-sf
KEY RATING DRIVERS
Stable Performance and Loss Expectations: The overall pool
performance and loss expectations remain stable from issuance.
There are no delinquent or specially serviced loans and performance
remains in line with Fitch's expectations. There is currently one
loan on the servicer's watchlist, the WoodSpring Suites Baton Rouge
Portfolio (0.7% of pool), and the loan was flagged as a Fitch Loan
of Concern (FLOC). The loan is secured by a portfolio of two
extended stay hotel properties located in Baton Rouge, LA with a
total of 242 rooms. The loan has been on the servicer's watchlist
since September 2019 for debt service coverage ratio (DSCR)
declines, with servicer commentary indicating that the combined net
cash flow (NCF) DSCR for the portfolio as of March 31, 2019 was
0.83x. Fitch requested a consolidated OSAR for the portfolio, but
only received an OSAR for one of the properties (WoodSpring Suites
Baton Rouge East), which indicated the property reported negative
NCF for YE 2018.
Limited Change to Credit Enhancement: As of the November 2019
distribution date, the pool's aggregate principal balance has paid
down by 0.6% to $1.04 billion from $1.05 billion at issuance. The
transaction is expected to pay down by 6.5%, based on scheduled
loan maturity balances. 31 loans (57.4% of pool) are full-term,
interest-only and 16 loans (18.1%) are partial interest-only and
have yet to begin amortizing, compared with 19.2% of the original
pool at issuance.
Pool and Loan Concentrations: The pool is more diverse than
comparable recent Fitch-rated transactions, with the top 10 loans
representing 43.5% of the pool by balance, less than the 2017 and
2018 averages of 53.1% and 50.6%, respectively. Loans secured by
office properties represent 24% of the current pool by balance and
retail loans represent 21.7% of the pool.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset-level event changes the transaction's overall
portfolio-level metrics.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
No third-party due diligence was provided or reviewed in relation
to this rating action.
UBS COMMERCIAL 2019-C18: Fitch to Rate $7.4MM Class G Debt 'B-sf'
-----------------------------------------------------------------
Fitch expects to rate various classes of UBS Commercial Mortgage
Trust 2019-C18 and assign Rating Outlooks as follows:
-- $29,089,000 class A-1 'AAAsf'; Outlook Stable;
-- $69,160,000 class A-2 'AAAsf'; Outlook Stable;
-- $35,630,000 class A-SB 'AAAsf'; Outlook Stable;
-- $175,000,000a class A-3 'AAAsf'; Outlook Stable;
-- $211,618,000a class A-4 'AAAsf'; Outlook Stable;
-- $72,498,000 class A-S 'AAAsf'; Outlook Stable;
-- $33,460,000 class B 'AA-sf'; Outlook Stable;
-- $30,672,000 class C 'A-sf'; Outlook Stable;
-- $20,448,000c class D 'BBBsf'; Outlook Stable;
-- $15,801,000c class E 'BBB-sf'; Outlook Stable;
-- $14,872,000c class F 'BB-sf'; Outlook Stable;
-- $7,435,000c class G 'B-sf'; Outlook Stable;
-- $520,497,000b class X-A 'AAAsf'; Outlook Stable;
-- $136,630,000b class X-B 'A-sf'; Outlook Stable;
-- $36,249,000bc class X-D 'BBB-sf'; Outlook Stable;
-- $14,872,000bc class X-F 'BB-sf'; Outlook Stable;
-- $7,435,000bc class X-G 'B-sf'; Outlook Stable.
The following classes are not expected to be rated by Fitch:
-- $27,884,548cd class NR-RR;
(a) The initial certificate balances of class A-3 and A-4 are
unknown and expected to be $386,618,000 in aggregate. The
certificate balances will be determined based on the final pricing
of those classes of certificates. The expected class A-3 balance
range is $25,000,000 to $386,618,000, and the expected class A-4
balance range is $211,618,000 to $361,618,000. The balances of
classes A-3 and A-4 shown above are the hypothetical balance for
A-3 if A-4 were sized at the minimum of its range. (b) Notional
amount and interest only.
(c) Privately placed and pursuant to Rule 144A.
(d) Represents the eligible horizontal credit-risk retention
interest.
The expected ratings are based on information provided by the
issuer as of Dec. 3, 2019.
TRANSACTION SUMMARY
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 55 loans secured by 127
commercial properties having an aggregate principal balance of
$743,567,548 as of the cut-off date. The loans were contributed to
the trust by UBS Real Estate Securities Inc, Societe Generale,
Natixis Real Estate Capital LLC, Cantor Commercial Real Estate
Lending, L.P., Wells Fargo Bank, National Association, and Rialto
Real Estate Fund IV - Debt, LP.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 65.1% of the properties
by balance, cash flow analysis of 85.9% and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Average Fitch Leverage: The pool's Fitch LTV is 102.1%, which is
which is in line with the YTD 2019 and 2018 averages of 102.8% and
102.0%, respectively, for other Fitch-rated multiborrower
transactions. The pool's Fitch DSCR of 1.22x falls below the YTD
2019 average of 1.25x and is equal to the 2018 average of 1.22x;
however, the pool's weighted-average (WA) coupon was just 3.97%,
which is below 2019 YTD and 2018 averages of 4.38% and 4.77%,
respectively.
Lower Than Average Pool Concentration: The top 10 loans comprise
41.0% of the pool. This is a lower concentration than the YTD 2019
average of 51.4% and the 2018 average of 50.6%. The loan
concentration index (LCI) of 270 is also lower than the YTD 2019
average of 383 and 2018 average of 373.
Investment-Grade Credit Opinion Loans: Five loans totaling 19.2% of
the pool have investment-grade credit opinions on a stand-alone
basis. These loans include the largest loan, 225 Bush (4.7% of the
pool), 3 Columbus Circle and ILPT Industrial Portfolio (both 4.0%
of the pool), DoubleTree New York Times Square West Leased Fee
(3.8% of the pool) and Century Plaza Towers (2.7% of the pool). The
YTD 2019 average pool composition of such loans is 13.9% and the
2018 average composition is 13.6%. Excluding credit opinion loans,
the Fitch DSCR and LTV are 1.22 and 109.6%.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 5.2% below
the most recent year's NOI for properties for which a full-year NOI
was provided, excluding properties that were stabilizing during
this period. Unanticipated further declines in property-level NCF
could result in higher defaults and loss severities on defaulted
loans and in potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the UBS
2019-C18 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'BBB+sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'
could result. The presale report includes a detailed explanation of
additional stresses and sensitivities on page 14.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of 3. ESG issues are credit neutral
or have only a minimal credit impact on the transaction, either due
to their nature or the way in which they are being managed by the
transaction.
WELLS FARGO 2019-C54: Fitch Assigns B-sf Rating on Cl. G-RR Certs
-----------------------------------------------------------------
Fitch Ratings assigned the following ratings and Rating Outlooks to
Wells Fargo Commercial Mortgage Trust pass-through certificates,
series 2019-C54:
-- $13,455,000 class A-1 'AAAsf'; Outlook Stable;
-- $25,365,000 class A-2 'AAAsf'; Outlook Stable;
-- $21,614,000 class A-SB 'AAAsf'; Outlook Stable;
-- $151,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $257,455,000 class A-4 'AAAsf'; Outlook Stable;
-- $468,879,000a class X-A 'AAAsf'; Outlook Stable;
-- $110,521,000a class X-B 'A-sf'; Outlook Stable;
-- $46,050,000 class A-S 'AAAsf'; Outlook Stable;
-- $31,817,000 class B 'AA-sf'; Outlook Stable;
-- $32,654,000 class C 'A-sf'; Outlook Stable;
-- $19,090,000ab class X-D 'BBBsf'; Outlook Stable;
-- $19,090,000b class D 'BBBsf'; Outlook Stable;
-- $17,751,000bc class E-RR 'BBB-sf'; Outlook Stable;
-- $18,420,000bc class F-RR 'BB-sf'; Outlook Stable;
-- $6,698,000bc class G-RR 'B-sf'; Outlook Stable.
The following class is not rated by Fitch:
-- $28,468,471bc class H-RR.
(a) Notional amount and interest-only.
(b) Privately placed and pursuant to Rule 144A.
(c) Horizontal credit risk retention interest representing no less
than 5% of the estimated fair value of all classes of regular
certificates issued by the issuing entity as of the closing date.
Since Fitch published its expected ratings on Nov. 4, 2019, the
balances for class A-3 and class A-4 were finalized and the
balances for class X-D, class D and class E-RR changed. At the time
the expected ratings were assigned, the exact initial certificate
balances of class A-3 and class A-4 were unknown and expected to be
within the range of $50,000,000 to $408,455,000 and $208,455,000 to
$358,455,000, respectively. The final class balances for class A-3
and class A-4 are $151,000,000 and $257,455,000, respectively.
Additionally, at the time that the expected ratings were assigned,
the class balance for class D was $17,818,000; the class balance
for class X-D was $17,818,000; and the class balance for class E-RR
was $19,023,000. The final class balance for class D is
$19,090,000; the final class balance for class X-D is $19,090,000;
and the final class balance for class E-RR is $17,751,000. The
ratings for those classes did not change. The classes reflect the
final ratings and deal structure.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 44 loans secured by 88
commercial properties having an aggregate principal balance of
$669,827,472 as of the cut-off date. The loans were contributed to
the trust by Argentic Real Estate Finance LLC, Wells Fargo Bank,
National Association, Rialto Mortgage Finance, LLC, BSPRT CMBS
Finance, LLC and UBS AG.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 60.5% of the properties
by balance, cash flow analysis of 77.5% and asset summary reviews
on 100.0% of the pool.
KEY RATING DRIVERS
High Fitch Leverage: The pool's Fitch LTV is 111.1%, which is above
the YTD 2019 and 2018 averages of 102.0% and 102.0%, respectively,
for other Fitch-rated multiborrower transactions. The pool's Fitch
DSCR of 1.23x falls between the YTD 2019 average of 1.24x and the
2018 average of 1.22x; however, the pool's WA coupon was just
3.89%
Better Than Average Property Type Diversity: The largest property
type concentration is office (36.1%), followed by retail (21.3%)
and multifamily (21.1%). Notably, hotels represent only 7.1% of the
pool, which is much lower than the YTD 2019 average of 13.7% and
2018 average of 14.7%. The pool's multifamily concentration is
greater than the YTD 2019 average of 13.4% and 2018 average of
11.6%.
Low Mortgage Coupons: The weighted average (WA) mortgage coupon for
this pool of loans 3.89%, well below historical averages and lower
than the YTD 2019 average of 4.51% for Fitch-rated conduit
multiborrower transactions. Fitch accounted for increased refinance
risk in a higher interest rate environment by reviewing an interest
rate sensitivity that assumes an interest rate floor of 5.0% for
the term risk for most property types, 4.5% for multifamily
properties and 6.0% for hotel properties, in conjunction with
Fitch's stressed refinance rates, which were 9.52% on a WA basis.
RATING SENSITIVITIES
For this transaction, Fitch's NCF was 3.9% below the most recent
year's NOI for properties for which a full-year NOI was provided,
excluding properties that were stabilizing during this period.
Unanticipated further declines in property-level NCF could result
in higher defaults and loss severities on defaulted loans and in
potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the WFM
2019-C54 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 'Asf' 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. The presale report includes a detailed explanation of
additional stresses and sensitivities on page 11.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of 3- ESG issues are credit neutral
or have only a minimal credit impact on the transaction, either due
to their nature or the way in which they are being managed by the
transaction.
[*] DBRS Reviews 301 Classes From 32 U.S. RMBS Transactions
-----------------------------------------------------------
DBRS, Inc. reviewed 301 classes from 32 U.S. residential
mortgage-backed security (RMBS) transactions. Of the 301 classes
reviewed, DBRS Morningstar upgraded 13 ratings, confirmed 265
ratings and discontinued 23 ratings.
The rating upgrades reflect positive performance trends and
increases in credit support sufficient to withstand stresses at
their new rating levels. The rating confirmations reflect asset
performance and credit-support levels that are consistent with the
current ratings. The discontinued ratings are the result of the
full repayment of principal to bondholders.
The rating actions are a result of DBRS Morningstar's application
of the "U.S. RMBS Surveillance Methodology" published in September
2018.
The pools backing these RMBS transactions consist of prime, home
equity line of credit, seasoned and re-performing collateral.
The ratings assigned to the securities below differ from the
ratings implied by the quantitative model. DBRS Morningstar
considers this difference to be a material deviation, but in this
case, the ratings of the subject notes reflect additional seasoning
being warranted to substantiate a further upgrade or actual deal or
tranche performance not being fully reflected in the projected cash
flows or model output.
-- Asset-Backed Securities Corporation Home Equity Loan Trust,
Series 2005-HE2, Asset-Backed Pass-Through Certificates, Series
2005-HE2, Class M3
-- Asset-Backed Securities Corporation Home Equity Loan Trust,
Series 2005-HE2, Asset-Backed Pass-Through Certificates, Series
2005-HE2, Class M4
-- Asset-Backed Securities Corporation Home Equity Loan Trust,
Series WMC 2005-HE5, Asset-Backed Pass-Through Certificates, Series
WMC 2005-HE5, Class M3
-- Asset-Backed Securities Corporation Home Equity Loan Trust,
Series WMC 2005-HE5, Asset-Backed Pass-Through Certificates, Series
WMC 2005-HE5, Class M4
-- Asset-Backed Securities Corporation Home Equity Loan Trust,
Series NC 2005-HE8, Asset-Backed Pass-Through Certificates, Series
NC 2005-HE8, Class M2
-- Asset-Backed Securities Corporation Home Equity Loan Trust,
Series NC 2005-HE8, Asset-Backed Pass-Through Certificates, Series
NC 2005-HE8, Class M3
-- Asset-Backed Securities Corporation Home Equity Loan Trust,
Series NC 2005-HE8, Asset-Backed Pass-Through Certificates, Series
NC 2005-HE8, Class M4
-- Credit Suisse First Boston Mortgage Securities Corp.
Adjustable-Rate Mortgage Trust 2005-8, Adjustable Rate
Mortgage-Backed Pass-Through Certificates, Series 2005-8, Class
7-A-2
-- Credit Suisse First Boston Mortgage Securities Corp.
Adjustable-Rate Mortgage Trust 2005-8, Adjustable Rate
Mortgage-Backed Pass-Through Certificates, Series 2005-8, Class
7-A-3-2
-- Argent Securities Inc. Series 2004-W11, Asset-Backed
Pass-Through Certificates, Series 2004-W11, Class M-2
-- Argent Securities Inc. Series 2004-W11, Asset-Backed
Pass-Through Certificates, Series 2004-W11, Class M-3
-- Argent Securities Inc. Series 2004-W11, Asset-Backed
Pass-Through Certificates, Series 2004-W11, Class M-4
-- Argent Securities Inc. Series 2004-W11, Asset-Backed
Pass-Through Certificates, Series 2004-W11, Class M-5
-- Citigroup Mortgage Loan Trust, Inc., Series 2005-WF1,
Asset-Backed Pass-Through Certificates, Series 2005-WF1, Class M-1
-- Credit Suisse First Boston Mortgage Securities Corp. Home
Equity Asset Trust 2005-4, Home Equity Pass-Through Certificates,
Series 2005-4, Class M-5
-- Credit Suisse First Boston Mortgage Securities Corp. Home
Equity Asset Trust 2005-4, Home Equity Pass-Through Certificates,
Series 2005-4, Class M-6
-- Credit Suisse First Boston Mortgage Securities Corp. Home
Equity Asset Trust 2005-5, Home Equity Pass-Through Certificates,
Series 2005-5, Class M-3
-- Credit Suisse First Boston Mortgage Securities Corp. Home
Equity Asset Trust 2005-5, Home Equity Pass-Through Certificates,
Series 2005-5, Class M-4
-- Credit Suisse First Boston Mortgage Securities Corp. Home
Equity Asset Trust 2005-6, Home Equity Pass-Through Certificates,
Series 2005-6, Class M-3
-- Credit Suisse First Boston Mortgage Securities Corp. Home
Equity Asset Trust 2005-6, Home Equity Pass-Through Certificates,
Series 2005-6, Class M-4
-- Credit Suisse First Boston Mortgage Securities Corp. Home
Equity Asset Trust 2005-7, Home Equity Pass-Through Certificates,
Series 2005-7, Class M-1
-- Credit Suisse First Boston Mortgage Securities Corp. Home
Equity Asset Trust 2005-7, Home Equity Pass-Through Certificates,
Series 2005-7, Class M-2
-- Credit Suisse First Boston Mortgage Acceptance Corp. Home
Equity Asset Trust 2005-9, Home Equity Pass-Through Certificates,
Series 2005-9, Class M-1
-- Credit Suisse First Boston Mortgage Securities Corp. Home
Equity Asset Trust 2006-3, Home Equity Pass-Through Certificates,
Series 2006-3, Class M-1
-- Long Beach Mortgage Loan Trust 2005-WL1, Asset-Backed
Certificates, Series 2005-WL1, Class I/II-M4
-- Long Beach Mortgage Loan Trust 2005-WL1, Asset-Backed
Certificates, Series 2005-WL1, Class III-M1
-- Long Beach Mortgage Loan Trust 2005-WL1, Asset-Backed
Certificates, Series 2005-WL1, Class III-M2
-- Securitized Asset Backed Receivables LLC Trust 2006-FR1,
Mortgage Pass-Through Certificates, Series 2006-FR1, Class A-2C
-- Securitized Asset Backed Receivables LLC Trust 2006-OP1,
Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-2
-- Securitized Asset Backed Receivables LLC Trust 2006-OP1,
Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-3
-- Securitized Asset Backed Receivables LLC Trust 2006-OP1,
Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-4
-- Securitized Asset Backed Receivables LLC Trust 2006-OP1,
Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-5
-- Securitized Asset Backed Receivables LLC Trust 2006-OP1,
Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-6
-- Securitized Asset Backed Receivables LLC Trust 2006-WM1,
Mortgage Pass-Through Certificates, Series 2006-WM1, Class A-2C
-- Structured Asset Investment Loan Trust, Series 2004-11, Lehman
Brothers Mortgage Pass-Through Certificates, Series 2004-11, Class
M-1
-- Structured Asset Investment Loan Trust, Series 2004-11, Lehman
Brothers Mortgage Pass-Through Certificates, Series 2004-11, Class
M-2
-- Soundview Home Loan Trust 2005-3, Asset-Backed Certificates,
Series 2005-3, Class M-3
-- Soundview Home Loan Trust 2005-3, Asset-Backed Certificates,
Series 2005-3, Class M-4
-- RESI Finance Limited Partnership 2003-D & RESI Finance DE
Corporation 2003-D, Real Estate Synthetic Investment Securities,
Series 2003-D, Class A5 Risk Band
-- RESI Finance Limited Partnership 2003-CB1 & RESI Finance DE
Corporation 2003-CB1, Real Estate Synthetic Investment Securities,
Series 2003-CB1, Class A5 Risk Band
-- RESI Finance Limited Partnership 2003-CB1 & RESI Finance DE
Corporation 2003-CB1, Real Estate Synthetic Investment Notes,
Series 2003-CB1, Class B1 Risk Band
-- RESI Finance Limited Partnership 2003-CB1 & RESI Finance DE
Corporation 2003-CB1, Real Estate Synthetic Investment Notes,
Series 2003-CB1, Class B2 Risk Band
-- RESI Finance Limited Partnership 2004-A & RESI Finance DE
Corporation 2004-A, Real Estate Synthetic Investment Securities,
Series 2004-A, Class A5 Risk Band
-- RESI Finance Limited Partnership 2004-A & RESI Finance DE
Corporation 2004-A, Real Estate Synthetic Investment Notes, Series
2004-A, Class B1 Risk Band
-- RESI Finance Limited Partnership 2004-C & RESI Finance DE
Corporation 2004-C, Real Estate Synthetic Investment Securities,
Series 2004-C, Class A5 Risk Band
-- RESI Finance Limited Partnership 2004-C & RESI Finance DE
Corporation 2004-C, Real Estate Synthetic Investment Notes, Series
2004-C, Class B1 Risk Band
-- RESI Finance Limited Partnership 2005-A & RESI Finance DE
Corporation 2005-A, Real Estate Synthetic Investment Securities,
Series 2005-A, Class A5 Risk Band
-- RESI Finance Limited Partnership 2005-B & RESI Finance DE
Corporation 2005-B, Real Estate Synthetic Investment Securities,
Series 2005-B, Class A5 Risk Band
-- RESI Finance Limited Partnership 2005-C & RESI Finance DE
Corporation 2005-C, Real Estate Synthetic Investment Securities,
Series 2005-C, Class A5 Risk Band
-- RESI Finance Limited Partnership 2003-C & RESI Finance DE
Corporation 2003-C, Real Estate Synthetic Investment Securities,
Series 2003-C, Class A5 Risk Band
-- RESI Finance Limited Partnership 2003-C & RESI Finance DE
Corporation 2003-C, Real Estate Synthetic Investment Notes, Series
2003-C, Class B1 Risk Band
Notes: The principal methodologies are U.S. RMBS Surveillance
Methodology and RMBS Insight 1.3: U.S. Residential Mortgage-Backed
Securities Model and Rating Methodology, which can be found on
dbrs.com under Methodologies & Criteria.
The Affected Ratings are Available at https://bit.ly/2RpjWin
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
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public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
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than a balance sheet solvency test.
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
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Each Friday's edition of the TCR includes a review about a book of
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Monthly Operating Reports are summarized in every Saturday edition
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The Sunday TCR delivers securitization rating news from the week
then-ending.
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Point your Web browser to http://TCRresources.bankrupt.com/and use
the e-mail address to which your TCR is delivered to login.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman,
Editors.
Copyright 2019. All rights reserved. ISSN: 1520-9474.
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*** End of Transmission ***