/raid1/www/Hosts/bankrupt/TCR_Public/200112.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, January 12, 2020, Vol. 24, No. 11
Headlines
BENEFIT STREET XIX: S&P Assigns BB- (sf) Rating on Class E Notes
BLADE ENGINE 2006-1: Fitch Affirms CCCsf Rating on 2 Tranches
CARLYLE US 2019-4: S&P Assigns BB- (sf) Rating on Class D Notes
COMM 2013-300P: Fitch Affirms BB+sf Rating on Class E Debt
COMM MORTGAGE 2004-LNB2: Fitch Affirms Dsf Rating on 4 Tranches
EXETER AUTOMOBILE 2020-1: S&P Assigns Prelim BB Rating to E Notes
GS MORTGAGE 2020-DUNE: Moody's Assigns (P)B3 Rating on Cl. F Certs
GS MORTGAGE 2020-GC45: Fitch to Rate $12.9MM Cl. G-RR Certs B-sf
JP MORGAN 2019-INV3: DBRS Finalizes B(high) Rating on 2 Tranches
MORGAN STANLEY 2015-C23: Fitch Affirms B-sf Rating on Cl. F Certs
MOUNTAIN VIEW XV: S&P Assigns Prelim 'BB-' Rating to Cl. E Notes
NEW RESIDENTIAL 2020-1: Moody's Gives (P)B1 Rating on B-7 Notes
NEW RESIDENTIAL 2020-NQM1: Fitch to Rate Class B-2 Debt 'B(EXP)'
RR 7: S&P Assigns Prelim BB- (sf) Rating to $16.25MM Class D Notes
SILVER HILL 2019-SBC1: DBRS Finalizes B Rating on 2 Note Classes
SSB RV 2001-1: S&P Cuts C Notes Rating to 'D', Withdraws Rating
UBS COMMERCIAL 2012-C1: Fitch Affirms Bsf Rating on Cl. F Certs
WACHOVIA BANK 2005-C17: Fitch Lowers Rating on Class H Certs to Csf
WAMU MORTGAGE 2007-OA4: Moody's Cuts Cl. 1X-PPP Certs to C(sf)
WELLS FARGO 2018-BXI: Fitch Affirms Bsf Rating on Class F Certs
WFRBS COMMERCIAL 2013-C13: Fitch Affirms Bsf Rating on Cl. F Certs
*********
BENEFIT STREET XIX: S&P Assigns BB- (sf) Rating on Class E Notes
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S&P Global Ratings assigned its ratings to Benefit Street Partners
CLO XIX Ltd./Benefit Street Partners CLO XIX LLC's floating-rate
notes.
The note issuance is a 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, which consists primarily of
broadly syndicated speculative-grade (rated 'BB+' and lower) senior
secured term loans that are governed by collateral quality tests;
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
Benefit Street Partners CLO XIX Ltd./Benefit Street Partners CLO
XIX LLC
Class Rating Amount (mil. $)
A AAA (sf) 320.00
B AA (sf) 60.00
C (deferrable) A (sf) 30.00
D (deferrable) BBB- (sf) 30.00
E (deferrable) BB- (sf) 20.00
Subordinated notes NR 48.70
NR--Not rated.
BLADE ENGINE 2006-1: Fitch Affirms CCCsf Rating on 2 Tranches
-------------------------------------------------------------
Fitch Ratings affirmed the ratings on the A-1 and A-2 notes issued
by Blade Engine Securitization LTD. 2006-1 (Blade).
RATING ACTIONS
Blade Engine Securitization LTD 2006-1
Class A-1 092650AA8; LT CCCsf Affirmed; previously at CCCsf
Class A-2 092650AC4; LT CCCsf Affirmed; previously at CCCsf
KEY RATING DRIVERS
The affirmation of the series A-1 and A-2 notes (together the
series A notes) reflects some stabilizing performance. Performance
was weaker during the prior year driven by a portfolio of engines
with declining liquidity and varying maintenance conditions, and
thus engine sales proceeds coming in, which were below appraised
values at that time. Updated appraisals are expected in early 2020,
which may result in changes to Fitch's assumptions and/or stresses.
This could potentially impact the outstanding ratings, which may be
reviewed and updated at that time.
There were four engine sales in 2019, along with a number of
additional sales expected to finalize in the coming months. The
transaction remains reliant on a limited amount of in-demand
engines supporting wide body airframes.
Blade does not feature certain triggers and protective mechanisms
found in aircraft ABS structures rated in recent years. A notice of
default was issued in July 2019 on the series B notes, and the
senior cash account was depleted, while all available cash was used
to pay down the series A notes.
The majority of cash flow modeling assumptions remain unchanged
from the prior review in January 2019, with two updates this
review. First, five lessee rating assumptions were updated as
follows: Mesa Airlines and Rossiya Airlines were assumed at 'B';
Air Italy, Asiana Airlines and Azores Airlines were assumed at
'CCC'. Secondly, Fitch assumed an additional six months for engines
in transition where redelivery time was uncertain.
Under these assumptions, the series A notes are unable to pass
Fitch's primary 'Bsf' modeling scenario, but do receive payments on
approximately 70% of their outstanding principal balance. The
eventual default of the series A notes remain a real possibility.
RATING SENSITIVITIES
Due to the correlation between global economic conditions and the
airline industry, ratings may be affected by global macroeconomic
or geopolitical factors over the remaining term of the transaction.
In the initial and subsequent rating analyses, Fitch evaluated
various sensitivity scenarios that could affect future cash flows
from the pool and the ratings of the notes. For the current review,
Fitch performed three additional sensitivity scenarios to assess
the potential ratings impact.
Sensitivity 1: Portfolio Value Further Depreciates by 10%:
Due to the timing of appraisals, the current portfolio values
reflect appraisals conducted one year ago in December 2018 (new
appraisals will be released shortly). A 10% depreciation scenario
seeks to simulate potential portfolio value migration over the past
year applied across the portfolio. Although gross and net cash
flows decrease by ~8% (~$18 million), timely interest payments are
made in the near-term, but the notes remain unable to pay in full.
Sensitivity 2: Base Case with a 25% Residual Value Assumption:
The lower RV assumption seeks to simulate residual realization
across the portfolio that is lower than historical levels. The
lower cash flows result from lower modeled sales realizations
generating ~6% (~$14 million) less gross cash flow. Timely interest
payments are made in the near-term, but the notes remain unable to
pay in full.
Sensitivity 3: Base Case with a 100% Residual Value Assumption:
This final sensitivity pairs with the prior one above and seeks to
simulate a favorable scenario, where residual realization applied
across the portfolio is higher than historical levels. The higher
cash flow results from higher modeled sales realizations generating
~13% (~$28 million) more gross cash flow. Timely interest payments
are made in the near-term, with much stronger payment to the series
A notes.
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 typically 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.
CARLYLE US 2019-4: S&P Assigns BB- (sf) Rating on Class D Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to Carlyle US CLO 2019-4
Ltd./Carlyle US CLO 2019-4 LLC's floating-rate notes.
The note issuance is a CLO securitization backed by a diversified
collateral pool, which consists primarily of broadly syndicated
speculative-grade (rated 'BB+' and lower) senior secured term loans
that are governed by collateral quality tests.
The 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
Carlyle US CLO 2019-4 Ltd./Carlyle US CLO 2019-4 LLC
Class Rating Amount (mil. $)
M AAA (sf) 0.85
A-1-1 AAA (sf) 276.75
A-1-2 NR 11.25
A-2 AA (sf) 54.00
B (deferrable) A (sf) 27.00
C (deferrable) BBB- (sf) 27.00
D (deferrable) BB- (sf) 18.00
Subordinated notes NR 40.35
NR--Not rated.
COMM 2013-300P: Fitch Affirms BB+sf Rating on Class E Debt
----------------------------------------------------------
Fitch Ratings affirmed all classes of COMM 2013-300P Mortgage Trust
and revised the Outlook on one class to Negative from Stable.
RATING ACTIONS
COMM 2013-300P
Class A1 12625XAA5; LT AAAsf Affirmed; previously at AAAsf
Class A1P 12625XAC1; LT AAAsf Affirmed; previously at AAAsf
Class B 12625XAG2; LT AA-sf Affirmed; previously at AA-sf
Class C 12625XAJ6; LT A-sf Affirmed; previously at A-sf
Class D 12625XAL1; LT BBB-sf Affirmed; previously at BBB-sf
Class E 12625XAN7; LT BB+sf Affirmed; previously at BB+sf
Class X-A 12625XAE7; LT AAAsf Affirmed; previously at AAAsf
KEY RATING DRIVERS
Major Tenant Lease Restructure: Cash flow has declined in the last
year related to the restructuring of the largest tenant's lease.
Colgate Palmolive, which leased 65.3% of the NRA at issuance,
currently leases 52.7% of the NRA across multiple floors, per the
September 2019 rent roll. The reduction follows a recent
negotiation in which the tenant gave back a portion of its space
and received a rental rate reduction in exchange for an early lease
renewal. WeWork currently subleases approximately 110,000 sf from
Colgate Palmolive through June 2023, and Ally Financial subleases
an additional 55,000 sf through June 2023. Fitch expects that
Colgate Palmolive will give back the space being subleased at the
end of the original lease term in June 2023, at which point its
footprint will be reduced to 31.3% of the NRA on a lease through
June 2033. The tenant's reduced rental rate is lower than the rate
it paid at issuance, but remains in line with the submarket
average. Colgate Palmolive has been a tenant at the property since
1980.
Collateral Quality: 300 Park Avenue consists of a 25-story, LEED
Silver high-rise office building totaling 771,643 sf. The property
underwent substantial renovations between 1998 and 2000 including a
new lobby, elevator modernization and upgraded building systems.
Additionally, a facade renovation around the same time completely
transformed the property's exterior with new windows, aluminum
spandrel panels and retail storefronts. At issuance, Fitch assigned
300 Park Avenue a property quality grade of 'B+'.
Excellent Location: The asset's location borders the Grand Central
and Plaza submarkets. It is situated between 49th and 50th streets
on the west side of Park Avenue. The location is four blocks north
of Grand Central Terminal and offers excellent accessibility and
proximity to public transportation.
Low Trust Leverage: Fitch's stressed debt service coverage ratio
(DSCR) for the trust component of the debt is 1.12x, and the
stressed loan to value (LTV) is 79.2%. Additionally, the 'AAAsf'
rated debt is only $385 psf.
Limited Structural Features: The loan has no reserves, no structure
in place to mitigate the Colgate-Palmolive lease expiration,
springing cash management, and there is no carve-out guarantor. The
loan sponsor is controlled by Prime Plus Investments, Inc. (PPI) a
private Maryland REIT. PPI is a partnership of a Tishman Speyer
affiliated entity, the National Pension Service of Korea, and the
second Swedish National Pension Fund AP2, which owns 51.0% of PPI
and is an affiliate of GIC Real Estate Private Ltd. (a sovereign
wealth fund established and funded by the Singapore government),
which owns the remaining 49%.
RATING SENSITIVITIES
The Rating Outlook on class E has been revised to Negative from
Stable as a result of disrupted revenue following the lease
restructure for the largest tenant. In addition to the decline in
rental revenue, the property's operating expenses continue to
increase related to rising property taxes. Fitch is in the process
of clarifying with the servicer whether or not real estate taxes
are reimbursable as part of the renegotiated lease terms, as well
as whether or not there are future rent steps. In conjunction with
collecting additional information from the servicer on the exact
terms of the new lease, Fitch will also review the YE 2019
financials when they are delivered to determine whether or not
further actions are warranted.
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 the
transaction.
COMM MORTGAGE 2004-LNB2: Fitch Affirms Dsf Rating on 4 Tranches
---------------------------------------------------------------
Fitch Ratings upgraded one class and affirmed four classes of COMM
Mortgage Trust commercial mortgage pass-through certificates,
series 2004-LNB2.
RATING ACTIONS
COMM Mortgage Trust 2004-LNB2
Class K 20047BAG3; LT BBBsf Upgrade; previously at CCCsf
Class L 20047BAH1; LT Dsf Affirmed; previously at Dsf
Class M 20047BAJ7; LT Dsf Affirmed; previously at Dsf
Class N 20047BAK4; LT Dsf Affirmed; previously at Dsf
Class O 20047BAL2; LT Dsf Affirmed; previously at Dsf
KEY RATING DRIVERS
Collateral Quality of Remaining Loan: There is only one loan
remaining in the trust, which is secured by a single tenant retail
property located in College Station, TX. The property is 100% NNN
leased to Walgreens, through April 2028, coterminous with the
loan's maturity date. Walgreens is rated 'BBB' by Fitch.
Improved Credit Enhancement: The upgrade to class K is due to
better than expected recoveries on the recently disposed real
estate owned (REO) asset. Since Fitch's last rating action in
November 2019, the REO asset disposed. Proceeds were used to
further reduce the balance of class K and losses of approximately
$400,000 were incurred by the D-rated class L. The remaining loan
is fully amortizing and low levered, with a scheduled maturity in
April 2028.
RATING SENSITIVITIES
Due to the concentration and long-dated maturity of the remaining
loan, no rating changes are expected in the near term.
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 the
transaction.
EXETER AUTOMOBILE 2020-1: S&P Assigns Prelim BB Rating to E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Exeter
Automobile Receivables Trust 2020-1's automobile receivables-backed
notes.
The note issuance is an ABS securitization backed by subprime auto
loan receivables.
The preliminary ratings are based on information as of Jan. 9,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The availability of approximately 60.30%,53.70%, 44.80%, 34.90%
and 28.50% credit support for the class A, B, C, D, and E notes,
respectively, based on stressed cash flow scenarios (including
excess spread). This credit support provides coverage of
approximately 2.85x, 2.50x, 2.05x, 1.55x, and 1.27x S&P's
20.50%-21.50% expected cumulative net loss range. These break-even
scenarios withstand cumulative gross losses of approximately
92.80%, 82.60%, 71.70%, 55.90%, and 45.60% respectively.
-- S&P's expectation for timely interest and principal payments on
the notes, based on stressed cash flow modeling scenarios, which,
in its view, are appropriate for the assigned preliminary ratings.
-- The expectations that under a moderate ('BBB') stress scenario
(1.55x S&P's expected loss level), all else being equal, S&P's
rating on the class A notes will remain at the assigned preliminary
'AAA (sf)' rating; the ratings on the class B and C notes will
remain within one rating category of the assigned preliminary 'AA
(sf)' and 'A (sf)' ratings, respectively, for the deal's life; and
the rating on the class D notes will remain within two rating
categories of the assigned preliminary 'BBB (sf)' rating over the
deal's life. S&P expects the class E notes to remain within two
rating categories of the assigned preliminary 'BB (sf)' rating over
the first year, but it expects them to eventually default under
this stress scenario. These rating movements are within the limits
specified by S&P's credit stability criteria.
-- The collateral characteristics of the subprime automobile loans
securitized in this transaction.
-- The transaction's payment, credit enhancement, and legal
structures.
PRELIMINARY RATINGS ASSIGNED
Exeter Automobile Receivables Trust 2020-1
Class Rating Amount
(mil. $)
A AAA (sf) 355.87
B AA (sf) 107.72
C A (sf) 117.30
D BBB (sf) 129.26
E BB (sf) 59.85
GS MORTGAGE 2020-DUNE: Moody's Assigns (P)B3 Rating on Cl. F Certs
------------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to eleven
classes of CMBS securities, issued by GS Mortgage Securities
Corporation Trust 2020-DUNE, Commercial Mortgage Pass-Through
Certificates, Series 2020-DUNE:
Cl. A**, Assigned (P)Aaa (sf)
Cl. X-CP*, Assigned (P)Baa2 (sf)
Cl. X-FP*, Assigned (P)Baa2 (sf)
Cl. B, Assigned (P)Aa3 (sf)
Cl. C, Assigned (P)A3 (sf)
Cl. D, Assigned (P)Baa3 (sf)
Cl. E, Assigned (P)Ba3 (sf)
Cl. F, Assigned (P)B3 (sf)
Cl. A-Y**, Assigned (P)Aaa (sf)
Cl. A-Z**, Assigned (P)Aaa (sf)
Cl. A-IO****, Assigned (P)Aaa (sf)
* Reflects interest-only classes
** Reflects exchangeable classes
**** Reflects interest-only and exchangable classes
RATINGS RATIONALE
The certificates are collateralized by a single loan backed by fee
simple interests in 17 extended stay, full-, limited-, and
select-service hotels. The borrowers underlying the mortgage are
five special-purpose bankruptcy-remote entities, each of which is
indirectly owned and controlled by Dune Real Estate Partners IV
LLC. Its ratings are based on the credit quality of the loans and
the strength of the securitization structure.
Moody's approach to rating this transaction involved an application
of Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS, Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities, and Moody's Approach to Rating
Repackaged Securities. The rating approach for securities backed by
a single loan compares the credit risk inherent in the underlying
collateral with the credit protection offered by the structure. The
structure's credit enhancement is quantified by the maximum
deterioration in property value that the securities are able to
withstand under various stress scenarios without causing an
increase in the expected loss for various rating levels. In
assigning single borrower ratings, Moody's also considers a range
of qualitative issues as well as the transaction's structural and
legal aspects.
The credit risk of loans is determined primarily by two factors: 1)
Moody's assessment of the probability of default, which is largely
driven by the DSCR, and 2) Moody's assessment of the severity of
loss upon a default, which is largely driven by the LTV ratio.
The first mortgage balance of $258,000,000 represents a Moody's LTV
of 126.6%. The Moody's first mortgage actual DSCR is 2.06X and
Moody's first mortgage actual stressed DSCR is 0.95X.
Loan collateral is comprised of the borrower's fee simple interests
in 17 full- and limited-service hotel properties. The portfolio
contains a total of 2,086 guestrooms located across nine states.
The largest state concentration is Florida, with three properties
totaling 468 keys and representing 20.8% of the ALA and 19.8% of
the TTM net cash flow. The largest hotel, Louisville Marriott East,
represents 14.0% of the ALA.
Notable strengths of the transaction include: brand affiliation,
major markets, portfolio diversity, capital investment, and
acquisition financing.
Notable credit challenges of the transaction include: new supply
for select markets, property type performance volatility, the
loan's floating-rate and interest-only mortgage loan profile, and
credit negative legal features.
The principal methodology used in rating all classes except
exchangeable classes, interest-only and exchangable classes, and
interest-only classes was "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
and interest-only and exchangable 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.
GS MORTGAGE 2020-GC45: Fitch to Rate $12.9MM Cl. G-RR Certs B-sf
----------------------------------------------------------------
Fitch Ratings issued a presale report on GS Mortgage Securities
Trust 2020-GC45 commercial mortgage pass-through certificates,
series 2020-GC45.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $19,471,000 class A-1 'AAAsf'; Outlook Stable;
-- $86,299,000 class A-2 'AAAsf'; Outlook Stable;
-- $13,119,000 class A-3 'AAAsf'; Outlook Stable;
-- $185,000,000a class A-4 'AAAsf'; Outlook Stable;
-- $561,198,000a class A-5 'AAAsf'; Outlook Stable;
-- $38,461,000 class A-AB 'AAAsf'; Outlook Stable;
-- $1,050,375,000b class X-A 'AAAsf'; Outlook Stable;
-- $112,944,000b class X-B 'A-sf'; Outlook Stable;
-- $146,827,000 class A-S 'AAAsf'; Outlook Stable;
-- $64,539,000 class B 'AA-sf'; Outlook Stable;
-- $48,405,000 class C 'A-sf'; Outlook Stable;
-- $30,656,000c class D 'BBBsf'; Outlook Stable;
-- $50,018,000bcf class X-D 'BBB-sf'; Outlook Stable;
-- $19,362,000cf class E 'BBB-sf'; Outlook Stable;
-- $25,815,000cdf class F-RR 'BB-sf'; Outlook Stable;
-- $12,908,000cdf class G-RR 'B-sf'; Outlook Stable.
The following classes are not expected to be rated by Fitch:
-- $38,724,196cdf class H-RR;
-- $37,867,000ce class VRR Interest.
(a) The initial certificate balances of classes A-4 and A-5 are
unknown and expected to be $746,198,000 in aggregate. The
certificate balances will be determined based on the final pricing
of those classes of certificates. The expected class A-4 balance
range is $0 to $370,000,000, and the expected class A-5 balance
range is $376,198,000 to $746,198,000. Fitch's certificate balances
for classes A-4 and A-5 are assumed at the midpoint of the range
for each class.
(b) Notional amount and interest only.
(c) Privately placed and pursuant to Rule 144A.
(d) Horizontal credit-risk retention interest.
(e) Vertical credit-risk retention interest.
(f) The initial certificate balance of each of the class E, class
F-RR, class G-RR and class H-RR certificates, and the initial
notional amount of the class X-D certificates is subject to change
based on final pricing of all certificates and the final
determination of the class F-RR, class G-RR and class H-RR
certificates.
TRANSACTION SUMMARY
The expected ratings are based on information provided by the
issuer as of Jan. 6, 2020.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 52 loans secured by 152
commercial properties having an aggregate principal balance of
$1,328,651,197 as of the cut-off date. The loans were contributed
to the trust by Goldman Sachs Mortgage Securities, Citi Real Estate
Funding Inc., and German American Capital Corporation.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 66.2% of the properties
by balance, cash flow analysis of 83.6% and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Fitch Leverage: The pool's Fitch leverage is lower than other
recent Fitch-rated multiborrower transactions. The pool's Fitch
DSCR of 1.32x is higher than the 2019 and 2018 averages of 1.26x
and 1.22x, respectively. Additionally, the pool's Fitch LTV of
95.3% is lower than the 2019 and 2018 averages of 103.0% and
102.0%, respectively. Excluding investment-grade credit opinion
loans, the pool has a Fitch DSCR and LTV of 1.26x and 109.4%,
respectively.
Credit Opinion Loans: Eight loans, representing 31.1% of the pool,
have investment-grade credit opinions. This is significantly above
the 2019 and 2018 averages of 14.2% and 13.6%, respectively. Five
loans including 1633 Broadway (4.5% of the pool), Starwood Class A
Industrial Portfolio 1 (4.5%), Bellagio Hotel and Casino (4.5%),
650 Madison Avenue (3.8%), and 510 East 14th St (2.6%) received
stand-alone credit opinions of 'BBB-sf*'. Parkmerced (2.8%)
received a stand-alone credit opinion of 'BBB+sf*', 560 Mission
Street (4.5%) received a stand-alone credit opinion of 'AA-sf*',
and Southcenter Mall (4.5%), received a stand-alone credit opinion
of 'AAAsf*'.
Low Hotel Exposure. The pool has a lower than average exposure to
hotel properties, which, at 9.26% of the pool, is lower than the
2019 and 2018 average concentrations of 12.0% 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 retail at 30.6%, followed by office
at 27.8% and multifamily at 15.8%.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 11.8% 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 GSMS
2020-GC45 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'A-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBBsf'
could result.
JP MORGAN 2019-INV3: DBRS Finalizes B(high) Rating on 2 Tranches
----------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Mortgage Pass-Through Certificates, Series 2019-INV3 (the
Certificates) issued by J.P. Morgan Mortgage Trust 2019-INV3:
-- $341.7 million Class A-1 at AAA (sf)
-- $310.7 million Class A-2 at AAA (sf)
-- $223.7 million Class A-3 at AAA (sf)
-- $223.7 million Class A-3-A at AAA (sf)
-- $223.7 million Class A-3-X at AAA (sf)
-- $167.8 million Class A-4 at AAA (sf)
-- $167.8 million Class A-4-A at AAA (sf)
-- $167.8 million Class A-4-X at AAA (sf)
-- $55.9 million Class A-5 at AAA (sf)
-- $55.9 million Class A-5-A at AAA (sf)
-- $55.9 million Class A-5-X at AAA (sf)
-- $140.1 million Class A-6 at AAA (sf)
-- $140.1 million Class A-6-A at AAA (sf)
-- $140.1 million Class A-6-X at AAA (sf)
-- $83.6 million Class A-7 at AAA (sf)
-- $83.6 million Class A-7-A at AAA (sf)
-- $83.6 million Class A-7-X at AAA (sf)
-- $27.7 million Class A-8 at AAA (sf)
-- $27.7 million Class A-8-A at AAA (sf)
-- $27.7 million Class A-8-X at AAA (sf)
-- $38.0 million Class A-9 at AAA (sf)
-- $38.0 million Class A-9-A at AAA (sf)
-- $38.0 million Class A-9-X at AAA (sf)
-- $17.9 million Class A-10 at AAA (sf)
-- $17.9 million Class A-10-A at AAA (sf)
-- $17.9 million Class A-10-X at AAA (sf)
-- $87.0 million Class A-11 at AAA (sf)
-- $87.0 million Class A-11-X at AAA (sf)
-- $87.0 million Class A-12 at AAA (sf)
-- $87.0 million Class A-13 at AAA (sf)
-- $31.1 million Class A-14 at AAA (sf)
-- $31.1 million Class A-15 at AAA (sf)
-- $246.0 million Class A-16 at AAA (sf)
-- $95.7 million Class A-17 at AAA (sf)
-- $341.7 million Class A-X-1 at AAA (sf)
-- $341.7 million Class A-X-2 at AAA (sf)
-- $87.0 million Class A-X-3 at AAA (sf)
-- $31.1 million Class A-X-4 at AAA (sf)
-- $14.2 million Class B-1 at AA (sf)
-- $14.2 million Class B-1-A at AA (sf)
-- $14.2 million Class B-1-X at AA (sf)
-- $10.1 million Class B-2 at A (sf)
-- $10.1 million Class B-2-A at A (sf)
-- $10.1 million Class B-2-X at A (sf)
-- $8.3 million Class B-3 at BBB (sf)
-- $8.3 million Class B-3-A at BBB (sf)
-- $8.3 million Class B-3-X at BBB (sf)
-- $6.2 million Class B-4 at BB (sf)
-- $1.9 million Class B-5 at B (high) (sf)
-- $32.6 million Class B-X at BBB (sf)
-- $1.9 million Class B-5-Y at B (high) (sf)
Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-10-X,
A-11-X, A-X-1, A-X-2, A-X-3, A-X-4, B-1-X, B-2-X, B-3-X, and B-X
are interest-only notes. The class balances represent notional
amounts.
Classes A-1, A-2, A-3, A-3-A, A-3-X, A-4, A-4-A, A-4-X, A-5, A-5-A,
A-5-X, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-10, A-12, A-13, A-14,
A-16, A-17, A-X-2, A-X-3, B-1, B-2, B-3, B-X, and B-5-Y are
exchangeable notes. These classes can be exchanged for combinations
of exchange notes as specified in the offering documents.
Classes A-6-A, A-8-A, A-9-A, A-10-A, and A-11 are base-depositable
super-senior certificates. These classes benefit from additional
protection from the senior support certificate (Classes A-14 and
A-15) with respect to loss allocation.
The AAA (sf) ratings on the Certificates reflect 12.00% of credit
enhancement provided by subordinated notes in the pool. The AA
(sf), A (sf), BBB (sf), BB (sf), and B (high) (sf) ratings reflect
8.35%, 5.75%, 3.60%, 2.00%, and 1.50% of credit enhancement,
respectively.
Other than the specified classes above, DBRS Morningstar does not
rate any other classes in this transaction.
This securitization is a portfolio of first-lien, fixed-rate
investment-property residential mortgages funded by the issuance of
the Certificates. The Certificates are backed by 1,049 loans with a
total principal balance of $388,315,530 as of the Cut-Off Date
(December 1, 2019).
The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of up to 30 years. Approximately 97.9%
of the loans are conforming mortgages made to investors for
business or commercial purposes. Consequently, most of the pool
(80.4%) are not subject to the Qualified Mortgage and
Ability-to-Repay rules. In addition, 31 borrowers have multiple
mortgages (66 loans in total) included in the securitized
portfolio. About 97.9% of the mortgage loans in the portfolio were
eligible for purchase by Fannie Mae or Freddie Mac. Details on the
underwriting of loans can be found in the Key Probability of
Default Drivers section in the related report.
The originators for the aggregate mortgage pool are JPMorgan Chase
Bank, N.A. (JPMCB; rated AA with a Stable trend by DBRS
Morningstar; 36.6%); United Shore Financial Services (31.7%);
Quicken Loans Inc. (Quicken; 10.6%); Caliber Home Loans, Inc.
(5.5%); and various other originators, each comprising less than
5.5% of the mortgage loans. Approximately 3.31% of the loans sold
to the mortgage loan seller were acquired by MAXEX Clearing LLC,
which purchased such loans from the related originators or an
unaffiliated third party that directly or indirectly purchased such
loans from the related originators.
The mortgage loans will be serviced or sub serviced by JPMCB
(36.6%); Cenlar FSB (31.7%); NewRez doing business as Shellpoint
Mortgage Servicing (SMS; 21.2%); and Quicken (10.6%).
Servicing will be transferred to JPMCB from SMS on the servicing
transfer date (February 1, 2020, or a later date) as determined by
the issuing entity and JPMCB. For this transaction, the servicing
fee payable for mortgage loans serviced by JPMCB and SMS (which
will be subsequently serviced by JPMCB) is composed of three
separate components: the aggregate base servicing fee, the
aggregate delinquent servicing fee, and the aggregate additional
servicing fee. These fees vary based on the delinquency status of
the related loan and will be paid from interest collections before
distribution to the securities.
Nationstar Mortgage LLC will act as the Master Servicer. Citibank,
N.A. (rated AA (low) with a Stable trend by DBRS Morningstar) will
act as Securities Administrator and Delaware Trustee. JPMCB and
Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS
Morningstar) will act as Custodians. Pentalpha Surveillance LLC
will serve as the Representations and Warranties (R&W) Reviewer.
The Seller intends to retain (directly or through a majority-owned
affiliate) a vertical interest in 5% of the principal amount or
notional amount of all the senior and subordinate certificates to
satisfy the credit risk retention requirements under Section 15G of
the Securities Exchange Act of 1934 and the regulations promulgated
thereunder.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that is enhanced from a pre-crisis structure.
The ratings reflect transactional strengths that include
high-quality credit attributes, well-qualified borrowers, and
satisfactory third-party due diligence review.
This transaction employs an R&W framework that contains certain
weaknesses, such as materiality factors, knowledge qualifiers and
sunset provisions that allow for certain R&W to expire within three
to six years after the Closing Date. DBRS Morningstar perceives the
framework as more limiting than traditional lifetime R&W standards
in certain DBRS Morningstar-rated securitizations. To capture the
perceived weaknesses in the R&W framework, DBRS Morningstar reduced
certain originator scores in this pool. A lower originator score
results in increased default and loss assumptions and provides
additional cushions for the rated securities.
Notes: All figures are in U.S. dollars unless otherwise noted.
MORGAN STANLEY 2015-C23: Fitch Affirms B-sf Rating on Cl. F Certs
-----------------------------------------------------------------
Fitch Ratings affirmed 13 classes of Morgan Stanley Bank of America
Merrill Lynch Trust Commercial Mortgage Pass-Through Certificates,
series 2015-C23.
RATING ACTIONS
MSBAM 2015-C23
Class A-2 61690QAB5; LT AAAsf Affirmed; previously at AAAsf
Class A-3 61690QAD1; LT AAAsf Affirmed; previously at AAAsf
Class A-4 61690QAE9; LT AAAsf Affirmed; previously at AAAsf
Class A-S 61690QAG4; LT AAAsf Affirmed; previously at AAAsf
Class A-SB 61690QAC3; LT AAAsf Affirmed; previously at AAAsf
Class B 61690QAH2; LT AA-sf Affirmed; previously at AA-sf
Class C 61690QAK5; LT A-sf Affirmed; previously at A-sf
Class D 61690QAS8; LT BBB-sf Affirmed; previously at BBB-sf
Class E 61690QAU3; LT BB-sf Affirmed; previously at BB-sf
Class F 61690QAW9; LT B-sf Affirmed; previously at B-sf
Class PST 61690QAJ8; LT A-sf Affirmed; previously at A-sf
Class X-A 61690QAF6; LT AAAsf Affirmed; previously at AAAsf
Class X-B 61690QAL3; LT AAAsf Affirmed; previously at AAAsf
KEY RATING DRIVERS
Stable Loss Expectations: The affirmations reflect the generally
stable performance of the pool. There have been no material changes
to the pool since issuance; therefore, the original rating analysis
was considered in affirming the transaction. There have been no
realized losses, specially serviced loans or interest shortfalls to
date. Two loans (2.5%) have been designated Fitch Loans of Concern
(FLOCs); they are secured by a 575-bed student housing property
(2.0%) located in Lafayette, LA and a 69,927-sf neighborhood
shopping center (0.5%) located in Howell, MI that have experienced
occupancy and cash flow decline since issuance.
Increased Credit Enhancement: As of the December 2019 distribution
date, the pool's aggregate principal balance has been reduced by
4.4% to $1.025 billion from $1.073 billion at issuance. Seven loans
(24.8%) are full-term interest-only and six loans (7.2%) remain in
partial interest-only periods. All remaining loans in
partial-interest-only periods will begin amortizing by May 2020.
Ten loans (13.0%) are fully defeased. Two small loans (0.6% of the
issuance pool balance) have paid off. Loan maturities and
anticipated repayment dates (ARDs) are scheduled in 2020 (11.8%),
2024 (3.2%) and 2025 (85.0%).
ADDITIONAL CONSIDERATIONS
Pool Concentrations: The top five and 10 loans in the transaction
represent 29.5% and 47.0% of the current pool balance,
respectively. The largest property type concentration is retail
(25.6%), followed by multifamily (22.6%), lodging (16.4%) and
mixed-use (12.3%). Three loans (11.1%) in the top 15 are secured by
hotel properties located in large markets, with two located in
Midtown Manhattan (Hilton Garden Inn W. 54th Street and Fairfield
Chelsea Inn) and the other located in downtown Atlanta, GA
(Georgian Terrace). For hotel properties across the pool, Fitch
applied an additional stress to the most recently reported TTM
September 2019 NOI to reflect Fitch's peak performance outlook on
the sector.
Largest Loans in the Pool: The largest loan in the pool, TKG 3
Retail Portfolio (7.8%), is secured by a portfolio of six retail
centers (five anchored, one shadow anchored) totaling 1.4 million
sf and spread across six tertiary markets in six different states.
The two oldest properties (built in 1966 and 1973) were most
recently renovated between 2013 and 2015. The remaining four
properties were constructed between 1999 and 2006. Large tenants
include Walmart (14.4% of NRA; through February 2025), Lowe's (9.1%
of NRA; through November 2027) and BJ's Wholesale Club (8.0% of
NRA; through January 2024). As of YE 2018, the servicer-reported
occupancy and NOI DSCR were 96.1% and 1.95x, respectively, for this
interest-only loan.
The second largest loan in the pool, 32 Old Slip Fee (6.4%), is
secured by the leased fee interest in a parcel of land in the
Financial East District of Downtown Manhattan. The site is improved
with a 1.1 million-sf, 36-story office building that was built in
1987 and subsequently renovated for $69 million in 2012 after
Superstorm Sandy. The ground lease has an initial term of 99 years
and encompasses the entire block bound by Old Slip, South Street,
Gouverneur Lane, and Front Street. The lease expires in April 2114
with two additional extension options of 25 years each. As of YE
2018, the servicer-reported NOI DSCR was 1.28x.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset-level event changes the transaction's overall
portfolio-level metrics.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
No third-party due diligence was provided or reviewed in relation
to this rating.
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.
MOUNTAIN VIEW XV: S&P Assigns Prelim 'BB-' Rating to Cl. E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Mountain
View CLO XV Ltd.'s floating-rate notes.
The note issuance is a CLO transaction backed by primarily broadly
syndicated speculative-grade (rated 'BB+' and lower) senior secured
term loans that are governed by collateral quality tests.
The preliminary ratings are based on information as of Jan. 3,
2019. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The diversified collateral pool.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
Mountain View CLO XV Ltd.
Class Rating Amount (mil. $)
A-1 AAA (sf) 244.00
A-2 AAA (sf) 12.00
B-1 AA (sf) 34.00
B-2 AA (sf) 14.00
C (deferrable) A (sf) 20.00
D (deferrable) BBB- (sf) 23.80
E (deferrable) BB- (sf) 20.20
Class A subordinated notes NR 28.80
Class B subordinated notes NR 9.60
NR--Not rated.
NEW RESIDENTIAL 2020-1: Moody's Gives (P)B1 Rating on B-7 Notes
----------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to 32
classes of notes issued by New Residential Mortgage Loan Trust
2020-1. The NRMLT 2020-1 transaction is a $523 million
securitization of 5,910 first lien, seasoned performing and
re-performing fixed-rate mortgage loans with weighted average
seasoning of 187 months, a weighted average updated LTV ratio of
47.3% and a non-zero weighted average updated FICO score of 681.
Based on the OTS methodology, 83.6% of the loans by scheduled
balance have been continuously current for the past 24 months.
Approximately 47.8% of the loans in the pool (by scheduled balance)
have been previously modified.
Mr. Cooper Group Inc , PHH Mortgage Corporation FKA OCWEN,
Shellpoint Mortgage Servicing and Select Portfolio Servicing, Inc.
are the top four servicers who will service approximately 46.0%,
41.6%, 6.5% and 3.9% of the loans (by scheduled balance),
respectively. Nationstar Mortgage LLC (Nationstar) will act as
master servicer and successor servicer and Shellpoint will act as
the special servicer.
The complete rating action is as follows:
Issuer: New Residential Mortgage Loan Trust 2020-1
Cl. A, Provisional Rating Assigned (P)Aaa (sf)
Cl. A-1, Provisional Rating Assigned (P)Aaa (sf)
Cl. A-1A, Provisional Rating Assigned (P)Aaa (sf)
Cl. A-1B, Provisional Rating Assigned (P)Aaa (sf)
Cl. A-1C, Provisional Rating Assigned (P)Aaa (sf)
Cl. A-1D, Provisional Rating Assigned (P)Aaa (sf)
Cl. A-2, Provisional Rating Assigned (P)Aa1 (sf)
Cl. B-1, Provisional Rating Assigned (P)Aa2 (sf)
Cl. B-1A, Provisional Rating Assigned (P)Aa2 (sf)
Cl. B-1B, Provisional Rating Assigned (P)Aa2 (sf)
Cl. B-1C, Provisional Rating Assigned (P)Aa2 (sf)
Cl. B-1D, Provisional Rating Assigned (P)Aa2 (sf)
Cl. B-2, Provisional Rating Assigned (P)A2 (sf)
Cl. B-2A, Provisional Rating Assigned (P)A2 (sf)
Cl. B-2B, Provisional Rating Assigned (P)A2 (sf)
Cl. B-2C, Provisional Rating Assigned (P)A2 (sf)
Cl. B-2D, Provisional Rating Assigned (P)A2 (sf)
Cl. B-3, Provisional Rating Assigned (P)Baa2 (sf)
Cl. B-3A, Provisional Rating Assigned (P)Baa2 (sf)
Cl. B-3B, Provisional Rating Assigned (P)Baa2 (sf)
Cl. B-3C, Provisional Rating Assigned (P)Baa2 (sf)
Cl. B-3D, Provisional Rating Assigned (P)Baa2 (sf)
Cl. B-4, Provisional Rating Assigned (P)Ba2 (sf)
Cl. B-4A, Provisional Rating Assigned (P)Ba2 (sf)
Cl. B-4B, Provisional Rating Assigned (P)Ba2 (sf)
Cl. B-4C, Provisional Rating Assigned (P)Ba2 (sf)
Cl. B-5, Provisional Rating Assigned (P)B2 (sf)
Cl. B-5A, Provisional Rating Assigned (P)B2 (sf)
Cl. B-5B, Provisional Rating Assigned (P)B2 (sf)
Cl. B-5C, Provisional Rating Assigned (P)B2 (sf)
Cl. B-5D, Provisional Rating Assigned (P)B2 (sf)
Cl. B-7, Provisional Rating Assigned (P)B1 (sf)
RATINGS RATIONALE
Its losses on the collateral pool equal 4.50% in an expected
scenario and reach 22.00% at a stress level consistent with the Aaa
ratings on the senior classes. Moody's based its expected losses
for the pool on its estimates of (1) the default rate on the
remaining balance of the loans and (2) the principal recovery rate
on the defaulted balances. The final expected losses for the pool
reflect the third-party review (TPR) findings and its assessment of
the representations and warranties (R&Ws) framework for this
transaction. Also, the transaction contains a mortgage loan sale
provision, the exercise of which is subject to potential conflicts
of interest. As a result of this provision, Moody's increased its
expected losses for the pool.
To estimate the losses on the pool, Moody's used an approach
similar to its surveillance approach. Under this approach, Moody's
applies expected annual delinquency rates, conditional prepayment
rates (CPRs), loss severity rates and other variables to estimate
future losses on the pool. Its assumptions on these variables are
based on the observed performance of seasoned modified and
non-modified loans, the collateral attributes of the pool including
the percentage of loans that were delinquent in the past 36 months.
For this pool, Moody's used default burnout assumptions similar to
those detailed in its "US RMBS Surveillance Methodology" for Alt-A
loans originated pre-2005. Moody's then aggregated the
delinquencies and converted them to losses by applying
pool-specific lifetime default frequency and loss severity
assumptions.
Collateral Description
NRMLT 2020-1 is a securitization of 5,910 seasoned performing and
re-performing fixed-rate residential mortgage loans which the
seller, NRZ Sponsor VIII LLC, has purchased in connection with the
termination of various securitization trusts. Similar to prior
NRMLT transactions Moody's has rated, nearly all of the collateral
was sourced from terminated securitizations. Approximately 47.8% of
the loans had previously been modified.
The updated value of properties in this pool were provided by a
third-party firm using a home data index (HDI) and/or an updated
broker price opinion (BPO). BPOs were provided for a sample of
1,265 out of the 5,910 properties contained within the
securitization. HDI values were provided for all but two properies
contained within the securitization. The weighted average updated
LTV ratio on the collateral is 47.3%, implying an average of 52.7%
borrower equity in the properties.
Of note, the pool consists of 0.6% of mortgage loans by scheduled
balance that have a zero percent interest rate as of closing. In
addition, about 2.8% of the mortgage loans could potentially turn
into zero-percent-interest-rate loans in the future. These mortgage
loans were originated with a cap on maximum finance charges to be
collected over the life of the loans. Such mortgage loans amortize
like regular mortgage loans, except that the borrowers will not be
obligated to pay more interest than the maximum finance charges set
at origination. So long as the mortgage loans do not become
delinquent they will not exceed the maximum finance charges and
become zero-interest loans. However, if a borrower becomes
delinquent or seeks a term extension then the total interest
payment could reach the maximum finance charge before maturity date
(because the loans accrue interest on the outstanding principal
balance at any point in time) and at that point the respective
mortgage loan will become a zero-interest loan. Of note, the coupon
on the bonds are capped to Net WAC. However, Moody's does not
anticipate these zero interest rate loans to result in no interest
payment to the bonds for an extended period of time as these loans
only make-up about 3.4% of the total pool and also have a wide
range of maturity date. On the closing date, the depositor will
deposit $115,314 in reserve to cover trust expenses such as
servicing fees and other fee payments for all zero-interest-rate
loans in the pool. On any payment date, if the reserve is not
sufficient to make required payments, the depositor will be
required to remit an amount equal to such shortfall to the reserve
account.
Third-Party Review ("TPR") and Representations & Warranties
("R&W")
Two third-party due diligence providers, AMC and Recovco, conducted
a regulatory compliance review on a sample of 200 and 1,401
seasoned mortgage loans respectively for the initial due diligence
pool. The regulatory compliance review consisted of a review of
compliance with the federal Truth in Lending Act (TILA) as
implemented by Regulation Z, the federal Real Estate Settlement
Procedures Act (RESPA) as implemented by Regulation X, the
disclosure requirements and prohibitions of Section 50(a)(6),
Article XVI of the Texas Constitution, federal, state and local
anti-predatory regulations, federal and state specific late charge
and prepayment penalty regulations, and document review.
AMC found that 33 out of 200 loans had compliance exceptions with
rating agency grade C or D. Recovco reviewed 1,401 loans and 344
loans have ratings of C or D. Based on its analysis of the TPR
reports, Moody's determined that a portion of the loans with some
cited violations are at enhanced risk of having violated TILA
through an under-disclosure of the finance charges or other
disclosure deficiencies. Although the TPR report indicated that the
statute of limitations for borrowers to rescind their loans has
already passed, borrowers can still raise these legal claims in
defense against foreclosure as a set off or recoupment and win
damages that can reduce the amount of the foreclosure proceeds.
Such damages include up to $4,000 in statutory damages, borrowers'
legal fees and other actual damages. Moody's increased its losses
for these loans to account for such damages.
AMC and Recovco reviewed the findings of various title search
reports covering 137 and 786 mortgage loans respectively in the
preliminary sample population in order to confirm the first lien
position of the related mortgages. Overall, AMC's review confirmed
that 86 mortgages were in first lien position. For the 51 remaining
loans reviewed by AMC the final title policy at loan origination
was accepted to be proof of a first lien position. Recovco reported
that the 785 out of 786 mortgage loans it reviewed were in
first-lien position. For one mortgage loans, the results were
pending. The seller, NRZ Sponsor VIII LLC, is providing a
representation and warranty for missing mortgage files. To the
extent that the master servicer, related servicer or depositor has
actual knowledge, or a responsible officer of the Indenture Trustee
has received written notice, of a defective or missing mortgage
loan document or a breach of a representation or warranty regarding
the completeness of the mortgage file or the accuracy of the
mortgage loan documents, and such missing document, defect or
breach is preventing or materially delaying the (a) realization
against the related mortgaged property through foreclosure or
similar loss mitigation activity or (b) processing of any title
claim under the related title insurance policy, the party with such
actual knowledge will give written notice of such breach, defect or
missing document, as applicable, to the seller, indenture trustee,
depositor, master servicer and related servicer. Upon notification
of a missing or defective mortgage loan file, the seller will have
120 days from the date it receives such notification to deliver the
missing document or otherwise cure the defect or breach. If it is
unable to do so, the seller will be obligated to replace or
repurchase the mortgage loan.
Trustee, Custodians, Paying Agent, Servicers, Master Servicer,
Successor Servicer and Special Servicer
The transaction indenture trustee is Wilmington Trust, National
Association. The custodian functions will be performed by Wells
Fargo Bank, N.A and U.S. Bank National Association. The paying
agent and cash management functions will be performed by Citibank,
N.A. In addition, Nationstar, as master servicer, is responsible
for servicer oversight, termination of servicers, and the
appointment of successor servicers. Having Nationstar as a master
servicer mitigates servicing-related risk due to the performance
oversight that it will provide. Shellpoint will serve as the
special servicer and, as such, will be responsible for servicing
mortgage loans that become 60 or more days delinquent. Nationstar
will serve as the designated successor servicer.
Mr Cooper, PHH Mortgage FKA OCWEN, Shellpoint Mortgage Servicing
and Select Portfolio Servicing, Inc. are the top four servicers who
will service approximately 46.0%, 41.6%, 6.5% and 3.9% of the loans
(by scheduled balance), respectively. Nationstar will act as master
servicer and successor servicer and Shellpoint will act as the
special servicer. Moody's considers the overall servicing
arrangement to be adequate.
Transaction Structure
The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to increasingly receive principal
prepayments after an initial lock-out period of five years,
provided two performance tests are met. To pass the first test, the
delinquent and recently modified loan balance cannot exceed 50% of
the subordinate bonds outstanding. To pass the second test,
cumulative losses cannot exceed certain thresholds that gradually
increase over time.
Because a shifting interest structure allows subordinated bonds to
pay down over time as the loan pool shrinks, senior bonds are
exposed to tail risk, i.e., risk of back-ended losses when fewer
loans remain in the pool. The transaction provides for a senior and
subordination floor that helps to reduce this tail risk.
Specifically, the subordination floor prevents subordinate bonds
from receiving any principal if the amount of subordinate bonds
outstanding falls below 5.75% of the cut-off date principal
balance. There is also a provision that prevents subordinate bonds
from receiving principal if the credit enhancement for the Class
A-1 note falls below its percentage at closing, 26.00%. In
addition, there are provisions that "lock out" certain subordinate
bonds and allocate principal to more senior subordinate bonds if,
for a given class, credit enhancement levels decline below their
initial percentages or below 5.75% of the cut-off date principal
balance. These provisions have been incorporated into its cash flow
model and are reflected in its ratings
Other Considerations
The transaction contains a mortgage loan sale provision, the
exercise of which is subject to potential conflicts of interest.
The servicers in the transaction may sell mortgage loans that
become 60 or more days delinquent according to the MBA methodology
to any party in the secondary market in an arms-length transaction
and at a fair market value. For such sale to take place, the
related servicer must determine, in its reasonable commercial
judgment, that such sale would maximize proceeds on a present value
basis. If the sponsor or any of its subsidiaries is the purchaser,
the related servicer must obtain at least two additional
independent bids. The transaction documents provide little detail
on the method of receipt of bids and there is no set minimum sale
price. Such lack of detail creates a risk that the independent bids
could be weak bids from purchasers that do not actively participate
in the market. Furthermore, the transaction documents provide
little detail regarding how servicers should conduct present value
calculations when determining if a note sale should be pursued. The
special servicer, Shellpoint, is an affiliate of the sponsor. The
servicers in the transaction may have a commercial relationship
with the sponsor outside of the transaction. These business
arrangements could lead to conflicts of interest. Moody's took this
into account and adjusted its losses accordingly.
When analyzing the transaction, Moody's reviewed the transaction's
exposure to large potential indemnification payments owed to
transaction parties due to potential lawsuits. In particular,
Moody's assessed the risk that the indenture trustee would be
subject to lawsuits from investors for a failure to adequately
enforce the R&Ws against the seller. Moody's believes that NRMLT
2020-1 is adequately protected against such risk primarily because
the loans in this transaction are highly seasoned with a weighted
average seasoning of approximately 187 months. Although some loans
in the pool were previously delinquent and modified, the loans all
have a substantial history of payment performance. This includes
payment performance during the last recession. As such, if loans in
the pool were materially defective, such issues would likely have
been discovered prior to the securitization. Furthermore, third
party due diligence was conducted on a significant random sample of
the loans for issues such as data integrity, compliance, and title.
As such, Moody's did not apply adjustments in this transaction to
account for indemnification payment risk.
In addition, prior to closing, the collateral pool has
approximately $2,421,859 of unreimbursed servicing advances such as
taxes and insurance. The mortgage borrower is responsible for
reimbursing the related servicer for the pre-existing servicing
advances. The related servicer may choose to set the pre-existing
advances as escrow to be repaid by the borrower as part of monthly
mortgage payments. However, in the event the borrower defaults on
the mortgage prior to fully repaying the pre-existing servicing
advances, the related servicer will recoup the outstanding amount
of pre-existing advances from the loan liquidation proceeds. The
amount of pre-existing servicing advances only represents
approximately 46 basis points of total pool balance. As borrowers
make monthly mortgage payments, this amount would likely decrease.
Moreover, its loan loss severity assumption incorporates
reimbursement of servicing advances from liquidation proceeds.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from its original expectations
as a result of a lower number of obligor defaults or appreciation
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends
NEW RESIDENTIAL 2020-NQM1: Fitch to Rate Class B-2 Debt 'B(EXP)'
----------------------------------------------------------------
Fitch Ratings assigned expected ratings to New Residential Mortgage
Loan Trust 2020-NQM1. The 'AAAsf' rating for NRMLT 2020-NQM1
reflects the satisfactory operational review conducted by Fitch of
the originator, 100% loan-level due diligence review with no
material findings, a Tier 2 representation and warranty framework
and the transaction's structure.
RATING ACTIONS
NRMLT 2020-NQM1
Class A-1; LT AAA(EXP)sf; Expected Rating
Class A-2; LT AA(EXP)sf; Expected Rating
Class A-3; LT A(EXP)sf; Expected Rating
Class A-IO-S; LT NR(EXP)sf; Expected Rating
Class B-1; LT BB(EXP)sf; Expected Rating
Class B-2; LT B(EXP)sf; Expected Rating
Class B-3; LT NR(EXP)sf; Expected Rating
Class M-1; LT BBB(EXP)sf; Expected Rating
Class XS-1; LT NR(EXP)sf; Expected Rating
Class XS-2; LT NR(EXP)sf; Expected Rating
TRANSACTION SUMMARY
The notes are supported by 475 loans with a balance of $278.48
million as of the Jan. 1, 2020 cutoff date. This will be the
seventh Fitch-rated non-qualified mortgages (NQMs) transaction
consisting of loans solely originated by NewRez LLC (NewRez), which
was formerly known as New Penn Financial, LLC.
The notes are secured mainly by NQMs as defined by the Ability to
Repay (ATR) Rule. Approximately 75% of the loans in the pool are
designated as NQM and the remaining 25% are investor properties
and, thus, not subject to the ATR Rule.
KEY RATING DRIVERS
Expanded Prime Credit Quality (Positive): The collateral consists
mostly of 30-year fixed-rate (70%) and five-, seven- and 10-year
adjustable-rate mortgage (ARM) loans (18%). Roughly 4% are five- or
seven-year interest-only (IO) ARMs. The weighted average (WA) Fitch
model credit score is 730 and the WA combined loan-to-value ratio
(CLTV) is 74.1%.
Alternative Income Documentation (Negative): Approximately 45% of
the pool was to self-employed borrowers underwritten using bank
statements to verify income (26% using 12 months of statements and
17% using 24 months). Roughly 19% were to self-employed borrowers
underwritten to full documentation. Fitch views the use of bank
statements as a less reliable method of calculating income than the
traditional method of two years of tax returns. Fitch applied
approximately a 1.5x penalty to its probability of default (PD) for
these loans. This adjustment assumes slightly less relative risk
than a pre-crisis "stated income" loan.
Investor Loans (Negative): Approximately 24.7% of the pool
comprises investment property loans, including 9.5% underwritten to
a cash flow ratio rather than the borrower's debt-to-income ratio.
Investor property loans exhibit higher PDs and higher loss
severities (LS) than owner-occupied homes. The borrowers of the
investor properties in the pool have strong credit profiles, with a
WA FICO of 738 and an original CLTV of 69% (loans underwritten to
the cash flow ratio have a WA FICO of 730 and an original CLTV of
69%). Fitch increased the PD by approximately 2.0x for the cash
flow ratio loans (relative to a traditional income documentation
investor loan) to account for the increased risk.
Geographic Concentration (Negative): Approximately 36% of the pool
is concentrated in California with relatively low MSA
concentration. The largest MSA concentration is in the New York MSA
(23.5%), followed by the Los Angeles MSA (17.7%) and the San
Francisco MSA (7.9%). The top three MSAs account for 49.1% of the
pool. As a result, there was a 1.06x adjustment for geographic
concentration.
Low Operational Risk (Neutral): Operational risk is well controlled
for in this transaction. NewRez, a wholly owned subsidiary of New
Residential Investment Corp. (NRZ), contributed 100% of the loans
in the securitization pool. NewRez employs robust sourcing and
underwriting processes and is assessed by Fitch as an 'Average'
originator. Fitch believes NRZ has solid RMBS experience despite
its limited NQM issuance and is an 'Acceptable' aggregator. Primary
and master servicing functions will be performed by Shellpoint
Mortgage Servicing (Shellpoint) and Nationstar Mortgage LLC
(Nationstar), rated 'RPS2-' and 'RMS2+', respectively. The
sponsor's retention of at least 5% of each class of bonds helps
ensure an alignment of interest between the issuer and investors.
R&W Framework (Negative): The seller is providing loan-level
representations (reps) and warranties (R&W) with respect to the
loans in the trust. The R&W framework for this transaction is
classified as a Tier 2 due to the lack of an automatic review for
loans other than those with ATR realized losses. While the seller,
NRZ Sponsor XIII LLC, is not rated by Fitch, its parent, NRZ, has
an internal credit opinion from Fitch. Through an agreement, NRZ
ensures that the seller will meet its obligations and remain
financially viable. Fitch increased its loss expectations 75 bps at
the 'AAAsf' rating category to account for the limitations of the
Tier 2 framework and the counterparty risk.
Due Diligence Review Results (Positive): Third-party due diligence
was performed on 100% of loans in the transaction by AMC Diligence,
LLC (AMC), an 'Acceptable - Tier 1' third-party review (TPR). The
results of the review confirm strong origination practices with no
material exceptions. Exceptions on loans with 'B' grades either had
strong mitigating factors or were mostly accounted for in Fitch's
loan loss model. Fitch applied a credit for the high percentage of
loan-level due diligence, which reduced the 'AAAsf' loss
expectation by 0.50%.
Modified Sequential Payment Structure (Neutral): The structure
distributes collected principal pro rata among the class A notes
while shutting out the subordinate bonds from principal until all
three classes are reduced to zero. To the extent that either the
cumulative loss trigger event or the delinquency trigger event
occurs in a given period, principal will be distributed
sequentially to the class A-1, A-2 and A-3 bonds until they are
reduced to zero.
Servicer and Master Servicer: Shellpoint Mortgage Servicing
(Shellpoint), rated 'RPS3+'/Stable by Fitch, will be the primary
servicer for the loans. Nationstar, rated 'RMS2+'/Stable, will act
as master servicer. Delinquent principal and interest (P&I)
advances required but not paid by Shellpoint will be paid by
Nationstar, and if Nationstar is unable to advance, advances will
be made by U.S. Bank, N.A., the transaction's paying agent. The
servicer will be responsible for advancing P&I for 180 days of
delinquency.
RATING SENSITIVITIES
Fitch's analysis incorporates a sensitivity analysis to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at the MSA level. The implied rating sensitivities are
only an indication of some of the potential outcomes and do not
consider other risk factors that the transaction may become exposed
to or may be considered in the surveillance of the transaction. Two
sets of sensitivity analyses were conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0%, and 30.0%, in addition to
the model projected 2.2% at the base case. The analysis indicates
that there is some potential rating migration with higher MVDs,
compared with the model projection.
Fitch also conducted sensitivities to determine the stresses to
MVDs that would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'.
RR 7: S&P Assigns Prelim BB- (sf) Rating to $16.25MM Class D Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to RR 7 Ltd./RR
7 LLC's floating-rate notes.
The note issuance is a CLO securitization backed by a diversified
collateral pool, which consists primarily of broadly syndicated
speculative-grade (rated 'BB+' and lower) senior secured term loans
that are governed by collateral quality tests.
The preliminary ratings are based on information as of Jan. 8,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversified collateral pool;
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
RR 7 Ltd./RR 7 LLC
Class Rating Amount
(mil. $)
X AAA (sf) 2.00
A-1a AAA (sf) 320.00
A-1b NR 10.00
A-2 (deferrable) AA (sf) 50.00
B (deferrable) A (sf) 30.00
C-1 (deferrable) BBB (sf) 27.50
C-2 (deferrable) BBB- (sf) 6.25
D (deferrable) BB- (sf) 16.25
Subordinated notes NR 60.00
NR--Not rated.
SILVER HILL 2019-SBC1: DBRS Finalizes B Rating on 2 Note Classes
----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of secured floating-rate notes issued by Silver Hill Trust
2019-SBC1 (the Issuer):
-- Class A1 at AAA (sf)
-- Class A1-IO at AAA (sf)
-- Class A2 at AAA (sf)
-- Class A2-IO at AAA (sf)
-- Class M1 at AA (sf)
-- Class M1-IO at AA (sf)
-- Class M2 at A (sf)
-- Class M2-IO at A (sf)
-- Class M3 at BBB (sf)
-- Class M3-IO at BBB (sf)
-- Class B1 at BB (sf)
-- Class B1-IO at BB (sf)
-- Class B2 at B (sf)
-- Class B2-IO at B (sf)
All trends are Stable.
The collateral consists of 978 individual loans secured by 978
commercial, multifamily and single-family rental (SFR) properties
with an average loan balance of $452,092. DBRS Morningstar defines
properties as buildings located in non-contiguous addresses. The
transaction is configured with a sequential pay pass-through
structure. Given the complexity of the structure and granularity of
the pool, DBRS Morningstar applied its "North American CMBS
Multi-borrower Rating Methodology" (the CMBS Methodology) and its
"RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities
Model and Rating Methodology" (the RMBS Methodology).
Of the 978 individual loans, 205 loans, representing 18.4% of the
pool, have a fixed interest rate with a straight average of 7.6%.
The floating-rate loans are structured with interest-rate life
floors ranging from 6.0% to 11.0% with a straight average of 7.7%
and interest-rate margin ranging from 0.75% to 6.0% with a straight
average of 2.9%. To determine the probability of default (POD) and
loss given default inputs in the CMBS Insight Model for
floating-rate loans, DBRS Morningstar applied a stress to the
various indexes that corresponded with the remaining fully extended
term of the loans and added the respective contractual loan spread
to determine a stressed interest rate over the loan term. DBRS
Morningstar looked to the greater of the interest-rate floor or the
DBRS Morningstar stressed index rate when calculating stressed debt
service. The average DBRS Morningstar modeled coupon rate across
all loans was 7.6%. The loans have original terms of ten years to
30 years and amortize over periods of 15 years to 30 years. When
the cut-off loan balances were measured against the DBRS
Morningstar stressed net cash flow (NCF) and their respective
actual constants or stressed interest rates, there were 854 loans,
representing 87.5% of the pool, with term debt service coverage
ratios (DSCRs) below 1.15 times (x), a threshold indicative of a
higher likelihood of term default.
The pool has a weighted-average (WA) original term length of 346
months or 28.8 years with a WA remaining term of 333 months or 27.8
years. Based on the original loan balance and the appraisal at
origination, the pool had a WA loan-to-value (LTV) ratio of 64.8%.
DBRS Morningstar applied a pool WA LTV of 71.5%, which reflects
adjustments made to values based on implied cap rates by market
rank. Furthermore, all but 33 of 978 loans fully amortize over
their respective remaining loan terms, resulting in 97.5% expected
amortization; this is not representative of typical commercial
mortgage-backed security (CBMS) conduit pools, which have
substantial concentrations of interest-only (IO) and balloon loans.
DBRS Morningstar's research indicates that, for CMBS conduit
transactions securitized between 2000 and 2018, average
amortization by year has ranged between 7.5% and 22.0% with an
overall median of 12.5%.
Of the 978 loans, 45 loans, representing 1.7% of the trust balance,
are secured by SFR properties, defined as one to four investor
properties with one unit by the Issuer. The CMBS Methodology does
not currently contemplate ratings on SFR properties. To address
this, DBRS Morningstar severely increased the expected loss on
these loans by approximately 2.5x over the average non-SFR expected
loss.
The fully adjusted default assumption and model generated severity
figures from the DBRS Morningstar CMBS Insight Model were then
applied to the RMBS Cash Flow Model, which is adept at modeling
sequential and pro-rata structures on loan pools in excess of 1,000
loans. As part of the RMBS Cash Flow Model, DBRS Morningstar
incorporated four conditional prepayment rate stresses – 5.0%,
10.0%, 15.0% and 20.0%. Additional assumptions in the RMBS Cash
Flow Model include a 22-month recovery lag period, 100% servicer
advancing and four default curves (uniform, front, middle and
back). The shape and duration of the default curves were based on
the residential mortgage-backed security loss curves. Lastly, rates
were stressed, both upward and downward, based on their respective
loan indices.
The pool is relatively diverse based on loan size with an average
balance of $452,092, a concentration profile equivalent to that of
a pool with 601 equal-sized loans and a top-ten loan concentration
of only 4.8%. Increased pool diversity helps to insulate the
higher-rated classes from event risk. Furthermore, the loans are
mostly secured by traditional property types (i.e., retail,
multifamily, office and industrial) with no exposure to
higher-volatility property types, such as hotels, and minimal
exposure to self-storage or manufactured housing communities, which
represent 4.3% of the pool balance combined. Lastly, all but 33
loans in the pool fully amortize over their respective loan terms
between 120 months and 360 months, thus virtually eliminating
refinance risk.
The pool has high term risk as supported by the low WA DBRS
Morningstar DSCR of 0.89x. The DBRS Morningstar DSCR reflects a
conservatively stressed NCFs. Furthermore, the pool has a cut-off
WA LTV of 64.8% based on appraisal values at loan origination that
suggests overall moderate leverage.
The pool is heavily concentrated with multifamily, representing
35.6% of the pool, as modeled by DBRS Morningstar. Multifamily
properties included assets identified by the Issuer as multifamily,
bulk residential contiguous, bulk residential non-contiguous,
mixed-use assets that were predominately residential, and one to
four investor properties with two or more units. Based on DBRS
Morningstar research, multifamily properties securitized in conduit
transactions have had lower default rates than most other property
types. Of the pool balance, 29.9% of the multifamily loans are
located in strong suburban or urban markets, identified by market
ranks of five or greater, which typically have a more robust tenant
demand for multifamily properties.
Of the 47 loans on which DBRS Morningstar performed exterior
inspections, 33 loans, representing 4.3% of the pool (40.7% of the
DBRS Morningstar sample), were modeled with Average (-) to Poor
property quality and, on an overall basis, the mean DBRS
Morningstar property quality was Average (-). Lower-quality
properties are less likely to retain existing tenants, resulting in
less stable performance. DBRS Morningstar increased the POD for
these loans to account for the elevated risk. Furthermore, DBRS
Morningstar modeled any uninspected loans as Average (-), which has
a slightly increased POD level.
Limited property-level information was available for DBRS
Morningstar to review. Asset Summary Reports, Property Condition
Reports (PCRs), Phase I/II Environmental reports and historical
financial cash flows were not provided in conjunction with this
securitization. DBRS Morningstar received a long- or short-form
appraisal for loans in its sample, which DBRS Morningstar used in
the NCF analysis process. No environmental reports were provided;
however, only 11.0% of the pool consists of loans secured by
industrial properties, which would typically have an increased risk
of environmental concerns originating at the property. Furthermore,
as of the Cut-off Date, approximately 0.7% of the pool will be
covered by an individual environmental insurance policy and
approximately 33.9% of the Mortgage Loans will be covered by one or
more blanket environmental insurance policies. No PCRs were
provided; however, DBRS Morningstar used capital expense estimates
in excess of its guideline amounts and its assessment of the
sampled property quality to stress the NCF analysis. DBRS
Morningstar's NCF analysis resulted in a 33.2% reduction to the
Issuer's NCF, well above the median historical reduction of 8.0%
across CBMS conduit transactions, which provides meaningful stress
to the default levels.
DBRS Morningstar was provided limited borrower information, net
worth or liquidity information and credit history. DBRS Morningstar
modeled loans with Weak borrower strength, which increases the
stress on the default rate. Furthermore, DBRS Morningstar was
provided a 24-month pay history on each loan. Any loan with more
than two late pays within this period (or one late pay for loans
with less than 24 months of history) or two consecutive late pays
was modeled with additional stress to the default rate. This
assumption was applied to 14 loans, representing 2.0% of the pool
balance. Additionally, loans originated under the Lite Doc or Bank
Statement documentation programs were modeled with additional
stress to account for risk associated with borrowers that are
potentially less sophisticated or have negative credit histories.
Finally, a borrower FICO score as of October 2019 was provided on
716 of the 978 loans with an average FICO score of 723. While the
CMBS Methodology does not contemplate FICO scores, the RMBS
Methodology does and would characterize a FICO score of 723 as
near-prime, where prime is considered greater than 750. A borrower
with a FICO score of 723 could generally be described as
potentially having had previous credit events (foreclosure,
bankruptcy, etc.), but it is likely that these credit events were
cleared about two to five years ago.
Classes A1-IO, A2-IO, M1-IO, M2-IO, M3-IO, B1-IO, and B2-IO are IO
certificates that reference a single rated tranche or multiple
rated tranches. The IO rating mirrors the lowest-rated applicable
reference obligation tranche in the waterfall.
Notes: All figures are in U.S. dollars unless otherwise noted.
SSB RV 2001-1: S&P Cuts C Notes Rating to 'D', Withdraws Rating
---------------------------------------------------------------
S&P Global Ratings lowered its rating on SSB RV Trust 2001-1's
class C notes to 'D (sf)' from 'CC (sf)'. S&P subsequently withdrew
the rating.
SSB RV Trust 2001-1 is an ABS transaction backed by fixed-rate
recreational vehicle loans.
The downgrade reflects the transaction's failure to make its full
principal payment on the class C notes on the Dec. 15, 2019, final
maturity date.
UBS COMMERCIAL 2012-C1: Fitch Affirms Bsf Rating on Cl. F Certs
---------------------------------------------------------------
Fitch Ratings affirms nine classes of UBS Commercial Mortgage Trust
2012-C1 commercial mortgage pass-through certificates.
RATING ACTIONS
UBS 2012-C1
Class A-3 90269GAC5; LT AAAsf Affirmed; previously at AAAsf
Class A-AB 90269GAD3; LT AAAsf Affirmed; previously at AAAsf
Class A-S 90269GAE1; LT AAAsf Affirmed; previously at AAAsf
Class B 90269GAF8; LT AAAsf Affirmed; previously at AAAsf
Class C 90269GAL5; LT AAsf Affirmed; previously at AAsf
Class D 90269GAN1; LT BBB-sf Affirmed; previously at BBB-sf
Class E 90269GAQ4; LT BBsf Affirmed; previously at BBsf
Class F 90269GAS0; LT Bsf Affirmed; previously at Bsf
Class X-A 90269GAG6; LT AAAsf Affirmed; previously at AAAsf
Class A-1 and A-2 have paid in full. Fitch does not rate the class
G or X-B interest-only certificates
KEY RATING DRIVERS
Stable Loss Expectations: Loss expectations have remained stable
since the last rating action. While the majority of the pool
continues to exhibit steady performance, the Negative Outlook on
class F reflects concerns surrounding the refinance risk of the
Poughkeepsie Galleria (7.4% of the pool) as well as the performance
of the four other Fitch Loans of Concern (FLOCs; 4.7%), including
two specially serviced loans/assets.
Improved Credit Enhancement, Significant Defeasance: As of the
December 2019 distribution date, the pool's aggregate principal
balance had been paid down by 21.6% to $1 billion from $1.3 billion
at issuance. Seven loans have paid off since issuance. Nineteen
loans (46%) are fully defeased, including five of the top 10 loans
in the pool. Only one defeased loan (11.5%) remains interest only,
all other loans are currently amortizing. No loans mature or have
their anticipated repayment dates (ARD) prior to 2021 (17.2%) or
2022 (81.2%).
Alternative Loss Consideration, Poughkeepsie Galleria: The
Poughkeepsie Galleria loan is secured by a 691,325-sf portion of a
two-level enclosed regional mall located in Poughkeepsie, NY, a
secondary market approximately 70 miles north of New York City. The
mall is anchored by JC Penney and non-collateral Sears, Macy's and
Target. The servicer reported cash flow has been trending downward
over the last several years, and the servicer reported YE 2018 NOI
DSCR was 1.11x compared to YE 2017 at 1.25x. Further, collateral
occupancy declined to 78.8% as of August 2019 from 88.5% at
September 2018. While up slightly, in-line sales are not strong at
$384 psf. Fitch is concerned about the loan's ability to refinance
at maturity in November 2021. Fitch performed an additional
sensitivity scenario that assumed a potential outsized loss of 40%
on this loan. The Negative Rating Outlook on class F reflects this
analysis.
Fitch Loans of Concern: Aside from the Poughkeepsie Galleria loan,
four loans (4.7%) are designated FLOCs, including two specially
serviced loans/assets (3.1%).
The largest is the specially serviced Westminster Square loan
(1.6%), which is secured by a 194,703-sf office property located in
downtown Providence, RI. The loan recently transferred to special
servicing due to the borrower's failure to comply with cash
management provisions. Per the most recent 2019 rent roll, the
property was 71.9% occupied with an additional 23% of the NRA
scheduled to roll over the next year.
The next largest FLOC is the real estate owned (REO) Emerald Coast
Hotel Portfolio (1.6%), which consists of two limited service
hotels located in West Virginia. The loan transferred to special
servicing after the borrower filed Chapter 11; the loan became REO
in November 2017.
The remaining two FLOCs include loans secured by a three-property
hotel portfolio (1.4%) that had a YE 2018 NOI DSCR below 1.0x, and
a 31,000-sf retail center (0.2%) located in Hurst, TX with the most
recent servicer reported occupancy at 56.8%. Fitch will continue to
monitor these loans/assets going forward.
RATING SENSITIVITIES
The Negative Outlook on class F reflects the potential for a
downgrade due to concerns surrounding the refinance risk associated
with the Poughkeepsie Galleria as well as the performance of the
FLOCs. A rating downgrade to this class may occur should
performance of these loans continue to decline. Rating Outlooks for
the senior classes remain Stable due to the significant credit
enhancement, defeasance, and the stable performance of the majority
of the remaining pool and continued expected amortization. Rating
upgrades may be limited due to increasing pool concentration and
adverse selection.
Deutsche Bank is the trustee for the transaction, and also serves
as the backup advancing agent. Fitch's Issuer Default Rating for
Deutsche Bank is currently 'BBB'/'F2'/Evolving. Fitch relies on the
master servicer, Wells Fargo & Company (A+/F1/Stable), which is
currently the primary advancing agent, as a direct counterparty.
Fitch provided ratings confirmation on Dec. 12, 2018.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
No third-party due diligence was provided or reviewed in relation
to this rating action.
ESG CONSIDERATIONS
The transaction has an ESG Relevance Score of 4 for Exposure to
Social Impacts due a regional mall that is underperforming as a
result of changing consumer preference to shopping. The exposure
has a negative impact on the credit profile and is highly relevant
to the ratings.
WACHOVIA BANK 2005-C17: Fitch Lowers Rating on Class H Certs to Csf
-------------------------------------------------------------------
Fitch Ratings downgraded one class and affirmed six classes of
Wachovia Bank Commercial Mortgage Trust commercial mortgage
pass-through certificates, series 2005-C17.
RATING ACTIONS
Wachovia Bank Commercial Mortgage Trust 2005-C17
Class H 929766D67; LT Csf Downgrade; previously at CCCsf
Class J 929766D75; LT Dsf Affirmed; previously at Dsf
Class K 929766D83; LT Dsf Affirmed; previously at Dsf
Class L 929766D91; LT Dsf Affirmed; previously at Dsf
Class M 929766E25; LT Dsf Affirmed; previously at Dsf
Class N 929766E33; LT Dsf Affirmed; previously at Dsf
Class O 929766E41; LT Dsf Affirmed; previously at Dsf
KEY RATING DRIVERS
Increased Loss Expectations: The pool remains highly concentrated,
with only five of the original 227 loans remaining. Two loans (76%)
including one specially serviced loan have been identified as Fitch
Loans of Concern (FLOCs). The downgrade to class H is primarily due
to increased losses associated with Shopko Plaza (51% of pool
balance), which is secured by a 129,000 sf anchored retail property
located in Peoria, IL. The loan transferred to special servicing in
March 2019 and became REO in August 2019. While the former anchor
tenant Shopko (87% NRA) vacated in 2007 prior to its October 2020
lease expiration, it continued to pay rent through January 2019.
After Shopko no longer fulfilled its rental obligation, occupancy
at the property declined to 8% from 95% at YE 2018 and remained
unchanged as of the October 2019 rent roll. The property is
currently being marketed for sale.
The second FLOC, Kmart Plaza Shopping Center (25%), was flagged due
to the loss of an anchor tenant and continued low occupancy. The
loan is secured by a 145,000 sf anchored retail shopping center
located in Edgewood, KY, near Cincinnati. Kmart (65%) closed in
4Q19 as part of ongoing store closures. As a result, physical
occupancy declined to 23% as of June 2019 from 88% at YE 2018.
According to the servicer, the tenant is still paying its rental
obligations. Kmart's lease expires in November 2022. The loan is
scheduled to mature in February 2020. 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.
Deteriorating Credit Enhancement: Credit enhancement has worsened
since Fitch's last rating action. An REO asset, previously the
largest in the pool, disposed with losses in line with Fitch's
expectations. The losses reduced the balances of classes K and L to
zero and also reduced the balance of class J by $3.2 million (47%
of the class balance). A smaller loan (11.6% of pool) also prepaid
with a yield maintenance penalty. These proceeds were used to
paydown the most senior class H by approximately $3.8 million. The
trust has paid down by 99.5%, to $12.7 million from $2.7 billion at
issuance. Realized losses total $84.9 million or 3.1% of the
original deal balance.
RATING SENSITIVITIES
The downgrade to class H reflects the increased loss expectations
associated with the largest asset in the pool. Losses are
inevitable and expected to impact class H. Further downgrades could
occur as losses materialize.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
No third-party due diligence was provided or reviewed in relation
to this rating.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of 3. ESG issues are credit neutral
or only have a minimal credit impact on the transaction, either due
to their nature or the way in which they are being managed by the
transaction.
WAMU MORTGAGE 2007-OA4: Moody's Cuts Cl. 1X-PPP Certs to C(sf)
--------------------------------------------------------------
Moody's Investors Service downgraded the rating of Cl. 1X-PPP from
WaMu Mortgage Pass-Through Certificates, Series 2007-OA4, backed by
Option ARM loans.
The complete rating action is as follows:
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2007-OA4
Cl. 1X-PPP*, Downgraded to C (sf); previously on Dec 20, 2017
Upgraded to Caa3 (sf)
*Reflects Interest Only Classes
RATINGS RATIONALE
The downgrade of the rating to C (sf) reflects the non-payment of
interest for an extended period of 12 months. For this bond, the
coupon rate is subject to a calculation that has reduced the
required interest distribution to zero. Because the coupon on this
bond is subject to changes in interest rate and/or collateral
composition, there is a remote possibility that it may receive
interest in the future.
The methodologies used in this rating 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 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.
WELLS FARGO 2018-BXI: Fitch Affirms Bsf Rating on Class F Certs
---------------------------------------------------------------
Fitch Ratings affirmed Wells Fargo Commercial Mortgage Trust
2018-BXI Mortgage Trust pass through certificates. The Rating
Outlooks for all classes remain Stable.
RATING ACTIONS
Wells Fargo Commercial Mortgage Trust 2018-BXI
Class A 95001PAA1; LT AAAsf Affirmed; previously at AAAsf
Class B 95001PAG8; LT AA-sf Affirmed; previously at AA-sf
Class C 95001PAJ2; LT A-sf Affirmed; previously at A-sf
Class D 95001PAL7; LT BBB-sf Affirmed; previously at BBB-sf
Class E 95001PAN3; LT BB-sf Affirmed; previously at BB-sf
Class F 95001PAQ6; LT Bsf Affirmed; previously at Bsf
Class HRR 95001PAS2; LT B-sf Affirmed; previously at B-sf
HRR - Horizontal risk retention interest.
KEY RATING DRIVERS
The affirmations reflect the stable performance of the underlying
pool. The interest only loan is currently secured by the fee
interest in 33 industrial properties and one office property
located primarily in Chicago and South Florida and totaling 4.4
million square feet. Since issuance, one property (0.8% of the
allocated loan amount at issuance) has been released from the pool
resulting in pro-rata principal pay down of $2.8 million to the
classes.
Improved Portfolio Occupancy: As of the September 2019 rent rolls,
the portfolio is 98.5% leased compared to 91.2% at issuance (based
on the October 2017 rent rolls). Approximately 6.9% of the NRA is
scheduled to roll in 2020. Per the servicer, the TTM June 2019
portfolio NCF DSCR was 2.47x.
Portfolio Diversity: The portfolio exhibits modest geographic
diversity with 34 properties located in three states and 15
individual submarkets. The largest 10 properties (by ALA) account
for approximately 49% of the portfolio base rent and 57% of total
NRA. The portfolio also exhibits significant tenant diversity as it
features over 75 distinct tenants with no individual tenant
representing more than 9.2% of base rent.
Primary Market Locations: Approximately 93% of the portfolio NRA is
located in Chicago (third largest U.S. MSA) and South Florida
(eighth largest U.S. MSA), and features immediate access to some of
the country's largest markets. The properties are predominantly
clustered around major interstates and thoroughfares within each
market, and benefit from close proximity to numerous transportation
networks.
Average Asset Quality and Older Property Age: The 34 properties
comprising the portfolio have an average age of 30+ years (built
between 1950 and 2007). Most properties have not been substantially
renovated and are considered to be of an older vintage. The
weighted average Fitch property quality grade for the portfolio was
'B-'; however, the two largest properties (by ALA) received Fitch
property quality grades in the 'C' category.
Limited Structural Features and Interest Only: Ongoing reserves for
taxes, insurance, leasing costs ($0.30 psf) and replacement
reserves ($0.15 psf) will only be collected during a cash
management period triggered by an event of default or the debt
yield falling below 7.0% during the first, second or third
extension options and 7.25% during the fourth or fifth extension
options, for two consecutive quarters. In addition, the mortgage
loan is interest-only during its entire term. The loan is currently
in its first extension period, which matures in December 2020.
Release Provisions: The borrower is permitted to release individual
properties from the portfolio, such that the first 15% of the
released properties' allocated loan amount (ALA) will be paid pro
rata to the loan components including the mezzanine loans. However,
this will require a release premium of 105% of the ALA to be paid
down in connection with any property releases until the first 25%
of the loan balance has been repaid, with a release premium of 110%
of the ALA thereafter. Additionally, property releases are not
permitted unless the remaining pool, following any property
release, satisfies a debt yield test. This is in place to mitigate
the risk that the collateral of the remaining pool may be of lesser
quality. Specifically, property releases will not be permitted
unless the debt yield following any release is equal to the greater
of the closing date debt yield or the debt yield immediately prior
to the release (unless the debt yield is greater than 10%). There
is no cap in place for maximum total releases in any given year or
in aggregate during the loan term. As of December 2019 trustee
reporting, one property had been released (0.8% of the allocated
loan amount at issuance).
High Aggregate Leverage: The Fitch stressed DSCR and LTV on the
trust debt amount of $189.2 million are 0.91x and 99.2%,
respectively, while the Fitch stressed DSCR and LTV on the total
debt of $248.4 million are 0.70x and 130.2%, respectively.
Institutional Sponsorship: The loan is sponsored by Blackstone Real
Estate Partners VIII L.P., which is owned by affiliates of the
Blackstone Group, L.P. Blackstone is a global leader in real estate
investing with over $157 billion in assets under management, as of
Sept. 30, 2019.
Cap on Recourse Carveout Provisions: The carveout guarantors'
liability on the nonrecourse bankruptcy carveouts is limited to 20%
of the then-outstanding loan balance.
RATING SENSITIVITIES
The Rating Outlook for all classes remains Stable. No rating
actions are anticipated unless there are material changes in
portfolio occupancy or cash flow.
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.
WFRBS COMMERCIAL 2013-C13: Fitch Affirms Bsf Rating on Cl. F Certs
------------------------------------------------------------------
Fitch Ratings affirmed 11 classes of WFRBS Commercial Mortgage
Trust commercial mortgage pass-through certificates series
2013-C13.
RATING ACTIONS
WFRBS 2013-C13
Class A-3 92937UAC2; LT AAAsf Affirmed; previously at AAAsf
Class A-4 92937UAD0; LT AAAsf Affirmed; previously at AAAsf
Class A-S 92937UAF5; LT AAAsf Affirmed; previously at AAAsf
Class A-SB 92937UAE8; LT AAAsf Affirmed; previously at AAAsf
Class B 92937UAG3; LT AAsf Affirmed; previously at AAsf
Class C 92937UAH1; LT Asf Affirmed; previously at Asf
Class D 92937UAJ7; LT BBB-sf Affirmed; previously at BBB-sf
Class E 92937UAL2; LT BBsf Affirmed; previously at BBsf
Class F 92937UAN8; LT Bsf Affirmed; previously at Bsf
Class X-A 92937UAS7; LT AAAsf Affirmed; previously at AAAsf
Class X-B 92937UAU2; LT Asf Affirmed; previously at Asf
KEY RATING DRIVERS
Stable Performance and Loss Expectations: Overall pool performance
and loss expectations remain stable since issuance. There have been
no realized losses to date. No loans have transferred to special
servicing since issuance. While 15 loans (8.6% of the pool) are on
servicer's watchlist due to servicer performance triggers, deferred
maintenance or upcoming rollover risk, only three (2%) were flagged
as Fitch Loans of Concern (FLOCs). While not listed on the
servicer's watchlist, two loans (13.5%) within the top 15 were
flagged as FLOCs.
The largest loan, 301 South College Street (11.9%), was flagged as
a FLOC due to upcoming tenant rollover risk. The loan is secured by
a 988,646-sf, 42-story office tower known as One Wells Fargo Center
located in Charlotte, NC. The property serves as the East Coast
headquarters of Wells Fargo Bank (69.5% NRA; lease expires Dec. 31,
2021). According to media reports in 2019, Wells Fargo reportedly
planned to reduce its space at the subject property and expand its
presence at nearby properties. Wells has executed a lease for
200,535 sf commencing Jan. 1, 2022 through Dec. 31, 2032, which
significantly reduces its current footprint at the property
(approximately 687, 000 sf). There is a reserve in place that will
trap excess cash flow for all terminated space or space being
vacated upon expiration. Fitch has inquired to the servicer about
future plans regarding the potentially vacant space, but has not
yet received a response.
100 International Drive (1.6%), the second largest FLOC, is secured
by a 113,008-sf office property located in Portsmouth, NH.
Approximately 45% of NRA expires in 2020 including the largest
tenant Liberty Mutual (approximately 38% NRA; lease expires Aug.
31, 2020) and third largest tenant Nicor Energy Services (10.8%;
exp. Sept. 30, 19). Occupancy declined to 77% as of the September
2019 rent roll from 95% at YE 2018. It appears the driver of the
decline was a Liberty Mutual decision to exercise an early
termination provision and vacate a portion of its space
(approximately 20%). The rent roll indicated that the vacant space
was scheduled to be backfilled in two phases by one tenant
(September 2019 and July 2020). Fitch requested further details on
the lease terms of the new tenant. Fitch will continue to monitor
the loan for leasing updates. The three remaining FLOCs represent
2% of the pool.
Improved Credit Enhancement Since Issuance: As of the December 2019
distribution date, the pool's aggregate balance has been reduced by
21% to $693 million from $876.7 million at issuance. Di minimus
interest shortfalls (less than $200) are currently affecting the
non-rated class G. Seven loans (17.2% of the pool) are full-term
interest-only, and the remaining 79 loans are amortizing. Six loans
(14.3%) are defeased.
Alternative Loss Considerations: Fitch applied an additional
sensitivity where a loss of 10% was applied on the 301 South
College Street loan to address significant upcoming lease rollover
concerns. This scenario did not affect the ratings.
Pool and Property Concentrations: The largest loan, 301 South
College Street, represents 11.2% of the current pool balance.
Additionally, the top 10 loans represent 52% of the current pool
balance. The pool's largest property type is office at 33%,
including four loans in the top 15. Retail and lodging represent
the second- and third-largest property types at 23.1% and 9.9%,
respectively. No other property type represents more than 8.5% of
the pool balance. There is no regional mall exposure within the
pool.
Maturity Concentration: All loans mature between April and May of
2023.
RATING SENSITIVITIES
The Rating Outlooks on classes A-3 through F remain Stable due to
increasing credit enhancement and expected continued paydown.
Future upgrades may occur with improved pool performance and
additional defeasance or paydown. Rating downgrades are possible if
the performance of the FLOCs declines.
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.
*********
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