/raid1/www/Hosts/bankrupt/TCR_Public/191222.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 22, 2019, Vol. 23, No. 355
Headlines
ANTHRACITE CDO III: Fitch Lowers Rating on 2 Tranches to D
BANK 2019-BNK24: Fitch Assigns B-sf Rating on Class G Certs
BANK OF AMERICA 2017-BNK3: Fitch Affirms Bsf Rating on Cl. F Certs
BARINGS CLO 2019-IV: Moody's Rates $16.8MM Class E Notes 'Ba3'
BEAR STEARNS 2006-2: Moody's Hikes Class M-6 Debt Rating to Caa1
BEAR STEARNS 2006-TOP22: Fitch Raises Class H Certs Rating to BBsf
BENCHMARK MORTGAGE 2019-B15: Fitch Rates Class G-RR Certs 'B-sf'
BX TRUST 2019-CALM: S&P Assigns B- (sf) Rating to Class F Certs
BX TRUST 2019-OC11: Moody's Assigns Ba3 Rating on 2 Tranches
CD 2006-CD3: Moody's Cuts Rating on Class XS Certs to C
CFMT 2019-HB1: Moody's Assigns (P)Ba3 Rating on Class M4 Debt
CHURCHILL MIDDLE IV: S&P Rates Class E-2 Debt BB- (sf)
CIFC FUNDING 2019-VI: S&P Assigns BB- Rating on Cl. E Notes
CITIGROUP COMMERCIAL 2006-C5: Moody's Affirms C on 4 Tranches
CITIGROUP COMMERCIAL 2019-C7: Fitch Gives B-sf Rating to 2 Tranches
COMM 2005-C6: Moody's Affirms C Rating on Class G Certs
COMM 2007-C9: Moody's Upgrades Class K Certs to B2(sf)
COMM 2012-CCRE4: Fitch Affirms Csf Rating on Cl. F Certs
COMM 2013-CCRE6: Moody's Affirms B3 Rating on Class F Certs
COMM 2016-DC2: Fitch Affirms BB-sf Rating on 2 Tranches
COMM 2019-GC44: Fitch Assigns B-sf Rating on $9.8MM Cl. G-RR Certs
COMM MORTGAGE 2000-C1: Fitch Lowers Rating on Class G Debt to Csf
CSAIL 2019-C18: Fitch Assigns B-sf Rating on $6.89MM Cl. G Certs
CSMC 2019-UVIL: Moody's Rates Class E Certs 'Ba2'
DRYDEN 80 CLO: S&P Assigns BB- (sf) Rating to Class E Notes
FINANCE AMERICA 2019-AB1: Moody's Gives (P)Ba2 Rating to M3 Debt
FINANCE OF AMERICA 2019-AB1: Moody's Assigns Ba2 Class M3 Debt
FIRST EAGLE 2019-1: Moody's Gives (P)Ba3 Rating on Class D Notes
FOURSIGHT CAPITAL 2018-1: Moody's Hikes Cl. F Notes Rating to Ba3
FREDDIE MAC 2017-K63: Fitch Affirms BB+sf Rating on Cl. C Certs
GERMAN AMERICAN 2012-CCRE1: Fitch Affirms Class G Certs at Bsf
GMAC COMMERCIAL 2004-C3: Fitch Hikes Rating on Class E Debt to BB
HILTON USA 2016-HHV: Moody's Affirms B3 Rating on Class F Certs
HILTON USA 2016-SFP: Moody's Affirms B3 Rating on Class F Certs
JP MORGAN 2004-C3: Fitch Affirms Dsf Rating on 7 Tranches
JP MORGAN 2013-C10: Fitch Affirms Bsf Rating on Class F Certs
JP MORGAN 2019-INV3: Moody's Assigns (P)B3 Rating to 2 Tranches
KAYNE CLO 6: Moody's Assigns Ba3 Rating on $22.4MM Class E Notes
MONROE CAPITAL 2015-1: Moody's Lowers $8MM Class F Notes to Caa1
MORGAN STANLEY 2014-C14: Fitch Affirms B-sf Rating on Cl. G Certs
MOUNTAIN HAWK III: Moody's Lowers $24.5MM Cl. E Notes Rating to B1
NAS ENHANCED 2016-1: Fitch Lowers Rating on Class B Certs to B-
NATIONSTAR HECM 2018-2: Moody's Hikes Class M4 Debt Rating to Ba1
PARTS PRIVATE 2007-CT1: Fitch Affirms Csf Rating on Class C Debt
RAMP TRUST 2005-RZ4: Moody's Hikes Class M-4 Debt Rating to B1
REALT 2015-1: Fitch Affirms Bsf Rating on Class G Certs
SANTANDER PRIME 2018-A: S&P Affirms B (sf) Rating on Cl. F Notes
SHACKLETON 2019-XV: S&P Assigns BB- (sf) Rating to Class E Notes
SOUND POINT XXV: Moody's Gives (P)Ba3 Rating to $18MM Class E Notes
TOWD POINT 2019-SJ3: Fitch Assigns Bsf Rating on 3 Tranches
WELLS FARGO 2015-NXS1: Fitch Affirms B-sf Ratings on 2 Tranches
[*] Moody's Takes Action on $1.09BB RMBS Issued in 2003-2007
[*] Moody's Takes Action on $314.3MM of US RMBS Issued 2003-2007
[*] Moody's Takes Action on $359.2MM RMBS Issued in 2004-2007
[*] S&P Takes Various Actions on 35 Classes From 8 US CLO Deals
*********
ANTHRACITE CDO III: Fitch Lowers Rating on 2 Tranches to D
----------------------------------------------------------
Fitch Ratings downgraded two and affirmed three classes of
Anthracite CDO III Ltd.
RATING ACTIONS
Anthracite CDO III Ltd. / Corp.
Class E-FL 03702WAE4; LT Dsf Downgrade; previously at Csf
Class E-FX 03702WAL8; LT Dsf Downgrade; previously at Csf
Class F 03702WAF1; LT Csf Affirmed; previously at Csf
Class G 03702WAG9; LT Csf Affirmed; previously at Csf
Class H 03702TAA9; LT Csf Affirmed; previously at Csf
KEY RATING DRIVERS
The downgrades of classes E-FX and E-FL to 'Dsf' from 'Csf' reflect
the declaration of an Event of Default by the trustee on Nov. 21,
2019 with respect to the class, as principal and interest proceeds
received were insufficient to pay timely interest to these pro-rata
senior classes. Further, the classes are significantly
undercollateralized by over $40 million.
The remaining classes, F, G, and H, were affirmed at 'Csf'. These
deferrable interest classes also have negative credit enhancement
and are expected to eventually default.
The CDO is very concentrated with only four assets remaining. Per
the November 2019 trustee reporting, the CDO collateral consists of
three credit impaired/defaulted CMBS classes and one credit tenant
loan.
RATING SENSITIVITIES
Class F through H are subject to further downgrades to 'Dsf' as the
classes are expected to default at or prior to legal 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.
BANK 2019-BNK24: Fitch Assigns B-sf Rating on Class G Certs
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Fitch Ratings assigned the ratings and Rating Outlooks to BANK
2019-BNK24 commercial mortgage pass-through certificates, series
2019-BNK24 as follows:
RATING ACTIONS
BANK 2019-BNK24
Class A-1; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-2; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-3; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-S; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-SB; LT AAAsf New Rating; previously at AAA(EXP)sf
Class B; LT AA-sf New Rating; previously at AA-(EXP)sf
Class C; LT A-sf New Rating; previously at A-(EXP)sf
Class D; LT BBBsf New Rating; previously at BBB(EXP)sf
Class E; LT BBB-sf New Rating; previously at BBB-(EXP)sf
Class F; LT BB-sf New Rating; previously at BB-(EXP)sf
Class G; LT B-sf New Rating; previously at B-(EXP)sf
Class H; LT NRsf New Rating; previously at NR(EXP)sf
RR Interest; LT NRsf New Rating; previously at NR(EXP)sf
Class X-A; LT AAAsf New Rating; previously at AAA(EXP)sf
Class X-B; LT AA-sf New Rating; previously at A-(EXP)sf
Class X-D; LT BBB-sf New Rating; previously at BBB-(EXP)sf
Class X-F; LT BB-sf New Rating; previously at BB-(EXP)sf
Class X-G; LT B-sf New Rating; previously at B-(EXP)sf
Class X-H; LT NRsf New Rating; previously at NR(EXP)sf
Since Fitch published its expected ratings on Dec. 5, 2019, the
balances for classes A-2 and A-3 were finalized. At the time that
the expected ratings were published the initial certificate
balances of classes A-2 and A-3 were unknown and expected to be
approximately $772,351,000 in aggregate. The final class balances
for classes A-2 and A-3 are $237,500,000 and $534,851,000,
respectively. Additionally, Fitch's rating on class X-B has been
updated to 'AA-', to reflect the final transaction structure.
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.
BANK OF AMERICA 2017-BNK3: Fitch Affirms Bsf Rating on Cl. F Certs
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Fitch Ratings affirmed all classes of Bank of America Merrill Lynch
Commercial Mortgage Trust 2017-BNK3 commercial mortgage
pass-through certificates series 2017-BNK3.
RATING ACTIONS
BACM 2017-BNK3
Class A-1 06427DAN3; LT AAAsf Affirmed; previously at AAAsf
Class A-2 06427DAP8; LT AAAsf Affirmed; previously at AAAsf
Class A-3 06427DAR4; LT AAAsf Affirmed; previously at AAAsf
Class A-4 06427DAS2; LT AAAsf Affirmed; previously at AAAsf
Class A-S 06427DAV5; LT AAAsf Affirmed; previously at AAAsf
Class A-SB 06427DAQ6; LT AAAsf Affirmed; previously at AAAsf
Class B 06427DAW3; LT AA-sf Affirmed; previously at AA-sf
Class C 06427DAX1; LT A-sf Affirmed; previously at A-sf
Class D 06427DAC7; LT BBB-sf Affirmed; previously at BBB-sf
Class E 06427DAE3; LT BB+sf Affirmed; previously at BB+sf
Class F 06427DAG8; LT Bsf Affirmed; previously at Bsf
Class X-A 06427DAT0; LT AAAsf Affirmed; previously at AAAsf
Class X-B 06427DAU7; LT A-sf Affirmed; previously at A-sf
Class X-D 06427DAA1; LT BBB-sf Affirmed; previously at BBB-sf
KEY RATING DRIVERS
Stable Loss Expectations: Performance and loss expectations for the
majority of the pool have remained stable since issuance. There
have been no realized losses or specially serviced loans to date.
Fitch has designated two loans (3% of pool) as Fitch Loans of
Concern (FLOC), primarily due to upcoming rollover or declining
performance. Plaza at Legacy (1.9%), the largest FLOC, is secured
by 177,185 sf anchored retail shopping center located in Plano,
Texas, approximately 25 miles north of downtown Dallas, Texas. The
largest tenant, Hobby Lobby (approximately 30% NRA and 20% of base
rent) vacated at its September 2019 lease expiration and the second
largest tenant, Sprouts Farmers Market (19.2%) lease expires July
31, 2020. The borrower continues to actively market the vacant
space, while negotiations regarding Sprouts Farmers Market's lease
renewal are ongoing.
Minimal Change in Credit Enhancement: As of the December 2019
distribution date, the pool's aggregate principal balance has paid
down by 1.2% to $964.3 million from $977.1 million at issuance.
Sixteen loans (54.8% of pool) are full-term, interest-only and 19
loans (20.8%) are partial interest-only (of which six loans
representing 7.9% have begun amortizing). At issuance it was noted
that the transaction had below average amortization given the high
percentage full-term IO loans; the pool is scheduled to amortize
only 6.9% prior to maturity.
ADDITIONAL CONSIDERATIONS
Pool Concentrations: California represents the largest state
concentration at 28.4% The pool's largest property type is retail
at 29.6%, including the first and fourteenth largest loans (9.8%),
which are secured by regional malls. The largest loan, The Summit
Birmingham (7.6%), is secured by a 681,245 sf lifestyle center
located in Birmingham, AL. Major tenants include: Belk, Inc., RSM
US and Barnes & Noble. The other loan, Potomac Mills (2.1%), is
secured by a 1,459,997 sf interest in a 1,840,009 sf super regional
mall in Woodbridge, Virginia, along the I-95 corridor between
Washington, D.C. and Richmond, VA. Collateral anchors include
Costco Warehouse, J.C. Penney, Buy Buy Baby/and That!, Marshalls
and an 18-screen AMC. Non-collateral anchors include Costco
Warehouse and J.C. Penney. Three additional loans (7.9%) in the top
15 are secured by retail properties.
High Percentage of Pari Passu Loans: Nine Loans representing 40.7%
of the pool are pari passu and have one or more pieces securitized
in other CMBS transactions.
Low Mortgage Coupons: As of the December 2019 distribution date,
the pool's WA coupon rate was 4.56%.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable given the
relatively stable performance of the transaction since issuance.
Fitch does not foresee positive or negative ratings migration until
a material economic or asset-level event changes the transaction's
overall portfolio level metrics.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
No third-party due diligence was provided or reviewed by Fitch in
relation to this rating.
BARINGS CLO 2019-IV: Moody's Rates $16.8MM Class E Notes 'Ba3'
--------------------------------------------------------------
Moody's Investors Service assigned ratings to three classes of
notes issued by Barings CLO Ltd. 2019-IV.
Moody's rating action is as follows:
US$230,000,000 Class A-1 Senior Secured Floating Rate Notes
due 2033 (the "Class A-1 Notes"), Assigned Aaa (sf)
US$26,000,000 Class A-2 Senior Secured Fixed Rate Notes due
2033 (the "Class A-2 Notes"), Assigned Aaa (sf)
US$16,800,000 Class E Junior Secured Deferrable Floating Rate
Notes due 2033 (the "Class E Notes"), Assigned Ba3 (sf)
The Class A-1 Notes, the Class A-2 Notes, and the Class E Notes are
referred to herein, collectively, as the "Rated Notes."
RATINGS RATIONALE
The rationale for the ratings is based on a consideration of the
risks associated with the CLO's portfolio and structure as
described in its methodology.
Barings IV is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90% of the portfolio must consist of
first lien senior secured loans and eligible investments, and up to
10% of the portfolio may consist of second lien loans and unsecured
loans. The portfolio is approximately 85% ramped as of the closing
date.
Barings LLC will direct the selection, acquisition and disposition
of the assets on behalf of the Issuer and may engage in trading
activity, including discretionary trading, during the transaction's
five year reinvestment period. Thereafter, subject to certain
restrictions, the Manager may reinvest unscheduled principal
payments and proceeds from sales of credit risk assets.
In addition to the Rated Notes, the Issuer issued four other
classes of secured notes and one class of subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in March 2019.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $400,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2963
Weighted Average Spread (WAS): 3.50%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 9 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
March 2019.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
BEAR STEARNS 2006-2: Moody's Hikes Class M-6 Debt Rating to Caa1
----------------------------------------------------------------
Moody's Investors Service upgraded the rating of one tranche from
Bear Stearns Asset Backed Securities Trust 2006-2, backed by
Scratch and Dent mortgage loans.
Complete rating actions are as follows:
Issuer: Bear Stearns Asset Backed Securities Trust 2006-2
Cl. M-6, Upgraded to Caa1 (sf); previously on Oct 16, 2018 Upgraded
to Caa3 (sf)
RATINGS RATIONALE
The action reflects the recent performance of the underlying pool
and Moody's updated loss expectations on the pool. The rating
upgrade is primarily due to the increase in credit enhancement
available to the bond as a result of funds distributed to the
transaction in September 2019 pursuant to a settlement between
J.P.Morgan and certain RMBS investors.
The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in February 2019.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 3.5% in November 2019 from 3.7% in
November 2018. Moody's forecasts an unemployment central range of
3.8% to 4.2% for the 2020 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 2020. 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.
BEAR STEARNS 2006-TOP22: Fitch Raises Class H Certs Rating to BBsf
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Fitch Ratings upgraded two and affirmed nine classes of Bear
Stearns Commercial Mortgage Securities Trust series 2006-TOP22
commercial mortgage pass-through certificates.
RATING ACTIONS
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP22
Class D 07387BFY4; LTAAAsf Affirmed; previously at AAAsf
Class E 07387BFZ1; LTAAAsf Affirmed; previously at AAAsf
Class F 07387BGA5; LTAAAsf Affirmed; previously at AAAsf
Class G 07387BGB3; LTAAAsf Upgrade; previously at Asf
Class H 07387BGC1; LTBBsf Upgrade; previously at Bsf
Class J 07387BGD9; LTDsf Affirmed; previously at Dsf
Class K 07387BGE7; LTDsf Affirmed; previously at Dsf
Class L 07387BGF4; LTDsf Affirmed; previously at Dsf
Class M 07387BGG2; LTDsf Affirmed; previously at Dsf
Class N 07387BGH0; LTDsf Affirmed; previously at Dsf
Class O 07387BGJ6; LTDsf Affirmed; previously at Dsf
Fitch does not rate the class P certificates. Classes A-1, A-2,
A-3, A-AB, A-4, A-1A, A-M, A-J, B and C have repaid in full. Fitch
previously withdrew the rating on the interest-only class X.
KEY RATING DRIVERS
Increased Defeasance: The upgrades to classes G and H are due to
the increase in defeasance and pay down from amortization since the
prior review. Eight loans (73.2% of the current pool balance) are
defeased, compared with seven loans (64.4%) at Fitch's prior rating
action. Defeasance now covers 100% of classes D, E, and F and
approximately 68.4% of class G.
Concentrated Pool: Due to the highly concentrated nature of the
pool, Fitch performed a sensitivity and liquidation analysis, which
grouped the remaining loans based on their current status and
collateral quality and ranked them by their perceived likelihood of
repayment and/or loss expectations. The ratings reflect this
sensitivity analysis.
Only 13 of the original 224 loans remain, eight (73.2%) of which
have been defeased. As of the December 2019 distribution date, the
pool's aggregate principal balance has been reduced by 95.2% to
$82.2 million from $1.7 billion at issuance. There have been $31.7
million (1.9% of the original pool balance) in realized losses.
There are no loans in special servicing but three loans (16.8%)
have been designated Fitch Loans of Concern due to high vacancy or
low debt service coverage ratios (DSCRs). Interest shortfalls are
currently affecting classes J, L, O and P.
Fitch Loans of Concern: The largest loan in the pool, Webster
Square (10.4%), is a shopping center in the Rochester metropolitan
area with a partially-vacant anchor box after K-mart's (37.6% NRA)
departure in October 2017. The borrower decided to subdivide the
K-Mart box and leased a portion (12.8% NRA) to Ollie's Bargain
Outlet. As of second-quarter 2019, the property is performing at
74% occupancy with a 1.22x NOI DSCR. Sussex House Apartments (3.9%)
is a multifamily apartment building in Cherry Hill, NJ with
historically low DSCR. As of second-quarter 2019, the property is
97% occupied and performing at a 0.92x NOI DSCR. Hudson Point
Office (2.6%) is an office property in Tarrytown, NY with
historically low DSCR. As of second-quarter 2019, the property is
93% occupied and performing at a 0.96x NOI DSCR.
Maturity Profile: Eight loans (62.0%) mature in 2020, four loans
(37.1%) mature in 2021 and one loan (0.9%) matures in 2029.
RATING SENSITIVITIES
The Positive Rating Outlook on class H reflects the improved credit
enhancement, increased defeasance, and expected near-term paydown
from maturing loans. Future upgrades to class H are likely with
loan repayments at maturity, continued amortization or additional
defeasance. Downgrades are not likely as any losses are expected to
be absorbed by class J already rated 'Dsf'. The Outlooks for
classes D, E, F and G are considered Stable. All the classes are
fully covered or partially covered by defeasance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
No third-party due diligence was provided or reviewed in relation
to this rating action.
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.
BENCHMARK MORTGAGE 2019-B15: Fitch Rates Class G-RR Certs 'B-sf'
----------------------------------------------------------------
Fitch Ratings assigned ratings and Rating Outlooks to BENCHMARK
2019-B15 Mortgage Trust, commercial mortgage pass-through
certificates, Series 2019-B15.
Fitch has rated the transaction and assigned the Rating Outlooks as
follows:
-- $15,769,000 class A-1 'AAAsf'; Outlook Stable;
-- $48,560,000 class A-2 'AAAsf'; Outlook Stable;
-- $24,167,000 class A-3 'AAAsf'; Outlook Stable;
-- $75,000,000 class A-4 'AAAsf'; Outlook Stable;
-- $385,107,000 class A-5 'AAAsf'; Outlook Stable;
-- $24,285,000 class A-AB 'AAAsf'; Outlook Stable;
-- $61,380,000 class A-S 'AAAsf'; Outlook Stable;
-- $634,268,000a class X-A 'AAAsf'; Outlook Stable;
-- $40,921,000 class B 'AA-sf'; Outlook Stable;
-- $36,829,000 class C 'A-sf'; Outlook Stable;
-- $40,921,000ab class X-B 'AA-sf'; Outlook Stable;
-- $23,529,000b class D 'BBBsf'; Outlook Stable;
-- $17,391,000b class E 'BBB-sf'; Outlook Stable;
-- $40,920,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $21,483,000b class F 'BB-sf'; Outlook Stable;
-- $21,483,000ab class X-F 'BB-sf'; Outlook Stable;
-- $8,184,000bd class G-RR 'B-sf'; Outlook Stable.
The following classes are not expected to be rated by Fitch:
-- $28,200,000bc class VRR;
-- $35,806,491bd class J-RR Interest.
(a) Notional amount and interest only.
(b) Privately placed and pursuant to Rule 144A.
(c) Vertical credit-risk retention interest, which represents
approximately 3.33% of the certificate balance, notional amount or
percentage interest of each class of certificates.
(d) Horizontal Risk Retention.
TRANSACTION SUMMARY
Since Fitch published its expected ratings on Nov. 20, 2019, the
following changes occurred: The balances for class A-4 and class
A-5 were finalized and the balance for class X-B changed. At the
time the expected ratings were assigned, the exact initial
certificate balances of class A-4 and class A-5 were unknown and
expected to be within the range of $75,000,000 to $220,000,000 and
$240,107,000 to $385,107,000, respectively. The final class
balances for class A-4 and class A-5 are $75,000,000 and
$385,107,000, respectively. Additionally, the final rating on class
X-B has been updated to 'AA-sf' from 'A-sf' to reflect the rating
of the lowest referenced tranche whose payable interest has an
impact on the IO payments, consistent with Fitch's Global
Structured Finance Rating Criteria dated May 2, 2019. The classes
reflect the final ratings and deal structure.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 32 loans secured by 87
commercial properties having an aggregate principal balance of
$846,611,492 as of the cut-off date. The loans were contributed to
the trust by JPMorgan Chase Bank, National Association, Citi Real
Estate Funding Inc., and German American Capital Corporation.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 70.4% of the properties
by balance, cash flow analysis of 87.7% of the pool, and asset
summary reviews on 100% of the pool.
KEY RATING DRIVERS
Fitch Leverage: The pool's Fitch loan-to-value (LTV) of 107.6% is
greater than the 2019 YTD and 2018 averages of 102.5% and 102.0%,
respectively, for other Fitch-rated multiborrower transactions.
Additionally, the pool's Fitch debt service coverage ratio (DSCR)
of 1.20x is slightly lower than the 2019 YTD and 2018 averages of
1.25x and 1.22x, respectively.
Pool Concentration: The top 10 loans represent 60.1% of the pool by
balance, which is higher than the YTD 2019 and 2018 multiborrower
transaction averages of 51.8% and 50.6%, respectively. The pool's
LCI score of 478 is also higher than the YTD 2019 average of 387.
Investment-Grade Credit Opinions: Three loans, representing 13.6%
of the pool, have investment-grade credit opinions. This is in line
with the respective YTD 2019 and 2018 averages of 13.9% and 13.6%.
Net of these loans, the Fitch LTV and DSCR are 112.7% and 1.20x,
respectively, for this transaction. Loans with investment-grade
credit opinions include Century Plaza (7.4% of pool), The Essex
(3.0% of pool), and Osborn Triangle (2.4% of pool). Each of these
loans received an investment-grade credit opinion of 'BBB−sf*' on
a stand-alone basis.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 7.1% below
the most recent year's NOI for properties for which a full-year NOI
was provided, excluding properties that were stabilizing during
this period. Unanticipated further declines in property-level NCF
could result in higher defaults and loss severities on defaulted
loans and in potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the
BMARK 2019-B15 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'A-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'
could result.
BX TRUST 2019-CALM: S&P Assigns B- (sf) Rating to Class F Certs
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to BX Trust 2019-CALM's
commercial mortgage pass-through certificates series 2019-CALM. At
the same time, S&P withdrew its preliminary rating on the class
X-CP certificates because they are no longer part of the trust's
liability structure.
The note issuance is a U.S. CMBS transaction backed by a $394.0
million two-year, interest-only, floating-rate commercial mortgage
loan (comprising of two componentized promissory notes). The loan
is subject to three one-year extension options and secured by
cross-collateralized and cross-defaulted first-lien deeds of trust
on the borrowers' fee simple interests in a portfolio of seven
multifamily properties totaling 1,664 units in Southern California,
for which the fee interest in one of the properties represents a
93% interest in the condominium in place at such property.
The ratings reflect S&P's view of the collateral's historic and
projected performance, the sponsor's and the manager's experience,
the trustee-provided liquidity, the loan terms, and the
transaction's structure.
RATINGS ASSIGNED
BX Trust 2019-CALM
Class Rating Amount ($)
A AAA (sf) 146,130,000
X-NCP AA- (sf) 34,760,000(i)
B AA- (sf) 34,760,000
C A- (sf) 25,840,000
D BBB- (sf) 26,460,000
E BB- (sf) 30,760,000
F B- (sf) 32,310,000
G NR 78,040,000
VRR(ii) NR 19,700,000
PRELIMINARY RATING WITHDRAWN
BX Trust 2019-CALM
Rating
Class To From
X-CP NR AA- (sf)
BX TRUST 2019-OC11: Moody's Assigns Ba3 Rating on 2 Tranches
------------------------------------------------------------
Moody's Investors Service assigned definitive ratings to eight
classes of CMBS securities, issued by BX Trust 2019-OC11,
Commercial Mortgage Pass-Through Certificates, Series 2019-OC11:
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned Aa3 (sf)
Cl. C, Definitive Rating Assigned A3 (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. E, Definitive Rating Assigned Ba3 (sf)
Cl. HRR, Definitive Rating Assigned Ba3 (sf)
Cl. X-A*, Definitive Rating Assigned Aaa (sf)
Cl. X-B*, Definitive Rating Assigned 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 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 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 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.
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.
CD 2006-CD3: Moody's Cuts Rating on Class XS Certs to C
-------------------------------------------------------
Moody's Investors Service upgraded the rating on one class,
affirmed the ratings on two classes and downgraded the rating on
one class in CD 2006-CD3 Commercial Mortgage Trust, Commercial
Mortgage Pass Through Certificates, Series 2006-CD3, as follows:
Cl. A-M, Upgraded to Aaa (sf); previously on Jun 22, 2018 Affirmed
A1 (sf)
Cl. A-1A, Affirmed Caa2 (sf); previously on Jun 22, 2018 Affirmed
Caa2 (sf)
Cl. A-J, Downgraded to C (sf); previously on Jun 22, 2018
Downgraded to Ca (sf)
Cl. XS*, Affirmed C (sf); previously on Jun 22, 2018 Downgraded to
C (sf)
* Reflects Interest Only Classes
RATINGS RATIONALE
The rating on principal and interest (P&I) Cl. A-M was upgraded
based primarily on loan paydowns as well as an increase in the
pool's share of defeasance. The deal balance has declined 19.7%
since Moody's last review and the balance of Cl. A-M is now fully
covered by defeased loans.
The rating on Cl. A-1A was affirmed because the rating is
consistent with the class' realized loss plus anticipated losses
from specially serviced loans that could impact this class. The
balance for Cl. A-1A has been reduced by 88% since securitization
and has experienced a realized loss of 1%.
The rating on Cl. A-J was downgraded due to realized losses plus
Moody's expected losses from specially serviced loans. Cl. AJ has
already experienced an 18% loss as a result of previously
liquidated loans.
The rating on the interest-only (IO) class was affirmed based on
the credit quality of the referenced classes.
Moody's rating action reflects a base expected loss of 36.5% of the
current pooled balance, compared to 37.2% at Moody's last review.
Moody's base expected loss plus realized losses is now 17.3% of the
original pooled balance, compared to 17.5% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, an increase in realized and
expected losses from specially serviced and troubled loans or
interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating the interest-only class were "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017 and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in
February 2019.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 36% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced loan that it
expects will generate a loss and estimates a loss given default
based on a review of broker's opinions of value (if available),
other information from the special servicer, available market data
and Moody's internal data. The loss given default for each loan
also takes into consideration repayment of servicer advances to
date, estimated future advances and closing costs. Translating the
probability of default and loss given default into an expected loss
estimate, Moody's then applies the aggregate loss from specially
serviced to the most junior classes and the recovery as a pay down
of principal to the most senior classes.
DEAL PERFORMANCE
As of the November 18, 2019 distribution date, the transaction's
aggregate certificate balance has decreased by 88.7% to $404.2
million from $3.6 billion at securitization. The certificates are
collateralized by six mortgage loans. One loan, constituting 43.3%
of the pool, has defeased and is secured by US government
securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 3, compared to 4 at Moody's last review.
Three loans, constituting 21.0% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council monthly reporting package. As part of Moody's
ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Sixty-three loans have been liquidated from the pool, resulting in
an aggregate realized loss of $470.6 million (for an average loss
severity of 41%). Two loans, constituting 35.7% of the pool, are
currently in special servicing. The largest specially serviced loan
is the Fair Lakes Office Portfolio Loan ($99.2 million -- 24.5% of
the pool), which represents a pari-passu portion of a $180.3
million loan. At securitization, the loan was secured by a 1.25
million square feet (SF) office park located in Fairfax, Virginia
and comprised of nine office buildings ranging in size from
approximately 75,500 SF to 275,000 SF. All of the properties have
since been sold with exception of one office building (Fair Lakes
VII; 152,508 SF). The loan was transferred to special servicing in
June 2015 for imminent default and the property became REO in
September 2016. The special servicer indicated the remaining
property is being held for additional leasing. As of the October
2019 rent roll, the property was approximately 59% occupied.
Moody's anticipates a significant loss on the remaining balance of
this loan.
The second largest specially serviced loan is the Greendale Mall
($45.0 million -- 11.1% of the pool), which is secured by a 309,103
SF enclosed shopping center located in Worcester, Massachusetts,
approximately 40 miles west of Boston. The loan transferred to
special servicing in September 2015 for imminent default and became
REO in June 2016. The largest tenant, T.J. Maxx Homegoods, accounts
for 18% of net rentable area (NRA) and has a lease expiration in
July 2021. The second largest tenant, Best Buy (15% of NRA),
recently vacated prior to their lease expiration in 2020. As of
September 2019, the property was approximately 55% occupied, which
excluding Best Buy would be reduced to approximately 40%. The
special servicer indicated the property was under contract for sale
and expected to close in mid-December 2019. Moody's anticipates a
significant loss on the remaining balance of this loan.
Moody's has estimated an aggregate loss of $139.2 million (a 97%
expected loss on average) from these troubled loans.
Based on the remaining certificates outstanding, losses will be
allocated between Cl. A-M and Cl. A-J combined collectively on the
one hand, and the Cl. A-1A Certificates on the other, pro rata,
with the losses allocated to the Combined Certificates allocated
first, to the Cl. A-J Certificates and then, to the Cl. A-M
Certificates, in that order.
As of the November 2019 remittance statement cumulative interest
shortfalls were $18.9 million and are currently impacting Cl. AJ
and Cl. A1-A. Moody's anticipates interest shortfalls will continue
because of the exposure to specially serviced loans and/or modified
loans. Interest shortfalls are caused by special servicing fees,
including workout and liquidation fees, appraisal entitlement
reductions, loan modifications and extraordinary trust expenses.
The three performing non-defeased loans represent 21% of the pool
balance. The largest performing loan is The Hay-Adams Loan ($66.1
million -- 16.4% of the pool), which is secured by a 145-key,
full-service, luxury hotel located in Washington, D.C., one block
north of the White House. The loan has been on the watchlist since
July 2018 due to low debt service coverage ratio (DSCR) caused by a
decline in the average daily rate (ADR) since 2017. The 2018
average daily rate (ADR), occupancy and revenue per available room
(RevPAR) were $477.77, 74% and $351.35, respectively, compared to
$518.59, 73% and $375.93, respectively, for the full year 2017. The
June 2019 trailing twelve-month ADR, occupancy and RevPAR were
$473.73, 72% and $342.27, respectively. The loan benefits from
amortization and has amortized 12% since securitization. Moody's
LTV and stressed DSCR are 123% and 0.88X, respectively, compared to
114% and 0.95X at the last review.
The second largest loan is the Home Depot Jersey City Loan ($17.4
million -- 4.3% of the pool), which is secured by an approximately
90,000 SF single-tenant building located in Jersey City, New
Jersey. The property is fully occupied by Home Depot with a lease
expiration in January 2033. The tenant is responsible for all real
estate taxes, operating expenses, and capital expenditures. The
loan was put on the watchlist in November 2019 due to non-payment
of taxes that were due in August 2019. This loan benefits from
amortization and has amortized 25% since securitization. Moody's
LTV and stressed DSCR are 96% and 0.90X, respectively, compared to
102% and 0.85X at the last review.
The third largest loan is the 80 Field Point Road Loan ($1.5
million -- 0.4% of the pool), which is secured by a 32,369 SF,
three-story suburban office building located in Stamford,
Connecticut. The largest tenant, White Birch Management Corporation
(35% of NRA), has a lease expiration in November 2024. The loan was
placed on the watchlist in November 2019 and a cash flow trigger is
in effect. The loan benefits from amortization and has amortized
84% since securitization. Moody's LTV and stressed DSCR are 12% and
greater than 4.00X, respectively.
CFMT 2019-HB1: Moody's Assigns (P)Ba3 Rating on Class M4 Debt
-------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to five
classes of residential mortgage-backed securities issued by CFMT
2019-HB1, LLC. The ratings range from (P)Aaa (sf) to (P)Ba3 (sf).
The Notes are backed by a pool that includes 1,100 inactive home
equity conversion mortgages. There is no Real Estate-Owned
properties backing the Notes. This transaction is sponsored by SHAP
2018-1, LLC, a Delaware limited liability company owned by four
funds: Waterfall Victoria Master Fund, Ltd., Waterfall Eden Master
Fund, Ltd., Waterfall Sandstone Fund, L.P., and Waterfall Rock
Island, LLC (collectively, the Responsible Parties). The
Responsible Parties are in turn managed by Waterfall Asset
Management, LLC, in its capacity as an SEC-registered investment
adviser. The servicer for this transaction is Mortgage Assets
Management, LLC. The sub-servicer is Compu-Link Corporation d/b/a.
Celink. The complete rating actions are as follows:
Issuer: CFMT 2019-HB1, LLC
Class A, Assigned (P)Aaa (sf)
Class M1, Assigned (P)Aa3 (sf)
Class M2, Assigned (P)A3 (sf)
Class M3, Assigned (P)Baa3 (sf)
Class M4, Assigned (P)Ba3 (sf)
RATINGS RATIONALE
The collateral backing CFMT 2019-HB1 consists of first-lien
inactive HECMs covered by Federal Housing Administration (FHA)
insurance secured by properties in the US. If a borrower or their
estate fails to pay the amount due upon maturity or otherwise
defaults, the sale of the property is used to recover the amount
owed. SHAP 2018-1, LLC, acquired the mortgages through various
third party sponsors. All of the mortgage assets are covered by FHA
insurance for the repayment of principal up to certain amounts.
There are 1,100 mortgage assets with a balance of $263,493,439. The
assets are in either default, due and payable, referred, bankruptcy
or foreclosure status. Loans that are in default may move to due
and payable; due and payable loans may move to foreclosure; and
foreclosure loans may move to REO after this transaction closes.
10.06% of the assets are in default of which 0.64% (of the total
assets) are in default due to non-occupancy, 9.42% (of the total
assets) are in default due to taxes and insurance. 16.13% of the
assets are due and payable, 57.02% of the assets are in foreclosure
and 16.80% were in bankruptcy status.
Its credit ratings reflect state-specific foreclosure timeline
stresses as well as potential extended timelines for loans in
bankruptcy.
Servicing
MAM will be the named servicer under the sale and servicing
agreement. MAM has the necessary processes, staff, technology and
overall infrastructure in place to effectively oversee the
servicing of this transaction. MAM will use Compu-Link Corporation,
d/b/a Celink (Celink) as sub-servicer to service the mortgage
assets. Based on an operational review of MAM, it has strong
sub-servicing monitoring processes, a seasoned servicing oversight
team and direct system access to the sub-servicers core systems. In
addition, a third party will review MAM's monthly servicing reports
on a quarterly basis to ensure data accuracy throughout the life of
the transaction.
Similar to other inactive HECM transactions (RBIT) Moody's has
rated, in CFMT 2019-HB1 an independent accountant firm or a
due-diligence review firm (the verification agent) will perform
quarterly procedures with respect to the monthly servicing reports
delivered by the servicer to the trustee. These procedures will
include comparison of the underlying records relating to the
subservicer's servicing of the loans and determination of the
mathematical accuracy of calculations of loan balances stated in
the monthly servicing reports delivered to the trustee. Any
material exceptions identified as a result of the procedures will
be described in the verification agent's report. To the extent the
verification agent identifies errors in the monthly servicing
reports, the servicer will be obligated to correct them.
Transaction Structure
The securitization has a sequential liability structure amongst six
classes of notes with structural subordination. All funds
collected, prior to an acceleration event, are used to make
interest payments to the notes, then principal payments to the
Class A notes, then to a redemption account until the amount on
deposit in the redemption account is sufficient to cover future
principal and interest payments for the subordinate notes up to
their expected final payment dates. The subordinate notes will not
receive principal until the beginning of their respective target
amortization periods (in the absence of an acceleration event). The
notes benefit from structural subordination as credit enhancement
and an interest reserve account for liquidity.
The transaction is callable on or after six months with a 1.0%
premium and on or after 12 months without a premium. The mandatory
call date for the Class A notes is in February 2022. For the Class
M1 notes, the expected final payment date is in August 2022. For
the Class M2 notes, the expected final payment date is in November
2022. For the Class M3 notes, the expected final payment date is in
March 2023. For the Class M4 notes, the expected final payment date
is in June 2023. For the Class M5 notes, the expected final payment
date is in August 2023. For each of the subordinate notes, there
are various target amortization periods that conclude on the
respective expected final payment dates. The legal stated maturity
of the transaction is 10 years.
Available funds to the transaction are expected to primarily come
from the liquidation of REO properties and receipt of FHA insurance
claims. These funds will be received with irregular timing. In the
event that there are insufficient funds to pay interest in a given
period, the interest reserve account may be utilized. Additionally,
any shortfall in interest will be classified as a cap carryover.
These cap carryover amounts will have priority of payments in the
waterfall and will also accrue interest at the respective note
rate.
Certain aspects of the waterfall are dependent upon MAM remaining
as servicer. Servicing fees and servicer related reimbursements are
subordinated to interest and principal payments while MAM is
servicer. However, servicing advances (i.e. taxes, insurance and
property preservation) will instead have priority over interest and
principal payments in the event that MAM defaults and a new
servicer is appointed. The transaction provides a strong mechanism
to ensure continuous advancing for the assets in the pool. Of note,
in contrast to HECM securitizations issued by other sponsors
Moody's has rated to date, the transaction structure here is
somewhat different, where MAM, the servicer, is wholly owned by the
sponsor, and in turn, the sponsor's membership interests are
wholly-owned in various proportions by the Responsible Parties
(Victoria, Eden, Sandstone and Rock Island). The sponsor is managed
by Waterfall, in its capacity as an SEC-registered investment
adviser.
In this transaction, to the extent that the Servicer or sponsor
lack sufficient funds to reimburse the trust for any of the
obligations contemplated by the transaction documents (including to
the extent the Servicer lacks sufficient funds to make any
servicing advances or principal advances), the Responsible Parties
will capitalize the sponsor in amounts sufficient to cover such
obligations. The obligations of the Responsible Parties to honor
any commitments of the sponsor are several and not joint, based on
respective defined percentages of ownership of the sponsor.
Overall, Moody's believes that this arrangement provides a
relatively high alignment of interests between the parties to the
transaction to meet their respective financial commitments as
contemplated under the transaction documents.
Its analysis considers the expected loss to investors by the legal
final maturity date, which is ten years from closing, and not by
certain acceleration dates that may occur earlier. Moody's noted
the presence of automatic acceleration events for failure to pay
the Class A notes by the Class A mandatory call date, failure to
pay the classes of Class M notes by their expected final payment
dates, and the failure to pay the classes of Class M notes their
targeted amortization amounts. The occurrence of any of these
acceleration events would not by itself lead us to bring the
outstanding rating to a level consistent with impairment, because
such event would not necessarily be indicative of any economic
distress. Furthermore, these acceleration events lack effective
legal consequences other than changing payment priorities and
interest rates, which are modeled in its analysis. Liquidation of
the collateral would require 100% consent of any class of notes
that would not be paid in full.
Third-Party Review
A third party firm conducted a review of certain characteristics of
the mortgage assets on behalf of SHAP 2018-1 LLC. The review
focused on data integrity, SHAP 2018-1 LLC insurance coverage
verification, accuracy of appraisal recording, accuracy of
occupancy status recording, borrower age documentation,
identification of excessive corporate advances, documentation of
servicer advances, and identification of tax liens. Also, broker
price opinions (BPOs) were ordered for 198 properties in the pool.
The TPR firm conducted an extensive data integrity review. Certain
data tape fields, such as the MIP rate, the current UPB, current
interest rate, and marketable title date were reviewed against
MAM's servicing system. However, a significant number of data tape
fields were reviewed against imaged copies of original documents of
record, screen shots of HUD's HERMIT system, or HUD documents. Some
key fields reviewed in this manner included the original note rate,
the debenture rate, foreclosure first legal date, and the called
due date.
Certain of the TPR results were in line with recent inactive HECM
transactions that Moody's has rated including the results related
to the accuracy of reported valuations, the presence of FHA
insurance and the accuracy of reported disbursements. However,
other TPR results were the weakest compared to other inactive HECM
transactions such as the high rate of exceptions in data integrity
for called due date, UPB at called due date, and foreclosure and
bankruptcy fees advances above the allowable limit. CFMT 2019-HB1's
TPR results showed a 36.7% initial-tape exception rate related to
the called due date, 25.1% initial-tape exception rate related to
the UPB at called due date and a 39.6% initial-tape exception rate
related to foreclosure and bankruptcy fees advances above the
allowable limit. In its analysis, Moody's applied adjustments to
account for the TPR results in certain areas.
Reps & Warranties (R&W)
The sponsor, SHAP 2018-1 LLC, (and ultimately the Responsible
Parties who own the sponsor) is the loan-level R&W provider and is
unrated. This risk is mitigated by the fact that a third-party due
diligence firm conducted a review on the loans for evidence of FHA
insurance.
The sponsor represents that the mortgage loans are covered by FHA
insurance that is in full force and effect. Among other
considerations, the R&Ws address title, first lien position,
enforceability of the lien, regulatory compliance, and the
condition of the property. There is also a no fraud R&W (which also
covers misrepresentation, material error or omission or gross
negligence) covering the origination of the mortgage loans,
determination of value of the mortgaged properties, and the sale
and servicing of the mortgage loans. Although numerous R&Ws include
knowledge qualifiers, there is a mitigating R&W claw-back
provision, that is, even if the sponsor did not have actual
knowledge of the breach, the sponsor is still required to remedy
the breach in the same manner as if no knowledge qualifier had been
made.
Upon the identification of an R&W breach, the sponsor has to cure
the breach. If the sponsor is unable to cure the breach, the
sponsor must repurchase the loan within 90 days from receiving the
notification. Moody's believes the absence of an independent third
party reviewer who can identify any breaches to the R&W makes the
enforcement mechanism weak in this transaction. Also, the sponsor,
in its good faith, is responsible for determining if a R&W breach
materially and adversely affects the interests of the trust or the
value the collateral. This creates the potential for a conflict of
interest.
The Responsible Parties will fund a repurchase of the related
mortgage assets to the extent the sponsor is not able to satisfy
such obligations. The obligations of the Responsible Parties to
honor any commitments of the sponsor are several, not joint. In
other words, the liability of each Responsible Party is in
accordance with its respective ownership percentage in SHAP 2018-1
LLC. Moody's believes that the wherewithal of the Responsible
Parties is sufficient to support such obligations, if need be.
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 acquisition trustee would be
subject to lawsuits from investors for a failure to adequately
enforce the R&Ws against the sponsor. Moody's believes that CFMT
2019-HB1 is adequately protected against such risk in part because
a third-party data integrity review was conducted on a significant
random sample of the loans.
Trustees
The acquisition trustee for the CFMT 2019-HB1 transaction is
Wilmington Savings Fund Society, FSB. The paying agent and cash
management functions will be performed by U.S. Bank National
Association. U.S. Bank National Association will also serve as the
claims payment agent and as such will be the HUD mortgagee of
record for the mortgage assets in the pool.
Methodology
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 "Reverse Mortgage
Securitizations Methodology" published in November 2019.
Its quantitative asset analysis is based on a loan-by-loan modeling
of expected payout amounts and timing of payouts given the
structure of FHA insurance and with various stresses applied to
model parameters depending on the target rating level. However, the
modeling assumptions are different for the portion of the pool that
is in bankruptcy.
FHA insurance claim types: Funds come into the transaction
primarily through the sale of REO properties and through FHA
insurance claim receipts. There are uncertainties related to the
extent and timing of insurance proceeds received by the trust due
to the mechanics of the FHA insurance. HECM mortgagees may suffer
losses if a property is sold for less than its appraised value.
The amount of insurance proceeds received from the FHA depends on
whether a sales based claim (SBC) or appraisal based claim (ABC) is
filed. SBCs are filed in cases where the property is successfully
sold within the first six months after the servicer has acquired
it. ABCs are filed six months after the servicer has obtained
marketable title if the property has not yet been sold. For an SBC,
HUD insurance will cover the difference between (i) the loan
balance and (ii) the higher of the sales price and 95.0% of the
latest appraisal, with the transaction bearing losses if the sales
price is lower than 95.0% of the latest appraisal. For an ABC, HUD
only covers the difference between the loan amount and 100% of the
appraised value, so failure to sell the property at the appraised
value results in loss.
Moody's expects ABCs to have higher levels of losses than SBCs. The
fact that there is a delay in the sale of the property usually
implies some adverse characteristics associated with the property.
FHA insurance will not protect against losses to the extent that an
ABC property is sold at a price lower than the appraisal value
taken at the six month mark of REO. Additionally, ABCs do not cover
the cost to sell properties (broker fees) while SBCs do cover these
costs. For SBCs, broker fees are reimbursable up to 6.0%
ordinarily. Its base case expectation is that properties will be
sold for 13.5% less than their appraisal value for ABCs. To make
this assumption, Moody's considered industry data and the
historical experience of MAM. Moody's stressed this percentage at
higher credit rating levels. In a Aaa scenario, Moody's assumed
that these ABC appraisal haircuts could reach up to 30.0%.
In its asset analysis, Moody's also assumed there would be some
losses for SBCs, albeit lower amounts than for ABCs. Based on
historical performance, in the base case scenario Moody's assumed
that SBCs would suffer 1.0% losses due to a failure to sell the
property for an amount equal to or greater than 95.0% of the most
recent appraisal. Moody's stressed this percentage at higher credit
rating levels. In a Aaa scenario, Moody's assumed that SBC
appraisal haircuts could reach up to 11.0% (i.e., 6.0% below
95.0%).
Under its analytical approach, each loan is modeled to go through
both the ABC and SBC process with a certain probability. Each loan
will thus have both ABC and SBC sales disposition payments and
associated insurance payments (four payments in total). All
payments are then probability weighted and run through a modeled
liability structure. Moody's considered industry data and the
historical experience of MAM in its analysis. For the base case
scenario, Moody's assumed that 85% of claims would be SBCs and the
rest would be ABCs. Moody's stressed this assumption and assumed
higher ABC percentages for higher rating levels. At a Aaa rating
level, Moody's assumed that 85% of insurance claims would be
submitted as ABCs.
Liquidation process: Each asset is categorized into one of four
categories: default, due and payable, foreclosure and REO. In its
analysis, Moody's assumes loans that are in referred status to be
either in the foreclosure or REO category. The loans are assumed to
move through each of these stages until being sold out of REO.
Moody's assumed that loans would be in default status for six to
nine months depending on the default reason. Due and payable status
is expected to last six to 12 months depending on the default
reason. REO disposition is assumed to take place in six months for
SBCs and 12 months for ABCs.
The timeline for foreclosure status is based on the state in which
the related property is located. To arrive at the base case
foreclosure timeline, Moody's considered the FHA foreclosure
diligence time frames (per HUD guidelines as of February 5, 2016).
Moody's stresses state foreclosure timelines by a multiplicative
factor for various rating levels (e.g., state foreclosure timelines
are multiplied by 1.6x for its Aaa level rating stress). Moody's
also extended its assumed liquidation timelines for bankruptcy
portion of the pool.
To account for potential extension of timelines due to Chapter 13
bankrupt loans, Moody's extended the foreclosure timeline by an
additional 24 months in the base case scenario and scaled this
extension up for higher rating levels.
Debenture interest: The receipt of debenture interest is dependent
upon performance of certain actions within certain timelines by the
servicer. If these timeline and performance benchmarks are not met
by the servicer, debenture interest is subject to curtailment. Its
base case assumption is that 90.0% of debenture interest will be
received by the trust. Moody's stressed the amount of debenture
interest that will be received at higher rating levels. Moody's
made an additional adjustment to the debenture interest that will
be received by the trust because of the TPR findings. Its debenture
interest assumptions reflect the requirement that MAM reimburse the
trust for debenture interest curtailments due to servicing errors
or failures to comply with HUD guidelines. However, the transaction
documents do not specify a required time frame within which the
servicer must reimburse the trust for debenture interest
curtailments. As such, there may be a delay between when insurance
payments are received and when debenture interest curtailments are
reimbursed. Its debenture interest assumptions take this into
consideration. Its assumption for recovered debenture interest is
low compared to prior FASST and RMIT transactions due to the
relatively high percentage of missed servicing milestone mortgage
assets in the pool. Of note, the debenture rate is actually higher
than the note rate in CFMT 2019-HB1 as majority of the pool
comprises of ARM loans and it is currently at a lower rate compared
to debenture rate that is set at origination.
Additional model features: Moody's incorporated certain additional
considerations into its analysis, including the following:
-- In most cases, the most recent appraisal value was used as the
property value in its analysis. However, for seasoned appraisals
Moody's applied a 15.0% haircut to account for potential home price
depreciation between the time of the appraisal and the cut-off
date.
-- Mortgage loans with borrowers that have significant equity in
their homes are likely to be paid off by the borrowers or their
heirs rather than complete the foreclosure process. Moody's
estimated which loans would be bought out of the trust by comparing
each loan's appraisal value (post haircut) to its UPB.
-- Moody's assumed that foreclosure costs will average $4,500 per
loan, two thirds of which will be reimbursed by the FHA. Moody's
then applied a negative adjustment to this amount based on the TPR
results.
-- Moody's estimated monthly tax and insurance advances based on
cumulative tax and insurance advances to date.
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 stress could
drive the ratings up. Transaction performance depends greatly on
the US macro economy and housing market. Property markets could
improve from its original expectations resulting in appreciation in
the value of the mortgaged property and faster property sales.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of stresses could drive the
ratings down. Transaction performance depends greatly on the US
macro economy and housing market. Property markets could
deteriorate from its original expectations resulting in
depreciation in the value of the mortgaged property and slower
property sales.
CHURCHILL MIDDLE IV: S&P Rates Class E-2 Debt BB- (sf)
------------------------------------------------------
S&P Global Ratings assigned its ratings to Churchill Middle Market
CLO IV Ltd.'s fixed- and floating-rate debt.
The debt issuance is a CLO transaction backed by primarily middle
market speculative-grade (rated 'BB+' and lower) senior secured
term loans that are governed by collateral quality tests.
The ratings reflect:
-- The diversified collateral pool;
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;
-- The collateral manager's experienced team, which can affect the
performance of the rated debt through collateral selection, ongoing
portfolio management, and trading; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
Churchill Middle Market CLO IV Ltd.
Class Rating Amount (mil. $)
A-1(i) AAA (sf) 130.00
A-2 AAA (sf) 23.00
A-L(i) AAA (sf) 50.00
B AA (sf) 38.50
C (deferrable) A- (sf) 26.20
D-1 (deferrable) BBB- (sf) 15.40
D-2 (deferrable) BBB- (sf) 3.00
E-1 (deferrable) BB+ (sf) 11.00
E-2 (deferrable) BB- (sf) 10.90
Subordinated notes NR 48.65
(i)After the closing date, by written notice of 100% of the holders
of the class A-L loans, all of the class A-L loans may be converted
into class A-1 notes.
Class A-1 notes may not be converted into class A-L loans.
NR--Not rated.
CIFC FUNDING 2019-VI: S&P Assigns BB- Rating on Cl. E Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to CIFC Funding 2019-VI
Ltd./CIFC Funding 2019-VI LLC's floating-rate notes.
The note issuance is a CLO securitization backed by broadly
syndicated
speculative-grade (rated 'BB+' and lower) senior secured term loans
that are governed by collateral quality tests.
The ratings reflect S&P's view of:
•The diversified collateral pool;
•The credit enhancement provided through the subordination of
cash flows,
excess spread, and overcollateralization;
•The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing
portfolio management, and trading; and
•The transaction's legal structure, which is expected to be
bankruptcy
remote.
RATINGS ASSIGNED
CIFC Funding 2019-VI Ltd./CIFC Funding 2019-VI LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 244.00
A-2 NR 16.00
B AA (sf) 44.00
C (deferrable) A (sf) 24.00
D (deferrable) BBB- (sf) 22.00
E (deferrable) BB- (sf) 18.00
Subordinated notes NR 35.20
NR--Not rated.
CITIGROUP COMMERCIAL 2006-C5: Moody's Affirms C on 4 Tranches
-------------------------------------------------------------
Moody's Investors Service affirmed the ratings on five classes in
Citigroup Commercial Mortgage Trust 2006-C5 as follows:
Cl. A-J, Affirmed Caa1 (sf); previously on Jun 15, 2018 Affirmed
Caa1 (sf)
Cl. B, Affirmed C (sf); previously on Jun 15, 2018 Affirmed C (sf)
Cl. C, Affirmed C (sf); previously on Jun 15, 2018 Affirmed C (sf)
Cl. D, Affirmed C (sf); previously on Jun 15, 2018 Affirmed C (sf)
Cl. XC*, Affirmed C (sf); previously on Jun 15, 2018 Affirmed C
(sf)
* Reflects Interest Only Classes
RATINGS RATIONALE
The ratings on the P&I classes were affirmed because the losses are
consistent with Moody's expected loss plus realized losses. Three
loans, representing 92% of the remaining pool balance, are in
special servicing and currently REO.
The rating on the IO class was affirmed based on the credit quality
of its referenced classes.
Moody's rating action reflects a base expected loss of 73.0% of the
current pooled balance, compared to 58.4% at Moody's last review.
Moody's base expected loss plus realized losses is now 12.1% of the
original pooled balance, compared to 12.9% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, an increase in realized and
expected losses from specially serviced and troubled loans or
interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating interest-only classes were "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017 and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in
February 2019.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 92.2% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced loan that it
expects will generate a loss and estimates a loss given default
based on a review of broker's opinions of value (if available),
other information from the special servicer, available market data
and Moody's internal data. The loss given default for each loan
also takes into consideration repayment of servicer advances to
date, estimated future advances and closing costs. Translating the
probability of default and loss given default into an expected loss
estimate, Moody's then applies the aggregate loss from specially to
the most junior classes and the recovery as a pay down of principal
to the most senior classes.
DEAL PERFORMANCE
As of the November 18, 2019 distribution date, the transaction's
aggregate certificate balance has decreased by 95.3% to $99.8
million from $2.1 billion at securitization. The certificates are
collateralized by six mortgage loans.
Fifty-seven loans have been liquidated from the pool, resulting in
an aggregate realized loss of $184.7 million (for an average loss
severity of 39.7%). Three loans, constituting 92% of the pool, are
currently in special servicing. The largest specially serviced loan
is the IRET Portfolio Loan ($72.9 million -- 73% of the pool),
which was originally secured by a portfolio of nine
cross-collateralized and cross-defaulted suburban office properties
located in Nebraska, Minnesota, Missouri and Kansas. The loan
transferred to special servicing in July 2014 due to the imminent
maturity default. The properties became REO and seven properties
were sold between 2017 and 2018. The proceeds from the sales have
been applied to pay down the loan balance. The servicer is
currently holding approximately $6 million across the two remaining
properties to address anticipated leasing and capital expenditure
costs. Moody's anticipates a significant loss on the remaining loan
balance.
The second largest specially serviced loan is the Maple Grove
Shopping Center Loan ($10.9 million -- 10.9% of the pool), which is
secured by a 78,128 SF grocery anchored retail property located
seven miles southwest of Madison CBD. The loan was transferred to
the special servicer in July 2016 for imminent default and became
REO in September 2017. The special servicer recently extended the
two largest tenants, Pick N Save (70% of NRA) and Walgreens (18% of
NRA) to 5- and 10- year extensions, respectively. The special
servicer indicated the property is currently being marketed for
sale and offers have been received.
The third largest specially serviced loan is the North Branch
Outlet Center Loan ($8.2 million -- 8.2% of the pool), which is
secured by a 136,454 SF outlet mall consisting of three
single-story buildings. The property was built in 1992 and is
located approximately forty-five miles north of Minneapolis. The
loan was transferred to the special servicer in April 2016 for
maturity default and became REO in September 2016. As of June 2019,
the property was only 48% leased compared to 58% in 2018, 65% in
2017 and 100% at securitization.
Moody's estimates an aggregate $72.7 million loss for the specially
serviced loans (79% expected loss on average).
As of the November 18, 2019 remittance statement cumulative
interest shortfalls were $12.6 million. Moody's anticipates
interest shortfalls will continue because of the exposure to
specially serviced loans and/or modified loans. Interest shortfalls
are caused by special servicing fees, including workout and
liquidation fees, appraisal entitlement reductions (ASERs), loan
modifications and extraordinary trust expenses.
The top three performing loans represent 7.8% of the pool balance.
The largest loan is the Laurel Point Senior Apartments Loan ($4.2
million -- 4.3% of the pool), which is secured by a 148 unit age
restricted, garden style multifamily property. The property is
located twenty miles west of the Houston CBD and nine miles north
of Sugar Land. The property was 97% occupied as of June 2019,
compared to 100% in 2018 and 99% in 2017. The loan has amortized
nearly 18% sine securitization and Moody's LTV and stressed DSCR
are 73% and 1.33X, respectively, essentially unchanged from Moody's
last review.
The second largest loan is the Killeen Stone Ranch Apartments Loan
($2.7 million -- 2.7% of the pool), which is secured by a 152-unit
garden style multifamily apartment property located in Killeen, TX,
approximately three miles south of Fort Hood military base. The
property was 97% occupied as of June 2019, compared to 96% in 2018
and 95% in 2017. Moody's LTV and stressed DSCR are 51% and 1.90X,
respectively, relatively unchanged from Moody's last review.
The third largest loan is the Thorton Hall Apartments Loan ($0.7
million -- 0.8% of the pool), which is secured by a 40-unit
multifamily apartment property located in Georgetown, SC,
approximately thirty-seven miles south of Myrtle Beach. The
property was 97% occupied as of June 2019, compared to 96% in 2018
and 2017. Moody's LTV and stressed DSCR are 74% and 1.30X,
respectively, compared to 71% and 1.35X at the last review.
CITIGROUP COMMERCIAL 2019-C7: Fitch Gives B-sf Rating to 2 Tranches
-------------------------------------------------------------------
Fitch Ratings assigned the following ratings and Rating Outlooks to
Citigroup Commercial Mortgage Trust 2019-C7 Commercial Mortgage
Pass-Through Certificates, series 2019-C7:
-- $24,868,162 class A-1 'AAAsf'; Outlook Stable;
-- $44,674,590 class A-2 'AAAsf'; Outlook Stable;
-- $88,310,236 class A-3 'AAAsf'; Outlook Stable;
-- $591,802,214 class A-4 'AAAsf'; Outlook Stable;
-- $47,747,786 class A-AB 'AAAsf'; Outlook Stable;
-- $72,620,104 class A-S 'AAAsf'; Outlook Stable;
-- $870,023,092 a class X-A 'AAAsf'; Outlook Stable;
-- $52,685,887 class B 'AA-sf'; Outlook Stable;
-- $55,533,632 class C 'A-sf'; Outlook Stable;
-- $52,685,887ab class X-B 'AA-sf'; Outlook Stable;
-- $35,598,375b class D 'BBBsf'; Outlook Stable;
-- $29,902,885b class E 'BBB-sf'; Outlook Stable;
-- $65,501,260ab class X-D 'BBB-sf'; Outlook Stable;
-- $15,663,119b class F 'BB+sf'; Outlook Stable;
-- $15,663,119ab class X-F 'BB+sf'; Outlook Stable;
-- $14,238,727b class G 'BB-sf'; Outlook Stable;
-- $14,238,727ab class X-G 'BB-sf'; Outlook Stable;
-- $12,815,374b class H 'B-sf'; Outlook Stable;
-- $12,815,374ab class X-H 'B-sf'; Outlook Stable;
The following classes are not rated:
-- $18,511,903bc class J-RR.
-- $34,174,575bc 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 rated by Fitch.
(a) Notional amount and interest only.
(b) Privately placed and pursuant to rule 144A.
(c) Horizontal risk retention (HRR) interest.
Since Fitch published its expected ratings on Dec. 05, 2019, the
balances for classes A-3 and A-4 were finalized. At the time the
classes were assigned, the expected class A-3 balance range was
$50,000,000 to $306,000,000 and the expected class A-4 range was
$348,619,000 to $604,619,000. Additionally, the final rating on
class X-B has been updated to 'AA-sf' from 'A-sf' to reflect the
rating of the lowest referenced tranche whose payable interest has
an impact on the IO payments, consistent with Fitch's Global
Structured Finance Rating Criteria dated May 2, 2019. The classes
reflect the final ratings and deal structure.
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 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 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 114.5%, 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'.
COMM 2005-C6: Moody's Affirms C Rating on Class G Certs
-------------------------------------------------------
Moody's Investors Service upgraded the rating on one class and
affirmed the rating on one class in COMM 2005-C6 Commercial
Mortgage Pass-Through Certificates as follows:
Cl. F, Upgraded to Baa1 (sf); previously on Jun 19, 2018 Upgraded
to Baa3 (sf)
Cl. G, Affirmed C (sf); previously on Jun 19, 2018 Affirmed C (sf)
RATINGS RATIONALE
The rating on Cl. F was upgraded based primarily on loan paydowns
as well as an increase in the pool's share of defeasance. The deal
has paid down 34% since Moody's last review and nearly 99% since
securitization. Defeasance now represents 9.5% of the current pool
balance, compared to 5.8% at the last review.
The rating on the Cl. G was affirmed because the ratings are
consistent with Moody's expected loss plus realized losses. Class G
has already experienced a 63% realized loss as result of previously
liquidated loans.
Moody's does not anticipate losses from the remaining collateral in
the current environment. However, over the remaining life of the
transaction, losses may emerge from macro stresses to the
environment and changes in collateral performance. Its ratings
reflect the potential for future losses under varying levels of
stress. Moody's base expected loss plus realized losses is now 5.2%
of the original pooled balance, the same as at last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, an increase in realized and
expected losses from specially serviced and troubled loans or
interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.
DEAL PERFORMANCE
As of the November 12th, 2019 distribution date, the transaction's
aggregate certificate balance has decreased by nearly 99% to $29.6
million from $2.27 billion at securitization. The certificates are
collateralized by six mortgage loans. Three loans, constituting
9.5% of the pool, have defeased and are secured by US government
securities.
One loan, constituting 2% of the pool, is on the master servicer's
watchlist. The watchlist includes loans that meet certain portfolio
review guidelines established as part of the CRE Finance Council
monthly reporting package. As part of Moody's ongoing monitoring of
a transaction, the agency reviews the watchlist to assess which
loans have material issues that could affect performance.
Twenty-one loans have been liquidated from the pool, resulting in
an aggregate realized loss of $118 million (for an average loss
severity of 51%). No loans are currently in special servicing.
The three non-defeased loans represent 90.5% of the pool balance.
The largest non-defeased loan is the MacArthur Portfolio Loan
($23.9 million -- 81% of the pool), which is secured by a portfolio
of seven retail properties located in the New York City boroughs of
Manhattan (6) and Queens (1). The collateral consists of the fee
interests in grade-level retail and second-floor professional
office units within seven larger commercial/residential buildings.
The portfolio was 91% leased as of March 2019, compared to 82%
leased as of December 2017. The loan benefits from amortization and
has paid down 54% since securitization. Moody's LTV and stressed
DSCR are 47% and 2.09X, respectively.
The second largest non-defeased loan is the Walgreens (Greenville)
Loan ($2.3 million -- 7.9% of the pool), which is secured by a
14,550 SF stand-alone Walgreens located in Simpsonville, SC,
approximately 100 miles southwest of Charlotte, North Carolina. The
property is 100% leased to Walgreens through March 2030. Moody's
analysis incorporated a Lit/Dark approach to account for the
single-tenant exposure. The loan benefits from amortization and has
paid down 39% since securitization. Moody's LTV and stressed DSCR
are 96% and 1.02X, respectively.
The third largest non-defeased loan is the Meadow View Manor Loan
($0.6 million -- 1.9% of the pool), which is secured by a 95-pad
mobile home park. The property was built in 1961 and is located in
Brainerd, Minnesota, 110 miles north of Minneapolis, Minnesota. The
loan has been on the watchlist since July 2018 due to low DSCR and
the property was 82% leased as of June 2019. The loan is fully
amortizing and has paid down 57% since securitization. Moody's LTV
and stressed DSCR are 91% and 1.01X, respectively.
COMM 2007-C9: Moody's Upgrades Class K Certs to B2(sf)
------------------------------------------------------
Moody's Investors Service upgraded the ratings on one class and
affirmed the ratings on three classes in COMM 2007-C9 Mortgage
Trust, Commercial Mortgage Pass-Through Certificates, Series
2007-C9:
Cl. K, Upgraded to B2 (sf); previously on Sep 27, 2018 Upgraded to
Caa1 (sf)
Cl. L, Affirmed C (sf); previously on Sep 27, 2018 Affirmed C (sf)
Cl. M, Affirmed C (sf); previously on Sep 27, 2018 Affirmed C (sf)
Cl. XS*, Affirmed C (sf); previously on Sep 27, 2018 Affirmed C
(sf)
* Reflects Interest Only classes
RATINGS RATIONALE
The rating on the principal and interest Class K was upgraded based
primarily on an increase in credit support resulting from loan
paydowns and amortization. The deal has paid down 40% since Moody's
last review and nearly 99% since securitization.
The ratings on two P&I classes, Class L and Class M, were affirmed
because the ratings are consistent with Moody's expected losses.
Class M has already experienced a 9% realized loss as a result of
previously liquidated loans.
The rating on the interest only (IO) class was affirmed based on
the credit quality of the referenced classes.
Moody's rating action reflects a base expected loss of 36.9% of the
current pooled balance, compared to 29.2% at Moody's last review.
Moody's base expected loss plus realized losses is now 3.2% of the
original pooled balance, the same as the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization or an
improvement in pool performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, an increase in realized and
expected losses from specially serviced and troubled loans or
interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating interest-only classes were "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017 and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in
February 2019.
Moody's analysis also incorporated a loss and recovery approach in
rating the P&I classes in this deal since 78% of the pool is in
special servicing, and one loan, 22% of the pool, was identified as
a troubled loan. In this approach, Moody's determines a probability
of default for each specially serviced loan and troubled loan and
estimates a loss given default based on a review of broker's
opinions of value (if available), other information from the
special servicer, available market data and Moody's internal data.
The loss given default for each loan also takes into consideration
repayment of servicer advances to date, estimated future advances
and closing costs. Translating the probability of default and loss
given default into an expected loss estimate, Moody's then applies
the aggregate loss from specially serviced to the most junior
classes and the recovery as a pay down of principal to the most
senior classes.
DEAL PERFORMANCE
As of the November 12, 2019 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $40.9 million
from $2.89 billion at securitization. The certificates are
collateralized by three mortgage loans and one B -Note (Hope
Note).
One loan, constituting 22% of the pool, is on the master servicer's
watchlist. The watchlist includes loans that meet certain portfolio
review guidelines established as part of the CRE Finance Council
(CREFC) monthly reporting package. As part of Moody's ongoing
monitoring of a transaction, the agency reviews the watchlist to
assess which loans have material issues that could affect
performance.
Twenty loans have been liquidated from the pool, contributing to an
aggregate realized loss of $77 million (for an average loss
severity of 22%). Two loans and one B-Note, constituting 78% of the
pool, are currently in special servicing. The largest specially
serviced loan is the Grants Pass Shopping Center -- A note Loan
($19.9 million -- 48.7% of the pool), which is secured by a 279,000
square foot (SF) community shopping center in Grants Pass, Oregon.
The loan was first transferred to special servicing in 2011 and was
modified and bifurcated into a $20 million A-Note and a $4.9
million B-Note. The loan was subsequently transferred back to the
master servicer, however, it returned to special servicing in April
2017. As of December 2018, the property was 72% leased compared to
81% in December 2017. Recently, TJ Maxx has announced that they
will be moving into the prior JC Penney location (8% of the net
rentable area (NRA)). The special servicer has filed foreclosure in
November 2019 and will continue to dual track the foreclosure
proceedings with any workout alternatives.
The second specially serviced loan is The Western Plaza Loan ($6.9
million -- 17.0% of the pool), which is secured by a 68,400 SF
retail center located in Jacksonville, North Carolina. The loan was
transferred to special servicing in June 2017 due to maturity
default. The largest tenant Office Max (23,400 SF) and one other
tenant vacated the property. The property is shadow-anchored by a
200,000 SF Walmart store. The borrower was unable to refinance the
loan due to declining performance. As of December 2018, the
property was 63% leased. The loan has been declared non-recoverable
by the master servicer. The special servicer will continue to dual
track the foreclosure process while discussing workout
alternatives.
The largest non-specially serviced loan is the 1130 Rainier Avenue
South Loan ($9.1 million -- 22.2% of the pool), which is secured by
a 62,000 SF office building in Seattle, Washington. The occupancy
decreased as a result of Darigold. Inc. (100% of NRA) vacating the
property at its lease expiration in May 2017. The property is
currently 34% occupied by the tenant Gray and Osborne (21,400 SF)
since June 2018, and there is further leasing momentum at the
property. As of June 2019, the DSCR was 0.25X due to low occupancy.
The loan is on the servicer's watchlist and due to the low
occupancy and DSCR. Moody's has identified this as a troubled
loan.
Moody's has assumed a high default probability for all remining
loans in the pool and has estimated an aggregate loss of $15.1
million (a 37% expected loss on average).
COMM 2012-CCRE4: Fitch Affirms Csf Rating on Cl. F Certs
--------------------------------------------------------
Fitch Ratings affirmed 10 classes of Deutsche Bank Securities,
Inc.'s COMM 2012-CCRE4 commercial mortgage pass-through
certificates, series 2012-CCRE4.
RATING ACTIONS
COMM 2012-CCRE4
Class A-2 12624QAP8; LT PIFsf Paid In Full; previously at AAAsf
Class A-3 12624QAR4; LT AAAsf Affirmed; previously at AAAsf
Class A-M 12624QAT0; LT AAAsf Affirmed; previously at AAAsf
Class A-SB 12624QAQ6; LT AAAsf Affirmed; previously at AAAsf
Class B 12624QBA0; LT Asf Affirmed; previously at Asf
Class C 12624QAC7; LT BBBsf Affirmed; previously at BBBsf
Class D 12624QAE3; LT CCCsf Affirmed; previously at CCCsf
Class E 12624QAG8; LT CCsf Affirmed; previously at CCsf
Class F 12624QAJ2; LT Csf Affirmed; previously at Csf
Class X-A 12624QAS2; LT AAAsf Affirmed; previously at AAAsf
Class X-B 12624QAA1; LT BBBsf Affirmed; previously at BBBsf
KEY RATING DRIVERS
Loss Expectations Remain High: Fitch's loss expectations as a
percentage of the original pool balance remain high, but are stable
from the last rating action. They are driven by Fashion Outlets of
Las Vegas (7.3% of the pool), which is REO and one of three Fitch
Loans of Concern (FLOCs). The asset is an enclosed outlet mall
located in Primm, NV, 45 miles southwest of Las Vegas and in close
proximity to the California/Nevada border. As October 2019,
occupancy was 55.7%, down from 68% at YE 2018, 75% at YE 2017 and
96% at securitization. Of total revenues, 31% is estimated to be
attributable to percentage rents, with many tenants paying as low
as 1% of sales. The vast majority of in-place leases are scheduled
to roll within the next 24-36 months. The property is located in a
tertiary market well outside of Las Vegas' commercial center, and
competes with two Simon that are better located and better
occupied. Sales and foot traffic at the subject are low. Fitch
expects losses associated with this loan to be significant.
Eastview Mall and Commons (13.8% of the pool) is the largest FLOC
and the second largest contributor to projected losses. The
collateral is two adjacent retail properties in Victor, NY.
Eastview Mall is a 1.4 million sf regional mall, of which 725,303
sf is collateral, anchored by Regal Cinemas, JC Penney, Lord &
Taylor and Von Maur. Eastview Commons is a 341,871 sf power center,
of which 86,368 sf is collateral, anchored by Target and Home
Depot. Of the anchor tenants, only Regal Cinemas serves as
collateral. The non-collateral Sears anchor closed in December
2018. According to the servicer, no co-tenancy clauses were
triggered. The pad is owned by Seritage, which recently submitted
an application to the local planning board to renovate the building
in order to retenant the space. It is being actively marketed.
However, occupancy and NOI have declined and there are refinance
concerns surrounding the lack of amortization and potential lack of
liquidity given the subject property type, market location and
nearby competition.
The smallest Fitch Loan of Concern is Emerald Square Mall (4.0% of
the pool). The subject is an enclosed regional mall located in
North Attleboro, MA and anchored by JCPenney, Macy's, Macy's Men's
and Home Store, and Sears. The collateral for this loan consists of
the JCPenney anchor and the in-line retail space. JCPenney recently
exercised a five-year extension option. Neither Macy's nor Sears
are on either of the retailers' closure lists. However, there is a
significant amount of upcoming lease roll in the near term and a
number of competing malls located nearby. As with the above asset,
Fitch remains concerned about the loan's upcoming maturity and
potential lack of liquidity given the subject property type, market
location and nearby competition.
Increased Credit Enhancement: Two loans have been repaid since the
last rating action, resulting in increased credit support to the
bonds. Since issuance, the transaction has experienced 21.5% of
collateral reduction. Loans representing 38.1% of the pool are
interest only for the full term, including the two largest loans.
Additionally, the third largest loan has defaulted and the property
is REO. There are no scheduled maturities until 2022. Although
near-term paydown is limited to monthly amortization from
performing loans, eleven loans representing 19.4% of the pool are
fully defeased, up from 13.1% at the last rating action.
Alternative Loss Considerations: There are three FLOCs (25.1% of
the pool) all of which are backed by retail properties with
performance concerns related to declining NOI, occupancy and/or
sales, nearby competition, secondary and tertiary market locations
and upcoming tenant roll. Fitch's base case loss expectations
include a projected 100% loss on Fashion Outlets of Las Vegas.
Fitch also ran additional sensitivity stresses on Eastview Mall and
Commons and Emerals Square Mall, which assumed a 20% loss and 50%
loss, respectively, and is the main contributor to the Negative
Outlooks.
RATING SENSITIVITIES
The Negative Outlook on classes A-M and X-A reflects exposure to
the largest projected loss contributor, Fashion Outlets of Las
Vegas. The Negative Outlooks to classes B, C and X-B reflect
additional sensitivities to the remaining FLOCs, Eastview Mall and
Commons and Emerald Square Mall. Downgrades are possible should
additional defaults occur, and distressed classes will be
downgraded as losses are realized. The Rating Outlooks on classes
A-SB and A-3 are Stable at this time as credit enhancement remains
sufficient due to prior paydowns and defeasance collateral.
Upgrades are unlikely due to the concentrated nature of the pool
and uncertainty in timing of the REO asset.
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
COMM 2012-CCRE4 has an ESG Relevance Score of 4 for Exposure to
Social Impacts due to malls that are underperforming as a result of
changing consumer preference to shopping, which has a negative
impact on the credit profile and is highly relevant to the rating.
COMM 2013-CCRE6: Moody's Affirms B3 Rating on Class F Certs
-----------------------------------------------------------
Moody's Investors Service affirmed the ratings of 13 classes in
COMM 2013-CCRE6 Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2013-CCRE6 as follows:
Cl. A-3FL, Affirmed Aaa (sf); previously on Aug 9, 2018 Affirmed
Aaa (sf)
Cl. A-3FX, Affirmed Aaa (sf); previously on Aug 9, 2018 Affirmed
Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Aug 9, 2018 Affirmed Aaa
(sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Aug 9, 2018 Affirmed Aaa
(sf)
Cl. A-M, Affirmed Aaa (sf); previously on Aug 9, 2018 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa2 (sf); previously on Aug 9, 2018 Upgraded to Aa2
(sf)
Cl. C, Affirmed A2 (sf); previously on Aug 9, 2018 Upgraded to A2
(sf)
Cl. D, Affirmed Baa3 (sf); previously on Aug 9, 2018 Affirmed Baa3
(sf)
Cl. E, Affirmed Ba2 (sf); previously on Aug 9, 2018 Affirmed Ba2
(sf)
Cl. F, Affirmed B2 (sf); previously on Aug 9, 2018 Affirmed B2
(sf)
Cl. X-A*, Affirmed Aaa (sf); previously on Aug 9, 2018 Affirmed Aaa
(sf)
Cl. X-B*, Affirmed A1 (sf); previously on Aug 9, 2018 Upgraded to
A1 (sf)
Cl. PEZ**, Affirmed Aa3 (sf); previously on Aug 9, 2018 Upgraded to
Aa3 (sf)
* Reflects Interest Only Classes
** Reflects Exchangeable Classes
RATINGS RATIONALE
The ratings on the ten P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index, are within acceptable ranges.
The rating on the two IO classes, were affirmed based on the credit
quality of its referenced classes.
The rating on the exchangeable class, Cl. PEZ, was affirmed due to
the credit quality of the referenced exchangeable classes.
Moody's rating action reflects a base expected loss of 2.1% of the
current pooled balance, compared to 2.2% at Moody's last review.
Moody's base expected loss plus realized losses is now 1.4% of the
original pooled balance, compared to 1.6% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in rating all classes except exchangeable
classes and interest-only classes were "Approach to Rating US and
Canadian Conduit/Fusion CMBS" published in July 2017 and "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017. The principal methodology used in
rating exchangeable classes was "Moody's Approach to Rating
Repackaged Securities" published in March 2019. The methodologies
used in rating interest-only classes were "Approach to Rating US
and Canadian Conduit/Fusion CMBS" published in July 2017, "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017, and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in
February 2019.
DEAL PERFORMANCE
As of the November 13, 2019 distribution date, the transaction's
aggregate certificate balance has decreased by 31% to $1.03 billion
from $1.50 billion at securitization. The certificates are
collateralized by 40 mortgage loans ranging in size from less than
1% to 12.6% of the pool, with the top ten loans (excluding
defeasance) constituting 73% of the pool. One loan, constituting
12.6% of the pool, has an investment-grade structured credit
assessment. Nine loans, constituting 5.9% of the pool, have
defeased and are secured by US government securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 13, compared to 15 at Moody's last review.
Five loans, constituting 28% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
No loans have been liquidated from the pool and there are currently
no loans in special servicing.
Moody's received full year 2018 operating results for 97% of the
pool, and partial year 2019 operating results for 90% of the pool
(excluding specially serviced and defeased loans). Moody's weighted
average conduit LTV is 91%, compared to 88% at Moody's last review.
Moody's conduit component excludes loans with structured credit
assessments, defeased and CTL loans, and specially serviced and
troubled loans. Moody's net cash flow (NCF) reflects a weighted
average haircut of 17% to the most recently available net operating
income (NOI). Moody's value reflects a weighted average
capitalization rate of 9.7%.
Moody's actual and stressed conduit DSCRs are 1.89X and 1.19X,
respectively, compared to 1.98X and 1.22X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The loan with a structured credit assessment is the Federal Center
Plaza Loan ($130.0 million -- 12.6% of the pool), which is secured
by two adjacent office buildings totaling 725,000 square feet (SF)
in Washington, DC. The property is well-located between the US
Capitol and Washington Monument, two blocks from two separate metro
stations (Federal Center SW and L'Enfant Plaza). The property was
87% leased as of March 2018, compared to 94% as of December 2016.
The property's largest tenants include federal government agencies
as the largest tenants. The Department of State downsized their
space at the property at their previous lease expiration in January
2018, from 388,523 SF to 297,269 SF. The property faces significant
near term lease rollover risk from the Federal Emergency Management
Agency (48% of the NRA), which has a lease expiration date in
January 2021. A cash flow sweep period is in effect and the
servicer has collected $15 million in this reserve account (the
capped amount of the cash flow sweep). Due to the significant
tenant concentration at the property, Moody's value incorporated a
partial Lit/Dark analysis. Moody's structured credit assessment and
stressed DSCR are baa3 (sca.pd) and 1.30X, respectively.
The top three conduit loans represent 29.8% of the pool balance.
The largest loan is the Moffett Towers Loan ($112.1 million --
10.9% of the pool), which represents a pari passu portion of a
$312.9 million senior mortgage loan. The loan is secured by three
eight-story Class A office buildings totaling approximately 951,000
SF located in Sunnyvale, California. Each building is LEED Gold
certified and the properties have a combined 2,881 parking spaces
as well as shared amenities. As of March 2018, the property was 98%
leased, compared to 100% in December 2016 and 89% at
securitization. All tenants at the property are on triple net
leases. The loan has amortized nearly 7% since securitization and
Moody's LTV and stressed DSCR are 97% and 1.01X, respectively,
compared to 99% and 0.98X at the last review.
The second largest loan is The Avenues Loan ($110.0 million --
10.7% of the pool), which is secured by an approximately 599,000 SF
retail component of a 1.1 million SF super-regional mall in
Jacksonville, Florida. The mall is anchored by Dillards (not part
of the collateral), Belk (not part of the collateral), J.C Penny
(not part of the collateral) and Sears. Sears (121,000 SF) has
announced that they will be closing this locating by the end of
2019. Additionally, Forever 21 is a collateral tenant (116,128
square feet) and while this location was not included in its list
of underperforming as part of their bankruptcy filing, the tenant
has a lease expiration in January 2020. The collateral was 90%
leased as of June 2019, compared to 90% at year-end 2018. Inline
occupancy was 70.2% as of June 2019 rent roll, compared to 81.3% as
of March 2018. The property's 2018 net operating income (NOI) was
6% lower than securitization levels primarily due to declining
rental revenues. The loan is interest only for its entire term and
Moody's LTV and stressed DSCR are 101% and 1.10X, respectively,
compared to 77% and 1.38X at the last review.
The third largest loan is the Paramount Plaza Loan ($84.3 million
-- 8.2% of the pool), which is secured by two 21-story, Class B
office buildings connected by a shared parking garage. The property
is located within the Mid-Wilshire submarket of Los Angeles,
California, approximately ten miles from LAX airport. At
securitization, the office space was 71.7% occupied by
approximately 150 tenants, with no tenant accounting for more than
7% of the net rentable area. As of June 2019, the property was 63%
leased, up from 62% in June 2018. Despite the low occupancy, the
property's 2018 NOI was above levels at securitization. The loan
has amortized 12% since securitization and Moody's LTV and stressed
DSCR are 101% and 1.02X, respectively, compared to 104% and 0.99X
at the last review.
COMM 2016-DC2: Fitch Affirms BB-sf Rating on 2 Tranches
-------------------------------------------------------
Fitch Ratings affirmed 15 classes of Deutsche Bank Securities,
Inc.'s COMM 2016-DC2 Mortgage Trust commercial mortgage
pass-through certificates.
RATING ACTIONS
COMM 2016-DC2 Mortgage Trust
Class A-1 12594CBA7; LT AAAsf Affirmed; previously at AAAsf
Class A-2 12594CBB5; LT AAAsf Affirmed; previously at AAAsf
Class A-3 12594CBC3; LT AAAsf Affirmed; previously at AAAsf
Class A-4 12594CBE9; LT AAAsf Affirmed; previously at AAAsf
Class A-5 12594CBF6; LT AAAsf Affirmed; previously at AAAsf
Class A-M 12594CBH2; LT AAAsf Affirmed; previously at AAAsf
Class A-SB 12594CBD1; LT AAAsf Affirmed; previously at AAAsf
Class B 12594CBJ8; LT AA-sf Affirmed; previously at AA-sf
Class C 12594CBK5; LT A-sf Affirmed; previously at A-sf
Class D 12594CAL4; LT BBB-sf Affirmed; previously at BBB-sf
Class E 12594CAN0; LT BB+sf Affirmed; previously at BB+sf
Class F 12594CAQ3; LT BB-sf Affirmed; previously at BB-sf
Class X-A 12594CBG4; LT AAAsf Affirmed; previously at AAAsf
Class X-C 12594CAC4; LT BBB-sf Affirmed; previously at BBB-sf
Class X-D 12594CAE0; LT BB-sf Affirmed; previously at BB-sf
KEY RATING DRIVERS
Generally Stable Performance: The affirmations reflect the
generally stable performance of the majority of the pool. Loss
expectations have decreased slightly since the prior rating action
in January 2019, due to the improved performance of several loans.
There are currently no delinquent loans or loans in special
servicing.
Fitch Loans of Concern (FLOCs): Fitch maintains Columbus Park
Crossing (4.97% of the deal) as a FLOC due to major tenant
vacancies, the secondary market location, and non-institutional
sponsor. The loan is collateralized by a 638,028 sf regional mall
located in Columbus, GA. The largest tenants at the property
include a dark Sears, AMC Classic Columbus Park, and a dark
Toys-R-Us. Sears, AMC Classic Columbus Park, and Toys-R-Us are all
subject to ground leases and own their respective improvements. As
of June 2019, the NOI debt service coverage ratio (DSCR) was 1.16x
and occupancy was 71%, down from 100% at issuance. However,
occupancy is expected to improve. The servicer reports that the
borrower is finalizing a letter of intent (LOI) with a national
tenant to occupy the former Toys-R-Us space (49,000 sf; 8% of NRA),
with rent commencing in July 2020.
The second FLOC is the Hampton Inn Southgate (1.12%). The loan is
secured by a 114-key limited-service hotel located in Southgate,
MI, approximately 15 miles southwest of Detroit. At issuance, the
loan had a net cash flow (NCF) DSCR of 1.75x with an occupancy rate
of 73.80%. As of TTM June 2019, the NCF DSCR was 1.10x and
occupancy was 76%. While performance remains roughly in-line with
issuance levels, the loan has been delinquent on five separate
occasions within the last 12 months.
The final FLOC is the Meadows of Geneseo loan (0.77%). The loan is
secured by a 264 unit student-housing property located in Geneseo,
NY, in the southern Rochester area. The subject was built in 1989
and renovated in 2007. YTD June 2019 NCF DSCR was 0.77x compared to
1.10x at YE 2018 and 1.34x at issuance. Occupancy was reported to
be 75% compared to 77% at YE 2018 and 93% at issuance. The subject
is located near SUNY Geneseo (approximately 5,500 total students).
Revenues decreased approximately 7% YoY from 2017 to 2018 as a
result of lower lease up for Fall 2018. In addition to advertising,
the borrower is exploring other ways to improve occupancy including
an incentive program. The servicer has contacted the borrower for a
current leasing update regarding Fall 2019.
Minimal Changes in Credit Enhancement: As of the November 2019
distribution date, the pool's aggregate principal balance had been
reduced by approximately 3% to $781.8 million resulting in minimal
increases in credit enhancement (CE) to the senior classes.
Alternative Loss Considerations: The Negative Outlook on class F as
well as interest-only class X-D reflects the sensitivity analysis
for the Columbus Park loan. Fitch assumed this loan could have an
outsized loss and applied a 75% loss severity. This additional
sensitivity scenario took into consideration the mall's performance
decline, secondary market location, and loss of collateral anchor,
Sears.
ADDITIONAL CONSIDERATIONS
Amortization: Excluding defeased loans, the pool has four loans
(16.7%) with full-term interest-only structures. Partial
interest-only loans represent 53.4% of the pool, or 20 loans, while
34 loans (30%) are amortizing balloon loans with terms of five to
10 years. The pool is scheduled to amortize by 12.8% of the initial
pool balance prior to maturity.
Watchlist Loans: There are currently five loans (10.8%) on the
servicer's watchlist. The largest loan on the watchlist is the
Columbus Park Crossing loan (4.97%). The second largest loan on the
watchlist is the Promenade Gateway loan (3.84%). The loan is
secured by a 131,470 sf mixed-use property located in Santa Monica,
CA. The loan is on the watchlist YTD September 2019 NCF DSCR was
1.26x compared to 1.64x at YE 2018. The decline can be attributed
to several tenants vacating their respective spaces, and new
tenants receiving abatements. The loan is not considered to be a
FLOC.
RATING SENSITIVITIES
Rating Outlooks on classes A-1 through E remain Stable due to
increasing CE, continued paydown and relatively stable collateral
performance for the majority of the pool. The Negative Rating
Outlook on class F as well as interest-only class X-D reflects the
potential downgrade concern as a result of the underperformance of
the Columbus Park Crossing loan. Near-term upgrades are unlikely
but possible with significant paydown, defeasance, and improved
performance among the FLOCs. Furthermore, downgrades to classes are
possible if FLOC performance continues to deteriorate.
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
COMM 2016-DC2 has an ESG Relevance Score of 4 for exposure to
social impacts due to the Columbus Park Crossing underperforming as
a result of a sustained structural shift in consumer preference to
shopping, which has a negative impact on the credit profile, and is
relevant to the transaction's Outlooks. The Negative Outlooks
reflect these impacts.
COMM 2019-GC44: Fitch Assigns B-sf Rating on $9.8MM Cl. G-RR Certs
------------------------------------------------------------------
Fitch Ratings assigned the following Ratings and Rating Outlooks to
COMM 2019-GC44 Mortgage Trust commercial mortgage pass-through
certificates, series 2019-GC44.
-- $23,338,000 class A-1 'AAAsf'; Outlook Stable;
-- $138,840,000 class A-2 'AAAsf'; Outlook Stable;
-- $55,469,000 class A-3 'AAAsf'; Outlook Stable;
-- $29,564,000 class A-SB 'AAAsf'; Outlook Stable;
-- $176,000,000 class A-4 'AAAsf'; Outlook Stable;
-- $267,197,000 class A-5 'AAAsf'; Outlook Stable;
-- $808,764,000a class X-A 'AAAsf'; Outlook Stable;
-- $118,356,000 class A-M 'AAAsf'; Outlook Stable;
-- $40,685,000 class B 'AA-sf'; Outlook Stable;
-- $35,753,000 class C 'A-sf'; Outlook Stable;
-- $76,438,000ab class X-B 'AA-sf'; Outlook Stable;
-- $41,918,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $18,493,000ab class X-F 'BB-sf'; Outlook Stable;
-- $23,425,000b class D 'BBBsf'; Outlook Stable;
-- $18,493,000b class E 'BBB-sf'; Outlook Stable;
-- $18,493,000b class F 'BB-sf'; Outlook Stable;
-- $9,863,000bd class G-RR 'B-sf'; Outlook Stable.
The following classes are not rated by Fitch:
-- $30,822,346bd class H-RR;
-- $25,800,000bc class RR Certificates;
-- $12,200,000bc class RR Interest.
-- The transaction includes five classes of non-offered, loan
specific certificates (non-pooled rake classes) related to the
companion loan of 180 Water. Classes 180W-A, 180W-B, 180W-C, 180W-D
and 180W-VRR Interest are all not rated by Fitch.
(a) Notional amount and interest only.
(b) Privately placed and pursuant to Rule 144A.
(c) Vertical credit risk retention interest.
(d) Horizontal risk retention.
Since Fitch published its expected ratings on Nov. 12, 2019, the
balances for classes A-4 and A-5 were finalized. At the time the
expected ratings were assigned, the exact initial certificate
balances for class A-4 and A-5 were unknown and expected to be
approximately $443,197,000 in aggregate, subject to a 5% variance.
The final class balances for class A-4 and A-5 are $176,000,000 and
$267,197,000, respectively. Additionally, based on final pricing of
the certificates, class C is a WAC class hereby providing no excess
cash flow that would affect the payable interest on the class X-B
certificates. Fitch's rating on class X-B has been updated to
'AA-sf', reflecting the rating on class B, the next lowest class
referenced tranche whose payable interest has an impact on the
interest-only payments. The classes above reflect the final ratings
and deal structure.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 43 loans secured by 55
commercial properties having an aggregate principal balance of
$1,024,298,346 as of the cut-off date. The loans were contributed
to the trust by Goldman Sachs Mortgage Company, Citi Real Estate
Funding Inc., and German American Capital Corporation.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 65.9% of the properties
by balance, cash flow analysis of 78.6% and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Fitch Leverage: The pool's Fitch loan to value (LTV) of 100.1% is
better than the 2019 YTD and 2018 averages of 102.5% and 102.0%,
respectively, for other recent Fitch-rated multiborrower
transactions. Additionally, the pool's Fitch debt service coverage
ratio (DSCR) of 1.26x is better than the 2019 YTD and 2018 averages
of 1.24x and 1.22x, respectively. Excluding investment-grade credit
opinion loans, the pool has a Fitch DSCR and LTV of 1.26x and
110.0%, respectively.
Investment-Grade Credit Opinions: Five loans, representing 24.9% of
the pool, have investment-grade credit opinions. This is
significantly above the 2019 YTD and 2018 averages of 13.8% and
13.6%, respectively. Midtown Center (3.2% of the pool) received a
credit opinion of 'BBBsf*' on a stand-alone basis. Century Plaza
Towers 1 (7.3%), 180 Water (6.1% of the pool), 225 Bush (4.9% of
the pool) and The Essex Site 2 (3.4% of the pool) each received
stand-alone credit opinions of 'BBB-sf*'.
Low Hotel Exposure: The pool has a lower than average exposure to
hotel properties, which, at 6.1% of the pool, is lower than the
2019 YTD and 2018 average concentrations of 13.6% and 14.7%,
respectively. Loans secured by hotel properties have a higher
probability of default in Fitch's multiborrower model. The largest
property type concentration is office at 28.9% of the pool,
followed by retail at 26.8% and multifamily at 26.2%.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 12.7% below
the most recent year's NOI for properties for which a full-year NOI
was provided, excluding properties that were stabilizing during
this period. Unanticipated further declines in property-level NCF
could result in higher defaults and loss severities on defaulted
loans and in potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the COMM
2019-GC44 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.
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.
COMM MORTGAGE 2000-C1: Fitch Lowers Rating on Class G Debt to Csf
-----------------------------------------------------------------
Fitch Ratings taken various actions on already distressed bonds in
six U.S. commercial mortgage-backed securities 1.0 transactions.
RATING ACTIONS
COMM Mortgage Trust 2000-C1
Class G 20046PAJ7; LT Csf Downgrade; previously at CCsf
Class H 20046PAK4; LT Dsf Affirmed; previously at Dsf
Class J 20046PAL2; LT Dsf Affirmed; previously at Dsf
Class K 20046PAM0; LT Dsf Affirmed; previously at Dsf
Class L 20046PAN8; LT Dsf Affirmed; previously at Dsf
Class M 20046PAP3; LT Dsf Affirmed; previously at Dsf
Class N 20046PAQ1; LT Dsf Affirmed; previously at Dsf
Banc of America Commercial Mortgage Inc. 2006-3
Class A-J 059500AG3; LT Dsf Affirmed; previously at Dsf
Class A-M 059500AF5; LT Csf Affirmed; previously at Csf
Class B 059500AH1; LT Dsf Affirmed; previously at Dsf
Class C 059500AJ7; LT Dsf Affirmed; previously at Dsf
Class D 059500AK4; LT Dsf Affirmed; previously at Dsf
Class E 059500AM0; LT Dsf Affirmed; previously at Dsf
Class F 059500AP3; LT Dsf Affirmed; previously at Dsf
Class G 059500AR9; LT Dsf Affirmed; previously at Dsf
Class H 059500AT5; LT Dsf Affirmed; previously at Dsf
Class J 059500AV0; LT Dsf Affirmed; previously at Dsf
Class K 059500AX6; LT Dsf Affirmed; previously at Dsf
Class L 059500AZ1; LT Dsf Affirmed; previously at Dsf
Class M 059500BB3; LT Dsf Affirmed; previously at Dsf
Credit Suisse Commercial Mortgage Trust 2008-C1
Class A-J 22546NAH7; LT Csf Affirmed; previously at Csf
Class B 22546NAK0; LT Csf Affirmed; previously at Csf
Class C 22546NAM6; LT Csf Affirmed; previously at Csf
Class D 22546NAP9; LT Dsf Affirmed; previously at Dsf
Class E 22546NAR5; LT Dsf Affirmed; previously at Dsf
Class F 22546NAT1; LT Dsf Affirmed; previously at Dsf
Class G 22546NAV6; LT Dsf Affirmed; previously at Dsf
Class H 22546NAX2; LT Dsf Affirmed; previously at Dsf
Class J 22546NAZ7; LT Dsf Affirmed; previously at Dsf
Class K 22546NBB9; LT Dsf Affirmed; previously at Dsf
Class L 22546NBD5; LT Dsf Affirmed; previously at Dsf
Class M 22546NBF0; LT Dsf Affirmed; previously at Dsf
Class N 22546NBH6; LT Dsf Affirmed; previously at Dsf
Class O 22546NBK9; LT Dsf Affirmed; previously at Dsf
Class P 22546NBM5; LT Dsf Affirmed; previously at Dsf
Class Q 22546NBP8; LT Dsf Affirmed; previously at Dsf
Bear Stearns Commercial Mortgage Securities Trust 2007-TOP28
Class C 073945AL1; LT CCCsf Affirmed; previously at CCCsf
Class D 073945AN7; LT Csf Affirmed; previously at Csf
Class E 073945AQ0; LT Csf Affirmed; previously at Csf
Class F 073945AS6; LT Csf Affirmed; previously at Csf
Class G 073945AU1; LT Dsf Affirmed; previously at Dsf
Class H 073945AW7; LT Dsf Affirmed; previously at Dsf
Class J 073945AY3; LT Dsf Affirmed; previously at Dsf
Class K 073945BA4; LT Dsf Affirmed; previously at Dsf
Class L 073945BC0; LT Dsf Affirmed; previously at Dsf
Class M 073945BE6; LT Dsf Affirmed; previously at Dsf
Class N 073945BG1; LT Dsf Affirmed; previously at Dsf
Class O 073945BJ5; LT Dsf Affirmed; previously at Dsf
GE Commercial Mortgage Corporation 2005-C1
Class D 36828QKX3; LT Csf Affirmed; previously at Csf
Class E 36828QKY1; LT Csf Affirmed; previously at Csf
Class F 36828QLA2; LT Csf Affirmed; previously at Csf
Class G 36828QLB0; LT Csf Affirmed; previously at Csf
Class H 36828QLC8; LT Dsf Affirmed; previously at Dsf
Class J 36828QLD6; LT Dsf Affirmed; previously at Dsf
Class K 36828QLE4; LT Dsf Affirmed; previously at Dsf
Class L 36828QLF1; LT Dsf Affirmed; previously at Dsf
Class M 36828QLG9; LT Dsf Affirmed; previously at Dsf
Class N 36828QLH7; LT Dsf Affirmed; previously at Dsf
Class O 36828QLJ3; LT Dsf Affirmed; previously at Dsf
GS Mortgage Securities Corp. II 2005-GG4
Class E 36228CWB5; LT Csf Affirmed; previously at Csf
Class F 36228CWE9; LT Dsf Affirmed; previously at Dsf
Class G 36228CWF6; LT Dsf Affirmed; previously at Dsf
Class H 36228CWG4; LT Dsf Affirmed; previously at Dsf
Class J 36228CWH2; LT Dsf Affirmed; previously at Dsf
Class K 36228CWJ8; LT Dsf Affirmed; previously at Dsf
Class L 36228CWK5; LT Dsf Affirmed; previously at Dsf
Class M 36228CWL3; LT Dsf Affirmed; previously at Dsf
Class N 36228CWM1; LT Dsf Affirmed; previously at Dsf
Class O 36228CWN9; LT Dsf Affirmed; previously at Dsf
Fitch has affirmed the 'Dsf' ratings on 55 classes in these six
transactions. The bonds have already incurred realized losses.
Twelve classes in five transactions were affirmed at 'Csf' as
losses remain inevitable based on expected losses on specially
serviced assets.
One class in one transaction has been affirmed at 'CCCsf' as loss
expectations remain consistent from the last rating action and are
considered possible.
One class in one transaction was downgraded to 'Csf' RE 0% from
'CCsf' RE 100% as losses have become more certain based on the
declining value of the one remaining asset. In COMM 2000-C1, the
remaining asset is the former Carson Pirie Scott (Bon-Ton) located
in Bloomingdale, IL. The former tenant's triple net lease was
rejected after Bon-Ton filed for Chapter 11 bankruptcy. The loan is
now categorized as in foreclosure and the property is vacant.
Valuations of the free-standing former anchor space have declined
and losses on the remaining non-'Dsf' class G are considered
inevitable.
TRANSACTION SUMMARY
Each of the six transactions was issued between 2000 and 2008. All
of them have one or two assets remaining, only contain distressed
ratings and have significant expected losses.
KEY RATING DRIVERS
High Expected Losses: All of the transactions have high expected
losses, as most of the remaining assets are in special servicing.
Each transaction has one or two assets remaining and all ratings
are distressed.
Insufficient Credit Enhancement: Each of the remaining classes has
insufficient credit enhancement to absorb the expected losses. All
ratings are distressed and losses are considered possible or
inevitable.
RATING SENSITIVITIES
The remaining classes in each of the six transactions are all
distressed. Downgrades to 'Dsf' are expected once losses are
incurred. Upgrades are unlikely, but possible with significant
improvement in values for the remaining assets.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
No third-party due diligence was provided or reviewed in relation
to this rating action.
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.
Banc of America Commercial Mortgage Inc. 2006-3 has an ESG
relevance score of 5 for Social Impacts due to exposure to
sustained structural shifts in secular preferences affecting
consumer trends, occupancy trends, etc. which, on an individual
basis, has a significant impact on the ratings.
COMM Mortgage Trust 2000-C1 has an ESG relevance score of 5 for
Social Impacts due to exposure to sustained structural shifts in
secular preferences affecting consumer trends, occupancy trends,
etc. which, on an individual basis, has a significant impact on the
ratings.
COMM Mortgage Trust 2000-C1 has an ESG relevance score of 5 for
Social Impacts due to exposure to sustained structural shifts in
secular preferences affecting consumer trends, occupancy trends,
etc. which, on an individual basis, has a significant impact on the
ratings.
Credit Suisse Commercial Mortgage Trust 2008-C1 has an ESG
relevance score of 5 for Social Impacts due to exposure to
sustained structural shifts in secular preferences affecting
consumer trends, occupancy trends, etc. which, on an individual
basis, has a significant impact on the ratings.
GE Commercial Mortgage Corporation 2005-C1 has an ESG relevance
score of 5 for Social Impacts due to exposure to sustained
structural shifts in secular preferences affecting consumer trends,
occupancy trends, etc. which, on an individual basis, has a
significant impact on the ratings.
CSAIL 2019-C18: Fitch Assigns B-sf Rating on $6.89MM Cl. G Certs
----------------------------------------------------------------
Fitch Ratings assigned the following ratings and Rating Outlooks to
CSAIL 2019-C18 Commercial Mortgage Trust pass-through certificates
series 2019-C18:
-- $25,306,000d class A-1 'AAAsf'; Outlook Stable;
-- $65,479,000d class A-2 'AAAsf'; Outlook Stable;
-- $146,016,000d class A-3 'AAAsf'; Outlook Stable;
-- $209,018,000d class A-4 'AAAsf'; Outlook Stable;
-- $36,487,000d class A-SB 'AAAsf'; Outlook Stable;
-- $52,537,000d class A-S 'AAAsf'; Outlook Stable;
-- $534,843,000ad class X-A 'AAAsf'; Outlook Stable;
-- $32,728,000d class B 'AA-sf'; Outlook Stable;
-- $31,866,000d class C 'A-sf'; Outlook Stable;
-- $64,594,000ad class X-B 'AA-sf'; Outlook Stable;
-- $20,671,000bd class D 'BBBsf'; Outlook Stable;
-- $17,225,000bd class E 'BBB-sf'; Outlook Stable;
-- $37,896,000abd class X-D 'BBB-sf'; Outlook Stable;
-- $17,225,000bd class F 'BB-sf'; Outlook Stable;
-- $17,225,000abd class X-F 'BB-sf'; Outlook Stable;
-- $6,890,000bd class G 'B-sf'; Outlook Stable;
-- $6,890,000abd class X-G 'B-sf'; Outlook Stable.
The following class is not rated by Fitch:
-- $27,561,002bc class NR-RR.
(a) Notional amount and interest-only.
(b) Privately placed and pursuant to Rule 144A.
(c) Horizontal credit risk retention interest representing
approximately 0.91% of the estimated fair value of all classes of
regular certificates issued by the issuing entity as of the closing
date.
(d) Class includes vertical credit risk retention interest
representing no less than 4.12% of the approximate initial
certificate balance.
TRANSACTION SUMMARY
Since Fitch published its expected ratings on Nov. 13, 2019, the
balances for class A-3 and class A-4 were finalized. At the time
the classes were assigned, the expected class A-3 balance range was
$75,000,000 to $170,000,000 and the expected class A-4 range was
$185,034,000 to $280,034,000. Additionally, the final rating on
class X-B has been updated to 'AA-sf' from 'A-sf' to reflect the
rating of the lowest referenced tranche whose payable interest has
an impact on the IO payments, consistent with Fitch's Global
Structured Finance Rating Criteria dated May 2, 2019. The classes
reflect the final ratings and deal structure.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 55 loans secured by 80
commercial properties having an aggregate principal balance of
$689,009,002 as of the cut-off date. The loans were contributed to
the trust by Column Financial, Inc., Societe Generale Financial
Corporation, UBS AG, New York Branch, Rialto Real Estate Fund III -
Debt, LP and CIBC Inc.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 67.3% of the properties
by balance, cash flow analysis of 76.3% and asset summary reviews
on 100.0% of the pool.
KEY RATING DRIVERS
Above-Average Leverage Relative to Recent Transactions: The pool
has above-average leverage relative to other recent Fitch-rated
multiborrower transactions. The pool's Fitch DSCR of 1.25x is above
both the YTD 2019 average of 1.24x and the 2018 average of 1.22x.
The pool's Fitch LTV of 106.1% is worse than the YTD 2019 average
of 102.5% and the 2018 average of 102.0%.
High Multifamily Exposure: Loans secured by multifamily properties
represent 31.9% of the pool by balance. Four of the top 10 loans
are backed by multifamily properties. The total multifamily
concentration exceeds both the YTD 2019 average of 13.5% and the
2018 average of 11.6%. Multifamily properties in Fitch's model have
a lower probability of default than other property types, all else
equal.
Less Concentrated Pool: The top 10 loans total 44.7% of the pool,
which is lower than the average of 51.2% for YTD 2019 and the
average of 50.6% for 2018. The pool's loan concentration index
(LCI) is 310 and the sponsor concentration index (SCI) is 484. The
LCI is below the respective average of 381 as of YTD 2019 and the
SCI is above the respective average of 403 as of YTD 2019.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 10.5% 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
CSAIL 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 '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.
CSMC 2019-UVIL: Moody's Rates Class E Certs 'Ba2'
-------------------------------------------------
Moody's Investors Service assigned definitive ratings to six
classes of CMBS securities, issued by CSMC 2019-UVIL, Commercial
Mortgage Pass-Through Certificates, Series 2019-UVIL:
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned Aa3 (sf)
Cl. C, Definitive Rating Assigned A3 (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. E, Definitive Rating Assigned Ba2 (sf)
Cl. X*, Definitive Rating Assigned Aaa (sf)
* Reflects interest-only classes
RATINGS RATIONALE
The reference classes associated with the Class X certificates have
been updated since its last press release dated December 9, 2019 to
remove two classes. The new notional amount for Class X is equal to
the notional amount of one class, the Class A certificates.
The certificates are collateralized by a single loan secured by the
borrower's fee simple interest in University Village, a 597,635 SF,
open-air, lifestyle center that was built, renovated and expanded
between 1956 and 2019, with 19 buildings on 23.6 acres and located
at 2623 NE University Village Street in Seattle, WA.
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.
Moody's DSCR is based on its assessment of the portfolio's
stabilized NCF. The Moody's first mortgage DSCR is 2.20X based on
in-place loan terms and the Moody's first mortgage stressed DSCR is
0.79X based on a 9.25% constant. Moody's LTV ratio for the first
mortgage balance of $380,000,000 is 99.6%.
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 quality
grade is 0.50.
Notable strengths of the transaction include: the asset's superior
asset quality; strong sales and low occupancy cost; strong
occupancy and operating performance; strong retail submarket and
demographics, and cash management aspects of the loan structure.
Notable concerns of the transaction include: lack of asset
diversification; interest-only mortgage loan profile; retail
competition in the market; large sponsor cash-out; and credit
negative legal features.
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating interest-only class were "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017 and "Moody's Approach to Rating
Structured Finance Interest-Only 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.
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.
DRYDEN 80 CLO: S&P Assigns BB- (sf) Rating to Class E Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to Dryden 80 CLO
Ltd./Dryden 80 CLO LLC's fixed- and floating-rate notes.
The note issuance is a collateralized loan obligation (CLO)
transaction backed primarily by broadly syndicated
speculative-grade (rated 'BB+' and lower) senior secured term loans
that are governed by collateral quality tests.
The ratings reflect:
-- The diversified collateral pool.
--The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
Dryden 80 CLO Ltd./Dryden 80 CLO LLC
Class Rating Amount (mil. $)
X AAA (sf) 1.50
A-1 AAA (sf) 246.25
A-2 AAA (sf) 13.75
B AA (sf) 44.00
C (deferrable) A (sf) 24.00
D-1 (deferrable) BBB- (sf) 20.00
D-2 (deferrable) BBB- (sf) 8.00
E (deferrable) BB- (sf) 8.00
Subordinated notes NR 44.90
NR--Not rated.
FINANCE AMERICA 2019-AB1: Moody's Gives (P)Ba2 Rating to M3 Debt
-----------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to six
classes of residential mortgage-backed securities issued by Finance
of America HECM Buyout 2019-AB1. The ratings range from (P)Aaa (sf)
to (P)Ba2 (sf).
The certificates are backed by a pool that includes 1,174 active
home equity conversion mortgages. The servicer for the deal is
Finance of America Reverse LLC. The complete rating actions are as
follows:
Issuer: Finance of America HECM Buyout 2019-AB1
Class A, Assigned (P)Aaa (sf)
Class M1, Assigned (P)A2 (sf)
Class M2, Assigned (P)Baa2 (sf)
Class M3, Assigned (P)Ba2 (sf)
Class AM1, Assigned (P)A2 (sf)
Class AM2, Assigned (P)Baa2 (sf)
RATINGS RATIONALE
The collateral backing FAHB 2019-AB1 consists of first-lien active
HECMs covered by Federal Housing Administration insurance secured
by properties in the US. FAR acquired the mortgages from Ginnie Mae
sponsored HECM mortgage backed securitizations or from third-party
seller who purchased such Mortgage Loan from a Ginnie Mae sponsored
HMBS securitization. If a borrower or the borrower's estate fails
to pay the amount due upon maturity or otherwise defaults, the sale
of the property is used to recover the amount owed. All of the
mortgage are covered by FHA insurance for the repayment of
principal up to certain amounts and can be used to supplement the
amount owed.
The pool includes 1,174 loans with an aggregate balance of
$254,425,213, weighed average LTV of approximately 106.86% and a
weighted average effective LTV plus insurance ratios of the
mortgage loans of about 50.47%. The loans are predominately fixed
rate, fully drawn with a weighted average current mortgage rate of
4.99% as of the cut-off-date. As of closing, the sponsor will remit
$1,002,074 to the paying agent for deposit in the future
disbursement reserve account to fund the remaining principal draw
in the pool.
The weighted average age of the borrowers in the pool is 79 years
and the borrower ages range from 68 to 99. About 39.4% of the pool
is comprised of borrowers who are more than 79 years of age (based
on the minimum age of living borrower and co-borrowers). About
50.5% of UPB are comprised of single borrowers, and approximately
49.5% with co-borrowers. The male/female ratio of borrowers in this
pool is about 0.49. The prepayments on the notes will depend in
large part on the assignments to HUD, mobility, health and
mortality of the borrowers.
Approximately 59% of the pool (by unpaid principal balance) is
classified as "Intended Assignment Mortgage Loans". When a loan is
assigned to HUD, the trust receives the lower of the maximum claim
amount (MCA) and the unpaid principal balance of the loan as of the
assignment date. Assignments to HUD have the same effect as if the
related borrowers made prepayments in full of such mortgage loans.
Although the assignment is beneficial to the senior note, the most
junior tranche is at a disadvantage because less excess spread will
be available to cover principal payments. While the most junior
note might take losses if the servicer assigned all or almost all
of these Intended Assignment loans within the first year of the
deal, Moody's thinks that this scenario is unlikely and the risk is
in line with that note's rating level because (1) the servicer can
hold onto the loans and not assign them if they believe it would be
in the best interest of the trust, and (2) ) there are multiple
documentation requirements from HUD that can prevent immediate
assignment.
Approximately 26.6% of the mortgage assets by unpaid principal
balance are backed by properties in Puerto Rico. This Puerto Rico
concentration is significantly larger than in other HECM
transactions that Moody's has rated. Puerto Rico HECMs present
additional risks due to the continuing effects of Hurricane Maria,
the poor state of the Puerto Rico economy and housing market, and
the difficulty of resolving delinquent tax issues and foreclosing
on properties in Puerto Rico. Moody's has taken this significant
Puerto Rico concentration into consideration in its analysis and
increased its rating stresses for Puerto Rico loans compared to
previously rated transactions.
Servicing
FAR will be the named servicer under the sale and servicing
agreement. FAR has the necessary processes, staff, technology and
overall infrastructure in place to effectively oversee the
servicing of this transaction. FAR will use Compu-Link Corporation,
d/b/a Celink (Celink) as sub-servicer to service the mortgage
assets. Based on an operational review of FAR, it has strong
sub-servicing monitoring processes, a seasoned servicing oversight
team and direct system access to the sub-servicers core systems.
FAR, who is the sponsor and oversees the servicing of this
transaction, is unrated. Furthermore, there is no backup servicer
for FAR in the transaction. In the event of a servicer termination,
the trustee will facilitate the replacement of the servicer,
however unlike inactive HECM deals Moody's has rated, where the
subservicer makes servicing advances until a successor servicer
signs on, in this deal there is no party to make servicing advances
during the interim period. To replace the servicer, additional
servicing fees may be added to the top of the deal waterfall and
certain reimbursements to the servicer will no longer be
subordinated. There are a small number of qualified servicers of
active HECMs insured by FHA insurance and it is expected that
servicing will be transferable with an appropriate servicing fee.
Furthermore, Moody's expects the need for servicing advances during
an interim period will be low since this deal is backed by active,
rather than inactive HECMs.
Transaction Structure
The securitization has a sequential liability structure amongst
four classes of notes with structural subordination. All funds
(other than certain collections from loans in Puerto Rico
designated as workout incentive amounts) collected prior to the
Class M principal lockout period or an acceleration event, are used
to make interest payments to Class A notes, then principal payments
to the Class A notes, then to a redemption account until the amount
on deposit in the redemption account is sufficient to cover future
principal and interest payments for the subordinate notes up to
their mandatory call dates. The subordinate notes will not receive
principal until the end of the Class M principal lockout period (in
the absence of optional redemption). The sequential liability
mitigates tail risk to the Class A notes through deleveraging. The
notes benefit from structural subordination as credit enhancement
as well as an interest reserve fund for liquidity and credit
enhancement. Credit enhancement in this transaction is comprised of
subordination provided by mezzanine and junior tranches, and the
build up of overcollateralization from available excess interest.
The transaction has a mandatory call date after five years. The
final rated maturity date of the transaction is 53 years. If the
transaction is not called after five years, then the holder of the
Owner Trust Certificate (the sponsor will retain the Owner Trust
Certificate) will auction the mortgage collateral within three
months of the mandatory call date. The auction needs to raise
sufficient proceeds net of fees and expenses to pay all the rated
outstanding notes in full (including owed interests). If the
auction fails to raise enough proceeds to pay off the notes within
nine months (one auction every three months), then the auction will
be considered as an "Auction Failure Event" and the holder of the
Owner Trust Certificate will be required to conduct another auction
every six months thereafter until the date on which sufficient
proceeds are raised to pay off in full the notes (including owed
interests).
Available funds to the transaction are expected to primarily come
from the potential assignments to HUD, liquidation and FHA
insurance. These funds will be received with irregular timing. In
the event that there are inadequate funds to pay interest in a
given period, the interest reserve account will be utilized.
Additionally, any shortage in interest will be classified as a cap
carryover. These cap carryover amounts will have priority of
payments in the waterfall and will also accrue interest at the
respective note rate.
The transaction structure is different from previously issued HECM
reverse mortgage transactions with a mandatory call feature and
target amortization periods for the Class M notes. This transaction
has a mandatory call date of five years, which is the same for all
the notes. Failure to pay off the notes by the mandatory call date
will require the holder of the Owner Trust Certificate to conduct
an auction every three months to raise proceeds to pay off in full
the notes. Moody's assumes the auction will fail and the notes will
be paid from proceeds from liquidation and FHA insurance.
Its analysis considers the expected loss to investors by the final
rated maturity date, which is 53 years from closing, and not by
certain acceleration dates that may occur earlier. Moody's noted
the presence of automatic acceleration events for failure to pay
the Class A notes and Class M1, Class M2 and Class M3 by the stated
final maturity date. In addition, the failure to call the deal
within the mandatory call date will lead to an auction to raise
proceeds to pay off the notes. The occurrence of an acceleration
event or auction failure event would not by itself lead us to bring
the outstanding rating to a level consistent with impairment,
because such event would not necessarily be indicative of an
economic distress. Furthermore, these acceleration events or
auction failure events lack effective legal consequences other than
the loss of the equity tranche (i.e. owner trust certificate) if
the transaction is not called.
Third-Party Review
A third party firm conducted a review of certain characteristics of
the mortgage assets on behalf of FAR. The review focused on data
integrity, documentation, HECM guideline and confirmation of the
FHA insurance coverage. Also, broker price opinions (BPOs) were
ordered for all the properties (except for 3 properties) in the
pool.
The TPR firm conducted an extensive data integrity review on a
sample of 340 loans. Certain data tape fields, such as the MIP
rate, the current UPB, current interest rate, FHA Case #, Maximum
Claim Amount, Principal Limit were reviewed either against Celink's
servicing systems or against imaged copied of original documents of
record, screen shots of HUD's HERMIT system, or HUD documents.
In addition, the TPR firm verified the listed borrowers signed all
the documents requiring signature and that borrowers signing the
documents were 62 years or older at the time of the reverse
mortgage loan origination. The TPR firm did not check for the
presence of non-borrowing spouses in the collateral pool. Under
certain circumstances, the presence of a non-borrowing spouse in a
mortgaged property could increase the foreclosure timelines. HUD's
2015-15 mortgagee letter has provided more clarity surrounding the
assignment and foreclosure process of properties with non-borrowing
spouses.
Reps & Warranties (R&W)
FAR is the loan-level R&W provider and is unrated. This risk is
mitigated by the fact that a third-party due diligence firm
conducted a review on the loans for evidence of FHA insurance.
FAR represents that the mortgage loans are covered by FHA insurance
that is in full force and effect. FAR provides further R&Ws
including those for title, first lien position, enforceability of
the lien, regulatory compliance, and the condition of the property.
FAR provides a no fraud R&W covering the origination of the
mortgage loans, determination of value of the mortgaged properties,
and the sale and servicing of the mortgage loans. Although certain
representations are knowledge qualified, the transaction documents
contain language specifying that if a representation would have
been breached if not for the knowledge qualifier then FAR will
repurchase the relevant asset as if the representation had been
breached.
Upon the identification of an R&W breach, FAR has to cure the
breach. If FAR is unable to cure the breach, FAR must repurchase
the loan within 90 days from receiving the notification. Moody's
believes the absence of an independent third party reviewer who can
identify any breaches to the R&W makes the enforcement mechanism
weak in this transaction. Also, FAR, in its good faith, is
responsible for determining if a R&W breach materially and
adversely affects the interests of the trust or the value the
collateral. This creates the potential for a conflict of interest.
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 acquisition trustee would be
subject to lawsuits from investors for a failure to adequately
enforce the R&Ws against the Seller. Moody's believes that FAHB
2019-AB1 is adequately protected against such risk in part because
a third-party data integrity review was conducted on a significant
random sample of the loans. In addition, the third-party due
diligence firm verified that all of the loans in the pool are
covered by FHA insurance.
Trustees
The acquisition and owner trustee for the FAHB 2019-AB1 transaction
is Wilmington Savings Fund Society, FSB. The paying agent and cash
management functions will be performed by U.S. Bank National
Association. U.S. Bank National Association will also serve as the
claims payment agent and as such will be the HUD mortgagee of
record for the mortgage assets in the pool.
Methodology
The methodology used in these ratings was "Reverse Mortgage
Securitizations Methodology," published in November 2019.
Its quantitative asset analysis is based on a loan-by-loan modeling
of the probability of a maturity event, the recoveries from the
sale of the underlying properties and insurance proceeds from FHA.
Its analysis takes into account the expected payout amounts as well
as the timing of the payouts from the asset sales and the FHA
insurance proceeds. Its analysis also factors the structure of FHA
insurance and applies various stresses to model parameters
depending on the target rating level. The modeling assumptions are
different for the Puerto Rico portion of the pool and the
non-Puerto Rico portion of the pool.
Evaluating maturity events: A maturity event includes (1) death of
the borrower, or the last living of two co-borrowers (mortality);
Failure of the borrower, or the last living of two co-borrowers, to
occupy the mortgaged property as their principal residence (defined
as occupying the property for 12 consecutive months); Sale of the
mortgaged property; Voluntary prepayment of the loan in full due to
mobility or morbidity event; and Default due to tax and insurance
delinquencies, or failure to make agreed upon repairs.
Moody's uses two main assumptions in its modeling: a mortality rate
(adjusted for life improvement) that assesses the probability of
borrowers dying and a prepayment rate that captures the other
factors that can cause a maturity event (such as default on taxes,
moving out, voluntary prepayment and property sale).
Assessing Mortality: Moody's establishes baseline assumptions
regarding the timing of mortality events using the most recent
mortality rates compiled in the US, often by the life insurance
industry, to the extent that they are available. The mortality
rates are stratified by gender and age, allowing us to distinguish
broadly among types of borrowers in the pool. In light of their
socio demographics, Moody's assumes longer life expectancy for the
population using reverse mortgages than for the general population,
but reasonably equivalent to that of a life insurance annuitant
population. Reverse mortgage borrowers display a number of
self-selection characteristics as they can be expected to be from
higher socio-economic backgrounds, and in better health than the
average elderly population. For loans that have joint obligors,
Moody's calculates the mortality rate for the couple, which is the
joint probability of the death of both obligors. In its model,
Moody's caps life expectancy to 120 years.
Life Improvement Factors: Its analysis of the likely mortality
rates of the pool also incorporates expectations regarding changes
in life expectancies resulting from improvements in living
standards and in health care technology and availability. This
results in greater longevity of the borrowers and less cashflow
into the transaction.
Age-Setback Approach: Moody's applies an age-setback approach to
determine the reasonableness of its baseline scenario for future
improvement in expected life. In the Aaa scenario, Moody's uses an
age setback of 10 years, which effectively means that a 70-year old
is assumed to have the mortality rates of a 60-year old, and hence
increases the expected life.
Assessing Mobility and Morbidity (CPR and Morbidity): A morbidity
event happens when the borrowers move to long-term care facility or
nursing home due to health reason, borrowers default on their tax
and insurance payments, or borrowers have not performed the
required repairs at the time of origination. A mobility event
occurs when the borrowers move out due to reasons other than health
reasons. There is limited data with regard to tracking the
morbidity or mobility events which result in a prepayment.
Servicers do not report these events because for the servicer, the
process upon any maturity event is the same (foreclosure and REO).
There is limited distinction between borrowers moving to a nursing
home versus moving out to a different home. Moody's assumes a 3%
prepayment rate at the base scenario.
Estimating Recoveries: Upon a Maturity Event, the loan has to be
paid in full. This can be done by either the (1) the borrower or
heirs pay back the loan or (2) the underlying property is sold and
the proceeds are used to satisfy the mortgage loan. The mortgage
loans are non-recourse and, therefore, any shortfall net of the FHA
claim receipts from HUD will be ultimately borne by noteholders,
after the overcollateralization (if any) is exhausted.
The major risk in a transaction backed by reverse mortgages is that
the values of the homes at their maturities may be insufficient to
pay off the original loan balance and any accrued interest. As
such, a key factor in its analysis is the Home Price Depreciation
(HPD) forecast. Moody's assumes a 30% HPD and Moody's sets
long-term assumptions for house price appreciation at zero.
The deterioration in property values could reduce recoveries on the
mortgage loans which could lead to shortfalls or losses to the
bondholders. In a reverse mortgage the only source of repayment is
the value of the underlying home. If the borrower or borrower's
estate does not pay the amount due upon maturity of a mortgage
loan, the only recourse of the servicer on behalf of the trust is
to foreclose and sell the property. There is no recourse against
the income or other assets of a borrower or the estate.
FHA insurance claim types: In addition to the recoveries from the
sales of the underlying properties, Moody's assumes the transaction
benefit from the FHA insurance claim receipts. There are
uncertainties related to the extent and timing of insurance
proceeds received by the trust due to the mechanics of the FHA
insurance. HECM mortgagees may suffer losses if a property is sold
for less than its appraised value.
The amount of insurance proceeds received from the FHA depends on
whether a sales based claim (SBC) or appraisal based claim (ABC) is
filed. SBCs are filed in cases where the property is successfully
sold within the first six months after the servicer has acquired
it. ABCs are filed six months after the servicer has obtained
marketable title if the property has not yet been sold. For an SBC,
HUD insurance will cover the difference between (i) the loan
balance and (ii) the higher of the sales price and 95.0% of the
latest appraisal, with the transaction bearing losses if the sales
price is lower than 95.0% of the latest appraisal. For an ABC, HUD
only covers the difference between the loan amount and 100% of the
appraised value, so failure to sell the property at the appraised
value results in a loss.
Moody's expects ABCs to have higher levels of losses than SBCs. The
fact that there is a delay in the sale of the property usually
implies some adverse characteristics associated with the property.
FHA insurance will not protect against losses to the extent that an
ABC property is sold at a price lower than the appraisal value
taken at the six month mark of REO. Additionally, ABCs do not cover
the cost to sell properties (broker fees) while SBCs do cover these
costs. For SBCs, broker fees are reimbursable up to 6.0%
ordinarily. Its base case expectation is that properties will be
sold for 13.5% less than their appraisal value for ABCs. To make
this assumption, Moody's considered industry data and the
historical experience of FAR. Moody's stressed this percentage at
higher credit rating levels. In an Aaa scenario, Moody's assumed
that these ABC appraisal haircuts could reach up to 30.0%.
In its asset analysis, Moody's also assumed there would be some
losses for SBCs, albeit lower amounts than for ABCs. Based on
historical performance, in the base case scenario Moody's assumed
that SBCs would suffer 1.0% losses due to a failure to sell the
property for an amount equal to or greater than 95.0% of the most
recent appraisal. Moody's stressed this percentage at higher credit
rating levels. In an Aaa scenario, Moody's assumed that SBC
appraisal haircuts could reach up to 11.0%.
Under its analytical approach, each loan is modeled to go through
both the ABC and SBC process with a certain probability. Each loan
will thus have both ABC and SBC sales disposition payments and
associated insurance payments (four payments in total). All
payments are then probability weighted and run through a modeled
liability structure. Moody's considered industry data and the
historical experience of FAR in its analysis. For the base case
scenario, Moody's assumed that 85% of claims would be SBCs and the
rest would be ABCs. Moody's stressed this assumption and assumed
higher ABC percentages for higher rating levels. At an Aaa rating
level, Moody's assumed that 85% of insurance claims would be
submitted as ABCs.
Furthermore, to account for risks posed by Puerto Rico loans,
Moody's considered the following for mortgage assets backed by
properties in Puerto Rico: (1) To account for delays in the
foreclosure process in Puerto Rico, Moody's used five years as its
Aaa rating-stress liquidation lag and scaled the impact down at
lower rating levels; (2) Moody's assumed that all insurance claims
would be submitted as ABCs under its Aaa rating stress and scaled
this percentage down at lower rating levels. In addition, for ABCs
Moody's assumed that properties will sell for significantly lower
than their appraised values; (3) Due to the significant Puerto Rico
concentration for this transaction, Moody's also applied haircuts
to the modeled cash flows for Puerto Rico mortgage assets.
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 stress could
drive the ratings up. Transaction performance depends greatly on
the US macro economy and housing market. Property markets could
improve from its original expectations resulting in appreciation in
the value of the mortgaged property and faster property sales.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of stresses could drive the
ratings down. High level prepayment or assignment which will lead
to lower excess spread to cover principal payments on the junior
subordinate notes. Transaction performance depends greatly on the
US macro economy and housing market. Property markets could
deteriorate from its original expectations resulting in
depreciation in the value of the mortgaged property and slower
property sales.
FINANCE OF AMERICA 2019-AB1: Moody's Assigns Ba2 Class M3 Debt
--------------------------------------------------------------
Moody's Investors Service assigned definitive ratings to six
classes of residential mortgage-backed securities issued by Finance
of America HECM Buyout 2019-AB1. The ratings range from Aaa (sf) to
Ba2 (sf).
The certificates are backed by a pool that includes 1,174 active
home equity conversion mortgages. The servicer for the deal is
Finance of America Reverse LLC. The complete rating actions are as
follows:
Issuer: Finance of America HECM Buyout 2019-AB1
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. AM1, Definitive Rating Assigned A2 (sf)
Cl. AM2, Definitive Rating Assigned Baa2 (sf)
Cl. M1, Definitive Rating Assigned A2 (sf)
Cl. M2, Definitive Rating Assigned Baa2 (sf)
Cl. M3, Definitive Rating Assigned Ba2 (sf)
RATINGS RATIONALE
The collateral backing FAHB 2019-AB1 consists of first-lien active
HECMs covered by Federal Housing Administration insurance secured
by properties in the US. FAR acquired the mortgages from Ginnie Mae
sponsored HECM mortgage backed securitizations or from third-party
seller who purchased such Mortgage Loan from a Ginnie Mae sponsored
HMBS securitization. If a borrower or the borrower's estate fails
to pay the amount due upon maturity or otherwise defaults, the sale
of the property is used to recover the amount owed. All of the
mortgage are covered by FHA insurance for the repayment of
principal up to certain amounts and can be used to supplement the
amount owed.
The pool includes 1,174 loans with an aggregate balance of
$254,425,213, weighed average LTV of approximately 106.86% and a
weighted average effective LTV plus insurance ratios of the
mortgage loans of about 50.47%. The loans are predominately fixed
rate, fully drawn with a weighted average current mortgage rate of
4.99% as of the cut-off-date. As of closing, the sponsor will remit
$1,002,074 to the paying agent for deposit in the future
disbursement reserve account to fund the remaining principal draw
in the pool.
The weighted average age of the borrowers in the pool is 79 years
and the borrower ages range from 68 to 99. About 39.4% of the pool
is comprised of borrowers who are more than 79 years of age (based
on the minimum age of living borrower and co-borrowers). About
50.5% of UPB are comprised of single borrowers, and approximately
49.5% with co-borrowers. The male/female ratio of borrowers in this
pool is about 0.49. The prepayments on the notes will depend in
large part on the assignments to HUD, mobility, health and
mortality of the borrowers.
Approximately 59% of the pool (by unpaid principal balance) is
classified as "Intended Assignment Mortgage Loans". When a loan is
assigned to HUD, the trust receives the lower of the maximum claim
amount (MCA) and the unpaid principal balance of the loan as of the
assignment date. Assignments to HUD have the same effect as if the
related borrowers made prepayments in full of such mortgage loans.
Although the assignment is beneficial to the senior note, the most
junior tranche is at a disadvantage because less excess spread will
be available to cover principal payments. While the most junior
note might take losses if the servicer assigned all or almost all
of these Intended Assignment loans within the first year of the
deal, Moody's thinks that this scenario is unlikely and the risk is
in line with that note's rating level because (1) the servicer can
hold onto the loans and not assign them if they believe it would be
in the best interest of the trust, and (2) there are multiple
documentation requirements from HUD that can prevent immediate
assignment.
Approximately 26.6% of the mortgage assets by unpaid principal
balance are backed by properties in Puerto Rico. This Puerto Rico
concentration is significantly larger than in other HECM
transactions that Moody's has rated. Puerto Rico HECMs present
additional risks due to the continuing effects of Hurricane Maria,
the poor state of the Puerto Rico economy and housing market, and
the difficulty of resolving delinquent tax issues and foreclosing
on properties in Puerto Rico. Moody's has taken this significant
Puerto Rico concentration into consideration in its analysis and
increased its rating stresses for Puerto Rico loans compared to
previously rated transactions.
Servicing
FAR will be the named servicer under the sale and servicing
agreement. FAR has the necessary processes, staff, technology and
overall infrastructure in place to effectively oversee the
servicing of this transaction. FAR will use Compu-Link Corporation,
d/b/a Celink (Celink) as sub-servicer to service the mortgage
assets. Based on an operational review of FAR, it has strong
sub-servicing monitoring processes, a seasoned servicing oversight
team and direct system access to the sub-servicers core systems.
FAR, who is the sponsor and oversees the servicing of this
transaction, is unrated. Furthermore, there is no backup servicer
for FAR in the transaction. In the event of a servicer termination,
the trustee will facilitate the replacement of the servicer,
however unlike inactive HECM deals Moody's has rated, where the
subservicer makes servicing advances until a successor servicer
signs on, in this deal there is no party to make servicing advances
during the interim period. To replace the servicer, additional
servicing fees may be added to the top of the deal waterfall and
certain reimbursements to the servicer will no longer be
subordinated. There are a small number of qualified servicers of
active HECMs insured by FHA insurance and it is expected that
servicing will be transferable with an appropriate servicing fee.
Furthermore, Moody's expects the need for servicing advances during
an interim period will be low since this deal is backed by active,
rather than inactive HECMs.
Transaction Structure
The securitization has a sequential liability structure amongst
four classes of notes with structural subordination. All funds
(other than certain collections from loans in Puerto Rico
designated as workout incentive amounts) collected prior to the
Class M principal lockout period or an acceleration event, are used
to make interest payments to Class A notes, then principal payments
to the Class A notes, then to a redemption account until the amount
on deposit in the redemption account is sufficient to cover future
principal and interest payments for the subordinate notes up to
their mandatory call dates. The subordinate notes will not receive
principal until the end of the Class M principal lockout period (in
the absence of optional redemption). The sequential liability
mitigates tail risk to the Class A notes through deleveraging. The
notes benefit from structural subordination as credit enhancement
as well as an interest reserve fund for liquidity and credit
enhancement. Credit enhancement in this transaction is comprised of
subordination provided by mezzanine and junior tranches, and the
build up of overcollateralization from available excess interest.
The transaction has a mandatory call date after five years. The
final rated maturity date of the transaction is 53 years. If the
transaction is not called after five years, then the holder of the
Owner Trust Certificate (the sponsor will retain the Owner Trust
Certificate) will auction the mortgage collateral within three
months of the mandatory call date. The auction needs to raise
sufficient proceeds net of fees and expenses to pay all the rated
outstanding notes in full (including owed interests). If the
auction fails to raise enough proceeds to pay off the notes within
nine months (one auction every three months), then the auction will
be considered as an "Auction Failure Event" and the holder of the
Owner Trust Certificate will be required to conduct another auction
every six months thereafter until the date on which sufficient
proceeds are raised to pay off in full the notes (including owed
interests).
Available funds to the transaction are expected to primarily come
from the potential assignments to HUD, liquidation and FHA
insurance. These funds will be received with irregular timing. In
the event that there are inadequate funds to pay interest in a
given period, the interest reserve account will be utilized.
Additionally, any shortage in interest will be classified as a cap
carryover. These cap carryover amounts will have priority of
payments in the waterfall and will also accrue interest at the
respective note rate.
The transaction structure is different from previously issued HECM
reverse mortgage transactions with a mandatory call feature and
target amortization periods for the Class M notes. This transaction
has a mandatory call date of five years, which is the same for all
the notes. Failure to pay off the notes by the mandatory call date
will require the holder of the Owner Trust Certificate to conduct
an auction every three months to raise proceeds to pay off in full
the notes. Moody's assumes the auction will fail and the notes will
be paid from proceeds from liquidation and FHA insurance.
Its analysis considers the expected loss to investors by the final
rated maturity date, which is 53 years from closing, and not by
certain acceleration dates that may occur earlier. Moody's noted
the presence of automatic acceleration events for failure to pay
the Class A notes and Class M1, Class M2 and Class M3 by the stated
final maturity date. In addition, the failure to call the deal
within the mandatory call date will lead to an auction to raise
proceeds to pay off the notes. The occurrence of an acceleration
event or auction failure event would not by itself lead us to bring
the outstanding rating to a level consistent with impairment,
because such event would not necessarily be indicative of an
economic distress. Furthermore, these acceleration events or
auction failure events lack effective legal consequences other than
the loss of the equity tranche (i.e. owner trust certificate) if
the transaction is not called.
Third-Party Review
A third party firm conducted a review of certain characteristics of
the mortgage assets on behalf of FAR. The review focused on data
integrity, documentation, HECM guideline and confirmation of the
FHA insurance coverage. Also, broker price opinions (BPOs) were
ordered for all the properties (except for 3 properties) in the
pool.
The TPR firm conducted an extensive data integrity review on a
sample of 340 loans. Certain data tape fields, such as the MIP
rate, the current UPB, current interest rate, FHA Case #, Maximum
Claim Amount, Principal Limit were reviewed either against Celink's
servicing systems or against imaged copied of original documents of
record, screen shots of HUD's HERMIT system, or HUD documents.
In addition, the TPR firm verified the listed borrowers signed all
the documents requiring signature and that borrowers signing the
documents were 62 years or older at the time of the reverse
mortgage loan origination. The TPR firm did not check for the
presence of non-borrowing spouses in the collateral pool. Under
certain circumstances, the presence of a non-borrowing spouse in a
mortgaged property could increase the foreclosure timelines. HUD's
2015-15 mortgagee letter has provided more clarity surrounding the
assignment and foreclosure process of properties with non-borrowing
spouses.
Reps & Warranties (R&W)
FAR is the loan-level R&W provider and is unrated. This risk is
mitigated by the fact that a third-party due diligence firm
conducted a review on the loans for evidence of FHA insurance.
FAR represents that the mortgage loans are covered by FHA insurance
that is in full force and effect. FAR provides further R&Ws
including those for title, first lien position, enforceability of
the lien, regulatory compliance, and the condition of the property.
FAR provides a no fraud R&W covering the origination of the
mortgage loans, determination of value of the mortgaged properties,
and the sale and servicing of the mortgage loans. Although certain
representations are knowledge qualified, the transaction documents
contain language specifying that if a representation would have
been breached if not for the knowledge qualifier then FAR will
repurchase the relevant asset as if the representation had been
breached.
Upon the identification of an R&W breach, FAR has to cure the
breach. If FAR is unable to cure the breach, FAR must repurchase
the loan within 90 days from receiving the notification. Moody's
believes the absence of an independent third party reviewer who can
identify any breaches to the R&W makes the enforcement mechanism
weak in this transaction. Also, FAR, in its good faith, is
responsible for determining if a R&W breach materially and
adversely affects the interests of the trust or the value the
collateral. This creates the potential for a conflict of interest.
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 acquisition trustee would be
subject to lawsuits from investors for a failure to adequately
enforce the R&Ws against the Seller. Moody's believes that FAHB
2019-AB1 is adequately protected against such risk in part because
a third-party data integrity review was conducted on a significant
random sample of the loans. In addition, the third-party due
diligence firm verified that all of the loans in the pool are
covered by FHA insurance.
Trustees
The acquisition and owner trustee for the FAHB 2019-AB1 transaction
is Wilmington Savings Fund Society, FSB. The paying agent and cash
management functions will be performed by U.S. Bank National
Association. U.S. Bank National Association will also serve as the
claims payment agent and as such will be the HUD mortgagee of
record for the mortgage assets in the pool.
Methodology
The principal methodology used in these ratings was "Reverse
Mortgage Securitizations Methodology," published in November 2019.
Its quantitative asset analysis is based on a loan-by-loan modeling
of the probability of a maturity event, the recoveries from the
sale of the underlying properties and insurance proceeds from FHA.
Its analysis takes into account the expected payout amounts as well
as the timing of the payouts from the asset sales and the FHA
insurance proceeds. Its analysis also factors the structure of FHA
insurance and applies various stresses to model parameters
depending on the target rating level. The modeling assumptions are
different for the Puerto Rico portion of the pool and the
non-Puerto Rico portion of the pool.
Evaluating maturity events: A maturity event includes (1) death of
the borrower, or the last living of two co-borrowers (mortality);
Failure of the borrower, or the last living of two co-borrowers, to
occupy the mortgaged property as their principal residence (defined
as occupying the property for 12 consecutive months); Sale of the
mortgaged property; Voluntary prepayment of the loan in full due to
mobility or morbidity event; and Default due to tax and insurance
delinquencies, or failure to make agreed upon repairs.
Moody's uses two main assumptions in its modeling: a mortality rate
(adjusted for life improvement) that assesses the probability of
borrowers dying and a prepayment rate that captures the other
factors that can cause a maturity event (such as default on taxes,
moving out, voluntary prepayment and property sale).
Assessing Mortality: Moody's establishes baseline assumptions
regarding the timing of mortality events using the most recent
mortality rates compiled in the US, often by the life insurance
industry, to the extent that they are available. The mortality
rates are stratified by gender and age, allowing us to distinguish
broadly among types of borrowers in the pool. In light of their
socio demographics, Moody's assumes longer life expectancy for the
population using reverse mortgages than for the general population,
but reasonably equivalent to that of a life insurance annuitant
population. Reverse mortgage borrowers display a number of
self-selection characteristics as they can be expected to be from
higher socio-economic backgrounds, and in better health than the
average elderly population. For loans that have joint obligors,
Moody's calculates the mortality rate for the couple, which is the
joint probability of the death of both obligors. In its model,
Moody's cap life expectancy to 120 years.
Life Improvement Factors: Its analysis of the likely mortality
rates of the pool also incorporates expectations regarding changes
in life expectancies resulting from improvements in living
standards and in health care technology and availability. This
results in greater longevity of the borrowers and less cashflow
into the transaction.
Age-Setback Approach: Moody's applies an age-setback approach to
determine the reasonableness of its baseline scenario for future
improvement in expected life. In the Aaa scenario, Moody's uses an
age setback of 10 years, which effectively means that a 70-year old
is assumed to have the mortality rates of a 60-year old, and hence
increases the expected life.
Assessing Mobility and Morbidity (CPR and Morbidity): A morbidity
event happens when the borrowers move to long-term care facility or
nursing home due to health reason, borrowers default on their tax
and insurance payments, or borrowers have not performed the
required repairs at the time of origination. A mobility event
occurs when the borrowers move out due to reasons other than health
reasons. There is limited data with regard to tracking the
morbidity or mobility events which result in a prepayment.
Servicers do not report these events because for the servicer, the
process upon any maturity event is the same (foreclosure and REO).
There is limited distinction between borrowers moving to a nursing
home versus moving out to a different home. Moody's assumes a 3%
prepayment rate at the base scenario.
Estimating Recoveries: Upon a Maturity Event, the loan has to be
paid in full. This can be done by either the (1) the borrower or
heirs pay back the loan or (2) the underlying property is sold and
the proceeds are used to satisfy the mortgage loan. The mortgage
loans are non-recourse and, therefore, any shortfall net of the FHA
claim receipts from HUD will be ultimately borne by noteholders,
after the overcollateralization (if any) is exhausted.
The major risk in a transaction backed by reverse mortgages is that
the values of the homes at their maturities may be insufficient to
pay off the original loan balance and any accrued interest. As
such, a key factor in its analysis is the Home Price Depreciation
(HPD) forecast. In the Aaa scenario, Moody's assumed a 30% HPD and
Moody's sets long-term assumptions for house price appreciation at
zero.
The deterioration in property values could reduce recoveries on the
mortgage loans which could lead to shortfalls or losses to the
bondholders. In a reverse mortgage the only source of repayment is
the value of the underlying home. If the borrower or borrower's
estate does not pay the amount due upon maturity of a mortgage
loan, the only recourse of the servicer on behalf of the trust is
to foreclose and sell the property. There is no recourse against
the income or other assets of a borrower or the estate.
FHA insurance claim types: In addition to the recoveries from the
sales of the underlying properties, Moody's assumes the transaction
benefit from the FHA insurance claim receipts. There are
uncertainties related to the extent and timing of insurance
proceeds received by the trust due to the mechanics of the FHA
insurance. HECM mortgagees may suffer losses if a property is sold
for less than its appraised value.
The amount of insurance proceeds received from the FHA depends on
whether a sales based claim (SBC) or appraisal based claim (ABC) is
filed. SBCs are filed in cases where the property is successfully
sold within the first six months after the servicer has acquired
it. ABCs are filed six months after the servicer has obtained
marketable title if the property has not yet been sold. For an SBC,
HUD insurance will cover the difference between (i) the loan
balance and (ii) the higher of the sales price and 95.0% of the
latest appraisal, with the transaction bearing losses if the sales
price is lower than 95.0% of the latest appraisal. For an ABC, HUD
only covers the difference between the loan amount and 100% of the
appraised value, so failure to sell the property at the appraised
value results in a loss.
Moody's expects ABCs to have higher levels of losses than SBCs. The
fact that there is a delay in the sale of the property usually
implies some adverse characteristics associated with the property.
FHA insurance will not protect against losses to the extent that an
ABC property is sold at a price lower than the appraisal value
taken at the six month mark of REO. Additionally, ABCs do not cover
the cost to sell properties (broker fees) while SBCs do cover these
costs. For SBCs, broker fees are reimbursable up to 6.0%
ordinarily. Its base case expectation is that properties will be
sold for 13.5% less than their appraisal value for ABCs. To make
this assumption, Moody's considered industry data and the
historical experience of FAR. Moody's stressed this percentage at
higher credit rating levels. In an Aaa scenario, Moody's assumed
that these ABC appraisal haircuts could reach up to 30.0%.
In its asset analysis, Moody's also assumed there would be some
losses for SBCs, albeit lower amounts than for ABCs. Based on
historical performance, in the base case scenario Moody's assumed
that SBCs would suffer 1.0% losses due to a failure to sell the
property for an amount equal to or greater than 95.0% of the most
recent appraisal. Moody's stressed this percentage at higher credit
rating levels. In an Aaa scenario, Moody's assumed that SBC
appraisal haircuts could reach up to 11.0%.
Under its analytical approach, each loan is modeled to go through
both the ABC and SBC process with a certain probability. Each loan
will thus have both ABC and SBC sales disposition payments and
associated insurance payments (four payments in total). All
payments are then probability weighted and run through a modeled
liability structure. Moody's considered industry data and the
historical experience of FAR in its analysis. For the base case
scenario, Moody's assumed that 85% of claims would be SBCs and the
rest would be ABCs. Moody's stressed this assumption and assumed
higher ABC percentages for higher rating levels. At an Aaa rating
level, Moody's assumed that 85% of insurance claims would be
submitted as ABCs.
Furthermore, to account for risks posed by Puerto Rico loans,
Moody's considered the following for mortgage assets backed by
properties in Puerto Rico: (1) To account for delays in the
foreclosure process in Puerto Rico, Moody's used five years as its
Aaa rating-stress liquidation lag and scaled the impact down at
lower rating levels; (2) Moody's assumed that all insurance claims
would be submitted as ABCs under its Aaa rating stress and scaled
this percentage down at lower rating levels. In addition, for ABCs
Moody's assumed that properties will sell for significantly lower
than their appraised values; (3) Due to the significant Puerto Rico
concentration for this transaction, Moody's also applied haircuts
to the modeled cash flows for Puerto Rico mortgage assets.
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 stress could
drive the ratings up. Transaction performance depends greatly on
the US macro economy and housing market. Property markets could
improve from its original expectations resulting in appreciation in
the value of the mortgaged property and faster property sales.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of stresses could drive the
ratings down. High level of prepayment or assignment which will
lead to lower excess spread to cover principal payments on the
junior subordinate notes. Transaction performance depends greatly
on the US macro economy and housing market. Property markets could
deteriorate from its original expectations resulting in
depreciation in the value of the mortgaged property and slower
property sales.
FIRST EAGLE 2019-1: Moody's Gives (P)Ba3 Rating on Class D Notes
-----------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to one class
of loans and three classes of notes to be issued by First Eagle BSL
CLO 2019-1 Ltd.
Moody's rating action is as follows:
US$301,000,000 Class A Loans due 2033 (the "Class A Loans"),
Assigned (P)Aa1 (sf)
US$20,000,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2033 (the "Class B Notes"), Assigned (P)A2 (sf)
US$23,600,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2033 (the "Class C Notes"), Assigned (P)Baa3 (sf)
US$21,400,000 Class D Secured Deferrable Floating Rate Notes due
2033 (the "Class D Notes"), Assigned (P)Ba3 (sf)
The Class A Loans, the Class B Notes, the Class C Notes, and the
Class D Notes are referred to herein, collectively, as the "Rated
Debt."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
RATINGS RATIONALE
The rationale for the ratings is based on a consideration of the
risks associated with the CLO's portfolio and structure as
described in its methodology.
First Eagle BSL 2019-1 is a managed cash flow CLO. The issued notes
and loans will be collateralized primarily by broadly syndicated
senior secured corporate loans. At least 92.5% of the portfolio
must consist of first lien senior secured loans, cash, and eligible
investments, and up to 7.5% of the portfolio may consist of second
lien loans, unsecured loans and first-lien last-out loans. Moody's
expects the portfolio to be approximately 70% ramped as of the
closing date.
First Eagle Private Credit Advisors, LLC will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's five year reinvestment period.
Thereafter, subject to certain restrictions, the Manager may
reinvest unscheduled principal payments and proceeds from sales of
credit risk assets.
In addition to the Rated Debt, the Issuer will issue senior
subordinated notes and junior subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the debt in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in March 2019.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $400,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2810
Weighted Average Spread (WAS): 3.65%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 46.25%
Weighted Average Life (WAL): 9 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
March 2019.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Debt is subject to uncertainty. The
performance of the Rated Debt is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Debt.
FOURSIGHT CAPITAL 2018-1: Moody's Hikes Cl. F Notes Rating to Ba3
-----------------------------------------------------------------
Moody's Investors Service upgraded the ratings for 7 tranches
issued by Foursight Capital Automobile Receivables Trusts in 2018.
The notes are backed by a pool of retail automobile loan contracts
originated by Foursight Capital LLC (Foursight; Unrated), who is
also the servicer and administrator for these transactions.
The complete rating actions are as follows:
Issuer: Foursight Capital Automobile Receivables Trust 2018-1
Class C Notes, Upgraded to Aaa (sf); previously on Aug 1, 2019
Upgraded to Aa1 (sf)
Class D Notes, Upgraded to Aa2 (sf); previously on Aug 1, 2019
Upgraded to A1 (sf)
Class E Notes, Upgraded to A3 (sf); previously on Aug 1, 2019
Upgraded to Baa1 (sf)
Class F Notes, Upgraded to Ba3 (sf); previously on Aug 1, 2019
Upgraded to B1 (sf)
Issuer: Foursight Capital Automobile Receivables Trust 2018-2
Class C Notes, Upgraded to Aa1 (sf); previously on Aug 1, 2019
Upgraded to Aa2 (sf)
Class D Notes, Upgraded to A1 (sf); previously on Aug 1, 2019
Upgraded to A2 (sf)
Class E Notes, Upgraded to Baa2 (sf); previously on Aug 1, 2019
Upgraded to Baa3 (sf)
RATINGS RATIONALE
The upgrade is a result of the buildup of credit enhancement owing
to structural features including a sequential pay structure,
overcollateralization and non-declining reserve account.
The lifetime cumulative net loss expectations remains unchanged at
9.00% for the 2018-1 transaction and 8.50% for the 2018-2
transaction.
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
Levels of credit protection that are greater than necessary to
protect investors against current expectations of loss could lead
to an upgrade of the ratings. Losses could decline from Moody's
original expectations as a result of a lower number of obligor
defaults or greater recoveries from the value of the vehicles
securing the obligors promise of payment. The US job market and the
market for used vehicles are also primary drivers of the
transaction's performance. Other reasons for better-than-expected
performance include changes in servicing practices to maximize
collections on the loans or refinancing opportunities that result
in a prepayment of the loan.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could lead to a
downgrade of the ratings. Losses could increase from Moody's
original expectations as a result of a higher number of obligor
defaults or a deterioration in the value of the vehicles securing
the obligors promise of payment. The US job market and the market
for used vehicles are also primary drivers of the transaction's
performance. Other reasons for worse-than-expected performance
include poor servicing, error on the part of transaction parties,
lack of transactional governance and fraud.
FREDDIE MAC 2017-K63: Fitch Affirms BB+sf Rating on Cl. C Certs
---------------------------------------------------------------
Fitch Ratings affirmed eight classes of FREMF 2017-K63 multifamily
mortgage pass-through certificates along with five classes of
Freddie Mac structured pass-through certificates series K-063.
In addition, Fitch has affirmed the unenhanced ratings of five
classes of FREMF 2017-K63 multifamily mortgage pass-through
certificates and five classes of Freddie Mac structured
pass-through certificates, series K-063.
RATING ACTIONS
FREMF 2017-K63
Class A-1 30300HAA4; LT AAAsf Affirmed; previously at AAAsf
Class A-1 30300HAA4; ULT AAAsf Affirmed; previously at AAAsf
Class A-2 30300HAC0; LT AAAsf Affirmed; previously at AAAsf
Class A-2 30300HAC0; ULT AAAsf Affirmed; previously at AAAsf
Class A-M 30300HAE6; LT AAAsf Affirmed; previously at AAAsf
Class A-M 30300HAE6; ULT Asf Affirmed; previously at Asf
Class B 30300HAG1; LT BBBsf Affirmed; previously at BBBsf
Class C 30300HAJ5; LT BB+sf Affirmed; previously at BB+sf
Class X1 30300HAQ9; LT AAAsf Affirmed; previously at AAAsf
Class X1 30300HAQ9; ULT AAAsf Affirmed; previously at AAAsf
Class X2-A 30300HAW6; LT AAAsf Affirmed; previously at AAAsf
Class XAM 30300HAS5; LT AAAsf Affirmed; previously at AAAsf
Class XAM 30300HAS5; ULT Asf Affirmed; previously at Asf
Freddie Mac Structured Pass-Through Certficates 2017-K063
Class A-1 3137BVZ74; LT AAAsf Affirmed; previously at AAAsf
Class A-1 3137BVZ74; ULT AAAsf Affirmed; previously at AAAsf
Class A-2 3137BVZ82; LT AAAsf Affirmed; previously at AAAsf
Class A-2 3137BVZ82; ULT AAAsf Affirmed; previously at AAAsf
Class A-M 3137BVZ90; LT AAAsf Affirmed; previously at AAAsf
Class A-M 3137BVZ90; ULT Asf Affirmed; previously at Asf
Class X1 3137BVZA7; LT AAAsf Affirmed; previously at AAAsf
Class X1 3137BVZA7; ULT AAAsf Affirmed; previously at AAAsf
Class XAM 3137BVZC3; LT AAAsf Affirmed; previously at AAAsf
Class XAM 3137BVZC3; ULT Asf Affirmed; previously at Asf
KEY RATING DRIVERS
Freddie Mac Guarantee, Credit Linked Notes: The multifamily
mortgage pass-through certificates (FREMF 2017-K63) classes A-1,
A-2, A-M, X1, XAM and X3 are guaranteed by Freddie Mac. On April 3,
2019, Fitch affirmed Freddie Mac's rating at 'AAA'/'F1+'/Outlook
Stable. The affirmation of classes A-1, A-2 and A-M are based on
this guarantee. Although the interest-only classes X1 and XAM are
guaranteed, the long-term rating for the interest-only X1 class is
based on the pass-through to the referenced A-1 and A-2
certificates and the long-term rating for the interest-only XAM
class is based on the pass-through to the referenced A-M
certificates. Fitch does not rate FREMF 2017-K63 class X3. While
the structured pass-through certificates (Freddie Mac K-063) are
not guaranteed by Freddie Mac, they benefit indirectly from the
guarantee. The Freddie Mac K-063 classes represent a pass-through
interest in the corresponding multifamily mortgage pass-through
certificates issued by FREMF 2017-K63.
Stable Loss Expectations: Fitch's unenhanced ratings are based on
an analysis of the underlying collateral pool and do not give any
credit to the Freddie Mac guarantee. The affirmations are based on
the stable performance and loss expectations of the majority of the
underlying collateral. There have been no specially serviced or
delinquent loans since issuance.
One loan (31 Brewerytown; 0.6% of pool) was designated as a Fitch
Loan of Concern (FLOC) due to cash flow declines from a significant
increase in operating expenses since issuance. The loan is secured
by a 50-unit multifamily property located in Philadelphia, PA that
was developed by the borrower in December 2015 and reached
stabilized occupancy in September 2016. The property has a 10-year
tax abatement through December 2026 through which only the land
value will be taxed. The property's reported operating expenses for
YE 2018 were 83% above the issuer's underwritten amount. This was
primarily driven by larger increases in the payroll and benefits,
repairs and maintenance and utilities expenses. The
servicer-reported YE 2018 NOI debt service coverage ratio (DSCR)
was 1.32x, compared with 1.26x at YE 2017. The loan will begin
amortizing in January 2020 when its partial interest-only period
ends. Property occupancy has remained stable since issuance,
reported at 96% as of November 2019, compared with 94% in November
2018, 92% in December 2017 and 98% at issuance. The loan is not
currently on the servicer's watchlist.
Minimal Changes to Credit Enhancement: As of the November 2019
distribution date, the pool's aggregate principal balance has paid
down by 0.7% to $1.51 billion from $1.52 billion at issuance. The
pool is scheduled to amortize by 11.2% of the initial pool balance
prior to maturity. Three loans (3.9% of pool) are full-term
interest-only and 32 loans (78.1%) are partial interest-only and
have yet to begin amortizing. One loan (Ashton Ridge; 0.2%) is
defeased.
Pool and Loan Concentrations: The top 10 loans represent 39.1% of
the pool. The largest loan in the pool, Enclave at Adobe Creek,
represents 7.3% of the pool, while the second largest loan,
Sherwood Apartments, represents 4% of the pool. One loan (Grandview
Properties; 0.8%) is secured by a student housing property in
Slippery Rock, PA. Another loan (St. Joseph's Court Apartments;
0.5%) is secured by an age-restricted, Section 8 property in North
Adams, MA. Scheduled loan maturities are primarily concentrated in
2026 (69%), with the remainder maturing in 2027 (31%).
Supplemental Financing: According to the servicer, as of Dec. 9,
2019, 11 loans (24.9% of pool) have obtained supplemental financing
as permitted at issuance.
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.
The unenhanced ratings represent a detachment from the guarantee
provided by Freddie Mac for their respective classes. Should the
performance of the underlying collateral deteriorate enough to
warrant a downgrade to any of the classes benefitting from the
Freddie Mac guarantee, the unenhanced ratings would be downgraded
only. Should the rating of Freddie Mac be downgraded, the long-term
ratings for those classes that benefit from a guarantee would be
rated at the higher of Freddie Mac or the underlying rating without
the guarantee.
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.
GERMAN AMERICAN 2012-CCRE1: Fitch Affirms Class G Certs at Bsf
--------------------------------------------------------------
Fitch Ratings affirmed 10 classes of German American Capital Corp.,
commercial mortgage pass-through certificates, series 2012-CCRE1.
RATING ACTIONS
COMM 2012-CCRE1
Class A-3 12624BAC0; LT AAAsf Affirmed; previously at AAAsf
Class A-M 12624BAF3; LT AAAsf Affirmed; previously at AAAsf
Class A-SB 12624BAD8; LT AAAsf Affirmed; previously at AAAsf
Class B 12624BAG1; LT AAsf Affirmed; previously at AAsf
Class C 12624BAH9; LT Asf Affirmed; previously at Asf
Class D 12624BAL0; LT BBB-sf Affirmed; previously at BBB-sf
Class E 12624BAN6; LT BBB-sf Affirmed; previously at BBB-sf
Class F 12624BAQ9; LT BBsf Affirmed; previously at BBsf
Class G 12624BAS5; LT Bsf Affirmed; previously at Bsf
Class X-A 12624BAE6; LT AAAsf Affirmed; previously at AAAsf
KEY RATING DRIVERS
Stable Performance and Lower Loss Expectations: Pool performance
continues to remain relatively stable with loss expectations
slightly lower than at Fitch's last rating action. There have been
no realized losses to date, and no loans are in special servicing.
Four loans (25.3% of pool), including the largest and third largest
loans, were designated Fitch Loans of Concern (FLOCs).
FLOCs; Regional Malls: The largest loan in the pool is Crossgates
Mall (15.2% of pool), which is secured by 1.3 million-sf of a 1.7
million-sf regional mall in Albany, NY. It was designated a FLOC
due to potential refinance concerns at the loan's maturity (May
2022) as a result of substantial outstanding debt on the property,
as well as declining anchor and major tenant sales. Outside these
risks, the mall's performance has been relatively stable since
issuance. As of September 2019, collateral occupancy and
servicer-reported NOI DSCR were 87.8% and 1.44x, respectively,
compared with 90.3% and 1.41x at issuance. In-line sales (excluding
Apple) were $413 psf as of the TTM ended May 2019, compared with
$401 psf at issuance.
The third largest loan, RiverTown Crossings Mall (7%), which is
secured by 635,769 sf of a 1.3 million-sf regional mall in
Grandville, MI, was designated a FLOC due to its secondary market
location, near-term rollover concerns, declining in-line sales and
loss of non-collateral anchor Younkers. Per servicer updates, the
vacant Younkers box was purchased by Brookfield Properties Retail
Group, and Round 1 is in negotiations for the entire upper level.
Collateral occupancy was 92.8%, as of the March 2019 rent roll, and
servicer-reported NOI DSCR was 1.90x as of YTD June 2019. The loan
matures in June 2021.
Two additional loans, both outside the top 15, were designated
FLOCs due to performance and/or occupancy declines. Philadelphia
Square (1.6%), secured by a 259-unit student housing property in
Indiana, PA (approximately 60 miles northeast of Pittsburgh), was
designated a FLOC due to declining revenues since issuance.
Occupancy has remained at 100% since issuance; however, property
NOI has declined over 20% since issuance. The loan remains current,
with servicer-reported NOI DSCR at 1.22x as of the TTM ended June
2019, compared with 1.59x at issuance.
The final FLOC, Heald Colleges Portfolio (1.5%; secured by an
89,713-sf, two-building office portfolio located in Milpitas and
Stockton, CA) was designated a FLOC after the sole tenant occupying
the Stockton property filed for bankruptcy and vacated in early
2017. As a result, the total portfolio occupancy had declined to
62%from 100%. Portfolio occupancy remains at 62% as of June 2019,
and the loan is actively cash managed and in a full cash sweep.
Increase in Credit Enhancement: As of the November 2019
distribution date, the pool's aggregate principal balance has paid
down by 25.1% to $699 million from $932.8 million at issuance. The
majority of the pool (94.2%) is currently amortizing. Eight loans
(17%) are fully defeased.
Loan Maturities: Loan maturities are concentrated in 2022 (93%).
One loan (7%) matures in 2021.
Alternative Loss Considerations: Fitch Ratings performed an
additional sensitivity scenario on Crossgates Mall (15.2%) and
RiverTown Crossings Mall (7%), which assumed potential outsized
losses of 15% and 25% on the loans' respective maturity balances to
account for potential refinance concerns. The analysis also
factored in the expected paydown of the transaction from defeased
loans. This scenario contributed to the Negative Rating Outlook on
class G.
RATING SENSITIVITIES
The Negative Rating Outlook on class G reflects refinance concerns
with Crossgates Mall and RiverTown Crossings Mall. A rating
downgrade may be possible should Crossgates Mall and/or RiverTown
Crossings Mall fail to refinance at maturity or if overall pool
performance declines significantly. The Stable Rating Outlooks on
the remaining classes reflect the stable performance of the
majority of the underlying pool and expected continued paydown and
increasing credit enhancement from amortization. Upgrades to senior
classes are possible with continued stable performance and
additional paydown or defeasance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
No third-party due diligence was provided or reviewed in relation
to this rating action.
GMAC COMMERCIAL 2004-C3: Fitch Hikes Rating on Class E Debt to BB
-----------------------------------------------------------------
Fitch Ratings upgraded one class and affirmed nine classes of GMAC
Commercial Mortgage Securities, Inc. commercial mortgage
pass-through certificates, series 2004-C3.
RATING ACTIONS
GMAC Commercial Mortgage Securities, Inc. 2004-C3
Class E 361849K84; LT BBsf Upgrade; previously at CCCsf
Class F 361849K92; LT Dsf Affirmed; previously at Dsf
Class G 361849L26; LT Dsf Affirmed; previously at Dsf
Class H 361849L34; LT Dsf Affirmed; previously at Dsf
Class J 361849L42; LT Dsf Affirmed; previously at Dsf
Class K 361849L59; LT Dsf Affirmed; previously at Dsf
Class L 361849L67; LT Dsf Affirmed; previously at Dsf
Class M 361849L75; LT Dsf Affirmed; previously at Dsf
Class N 361849L83; LT Dsf Affirmed; previously at Dsf
Class O 361849L91; LT Dsf Affirmed; previously at Dsf
KEY RATING DRIVERS
Improving Credit Enhancement: The upgrade to class E reflects
improving credit enhancement. Credit enhancement has improved since
Fitch's last rating action due to continued amortization and
scheduled pay offs from two loans that repaid in full at their
scheduled 2019 maturity dates. Proceeds from the payoffs totaled
approximately $42 million and were used to pay classes C and D in
full, and pay down the balance of class E by approximately 71%.
Both remaining loans are fully amortizing; the Walgreens Richmond
loan matures in 2026 and Ply Gem Industrial Portfolio matures in
2024. Overall, the pool has paid down by 99.3% to $8.5 million from
$1.25 billion at issuance. The trust has realized losses of $84.3
million, or 6.7% of the original deal balance.
Stable Loss Expectations: Two of the original 92 loans are
remaining in the pool. The largest loan in the pool, Ply Gem
Industrial Portfolio (81.5% of pool balance), is a Fitch loan of
Concern (FLOC) secured by seven industrial/warehouse properties
totaling 1.6 million sf located across seven states, primarily in
secondary and tertiary markets. The properties are 100% leased to
Ply Gem Industries through August 2024. According to the servicer,
the tenant is vacating one of the warehouses in the portfolio. The
warehouse accounts for 13% of portfolio NRA and contributes 5% of
rent. As a result occupancy is expected to decline to 87%. Although
Fitch is concerned with the vacancy, the loan is fully amortizing
and the current debt per square foot is only $4.
The other remaining loan in the pool is Walgreens Richmond (14.5%),
which is fully amortizing and secured by a single tenant retail
property located in Richmond TX, near Houston. The property is 100%
leased to Walgreens through June 2029, three years after the loan
matures. Walgreens is rated 'BBB'/Negative. Due to the concentrated
nature of the pool, Fitch performed a sensitivity analysis which
grouped the remaining loans based on collateral quality,
performance and perceived likelihood of repayment.
RATING SENSITIVITIES
Further upgrades are unlikely due to the concentration of the pool.
Downgrades, while not likely, are possible should performance of
the Ply Gem Industrial Portfolio loan deteriorate further.
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 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.
HILTON USA 2016-HHV: Moody's Affirms B3 Rating on Class F Certs
---------------------------------------------------------------
Moody's Investors Service affirmed the ratings on seven classes of
Hilton USA Trust 2016-HHV, Commercial Mortgage Pass-Through
Certificates, Series 2016-HHV. Moody's rating action is as
follows:
Cl. A, Affirmed Aaa (sf); previously on Sep 21, 2018 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa3 (sf); previously on Sep 21, 2018 Affirmed Aa3
(sf)
Cl. C, Affirmed A3 (sf); previously on Sep 21, 2018 Affirmed A3
(sf)
Cl. D, Affirmed Baa3 (sf); previously on Sep 21, 2018 Affirmed Baa3
(sf)
Cl. E, Affirmed Ba3 (sf); previously on Sep 21, 2018 Affirmed Ba3
(sf)
Cl. F, Affirmed B3 (sf); previously on Sep 21, 2018 Affirmed B3
(sf)
Cl. X-A*, Affirmed Aaa (sf); previously on Sep 21, 2018 Affirmed
Aaa (sf)
* Reflects interest-only classes
RATINGS RATIONALE
Moody's has affirmed the ratings on six P&I classes due to the
transaction's key metrics, including Moody's loan-to-value ratio
and Moody's stressed debt service coverage ratio, being within
acceptable ranges. The rating on the IO class, Class X-A, is
affirmed based on the credit quality of its reference class.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns, an increase in defeasance or
an improvement in loan performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the loan or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating interest-only class were " Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017 and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in
February 2019.
DEAL PERFORMANCE
As of the December 9, 2019 payment date, the transaction's
aggregate certificate balance remains unchanged at $750 million.
The securitization is backed by a single fixed-rate loan
collateralized by the Hilton Hawaiian Village Waikiki Beach Resort.
The whole loan of $1.275 billion has a split structure of a trust
loan component of $750 million and companion loan components
totaling $525 million. The trust comprises of trust A notes ($171.6
Million) and B notes ($578.4 Million). The trust A notes and the
companion loans are pari passu and are senior to the trust B notes.
The companion loans are securitized in JPMCC 2016-JP4, JPMCC
2017-JP5, JPMDB 2017-C5, CD 2017-CD3, CD 2017-CD4, CFCRE 2016-C7,
MSBAM 2016-C32 and WFCM 2016-C37 transactions. The interest only
loan's final maturity date is in November 2026.
The Hilton Hawaiian Village is situated on twenty-two beachfront
acres overlooking Waikiki Beach in Hawaii. The resort features
2,860 guest rooms spread across five towers, 20 food and beverage
outlets, 150,000 SF of indoor and outdoor function space, three
conference centers, five swimming pools, a saltwater lagoon, spa
grottos, the Mandara Spa and Fitness Center, two chapels and
approximately 130,500 SF of leased retail and restaurant space.
The property's net cash flow (NCF) for the trailing twelve month
period ending September 2019 was $148.1 million and continues to
improve since securitization. Moody's stabilized NCF is $116.1
million, the same as securitization. Moody's stressed LTV and
stressed DSCR for the first mortgage are 109% and 0.98X,
respectively. The trust has not incurred any losses or interest
shortfalls as of the current payment date.
HILTON USA 2016-SFP: Moody's Affirms B3 Rating on Class F Certs
---------------------------------------------------------------
Moody's Investors Service affirmed the ratings on seven classes of
Hilton USA Trust 2016-SFP, Commercial Mortgage Pass-Through
Certificates, Series 2016-SFP. Moody's rating action is as
follows:
Cl. A, Affirmed Aaa (sf); previously on Sep 21, 2018 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa3 (sf); previously on Sep 21, 2018 Affirmed Aa3
(sf)
Cl. C, Affirmed A3 (sf); previously on Sep 21, 2018 Affirmed A3
(sf)
Cl. D, Affirmed Baa3 (sf); previously on Sep 21, 2018 Affirmed Baa3
(sf)
Cl. E, Affirmed Ba3 (sf); previously on Sep 21, 2018 Affirmed Ba3
(sf)
Cl. F, Affirmed B3 (sf); previously on Sep 21, 2018 Affirmed B3
(sf)
Cl. X-E*, Affirmed B2 (sf); previously on Feb 13, 2019 Upgraded to
B2 (sf)
*Reflect Interest Only Classes
RATINGS RATIONALE
Moody's has affirmed the ratings on six P&I classes due to the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio and Moody's stressed debt service coverage ratio (DSCR),
being within acceptable ranges. The rating on the IO class, class
X-E, is affirmed based on the credit quality of its reference
classes.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that would lead to an upgrade of the ratings include a
significant amount of loan paydowns, an increase in defeasance or
an improvement in loan performance.
Factors that would lead to a downgrade of the ratings include a
decline in the performance of the loan or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating interest-only classes were "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017 and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in
February 2019.
DEAL PERFORMANCE
As of the December 5, 2019 payment date, the transaction's
aggregate certificate balance remains unchanged at $725 million.
The securitization is backed by a fixed-rate loan collateralized by
two adjacent full-service hotels, the Hilton San Francisco Union
Square and the Hilton Parc 55 San Francisco, totaling 2,943
guestrooms. The interest only loan's final maturity date is in
November 2023.
The Hilton San Francisco Union Square was constructed in 1964 and
features 1,919 guestrooms in four interconnected buildings. The
property offers approximately 130,000 SF of meeting space, a
swimming pool, fitness center, 505 parking spaces, and two food &
beverage outlets. The Hilton Parc 55 San Francisco, constructed in
1984, is located adjacent to the Hilton San Francisco Union Square.
The property provides 1,024 guestrooms, approximately 29,900 SF of
meeting space, fitness center, a leased parking garage and three
food & beverage outlets.
The portfolio's net cash flow for the trailing twelve month period
ending September 2019 was $103.5 million, compared to $98.8 million
for the trailing twelve month period ending June 2019. The NCF for
the calendar year 2018 was $89.6 million. Moody's stabilized NCF is
$68.1 million, the same as securitization. Moody's stressed LTV and
stressed DSCR are 107% and 1.01X, respectively. The trust has not
incurred any losses but there is interest shortfalls totaling
$9,026 affecting Class F as of the current payment date.
JP MORGAN 2004-C3: Fitch Affirms Dsf Rating on 7 Tranches
---------------------------------------------------------
Fitch Ratings upgraded one class and affirmed seven classes of J.P.
Morgan Chase Commercial Mortgage Securities Corp. commercial
mortgage pass-through certificates, series 2004-C3.
RATING ACTIONS
J. P. Morgan Chase Commercial Mortgage Securities Corp. 2004-C3
Class H 46625YFK4; LT AAAsf Upgrade; previously at CCCsf
Class J 46625YFL2; LT Dsf Affirmed; previously at Dsf
Class K 46625YFM0; LT Dsf Affirmed; previously at Dsf
Class L 46625YFN8; LT Dsf Affirmed; previously at Dsf
Class M 46625YFP3; LT Dsf Affirmed; previously at Dsf
Class N 46625YFQ1; LT Dsf Affirmed; previously at Dsf
Class P 46625YFR9; LT Dsf Affirmed; previously at Dsf
Class Q 46625YFS7; LT Dsf Affirmed; previously at Dsf
KEY RATING DRIVERS
Defeased Collateral: Class H is now fully covered by defeased
collateral (1.7% matured Dec. 1, 2019 and 21.8% matures December
2022). The former largest loan in the pool, T-Mobile- Lenexa, KS
(48.6%), repaid in full at its November 2019 maturity date,
exceeding Fitch's recovery expectations. The remaining classes are
rated 'Dsf' as they have already experienced losses.
RATING SENSITIVITIES
The upgrade to class H is reflective of the class being covered in
full by defeased collateral, as a result of the disposal of the
previously largest loan. The remainder of the classes are rated
'Dsf' and have realized principal losses.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
No third-party due diligence was provided or reviewed in relation
to this rating 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 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.
JP MORGAN 2013-C10: Fitch Affirms Bsf Rating on Class F Certs
-------------------------------------------------------------
Fitch Ratings affirmed nine classes of J.P. Morgan Chase Commercial
Mortgage Securities Trust commercial mortgage pass-through
certificates, series 2013-C10.
RATING ACTIONS
JPMCC 2013-C10
Class A-5 46639JAE0; LT AAAsf Affirmed; previously at AAAsf
Class A-S 46639JAH3; LT AAAsf Affirmed; previously at AAAsf
Class A-SB 46639JAF7; LT AAAsf Affirmed; previously at AAAsf
Class B 46639JAJ9; LT AA-sf Affirmed; previously at AA-sf
Class C 46639JAK6; LT A-sf Affirmed; previously at A-sf
Class D 46639JAL4; LT BBB-sf Affirmed; previously at BBB-sf
Class E 46639JAP5; LT BBsf Affirmed; previously at BBsf
Class F 46639JAR1; LT Bsf Affirmed; previously at Bsf
Class X-A 46639JAG5; LT AAAsf Affirmed; previously at AAAsf
KEY RATING DRIVERS
Increased Credit Enhancement: Since Fitch's' last rating action,
four loans totaling $26 million (2.8% of the pool balance at the
last rating action) were paid out of the pool. As of the November
2019 distribution date, the pool's aggregate balance has been
reduced by approximately 31.7% to $874 million, from $1.3 billion
at issuance. There have been no realized losses since issuance.
Five loans (10.1% of current pool) are defeased. The majority of
the pool (26 loans, 78.4% of the pool) is currently amortizing.
Three loans (21.6% of the pool) are full-term interest only.
Relatively Stable Performance: The majority of the pool continues
to exhibit relatively stable performance since issuance. There are
four Fitch Loans of Concern (10.3% of the pool), including one
specially serviced loan (1.1% of the pool balance).
REO Asset in Special Servicing: The Fashion Outlets of Santa Fe
(1.1% of the pool balance) is a 124,504 sf outlet mall located 10
miles southwest of downtown Santa Fe, NM. The asset transferred to
special servicing in April 2017 and a foreclosure sale was
completed in May 2018. Occupancy at the property has declined to
49.6% as of the October 2018 rent roll from 74.4% in October 2017
and 91% at issuance. Losses associated with this asset are expected
to be contained to the nonrated NR class.
High Retail Concentration: The pool has a retail concentration of
47.8% including seven retail loans totaling 36.9% of the pool in
the top 15. Regional mall exposure consists of two top 15 loans
(21.2% of the pool) and one specially serviced asset (1.1% of the
pool).
RATING SENSITIVITIES
The Negative Outlook for class F reflects the continued risks
related to increasing exposure for the Specially Serviced asset,
Fashion Outlets of Santa Fe and the potential for performance
declines at West County Center. Rating Outlooks for classes A-5
through E remain Stable due to the relatively stable performance of
the majority of the pool and expected continued amortization.
Rating upgrades may occur with improved pool performance and
additional paydown or defeasance. Downgrades are possible should
additional loan defaults occur or pool performance deteriorate.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
No third-party due diligence was provided to or reviewed by Fitch
in relation to this rating action.
JP MORGAN 2019-INV3: Moody's Assigns (P)B3 Rating to 2 Tranches
---------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to 34
classes of residential mortgage-backed securities issued by J.P.
Morgan Mortgage Trust 2019-INV3. The ratings range from (P)Aaa (sf)
to (P)B3 (sf). JPMMT 2019-INV3 is the sixteenth prime jumbo
transaction of 2019 issued by J.P. Morgan Mortgage Acquisition
Corporation and the third JPMMT transaction in 2019 backed by 100%
investment property loans.
The certificates are backed by 1,049 fully-amortizing (20, 25 and
30-year term) fixed-rate investment property mortgage loans with a
total balance of $388,315,530 as of the December 1, 2019, cut-off
date. Similar to prior JPMMT transactions backed by 100% investment
property loans, JPMMT 2019-INV3 includes GSE-eligible mortgage
loans (97.9% by loan balance) mostly originated by JPMorgan Chase
Bank, National Association, United Shore Financial Services d/b/a
United Wholesale Mortgage and Shore Mortgage (United Shore) and
Quicken Loans Inc. underwritten to the government sponsored
enterprises guidelines. The remaining 2.1% is comprised of prime
jumbo non-conforming investor mortgages purchased by JPMMAC,
sponsor and mortgage loan seller, from various originators and
aggregators. JPMCB, United Shore and Quicken originated 36.6%,
31.7% and 10.6% of the mortgage pool, respectively.
NewRez LLC f/k/a New Penn Financial, LLC d/b/a Shellpoint Mortgage
Servicing, JPMCB, Quicken and United Shore are the servicers. JPMCB
and Quicken will service approximately 36.6% and 10.6% of the
mortgage loans, respectively, on behalf of the issuing entity.
Shellpoint will interim service approximately 21.2% of the mortgage
loans on behalf of the issuing entity from the closing date until
the servicing transfer date, after which date the mortgage loans
will be serviced by JPMCB. The servicing transfer date is expected
to occur on or about February 1, 2020, but may occur on a later
date as determined by the issuing entity and JPMCB. United Shore
will own the mortgage servicing rights for approximately 31.7% of
the mortgage loans which will be serviced by Cenlar FSB, as
subservicer.
The complete rating actions are as follows:
Issuer: J.P. Morgan Mortgage Trust 2019-INV3
Cl. A-1, Assigned (P)Aaa (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. A-3-A, Assigned (P)Aaa (sf)
Cl. A-4, Assigned (P)Aaa (sf)
Cl. A-4-A, Assigned (P)Aaa (sf)
Cl. A-5, Assigned (P)Aaa (sf)
Cl. A-5-A, Assigned (P)Aaa (sf)
Cl. A-6, Assigned (P)Aaa (sf)
Cl. A-6-A, Assigned (P)Aaa (sf)
Cl. A-7, Assigned (P)Aaa (sf)
Cl. A-7-A, Assigned (P)Aaa (sf)
Cl. A-8, Assigned (P)Aaa (sf)
Cl. A-8-A, Assigned (P)Aaa (sf)
Cl. A-9, Assigned (P)Aaa (sf)
Cl. A-9-A, Assigned (P)Aaa (sf)
Cl. A-10, Assigned (P)Aaa (sf)
Cl. A-10-A, Assigned (P)Aaa (sf)
Cl. A-11, Assigned (P)Aaa (sf)
Cl. A-12, Assigned (P)Aaa (sf)
Cl. A-13, Assigned (P)Aaa (sf)
Cl. A-14, Assigned (P)Aa1 (sf)
Cl. A-15, Assigned (P)Aa1 (sf)
Cl. A-16, Assigned (P)Aaa (sf)
Cl. A-17, Assigned (P)Aaa (sf)
Cl. B-1, Assigned (P)Aa3 (sf)
Cl. B-1-A, Assigned (P)Aa3 (sf)
Cl. B-2, Assigned (P)A2 (sf)
Cl. B-2-A, Assigned (P)A2 (sf)
Cl. B-3, Assigned (P)Baa2 (sf)
Cl. B-3-A, Assigned (P)Baa2 (sf)
Cl. B-4, Assigned (P)Ba3 (sf)
Cl. B-5, Assigned (P)B3 (sf)
Cl. B-5-Y, Assigned (P)B3 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected loss for this pool in a baseline scenario is 1.28%
and reaches 10.00% 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 scope and results, and the
financial strength of the representation & warranty (R&W)
providers.
Collateral Description
The JPMMT 2019-INV3 transaction is a securitization of 1,049
investment property mortgage loans secured by fixed rate, first
liens on one-to-four family residential investment properties,
planned unit developments, condominiums and townhouses with an
unpaid principal balance of $388,315,530. The GSE-eligible loans,
which make up about 98% of the JPMMT 2019-INV3 pool by loan
balance, were underwritten using Fannie Mae's Desktop Underwriter
Program (the "DU Program") or Freddie Mac's Loan Prospector Program
(the "LP Program," and together with the DU Program, the "DU/LP
Programs"), subject to any permitted variances for the related
originator.
All the loans have a 20-year (22 loans or 1.25% of UPB), 25-year (2
loans or 0.17% of UPB) or a 30-year original term (1,025 loans or
98.6% of UPB). The weighted average (WA) seasoning of the mortgage
pool is 3.4 months. The loans have strong borrower characteristics
with a WA original primary borrower FICO score of 766 and a WA
original combined loan-to-value ratio (CLTV) of 66.6%. In addition,
28.3% of the borrowers are self-employed and refinance loans
comprise about 46.5% of the aggregate pool. The pool has a high
geographic concentration with 48.1% of the aggregate pool located
in California, with 19.2% located in the Los Angeles-Long
Beach-Anaheim, CA MSA and 9.6% located in San
Francisco-Oakland-Hayward, CA MSA. The characteristics of the loans
underlying the pool are generally comparable to other recent prime
RMBS transactions backed primarily by 100% investment property
30-year mortgage loans that Moody's has rated.
With the exception of personal-use loans, all other mortgage loans
in the pool are not subject to TILA because each such mortgage loan
is an extension of credit primarily for a business purpose and is
not a "covered transaction" as defined in Section 1026.43(b)(1) of
Regulation Z. All the personal-use loans are "qualified mortgages"
under Regulation Z as result of the temporary provision allowing
qualified mortgage status for loans eligible for purchase,
guaranty, or insurance by Fannie Mae and Freddie Mac (and certain
other federal agencies). The sponsor, directly or through a
majority-owned affiliate, intends to retain an eligible vertical
residual interest with a fair value of at least 5% of the aggregate
fair value of the notes issued by the trust.
Aggregation/Origination Quality
Moody's considers JPMMAC's aggregation platform to be adequate and
Moody's did not apply a separate loss-level adjustment for
aggregation quality. In addition to reviewing JPMMAC as an
aggregator, Moody's have also reviewed the originator(s)
contributing a significant percentage of the collateral pool (above
10%). With one exception noted below, Moody's did not make an
adjustment for GSE-eligible loans, regardless of the originator,
since those loans were underwritten in accordance with GSE
guidelines. However, Moody's applied an adjustment to the loss
levels for loans originated by Quicken due to the relatively worse
performance of their agency-eligible investment property mortgage
loans compared to similar loans from other originators in the
Freddie Mac and Fannie Mae database.
Servicing Arrangement
Moody's considers the overall servicing arrangement for this pool
to be adequate given the strong servicing arrangement of the
servicers, as well as the presence of a strong master servicer to
oversee the servicers. The servicers are contractually obligated to
the issuing entity to service the related mortgage loans. In this
transaction, Nationstar Mortgage LLC (Nationstar, rated B2) will
act as the master servicer. The servicers are required to advance
principal and interest on the mortgage loans. To the extent that
the servicers are unable to do so, the master servicer will be
obligated to make such advances. In the event that the master
servicer, Nationstar, is unable to make such advances, the
securities administrator, Citibank, N.A. (rated Aa3) will be
obligated to do so to the extent such advance is determined by the
securities administrator to be recoverable.
Servicing Fee Framework
The servicing fee for loans serviced by JPMCB, Shellpoint and
United Shore will be based on a step-up incentive fee structure
with a monthly base fee of $40 per loan and additional fees for
servicing delinquent and defaulted loans. The incentive structure
includes an initial monthly base servicing fee of $40 for all
performing loans and increases according to a pre-determined
delinquent and incentive servicing fee schedule. The delinquent and
incentive servicing fees will be deducted from the available
distribution amount and Class B-6 net WAC. The other servicer,
Quicken, will be paid a monthly flat servicing fee equal to
one-twelfth of 0.25% of the remaining principal balance of the
mortgage loans.
The servicing fee framework is comparable to other recent JPMMT
transactions backed by prime mortgage loans that Moody's has rated.
By establishing a base servicing fee for performing loans that
increases with the delinquency of loans, the fee-for-service
structure aligns monetary incentives to the servicer with the costs
of the servicer. The servicer receives higher fees for
labor-intensive activities that are associated with servicing
delinquent loans, including loss mitigation, than they receive for
servicing a performing loan, which is less labor-intensive. The
fee-for-service compensation is reasonable and adequate for this
transaction because it better aligns the servicer's costs with the
deal's performance. Furthermore, higher fees for the more
labor-intensive tasks make the transfer of these loans to another
servicer easier, should that become necessary. By contrast, in
typical RMBS transactions a servicer can take actions, such as
modifications and prolonged workouts, that increase the value of
its mortgage servicing rights. The transaction does not have a
servicing fee cap, so, in the event of a servicer replacement, any
increase in the base servicing fee beyond the current fee will be
paid out of the available distribution amount.
Third-Party Review
Two third party review firms, AMC Diligence, LLC (AMC) and Opus
Capital Markets Consultants, LLC (Opus) (collectively, TPR firms),
verified the accuracy of the loan-level information that Moody's
received from the sponsor. These firms conducted detailed credit,
valuation, regulatory compliance and data integrity reviews on 100%
of the mortgage pool. The TPR results indicated compliance with the
originators' underwriting guidelines for majority of loans, no
material compliance issues, and no appraisal defects. The TPR firms
also reviewed the loan files for indications that the loans were
approved by the DU/LP Programs. Overall, the loans that had
exceptions to guidelines had strong documented compensating factors
such as low DTIs, low LTVs, high reserves, high FICOs, or clean
payment histories. Overall, Moody's did not make any adjustments to
its credit enhancement for credit and regulatory compliance quality
issues.
Furthermore, the property valuation review consisted of reviewing
the valuation materials utilized at origination to ensure the
appraisal report was complete and in conformity with the
underwriting guidelines. The TPR firms also reviewed each loan to
determine whether a third-party valuation product was required and
if required, that the third-party product value was compared to the
original appraised value to identify a value variance. The property
valuation portion of the TPR was conducted using, among other
methods, a third-party collateral desk appraisal (CDA), a field
review, automated valuation model (AVM), Fannie Mae's Collateral
Underwriter (CU) or Freddie Mac Loan Collateral Advisor (LCA) risk
scores. There were loans for which the original appraisal was
evaluated using only AVMs for which appraisal risk was inconsistent
with the respective GSE's day one representation warranty and
enforcement mechanism relief. Moody's believes that utilizing only
AVMs in such situations as a comparison to verify the original
appraisals is much weaker and less accurate than utilizing CDAs.
Hence, Moody's took this framework into consideration and applied
an adjustment to its credit enhancement levels for such loans.
R&W Framework
JPMMT 2019-INV3's R&W framework is in line with that of other JPMMT
transactions where an independent reviewer is named at closing, and
costs and manner of review are clearly outlined at issuance. Its
review of the R&W framework considers the financial strength of the
R&W providers, scope of R&Ws (including qualifiers and sunsets) and
enforcement mechanisms. The R&W providers vary in financial
strength. The creditworthiness of the R&W provider determines the
probability that the R&W provider will be available and have the
financial strength to repurchase defective loans upon identifying a
breach. An investment grade rated R&W provider lends substantial
strength to its R&Ws. Moody's analyzes the impact of less
creditworthy R&W providers case by case, in conjunction with other
aspects of the transaction.
Moody's made no adjustments to the loans for which JPMCB (Aa2), its
affiliate, JPMMAC provided R&Ws since they are highly rated and/or
financially stable entities. Furthermore, the R&W provider,
Quicken, is rated Ba1, has a strong credit profile and is a
financially stable entity. However, Moody's applied an adjustment
to its expected losses to account for the risk that Quicken may be
unable to repurchase defective loans in a stressed economic
environment in which a substantial portion of the loans breach the
R&Ws, given that it is a non-bank entity with a monoline business
(mortgage origination and servicing) that is highly correlated with
the economy. Moody's tempered this adjustment by taking into
account Quicken's relative financial strength and the strong TPR
results which suggest a lower probability that poorly performing
mortgage loans will be found defective following review by the
independent reviewer.
In contrast, the rest of the R&W providers are unrated and/or
financially weaker entities. Moody's applied an adjustment to the
loans for which these entities provided R&Ws. JPMMAC will make the
mortgage loan representations and warranties with respect to
mortgage loans originated by certain originators (approx. 1.5% by
loan balance). For loans that JPMMAC acquired via the MAXEX
Clearing LLC (MaxEx) platform, MaxEx under the assignment,
assumption and recognition agreement with JPMMAC, will make the
R&Ws. The R&Ws provided by MaxEx to JPMMAC and assigned to the
trust are in line with the R&Ws found in other JPMMT transactions.
No other party will backstop or be responsible for backstopping any
R&W providers who may become financially incapable of repurchasing
mortgage loans. With respect to the R&Ws made by such originators
or the aggregator, as applicable, as of a date prior to the closing
date, JPMMAC will make a "gap" representation covering the period
from the date as of which such R&W is made by such originator or
the aggregator, as applicable, to the cut-off date or closing date,
as applicable. Additionally, no party will be required to
repurchase or substitute any mortgage loan until such loan has gone
through the review process.
Additional Counterparties
The transaction Delaware trustee is Citibank, N.A. Wells Fargo
Bank, N.A. and JPMCB will each maintain custody, on behalf of the
issuing entity, of the documents relating to approximately 63.43%
and approximately 36.57% of the mortgage loans, respectively, under
the related custody agreement. The paying agent and cash management
functions will be performed by Citibank, N.A. Nationstar, as master
servicer, is responsible for servicer oversight, servicer
termination and for the appointment of any successor servicer. In
addition, Nationstar is committed to act as successor if no other
successor servicer can be found. The master servicer is required to
advance principal and interest if the servicer fails to do so. If
the master servicer fails to make the required advance, the
securities administrator is obligated to make such advance.
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 1.00% of the closing pool balance,
and a subordination lock-out amount of 0.85% 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 has a shifting interest structure in which the
senior bonds benefit from a number of protections. Funds collected,
including principal, are first used to make interest payments to
the senior bonds. Next, principal payments are made to the senior
bonds. Next, available distribution amounts are used to reimburse
realized losses and certificate write-down amounts for the senior
bonds (after subordinate bond have been reduced to zero i.e. the
credit support depletion date). Finally, interest and then
principal payments are paid to the subordinate bonds in sequential
order.
Realized losses are allocated in a reverse sequential order, first
to the lowest subordinate bond. After the balance of the
subordinate bonds is written off, losses from the pool begin to
write off the principal balance of the senior support bond, and
finally losses are allocated to the super senior bonds.
In addition, the pass-through rate on the bonds (other than the
Class A-R Certificates) is based on the net WAC as reduced by the
sum of (i) the reviewer annual fee rate and (ii) the capped trust
expense rate. In the event that there is a small number of loans
remaining, the last outstanding bonds' rate can be reduced to
zero.
The Class A-11 Certificates will have a pass-through rate that will
vary directly with the rate of one-month LIBOR and the Class A-11-X
Certificates will have a pass-through rate that will vary inversely
with the rate of one-month LIBOR. If the securities administrator
notifies the depositor that it cannot determine one-month LIBOR in
accordance with the methods prescribed in the sale and servicing
agreement and a benchmark transition event has not yet occurred,
one-month LIBOR for such accrual period will be one-month LIBOR as
calculated for the immediately preceding accrual period. Following
the occurrence of a benchmark transition event, a benchmark other
than one-month LIBOR will be selected for purposes of calculating
the pass-through rate on the class A-11 certificates.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Methodology
The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework " published in
October 2019.
KAYNE CLO 6: Moody's Assigns Ba3 Rating on $22.4MM Class E Notes
----------------------------------------------------------------
Moody's Investors Service assigned ratings to seven classes of
notes issued by Kayne CLO 6, Ltd.
Moody's rating action is as follows:
US$248,000,000 Class A-1 Senior Secured Floating Rate Notes due
2033 (the "Class A-1 Notes"), Assigned Aaa (sf)
US$12,000,000 Class A-2 Senior Secured Floating Rate Notes due 2033
(the "Class A-2 Notes"), Assigned Aaa (sf)
US$30,500,000 Class B-1 Senior Secured Floating Rate Notes due 2033
(the "Class B-1 Notes"), Assigned Aa2 (sf)
US$5,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2033
(the "Class B-2 Notes"), Assigned Aa2 (sf)
US$22,500,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2033 (the "Class C Notes"), Assigned A2 (sf)
US$23,500,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2033 (the "Class D Notes"), Assigned Baa3 (sf)
US$22,500,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2033 (the "Class E Notes"), Assigned Ba3 (sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B-1 Notes, the
Class B-2 Notes, the Class C Notes, the Class D Notes and the Class
E Notes are referred to herein, collectively, as the "Rated
Notes."
RATINGS RATIONALE
The rationale for the ratings is based on a consideration of the
risks associated with the CLO's portfolio and structure as
described in its methodology.
Kayne CLO 6 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 95.0% of the portfolio must consist of
first lien senior secured loans, cash, and eligible investments,
and up to 5.0% of the portfolio may consist of second lien loans
and unsecured loans. The portfolio is approximately 88% ramped as
of the closing date.
Kayne Anderson Capital Advisors, L.P. will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's five year reinvestment period.
Thereafter, subject to certain restrictions, the Manager may
reinvest unscheduled principal payments and proceeds from sales of
credit risk assets.
In addition to the Rated Notes, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in March 2019.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $400,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2868
Weighted Average Spread (WAS): 3.20%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 47.5%
Weighted Average Life (WAL): 9.0 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
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.
MONROE CAPITAL 2015-1: Moody's Lowers $8MM Class F Notes to Caa1
----------------------------------------------------------------
Moody's Investors Service downgraded the rating on the following
notes issued by Monroe Capital BSL CLO 2015-1, Ltd.:
US$8,000,000 Class F Mezzanine Secured Deferrable Floating Rate
Notes, Downgraded to Caa1 (sf); previously on December 4, 2018
Downgraded to B3 (sf)
Monroe Capital BSL CLO 2015-1, Ltd., issued in May 2015 and
partially refinanced in August 2017 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 May
2019.
RATINGS RATIONALE
The downgrade rating action on the Class F notes reflects the
specific risks to the junior notes posed by credit deterioration
observed in the underlying CLO portfolio. Based on Moody's
calculations, the over-collateralization ratio for the Class F
notes has increased to 106.59% from 106.27% in November 2018 as a
result of the paydown of the senior notes. Notwithstanding the
foregoing, Moody's notes that the credit quality of the portfolio
has weakened, and based on the trustee's November 2019 report, the
weighted average rating factor (WARF) was reported at 3441, versus
the November 2018 level of 3129, and is currently failing the
maximum WARF test level. Moreover, the issuer is failing both the
diversity score test and the weighted average life test levels of
63 and 3.75, respectively, and based on Moody's calculations, the
weighted average recovery rate (WARR) has decreased to 47.18%
versus the November 2018 level of 47.53%. Additionally, based on
Moody's calculations, the CLO portfolio now includes $9.2 million
or 2.7% of the portfolio treated as defaulted in its analysis,
compared to none in November 2018.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
recovery rate, and weighted average spread, 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 $337.0
million, defaulted par of $9.2 million, a weighted average default
probability of 23.17% (implying a WARF of 3409), a weighted average
recovery rate upon default of 47.18%, a diversity score of 46 and a
weighted average spread of 3.90%.
Methodology Used for the Rating Action
The principal methodology used in this rating 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 Rating:
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 CLO manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.
MORGAN STANLEY 2014-C14: Fitch Affirms B-sf Rating on Cl. G Certs
-----------------------------------------------------------------
Fitch Ratings affirmed 14 classes of Morgan Stanley Bank of America
Merrill Lynch Trust, Series 2014-C14 (MSBAM 2014-C14) commercial
mortgage pass-through certificates.
RATING ACTIONS
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14
Class A-3 61690GAD3; LT AAAsf Affirmed; previously at AAAsf
Class A-4 61690GAE1; LT AAAsf Affirmed; previously at AAAsf
Class A-5 61690GAF8; LT AAAsf Affirmed; previously at AAAsf
Class A-S 61690GAH4; LT AAAsf Affirmed; previously at AAAsf
Class A-SB 61690GAC5; LT AAAsf Affirmed; previously at AAAsf
Class B 61690GAJ0; LT AA-sf Affirmed; previously at AA-sf
Class C 61690GAL5; LT A-sf Affirmed; previously at A-sf
Class D 61690GAT8; LT BBB-sf Affirmed; previously at BBB-sf
Class E 61690GAW1; LT BB+sf Affirmed; previously at BB+sf
Class F 61690GAZ4; LT BB-sf Affirmed; previously at BB-sf
Class G 61690GBC4; LT B-sf Affirmed; previously at B-sf
Class PST 61690GAK7; LT A-sf Affirmed; previously at A-sf
Class X-A 61690GAG6; LT AAAsf Affirmed; previously at AAAsf
Class X-B 61690GAM3; LT AA-sf Affirmed; previously at AA-sf
Class A-S, B and C certificates may be exchanged for class PST
certificates, and class PST certificates may be exchanged for class
A-S, B and C certificates.
Classes X-A and X-B are interest only.
KEY RATING DRIVERS
Stable Overall Pool Performance: The affirmations reflect the
stable performance of the majority of the pool. There are only
three Fitch Loans of Concern (FLOCs, 8.5% of the pool), including
two specially serviced loans/assets (5.6%). The Negative Rating
Outlook assigned to class G primarily reflects the expectation of
an outsized loss on the largest FLOC, the specially serviced Aspen
Heights - Columbia loan.
The Aspen Heights - Columbia loan (4.7%) is secured by a student
housing property located off the campus of the University of
Missouri - Columbia. The loan transferred to special servicing on
Nov. 8, 2017, due to imminent monetary default. Property
performance has been negatively impacted by new competition in the
market. At least eight new properties have come on line since the
subject was constructed in 2013 with the majority located closer to
campus than the subject, which is about two miles away. Cash flow
is not supporting debt service, with a servicer-reported YTD
September 2018 NOI debt service coverage ratio (DSCR) of only
0.63x. New management has been put in place, and occupancy was at
73.3% per the September 2019 rent roll compared to 45.1% in
September 2018. The property was 93.5% occupied at issuance (as of
December 2013).
The Round Rock Crossing loan (2.9%), the next FLOC, is secured by
an anchored retail center located in Round Rock, TX leased to a mix
of national and local retailers, including Best Buy, Stein Mart and
Michaels. The center is located at a high-traffic-count
intersection and is shadow anchored by Target. However, occupancy
began to substantially decline after the largest tenant, Gander
Mountain (19.9% of NRA), vacated in 2017 due to its parent
company's bankruptcy. Per the servicer, there are currently no
prospects for the space. As of the September 2019 rent roll,
occupancy was 71.6%.
The REO Pence Building (0.9%) is a 91,446-sf office building
located in Minneapolis, MN. The loan transferred to the special
servicer in July 2018 after losing its largest tenant and became
REO in September 2019. The property is no longer supporting debt
service payments; per the servicer, the YE 2018 NOI DSCR was 0.29x.
As of YE 2018 servicer reporting, the property was 51% leased.
However, a lease was signed in August 2019 for an additional 12.9%
of the NRA. The current plan is to stabilize the property and
market it for sale around 2Q22.
Improved Credit Enhancement: Since issuance, 11 of the original 58
loans have paid off. As of the November 2019 distribution date, the
pool's aggregate principal balance has paid down by 28.5% to $1.06
billion from $1.48 billion at issuance. Four loans (18.9% of the
pool) are full term interest only, all other loans are amortizing.
Two loans (2.8%) have defeased.
RATING SENSITIVITIES
The Negative Outlook on class G primarily reflects concern over the
specially serviced Aspen Heights - Columbia loan. The workout for
this delinquent loan is ongoing with a receiver in place attempting
to stabilize the property; should property performance not improve
or further deteriorate over the next year, class G will likely be
downgraded. Rating Outlooks for the senior classes remain Stable
due to the stable performance of the majority of the remaining pool
and continued expected amortization. Upgrades may occur with
improved pool performance and additional paydown or defeasance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
No third-party due diligence was provided or reviewed in relation
to this rating action.
MOUNTAIN HAWK III: Moody's Lowers $24.5MM Cl. E Notes Rating to B1
------------------------------------------------------------------
Moody's Investors Service upgraded the rating on the following
notes issued by Mountain Hawk III CLO, LTD:
US$45,750,000 Class C Secured Deferrable Floating Rate Notes Due
April 18, 2025, Upgraded to A1 (sf); previously on September 21,
2018 Affirmed A2 (sf)
Moody's also downgraded the rating on the following notes:
US$24,500,000 Class E Secured Deferrable Floating Rate Notes Due
April 18, 2025, Downgraded to B1 (sf); previously on September 21,
2018 Downgraded to Ba3 (sf)
Mountain Hawk III CLO, LTD , originally issued in April 2014 and
partially refinanced in April 2017 is a managed cashflow CLO. The
notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The transaction's
reinvestment period ended in April 2018.
RATINGS RATIONALE
The upgrade rating action is primarily a result of deleveraging of
the senior notes and an increase in the transaction's
over-collateralization (OC) ratios since December 2018. The Class
A-R notes have been paid down by approximately 46% or $122.7
million since that time. Based on the trustee's November 2019
report, the OC ratios for the Class A/B, and Class C notes are
reported at 154.60%, and 127.25%, respectively, versus December
2018 levels of 136.61%, and 120.22%, respectively.
The downgrade rating action on the Class E notes is due to credit
deterioration and par loss observed in the underlying CLO
portfolio. According to the trustee's November 2019 report, the
weighted average rating factor (WARF) is reported at 3106 compared
to 2998 in December 2018. Furthermore, the OC ratio for the Class E
notes is currently 104.84% versus December 2018 level of 105.04%.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, 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 $328.5
million, defaulted par of $1.5 million, a weighted average default
probability of 20.70% (implying a WARF of 3091), a weighted average
recovery rate upon default of 48.68%, a diversity score of 51 and a
weighted average spread of 3.35%.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
March 2019.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.
NAS ENHANCED 2016-1: Fitch Lowers Rating on Class B Certs to B-
---------------------------------------------------------------
Fitch Ratings downgraded its rating for the NAS Enhanced Pass
Through Certificates, Series 2016-1 class B certificates to 'B-'
from 'B'. The class B certificates have been removed from Rating
Watch Negative. The class A certificates have been affirmed at
'A-'.
The subordinated tranche downgrade was driven by Norwegian Air
Shuttle's (NAS) recent completion of its extension on the maturity
of two series of unsecured bonds, which prompted Fitch to update
its opinion on Norwegian's corporate credit profile. The rating
action follows the Rating Watch Negative that Fitch placed on the
notes in September of this year.
The senior tranche ratings have been affirmed at their existing
levels. Senior certificate ratings are driven by a top-down
analysis that incorporates the airline's credit profile only as a
secondary factor. EETCs benefit from high levels of
overcollateralization and from certain structural features (PIK
facilities, cross collateralization and cross default, special
protection under bankruptcy laws) that are specifically designed to
hold up through a bankruptcy process, therefore making them less
sensitive to the underlying airline rating. Due to the substantial
amount of overcollateralization and the high quality collateral
underlying the transaction, Fitch does not anticipate downgrading
the senior tranche in the near term. However, the senior tranche
could be placed on Rating Watch Negative if Norwegian were to enter
into formal administration proceedings.
KEY RATING DRIVERS
The collateral pool in this transaction consists of 10 2016 vintage
737-800s. Fitch views the 737-800 as a high quality Tier 1
aircraft.
A Tranche Ratings and Fitch's Stress Case: Fitch's stress case
utilizes a top-down approach assuming a rejection of the entire
pool of aircraft in a severe global aviation downturn. The stress
scenario incorporates a full draw on the liquidity facility, an
assumed 5% repossession/remarketing cost, and a 20% stress to the
value of the aircraft collateral. The 20% value haircut corresponds
to the low end of Fitch's 20%-30% 'A' category stress level for
Tier 1 aircraft.
These assumptions produce a maximum stress loan-to-value (LTV) of
90.9% through the life of the deal, which is unchanged when
compared to 90.9% as of Fitch's previous review in September 2019.
The stressed LTV implies full recovery prior to default for the
senior tranche holders in what Fitch considers to be a harsh stress
scenario and the stress results support the 'A-' rating of the
class A certificates.
The 737-800 remains one of the most desirable aircraft on the
market and is expected to be highly liquid should the aircraft need
to be remarketed. In the short term, 737-800 secondary market
values are further supported by the ongoing grounding of the 737
MAX, which increases its confidence that this transaction remains
sufficiently overcollateralized.
B Tranche Rating: The 'B' rating for the B tranche is reached by
notching up from NAS's standalone credit profile. Fitch notches
subordinated tranche ratings from the airline's Issuer Default
Rating (IDR) based on three primary variables; 1) the affirmation
factor (0-2 notches for issuers in the 'BB' category and 0-3
notches for issuers in the 'B' category and lower), 2) the presence
of a liquidity facility, (0-1 notch), and 3) recovery prospects. In
this case the uplift is based on a moderate affirmation factor,
availability of the liquidity facility and strong recovery
prospects. The rating is also supported by the class B certificate
holders' right in certain cases to purchase all of the class A
certificates at par plus accrued and unpaid interest.
Affirmation Factor: Fitch considers the affirmation factor for NAS
2016-1 to be moderate primarily driven by the company's equity in
these aircraft and their likelihood of affirmation over the leased
planes in Norwegian's fleet.
In a typical EETC transaction rated by Fitch, the underlying
collateral has clear affirmation advantages over other aircraft in
the obligor airline's fleet. In Fitch's view, this pool of 10
737-800s does not have a significant age advantage over the other
737-800s in the company's fleet because the entire fleet of NAS's
737-800s is quite young. The 737-800s in this transaction do not
represent the most attractive/fuel efficient aircraft in NAS's
fleet.
DERIVATION SUMMARY
Stressed LTVs for the class A certificates in this transaction are
in line with 'A' rated senior classes of EETCs issued by Spirit
Airlines, Inc., United Airlines, Inc., British Airways, and
American Airlines, Inc. Fitch believes that this transaction's
structure and overcollateralization is comparable with the recent
precedents, and the quality of the underlying collateral pool is as
good or better. The 'A-' rating for the certificates is driven by
Fitch's view that NAS's corporate credit profile is significantly
lower than those of other airlines issuing EETC transactions.
The 'B-' rating on the class B certificates is the lowest rating
assigned to a B tranche by Fitch and is five notches lower than the
class B certificates of EETC transactions issued by American
Airlines (AA 2013-1 and AA 2013-2). The notching differential
between the NAS 2016-1 class B certificates and other class B
certificates is driven by differences in the credit quality of the
airlines, affirmation factors, and recovery prospects. The rating
of the class B certificates for NAS are based on a moderate
affirmation factor.
KEY ASSUMPTIONS
Fitch's key assumptions within its rating case for the issuer
include a harsh downside scenario in which NAS declares bankruptcy,
chooses to reject the collateral aircraft, and where the aircraft
are remarketed in the midst of a severe slump in aircraft values.
RATING SENSITIVITIES
Senior tranche ratings are primarily driven by a top-down analysis
based on the value of the collateral. Therefore, a negative rating
action could be driven by an unexpected decline in collateral
values. For the 737-800s in the deal, values could be impacted by
the growth of the 737 MAX global fleet. Fitch is not considering
positive actions at this time due to Norwegian's weak credit
quality.
The ratings of the subordinated tranche are influenced by Fitch's
view of NAS's corporate credit profile. Fitch may upgrade or
downgrade the rating commensurate with future movements in
Norwegian's corporate rating. Additionally, the ratings of the
subordinated tranche may be changed should Fitch revise its view of
the affirmation factor which may impact the currently incorporated
uplift, if the recovery prospects change significantly due to an
unexpected decline in collateral values, or if the transaction
deleverages significantly resulting in superior recovery
prospects.
LIQUIDITY AND DEBT STRUCTURE
Liquidity Facility: The certificates benefit from dedicated
18-month liquidity facilities provided by Natixis (A+/F1/Stable).
PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS
All ratings for subordinated tranches are linked to Norwegian
Airline's IDR.
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 entity, either due to
their nature or the way in which they are being managed by the
entity.
NATIONSTAR HECM 2018-2: Moody's Hikes Class M4 Debt Rating to Ba1
-----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of 15 tranches from
4 transactions issued in 2018. The collateral backing the 4
transactions consists of first-lien inactive home equity conversion
mortgages covered by Federal Housing Administration insurance
secured by properties in the US and Puerto Rico along with
Real-Estate Owned properties acquired through conversion of
ownership of reverse mortgage loans that are covered by FHA
insurance.
The complete rating action is as follows:
Issuer: Finance of America Structured Securities Trust 2018-HB1
Cl. M1, Upgraded to Aa1 (sf); previously on Oct 4, 2018 Definitive
Rating Assigned Aa3 (sf)
Cl. M2, Upgraded to Aa2 (sf); previously on May 29, 2019 Upgraded
to A1 (sf)
Cl. M3, Upgraded to A2 (sf); previously on May 29, 2019 Upgraded to
Baa1 (sf)
Issuer: Nationstar HECM Loan Trust 2018-2
Cl. M1, Upgraded to Aaa (sf); previously on May 29, 2019 Upgraded
to Aa2 (sf)
Cl. M2, Upgraded to Aa2 (sf); previously on May 29, 2019 Upgraded
to A1 (sf)
Cl. M3, Upgraded to A3 (sf); previously on May 29, 2019 Upgraded to
Baa2 (sf)
Cl. M4, Upgraded to Ba1 (sf); previously on Jul 30, 2018 Definitive
Rating Assigned Ba3 (sf)
Issuer: Nationstar HECM Loan Trust 2018-3
Cl. M1, Upgraded to Aaa (sf); previously on May 29, 2019 Upgraded
to Aa2 (sf)
Cl. M2, Upgraded to Aa3 (sf); previously on May 29, 2019 Upgraded
to A2 (sf)
Cl. M3, Upgraded to A3 (sf); previously on May 29, 2019 Upgraded to
Baa2 (sf)
Cl. M4, Upgraded to Ba1 (sf); previously on May 29, 2019 Upgraded
to Ba2 (sf)
Issuer: RMF Buyout Issuance Trust 2018-1
Cl. M1, Upgraded to Aa1 (sf); previously on Nov 28, 2018 Definitive
Rating Assigned Aa3 (sf)
Cl. M2, Upgraded to A1 (sf); previously on Nov 28, 2018 Definitive
Rating Assigned A3 (sf)
Cl. M3, Upgraded to Baa1 (sf); previously on Nov 28, 2018
Definitive Rating Assigned Baa3 (sf)
Cl. M4, Upgraded to Ba1 (sf); previously on Nov 28, 2018 Definitive
Rating Assigned Ba3 (sf)
RATINGS RATIONALE
The rating actions are primarily due to the buildup in credit
enhancement due to the fast liquidations to date. The pool factors
of Nationstar 2018-2, Nationstar 2018-3, Finance of America
2018-HB1 and RMF 2018-1 as of October 2019 are 55%, 67%, 65% and
75% respectively. A good portion of the collateral remaining is
currently in foreclosure or REO. A loan in Foreclosure or REO
indicates that the collections are either imminent or in the near
future.
For Nationstar transactions, the Class A notes have paid down
significantly. The tranche factor for Class A notes in Nationstar
2018-2 and Nationstar 2018-3 is 21% and 41%, respectively. 434
loans of the remaining collateral (by count) in Nationstar 2018-2
and 673 loans of the collateral (by count) in Nationstar 2018-3 are
currently in Foreclosure or REO.
The tranche factor for Class A notes in Finance of America 2018-HB1
is 39%. 890 loans of the remaining collateral (by count) is
currently in Foreclosure or REO.
The tranche factor for Class A notes in RMF 2018-1 is 46%. 1,006
loans of the remaining collateral (by count) is currently in
Foreclosure or REO.
The rating actions take into consideration the most updated
performance which includes improvement in credit enhancement and
liquidations to date.
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 "Reverse Mortgage
Securitizations Methodology" published in November 2019.
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 stress could
drive the ratings up. Transaction performance depends greatly on
the US macro economy and housing market. Property markets could
improve from its original expectations resulting in appreciation in
the value of the mortgaged property and faster property sales.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of stresses could drive the
ratings down. Transaction performance depends greatly on the US
macro economy and housing market. Property markets could
deteriorate from its original expectations resulting in
depreciation in the value of the mortgaged property and slower
property sales.
PARTS PRIVATE 2007-CT1: Fitch Affirms Csf Rating on Class C Debt
----------------------------------------------------------------
Fitch Ratings affirmed the following notes issued by PARTS Private
Student Loan Trust Series 2007-CT1:
RATING ACTIONS
PARTS Private Student Loan Trust Series 2007-CT1
Class A 702148AA5; LT AAAsf Affirmed; previously at AAAsf
Class B 702148AB3; LT CCsf Affirmed; previously at CCsf
Class C 702148AC1; LT Csf Affirmed; previously at Csf
The affirmation reflects the stable portfolio performance since
last review in January 2019. In line with Fitch's private student
loan ABS criteria, no cash flow analysis was conducted because the
class A note are at their highest achievable rating, and the class
B and C notes remain undercollateralized. In addition, none of the
variables affecting transaction performance have changed beyond
what was expected as of last surveillance review.
KEY RATING DRIVERS
Collateral Performance: The PARTS 2007-CT1 trust is collateralized
by approximately $21 million of private student loans originated
according to either TERI or LEARN underwriting guidelines by
Liberty Bank, N.A. or Charter One Bank, N.A. Education Funding
Resources, LLC, a wholly-owned subsidiary of Student Loan Xpress,
Inc. (SLX). SLX became a wholly owned subsidiary of CIT Group, Inc.
in 2005. It ceased originating loans on April 3, 2008. Fitch does
not give any credit to the guarantees provided by The Education
Resources Institute (TERI) or the Lutheran Education Assistance
Resource Network (LEARN). Both parties have stopped paying claims
filed by the trust.
Payment Structure: Credit enhancement (CE) for the class A notes is
provided by overcollateralization (the excess of trust's asset
balance over bond balance), excess spread, and the subordination of
the class B and C notes. CE for the class B notes is provided by
excess spread and the subordination of the class C notes. CE for
the class C notes is provided by excess spread.
As of the November 2019 distribution date, the class A, B and C
parity ratios (excluding claims in process) were 490%, 98.1, and
73.1 respectively. Liquidity support is provided by a reserve fund,
currently fully funded at $1 million, which is the minimum required
reserve fund balance.
The class C junior subordinate note interest and the turbo triggers
are currently in effect. As a result, interest is not paid on the
class C notes, the class A, B and C notes are redeemed
sequentially, and no cash can be released from the trust.
Operational Capabilities: Day-to-day servicing is provided by
American Education Services (AES), a wholly-owned subsidiary of
Pennsylvania Higher Education Assistance Agency (PHEAA). Fitch
considers AES an acceptable servicer for the trust portfolio.
RATING SENSITIVITIES
As Fitch's base case default proxy is derived primarily from
historical collateral performance, actual performance may differ
from the expected performance, resulting in higher loss levels than
the base case. This will result in a decline in available CE and
the remaining loss coverage levels available to the notes.
Therefore, note ratings may be susceptible to potential negative
rating actions depending on the extent of the decline in the
coverage.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch 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 PARTS 2007-CT1,
either due to their nature or the way in which they are being
managed.
RAMP TRUST 2005-RZ4: Moody's Hikes Class M-4 Debt Rating to B1
--------------------------------------------------------------
Moody's Investors Service upgraded the ratings of 10 tranches from
five transactions backed Subprime loans.
Complete rating actions are as follows:
Issuer: Popular ABS Mortgage Pass-Through Trust 2006-E
Cl. A-3, Upgraded to A1 (sf); previously on Feb 27, 2018 Upgraded
to Baa1 (sf)
Issuer: RAMP Series 2005-EFC2 Trust
Cl. M-5, Upgraded to Aaa (sf); previously on Mar 6, 2018 Upgraded
to Aa2 (sf)
Cl. M-6, Upgraded to A3 (sf); previously on Mar 6, 2018 Upgraded to
Baa3 (sf)
Issuer: RAMP Series 2005-EFC5 Trust
Cl. M-2, Upgraded to Aaa (sf); previously on Mar 28, 2017 Upgraded
to Aa2 (sf)
Cl. M-3, Upgraded to A2 (sf); previously on Mar 28, 2017 Upgraded
to Baa2 (sf)
Cl. M-4, Upgraded to Ba3 (sf); previously on Mar 28, 2017 Upgraded
to B2 (sf)
Issuer: RAMP Series 2005-EFC6 Trust
Cl. M-2, Upgraded to Aaa (sf); previously on Nov 17, 2017 Upgraded
to Aa2 (sf)
Cl. M-3, Upgraded to A2 (sf); previously on Nov 17, 2017 Upgraded
to Baa2 (sf)
Issuer: RAMP Series 2005-RZ4 Trust
Cl. M-3, Upgraded to Aa1 (sf); previously on Mar 6, 2018 Upgraded
to A1 (sf)
Cl. M-4, Upgraded to B1 (sf); previously on Mar 6, 2018 Upgraded to
Caa1 (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to improvement 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 3.5% in November 2019 from 3.7% in
November 2018. Moody's forecasts an unemployment central range of
3.8% to 4.2% for the 2020 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 2020. 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.
REALT 2015-1: Fitch Affirms Bsf Rating on Class G Certs
-------------------------------------------------------
Fitch Ratings affirmed eight classes of Real Estate Asset Liquidity
Trust's (REALT) commercial mortgage pass-through certificates,
series 2015-1. All currencies are in Canadian dollars.
RATING ACTIONS
REAL-T 2015-1
Class A-1 75585RMA0; LT AAAsf Affirmed; previously at AAAsf
Class A-2 75585RMB8; LT AAAsf Affirmed; previously at AAAsf
Class B 75585RMD4; LT AAsf Affirmed; previously at AAsf
Class C 75585RME2; LT Asf Affirmed; previously at Asf
Class D 75585RMF9; LT BBBsf Affirmed; previously at BBBsf
Class E 75585RMG7; LT BBB-sf Affirmed; previously at BBB-sf
Class F 75585RMH5; LT BBsf Affirmed; previously at BBsf
Class G 75585RMJ1; LT Bsf Affirmed; previously at Bsf
KEY RATING DRIVERS
Stable Loss Expectations/Fitch Loans of Concern: Overall loss
expectations have remained stable since Fitch's prior review.
However, the largest loan in the pool, Alta Vista Manor Retirement
Ottawa (9.9%), remains a Fitch Loan of Concern (FLOC). The loan is
secured by a 174-unit independent living property located in
Ottawa, ON. The YE 2018 NOI represents a 60% decline from YE 2017.
As of March 2019, occupancy has declined to 81% from 96% at
issuance. The servicer reports that competition and other economic
factors have caused the drop in occupancy. The loan, however,
remains current and is fully guaranteed by the sponsor, which is a
joint venture (JV) between Welltower, Inc. and Revera, Inc., two
leading owner/operators in the senior housing sector. The JV
acquired the original sponsor, Regal Lifestyle Communities, Inc.,
in October 2015. Fitch considered the significant recourse of the
borrowers/sponsors in its analysis and recommendations.
The 16A Street Multi-Res Calgary loan (1.06%) also remains a FLOC.
It is secured by a 24 unit multi-family property located in
Calgary, AB. The YE 2018 NOI has declined 29% since issuance due to
lower rental revenues and an increase in property taxes.
Increasing Credit Enhancement: Credit enhancement (CE) has
increased since issuance due to continued amortization. As of the
November 2019 distribution date, the pool's aggregate principal
balance has paid down by 18.3% to $273.5 million from $334.8
million at issuance. Five loans paid in full at their respective
maturities in 2019 resulting in approximately $21 million in
paydown. There are no full or partial interest only loans in the
pool.
Canadian Loan Attributes: The ratings reflect strong Canadian
commercial real estate loan performance, including a low
delinquency rate and low historical losses of less than 0.1%, as
well as positive loan attributes such as short amortization
schedules, recourse to the borrower and additional guarantors.
Approximately 76% of the loans feature full or partial recourse to
the borrowers and/or sponsors.
RATING SENSITIVITIES
The Rating Outlook for class G remains Negative due to Fitch's
concerns with the performance of the Alta Vista Manor Retirement
Ottawa loan, as occupancy and NOI has declined since issuance. A
downgrade is possible with continued underperformance or in the
unlikely event that the loan defaults. Conversely, the Negative
Outlook may be revised with improved performance of the loan.
Outlooks on classes A-1 through F remain Stable due to increasing
CE, continued paydown, and overall stable collateral performance.
Fitch does not foresee positive or negative ratings migration for
these classes unless a material economic or asset level event
changes the underlying transaction's portfolio-level metrics.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
No third-party due diligence was provided or reviewed in relation
to this rating.
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.
SANTANDER PRIME 2018-A: S&P Affirms B (sf) Rating on Cl. F Notes
----------------------------------------------------------------
S&P Global Ratings raised its ratings on two classes and affirmed
its ratings on four classes from Santander Prime Auto Issuance
Notes (SPAIN) 2018-A. The transaction is an asset-backed securities
(ABS) transaction backed by retail installment sale contracts to
prime and near prime borrowers secured by new and used automobiles,
light duty trucks, and vans. The contracts are originated and
serviced by Santander Consumer USA Inc. under the Chrysler Capital
platform.
S&P said, "The rating actions reflect the transaction's collateral
performance to date and our views regarding future collateral
performance, the economic outlook, the transaction's structure, and
the respective credit enhancement levels. In addition, our analysis
incorporated secondary credit factors, such as credit stability,
payment priorities under various scenarios, and sector- and
issuer-specific analyses. Considering all these factors, we believe
the creditworthiness of the notes remains consistent with the
raised and affirmed ratings."
"SPAIN 2018-A is performing in line with our initial expectations;
therefore, we maintained our expected lifetime credit loss on the
transaction at its initial 4.50%-5.00% range. As of the November
2019 distribution date, the transaction had 21 months of
performance, with 46.12% of the pool remaining, 2.18% in cumulative
net credit losses, and 1.52% of 60-plus-day delinquencies."
Since closing, the credit support for each class has increased as a
percentage of the amortizing pool balance. The transaction has a
pro rata principal payment priority and credit enhancement
comprising a non-amortizing reserve account and subordination. The
reserve account is at the target level of 0.25% of the initial
collateral balance.
Table 1
Hard Credit Support
As of the November 2019 distribution date
Total hard
credit support Current total hard
Series Class at issuance (%)(i) credit support (%)(i)
2018-A A 21.85 34.63
2018-A B 18.35 27.04
2018-A C 11.65 12.52
2018-A D 8.30 9.16
2018-A E 5.90 6.76
2018-A F 2.15 3.01
(i)As a percentage of the collateral.
S&P said, "The raised and affirmed ratings reflect our view that
the total credit support as a percentage of the amortizing pool
balance, compared with our expected remaining losses, is
commensurate with each raised and affirmed rating. We incorporated
an analysis of the current hard credit enhancement compared to the
remaining expected CNL for those classes where hard credit
enhancement alone without credit to the expected excess spread was
sufficient in our opinion to upgrade the notes to 'AAA (sf)'. For
the other classes, we incorporated a cash flow analysis to assess
the loss coverage level, giving credit to excess spread. Our
various cash flow scenarios included forward-looking assumptions on
recoveries, the timing of losses, and voluntary absolute prepayment
speeds that we believe are appropriate given each transaction's
performance to date. Aside from our break-even cash flow analysis,
we also conducted sensitivity analyses for this transaction to
determine the impact that a moderate ('BBB') stress scenario would
have on our ratings if losses begin trending higher than our
revised base-case loss expectation."
"We believe the results have demonstrated that all of the classes
have adequate credit enhancement for the raised and affirmed
ratings. We will continue to monitor the performance of all of the
outstanding transactions to determine if the credit enhancement
remains sufficient, in our view, to cover our CNL expectation under
our stress scenarios for each of the rated classes."
RATINGS RAISED
Santander Prime Auto Issuance Notes 2018-A
Rating
Class To From
A AAA (sf) AA+ (sf)
B AA+ (sf) AA- (sf)
RATINGS AFFIRMED
Santander Prime Auto Issuance Notes 2018-A
Class Rating
C A- (sf)
D BBB (sf)
E BB (sf)
F B (sf)
SHACKLETON 2019-XV: S&P Assigns BB- (sf) Rating to Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Shackleton 2019-XV CLO
Ltd.'s floating-rate notes.
The note issuance is a collateralized loan obligation (CLO)
transaction backed by broadly syndicated speculative-grade (rated
'BB+' and lower) senior secured term loans that are governed by
collateral quality tests and managed by Alcentra NY LLC, a majority
owned subsidiary of The Bank of New York Mellon Corp.
The ratings reflect:
-- The diversified collateral pool.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
Shackleton 2019-XV CLO Ltd./Shackleton 2019-XV CLO LLC
Class Rating Amount (mil. $)
A AAA (sf) 256.00
B AA (sf) 42.00
C (deferrable) A (sf) 30.00
D (deferrable) BBB (sf) 20.00
E (deferrable) BB- (sf) 18.00
Subordinated notes NR 37.75
NR--Not rated.
SOUND POINT XXV: Moody's Gives (P)Ba3 Rating to $18MM Class E Notes
-------------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to ten
classes of notes to be issued by Sound Point CLO XXV, Ltd.
Moody's rating action is as follows:
US$4,000,000 Class X Senior Secured Floating Rate Notes due 2033
(the "Class X Notes"), Assigned (P)Aaa (sf)
US$275,000,000 Class A-1a Senior Secured Floating Rate Notes due
2033 (the "Class A-1a Notes"), Assigned (P)Aaa (sf)
US$13,000,000 Class A-1b Senior Secured Fixed Rate Notes due 2033
(the "Class A-1b Notes"), Assigned (P)Aaa (sf)
US$43,000,000 Class B-1a Senior Secured Floating Rate Notes due
2033 (the "Class B-1a Notes"), Assigned (P)Aa2 (sf)
US$11,000,000 Class B-1b Senior Secured Fixed Rate Notes due 2033
(the "Class B-1b Notes"), Assigned (P)Aa2 (sf)
US$12,000,000 Class C-1a Mezzanine Secured Deferrable Floating Rate
Notes due 2033 (the "Class C-1a Notes"), Assigned (P)A2 (sf)
US$1,500,000 Class C-1b Mezzanine Secured Deferrable Fixed Rate
Notes due 2033 (the "Class C-1b Notes"), Assigned (P)A2 (sf)
US$16,875,000 Class C-2 Mezzanine Secured Deferrable Floating Rate
Notes due 2033 (the "Class C-2 Notes"), Assigned (P)A3 (sf)
US$21,375,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2033 (the "Class D Notes"), Assigned (P)Baa3 (sf)
US$18,900,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2033 (the "Class E Notes"), Assigned (P)Ba3 (sf)
The Class X Notes, the Class A-1a Notes, the Class A-1b Notes, the
Class B-1a Notes, the Class B-1b Notes, the Class C-1a Notes, the
Class C-1b Notes, the Class C-2 Notes, the Class D Notes and the
Class E Notes are referred to herein, collectively, as the "Rated
Notes."
RATINGS RATIONALE
The rationale for the ratings is based on a consideration of the
risks associated with the CLO's portfolio and structure as
described in its methodology.
Sound Point CLO XXV is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 95.0% of the portfolio must
consist of first lien senior secured loans, cash, and eligible
investments, and up to 5.0% of the portfolio may consist of second
lien loans, senior unsecured loans and first-lien last out loans.
Moody's expects the portfolio to be approximately 67% ramped as of
the closing date.
Sound Point Capital Management, LP will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's five year reinvestment period.
Thereafter, subject to certain restrictions, the Manager may
reinvest unscheduled principal payments and proceeds from sales of
credit risk assets.
In addition to the Rated Notes, the Issuer will issue subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in March 2019.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $450,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2675
Weighted Average Spread (WAS): 3.56%
Weighted Average Coupon (WAC): 7.5%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 9.0 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
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.
TOWD POINT 2019-SJ3: Fitch Assigns Bsf Rating on 3 Tranches
-----------------------------------------------------------
Fitch Ratings assigned ratings and Rating Outlooks to Towd Point
Mortgage Trust 2019-SJ3.
RATING ACTIONS
Towd Point Mortgage Trust 2019-SJ3
Class A1; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A1A; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A1AX; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A2; LT AAsf New Rating; previously at AA(EXP)sf
Class A2A; LT AAsf New Rating; previously at AA(EXP)sf
Class A2AX; LT AAsf New Rating; previously at AA(EXP)sf
Class A3; LT AAsf New Rating; previously at AA(EXP)sf
Class A4; LT Asf New Rating; previously at A(EXP)sf
Class A5; LT BBBsf New Rating; previously at BBB(EXP)sf
Class A6; LT NRsf New Rating; previously at NR(EXP)sf
Class B1; LT BBsf New Rating; previously at BB(EXP)sf
Class B1A; LT BBsf New Rating; previously at BB(EXP)sf
Class B1AX; LT BBsf New Rating; previously at BB(EXP)sf
Class B2; LT Bsf New Rating; previously at B(EXP)sf
Class B2A; LT Bsf New Rating; previously at B(EXP)sf
Class B2AX; LT Bsf New Rating; previously at B(EXP)sf
Class B3; LT NRsf New Rating; previously at NR(EXP)sf
Class B3A; LT NRsf New Rating; previously at NR(EXP)sf
Class B3AX; LT NRsf New Rating; previously at NR(EXP)sf
Class B4; LT NRsf New Rating; previously at NR(EXP)sf
Class B4A; LT NRsf New Rating; previously at NR(EXP)sf
Class B4AX; LT NRsf New Rating; previously at NR(EXP)sf
Class B5; LT NRsf New Rating; previously at NR(EXP)sf
Class M1; LT Asf New Rating; previously at A(EXP)sf
Class M1A; LT Asf New Rating; previously at A(EXP)sf
Class M1AX; LT Asf New Rating; previously at A(EXP)sf
Class M2; LT BBBsf New Rating; previously at BBB(EXP)sf
Class M2A; LT BBBsf New Rating; previously at BBB(EXP)sf
Class M2AX; LT BBBsf New Rating; previously at BBB(EXP)sf
TRANSACTION SUMMARY
The notes are supported by one collateral group that consists of
13,889 seasoned performing and re-performing second-lien mortgages
with a total balance of approximately $725 million, which includes
$28 million, or 3.9%, of the aggregate pool balance in
non-interest-bearing deferred principal amounts, as of the cut-off
date.
KEY RATING DRIVERS
Closed-End Second Liens (Negative): The collateral pool consists of
100% closed-end, second lien, seasoned performing loans and RPLs
with a weighted average (WA) model credit score of 702, sustainable
loan to value ratio (sLTV) of 73.1%, 50.3% 36 months of clean pay
history (under the MBA method) and seasoning of approximately 160
months. Fitch assumes 100% loss severity (LS) on all defaulted
second lien loans. Fitch assumes second lien loans default at a
rate comparable to first lien loans, after controlling for credit
attributes, no additional default penalty was applied.
Re-Performing Loans (Negative): No loans were delinquent as of the
cut-off date, and 64.3% of the pool has been "current" for over two
years. 35.7% of loans are current but have recent delinquencies or
incomplete pay strings. Of the total pool, 66.4% have received
modifications. The average time since loan modification is
approximately 75 months.
Updated Property Valuations (Mixed): Fitch's analysis incorporated
a number of different primary valuation methods for the loans in
the pool. Close to 41% of the loans in the pool received a BPO with
no adjustment and 56% of the loans had an AVM used to value the
property. Fitch applied an average haircut of 6.7% to the AVM
values. The remaining loans were a mix of full indexation with a 5%
haircut, full home price indexation since initial valuation and HDI
values haircut by 5%.
Sequential-Pay Structure With Higher CE (Positive): The
transaction's cash flow is based on a sequential-pay structure
whereby the subordinate classes do not receive principal until the
senior classes are repaid in full. Losses are allocated in
reverse-sequential order. Furthermore, a provision to re-allocate
principal to pay interest on the 'AAAsf' and 'AAsf' rated notes
prior to other principal distributions is supportive of timely
interest payments to those classes. Notably, the bonds benefit from
additional credit enhancement (CE) above the minimum needed for
each respective rating category. While the additional CE is not
enough to warrant a higher initial rating, it will provide added
protection against downgrades and losses for investors.
Realized Loss and Writedown Feature (Positive): Loans that are
delinquent for 150 days or more under the OTS method, will be
considered a realized loss and, therefore, will cause the most
subordinated class to be written down. Despite the 100% LS assumed
for each defaulted loan, Fitch views the writedown feature
positively as cash flows will not be needed to pay timely interest
to the 'AAAsf' and 'AAsf' notes during loan resolution by the
servicers. In addition, subsequent recoveries realized after the
writedown at 150 days delinquent will be passed on to bondholders
as principal.
Low Operational Risk (Positive): Operational risk is well
controlled for in this RPL transaction. FirstKey Mortgage, LLC
(FirstKey) has a well-established track record in RPL activities
and has an 'average' aggregator assessment from Fitch. Select
Portfolio Servicing, Inc. (SPS) and Specialized Loan Servicing
(SLS) will perform primary and special servicing functions for this
transaction and is rated as an RPS1-/RPS2+ servicer for this
product type. The issuer's retention of at least 5% of the bonds
helps to ensure an alignment of interest between issuer and
investor
Low Aggregate Servicing Fee (Negative): Fitch determined that the
initial servicing fee of 31 basis points (bps) may be insufficient
to attract subsequent servicers under a period of poor performance
and high delinquencies. In the event that a successor servicer is
appointed, the servicing fee can be increased to an amount greater
than the cap. To reflect the risk of an increased servicing fee,
Fitch assumed a 60-bp servicing fee in its cash flow analysis to
test the adequacy of CE and excess spread.
Third-Party Due Diligence (Neutral): Third-party due diligence was
performed by 'Acceptable - Tier 1' firms on approximately 25%/30%
(loan count/UPB) of the loans and confirmed high overall loan
quality. The results of the reviews indicated low operational risk
with approximately 10% of the loans assigned a 'C' or 'D' grade for
compliance, which is consistent with overall industry averages.
Expected loss adjustments were not applied for the due diligence
findings since 100% LS is already assumed for these loans.
Representation Framework (Negative): Fitch considers the
representation, warranty and enforcement (RW&E) mechanism construct
for this transaction to generally be consistent with what it views
as a Tier 2 framework, due to the inclusion of knowledge qualifiers
and the exclusion of certain reps that Fitch typically expects for
RPL transactions. After a threshold event (which occurs when
realized loss exceeds the class principal balance of the B3, B4 and
B5 notes), loan reviews for identifying breaches will be conducted
on loans that experience a realized loss of $10,000 or more. To
account for the Tier 2 framework, Fitch increased its 'AAAsf' loss
expectations by roughly 362 bps to account for a potential increase
in defaults and losses arising from weaknesses in the reps.
Limited Life of Rep Provider (Negative): FirstKey, as rep provider,
will only be obligated to repurchase a loan due to breaches prior
to the payment date in December 2020. Thereafter, a reserve fund
will be available to cover amounts due to noteholders for loans
identified as having rep breaches. Amounts on deposit in the
reserve fund, as well as the increased level of subordination, will
be available to cover additional defaults and losses resulting from
rep weaknesses or breaches occurring on or after the payment date
in December 2020.
Deferred Amounts (Negative): Non-interest-bearing principal
forbearance amounts totaling $28 million (3.9%) of the UPB are
outstanding on 2,147 loans. Fitch included the deferred amounts
when calculating the borrower's loan to value ratio (LTV) and
sustainable LTV (sLTV), despite the lower payment and amounts not
being owed during the term of the loan. The inclusion resulted in a
higher probability of default (PD) than if there were no deferrals.
Because deferred amounts are due and payable by the borrower at
maturity, Fitch believes that borrower default behavior for these
loans will resemble that of the higher LTVs, as exit strategies
(that is, sale or refinancing) will be limited relative to those
borrowers with more equity in the property.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the metropolitan statistical area (MSA) and
national levels. The implied rating sensitivities are only an
indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to or be
considered in the surveillance of the transaction.
Fitch conducted sensitivity analysis determining how the ratings
would react to steeper MVDs at the national level. The analysis
assumes MVDs of 10%, 20% and 30%, in addition to the
model-projected 37.3% at 'AAAsf'. The analysis indicates there is
some potential rating migration with higher MVDs, compared with the
model projection.
Fitch also conducted sensitivity analysis to determine the stresses
to MVDs that would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'.
WELLS FARGO 2015-NXS1: Fitch Affirms B-sf Ratings on 2 Tranches
---------------------------------------------------------------
Fitch Ratings upgraded one class and affirmed 14 classes of Wells
Fargo Commercial Mortgage Trust 2015-NXS1 commercial mortgage
pass-through certificates.
RATING ACTIONS
WFCM 2015-NXS1
Class A-1 94989HAC4; LT PIFsf Paid In Full; previously at AAAsf
Class A-2 94989HAF7; LT AAAsf Affirmed; previously at AAAsf
Class A-3 94989HAJ9; LT AAAsf Affirmed; previously at AAAsf
Class A-4 94989HAM2; LT AAAsf Affirmed; previously at AAAsf
Class A-5 94989HAQ3; LT AAAsf Affirmed; previously at AAAsf
Class A-S 94989HAW0; LT AAAsf Affirmed; previously at AAAsf
Class A-SB 94989HAT7; LT AAAsf Affirmed; previously at AAAsf
Class B 94989HBF6; LT AAsf Upgrade; previously at AA-sf
Class C 94989HBJ8; LT A-sf Affirmed; previously at A-sf
Class D 94989HBM1; LT BBB-sf Affirmed; previously at BBB-sf
Class E 94989HBR0; LT BB-sf Affirmed; previously at BB-sf
Class F 94989HBU3; LT B-sf Affirmed; previously at B-sf
Class PEX 94989HBQ2; LT A-sf Affirmed; previously at A-sf
Class X-A 94989HAZ3; LT AAAsf Affirmed; previously at AAAsf
Class X-E 94989HCA6; LT BB-sf Affirmed; previously at BB-sf
Class X-F 94989HCD0; LT B-sf Affirmed; previously at B-sf
KEY RATING DRIVERS
Increases in Credit Enhancement: The upgrade to class B reflects
pool paydown and subsequent increase in credit enhancement (CE).
Since Fitch's last rating action, the Patriots Park loan ($95
million) has been paid in full resulting in increased CE to the
senior classes. The loan was in special servicing for a
non-monetary default, but was fully repaid in October 2019. A loss
of approximately $950,000 was applied to class G due to special
servicing fees. As of the November 2019 distribution date, the
pool's aggregate principal balance has been paid down by 13.5% to
$826.2 million from $955.2 million at issuance. Five loans (7.7%)
have been defeased. Interest shortfalls are currently affecting
class G.
Of the current pool, six loans (17%) are full-term interest-only
and 11 loans (30.7%) are partial-term interest-only that have not
started to amortize. Additionally, there are 10 (13%) anticipated
repayment date (ARD) loans, of which two loans (7.5%) are past
their ARD, but remain current.
Overall Stable Loss Expectations: The performance of the majority
of the pool remains stable and in line with issuance expectations.
However, there are three loans (1.6%) in special servicing. The
loans are related and were transferred in June 2019 due to imminent
monetary default. All three properties are medical office buildings
located in Pennsylvania and are at least 75% leased to CH Hospital
of Allentown, LP, which is in the process of being acquired by
another hospital group. According to the servicer, a potential
forbearance agreement is being contemplated to allow for leases to
be signed with a new company. In addition, the Quadrangle Corporate
Park loan (1.2%) has been flagged as a Fitch Loan of Concern due to
the near term lease expiration of the property's largest tenant in
December 2019.
Single Tenant Properties: The pool consists of 21 (28.7%)
single-tenanted properties, including collateral for two of the top
10 loans: Stanford Research Park (6.1%) and 45 Waterview Boulevard
(3.2%).
RATING SENSITIVITIES
The Rating Outlooks for the remaining classes remain Stable. Fitch
does not foresee positive or negative ratings migration for these
classes until a material economic or asset-level event changes the
transaction's overall portfolio-level metrics.
[*] Moody's Takes Action on $1.09BB RMBS Issued in 2003-2007
------------------------------------------------------------
Moody's Investors Service upgraded the ratings of 42 tranches and
downgraded the ratings of two tranches from 23 transactions backed
Option ARM, Alt-A and Subprime loans.
Complete rating actions are as follows:
Issuer: First Franklin Mortgage Loan Trust 2004-FF7
Cl. M1, Upgraded to Aa1 (sf); previously on Oct 25, 2017 Upgraded
to A1 (sf)
Issuer: First Franklin Mortgage Loan Trust 2005-FF12
Cl. M-1, Upgraded to Aaa (sf); previously on Oct 16, 2018 Upgraded
to Aa2 (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF9
Cl. I-A, Upgraded to A1 (sf); previously on Jan 30, 2018 Upgraded
to Baa1 (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-WMC2
Cl. M-3, Downgraded to B2 (sf); previously on Jun 22, 2016
Downgraded to B1 (sf)
Issuer: Saxon Asset Securities Trust 2005-1
Cl. M-3, Upgraded to B1 (sf); previously on Sep 22, 2015 Upgraded
to Caa1 (sf)
Issuer: Saxon Asset Securities Trust 2006-1
Cl. M-2, Upgraded to B3 (sf); previously on Feb 4, 2019 Upgraded to
Caa3 (sf)
Issuer: Saxon Asset Securities Trust 2006-2
Cl. A-3C, Upgraded to Aaa (sf); previously on Dec 20, 2018 Upgraded
to Aa1 (sf)
Cl. A-3D, Upgraded to Aa1 (sf); previously on Dec 20, 2018 Upgraded
to Aa2 (sf)
Issuer: Saxon Asset Securities Trust 2007-3
Cl. 1-A, Upgraded to Baa1 (sf); previously on Feb 1, 2019 Upgraded
to Ba1 (sf)
Cl. 2-A2, Upgraded to Ba1 (sf); previously on Feb 1, 2019 Upgraded
to B1 (sf)
Cl. 2-A3, Upgraded to B2 (sf); previously on Feb 1, 2019 Upgraded
to Caa1 (sf)
Cl. 2-A4, Upgraded to B2 (sf); previously on Feb 1, 2019 Upgraded
to Caa1 (sf)
Issuer: Greenpoint Mortgage Funding Trust 2005-AR4
Cl. I-A-2a, Upgraded to Ba3 (sf); previously on Aug 18, 2015
Upgraded to B3 (sf)
Cl. I-A-3, Upgraded to Caa1 (sf); previously on Aug 18, 2015
Upgraded to Caa3 (sf)
Cl. I-A-2b Underlying, Upgraded to Ba3 (sf); previously on Aug 18,
2015 Upgraded to B3 (sf)
Cl. I-A-2b Grantor Trust, Upgraded to Ba3 (sf); previously on Aug
18, 2015 Upgraded to B3 (sf)
Issuer: GreenPoint Mortgage Funding Trust 2006-OH1
Cl. A-1, Upgraded to Caa1 (sf); previously on Dec 9, 2010
Downgraded to Caa3 (sf)
Issuer: Greenpoint Mortgage Funding Trust 2007-AR3
Cl. A1, Upgraded to Caa1 (sf); previously on Dec 9, 2010 Downgraded
to Caa3 (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2006-FLX1
Cl. A-1, Upgraded to Baa1 (sf); previously on Jul 5, 2018 Upgraded
to Ba1 (sf)
Issuer: Lehman XS Trust Series 2005-6
Cl. 1-A1, Upgraded to Caa2 (sf); previously on Sep 2, 2014
Downgraded to Ca (sf)
Cl. 1-A4, Upgraded to Caa2 (sf); previously on Sep 3, 2010
Downgraded to Ca (sf)
Issuer: Lehman XS Trust, Mortgage Pass Through Certificates, Series
2006-14N
Cl. 1-A1A, Upgraded to Caa1 (sf); previously on Sep 4, 2012
Confirmed at Caa3 (sf)
Cl. 1-A1B, Upgraded to Caa3 (sf); previously on Nov 19, 2010
Confirmed at Ca (sf)
Cl. 2-A, Upgraded to Caa2 (sf); previously on Nov 19, 2010
Downgraded to Ca (sf)
Issuer: RASC Series 2005-KS10 Trust
Cl. M-3, Upgraded to Ba1 (sf); previously on Dec 20, 2018 Upgraded
to Ba2 (sf)
Issuer: RASC Series 2006-KS2 Trust
Cl. M-1, Upgraded to Aaa (sf); previously on Apr 12, 2017 Upgraded
to Aa2 (sf)
Cl. M-2, Upgraded to A3 (sf); previously on Apr 12, 2017 Upgraded
to Baa3 (sf)
Issuer: Renaissance Home Equity Loan Trust 2003-2
M-1, Downgraded to B3 (sf); previously on Jun 10, 2013 Upgraded to
B1 (sf)
Issuer: Renaissance Home Equity Loan Trust 2005-1
Cl. AF-4, Upgraded to Baa2 (sf); previously on Jan 26, 2018
Upgraded to Ba2 (sf)
Cl. AF-5, Upgraded to Ba2 (sf); previously on Jan 26, 2018 Upgraded
to Ba3 (sf)
Cl. AF-6, Upgraded to Ba1 (sf); previously on Jan 26, 2018 Upgraded
to Ba2 (sf)
Cl. AV-3, Upgraded to Baa2 (sf); previously on Jan 26, 2018
Upgraded to Ba1 (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-3XS
Cl. M2, Upgraded to B3 (sf); previously on Dec 24, 2018 Upgraded to
Caa1 (sf)
Issuer: Structured Asset Securities Corp Trust 2004-16XS
Cl. A4A, Upgraded to A1 (sf); previously on Dec 28, 2018 Upgraded
to A3 (sf)
Cl. A3A, Upgraded to A2 (sf); previously on Dec 28, 2018 Upgraded
to Baa1 (sf)
Cl. A4B, Upgraded to A1 (sf); previously on Dec 28, 2018 Upgraded
to A3 (sf)
Underlying Rating: Upgraded to A1 (sf); previously on Dec 28, 2018
Upgraded to A3 (sf)
Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1,
Outlook Developing on Dec 12, 2018.)
Cl. A3B, Upgraded to A2 (sf); previously on Dec 28, 2018 Upgraded
to Baa1 (sf)
Underlying Rating: Upgraded to A2 (sf); previously on Dec 28, 2018
Upgraded to Baa1 (sf)
Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1,
Outlook Developing on Dec 12, 2018.)
Issuer: Structured Asset Securities Corp Trust 2004-9XS
Cl. 1-A5, Upgraded to Baa3 (sf); previously on Dec 8, 2014 Upgraded
to Ba3 (sf)
Underlying Rating: Upgraded to Baa3 (sf); previously on Dec 8, 2014
Upgraded to Ba3 (sf)
Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1,
Outlook Developing on Dec 12, 2018.)
Cl. 1-A6, Upgraded to Baa2 (sf); previously on Dec 8, 2014 Upgraded
to Ba2 (sf)
Underlying Rating: Upgraded to Baa2 (sf); previously on Dec 8, 2014
Upgraded to Ba2 (sf)
Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1,
Outlook Developing on Dec 12, 2018.)
Issuer: Structured Asset Securities Corp Trust 2006-WF2
Cl. M1, Upgraded to Aaa (sf); previously on Dec 17, 2018 Upgraded
to Aa3 (sf)
Cl. M2, Upgraded to B2 (sf); previously on Dec 17, 2018 Upgraded to
Caa2 (sf)
Issuer: Structured Asset Securities Corp Trust 2007-WF1
Cl. A1, Upgraded to Ba3 (sf); previously on Aug 8, 2017 Upgraded to
B2 (sf)
Cl. A5, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded
to C (sf)
Cl. A6, Upgraded to Ba3 (sf); previously on Aug 8, 2017 Upgraded to
B2 (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to an improvement in the
credit enhancement available to the bonds. The rating downgrades
are primarily due to deteriorating credit enhancement and pool
performance. The rating downgrade on Cl. M-3 from Morgan Stanley
ABS Capital I Inc. Trust 2005-WMC2 is due to the outstanding
interest shortfalls on the bond that are not expected to be
recouped. 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 3.5% in November 2019 from 3.7%
in November 2018. Moody's forecasts an unemployment central range
of 3.8% to 4.2% for the 2020 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 2020. Lower increases than
Moody's expects or decreases could lead to negative rating actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] Moody's Takes Action on $314.3MM of US RMBS Issued 2003-2007
----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of nine tranches and
downgraded the ratings of 13 tranches from seven RMBS transactions,
backed by Subprime and Alt-A mortgage loans issued by multiple
issuers.
Complete rating actions are as follows:
Issuer: Citigroup Mortgage Loan Trust, Series 2003-HE3
Cl. M-1, Downgraded to B1 (sf); previously on Apr 9, 2012
Downgraded to Ba3 (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2005-4
Cl. A, Upgraded to Ba1 (sf); previously on Jan 9, 2017 Upgraded to
B1 (sf)
Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2004-9
Cl. MV-4, Upgraded to B3 (sf); previously on Dec 20, 2018 Upgraded
to Caa2 (sf)
Issuer: CWABS, Inc., Asset-Backed Certificates, Series 2004-BC5
Cl. M-6, Upgraded to B1 (sf); previously on Dec 20, 2018 Upgraded
to B3 (sf)
Cl. M-7, Upgraded to Ca (sf); previously on Mar 6, 2013 Affirmed C
(sf)
Issuer: Merrill Lynch Mortgage Investors Trust 2005-A8
Cl. A-2A, Upgraded to Aaa (sf); previously on Oct 1, 2018 Upgraded
to Aa1 (sf)
Cl. A-3A3, Upgraded to Aaa (sf); previously on Oct 1, 2018 Upgraded
to Aa1 (sf)
Cl. A-2B1, Upgraded to Aaa (sf); previously on Oct 1, 2018 Upgraded
to Aa1 (sf)
Cl. A-2B2, Upgraded to Aaa (sf); previously on Oct 1, 2018 Upgraded
to Aa2 (sf)
Cl. M-1, Upgraded to Ba1 (sf); previously on Oct 1, 2018 Upgraded
to B1 (sf)
Issuer: Morgan Stanley Mortgage Loan Trust 2007-3XS
Cl. 1-A-1, Downgraded to Ca (sf); previously on Aug 12, 2010
Downgraded to Caa3 (sf)
Cl. 1-A-3-A, Downgraded to Ca (sf); previously on Aug 12, 2010
Downgraded to Caa2 (sf)
Cl. 2-A-2-SS, Downgraded to Ca (sf); previously on Aug 12, 2010
Downgraded to Caa3 (sf)
Cl. 2-A-3-SS, Downgraded to Ca (sf); previously on Aug 12, 2010
Downgraded to Caa3 (sf)
Cl. 2-A-4-SS, Downgraded to Ca (sf); previously on Aug 12, 2010
Downgraded to Caa3 (sf)
Issuer: Morgan Stanley Mortgage Loan Trust 2007-6XS
Cl. 1-A-1, Downgraded to Ca (sf); previously on Aug 12, 2010
Downgraded to Caa2 (sf)
Cl. 1-A-3-SS, Downgraded to Ca (sf); previously on Aug 12, 2010
Downgraded to Caa1 (sf)
Cl. 2-A-2-SS, Downgraded to Ca (sf); previously on Aug 12, 2010
Downgraded to Caa2 (sf)
Cl. 2-A-3-SS, Downgraded to Ca (sf); previously on Aug 12, 2010
Downgraded to Caa2 (sf)
Cl. 2-A-4-SS, Downgraded to Ca (sf); previously on Aug 12, 2010
Downgraded to Caa2 (sf)
Cl. 2-A-5-SS, Downgraded to Ca (sf); previously on Aug 12, 2010
Downgraded to Caa2 (sf)
Cl. 2-A-6-SS, Downgraded to Ca (sf); previously on Aug 12, 2010
Downgraded to Caa2 (sf)
RATINGS RATIONALE
The rating actions reflect the recent performance and Moody's
updated loss expectations on the underlying pools. The rating
upgrades are a result of improving performance of the related pools
and/or an increase in credit enhancement available to the bonds.
The rating downgrades are due to weaker performance of the
underlying collateral and/or the erosion of credit enhancement
available to the bonds. Class M-1 from Citigroup Mortgage Loan
Trust, Series 2003-HE3 is downgraded due to outstanding interest
shortfalls on the bond which are not expected to be recouped as the
bond has weak reimbursement mechanism for interest shortfalls.
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 3.5% in November 2019 from 3.7% in
November 2018. Moody's forecasts an unemployment central range of
3.8% to 4.2% for the 2020 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 2020. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] Moody's Takes Action on $359.2MM RMBS Issued in 2004-2007
-------------------------------------------------------------
Moody's Investors Service upgraded the rating of 13 tranches from
seven transactions and downgraded the rating of one tranche from
one transaction, backed by subprime, Alt-A and option ARM loans,
issued by multiple issuers.
Complete rating actions are as follows:
Issuer: Deutsche Alt-A Securities Mortgage Loan Trust, Series
2007-OA5
Cl. A-1A, Upgraded to A3 (sf); previously on Feb 2, 2017 Upgraded
to Baa2 (sf)
Cl. A-1B, Upgraded to A3 (sf); previously on Feb 2, 2017 Upgraded
to Baa2 (sf)
Issuer: First Horizon Alternative Mortgage Securities Trust
2004-AA3
Cl. A-1, Upgraded to Ba1 (sf); previously on Mar 9, 2017 Upgraded
to Ba3 (sf)
Cl. A-3, Upgraded to Ba1 (sf); previously on Mar 9, 2017 Upgraded
to Ba3 (sf)
Issuer: HarborView Mortgage Loan Trust 2005-15
Cl. X-3A*, Downgraded to C (sf); previously on Feb 13, 2019
Upgraded to Caa2 (sf)
Issuer: Soundview Home Loan Trust 2006-OPT3
Cl. I-A-1, Upgraded to Aa1 (sf); previously on Dec 17, 2018
Upgraded to Aa2 (sf)
Cl. II-A-3, Upgraded to Aa1 (sf); previously on Dec 17, 2018
Upgraded to Aa2 (sf)
Cl. II-A-4, Upgraded to Aa2 (sf); previously on Dec 17, 2018
Upgraded to A1 (sf)
Issuer: Soundview Home Loan Trust 2007-NS1, Asset-Backed
Certificates, Series 2007-NS1
Cl. A-3, Upgraded to Ba1 (sf); previously on Jul 5, 2017 Upgraded
to Ba3 (sf)
Cl. A-4, Upgraded to Ba2 (sf); previously on Jul 5, 2017 Upgraded
to B1 (sf)
Issuer: Bear Stearns ALT-A Trust 2004-3
Cl. A-1, Upgraded to Aa1 (sf); previously on Oct 25, 2018 Upgraded
to A1 (sf)
Issuer: Bear Stearns ALT-A Trust 2005-4
Cl. I-A-2, Upgraded to Aaa (sf); previously on Dec 20, 2018
Upgraded to Aa1 (sf)
Cl. I-M-1, Upgraded to Caa2 (sf); previously on Apr 13, 2017
Upgraded to Ca (sf)
Issuer: Bear Stearns Mortgage Funding Trust 2006-AR3
Cl. I-A-1, Upgraded to Caa1 (sf); previously on Dec 7, 2010
Downgraded to Caa3 (sf)
*Reflects Interest Only Classes
RATINGS RATIONALE
The rating actions reflect the recent performance and Moody's
updated loss expectations on the underlying pools. The rating
upgrades are a result of an increase in credit enhancement
available to the bonds. The downgrade of the rating reflects the
nonpayment of interest for an extended period of at least 12
months. For these bonds, the coupon rate is subject to a
calculation that has reduced the required interest distribution to
zero. Because the coupon on these bonds is subject to changes in
interest rates and/or collateral composition, there is a remote
possibility that they may receive interest in the future.
The principal methodology used in rating all classes except
interest-only classes was "US RMBS Surveillance Methodology"
published in February 2019. The methodologies used in rating the
interest-only classes were "US RMBS Surveillance Methodology"
published in February 2019 and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" 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 3.5% in November 2019 from 3.7% in
November 2018. Moody's forecasts an unemployment central range of
3.8% to 4.2% for the 2020 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 2020. Lower increases than
Moody's expects or decreases could lead to negative rating actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] S&P Takes Various Actions on 35 Classes From 8 US CLO Deals
---------------------------------------------------------------
S&P Global Ratings completed its review of 35 classes of notes from
eight U.S. cash flow CLO transactions. The review resulted in six
upgrades, one downgrade, and 28 affirmations.
After publishing our updated global corporate CLO criteria, "Global
Methodology And Assumptions For CLOs And Corporate CDOs" on June
21, 2019, S&P placed certain ratings that could be affected under
criteria observation (UCO)
Following S&P's review, its ratings on these classes are no longer
under criteria observation and the UCO identifiers were removed.
S&P said, "The rating actions follow the application of our global
corporate CLO criteria and our credit and cash flow analysis of
each transaction, based on their respective trustee reports. While
our analysis of the transactions entailed a review of their
performance, in many cases our rating decisions also resulted from
the application of our new criteria."
Most of these transactions are in their amortization periods and
the senior note balances have declined as they received paydowns.
The notes' lower balances typically increased the
overcollateralization (O/C) levels, which is one of the primary
reasons for the upgrades.
S&P incorporates various considerations into its decisions to
raise, lower, affirm, or limit the ratings when reviewing the
indicative ratings suggested by its projected cash flows. These
considerations are based on transaction-specific performance or
structural characteristics (or both) and their potential effects on
certain classes. Some of these considerations may include:
-- Risk of imminent default;
-- Ability to withstand a steady state scenario or require a
favorable state scenario;
-- Exposure to assets in the 'CCC' rating category;
-- Existing subordination or O/C levels and recent trends;
-- Cushion available for coverage ratios and comparative analysis
with other CLO tranches with similar ratings;
-- Exposure to assets in stressed industries and/or with stressed
market values; and
-- Additional sensitivity runs to account for any of the above.
The affirmations indicate S&P's opinion that the current
enhancement available to those classes is commensurate with their
current ratings.
The lowered rating is primarily due to a decline in each tranche's
credit support at the previous rating level. This decline typically
arises due to various reasons such as par losses, deterioration in
the quality of the assets, or pay-off of higher rated assets that
increase the transaction's exposure to lower quality assets,
haircuts to the O/C tests, or a combination of such factors.
S&P said, "In line with our criteria, our cash flow scenarios
applied forward-looking assumptions on the expected timing and
pattern of defaults, and recoveries upon default, under various
interest rate and macroeconomic scenarios. In addition, our
analysis considered the transactions' ability to pay timely
interest and/or ultimate principal to each of the rated tranches.
The results of the cash flow analysis and other qualitative
factors, as applicable, demonstrated, in our view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with these rating
actions."
"We will continue to review whether the ratings assigned to the
notes remain consistent with the credit enhancement available to
support them and take rating actions as we deem necessary."
A list of Affected Ratings can be viewed at:
https://bit.ly/2RTqqGn
*********
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.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers
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
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
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
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
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The Sunday TCR delivers securitization rating news from the week
then-ending.
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S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
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.
This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The TCR subscription rate is $975 for 6 months delivered via
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are $25 each. For subscription information, contact Peter A.
Chapman at 215-945-7000.
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