/raid1/www/Hosts/bankrupt/TCR_Public/200209.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, February 9, 2020, Vol. 24, No. 39
Headlines
AMERICAN CREDIT 2020-1: DBRS Gives Prov. B Rating on Class F Notes
ANCHORAGE CREDIT 1: S&P Assigns BB- (sf) Rating to Class E Notes
BAMLL COMMERCIAL 2020-BOC: Fitch to Rate $7.505MM Cl. E Certs BBsf
BATTALION CLO XV: S&P Assigns Prelim BB- Rating to Cl. E Notes
BXMT LTD 2020-FL2: DBRS Assigns Prov. B(low) Rating on Cl. G Notes
CGCMT 2016-GC37: Fitch Corrects Feb. 5 Ratings Release
CITIGROUP COMMERCIAL 2016-C1: Fitch Affirms Class F Certs at B-sf
CITIGROUP COMMERCIAL 2016-GC37: Fitch Affirms Class F Certs at 'B-'
CITIGROUP COMMERCIAL 2018-B2: Fitch Affirms B- on 2 Tranches
CITIGROUP COMMERCIAL 2020-GC46: Fitch to Rate GRR Debt 'B-(EXP)'
CONNECTICUT 2020-R02: S&P Assigns Prelim B+ Rating on 2M-2X Notes
CWALT INC 2005-16: Moody's Lowers Rating on Class X-1 Certs to 'C'
DT AUTO 2020-1: S&P Assigns BB (sf) Rating to Class E Notes
FLAGSHIP CREDIT 2020-1: S&P Assigns Prelim BB- Rating to E Notes
FOURSIGHT CAPITAL 2020-1: Moody's Rates $11.73MM Class F Notes 'B2'
FREDDIE MAC 2020-DNA2: S&P Assigns Prelim B Rating on B-1B Notes
FREDDIE MAC 2020-HQA1: Fitch Rates 16 Tranches 'Bsf'
FREDDIE MAC 2020-HQA1: S&P Assigns B+ (sf) Rating to Cl. M-2 Notes
FREED ABS 2020-FP1: DBRS Finalizes BB(low) Rating on Class C Notes
GLS AUTO 2020-1: S&P Assigns BB- (sf) Rating to Class D Notes
GS MORTGAGE 2010-C1: DBRS Lowers Class F Notes Rating to BB(low)
GS MORTGAGE 2013-GCJ12: Fitch Affirms CCC on Class F Certs
GS MORTGAGE 2020-DUNE: Moody's Assigns B3 Rating on Class F Certs
GS MORTGAGE 2020-GC45: DBRS Finalizes B Rating on 2 Tranches
JP MORGAN 2020-1: Moody's Assigns B3 Rating on 2 Tranches
JP MORGAN 2020-LOOP: Moody's Assigns B3 Rating on Class F Certs
JP MORGAN 2020-LTV1: DBRS Finalizes B(high) Rating on 2 Classes
JPMDB COMMERCIAL 2017-C5: Fitch Affirms Class G-RR Certs at Bsf
LCM XXIII: S&P Affirms 'BB (sf)' Rating on Class D Notes
MORGAN STANLEY 2020-L4: Fitch to Rate $9.3MM Class G-RR Certs B-sf
MUSKOKA 2019-1: DBRS Hikes Rating on Class D Notes to BB(high)
NATIXIS COMMERCIAL 2020-2PAC: S&P Assigns BB- Rating to MSK1 Certs
NEW RESIDENTIAL 2020-RPL1: DBRS Gives (P)B Rating on B-2 Notes
OCTAGON INVESTMENT XIX: Moody's Cuts $7.5MM Cl. F Notes to Caa2
ONE MARKET 2017-1MKT: S&P Affirms B-(sf) Rating to Class X-E Certs
PALMER SQUARE 2015-2: S&P Assigns Prelim B- Rating on E-R2 Notes
PALMER SQUARE 2018-2: Fitch Hikes Class E Debt to B+sf
PSMC TRUST 2020-1: Fitch Rates Class B-5 Debt Bsf
RADNOR RE 2020-1: DBRS Finalizes B Rating on Class M-2A Notes
RASC TRUST 2006-KS7: Moody's Hikes Class M-1 Debt Rating to Ba1
REAL ESTATE 2020-1: DBRS Assigns Prov. B Rating on Class G Certs
RESIDENTIAL MORTGAGE 2020-1: S&P Assigns B (sf) Rating to B-2 Notes
SAPPHIRE AVIATION II: Fitch Assigns BB(EXP) Rating on Cl. C Debt
SARANAC CLO VIII: Moody's Gives (P)Ba3 Rating on $19MM Cl. E Notes
SEQUOIA MORTGAGE 2020-2: Fitch to Rate Class B-4 Certs 'BB-(EXP)'
SIERRA TIMESHARE 2019-1: Fitch Affirms BBsf Rating on Cl. D Notes
TABERNA PREFERRED VI: Moody's Hikes Rating on 2 Tranches to Ba3
TOWD POINT 2020-1: Fitch Assigns Bsf Rating on 11 Tranches
TRUPS FINANCIALS 2018-1: Moody's Hikes $71MM Class C Notes to Ba1
WELLS FARGO 2016-NXS5: Fitch Affirms B-sf Rating on 2 Tranches
WELLS FARGO 2020-C55: Fitch to Rate $9.629MM Class G Certs B-sf
[*] DBRS Takes Rating Actions on 649 Classes From 74 US RMBS Deals
[*] DBRS Takes Rating Actions on 942 Classes From 60 CMBS Deals
[*] Fitch Takes Action on 38 Tranches From 5 CRE CDOs Deals
[*] Fitch Takes Action on Distressed Bonds From 4 US CMBS Deals
[*] S&P Takes Various Actions on 110 Classes From 20 US RMBS Deals
[*] S&P Takes Various Actions on 158 Classes From 28 US RMBS Deals
[] DBRS Takes Rating Actions on 457 Classes From 37 US RMBS Deals
*********
AMERICAN CREDIT 2020-1: DBRS Gives Prov. B Rating on Class F Notes
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by American Credit Acceptance Receivables Trust
2020-1 (ACAR 2020-1):
-- $143,910,000 Class A Notes rated AAA (sf)
-- $40,170,000 Class B Notes rated AA (sf)
-- $73,120,000 Class C Notes rated A (sf)
-- $57,330,000 Class D Notes rated BBB (low) (sf)
-- $28,080,000 Class E Notes rated BB (sf)
-- $18,920,000 Class F Notes rated B (sf)
The ratings are based on DBRS Morningstar's review of the following
analytical considerations:
-- Transaction capital structure, proposed ratings, and form and
sufficiency of available credit enhancement.
-- Credit enhancement is in the form of overcollateralization,
subordination, amounts held in the reserve fund, and excess spread.
Credit enhancement levels are sufficient to support the DBRS
Morningstar-projected expected cumulative net loss assumption under
various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the ratings address the
payment of timely interest on a monthly basis and the payment of
principal by the legal final maturity date.
-- ACAR 2020-1 provides for Class A, B, C, and D coverage
multiples that are slightly below the DBRS Morningstar range of
multiples set forth in the criteria for this asset class. DBRS
Morningstar believes that this is warranted, given the magnitude of
expected loss and the structural features of the transaction.
-- The capabilities of American Credit Acceptance, LLC (ACA) with
regard to origination, underwriting, and servicing.
-- DBRS Morningstar has performed an operational review of ACA and
considers the entity to be an acceptable originator and servicer of
subprime automobile loan contracts.
-- The ACA senior management team has considerable experience,
with an average of 19 years in banking, finance, and auto finance
companies, as well as an average of approximately seven years of
company tenure.
-- ACA has completed 29 securitizations since 2011, including four
transactions in 2019.
-- ACA maintains a strong corporate culture of compliance and a
robust compliance department.
-- The credit quality of the collateral and the consistent
performance of ACA's auto loan portfolio.
-- Considerable availability of historical performance data and a
history of consistent performance on the ACA portfolio.
The ratings also consider the statistical pool characteristics:
-- The average remaining life of the collateral pool is
approximately 66 months.
-- ACAR 2020-1 provides for Class F Notes with an assigned rating
of B (sf ). While the DBRS Morningstar "Rating U.S. Retail Auto
Loan Securitizations" methodology does not set forth a range of
multiples for this asset class for the B (sf ) level, the
analytical approach for this rating level is consistent with that
contemplated by the methodology. The typical range of multiples
applied in the DBRS Morningstar stress analysis for a B (sf )
rating is 1.00 times (x) to 1.25x.
-- The weighted-average FICO score of the pool is 538.
-- The legal structure and presence of legal opinions that address
the true sale of the assets to the Issuer, the non-consolidation of
the special-purpose vehicle with ACA, that the trust has a valid
first-priority security interest in the assets and the consistency
with DBRS Morningstar's "Legal Criteria for U.S. Structured
Finance" methodology.
The ACAR 2020-1 transaction will represent the 30th securitization
completed by ACA since 2011 and will offer both senior and
subordinate rated securities. The receivables securitized in ACAR
2020-1 will be subprime automobile loan contracts secured primarily
by used automobiles, light-duty trucks, vans, motorcycles, and
minivans.
The rating on the Class A Notes reflects the 64.10% of initial hard
credit enhancement provided by the subordinated notes in the pool,
the Reserve Fund (1.00%), and overcollateralization (7.30% of the
total pool balance). The ratings on Class B, Class C, Class D,
Class E, and Class F Notes reflect 53.80%, 35.05%, 20.35%, 13.15%,
and 8.30% of initial hard credit enhancement, respectively.
Additional credit support may be provided from excess spread
available in the structure.
Notes: All figures are in U.S. dollars unless otherwise noted.
ANCHORAGE CREDIT 1: S&P Assigns BB- (sf) Rating to Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Anchorage Credit
Opportunities CLO 1 Ltd.'s fixed- and floating-rate notes.
The note issuance is a collateralized loan obligation (CLO)
transaction backed by broadly syndicated speculative-grade (rated
'BB+' and lower) senior secured term loans that are governed by
collateral quality tests and managed by Anchorage Capital Group
LLC.
The ratings reflect S&P's assessment of:
-- The diversification of the 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 experience of the collateral management team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
Anchorage Credit Opportunities CLO 1 Ltd./ Anchorage Credit
Opportunities CLO 1 LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 220.00
A-2 NR 5.00
B-1 AA (sf) 25.00
B-2 AA (sf) 10.00
C-1 (deferrable) A (sf) 15.50
C-2 (deferrable) A (sf) 30.00
D (deferrable) BBB- (sf) 29.00
E (deferrable) BB- (sf) 15.50
Subordinated notes NR 55.80
NR--Not rated.
BAMLL COMMERCIAL 2020-BOC: Fitch to Rate $7.505MM Cl. E Certs BBsf
------------------------------------------------------------------
Fitch Ratings published a presale report on the BAMLL Commercial
Mortgage Securities Trust 2020-BOC Commercial Mortgage Pass-Through
Certificates, Series 2020-BOC.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $127,490,000 class A 'AAAsf'; Outlook Stable;
-- $210,045,000a class X 'BBB-sf'; Outlook Stable;
-- $17,860,000 class B 'AA-sf'; Outlook Stable;
-- $29,260,000 class C 'A-sf'; Outlook Stable;
-- $35,435,000 class D 'BBB-sf'; Outlook Stable;
-- $7,505,000 class E 'BBsf'; Outlook Stable.
The following class is not expected to be rated by Fitch:
-- $11,450,000b class VRR.
(a) Notional amount and interest-only.
(b)Vertical credit risk retention interest.
The expected ratings are based on information provided by the
issuer as of Feb. 6, 2020.
TRANSACTION SUMMARY
BAMLL 2020-BOC Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2020-BOC, represents the beneficial ownership
interest in a seven-year, fixed-rate, interest-only first lien
mortgage loan with an original principal balance of $304 million.
The mortgage loan is secured by the fee simple interest in certain
condominium units comprising The Bravern Office Commons, a
749,694-sf office property consisting of two buildings located in
Bellevue, WA that are both entirely net-leased to the Microsoft
Corporation.
The total $304 million mortgage loan consists of $153 million of
senior A-1 and A-2 notes (trust loan), a $75 million pari passu
senior companion A-3 note (non-trust) and a $76 million junior
B-note (trust loan). The pari passu senior companion note (A-3)
will not be part of the trust, and is expected to be contributed to
one or more future securitizations. Loan proceeds were used to
facilitate the sponsor's acquisition and fund upfront reserves and
closing costs.
KEY RATING DRIVERS
High-Quality Office Collateral in Strong Location: The Bravern
Office Commons is a 749,694-sf, class A office property located in
downtown Bellevue, WA. Developed in 2009, the property consists of
two buildings (Bravern I and Bravern II) and is part of a mixed-use
development that includes approximately 305,000sf of luxury retail
space (non-collateral) and 455 high-end residential units
(non-collateral). The loan collateral includes a seven-level,
approximately 3,130-stall, subterranean parking garage. Fitch
assigned a property quality grade of 'B+.'
Single-Tenant Lease Exposure and Rollover Risk: The office
buildings are entirely net-leased to Microsoft Corporation
(AA+/F1+/Stable), the world's largest software company with a
$1.038 trillion market cap and $133.8 billion in cash and
short-term investments. Microsoft has invested over $181 million
($241psf) of its own capital to enhance the design and technical
performance specifications of the office buildings.
The Microsoft lease expires during the loan term and has a weighted
average remaining term of 5.7 years. There are two, five-year
renewal options remaining for Bravern I and one, five-year renewal
option remaining for Bravern II. Twelve months' prior written
notice is required, and there are no termination or contraction
options for either space.
Reserves: Upfront reserves of approximately $7.3 million were
funded to address all outstanding landlord obligations, including
tenant improvements and rent differential. The loan includes a cash
flow sweep upon a trigger event, which occurs if Microsoft does not
provide notice to renew within 12 months of lease expiration or
ceases to be in physical occupancy of more than 375,000sf
(approximately 47% of NRA).
Low Fitch Leverage: The $304 million mortgage loan has a Fitch debt
service coverage ratio and loan-to-value of 1.15x and 77.5%,
respectively. The sponsor acquired the property in December 2019
for $608 million ($811psf).
Institutional Sponsorship: QSuper was founded in 1912 and is a
superannuation benefits fund with approximately AUD113 billion
(USD76.1 billion) in assets under management as of June 30, 2019.
The firm provides its services to employees of Queensland
Government departments, authorities and enterprises. The firm
invests in public equity, fixed-income markets, cash and properties
in Australia and across the globe. Invesco currently serves as
investment advisor to QSuper, pursuant to an investment advisory
and management agreement.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 6.5% below
the underwritten issuer NCF. Unanticipated further declines in the
property-level NCF could result in higher defaults and loss
severities on defaulted loans, and could result in potential rating
actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the
2020-BOC 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 'AAAsf' certificates to 'Asf' could result. In a more severe
scenario, in which NCF declined a further 30% from Fitch's NCF, a
downgrade of the 'AAAsf' certificates to 'BBB-sf' could result.
BATTALION CLO XV: S&P Assigns Prelim BB- Rating to Cl. E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Battalion
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 Feb. 6,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The diversification of the collateral pool.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
Battalion CLO XV Ltd.
Class Rating Amount (mil. $)
A-1 AAA (sf) 248.00
A-2 NR 10.00
B AA (sf) 46.00
C (deferrable) A (sf) 20.00
D (deferrable) BBB (sf) 26.00
E (deferrable) BB- (sf) 14.00
Subordinated notes NR 41.25
NR--Not rated.
BXMT LTD 2020-FL2: DBRS Assigns Prov. B(low) Rating on Cl. G Notes
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings provisional ratings to the
following classes of notes (the Notes) to be issued by BXMT
2020-FL2, Ltd. (the Issuer):
-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)
All trends are Stable. Classes F and G will be privately placed.
The initial collateral consists of 34 floating-rate mortgages
secured by 80 mostly transitional properties, with a cutoff balance
totaling $1.3 billion, excluding approximately $853.9 million of
unfunded companion future funding participations. Most loans are in
a period of transition with plans in place to stabilize and improve
the asset value. The Issuer may direct principal proceeds to
acquire a portion of one or more companion participations without
rating agency confirmation (RAC), subject to the Replenishment
Criteria. The Replenishment Criteria requires, among other things,
for the underlying mortgage loan not to be a defaulted mortgage
loan or specially serviced loan, for no event of default to have
occurred or been continuing, and for certain note protection tests
to be satisfied. Commercial real estate collateralized loan
obligation transactions often allow for principal prepayment
proceeds to be held in an account and used to purchase pari passu
companion participation of existing trust assets instead of being
used to pay down bonds. Typically, if RAC is not required to
acquire these participations, DBRS Morningstar performs a paydown
analysis whereby the loans in the pool with the lowest Unexpected
loss (EL) that have no future funding are assumed to pay off, and
then all future funding is brought in, with the pool balance
staying constant. The effect of this paydown analysis is that the
EL migrates to a higher level as DBRS Morningstar assumes a
worst-case scenario where only good loans pay off. As a result, the
pool loss levels are higher than they would be on the pool as it
stands at closing.
In this transaction, RAC is not required to acquire participation
of existing trust assets, but the transaction documents require the
resulting pool DBRS Morningstar weighted-average (WA) EL to be no
greater than 6.5%. This is intended by the Issuer to keep credit
risk fairly constant, as the initial pool DBRS Morningstar WA EL is
6.0%. As a result, DBRS Morningstar did not perform a paydown
analysis on this transaction and assumes negative credit migration.
While it's possible for loans to get worse (or better) after
securitization, and the EL being used could be lower (or higher)
than it truly should be, DBRS Morningstar believes that the capital
structure as proposed by the Issuer adequately accounts for this
risk. Any significant modifications will require RAC and such a
loan will have its EL updated based on such modification.
For the floating-rate loans, DBRS Morningstar used the one-month
LIBOR index, which is based on the lower of a DBRS Morningstar
stressed rate that corresponds to the remaining fully extended term
of the loans or the strike price of the interest-rate cap with the
respective contractual loan spread added to determine a stressed
interest rate over the loan term. When the cutoff balances were
measured against the DBRS Morningstar As-Is Net Cash Flow (NCF), 10
loans, comprising 28.9% of the initial pool, had a DBRS Morningstar
As-Is Debt Service Coverage Ratio (DSCR) below 1.00 times (x), a
threshold indicative of default risk. Additionally, none of the
DBRS Morningstar Stabilized DSCRs are below 1.00x, which is
indicative of elevated refinance risk. The properties are often
transitioning with potential upside in cash flow; however, DBRS
Morningstar does not give full credit to the stabilization if there
are no holdbacks or if other loan structural features in place are
insufficient to support such treatment. Furthermore, even with the
structure provided, DBRS Morningstar generally does not assume the
assets to stabilize the above market levels. The transaction will
have a sequential-pay structure.
The properties are primarily located in core markets with the
overall pool's WA DBRS Morningstar Market Rank at a very high 5.8.
Four loans, totaling 12.4% of the pool, are in markets with a DBRS
Morningstar Market Rank of 8, and 10 loans, totaling 28.9% of the
pool, are in markets with a DBRS Morningstar Market Rank of 7.
These higher DBRS Morningstar Market Ranks correspond to zip codes
that are more urbanized in nature. These markets benefit from
increased liquidity that is driven by consistently strong investor
demand; therefore, such markets tend to benefit from lower default
frequencies than less dense suburban, tertiary, and rural markets.
Some of the urban markets represented include New York; Brooklyn,
New York; San Francisco; and Chicago.
As measured, including all future funding in the calculation, the
WA as-is LTV is low at 74.5%. Further, the WA as-stabilized LTV is
also quite low at 58.0%. The WA DBRS Morningstar As-Is LTV reflects
an as-is appraised value adjustment to one loan based on the
appraiser's as-completed value, based on upfront capital
expenditure facilities.
Property quality for the pool is considered strong, as 14 loans in
the pool, totaling 74.0% of the DBRS Morningstar sample by
cutoff-date pool balance, are backed by a property with a quality
deemed to be Average (+), Above Average, or Excellent by DBRS
Morningstar. The borrowers of all 34 floating-rate loans have
purchased LIBOR rate caps that range between 2.5% and 4.0% to
protect against rising interest rates over the term of the loan.
Twenty-one loans, representing 64.4% of the initial pool balance,
represent acquisition financing. Acquisition financing generally
requires the respective sponsor(s) to contribute material cash
equity as a source of funding in conjunction with the mortgage
loan, resulting in a higher sponsor cost basis in the underlying
collateral.
The pool consists of mostly transitional assets. Given the nature
of the assets, DBRS Morningstar determined a sample size
representing 58.7% of the pool cutoff-date balance. Although this
is lower than the typical sample size for traditional conduit
commercial mortgage-backed securities (CMBS) transactions, the pool
is quite diversified given the loan count as the Issuer has cut
mostly identically sized pari passu pieces. Physical site
inspections were also performed, including management meetings.
DBRS Morningstar also notes that when DBRS Morningstar analysts are
visiting the markets, they may actually visit properties more than
once to follow the progress (or lack thereof) toward stabilization.
The service is also in constant contact with the borrowers to track
progress.
All of the loans in the pool have floating interest rates, and all
loans are IO during the original term and have original term ranges
from 24 months to 70 months, creating interest rate risk. For the
floating-rate loans, DBRS Morningstar used the one-month LIBOR
index, which is based on the lower of a DBRS Morningstar stressed
rate that corresponded to the remaining fully extended term of the
loans or the strike price of the interest rate cap with the
respective contractual loan spread added to determine a stressed
interest rate over the loan term. Additionally, all loans have
extension options, and in order to qualify for these options, the
loans must meet minimum DSCR and LTV requirements.
DBRS Morningstar has analyzed the loans to a stabilized cash flow
that is, in some instances, above the current in-place cash flow.
There is a possibility that the sponsors will not execute their
business plans as expected and that the higher stabilized cash flow
will not materialize during the loan term. Failure to execute the
business plan could result in a term default or the inability to
refinance the fully funded loan balance. DBRS Morningstar made
relatively conservative stabilization assumptions and, in each
instance, considered the business plan to be rational and the
future funding amounts to be sufficient to execute such plans. In
addition, DBRS Morningstar analyzes loss given default based on the
as-is LTV, assuming the loan is fully funded.
Notes: All figures are in U.S. dollars unless otherwise noted.
CGCMT 2016-GC37: Fitch Corrects Feb. 5 Ratings Release
------------------------------------------------------
Fitch Ratings replaced a ratings release on Citigroup Commercial
Mortgage Trust Commercial Mortgage Pass-Through Certificates,
Series 2016-GC37, published on February 5, 2020 to correct the name
of the obligor for the bonds.
The amended ratings release is as follows:
Fitch Ratings affirmed 15 classes of Citigroup Commercial Mortgage
Trust Commercial Mortgage Pass-Through Certificates, series
2016-GC37.
RATING ACTIONS
CGCMT 2016-GC37
Class A-1 17290XAQ3; LT AAAsf Affirmed
Class A-2 17290XAR1; LT AAAsf Affirmed
Class A-3 17290XAS9; LT AAAsf Affirmed
Class A-4 17290XAT7; LT AAAsf Affirmed
Class A-AB 17290XAU4; LT AAAsf Affirmed
Class A-S 17290XAV2; LT AAAsf Affirmed
Class B 17290XAW0; LT AA-sf Affirmed
Class C 17290XAX8; LT A-sf Affirmed
Class D 17290XAA8; LT BBB-sf Affirmed
Class E 17290XAC4; LT BB-sf Affirmed
Class EC 17290XBA7; LT A-sf Affirmed
Class F 17290XAE0; LT B-sf Affirmed
Class X-A 17290XAY6; LT AAAsf Affirmed
Class X-B 17290XAZ3; LT AA-sf Affirmed
Class X-D 17290XAL4; LT BBB-sf Affirmed
KEY RATING DRIVERS
Increasing Loss Expectations: While overall pool performance
remains stable, loss expectations have increased since Fitch's
prior rating action due to the transfer of 600 Broadway (4.2% of
the current pool balance) to special servicing and the declining
performance of several Fitch Loans of Concern. Five loans (17.9%)
have been designated as Fitch Loans of Concern (FLOCs) and three
loans (3.4%) have been defeased.
Minimal Change to Credit Enhancement: As of the January 2020
distribution date, the pool's aggregate principal balance has been
reduced by 2.9% to $674.8 million from $694.7 million at issuance.
Six loans (22.9%) are full-term interest-only and 28 loans (51.4%)
are partial-term interest-only, 20 (27.5%) of which have begun
amortizing.
Specially Serviced Loan: 600 Broadway has transferred to special
servicing twice during the past year. The loan first transferred in
April 2019 and returned to the master servicer in July 2019 after
being modified. The modification allowed Abercrombie & Fitch (60.8%
NRA) to go dark in exchange for an $8 million go-dark fee and a
switch to amortizing loan payments. The loan transferred to the
special servicer a second time in December 2019 for a second
modification that would allow the borrower to void the 24-Hour
Fitness lease and re-tenant the space. The borrower is currently in
negotiations with the prospective tenant to take approximately
35,000 sf. The property is currently 100% vacant after both 24-Hour
Fitness and Abercrombie & Fitch went dark in the spring and summer
of 2019. Despite being 100% vacant, the property is 100% leased
with 24-Hour Fitness's lease expiring in December 2023 and
Abercrombie & Fitch's lease expiring in May 2028.
Fitch Loans of Concern: Five loans, including the specially
serviced loan, have been designated FLOCs. The largest FLOC is the
fourth largest loan in the pool, Hilton Orrington Evanston (5.9%).
The loan is collateralized by a 269-key full service hotel located
in Evanston, IL, adjacent to Northwestern University. NCF debt
service coverage ratio (DSCR) has declined to 1.23x as of
second-quarter 2019 (2Q19) TTM compared with 1.37x at YE 2018 and
1.64x at issuance. 2Q19 TTM NCF was approximately in line with the
YE 2018 NCF, but has declined 23.5% below Fitch's NCF expectations
at issuance. The decline in NCF is a result of declining ADR and
RevPAR at the property. The servicer-reported 2Q19 TTM RevPAR was
$110 compared with $110 at YE 2018, $115 at YE 2017, $124 at YE
2016 and $125 at issuance. Per the borrower, the decline can be
attributed to new supply in the market.
Other FLOCs include Hampshire Tower (3.3%), a multifamily property
in the Washington, D.C. metropolitan area with increased expenses
due to above-average turnover in 2017 and 2018, resulting in a
decline in DSCR; Park Place (2.9%), an office property in the
Phoenix metro with significant tenant rollover over the past year;
and Staybridge Cleveland Mayfield (1.6%), an extended-stay hotel
that has struggled to ramp up after approximately 50% of the rooms
were taken offline for renovations in 2017.
Hotel Concentration: Eight loans (32.4%) have exposure to hotel
properties including six loans (16.4%) collateralized by
traditional hotel assets, one loan collateralized by the fee
position on the ground lease of a Denver hotel (10.4%) and one
mixed-use property (5.6%) with a hotel component.
RATING SENSITIVITIES
The Stable Rating Outlooks for all classes represent the stable
performance of the majority of the underlying pool and expected
continued paydown. Rating downgrades are possible if performance of
the specially serviced 600 Broadway or the other FLOCs continue to
further deteriorate, although the investment-grade classes can
withstand a 50% loss on 600 Broadway. Rating upgrades, although
unlikely in the near term, could occur with improved pool
performance and increased credit enhancement from additional
paydown and/or defeasance.
Deutsche Bank is the trustee for the transaction, and serves as the
backup advancing agent. Fitch's Issuer Default Rating for Deutsche
Bank is currently 'BBB'/'F2'/Outlook Evolving. Fitch relies on the
master servicer, Wells Fargo Bank, N.A., a division of Wells Fargo
& Company (A+/F1/ Stable), which is currently the primary advancing
agent, as counterparty. Fitch provided ratings confirmation on Jan.
24, 2018.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
No third-party due diligence was provided to or reviewed by Fitch
in relation to this rating action.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of 3. ESG issues are credit neutral
or have only a minimal credit impact on the transaction, either due
to their nature or the way in which they are being managed by
transaction.
CITIGROUP COMMERCIAL 2016-C1: Fitch Affirms Class F Certs at B-sf
-----------------------------------------------------------------
Fitch Ratings affirmed 14 classes of Citigroup Commercial Mortgage
Trust, Commercial Mortgage Pass-Through Certificates, series
2016-C1.
RATING ACTIONS
CGCMT 2016-C1
Class A-1 17290YAN8; LT AAAsf Affirmed; previously at AAAsf
Class A-2 17290YAP3; LT AAAsf Affirmed; previously at AAAsf
Class A-3 17290YAQ1; LT AAAsf Affirmed; previously at AAAsf
Class A-4 17290YAR9; LT AAAsf Affirmed; previously at AAAsf
Class A-AB 17290YAS7; LT AAAsf Affirmed; previously at AAAsf
Class A-S 17290YAT5; LT AAAsf Affirmed; previously at AAAsf
Class B 17290YAU2; LT AA-sf Affirmed; previously at AA-sf
Class C 17290YAV0; LT A-sf Affirmed; previously at A-sf
Class D 17290YAA6; LT BBB-sf Affirmed; previously at BBB-sf
Class E 17290YAC2; LT BB-sf Affirmed; previously at BB-sf
Class EC 17290YAY4; LT A-sf Affirmed; previously at A-sf
Class F 17290YAE8; LT B-sf Affirmed; previously at B-sf
Class X-A 17290YAW8; LT AAAsf Affirmed; previously at AAAsf
Class X-B 17290YAX6; LT AA-sf Affirmed; previously at AA-sf
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
delinquent or specially serviced loans since issuance and no
realized losses to date.
Eight loans (7.5%) have been designated Fitch Loans of Concerns
(FLOCs). The largest FLOC, the DoubleTree - Cocoa Beach (1.8%), is
secured by a full service hotel located in Cocoa Beach, FL that has
been closed for repairs since August 2017 due to significant damage
sustained from Hurricane Irma. The property also underwent a
substantial interior renovation while it was closed. Per the
servicer, repairs and renovations are nearly complete and the hotel
is expected to reopen in April 2020. The loan is scheduled to
mature in April 2021.
The remaining FLOCs are outside of the top 15 and are secured by
three office properties (3.3%) and three retail properties (2.1%)
that have experienced occupancy decline and one multifamily
property (0.3%) that previously sustained hurricane damage and is
now fully repaired and occupied.
Minimal Changes in Credit Enhancement: As of the January 2020
distribution date, the pool's aggregate principal balance has been
reduced by 3.4% to $730.2 million from $755.7 million at issuance.
The pool is scheduled to amortize by 13.3% of the initial pool
balance prior to maturity. Six loans (17.2%) are full-term
interest-only and five loans (16.1%) remain in
partial-interest-only periods. One loan (1.7%) is fully defeased.
No loans have paid off since issuance. Loan maturities are
concentrated in 2026 (94.7%), with limited maturities scheduled in
2021 (1.8%) and 2025 (3.5%).
ADDITIONAL CONSIDERATIONS
Pool Concentrations: The largest 10 loans comprise 55.1% of the
pool by balance. Retail is the largest property type concentration
at 34.8%, followed by hotel at 19.7%, office at 12.4% and
self-storage at 11.1%. Twenty-six loans are partially or fully
secured by retail properties, including the largest loan in the
pool (13.1% of the pool). The retail element of the pool consists
of a mix of unanchored and anchored shopping centers. There are no
malls or outlet centers in the pool.
Pari Passu Loans: Approximately 35.0% of the pool, including five
of the top 10 loans, consists of loans with pari passu
participations.
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. No loans are scheduled to mature until
April 2021 (1.8% of the pool).
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'/Rating Watch 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.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of 3. ESG issues are credit neutral
or have only a minimal credit impact on the transaction, either due
to their nature or the way in which they are being managed by the
transaction.
CITIGROUP COMMERCIAL 2016-GC37: Fitch Affirms Class F Certs at 'B-'
-------------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of Citigroup Commercial
Mortgage Trust Commercial Mortgage Pass-Through Certificates,
series 2016-GC37.
CGCMT 2016-GC37
- Class A-1 17290XAQ3; LT AAAsf Affirmed
- ClassvA-2 17290XAR1; LT AAAsf Affirmed
- Class A-3 17290XAS9; LT AAAsf Affirmed
- Class A-4 17290XAT7; LT AAAsf Affirmed
- Class A-AB 17290XAU4; LT AAAsf Affirmed
- Class A-S 17290XAV2; LT AAAsf Affirmed
- Class B 17290XAW0; LT AA-sf Affirmed
- Class C 17290XAX8; LT A-sf Affirmed
- Class D 17290XAA8; LT BBB-sf Affirmed
- Class E 17290XAC4; LT BB-sf Affirmed
- Class EC 17290XBA7; LT A-sf Affirmed
- Class F 17290XAE0; LT B-sf Affirmed
- Class X-A 17290XAY6; LT AAAsf Affirmed
- Class X-B 17290XAZ3; LT AA-sf Affirmed
- Class X-D 17290XAL4; LT BBB-sf Affirmed
KEY RATING DRIVERS
Increasing Loss Expectations: While overall pool performance
remains stable, loss expectations have increased since Fitch's
prior rating action due to the transfer of 600 Broadway (4.2% of
the current pool balance) to special servicing and the declining
performance of several Fitch Loans of Concern. Five loans (17.9%)
have been designated as Fitch Loans of Concern (FLOCs) and three
loans (3.4%) have been defeased.
Minimal Change to Credit Enhancement: As of the January 2020
distribution date, the pool's aggregate principal balance has been
reduced by 2.9% to $674.8 million from $694.7 million at issuance.
Six loans (22.9%) are full-term interest-only and 28 loans (51.4%)
are partial-term interest-only, 20 (27.5%) of which have begun
amortizing.
Specially Serviced Loan: 600 Broadway has transferred to special
servicing twice during the past year. The loan first transferred in
April 2019 and returned to the master servicer in July 2019 after
being modified. The modification allowed Abercrombie & Fitch (60.8%
NRA) to go dark in exchange for an $8 million go-dark fee and a
switch to amortizing loan payments. The loan transferred to the
special servicer a second time in December 2019 for a second
modification that would allow the borrower to void the 24-Hour
Fitness lease and re-tenant the space. The borrower is currently in
negotiations with the prospective tenant to take approximately
35,000 sf. The property is currently 100% vacant after both 24-Hour
Fitness and Abercrombie & Fitch went dark in the spring and summer
of 2019. Despite being 100% vacant, the property is 100% leased
with 24-Hour Fitness's lease expiring in December 2023 and
Abercrombie & Fitch's lease expiring in May 2028.
Fitch Loans of Concern: Five loans, including the specially
serviced loan, have been designated FLOCs. The largest FLOC is the
fourth largest loan in the pool, Hilton Orrington Evanston (5.9%).
The loan is collateralized by a 269-key full service hotel located
in Evanston, IL, adjacent to Northwestern University. NCF debt
service coverage ratio (DSCR) has declined to 1.23x as of
second-quarter 2019 (2Q19) TTM compared with 1.37x at YE 2018 and
1.64x at issuance. 2Q19 TTM NCF was approximately in line with the
YE 2018 NCF, but has declined 23.5% below Fitch's NCF expectations
at issuance. The decline in NCF is a result of declining ADR and
RevPAR at the property. The servicer-reported 2Q19 TTM RevPAR was
$110 compared with $110 at YE 2018, $115 at YE 2017, $124 at YE
2016 and $125 at issuance. Per the borrower, the decline can be
attributed to new supply in the market.
Other FLOCs include Hampshire Tower (3.3%), a multifamily property
in the Washington, D.C. metropolitan area with increased expenses
due to above-average turnover in 2017 and 2018, resulting in a
decline in DSCR; Park Place (2.9%), an office property in the
Phoenix metro with significant tenant rollover over the past year;
and Staybridge Cleveland Mayfield (1.6%), an extended-stay hotel
that has struggled to ramp up after approximately 50% of the rooms
were taken offline for renovations in 2017.
Hotel Concentration: Eight loans (32.4%) have exposure to hotel
properties including six loans (16.4%) collateralized by
traditional hotel assets, one loan collateralized by the fee
position on the ground lease of a Denver hotel (10.4%) and one
mixed-use property (5.6%) with a hotel component.
RATING SENSITIVITIES
The Stable Rating Outlooks for all classes represent the stable
performance of the majority of the underlying pool and expected
continued paydown. Rating downgrades are possible if performance of
the specially serviced 600 Broadway or the other FLOCs continue to
further deteriorate, although the investment-grade classes can
withstand a 50% loss on 600 Broadway. Rating upgrades, although
unlikely in the near term, could occur with improved pool
performance and increased credit enhancement from additional
paydown and/or defeasance.
CITIGROUP COMMERCIAL 2018-B2: Fitch Affirms B- on 2 Tranches
------------------------------------------------------------
Fitch Ratings affirmed 16 classes of Citigroup Commercial Mortgage
Trust 2018-B2 Commercial Mortgage Pass-Through Certificates.
RATING ACTIONS
CGCMT 2018-B2
Class A-1 17327FAA4; LT AAAsf Affirmed; previously at AAAsf
Class A-2 17327FAB2; LT AAAsf Affirmed; previously at AAAsf
Class A-3 17327FAC0; LT AAAsf Affirmed; previously at AAAsf
Class A-4 17327FAD8; LT AAAsf Affirmed; previously at AAAsf
Class A-AB 17327FAE6; LT AAAsf Affirmed; previously at AAAsf
Class A-S 17327FAF3; LT AAAsf Affirmed; previously at AAAsf
Class B 17327FAG1; LT AA-sf Affirmed; previously at AA-sf
Class C 17327FAH9; LT A-sf Affirmed; previously at A-sf
Class D 17327FAJ5; LT BBB-sf Affirmed; previously at BBB-sf
Class E 17327FAL0; LT BB-sf Affirmed; previously at BB-sf
Class F 17327FAN6; LT B-sf Affirmed; previously at B-sf
Class X-A 17327FBG0; LT AAAsf Affirmed; previously at AAAsf
Class X-B 17327FBH8; LT AA-sf Affirmed; previously at AA-sf
Class X-D 17327FBJ4; LT BBB-sf Affirmed; previously at BBB-sf
Class X-E 17327FBK1; LT BB-sf Affirmed; previously at BB-sf
Class X-F 17327FAY2; LT B-sf Affirmed; previously at B-sf
Classes X-A, X-B, X-D, X-E and X-F are interest-only.
KEY RATING DRIVERS
Stable Performance and Loss Expectations: The overall pool
performance and loss expectations remain stable from issuance.
There are no delinquent or specially serviced loans and performance
generally remains in line with Fitch's expectations. Only one loan
is currently considered a Fitch Loan of Concern (1.6% of the
pool).
The Courtyard Reno loan is secured by a limited service hotel
located in Reno, NV that has seen a recent performance decline. Per
the servicer, the TTM June 2019 NOI debt service coverage ratio
(DSCR) decreased to 1.06x compared with YE 2018 at 1.55x due to a
21% decline in RevPAR yoy. Cash management has reportedly been
triggered.
Minimal Change to Credit Enhancement: As of the January 2020
distribution date, the pool's aggregate principal balance has paid
down by 0.75% to $1.002 billion from $1.009 billion at issuance.
The transaction is expected to pay down by 8.2% based on scheduled
loan maturity balances. Twenty loans (44.2% of pool) are full-term
interest-only while 16 loans (27.4%) remain in their partial
interest-only periods. No loans mature before 2023 (6.9%) with the
majority of the pool maturing in 2027 (10.3%) and 2028 (82.9%).
ADDITIONAL CONSIDERATIONS
Pool and Loan Concentrations: The pool is more diverse than similar
vintage Fitch-rated transactions, with the top 10 loans
representing 45.5% of the pool by balance. The largest property
type concentration is office at 26.4% followed by retail at 26.2%.
The pool has a higher than average concentration of self-storage
properties at 18.9% and lower than average concentration of
multifamily properties at only 2.6%.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset-level event changes the transaction's overall
portfolio-level metrics.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
No third-party due diligence was provided or reviewed in relation
to this rating action.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of 3. ESG issues are credit neutral
or have only a minimal credit impact on the transaction, either due
to their nature or the way in which they are being managed by the
transaction.
CITIGROUP COMMERCIAL 2020-GC46: Fitch to Rate GRR Debt 'B-(EXP)'
----------------------------------------------------------------
Fitch Ratings issued a presale report on Citigroup Commercial
Mortgage Trust 2020-GC46 commercial mortgage pass-through
certificates, series 2020-GC46. Fitch expects to rate the
transaction and assign Rating Outlooks.
RATING ACTIONS
Citigroup Commercial Mortgage Trust 2020-GC46
Class A-1; LT AAA(EXP)sf; Expected Rating
Class A-2; LT AAA(EXP)sf; Expected Rating
Class A-4; LT AAA(EXP)sf; Expected Rating
Class A-5; LT AAA(EXP)sf; Expected Rating
Class A-AB; LT AAA(EXP)sf; Expected Rating
Class A-S; LT AAA(EXP)sf; Expected Rating
Class B; LT AA-(EXP)sf; Expected Rating
Class C; LT A-(EXP)sf; Expected Rating
Class D; LT BBB(EXP)sf; Expected Rating
Class E; LT BBB-(EXP)sf; Expected Rating
Class F; LT BB-(EXP)sf; Expected Rating
Class GRR; LT B-(EXP)sf; Expected Rating
Class JRR; LT NR(EXP)sf; Expected Rating
Class VRR; LT NR(EXP)sf; Expected Rating
Class X-A; LT AAA(EXP)sf; Expected Rating
Class X-B; LT A-(EXP)sf; Expected Rating
Class X-D; LT BBB-(EXP)sf; Expected Rating
Class X-F; LT BB-(EXP)sf; Expected Rating
(a) The initial certificate balances of classes A-4 and A-5 are
unknown and expected to be $681,855,000 in aggregate subject to a
variance of plus or minus 5%. 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
$335,000,000, and the expected class A-5 balance range is
$346,855,000 to $681,855,000. 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) Vertical credit-risk retention interest.
TRANSACTION SUMMARY
The expected ratings are based on information provided by the
issuer as of Feb. 6, 2020.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 46 loans secured by 139
commercial properties having an aggregate principal balance of
$1,220,059,491 as of the cut-off date. The loans were contributed
to the trust by Citi Real Estate Funding Inc., Goldman Sachs
Mortgage Company and German American Capital Corporation.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 74.6% of the properties
by balance, cash flow analysis of 85.9% and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Fitch Leverage: The pool's Fitch loan to value (LTV) of 96.2% is
lower when compared with the 2019 average of 103.0% for Fitch-rated
multiborrower transactions and slightly above the YTD 2020 average
of 95.2%.The pool's Fitch debt service coverage ratio (DSCR) of
1.28x is slightly higher than the 2019 average of 1.26x and lower
than the YTD 2020 average of 1.32x. Excluding investment-grade
credit opinion loans, the pool has a Fitch DSCR and LTV of 1.21x
and 112.5%, respectively.
Credit Opinion Loans: Eight loans representing 36.2% of the pool by
balance have investment-grade credit opinions. 650 Madison Avenue
(9.4% of the pool by balance) received a standalone credit opinion
of 'BBB-sf', 1633 Broadway (9.0%) received a standalone credit
opinion of 'BBB-sf', Southcenter Mall (4.8%) received a standalone
credit opinion of 'AAAsf', CBM Portfolio (4.1%) received a
standalone credit opinion of 'BBB-sf', 805 3rd Avenue (3.7%)
received a standalone credit opinion of 'BBB-sf', Parkmerced (2.3%)
received a standalone credit opinion of 'BBB+sf', The Bellagio
(1.6%) received a standalone credit opinion of 'BBB-sf' and 510
East 14th Street (1.2%) received a standalone credit opinion of
'BBB-sf'.
Concentrated Pool: The top 10 loans total 49.8% of the pool, which
is lower than the average of 51.0% for 2019 but higher than the YTD
2020 average of 42.1%. The pool's loan concentration index (LCI) is
383 and the Sponsor Concentration Index (SCI) is 384. Both metrics
are higher than the respective averages of 298 and 298 as of YTD
2020.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 19.9% below
the most recent year's NOI for properties for which a full-year NOI
was provided, excluding properties that were stabilizing during
this period. Unanticipated further declines in property-level NCF
could result in higher defaults and loss severities on defaulted
loans and in potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the
CGCMT 2020-GC46 certificates and found that the transaction
displays average sensitivities to further declines in NCF. In a
scenario in which NCF declined a further 20% from Fitch's NCF, a
downgrade of the junior 'AAAsf' certificates to 'BBB-sf' could
result. In a more severe scenario, in which NCF declined a further
30% from Fitch's NCF, a downgrade of the junior 'AAAsf'
certificates to 'BBBsf' could result.
CONNECTICUT 2020-R02: S&P Assigns Prelim B+ Rating on 2M-2X Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Connecticut
Avenue Securities Trust 2020-R02's notes.
The note issuance is an RMBS transaction in which the payments are
determined by a reference pool of residential mortgage loans, deeds
of trust, or similar security instruments encumbering mortgaged
properties acquired by Fannie Mae.
The preliminary ratings are based on information as of Feb. 3,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The credit enhancement provided by the subordinated reference
tranches and the associated structural deal mechanics;
-- The credit quality of the collateral included in the reference
pool;
-- A REMIC structure that reduces the counterparty exposure to
Fannie Mae for periodic principal and interest payments but, at the
same time, pledges the support of Fannie Mae (a highly rated
counterparty) to cover shortfalls, if any, on interest payments and
to make up for any investment losses;
-- Fannie Mae's aggregation experience and the alignment of
interests between the issuer and the noteholders in the deal's
performance, which, in S&P's view, enhances the notes' strength;
and
-- The enhanced credit risk management and quality control
processes Fannie Mae uses in conjunction with the underlying
representations and warranties framework.
PRELIMINARY RATINGS ASSIGNED
Connecticut Avenue Securities Trust 2020-R02
Class Rating Amount (mil. $)
2A-H(i) NR 27,855.090
2M-1 BBB- (sf) 276.657
2M-1H(i) NR 14.562
2M-2(ii) B+ (sf) 567.147
2M-2A(ii) BB+ (sf) 189.049
2M-AH(i) NR 9.951
2M-2B(ii) BB- (sf) 189.049
2M-BH(i) NR 9.951
2M-2C(ii) B+ (sf) 189.049
2M-CH(i) NR 9.951
2B-1 NR 290.490
2B-1H(i) NR 15.290
2B-2H(i) NR 72.805
2E-A1(iii) BB+ (sf) 189.049
2A-I1(iii) BB+ (sf) 189.049
2E-A2(iii) BB+ (sf) 189.049
2A-I2(iii) BB+ (sf) 189.049
2E-A3(iii) BB+ (sf) 189.049
2A-I3(iii) BB+ (sf) 189.049
2E-A4(iii) BB+ (sf) 189.049
2A-I4(iii) BB+ (sf) 189.049
2E-B1(iii) BB- (sf) 189.049
2B-I1(iii) BB- (sf) 189.049
2E-B2(iii) BB- (sf) 189.049
2B-I2(iii) BB- (sf) 189.049
2E-B3(iii) BB- (sf) 189.049
2B-I3(iii) BB- (sf) 189.049
2E-B4(iii) BB- (sf) 189.049
2B-I4(iii) BB- (sf) 189.049
2E-C1(iii) B+ (sf) 189.049
2C-I1(iii) B+ (sf) 189.049
2E-C2(iii) B+ (sf) 189.049
2C-I2(iii) B+ (sf) 189.049
2E-C3(iii) B+ (sf) 189.049
2C-I3(iii) B+ (sf) 189.049
2E-C4(iii) B+ (sf) 189.049
2C-I4(iii) B+ (sf) 189.049
2E-D1(iii) BB- (sf) 378.098
2E-D2(iii) BB- (sf) 378.098
2E-D3(iii) BB- (sf) 378.098
2E-D4(iii) BB- (sf) 378.098
2E-D5(iii) BB- (sf) 378.098
2E-F1(iii) B+ (sf) 378.098
2E-F2(iii) B+ (sf) 378.098
2E-F3(iii) B+ (sf) 378.098
2E-F4(iii) B+ (sf) 378.098
2E-F5(iii) B+ (sf) 378.098
2-X1(iii) BB- (sf) 378.098
2-X2(iii) BB- (sf) 378.098
2-X3(iii) BB- (sf) 378.098
2-X4(iii) BB- (sf) 378.098
2-Y1(iii) B+ (sf) 378.098
2-Y2(iii) B+ (sf) 378.098
2-Y3(iii) B+ (sf) 378.098
2-Y4(iii) B+ (sf) 378.098
2-J1(iii) B+ (sf) 189.049
2-J2(iii) B+ (sf) 189.049
2-J3(iii) B+ (sf) 189.049
2-J4(iii) B+ (sf) 189.049
2-K1(iii) B+ (sf) 378.098
2-K2(iii) B+ (sf) 378.098
2-K3(iii) B+ (sf) 378.098
2-K4(iii) B+ (sf) 378.098
2M-2Y(iii) B+ (sf) 567.147
2M-2X(iii) B+ (sf) 567.147
2B-1Y(iii) NR 290.490
2B-1X(iii) NR 290.490
(i)Reference tranche only and will not have corresponding notes.
Fannie Mae retains the risk of each of these tranches.
(ii)Class 2M-2 is offered at closing and may be exchanged for
classes 2M-2A, 2M-2B, and 2M-2C.
(iii)RCR notes.
RCR--Related combinable and recombinable.
NR--Not rated.
CWALT INC 2005-16: Moody's Lowers Rating on Class X-1 Certs to 'C'
------------------------------------------------------------------
Moody's Investors Service downgraded the rating of Cl. X-1 issued
from CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-16, backed by Option ARM loans.
Complete rating actions are as follows:
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-16
Cl. X-1, Downgraded to C (sf); previously on Feb 7, 2018
Upgraded to Caa1 (sf)
RATINGS RATIONALE
The downgrade of the rating to C (sf) reflects the nonpayment of
interest for an extended period of 12 months. For this bond, the
coupon rate is subject to a calculation that has reduced the
required interest distribution to zero. 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
on 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 December 2019 from 3.9% in
December 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.
DT AUTO 2020-1: S&P Assigns BB (sf) Rating to Class E Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to DT Auto Owner Trust
2020-1's asset-backed notes series 2020.
The note issuance is an ABS transaction subprime auto loan
receivables.
The ratings are based on information as of Feb. 5, 2020.
The ratings reflect:
-- The availability of approximately 64.8%, 59.8%, 50.3%, 42.3%,
and 37.8% credit support for the class A, B, C, D, and E notes,
respectively, based on stressed break-even cash flow scenarios
(including excess spread). These credit support levels provide
approximately 2.20x, 2.00x, 1.65x, 1.35x, and 1.20x coverage of
S&P's expected net loss range of 28.50%-29.50% for the class A, B,
C, D, and E notes, respectively. Credit enhancement also covers
cumulative gross losses of approximately 92.6%, 85.5%, 71.9%,
60.4%, and 54.0%, respectively, assuming a 30% recovery rate.
-- The timely interest and principal payments by the legal final
maturity dates made under stressed cash flow modeling scenarios
that S&P deems appropriate for the assigned ratings.
-- S&P's expectation that under a moderate ('BBB') stress
scenario, the ratings on the class A, B, and C notes would likely
not be lowered, and the class D notes would likely remain within
one category of its 'BBB (sf)' rating, all else being equal. The
rating on the class E notes would remain within two rating
categories of S&P's 'BB (sf)' rating during the first year, though
they would ultimately default in the moderate ('BBB') stress
scenario with approximately 83% principal repayment. These
potential rating movements are consistent with S&P's credit
stability criteria.
-- The collateral characteristics of the subprime pool being
securitized, including a high percentage (approximately 79%) of
obligors with higher payment frequencies (more than once a month),
which S&P expects will result in a somewhat faster paydown on the
pool.
-- The transaction's sequential-pay structure, which builds credit
enhancement (on a percentage-of-receivables basis) as the pool
amortizes.
RATINGS ASSIGNED
DT Auto Owner Trust 2020-1
Class Rating Amount (mil. $)
A AAA (sf) 203.75
B AA (sf) 52.50
C A (sf) 75.00
D BBB (sf) 67.50
E BB (sf) 34.25
FLAGSHIP CREDIT 2020-1: S&P Assigns Prelim BB- Rating to E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Flagship
Credit Auto 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 Feb. 5,
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 availability of approximately 43.87%, 37.79%, 29.44%,
23.05% and 19.10% credit support (including excess spread) for the
class A, B, C, D, and E notes, respectively, based on stressed cash
flow scenarios. These credit support levels provide coverage of
approximately 3.50x, 3.00x, 2.30x, 1.75x, and 1.40x S&P's
12.00%-12.50% expected cumulative net loss range for the class A,
B, C, D, and E notes, respectively. These break-even scenarios
cover total cumulative gross defaults (using a recovery assumption
of 40.00%) of approximately 73.11%, 62.98%, 49.06%, 38.42%, and
31.84%, respectively.
-- The timely interest and principal payments made under stressed
cash flow modeling scenarios that are appropriate to the assigned
ratings.
-- The expectation that under a moderate ('BBB') stress scenario,
all else being equal, S&P's ratings on the class A and B notes
would not be lowered by more than one rating category from its
preliminary 'AAA (sf)' and 'AA (sf)' ratings, respectively,
throughout the transaction's life. Similarly, S&P expects that its
ratings on the class C and D notes would not be lowered more than
two rating categories from its preliminary 'A (sf)' and 'BBB (sf)'
ratings, respectively. The rating on the class E notes would remain
within two rating categories of S&P's preliminary 'BB- (sf)' rating
within the first year, but the class would eventually default under
the 'BBB' stress scenario after receiving approximately
45.00%-55.00% of its principal. The above rating movements are
within the one-category rating tolerance for 'AAA' and 'AA' rated
securities during the first year and three-category rating
tolerance over three years; a two-category rating tolerance for
'A', 'BBB', and 'BB' rated securities during the first year; and a
three-category rating tolerance for 'A' and 'BBB' rated securities
over three years. 'BB' rated securities may default under a 'BBB'
stress scenario. These parameters are in accordance with
"Methodology: Credit Stability Criteria," published May 3, 2010."
-- The credit enhancement in the form of subordination,
overcollateralization, a reserve account, and excess spread.
-- The characteristics of the collateral pool being securitized.
-- The transaction's payment and legal structures.
PRELIMINARY RATINGS ASSIGNED
Flagship Credit Auto Trust 2020-1
Class Rating Amount (mil. $)
A AAA (sf) 233.70
B AA (sf) 31.92
C A (sf) 40.50
D BBB (sf) 32.11
E BB- (sf) 16.77
FOURSIGHT CAPITAL 2020-1: Moody's Rates $11.73MM Class F Notes 'B2'
-------------------------------------------------------------------
Moody's Investors Service assigned definitive ratings to the notes
issued by Foursight Capital Automobile Receivables Trust 2020-1.
This is the first auto loan transaction of the year for Foursight
Capital LLC (unrated) and the fourth rated by Moody's. The notes
are backed by a pool of retail automobile loan contracts originated
by Foursight, who is also the servicer and administrator for the
transaction.
The complete rating actions are as follows:
Issuer: Foursight Capital Automobile Receivables Trust 2020-1
$83,340,000, 1.97%, Class A-2 Notes, Definitive Rating Assigned Aaa
(sf)
$40,000,000, 2.05%, Class A-3 Notes, Definitive Rating Assigned Aaa
(sf)
$14,520,000, 2.27%, Class B Notes, Definitive Rating Assigned Aa2
(sf)
$14,300,000, 2.41%, Class C Notes, Definitive Rating Assigned A1
(sf)
$14,070,000, 2.60%, Class D Notes, Definitive Rating Assigned Baa1
(sf)
$11,840,000, 3.49%, Class E Notes, Definitive Rating Assigned Ba1
(sf)
$11,730,000, 4.62%, Class F Notes, Definitive Rating Assigned B2
(sf)
RATINGS RATIONALE
The ratings are based on the quality of the underlying collateral
and its expected performance, the strength of the capital
structure, the experience and expertise of Foursight as the
servicer and administrator, a performance guarantee for the
servicing and custodian function from Jefferies Financial Group
(Baa3 stable) and the backup servicing arrangement.
The definitive ratings for the Class B, C, D and E notes, which are
rated Aa2 (sf), A1 (sf), Baa1 (sf) and Ba1 (sf), respectively, are
one notch higher than their provisional ratings, Aa3 (sf), A2 (sf),
Baa2 (sf) and Ba2 (sf). This difference is a result of the
transaction closing with a lower weighted average cost of funds
(WAC) than Moody's modeled when the provisional ratings were
assigned. The WAC assumptions as well as other structural features,
were provided by the issuer.
Moody's cumulative net loss expectation for the 2020-1 pool is
9.50% and the loss at a Aaa stress is 42%, both equal to the
initial cumulative net loss and loss at Aaa stress assigned to
2019-1. Both loss assumptions for 2020-1 are equal as a result of
the comparable collateral characteristics compared to the 2019-1
transaction. Moody's based its cumulative net loss expectation and
loss at a Aaa stress on an analysis of the credit quality of the
underlying collateral; the historical performance of similar
collateral, including securitization performance and managed
portfolio performance; the ability of Foursight to perform the
servicing functions; and current expectations for the macroeconomic
environment during the life of the transaction.
At closing, the Class A notes, Class B notes, Class C notes, Class
D notes, Class E notes and Class F notes benefit from 34.50%,
28.00%, 21.60%, 15.30%, 10.00% and 4.75% of hard credit enhancement
respectively. Hard credit enhancement for the notes consists of a
combination of overcollateralization, a non-declining reserve
account, and subordination, except for the Class F notes, which do
not benefit from subordination. The notes may also benefit from
excess spread.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
March 2019.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the subordinate notes if, given current
expectations of portfolio losses, levels of credit enhancement are
consistent with higher ratings. In sequential pay structures, such
as the one in this transaction, credit enhancement grows as a
percentage of the collateral balance as collections pay down senior
notes. Prepayments and interest collections directed toward note
principal payments will accelerate this build of enhancement.
Moody's expectation of pool losses could decline as a result of a
lower number of obligor defaults or appreciation in the value of
the vehicles securing an obligor's promise of payment. Portfolio
losses also depend greatly on the US job market, the market for
used vehicles, and changes in servicing practices.
Down
Moody's could downgrade the notes if, given current expectations of
portfolio losses, levels of credit enhancement are consistent with
lower ratings. Credit enhancement could decline if excess spread is
not sufficient to cover losses in a given month. Moody's
expectation of pool losses could rise as a result of a higher
number of obligor defaults or deterioration in the value of the
vehicles securing an obligor's promise of payment. Portfolio losses
also depend greatly on the US job market, the market for used
vehicles, and poor servicing. Other reasons for worse-than-expected
performance include error on the part of transaction parties,
inadequate transaction governance, and fraud.
FREDDIE MAC 2020-DNA2: S&P Assigns Prelim B Rating on B-1B Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Freddie Mac
STACR REMIC Trust 2020-DNA2's notes.
The note issuance is an RMBS securitization backed by fully
amortizing, first-lien, fixed-rate residential mortgage loans
secured by one- to four-family residences, planned-unit
developments, condominiums, cooperatives, and manufactured housing
to prime borrowers.
The preliminary ratings are based on information as of Feb. 6,
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 credit enhancement provided by the subordinated reference
tranches, as well as the associated structural deal mechanics;
-- The credit quality of the collateral included in the reference
pool;
-- A real estate mortgage investment conduit (REMIC)structure that
reduces the counterparty exposure to Freddie Mac for periodic
principal and interest payments but, at the same time, pledges the
support of Freddie Mac (a highly rated counterparty) to cover
shortfalls, if any, on interest payments and to make up for any
investment losses;
-- The issuer's aggregation experience and the alignment of
interests between the issuer and noteholders in the deal's
performance, which in S&P's view, enhances the notes' strength;
and
-- The enhanced credit risk management and quality control
processes Freddie Mac uses in conjunction with the underlying
representations and warranties framework.
PRELIMINARY RATINGS ASSIGNED
Freddie Mac STACR REMIC Trust 2020-DNA2
Class Rating Amount ($)
A-H(i) NR 41,961,561,312
M-1 BBB+ (sf) 390,000,000
M-1H(i) NR 154,955,341
M-2 BB (sf) 437,000,000
M-2R BB (sf) 437,000,000
M-2S BB (sf) 437,000,000
M-2T BB (sf) 437,000,000
M-2U BB (sf) 437,000,000
M-2I BB (sf) 437,000,000
M-2A BBB (sf) 218,500,000
M-2AR BBB (sf) 218,500,000
M-2AS BBB (sf) 218,500,000
M-2AT BBB (sf) 218,500,000
M-2AU BBB (sf) 218,500,000
M-2AI BBB (sf) 218,500,000
M-2AH(i) NR 86,674,991
M-2B BB (sf) 218,500,000
M-2BR BB (sf) 218,500,000
M-2BS BB (sf) 218,500,000
M-2BT BB (sf) 218,500,000
M-2BU BB (sf) 218,500,000
M-2BI BB (sf) 218,500,000
M-2RB BB (sf) 218,500,000
M-2SB BB (sf) 218,500,000
M-2TB BB (sf) 218,500,000
M-2UB BB (sf) 218,500,000
M-2BH(i) NR 86,674,991
B-1 B (sf) 156,000,000
B-1A B+ (sf) 78,000,000
B-1AR B+ (sf) 78,000,000
B-1AI B+ (sf) 78,000,000
B-1AH(i) NR 30,991,068
B-1B B (sf) 78,000,000
B-1BH(i) NR 30,991,068
B-2 NR 186,000,000
B-2A NR 93,000,000
B-2AR NR 93,000,000
B-2AI NR 93,000,000
B-2AH(i) NR 15,991,068
B-2B NR 93,000,000
B-2BH(i) NR 15,991,068
B-3H(i) NR 43,596,431
FREDDIE MAC 2020-HQA1: Fitch Rates 16 Tranches 'Bsf'
----------------------------------------------------
Fitch Ratings rates Freddie Mac's Structured Agency Credit Risk
REMIC Trust 2020-HQA1 as follows:
RATING ACTIONS
STACR 2020-HQA1
Class A-H; LT NRsf New Rating; previously at NR(EXP)sf
Class M-1; LT BBB-sf New Rating; previously at BBB-(EXP)sf
Class M-1H; LT NRsf New Rating; previously at NR(EXP)sf
Class M-2A; LT BBsf New Rating; previously at BB(EXP)sf
Class M-2AH; LT NRsf New Rating; previously at NR(EXP)sf
Class M-2AR; LT BBsf New Rating; previously at BB(EXP)sf
Class M-2AS; LT BBsf New Rating; previously at BB(EXP)sf
Class M-2AT; LT BBsf New Rating; previously at BB(EXP)sf
Class M-2AU; LT BBsf New Rating; previously at BB(EXP)sf
Class M-2AI; LT BBsf New Rating; previously at BB(EXP)sf
Class M-2; LT Bsf New Rating; previously at B(EXP)sf
Class M-2B; LT Bsf New Rating; previously at B(EXP)sf
Class M-2BH; LT NRsf New Rating; previously at NR(EXP)sf
Class M-2R; LT Bsf New Rating; previously at B(EXP)sf
Class M-2S; LT Bsf New Rating; previously at B(EXP)sf
Class M-2T; LT Bsf New Rating; previously at B(EXP)sf
Class M-2I; LT Bsf New Rating; previously at B(EXP)sf
Class M-2U; LT Bsf New Rating; previously at B(EXP)sf
Class M-2BI; LT Bsf New Rating; previously at B(EXP)sf
Class M-2BR; LT Bsf New Rating; previously at B(EXP)sf
Class M-2BS; LT Bsf New Rating; previously at B(EXP)sf
Class M-2BT; LT Bsf New Rating; previously at B(EXP)sf
Class M-2BU; LT Bsf New Rating; previously at B(EXP)sf
Class M-2RB; LT Bsf New Rating; previously at B(EXP)sf
Class M-2SB; LT Bsf New Rating; previously at B(EXP)sf
Class M-2TB; LT Bsf New Rating; previously at B(EXP)sf
Class M-2UB; LT Bsf New Rating; previously at B(EXP)sf
Class B-1; LT NRsf New Rating; previously at NR(EXP)sf
Class B-1A; LT NRsf New Rating; previously at NR(EXP)sf
Class B-1AH; LT NRsf New Rating; previously at NR(EXP)sf
Class B-1AI; LT NRsf New Rating; previously at NR(EXP)sf
Class B-1AR; LT NRsf New Rating; previously at NR(EXP)sf
Class B-1B; LT NRsf New Rating; previously at NR(EXP)sf
Class B-1BH; LT NRsf New Rating; previously at NR(EXP)sf
Class B-2; LT NRsf New Rating; previously at NR(EXP)sf
Class B-2A; LT NRsf New Rating; previously at NR(EXP)sf
Class B-2AH; LT NRsf New Rating; previously at NR(EXP)sf
Class B-2AI; LT NRsf New Rating; previously at NR(EXP)sf
Class B-2AR; LT NRsf New Rating; previously at NR(EXP)sf
Class B-2B; LT NRsf New Rating; previously at NR(EXP)sf
Class B-2BH; LT NRsf New Rating; previously at NR(EXP)sf
Class B-3H; LT NRsf New Rating; previously at NR(EXP)sf
TRANSACTION SUMMARY
Fitch rates the M-1, M-2A and M-2B notes, along with their
corresponding modifications and combinations (MACR) notes, STACR
2020-HQA1. This is Freddie Mac's fourth risk transfer transaction
in which the notes are not general, senior unsecured obligations of
Freddie Mac, but are instead issued as a REMIC from a
bankruptcy-remote trust.
However, similar to prior transactions, the notes are still subject
to the credit and principal payment risk of a pool of certain
residential mortgage loans (reference pool) held in various Freddie
Mac-guaranteed MBS. The switch in transaction structure is to
expand the investor base, align tax treatment and better align the
program with other mortgage-related securities as well as to reduce
counterparty exposure to Freddie Mac.
KEY RATING DRIVERS
High-Quality Mortgage Pool (Positive): The reference mortgage loan
pool consists of high-quality loans acquired by Freddie Mac between
April 1, 2019 and June 30, 2019. The reference pool will consist of
loans with loan-to-value (LTV) ratios greater than 80% and less
than or equal to 97%. Overall, the reference pool's collateral
characteristics are similar to recent STACR transactions and
reflect the strong credit profile of post-crisis mortgage
originations.
Home Possible Exposure (Negative): Approximately 23% of the
reference pool was originated under Freddie Mac's Home Possible or
Home Possible Advantage program, which is one of the largest
concentrations that Fitch has seen in a Fitch-rated STACR
transaction. The Home Possible program targets low- to
moderate-income homebuyers or buyers in high-cost or
underrepresented communities and provides flexibility for a
borrower's LTV, income, down payment and mortgage insurance
coverage requirements. Fitch anticipates higher default risk for
Home Possible loans due to measurable attributes (such as FICO, LTV
and property value), which is reflected in increased CE.
30-year Legal Maturity (Negative): The M-1, M-2A, M-2B, B-1A, B-1B,
B-2A and B-2B notes have a 30-year legal final maturity, similar to
STACR 2019-HQA3. Thus, life-of-loan losses on the reference pool
will be passed through to noteholders. As a result, Fitch did not
apply a maturity credit to reduce its default expectations.
Mortgage Insurance Guaranteed by Freddie Mac (Positive): 98.7% of
the loans are covered either by borrower paid mortgage insurance
(BPMI), lender paid MI (LPMI) or investor paid mortgage insurance.
While the Freddie Mac guarantee allows for credit to be given to
MI, Fitch applied a haircut to the amount of BPMI available due to
the automatic termination provision as required by the Homeowners
Protection Act, when the loan balance is first scheduled to reach
78%. LPMI does not automatically terminate and remains for the life
of the loan.
Very Low Operational Risk (Positive): Fitch considers this
transaction to have very low operational risk. Freddie Mac is an
industry leader in residential mortgage activities and is assessed
by Fitch as an 'Above Average' aggregator. The agency maintains
strong seller oversight and implements a comprehensive risk
management framework on its acquisition processes. While multiple
counterparties are performing primary servicing functions for the
loans in the reference pool, Freddie Mac has robust servicer
oversight to mitigate servicer disruption risk.
Limited Size of Third-Party Due Diligence (Neutral): Third-party
due diligence was conducted on a sample of the reference pool by
Opus Capital Market Consultants, LLC (Opus), which is assessed by
Fitch as an 'Acceptable - Tier 2' third-party review (TPR) firm.
The review was performed on a statistically random sample of loans
selected from a pre-determined population that was also subject to
Freddie Mac's post-purchase quality control (QC) review. While the
review does not cover 100% of loans in the pool, the sampling
methodology and review scope for the due diligence is consistent
with Fitch criteria and prior Freddie Mac-issued CRT transactions.
The due diligence results support Fitch's opinion of Freddie Mac as
an 'Above Average' aggregator. Fitch did not apply loss adjustments
based on the results.
Solid Alignment of Interests (Positive): While the transaction is
designed to transfer credit risk to private investors, Fitch
believes the transaction benefits from solid alignment of
interests. Freddie Mac will retain credit risk in the transaction
by holding the senior reference tranche A-H, which has 4.25% of
loss protection, as well as a minimum of 5% of the M-1, M-2A, M-2B,
B-1A, B-1B, B-2A and B-2B reference tranches, and 100% of the
first-loss B-3H reference tranche. Initially, Freddie Mac will
retain an approximately 24% vertical slice/interest through the
M-1H, M-2AH, M-2BH, B-1AH, B-1BH, B-2AH and B-2BH reference
tranches.
REMIC Structure (Neutral): This is Freddie Mac's fourth credit risk
transfer transaction issued as a real estate mortgage investment
conduit (REMIC). This limits the transaction's dependency on
Freddie Mac for payments of principal and interest, helping
mitigate potential rating caps in the event of a downgrade of the
government-sponsored enterprise's (GSE) counterparty rating. Under
the current structure, Freddie Mac still acts as a final backstop
with regard to payments of LIBOR on the bonds as well as potential
investment losses of principal. As a result, ratings may still be
limited in the future by Freddie Mac's rating but to a lesser
extent than in previous transactions, as there are now other
recourses for investors for payments.
Receivership Risk Considered (Neutral): Under the Federal Housing
Finance Regulatory Reform Act, the Federal Housing Finance Agency
(FHFA) must place Freddie Mac into receivership if it determines
that the government-sponsored enterprise's (GSE) assets are less
than its obligations for longer than 60 days following the deadline
of its SEC filing. As receiver, FHFA could repudiate any contract
entered into by Freddie Mac if it is determined that such action
would promote an orderly administration of the GSE's affairs. Fitch
believes that the U.S. government will continue to support Freddie
Mac, as reflected in its current rating of the GSE. However, if at
some point Fitch believes there is a reduction in support and
receivership likely, a downgrade of Freddie Mac's rating could
occur, and the ratings on the M-1, M-2A and M-2B notes, along with
their corresponding MACR notes, could be affected.
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 MVD. 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'.
FREDDIE MAC 2020-HQA1: S&P Assigns B+ (sf) Rating to Cl. M-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Freddie Mac STACR REMIC
Trust 2020-HQA1's notes.
The note issuance is a RMBS transaction backed by 100% conforming
residential mortgage loans.
The ratings reflect:
-- The credit enhancement provided by the subordinated reference
tranches, as well as the associated structural deal mechanics;
-- The credit quality of the collateral included in the reference
pool--a majority of such collateral is covered by mortgage
insurance backstopped by Freddie Mac;
-- A real estate mortgage investment conduit (REMIC) structure
that reduces the counterparty exposure to Freddie Mac for periodic
principal and interest payments but, at the same time, pledges the
support of Freddie Mac (a highly rated counterparty) to cover
shortfalls, if any, on interest payments and to make up for any
investment losses;
-- The issuer's aggregation experience and the alignment of
interests between the issuer and noteholders in the deal's
performance, which in S&P's view, enhances the notes' strength;
and
-- The enhanced credit risk management and quality control
processes Freddie Mac uses in conjunction with the underlying
representations and warranties framework.
RATINGS ASSIGNED
Freddie Mac STACR REMIC Trust 2020-HQA1
Class Rating Amount ($)
A-H(i) N/A 23,236,597,522
M-1 BBB (sf) 218,000,000
M-1H(i) N/A 85,349,837
M-2 B+ (sf) 330,000,000
M-2R B+ (sf) 330,000,000
M-2S B+ (sf) 330,000,000
M-2T B+ (sf) 330,000,000
M-2U B+ (sf) 330,000,000
M-2I B+ (sf) 330,000,000
M-2A BB (sf) 165,000,000
M-2AR BB (sf) 165,000,000
M-2AS BB (sf) 165,000,000
M-2AT BB (sf) 165,000,000
M-2AU BB (sf) 165,000,000
M-2AI BB (sf) 165,000,000
M-2AH(i) N/A 65,545,876
M-2B B+ (sf) 165,000,000
M-2BR B+ (sf) 165,000,000
M-2BS B+ (sf) 165,000,000
M-2BT B+ (sf) 165,000,000
M-2BU B+ (sf) 165,000,000
M-2BI B+ (sf) 165,000,000
M-2RB B+ (sf) 165,000,000
M-2SB B+ (sf) 165,000,000
M-2TB B+ (sf) 165,000,000
M-2UB B+ (sf) 165,000,000
M-2BH(i) N/A 65,545,876
B-1 NR 87,000,000
B-1A NR 43,500,000
B-1AR NR 43,500,000
B-1AI NR 43,500,000
B-1AH(i) N/A 17,169,967
B-1B NR 43,500,000
B-1BH(i) N/A 17,169,967
B-2 NR 103,000,000
B-2A NR 51,500,000
B-2AR NR 51,500,000
B-2AI NR 51,500,000
B-2AH(i) N/A 9,169,967
B-2B NR 51,500,000
B-2BH(i) N/A 9,169,967
B-3H(i) N/A 24,267,989
(i)Reference tranche only and will not have corresponding notes.
Freddie Mac retains the risk of each of these tranches.
NR--Not rated.
N/A--Not applicable.
FREED ABS 2020-FP1: DBRS Finalizes BB(low) Rating on Class C Notes
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes (the Notes) issued by FREED ABS Trust 2020-1
(FREED 2020-FP1):
-- $247,000,000 Class A Notes at A (high) (sf)
-- $45,350,000 Class B Notes at BBB (high) (sf)
-- $48,420,000 Class C Notes at BB (low) (sf)
The ratings are based on a review by DBRS Morningstar of the
following analytical considerations:
(1) The transaction's form and sufficiency of available credit
enhancement.
-- Subordination, over-collateralization, amounts held in the
Reserve Fund, and excess spread creates credit enhancement levels
that are commensurate with the proposed ratings.
-- Transaction cash flows are sufficient to repay investors under
all A (high) (sf), BBB (high) (sf), and BB (low) (sf) stress
scenarios in accordance with the terms of the FREED 2020-FP1
transaction documents.
(2) Structural features of the transaction that requires the Notes
to enter into full turbo principal amortization if certain triggers
are breached or if credit enhancement deteriorates.
(3) The experience, sourcing, and servicing capabilities of Freedom
Financial Asset Management, LLC (FFAM).
(4) The experience, underwriting, and origination capabilities of
Cross River Bank (CRB).
(5) The ability of the Wilmington Trust National Association (rated
AA (low) with a Stable trend by DBRS Morningstar) to perform duties
as a Backup Servicer and the ability of Nelnet Servicing, LLC d/b/a
Firstmark Services to perform duties as a Backup Servicer
Subcontractor.
(6) The annual percentage rate (APR) charged on the loans and CRB's
status as the true lender.
-- All loans included in FREED 2020-FP1 are originated by CRB, a
New Jersey state-chartered Federal Deposit Insurance
Corporation-insured bank.
-- Loans originated by CRB are all within the New Jersey state
usury limit of 30.00%.
-- The weighted-average APR of the loans in the pool is 21.32%.
-- Loans may be in excess of individual state usury laws; however,
CRB as the true lender can export rates that preempt state usury
rate caps.
-- Loans originated to borrowers in states with active litigation
(Second Circuit (New York, Connecticut, Vermont), Colorado, and
West Virginia) are excluded from the pool.
-- The FREED 2020-FP1 loan pool includes loans originated to
borrowers in Maryland, a state with active litigation. DBRS
Morningstar incorporated an additional stressed cash flow analysis
assuming that loans to borrowers in Maryland with APRs above the
state usury cap of 24.00% were subsequently reduced to the state
usury cap. Transaction cash flows are sufficient to repay investors
under all A (high) (sf), BBB (high) (sf), and BB (low) (sf) stress
scenarios.
-- Under the Loan Sale Agreement, FFAM must repurchase any loan if
there is a breach of a representation and warranty that materially
and adversely affects the interests of the purchaser.
(7) The legal structure and legal opinions that address the true
sale of the personal loans, the non-consolidation of the trust,
that the trust has a valid first-priority security interest in the
assets, and consistency with the DBRS Morningstar "Legal Criteria
for U.S. Structured Finance."
Notes: All figures are in U.S. dollars unless otherwise noted.
GLS AUTO 2020-1: S&P Assigns BB- (sf) Rating to Class D Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to GLS Auto Receivables
Issuer Trust 2020-1's automobile receivables-backed notes series
2020-1.
The note issuance is an ABS transaction backed by subprime auto
loan receivables.
The ratings reflect:
-- The availability of approximately 49.4%, 40.8%, 32.7%, and
25.6% of credit support for the class A, B, C, and D notes,
respectively, based on stressed cash flow scenarios (including
excess spread). These credit support levels provide coverage of
approximately 2.55x, 2.05x, 1.60x, and 1.25x S&P's 18.50%-19.50%
expected cumulative net loss for the class A, B, C, and D notes,
respectively.
-- S&P's expectation that under a moderate ('BBB') stress scenario
(1.60x S&P's expected loss level), all else being equal, its
ratings on the class A and B notes will remain within one rating
category of the assigned 'AA (sf)' and 'A (sf)' ratings,
respectively, during the first year; and its rating on the class C
notes will remain within two rating categories of the assigned 'BBB
(sf)' rating. The class D notes will remain within two rating
categories of the assigned 'BB- (sf)' rating during the first year,
but will eventually default under the 'BBB' stress scenario. These
rating movements are within the limits specified by S&P's credit
stability criteria.
-- S&P's analysis of over six years of origination static pool
data and securitization performance data on Global Lending Services
LLC's (GLS') eight Rule 144A securitizations.
-- The collateral characteristics of the subprime automobile loans
securitized in this transaction, including the representation in
the transaction documents that all contracts in the pool have made
a least one payment.
-- The notes' underlying credit enhancement in the form of
subordination, overcollateralization, a reserve account, and excess
spread for the class A, B, C, and D notes.
-- The timely interest and principal payments made to the notes
under S&P's stressed cash flow modeling scenarios, which it
believes are appropriate for the assigned ratings.
RATINGS ASSIGNED
GLS Auto Receivables Issuer Trust 2020-1
Class Rating Amount (mil. $)
A AA (sf) 266.21
B A (sf) 66.27
C BBB (sf) 53.37
D BB- (sf) 46.15
GS MORTGAGE 2010-C1: DBRS Lowers Class F Notes Rating to BB(low)
----------------------------------------------------------------
DBRS, Inc. downgraded two classes of Commercial Mortgage
Pass-Through Certificates Series 2010-C1 issued by GS Mortgage
Securities Trust, 2010-C1 (the Trust) as follows:
-- Class E to BBB (low) (sf) from BBB (sf)
-- Class F to BB (low) (sf) from BB (sf)
In addition, DBRS Morningstar has confirmed its ratings on the
remaining classes in the transaction as listed below:
-- Class A-2 at AAA (sf)
-- Class B at AAA (sf)
-- Class C at AAA (sf)
-- Class D at AA (low) (sf)
DBRS Morningstar does not rate the most subordinate bond, Class G.
The rating on Class A-1 has been discontinued because the class has
been fully repaid. The rating on the notional Class X has been
discontinued and withdrawn as, in accordance with the Rating North
American CMBS Interest-Only Certificates methodology, DBRS
Morningstar may withdraw its rating when a transaction is in the
wind-down period with very limited cash flow stream remaining on
the interest-only bond and all the remaining loans have initial
maturity dates scheduled in 2020.
DBRS Morningstar has maintained Stable trends on Classes A-2, B,
and C; however, it has changed the trends on Classes D, E, and F to
Negative from Stable.
The rating downgrades and trend changes are the results of the
negative outlook on several loans within the Trust that are secured
by regional malls in secondary and tertiary markets, which in
recent years have exhibited performance declines and/or the loss of
a department store anchor tenant(s). Currently, five loans
representing 42.4% of the current pool balance are secured by all
or portions of regional malls, including one loan in special
servicing (8.6% of the current pool balance) and two loans on the
servicer's watchlist (18.6% of the current pool balance). The pool
as a whole is concentrated by loans secured by retail properties
(eight loans representing 71.1% of the current pool balance).
The pool currently consists of 16 of the original 23 loans with
collateral reduction of 29.5% since issuance as of the January 2020
remittance. The pool benefits from defeasance collateral as four
loans, representing 19.8% of the current pool balance, are
defeased. According to the most recent year-end reporting, there
has been a weighted-average (WA) cash flow decline of -3.9% for the
non-defeased loans, resulting in a WA debt service coverage ratio
(DSCR) of 1.89 times (x) at YE2018 compared with 1.95x at YE2017.
All loans were originally scheduled to mature or had an anticipated
repayment date in 2020 and, while some loans are expected to secure
refinancing capital without issue, others may have difficulty,
particularly those secured by regional malls.
The Mall at Johnson City loan (Prospectus ID#8), secured by a
regional mall in Johnson City, Tennessee, was transferred to the
special servicer in November 2019 after the borrower notified the
servicer that it would not be able to refinance the loan at its May
2020 maturity date. An updated September 2019 appraised value of
$52.0 million represented a 41.2% decline from the issuance
appraised value of $88.5 million. Based on the updated valuation,
the loan has a current loan-to-value ratio of 92.5%, which is
significantly elevated, considering the subject's tertiary
location. The loan was modified in December 2020 with a new initial
maturity date of May 2023 and the borrower, Washington Prime Group,
is responsible for a $5.0 million principal curtailment due May
2020 and for funding the $10.0 million of projected leasing and
capital improvement costs necessary to stabilize the property to
the May 2023 maturity date.
In addition to the two loans secured by malls on the servicer's
watchlist, the largest loan in the pool (660 Madison Avenue Retail;
14.0% of the current pool balance) is also on the servicer's
watchlist. Until recently, the collateral served as the flagship
retail location for Barney's; however, that company filed for
Chapter 11 bankruptcy protection in August 2019. Barney's was
purchased by Authentic Brands in November 2019 with the subject
location continuing to operate as a Barney's for the time being
while the remaining inventory is sold, according to a December 2019
Forbes article. The loan has a current cash reserve of $4.4 million
and has an anticipated repayment date in July 2020 with its
ultimate maturity date in 2035. The annualized September 2019 DSCR
was reported at 2.47x, indicative of stable performance; however,
at this time DBRS Morningstar has not received concrete updates
from the servicer about the borrower's plans to refinance the loan
at the anticipated repayment date. Given the uncertainty
surrounding the loan and the ultimate plans for the collateral,
DBRS Morningstar has removed the shadow rating on the loan.
DBRS Morningstar has confirmed the shadow ratings on the Cole
Portfolio (Prospectus ID#5, 10.7% of the pool) and Aardex Ground
Lease Portfolio (Prospectus ID#11, 2.7% of the pool) loans, as
performance remains consistent with investment-grade loan
characteristics.
DBRS Morningstar materially deviated from its principal methodology
by four notches when determining the rating assigned to Class D.
DBRS Morningstar considers a material deviation from a methodology
to exist when there may be a substantial likelihood that a
reasonable investor or another user of the credit rating(s) would
consider the material deviation to be a significant factor in
evaluating the rating(s). The material deviation is warranted given
qualitative loan-level factors that are not precisely captured in
the quantitative model.
Class X is IO certificates that reference a single rated tranche or
multiple rated tranches. The IO rating mirrors the lowest-rated
applicable reference obligation tranche adjusted upward by one
notch if senior in the waterfall.
Notes: All figures are in U.S. dollars unless otherwise noted.
GS MORTGAGE 2013-GCJ12: Fitch Affirms CCC on Class F Certs
----------------------------------------------------------
Fitch Ratings affirmed 11 classes of GS Mortgage Securities Trust
2013-GCJ12 commercial mortgage pass through certificates, series
2013-GCJ12.
RATING ACTIONS
GS Mortgage Securities Trust 2013-GCJ12
Class A-3 36197XAJ3; LT AAAsf Affirmed; previously at AAAsf
Class A-4 36197XAK0; LT AAAsf Affirmed; previously at AAAsf
Class A-AB 36197XAL8; LT AAAsf Affirmed; previously at AAAsf
Class A-S 36197XAP9; LT AAAsf Affirmed; previously at AAAsf
Class B 36197XAQ7; LT AA-sf Affirmed; previously at AA-sf
Class C 36197XAR5; LT A-sf Affirmed; previously at A-sf
Class D 36197XAB0; LT BBB-sf Affirmed; previously at BBB-sf
Class E 36197XAC8; LT BBsf Affirmed; previously at BBsf
Class F 36197XAD6; LT CCCsf Affirmed; previously at CCCsf
Class X-A 36197XAM6; LT AAAsf Affirmed; previously at AAAsf
Class X-B 36197XAN4; LT A-sf Affirmed; previously at A-sf
KEY RATING DRIVERS
Stable Loss Expectations: Loss expectations have remained stable
since the last rating action. Five loans have been identified as
Fitch loans of concern (FLOCs; 16.2% of the pool balance). These
FLOCs include three (15.3%) of the top 15 loans, two of which are
in special servicing (13.1%).
Queens Crossing (7.1% of the pool balance) is a 424,747-sf,
mixed-use commercial condominium property located in Flushing, NY.
The loan transferred to special servicing in July 2018 for
non-monetary default and performance declines. The special servicer
had discovered multiple non-monetary defaults including
misrepresentations at issuance for property tenancy, parking income
and billboard revenues. As a result, the lender filed suit against
the borrower, and subsequently approved a resolution which includes
$6.0 million of loan credit enhancements. The property is 100%
occupied, and net operating income (NOI) debt service coverage
ratio (DSCR) is 1.37x as of full-year end (FYE) December 2018. The
loan has remained current since issuance, and per servicer updates
is in process of being returned to the master servicer.
Eagle Ridge Village (6.0%) transferred to special servicing in
January 2018 due to imminent default after the property experienced
a decline in occupancy and low DSCR. The 648-unit property is
located near Ft. Drum and has been affected by military cutbacks,
reduced subsidies, on-base housing requirements and deployments.
Occupancy has improved over the past 24 months; up to 87% as of
September 2019; however, DSCR remains low at 1.14x as of 1Q 2019.
In March 2019, the special servicer approved a loan modification to
provide temporary relief for the loan, which included am extension
of the interest-only period by 12 months, a cash flow sweep, and a
$1.2 million debt service reserve. Per servicer updates, the
borrower continues to perform under the modification agreement.
Increased Credit Enhancement and Defeasance: As of the January 2020
remittance reporting, the pool's aggregate principal balance paid
down 21.3% to $942.4 million from $1.12 billion at issuance. Eleven
loans (11.9% of the current pool) were fully defeased, including
four loans over the past 12 months.
Alternative Loss Considerations, Village at Pittsburgh Mills: The
non-specially serviced FLOC is the Village at Pittsburgh Mills
(2.2%), secured by a 161,078-sf retail center located in Tarentum,
PA (Pittsburgh MSA). The property is anchored by Ross Dress for
Less, Michael's, PetSmart and Aldi. The loan remains a FLOC due to
continued low occupancy and NOI decline since issuance. The decline
is attributed to the departure of Best Buy (previously 18.6% NRA) ,
which vacated at its 1/31/2018 lease expiration. As of September
2019, the property is 81.4% occupied with NOI DSCR reporting at
1.08x; the servicer has reported that the borrower has sub-divided
the space and has agreed to lease terms for two new tenants for
approximately 8,000 sf (5% NRA). Fitch is concerned about the low
occupancy and DSCR and potential term default risks. Fitch
performed an additional sensitivity scenario that assumed a
potential outsized loss of 15% on this loan. This analysis
contributes to the distressed rating of class F.
ADDITIONAL CONSIDERATIONS
Amortization: All loans are now amortizing. The transaction had no
full-term, interest- only (IO) loans, and all partial IO loans (38%
of the pool) have transitioned into their amortization periods. The
pool was originally scheduled to pay down 17.9% from cutoff to
maturity, based on the loans' scheduled maturity balances at
issuance. Paydown has been accelerated, with 21.3% already paid
down since issuance, due to full pre- payment of the $57.0 million
Condyne Industrial Portfolio loan (4.8% of the original pool), the
fourth largest loan at issuance. Per the January 2020 remittance,
current scheduled principal payments are approximately $1.80
million per month.
Retail Concentration: The largest property concentration consists
of retail properties (38.9% of the pool). The largest loan in the
pool, Friendly Center (9.8%), is secured by an open-air retail
center in Greensboro, NC anchored by Sears, Macy's, Belk and Grande
Cinemas. Property performance has been stable since issuance.
Occupancy has averaged 97% since issuance, and NOI DSCR reported at
2.77x as of FYE June 2019.
RATING SENSITIVITIES
Rating Outlooks on classes A-2 through E remain Stable due to
sufficient class credit enhancement relative to Fitch expected
losses given the paydown and defeasance since issuance. The senior
class' credit enhancement is expected continue to increase from
ongoing amortization. Upgrades, while not expected, are possible
with improved performance of the FLOCs and additional paydown or
defeasance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
No third-party due diligence was provided or reviewed in relation
to this rating action.
ESG CONSIDERATIONS
ESG Considerations: Unless otherwise disclosed in this section, the
highest level of ESG credit relevance is a score of 3, which
indicates ESG issues are credit neutral or have only a minimal
credit impact on GSMS 2013-GCJ12, either due to their nature or the
way in which they are being managed by GSMS 2013-GCJ12.
GS MORTGAGE 2020-DUNE: Moody's Assigns B3 Rating on Class F Certs
-----------------------------------------------------------------
Moody's Investors Service assigned definitive 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, Definitive Rating Assigned Aaa (sf)
Cl. X-CP*, Definitive Rating Assigned Baa2 (sf)
Cl. X-FP*, Definitive Rating Assigned Baa2 (sf)
Cl. B, Definitive Rating Assigned Aa3 (sf)
Cl. C, Definitive Rating Assigned A3 (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. E, Definitive Rating Assigned Ba3 (sf)
Cl. F, Definitive Rating Assigned B3 (sf)
Cl. A-Y**, Definitive Rating Assigned Aaa (sf)
Cl. A-Z**, Definitive Rating Assigned Aaa (sf)
Cl. A-IO****, Definitive Rating Assigned Aaa (sf)
* Reflects interest-only classes
** Reflects exchangeable classes
**** Reflects interest-only and exchangeable classes
RATINGS RATIONALE
The certificates are collateralized by a single loan backed by fee
simple interests in 17 extended stay, full-service, and
limited-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 2.11X 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 exchangeable 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 exchangeable 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: DBRS Finalizes B Rating on 2 Tranches
------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2020-GC45 issued by GS Mortgage Securities Trust 2020-GC45:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class X-A AAA (sf)
-- Class X-B at A (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (high) (sf)
-- Class X-D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F-RR at BB (low) (sf)
-- Class G-RR at B (sf)
-- Class SW-A at A (low) (sf)
-- Class SW-B at BBB (low) (sf)
-- Class SW-C at BB (low) (sf)
-- Class SW-D at B (low) (sf)
All trends are Stable. Classes X-D, D, E, F-RR, G-RR, SW-A, SW-B,
SW-C, and SW-D will be privately placed.
DBRS Morningstar subsequently placed the finalized provisional
ratings on Class SW-A, SW-B, SW-C, and SW-D Under Review with
Developing Implications because of the request for comments (RFC)
on the "North American Single-Asset/Single-Borrower Ratings
Methodology" on November 14, 2019. If the updated methodology is
adopted following the RFC, there will likely be no rating impact to
the ratings assigned to this transaction.
The collateral consists of 52 fixed-rate loans secured by 152
commercial, hospitality, and multifamily properties. The
transaction is a sequential-pay pass-through structure. DBRS
Morningstar analyzed the conduit pool to determine the provisional
ratings, reflecting the long-term probability of loan default
within the term and its liquidity at maturity. DBRS Morningstar
shadow-rated eight loans, representing approximately 31.8% of the
pool, investment grade. The pool also includes 18 loans,
representing 21.2% of the pool by allocated loan balance, with
issuance loan-to-value (LTV) ratios higher than 67.1%, a threshold
historically indicative of above-average default frequency. The
weighted-average (WA) LTV of the pool at issuance was 54.6% and the
pool is scheduled to amortize down to a WA LTV of 51.4% at
maturity.
The collateral features eight loans, representing 31.8% of the
initial pool balance that DBRS Morningstar assessed as
investment-grade: 1633 Broadway, 560 Mission Street, Starwood Class
A Industrial Portfolio 1, Bellagio Hotel and Casino, Southcenter
Mall, 650 Madison Avenue, Parkmerced, and 510 East 14th Street.
DBRS Morningstar views the percentage of investment-grade loans in
the pool favorably and the proportion of investment-grade loans is
higher than other recent conduit/fusion transactions.
The pool is relatively granular and does not exhibit significant
loan size concentration. No loan represents more than 4.5% of the
pool cutoff balance and the top 10 loans represent only 41.1% of
the total pool balance. Eight loans, representing 17.7% of the
initial pool balance, are secured by multiple-property portfolios,
which provide additional diversity and cash flow stability compared
with a loan collateralized by a single property. Additionally, no
single property type accounts for more than 25.0% of the pool by
initial cutoff balance.
The pool exhibits a heavy-leverage barbell. While the pool has 21
loans, comprising 54.3% of the pool balance, which have an issuance
LTV lower than 59.3%, a threshold historically indicative of
relatively low-leverage financing and generally associated with
below-average default frequency, there are also 18 loans,
comprising 21.2% of the pool balance, which have an issuance LTV of
higher than 67.1%, a threshold historically indicative of
relatively high-leverage financing and generally associated with
above-average default frequency. The WA Expected Loss of the pool's
investment-grade component was approximately 0.6% while the WA
Expected Loss of the pool's conduit component was substantially
higher at over 3.0%, further illustrating the barbell nature of the
transaction.
The pool features a relatively high concentration of loans secured
by properties located in less favorable suburban market areas.
Twenty-six loans, representing 49.9% of the pool's cutoff balance,
are secured by properties predominately located in areas with a
DBRS Morningstar Market Rank of either 3 or 4.
Twenty-eight loans, representing 67.5% of the cutoff pool balance,
are structured with full-term interest-only (IO) periods and an
additional 17 loans, representing 26.5% of the pooled cutoff
balance, are structured with partial-IO terms ranging from 12
months to 60 months.
Classes X-A, X-B, and X-D are IO certificates that reference a
single rated tranche or multiple rated tranches. The IO rating
mirrors the lowest-rated applicable reference obligation tranche
adjusted upward by one notch if senior in the waterfall.
Notes: All figures are in U.S. dollars unless otherwise noted.
JP MORGAN 2020-1: Moody's Assigns B3 Rating on 2 Tranches
---------------------------------------------------------
Moody's Investors Service assigned definitive ratings to 34 classes
of residential mortgage-backed securities issued by J.P. Morgan
Mortgage Trust 2020-1. The ratings range from Aaa (sf) to B3 (sf).
The certificates are backed by 1,056 28-year and 30-year,
fully-amortizing fixed-rate mortgage loans with a total balance of
$776,561,029 as of the January 1, 2020 cut-off date. Similar to
prior JPMMT transactions, JPMMT 2020-1 includes agency-eligible
mortgage loans (approximately 25.7% by loan balance) underwritten
to the government sponsored enterprises (GSE) guidelines in
addition to prime jumbo non-agency eligible mortgages purchased by
J.P. Morgan Mortgage Acquisition Corp. , the sponsor and mortgage
loan seller, from various originators and aggregators. United Shore
Financial Services, LLC d/b/a United Wholesale Mortgage and Shore
Mortgage (United Shore) originated approximately 50.4% of the
mortgage pool by balance. loanDepot.com, LLC originated
approximately 19.1% of the pool and Guaranteed Rate Inc. originated
approximately 12.5%. All other originators accounted for less than
10% of the pool by balance. With respect to the mortgage loans,
each originator or the aggregator, as applicable, made a
representation and warranty that the mortgage loan constitutes a
qualified mortgage under the qualified mortgage rule.
The primary servicers for majority of the pool are JPMorgan Chase
Bank, N.A., United Shore, LoanDepot and Guaranteed Rate. United
Shore, JPMCB, LoanDepot and Guaranteed Rate will own the mortgage
servicing rights for 40.69%, 28.40%, 18.82%, 12.02% of the mortgage
loans, respectively. Cenlar FSB ("Cenlar") will be the sub-servicer
for the United Shore and LoanDepot mortgage loans. Dovenmuehle
Mortgage, Inc. ('Dovenmuehle") will be the sub-servicer for the
Guaranteed Rate loans. NewRez LLC f/k/a New Penn Financial, LLC
d/b/a Shellpoint Mortgage Servicing (Shellpoint) will act as
interim servicer for the JPMCB mortgage loans until the servicing
transfer date, which is expected to occur on or about April 1,
2020, but may occur on a later date as determined by the issuing
entity. After the servicing transfer date, these mortgage loans
will be serviced by JPMCB. The servicing fee for loans serviced by
United Shore, JPMCB/Shellpoint, Guaranteed Rate and LoanDepot will
be based on a step-up incentive fee structure with a monthly base
fee of $40 per loan and additional fees for delinquent or defaulted
loans (variable fee framework). The other servicer, TIAA, FSB
("TIAA"), will be paid a monthly flat servicing fee equal to
one-twelfth of 0.25% of the remaining principal balance of the
mortgage loans (fixed fee framework). Nationstar Mortgage LLC
(Nationstar) will be the master servicer and Citibank, N.A.
(Citibank) will be the securities administrator and Delaware
trustee. Pentalpha Surveillance LLC will be the representations and
warranties breach reviewer. Distributions of principal and interest
and loss allocations are based on a typical shifting interest
structure that benefits from senior and subordination floors.
The complete rating actions are as follows:
Issuer: J.P. Morgan Mortgage Trust 2020-1
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-3-A, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-4-A, Definitive Rating Assigned Aaa (sf)
Cl. A-5, Definitive Rating Assigned Aaa (sf)
Cl. A-5-A, Definitive Rating Assigned Aaa (sf)
Cl. A-6, Definitive Rating Assigned Aaa (sf)
Cl. A-6-A, Definitive Rating Assigned Aaa (sf)
Cl. A-7, Definitive Rating Assigned Aaa (sf)
Cl. A-7-A, Definitive Rating Assigned Aaa (sf)
Cl. A-8, Definitive Rating Assigned Aaa (sf)
Cl. A-8-A, Definitive Rating Assigned Aaa (sf)
Cl. A-9, Definitive Rating Assigned Aaa (sf)
Cl. A-9-A, Definitive Rating Assigned Aaa (sf)
Cl. A-10, Definitive Rating Assigned Aaa (sf)
Cl. A-10-A, Definitive Rating Assigned Aaa (sf)
Cl. A-11, Definitive Rating Assigned Aaa (sf)
Cl. A-12, Definitive Rating Assigned Aaa (sf)
Cl. A-13, Definitive Rating Assigned Aaa (sf)
Cl. A-14, Definitive Rating Assigned Aa1 (sf)
Cl. A-15, Definitive Rating Assigned Aa1 (sf)
Cl. A-16, Definitive Rating Assigned Aaa (sf)
Cl. A-17, Definitive Rating Assigned Aaa (sf)
Cl. B-1, Definitive Rating Assigned Aa3 (sf)
Cl. B-1-A, Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Definitive Rating Assigned A3 (sf)
Cl. B-2-A, Definitive Rating Assigned A3 (sf)
Cl. B-3, Definitive Rating Assigned Baa3 (sf)
Cl. B-3-A, Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Definitive Rating Assigned Ba3 (sf)
Cl. B-5, Definitive Rating Assigned B3 (sf)
Cl. B-5-Y, Definitive Rating Assigned B3 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected loss for this pool in a baseline scenario is 0.53%
and reaches 5.27% at a stress level consistent with its Aaa
ratings.
Moody's calculated losses on the pool using its US Moody's
Individual Loan Analysis model based on the loan-level collateral
information as of the cut-off date. Loan-level adjustments to the
model results included, but were not limited to, adjustments for
origination quality, third-party review (TPR) scope and results,
and the financial strength of the representation & warranty (R&W)
providers.
Collateral Description
JPMMT 2020-1 is a securitization of a pool of 1,056 28-year and
30-year, fully-amortizing fixed-rate mortgage loans with a total
balance of $776,561,029 as of the cut-off date, with a weighted
average (WA) remaining term to maturity of 357 months, and a WA
seasoning of 3 months. The WA current FICO score is 771 and the WA
original combined loan-to-value ratio (CLTV) is 69.4%. The
characteristics of the loans underlying the pool are generally
comparable to those of other JPMMT transactions backed by prime
mortgage loans that Moody's has rated.
Aggregation/Origination Quality
Moody's considers JPMMAC's aggregation platform to be adequate and
Moody's did not apply a separate loss-level adjustment for
aggregation quality. In addition to reviewing JPMMAC as an
aggregator, Moody's has also reviewed the originator(s)
contributing a significant percentage of the collateral pool (above
10%). As such, for United Shore, Moody's reviewed United Shore's
underwriting guidelines and its policies and documentation (where
available). Additionally, Moody's increased its base case and Aaa
loss expectations for certain originators of non-conforming loans
where Moody's does not have clear insight into the underwriting
practices, quality control and credit risk management. Moody's did
not make an adjustment for GSE-eligible loans, regardless of the
originator, since those loans were underwritten in accordance with
GSE guidelines. In addition, Moody's reviewed the loan performance
for some of these originators. Moody's viewed the loan performance
as comparable to the GSE loans due to consistently low
delinquencies, early payment defaults and repurchase requests.
United Shore and LoanDepot originated approximately 56.6% and
21.4%of the non-conforming mortgage loans (by balance) in the pool,
respectively. All other originators accounted for less than 10% of
the non-conforming mortgage loans by balance.
United Shore (originator): Loans originated by United Shore have
been included in several prime jumbo securitizations that Moody's
has rated. United Shore originated approximately 50.4% of the
mortgage loans by pool balance (compared with about 86.9% by pool
balance in JPMMT 2019-9). The majority of these loans were
originated under United Shore's High Balance Nationwide program
which are processed using the Desktop Underwriter (DU) automated
underwriting system, and are therefore underwritten to Fannie Mae
guidelines. The loans receive a DU Approve Ineligible feedback due
to the loan amount only. Moody's made a negative origination
adjustment (i.e. Moody's increased its loss expectations) for
United Shore's loans due mostly to 1) the lack of statistically
significant program specific loan performance data and 2) the fact
that United Shore's High Balance Nationwide program is unique and
fairly new and no performance history has been provided to Moody's
on these loans. Under this program, the origination criteria rely
on the use of GSE tools (DU/LP) for prime-jumbo non-conforming
loans, subject to Qualified Mortgage (QM) overlays. More time is
needed to assess United Shore's ability to consistently produce
high-quality prime jumbo residential mortgage loans under this
program.
Moody's considers LoanDepot an adequate originator of prime jumbo
loans. As a result, Moody's did not make any adjustments to its
loss levels for these loans.
Servicing Arrangement
Moody's considers the overall servicing arrangement for this pool
to be adequate given the strong servicing arrangement of the
servicers, as well as the presence of a strong master servicer to
oversee the servicers. The servicers are contractually obligated to
the issuing entity to service the related mortgage loans. However,
the servicers may perform their servicing obligations through
sub-servicers. In this transaction, Nationstar Mortgage LLC (rated
B2) will act as the master servicer. The servicers are required to
advance principal and interest on the mortgage loans. To the extent
that the servicers are unable to do so, the master servicer will be
obligated to make such advances. In the event that the master
servicer, Nationstar, is unable to make such advances, the
securities administrator, Citibank (rated Aa3) will be obligated to
do so to the extent such advance is determined by the securities
administrator to be recoverable.
Servicing Fee Framework
The servicing fee for loans serviced by United Shore, JPMCB,
Shellpoint and LoanDepot will be based on a step-up incentive fee
structure with a monthly base fee of $40 per loan and additional
fees for servicing delinquent and defaulted loans. The other
servicer, TIAA, will be paid a monthly flat servicing fee equal to
one-twelfth of 0.25% of the remaining principal balance of the
mortgage loans. Shellpoint will act as interim servicer for the
JPMCB mortgage loans until the servicing transfer date, April 1,
2020 or such later date as determined by the issuing entity and
JPMCB.
The servicing fee framework is comparable to other recent JPMMT
transactions backed by prime mortgage loans that Moody's has rated.
However, while this fee structure is common in non-performing
mortgage securitizations, it is relatively new to rated prime
mortgage securitizations which typically incorporate a flat 25
basis point servicing fee rate structure. By establishing a base
servicing fee for performing loans that increases with the
delinquency of loans, the fee-for-service structure aligns monetary
incentives to the servicer with the costs of the servicer. The
servicer receives higher fees for labor-intensive activities that
are associated with servicing delinquent loans, including loss
mitigation, than they receive for servicing a performing loan,
which is less labor-intensive. The fee-for-service compensation is
reasonable and adequate for this transaction because it better
aligns the servicer's costs with the deal's performance.
Furthermore, higher fees for the more labor-intensive tasks make
the transfer of these loans to another servicer easier, should that
become necessary. By contrast, in typical RMBS transactions a
servicer can take actions, such as modifications and prolonged
workouts, that increase the value of its mortgage servicing
rights.
The incentive structure includes an initial monthly base servicing
fee of $40 for all performing loans and increases according to a
pre-determined delinquent and incentive servicing fee schedule. The
delinquent and incentive servicing fees will be deducted from the
available distribution amount and Class B-6 net WAC. The
transaction does not have a servicing fee cap, so, in the event of
a servicer replacement, any increase in the base servicing fee
beyond the current fee will be paid out of the available
distribution amount.
Third-Party Review
Three third party review firms, AMC Diligence, LLC (AMC), Clayton
Services LLC (Clayton), and Opus Capital Markets Consultants, LLC
(Opus) (collectively, TPR firms) verified the accuracy of the
loan-level information that Moody's received from the sponsor.
These firms conducted detailed credit, valuation, regulatory
compliance and data integrity reviews on 100% of the mortgage pool.
The TPR results indicated compliance with the originators'
underwriting guidelines for majority of loans, no material
compliance issues, and no appraisal defects. Overall, the loans
that had exceptions to the originators' underwriting guidelines had
strong documented compensating factors such as low DTIs, low LTVs,
high reserves, high FICOs, or clean payment histories. The TPR
firms also identified minor compliance exceptions for reasons such
as inadequate RESPA disclosures (which do not have assignee
liability) and TILA/RESPA Integrated Disclosure (TRID) violations
related to fees that were out of variance but then were cured and
disclosed.
The property valuation review consisted of reviewing the valuation
materials utilized at origination to ensure the appraisal report
was complete and in conformity with the underwriting guidelines.
The TPR firms also reviewed each loan to determine whether a
third-party valuation product was required and if required, that
the third-party product value was compared to the original
appraised value to identify a value variance. In some cases, if a
variance of more than 10% was noted, the TPR firms ensured any
required secondary valuation product was ordered and reviewed. The
property valuation portion of the TPR was conducted using, among
other methods, a field review, a third-party collateral desk
appraisal (CDA), broker price opinion (BPO), automated valuation
model (AVM) or a Collateral Underwriter (CU) risk score. In some
cases, a CDA, BPO or AVM was not provided because these loans were
originated under United Shore's High Balance Nationwide program
(i.e. non-conforming loans underwritten using Fannie Mae's Desktop
Underwriter Program) and had a CU risk score less than or equal to
2.5. Moody's considers the use of CU risk score for non-conforming
loans to be credit negative due to (1) the lack of human
intervention which increases the likelihood of missing emerging
risk trends, (2) the limited track record of the software and
limited transparency into the model and (3) GSE focus on non-jumbo
loans which may lower reliability on jumbo loan appraisals. Moody's
did not apply an adjustment to the loss for such loans since the
statistically significant sample size and valuation results of the
loans that were reviewed using a CDA or a field review (which
Moody's considers to be a more accurate third-party valuation
product) were sufficient.
R&W Framework
JPMMT 2020-1's R&W framework is in line with that of other JPMMT
transactions where an independent reviewer is named at closing, and
costs and manner of review are clearly outlined at issuance. Its
review of the R&W framework considers the financial strength of the
R&W providers, scope of R&Ws (including qualifiers and sunsets) and
enforcement mechanisms. The R&W providers vary in financial
strength. The creditworthiness of the R&W provider determines the
probability that the R&W provider will be available and have the
financial strength to repurchase defective loans upon identifying a
breach. An investment grade rated R&W provider lends substantial
strength to its R&Ws. Moody's analyzes the impact of less
creditworthy R&W providers case by case, in conjunction with other
aspects of the transaction.
Moody's made no adjustments to the loans for which JPMCB (Aa2), its
affiliate, JPMMAC provided R&Ws since they are highly rated and/or
financially stable entities. In contrast, the rest of the R&W
providers are unrated and/or financially weaker entities. Moody's
applied an adjustment to the loans for which these entities
provided R&Ws. JPMMAC will make the mortgage loan representations
and warranties with respect to mortgage loans originated by certain
originators (approx. 18% by loan balance). For loans that JPMMAC
acquired via the MAXEX Clearing LLC (MaxEx) platform, MaxEx under
the assignment, assumption and recognition agreement with JPMMAC,
will make the R&Ws. The R&Ws provided by MaxEx to JPMMAC and
assigned to the trust are in line with the R&Ws found in other
JPMMT transactions.
No other party will backstop or be responsible for backstopping any
R&W providers who may become financially incapable of repurchasing
mortgage loans. With respect to the mortgage loan R&Ws made by such
originators or the aggregator, as applicable, as of a date prior to
the closing date, JPMMAC will make a "gap" representation covering
the period from the date as of which such R&W is made by such
originator or the aggregator, as applicable, to the cut-off date or
closing date, as applicable. Additionally, no party will be
required to repurchase or substitute any mortgage loan until such
loan has gone through the review process.
Trustee and Master Servicer
The transaction Delaware trustee is Citibank. The custodian's
functions will be performed by Wells Fargo Bank, N.A. The paying
agent and cash management functions will be performed by Citibank.
Nationstar, as master servicer, is responsible for servicer
oversight, servicer termination and for the appointment of any
successor servicer. In addition, Nationstar is committed to act as
successor if no other successor servicer can be found. The master
servicer is required to advance principal and interest if the
servicer fails to do so. If the master servicer fails to make the
required advance, the securities administrator is obligated to make
such advance.
Tail Risk & Subordination Floor
This deal has a standard shifting interest structure, with a
subordination floor to protect against losses that occur late in
the life of the pool when relatively few loans remain (tail risk).
When the total senior subordination is less than 0.65% of the
original pool balance, the subordinate bonds do not receive any
principal and all principal is then paid to the senior bonds. The
subordinate bonds benefit from a floor as well. When the total
current balance of a given subordinate tranche plus the aggregate
balance of the subordinate tranches that are junior to it amount to
less than 0.55% of the original pool balance, those tranches that
are junior to it do not receive principal distributions. The
principal those tranches would have received is directed to pay
more senior subordinate bonds pro-rata.
In addition, until the aggregate class principal amount of the
senior certificates (other than the interest only certificates) is
reduced to zero, if on any distribution date, the aggregate
subordinate percentage for such distribution date drops below 6.00%
of current pool balance, the senior distribution amount will
include all principal collections and the subordinate principal
distribution amount will be zero.
Moody's calculates the credit neutral floors for a given target
rating as shown in its principal methodology. The senior
subordination floor is equal to an amount which is the sum of the
balance of the six largest loans at closing multiplied by the
higher of their corresponding MILAN Aaa severity or a 35% severity.
The credit neutral floor for Aaa rating is $4,861,296. The senior
subordination floor of 0.65% and subordinate floor of 0.55% are
consistent with the credit neutral floors for the assigned
ratings.
Transaction Structure
The transaction has a shifting interest structure in which the
senior bonds benefit from a number of protections. Funds collected,
including principal, are first used to make interest payments to
the senior bonds. Next, principal payments are made to the senior
bonds. Next, available distribution amounts are used to reimburse
realized losses and certificate write-down amounts for the senior
bonds (after subordinate bond have been reduced to zero i.e. the
credit support depletion date). Finally, interest and then
principal payments are paid to the subordinate bonds in sequential
order.
Realized losses are allocated in a reverse sequential order, first
to the lowest subordinate bond. After the balance of the
subordinate bonds is written off, losses from the pool begin to
write off the principal balance of the senior support bond, and
finally losses are allocated to the super senior bonds.
In addition, the pass-through rate on the bonds (other than the
Class A-R Certificates) is based on the net WAC as reduced by the
sum of (i) the reviewer annual fee rate and (ii) the capped trust
expense rate. In the event that there is a small number of loans
remaining, the last outstanding bonds' rate can be reduced to
zero.
The Class A-11 Certificates will have a pass-through rate that will
vary directly with the rate of one-month LIBOR and the Class A-11-X
Certificates will have a pass-through rate that will vary inversely
with the rate of one-month LIBOR. If the securities administrator
notifies the depositor that it cannot determine one-month LIBOR in
accordance with the methods prescribed in the sale and servicing
agreement and a benchmark transition event has not yet occurred,
one-month LIBOR for such accrual period will be one-month LIBOR as
calculated for the immediately preceding accrual period. Following
the occurrence of a benchmark transition event, a benchmark other
than one-month LIBOR will be selected for purposes of calculating
the pass-through rate on the class A-11 certificates.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
JP MORGAN 2020-LOOP: Moody's Assigns B3 Rating on Class F Certs
---------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to six
classes of CMBS securities, issued by J.P. Morgan Chase Commercial
Mortgage Securities Trust 2020-LOOP, Commercial Mortgage
Pass-Through Certificates, Series 2020-LOOP:
Cl. B, Definitive Rating Assigned Aa3 (sf)
Cl. C, Definitive Rating Assigned A3 (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. E, Definitive Rating Assigned Ba3 (sf)
Cl. F, Definitive Rating Assigned B3 (sf)
Cl. X-B*, Definitive Rating Assigned A3 (sf)
* Reflects interest-only classes
RATINGS RATIONALE
The certificates are collateralized by a single loan secured by a
fee simple interest in a 946,099 SF, Class A, multi-tenant office
building known as 181 W. Madison Street (the "property"), which is
located in the Central Loop submarket of downtown Chicago,
Illinois. Its ratings are based on the credit quality of the loans
and the strength of the securitization structure.
The property is well located within downtown Chicago. The property
is proximate to three of Chicago's major commuter rail stations
(Union Station, LaSalle Street Station and Ogilvie Transportation
Center), adjacent to the Washington and Wells CTA elevated train,
and in proximity to interstate 90/94 and I-290.
The property was built in 1990 and renovated in 2016, and recently
achieved LEED Gold certification. As of November 30, 2019, the
property was 87.7% leased to 29 tenants. The property serves as a
headquarter location for its three largest tenants: The Northern
Trust Company -- 42.3% of NRA, Quantitative Risk Management --
11.3% of NRA, and The Marmon Group -- 4.8% of NRA. Other notable
tenants include: The United States Government -- 3.9% of NRA,
Canadian Imperial Bank of Commerce -- 4.5% of NRA, Factset Research
Systems Inc. -- 4.0% of NRA, and Duracell -- 1.2% of NRA.
The securitization consists of the $133,100,000 (the "trust loan")
of a seven-year, interest-only, first lien mortgage loan with an
outstanding principal balance of $240,000,000 (the "whole loan" or
the "loan"). The trust loan will contain senior and junior note
components. The loan will be non-recourse and made by JPMorgan
Chase Bank, National Association (the "lender") to 181 West Madison
Property LLC (the "borrower"), a Delaware limited liability company
and special purpose entity. Its ratings are based on the credit
quality of the loan and the strength of the securitization
structure.
Moody's approach to rating this transaction involved the
application of both its Large Loan and Single Asset/Single Borrower
CMBS methodology and its IO Rating methodology. The rating approach
for securities backed by a single loan compares the credit risk
inherent in the underlying collateral with the credit protection
offered by the structure. The structure's credit enhancement is
quantified by the maximum deterioration in property value that the
securities are able to withstand under various stress scenarios
without causing an increase in the expected loss for various rating
levels. In assigning single borrower ratings, Moody's also
considers a range of qualitative issues as well as the
transaction's structural and legal aspects.
The credit risk of commercial real estate loans is determined
primarily by two factors: 1) the probability of default, which is
largely driven by the DSCR, and 2) and the severity of loss in the
event of default, which is largely driven by the LTV of the
underlying loan.
The first mortgage balance of $240,000,000 represents a Moody's LTV
ratio of 125.8% while the Moody's Total Debt Actual DSCR is 1.78X
and Moody's Total Debt Stressed DSCR is 0.75X.
Notable strengths of the transaction include: the property's strong
location, asset quality, and credit tenancy.
Notable credit challenges of the transaction include: the lack of
asset diversification, new supply, lease roll-over risk, and
certain credit negative loan structure and legal features.
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating interest-only 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 the
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.
JP MORGAN 2020-LTV1: DBRS Finalizes B(high) Rating on 2 Classes
---------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Mortgage Pass-Through Certificates, Series 2020-LTV1 (the
Certificates) issued by J.P. Morgan Mortgage Trust 2020-LTV1:
-- $365.7 million Class A-1 at AAA (sf)
-- $322.7 million Class A-2 at AAA (sf)
-- $238.8 million Class A-3 at AAA (sf)
-- $238.8 million Class A-3-A at AAA (sf)
-- $238.8 million Class A-3-X at AAA (sf)
-- $179.1 million Class A-4 at AAA (sf)
-- $179.1 million Class A-4-A at AAA (sf)
-- $179.1 million Class A-4-X at AAA (sf)
-- $59.7 million Class A-5 at AAA (sf)
-- $59.7 million Class A-5-A at AAA (sf)
-- $59.7 million Class A-5-X at AAA (sf)
-- $154.4 million Class A-6 at AAA (sf)
-- $154.4 million Class A-6-A at AAA (sf)
-- $154.4 million Class A-6-X at AAA (sf)
-- $84.4 million Class A-7 at AAA (sf)
-- $84.4 million Class A-7-A at AAA (sf)
-- $84.4 million Class A-7-X at AAA (sf)
-- $24.7 million Class A-8 at AAA (sf)
-- $24.7 million Class A-8-A at AAA (sf)
-- $27.7 million Class A-8-X at AAA (sf)
-- $44.4 million Class A-9 at AAA (sf)
-- $44.4 million Class A-9-A at AAA (sf)
-- $44.4 million Class A-9-X at AAA (sf)
-- $15.3 million Class A-10 at AAA (sf)
-- $15.3 million Class A-10-A at AAA (sf)
-- $15.3 million Class A-10-X at AAA (sf)
-- $83.9 million Class A-11 at AAA (sf)
-- $83.9 million Class A-11-X at AAA (sf)
-- $83.9 million Class A-12 at AAA (sf)
-- $83.9 million Class A-13 at AAA (sf)
-- $43.0 million Class A-14 at AAA (sf)
-- $43.0 million Class A-15 at AAA (sf)
-- $270.7 million Class A-16 at AAA (sf)
-- $95.1 million Class A-17 at AAA (sf)
-- $365.7 million Class A-X-1 at AAA (sf)
-- $365.7 million Class A-X-2 at AAA (sf)
-- $83.9 million Class A-X-3 at AAA (sf)
-- $43.0 million Class A-X-4 at AAA (sf)
-- $15.9 million Class B-1 at AA (high) (sf)
-- $15.9 million Class B-1-A at AA (high) (sf)
-- $15.9 million Class B-1-X at AA (high) (sf)
-- $17.9 million Class B-2 at A (sf)
-- $17.9 million Class B-2-A at A (sf)
-- $17.9 million Class B-2-X at A (sf)
-- $10.5 million Class B-3 at BBB (high) (sf)
-- $10.5 million Class B-3-A at BBB (high) (sf)
-- $10.5 million Class B-3-X at BBB (high) (sf)
-- $7.1 million Class B-4 at BB (high) (sf)
-- $3.0 million Class B-5 at B (high) (sf)
-- $44.3 million Class B-X at BBB (high) (sf)
-- $3.0 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-2, A-3, A-3-A, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7,
A-7-A, A-8, A-8-A, A-9, A-9-A, A-10, A-10-A, A-11, A-12, and A-13
are super-senior certificates. These classes benefit from
additional protection from the senior support certificates (Classes
A-14 and A-15) with respect to loss allocation.
The AAA (sf) rating on the Certificates reflects 15.00% of credit
enhancement provided by subordinated notes in the pool. The AA
(high) (sf), A (sf), BBB (high) (sf), BB (high) (sf), and B (high)
(sf) ratings reflect 11.30%, 7.15%, 4.70%, 3.05%, and 2.35% of
credit enhancement, respectively.
Other than the specified classes above, DBRS Morningstar does not
rate any other classes in this transaction.
This transaction is a securitization of a portfolio of first-lien
fixed-rate prime residential mortgages funded by the issuance of
the Certificates. The Certificates are backed by 645 loans with a
total principal balance of $430,287,416 as of the Cut-Off Date
(January 1, 2020).
Compared with other post-crisis prime pools, this portfolio
consists of higher loan-to-value (LTV) first-lien fully amortizing
fixed-rate mortgages with original terms to maturity of up to 30
years. The weighted-average original combined LTV (CLTV) for the
portfolio is 88.7%, and almost the entire pool (92.6%) comprises
loans with current CLTV ratios greater than 80.0%. The high LTV
attribute of this portfolio is mitigated by certain strengths, such
as a high FICO score, a low debt-to-income ratio, robust income and
reserves, and other strengths detailed in the Key Probability of
Default Drivers section of the related rating report.
The mortgage loans were originated by United Shore Financial
Services (67.1%); loanDepot.com, LLC (18.1%); Sofi Lending Corp.
(7.4%); and various other originators, each comprising less than
2.0% of the mortgage loans. Approximately 1.2% 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 Cenlar FSB
(60.9%) and NewRez doing business as Shellpoint Mortgage Servicing
(SMS; 39.1%). Servicing will be transferred from SMS to JPMorgan
Chase Bank, N.A. (JPMCB; rated AA with a Stable trend by DBRS
Morningstar) on the servicing transfer date (April 1, 2020, or a
later date) as determined by the issuing entity and JPMCB. For this
transaction, the servicing fee payable for the mortgage loans 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. Wells Fargo
Bank, N.A. (rated AA with a Stable trend by DBRS Morningstar) will
act as the Custodian. Pentalpha Surveillance LLC will serve as the
Representations and Warranties (R&W) Reviewer.
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, structural
enhancements, a stronger servicer, and 100%-current loans.
This transaction employs an R&W framework that contains certain
weaknesses, such as materiality factors, knowledge qualifiers, and
some R&W providers that may experience financial stress that could
result in the inability to fulfill repurchase obligations. 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.
JPMDB COMMERCIAL 2017-C5: Fitch Affirms Class G-RR Certs at Bsf
---------------------------------------------------------------
Fitch Ratings affirmed all rated classes of JPMDB Commercial
Mortgage Securities Trust commercial mortgage pass-through
certificates, series 2017-C5.
RATING ACTIONS
JPMDB 2017-C5
Class A-2 46590TAB1; LT AAAsf Affirmed; previously at AAAsf
Class A-3 46590TAC9; LT AAAsf Affirmed; previously at AAAsf
Class A-4 46590TAD7; LT AAAsf Affirmed; previously at AAAsf
Class A-5 46590TAE5; LT AAAsf Affirmed; previously at AAAsf
Class A-S 46590TAJ4; LT AAAsf Affirmed; previously at AAAsf
Class A-SB 46590TAF2; LT AAAsf Affirmed; previously at AAAsf
Class B 46590TAK1; LT AA-sf Affirmed; previously at AA-sf
Class C 46590TAL9; LT A-sf Affirmed; previously at A-sf
Class D 46590LBA9; LT BBBsf Affirmed; previously at BBBsf
Class E-RR 46590LBC5; LT BBB-sf Affirmed; previously at BBB-sf
Class F-RR 46590LBE1; LT BBsf Affirmed; previously at BBsf
Class G-RR 46590LBG6; LT Bsf Affirmed; previously at Bsf
Class X-A 46590TAG0; LT AAAsf Affirmed; previously at AAAsf
Class X-B 46590TAH8; LT A-sf Affirmed; previously at A-sf
KEY RATING DRIVERS
Increased Loss Expectations: While the majority of the pool
continues to exhibit stable performance, Fitch's loss expectations
have increased since the last rating action, primarily due to
continued performance declines surrounding the Fitch Loans of
Concern (FLOCs; 14.9% of pool). The FLOCs include three specially
serviced loans (11.4%), all of which are new transfers since the
last rating action in March 2019, and one non-specially serviced
top 15 loan (3.5%).
Specially Serviced Loans: Three loans have transferred to special
servicing since the last rating action, including the largest loan
in the pool, 229 West 43rd Street Retail Condo (8% of pool). The
loan is secured by a six-floor, 245,132 sf retail condominium
located along West 43rd and 44th Streets in the Times Square area
of Manhattan. The loan was transferred to special servicing in
December 2019 for imminent monetary default due to shortfalls on
debt service and required reserve payments. Prior to the loan's
transfer, it had been on the master servicer's watchlist for the
occurrence of multiple lease sweep periods, which have triggered a
cash flow sweep since December 2017, and for low debt service
coverage ratio (DSCR).
As of the September 2019 rent roll, the property was 95.1% leased
to seven tenants. However, the property is estimated to be only
76.5% physically occupied as of January 2020 following the lease
termination and closure of Gulliver's Gate (18.6% of net rentable
area [NRA]; 29.4% of total base rent), which filed for bankruptcy
in October 2019 and had not made any rental payments since then.
According to media reports, the tenant closed in late January 2020.
Additionally, according to the servicer, National Geographic (24.1%
of NRA; 15% of base rent) also defaulted on its lease and has been
paying reduced rent payments under an occupancy and use agreement
after its lease was terminated in the spring of 2019. Although
National Geographic currently remains in occupancy and open for
business, the borrower has been marketing both of these spaces, in
addition to a smaller vacant unit (4.9% of NRA) for lease. If
National Geographic vacates, occupancy is expected to decline to
52.4%.
The loan reported a net operating income (NOI) DSCR of 1.05x for
the nine months ended September 2019, down from 1.31x reported for
year-end (YE) 2018. The property also benefits from an Industrial
Commercial Incentive Program (ICIP) tax abatement; however, tax
exemption has entered its phase out period, beginning in the
2017/2018 tax year with burn-off by 20% per year until 2021. Fitch
requested an update on the special servicer's workout strategy for
the loan, but the servicer stated that details have not been
determined at this time. The loan is currently paid through Dec. 9,
2019.
The other two specially serviced loans both have exposure to
retailer Shopko, which filed for Chapter 11 bankruptcy in January
2018 and closed all of its stores during 2019. The Shopko Oregon
Portfolio loan (2.7%) is secured by a portfolio of three
freestanding retail buildings in Bend, Eugene and Salem, OR that
were at issuance 100% leased to Shopko under separate NNN leases
through January 2027, coterminous with the loan's maturity. The
loan was transferred to special servicing in April 2019 for
imminent default, and all three Shopko locations closed by May
2019. The borrower was able to re-lease all three properties to
single tenants, although rent commencement is not scheduled until
early 2020. Portfolio occupancy is expected to return to 100% once
these leases have commenced. According to the special servicer, the
loan was recently reinstated pursuant to a forbearance agreement
and is expected to be returned to the master servicer in
second-quarter 2020. The loan was current as of the January 2020
distribution period. The Shopko Billings loan (0.6%), secured by a
single tenant retail property in Billings, MT that was fully leased
at issuance to Shopko through 2035, was transferred to special
servicing in August 2019 for imminent monetary default and Shopko
vacated the property in October 2019. According to the special
servicer, the borrower was able to successfully re-tenant the
entire collateral with At Home, a home decor superstore, on a lease
that commenced in December 2019 with rent commencement scheduled
for May 2020. However, the loan remains over 60 days delinquent as
of January 2020, as it is paid through Oct. 6, 2019.
Fitch Loans of Concern: One additional, non-specially serviced loan
was flagged as a FLOC for declining tenant sales and overall
regional mall concerns. The Summit Mall loan (3.5% of pool) is
secured by a 528,234 sf portion of an approximately 777,000 sf
regional mall located in the secondary market of Fairlawn, OH with
exposure to weaker anchors, including a non-collateral Dillard's
and a collateral Macy's. Macy's has been reporting declining sales
since issuance and has an upcoming scheduled lease expiration in
October 2020 for which the tenant has yet to provide renewal
notice. Collateral occupancy was 89.2% as of September 2019,
compared with 90.6% in December 2018 and 92.3% at issuance. The
servicer-reported NOI DSCR remains strong at 4.39x for the nine
months ended September 2019, compared with 4.65x at YE 2018.
According to the September 2019 tenant sales report, inline sales
for comparable tenants less than 10,000 sf were projected at $357
psf for YE 2019 (excluding Apple), down from $365 psf at YE 2018
and $379 psf at the time of issuance. Sales for Macy's were
projected to be $119 psf ($23.3 million gross) for YE 2019, down
from $123 psf ($24.1 million) at YE 2018 and $146 psf ($28.6
million) at issuance.
Minimal Change in Credit Enhancement: As of the January 2020
distribution date, the pool's aggregate principal balance has paid
down by 4.6% to $995 million from $1.04 billion at issuance. Since
Fitch's last rating action, one loan (Providence at Memorial; $26.7
million) was prepaid with yield maintenance penalties in August
2019, prior to its April 2022 scheduled maturity date. Seven loans
(34.4% of pool) are full-term, interest-only, and eight loans
(23.9%) still have a partial interest-only component during their
remaining loan term, compared with 41.6% of the original pool at
issuance. There have been no realized losses since issuance.
Alternative Loss Considerations: Fitch applied an additional
sensitivity to reflect potential outsized losses of 10% on the
balloon balance of the Summit Mall loan. This sensitivity analysis
contributed to the Negative Rating Outlook on classes F-RR and
G-RR.
High Percentage of Investment-Grade Credit Opinion Loans: Three
loans representing 17% of the pool were assigned investment-grade
credit opinions of 'BBB-sf' on a standalone basis at issuance.
These loans include 350 Park Avenue (6.7%), Hilton Hawaiian Village
(6.3%) and Moffett Gateway (4%).
Pool Concentrations: The largest 10 loans in the transaction
represent 56% of the pool by balance. Loans secured by office
properties and mixed-use properties that are predominately office
represent 49.1% of the pool by balance, including eight loans
(40.5%) in the top 15. Loans backed by hotel properties represent
18.9% of the pool, including three loans (13.2%) in the top 15.
RATING SENSITIVITIES
The Negative Rating Outlooks on classes F-RR and G-RR reflect the
performance issues with the FLOCs, primarily the 229 West 43rd
Street Retail Condo and Summit Mall loans. Should the specially
serviced loans get resolved or Macy's renews its lease at the
Summit Mall, these classes may return to Stable Outlooks. If
performance continues to deteriorate these classes may be
downgraded. The Stable Rating Outlooks on classes A-1 through E-RR
reflect the relatively stable performance of the majority of the
pool.
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 to declining mall performance following changing
consumer preference to shopping, which has a negative impact on the
credit profile, and is relevant to the ratings in conjunction with
other factors.
LCM XXIII: S&P Affirms 'BB (sf)' Rating on Class D Notes
--------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R, A-2-R, B-R, and C-R replacement notes from LCM XXIII Ltd., a
CLO originally issued in December 2016 that is managed by LCM Asset
Management. The replacement notes will be issued via a proposed
supplemental indenture.
The preliminary ratings reflect S&P's opinion that the credit
support available is commensurate with the associated rating
levels.
The preliminary ratings are based on information provided as of
Feb. 5, 2020. Subsequent information may result in the assignment
of final ratings that differ from the preliminary ratings.
On the Feb. 26, 2020, refinancing date, the proceeds from the
issuance of the replacement notes are expected to redeem the
original notes. At that time, S&P anticipates withdrawing the
ratings on the original notes and assigning ratings to the
replacement notes, and affirming its current rating on the class D
note. However, if the refinancing doesn't occur, S&P may affirm the
ratings on the original notes and withdraw its preliminary ratings
on the replacement notes.
REPLACEMENT AND ORIGINAL NOTE ISSUANCES
Table 1
Replacement Notes
Class Amount Interest
(mil. $) rate (%)
A-1-R 252.25 LIBOR + 1.07
A-2-R 47.75 LIBOR + 1.65
B-R 32.00 LIBOR + 2.20
C-R 20.00 LIBOR + 3.30
Table 2
Original Notes
Class Amount Interest
(mil. $) rate (%)
A-1 247.00 LIBOR + 1.40
A-2 53.00 LIBOR + 1.85
B 32.00 LIBOR + 2.55
C 20.00 LIBOR + 3.95
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the trustee
report, to estimate future performance. In line with its criteria,
S&P's cash flow scenarios applied forward-looking assumptions on
the expected timing and pattern of defaults, and the recoveries
upon default, under various interest rate and macroeconomic
scenarios. In addition, S&P's analysis considered the transaction's
ability to pay timely interest or ultimate principal, or both, to
each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take further rating actions
as we deem necessary," S&P said.
PRELIMINARY RATINGS ASSIGNED
LCM XXIII Ltd.
Replacement class Rating Amount (mil. $)
A-1-R AAA (sf) 252.25
A-2-R AA (sf) 47.75
B-R A (sf) 32.00
C-R BBB (sf) 20.00
CURRENT OUTSTANDING RATINGS
LCM XXIII Ltd.
Class Rating
A-1 AAA (sf)
A-2 AA (sf)
B A (sf)
C BBB (sf)
D BB (sf)
MORGAN STANLEY 2020-L4: Fitch to Rate $9.3MM Class G-RR Certs B-sf
------------------------------------------------------------------
Fitch Ratings issued a presale report on MSC 2020-L4 commercial
mortgage pass-through certificates, series 2020-L4.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $8,600,000 class A-1 'AAAsf'; Outlook Stable;
-- $15,700,000 class A-SB 'AAAsf'; Outlook Stable;
-- $225,000,000a class A-2 'AAAsf'; Outlook Stable;
-- $332,051,000a class A-3 'AAAsf'; Outlook Stable;
-- $581,351,000b class X-A 'AAAsf'; Outlook Stable;
-- $146,376,000b class X-B 'A-sf'; Outlook Stable;
-- $61,249,000 class A-S 'AAAsf'; Outlook Stable;
-- $45,678,000 class B 'AA-sf'; Outlook Stable;
-- $39,449,000 class C 'A-sf'; Outlook Stable;
-- $42,563,000bc class X-D 'BBB-sf'; Outlook Stable;
-- $19,724,000bc class X-F 'BB-sf'; Outlook Stable;
-- $23,877,000c class D 'BBBsf'; Outlook Stable;
-- $18,686,000c class E 'BBB-sf'; Outlook Stable;
-- $19,724,000c class F 'BB-sf'; Outlook Stable;
-- $9,343,000cd class G-RR 'B-sf'; Outlook Stable.
The following class is not expected to be rated by Fitch:
-- $31,144,755cd class H-RR
(a) The initial certificate balances of class A-2 and A-3 are
unknown and expected to be $557,051,000 in aggregate. The
certificate balances will be determined based on the final pricing
of those classes of certificates. The expected class A-2 balance
range is $180,000,000 to $270,000,000, and the expected class A-3
balance range is $287,051,000 to $377,051,000. The certificate
balances for classes A-2 and A-3 are assumed at the midpoint of the
range for each class.
(b) Notional amount and interest-only.
(c) Privately placed and pursuant to Rule 144A.
(d) Horizontal credit risk retention interest.
The expected ratings are based on information provided by the
issuer as of Feb. 4, 2020.
TRANSACTION SUMMARY
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 40 loans secured by 65
commercial properties having an aggregate principal balance of
$830,501,755 as of the cut-off date. The loans were contributed to
the trust by Morgan Stanley Mortgage Capital Holdings LLC, Argentic
Real Estate Finance LLC, Starwood Mortgage Capital LLC, and Cantor
Commercial Real Estate Lending, L.P.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 74.2% of the properties
by balance, cash flow analysis of 84.4% and asset summary reviews
on 100.0% of the pool.
KEY RATING DRIVERS
Fitch Leverage: The pool's Fitch LTV of 106.7% is worse than the
2018 and 2019 averages of 102.0% and 103.0%, respectively, for
other Fitch-rated multiborrower transactions. However, the pool's
Fitch DSCR of 1.35x is better than the 2018 and 2019 averages of
1.22x and 1.26x, respectively.
Above-Average Multifamily Concentration: Loans secured by
multifamily properties represent 30.3% of the pool, which is above
the 2018 and 2019 averages of 11.6% and 16.9%, respectively, for
other Fitch-rated multiborrower transactions. Three of the top 10
loans (Royal Palm Place, FTERE Bronx Portfolio 2 and Bronx
Multifamily Portfolio IV) are backed by multifamily properties.
Loans secured by multifamily properties have a lower probability of
default in Fitch's multiborrower model, all else being equal.
Minimal Amortization: The pool has 29 interest-only (IO) loans
(81.5% of the pool by balance) and 7 partial IO loans (13.4% of the
pool by balance). From securitization to maturity, the pool is
projected to pay down by only 3.0%, which is well below the 2018
and 2019 averages of 7.2% and 5.9%, respectively.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 14.4% below
the most recent year's NOI for properties for which a full-year NOI
was provided, excluding properties that were stabilizing during
this period. Unanticipated further declines in property-level NCF
could result in higher defaults and loss severities on defaulted
loans and in potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the MSC
2020-L4 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'A+sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf'
could result.
MUSKOKA 2019-1: DBRS Hikes Rating on Class D Notes to BB(high)
--------------------------------------------------------------
DBRS, Inc. confirmed its provisional rating on the Tranche A Amount
at AAA (sf) and upgraded its provisional ratings on the Tranche B
Amount to A (high) (sf) from A (sf) and the Tranche C Amount to BBB
(sf) from BBB (low) (sf) (collectively, the Tranche Amounts) of two
unexecuted, unfunded financial guarantees (the Financial
Guarantees) with respect to a portfolio of primarily U.S. and
Canadian senior secured or senior unsecured loans originated or
managed by Bank of Montreal (BMO; rated AA with a Stable trend by
DBRS Morningstar) and issued by Manitoulin USD Ltd., Muskoka
2019-1(Manitoulin).
The provisional ratings on the Tranche Amounts address the
likelihood of a reduction to the respective Tranche Amounts caused
by a Tranche Loss Balance on each respective tranche, resulting
from defaults and losses within the guaranteed portfolio during the
period from the Effective Date until the Scheduled Termination Date
(as defined in the Financial Guarantees).
The ratings assigned by DBRS Morningstar are expected to remain
provisional until the underlying agreements are executed. BMO may
have no intention of executing Financial Guarantees. DBRS
Morningstar will maintain and monitor the provisional ratings
throughout the life of the transaction or while it continues to
receive performance information.
DBRS Morningstar also upgraded its ratings on the Muskoka Series
2019-1 Class B Guarantee Linked Notes (the Class B Notes) to A
(high) (sf) from A (sf); the Muskoka Series 2019-1 Class C
Guarantee Linked Notes (the Class C Notes) to BBB (sf) from BBB
(low) (sf); and the Muskoka Series 2019-1 Class D Guarantee Linked
Notes (together with the Class B Notes and Class C Notes, the
Notes) to BB (high) (sf) from BB (sf). The Notes were issued by
Manitoulin, referencing the executed Junior Loan Portfolio
Financial Guarantee (the Junior Financial Guarantee) dated as of
January 30, 2019, between Manitoulin as Guarantor and BMO as
Beneficiary with respect to a portfolio of primarily U.S. and
Canadian senior secured and senior unsecured loans.
The ratings on the Notes address the timely payment of interest and
ultimate payment of principal on or before the Scheduled
Termination Date (as defined in the Junior Financial Guarantee).
The payment of the interest due to the Notes is subject to the
Beneficiary's ability to pay the Guarantee Fee Amount (as defined
in the Junior Financial Guarantee).
To assess portfolio credit quality for each corporate obligor in
the portfolio DBRS Morningstar relies on, DBRS Morningstar ratings
and public ratings from other rating agencies or DBRS Morningstar
may provide a credit estimate, internal assessment, or rating
mapping of the Beneficiary's internal rating model. Credit
estimates, internal assessments, and rating mappings are not
ratings; rather, they represent an abbreviated analysis, including
model-driven or statistical components of default probability for
each obligor used in assigning a rating to the facility that is
sufficient to assess portfolio credit quality.
On the Effective Date, Manitoulin will utilize the proceeds of the
issue of the Notes to make a deposit into the Cash Deposit Accounts
with the Cash Deposit Bank. DBRS Morningstar may review the ratings
on the Notes in the event of a downgrade of the Cash Deposit Bank
below certain thresholds, as defined in the transaction documents.
The ratings reflect the following:
(1) The Financial Guarantees dated January 30, 2019.
(2) The integrity of the transaction structure.
(3) DBRS Morningstar's assessment of the portfolio quality.
(4) Adequate credit enhancement to withstand projected collateral
loss rates.
Notes: The principal methodologies are Rating CLOs and CDOs of
Large Corporate Credit and Mapping Financial Institution Internal
Ratings to DBRS Ratings for Global Structured Credit Transactions.
NATIXIS COMMERCIAL 2020-2PAC: S&P Assigns BB- Rating to MSK1 Certs
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Natixis Commercial
Mortgage Securities Trust 2020-2PAC's nonpooled loan-specific MSK
certificates: S&P assigned its 'BB- (sf)' rating to the $12.274
million MSK1 certificates and its 'B- (sf)' rating to the $11.614
million MSK2 certificates. The $4.869 million MSK3 certificates
were not rated.
The assets of the trust consist primarily of two mortgage loans:
the $160.0 million Amazon Phase VII Trust loan, a 64-month
interest-only fixed-rate loan secured by a borrower's fee interest
in Amazon Phase VII, a 318,617-sq.-ft. office building located in
Seattle; and the $92.5 million 330 East 62nd Street Trust loan (the
trust or mortgage loan), a 64-month interest-only fixed-rate loan
secured by a borrower's fee interest in 330 East 62nd Street, a
110,727-sq.-ft. office building located in New York City.
S&P's analysis is limited to the 330 East 62nd Street property and
related MSK-certificates. S&P assigned its ratings to the class
MSK1 and MSK2 certificates.
The ratings reflect S&P Global Ratings' view of the related
collateral's historical and projected performance, the sponsor's
and manager's experience, the trustee-provided liquidity, the
loan's terms, and the transaction's structure.
NEW RESIDENTIAL 2020-RPL1: DBRS Gives (P)B Rating on B-2 Notes
--------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Mortgage-Backed Notes, Series 2020-RPL1 (the Notes) to be issued by
New Residential Mortgage Loan Trust 2020-RPL1 (or the Trust):
-- $756.1 million Class A-1 at AAA (sf)
-- $71.3 million Class A-2 at AA (sf)
-- $69.0 million Class M-1 at A (sf)
-- $56.5 million Class M-2 at BBB (sf)
-- $48.7 million Class B-1 at BB (sf)
-- $26.7 million Class B-2 at B (sf)
-- $827.4 million Class A-3 at AA (sf)
-- $896.4 million Class A-4 at A (sf)
Classes A-3 and A-4 are exchangeable notes. These classes can be
exchanged for combinations of initial exchangeable notes as
specified in the offering documents.
The AAA (sf) ratings on the Notes reflect 36.40% of credit
enhancement provided by subordinated notes. The AA (sf), A (sf),
BBB (sf), BB (sf), and B (sf) ratings reflect 30.40%, 24.60%,
19.85%, 15.75%, and 13.50% of credit enhancement, respectively.
Other than the specified classes above, DBRS Morningstar does not
rate any other classes in this transaction.
This transaction is a securitization of a portfolio of seasoned
performing and reperforming first-lien residential mortgages funded
by the issuance of mortgage-backed notes (i.e., the Notes). The
Notes are backed by 6,884 loans with a total principal balance of
$1,188,815,989 as of the Cut-Off Date (December 31, 2019).
The portfolio is approximately 156 months seasoned, and 93.0% of
the loans are modified. The modifications happened more than two
years ago for 85.6% of the modified loans. Within the pool, 2,393
mortgages have non-interest-bearing deferred amounts, which equate
to 7.8% of the total principal balance.
As of the Cut-Off Date, 64.1% of the pool is current, 30.8% is 30
days delinquent, and 2.4% is 60 days delinquent under the Mortgage
Bankers Association (MBA) delinquency method. Additionally, 2.8% of
the pool is in bankruptcy (all bankruptcy loans are performing 30
days or 60 days delinquent under the MBA delinquency method).
Approximately 17.2% and 30.8% of the loans have been zero times 30
days delinquent for at least 12 months and six months,
respectively, under the MBA delinquency method. All but 1.2% of the
pool is exempt from the Ability-to-Repay/Qualified Mortgage (QM)
rules; these loans are designated as Non-QM.
The Seller, NRZ Sponsor VIII LLC (NRZ), acquired the loans in a
whole-loan purchase or in connection with the termination of a
securitization trust prior to the Closing Date and, through an
affiliate, New Residential Funding 2020-RPL1 LLC (the Depositor),
will contribute the loans to the Trust. As the Sponsor, New
Residential Investment Corp., or a majority-owned affiliate, will
acquire and retain a 5.0% eligible vertical interest to satisfy the
credit risk retention requirements under Section 15G of the
Securities Exchange Act of 1934 and the regulations promulgated
thereunder. These loans were originated and previously serviced by
various entities through purchases in the secondary market.
The loans will be serviced by NewRez, LLC doing business as (d/b/a)
Shellpoint Mortgage Servicing (92.6%), Fay Servicing LLC (7.2%),
and Nationstar Mortgage LLC (Nationstar) d/b/a Mr. Cooper Group,
Inc. (0.2%). Nationstar will also act as the Master Servicer.
There will not be any advancing of delinquent principal or interest
on any mortgages by the servicers or any other party to the
transaction; however, the servicers are obligated to make advances
with respect to the preservation, inspection, restoration,
protection, and repair of a mortgaged property, including
delinquent tax and insurance payments, the enforcement or judicial
proceedings associated with a mortgage loan, and the management and
liquidation of properties (to the extent such advances are deemed
recoverable by the related servicer).
NRZ, as the Seller, will have the option to repurchase any loan
that becomes 60 days or more delinquent under the MBA method or any
real estate–owned property acquired in respect of a mortgage loan
at a price equal to the principal balance of the loan (Optional
Repurchase Price), provided that such repurchases will be limited
to 10.0% of the principal balance of the mortgage loans as of the
Cut-Off Date.
As a loss mitigation alternative, each Servicer has the right to
sell (or cause to be sold) mortgage loans that become 60 days or
more delinquent under the MBA method to any party in the secondary
market in an arms-length transaction at fair market value to
maximize proceeds on such loan on a present value basis.
The transaction employs a sequential-pay cash flow structure.
Principal proceeds and excess interest can be used to cover
interest shortfalls on the Notes, but such shortfalls on Class M-1
and more subordinate bonds will not be paid from principal proceeds
until the more senior classes are retired.
The ratings reflect transactional strengths that include a
comprehensive due diligence review and structural features.
The transaction employs a relatively weak representations and
warranties framework that includes an unrated representation
provider (NRZ), certain knowledge qualifiers, and fewer mortgage
loan representations relative to DBRS Morningstar criteria for
seasoned pools.
Certain loans have missing assignments or endorsements as of the
Closing Date. Given the relatively clean performance history of the
mortgages and the operational capability of the servicers, DBRS
Morningstar believes that the risk of impeding or delaying
foreclosure is remote.
The DBRS Morningstar ratings of AAA (sf) and AA (sf) address the
timely payment of interest and full payment of principal by the
legal final maturity date in accordance with the terms and
conditions of the related notes. The DBRS Morningstar ratings of A
(sf), BBB (sf), BB (sf), and B (sf) address the ultimate payment of
interest and full payment of principal by the legal final maturity
date in accordance with the terms and conditions of the related
notes.
Notes: All figures are in U.S. dollars unless otherwise noted.
OCTAGON INVESTMENT XIX: Moody's Cuts $7.5MM Cl. F Notes to Caa2
---------------------------------------------------------------
Moody's Investors Service downgraded the rating on the following
notes issued by Octagon Investment Partners XIX, Ltd.:
US$7,500,000 Class F Secured Deferrable Floating Rate Notes Due
April 15, 2026, Downgraded to Caa2 (sf); previously on
September 13, 2019 Downgraded to B3 (sf)
Octagon Investment Partners XIX, Ltd., issued in April 2014 and
refinanced in March 2017, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period ended in April 2018.
RATINGS RATIONALE
The downgrade rating action on the Class F notes reflects the
specific risks to the junior notes posed by par loss and credit
deterioration observed in the underlying CLO portfolio. Based on
Moody's calculations, the weighted average rating factor has been
deteriorating and is currently at 2838 compared to 2741 in
September 2019, and is failing its test level of 2420. Furthermore,
the over-collateralization ratio for the Class F notes has fallen
to 103.9% versus the September 2019 level of 105.1%, due to recent
additional defaults with low expected recovery rates.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
recovery rate and weighted average spread, are based on its
published methodology and could differ from the trustee's reported
numbers. In its base case, Moody's analyzed the collateral pool as
having a performing par and principal proceeds balance or portfolio
par of $234.2 million, defaulted par of $8.2 million, a weighted
average default probability of 18.20% (implying a WARF of 2838), a
weighted average recovery rate upon default of 46.82%, a diversity
score of 48 and a weighted average spread of 3.38%.
Methodology Underlying the Rating Action:
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
March 2019.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change.
ONE MARKET 2017-1MKT: S&P Affirms B-(sf) Rating to Class X-E Certs
------------------------------------------------------------------
S&P Global Ratings affirmed its ratings on 10 classes of commercial
mortgage pass-through certificates from One Market Plaza Trust
2017-1MKT, a U.S. CMBS transaction.
For the affirmations on the principal- and interest-paying classes,
S&P's credit enhancement expectation was in line with the affirmed
rating levels.
S&P affirmed its ratings on the class X-CP, X-NCP, and X-E
interest-only (IO) certificates based on its criteria for rating IO
securities, in which the ratings on the IO securities would not be
higher than that of the lowest-rated reference class. The notional
balances on classes X-CP and X-NCP reference the aggregate balances
of classes A, B, C, and D. The notional balance on class X-E
references the aggregate balances of classes E, F, and HRR.
This is a stand-alone (single-borrower) transaction backed by a
fixed-rate IO loan secured by the borrower's fee simple interest in
One Market Plaza, which consists of two high-rise office and retail
towers totaling 1.6 million sq. ft., a six-story, 44,200-sq.-ft.
office and retail annex building, and a two-story subterranean
parking garage in San Francisco. The collateral also includes the
borrower's leasehold interest in 19,533 sq. ft. of the ground floor
and lobby of the adjacent Landmark building. S&P's property-level
analysis included a reevaluation of the collateral property that
secures the loan and considered the stable occupancy and
stable-to-increasing servicer-reported net operating income for
2017, 2018, and year-to-date Sept. 30, 2019, which is due primarily
to recent leases renewed or signed at higher gross rent. S&P first
derived its sustainable in-place net cash flow, which the rating
agency divided by a 6.75% S&P Global Ratings capitalization rate to
determine its expected-case value. While the Oct. 31, 2019, rent
roll indicates that annual base rent and expense reimbursements
have increased from their reported historical figures, S&P's
analysis considered the property's above market gross rent,
significant upcoming tenant rollover in the next three years, and
tenant concentration. As a result, S&P reverted its expected-case
value to its assumption at issuance (at about $651 per sq. ft.).
This yielded an S&P Global Ratings loan-to-value ratio of 94.6% on
the loan balance.
According to the Jan. 10, 2020, trustee remittance report, the
trust consisted of the $975.0 million fixed-rate (4.03% weighted
average) IO loan that matures on Feb. 6, 2024. The trust balance
has not incurred any principal losses to date.
The master servicer, Wells Fargo Bank N.A., reported a 1.97x debt
service coverage for the nine months ended Sept. 30, 2019, and
occupancy was 99.6% according to the Oct. 31, 2019, rent roll.
Based on the October 2019 rent roll, the five largest tenants make
up 57.8% of the collateral's total net rentable area (NRA). In
addition, 13.5%, 18.1%, and 13.7% of the NRA have leases that
expire in 2020, 2021, and 2022, respectively. The majority of the
space expiring in 2020 is from Autodesk Inc. (108,366 sq. ft.,
6.8%, on Dec. 31, 2020) and in 2021 is from Morgan Lewis & Brockius
LLP (155,543 sq. ft., 9.8%, on Feb. 28, 2021).
RATINGS AFFIRMED
One Market Plaza Trust 2017-1MKT
Commercial mortgage pass-through certificates
Class Rating
A AAA (sf)
B AA- (sf)
C A- (sf)
D BBB- (sf)
E BB- (sf)
F B (sf)
HRR B- (sf)
X-CP BBB- (sf)
X-NCP BBB- (sf)
X-E B- (sf)
PALMER SQUARE 2015-2: S&P Assigns Prelim B- Rating on E-R2 Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R2, A-2-R2, B-R2, C-R2, D-R2, and E-R2 replacement notes from
Palmer Square CLO 2015-2 Ltd./Palmer Square CLO 2015-2 LLC, a CLO
originally issued in 2015 and was reset in 2017 that is managed by
Palmer Square Capital Management LLC. The replacement notes will be
issued via a proposed supplemental indenture.
The preliminary ratings reflect S&P's opinion that the credit
support available is commensurate with the associated rating
levels.
The preliminary ratings are based on information as of Feb. 5,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Feb. 19, 2020, refinancing date, the proceeds from the
issuance of the replacement notes are expected to redeem the
original class A-1A-R, A-1B-R, A-2-R, B-R, C-R, D-R, and E-R notes.
At that time, S&P anticipates withdrawing the ratings on the
original notes and assigning ratings to the replacement notes.
However, if the refinancing doesn't occur, S&P may affirm the
ratings on the original notes and withdraw its preliminary ratings
on the replacement notes.
The replacement notes are being issued via a proposed supplemental
indenture. Based on the proposed supplemental indenture and the
information provided to S&P Global Ratings in connection with this
review, the replacement class A-1-R2, A-2-R2, B-R2, C-R2, and D-R2
notes are expected to be issued at a lower spread than the original
notes, and the class E-R2 notes will be issued at a higher spread
than the original notes and the balances of the notes are also
expected to change.
Table 1
Replacement Notes
Class Amount (mil. $) Interest rate (%)
A-1-R2 357.50 LIBOR + 1.10
A-2-R2 60.50 LIBOR + 1.55
B-R2 33.00 LIBOR + 1.95
C-R2 33.00 LIBOR + 2.75
D-R2 22.00 LIBOR + 5.75
E-R2 5.50 LIBOR + 8.50
Table 2
Original Notes
Class Amount (mil. $) Interest rate (%)
A-1A-R 330.00 LIBOR + 1.27
A-1B-R 20.50 LIBOR + 1.35
A-2-R 68.90 LIBOR + 1.80
B-R 31.50 LIBOR + 2.40
C-R 33.00 LIBOR + 3.70
D-R 19.25 LIBOR + 6.50
E-R 8.250 LIBOR + 7.70
The proposed supplemental indenture, in addition to outlining the
terms of the replacement notes, will also:
-- Update the S&P CDO Monitor language to conform to the current
methodology;
-- Update the S&P Global Ratings recovery rate tables, industry
and country classification to conform to the latest criteria
released; and
-- Add LIBOR replacement language.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with its criteria, S&P's cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis considered
the transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. In S&P's view, the results
of the cash flow analysis, and other qualitative factors as
applicable, demonstrated that all of the rated outstanding classes
have adequate credit enhancement available at the rating levels
associated with these rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take further rating actions
as we deem necessary," S&P said.
PRELIMINARY RATINGS ASSIGNED
Palmer Square CLO 2015-2 Ltd./Palmer Square CLO 2015-2 LLC
Replacement class Rating Amount (mil $)
A-1-R2 AAA (sf) $357.50
A-2-R2 AA (sf) $60.50
B-R2 (deferrable) A (sf) $33.00
C-R2 (deferrable) BBB- (sf) $33.00
D-R2 (deferrable) BB- (sf) $22.00
E-R2 (deferrable) B- (sf) $5.50
Subordinated notes NR $46.20
PALMER SQUARE 2018-2: Fitch Hikes Class E Debt to B+sf
------------------------------------------------------
Fitch Ratings upgraded four tranches from 10 collateralized loan
obligations and revised six Rating Outlooks.
RATING ACTIONS
Shackleton 2017-XI CLO, Ltd.
Class A 81883EAA9; LT AAAsf Affirmed; previously at AAAsf
Anchorage Capital CLO 1-R, Ltd.
Class A-1 03328YAA2; LT AAAsf Affirmed; previously at AAAsf
Class A-2 03328YAC8; LT AAAsf Affirmed; previously at AAAsf
Palmer Square Loan Funding 2018-2, Ltd.
Class A-1 69700HAA8; LT AAAsf Affirmed; previously at AAAsf
Class A-2 69700HAC4; LT AA+sf Affirmed; previously at AA+sf
Class B 69700HAE0; LT Asf Affirmed; previously at Asf
Class C 69700HAG5; LT BBBsf Affirmed; previously at BBBsf
Class D 69700JAA4; LT BBsf Affirmed; previously at BBsf
Class E 69700JAC0; LT B+sf Upgrade; previously at Bsf
Wellfleet CLO 2016-1, Ltd.
Class A-R 94949RAS6; LT AAAsf Affirmed; previously at AAAsf
Wellfleet CLO X, Ltd.
Class A-1a 94949WAA4; LT AAAsf Affirmed; previously at AAAsf
Class A-1b 94949WAC0; LT AAAsf Affirmed; previously at AAAsf
Shackleton 2014-V-R CLO, Ltd.
Class A 81881JAC6; LT AAAsf Affirmed; previously at AAAsf
Class X 81881JAA0; LT AAAsf Affirmed; previously at AAAsf
Shackleton 2013-IV-R CLO, Ltd.
Class A-1a 81882HAA3; LT AAAsf Affirmed; previously at AAAsf
Class A-1b 81882HAJ4; LT AAAsf Affirmed; previously at AAAsf
Anchorage Capital CLO 6, Ltd.
Class A-R 03328QAN1; LT AAAsf Affirmed; previously at AAAsf
Palmer Square Loan Funding 2018-3 Ltd.
Class A-1 69700LAA9; LT AAAsf Affirmed; previously at AAAsf
Class A-2 69700LAC5; LT AA+sf Upgrade; previously at AAsf
Class B 69700LAE1; LT Asf Affirmed; previously at Asf
Class C 69700LAG6; LT BBBsf Affirmed; previously at BBBsf
Class D 69700MAA7; LT BBsf Affirmed; previously at BBsf
Class E 69700MAC3; LT B+sf Upgrade; previously at Bsf
Palmer Square Loan Funding 2018-1, Ltd.
Class A-1 69700EAA5; LT AAAsf Affirmed; previously at AAAsf
Class A-2 69700EAC1; LT AA+sf Affirmed; previously at AA+sf
Class B 69700EAE7; LT Asf Affirmed; previously at Asf
Class C 69700EAG2; LT BBBsf Affirmed; previously at BBBsf
Class D 69700FAA2; LT BBsf Affirmed; previously at BBsf
Class E 69700FAC8; LT B+sf Upgrade; previously at Bsf
KEY RATING DRIVERS
Fitch has upgraded the class A-2 notes to 'AA+sf' in Palmer Square
Loan Funding 2018-3, Ltd. (PSLF 2018-3) and each of the class E
notes to 'B+sf' in Palmer Square Loan Funding 2018-1, Ltd. (PSLF
2018-1), Palmer Square Loan Funding 2018-2, Ltd. (PSLF 2018-2), and
PSLF 2018-3 due to deleveraging of capital structures in each of
these three CLOs. This amortization was driven primarily by loan
prepayments and resulted in elevated CE levels.
The rating actions on PSLF 2018-1, PSLF 2018-2, and PSLF 2018-3
(collectively referred to as PSLF CLOs) were based on updated cash
flow model analyses conducted for these static transactions. These
analyses evaluated the combined impact of deleveraging, changing
weighted average spread, and shorter weighted average life, as
compared with initial metrics. As of the January 2020 trustee
report, approximately 44.3%, 42.5%, and 31.5%, of each original
class A-1 note balance of PSLF 2018-1, PSLF 2018-2, and PSLF
2018-3, respectively, has amortized since closing.
For all but the class A-1 notes in PSLF CLOs, Model-Implied Ratings
(MIRs) based on the cash flow model analyses are higher than their
current ratings. However, Fitch believes that upgrades to the MIRs
are not warranted in light of the notes' performance in certain
sensitivity scenarios.
The Positive Rating Outlooks assigned to the class A-2 and E notes
in PSLF CLOs reflect Fitch's expectation that all three CLOs will
benefit from continued amortization and shortening weighted average
lives of the portfolios. The Stable Outlooks on the other 23
classes of notes in this review reflect Fitch's expectation that
the classes have sufficient levels of credit protection to
withstand potential deterioration in credit quality of the
portfolios in stress scenarios commensurate with such class's
rating.
Portfolio management of each transaction was evaluated through
reviewing major drivers of par gain and loss and changes in
portfolio composition since Fitch's last rating action. Asset
credit quality, asset security and portfolio composition are
captured in rating default rate and rating loss rate (RLR) produced
by Fitch's Portfolio Credit Model (PCM). PCM output, based on the
current portfolio composition, was compared with the PCM output
corresponding to the Fitch stressed portfolio (FSP) at the initial
rating assignment, as well as to the rated notes' current credit
enhancement (CE) levels. For seven CLOs still in their reinvestment
periods in this review, sufficient cushions still remain as RLR,
plus losses to date, for each CLO is lower than the RLR modelled
for its respective FSP. Given the amount of cushions available, no
updated cash flow modelling was conducted for these seven CLOs.
RATING SENSITIVITIES
The rating of the notes may be sensitive to the following: asset
defaults, significant credit migration, and lower than historically
observed recoveries for defaulted assets. Fitch conducted rating
sensitivity analysis on the closing date of each CLO, incorporating
increased levels of defaults and reduced levels of recovery rates
among other sensitivities.
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.
PSMC TRUST 2020-1: Fitch Rates Class B-5 Debt Bsf
-------------------------------------------------
Fitch Ratings assigned final ratings to American International
Group, Inc.'s PSMC 2020-1 Trust.
RATING ACTIONS
PSMC 2020-1 Trust
Class A-1; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-10; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-11; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-12; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-13; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-14; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-15; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-16; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-17; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-18; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-19; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-2; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-20; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-21; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-22; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-23; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-24; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-25; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-26; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-3; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-4; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-5; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-6; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-7; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-8; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-9; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-X1; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-X10; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-X11; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-X2; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-X3; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-X4; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-X5; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-X6; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-X7; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-X8; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A-X9; LT AAAsf New Rating; previously at AAA(EXP)sf
Class B-1; LT AAsf New Rating; previously at AA(EXP)sf
Class B-2; LT Asf New Rating; previously at A(EXP)sf
Class B-3; LT BBBsf New Rating; previously at BBB(EXP)sf
Class B-4; LT BBsf New Rating; previously at BB(EXP)sf
Class B-5; LT Bsf New Rating; previously at B(EXP)sf
Class B-6; LT NRsf New Rating; previously at NR(EXP)sf
TRANSACTION SUMMARY
The notes are supported by one collateral group that consists of
602 prime fixed-rate mortgages acquired by subsidiaries of AIG from
various mortgage originators with a total balance of approximately
$460.42 million as of the cut-off date.
The 'AAAsf' rating on the class A notes reflects the 4.45%
subordination provided by the 1.70% class B-1, 1.10% class B-2,
0.90% class B-3, 0.35% class B-4, 0.20% class B-5 and 0.20% class
B-6 notes.
KEY RATING DRIVERS
High-Quality Mortgage Pool (Positive): The pool consists of very
high-quality 30-year and 20-year fixed-rate fully amortizing Safe
Harbor Qualified Mortgage (SHQM) loans to borrowers with strong
credit profiles, relatively low leverage and large liquid reserves.
The loans are seasoned an average of three months. The pool has a
weighted average (WA) original FICO score of 775, which is
indicative of very high credit-quality borrowers. Approximately 85%
of the loans have a borrower with an original FICO score above 750.
In addition, the original WA combined loan-to-value ratio of 69.9%
represents substantial borrower equity in the property and reduced
default risk.
Low Operational Risk (Neutral): Operational risk is well controlled
for in this transaction. AIG has strong operational practices and
is an 'Above Average' aggregator. The aggregator has experienced
senior management and staff, strong risk management and corporate
governance controls, and a robust due diligence process. Primary
and master servicing functions will be performed by Cenlar FSB and
Wells Fargo Bank, N.A., rated 'RPS2'/Outlook Stable and
'RMS1-'/Outlook Stable, respectively.
Third-Party Due Diligence Results (Positive): Third-party due
diligence was performed on 100% of loans in the transaction by AMC
Diligence, LLC (AMC) and Opus Capital Markets Consultants LLC
(Opus), respectively assessed as Acceptable - Tier 1 and Acceptable
- Tier 2 by Fitch. The results of the review identified no material
exceptions. Credit exceptions were supported by strong mitigating
factors and compliance exceptions were primarily TRID related and
cured with subsequent documentation. Fitch applied a credit for the
high percentage of loan level due diligence, which reduced the
'AAAsf' loss expectation by 19 bps.
Top Tier Representation and Warranty Framework (Positive): The
loan-level representation, warranty and enforcement (RW&E)
framework is consistent with Tier I quality. Fitch reduced its loss
expectations by 17 bps at the 'AAAsf' rating category as a result
of the Tier 1 framework and the 'A' Fitch-rated counterparty
supporting the repurchase obligations of the RW&E providers.
Straightforward Deal Structure (Mixed): The mortgage cash flow and
loss allocation are based on a senior subordinate,
shifting-interest structure, whereby the subordinate classes
receive only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps maintain subordination for a longer period should
losses occur later in the life of the deal. The applicable credit
support percentage feature redirects subordinate principal to
classes of higher seniority if specified credit enhancement (CE)
levels are not maintained.
CE Floor (Positive): To mitigate tail risk, which arises as the
pool seasons and fewer loans are outstanding, a subordination floor
of 1.25% of the original balance will be maintained for the
certificates. The floor is sufficient to protect against the ten
largest loans defaulting at Fitch's 'AAAsf' average loss severity
of 43.34%. Additionally, the stepdown tests do not allow principal
prepayments to subordinate bondholders in the first five years
following deal closing.
Geographic Concentration (Neutral): The pool is geographically
diverse and, as a result, no geographic concentration penalty was
applied. Approximately 40% of the pool is located in California,
which is in line with other recent Fitch-rated transactions. The
top three MSAs account for 28.4% of the pool. The largest MSA
concentration is in the Los Angeles MSA (11.6%), followed by the
San Francisco MSA (10.8%) and the Seattle MSA (6.0%).
Extraordinary Expense Treatment (Neutral): The trust provides for
expenses, including indemnification amounts and costs of
arbitration, to be paid by the net WA coupon of the loans, which
does not affect the contractual interest due on the certificates.
Furthermore, the expenses to be paid from the trust are capped at
$300,000 per annum, which can be carried over each year, subject to
the cap until paid in full.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the MSA and national levels. The implied
rating sensitivities are only an indication of some of the
potential outcomes and do not consider other risk factors that the
transaction may become exposed to or be considered in the
surveillance of the transaction.
Fitch conducted sensitivity analysis determining how the ratings
would react to steeper MVDs at the national level. The analysis
assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the
model-projected 4.8%. The analysis indicates 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'.
RADNOR RE 2020-1: DBRS Finalizes B Rating on Class M-2A Notes
-------------------------------------------------------------
DBRS, Inc. finalized its following provisional ratings on the
Mortgage Insurance-Linked Notes, Series 2020-1 (the Notes) issued
by Radnor Re 2020-1 Ltd. (RMIR 2020-1):
-- $94.9 million Class M-1A at BBB (low) (sf)
-- $133.7 million Class M-1B at BB (high) (sf)
-- $77.6 million Class M-1C at BB (low) (sf)
-- $125.1 million Class M-2A at B (sf)
-- $43.1 million Class M-2B at B (low) (sf)
The BBB (low) (sf), BB (high) (sf), BB (low) (sf), B (sf), and B
(low) (sf) ratings reflect 6.90%, 5.35%, 4.45%, 3.00%, and 2.50% of
credit enhancement, respectively.
Other than the specified classes above, DBRS Morningstar does not
rate any other classes in this transaction.
RMIR 2020-1 is Essent Guaranty, Inc.'s (Essent Guaranty or the
ceding insurer) fourth rated mortgage insurance (MI)-linked note
transaction. The Notes are backed by reinsurance premiums, eligible
investments, and related account investment earnings, in each case
relating to a pool of MI policies linked to residential loans. The
Notes are exposed to the risk arising from losses paid by the
ceding insurer to settle claims on the underlying MI policies. As
of the Cutoff Date, the pool of insured mortgage loans consists of
145,128 fully amortizing first-lien fixed- and variable-rate
mortgage loans underwritten primarily to a full documentation
standard with original loan-to-value ratios less than or equal to
100%, which have never been reported as more than 60 days
delinquent. The mortgage loans were originated on or after February
2018.
On the Closing Date, the Issuer will enter into the Reinsurance
Agreement with the ceding insurer. As per the agreement, the ceding
insurer will get protection for the funded portion (90.0%) of the
MI losses. In exchange for this protection, the ceding insurer will
make premium payments related to the underlying insured mortgage
loans to the Issuer.
The Issuer is expected to use the proceeds from the sale of the
Notes to purchase certain eligible investments that will be held in
the reinsurance trust account. The eligible investments are
restricted to AAA- or equivalent-rated U.S. Treasury money-market
funds and securities. Unlike other residential mortgage-backed
security transactions, cash flow from the underlying loans will not
be used to make any payments; rather, in MI-linked Notes
transactions, a portion of the eligible investments held in the
reinsurance trust account will be liquidated to make principal
payments to the noteholders and to make loss payments to the ceding
insurer when claims are settled with respect to the MI policy.
The Issuer will use the investment earnings on the eligible
investments, together with the ceding insurer's premium payments,
to pay interest to the noteholders.
The calculation of principal payments to the Notes will be based on
a reduction in aggregate exposed principal balance on the
underlying MI policy. The subordinate notes will be allocated their
pro-rata share of available principal funds if performance tests
are satisfied. The minimum credit enhancement test—one of the two
performance tests—has been set to fail at the Closing Date, thus
locking out the rated classes from initially receiving any
principal payments until the senior credit enhancement percentage
grows to 9.0% from 8.0%. Interest payments are funded via (1)
premium payments that the ceding insurer must make under the
reinsurance agreement and (2) earnings on eligible investments.
On the Closing Date, the ceding insurer will establish a cash and
securities account, the premium deposit account, and deposit an
amount that covers 70 days of interest payments to be made to the
noteholders. The calculation of the initial deposit amount also
takes into account any potential investment income that may be
earned on eligible investments held in the trust account. In case
of the ceding insurer's default in paying coverage premium payments
to the Issuer, the amount available in this account will be used to
make interest payments to the noteholders. The presence of this
account mitigates certain counterparty exposure that the trust has
to the ceding insurer. On each payment date, if the amount
available in the premium deposit account is less than the target
premium amount, and the ceding insurer's average financial strength
rating is lower than the highest rating assigned to the Notes, then
the ceding insurer must fund the premium deposit account up to its
target amount.
The Notes are scheduled to mature on the payment date is February
2030, but will be subject to early redemption for a 10% clean-up
call on or following the payment date in February 2027, among
others. The Notes are also subject to mandatory redemption before
the scheduled maturity date upon the termination of the Reinsurance
Agreement.
The ceding insurer of the transaction is Essent Guaranty. The Bank
of New York Mellon (rated AA (high) with a Stable trend by DBRS
Morningstar) will act as the Indenture Trustee, Paying Agent, Note
Registrar, and Reinsurance Trustee.
Notes: All figures are in U.S. dollars unless otherwise noted.
RASC TRUST 2006-KS7: Moody's Hikes Class M-1 Debt Rating to Ba1
---------------------------------------------------------------
Moody's Investors Service upgraded the ratings of 11 tranches from
eight transactions, backed by subprime and Alt-A loans, issued by
multiple issuers.
The complete rating action is as follows:
Issuer: MortgageIT Trust 2004-1
Cl. A-1, Upgraded to A1 (sf); previously on Jun 21, 2019 Upgraded
to A2 (sf)
Cl. A-2, Upgraded to A3 (sf); previously on Jun 21, 2019 Upgraded
to Baa1 (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2007-NC2
Cl. A-1, Upgraded to Baa2 (sf); previously on Nov 17, 2017 Upgraded
to Ba1 (sf)
Issuer: Long Beach Mortgage Loan Trust 2006-1
Cl. I-A, Upgraded to Baa1 (sf); previously on May 17, 2018 Upgraded
to Baa2 (sf)
Issuer: RAMP Series 2006-EFC2 Trust
Cl. A-3, Upgraded to Aa2 (sf); previously on Mar 27, 2018 Upgraded
to A1 (sf)
Cl. A-4, Upgraded to A2 (sf); previously on Mar 27, 2018 Upgraded
to Baa1 (sf)
Issuer: RASC Series 2006-KS7 Trust
Cl. A-4, Upgraded to Aa3 (sf); previously on Dec 20, 2018 Upgraded
to A1 (sf)
Cl. M-1, Upgraded to Ba1 (sf); previously on Apr 12, 2017 Upgraded
to Ba3 (sf)
Issuer: Structured Asset Investment Loan Trust 2005-HE1
Cl. M2, Upgraded to Baa2 (sf); previously on Jan 17, 2017 Upgraded
to Ba1 (sf)
Issuer: Terwin Mortgage Trust 2006-1
Cl. I-M-1, Upgraded to A2 (sf); previously on Apr 9, 2018 Upgraded
to Baa1 (sf)
Issuer: Terwin Mortgage Trust, Series TMTS 2005-6HE
Cl. M-5, Upgraded to Aa3 (sf); previously on Jun 5, 2019 Upgraded
to A2 (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to improved performance of
the underlying collateral and increases in credit enhancement
available to the bonds. The action also reflects the recent
performance as well as Moody's updated losses expectations on the
underlying pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in February 2019.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 3.5% in December 2019 from 3.9% in
December 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.
REAL ESTATE 2020-1: DBRS Assigns Prov. B Rating on Class G Certs
----------------------------------------------------------------
DBRS Limited assigned provisional ratings to the following classes
of Commercial Mortgage Pass-Through Certificates, Series 2020-1 to
be issued by Real Estate Asset Liquidity Trust, Series 2020-1 (the
Issuer):
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class B at AA (sf)
-- Class X at A (high) (sf)
-- Class C at A (sf)
-- Class D-1 at BBB (sf)
-- Class D-2 at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
-- Class G at B (sf)
All trends are Stable.
Classes D-2, E, F, and G will be privately placed.
The collateral consists of 51 fixed-rate loans and one pari passu
co-ownership interest (collectively, the loans) secured by 86
commercial and multifamily properties. The transaction employs a
sequential-pay pass-through structure. DBRS Morningstar analyzed
the conduit pool to determine the provisional ratings, reflecting
the long-term probability of loan default within the term and its
liquidity at maturity. When DBRS Morningstar measured the cutoff
loan balances against the DBRS Morningstar Stabilized Net Cash Flow
(NCF) and their respective actual constants, the initial DBRS
Morningstar Weighted-Average (WA) Debt Service Coverage Ratio
(DSCR) for the pool was 1.37 times (x). DBRS Morningstar did not
identify any loans with a DBRS Morningstar Term DSCR lower than
1.15x, a threshold indicative of a higher likelihood of midterm
default. The WA DBRS Morningstar Loan-to-Value (LTV) of the pool at
issuance was 65.7% and the pool is scheduled to amortize down to a
WA DBRS Morningstar LTV of 52.9% at maturity.
The pool includes 32 loans, representing 70.0% of the pool by
allocated loan balance, with DBRS Morningstar issuance LTVs equal
to or higher than 65.0%, a threshold historically indicative of
above-average default frequency. Thirty-three loans, representing
64.7% of the pool balance, were originated in connection with the
borrower's refinancing of an existing mortgage loan; three loans,
representing 2.1% of the pool, renewed the borrower's existing
mortgage loans with the remaining amortization terms; and 13 loans,
representing 28.1% of the pool, were originated in connection with
the borrower's acquisition of the related mortgage property. The
remainder of the pool was originated in connection with takeout
financing on existing construction loans.
Forty loans, representing 65.7% of the pool, have been given
recourse credit in the DBRS Morningstar commercial mortgage-backed
securities Insight model. All else equal, there is a small shift
lowering the loan's probability of default for warm body or
corporate sponsors that give recourse. Based on the DBRS
Morningstar sample and analysis, DBRS Morningstar considered five
loans, representing 18.2% of the sample pool, to have Above Average
property quality and five loans, representing 10.7% of the sample
pool, to have Average (+) property quality. Thirteen loans,
representing 25.4% of the pool, have approximately 25 years or less
of remaining amortization while the remaining loans have remaining
amortization ranges between 25 years and 30 years. All loans in the
pool amortize for the entire loan term and the expected
amortization for the pool is approximately 19.3% during the
expected life of the transaction.
The DBRS Morningstar sample included 33 of the 52 loans in the
pool, representing 83.1% of the pool by allocated loan balance.
DBRS Morningstar performed site inspections on 47 of the 86
properties in the deal, comprising 82.4% of the pool by allocated
loan balance. The DBRS Morningstar sample had an average NCF
variance of -6.4% and ranged from -17.4% (Lantern Bay MHC) to -0.8%
(Comfort Inn Halifax). For loans not subject to an NCF review, DBRS
Morningstar applied the average NCF variance.
Class X is an interest-only (IO) certificate that references a
single rated tranche or multiple rated tranches. The IO rating
mirrors the lowest-rated applicable reference obligation tranche
adjusted upward by one notch if senior in the waterfall.
Notes: All figures are in Canadian dollars unless otherwise noted.
RESIDENTIAL MORTGAGE 2020-1: S&P Assigns B (sf) Rating to B-2 Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Residential
Mortgage Loan Trust 2020-1's mortgage-backed notes.
The note issuance is an RMBS transaction backed by first-lien
fixed- and adjustable-rate amortizing (some with interest-only
periods) residential mortgage loans, along with six second-lien
loans, primarily secured by single-family residences, planned-unit
developments, two- to four-family residences, and condominiums to
both prime and nonprime borrowers. The pool has 588 loans, which
are primarily nonqualified mortgage loans.
The preliminary ratings are based on information as of Feb. 4,
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 pool's collateral composition,
-- The credit enhancement provided for this transaction,
-- The transaction's associated structural mechanics,
-- The transaction's representation and warranty framework, and
-- The mortgage aggregator.
PRELIMINARY RATINGS ASSIGNED
Residential Mortgage Loan Trust 2020-1
Class Rating(i) Amount (mil. $)
A-1 AAA (sf) 170,690,000
A-2 AA (sf) 15,696,000
A-3 A (sf) 28,121,000
M-1 BBB (sf) 17,004,000
B-1 BB (sf) 14,388,000
B-2 B (sf) 9,679,000
B-3 NR 6,016,848
XS NR Notional(ii)
A-IO-S NR Notional(ii)
R NR N/A
(i)The collateral and structural information in this report
reflects the term sheet dated Jan. 30, 2020. The preliminary
ratings address the ultimate payment of interest and principal.
(ii)The notional amount equals the loans' aggregate stated
principal balance.
NR--Not rated.
N/A--Not applicable.
SAPPHIRE AVIATION II: Fitch Assigns BB(EXP) Rating on Cl. C Debt
----------------------------------------------------------------
Fitch Ratings assigned expected ratings to Sapphire Aviation
Finance II Limited.
RATING ACTIONS
Sapphire Aviation Finance II Limited
Class A; LT A(EXP)sf; Expected Rating
Class B; LT BBB(EXP)sf; Expected Rating
Class C; LT BB(EXP)sf; Expected Rating
TRANSACTION SUMMARY
Fitch expects to rate the aircraft operating lease ABS secured
notes issued by Sapphire Aviation Finance II Limited and its wholly
owned subsidiary Sapphire Aviation Finance II LLC, collectively
Sapphire Aviation Finance II Limited. SAPA II expects to use
proceeds of the initial notes to acquire a pool of 21 midlife
aircraft from Avolon Aerospace Leasing Limited, a wholly owned
indirect subsidiary of Avolon Holdings Limited (Avolon, rated BBB-;
Stable).
The pool will be serviced by Avolon via AALL, with the notes
secured by each aircraft's future lease payments and residual cash
flows. This is the second Fitch-rated aircraft ABS serviced by
AALL, following SAPA I's issuance in 2018 and third serviced by
Avolon.
The timeframe of remedial actions for the liquidity facility is
longer than outlined in Fitch's counterparty criteria, but this is
deemed to be immaterial under primary scenarios.
KEY RATING DRIVERS
Unsecured Exposure to Avolon Credit — Optional Standby Letters of
Credit: The sellers will have the option to obtain standby letters
of credit (LCs) for any or all of the undelivered aircraft over the
delivery period. The pre-delivery payment amount covered by the LCs
will then be transferred to the sellers out of the aircraft
acquisition account. Any LC providers will be required to maintain
a minimum rating of 'A' or higher by Fitch.
Asset Quality — Mostly Liquid Narrowbody — Positive: The pool
of 21 aircraft comprises mostly of in-demand Tier 1 narrowbody
aircraft including current generation A320 and B737 family
aircraft, with a WA age of 7.5 years, which is significantly
younger than in SAPA I (12.0 years). There are also two young
A320-200neos (10.4%) with a WA age of 2.1 years. Three aircraft
totaling 31.7% are widebody aircraft, generally considered weaker
as they are associated with higher transition costs and volatile
values. However, two of the three widebodies (23.9%) are in-demand
Tier 1 (A330-300s) aged less than five years with lengthy remaining
lease terms of six-eight years.
Lease Term and Maturity Schedule — Positive: The WA remaining
lease term of 6.4 years is one of the longest of recently rated
pools, and a credit positive as longer lease terms give more
certainty to the anticipated cash flows. Lease maturities are well
distributed with 28.4% of the pool coming due from years 2021-2024,
and 44.9% maturing in years 2026-2027.
Operational and Servicing Risk — Adequate Servicing Capability:
Fitch believes Avolon (parent: Avolon Holdings Limited currently
rated BBB-/Stable) has the ability to collect lease payments,
remarket and repossess aircraft in an event of lessee default and
procure maintenance to retain values and ensure stable performance.
This is evidenced by the experience of their team, the servicing of
their managed fleet and prior securitization performance (including
SAPA I, rated by Fitch).
Lessee Credit Risk — Weak Credits: There are 19 airline lessees
in SAPA II with the top three totaling 35.5%, up from 30.0% in SAPA
I. The 'CCC' assumed lessee concentration is 44.9%, up from 26.1%
from SAPA I. Most of the lessees are either unrated or
speculative-grade credits, typical of aircraft ABS. Fitch assumed
unrated lessees would perform consistent with either a 'B' or 'CCC'
Issuer Default Rating (IDR) to reflect default risk in the pool.
Lessee ratings were further stressed during future assumed
recessions and once aircraft reach Tier 3 classification.
Country Credit Risk — Diversified: The three largest countries
total 38.7%, up from 33.5% in SAPA I and on the lower-end of recent
Fitch-rated ABS transactions. The top three countries are
Philippines (14.6%), Sri Lanka (12.4%) and Canada (11.6%).
Transaction Structure — Consistent: Credit enhancement (CE)
comprises of overcollateralization (OC), a liquidity facility and a
cash reserve. The initial loan to value (LTV) ratios for series A,
B and C notes are 65.6%, 77.1% and 83.0%, respectively, based on
the average of the maintenance-adjusted base values (MABVs).
Adequate Structural Protections: Each class of notes makes full
payment of interest and principal in the primary scenarios,
commensurate with their expected ratings after applying Fitch's
stressed asset and liability assumptions. Fitch has also created
multiple alternative cash flows to evaluate the structure
sensitivity to different scenarios, detailed later in the report.
Aviation Market Cyclicality: Commercial aviation has been subject
to significant cyclicality due to macroeconomic and geopolitical
events. Fitch's analysis assumes multiple periods of significant
volatility over the life of the transaction. Downturns are
typically marked by reduced aircraft utilization rates, values and
lease rates, as well as deteriorating lessee credit quality. Fitch
employs aircraft value stresses in its analysis, which takes into
account age and marketability of aircraft in the portfolio to
simulate the decline in lease rates expected over the course of an
aviation market downturn and the corresponding decrease to
potential residual sales proceeds.
Rating Cap of 'Asf': Fitch limits aircraft operating lease ratings
to a maximum cap of 'Asf' due to the factors discussed above and
the potential volatility they produce.
RATING SENSITIVITIES
The performance of aircraft operating lease securitizations can be
affected by various factors, which, in turn, could have an impact
on the assigned ratings. Fitch conducted multiple rating
sensitivity analyses to evaluate the impact of changes to a number
of the variables in the analysis. As stated, these sensitivity
scenarios were also considered in determining Fitch's expected
ratings.
Technological Cliff Stress Scenario
All aircraft in the pool face replacement programs over the next
decade. Fitch believes the current generation aircraft in the pool
remain well insulated due to large operator bases and long lead
times for full replacement. This scenario simulates a drop in
demand and associated values. The first recession was assumed to
occur two years following close and all recessionary value decline
stresses were increased by 10% at each rating category. Fitch
additionally utilized a 25% residual assumption rather than the
base level of 50% to stress end-of-life proceeds for each asset in
the pool. Lease rates drop under this scenario, and aircraft are
sold for scrap at end of useful lives.
Under this scenario, all series fail at their respective ratings,
but are able to pass one rating category. As a result, such a
scenario could result in the downgrade of each series by one
category.
'CCC' Unrated Lessee Assumption Stress Scenario
Airlines across the globe are generally viewed as speculative
grade. While Fitch gives credit to available ratings of the initial
lessees in the pool, assumptions must be made for the unrated
lessees in the pool, as well as all future unknown lessees. While
Fitch typically utilizes a 'B' assumption for most unrated lessees
with some assumed to be 'CCC', Fitch evaluated a scenario in which
all unrated airlines are assumed to carry a 'CCC' rating. This
scenario mimics a prolonged recessionary environment in which
airlines are susceptible to an increased likelihood of default.
This would subject the aircraft pool to increased downtime and
expenses, as repossession and remarketing events would increase.
Under this scenario, all series fail at their respective ratings,
but are able to pass one rating category. Such a scenario could
result in the downgrade of each series by one rating category
Widebody Stress Scenarios
This pool contains a large concentration of A330s (31.7%). Fitch
created a scenario in which the widebody aircraft in the pool
encounter a considerable amount of stress to their residual values.
First, Fitch assumed all were initially considered to be Tier 3
aircraft to stress depreciation rates and recessionary value
declines. In addition, Fitch decreased its residual credit to 25%
from 50% of stressed future market values. Under this scenario,
A330s encounter severe value decline stresses and are only granted
part-out value at the end of their useful lives.
Under this scenario, series A fails at the 'Asf' stress scenario
and passes at the 'BBBsf' stress. Series B notes pass at 'BBBsf'
stress and series C notes pass at 'BBsf' stress, respectively. Such
a scenario could result in the downgrade of the series A notes by
up to a one rating category.
SARANAC CLO VIII: Moody's Gives (P)Ba3 Rating on $19MM Cl. E Notes
------------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to eight
classes of notes to be issued by Saranac CLO VIII Limited.
Moody's rating action is as follows:
US$25,000,000 Class A-N Senior Secured Floating Rate Notes due 2033
(the "Class A-N Notes"), Assigned (P)Aaa (sf)
US$174,000,000 Class A Loans due 2033 (the "Class A Loans"),
Assigned (P)Aaa (sf)
US$25,000,000 Class A-F Senior Secured Fixed Rate Notes due 2033
(the "Class A-F Notes"), Assigned (P)Aaa (sf)
US$38,500,000 Class B Senior Secured Floating Rate Notes due 2033
(the "Class B Notes"), Assigned (P)Aa2 (sf)
US$16,500,000 Class C-N Secured Deferrable Floating Rate Notes due
2033 (the "Class C-N Notes"), Assigned (P)A2 (sf)
US$3,000,000 Class C-F Secured Deferrable Fixed Rate Notes due 2033
(the "Class C-F Notes"), Assigned (P)A2 (sf)
US$21,000,000 Class D Secured Deferrable Floating Rate Notes due
2033 (the "Class D Notes"), Assigned (P)Baa3 (sf)
US$19,000,000 Class E Secured Deferrable Floating Rate Notes due
2033 (the "Class E Notes"), Assigned (P)Ba3 (sf)
The Class A-N Notes, the Class A Loans, the Class A-F Notes, the
Class B Notes, the Class C-N Notes, the Class C-F Notes, the Class
D Notes and the Class E Notes are referred to herein, collectively,
as the "Rated Notes."
RATINGS RATIONALE
The rationale for the ratings is based on its methodology and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure. Saranac VIII is a managed cash
flow CLO. The issued notes will be collateralized primarily by
broadly syndicated senior secured corporate loans. At least 90.0%
of the portfolio must consist of senior secured loans, and eligible
investments, and up to 10.0% of the portfolio may consist of senior
unsecured loans, second lien loans, and first lien last out
obligations. Moody's expects the portfolio to be approximately 70%
ramped as of the closing date.
Saranac CLO Management, LLC will direct the selection, acquisition
and disposition of the assets on behalf of the Issuer and may
engage in trading activity, including discretionary trading, during
the transaction's five-year reinvestment period. Thereafter,
subject to certain restrictions, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets.
In addition to the Rated Notes, the Issuer will issue income
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in March 2019.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $350,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2840
Weighted Average Spread (WAS): 3.75%
Weighted Average Coupon (WAC): 6.0%
Weighted Average Recovery Rate (WARR): 46.5%
Weighted Average Life (WAL): 9.0 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
March 2019.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
SEQUOIA MORTGAGE 2020-2: Fitch to Rate Class B-4 Certs 'BB-(EXP)'
-----------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates issued by Sequoia Mortgage Trust 2020-2.
RATING ACTIONS
Sequoia Mortgage Trust 2020-2
Class A-1; LT AAA(EXP)sf; Expected Rating
Class A-10; LT AAA(EXP)sf; Expected Rating
Class A-11; LT AAA(EXP)sf; Expected Rating
Class A-12; LT AAA(EXP)sf; Expected Rating
Class A-13; LT AAA(EXP)sf; Expected Rating
Class A-14; LT AAA(EXP)sf; Expected Rating
Class A-15; LT AAA(EXP)sf; Expected Rating
Class A-16; LT AAA(EXP)sf; Expected Rating
Class A-17; LT AAA(EXP)sf; Expected Rating
Class A-18; LT AAA(EXP)sf; Expected Rating
Class A-19; LT AAA(EXP)sf; Expected Rating
Class A-2; LT AAA(EXP)sf; Expected Rating
Class A-20; LT AAA(EXP)sf; Expected Rating
Class A-21; LT AAA(EXP)sf; Expected Rating
Class A-22; LT AAA(EXP)sf; Expected Rating
Class A-23; LT AAA(EXP)sf; Expected Rating
Class A-24; LT AAA(EXP)sf; Expected Rating
Class A-3; LT AAA(EXP)sf; Expected Rating
Class A-4; LT AAA(EXP)sf; Expected Rating
Class A-5; LT AAA(EXP)sf; Expected Rating
Class A-6; LT AAA(EXP)sf; Expected Rating
Class A-7; LT AAA(EXP)sf; Expected Rating
Class A-8; LT AAA(EXP)sf; Expected Rating
Class A-9; LT AAA(EXP)sf; Expected Rating
Class A-IO-S; LT NR(EXP)sf; Expected Rating
Class A-IO1; LT AAA(EXP)sf; Expected Rating
Class A-IO10; LT AAA(EXP)sf; Expected Rating
Class A-IO11; LT AAA(EXP)sf; Expected Rating
Class A-IO12; LT AAA(EXP)sf; Expected Rating
Class A-IO13; LT AAA(EXP)sf; Expected Rating
Class A-IO14; LT AAA(EXP)sf; Expected Rating
Class A-IO15; LT AAA(EXP)sf; Expected Rating
Class A-IO16; LT AAA(EXP)sf; Expected Rating
Class A-IO17; LT AAA(EXP)sf; Expected Rating
Class A-IO18; LT AAA(EXP)sf; Expected Rating
Class A-IO19; LT AAA(EXP)sf; Expected Rating
Class A-IO2; LT AAA(EXP)sf; Expected Rating
Class A-IO20; LT AAA(EXP)sf; Expected Rating
Class A-IO21; LT AAA(EXP)sf; Expected Rating
Class A-IO22; LT AAA(EXP)sf; Expected Rating
Class A-IO23; LT AAA(EXP)sf; Expected Rating
Class A-IO24; LT AAA(EXP)sf; Expected Rating
Class A-IO25; LT AAA(EXP)sf; Expected Rating
Class A-IO3; LT AAA(EXP)sf; Expected Rating
Class A-IO4; LT AAA(EXP)sf; Expected Rating
Class A-IO5; LT AAA(EXP)sf; Expected Rating
Class A-IO6; LT AAA(EXP)sf; Expected Rating
Class A-IO7; LT AAA(EXP)sf; Expected Rating
Class A-IO8; LT AAA(EXP)sf; Expected Rating
Class A-IO9; LT AAA(EXP)sf; Expected Rating
Class B-1; LT AA-(EXP)sf; Expected Rating
Class B-2; LT A-(EXP)sf; Expected Rating
Class B-3; LT BBB(EXP)sf; Expected Rating
Class B-4; LT BB-(EXP)sf; Expected Rating
Class B-5; LT NR(EXP)sf; Expected Rating
TRANSACTION SUMMARY
The certificates are supported by 656 loans with a total balance of
approximately $501.16 million as of the cutoff date. The pool
consists of prime fixed-rate mortgages acquired by Redwood
Residential Acquisition Corp. (Redwood) from various mortgage
originators. Distributions of principal and interest and loss
allocations are based on a senior-subordinate, shifting-interest
structure.
KEY RATING DRIVERS
High-Quality Mortgage Pool (Positive): The pool consists of very
high-quality 30-year, 25-year and 20-year, fixed-rate, fully
amortizing loans to borrowers with strong credit profiles,
relatively low leverage and large liquid reserves. The pool has a
weighted average (WA) original model FICO score of 766 and an
original WA CLTV ratio of 69%. All the loans in the pool consist of
Safe Harbor Qualified Mortgages (SHQM) or were originated prior to
the implementation of the rule.
Interest Reduction Risk (Negative): The transaction incorporates a
structural feature unique to Redwood's program for loans more than
120 days delinquent (a stop-advance loan). Unpaid interest on
stop-advance loans reduces the amount of interest that is
contractually due to bondholders in reverse-sequential order. While
this feature helps limit cash flow leakage to subordinate bonds, it
can result in interest reductions to rated bonds in high-stress
scenarios.
Prioritization of Principal Payments (Positive): The limited
advancing leads to lower loss severities than a full advancing
structure. The unique stop-advance structural feature reduces
interest payments to subordinate bonds but allows for greater
principal recovery than a traditional structure. Furthermore, while
traditional structures determine senior principal distributions by
comparing the senior bond size with the collateral balance, this
transaction structure compares the senior balance with the
collateral balance less any stop-advance loans. In a period of
increased delinquencies, this will result in a larger amount of
principal paid to the senior bonds relative to a traditional
structure.
Low Operational Risk (Neutral): The operational risk is well
controlled for in this transaction. Redwood is assessed as an
'Above Average' aggregator. The aggregator has a robust sourcing
strategy, and maintains experienced senior management and staff,
strong risk management and corporate governance controls, and a
robust due diligence process. Primary and master servicing
functions will be performed by entities rated 'RPS2-' and 'RMS2+',
respectively.
Third-Party Due Diligence Results (Positive): Third-party due
diligence was performed on 97% of loans in the transaction. Due
diligence was performed by Clayton Services, LLC, which is assessed
by Fitch as 'Acceptable - Tier 1'. The review scope is consistent
with Fitch criteria, and the results are in line with prior RMBS
issued by Redwood. Fitch applied a credit for the high percentage
of loan-level due diligence, which reduced the 'AAAsf' loss
expectation by 16bps.
Top Tier Representation and Warranty Framework (Neutral): The
loan-level representation, warranty and enforcement (RW&E)
framework is consistent with Fitch's Tier 1, the highest possible.
Fitch applied a neutral treatment at the 'AAAsf' rating category as
a result of the Tier 1 framework and the internal credit opinion
supporting the repurchase obligations of the ultimate R&W
backstop.
Credit Enhancement Floor (Positive): To mitigate tail risk, which
arises as the pool seasons and fewer loans are outstanding, a
subordination floor of 0.75% of the original balance will be
maintained for the certificates. The floor is more than sufficient
to protect against the five largest loans defaulting at Fitch's
'AAAsf' average loss severity of 38.93%.
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.
Three sets of sensitivity analyses were conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the
model-projected 5.1%. As shown in the table included in the presale
report, the analysis indicates that some potential rating migration
exists with higher MVDs compared with the model projection.
Additionally, the defined rating sensitivities determine the
stresses to MVDs that would reduce a rating by one full category,
to non-investment grade and to 'CCCsf'.
SIERRA TIMESHARE 2019-1: Fitch Affirms BBsf Rating on Cl. D Notes
-----------------------------------------------------------------
Fitch Ratings affirmed the ratings on the notes issued by four
Sierra Timeshare Receivables transactions.
RATING ACTIONS
Sierra Timeshare 2017-1 Receivables Funding LLC
Class A 82652KAA2; LT Asf Affirmed; previously at Asf
Class B 82652KAB0; LT BBBsf Affirmed; previously at BBBsf
Sierra Timeshare 2019-1 Receivables Funding LLC
Class A 82653EAA5; LT AAAsf Affirmed; previously at AAAsf
Class B 82653EAB3; LT Asf Affirmed; previously at Asf
Class C 82653EAC1; LT BBBsf Affirmed; previously at BBBsf
Class D 82653EAD9; LT BBsf Affirmed; previously at BBsf
Sierra Timeshare 2016-2 Receivables Funding LLC
Class A 82652WAA6; LT Asf Affirmed; previously at Asf
Class B 82652WAB4; LT BBBsf Affirmed; previously at BBBsf
Sierra Timeshare 2015-2 Receivables Funding LLC
Class A 82652HAA9; LT Asf Affirmed; previously at Asf
Class B 82652HAB7; LT BBBsf Affirmed; previously at BBBsf
KEY RATING DRIVERS
Sierra 2015-2 has had stable performance consistent with Fitch's
initial expectation. Credit enhancement (CE) has marginally
increased since last review due to the reserve reaching the floor
with class A and B notes at 32.12% and 12.12%, respectively. As of
the January 2020 servicer reports, the 30+ day delinquency rate is
3.69%, while cumulative gross defaults (CGD) are currently at
16.62%. Due to repurchases by the seller, the trust has not
experienced any losses.
Sierra 2016-2 and 2017-1 performance has stabilized since Fitch's
prior review. CE has marginally increased on the class A and B
notes for both transactions since last review due to the reserve
reaching the floor. As of the January 2020 servicer report, the 30+
day delinquency rates for 2016-2 and 2017-1 are 3.63% and 4.31%,
respectively. CGDs are currently at 17.46% and 16.31% for 2016-2
and 2017-1, respectively.
Sierra 2019-1 has experienced elevated defaults since close
compared to Fitch's initial expectations. However, the transaction
is only 10 months outstanding and timeshare transactions typically
experience more front loaded defaults. CE levels have increased to
62.50%, 37.20%, 16.75%, and 4.50% for class A, B, C, and D,
respectively. As of the January 2020 servicer report, the 30+ day
delinquency rate is 5.06% while cumulative CGD is 8.01%. Due to
repurchases, the trust has not experienced any losses.
Fitch's analysis utilized the nominal method of loss forecaster
extrapolation, which takes into account transaction-specific and
precedent performance on the Sierra platform, to derive revised
lifetime CGD proxies of 17.80% for 2015-2 and 20.15% for 2017-1.
For 2016-2, Fitch utilized the blended (pool factor and timing
curve extrapolation) approach to derive the lifetime CGD proxy of
19.50%. Based on transaction-specific performance to date, Fitch
maintained the lifetime proxy of 19.40% for 2019-1 from the initial
review considering the limited amortization. Per criteria, given
the transaction's stable performance and minimal hard CE build,
cash flow modeling was not conducted for this review.
RATING SENSITIVITIES
Unanticipated increases in the frequency of defaults could produce
CGD levels higher than the base case and would likely result in
declines of CE and remaining default coverage levels available to
the notes. Additionally, unanticipated increases in prepayment
activity could also result in a decline in coverage. Decreased
default coverage may make certain note ratings susceptible to
potential negative rating actions, depending on the extent of the
decline in coverage.
At the time of initial ratings, Fitch conducted sensitivity
analysis stressing each of the transactions' initial base case CGD
and prepayment assumptions by 1.5x and 2.0x and examining the
rating implications on all classes of issued notes. The 1.5x and
2.0x increases of each transaction's base case CGD and prepayment
assumptions represent moderate and severe stresses, respectively,
and are intended to provide an indication of the rating sensitivity
of notes to unexpected deterioration of a trust's performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of 3 - ESG issues are credit
neutral or have only a minimal credit impact on the transactions,
either due to their nature or the way in which they are being
managed.
TABERNA PREFERRED VI: Moody's Hikes Rating on 2 Tranches to Ba3
---------------------------------------------------------------
Moody's Investors Service upgraded the ratings on the following
notes issued by Taberna Preferred Funding VI, Ltd.:
US$50,000,000 Class A-1A First Priority Senior Secured Floating
Rate Notes due December 2036 (current outstanding balance of
$15,479,270.07), Upgraded to Ba3 (sf); previously on February 23,
2016 Upgraded to B2 (sf)
US$305,000,000 Class A-1B First Priority Delayed Draw Senior
Secured Floating Rate Notes due December 2036 (current outstanding
balance of $94,423,547.52), Upgraded to Ba3 (sf); previously on
February 23, 2016 Upgraded to B2 (sf)
Taberna Preferred Funding VI, Ltd., issued in June 2006, is a
collateralized debt obligation backed by a portfolio of REIT trust
preferred securities, with exposure to bank TruPS and corporate
bonds.
RATINGS RATIONALE
The rating actions are primarily a result of the deleveraging of
the Class A-1A and Class A-1B notes, an increase in the
transaction's over-collateralization (OC) ratios, and the
improvement in the credit quality of the underlying portfolio since
February 2019.
The Class A-1A and A-1B notes have paid down by approximately 2.2%
or $2.5 million since February 2019 using the diversion of excess
interest proceeds. Based on Moody's calculations, the OC ratios for
the Class A-1 have improved to 188.5%, from February 2019 level of
179.2%. The Class A-1A and Class A-1B notes will continue to
benefit from the diversion of excess interest and the use of
proceeds from redemptions of any assets in the collateral pool.
The deal has also benefited from improvement in the credit quality
of the underlying portfolio. According to Moody's calculations, the
weighted average rating factor (WARF) improved to 3287 from 4489 in
February 2019.
The action also reflects the consideration that an event of default
(EoD) is continuing for the transaction. The EoD occurred in 2009,
due to missed interest payment on the Class C notes, and a majority
of the controlling class directed the trustee to declare the notes
immediately due and payable. As a result of the declaration of
acceleration of the notes, all proceeds after paying interest on
the Class A-1A, Class A-1B and Class A-2 notes are currently used
to pay down the principal of the Class A-1A and Class A-1B Notes.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool as having a performing par of $207.2 million,
defaulted/deferring par of $158.8 million, a weighted average
default probability of 44.32% (implying a WARF of 3287), and a
weighted average recovery rate upon default of 12.4%.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs" published in March 2019.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The portfolio consists primarily
of unrated assets whose default probability Moody's assesses
through credit scores derived using RiskCalc or credit assessments.
Because these are not public ratings, they are subject to
additional estimation uncertainty.
TOWD POINT 2020-1: Fitch Assigns Bsf Rating on 11 Tranches
----------------------------------------------------------
Fitch Ratings assigned the following ratings and Rating Outlooks to
Towd Point Mortgage Trust 2020-1 (TPMT 2020-1):
RATING ACTIONS
TPMT 2020-1
Class A1A1; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A1A; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A1AX; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A1A2; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A1; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A1X; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A1B; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A1BX; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A2A; LT AA-sf New Rating; previously at AA-(EXP)sf
Class A2C; LT AA-sf New Rating; previously at AA-(EXP)sf
Class A2CX; LT AA-sf New Rating; previously at AA-(EXP)sf
Class A2D; LT AA-sf New Rating; previously at AA-(EXP)sf
Class A2DX; LT AA-sf New Rating; previously at AA-(EXP)sf
Class A3; LT AA-sf New Rating; previously at AA-(EXP)sf
Class A2B; LT Asf New Rating; previously at A(EXP)sf
Class A2E; LT Asf New Rating; previously at A(EXP)sf
Class A2EX; LT Asf New Rating; previously at A(EXP)sf
Class A2F; LT Asf New Rating; previously at A(EXP)sf
Class A2FX; LT Asf New Rating; previously at A(EXP)sf
Class A4; LT Asf New Rating; previously at A(EXP)sf
Class A5; LT BBBsf New Rating; previously at BBB(EXP)sf
Class M1; LT BBBsf New Rating; previously at BBB(EXP)sf
Class M1A; LT BBBsf New Rating; previously at BBB(EXP)sf
Class M1AX; LT BBBsf New Rating; previously at BBB(EXP)sf
Class M1B; LT BBBsf New Rating; previously at BBB(EXP)sf
Class M1BX; LT BBBsf New Rating; previously at BBB(EXP)sf
Class M2; LT BBsf New Rating; previously at BB(EXP)sf
Class M2A; LT BBsf New Rating; previously at BB(EXP)sf
Class M2AX; LT BBsf New Rating; previously at BB(EXP)sf
Class M2B; LT BBsf New Rating; previously at BB(EXP)sf
Class M2BX; LT BBsf New Rating; previously at BB(EXP)sf
Class B1; LT Bsf New Rating; previously at B(EXP)sf
Class B1A; LT Bsf New Rating; previously at B(EXP)sf
Class B1B; LT Bsf New Rating; previously at B(EXP)sf
Class B1C; LT Bsf New Rating; previously at B(EXP)sf
Class B1CX; LT Bsf New Rating; previously at B(EXP)sf
Class B1D; LT Bsf New Rating; previously at B(EXP)sf
Class B1DX; LT Bsf New Rating; previously at B(EXP)sf
Class B1E; LT Bsf New Rating; previously at B(EXP)sf
Class B1EX; LT Bsf New Rating; previously at B(EXP)sf
Class B1F; LT Bsf New Rating; previously at B(EXP)sf
Class B1FX; LT Bsf New Rating; previously at B(EXP)sf
Class B2; LT NRsf New Rating; previously at NR(EXP)sf
Class B2A; LT NRsf New Rating; previously at NR(EXP)sf
Class B2B; LT NRsf New Rating; previously at NR(EXP)sf
Class B3; LT NRsf New Rating; previously at NR(EXP)sf
Class B3A; LT NRsf New Rating; previously at NR(EXP)sf
Class B3B; LT NRsf New Rating; previously at NR(EXP)sf
Class B4; LT NRsf New Rating; previously at NR(EXP)sf
Class B4A; LT NRsf New Rating; previously at NR(EXP)sf
Class B4B; LT NRsf New Rating; previously at NR(EXP)sf
Class B5; LT NRsf New Rating; previously at NR(EXP)sf
Class B5A; LT NRsf New Rating; previously at NR(EXP)sf
Class B5B; LT NRsf New Rating; previously at NR(EXP)sf
TRANSACTION SUMMARY
The notes are supported by one collateral group that consists of
5,166 newly originated, seasoned performing loans (SPLs) and
re-performing loans (RPLs) with a total balance of approximately
$771.7 million, which includes $30.8 million, or 4%, of the
aggregate pool balance in non-interest-bearing deferred principal
amounts, as of the statistical calculation date.
The note balances are based off the cut-off date balance. The
collateral is based off of the statistical calculation date
balance.
Distributions of principal and interest (P&I) and loss allocations
are based on a traditional senior-subordinate, sequential
structure. The sequential-pay structure locks out principal to the
subordinated notes until the most senior notes outstanding are paid
in full. The servicers will not be advancing delinquent monthly
payments of P&I.
KEY RATING DRIVERS
Distressed Performance History (Negative): The collateral pool
consists primarily of peak-vintage, seasoned performing and RPLs.
Of the pool, 3.6% was 30 days delinquent as of the statistical
calculation date, and 29.5% of loans are current, but have had
recent delinquencies or incomplete pay strings. 64% of the loans
are seasoned over 24 months and have been paying on time for the
past 24 months. Roughly 64% have been modified.
Low Operational Risk (Positive): Operational risk is well
controlled for in this RPL transaction. FirstKey Mortgage, LLC has
a well-established track record in RPL activities and has an "above
average" aggregator assessment from Fitch. The loans are
approximately 136 months seasoned, reducing the risk of
misrepresentation at origination. Additionally, the transaction
benefits from third-party due diligence on approximately 72% of the
pool by loan count and 87.3% by unpaid principal balance (UPB), and
the diligence results generally indicate low risk for an RPL
transaction. Of the MH loans, 40% were reviewed, which is
consistent with criteria. While only 4% (by loan count) of the
second liens were reviewed, Fitch's loss assumptions for the second
liens account for any risks associated with the lack of a diligence
review. Select Portfolio Servicing, Inc. (SPS) and Specialized Loan
Servicing LLC (SLS) will perform primary and special servicing
functions for this transaction and are rated 'RPS1-' and 'RPS2+',
respectively, for this product type. The issuer's retention of at
least 5% of the bonds helps ensure an alignment of interest between
issuer and investor.
Low Aggregate Servicing Fee (Mixed): Fitch determined that the
stated servicing fee of approximately 17bps may be insufficient to
attract subsequent servicers under a period of poor performance and
high delinquencies. To account for the potentially higher fee
needed to obtain a subsequent servicer, Fitch's cash flow analysis
assumed a 50-bp servicing fee.
Third-Party Due Diligence (Negative): A third-party due diligence
review was conducted and focused on regulatory compliance, pay
history and a tax and title lien search. Of the loans reviewed, the
third-party review (TPR) firm's due diligence review resulted in
approximately 10% (by loan count) of "C" and "D" graded loans,
meaning the loans had material violations or lacked documentation
to confirm regulatory compliance.
Representation Framework (Negative): Fitch considers the
representation, warranty and enforcement (RW&E) mechanism construct
for this transaction to generally be consistent with what it views
as a Tier 2 framework, due to the inclusion of knowledge qualifiers
and the exclusion of loans from certain reps as a result of
third-party due diligence findings. Additionally, the issuer is not
providing R&Ws for second liens, and newly originated loans are
receiving R&Ws applicable for seasoned collateral; Fitch treated
these as Tier 5. Fitch increased its 'AAAsf' loss expectations by
216bps to account for a potential increase in defaults and losses
arising from weaknesses in the reps.
Limited Life of Rep Provider (Negative): FirstKey, as rep provider,
will only be obligated to repurchase a loan due to breaches prior
to the payment date in February 2021. Thereafter, a reserve fund
will be available to cover amounts due to noteholders for loans
identified as having rep breaches. Amounts on deposit in the
reserve fund as well as the increased level of subordination will
be available to cover additional defaults and losses resulting from
rep weaknesses or breaches occurring on or after the payment date
in February 2021.
No Servicer P&I Advances (Mixed): The servicer will not be
advancing delinquent monthly payments of P&I, which reduce
liquidity to the trust. P&I advances made on behalf of loans that
become delinquent and eventually liquidate reduce liquidation
proceeds to the trust. Due to the lack of P&I advancing, the
loan-level loss severity (LS) is less for this transaction than for
those where the servicer is obligated to advance P&I. Structural
provisions and cash flow priorities, together with increased
subordination, provide for timely payments of interest to the
'AAAsf' and 'AAsf' rated classes.
Sequential-Pay Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure whereby the subordinate classes
do not receive principal until the senior classes are repaid in
full. Losses are allocated in reverse-sequential order.
Furthermore, the provision to re-allocate principal to pay interest
on the 'AAAsf' and 'AA-sf' rated notes prior to other principal
distributions is highly supportive of timely interest payments to
that class in the absence of servicer advancing.
Deferred Amounts (Negative): Non-interest-bearing principal
forbearance amounts totaling $30.8 million (4.0%) of the UPB are
outstanding on 750 loans. Fitch included the deferred amounts when
calculating the borrower's loan-to-value ratio (LTV) and
sustainable LTV (sLTV), despite the lower payment and amounts not
being owed during the term of the loan. The inclusion resulted in a
higher probability of default (PD) and LS than if there were no
deferrals. Fitch believes that borrower default behavior for these
loans will resemble that of the higher LTVs, as exit strategies
(i.e. sale or refinancing) will be limited relative to those
borrowers with more equity in the property.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the metropolitan statistical area (MSA) and
national levels. The implied rating sensitivities are only an
indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to or be
considered in the surveillance of the transaction.
Fitch conducted sensitivity analysis determining how the ratings
would react to steeper MVDs at the national level. The analysis
assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the
model-projected 37.4% at 'AAAsf'. The analysis indicates there is
some potential rating migration with higher MVDs, compared with the
model projection.
Fitch also conducted sensitivity analysis to determine the stresses
to MVDs that would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'.
TRUPS FINANCIALS 2018-1: Moody's Hikes $71MM Class C Notes to Ba1
-----------------------------------------------------------------
Moody's Investors Service upgraded the ratings on the following
notes issued by TruPS Financials Note Securitization 2018-1 Ltd:
US$360,790,000 Class A-1 Senior Secured Floating Rate Notes due
2039 (current balance of $315,748,725), Upgraded to Aa2 (sf);
previously on May 8, 2018 Definitive Rating Assigned Aa3 (sf)
US$23,700,000 Class A-2 Senior Secured Fixed-Floating Rate Notes
due 2039 (current balance of $20,741,275), Upgraded to Aa2 (sf);
previously on May 8, 2018 Definitive Rating Assigned Aa3 (sf)
US$12,100,000 Class B Mezzanine Deferrable Fixed-Floating Rate
Notes due 2039, Upgraded to A2 (sf); previously on May 8, 2018
Definitive Rating Assigned A3 (sf)
US$71,250,000 Class C Mezzanine Deferrable Floating Rate Notes due
2039, Upgraded to Ba1 (sf); previously on May 8, 2018 Definitive
Rating Assigned Ba2 (sf)
TruPS Financials Note Securitization 2018-1 Ltd, issued in May
2018, is a collateralized debt obligation backed mainly by a
portfolio of (1) trust preferred securities and subordinated debt
issued by US community banks and their holding companies and (2)
TruPS and senior notes issued by insurance companies and their
holding companies.
RATINGS RATIONALE
The rating actions are primarily a result of the deleveraging of
the Class A notes and an increase in the transaction's
over-collateralization (OC) ratios since February 2019.
The Class A notes have collectively paid down by approximately 8.4%
or $31 million since February 2019, using principal proceeds from
the redemption of the underlying assets. Based on Moody's
calculations, the OC ratios for the Class A, Class B and Class C
notes have improved to 145.5%, 140.5% and 116.7%, respectively,
from February 2019 levels of 141.5%, 137.0% and 115.4%,
respectively. The Class A notes will continue to benefit from the
use of proceeds from redemptions of any assets in the collateral
pool.
Moody's rating actions took into account a stress scenario for
highly levered bank holding company issuers. The transaction's
portfolio includes subordinated debt or TruPS issued by a number of
bank holding companies with significant amounts of other debt on
their balance sheet which may increase the risk presented by their
subsidiaries. To address the risk from higher debt burden at the
bank holding companies, Moody's conducted a stress scenario in
which Moody's made adjustments to the RiskCalc credit scores for
these highly leveraged holding companies. This stress scenario was
an important consideration in the rating actions.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool as having a performing par of $489.8 million, no
defaulted par, a weighted average default probability of 7.26%
(implying a WARF of 737), and a weighted average recovery rate upon
default of 10%.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs" published in March 2019.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The portfolio consists primarily
of unrated assets whose default probability Moody's assesses
through credit scores derived using RiskCalc or credit assessments.
Because these are not public ratings, they are subject to
additional estimation uncertainty.
WELLS FARGO 2016-NXS5: Fitch Affirms B-sf Rating on 2 Tranches
--------------------------------------------------------------
Fitch Ratings affirmed the rating on 19 classes and revised the
Rating Outlooks to Stable from Negative on classes F and X-F of
Wells Fargo Commercial Mortgage Trust Pass-Through Certificates,
series 2016-NXS5.
RATING ACTIONS
WFCM 2016-NXS5
Class A-1 95000CAW3; LT PIFsf Paid In Full; previously at AAAsf
Class A-2 95000CAX1; LT AAAsf Affirmed; previously at AAAsf
Class A-3 95000CAY9; LT AAAsf Affirmed; previously at AAAsf
Class A-4 95000CAZ6; LT AAAsf Affirmed; previously at AAAsf
Class A-5 95000CBA0; LT AAAsf Affirmed; previously at AAAsf
Class A-6 95000CBB8; LT AAAsf Affirmed; previously at AAAsf
Class A-6FL 95000CBK8; LT AAAsf Affirmed; previously at AAAsf
Class A-6FX 95000CBM4; LT AAAsf Affirmed; previously at AAAsf
Class A-S 95000CBD4; LT AAAsf Affirmed; previously at AAAsf
Class A-SB 95000CBC6; LT AAAsf Affirmed; previously at AAAsf
Class B 95000CBG7; LT AA-sf Affirmed; previously at AA-sf
Class C 95000CBH5; LT A-sf Affirmed; previously at A-sf
Class D 95000CBJ1; LT BBBsf Affirmed; previously at BBBsf
Class E 95000CAJ2; LT BBB-sf Affirmed; previously at BBB-sf
Class F 95000CAL7; LT BB-sf Affirmed; previously at BB-sf
Class G 95000CAN3; LT B-sf Affirmed; previously at B-sf
Class X-A 95000CBE2; LT AAAsf Affirmed; previously at AAAsf
Class X-B 95000CBF9; LT AA-sf Affirmed; previously at AA-sf
Class X-F 95000CAC7; LT BB-sf Affirmed; previously at BB-sf
Class X-G 95000CAE3; LT B-sf Affirmed; previously at B-sf
KEY RATING DRIVERS
Stable Loss Expectations: Performance and loss expectations for the
majority of the pool have remained relatively stable since
issuance. Two loans (6.3% of the pool) were considered Fitch Loans
of Concern (FLOCs) due to upcoming rollover concerns. Five loans
(5.0% of the pool) are currently in special servicing, including
the fourteenth largest loan, 1006 Madison Avenue (2.2% of the
pool). The loan is secured by a 3,915 sf retail property located on
78th Street and Madison Avenue in Manhattan. The loan transferred
to special servicing due to imminent default after the property's
single tenant, Roland Mouret, a French boutique designer, vacated
in October 2018. Per the special servicer, the tenant was not
required to pay a lease termination fee. A foreclosure action was
filed in May 2019 and a UCC sale was scheduled for December 2019.
Fitch has requested an update from the special servicer regarding
the foreclosure, but has not yet received a response.
The second largest specially serviced loan, Shilo Inn Ocean Shores
& Nampa (1.2% of the pool), is secured by two hotels located in
Nampa, ID and Ocean Shores, WA. The loan transferred to special
servicing in December 2018 for payment default. The loan had
previously been on the master servicer's watchlist for deferred
maintenance and declining performance. Occupancy had declined to
63.7% as of June 2018 from 65% at YE 2017. In addition to the
declines in occupancy, NOI DSCR had declined to 1.18x as of June
2018 from 1.61x at YE 2017. The declines were primarily related to
increased operating expenses, specifically Repairs & Maintenance,
at the Shilo Inn Ocean Shores property.
The remaining three specially serviced loans are below 1% of the
pool and are secured by two limited services hotels located in
Allen, TX and Warrentown, OR, and a mixed-used portfolio secured by
two multifamily properties and one retail property located in
Jackson, MS.
The largest FLOC, 4400 Jenifer Street (3.5% of the pool), is
secured by an 83,777 sf office property located in Washington, D.C.
Per the Oct 31, 2019 rent roll, approximately 25.9% of the NRA is
rolling between 2019 and 2020. This includes a portion of the top
tenant, Long & Foster, and the third largest tenant, Counselor's
Title (7.1% of the NRA; lease expiry in April 2020). Per the master
servicer, Long & Foster vacated a portion of its retail space as of
2019 and the space remains vacant; occupancy is expected to decline
to 78.4% from 86.0% at YE 2018 and 94.8% at YE 2017. The declines
in occupancy between 2017 and 2018 are primarily related to the
departure of Sundance Getaways (previously 8.8% of the NRA), which
vacated upon lease expiration in June 2018 and the space remains
vacant.
The second-largest FLOC, the Shoppes at Zion (2.9% of the pool), is
secured by 116,744 sf retail property located in St. George, UT.
Per the Sept. 30, 2019 rent roll, approximately 29.7% of the NRA
rolling between 2019 and 2020. This includes top tenants Tuesday
Morning (6.5% of NRA; lease expiry in Jan.2020) and Famous Footwear
(3.9% of the NRA; lease expiry in May 2020). In addition to the
rollover, the rent roll listed Dress Barn (7.7% of the NRA; lease
expiry in Dec. 2021) as the top tenant. Per news reports, the
tenant filed for bankruptcy and closed all locations effective May
2019. Fitch requested confirmation from the master servicer on the
store closure as well as an update on the upcoming rollover, but
did not receive a response.
Increasing Credit Enhancement: Since Fitch's last rating action,
One Court Square (previously 8.8% of the pool) has paid in full
ahead of its September 2020 maturity. The disposition resulted in
better than expected recoveries and reduced the class A-1
certificates to zero and the class A-2 certificates by $70 million.
Three loans (2.5% of the pool) are defeased. As of the January 2020
remittance, the pool's aggregate balance has been reduced by 11.8%
to $771.8 million from $875.1 million at issuance. Based on the
scheduled balance at maturity, the initial pool balance would have
paid down by 11.2% prior to maturity. Seven loans (29.3% of the
pool) are full-term, interest only and seventeen loans (14.5% of
the pool) have partial, interest only payments, eleven of which are
now amortizing. To date, there have been no realized losses.
Interest shortfalls are affecting the non-rated, class H
certificates.
Additional Loss Considerations: In addition to modeling a base case
loss, Fitch applied an additional sensitivity analysis which
included the paydown of the defeased collateral; the sensitivity
analysis is not the driver of the Stable Outlook revision on
classes F and X-F.
RATING SENSITIVITIES
The Stable Outlook revisions on class F and X-F reflect the
improving pool performance following the disposition of One Court
Square. Fitch assumed conservative loss assumptions on the
specially serviced loans given the lack of updated information from
the special servicer. The remaining underlying pool collateral has
exhibited stable performance since issuance. Fitch does not foresee
positive or negative ratings migration until a material economic or
asset level event changes the transaction's overall portfolio-level
metrics.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
No third-party due diligence was provided or reviewed by Fitch in
relation to this rating.
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.
WELLS FARGO 2020-C55: Fitch to Rate $9.629MM Class G Certs B-sf
---------------------------------------------------------------
Fitch Ratings issued a presale report on Wells Fargo Commercial
Mortgage Trust 2020-C55 commercial mortgage pass-through
certificates Series 2020-C55. Fitch expects to rate the transaction
and assign Rating Outlooks as follows:
-- $20,310,000e class A-1 'AAAsf'; Outlook Stable;
-- $18,218,000e class A-2 'AAAsf'; Outlook Stable;
-- $24,260,000e class A-3 'AAAsf'; Outlook Stable;
-- $32,314,000e class A-SB 'AAAsf'; Outlook Stable;
-- $288,000,000ae class A-4 'AAAsf'; Outlook Stable;
-- $290,880,000ae class A-5 'AAAsf'; Outlook Stable;
-- $673,982,000be class X-A 'AAAsf'; Outlook Stable;
-- $178,124,000be class X-B 'A-sf'; Outlook Stable;
-- $96,283,000e class A-S 'AAAsf'; Outlook Stable;
-- $44,531,000e class B 'AA-sf'; Outlook Stable;
-- $37,310,000e class C 'A-sf'; Outlook Stable;
-- $45,734,000bce class X-D 'BBB-sf'; Outlook Stable;
-- $20,460,000bce class X-F 'BB-sf'; Outlook Stable;
-- $9,629,000bce class X-G 'B-sf'; Outlook Stable;
-- $25,274,000ce class D 'BBBsf'; Outlook Stable;
-- $20,460,000ce class E 'BBB-sf'; Outlook Stable;
-- $20,460,000ce class F 'BB-sf'; Outlook Stable;
-- $9,629,000ce class G 'B-sf'; Outlook Stable.
The following class is not expected to be rated by Fitch:
-- $34,902,711cde class H-RR.
(a) The initial certificate balances of class A-4 and A-5 are
unknown and expected to be $578,880,000 in aggregate, subject to a
5.0% variance. The certificate balances will be determined based on
the final pricing of those classes of certificates. The expected
class A-4 balance range is $50,000,000 to $578,880,000, and the
expected class A-5 balance range is $290,880,000 to $528,880,000.
The balances of classes A-3 and A-4 shown above are the
hypothetical balance for A-3 if A-4 were sized at the minimum of
its range. If the class balance of class A-4 is $578,880,000, the
class A-5 certificates will not be issued.
(b) Notional amount and interest only.
(c) Privately-placed and pursuant to Rule 144a.
(d) Horizontal credit-risk retention interest.
(e) The eligible vertical risk retention interest will consist of
approximately 4.33% of the certificate balance, notional amount, or
percentage interest of each class of certificates.
The expected ratings are based on information provided by the
issuer as of Feb. 3, 2020.
TRANSACTION SUMMARY
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 66 loans secured by 100
commercial properties having an aggregate principal balance of
$962,831,712 as of the cut-off date. The loans were contributed to
the trust by Wells Fargo Bank, National Association, Barclays
Capital Real Estate, Inc, LMF Commercial, LLC, Ladder Capital
Finance LLC, Rialto Real Estate Fund IV - Debt, LP and Argentic
Real Estate Finance LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 70.0% of the properties
by balance, cash flow analysis of 82.5% of the pool and asset
summary reviews on 100% of the pool.
KEY RATING DRIVERS
Fitch Leverage: The pool's leverage is higher than that of other
recent Fitch-rated multiborrower transactions. The pool's debt
service coverage ratio (DSCR) of 1.19x is lower than average when
compared with the 2019 and 2018 averages of 1.25x and 1.22x,
respectively. The pool's trust Fitch loan-to-value (LTV) of 103.9%
is higher than the 2019 and 2018 averages of 102.9% and 102.0%,
respectively. Excluding credit opinion loans, the pool's WA DSCR
and LTV are 1.18x and 113.7%, respectively.
Diversified Pool: The pool's loan concentration index (LCI) of 309
is well-below the 2019 and 2018 averages of 379 and 373,
respectively. The pool's 10 largest loans represent 44.3% of the
total pool balance, which is below the 2019 and 2018 averages of
51.0% and 50.6%, respectively.
Credit Opinion Loans: Four loans representing 24.2% of the pool by
balance are credit assessed. Kings Plaza (8.6% of the pool by
cutoff balance) received a standalone credit opinion of 'BBBsf'.
1633 Broadway (7.3%), 650 Madison Avenue (4.2%) and F5 Tower (4.2%)
each received standalone credit opinions of 'BBB-sf'.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 14.2% below
the most recent year's NOI for properties for which a full-year NOI
was provided, excluding properties that were stabilizing during
this period. Unanticipated further declines in property-level NCF
could result in higher defaults and loss severities on defaulted
loans and in potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the WFCM
2020-C55 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'Asf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBBsf'
could result.
[*] DBRS Takes Rating Actions on 649 Classes From 74 US RMBS Deals
------------------------------------------------------------------
DBRS, Inc. reviewed 649 classes from 74 U.S. residential
mortgage-backed security (RMBS) transactions. Of the 649 classes
reviewed, DBRS Morningstar upgraded 25 ratings, confirmed 490
ratings, and discontinued 134 ratings.
The rating upgrades reflect positive performance trends and
increases in credit support sufficient to withstand stresses at
their new rating levels. The rating confirmations reflect asset
performance and credit-support levels that are consistent with the
current ratings. The discontinued ratings are the result of the
full repayment of principal to bondholders.
The rating actions are a result of DBRS Morningstar's application
of the "U.S. RMBS Surveillance Methodology" published in September
2018.
The pools backing these RMBS transactions consist of prime,
subprime, Alt-A, seasoned, reperforming, and ReREMIC collateral.
The ratings assigned to the securities below differ from the
ratings implied by the quantitative model. DBRS Morningstar
considers this difference to be a material deviation, but in this
case, the ratings of the subject notes reflect additional seasoning
being warranted to substantiate a further upgrade.
-- Banc of America Funding 2015-R3 Trust, Resecuritization Trust
Securities, Class 9A1
-- BCAP LLC 2015-RR3 Trust, Resecuritization Trust Securities,
Class 4A1
-- Citigroup Mortgage Loan Trust 2009-4, Re-REMIC Trust
Certificates, Series 2009-4, Class 7A7
-- CSMC Trust 2014-IVR3, Mortgage Pass-through Certificates,
Series 2014-IVR3, Class A-IO-S
-- CSMC Trust 2015-WIN1, Mortgage Pass-through Certificates,
Series 2015-WIN1, Class A-IO-S
-- CSMLT 2015-1 Trust, Mortgage Pass-Through Certificates, Series
2015-1, Class B-4
-- CSMLT 2015-1 Trust, Mortgage Pass-through Certificates, Series
2015-1, Class A-IO-S
-- WinWater Mortgage Loan Trust 2015-4, Mortgage Pass-Through
Certificates, Series 2015-4, Class B-4
-- J.P. Morgan Mortgage Trust 2005-A4, Mortgage Pass-Through
Certificates, Series 2005-A4, Class 1-A-1
-- J.P. Morgan Mortgage Trust 2005-A4, Mortgage Pass-Through
Certificates, Series 2005-A4, Class 2-A-1
-- J.P. Morgan Mortgage Trust 2005-A4, Mortgage Pass-Through
Certificates, Series 2005-A4, Class 3-A-1
-- J.P. Morgan Mortgage Trust 2005-A4, Mortgage Pass-Through
Certificates, Series 2005-A4, Class 3-A-4
-- J.P. Morgan Mortgage Trust 2005-A4, Mortgage Pass-Through
Certificates, Series 2005-A4, Class 4-A-2
-- J.P. Morgan Mortgage Trust 2005-A4, Mortgage Pass-Through
Certificates, Series 2005-A4, Class B-1
-- Lehman Mortgage Trust 2008-6, Mortgage Pass-Through
Certificates, Series 2008-6, Class 2-A2
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed
Notes, Series 2018-1, Class B-3
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed
Notes, Series 2018-1, Class B3-IO
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed
Notes, Series 2018-1, Class B-3A
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed
Notes, Series 2018-1, Class B-3B
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed
Notes, Series 2018-1, Class B-3C
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed
Notes, Series 2018-1, Class B-3D
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed
Notes, Series 2018-1, Class B3-IOA
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed
Notes, Series 2018-1, Class B3-IOB
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed
Notes, Series 2018-1, Class B3-IOC
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed
Notes, Series 2018-1, Class B-4
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed
Notes, Series 2018-1, Class B-4A
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed
Notes, Series 2018-1, Class B-4B
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed
Notes, Series 2018-1, Class B-4C
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed
Notes, Series 2018-1, Class B4-IOA
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed
Notes, Series 2018-1, Class B4-IOB
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed
Notes, Series 2018-1, Class B4-IOC
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed
Notes, Series 2018-1, Class B-5
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed
Notes, Series 2018-1, Class B-5A
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed
Notes, Series 2018-1, Class B-5B
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed
Notes, Series 2018-1, Class B-5C
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed
Notes, Series 2018-1, Class B-5D
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed
Notes, Series 2018-1, Class B5-IOA
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed
Notes, Series 2018-1, Class B5-IOB
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed
Notes, Series 2018-1, Class B5-IOC
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed
Notes, Series 2018-1, Class B5-IOD
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed
Notes, Series 2018-1, Class B-7
-- Credit Suisse First Boston Mortgage Securities Corp., CSMC
Series 2009-6R, CSMC Series 2009-6R, Class 1-A4
-- Credit Suisse First Boston Mortgage Securities Corp., CSMC
Series 2009-6R, CSMC Series 2009-6R, Class 1-A5
-- Bayview Opportunity Master Fund IVa Trust 2017-RT1,
Mortgage-Backed Securities, Series 2017-RT1, Class B2
-- Bayview Opportunity Master Fund IVa Trust 2017-RT1,
Mortgage-Backed Securities, Series 2017-RT1, Class B4
-- Mill City Mortgage Loan Trust 2017-1, Mortgage-Backed
Securities, Series 2017-1, Class M3
-- Mill City Mortgage Loan Trust 2017-1, Mortgage-Backed
Securities, Series 2017-1, Class B2
The Affected Ratings are Available at https://bit.ly/397IJNf
[*] DBRS Takes Rating Actions on 942 Classes From 60 CMBS Deals
---------------------------------------------------------------
DBRS, Inc. conducted its surveillance review of 942 classes from 60
commercial mortgage-backed security (CMBS) conduit transactions
from 2016, 2017, and 2018 vintages. Of the 942 classes reviewed,
DBRS Morningstar discontinued eight classes due to full repayment
and confirmed the remaining classes with Stable trends.
The Affected Ratings are Available at https://bit.ly/370WNXm
The rating confirmations reflect the transactions' overall
performance, which has generally remained in line with DBRS
Morningstar's expectations since issuance. In addition, asset
performance and credit-support levels are consistent with the
current ratings.
DBRS Morningstar notes that 11 classes in five deals include
material deviations, defined as three or more notches from the DBRS
Morningstar CMBS Insight Model. These material deviations are
warranted, given that the sustainability of loan performance trends
has not yet been demonstrated.
Classes that are interest-only (IO) certificates reference a single
rated tranche or multiple rated tranches. The IO rating mirrors the
lowest-rated applicable reference obligation tranche adjusted
upward by one notch if senior in the waterfall.
[*] Fitch Takes Action on 38 Tranches From 5 CRE CDOs Deals
-----------------------------------------------------------
Fitch Ratings has upgraded two and affirmed 36 classes from five
commercial real estate collateralized debt obligations (CRE CDOs)
with exposure to commercial mortgage-backed securities (CMBS).
Ansonia CDO 2006-1 Ltd. / LLC
- Class A-FL 036510AA3; LT CCsf Upgrade
- Class A-FX 036510AB1; LT CCsf Upgrade
- Class B 036510AC9; LT Dsf Affirmed
- Class C 036510AD7; LT Dsf Affirmed
- Class D 036510AE5; LT Dsf Affirmed
- Class E 036510AF2; LT Dsf Affirmed
- Class F 036510AG0; LT Dsf Affirmed
- Class G 036510AH8; LT Dsf Affirmed
- Class H 036510AJ4; LT Csf Affirmed
- Class J 036510AK1; LT Csf Affirmed
- Class K 036510AL9; LT Csf Affirmed
- Class L 036510AM7; LT Csf Affirmed
- Class M 036510AN5; LT Csf Affirmed
- Class N 036510AP0; LT Csf Affirmed
- Class O 036510AQ8; LT Csf Affirmed
- Class P 036510AR6; LT Csf Affirmed
- Class Q 036510AS4; LT Csf Affirmed
- Class S 036510AT2; LT Csf Affirmed
- Class T 036510AU9; LT Csf Affirmed
ARCap 2003-1 Resecuritization, Inc.
- Class E 039280AE2; LT Csf Affirmed
- Class F 039280AF9; LT Csf Affirmed
- Class G 039280AG7; LT Csf Affirmed
- Class H 039280AH5; LT Csf Affirmed
- Class J 039280AJ1; LT Csf Affirmed
- Class K 039280AK8; LT Csf Affirmed
Anthracite 2004-HY1 Ltd. / Corp.
- Class D 03702YAD2; LT Csf Affirmed
- Class E 03702YAE0; LT Csf Affirmed
- Class F 03702YAF7; LT Csf Affirmed
Anthracite CDO III Ltd. / Corp.
- Class E-FL 03702WAE4; LT Dsf Affirmed
- Class E-FX 03702WAL8; LT Dsf Affirmed
- Class F 03702WAF1; LT Csf Affirmed
- Class G 03702WAG9; LT Csf Affirmed
- Class H 03702TAA9; LT Csf Affirmed
Crest 2004-1, Ltd./Corp.
- Class G-1 Notes 22608WAQ2; LT Dsf Affirmed
- Class G-2 Notes 22608WAR0; LT Dsf Affirmed
- Class H-1 Notes 22608WAS8; LT Csf Affirmed
- Class H-2 Notes 22608WAT6; LT Csf Affirmed
- Preferred Shares 22608X206; LT Csf Affirmed
KEY RATING DRIVERS
This review was conducted under the framework described in Fitch's
"Global Structured Finance Rating Criteria" and "Structured Finance
CDOs Surveillance Rating Criteria." None of the reviewed
transactions were analyzed within a cash flow model framework due
to the concentrated nature of these CDOs. Fitch also determined the
impact of any structural features to be minimal in the context of
these outstanding CDO ratings or where the hedge has expired. A
look-through analysis of the remaining underlying bonds was
performed to determine the collateral coverage of the remaining
liabilities.
Fitch has upgraded the class A-FL and A-FX notes in Ansonia CDO
2006-1 to 'CCsf' from 'Csf' due to the improving performance of the
underlying collateral. Since last rating action, the Eastdale Mall,
previously held by WBCMT 2004-C12 pool, was disposed. The disposal
reduced the class M through P certificates to zero and the class L
certificates incurred losses of approximately $977,000. The
majority of the remaining collateral held by WBCMT 2004-C12 is
fully amortizing with maturities in 2024 and 2026. Since the last
rating action, the CDO received $20.7 million in paydowns and
experienced $14.9 million in losses.
Fitch has affirmed 26 classes at 'Csf' as default is considered
inevitable due to their undercollateralization or the reliance on
collateral with credit characteristics consistent with a 'Csf'
rating.
Fitch has affirmed 10 classes at 'Dsf' because they are
non-deferrable classes that have experienced interest payment
shortfalls or the class has experienced principal writedowns.
RATING SENSITIVITIES
While unlikely, upgrades are possible with continued deleveraging
of the capital structure and/or positive migration of the
underlying bond ratings.
Classes already rated 'Csf' have limited sensitivity to further
negative migration given their highly distressed rating level.
However, there is potential for classes to be downgraded to 'Dsf'
if they are non-deferrable classes that experience any interest
payment shortfalls, if they are classes that experience principal
writedowns or should an Event of Default as set forth in the
transaction documents occur.
[*] Fitch Takes Action on Distressed Bonds From 4 US CMBS Deals
---------------------------------------------------------------
Fitch Ratings, on Feb. 5, 2020, took various actions on already
distressed bonds in four U.S. commercial mortgage-backed securities
transactions.
GMAC Commercial Mortgage Securities, Inc. 2004-C3
- Class F 361849K92; LT Dsf Affirmed; previously at Dsf
- Class F 361849K92; LT WDsf Withdrawn; previously at Dsf
- Class G 361849L26; LT Dsf Affirmed; previously at Dsf
- Class G 361849L26; LT WDsf Withdrawn; previously at Dsf
- Class H 361849L34; LT Dsf Affirmed; previously at Dsf
- Class H 361849L34; LT WDsf Withdrawn; previously at Dsf
- Class J 361849L42; LT Dsf Affirmed; previously at Dsf
- Class J 361849L42; LT WDsf Withdrawn; previously at Dsf
- Class K 361849L59; LT Dsf Affirmed; previously at Dsf
- Class K 361849L59; LT WDsf Withdrawn; previously at Dsf
- Class L 361849L67; LT Dsf Affirmed; previously at Dsf
- Class L 361849L67; LT WDsf Withdrawn; previously at Dsf
- Class M 361849L75; LT Dsf Affirmed; previously at Dsf
- Class M 361849L75; LT WDsf Withdrawn; previously at Dsf
- Class N 361849L83; LT Dsf Affirmed; previously at Dsf
- Class N 361849L83; LT WDsf Withdrawn; previously at Dsf
- Class O 361849L91; LT Dsf Affirmed; previously at Dsf
- Class O 361849L91; LT WDsf Withdrawn; previously at Dsf
GE Commercial Mortgage Corporation 2005-C1
- Class D 36828QKX3; LT Dsf Downgrade; previously at Csf
- Class E 36828QKY1; LT Dsf Downgrade; previously at Csf
- Class F 36828QLA2; LT Dsf Downgrade; previously at Csf
- Class G 36828QLB0; LT Dsf Downgrade; previously at Csf
Greenwich Capital Commercial Funding Corp. 2004-GG1
- Class H 396789GA1; LT Dsf Downgrade; previously at Csf
- Class H 396789GA1; LT WDsf Withdrawn; previously at Csf
- Class J 396789GB9; LT Dsf Downgrade; previously at Csf
- Class J 396789GB9; LT WDsf Withdrawn; previously at Csf
- Class K 396789GC7; LT Dsf Downgrade; previously at Csf
- Class K 396789GC7; LT WDsf Withdrawn; previously at Csf
- Class L 396789GD5; LT Dsf Affirmed; previously at Dsf
- Class L 396789GD5; LT WDsf Withdrawn; previously at Dsf
- Class M 396789GE3; LT Dsf Affirmed; previously at Dsf
- Class M 396789GE3; LT WDsf Withdrawn; previously at Dsf
- Class N 396789GF0; LT Dsf Affirmed; previously at Dsf
- Class N 396789GF0; LT WDsf Withdrawn; previously at Dsf
- Class O 396789GG8; LT Dsf Affirmed; previously at Dsf
- Class O 396789GG8; LT WDsf Withdrawn; previously at Dsf
Merrill Lynch Mortgage Trust 2006-C1
- Class B 59023BAJ3; LT Dsf Downgrade; previously at Csf
Fitch has withdrawn the ratings on 16 classes in two transactions.
The trust balances of both deals have been reduced to zero. The
bonds in GCCFC 2004-GG1 were repaid as the only remaining loan was
disposed. The bonds in GMACC 2004-C3 were called by the servicer as
part of a clean up call.
KEY RATING DRIVERS
Eight bonds in three transactions have been downgraded to 'Dsf', as
the bonds have incurred a loss. All eight were previously rated
'Csf', which indicated default was imminent.
Fitch has affirmed 13 classes in two transactions at 'Dsf' as a
result of previously incurred realized losses. The ratings on all
of these classes across both deals have also been withdrawn. Their
trust balances have been reduced to zero. There is no remaining
collateral in those deals.
RATING SENSITIVITIES
The downgrades are limited to the bonds that have incurred losses.
Any remaining bonds in the transaction have not been analyzed as
part of this review. No further rating changes are expected as
these bonds have incurred principal realized losses. While the
bonds that have defaulted are not expected to recover any material
amount of lost principal in the future, there is a limited
possibility this may happen. In this unlikely scenario, Fitch would
further review the affected classes.
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
All of the transactions consist of only defaulted bonds, rated
'Dsf', and, as such, ESG scores are not considered.
[*] S&P Takes Various Actions on 110 Classes From 20 US RMBS Deals
------------------------------------------------------------------
S&P Global Ratings completed its review of 110 classes from 20 U.S.
RMBS transactions issued between 2003 and 2007. All of these
transactions are backed by prime jumbo, Alternative-A, subprime,
re-performing, Federal Housing Administration/Veterans Affairs,
HELOC, and negative-amortization collateral. The review yielded
three upgrades, 15 downgrades, 91 affirmations, and one
withdrawal.
Each of the transactions within this review had at least one class
that was placed under criteria observation (UCO) on Oct. 18, 2019,
following the publication of "Methodology To Derive Stressed
Interest Rates In Structured Finance", published Oct. 18, 2019. The
rating actions resolve the UCO placements based on the application
of S&P's updated stressed interest rate assumptions and incorporate
any performance changes since last review.
ANALYTICAL CONSIDERATIONS
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations may include:
-- Collateral performance and/or delinquency trends;
-- Historical missed interest payments;
-- Available subordination and/or overcollateralization;
-- Erosion of or increases in credit support;
-- Loan modifications; and
-- An expected short duration.
RATING ACTIONS
"The rating changes reflect our opinion regarding the associated
transaction-specific collateral performance and/or structural
characteristics, and reflect the application of specific criteria
applicable to these classes," S&P said.
"The rating affirmations reflect our opinion that our projected
credit support and collateral performance on these classes has
remained relatively consistent with our prior projections," the
rating agency said.
S&P lowered its rating on 2003-CB3 Trust's class M-1 to 'B+ (sf)'
from 'BB+ (sf)' due to ultimate interest repayments being unlikely
at the previous rating level, based on the rating agency's
assessment of missed interest payments. The lowered rating was
derived by applying S&P's interest shortfall criteria, which impose
a maximum rating threshold on classes that have incurred missed
interest payments resulting from credit or liquidity erosion. In
applying the criteria, S&P looked to see if the applicable class
received additional compensation beyond the imputed interest due as
direct economic compensation for the delay in interest payment,
which this class has. Additionally, this class has delayed
reimbursement provisions. As such, S&P used its projections in
determining the likelihood that the shortfalls would be reimbursed
under various scenarios.
A list of Affected Ratings can be viewed at:
https://bit.ly/2Uqcc0W
[*] S&P Takes Various Actions on 158 Classes From 28 US RMBS Deals
------------------------------------------------------------------
S&P Global Ratings completed its review of 158 classes from 28 U.S.
RMBS transactions issued between 2002 and 2007. The review yielded
11 upgrades, 12 downgrades, 123 affirmations, and 12 withdrawals.
Additionally, 71 ratings from the 28 transactions in this review
were placed under criteria observation (UCO) on Oct. 18, 2019,
following the publication of "Methodology To Derive Stressed
Interest Rates In Structured Finance." The rating actions resolve
the UCO placements based on the application of its updated stressed
interest rate assumptions and incorporate any performance changes
since last review.
ANALYTICAL CONSIDERATIONS
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes.
Some of these considerations may include:
-- Collateral performance or delinquency trends,
-- Available subordination and/or overcollateralization,
-- Erosion of or increases in credit support, and Small loan
count.
RATING ACTIONS
S&P said, "The rating changes reflect our view of the associated
transaction-specific collateral performance and/or structural
characteristics, as well as the application of specific criteria
applicable to these classes. See the ratings list below for the
specific rationales associated with the classes with rating
transitions.
The affirmations reflect S&P's view that its projected credit
support and collateral performance on these classes have remained
relatively consistent with its prior projections.
S&P withdrew its ratings on 12 classes from four transactions due
to the small number of loans remaining in the structure. Once a
pool has declined to a de minimis amount, the rating agency
believes there is a high degree of credit instability that is
incompatible with any rating level.
S&P affirmed its ratings on two interest-only (IO) and
principal-only (PO) component classes. The rating affirmation on
class X from WaMu Mortgage Pass-Through Certificates Series
2005-AR2 Trust, reflects S&P's assessment of the PO and IO
components of the class and related structure. However, for the
rating affirmation on class X from WaMu Mortgage Pass-Through
Certificates Series 2005-AR1 Trust, given that its PO component is
zero and was no longer able to accrete a principal balance after
April 15, 2010, S&P only applied its IO criteria, which resulted in
an affirmation.
A list of Affected Ratings can be viewed at:
https://bit.ly/2uXFqcK
[] DBRS Takes Rating Actions on 457 Classes From 37 US RMBS Deals
-----------------------------------------------------------------
DBRS, Inc. took rating actions on 457 classes from 37 U.S.
residential mortgage-backed security (RMBS) transactions. Of the
457 classes reviewed, DBRS Morningstar upgraded 23 ratings,
confirmed 355 ratings, downgraded 30 ratings, and discontinued 49
ratings.
The Affected Ratings are Available at https://bit.ly/31qZJeH
The rating upgrades reflect positive performance trends and
increases in credit support sufficient to withstand stresses at
their new rating levels. The rating confirmations reflect asset
performance and credit-support levels that are consistent with the
current ratings. The rating downgrades reflect the unlikely
recovery of the bonds' principal loss amount or the transactions'
negative trend in loss activity. The discontinued ratings reflect
the transactions exercising their cleanup call option or the full
repayment of principal to bondholders.
The rating actions are a result of DBRS Morningstar's application
of the "U.S. RMBS Surveillance Methodology" published in September
2018.
The pools backing these RMBS transactions consist of pre-crisis
prime, Alt-A, subprime, and post-crisis prime collateral.
The ratings assigned to the securities below differ from the
ratings implied by the quantitative model. DBRS Morningstar
considers this difference to be a material deviation, but in this
case, the ratings of the subject notes reflect additional seasoning
warranted to substantiate a further upgrade and deal or tranche
performance that is not fully reflected in the projected model
output:
-- Accredited Mortgage Loan Trust 2004-4, Asset-Backed Notes,
Series 2004-4, Class A-2D
-- Accredited Mortgage Loan Trust 2004-4, Asset-Backed Notes,
Series 2004-4, Class A-2C
-- Accredited Mortgage Loan Trust 2004-4, Asset-Backed Notes,
Series 2004-4, Class M-3
-- Accredited Mortgage Loan Trust 2004-4, Asset-Backed Notes,
Series 2004-4, Class M-4
-- Accredited Mortgage Loan Trust 2005-1, Asset-Backed Notes,
Series 2005-1, Class M-2
-- Accredited Mortgage Loan Trust 2005-1, Asset-Backed Notes,
Series 2005-1, Class M-3
-- Accredited Mortgage Loan Trust 2005-1, Asset-Backed Notes,
Series 2005-1, Class M-4
-- Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes,
Series 2005-2, Class M-4
-- Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes,
Series 2005-2, Class M-5
-- Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes,
Series 2005-2, Class M-6
-- Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes,
Series 2005-2, Class M-7
-- Accredited Mortgage Loan Trust 2005-3, Asset-Backed Notes,
Series 2005-3, Class M-3
-- Accredited Mortgage Loan Trust 2005-3, Asset-Backed Notes,
Series 2005-3, Class M-4
-- Accredited Mortgage Loan Trust 2005-3, Asset-Backed Notes,
Series 2005-3, Class M-5
-- ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE1,
Asset-Backed Pass-Through Certificates, Series 2005-HE1, Class M-5
-- Ameriquest Mortgage Securities Inc. Series 2004-R8,
Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M-1
-- Ameriquest Mortgage Securities Inc. Series 2004-R8,
Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M-2
-- Ameriquest Mortgage Securities Inc. Series 2004-R8,
Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M-3
-- Ameriquest Mortgage Securities Inc. Series 2004-R8,
Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M-4
-- Ameriquest Mortgage Securities Inc. Series 2004-R9,
Asset-Backed Pass-Through Certificates, Series 2004-R9, Class M-3
-- Ameriquest Mortgage Securities Inc. Series 2004-R9,
Asset-Backed Pass-Through Certificates, Series 2004-R9, Class M-4
-- Ameriquest Mortgage Securities Inc. Series 2004-R11,
Asset-Backed Pass-Through Certificates, Series 2004-R11, Class M-1
-- Ameriquest Mortgage Securities Inc. Series 2004-R11,
Asset-Backed Pass-Through Certificates, Series 2004-R11, Class M-2
-- Ameriquest Mortgage Securities Inc. Series 2004-R11,
Asset-Backed Pass-Through Certificates, Series 2004-R11, Class M-3
-- Ameriquest Mortgage Securities Inc. Series 2004-R11,
Asset-Backed Pass-Through Certificates, Series 2004-R11, Class M-4
-- Ameriquest Mortgage Securities Inc. Series 2004-R11,
Asset-Backed Pass-Through Certificates, Series 2004-R11, Class M-5
-- Ameriquest Mortgage Securities Inc. Series 2004-R11,
Asset-Backed Pass-Through Certificates, Series 2004-R11, Class M-6
-- Ameriquest Mortgage Securities Inc., Series 2005-R2,
Asset-Backed Pass-Through Certificate, Series 2005-R2, Class M-4
-- Ameriquest Mortgage Securities Inc., Series 2005-R2,
Asset-Backed Pass-Through Certificate, Series 2005-R2, Class M-5
-- C-BASS 2005-CB3 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2005-CB3, Class M-3
-- C-BASS 2005-CB3 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2005-CB3, Class M-4
-- C-BASS 2005-CB3 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2005-CB3, Class B-1
-- C-BASS 2005-CB3 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2005-CB3, Class B-2
-- CWABS Asset-Backed Certificates Trust 2004-12, Asset-Backed
Certificates, Series 2004-12, Class MF-1
-- CWABS Asset-Backed Certificates Trust 2004-12, Asset-Backed
Certificates, Series 2004-12, Class MF-2
-- CWABS Asset-Backed Certificates Trust 2004-12, Asset-Backed
Certificates, Series 2004-12, Class MF-3
-- CWABS Asset-Backed Certificates Trust 2004-12, Asset-Backed
Certificates, Series 2004-12, Class MV-5
-- CWABS Asset-Backed Certificates Trust 2004-BC5, Asset-Backed
Certificates, Series 2004-BC5, Class M-5
-- CWABS Asset-Backed Certificates Trust 2004-BC5, Asset-Backed
Certificates, Series 2004-BC5, Class M-6
-- CWABS Asset-Backed Certificates Trust 2004-BC5, Asset-Backed
Certificates, Series 2004-BC5, Class M-7
-- Encore Credit Receivables Trust 2005-4, Asset-Backed
Pass-Through Certificates, Series 2005-4, Class M-3
-- Encore Credit Receivables Trust 2005-4, Asset-Backed
Pass-Through Certificates, Series 2005-4, Class M-4
-- Encore Credit Receivables Trust 2005-4, Asset-Backed
Pass-Through Certificates, Series 2005-4, Class M-5
-- First Franklin Mortgage Loan Trust, Series 2004-FF10,
Asset-Backed Certificates, Series 2004-FF10, Class M-1
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 1-A-1
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 2-A-1
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 3-A-1
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 3-A-4
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 3-A-5
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 4-A-1
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 4-A-2
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 5-A-1
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 5-A-3
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 6-A-2
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 6-A-3
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 6-A-5
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 6-A-6
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 6-A-7
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 11-A-2
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 11-A-3
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 11-A-4
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class III-B-3
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class III-B-4
-- Long Beach Mortgage Loan Trust 2005-3, Asset-Backed
Certificates, Series 2005-3, Class I-A
-- Morgan Stanley ABS Capital I Inc. Trust 2005-WMC2, Mortgage
Pass-Through Certificates, Series 2005-WMC2, Class M-3
-- Morgan Stanley ABS Capital I Inc. Trust 2005-WMC2, Mortgage
Pass-Through Certificates, Series 2005-WMC2, Class M-4
-- Morgan Stanley ABS Capital I Inc. Trust 2005-WMC3, Mortgage
Pass-Through Certificates, Series 2005-WMC3, Class M-4
-- Morgan Stanley ABS Capital I Inc. Trust 2005-WMC3, Mortgage
Pass-Through Certificates, Series 2005-WMC3, Class M-5
-- Morgan Stanley ABS Capital I Inc. Trust 2005-WMC5, Mortgage
Pass-Through Certificates, Series 2005-WMC5, Class M-5
-- Morgan Stanley ABS Capital I Inc. Trust 2005-WMC5, Mortgage
Pass-Through Certificates, Series 2005-WMC5, Class M-6
-- Morgan Stanley Home Equity Loan Trust 2005-2, Mortgage
Pass-Through Certificates, Series 2005-2, Class M-5
-- Nomura Asset Acceptance Corporation, Alternative Loan Trust,
Series 2005-AR3, Mortgage Pass-Through Certificates, Series
2005-AR3, Class III-A-1
-- Nomura Asset Acceptance Corporation, Alternative Loan Trust,
Series 2005-AR3, Mortgage Pass-Through Certificates, Series
2005-AR3, Class III-A-2
-- New Century Home Equity Loan Trust 2005-1, Asset-Backed Notes,
Series 2005-1, Class M-1
-- New Century Home Equity Loan Trust 2005-1, Asset-Backed Notes,
Series 2005-1, Class M-2
-- New Century Home Equity Loan Trust 2005-1, Asset-Backed Notes,
Series 2005-1, Class M-3
-- New Century Home Equity Loan Trust 2005-1, Asset-Backed Notes,
Series 2005-1, Class M-4
-- New Century Home Equity Loan Trust 2005-2, Asset-Backed Notes,
Series 2005-2, Class M-3
-- New Century Home Equity Loan Trust 2005-2, Asset-Backed Notes,
Series 2005-2, Class M-4
-- New Century Home Equity Loan Trust 2005-2, Asset-Backed Notes,
Series 2005-2, Class M-5
-- New Century Home Equity Loan Trust 2005-3, Asset-Backed Notes,
Series 2005-3, Class M-4
-- New Century Home Equity Loan Trust 2005-3, Asset-Backed Notes,
Series 2005-3, Class M-5
-- New Century Home Equity Loan Trust 2005-3, Asset-Backed Notes,
Series 2005-3, Class M-6
-- New Century Home Equity Loan Trust 2005-4, Asset-Backed Notes,
Series 2005-4, Class M-2
-- New Century Home Equity Loan Trust 2005-4, Asset-Backed Notes,
Series 2005-4, Class M-3
-- New Century Home Equity Loan Trust 2005-4, Asset-Backed Notes,
Series 2005-4, Class M-4
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series
2005-HE1, Asset-Backed Certificates, Series 2005-HE1, Class M-4
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series
2005-HE1, Asset-Backed Certificates, Series 2005-HE1, Class M-5
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series
2006-WF1, Home Equity Loan Trust Asset-Backed Certificates, Series
2006-WF1, Class M-1
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series
2006-WF1, Home Equity Loan Trust Asset-Backed Certificates, Series
2006-WF1, Class M-2
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series
2006-WF1, Home Equity Loan Trust Asset-Backed Certificates, Series
2006-WF1, Class M-3
-- Park Place Securities Inc., Series 2005-WHQ1, Asset-Backed
Pass-Through Certificates, Series 2005-WHQ1, Class M-4
-- Park Place Securities Inc., Series 2005-WHQ1, Asset-Backed
Pass-Through Certificates, Series 2005-WHQ1, Class M-5
-- Park Place Securities Inc., Series 2005-WHQ1, Asset-Backed
Pass-Through Certificates, Series 2005-WHQ1, Class M-6
-- CSMC Trust 2014-WIN2, Mortgage Pass-Through Certificates,
Series 2014-WIN2, Class B-4
-- J.P. Morgan Mortgage Trust 2019-LTV1, Mortgage Pass-Through
Certificates, Series 2019-LTV1, Class B-2
-- J.P. Morgan Mortgage Trust 2019-LTV1, Mortgage Pass-Through
Certificates, Series 2019-LTV1, Class B-3
-- J.P. Morgan Mortgage Trust 2019-LTV1, Mortgage Pass-Through
Certificates, Series 2019-LTV1, Class B-4
-- J.P. Morgan Mortgage Trust 2019-LTV1, Mortgage Pass-Through
Certificates, Series 2019-LTV1, Class B-5
-- Wells Fargo Mortgage-Backed Securities 2019-1 Trust, Mortgage
Pass-Through Certificates, Series 2019-1, Class B-2
-- Wells Fargo Mortgage-Backed Securities 2019-1 Trust, Mortgage
Pass-Through Certificates, Series 2019-1, Class B-3
-- Wells Fargo Mortgage-Backed Securities 2019-1 Trust, Mortgage
Pass-Through Certificates, Series 2019-1, Class B-4
*********
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