/raid1/www/Hosts/bankrupt/TCR_Public/160424.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, April 24, 2016, Vol. 20, No. 115
Headlines
AAA TRUST 2007-2: Moody's Hikes Class X Notes Rating to C(sf)
ACAS CLO IX: Moody's Assigns B1 Rating on Class D-2 Notes
AMERICREDIT AUTOMOBILE 2014-4: Fitch Affirms BB Rating on E Debt
AMMC CLO IX: S&P Assigns BB Rating on Class E-R Notes
ASCENTIUM EQUIPMENT 2016-1: DBRS Gives BB Ratings to Class E Debt
ASCENTIUM EQUIPMENT 2016-1: Moody's Puts Ba2 Ratings to Cl. E Notes
BEAR STEARNS 2002-TOP8: S&P Raises Rating on Cl. K Certs to BB+
BEAR STEARNS 2007-TOP28: DBRS Confirms B(sf) Rating on Cl. D Debt
CBAC COMMERCIAL 2007-1: Moody's Affirms C Rating on Cl. X-1 Debt
CCRESG 2016-HEAT: S&P Assigns Preliminary B- Rating on Cl. F Certs
CENT CDO 14: Moody's Affirms Ba1(sf) Rating on Class D Notes
CITIGROUP 2013-375P: Moody's Affirms Ba1 Rating on Class E Debt
CITIGROUP 2014-GC21: Fitch Affirms B Rating on Class F Certificates
CITIGROUP 2016-P3: Fitch Rates $9.63MM Class F Certificates 'Bsf'
COMM 2014-CCRE17: Moody's Affirms Ba2 Rating on Cl. E Certificates
COMM 2014-UBS6: Fitch Affirms BB- Rating on Cl. F Certificates
CS FIRST BOSTON 2001-CF2: Moody's Cuts Cl. H Debt Rating to Caa3
CSFB COMMERCIAL 2002-CKP1: Moody's Affirms C Rating on Cl. L Certs
DBJPM 2016-C1: Fitch Assigns 'BB-sf' Rating to Class E Notes
DRYDEN 42: S&P Assigns Preliminary BB- Rating on Cl. E Notes
GOLUB CAPITAL 14: S&P Affirms BB Rating on Class E Notes
HEWETT'S ISLAND I-R: S&P Affirms B+ Rating on Class E Notes
HOMESTAR MORTGAGE 2004-3: Moody's Hikes Cl. M-5 Debt Rating to Ca
JP MORGAN 2003-CIBC6: Fitch Raises Rating on Class K Certs to B
JP MORGAN 2007-FL1: Fitch Raises Rating on Cl. F Certs to 'BBsf'
JP MORGAN 2012-CIBX: Moody's Affirms Ba2 Rating on Class F Certs
JPMCC TRUST 2016-GG10: DBRS Finalizes BB Rating on Cl. AM-B Debt
KINGSLAND VII: Fitch Affirms 'BBsf' Rating on Class E Notes
LB-UBS COMMERCIAL 2005-C5: Fitch Affirms BB Rating on Cl. F Certs
MASTR TRUST: Moody's Hikes 9 Tranches Backed by $182MM RMBS Loans
MILL CREEK II: Moody's Assigns (P)Ba3(sf) Rating on Cl. E Debt
MORGAN STANLEY 2004-IQ8: Fitch Raises Rating on Cl. H Certs to CC
MORGAN STANLEY 2012-C5: Fitch Affirms 'BB+sf' Rating on Cl. G Debt
MORGAN STANLEY 2015-C22: Fitch Affirms BB-sf Rating on Cl. E Debt
MORGAN STANLEY 2016-C29: Fitch to Rate Class E Debt 'BB-sf'
MOUNTAIN VIEW CLO III: S&P Raises Rating on Cl. E Notes to BB+
MSIM PECONIC: S&P Raises Rating on Class E Notes to BB+
MUIR GROVE: Moody’s Affirms Ba2(sf) Rating on Class E Notes
MULBERRY STREET: S&P Affirms B Rating on Class A-1A Notes
NCF DEALER 2016-1: S&P Assigns BB Rating on Class C Notes
NEWCASTLE CDO V: Moody's Affirms B3(sf) Rating on Cl. II Notes
OCP CLO 2016-11: S&P Assigns Prelim. BB- Rating on Class D Notes
PANGAEA CLO 2007-1: S&P Raises Rating on Class D Notes to B-
RESIDENTIAL REINSURANCE 2016: S&P Rates Cl. 13 Notes '(P)BB-'
TALMAGE STRUCTURED 2006-4: Fitch Hikes Cl. E Debt Rating to BBsf
[*] DBRS Reviews 68 Publicly Rated Securities
[*] DBRS Reviews 887 Classes From 64 U.S. RMBS Deals
[*] Moody's Hikes $954MM of Subprime RMBS by Various Issuers
[*] Moody's Hikes Rating on $466MM Subprime RMBS Issued 2005-2007
[*] Moody's Hikes Rating on $466MM Subprime RMBS Issued 2005-2007
[*] Moody's Takes Action on $116.3 Million of Scratch and Dent RMBS
[*] Moody's Takes Action on $28.5MM Subprime RMBS Issued 1998-2004
[*] Moody's Takes Action on $309.8MM of Alt-A and Option ARM RMBS
[*] Moody's Takes Action on $645.6MM of RMBS Issued 2004-2005
[*] Moody's Upgrades $179 Million of Subprime RMBS Issued in 2005
[*] S&P Retains Ratings on 6 HECM Deals on CreditWatch Developing
[*] S&P Takes Actions on 224 Classes From 92 RMBS Deals
*********
AAA TRUST 2007-2: Moody's Hikes Class X Notes Rating to C(sf)
-------------------------------------------------------------
Moody's Investors Service has downgraded the rating of Class X
issued by AAA Trust 2007-2.
The resecuritization is backed by FNMA Grantor Trust 2003-W16 AV1
tranche, an agency guaranteed mortgage-backed security.
The complete rating action is as follows:
Issuer: AAA Trust 2007-2
Cl. X Notes, Downgraded to C (sf); previously on Feb 11, 2013
Affirmed Caa2 (sf)
RATINGS RATIONALE
AAA Trust 2007-2 class X is an Interest Only tranche whose notional
is equal to the sum of the principal balances of the Class A Notes.
Class A-1 and A-2 amortization to date, have prompted the
realignment of class X with the C rated A-3 note, currently
representing 99.6% of the A notes balance.
ACAS CLO IX: Moody's Assigns B1 Rating on Class D-2 Notes
---------------------------------------------------------
Moody's Investors Service, Inc. has assigned definitive ratings to
six classes of notes issued by ACAS CLO IX, Ltd.
Moody's rating action is:
$268,000,000 Class A-1 Senior Secured Floating Rate Notes due
2025, Definitive Rating Assigned Aaa (sf)
$44,000,000 Class A-2 Senior Secured Floating Rate Notes due
2025, Definitive Rating Assigned Aa2 (sf)
$17,000,000 Class B Senior Secured Deferrable Floating Rate
Notes due 2025, Definitive Rating Assigned A2 (sf)
$22,000,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2025, Definitive Rating Assigned Baa3 (sf)
$9,000,000 Class D-1 Senior Secured Deferrable Floating Rate
Notes due 2025, Definitive Rating Assigned Ba2 (sf)
$9,000,000 Class D-2 Senior Secured Deferrable Floating Rate
Notes due 2025, Definitive Rating Assigned B1 (sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the
Class C Notes, the Class D-1 Notes, and the Class D-2 Notes are
referred to herein, collectively, as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to
defaults on the underlying portfolio of assets, the transaction's
legal structure, and the characteristics of the underlying assets.
ACAS IX is a static cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 95% of the portfolio must
consist of senior secured loans, cash, and eligible investments,
and up to 5% of the portfolio may consist of second lien loans and
unsecured loans. The portfolio is 99% ramped as of the closing
date.
American Capital CLO Management, LLC will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's four month ramp-up period.
Thereafter, the Manager may not reinvest, and all principal
proceeds will be used to make payments on the notes in accordance
with the note payment sequence.
In addition to the Rated Notes, the Issuer issued subordinated
notes. The transaction incorporates interest and par coverage
tests which, if triggered, divert interest and principal proceeds
to pay down the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2015.
For modeling purposes, Moody's used these base-case assumptions:
Par amount: $400,000,000
Diversity Score: 68
Weighted Average Rating Factor (WARF): 2661
Weighted Average Spread (WAS): 3.84%
Weighted Average Recovery Rate (WARR): 49.00%
Weighted Average Life (WAL): 5.3 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2015.
Factors That Would Lead to an Upgrade or Downgrade of the Rating:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2661 to 3060)
Rating Impact in Rating Notches:
Class A-1 Notes: 0
Class A-2 Notes: -1
Class B Notes: -1
Class C Notes: -1
Class D-1 Notes: 0
Class D-2 Notes: 0
Percentage Change in WARF -- increase of 30% (from 2661 to 3459)
Rating Impact in Rating Notches:
Class A-1 Notes: 0
Class A-2 Notes: -2
Class B Notes: -2
Class C Notes: -1
Class D-1 Notes: -1
Class D-2 Notes: 0
AMERICREDIT AUTOMOBILE 2014-4: Fitch Affirms BB Rating on E Debt
----------------------------------------------------------------
As part of its ongoing surveillance, Fitch Ratings, on April 18,
2016, took various rating actions on three AmeriCredit Automobile
Receivables Trusts as follows:
2012-4
-- Class C affirmed at 'AAAsf'; Outlook Stable;
-- Class D upgraded to 'AAsf' from 'Asf'; Outlook Positive;
-- Class E upgraded to 'Asf' from 'BBBsf'; Outlook Positive.
2012-5
-- Class C affirmed at 'AAAsf'; Outlook Stable;
-- Class D upgraded to 'AAsf' from 'Asf'; Outlook Positive;
-- Class E upgraded to 'Asf' from 'BBBsf'; Outlook Positive.
2014-4
-- Class A-2A affirmed at 'AAAsf'; Outlook Stable;
-- Class A-2B affirmed at 'AAAsf'; Outlook Stable;
-- Class A-3 affirmed at 'AAAsf'; Outlook Stable;
-- Class B upgraded to 'AAAsf' from 'AAsf'; Outlook Revised to
Stable from Positive;
-- Class C upgraded to 'AAsf' from 'Asf'; Outlook Positive;
-- Class D affirmed at 'BBBsf'; Outlook revised to Positive from
Stable;
-- Class E affirmed at 'BBsf'; Outlook revised to Positive from
Stable.
KEY RATING DRIVERS
The rating actions are based on available credit enhancement and
loss performance. The collateral pools continue to perform within
Fitch's expectations. Under the credit enhancement structure, the
securities are able to withstand stress scenarios consistent with
the current ratings and make full payments to investors in
accordance with the terms of the documents.
The ratings reflect the quality of AmeriCredit Financial Services,
Inc.'s (dba GM Financial) retail auto loan originations, the
strength of its servicing capabilities, and the sound financial and
legal structure of the transaction.
RATING SENSITIVITIES
Unanticipated increases in the frequency of defaults and loss
severity could produce loss levels higher than the current
projected base case loss proxies and impact available loss coverage
and multiples levels for the transactions. Lower loss coverage
could impact ratings and Rating Outlooks, depending on the extent
of the decline in coverage.
In Fitch's initial review of the transactions, the notes were found
to have limited sensitivity to a 1.5x and 2.5x increase of Fitch's
base case loss expectation. To date, the transactions have
exhibited strong performance with losses within Fitch's initial
expectations with rising loss coverage and multiple levels
consistent with the current ratings. A material deterioration in
performance would have to occur within the asset pools to have
potential negative impact on the outstanding ratings.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to these rating actions.
AMMC CLO IX: S&P Assigns BB Rating on Class E-R Notes
-----------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to the
class A-R, B-1-R, B-2-R, C-R, D-R, and E-R notes from AMMC CLO IX
Ltd., which is a U.S. collateralized loan obligation (CLO)
transaction managed by American Money Management Corp. In
addition, S&P withdrew its ratings on the transaction's class A, B,
C-1, C-2, D, and E notes after they were fully redeemed.
On the April 15, 2016, refinancing date, the proceeds from the
replacement notes issuances were used to redeem the original notes,
as outlined in the transaction document provisions. Therefore, S&P
withdrew the ratings on the transaction's original notes in line
with their full redemption and assigned ratings to the
transaction's replacement notes. The ratings reflect S&P's opinion
that the credit support available is commensurate with the
associated rating levels.
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 rating actions as its
deems necessary.
RATINGS ASSIGNED
AMMC CLO IX Ltd.
Replacement class Rating
A-R AAA (sf)
B-1-R AA (sf)
B-2-R AA (sf)
C-R A (sf)
D-R BBB (sf)
E-R BB (sf)
RATINGS WITHDRAWN
AMMC CLO IX Ltd.
Original class Rating
To From
A NR AAA (sf)
B NR AA+ (sf)
C-1 NR A+ (sf)
C-2 NR A+ (sf)
D NR BBB+ (sf)
E NR BB (sf)
NR--Not rated.
ASCENTIUM EQUIPMENT 2016-1: DBRS Gives BB Ratings to Class E Debt
-----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following Series
2016-1 notes issued by Ascentium Equipment Receivables 2016-1 Trust
(Ascentium):
-- Class A-1 rated R-1 (high) (sf)
-- Class A-2 rated AAA (sf)
-- Class A-3 rated AAA (sf)
-- Class B rated AAA (sf)
-- Class C rated A (high) (sf)
-- Class D rated BBB (high) (sf)
-- Class E rated BB (high) (sf)
The ratings assigned by DBRS to each class of notes are based on
the following considerations:
-- Credit enhancement available to each class of notes is
sufficient to pay timely periodic interest and principal by
the final maturity date on each class of notes in DBRS’s cash
flow modeling analysis.
-- Ascentium’s management has considerable experience and
expertise in the equipment leasing market.
-- The expected Asset Pool is granular and of relatively high
credit quality.
-- DBRS views Ascentium as an acceptable originator and servicer
of the small-ticket equipment collateral.
-- A satisfactory review of the legal structure and presence of
legal opinions that address true sale of the assets to the
Issuer, non-consolidation of the assets, which are held by the
special-purpose vehicle, with the assets of Ascentium, and
valid first-priority security interest of the Indenture
Trustee in the assets. The transaction is also reviewed for
consistency with the DBRS "Legal Criteria for U.S. Structured
Finance."
ASCENTIUM EQUIPMENT 2016-1: Moody's Puts Ba2 Ratings to Cl. E Notes
-------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
notes to be issued by Ascentium Equipment Receivables 2016-1 Trust
(ACER 2016-1), sponsored by Ascentium Capital LLC. The transaction
is a securitization of contracts backed by small ticket equipment
used for commercial purposes in physician offices, gas stations,
hotels and restaurants, among others.
The complete rating actions are as follows:
Issuer: Ascentium Equipment Receivables 2016-1 Trust
$84,000,000 Class A-2 Notes, Assigned (P)Aaa (sf)
$50,282,000 Class A-3 Notes, Assigned (P)Aaa (sf)
$26,397,000 Class B Notes, Assigned (P)Aa2 (sf)
$9,777,000 Class C Notes, Assigned (P)A2 (sf)
$4,889,000 Class D Notes, Assigned (P)Baa2 (sf)
$6,355,000 Class E Notes, Assigned (P)Ba2 (sf)
RATINGS RATIONALE
Moody's said the ratings are based on the quality of the underlying
equipment contracts and their strong historical and expected
performance, the transaction's full-turbo sequential structure, the
experience and expertise of Ascentium Capital LLC (unrated), as the
originator and servicer, and the back-up servicing arrangement with
U.S. Bank National Association (Aa1/P-1; stable).
Moody's cumulative net loss expectation is 2.25% for the ACER
2016-1 pool. Moody's net loss expectation for the ACER 2016-1
transaction is based on an analysis of the credit quality of the
underlying collateral, comparable issuer historical performance
trends, the ability of Ascentium Capital LLC to perform the
servicing functions, and current expectations for future economic
conditions. There is initially 24.5% hard credit enhancement behind
the Class A notes consisting of overcollateralization, a
non-declining reserve account and subordination.
BEAR STEARNS 2002-TOP8: S&P Raises Rating on Cl. K Certs to BB+
---------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on five
classes of commercial mortgage pass-through certificates from Bear
Stearns Commercial Mortgage Securities Trust 2002-TOP8, 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, and the liquidity available to the trust. 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 collateral's current and
future performance, the amount of the four defeased loans in the
transaction ($10.6 million, 50.4%), and the reduced trust balance.
Specifically, 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 does not believe at this time a
further default is virtually certain.
While available credit enhancement levels suggest further positive
rating movements on the classes, S&P's analysis also considered the
interest short falls and their repayment history, susceptibility to
reduced liquidity support for the loan ($1.1 million, 5.2%) on the
master servicer's watchlist, and that seven of the remaining eight
loans in the pool mature in 2017 ($14.2 million, 67.6%).
TRANSACTION SUMMARY
As of the March 15, 2016, trustee remittance report, the collateral
pool balance was $21.0 million, which is 2.5% of the pool balance
at issuance. The pool currently includes eight loans, down from
120 loans at issuance. Four of these loans are defeased, one loan
is on the master servicer's watchlist, and no loans are with the
special servicer. The master servicer, Wells Fargo Bank N.A.,
reported year-end 2015 financial information for all of the
nondefeased loans in the pool.
Excluding the defeased loans, S&P calculated a 1.64x Standard &
Poor's weighted average debt service coverage and 17.2% Standard &
Poor's weighted average loan-to-value ratio using a 7.22% Standard
& Poor's weighted average capitalization rate for the remaining
pool.
To date, the transaction has experienced $9.4 million in principal
losses, or 1.1% of the original pool trust balance.
RATINGS LIST
Bear Stearns Commercial Mortgage Securities Trust 2002-TOP8
Commercial mortgage pass-through certificates series 2002-TOP8
Rating Rating
Class Identifier To From
H 07383FNZ7 AA+ (sf) BB- (sf)
J 07383FPA0 AA (sf) B (sf)
K 07383FPB8 BB+ (sf) CCC- (sf)
L 07383FPC6 BB (sf) D (sf)
M 07383FPD4 B- (sf) D (sf)
BEAR STEARNS 2007-TOP28: DBRS Confirms B(sf) Rating on Cl. D Debt
-----------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of Bear
Stearns Commercial Mortgage Securities Trust, Series 2007-TOP28 as
follows:
-- Class A-1A at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class AM at AAA (sf)
-- Class X-1 at AAA (sf)
-- Class A-J at A (low) (sf)
-- Class B at BBB (sf)
-- Class C at BBB (low) (sf)
-- Class D at B (high) (sf)
-- Class E at CCC (sf)
-- Class F at CCC (sf)
In addition, DBRS has discontinued and withdrawn the rating for
Class G, as the class has defaulted. All trends are Stable, with
the exception of Class E and Class F, which have ratings that do
not carry trends.
The rating confirmations reflect the overall stability of the pool,
which has experienced a collateral reduction of 23.7% since
issuance, as a result of scheduled amortization and repayment at
maturity, as well as the principal recovered and losses realized at
liquidation for disposed loans. As of the March 2016 remittance
report, 166 loans remain in the pool out of the original 209 loans.
In the last 12 months, ten loans have left the trust, contributing
to a principal paydown of $133.3 million. Five of these loans were
liquidated from the trust with a combined realized loss of $25.2
million. The largest liquidated during that period was the Town
Center Promenade Shopping Center loan (Prospectus ID#35), which has
a realized loss total of $3.6 million, for a loss severity of 24.0%
on the outstanding trust balance at liquidation. To date, 17 loans
have liquidated from the trust, representing an aggregate realized
loss to the trust of $57.4 million. One loan, representing 1.1% of
the current pool, is scheduled to mature in the next 12 months,
while the majority of the remaining loans are scheduled to mature
in Q3 2017 and Q4 2017. Nine loans, representing 7.4% of the
current pool balance, are fully defeased. Based on the most recent
year-end reporting available for the underlying loans, the
transaction had a weighted-average (WA) debt service coverage ratio
(DSCR) and an exit debt yield of 1.50 times (x) and 10.8%,
respectively.
As of the March 2016 remittance report, there were 42 loans on the
servicer’s watchlist, representing 17.1% of the pool balance, and
one loan in special servicing, representing 0.3% of the pool
balance. Excluding the two defeased loans, the Top 15 loans
reported a WA amortizing DSCR of 1.42x, as based on the most recent
year-end reporting for each loan. However, the WA DSCR figure is
slightly depressed due to an artificially low DSCR reported for the
second-largest loan (3 Penn Plaza, Prospectus ID #2, 7.1% of the
pool), which showed a DSCR of 0.47x at YE2015. These figures appear
to be only reflective of the investment-grade single tenant’s
(Blue Cross Blue Shield of New Jersey (BCBSNJ)) contractual base
rent, and do not include any expense reimbursements. In 2010,
BCBSNJ extended its triple net lease (NNN) from April 2012 through
September 2022, as part of its acquisition of the property and
assumption of the trust loan. As part of the lease extension, the
terms were restructured to reflect a rent obligation equal to the
debt service requirement on the loan, resulting in a DSCR of 1.00x.
The rental rate will reset to market rates at the scheduled
maturity of October 2017. DBRS has highlighted the second-largest
loan on the servicer’s watchlist, Pavilions at Hartman Heritage,
below.
The Pavilions at Hartman Heritage loan is secured by a power center
located in Independence, Missouri, approximately 12 miles east of
the Kansas City CBD. The loan has been on the watchlist since 2009
for occupancy and cash flow declines since issuance. According to
the September 2015 rent roll, the property was 76.0% occupied with
an average rental rate of $13.48 per square foot (psf), an increase
from 66.0% with an average rental rate of $12.95 psf in September
2014. As of YE2015, REIS reported that buildings built between 2000
and 2009 within the Independence/Raytown submarket were achieving
higher rental rates than the subject at $14.89 psf, with a lower
vacancy rate of 14.4%. The largest tenants at the subject include
Bed Bath & Beyond (14.8% of the net rentable area (NRA), through
January 2022), Buy Buy Baby (12.6% of the NRA, through January
2022) and Cost Plus World Market (8.1% of the NRA through January
2022). According to the servicer, Party City (8.9% of the NRA) has
recently expanded its space by 9,821 sf, and signed a new lease on
a ten-year term. The tenant will pay $13.0 psf, subject to a $1.0
psf contractual increase, on an annual basis. The tenant will also
receive a $707,500 ($32.77 psf) TI package.
The Q3 2015 DSCR was 1.17x, up from 1.10x at YE2014; however, the
loan remains on the watchlist for upcoming rollover, as four
tenants, representing 14.6% of the NRA, have lease expirations
within the next 12 months. According to the servicer, the borrower
is actively marketing the property, and is reportedly in ongoing
lease negotiations with several prospective tenants, representing a
cumulative leasing potential of 25,900 sf (11.6% NRA). DBRS has
modelled this loan with an elevated probability of default to
capture the subject’s current financial performance and in
consideration of the increased risk associated with the near-term
tenant rollover.
The Boulder Tech Center loan is secured by a Class B office
property located in Longmont, Colorado, approximately 35 miles
northwest of the Denver CBD. As of YE2014 financials (most recent),
the loan had a DSCR of 1.63x, compared to 1.52x at YE2013 and the
DBRS UW figure of 1.22x. The loan was transferred to special
servicing in September 2015, as the borrower failed to make the
required tenant improvement and leasing reserve deposits, as stated
in the loan agreement. The property is currently 100% occupied by
Crocs, Inc. (Crocs) on a lease through July 2018; however, the
tenant provided notice of intent to exercise its early-terminate
option and vacate the property effective June 30, 2016. According
to the terms of the lease, an early termination fee of
approximately $177,000 is due from Crocs. The fee was reportedly
paid; however, as the borrower is disputing the tenant’s
compliance with the terms of the early termination option, the
funds were returned to the tenant by the borrower, according to the
special servicer. The special servicer is working with the borrower
to resolve these issues, but no clear workout strategy has been
determined. DBRS modeled the loan with an increased probability of
default, given the likelihood that the property will be vacant at
the time of the 2017 maturity date.
At issuance, DBRS shadow-rated three loans, Easton Town Center
(Prospectus ID# 1, 12.7% of the current pool), 3 Penn Plaza
(Prospectus ID# 2, 7.8% of the current pool) and Northwest
Marketplace (Prospectus ID# 16, 1.5% of the current pool). DBRS
confirms that the performance of these loans is consistent with
investment-grade loan characteristics.
CBAC COMMERCIAL 2007-1: Moody's Affirms C Rating on Cl. X-1 Debt
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
in CBA Commercial Assets, Small Balance Commercial Mortgage
Pass-Through Certificates Series 2007-1 as follows:
Cl. A, Affirmed Caa3 (sf); previously on Apr 16, 2015 Upgraded to
Caa3 (sf)
Cl. X-1, Affirmed C (sf); previously on Apr 16, 2015 Affirmed C
(sf)
RATINGS RATIONALE
The rating on the P&I class was affirmed because the rating is
consistent with Moody's expected loss.
The rating on the IO class was affirmed because the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes are consistent with Moody's expectations.
Moody's rating action reflects a base expected loss of 35.0% of the
current balance, compared to 32.4% at Moody's last review. Moody's
base expected loss plus realized losses is now 35.1% of the
original pooled balance, compared to 35.3% at the last review.
DEAL PERFORMANCE
As of the March 25, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 76% to $31 million
from $128 million at securitization. The certificates are
collateralized by 75 mortgage loans ranging in size from less than
1% to 8% of the pool, with the top ten loans constituting 37% of
the pool.
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.
Eighty-three loans have been liquidated from the pool, resulting in
an aggregate realized loss of $34 million (for an average loss
severity of 69%). Twenty-seven loans, constituting 39% of the pool,
are currently in special servicing.
Moody's estimates an aggregate $9.2 million loss for specially
serviced loans (75% expected loss on average).
Moody's has assumed a high default probability for eleven other
loans, constituting 13% of the pool, and has estimated an aggregate
loss of $1.5 million (38% expected loss on average) from these
troubled loans.
CCRESG 2016-HEAT: S&P Assigns Preliminary B- Rating on Cl. F Certs
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary ratings
to CCRESG Commercial Mortgage Trust 2016-HEAT's $160.0 million
commercial mortgage pass-through certificates series 2016-HEAT.
The issuance is a CMBS securitization backed by a five-year,
fixed-rate commercial mortgage loan totaling $160.0 million,
secured by a first-lien mortgage on the borrower's leasehold
interest in the Ritz-Carlton South Beach in Miami Beach, Fla.
The preliminary ratings are based on information as of April 13,
2016. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of the collateral's
historical and projected performance, the sponsors' and manager's
experience, the trustee-provided liquidity, the loan's terms, and
the transaction's structure. S&P determined that the loan has a
beginning and ending loan-to-value (LTV) ratio of 93.9% based on
our value of the property backing the transaction.
PRELIMINARY RATINGS ASSIGNED
CCRESG Commercial Mortgage Trust 2016-HEAT
Preliminary Preliminary
Class rating amount ($)
A AAA (sf) 51,100,000
X BBB- (sf) 103,600,000 (i)
B AA- (sf) 19,300,000
C A- (sf) 14,300,000
D BBB- (sf) 18,900,000
E BB- (sf) 29,800,000
F B- (sf) 26,600,000
(i) Notional balance. The notional amount of the class X
certificates will be reduced by the aggregate amount of principal
distributions and realized losses allocated to the class A, class
B, class C, and class D certificates.
CENT CDO 14: Moody's Affirms Ba1(sf) Rating on Class D Notes
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Cent CDO 14 Limited:
US$33,750,000 Class B Senior Floating Rate Notes Due April 15,
2021, Upgraded to Aa1 (sf); previously on February 24, 2014
Upgraded to Aa2 (sf)
Moody's also affirmed the ratings on the following notes:
US$110,000,000 Class A-1 Senior Term Notes Due April 15, 2021
(current outstanding balance of $104,462,624), Affirmed Aaa (sf);
previously on February 24, 2014 Affirmed Aaa (sf)
US$236,250,000 Class A-2a Senior Term Notes Due April 15, 2021
(current outstanding balance of $223,035,806), Affirmed Aaa (sf);
previously on February 24, 2014 Affirmed Aaa (sf)
US$26,250,000Class A-2b Senior Term Notes Due April 15, 2021,
Affirmed Aaa (sf); previously on February 24, 2014 Upgraded to Aaa
(sf)
US$24,375,000 Class C Deferrable Mezzanine Floating Rate Notes Due
April 15, 2021, Affirmed A3 (sf); previously on February 24, 2014
Upgraded to A3 (sf)
US$18,750,000 Class D Deferrable Mezzanine Floating Rate Notes Due
April 15, 2021, Affirmed Ba1 (sf); previously on February 24, 2014
Upgraded to Ba1 (sf)
US$12,500,000 Class E Deferrable Junior Floating Rate Notes Due
April 15, 2021, Affirmed Ba3 (sf); previously on February 24, 2014
Upgraded to Ba3 (sf)
Cent CDO 14 Limited, issued in March 2007, is a collateralized loan
obligation (CLO) backed primarily by a portfolio of senior secured
loans. The transaction's reinvestment period ended in April 2014.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes since April 2015. The Class A notes have been paid
down by approximately 3.4% or $12.4 million in total since then.
The deal has also benefited from an improvement in the credit
quality of the portfolio since April 2015. Based on the trustee's
March 2016 report, the weighted average rating factor is currently
2296 compared to 2418 in April 2015.
The portfolio includes a number of investments in securities that
mature after the notes do. Based on the trustee's March 2016
report, securities that mature after the notes do currently make up
approximately 5.53% of the portfolio compared with 2.7% in April
2015. These investments could expose the notes to market risk in
the event of liquidation when the notes mature.
CITIGROUP 2013-375P: Moody's Affirms Ba1 Rating on Class E Debt
---------------------------------------------------------------
Moody's Investors Service affirmed the ratings of six classes of
Citigroup Commercial Mortgage Trust 2013-375P, Commercial Mortgage
Pass-Through Certificates Series 2013-375P as follows:
Cl. A, Affirmed Aaa (sf); previously on Oct 30, 2015 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa1 (sf); previously on Oct 30, 2015 Upgraded to
Aa1 (sf)
Cl. C, Affirmed A1 (sf); previously on Oct 30, 2015 Upgraded to A1
(sf)
Cl. D, Affirmed Baa1 (sf); previously on Oct 30, 2015 Upgraded to
Baa1 (sf)
Cl. E, Affirmed Ba1 (sf); previously on Oct 30, 2015 Upgraded to
Ba1 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on Oct 30, 2015 Affirmed Aaa
(sf)
RATINGS RATIONALE
The affirmations of the principal and interest (P&I) classes are
due to key parameters, including Moody's loan to value (LTV) ratio
and Moody's stressed debt service coverage ratio (DSCR) remaining
within acceptable ranges. The rating of interest-only (IO) Class
X-A was affirmed based on the credit performance of its referenced
class.
CITIGROUP 2014-GC21: Fitch Affirms B Rating on Class F Certificates
-------------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of Citigroup Commercial
Mortgage Trust commercial mortgage pass-through certificates series
2014-GC21.
KEY RATING DRIVERS
The affirmations are due to overall stable performance. The stable
performance reflects no material changes to pool metrics since
issuance, therefore the original rating analysis was considered in
affirming the transaction.
As of the March 2016 distribution date, the pool's aggregate
principal balance has been reduced by 1.5% to $1.02 billion from
$1.04 billion at issuance. No loans are defeased. Interest
shortfalls are currently affecting class G. There are six loans
(9%) on the servicer's watchlist, mostly due to deferred
maintenance and lease rollover exposure. None of the watchlist
loans are considered Fitch Loans of Concern.
The largest loan in the pool is the Maine Mall loan (12.2% of the
pool), which is secured by a 1.2 million square foot (sf) regional
mall located approximately six miles southwest of Portland, ME. The
mall has four anchors: Macy's (non-collateral), Sears
(non-collateral), Bon Ton, and JCPenney. There are also junior
anchors: Best Buy, Sports Authority, XXI Forever, and Old Navy. The
mall also features the only Apple store in the state of Maine. The
debt service coverage ratio (DSCR) was reported to be 2.03x as of
year-end (YE) 2015. Occupancy was reported to be 97%, which is in
line with the occupancy at issuance.
The next largest loan in the pool is the Newcastle Senior Housing
Portfolio loan (9.8%). The loan is collateralized by 26
independent living senior housing facilities, totaling 3,002 units.
Located across 14 states, the portfolio is 100% private pay and
offers no assisted living functions. As of Sept. 2015, the DSCR
and occupancy was reported to be 1.92x and 93%, respectively,
compared to 1.59x and 91% at issuance.
The third largest loan in the pool is the Greene Town Center loan
(4.5%), which is secured by an open-air, mixed-use lifestyle center
located in Beavercreek, OH, roughly 10 miles southwest of Dayton.
The collateral consists of retail (566,634 sf), office (143,343 sf)
and residential space (206 units totaling 199,248 sf). Built in
phases from 2006-2008, the property is anchored by Von Maur (ground
lease), Urban Active Fitness (LA Fitness) and Nordstrom Rack. The
office and residential portions of the property are located above
the retail space on the second floor of the buildings. The DSCR
was reported to be 1.86x as of September 2014. Occupancy was
reported to be 90%, which is in line with the occupancy at
issuance. Updated financial information has been requested. Fitch
will continue to closely monitor performance given the outdated
reporting for this loan.
RATING SENSITIVITIES
The Rating Outlook for all classes remains Stable due to stable
collateral 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 these classes:
-- $36.5 million class A-1 at 'AAAsf'; Outlook Stable;
-- $63.2 million class A-2 at 'AAAsf'; Outlook Stable;
-- $9.6 million class A-3 at 'AAAsf'; Outlook Stable;
-- $240 million class A-4 at 'AAAsf'; Outlook Stable;
-- $291.4 million class A-5 at 'AAAsf'; Outlook Stable;
-- $71.6 million class A-AB at 'AAAsf'; Outlook Stable;
-- $770.8* million class X-A at 'AAAsf'; Outlook Stable;
-- $115.7* million class X-B at 'AA-sf'; Outlook Stable;
-- $58.5 million class A-S at 'AAAsf'; Outlook Stable;
-- $70.2 million class B at 'AA-sf'; Outlook Stable;
-- $0 class PEZ at 'A-sf'; Outlook Stable;
-- $45.5 million class C at 'A-sf'; Outlook Stable;
-- $24.7* million class X-C at 'BBsf'; Outlook Stable;
-- $50.7 million class D at 'BBB-sf'; Outlook Stable;
-- $24.7 million class E at 'BBsf'; Outlook Stable;
-- $13 million class F at 'Bsf'; Outlook Stable.
* Notional and interest-only.
Fitch does not rate the class G or X-D certificates. Class A-S, B,
and C certificates may be exchanged for a related amount of class
PEZ certificates, and class PEZ certificates may be exchanged for
class A-S, B, and C certificates.
CITIGROUP 2016-P3: Fitch Rates $9.63MM Class F Certificates 'Bsf'
-----------------------------------------------------------------
Fitch Ratings has assigned these ratings and Rating Outlooks to
Citigroup Commercial Mortgage Trust 2016-P3 Commercial Mortgage
Pass-Through Certificates:
-- $13,614,000 class A-1 'AAAsf'; Outlook Stable;
-- $98,127,000 class A-2 'AAAsf'; Outlook Stable;
-- $175,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $221,743,000 class A-4 'AAAsf'; Outlook Stable;
-- $31,196,000 class A-AB 'AAAsf'; Outlook Stable;
-- $580,156,000b class X-A 'AAAsf'; Outlook Stable;
-- $42,404,000b class X-B 'AA-sf'; Outlook Stable;
-- $40,476,000c class A-S 'AAAsf'; Outlook Stable;
-- $42,404,000c class B 'AA-sf'; Outlook Stable;
-- $121,428,000c class EC 'A-sf'; Outlook Stable;
-- $38,548,000c class C 'A-sf'; Outlook Stable;
-- $44,331,000a class D 'BBB-sf'; Outlook Stable;
-- $44,331,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $19,274,000a class E 'BBsf'; Outlook Stable;
-- $9,637,000a class F 'Bsf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
(c) The class A-S, class B and class C certificates may be
exchanged for class EC certificates, and class EC
certificates may be exchanged for the class A-S, class B and
class C certificates.
Fitch does not rate the $36,622,163a class G certificates.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 37 loans secured by 75
commercial properties having an aggregate principal balance of
approximately $771 million as of the cutoff date. The loans were
contributed to the trust by Citigroup Commercial Mortgage
Securities Inc., Natixis Real Estate Capital LLC, Societe Generale,
Macquarie US Trading LLC d/b/a Principal Commercial Capital, The
Bank of New York Mellon, and Walker & Dunlop Commercial Property
Funding I WF, LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral including site inspections on 79.5% of the properties by
balance, cash flow analysis of 90.8%, and asset summary reviews on
100% of the pool.
KEY RATING DRIVERS
High Fitch Leverage: The pool demonstrates high leverage statistics
with a Fitch debt service coverage ratio (DSCR) and loan-to-value
(LTV) of 1.14x and 108.7%, respectively. Excluding the
credit-opinion 225 Liberty Street loan (5.3% of the pool), the
Fitch DSCR and LTV are 1.12x and 111.4%, respectively. The 2015
and YTD 2016 average DSCRs were 1.18x and 1.14x, respectively. The
2015 and YTD 2016 average Fitch LTVs were 109.3% and 108.7%,
respectively.
New York City Concentration: Ten loans (39.2% of the pool) are
secured by properties located in the New York MSA, including six of
the top 10. Nyack College NYC, 600 Broadway, 79 Madison Avenue, 5
Penn Plaza and 225 Liberty Street are located in Manhattan. One
Court Square is located in Long Island City, Queens.
Below-Average Amortization: The pool is scheduled to amortize 6.8%
of the initial pool balance prior to maturity, significantly lower
than the 2015 and YTD 2016 averages of 11.7% and 10%, respectively.
Twelve loans (47.4%) are full-term, interest-only, and 13 loans
(37%) are partial-interest-only. The remaining 12 loans (15.6%)
are amortizing balloon loans with terms of five to 10 years.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 12% below the
most recent year's NOI (for properties for which a full-year NOI
was provided, excluding properties that were stabilizing during
this period). Unanticipated further declines in property-level NCF
could result in higher defaults and loss severities on defaulted
loans, and could lead to potential rating actions on the
certificates.
Fitch evaluated the sensitivity of the ratings assigned to CGCMT
2016-P3 certificates and found that the transaction displays
average sensitivity to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'A-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf'
could result. The presale report includes a detailed explanation
of additional stresses and sensitivities on page 10.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from
Deloitte & Touche LLP. The third-party due diligence information
was provided on Form ABS Due Diligence-15E and focused on a
comparison and re-computation of certain characteristics with
respect to each of the 37 mortgage loans. Fitch considered this
information in its analysis and the findings did not have an impact
on its analysis.
COMM 2014-CCRE17: Moody's Affirms Ba2 Rating on Cl. E Certificates
------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on 14 classes in
COMM 2014-CCRE17 Mortgage Trust, Commercial Mortgage Pass-Through
Certificates as:
Cl. A-1, Affirmed Aaa (sf); previously on April 22, 2015,
Affirmed Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on April 22, 2015,
Affirmed Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on April 22, 2015,
Affirmed Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on April 22, 2015,
Affirmed Aaa (sf)
Cl. A-5, Affirmed Aaa (sf); previously on April 22, 2015,
Affirmed Aaa (sf)
Cl. A-M, Affirmed Aaa (sf); previously on April 22, 2015,
Affirmed Aaa (sf)
Cl. A-SB, Affirmed Aaa (sf); previously on April 22, 2015,
Affirmed Aaa (sf)
Cl. B, Affirmed Aa3 (sf); previously on April 22, 2015, Affirmed
Aa3 (sf)
Cl. C, Affirmed A3 (sf); previously on April 22, 2015, Affirmed
A3 (sf)
Cl. D, Affirmed Baa3 (sf); previously on April 22, 2015,
Affirmed Baa3 (sf)
Cl. E, Affirmed Ba2 (sf); previously on April 22, 2015, Affirmed
Ba2 (sf)
Cl. PEZ, Affirmed A1 (sf); previously on April 22, 2015,
Affirmed A1 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on April 22, 2015,
Affirmed Aaa (sf)
Cl. X-B, Affirmed Baa1 (sf); previously on April 22, 2015,
Affirmed Baa1 (sf)
RATINGS RATIONALE
The ratings on 11 Classes, the Classes A-1 through E were affirmed
because the transaction's key metrics, including Moody's
loan-to-value (LTV) ratio, Moody's stressed debt service coverage
ratio (DSCR) and the transaction's Herfindahl Index (Herf), are
within acceptable ranges.
The rating on the exchangeable Class PEZ was affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of the referenced exchangeable classes.
The ratings on two IO Classes, Class X-A and X-B, were 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 3.6% of the
current balance, compared to 3.3% at Moody's last review. Moody's
base expected loss plus realized losses is now 3.6% of the original
pooled balance, compared to 3.3% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Approach to
Rating US and Canadian Conduit/Fusion CMBS" published in December
2014.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based CMBS Conduit Model, which it
uses for both conduit and fusion transactions. Credit enhancement
levels for conduit loans are driven by property type, Moody's
actual and stressed DSCR, and Moody's property quality grade (which
reflects the capitalization rate Moody's uses to estimate Moody's
value). Moody's fuses the conduit results with the results of its
analysis of investment grade structured credit assessed loans and
any conduit loan that represents 10% or greater of the current pool
balance.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 21, the same as at Moody's last review.
DEAL PERFORMANCE
As of the April 10, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 1.2% to $1.18
billion from $1.19 billion at securitization. The certificates are
collateralized by 59 mortgage loans ranging in size from less than
1% to 12% of the pool, with the top ten loans constituting 55% of
the pool. There are no loans that have investment-grade structured
credit assessments.
Three loans, constituting 3% 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.
There are currently no loans in special servicing. No loans have
been liquidated from the pool since securitization.
Moody's received full year 2014 operating results for 99% of the
pool, and full or partial year 2015 operating results for 100% of
the pool. Moody's weighted average conduit LTV is 102% compared to
106% 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 8% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.5%.
Moody's actual and stressed conduit DSCRs are 1.59X and 1.03X,
respectively, compared to 1.55X and 0.98X 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 32% of the pool balance. The
largest loan is the Bronx Terminal Market Loan ($140.0 million --
11.9% of the pool), which represents a participation interest in a
$380.0 million mortgage loan. The loan is secured by a borrower's
leasehold interest in a 912,333 square foot (SF) anchored retail
power center located in Bronx, New York. The center is of Class A
quality and anchored by Target, BJs and Home Depot. The property
is subject to a ground lease which expires in September 2055. As
of December 2015, the collateral was 99% leased, the same at the
last review. Performance has been stable. Moody's LTV and
stressed DSCR are 108% and 0.80X, respectively, the same at the
last review.
The second largest loan is the 25 Broadway Loan ($130.0 million --
11.0% of the pool), which represents a participation interest in a
250.0 million mortgage loan. The loan is secured by a 22-story,
Class B office building located in the financial district submarket
of Manhattan. The largest tenants are Claremont Preparatory School
(19% of NRA) and Deloitte & Touche (15% of NRA). As of September
2015, the property was 96% leased, the same at last review.
Moody's LTV and stressed DSCR are 119% and 0.80X, respectively, the
same at the last review.
The third largest loan is the Cottonwood Mall Loan ($101.9 million
-- 8.7% of the pool), which is secured by 410,452 SF within a
1.06M SF super-regional mall located in western Albuquerque, New
Mexico. The property is anchored by Dillard's, Macy's, JCPenney,
Sears, Conn's HomePlus and a 16-screen Regal Cinema, with only the
Regal Cinema being collateral. The property anchors the retail hub
of western Albuquerque, primarily serving the area west of
Interstate 25 and the Rio Grande River, including the Rio Grande
submarket. As of December 2015, the property was 94% leased
compared to 92% leased at last review. Performance has been
stable. Moody's LTV and stressed DSCR are 87% and 1.27X,
respectively, compared to 89% and 1.25X at the last review.
COMM 2014-UBS6: Fitch Affirms BB- Rating on Cl. F Certificates
--------------------------------------------------------------
Fitch Ratings has affirmed 17 classes of COMM 2014-UBS6
pass-through certificates, which were issued by Deutsche Bank
Securities, Inc.
KEY RATING DRIVERS
The affirmations are due to overall stable performance. The stable
performance reflects no material changes to pool metrics since
issuance, therefore, the original rating analysis was considered in
affirming the transaction.
As of the March 2016 distribution date, the pool has paid down 8%,
to $1.27 billion from $1.28 billion at issuance. There are 10
loans (17.9%) on the master servicer's watch list, mostly due to
occupancy declines, deferred maintenance, and a fire at one of the
properties. Of the loans on the watch list, three loans (6.9%) are
considered Fitch Loans of Concern, including the one specially
serviced loan (0.7%).
The largest Fitch Loan of Concern is the University Village loan
(3.1% of pool balance) which is secured by a 1,164 bed student
housing property in Tuscaloosa, AL, less than two miles from the
University of Alabama campus. As of the third quarter 2015 (3Q15),
occupancy declined to 57.7% from 98.8% at 2Q15 primarily as a
result of tenant evictions. Upon acquisition of the property at
issuance, the sponsor has substantially upgraded property amenities
and instituted stronger tenant screening processes. The sponsor
remains committed to the property and projects stabilization of the
property by the 2017/2018 school year. At issuance, Fitch noted a
significant number of deliveries during 2015 which may have
impacted the property.
The second largest Fitch Loan of Concern is the 811 Wilshire loan
(3.1% of pool balance) which is secured by a 336,190 square foot
office building located in downtown Los Angeles, CA. This property
experienced an explosion leading to a fire and flooding in its
basement. The building was deemed unsafe for occupancy on Aug. 20,
2015; however, all tenants resumed occupancy on Sept. 25, 2015.
The property maintains comprehensive property insurance including
business interruption coverage. Performance has declined as a
result of expenses which appear related to the explosion at the
property. Fitch continues to monitor performance and
restabilization of the property which is likely, given the resumed
tenant occupancy and insurance coverage.
The specially serviced loan is the Black Gold Suites Hotel
Portfolio (0.7% of pool balance) which is secured by two unflagged
hotel properties totaling 189 rooms in Tioga and Stanley, ND. The
loan transferred to special servicing in January 2016 due to
imminent monetary default. Both hotels are located on the Bakken
Formation and reflect exposure to the energy industry. Performance
of the portfolio has declined with significant declines in
occupancy and average daily rates as of February 2016. Two hotels
totaling 169 keys opened in the Tioga market, in which Black Gold
Suites Tioga was previously the only hotel option. An additional
89-key hotel opened in the Stanley market as well in which Black
Gold Suites only major competition was previously a 77-key hotel.
The sponsor is currently in negotiations with the special servicer
for a short-term forbearance agreement under the presumption that
oil prices will recover. The loan was 30 days delinquent as of the
March 2016 distribution date.
Last month, Fitch traveled to the Bakken region and visited the
portfolio, spending time in both Tioga and Stanley. At the time of
the visit, the subject hotels as well as competing properties
showed little signs of activity. It is noted that this is not peak
season for oil production, and while demand may increase during
warmer months, Fitch anticipates performance will remain below
expectations if oil prices remain at their current levels.
RATING SENSITIVITIES
The Rating Outlook on class F has been revised to Negative as a
result of the negative impact from additional stressed analysis on
both the specially serviced loan and two Fitch loans of concern.
Sustained underperformance may warrant a downgrade; conversely the
Rating Outlook may be revised to Stable should asset level
performance revert to levels seen at issuance. Rating Outlooks on
A-1 through E remain Stable due to the overall stable performance
of the pool. Downgrades are possible with significant performance
decline. Upgrades, while not likely in the near term, are possible
with increased credit enhancement and overall improved pool
performance.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch affirms and revises the Rating Outlook on this class:
-- $20.7 million class F at 'BB-sf', Outlook to Negative from
Stable.
Fitch affirms these classes as indicated:
-- $47 million class A-1 at 'AAAsf', Outlook Stable;
-- $103 million class A-2 at 'AAAsf', Outlook Stable;
-- $22.9 million class A-3 at 'AAAsf', Outlook Stable;
-- $97.4 million class A-SB at 'AAAsf', Outlook Stable;
-- $275 million class A-4 at 'AAAsf', Outlook Stable;
-- $337.7 million class A-5 at 'AAAsf', Outlook Stable;
-- $97.3 million class A-M at 'AAAsf', Outlook Stable;
-- $57.4 million class B at 'AA-sf', Outlook Stable;
-- $220 million class PEZ at 'A-sf', Outlook Stable;
-- $65.4 million class C at 'A-sf', Outlook Stable;
-- $60.6 million class D at 'BBB-sf', Outlook Stable;
-- $12.8 million class E at 'BB+sf', Outlook Stable;
-- Interest-Only class X-A at 'AAAsf'; Outlook Stable;
-- Interest-Only class X-B at 'A-sf'; Outlook Stable;
-- Interest-Only class X-C at 'BBB-sf'; Outlook Stable;
-- Interest-Only class X-D at 'BB-sf'; Outlook Stable.
Fitch does not rate classes G, H, or X-E.
CS FIRST BOSTON 2001-CF2: Moody's Cuts Cl. H Debt Rating to Caa3
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes,
upgraded the rating on one class and downgraded the rating on one
class in CS First Boston Mortgage Securities Corp 2001-CF2,
Commercial Mortgage Pass-Through Certificates, Series 2001-CF2 as
follows:
Cl. G, Upgraded to Aaa (sf); previously on May 8, 2015 Upgraded to
Aa2 (sf)
Cl. H, Downgraded to Caa3 (sf); previously on May 8, 2015 Affirmed
Caa1 (sf)
Cl. J, Affirmed C (sf); previously on May 8, 2015 Affirmed C (sf)
Cl. A-X, Affirmed Caa3 (sf); previously on May 8, 2015 Affirmed
Caa3 (sf)
RATINGS RATIONALE
The rating on one P&I class was affirmed because the ratings are
consistent with Moody's expected loss.
The rating on the IO class was affirmed based on the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes.
The rating on one P&I class was upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 14% since Moody's last
review.
The rating on one P&I class was downgraded due to realized and
anticipated losses from specially serviced and troubled loans that
were higher than Moody's had previously expected.
Moody's rating action reflects a base expected loss of 41.9% of the
current balance, compared to 43.0% at Moody's last review. Moody's
base expected loss plus realized losses is now 7.0% of the original
pooled balance, compared to 6.9% at the last review.
DEAL PERFORMANCE
As of the March 17, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $20.1 million
from $1.1 billion at securitization. The certificates are
collateralized by seven mortgage loans ranging in size from 1% to
61% of the pool. One loan, constituting 30% of the pool, has
defeased and is secured by US government securities.
One loan, constituting 1% of the pool, is on the master servicer's
watchlist. The watchlist includes loans that meet certain portfolio
review guidelines established as part of the CRE Finance Council
(CREFC) monthly reporting package. As part of Moody's ongoing
monitoring of a transaction, the agency reviews the watchlist to
assess which loans have material issues that could affect
performance.
Forty-three loans have been liquidated from the pool, resulting in
an aggregate realized loss of $68 million (for an average loss
severity of 45%). One loan, constituting 61% of the pool, is
currently in special servicing. The specially serviced loan is the
Jenkins Court Loan ($12.3 million -- 61.2% of the pool), which is
secured by a 172,240 square-foot, 1930-era office building in
Jenkintown, Pennsylvania, a northern suburb of Philadelphia. The
building includes a ground-floor retail component. The loan
transferred to special servicing in May 2013 due to imminent
default and became real estate owned (REO) in June 2014. The
property is 60% leased as of February 2016 compared to 62% at last
review. The disposition strategy is to continue to lease the
property until it is stabilized, then sell the asset. The asset is
not currently listed for sale. Moody's estimates a modest loss for
the specially serviced loan.
Moody's received full year 2014 operating results for 80% of the
pool, and full or partial year 2015 operating results for 80% of
the pool. Moody's weighted average conduit LTV is 31%, compared to
37% 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 14% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.94%.
Moody's actual and stressed conduit DSCRs are 1.19X and 4.72X,
respectively, compared to 1.11X and 3.54X 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 7% of the pool balance. The
largest loan is the Rite Aid Pharmacy - White Township, NJ (1) Loan
($844,444 -- 4.2% of the pool). The loan is secured by 11,180 SF
single tenant drug store retail property in Belvidere, NJ in the
Lehigh Valley (approximately 60 miles west of Newark, NJ). The
property is full leased to Rite-Aid (Moody's senior unsecured
rating of B3). The loan is fully amortizing and has amortized 60%
since securitization. The loan is also encumbered by a $243,304 B
Note. Moody's current LTV and stressed DSCR are 43% and, 2.51X
respectively, compared to 49% and 2.22X at last review.
The second-largest loan is the Rite Aid Pharmacy -- Slidell, LA
Loan ($247,313 -- 1.2% of the pool). The loan is secured by 11,235
SF single tenant drug store retail property in Slidell, LA
(approximately 30 miles northeast of New Orleans, LA). The property
is full leased to Rite-Aid (Moody's senior unsecured rating of B3).
The loan is fully amortizing and has amortized 86% since
securitization. The loan is also encumbered by a $281,982 B Note.
Moody's current LTV and stressed DSCR are 14% and, >4.00X
respectively, compared to 22% and 5X at last review.
The third-largest loan is the Starflite Apartments Loan ($212,614
-- 1.1% of the pool), which is secured by a 24 unit multifamily
complex built in 1961 and located in Hapeville, GA (approximately
seven miles south of downtown Atlanta, GA). Occupancy was 96% at
year-end 2015 compared to 92% at year-end 2014. The loan is fully
amortizing and has amortized 54% since securitization. Moody's
current LTV and stressed DSCR are 39% and, 2.65X respectively,
compared to 63% and 1.63X at last review.
CSFB COMMERCIAL 2002-CKP1: Moody's Affirms C Rating on Cl. L Certs
------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
and upgraded the rating on one class in CSFB Commercial Mortgage
Trust 2002-CKP1, Commercial Mortgage Pass-Through Certificates,
Series 2002-CKP1 as follows:
Cl. K-Z, Upgraded to Baa3 (sf); previously on May 29, 2015 Upgraded
to B1 (sf)
Cl. L, Affirmed C (sf); previously on May 29, 2015 Affirmed C (sf)
Cl. A-X, Affirmed Caa3 (sf); previously on May 29, 2015 Affirmed
Caa3 (sf)
RATINGS RATIONALE
The rating on Class K-Z was upgraded primarily due to Moody's
expectation of additional increases in credit support resulting
from the payoff of loans approaching maturity that are well
positioned for refinance. Loans constituting 67% of the pool that
have debt yields exceeding 12.0% are scheduled to mature within the
next 12 months.
The rating on Class L was affirmed because the ratings are
consistent with Moody's expected loss. Class L has experienced a
55% realized loss as result of previously liquidated loans.
The rating on the IO class, Class A-X, was affirmed based on the
credit performance of its referenced classes.
Moody's rating action reflects a base expected loss of 15.8% of the
current balance, compared to 15.9% at Moody's last review. Moody's
base expected loss plus realized losses is now 6.2% of the original
pooled balance, compared to 6.3% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
DEAL PERFORMANCE
As of the March 17, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 98.6% to $14 million
from $992.9 million at securitization. The certificates are
collateralized by 7 mortgage loans. One loan, constituting 5.7% of
the pool, has defeased and is secured by US government securities.
One loan, constituting 0.5% of the pool, is on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Forty loans have been liquidated from the pool, thirty-nine of
these loans resulted in an aggregate realized loss of $59.8 million
(for an average loss severity of 39%). The one specially serviced
loan is the North Port Shopping Center Loan ($3.6 million -- 25.4%
of the pool), which is secured by a 67,000 square foot (SF) retail
property located in Port Washington, Wisconsin. The loan
transferred to special servicing in June 2010 due to imminent
default and became real estate owned (REO) in August 2012. The two
largest tenants include Sanfilippo Bros. (70% of the NRA) and
Lakeshore Vet (7% of the NRA). The property did not trade in a July
2015 auction and the special servicer indicated that the asset
manager is re-evaluating the asset and possible disposition
strategy. Moody's has assumed a significant loss on this loan.
Moody's received full year 2014 operating results for 100% of the
pool, and full or partial year 2015 operating results for 80% of
the pool. Moody's weighted average conduit LTV is 76%, 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 13% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.1%.
Moody's actual and stressed conduit DSCRs are 1.06X and 1.32X,
respectively, compared to 1.10X and 1.38X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 61.2% of the pool balance.
The largest conduit loan is the Chapel Ridge of Emporia Apartments
Loan ($4.0 million -- 28.6% of the pool), which is secured by a
128-unit multifamily building located in Emporia, Kansas. The
property was 93% leased as of December 2015, compared to 95% as of
March 2015. The loan matures in February 2017 and Moody's LTV and
stressed DSCR are 80.7% and 1.21X, respectively, compared to 82.9%
and 1.17X at last review.
The second largest conduit loan is the Chapel Ridge Apartments of
Haysville Loan ($3.5 million -- 25.1% of the pool), which is
secured by a 128-unit multifamily property located in Haysville,
Kansas. As per the December 2015 rent roll, the property was 98%
leased, compared to 95% leased as of March 2015. The loan matures
in December 2016 and Moody's LTV and stressed DSCR are 74.7% and
1.30X, respectively, compared to 77.9% and 1.25X at last review.
The third largest conduit loan is the Barry Town Shopping Center
Loan ($1.0 million -- 7.4% of the pool), which is secured by a
17,600 square foot (SF) retail property in Kansas City, Missouri.
The property was fully leased from 2010 until January 2015 by three
tenants. However, Verizon Wireless vacated at their lease
expiration in January 2015 leaving the property 78% leased as of
March 2015. The two remaining tenants are Famous Footwear (57% of
the NRA; lease expiration in October 2016) and The Mattress Firm
(22% of the NRA; lease expiration in October 2017). The loan is a
fully amortizing and matures in March 2022. Property performance
has declined due to the decrease in occupancy. Moody's LTV and
stressed DSCR are 61.2% and 1.77X, respectively, compared to 58.1%
and 1.86X at last review.
DBJPM 2016-C1: Fitch Assigns 'BB-sf' Rating to Class E Notes
------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to Deutsche Bank Securities, Inc.'s DBJPM 2016-C1 Mortgage
Trust commercial mortgage pass-through certificates:
-- $28,858,000 class A-1 'AAAsf'; Outlook Stable;
-- $35,000,000 class A-2 'AAAsf'; Outlook Stable;
-- $46,052,000 class A-SB 'AAAsf'; Outlook Stable;
-- $140,000,000 class A-3A 'AAAsf'; Outlook Stable;
-- $247,714,000 class A-4 'AAAsf'; Outlook Stable;
-- $637,044,000b class X-A 'AAAsf'; Outlook Stable;
-- $64,420,000 class A-M 'AAAsf'; Outlook Stable;
-- $50,105,000 class B 'AA-sf'; Outlook Stable;
-- $35,789,000 class C 'A-sf'; Outlook Stable;
-- $75,000,000a class A-3B 'AAAsf'; Outlook Stable;
-- $85,894,000ab class X-B 'A-sf'; Outlook Stable;
-- $38,856,000ab class X-C 'BBB-sf'; Outlook Stable;
-- $17,384,000ab class X-D 'BB-sf'; Outlook Stable;
-- $38,856,000a class D 'BBB-sf'; Outlook Stable;
-- $17,384,000a class E 'BB-sf'; Outlook Stable;
-- $8,180,000a 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 $16,360,000 interest-only class X-E, the
$22,496,828 interest-only class X-F, the $8,180,000 class G, or the
$22,496,828 class H.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 33 loans secured by 45
commercial properties having an aggregate principal balance of
$818,034,828 as of the cut-off date. The loans were contributed to
the trust by German American Capital Corporation and JP Morgan
Chase Bank, National Association.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 85.3% of the properties
by balance and asset summary reviews and cash flow analysis of
92.6% of the pool.
KEY RATING DRIVERS
Low Fitch Leverage: This transaction has lower leverage than other
recent Fitch-rated transactions. The Fitch debt service coverage
ratio (DSCR) for the trust is 1.25x, while the year-to-date (YTD)
2016 and 2015 averages are 1.14x and 1.18x, respectively. The Fitch
loan-to-value (LTV) for the trust is 98.7%, which is lower than the
YTD 2016 and 2015 averages of 108.7% and 109.3%, respectively.
Excluding the credit-opinion loans (14.7% of the pool), the Fitch
DSCR and LTV are 1.21x and 105.7%.
High Pool Concentration: The pool is more concentrated than other
recent Fitch-rated multiborrower transactions. The top 10 loans
comprise 56.8% of the pool, which is in-line with the recent
averages of 56.2% for YTD 2016 and above the 2015 average of 49.3%.
Additionally, the loan concentration index (LCI) and sponsor
concentration index (SCI) are 472 and 555, above the respective
2015 averages of 367 and 410.
Investment-Grade Credit Opinion Loans: The transaction has two
credit opinion loans, totaling 14.7% of the pool. 787 Seventh
Avenue (9.8% of the pool) is the largest loan in the transaction
and has an investment-grade credit opinion of 'BBB+sf' on a
stand-alone basis. 225 Liberty Street (5% of the pool) is the fifth
largest loan in the transaction and has an investment-grade credit
rating of 'BBBsf' on a stand-alone basis. Excluding these loans,
the conduit has a respective Fitch stressed DSCR and LTV of 1.21x
and 105.7%.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 11.5% 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 could result in potential rating
actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to DBJPM
2016-C1 certificates and found that the transaction displays
average sensitivity to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'A-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBBsf'
could result.
DRYDEN 42: S&P Assigns Preliminary BB- Rating on Cl. E Notes
------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary ratings
to Dryden 42 Senior Loan Fund/Dryden 42 Senior Loan Fund LLC's
$366.00 million floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed by a revolving pool consisting primarily of broadly
syndicated senior secured loans.
The preliminary ratings are based on information as of April 15,
2016. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The credit enhancement provided to the preliminary rated
notes through the subordination of cash flows that are
payable to the subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not including excess spread).
-- The cash flow structure, which can withstand the default
rate projected by Standard & Poor's CDO Evaluator model,
assessed using the assumptions and methods outlined in its
corporate collateralized debt obligation (CDO) criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated senior secured term loans.
-- The collateral manager's experienced management team.
-- The transaction's ability to make timely interest and
ultimate principal payments on the preliminary rated notes,
which S&P assessed using its cash flow analysis and
assumptions commensurate with the assigned preliminary
ratings under various interest rate scenarios, including
LIBOR ranging from 0.3439%-12.8133%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
rated notes' outstanding balance. The transaction's
interest diversion test, a failure of which, during the
reinvestment period, will lead to the reclassification of up
to 50.0% of available excess interest proceeds (before
paying certain uncapped administrative expenses, subordinate
and incentive management fees, hedge amounts, supplemental
reserve account deposits, and subordinated note payments)
into principal proceeds to purchase additional collateral
assets or to pay principal on the notes sequentially at the
option of the collateral manager after the end of the non-
call period.
PRELIMINARY RATINGS ASSIGNED
Dryden 42 Senior Loan Fund/Dryden 42 Senior Loan Fund LLC
Class Rating Amount
(mil. $)
A AAA (sf) 248.00
B AA (sf) 56.00
C (deferrable) A (sf) 24.00
D (deferrable) BBB (sf) 20.00
E (deferrable) BB- (sf) 18.00
Subordinated notes NR 35.75
NR--Not rated.
GOLUB CAPITAL 14: S&P Affirms BB Rating on Class E Notes
--------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on the
class A, B, C, D, and E notes from Golub Capital Partners CLO 14
Ltd. Golub Capital Partners CLO 14 Ltd. is a U.S. collateralized
loan obligation (CLO) transaction that closed in November 2012 and
is scheduled to reinvest until January 2017. The transaction is
managed by GC Investment Management LLC.
The rating actions follow S&P's review of the transaction's
performance using data from the March 8, 2016, trustee report.
The underlying collateral's credit quality has deteriorated since
the transaction's Jan. 24, 2013, effective date, as reflected in
the increase of assets rated 'CCC+' or lower and defaulted assets.
As of the March 2016 trustee report, assets in the portfolio rated
'CCC+' or lower increased to $34.73 million from zero according to
the January 2013 report. The amount of defaulted assets increased
to $6.91 million from zero over the same period. However, this
deterioration in credit quality has been partially offset by a
decrease in the transaction's weighted-average life, which declined
to 4.39 as of March 2016 from 5.16 as of the January 2013 report.
Despite the credit migration outlined above, the
overcollateralization (O/C) ratios have remained stable since the
January 2013 effective date, indicating that the defaults have not
made a significant impact to the credit support available.
-- The class A/B O/C ratio decreased to 141.8% from 141.9%.
-- The class C O/C ratio decreased to 127.3% from 127.4%.
-- The class D O/C ratio decreased to 119.3% from 119.4%.
-- The class E O/C ratio remained stable at 112.1%.
The affirmed ratings reflect S&P's belief that the credit support
available is commensurate with the current rating levels.
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 rating actions as it
deems necessary.
CASH FLOW AND SENSATIVITY ANALYSIS
Golub Capital Partners CLO 14 Ltd.
Cash flow Cash flow
Previous implied cushion Final
Class rating rating(i) (%)(ii) rating
A AAA (sf) AAA (sf) 2.50 AAA (sf)
B AA (sf) AA+ (sf) 5.36 AA (sf)
C A (sf) A+ (sf) 2.16 A (sf)
D BBB (sf) BBB+ (sf) 1.32 BBB (sf)
E BB (sf) BB (sf) 1.02 BB (sf)
(i) The cash flow implied rating considers the minimum spread,
coupon, and recovery of the underlying collateral.
(ii) The cash flow cushion is the excess of the tranche break-even
default rate (BDR) above the scenario default rate (SDR) at the
assigned rating for a given class of rated notes using the actual
spread, coupon, and recovery.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated additional
scenarios in which it made negative adjustments of 10% to the
current collateral pool's recovery rates relative to each tranche's
weighted average recovery rate.
S&P also generated other scenarios by adjusting the intra- and
inter-industry correlations to assess the current portfolio's
sensitivity to different correlation assumptions assuming the
correlation scenarios outlined below.
Correlation
Scenario Within industry (%) Between industries (%)
Below base case 15.0 5.0
Base case equals rating 20.0 7.5
Above base case 25.0 10.0
Recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A AAA (sf) AA+ (sf) AA+ (sf) AAA (sf) AAA (sf)
B AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) AA (sf)
C A+ (sf) A- (sf) A (sf) A+ (sf) A (sf)
D BBB+ (sf) BB+ (sf) BBB (sf) BBB+ (sf) BBB (sf)
E BB (sf) B (sf) BB- (sf) BB+ (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 AAA (sf) AAA (sf) AA+ (sf) AAA (sf)
B AA+ (sf) AA+ (sf) AA+ (sf) AA (sf)
C A+ (sf) A+ (sf) A- (sf) A (sf)
D BBB+ (sf) BBB+ (sf) BBB- (sf) BBB (sf)
E BB (sf) BB (sf) BB- (sf) BB (sf)
RATINGS AFFIRMED
Golub Capital Partners CLO 14 Ltd.
Class Rating
A AAA (sf)
B AA (sf)
C A (sf)
D BBB (sf)
E BB (sf)
HEWETT'S ISLAND I-R: S&P Affirms B+ Rating on Class E Notes
-----------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B, C, and D notes from Hewett's Island CLO I-R Ltd., a U.S.
collateralized loan obligation transactionn, and removed them from
CreditWatch, where S&P placed them with positive implications on
Feb. 9, 2016. At the same time, S&P affirmed its ratings on the
class A and E notes from the same transaction, and removed the
class E rating from CreditWatch with positive implications.
The upgrades reflect the increase in the credit support at the
prior rating levels. The transaction is in its amortization phase
and continues to pay down the class A notes. Since S&P's last
rating actions in September 2014, the transaction has paid down the
class A by $82.06 million, which reduced its outstanding balance to
18.76% of its original balance.
The senior note's lower balance improved the credit support to all
the notes as reflected in the higher overcollateralization (O/C)
ratios. The trustee reported the following O/C ratios as of the
March 2016 trustee report, compared with the August 2014 O/C ratios
that S&P used for its September 2014 rating actions:
-- The class A/B O/C ratio was 159.11%, up from 121.70%.
-- The class C O/C ratio was 131.00%, up from 113.57%.
-- The class D O/C ratio was 113.38%, up from 107.26%.
-- The class E O/C ratio was 103.66%, up from 103.26%.
The trustee, according to the terms of the transaction documents,
has applied some haircuts when calculating the O/C ratios to
reflect the portfolio's exposure to 'CCC' assets in excess of the
limits as specified in the documents. The haircut for March 2016
is about 4.28% of the performing assets and principal cash. There
was no haircut in August 2014.
In addition to the increase in the 'CCC' assets, the defaults have
also gone up marginally. However, the increase in the credit
support offset this decrease in the underlying assets' credit
quality.
The application of the largest obligor default test, a supplemental
test included in S&P's criteria for corporate cash flow CDOs,
affected our ratings on the class C, D, and E notes. Despite the
class E notes failing the largest obligor default test at the 'B'
rating level, S&P affirmed the rating on the tranche after
considering the cash flow results that suggests a higher rating and
the pure O/C (without the haircut). S&P may take future rating
actions if the transaction incurs any par losses and/or an increase
in the defaults.
The affirmations of S&P's class A and E ratings reflect its opinion
that the credit support available is commensurate with the current
rating levels.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with S&P's criteria, its cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults and on recoveries upon default under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest or
ultimate principal 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 rating actions as it
deems necessary.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
Hewett's Island CLO I-R Ltd.
Cash flow Cash flow
Previous implied cushion Final
Class rating rating(i) (%)(ii) rating
A AAA (sf) AAA (sf) 28.91 AAA (sf)
B AA+(sf)/Watch Pos AAA (sf) 28.91 AAA (sf)
C A+(sf)/Watch Pos AAA (sf) 8.81 AA+ (sf)
D BBB-(sf)/Watch Pos AA (sf) 1.16 BBB+ (sf)
E B+(sf)/Watch Pos BB+ (sf) 4.02 B+ (sf)
(i) The cash flow implied rating considers the actual spread,
coupon, and recovery of the underlying collateral.
(ii) The cash flow cushion is the excess of the tranche break-even
default rate above the scenario default rate at the assigned rating
for a given class of rated notes using the actual spread, coupon,
and recovery.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated additional
scenarios in which S&P made negative adjustments of 10% to the
current collateral pool's recovery rates relative to each tranche's
weighted average recovery rate
S&P also generated other scenarios by adjusting the intra- and
inter-industry correlations to assess the current portfolio's
sensitivity to different correlation assumptions assuming the
correlation scenarios outlined.
Correlation
Scenario Within industry (%) Between industries (%)
Below base case 15.0 5.0
Base case 20.0 7.5
Above base case 25.0 10.0
Recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C AAA (sf) AAA (sf) AAA (sf) AAA (sf) AA+ (sf)
D AA (sf) A+ (sf) AA- (sf) AA+ (sf) BBB+ (sf)
E BB+ (sf) BB- (sf) BB+ (sf) BB+ (sf) B+ (sf)
DEFAULT BIASING SENSITIVITY
To assess whether the current portfolio has sufficient diversity,
S&P biased defaults on the assets in the current collateral pool
with the highest spread and lowest base-case recoveries.
Spread Recovery
Cash flow compression compression
implied implied implied Final
Class rating rating rating rating
A AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C AAA (sf) AAA (sf) AAA (sf) AA+ (sf)
D AA (sf) BBB- (sf) A (sf) BBB+ (sf)
E BB+ (sf) CC (sf) B- (sf) B+ (sf)
RATINGS RAISED AND REMOVED FROM WATCH POSITIVE
Hewett's Island CLO I-R Ltd.
Rating
Class To From
B AAA (sf) AA+ (sf)/Watch Pos
C AA+ (sf) A+ (sf)/Watch Pos
D BBB+ (sf) BBB- (sf)/Watch Pos
RATING AFFIRMED AND REMOVED FROM WATCH POSITIVE
Hewett's Island CLO I-R Ltd.
Rating
Class To From
E B+ (sf) B+ (sf)/Watch Pos
RATING AFFIRMED
Hewett's Island CLO I-R Ltd.
Class Rating
A AAA (sf)
HOMESTAR MORTGAGE 2004-3: Moody's Hikes Cl. M-5 Debt Rating to Ca
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of two tranches
from one transaction, backed by Alt-A RMBS loans, issued by
Homestar Mortgage Acceptance Corp.
Complete rating actions are:
Issuer: Homestar Mortgage Acceptance Corp. Asset-Backed
Pass-Through Certificates, Series 2004-3
Cl. M-4, Upgraded to B3 (sf); previously on May 10, 2012,
Upgraded to Caa3 (sf)
Cl. M-5, Upgraded to Ca (sf); previously on March 25, 2011,
Downgraded to C (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 principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 5.0% in March 2016 from 5.5% in
March 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.
JP MORGAN 2003-CIBC6: Fitch Raises Rating on Class K Certs to B
---------------------------------------------------------------
Fitch Ratings has upgraded four and affirmed six classes of JP
Morgan Chase Commercial Mortgage Securities Corp. (commercial
mortgage pass-through certificates series 2003-CIBC6
(JPMC 2003-CIBC6).
KEY RATING DRIVERS
The upgrades, affirmations and Outlook revisions reflect the
transaction's increasing credit enhancement from loan disposals and
continuing amortization; significant percentage of defeased
collateral (27%); better than expected recovery on a recently fully
pre-paid loan secured by a vacant property; and improved
performance on a handful of loans in the portfolio. Fitch modeled
losses of 9.5% of the remaining pool; expected losses on the
original pool balance total 2.4% including $16.7 million in
realized losses to date. The portfolio is concentrated with only
17 loans and one real estate owned (REO) asset remaining; the
largest loan comprises 31% of the collateral.
While the credit enhancement to classes G through K is high
relative to modeled expected loss, Fitch capped the ratings based
on the substantial percentage of Fitch Loans of Concern and
potential for adverse selection as pool concentration continues to
increase. Fitch designated six Fitch Loans of Concern (31.9%),
including one specially serviced asset (7.2%).
As of the April 2016 distribution date, the pool's aggregate
principal balance has been reduced by 92% to $87 million, from
$1.04 billion at issuance. Interest shortfalls are currently
affecting classes L through NR.
The largest loan in the portfolio (31% of the pool) is secured by a
leasehold interest in a 214,000 square foot single-tenant suburban
office building located in Memphis, TN. The property serves as one
of three office towers comprising the global headquarters of
International Paper Company. The servicer reported year end (YE)
2015 debt service coverage ratio (DSCR) for this amortizing loan
was 1.53x. The lease, which has annual rent steps, has an
expiration date of Feb. 28, 2027. At Issuance, the lease
expiration was Feb. 2017, a few months prior to the Anticipated
Repayment Date (ARD) of July 2017. However, the lease was
subsequently extended through 2027.
The largest contributor to expected losses is the REO Advance Auto
Building, a 231,000 sf office building located in Southfield, MI.
The loan originally transferred to the special servicer in March
2013 due to an imminent maturity default. The property became REO
in July 2015. The servicer has been working on stabilizing the
property prior to marketing it for sale. The most recent servicer
reported occupancy was 64.4% with several lease renewals and new
leases recently executed.
RATING SENSITIVITIES
The Positive Outlook on class G reflects a possible upgrade to the
class should the largest loan payoff in full at its scheduled ARD
in July 2017. The Outlooks for the other classes are Stable as no
rating changes are anticipated at this time. Further upgrades
should be limited due to the concentrated nature of the pool.
Downgrades are possible should pool performance decline or further
losses be realized.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch has upgraded these classes and revised Outlooks as
indicated:
-- $10.4 million class F to 'AAAsf' from 'Asf'; Outlook Stable;
-- $15.6 million class H to 'BBBsf' from 'BBsf'; Outlook to
Stable from Positive;
-- $7.8 million class K to 'Bsf' from 'CCCsf'; Assign Stable
Outlook
-- $5.2 million class L to 'CCC' from 'CCsf'; RE 095%;
Fitch has affirmed these classes and revised Outlooks as indicated
-- $8.8 million class D at 'AAAsf'; Outlook Stable;
-- $14.3 million class E at 'AAAsf'; Outlook Stable;
-- $13 million class G at 'A'; Outlook to Positive from Stable.
-- $5.2 million class J at 'BBsf'; Outlook Stable;
-- $3.9 million class M at 'CCsf'; RE 0%;
-- $1.3 million class N at 'Csf'; RE 0%.
The class A-1, A-2, B, C and X-2 certificates have paid in full.
Fitch does not rate the class NR certificates. Fitch previously
withdrew the rating on the interest-only class X-1 certificates.
JP MORGAN 2007-FL1: Fitch Raises Rating on Cl. F Certs to 'BBsf'
----------------------------------------------------------------
Fitch Ratings has upgraded two and affirmed 11 classes of J.P.
Morgan Chase Commercial Mortgage Securities Corp. series 2007-FL1.
KEY RATING DRIVERS
The upgrades are the result of improved performance and higher
appraisal valuation of the remaining asset in the pool, the Resorts
International Portfolio (Resorts International), since Fitch's last
rating action.
Resorts International currently consists of two hotel/gaming
properties totaling 439 rooms (following the previous release of
two hotel/gaming properties): Bally's Tunica (Bally's) and Resorts
Tunica (Resorts), located in Robinsonville, MS and Tunica, MS. The
properties' revenue is primarily generated from gaming; room
revenue is a small component of overall revenue. The loan was
foreclosed on and the properties became real estate owned (REO) in
November 2011. The servicer's workout strategy continues to focus
on stabilization and repositioning the properties before
liquidation. Renovations at both properties have been completed
and the current property manager, which has been in place since
January 2014, is working to improve the properties' operations to
maximize the value of the asset.
Although remaining well below expectations at issuance, the overall
collateral performance has been trending up in recent years. The
servicer reported year-end (YE) 2015 debt service coverage ratio
(DSCR) for Bally's is 1.84x, compared to 1.30x at YE2014 and 1.16x
at YE2013. The servicer reported YE2015 DSCR for Resorts was
0.45x, compared to -0.25x at YE2014 and -0.43x at YE2013. As of
YE2015, Bally's was 62.5% occupied and Resorts 58%, respectively,
compared to 88.6% and 90% at issuance.
As Resorts International is the only remaining loan in the
transaction, Fitch's analysis has factored in the binary risk
associated with high concentration. In addition, the properties'
YE2015 cash flow performance, collateral quality, the competitive
nature of the gaming industry and local market conditions were also
considered in Fitch's analysis. The ratings were determined from
modeling results that are derived from implied net cash flow, based
on stressed asset appraisal valuation provided by the servicer, and
by applying a stressed capitalization rate. The whole loan
consists of three pari-passu A notes, the non-pooled rake
components, and various subordinated notes. Only the A1 note and
associated non-pooled rake components are included in this trust.
Based on the most current valuations and market conditions, Fitch
expects limited recoveries from Resorts International upon
liquidation.
The special servicer is no longer advancing payments after an
appraisal reduction deemed any future advances as non-recoverable.
Interest shortfalls continue to accumulate and have totaled $11.3
million as of March 2016 remittance report, affecting all classes
with the exception of the A1. Contrary to the order of priorities
in most transactions, this deal calls for interest on prior
shortfalls to be paid at the end of the waterfall.
RATING SENSITIVITIES
Future upgrades are unlikely due to the high concentration of the
transaction and the quality of the remaining asset. The
transaction's rated final distribution date is November 2018.
Should Resorts International's resolution not occur as anticipated
by the servicer in late 2017, downgrades are likely. In addition,
future downgrades to the distressed classes (below 'BB') are
possible as losses are realized.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has upgraded these classes:
-- $8.6 million class F to 'BBsf' from 'CCCsf/RE100%; Outlook
Stable Assigned;
-- $26 million class G to 'CCC/sf' from 'CCsf'; RE50%.
Fitch has affirmed these classes:
-- $35.7 million class H at 'Csf'; RE0%;
-- $32.5 million class J at 'Csf'; RE0%;
-- $10.3 million class K at 'Dsf'; RE0%.
-- $0 Class L at 'Dsf'; RE0%;
-- $11.9 million class RS-1 at 'Csf'; RE0%;
-- $12.8 million class RS-2 at 'Csf'; RE0%;
-- $15.6 million class RS-3 at 'Csf'; RE0%;
-- $11.1 million class RS-4 at 'Csf'; RE0%;
-- $15.4 million class RS-5 at 'Csf'; RE0%;
-- $13.2 million class RS-6 at 'Csf'; RE0%;
-- $7.6 million class RS-7 at 'Csf'; RE0%.
Classes A1, A2. B, C, D, E, and the interest-only class X-1 have
paid in full. Fitch withdrew its rating on the interest-only class
X-2 at prior review.
JP MORGAN 2012-CIBX: Moody's Affirms Ba2 Rating on Class F Certs
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on thirteen
classes in J.P. Morgan Chase Commercial Mortgage Securities Trust
2012-CIBX, Commercial Mortgage Pass-Through Certificates, Series
2012-CIBX as:
Cl. A-3, Affirmed Aaa (sf); previously on April 15, 2015,
Affirmed Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on April 15, 2015,
Affirmed Aaa (sf)
Cl. A-4FL, Affirmed Aaa (sf); previously on April 15, 2015,
Affirmed Aaa (sf)
Cl. A-4FX, Affirmed Aaa (sf); previously on April 15, 2015,
Affirmed Aaa (sf)
Cl. A-S, Affirmed Aaa (sf); previously on April 15, 2015,
Affirmed Aaa (sf)
Cl. B, Affirmed Aa2 (sf); previously on April 15, 2015, Affirmed
Aa2 (sf)
Cl. C, Affirmed A2 (sf); previously on April 15, 2015, Affirmed
A2 (sf)
Cl. D, Affirmed Baa1 (sf); previously on April 15, 2015,
Affirmed Baa1 (sf)
Cl. E, Affirmed Baa3 (sf); previously on April 15, 2015,
Affirmed Baa3 (sf)
Cl. F, Affirmed Ba2 (sf); previously on April 15, 2015, Affirmed
Ba2 (sf)
Cl. G, Affirmed B2 (sf); previously on April 15, 2015, Affirmed
B2 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on April 15, 2015,
Affirmed Aaa (sf)
Cl. X-B, Affirmed Ba3 (sf); previously on April 15, 2015,
Affirmed Ba3 (sf)
RATINGS RATIONALE
The ratings on eleven 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 the two IO classes were 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 2.6% of the
current balance, compared to 2.7% at Moody's last review. Moody's
base expected loss plus realized losses is now 2.1% of the original
pooled balance, compared to 2.3% 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.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Approach to
Rating US and Canadian Conduit/Fusion CMBS" published in December
2014.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based CMBS Conduit Model, which it
uses for both conduit and fusion transactions. Credit enhancement
levels for conduit loans are driven by property type, Moody's
actual and stressed DSCR, and Moody's property quality grade (which
reflects the capitalization rate Moody's uses to estimate Moody's
value). Moody's fuses the conduit results with the results of its
analysis of investment grade structured credit assessed loans and
any conduit loan that represents 10% or greater of the current pool
balance.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 25, compared to 26 at Moody's last review.
DEAL PERFORMANCE
As of the March 17, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 21% to $1.0 billion
from $1.3 billion at securitization. The certificates are
collateralized by 47 mortgage loans ranging in size from less than
1% to 8% of the pool, with the top ten loans constituting 54% of
the pool.
Nine 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.
There are currently no loans in special servicing.
Moody's received full year 2014 operating results for 81% of the
pool, and full or partial year 2015 operating results for 96% of
the pool. Moody's weighted average conduit LTV is 90%, compared to
91% 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 9.9%.
Moody's actual and stressed conduit DSCRs are 1.55X and 1.26X,
respectively, compared to 1.54X and 1.23X 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 22% of the pool balance. The
largest loan is the theWit Hotel Loan ($84 million -- 8% of the
pool), which is secured by a 310 room full-service hotel located in
Chicago, Illinois. The December 2015 trailing twelve month
occupancy and revenue per available room (RevPAR) were 83% and
$193, respectively, compared to 79% and $178 for the same period in
the prior year. Despite the uptick in RevPAR, expenses have
steadily risen since securitization causing a drop in Net Operating
Income (NOI). Moody's LTV and stressed DSCR are 102% and 1.19X,
respectively, compared to 91% and 1.33X at the last review.
The second largest loan is the 100 West Putnam Loan ($75 million
-- 7% of the pool), which is secured by a 156,000 square foot
(SF) class A office building located in Greenwich, Connecticut. The
property is also encumbered by a $16 million B Note. As of
December 2015, the property was 100% leased to eight tenants
compared to 86% leased at last review, and 97% at the second prior
review. Most of the building's tenants are hedge fund firms. Due
to the recent leasing activity, several tenants received rent
abatements during 2015 and early 2016 which caused a drop in the
2015 NOI. Now that these rental abatements have burned off, the
property performance is expected to improve. Moody's takes this
into account in our analysis. Moody's LTV and stressed DSCR are
101% and 0.96X, respectively, compared to 103% and 0.95X at the
last review.
The third largest loan is the Jefferson Mall Loan ($67 million --
7% of the pool), which is secured by a 281,000 SF portion of a
957,000 SF regional mall located in Louisville, Kentucky. The
mall's anchors, which are not part of the mall collateral, include
Sears, Macy's, Dillard's and J.C. Penney. The in-line space was
98% leased as of December 2015, compared to 97% at last review.
Moody's LTV and stressed DSCR are 99% and 1.04X, respectively,
compared to 101% and 1.02X at the last review.
JPMCC TRUST 2016-GG10: DBRS Finalizes BB Rating on Cl. AM-B Debt
----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Commercial Mortgage Certificate-Backed Certificates,
Series 2016-GG10 issued by JPMCC Re-REMIC Trust 2016-GG10. The
trends are Stable.
-- Class AM-A at BBB (low) (sf)
-- Class AM-B at BB (low) (sf)
Classes AM-A and AM-B were privately placed.
This transaction is a resecuritization, collateralized by the
beneficial interests in one commercial mortgage-backed pass-through
certificate (CMBS) from an underlying transaction that was
securitized in 2007. The JPMCC 2016-GG10 resecuritization consists
of a senior/subordinate pass-through sequential-pay structure.
The underlying CMBS transaction is GSMSC 2007-GG10. Although DBRS
does not publicly rate the underlying transaction, a detailed level
of analysis was performed by using the CREFC IRP files from the
latest remittance period.
DBRS analyzed the underlying certificate based on the performance
of the underlying loans and the transaction structure. DBRS modeled
the transaction independently and, in its review, focused on the
larger assets, the specially serviced loans, the modified loans and
the loans on the servicer’s watchlist, in an effort to most
appropriately model the pivotal loans within the transaction that
carry a higher likelihood of default.
The ratings are dependent on the performance of the underlying
transaction.
KINGSLAND VII: Fitch Affirms 'BBsf' Rating on Class E Notes
-----------------------------------------------------------
Fitch Ratings has affirmed five classes of notes issued by
Kingsland VII, an arbitrage cash flow collateralized loan
obligation (CLO) managed by Kingsland Capital Management LLC. A
complete list of rating actions follows at the end of this
release.
KEY RATING DRIVERS
The affirmations are based on the stable performance of the
underlying portfolio since the last review in May 2015, the
sufficient credit enhancement available to the notes, and the
cushions available in Fitch's cash flow modelling results. As of
the February 2016 report, the transaction continues to pass all
coverage tests and collateral quality tests. Fitch's cash flow
analysis also indicates each class of notes is passing all nine
interest rate and default timing scenarios at or above their
current rating levels.
The loan portfolio par amount plus principal cash is approximately
$479.4 million, compared to the balance of $475.7 million at the
last review, resulting in increased credit enhancement levels. The
weighted average spread (WAS) of the portfolio is currently at 4.5%
relative to a minimum WAS trigger of 4.2%. The portfolio (excluding
principal cash) is invested in 96.2% senior secured loans and 3.8%
second lien loans, and approximately 90.3% of the portfolio has
strong recovery prospects or a Fitch-assigned Recovery Rating of
'RR2' or higher.
Fitch considers 7.2% of the collateral assets to be rated in the
'CCC' category, according to Fitch's Issuer Default Rating (IDR)
Equivalency Map, versus 3.7% of the loan portfolio in the last
review. Of the 7.2% 'CCC' concentration, approximately 2.0% does
not have a public rating or a Fitch credit opinion.
In addition to one defaulted issuer from Essar Steel Algoma Inc. as
reported by the trustee, there was an additional default from
Peabody Energy Corp. that took place in April 2016 with a combined
aggregate exposure of 1.2% of the portfolio, including principal
cash. The performing portfolio remains in the 'B/B-' range.
The Stable Outlook on each class of notes of Kingsland VII reflects
the expectation that the notes have sufficient levels of credit
protection to withstand potential deterioration in the credit
quality of the portfolio.
RATING SENSITIVITIES
The ratings of the notes may be sensitive to higher than expected
asset defaults, significant negative credit migration, and lower
than historically observed recoveries for defaulted assets. Fitch
conducted a rating sensitivity analysis on the closing date of
Kingsland VII, incorporating increased levels of defaults and
reduced levels of recovery rates, among other sensitivities.
The transaction remains in its reinvestment period, which is
scheduled to end in July 2018.
This review was conducted under the framework described in the
report 'Global Rating Criteria for CLOs and Corporate CDOs' using
the Portfolio Credit Model (PCM) for projecting future default and
recovery levels for the underlying portfolio. These default and
recovery levels were then utilized in Fitch's cash flow model under
various combinations of default timing and interest rate stress
scenarios, as described in the report. The cash flow model was
customized to reflect the transaction's structural features.
Initial Key Rating Drivers and Rating Sensitivity are further
described in the New Issue Report published on July 10, 2014.
DUE DILIGENCE USAGE
No third party due diligence was reviewed in relation to this
rating action
Fitch has affirmed the following ratings:
-- $297,000,000 class A notes at 'AAAsf; Outlook Stable
-- $48,500,000 class B notes at 'AAsf; Outlook Stable
-- $21,500,000 class C notes at 'Asf; Outlook Stable
-- $17,750,000 class D notes at 'BBBsf; Outlook Stable
-- $21,500,000 class E notes at 'BBsf; Outlook Stable
Fitch does not rate the subordinated notes.
LB-UBS COMMERCIAL 2005-C5: Fitch Affirms BB Rating on Cl. F Certs
-----------------------------------------------------------------
Fitch Ratings upgrades three classes and affirms eight classes of
LB-UBS Commercial Mortgage Trust (LBUBS) commercial mortgage
pass-through certificates series 2005-C5.
KEY RATING DRIVERS
The upgrades are a result of continued paydown in association with
loan maturities and continued amortization since Fitch's last
rating action. As pool concentration is increasing, with only 20
loans remaining, Fitch used a deterministic stress scenario in its
analysis.
Fitch modeled losses of 34.4% of the remaining pool; expected
losses on the original pool balance total 3.7%, including $14.5
million (0.6% of the original pool balance) in realized losses to
date. Fitch has designated 13 loans (73.3%) as Fitch Loans of
Concern, which includes seven specially serviced assets (17.7%).
As of the March 2016 distribution date, the pool's aggregate
principal balance has been reduced by 91.2% to $207.3 million from
$2.34 billion at issuance. Interest shortfalls are currently
affecting classes K through T.
Of the original 116 loans, 20 remain, seven of which are in special
servicing. The non-specially serviced loans have maturity dates in
2017 (39.8%) and 2020 (42.4%). Sixteen loans (63.3%) are fully
amortizing and none of the remaining loans are defeased.
The largest contributor to expected losses is the 270 Corporate
Center - A/B note loan (33.5%), which is secured by a 449,443
square foot (sf) office property, located in Germantown, MD. The
largest tenants include GSA Department of Energy (19%), expiring
Nov. 30, 2019, Viavi Solutions Inc (11%), expiring December 2021;
ActioNet, Inc. (6%), expiring February 2020; Herrick Technology
Labs (5%), expiring October 2018; and Amarex LLC (5%), expiring
July 2025. As of February 2016, the property's occupancy and rent
are slightly below market at 80% and $20 per sf, respectively.
There is approximately 5% upcoming tenant rollover in 2016 and 7%
in 2017. Per REIS as of fourth quarter 2015, the
1-270/Gaithersburg-Germantown submarket vacancy is 15% with average
asking rent at $24 per sf. The loan had previously been modified
into an A/B note structure and extended to July 11, 2017. Fitch's
losses were based on a stressed net cash flow and assumed full loss
of the modified B note.
The second largest contributor to expected losses is the
specially-serviced Centre at Lake in the Hills loan (6.7%), which
is secured by a 99,451 sf shopping center built in 1997 and located
at Lake in the Hills, IL. The loan transferred to special
servicing in May 2011 for imminent default and the property became
real estate owned (REO) in March 2013. The property is anchored by
a Dominick's Food Store (lease expiring 2017), which has gone dark,
but continues to pay rent. The main building contains the 72,385
sf Dominick's space and 10,346 sf. of in-line small shop tenants
including GNC, H&R Block, and Chazio's Hair Salon. The second
building is located to the north on Randall Road and contains
16,720 sf of space. Tenants in this building include Einstein
Brothers Bagels and Jersey Mike's Subs. The property is in good
overall condition with no major deferred maintenance. Per the
special servicer, they have entered into eight lease renewals
comprising 15,000 sf (15% of GLA) and the asset is currently not on
the market. The property is 86% occupied as of February 2016 rent
roll with average rent $12 per sf. Fitch's losses were based on a
stressed value derived from an updated appraisal.
The third largest contributor to expected losses is the
specially-serviced Lexington Commons loan (2.4%), which is secured
by a 22,000 sf unanchored retail building in Glen Allen, VA (15
miles north of Richmond). The loan transferred to special
servicing in July 2015 for imminent default. The largest tenants
at the property include Pho Saigon (87%), expiring March 2022;
Pattis Alterations (75%), whose lease expired June 2015 and are
currently month-to-month; and Fantastic Sams (73%), expiring July
2018. The property is 79% occupied as of December 2015. The
lender is proceeding with foreclosure. Fitch's losses were based
on a stressed value derived from an updated appraisal.
RATING SENSITIVITIES
Fitch analysis employed a deterministic scenario reflecting higher
loss severities on the specially serviced assets, and other loans
of concern due to the pool's increasing concentration, with only 20
loans presently remaining. Further upgrades are unlikely due to
concentration concerns, adverse selection, and limited near-term
maturities.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has upgraded these ratings and revised Rating Outlooks as
indicated:
-- $10 million class C to 'AAAsf' from 'AAsf'; Outlook Stable;
-- $29.3 million class D to 'AAAsf' from 'Asf'; Outlook Stable;
-- $23.4 million class E to 'Asf' from 'BBB-sf'; Outlook to
Stable from Positive.
Fitch affirms these classes but assigns or revises Rating Outlooks
and REs as indicated:
-- $29.3 million class F at 'BBsf'; Outlook to Stable from
Positive;
-- $26.4 million class G at 'Bsf'; Outlook to Stable from
Positive;
-- $23.4 million class H at 'CCCsf'; RE 75%.
-- $14.7 million class J at 'CCsf'; RE 0%;
-- $20.5 million class K at 'Csf'; RE 0%;
-- $8.8 million class L at 'Csf'; RE 0%;
-- $5.9 million class M at 'Csf'; RE 0%;
-- $8.8 million class N at 'Csf'; RE 0%.
The class A-1, A-2, A-3, A-AB, A-4, A-1A, A-M, A-J and B
certificates have paid in full. Fitch does not rate the class P,
Q, S and T certificates. Fitch previously withdrew the ratings on
the interest-only class X-CL and X-CP certificates.
MASTR TRUST: Moody's Hikes 9 Tranches Backed by $182MM RMBS Loans
-----------------------------------------------------------------
Moody's Investors Service, on April 13, 2016, upgraded the ratings
of nine tranches backed by Subprime RMBS loans, issued by MASTR.
Complete rating actions are as follows:
Issuer: MASTR Asset Backed Securities Trust 2005-WF1
Cl. M-5, Upgraded to B1 (sf); previously on Jul 6, 2015 Upgraded to
B3 (sf)
Cl. M-6, Upgraded to B2 (sf); previously on Jul 6, 2015 Upgraded to
Caa3 (sf)
Cl. M-7, Upgraded to Caa2 (sf); previously on May 5, 2010
Downgraded to C (sf)
Issuer: MASTR Asset Backed Securities Trust 2005-WMC1
Cl. M-5, Upgraded to B2 (sf); previously on Nov 19, 2014 Upgraded
to Caa1 (sf)
Issuer: MASTR Asset Backed Securities Trust 2006-AM1
Cl. A-3, Upgraded to Baa1 (sf); previously on Dec 2, 2015 Upgraded
to Baa3 (sf)
Cl. A-4, Upgraded to Baa3 (sf); previously on Dec 2, 2015 Upgraded
to Ba1 (sf)
Cl. M-1, Upgraded to B2 (sf); previously on Dec 2, 2015 Upgraded to
Caa1 (sf)
Issuer: MASTR Asset Backed Securities Trust 2006-FRE1
Cl. A-4, Upgraded to B1 (sf); previously on Jul 6, 2015 Upgraded to
B3 (sf)
Issuer: MASTR Asset Backed Securities Trust 2006-NC1
Cl. A-4, Upgraded to A1 (sf); previously on Oct 16, 2015 Upgraded
to A3 (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.
MILL CREEK II: Moody's Assigns (P)Ba3(sf) Rating on Cl. E Debt
--------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of notes to be issued by Mill Creek CLO II, Ltd. (the
"Issuer" or "Mill Creek II").
Moody's rating action is as follows:
US$196,500,000 Class A Senior Secured Floating Rate Notes due 2028
(the "Class A Notes"), Assigned (P)Aaa (sf)
US$25,500,000 Class B Senior Secured Floating Rate Notes due 2028
(the "Class B Notes"), Assigned (P)Aa2 (sf)
US$15,600,000 Class C Secured Deferrable Floating Rate Notes due
2028 (the "Class C Notes"), Assigned (P)A2 (sf)
US$18,000,000 Class D Secured Deferrable Floating Rate Notes due
2028 (the "Class D Notes"), Assigned (P)Baa3 (sf)
US$12,300,000 Class E Secured Deferrable Floating Rate Notes due
2028 (the "Class E Notes"), Assigned (P)Ba3 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes and the Class E Notes are referred to herein, collectively,
as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
RATINGS RATIONALE
Moody's provisional ratings of the Rated Notes address the expected
losses posed to noteholders. The provisional ratings reflect the
risks due to defaults on the underlying portfolio of assets, the
transaction's legal structure, and the characteristics of the
underlying assets.
Mill Creek CLO II, Ltd. is a managed cash flow CLO. The issued
notes will be collateralized primarily by broadly syndicated first
lien senior secured corporate loans. At least 95% of the portfolio
must consist of senior secured loans and eligible investments, and
up to 5% of the portfolio may consist of second lien loans and
unsecured loans. The documents require the portfolio to be
approximately 67% ramped as of the closing date.
CreekSource LLC (the "Manager") will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's four year reinvestment period.
Thereafter, the Manager may reinvest unscheduled principal payments
and proceeds from sales of credit risk assets, subject to certain
restrictions. 40|86 Advisors, Inc. will act as sub-advisor to the
Manager.
MORGAN STANLEY 2004-IQ8: Fitch Raises Rating on Cl. H Certs to CC
-----------------------------------------------------------------
Fitch Ratings has upgraded four and affirmed six classes of Morgan
Stanley Capital I Trust commercial mortgage pass-through
certificates series 2004-IQ8.
KEY RATING DRIVERS
The upgrades are the result of increasing credit enhancement from
continued paydown, stable performance of the underlying collateral
and high percentage of loans structured with full amortization
(81.83%). While the credit enhancement of classes F and G are
high, Fitch capped the ratings based on exposure to single tenant
properties (37%), which carry binary risk that may grow as pool
concentration increases.
As of the March 2015 distribution date, the pool's aggregate
principal balance has been reduced by 96% to $30.3 million, from
$759.2 million at issuance. Interest shortfalls are currently
affecting classes J through O.
Of the original 100 loans, 26 loans remain, and four (9.2%) are
designated as Fitch Loans of Concern. No loans are in special
servicing, and 15 loans (46.6%) are expected to mature in 2019.
None of the remaining loans are defeased.
The largest Fitch Loan of Concern, Meridian Office Building (3.8%
of the pool), is secured by a 30,582 sf office building located in
Tempe, AZ. The property has suffered from poor performance over
the last several years due to tenant rollover and high market
vacancies. As of year-end 2014, the property was operating with
negative cash flows but has remained current since issuance. Per
the December 2015 rent roll, occupancy increased to 84% from 40% at
year-end 2014.
The second largest Fitch Loan of Concern, Blake Center (2.4%), is
secured by a 18,351 sf retail center built in 1966 and renovated in
2002. The property is located in Hopkins, MN. As of December
2014, occupancy declined to 76% from 100% at year-end 2013. Per
the December 2015 rent roll, occupancy increased to 100%. However,
two the second and third largest tenants consisting of 35% NRA have
leases that expired. Per the master servicer, the borrower is
currently negotiating renewal terms with both tenants. The loan has
never been delinquent.
The third largest Fitch Loan of Concern, Florence Medical Building
(1.8%), is secured by a 33,997 sf office building, built in 1967
and located in Downey, CA. Performance declined due to two tenants
(19% NRA) vacating in 2014. Occupancy and DSCR declined to 58%
from 76% and 0.99x from 1.20x, respectively. As of December 2015,
occupancy is 58% and DSCR is 0.76x.
RATING SENSITIVITIES
The Rating Outlooks remain Stable as no rating changes are
anticipated. Further upgrades will be limited due to the
concentrated nature of the pool. Downgrades are possible if pool
performance declines significantly.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has upgraded these ratings and revised Recovery Estimates
(RE) as indicated:
-- $8.5 million class E to 'AAAsf' from 'BBBsf'; Outlook
Stable;
-- $4.7 million class F to 'Asf' from 'BBsf'; Outlook Stable;
-- $6.6 million class G to 'BBBsf' from 'Bsf'; Outlook Stable;
-- $5.7 million class H to 'CCsf' from 'Csf'; RE 100%.
Fitch has affirmed these classes and revised RE's as indicated:
-- $2.9 million class D at 'AAAsf'; Outlook Stable;
-- $1.8 million class J at 'Dsf'; RE 85%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-4, A-5 B and C certificates have paid in
full. Fitch does not rate the class O certificates. Fitch
previously withdrew the ratings on the interest-only class X-1 and
X-2 certificates.
MORGAN STANLEY 2012-C5: Fitch Affirms 'BB+sf' Rating on Cl. G Debt
------------------------------------------------------------------
Fitch Ratings has affirmed all 14 classes of Morgan Stanley Bank of
America Merrill Lynch Trust (MSBAM) commercial mortgage
pass-through certificates, series 2012-C5.
KEY RATING DRIVERS
The affirmations are based off of the overall stable performance of
the pool's underlying collateral since issuance. As of the March
2016 distribution date, the pool's aggregate principal balance has
been reduced by 8% to $1.25 billion from $1.35 billion at issuance.
Per the servicer reporting, four loans (6.8% of the pool) are
defeased. Fitch has not designated any loans as Fitch Loans of
Concern, and no loans are in special servicing. Interest shortfalls
are currently affecting class J.
Fitch modeled losses of 2.8% of the remaining pool; expected losses
on the original pool balance total 2.5%. The pool has experienced
no realized losses to date. In Fitch's analysis, the deterministic
stress scenario was used. In addition, there was one variance from
criteria related to class D current credit enhancement, for which
the model output suggested that an upgrade was possible. Fitch,
however, determined that an upgrade was not warranted at this time
as there have been no material changes to the performance of the
pool since issuance and no significant increase in credit
enhancement.
The largest loan in the pool is the Legg Mason Tower loan (13.9%),
secured by a 24-story office building located in Baltimore, MD. The
subject is part of a larger mixed-use development known as Harbor
East. Per servicer reporting, the November 2015 YTD net operating
income (NOI) debt service coverage ratio (DSCR) decreased to 1.44x
from 1.87x as of year-end (YE) 2014. The decrease was attributed to
both an increase in the debt service, as a result of the
interest-only period of the loan term ending, and a slight rise in
operating expenses. As of the November 2015 rent roll, the subject
was 97% occupied. Several media outlets have reported that the
property is currently being marketed for sale.
The next largest loan is the Silver Sands Factory Stores loan (8%),
secured by a 442,126 square foot (sf) retail outlet center located
in Destin, FL. Tenants at the property include Saks Fifth Avenue
Off 5th (7% of NRA), Polo Ralph Lauren (4%), and Columbia
Sportswear (3%). The rent roll is extremely granular with no tenant
occupying more than 10% of NRA. According to the September 2015
rent roll, the property was 97% occupied. Per servicer reporting,
the September 2015 YTD NOI DSCR was 4.80x.
The third largest loan is the U.S. Bank Tower loan (6.8%), secured
by a 26-story, 520,277 sf office property located in Denver, CO.
The rent roll at the property is a diverse mix that includes
tenants in the financial services, government, and legal sectors,
as well as major retailers on the ground level. Occupancy at the
property increased slightly to 83% as of September 2015 from 81% as
of December 2014. U.S. Bank, the subject's largest tenant (28% of
NRA), has a lease expiring in December 2016. The loan was
structured with an up-front leasing reserve of $1.2 million and
annual instalments of $74,563 and includes a provision that
stipulates a cash sweep will occur if U.S. Bank does not provide
notice of lease renewal by January 2016. The Master Servicer has
confirmed that U.S Bank has not indicated their intention to renew
or vacate their space at the subject and the cash sweep has been
put in place. Fitch will continue to monitor the loan for leasing
updates and for any deterioration in performance.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset level event changes the transaction's overall
portfolio-level metrics.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch affirms the following classes as indicated:
-- $200 million class A-2 at 'AAAsf'; Outlook Stable;
-- $149.6 million class A-3 at 'AAAsf'; Outlook Stable;
-- $489.8 million class A-4 at 'AAAsf'; Outlook Stable;
-- $59.2 million class A-S at 'AAAsf'; Outlook Stable;
-- $957.8 million* class X-A at 'AAAsf'; Outlook Stable;
-- $33 million class B at 'AAsf'; Outlook Stable;
-- $65.9 million class X-B at 'AAsf'; Outlook Stable;
-- $116.7 million class PST at 'Asf'; Outlook Stable;
-- $24.5 million class C at 'Asf'; Outlook Stable;
-- $27.1 million class D at 'BBB+sf'; Outlook Stable;
-- $49.1 million class E at 'BBB-sf'; Outlook Stable;
-- $8.5 million class F at 'BBB-sf'; Outlook Stable;
-- $18.6 million class G at 'BB+sf'; Outlook Stable;
-- $23.7 million class H at 'Bsf'; Outlook Stable.
*Notional and interest-only.
The class A-1 certificates have paid in full. Fitch does not rate
the class J and X-C certificates.
MORGAN STANLEY 2015-C22: Fitch Affirms BB-sf Rating on Cl. E Debt
-----------------------------------------------------------------
Fitch Ratings has affirmed 12 classes of Morgan Stanley Bank of
America Merrill Lynch Trust (MSBAM) 2015-C22 commercial mortgage
pass-through certificates.
KEY RATING DRIVERS
The affirmations are due to overall stable performance. The stable
performance reflects no material changes to pool metrics since
issuance, therefore the original rating analysis was considered in
affirming the transaction. Fitch reviewed the most recently
available financial performance data for the pool, as well as
updated rent rolls for the top 15 loans, which represent 56.4% of
the transaction. Of the loans in the pool, 29% reported 2015
year-end financials and 59% reported September 2015 financials.
The transaction has a high concentration of hotels (23%). Given the
increased supply that has entered the U.S. market, Fitch is
monitoring the performance of this asset class. One hotel loan in
the top 15 (4.1%) located in Houston, will be closely watched due
its location and exposure to the oil and energy industry. As of the
March 2016 remittance, the pool has one specially serviced loan and
two loans that are on the servicer watchlist (5.1%).
The pool's aggregate principal balance has been paid down by
approximately 0.7% since issuance. Concentrations in the pool
include 27.2% full-term interest-only loans and 34.7% partial-term
interest-only. The three largest geographic concentrations for the
transaction are the New York-Newark-Jersey City MSA (16.2%),
Chicago-Naperville-Elgin MSA (12.7%), Houston-The Woodlands-Sugar
Land MSA (6.4%). The pool's maturity dates are concentrated between
2020 (6.3%), 2022 (0.9%), 2024 (4.5%), and 2025 and beyond
(88.4%).
The largest loan in the pool is the 300 South Riverside Plaza Fee
(9.1% of the pool), which is secured by the leased fee interest in
the parcel of land situated beneath 300 South Riverside Plaza, a
23-story 1,040,706 square foot (sf) office building located in
Chicago's West Loop submarket. The lease has a term of 99 years and
is supported by the building's operations. In the event of a
default under the net lease payment, the sponsor may take
possession of the building operations. The building is currently
97.9% leased to 27 tenants, with the largest tenant, JP Morgan
Chase, occupying 482,722 sf. Building amenities include a news
stand, two restaurants and an outdoor plaza. There is also a $67
million Pari Pasu piece which is in MSC 2015-MS1 (not rated by
Fitch). The servicer reported September 2015 net operating income
(NOI) debt service coverage ratio (DSCR) was 1.50x and the February
2016 occupancy was 98%.
The second largest loan in the pool is Waterfront at Portchester
(7.3% of the pool), which is secured by 349,743 sf, five-building
power center anchored by a Super Stop & Shop. In addition to the
70,216 sf Super Stop & Shop, the Waterfront at Port Chester
Property is anchored by Bed Bath & Beyond, Marshalls, Michaels,
Petco. There is also a 14-screen AMC Loews Theater and Crunch
Fitness health club. The subject is shadow anchored by a 120,000 sf
Costco complex. The servicer reported September 2015 NOI DSCR was
1.78x and the occupancy was 93% compared to 95.6% at issuance.
The fifth largest loan in the pool is the Hilton Houston Westchase
(4.1% of the pool), which is secured by full servicer hotel with
297 rooms built in 1980 and renovated in 2014. The subject is
located approximately eight miles from downtown Houston in the
Westchase District. Demand for the subject is estimated to be 45%
corporate, 35% meeting and group, and 20% leisure. Top corporate
accounts include Schlumberger, Expedia.com, Chevron, Phillips,
Hotwire.com, Shell Oil, and IBM. Due to the large concentration of
corporate accounts with exposure to the oil and energy industry,
Fitch will continue to monitor the performance of this loan. The
servicer reported September 2015 NOI DSCR was 2.33x. According to
the STR report from January 2016, occupancy was 79%, average daily
rate (ADR) was $141 and revenue per available room (Rev Par) was
$112 versus the comp set of 62%, $123, and $76 respectively.
RATING SENSITIVITIES
The Rating Outlook for all classes remains Stable due to stable
collateral 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 as indicated:
-- $47.8 million class A-1 at 'AAAsf'; Outlook Stable;
-- $66.5 million class A-2 at 'AAAsf'; Outlook Stable;
-- $84.7 million class A-SB at 'AAAsf'; Outlook Stable;
-- $250 million class A-3 at 'AAAsf'; Outlook Stable;
-- $318.8 million class A-4 at 'AAAsf'; Outlook Stable;
-- $60.9 million class A-S at 'AAAsf'; Outlook Stable;
-- $63.7 million class B at 'AA-sf'; Outlook Stable;
-- $51.2 million class C at 'A-sf'; Outlook Stable;
-- $62.3 million class D at 'BBB-sf'; Outlook Stable;
-- $26.3 million class E at 'BB-sf'; Outlook Stable;
-- $13.8 million class F at 'B-sf'; Outlook Stable;
-- $0 class PST at 'A-sf'; Outlook Stable.
-- $828.7* million class X-A at 'AAAsf'; Outlook Stable;
-- $63.7* million class X-B at 'AA-sf'; Outlook Stable.
*Notional and interest-only.
Fitch does not rate the classes G and H certificates.
MORGAN STANLEY 2016-C29: Fitch to Rate Class E Debt 'BB-sf'
-----------------------------------------------------------
Fitch Ratings has issued a presale report on the Morgan Stanley
Bank of America Merrill Lynch Trust 2016-C29 Commercial Mortgage
Trust pass-through certificates. Fitch expects to rate the
transaction and assign Rating Outlooks as follows:
-- $29,800,000 class A-1 'AAAsf'; Outlook Stable;
-- $39,500,000 class A-2 'AAAsf'; Outlook Stable;
-- $58,500,000 class A-SB 'AAAsf'; Outlook Stable;
-- $190,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $248,821,000 class A-4 'AAAsf'; Outlook Stable;
-- $566,621,000b class X-A 'AAAsf'; Outlook Stable;
-- $97,136,000b class X-B 'AA-sf'; Outlook Stable;
-- $54,639,000 class A-S 'AAAsf'; Outlook Stable;
-- $42,497,000 class B 'AA-sf'; Outlook Stable;
-- $35,413,000 class C 'A-sf'; Outlook Stable;
-- $42,797,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $22,260,000ab class X-E 'BB-sf'; Outlook Stable;
-- $8,095,000a class X-F 'B-sf'; Outlook Stable;
-- $42,497,000a class D 'BBB-sf'; Outlook Stable;
-- $22,260,000a class E 'BB-sf'; Outlook Stable;
-- $8,095,000a class F 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
The expected ratings are based on information provided by the
issuer as of April 18, 2016. Fitch does not expect to rate the
following classes:
-- $17,201,000 class X-G;
-- $20,236,885 class X-H;
-- $17,201,000 class G;
-- $20,236,885 class H.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 69 loans secured by 106
commercial properties having an aggregate principal balance of
approximately $809.5 million as of the cut-off date. The loans were
contributed to the trust by Morgan Stanley Mortgage Capital
Holdings LLC, Bank of America, National Association, KeyBank,
National Association, and Starwood Mortgage Funding III LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral including site inspections on 72.5% of the properties by
balance, cash flow analysis of 69.9%, and asset summary reviews on
100% of the pool.
KEY RATING DRIVERS
High Fitch Conduit Leverage: This transaction has a Fitch DSCR and
LTV of 1.15x and 107.8%, respectively. Excluding the credit opinion
loan, Penn Square Mall (5.8% of the pool), the Fitch DSCR and LTV
are 1.12x and 111%. The YTD 2016 and 2015 Fitch DSCR were 1.17x and
1.18x, respectively and 108% and 109.3%, respectively.
Lower Pool Concentration: The top 10 loans comprise 41.1% of the
pool, which is lower than the recent averages of 49.3% and 50.5%
for 2015 and 2014, respectively. Additionally, the loan
concentration index (LCI) index is 265, less than the 2015 average
of 367.
Investment Grade Credit Opinion Loan: One loan, Penn Square Mall
(5.8% of the pool), has an investment-grade credit opinion of 'A'
on a stand-alone basis. Excluding this loan, the conduit has a
Fitch stressed DSCR and LTV of 1.12x and 111%, respectively.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 14.5% 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 MSBAM
2016-C29 certificates and found that the transaction displays
average sensitivity to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'BBB+sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'
could result. The presale report includes a detailed explanation of
additional stresses and sensitivities on pages 11-12.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from
Deloitte & Touche LLP. The third-party due diligence information
was provided on ABS Due Diligence Form-15E and focused on a
comparison and re-computation of certain characteristics with
respect to the mortgage loan and related mortgaged properties in
the data file. Fitch considered this information in its analysis,
and the findings did not have an impact on its analysis.
MOUNTAIN VIEW CLO III: S&P Raises Rating on Cl. E Notes to BB+
--------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B, C, D, and E notes and affirmed its ratings on the class A-1 and
A-2 notes from Mountain View CLO III Ltd., a U.S. collateralized
loan obligation (CLO) that closed in May 2007 and is managed by
Seix Investment Advisors LLC. S&P also removed its ratings on the
class B, C, D, and E notes from CreditWatch, where it placed them
with positive implications on Feb. 9, 2016.
The upgrades mainly reflect paydowns to the class A-1 notes and a
subsequent increase in the credit support available to support all
of the notes since S&P's December 2014 rating actions. Since that
time, the transaction has paid down the class A-1 notes by
approximately $130.48 million, leaving them at 47.83% of their
original balance. These paydowns have mainly been achievable due
to prepayments from the underlying collateral, though some of the
available principal proceeds have alternatively been used to
reinvest into additional collateral, per the transaction
documents.
In addition, the upgrades also reflect an improvement in the
overcollateralization (O/C) available to support all of the notes,
primarily due to the aforementioned paydowns. The trustee reported
these O/C ratios in the February 2016 monthly report:
-- The class A O/C ratio was 135.06%, compared with 124.42% in
the October 2014 report, which S&P referenced for its
December 2014 rating actions;
-- The class B O/C ratio was 119.80%, compared with 114.89% in
October 2014;
-- The class C O/C ratio was 110.16%, compared with 108.46% in
October 2014; and
-- The class D O/C ratio was 105.23%, compared with 105.03% in
October 2014.
The affirmations of S&P's class A-1 and A-2 note ratings reflect
its belief that the credit support available is commensurate with
the current rating levels.
S&P's rating on the class D notes reflects the application of the
largest obligor default test, which addresses a transaction's
concentration risk. The largest obligor default test constrained
S&P's rating on the class D notes at 'BBB+ (sf)'. The transaction
currently has 77 performing obligors remaining, with the five
largest making up more than 17% of the portfolio's performing
collateral balance.
S&P's review of the transaction relied in part upon a criteria
interpretation of S&P's 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 NRSROs to assess 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.
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
Mountain View CLO III Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A-1 AAA (sf) AAA (sf) 24.54% AAA (sf)
A-2 AAA (sf) AAA (sf) 24.54% AAA (sf)
B AA+ (sf)/Watch Pos AAA (sf) 20.93% AAA (sf)
C A+ (sf)/Watch Pos AA+ (sf) 13.84% AA+ (sf)
D BBB (sf)/Watch Pos A+ (sf) 4.64% BBB+ (sf)
E B+ (sf)/Watch Pos BB+ (sf) 6.09% 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 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-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) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf)
D A+ (sf) A- (sf) A+ (sf) A+ (sf) BBB+ (sf)
E 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) AAA (sf) AAA (sf)
C AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf)
D A+ (sf) A+ (sf) BBB+ (sf) BBB+ (sf)
E BB+ (sf) BB+ (sf) CCC+ (sf) BB+ (sf)
RATINGS RAISED AND REMOVED FROM CREDITWATCH
Mountain View CLO III Ltd.
Rating
Class To From
B AAA (sf) AA+ (sf)/Watch Pos
C AA+ (sf) A+ (sf)/Watch Pos
D BBB+ (sf) BBB (sf)/Watch Pos
E BB+ (sf) B+ (sf)/Watch Pos
RATINGS AFFIRMED
Mountain View CLO III Ltd.
Class Rating
A-1 AAA (sf)
A-2 AAA (sf)
MSIM PECONIC: S&P Raises Rating on Class E Notes to BB+
-------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
C, D, and E notes from MSIM Peconic Bay Ltd. and removed them from
CreditWatch, where S&P placed them with positive implications on
Feb. 9, 2016. At the same time, S&P affirmed its ratings on the
class A-1-B and B notes from the same transaction. MSIM Peconic
Bay Ltd. is a U.S. collateralized loan obligation (CLO) transaction
that closed in August 2007 and is managed by Invesco Senior Secured
Management.
The rating actions follow S&P's review of the transaction's
performance using data from the March 7, 2016, trustee report.
The upgrades reflect the transaction's $35.67 million in collective
paydowns to the class A-1-A and A-1-B notes since S&P's March 2015
rating actions. This is significantly higher than the $0.94
million that was scheduled to amortize during this period,
primarily due to a wave of loan prepayments in 2015. These
paydowns resulted in improvements in the reported
overcollateralization (O/C) ratios since the February 2015 trustee
report, which S&P used for its March 2015 rating actions:
-- The class A/B O/C ratio improved to 200.24% from 162.20%.
-- The class C O/C ratio improved to 149.97% from 134.30%.
-- The class D O/C ratio improved to 119.27% from 114.16%.
-- The class E O/C ratio improved to 107.77% from 105.89%.
The transaction's amount of collateral with a Standard & Poor's
rating of 'CCC+' or lower has increased to 8.96% from 3.19%, but
this slight deterioration in credit quality has been more than
offset by the senior note payments and a decrease in the
portfolio's weighted average life to 2.28 years from 3.23 years.
The upgrades on the class D and E notes were limited to one notch
below the cash flow implied rating by the application of S&P's
supplemental largest obligor default test, which is intended to
capture concentration risk within a portfolio. Currently the
portfolio comprises positions from 75 issuers, with the top five
totaling 15.35% of the aggregate principal amount.
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 rating actions as it
deems necessary.
CASH FLOW AND SENSITIVITY ANALYSIS
MSIM Peconic Bay Ltd.
Cash flow Cash flow
Previous implied cushion Final
Class rating rating(i) (%)(ii) rating
A-1-B AAA (sf) AAA (sf) 26.08 AAA (sf)
B AAA (sf) AAA (sf) 26.08 AAA (sf)
C AA+ (sf)/Watch Pos AAA (sf) 20.89 AAA (sf)
D BBB+ (sf)/Watch Pos AA- (sf) 3.15 A+ (sf)
E B+ (sf)/Watch Pos BBB- (sf) 1.26 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
Recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A-1-B AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
D AA- (sf) A+ (sf) A+ (sf) AA+ (sf) A+ (sf)
E BBB- (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-B AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C AAA (sf) AAA (sf) AAA (sf) AAA (sf)
D AA- (sf) AA- (sf) BBB+ (sf) A+ (sf)
E BBB- (sf) BB+ (sf) CCC+ (sf) BB+ (sf)
RATINGS RAISED AND REMOVED FROM WATCH POSITIVE
MSIM Peconic Bay Ltd.
Rating
Class To From
C AAA (sf) AA+ (sf)/Watch Pos
D A+ (sf) BBB+ (sf)/Watch Pos
E BB+ (sf) B+ (sf)/Watch Pos
RATINGS AFFIRMED
MSIM Peconic Bay Ltd.
Class Rating
A-1-B AAA (sf)
B AAA (sf)
MUIR GROVE: Moody’s Affirms Ba2(sf) Rating on Class E Notes
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Muir Grove CLO, Ltd.:
US$22,500,000 Class C Deferrable Floating Rate Notes,
Due 2020, Upgraded to Aa1 (sf); previously on September
21, 2015 Upgraded to Aa2 (sf)
US$13,750,000 Class D Deferrable Floating Rate Notes, Due
2020, Upgraded to A2 (sf); previously on September 21,
2015 Upgraded to Baa1 (sf)
Moody's also affirmed the ratings on the following notes:
US$372,500,000 Class A Floating Rate Notes, Due 2020
(current outstanding balance of $122,020,468), Affirmed
Aaa (sf); previously on September 21, 2015 Affirmed Aaa (sf)
US$31,250,000 Class B Floating Rate Notes, Due 2020,
Affirmed Aaa (sf); previously on September 21, 2015 Affirmed
Aaa (sf)
US$20,000,000 Class E Deferrable Floating Rate Notes, Due 2020
(current outstanding balance of $15,381,829), Affirmed Ba2 (sf);
previously on September21, 2015 Upgraded to Ba2 (sf)
Muir Grove CLO, Ltd., issued in September 2007, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans. The transaction's reinvestment period ended in
October 2013.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since September 2015. The Class
A notes have been paid down by approximately 22% or $34.4 million
since that time. Based on the trustee's March 2016 report, the OC
ratios for the Class A, Class B, Class C, Class D and Class E notes
are reported at 183.61%, 146.18%, 127.46%, 118.22% and 109.34%,
respectively, versus September 2015 levels of 165.22%, 137.71%,
122.97%, 115.42% and 108.00%, respectively.
Nevertheless, the credit quality of the portfolio has deteriorated
since September 2015. Based on Moody's calculation, the weighted
average rating factor is currently 2660 compared to 2534 at that
time.
MULBERRY STREET: S&P Affirms B Rating on Class A-1A Notes
---------------------------------------------------------
Standard & Poor's Ratings Services affirmed its 'B (sf)' rating on
the class A-1A notes from Mulberry Street CDO Ltd., a
collateralized debt obligation that closed in June 2003.
The affirmation on the class A-1A notes reflects the financial
guarantee provided by MBIA Insurance Corp. ('B/Stable/--').
The transaction has experienced continued credit deterioration in
the underlying asset portfolio, and is currently in acceleration
following an event of default.
Standard & Poor's will continue to review whether, in its view, the
rating assigned to the notes remains consistent with the credit
enhancement available to support it and take rating actions as it
deems necessary.
NCF DEALER 2016-1: S&P Assigns BB Rating on Class C Notes
---------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to NCF
Dealer Floorplan Master Trust's $275.00 million asset-backed notes
series 2016-1.
The note issuance is an asset-backed securities transaction backed
by a revolving pool of loan receivables that were originated in
connection with dealers purchasing and financing equipment from a
diversified pool of manufacturers.
S&P assigned preliminary ratings to the notes on March 23, 2016.
Since then, the issuer has modified the terms of the class A notes
to pay a higher interest rate following the expected principal
payment date. The interest rate on the class A notes will increase
by 0.75% on this date, while the interest rate on the class B and C
notes will remain unchanged. S&P's ratings address timely payment
of interest on all classes, consistent with the ratings, and take
into account the higher interest rate on the class A notes after
the expected principal payment date.
The ratings reflect:
-- S&P's view that the 19.25%, 14.00%, and 9.80% hard credit
support, expressed as a percentage of the collateral (note
amount plus overcollateralization but excluding the reserve
account) for the class A, B, and C notes, respectively, is
sufficient to withstand S&P's stress scenarios commensurate
with the assigned 'A (sf)', 'BBB (sf)', and 'BB (sf)'
ratings;
-- The 10.0% three-month principal payment rate trigger, which,
when breached, causes a subordination step-up period whereby
the transaction's required subordination amount will
increase to 9.61% from 7.80% of the collateral (note amount
plus overcollateralization and not including the reserve
account) or to 10.63% from 8.46% of the note amount, or
causes an early amortization event if the subordination
step-up fails to provide sufficient credit enhancement;
-- The 8.0% three-month principal payment rate trigger, which,
when breached, causes an early amortization event to occur;
-- S&P's view of the credit quality of the collateral pool;
-- S&P's view of the experience of Northpoint Commercial
Finance LLC's (Northpoint's) management team in the
diversified floorplan financing sector and S&P's opinion of
the quality and consistency of its account origination,
account management, and auditing practices;
-- The presence of a backup servicer, Portfolio Financial
Servicing Co.;
-- S&P's expectation that under a moderate ('BBB') stress
scenario, all else being equal, its 'A (sf)', 'BBB (sf)',
and 'BB (sf)' ratings on the class A, B, and C notes,
respectively, will not be lowered by more than two rating
categories in the first year, which is consistent with S&P's
credit stability criteria;
-- S&P's expectation of the timely periodic interest payments,
taking into account the higher interest rate on the class A
notes following the expected principal payment date, and
principal payments by the final maturity date according to
the transaction documents based on stressed cash flow
modeling scenarios, using assumptions commensurate with the
assigned ratings including an assumed spread on the trust
assets of approximately 6.65%; and
-- The transaction's underlying payment structure, legal
structure, and cash flow mechanics.
RATINGS ASSIGNED
NCF Dealer Floorplan Master Trust (Series 2016-1)
Class Rating Amount
(mil. $)
A A (sf) 246.81
B BBB (sf) 15.66
C BB (sf) 12.53
NEWCASTLE CDO V: Moody's Affirms B3(sf) Rating on Cl. II Notes
--------------------------------------------------------------
Moody's Investors Service has upgraded the rating of the following
notes issued by Newcastle CDO V, Limited:
Cl. I Floating Rate Notes, Upgraded to A3 (sf); previously
on May 20, 2015 Upgraded to Baa1 (sf)
Moody's has also affirmed the ratings on the following notes:
Cl. II Deferrable Floating Rate Notes, Affirmed B3 (sf);
previously on May 20, 2015 Upgraded to B3 (sf)
Cl. III Deferrable Floating Rate Notes, Affirmed Caa3 (sf);
previously on May 20, 2015 Affirmed Caa3 (sf)
Cl. IV-FL Deferrable Floating Rate Notes, Affirmed Caa3 (sf);
previously on May 20, 2015 Affirmed Caa3 (sf)
Cl. IV-FX Deferrable Fixed Rate Notes, Affirmed Caa3 (sf);
previously on May 20, 2015 Affirmed Caa3 (sf)
Cl. V Deferrable Fixed Rate Notes, Affirmed C (sf); previously
on May 20, 2015 Affirmed C (sf)
RATINGS RATIONALE
Moody's has upgraded the rating of one class of notes due to rapid
amortization combined with the high recoveries on sales of high
credit risk assets; and the redistribution of interest as principal
due to the failure of certain par value tests. This more than
offset the deterioration in WARF and WARR. Moody's has also
affirmed the ratings of five classes of notes 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 (CRE CDO and
Re-Remic) transactions.
Newcastle CDO V, Limited is a static CRE CDO transaction backed by
a portfolio of: i) commercial mortgage backed securities (CMBS)
(70.9%); ii) asset backed securities (ABS) primarily in the form of
subprime RMBS (27.2%); and iii) REIT debt (1.9%). As of the March
17, 2016 trustee report, the aggregate note balance of the
transaction has decreased to $131.4 million from $143.5 million at
last review, with the paydown directed to the senior most
outstanding class of notes, as a result of the combination of
regular amortization, recoveries on defaulted and high credit risk
assets, and interest proceeds re-diverted as principal due to
failure of certain par value tests.
The pool contains six assets totaling $41.7 million (52.2% of the
collateral pool balance) that are listed as defaulted securities as
of the March 17, 2016 trustee report. Four of these assets (96.8%
of the defaulted balance) are CMBS; and two (3.2%) are RMBS.
Moody's does expect moderate/significant losses to occur from these
defaulted securities once they are realized.
Moody's has identified the following as key indicators of the
expected loss in CRE CDO transactions: the weighted average rating
factor (WARF), the weighted average life (WAL), the weighted
average recovery rate (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 5217,
compared to 4294 at last review. The current distribution of
Moody's rated collateral and assessments for non-Moody's rated
collateral is as follows: Aaa-Aa3 and 0.5% compared to 13.6% at
last review, A1-A3 and 1.9% compared to 1.3% at last review,
Baa1-Baa3 and 0.0% compared to 2.8% at last review, Ba1-Ba3 and
9.6% compared to 16.0% at last review, B1-B3 and 45.2% compared to
30.8% at last review, Caa1-Ca/C and 42.9% compared to 35.5% at last
review.
Moody's modeled a WAL of 3.6 years, compared to 3.5 years at last
review. The WAL is based on assumptions about extensions on the
underlying collateral loan exposures.
Moody's modeled a fixed WARR of 2.2%, compared to 4.7% at last
review.
Moody's modeled a MAC of 23.4%, compared to 14.2% at last review.
OCP CLO 2016-11: S&P Assigns Prelim. BB- Rating on Class D Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary ratings
to OCP CLO 2016-11 Ltd./OCP CLO 2016-11 Corp.'s $456.50 million
floating-rate Notes.
The note issuance is a CLO transaction backed by a revolving pool
consisting primarily of broadly syndicated senior secured loans.
The preliminary ratings are based on information as of April 15,
2016. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The credit enhancement provided to the preliminary rated
notes through the subordination of cash flows that are
payable to the subordinated securities.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(excluding excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
-- The transaction's legal structure, which S&P expects to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The collateral manager's experienced management team.
-- The timely interest and ultimate principal payments on the
preliminary rated notes, which S&P assessed using its cash
flow analysis and assumptions commensurate with the assigned
preliminary ratings under various interest-rate scenarios,
including LIBOR ranging from 0.3439%-12.8133%.
-- The transaction's overcollateralization (O/C) and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
-- The transaction's reinvestment interest diversion test, a
failure of which will lead to the reclassification of up to
50% of available excess interest proceeds into principal
proceeds, which are available before paying uncapped
administrative expenses and fees; subordinated hedge
termination payments; collateral manager incentive fees; and
subordinated securities payments to principal proceeds to
purchase additional collateral obligations during the
reinvestment period.
PRELIMINARY RATINGS ASSIGNED
OCP CLO 2016-11 Ltd./OCP CLO 2016-11 Corp.
Class Rating Amount
(mil. $)
A-1 AAA (sf) 310.00
A-2 AA (sf) 68.00
B A (sf) 39.50
C BBB- (sf) 25.00
D BB- (sf) 14.00
Subordinated notes NR 44.45
NR--Not rated.
PANGAEA CLO 2007-1: S&P Raises Rating on Class D Notes to B-
------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B, C, and D notes from Pangaea CLO 2007-1 Ltd., and removed them
from CreditWatch, where they were placed with positive implications
on Feb. 9, 2016. At the same time, S&P affirmed its 'AAA (sf)'
ratings on the class A-1 and A-2 notes. Pangaea CLO 2007-1 Ltd. is
a U.S. collateralized loan obligation (CLO) transaction that closed
in August 2007 and is managed by Fortress Investment Group LLC.
The upgrades reflect $104.1 million in paydowns to the class A-1
notes since S&P's February rating action, which has reduced the
class A outstanding balance to 21.8% of its original balance. In
addition, the underlying portfolio's credit quality has remained
fairly stable. As of the March 9, 2016, trustee report, the
transaction held $2.74 million in defaulted assets, compared to
$2.75 million as of the Jan. 8, 2015, trustee report, which S&P
used in its February 2015 analysis. In addition, the 'CCC' rated
assets have decreased to $7.84 million from $8.52 million over the
same period. These improvements are also evident in the increase
in the class A, B, C, and D overcollateralization(O/C) ratios.
The March 2016 trustee report indicated these O/C changes when
compared to the January 2015 report:
-- The class A O/C increased to 185.89% from 130.31%.
-- The class B O/C increased to 141.24% from 117.40%.
-- The class C O/C increased to 120.29% from 109.52%.
-- The class D O/C increased to 104.49% from 102.51%.
The ratings on the class C and D notes are constrained by the
application of the largest obligor default test, a supplemental
stress test included in S&P's corporate collateralized debt
obligation criteria. Only 36 unique performing obligors remain in
the portfolio, with the top five obligors representing 22.02% of
the transaction's performing collateral.
The affirmed ratings reflect S&P's belief that the credit support
available is commensurate with the current rating levels.
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 rating actions as it
deems necessary.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
Pangaea CLO 2007-1 Ltd
Cash flow Cash flow
Previous implied cushion Final
Class rating rating(i) (%)(ii) rating
A-1 AAA (sf) AAA (sf) 19.71 AAA (sf)
A-2 AAA (sf) AAA (sf) 19.71 AAA (sf)
B A+ (sf)/Watch Pos AAA (sf) 10.66 AAA (sf)
C BB+ (sf)/Watch Pos AA- (sf) 0.81 BBB+ (sf)
D CCC+ (sf)/Watch Pos B+ (sf) 0.42 B- (sf)
(i) The cash flow implied rating considers the actual spread,
coupon, and recovery of the underlying collateral.
(ii) The cash flow cushion is the excess of the tranche break-even
default rate (BDR) above the scenario default rate (SDR) at the
assigned rating for a given class of rated notes using the actual
spread, coupon, and recovery.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated additional
scenarios in which it made negative adjustments of 10% to the
current collateral pool's recovery rates relative to each tranche's
weighted average recovery rate.
S&P also generated other scenarios by adjusting the intra- and
inter-industry correlations to assess the current portfolio's
sensitivity to different correlation assumptions assuming the
correlation scenarios outlined.
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) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C AA- (sf) A+ (sf) A+ (sf) AA (sf) BBB+ (sf)
D B+ (sf) CCC (sf) B (sf) B+ (sf) B- (sf)
DEFAULT BIASING SENSITIVITY
To assess whether the current portfolio has sufficient diversity,
S&P biased defaults on the assets in the current collateral pool
with the highest spread and lowest base-case recoveries.
Spread Recovery
Cash flow compression compression
implied implied implied Final
Class rating rating rating rating
A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AAA (sf) AAA (sf) AAA (sf) AAA (sf)
C AA- (sf) A+ (sf) A- (sf) BBB+ (sf)
D B+ (sf) B (sf) CC (sf) B- (sf)
RATINGS LIST
Pangaea CLO 2007-1 Ltd.
Rating
Class Identifier To From
A-1 69841BAA1 AAA (sf) AAA (sf)
A-2 69841BAC7 AAA (sf) AAA (sf)
B 69841BAE3 AAA (sf) A+ (sf)/Watch Pos
C 69841BAG8 BBB+ (sf) BB+ (sf)/Watch Pos
D 69841AAA3 B- (sf) CCC+ (sf)/Watch Pos
RESIDENTIAL REINSURANCE 2016: S&P Rates Cl. 13 Notes '(P)BB-'
-------------------------------------------------------------
Standard & Poor's Ratings Services said that it assigned its
preliminary 'BB- (sf)' rating to the Series 2016-I Class 13 notes
to be issued by Residential Reinsurance 2016 Ltd. (Res Re 2016).
The notes will cover losses in all 50 states and the District of
Columbia from tropical cyclones (including flood coverage for
renters policies), earthquakes (including fire following), severe
thunderstorms, winter storms, wildfires, volcanic eruption,
meteorite impacts, and other perils on an annual aggregate basis.
The rating is based on the lowest of the natural-catastrophe
(nat-cat) risk factor ('bb-'), the rating on the assets in the
Regulation 114 trust account ('AAAm'), and the rating on the ceding
insurer, various operating companies in the United Services
Automobile Assn. (USAA).
S&P derived the 'bb-' nat-cat risk factor from the most recently
commercially available AIR model covering each peril and region.
These models will be used for each reset. AIR does not have models
to analyze the risks from wildfire (other than in California), nor
models for volcanic eruption, meteorite impact, and other perils.
This is the first transaction S&P has rated that included other
perils. The other perils are defined as any naturally occurring
event that is identified as a catastrophe and assigned a
catastrophe code by Property Claims Services (PCS), other than a
tropical cyclone, earthquake, severe thunderstorm, winter storm,
wildfire, volcanic eruption, meteorite impact, or flood. USAA will
determine whether any event is a naturally occurring event. Any
event that USAA identifies as being man-made or resulting from a
man-made occurrence, including (by way of example) terrorism or
industrial accident, will not be considered another peril.
Similar to other transactions that included meteorite impact and
volcanic eruption, S&P made a qualitative adjustment to account for
the unmodeled perils. S&P considered the potential events that
could be covered as well as USAA's loss history.
This issuance has a variable reset. Beginning with the initial
reset in June 2017, the attachment probability can be reset to
maximum of 1.23%. This is the probability of attachment used to
determine the nat-cat risk factor for years two, three, and four.
Without taking into account the impact of the variable reset, the
nat-cat risk factor would have been within the 'bb' category.
RATINGS LIST
New Rating
Residential Reinsurance 2016 Ltd.
Senior secured class 13 notes BB- (sf)(prelim)
TALMAGE STRUCTURED 2006-4: Fitch Hikes Cl. E Debt Rating to BBsf
----------------------------------------------------------------
Fitch Ratings upgrades three classes and affirms one class of
Talmage Structured Real Estate Funding 2006-4 Ltd./LLC (Talmage
2006-4).
KEY RATING DRIVERS
The upgrades reflect improved credit characteristics due to
deleveraging and upgrades to the underlying CUSIP collateral since
Fitch's last rating action.
This transaction's performance expectation was analyzed under the
framework described in Fitch's 'Surveillance Criteria for U.S. CREL
CDOs' which incorporates prospective views regarding commercial
real estate (CRE) market value and cash flow declines for the
underlying portfolio. Due to the portfolio concentration, Fitch
also conducted look-through analyses on the structure based on the
current underlying portfolio for both principal and interest
coverage. Based on these analyses, the class E, F and G notes are
reliant on collateral rated 'BBsf'/Outlook Negative.
As of the March 2016 trustee report, the liabilities have amortized
by an additional $14 million since the last rating action primarily
due to the repayment and amortization of CUSIP collateral, and
through interest diversion. The transaction is considered
concentrated with only three obligors remaining.
Talmage 2006-4, a CRE collateralized debt obligation (CDO) managed
by Talmage, LLC, is undercollateralized with approximately $79.3
million of collateral remaining. The transaction had a five-year
reinvestment period that ended in February 2012. All remaining
assets are subordinate debt or subordinate tranches of structured
finance transactions, except for one bond (4.1%) which is the
senior-most bond in a CRE CDO transaction.
As of the March 2016 trustee report, the class F/G/H
overcollateralization (OC) test is failing. As a result, any
interest proceeds remaining after the payment of the class H
interest are being redirected to redeem class E, the most senior
class outstanding.
The largest obligor (41.8% of the pool) is the primary component of
Fitch's base case loss expectation and consists of three B-notes
secured by a portfolio of three hotel/gaming properties that have
experienced significant declines in performance. Fitch modeled a
full loss on these subordinate positions.
The second largest obligor (37.8%) is a subordinate bond from a
CMBS single borrower transaction that is currently rated
'BBsf'/Outlook Negative and has an expected maturity of October
2016.
The third obligor consists of two bonds issued from one CRE CDO;
since Fitch's last rating action, one bond (4.1%) was upgraded to
'BBBsf'/Outlook Stable from 'Bsf and one bond (16.3%) was upgraded
to 'BBsf'/Outlook Stable from 'CCCsf', RE100.
Although class E's principal balance is covered by collateral rated
'BBsf'/Outlook Stable, Fitch also evaluated the ability of the
CDO's underlying collateral to cover interest obligations to the
outstanding classes, including timely interest to class E. The
class's interest payments are subordinate to the net hedge payment
and other various CDO management fees and expenses. The interest
rate hedge has a current notional balance of $25.5 million and
terminates in October 2016. Based on these analyses, the ratings
for classes E through G are consistent with 'BBsf'/Outlook
Negative.
Based on prior modeling results and the interest coverage analysis,
no material analytical impact was anticipated from cash flow
modeling the transaction.
RATING SENSITIVITIES
The credit enhancement for class E significantly exceeds the rating
stress expected loss for the assigned rating. However, an upgrade
is not warranted because the credit enhancement does not exceed the
rating stress expected loss for the next higher rating stress.
Given the concentration of the collateral, the ratings for classes
E through H are based on a look-through analysis that considers the
principal and interest coverage for each class' principal and
interest amounts.
The rating and the Negative Outlook for classes E through G reflect
the underlying rating of the collateral on which the interest
payments rely. Classes E through G could be upgraded or downgraded
in step with the ratings of the underlying CUSIP collateral. After
the swap terminates, the Outlook for class E could be revised to
Stable, if the class is still outstanding. Class H is subject to
realized losses upon the liquidation of the remaining CREL assets,
although a substantial recovery is expected.
DUE DILIGENCE USAGE
No third party due diligence was provided in relation to this
rating action.
Fitch has upgraded the following ratings:
-- $7.6 million class E to 'BBsf' from 'Bsf'; Outlook revised to
Negative from Stable;
-- $13.2 million class F to 'BBsf' from 'CCCsf'; Outlook Negative
assigned;
-- $14.4 million class G to 'BBsf' from 'CCsf'; Outlook Negative
assigned.
Fitch has affirmed the following rating:
-- $11.4 million class H at 'Csf'; RE80.
Classes A-1, A-2, S, B, C, and D have paid in full. Fitch does not
rate classes J, K and Preferred Shares.
[*] DBRS Reviews 68 Publicly Rated Securities
---------------------------------------------
DBRS, Inc. has conducted a review of 18 publicly rated U.S.
structured finance asset-backed securities transactions that are
currently outstanding. Of the 68 publicly rated securities
reviewed, 66 were confirmed, one was upgraded, and one was
discontinued due to repayment in full as of April 15, 2016.
For the ratings that were confirmed, performance trends are such
that credit enhancement levels are sufficient to cover DBRS'
expected losses at their current respective rating levels. For the
upgraded security, performance trends are such that credit
enhancement levels are sufficient to cover DBRS' expected losses at
its new rating level.
The following public transactions were reviewed:
First Investors Auto Owner Trust 2015-1
Foursight Capital Automobile Receivables Trust 2014-1
Hertz Vehicle Financing II LP
-- Series 2013- A
-- Series 2013- B
-- Series 2014- A
-- Series 2015- 1
-- Series 2015- 2
-- Series 2015- 3
JGW V, LLC
Navient Student Loan Trust 2014-1
Navient Student Loan Trust 2015-2
PFS Financing Corp.
Stone Street Receivables Funding 2015-1
Structured Asset Funding Securitization I LLC, Series 2015-A
World Financial Capital Master Note Trust Series 2009-VFN
World Financial Network Credit Card Master Note Trust Series
2009-VFN
World Financial Network Credit Card Master Note Trust Series
2012-D
World Financial Network Credit Card Master Note Trust Series
2013-B
World Financial Network Credit Card Master Note Trust Series
2014-C
World Financial Network Credit Card Master Note Trust Series
2015-A
World Financial Network Credit Card Master Note Trust Series
2015-B
World Financial Network Credit Card Master Note Trust Series
2015-C
World Financial Network Credit Card Master Trust III, Series
2009-VFC1
A full text copy of the press release is available free at:
http://is.gd/b3gPtS
[*] DBRS Reviews 887 Classes From 64 U.S. RMBS Deals
----------------------------------------------------
DBRS, Inc. reviewed 887 classes from 64 U.S. residential
mortgage-backed security (RMBS) transactions. Of the 887 classes
reviewed, 65 classes were upgraded, 686 classes were confirmed and
136 classes were discontinued due to full principal repayment to
the bondholders.
The rating upgrades reflect positive performance trends and that
these classes have experienced increases in credit support
sufficient to withstand stresses at their new rating level. For
transactions where the rating has been confirmed, current asset
performance and credit support levels have been consistent with the
current rating.
The transactions consist of U.S. RMBS and re-securitization of real
estate mortgage investment conduit (ReREMIC) transactions. The
pools backing these transactions consist of Second Lien, Scratch
and Dent, Alt-A, Prime and Subprime collateral.
A full text copy of the press release is available free at:
http://is.gd/IpSvkd
[*] Moody's Hikes $954MM of Subprime RMBS by Various Issuers
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 32 tranches
from 13 deals issued by various issuers, backed by Subprime
mortgage loans.
Complete rating actions are as follows:
Issuer: Aames Mortgage Investment Trust 2005-1
Cl. M6, Upgraded to Caa1 (sf); previously on Mar 6, 2013 Affirmed C
(sf)
Issuer: Accredited Mortgage Loan Trust 2006-2
Cl. A-4, Upgraded to B3 (sf); previously on May 18, 2015 Upgraded
to Caa1 (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2005-AG1
Cl. A-1A, Upgraded to Aa2 (sf); previously on Feb 26, 2013 Upgraded
to A2 (sf)
Cl. A-1B1, Upgraded to Aa2 (sf); previously on Feb 26, 2013
Affirmed Aa3 (sf)
Cl. A-1B2, Upgraded to Aa3 (sf); previously on May 28, 2015
Upgraded to A3 (sf)
Cl. A-2D, Upgraded to Aa2 (sf); previously on Oct 29, 2013 Upgraded
to A2 (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2005-HE1
Cl. M-5, Upgraded to B2 (sf); previously on May 12, 2015 Upgraded
to Caa1 (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2005-HE2
Cl. M-6, Upgraded to Caa2 (sf); previously on May 28, 2015 Upgraded
to Ca (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2005-HE3
Cl. M-4, Upgraded to Caa3 (sf); previously on Sep 24, 2014 Upgraded
to Ca (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2005-HE7
Cl. A-1B2, Upgraded to Aa3 (sf); previously on May 28, 2015
Upgraded to A3 (sf)
Cl. A-2D, Upgraded to Aa3 (sf); previously on May 28, 2015 Upgraded
to A3 (sf)
Cl. M-1, Upgraded to B1 (sf); previously on May 28, 2015 Upgraded
to B3 (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2005-RM1
Cl. M-2, Upgraded to Baa3 (sf); previously on Feb 26, 2013
Confirmed at Ba1 (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2005-WF1
Cl. M-4, Upgraded to Ba2 (sf); previously on May 28, 2015 Upgraded
to B1 (sf)
Cl. M-5, Upgraded to Ba3 (sf); previously on May 28, 2015 Upgraded
to B3 (sf)
Cl. M-6, Upgraded to B2 (sf); previously on May 28, 2015 Upgraded
to Caa2 (sf)
Cl. M-7, Upgraded to B3 (sf); previously on May 28, 2015 Upgraded
to Caa3 (sf)
Cl. M-8, Upgraded to Caa2 (sf); previously on Apr 14, 2010
Confirmed at Ca (sf)
Cl. M-9, Upgraded to Ca (sf); previously on Mar 16, 2009 Downgraded
to C (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2006-HE1
Cl. A-1A, Upgraded to Aa3 (sf); previously on May 28, 2015 Upgraded
to A3 (sf)
Cl. A-1B1, Upgraded to Aa3 (sf); previously on Aug 28, 2013
Upgraded to Baa1 (sf)
Cl. A-1B2, Upgraded to B1 (sf); previously on May 28, 2015 Upgraded
to B3 (sf)
Underlying Rating: Upgraded to B1 (sf); previously on May 28, 2015
Upgraded to B3 (sf)
Financial Guarantor: CIFG Assurance North America, Inc. (Insured
Rating Withdrawn on Nov 12, 2009)
Cl. A-2D, Upgraded to B1 (sf); previously on May 28, 2015 Upgraded
to B3 (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2006-NC1
Cl. A-1, Upgraded to A1 (sf); previously on May 28, 2015 Upgraded
to Baa1 (sf)
Cl. A-2D, Upgraded to Baa1 (sf); previously on May 28, 2015
Upgraded to Ba1 (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2006-OP1
Cl. A-1A, Upgraded to Ba2 (sf); previously on May 28, 2015 Upgraded
to B1 (sf)
Cl. A-1B, Upgraded to Baa2 (sf); previously on May 28, 2015
Upgraded to Ba2 (sf)
Cl. A-2C, Upgraded to A3 (sf); previously on May 28, 2015 Upgraded
to Baa2 (sf)
Cl. A-2D, Upgraded to Caa1 (sf); previously on May 28, 2015
Upgraded to Caa2 (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2006-OP2
Cl. A-1, Upgraded to Caa1 (sf); previously on Aug 2, 2012 Confirmed
at Caa3 (sf)
Cl. A-2C, Upgraded to Caa1 (sf); previously on May 12, 2015
Upgraded to Caa2 (sf)
Cl. A-2D, Upgraded to Caa2 (sf); previously on May 12, 2015
Upgraded to Caa3 (sf)
RATINGS RATIONALE
The upgrades are a result of improving performance of the related
pools and/or build-up in credit enhancement of the tranches. The
actions reflect the recent performance of the underlying pools and
Moody's updated loss expectations on the pools.
[*] Moody's Hikes Rating on $466MM Subprime RMBS Issued 2005-2007
-----------------------------------------------------------------
Moody's Investors Service, on April 18, 2016, upgraded the ratings
of 21 tranches from 12 deals issued by various issuers, backed by
Subprime mortgage loans.
Complete rating actions are:
Issuer: Aames Mortgage Investment Trust 2005-2
Cl. M5, Upgraded to Caa2 (sf); previously on March 14, 2013,
Affirmed C (sf)
Issuer: Accredited Mortgage Loan Trust 2005-3, Asset-Backed Notes,
Series 2005-3
Cl. M-4, Upgraded to B2 (sf); previously on June 5, 2015,
Upgraded to B3 (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2005-HE5
Cl. M-4, Upgraded to Caa3 (sf); previously on June 30, 2015,
Upgraded to Ca (sf)
Issuer: Aegis Asset Backed Securities Trust 2005-2
Cl. M3, Upgraded to B1 (sf); previously on June 5, 2015,
Upgraded to B3 (sf)
Issuer: Aegis Asset Backed Securities Trust 2005-3
Cl. M1, Upgraded to Baa3 (sf); previously on July 18, 2011,
Downgraded to Ba1 (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R11
Cl. A-1, Upgraded to Aa2 (sf); previously on July 18, 2011,
Downgraded to A1 (sf)
Cl. A-2D, Upgraded to Aa2 (sf); previously on June 27, 2013,
Upgraded to A1 (sf)
Cl. M-3, Upgraded to B1 (sf); previously on June 12, 2015,
Upgraded to B2 (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R8
Cl. M-4, Upgraded to B1 (sf); previously on June 16, 2015,
Upgraded to B3 (sf)
Cl. M-5, Upgraded to Caa3 (sf); previously on April 14, 2010,
Downgraded to C (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R9
Cl. A-1, Upgraded to Aa3 (sf); previously on June 12, 2015,
Upgraded to A2 (sf)
Cl. A-2C, Upgraded to A1 (sf); previously on June 12, 2015,
Upgraded to A2 (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2006-R1
Cl. A-1, Upgraded to Aa2 (sf); previously on June 12, 2015,
Upgraded to A1 (sf)
Cl. A-2D, Upgraded to Aa2 (sf); previously on June 12, 2015,
Upgraded to A1 (sf)
Cl. M-2, Upgraded to B2 (sf); previously on June 12, 2015,
Upgraded to Caa1 (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE5
Cl. I-A-2, Upgraded to Ba3 (sf); previously on June 25, 2015,
Upgraded to B2 (sf)
Cl. I-A-3, Upgraded to B2 (sf); previously on June 25, 2015,
Upgraded to Caa1 (sf)
Cl. II-A, Upgraded to B1 (sf); previously on Jan. 30, 2014,
Upgraded to B3 (sf)
Issuer: Bear Stearns Structured Products Trust 2007-EMX1
Cl. M-2, Upgraded to B3 (sf); previously on June 25, 2015,
Upgraded to Caa2 (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2005-CB1
Cl. M-2, Upgraded to B1 (sf); previously on June 25, 2015,
Upgraded to B3 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on June 25, 2015,
Upgraded to Caa2 (sf)
RATINGS RATIONALE
The upgrades are a result of improving performance of the related
pools and/or build-up in credit enhancement of the tranches. The
actions reflect the recent performance of the underlying pools and
Moody's updated loss expectations on the pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 5.0% in March 2016 from 5.5% in
March 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 Hikes Rating on $466MM Subprime RMBS Issued 2005-2007
-----------------------------------------------------------------
Moody's Investors Service, on April 18, 2016, upgraded the ratings
of 21 tranches from 12 deals issued by various issuers, backed by
Subprime mortgage loans.
Complete rating actions are:
Issuer: Aames Mortgage Investment Trust 2005-2
Cl. M5, Upgraded to Caa2 (sf); previously on March 14, 2013,
Affirmed C (sf)
Issuer: Accredited Mortgage Loan Trust 2005-3, Asset-Backed Notes,
Series 2005-3
Cl. M-4, Upgraded to B2 (sf); previously on June 5, 2015,
Upgraded to B3 (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2005-HE5
Cl. M-4, Upgraded to Caa3 (sf); previously on June 30, 2015,
Upgraded to Ca (sf)
Issuer: Aegis Asset Backed Securities Trust 2005-2
Cl. M3, Upgraded to B1 (sf); previously on June 5, 2015,
Upgraded to B3 (sf)
Issuer: Aegis Asset Backed Securities Trust 2005-3
Cl. M1, Upgraded to Baa3 (sf); previously on July 18, 2011,
Downgraded to Ba1 (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R11
Cl. A-1, Upgraded to Aa2 (sf); previously on July 18, 2011,
Downgraded to A1 (sf)
Cl. A-2D, Upgraded to Aa2 (sf); previously on June 27, 2013,
Upgraded to A1 (sf)
Cl. M-3, Upgraded to B1 (sf); previously on June 12, 2015,
Upgraded to B2 (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R8
Cl. M-4, Upgraded to B1 (sf); previously on June 16, 2015,
Upgraded to B3 (sf)
Cl. M-5, Upgraded to Caa3 (sf); previously on April 14, 2010,
Downgraded to C (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R9
Cl. A-1, Upgraded to Aa3 (sf); previously on June 12, 2015,
Upgraded to A2 (sf)
Cl. A-2C, Upgraded to A1 (sf); previously on June 12, 2015,
Upgraded to A2 (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2006-R1
Cl. A-1, Upgraded to Aa2 (sf); previously on June 12, 2015,
Upgraded to A1 (sf)
Cl. A-2D, Upgraded to Aa2 (sf); previously on June 12, 2015,
Upgraded to A1 (sf)
Cl. M-2, Upgraded to B2 (sf); previously on June 12, 2015,
Upgraded to Caa1 (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE5
Cl. I-A-2, Upgraded to Ba3 (sf); previously on June 25, 2015,
Upgraded to B2 (sf)
Cl. I-A-3, Upgraded to B2 (sf); previously on June 25, 2015,
Upgraded to Caa1 (sf)
Cl. II-A, Upgraded to B1 (sf); previously on Jan. 30, 2014,
Upgraded to B3 (sf)
Issuer: Bear Stearns Structured Products Trust 2007-EMX1
Cl. M-2, Upgraded to B3 (sf); previously on June 25, 2015,
Upgraded to Caa2 (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2005-CB1
Cl. M-2, Upgraded to B1 (sf); previously on June 25, 2015,
Upgraded to B3 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on June 25, 2015,
Upgraded to Caa2 (sf)
RATINGS RATIONALE
The upgrades are a result of improving performance of the related
pools and/or build-up in credit enhancement of the tranches. The
actions reflect the recent performance of the underlying pools and
Moody's updated loss expectations on the pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 5.0% in March 2016 from 5.5% in
March 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 $116.3 Million of Scratch and Dent RMBS
-------------------------------------------------------------------
Moody's Investors Service, on April 13, 2016, has taken actions on
the ratings of ten tranches issued from seven deals backed by
"scratch and dent" RMBS loans.
Complete rating actions are as follows:
Issuer: Ameriquest Mortgage Securities Inc., Quest Trust 2004-X1
Cl. A, Upgraded to Aa2 (sf); previously on May 20, 2011 Downgraded
to A1 (sf)
Underlying Rating: Upgraded to Aa2 (sf); previously on May 20, 2011
Downgraded to A1 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Issuer: Bayview Financial Mortgage Pass-Through Certificates,
Series 2004-C
Cl. M-2, Upgraded to A1 (sf); previously on May 31, 2011 Downgraded
to A2 (sf)
Cl. M-3, Upgraded to A3 (sf); previously on Jun 8, 2015 Upgraded to
Baa2 (sf)
Cl. M-4, Upgraded to Ba1 (sf); previously on Jun 8, 2015 Upgraded
to Ba3 (sf)
Issuer: CS Mortgage-Backed Pass-Through Certificates, Series
2006-CF3
Cl. A-1, Upgraded to Aa2 (sf); previously on Jun 24, 2015 Upgraded
to A2 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-QH2
Cl. A-1-A, Upgraded to B3 (sf); previously on May 19, 2011
Confirmed at Caa2 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2007-QH2
Cl. A-1, Downgraded to Ca (sf); previously on Apr 24, 2009
Downgraded to Caa3 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2007-QX1
Cl. A-1, Downgraded to Ca (sf); previously on May 19, 2011
Downgraded to Caa3 (sf)
Issuer: Structured Asset Securities Corporation 2005-GEL4
Cl. M2, Upgraded to Aa2 (sf); previously on Mar 5, 2009 Downgraded
to A1 (sf)
Cl. M3, Upgraded to Caa1 (sf); previously on Mar 5, 2009 Downgraded
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 losses incurred by the bonds, or significant depletion in credit
enhancement.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 5.0% in March 2016 from 5.5% in March
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.
[*] Moody's Takes Action on $28.5MM Subprime RMBS Issued 1998-2004
------------------------------------------------------------------
Moody's Investors Service, on April 14, 2016, upgraded the ratings
of 4 tranches, and downgraded the ratings of 2 tranches, from 4
transactions issued by various issuers backed by Subprime mortgage
loans.
Complete rating actions are as follows:
Issuer: IMC Home Equity Loan Trust 1998-1
CL.M-1, Downgraded to Caa1 (sf); previously on Mar 9, 2011
Downgraded to B2 (sf)
Issuer: Saxon Asset Securities Trust 2002-3
Cl. AF-6, Downgraded to B1 (sf); previously on Jun 24, 2014
Downgraded to Baa2 (sf)
Issuer: Structured Asset Investment Loan Trust 2003-BC10
Cl. M2, Upgraded to B3 (sf); previously on May 6, 2015 Upgraded to
Caa3 (sf)
Cl. M3, Upgraded to Ca (sf); previously on Mar 4, 2011 Downgraded
to C (sf)
Issuer: Terwin Mortgage Trust, Series TMTS 2004-21HE
Cl. 2-A-1, Upgraded to Aa2 (sf); previously on Jan 18, 2013
Downgraded to A1 (sf)
Financial Guarantor: Assured Guaranty Municipal Corp (Affirmed at
A2, Outlook Stable on July 2, 2014)
Cl. 2-A-3, Upgraded to Aa2 (sf); previously on Jan 18, 2013
Downgraded to A1 (sf)
Financial Guarantor: Assured Guaranty Municipal Corp (Affirmed at
A2, Outlook Stable on July 2, 2014)
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 upgrades are a result of improving performance of
the related pools and/or faster pay-down of the bonds due to high
prepayments/faster liquidations. The ratings downgrades are the
result of structural features resulting in higher expected losses
for the bonds than previously anticipated.
[*] Moody's Takes Action on $309.8MM of Alt-A and Option ARM RMBS
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 14 tranches
and downgraded the ratings of three tranches from six transactions,
backed by Alt-A and Option ARM RMBS loans, issued by multiple
issuers.
Complete rating actions are:
Issuer: American Home Mortgage Assets Trust 2005-1
Cl. 3-A-1-1, Upgraded to Ba3 (sf); previously on June 25, 2010,
Downgraded to B2 (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2002-10
Cl. II-X, Downgraded to Caa1 (sf); previously on June 17, 2015,
Downgraded to B3 (sf)
Cl. II-A-1, Downgraded to B1 (sf); previously on June 17, 2015,
Downgraded to Ba2 (sf)
Issuer: HarborView Mortgage Loan Trust 2005-9
Cl. 1-A, Upgraded to Baa3 (sf); previously on June 9, 2015,
Upgraded to Ba1 (sf)
Underlying Rating: Upgraded to Baa3 (sf); previously on June 9,
2015, Upgraded to Ba1 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. 1-PO, Upgraded to B3 (sf); previously on June 9, 2015,
Upgraded to Caa3 (sf)
Cl. 1-X, Upgraded to Baa3 (sf); previously on June 9, 2015,
Upgraded to Ba1 (sf)
Cl. 2-A-1A, Upgraded to A3 (sf); previously on July 26, 2013,
Upgraded to Baa2 (sf)
Cl. 2-A-1B, Upgraded to Baa3 (sf); previously on June 9, 2015,
Upgraded to Ba1 (sf)
Underlying Rating: Upgraded to Baa3 (sf); previously on June 9,
2015, Upgraded to Ba1 (sf)
Financial Guarantor: Syncora Guarantee Inc. (Insured Rating
Withdrawn Nov 08, 2012)
Cl. 2-A-1C, Upgraded to Baa3 (sf); previously on June 9, 2015,
Upgraded to Ba1 (sf)
Cl. 2-PO, Upgraded to B3 (sf); previously on June 9, 2015,
Upgraded to Caa3 (sf)
Cl. 2-X, Upgraded to Baa2 (sf); previously on June 9, 2015,
Upgraded to Ba1 (sf)
Cl. 3-PO, Upgraded to B3 (sf); previously on June 9, 2015,
Upgraded to Caa3 (sf)
Cl. B-1, Upgraded to B1 (sf); previously on June 9, 2015,
Upgraded to B3 (sf)
Issuer: Impac CMB Trust Series 2005-2 Collateralized Asset-Backed
Bonds, Series 2005-2
Cl. 1-A-2, Upgraded to Ba1 (sf); previously on Jan. 10, 2013,
Downgraded to Ba2 (sf)
Issuer: Nomura Asset Acceptance Corporation, Alternative Loan
Trust, Series 2004-AP1
Cl. A-5, Upgraded to Baa1 (sf); previously on June 29, 2015,
Upgraded to Baa2 (sf)
Cl. A-6, Upgraded to A3 (sf); previously on June 29, 2015,
Upgraded to Baa1 (sf)
Issuer: Structured Asset Securities Corp Trust 2003-37A
Cl. 1-A, Downgraded to B2 (sf); previously on July 5, 2012,
Downgraded to Ba3 (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 weaker performance of the underlying collateral and 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 5.0% in March 2016 from 5.5% in
March 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 $645.6MM of RMBS Issued 2004-2005
-------------------------------------------------------------
Moody's Investors Service, on April 15, 2016, upgraded the ratings
of 36 tranches from eight transactions, backed by Alt-A and Option
ARM RMBS loans, issued by multiple issuers.
Complete rating actions are:
Issuer: American Home Mortgage Investment Trust 2005-1
Cl. I-A-1, Upgraded to Ba2 (sf); previously on Aug. 14, 2012,
Upgraded to B1 (sf)
Cl. I-A-2, Upgraded to B1 (sf); previously on Aug. 14, 2012,
Upgraded to B3 (sf)
Cl. I-A-3, Upgraded to B2 (sf); previously on Aug. 14, 2012,
Upgraded to Caa2 (sf)
Cl. II-A-1, Upgraded to Baa1 (sf); previously on Aug. 6, 2015,
Upgraded to Baa2 (sf)
Cl. II-A-2, Upgraded to Ba3 (sf); previously on Aug. 6, 2015,
Upgraded to B3 (sf)
Cl. IV-A-1, Upgraded to Ba2 (sf); previously on Aug. 14, 2012,
Upgraded to B2 (sf)
Cl. IV-A-2, Upgraded to B3 (sf); previously on Aug. 6, 2015,
Confirmed at Caa3 (sf)
Cl. V-A-2, Upgraded to B1 (sf); previously on Aug. 6, 2015,
Upgraded to Caa1 (sf)
Cl. VI-A, Upgraded to Ba2 (sf); previously on Aug. 6, 2015,
Upgraded to B1 (sf)
Cl. VII-A-1, Upgraded to A2 (sf); previously on Aug. 6, 2015,
Upgraded to Baa2 (sf)
Cl. VII-A-2, Upgraded to Ba3 (sf); previously on Aug. 6, 2015,
Upgraded to B2 (sf)
Issuer: Bear Stearns ARM Trust 2004-3
Cl. I-A-1, Upgraded to B1 (sf); previously on Oct. 4, 2012,
Downgraded to Caa1 (sf)
Cl. I-A-2, Upgraded to Ba3 (sf); previously on Oct. 4, 2012,
Downgraded to B3 (sf)
Cl. I-A-3, Upgraded to B3 (sf); previously on Oct. 4, 2012,
Downgraded to Caa3 (sf)
Cl. II-A, Upgraded to Ba3 (sf); previously on Oct. 4, 2012,
Downgraded to B3 (sf)
Cl. III-A, Upgraded to Ba3 (sf); previously on May 13, 2011,
Downgraded to B2 (sf)
Cl. IV-A, Upgraded to Ba3 (sf); previously on May 13, 2011,
Downgraded to B2 (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2004-AC4
Cl. A-4, Upgraded to Ba3 (sf); previously on Oct. 22, 2013,
Downgraded to B1 (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2005-WF2
Cl. MV-3, Upgraded to Ba2 (sf); previously on Sept. 14, 2015,
Upgraded to B1 (sf)
Cl. MV-4, Upgraded to Caa3 (sf); previously on Nov. 19, 2010,
Downgraded to C (sf)
Issuer: GSAA Home Equity Trust 2005-11
Cl. 1A1, Upgraded to Baa3 (sf); previously on July 28, 2015,
Upgraded to Ba2 (sf)
Cl. 1A2, Upgraded to Caa1 (sf); previously on July 28, 2015,
Upgraded to Caa3 (sf)
Cl. 2A2, Upgraded to Caa1 (sf); previously on July 28, 2015,
Upgraded to Caa3 (sf)
Cl. 3A1, Upgraded to Baa1 (sf); previously on July 24, 2013,
Upgraded to Baa2 (sf)
Cl. 3A2, Upgraded to Caa1 (sf); previously on July 28, 2015,
Upgraded to Caa2 (sf)
Issuer: GSAA Home Equity Trust 2005-9
Cl. 1A1, Upgraded to Aa3 (sf); previously on July 24, 2013,
Upgraded to A2 (sf)
Cl. 1A2, Upgraded to A3 (sf); previously on July 28, 2015,
Upgraded to Baa2 (sf)
Cl. 2A3, Upgraded to Aa3 (sf); previously on July 28, 2015,
Upgraded to A2 (sf)
Cl. 2A4, Upgraded to A3 (sf); previously on July 28, 2015,
Upgraded to Baa2 (sf)
Cl. M-2, Upgraded to B3 (sf); previously on July 28, 2015,
Upgraded to Caa2 (sf)
Issuer: Nomura Asset Acceptance Corporation, Alternative Loan
Trust, Series 2005-AR5
Cl. II-A-1, Upgraded to Ba2 (sf); previously on Aug. 6, 2015,
Upgraded to B1 (sf)
Issuer: Structured Asset Securities Corp Trust 2004-11XS
Cl. 1-A4A, Upgraded to Baa3 (sf); previously on Oct. 3, 2013,
Upgraded to Ba1 (sf)
Cl. 1-A4B, Upgraded to Baa3 (sf); previously on Oct. 3, 2013,
Upgraded to Ba1 (sf)
Cl. 2-A2, Upgraded to A3 (sf); previously on May 14, 2012,
Confirmed at Baa2 (sf)
Cl. 2-M1, Upgraded to Baa3 (sf); previously on Aug. 4, 2014,
Upgraded to Ba2 (sf)
Cl. 2-M2, Upgraded to B1 (sf); previously on Aug. 4, 2014,
Upgraded to Caa1 (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 5.0% in March 2016 from 5.5% in
March 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 Upgrades $179 Million of Subprime RMBS Issued in 2005
-----------------------------------------------------------------
Moody's Investors Service, on April 14, 2016, upgraded the ratings
of 6 tranches from 3 deals issued by various issuers, backed by
Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R10
Cl. A-1 Certificate, Upgraded to Aa2 (sf); previously on Sep 19,
2013 Confirmed at A1 (sf)
Cl. A-2C Certificate, Upgraded to Aa2 (sf); previously on May 12,
2015 Upgraded to A2 (sf)
Cl. M-4 Certificate, Upgraded to B1 (sf); previously on May 12,
2015 Upgraded to Caa1 (sf)
Cl. M-5 Certificate, Upgraded to Ca (sf); previously on Apr 14,
2010 Downgraded to C (sf)
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2005-HE2
Cl. M3 Certificate, Upgraded to Caa2 (sf); previously on Mar 15,
2013 Affirmed Caa3 (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE6
Cl. M-2 Certificate, Upgraded to B1 (sf); previously on Jul 10,
2014 Upgraded to Caa1 (sf)
RATINGS RATIONALE
The upgrades are a result of improving performance of the related
pools and/or build-up in credit enhancement of the tranches. The
actions reflect the recent performance of the underlying pools and
Moody's updated loss expectations on the pools.
[*] S&P Retains Ratings on 6 HECM Deals on CreditWatch Developing
-----------------------------------------------------------------
Standard & Poor's Ratings Services, on April 13, 2016, said that
its ratings on six home equity conversion mortgage (HECM) reverse
mortgage transactions and two Re-REMIC transactions remain on
CreditWatch with developing implications. The ratings from these
transactions were initially placed on CreditWatch with developing
implications on Oct. 16, 2015.
The continued CreditWatch listings reflect S&P's ongoing review of
the performance of certain models used to estimate collateral cash
flows for U.S. residential mortgage-backed securities (RMBS) backed
by HECM reverse mortgage loans. Since the initial CreditWatch
placement, S&P has confirmed that errors exist in the coding and
documentation for these models. As such, S&P is in the process of
developing a new model for use in its analysis of HECM reverse
mortgage transactions. Once testing and validation of the model is
completed and the model is approved for use as per S&P's internal
policies and procedures, it will use the new model to review any
outstanding ratings. Based on S&P's findings from the review, it
will raise, lower, affirm, or withdraw the ratings as appropriate.
RATINGS REMAINING ON CREDITWATCH DEVELOPING
Mortgage Equity Conversion Asset Trust 2007-FF2
Class Rating
A AA+ (sf)/Watch Dev
Mortgage Equity Conversion Asset Trust 2010-1
Class Rating
A CCC (sf)/Watch Dev
Reverse Mortgage Loan Trust Series REV 2007-2
Class Rating
A B- (sf)/Watch Dev
Riverview HECM Trust 2007-1
Class Rating
A notes A- (sf)/Watch Dev
Riverview Mortgage Loan Trust 2007-2
Class Rating
A-1 notes AA+ (sf)/Watch Dev
A-2 notes A- (sf)/Watch Dev
Riverview Mortgage Loan Trust 2007-3
Class Rating
A-1 notes A- (sf)/Watch Dev
FR notes A- (sf)/Watch Dev
Riverview HECM Pass-Through Certificates Series 2007-4
Class Rating
A A- (sf)/Watch Dev
Riverview HECM Pass-Through Certificates Series 2008-1
Class Rating
A-5 AA+ (sf)/Watch Dev
[*] S&P Takes Actions on 224 Classes From 92 RMBS Deals
-------------------------------------------------------
Standard & Poor's Ratings Services, on April 13, 2016, took various
rating actions on 224 classes from 92 U.S. residential
mortgage-backed securities (RMBS) transactions. The rating actions
include lowering ratings on four classes from three transactions,
affirming ratings on 104 classes from 61 transactions, and
withdrawing ratings on 46 classes from 15 transactions while
removing all 154 of these ratings from CreditWatch with negative
implications. In addition, the ratings on 51 classes from 14
transactions are remaining on CreditWatch negative. Further, S&P
discontinued its ratings on 19 classes from three transactions and
removed them from CreditWatch negative.
LOAN MODIFICATION CRITERIA
When a class of securities supported by a particular collateral
pool is paid interest through a weighted average coupon (WAC) and
the interest owed to that class is reduced because of loan
modifications or other credit related events, S&P imputes the
actual interest owed to that class of securities pursuant to
"Methodology For Incorporating Loan Modifications And Extraordinary
Expenses Into U.S. RMBS Ratings," published
April 17, 2015.
Based on these criteria, S&P applies a maximum potential rating
(MPR) cap to those classes of securities that are affected by
reduced interest payments over time due to loan modifications or
other credit-related events. If S&P applies an MPR cap to a
particular class, the resulting rating may be lower than if S&P had
solely considered that class' paid interest based on the applicable
WAC.
DOWNGRADES
S&P lowered its ratings on four classes from three U.S. RMBS
transactions to reflect the application of S&P's loan modification
criteria.
Two of the lowered ratings were on classes AF-4 and AF-5 from
Terwin Mortgage Trust Series TMTS 2005-16HE, each of which has a
financial guarantee from Assured Guaranty Corp. Although the
insurer has made full interest payments under the applicable
insurance policies, loan modifications or other credit-related
events have reduced the interest payments to the bondholders,
resulting in the lower ratings pursuant to the application of S&P's
loan modification criteria.
AFFIRMATIONS
S&P affirmed its ratings on 104 classes from 61 transactions and
removed them from CreditWatch negative. The application of S&P's
loan modification criteria has not affected these ratings because
the MPR is equal to or higher than the current ratings on these
classes.
DISCONTINUANCES
S&P discontinued its ratings on 19 classes from three transactions
and removed them from CreditWatch negative because these classes
have been paid in full.
RATING WITHDRAWALS
The withdrawals of the ratings on 46 classes from 15 transactions
reflect the lack of information necessary to apply S&P's loan
modification criteria. S&P has made multiple requests to the
applicable trustees or servicers for such information as outlined
in "S&P's Steps For Obtaining Necessary Information To Apply
Recently Effective U.S. RMBS Criteria," Aug. 24, 2015. This
article describes S&P's process for requesting information related
to loan modifications and the potential outcomes, including
withdrawal, if S&P is unable to collect that information. Further,
Paragraph 12 of S&P's loan modification criteria states, "For
transactions that we determine do not have sufficient data, we may
withdraw our ratings." Standard & Poor's has not received all of
the information necessary to apply S&P's criteria, and therefore it
withdrew these ratings.
CLASSES REMAINING ON CREDITWATCH NEGATIVE
For 51 classes from 14 transactions, S&P has received information
from the respective trustees or servicers and are in the process of
determining whether the information provided will enable S&P to
apply its criteria. If S&P is able to apply its criteria to these
classes, it will address its ratings on these classes accordingly.
However, if S&P remains unable to apply its criteria to any of
these classes, S&P will withdraw the ratings, as applicable.
A list of the Affected Ratings is available at:
http://bit.ly/22HEf5F
*********
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
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assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
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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
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
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Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
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Copyright 2016. All rights reserved. ISSN: 1520-9474.
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