/raid1/www/Hosts/bankrupt/TCR_Public/160214.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 14, 2016, Vol. 20, No. 45
Headlines
ASSET SECURITIZATION 1997-D5: Fitch Affirms D Rating on B-2 Certs
BAKER STREET II: Fitch Affirms 'Bsf' Rating on Class E Notes
BLADE ENGINE: Fitch Cuts Series B Debt Rating to 'Bsf'
CAPMARK VII-CRE: Fitch Raises Rating on Class D Notes to 'CCsf'
CREDIT SUISSE 2007-C5: Fitch Cuts Ratings on 2 Tranches to 'CCsf'
CSFB MORTGAGE 2005-C2: Moody's Lowers Cl. A-X Debt Rating to Caa3
CSMC 2007-2: Moody's Lowers Rating on 13 Classes to Caa3
JP MORGAN 2003-ML1: Fitch Lowers Rating on Class M Certs to 'Csf'
JP MORGAN 2004-C1: Fitch Raises Rating on Class N Certs to CCCsf
JP MORGAN 2004-CIBC8: Moody's Hikes Cl. H Debt Rating to B3(sf)
JP MORGAN 2004-LN2: Moody's Cuts Cl. X-1 Debt Rating to Caa2
JP MORGAN 2011-C3: Fitch Affirms 'BBsf' Rating on Cl. G Certs
KINGSLAND V: Moody's Lowers Rating on Class E Notes to B1
LB-UBS COMMERCIAL 2007-C7: Fitch Lowers Rating on 2 Tranches to Csd
MERRILL LYNCH 1997-C2: Fitch Affirms 'Dsf' Rating on Cl. H Certs
MORGAN STANLEY 2016-C28: Fitch to Rate Class E2 Certs 'BB-'
NANTUCKET CLO I: S&P Affirms 'B+' Rating on Class E Notes
NOB HILL: S&P Affirms B+ Rating on Class E Notes
RESOURCE REAL 2006-1: Fitch Raises Rating on Cl. H Debt to 'BBsf'
SDART 2016-1: Fitch to Rate $58.8-Mil. Class E Notes 'BBsf'
SOLARCITY LMC V: S&P Assigns Prelim. BB Rating on Class B Notes
UBS COMMERCIAL 2012-C1: Fitch Affirms 'Bsf' Rating on Cl. F Certs
WFRBS COMMERCIAL 2014-LC14: Fitch Affirms Bsf Rating on Cl. F Certs
[*] Fitch Lowers Ratings in 22 Bonds in 7 Transactions to Dsf
*********
ASSET SECURITIZATION 1997-D5: Fitch Affirms D Rating on B-2 Certs
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Fitch Ratings has upgraded one class and affirmed one class of
Asset Securitization Corporation's (ASC-1997-D5) commercial
mortgage pass-through certificates series 1997-D5.
KEY RATING DRIVERS
The upgrade of class B-1 is due to defeasance proceeds covering the
entirety of the class and continued paydown from fully amortizing
loans in the transaction. According to the servicer, all
litigation issues related to the transaction have closed.
As of the January 2016 distribution date, the pool's aggregate
principal balance has been reduced by 99% to $25.4 million from
$1.79 billion at issuance. There are 14 loans remaining out of the
original 155 loans from issuance.
Of the remaining loans, 13 are fully amortizing (98%) which
includes eight loans that are defeased (80.7%). Loan maturities
are primarily concentrated in 2017 (75.2%). There are no
delinquent or specially serviced loans.
RATING SENSITIVITIES
The Rating Outlook for class B-1 remains Stable based on defeasance
proceeds coupled with continued amortization of the pool.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch upgrades this class:
-- $18.4 million class B-1 to 'AAAsf' from 'Asf'; Outlook
Stable.
Fitch affirms this class:
-- $7 million class B-2 at 'Dsf'; RE 100%.
Fitch does not rate classes B-7, B-7H and A-8Z. Classes A-1A,
A-1B, A-1C, A-1D, A-1E, A-2, A-3, A-4, A-5, A-6, A-7, B-3SC and
interest only class A-CS1 have paid in full. Additionally, Fitch
has previously withdrawn the ratings on classes B-3, B-4, B-5 and
B-6 and interest only class PS-1.
BAKER STREET II: Fitch Affirms 'Bsf' Rating on Class E Notes
------------------------------------------------------------
Fitch Ratings has upgraded one and affirmed five classes of notes
issued by Baker Street CLO II Ltd./Corp.
KEY RATING DRIVERS
The upgrades and affirmations are based on the stable performance
of the underlying portfolio, combined with increasing levels of
credit enhancement (CE) available to the rated notes as a result of
the deleveraging of the capital structure. Since Fitch's last
review in February 2015, approximately $72 million of class A-1 and
A-2 (collectively, class A) notes have paid down from proceeds
received from principal amortization.
As of the January 2016 monthly report, the exposure to 'CCC' rated
collateral is approximately 4.7% and there are currently nine
defaulted assets in the portfolio totalling approximately $14.9
million in par. The Fitch weighted average rating factor has
decreased slightly to 'B+/B' from 'BB-/B+' as of the last review in
February 2015. The interest coverage tests and
overcollateralization tests are all passing as of the January 2016
monthly report.
Fitch's cash flow analysis of the current portfolio included a base
and sensitivity scenario. In the sensitivity scenario, default and
correlation assumptions were increased and recovery assumptions for
the underlying assets were lowered. Classes A-1, A-2, and B notes
are passing at their current rating level in the base and
sensitivity scenarios. Class C is passing at a higher rating level
in the base and sensitivity scenarios. Classes D and E pass higher
in the base case and in line with their current ratings in the
sensitivity scenario. Fitch is not upgrading the class B, D, or E
notes at this review to provide some cushion to withstand potential
deterioration in the credit quality of the portfolio.
The class B notes Outlook has been revised to Positive to signal
that it may be upgraded in the near term if the deal continues to
deleverage and portfolio does not experience significant negative
migration.
The Stable Outlook on the class A-1, A-2, C, D, and E notes of
Baker Street CLO II reflects the expectation that the notes have
sufficient levels of credit protection to withstand any potential
deterioration in the credit quality of the portfolio.
RATING SENSITIVITIES
The ratings of the notes may be sensitive to the following: asset
defaults, significant negative credit migration, lower than
historically observed recoveries for defaulted assets, or
overcollateralization or interest coverage test breaches.
This review was conducted under the framework described in the
report 'Global Rating Criteria for CLOs and Corporate CDOs' using
the Portfolio Credit Model (PCM) and Fitch's proprietary cash flow
model, which was customized to reflect the specific structural
features of Baker Street CLO II.
Baker Street CLO II is a cash flow collateralized loan obligation
(CLO) managed by Seix Investment Advisors (Seix), a wholly owned
subsidiary of Ridgeworth Capital Management, Inc. The transaction
has exited its reinvestment period in October 2012, but the manager
still has the ability to reinvest unscheduled principal proceeds
and proceeds from credit risk sales, pursuant to the satisfaction
of certain investment criteria. Among the criteria, such
reinvestment cannot cause the weighted average maturity of the
portfolio to be extended beyond the weighted average maturity of
the portfolio prior to such reinvestment, and the weighted average
life (WAL) of any purchased asset must be equal or less than the
WAL of the asset being replaced. The calculated WAL of the
performing portfolio is currently 1.9 years. Fitch expects
reinvestment activity to continue to decrease in the future, as the
WAL of the portfolio continues to decrease and investment options
become limited.
DUE DILIGENCE USAGE
No third party due diligence was reviewed in relation to this
rating action.
Fitch has affirmed these ratings:
-- $107,850,877 class A-1 notes at 'AAAsf', Outlook Stable;
-- $11,983,431 class A-2 notes at 'AAAsf', Outlook Stable;
-- $20,100,000 class B notes at 'AAsf', Outlook revised to
Positive from Stable;
-- $15,900,000 class D notes at 'BBsf', Outlook Stable;
-- $11,402,275 class E notes at 'Bsf', Outlook Stable.
Fitch has upgraded these ratings:
-- $21,000,000 class C notes to 'Asf' from 'BBBsf', Outlook
Stable.
Fitch does not rate the subordinated notes.
BLADE ENGINE: Fitch Cuts Series B Debt Rating to 'Bsf'
------------------------------------------------------
Fitch Ratings has affirmed and downgraded Blade Engine
Securitization LTD. as outlined below:
-- Series A-1 affirmed at 'BBBsf'; Outlook to Negative from
Stable;
-- Series A-2 affirmed at 'BBBsf'; Outlook to Negative from
Stable;
-- Series B downgraded to 'Bsf' from 'BBsf'; Outlook Negative;
-- Series E is not rated by Fitch.
KEY RATING DRIVERS
Fitch's affirmation of the series A notes reflect the recent stable
performance and the ability to pass certain stressed scenarios. The
Negative Outlook reflects the slowly increasing loan to value (LTV)
and the future lease cash flow potential of the engine portfolio.
The transaction is becoming increasingly dependent on a few engines
that support wide-body aircraft with a weakened demand profile.
The downgrade of the series B notes to 'Bsf' is the result of the
weakening asset quality. As a result, the class only received
principal following engines sales since August 2014, accelerating
the growth of the LTV. Additionally, the Junior Cash Account has
been continuously drawn upon in order to pay timely interest. The
class remains on Outlook Negative over concerns regarding the
ability of the engines to generate sufficient cash flow to
replenish the JCA and resume principal payments.
RATING SENSITIVITIES
Due to the correlation between global economic conditions and the
airline industry, the ratings may be impacted by the strength of
the macro-environment over the remaining term of the transaction.
Global economic scenarios that are inconsistent with Fitch's
expectations could lead to further negative rating actions. For
example, the occurrence of an extended global recession of
significantly greater severity than the last two experienced, and
the resulting strain on aircraft lease cash flow, could lead to a
downgrade of the notes.
Additionally, changes in the airline industry can have significant
impact on the ratings of this transaction. If the timing of or
degree of technological advancement in the commercial aviation
space differs materially from Fitch's expectations, a rating
movement may occur. Similarly, factors influencing the supply and
demand for the engines in the trust's portfolio could directly
impact Fitch's view of the transaction.
DUE DILIGENCE USAGE
No third-party due diligence was received in connection to this
review.
CAPMARK VII-CRE: Fitch Raises Rating on Class D Notes to 'CCsf'
---------------------------------------------------------------
Fitch Ratings has upgraded three classes and affirmed four of
Capmark VII-CRE, Ltd./Corp.
KEY RATING DRIVERS
The upgrades reflect increased credit enhancement to the classes
and better than expected recoveries on resolved loans, since the
last rating action. The CDO is extremely concentrated with only
two whole loans remaining. Fitch expects above-average recoveries
on the assets due to the senior debt position of the collateral and
quality of the assets and their markets.
Since Fitch's last rating action, class B has received additional
paydown of approximately $51.1 million from the full payoff of
three cross collateralized assets; the discounted payoff or sale of
three other assets; asset amortization; and interest diversion from
the failure of coverage tests. Realized losses since last review
total $22.5 million. The CDO is under-collateralized by $205
million.
Capmark VII is a commercial real estate (CRE) CDO managed by
CenterSquare Investment Management, a real estate investment
subsidiary of BNY Mellon Asset Management. As of the January 2016
trustee report, the transaction was failing two of its principal
coverage tests resulting in diverted interest to pay principal to
class B and capitalized interest to classes F through K.
Because the collateral pool is concentrated, Fitch assumed that
100% of the portfolio will default in the base case stress
scenario, defined as the 'B' stress. Modeled recoveries are above
average at 88% due to the senior debt position of the collateral.
The largest remaining loan in the pool (67.7% of the pool) is a
whole loan secured by a 105,000 square foot (sf) telecommunications
and office property located in San Francisco, CA. The majority of
the tenancy is composed of telecom-related tenants. As of December
2015, occupancy was reported at 77.7%, a decline from the December
2014 reported occupancy of 86%. There is minimal tenant roll
scheduled for 2016. Vacant space is expected to appeal to creative
office-space users. The largest tenant, which makes up
approximately 47% of the net rentable area (NRA), has staggered
lease maturities between April 2017 and October 2019. The loan has
a scheduled maturity of April 2016 with extension options through
2018; however, the lender is reportedly not contractually obligated
to exercise such options. The property is reportedly under contract
for sale by the sponsor. Fitch modeled a full recovery on this loan
in its base case scenario.
The other loan in the pool (32.3%) is a whole loan secured by five
office properties located in a Monterey, CA office complex. As of
the Dec. 31, 2015 rent roll, the portfolio was 76.3% occupied. The
portfolio is underperforming the market. Per Reis, at third
quarter 2015, the properties' Monterey office sub-market had a
vacancy rate of 14%. Fitch modeled a loss on this loan in its base
case scenario.
This transaction was analyzed according to the 'Surveillance
Criteria for U.S. CREL CDOs', which applies stresses to property
cash flows and debt service coverage ratio (DSCR) tests to project
future default levels for the underlying portfolio. Recoveries for
the loan assets are based on stressed cash flows and Fitch's
long-term capitalization rates. Cash flow modeling was not
performed, as no material impact from the analysis was anticipated.
Upgrades were limited due to the pool's extreme concentration.
RATING SENSITIVITIES
Future upgrades to classes B through D are expected to be limited
due to the transaction's concentration. Classes B through G are
subject to downgrade should loan performance decline and/or further
losses be realized. Classes E and below are significantly
under-collateralized and expected to ultimately default.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has upgraded these ratings:
-- $10.4 million class B to 'Bsf', from 'CCCsf'; Stable Outlook
assigned; RE 100%;
-- $30 million class C to 'CCCsf' from 'CCsf'; RE 100%;
-- $7.5 million class D to 'CCsf' from 'Csf'; RE 90%;
Fitch has affirmed these ratings:
-- $7.5 million class E at 'Csf'; RE 0%;
-- $35.7 million class F at 'Csf'; RE 0%;
-- $13.9 million class G at 'Csf'; RE 0%;
-- $11.3 million class H at 'Csf', RE 0%.
Classes A-1 and A-2 have paid in full. Fitch does not rate Classes
J, K, and Income Notes.
CREDIT SUISSE 2007-C5: Fitch Cuts Ratings on 2 Tranches to 'CCsf'
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Fitch Ratings, on Feb. 4, 2016, affirmed 17 and downgraded two
distressed classes of Credit Suisse Commercial Mortgage Trust,
series 2007-C5 commercial mortgage pass-through certificates.
KEY RATING DRIVERS
The affirmations of the most senior classes were due to sufficient
credit enhancement and expectation of future paydown. The
downgrades of classes A-M and A-1-AM, were due to the increased
certainty of losses. Reductions to the principal balances of the
class A-M and A-1AM certificates are made on a pro-rata basis, and
the Fitch modelled loss (17.7% of the remaining pool) exceeds the
credit support to the mezzanine-senior classes. Expected losses on
the original pool balance total 23%, including $366.1 million
(13.5% of the original pool balance) in realized losses to date.
Fitch has designated 42 loans (51% of the pool) as Fitch Loans of
Concern. This includes all 12 assets in special servicing (20.9%
of the pool), five of which are real-estate owned (REO).
As of the January 2016 distribution, the pool has experienced only
45.8% of collateral reduction since issuance, mostly as a result of
liquidations. Of the remaining 131 loans, 24 (45.5% of the pool)
are interest-only. Since the last rating action, seven loans have
been liquidated. There are no loans scheduled to mature in 2016;
however, 126 loans representing 98.5% of the pool are scheduled to
mature in 2017. Ten loans (4% of the pool) are fully defeased.
The largest contributor to expected losses is the TIAA Industrial
Portfolio (12.2% of the pool). It is the second largest loan and
has been on the servicer's watchlist since 2009. The loan is
secured by 11 industrial properties comprising 5.3 million square
feet (sf) located across nine states -- Kentucky, Tennessee,
Georgia, California, Utah, Delaware, Illinois, Arizona and Texas.
Approximately 58% of the total collateral is concentrated in the
two largest properties located in Hebron, KY and Memphis, TN. The
portfolio's performance has declined over the past several years
due to weak local economies causing increased tenant turnover and
vacancy. The loan began amortizing in August 2012, placing
additional stress on the debt service coverage. The current debt
equates to $33.90 psf.
The second largest contributor to expected loss is Gulf Coast Town
Center Phases I & II (13% of the pool). It is the largest loan in
the pool and is in special servicing. The collateral comprises
nearly one million sf of an open-air anchored retail center in Fort
Myers, FL. Anchor tenants include Bass Pro Shop, JC Penney, Belk,
and Regal Cinema. The loan was transferred to special servicing in
July 2013 for imminent default. Until August 2015, the loan had
remained current through the use of a lender-controlled lockbox.
The most recent appraisal is dated April 8, 2015 and indicates a
significant loss to the loan, which has not amortized since
issuance.
RATING SENSITIVITIES
The Outlook for class A-AB has been revised to Stable from Negative
given the class is likely to be repaid by YE2016. The Outlook for
classes A-4 and A-1-A remain Stable as Fitch's loss expectations
for the pool remain largely unchanged since the last rating action.
Upgrades, while unlikely, may be possible should a significant
number of loans refinance or resolve with better than expected
recoverability rates. Downgrades to the most junior classes would
be expected as losses are realized, and further downgrades to the
remaining classes are possible should realized losses or the rate
of new defaults exceed current projections.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has downgraded these classes and assigned Recovery Estimates
(RE) as indicated:
-- $198 million class A-M to 'CCsf' from 'CCCsf'; RE 50%;
-- $74.1 million class A-1-AM to 'CCsf' from 'CCCsf'; RE 50%.
Fitch affirms these classes as indicated:
-- $13.8 million class A-AB at 'AAAsf'; Outlook to Stable from
Negative;
-- $870.6 million class A-4 at 'Asf'; Outlook Stable;
-- $140.8 class A-1-A at 'Asf'; Outlook Stable;
-- $129.6 million class A-J at 'Dsf'; RE 0%;
-- $48.5 million class A-1-AJ at 'Dsf'; RE 0%;
-- $0 class B at 'Dsf'; RE 0%;
-- $0 class C at 'Dsf'; RE 0%;
-- $0 class D at 'Dsf'; RE 0%;
-- $0 class E at 'Dsf'; RE 0%;
-- $0 class F at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%.
The class A-1, A-2 and A-3 certificates have paid in full. Fitch
does not rate the class O, P, Q and S certificates. Fitch
previously withdrew the ratings on the interest-only class A-SP and
A-X certificates.
CSFB MORTGAGE 2005-C2: Moody's Lowers Cl. A-X Debt Rating to Caa3
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three classes
and downgraded the rating on one class in CSFB Mortgage Securities
Corporation, Commercial Mortgage Pass-Through Certificates, Series
2005-C2 as:
Cl. A-MFL, Affirmed Ba1 (sf); previously on Jan. 30, 2015,
Upgraded to Ba1 (sf)
Cl. A-MFX, Affirmed Ba1 (sf); previously on Jan. 30, 2015,
Upgraded to Ba1 (sf)
Cl. A-J, Affirmed Ca (sf); previously on Jan. 30, 2015, Affirmed
Ca (sf)
Cl. A-X, Downgraded to Caa3 (sf); previously on Jan. 30, 2015,
Downgraded to Caa1 (sf)
RATINGS RATIONALE
The ratings on the three P&I classes (A-MFL, A-MFX and A-J) were
affirmed because the ratings are consistent with Moody's expected
loss.
The rating on the IO class was downgraded due to the decline in the
credit performance of its reference classes resulting from
principal paydowns of higher quality reference classes.
Moody's rating action reflects a base expected loss of 13.2% of the
current balance, compared to 8.3% at Moody's last review. Moody's
base expected loss plus realized losses is now 16.1% of the
original pooled balance, compared to 17.7% at Moody's last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in October 2015.
DESCRIPTION OF MODELS USED
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 2, compared to 12 at Moody's last review.
Moody's review used the excel-based Large Loan Model. The large
loan model derives credit enhancement levels based on an
aggregation of adjusted loan-level proceeds derived from Moody's
loan-level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure, property type and sponsorship.
Moody's also further adjusts these aggregated proceeds for any
pooling benefits associated with loan level diversity and other
concentrations and correlations.
DEAL PERFORMANCE
As of the Jan. 15, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 92% to $136.6
million from $1.61 billion at securitization. The certificates are
collateralized by ten mortgage loans ranging in size from less than
1% to 71% of the pool. One loan, constituting 2% of the pool, has
defeased and is secured by US government securities.
Two loans, constituting 2% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Twenty loans have been liquidated from the pool, resulting in an
aggregate realized loss of $240 million (for an average loss
severity of 80%). Seven loans, constituting 96% of the pool, are
currently in special servicing. The largest specially serviced
loan is the 390 Park Avenue Loan ($96.8 million -- 70.9% of the
pool), which is secured by a leasehold interest in a 21-story,
260,000 square foot (SF) Class A office building located in Midtown
Manhattan. The loan transferred to special servicing in December
2014 due to imminent monetary default in regards to the inability
to refinance regarding a rent re-set of the underlying ground
lease. The loan has passsed its original maturity date in March
2015. The loan is currently able to cover its debt service
payments with an actual NOI DSCR of 1.35X as of September 2014.
However, the ground lease contains a fair market value-based reset
provision in 2023 that may significantly increase the ground lease
payments. As of October 2015, the property was 96% leased.
The second largest specially serviced loan is the Southlake
Pavilion I & II Loan ($17.5 million -- 12.8% of the pool), which is
secured by 218,000 SF retail shopping center located south of
Atlanta in Morrow, Georgia. The property transferred to special
servicing in February 2014 due to imminent monetary default and
became real estate owned (REO) in September 2014. As of December
2015, the center was 74% leased. The special servicer indicated
they plan to lease up and stabilize the propety prior to listing it
for sale.
The third largest specially serviced loan is the Alexandria Power
Center Loan ($8.1 million -- 5.9% of the pool), which is secured by
a 313,600 SF retail property located in Alexandria, Louisiana. The
loan transferred to special servicing in February 2014 due to
imminent monetary default and became REO in September 2015. As of
December 2015, the property was 69% leased. The special servicer
indicated they are not marketing the property for sale at this time
and plan to continue to stabilize property.
The remaining four specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $18.1 million loss
for the specially serviced loans.
The two performing non-defeased loans represent 2.3% of the pool
balance. The largest performing loan is the Plymouth Industrial
Center Loan ($2.8 million -- 2.0% of the pool), which is secured by
a 484,600 SF industrial property located in Plymouth, Michigan. The
property is located 16 miles east of Ann Arbor and 26 miles west of
Detroit. As of September 2015, the property was 65% leased.
Moody's LTV and stressed DSCR are 36% and 2.83X, respectively,
compared to 35% and 2.96X at the last review. Moody's stressed DSCR
is based on Moody's NCF and a 9.25% stress rate the agency applied
to the loan balance.
The other performing loan is the Park Square Apartments Loan
($465,051 -- 0.3% of the pool), which is secured by a 38 unit
multifamily property in Detroit, Michigan. As of September 2015,
the property was 79% leased. Moody's LTV and stressed DSCR are 85%
and 1.21X, respectively, compared to 63% and 1.62X at the last
review.
CSMC 2007-2: Moody's Lowers Rating on 13 Classes to Caa3
--------------------------------------------------------
Moody's Investors Service has upgraded the ratings of six tranches
from three transactions and downgraded the ratings of 13 tranches
from one transaction, backed by Alt-A and Option ARM loans, issued
by multiple issuers.
Complete rating actions are:
Issuer: CSMC Mortgage-Backed Trust Series 2007-2
Cl. 1-A-1, Downgraded to Caa3 (sf); previously on March 11,
2015, Downgraded to Caa2 (sf)
Cl. 1-A-2, Downgraded to Caa3 (sf); previously on March 11,
2015, Downgraded to Caa2 (sf)
Cl. 1-A-4, Downgraded to Caa3 (sf); previously on April 10,
2013, Affirmed Caa2 (sf)
Cl. 1-A-5, Downgraded to Caa3 (sf); previously on April 10,
2013, Affirmed Caa2 (sf)
Cl. 1-A-6, Downgraded to Caa3 (sf); previously on April 10,
2013, Affirmed Caa2 (sf)
Cl. 1-A-9, Downgraded to Caa3 (sf); previously on April 10,
2013, Downgraded to Caa2 (sf)
Cl. 1-A-10, Downgraded to Caa3 (sf); previously on April 10,
2013, Downgraded to Caa2 (sf)
Cl. 1-A-12, Downgraded to Caa3 (sf); previously on April 10,
2013, Affirmed Caa2 (sf)
Cl. 1-A-13, Downgraded to Caa3 (sf); previously on April 10,
2013, Downgraded to Caa2 (sf)
Cl. 1-A-14, Downgraded to Caa3 (sf); previously on April 10,
2013, Downgraded to Caa2 (sf)
Cl. 1-A-15, Downgraded to Caa3 (sf); previously on April 10,
2013, Downgraded to Caa2 (sf)
Cl. 1-A-16, Downgraded to Caa3 (sf); previously on April 10,
2013, Affirmed Caa2 (sf)
Cl. 1-A-17, Downgraded to Caa3 (sf); previously on April 10,
2013, Affirmed Caa2 (sf)
Issuer: HarborView Mortgage Loan Trust 2007-7
Cl. 2A-1A, Upgraded to Ba2 (sf); previously on March 11, 2015,
Upgraded to B2 (sf)
Issuer: MASTR Adjustable Rate Mortgages Trust 2007-HF2
Cl. A-1, Upgraded to B1 (sf); previously on June 5, 2014,
Upgraded to Caa1 (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-16XS
Cl. A-1, Upgraded to A1 (sf); previously on March 11, 2015,
Upgraded to Baa1 (sf)
Cl. A-2A, Upgraded to A3 (sf); previously on March 11, 2015,
Upgraded to Baa3 (sf)
Cl. A-2B, Upgraded to A3 (sf); previously on March 11, 2015,
Upgraded to Baa3 (sf)
Cl. A-3, Upgraded to Baa2 (sf); previously on March 11, 2015,
Upgraded to Ba2 (sf)
RATINGS RATIONALE
The ratings upgraded are a result of the improving performance of
the related pools and an increase in credit enhancement available
to the bonds. The ratings downgraded are a result of the declining
performance of the related pools and/or a decrease in credit
enhancement available to the bonds. The rating actions reflect the
recent performance of the underlying pools and Moody's updated loss
expectation on the pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
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 5.0% in December 2015 from 5.6% in
December 2014. Moody's forecasts an unemployment central range of
4.5% to 5.5% for the 2016 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 2016. 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.
JP MORGAN 2003-ML1: Fitch Lowers Rating on Class M Certs to 'Csf'
-----------------------------------------------------------------
Fitch Ratings has upgraded two, affirmed three, and downgraded one
class of J.P. Morgan Chase Commercial Mortgage Securities Corp.
(JPMCC) commercial mortgage pass-through certificates series
2003-ML1.
KEY RATING DRIVERS
The upgrades to class H and class J are the result of increased
credit enhancement (CE) due to a greater number of defeased loans
(34% of the current balance), as well as continued amortization
since prior review. The affirmations for classes K and L are based
on sufficient CE given the high concentration with only 13 assets
remaining, two of which (40%) are specially serviced and real
estate owned (REO). The performance of non-specially serviced
loans in the pool has been stable.
The downgrade for class N is the result of higher certainty of
realized losses for the two specially serviced assets. Fitch
modeled losses of 26.9% of the remaining pool; expected losses on
the original pool balance total 2.7%, including $14.7 million (1.6%
of the original pool balance) in realized losses to date.
As of the January 2016 distribution date, the pool's aggregate
principal balance has been reduced by 95.8% to $38.7 million from
$929.8 million at issuance. Per the servicer reporting, five loans
totaling $13.1 million (34% of the pool) are defeased. Interest
shortfalls are currently affecting classes N through NR.
The largest contributor to modeled losses is the REO High Ridge
Center (26.8%), a 260,664 square foot (sf) shopping center located
in Racine, WI. The loan transferred to the special servicer in
December 2012 when the borrower requested a modification to the
loan terms citing cash flow issues. Following the foreclosure
process, the trust took title to the property in February 2015. The
property manager continues to attempt to lease the vacant anchor
space once occupied by Office Max (10% net rentable area). The
servicer reported a net operating income (NOI) debt service
coverage ratio (DSCR) of 0.96x as of year-end (YE) 2014. As of the
September 2015 rent roll, occupancy at the property stood at 77%.
The second largest contributor to modeled losses is the REO
Crosspointe Plaza (13.2%), a 93,677 sf retail center located in
Naugatuck, CT. The borrower failed to make the balloon payment due
in January 2013 and the trust took title to the property in July
2014. As of March 2015, occupancy at the property was 40%. The
special servicer plans to backfill the anchor space, but details on
the timeframe for disposition are unknown.
RATING SENSITIVITIES
The Rating Outlooks on classes H, J and K remain Stable as credit
enhancement is high and downgrades are not expected. Additional
upgrades were not considered due to the high percentage of
specially serviced assets, unknown disposition timing, and lack of
significant upcoming paydown. The Rating Outlook on class L is
Negative as downgrades are possible if expected losses on the
specially serviced assets increase. Further downgrades to classes
M and N will occur when losses are realized.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch upgrades these classes as indicated:
-- $4.6 million class H to 'AAAsf' from 'AAsf'; Outlook Stable;
-- $10.5 million class J to 'AAAsf' from 'Asf'; Outlook Stable.
Fitch affirms these classes as indicated:
-- $5.8 million class K at 'BBBsf'; Outlook Stable;
-- $5.8 million class L at 'BBsf'; Outlook Negative;
-- $4.6 million class N at 'Csf'; RE 0%.
Fitch downgrades this class as indicated:
-- $7 million class M to 'Csf' from 'CCsf'; RE 30%.
The class A-1, A-2, B, C, D, E, F, G and X-2 certificates have paid
in full. Fitch does not rate the class NR certificates. Fitch
previously withdrew the rating on the interest-only class X-1
certificates.
JP MORGAN 2004-C1: Fitch Raises Rating on Class N Certs to CCCsf
----------------------------------------------------------------
Fitch Ratings has upgraded five and affirmed one class of J.P.
Morgan Chase Commercial Mortgage Securities Corp. 2004-C1 (JPMCC
2004-C1) commercial mortgage pass-through certificates.
KEY RATING DRIVERS
The upgrades are the result of increasing credit enhancement from
continued paydown and stable performance of the underlying
collateral in the remaining pool.
As of the January 2016 distribution date, the pool's aggregate
principal balance has been reduced by 97.5% to $25.8 million from
$1.04 billion at issuance. Since the last rating action, two
specially serviced loans have liquidated with better than expected
recoveries. There are 14 loans remaining in the pool, three of
which are defeased (18.9%) and six with fully amortizing terms
(30%).
Fitch modeled losses of 15.9% of the remaining pool; expected
losses on the original pool balance total 1.5%, including $11.7
million (1.1% of the original pool balance) in realized losses to
date. Fitch has designated four loans (33.5%) as Fitch Loans of
Concern, which includes two specially serviced assets (21.3%).
The largest contributor to expected losses is the Square Lake Park
Office Building (14.3%), a 40,563 square foot (sf) office complex
located in Bloomfield Hills, MI. The loan transferred to special
servicing in November 2013 due to maturity default. As per the
special servicer, the property was foreclosed upon in March 2014.
Since the property became REO, the largest tenant (50.7% of the net
rentable area) renewed their lease for an additional five years,
which improves the marketing profile of the asset. The property is
96% occupied as of January 2016. The special servicer has
indicated that they intend to bring the asset to market in the
first quarter of 2016.
The next largest contributor to expected losses is a 15,770 sf
office complex located in Lawrenceville, GA (7%). Foreclosure was
completed in August 2013. As per the special servicer, the
property was 79% occupied as of January 2016 with no new lease
prospects. The special servicer has indicated they are exploring
leasing possibilities and evaluating the asset to determine a sale
strategy.
RATING SENSITIVITIES
The Rating Outlooks on classes J through M are Stable due to
increasing credit enhancement and continued paydown. The
distressed classes (those rated below 'B') may be subject to
further downgrades in the event loan performance deteriorates, as
the transaction is becoming increasingly concentrated.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch upgrades these classes and assigns Rating Outlooks as
indicated:
-- $3.2 million class J to 'AAAsf' from 'Asf'; Outlook Stable;
-- $5.2 million class K to 'AAAsf' from 'Asf'; Outlook Stable;
-- $3.9 million class L to 'BBBsf' from 'Bsf'; Outlook Stable.
-- $5.2 million class M to 'BBsf' from 'CCCsf'; Outlook Stable
-- $2.6 million class N to 'CCCsf' from 'CCsf'; RE 100%.
Fitch affirms this class and revises REs as indicated:
-- $2.6 million class P at 'Csf'; RE 75%.
The class A-1, A-2, A-3, A-1A, B, C, D, E, F, G, H and X-2
certificates have paid in full. Fitch does not rate the class NR
certificates. Fitch previously withdrew the rating on the
interest-only class X-1 certificates.
JP MORGAN 2004-CIBC8: Moody's Hikes Cl. H Debt Rating to B3(sf)
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on three
classes, affirmed the ratings on three classes and downgraded the
rating on one class in J.P. Morgan Chase Commercial Mortgage
Securities Corp. Series 2004-CIBC8 as follows:
Cl. G, Upgraded to A3 (sf); previously on Feb 6, 2015 Upgraded to
Baa3 (sf)
Cl. H, Upgraded to B3 (sf); previously on Feb 6, 2015 Affirmed Caa3
(sf)
Cl. J, Upgraded to Caa3 (sf); previously on Feb 6, 2015 Affirmed Ca
(sf)
Cl. K, Affirmed C (sf); previously on Feb 6, 2015 Affirmed C (sf)
Cl. L, Affirmed C (sf); previously on Feb 6, 2015 Affirmed C (sf)
Cl. M, Affirmed C (sf); previously on Feb 6, 2015 Affirmed C (sf)
Cl. X-1, Downgraded to Caa3 (sf); previously on Feb 6, 2015
Downgraded to Caa2 (sf)
RATINGS RATIONALE
The ratings on three P&I classes were upgraded based primarily on
an increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 36% since Moody's last
review.
The ratings on three P&I classes were affirmed because the ratings
are consistent with Moody's expected loss.
The rating on the IO Class (Class X-1) was downgraded due to a
decline in the credit performance (or the weighted average rating
factor or WARF) of its referenced classes resulting from principal
paydowns of higher quality reference classes.
Moody's rating action reflects a base expected loss of 6.6% of the
current balance, compared to 21.9% at Moody's last review. Moody's
base expected loss plus realized losses is now 2.4% of the original
pooled balance, compared to 3.5% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
DEAL PERFORMANCE
As of the January 12, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 96% to $51.1 million
from $1.25 billion at securitization. The certificates are
collateralized by 13 mortgage loans ranging in size from less than
1% to 22% of the pool. One loan, constituting 7% of the pool, has
defeased and is secured by US government securities.
There are no loans on the master servicer's watchlist.
Fourteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $27 million (for an average loss
severity of 22%). One loan, constituting 11% of the pool, is
currently in special servicing. The specially serviced loan is the
Holualoa Centre East Loan ($5.6 million -- 11% of the pool), which
is secured by a 95,000 square foot (SF) office complex in Tucson,
Arizona. The loan transferred to special servicing in February 2014
due to maturity default. The loan foreclosed on October 2015 and is
currently an REO asset. The master servicer has recognized a $1.5
million appraisal reduction on this loan.
Moody's received full year 2014 operating results for 91% of the
pool, and full or partial year 2015 operating results for 91% of
the pool. Moody's weighted average conduit LTV is 44%, compared to
53% at Moody's last review. Moody's conduit component excludes
loans with structured credit assessments, defeased and CTL loans,
and specially serviced and troubled loans. Moody's net cash flow
(NCF) reflects a weighted average haircut of 11% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.4%.
Moody's actual and stressed conduit DSCRs are 1.55X and 2.64X,
respectively, compared to 1.37X and 2.38X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 51% of the pool balance. The
largest loan is the Canyon Park Loan ($11.2 million -- 22% of the
pool), which is secured by an anchored retail center totaling
157,000 SF located in Twin Falls, Idaho. As of October 2015, the
property was 100% leased. Major tenants include Sportsman's
Warehouse, TJ Maxx, Best Buy, Michaels and Old Navy. Moody's LTV
and stressed DSCR are 57% and 1.71X, respectively, compared to 68%
and 1.44X at the last review.
The second largest loan is the Precise Technology Inc. Loan ($9.6
million -- 19% of the pool), which is secured by a five property
industrial portfolio located in five states (Florida, Illinois,
Indiana, Missouri and Pennsylvania). As of December 2015, the
portfolio was 100% leased to Rexam PLC through October 2023. The
loan is fully amortizing and matures in October 2023. Moody's LTV
and stressed DSCR are 30% and 3.41X, respectively, compared to 34%
and 3.03X at the last review.
The third largest loan is the Koll Business Center Phase IV Loan
($5.3 million -- 10% of the pool), which is secured by an
industrial property located in Las Vegas, Nevada. As of September
2015, the property was 100% leased. The loan is fully amortizing
and matures in January 2023. Moody's LTV and stressed DSCR are 43%
and 2.38X, respectively, compared to 63% and 1.64X at the last
review.
JP MORGAN 2004-LN2: Moody's Cuts Cl. X-1 Debt Rating to Caa2
------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on five classes,
upgraded the ratings on two classes, and downgraded the rating on
one class in J.P. Morgan Chase Commercial Mortgage Securities
Corp., Commercial Mortgage Pass-Through Certificates, Series
2004-LN2 as follows:
Cl. A-1A, Upgraded to Aaa (sf); previously on Feb 5, 2015 Affirmed
Aa2 (sf)
Cl. A-2, Upgraded to Aaa (sf); previously on Feb 5, 2015 Affirmed
Aa2 (sf)
Cl. B, Affirmed Ba1 (sf); previously on Feb 5, 2015 Affirmed Ba1
(sf)
Cl. C, Affirmed Ba3 (sf); previously on Feb 5, 2015 Affirmed Ba3
(sf)
Cl. D, Affirmed Caa1 (sf); previously on Feb 5, 2015 Affirmed Caa1
(sf)
Cl. E, Affirmed Caa3 (sf); previously on Feb 5, 2015 Affirmed Caa3
(sf)
Cl. F, Affirmed C (sf); previously on Feb 5, 2015 Affirmed C (sf)
Cl. X-1, Downgraded to Caa2 (sf); previously on Feb 5, 2015
Downgraded to Caa1 (sf)
RATINGS RATIONALE
The ratings on P&I classes A-1A and A-2 were upgraded based
primarily on an increase in credit support resulting from loan
paydowns and amortization. The deal has paid down 13% since Moody's
last review and 88% since securitization.
The ratings on P&I classes B and C were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges. The ratings on P&I classes D, E and F were affirmed because
the ratings are consistent with Moody's expected loss.
The rating on the IO Class (Class X-1) was downgraded due to the
decline in the credit performance of its reference classes
resulting from principal paydowns of higher quality reference
classes.
Moody's rating action reflects a base expected loss of 22.0% of the
current balance, compared to 19.2% at Moody's last review. Moody's
base expected loss plus realized losses is now 9.4% of the original
pooled balance, the same as at the last review. Moody's provides a
current list of base expected losses for conduit and fusion CMBS
transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
DEAL PERFORMANCE
As of the January 15, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 88% to $145.8
million from $1.25 billion at securitization. The certificates are
collateralized by 21 mortgage loans ranging in size from less than
1% to 43% of the pool, with the top ten loans constituting 91% of
the pool. Three loans, constituting 1% of the pool, have defeased
and are secured by US government securities.
Two loans, constituting 2% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Twenty-six loans have been liquidated from the pool, resulting in
an aggregate realized loss of $85 million (for an average loss
severity of 63%). Three loans, constituting 54% of the pool, are
currently in special servicing. Chesapeake Square Loan ($62.5
million -- 42.8% of the pool), which is secured by an 800,000
square foot (SF) single-level regional mall located just south of
Norfolk, Virginia (collateral for the loan is 530,158 SF). The mall
is anchored by Target, Macy's, J.C. Penney, and Burlington Coat
Factory (Target and Macy's are not part of the collateral). The
loan initially transferred to special servicing in 2014 due to
imminent monetary default and a modification was executed in June
2014. The loan subsequently transferred back to the master servicer
in October 2014. However, the loan returned to special servicing in
July 2015 due to imminent default. As of September 2015, total mall
and inline occupancy was 69% and 61%, respectively, compared to 87%
and 63% as of September2014. Sears has also closed its Chesapeake
Square Mall location since the prior review.
The remaining two specially serviced loans are secured by
portfolios of industrial properties. Moody's estimates an aggregate
$31.7 million loss for the specially serviced loans (40% expected
loss on average). Moody's has assumed a high default probability on
one poorly performing loans, constituting 1% of the pool.
Moody's received full year 2014 operating results for 100% of the
pool, and full or partial year 2015 operating results for 96%.
Moody's weighted average conduit LTV is 60%, compared to 63% at
Moody's last review. Moody's conduit component excludes loans with
credit assessments, defeased and CTL loans, and specially serviced
and troubled loans. Moody's net cash flow (NCF) reflects a weighted
average haircut of 14% to the most recently available net operating
income (NOI). Moody's value reflects a weighted average
capitalization rate of 9.2%.
Moody's actual and stressed conduit DSCRs are 1.67X and 2.22X,
respectively, compared to 1.66X and 2.06X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 20% of the pool balance. The
largest loan is the PaperWorks Building Loan, formerly known as the
Ball Corporation Building, ($11.1 million -- 7.6% of the pool),
which is secured by a 496,200 SF industrial building located in
Baldwinsville, New York. As of October 2015, the property was fully
leased by PaperWorks through 2032. Due to the single-tenant
exposure, Moody's valuation incorporated a lit/dark analysis.
Moody's LTV and stressed DSCR are 92% and 1.03X, respectively,
compared to 126% and 0.75X at the last review.
The second largest loan is the 1140 Broadway Loan ($10.2 million --
7.0% of the pool), which is secured by a 16-story office building
in Manhattan, New York and located one block from Madison Square
Park. As of November 2015, the property was 87% leased to a wide
variety of tenants, compared to 92% leased in December 2014.
Moody's LTV and stressed DSCR are 40% and 2.58X, respectively,
compared to 44% and 2.32X at the last review.
The third largest loan is the Stadium Marketplace Loan ($8.6
million -- 5.9% of the pool), which is secured by a 212,446 SF
retail center consisting of five, single-story buildings located in
Honolulu, Hawaii. The property is five miles east of Pearl Harbor
and located across from Aloha Stadium, Hawaii's main event center.
As of September 2015, the property was 100% leased, however, Office
Max (representing 10% of the NRA) has vacated the property.
Performance has remained stable and the fully amortizing loan has
paid down 67% since securitization. Moody's LTV and stressed DSCR
are 20% and >4.00X, respectively, compared to 25% and >4.00X
at the last review.
JP MORGAN 2011-C3: Fitch Affirms 'BBsf' Rating on Cl. G Certs
-------------------------------------------------------------
Fitch Ratings has affirmed 11 classes of J.P. Morgan Chase
Commercial Mortgage Securities Corp (JPMCC) commercial mortgage
pass-through certificates series 2011-C3.
KEY RATING DRIVERS
The affirmations are based on the stable performance of the
underlying collateral since issuance. Per the servicer reporting,
there is currently one loan that is both delinquent and in special
servicing (1.6% of the pool) and no loans are defeased. Fitch
reviewed the most recently available quarterly financial
performance of the pool as well as updated rent rolls for the top
15 loans, which represent 82.5% of the transaction. Retail
properties represent the largest pool concentration at 60.8%.
As of the January 2016 distribution date, the pool's aggregate
principal balance has been reduced by 21.5% to $1.17 billion from
$1.49 billion at issuance. Since the prior rating action, nine
loans (7.9% of the original pool balance) have been repaid. The
pool has experienced no realized losses to date. Four loans (21.7%
of the pool) are considered Fitch Loans of Concern. Interest
shortfalls are currently affecting the non-rated class NR.
The specially serviced loan (1.6% of the pool) is secured by two
adjacent suburban office buildings totaling 548,159 square feet
(sf) located in Houston, TX. The loan transferred to special
servicing on Nov. 2, 2015 when the borrower's consultant provided a
letter indicating property cash flow was less than the monthly debt
service payments and the sponsor would no longer come out of pocket
to cover shortfalls. Tenants have continued to vacate upon their
lease expirations due to nearby road construction. Additionally,
the market is under stress due to sustained low oil prices.
Occupancy was reported at 49.4% as of September 2015 compared to
72% as of year-end (YE) 2014, following the early termination of
Solar Turbine (24% of net rentable area [NRA]) in May 2015. The
loan is actively cash managed. A draft appraisal has been received
and the special servicer is currently reviewing a proposal for a
discounted payoff (DPO). The loan is 60 days delinquent as of the
January 2016 distribution date.
The largest Fitch Loan of Concern (10.6% of the pool) is secured by
a three-building, 1.1 million sf office tower located in the CBD of
Houston, TX. The servicer-reported debt service coverage ratio
(DSCR) was 1.69x as of YE 2014 compared to 1.53x at YE 2013. As of
the September 2015 rent roll, the property was 91.9% occupied.
However, the largest tenant, Air Liquide (20.8% NRA) vacated upon
their October 2015 lease expiration, bringing occupancy down to
71%. According to servicer watchlist commentary, the borrower has
stated that they will begin a marketing campaign for the former Air
Liquide space soon.
RATING SENSITIVITIES
The Rating Outlooks remain Stable for all classes due to stable
performance of the pool and expected continued paydown of the
classes. Fitch does not foresee positive or negative ratings
migration until a material economic or asset level event changes
the transaction's portfolio-level metrics.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed these classes:
-- $79.9 million class A-2 at 'AAAsf'; Outlook Stable;
-- $353.6 million class A-3 at 'AAAsf'; Outlook Stable;
-- $485.4 million class A-4 at 'AAAsf'; Outlook Stable;
-- $918.9 million class X-A* at 'AAAsf'; Outlook Stable;
-- $41.1 million class B at 'AAsf'; Outlook Stable;
-- $52.3 million class C at 'Asf'; Outlook Stable;
-- $35.5 million class D at 'BBB+sf'; Outlook Stable;
-- $41.1 million class E at 'BBB-sf'; Outlook Stable;
-- $9.3 million class G at 'BBsf'; Outlook Stable;
-- $16.8 million class H at 'Bsf'; Outlook Stable;
-- $3.7 million class J at 'B-sf'; Outlook Stable.
*Notional amount and interest-only.
The class A-1 and A-3FL certificates have paid in full. Fitch does
not rate the class F, X-B, and NR certificates.
KINGSLAND V: Moody's Lowers Rating on Class E Notes to B1
---------------------------------------------------------
Moody's Investors Service has upgraded the rating on these notes
issued by Kingsland V, Ltd.:
$25,000,000 Class C Senior Secured Deferrable Floating Rate
Notes Due 2021, Upgraded to A1 (sf); previously on June 16,
2015, Upgraded to A2 (sf)
Moody's also downgraded the rating on these notes:
$14,900,000 Class E Secured Deferrable Floating Rate Notes Due
2021, Downgraded to B1 (sf); previously on June 16, 2015,
Affirmed Ba3 (sf)
In addition, Moody's affirmed the ratings on these notes:
$295,975,000 Class A-1 Senior Secured Floating Rate Notes Due
2021 (current outstanding balance of $167,102,606.60), Affirmed
Aaa (sf); previously on June 16, 2015, Affirmed Aaa (sf)
$12,125,000 Class A-2B Senior Secured Floating Rate Notes Due
2021, Affirmed Aaa (sf); previously on June 16, 2015, Affirmed
Aaa (sf)
$60,000,000 Class A-2R Senior Secured Revolving Floating Rate
Notes Due 2021 (current outstanding balance of $28,595,586.21),
Affirmed Aaa (sf); previously on June 16, 2015, Affirmed
Aaa (sf)
$22,900,000 Class B Senior Secured Floating Rate Notes Due 2021,
Affirmed Aaa (sf); previously on June 16, 2015, Upgraded to
Aaa (sf)
$13,000,000 Class D-1 Senior Secured Deferrable Floating Rate
Notes Due 2021, Affirmed Baa3 (sf); previously on June 16,
2015, Upgraded to Baa3 (sf)
$5,000,000 Class D-2 Senior Secured Deferrable Fixed Rate Notes
Due 2021, Affirmed Baa3 (sf); previously on June 16, 2015,
Upgraded to Baa3 (sf)
$15,330,000 Composite Notes Due 2021 (current outstanding
balance of $11,780,673.04), Affirmed Baa2 (sf); previously on
June 16, 2015, Affirmed Baa2 (sf)
RATINGS RATIONALE
The rating upgrade and affirmations are primarily a result of
deleveraging of the senior notes and an increase in the
transaction's over-collateralization (OC) ratios since June 2015.
The Class A-1 and Class A-2R notes have been paid down by
approximately 27.3% or $62.7 million, and 34.8% or $15.3 million
respectively, since that time. Based on the trustee's January 2016
report, the OC ratios for the Class A/B, Class C, Class D and Class
E are reported at 131.88%, 119.83%, 112.44% and 106.97%
respectively, versus June 2015 levels of 127.14%, 117.61%, 111.59%
and 107.06% respectively.
Nevertheless, the credit quality of the portfolio has deteriorated
since June 2015. Based on the Moody's calculation, the weighted
average rating factor is currently 2671 compared to 2552 on June
2015.
The rating downgrade on the Class E is primarily a result of
decrease in the Class E OC and increase in the securities that
mature after the notes do. Based on the trustee's January 2016
report, Class E OC ratio is 106.97% compared to 107.06% in June
2015. The decrease is primarily due to additional defaults since
that time. Additionally, based on the Moody's calculation,
securities that mature after the notes do currently make up
approximately 8.5% of the portfolio compared to 4.6% in June 2015.
These investments could expose the notes to market risk in the
event of liquidation when the notes mature. Moody's also notes
that the deal has a significant exposure to Energy: Oil & Gas at
6.7% or $20.2 million.
Moody's has also corrected the rated balance on the Kingsland V,
Ltd. Composite Notes Due 2021. In the previous rating action, the
rated balance was calculated incorrectly using an erroneous coupon
schedule, resulting in a higher than actual rated balance. At the
time, the rated balance was $12,001,230.38, not the stated rated
balance of $12,005,027.16. This error has no impact on the note's
Baa2 (sf) rating.
Methodology Used for the Rating Action
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2015.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy
and b) the large concentration of upcoming speculative-grade
debt maturities, which could make refinancing difficult for
issuers.
2) Collateral Manager: Performance can also be
affected positively or negatively by a) the manager's
investment strategy and behavior and b) differences in the
legal interpretation of CLO documentation by different
transactional parties owing to embedded ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current
expectations, can lead to positive CLO performance.
Conversely, a negative shift in credit quality or performance
of the collateral can have adverse consequences for CLO
performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled
principal proceeds will continue and at what pace.
Deleveraging of the CLO could accelerate owing to high
prepayment levels in the loan market and/or collateral sales
by the manager, which could have a significant impact on the
notes' ratings. Note repayments that are faster than Moody's
current expectations will usually have a positive impact on
CLO notes, beginning with those with the highest payment
priority.
5) Recovery of defaulted assets: Fluctuations in the market
value of defaulted assets reported by the trustee and those
that Moody's assumes as having defaulted could result in
volatility in the deal's OC levels. Further, the timing of
recoveries and whether a manager decides to work out or sell
defaulted assets create additional uncertainty. Moody's
analyzed defaulted recoveries assuming the lower of the
market price and the recovery rate in order to account for
potential volatility in market prices. Realization of higher
than assumed recoveries would positively impact the CLO.
6) Long-dated assets: The presence of assets that mature after
the CLO's legal maturity date exposes the deal to liquidation
risk on those assets. This risk is borne first by investors
with the lowest priority in the capital structure. Moody's
assumes that the terminal value of an asset upon liquidation
at maturity will be equal to the lower of an assumed
liquidation value (depending on the extent to which the
asset's maturity lags that of the liabilities) or the asset's
current market value. In light of the deal's increased
exposure to long-dated assets, which increases its
sensitivity to the liquidation assumptions in the rating
analysis, Moody's ran scenarios using a range of liquidation
value assumptions. However, actual long-dated asset
exposures and prevailing market prices and conditions at the
CLO's maturity will drive the deal's actual losses, if any,
from long-dated assets.
7) Higher-than-average exposure to assets with weak liquidity:
The presence of assets with the worst Moody's speculative
grade liquidity (SGL) rating, or SGL-4, exposes the notes to
additional risks if these assets default. The historical
default rate is far higher for companies with SGL-4 ratings
than those with other SGL ratings. Due to the deal's high
exposure to SGL-4 rated assets, which constitute around
$5.9 million of par, Moody's ran a sensitivity case
defaulting those assets.
8) Higher-than-average exposure to assets with derived Ca/C
ratings: The presence of assets whose default rating were
adjusted to Ca/C as a result of their current ratings on
review for downgrade or a negative outlook, exposes the notes
(especially junior notes) to additional risks if these assets
default. Due to the deal's higher exposure to such assets,
Moody's ran a sensitivity case defaulting those assets.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Moody's Adjusted WARF -20% (2137)
Class A-1: 0
Class A-2R: 0
Class A-2B: 0
Class B: 0
Class C: +3
Class D-1: +1
Class D-2: +2
Class E: +2
Composite Notes: +2
Moody's Adjusted WARF +20% (3205)
Class A-1: 0
Class A-2R: 0
Class A-2B: 0
Class B: -1
Class C: -2
Class D-1: -1
Class D-2: -1
Class E: -2
Composite Notes: -2
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base
case, Moody's analyzed the collateral pool as having a performing
par and principal proceeds balance of $305.7 million, defaulted par
of $11.3 million, a weighted average default probability of 16.24%
(implying a WARF of 2671), a weighted average recovery rate upon
default of 49.29%, a diversity score of 47 and a weighted average
spread of 3.18%(before accounting for LIBOR floors).
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of the
assets in the collateral pool. Moody's generally applies recovery
rates for CLO securities as published in "Moody's Approach to
Rating SF CDOs". In some cases, alternative recovery assumptions
may be considered based on the specifics of the analysis of the CLO
transaction. In each case, historical and market performance and
the collateral manager's latitude for trading the collateral are
also factors.
LB-UBS COMMERCIAL 2007-C7: Fitch Lowers Rating on 2 Tranches to Csd
-------------------------------------------------------------------
Fitch Ratings has downgraded two and affirmed 17 classes of LB-UBS
Commercial Mortgage Trust (LB-UBS) commercial mortgage pass-through
certificates series 2007- C7.
KEY RATING DRIVERS
The downgrades are due to the increased certainty of losses to the
already distressed classes. In addition, the downgrades reflect an
increase in Fitch-modeled losses since the last rating action
primarily due to performance declines among the top-15 loans. Fitch
modeled losses of 7.3% of the remaining pool; expected losses on
the original pool balance total 11.1%, including $200.8 million
(6.3% of the original pool balance) in realized losses to date.
Fitch had modeled losses of 10.2% of the original pool balance at
the last rating action. Fitch has designated 23 loans (47%) as
Fitch Loans of Concern, including eight loans (6.7%) that are
currently in special servicing.
As of the January 2016 distribution date, the pool's aggregate
principal balance has been reduced by 33.9% to $2.09 billion from
$3.17 billion at issuance. Per the servicer reporting, the
defeased loans (21.7% of the pool) include one partially defeased
(0.2%) and four fully defeased loans (21.5%). Interest shortfalls
are currently affecting classes E through T.
The largest contributor to Fitch expected losses is the District at
Tustin Legacy loan (9.8% of the pool), which is secured by 521,695
square feet (sf) of a 983,976 sf retail center in Tustin, CA.
Major tenants include Target, Whole Foods, TJ Maxx, and an AMC
Theater. Non-collateral anchors are Costco and Lowes. Best Buy,
which leases 30,000 sf of the collateral (or 5.8% of the net
rentable area [NRA]) through January 2018, had vacated the property
in 2012; the space is currently subleased to AKI-Home Furnishing.
The December 2015 rent roll reported the property 99% leased.
Despite the high occupancy since issuance, the property's net
operating income (NOI) has performed lower than expected, as rental
rates and reimbursements remain below underwritten levels. Based on
the servicer reported year end (YE) 2015 operating statements, the
NOI debt service coverage ratio (DSCR) reported at 1.03x compared
to 1.01x for YE 2014, and 1.08x for YE 2013. The loan remains
current as of the January 2016 remittance.
The second largest contributor to Fitch expected losses is the
specially-serviced Ritz Carlton Bachelor Gulch loan (2.8% of the
pool), which is secured by a 117-room, full-service resort hotel in
Avon, CO located in Colorado's Vail Valley on Beaver Creek
Mountain. The loan first transferred to special servicing in
October 2010, and returned to the master servicer as a modified
loan in June 2012; modified terms included a debt service reserve,
a reduced pay rate, a deferred accrual rate, and a pledge of net
proceeds from the sale of non-collateral hotel condominium units.
The loan remains current under the modified terms; however, the
borrower was unable to make a required $4 million principal paydown
in January 2015, which triggered an interest rate increase to 6.9%
as of January 2015 from a modified start rate of 3%. In addition,
due to the default of a separate note that encumbers the
non-collateral condo units, the net sales proceeds from the condos
have been prioritized to repay the condominium note until it is
paid in full.
The loan transferred to special servicing a second time in May 2013
to obtain approval for additional lease financing to complete
planned FF&E; all planned property improvements have been
completed. Per the borrower provided YE 2015 financial statement,
occupancy reported at 48.6%, average daily rate (ADR) at $506.81,
and revenue per available room (RevPAR) at $244.34, compared to
servicer reported YE 2012 at 55% occupancy, $390.60 ADR, and
$214.83 RevPAR. Despite significant performance improvement since
2012, the servicer indicates the borrower has not been able to
refinance the loan due to the lack of stabilized operations. The
servicer-reported YE 2014 NOI is approximately 75% above YE 2012;
however, it remains 68% below underwritten NOI at issuance. The
borrower has proposed terms for another loan modification,
including a reduced interest rate with principal curtailment, and
an extension of the loan's current maturity date of October 2017.
The third largest contributor to expected losses is a 180,000 sf
retail property in Port Washington, NY (0.9%). The property has
experienced cash flow issues due to tenant vacancies. The loan
transferred to special servicing in May 2010 for payment default
and has been real estate owned (REO) since April 2014. The
property's occupancy fell significantly in January 2015 after the
subject's anchor tenant, King Kullen (previously 26% of the NRA),
vacated. The November 2015 rent roll reports occupancy at 47.2%.
An REO management team is in place, and a leasing firm continues to
market the vacant space.
RATING SENSITIVITIES
The Rating Outlooks on classes A-3 and A-1A are Stable due to
sufficient credit enhancement and continued pay-down. The Negative
Outlooks on classes A-M and A-J reflects the overall high leverage
and performance concerns on several loans in the top 15, including
significant tenant vacancies, lease rollover risk, and property
performance below underwritten expectations. The Negative Outlooks
reflect the potential for further rating actions should realized
losses be greater than Fitch's expectations. Stable Outlooks for
the classes may be considered should property performance
stabilize, and servicer updates indicate stronger refinance
capability upon maturity or better recoveries from updated property
valuations.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has downgraded these ratings:
-- $23.8 million class D to 'Csf' from 'CCsf'; RE 0%;
-- $27.7 million class E to 'Csf' from 'CCsf'; RE 0%.
Fitch has affirmed these ratings and revised Rating Outlooks as
indicated:
-- $1.2 billion class A-3 at 'AAAsf'; Outlook Stable;
-- $117.7 million class A-1A at 'AAAsf'; Outlook Stable;
-- $317 million class A-M at 'AAAsf'; Outlook Negative;
-- $269.5 million class A-J at 'B-sf'; Outlook to Negative from
Stable;
-- $47.6 million class B at 'CCCsf'; RE 65%;
-- $35.7 million class C at 'CCsf'; RE 0%;
-- $15.9 million class F at 'Csf'; RE 0%;
-- $13.2 million class G at 'Dsf'; RE 0%;
-- $0 million class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%;
-- $0 class Q at 'Dsf'; RE 0%;
-- $0 class S at 'Dsf'; RE 0%.
The class A-1, A-2 and A-AB certificates have paid in full. Fitch
does not rate the class T certificates. Fitch previously withdrew
the ratings on the interest-only class X-CP, X-CL and X-W
certificates.
MERRILL LYNCH 1997-C2: Fitch Affirms 'Dsf' Rating on Cl. H Certs
----------------------------------------------------------------
Fitch Ratings has affirmed four classes of Merrill Lynch Mortgage
Trust's commercial mortgage pass-through certificates, series
1997-C2.
KEY RATING DRIVERS
The affirmations reflect continued pay down and stable performance
since the last rating action. The pool has experienced $23.3
million (3.4% of the original pool balance) in realized losses to
date. As of the January 2016 distribution date, there are six
loans remaining in the pool and the aggregate principal balance has
been reduced by 96.2% to $26.6 million from $686.3 million at
issuance. None of the loans are in special servicing and four of
the loans are fully amortizing. Interest shortfalls are currently
affecting classes H through K.
The largest loan (44% of the pool) is a 321,623 square foot (sf)
retail center located in Tucker, GA in the Atlanta metropolitan
statistical area (MSA). The property was 72% occupied as of
September 2015, which is a decline from 84% as of December 2014.
Previous anchor tenants Toys R Us (formerly the largest tenant) and
Bally Total Fitness vacated the property in 2014. Per the
September 2015 rent roll, Petsmart is currently an anchor tenant
with a lease that expires in February 2016. The servicer confirmed
that PetSmart has renewed for one year to February 2017 and has
been renewing their lease annually. DSCR was 1.06x as of year-end
(YE) 2014 and 0.82x as of year-to-date (YTD) 3Q 2015. The loan's
anticipated repayment date occurred in December 2009; the borrower
remains current on monthly payments. The final maturity date is
December 2027. Fitch will continue to monitor the loan's
performance.
RATING SENSITIVITIES
Rating Outlooks on classes F and G are expected to remain Stable
based on the expectation that credit enhancement will increase due
to scheduled pay down from amortization and loan pay-offs at
maturity. Despite higher credit enhancement, upgrades to classes F
and G are not warranted due to binary risk from pool concentration,
as the largest loan represents 44% of the overall pool and is a
Fitch loan of concern. Given the concentrated nature of the pool,
Fitch applied additional stresses to cash flow and cap rates to
determine values.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch affirms these classes:
-- $10.3 million class F at 'Asf', Outlook Stable.
-- $6.9 million class G at 'Bsf', Outlook Stable.
-- $9.3 million class H at 'Dsf', RE 75%;
-- $0 class J at 'Dsf', RE 0%.
The class A-1, A-2, B, C and D certificates have paid in full.
Fitch does not rate the class E and K certificates. Fitch
previously withdrew the rating on the interest-only class IO
certificates.
MORGAN STANLEY 2016-C28: Fitch to Rate Class E2 Certs 'BB-'
-----------------------------------------------------------
Fitch Ratings has issued a presale report on the Morgan Stanley
Bank of America Merrill Lynch Trust 2016-C28 Commercial Mortgage
Trust pass-through certificates. Fitch expects to rate the
transaction and assign Rating Outlooks as:
-- $25,700,000 class A-1 'AAAsf'; Outlook Stable;
-- $43,800,000 class A-2 'AAAsf'; Outlook Stable;
-- $59,300,000 class A-SB 'AAAsf'; Outlook Stable;
-- $215,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $325,154,000 class A-4 'AAAsf'; Outlook Stable;
-- $668,954,000b class X-A 'AAAsf'; Outlook Stable;
-- $97,954,000b class X-B 'AA-sf'; Outlook Stable;
-- $47,782,000 class A-S 'AAAsf'; Outlook Stable;
-- $50,172,000 class B 'AA-sf'; Outlook Stable;
-- $46,588,000 class C 'A-sf'; Outlook Stable;
-- $52,560,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $52,560,000a class D 'BBB-sf'; Outlook Stable;
-- $14,335,000ac class E1 'BBsf'; Outlook Stable;
-- $14,335,000ac class E2 'BB-sf'; Outlook Stable;
-- $28,670,000ac class E 'BB-sf'; Outlook Stable;
-- $9,556,000ac class F 'B-sf'; Outlook Stable;
-- $38,226,000ac class EF 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
(c) The class E-1 and E-2 certificates may be exchanged for a
related amount of class E certificates, and the class E
certificates may be exchanged for a ratable portion of class
E-1 and E-2 certificates. Additionally, a holder of class
E-1, E-2, F-1 and F-2 certificates may exchange such classes
of certificates (on an aggregate basis) for a related amount
of class EF certificates, and a holder of class EF
certificates may exchange that class EF for a ratable
portion of each class of the class E-1, E-2, F-1 and F-2
certificates.
The expected ratings are based on information provided by the
issuer as of Feb. 1, 2016. Fitch does not expect to rate the
$4,778,000 class F-1, $4,778,000 class F-2, $11,348,500 class G-1,
$11,348,500 class G-2, $14,334,677 class H-1, $14,334,677 class
H-2, $22,697,000 exchangeable class G, $28,669,354 exchangeable
class H, or the $60,923,000 exchangeable class EFG certificates.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 42 loans secured by 161
commercial properties having an aggregate principal balance of
approximately $955.6 million as of the cutoff date. The loans were
contributed to the trust by Morgan Stanley Mortgage Capital
Holdings LLC, Bank of America, National Association, CIBC, Inc.,
and Starwood Mortgage Funding III LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral including site inspections on 75.9% of the properties by
balance, cash flow analysis of 89.5%, and asset summary reviews on
89.5% of the pool.
KEY RATING DRIVERS
Credit Opinion Loans: Two loans, Penn Square Mall (9.4% of the
pool) and GLP Industrial Portfolio Pool A (7.3% of the pool), have
investment-grade credit opinions of 'A' on a stand-alone basis.
Excluding these loans, Fitch's implied conduit subordination at the
junior 'AAAsf' tranche is approximately 29.3% and at 'BBB-sf',
approximately 11.1%.
High Fitch Conduit Leverage. Although this transaction has a Fitch
DSCR and LTV of 1.17x and 105.3%, respectively, excluding the
credit-assessed loans Penn Square Mall (9.4% of the pool) and GLP
Industrial Portfolio Pool A (7.3% of the pool), the Fitch DSCR and
LTV are 1.09x and 115.1%. The 2015 average Fitch DSCR and LTV were
1.18x and 109.3%.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 10.1% below
the most recent year's net operating income (NOI; for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period). Unanticipated further
declines in property-level NCF could result in higher defaults and
loss severities on defaulted loans and in potential rating actions
on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to MSBAM
2016-C28 certificates and found that the transaction displays
average sensitivity 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 'BBB+sf'
could result. The presale report includes a detailed explanation
of additional stresses and sensitivities on pages 12-13
DUE DILIGENCE USAGE
No third-party due diligence was provided to or reviewed by Fitch
in relation to this transaction.
NANTUCKET CLO I: S&P Affirms 'B+' Rating on Class E Notes
---------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on the class D
notes from Nantucket CLO I Ltd. At the same time, S&P affirmed its
ratings on the class A, B, C, and E notes and removed the ratings
on the class D and E notes from CreditWatch, where they were placed
with positive implications on Dec. 18, 2015. Nantucket CLO I Ltd.
is a U.S. collateralized loan obligation (CLO) transaction that
closed in November 2006 and is managed by Fischer Frances Trees &
Watts Inc.
The rating actions follow S&P's review of the transaction's
performance using data from the trustee report dated Jan. 1, 2016.
The upgrades reflect a $61.7 million paydown to the class A notes
since S&P's January 2015 rating actions. Following the Nov. 24,
2015, payment date the class A notes have been paid down to 10.53%
of their original outstanding balance. The affirmed ratings
reflect S&P's belief that the credit support available is
commensurate with the current rating levels.
As a result of the paydowns, the transaction's
overcollateralization (O/C) ratios have improved since the December
2014 trustee report, which was the basis of S&P's January 2015
rating actions. The January 2016 trustee report indicated the
class A/B O/C has increased to 248.36% from 156.33% as of the
December 2014 report.
S&P's rating on the class E notes were affected by the application
of the largest obligor default test from S&P's corporate
collateralized debt obligation (CDO) criteria. The test is
intended to address event and model risks that might be present in
rated transactions. Despite cash flow runs that suggested higher
ratings, the largest obligor default test constrained S&P's rating
on the class E notes at 'B+ (sf)'. The top five largest obligors
in the transaction currently make up more than 20% of the
portfolio's performing collateral balance.
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 S&P's criteria, its 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. The results of
the cash flow analysis demonstrated, in S&P's view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with this rating action.
Standard & Poor's will continue to review whether, in its view, the
ratings assigned to the notes remain consistent with the credit
enhancement available to support them and take rating actions as it
deems necessary.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A AAA (sf) AAA (sf) 33.89% AAA (sf)
B AAA (sf) AAA (sf) 33.89% AAA (sf)
C AAA (sf) AAA (sf) 28.97% AAA (sf)
D BBB+ (sf)/Watch Pos AA+ (sf) 7.41% AA+ (sf)
E B+ (sf)/Watch Pos BBB+ (sf) 2.22% B+ (sf)
(i) The cash flow implied rating considers the actual spread,
coupon, and recovery of the underlying collateral.
(ii) The cash flow cushion is the excess of the tranche break-even
default rate above the scenario default rate at the assigned rating
for a given class of rated notes using the actual spread, coupon,
and recovery.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated additional
scenarios in which it made negative adjustments of 10% to the
current collateral pool's recovery rates relative to each tranche's
weighted average recovery rate.
S&P also generated other scenarios by adjusting the intra- and
inter-industry correlations to assess the current portfolio's
sensitivity to different correlation assumptions assuming the
correlation scenarios outlined.
Correlation
Scenario Within industry (%) Between industries (%)
Below base case 15.0 5.0
Base case equals rating 20.0 7.5
Above base case 25.0 10.0
Recovery Correlation Correlation
Cash flow decrease increase decrease
Implied implied implied implied Final
Class rating rating rating rating rating
A AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
D AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf)
E BBB+ (sf) BB+ (sf) BBB+ (sf) BBB+ (sf) B+ (sf)
DEFAULT BIASING SENSITIVITY
To assess whether the current portfolio has sufficient diversity,
S&P biased defaults on the assets in the current collateral pool
with the highest spread and lowest base-case recoveries.
Spread Recovery
Cash flow compression compression
implied implied implied Final
Class rating rating rating rating
A AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C AAA (sf) AAA (sf) AAA (sf) AAA (sf)
D AA+ (sf) AA+ (sf) AA- (sf) AA+ (sf)
E BBB+ (sf) BBB+ (sf) B (sf) B+ (sf)
RATING AND CREDITWATCH ACTIONS
Nantucket CLO I Ltd.
Rating
Class To From
D AA+ (sf) BBB+ (sf)/Watch Pos
E B+ (sf) B+ (sf)/Watch Pos
RATINGS AFFIRMED
Nantucket CLO I Ltd.
Class Rating
A AAA (sf)
B AAA (sf)
C AAA (sf)
NOB HILL: S&P Affirms B+ Rating on Class E Notes
------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
C and D notes from Nob Hill CLO Ltd. At the same time, S&P
affirmed its ratings on the class A-2, B, and E notes and removed
its ratings on the class C, D, and E notes from CreditWatch
positive. Nob Hill CLO Ltd. is a U.S. collateralized loan
obligation (CLO) transaction that closed in August 2006 and is
managed by NewFleet Asset Management.
The rating actions follow S&P's review of the transaction's
performance using data from the trustee report dated Dec. 15,
2015.
Since S&P's July 2014 rating actions the class A-1 notes have paid
down in full and the class A-2 notes have paid down to 2.74% of
their original balance. These paydowns have led to
overcollateralization (O/C) ratio improvements since the June 16,
2014, trustee report, which S&P used in its July 2014 review. The
December 2016 trustee report indicated these O/C increases;
-- The class A/B O/C ratio increased to 448.88% from 164.84% in
July 2014.
-- The class C O/C ratio increased to 205.85% from 135.84%.
-- The class D O/C ratio increased to 135.44% from 116.22%.
-- The class E O/C ratio increased to 105.44% from 103.74%.
In addition, the weighted average rating of the collateral pool has
increased one notch since July 2014 from 'B' to 'B+' and the
reported weighted average life decreased from 2.83 years to 1.87
years. In line with this, the portfolio's scenario default rates
have decreased across all rating levels.
Defaults and 'CCC' rated obligations have both decreased in
notional value but increased slightly as a percentage of the
aggregate principal balance, as the higher-rated debt was subject
to a wave of prepayments since S&P's July 2014 rating actions.
The largest obligor default test, which is intended to capture
concentration risk in a portfolio, limited the upgrade of the class
D notes to 'A+ (sf)' rather than the 'AAA (sf)' cash flow implied
rating. The transaction's portfolio currently comprises only 26
unique obligors.
The affirmed ratings reflect S&P's belief that the credit support
available is commensurate with the current rating levels.
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 S&P's criteria, its 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. The results of
the cash flow analysis demonstrated, in S&P's view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with this rating action.
Standard & Poor's will continue to review whether, in its view, the
ratings assigned to the notes remain consistent with the credit
enhancement available to support them and take rating actions as it
deems necessary.
CASH FLOW ANALYSIS
Nob Hill CLO Ltd.
Cash flow
Previous implied Cash flow Final
Class rating (i) rating (ii) cushion rating
A-2 AAA (sf) AAA (sf) 31.50% AAA (sf)
B AAA (sf) AAA (sf) 31.50% AAA (sf)
C AA+ (sf)/Watch Pos AAA (sf) 31.50% AAA(sf)
D BBB+ (sf)/Watch Pos AAA (sf) 7.55% A+ (sf)
E B+ (sf)/Watch Pos B+ (sf) 1.25% B+ (sf)
RATING AND CREDITWATCH ACTIONS
Nob Hill CLO Ltd.
Rating
Class To From
C AAA (sf) AA+ (sf)/Watch Pos
D A+ (sf) BBB+ (sf)/Watch Pos
E B+ (sf) B+ (sf)/Watch Pos
RATINGS AFFIRMED
Nob Hill CLO Ltd.
Class Rating
A-2 AAA (sf)
B AAA (sf)
RESOURCE REAL 2006-1: Fitch Raises Rating on Cl. H Debt to 'BBsf'
-----------------------------------------------------------------
Fitch Ratings has upgraded three classes and affirmed one class of
Resource Real Estate Funding CDO 2006-1 Ltd./LLC (RRE 2006-1).
KEY RATING DRIVERS
The upgrades reflect significant delevering of the capital
structure and better than expected recoveries on several loans no
longer in the pool. Since the last rating action, classes D
through F were repaid in full and Class G was reduced by 35%
primarily from the full payoff of five assets. The CDO is over
collateralized by $10 million. The affirmation reflects the pool's
concentration with only nine assets remaining. Fitch's base case
loss expectation is 57.2% Fitch's performance expectation
incorporates prospective views regarding commercial real estate
market values and cash flow declines.
Per Fitch categorizations, commercial real estate loans (CREL)
comprise approximately 78.6% of the collateral of the CDO.
Approximately 52.2% of the pool is comprised of whole loans or
A-notes and the remainder of B-notes or mezzanine loans.
Commercial mortgage backed securities (CMBS), which have an average
Fitch derived rating of CCC, represent 21.4% of the total
collateral. Per the Jan. 19, 2016 trustee report, the transaction
passes all interest coverage and overcollateralization tests.
Under Fitch's methodology, approximately 98.2% of the portfolio is
modeled to default in the base case stress scenario, defined as the
'B' stress. Fitch estimates that overall recoveries will average
43.6%.
The largest component of Fitch's base case loss expectation is a
mezzanine loan (26.4%) secured by a portfolio of two luxury resorts
consisting of 1,320 keys located in beachfront and waterfront
locations in Puerto Rico. Six assets were sold since last rating
action. After several modifications, the loan has a current
maturity date in May 2016. However, the mezzanine position remains
undercollateralized. Fitch modeled a full loss in its base case
scenario on this over leveraged position.
The second largest component to Fitch's base case loss expectation
is a whole loan (19.1%) secured by a 163 room hotel located in Palm
Springs, CA. The hotel underwent a $17 million renovation and
re-opened under a new brand in 2014. Fitch modeled a significant
loss on this loan based on its current cash flow.
This transaction was analyzed according to the 'Surveillance
Criteria for U.S. CREL CDOs', which applies stresses to property
cash flows and debt service coverage ratio (DSCR) tests to project
future default levels for the underlying portfolio. Recoveries for
the loan assets are based on stressed cash flows and Fitch's
long-term capitalization rates. Cash flow modeling and the
Portfolio Credit Model were not performed as no material impact
from the analysis was anticipated. Fitch rates the four CMBS bonds
in the transaction with 91.4% rated 'CCC' and 8.6% rated 'AAA'.
The ratings for classes G through K are based on a deterministic
analysis that considers Fitch's base case loss expectation for the
pool and the current percentage of defaulted assets and Fitch Loans
of Concern, factoring in anticipated recoveries relative to the
credit enhancement of each class.
RATING SENSITIVITIES
The Stable Outlook on classes G through J reflects sufficient
credit enhancement and the respective classes' seniority in the
liability structure. The distressed class K is subject to further
downgrades should further losses be realized.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has upgraded these classes:
-- $6.2 million class G to 'BBBsf' from 'Bsf'; Outlook Stable;
-- $12.9 million class H to 'BBsf' from 'CCCsf'; Outlook Stable
Assigned;
-- $14.7 million class J to 'Bsf' from 'CCsf'; Outlook Stable
Assigned.
Fitch has affirmed these classes:
-- $28.5 million class K at 'CCsf'; RE 50%.
Classes A-1, A-2 FL, A-2 FX, C, D, E and F were paid in full. Fitch
previously withdrew its ratings of class B following the full
surrender of those certificates. Fitch does not rate the $36.3
million preferred shares.
SDART 2016-1: Fitch to Rate $58.8-Mil. Class E Notes 'BBsf'
-----------------------------------------------------------
Fitch Ratings expects to assign the following ratings and Outlooks
to the Santander Drive Auto Receivables Trust 2016-1 (SDART 2016-1)
notes:
-- $162,800,000 class A-1 notes 'F1+sf';
-- $342,000,000 class A-2-A and A-2-B notes 'AAAsf'; Outlook
Stable;
-- $109,120,000 class A-3 notes 'AAAsf'; Outlook Stable;
-- $142,450,000 class B notes 'AAsf'; Outlook Stable;
-- $153,040,000 class C notes 'Asf'; Outlook Stable;
-- $91,240,000 class D notes 'BBBsf'; Outlook Stable;
-- $58,860,000 class E notes 'BBsf'; Outlook Stable.
KEY RATING DRIVERS
Improved Credit Quality: 2016-1 is backed by collateral consistent
with the 2014-2015 pools, with a WA FICO score of 600 and an
internal WA loss forecast score (LFS) of 555. The WA seasoning is
2.7 months, new vehicles total 40.9% and the pool is geographically
diverse.
Increased Extended-Term Contracts: Loans with terms of 60+ months
total 94.8%, driven by 73-75 term loans originated via the Chrysler
Capital (CC) platform by SCUSA totaling 15.2%, consistent with
2015-5 but historically high for the platform. Fitch applied a
stress to the loss proxy to account for the risk posed by these
loans, since there is limited performance history and these loans
will likely perform worse than loans with terms less than or equal
to 72 months.
Weakening Performance: Although within range of the 2009-2011
performance, recent 2012-2014 portfolio and securitization losses
are tracking slightly higher to date, driven by marginally weaker
collateral underwriting and lower recoveries from softer used
vehicle values. Fitch expects performance for the 2015 vintage to
perform in line with the 2013 and 2014 vintages, if not weaker.
Sufficient Credit Enhancement (CE): Initial hard CE totals 49.85%
for the class A notes, decreased slightly from 2015-5 but
consistent with 2015-3 and 2015-4. Anticipated excess spread has
decreased to 10% per annum, the lowest historically for the
platform, due to higher anticipated pricing of the notes and the
significant drop in WA APR, down to 16.0% from 16.30% in 2015-5.
Stable Corporate Health: SCUSA recorded solid financial results
recently and has been profitable since 2007. Fitch rates Santander,
majority owner of SCUSA, 'A-/F2/Outlook Stable.
Consistent Origination/Underwriting/Servicing: SCUSA demonstrates
adequate abilities as originator, underwriter and servicer, as
evidenced by historical portfolio and securitization performance.
Fitch deems SCUSA capable to service this series.
Legal Structure Integrity: The legal structure of the transaction
should provide that a bankruptcy of SCUSA would not impair the
timeliness of payments on the securities.
RATING SENSITIVITIES
Unanticipated increases in the frequency of defaults and loss
severity on defaulted receivables could produce loss levels higher
than the base case. This in turn could result in Fitch taking
negative rating actions on the notes.
Fitch evaluated the sensitivity of the ratings assigned to
Santander Drive Auto Receivables Trust 2016-1 to increased credit
losses over the life of the transaction. Fitch's analysis found
that the transaction displays some sensitivity to increased
defaults and credit losses. This shows a potential downgrade of one
or two categories under Fitch's moderate (1.5x base case loss)
scenario, especially for the subordinate bonds. The notes could
experience downgrades of three or more rating categories,
potentially leading to distressed ratings (below 'Bsf') or possibly
default, under Fitch's severe (2x base case loss) scenario.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from
Deloitte and Touche, LLP. The third-party due diligence focused on
comparing or recomputing certain information with respect to 150
loans from the statistical data file. Fitch considered this
information in its analysis and the findings did not have an impact
on its analysis/conclusions.
SOLARCITY LMC V: S&P Assigns Prelim. BB Rating on Class B Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary ratings
to SolarCity LMC Series V LLC's $57.45 million solar lease- and
power purchase agreement (PPA)-backed notes series 2016-1.
The note issuance is solar asset-backed securities transaction
backed by a trust estate consisting primarily of all rights, title,
and interest of the issuer in and to a portfolio of solar PV
systems; the master lease documents (including the rights to
receive rent and other payments in respect of the PV systems
subject to the master lease agreement); solar asset agreements
(related to PV systems that are no longer subject to the master
lease agreement); amounts on deposit in various transaction
accounts; rights from certain insurance policies covering the solar
assets; and cash flow associated with the ownership of such
assets.
The preliminary ratings are based on information as of Feb. 9,
2016. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The credit enhancement available in the form of
overcollateralization and subordination (for the class A
notes);
-- The manager's operational and management abilities;
-- The customer base's initial credit quality underlying the
portfolio;
-- The projected cash flows supporting the notes; and
-- The transaction's structure.
PRELIMINARY RATINGS ASSIGNED
SolarCity LMC Series V LLC
Solar lease- and PPA-backed notes series 2016-1
Class Rating(i) Amount (mil. $)
A BBB (sf) 52.15
B(ii) BB (sf) 5.30
(i) The ratings do not address post-ARD additional note
interest.
(ii) Interest on the class B notes is deferrable if certain
triggers are breached.
PPA -- Power purchase agreement.
ARD -- Anticipated repayment date.
NR -- Not rated.
UBS COMMERCIAL 2012-C1: Fitch Affirms 'Bsf' Rating on Cl. F Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 10 classes of UBS Commercial Trust
2012-C1 (UBS 2012-C1) commercial mortgage pass-through
certificates.
KEY RATING DRIVERS
The affirmations are based on the stable performance of the
underlying collateral pool and significant percentage of defeased
assets. Per the servicer reporting, five loans (24.4% of the pool)
are defeased compared with one loan (0.3%) at the last rating
action. Fitch modeled losses of 3.7% of the remaining pool;
expected losses on the original pool balance total 3.4%. The pool
has experienced no realized losses to date. Fitch has designated
seven loans (3.1%) as Fitch Loans of Concern, including four
specially serviced assets (1.8%).
As of the January 2016 distribution date, the pool's aggregate
principal balance has been reduced by 7.9% to $1.23 billion from
$1.33 billion at issuance. Only 4.8% (in 2016) of the pool is
scheduled to mature before 2021 (15.7% of the pool) and 2022
(79.5%). However, approximately 87% of the pool is amortizing.
The largest loan in the pool is the interest-only Dream Hotel
Downtown Leased Fee loan (9.8% of the pool), which is secured by
the fee and leasehold interests in a 315-room luxury boutique
hotel, including 6,500 square feet of retail space, located in the
Meatpacking District of Manhattan. The property is subject to two
net leases, which have a remaining term of approximately 98 years.
The net lease payments, which are the source for the loan's debt
service payments, are supported by hotel operations. In the event
of a default under the net leases, the sponsor may take possession
of hotel operations. Per the December 2015 trailing 12 months
(TTM) STR report, the Dream Hotel reports occupancy, average daily
rate (ADR) and revenue per available room (RevPAR) of 85.7%, $345,
and $296, respectively, with RevPAR penetration of 96.6%.
The four specially serviced assets include three cross defaulted
limited service hotel loans (combined 1.3% of the pool), which were
transferred in February 2015 due to a payment default on one of the
locations. Additionally, several of the original guarantors have
reportedly filed personal bankruptcy. The loans are all now
current, and the servicer is working with the borrower, under a
forbearance agreement, on a transfer of ownership interests.
The other specially-serviced loan (0.5%) is secured by two mixed
use properties located in Chicago, IL. The properties, which are
both situated in the Lakeview neighborhood, consist of retail,
medical office, and multifamily components. Per the special
servicer, the loan was transferred in January 2016 due to a
non-monetary event of default. Recent performance information on
the properties has not been provided.
RATING SENSITIVITIES
The Positive and Stable Outlooks on the classes reflect the
significant defeasance, increasing credit enhancement and continued
expected pay down from loan payoffs and scheduled amortization.
Classes B and C are subject to upgrade should credit enhancement
continue to improve and the underlying collateral continue its
overall stable performance. Fitch does not foresee negative
ratings migration unless a material economic and/or asset level
event changes the transaction's portfolio-level metrics.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed these classes and revised Outlooks as
indicated:
-- $73.5 million class A-2 at 'AAAsf'; Outlook Stable;
-- $657.2 million class A-3 at 'AAAsf'; Outlook Stable;
-- $96 million class A-AB at 'AAAsf'; Outlook Stable;
-- $113.1 million class A-S at 'AAAsf'; Outlook Stable;
-- $939.7 million class X-A* at 'AAAsf'; Outlook Stable;
-- $66.5 million class B at 'AAsf'; Outlook to Positive from
Stable;
-- $49.9 million class C at 'Asf'; Outlook to Positive from
Stable.
-- $74.9 million class D at 'BBB-sf'; Outlook Stable;
-- $26.6 million class E at 'BBsf'; Outlook Stable;
-- $23.3 million class F at 'Bsf'; Outlook Stable.
*Notional amount and interest-only.
Class A- 1 has been paid in full. Fitch does not rate the class G
or X-B interest-only certificates.
WFRBS COMMERCIAL 2014-LC14: Fitch Affirms Bsf Rating on Cl. F Certs
-------------------------------------------------------------------
Fitch Ratings has affirmed 17 classes of WFRBS Commercial Mortgage
Trust 2014-LC14 commercial mortgage pass-through certificates. The
Rating Outlook for all classes remains Stable.
KEY RATING DRIVERS
The affirmations are due to the overall stable performance of the
collateral pool since issuance. The remittance report dated Jan.
15, 2016, indicates one loan, Canadian Pacific Plaza (3.2%, #8 loan
by balance), as over 30 days delinquent. However, it has been
confirmed by the master servicer, Wells Fargo, that the loan is now
current. As of the January 2016 distribution date, the pool's
aggregate principal balance has been reduced by 1.8% to $1,232.1
million from $1.225.6 million at issuance. There are eight
servicer watchlist loans (10.2% of the pool), three of which (5.2%)
have been identified as Fitch Loans of Concern (FLOC). No loans
have been in special servicing since issuance.
The first FLOC is the Williams Center Towers loan (3.7%), a 10-year
partial interest only (IO) loan (IO for the initial 38 months). It
is secured by two adjacent office buildings totalling 765,809 sf
located in the central business district of Tulsa, OK. The largest
tenants at issuance included Samson Investment Co (34.7% NRA), Bank
of Oklahoma (6.7%), and Doerner, Saunders, Daniel LLP (6.4%).
The loan was structured with a springing cash management agreement,
which was triggered when Sampson Investment, an energy exploration
company, gave back the 11th floor consisting of 19,857 SF effective
Aug. 1, 2015. Samson has also given notice that it will be giving
back the 12th floor consisting of 19,464 square feet (sf) (2.5%)
effective Aug. 1, 2016, which is permitted per the original lease
terms, which include termination options. In September 2015, the
company filed for bankruptcy due to the fallout of the oil
industry. However, the expected further decline in occupancy by
Sampson Investment has been buffered by another tenant, BOKF, which
expanded their space from 70,000 sf to a total of 88,829 sf
effective October 2015. Overall, tenants comprising 58% of NRA
have termination options, including the top three largest tenants.
As of September 2015, Williams Center Towers was 89% occupied,
compared to 92% at YE 2014 and 91.6% at issuance. The
servicer-reported third quarter 2015 (3Q15) DSCR was 1.92x,
compared to 1.79x at YE2014 and 1.65x at issuance.
The second FLOC is the Westridge Apartments loan (1%). The loan is
secured by a 96-unit multifamily property located in Williston, ND.
The property's occupancy has dropped significantly from 100% at
issuance to 66% as of September 2015. The servicer-reported 2Q15
DSCR was 1.60x, compared to 2.02x at YE2014 and 1.91x at issuance.
The largest loan in the pool, Americas Mart (10.9% of the pool), is
a 10-year amortizing balloon loan. The whole loan consists of four
pari passu notes with a total current balance of $537.8 million,
amortizing from $560 million at issuance. Only the A3 note is
included in the trust. The loan is secured by a 7.1 million sf
wholesale trade market located in the CBD of Atlanta, GA, that
caters to a variety of retailers, wholesalers and manufacturers
that engage in wholesale trade. There is approximately 4.6 million
sf of rentable area in four attached buildings, 3.5 million sf of
which is permanent space. The 1.1 million sf of temporary
exhibition space can be leased during trade shows. The loan is
sponsored by AMC Inc. The servicer-reported occupancy for the
permanent space as of May 2015 was 90%, compared to 85% at UW. The
loan is performing in line with issuer underwriting expectations.
The servicer-reported DSCR as of May 2015 was 1.77x, compared to
1.76x at issuance.
The second largest loan, The PennCap Portfolio (7%), is a 10-year
partial interest-only loan (interest-only for the initial 24
months). The whole loan consists of two pari passu notes totaling
$138.6 million. Only the A1 note is included in the trust. The
collateral consists of a portfolio of 32 properties located within
five different office/industrial parks in the Lehigh Valley area of
Pennsylvania. The combined properties represent 1,432,661 sf of
office and office/industrial flex space. The properties are
currently occupied by over 100 tenants across a wide variety of
industries. Sponsored by PennCap Properties, the loan is
performing in line with issuer underwriting expectations. As of
September 2015, the portfolio was 92% occupied, compared to 91.3%
at UW. Servicer reported 3Q 2015 DSCR was 1.76x, compared to 1.54x
at issuance.
RATING SENSITIVITIES
The Rating Outlook for all classes remains Stable. Due to the
recent issuance of the transaction and stable performance, Fitch
does not foresee positive or negative ratings migration until a
material economic or asset-level event changes the transaction's
portfolio-level metrics.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed these classes:
-- $42.7 million class A-1 at 'AAAsf'; Outlook Stable;
-- $189.7 million class A-2 at 'AAAsf'; Outlook Stable;
-- $80 million class A-3FL at 'AAAsf'; Outlook Stable;
-- $0 class A-3FX at 'AAAsf'; Outlook Stable;
-- $175 million class A-4 at 'AAAsf'; Outlook Stable;
-- $278.5 million class A-5 at 'AAAsf'; Outlook Stable;
-- $89.5 million class A-SB at 'AAAsf'; Outlook Stable;
-- $95.7 million class A-S at 'AAAsf'; Outlook Stable;
-- $81.6 million class B at 'AA-sf'; Outlook Stable;
-- $47.1 million class C at 'A-sf'; Outlook Stable;
-- $0 class PEX Exchangeable Certificates at 'A-sf'; Outlook
Stable;
-- $64.3 million class D at 'BBB-sf'; Outlook Stable;
-- $22 million class E at 'BBsf'; Outlook Stable;
-- $12.6 million class F at 'Bsf'; Outlook Stable;
-- Interest-Only class X-A at 'AAAsf'; Outlook Stable;
-- Interest-Only class X-B at 'BBB-sf'; Outlook Stable.
Fitch does not rate the IO class X-C or the class G.
[*] Fitch Lowers Ratings in 22 Bonds in 7 Transactions to Dsf
-------------------------------------------------------------
Fitch Ratings, on Feb. 4, 2016, took various rating actions on
already distressed U.S. commercial mortgage-backed securities
(CMBS) bonds. Fitch downgraded 22 bonds in seven transactions to
'D', as the bonds have incurred a principal write-down. The bonds
were all previously rated 'CC' or 'C', which indicates that losses
were probable.
Fitch has also withdrawn the ratings on four classes in three deals
as a result of realized losses. The trust balances have been
reduced to $0 or have experienced non-recoverable realized losses
and are no longer considered by Fitch to be relevant to the
agency's coverage.
The Affected Ratings are:
Banc of America Commercial Mortgage Inc. 2004-6
-- Classes H, J, K, L, M, N, O, Ratings downgraded to Dsf
Credit Suisse First Boston Mortgage Securities Corp.
2002-CP3
-- Classes M and N, Dsf ratings withdrawn
Greenwich Capital Commercial Funding Corp. 2007-GG11
-- Classes E, F, and G, Ratings downgraded to Dsf
J. P. Morgan Chase Commercial Mortgage Securities Corp.
2005-CIBC13
-- Classes B, C, D, and E, Ratings downgraded to Dsf
-- Class L, Dsf rating withdrawn
Lehman Brothers Floating Rate Commercial Mortgage Trust
2007-LLF C5
-- Class J, Dsf rating withdrawn
ML-CFC Commercial Mortgage Trust 2007-6
-- Classes F, G, H, Ratings downgraded to Dsf
Morgan Stanley Capital I Trust 2005-TOP 17
-- Class M, Rating downgraded to Dsf
Morgan Stanley Capital I Trust 2007-IQ16
-- Classes E, F, G, Ratings downgraded to Dsf
KEY RATING DRIVERS
The downgrades are limited to just the bonds with write-downs. Any
remaining bonds in these transactions have not been analyzed as
part of this review. In cases where the last rated tranches of a
transaction are in default and rated 'D', the defaulted ratings
will be automatically withdrawn within 11 months of the date of the
previous rating action.
RATING SENSITIVITIES
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 class.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
*********
Monday's edition of the TCR delivers a list of indicative prices
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then-ending.
*********
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