/raid1/www/Hosts/bankrupt/TCR_Public/160313.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 13, 2016, Vol. 20, No. 73
Headlines
AGATE BAY 2016-2: Fitch to Rate Class B-4 Certificates 'BBsf'
AGATE BAY 2016-2: Moody's Assigns Ba2 Rating on Cl. B-4 Certs
BRIDGEPORT CLO: S&P Raises Rating on Class D Notes to 'BB+'
CITIGROUP 2006-C4: Moody's Affirms Ba2(sf) Rating on Cl. B Debt
COMM 2013-CCRE8: DBRS Confirms BB Rating on Class E Debt
COMM 2014-UBS3: DBRS Confirms BB(high) Rating on Class E Debt
COMM 2015-CCRE22: Fitch Affirms 'BB-sf' Rating on Class E Debt
CPS AUTO 2011-C: Moody's Raises Rating on Cl. D Securities to Ba2
CSMC 2010-RR1: Moody's Affirms Ba1 Rating on Class 1-B-B Debt
FIRST UNION 2001-C2: Moody's Affirms C(sf) Rating on Cl. IO Debt
FREDDIE MAC 2016-HQA1: Fitch to Assign Bsf Rating to Cl. M-3 Notes
GE COMMERCIAL 2002-1: Moody's Cuts Cl. X-1 Debt Rating to Caa3
GFCM LLC 2003-1: Moody's Affirms Ba3(sf) Rating on 2 Tranches
GMAC COMMERCIAL 1998-C2: Fitch Affirms D Rating on 3 Tranches
GS MORTGAGE 2005-GG4: Moody's Cuts Class E Debt Rating to Ca(sf)
GS MORTGAGE: DBRS Confirms BB(high) Rating on Class E Debt
GSAA HOME 2006-2: Moody's Raises Rating on Cl. 2A5 Debt to Caa1
JP MORGAN 2006-CIBC14: Moody's Cuts Rating on Cl. X-1 Debt to Caa3
LB-UBS COMMERCIAL 2001-C3: S&P Raises Cl. E Certs Rating to B+
LB-UBS COMMERCIAL 2004-C7: S&P Raises Cl. M Certs Rating to BB+
LENDMARK FUNDING 2016-A: Fitch Rates Class C Notes 'Bsf'
MERRILL LYNCH 2006-Canada 19: DBRS Confirms BB Rating on Cl. G Debt
MORGAN STANLEY 2003-TOP9: S&P Affirms B+ Rating on Class L Certs
MORGAN STANLEY 2006-XLF: Fitch Affirms 'Bsf' Rating on Cl. K Certs
MORGAN STANLEY 2007-IQ13: Fitch Lowers Rating on Cl. G Certs to D
MORGAN STANLEY 2013-C9: Moody's Affirms Ba2 Rating on Cl. E Debt
MORGAN STANLEY 2014-C15: DBRS Confirms BB(sf) Rating on Cl. F Debt
MSCI 2016-UBS9: Fitch Assigns Final BB- Rating to Class E Debt
PREFERRED TERM XIX: Moody's Raises Rating on Cl. C Notes to 'B3'
RBSCF TRUST 2010-RR4: Moody's Affirms Ba1 Rating on Cl. MSC-B2 Debt
REALT 2007-1as: DBRS Confirms 'BB' Rating on Class F Debt
RENAISSANCE HOME: Moody's Takes Action on $109MM Subprime RMBS
RFC CDO 2006-1: Moody’s Affirms C Ratings on 5 Tranches
TABERNA PREFERRED VII: Moody's Hikes Cl. A-1LA Debt Rating to Ba1
WACHOVIA BANK 2007-C30: S&P Hikes Rating on 2 Tranches From BBsf
WASATCH CLO: S&P Affirms CC Rating on Type IV Notes
WELLS FARGO 2007-17: Moody's Raises Cl. A-1 Debt Rating to Caa2
WELLS FARGO 2014-C20: DBRS Confirms BB Rating on Class E Debt
[*] Large Liquidations Drive High Losses in 2015, Moody's Says
[*] Moody's Hikes $362MM of Option ARM RMBS Issued 2005-2007
[*] Moody's Takes Action on $126.7MM of RMBS Deals Issued 2000-2006
[*] Moody's Takes Action on $607MM RMBS Deals Issued 2005-2007
[*] Moody's Takes Action on $65MM Subprime RMBS Issued 2003-2004
[*] Moody's Takes Action on $80.2MM RMBS Deals Issued 2003-2004
[*] S&P Takes Actions on 155 Classes From 40 U.S. RMBS Deals
[*] S&P Takes Actions on 75 Classes From 21 US Subprime RMBS Deals
[*] S&P Takes Various Rating Actions on 5 US RMBS Re-REMIC Deals
*********
AGATE BAY 2016-2: Fitch to Rate Class B-4 Certificates 'BBsf'
-------------------------------------------------------------
Fitch Ratings expects to rate Agate Bay Mortgage Trust 2016-2 as
follows:
-- $218,339,000 class A-6 certificates 'AAAsf'; Outlook Stable;
-- $72,780,000 class A-8 certificates 'AAAsf'; Outlook Stable;
-- $20,416,000 class A-10 certificates 'AAAsf'; Outlook Stable;
-- $311,535,000 class A-X-1 notional certificates 'AAAsf';
Outlook Stable;
-- $218,339,000 class A-X-4 notional certificates 'AAAsf';
Outlook Stable;
-- $72,780,000 class A-X-5 notional certificates 'AAAsf'; Outlook
Stable;
-- $20,416,000 class A-X-6 notional certificates 'AAAsf'; Outlook
Stable;
-- $5,478,000 class B-1 certificates 'AAsf'; Outlook Stable;
-- $6,473,000 class B-2 certificates 'Asf'; Outlook Stable;
-- $3,485,000 class B-3 certificates 'BBBsf'; Outlook Stable;
-- $2,158,000 class B-4 certificates 'BBsf'; Outlook Stable.
Exchangeable Certificates:
-- $311,535,000 class A-1 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $311,535,000 class A-2 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $291,119,000 class A-3 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $291,119,000 class A-4 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $218,339,000 class A-5 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $72,780,000 class A-7 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $20,416,000 class A-9 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $311,535,000 class A-X-2 exchangeable notional certificates
'AAAsf'; Outlook Stable;
-- $291,119,000 class A-X-3 exchangeable notional certificates
'AAAsf'; Outlook Stable.
The $2,821,915 class B-5 certificates and $331,950,915 class A-IO-S
notional certificates will not be rated.
KEY RATING DRIVERS
High Quality Mortgage Pool: The collateral pool consists of
high-quality 30-year, fixed-rate, fully amortizing loans to
borrowers with strong credit profiles, low leverage and large
liquid reserves. The pool has a weighted average (WA) FICO score of
773 and an original combined loan-to-value (CLTV) ratio of 67.6%.
The collateral attributes of the subject pool are largely
consistent with recent ABMT transactions issued in 2015 and 2016.
Geographic Concentration Risk: The pool's primary concentration
risk is California, where approximately 48% of the collateral is
located. Additionally, approximately 34% is located in the
metropolitan areas encompassing Los Angeles, San Francisco and San
Diego, which represent three of the top five regions in the subject
pool. This concentration resulted in an additional penalty to the
pool's probability of default (PD) of roughly 1.5% to its lifetime
default expectation. While still a concern, the first two ABMT
transactions in 2016 have shown improved geographic diversification
compared with those in 2015.
Robust Representation Framework: Fitch considers the transaction's
representation, warranty and enforcement (RW&E) mechanism framework
to be consistent with Tier 1 quality. The transaction benefits from
life-of-loan representations and warranties (R&W), as well as a
backstop by the seller, TH TRS, in case of insolvency or
dissolution of the related originator. Similar to recent
transactions rated by Fitch, ABMT 2016-2 contains binding
arbitration provisions that may serve to provide timely resolution
to R&W disputes.
Originators with Limited Performance History: Many of the loans
were originated by lenders with a limited non-agency performance
history. However, all the loans were originated to meet TH TRS'
purchase criteria and were reviewed by a third-party due diligence
firm to TH TRS' guidelines with no material findings. TH TRS is a
wholly owned subsidiary of Two Harbors Investment Corp. In
addition, Fitch conducted an onsite review or in-depth call with
four of the top five originators, which account for approximately
38.4% of the pool.
Extraordinary Expense Treatment: The trust provides for expenses,
including indemnification amounts and costs of arbitration, to be
paid by the net WA coupon (WAC) of the loans, which does not affect
the contractual interest due on the certificates. Furthermore, the
expenses to be paid from the trust are capped at $300,000 per annum
($125,000 for the trustee), which can be carried over each year,
subject to the cap until paid in full.
Safe-Harbor Qualified Mortgages: All the loans in the pool have
application dates of Jan. 10, 2014 or later and are, therefore,
subject to the ability-to-repay (ATR)/qualified mortgage (QM) Rule.
All the loans subject to this rule were classified as safe harbor
QM (SHQM), for which no adjustment was made.
RATING SENSITIVITIES
After Fitch determines credit ratings through a rating stress
scenario analysis, additional sensitivity analyses are considered.
The analyses provide a defined stress sensitivity to demonstrate
how the ratings would react to steeper market value declined (MVDs)
than assumed at issuance as well as a defined sensitivity that
demonstrates the stress assumptions required to reduce a rating by
one full category, to non-investment grade, and to 'CCCsf'.
The defined stress sensitivity analysis focuses on determining how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20%, and 30%, in addition to the
model projected 6.7% for this pool. The analysis indicates there is
some potential rating migration with higher MVDs, compared with the
model projection.
Fitch also conducted defined rating sensitivity analyses which
determine the stresses to MVDs that would reduce a rating by one
full category, to non-investment grade, and to 'CCCsf'. For
example, additional MVDs of 6%, 32% and 51% could potentially lower
the 'AAAsf' rated class one rating category, to non-investment
grade, and to 'CCCsf'.
DUE DILIGENCE USAGE
Fitch was provided with due diligence information from Clayton
Services LLC and American Diligence, LLC. The due diligence focused
on a compliance, credit, valuation and data integrity review. Fitch
considered this information in its analysis and the findings did
not have an adverse impact on its analysis.
Fitch received certifications indicating that the loan-level due
diligence was conducted in accordance with Fitch's published
standards for credit, property valuation and legal/regulatory
compliance. The certifications also stated that the company
performed its work in accordance with the independence standards,
per Fitch's criteria.
AGATE BAY 2016-2: Moody's Assigns Ba2 Rating on Cl. B-4 Certs
-------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
classes of residential mortgage-backed securities (RMBS) issued by
Agate Bay Mortgage Trust (ABMT) 2016-2. The certificates are
backed by one pool of 464 prime jumbo, first-lien mortgage loans.
The mortgage loans in the pool are all fixed-rate with a 30-year
term with high FICO scores and low LTV.
The complete rating actions are:
Issuer: Agate Bay Mortgage Trust 2016-2
Cl. A-1, Assigned (P)Aaa (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. A-4, Assigned (P)Aaa (sf)
Cl. A-5, Assigned (P)Aaa (sf)
Cl. A-6, Assigned (P)Aaa (sf)
Cl. A-7, Assigned (P)Aaa (sf)
Cl. A-8, Assigned (P)Aaa (sf)
Cl. A-9, Assigned (P)Aa1 (sf)
Cl. A-10, Assigned (P)Aa1 (sf)
Cl. A-X-1, Assigned (P)Aaa (sf)
Cl. A- X-2, Assigned (P)Aaa (sf)
Cl. A- X-3, Assigned (P)Aaa (sf)
Cl. A- X-4, Assigned (P)Aaa (sf)
Cl. A- X-5, Assigned (P)Aaa (sf)
Cl. A- X-6, Assigned (P)Aa1 (sf)
Cl. B-1, Assigned (P)Aa3 (sf)
Cl. B-2, Assigned (P)A2 (sf)
Cl. B-3, Assigned (P)Baa2 (sf)
Cl. B-4, Assigned (P)Ba2 (sf)
RATINGS RATIONALE
Summary Credit Analysis
Moody's expected cumulative net loss on the aggregate pool is
0.40%. Aaa (sf) subordination for this transaction is 6.15%, which
is 1.65% higher than Moody's Aaa stress loss on the collateral of
4.50%. This is the first Agate Bay transaction that Moody's has
rated.
The Aaa MILAN CE, inclusive of concentration adjustments, for this
pool is 3.69%. Moody's added 0.53% of loss for loan-level
adjustments not factored in the model. Additional considerations
included: adjustments to borrower probability of default for higher
and lower borrower Debt-To-Income Ratios (DTIs), borrowers with
multiple mortgaged properties, self-employed borrowers, and at a
pool level, for the default risk of Home Ownership Association
(HOA) properties in super lien states. The increase to our Aaa
stress loss above the model output also includes adjustments
related to the origination quality, and the representations and
warranties framework. The MILAN model is based on stressed
trajectories of home prices, unemployment rates and interest rates,
at a monthly frequency over a ten year period.
Collateral Description
The loans in this transaction were aggregated by TH TRS Corp. The
ABMT 2016-2 transaction is a securitization of 464 first lien
residential mortgage loans, with an aggregate unpaid principal
balance of $331,950,916. The borrowers in the pool have high FICO
scores, significant liquid cash reserves and equity in their
properties. There are 37 originators in the transaction including
New York Community Bank, Parkside Lending, LLC, George Mason
Mortgage LLC, Stonegate Mortgage Corporation, Provident Savings
Bank, FSB and United Shore Financial Services, LLC each
representing 13.0%, 10.7%, 7.5%, 7.2%, 5.6% and 5.2% of the
outstanding principal balance of the mortgage loans. The remaining
31 originators each account for less than 5% of the principal
balance of the loans in the pool.
Moody's does not have a formal assessment of TH TRS Corp. as an
aggregator of prime jumbo residential mortgages. Moody's has
however met with TH TRS Corp., reviewed their guidelines, and
conducted additional calls to understand their program and
procedures and find them to be adequate.
Tail Risk & Subordination Floor
The transaction cash flows follow a standard shifting interest
structure that allows subordinated bonds to receive principal
payments under certain defined scenarios. Because a shifting
interest structure allows subordinated bonds to pay down over time
as the loan pool shrinks, senior bonds are exposed to increased
performance volatility, known as tail risk i.e. risk of back-end
losses when few loans remain in the pool. The transaction provides
for a subordination floor of 1.50% of the closing pool balance,
which mitigates tail risk by protecting the senior bonds from
eroding credit enhancement over time.
Third-party Review and Representations & Warranties
Third party due diligence firms, AMC Diligence, LLC and Clayton
Services LLC, performed detailed credit, compliance, valuation and
data integrity review on 100% of the loans in the pool. All loans
were reviewed for credit against the individual seller's
underwriting guidelines. The review found that the majority of
reviewed loans were compliant with the underwriting guidelines and
had no valuation or regulatory defects.
The originators and the sellers have provided unambiguous
representations and warranties (R&Ws) including an unqualified
fraud R&W. TH TRS Corp. provides a backstop for R&Ws in case of
insolvency or dissolution of the related originator, except for New
York Community Bank and NYCB Mortgage Company, LLC. There is
provision for binding arbitration in the event of dispute between
investors and the R&W provider concerning R&W breaches.
Trustee, Master Servicer & Servicer
The transaction trustee is Wilmington Savings Fund Society, FSB,
d/b/a Christiana Trust. The custodian functions, paying agent and
cash management functions will be performed by Wells Fargo Bank,
N.A., rather than the trustee. In addition, Wells Fargo, as Master
Servicer, (SQ1-, master servicer assessment) is responsible for
servicer oversight, and termination of servicers and for the
appointment of successor servicers. In addition, Wells Fargo is
committed to act as successor if no other successor servicer can be
found. Cenlar FSB will act as the primary servicer for the
portfolio. Although Moody's do not have a formal servicer quality
assessment on Cenlar, Moody's has evaluated the company's ability
to service this type of collateral and consider it to be adequate.
Bankruptcy Remoteness
Based on the deal's structure, should the sponsor or any affiliate,
depositor, any originator, servicer, or trustee become bankrupt, we
believe the securitized loans would remain separate from the
bankruptcy estate of such party and the bankruptcy automatic stay
would not apply to the loans. In Moody's analysis, it considered
the true sale opinion, the possibility that an affiliate of TH TRS
Corp. will hold a large portion of the issued certificates and the
potential incentives for creditors to challenge the bankruptcy
remoteness of the transaction.
Factors that would lead to an upgrade or downgrade of the rating:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original
expectations as a result of a higher number of obligor defaults or
deterioration in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market. Other reasons
for worse-than-expected performance include poor servicing, error
on the part of transaction parties, inadequate transaction
governance and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor
defaults or appreciation in the value of the mortgaged property
securing an obligor's promise of payment. Transaction performance
also depends greatly on the US macro economy and housing market.
Methodology
The principal methodology used in these ratings was "Moody's
Approach to Rating US Prime RMBS" published in February 2015.
Significant weight was put on judgment taking into account the
results of the modeling tools as well as the aggregate impact of
the third-party review and the quality of the servicers and
originators.
BRIDGEPORT CLO: S&P Raises Rating on Class D Notes to 'BB+'
-----------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-2, B, C, and D notes from Bridgeport CLO Ltd. and removed them
from CreditWatch positive. At the same time, S&P affirmed its
ratings on the class A-1 notes. Bridgeport CLO Ltd. is a U.S.
collateralized loan obligation (CLO) transaction that is managed by
Deerfield Capital Management LLC.
The rating actions follow S&P's review of the transaction's
performance using data from the trustee report dated February
2016.
The upgrades reflect the transaction's $113 million in paydowns to
the class A-1 note since S&P's May 2014 rating actions. These
paydowns have led to improved overcollateralization (O/C) ratios,
as the class B O/C ratio increased to 130.65% as of February 2016
from 116.82% as of the April 2014 trustee report, which S&P used
for its May 2014 rating actions. The portfolio's credit quality
has also remained stable. As of the February 2016 trustee report,
there are no defaulted assets and $9.86 million of collateral
obligations rated 'CCC+' or lower, compared to $73,000 and $5.9
million, respectively, from the April 2014 trustee report. The
portfolio's weighted life is now 2.53 years, down from 3.84 years.
S&P's review of the transaction relied in part upon a criteria
interpretation with respect to its May 2014 criteria "CDOs: Mapping
A Third Party's Internal Credit Scoring System To Standard & Poor's
Global Rating Scale," which allows S&P to use a limited number of
public ratings from other NRSRO's for the purposes of assessing the
credit quality of assets not rated by Standard & Poor's. The
criteria provide specific guidance for treatment of corporate
assets not rated by Standard & Poor's, while the interpretation
outlines treatment of securitized assets.
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
Bridgeport CLO Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating (i) cushion (ii) rating
A-1 AAA (sf) AAA (sf) 32.21% AAA (sf)
A-2 AA+ (sf)/Watch Pos AAA (sf) 22.62% AAA (sf)
B A+ (sf)/Watch Pos AAA (sf) 3.69% AAA (sf)
C BBB- (sf)/Watch Pos A+ (sf) 5.35% A+ (sf)
D BB (sf)/Watch Pos BB+ (sf) 7.28% BB+ (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
10% recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AAA (sf) AA+ (sf) AA+ (sf) AAA (sf) AAA (sf)
C A+ (sf) A+ (sf) A+ (sf) AA (sf) A+ (sf)
D BB+ (sf) BB+ (sf) BB+ (sf) BBB+ (sf) BB+ (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-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AAA (sf) AAA (sf) AA+ (sf) AAA (sf)
C A+ (sf) A+ (sf) BBB+ (sf) A+ (sf)
D BB+ (sf) BBB- (sf) B+ (sf) BB+ (sf)
RATINGS LIST
Bridgeport CLO Ltd.
Rating
Class Identifier To From
A-1 108124AA6 AAA (sf) AAA (sf)
A-2 108124AC2 AAA (sf) AA+ (sf)/Watch Pos
B 108124AE8 AAA (sf) A+ (sf)/Watch Pos
C 108124AG3 A+ (sf) BBB- (sf)/Watch Pos
D 108120AA4 BB+ (sf) BB (sf)/Watch Pos
CITIGROUP 2006-C4: Moody's Affirms Ba2(sf) Rating on Cl. B Debt
---------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on nine and
downgraded the rating on one class of Citigroup Commercial Mortgage
Trust 2006-C4 as follows:
Cl. A-1A, Affirmed Aaa (sf); previously on May 28, 2015 Affirmed
Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on May 28, 2015 Affirmed Aaa
(sf)
Cl. A-M, Affirmed Aaa (sf); previously on May 28, 2015 Upgraded to
Aaa (sf)
Cl. A-J, Affirmed Baa1 (sf); previously on May 28, 2015 Upgraded to
Baa1 (sf)
Cl. B, Affirmed Ba2 (sf); previously on May 28, 2015 Affirmed Ba2
(sf)
Cl. C, Affirmed B1 (sf); previously on May 28, 2015 Affirmed B1
(sf)
Cl. D, Affirmed Caa1 (sf); previously on May 28, 2015 Affirmed Caa1
(sf)
Cl. E, Affirmed Caa3 (sf); previously on May 28, 2015 Downgraded to
Caa3 (sf)
Cl. F, Affirmed C (sf); previously on May 28, 2015 Affirmed C (sf)
Cl. X, Downgraded to C (sf); previously on May 28, 2015 Downgraded
to Ca (sf)
RATINGS RATIONALE
The ratings on five P&I classes, classes A-1A through B 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 four P&I classes, classes C through F, were affirmed
because the ratings are consistent with Moody's expected loss.
The rating on the IO class was downgraded to C (sf) because it does
not currently receive, nor is expected to receive, any interest
payments.
Moody's rating action reflects a base expected loss of 4.9% of the
current balance, compared to 4.1% at Moody's last review. Moody's
base expected loss plus realized losses is now 8.2% of the original
pooled balance, compared to 8.6% 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 12, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 69.7% to $685.9
million from $2.3 billion at securitization. The certificates are
collateralized by 64 mortgage loans ranging in size from less than
1% to 5% of the pool, with the top ten non-defeased loans
constituting 27.4% of the pool. Nine loans, constituting 34.3% of
the pool, have defeased and are secured by US government
securities. There are no loans that have an investment-grade
structured credit assessment.
Thirty-five loans, constituting 41.9% 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-three loans have been liquidated from the pool, resulting in
an aggregate realized loss of $152.9 million (for an average loss
severity of 42.5%). Six loans, constituting 7.6% of the pool, are
currently in special servicing. The largest specially serviced loan
is the Logistics Insight Corporation Loan (for $15.3 million ---
2.2% of the pool), which is secured by a single tenant 400,000
square foot (SF) warehouse property located in Flint, Michigan. The
property is 100% leased to Logistic Insight Corp with a lease
expiration date of June 30, 2016. Moody's analysis is based on a
lit/dark analysis due to concerns about the property's single
tenancy. The loan was recently transferred to special servicing and
is currently under review by the special servicer.
The remaining five specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $19.7 million loss
for the specially serviced loans (38.0% expected loss on average).
Moody's has assumed a high default probability for four poorly
performing loans, constituting 7% of the pool, and has estimated an
aggregate loss of $7.2 million (an 15% expected loss based on a 50%
probability default) from these troubled loans.
Moody's received full year 2014 operating results for 92% of the
pool and full or partial year 2015 operating results for 69% of the
pool. Moody's weighted average conduit LTV is 93.7%, compared to
94.8% 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 11.1% 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 1.28X and 1.10X,
respectively, compared to 1.31X and 1.09X 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 12.1% of the pool balance.
The largest conduit loan is the Flower Hill Promenade Loan ($33.1
million -- 4.8% of the pool), which is secured by an 105,000 square
foot (SF), open-air neighborhood shopping center located in Del
Mar, California which is 25 minutes north of Downtown San Diego.
The property features various luxury fashion boutiques and dining
options. As per the December 2015 rent roll the property was 97.2%
occupied. Moody's LTV and stressed DSCR are 96.0% and 1.04X,
respectively, compared to 101.3% and 0.99X at the last review.
The second largest loan is the DuBois Mall Loan ($30.5 million --
4.5% of the pool), which is secured by four, 1-story retail
buildings totaling 439,000 square feet (SF), located in Dubois,
Pennsylvania approximately 100 miles northeast of Pittsburgh. The
property has several anchor stores, including J.C. Penney, Old Navy
and Sears. As per the December 2015 rent roll the property was 92%
occupied. Moody's LTV and stressed DSCR are 103.5% and 0.94X,
respectively, compared to 106.3% and 0.91X at the last review.
The third largest loan is the Sweet Bay Shopping Center Loan ($19.5
million -- 2.8% of the pool). The collateral has been renamed and
is now known as the Hampton Lakes Shopping Center. The loan is
secured by an 115,000 square foot (SF) neighborhood center that is
comprised of two, 1-story buildings anchored by a Winn-Dixie. As
per the December 2015 rent roll the property was 92% occupied.
Moody's LTV and stressed DSCR are 100.0% and 0.95X, respectively,
compared to 99.4% and 0.95X at the last review.
COMM 2013-CCRE8: DBRS Confirms BB Rating on Class E Debt
--------------------------------------------------------
DBRS, Inc. confirmed the ratings of the Commercial Mortgage
Pass-Through Certificates, Series 2013-CCRE8 (the Certificates)
issued by COMM 2013-CCRE8 Mortgage Trust as follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class X-A at AAA (sf)
-- Class A-SBFL at AAA (sf)
-- Class A-SBFX at AAA (sf)
-- Class X-B at AAA (sf)
-- Class X-C at AAA (sf)
-- Class A-M at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (high) (sf)
-- Class D at BBB (sf)
-- Class E at BB (high) (sf)
-- Class F at B (high) (sf)
DBRS does not rate the first loss piece, Class G. All trends are
Stable. The Class A-SBFX certificates are exchangeable with the
Class A-SBFL certificates (and vice versa).
The rating confirmations reflect the overall stable performance of
the pool, which remains in line with DBRS's expectations at
issuance. As of the February 2016 remittance, the pool reported a
weighted-average (WA) in-place debt service coverage ratio (DSCR)
of 2.10 times (x), with WA debt yield of 10.5%. These figures
compare with the DBRS underwritten (UW) levels of 1.91x and 9.5%,
respectively. The pool has had a collateral reduction of 2.7% since
issuance, with two loans defeased, representing 0.6% of the pool.
The transaction benefits from a high concentration of loans secured
by properties located in urban markets, which have historically
shown lower volatility as compared with other market types, at
39.0% of the pool balance. The pool also has strengths in an 11.0%
concentration of loans that are structured with shorter
amortization schedules that range between 20 and 25 years.
The pool is concentrated by loan size, as the largest ten loans
represent 58.2% of the pool balance, with concentration also seen
in office property types, with 48.2% of the pool balance secured by
office properties or mixed-use properties with a heavy office
component. These factors are mitigated by the strength of the
largest and sixth-largest loans, which comprise 19.6% of the pool
combined and are considered low leverage loans secured by office
properties situated in high value, highly desirable locations in
New York. There is also a high concentration of loans with
interest-only (IO) structures (20.9% of the pool) or partial IO
structures (35.7% of the pool), which results in a relatively high
concentration of loans showing a DBRS refinance DSCR below 1.0x (13
loans, 42.6% of the pool). However, mitigating these risks are the
fact that the IO loans are secured by high value and/or trophy
assets and loans with IO and partial IO structures are treated more
punitively, increasing the probability of default (POD) for each in
the DBRS modeling.
As of the February 2016 remittance, there were six loans on the
servicer’s watchlist, representing 3.9% of the pool balance, with
two loans in special servicing, representing 1.1% of the pool
balance. Most of the loans on the watchlist are being monitored for
cash flow declines since issuance, with those loans exhibiting
declines likely to be sustained over the near to medium term
modeled with an increased POD to reflect the increased risks
associated with each. The second-largest loan on the watchlist and
the largest loan in special servicing are detailed below.
The second-largest loan on the watchlist is Prospectus ID#28, 11000
Equity Drive (0.84% of the pool), secured by a 63,700 square foot
low-rise office property located in Houston, Texas. The loan was
placed on the watchlist for the expiration of the largest tenant,
Superior Energy Services, which occupied approximately 53.0% of the
net rentable area (NRA) on a lease through March 31, 2015. The
tenant did not renew, vacating its space 90 days after lease
expiry, driving the property’s occupancy rate to approximately
47.0% as of Q2 2015. The servicer reports that, while the borrower
has shown the space to several prospects and has had discussions
with existing tenants to expand into additional space, nothing
concrete has been finalized as of February 2016. The property’s
second-largest tenant is Satterfield & Pontikes Construction, Inc.,
which occupies approximately 36.0% of the NRA on a lease that
expires in November 2016. According to CoStar, the property’s
West Belt submarket had an overall vacancy rate of 19.1% at
February 2016, up from the five-year average of 13.1%. There are
structural mitigants in place in a leasing reserve that showed a
balance of $1.31 million ($20.57 psf) as of the February 2016
remittance report and in a cash trap provision that will be
enforced when the in-place DSCR falls below 1.15x for two
consecutive quarters. However, given the decline in outlook for the
Houston office market, driven by the declines in performance for
the energy sector since issuance, DBRS anticipates the space could
be difficult to re-lease in the near term and has modeled the loan
with an increased POD to reflect the increased risk.
The largest specially serviced loan is Prospectus ID#29, Georgetown
MHC Portfolio, which represents 0.74% of the pool. The loan is
secured by a 504-pad manufactured housing portfolio comprising
three properties located in Georgetown, Kentucky. The loan
transferred to the special servicer in March 2014 for payment
default. The servicer cites mismanagement for the borrower's
inability to meet the debt service obligations, as, up to the point
of the loan's transfer through the end of 2014, cash flows covered
well above 1.0x. Initially, negotiations with the borrower showed
signs of a positive outcome, but those have since fallen through
and the servicer filed for foreclosure in late 2015, with the deed
expected to transfer by the end of Q1 2016. The servicer has
obtained a January 2016 appraisal that values the portfolio at
$11.8 million, down from $16.2 million at issuance. Although the
appraisal implies there is value outside of the trust’s total
exposure of approximately $11.0 million, DBRS believes a loss is
still be likely in a disposition scenario as the portfolio’s
tertiary location will limit the pool of potential buyers, which
could depress the sales price below the appraised value, and
proceeds will be reduced when including fees and expenses.
At issuance, DBRS rated two loans investment grade in the pool,
Prospectus ID#1, 375 Park Avenue (15.5% of the pool) and Prospectus
ID#6, The Paramount Building (4.1% of the pool). DBRS confirms that
both loans continue to exhibit investment-grade characteristics
with this review.
COMM 2014-UBS3: DBRS Confirms BB(high) Rating on Class E Debt
-------------------------------------------------------------
DBRS Inc. confirmed the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS3,
issued by COMM 2014-UBS3 Mortgage Trust, as follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-M at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class X-C at AAA (sf)
-- Class X-D at AAA (sf)
-- Class B at AA (sf)
-- Class PEZ at A (sf)
-- Class C at A (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (high) (sf)
-- Class F at BB (sf)
-- Class G at B (sf)
All trends are Stable. DBRS does not rate the first loss piece,
Class H. The Class PEZ certificates are exchangeable for the Class
A-M, Class B and Class C certificates (and vice versa).
The rating confirmations reflect the overall performance of the
transaction, which remains in line with DBRS expectations at
issuance. Pool strengths also include a relatively high
concentration of loans secured by properties located in urban
markets, at 35.60% of the pool balance and a healthy term DBRS debt
service coverage ratio (DSCR) of 1.44x. The in-place coverage as of
the annualized 2015 year-to-date (YTD) figures shows most loans
have experienced growth over the underwritten (UW) figures, with
the largest 15 loans in the pool, which represent 74.27% of the
current pool balance, showing a weighted-average (WA) of 1.58x, as
based on the annualized 2015 figures (most of which are as of Q3),
as compared with the DBRS UW WA DSCR for those loans of 1.50x.
Based on the annualized YTD 2015 figures and the respective loan
balances as of February 2016, the largest 15 loans showed a
weighted-average debt yield of 9.02%.
There are challenges in that the pool is concentrated by loan size,
with the largest ten loans comprising 62.00% of the pool, and there
is a high concentration of full interest only (IO) structures
(26.20% of the pool) and partial IO structures (45.30% of the
pool). These factors are mitigated by the lower loss severities
observed historically for large loans (the average original loan
balance for the pool is considered high, at $21.60 million) and in
DBRS’s treatment of loans with IO payment structures wherein the
more punitive of the DBRS term and DBRS refinance DSCR (which would
be more punitive for loans with IO structures in place) is used to
determine the probability of default (POD). Additionally, the pool
will amortize by 12.0% during the life of the transaction when
including the amortization post-ARD for the State Farm Portfolio
loan, a level that is in line with other securitizations of this
vintage. DBRS also notes challenges in that there are eight loans
in the pool, representing 20.9% of the pool balance, that have been
determined to have sponsors with limited real estate experience,
bankruptcies, foreclosures and/or limited net worth and/or
liquidity. These loans are modeled with an increased POD.
As of the February 2016 remittance report, there were nine loans on
the servicer’s watchlist, representing 14.34% of the pool
balance, and one loan in special servicing, representing 1.32% of
the pool balance. Two of the loans on the watchlist are in the Top
15 for the pool in Prospectus ID #5, Sixty LES (5.94% of the pool)
and Prospectus ID #11, Newport Commons (2.73% of the pool). Both
loans are being monitored for cash flow declines from issuance,
with the Newport Commons loan also being monitored for a September
2015 fire that resulted in the loss of 20 units at the property.
The remaining seven loans on the watchlist are exhibiting stable
credit metrics from issuance, but are being monitored for
relatively minor deferred maintenance items or near-term tenant
rollover. The loan in special servicing, Prospectus ID #19,
Cincinnati Multifamily Portfolio (1.32% of the pool), transferred
to the special servicer in October 2015 after the city of
Cincinnati filed suit against the borrower. The largest loan on the
watchlist and the loan in special servicing are detailed below.
The Cincinnati Multifamily Portfolio loan is secured by a portfolio
of four Class C (one of which was deemed Class B/C by the
appraiser) multifamily properties located in Cincinnati, Ohio. The
properties were constructed between 1925 and 1979 and range in size
from 114 units to 537 units. The loan transferred to special
servicing in October 2015 for imminent default, as the City of
Cincinnati (the City) had filed suit against the borrower in
connection with outstanding housing code violations at three of the
four properties. The City requested a receiver be installed at each
property as part of its complaint. The special servicer reports
that the borrower has not been cooperative since the loan’s
transfer and, as a result, information on the extent of the code
violations is not known at this time. In addition, the lack of
cooperation has delayed the special servicer’s efforts in
obtaining an updated appraisal for the portfolio, which was valued
at $20.01 million ($37,263 per unit) at issuance.
The borrower has not provided updated financial reporting for the
properties since issuance. The servicer did conduct site
inspections for all four properties in April and June 2015, with
the reports showing all four were rated a “3” on the MBA scale,
which indicates a normal condition for the property’s age and
market, with some deferred maintenance and/or life safety items
observed. The occupancy rates as of the respective inspection dates
ranged between 87.0% and 93.0%, comparing with the portfolio
average of 92.0% at issuance. Although maintenance issues were
observed at all four locations, the properties appear to be in
largely the same condition as at issuance, with signs of
mismanagement in overgrown landscaping, debris throughout the sites
and delays in completing necessary routine repairs. The special
servicer reports that foreclosure proceedings were initiated in
December 2015, with a receiver appointed in February 2016. Now that
a receiver is in place, the special servicer should be able to
access the properties and obtain updated operating metrics for the
properties. An appraisal should be obtained in the near term as
well. Given the lack of updated credit metrics and no update to the
portfolio’s value since issuance, the projected loss severity for
this loan at disposition is difficult to discern. The loan was
modeled with a significant haircut to the DBRS UW NCF figure, with
the POD floored at 100% across all rating categories.
The largest loan on the watchlist, Sixty LES, is secured by a
141-key boutique hotel located in New York’s Lower East Side. The
property was developed in 2008 and renovated in 2012 by the
sponsor, who indicated plans at issuance of investing an additional
$600,000 in upgrades to the property that would include lobby and
pool area renovations. The loan is structured with an initial IO
period of three years. The loan is being monitored for cash flow
declines from issuance that resulted in an in-place DSCR at YE2014
of 1.32 times (x) (amortizing DSCR of 1.07x) and in-place DSCR of
0.93x at Q3 2015 (amortizing DSCR of 0.75x). The cash flow declines
are a combination of a decline in RevPAR and an increase in room
expenses since issuance. The June 2015 Smith Travel Research (STR)
report showed ADR, RevPAR and occupancy for the property of
$319.18, $260.64 and 81.7%, respectively, for the trailing twelve
month (TTM) period. At issuance, the June 2014 STR report showed
the property’s ADR at $340.42, RevPAR at $278.35 and occupancy at
81.8% for the TTM period, indicating that RevPAR declined
approximately 6.7% between the two reporting periods. At issuance,
DBRS noted that increased competition was scheduled to come online
in the near term that would likely depress RevPAR at the subject
for a period of time, risk that was addressed with a cap on the
occupancy rate of the property’s ADR to 2013 levels in the DBRS
underwriting. However, as occupancy rates and the property’s ADR
were lower than expected for some months in 2015, the annualized Q3
departmental revenue figure still represents a decline of
approximately 3.30% from the DBRS UW figure and a decline of 4.2%
from the issuer’s UW figure.
In addition to the periodic declines in occupancy for the property
in 2015, NCF has also been driven down by a significant increase in
room expenses, which were up by 52.10% over the DBRS UW figures at
Q3 2015. The borrower reports that the increase is attributable to
a combination of factors, which include the hiring of a new
“director of nightlife” to replace the previous director of
food & beverage (with the former at a higher salary than the
latter) and the replacement of the hotel’s general manager (GM)
with a hotel manager, who also garners a higher salary that is now
coded as a room expense, where the GM’s salary was previously
coded under general payroll expenses. In addition, the previous
laundry service has been replaced with a more expensive option,
also contributing to the uptick in room expenses. The borrower
advises that these changes have been made as part of the larger
plans to renovate the hotel and repurpose the enclosed patio area
that surrounds the pool, which is a unique amenity for hotels in
this market, which typically have no pools and/or only limited
outdoor space. Once the renovations, which are scheduled to be
completed over phases in 2016, are complete, the borrower expects
the hotel’s competitive position to improve and ADR, RevPAR and
occupancy levels to stabilize over the remainder of the year into
2017.
COMM 2015-CCRE22: Fitch Affirms 'BB-sf' Rating on Class E Debt
--------------------------------------------------------------
Fitch Ratings has affirmed all 15 rated classes of Deutsche Bank
Securities, Inc.'s COMM 2015-CCRE22 commercial mortgage
pass-through certificates.
KEY RATING DRIVERS
The affirmations are based on the stable performance of the
underlying collateral pool. As of the February 2016 remittance, the
pool has had no delinquent or specially serviced loans since
issuance. Eight loans are on the servicer watchlist (11.3%),
including four loans in the top 15 (59%). Three of the properties
are encountering upcoming lease expirations that were anticipated
at issuance, two for late payments of less 30 days and the last for
an advance of tax payments that will be recovered via future
monthly mortgage payments.
The transaction has a high concentration of hotels (16%), including
those located in Manhattan (13.9%). Given the increased supply in
the market, Fitch is monitoring the performance of this asset
class. One loan in the top 15 (6.2%) located in Houston, will be
monitored due its tenant exposure to the oil and energy industry.
The pool's aggregate principal balance has been paid down by
approximately 0.5% since issuance. Fifty-two (88.1% of the pool) of
the 59 pool loans reported partial year 2015 financials. Based on
the annualized 2015 financials, the pool's overall net operating
income (NOI) has increased 7.2% over the reported portfolio NOI at
issuance.
Concentrations in the pool include 30.1% full-term interest-only
loans and 41.4% partial-term interest-only. The three largest
geographic concentrations for the transaction are the New York
Newark-Jersey City MSA (29.5%), Washington DC Metro (6.9%),
Minneapolis-St. Paul, MN (6.7%). The pool's maturity dates are
concentrated between 2022 (8.6%), 2024 (12.4%), and 2025 (65.4%).
The third largest loan in the pool (6.2%) is secured by One
Riverway, a 483,410 sf suburban office located in Houston, TX.
Occupancy at year-end 2014 was 88% and the debt service coverage
ratio was 1.66x. As of third quarter 2015, the property's occupancy
had fallen to 84% and property's debt service coverage ratio (DSCR)
was 2.64x. Although performance is currently strong, Fitch is
monitoring the loan due to 16% of the net rentable area (NRA) being
leased to tenants in the oil and gas industry. Additionally, the
Galleria submarket is experiencing strong development growth which
could lead to some softness in rental rates and additional
competition when the largest percentage of NRA (16.6%) expires in
2018. Fitch's analysis was based on September 2015 annualized NOI
and a stressed cap rate. Fitch will monitor the loan as the sponsor
updates the servicer on the subject's operation and market
conditions.
The seventh largest loan in the pool (3.5%) is secured by Soho
House NYC, a members's only private club and hotel located in
Manhattan's meatpacking district. The loan is on the master
servicer's watchlist. The amenities include a spa, rooftop deck,
bar, dining area, and heated pool with lounge. The hotel is not the
main source of revenue but it does command premium rates due to the
exclusive nature of the club. SoHo House Group has over 39,000
members of which 6,000 are located in the New York area. The
hotel's average daily rate decreased 21% through third quarter 2015
compared to issuance. Fitch's analysis was based on September 2015
annualized NOI and a stressed cap rate.
The 10th largest loan in the pool (3%) is secured by Hotel Giraffe,
72 unit boutique hotel located in Midtown Manhattan. The loan is on
the master servicer's watchlist. The amenities include a concierge,
rooftop garden, restaurant, and meeting room. The hotel is operated
by Henry Kallan, the owner of the Library Hotel Collection and an
experienced operator of high end boutique brands. The
servicer-reported third quarter 2015 NOI decreased 25% compared to
issuance due to volatility in the hotel's occupancy rate. The
submarket has experienced an increase in supply during the second
half of 2015 with the completion of two new hotels in the boutique
category. Fitch's analysis was based on September 2015 annualized
NOI and a stressed cap rate.
RATING SENSITIVITIES
The Rating Outlook for all classes remains Stable. Due to the
recent issuance of the transaction and stable performance, Fitch
does not foresee positive or negative ratings migration until a
material economic or asset level event changes the transaction's
portfolio-level metrics.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch affirms the following classes:
-- $40.3 million class A-1 at 'AAAsf'; Outlook Stable;
-- $178.9 million class A-2 at 'AAAsf'; Outlook Stable;
-- $109 million class A-3 at 'AAAsf'; Outlook Stable;
-- $200 million class A-4 at 'AAAsf'; Outlook Stable;
-- $293.5 million class A-5 at 'AAAsf'; Outlook Stable;
-- $79.8 million class A-SB at 'AAAsf'; Outlook Stable;
-- $81 million class A-M at 'AAAsf'; Outlook Stable;
-- $982.4 million class X-A at 'AAAsf'; Outlook Stable;
-- $132.9 million class X-B at 'A-sf'; Outlook Stable;
-- $68.1 million class X-C at 'BBB-sf'; Outlook Stable;
-- $213.9 million class PEZ at 'A-sf'; Outlook Stable;
-- $76.2 million class B at 'AA-sf'; Outlook Stable;
-- $56.7 million class C at 'A-sf'; Outlook Stable;
-- $68.1 million class D at 'BBB-sf'; Outlook Stable;
-- $27.6 million class E at 'BB-sf'; Outlook Stable.
Fitch does not rate the class F, G, H, and X-D certificates.
CPS AUTO 2011-C: Moody's Raises Rating on Cl. D Securities to Ba2
-----------------------------------------------------------------
Moody's Investors Service has upgraded five and affirmed 51
securities from CPS Auto Receivables Trusts issued between 2011 and
2015. The transactions are serviced by Consumer Portfolio
Services, Inc.
The complete rating actions are:
Issuer: CPS Auto Receivables Trust 2011-C
Class A, Affirmed Aa3 (sf); previously on Aug. 6, 2015, Affirmed
Aa3 (sf)
Class B, Upgraded to A1 (sf); previously on Aug. 6, 2015,
Affirmed A3 (sf)
Class C, Upgraded to Baa1 (sf); previously on Aug. 6, 2015,
Affirmed Baa3 (sf)
Class D, Upgraded to Ba2 (sf); previously on Aug. 6, 2015,
Affirmed B1 (sf)
Issuer: CPS Auto Receivables Trust 2012-A
Class A, Affirmed Aa3 (sf); previously on Aug. 6, 2015, Affirmed
Aa3 (sf)
Class B., Affirmed A1 (sf); previously on Aug. 6, 2015, Affirmed
A1 (sf)
Class C, Upgraded to A3 (sf); previously on Aug. 6, 2015,
Affirmed Baa2 (sf)
Class D, Upgraded to Baa3 (sf); previously on Aug. 6, 2015,
Affirmed Ba2 (sf)
Issuer: CPS Auto Receivables Trust 2012-B
Class A, Affirmed Aa3 (sf); previously on Aug. 6, 2015, Affirmed
Aa3 (sf)
Class B, Affirmed Baa1 (sf); previously on Aug. 6, 2015,
Affirmed Baa1 (sf)
Class C, Affirmed Ba2 (sf); previously on Aug. 6, 2015, Affirmed
Ba2 (sf)
Class D, Affirmed B2 (sf); previously on Aug. 6, 2015, Affirmed
B2 (sf)
Issuer: CPS Auto Receivables Trust 2012-C
Class A, Affirmed Aa3 (sf); previously on Aug. 6, 2015, Affirmed
Aa3 (sf)
Class B, Affirmed A1 (sf); previously on Aug. 6, 2015, Affirmed
A1 (sf)
Class C, Affirmed Baa1 (sf); previously on Aug. 6, 2015,
Affirmed Baa1 (sf)
Class D, Affirmed Ba1 (sf); previously on Aug. 6, 2015, Affirmed
Ba1 (sf)
Class E, Affirmed B1 (sf); previously on Aug. 6, 2015, Affirmed
B1 (sf)
Issuer: CPS Auto Receivables Trust 2012-D
Class A, Affirmed Aa3 (sf); previously on Aug. 6, 2015, Affirmed
Aa3 (sf)
Class B, Affirmed A1 (sf); previously on Aug. 6, 2015, Affirmed
A1 (sf)
Class C, Affirmed Baa1 (sf); previously on Aug. 6, 2015,
Affirmed Baa1 (sf)
Class D, Affirmed Ba1 (sf); previously on Aug. 6, 2015, Affirmed
Ba1 (sf)
Issuer: CPS Auto Receivables Trust 2013-A
Class A, Affirmed Aa3 (sf); previously on Aug. 6, 2015, Affirmed
Aa3 (sf)
Class B, Affirmed A1 (sf); previously on Aug. 6, 2015, Affirmed
A1 (sf)
Class C, Affirmed Baa2 (sf); previously on Aug. 6, 2015,
Affirmed Baa2 (sf)
Class D, Affirmed Ba2 (sf); previously on Aug. 6, 2015, Affirmed
Ba2 (sf)
Class E, Affirmed B2 (sf); previously on Aug. 6, 2015, Affirmed
B2 (sf)
Issuer: CPS Auto Receivables Trust 2013-B
Class A Notes, Affirmed Aa3 (sf); previously on Aug. 6, 2015,
Affirmed Aa3 (sf)
Class B Notes, Affirmed A1 (sf); previously on Aug. 6, 2015,
Affirmed A1 (sf)
Class C Notes, Affirmed Baa2 (sf); previously on Aug. 6, 2015,
Affirmed Baa2 (sf)
Class D Notes, Affirmed Ba2 (sf); previously on Aug. 6, 2015,
Affirmed Ba2 (sf)
Class E Notes, Affirmed B2 (sf); previously on Aug. 6, 2015,
Affirmed B2 (sf)
Issuer: CPS Auto Receivables Trust 2013-C
Class A Notes, Affirmed Aa1 (sf); previously on Dec. 18, 2015,
Upgraded to Aa1 (sf)
Class B Notes, Affirmed Aa2 (sf); previously on Dec. 18, 2015,
Upgraded to Aa2 (sf)
Class C Notes, Affirmed A1 (sf); previously on Dec. 18, 2015,
Upgraded to A1 (sf)
Class D Notes, Affirmed Ba1 (sf); previously on Dec. 18, 2015,
Upgraded to Ba1 (sf)
Class E Notes, Affirmed B2 (sf); previously on Dec. 18, 2015,
Affirmed B2 (sf)
Issuer: CPS Auto Receivables Trust 2013-D
Class A Notes, Affirmed Aa1 (sf); previously on Dec. 18, 2015,
Upgraded to Aa1 (sf)
Class B Notes, Affirmed Aa2 (sf); previously on Dec. 18, 2015,
Upgraded to Aa2 (sf)
Class C Notes, Affirmed A2 (sf); previously on Dec. 18, 2015,
Upgraded to A2 (sf)
Class D Notes, Affirmed Ba2 (sf); previously on Dec. 18, 2015,
Affirmed Ba2 (sf)
Class E Notes, Affirmed B2 (sf); previously on Dec. 18, 2015,
Affirmed B2 (sf)
Issuer: CPS Auto Receivables Trust 2014-A
Class A Notes, Affirmed Aa1 (sf); previously on Dec. 18, 2015,
Upgraded to Aa1 (sf)
Class B Notes, Affirmed Aa2 (sf); previously on Dec. 18, 2015,
Upgraded to Aa2 (sf)
Class C Notes, Affirmed A2 (sf); previously on Dec. 18, 2015,
Upgraded to A2 (sf)
Class D Notes, Affirmed Ba3 (sf); previously on Dec. 18, 2015,
Affirmed Ba3 (sf)
Class E Notes, Affirmed B2 (sf); previously on Dec. 18, 2015,
Affirmed B2 (sf)
Issuer: CPS Auto Receivables Trust 2014-D
Class A Notes, Affirmed Aa2 (sf); previously on Dec. 18, 2015,
Affirmed Aa2 (sf)
Class B Notes, Affirmed Aa3 (sf); previously on Dec. 18, 2015,
Affirmed Aa3 (sf)
Class C Notes, Affirmed Baa2 (sf); previously on Dec. 18, 2015,
Affirmed Baa2 (sf)
Class D Notes, Affirmed Ba3 (sf); previously on Dec. 18, 2015,
Affirmed Ba3 (sf)
Class E Notes, Affirmed B2 (sf); previously on Dec. 18, 2015,
Affirmed B2 (sf)
Issuer: CPS Auto Receivables Trust 2015-A
Class A Notes, Affirmed Aa2 (sf); previously on Dec. 18, 2015,
Affirmed Aa2 (sf)
Class B Notes, Affirmed Aa3 (sf); previously on Dec. 18, 2015,
Affirmed Aa3 (sf)
Class C Notes, Affirmed Baa2 (sf); previously on Dec. 18, 2015,
Affirmed Baa2 (sf)
Class D Notes, Affirmed Ba3 (sf); previously on Dec. 18, 2015,
Affirmed Ba3 (sf)
Class E Notes, Affirmed B2 (sf); previously on Dec. 18, 2015,
Affirmed B2 (sf)
RATINGS RATIONALE
The upgrades on the 2011-C and 2012-A transactions are based on the
build-up of credit enhancement due to non-declining reserve
accounts. Other credit enhancement for the deals includes
overcollateralization and the sequential pay structure of
transactions issued after 2013-B. All CPS transactions issued
prior to the 2013-C have pro-rata structures, in which bonds are
due to receive target payments. Weak deal performance has been
offset in part by the build-up of credit enhancement.
The lifetime cumulative net loss (CNL) expectation was increased on
the 2011-C transaction from 14.00% to 15.00%, on the 2012-A
transaction from 11.00% to 12.00%, on the 2012-B, 2012-C, and
2013-D transactions from 15.50% to 17.00%, on the 2012-D, 2013-A,
2013-B, and 2014-A transactions from 15.00% to 17.00%, on the
2013-C transaction from 15.50% to 17.50%, and on the 2014-D and
2015-A transactions from 14.50% to 15.50%. The increased CNL
expectations were due to worse than expected collateral
performance.
Below are key performance metrics (as of the February 2016
distribution date) and credit assumptions for each affected
transaction. Credit assumptions include Moody's expected lifetime
CNL expected loss which is expressed as a percentage of the
original pool balance; Moody's lifetime remaining CNL expectation
and Moody's Aaa (sf) level which are expressed as a percentage of
the current pool balance. The Aaa level is the level of credit
enhancement that would be consistent with a Aaa (sf) rating for the
given asset pool. Performance metrics include pool factor which is
the ratio of the current collateral balance to the original
collateral balance at closing; total credit enhancement, which
typically consists of subordination, overcollateralization, and a
reserve fund; and per annum excess spread.
Issuer - CPS Auto Receivables Trust 2011-C
Lifetime CNL expectation -- 15.00; prior expectation (November
2014) - 14.00%
Lifetime Remaining CNL expectation -5.97%
Aaa (sf) level - 42.0%
Pool factor -- 11.61%
Total Hard credit enhancement - Class A 44.23%, Class B 34.46%,
Class C 28.05%, Class D 24.04%
Excess Spread per annum -- Approximately 11.5%
Issuer - CPS Auto Receivables Trust 2012-A
Lifetime CNL expectation - 12.00%; prior expectation (November
2014) - 11.00%
Lifetime Remaining CNL expectation -- 4.03%
Aaa (sf) level - 40.00%
Pool factor -- 11.15%
Total Hard credit enhancement - Class A 43.93%, Class B. 35.86%,
Class C 33.39%, Class D 33.18%
Excess Spread per annum -- Approximately 13.5%
Issuer - CPS Auto Receivables Trust 2012-B
Lifetime CNL expectation -- 17.00%; prior expectation (November
2014) -- 15.50%
Lifetime Remaining CNL expectation -- 7.61%
Aaa (sf) level - 44.00%
Pool factor -- 18.34%
Total Hard credit enhancement - Class A 31.45%, Class B. 21.45%,
Class C 15.61%, Class D 13.13%
Excess Spread per annum -- Approximately 13.7%
Issuer - CPS Auto Receivables Trust 2012-C
Lifetime CNL expectation -- 17.00%; prior expectation (November
2014) -- 15.50%
Lifetime Remaining CNL expectation -- 11.40%
Aaa (sf) level - 44.00%
Pool factor -- 20.44%
Total Hard credit enhancement - Class A 39.89%, Class B. 30.89%,
Class C 20.89%, Class D 14.80%, Class E 13.24%
Excess Spread per annum -- Approximately 15.0%
Issuer - CPS Auto Receivables Trust 2012-D
Lifetime CNL expectation - 17.00%; prior expectation (November
2014) - 15.00%
Lifetime Remaining CNL expectation -- 15.05%
Aaa (sf) level - 44.00%
Pool factor -- 23.14%
Total Hard credit enhancement - Class A 39.32%, Class B. 30.32%,
Class C 20.32%, Class D 13.05%
Excess Spread per annum -- Approximately 15.2%
Issuer - CPS Auto Receivables Trust 2013-A
Lifetime CNL expectation - 17.00%; prior expectation (November
2014) - 15.00%
Lifetime Remaining CNL expectation -- 14.87%
Aaa (sf) level - 44.00%
Pool factor -- 30.07%
Total Hard credit enhancement - Class A 38.08%, Class B. 29.08%,
Class C 19.08%, Class D 12.08%, Class E 10.66%
Excess Spread per annum -- Approximately 15.3%
Issuer - CPS Auto Receivables Trust 2013-B
Lifetime CNL expectation - 17.00%; prior expectation (November
2014) -- 15.00%
Lifetime Remaining CNL expectation -- 15.33%
Aaa (sf) level - 44.00%
Pool factor -- 33.50%
Total Hard credit enhancement - Class A 37.23%, Class B. 28.23%,
Class C 18.23%, Class D 11.61%, Class E 9.64%
Excess Spread per annum -- Approximately 14.8%
Issuer - CPS Auto Receivables Trust 2013-C
Lifetime CNL expectation -- 17.5%; original expectation
(November 2014) -- 15.50%
Lifetime Remaining CNL expectation -- 15.64%
Aaa (sf) level - 44.00%
Pool factor -- 39.19%
Total Hard credit enhancement - Class A 72.67%, Class B. 42.69%,
Class C 27.38%, Class D 14.62%, Class E 7.60%
Excess Spread per annum -- Approximately 13.6%
Issuer - CPS Auto Receivables Trust 2013-D
Lifetime CNL expectation - 17.00%; original expectation
(December 2013) -- 15.50%
Lifetime Remaining CNL expectation -- 16.50%
Aaa (sf) level - 44.00%
Pool factor -- 43.66%
Total Hard credit enhancement - Class A 66.07%, Class B. 39.16%,
Class C 25.42%, Class D 13.96%, Class E 7.66%
Excess Spread per annum -- Approximately 14.0%
Issuer - CPS Auto Receivables Trust 2014-A
Lifetime CNL expectation - 17.00%; prior expectation (March
2014) -- 15.00%
Lifetime Remaining CNL expectation -- 17.65%
Aaa (sf) level - 46.00%
Pool factor -- 50.26%
Total Hard credit enhancement - Class A 63.69%, Class B. 40.81%,
Class C 22.41%, Class D 12.46%, Class E 6.99%
Excess Spread per annum -- Approximately 14.9%
Issuer - CPS Auto Receivables Trust 2014-D
Lifetime CNL expectation - 15.50%; prior expectation (December
2014) -- 14.50%
Lifetime Remaining CNL expectation -- 16.55%
Aaa (sf) level - 48.00%
Pool factor -- 72.84%
Total Hard credit enhancement - Class A 51.03%, Class B. 30.43%,
Class C 16.02%, Class D 9.84%, Class E 5.37%
Excess Spread per annum -- Approximately 14.1%
Issuer - CPS Auto Receivables Trust 2015-A
Lifetime CNL expectation - 15.50%; prior expectation (December
2014) -- 14.50%
Lifetime Remaining CNL expectation -- 16.31%
Aaa (sf) level - 48.00%
Pool factor -- 80.96%
Total Hard credit enhancement - Class A 46.31%, Class B. 27.78%,
Class C 14.81%, Class D 9.25%, Class E 5.24%
Excess Spread per annum -- Approximately 14.3%
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
December 2015.
Factors that would lead to an upgrade or downgrade of the rating
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the vehicles securing an obligor's
promise of payment. Transaction performance also depends greatly
on the US job market and the market for used vehicles. Other
reasons for better-than-expected performance include changes to
servicing practices that enhance collections or refinancing
opportunities that result in prepayments.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original
expectations as a result of a higher number of obligor defaults or
deterioration in the value of the vehicles securing an obligor's
promise of payment. Transaction performance also depends greatly
on the US job market and the market for used vehicles. Other
reasons for worse-than-expected performance include poor servicing,
error on the part of transaction parties, inadequate transaction
governance and fraud.
CSMC 2010-RR1: Moody's Affirms Ba1 Rating on Class 1-B-B Debt
-------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on the following
certificates (the "Group 1 Certificates") issued by CSMC RE-REMIC
CERTIFICATES, SERIES 2010-RR1 ("CSMC 2010-RR1"):
Cl. 1-A, Affirmed Aaa (sf); previously on Apr 3, 2015 Affirmed Aaa
(sf)
Cl. 1-A-A, Affirmed Aaa (sf); previously on Apr 3, 2015 Affirmed
Aaa (sf)
Cl. 1-A-B, Affirmed Aaa (sf); previously on Apr 3, 2015 Affirmed
Aaa (sf)
Cl. 1-B, Affirmed Baa3 (sf); previously on Apr 3, 2015 Affirmed
Baa3 (sf)
Cl. 1-B-A, Affirmed A1 (sf); previously on Apr 3, 2015 Affirmed A1
(sf)
Cl. 1-B-B, Affirmed Ba1 (sf); previously on Apr 3, 2015 Affirmed
Ba1 (sf)
RATINGS RATIONALE
Moody's has affirmed the ratings on six classes of certificates
because the key transaction metrics are commensurate with the
existing ratings. The rating action is the result of Moody's
on-going surveillance of commercial real estate resecuritization
(CRE Non-Pooled Re-Remic) transactions.
CSMC 2010-RR1 is a non-pooled Re-Remic pass-through trust
("Resecuritization") backed by three ring fenced commercial
mortgage backed securities (CMBS) certificates. The Group 1
Certificates are backed by $85 Million, or 8.0% of the aggregate
principal balance of Class A-4 which was issued by Morgan Stanley
Capital I Trust, Commercial Mortgage Pass-Through Certificates,
Series 2007-IQ14 (the "Group 1 Underlying Certificate").
Moody's has affirmed the rating of the Group 1 Underlying
Certificate on February 25, 2016. The rating action reflected a
cumulative base expected loss of 11.3% of the current balance,
compared to 11.9% as of the last review for the underlying
transaction. Please see Moody's press release for more details.
Updates to key parameters, including the constant default rate
(CDR), the constant prepayment rate (CPR), the weighted average
life (WAL), and the weighted average recovery rate (WARR), did not
materially change the expected loss estimate of the resecuritized
classes.
FIRST UNION 2001-C2: Moody's Affirms C(sf) Rating on Cl. IO Debt
----------------------------------------------------------------
Moody's Investors Service has affirmed the rating of one Class in
First Union National Bank Commercial Mortgage Trust, Commercial
Mortgage Pass-Through Certificates, Series 2001-C2 as follows:
Cl. IO, Affirmed C (sf); previously on Mar 25, 2015 Affirmed C
(sf)
RATINGS RATIONALE
The rating on one 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.
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.
DEAL PERFORMANCE
As of the February 12, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $11.1 million
from $1 billion at securitization. The Certificates are
collateralized by three mortgage loans ranging in size from 20% to
45% of the aggregate loan balance. There are no loans with
investment grade structured credit assessments and no defeased
loans.
There are no loans on the master servicer's watchlist. The
watchlist includes loans which meet certain portfolio review
guidelines established as part of the CRE Finance Council (CREFC)
monthly reporting package. As part of our ongoing monitoring of a
transaction, Moody's reviews the watchlist to assess which loans
have material issues that could impact performance.
Twenty-three loans have been liquidated from the pool, resulting in
a pooled realized loss of $13 million (11% loss severity on
average). Two loans, representing 100% of the pool, are currently
in special servicing. The largest specially serviced loan is the
Regency Pointe Shopping Center Loan ($4.8 million -- 54% of the
pool), which is secured by a 67,000 square-foot (SF) neighborhood
retail center located in Jacksonville, Florida. The loan was
transferred to the Special Servicer in April 2011 due to maturity
default and became real estate owned (REO) in May 2012. The
property was 64% leased as of March 2015.
The other specially serviced loan is the TownePlace Suites-
Tallahassee, secured by the leasehold interest in a 1.85-acre
parcel improved with a limited-service, extended-stay lodging
facility. Moody's estimates an aggregate $3.9 million loss for the
specially serviced loans (43.9% expected loss on average).
FREDDIE MAC 2016-HQA1: Fitch to Assign Bsf Rating to Cl. M-3 Notes
------------------------------------------------------------------
Fitch Ratings expects to assign these ratings and Rating Outlooks
to Freddie Mac's risk-transfer transaction, Structured Agency
Credit Risk Debt Notes Series 2016-HQA1 (STACR 2016-HQA1):
-- $110,000,000 class M-1 notes 'BBBsf'; Outlook Stable;
-- $110,000,000 class M-1F exchangeable notes 'BBBsf'; Outlook
Stable;
-- $110,000,000 class M-1I notional exchangeable notes 'BBBsf';
Outlook Stable;
-- $120,000,000 class M-2 notes 'BBB-sf'; Outlook Stable;
-- $120,000,000 class M-2F exchangeable notes 'BBB-sf'; Outlook
Stable;
-- $120,000,000 class M-2I notional exchangeable notes
'BBB-sf'; Outlook Stable;
-- $220,000,000 class M-3 notes 'Bsf'; Outlook Stable;
-- $220,000,000 class M-3F exchangeable notes 'Bsf'; Outlook
Stable;
-- $220,000,000 class M-3I notional exchangeable notes 'Bsf';
Outlook Stable;
-- $230,000,000 class M-12 exchangeable notes 'BBB-sf'; Outlook
Stable;
-- $450,000,000 class MA exchangeable notes 'Bsf'; Outlook
Stable.
These classes will not be rated by Fitch:
-- $16,945,260,752 class A-H reference tranche;
-- $87,246,421 class M-1H reference tranche;
-- $95,177,914 class M-2H reference tranche;
-- $174,492,843 class M-3H reference tranche;
-- $25,000,000 class B notes;
-- $154,314,928 class B-H reference tranche.
The 'BBBsf' rating for the M-1 notes reflects the 4.40%
subordination provided by the 1.20% class M-2 notes, the 2.20%
class M-3 notes, and the 1.00% class B notes. The 'BBB-sf' rating
for the M-2 notes reflects the 3.20% subordination provided by the
2.20% class M-3 notes and the 1.00% class B notes. The notes are
general unsecured obligations of Freddie Mac (rated 'AAA'/Outlook
Stable by Fitch) subject to the credit and principal payment risk
of a pool of certain residential mortgage loans held in various
Freddie Mac-guaranteed MBS.
STACR 2016-HQA1 represents Freddie Mac's third risk transfer
transaction applying actual loan loss severity to a reference pool
of over 80% loan to value (LTV) loans issued as part of the Federal
Housing Finance Agency's Conservatorship Strategic Plan for 2013 -
2017 for each of the government-sponsored enterprises (GSEs) to
demonstrate the viability of multiple types of risk-transfer
transactions involving single-family mortgages.
The objective of the transaction is to transfer credit risk from
Freddie Mac to private investors with respect to a $17.9 billion
pool of mortgage loans currently held in previously issued MBS
guaranteed by Freddie Mac where principal repayment of the notes is
subject to the performance of a reference pool of mortgage loans.
As loans liquidate or other credit events occur, the outstanding
principal balance of the debt notes will be reduced by the actual
loan's loss severity (LS) percentage related to those credit
events, which includes borrower's delinquent interest.
While the transaction structure simulates the behavior and credit
risk of traditional RMBS senior-subordinate securities, Freddie Mac
will be responsible for making monthly payments of interest and
principal to investors. Because of the counterparty dependence on
Freddie Mac, Fitch's expected rating on the M-1, M-1F, M-1I, M-2,
M-2F, M-2I, M-3, M-3F, M-3I, MA and M-12, notes will be based on
the lower of: the quality of the mortgage loan reference pool and
credit enhancement available through subordination; and Freddie
Mac's issuer default rating. The M-1, M-2, M-3 and B notes will be
issued as uncapped LIBOR-based floaters and will carry a 12.5-year
legal final maturity.
KEY RATING DRIVERS
Actual Loss Severities: This will be Freddie Mac's third actual
loss risk transfer transaction in which losses borne by the
noteholders will not be based on a fixed loss severity (LS)
schedule on loans with LTVs of over 80%. The notes in this
transaction will experience losses realized at the time of
liquidation, which will include both principal and delinquent
interest.
Mortgage Insurance Guaranteed by Freddie Mac: The majority of the
loans are covered either by borrower paid mortgage insurance (BPMI)
or lender paid MI (LPMI). Freddie Mac will be guaranteeing the MI
coverage amount, which will typically be the MI coverage percentage
multiplied by the sum of the unpaid principal balance as of the
date of the default, up to 36 months of delinquent interest, taxes
and maintenance expenses. While the Freddie Mac guarantee allows
for credit to be given to MI, Fitch applied a haircut to the amount
of BPMI available due to the automatic termination provision as
required by the Homeowners Protection Act, when the loan balance is
first scheduled to reach 78%.
High-Quality Mortgage Pool: The reference mortgage loan pool
consists of 76,568 high-quality mortgage loans totaling $17.9
billion that were acquired by Freddie Mac between April 1, 2015 and
June 30, 2015. The pool consists of loans with original LTVs of
over 80% and less than or equal to 95% with a weighted average (WA)
original combined LTV of 91.6%. The WA debt-to-income (DTI) of
34.6% and credit score of 750 reflect the strong credit profile of
post-crisis mortgage originations.
12.5-Year Hard Maturity: M-1, M-2 M-3 and B notes benefit from a
12.5-year legal final maturity. Thus, any credit events on the
reference pool that occur beyond year 12.5 are borne by Freddie Mac
and do not affect the transaction. In addition, credit events that
occur prior to maturity with losses realized from liquidations that
occur after the final maturity date will not be passed through to
noteholders. This feature more closely aligns the risk of loss to
that of the 10-year, fixed LS STACRs where losses were passed
through when a credit event occurred - i.e. loans became 180 days
delinquent with no consideration for liquidation timelines. The
credit ranged from 8% at the 'Asf' rating category to 12% at the
'BBsf' rating category.
Solid Lender Review and Acquisition Processes: Fitch found that
Freddie Mac has a well-established and disciplined process in place
for the purchase of loans and views its lender approval and
oversight processes for minimizing counterparty risk and ensuring
sound loan quality acquisitions as positive. Loan quality control
(QC) review processes are thorough and indicate a tight control
environment that limits origination risk. Fitch has determined
Freddie Mac to be an above-average aggregator for its 2013 and
later product. The lower risk was accounted for by Fitch by
applying a lower default estimate for the reference pool.
Advantageous Payment Priority: The payment priority of the M-1
class will result in a shorter life and more stable CE than
mezzanine classes in private-label (PL) RMBS, providing a relative
credit advantage. Unlike PL mezzanine RMBS, which often do not
receive a full pro rata share of the pool's unscheduled principal
payment until year 10, the M-1 class can receive a full pro rata
share of unscheduled principal immediately as long as a minimum CE
level is maintained, the cumulative net loss is within a certain
threshold and the delinquency test is within a certain threshold.
Additionally, unlike PL mezzanine classes, which lose subordination
over time due to scheduled principal payments to more junior
classes, the M-2, M-3 and B classes will not receive any scheduled
or unscheduled principal allocations until the M-1 class is paid in
full. The B class will not receive any scheduled or unscheduled
principal allocations until the M-3 class is paid in full.
Solid Alignment of Interests: While the transaction is designed to
transfer credit risk to private investors, Fitch believes the
transaction benefits from solid alignment of interests. Freddie
Mac will retain credit risk in the transaction by holding the
senior reference tranche A-H, which has 5.50% of loss protection,
as well as a minimum of 50% of the first-loss B tranche. Initially,
Freddie Mac will retain an approximately 44% vertical
slice/interest in the M-1, M-2 and M-3 tranches.
Receivership Risk Considered: Under the Federal Housing Finance
Regulatory Reform Act, the Federal Housing Finance Agency (FHFA)
must place Freddie Mac into receivership if it determines that the
government-sponsored enterprise's (GSE) assets are less than its
obligations for longer than 60 days following the deadline of its
SEC filing. As receiver, FHFA could repudiate any contract entered
into by Freddie Mac if it is determined that such action would
promote an orderly administration of Freddie Mac's affairs. Fitch
believes that the U.S. government will continue to support Freddie
Mac, as reflected in its current rating of the GSE. However, if, at
some point, Fitch views the support as being reduced and
receivership likely, the rating of Freddie Mac could be downgraded
and ratings on M-1, M-2 and M-3 notes, along with their
corresponding MAC notes, could be affected.
RATING SENSITIVITIES
Although the credit risk profile of this reference pool is
consistent with the previous transaction, the exposure draft model
estimated modestly higher expected losses as a result of the model
updates. The bonds for this transaction were analyzed with both
criteria approaches, with a greater weight on the exposure draft
model results. The difference in ratings for this transaction
using the two separate models is less than one rating notch.
Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the MSA and national levels. The implied
rating sensitivities are only an indication of some of the
potential outcomes and do not consider other risk factors that the
transaction may become exposed to or be considered in the
surveillance of the transaction.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the
exposure draft model-projected 23.4% at the 'BBBsf' level, 21.8% at
the 'BBB-sf' level and 13.8% at the 'Bsf' level. The analysis
indicates that there is some potential rating migration with higher
MVDs, compared with the model projection.
Fitch also conducted defined rating sensitivities which determine
the stresses to MVDs that would reduce a rating by one full
category, to non-investment grade, and to 'CCCsf'. For example,
additional MVDs of 11%, 11% and 36% would potentially move the
'BBBsf' rated class down one rating category, to non-investment
grade, and to 'CCCsf', respectively.
DUE DILIGENCE USAGE
Fitch was provided with due diligence information from Digital
Risk. The due diligence focused on credit and compliance reviews,
desktop valuation reviews and data integrity. Digital Risk
examined selected loan files with respect to the presence or
absence of relevant documents. Fitch received certifications
indicating that the loan-level due diligence was conducted in
accordance with Fitch's published standards. The certifications
also stated that the company performed its work in accordance with
the independence standards, per Fitch's criteria, and that the due
diligence analysts performing the review met Fitch's criteria of
minimum years of experience. Fitch considered this information in
its analysis and the findings did not have an impact on our
analysis.
The offering documents for STACR 2016-HQA1 do not disclose any
representations, warranties, or enforcement mechanisms (RW&Es) that
are available to investors and which relate to the underlying asset
pool.
GE COMMERCIAL 2002-1: Moody's Cuts Cl. X-1 Debt Rating to Caa3
--------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes,
upgraded the ratings on one class and downgraded the ratings on one
class in GE Commercial Mortgage Corp., Commercial Mortgage
Pass-Through Certificates, Series 2002-1 as follows:
Cl. L, Affirmed Aaa (sf); previously on Jun 18, 2015 Upgraded to
Aaa (sf)
Cl. M, Upgraded to Aa3 (sf); previously on Jun 18, 2015 Upgraded to
Baa2 (sf)
Cl. N, Affirmed C (sf); previously on Jun 18, 2015 Affirmed C (sf)
Cl. X-1, Downgraded to Caa3 (sf); previously on Jun 18, 2015
Affirmed Caa2 (sf)
RATINGS RATIONALE
The rating on the P&I Class L 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 Class M was upgraded based primarily on an increase
in credit support resulting from loan amortization. The deal has
paid down 22% since Moody's last review. Additionally, one loan
representing 31% of the pool has defeased and another loan
representing 37% of the pool is well positioned to refinance.
The rating class N was 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 17.3% of the
current balance, compared to 10.1% at Moody's last review. Moody's
base expected loss plus realized losses is now 2.5% of the original
pooled balance, the same as 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 10, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $16 million
from $1.04 billion at securitization. The certificates are
collateralized by three mortgage loans. One loan, constituting 31%
of the pool, has defeased and is secured by US government
securities.
One loan, constituting 32% 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.
Fifteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $24 million (for an average loss
severity of 19%). There are currently no loans in special
servicing.
The two remaining non-defeased loans represent 69% of the pool. The
largest loan is the 15555 Lundy Parkway Loan ($6 million -- 37% of
the pool), which is secured by twin, Class A suburban office
properties, comprising a total 453,000 square feet and located in
Dearborn, Michigan. The property is 100% leased to Ford Motor
Company (Moody's senior unsecured rating Baa2, stable outlook)
through December 2016. The loan is fully amortizing over its term
and Ford's lease expiration of December 31, 2016 falls just beyond
the loan's scheduled maturity date of December 10, 2016. Moody's
LTV and stressed DSCR are 11% and 9.44X, respectively, compared to
20% and 5.41X at the last review. Moody's stressed DSCR is based on
Moody's NCF and a 9.25% stress rate the agency applied to the loan
balance.
The second loan is the Campus Executive Office Park Loan ($5
million -- 32% of the pool), which is secured by a two-building,
78,000 square foot office property located in Sacramento,
California. The property was fully vacant from September 2009 to
June 2015. The loan transferred to special servicing in November
2011 for imminent monetary default. A loan modification was
executed on September 2014 that included, among other items: (a) an
interest pay rate reduction to 4.91% (from 6.88%), (b) a maturity
extension to March 2019 with interest only payments due for the
remainder of the term and (c) the borrower repaid all interest and
servicer advances at the time of the modification. This loan
transferred back to the master servicer in January 2015 but remains
on the watchlist due to low occupancy and DSCR. Moody's identifies
this as a trouble loan and has assumed a moderate loss on this
loan.
GFCM LLC 2003-1: Moody's Affirms Ba3(sf) Rating on 2 Tranches
-------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on nine classes
in GFCM LLC, Mortgage Pass-Through Certificates, Series 2003-1 as
follows:
Cl. A-5, Affirmed Aaa (sf); previously on Mar 5, 2015 Affirmed Aaa
(sf)
Cl. B, Affirmed Aaa (sf); previously on Mar 5, 2015 Affirmed Aaa
(sf)
Cl. C, Affirmed Aaa (sf); previously on Mar 5, 2015 Affirmed Aaa
(sf)
Cl. D, Affirmed Aa2 (sf); previously on Mar 5, 2015 Upgraded to Aa2
(sf)
Cl. E, Affirmed A3 (sf); previously on Mar 5, 2015 Upgraded to A3
(sf)
Cl. F, Affirmed Ba3 (sf); previously on Mar 5, 2015 Affirmed Ba3
(sf)
Cl. G, Affirmed Caa2 (sf); previously on Mar 5, 2015 Affirmed Caa2
(sf)
Cl. H, Affirmed C (sf); previously on Mar 5, 2015 Affirmed C (sf)
Cl. X, Affirmed Ba3 (sf); previously on Mar 5, 2015 Affirmed Ba3
(sf)
RATINGS RATIONALE
The ratings on six P&I classes, Classes A-5 through F, 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 two P&I classes, Classes G and H, were affirmed
because the ratings are consistent with Moody's expected loss.
The rating on the IO class, 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 1.8% of the
current balance, compared to 2.1% at Moody's last review. Moody's
base expected loss plus realized losses is now 0.7% of the original
pooled balance, compared to 0.8% 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 12, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 81% to $157 million
from $823 million at securitization. The certificates are
collateralized by 73 mortgage loans ranging in size from less than
1% to 13% of the pool, with the top ten loans constituting 50% of
the pool.
Nineteen loans, constituting 19% 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.
Six loans have been liquidated from the pool, resulting in an
aggregate realized loss of $3 million (for an average loss severity
of 10%). No loans are currently in special servicing.
Moody's has assumed a high default probability for two poorly
performing loans, constituting 2% of the pool, and has estimated an
aggregate loss of $0.5 million (a 17% expected loss based on a 50%
probability of default) from these troubled loans.
Moody's received full year 2014 operating results for 79% of the
pool. Moody's weighted average conduit LTV is 41%, 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 11% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.8%.
Moody's actual and stressed conduit DSCRs are 1.61X and 3.51X,
respectively, compared to 1.61X and 3.23X 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 25% of the pool balance. The
largest loan is the Gateway Plaza I & II Loan ($20.5 million -- 13%
of the pool), which consists of two cross-collateralized and
cross-defaulted loans secured by a 339,310 square foot (SF) power
center located in Patchogue (Suffolk County), New York. The retail
center is anchored by Bob's Furniture Store, Best Buy, Marshall's
and Home Goods. King Kullen Supermarket, an anchor tenant which
occupied 15% of the Net Rentable Area (NRA), vacated its space upon
lease expiration in 2014. The property was 81% leased as of
February 2014. Moody's LTV and stressed DSCR are 52% and 1.91X,
respectively, compared to 55% and 1.81X at the last review.
The second largest exposure is the Eastover Ridge Apartments and
Brunswick Avenue Medical Office Loans ($10.2 million -- 6.5% of the
pool), which is consists of two cross-collateralized and
cross-defaulted loans secured by a 208-unit apartment complex
(Eastover Ridge Apartments) and a 16,000 SF medical office building
(Brunswick Office) located in Charlotte, North Carolina. The
properties were a combined 92% leased as of December 2014, the same
as at last review. The loans mature in 2027 and fully amortize on a
300-month schedule. Moody's LTV and stressed DSCR are 71% and 1.45X
respectively, compared to 76% and 1.35X at the last review.
The third largest loan is the Maryland Industrial Office Portfolio
Loan ($8.4 million -- 5.4% of the pool), which is secured by nine
cross-collateralized and cross-defaulted loans, eight industrial
properties and one office building, located in Baltimore, Maryland.
The portfolio totals 1.2 million SF and was 91% leased as of
December 2014, compared to 87% at last review. The loan matures in
2018 and fully amortizes on a 180-month schedule. Moody's LTV and
stressed DSCR are 17% and 6.91X, respectively, compared to 24% and
5.02X at the last review.
GMAC COMMERCIAL 1998-C2: Fitch Affirms D Rating on 3 Tranches
-------------------------------------------------------------
Fitch Ratings has upgraded one class and affirmed five classes of
GMAC Commercial Mortgage Securities, Inc.'s mortgage pass-through
certificates, series 1998-C2 (GMAC 1998-C2).
KEY RATING DRIVERS
The upgrade of class H is based on the overall stable performance
of the underlying collateral pool, increase in credit enhancement
from loan paydown, a large percentage of defeased loans as well as
continued expected amortization. Nine loans (31.5%) are defeased
and 25 loans (31.8%) are fully amortizing. Loan maturities are
concentrated in years 2017 (13.1%), 2018 (40.6%), and 2023 (41.4%).
As of the February 2016 distribution date, the pool's aggregate
principal balance has been paid down by 97.6% to $59.9 million from
$2.5 billion at issuance. Fitch modeled losses of 9.7% of the
remaining pool; expected losses of the original pool are at 2.7%
including losses already incurred to date (2.5%). Fitch has
designated two Fitch Loans of Concern (11.8%) of which one (2%) is
specially serviced.
The largest contributor to modeled losses, Georgetown Plaza
Shopping Center (9.8% of the pool), is secured by a 109,800 square
foot (sf) retail center in Indianapolis, IN that was previously in
special servicing. The borrower was unable to refinance at the
loan's original maturity of May 2008 partly due to environmental
issues relating to a former tenant at the site. The loan was
transferred to the special servicer in April 2008 for imminent
payment default. The special servicer worked with the borrower and
insurance company to complete remediation and disposition plan for
the environmental issues. The loan was modified and split into a
A/B note structure ($3.6 million A note/$1.7 million B note) with
the loan term extended to July 2017. The loan returned to the
master servicer in March 2015. The center's occupancy dropped to
68%, as of February 2016, after several tenants vacated the
premises at their lease expiration. The servicer contacted the
sponsor for a leasing update and Fitch will continue to the monitor
the loan for new developments. The loan remains current.
The specially serviced loan and second largest contributor to
modeled losses, Stratford House (2%), is 149,410 sf healthcare
facility located in Chattanooga, TN. The loan transferred to the
special servicer in November 2013 for payment default. The 197-bed
center historically performed well as the tenant leased the
building and is responsible for operations through May 2019.
Although payments are received late, the loan is current. The
sponsor indicates that the building could be sold in early 2016
through a portfolio or one-off transaction.
The largest non-defeased loan in the pool, D'Amato Portfolio, is a
portfolio of thirty-seven buildings consisting of 719,972 sf of
retail and industrial space located in Milford, CT. As of
September 2015, the occupancy of the portfolio was listed at 94%.
The portfolio has experienced consistent performance since issuance
with the sponsor needing to only address minor deferred maintenance
issues. The partial IO loan is amortizing and the loan is
scheduled to mature in July 2023.
RATING SENSITIVITIES
Classes G and H have Stable Outlooks due to high credit enhancement
and the expectation that these classes will pay in full. Despite
the high credit enhancement and defeased collateral, the Outlook on
class J remains Stable due to increased concentration risk and
adverse selection of the remaining loan pool. The recovery
estimate for class K could be revised lower if losses from the
specially serviced loan or Fitch loan of concern exceed modelled
projections.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch upgrades this class:
-- $19 million class H to 'AAAsf' from 'AAsf'; Outlook Stable.
Fitch affirms these classes:
-- $3.2 million class G at 'AAAsf'; Outlook Stable;
-- $19 million class J at 'BBsf'; Outlook Stable;
-- $18.8 million class K at 'Dsf' RE 75;
-- $0 million class L at 'Dsf'; RE 0;
-- $0 million class M at 'Dsf'; RE 0.
Fitch does not rate class N. Classes A-1, A-2, B, C, D, E, and F
have paid in full. Class X was previously withdrawn.
GS MORTGAGE 2005-GG4: Moody's Cuts Class E Debt Rating to Ca(sf)
----------------------------------------------------------------
Moody's Investors Service, has affirmed the ratings on five
classes and downgraded the ratings on two classes in GS Mortgage
Securities Corporation II, Commercial Mortgage Pass-Through
Certificates, Series 2005-GG4 as follows:
Cl. D, Affirmed Caa1 (sf); previously on Mar 12, 2015 Affirmed Caa1
(sf)
Cl. E, Downgraded to Ca (sf); previously on Mar 12, 2015 Affirmed
Caa3 (sf)
Cl. F, Affirmed C (sf); previously on Mar 12, 2015 Affirmed C (sf)
Cl. G, Affirmed C (sf); previously on Mar 12, 2015 Affirmed C (sf)
Cl. H, Affirmed C (sf); previously on Mar 12, 2015 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Mar 12, 2015 Affirmed C (sf)
Cl. X-C, Downgraded to Caa3 (sf); previously on Mar 12, 2015
Downgraded to B3 (sf)
RATINGS RATIONALE
The ratings on five P&I classes were affirmed because the ratings
are consistent with Moody's expected loss.
The rating on one P&I class, Class E, was downgraded due to the
expected timing of the resolutions of the loans in special
servicing. There are nine real estate owned (REO) assets,
representing approximately 75% of the pool balance.
The rating on the IO Class, Class X-C, 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 63.3% of the
current balance, compared to 18.4% at Moody's last review. Moody's
base expected loss plus realized losses is now 7.6% of the original
pooled balance, compared to 8.0% 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 12, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 93.5% to $258.1
million from $4.0 billion at securitization. The certificates are
collateralized by 17 mortgage loans ranging in size from less than
1% to 28.4% of the pool.
Two loans, constituting 4.6% 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.
Forty-four loans have been liquidated from the pool with a loss,
resulting in an aggregate realized loss of $141.0 million (for an
average loss severity of 16%). Thirteen loans, constituting 87% of
the pool, are currently in special servicing. The largest specially
serviced loan is the former One HSBC Center, now known as the
Seneca Tower Loan ($73.3 million -- 28.4% of the pool), which is
secured by an approximately 852,000 square foot (SF), 40-story
office building located in Buffalo, New York. Formerly known as One
HSBC Center, the property was renamed after HSBC vacated (77% of
the NRA) at its lease expiration in October 2013. Along with HSBC,
Phillips Lytle LLC, which occupied 10% NRA, vacated in December
2013. A receiver was appointed in January 2014 after the borrower
submitted a hardship letter stating it was no longer able to cover
debt service shortfalls. The lender was the winning bidder at the
October 2015, foreclosure sale of the Tower. As of June 2015 the
property was 6% leased, the same as of September 2014. Moody's
anticipates a significant loss on this loan.
The second largest specially serviced loan is the Temple Mall Loan
($32.8 million -- 12.7%), which is secured by a 446,000 square foot
(SF) anchored mall located in Temple, Texas. The mall is anchored
by Macys (owns), Dillard's, JC Penney and a Premiere Cinema
(leases). The property transferred to special servicing in
September 2008 for imminent default and became REO in September
2011. As per the September 2015 rent roll the property was 77%
leased, compared to 81% leased as of March 2014. Moody's
anticipates a significant loss on this loan
The remaining 11 specially serviced loans are secured by a mix of
property types and Moody's has identified one troubled loan
representing 4% of the pool. Moody's estimates an aggregate $163
million loss for the specially serviced and troubled loans (70%
expected loss on average).
Moody's received full year 2014 operating results for 88% of the
pool and full or partial year 2015 operating results for 100% of
the pool.
The top three conduit loans represent 9% of the pool balance. The
largest loan is the Verizon Wireless Loan ($11.8 million -- 4.6% of
the pool), which is secured by an 160,000 square foot (SF) office
building located in Wilmington, North Carolina. The Property is
100% leased to Cellco Partnership dba Verizon Wireless. 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 90.9%
and 1.13X, respectively, compared to 75.3% and 1.36X at the last
review.
The second largest loan is the El Dorado Shopping Center --
McKinney- A Note Loan ($9.8 million -- 3.8% of the pool), which is
secured by an 128,000 square foot (SF) retail property located in
McKinney, Texas. The property is anchored by a Bed Bath & Beyond.
The loan was transferred to the Special Servicing in December 2011
for delinquent payments and a loan modification was executed in
October 2013 that includes an A/B note split. Per the September
2015 rent roll the property was 88% leased, compared to 74% in
December 2014. The loan is scheduled to mature in May 2016. Moody's
identified the $9.5 million B-Note as a troubled loan.
The third largest loan is the Belk at El Dorado Loan ($2.0 million
-- 0.8% of the pool), which is secured by a 67,000 square foot (SF)
retail center that was built in 2004 and is located in McKinney,
Texas. The property is 100% leased to Belk Inc. The loan is
scheduled to mature in April 2016. Moody's LTV and stressed DSCR
are 78.9% and 1.20X, respectively, compared to 88.5% and 1.07X at
the last review.
GS MORTGAGE: DBRS Confirms BB(high) Rating on Class E Debt
----------------------------------------------------------
DBRS, Inc. upgraded two classes of Commercial Mortgage Pass-Through
Certificates Series 2011-GC3 issued by GS Mortgage Securities
Trust, Series 2011-GC3 as follows:
-- Class C to AA (high) (sf) from AA (low) (sf)
-- Class D to A (sf) from BBB (sf)
Class A-2 has fully repaid and, as such, DBRS has discontinued the
rating. DBRS also confirmed the ratings of the six remaining
classes as follows:
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class B at AAA (sf)
-- Class E at BB (high) (sf)
-- Class F at B (sf)
-- Class X at AAA (sf)
Additionally, DBRS has changed the trends on Classes E and F to
Positive from Stable. All remaining trends are Stable. DBRS does
not rate the first lost piece, Class G.
These rating actions reflect the strong performance of the
transaction, which has experienced collateral reduction of 42.2%
since issuance, with 40 of the original 57 loans remaining in the
pool as of the February 2016 remittance report. The 17 loans that
have paid out were repaid at their respective maturity dates. There
are two loans scheduled for a March 2016 maturity date in
Prospectus ID #21, Doubletree San Diego (2.0% of the pool) and
Prospectus ID #52, Harper Crossing (0.42% of the pool). As both
loans are exhibiting healthy credit metrics with DBRS Exit Debt
Yields of 24.6% and 9.9%, respectively, based on the YE2014 cash
flows. As such, DBRS expects that both will repay at their
scheduled maturity dates. The bulk of the remaining loans in the
pool were structured with ten-year terms and will mature in 2020
and 2021.
The transaction benefits from strong overall credit metrics with a
weighted-average (WA) debt service coverage ratio (DSCR) of 2.10
times (x) and WA debt yield of 15.0% as of the YE2014 figures;
these metrics compare with the issuance levels of 1.80x and 12.0%,
respectively. The performance for the largest 13 non-defeased loans
has also been quite strong since issuance with WA net cash flow
(NCF) growth of 25.9% over the DBRS underwritten figures at YE2014
and a WA DSCR of 2.49x for those 13 loans. The annualized Q3 2015
figures show that these trends continued into 2015 and DBRS expects
the full year-end reporting for 2015 to show similar growth and
performance patterns for the pool overall. The transaction also
benefits from four defeased loans in the pool, which represent
7.10% of the overall balance and include two loans in the Top 15.
As of the February 2016 remittance report, there are no loans in
special servicing and five loans representing 16.6% of the pool
balance on the servicer’s watchlist. None of the loans are being
monitored for cash flow declines; however, two of the loans were
placed on the watchlist for monitoring through the upcoming March
2016 maturity dates and the other three were placed on the
watchlist for relatively minimal rollover at single properties
within a portfolio loan or for deferred maintenance items. The
remaining transaction balance is heavily concentrated in retail
properties, with 78.36% of the pool secured by anchored retail
properties and regional malls. The two regional malls in the
transaction are Prospectus ID #4, Cape Cod Mall (11.54% of the
pool) and Prospectus ID #7, Oxford Valley Mall (8.04% of the pool).
These two loans are detailed below.
The Cape Cod Mall loan is secured by 522,000 square feet (sf) of a
722,000 sf regional mall located in Hyannis, Massachusetts. The
subject is the only mall on Cape Cod and is anchored by Macy’s
(not collateral), Sears (25.9% of the collateral net rentable area
(NRA) on a lease through November 2019) and Regal Cinema (9.3% of
the collateral NRA on a lease through December 2019). Other notable
tenants include Best Buy, Marshalls and Barnes & Noble. The
property is owned and operated by a joint venture (JV) with Simon
Property Group, Inc. (Simon), J.P. Morgan Chase’s Commingled
Pension Fund and Teachers Insurance and Annuity Association of
America. Simon is the managing member and operates the property.
The YE2014 DSCR for the loan was 1.73x, with WA NCF growth over the
DBRS underwritten figure of 18.4%. The annualized Q3 2015 figures
show the cash flow declined slightly in 2015 with a DSCR of 1.68x.
The decline in NCF was driven by a minor decline in the occupancy
rate to 94.9% at Q3 2015 from 95.4% at YE2014. Occupancy has
improved since issuance, however, when it was 87.8%.
The YE2015 tenant sales report shows sales for Sears and three
major tenants in Best Buy, Marshalls and Barnes & Noble are down
year over year (YOY), with Regal Cinema and in-line tenants with
less than 10,000 sf showing sales growth over 2014. Sears reported
sales of $140.00 per square foot (psf), down 8.3% YOY and Best Buy
reported sales of $961.00 psf, down 1.5% YOY. Marshalls reported
sales of $320.00 psf, down 2.4% YOY and Barnes & Noble reported
sales of $219.00 psf, down 2.2% YOY. Regal Cinema reported sales of
$286,833 per screen, up 5.8% YOY, and in-line stores averaged sales
of $211.00 psf, up 2.8% YOY. Although the sales performance is not
positive for Sears and major tenants, in-line sales growth is
healthy and the overall cash flow growth from issuance is
reflective of the occupancy gains made since closing and of the
healthy overall performance for the mall, which benefits from
strong sponsorship in Simon as well as its relative distance from
competing regional malls.
The Oxford Valley Mall loan is secured by a regional mall located
in Middletown Township, Pennsylvania. The property is owned and
operated by a JV with Simon. The collateral for the loan includes
an adjacent power center and an office building that comprises
approximately 110,000 sf. The mall is anchored by Macy’s (not
collateral for this loan), Sears (whose lease runs through February
2017 after a three-year renewal in 2014 for 12.4% of the collateral
NRA) and JC Penney (16.2% of the collateral NRA on a lease through
August 2018 after a five-year renewal was signed in 2013). There is
also a dark non-collateral anchor space for the former Boscov’s
space, which has been vacant since issuance. The trailing 12-month
tenant sales report as of January 2016 shows overall sales for
tenants with less than 10,000 sf averaged $369.00 psf, down 4.2%
YOY, but up from an average of $332.00 psf at issuance, and sales
for tenants with greater than 10,000 sf (which includes Forever 21,
H&M and Express) averaged $188.00 psf, up 6.7% from last year.
Anchor sales were down for two of the three stores, with Macy’s
showing sales of $123.00 psf, down 13.1% YOY and Sears showing
sales of $56.00 psf, down 4.7% YOY. JC Penney showed positive YOY
sales growth with sales of $84.00 psf, up 10.1% from this time last
year.
Since issuance, the property has lost approximately 7.0% of its
in-line tenancy with tenant departures in Lane Bryant, Limited Too,
Williams Sonoma and Ann Taylor, among other smaller tenants. In
addition to these retail departures, the property also had some
minor office space in the mall’s interior that has since been
vacated. The overall occupancy rate for the loan collateral as of
the Q3 2015 rent roll was 72.8%, down from 85.7% at issuance,
driven largely by a reduction in the mall’s in-line occupancy
rate to 73.7% at Q3 2015 from approximately 81.0% at issuance. The
in-line occupancy decline has been driven by the previously listed
departures as well as space reductions for The Gap, Gap Kids and
Forever 21 from issuance. There has been positive leasing traction
at the power center portion of the property, which recently signed
Nieman Marcus Last Call for the formerly vacant Thomasville
Furniture space, which comprises approximately 26,000 sf. News
reports indicate that the store is scheduled to open early this
year at the property; DBRS has requested lease terms from the
servicer and is awaiting the borrower’s response.
Although the weak anchor sales (particularly for Sears, whose lease
expires in 2017) and the YOY decline for the in-line sales as of
the January 2016 tenant sales report are somewhat concerning, DBRS
believes that these are mitigated by the strong sponsorship in
Simon, the low leverage for the loan, which is currently at $53.00
psf and will continue to decline as the loan amortizes, and the
strong in-place DSCR for the loan, which was at 3.20x at YE2014.
Although the annualized coverage fell to 2.68x at Q3 2015, the YOY
NCF decline reflects (1) a decline in annualized reimbursements and
percentage rents, which should normalize with year-end figures; (2)
and a sharp increase in repairs and maintenance by 130% on an
annualized basis, which should normalize at year-end and/or likely
includes extraordinary costs, given the property’s historical YOY
expense trends.
GSAA HOME 2006-2: Moody's Raises Rating on Cl. 2A5 Debt to Caa1
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of four tranches
from GSAA Home Equity Trust 2006-2, a transaction backed by
Subprime mortgage loans.
Complete rating actions are:
Issuer: GSAA Home Equity Trust 2006-2
Cl. 1A1, Upgraded to Baa2 (sf); previously on March 12, 2015,
Upgraded to Ba2 (sf)
Cl. 1A2, Upgraded to B3 (sf); previously on May 27, 2014,
Upgraded to Caa2 (sf)
Cl. 2A4, Upgraded to Ba2 (sf); previously on May 27, 2014,
Upgraded to Caa1 (sf)
Cl. 2A5, Upgraded to Caa1 (sf); previously on May 27, 2014,
Upgraded to Ca (sf)
RATINGS RATIONALE
The upgrades are a result of improving performance of the related
pool 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 February 2016 from 55% in
February 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.
JP MORGAN 2006-CIBC14: Moody's Cuts Rating on Cl. X-1 Debt to Caa3
------------------------------------------------------------------
Moody's Investors Service affirmed three classes and downgraded two
classes of J.P. Morgan Chase Commercial Mortgage Securities Corp.
Series 2006-CIBC14 as follows:
Cl. A-J, Affirmed Caa1 (sf); previously on Apr 2, 2015 Affirmed
Caa1 (sf)
Cl. B, Downgraded to C (sf); previously on Apr 2, 2015 Affirmed
Caa3 (sf)
Cl. C, Affirmed C (sf); previously on Apr 2, 2015 Affirmed C (sf)
Cl. D, Affirmed C (sf); previously on Apr 2, 2015 Affirmed C (sf)
Cl. X-1, Downgraded to Caa3 (sf); previously on Apr 2, 2015
Affirmed B1 (sf)
RATINGS RATIONALE
The ratings on three P&I Classes, Classes AJ, C and D, were
affirmed because the ratings are consistent with Moody's expected
loss.
The rating on one P&I Class, Class B, was downgraded due to the
anticipated losses and expected timing of the resolutions for the
loans in special servicing. Twelve loans, representing 66% of the
pool, are currently in special servicing and five of the specially
serviced loans ($79.3 million --79% of the specially serviced loan
balance) are REO.
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 paydowns of high quality reference classes. The deal
has paid down 82% since the last review.
Moody's rating action reflects a base expected loss of 43.5% of the
current balance compared to 9.4% 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 82% since last review and 91% since securitization.
Moody's base plus realized loss totals 12.8% compared to 13.5% 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 91% to $261.8
million from $2.7 billion at securitization. The certificates are
collateralized by 25 mortgage loans ranging in size from less than
1% to 23% of the pool, with the top ten loans constituting 71% of
the pool.
Six loans, constituting 17% 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.
Fifty-six loans have been liquidated from the pool, resulting in an
aggregate realized loss of $238 million (for an average loss
severity of 35%). Twelve loans, constituting 66% of the pool, are
currently in special servicing. The largest specially serviced loan
is the Avion Business Park Portfolio Loan ($60.6 million -- 23% of
the pool), which was originally secured by seven suburban office
properties located in Chantilly, Virginia. The loan was transferred
to special servicing in October 2010 and is now real estate owned
(REO). Five out of seven properties sold in August 2014 with a
sixth property sold in December 2015. As of December 2015,
occupancy for the remaining property, Avion Technology Center I,
was 79%.
The remaining eleven specially serviced loans are secured by a mix
of property types. Moody's estimates an aggregate $112 million loss
for the specially serviced loans (65% expected loss on average).
Moody's has assumed a high default probability for one poorly
performing loan representing 3% of the pool and has estimated an
aggregate $1.3 million loss (30% expected loss based on a 50%
probability default) from this troubled loan.
Moody's was provided with full year 2014 and partial year 2015
operating results for 82% of the pool's non-specially serviced
loans. Excluding specially serviced and troubled loans, Moody's
weighted average conduit LTV is 76%, compared to 92% at last
review. Moody's net cash flow reflects a weighted average haircut
of 10% to the most recently available net operating income. Moody's
value reflects a weighted average capitalization rate of 9.1%.
Excluding special serviced and troubled loans, Moody's actual and
stressed conduit DSCRs are 1.30X and 1.62X, respectively, compared
to 1.41X and 1.17X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The top three performing conduit loans represent 14.4% of the pool
balance. The largest loan is the Suncom Center Loan ($13.1 million
-- 5.0% of the pool). The loan is secured by a 90,334 square foot
(SF) office building located on Daniel Island outside of
Charleston, South Carolina. The property is 100% leased to Triton
PCS Property Company through February 2017. The loan has a looming
2016 maturity date and the borrower is seeking a short-term
extension while working towards refinancing the loan.
The second largest conduit loan is the MetoKote -- US Portfolio
Loan ($12.7 million -- 4.8% of the pool), which is secured by five
industrial properties totaling 624,010 SF in Ohio, Illinois and
Tennessee. The properties are 100% leased to MetoKote through May
2025. The loan is fully amortizing and Moody's LTV and stressed
DSCR are 42% and 2.37X, respectively, compared to 46% and 2.17X at
last review.
The third largest conduit loan is the One Main Street Loan ($12
million -- 4.6% of the pool). The loan is secured by a 68,999 SF
office property located in Champaign, Illinois. As of December
2015, the property was 100% leased, the same rate since
securitization. The loan remains current despite a February 2016
maturity date. Moody's LTV and stressed DSCR are 115% and 0.87X,
respectively, compared to 107% and 0.93X at last review.
LB-UBS COMMERCIAL 2001-C3: S&P Raises Cl. E Certs Rating to B+
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on two
classes of commercial mortgage pass-through certificates from
LB-UBS Commercial Mortgage Trust 2001-C3, a U.S. commercial
mortgage-backed securities (CMBS) transaction. At the same time,
S&P affirmed its ratings on three classes, discontinued its rating
on class C, and withdrew its rating on class X from the same
transaction.
The rating actions on the principal- and interest-paying
certificates 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.
While available credit enhancement levels suggest positive rating
movements on these classes, the downgrades and affirmations reflect
S&P's expectation of reduced liquidity support and the
susceptibility of these classes to interest shortfalls from the
specially serviced assets, which comprised 95.0% ($94.1 million) of
the remaining pool balance, and in particular, from the Vista Ridge
Mall loan ($65.0 million, 65.6%), which the special servicer stated
that it anticipates will become delinquent in the near term
(details below), as well as S&P's views regarding the current and
future performance of the transaction’s collateral.
In addition, S&P discontinued its 'AA (sf)' rating on class C
following the full repayment of the class as reflected in the
Feb. 18, 2016, trustee remittance report.
Lastly, S&P withdrew its 'AAA (sf)' rating on the class X
interest-only (IO) certificates based on S&P's criteria for rating
IO securities, in which S&P withdraw the IO rating following the
full repayment of all principal- and interest-paying classes rated
'AA- (sf)' or higher.
TRANSACTION SUMMARY
As of the Feb. 18, 2016, trustee remittance report, the collateral
pool balance was $99.1 million, which is 7.2% of the pool balance
at issuance. The pool currently includes four loans and one real
estate-owned (REO) asset, down from 135 loans at issuance. Three
of these assets are specially serviced; one loan ($2.3 million,
2.3%) is defeased; and no loans are on the master servicer's
watchlist.
S&P calculated a 0.84x Standard & Poor's debt service coverage
(DSC) and 48.5% Standard & Poor's loan-to-value (LTV) ratio using a
7.25% Standard & Poor's capitalization rate for the sole performing
nondefeased loan.
To date, the transaction has experienced $49.3 million in principal
losses, or 3.6% of the original pool trust balance. S&P expects
losses to reach approximately 5.6% 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.
CREDIT CONSIDERATIONS
As of the Feb. 18, 2016, trustee remittance report, three assets in
the pool were with the special servicer, LNR Partners LLC.
Details on the assets are:
-- The Vista Ridge Mall loan ($65.0 million, 65.6%), the
largest loan in the pool and with the special servicer, has
a reported $65.7 million exposure.
-- The loan is secured by 379,777 sq. ft. of a 1.05 million-
sq.-ft. regional mall in Lewisville, Texas. The loan, which
has a reported current payment status, was transferred to
special servicing on Feb. 4, 2015, due to imminent default.
Based on comments in the most recent trustee remittance
report, the borrower has indicated that the loan is likely
to default in the near term. The reported DSC and occupancy
were 0.74x and 94.3%, respectively, for the nine months
ended Sept. 30, 2015. S&P expects a moderate loss upon its
eventual resolution.
-- The Park Central REO asset ($26.1 million, 26.4%), the
second-largest asset in the pool and with the special
servicer, has a reported $30.9 million exposure. The asset
is a 343,419-sq.-ft. mixed use (office/retail) property in
Phoenix, Ariz. The loan was transferred to special servicing
on July 18, 2011, and the property became REO on May 2,
2012. The reported DSC and occupancy were 0.53x and 55.0%,
respectively, for the nine months ended Sept. 30, 2015. An
appraisal reduction amount totaling $9.8 million is in
effect against the asset, and S&P expects a moderate loss
upon its eventual resolution.
-- The CVS Plaza loan ($3.0 million, 3.0%), the third-largest
asset in the pool and the smallest asset with the special
servicer, has a reported $4.1 million exposure. The loan,
which has a 90-plus-days delinquent payment status, is
secured by a 24,131-sq.-ft. retail property in West Orange,
N.J. The loan was transferred to special servicing on
May 21, 2012, due to payment default. The reported DSC and
occupancy were 0.01x and 48.8%, respectively, for the nine
months ended Sept. 30, 2015. S&P expects a minimal loss
upon its eventual resolution.
S&P estimated losses for the three specially serviced assets,
arriving at a weighted-average loss severity of 30.0%.
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
LB-UBS Commercial Mortgage Trust 2001-C3
Commercial mortgage pass-through certificates series 2001-C3
Rating
Class Identifier To From
C 52108HFN9 NR AA (sf)
D 52108HFP4 BBB- (sf) A+ (sf)
E 52108HEK6 B+ (sf) BBB- (sf)
F 52108HEM2 B- (sf) B- (sf)
G 52108HEP5 CCC- (sf) CCC- (sf)
H 52108HER1 CCC- (sf) CCC- (sf)
X 52108HFH2 NR AAA (sf)
NR--Not rated.
LB-UBS COMMERCIAL 2004-C7: S&P Raises Cl. M Certs Rating to BB+
---------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on five
classes of commercial mortgage pass-through certificates from
LB-UBS Commercial Mortgage Trust 2004-C7, a U.S. commercial
mortgage-backed securities (CMBS) transaction.
The upgrades 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 loans in the pool, the transaction's
structure, the liquidity available to the trust, as well as the
classes' interest shortfalls history. The upgrades 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 current and future performance of
the transaction's collateral; the magnitude and amortization of
defeased loans remaining in the transaction ($35.2 million, 87.9%);
and the reduced trust balance.
Classes L and M were previously lowered to 'D (sf)' due to
accumulated interest shortfalls that S&P expected to remain
outstanding for a prolonged period of time. S&P raised its ratings
on these classes from 'D (sf)' because the interest shortfalls have
been repaid in full, and S&P do not believe, at this time, a
further default is virtually certain.
While available credit enhancement levels suggest further positive
rating movements on classes J, K, L, and M, S&P's analysis also
considered the susceptibility to reduced liquidity support from the
two loans on the master servicer's watchlist ($4.9 million, 12.1%)
due to reported declining performance.
TRANSACTION SUMMARY
As of the Feb. 18, 2016, trustee remittance report, the collateral
pool balance was $40.1 million, which is 2.8% of the pool balance
at issuance. The pool currently includes three loans, down from 90
loans at issuance. No loans are reported with the special
servicer, one is defeased, and two are on the master servicer's
watchlist. The master servicer, Wells Fargo Bank, N.A., reported
year-end 2014 financial information for all of the nondefeased
loans in the pool.
For the two performing loans, S&P calculated a 0.86x Standard &
Poor's weighted average debt service coverage and 113.6% Standard &
Poor's weighted average loan-to-value ratio using a 7.50% Standard
& Poor's weighted average capitalization rate.
To date, the transaction has experienced $24.9 million in principal
losses, or 1.8% of the original pool trust balance.
RATINGS LIST
LB-UBS Commercial Mortgage Trust 2004-C7
Commercial mortgage pass through certificates series 2004-C7
Rating
Class Identifier To From
H 52108HQ72 AA+ (sf) AA- (sf)
J 52108HQ80 AA (sf) A+ (sf)
K 52108HQ98 AA- (sf) B (sf)
L 52108HR22 A- (sf) D (sf)
M 52108HR30 BB+ (sf) D (sf)
LENDMARK FUNDING 2016-A: Fitch Rates Class C Notes 'Bsf'
--------------------------------------------------------
Fitch Ratings assigns ratings to Lendmark Funding Trust 2016-A (LFT
2016-A) as follows:
-- $130,480,000 class A notes 'BBB+sf'; Outlook Stable;
-- $32,200,000 class B notes 'BBsf'; Outlook Stable;
-- $15,042,000 class C notes 'Bsf'; Outlook Stable.
KEY RATING DRIVERS
Adequate Collateral Quality: The LFT 2016-A collateral pool
comprises secured and unsecured fixed rate personal loans and sales
finance contracts originated by the company based on its
underwriting guidelines (see Appendix A). The portfolio will also
include renewed loans that will replace or refinance the existing
loan. Additional eligible loans will be added to the portfolio
during the revolving period ending Jan. 31, 2018.
Sufficient Credit Enhancement: Credit enhancement (CE) is provided
by overcollateralization (OC) and excess spread. The initial OC of
approximately $22.6 million will be maintained for the life of the
transaction. Additionally, the class A notes will benefit from
subordination provided by the class B and C notes, and the class B
notes will benefit from subordination provided by the class C
notes. In addition, trust performance and other triggers based on
credit and servicing risks are used to provide additional
protection for investors should loan performance or certain
counterparties' financial conditions deteriorate (each an early
amortization event). When an early amortization event occurs, the
revolving period will end and note amortization will begin.
Adequate Liquidity Support: A reserve account sized at $2 million
which equals 1% of the initial pool balance with a floor at 1% of
the initial pool balance, will be funded at closing.
Acceptable Servicing Capabilities: Lendmark Financial Services LLC.
(Lendmark) will service 100% of the portfolio. Wells Fargo Bank
N.A. (Wells Fargo) is the back-up servicer and image file
custodian. Fitch considers all parties acceptable servicers. Wells
Fargo in its capacity of image file custodian will retain
electronic copies of all imaged files of each loan.
RATING SENSITIVITIES
As Fitch's base case default proxy is derived primarily from
historical collateral performance, actual performance may differ
from the expected performance, resulting in higher loss levels than
the base case. This will result in a decline in available CE, and
the remaining loss coverage levels available to the notes and may
make certain note ratings susceptible to potential negative rating
actions, depending on the extent of the decline in the coverage.
Rating sensitivity results should only be considered as one
potential outcome, given that the transaction is exposed to
multiple dynamic risk factors. Rating sensitivity should not be
used as an indicator of future rating performance.
Holding all other inputs constant, a 15% increase in base case
defaults resulted in a downgrade of at least three rating notches
for the notes.
DUE DILIGENCE USAGE
Fitch was provided with due diligence information from KPMG LLP.
The third-party due diligence focused on comparing the sample
characteristics provided in the data file of 47,103 consumer loans
to the corresponding information in the loan agreements. Fitch
considered this information in its analysis, and the findings did
not have any impact on the analysis.
MERRILL LYNCH 2006-Canada 19: DBRS Confirms BB Rating on Cl. G Debt
-------------------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2006-Canada 19 issued by Merrill
Lynch Financial Assets Inc., 2006-Canada 19 as follows:
-- Class A-3 at AAA (sf)
-- Class B at AAA (sf)
-- Class C at AA (high) (sf)
-- Class D at A (low) (sf)
-- Class E at BBB (sf)
-- Class F at BBB (low) (sf)
-- Class G at BB (sf)
-- Class H at BB (low) (sf)
-- Class J at B (high) (sf)
-- Class K at B (sf)
-- Class L at B (low) (sf)
-- Class XC at AAA (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction. At issuance, the collateral consisted of 75
fixed-rate loans secured by 124 commercial properties. As of the
February 2016 remittance, 45 loans remain in the pool, with an
aggregate outstanding principal balance of $275.9 million,
representing a collateral reduction of 53.3% since issuance. There
is one defeased loan, representing 8.9% of the pool. In the last 12
months, seven loans have paid out from the trust, with all
remaining loans scheduled to mature in 2016. Loans representing
62.1% of the current pool balance are reporting YE2014 financials.
Based on those YE2014 figures, the 11 reporting non-defeased loans
within the Top 15 had a weighted-average (WA) amortizing debt
service coverage ratio (DSCR) of 1.11 times (x) with WA debt yield
and WA exit debt yield of 9.7% and 9.8%, respectively. The
relatively low coverage and debt yields for those loans, on a WA
basis, can largely be attributed to the decline in performance for
the largest two loans in Prospectus ID #1, 400 University (17.2% of
the pool) and Prospectus ID #3, Castel Royale (9.2% of the pool),
which had a YE2014 DSCR of 0.59x and 0.53x, respectively. When
excluding these loans, the WA YE2014 DSCR rises to 1.60x with a WA
debt yield and exit debt yield of 14.2% and 14.3%, respectively.
Additionally, Prospectus ID #6, 219 Dufferin Street (6.1% of the
pool), did not report YE2014 NCF figures, but shows a YE2015 DSCR
of 3.03x.
The pool reported a WA DBRS refinance DSCR of 1.64x with three
loans, including the two largest remaining in the pool,
representing 27.5% of the pool, showing a DBRS refinance DSCR below
1.10x. The low refinance metrics for the largest loan are mitigated
by the relatively low trust exposure of $131 psf and recent leasing
activity that should improve the refinance scenario, and the weak
refinance metrics for the second-largest loan are mitigated by full
recourse to an experienced owner/operator with above-average access
to credit.
DBRS maintains an investment-grade shadow rating on one loan in
this transaction, representing 5.2% of the current pool balance.
The shadow rating is reflective of the underlying collateral’s
long-term lease to a single, investment-grade tenant.
As of the February 2016 remittance, there are nine loans on the
servicer’s watchlist, representing 66.9% of the current pool
balance; however, the majority of the loans were flagged as
procedure for the respective upcoming maturity dates. Some loans
are being monitored for a combination of reasons, including a
near-term maturity and/or a decline in cash flows for the
underlying collateral. One loan is in special servicing,
representing 1.1% of the pool. The two largest watchlisted loans
and the specially serviced loan are detailed below.
Prospectus ID #1, 400 University (17.2% of the current pool
balance), is secured by a high-profile, Class B office tower
located in downtown Toronto. The loan was added to the watchlist in
January 2014 when the largest tenant, Zurich Insurance Company,
vacated its space at lease expiration, resulting in a decline in
occupancy to 61.7%. Since that time, occupancy has rebounded to
86.9% as of the September 2015 rent roll, as eight new tenants
signed new leases in 2015 for a combined 25.9% of the net rentable
area (NRA). The rental rates range from $22 psf to $24 psf and most
tenants were signed without the incentive of a free rent period.
The rates for these tenants compare with the Zurich rate of
approximately $17.50 psf. The largest tenant, Province of Ontario
– Ontario Minister of Infrastructure (Province of Ontario),
occupies 50.1% of the NRA and has a lease that expired in October
2015, but it was confirmed by DBRS to still be at the property
during a February 2016 visit to the site. DBRS has requested the
servicer confirm the leasing status for that tenant and is awaiting
a response. The second- and third-largest tenants occupy 8.7% of
the NRA and 4.4% of the NRA, with leases expiring in 2024 and 2025,
respectively. There are TI/LC reserves in place, with approximately
$646,000 remaining of the original $900,000 reserve established for
the Zurich space at closing and a $1.5 million leasing reserve
remains available for the re-leasing of Province of Ontario’s
space.
According to the YE2014 financials, the property experienced a
69.2% net cash flow decline from the YE2013 figure, driven by the
Zurich vacancy, resulting in a low YE2014 DSCR of 0.59x, as
compared with the YE2013 DSCR of 1.44x and YE2012 DSCR of 1.48x. As
occupancy has rebounded to historical levels, with leases signed at
rates higher than those for the previous tenant, DBRS expects those
factors will combine with the low leverage point for the trust loan
and the desirable downtown Toronto location to enable the loan’s
successful refinance on or around the scheduled May 2016 maturity
date.
Prospectus ID #3, Castel Royale (9.2% of the current pool balance),
is secured by a 250-unit independent living facility located in an
affluent area of Montréal, Québec. This loan has been on the
watchlist for the past several years because of a prolonged
decrease in the occupancy rate (and corresponding decline in cash
flows) at the subject, which was 63.4% at December 2014, resulting
in a low DSCR of 0.53x. The occupancy had further declined to
61.2%, according to the servicer’s October 2015 site inspection.
The report noted that the subject saw a decline in leasing activity
because of exterior improvements that were completed from 2013 to
2014. Those improvements were completed as part of an effort to
improve the property’s overall curb appeal and attract new
residents. The borrower’s efforts to improve occupancy at the
property also include hiring all new staff to facilitate the
implementation of a new marketing strategy and conduct a
recalibration of pricing to bring rents in line with the current
market demographic. The inspection conducted by the servicer found
the property to be in average condition overall; however, the
report did cite deferred maintenance in the property’s parking
garage, an ongoing issue that has prompted the borrower to engage
an engineering firm to evaluate the necessary repairs. Although the
condition issues and credit metrics do not speak strongly for the
loan’s ability to refinance at maturity in May 2016, the loan
benefits from full recourse to the sponsor, Chartwell Seniors
Housing REIT, which is one of the largest operators of senior
housing with over 175 properties in Canada. As such, DBRS believes
the loan will be successfully repaid on or around the scheduled
maturity date.
Prospectus ID #35, 425 Avenue Marien (1.1% of the current pool
balance), is secured by a 226,000 sf industrial property located in
northern Montréal, Québec, built in 1919. This loan was
transferred to the special servicer in March 2015 for payment
default. According to the servicer, the borrower acquired an
unauthorized second mortgage and later defaulted on the obligation,
resulting in legal action by the second lien holder. A judge
granted the second lien holder’s request to install a receiver at
the property, who has been remitting excess cash flow to cover the
operating expenses at the property and is in the process of seeking
approval from the court to auction the property. The special
servicer is preparing for the auction, which may be held as early
as March 2016, as the courts allow. The property was last appraised
in July 2015 at $4.1 million, a $2.1 million decline from the
issuance value of $6.2 million. Although the appraiser’s estimate
implies value outside of the trust’s exposure of $3.2 million,
DBRS believes that, as the sale price could be lower than the
appraised value and proceeds could be impacted by fees and expenses
incurred by the servicer, the potential for loss to the trust
remains. As such, the loan was modeled with a stressed liquidation
scenario that assumed a haircut to the appraised value.
MORGAN STANLEY 2003-TOP9: S&P Affirms B+ Rating on Class L Certs
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on three
classes of commercial mortgage pass-through certificates from
Morgan Stanley Dean Witter Capital I Trust 2003-TOP9, a U.S.
commercial mortgage-backed securities (CMBS) transaction.
Concurrently, S&P affirmed its ratings on three other classes from
the same transaction.
These rating actions 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 loans in the pool, the
transaction’s structure, and the liquidity available to the
trust.
The raised ratings on classes H, J, and K 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 current and future performance of the transaction's
collateral, and the reduced trust balance.
The affirmed ratings on classes L, M, and N reflect S&P's
expectation that the available credit enhancement for these classes
will be well 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 current and
future performance of the transaction’s collateral, the
transaction structure, and the liquidity support available to the
classes.
While available credit enhancement levels suggest further positive
rating movements on classes J and K and significant positive rating
movements on classes L, M, and N, S&P's analysis also considered
these classes' susceptibility to reduced liquidity support. This
is due primarily to credit risk associated with the largest loan in
the pool, the Raley's Shopping Center loan ($9.1 million, 28.7%),
which matures in late 2016 and has reported debt service coverage
(DSC) below 1.00x for the past three years. The loan, secured by a
121,618-sq.-ft. retail property in North Highlands, Calif., was
previously transferred to the special servicer and modified
effective Oct. 18, 2011. The modification terms included extending
the loan's maturity date from Nov. 1, 2012, to Nov. 1, 2016, and
revising the paid interest rates each year from November 2011
through November 2014. The reported DSC and occupancy were 0.76x
and 82.6%, respectively, for year-end 2015.
TRANSACTION SUMMARY
As of the Feb. 16, 2016, trustee remittance report, the collateral
pool balance was $31.7 million, which is 2.9% of the pool balance
at issuance. The pool currently includes 13 loans, down from 137
loans at issuance. Two of these loans ($584,822, 1.8%) are
defeased, four ($20.2 million, 63.7%) are on the master servicer's
watchlist, and no loans are reported with the special servicer. The
master servicer, Wells Fargo Bank N.A., reported financial
information for all of the nondefeased loans in the pool, of which
76.7% was partial- or year-end 2015 data, and the remainder was
year-end 2014 data.
Excluding the two defeased loans, we calculated a 1.22x Standard &
Poor's weighted average DSC and 72.6% Standard & Poor's weighted
average loan-to-value ratio using a 7.43% Standard & Poor’s
weighted average capitalization rate for the pool.
To date, the transaction has experienced $3.4 million in principal
losses (0.3% of the original pool trust balance).
RATINGS LIST
Morgan Stanley Dean Witter Capital I Trust 2003-TOP9
Commercial mortgage pass-through certificates series 2003-TOP9
Rating
Class Identifier To From
H 61746WZM5 AAA (sf) BBB (sf)
J 61746WZN3 AA+ (sf) BBB- (sf)
K 61746WZP8 AA (sf) BB- (sf)
L 61746WZQ6 B+ (sf) B+ (sf)
M 61746WZR4 B (sf) B (sf)
N 61746WZS2 B- (sf) B- (sf)
MORGAN STANLEY 2006-XLF: Fitch Affirms 'Bsf' Rating on Cl. K Certs
------------------------------------------------------------------
Fitch Ratings has affirmed Morgan Stanley Capital I Inc. (MSC
2006-XLF) commercial mortgage pass-through certificates series
2006-XLF.
KEY RATING DRIVERS
Affirmations reflect stabilizing performance of the remaining loan
in the pool.
The remaining loan in the transaction is the ResortQuest Kauai, a
311-room full-service hotel located on a fee-simple beach-front
parcel of land in the city of Kapaa, along the east coast of the
island of Kauai, HI. The hotel was rebranded as the Courtyard by
Marriott Kauai at Coconut Beach subsequent to acquisition by the
current sponsor.
Performance of the hotel has continued to improve subsequent to the
rebranding and renovation of the hotel coupled with greater tourism
demand on the island. As of September 2015, year-to-date (YTD) net
operating income grew 17% to $4.4 million from $3.7 million at
year-end 2014. Performance is expected to improve albeit at a
slower pace as the hotel approaches stabilization.
For September 2015, the hotel achieved trailing 12 month (TTM)
occupancy, ADR, and RevPAR of 82.3%, $143.22, and $117.90,
respectively, compared to the prior year performance of 82.0%,
$132.81, and $108.87. Despite the improvement, the hotel continues
to trail its competitive set with reported TTM September 2015
occupancy, ADR, and RevPAR of 75.3%, $193.09 and $145.43. Also, the
hotel has yet to achieve the underwritten stabilized projections
for occupancy, ADR, and RevPAR of 81.1%, $165 and $134.
The property was sold in October 2010 and the note assumed for $38
million, which resulted in a $5.2 million realized loss to the
N-RQK non pooled rake bond. In conjunction with the sale, the loan
was modified with a maturity extension and the establishment of
capex and debt service reserves. New sponsorship contributed an
estimated $13 million to a recently completed renovation of the
hotel which included an expansive new lobby, updated meeting space,
family entertainment room and an expanded fitness center. The
sponsor exercised the modified loan's first extension option
through May 2017.
RATING SENSITIVITIES
The Stable Outlook is due to stabilizing performance of the hotel
and sufficient credit support from subordinate classes. The
Positive Outlook reflects the potential for upgrade should
performance continue to improve and align with stabilization
projections. Downgrades are unlikely unless there is an unexpected
sharp decline in performance. The classes with realized losses
will remain at 'D'.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch affirms these on these pooled certificates:
-- $22.1 million class J at 'BBBsf'; Outlook Stable;
-- $6.8 million class K at 'Bsf'; Outlook to Positive from
Stable;
-- $5.1 million class L at 'Dsf; RE 100%;
-- $0 million class M at 'Dsf; RE 0%.
Fitch affirms the ratings on these non-pooled component
certificates:
-- $4 million class N-RQK at 'Dsf'; RE 100%.
Classes A-1 through H, N-SDF, N-LAF and O-LAF have been paid in
full. The ratings of interest-only classes X-1 and X-2 were
previously withdrawn. Class M, currently rated 'Dsf'; RE 0%, is
being affirmed and has been reduced to zero due to realized losses.
Fitch does not rate the Class N-W40 certificates.
MORGAN STANLEY 2007-IQ13: Fitch Lowers Rating on Cl. G Certs to D
-----------------------------------------------------------------
Fitch Ratings has downgraded five and affirmed 12 classes of Morgan
Stanley Capital I Trust commercial mortgage pass-through
certificates series 2007-IQ13.
KEY RATING DRIVERS
The downgrade reflects higher expected losses on the pool primarily
driven by the recent sale of the St. Louis Mills Mall. Fitch
modeled losses of 16.4% of the remaining pool; expected losses on
the original pool balance total 15.5%, including $69 million (4.2%
of the original pool balance) in realized losses to date. Fitch
has designated 19 loans (32.4%) as Fitch Loans of Concern, which
includes six specially serviced assets (9.9%).
As of the February 2016 distribution date, the pool's aggregate
principal balance has been reduced by 31.2% to $1.13 billion from
$1.64 billion at issuance. Per the servicer reporting, 15 loans
(13.5% of the pool) are defeased. Interest shortfalls are
currently affecting classes D through G. 18.1% of the pool is
scheduled to mature in 2016 with an additional 80% maturing in
2017.
The largest contributor to expected losses is a 1.2 million square
foot (sf), outlet mall (6.9%) in Hazelwood, MO, a suburb of St.
Louis. The real estate owned (REO) asset has sold this month and
will be liquidated out of the trust with significant losses.
Performance of the mall has deteriorated as a result of increased
competition from two new outlet malls in nearby Chesterfield, MO
and the departure of numerous in-line tenants. The asset has been
REO since August 2012 and new competition has only precipitated the
decline in occupancy and sales. The most recently reported
occupancy as of year-end (YE) 2015 was 75% with in-line occupancy
less than 50%. According to the servicer, the loss will be
reflected in next month's remittance.
The next largest contributor to expected losses is the 75-101
Federal Street loan (18.6% of the pool), which is secured by a
class A office building comprising 811,687 sf in Boston's financial
district. As of September 2015, occupancy for the building
improved to 85% from 80% at YE 2014; however, net operating income
(NOI) remains insufficient to cover debt service with debt service
coverage ratio (DSCR) of 0.83x. Rockpoint Group acquired the
property in July 2015 and simultaneously assumed the debt.
Although losses were modeled on the loan, refinance and default
risk is mitigated by experienced sponsorship, strong loan
structural features and a central CBD location. According to Reis'
fourth quarter 2015 report, the Central Business District submarket
of Boston had a vacancy rate of 8.5% with asking rents of $56.92
psf. The subject property underperforms the submarket with respect
to occupancy and average in-place rents.
The third largest contributor to expected losses is a 92,486 sf
suburban office property (1.3%) located in Annapolis, MD. The
asset has been REO since October 2011. The largest tenant, which
represents 60.4% of the property, has renewed their lease with an
expansion of their space. As of February 2016, occupancy for the
property was 92%. According to the special servicer, the asset is
scheduled for auction this April.
RATING SENSITIVITIES
Rating Outlooks of classes A-1A through A-4 remain Stable due to
increasing credit enhancement and continued paydown of the classes.
The Negative Outlook reflects weaker credit metrics of the pool
coupled with refinance risk as loans approach maturity in 2017.
The distressed classes (those rated below 'B-sf') are subject to
further downgrades as losses are realized.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch downgrades these classes and assigns Rating Outlooks as
indicated:
-- $163.9 million class A-M to 'Asf' from 'AAsf'; Outlook
Negative;
-- $149.6 million class A-J to 'Csf' from 'CCCsf'; RE 60%;
-- $32.8 million class B to 'Csf' from 'CCCsf'; RE 0%;
-- $16.4 million class C to 'Csf' from 'CCsf'; RE 0%;
-- $10.9 million class G to 'Dsf' from 'Csf'; RE 0%.
Fitch affirms these classes as indicated:
-- $250 million class A-1A at 'AAAsf'; Outlook Stable;
-- $5.9 million class A-3 at 'AAAsf'; Outlook Stable;
-- $448.8 million class A-4 at 'AAAsf'; Outlook Stable;
-- $16.4 million class D at 'Csf'; RE 0%;
-- $14.3 million class E at 'Csf'; RE 0%;
-- $18.4 million class F at 'Csf'; 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%.
Fitch does not rate the class O and P certificates. Classes A-1
and A-2 have paid in full. Fitch previously withdrew the ratings
on the interest-only class X and X-Y certificates.
MORGAN STANLEY 2013-C9: Moody's Affirms Ba2 Rating on Cl. E Debt
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on 17 classes in
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9 as
follows:
Cl. A-2, Affirmed Aaa (sf); previously on Mar 12, 2015 Affirmed Aaa
(sf)
Cl. A-3, Affirmed Aaa (sf); previously on Mar 12, 2015 Affirmed Aaa
(sf)
Cl. A-3FL, Affirmed Aaa (sf); previously on Mar 12, 2015 Affirmed
Aaa (sf)
Cl. A-3FX, Affirmed Aaa (sf); previously on Mar 12, 2015 Affirmed
Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Mar 12, 2015 Affirmed Aaa
(sf)
Cl. A-S, Affirmed Aaa (sf); previously on Mar 12, 2015 Affirmed Aaa
(sf)
Cl. A-AB, Affirmed Aaa (sf); previously on Mar 12, 2015 Affirmed
Aaa (sf)
Cl. B, Affirmed Aa3 (sf); previously on Mar 12, 2015 Affirmed Aa3
(sf)
Cl. C, Affirmed A3 (sf); previously on Mar 12, 2015 Affirmed A3
(sf)
Cl. D, Affirmed Baa3 (sf); previously on Mar 12, 2015 Affirmed Baa3
(sf)
Cl. E, Affirmed Ba2 (sf); previously on Mar 12, 2015 Affirmed Ba2
(sf)
Cl. F, Affirmed Ba3 (sf); previously on Mar 12, 2015 Affirmed Ba3
(sf)
Cl. G, Affirmed B1 (sf); previously on Mar 12, 2015 Affirmed B1
(sf)
Cl. H, Affirmed B3 (sf); previously on Mar 12, 2015 Affirmed B3
(sf)
Cl. PST, Affirmed A1 (sf); previously on Mar 12, 2015 Affirmed A1
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on Mar 12, 2015 Affirmed Aaa
(sf)
Cl. X-B, Affirmed A2 (sf); previously on Mar 12, 2015 Affirmed A2
(sf)
RATINGS RATIONALE
The ratings on the 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 ratings on two exchangeable classes were affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of the classes with which they are exchangeable.
The ratings on two IO classes were affirmed based on the credit
performance (or the weighted average rating factor or WARF) of
their referenced classes.
Moody's rating action reflects a base expected loss of 2.1% of the
current balance, compared to 2.6% at Moody's last review. Moody's
base expected loss plus realized losses is now 1.9% of the original
pooled balance, compared to 2.6% 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 6% to $1.2 billion
from $1.28 billion at securitization. The certificates are
collateralized by 58 mortgage loans ranging in size from less than
1% to 13.8% of the pool, with the top ten loans constituting 60% of
the pool. One loan, constituting 13.8% of the pool, has a
structured investment-grade credit assessment.
Five loans, constituting 7% 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.
Moody's received full year 2014 operating results for 99% of the
pool, and full or partial year 2015 operating results for 75%.
Moody's weighted average conduit LTV is 98%, compared to 103% at
Moody's last review. Moody's conduit component excludes loans with
credit assessments, defeased and CTL loans, and specially serviced
and troubled loans. Moody's net cash flow (NCF) reflects a weighted
average haircut of 14% to the most recently available net operating
income (NOI). Moody's value reflects a weighted average
capitalization rate of 9.8%.
Moody's actual and stressed conduit DSCRs are 1.75X and 1.14X,
respectively, compared to 1.64X and 1.06X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The loan with a structured credit assessment is the Milford Plaza
Fee Loan ($165 million -- 13.8% of the pool), which is secured by
the ground leased fee underlying the Milford Plaza Hotel in
Manhattan's Times Square neighborhood. The Milford Plaza Hotel
consists of a 28-story full-service hotel with 1,331 guestrooms,
and recently underwent a renovation at a cost of approximately $154
million. The Milford Plaza Hotel is not contributed as collateral
for the Milford Plaza Fee Loan. This loan represents a
participation piece in a total $275 million loan. The other piece,
totaling $110 million, is held in MSBAM 2013-C10. Moody's
structured credit assessment is baa1 (sca.pd).
The top three conduit loans represent 28% of the pool balance. The
largest loan is the Colonnade Office Loan ($160 million -- 13% of
the pool), which is secured by a three-building Class A office
complex and attached parking structure located in Addison, TX. The
buildings contain approximately 1.05 million square feet (SF) of
office, storage and retail space. The property has undergone
approximately $7.5 million of capital improvements and now has LEED
Silver certification. Moody's LTV and stressed DSCR are 119% and
0.88X, respectively, the same as at the last review.
The second largest loan is the Ashford Hospitality Portfolio ($107
million -- 9% of the pool), which is secured by two full-service
hotels with a total of 969 rooms - the Renaissance Nashville in
Nashville, Tennessee and the Westin Princeton Forrestal in
Princeton, NJ. The Renaissance Nashville is located in the
Nashville central business district (CBD) and is contiguous to the
Nashville Convention Center. The Westin Princeton Forrestal is
situated near Princeton University in Princeton, New Jersey.
Property performance at the Renaissance Nashville increased
substantially in 2015 compared to 2014. Moody's LTV and stressed
DSCR are 70% and 1.72X, respectively, compared to 86% and 1.38X at
the last review.
The third largest loan is the Dartmouth Mall Loan ($64 million --
5% of the pool), which is secured by an approximately 531,000 SF
component of a 671,000 SF regional mall in Dartmouth,
Massachusetts. The property is anchored by Macy's, Sears, J. C.
Penney and a 12-screen AMC theater. The Macy's is not part of the
collateral. Moody's LTV and stressed DSCR are 106% and 1.02X,
respectively, compared to 113% and 0.96X at the last review.
MORGAN STANLEY 2014-C15: DBRS Confirms BB(sf) Rating on Cl. F Debt
------------------------------------------------------------------
DBRS Limited confirmed the Commercial Mortgage Pass-Through
Certificates, Series 2014-C15, issued by Morgan Stanley Bank of
America Merrill Lynch Trust 2014-C15 as follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class X-C at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (sf)
-- Class PST at A (high) (sf)
-- Class C at A (high) (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
-- Class G at BB (low) (sf)
-- Class H at B (low) (sf)
All trends are Stable. DBRS does not rate the first loss piece,
Class J.
The rating confirmations reflect the current performance of the
pool, which is stable from issuance, with cash flows remaining
generally in line with the DBRS underwritten (UW) levels. The
collateral consists of 48 fixed-rate loans secured by 76 commercial
properties. At issuance, the transaction had a DBRS
weighted-average (WA) debt service coverage ratio (DSCR) and a DBRS
WA debt yield of 1.75 times (x) and 10.4%, respectively. As of
February 2016 remittance, 31 loans (79.0% of the pool) reported
YE2014 cash flows, while all loans are reporting YTD 2015 cash
flows (most of which are as of Q3 2015) and a few loans are
reporting full YE2015 figures. Based on the 2015 cash flows for the
Top 15 loans, the WA amortizing DSCR was 2.14x, with WA net cash
flow growth over the respective DBRS UW figures of approximately
15.7%. All 48 loans remain in the pool, with an aggregate balance
of $916 million, representing collateral reduction of approximately
1.3% since issuance as a result of scheduled loan amortization. The
transaction benefits from a high concentration of loans secured by
properties within urban and suburban markets, representing 28.6%
and 61.2% of the pool, respectively. The transaction is
concentrated by loan size, with the largest loan and largest ten
loans representing 14.1% and 66.7% of the current pool balance,
respectively. Additionally, the transaction is somewhat
concentrated by property type as four loans, representing 22.5% of
the current pool balance, are secured by hotel properties, all of
which are among the Top 15 loans.
As of the February 2016 remittance, there is one loan in special
servicing and three loans on the servicer's watchlist, representing
1.0% and a combined 16.2% of the pool, respectively. DBRS will
highlight the specially-serviced loan, Campus Court (Prospectus
ID#23, 1.0% of the pool) and the largest watchlisted loan in
Arundel Mills & Marketplace (Prospectus ID#1, 14.1% of the pool),
below.
The Campus Court loan is secured by a 198-unit, garden-style,
student housing property located in Bloomington, Indiana. The
property was constructed in 1974 and was acquired by the current
sponsor (GEM Realty Capital) in 2007. The sponsor completed a large
renovation of the property upon acquisition in 2007, which included
the addition of 52 one©\bedroom units, a clubhouse, a pool, a
fitness center and the conversion of 58 of the
two(C)\bedroom/one(C)\bath units into two(C)\bedroom/two(C)\bath
configurations. The property serves the student body of Indiana
University (IU) and is situated less than 0.5 miles from campus.
Although in relatively close proximity to the campus edge, the
property is situated approximately 2.0 miles from the highest
concentration of lecture halls located at the southern end of the
campus, minimizing the convenience for students walking to and from
class.
While rental rates remain comparable with the subject's rates at
issuance, occupancy has since deteriorated. Prior to
securitization, the subject's annual occupancy rate fluctuated from
86.0% to 97.7%, between 2010 and 2013; however, it has not achieved
occupancy above 90.0% since 2011. In July 2013, the university
completed the Rose Avenue Residence Hall, providing 450 additional
beds on-campus prior to the 2013 C2014 fall semester. IU currently
houses 12 on-campus student-resident centers and 11 on-campus
apartments, with a new student-residence development, North Hall,
expected to add 700 beds to the on-campus supply as of August 2016.
In addition to the new on-campus supply, the servicer reports that
the university has also renovated older dormitories on campus.
According to the July 2015 appraisal report obtained by the special
servicer, on-campus dormitories and apartments have historically
operated above 98.0% occupancy. Off-campus, six new developments
have come online since the fall of 2012, the most recent being the
Collegiate on Patterson and the Gateway Building, which were
completed in July 2014 and July 2015, respectively. These
properties are located closer to the heart of campus and offer
superior amenity packages than the subject property. As a result of
these campus and off-campus projects that increased overall market
availability, most of which is superior to the subject in amenities
and location, the property management was unable to backfill the
lost leases in time for the 2014 C2015 school year. Consequently,
occupancy fell to 81.0% as of YE2014. The loan was subsequently
placed on the servicer's watchlist due to a low YE2014 DSCR of
0.83x, and the loan was later transferred to the special servicer
in June 2015 due to payment default. The loan is currently due for
April 2015 and all subsequent payments due thereafter.
As of September 2015, occupancy further eroded to 72.7%, as the
property's mismanagement continued. In the July 2015 appraisal
report, the appraiser noted six comparable properties built between
1963 and 2007, which had a WA occupancy rate of 89.4%, with rental
rates ranging from $310 to $885 per unit, compared to the subject's
$513 per unit. The appraiser estimates that the subject property
can be expected to stabilize (implying a 94.0% occupancy rate) in
24 months by the start of the 2017 C2018 school year, given the
continual increase of enrollment at IU. Enrollment for the 2014
C2015 fall semester totaled 46,416 students, representing a 25.0%
and 8.5% growth from 2000 and 2010, respectively.
According to the servicer, the borrower has no plan or means to
cure the default. As of August 24, 2015, a receiver and a new
property management company were installed by the special servicer,
implementing an aggressive marketing campaign to lease up the
property by increasing advertising and lowering rental rates.
According to the servicer, two liquidation strategies are currently
being considered, including an option to market the property
'(R)As-Is' in Q2 2016 for an estimated asking price at the
appraiser's '(R)As-Is' value of $10.98 million, or to market the
property '(R)As-Is Stabilized' in or around Q4 2017 for an
estimated asking price at the appraiser's '(R)As-Is' value of
$12.40 million. These values compare with the December 2013
appraised value of $16.0 million, which was the provided value at
issuance. The implied LTV on the '(R)As-Is' value is 106.6%, as
based on the current trust balance and all outstanding advances.
The servicer is expected to provide a strategy update in the near
future. As of Q3 2015, the loan had an annualized DSCR of 0.78x, as
compared to the DBRS UW figure of 1.23x. Given the property's
recent occupancy issues in the face of new, more attractive supply,
the sharp value decline since issuance and current outstanding
advances of $616,624, DBRS anticipates the loss severity at
disposition could exceed 30.0%.
The Arundel Mills & Marketplace loan is secured by a 1.7 million sf
super-regional mall developed between 2001 through 2002 and located
in Hanover, Maryland, approximately 12 miles southwest of
Baltimore. The property includes a traditional concept enclosed
mall (Arundel Mills) with an adjacent single-story power center
(Arundel Mills Marketplace). The loan represents the $150.0 million
A-1 note (controlling), while the $145 million A-2 and $90 million
A-3 pieces were contributed to the MSBAM 2014-C16 and JPMBB
2014-C19 transactions. The loan was placed on the servicer's
watchlist in July 2015 as a result of near-term lease expirations
for three tenants: Burlington Coat Factory (4.9% of the NRA on a
lease that was scheduled to expire in January 2016), Dave &
Buster's (3.8% of the NRA on a lease that was scheduled to expire
in November 2015) and T.J. Maxx (2.1% of the NRA on a lease that
was scheduled to expire in January 2016). These three tenants,
cumulatively representing 10.8% of the NRA, have all signed new
leases extending through January 2021, November 2021 and January
2021, respectively. According to the June 2015 rent roll, the
property was 99.5% occupied, in line with issuance. The three
largest tenants include Maryland Live! Casino (15.7% of the NRA
operating on a ground lease through June 2011), Bass Pro Shops
Outdoor World (Bass Pro; 7.7% of the NRA through October 2016) and
Cinemark (6.5% of the NRA through January 2020). DBRS has requested
a leasing update for Bass Pro, as well as updated tenant sales
information from the servicer, and is awaiting that information as
of the date of this press release. At issuance, sales from
retailers grossed over $475 million; including the casino, total
revenues generated exceeded $1.0 billion. As of Q3 2015, the loan
had a DSCR and debt yield of 2.86x and 12.2%, respectively,
comparing favorably with the DBRS UW figures of 2.75x and 11.8%,
respectively.
At issuance, DBRS shadow-rated both the Arundel Mills & Marketplace
loan and the JW Marriott and Fairfield Inn & Suites
investment-grade. DBRS confirms that the performance of both loans
remains consistent with investment-grade loan characteristics.
MSCI 2016-UBS9: Fitch Assigns Final BB- Rating to Class E Debt
--------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to Morgan Stanley Capital I Trust's MSCI 2016-UBS9
commercial mortgage pass-through certificates:
-- $29,800,000 class A-1 'AAAsf'; Outlook Stable;
-- $73,500,000 class A-2 'AAAsf'; Outlook Stable;
-- $46,100,000 class A-SB 'AAAsf'; Outlook Stable;
-- $125,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $192,226,000 class A-4 'AAAsf'; Outlook Stable;
-- $466,626,000b class X-A 'AAAsf'; Outlook Stable;
-- $87,493,000b class X-B 'AA-sf'; Outlook Stable;
-- $47,496,000 class A-S 'AAAsf'; Outlook Stable;
-- $39,997,000 class B 'AA-sf'; Outlook Stable;
-- $29,997,000 class C 'A-sf'; Outlook Stable;
-- $34,164,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $14,999,000ab class X-E 'BB-sf'; Outlook Stable;
-- $34,164,000a class D 'BBB-sf'; Outlook Stable;
-- $14,999,000a class E 'BB-sf'; Outlook Stable;
-- $6,666,000a class F 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
Fitch does not rate the interest-only $13,332,000a class X-FG,
interest-only $19,998,197a class X-H, $6,666,000a class G or the
$19,998,197a class H certificates.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 31 loans secured by 222
commercial properties having an aggregate principal balance of
approximately $666.6 million as of the cutoff date. The loans were
contributed to the trust by UBS Real Estate Securities Inc., Morgan
Stanley Mortgage Capital Holdings LLC and Bank of America, National
Association.
Fitch reviewed a comprehensive sample of the transaction's
collateral including site inspections on 81.1% of the properties by
balance, cash flow analysis of 94.3%, and asset summary reviews on
100% of the pool.
KEY RATING DRIVERS
Low Fitch Leverage: The transaction has lower leverage than other
Fitch-rated transactions. This pool's Fitch debt service coverage
ratio (DSCR) of 1.23x and loan to value (LTV) of 99.7% are better
than the 2015 averages of 1.18x, and 109.3%, respectively.
Excluding the credit-opinion GLP Industrial Portfolio B loan (8.4%
of the pool), the Fitch DSCR and Fitch LTV are 1.20x and 103.6%,
respectively.
High Pool Concentration: The pool is significantly more
concentrated than other recent Fitch-rated multiborrower
transactions. The top 10 loans comprise 68.9% of the pool, higher
than the 2015 average of 49.3%. The pool's loan concentration index
(LCI) of 575 is greater than the 2015 average of 367.
Investment-Grade Credit Opinion Loan: One loan, GLP Industrial
Portfolio B (8.4% of the pool), has an investment-grade credit
opinion of 'A+sf' on a stand-alone basis. The loan is secured by
142 industrial properties across 11 states in 13 markets. The
sponsor is Global Logistics Properties, Ltd., which is currently
rated 'BBB+' by Fitch. Excluding the credit opinion GLP Industrial
Portfolio B loan, Fitch's implied conduit subordination at the
junior 'AAAsf' tranche is approximately 25% and approximately 7.9%
at 'BBB-sf'.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 12.5% 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 MSCI
2016-UBS9 certificates and found that the transaction displays
below-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 ' AA-sf' could result. In a
more severe scenario, in which NCF declined a further 30% from
Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to '
A-sf' could result. The presale report includes a detailed
explanation of additional stresses and sensitivities on page 10.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from
KPMG 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 of
the 31 mortgage loans. Fitch considered this information in its
analysis and the findings did not have an impact on its analysis.
PREFERRED TERM XIX: Moody's Raises Rating on Cl. C Notes to 'B3'
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on these notes
issued by Preferred Term Securities XIX, Ltd.:
$385,300,000 Floating Rate Class A-1 Senior Notes Due 2035
(current balance of $251,037,207), Upgraded to Aa2 (sf);
previously on April 14, 2015 Upgraded to Aa3 (sf)
$98,100,000 Floating Rate Class A-2 Senior Notes Due 2035
(current balance of $92,822,257), Upgraded to A1 (sf);
previously on April 14, 2015, Upgraded to A2 (sf)
$87,600,000 Floating Rate Class B Mezzanine Notes Due 2035
(current balance of $82,887,153), Upgraded to Baa3 (sf);
previously on April 14, 2015, Upgraded to Ba1 (sf)
$82,800,000 Floating Rate Class C Mezzanine Notes Due 2035
(current balance including interest shortfall of $89,264,304),
Upgraded to B3 (sf); previously on April 14, 2015, Upgraded to
Caa3 (sf)
Moody's also affirmed the rating on these notes issued by PreTSL
Combination Trust 1:
$15,200,000 Combination Certificates, Series P XIX-1 due
Dec. 22, 2035, (current Moody's Ratable Balance of $7,873,203),
Affirmed Aaa (sf); previously on July 25, 2014, Upgraded to
Aaa (sf)
Preferred Term Securities XIX, Ltd., issued in September 2005, is a
collateralized debt obligation backed by a portfolio of bank and
insurance trust preferred securities (TruPS).
RATINGS RATIONALE
The rating actions are primarily a result of an increase in the
transaction's over-collateralization (OC) ratios because of
deleveraging, resumption of interest payments by previously
deferring assets and treatment of certain assets as performing, as
well as partial repayment of the Class C notes' deferred interest
balance since April 2015.
The Class A-1 notes have paid down by approximately 2.7% or $7.0
million since April, using principal proceeds from the redemption
of the underlying assets and the diversion of excess interest
proceeds. The deal also repaid the Class A-2 and Class B notes by
$2.0 million from excess interest proceeds. In addition, Moody's
gave full par credit in its analysis to four deferring assets that
meet certain criteria, totaling $34.0 million in par. Compared to
April 2015, the OC ratios by Moody's calculations have improved to
211.2% from 194.6% for the Class A-1 notes, to 154.2% from 142.7%
for the Class A-2 notes, to 124.3% from 115.2% for the Class B
notes, and to 102.8% from 95.4% for the Class C notes.
Based on the trustee's December 2015 report, the Class B OC ratio,
at 116.3%, was passing the trigger of 115.0%, therefore excess
interest was used to pay $2.1 million of the Class C notes'
cumulative deferred interest balance. Once the Class C notes'
deferred interest balance is reduced to zero, the Class A-1, A-2,
B, and C notes will benefit from the pro rata diversion of excess
interest as long as the Class C OC test continues to fail.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the
underlying collateral pool has having a performing par (after
treating deferring securities as performing if they meet certain
criteria) of $530.2 million, defaulted and deferring par of $29.0
million, a weighted average default probability of 10.94% (implying
a WARF of 1004), and a weighted average recovery rate upon default
of 10.0%. In addition to the quantitative factors Moody's
explicitly models, qualitative factors are part of rating committee
considerations. Moody's considers the structural protections in
the transaction, the risk of an event of default, recent deal
performance under current market conditions, the legal environment
and specific documentation features. All information available to
rating committees, including macroeconomic forecasts, inputs from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
Methodology Underlying the Rating Action
The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs," published in June 2014.
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: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in
the general economy. Moody's has a stable outlook on the US
banking sector. Moody's maintains its stable outlook on the
US insurance sector.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's
current expectations could have a positive impact on the
transaction's performance. Conversely, asset credit
performance weaker than Moody's current expectations could
have adverse consequences on the transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction
is whether deleveraging from unscheduled principal proceeds
and excess interest proceeds will continue and at what pace.
Note repayments that are faster than Moody's current
expectations could have a positive impact on the notes'
ratings, beginning with the notes with the highest payment
priority.
4) Resumption of interest payments by deferring assets: A number
of banks have resumed making interest payments on their
TruPS. The timing and amount of deferral cures could have
significant positive impact on the transaction's over-
collateralization ratios and the ratings on the notes.
5) Exposure to non-publicly rated assets: The deal contains a
large number of securities whose default probability Moody's
assesses through credit scores derived using RiskCalc or
credit estimates. Because these are not public ratings, they
are subject to additional uncertainties.
Loss and Cash Flow Analysis:
Moody's applied a Monte Carlo simulation framework in Moody's
CDOROM to model the loss distribution for TruPS CDOs. The
simulated defaults and recoveries for each of the Monte Carlo
scenarios defined the reference pool's loss distribution. Moody's
then used the loss distribution as an input in its CDOEdge cash
flow model. CDOROM is available on www.moodys.com under Products
and Solutions -- Analytical models, upon receipt of a signed free
license agreement.
The portfolio of this CDO contains mainly TruPS issued by small to
medium sized U.S. community banks and insurance companies that
Moody's does not rate publicly. To evaluate the credit quality of
bank TruPS that do not have public ratings, Moody's uses RiskCalc,
an econometric model developed by Moody's Analytics, to derive
credit scores. Moody's evaluation of the credit risk of most of
the bank obligors in the pool relies on the latest FDIC financial
data. For insurance TruPS that do not have public ratings, Moody's
relies on the assessment of its Insurance team, based on the credit
analysis of the underlying insurance firms' annual statutory
financial reports.
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):
Assuming a two-notch upgrade to assets with below-investment grade
ratings or rating estimates (WARF of 611)
Class A-1: +1
Class A-2: +2
Class B: +3
Class C: +3
Series P XIX-1: 0
Assuming a two-notch downgrade to assets with below-investment
grade ratings or rating estimates (WARF of 1558)
Class A-1: -1
Class A-2: -2
Class B: -3
Class C: -3
Series P XIX-1: 0
RBSCF TRUST 2010-RR4: Moody's Affirms Ba1 Rating on Cl. MSC-B2 Debt
-------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on the following
certificates (the "Certificates") issued by RBSCF Trust 2010-RR4:
Group CMLT Certificates :
Cl. CMLT-A, Affirmed Aaa (sf); previously on May 23, 2014 Affirmed
Aaa (sf)
Cl. CMLT-A1, Affirmed Aaa (sf); previously on May 23, 2014 Affirmed
Aaa (sf)
Cl. CMLT-A2, Affirmed Aaa (sf); previously on May 23, 2014 Affirmed
Aaa (sf)
Cl. CMLT-A3, Affirmed Aaa (sf); previously on May 23, 2014 Affirmed
Aaa (sf)
Cl. CMLT-A4, Affirmed Aaa (sf); previously on May 23, 2014 Affirmed
Aaa (sf)
Cl. CMLT-A5, Affirmed Aaa (sf); previously on May 23, 2014 Affirmed
Aaa (sf)
Cl. CMLT-B, Affirmed A1 (sf); previously on May 23, 2014 Affirmed
A1 (sf)
Cl. CMLT-B1, Affirmed Aa3 (sf); previously on May 23, 2014 Affirmed
Aa3 (sf)
Cl. CMLT-B2, Affirmed A1 (sf); previously on May 23, 2014 Affirmed
A1 (sf)
Group MSC Certificates:
Cl. MSC-A, Affirmed Aaa (sf); previously on Apr 3, 2015 Affirmed
Aaa (sf)
Cl. MSC-A1, Affirmed Aaa (sf); previously on Apr 3, 2015 Affirmed
Aaa (sf)
Cl. MSC-A2, Affirmed Aaa (sf); previously on Apr 3, 2015 Affirmed
Aaa (sf)
Cl. MSC-A3, Affirmed Aaa (sf); previously on Apr 3, 2015 Affirmed
Aaa (sf)
Cl. MSC-A4, Affirmed Aaa (sf); previously on Apr 3, 2015 Affirmed
Aaa (sf)
Cl. MSC-A5, Affirmed Aaa (sf); previously on Apr 3, 2015 Affirmed
Aaa (sf)
Cl. MSC-B, Affirmed Baa3 (sf); previously on Apr 3, 2015 Affirmed
Baa3 (sf)
Cl. MSC-B1, Affirmed A1 (sf); previously on Apr 3, 2015 Affirmed A1
(sf)
Cl. MSC-B2, Affirmed Ba1 (sf); previously on Apr 3, 2015 Affirmed
Ba1 (sf)
Group WBCMT Certificates:
Cl. WBCMT-A, Affirmed Aaa (sf); previously on May 23, 2014 Affirmed
Aaa (sf)
Cl. WBCMT-A1, Affirmed Aaa (sf); previously on May 23, 2014
Affirmed Aaa (sf)
Cl. WBCMT-A2, Affirmed Aaa (sf); previously on May 23, 2014
Affirmed Aaa (sf)
Cl. WBCMT-A3, Affirmed Aaa (sf); previously on May 23, 2014
Affirmed Aaa (sf)
Cl. WBCMT-A4, Affirmed Aaa (sf); previously on May 23, 2014
Affirmed Aaa (sf)
Cl. WBCMT-A5, Affirmed Aaa (sf); previously on May 23, 2014
Affirmed Aaa (sf)
Cl. WBCMT-B, Affirmed Aa1 (sf); previously on May 23, 2014 Upgraded
to Aa1 (sf)
Cl. WBCMT-B1, Affirmed Aaa (sf); previously on May 23, 2014
Upgraded to Aaa (sf)
Cl. WBCMT-B2, Affirmed Aa2 (sf); previously on May 23, 2014
Upgraded to Aa2 (sf)
RATINGS RATIONALE
Moody's has affirmed the ratings on twenty-seven classes of
certificates because the key transaction metrics are commensurate
with the existing ratings. The rating action is the result of
Moody's on-going surveillance of commercial real estate
resecuritization (CRE Non-Pooled Re-Remic) transactions.
RBSCF Trust 2010-RR4 is a non-pooled Re-Remic pass through trust
("Resecuritization") backed by four ring-fenced commercial mortgage
backed securities (CMBS) certificates (collectively the "Underlying
Certificates"): the Group WBCMT Certificates are backed by $52.49
million, or 5.12% of the aggregate class principal balance, of the
super senior Class A-4 issued by Wachovia Bank Commercial Mortgage
Trust, Commercial Mortgage Pass-Through Certificates, Series
2007-C31 (the "Underlying WBCMT Certificate"); the Group CMLT
Certificates are backed by $158.3 million, or 28.97% of the
aggregate class principal balance, of the super senior Class A-4B
issued by Commercial Mortgage Loan Trust 2008-LS1, Commercial
Mortgage Pass-Through Certificates, Series 2008-LS1 (the
"Underlying CMLT Certificate"); the Group CSMC Certificates are
backed by $51.27 million, or 7.08% of the aggregate class principal
balance, of the super senior Class A-4 issued by Credit Suisse
Commercial Mortgage Trust Series 2007-C5, Commercial Mortgage
Pass-Through Certificates, Series 2007-C5 (the "Underlying CSMC
Certificates"); and the Group MSC Certificates are backed by $45.09
million, or 4.24% of the aggregate class principal balance, of the
super senior Class A-4 issued by Morgan Stanley Capital I Trust
2007-IQ14, Commercial Mortgage Pass-Through Certificates, Series
2007-IQ14 (the "Underlying MSC Certificate"). The Underlying
Certificates are backed by fixed-rate mortgage loans secured by
first liens on commercial and multifamily properties.
Moody's has affirmed the rating of the Underlying WBCMT Certificate
on January 28, 2016. The rating action reflected a cumulative base
expected loss of 8.7% of the current balance, compared to 9.8% as
of the last review for the underlying transaction. Please see
Moody's press release for more details.
Moody's has affirmed the rating of the Underlying CMLT Certificate
on November 24, 2015. The rating action reflected a cumulative base
expected loss of 19.5% of the current balance, compared to 18.9% as
of the last review for the underlying transaction. Please see
Moody's press release for more details.
Moody's has affirmed the rating of the Underlying MSC Certificate
on February 25, 2016. The rating action reflected a cumulative base
expected loss of 11.3% of the current balance, compared to 11.9% as
of the last review for the underlying transaction. Please see
Moody's press release for more details.
Updates to key parameters, including the constant default rate
(CDR), the constant prepayment rate (CPR), the weighted average
life (WAL), and the weighted average recovery rate (WARR), did not
materially change the expected loss estimate of the resecuritized
classes.
REALT 2007-1as: DBRS Confirms 'BB' Rating on Class F Debt
---------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2007-1 issued by Real Estate
Asset Liquidity Trust (REALT), Series 2007-1as follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class XC-1 at AAA (sf)
-- Class XC-2 at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Classes D-1 at BBB (sf)
-- Classes D-2 at BBB (sf)
-- Classes E-1 at BBB (low) (sf)
-- Classes E-2 at BBB (low) (sf)
-- Class F at BB (high) (sf)
-- Class G at BB (sf)
-- Class H at BB (low) (sf)
-- Class J at B (high) (sf)
-- Class K at B (sf)
-- Class L at B (low) (sf)
DBRS has changed the trend from Stable to Negative for Classes J, K
and L, to reflect the increased risks for the pool discussed
herein. All remaining trends are Stable.
The pool exhibits overall stable performance since closing, with
the February 2016 remittance showing 55 loans remain in the pool
with an aggregate outstanding principal balance of $330.2 million,
representing a collateral reduction of 35.8% since issuance. There
are three defeased loans, representing 7.5% of the pool balance, as
well. There are nine loans scheduled to mature in 2016,
representing 11.1% of the current pool balance. The bulk of the
remaining loans are scheduled to mature in 2017. Loans representing
89.6% of the current pool balance are reporting YE2014 financials,
and based on those figures, the top 15 non-defeased loans reported
a weighted-average (WA) amortizing debt service coverage ratio
(DSCR) of 1.46 times (x), a WA DBRS refinance DSCR of 1.50x, with
WA debt yield and exit debt yield of 11.7% and 12.0%, respectively.
Although the bulk of the transaction is exhibiting healthy metrics
in close proximity to the respective maturity dates, there are five
loans, representing 10.3% of the pool with a DBRS refinance DSCR
below 1.0x, implying that a refinance by the scheduled maturity
dates could be difficult without cash flow improvements over the
near term.
DBRS maintains investment-grade shadow ratings on two loans in this
transaction, which are also the largest two loans in the pool,
representing 22.1% of the current pool balance. DBRS has today
confirmed that the performance of these loans remains consistent
with investment-grade characteristics.
As of the February 2016 remittance, there are eight loans on the
servicer’s watchlist, representing 13.8% of the current pool
balance, four of which represent less than 1.0% of the pool. There
are no loans in special servicing. The largest watchlisted loan and
a loan in the top 15 are highlighted below.
The Sundance Pooled Interest Loan (Prospectus ID#5, 7.1% of the
current pool balance) is a pari passu loan secured by a four-storey
Class A office building, a 7,000 square foot (sf) restaurant pad
and a gas bar, all located on the same commercial parcel in
southern Calgary, approximately 20 kilometres south of the downtown
core. The property is located within the same office campus as
three other Sundance properties, all of which are owned by the same
sponsor, Strategic Group. This loan was added to the watchlist in
December 2014 because occupancy declined to 29.3% after the former
largest tenant, WorleyParsons Limited (WorleyParsons), vacated the
majority of its space in November 2014, ahead of its original lease
expiration of September 2016. WorleyParsons retained only 0.5% of
the net rentable area (NRA) on a lease through May 2015 at a
reduced rental rate from $22 per square foot (psf) to $20 psf.
Cattlebaron Investments Limited is the sole tenant of the
restaurant pad, representing 4.0% of the NRA with a lease scheduled
to expire in November 2018.
Following the departure of WorleyParsons, in 2015 part of its
former space in the entire third and fourth floors of the building
were leased to Fluor Canada Limited (Fluor) representing 48.8% of
the NRA on a lease through October 2016. Fluor was paying $25 psf
for the third floor and $5 psf for the fourth floor. With this
lease signing, the property was 53.3% occupied as of the October
2015 rent roll; however, the rent roll also showed that the Fluor
lease had been amended to reflect a new lease expiry for the
third-floor space to November 2015, with the original October 2016
expiry for the fourth floor and the originally low rental rate
retained. It appears that the tenant is no longer in occupancy at
the property as of March 2016. DBRS has asked the servicer to
confirm and is awaiting confirmation. According to Avison Young,
Calgary’s suburban south submarket had an overall vacancy rate of
15.8% at Q4 2015 (up from 11.0% at Q1 2015), with Class A
properties averaging 16.7% vacancy (up from 13.0% at Q1 2015).
Altus Insite (Altus) lists approximately 168,000 sf of space at the
subject property (95.9% of the NRA) as available across all four
storeys of the building as of March 2016. The borrower has been
actively marketing the space and has advised the servicer that
potential leasing traffic has been healthy, with tenants touring
the property that have been looking for various amounts of space
that generally range between 8,000 sf to 80,000 sf. Although no
leases have been signed to date, the interest in the property is a
positive sign, particularly when combined with the fact that
occupancy is strong at the other office buildings located within
the Sundance development
This loan has partial recourse to the sponsor, capped at $15
million for the whole loan, $7.5 million of which is attributable
to the trust. The sponsor is considered a seasoned real estate
professional with considerable experience in the Alberta market
whose current portfolio consists of over 111 commercial and
residential properties located in Alberta, British Columbia, New
Brunswick and Nova Scotia. The borrower’s recently reported net
worth is consistent with previously stated figures that show net
worth well in excess of the recourse liability. Additionally, as
the servicer advises that the sponsor is currently working on
multiple development projects, there is incentive to fulfill the
obligations on this loan to ensure future financing opportunity for
those projects. Although these mitigants provide comfort, DBRS does
recognize the increased risk associated with the declining energy
markets and the effect on the Calgary real estate markets and has
modelled the loan based on a stressed net cash flow figure to
inflate the credit enhancement levels across all rating categories.
The Rockyview Professional Centre loan (Prospectus ID#11, 2.6% of
the current pool balance) is secured by a 69,000 sf medical office
building in Calgary, located less than eight kilometres south of
the central business district. According to the March 2015 rent
roll, the property was 71.5% occupied with tenants representing
29.9% of NRA, including the largest tenant, Ent Associates (11.1%
of the NRA), which have leases scheduled to expire in 2016. The
lease for Ent Associates is scheduled to expire in June 2016. DBRS
does not expect the tenant to renew as Altus reported the
tenant’s space as available as of March 2016. In total, Altus
reported 16,500 sf of space (23.9% of NRA) as available at the
property, indicating some leasing activity may have occurred since
the time of the rent roll on file. According to the YE2014
financials, the amortizing DSCR was at 1.25x, which is an
improvement from YE2013 DSCR of 1.01x and YE2012 DSCR of 0.85x.
This loan has partial recourse of $2 million guaranteed by the
sponsor, Northwest Healthcare Properties REIT, one of the largest
owner/operators of medical office buildings in Western Canada.
Although the experienced sponsor in place with partial recourse
provides cushion against the near-term refinance risk, DBRS
modelled the loan with a stressed cash flow to account for the
uncertainty surrounding the current occupancy and near-term
rollover at the property in advance of the scheduled maturity
date.
RENAISSANCE HOME: Moody's Takes Action on $109MM Subprime RMBS
--------------------------------------------------------------
Moody's Investors Service, on March 7, 2016, upgraded the ratings
of five tranches from two transactions and downgraded the rating of
two tranches from one transaction issued by Renaissance, backed by
Subprime mortgage loans.
Complete rating actions are:
Issuer: Renaissance Home Equity Loan Trust 2004-4
Cl. MV-1, Upgraded to B1 (sf); previously on June 10, 2013,
Downgraded to B3 (sf)
Issuer: Renaissance Home Equity Loan Trust 2005-2
Cl. AV-3, Upgraded to Ba1 (sf); previously on May 9, 2014,
Downgraded to Ba2 (sf)
Cl. AF-4, Upgraded to Ba1 (sf); previously on June 10, 2013,
Confirmed at Ba3 (sf)
Cl. AF-5, Upgraded to Ba2 (sf); previously on June 10, 2013,
Confirmed at Ba3 (sf)
Cl. AF-6, Upgraded to Ba1 (sf); previously on June 10, 2013,
Confirmed at Ba2 (sf)
Issuer: Renaissance Home Equity Loan Trust 2007-3
Cl. AV-2, Downgraded to C (sf); previously on May 9, 2014,
Downgraded to Caa3 (sf)
Cl. AV-3, Downgraded to C (sf); previously on May 9, 2014,
Downgraded to Caa3 (sf)
RATINGS RATIONALE
Class MV-1 of Renaissance Home Equity Loan Trust 2004-4 and Class
AV-3, Class AF-4, Class AF-5 & Class AF-6 of Renaissance Home
Equity Loan Trust 2005-2 have been upgraded due to improving
performance of the related pools. Class AV-2 and Class AV-3 of
Renaissance Home Equity Loan Trust 2007-3 have been downgraded due
to the structural feature of the transaction where losses are not
allocated to senior tranches when there is not enough collateral to
fully support the tranches. Hence, as principal payments come in
over time yet senior tranches are not written down to reflect the
lower collateral balances, the amount of the bonds that remain
unpaid at maturity will constitute a higher percentage of the
outstanding bond balances.
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 February 2016 from 5.5% in
February 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.
RFC CDO 2006-1: Moody’s Affirms C Ratings on 5 Tranches
---------------------------------------------------------
Moody's Investors Service has upgraded the rating on the following
notes issued by RFC CDO 2006-1, Ltd.:
Cl. A-2 Notes, Upgraded to Aaa (sf); previously on May 7, 2015
Upgraded to A1 (sf)
Moody's has also affirmed the ratings on the following notes:
Cl. B Notes, Affirmed Caa1 (sf); previously on May 7, 2015 Affirmed
Caa1 (sf)
Cl. C Notes, Affirmed Caa2 (sf); previously on May 7, 2015 Affirmed
Caa2 (sf)
Cl. D Notes, Affirmed Ca (sf); previously on May 7, 2015 Affirmed
Ca (sf)
Cl. E Notes, Affirmed C (sf); previously on May 7, 2015 Affirmed C
(sf)
Cl. F Notes, Affirmed C (sf); previously on May 7, 2015 Affirmed C
(sf)
Cl. G Notes, Affirmed C (sf); previously on May 7, 2015 Affirmed C
(sf)
Cl. J Notes, Affirmed C (sf); previously on May 7, 2015 Affirmed C
(sf)
Cl. K Notes, Affirmed C (sf); previously on May 7, 2015 Affirmed C
(sf)
RATINGS RATIONALE
Moody's has upgraded the rating of one class of notes due to an
improvement of the intra-distribution of high investment grade
collateral in the matter of approximately 22% from 6% at last
review and as evidenced by the weighted average rating factor
(WARF). Additionally, other key credit parameters of the collateral
pool are stable as evidenced by the weighted average recovery rate
(WARR). Moody's has also affirmed the ratings of eight classes
because key transaction metrics are commensurate with the existing
ratings. The rating action is the result of Moody's on-going
surveillance of commercial real estate collateralized debt
obligation and collateralized loan obligation (CRE CDO CLO)
transactions.
RFC CDO 2006-1 is a currently static cash transaction backed by a
portfolio of: i) b-note debt (30.4% of collateral pool balance);
ii) commercial mortgage backed securities (CMBS) (26.5%); iii)
mezzanine interests (21.8%); and iv) a-note debt (21.3%). As of the
February 25, 2016 trustee report, the aggregate note balance of the
transaction, including preferred shares, has decreased to $194.5
million from $198.8 million at last review, with the pay-down
directed to the senior most class of notes outstanding, as a result
of the combination of principal repayment of collateral, resolution
and sales of impaired collateral, and the failing of certain par
value tests. Currently, the transaction has implied
under-collateralization of $102.8 million, compared to $102.4
million at last review primarily due to implied losses on the
collateral.
Moody's has identified the following as key indicators of the
expected loss in CRE CDO transactions: WARF, the weighted average
life (WAL), WARR, and Moody's asset correlation (MAC). Moody's
typically models these as actual parameters for static deals and as
covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has updated its assessments for the collateral it does not
rate. The rating agency modeled a bottom-dollar WARF of 6956,
compared to 7654 at last review. The current ratings on the
Moody's-rated collateral and the assessments of the non-Moody's
rated collateral follow: Aaa-Aa3 and 10.8% compared to 6.1% at last
review; A1-A3 and 10.9 compared to 0.0% at last review; Baa1-Baa3
and 0.0% compared to 17.7% at last review; B1-B3 and 10.4% compared
to 0.0% at last review; and Caa1-Ca/C and 67.9% compared to 76.2%
at last review.
Moody's modeled a WAL of 2.3 years, compared to 2.5 years at last
review. The WAL is based on assumptions about extensions on the
underlying collateral.
Moody's modeled a fixed WARR of 10.6%, compared to 10.1% at last
review.
Moody's modeled a MAC of 15.2%, compared to 100.0% at last review.
TABERNA PREFERRED VII: Moody's Hikes Cl. A-1LA Debt Rating to Ba1
-----------------------------------------------------------------
Moody's Investors Service has upgraded the rating on these notes
issued by Taberna Preferred Funding VII, Ltd.:
$350,000,000 Class A-1LA Floating Rate Notes Due February 2037
(current outstanding balance of $147,846,239.64), Upgraded to
Ba1 (sf); previously on September 15, 2015 Upgraded to B1 (sf)
Taberna Preferred Funding VII, Ltd., issued in September 2006, is a
collateralized debt obligation (CDO) backed primarily by a
portfolio of Real Estate Investment Trust (REIT) trust preferred
securities (TruPS).
RATINGS RATIONALE
The rating action is primarily a result of deleveraging of the
Class A-1LA notes, an increase in the transaction's Class A-1LA
overcollateralization (OC) ratio, and some improvement in the
credit quality of the underlying portfolio since September 2015.
The Class A-1LA notes have paid down by approximately 3.5% or $5.3
million since September 2015, using principal proceeds from the
redemption of the underlying assets and the diversion of excess
interest proceeds. Based on Moody's calculations, the Class A-1LA
OC has improved to 177.6% from 168.3% in September 2015. The Class
A-1LA notes will continue to benefit from the diversion of excess
interest and the use of proceeds from redemptions of any assets in
the collateral pool.
The deal has also benefited from some improvement in the credit
quality of the underlying portfolio. According to Moody's
calculations, the weighted average rating factor (WARF) improved to
4010 from 4292 in September 2015, and the performing par has
increased to $262.6 million from $257.8 million.
In 2010, the transaction declared an Event of Default due to
failure of the A-2L OC to be equal or great to 100%, and a majority
of the controlling class directed the trustee to declare the notes
immediately due and payable. As a result of the declaration of
acceleration of the notes, all proceeds after paying interest on
the Class A-1LA notes are currently used to pay down the principal
of the Class A-1A notes.
This rating action also reflects a correction to Moody's modeling.
In the September 2015 rating action, the two hybrid assets in the
portfolio were incorrectly treated as fixed assets instead of fixed
assets that convert to floating assets. This error has now been
corrected, and today's rating action reflects this change.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the
underlying collateral pool has having a performing par of $262.6
million, defaulted par of $63.6 million, a weighted average default
probability of 52.5% (implying a WARF of 4010), and a weighted
average recovery rate upon default of 11.26%. In addition to the
quantitative factors Moody's explicitly models, qualitative factors
are part of rating committee considerations. Moody's considers the
structural protections in the transaction, the risk of an event of
default, recent deal performance under current market conditions,
the legal environment and specific documentation features. All
information available to rating committees, including macroeconomic
forecasts, inputs from other Moody's analytical groups, market
factors, and judgments regarding the nature and severity of credit
stress on the transactions, can influence the final rating
decision.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's Approach
to Rating TruPS CDOs," published in June 2014.
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: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in
the general economy.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's
current expectations could have a positive impact on the
transaction's performance. Conversely, asset credit
performance weaker than Moody's current expectations could
have adverse consequences on the transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction
is whether deleveraging from unscheduled principal proceeds
and excess interest proceeds will continue and at what pace.
Note repayments that are faster than Moody's current
expectations could have a positive impact on the notes'
ratings, beginning with the notes with the highest payment
priority.
4) Exposure to non-publicly rated assets: The deal contains a
large number of securities whose default probability Moody's
assesses through credit estimates. Because these are not
public ratings, they are subject to additional uncertainties.
Loss and Cash Flow Analysis
Moody's applied a Monte Carlo simulation framework in Moody's
CDOROM to model the loss distribution for TruPS CDOs. The
simulated defaults and recoveries for each of the Monte Carlo
scenarios defined the reference pool's loss distribution. Moody's
then used the loss distribution as an input in its CDOEdge cash
flow model.
The portfolio of this CDO contains mainly TruPS issued by REITs
that Moody's does not rate publicly. To evaluate the credit
quality of REIT TruPS that do not have public ratings, Moody's REIT
group assesses their credit quality using the REIT firms' annual
financials.
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):
Assuming a two-notch upgrade to assets with below-investment grade
ratings or rating estimates (WARF of 2380)
Class A-1LA: +4
Class A-1LB: +4
Class A-2LA: 0
Class A-2LB: 0
Assuming a two-notch downgrade to assets with below-investment
grade ratings or rating estimates (WARF of 5109)
Class A-1LA: -3
Class A-1LB: 0
Class A-2LA: 0
Class A-2LB: 0
WACHOVIA BANK 2007-C30: S&P Hikes Rating on 2 Tranches From BBsf
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on four
classes of commercial mortgage pass-through certificates from
Wachovia Bank Commercial Mortgage Trust's series 2007-C30, a U.S.
commercial mortgage-backed securities (CMBS) transaction. In
addition, S&P affirmed its 'AAA (sf)' ratings on five other classes
from the same transaction.
S&P's rating actions on the principal- and interest-paying
certificates 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 assets in the pool, the transaction's
structure, and the liquidity available to the trust.
The upgrade on the class A-5 certificates to 'AAA (sf)' and the
'AAA (sf)' affirmations on classes A-3, A-4, and A-PB reflect S&P's
views regarding the collateral's current and future performance,
the transaction structure, and liquidity support available to the
classes as well as the results of S&P's cash flow analysis. S&P's
cash flow analysis indicates that these classes should receive
their full repayment of principal due to time tranching, per our
"U.S.CMBS 'AAA' Scenario Loss and Recovery Application" criteria
published July 21, 2009.
S&P raised its ratings on classes A-1A, A-M, and A-MFL to reflect
its 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. The upgrades also follow S&P's views regarding the
collateral's current and future performance and available liquidity
support. The upgrades also reflect the trust balance's reduction
as well as the full repayment, with better-than-expected recovery,
of the specially serviced Peter Cooper Village & Stuyvesant Town
asset ($1.5 billion of the original pool trust balance).
The ratings on classes A-J and B remain at 'D (sf)' according to
S&P's interest shortfall criteria. Under these criteria, a
potential upgrade can be considered after a class has experienced a
reimbursement of all past interest shortfalls and the subsequent
payment of timely interest over at least the subsequent six months.
In addition, any potential upgrade following an interest shortfall
would also depend upon our determination that no future shortfalls
are likely to occur, considering the underlying creditworthiness of
the securities.
S&P affirmed its 'AAA (sf)' ratings on the class X-C and X-W
interest-only (IO) certificates based on S&P's criteria for rating
IO securities.
TRANSACTION SUMMARY
As of the Feb. 18, 2016, trustee remittance report, the collateral
pool balance was $5.12 billion, which is 64.8% of the pool balance
at issuance. The pool currently includes 183 loans and 13
real-estate owned (REO) assets (reflecting cross-collateralized and
cross-defaulted loans), down from 249 loans at issuance.
Twenty-one of these assets ($579.9 million, 11.3%) are with the
special servicer, 15 loans ($138.9 million, 2.7%) are defeased, and
38 ($876.0 million, 17.1%) are on the master servicer's watchlist.
The master servicer, Wells Fargo Bank N.A., reported financial
information for 79.6% of the nondefeased loans in the pool, of
which 62.1% was partial- or year-end 2015 data, and the remainder
was partial- or year-end 2014 data.
S&P calculated a 1.28x Standard & Poor's weighted average debt
service coverage (DSC) and 103.3% Standard & Poor's weighted
average loan-to-value (LTV) ratio using a 7.27% Standard & Poor's
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the 21 specially serviced
assets, 15 defeased loans, seven subordinate B hope notes ($92.4
million, 1.8%), and one nonreporting loan ($5.0 million, 0.1%). The
top 10 nondefeased loans have an aggregate outstanding pool trust
balance of $2.3 billion (44.8%). Using servicer-reported numbers,
S&P calculated a Standard & Poor's weighted average DSC and LTV of
1.29x and 110.1%, respectively, for nine of the top 10 nondefeased
loans. The remaining top 10 loan is specially serviced and
discussed.
To date, the transaction has experienced $128.6 million in
principal losses, or 1.6% of the original pool trust balance. S&P
expects losses to reach approximately 6.3% 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 21 specially serviced assets and six subordinate hope B notes
($58.6 million, 1.2%) that have maturities by the first quarter of
2017.
CREDIT CONSIDERATIONS
As of the Feb. 18, 2016, trustee remittance report, 21 assets in
the pool were with the special servicer, CWCapital Asset Management
LLC (CWCapital). Appraisal reduction amounts (ARAs) totaling
$274.8 million are in effect against 19 of the specially serviced
assets.
Details of the three largest specially serviced assets, one of
which is a top 10 nondefeased loan, are:
-- The Four Seasons Aviara Resort – Carlsbad, CA loan ($186.5
million, 3.7%) is the sixth-largest nondefeased loan in the
pool and has a total reported exposure of $215.3 million.
The loan is secured by a 329-room resort lodging facility
with spa and golf course in Carlsbad, Calif. The loan was
transferred to the special servicer on April 16, 2013, due
to imminent monetary default and foreclosure proceeding was
filed on May 30, 2013. An ARA of $112.7 million is in
effect against this loan and S&P expects a significant loss
upon its eventual resolution.
-- The Sealy C Pool loan ($50.3 million, 1.0%) has a total
reported exposure of $51.9 million. The loan is secured by
14 warehouse/office properties totaling 1,006,752-sq.-ft. in
Texas and Louisiana. The loan, which has a 90-plus-day
delinquent payment status, was transferred to the special
servicer on July 19, 2012, due to imminent monetary default.
CWCapital indicated that it is dual-tracking both a
foreclosure and a modification strategy. The reported DSC
and occupancy for the six months ended June 30, 2015, were
1.04x and 74.5%, respectively. An ARA of $4.7 million is in
effect against this loan and S&P expects a minimal loss upon
its eventual resolution.
-- The One Citizens Plaza REO asset ($43.5 million, 0.9%) has a
total reported exposure of $47.4 million and is a 218,850-
sq.-ft office building in Providence, R.I. The loan was
transferred to the special servicer on Jan. 12, 2012, due to
maturity default and the property became real estate owned
on July 31, 2012. The reported DSC and occupancy for the
nine months ended Sept. 30, 2015, were 0.96x and 73.6%,
respectively. An ARA of $21.7 million is in effect against
the asset and S&P expects a moderate loss upon its eventual
resolution.
The remaining assets with the special servicer have individual
balances that represent less than 0.8% of the total pool trust
balance. S&P estimated losses for the 21 specially serviced
assets, arriving at a weighted-average loss severity of 53.0%.
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 2007-C30
Rating Rating
Class Identifier To From
A-3 92978QAC1 AAA (sf) AAA (sf)
A-4 92978QAE7 AAA (sf) AAA (sf)
A-PB 92978QAD9 AAA (sf) AAA (sf)
A-5 92978QCB1 AAA (sf) AA (sf)
A-1A 92978QAF4 AA+ (sf) AA (sf)
A-M 92978QAH0 BBB- (sf) BB (sf)
A-MFL 92978QCC9 BBB- (sf) BB (sf)
X-C 92978QBX4 AA (sf) AAA (sf)
X-W 92978QBZ9 AAA (sf) AAA (sf)
WASATCH CLO: S&P Affirms CC Rating on Type IV Notes
---------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1a, A-1b, A-2, and B notes and affirmed its ratings on the class
C and Type IV notes from Wasatch CLO Ltd., a U.S. collateralized
loan obligation (CLO) that closed in November 2006 and is managed
by Invesco Senior Secured Management Inc. S&P also removed its
ratings on the class A-1a, A-1b, A-2, B, and C 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 Feb. 2, 2016, monthly trustee
report and Feb. 16, 2016, note payment report.
The upgrades reflect the transaction's $84.33 million in collective
paydowns to the class A-1a, A-1b, and D notes since S&P's September
2014 rating actions, which have led to increased
overcollateralization (O/C) ratios for each of the rated notes. For
example, the class A O/C ratio increased to 129.49% as of February
2016 from 125.89% as of the August 2014 trustee report, which S&P
used for its previous rating actions.
The class Type IV notes are backed by a synthetic CLO (Fermat Ltd.)
note component and a 10.40% subordinate note component of Wasatch
CLO Ltd. Although the Type IV notes continue to receive equity
payments that have reduced the outstanding balance to $4.17 million
(as of the Feb. 16, 2016, note payment report), S&P lowered the
rating on Fermat Ltd. to 'D (sf)' in March 2013--and subsequently
withdrew it--due to its reduced notional balance following
principal losses in the underlying reference portfolio. Given the
reliance on some portion of Fermat Ltd. notes' principal and
interest distributions, S&P affirmed its rating on the class Type
IV notes at 'CC (sf)'. The affirmation of the composite notes
reflects S&P's view of the likelihood that proceeds from the
underlying collateral components will be insufficient to pay the
full principal balance at the Type IV note maturity in November
2016.
Although the transaction exited its reinvestment period in November
2013, the collateral manager has continued to reinvest principal
proceeds it received from credit-risk, credit-improved, or prepaid
collateral debt obligations, in line with the transaction
documents. On the Feb. 16, 2016, distribution date, the collateral
manager reinvested $13.73 million of the available $18.65 million,
and the remaining $4.92 million was used to pay down the class A-1a
and A-1b notes, pro rata. Since S&P's last rating actions in
September 2014, post-reinvestment period principal amortization has
resulted in $82.54 million in collective paydowns to the class A-1a
and A-1b notes. This has left them with approximately 77.7% of
their original face value at issuance remaining.
The affirmation of the class C notes reflects the adequate credit
support available at the current rating level. The cash flow
analysis indicated that S&P's rating on the class C notes could be
raised by a notch. However, the thin cushion at the higher rating
and the continued reinvestment of principal proceeds by the
collateral manager played a role in S&P's decision to affirm the
rating rather than raise it. The transaction's amount of defaulted
and 'CCC' rated collateral has also increased.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with S&P's criteria, its cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults and recoveries upon default under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest and/or
ultimate principal to each of the rated tranches. The results of
the cash flow analysis demonstrated, in S&P's view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with this rating action.
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.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
Wasatch CLO Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A-1a AA+ (sf)/Watch Pos AAA (sf) 0.94% AAA (sf)
A-1b AA+ (sf)/Watch Pos AAA (sf) 0.94% AAA (sf)
A-2 AA (sf)/Watch Pos AA+ (sf) 8.35% AA+ (sf)
B A- (sf)/Watch Pos A+ (sf) 4.37% A+ (sf)
C BBB- (sf)/Watch Pos BBB (sf) 0.45% BBB- (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 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) AA+ (sf) AA+ (sf) AAA (sf) AAA (sf)
A-1b AAA (sf) AA+ (sf) AA+ (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) BBB- (sf) BBB+ (sf) BBB- (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) AA+ (sf) AA+ (sf) AAA (sf)
A-1b AAA (sf) AA+ (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) B+ (sf) BBB- (sf)
RATINGS RAISED AND REMOVED FROM WATCH POSITIVE
Wasatch CLO Ltd.
Rating
Class To From
A-1a AAA (sf) AA+ (sf)/Watch Pos
A-1b AAA (sf) AA+ (sf)/Watch Pos
A-2 AA+ (sf) AA (sf)/Watch Pos
B A+ (sf) A- (sf)/Watch Pos
RATING AFFIRMED AND REMOVED FROM WATCH POSITIVE
Wasatch CLO Ltd.
Rating
Class To From
C BBB- (sf) BBB- (sf)/Watch Pos
RATING AFFIRMED
Wasatch CLO Ltd.
Class Rating
Type IV CC (sf)
WELLS FARGO 2007-17: Moody's Raises Cl. A-1 Debt Rating to Caa2
---------------------------------------------------------------
Moody's Investors Service has upgraded the rating of one tranche
backed by Prime Jumbo RMBS loans, issued by Wells Fargo.
Complete rating actions are:
Issuer: Wells Fargo Mortgage Backed Securities 2007-17 Trust
Cl. A-1, Upgraded to Caa2 (sf); previously on Nov. 5, 2013,
Downgraded to Caa3 (sf)
RATINGS RATIONALE
The action is a result of the recent performance of the underlying
pool and reflects Moody's updated loss expectation on the pool. The
rating upgraded is a result of improving performance of the related
pool and an increase in the expected recovery rate on the bond.
The principal methodology used in this rating action 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 February 2016 from 5.5% in
February 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.
WELLS FARGO 2014-C20: DBRS Confirms BB Rating on Class E Debt
-------------------------------------------------------------
DBRS Limited confirmed all classes of Commercial Mortgage
Pass-Through Certificates, Series 2014-C20 issued by Wells Fargo
Commercial Mortgage Trust 2014-C20 as follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SFL at AAA (sf)
-- Class A-SFX at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class X-C at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class F at B (low) (sf)
All trends are Stable. DBRS does not rate the first loss piece,
Class G.
The rating confirmations reflect the current performance of the
pool, which is stable from issuance, with cash flows remaining
generally in line with the DBRS underwritten (UW) levels. The
collateral consists of 98 fixed-rate loans secured by 142
commercial properties. At issuance, the transaction had a DBRS
weighted-average (WA) debt service coverage ratio (DSCR) and a DBRS
WA debt yield of 1.48 times (x) and 9.4%, respectively. As of the
February 2016 remittance, 62 loans (77.8% of the pool) reported
YE2014 cash flows, while 87 loans (96.4% of the pool) reported a
partial year 2015 cash flow (most being Q3 2015). For the Top 15
loans (both annualized 2015 and YE2015 cash flows), the WA
amortizing DSCR was 1.59x, with a WA net cash flow growth over the
respective DBRS UW figures of approximately 15.8%. All 98 loans
remain in the pool, with an aggregate balance of $1.2 billion,
representing a collateral reduction of approximately 1.7% since
issuance as a result of scheduled loan amortization. The pool is
diverse based on loan size, as the largest 15 loans only account
for 56.4% of the current pool balance. The pool is concentrated by
property type, however, as 19 loans, representing 18.5% of the
current pool balance, are secured by hotel properties, three of
which are in the Top 15.
As of the February 2016 remittance, there are no loans in special
servicing, and 14 loans, representing 9.3% of the pool, on the
servicer’s watchlist. Four of these loans, representing 4.4% of
the pool, were flagged as a result of items of deferred
maintenance. Two loans, representing 0.5% were watchlisted because
of tenant rollover, and another loan, representing 0.3% of the
pool, was flagged because no financials have been received to date.
The remaining seven loans were flagged for performance-related
reasons. According to the 2015 cash flows reported (both Q3 2015
and YE2015 figures), these loans had a WA DSCR and WA debt yield of
1.08x and 7.6%, respectively, compared with the DBRS UW figures of
1.30x and 8.3%, respectively.
Two of the seven aforementioned loans, Town Park Office (Prospectus
ID#24, 1.0% of the pool) and Parkway Corporate Center (Prospectus
ID#36, 0.8% of the pool), have recently exhibited depressed cash
flows as a result of rental concessions offered to multiple
tenants; however, estimated gross income is expected to be in line
with DBRS UW expectations at each property once full unabated
rental payments begin. As of Q3 2015 financials, Town Park Office
and Parkway Corporate Center had DSCRs of 1.04x and 1.03x,
respectively, compared with the DBRS UW figures of 1.42x and 1.21x,
respectively. DBRS expects that as of YE2016 financial reporting,
performance metrics for either loan should be more in line with
DBRS UW figures. While occupancy at Town Park Office increased from
93.0% as of Q3 2015 from 90.0% at issuance, occupancy at Parkway
Corporate Center fell to 88.0% from 100.0% during the same time
period. For additional information on the Parkway Corporate Center
loan, please refer to the press release for this transaction dated
March 10, 2015.
The Hilton Garden Inn – Beaumont (Prospectus ID#44, 0.7% of the
pool) is secured by a 100-key, limited-service hotel developed in
2007 by the current borrower. The property is located in Beaumont,
Texas, approximately 90 miles east of Houston. Amenities at the
property include a full-service restaurant, outdoor pool/whirlpool,
exercise room, 24-hour business center, guest laundry room, five
fixable function rooms (which can accommodate up to 125 people) and
a Pavilion Pantry vending area. The loan was placed on the
watchlist in May 2015 as a result of a low YE2014 DSCR of 1.09x. As
of Q3 2015, the loan had a DSCR of 0.89x compared with the DBRS UW
figure of 1.23x. The decline in performance is a result of an
increase in operating expenses, which have risen by approximately
49.0% since issuance, primarily because of increases to Advertising
& Marketing (86.5%), Utilities (80.3%), General & Administrative
(20.1%), Repairs & Maintenance (16.5%) and Franchise Fees (20.0%).
According to the borrower, operating expenses have increased
because of the age of the building, among other administrative
reasons; however, the borrower has brought on new property
management that will be implementing the Phase 1 of “Project
Grow.” The plan reportedly involves cutting expenses and
increasing revenue by offering fewer discounts and by opening a bar
in the property, which is expected to add an estimated $5,000.00 in
additional revenue per month. According to the June 2015 Smith
Travel Research report, the property had a trailing 12-month
occupancy rate of 79.1%, an average daily rate of $102.30 and
revenue per available room of $80.90 compared with the competitive
set’s figures of 67%, $87.00 and $58.00, respectively. The
borrower reports that market demand is strong during the week and
improves on the weekends as a result of sporting events in the
general area. DBRS modeled this loan with an elevated probability
of default to mitigate the recent increase in expenses and the
decline in overall performance.
At issuance, DBRS shadow-rated two loans, Rockwell - ARINC HQ
(Prospectus ID#5, 3.91% of the current pool balance) and Savoy
Retail & 60th Street Residential (Prospectus ID#9, 2.82% of the
current pool balance), as investment grade. DBRS has today
confirmed that the performance of these loans is consistent with
investment-grade loan characteristics.
[*] Large Liquidations Drive High Losses in 2015, Moody's Says
--------------------------------------------------------------
Driven by a number of large loans liquidated at high losses,
liquidations in the final three months of 2015 had the highest
quarterly loss severity since the first quarter of 2010, when it
began tracking losses in US commercial mortgage-backed securities
(CMBS), Moody's Investors Service says in its latest loss
severities report.
Moody's quarterly loss severities report tracks loan losses upon
liquidation and cumulative deal losses in conduit and fusion
transactions in US CMBS. The report details losses for the 1998 to
2015 vintages based on liquidations that took place from
Jan. 1, 2000, to Dec. 31, 2015, and compares losses on liquidation
and cumulative deal losses quarter over quarter and year over
year.
"The fourth quarter of 2015 saw 240 loans liquidate with an average
loss severity of 58.2%, up significantly from the 210 loans that
liquidated with an average loss of 41.9% in the prior quarter,"
says Senior Vice President, Keith Banhazl. "Among the loans that
liquidated in the final quarter of last year, four liquidated with
losses of more than $100 million and loss severities above 70%."
Among the four largest loans that liquidated in the fourth quarter
of 2015, two were sold by special servicer CW Capital as part of
its bulk sale of distressed assets, including the Loews Lake Las
Vegas loan, which liquidated with a $132.4 million loss for a loss
severity of 113.1%, the highest loss amount recorded for loans
liquidated last year and the sixth highest overall, Banhazl says.
The other three large loans that liquidated in the final quarter of
2015 were Citadel Mall, which liquidated with a $130.9 million loss
for a severity of 96.2%; DRA-CRT Portfolio I, which liquidated with
a $125.1 million loss for a severity of 97.9%; and COPT Office
Portfolio (Rollup), which liquidated with a loss of $109.5 million
for a loss severity of 73.0%.
There were two additions to loans from CMBS 2.0 deals that
liquidated with a loss in the fourth quarter of 2015: Youngsville
Crossing, a retail-backed loan from WFRBS 2011-C3 and Lockaway Self
Storage, from GSMS 2012-GC6, both liquidated with minimal loss
severities.
[*] Moody's Hikes $362MM of Option ARM RMBS Issued 2005-2007
------------------------------------------------------------
Moody's Investors Service, on March 8, 2016, upgraded the rating of
three tranches from two transactions, backed by Option ARM RMBS
loans, issued by DSLA and Harborview.
Complete rating actions are:
Issuer: DSLA Mortgage Loan Trust 2005-AR1
Cl. 2-A1A, Upgraded to Ba2 (sf); previously on Sept. 14, 2015,
Upgraded to B1 (sf)
Issuer: HarborView Mortgage Loan Trust 2007-1
Cl. 1A-1A, Upgraded to Caa1 (sf); previously on Dec. 5, 2010,
Downgraded to Caa3 (sf)
Cl. 2A-1A, Upgraded to Caa2 (sf); previously on Dec. 5, 2010,
Downgraded to Caa3 (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
these pools. The rating upgrades are due to the stronger
collateral performance and the 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 February 2016 from 5.5% in
February 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 $126.7MM of RMBS Deals Issued 2000-2006
-------------------------------------------------------------------
Moody's Investors Service, on March 8, 2016, took actions on the
ratings of 15 tranches from five deals backed by "scratch and dent"
RMBS loans.
Complete rating actions are:
Issuer: Bayview Financial Mortgage Pass-Through Trust 2006-B
Cl. 2-A3, Upgraded to Aa3 (sf); previously on May 31, 2011,
Upgraded to A1 (sf)
Cl. 2-A4, Upgraded to Aa3 (sf); previously on June 18, 2009,
Downgraded to A1 (sf)
Cl. M-1, Upgraded to Ba3 (sf); previously on July 11, 2012,
Downgraded to B3 (sf)
Cl. M-2, Upgraded to Caa2 (sf); previously on May 31, 2011,
Downgraded to Ca (sf)
Issuer: Bayview Financial Mortgage Pass-Through Trust 2006-D
Cl. 1-A4, Upgraded to B3 (sf); previously on July 11, 2012,
Confirmed at Caa1 (sf)
Cl. 1-A5, Upgraded to B2 (sf); previously on July 11, 2012,
Confirmed at B3 (sf)
Cl. 2-A3, Upgraded to B2 (sf); previously on May 31, 2011,
Downgraded to B3 (sf)
Cl. 2-A4, Upgraded to B2 (sf); previously on May 31, 2011,
Downgraded to B3 (sf)
Issuer: Bear Stearns Asset Backed Securities Trust 2006-1
Cl. M-1, Downgraded to B1 (sf); previously on May 2, 2014,
Upgraded to Ba2 (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2006-SC1
Cl. A, Upgraded to Aa3 (sf); previously on July 18, 2011,
Downgraded to A3 (sf)
Cl. M-5, Upgraded to B1 (sf); previously on June 6, 2014,
Upgraded to B3 (sf)
Cl. B-1, Upgraded to Caa2 (sf); previously on July 18, 2011,
Downgraded to C (sf)
Cl. B-2, Upgraded to Ca (sf); previously on July 18, 2011,
Downgraded to C (sf)
Issuer: SACO I Inc. Series 2000-3
Cl. 1-B-1, Downgraded to Caa2 (sf); previously on May 23, 2013,
Downgraded to B2 (sf)
Cl. 1-B-2, Downgraded to Caa3 (sf); previously on Jan. 25, 2013,
Upgraded to Caa2 (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 ratings downgraded are due
to the weaker performance of the underlying collateral and/or the
erosion of enhancement available to the bonds, or the occurrence of
recent interest shortfalls that are unlikely to be reimbursed.
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 February 2016 from 5.5% in
February 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 $607MM RMBS Deals Issued 2005-2007
--------------------------------------------------------------
Moody's Investors Service, on March 7, 2016, upgraded the ratings
of 25 tranches and downgraded the ratings of 15 tranches backed by
Prime Jumbo RMBS loans, issued by various issuers.
Complete rating actions are:
Issuer: Banc of America Funding 2006-3 Trust
Cl. 5-A-4, Downgraded to Caa2 (sf); previously on April 30,
2010, Downgraded to Caa1 (sf)
Cl. X-PO, Downgraded to Caa2 (sf); previously on April 30, 2010,
Downgraded to Caa1 (sf)
Issuer: Chase Mortgage Finance Trust 2007-S6
Cl. 1-A1, Downgraded to Ca (sf); previously on Oct. 24, 2013,
Downgraded to Caa2 (sf)
Cl. 1-A3, Downgraded to C (sf); previously on Oct. 24, 2013,
Downgraded to Caa3 (sf)
Cl. 1-AX, Downgraded to Ca (sf); previously on Oct. 24, 2013,
Downgraded to Caa2 (sf)
Cl. 2-A1, Downgraded to Ca (sf); previously on Oct. 24, 2013,
Downgraded to Caa2 (sf)
Cl. 2-A3, Downgraded to C (sf); previously on Oct. 24, 2013,
Downgraded to Caa2 (sf)
Cl. 2-AX, Downgraded to Ca (sf); previously on Oct. 24, 2013,
Downgraded to Caa2 (sf)
Cl. A-P, Downgraded to Ca (sf); previously on May 26, 2010,
Downgraded to Caa2 (sf)
Issuer: GSR Mortgage Loan Trust 2005-7F
Cl. 1A-3, Upgraded to Ba2 (sf); previously on May 22, 2015,
Confirmed at B1 (sf)
Cl. 2A-5, Upgraded to Ba1 (sf); previously on May 22, 2015,
Confirmed at Ba3 (sf)
Cl. 2A-6, Upgraded to Baa3 (sf); previously on May 22, 2015,
Confirmed at Ba2 (sf)
Cl. 2A-7, Upgraded to Ba3 (sf); previously on May 22, 2015,
Confirmed at B2 (sf)
Cl. 3A-1, Upgraded to Ba1 (sf); previously on May 22, 2015,
Confirmed at Ba3 (sf)
Cl. 3A-2, Upgraded to Baa3 (sf); previously on May 22, 2015,
Confirmed at Ba2 (sf)
Cl. 3A-3, Upgraded to Ba1 (sf); previously on May 22, 2015,
Confirmed at Ba3 (sf)
Cl. 3A-4, Upgraded to Baa3 (sf); previously on May 22, 2015,
Confirmed at Ba2 (sf)
Cl. 3A-5, Upgraded to Ba1 (sf); previously on May 22, 2015,
Confirmed at Ba3 (sf)
Cl. 3A-6, Upgraded to Ba3 (sf); previously on May 22, 2015,
Confirmed at B2 (sf)
Cl. 3A-9, Upgraded to Ba1 (sf); previously on May 22, 2015,
Confirmed at Ba3 (sf)
Cl. 3A-10, Upgraded to Ba1 (sf); previously on May 22, 2015,
Confirmed at Ba3 (sf)
Cl. 3A-11, Upgraded to Ba3 (sf); previously on May 22, 2015,
Confirmed at B2 (sf)
Cl. 3A-12, Upgraded to Ba3 (sf); previously on May 22, 2015,
Confirmed at B2 (sf)
Cl. 4A-1, Upgraded to Ba2 (sf); previously on May 22, 2015,
Confirmed at B1 (sf)
Cl. 4A-2, Upgraded to Ba2 (sf); previously on May 22, 2015
Confirmed at B1 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR4
Cl. A-5, Upgraded to B1 (sf); previously on April 12, 2010,
Downgraded to B3 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2005-AR13 Trust
Cl. I-A-5, Upgraded to Ba1 (sf); previously on May 26, 2015,
Upgraded to B1 (sf)
Cl. II-A-1, Upgraded to Ba1 (sf); previously on May 14, 2010,
Upgraded to Ba3 (sf)
Cl. II-A-2, Upgraded to Ba1 (sf); previously on May 14, 2010,
Upgraded to Ba3 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2006-19 Trust
Cl. A-2, Downgraded to Baa3 (sf); previously on Aug. 23, 2012,
Confirmed at Baa1 (sf)
Cl. A-3, Downgraded to B1 (sf); previously on Aug. 23, 2012,
Upgraded to Ba2 (sf)
Cl. A-4, Downgraded to Caa1 (sf); previously on June 20, 2015,
Downgraded to B2 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2006-AR6 Trust
Cl. V-A-2, Upgraded to Ba2 (sf); previously on June 26, 2015,
Upgraded to Ba3 (sf)
Cl. VI-A-1, Downgraded to B3 (sf); previously on Aug. 17, 2012,
Downgraded to B1 (sf)
Cl. VII-A-1, Upgraded to Baa1 (sf); previously on June 26, 2015,
Upgraded to Ba1 (sf)
Cl. VII-A-2, Upgraded to Ba2 (sf); previously on June 26, 2015,
Upgraded to B2 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2007-AR10 Trust
Cl. I-A-1, Downgraded to B3 (sf); previously on June 26, 2015,
Downgraded to B2 (sf)
Cl. II-A-1, Downgraded to Caa1 (sf); previously on June 26,
2015, Downgraded to B3 (sf)
Issuer: Bear Stearns ARM Trust 2006-3
Cl. A-1, Upgraded to Baa1 (sf); previously on June 26, 2015,
Upgraded to Baa3 (sf)
Cl. A-2, Upgraded to Ba2 (sf); previously on April 14, 2011,
Confirmed at B2 (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 the improving
performance of the related pools and an increase in credit
enhancement available to the bonds. The ratings downgraded are due
to the weaker performance of the underlying collateral and the
erosion of enhancement available to the bonds. The ratings on
Classes A-1 and A-2 from Bear Stearns ARM Trust 2006-3 have been
upgraded due to performance of the underlying collateral and
Moody's updated loss expectation on the underlying bond. The
resecuritization is backed by Class VII-A-1 issued by Wells Fargo
Mortgage Backed Securities 2006-AR6 Trust.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
The methodology used in rating Bear Stearns ARM Trust 2006-3 was
"Moody's Approach to Rating Resecuritizations" published in
February 2014.
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 February 2016 from 5.5% in
February 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 $65MM Subprime RMBS Issued 2003-2004
----------------------------------------------------------------
Moody's Investors Service, on March 4, 2016, upgraded the ratings
of nine tranches backed by Subprime RMBS loans, issued by
miscellaneous issuers.
Complete rating actions are:
Issuer: Merrill Lynch Mortgage Investors, Inc. 2004-WMC2
Cl. M-2, Upgraded to Ba1 (sf); previously on Aug. 29, 2013,
Upgraded to B3 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on March 21, 2011,
Downgraded to C (sf)
Cl. S, Upgraded to B2 (sf); previously on Aug. 29, 2013,
Upgraded to Caa2 (sf)
Issuer: New Century Home Equity Loan Trust, Series 2003-5
Cl. M-2, Upgraded to B2 (sf); previously on April 14, 2014,
Upgraded to B3 (sf)
Issuer: NovaStar Mortgage Funding Trust, Series 2003-2
Cl. A-1, Upgraded to A1 (sf); previously on May 9, 2012,
Upgraded to A3 (sf)
Cl. M-1, Upgraded to Baa1 (sf); previously on April 16, 2013,
Upgraded to Ba2 (sf)
Cl. M-2, Upgraded to Baa2 (sf); previously on Nov. 7, 2013,
Upgraded to B2 (sf)
Cl. M-3, Upgraded to Ba1 (sf); previously on Nov. 7, 2013,
Upgraded to B3 (sf)
Cl. B-1, Upgraded to Ba1 (sf); previously on April 16, 2014,
Upgraded to B3 (sf)
RATINGS RATIONALE
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 actions reflect recent performance of the
underlying pools and Moody's updated loss expectations on the
pools.
The principal methodology used in this rating action 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 RMBS Deals Issued 2003-2004
---------------------------------------------------------------
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.
[*] S&P Takes Actions on 155 Classes From 40 U.S. RMBS Deals
------------------------------------------------------------
Standard & Poor's Ratings Services, on Feb. 29, 2016, took various
actions on 155 classes from 40 U.S. residential mortgage-backed
securities (RMBS) transactions. S&P lowered 22 ratings, (one of
which S&P removed from CreditWatch with negative implications),
raised 18 ratings, affirmed 61 ratings, and discontinued two
ratings. Fifty-seven ratings remain on CreditWatch with negative
implications (including five of the lowered ratings; see list).
All of the transactions in this review were issued between 1997 and
2008 and are supported by a mix of fixed- and adjustable-rate
subprime, negative amortization, document deficient, nonperforming,
reperforming, and Federal Housing Administration/Veterans Affairs
mortgage loan collateral.
Subordination, overcollateralization (where available), excess
interest, as applicable, and bond insurance, provide credit
enhancement for the transactions in this review. Where the bond
insurer is rated lower than what S&P would rate the respective
class, it relied solely on the underlying collateral's credit
quality and the transaction structure to derive the rating.
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.
APPLICATION OF U.S. RMBS PRE-2009 CRITERIA WHEN LOAN-LEVEL DATA IS
NOT AVAILABLE
When performing S&P's credit analysis to determine the foreclosure
frequency for all pools within this review, it segmented the
collateral into current loans (including reperforming), and
delinquent loans. S&P further segmented the current bucket based
on payment pattern.
Where loan-level data was available, S&P derived the foreclosure
frequency as described in "U.S. RMBS Surveillance Credit And Cash
Flow Analysis For Pre-2009 Originations," published Feb. 18, 2015
(pre-2009 surveillance criteria). In instances where loan-level
data was not available, to derive the foreclosure frequency for the
current bucket, S&P made certain assumptions regarding the
percentage of current loans that are reperforming, the percentage
of current loans that have impaired credit history, and the
adjusted loan-to-value ratio of perfect payers.
S&P used pool-level data to compare each pool's performance to the
cohort average. For pools with high delinquencies and normalized
cumulative losses relative to the cohort average, S&P assumed a
higher foreclosure frequency than that associated with the cohort
average. Conversely, S&P assumed a lower foreclosure frequency for
pools with better observed performance relative to the cohort
average.
With respect to delinquent loans, because S&P uses cohort-specific
roll rate assumptions, it used pool-level data to derive the
foreclosure frequency of these loans as set forth in S&P's pre-2009
surveillance criteria.
DOWNGRADES
S&P lowered its ratings on 22 classes from 12 transactions and
removed one of these ratings from CreditWatch with negative
implications. Five of the lowered ratings remain on CreditWatch
with negative implications. The 22 downgrades primarily reflect
one or more of:
-- Deteriorating credit performance trends;
-- Decreased prepayment speeds;
-- Higher observed loss severities;
-- Increased reperforming loans;
-- Observed interest shortfalls; and
-- Insufficient credit enhancement relative to our projected
losses.
Among the downgrades, the ratings on five classes were lowered to
speculative-grade from investment-grade, and the ratings on four
classes remained at investment-grade. The additional 13 lowered
ratings were already speculative-grade before the rating actions.
S&P removed the rating on class A-5 from Salomon Brothers Mortgage
Securities VII Inc. series 1998-AQ1 from CreditWatch negative after
lowering it to 'BB+ (sf)' from 'AAA (sf)'. S&P placed the rating
on CreditWatch on Nov. 20, 2015, to reflect uncertainty about the
trustee's treatment of forbearance amounts, but S&P resolved this
during the course of this review. The trustee has confirmed that
the forbearance amounts are treated as realized losses on this
deal. However, the deal has been experiencing
undercollateralization, upon which the amounts are not immediately
written down to parity. This undercollateralization can be caused
by cash adjustments, which include such things as nonadvancing
loans, reimbursement for nonadvancing loans, modification-related
incentives and adjustments, legal expenses, and extraordinary
expenses. According to the trustee, the cash adjustments that are
affecting this deal are not passed through to the bonds as a
realized loss. S&P's cash flow projections will treat this
undercollateralization as a last period writedown to the bonds
outstanding, which are classes A-5, A-6, and A-7. Because classes
A-6 and A-7 are pro rata to the class A-5, S&P is also downgrading
their rating from to 'BB+ (sf)' from 'AAA (sf)' to reflect the risk
of this last period writedown from undercollateralization.
UPGRADES
S&P raised its ratings on 18 classes from nine transactions. The
projected credit enhancement for the affected classes is sufficient
to cover S&P's projected losses at these rating levels. The
upgrades reflect one or more of:
-- Improved collateral performance/delinquency trends;
-- Increased credit support;
-- Increased prepayments;
-- Expected short duration; and
-- Class not virtually certain to default
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:
-- Delinquency trends;
-- Historical interest shortfalls;
-- Significant growth in observed loss severities;
-- A low priority of principal payments;
-- A high proportion of re-performing loans in the pool; and
-- Low subordination or overcollateralization, or both.
S&P affirmed ratings in the 'AAA' through 'A' categories on 10
classes from seven transactions. In addition, S&P affirmed ratings
in the 'BBB' through 'B' categories on 14 classes from nine
transactions. These affirmations reflect S&P's opinion that our
projected credit support is sufficient to cover its projected
losses in those rating scenarios.
S&P also affirmed 37 'CCC (sf)' or 'CC (sf)' ratings. S&P believes
that its projected credit support will remain insufficient to cover
its projected losses to these classes. As defined in "Criteria For
Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct.
1, 2012, the 'CCC (sf)' affirmations indicate that S&P believes
these classes are still vulnerable to default, and the 'CC (sf)'
affirmations reflect S&P's belief that these classes remain
virtually certain to default.
CLASSES REMAINING ON CREDITWATCH NEGATIVE
Fifty-seven ratings (including five lowered ratings) from 14
transactions remain on CreditWatch negative. These CreditWatch
placements reflect S&P's lack of information necessary to apply its
loan modification criteria after it made multiple requests to the
applicable trustees or servicers for such information.
Per "S&P's Steps For Obtaining Necessary Information To Apply
Recently Effective U.S. RMBS Criteria," published on Aug. 24, 2015,
which describes S&P's process for requesting information related to
loan modifications and the potential outcomes if S&P was unable to
collect that information, Standard & Poor's may consider
withdrawing the ratings placed on CreditWatch if it does not
receive the information it requested in order to apply S&P's
applicable criteria within 30 days of the CreditWatch placement.
DISCONTINUANCES
S&P discontinued its ratings on two classes from two transactions
after they were redeemed during the January and February remittance
periods.
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
its 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 declining to 4.8% in 2016;
-- Real GDP growth increasing to 2.7% in 2016;
-- The inflation rate will be 1.9% in 2016; and
-- The 30-year fixed mortgage rate will rise to 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/w7BA5Q
[*] S&P Takes Actions on 75 Classes From 21 US Subprime RMBS Deals
------------------------------------------------------------------
Standard & Poor's Ratings Services, on Feb. 29, 2016, took various
actions on 75 classes from 21 U.S. residential mortgage-backed
securities (RMBS) transactions. S&P raised 25 ratings, lowered
eight ratings, affirmed 40 ratings, and kept two ratings on
CreditWatch negative.
All of the transactions in this review were issued between 1999 and
2007 and are supported by a mix of fixed- and adjustable-rate
subprime mortgage loans secured primarily by one- to four-family
residential properties.
Subordination, overcollateralization (where available), excess
interest, as applicable, and bond insurance, provide credit
enhancement for the transactions in this review. Where the bond
insurer is rated lower than what S&P would rate the respective
class, it relied solely on the underlying collateral's credit
quality and the transaction structure to derive the rating. As
discussed in S&P's criteria, "The Interaction Of Bond Insurance And
Credit Ratings," published Aug. 24, 2009, the rating on a
bond-insured obligation will be the higher of the rating on the
bond insurer and the rating of the underlying obligation without
considering the potential credit enhancement from the bond
insurance.
Assured Guaranty Corp.osca ('AA') insures the four classes listed
below:
-- ABFS Mortgage Loan Trust 2003-1's class M ('AA (sf)'),
-- Bear Stearns Asset Backed Securities Trust 2003-ABF1's class
A ('AAA (sf)'),
-- Bear Stearns Asset Backed Securities Trust 2003-ABF1's class
M ('AA (sf)'), and
-- CDC Mortgage Capital Trust 2003-HE4's class A-1 ('AAA
(sf)').
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.
Application Of U.S. RMBS Pre-2009 Criteria When Loan-Level Data Is
Not Available
When performing S&P's credit analysis to determine the foreclosure
frequency for all pools within this review, it segmented the
collateral into current loans (including reperforming) and
delinquent loans. S&P further segmented the "current" bucket based
on payment pattern.
Where loan-level data was available, S&P derived the foreclosure
frequency as described in its pre-2009 RMBS surveillance criteria.
When loan-level data was not available, to derive the current
bucket's foreclosure frequency, S&P made certain assumptions
regarding the percentage of current loans that are reperforming,
the percentage of current loans that have impaired credit history,
and the adjusted loan-to-value of perfect payers.
S&P used pool-level data to compare each pool's performance with
the cohort average. For pools with high delinquencies and
normalized cumulative losses relative to the cohort average, S&P
assumed a higher foreclosure frequency than that of the cohort
average. Conversely, S&P assumed a lower foreclosure frequency for
pools with better observed performance relative to the cohort
average.
With respect to delinquent loans, because S&P uses cohort-specific
roll rate assumptions it used pool-level data to derive the
foreclosure frequency as set forth in S&P's pre-2009 RMBS
surveillance criteria.
In this review, S&P did not have loan-level data available for
these transactions:
-- AFC Mortgage Loan Asset Backed Certificates Series 1999-1,
-- AFC Mortgage Loan Asset Backed Certificates Series 1999-2,
-- AFC Trust Series 1999-3,
-- ABFS Mortgage Loan Trust 2002-2,
-- ABFS Mortgage Loan Trust 2002-4,
-- ABFS Mortgage Loan Trust 2003-1,
-- CDC Mortgage Capital Trust 2003-HE3,
-- CDC Mortgage Capital Trust 2003-HE4, and
-- CDC Mortgage Capital Trust 2004-HE1.
UPGRADES
S&P raised its ratings on 25 classes from 10 transactions,
including 11 ratings that were raised four notches or more. The
projected credit enhancement for the affected classes is sufficient
to cover S&P's projected losses at these rating levels. The
upgrades reflect one or more of:
-- Improved collateral performance/delinquency trends,
-- Increased credit support,
-- Expected short duration, and
-- Payment allocation mechanics.
DOWNGRADES
S&P lowered its ratings on eight classes from four transactions,
including one rating that was lowered four notches. Of the eight
downgrades, one remained at an investment-grade, and the other
seven classes were already at speculative-grade. The downgrades
reflect S&P's belief that our projected credit support for the
affected classes will be insufficient to cover its remaining
projected losses for the related transactions at a higher rating.
The downgrades reflect one or more of:
-- Deteriorated credit performance trends,
-- Increased delinquencies,
-- Decreased credit enhancement, and
-- Observed interest shortfalls.
Application Of Interest Shortfall Criteria
Of the eight downgrades, two ratings reflect the application of
S&P's interest shortfall criteria. S&P lowered the ratings on
class M-5 from CWABS Inc. 2003-4 and class M-3 from CDC Mortgage
Capital Trust 2004-HE1 to 'D (sf)' from 'CC (sf)'.
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;
-- A low priority of principal payments;
-- Significant growth in the delinquency pipeline; and
-- Low subordination or overcollateralization, or both.
Of the 40 affirmed ratings, 10 are investment-grade and 30 are
speculative-grade. The affirmations of classes rated above
'CCC (sf)' reflect the classes' relatively senior positions in
payment priority and S&P's opinion that its projected credit
support is sufficient to cover our projected losses at those rating
levels.
S&P affirmed 26 'CCC (sf)' or 'CC (sf)' ratings. S&P believes that
its projected credit support will remain insufficient to cover its
projected losses to these classes. As defined in "Criteria For
Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct.
1, 2012, the 'CCC (sf)' affirmations indicate that S&P believes
these classes are still vulnerable to default, and the 'CC (sf)'
affirmations reflect S&P's belief that these classes remain
virtually certain to default.
CREDITWATCH NEGATIVE PLACEMENTS
Two ratings remain on CreditWatch negative, where S&P placed them
on Jan. 20, 2016, due to lack of information necessary to apply
S&P's loan modification criteria after we made multiple requests to
the applicable trustees or servicers for such information.
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
its 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/9i5nWt
[*] S&P Takes Various Rating Actions on 5 US RMBS Re-REMIC Deals
----------------------------------------------------------------
Standard & Poor's Ratings Services, on Feb. 29, 2016, took various
actions on 20 classes from five U.S. residential mortgage-backed
securities (RMBS) resecuritized real estate mortgage investment
conduit (re-REMIC) transactions. S&P raised four ratings, lowered
nine ratings (one of which will remain on CreditWatch negative),
affirmed five ratings, and withdrew one rating. One rating remains
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 prime jumbo or Alternative-A mortgage loan collateral
types.
Subordination provides credit support for the re-REMIC
transactions' underlying securities.
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 four 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):
-- Improved collateral performance in the underlying
transactions and/or
-- Increased credit support to the classes.
DOWNGRADES
S&P lowered its ratings on nine classes due to deteriorated
collateral performance or the application of S&P's interest
shortfall criteria, among other reasons.
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:
-- Delinquency trends;
-- Historical interest shortfalls; and/or
-- A low priority of principal payments.
All five of the rating affirmations were in the 'AAA' through 'A'
categories. These affirmations reflect S&P's opinion that its
projected credit support is sufficient to cover its projected
losses in those rating scenarios.
CREDITWATCH UPDATES
The lowered rating on class IA-1 from Citigroup Mortgage Loan Trust
Inc. series 2004-RR1 and the rating on class IIA-1 from Citigroup
Mortgage Loan Trust Inc. series 2004-RR1 remain on CreditWatch
negative. These ratings were placed on CreditWatch on Nov. 25,
2015, because the trustee's reports on the re-REMIC classes cited
interest shortfalls. Such shortfalls could negatively affect S&P's
ratings on these classes. S&P is in communication with the trustee
of this transaction and expect to resolve these CreditWatch
negative placements following the trustee's confirmation of the
nature and timing of the shortfalls. S&P will then take further
rating actions as it considers appropriate, according to its
criteria.
WITHDRAWALS
S&P withdrew its rating on class IA-2 from Citigroup Mortgage Loan
Trust Inc. series 2004-RR1 after S&P applied its interest-only
criteria because the class to which the rating on this
interest-only class is linked no longer sustains a rating above 'A+
(sf)'.
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
its 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/5Ma2F2
*********
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
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Each Friday's edition of the TCR includes a review about a book of
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available at your local bookstore or through Amazon.com. Go to
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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
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