/raid1/www/Hosts/bankrupt/TCR_Public/160306.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, March 6, 2016, Vol. 20, No. 66
Headlines
225 LIBERTY STREET: S&P Assigns BB- Rating on Class E Certificates
ACA CLO 2007-1: S&P Affirms 'B+' Rating on Class E Notes
ARCAP 2003-1: Fitch Raises Rating on Class D Notes to 'Bsf'
BAMLL 2016-ASHF: S&P Gives Prelim BB- Rating on Cl. E Certs
BANC OF AMERICA 2006-5: Moody's Ups Class A-J Debt Rating to Caa1
BEAR STEARNS 2005-TOP20: Moody's Hikes Cl. E Debt Rating to Ba3
CD 2005-CD1 COMMERCIAL: Moody's Lowers Rating on Cl. X Certs to Ca
CFCRE COMMERCIAL 2011-C1: Moody's Lowers Rating on Cl. E to Ba1
COMM MORTGAGE 2004-LNB2: Fitch Affirms 'Dsf' Rating on 4 Certs.
CREDIT SUISSE 2003-CPN1: Moody's Affirms Caa3 Rating on 2 Tranches
CS FIRST BOSTON 1999-C1: Moody’s Affirms Caa3 Rating on A-X Debt
ECP CLO 2014-6: Moody's Lowers Rating on Class E Notes to B3
EMAC OWNER 1999-1: Moody's Lowers Rating on Cl. A-2 Certs to C
FIRST UNION 2001-C1: Moody's Affirms Caa3 Rating on 2 Certs.
FIRST UNION 2001-C4: Moody's Affirms Caa3 Rating on Cl. IO-I Debt
GMAC COMMERCIAL 2002-C3: Fitch Affirms 'Dsf' Rating on 3 Certs
GRAYSON CLO: S&P Raises Rating on Class C Notes to 'BB+'
GS MORTGAGE 2016-RENT: Fitch to Class E Debt 'BB-sf'
GS MORTGAGE 2016-RENT: S&P Assigns Prelim. BB- Rating on E Certs
HIGHBRIDGE LOAN 8-2016: S&P Gives Prelim. BB- Rating on Cl. E Notes
HUNTINGTON CDO: Moody's Raises Rating on 2 Tranches to Ba1
JP MORGAN 2003-CIBC6: Moody's Affirms Ba1 Rating on Class H
JP MORGAN 2004-CIBC8: Moody's Hikes Cl. H Debt Rating to B3(sf)
JP MORGAN 2005-CIBC13: Fitch Affirms 'Dsf' Rating on 13 Tranches
JP MORGAN 2005-LDP5: Fitch Affirms 'Csf' Rating on 6 Certificates
JP MORGAN 2006-CIBC15: Fitch Affirms 'Dsf' Rating on 14 Certs
JP MORGAN 2006-CIBC17: Moody's Cuts Cl. A-J Debt Rating to Caa3
JP MORGAN 2012-C6: Fitch Affirms 'Bsf' Rating on Cl. H Certs.
LB-UBS COMMERCIAL 2004-C4: Moody's Affirms Caa2 Rating on Cl J Debt
LEHMAN ABS 2001-B: S&P Lowers Rating on Cl. A-4 Certificates to BB
MORGAN STANLEY 2003-IQ6: Moody's Hikes Class M Debt Rating to B1
MORGAN STANLEY 2004-IQ8: S&P Raises Rating on Cl. G Certs to BB+
MORGAN STANLEY 2005-TOP19: Fitch Raises Rating on E Certs to BB
MORGAN STANLEY 2007-IQ14: Moody’s Affirms Ba2 Rating on 2 Tranches
MORGAN STANLEY 2016-C28: Fitch Assigns B- Rating on 2 Tranches
PANGAEA CLO 2007-1: Moody's Affirms Ba3 Rating on Cl. D Notes
PEACHTREE FRANCHISE 1999-A: Moody's Lowers Rating on 2 Notes to Ca
SOLARCITY LMC: S&P Assigns 'BB' Rating on Class B Notes
TIDEWATER AUTO 2016-A: S&P Assigns BB Rating on Class E Notes
VOYA CLO 2016-1: Moody's Assigns Ba3(sf) Rating to Class D Notes
WACHOVIA BANK 2004-C12: Fitch Lowers Rating on Cl. O Certs to C
WACHOVIA BANK 2004-C12: S&P Affirms BB+ Rating on Cl. H Certs
WACHOVIA BANK 2005-C22: Moody's Affirms C Rating on 2 Tranches
WELLS FARGO 2016-NXS5: Fitch Assigns 'BB-sf' Rating on Cl. F Debt
WORTHINGTON 2012-D: S&P Lowers Ratings on 2 Tranches to B+
[*] Delinquencies Hit 6-Yr. High for Subprime Auto ABS, Fitch Says
[*] Fitch Takes Rating Actions on 14 SF CDOs Issued 2001-2005
[*] Moody's Hikes $674MM of Subprime RMBS Issued 2003-2007
[*] Moody's Raises Rating on $722.6MM Subprime RMBS
[*] Moody's Takes Action on $65MM Prime Jumbo RMBS Issue 2003-2005
[*] Moody's Takes Action on $80.2MM Alt-A RMBS Deals
[*] Moody's Takes Action on $89MM Subprime RMBS Issued 2003-2004
[*] S&P Puts Ratings on 14 Tranches on CreditWatch Positive
[*] S&P Takes Rating Actions on 20 US RMBS Re-REMIC Deals
*********
225 LIBERTY STREET: S&P Assigns BB- Rating on Class E Certificates
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to 225
Liberty Street Trust 2016-225L's $778.5 million commercial mortgage
pass-through certificates series 2016-225L.
The certificate issuance is a commercial mortgage-backed securities
transaction backed by a $778.5 million trust loan, which is part of
a whole mortgage loan structure in the aggregate principal amount
of $900 million and secured by the leasehold interest in the 2.4
million-sq.-ft., 44-story class A office building located at 225
Liberty St. in New York City's Downtown Manhattan office market.
The mortgage loan is also secured by the borrower's leasehold
interest in the retail component at Brookfield Place; however,
given that the retail component has been master-leased to an
affiliate of the borrower on a long-term basis per a master retail
lease for an annual rent of $1, the retail component has no
recovery value in our view and has not been taken into account in
our underwriting of the whole mortgage loan.
The mortgage loan sellers are retaining $121.5 million in pari
passu nontrust companion loans. Both the trust loan and the
companion loans are collectively secured by the same mortgage on
the property and will be serviced and administered according to the
trust and servicing agreement for this securitization.
Since S&P assigned its preliminary ratings to the transaction on
Feb. 9, 2016, one of the mortgage loan sellers has chosen to
contribute a portion of its companion loan into the trust balance.
This has increased the amounts of the class A and B certificates by
$11.74 million and $1.76 million, respectively. In addition, the
notional balance of the interest-only class X has also increased by
$13.5 million to $395.3 million as it references the class A, B,
and C certificates.
The ratings reflect S&P's view of the collateral's historical and
projected performance, the sponsor's experience, the
trustee-provided liquidity, the mortgage loan's terms, and the
transaction's structure.
RATINGS ASSIGNED
225 Liberty Street Trust 2016-225L
Class Rating(i) Amount ($)
A AAA (sf) 293,623,000
X A (sf) 395,250,000(ii)
B AA (sf) 43,877,000
C A (sf) 57,750,000
D BBB- (sf) 171,703,000
E BB- (sf) 120,023,000
F B- (sf) 91,524,000
(i) The certificates will be issued to qualified institutional
buyers according to Rule 144A of the Securities Act of 1933.
(ii) Notional balance.
ACA CLO 2007-1: S&P Affirms 'B+' Rating on Class E Notes
--------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on ACA CLO
2007-1 Ltd.'s class A, B C, and D notes and affirmed S&P's rating
on the class E note. At the same time, S&P removed all five
classes of notes from CreditWatch, where it placed with positive
implications on Dec. 18, 2015. ACA CLO 2007-1 Ltd. is a U.S.
collateralized loan obligation (CLO) transaction that closed in
June 2007 and is managed by CVC Credit Partners.
The rating actions follow S&P's review of the transaction's
performance using data from the trustee report dated Jan. 6, 2016.
The upgrades and the affirmation reflect the transaction's $110.5
million paydown to the class A note since S&P's January 2015 rating
actions. As a result of the paydowns, the transaction's
overcollateralization (O/C) ratios have improved since the December
2014 trustee report that was the basis of S&P's January 2015 rating
actions. The January trustee report indicated the class E O/C has
increased to 105.43% from 103.63% as of the December 2014 report.
Additionally, the credit quality of the portfolio remains stable as
the balance of assets rated 'CCC+' is 2.67% of the portfolio.
Although S&P's cash flow analysis points to a lower rating for the
class E notes, S&P affirmed its 'B+ (sf)' rating based on its
belief that the risk for this tranche has not increased as
evidenced by the increase in the class E OC ratio.
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 AA+ (sf)/Watch Pos AAA (sf) 17.63% AAA (sf)
B AA+ (sf)/Watch Pos AAA (sf) 1.54% AAA (sf)
C A+ (sf)/Watch Pos AA (sf) 1.59% AA (sf)
D BB+ (sf)/Watch Pos BBB- (sf) 2.51% BBB- (sf)
E B+ (sf)/Watch Pos B (sf) 1.21% 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 (BDR) above the scenario default rate (SDR) 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 below.
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) AA+ (sf) AAA (sf) AAA (sf)
C AA (sf) AA- (sf) AA- (sf) AA+ (sf) AA (sf)
D BBB- (sf) BB+ (sf) BBB- (sf) BBB+ (sf) BBB- (sf)
E B (sf) CCC+ (sf) B (sf) B+ (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) AA+ (sf) AAA (sf)
C AA (sf) AA- (sf) BBB+ (sf) AA (sf)
D BBB- (sf) BBB- (sf) CCC+ (sf) BBB- (sf)
E B (sf) CCC+ (sf) CC (sf) B+ (sf)
RATINGS LIST
Ratings Raised And Removed From CreditWatch
ACA CLO 2007-1 Ltd.
Rating
Class To From
A AAA (sf) AA+ (sf)/Watch Pos
B AAA (sf) AA+ (sf)/Watch Pos
C AA (sf) A+ (sf)/Watch Pos
D BBB- (sf) BB+ (sf)/Watch Pos
Ratings Affirmed And Removed From CreditWatch
ACA CLO 2007-1 Ltd.
Rating
Class To From
E B+ (sf) B+ (sf)/Watch Pos
ARCAP 2003-1: Fitch Raises Rating on Class D Notes to 'Bsf'
-----------------------------------------------------------
Fitch Ratings has upgraded two and affirmed six classes issued by
ARCap 2003-1 Resecuritization, Inc. (ARCap 2003-1).
KEY RATING DRIVERS
The upgrades are due to continued deleveraging, increasing credit
enhancement, positive portfolio migration, and better than expected
recoveries from distressed collateral. Since the last rating
action in March 2015, approximately 32.8% of the collateral has
been upgraded and none has been downgraded. Over this period, the
transaction has received $18.6 million in paydowns. Since
issuance, the transaction has experienced $261.9 million in
cumulative principal losses, $0.8 million of which was incurred
since last review. Currently, 63.4% of the portfolio has a
Fitch-derived rating below investment grade, and 33.7% has a rating
in the 'CCC' category and below, compared to 64.5% and 43.4%,
respectively, at the last rating action.
This transaction was analyzed under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs' using
the Portfolio Credit Model (PCM) for projecting future default
levels for the underlying portfolio. Fitch also analyzed the
structure's sensitivity to the assets that are distressed,
experiencing interest shortfalls, and those with near-term
maturities. Additionally, a deterministic analysis was performed
where the recovery estimate on the distressed collateral was
modeled in accordance with the principal waterfall. An
asset-by-asset analysis was then performed for the remaining assets
to determine the collateral coverage for the remaining
liabilities.
Based on this analysis, the credit enhancement for the class C and
D notes is consistent with the rating actions below.
For the class E through K notes, Fitch analyzed each class'
sensitivity to the default of the distressed assets ('CCC' and
below). Given the high probability of default of the underlying
assets and the expected limited recovery prospects upon default,
the class E through K notes have been affirmed at 'Csf', indicating
that default is inevitable.
RATING SENSITIVITIES
The Stable Outlook on the class C and D notes reflects Fitch's view
that the transaction will continue to delever. However, further
negative migration and defaults beyond those projected by SF PCM as
well as increasing concentration in assets of a weaker credit
quality could lead to downgrades. If recoveries are better than
expected, there could be additional upgrades.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has upgraded and revised or assigned Rating Outlooks to these
ratings:
-- $16,345,629 class C notes to 'BBBsf' from 'Bsf; Outlook to
Stable from Positive;
-- $15,400,000 class D notes to 'Bsf' from 'CCCsf'; Outlook
Stable.
Fitch has affirmed these ratings:
-- $36,100,000 class E notes at 'Csf';
-- $13,000,000 class F notes at 'Csf';
-- $45,000,000 class G notes at 'Csf';
-- $9,000,000 class H notes at 'Csf';
-- $28,000,000 class J notes at 'Csf';
-- $24,000,000 class K notes at 'Csf'.
The class A and B notes have paid in full. Fitch does not rate the
class L or class X notes.
BAMLL 2016-ASHF: S&P Gives Prelim BB- Rating on Cl. E Certs
-----------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary ratings
to BAMLL Commercial Mortgage Securities Trust 2016-ASHF's $325.0
million commercial mortgage pass-through certificates series
2016-ASHF.
The note issuance is a commercial mortgage-backed securities
transaction backed by one two-year, floating-rate commercial
mortgage loan with four one-year extension options totaling $325.0
million, secured by cross-collateralized and cross-defaulted
mortgages on the borrowers' fee interests in 17 full-service,
limited-service, and extended-stay hotels.
The preliminary ratings are based on information as of March 2,
2016. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of the collateral's
historic and projected performance, the sponsor's and managers'
experience, the trustee-provided liquidity, the loan's terms, and
the transaction's structure. S&P determined that the loan has a
beginning and ending loan-to-value ratio of 85.8%, based on
Standard & Poor's value.
PRELIMINARY RATINGS ASSIGNED
BAMLL Commercial Mortgage Securities Trust 2016-ASHF
Class Rating Amount ($)
A AAA (sf) 121,200,000
X B+ (sf) 325,000,000(i)
B AA- (sf) 42,800,000
C A- (sf) 30,800,000
D BBB- (sf) 43,100,000
E BB- (sf) 66,300,000
F B+ (sf) 20,800,000
(i) Notional balance. The notional amount of the class X
certificates will be reduced by the aggregate amount of principal
distributions and realized losses allocated to the A-1 portion of
the class A certificates.
BANC OF AMERICA 2006-5: Moody's Ups Class A-J Debt Rating to Caa1
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two classes,
affirmed the ratings on six classes and downgraded the rating on
one class of Banc of America Commercial Mortgage Inc., Commercial
Mortgage Pass-Through Certificates, Series 2006-5 as follows:
Cl. A-1A, Upgraded to Aa1 (sf); previously on Mar 27, 2015 Upgraded
to Aa2 (sf)
Cl. A-4, Upgraded to Aa1 (sf); previously on Mar 27, 2015 Upgraded
to Aa2 (sf)
Cl. A-M, Affirmed Baa1 (sf); previously on Mar 27, 2015 Affirmed
Baa1 (sf)
Cl. A-J, Affirmed Caa1 (sf); previously on Mar 27, 2015 Affirmed
Caa1 (sf)
Cl. B, Affirmed C (sf); previously on Mar 27, 2015 Affirmed C (sf)
Cl. C, Affirmed C (sf); previously on Mar 27, 2015 Affirmed C (sf)
Cl. D, Affirmed C (sf); previously on Mar 27, 2015 Affirmed C (sf)
Cl. E, Affirmed C (sf); previously on Mar 27, 2015 Affirmed C (sf)
Cl. XC, Downgraded to B2 (sf); previously on Mar 27, 2015 Affirmed
B1 (sf)
RATINGS RATIONALE
The ratings on two P&I classes were upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 18% since Moody's last
review.
The rating on one P&I class, Class A-M, was 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 the remaining five P&I classes 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 10.4% of the
current balance, compared to 13.6% at Moody's last review. Moody's
base expected loss plus realized losses is now 13.4% of the
original pooled balance, compared to 13.6% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
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 February 10, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 40% to $1.35 billion
from $2.24 billion at securitization. The certificates are
collateralized by 132 mortgage loans ranging in size from less than
1% to 11% of the pool, with the top ten loans constituting 41% of
the pool. Eleven loans, constituting 7% of the pool, have defeased
and are secured by US government securities.
Thirty-three loans, constituting 23% 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-seven loans have been liquidated from the pool, resulting in
an aggregate realized loss of $160.5 million (for an average loss
severity of 49%). Fifteen loans, constituting 11% of the pool, are
currently in special servicing. The largest specially serviced loan
is the Glen Burnie Center Loan ($27.6 million -- 2.1% of the pool),
which is secured by an approximately 267,000 square foot (SF)
former traditional regional mall in Glen Burnie, Maryland. The loan
transferred to special servicing in March 2011 and became real
estate owned (REO) in July 2012. Moody's anticipates a significant
loss on this loan.
The remaining 14 specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $107.2 million loss
for the specially serviced loans (74% expected loss on average).
Moody's has assumed a high default probability for six poorly
performing loans, constituting 4% of the pool, and has estimated an
aggregate loss of $9 million (a 15% expected loss based on a 50%
probability default) from these troubled loans.
Moody's received full year 2014 operating results for 89% of the
pool and full or partial year 2015 operating results for 93% of the
pool. Moody's weighted average conduit LTV is 94%, compared to 95%
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%.
Moody's actual and stressed conduit DSCRs are 1.27X and 1.05X,
respectively, compared to 1.26X and 1.03X 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 23% of the pool balance. The
largest loan is the Southern Walgreens Portfolio ($151.3 million --
11.3% of the pool), which is secured by a portfolio of three
cross-collateralized and cross-defaulted loans which are backed by
42 retail properties located across 16 states. As of December 2014,
the properties were fully leased to Walgreen Co. under a triple-net
lease arrangement which terminates in 2077. The loan has an
anticipated repayment date of September 1, 2016 and a final
maturity date of September 2036. Moody's LTV and stressed DSCR are
94% and 0.76X, respectively, compared to 96% and 0.74X at the last
review.
The second largest loan is the Shoreham Loan ($94.2 million -- 7.0%
of the pool), which is secured by a 46-story, 548-unit, Class A
apartment tower in downtown Chicago, Illinois. Financial
performance and occupancy have improved steadily in recent years.
September 2015 occupancy was 92% compared to 95% as of September
2014. Moody's LTV and stressed DSCR are 98% and 0.85X,
respectively, compared to 105% and 0.80X at the last review.
The third largest loan is the Essex Green Shopping Center Loan
($57.5 million -- 4.3% of the pool), which is secured by a retail
power center with approximately 351,000 SF of rentable area located
in West Orange, New Jersey. As of September 2015, the property was
95% leased. The anchor tenant, Macy's, recently renewed their lease
through 2025. Moody's LTV and stressed DSCR are 114% and 0.76X,
respectively, compared to 108% and 0.80X at the last review.
BEAR STEARNS 2005-TOP20: Moody's Hikes Cl. E Debt Rating to Ba3
---------------------------------------------------------------
Moody's Investors Service upgraded four classes and affirmed five
classes of Bear Stearns Commercial Mortgage Securities Trust,
Commercial Mortgage Pass-Through Certificates, Series 2005-TOP20 as
follows:
Cl. B, Upgraded to Aaa (sf); previously on Nov 19, 2015 Upgraded to
Aa2 (sf)
Cl. C, Upgraded to Aa3 (sf); previously on Nov 19, 2015 Upgraded to
A1 (sf)
Cl. D, Upgraded to A2 (sf); previously on Nov 19, 2015 Upgraded to
A3 (sf)
Cl. E, Upgraded to Ba3 (sf); previously on Nov 19, 2015 Upgraded to
B1 (sf)
Cl. F, Affirmed B3 (sf); previously on Nov 19, 2015 Upgraded to B3
(sf)
Cl. G, Affirmed Caa2 (sf); previously on Nov 19, 2015 Affirmed Caa2
(sf)
Cl. H, Affirmed C (sf); previously on Nov 19, 2015 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Nov 19, 2015 Affirmed C (sf)
Cl. X, Affirmed Ca (sf); previously on Nov 19, 2015 Affirmed Ca
(sf)
RATINGS RATIONALE
The ratings on four P&I classes B, C, D and E were upgraded
primarily due to an increase in credit support since Moody's last
review, resulting from paydowns and amortization. The pool has paid
down an additional 22% since Moody's last review.
The ratings on four below investment grade P&I classes F, G, H and
J were affirmed because the ratings are consistent with Moody's
expected loss.
The rating on the IO Class, Class X, was affirmed at Ca (sf)
because it is not currently, nor expected to, receive interest
payments. However, it may receive future interest payments as a
result of prepayment penalties.
Moody's rating action reflects a base expected loss of 9.2% of the
current balance compared to 7.6% at last review. The numerical base
expected loss figure declined compared to last review while the
percentage increased due to paydowns and amortization. The deal has
paid down 22% since last review and 93% since securitization.
Moody's base plus realized loss totals 4.2%, the same as at 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 pay downs 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 February 12, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 93% to $147.5
million from $2.1 billion at securitization. The certificates are
collateralized by 16 mortgage loans ranging in size from less than
1% to 55% of the pool, with the top ten loans constituting 94% of
the pool. One loan, constituting 3% of the pool, has defeased and
is secured by US government securities.
One loan, constituting less than 1% of the pool, is on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Twelve loans have been liquidated from the pool, resulting in an
aggregate realized loss of $74 million (for an average loss
severity of 26%). Five loans, constituting 15% of the pool, are
currently in special servicing and Moody's has identified one
troubled loan representing 12% of the pool. The specially serviced
loans are secured by a mix of property types. Moody's estimates an
aggregate $12.0 million loss for specially serviced and troubled
loans (31% expected loss on average).
Moody's received full year 2014 operating results for 100% of the
pool, and partial year 2015 operating results for 99% of the pool.
Moody's weighted average conduit LTV is 100%, compared to 99% 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 11.6% 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 1.08X and 1.11X,
respectively, compared to 1.15X and 1.12X 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 performing loans represent 74% of the pool balance.
The largest loan is the Lakeforest Mall -- A Note Loan ($81.4
million -- 55% of the pool), which is secured by a 345,000 SF
interest in a super-regional mall located in Gaithersburg,
Maryland. The mall anchors include Sears, Macy's, J.C. Penney, and
Lord & Taylor. The anchor space is not part of the collateral. The
loan was transferred to special servicing in May 2011 for imminent
maturity default. The loan was modified in August 2012 into an A
Note and B Note. A purchaser assumed the A Note and retired the B
Note. Moody's LTV and stressed DSCR are 112% and 0.89X,
respectively, the same as at last review.
The second largest loan is the 428 Westlake Avenue, North Loan
($17.2 million -- 12% of the pool), which is secured by an 86,619
SF suburban office building located in Seattle, Washington. The
former largest tenant that occupied 92% of the office space vacated
the property in October 2015. Moody's LTV and stressed DSCR are
132% and 0.78X, respectively, essentially the same as at last
review. Due to the occupancy concerns, Moody's considers this a
troubled loan.
The third largest loan is the Hinckley Portfolio Loan ($11.0
million -- 8% of the pool), which represents a 50% participation
interest in five properties totaling 473,975 SF located in Florida,
Rhode Island and Maine. Moody's LTV and stressed DSCR are 56% and
1.78X, respectively, compared to 57% and 1.74X at the last review.
CD 2005-CD1 COMMERCIAL: Moody's Lowers Rating on Cl. X Certs to Ca
------------------------------------------------------------------
Moody's Investors Service affirmed six and downgraded one class of
CD 2005-CD1 Commercial Mortgage Trust, Commercial Mortgage
Pass-Through Certificates, Series 2005-CD1 as:
Cl. D, Affirmed Baa2 (sf); previously on July 23, 2015, Upgraded
to Baa2 (sf)
Cl. E, Affirmed Ba2 (sf); previously on July 23, 2015, Upgraded
to Ba2 (sf)
Cl. F, Affirmed B3 (sf); previously on July 23, 2015, Affirmed
B3 (sf)
Cl. G, Affirmed Caa2 (sf); previously on July 23, 2015, Affirmed
Caa2 (sf)
Cl. H, Affirmed C (sf); previously on July 23, 2015, Affirmed
C (sf)
Cl. J, Affirmed C (sf); previously on July 23, 2015, Affirmed
C (sf)
Cl. X, Downgraded to Ca (sf); previously on July 23, 2015,
Affirmed Ba3 (sf)
RATINGS RATIONALE
The rating on the one investment grade P&I class was 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 the five below investment grade P&I classes, Classes
E through J were affirmed because the ratings are consistent with
Moody's base expected loss.
The IO Class, Class X, was downgraded due to the uncertainty of
future interest payments based on the fact that all of its
references classes have an interest rate equal to the weighted
average coupon of the pool.
Moody's rating action reflects a base expected loss of 30.1% of the
current balance compared to 5.6% at last review. The deal has paid
down 83% since last review and 94% since securitization. Moody's
base plus realized loss totals 5.7% of the original pooled balance,
compared to 5.9% at 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 pay downs or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in these ratings were "Approach to Rating US
and Canadian Conduit/ Fusion CMBS" published in December 2014, and
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in October 2015.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based CMBS Conduit Model, which it
uses for both conduit and fusion transactions. Credit enhancement
levels for conduit loans are driven by property type, Moody's
actual and stressed DSCR, and Moody's property quality grade (which
reflects the capitalization rate Moody's uses to estimate Moody's
value). Moody's fuses the conduit results with the results of its
analysis of investment grade structured credit assessed loans and
any conduit loan that represents 10% or greater of the current pool
balance.
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 10, the same as at Moody's last review.
When the Herf falls below 20, Moody's incorporates the use of 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 Feb. 18, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 94% to $226.1
million from $3.88 billion at securitization. The certificates are
collateralized by 20 mortgage loans ranging in size from less than
1% to 25% of the pool, with the top ten loans constituting 77% of
the pool. One loan, constituting 1% of the pool, has defeased and
is secured by US government securities.
Two loans, constituting 6% 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.
Thirty-seven loans have been liquidated from the pool, resulting in
an aggregate realized loss of $154.8 million (for an average loss
severity of 32%). Twelve loans, constituting 73% of the pool, are
currently in special servicing. The largest specially serviced
loan is the Cedarbrook Corporate Center Portfolio ($56.0 million --
24.8% of the pool), which is secured by a four-building complex
consisting of three Class A research and development buildings and
one Class A office structure. The property is located within the
1.5 million square foot (SF) Cedarbrook Corporate Center office
park in Cranbury, New Jersey. The property was 95% leased as of
September 2015. The loan transferred to Special Servicing in July
2015 for imminent default.
The second largest loan in special servicing is the University of
Phoenix Loan ($24.7 million -- 10.9% of the pool). The loan
transferred to special servicing in May 2015 for imminent default.
The loan is secured by three office properties totaling 204,000 SF,
of which two have become real estate owned (REO). Two properties
are located in Phoenix, Arizona and one is located in Grand Chute,
Wisconsin. All three properties were 100% occupied by the
University of Phoenix at securitization and are currently 100%
vacant.
The third largest specially serviced loan is the Altamont Avenue
Loan ($16.6 million -- 7.4% of the pool). The loan is secured by a
210, 460 SF grocery anchored retail property located in Rotterdam,
New York. The loan transferred to special servicing in June 2011
for imminent default and became REO in October 2014. As of
September 2015, the property was 85% leased.
The remaining nine specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $66.8 million loss
for the specially serviced loans (41% expected loss on average).
Moody's received full year 2014 and partial year 2015 operating
results for 100% and 67% of the pool, respectively. Moody's
weighted average conduit LTV is 87%, compared to 89% 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 15.6% to the most recently available net
operating income (NOI). Moody's value reflects a weighted average
capitalization rate of 9.1%.
Moody's actual and stressed conduit DSCRs are 1.31X and 1.15X,
respectively, compared to 1.52X and 1.11X 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 17% of the pool balance. The
largest loan is the ConnectiCare Office Building ($16.7 million --
7.4% of the pool), which is secured by a 100,540 SF single office
property located in Farmington, Connecticut. As of December 2015,
the property was 100% occupied by Connecticare Insurance with a
lease expiration in February 2018. Moody's analysis is based on a
lit/dark analysis due to concerns about the property's single
tenancy. Moody's LTV and stressed DSCR are 92% and 1.09X,
respectively.
The second conduit loan is the ICI-Glidden Research Center Loan
($15.3 million -- 6.8% of the pool), which is secured by a 194, 600
SF single tenant office property located in Strongsville, Ohio, a
suburb of Cleveland. As of December 2015, the property was 100%
occupied by AKZO Nobel Coating, Inc. with a lease expiration in
December 2018. Moody's analysis is based on a lit/dark analysis
due to concerns about the property's single tenancy. Moody's LTV
and stressed DSCR are 78% and 1.30X, respectively.
The third conduit loan is the Super K- Port Huron, Michigan Loan
($7.3 million -- 3.2% of the pool), which is secured by a single
tenant Kmart (191,008 SF; Lease expiration: 11/30/2030) retail
property located in Port Huron, Michigan. K-Mart vacated the
property in fourth quarter 2014, but the sponsor continues to honor
their lease. Sponsor may look into subleasing or working out a
termination agreement with the Landlord. Moody's analysis is based
on a lit/dark analysis due to concerns about the property's single
tenancy. Moody's LTV and stressed DSCR are 122% and 0.80X,
respectively.
CFCRE COMMERCIAL 2011-C1: Moody's Lowers Rating on Cl. E to Ba1
---------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on seven classes
and downgraded the ratings on four classes in CFCRE Commercial
Mortgage Securities Trust, Commercial Pass-Through Certificates,
Series 2011-C1 as:
Cl. A-2, Affirmed Aaa (sf); previously on March 11, 2015,
Affirmed Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on March 11, 2015,
Affirmed Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on March 11, 2015,
Affirmed Aaa (sf)
Cl. B, Affirmed Aa2 (sf); previously on March 11, 2015, Affirmed
Aa2 (sf)
Cl. C, Affirmed A2 (sf); previously on March 11, 2015, Affirmed
A2 (sf)
Cl. D, Affirmed Baa1 (sf); previously on March 11, 2015,
Affirmed Baa1 (sf)
Cl. E, Downgraded to Ba1 (sf); previously on March 11, 2015,
Affirmed Baa3 (sf)
Cl. F, Downgraded to Ba3 (sf); previously on March 11, 2015,
Affirmed Ba2 (sf)
Cl. G, Downgraded to B3 (sf); previously on March 11, 2015,
Affirmed B2 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on March 11, 2015,
Affirmed Aaa (sf)
Cl. X-B, Downgraded to B1 (sf); previously on March 11, 2015,
Affirmed Ba3 (sf)
RATINGS RATIONALE
The ratings on three P&I classes were downgraded primarily due to
higher anticipated losses from the Hudson Valley Mall Loan that is
currently in special servicing. This loan is secured by a troubled
mall and, after substantial deal paydowns, now represents 16.5% of
the pool balance. The loan is discussed in greater detail below.
The ratings on the remaining six P&I classes were affirmed because
the transaction's key metrics, including Moody's loan-to-value
(LTV) ratio, Moody's stressed debt service coverage ratio (DSCR)
and the transaction's Herfindahl Index (Herf), are within
acceptable ranges.
The rating on one IO Class, Class X-A, was affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of its referenced classes.
The rating on the IO Class, Class X-B, was downgraded due to a
decline in the credit performance (or the weighted average rating
factor or WARF) of its referenced classes.
Moody's rating action reflects a base expected loss of 8.5% of the
current balance, compared to 3.0% at Moody's last review. Moody's
base expected loss plus realized losses is now 4.9% of the original
pooled balance, compared to 2.8% 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.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in these ratings were "Approach to Rating US
and Canadian Conduit/ Fusion CMBS" published in December 2014, and
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in October 2015.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based CMBS Conduit Model, which it
uses for both conduit and fusion transactions. Credit enhancement
levels for conduit loans are driven by property type, Moody's
actual and stressed DSCR, and Moody's property quality grade (which
reflects the capitalization rate Moody's uses to estimate Moody's
value). Moody's fuses the conduit results with the results of its
analysis of investment grade structured credit assessed loans and
any conduit loan that represents 10% or greater of the current pool
balance.
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 14, compared to 17 at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model and then reconciles and weights the results from the
conduit and large loan models in formulating a rating
recommendation. 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 53% to $301 million
from $634.5 million at securitization. The certificates are
collateralized by 23 mortgage loans ranging in size from less than
1% to 17% of the pool, with the top ten loans constituting 68% of
the pool. One loan, constituting 3% of the pool, has defeased and
is secured by US government securities.
Five loans, constituting 20% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance. No loans have been liquidated from the pool.
The specially serviced loan is the Hudson Valley Mall Loan ($49.6
million, 16.5% of the pool), which is secured by a 765,500 SF
component of a regional mall located in Kingston, New York --
approximately 100 miles north of New York City. This is the only
regional mall within a 25-mile radius of Kingston. The loan
transferred to special servicing in April 2015 due to imminent
default and remains current on its loan payments. The mall is
currently anchored by Target, Sears and Regal Cinemas. Other major
tenants include H&M, Best Buy and Dicks. The mall previously
included J.C. Penney which vacated in 2015. As of September 2015,
the total mall was 94% leased, however, Macy's has announced it
will be closing its store in the spring of 2016. Both J.C. Penney
and Macy's will continue to pay rent through their respective lease
expiration dates in 2017. Additionally, several tenants currently
operate with kick-out clauses that would allow them to leave the
mall if sales do not improve. Financial performance at the
property has deteriorated since 2011. Moody's has factored into
its analysis an elevated loss for the loan.
Moody's received full year 2014 operating results for 97% of the
pool. Moody's weighted average conduit LTV is 87%, compared to 94%
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 12% 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 1.41X and 1.19X,
respectively, compared to 1.35X and 1.10X 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 21% of the pool balance. The
largest loan is the Santa Fe Retail Portfolio Loan ($24.5 million
-- 8% of the pool), which is secured by a seven property portfolio
located in Santa Fe, New Mexico. The portfolio consists of six
retail and one office building totaling 189,000 SF. The office
component is 12,500 SF and comprises 6% of the allocated balance.
The majority of the retail tenants are galleries or art related.
As of year-end 2015, the portfolio was 94% leased, compared to 92%
as of year-end 2014. Moody's LTV and stressed DSCR are 94% and
1.09X, respectively, compared to 102% and 1.01X at the last
review.
The second largest conduit loan is the Westport Village Retail Loan
($20.1 million -- 7% of the pool), which is secured by a retail
center located in Louisville, Kentucky. As of September 2015, the
center was 75% leased, compared to 92% as of September 2014. The
loan is currently on the master servicer watchlist due to the
recent decline in occupancy. Moody's LTV and stressed DSCR are
108% and 0.95X, respectively, compared to 101% and 1.02X at the
last review.
The third largest conduit loan is the Walker Center Loan ($18.0
million -- 6% of the pool), which is secured by a 154,000 SF office
building located in the CBD of Salt Lake City, Utah. As of June
2015, the property was 90% leased, compared to 92% as of year-end
2014. The loan benefits from amortization and the property
performance remains stable. Moody's LTV and stressed DSCR are 83%
and 1.27X, respectively, compared to 86% and 1.23X at the last
review.
COMM MORTGAGE 2004-LNB2: Fitch Affirms 'Dsf' Rating on 4 Certs.
---------------------------------------------------------------
Fitch Ratings has upgraded two classes and affirmed 10 classes of
COMM Mortgage Trust 2004-LNB2 commercial mortgage pass-through
certificates.
KEY RATING DRIVERS
The upgrades reflect an increase in defeasance and stable
performance of the remaining pool. There are five loans remaining,
three are defeased (94.4% of the pool), including the largest
(73.5%), second largest (13%), and third largest loans (4.6%); and
one loan is in special servicing (3.1%). The three defeased loans
mature in December 2018, March 2019, and January 2019,
respectively. The one non-defeased, non-specially serviced loan
(2.4%) continues to perform. Fitch modeled losses of 2.7% of the
original pool balance, including 2.5% in realized losses to date.
As of the February 2016 distribution date, the pool's aggregate
principal balance has been reduced by 91.9% to $78 million from
$963.8 million at issuance including $23.98 million (2.5% of the
original pool balance) in realized losses to date. Interest
shortfalls are currently affecting classes K through P.
The specially-serviced loan is secured by a 59,933 square foot (sf)
retail center located in Fort Worth, TX. The center is occupied by
a mix of predominantly small local tenants with a few national
tenants. The loan transferred to special servicing in January 2014
due to maturity default. Occupancy and DSCR was 65.4% and 1.03x,
respectively, as of year-to-date (YTD) August 2014. Previously,
the borrower filed bankruptcy on Dec. 1, 2014, which postponed a
foreclosure sale. Per the special servicer, the foreclosure sale
has closed and the loan became REO effective
Feb. 2, 2016. The asset manager is in the process of evaluating
the asset.
The remaining performing loan (2.4% of the pool) is a single-tenant
Walgreens store in College Station, TX. The Walgreens asset is a
fully amortizing loan with a lease that is coterminous with the
April 2028 maturity.
RATING SENSITIVITIES
The Stable rating Outlooks on classes C through J are the result of
high credit enhancement due to pay down and defeasance. Downgrades
to these classes are unlikely as they are fully covered by
defeasance. Upgrades to classes J and K above the current rating
are unlikely until there is further certainty of resolution on the
specially serviced loan. In addition, the upgrade of class J is
limited, as risk of interest shortfalls remains should the workout
of the specially serviced asset become prolonged.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch has upgraded these ratings:
-- $10.8 million class H to 'AAAsf' from 'BBsf'; Outlook
Stable;
-- $4.8 million class J to 'Asf' from 'Bsf'; Outlook Stable.
Fitch has affirmed these ratings:
-- $6.8 million class C at 'AAAsf'; Outlook Stable;
-- $19.3 million class D at 'AAAsf'; Outlook Stable;
-- $8.4 million class E at 'AAAsf'; Outlook Stable;
-- $9.6 million class F at 'AAAsf'; Outlook Stable;
-- $10.8 million class G at 'AAAsf'; Outlook Stable;
-- $6 million class K at 'Csf'; RE 90%;
-- $1.3 million class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-4 and B certificates have paid in full.
Fitch does not rate the class P certificates. Fitch previously
withdrew the ratings on the interest-only class X-1 and X-2
certificates.
CREDIT SUISSE 2003-CPN1: Moody's Affirms Caa3 Rating on 2 Tranches
------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three classes
in Credit Suisse First Boston Mortgage Securities Corp., Commercial
Mortgage Pass-Through Certificates 2003 CPN 1 as follows:
Cl. G, Affirmed Caa3 (sf); previously on Feb 26, 2015 Affirmed Caa3
(sf)
Cl. A-X, Affirmed Caa3 (sf); previously on Feb 26, 2015 Affirmed
Caa3 (sf)
Cl. A-Y, Affirmed Aaa (sf); previously on Feb 26, 2015 Affirmed Aaa
(sf)
RATINGS RATIONALE
The rating on P&I class G was affirmed because the rating is
consistent with Moody's expected loss.
The rating on the IO class, class A-X, was affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of its referenced classes. The rating on the IO class, class A-Y,
was affirmed based on the structured credit assessments of its
referenced loans.
Moody's rating action reflects a base expected loss of 1.0% of the
current balance, compared to 26.3% at Moody's last review. Moody's
base expected loss plus realized losses is now 9.5% of the original
pooled balance, compared to 10% 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 February 18, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $10.8 million
from $1.01 billion at securitization. The certificates are
collateralized by ten mortgage loans ranging in size from less than
1% to 52% of the pool. The pool contains eight loans, representing
4% of the pool, that are secured by residential cooperative
properties, primarily located in New York City. Three of the co-op
loans, representing 2.6% of the pool, have defeased and are
collateralized by U.S. Government securities. The co-op loans have
a structured credit assessment of aaa (sca.pd), the same as last
review.
Two loans, constituting 94% 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.
Eleven loans have been liquidated from the pool, resulting in an
aggregate realized loss of $95.7 million (for an average loss
severity of 64%). No loans are currently in special servicing.
Moody's received full year 2014 operating results for 100% of the
pool, and full or partial year 2015 operating results for 29% of
the pool.
The two largest loans represent 94% of the pool balance. The
largest loan is the 261-267 Boston Road Loan ($5.6 million -- 52%
of the pool), which is secured by an approximately 97,000 square
foot (SF) Class B office flex complex in Billerica, MA in north
suburban Boston. The property was 77% leased as of September 2015,
compared to 75% at yearend 2014. Moody's LTV and stressed DSCR are
101% and 1.04X, respectively, compared to 111% and 0.95X at the
last review.
The second largest loan is the Taunton Depot Drive Loan ($4.5
million -- 42% of the pool), which is secured by a 64,000 SF retail
center in Taunton, MA. The property was 44% leased as of September
2015. Occupancy has remained low since Linens N' Things vacated in
2008 due to bankruptcy. The loan has been covering despite the low
occupancy due to principal forgiveness in a 2010 loan modification.
Moody's LTV and stressed DSCR are 113% and 0.86X, respectively,
compared to 112% and 0.87X at the last review.
CS FIRST BOSTON 1999-C1: Moody’s Affirms Caa3 Rating on A-X Debt
------------------------------------------------------------------
Moody's Investors Service has affirmed the rating on one
interest-only class in CS First Boston Mortgage Securities Corp.,
Commercial Mortgage Pass Through Certificates, Series 1999-C1 as
follows:
Cl. A-X, Affirmed Caa3 (sf); previously on Mar 12, 2015 Affirmed
Caa3 (sf)
RATINGS RATIONALE
The rating on the IO class was affirmed based on the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes. The IO class is the only outstanding Moody's
rated class in this transaction.
Moody's rating action reflects a base expected loss of 25.1% of the
current balance, compared to 18.7% at Moody's last review. Moody's
base expected loss plus realized losses is now 7.7% of the original
pooled balance, compared to 7.5% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS
The rating of an IO class is based on the credit performance of its
referenced classes. An IO class may be upgraded based on a lower
weighted average rating factor or WARF due to an overall
improvement in the credit quality of its reference classes. An IO
class may be downgraded based on a higher WARF due to a decline in
the credit quality of its reference classes, paydowns of higher
quality reference classes or non-payment of interest. Classes that
have paid off through loan paydowns or amortization are not
included in the WARF calculation. Classes that have experienced
losses are grossed up for losses and included in the WARF
calculation, even if Moody's has withdrawn the rating.
DEAL PERFORMANCE
As of the February 18, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $28.5 million
from $1.17 billion at securitization. The certificates are
collateralized by three mortgage loans. Two loans, constituting 76%
of the pool, have defeased and are secured by US government
securities.
Thirty loans have been liquidated from the pool with a loss,
resulting in an aggregate realized loss of $82.6 million (for an
average loss severity of 48%). One loan, constituting 24.4% of the
pool, is currently in special servicing. The specially serviced
loan is the Parsippany Corporate Center Loan, formerly known as the
IBM Corporate Center, ($7.0 million -- 24.4% of the pool), which is
secured by a 129,000 square foot suburban office property located
in Parsippany, New Jersey. This loan transferred to special
servicing in June 2013 due to imminent default and became Real
Estate Owned (REO) on August 11, 2015. The property was 16% leased
as of December 2015, down from 83% leased as of July 2013. Moody's
anticipates a significant loss on this loan.
ECP CLO 2014-6: Moody's Lowers Rating on Class E Notes to B3
------------------------------------------------------------
Moody's Investors Service has downgraded the rating on these notes
issued by ECP CLO 2014-6, Ltd.:
$10,500,000 Class E Senior Secured Deferrable Floating Rate
Notes Due July 2026, Downgraded to B3 (sf); previously on
Sept. 23, 2014, Assigned B2 (sf)
Moody's also affirmed the ratings on these notes:
$516,700,000 Class A-1A Senior Secured Floating Rate Notes Due
July 2026, Affirmed Aaa (sf); previously on September 23, 2014
Assigned Aaa (sf)
$29,000,000 Class A-1B Senior Secured Fixed Rate Notes Due July
2026, Affirmed Aaa (sf); previously on Sept. 23, 2014, Assigned
Aaa (sf)
$103,700,000 Class A-2 Senior Secured Floating Rate Notes Due
July 2026, Affirmed Aa2 (sf); previously on Sept. 23, 2014,
Assigned Aa2 (sf)
$47,600,000 Class B Senior Secured Deferrable Floating Rate
Notes Due July 2026, Affirmed A2 (sf); previously on Sept. 23,
2014, Assigned A2 (sf)
$44,200,000 Class C Senior Secured Deferrable Floating Rate
Notes Due July 2026, Affirmed Baa3 (sf); previously on
Sept. 23, 2014, Assigned Baa3 (sf)
$36,700,000 Class D-1 Senior Secured Deferrable Floating Rate
Notes Due July 2026, Affirmed Ba3 (sf); previously on Sept. 23,
2014, Assigned Ba3 (sf)
$4,000,000 Class D-2 Senior Secured Deferrable Floating Rate
Notes Due July 2026, Affirmed Ba3 (sf); previously on Sept. 23,
2014, Assigned Ba3 (sf)
ECP CLO 2014-6, Ltd., issued in September 2014, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans. The transaction's reinvestment period will end in
July 2018.
RATINGS RATIONALE
The rating downgrades on the Class E notes reflect the substantial
credit deterioration in the underlying portfolio of the CLO and
increased expected losses on the notes. The credit deterioration
in the CLO portfolio is primarily a result of the transaction's
large exposure to energy and commodity-linked collateral assets
whose ratings were recently downgraded, are currently on review for
downgrade or have negative credit outlooks.
Moody's notes that this transaction has a large exposure to
obligors in the following industries:
-- Energy -- Oil & Gas industry, 11%, including 5% in the
Exploration & Production (E&P) and Oilfield Services (OFS)
sectors; and
-- Metals & Mining industry, 4%.
Companies in the energy and commodity related industries face
unfavorable market conditions which have adversely impacted the
credit quality and liquidity profiles of obligors. E&P and OFS
companies, in particular, are struggling with difficult industry
fundamentals and operating environments, while Metals & Mining
companies face weakening demand and a prolonged period of
oversupply. CLOs with large exposures to obligors in the energy
and commodity related industries face greater risk of defaults and
potential trading losses, putting negative pressure on par coverage
for the CLO notes.
By way of comparison, most outstanding CLO 2.0s have limited
exposures averaging about 6% to energy and commodity related
industries and therefore have not yet experienced significant
deterioration in credit quality. The exposure to these two
industries as well as realized and expected changes in credit
quality of CLO portfolios are part of the key focal points of our
current CLO rating reviews.
Based on Moody's calculation, reflecting adjustments for 24% of the
portfolio which carries Moody's ratings with a negative outlook or
are on review for downgrade, ECP CLO 2014-6, Ltd. has a current
portfolio weighted average rating factor (WARF) of 3164 compared to
a covenant of 2900. Moody's expects that conclusion of the ongoing
rating reviews of these weakened credits will result in
substantially larger holdings of collateral assets rated Caa1 or
lower. At the same time, 13% of the portfolio consists of
securities from obligors with either Moody's weakest Speculative
Grade Liquidity (SGL) Rating of SGL-4 or a Corporate Family Rating
(CFR) of Caa1 or lower. An increase in Caa-rated assets or
potential defaults could cause an overcollateralization (OC) breach
and lead to interest deferrals on the transaction's junior notes to
pay down the senior notes. Finally, the transaction has
accumulated a higher than average 5% exposure in second lien loans
which are vulnerable to poor recoveries in the event of a default.
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,
especially in the energy and commodity sectors, and b) the
concentration of upcoming speculative-grade debt maturities,
which could make refinancing difficult for issuers.
2) Collateral Manager: Performance can also be affected by the
manager's investment strategy and behavior, amid volatile
market conditions.
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) 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.
5) Other collateral quality metrics: Reinvestment is allowed and
the manager has the ability to negatively affect the
collateral quality metrics' existing buffers against the
covenant levels, which could negatively affect the
transaction.
6) Weighted Average Spread (WAS): This transaction has a
significant exposure to loans with LIBOR floors, and the
inclusion of LIBOR floors in its determination of compliance
with its WAS test can create additional ratings volatility.
7) Exposure to assets with weak liquidity: The presence of
assets with Moody's weakest SGL rating of 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 $39.9 million of par, 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% (2531)
Class A-1A: 0
Class A-1B: 0
Class A-2: +2
Class B: +2
Class C: +3
Class D-1: +1
Class D-2: +1
Class E: +1
Moody's Adjusted WARF + 20% (3797)
Class A-1A: 0
Class A-1B: 0
Class A-2: -2
Class B: -2
Class C: -1
Class D-1: -1
Class D-2: -1
Class E: -4
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 $850.2 million, defaulted par
of $3.2 million, a weighted average default probability of 25.92%
(implying a WARF of 3164), a weighted average recovery rate upon
default of 48.20%, a diversity score of 53 and a weighted average
spread of 3.65% (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. In each case, historical and market
performance and the collateral manager's latitude for trading the
collateral are also factors.
EMAC OWNER 1999-1: Moody's Lowers Rating on Cl. A-2 Certs to C
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of Class A-2
and Class IO certificates issued by EMAC Owner Trust 1999-1 (EMAC
1999-1). The transaction is backed by franchise loans made to gas
and convenience store operators.
The complete rating actions are:
Issuer: EMAC Owner Trust 1999-1
Class A-2, Downgraded to C (sf); previously on April 2, 2012,
Downgraded to Ca (sf)
Class IO Certificates, Downgraded to C (sf); previously on
April 2, 2012, Downgraded to Ca (sf)
RATINGS RATIONALE
The downgrades are a result of the deterioration of the pool
backing EMAC 1999-1 and the anticipated further write-down of the
Class A-2 certificates. The Class A-2 does not benefit from any
credit enhancement as all subordinated certificates have been
completely written down, and one of the remaining two loans backing
the transaction has been non-performing for more than 90 days. As
of the Feb. 16, payment date, cumulative write-downs on the Class
A-2 are approximately $78 million or equivalently 75% of the
original certificate balance. In addition, the Class A-2
certificates have not received any principal over the last 12
months.
The downgrade of the Class IO certificates that reference the
collateral pool is in accordance with "Moody's Approach to Rating
Structured Finance Interest-Only Securities," published in October
2015. The methodology states that for IO securities referencing a
single pool, the new IO rating will be the minimum of "Ba3 (sf)",
the highest rated bond in the deal, and the rating corresponding to
the pool's expected loss. Consequently, the Class IO Certificates
are downgraded pursuant to the downgrade of the Class A-2
certificates.
The principal methodology used in these ratings was "Moody's Global
Approach to Rating SME Balance Sheet Securitizations" published in
October 2015.
Factors that would lead to an upgrade of the ratings:
Upgrades are unlikely, but unanticipated or larger-than-expected
recoveries could move the ratings up.
FIRST UNION 2001-C1: Moody's Affirms Caa3 Rating on 2 Certs.
------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three classes
in First Union National Bank - Bank of America, N.A. Commercial
Mortgage Pass-Through Certificates Series 2001-C1 as:
Cl. J, Affirmed Ca (sf); previously on March 5, 2015, Affirmed
Ca (sf)
Cl. IO-I, Affirmed Caa3 (sf); previously on March 5, 2015,
Affirmed Caa3 (sf)
Cl. IO-III, Affirmed Caa3 (sf); previously on March 5, 2015,
Affirmed Caa3 (sf)
RATINGS RATIONALE
The rating on the P&I class was affirmed because the ratings are
consistent with Moody's expected loss. Class J has already
experienced a 33% loss as a result of previously liquidated loans.
The ratings on the IO classes were affirmed based on the credit
performance of their referenced classes.
Moody's base expected loss plus realized losses is now 7.5% of the
original pooled balance, compared to 7.8% 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.
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 one, same as Moody's last review.
Moody's used the excel-based Large Loan Model in formulating a
rating recommendation. 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 Feb. 18, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $13.1 million
from $1.3 billion at securitization. The certificates are
collateralized by one remaining mortgage loan.
Thirty-six loans have been liquidated from the pool, resulting in
an aggregate realized loss of $96 million (for an average loss
severity of 42%).
The sole remaining loan is the Palisades Apartments Loan ($13.1
million -- 100% of the pool), which is secured by a 280-unit
multifamily property located in the northwest section of Las Vegas,
Nevada. The loan transferred to special servicing in September
2010 due to maturity default and was modified in December 2012.
The modification included an extension of the maturity date until
June 2022 and an interest rate reduction from 8.1% to 4.7%. The
loan has since returned to the master servicer. As of December
2014, the property was 92% leased, compared to 90% the prior year.
Reported net operating income has increased since 2012 due to an
increase in rents and a decrease in expenses. Moody's LTV and
stressed DSCR are 116% and 0.89X, respectively, compared to 128%
and 0.80X at the last review.
FIRST UNION 2001-C4: Moody's Affirms Caa3 Rating on Cl. IO-I Debt
-----------------------------------------------------------------
Moody's Investors Service has affirmed the rating of one
interest-only class in First Union National Bank Commercial
Mortgage Trust Pass-Through Certificates, Series 2001-C4:
Cl. IO-I, Affirmed Caa3 (sf); previously on March 12, 2015,
Affirmed Caa3 (sf)
RATINGS RATIONALE
The rating of the IO class was affirmed based on the credit
performance of its referenced class. The IO class is the only
outstanding Moody's-rated class in this transaction.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
The rating of an IO class is based on the credit performance of its
referenced classes. An IO class may be upgraded based on a lower
weighted average rating factor or WARF due to an overall
improvement in the credit quality of its reference classes. An IO
class may be downgraded based on a higher WARF due to a decline in
the credit quality of its reference classes, paydowns of higher
quality reference classes or non-payment of interest. Classes that
have paid off through loan paydowns or amortization are not
included in the WARF calculation. Classes that have experienced
losses are grossed up for losses and included in the WARF
calculation, even if Moody's has withdrawn the rating.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in this rating was "Moody's Approach
to Rating Large Loan and Single Asset/Single Borrower CMBS"
published in October 2015.
DESCRIPTION OF MODELS USED
Moody's review incorporated the use of 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. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
DEAL PERFORMANCE
As of the Feb. 12, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by over 99% to $6.2
million from $979 million at securitization. The Certificates are
collateralized by two mortgage loans.
The largest loan, representing 88% of the pool, is currently in
special servicing. The Grove Market Shopping Center Loan ($5.5
million), is secured by a neighborhood retail center in
Loxahatchee, Florida, in western Palm Beach County. The center was
formerly grocery-anchored before Winn-Dixie ceased operations at
the property in 2010. The tenant continues to pay rent on its
lease which expires in 2019. Moody's has assumed a moderate loss
severity for this loan.
Moody's was provided with full year 2014 and full year 2015
operating results for the performing collateral.
The second largest loan in the pool is the Walgreens -- Moreno
Valley, CA Loan ($728,000 -- 12% of the pool), which is secured by
a retail property which is fully leased to Walgreen Co. through
April 2060. The loan is fully amortizing. Moody's LTV and
stressed DSCR are 26% and 3.93X, respectively, compared to 30% and
3.41X at prior review.
GMAC COMMERCIAL 2002-C3: Fitch Affirms 'Dsf' Rating on 3 Certs
--------------------------------------------------------------
Fitch Ratings has affirmed seven classes of GMAC Commercial
Mortgage Securities, Inc., commercial mortgage pass-through
certificates, series 2002-C3 (GMAC 2002-C3).
KEY RATING DRIVERS
The affirmations reflect concerns as to pool concentration and
adverse selection, despite the increased credit enhancement since
Fitch's last rating action. The Broadmoor Apartments loan, which
was the largest contributor to Fitch-modeled losses at the last
rating action, was disposed at better recoveries than previously
modeled.
Fitch modeled losses of 43.5% of the remaining pool; expected
losses on the original pool balance total 4.5%, including $25.1
million (3.2% of the original pool balance) in realized losses to
date.
The pool is extremely concentrated with seven loans remaining,
including one loan (34.7% of current pool) which had been modified
into an A/B note. Three loans (86.4%) are currently in special
servicing, while one loan (4.1%) is defeased. The remaining three
non-specially serviced and non-defeased loans are fully amortizing
and secured by single-tenanted Walgreen's properties located in
Savannah, GA; Hattiesburg, MS; and Madison, MS.
As of the February 2016 distribution date, the pool's aggregate
principal balance has been reduced by 97.1% to $22.5 million from
$777.4 million at issuance. Interest shortfalls are currently
affecting classes K through P.
The largest contributor to Fitch-modeled losses is the largest loan
in the pool, Nashville Business Center (34.7% of pool). The loan
is secured by an 893,170 square foot (sf) industrial facility
located in Murfreesboro, TN.
The loan was first transferred to special servicing in November
2011 for monetary default after a major tenant, Vi-Jon (a private
health care and beauty manufacturer) which initially occupied 50%
of the net rentable area (NRA), vacated at its May 2010 lease
expiration. In September 2013, a modification was granted whereby
the loan was bifurcated into a $9.16 million A-note and $3.55
million B-note, the loan was converted to interest-only for the
remaining term, and the maturity date was extended to July 2014,
with two additional one-year extension options through July 2016 if
certain criteria were met. The borrower paid $500,000 in new
equity, of which $400,000 was contributed to a tenant
improvement/leasing commission reserve and $100,000 was used to set
up a debt servicer/operating expense reserve. The loan transferred
back to the master servicer in March 2014.
The loan was transferred back to the special servicer for a second
time in August 2015 due to concerns by the master servicer over the
leasing benchmarks established under the prior modified loan
documents. As of the December 2015 rent roll, the property was 75%
occupied compared to 69% one year earlier. The largest tenant,
Store Opening Solutions, Inc., executed a lease amendment,
effective Jan. 1, 2016, to expand the amount of occupied square
footage to 380,000 sf (42.5% of NRA) from 200,000 sf with an option
to lease 'on demand' an additional 147,100 sf (16.5% of NRA). The
tenant's lease expires in December 2018; however, any additional
space that is leased under the optional space provision would be
month-to-month.
The annualized year-to-date September 2015 net operating income has
increased by 157% from 2014 due to new leasing at the property.
Two new leases were executed, including one during fourth quarter
2014 and one during second quarter 2015, for 25.2% and 7.5% of the
NRA, respectively, with lease expirations in November 2017 and May
2018.
The next largest contributor to Fitch-modeled losses is the
specially serviced Lake Park Pointe Shopping Center loan (31.8% of
pool). The loan, which is secured by a 78,088 sf retail property
located in Chicago, IL, was transferred to special servicing in
April 2012 for monetary default. The prior largest tenant,
Michael's Fresh Markets (previously 53% of the NRA), filed Chapter
11 bankruptcy and vacated. A portion of this space was re-tenanted
by Ross Dress for Less (34% of the NRA) in November 2013. Multiple
forbearance agreements have already been granted to the borrower,
including prior ones that had expired in December 2012, March 2013,
December 2013, and March 2014. The borrower is now in its fifth
forbearance, which expires in April 2016, but has the option to
extend to July 2016, to allow for time to complete refinancing. As
of the August 2015 rent roll, the property was 82.6% occupied.
Lease rollover in 2016 consists of 11.5% of the NRA.
The third largest contributor to Fitch-modeled losses is the Vista
Office Center asset (19.8% of pool). The asset, which is a 46,596
sf office property located in Temecula, CA, has the traditional
office space component (totaling 37,537 sf), as well as an
executive suites component (totaling 9,059 sf). The loan
transferred to special servicing in October 2012 due to imminent
default. The asset became real estate-owned in June 2013. As of
the December 2015 rent roll, the overall property was 71.7%
occupied with the traditional office space component being 70.5%
occupied and the executive suites component 76.7% occupied. The
property competes poorly with other properties in the area due to a
large, vacant and outdated lobby. The special servicer indicates
they are working on finalizing a large lease at the property and
expects to list the asset for sale shortly afterwards.
RATING SENSITIVITIES
The Rating Outlook on class J was revised to Stable from Negative
due to increasing credit enhancement and expected continued
paydowns. A further upgrade was not warranted given the adverse
selection of the remaining pool with no near-term loan maturities
and no expected near-term resolutions of the specially serviced
assets. Distressed classes (those rated below 'Bsf') may be
subject to future downgrades should collateral performance continue
to decline, expected losses increase, as losses are realized, or if
realized losses are greater than Fitch's expectations.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed and revised Rating Outlooks on these classes as
indicated:
-- $2.8 million class J at 'Bsf'; Outlook to Stable from
Negative;
-- $8.7 million class K at 'CCCsf'; RE 100%;
-- $5.8 million class L at 'CCsf'; RE 0%;
-- $4.9 million class M at 'Csf'; RE 0%;
-- $210,439 class N at 'Dsf'; RE 0%;
-- $0 class O-1 at 'Dsf'; RE 0%;
-- $0 class O-2 at 'Dsf'; RE 0%.
The class A-1, A-2, B, C, D, E, F, G and H certificates have paid
in full. Fitch does not rate the class P certificates. Fitch
previously withdrew the ratings on the interest-only class X-1 and
X-2 certificates.
GRAYSON CLO: S&P Raises Rating on Class C Notes to 'BB+'
--------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1b, B, and C notes from Grayson CLO Ltd., a U.S. collateralized
loan obligation (CLO) transaction that closed in November 2006 and
is managed by Highland Capital Management L.P. At the same time,
S&P affirmed its ratings on the class A-1a, A-2, and D notes and
removed the rating on the class A-1b notes from CreditWatch where
S&P placed them with positive implications on Dec. 18, 2015.
The rating actions follow S&P's review of the transaction's
performance using data from the Jan. 20, 2016, trustee report.
The upgrades reflect a $271.16 million paydown to the class A-1a
notes since S&P's January 2015 rating actions. Following the
Nov. 1, 2015, payment date, the class A-1a notes have been paid
down to 45.10% 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 note paydowns, the transaction's class A, B, and
C overcollateralization (O/C) ratios have improved since the
November 2014 trustee report that S&P used in its January 2015
rating actions. The January 2016 trustee report indicated the
class A O/C has increased to 128.14% from 121.88% as of November
2014.
The credit quality of the underlying collateral has improved since
S&P's prior rating actions as seen in decreases in assets rated
'CCC' or lower and defaulted assets. As of the January 2016
trustee report, assets rated 'CCC' or lower decreased slightly to
$21.26 million from $21.54 million according to the November 2014
report, and the amount of nonperforming assets decreased to
$75.57 million from $86.33 million in the same period.
The ratings on the class D notes is constrained by the application
of the largest obligor default test, a supplemental stress test
included in S&P's criteria for corporate cash flow collateralized
debt obligations. The obligor concentration of the portfolio has
increased since S&P's prior rating actions as the number of unique
obligors represented has decreased to 125 from 161.
"Our transaction review 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 our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and
recoveries upon default under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal
to each of the rated tranches. The results of the cash flow
analysis demonstrated, in our view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with these rating actions," S&P said.
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 RESULTS AND SENSITIVITY ANALYSIS
Grayson CLO Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A-1a AAA (sf) AAA (sf) 28.90% AAA (sf)
A-1b AA+ (sf)/Watch Pos AAA (sf) 10.79% AAA (sf)
A-2 AA+ (sf) AA+ (sf) 11.84% AA+ (sf)
B BBB+ (sf) A+ (sf) 6.50% A+ (sf)
C B+ (sf) BBB- (sf) 0.15% BB+ (sf)
D B+ (sf) BB+ (sf) 1.71% 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 below.
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-1a AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-1b AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2 AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf)
B A+ (sf) A+ (sf) A+ (sf) AA (sf) A+ (sf)
C BBB- (sf) BB+ (sf) BB+ (sf) BBB- (sf) BB+ (sf)
D BB+ (sf) BB- (sf) BB+ (sf) BB+ (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-1a AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-1b AAA (sf) AAA (sf) AA+ (sf) AAA (sf)
A-2 AA+ (sf) AA+ (sf) AA- (sf) AA+ (sf)
B A+ (sf) A+ (sf) BBB- (sf) A+ (sf)
C BBB- (sf) BB+ (sf) CC (sf) BB+ (sf)
D BB+ (sf) BB- (sf) CC (sf) B+ (sf)
RATINGS RAISED
Grayson CLO Ltd.
Rating
Class To From
B A+ (sf) BBB+ (sf)
C BB+ (sf) B+ (sf)
RATING RAISED AND REMOVED FROM CREDITWATCH
Grayson CLO Ltd.
Rating
Class To From
A-1b AAA (sf) AA+ (sf)/Watch Pos
RATINGS AFFIRMED
Grayson CLO Ltd.
Class Rating
A-1a AAA (sf)
A-2 AA+ (sf)
D B+ (sf)
GS MORTGAGE 2016-RENT: Fitch to Class E Debt 'BB-sf'
----------------------------------------------------
Fitch Ratings has issued a presale report on GS Mortgage Securities
Corporation Trust 2016-RENT Commercial Mortgage Pass Through
Certificates Series 2016-RENT.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $100,000,000a class A notes 'AAAsf'; Outlook Stable;
-- $100,000,000ab class X-A notes 'AAAsf'; Outlook Stable;
-- $82,750,000ab class X-B notes 'A-sf'; Outlook Stable;
-- $53,750,000a class B notes 'AA-sf'; Outlook Stable;
-- $29,000,000a class C notes 'A-sf'; Outlook Stable;
-- $42,000,000a class D notes 'BBB-sf'; Outlook Stable;
-- $65,000,000a class E notes 'BB-sf'; Outlook Stable;
-- $60,000,000a class F notes 'B-sf'; Outlook Stable.
(a) Privately placed pursuant to Rule 144A.
(b) Notional amount and interest-only.
The expected ratings are based upon information provided as of Feb.
17, 2016.
The GSMS 2016-RENT Commercial Mortgage Pass-Through Certificates
represent the beneficial interest in a trust secured by a loan
collateralized by portfolio of multifamily properties located in
San Francisco, CA. The whole loan consists of: one five-year,
fixed-rate, interest-only $480 million mortgage loan secured by the
fee interests in 61 multifamily properties with a total of 1,726
rent controlled units. As of January 2016, the portfolio has a
current vacancy rate of approximately 5.4% including units down for
renovation.
The whole loan is part of a split loan structure with an aggregate
outstanding principal balance of $480,000,000. The note structure
consists of trust note A-1 ($100,000,000), non-trust note A-2
($65,125,000), non-trust note A-3 ($65,125,000) and trust note B
($249,750,000). Notes A-1, A-2 and A-3 are pari passu with each
other. Note A-1 and Note B are included in this trust. It is
expected that notes A-2 and A-3 will be contributed to future
securitization.
The sponsor is a joint venture between Veritas Investments and
affiliates of Baupost Group. Veritas is the operating partner of
the joint venture. Veritas Investments currently owns over 4,000
units across 167 buildings making it the largest institutional
multifamily landlord in San Francisco. The properties in the
portfolio were acquired by Veritas in 2011. The Baupost Group is a
Boston-based value-oriented hedge fund founded in 1982 with over
$28.0 billion under management.
KEY RATING DRIVERS
Below Market Rents. All the units in the portfolio are subject to
rent-control restrictions. As a result of these restrictions,
approximately 89% of the units have current rents below market rent
levels. In the aggregate, in-place rents are approximately 28%
below market rents as determined by the appraisal. Realizing market
rents as determined by the appraisal would result in an increase in
potential rent of approximately $20 million.
Strong Multifamily Market. The properties are all located in the
tight San Francisco multifamily market. The 61 properties are
located in several central San Francisco neighborhoods: Nob Hill;
Mission; Pacific Heights; Downtown San Francisco; Russian Hill; and
the Marina District. Per Reis, Inc.'s 4Q15 report, the average
asking rent in the overall San Francisco market is $2,556 and the
average vacancy rate is 4.1%. Reis is forecasting annualized asking
rent growth of 4.7%.
High Fitch Trust Leverage. Fitch's stressed DSCR and loan-to-value
(LTV) for the trust component and the companion loans are 0.84x and
103.6% based on an 8.56% discount to current net cash flow and an
8.00% refinance constant and a 7.00% cap rate, respectively.
Collateral Quality: Fitch assigned the portfolio a property quality
grade of "B+". The units are being renovated as they become vacant.
Since acquiring the assets, Veritas has spent $32.9 million in
capital improvements, including $22.7 million on unit conversions
and renovations and $10.2 million on base-building upgrades.
Additional Debt. The total debt includes mezzanine financing not
included in the trust totaling $196,500,000.
Geographic Concentration. The properties are all located in San
Francisco, CA, which has a high degree of seismic activity. The
seismic reports determined that none of the properties have a
scenario expected loss (SEL/PML) exceeding 20%, and the aggregate
portfolio SEL/PML is 15%. The properties do not have specific
seismic coverage. For more information please see "Seismic
Reports".
Portfolio Performance. The portfolio has achieved cash flow growth
while taking units offline for renovation. Year-end 2014 net cash
flow increased 19% over 2013. The trailing 12 months (TTM) to
November net cash flow increased 9.75% from year-end 2014.
RATING SENSITIVITIES
Fitch found that the property could withstand a 68.2% decline in
appraised portfolio value and an approximate 49.6% decline in
Fitch's implied net cash flow prior to experiencing $1 of loss to
the 'AAAsf' rated class. Fitch performed several stress scenarios
in which the Fitch net cash flow (NCF) was stressed. Fitch
determined that a 40.2% reduction in Fitch's implied NCF would
cause the notes to break even at a 1.0x debt service coverage ratio
(DSCR), based on the actual debt service.
Fitch evaluated the sensitivity of the ratings for class A and
found that a 7% decline in Fitch's implied NCF would result in a
one-category downgrade, while a 39% decline would result in a
downgrade to below investment grade.
The Rating Sensitivity section in the presale report includes a
detailed explanation of additional stresses and sensitivities. Key
Rating Drivers and Rating Sensitivities are further described in
the accompanying presale report.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from
Ernst & Young LLP. The third-party due diligence information was
provided on ABS Due Diligence Form-15E and focused on a comparison
and re-computation of certain characteristics with respect to the
mortgage loan and related mortgaged properties in the data file.
GS MORTGAGE 2016-RENT: S&P Assigns Prelim. BB- Rating on E Certs
----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary ratings
to GS Mortgage Securities Corp. Trust 2016-RENT's $349.75 million
commercial mortgage pass-through certificates series 2016-RENT.
The certificate issuance is a commercial mortgage-backed securities
transaction backed by a $349.75 million commercial mortgage loan
secured by the leasehold interests in the 61 multifamily properties
totaling 1,726 units located in San Francisco.
The preliminary ratings are based on information as of Feb. 26,
2016. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of the collateral's
historical and projected performance, the sponsor's and manager's
experience, the trustee-provided liquidity, the loan's terms, and
the transaction's structure.
PRELIMINARY RATINGS ASSIGNED
GS Mortgage Securities Corp. Trust 2016-RENT
Class Rating(i) Amount($)
A AAA (sf) 100,000,000
X-A AAA (sf) 100,000,000(ii)
X-B A (sf) 82,750,000(ii)
B AA- (sf) 53,750,000
C A (sf) 29,000,000
D BBB (sf) 42,000,000
E BB- (sf) 65,000,000
F B- (sf) 60,000,000
(i) The certificates will be issued to qualified institutional
buyers according to Rule 144A of the Securities Act of 1933.
(ii) Notional balance.
HIGHBRIDGE LOAN 8-2016: S&P Gives Prelim. BB- Rating on Cl. E Notes
-------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary ratings
to Highbridge Loan Management 8-2016 Ltd./Highbridge Loan
Management 8-2016 LLC's $369.00 million fixed- and floating-rate
notes.
The note issuance is a collateralized loan obligation transaction
backed by s revolving pool consisting primarily of broadly
syndicated senior secured loans.
The preliminary ratings are based on information as of March 1,
2016. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The credit enhancement provided to the preliminary rated
notes through the subordination of cash flows that are
payable to the subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The collateral manager's experienced management team.
-- The transaction's ability to make timely interest and
ultimate principal payments on the preliminary rated notes,
which S&P assessed using its cash flow analysis and
assumptions commensurate with the assigned preliminary
ratings under various interest rate scenarios, including
LIBOR ranging from 0.6206%-12.8655%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
-- The transaction's interest diversion test, a failure of
which will lead to the reclassification of a certain amount
of excess interest proceeds, that are available (before
paying subordinated, deferred subordinated and incentive
management fees, uncapped administrative expenses, and
subordinated note payments) as principal proceeds to
purchase additional collateral assets during the
reinvestment period.
PRELIMINARY RATINGS ASSIGNED
Highbridge Loan Management 8-2016 Ltd./Highbridge Loan Management
8-2016 LLC
Class Rating Amount (mil. $)
X AAA (sf) 3.00
A AAA (sf) 248.00
B-1 AA (sf) 36.00
B-2 AA (sf) 20.00
C-1 (deferrable) A (sf) 14.00
C-2 (deferrable) A (sf) 10.00
D (deferrable) BBB- (sf) 20.00
E (deferrable) BB- (sf) 18.00
Subordinated notes NR 37.75
NR--Not rated.
HUNTINGTON CDO: Moody's Raises Rating on 2 Tranches to Ba1
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on notes issued
by Huntington CDO, Ltd.:
$461,750,000 Class A-1A First Priority Senior Secured Floating
Rate Notes Due 2040 (current balance of $56,178,582.82),
Upgraded to Ba1 (sf); previously on Sept. 18, 2015, Upgraded to
Ba2 (sf)
$250,000 Class A-1B First Priority Senior Secured Floating Rate
Notes Due 2040 (current balance of $30,416.11), Upgraded to
Ba1 (sf); previously on Sept. 18, 2015, Upgraded to Ba2 (sf)
Huntington CDO, Ltd. is a collateralized debt obligation issuance
backed primarily by a portfolio of residential mortgage backed
securities originated from 1997 to 2007.
RATINGS RATIONALE
These rating actions are due primarily to the deleveraging of the
senior notes and an increase in the transaction's
over-collateralization ratios since September 2015. The Class A-1
notes have paid down by approximately 19.1%, or $13.2 million since
that time. Based on Moody's calculation, the par coverage on Class
A-1 notes is currently 207.3% versus 179.2% in September 2015. The
paydown of the Class A-1 notes is partially the result of cash
collections from certain assets treated as defaulted by the trustee
in amounts materially exceeding expectations. Accordingly, Moody's
has assumed the deal will continue to benefit from potential
recoveries on defaulted securities, some of which have experienced
significant price increases in the recent years.
Methodology Underlying the Rating Action
The principal methodology used in these ratings was "Moody's
Approach to Rating SF CDOs" published in July 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, as described below:
1) Macroeconomic uncertainty: Primary causes of uncertainty
about assumptions are the extent of any deterioration in
either consumer or commercial credit conditions and in the
commercial and residential real estate property markets. The
residential real estate property market's uncertainties
include housing prices; the pace of residential mortgage
foreclosures, loan modifications and refinancing; the
unemployment rate; and interest rates.
2) Deleveraging: One source of uncertainty in this transaction
is whether deleveraging from principal proceeds, recoveries
from defaulted assets, and excess interest proceeds will
continue and at what pace. Faster than expected deleveraging
could have a significantly positive impact on the notes'
ratings.
3) Recovery of defaulted assets: The amount of recoveries
received from defaulted assets reported by the trustee and
those that Moody's assumes as having defaulted as well as the
timing of these recoveries create additional uncertainty.
Moody's analyzed defaulted assets assuming limited
recoveries, and therefore, realization of any recoveries
exceeding Moody's expectation in the future would positively
impact the notes' ratings.
Loss and Cash Flow Analysis:
Moody's applies a Monte Carlo simulation framework in Moody's
CDOROM to model the loss distribution for SF CDOs. The simulated
defaults and recoveries for each of the Monte Carlo scenarios
define the reference pool's loss distribution. Moody's then uses
the loss distribution as an input in the CDOEdge cash flow model.
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. 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):
Ba1 and below ratings notched up by two rating notches (1482):
Class A-1A: +2
Class A-1B: +2
Class A-2: 0
Class B: 0
Class C-1: 0
Class C-2: 0
Class P-2: 0
Ba1 and below ratings notched down by two notches (3045):
Class A-1A: -2
Class A-1B: -2
Class A-2: 0
Class B: 0
Class C-1: 0
Class C-2: 0
Class P-2: 0
JP MORGAN 2003-CIBC6: Moody's Affirms Ba1 Rating on Class H
-----------------------------------------------------------
Moody's Investors Service has affirmed the ratings on nine classes,
upgraded the ratings on two classes and downgraded the rating on
one class in J.P. Morgan Chase Commercial Mortgage Securities Corp.
Series 2003-CIBC6 as:
Cl. C, Affirmed Aaa (sf); previously on March 12, 2015, Affirmed
Aaa (sf)
Cl. D, Affirmed Aaa (sf); previously on March 12, 2015, Affirmed
Aaa (sf)
Cl. E, Affirmed Aaa (sf); previously on March 12, 2015, Affirmed
Aaa (sf)
Cl. F, Upgraded to Aaa (sf); previously on March 12, 2015,
Upgraded to Aa2 (sf)
Cl. G, Upgraded to A1 (sf); previously on March 12, 2015,
Affirmed A3 (sf)
Cl. H, Affirmed Ba1 (sf); previously on March 12, 2015, Affirmed
Ba1 (sf)
Cl. J, Affirmed Ba2 (sf); previously on March 12, 2015, Affirmed
Ba2 (sf)
Cl. K, Affirmed B2 (sf); previously on March 12, 2015, Affirmed
B2 (sf)
Cl. L, Affirmed Caa3 (sf); previously on March 12, 2015,
Downgraded to Caa3 (sf)
Cl. M, Affirmed C (sf); previously on March 12, 2015, Downgraded
to C (sf)
Cl. N, Affirmed C (sf); previously on March 12, 2015, Affirmed
C (sf)
Cl. X-1, Downgraded to B3 (sf); previously on March 12, 2015,
Affirmed B2 (sf)
RATINGS RATIONALE
The rating on the P&I classes C, D & E 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 rating on the P&I classes, classes F & G was upgraded primarily
due to an increase in credit support since Moody's last review,
resulting from paydowns and amortization, as well as Moody's
expectation of additional increases in credit support resulting
from the payoff of loans approaching maturity that are well
positioned for refinance. The pool has paid down by 15% since
Moody's last review. In addition, loans constituting 28.1% of the
pool that have debt yields exceeding 12.0% are scheduled to mature
within the next 24 months.
The ratings on the P&I classes, H through N 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 5.8% of the
current balance, compared to 16.3% at Moody's last review. Moody's
base expected loss plus realized losses is now 2.1% of the original
pooled balance, compared to 3.1% 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.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in these ratings were "Approach to Rating US
and Canadian Conduit/ Fusion CMBS" published in December 2014, and
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in October 2015.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based CMBS Conduit Model, which it
uses for both conduit and fusion transactions. Credit enhancement
levels for conduit loans are driven by property type, Moody's
actual and stressed DSCR, and Moody's property quality grade (which
reflects the capitalization rate Moody's uses to estimate Moody's
value). Moody's fuses the conduit results with the results of its
analysis of investment grade structured credit assessed loans and
any conduit loan that represents 10% or greater of the current pool
balance.
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 5, compared to 7 at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model and then reconciles and weights the results from the
conduit and large loan models in formulating a rating
recommendation. 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 Feb. 12, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 90.6% to $97.8
million from $1.06 billion at securitization. The certificates are
collateralized by 19 mortgage loans ranging in size from less than
1% to 28.1% of the pool, with the top ten loans constituting 87.8%
of the pool. There are no loans with an investment-grade
structured credit assessments. Five loans, constituting 24.5% of
the pool, have defeased and are secured by US government
securities.
Five loans, constituting 23.2% 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.
Ten loans have been liquidated from the pool, resulting in an
aggregate realized loss of $16.8 million (for an average loss
severity of 36.8%). One loan, constituting 6.4% of the pool, is
currently in special servicing. The Advance Office Building Loan
($6.4 million -- 6.4% of the pool), is secured by a 231,000 square
foot (SF) office building located in Southfield, Michigan. The
loan transferred to special servicing in March 2013 due to imminent
maturity default and a receiver was appointed in November 2013. A
foreclosure sale was conducted in December 2014 and the Note holder
was the successful bidder. Per the December 2015 rent roll, the
property was 64% leased. The Special Servicer indicated the asset
is currently being held to complete new leases, negotiate renewals
and to complete capital improvements.
Moody's received full year 2014 operating results for 68% of the
pool and full or partial year 2015 operating results for 74% of the
pool. Moody's weighted average conduit LTV is 76.4%, compared to
93.4% 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 7.7% 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 1.45X and 1.46X,
respectively, compared to 1.17X and 1.22X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 47.4% of the pool balance.
The largest loan is the International Paper Office Loan ($27.5
million -- 28.1% of the pool), which is secured by a 214,000 square
foot (SF) office building located in Memphis, Tennessee. The
building is one of three identically designed buildings that make
up the International Place office park. The collateral is 100%
leased to International Paper Company through February 2027.
International Paper has utilized the International Place office
park as its headquarters since 1987. The loan has amortized 21.4%
since securitization and matures in July 2017. Moody's analysis is
based on a lit/dark analysis due to concerns about the property's
single tenancy. Moody's LTV and stressed DSCR are 81.2% and 1.23X,
respectively, compared to 84% and 1.19X, at last review.
The second largest loan is the Amazon Distribution Center Loan
($9.9 million -- 10.2% of the pool), which is secured by a 589,000
square foot (SF) industrial property located in Fernley, Nevada.
The property was fully leased by Amazon.com Inc. through August
2014, after a short-term 9 month lease extension Amazon vacated the
premise in May 2015. The loan had an anticipated repayment date of
August 2014 (Final Date 08/1/2028). Moody's analysis is based on a
dark value due to Amazon vacating the premise leaving the
collateral 100% vacant. The property is currently being marketed
for sale. Moody's recognizes this as a troubled loan.
The third largest loan is the Bashas' Thunderbird Village Loan
($8.9 million -- 9.2% of the pool), which is secured by a 82,000
square foot (SF) grocery anchored retail plaza located in Peoria,
Arizona. As of October 2015 the property was 94% occupied,
respectively, the same as in September 2014. The loan has an ARD
date of 06/1/16 (Final Date 5/2033). The property transferred to
Special Servicing in February 2010 for Imminent Default, due to the
anchor tenant Bashas' filed bankruptcy in July 2009 (emerged from
Chapter 11 bankruptcy in late 2010) and asked for a reduction in
rental rate. The loan modification was approved in April 2011, to
make the loan interest only through the Bashas' rent reduction
period and moved the ARD date out beyond the rent reduction period.
Moody's recognizes this as a troubled loan.
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 2005-CIBC13: Fitch Affirms 'Dsf' Rating on 13 Tranches
----------------------------------------------------------------
Fitch Ratings affirms J.P. Morgan Chase Commercial Mortgage
Securities Corp. (JPMCC) commercial mortgage pass-through
certificates, series 2005-CIBC13.
KEY RATING DRIVERS
Fitch modeled losses of 14.8% of the remaining pool; expected
losses on the original pool balance total 12.7%, including $321.8
million (11.8% of the original pool balance) in realized losses to
date. Fitch has designated 14 loans (58.5%) as Fitch Loans of
Concern, which includes eight specially serviced assets (27.3%).
As of the February 2016 distribution date, the pool's aggregate
principal balance has been reduced by 94% to $162.7 million from
$2.72 billion at issuance. Per the servicer reporting, one loan
(19.3% of the pool) is defeased. Interest shortfalls are currently
affecting classes B through NR.
The largest contributor to expected losses is the
specially-serviced Bayou Walk Village loan (7.4% of the pool),
which is secured by a 69,088 square foot (sq) retail property
located in Shreveport, LA. The loan transferred to special
servicing in January 2014, for imminent default due to structural
issues at the property and is currently in monetary default. The
property is occupied by four tenants, Office Max (34%), expiration
Dec. 31, 2017; Barnes & Noble (33%), expiration February 2018; Old
Navy (22%), expiration August 2017; and Mattress Firm (11%),
expiration November 2021. As of September 2015, the property is
100% occupied with average rent of $13 sf. Per the special
servicer, they were previously working on a deed in lieu but the
borrower has become uncooperative. They are currently proceeding
with foreclosure with a receiver in place.
The next largest contributor to expected losses is the
specially-serviced Cressona Mall loan (5.1%), which is secured by a
partially enclosed 281,752 sf community shopping center anchored by
Giant Food Store. Other major tenants include Ollie's Bargain
Outlet (16%) and Staples (7%) with lease expirations in January
2020 and February 2016; respectively. The loan transferred to
special servicing in October 2014 and is currently real estate
owned (REO). Per the special servicer, they are working on several
lease renewals and a new lease for approximately 23,000 sf. There
are currently no disposition plans at this time. The property is
currently 81% occupied as of September 2015. There is
approximately 27% upcoming rollover in 2016 and 47% in 2017.
The third largest contributor to expected losses is the State Farm
Insurance Building loan (5.8%), which is secured by 58,905 sf
office property located in Vallejo, CA. The decline in performance
is due to a decline in base rent of $274,000 as a result of the
sole tenant, State Farm (46,038 sf; 78% net rentable area [NRA];
Sept. 30, 2019 exp.) amending their lease to reduce occupancy from
100% to 78% with average rent $32/sf. Per the master servicer, the
borrower has indicated, they are in the process of lease execution
documents with a tenant for approximately 9,500 sf. Per REIS, as
of the fourth quarter 2015, the Vallejo-Fairfield market vacancy
rate is 27% with average asking rent $23 sf. The loan did not pay
off at its anticipated repayment date of Aug. 1, 2015.
RATING SENSITIVITIES
Although the credit enhancement to class AJ has improved, future
upgrades are not expected due to the high concentration of
specially serviced loans (over 27% of the pool), increased deal
concentration, and adverse selection. In addition, several of the
top 15 loans are secured by single-tenanted properties which carry
binary risk. Losses remain possible.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed and revised REs to these ratings:
-- $126.7 million class AJ at 'CCCsf'; RE 100% from 75%;
-- $36 million class B at 'Dsf'; RE 40% from 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%;
-- $0 class P at 'Dsf'; RE 0%.
The class A-1, A-1A, A-2, A-2FL, A-3A1, A-3A2, A-4, A-SB, A-2FX and
A-M certificates have paid in full. Fitch does not rate the class
NR certificates. Fitch previously withdrew the ratings on the
interest-only class X-1 and X-2 certificates.
JP MORGAN 2005-LDP5: Fitch Affirms 'Csf' Rating on 6 Certificates
-----------------------------------------------------------------
Fitch Ratings has upgraded one and affirmed 15 classes of J.P.
Morgan Chase Commercial Mortgage Securities Corp. (JPMCC)
commercial mortgage pass-through certificates series 2005-LDP5.
KEY RATING DRIVERS
Fitch upgraded class B to 'AAAsf' from 'AAsf' as the result of
increased credit enhancement from substantial principal paydown
since the prior review. Further upgrades were not warranted given
the pool's concentration, with only 30 loans remaining, and the
high percentage of specially serviced assets.
As of the February 2016 distribution date, the pool's aggregate
principal balance has been reduced by 88.7% to $489.5 million from
$4.33 billion at issuance.
Fitch modeled losses of 44.2% of the remaining pool; expected
losses on the original pool balance total 6.2%, including $51.1
million (1.2% of the original pool balance) in realized losses to
date. Fitch has designated 17 loans (67.3%) as Fitch Loans of
Concern, which includes 14 specially serviced assets (58.2%).
Interest shortfalls are currently affecting classes K through NR.
The largest contributor to modeled losses is the specially serviced
asset, the Hanover Mall (15.7%). The asset is a 706,684 square
foot (sf) regional enclosed mall located in Hanover, MA. The
property became a real estate owned (REO) asset in February 2010
through foreclosure after originally transferring to the special
servicer due to imminent default. Tenants at the property include
Sears (18% of net rentable area (NRA), expiring February 2020),
Macy's (14%, expiring February 2019), and Wal-Mart (12%, expiring
January 2020). The JC Penney store (9%) has closed at the
property; however, the tenant is expected to continue to pay rent
through its lease expiration in March 2019. Per servicer
reporting, economic occupancy stands at 96%, with physical
occupancy of 87% as of 1Q 2015.
The next largest contributor to modeled losses is the specially
serviced Atlantic Development Portfolio loan (16%), secured by five
office complexes and two industrial properties located in Somerset
and Warren, NJ. The loan originally transferred to the special
servicer in April 2010 due to imminent default and was modified to
include an increase in the number of interest-only periods and the
release of one property, resulting in $9.6 million in principal
paydown. As part of the modification, the borrower also
contributed $1 million into a reserve account as new equity. The
loan was then transferred back to the master servicer only to
return back to the special servicer again in July 2015 after a
severe dip in occupancy. Per servicer reporting, the portfolio was
67% occupied as of March 2015. The special servicer is currently
reviewing a revised proposal for another modification of the loan.
The third largest contributor to modeled losses is the DRA-CRT
Portfolio II loan (21%), which is secured by a portfolio of three
cross-collateralized and cross-defaulted office parks. The
portfolio contains a total of 30 buildings, of which 21 are located
in Orlando, FL (45% of the NRA of the portfolio), six are in
Memphis, TN (38%), and three are in Jacksonville, FL (17%). The
loan was split into an A note ($78.7 million) and a B note ($25.6
million) and the maturity was extended to November 2019 from
October 2012. Per servicer reporting, the net operating income
(NOI) debt service coverage ratio (DSCR) dropped to 1.43x as of 1Q
2015 from 1.48x as of year-end 2014. Fitch will continue to
monitor this loan for deteriorating performance.
RATING SENSITIVITIES
The Rating Outlooks on classes AJ through G remain Stable as credit
enhancement is high and downgrades are not expected. Additional
upgrades were not considered due to the pool concentration; high
percentage of Fitch Loans of Concern, which includes the 15
specially serviced loans; and the long dated maturities of the
remaining non-specially serviced loans. Downgrades to the
distressed classes H through Q are possible should additional
losses be realized.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch has upgraded and revised the Outlook on this class:
-- $26.2 million class B to 'AAAsf' from 'AAsf'; Outlook to
Stable from Positive.
Fitch has affirmed these classes and revised Outlooks as
indicated:
-- $1.4 million class A-J at 'AAAsf'; Outlook Stable;
-- $73.4 million class C at 'Asf'; Outlook to Stable from
Positive;
-- $42 million class D at 'BBB-sf'; Outlook Stable;
-- $21 million class E at 'BBsf'; Outlook Stable;
-- $52.5 million class F at 'Bsf'; Outlook Stable;
-- $36.7 million class G at 'B-sf'; Outlook Stable;
-- $52.5 million class H at 'CCCsf'; RE 40%;
-- $42 million class J at 'CCCsf'; RE 0%;
-- $63 million class K at 'CCsf'; RE 0%;
-- $26.2 million class L at 'Csf'; RE 0%;
-- $15.7 million class M at 'Csf'; RE 0%;
-- $15.7 million class N at 'Csf'; RE 0%;
-- $5.2 million class O at 'Csf'; RE 0%;
-- $5.2 million class P at 'Csf'; RE 0%;
-- $10.5 million class Q at 'Csf'; RE 0%.
The class A-1, A-2, A-2FL, A-3, A-4, A-SB, A-1A and A-M
certificates have paid in full. Fitch does not rate the class NR,
HG-1, HG-2, HG-3, HG-4 and HG-5 certificates. Fitch previously
withdrew the ratings on the interest-only class X-1 and X-2
certificates.
JP MORGAN 2006-CIBC15: Fitch Affirms 'Dsf' Rating on 14 Certs
-------------------------------------------------------------
Fitch Ratings has affirmed 17 classes of JP Morgan Chase Commercial
Mortgage Securities Corp commercial mortgage pass-through
certificates series 2006-CIBC15 (JPM 2006-CIBC15).
KEY RATING DRIVERS
The affirmations to the senior classes are primarily due to the
overall pool performance meeting Fitch's expectations at its last
rating action. Fitch has modeled total losses at 23.4% of the
original pool balance compared with 22.8% at last rating action. To
date, total realized losses have reached $293 million (13.8% of the
original pool balance). Fitch anticipates significant paydown over
the next few months as approximately 93% of the portfolio,
including specially serviced assets, is scheduled to mature through
June 2016.
As of the February 2016 distribution date, the pool's aggregate
principal balance has been reduced by 50.2% to $1.06 billion from
$2.12 billion at issuance. Fitch has designated 33 loans (71.3%)
as Fitch Loans of Concern, which includes six specially serviced
assets (10.1%).
Per the servicer reporting, 10 loans (8% of the pool) are defeased.
Interest shortfalls are currently affecting classes A-J through
NR.
The largest contributor to expected losses remains the Warner
Building (27.7% of the pool), which is secured by a 615,000 square
foot (sf) landmark office property located in Washington, D.C.,
approximately three blocks from the White House. In January 2012,
the property experienced a significant decline in occupancy from
99% to 49% as a result of the bankruptcy and vacancy of the largest
tenant, which represented 51% of net rentable area (NRA). As of the
January 2016 rent roll, the property occupancy has increased to
approximately 79%. The largest tenants are Baker Botts, LLP (27%,
lease expiration 2020), Cooley LLP (21%, 2028), General Electric
Company (9%, 2027), and Live Nation, parent of the Warner Theater
(7%, 2023). The borrower continues to market the remaining vacant
space. Cash flow has been trending up, as occupancy has slowly
improved and free rent periods have continued to burn off. The
loan had a servicer-reported September 2015 YTD debt service
coverage ratio (DSCR) of 0.74x. The loan is scheduled to mature in
June 2016.
The next largest contributor to expected losses is the specially
serviced Scottsdale Plaza Resort (5.3% of the pool), which is
secured by a 404-key hotel located in Scottsdale, AZ. The loan
transferred to special servicing in May 2015 due to imminent
default. The borrower has not made any payments since March 2015
and it has an upcoming maturity in June 2016. The property had
generated less than breakeven cash flow since 2009 and has a
servicer reported YTD September 2015 DSCR of 0.74x. Prior to
default, the borrower was funding debt service shortfalls out of
pocket. The special servicer is proceeding with foreclosure while
discussing a possible modification and extension of the loan.
RATING SENSITIVITIES
Outlooks on classes A-1A and A-4 have been revised to Negative from
Stable due to the uncertainty involving a substantial percentage of
upcoming loan maturities. The classes could be downgraded should a
significant percentage of loans not pay off as scheduled.
The distressed class A-M is subject to further downgrade should
more loans transfer to special servicing and/or additional losses
be realized. The class could be upgraded should recoveries on the
loans be better than anticipated.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed and revised Outlooks as:
-- $553.4 million class A-4 at 'AAsf'; Outlook to Negative from
Stable;
-- $159.5 million class A-1A at 'AAsf'; Outlook to Negative
from Stable;
-- $211.8 million class A-M at 'CCCsf'; RE 70%.
-- $130.6 million class A-J 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%;
-- $0 class P at 'Dsf'; RE 0%.
Classes A-1, A-3, and A-SB have paid in full. Fitch does not rate
the class NR certificates. Fitch previously withdrew the ratings
on the interest-only class X-1 and X-2 certificates.
JP MORGAN 2006-CIBC17: Moody's Cuts Cl. A-J Debt Rating to Caa3
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of two classes,
downgraded the ratings of three classes, and affirmed one class in
J.P. Morgan Chase Commercial Mortgage Securities Corporation,
Series 2006-CIBC17 as:
Cl. A-SB, Affirmed Aaa (sf); previously on Aug. 7, 2015,
Affirmed Aaa (sf)
Cl. A-4, Upgraded to Aa3 (sf); previously on Aug. 7, 2015,
Affirmed A1 (sf)
Cl. A-1A, Upgraded to Aa3 (sf); previously on Aug. 7, 2015,
Affirmed A1 (sf)
Cl. A-M, Downgraded to Ba2 (sf); previously on Aug. 7, 2015,
Affirmed Ba1 (sf)
Cl. A-J, Downgraded to Caa3 (sf); previously on Aug. 7, 2015,
Affirmed Caa1 (sf)
Cl. X, Downgraded to B2 (sf); previously on Aug. 7, 2015,
Affirmed B1 (sf)
RATINGS RATIONALE
The rating on the P&I class was 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 the P&I classes A-4 and A-1A were upgraded primarily
due to an increase in credit support since Moody's last review,
resulting from paydowns and amortization, as well as Moody's
expectation of additional increases in credit support resulting
from the payoff of loans approaching maturity that are well
positioned for refinance. The pool has paid down by 23% since
Moody's last review. In addition, loans constituting 62% of the
pool are either defeased or have debt yields exceeding 10% and are
scheduled to mature within the next 12 months.
The ratings on the P&I classes A-M and A-J were downgraded due to
potential interest shortfalls and realized and anticipated losses
from specially serviced and troubled loans that are higher than
Moody's had previously expected.
The rating on the IO Class (Class X) was downgraded due to a
decline in the credit performance (or the weighted average rating
factor or WARF) of its referenced classes.
Moody's rating action reflects a base expected loss of 8% of the
current balance compared to 18% at Moody's last review. Moody's
base expected loss plus realized losses is now 17.5% of the
original pooled balance, compared to 17.4% 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.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Approach to
Rating US and Canadian Conduit/ Fusion CMBS" published in December
2014.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based CMBS Conduit Model, which it
uses for both conduit and fusion transactions. Credit enhancement
levels for conduit loans are driven by property type, Moody's
actual and stressed DSCR, and Moody's property quality grade (which
reflects the capitalization rate Moody's uses to estimate Moody's
value). Moody's fuses the conduit results with the results of its
analysis of investment grade structured credit assessed loans and
any conduit loan that represents 10% or greater of the current pool
balance.
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 20, compared to 21 at Moody's last review.
DEAL PERFORMANCE
As of the Feb. 12, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 35% to $1.65 billion
from $2.54 billion at securitization. The certificates are
collateralized by 106 mortgage loans ranging in size from less than
1% to 13% of the pool, with the top ten loans (excluding
defeasance) constituting 51% of the pool. The pool contains no
loans with investment-grade structured credit assessments. Ten
loans, constituting 9% of the pool, have defeased and are secured
by US government securities.
Thirty-four loans, constituting 36% 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.
Thirty-three loans have been liquidated from the pool, contributing
to an aggregate realized loss of $314 million (an average loss
severity of 49%). Three loans, constituting 8% of the pool, are
currently in special servicing. The largest specially serviced
loan is the Westfield Shoppingtown Independence Loan ($110 million
-- 7% of the pool), which is secured by a 500,000 square foot
collateral portion of a larger regional mall in Wilmington, North
Carolina. The mall anchors include JC Penney, Dillard's, Belk, and
Sears. JC Penney is the only collateral anchor. The loan
transferred to the special servicer in October 2014 for weak
performance. The mall overall was 93% occupied as of September
2015, compared to 95% at Moody's last review. The servicer has
recognized a $61 million appraisal reduction (56% of the current
outstanding balance).
The remaining two specially serviced loans are secured by an office
property in Birmingham, Alabama and a hotel property in Valdosta,
Georgia. Moody's estimates an aggregate $81 million loss for the
specially serviced loans (62% expected loss on average).
Moody's has assumed a high default probability for 13 poorly
performing loans, constituting 6% of the pool, and has estimated an
aggregate loss of $19 million (a 20% expected loss based on a 51%
probability default) from these troubled loans.
Moody's received full year 2014 operating results for 98% of the
pool, and partial year 2015 operating results for 74% of the pool.
Moody's weighted average conduit LTV is 98%, essentially unchanged
from 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 11.8% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.5%.
Moody's actual and stressed conduit DSCRs are 1.41X and 1.07X,
respectively, compared to 1.42X and 1.08X 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 performing conduit loans represent 29% of the pool
balance. The largest loan is the Blackstone Retail Portfolio Loan
($221 million -- 13% of the pool). The loan is also known as the
Centro Heritage Portfolio Loan, in reference to the loan's original
sponsor at securitization. The loan is secured by a portfolio of
14 retail properties located across ten US states. As of September
2015, the portfolio was 92% leased. Moody's LTV and stressed DSCR
are 83% and 1.17X, respectively, unchanged from the prior review.
The second largest loan is the CNL Center I & II Loan ($138 million
-- 8% of the pool). The loan is secured by two adjacent, mixed-use
properties located in Orlando, Florida. As of September 2015, the
properties were 100% occupied compared to 88% in March 2015.
Moody's LTV and stressed DSCR are 121% and 0.82X, respectively,
unchanged from the last review.
The third largest loan is the Residence Inn Times Square Loan ($120
million -- 7% of the pool). The loan is secured by a 357-key,
extended stay hotel located in Midtown Manhattan. The property was
93% occupied in 2014. January-September 2015 occupancy averaged
94%. Moody's LTV and stressed DSCR are 111% and, 1.05X,
respectively, compared to 109% and 1.06X at the last review.
JP MORGAN 2012-C6: Fitch Affirms 'Bsf' Rating on Cl. H Certs.
-------------------------------------------------------------
Fitch Ratings has affirmed 12 classes of J.P. Morgan Chase
Commercial Mortgage Securities Trust commercial mortgage
pass-through certificates, series 2012-C6.
KEY RATING DRIVERS
The affirmations are based on the stable performance of the
underlying collateral since issuance. Per the servicer reporting,
there are no delinquent or specially serviced loans. 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 64.8% of the transaction. Fitch received
year-end (YE) 2015 operating data for 18.6% of the pool and
year-to-date (YTD) 2015 operating data for 80.2% of the pool.
As of the February 2016 distribution date, the pool's aggregate
principal balance has been reduced by 7.5% to $1.05 billion from
$1.13 billion at issuance. Since the prior rating action, two
loans (2.4% of the original pool balance) have been repaid. The
pool has experienced no realized losses to date. Fitch has
designated four loans (11.3% of the pool) as Fitch Loans of
Concern, which includes three of the top 15 loans.
The largest loan (11.8% of the pool) is secured by a 45-story, 1.2
million square foot (sf) Class A office property located in
downtown Cleveland, OH. Developed in 1985, the property includes
an eight-story atrium with landscaped interior gardens, various
conference facilities, a fitness center, retail amenities, and an
attached 757-car parking garage. Major tenants include Cliffs
Natural Resources (12.2% net rentable area [NRA] through December
2021) and Benesch, Friedlander, Coplan & Aronoff LLP (9.8% NRA
through July 2019). The servicer-reported occupancy and debt
service coverage ratio (DSCR) were 81.6% and 1.66x, respectively,
as of YE 2015 compared to 79% and 1.72x at YE 2014.
The largest Fitch Loan of Concern (5.1% of the pool) is secured by
a portfolio of two Class A office buildings totaling 673,188 sf
located in suburban Dallas, TX. Major tenants include Healthtexas
Provider Network (37.3% NRA through November 2022) and Compass Bank
(24.7% NRA through September 2023). Prior to issuance, the
property struggled to maintain stable occupancy after the loss of a
large single tenant at one of the buildings. The property has
benefitted from some recent leasing activity, as occupancy rose to
88.6% in January 2016 from 73% as of the September 2015 rent roll.
The loan is scheduled to mature on Nov. 1, 2016, and leases
comprising approximately 20% of the total NRA are scheduled to
expire through the end of 2016. The loan has been designated as a
Fitch Loan of Concern due to the upcoming tenant roll concurrent
with the upcoming loan maturity. The servicer-reported DSCR was
1.43x based on annualized YTD September 2015 operations compared to
1.24x at YE 2014.
The largest contributor to expected losses (2.5% of the pool) is
secured by a portfolio of seven office buildings totaling 448,965
sf located in Oak Ridge, TN, approximately 25 miles west of
Knoxville. Occupancy at the property declined to 86.6% as of the
February 2016 rent roll from 91% at YE 2013 after the departure of
a large government-related tenant in 2014 which was partially
offset by additional leasing activity in 2015. Leases comprising
approximately 47% of the portfolio's NRA are scheduled to expire in
2016, including the largest tenant, CNS LLC (26.5% NRA expiring
September 2016). According to servicer commentary, government
leases in Oak Ridge are technically permitted to be only one year
in duration, but it is likely that the tenant will occupy the space
for much longer. The servicer-reported DSCR was 1.33x based on
annualized YTD September 2015 operations, compared to 1.61x at YE
2014.
RATING SENSITIVITIES
The Rating Outlooks remain Stable for all classes due to stable
performance of the pool and continued paydown. 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 ratings:
-- $114.4 million class A-2 at 'AAAsf'; Outlook Stable;
-- $491.7 million class A-3 at 'AAAsf'; Outlook Stable;
-- $102.9 million class A-SB at 'AAAsf'; Outlook Stable;
-- $99.2 million class A-S at 'AAAsf'; Outlook Stable;
-- $56.7 million class B at 'AAsf'; Outlook Stable;
-- $25.5 million class C at 'A+sf'; Outlook Stable;
-- $28.3 million class D at 'A-sf'; Outlook Stable;
-- $55.3 million class E at 'BBB-sf'; Outlook Stable;
-- $1.4 million class F at 'BBB-sf'; Outlook Stable;
-- $15.6 million class G at 'BBsf'; Outlook Stable;
-- $18.4 million class H at 'Bsf'; Outlook Stable;
-- $808.2 million* class X-A at 'AAAsf'; Outlook Stable.
*Notional amount and interest-only.
The class A-1 certificates have paid in full. Fitch does not rate
the interest-only class X-B or class NR certificates.
LB-UBS COMMERCIAL 2004-C4: Moody's Affirms Caa2 Rating on Cl J Debt
-------------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class and
affirmed the ratings on three classes in LB-UBS Commercial Mortgage
Trust, Pass-Through Certificates, Series 2004-C4 as follows:
Cl. H, Upgraded to Aa1 (sf); previously on Dec 4, 2015 Upgraded to
Aa2 (sf)
Cl. J, Affirmed Caa2 (sf); previously on Dec 4, 2015 Affirmed Caa2
(sf)
Cl. K, Affirmed C (sf); previously on Dec 4, 2015 Affirmed C (sf)
Cl. X, Affirmed Ca (sf); previously on Dec 4, 2015 Affirmed Ca
(sf)
RATINGS RATIONALE
The rating on one class was upgraded based on an increase in credit
support resulting from loan paydowns. The deal has paid down 27%
since Moody's last review.
The ratings on two P&I classes were affirmed because the ratings
are consistent with Moody's expected loss.
The rating on the IO Class (Class X) was affirmed at Ca (sf) due to
the uncertainty of future interest payments based on the fact that
all of its references classes have an interest rate equal to the
weighted average coupon of the pool.
Moody's rating action reflects a base expected loss of 29.8% of the
current balance, compared to 22.2% at Moody's last review. Moody's
base expected loss plus realized losses is now 3.4% 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 February 18, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $32 million
from $1.4 billion at securitization. The certificates are
collateralized by ten mortgage loans ranging in size from less than
1% to 28% of the pool.
Two loans, constituting 12% 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.
Seventeen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $38.6 million (for an average loss
severity of 34%). Three loans, constituting 41% of the pool, are
currently in special servicing. The largest specially serviced loan
is the 2200 Byberry Road Loan ($8.8 million -- 27.6% of the pool),
which is secured by a 105,191 square foot (SF) office property
located in Hatboro, Pennsylvania. The property was transferred to
special servicing in May of 2014 for maturity default.
The remaining two specially serviced loans are secured by retail
properties. Moody's estimates an aggregate $8.8 million loss for
the specially serviced loans (67% expected loss on average).
Moody's has assumed a high default probability for one poorly
performing loan, constituting 9% of the pool, and has estimated an
aggregate loss of less than $1 million from this troubled loan.
Moody's received full year 2014 operating results for 100% of the
pool. Moody's weighted average conduit LTV is 65%, compared to 58%
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 20% to the most recently available net
operating income (NOI). Moody's value reflects a weighted average
capitalization rate of 10.0%.
Moody's actual and stressed conduit DSCRs are 1.00X and 1.78X,
respectively, compared to 1.49X and 1.91X 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 38% of the pool balance. The
largest loan is the Regal Cinema Loan ($6.8 million -- 21% of the
pool), which is secured by a 21 screen cinema located in Augusta,
Georgia. The property is 100% leased to Regal through October 2019.
Performance has been stable. Moody's LTV and stressed DSCR are 56%
and 1.93X, respectively, compared to 57% and 1.89X at the last
review.
The second largest loan is the Orchid Centre Loan ($3.6 million --
11% of the pool), which is secured by an unanchored retail center
located 30 miles north of Dallas in McKinney, Texas. The property
was 84% occupied as of September 2015. Moody's LTV and stressed
DSCR are 101% and 1.07X, respectively, compared to 79% and 1.37X at
the last review.
The third largest loan is the Rite Aid - Westlake Loan ($1.7
million -- 5% of the pool), which is secured by an 11,000 SF drug
store in Westlake, Ohio. The property is 100% leased to Rite Aid
through July 2021. Moody's LTV and stressed DSCR are 51% and 2.10X,
respectively, the same as at last review.
LEHMAN ABS 2001-B: S&P Lowers Rating on Cl. A-4 Certificates to BB
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
A-4 certificates issued by Lehman ABS Manufactured Housing Contract
Trust 2001-B (Lehman 2001-B) to 'BB (sf)' from 'BBB+ (sf)'. At the
same time, S&P affirmed its ratings on the class A-5, A-6, A-7, and
M-1 certificates from the same transaction. Ditech Financial LLC
is currently servicing the portfolio.
The downgrade of the class A-4 certificates to 'BB (sf)' from 'BBB+
(sf)' reflects S&P's view that the trust may not not pay principal
in full by the certificate's Sept. 15, 2018, stated final maturity
date. S&P's criteria defines an obligation rated in the 'BBB (sf)'
category as one that exhibits adequate protection parameters and an
obligation rated 'BB (sf)' as less vulnerable to nonpayment than
other speculative issues. Furthermore, an obligation rated 'BB
(sf)' faces major ongoing uncertainties or exposures to adverse
business, financial, or economic conditions, which could lead to
the obligor's capacity or willingness to meet its financial
commitment on the obligation.
Due to cumulative net losses, which are well above S&P's initial
loss expectations at issuance, the transaction is not generating
enough collections each month to pay the complete amount of
principal due on the class A certificates. As a result, the class
A-1 through A-7 certificates have accrued an aggregate unpaid
principal shortfall of $196 million as of the February 2016
distribution date. According to the payment waterfall, any unpaid
principal shortfall amount is paid pro rata among all of the
outstanding class A certificates before the normal sequential
principal payment distribution.
The pro rata principal reduction to the class A-4 certificates has
averaged approximately $350,000 per month over the past 12 months
and has been decreasing on a year-over-year basis. Given class
A-4's $10.6 million principal balance as of the February
distribution date, a continued slowdown in monthly principal
distributions may affect its ability to pay its full principal
obligation by the stated final maturity date. As such, S&P lowered
the rating to 'BB (sf)' on that class.
The affirmed ratings on the class A-5, A-6, A-7, and M-1 notes
reflect S&P's view that the total credit support, as a percent of
the amortizing pool balance compared with S&P's revised expected
remaining cumulative net losses, is adequate to support the
affirmed ratings. In addition, the affirmations reflect the
transaction's collateral performance to date, S&P's view of future
collateral performance, and the transaction's structure.
Furthermore, S&P's analysis incorporated secondary credit factors,
such as credit stability, payment priorities under various
scenarios, and sector- and issuer-specific analysis.
At closing, credit support was provided through a combination of
subordination, in the form of two classes of B certificates and two
classes of M certificates, and excess spread. The transaction was
structured to build enhancement over time in the form of
overcollateralization (O/C) through the accelerated paydown of the
senior certificates with excess spread. As of the Feb. 15, 2016,
distribution date, higher-than-expected losses have depleted the
O/C. In addition, subordinated classes B-1 and B-2 have been
written down to zero, and the class M-2 certificates continue to
take write-downs. Class M-1 remains at its original principal
balance. Although the higher-than-initially expected net losses
have caused a partial write-down on class M-2 and the complete
depletion of O/C, S&P believes that enough enhancement remains in
the form of subordination to support the affirmed ratings. As of
Feb. 15, 2016, subordination from class M-1 and M-2 provides 68.82%
of credit enhancement to the class A certificates. Class M-2
provides 22.64% hard credit enhancement to the class M-1.
Table 1
Hard Credit Support (%)(i)
(As of the February 2016 distribution date)
Current
Total hard total hard
Pool credit support credit support
Class factor at issuance (% of current)
A 15.16 23.50 68.82
M-1 15.16 16.50 22.64
(i) Consisted of overcollateralization and subordination at
issuance. Current hard credit support consists solely of
subordination. Both percentages exclude excess spread.
The ratings on the class A-1, A-2, and A-3 certificates were
previously downgraded to 'D (sf)' and subsequently withdrawn due to
an incomplete principal payment to investors by their respective
stated final maturity dates. As a result of the principal
write-downs, classes B-2, B-1, and M-2 have experienced interest
shortfalls. As such, S&P lowered its rating on the class B-1, B-2
and M-2 certificates to 'D (sf)' and subsequently withdrew its
ratings.
As of the February 2016 distribution date, this transaction had a
pool factor of 15.16% and had experienced cumulative net losses of
20.81% after 172 months of performance. Collateral performance has
been worse than S&P initially expected because of high default
frequencies and loss severities. After reviewing the performance
information that S&P has received for the transaction to date, it
slightly decreased its cumulative net loss expectation to
22.00%-23.50% from 23.50%-25.00% since S&P's last surveillance
review in 2013, primarily due to the decrease in the rate of losses
the pool has experienced over the past three-year period.
The class A-7 certificates benefit from a bond insurance policy
issued by Ambac Assurance Corp. (not rated). Under S&P's criteria,
the issue credit rating on a fully enhanced bond issue is the
higher of: (i)our rating on the credit enhancer; and (ii)the
Standard & Poor's underlying rating (SPUR) on the class. A SPUR
reflects S&P's opinion of the stand-alone creditworthiness of a
security--that is, its capacity to pay debt service on a debt issue
in accordance with its terms without considering an otherwise
applicable bond insurance policy. Since Ambac is not rated, our
'BBB+ (sf)' rating on the class A-7 reflects the SPUR.
S&P will continue to monitor the performance of these transactions
to ensure that the credit enhancement remains sufficient, in S&P's
view, to cover its loss expectations under our stress scenarios for
each of the rated classes by their stated final maturities.
Lehman ABS Manufactured Housing Contract Trust 2001-B
RATING LOWERED
Rating
Class To From
A-4 BB (sf) BBB+ (sf)
RATINGS AFFIRMED
Class Rating
A-5 BBB+ (sf)
A-6 BBB+ (sf)
A-7 BBB+ (sf)
M-1 B- (sf)
MORGAN STANLEY 2003-IQ6: Moody's Hikes Class M Debt Rating to B1
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on seven classes
and affirmed the ratings on three classes in Morgan Stanley Capital
I Trust, Commercial Mortgage Pass-Through Certificates, Series
2003-IQ6 as:
Cl. F, Affirmed Aaa (sf); previously on April 2, 2015, Upgraded
to Aaa (sf)
Cl. G, Upgraded to Aaa (sf); previously on April 2, 2015,
Upgraded to Aa2 (sf)
Cl. H, Upgraded to Aa2 (sf); previously on April 2, 2015,
Upgraded to A1 (sf)
Cl. J, Upgraded to A1 (sf); previously on April 2, 2015,
Upgraded to Baa2 (sf)
Cl. K, Upgraded to A3 (sf); previously on April 2, 2015,
Upgraded to Ba1 (sf)
Cl. L, Upgraded to Baa1 (sf); previously on April 2, 2015,
Upgraded to Ba2 (sf)
Cl. M, Upgraded to B1 (sf); previously on April 2, 2015,
Affirmed Caa2 (sf)
Cl. N, Upgraded to Caa1 (sf); previously on April 2, 2015,
Affirmed Caa3 (sf)
Cl. X-1, Affirmed B3 (sf); previously on April 2, 2015, Affirmed
B3 (sf)
Cl. X-Y, Affirmed Aaa (sf); previously on April 2, 2015,
Affirmed Aaa (sf)
RATINGS RATIONALE
The ratings on seven P&I classes, Class G through N, were upgraded
based primarily on an increase in credit support resulting from
loan paydowns and amortization as well as an increase in
defeasance. The deal has paid down 20% since Moody's last review.
Four loans have defeased representing 31% of the pool balance
compared to 17% at last review.
The rating one P&I class, Class F, was 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 rating on IO class X-1 was based on the credit performance (or
the weighted average rating factor or WARF) of its referenced
classes. The rating on IO class X-Y was affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of the referenced residential cooperative loans.
Moody's base expected loss plus realized losses is now 0.9% of the
original pooled balance, compared to 1.0% 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.
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 3 at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model in formulating a rating recommendation. 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 Feb. 16, 2015, distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $33.4 million
from $998 million at securitization. The certificates are
collateralized by 19 mortgage loans ranging in size from less than
1% to 49% of the pool. Eight loans, constituting 60% of the pool,
have investment-grade structured credit assessments. Four loans,
constituting 31% of the pool, have defeased and are secured by US
government securities.
Four loans, constituting 6% 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.
Two loans have been liquidated from the pool, resulting in an
aggregate realized loss of $8.9 million (for an average loss
severity of 50%). No loans are currently in special servicing.
Moody's received full year 2014 operating results for 82% of the
pool. Moody's weighted average conduit LTV is 22%, the same as at
Moody's last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 17% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.6%.
Moody's actual and stressed conduit DSCRs are 1.28X and 6.47X,
respectively, compared to 1.47X and 5.51X 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 largest loan with a structured credit assessment is the 3 Times
Square Loan ($16 million -- 48.6% of the pool), which represents a
pari-passu interest in a $79 million A-Note. The loan is
collateralized by the sponsor's leasehold interest in an 880,000
square foot (SF) Class A office tower located in the Times Square
district of Midtown Manhattan. The largest tenant, Thomson Reuters
Corporation, leases 72% of the property's net rentable area (NRA)
through November 2021. The loan is fully amortizing and matures in
October 2021. Moody's current structured credit assessment and
stressed DSCR are aaa (sca.pd) and >4.00X, the same as at the
prior review.
The remaining seven structured credit assessments ($4 million --
11.8% of the pool) are associated with multifamily housing
cooperative loans. The current loan exposure is $10,605 per unit.
Moody's current structured credit assessment and stressed DSCR for
these loans is aaa (sca.pd) and >4.00X.
The top three conduit loans only represent 5% of the deal. All top
three conduit loans have amortized at least 45% since
securitization. Moody's LTV for the top three conduit loans ranges
from 14% to 40%. All of the non-defeased performing loans have a
debt yield in excess of 24% based on the most recent annual net
operating income.
MORGAN STANLEY 2004-IQ8: S&P Raises Rating on Cl. G Certs to BB+
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on five
classes of commercial mortgage pass-through certificates from
Morgan Stanley Capital I Trust 2004-IQ8, a U.S. commercial
mortgage-backed securities (CMBS) transaction.
S&P's upgrades follow its analysis of the transaction, primarily
using its criteria for rating U.S. and Canadian CMBS transactions,
which included a review of the credit characteristics and
performance of the remaining loans in the pool, the transaction's
structure, and the liquidity available to the trust. The raised
ratings also reflect S&P's expectation of the available credit
enhancement for these classes, which S&P believes is greater than
its most recent estimate of necessary credit enhancement for the
respective rating levels, S&P's views regarding the collateral's
current and future performance, and the reduced trust balance.
While available credit enhancement levels suggest further positive
rating movements on classes F, G, and H, S&P's analysis also
considered the bonds' susceptibility to reduced liquidity support
from the six loans ($4.8 million, 15.7%) on the master servicer's
watchlist due to low reported debt service coverage (DSC) and/or
occupancy, which is exacerbated by the bonds' forecasted duration,
with all three expected to remain outstanding past 2019.
TRANSACTION SUMMARY
As of the Feb. 16, 2016, trustee remittance report, the collateral
pool balance was $30.6 million, which is 4.0% of the pool balance
at issuance. The pool currently includes 26 loans, down from 100
loans at issuance. Six of these loans are on the master servicer's
watchlist and no loans are with the special servicer or defeased.
The master servicer, Wells Fargo Bank N.A., reported financial
information for 96.2% of the loans in the pool, of which 77.8% was
year-end 2014 data and the remainder was partial-year 2015 data.
S&P calculated a 1.36x Standard & Poor's weighted average DSC and
41.2% Standard & Poor's weighted average loan-to-value (LTV) ratio
using a 7.70% Standard & Poor's weighted average capitalization
rate for the loans in the pool. The top 10 loans have an aggregate
outstanding pool trust balance of $21.7 million (71.0%). Using
servicer-reported numbers, S&P calculated a Standard & Poor's
weighted average DSC and LTV of 1.34x and 47.1%, respectively, for
the top 10 loans. To date, the transaction has experienced $15.3
million in principal losses, or 2.0% of the original pool trust
balance.
RATINGS LIST
Morgan Stanley Capital I Trust 2004-IQ8
Commercial mortgage pass-through certificates series 2004-IQ8
Rating Rating
Class Identifier To From
D 61745MP31 AAA (sf) BBB (sf)
E 61745MP49 AAA (sf) BB+ (sf)
F 61745MP56 A (sf) B+ (sf)
G 61745MP64 BB+ (sf) CCC+ (sf)
H 61745MP72 B- (sf) CCC- (sf)
MORGAN STANLEY 2005-TOP19: Fitch Raises Rating on E Certs to BB
---------------------------------------------------------------
Fitch Ratings has upgraded seven and affirmed seven classes of
Morgan Stanley Capital I Trust (MSCI) series 2005-TOP19.
KEY RATING DRIVERS
The upgrades are the result of increased credit enhancement (CE)
due to loan payoffs, continued amortization and overall stable
performance since the prior review.
Fitch modeled losses of 15.1% of the remaining pool; expected
losses on the original pool balance total 2.2%, including $9.5
million (0.8% of the original pool balance) in realized losses to
date. Fitch has designated five loans (22.3%) as Fitch Loans of
Concern, which includes four specially serviced assets (13.5%).
Interest shortfalls are currently affecting classes M through P.
As of the February 2016 distribution date, the pool's aggregate
principal balance has been reduced by 90.4% to $117.5 million from
$1.23 billion at issuance. Of the original 157 loans, 19 remain.
Per the servicer reporting, two loans (15.7% of the pool) are
defeased. The non-specially serviced loans mature in 2020 (73.4%)
and 2025 (13.1%).
The largest contributor to modeled losses is a loan (8.9%) secured
by an 85,111 square foot (sf) grocery anchored retail center
located in Santee, CA (San Diego). Tenants at the center include
Haggen, Inc. (51% of net rentable area (NRA), expiring July 2016),
CKO Kickboxing (5%, expiring June 2024), and Round Table Pizza
(3.5%, expiring July 2018). Media sources have indicated that
Haggen, Inc. plans to close all of its California stores. The
servicer-reported net operating income (NOI) debt service coverage
ratio (DSCR) increased to 1.29x as of year-end (YE) 2015 from 1.09x
as of YE 2014. Fitch has added this loan as a Loan of Concern and
will continue to monitor it for deteriorating performance. In its
analysis, Fitch stressed the reported NOI assuming additional
vacancy due to the expected exit of Haggen, Inc.
The next largest contributor to modeled losses is a specially
serviced loan (4%) secured by a 52,599 sf single-tenant retail
property located in Crystal Lake, IL. The property is 100%
occupied by Sports Authority through a triple-net (NNN) lease
extending through January 2017. The store has closed and the space
is now dark. The loan transferred after the borrower indicated to
the special servicer that they would be unable to repay the loan at
the scheduled maturity in May 2015. The servicer recently approved
the borrower's requested 18 month maturity date extension. Fitch
will continue to monitor the loan for performance and leasing
updates. Fitch's losses were based on a stressed appraisal value
assuming the property is vacant.
The third largest contributor to modeled losses is a real estate
owned (REO) office building (4.1%) located in West Palm Beach, FL,
measuring 53,652 sf. The loan transferred to the special servicer
in March 2015 due to payment default and has been REO since
November 2015. The property has experienced declining revenue over
the past few years as a result of increased vacancy. Per the
servicer provided rent roll dated June 2015, occupancy stood at
48%.
RATING SENSITIVITIES
The Rating Outlooks on classes AJ through G remain Stable as credit
enhancement is high and downgrades are not expected. Further
upgrades were not warranted due to pool concentration and the high
percentage of specially serviced assets and Fitch Loans of Concern,
as well as the increasing pool concentration and the long dated
maturities of the remaining non-specially serviced loans. Classes
E and F have been assigned Positive outlooks due to high credit
enhancement levels. Upgrades are possible with stable pool
performance, increased credit enhancement and/or resolution of the
specially serviced loans. Downgrades to the distressed classes H
through N are possible should additional losses be realized.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch upgrades these classes and revises or assigns Outlooks as
indicated:
-- $5.7 million class A-J to 'AAAsf' from 'AAsf'; Outlook
Stable;
-- $23 million class B to 'AAAsf' from 'Asf'; Outlook Stable;
-- $12.3 million class C to 'Asf' from 'BBBsf'; Outlook Stable;
-- $15.4 million class D to 'BBBsf' from 'BBsf'; Outlook
Stable;
-- $12.3 million class E to 'BBsf' from 'Bsf'; Outlook to
Positive from Stable;
-- $9.2 million class G to 'Bsf' from 'CCCsf'; Outlook Stable
assigned;
-- $3.1 million class J to 'CCCsf' from 'CCsf'; RE 100%.
Fitch affirms these classes and revises Outlooks as indicated:
-- $9.2 million class F at 'Bsf'; Outlook to Positive from
Stable;
-- $10.7 million class H at 'CCCsf'; RE 100%;
-- $3.1 million class K at 'CCsf'; RE 65%;
-- $6.1 million class L at 'CCsf'; RE 0%;
-- $1.5 million class M at 'Csf'; RE 0%;
-- $3.1 million class N at 'Csf'; RE 0%;
-- $2.8 million class O at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-AB, A-4A and A-4B certificates have paid
in full. Fitch does not rate the class P certificates. Fitch
previously withdrew the ratings on the interest-only class X-1 and
X-2 certificates.
MORGAN STANLEY 2007-IQ14: Moody’s Affirms Ba2 Rating on 2 Tranches
--------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on 16 classes of
Morgan Stanley Capital I Trust, Commercial Mortgage Pass-Through
Certificates, Series 2007-IQ14 as follows:
Cl. A-2, Affirmed Aaa (sf); previously on Apr 2, 2015 Affirmed Aaa
(sf)
Cl. A-2FL, Affirmed Aaa (sf); previously on Apr 2, 2015 Affirmed
Aaa (sf)
Cl. A-2FX, Affirmed Aaa (sf); previously on Apr 2, 2015 Affirmed
Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Apr 2, 2015 Affirmed Aaa
(sf)
Cl. A-AB, Affirmed Aaa (sf); previously on Apr 2, 2015 Affirmed Aaa
(sf)
Cl. A-4, Affirmed A3 (sf); previously on Apr 2, 2015 Affirmed A3
(sf)
Cl. A-5, Affirmed A3 (sf); previously on Apr 2, 2015 Affirmed A3
(sf)
Cl. A-1A, Affirmed A3 (sf); previously on Apr 2, 2015 Affirmed A3
(sf)
Cl. A-M, Affirmed Ba2 (sf); previously on Apr 2, 2015 Affirmed Ba2
(sf)
Cl. A-MFX, Affirmed Ba2 (sf); previously on Apr 2, 2015 Affirmed
Ba2 (sf)
Cl. A-J, Affirmed Caa2 (sf); previously on Apr 2, 2015 Affirmed
Caa2 (sf)
Cl. A-JFX, Affirmed Caa2 (sf); previously on Apr 2, 2015 Affirmed
Caa2 (sf)
Cl. B, Affirmed C (sf); previously on Apr 2, 2015 Downgraded to C
(sf)
Cl. C, Affirmed C (sf); previously on Apr 2, 2015 Downgraded to C
(sf)
Cl. D, Affirmed C (sf); previously on Apr 2, 2015 Affirmed C (sf)
Cl. X, Affirmed B2 (sf); previously on Apr 2, 2015 Affirmed B2
(sf)
RATINGS RATIONALE
The ratings on ten P&I classes, A-2 through A-MFX, 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 five P&I classes, A-J through D, were affirmed
because the ratings are consistent with Moody's expected loss.
The rating on the IO class X, was affirmed based on the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes.
Moody's rating action reflects a base expected loss of 11.3% of the
current balance, compared to 11.9% at Moody's last review. Moody's
base expected loss plus realized losses is now 16.0% of the
original pooled balance, the same 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 February 16, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 41.5% to $2.87
billion from $4.90 billion at securitization. The certificates are
collateralized by 306 mortgage loans ranging in size from less than
1% to 11% of the pool, with the top ten loans constituting 37% of
the pool. Thirty loans, constituting 5% of the pool, have defeased
and are secured by US government securities.
Eighty-nine loans, constituting 31% 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.
Eighty-six loans have been liquidated from the pool for a aggregate
realized loss of $379 million (for an average loss severity of
38%), contributing to the total certificate loss of $463 million.
Twelve loans, constituting 9% of the pool, are currently in special
servicing. The largest specially serviced loan is the City View
Center Loan ($81.0 million -- 2.8% of the pool), which is secured
by a 506,000 square foot retail center located in Garfield Heights,
Ohio. The loan was transferred to special servicing on November 12,
2008 due to imminent monetary default. The largest tenant,
Wal-Mart, leased 29% of the GLA through 2027, but vacated in
September 2008 because of concerns about environmental issues at
the property. Since then, Home Depot, J.C. Penney, PetSmart, Bed
Bath and Beyond and Dick's Sporting Goods have all vacated the
property. The property was 22% leased as of December 2015. The
property had previously been utilized as a quarry and later as a
landfill that ceased operations in the 1970's. The landfill was
subsequently capped and a gas extraction system was installed. The
special servicer, on behalf of the trust, has filed claim against
the Mortgage Loan Originator, Morgan Stanley, based on the
misrepresentation of the nature of the environmental issues at the
property. This loan has been deemed non-recoverable by the master
servicer.
The remaining 11 specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $167 million loss
for the specially serviced loans (68% expected loss on average).
Moody's has assumed a high default probability for 23 poorly
performing loans, constituting 13% of the pool, and has estimated
an aggregate loss of $79 million (a 22% expected loss based on a
50% probability default) from these troubled loans.
Moody's received full year 2014 operating results for 90% of the
pool, and partial year 2015 operating results for 83% of the pool.
Moody's weighted average conduit LTV is 104%, compared to 105% 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 7% 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 1.33X and 1.03X,
respectively, compared to 1.31X and 1.03X 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 performing loans represent 22% of the pool balance.
The largest loan is the Beacon Seattle and DC Portfolio Loan
($328.7 million -- 11.4 % of the pool). The loan represents a
participation interest in a $1.2 billion loan secured by a
portfolio of seven office properties in Bellevue, Washington,
Washington, DC, and Northern Virginia. The loan is pari passu with
five other securitizations and was originally collateralized by 17
properties and excess cash flow pledges on three additional
properties. The portfolio is also encumbered by a B-Note, which
exists outside the trust and is only subordinate to the notes held
in the BACM 2007-2 and BSCMS 2007-PWR16 transactions and not
subordinate to the pooled balance in this transaction. The
borrower, Beacon Capital Partners, is actively marketing the
remaining properties for sale. Occupancy for the remaining seven
properties was 84% as of June 2015 compared to 81% in December
2014. The loan was previously in special servicing but was modified
in December 2010 and returned to the master servicer in May 2012.
The loan modification included a five-year extension, a coupon
reduction along with an unpaid interest accrual feature and a
waiver of yield maintenance to facilitate property sales. Moody's
LTV and stressed DSCR are 133% and 0.77X, respectively, the same as
at last review.
The second largest loan is the PDG Portfolio Loan ($208.9 million
-- 7.3% of the pool). The loan is secured by a portfolio of 11
cross-collateralized and cross-defaulted retail properties located
in suburban Phoenix, Arizona. The loan had been transferred to
special servicing in October 2010 due to imminent monetary default
and was modified in November 2011. The modification included an
initial interest rate reduction to 4.25% (from 5.8%) through
January 2013 and now has an interest rate of 4.5% through the loan
maturity in May 2017. The loan modification also included several
capital event provisions which allow for partial forgiveness of
loan principal if certain conditions are met. As of June 2015, the
portfolio was 78% leased compared to 71% in September 2014. The
loan is on the master servicer's watchlist due to low DSCR. Moody's
identified this as a troubled loan, and assumed a high default
probability.
The third largest loan is the New Crow Industrial Portfolio Loan
($94.7 million -- 3.3% of the pool). The loan is a portfolio of
nine cross-collateralized and cross-defaulted loans secured by nine
adjacent industrial properties located in Commerce, California, a
prominent industrial district ten miles southeast of downtown Los
Angeles. The properties are well-located near Interstate 5 and
Interstate 710. As of September 2015, the portfolio was 95% leased
compared to 100% in December 2014. Moody's LTV and stressed DSCR
are 114% and 0.83X respectively, the same as at last review.
MORGAN STANLEY 2016-C28: Fitch Assigns B- Rating on 2 Tranches
--------------------------------------------------------------
Fitch Ratings has assigned these ratings and Rating Outlooks to
Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) Mortgage
Trust 2016-C28 commercial mortgage pass-through certificates:
-- $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 rateable portion of
class E-1 and E-2 certificates. Additionally, a holder of
class E-1, E-2, Class 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
rateable portion of each class of the class E-1, E-2, F-1
and F-2 certificates.
Fitch does not 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 cut-off 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 29.4% 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.
PANGAEA CLO 2007-1: Moody's Affirms Ba3 Rating on Cl. D Notes
-------------------------------------------------------------
Moody's Investors Service has upgraded the rating on these notes
issued by Pangaea CLO 2007-1 Ltd.:
$14,500,000 Class C Floating Rate Deferrable Senior Subordinate
Notes Due 2021, Upgraded to A2 (sf); previously on Oct. 16,
2015, Upgraded to A3 (sf)
Moody's also affirmed the ratings on these notes:
$217,000,000 Class A-1 Floating Rate Senior Notes Due 2021
(current outstanding balance of $47,266,469), Affirmed
Aaa (sf); previously on Oct. 16, 2015, Affirmed Aaa (sf)
$16,000,000 Class A-2 Floating Rate Senior Notes Due 2021,
Affirmed Aaa (sf); previously on Oct. 16, 2015, Affirmed
Aaa (sf)
$20,000,000 Class B Floating Rate Deferrable Senior Subordinate
Notes Due 2021, Affirmed Aaa (sf); previously on Oct. 16, 2015,
Upgraded to Aaa (sf)
$15,000,000 Class D Floating Rate Deferrable Subordinate Notes
Due 2021 (current outstanding balance of $14,790,233), Affirmed
Ba3 (sf); previously on Oct. 16, 2015, Upgraded to Ba3 (sf)
Pangaea CLO 2007-1 Ltd., issued in August 2007, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans. The transaction's reinvestment period ended in July
2014.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since October 2015. The Class
A-1 notes have been paid down by approximately 45.0% or $38.7
million since then. Based on the trustee's February 2016 report,
the OC Ratios for the Class A, Class B, Class C and Class D notes
are reported at 185.9%, 141.2%, 120.3%, and 104.5% respectively,
versus October 2015 levels of 153.4%, 128.3%, 114.6% and 103.4%,
respectively.
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:
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) 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
$3.6 million of par, Moody's ran a sensitivity case
defaulting those assets.
7) Exposure to credit estimates: The deal contains securities
whose default probabilities Moody's has assessed through
credit estimates. If Moody's does not receive the necessary
information to update its credit estimates in a timely
fashion, the transaction could be negatively affected by any
default probability adjustments Moody's assumes in lieu of
updated credit estimates.
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% (2269)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: +2
Class D: +2
Moody's Adjusted WARF + 20% (3403)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: -2
Class D: 0
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations," published in December 2015.
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 $117.8 million, defaulted par
of $2.9 million, a weighted average default probability of 13.33%
(implying a WARF of 2836), a weighted average recovery rate upon
default of 52.65%, a diversity score of 24 and a weighted average
spread of 3.3% (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. In each case, historical and market
performance and the collateral manager's latitude for trading the
collateral are also factors.
A material proportion of the collateral pool includes debt
obligations whose credit quality Moody's assesses through credit
estimates. Moody's analysis reflects adjustments with respect to
the default probabilities associated with credit estimates.
Additionally, for each credit estimates whose related exposure
constitutes more than 3% of the collateral pool, Moody's applied a
two-notch equivalent assumed downgrade, which totals approximately
3.6% of the pool.
PEACHTREE FRANCHISE 1999-A: Moody's Lowers Rating on 2 Notes to Ca
------------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of Class C and
Class A-X notes issued by Peachtree Franchise Loan LLC 1999-A
(Peachtree 1999-A). The transaction is backed by franchise loans
made to fast food and casual dining restaurants.
The complete rating actions are:
Issuer: Peachtree Franchise Loan LLC 1999-A
Class A-X, Downgraded to Ca (sf); previously on March 30, 2012,
Downgraded to Caa3 (sf)
Class C, Downgraded to Ca (sf); previously on March 2, 2011,
Confirmed at Caa3 (sf)
RATINGS RATIONALE
The downgrades are a result of the continued deterioration of the
pool backing Peachtree 1999-A which resulted in the write-down of
Class C notes by $1.6 million over the past twelve months. The
Class C does not benefit from any credit enhancement as all
subordinated notes have been completely written-down. As of
February 16 payment date, cumulative write-downs on the Class C
notes are approximately $2.6 million or 42% of the original note
balance.
The downgrade of the Class A-X notes that reference the collateral
pool is in accordance with "Moody's Approach to Rating Structured
Finance Interest-Only Securities," published in October 2015. The
methodology states that for IO securities referencing a single
pool, the new IO rating will be the minimum of "Ba3 (sf)", the
highest rated bond in the deal, and the rating corresponding to the
pool's expected loss. Consequently, the Class A-X notes are
downgraded pursuant to the downgrade of the Class C notes.
The principal methodology used in these ratings was "Moody's Global
Approach to Rating SME Balance Sheet Securitizations" published in
October 2015.
Factors that would lead to an upgrade or downgrade of the rating:
An increase or decrease in delinquencies or losses that differs
from the recent performance, or further large changes in credit
enhancement available to the notes.
SOLARCITY LMC: S&P Assigns 'BB' Rating on Class B Notes
-------------------------------------------------------
Standard & Poor's Ratings Services assigned its 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 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.
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.
ARD--Anticipated repayment date.
TIDEWATER AUTO 2016-A: S&P Assigns BB Rating on Class E Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
Tidewater Auto Receivables Trust 2016-A's $156.382 million
automobile receivables-backed notes series 2016-A.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The ratings reflect:
-- The availability of approximately 51.9%, 44.4%, 33.3%,
24.8%, and 22.2% credit support, including excess spread
(based on stressed cash flow scenarios). These credit
support levels provide coverage of approximately 3.50x,
3.00x, 2.30x, 1.67x, and 1.50x our 13.75%-14.75% expected
cumulative net loss range. These credit support levels are
commensurate with the assigned 'AAA (sf)', 'AA (sf)',
'A (sf)', 'BBB- (sf)' and 'BB (sf)' ratings, respectively.
-- The timely interest and principal payments made under the
stressed cash flow modeling scenarios, which are consistent
with the assigned ratings.
-- The credit enhancement in the form of subordination, a cash
collateral account, overcollateralization, excess spread,
and a capitalized interest account.
-- The transaction's ability to withstand 1.75x S&P's expected
net loss level in S&P's "what if" scenario analysis before
becoming vulnerable to a negative CreditWatch action or a
potential downgrade.
-- The securitized pool's moderate level of seasoning
(approximately nine months).
-- The transaction's payment and legal structures, which
include a noncurableperformance trigger.
-- Tidewater Finance Co.'s (Tidewater's) 21-year history in the
subprime autofinance business.
-- Twelve years of static pool data on Tidewater's 341 and non-
341 loan programs. Under the 341 loan program, Tidewater
underwrites loans to consumers who have filed bankruptcy
after facing temporary life events resulting in credit
difficulty.
RATINGS LIST
Tidewater Auto Receivables Trust 2016-A
Class Rating Amount (mil. $)
A-1 A-1+ (sf) 26.300
A-2 AAA (sf) 61.110
B AA (sf) 18.178
C A (sf) 23.135
D BBB- (sf) 20.179
E BB (sf) 7.480
F NR 5.393
NR--Not rated.
VOYA CLO 2016-1: Moody's Assigns Ba3(sf) Rating to Class D Notes
----------------------------------------------------------------
Moody's Investors Service, has assigned ratings to seven classes of
notes issued by Voya CLO 2016-1, Ltd. (the "Issuer" or "Voya CLO
2016-1").
Moody's rating action is as follows:
US$257,300,000 Class A-1 Senior Secured Floating Rate Notes due
2027 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf)
US$32,450,000 Class A-2A Senior Secured Floating Rate Notes due
2027 (the "Class A-2A Notes"), Definitive Rating Assigned Aa1 (sf)
US$20,000,000 Class A-2B Senior Secured Fixed Rate Notes due 2027
(the "Class A-2B Notes"), Definitive Rating Assigned Aa1 (sf)
US$8,900,000 Class B-1 Mezzanine Secured Deferrable Floating Rate
Notes due 2027 (the "Class B-1 Notes"), Definitive Rating Assigned
A2 (sf)
US$20,000,000 Class B-2 Mezzanine Secured Deferrable Fixed Rate
Notes due 2027 (the "Class B-2 Notes"), Definitive Rating Assigned
A2 (sf)
US$22,650,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2027 (the "Class C Notes"), Definitive Rating Assigned
Baa3 (sf)
US$20,500,000 Class D Junior Secured Deferrable Floating Rate Notes
due 2027 (the "Class D Notes"), Definitive Rating Assigned Ba3
(sf)
The Class A-1 Notes, the Class A-2A Notes, the Class A-2B Notes,
the Class B-1 Notes, the Class B-2 Notes, the Class C Notes and the
Class D Notes are referred to herein, collectively, as the "Rated
Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
Voya CLO 2016-1, Ltd. is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated first lien
senior secured corporate loans. At least 92.5% of the portfolio
must consist of senior secured loans and eligible investments, and
up to 7.5% of the portfolio may consist of second lien loans and
unsecured loans. However, based on the portfolio's WARF and the
percentage of the portfolio that consists of covenant-lite loans,
the minimum percentage of senior secured loans could be as high as
96.0%. The portfolio is approximately 97% ramped as of the closing
date.
Voya Alternative Asset Management LLC (the "Manager") will direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2015.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $415,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2875
Weighted Average Spread (WAS): 3.70%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 8.0 years
Factors That Would Lead to an Upgrade or Downgrade of the Rating:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2875 to 3307)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2A Notes: -2
Class A-2B Notes: -2
Class B-1 Notes: -2
Class B-2 Notes: -2
Class C Notes: -1
Class D Notes: 0
Percentage Change in WARF -- increase of 30% (from 2875 to 3738)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2A Notes: -4
Class A-2B Notes: -4
Class B-1 Notes: -4
Class B-2 Notes: -4
Class C Notes: -2
Class D Notes: -1
WACHOVIA BANK 2004-C12: Fitch Lowers Rating on Cl. O Certs to C
---------------------------------------------------------------
Fitch Ratings has downgraded four and affirmed five classes of
Wachovia Bank Commercial Mortgage Trust, commercial mortgage
pass-through certificates, series 2004-C12 (WBCMT 2004-C12).
KEY RATING DRIVERS
The downgrades reflect an increase in Fitch-modeled losses since
Fitch's last rating action, primarily from the two largest loans in
the pool, both of which are retail properties. The affirmation of
the remaining classes reflects concerns of pool concentration and
adverse selection, despite the increased credit enhancement since
the last rating action, as many of the remaining properties are in
the retail sector, in special servicing, and/or located in
secondary or tertiary markets.
Fitch modeled losses of 27.7% of the remaining pool; expected
losses on the original pool balance total 2.5%, including $9.7
million (0.9% of the original pool balance) in realized losses to
date. Fitch has designated six loans (69.6%) as Fitch Loans of
Concern, which includes three specially serviced assets (61.5%).
As of the February 2016 distribution date, the pool's aggregate
principal balance has been reduced by 94.2% to $61.9 million from
$1.06 billion at issuance. Of the 97 loans in the original pool,
only 14 loans currently remaining, of which 98% by balance are
secured by retail loans. Of this retail component, 15% is
single-tenant exposure to either Walgreen's or Walmart. Per the
servicing report, one loan (3.3%) is defeased. The loan maturity
schedule consists of 21.7% of the pool maturing in 2019 and 16.8%
in 2024. Interest shortfalls are currently affecting class P.
The largest contributor to Fitch-modeled losses is The Mall at
Waycross asset (14.6% of pool). The asset is a 380,982 square foot
(sf) retail property located in Waycross, GA. The loan was
transferred to special servicing in January 2014 for imminent
default. At that time, the borrower had sent a hardship letter
indicating an inability to refinance the loan by the May 2014
maturity date due to property level issues. The foreclosure sale
was completed in August 2014.
As of the January 2016 rent roll, the property was 68% occupied. An
additional 22.6% remains dark due to Sear's closing its store in
February 2010, while its lease runs out to March 2020. Physical
property occupancy has remained in the mid-high 60% range since
2010. Since Fitch's last rating action, both of the anchor
tenants, JCPenney (21.2% of net rentable area [NRA]) and Belk
(16.1%), as well as many other in-line tenants, have extended their
leases. JCPenney extended its lease to August 2022 from August
2016. Belk extended to August 2021 from August 2016. Staples (6.3%)
extended to February 2020 from February 2015. Hibbett Sporting
Goods (2.1%) extended to January 2021 from January 2016. The
Georgia Theatre's lease (4.9%) has an upcoming expiration in August
2016; however, the servicer indicated negotiations for renewal are
ongoing. Three new leases were also executed in 2015 totaling 3.6%
of the NRA. Lease rollover risk over the next few years is
relatively limited with 5.6% of the NRA in 2016, 1.6% in 2017, and
2.6% in 2018.
According to the most recent sales report provided by the servicer,
in 2015, in-line sales for tenants with a full 12 months of
reported sales averaged approximately $107 per square foot (psf).
JCPenney reported sales of $76 psf in 2015, which has been
declining year-over-year since 2007 when sales were $132 psf. Belk
reported sales of $125 psf for 2014, which has gradually increased
year-over-year since 2009 when sales were $107 psf. According to
the special servicer, the property was fully marketed and all
offers are currently being evaluated at this time. Near-term
disposition appears likely.
The next largest contributor to Fitch-modeled losses is the
Eastdale Mall loan (41.9%). The loan is secured by 481,422 sf of a
757,411 sf regional mall located in Montgomery, AL. The current
loan sponsor is the Aronov Company.
The loan was first transferred to special servicing in November
2013 for imminent default. In December 2013, the loan was
modified, whereby the modification eliminated the loan's
anticipated repayment date (ARD) provisions (original ARD was June
11, 2014) and brought up the final loan maturity to December 2018
from December 2027. The loan returned to the master servicer in
June 2014.
The loan was transferred back to the special servicer for a second
time in September 2015 as the borrower is requesting the loan be
modified again as part of a potential sale of the property to a
proposed new buyer that wants a principal reduction on the debt.
The sale of the property is still pending and the property has not
yet been put under contract. The special servicer indicated that
if no new agreement is reached with the proposed new buyer, the
loan would be returned to the master servicer. The loan remains
current and performing.
As of the December 2015 rent roll, the overall mall occupancy was
92.1% and the collateral occupancy was 87.6%. Occupancy had
declined in 2013 when the Eastdale Cinemas (6% of collateral NRA)
vacated in March 2013 after operating on a month-to-month lease.
Non-collateral anchors include Dillard's (177,427 sf) and JCPenney
(98,542 sf). Collateral anchors include Sears (18.3% of collateral
NRA) and Belk (16.3%). The borrower had executed lease extensions
with Sears to February 2017 from September 2014 and with Belk to
January 2018 from January 2015. The borrower invested $500,000 for
the Sears extension and $1.5 million for the Belk extension.
Lease rollover is concentrated in 2017 and 2018 with 36.5% and
33.5% of the collateral NRA expiring during these years. In
addition, both of the collateral anchors have been experiencing
declining sales. According to the most recent sales report
provided by the servicer, in 2015, Sears and Belk reported sales of
$56 psf and $124 psf, respectively, declining from $83 psf and $135
psf, respectively, in 2012. In-line sales for tenants with a full
12 months of reported sales averaged approximately $270 psf.
RATING SENSITIVITIES
The Rating Outlook on classes F through H is Stable due to
sufficient credit enhancement and expected continued paydown.
Upgrades were not considered due to pool concentration and adverse
selection, as well as limited upcoming loan maturities. The Rating
Outlook on classes J and K were revised to Negative from Stable due
to an increase in the overall pool expected loss since the last
rating, due to the thin nature of these tranches, and due to the
large concentration of the specially serviced assets, primarily the
two largest retail loans, which has underperformed and/or located
in secondary/tertiary markets. The distressed classes (those rated
below 'Bsf', as well as those classes with Negative Outlooks, may
be subject to further downgrades if the performance of the two
retail properties decline, if additional losses are realized, or if
losses exceed Fitch's expectation.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has downgraded these classes as indicated:
-- $5.3 million class L to 'CCCsf' from 'Bsf; RE 85%;
-- $4 million class M to 'CCsf' from 'B-sf'; RE 0%;
-- $2.7 million class N to 'CCsf' from 'CCCsf'; RE 0%;
-- $2.7 million class O to 'Csf' from 'CCCsf' RE 0%.
In addition, Fitch has affirmed and revised Rating Outlooks on
these classes as indicated:
-- $9.1 million class F at 'Asf'; Outlook Stable;
-- $12 million class G at 'Asf'; Outlook Stable;
-- $13.3 million class H at 'BBB-sf'; Outlook Stable;
-- $4 million class J at 'BBsf'; Outlook to Negative from
Stable;
-- $2.7 million class K at 'BBsf'; Outlook to Negative from
Stable.
Classes A-1, A-1A, A-2, A-3, A-4, B, C, D, E, and MAD have paid in
full. Fitch does not rate the class P certificates. Fitch
previously withdrew the rating on the interest-only class IO
certificates.
WACHOVIA BANK 2004-C12: S&P Affirms BB+ Rating on Cl. H Certs
-------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on nine
classes of commercial mortgage pass-through certificates from
Wachovia Bank Commercial Mortgage Trust's series 2004-C12, a U.S.
commercial mortgage-backed securities (CMBS) transaction.
The rating affirmations follow S&P's analysis of the transaction,
primarily using its criteria for rating U.S. and Canadian CMBS
transactions, which included a review of the credit characteristics
and performance of the remaining assets in the pool, the
transaction's structure, and the liquidity available to the trust.
The affirmations further reflect S&P's expectation that the
available credit enhancement for these classes will be within S&P's
estimate of the necessary credit enhancement required for the
current ratings. The affirmations also reflect S&P's views
regarding the collateral's current and future performance, the
transaction structure, and liquidity support available to the
classes.
While available credit enhancement levels suggest positive rating
movements on classes F through M, S&P's analysis also considered
the bonds' susceptibility to reduced liquidity support from the
three specially serviced assets, all of which are top 10
nondefeased assets ($38.0 million, 61.5% of current pool balance).
TRANSACTION SUMMARY
As of the Feb. 18, 2016, trustee remittance report, the collateral
pool balance was $61.9 million, which is 5.8% of the pool balance
at issuance. The pool currently includes 13 loans and one real
estate owned (REO) asset down from 96 loans at issuance. Three of
these assets are with the special servicer, one ($2.0 million,
3.3%) is defeased, and two ($2.7 million, 4.3%) are on the master
servicer's watchlist. The master servicer, Wells Fargo Bank N.A.,
reported financial information for 100.0% of the nondefeased loans
in the pool, of which 98.0% was partial or year-end 2014 data and
the remainder was partial- or year-end 2015 data.
S&P calculated a 1.38x Standard & Poor's weighted average debt
service coverage (DSC) and 46.8% Standard & Poor's weighted average
loan-to-value (LTV) ratio using a 7.37% Standard & Poor's weighted
average capitalization rate. The DSC, LTV, and capitalization rate
calculations exclude the three specially serviced assets and
defeased loan. The top 10 nondefeased loans have an aggregate
outstanding pool trust balance of $57.0 million (92.1%). Using
servicer-reported numbers, S&P calculated a Standard & Poor's
weighted average DSC and LTV of 1.40x and 42.5%, respectively, for
seven of the top 10 nondefeased loans. The remaining three assets
are specially serviced and discussed below.
To date, the transaction has experienced $9.7 million in principal
losses, or 0.9% of the original pool trust balance. S&P expects
losses to reach approximately 1.9% of the original pool trust
balance in the near term, based on losses incurred to date and
additional losses S&P expects upon the eventual resolution of the
three specially serviced assets. S&P expects additional losses of
17.4% of the current pool balance.
CREDIT CONSIDERATIONS
As of the Feb. 18, 2016, trustee remittance report, three assets in
the pool were with the special servicer, Torchlight Loan Services
LLC. Details of the specially serviced assets are:
-- The Eastdale Mall loan ($26.0 million, 41.9%), the largest
asset in this transaction, has $26.0 million in total
reported exposure and is secured by a 485,772-sq.-ft. retail
mall in Montgomery, Ala. The loan was transferred to the
special servicer in September 2015 due to imminent default.
The loan had previously been transferred to the special
servicer in November 2013 due to imminent default, and was
returned to the master servicer in June 2014 with modified
loan terms. Per the special servicer, the borrower is trying
to sell the property. The loan is current in payment
status. The reported DSC and occupancy as of year-end 2014
were 1.40x and 85.0%, respectively. More recent financial
information was unavailable. There is no appraisal
reduction amount (ARA) in effect against this loan, and S&P
currently expects a minimal loss upon its eventual
resolution. S&P will continue to monitor the resolution
process.
-- The Mall at Waycross REO asset ($9.0 million, 14.6%) has
$11.0 million in total reported exposure and is secured by a
377,544-sq.-ft. retail mall in Waycross, Ga. The loan was
transferred to the special servicer in January 2014 due to
imminent default. The loan became REO in August 2014. Per
special servicer, the asset was fully marketed for sale and
offers range between $5.0 million and $7.0 million. The
reported DSC and occupancy as of year-end 2014 were 0.49x
and 94.2% respectively. An ARA in the amount of $2.0
million is in effect against this asset. S&P expects
significant losses upon the asset's eventual resolution.
-- The Callabridge loan ($3.1 million, 4.9%) has $3.1 million
in total reported exposure and is secured by a 41,000-sq.-
ft. retail property in Charlotte, N.C. The loan was
transferred to the special servicer in Jan. 2016, due to
imminent default. The special servicer will commence due
diligence on the loan. The loan is current in payment
status. The reported DSC and occupancy as of Sept. 30,
2015, were 0.87x and 63.7%, respectively. There is no ARA
in effect against this loan and S&P expects minimal losses
upon the eventual resolution of the loan.
S&P estimated losses for the three specially serviced assets,
arriving at a weighted average loss severity of 28.2%.
With respect to the specially serviced assets noted above, a
minimal loss is less than 25%, a moderate loss is 26%-59%, and a
significant loss is 60% or greater.
RATINGS LIST
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2004-C12
Rating
Class Identifier To From
F 929766SL8 A- (sf) A- (sf)
G 929766SM6 BBB (sf) BBB (sf)
H 929766SN4 BB+ (sf) BB+ (sf)
J 929766SP9 BB (sf) BB (sf)
K 929766SQ7 BB- (sf) BB- (sf)
L 929766SR5 B+ (sf) B+ (sf)
M 929766SS3 B (sf) B (sf)
N 929766ST1 B- (sf) B- (sf)
O 929766SU8 CCC+ (sf) CCC+ (sf)
WACHOVIA BANK 2005-C22: Moody's Affirms C Rating on 2 Tranches
--------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three classes
and downgraded the rating on one class in Wachovia Bank Commercial
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
Series 2005-C22 as:
Cl. D, Affirmed Caa2 (sf); previously on Nov. 6, 2015, Upgraded
to Caa2 (sf)
Cl. E, Affirmed C (sf); previously on Nov. 6, 2015, Affirmed
C (sf)
Cl. F, Affirmed C (sf); previously on Nov. 6, 2015, Affirmed
C (sf)
Cl. IO, Downgraded to C (sf); previously on Nov. 6, 2015,
Downgraded to Caa1 (sf)
RATINGS RATIONALE
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 IO) was downgraded due to the
decline in the credit performance of its reference classes
resulting from principal paydowns of higher quality reference
classes. The IO class is not currently receiving, nor is it
expected to receive any interest payments.
Moody's rating action reflects a base expected loss of 26.2% of the
current balance, compared to 5.7% at Moody's last review. The deal
has paid down 82% since the prior review and Moody's base expected
loss plus realized losses is 9.7%, same as 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/Single Asset-Single Borrower CMBS"
published in October 2015.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 64.5% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced loan that it
expects will generate a loss and estimates a loss given default
based on a review of broker's opinions of value (if available),
other information from the special servicer, available market data
and Moody's internal data. The loss given default for each loan
also takes into consideration repayment of servicer advances to
date, estimated future advances and closing costs. Translating the
probability of default and loss given default into an expected loss
estimate, Moody's then applies the aggregate loss from specially
serviced loans to the most junior classes and the recovery as a pay
down of principal to the most senior classes.
DESCRIPTION OF MODELS USED
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 Feb. 18, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $70.6 million
from $2.53 billion at securitization. The certificates are
collateralized by seven mortgage loans ranging in size from less
than 3% to 35% of the pool.
One loan, constituting 35.5% of the pool, is on the master
servicer's watchlist. Twenty-six loans have been liquidated from
the pool, resulting in an aggregate realized loss of approximately
$227 million (for an average loss severity of 55%). Six loans,
constituting 64.5% of the pool, are currently in special
servicing.
The largest specially serviced loan is the One Riverfront Plaza
Loan ($16.3 million -- 23% of the pool), which is secured by a
130,000 square foot (SF) single tenant office property located in
Westbrook, Maine, approximately 7 miles west of Portland. The
single tenant, RMS Disability, did not renew its lease at
expiration in January 2016 and the space is currently 100% vacant.
The loan transferred to special servicing in December 2015 due to
maturity default.
The remaining five specially serviced loans are secured by a mix of
retail, office and multifamily property types. Moody's estimates
an aggregate $14.2 million loss for the specially serviced loans
(31% expected loss on average).
The sole performing loan is the Palmer Town Center Loan ($25
million -- 35.5% of the pool), which is secured by a 153,000 SF,
retail property located in Easton, PA 70 miles north of
Philadelphia. The loan has passed its anticipated repayment date
in October 2015 and is currently on the master servicer's
watchlist. The property was 90% leased as of September 2015 and
performance remains stable. Moody's LTV and stressed DSCR are 135%
and 0.70X, respectively, compared to 128% and 0.73X 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.
WELLS FARGO 2016-NXS5: Fitch Assigns 'BB-sf' Rating on Cl. F Debt
-----------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to the Wells Fargo Commercial Mortgage Trust 2016-NXS5
commercial mortgage pass-through certificates:
-- $33,080,000 class A-1 'AAAsf'; Outlook Stable;
-- $121,907,000 class A-2 'AAAsf'; Outlook Stable;
-- $35,827,000 class A-3 'AAAsf'; Outlook Stable;
-- $65,000,000 class A-4 'AAAsf'; Outlook Stable;
-- $85,000,000 class A-5 'AAAsf'; Outlook Stable;
-- $164,769,000 class A-6 'AAAsf'; Outlook Stable;
-- $50,000,000ac class A-6FL 'AAAsf'; Outlook Stable;
-- $0a class A-6FX 'AAAsf'; Outlook Stable;
-- $57,007,000 class A-SB 'AAAsf'; Outlook Stable;
-- $50,320,000 class A-S 'AAAsf'; Outlook Stable;
-- $662,910,000b class X-A 'AAAsf'; Outlook Stable;
-- $52,508,000b class X-B 'AA-sf'; Outlook Stable;
-- $52,508,000 class B 'AA-sf'; Outlook Stable;
-- $39,381,000 class C 'A-sf'; Outlook Stable;
-- $26,254,000 class D 'BBBsf'; Outlook Stable;
--$22,185,000ab class X-F 'BB-sf'; Outlook Stable;
-- $9,539,000ab class X-G 'B-sf'; Outlook Stable;
-- $20,784,000a class E 'BBB-sf'; Outlook Stable;
-- $22,185,000a class F 'BB-sf'; Outlook Stable;
-- $9,539,000a class G 'B-sf'; Outlook Stable;
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
(c) Floating rate.
Since Fitch published its expected ratings on Feb. 9, 2016, the
issuer removed the $47,038,000 interest-only class X-D. As such,
Fitch withdrew its expected rating of 'BBB-sf' for the class. The
issuer also added the $50,000,000 class A-6FL and the $0 class
A-6FX to the capital structure.
Fitch does not rate the $41,568,836a class H certificates and the
$41,568,836ab class X-H certificates.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 64 loans secured by 116
commercial properties having an aggregate principal balance of
approximately $875.1 million as of the cut-off date. The loans were
contributed to the trust by Wells Fargo Bank, National Association,
Natixis Real Estate Capital LLC and Silverpeak Real Estate Finance
LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral including site inspections on 66.9% of the properties by
balance, cash flow analysis of 75.6%, and asset summary reviews on
75.6% of the pool.
KEY RATING DRIVERS
High Fitch Leverage: The transaction has higher leverage than other
recent Fitch-rated transactions. The pool's Fitch debt service
coverage ratio (DSCR) of 1.12x is below both the 2015 and 2014
averages of 1.18x and 1.19x, respectively. The pool's Fitch
loan-to-value (LTV) of 110.6% is above both the 2015 average of
109.3% and the 2014 average of 106.2%.
Pool Concentration Better than Recent Deals: The top 10 loans make
up 48.1% of the pool, which is below the respective YTD 2016 and
2015 averages of 55.7% and 49.3%. Additionally, the loan
concentration index (LCI) is 349, below the YTD 2016 and 2015
averages of 429 and 367.
Single-Tenant Properties: The pool includes nine loans (19.4% of
pool) secured by properties that are exclusively occupied by a
single tenant. However, including all 33 properties with
single-tenant concentration greater than 75%, the exposure
represents 33.4% of the pool. This is significantly higher than the
respective 2015 and 2014 averages of 12.8% and 9.3%. Loans in the
top 10 secured by properties with single-tenant concentration
include One Court Square (8.6% of pool), Walgreens-CVS Portfolio
(5.2%), Torrance Crossroads (5.1%), and Keurig Green Mountain
(3.2%).
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 16.7% 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 WFCM
2016-NXS5 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 'A-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'
could result. The presale report includes a detailed explanation of
additional stresses and sensitivities on pages 10-11.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from
Deloitte & Touche LLP. The third-party due diligence information
was provided on Form ABS Due Diligence-15E and focused on a
comparison and re-computation of certain characteristics with
respect to each mortgage loan. Fitch considered this information in
its analysis and the findings did not have an impact on our
analysis.
WORTHINGTON 2012-D: S&P Lowers Ratings on 2 Tranches to B+
----------------------------------------------------------
Standard & Poor's Ratings Services, on Feb. 26, 2016 lowered 14
ratings and affirmed two ratings from eight pass-through repackaged
transactions.
The rating actions reflect S&P's rating actions on various
underlying securities:
-- S&P lowered its ratings on Worthington Series Trust's $20
million floating-rate certificates series 2012-E to reflect
the Jan. 29, 2016, lowering of our rating on Vale Overseas
Ltd.'s $1 billion 4.375% notes due Jan. 11, 2022, to 'BBB-'
from 'BBB'.
-- S&P lowered its ratings on Worthington Series Trust's $20
million floating-rate certificates series 2012-G to reflect
the Feb. 1, 2016, placement of S&P's 'A' rating on BP
Capital Markets PLC's $1.75 bilion 3.245% medium-term notes
due May 6, 2022, on CreditWatch with negative implications
and the Feb. 22, 2016, lowering of S&P's rating to 'A-' from
'A/Watch Negative' and its subsequent removal from
CreditWatch with negative implications.
-- S&P lowered its ratings on Corporate Asset Backed Corp.'s
$223.575 million coupon certificates series 1994-1 to
reflect the Feb. 2, 2016, lowering of S&P's rating on Texaco
Capital Inc.'s $200 million 8.625% debentures due April 1,
2032, to 'AA-' from 'AA'.
-- S&P placed its ratings on Fixed Income Trust for
ConocoPhillips Notes Series 2014-A on CreditWatch with
negative implications to reflect the Feb. 2, 2016, placement
of S&P's 'A' rating on ConocoPhillips's $2.75 billion 6.50%
series notes due Feb. 1, 2039, on CreditWatch with negative
implications.
-- S&P lowered its ratings on TIERS Corporate Bond-Backed Certs
Trust APA 1997-8 to reflect the Feb. 2, 2016, lowering of
S&P's rating on Apache Corp.'s $150 million 7.375%
debentures due Aug. 15, 2047, to 'BBB' from 'BBB+'.
-- S&P lowered its ratings on Structured Asset Trust Unit
Repackagings (SATURNS) Sprint Capital Corporation Debenture-
Backed Series 2003-2 to reflect the Feb. 2, 2016, lowering
of S&P's rating on Sprint Capital Corp.'s $2 billion 8.75%
notes due March 15,2032, to 'B' from 'B+'.
-- S&P lowered its ratings on Worthington Series Trust's
$20 million floating-rate certificates series 2012-B to
reflect the Feb. 12, 2016, lowering of S&P's rating on
Freeport-McMoRan Inc.'s $2 billion 3.55% series notes due
March 1, 2022, to 'BB' from 'BBB-'.
-- S&P lowered its ratings on Worthington Series Trust's $20
million floating-rate certificates series 2012-D to reflect
the Feb. 17, 2016, lowering of S&P's rating on Petrobras
International Finance Co.'s $5.25 billion 5.375% notes due
Jan. 27, 2021, to 'B+' from 'BB'.
S&P may take subsequent rating actions on these transactions due to
changes in its ratings assigned to the related underlying
securities.
RATINGS LOWERED
Worthington Series Trust
Series 2012-E
Rating
Class To From
A BBB- BBB
B BBB- BBB
Worthington Series Trust
Series 2012-G
Rating
Class To From
A A- A
B A- A
Corporate Asset Backed Corp.
Series 1994-1
Rating
Class To From
A AA- (sf) AA (sf)
B AA- (sf) AA (sf)
TIERS Corporate Bond-Backed Certs Trust APA 1997-8
Series APA 1997-8
Rating
Class To From
Amortizing BBB (sf) BBB+ (sf)
ZTF BBB (sf) BBB+ (sf)
Structured Asset Trust Unit Repackagings (SATURNS) Sprint Capital
Corporation
Debenture-Backed Series 2003-2
Series 2003-2
Rating
Class To From
A B B+
B B B+
Worthington Series Trust's
Series 2012-B
Rating
Class To From
A BB BBB-
B BB BBB-
Worthington Series Trust
Series 2012-D
Rating
Class To From
A B+ BB
B B+ BB
RATINGS PLACED ON CREDITWATCH
Fixed Income Trust for ConocoPhillips Notes Series 2014-A
Series 2014-A
Rating
Class To From
A-1 A/Watch Neg A
A-2 A/Watch Neg A
[*] Delinquencies Hit 6-Yr. High for Subprime Auto ABS, Fitch Says
------------------------------------------------------------------
Delinquencies on U.S. subprime auto ABS have reached a level not
seen since 2009 with underperforming loans from recent vintages
driving the increase, according to Fitch Ratings.
Subprime delinquencies of 60 days or more hit 4.98% in January,
marking the highest level since September 2009 (4.97%). Despite
the rise in delinquencies, subprime annualized net losses (ANL)
leveled off at 8.72%. Subprime ANL were still up 6.5%
year-over-year and are expected to trend higher in 2016 closer to
the 10% range.
Weaker performance in the subprime sector is being driven mainly by
the weaker credit quality present in the 2013-2015 securitized
pools, along with marginally lower used vehicle values.
Subprime 60+ day delinquencies are trending higher closer to the
peak index level of 5.04% recorded in early-2009. Delinquencies
rose 6% month-over-month (MOM) in January, and were 4.8% higher
than a year earlier. ANL were down 1% in January MOM, and 6.5%
higher year-over-year (YOY).
Both prime and subprime auto loan ABS asset performance will
improve over the spring months with the onset of tax refunds
hitting U.S. That said, Fitch expects seasonal benefits to be more
muted this year versus recent years given rising pressures on the
aforementioned asset performance.
Of note, Fitch only rates the two largest issuers in the subprime
auto loan ABS sector, namely General Motors Financial's AMCAR and
Santander Consumer USA's SDART ABS platforms. Cumulative net
losses (CNL) on their recent 2013-2015 ABS transactions are rising
marginally, but remain well within Fitch's expectations. Fitch has
consistently upgraded their subordinate bonds in 2015 and early
2016 as the transactions perform in line with expectations.
Despite softer performance trends, Fitch continues to have a stable
outlook for subprime auto ABS asset and ratings performance in
2016. Fitch expects ANL to rise to or surpass the 10% mark in 2016
as asset performance slows. That said, this should not have an
impact on ratings performance this year. The peak subprime ANL
rate was 13% recorded in early 2009 at the height of the financial
crisis, so current losses are well below this level.
In the prime sector, 60+ day delinquencies were at 0.42% in
January, up 8% MOM but 7% lower versus a year earlier. Prime ANL
rose to 0.65% in January. While this represents the highest level
since March 2011 (0.67%), the number is still well below the
historical average of 0.92%. Fitch expects losses to rise to the
1% range in 2016, comfortably within historical levels, and similar
to the stable 2004-2006 period.
Fitch took over 90 positive rating actions in 2015 across the prime
and subprime sectors. This was up notably from 70 upgrades issued
in 2014, and the second highest level of upgrade activity since
2007.
Fitch's indices track the performance of $95.9 billion of
outstanding auto loan ABS transactions, of which 61% is prime and
remaining 39% subprime ABS.
[*] Fitch Takes Rating Actions on 14 SF CDOs Issued 2001-2005
-------------------------------------------------------------
Fitch Ratings has affirmed 51 and upgraded 4 tranches from 14
structured finance collateralized debt obligations (SF CDOs) with
exposure to various structured finance assets.
KEY RATING DRIVERS
Thirty-nine classes affirmed at 'Csf' have credit enhancement (CE)
levels that are exceeded by the expected losses (EL) from the
distressed collateral (rated 'CCsf' and lower) of each portfolio.
For these classes, the probability of default was evaluated without
factoring potential losses from the performing assets. In the
absence of mitigating factors, default for these notes at or prior
to maturity continues to appear inevitable.
Two classes have been affirmed at 'CCsf' as default remains
probable. The class' current CE levels exceed the EL; however,
their CE is lower than the losses projected at the 'CCCsf' rating
stress under Fitch's Structured Finance Portfolio Credit Model (SF
PCM) analysis.
Three classes have been affirmed at 'CCCsf'. The class' current CE
exceeds the losses projected at the 'CCCsf' rating stress in the SF
PCM analysis, but fall below the losses projected at the 'Bsf'
rating stress. The CE of the class B notes of ACA ABS 2004-1
Limited exceeds the 'B-sf' SF PCM rating loss rate (RLR); however,
given the notes' current balance and the portfolio's concentration
in defaulted assets, Fitch believes a 'CCCsf' rating reflects this
risk more appropriately.
Five classes, affirmed at 'Dsf', are non-deferrable classes that
continue to experience interest payment shortfalls.
The certificates in Blue Heron Funding II, Ltd. and Blue Heron
Funding IX, Ltd. have been affirmed at their current rating of
'AAAsf'/Stable Outlook. The rating assigned to these certificates
is based on the rating of the principal protection assets, which
are zero coupon bonds issued by Resolution Funding Corporation, a
U.S. government-backed entity. The bonds are scheduled to mature in
April 2030.
The class A-1 notes issued by Ischus CDO I Ltd. received
approximately $10.3 million in principal redemptions since the last
review. As a result of the amortization, the notes balance has been
reduced to approximately $1.1 million and is now supported by
approximately $69.8 million of collateral. Fitch expects the
principal collections to remain in line with the average monthly
principal collections since the last review and expects the notes
to be paid in full within the next two to three months. While the
CE of the class A-1 notes allow them to pass losses projected at
the 'Asf' rating stress in the SF PCM, Fitch believes the notes'
short expected life, steady amortization, and high coverage are in
line with a 'AAAsf' rating.
The upgrades of the class A-1 (Series 1) and A-1 (Series 2) notes
issued by Orchard Park CDO Ltd. to 'Bsf/OutS' from 'CCCsf' and the
upgrade of the class B notes issued by Vermeer Funding Ltd./Inc. to
'BBsf'/Stable Outlook' from 'Bsf'/Stable Outlook are attributed to
significant deleveraging of the transaction's capital structure,
which has resulted in increased CE available to the notes.
According to the SF PCM analysis, these classes are now able to
withstand losses at higher rating stresses compared to Fitch's
previous review.
RATING SENSITIVITIES
Negative migration, defaults beyond those projected, and lower than
expected recoveries could lead to downgrades for classes analysed
under the SF PCM. Classes already rated 'Csf' have limited
sensitivity to further negative migration given their highly
distressed rating levels. However, there is potential for
non-deferrable classes to be downgraded to 'Dsf' should they
experience any interest payment shortfalls.
[*] Moody's Hikes $674MM of Subprime RMBS Issued 2003-2007
----------------------------------------------------------
Moody's Investors Service, on Feb. 25, 2016, upgraded the ratings
of 18 tranches from 10 deals issued by various issuers, backed by
Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: Securitized Asset Backed Receivables LLC Trust 2006-CB1
Cl. AV-1, Upgraded to A3 (sf); previously on Mar 12, 2015 Upgraded
to Ba1 (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2007-NC2
Cl. A-1, Upgraded to B1 (sf); previously on Jul 8, 2010 Downgraded
to Caa2 (sf)
Issuer: Soundview Home Loan Trust 2006-WF2
Cl. A-1, Upgraded to A1 (sf); previously on Mar 13, 2015 Upgraded
to Baa1 (sf)
Cl. A-2C, Upgraded to Aa3 (sf); previously on Mar 13, 2015 Upgraded
to A3 (sf)
Cl. A-2D, Upgraded to A1 (sf); previously on Mar 13, 2015 Upgraded
to Baa1 (sf)
Cl. M-1, Upgraded to Ba3 (sf); previously on May 27, 2014 Upgraded
to B1 (sf)
Issuer: Specialty Underwriting and Residential Finance Series
2005-BC4
Cl. A-1A, Upgraded to Aa1 (sf); previously on Mar 12, 2015 Upgraded
to A1 (sf)
Cl. A-2C, Upgraded to Aa1 (sf); previously on Mar 12, 2015 Upgraded
to A2 (sf)
Issuer: Structured Asset Investment Loan Trust 2005-HE1
Cl. M2, Upgraded to B1 (sf); previously on May 27, 2014 Upgraded to
Caa2 (sf)
Issuer: Structured Asset Investment Loan Trust 2006-BNC2
Cl. A5, Upgraded to B1 (sf); previously on Apr 12, 2010 Downgraded
to Caa2 (sf)
Issuer: Structured Asset Securities Corp Trust 2007-BC1
Cl. A3, Upgraded to Aa1 (sf); previously on Jul 22, 2013 Upgraded
to A1 (sf)
Cl. A4, Upgraded to Ba1 (sf); previously on May 28, 2014 Upgraded
to B1 (sf)
Cl. A5, Upgraded to B3 (sf); previously on May 28, 2014 Upgraded to
Ca (sf)
Issuer: Structured Asset Securities Corp Trust 2007-BC3
Cl. 1-A3, Upgraded to Caa1 (sf); previously on Jul 22, 2013
Upgraded to Ca (sf)
Cl. 2-A3, Upgraded to Caa1 (sf); previously on Jul 22, 2013
Upgraded to Ca (sf)
Issuer: Terwin Mortgage Trust 2006-7
Cl. I-A-1, Upgraded to Ba1 (sf); previously on Mar 20, 2015
Upgraded to Ba3 (sf)
Cl. I-A-2b, Upgraded to Caa1 (sf); previously on Sep 14, 2012
Downgraded to Caa3 (sf)
Issuer: Terwin Mortgage Trust, Series TMTS 2003-4HE
Cl. B, Upgraded to Caa3 (sf); previously on Mar 4, 2011 Downgraded
to C (sf)
RATINGS RATIONALE
The upgrades are a result of improving performance of the related
pools and/or build-up in credit enhancement of the tranches. The
actions reflect the recent performance of the underlying pools and
Moody's updated loss expectations on the pools.
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 4.9% in January 2016 from 5.7% in
January 2015. 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.
[*] Moody's Raises Rating on $722.6MM Subprime RMBS
---------------------------------------------------
Moody's Investors Service, on Feb. 29, 2016, upgraded the rating of
24 tranches from eight transactions issued by various issuers,
backed by Subprime mortgage loans.
Complete rating actions are:
Issuer: Carrington Mortgage Loan Trust, Series 2005-NC5
Cl. A-3, Upgraded to A1 (sf); previously on March 23, 2015,
Upgraded to Baa1 (sf)
Cl. M-2, Upgraded to Caa2 (sf); previously on April 29, 2010,
Downgraded to C (sf)
Issuer: Carrington Mortgage Loan Trust, Series 2006-OPT1
Cl. A-3, Upgraded to A1 (sf); previously on March 23, 2015,
Upgraded to Baa1 (sf)
Cl. A-4, Upgraded to A2 (sf); previously on March 23, 2015,
Upgraded to Baa3 (sf)
Cl. M-1, Upgraded to Ba3 (sf); previously on March 23, 2015,
Upgraded to B1 (sf)
Cl. M-2, Upgraded to B3 (sf); previously on March 23, 2015,
Upgraded to Ca (sf)
Issuer: Carrington Mortgage Loan Trust, Series 2007-FRE1
Cl. A-3, Upgraded to Caa3 (sf); previously on April 29, 2010,
Downgraded to C (sf)
Cl. A-4, Upgraded to Caa3 (sf); previously on April 29, 2010,
Downgraded to C (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2005-CB7
Cl. AF-3, Upgraded to A1 (sf); previously on July 17, 2013,
Upgraded to Baa1 (sf)
Cl. AF-4, Upgraded to A1 (sf); previously on July 17, 2013,
Upgraded to Baa1 (sf)
Cl. M-1, Upgraded to Ba3 (sf); previously on March 11, 2015,
Downgraded to B1 (sf)
Cl. M-2, Upgraded to Caa2 (sf); previously on May 1, 2014,
Upgraded to Ca (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2006-CB3
Cl. AV-3, Upgraded to B3 (sf); previously on April 12, 2010,
Downgraded to Caa2 (sf)
Cl. AV-4, Upgraded to Caa1 (sf); previously on April 12, 2010,
Downgraded to Ca (sf)
Issuer: Citigroup Mortgage Loan Trust 2007-WFHE1
Cl. A-3, Upgraded to A3 (sf); previously on March 23, 2015,
Upgraded to Ba1 (sf)
Cl. A-4, Upgraded to Baa1 (sf); previously on March 23, 2015,
Upgraded to Ba2 (sf)
Cl. M-1, Upgraded to B3 (sf); previously on July 22, 2013,
Upgraded to Ca (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2005-OPT1
Cl. M-3, Upgraded to B3 (sf); previously on March 14, 2013,
Affirmed Caa1 (sf)
Cl. M-4, Upgraded to Caa3 (sf); previously on March 14, 2013,
Affirmed Ca (sf)
Issuer: Asset Backed Funding Corporation Asset-Backed Certificates,
Series 2006-OPT1
Cl. A-1, Upgraded to B1 (sf); previously on June 3, 2010,
Downgraded to Caa1 (sf)
Cl. A-2, Upgraded to B1 (sf); previously on Aug. 9, 2012,
Confirmed at Caa1 (sf)
Cl. A-3C1, Upgraded to B3 (sf); previously on Aug. 9, 2012,
Confirmed at Caa2 (sf)
Cl. A-3C2, Upgraded to B3 (sf); previously on Aug. 9, 2012,
Confirmed at Caa2 (sf)
Cl. A-3D, Upgraded to Caa2 (sf); previously on Aug. 9, 2012,
Confirmed at Ca (sf)
RATINGS RATIONALE
The upgrades are a result of improving performance of the related
pools and/or build-up in credit enhancement of the tranches. The
actions reflect the recent performance of the underlying pools and
Moody's updated loss expectations 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 4.9% in January 2016 from 5.7% in
January 2015. 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.
[*] Moody's Takes Action on $65MM Prime Jumbo RMBS Issue 2003-2005
------------------------------------------------------------------
Moody's Investors Service, on March 1, 2016, has downgraded the
ratings of two tranches and upgraded the rating of seven tranches
backed by Prime Jumbo RMBS loans, issued by miscellaneous issuers.
Complete rating actions are:
Issuer: Banc of America Mortgage 2003-I Trust
Cl. B-1, Upgraded to Caa1 (sf); previously on May 11, 2012,
Downgraded to Caa2 (sf)
Issuer: Banc of America Mortgage 2004-I Trust
Cl. 1-A-1, Upgraded to Ba3 (sf); previously on May 4, 2015,
Upgraded to B1 (sf)
Cl. 1-A-2, Upgraded to Ba3 (sf); previously on May 4, 2015,
Upgraded to B1 (sf)
Cl. 2-A-1, Upgraded to Ba1 (sf); previously on May 4, 2015,
Upgraded to Ba3 (sf)
Cl. 2-A-2, Upgraded to Baa3 (sf); previously on May 4, 2015,
Upgraded to Ba3 (sf)
Cl. 2-A-3, Upgraded to B3 (sf); previously on May 4, 2015,
Upgraded to Caa1 (sf)
Issuer: CHL Mortgage Pass-Through Trust 2004-J2
Cl. A-6, Upgraded to Ba2 (sf); previously on April 19, 2011,
Downgraded to Ba3 (sf)
Issuer: GSR Mortgage Loan Trust 2005-AR3
Cl. 7A1, Downgraded to Caa1 (sf); previously on May 7, 2015,
Confirmed at B2 (sf)
Cl. 8A1, Downgraded to Caa1 (sf); previously on May 7, 2015,
Confirmed at B3 (sf)
RATINGS RATIONALE
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The ratings downgraded are due to the weaker
performance of the underlying collateral and the erosion of
enhancement available to the bonds. The ratings upgraded are a
result of the improving performance of the related pools and
sufficient support provided by super senior support tranche.
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 4.9% in January 2016 from 5.7% in
January 2015. 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.
[*] Moody's Takes Action on $80.2MM Alt-A RMBS Deals
----------------------------------------------------
Moody's Investors Service, on Feb. 29, 2016, upgraded the ratings
of four tranches and downgraded the ratings of ten tranches from
five transactions, backed by Alt-A RMBS loans, issued by multiple
issuers.
Complete rating actions are:
Issuer: MASTR Alternative Loan Trust 2003-5
Cl. 5-A-1, Downgraded to B1 (sf); previously on June 16, 2014,
Downgraded to Ba3 (sf)
Cl. 7-A-1, Downgraded to B1 (sf); previously on June 16, 2014,
Downgraded to Ba3 (sf)
Cl. 15-A-X, Downgraded to B1 (sf); previously on April 26, 2012,
Confirmed at Ba3 (sf)
Cl. 15-PO, Downgraded to B1 (sf); previously on June 16, 2014,
Downgraded to Ba3 (sf)
Cl. 30-A-X, Downgraded to B1 (sf); previously on April 26, 2012,
Confirmed at Ba3 (sf)
Cl. 30-B-1, Downgraded to Caa1 (sf); previously on Aug. 13,
2013, Downgraded to B2 (sf)
Issuer: RALI Series 2003-QA1 Trust
Cl. A-I, Downgraded to Baa3 (sf); previously on Aug. 16, 2013,
Confirmed at Baa1 (sf)
Cl. A-II, Downgraded to Baa3 (sf); previously on Aug. 16, 2013,
Confirmed at Baa1 (sf)
Cl. M-1, Downgraded to B2 (sf); previously on Aug. 16, 2013,
Confirmed at Ba3 (sf)
Issuer: Sequoia Mortgage Trust 2004-3
Cl. A, Upgraded to Baa3 (sf); previously on March 4, 2015,
Upgraded to Ba1 (sf)
Issuer: Structured Asset Securities Corp Trust 2003-28XS
Cl. A5, Upgraded to Baa2 (sf); previously on March 2, 2011,
Downgraded to Ba1 (sf)
Underlying Rating: Upgraded to Baa2 (sf); previously on March 2,
2011, Downgraded to Ba1 (sf)
Financial Guarantor: MBIA Insurance Corporation (Downgraded to
B3, Outlook Placed on Review for Possible Downgrade on Jan. 19,
2016)
Issuer: Terwin Mortgage Trust 2004-13ALT
Cl. 1-A-2, Upgraded to B1 (sf); previously on March 13, 2015,
Upgraded to B3 (sf)
Cl. 1-A-4, Upgraded to B1 (sf); previously on March 13, 2015,
Upgraded to B3 (sf)
Cl. 2-PA-1, Downgraded to B3 (sf); previously on July 3, 2012,
Confirmed at B1 (sf)
RATINGS RATIONALE
The rating actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectation on
the pools. The rating upgrades are a result of the improving
performance of the related pools and an increase in credit
enhancement available to the bonds. The rating downgrades are due
to the erosion of enhancement available to the bonds.
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 4.9% in January 2016 from 5.7% in
January 2015. 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.
[*] Moody's Takes Action on $89MM Subprime RMBS Issued 2003-2004
----------------------------------------------------------------
Moody's Investors Service, on March 1, 2016, upgraded the ratings
of ten tranches backed by Subprime RMBS loans, issued by various
issuers.
Complete rating actions are as follows:
Issuer: Merrill Lynch Mortgage Investors, Inc. 2003-WMC3
Cl. M-3, Upgraded to Baa1 (sf); previously on March 3, 2015,
Upgraded to Baa3 (sf)
Issuer: New Century Home Equity Loan Trust, Series 2004-A
Cl. A-II-7, Upgraded to Baa3 (sf); previously on March 3, 2015,
Upgraded to Ba1 (sf)
Underlying Rating: Upgraded to Baa3 (sf); previously on March 3,
2015, Upgraded to Ba1 (sf)
Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn Mar 25, 2009)
Cl. A-II-8, Upgraded to Ba1 (sf); previously on March 3, 2015,
Upgraded to Ba2 (sf)
Underlying Rating: Upgraded to Ba1 (sf); previously on March 3,
2015, Upgraded to Ba2 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. A-II-9, Upgraded to Baa3 (sf); previously on March 3, 2015,
Upgraded to Ba1 (sf)
Underlying Rating: Upgraded to Baa3 (sf); previously on March 3,
2015, Upgraded to Ba1 (sf)
Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn Mar 25, 2009)
Cl. M-II, Upgraded to B1 (sf); previously on March 3, 2015,
Upgraded to Caa1 (sf)
Cl. B-II, Upgraded to Caa1 (sf); previously on April 8, 2014,
Upgraded to Caa3 (sf)
Issuer: Terwin Mortgage Trust, Series TMTS 2004-3HE
Cl. M-2, Upgraded to B2 (sf); previously on May 3, 2012,
Confirmed at Caa1 (sf)
Cl. M-2-X, Upgraded to B2 (sf); previously on May 3, 2012,
Confirmed at Caa1 (sf)
Cl. M-3, Upgraded to Ca (sf); previously on May 3, 2012,
Downgraded to C (sf)
Cl. M-3-X, Upgraded to Ca (sf); previously on May 3, 2012,
Downgraded to C (sf)
RATINGS RATIONALE
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The ratings upgraded are a result of improving
performance of the related pools and/or an increase in credit
enhancement available to the bonds.
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 4.9% in January 2016 from 5.7% in
January 2015. 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.
[*] S&P Puts Ratings on 14 Tranches on CreditWatch Positive
-----------------------------------------------------------
Standard & Poor's Ratings Services, on Feb. 26, 2016, placed its
ratings on 14 tranches from 12 synthetic collateralized debt
obligation (CDO) transactions on CreditWatch with positive
implications.
The CreditWatch placements follow S&P's periodic review of
synthetic CDO transactions.
The CreditWatch placements reflect the transactions' seasoning,
rating stability of the obligors in the underlying reference
portfolio in the past few months, and synthetic rated
overcollateralization (SROC) ratios that rose above 100% at the
next highest rating level as of the February 2016 run, passing with
sufficient cushion per our criteria.
S&P expects to resolve the CreditWatch placements within 90 days.
S&P 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 S&P will take further rating actions
as it deems necessary.
RATINGS PLACED ON CREDITWATCH POSITIVE
Camber Master Trust Series 9
Series 9
Rating
Class To From
Series 9 BB- (sf)/Watch Pos BB- (sf)
Camber Master Trust Series 10
Series 10
Rating
Class To From
Series 10 BB- (sf)/Watch Pos BB- (sf)
Newport Waves CDO
series 2
Rating
Class To From
A1B-$LS BBB (sf)/Watch Pos BBB (sf)
A3A-$LMS BB+ (sf)/Watch Pos BB+ (sf)
A7-$LS B (sf)/Watch Pos B (sf)
NOAJ CDO Ltd.
Series 1
Rating
Class To From
Series 1 A (sf)/Watch Pos A (sf)
Pivot Master Trust
Series 6
Rating
Class To From
Series 6 B+ (sf)/Watch Pos B+ (sf)
Pivot Master Trust
Series 7
Rating
Class To From
Series 7 B+ (sf)/Watch Pos B+ (sf)
Pivot Master Trust
Series 8
Rating
Class To From
Series 8 B+ (sf)/Watch Pos B+ (sf)
REVE SPC
Segregated portfolio of Dryden XVII notes
Rating
Class To From
Series 36 BB+ (sf)/Watch Pos BB+ (sf)
Rutland Rated Investments
Series DRYDEN06-3 Dryden XII - IG Synthetic CDO 2006-3
Rating
Class To From
A6-$LS BB (sf)/Watch Pos BB (sf)
Rutland Rated Investments
Series 48 Tranche A3A-F (Archer 2007-1)
Rating
Class To From
A3A-F CCC- (sf)/Watch Pos CCC- (sf)
Rutland Rated Investments
Series 48 Tranche A3-L (Archer 2007-1)
Rating
Class To From
A3A-L CCC- (sf)/Watch Pos CCC- (sf)
STARTS (Cayman) Ltd.
Series 2007-9
Rating
Class To From
Notes A- (sf)/Watch Pos A- (sf)
[*] S&P Takes Rating Actions on 20 US RMBS Re-REMIC Deals
---------------------------------------------------------
Standard & Poor's Ratings Services, on Feb. 26, 2016, took various
actions on 105 classes from 20 U.S. residential mortgage-backed
securities (RMBS) resecuritized real estate mortgage investment
conduit (re-REMIC) transactions. S&P raised 24 ratings, lowered
one rating, affirmed 57 ratings, discontinued 17 ratings, and
withdrew two ratings. Four ratings remain on CreditWatch negative.
All of the transactions in this review were issued between 2004 and
2010 and are supported by underlying classes from RMBS transactions
backed by a mix of various mortgage loan collateral types.
Subordination, overcollateralization (where available), and excess
interest provide credit support for the re-REMIC transactions'
underlying securities. In addition, the re-REMICs' capital
structures contain subordination.
ANALYTICAL CONSIDERATIONS
S&P routinely incorporates various considerations into its
decisions to raise, lower, or affirm ratings when reviewing the
indicative ratings suggested by S&P's projected cash flows. These
considerations are based on specific performance or structural
characteristics, or both, and their potential effects on certain
classes.
UPGRADES
S&P raised its ratings on 24 classes as the projected credit
support for these classes is sufficient to cover S&P's projected
losses at these rating levels. The upgrades reflect these (among
other reasons):
-- Increased credit support;
-- Shifts in payment priorities for the classes; and/or
-- Expected short durations.
DOWNGRADES
S&P lowered its rating on class A-1 from Nomura Resecuritization
Trust 2010-1R due to deteriorated collateral performance, increased
loss severities, and a comparable rating with the respective
underlying class.
AFFIRMATIONS
For certain transactions, S&P considered specific performance
characteristics that, in its view, could add volatility to its loss
assumptions and, in turn, to the ratings suggested by S&P's cash
flow projections. In these circumstances, S&P affirmed, rather
than raised, its ratings on those classes to promote ratings
stability. In general, the bonds that were affected reflect one or
more of:
-- Historical interest shortfalls;
-- Significant growth in observed loss severities; and/or
-- Reduced interest payments over time due to loan
modifications or other credit-related events.
For ASG Resecuritization Trust 2010-3, interest shortfalls have
been reported by the trustee since the transaction's first
distribution period. However, the underlying security that
supports this re-REMIC, class A1A2 from WaMu Mortgage Pass-Through
Certificates Series 2005-AR19 has never experienced interest
shortfalls. Per the transaction documents, the pass-through rate
of the re-REMIC is equal to the pass-through rate of the underlying
security. S&P believes the reported interest shortfalls on the
re-REMIC to be incorrect. The affirmations on this deal reflect
S&P's assessment that the re-REMIC classes will likely receive
timely interest and the ultimate payment of principal under the
applicable stressed assumptions.
S&P affirmed 56 ratings in the 'AAA' through 'B' categories. These
affirmations reflect S&P's opinion that its projected credit
support is sufficient to cover its projected losses in those rating
scenarios.
S&P also affirmed one 'CCC (sf)' rating. S&P believes that its
projected credit support will remain insufficient to cover its
projected losses to this class. As defined in "Criteria For
Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published
Oct. 1, 2012, the 'CCC (sf)' affirmation indicates that S&P
believes this class is still vulnerable to default.
CREDITWATCH NEGATIVE PLACEMENTS
Four ratings remain on CreditWatch negative to reflect the lack of
information necessary to apply S&P's loan modification criteria
DISCONTINUANCES
S&P discontinued its ratings on 17 classes from four transactions
because these classes have been paid in full.
WITHDRAWALS
S&P withdrew its ratings on two classes from Banc of America
Funding 2010-R4 Trust due to the small number of loans remaining.
Once a pool has declined to a de minimis amount, S&P believes there
is a high degree of credit instability that is incompatible with
any rating level.
ECONOMIC OUTLOOK
When determining a U.S. RMBS collateral pool's relative credit
quality, S&P's loss expectations stem, to a certain extent, from
our view of how the loans will behave under various economic
conditions. Standard & Poor's baseline macroeconomic outlook
assumptions for variables that it believes could affect residential
mortgage performance are:
-- An overall unemployment rate of 4.8% in 2016;
-- Real GDP growth of 2.7% in 2016;
-- The inflation rate will be 1.9% in 2016; and
-- The 30-year fixed mortgage rate will average about 4.4% in
2016.
S&P's outlook for RMBS is stable. Although S&P views overall
housing fundamentals positively, it believes RMBS fundamentals
still hinge on additional factors, such as the ultimate fate of
modified loans, the propensity of servicers to advance on
delinquent loans, and liquidation timelines.
Under S&P's baseline economic assumptions, it expects RMBS
collateral quality to improve. However, if the U.S. economy were
to become stressed in line with Standard & Poor's downside
forecast, it believes that U.S. RMBS credit quality would weaken.
S&P's downside scenario reflects these key assumptions:
-- Total unemployment will tick up to 5.4% for 2016;
-- Downward pressure causes GDP growth to fall to 1.3% in 2016;
-- Home price momentum slows as potential buyers are not able
to purchase property; and
-- While the 30-year fixed mortgage rate inches up to 4.0% in
2016, limited access to credit and pressure on home prices
will largely prevent consumers from capitalizing on these
rates.
A list of the Affected Ratings is available at:
http://is.gd/8z8IFm
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
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Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman,
Editors.
Copyright 2016. All rights reserved. ISSN: 1520-9474.
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*** End of Transmission ***