/raid1/www/Hosts/bankrupt/TCR_Public/160717.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, July 17, 2016, Vol. 20, No. 199
Headlines
1776 CLO I: Moody's Lowers Rating on Class E Notes to B2
1828 LTD: Moody's Assigns Ba3 Rating to Class D Notes
ACAS CRE CDO 2007-1: Moody's Affirms C Rating on 17 Tranches
ANNISA CLO: Moody's Assigns Prov. Ba3 Rating on Class E Notes
ANTHRACITE 2005-HY2: Moody's Lowers Rating on 2 Tranches to C
ARCAP 2003-1: S&P Raises Rating on Class D Notes to BB-
ARCAP 2004-1: S&P Raises Rating on Class B Notes to BB+
ARES LTD XXI: Moody's Affirms Ba2 (sf) Rating on Class D Notes
ARES XXII: Moody's Affirms Ba3(sf) Rating on Class D Notes
ASCENTIUM EQUIPMENT 2014-1: Moody's Hikes Cl. F Debt Rating to Ba3
BANC OF AMERICA 2004-3: Moody's Lowers Cl. X Debt Rating to Ca(sf)
BANC OF AMERICA 2007-2: S&P Lowers Rating on Cl. B Certs. to D
BEAR STEARNS 2003-TOP10: S&P Affirms B- Rating on Class N Certs
BEAR STEARNS 2004-PWR5: Fitch Raises Rating on Cl. L Certs to B
BEAR STEARNS 2005-PWR7: Fitch Lowers Rating on Cl. D Certs to CCC
BEAR STEARNS 2005-PWR8: Moody's Cuts Class F Certs to 'Csf'
BEAR STEARNS 2005-TOP18: Moody's Cuts Cl. X Debt Rating to Caa2
BEAR STEARNS 2006-PWR12: S&P Lowers Rating on Class D Certs. to CCC
BEAR STEARNS 2007-PWR16: Moody's Affirms B1 Rating on Cl. A-J Debt
CABELA'S CREDIT: DBRS Confirms 42 Classes From 10 Securities
CEDAR FUNDING II: S&P Affirms BB Rating on Class E Notes
CENTEX HOME 2005-B: Moody's Raises Rating on Cl. M-3 Debt to B2
CFCRE 2015-RUM: DBRS Confirms BB Rating on Class E Debt
CITIGROUP 2016-P4: Fitch to Rate Class F Certificates 'B-sf'
COMM 2007-C9: S&P Raises Rating on Cl. A-J Certificates to BB+
COMM 2013-CCRE10: Moody's Affirms B2(sf) Rating on Class F Certs
COMM 2013-LC13: S&P Affirms BB- Rating on Class E Certificates
CORNERSTONE CLO: Moody's Affirms Ba3 Rating on Class D Notes
CSFB 2006-C2: Moody's Lowers Class A-X Debt Rating to 'C'
CSFB MORTGAGE 2004-C3: Moody's Affirms Caa3 Rating on Cl. A-X Debt
FLAGSHIP CLO V: Moody's Affirms Ba2 Rating on Class E Notes
FREDDIE MAC 2016-DNA3: Fitch Rates Class M-3 Notes 'Bsf'
FREDDIE MAC 2016-SC01: Moody's Gives (P)Ba2 Rating to Cl. M-2 Debt
GMACM HOME 2002-HE3: Moody's Raises Rating on Cl. VPRN Debt to Ba2
GOLUB CAPITAL 15: S&P Affirms BB Rating on Class D Notes
GREENWICH CAPITAL 2005-GG3: Moody's Hikes Class E Debt Rating to B1
GS MORTGAGE 2007-GG10: S&P Affirms B- Rating on Class A-M Certs
GUGGENHEIM PDFNI 2: Fitch Assigns 'Bsf' Rating to Class D Notes
HALYCON 2005-2: Moody's Lowers Class C Debt Rating to C(sf)
HARBOUR AIRCRAFT: S&P Assigns B Rating on Series C Loan
ICE 1: S&P Lowers Rating on Class C Notes to B+
ICE 3: S&P Raises Rating on Class E Notes to 'B+'
INACTIVE HECM 2016-2: Moody's Assigns Ba3 Ratings to Class M2 Debt
INSTITUTIONAL MORTGAGE 2012-2: DBRS Keeps G Debt Rating on Review
INSTITUTIONAL MORTGAGE 2013-3: DBRS Keeps G Debt Rating on Review
INSTITUTIONAL MORTGAGE 2013-4: DBRS Keeps G Debt Rating on Review
INSTITUTIONAL MORTGAGE 2014-5: DBRS Keeps G Debt Rating on Review
JFIN CLO 2016: Moody's Assigns Prov. Ba3 Rating on Class E Notes
JP MORGAN 2005-LDP2: Moody's Affirms Caa2 Rating on Cl. X-1 Debt
JP MORGAN 2006-LDP7: Moody's Cuts Rating on 3 Tranches to C
JP MORGAN 2012-C8: DBRS Confirms 'Bsf' Rating on Class G Debt
JP MORGAN 2016-1: Fitch Assigns BB Rating on Cl. B-4 Certificates
JP MORGAN 2016-1: Moody's Assigns Ba3 Ratings to Class B-4 Debt
JP MORGAN 2016-JP2: Fitch to Rate Class E Debt 'BB-sf'
JPMCC 2016-JP2: DBRS Assigns Prov. B Rating to Class F Debt
JPMORGAN-CIBC 2006-RR1: Moody's Affirms Ca Rating on Cl. A-1 Debt
KVK CLO 2013-1: S&P Affirms BB Rating on Class E Notes
LANDMARK INFRASTRUCTURE: Fitch Corrects May 13 Release
LB-UBS 2005-C2: Moody's Affirms Caa3 Rating on Cl. X-CL Debt
LB-UBS 2006-C4: Moody's Cuts Class X Debt Rating to Caa3(sf)
LCM LP XIV: S&P Affirms BB Rating on Class E Notes
MASTR ALTERNATIVE 2003-3: Moody's Cuts Cl. A-X Debt Rating to Caa1
MERRILL LYNCH 2007-C1: Fitch Affirms 'Dsf' Rating on 12 Tranches
ML-CFC 2006-4: Moody's Affirms B3 Rating on Cl. AJ Certificates
MORGAN STANLEY 2002-IQ3: Moody's Cuts Cl. X-1 Debt Rating to Caa3
MORGAN STANLEY 2002-NC6: Moody's Hikes Cl. M-1 Debt Rating to Ba1
MORGAN STANLEY 2005-HQ6: DBRS Cuts Class J Debt Rating to D(sf)
MORGAN STANLEY 2007-IQ16: Fitch Affirms 'Dsf' Rating on 9 Tranches
MORGAN STANLEY 2007-XLF: Moody's Affirms C Rating on Cl. N-HRO Debt
MORGAN STANLEY 2008-TOP29: S&P Raises Rating on 3 Tranches to B-
MORGAN STANLEY 2012-C5: Moody's Affirms B1 Rating on Cl. X-C Debt
MORGAN STANLEY 2012-C6: Moody's Affirms B2 Rating on Class H Debt
MORGAN STANLEY 2013-C12: Fitch Affirms B- Rating on Class G Certs
MOUNTAIN CAPITAL VI: Moody's Affirms B1 Rating on Class E Notes
NRZ ADVANCE 2015-ON1: S&P Assigns BB Rating on Cl. E-T1 Notes
OFSI FUND V: S&P Affirms B Rating on Class B-3L Notes
ONEMAIN DIRECT 2016-1: Moody's Assigns (P)B2 Ratings to Cl. D Debt
ONEMAIN DIRECT 2016-1: S&P Assigns Prelim. BB Rating on C Notes
PANGAEA CLO 2007-1: Moody's Affirms Ba3 Rating on Cl. D Notes
POMONA VALLEY: S&P Lowers Rating on GIC Academy Bonds to 'CCC'
RAIT CRE I: Fitch Affirms 'CCsf' Rating on 5 Tranches
RESOURCE REAL 2007-1: Fitch Raises Rating on Cl. B Debt to 'BBsf'
RFMSII HOME 2004-HS3: Moody's Hikes Cl. A Debt Rating to B3(sf)
RIO OIL: S&P Affirms 'B+' Rating on Series 2014-1 & 2014-3 Notes
SASCO TRUST 2005-15: Moody's Hikes Cl. 1-A6 Debt Rating to Caa1
SDART: Moody's Hikes Subprime Auto Loan ABS Issued 2012-2015
SSB RV TRUST 2001-1: Moody's Cuts Cl. C Debt Rating to Caa3(sf)
STEELE CREEK 2016-1: Moody's Assigns Ba3(sf) Rating to Class E Debt
TCI-FLATIRON 2016-1: Moody's Assigns Ba3 Rating to Class E Notes
THL CREDIT 2012-1: S&P Raises Rating on Cl. E Notes to BB
THL CREDIT 2013-1: S&P Raises Rating on Class D Notes to BB+
TICP CLO 2016-1: Moody's Assigns Def. Ba3 Rating to Cl. E Debt
TRAPEZA CDO IX: Fitch Affirms 'Csf' Rating on Class C Notes
WACHOVIA BANK 2005-C16: Moody's Affirms Caa2 Rating on 2 Tranches
WACHOVIA BANK 2005-C18: Moody's Hikes Class G Debt Rating to B1
WACHOVIA BANK 2006-C29: Moody's Affirms C(sf) Rating on Cl. J Debt
WALDORF ASTORIA 2016-BOCA: Fitch to Rate Class F Debt 'B-sf'
WALDORF ASTORIA 2016-BOCA: S&P Gives Prelim B- Rating on F Certs
WAMU 2005-AR8: Moody's Raises Rating on Cl. 2-A-1C2 Debt to Caa1
WELLS FARGO 2004-CC: Moody's Hikes Cl. A-1 Debt Rating to Ba1(sf)
WELLS FARGO 2012-LC5: Fitch Affirms B Rating on Cl. F Certificate
WELLS FARGO 2016-C35: Fitch to Rate Class F Debt 'Bsf'
WESTCOTT PARK: Moody's Assigns Ba3 Ratings to Class E Notes
WFRBS COMMERCIAL 2013-C15: Fitch Affirms B Rating on Cl. F Certs
[*] Fitch Takes Various Actions on 48 Classes in 10 U.S. RMBS Deals
[*] Moody's Hikes $274MM of Subprime RMBS Issued 2002-2006
[*] Moody's Raises Ratings on $16.5MM of 3 Second Lien RMBS Deals
[*] Moody's Takes Action on $113.7MM of Alt-A & Option ARM RMBS
[*] Moody's Takes Action on $267MM of Alt-A and Option ARM RMBS
[*] Moody's Takes Rating Actions on $1.28BB RMBS Issued 2003-2007
[*] S&P Affirms Ratings on 51 Classes From 14 RMBS Transactions
[*] S&P Discontinues Ratings on 53 Classes From 17 CDO Deals
[*] S&P Ratings on 8 Classes From 6 HECM Deals Remain on Watch Dev.
*********
1776 CLO I: Moody's Lowers Rating on Class E Notes to B2
--------------------------------------------------------
Moody's Investors Service has downgraded the rating on these notes
issued by 1776 CLO I, Ltd.:
$16,500,000 Class E Secured Deferrable Floating Rate Notes, Due
2020, Downgraded to B2 (sf); previously on Nov. 2, 2015,
Affirmed Ba3 (sf)
Moody's also affirmed the ratings on these notes:
$50,000,000 Class A-1 Senior Secured Floating Rate Revolving
Notes, Due 2020 (current outstanding balance of
$13,032,288.81), Affirmed Aaa (sf); previously on Nov. 2, 2015,
Affirmed Aaa (sf)
$296,500,000 Class A-2 Senior Secured Floating Rate Notes, Due
2020 (current outstanding balance of $77,281,472.62), Affirmed
Aaa (sf); previously on Nov. 2, 2015, Affirmed Aaa (sf)
$33,500,000 Class B Senior Secured Floating Rate Notes, Due
2020, Affirmed Aaa (sf); previously on Nov. 2, 2015, Affirmed
Aaa (sf)
$27,000,000 Class C Senior Secured Deferrable Floating Rate
Notes, Due 2020, Affirmed Aaa (sf); previously on Nov. 2, 2015,
Upgraded to Aaa (sf)
$35,500,000 Class D Secured Deferrable Floating Rate Notes, Due
2020, Affirmed Baa1 (sf); previously on Nov. 2, 2015, Affirmed
Baa1 (sf)
1776 CLO I, Ltd., issued in April 2006, is a collateralized loan
obligation (CLO) backed primarily by a portfolio of senior secured
loans, with exposure to senior unsecured bonds. The transaction's
reinvestment period ended in May 2012.
RATINGS RATIONALE
The rating downgrade on the Class E notes is primarily a result of
a decrease in the Class E overcollateralization (OC) ratio and
deterioration in the credit quality of the portfolio since the last
rating action in November 2015. By Moody's calculations, the Class
E OC decreased to 104.1% from 109.3% in November 2015, in part
because of an increase in par assumed to be defaulted by Moody's,
to $30.4 million from $15.0 million. Additionally since November
2015, by Moody's calculations, which include adjustments for
ratings with a negative outlook and ratings on review for
downgrade, the weighted average rating factor (WARF) has
deteriorated to 2450 from 2205, and assets rated Caa1 or below have
increased to 13.7% from 6.7%. Furthermore, the transaction has a
large exposure to energy and commodity-linked assets whose ratings
were recently downgraded or have negative credit outlooks.
The portfolio also includes a number of investments in securities
that mature after the notes do (long-dated assets). Based on
Moody's calculations, long-dated assets currently make up
approximately 15.6% of the portfolio. These investments could
expose the notes to market risk in the event of liquidation when
the notes mature.
The rating affirmations on the Class A-1, A-2, B, C and D notes are
primarily a result of deleveraging of the senior notes, whose
benefit offset deterioration in the portfolio's credit quality
since November 2015. The Class A-1 and A-2 notes have deleveraged
by $4.7 million and $28.1 million, respectively, or 26.6% since
then.
Methodology Used for the Rating Action
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2015.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy
and b) the large concentration of upcoming speculative-grade
debt maturities, which could make refinancing difficult for
issuers.
2) Collateral Manager: Performance can also be affected
positively or negatively by a) the manager's investment
strategy and behavior and b) differences in the legal
interpretation of CLO documentation by different
transactional parties owing to embedded ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current
expectations, can lead to positive CLO performance.
Conversely, a negative shift in credit quality or performance
of the collateral can have adverse consequences for CLO
performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled
principal proceeds will continue and at what pace.
Deleveraging of the CLO could accelerate owing to high
prepayment levels in the loan market and/or collateral sales
by the manager, which could have a significant impact on the
notes' ratings. Note repayments that are faster than Moody's
current expectations will usually have a positive impact on
CLO notes, beginning with those with the highest payment
priority.
5) Recovery of defaulted assets: Fluctuations in the market
value of defaulted assets reported by the trustee and those
that Moody's assumes as having defaulted could result in
volatility in the deal's OC levels. Further, the timing of
recoveries and whether a manager decides to work out or sell
defaulted assets create additional uncertainty. Realization
of higher than assumed recoveries would positively impact the
CLO.
6) Long-dated assets: The presence of assets that mature after
the CLO's legal maturity date exposes the deal to liquidation
risk on those assets. This risk is borne first by investors
with the lowest priority in the capital structure. Moody's
assumes that the terminal value of an asset upon liquidation
at maturity will be equal to the lower of an assumed
liquidation value (depending on the extent to which the
asset's maturity lags that of the liabilities) or the asset's
current market value. In light of the deal's sizable
exposure to long-dated assets, which increases its
sensitivity to the liquidation assumptions in the rating
analysis, Moody's ran scenarios using a range of liquidation
value assumptions. However, actual long-dated asset
exposures and prevailing market prices and conditions at the
CLO's maturity will drive the deal's actual losses, if any,
from long-dated assets.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Moody's Adjusted WARF -- 20% (1960)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: 0
Class D: +3
Class E: +2
Moody's Adjusted WARF + 20% (2940)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: -1
Class D: -1
Class E: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base
case, Moody's analyzed the collateral pool as having a performing
par and principal proceeds balance of $205.2 million, defaulted par
of $30.4 million, a weighted average default probability of 13.1%
(implying a WARF of 2450), a weighted average recovery rate upon
default of 48.6%, a diversity score of 20 and a weighted average
spread of 3.2% (before accounting for LIBOR floors).
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of the
assets in the collateral pool. In each case, historical and market
performance and the collateral manager's latitude for trading the
collateral are also factors.
1828 LTD: Moody's Assigns Ba3 Rating to Class D Notes
-----------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
notes issued by 1828 CLO Ltd.:
US$1,600,000 Class X Senior Secured Floating Rate Notes due 2028
(the "Class X Notes"), Assigned Aaa (sf)
US$221,900,000 Class A-1-S Senior Secured Floating Rate Notes due
2028 (the "Class A-1-S Notes"), Assigned Aaa (sf)
US$26,900,000 Class A-1-J Senior Secured Floating Rate Notes due
2028 (the "Class A-1-J Notes"), Assigned Aaa (sf)
US$23,700,000 Class A-2a Senior Secured Floating Rate Notes due
2028 (the "Class A-2a Notes"), Assigned Aa3 (sf)
US$23,700,000 Class A-2b Senior Secured Fixed Rate Notes due 2028
(the "Class A-2b Notes"), Assigned Aa3 (sf)
US$21,600,000 Class B Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class B Notes"), Assigned A3 (sf)
US$18,600,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class C Notes"), Assigned Baa3 (sf)
US$27,700,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class D Notes"), Assigned Ba3 (sf)
The Class X Notes, the Class A-1-S Notes, the Class A-1-J Notes,
the Class A-2a Notes, the Class A-2b Notes, the Class B Notes, the
Class C Notes, and the Class D Notes are referred to herein,
collectively, as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
1828 CLO is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90% of the portfolio must consist
of senior secured loans and eligible investments, and up to 10% of
the portfolio may consist of second lien loans and unsecured loans.
The portfolio is approximately 41% ramped as of the closing date.
Guggenheim Partners Investment Management, LLC (the "Manager") will
direct the selection, acquisition and disposition of the assets on
behalf of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
ACAS CRE CDO 2007-1: Moody's Affirms C Rating on 17 Tranches
------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on these notes
issued by ACAS CRE CDO 2007-1, Ltd.:
Cl. A, Affirmed C (sf); previously on Aug. 12, 2015, Affirmed
C (sf)
Cl. B, Affirmed C (sf); previously on Aug. 12, 2015, Affirmed
C (sf)
Cl. C-FL, Affirmed C (sf); previously on Aug. 12, 2015, Affirmed
C (sf)
Cl. C-FX, Affirmed C (sf); previously on Aug. 12, 2015, Affirmed
C (sf)
Cl. D, Affirmed C (sf); previously on Aug. 12, 2015, Affirmed
C (sf)
Cl. E-FL, Affirmed C (sf); previously on Aug. 12, 2015, Affirmed
C (sf)
Cl. E-FX, Affirmed C (sf); previously on Aug. 12, 2015, Affirmed
C (sf)
Cl. F-FL, Affirmed C (sf); previously on Aug. 12, 2015, Affirmed
C (sf)
Cl. F-FX, Affirmed C (sf); previously on Aug. 12, 2015, Affirmed
C (sf)
Cl. G-FL, Affirmed C (sf); previously on Aug. 12, 2015, Affirmed
C (sf)
Cl. G-FX, Affirmed C (sf); previously on Aug. 12, 2015, Affirmed
C (sf)
Cl. H, Affirmed C (sf); previously on Aug. 12, 2015, Affirmed
C (sf)
Cl. J, Affirmed C (sf); previously on Aug. 12, 2015, Affirmed
C (sf)
Cl. K, Affirmed C (sf); previously on Aug. 12, 2015, Affirmed
C (sf)
Cl. L, Affirmed C (sf); previously on Aug. 12, 2015, Affirmed
C (sf)
Cl. M, Affirmed C (sf); previously on Aug. 12, 2015, Affirmed
C (sf)
Cl. N, Affirmed C (sf); previously on Aug. 12, 2015, Affirmed
C (sf)
RATINGS RATIONALE
Moody's has affirmed the ratings of on the transaction 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.
ACAS CRE CDO 2007-1, Ltd. is a static cash transaction. The
transaction is backed by a portfolio of commercial mortgage backed
securities (CMBS) (100.0% of the pool balance) issued between 2005
and 2007. As of the May 16, 2016, trustee report, the collateral
par amount is $120.6 million, representing a $1.1 billion decrease
since securitization primarily due to realized losses to the
collateral pool.
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 collaterals it does not
rate. The rating agency modeled a bottom-dollar WARF of 10000,
compared to 9945 at last review. The current ratings on the
Moody's-rated collaterals and the assessments of the non-Moody's
rated collaterals follow: Caa1-Caa3 and 0.0% compared to 2.9% at
last review; and Ca/C and 100.0% compared to 97.1% at last review.
Moody's modeled a WAL of 1.1 years, compared to 0.9 years at last
review. The WAL is based on assumptions about extensions on the
underlying collaterals and look-through loans backing the
underlying CMBS collaterals.
Moody's modeled a fixed WARR of 0.0%, same as at last review.
Moody's modeled a MAC of 0.0%, compared to 100.0% at last review.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating SF CDOs" published in July 2015.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance of the notes is subject to uncertainty, because it
is sensitive to the performance of the underlying portfolio, which
in turn depends on economic and credit conditions that are subject
to change. The servicing decisions of the master and special
servicer and surveillance by the operating advisor with respect to
the collateral interests and oversight of the transaction will also
affect the performance of the rated notes.
Moody's Parameter Sensitivities: Changes to any one or more of the
key parameters could have rating implications for the rated notes,
although a change in one key parameter assumption could be offset
by a change in one or more of the other key parameter assumptions.
The rated notes are particularly sensitive to changes in the
recovery rate of the underlying collaterals. However, in light of
the performance indicators noted above, Moody's believes that it is
unlikely that the ratings announced today are sensitive to further
change.
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment given the
weak recovery and certain commercial real estate property markets.
Commercial real estate property values continue to improve
modestly, along with a rise in investment activity and
stabilization in core property type performance. Limited new
construction and moderate job growth have aided this improvement.
However, sustained growth will not be possible until investment
increases steadily for a significant period, non-performing
properties are cleared from the pipeline and fears of a euro area
recession abate.
ANNISA CLO: Moody's Assigns Prov. Ba3 Rating on Class E Notes
-------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of notes to be issued by Annisa CLO, Ltd.
Moody's rating action is:
$256,000,000 Class A Notes due 2028, Assigned (P)Aaa (sf)
$46,000,000 Class B Notes due 2028, Assigned (P)Aa2 (sf)
$24,000,000 Class C Notes due 2028, Assigned (P)A2 (sf)
$24,000,000 Class D Notes due 2028, Assigned (P)Baa3 (sf)
$18,000,000 Class E Notes due 2028, 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.
Annisa CLO, 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, cash, and eligible investments,
and up to 5% of the portfolio may consist of second lien loans,
first lien last out loans and unsecured loans. Moody's expects the
portfolio to be approximately 70% ramped as of the closing date.
Invesco RR Fund L.P. will direct the selection, acquisition and
disposition of the assets on behalf of the Issuer and may engage in
trading activity, including discretionary trading, during the
transaction's four year reinvestment period. Thereafter, the
Manager may reinvest unscheduled principal payments and proceeds
from sales of credit risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue 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: 60
Weighted Average Rating Factor (WARF): 2700
Weighted Average Spread (WAS): 3.85%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 8.2 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 Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
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 2700 to 3105)
Rating Impact in Rating Notches
Class A Notes: 0
Class B Notes: -1
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2700 to 3510)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -3
Class C Notes: -3
Class D Notes: -2
Class E Notes: -1
ANTHRACITE 2005-HY2: Moody's Lowers Rating on 2 Tranches to C
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on these notes
issued by Anthracite 2005-HY2 Ltd. Commercial Mortgage-Related
Securities, Series 2005-HY2:
Cl. C-FL, Downgraded to C (sf); previously on Aug. 12, 2015,
Downgraded to Ca (sf)
Cl. C-FX, Downgraded to C (sf); previously on Aug. 12, 2015,
Downgraded to Ca (sf)
Moody's Investors Service has also affirmed the ratings on these
notes:
Cl. B, Affirmed Caa3 (sf); previously on Aug. 12, 2015,
Downgraded to Caa3 (sf)
Cl. D-FL, Affirmed C (sf); previously on Aug. 12, 2015,
Downgraded to C (sf)
Cl. D-FX, Affirmed C (sf); previously on Aug. 12, 2015,
Downgraded to C (sf)
Cl. E-FL, Affirmed C (sf); previously on Aug. 12, 2015, Affirmed
C (sf)
RATINGS RATIONALE
Moody's has downgraded the ratings of two classes of notes due to
an additional $53.8 million in implied losses since last review
reducing the enhancement of the mezzanine and junior classes.
Moody's has also affirmed the ratings of four classes because key
transaction metrics are commensurate with the existing ratings. The
rating action is the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation (CRE CDO and
Re-Remic) transactions.
Anthracite 2005-HY2 is a static cash transaction backed by a
portfolio of commercial mortgage backed securities (CMBS) (100.0%
of the pool balance) issued between 2002 and 2005. As of the
May 26, 2016, trustee report, the aggregate note balance of the
transaction, including preferred shares, has decreased to $350.9
million from $478.1 million at issuance, with principal pay-down
directed to the senior most outstanding class of notes. The
pay-down was the result of a combination of regular amortization
and resolution or sales of defaulted collateral. Currently, the
transaction has implied under-collateralization of $325.7 million,
compared to $271.9 million at last review, primarily due to implied
losses on the collateral.
Moody's has identified the following as key indicators of the
expected loss in CRE CDO transactions: 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 collaterals it does not
rate. The rating agency modeled a bottom-dollar WARF of 8080,
compared to 7957 at last review. The current ratings on the
Moody's-rated collaterals and the assessments of the non-Moody's
rated collaterals follow: Aaa-Aa3 and 19.2% compared to 0.0% at
last review; Ba1-Ba3 and 0.0% compared to 8.3% at last review;
B1-B3 and 0.0% compared to 17.4% at last review; and Caa1-Ca/C and
80.8% compared to 74.3% at last review.
Moody's modeled a WAL of 1.2 years, compared to 1.4 years at last
review. The WAL is based on the look-through extension assumptions
on the loans backing the underlying CMBS collaterals.
Moody's modeled a fixed WARR of 0.0%, same as at last review.
Moody's modeled a MAC of 100.0%, same as at last review.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating SF CDOs" published in July 2015.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance of the notes is subject to uncertainty, because it
is sensitive to the performance of the underlying portfolio, which
in turn depends on economic and credit conditions that are subject
to change. The servicing decisions of the master and special
servicer and surveillance by the operating advisor with respect to
the collateral interests and oversight of the transaction will also
affect the performance of the rated notes.
Moody's Parameter Sensitivities: Changes to any one or more of the
key parameters could have rating implications for the rated notes,
although a change in one key parameter assumption could be offset
by a change in one or more of the other key parameter assumptions.
The rated notes are particularly sensitive to changes in the
recovery rate of the underlying collaterals. Holding all other key
parameters static, increasing the recovery rate by 10% would result
no modeled rating movement on the rated notes.
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment given the
weak recovery and certain commercial real estate property markets.
Commercial real estate property values continue to improve
modestly, along with a rise in investment activity and
stabilization in core property type performance. Limited new
construction and moderate job growth have aided this improvement.
However, sustained growth will not be possible until investment
increases steadily for a significant period, non-performing
properties are cleared from the pipeline and fears of a euro area
recession abate.
ARCAP 2003-1: S&P Raises Rating on Class D Notes to BB-
-------------------------------------------------------
S&P Global Ratings raised its ratings on the class C and D notes
from ARCap 2003-1 Resecuritization Trust and the corresponding
grantor trust certificates from the same series.
The rating actions follow S&P's review of the transaction's
performance using the data from the May 2016 trustee report. Since
S&P's previous rating actions in August 2013, the transaction had
paid off the class B notes and began paying down the class C notes.
Following the paydowns on the June 22, 2016, payment date, the
class C note balance declined to 56.03% of its original balance
from 100% in August 2013, which increased the available credit
support to the classes.
The upgrades also reflect the positive credit migration of the
underlying commercial mortgage-backed securities (CMBS) collateral.
The proportion of investment-grade assets (i.e., those rated
'BBB-' or higher) has increased since S&P's last review. The
transaction currently has only 16 CMBS as underlying collateral,
and S&P's ratings reflect the credit quality of these assets that
back the tranches.
ARCap 2003-1 is a multi-tiered structure, which issued 10
individual rated notes and seven rated grantor trust certificates
at closing. The class A through G notes were each repackaged into
separate newly formed individual grantor trusts, each of which
issued certificates. Each note receives cash flow from the
underlying CMBS collateral, which is directly passed through to the
corresponding grantor trust certificates. Accordingly, the ratings
on the grantor trust certificates are dependent on the ratings on
the corresponding notes and experienced rating changes to match
those of the corresponding notes.
S&P's review of the transaction also relied, in part, on a criteria
interpretation with respect to "CDOs: Mapping A Third Party's
Internal Credit Scoring System To Standard & Poor's Global Rating
Scale," published May 8, 2014, which allows S&P to use a limited
number of public ratings from other nationally recognized
statistical rating organizations for the purposes of assessing the
credit quality of assets not rated by S&P Global Ratings. The
criteria provide specific guidance for the treatment of corporate
assets that S&P don't rate, and the interpretation outlines the
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 will take further rating actions as
S&P deems necessary.
RATINGS RAISED
ARCap 2003-1 Resecuritization Trust
Collateralized debt obligations
Rating
Class To From
C BBB+ (sf) CCC+ (sf)
D BB- (sf) CCC- (sf)
ARCap 2003-1 Resecuritization Trust
Class C grantor trust certificate
Rating
Class To From
C BBB+ (sf) CCC+ (sf)
ARCap 2003-1 Resecuritization Trust
Class D grantor trust certificate
Rating
Class To From
D BB- (sf) CCC- (sf)
ARCAP 2004-1: S&P Raises Rating on Class B Notes to BB+
-------------------------------------------------------
S&P Global Ratings raised its ratings on the class B notes from
ARCap 2004-1 Resecuritization Trust) and the corresponding grantor
trust certificate from the same series. At the same time, S&P
lowered its ratings on class E notes from the same transaction and
its corresponding grantor trust certificate. S&P also affirmed its
ratings on the class C and D notes from the same transaction and
the corresponding grantor trust certificates.
The rating actions follow S&P's review of the transaction's
performance using the data from the June 2016 trustee report.
Since S&P's August 2013 rating actions, the transaction has paid
off its class A notes and begun paying down the class B notes.
Following the paydowns on the June 23, 2016, payment date, the
class B note balance declined to 88.48% of its original balance
from 100.00% in August 2013. The paydowns increased the available
credit support to the class.
The upgrade of the class B notes also reflects the positive credit
migration of the underlying commercial mortgage-backed securities
(CMBS) collateral. The transaction currently has 21 performing
CMBS tranches as underlying collateral, and S&P's ratings reflect
the credit quality of these assets that back the tranches.
The downgrade of the class E notes reflects S&P's view that the
class is unlikely to be repaid in full. Based on the June 2016 par
value numbers reported by the trustee (including the calculated
amount of defaulted securities), the class E par value ratio is
currently less than 100%. As per the June 23, 2016, payment date
report, the class E notes did not receive their entire interest and
continues to defer a portion of their interest.
The affirmations of the class C and D notes reflect S&P's belief
that the credit support available is commensurate with the current
rating levels.
ARCap 2004-1 is a multi-tiered structure, which issued 10
individual rated notes and seven rated grantor trust certificates
at closing. The class A through G notes were each repackaged into
separate newly formed individual grantor trusts, each of which
issued certificates. Each note receives cash flow from the
underlying CMBS collateral, which is directly passed through to the
corresponding grantor trust certificates. Accordingly, the ratings
on the grantor trust certificates are dependent on the ratings on
the corresponding notes. Accordingly, the ratings on the grantor
trust certificates match those on the underlying notes.
S&P's review of the transaction also relied in part on a criteria
interpretation with respect to "CDOs: Mapping A Third Party's
Internal Credit Scoring System To Standard & Poor's Global Rating
Scale," published May 8, 2014, which allows S&P to use a limited
number of public ratings from other nationally recognized
statistical rating organizations for the purposes of assessing the
credit quality of assets not rated by S&P Global Ratings. The
criteria provide specific guidance for treatment of corporate
assets that S&P don't rate, and the interpretation outlines the
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 rating actions as it
deems necessary.
RATINGS RAISED
ARCap 2004-1 Resecuritization Trust
Collateralized debt obligations
Rating
Class To From
B BB+ (sf) BB (sf)
ARCap 2004-1 Resecuritization Trust Class B
Grantor trust certificate
Rating
Class To From
B BB+ (sf) BB (sf)
RATINGS LOWERED
ARCap 2004-1 Resecuritization Trust
Collateralized debt obligations
Rating
Class To From
E CC (sf) CCC- (sf)
ARCap 2004-1 Resecuritization Trust Class E
Grantor trust certificate
Rating
Class To From
E CC (sf) CCC- (sf)
RATINGS AFFIRMED
ARCap 2004-1 Resecuritization Trust
Collateralized debt obligations
Class Rating
C B (sf)
D CCC (sf)
ARCap 2004-1 Resecuritization Trust Class C
Grantor trust certificate
Class Rating
C B (sf)
ARCap 2004-1 Resecuritization Trust Class D
Grantor trust certificate
Class Rating
D CCC (sf)
ARES LTD XXI: Moody's Affirms Ba2 (sf) Rating on Class D Notes
--------------------------------------------------------------
Moody's Investors Service has upgraded the rating on the following
notes issued by Ares XXI CLO Ltd.:
US$18,000,000 Class C Floating Rate Notes Due 2018, Upgraded to A1
(sf); previously on October 28, 2015 Upgraded to A2 (sf)
Moody's also affirmed the ratings on the following notes:
US$333,000,000 Class A-1 Floating Rate Notes Due 2018 (current
outstanding balance of $ 18,220,108.76), Affirmed Aaa (sf);
previously on October 28, 2015 Affirmed Aaa (sf)
US$25,000,000 Class A-2 Floating Rate Notes Due 2018, Affirmed Aaa
(sf); previously on October 28, 2015 Affirmed Aaa (sf)
US$25,000,000 Class B Deferrable Floating Rate Notes Due 2018,
Affirmed Aaa (sf); previously on October 28, 2015 Upgraded to Aaa
(sf)
US$15,000,000 Class D Floating Rate Notes Due 2018, Affirmed Ba2
(sf); previously on October 28, 2015 Affirmed Ba2 (sf)
Ares XXI CLO Ltd., issued in December 2006, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans, with some exposure to corporate bonds. The
transaction's reinvestment period ended in February 2014.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization ratios since October 2015. The Class A-1
notes have been paid down by approximately 36% or $27.2 million
since then. Based on the trustee's June 2016 report, the
over-collateralization (OC) ratios for the Class A, Class B, Class
C and Class D notes are reported at 257.59%, 163.19%, 129.12% and
109.99%, respectively, versus October 2015 levels of 168.9%,
135.2%, 118.2% and 107.0%,, respectively.
The portfolio includes a number of investments in securities that
mature after the notes do. Based on the trustee's June 2016 report,
securities that mature after the notes do currently make up
approximately 15.32% of the portfolio. These investments could
expose the notes to market risk in the event of liquidation when
the notes mature. Despite the increase in the OC ratio of the Class
D notes, Moody's affirmed the rating on the Class D notes owing to
market risk stemming from the exposure to these long-dated assets.
ARES XXII: Moody's Affirms Ba3(sf) Rating on Class D Notes
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Ares XXII CLO Ltd.:
US$18,000,000 Class B Deferrable Floating Rate Notes Due 2019,
Upgraded to Aa1 (sf); previously on October 1, 2015 Upgraded to Aa3
(sf)
US$11,000,000 Class C Deferrable Floating Rate Notes Due 2019,
Upgraded to A3 (sf); previously on October 1, 2015 Upgraded to Baa1
(sf)
Moody's also affirmed the ratings on the following notes:
US$238,500,000 Class A-1 Floating Rate Notes Due 2019 (current
outstanding balance $66,389,385.26), Affirmed Aaa (sf); previously
on October 1, 2015 Affirmed Aaa (sf)
US$26,500,000 Class A-2 Floating Rate Notes Due 2019, Affirmed Aaa
(sf); previously on October 1, 2015 Affirmed Aaa (sf)
US$19,000,000 Class A-3 Floating Rate Notes Due 2019, Affirmed Aaa
(sf); previously on October 1, 2015 Upgraded to Aaa (sf)
US$11,000,000 Class D Deferrable Floating Rate Notes Due 2019,
Affirmed Ba3 (sf); previously on October 1, 2015 Affirmed Ba3 (sf)
Ares XXII CLO Ltd., issued in August 2007, is a collateralized loan
obligation (CLO) backed primarily by a portfolio of senior secured
loans. The transaction's reinvestment period ended in October
2014.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization ratios since October 2015. The Class A-1
notes have been paid down by approximately 43% or $49.8 million
since that time. Based on the trustee's June 2016 report, the
over-collateralization (OC) ratios for the Class A, Class B, Class
C and Class D notes are reported at 146.06%, 125.82%, 116.00% and
107.60%, respectively, versus October 2015 levels of 131.95%,
118.73%, 111.88% and 105.78%, respectively. The transaction
currently holds approximately $21.0 million of principal proceeds
which we expect to be paid to the Class A-1 notes on the next
payment date in July 2016.
Notwithstanding the benefits of deleveraging, the credit quality of
the portfolio has deteriorated since October 2015. Based on the
trustee's June 2016 report, the weighted average rating factor is
currently 2544 compared to 2306 in October 2015.
ASCENTIUM EQUIPMENT 2014-1: Moody's Hikes Cl. F Debt Rating to Ba3
------------------------------------------------------------------
Moody's has upgraded seven securities and affirmed nine additional
securities issued from the Ascentium Equipment Receivables 2014-1
and 2015-1 LLC, and 2015-2 Trust. The transactions are the
securitizations of small-ticket equipment leases serviced by
Ascentium Capital LLC, the back-up servicer is US Bank National
Association (Aa1, P-1, Stable)
The complete rating actions are as follow:
Issuer: Ascentium Equipment Receivables 2014-1 LLC
Class B Notes, Affirmed Aaa (sf); previously on Feb 17, 2016
Affirmed Aaa (sf)
Class C Notes, Affirmed Aaa (sf); previously on Feb 17, 2016
Affirmed Aaa (sf)
Class D Notes, Affirmed Aaa (sf); previously on Feb 17, 2016
Upgraded to Aaa (sf)
Issuer: Ascentium Equipment Receivables 2015-1 LLC
Class A-2 Notes, Affirmed Aaa (sf); previously on Feb 17, 2016
Affirmed Aaa (sf)
Class A-3 Notes, Affirmed Aaa (sf); previously on Feb 17, 2016
Affirmed Aaa (sf)
Class B Notes, Affirmed Aaa (sf); previously on Feb 17, 2016
Upgraded to Aaa (sf)
Class C Notes, Upgraded to Aaa (sf); previously on Feb 17, 2016
Upgraded to Aa2 (sf)
Class D Notes, Upgraded to Aa1 (sf); previously on Feb 17, 2016
Upgraded to A1 (sf)
Class E Notes, Upgraded to A1 (sf); previously on Feb 17, 2016
Upgraded to Baa2 (sf)
Issuer: Ascentium Equipment Receivables 2015-2 Trust
Class A-2 Notes, Affirmed Aaa (sf); previously on Oct 28, 2015
Definitive Rating Assigned Aaa (sf)
Class A-3 Notes, Affirmed Aaa (sf); previously on Oct 28, 2015
Definitive Rating Assigned Aaa (sf)
Class B Notes, Affirmed Aa2 (sf); previously on Oct 28, 2015
Definitive Rating Assigned Aa2 (sf)
Class C Notes, Upgraded to A1 (sf); previously on Oct 28, 2015
Definitive Rating Assigned A2 (sf)
Class D Notes, Upgraded to A3 (sf); previously on Oct 28, 2015
Definitive Rating Assigned Baa2 (sf)
Class E Notes, Upgraded to Baa3 (sf); previously on Oct 28, 2015
Definitive Rating Assigned Ba2 (sf)
Class F Notes, Upgraded to Ba3 (sf); previously on Oct 28, 2015
Definitive Rating Assigned B2 (sf)
RATINGS RATIONALE
The actions were prompted by stable collateral performance,
build-up of credit enhancement due to the full-turbo sequential
structures of the transactions and non-declining
overcollateralization and reserve accounts. The lifetime cumulative
net loss (CNL) expectations remain unchanged for all outstanding
transactions and range between 2.00% and 2.25%.
Moody’s said, “The unrated servicer and originator was
rebranded as Ascentium in 2011. Ascentium's strong but limited
securitized pool performance to date is a positive, however its
limited history introduces performance uncertainty that we
incorporate in our analysis. The ratings upgrades consider such
uncertainty.”
Below are key performance metrics (as of June 2016 distribution
date) and credit assumptions for each affected transaction. The
credit assumptions include Moody's lifetime CNL expectation, which
is expressed as a percentage of the original pool balance; and
Moody's lifetime remaining CNL expectation and Moody's Aaa level,
both expressed as a percentage of the current pool balance. The Aaa
level is the level of credit enhancement that would be consistent
with a Aaa (sf) rating for the given asset pool. Performance
metrics include the pool factor (the ratio of the current
collateral balance and the original collateral balance at closing);
total hard credit enhancement (expressed as a percentage of the
outstanding collateral pool balance), which typically consists of
subordination, overcollateralization, reserve fund as applicable;
and excess spread per annum.
Issuer -- Ascentium Equipment Receivables 2014-1 LLC
Lifetime CNL expectation --2.00%; prior expectation (February 2016)
-- 2.00%
Pool Factor -- 30.92%
Total Hard credit enhancement --Cl. B -- 97.07%, Cl. C -- 79.38%,
Cl. D -- 68.01%
Excess Spread per annum -- Approximately 0.0%
Issuer -- Ascentium Equipment Receivables 2015-1 LLC
Lifetime CNL expectation --2.25%; prior expectation (February 2016)
-- 2.25%
Pool Factor -- 64.08%
Total Hard credit enhancement -- Cl. A -- 58.22%, Cl. B -- 39.89%,
Cl. C -- 33.41%, Cl. D -- 28.11%, Cl. E -- 24.67%
Excess Spread per annum -- Approximately 1.0%
Issuer -- Ascentium Equipment Receivables 2015-2 LLC
Lifetime CNL expectation --2.25%; original expectation (October
2015) -- 2.25%
Pool Factor -- 26.50%
Total Hard credit enhancement -- Cl. A -- 36.96%, Cl. B -- 22.96%,
Cl. C -- 18.13%, Cl. D -- 15.29%, Cl. E -- 12.93%, Cl. F -- 11.18%
Excess Spread per annum -- Approximately 1.3%
BANC OF AMERICA 2004-3: Moody's Lowers Cl. X Debt Rating to Ca(sf)
------------------------------------------------------------------
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 Banc of America Commercial Mortgage Inc. Commercial
Mortgage Pass-Through Certificates, Series 2004-3 as follows:
Cl. F, Upgraded to Aa2 (sf); previously on Nov 6, 2015 Upgraded to
A1 (sf)
Cl. G, Affirmed Ba1 (sf); previously on Nov 6, 2015 Upgraded to Ba1
(sf)
Cl. H, Affirmed C (sf); previously on Nov 6, 2015 Affirmed C (sf)
Cl. X, Downgraded to Ca (sf); previously on Nov 6, 2015 Affirmed B3
(sf)
RATINGS RATIONALE
The rating on the P&I class, class F, was upgraded based primarily
on an increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 79% since Moody's last
review.
The ratings on the P&I class, class G, was affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The rating on the P&I class, class H, was affirmed because the
ratings are consistent with Moody's expected loss.
The rating on the IO Class was downgraded because it does not, nor
will, receive any future interest payments expect for prepayment
penalties.
Moody's rating action reflects a base expected loss of 12.8% of the
current balance. Moody's base expected loss plus realized losses is
now 4.5% of the original pooled balance, compared to 4.1% at the
last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
DEAL PERFORMANCE
As of the July 11, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 97.8% to $25.4
million from $1.2 billion at securitization. The certificates are
collateralized by 3 mortgage loans. There are no loans with
investment grade structured credit assessments or that have
defeased from the pool.
Two loans, constituting 71.2% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Twenty-three loans have been liquidated from the pool, resulting in
an aggregate realized loss of $48.8 million (for an average loss
severity of 27.8%). One loan, constituting 28.8% of the pool, is
currently in special servicing. The specially serviced loan is the
Nextel Office Building -- Temple, TX Loan (for $7.3 million 28.8%
of the pool), which is secured by an 108,800 square foot (SF)
single story office building. The loan transferred to Special
Servicing on January 15, 2016 due to maturity default. The property
was formerly occupied by a single tenant, Nextel (Sprint) of Texas
(Moody's Senior Unsecured rating of B1, negative outlook). The
tenant entered into amendment on May 29, 2015 whereby, among other
things, extended the term for 5 years and downsized from 108,800
square feet (SF) to 54,117 square feet (SF). Sprint ceased
operations and vacated the entire building in February 2016 but
continues to pay rent. The special servicer has received a draft of
an updated appraisal and is currently being reviewed.
The top two conduit loans represent 71.2% of the pool balance. The
largest loan is the Shops at Camp Lowell Loan ($9.7 million --
38.3% of the pool), which is secured by a retail shopping center
that consists of three one-story buildings. As per the December
2015 rent roll, the property was 95% occupied, the same as in June
2015. The loan is benefitting from amortization and has a Moody's
LTV and stressed DSCR of 101.4% and 1.01X, respectively, compared
to 103.1% and 1X at the last review.
The second largest loan is the Mountain View Marketplace Loan ($8.4
million -- 32.9% of the pool), which is secured by an 123,172
square foot (SF) Safeway-anchored Retail shopping center in
Phoenix, Arizona. As per the December 2015 rent roll the property
was 79% occupied, compared to 80% occupied as of June 2015. Moody's
LTV and stressed DSCR are 86.4% and 1.1X, respectively, compared to
91.1% and 1.13X at the last review.
BANC OF AMERICA 2007-2: S&P Lowers Rating on Cl. B Certs. to D
--------------------------------------------------------------
S&P Global Ratings raised its ratings on two classes of commercial
mortgage pass-through certificates from Banc of America Commercial
Mortgage Trust 2007-2, a U.S. commercial mortgage-backed securities
(CMBS) transaction. In addition, S&P lowered its rating on one
class and affirmed its ratings on three other classes from the same
transaction.
The rating actions follow S&P's analysis of the transaction,
primarily using its criteria for rating U.S. and Canadian CMBS
transactions, which included a review of the credit characteristics
and performance of the remaining assets in the pool, the
transaction's structure, and the liquidity available to the trust.
S&P raised its ratings on classes A-4 and A-1A to reflect its
expectation of the available credit enhancement for these classes,
which S&P believes is greater than its most recent estimate of
necessary credit enhancement for the respective rating levels. The
upgrades also follow S&P's views regarding the current and future
performance of the transaction's collateral and reduced trust
balance. In addition, the upgrades considered refinancing risk, as
95.0%of the loans mature in 2017.
S&P lowered its rating on class B to 'D (sf)' because it expects
the accumulated interest shortfalls to remain outstanding for the
foreseeable future.
According to the June 10, 2016, trustee remittance report, the
current monthly interest shortfalls totaled $669,158 and resulted
primarily from:
-- Interest shortfalls due to rate modifications on modified
loans totaling $561,353;
-- Appraisal subordinate entitlement reduction amounts totaling
$58,970;
-- Nonrecoverable scheduled interest totaling $15,343; and
-- Special servicing and workout fees totaling $13,544.
The current interest shortfalls affected classes subordinate to and
including class B.
The affirmations reflect S&P's expectation that the available
credit enhancement for these classes will be within its estimate of
the necessary credit enhancement required for the current ratings,
as well as S&P's views regarding the current and future performance
of the transaction's collateral. In addition, the 'CCC (sf)'
affirmations on classes A-J and A-JFL reflect S&P's view of the
classes' vulnerability to nonpayment because of reduced liquidity
support, as well as credit support erosion that S&P expects to
occur upon the eventual resolution of the specially serviced
assets.
TRANSACTION SUMMARY
As of the June 10, 2016, trustee remittance report, the collateral
pool balance was $1.49 billion, which is 47.1% of the pool balance
at issuance. The pool currently includes 124 loans and three real
estate-owned (REO) assets (reflecting crossed loans), down from 180
loans at issuance. Six (reflecting crossed loans) of these assets
($35.5 million, 2.4%) are with the special servicer, five ($60.8
million, 4.1%) are defeased, and 21 ($178.1 million, 11.9%) are on
the master servicer's watchlist. The master servicer, KeyBank Real
Estate Capital, reported financial information for 98.4% of the
nondefeased loans in the pool, of which 92.8% was partial-year 2016
or year-end 2015 data, and the remainder was partial-year 2015 or
partial- or year-end 2014 data.
S&P calculated a 1.23x S&P Global Ratings' weighted average debt
service coverage (DSC) and 97.7% S&P Global Ratings' weighted
average loan-to-value (LTV) ratio using a 7.59% S&P Global Ratings'
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the six specially serviced
assets, five defeased loans, two loans ($4.0 million, 0.3%)treated
as nonperforming, and three subordinate B hope notes ($63.5
million, 4.2%). The top 10 nondefeased loans have an aggregate
outstanding pool trust balance of $769.1 million (51.5%). Using
servicer-reported numbers, S&P calculated an S&P Global Ratings'
weighted average DSC and LTV of 1.03x and 112.8%, respectively, for
the top 10 nondefeased loans.
To date, the transaction has experienced $234.6 million in
principal losses, or 7.4% of the original pool trust balance. S&P
expects losses to reach approximately 7.9% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses S&P expects upon the eventual resolution of
the six specially serviced assets.
CREDIT CONSIDERATIONS
As of the June 10, 2016, trustee remittance report, six assets in
the pool were with the special servicer, CWCapital Asset Management
LLC (CWCapital). Appraisal reduction amounts (ARAs) totaling $12.5
million are in effect against five of the specially serviced
assets, while the International Filing Co. loan ($2.9 million,
0.2%) has been deemed nonrecoverable by the master servicer.
Details of the two largest specially serviced assets are:
The Georgetown Apartments loan ($11.3 million, 0.8%) has a $13.4
million total reported exposure. The loan is secured by a 200-unit
apartment complex in South Bend, Ind. The loan was previously
corrected and transferred back to the special servicer on May 13,
2014, because the borrower was unable to improve property
operations and defaulted on a 2011 loan modification. CWCapital
stated that it is pursuing foreclosure. A $5.0 million ARA is in
effect against this loan. S&P expects a moderate loss upon the
loan's eventual resolution.
The Parkway Shopping Center REO asset ($9.8 million, 0.7%) has a
$11.7 million total reported exposure. The asset is a
135,000-sq.-ft. retail property in Allentown, Pa. The loan was
transferred to the special servicer on June 3, 2014, because of
monetary default. The property became REO on Feb. 26, 2016. A $2.1
million ARA is in effect against this asset. S&P expects a
moderate loss upon this asset's eventual resolution.
The four remaining assets with the special servicer each have
individual balances that represent less than 0.4% of the total pool
trust balance. S&P estimated losses for the six specially serviced
assets, arriving at a weighted average loss severity of 43.6%.
With respect to the specially serviced assets noted above, a
minimal loss is less than 25%, a moderate loss is 26%-59%, and a
significant loss is 60% or greater.
RATINGS LIST
Banc of America Commercial Mortgage Trust 2007-2
Commercial mortgage pass-through certificates series 2007-2
Rating
Class Identifier To From
A-4 059511AE5 AA+ (sf) A+ (sf)
A-1A 059511AF2 AA+ (sf) A+ (sf)
A-M 059511AH8 BBB- (sf) BBB- (sf)
A-J 059511AJ4 CCC (sf) CCC (sf)
B 059511AK1 D (sf) CCC- (sf)
A-JFL 059511AQ8 CCC (sf) CCC (sf)
BEAR STEARNS 2003-TOP10: S&P Affirms B- Rating on Class N Certs
---------------------------------------------------------------
S&P Global Ratings raised its ratings on two classes of commercial
mortgage pass-through certificates from Bear Stearns Commercial
Mortgage Securities Trust 2003-TOP10, a U.S. commercial
mortgage-backed securities (CMBS) transaction. At the same time,
S&P affirmed its ratings on three other classes from the same
transaction.
"Our upgrades follow our analysis of the transaction, primarily
using our criteria for rating U.S. and Canadian CMBS transactions,
which included a review of the credit characteristics and
performance of the remaining assets in the pool, the transaction's
structure, and the liquidity available to the trust. The upgrades
also reflect our expectation of the available credit enhancement
for these classes, which we believe is greater than our most recent
estimate of necessary credit enhancement for the respective rating
levels, our views regarding the collateral's current and future
performance, and the reduced trust balance," S&P said.
The affirmations reflect S&P's expectation that the available
credit enhancement for these classes will be within S&P's estimate
of the necessary credit enhancement required for the current
ratings as well as S&P's views regarding the current and future
performance of the transaction's collateral.
While available credit enhancement levels suggest further positive
rating movements on classes J and K, and positive rating movements
on classes L, M, and N, S&P's analysis also considered the classes'
susceptibility to reduced liquidity support from the sole specially
serviced asset ($9.1 million, 37.8%).
TRANSACTION SUMMARY
As of the June 13, 2016, trustee remittance report, the collateral
pool balance was $24.0 million, which is 2.0% of the pool balance
at issuance. The pool currently includes 12 loans and one real
estate-owned (REO) asset, down from 167 loans at issuance. One
asset is currently reported with the special servicer, two loans
are defeased ($2.9 million, 12.2%), and no loans reported on the
master servicer's watchlist. The master servicer, Wells Fargo Bank
N.A., reported financial information for 100% of the loans in the
pool, of which 57.0% was year-end 2015 data, and the remainder was
year-end 2014 data.
For the 10 performing loans backed by commercial real estate, S&P
calculated a 1.71x S&P Global Ratings' weighted average debt
service coverage (DSC) and a 24.9% S&P Global Ratings' weighted
average loan-to-value ratio using a 7.52% S&P Global Ratings'
weighted average capitalization rate.
To date, the transaction has experienced $8.6 million in principal
losses, or 0.7% of the original pool trust balance. S&P expects
losses to reach approximately 0.8% of the original pool trust
balance in the near term, based on losses incurred to date and
additional losses S&P expects upon the eventual resolution of the
specially serviced asset.
CREDIT CONSIDERATIONS
As of the June 13, 2016, trustee remittance report, the Power Plaza
Shopping Center REO asset was the sole asset in the pool and was
with the special servicer, C-III Asset Management LLC (C-III). The
Power Plaza Shopping Center REO asset is the largest asset in the
pool and has a reported $10.2 million in total exposure. The asset
is a 112,155-sq.-ft. retail property in Vacaville, Calif. The loan
was transferred to the special servicer on Aug. 27, 2014, due to
imminent maturity default, and the property became REO on May 11,
2016.
C-III stated that it is working to lease up the property before
disposition. The reported occupancy as of June 30, 2015, was
approximately 73.0%. However, S&P expects the occupancy to decline
in the near term due to the bankruptcy of Sports Authority, which
occupies about 38% of the space and has indicated that it is
closing its store at this location. While S&P expects a minimal
loss upon this asset's eventual resolution, which S&P considers to
be a loss between 0% and 25% of the outstanding asset balance, S&P
is cognizant and have considered in its analysis the risk of
further valuation decline due to lowered occupancy at the property
as well as the potential for the asset to be deemed
non-recoverable in the future by the master servicer.
RATINGS LIST
Bear Stearns Commercial Mortgage Securities Trust 2003-TOP10
Commercial mortgage pass through certificates series 2003-TOP10
Rating Rating
Class Identifier To From
J 07383FRE0 AA+ (sf) BB+ (sf)
K 07383FRF7 A+ (sf) BB- (sf)
L 07383FRG5 B+ (sf) B+ (sf)
M 07383FRH3 B (sf) B (sf)
N 07383FRJ9 B- (sf) B- (sf)
BEAR STEARNS 2004-PWR5: Fitch Raises Rating on Cl. L Certs to B
---------------------------------------------------------------
Fitch Ratings has upgraded four and affirmed six classes of Bear
Stearns Commercial Mortgage Securities Trust, commercial mortgage
pass-through certificates, series 2004-PWR5 (BSCMS 2004-PWR5).
KEY RATING DRIVERS
The upgrades reflect an increase in credit enhancement since
Fitch's last rating action. The pool has become more concentrated
with only 11 loans remaining; however, loan performance remains
stable, and modeled losses are in-line with expectations at the
last rating action.
Fitch modeled losses of 6.4% of the remaining pool. Expected
losses on the original pool balance total 1.7%, including $15.9
million (1.3% of the original pool balance) in realized losses to
date.
As of the June 2016 distribution date, the pool's aggregate
principal balance has been reduced by 94.2% to $71.9 million from
$1.23 billion at issuance. Of the remaining loans, the two largest
loans (69.6% of pool), which have maturities in April 2019, have
been defeased. Two other loans in the pool are real-estate owned
(REO; 7.8%). The seven remaining non-specially serviced loans are
fully amortizing with final maturities in 2019 (four loans, 9.2% of
pool) and 2024 (three, 13.4%).
The largest contributors to modeled losses have remained the same
since the last rating action.
The largest contributor to modeled losses is the Pottsburg Plaza
asset (4.8% of pool), which is a 35,905 square foot (sf)
neighborhood retail center located in Jacksonville, FL, consisting
of two buildings: a 13,905 sf free-standing Walgreens building and
a 22,000 sf in-line retail building. The loan was transferred to
special servicing in May 2014 due to maturity default and the asset
became REO in March 2015. As of the April 2016 rent roll, the
asset was 51.7% occupied, with the in-line building being only 21%
occupied. Walgreen's lease expires in 2056; however, the tenant
has a termination option in 2016 whereby notice must be provided by
June 30, 2016 if they want to exercise the option. The special
servicer indicated Walgreen's has not provided any termination
notice and negotiations about extending the lease at a lower rate,
due to declining store sales, are in progress.
The next largest contributor to modeled losses is the Campbell
Station Shopping Center asset (3%), which is a 28,028 sf unanchored
retail strip center located in Spring Hill, TN. The loan was
transferred to special servicing in May 2014 due to maturity
default and became REO in February 2015. As of the May 2016 rent
roll, the asset was 77% occupied, an improvement from 67% at
Fitch's last rating action as a new lease with a liquor tenant was
executed. A purchase agreement for the asset has been negotiated
and is being circulated by the special servicer for final approval.
RATING SENSITIVITIES
The Stable Outlooks on classes E through H reflect that these
classes are fully covered by defeased collateral. Despite
increasing credit enhancement to classes J through L, upgrades were
limited due to the concentrated nature of the pool. Future
upgrades are possible should recoveries on the special serviced
asset dispositions exceed expectations. Downgrades to the
distressed classes are likely should additional losses be
realized.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has upgraded these classes and assigned Rating Outlooks as
indicated:
-- $18.5 million class H to 'AAAsf' from 'AAsf'; Outlook
Stable;
-- $4.6 million class J to 'Asf' from 'BBsf'; Outlook Stable;
-- $4.6 million class K to 'BBsf' from 'Bsf'; Outlook Stable;
-- $6.2 million class L to 'Bsf' from 'CCCsf'; assigned Outlook
Stable.
In addition, Fitch has affirmed these classes:
-- $3 million class E at 'AAAsf'; Outlook Stable;
-- $15.4 million class F at 'AAAsf'; Outlook Stable;
-- $9.3 million class G at 'AAAsf'; Outlook Stable;
-- $4.6 million class M at 'CCsf'; RE 100%;
-- $4.6 million class N at 'Csf'; RE 40%;
-- $1.1 million class P at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-4, A-5, B, C and D certificates have
paid in full. Fitch does not rate the fully-depleted class Q
certificates. Fitch previously withdrew the ratings on the
interest-only class X-1 and X-2 certificates.
BEAR STEARNS 2005-PWR7: Fitch Lowers Rating on Cl. D Certs to CCC
-----------------------------------------------------------------
Fitch Ratings has downgraded two and affirmed 11 classes of Bear
Stearns Commercial Mortgage Securities Trust (BSCMS) commercial
mortgage pass-through certificates.
KEY RATING DRIVERS
The downgrades are the result of increased expected losses and
significant concentration with only 10 loans remaining, two of
which (73.4%) are in special servicing. The affirmation of the two
senior classes reflects the high credit enhancement and continued
expected paydown despite the increase in Fitch expected losses from
last year's review.
Fitch modeled losses of 54.2% of the remaining pool and expected
losses based on the original pool balance are 7.8%, of which 2.6%
are realized losses to date. Of the original 124 loans, 10 remain,
of which five have been designated (89.7% of the pool balance) as
Fitch Loans of Concern, and includes the two specially serviced
loans (73.4%). Three loans (2.6%) are fully defeased. The
non-specially serviced loans' final maturity dates are in 2019
(2.0%), 2020 (15.8%), 2023 (6.6%), and 2025 (2.3%). Four loans are
currently on the servicer watchlist (18.3%).
The pool's aggregate principal balance has been paid down by 90.5%
to $107.4 million from $1.125 billion at issuance. Five of the
remaining 10 loans reported partial or full-year 2015 financials.
Based on servicer financial statements, the pool's overall net
operating income (NOI) decreased 27.6% since issuance and 4.1% over
2014 reported financials.
The largest contributor to expected losses is the real estate owned
375,486 square foot (sf) retail center, Quintard Mall (27.5%),
located in Oxford, AL. The property experienced cash flow issues
starting in 2012 due to occupancy declines and an increase in
expenses associated with renewing a number of large tenants. The
property was transferred to the special servicer in May 2013 for
payment default and the special servicer completed the foreclosure
process in October 2014. The mall's total occupancy is currently
81% which is down from the high of 96% in 2011. The special
servicer recently completed its leasing plan and addressed a number
of deferred maintenance issues. The special servicer is evaluating
disposition options, determining a strategy, and plans to market
the asset for sale in 2016.
The second largest contributor to losses is the specially serviced
loan, Shops at Boca Park (45.9%), secured by a 247,472-sf anchored
retail center located in Las Vegas, NV, approximately 10 miles west
of downtown. The subject was built in 1976 and renovated in 2001.
The property's occupancy was 93% as of October 2015 with a debt
service coverage ratio of 1.23x. The loan was previously modified
in November 2012 and the loan was extended through July 2016. The
sponsor was unable to attain a lender commitment to refinance the
loan prior to extended maturity date of July 2016 due to pending
tenant expirations which totals 50% of the net rentable area. The
loan was transferred back to the special servicer in February 2016
after the sponsor asked for another loan extension in order to
refinance the collateral. The special servicer is currently
evaluating the property and its legal options. Fitch continues to
monitor the status of any negotiations and/or loan resolution.
The third largest contributor to expected losses is secured by
60,941-sf unanchored retail center located outside of Las Vegas,
NV. The property has three major national banks located on
outparcels and a number of small local and regional companies
occupying the inline suites. The loan transferred to special
servicing in January 2015 after a maturity default and the loan was
modified and extended under a consensual bankruptcy plan. The
loan's modified terms reduced the rate to 5.3% and extended the
maturity date to January 2023. As of Dec. 2015, the property's
occupancy reached a low since issuance of 80% with a DSCR of 1.01x.
The loan is current and was returned to master servicer in March
2016.
RATING SENSITIVITIES
Fitch's analysis included conservative loss assumptions on the
specially serviced loans. The Negative Outlook to class B and C
reflect the possibility of future downgrades if expected losses
increase on the specially serviced loans before the class receives
significant paydown. Upgrades are unlikely due to adverse
selection of the remaining collateral and high percentage of
specially serviced loans. Downgrades to the distressed classes are
possible if additional loans transfer to special servicing and/or
expected losses increase significantly.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch has downgraded these classes as indicated:
-- $15.5 million class D to 'CCCsf' from 'Bsf''; RE 50%;
-- $11.2 million class F to 'Csf ' from 'CCsf'; RE 0%.
Fitch affirms these classes and revises Outlooks as indicated:
-- $31.6 million class B at 'BBBsf'; Outlook to Negative from
Stable;
-- $8.4 million class C at 'BBsf''; Outlook to Negative from
Stable;
-- $11.2 million class E at 'CCsf'; RE 0%;
-- $9.8 million class G at 'Csf'; RE 0%.
-- $12.7 million class H at 'Csf'; RE 0%;
-- $4.2 million class J at 'Csf'; RE 0%;
-- $2.7 million class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%.
The classes A-1, A-2, A-AB, A-3, and A-J certificates have paid in
full. Fitch does not rate the class Q certificates. Fitch
previously withdrew the ratings on the interest-only class X-1 and
X-2 certificates.
BEAR STEARNS 2005-PWR8: Moody's Cuts Class F Certs to 'Csf'
-----------------------------------------------------------
Moody's Investors Service has downgraded the rating on one class
and affirmed the ratings on three classes in Bear Stearns
Commercial Mortgage Securities Trust, Commercial Mortgage
Pass-Through Certificates Series 2005-PWR8 as follows:
Cl. E, Affirmed Caa1 (sf); previously on Aug 21, 2015 Affirmed Caa1
(sf)
Cl. F, Downgraded to C (sf); previously on Aug 21, 2015 Affirmed Ca
(sf)
Cl. G, Affirmed C (sf); previously on Aug 21, 2015 Affirmed C (sf)
Cl. X-1, Affirmed Caa3 (sf); previously on Aug 21, 2015 Downgraded
to Caa3 (sf)
RATINGS RATIONALE
The rating on Class F was downgraded due to higher anticipated
losses from specially serviced loans as well as an increase in
interest shortfalls.
The ratings on the Classes E and G were affirmed because the
ratings are consistent with Moody's expected loss.
The rating of the IO class, Class X-1, was affirmed based on the
credit performance (or weighted average rating factor or WARF) of
the referenced classes.
Moody's rating action reflects a base expected loss of 55.2% of the
current balance, compared to 33.3% at Moody's last review. Moody's
base expected loss plus realized losses is now 5.6% of the original
pooled balance, compared to 5.5% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
DEAL PERFORMANCE
As of the June 13, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $46.7 million
from $1.77 billion at securitization. The certificates are
collateralized by 14 mortgage loans ranging in size from 1% to 25%
of the pool. One loan, constituting 1.2% of the pool, has defeased
and is secured by US government securities.
One loan, constituting 2.0% 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.
Twenty-two loans have been liquidated from the pool with a loss,
resulting in an aggregate realized loss of $73 million (for an
average loss severity of 40.7%). Seven loans, constituting 75.5% of
the pool, are currently in special servicing. The largest specially
serviced loan is the La Borgata at Serrano ($11.8 million -- 25.2%
of the pool), which is secured by a mixed-use property located in
El Dorado Hills, CA, a suburb of Sacramento. The loan was
transferred to special servicing in March 2012 due to imminent
monetary default and became real estate owned (REO) in September
2012.
The remaining six specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $25.8 million loss
for the specially serviced loans (73.0% expected loss on average).
As of the June 13, 2016 remittance statement cumulative interest
shortfalls were $4.2 million. Moody's anticipates interest
shortfalls will continue because of the exposure to specially
serviced loans. Interest shortfalls are caused by special servicing
fees, including workout and liquidation fees, appraisal entitlement
reductions (ASERs), loan modifications and extraordinary trust
expenses.
Moody's received full or partial year 2015 operating results for
100% of the pool and partial year 2016 operating results for 64% of
the pool. Moody's weighted average conduit LTV is 54.4%. 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 11.3% 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 1.87X and 1.87X,
respectively. 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 19.3% of the pool balance.
The largest loan is the Norwood Shopping Center Loan ($6.1 million
-- 13.0% of the pool), which is secured by an grocery-anchored
retail center in North Hills, CA, a suburb situated approximately
24 miles northwest of the Los Angeles CBD. The Property's
performance and cash flows have improved since last review and it
was 97% occupied as of March 2016. Moody's LTV and stressed DSCR
are 60.3% and 1.54X, respectively, compared to 66.5% and 1.40X at
the last review.
The second largest loan is the Stonebriar Village Loan ($2.0
million -- 4.3% of the pool), which is secured by a 100-unit
garden-style multifamily community located in Plainview, TX. The
property was built in 2001 and was 99% leased as of September 2015.
Property performance has remained stable since last review. Moody's
LTV and stressed DSCR are 62.0% and 1.45X, respectively, compared
to 63.1% and 1.42X at the last review.
The third largest loan is the Waterman Plaza Loan ($0.9 million --
2.0% of the pool), which is secured by a retail strip center that
is shadow anchored by a Bel Air supermarket and is located in Elk
Grove, CA, a suburb of Sacramento. The property was 100% leased as
of March 2016, however, the loan has been placed on the watchlist
as a result of the two largest tenants being on month-to-month
leases. Moody's LTV and stressed DSCR are 39.7% and 2.42X,
respectively, compared to 38.5% and 2.50X at the last review.
BEAR STEARNS 2005-TOP18: Moody's Cuts Cl. X Debt Rating to Caa2
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two classes,
affirmed the ratings on four classes, and downgraded the rating on
one class in Bear Stearns Commercial Mortgage Securities Trust,
Commercial Mortgage Pass-Through Certificates, Series 2005-TOP18 as
follows:
Cl. D, Affirmed Aaa (sf); previously on Jul 24, 2015 Upgraded to
Aaa (sf)
Cl. E, Upgraded to Aaa (sf); previously on Jul 24, 2015 Upgraded to
Aa2 (sf)
Cl. F, Upgraded to Baa1 (sf); previously on Jul 24, 2015 Upgraded
to Baa3 (sf)
Cl. G, Affirmed B3 (sf); previously on Jul 24, 2015 Upgraded to B3
(sf)
Cl. H, Affirmed Caa3 (sf); previously on Jul 24, 2015 Affirmed Caa3
(sf)
Cl. J, Affirmed C (sf); previously on Jul 24, 2015 Affirmed C (sf)
Cl. X, Downgraded to Caa2 (sf); previously on Jul 24, 2015
Downgraded to Caa1 (sf)
RATINGS RATIONALE
The ratings on Classes E and F were 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 Class D was affirmed because the transaction's key
metrics, including Moody's loan-to-value (LTV) ratio, Moody's
stressed debt service coverage ratio (DSCR) and the transaction's
Herfindahl Index (Herf), are within acceptable ranges. The ratings
on Classes G, H and J were affirmed because the ratings are
consistent with Moody's expected loss.
The rating on the IO Class, Class X, was downgraded due to the
decline in the credit performance of its reference classes
resulting from principal paydowns of higher quality reference
classes.
Moody's rating action reflects a base expected loss of 2.2% of the
current balance, compared to 4.6% at Moody's last review. Moody's
base expected loss plus realized losses is now 2.2% of the original
pooled balance, compared to 2.4% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
DEAL PERFORMANCE
As of the June 13th, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 95.5% to $50 million
from $1.12 billion at securitization. The certificates are
collateralized by seventeen mortgage loans ranging in size from
less than 1% to 20% of the pool, with the top ten loans
constituting 85% of the pool. One loan, constituting 3.5% of the
pool, has defeased and is secured by US government securities.
One loan, constituting 4.2% 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.
Fifteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $24 million (for an average loss
severity of 10%). Two loans, constituting 11% of the pool, are
currently in special servicing. The largest specially serviced loan
is the Boulevard Market Fair Loan ($4 million -- 8.1% of the pool),
which is secured by a 60,346 square feet (SF) retail center located
in Anderson, South Carolina. The loan transferred to special
servicing in May 2016 due to maturity default. The special servicer
indicated that the Borrower is working on a refinance of the loan.
The other specially serviced loan is the Valley Ridge Loan ($1.4
million -- 2.9% of the pool), which is secured by a 14,000 SF
retail property located 10 miles south of downtown Indianapolis.
The loan foreclosed in April 2016, and the property is currently
scheduled for inclusion in a July 2016 on-line auction initiative.
Moody's estimates an aggregate $0.9 million loss for the specially
serviced loans (16% expected loss on average).
Moody's received full year 2015 operating results for 100% of the
pool, and partial year 2016 operating results for 29% of the pool.
Moody's weighted average conduit LTV is 55%, compared to 61% 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 20% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.3%.
Moody's actual and stressed conduit DSCRs are 1.68X and 2.24X,
respectively, compared to 1.77X and 1.96X 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 46% of the pool balance. The
largest loan is the Finisar Portfolio Loan ($10 million -- 20% of
the pool), which is secured by two properties, a industrial
property in Allen, Texas and an office property in Sunnyvale,
California. The properties are 100% leased to Finisar through
February 2020. Due to the single tenant risk, Moody's valuation
reflects a lit/dark analysis. The loan has amortized approximately
40% since securitization. Moody's LTV and stressed DSCR are 35% and
2.96X, respectively, compared to 37% and 2.76X at prior review.
The second largest loan is the Summa Care Center Loan ($8.5 million
-- 17% of the pool). The loan is secured by a 92,000 SF office
property in downtown Akron, Ohio. The property is 98% leased to
Summa Health System through November 2016. Moody's value
incorporates a lit/dark analysis to account for the lease rollover
risk of the anchor tenant. Moody's LTV and stressed DSCR are 70%
and 1.43X, respectively, unchanged from the last review.
The third largest loan is the Sheridan Shoppes Loan ($4 million --
9% of the pool). The loan is secured by a 25,000 SF retail center
in Davie, Florida. The property was 100% occupied as of March 2016,
unchanged from prior review. Moody's LTV and stressed DSCR are 97%
and, 1.03X, respectively, compared to 99% and 1.01X at the last
review.
BEAR STEARNS 2006-PWR12: S&P Lowers Rating on Class D Certs. to CCC
-------------------------------------------------------------------
S&P Global Ratings raised its rating to 'AA+ (sf)' on the class C
commercial mortgage pass-through certificates from Bear Stearns
Commercial Mortgage Securities Trust 2006-PWR12, a U.S. commercial
mortgage-backed securities (CMBS) transaction. In addition, S&P
lowered its rating on class D from the same transaction to 'CCC-
(sf)'. S&P also discontinued its 'BB- (sf)' and 'B (sf)' ratings
on classes A-J and B, respectively, following the classes' full
principal repayment.
The rating actions follow S&P's analysis of the transaction,
primarily using its criteria for rating U.S. and Canadian CMBS
transactions, which included a review of the credit characteristics
and performance of the remaining assets in the pool, the
transaction's structure, and the liquidity available to the trust.
As of the June 13, 2016, trustee remittance report, the trust
balance was significantly reduced following the full repayment of
six loans and disposition of one specially serviced loan, which
included the fourth largest loan, Broken Sound Portfolio ($47.0
million of the original pool trust balance). In addition, the
second largest specially serviced loan at the time, Brown Deer
Business Park (24.0 million of the original pool trust balance),
liquidated at a moderate loss.
S&P raised its rating on class C to reflect its expectation of the
available credit enhancement for this class, which S&P believes is
greater than its most recent estimate of necessary credit
enhancement for the rating level. The upgrade also reflects the
trust balance's significant reduction and reflects S&P's views
regarding the collateral's current and future performance and
available liquidity support.
The downgrade on class D reflects credit support erosion that S&P
anticipates will occur upon the eventual resolution of the seven
specially serviced assets ($57.3 million, 72.5%), as well as a
reduction in the liquidity support available to this class due to
ongoing interest shortfalls.
The interest shortfalls for the month totaled $164,329 (this
excludes a significant one-time interest recovery) and reflected
these:
-- Appraisal subordinate entitlement reduction amounts totaling
$128,304;
-- Interest not advanced due to nonrecoverability
determinations totaling $23,660; and
-- Special servicing fees totaling $12,364.
Finally, S&P discontinued its ratings on classes A-J and B
following their full repayment as noted in the June 13, 2016,
trustee remittance report.
TRANSACTION SUMMARY
As of the June 13, 2016, trustee remittance report, the collateral
pool balance was $79.2 million, which is 3.8% of the pool balance
at issuance. The pool currently includes nine loans and two real
estate-owned (REO) assets, down from 211 loans at issuance. Seven
of these assets ($57.3 million, 72.4%) are with the special
servicer, one ($7.5 million, 9.5%) is defeased, and two
($11.8 million, 15.0%) are on the master servicers' watchlist. The
master servicers, Prudential Asset Resources and Wells Fargo Bank
N.A., reported financial information for 84.7% of the nondefeased
loans in the pool, of which 68.3% was year-end 2015 data and the
remainder was year-end 2014 data.
S&P calculated a 1.55x S&P Global Ratings weighted average debt
service coverage (DSC) and 66.6% S&P Global Ratings weighted
average loan-to-value (LTV) ratio using a 8.58% S&P Global Ratings
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the seven specially
serviced assets and one defeased loan.
To date, the transaction has experienced $129.1 million in
principal losses, or 6.2% of the original pool trust balance. S&P
expects losses to reach approximately 7.9% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses S&P expects upon the eventual resolution of
the seven specially serviced assets.
CREDIT CONSIDERATIONS
As of the June 13, 2016, trustee remittance report, seven assets in
the pool were with the special servicer, C-III Asset Management LLC
(C-III). Details of these two largest specially serviced assets
are:
-- Stone Mountain Square ($27.6 million, 34.9%) is an REO asset
and the largest nondefeased asset in the pool with a total
reported exposure of $34.4 million. The asset is a 336,663-
sq.-ft. anchored retail property in Stone Mountain, Ga. The
loan was transferred to C-III on Jan. 23, 2013, and the
trust took title to the property in August 2013. C-III
indicated that the asset is being marketed for sale. The
reported DSC and occupancy as of year-end 2015 were 0.27x
and 64.0%, respectively. An appraisal reduction amount
(ARA) of $19.5 million is in effect against this asset. S&P
expects a significant loss upon this asset's eventual
resolution.
-- The Micron Building loan ($7.0 million, 8.9%) has a total
reported exposure of $7.0 million. The loan is secured by a
70,120-sq.-ft. office building in Sacramento. The loan was
transferred to C-III on April 8, 2016, because of maturity
default. C-III indicated that they are proceeding with
rights and remedies under the loan documents. The reported
DSC and occupancy as of year-end 2015 were 1.63x and 91.0%,
respectively. S&P expects a minimal loss upon this loan's
eventual resolution.
The five remaining assets with the special servicer each have
individual balances that represent less than 8.5% of the total pool
trust balance. S&P estimated losses for the seven specially
serviced assets, arriving at a weighted average loss severity of
61.1%.
With respect to the specially serviced assets noted above, a
minimal loss is less than 25%, a moderate loss is 26%-59%, and a
significant loss is 60% or greater.
RATINGS LIST
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR12
Commercial mortgage pass-through certificates series 2006-PWR12
Rating
Class Identifier To From
A-J 07387JAH9 NR BB- (sf)
B 07387JBN5 NR B (sf)
C 07387JAL0 AA+ (sf) B- (sf)
D 07387JAN6 CCC- (sf) CCC (sf)
NR--Not rated.
BEAR STEARNS 2007-PWR16: Moody's Affirms B1 Rating on Cl. A-J Debt
------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on ten classes
and downgraded the ratings on two classes in Bear Stearns
Commercial Mortgage Securities Trust 2007-PWR16 as:
Cl. A-1A, Affirmed Aaa (sf); previously on Aug. 6, 2015,
Affirmed Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Aug. 6, 2015, Affirmed
Aaa (sf)
Cl. A-M, Affirmed A2 (sf); previously on Aug. 6, 2015, Affirmed
A2 (sf)
Cl. A-J, Affirmed B1 (sf); previously on Aug. 6, 2015, Affirmed
B1 (sf)
Cl. B, Affirmed Caa1 (sf); previously on Aug. 6, 2015, Affirmed
Caa1 (sf)
Cl. C, Affirmed Caa2 (sf); previously on Aug. 6, 2015, Affirmed
Caa2 (sf)
Cl. D, Affirmed Caa3 (sf); previously on Aug. 6, 2015, Affirmed
Caa3 (sf)
Cl. E, Affirmed Ca (sf); previously on Aug. 6, 2015, Affirmed
Ca (sf)
Cl. F, Downgraded to C (sf); previously on Aug. 6, 2015,
Affirmed Ca (sf)
Cl. G, Affirmed C (sf); previously on Aug. 6, 2015, Affirmed
C (sf)
Cl. H, Affirmed C (sf); previously on Aug. 6, 2015, Affirmed
C (sf)
Cl. X, Downgraded to Ca (sf); previously on Aug. 6, 2015,
Affirmed Ba3 (sf)
RATINGS RATIONALE
The ratings on four 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 six P&I classes were affirmed because the ratings
are consistent with Moody's expected loss.
The rating on one P&I class was downgraded due to anticipated
losses. Of the 10 loans in special servicing, seven are REO and
two are in the foreclosure process.
The rating on the IO Class X was downgraded because it is not, nor
expected to, receive interest payments or prepayment penalties.
Please note that on June 30, 2016, Moody's released a "Request for
Comment" in which it has requested market feedback on potential
clarifications to its methodology for rating IO securities called
"Moody's Approach to Rating Structured Finance Interest-Only
Securities," dated Oct. 20, 2015. If the revised Credit Rating
Methodology is implemented as proposed, we would withdraw the
Credit Rating on Class X as this bond has expected future excess
interest payments of zero and the obligation has in effect
matured.
Moody's rating action reflects a base expected loss of 8.2% of the
current balance, compared to 7.7% at Moody's last review. Moody's
base expected loss plus realized losses is now 10.5% of the
original pooled balance, compared to 11.2% 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 RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range 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 35, compared to a Herf of 24 at Moody's last
review.
DEAL PERFORMANCE
As of the June 13, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 47% to $1.76 billion
from $3.31 billion at securitization. The certificates are
collateralized by 189 mortgage loans ranging in size from less than
1% to 10% of the pool, with the top ten loans constituting 39% of
the pool. Nine loans, constituting 3% of the pool, have defeased
and are secured by US government securities.
Sixty-four loans, constituting 27% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Thirty-four loans have been liquidated from the pool, resulting in
an aggregate realized loss of $203 million (for an average loss
severity of 51%). Ten loans, constituting 6.2% of the pool, are
currently in special servicing. The largest specially serviced
loan is the North Grand Mall Loan ($30.4 million -- 1.7% of the
pool), which is secured by a 297,000 square foot (SF) portion of a
regional mall in Ames, Iowa. The loan transferred to special
servicing in June 2014 due to imminent default. The loan had an
initial 5-year interest only period and began to amortize in July
2012, and since then the property's cash flow has been unable to
support the debt service. The mall is anchored by J.C. Penney's
and Younkers. The trust took title to the property in June 2015.
The remaining nine specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $60 million loss
for the specially serviced loans (55% expected loss on average).
Moody's has assumed a high default probability for 29 poorly
performing loans, constituting 16% of the pool, and has estimated
an aggregate loss of $51 million (an 18% expected loss based on a
36% probability default) from these troubled loans.
Moody's received full year 2015 operating results for 94% of the
pool and partial year 2016 operating results for 17% of the pool.
Moody's weighted average conduit LTV is 97%, compared to 101% 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 4% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9%.
Moody's actual and stressed conduit DSCRs are 1.46X and 1.17X,
respectively, compared to 1.35X and 1.10X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 23% of the pool balance. The
largest loan is the Beacon Seattle & DC Portfolio ($178.0 million
-- 10.1% of the pool), which represents a participation interest in
a $1.07 billion (originally $2.70 billion) mortgage loan secured by
a portfolio of five mortgaged properties in Washington, Virginia
and Washington, D.C. The loan is pari passu with five other
securitizations and was originally collateralized by 17 mortgaged
properties and three cash flow pledged properties. The mortgage
loan includes a B Note which exists outside the trust and is
subordinate to the pooled balance in this deal and the A-4 note
held in the BACM 2007-2 transaction but is not subordinate to the
remaining pari passu balance. Occupancy for the remaining five
properties was 80% as of March 2016. The loan was previously in
special servicing but was modified in December 2010 and returned to
the master servicer in May 2012. The loan modification included a
five-year extension, a coupon reduction along with an unpaid
interest accrual feature and a waiver of yield maintenance to
facilitate property sales. Moody's LTV and stressed DSCR are 128%
and 0.79X, respectively, compared to 141% and 0.72X at the last
review.
The second largest loan is the Mall at Prince Georges Loan ($150.0
million -- 8.5% of the pool), which is secured by a 921,000 SF
regional mall located in Hyattsville, Maryland. The mall is
anchored by Macy's, J.C. Penney and Target. The loan is
interest-only throughout its entire term and matures in June 2017.
Moody's LTV and stressed DSCR are 105% and 0.90X, respectively,
compared to 126% and 0.75X at the last review.
The third largest loan is the Kalahari Waterpark Resort Loan ($76.7
million -- 4.4% of the pool), which is secured by a full service
hotel with an attached indoor waterpark located in Wisconsin Dells,
Wisconsin. Occupancy has remained stable for this property.
Moody's LTV and stressed DSCR are 44% and 2.79X, respectively,
compared to 44% and 2.75X at the last review.
CABELA'S CREDIT: DBRS Confirms 42 Classes From 10 Securities
------------------------------------------------------------
DBRS, Inc., on July 13, 2016, confirmed 42 classes from ten
publicly rated U.S. structured finance asset-backed securities
within one master trust. The 42 classes were confirmed as credit
enhancement levels are sufficient to cover DBRS’s expected losses
at their current respective rating levels. Additionally, nine
classes from one publicly rated U.S. structured finance transaction
were discontinued due to repayment.
The following public transactions were discontinued:
-- Cabela's Credit Card Master Note Trust Series 2010-II
-- Cabela's Credit Card Master Note Trust Series 2011-II
The following public transactions were confirmed:
-- Cabela's Credit Card Master Note Trust Series 2011-IV
-- Cabela's Credit Card Master Note Trust Series 2012-I
-- Cabela's Credit Card Master Note Trust Series 2012-II
-- Cabela's Credit Card Master Note Trust Series 2013-I
-- Cabela's Credit Card Master Note Trust Series 2013-II
-- Cabela's Credit Card Master Note Trust Series 2014-I
-- Cabela's Credit Card Master Note Trust Series 2014-II
-- Cabela's Credit Card Master Note Trust Series 2015-I
-- Cabela's Credit Card Master Note Trust Series 2015-II
The DBRS ratings are based on DBRS's review of the following
analytical considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- The transaction parties’ capabilities with regard to
origination, underwriting and servicing.
-- Credit quality of the collateral pool and historical
performance.
The confirmation of the outstanding ratings outlined below reflects
the current credit enhancement levels for the outstanding notes
provided by subordination, as well as the cash collateral account.
As of the June 2016 payment date, the cumulative net loss ratio was
1.92% of the original collateral balance.
A full text copy of the ratings is available free at:
https://is.gd/Gi5sWj
CEDAR FUNDING II: S&P Affirms BB Rating on Class E Notes
--------------------------------------------------------
S&P Global Ratings raised its ratings on the class B-1, B-2, and C
notes from Cedar Funding II CLO. At the same time, S&P affirmed it
ratings on the class A-X, A-1, D, and E notes from the same
transaction. Cedar Funding II CLO Ltd. is a U.S. collateralized
loan obligation (CLO) transaction that closed in March 2013 and is
managed by AEGON USA Investment Management LLC.
The rating actions follow S&P's review of the transaction's
performance using data from the May 27, 2016, trustee report.
Although the cash flow results indicated higher ratings for the
class C, D, and E notes, S&P considered that the transaction is
still in its reinvestment period, which is scheduled to end in
March 2017, as well as the fact that it has not yet paid down any
principal to the rated notes (except for scheduled paydowns to the
A-X notes). Future reinvestments could change some of the
portfolio characteristics.
S&P's upgrades on the class B-1, B-2, and C notes reflect the
portfolio's positive performance with a decreasing weighted average
life. Based on the May 2016 trustee report, the portfolio's
weighted average life is 4.50 years, down from 5.53 years per the
July 2013 effective date trustee report. This decline improved the
transaction's credit risk profile. Additionally, the weighted
average rating on the portfolio ticked up to 'B+' from 'B' as of
the effective date.
In addition, the trustee reports that approximately 2.23% of the
portfolio consists of S&P Global Ratings 'CCC' rated assets.
However, none of these assets are in the 50 largest obligors of the
underlying asset portfolio. Defaulted assets represent 0.79% of
the portfolio.
The transaction's overcollateralization (O/C) ratios have slightly
decreased since the effective date, driven in part by a small
amount of defaulted assets in the portfolio. As of the May 2016
trustee report, the O/C ratios were:
-- The class A/B O/C ratio was 133.37%, down from 133.89%
reported in July 2013.
-- The class C O/C ratio was 123.95%, down from 124.43%
reported in July 2013.
-- The class D O/C ratio was 116.92%, down from 117.37%
reported in July 2013. The class E O/C ratio was 108.26%,
down from 108.68% reported in July 2013.
The affirmed ratings reflect S&P's belief that the credit support
available is commensurate with the current rating levels.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the May 2016
trustee report, to estimate future performance. In line with S&P's
criteria, its cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, S&P's analysis considered
the transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis demonstrated, in S&P's view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with this rating action.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and S&P will take rating actions as S&P
deems necessary.
CASH FLOW AND SENSITIVITY ANALYSIS
Cedar Funding II CLO Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A-X AAA (sf) AAA (sf) 29.92% AAA (sf)
A-1 AAA (sf) AAA (sf) 12.78% AAA (sf)
B-1 AA (sf) AA+ (sf) 12.94% AA+ (sf)
B-2 AA (sf) AA+ (sf) 12.94% AA+ (sf)
C A (sf) AA (sf) 2.19% A+ (sf)
D BBB (sf) BBB+ (sf) 9.49% BBB (sf)
E BB (sf) BB+ (sf) 2.18% 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 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-X AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B-1 AA+ (sf) AA+ AA+ (sf) AAA (sf) AA+
B-2 AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf)
C AA (sf) A+ (sf) AA- (sf) AA+ (sf) A+ (sf)
D BBB+ (sf) BBB+ (sf) BBB+ (sf) A+ (sf) BBB (sf)
E BB+ (sf) BB- (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-X AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B-1 AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf)
B-2 AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf)
C AA (sf) AA- (sf) A (sf) A+ (sf)
D BBB+ (sf) BBB+ (sf) BB+ (sf) BBB (sf)
E BB+ (sf) BB- (sf) B (sf) BB (sf)
RATINGS RAISED
Cedar Funding II CLO Ltd.
Rating
Class To From
B-1 AA+ (sf) AA (sf)
B-2 AA+ (sf) AA (sf)
C A+ (sf) A (sf)
RATINGS AFFIRMED
Cedar Funding II CLO Ltd.
Class Rating
A-X AAA (sf)
A-1 AAA (sf)
D BBB (sf)
E BB (sf)
CENTEX HOME 2005-B: Moody's Raises Rating on Cl. M-3 Debt to B2
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of two tranches
from Centex Home Equity Loan Trust 2005-B, backed by Subprime RMBS
loans.
Complete rating actions are:
Issuer: Centex Home Equity Loan Trust 2005-B
Cl. AF-5, Upgraded to Aa2 (sf); previously on July 28, 2015,
Upgraded to Aa3 (sf)
Cl. M-3, Upgraded to B2 (sf); previously on July 28, 2015,
Upgraded to Caa1 (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to an increase in the total
credit enhancement available to the bonds. The rating action
reflects the recent performance of the underlying pools and Moody's
updated loss expectation on these pools. In addition, today's
rating actions reflect corrections to the cash-flow model used by
Moody's in rating this transaction. In the previous actions,
interest accrual rates modeled for the transaction were too low;
this has been corrected, thereby decreasing modeled future excess
spread benefit for these tranches. Although the correction had a
small negative impact, this has been offset by the total available
credit enhancement.
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 ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.7% in May 2016 from 5.5% in May
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.
CFCRE 2015-RUM: DBRS Confirms BB Rating on Class E Debt
-------------------------------------------------------
DBRS Inc. confirmed all classes of Commercial Mortgage Pass-Through
Certificates issued by CFCRE 2015-RUM Mortgage Trust as follows:
-- Class A at AAA (sf)
-- Class X-CP at AAA (sf)
-- Class X-EXT at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (high) (sf)
All trends are Stable.
The rating confirmations reflect the overall performance of the
transaction, which remains in line with DBRS's expectations at
issuance. This single-borrower transaction closed in July 2015 and
is interest-only (IO) for the initial two-year term as well as
during the three subsequent one-year extension options. The $140.0
million floating-rate, securitized mortgage loan is supplemented by
a subordinate $35.0 million IO mezzanine loan.
The subject loan is secured by the Ritz Carlton Grand Cayman, a
300-room luxury hotel resort located along the renowned Seven Mile
Beach on Grand Cayman, the largest of the Cayman Islands. The
collateral includes the leasehold interest in the hotel and
amenities, which include, but are not limited to, six restaurants
and bars, a 20,000-square foot (sf) spa, 59,032 sf of meeting
space, 9,600 sf of retail space, two pools and a children’s
waterpark, as well as a five-court tennis center.
Improvements are situated on land owned by the government of the
Cayman Islands under a ground lease extending through November
2104, which has been prepaid for the entire term. The resort also
includes 69 luxury residential condo units, which do not serve as
collateral for the loan. There are also 24 hotel-condo units that
participate in the hotel’s unit rental program, and the
corresponding rental agreements serve as security for the loan. The
condo-hotel unit owners are allowed to split their units, yielding
a maximum of 65 keys for a total of 365 rooms across the subject
hotel at any given time. Since issuance, a further five condo-hotel
suites, divisible into up to ten units, have been constructed and
added to the pool of rental units, increasing the total room count
at the property to a maximum of 375 units.
The collateral's performance has remained healthy since issuance,
as the YE2015 debt service coverage ratio (DSCR) was reported at
3.63 times (x), well above the DBRS stressed Term DSCR of 2.50x.
While occupancy decreased 7.5%, according to the April 2016
trailing 12-month STR report, to 61.5% from 69.0%, the average
daily rate (ADR) over the same period increased by 10.8% to $685
from $618. The resulting revenue per available room (RevPAR)
decreased marginally by 1.3% to $421 from $427. The property
continues to outperform its competitive set, with occupancy, ADR
and RevPAR penetration of 107.4%, 145.4% and 156.1%, respectively.
The loan benefits from strong institutional sponsorship, as it is
majority owned by Five Mile Capital Partners, which has invested
over $23 million in improving the property since acquiring it in
2012, including a full renovation of all guestrooms at $32,500 per
key in 2013. The loan also benefits from a $3.5 million seasonality
reserve balance, with contributions being made during the high
season from January to July in order to cover debt service and
operating expense shortfalls during the low season.
The Kimpton Seafire & Spa (Kimpton), a 266-key, boutique-style,
upscale resort located a mile and a half north of the Ritz Carlton,
is scheduled for a December 2016 grand opening and represents the
first new development on Seven Mile Beach in ten years. While it
will be the newest hotel in the market, DBRS expects the Kimpton to
be only slightly competitive to the Ritz Carlton given its inferior
amenities and flag, as evidenced by current best available room
rates that are on average 25.0% lower. Management's opinion
mirrored that view, and they do not expect a big impact, because of
the different guest profile expected at the Kimpton property.
CITIGROUP 2016-P4: Fitch to Rate Class F Certificates 'B-sf'
------------------------------------------------------------
Fitch Ratings has issued a presale report for Citigroup Commercial
Mortgage Trust 2016-P4 Commercial Mortgage Pass-Through
Certificates.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $24,619,000 class A-1 'AAAsf'; Outlook Stable;
-- $65,384,000 class A-2 'AAAsf'; Outlook Stable;
-- $170,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $201,346,000 class A-4 'AAAsf'; Outlook Stable;
-- $43,461,000 class A-AB 'AAAsf'; Outlook Stable;
-- $553,488,000a class X-A 'AAAsf'; Outlook Stable;
-- $34,255,000a class X-B 'AA-sf'; Outlook Stable;
-- $48,678,000 class A-S 'AAAsf'; Outlook Stable;
-- $34,255,000 class B 'AA-sf'; Outlook Stable;
-- $33,353,000 class C 'A-sf'; Outlook Stable;
-- $40,565,000b class D 'BBB-sf'; Outlook Stable;
-- $73,918,000ab class X-C 'BBB-sf'; Outlook Stable;
-- $18,931,000b class E 'BB-sf'; Outlook Stable;
-- $8,113,000b class F 'B-sf'; Outlook Stable.
The following classes are not expected to be rated:
-- $7,211,000b class G.
-- $25,241,407b class H.
a - Notional amount and interest-only.
b - Privately placed pursuant to Rule 144A.
The expected ratings are based on information provided by the
issuer as of July 8, 2016.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 45 loans secured by 64
commercial properties having an aggregate principal balance of
$721,157,407 as of the cut-off date. The loans were contributed to
the trust by Citigroup Global Markets Realty Corp., Macquarie US
Trading LLC d/b/a Principal Commercial Capital, Starwood Mortgage
Funding V LLC and Barclays Bank PLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 76.2% of the properties
by balance and asset summary reviews and cash flow analysis of
81.3% of the pool.
KEY RATING DRIVERS
Higher Fitch Leverage: The pool's leverage statistics are higher
than other recent Fitch-rated, fixed-rate multiborrower
transactions. The pool's Fitch DSCR of 1.13x is below the
year-to-date (YTD) 2016 average of 1.17x and full-year 2015 average
of 1.18x, respectively. The pool's Fitch LTV of 111.1% is above the
YTD 2016 and 2015 averages of 107.5% and 109.3%, respectively.
Average Pool Concentration: The top 10 loans make up 50.9% of the
pool, which is below the YTD 2016 average of 55.4%, but above the
2015 average of 49.3% for other Fitch-rated fixed-rate
multiborrower transactions. The pool's loan concentration index
(LCI) of 389 is below the YTD 2016 average of 428, but above the
2015 average of 367.
High Lodging Exposure: Approximately 19.3% of the pool by balance,
including six of the Top 20 loans, consists of hotel properties.
Hotel concentration in the pool is greater than the YTD 2016 and
2015 averages of 15.9% and 17.0%, respectively. Hotels have the
highest probability of default in Fitch's multiborrower CMBS
model.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 16.9% 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 CGCMT
2016-P4 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 page 10.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from
KPMG LLP. The third-party due diligence information was provided on
Form ABS Due Diligence-15E and focused on a comparison and
re-computation of certain characteristics with respect to each of
the mortgage loans. Fitch considered this information in its
analysis and the findings did not have an impact on the analysis.
COMM 2007-C9: S&P Raises Rating on Cl. A-J Certificates to BB+
--------------------------------------------------------------
S&P Global Ratings raised its ratings on eight pooled classes of
commercial mortgage pass-through certificates from COMM 2007-C9, a
U.S. commercial mortgage-backed securities (CMBS) transaction. In
addition, S&P affirmed its ratings on nine other pooled classes and
three nonpooled E57 classes from the same transaction.
S&P's rating actions on the principal- and interest-paying
certificates reflect its analysis of the transaction, primarily
using its criteria for rating U.S. and Canadian CMBS transactions,
which included a review of the credit characteristics and
performance of the remaining loans in the pool, the transaction's
structure, and the liquidity available to the trust.
S&P raised its ratings on classes A-4, A-1A, AM, AM-FL, AJ, AJ-FL,
B, and C to 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. The upgrades also reflect S&P's views
regarding the current and future performance of the transaction's
collateral and reduced trust balance.
The affirmations on the pooled principal- and interest-paying
certificates reflect S&P's expectation that the available credit
enhancement for these classes will be within its estimate of the
necessary credit enhancement required for the current ratings and
our views regarding the current and future performance of the
transaction's collateral. In addition, these affirmations reflect
that over 99.0% of the loans mature in 2017.
S&P's affirmations on the class E57-1, E57-2, and E-57-3 rake
certificates reflect its analysis of the 135 East 57th Street loan
($80.0 million mortgage loan, split into a $65.4 million senior
pooled component and a $14.6 million subordinate nonpooled
component). The rake classes derive 100% of their cash flow from
the subordinate nonpooled component. The loan is secured by the
leasehold interest in a 427,483-sq.-ft. class A office building in
the Plaza District submarket of Manhattan. S&P's analysis
considered the loan's susceptibility to reduced liquidity support
because of the property's low reported occupancy of approximately
61.0% as of March 31, 2016. S&P's analysis also considered that
the property's reported cash flow was insufficient to cover debt
service for the same reporting period.
S&P affirmed its 'AAA (sf)' rating on the class XS interest-only
(IO) certificates based on its criteria for rating IO securities.
TRANSACTION SUMMARY
As of the June 10, 2016, trustee remittance report, the collateral
pool balance was $2.23 billion, which is 77.2% of the pool balance
at issuance. The pool currently includes 78 loans (reflecting
crossed loans), down from 108 loans at issuance. Two of these
loans ($76.1 million, 3.4%) are with the special servicer, nine
loans are defeased ($338.3 million, 15.2%)--six of which were
defeased as of the June 10, 2016, trustee remittance report($138.2
million, 6.2%)--and 27 loans ($566.0 million, 25.4%) are on the
master servicers' combined watchlist. The master servicers,
Berkadia Commercial Mortgage LLC and KeyBank Real Estate Capital,
reported financial information for 96.3% of the nondefeased loans
in the pool, of which 88.0% was partial- or year-end 2015 data, and
the remainder was year-end 2014 or partial-year 2016 data.
S&P calculated a 1.22x S&P Global Ratings' weighted average debt
service coverage (DSC) and a 92.8% S&P Global Ratings' weighted
average loan-to-value (LTV) ratio using a 7.32% S&P Global Ratings'
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude one ($10.7 million, 0.5%)
of the two specially serviced loans, nine defeased loans, one
ground lease loan ($23.5 million, 1.0%), and one subordinate B hope
note ($4.9 million, 0.2%). The top 10 nondefeased loans have an
aggregate outstanding pool trust balance of $1.3 billion (56.5%).
Using servicer-reported numbers, S&P calculated a S&P Global
Ratings' weighted average DSC and LTV of 1.18x and 93.6%,
respectively, for the top 10 nondefeased loans.
To date, the transaction has experienced $64.7 million in principal
losses, or 2.2% of the original pool trust balance. S&P expects
losses to reach approximately 2.4% of the original pool trust
balance in the near term, based on losses incurred to date and
additional losses S&P expects upon the eventual resolution of one
of the two specially serviced loans.
CREDIT CONSIDERATIONS
As of the June 10, 2016, trustee remittance report, two loans in
the pool were with the special servicer, Situs Holdings LLC
(Situs). Details of the specially serviced loans are:
-- The larger of the two specially serviced loans is the
Congressional Village loan ($41.9 million, 1.9%), which is
cross-collateralized and cross-defaulted with the Jefferson
at Congressional loan ($23.5 million, 1.0%). The total
reported exposure was $65.4 million, and both loans have a
current payment status. The Congressional Village loan is
secured by a 100,336-sq.-ft. retail property in Rockville,
Md. The Jefferson at Congressional loan is secured by
317,180-sq.-ft. of land in Rockville, Md.
-- The loan was transferred to the special servicer in
September 2015 because of litigation involving the
borrower's sponsor. Situs indicated that it is monitoring
the litigation and expects the loan to be returned to the
master servicer by the end of September 2016. The
Congressional Village loan's reported occupancy was 96.8% as
of June 2015, and the reported DSC was 1.06x as of December
2015.
-- The smaller specially serviced loan, the Hampton Inn at
Bellington Airport loan ($10.7 million, 0.5%), has $11.1
million in total reported exposure and is secured by a 132-
room hotel in Bellingham, Wash. The loan, which has a 90-
plus-day delinquent payment status, was transferred to the
special servicer on April 8, 2016, because of concerns
related to the property performance. The reported DSC and
occupancy as of year-end 2015 were 1.21x and 72.0%,
respectively. S&P expects a moderate loss upon its eventual
resolution.
S&P estimates a 37.6% loss severity for the Hampton Inn at
Bellington Airport loan. S&P expects the Congressional Village
loan to be corrected and returned to the master servicer.
RATINGS LIST
COMM 2007-C9
Commercial mortgage pass-though certificates series 2007-C9
Ratin
Class Identifier To From
A-4 20047RAE3 AAA (sf) AA (sf)
A-1A 20047RAF0 AAA (sf) AA (sf)
AM 20047RAG8 A (sf) BBB+ (sf)
A-J 20047RAH6 BB+ (sf) BB (sf)
B 20047RAJ2 BB (sf) BB- (sf)
C 20047RAK9 BB- (sf) B+ (sf)
D 20047RAL7 B+ (sf) B+ (sf)
E 20047RAM5 B+ (sf) B+ (sf)
F 20047RAN3 B (sf) B (sf)
XS 20047RAP8 AAA (sf) AAA (sf)
AM-FL 20047RAQ6 A (sf) BBB+ (sf)
AJ-FL 20047RBK8 BB+ (sf) BB (sf)
G 20047RAR4 B (sf) B (sf)
H 20047RAS2 B- (sf) B- (sf)
J 20047RAT0 B- (sf) B- (sf)
K 20047RAU7 B- (sf) B- (sf)
L 20047RAV5 CCC+ (sf) CCC+ (sf)
E57-1 20047RBC6 BB- (sf) BB- (sf)
E57-2 20047RBD4 B+ (sf) B+ (sf)
E57-3 20047RBE2 CCC- (sf) CCC- (sf)
COMM 2013-CCRE10: Moody's Affirms B2(sf) Rating on Class F Certs
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on 15 classes of
COMM 2013-CCRE10 Mortgage Trust, Commercial Mortgage Pass-Through
Certificates as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Jul 30, 2015 Affirmed Aaa
(sf)
Cl. A-2, Affirmed Aaa (sf); previously on Jul 30, 2015 Affirmed Aaa
(sf)
Cl. A-3, Affirmed Aaa (sf); previously on Jul 30, 2015 Affirmed Aaa
(sf)
Cl. A-3FL, Affirmed Aaa (sf); previously on Jul 30, 2015 Affirmed
Aaa (sf)
Cl. A-3FX, Affirmed Aaa (sf); previously on Jul 30, 2015 Affirmed
Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Jul 30, 2015 Affirmed Aaa
(sf)
Cl. A-M, Affirmed Aaa (sf); previously on Jul 30, 2015 Affirmed Aaa
(sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Jul 30, 2015 Affirmed
Aaa (sf)
Cl. B, Affirmed Aa3 (sf); previously on Jul 30, 2015 Affirmed Aa3
(sf)
Cl. C, Affirmed A3 (sf); previously on Jul 30, 2015 Affirmed A3
(sf)
Cl. D, Affirmed Baa3 (sf); previously on Jul 30, 2015 Affirmed Baa3
(sf)
Cl. E, Affirmed Ba2 (sf); previously on Jul 30, 2015 Affirmed Ba2
(sf)
Cl. F, Affirmed B2 (sf); previously on Jul 30, 2015 Affirmed B2
(sf)
Cl. PEZ, Affirmed A1 (sf); previously on Jul 30, 2015 Affirmed A1
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on Jul 30, 2015 Affirmed Aaa
(sf)
RATINGS RATIONALE
The ratings on the 13 P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The rating on the IO class was affirmed based on the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes.
The transaction contains a group of exchangeable certificates.
Classes A-M, B and C may be exchanged for Class PEZ certificates
and Class PEZ may be exchanged for the Classes A-S, B and C. The
rating on the Class PEZ was affirmed based on the WARF of its
reference classes.
Moody's rating action reflects a base expected loss of 3.9% of the
current balance, compared to 3.8% at Moody's last review. Moody's
base expected loss plus realized losses is now 3.8% of the original
pooled balance, compared to 3.7% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
DEAL PERFORMANCE
As of the June 10, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 3.4% to $976 million
from $1.0 billion at securitization. The certificates are
collateralized by 59 mortgage loans ranging in size less than 1% to
10.2% of the pool, with the top ten loans (excluding defeasance)
constituting 49% of the pool. Two loans, constituting 15% of the
pool, have investment-grade structured credit assessments. The pool
contains no loans that have defeased, and no loans have liquidated
from the pool.
Eight loans, constituting 11% 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 is one specially serviced loan in the pool. The Strata Estate
Suites Loan ($17.9 million -- 2% of the pool) is secured by two
multifamily properties in Williston, North Dakota and Watford,
North Dakota, in the heart of the Bakken shale gas exploration
area. Moody's analysis incorporates an elevated loss severity for
this loan.
Moody's received full or partial year 2015 operating results for
97% of the conduit pool. Moody's weighted average conduit LTV is
94.4%, compared to 98.4% at 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 10.4% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.6%.
Moody's actual and stressed conduit DSCRs are 1.62X and 1.16X,
respectively, compared to 1.54X and 1.09X, at last review. Moody's
actual DSCR is based on Moody's NCF and the loan's actual debt
service. Moody's stressed DSCR is based on Moody's NCF and a 9.25%
stress rate the agency applied to the loan balance.
The largest loan with a structured credit assessment is the One
Wilshire Loan ($100 million -- 10.2% of the pool), which represents
a participation interest in a $180 million mortgage loan. The loan
is secured by a 663,000 square foot, 30-story, Class A office tower
and collocation center in downtown Los Angeles, California. The
property was 90% leased as of March 2016 compared to 91% at last
review. The loan is interest-only for the term. The loan sponsor is
a joint venture which includes GI Partners and CalPERS. Moody's
structured credit assessment and stressed DSCR are a1 (sca.pd) and
1.51X, respectively.
The second loan with a structured credit assessment is the Raytheon
& DirecTV Buildings Loan ($48.4 million -- 5% of the pool). The
loan is secured by three office buildings in El Segundo,
California, adjacent to Los Angeles International Airport. The
properties are 100% leased to Raytheon Company and DirecTV. The
DirecTV space serves as that company's corporate headquarters. The
loan sponsor is a joint venture which includes GI Partners,
TechCore, and CalPERS. Moody's structured credit assessment and
stressed DSCR are a3 (sca.pd) and 1.62X, respectively.
The top three performing conduit loans represent 15.5% of the pool
balance. The largest loan is the RHP Portfolio IV Loan ($54.6
million -- 5.6% of the pool), which is secured by five manufactured
housing communities located in Florida, Utah, New York, and Kansas.
The properties were 84% leased as of March 2016, compared to 83% at
securitization. Moody's LTV and stressed DSCR are 115.5% and 0.87X,
respectively, compared to 114.8% and 0.86X.
The second largest loan is the RHP Portfolio V Loan ($53 million --
5.4% of the pool), which is secured by seven manufactured housing
communities located in Florida, Utah, New York, and Kansas. The
properties were 79% leased as of December 2015 compared to 76% in
March 2014 and 79% at securitization. Moody's LTV and stressed DSCR
are 112% and 0.87X, respectively, the same as at last review and at
securitization.
The third largest loan is the Brighton Towne Square Loan ($43.3
million -- 4.4% of the pool). The loan is secured by a 328,000
square mixed use property, consisting of a power center and office
space, located in Brighton, Michigan. The retail anchors include
MJR Theatres and Home Depot. The loan benefits from amortization.
The property was 91% leased as of December 2015 compared to 93%
leased as of December 2014. Moody's LTV and stressed DSCR are 107%
and 1.0X, respectively, compared to 106% and 1.0X at the last
review.
COMM 2013-LC13: S&P Affirms BB- Rating on Class E Certificates
--------------------------------------------------------------
S&P Global Ratings affirmed its ratings on 14 classes of commercial
mortgage pass-through certificates from COMM 2013-LC13 Mortgage
Trust, a U.S. commercial mortgage-backed securities (CMBS)
transaction.
The affirmations on the principal- and interest-paying certificates
follow S&P's analysis of the transaction, primarily using its
criteria for rating U.S. and Canadian CMBS transactions, which
included a review of the credit characteristics and performance of
the remaining loans in the pool, the transaction's structure, and
the liquidity available to the trust. The affirmations also
reflect S&P's expectation that the available credit enhancement for
these principal- and interest-paying classes will be within its
estimate of the necessary credit enhancement required for the
current ratings as well as S&P's view regarding the current and
future performance of the transaction's collateral. S&P's analysis
also considered the slight reported declines in cash flows for some
of the top 10 loans compared to S&P's expectations.
S&P affirmed its 'AAA (sf)' and 'BBB- (sf)' respective ratings on
the class X-A and X-B interest-only (IO) certificates based on
S&P's criteria for rating IO securities, in which the ratings on
the IO securities would not be higher than the lowest rated
reference class. The notional balance on class X-A references
classes A-1, A-2, A-AB, A-3, A-4, A-5, and A-M, and class X-B
references classes B, C, and D.
TRANSACTION SUMMARY
As of the June 10, 2016, trustee remittance report, the collateral
pool balance was $1.04 billion, which is 96.8% of the pool balance
at issuance. The pool currently includes 55 loans (reflecting
crossed loans), the same as at issuance. Two of the loans
($17.2 million, 1.6%) are defeased; 11 ($139.1 million, 13.3%) are
on the master servicer's watchlist; and no loans are with the
special servicer. The master servicer, Midland Loan Services,
reported financial information for 96.2% of the nondefeased loans
in the pool, of which 77.6% was year-end 2015 data, and the
remainder was partial-year 2015 or year-end 2014 data.
Excluding the two defeased loans and one co-op loan ($30.0 million,
2.9%), S&P calculated a 1.60x S&P Global Ratings' weighted average
debt service coverage (DSC) and 80.3% S&P Global Ratings' weighted
average loan-to-value (LTV) ratio using a 7.89% S&P Global Ratings'
weighted average capitalization rate. The top 10 nondefeased loans
have an aggregate outstanding pool trust balance of $513.1 million
(49.2%). Using servicer-reported numbers, S&P calculated an S&P
Global Ratings' weighted average DSC and LTV of 1.76x and 79.7%,
respectively, for the top 10 nondefeased loans.
To date, the transaction has experienced no principal losses.
RATINGS LIST
COMM 2013-LC13 Mortgage Trust
Commercial mortgage pass through certificates series 2013-LC13
Rating
Class Identifier To From
A-1 12626GAA1 AAA (sf) AAA (sf)
A-2 12626GAB9 AAA (sf) AAA (sf)
A-3 12626GAD5 AAA (sf) AAA (sf)
A-4 12626GAE3 AAA (sf) AAA (sf)
A-5 12626GAF0 AAA (sf) AAA (sf)
X-A 12626GAG8 AAA (sf) AAA (sf)
A-AB 12626GBH5 AAA (sf) AAA (sf)
X-B 12626GAH6 BBB- (sf) BBB- (sf)
AM 12626GAM5 AAA (sf) AAA (sf)
B 12626GAP8 AA- (sf) AA- (sf)
C 12626GAR4 A- (sf) A- (sf)
D 12626GAT0 BBB- (sf) BBB- (sf)
E 12626GAV5 BB- (sf) BB- (sf)
F 12626GAX1 B+ (sf) B+ (sf)
CORNERSTONE CLO: Moody's Affirms Ba3 Rating on Class D Notes
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on these notes
issued by Cornerstone CLO Ltd.:
$34,000,000 Class B Senior Secured Deferrable Floating Rate
Notes due 2021, Upgraded to Aaa (sf); previously on Oct. 23,
2015, Upgraded to Aa1 (sf)
$24,000,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2021, Upgraded to A2 (sf); previously on Oct. 23,
2015, Upgraded to Baa1 (sf)
Moody's also affirmed the ratings on these notes:
$462,500,000 Class A-1-S Senior Secured Floating Rate Notes due
2021 (current outstanding balance of $73,412,666), Affirmed
Aaa (sf); previously on Oct. 23, 2015, Affirmed Aaa (sf)
$51,500,000 Class A-1-J Senior Secured Floating Rate Notes due
2021, Affirmed Aaa (sf); previously on Oct. 23, 2015, Affirmed
Aaa (sf)
$34,500,000 Class A-2 Senior Secured Floating Rate Notes due
2021, Affirmed Aaa (sf); previously on Oct. 23, 2015, Affirmed
Aaa (sf)
$21,500,000 Class D Secured Deferrable Floating Rate Notes due
2021, Affirmed Ba3 (sf); previously on Oct. 23, 2015, Affirmed
Ba3 (sf)
Cornerstone CLO Ltd., issued in July 2007, is a collateralized loan
obligation (CLO) backed primarily by a portfolio of senior secured
loans. The transaction's reinvestment period ended in July 2014.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
overcollateralization (OC) ratios since October 2015. The Class
A-1-S notes have been paid down by approximately 55.3% or $90.9
million since then. Based on the trustee's May 25, 2016 report,
the OC ratios for the Class A, Class B, Class C and Class D notes
are reported at 160.10%, 131.96%, 117.39% and 106.83%,
respectively, versus October 2015 levels of 137.29%, 120.88%,
111.47% and 104.20%, respectively.
Nevertheless, the credit quality of the portfolio has deteriorated
since then. Based on the trustee's May 25, 2016 report, the
weighted average rating factor is reported at 2660 compared to 2391
in October 2015.
Despite the increase in the Class D OC ratio, Moody's affirmed the
rating on the Class D notes owing to deterioration in credit
quality and declining granularity in the underlying assets of the
portfolio.
Methodology Used for the Rating Action
The principal methodology Moody's used in this rating was "Moody's
Global Approach to Rating Collateralized Loan Obligations"
published in December 2015.
Factors that Would Lead to an Upgrade or Downgrade of the Rating
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy
and b) the large concentration of upcoming speculative-grade
debt maturities, which could make refinancing difficult for
issuers.
2) Collateral Manager: Performance can also be affected
positively or negatively by a) the manager's investment
strategy and behavior and b) differences in the legal
interpretation of CLO documentation by different
transactional parties owing to embedded ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current
expectations, can lead to positive CLO performance.
Conversely, a negative shift in credit quality or performance
of the collateral can have adverse consequences for CLO
performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled
principal proceeds will continue and at what pace.
Deleveraging of the CLO could accelerate owing to high
prepayment levels in the loan market and/or collateral sales
by the manager, which could have a significant impact on the
notes' ratings. Note repayments that are faster than Moody's
current expectations will usually have a positive impact on
CLO notes, beginning with those with the highest payment
priority.
5) Recovery of defaulted assets: Fluctuations in the market
value of defaulted assets reported by the trustee and those
that Moody's assumes as having defaulted could result in
volatility in the deal's OC levels. Further, the timing of
recoveries and whether a manager decides to work out or sell
defaulted assets create additional uncertainty. Moody's
analyzed defaulted recoveries assuming the lower of the
market price and the recovery rate in order to account for
potential volatility in market prices. Realization of higher
than assumed recoveries would positively impact the CLO.
6) Lack of portfolio granularity: The performance of the
portfolio depends to a large extent on the credit conditions
of a few large obligors Moody's rates, especially if they
jump to default.
7) Higher-than-average exposure to assets with weak liquidity:
The presence of assets with the worst Moody's speculative
grade liquidity (SGL) rating, or SGL-4, exposes the notes to
additional risks if these assets default. The historical
default rate is far higher for companies with SGL-4 ratings
than those with other SGL ratings. Due to the deal's high
exposure to SGL-4 rated assets, which constitute around $5.8
million of par, Moody's ran a sensitivity case defaulting
those assets.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Moody's Adjusted WARF -- 20% (2346)
Class A-1-S: 0
Class A-1-S: 0
Class A-2: 0
Class B: 0
Class C: +2
Class D: +1
Moody's Adjusted WARF + 20% (3519)
Class A-1-S: 0
Class A-1-S: 0
Class A-2: 0
Class B: -1
Class C: -1
Class D: -1
Loss and Cash Flow Analysis
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base
case, Moody's analyzed the collateral pool as having a performing
par and principal proceeds balance of $253.5 million, defaulted par
of $4.5 million, a weighted average default probability of 15.27%
(implying a WARF of 2976), a weighted average recovery rate upon
default of 51.42%, a diversity score of 26 and a weighted average
spread of 3.31% (before accounting for LIBOR floors).
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of the
assets in the collateral pool. In each case, historical and market
performance and the collateral manager's latitude for trading the
collateral are also factors.
A proportion of the collateral pool includes debt obligations whose
credit quality Moody's assesses through credit estimates. Moody's
analysis reflects adjustments with respect to the default
probabilities associated with credit estimates. Specifically,
Moody's assumed an equivalent of Caa3 for assets with credit
estimates that have not been updated within the last 15 months,
which represent approximately 1.4% of the collateral pool.
Additionally, for each credit estimates whose related exposure
constitutes more than 3% of the collateral pool, Moody's applied a
two-notch equivalent assumed downgrade, which totals approximately
3.4% of the pool.
CSFB 2006-C2: Moody's Lowers Class A-X Debt Rating to 'C'
---------------------------------------------------------
Moody's Investors Service has affirmed the rating on four classes
and downgraded the ratings on one class in CSFB Commercial Mortgage
Trust, Commercial Mortgage Pass-through Certificates, Series
2006-C2 as:
Cl. A-J, Affirmed Caa3 (sf); previously on May 8, 2015, Affirmed
Caa3 (sf)
Cl. B, Affirmed C (sf); previously on May 8, 2015, Affirmed
C (sf)
Cl. C, Affirmed C (sf); previously on May 8, 2015, Affirmed
C (sf)
Cl. D, Affirmed C (sf); previously on May 8, 2015 Affirmed
C (sf)
Cl. A-X, Downgraded to C (sf); previously on May 8, 2015,
Downgraded to B2 (sf)
RATINGS RATIONALE
The ratings on the four below investment-grade P&I classes were
affirmed because the ratings are consistent with Moody's expected
loss.
The rating on the IO Class, Class A-X was downgraded as the class
is not receiving interest and has expected future interest payments
of zero.
Moody's rating action reflects a base expected loss of 80.9% of the
current balance, compared to 11.6% at Moody's last review. Moody's
base expected loss plus realized losses is now 14.1% of the
original pooled balance, compared to 15.5% 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 RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in October 2015.
Please note that on June 30, 2016, Moody's released a "Request for
Comment" in which it has requested market feedback on potential
clarifications to its methodology for rating IO securities called
"Moody's Approach to Rating Structured Finance Interest-Only
Securities," dated Oct. 20, 2015. If the revised Credit Rating
Methodology is implemented as proposed, Moody's would withdraw the
Credit Rating on Class A-X as this bond has expected future excess
interest payments of zero and the obligation has in effect
matured.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 100% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced loan that it
expects will generate a loss and estimates a loss given default
based on a review of broker's opinions of value (if available),
other information from the special servicer, available market data
and Moody's internal data. The loss given default for each loan
also takes into consideration repayment of servicer advances to
date, estimated future advances and closing costs. Translating the
probability of default and loss given default into an expected loss
estimate, Moody's then applies the aggregate loss from specially
serviced loans to the most junior classes and the recovery as a pay
down of principal to the most senior classes.
DESCRIPTION OF MODELS USED
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 2, compared to 50 at Moody's last review.
Moody's analysis used the excel-based Large Loan Model. The large
loan model derives credit enhancement levels based on an
aggregation of adjusted loan-level proceeds derived from Moody's
loan-level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure and property type. Moody's also
further adjusts these aggregated proceeds for any pooling benefits
associated with loan level diversity and other concentrations and
correlations.
DEAL PERFORMANCE
As of the June 15, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 93% to $96.5 million
from $1.44 billion at securitization. The certificates are
collateralized by eight mortgage loans ranging in size from less
than 1% to 81% of the pool. There are no defeased loans at this
time.
There are no loans on the master servicer's watchlist. The
watchlist includes loans that meet certain portfolio r eview
guidelines established as part of the CRE Finance Council (CREFC)
monthly reporting package. As part of Moody's ongoing monitoring
of a transaction, the agency reviews the watchlist to assess which
loans have material issues that could affect performance.
Twenty-eight loans have been liquidated from the pool, resulting in
an aggregate realized loss of $133.8 million (for an average loss
severity of 49%). All of the loans within the pool, constituting
100% of the pool, are currently in special servicing. The largest
specially serviced loan is the Fortunoff Portfolio Loan ($69.5
million -- 72.1% of the pool), which is secured by a vacant
department store located in Westbury, New York. At securitization
the loan was secured by two properties occupied by Fortunoff, a
luxury home goods and jewelry retailer. One store was located in
Woodbridge, New Jersey and the other in Westbury, New York. The
loan was transferred to special servicing in January 2009 after the
tenant declared bankruptcy and subsequently vacated the properties.
The New Jersey property sold in August 2011 and the sale proceeds
were applied to pay down substantial servicer advances. The master
servicer deemed the loan non-recoverable in March 2012.
The second largest loan in special servicing is the Rosewood Center
Loan ($3.6 million -- 3.7% of the pool), which is secured by a
32,000 square foot (SF) retail property located in Tampa, Florida.
The loan was transferred to special servicing on January 20th, 2016
due to imminent maturity default. The loan matured in March 2016
and borrower was unable to pay the loan at maturity. The borrower
indicated they will not contest a foreclosure. As of May 2016 the
property was 87% leased, however 23% of the leased space is under
temporary tenancy. A receiver was appointed on March 24, 2016 and
a sale date is set for July 11, 2016.
The third largest loan in special servicing is the Fairfield Inn &
Suites Atlanta Airport Loan ($2.9 Million -- 3.0% of the pool). The
loan is secured by a lodging property, consisting of 85 rooms,
built in 2001 and last renovated in 2004. The property is located
in East Point, Georgia. The loan transferred to special servicing
on March 15, 2016, due to maturity default. The special servicer
is pursuing foreclosure.
The remaining five specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $69.4 million loss
for the specially serviced loans (81% expected loss on average).
CSFB MORTGAGE 2004-C3: Moody's Affirms Caa3 Rating on Cl. A-X Debt
------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on six classes
in CSFB Mortgage Securities Corp. Commercial Mortage Pass-Through
Certificates, Series 2004-C3 as follows:
Cl. C, Affirmed Ba3 (sf); previously on Jul 23, 2015 Affirmed Ba3
(sf)
Cl. D, Affirmed Caa2 (sf); previously on Jul 23, 2015 Affirmed Caa2
(sf)
Cl. E, Affirmed C (sf); previously on Jul 23, 2015 Affirmed C (sf)
Cl. F, Affirmed C (sf); previously on Jul 23, 2015 Affirmed C (sf)
Cl. G, Affirmed C (sf); previously on Jul 23, 2015 Affirmed C (sf)
Cl. A-X, Affirmed Caa3 (sf); previously on Jul 23, 2015 Affirmed
Caa3 (sf)
RATINGS RATIONALE
The rating on Class C was affirmed because the transaction's key
metrics, including Moody's loan-to-value (LTV) ratio, Moody's
stressed debt service coverage ratio (DSCR) and the transaction's
Herfindahl Index (Herf), are within acceptable ranges.
The ratings on the P&I classes D through G were affirmed because
the ratings are consistent with Moody's expected loss.
The rating on the IO Class, Class A-X, was affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of the referenced classes.
Moody's rating action reflects a base expected loss of 62.8% of the
current certificate balance. Moody's base expected loss plus
realized losses is now 8.7% of the original pooled balance,
compared to 8.8% at Moody's last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range 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, an increase in realized and
expected losses from specially serviced and troubled loans or
interest shortfalls, an increase in certificate
under-collateralization or suspension of interest or principal
distribution.
DEAL PERFORMANCE
As of the June 17, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 95% to $82.3 million
from $1.64 billion at securitization. The certificates are
collateralized by 13 mortgage loans with an aggregate principal
balance of $61.2 million. The transaction is now
under-collateralized as the aggregate certificate balance has
become $21 million greater than the pooled loan balance. This
disparity of principal balances is due to the servicer recovering
Workout-Delayed Reimbursement Amounts (WODRAs) from the
transaction's principal collections and the subordinate
certificates are not written down. Moody's is currently treating
this certificate under-collateralization as a delayed loss of
principal to the trust. One loan, constituting less than 1% of the
pool, has defeased and is secured by US government securities.
There are no loans on the master servicer's watchlist. The
watchlist includes loans that meet certain portfolio review
guidelines established as part of the CRE Finance Council (CREFC)
monthly reporting package. As part of Moody's ongoing monitoring of
a transaction, the agency reviews the watchlist to assess which
loans have material issues that could affect performance.
Twenty-five loans have been liquidated from the pool, resulting in
an aggregate realized loss of $91 million (for an average loss
severity of 39%). Eleven loans, constituting 95% of the pooled loan
balance, are currently in special servicing. The largest specially
serviced loan is The Tower at Northwoods Loan ($17.2 million),
which is secured by a 184,616 square foot (SF) office property
located in Danvers, MA, 15 miles north of Boston. The loan was
transferred to the special servicer in February 2009 and the lender
took title via foreclosure in May 2013. The loan has been deemed
non-recoverable.
The remaining 10 specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $31 million loss for
the specially serviced loans (53% expected loss on average).
Moody's has assumed an additional $21 million loss due to the
under-collateralization of the certificates.
The one performing non-defeased loan is The Groves at Wimauma
Apartments Loan ($2.7 million), which is secured by a 108-unit
multifamily apartment property located in Wimauma, Florida. The
property was 100% leased as of December 2014. Moody's LTV and
stressed DSCR are 74% and 1.29X, respectively, compared to 75% and
1.26X at the last review. Moody's stressed DSCR is based on Moody's
NCF and a 9.25% stress rate the agency applied to the loan balance.
FLAGSHIP CLO V: Moody's Affirms Ba2 Rating on Class E Notes
-----------------------------------------------------------
Moody's Investors Service has upgraded the rating on the following
notes issued by Flagship CLO V:
US$17,500,000 Class D Deferrable Floating Rate Notes, Due 2019,
Upgraded to Aaa (sf); previously on September 8, 2015 Upgraded to
Aa2 (sf)
Moody's also affirmed the ratings on the following notes:
US$33,750,000 Class B Floating Rate Notes, Due 2019 (current
outstanding balance of $27,480,105), Affirmed Aaa (sf); previously
on September 8, 2015 Affirmed Aaa (sf)
US$22,500,000 Class C Deferrable Floating Rate Notes, Due 2019,
Affirmed Aaa (sf); previously on September 8, 2015 Affirmed Aaa
(sf)
US$22,500,000 Class E Deferrable Floating Rate Notes, Due 2019,
Affirmed Ba2 (sf); previously on September 8, 2015 Affirmed Ba2
(sf)
Flagship CLO V, issued in September 2006, is a collateralized loan
obligation (CLO) backed primarily by a portfolio of senior secured
loans. The transaction's reinvestment period ended in September
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 in full and the Class B notes have been paid
down by approximately 18.6% or $6.3 million since that time. Based
on Moody's calculation, the OC ratios for the Class B, Class C and
Class D notes are currently 341.0%, 187.5% and 138.9%,
respectively, versus September 2015 levels of 169.4%, 139.0% and
122.1%, respectively.
FREDDIE MAC 2016-DNA3: Fitch Rates Class M-3 Notes 'Bsf'
--------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to Freddie Mac's risk-transfer transaction, Structured
Agency Credit Risk Debt Notes Series 2016-DNA3 (STACR 2016-DNA3):
-- $190,000,000 class M-1 notes 'BBBsf'; Outlook Stable;
-- $180,500,000 class M-2 notes 'BBB-sf'; Outlook Stable;
-- $180,500,000 class M-2F exchangeable notes 'BBB-sf'; Outlook
Stable;
-- $180,500,000 class M-2I notional exchangeable notes 'BBB-sf';
Outlook Stable;
-- $389,500,000 class M-3 exchangeable notes 'Bsf'; Outlook
Stable;
-- $190,000,000 class M-3A notes 'BBsf'; Outlook Stable;
-- $190,000,000 class M-3AF exchangeable notes 'BBsf'; Outlook
Stable;
-- $190,000,000 class M-3AI notional exchangeable notes 'BBsf';
Outlook Stable;
-- $199,500,000 class M-3B notes 'Bsf'; Outlook Stable.
The following classes will not be rated by Fitch:
-- $25,144,514,075 class A-H reference tranche;
-- $74,679,095 class M-1H reference tranche;
-- $70,945,141 class M-2H reference tranche;
-- $74,679,095 class M-3AH reference tranche;
-- $78,413,050 class M-3BH reference tranche;
-- $35,000,000 class B notes;
-- $229,679,097 class B-H reference tranche.
The 'BBBsf' rating for the M-1 notes reflects the 4.00%
subordination provided by the 0.95% class M-2 notes, the 1.00%
class M-3A notes, the 1.05% class M-3B notes and the 1.00% class B
notes. The 'BBB-sf' rating for the M-2 notes reflects the 3.05%
subordination provided by the 1.00% class M-3A notes, the 1.05%
class M-3B notes and the 1.00% class B notes. The notes are general
unsecured obligations of Freddie Mac (rated 'AAA'/Outlook Stable)
subject to the credit and principal payment risk of a pool of
certain residential mortgage loans held in various Freddie
Mac-guaranteed MBS.
STACR 2016-DNA3 represents Freddie Mac's tenth risk transfer
transaction applying actual loan loss severity issued as part of
the Federal Housing Finance Agency's Conservatorship Strategic Plan
for 2013-2017 for each of the government-sponsored enterprises
(GSEs) to demonstrate the viability of multiple types of
risk-transfer transactions involving single-family mortgages.
The objective of the transaction is to transfer credit risk from
Freddie Mac to private investors with respect to a $26.5 billion
pool of mortgage loans currently held in previously issued MBS
guaranteed by Freddie Mac where principal repayment of the notes is
subject to the performance of a reference pool of mortgage loans.
As loans liquidate or other credit events occur, the outstanding
principal balance of the debt notes will be reduced by the actual
loan's loss severity (LS) percentage related to those credit
events, which includes borrower's delinquent interest.
While the transaction structure simulates the behavior and credit
risk of traditional RMBS senior-subordinate securities, Freddie Mac
will be responsible for making monthly payments of interest and
principal to investors. Because of the counterparty dependence on
Freddie Mac, Fitch's expected rating on the M-1, M-2, M-2F, M-2I,
M-3, M-3A, M-3AF, M-3AI and M-3B notes will be based on the lower
of: the quality of the mortgage loan reference pool and credit
enhancement (CE) available through subordination, and Freddie Mac's
Issuer Default Rating. The M-1, M-2, M-3A, M-3B and B notes will be
issued as uncapped LIBOR-based floaters and will carry a 12.5-year
legal final maturity.
KEY RATING DRIVERS
High-Quality Mortgage Pool (Positive): The reference mortgage loan
pool consists of 114,903 high-quality mortgage loans totaling
$26.47 billion that were acquired by Freddie Mac between Oct. 1,
2015 and Dec. 31, 2015. The pool consists of loans with original
loan-to-value ratios (LTVs) of over 60% and less than or equal to
80% with a weighted average (WA) original combined LTV of 76%. The
WA debt-to-income (DTI) ratio of 35% and credit score of 748
reflect the strong credit profile of post-crisis mortgage
originations.
Actual Loss Severities (Neutral): This will be Freddie Mac's tenth
actual loss risk transfer transaction in which losses borne by the
noteholders will not be based on a fixed LS schedule. The notes in
this transaction will experience losses realized at the time of
liquidation or loan modification, which will include both lost
principal and delinquent interest.
12.5-Year Hard Maturity (Positive): The M-1, M-2, M-3A and M-3B
notes benefit from a 12.5-year legal final maturity. Thus, any
credit events on the reference pool that occur beyond year 12.5 are
borne by Freddie Mac and do not affect the transaction. In
addition, credit events that occur prior to maturity with losses
realized from liquidations or loan modifications that occur after
the final maturity date will not be passed through to noteholders.
This feature more closely aligns the risk of loss to that of the
10-year, fixed LS STACRs where losses were passed through when a
credit event occurred; that is, loans became 180 days delinquent
with no consideration for liquidation timelines. The credit ranged
from 8% at the 'Asf' rating category to 14% at the 'Bsf' rating
category.
Solid Lender Review and Acquisition Processes (Positive): Fitch
found that Freddie Mac has a well-established and disciplined
process in place for the purchase of loans and views its
lender-approval and oversight processes for minimizing counterparty
risk and ensuring sound loan quality acquisitions as positive. Loan
quality control (QC) review processes are thorough and indicate a
tight control environment that limits origination risk. Fitch has
determined Freddie Mac to be an above-average aggregator for its
2013 and later product. The lower risk was accounted for by Fitch
by applying a lower default estimate for the reference pool.
Advantageous Payment Priority (Positive): The payment priority of
the M-1 class will result in a shorter life and more stable CE than
mezzanine classes in private-label (PL) RMBS, providing a relative
credit advantage. Unlike PL mezzanine RMBS, which often do not
receive a full pro rata share of the pool's unscheduled principal
payment until year 10, the M-1 class can receive a full pro rata
share of unscheduled principal, as long as a minimum CE level is
maintained, the cumulative net loss is within a certain threshold
and the delinquency test is within a certain threshold.
Additionally, unlike PL mezzanine classes, which lose subordination
over time due to scheduled principal payments to more junior
classes, the M-2, M-3A, M-3B and B classes will not receive any
scheduled or unscheduled principal allocations until the M-1 class
is paid in full. The B class will not receive any scheduled or
unscheduled principal allocations until the M-3B class is paid in
full.
Solid Alignment of Interests (Positive): While the transaction is
designed to transfer credit risk to private investors, Fitch
believes the transaction benefits from a solid alignment of
interests. Freddie Mac will retain credit risk in the transaction
by holding the senior reference tranche A-H, which has 5% of loss
protection, as well as a minimum of 50% of the first-loss B
tranche, sized at 100 bps. Initially, Freddie Mac will retain an
approximately 28% vertical slice/interest in the M-1, M-2, M-3A and
M-3B tranches.
Receivership Risk Considered (Neutral): Under the Federal Housing
Finance Regulatory Reform Act, the Federal Housing Finance Agency
(FHFA) must place Freddie Mac into receivership if it determines
that the GSE's assets are less than its obligations for longer than
60 days following the deadline of its SEC filing. As receiver, FHFA
could repudiate any contract entered into by Freddie Mac if it is
determined that such action would promote an orderly administration
of Freddie Mac's affairs. Fitch believes that the U.S. government
will continue to support Freddie Mac, as reflected in its current
rating of the GSE. However, if, at some point, Fitch views the
support as being reduced and receivership likely, the rating of
Freddie Mac could be downgraded and ratings on the M-1, M-2, M-3A
and M-3B notes, along with their corresponding MAC notes, could be
affected.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the MSA and national levels. The implied
rating sensitivities are only an indication of some of the
potential outcomes and do not consider other risk factors that the
transaction may become exposed to or be considered in the
surveillance of the transaction.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20%, and 30%, in addition to the
model projected 24.2% at the 'BBBsf' level, 22.6% at the 'BBB-sf'
level and 14.7% at the 'Bsf' level. The analysis indicates that
there is some potential rating migration with higher MVDs, compared
with the model projection.
Fitch also conducted defined rating sensitivities which determine
the stresses to MVDs that would reduce a rating by one full
category, to non-investment grade, and to 'CCCsf'. For example,
additional MVDs of 12%, and 36% would potentially move the 'BBBsf'
rated class down one rating category, to non-investment grade, or
to 'CCCsf', respectively.
DUE DILIGENCE USAGE
Fitch said, "We were provided with due diligence information from
Clayton Holdings, LLC (Clayton). The due diligence focused on
credit and compliance reviews, desktop valuation reviews and data
integrity. Clayton examined selected loan files with respect to the
presence or absence of relevant documents. Fitch received
certifications indicating that the loan-level due diligence was
conducted in accordance with Fitch's published standards. The
certifications also stated that the company performed its work in
accordance with the independence standards, per Fitch's criteria,
and that the due diligence analysts performing the review met
Fitch's criteria of minimum years of experience. Fitch considered
this information in its analysis and the findings did not have an
impact on our analysis."
FREDDIE MAC 2016-SC01: Moody's Gives (P)Ba2 Rating to Cl. M-2 Debt
------------------------------------------------------------------
Moody's Investors Service, has assigned provisional ratings to two
classes of residential mortgage-backed securities (RMBS) issued by
Freddie Mac Whole Loan Securities Trust, Series 2016-SC01 (FWLS
2016-SC01). The ratings range from (P)Baa1 (sf) to (P)Ba2 (sf). The
certificates are backed by two pools of fixed-rate super conforming
prime residential mortgage loans. The collateral pools consist of
loans acquired by Freddie Mac from four sellers (Caliber Home Loans
Inc. (43.3%), Quicken Loans Inc (38.2%), Fremont Bank (12.6%) and
PHH Mortgage Corp (5.9%) between August 2015 and May 2016 pursuant
to the terms of the Freddie Mac Single-Family Seller/Servicer
Guide. Freddie Mac will serve in a number of capacities with
respect to the Trust. Freddie Mac will be the Guarantor of the
Senior Certificates, Seller, Master Servicer, Master Document
Custodian and Trustee.
The complete rating actions are as follows:
Issuer: Freddie Mac Whole Loan Securities Trust, Series 2016-SC01
Cl. M-1, Assigned (P)Baa1 (sf)
Cl. M-2, Assigned (P)Ba2 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected loss on pool 1 average 0.45% in a base case
scenario and reach 5.95% at a stress level consistent with its
(P)Aaa (sf) ratings. Moody's expected loss on pool 2 average 0.75%
in a base case scenario and reaches 9.85% at a stress level
consistent with our (P)Aaa (sf) ratings. Our aggregate expected
loss on the collateral average 0.60%, and reaches 7.70% at a stress
level consistent with Aaa rating on the senior classes. "We arrived
at these expected losses using our MILAN model. Our Aaa stress loss
for pool 1 is consistent with prime jumbo transactions we have
recently rated. The lower FICO scores and slightly higher investor
properties on pool 2 contributed to the higher loss expectations on
the pool. In our analysis, we considered the observed loss severity
trends on Freddie Mac loans. We did not make any adjustments
related to servicers, originators' assessment, or the
representation and warranties framework," said Moody's.
Collateral Description
The FWLS 2016-SC01 transaction is backed by a total of 661
fixed-rate super conforming prime residential mortgage loans with a
balance of $348,375,857. Pool 1 is backed by 309 loans with a
balance of $161,325,571 and pool 2 is backed by 352 loans with a
balance of $187,050,286. The collateral pools consist of loans
acquired by Freddie Mac from multiple sellers between August 2015
and May 2016 pursuant to the terms of the Freddie Mac Single-Family
Seller/Servicer Guide. The weighted average CLTV is 70.0% for the
aggregate pool, and 69.6% and 70.5% for pool 1 and pool 2 loans
respectively. The weighted average FICO is 759 and 738 for pool 1
and pool 2 loans respectively.
Third-Party Review(TPR)
Moody's said, "Clayton conducted a review of credit, property
valuations, regulatory compliance (regulatory compliance was
conducted only for loans in the sample which were in states with
assignee liability laws and or regulations) and data accuracy
checks for 198 mortgage loans (from an initial pool of 780 loans).
We reviewed the TPR reports and there were no exceptions for
credit, property valuations, and regulatory compliance. The data
accuracy exceptions were minor and did not pose a material risk.
Representations & Warranties (R&Ws)
"Freddie Mac will make certain representations and warranties with
respect to the mortgage loans and will be the only party from which
the trust may seek repurchase of a mortgage loan as a result of any
material breach that provides for repurchase as a remedy. Freddie
Mac's Aaa senior ratings are underpinned by strong government
support. We believe that the US Government will stand behind
obligations of the government-sponsored enterprises (GSEs).The
loan-level R&Ws are strong and, in general, meet the baseline set
of credit-neutral R&Ws we have identified for US RMBS."
Structural considerations
The securitization has a two-pool 'Y' structure that distributes
principal on a pro rata basis between the seniors and subordinate
classes subject to performance triggers, and sequentially amongst
the subordinate certificates. The transaction has two distinct
features: recoupment of unpaid interest on stop advance loans and
shifting certain principal payments, subject to limits, to cover
interest shortfalls to the rated subordinate bonds due to interest
rate modifications and extra-ordinary expenses.
In this transaction, Freddie Mac will stop advancing principal and
interest on any real-estate owned (REO) property or loans that are
180 days or more delinquent. This will decrease the amount of
interest remitted to the trust and could result in interest
shortfalls to the bonds. However, interest accrued but not paid on
the stop advance loans will be recovered from the liquidation
proceeds (for liquidated loans), borrower payments, modification or
repurchases and added to the interest remittance amount. This will
result in subsequent recoveries of any interest shortfalls on
subordinates bonds in the order of their payment priority.
Also, in this transaction, the certificates are exposed to interest
shortfalls due to interest rate modifications and extra-ordinary
expenses. If the interest accrued on the class B certificate is
insufficient to absorb the reduction in interest amount caused by
modification and extra-ordinary expenses, and to the extent that
the class B certificate is outstanding, the transaction allows for
certain principal payments (up to subordinate percentage of
scheduled principal) to be re-directed to cover interest shortfall
to the rated bonds, with a corresponding write-down of Class B
principal balance. As a result, before Classes M-1 or M-2 suffer
any unrecoverable interest shortfall, the Class B certificate
balance has to be reduced to zero. The Class B certificate
represents 1% of the collateral.
Factors that would lead to an upgrade or downgrade of the ratings:
Downgrade
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Upgrade
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
GMACM HOME 2002-HE3: Moody's Raises Rating on Cl. VPRN Debt to Ba2
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of nine tranches
from four deals backed by second-lien RMBS loans.
Complete rating actions are:
Issuer: GMACM Home Equity Loan Trust 2002-HE3
Cl. VPRN, Upgraded to Ba2 (sf); previously on May 21, 2010,
Confirmed at B2 (sf)
Issuer: Irwin Home Equity Loan Trust 2003-1
Cl. B-1, Upgraded to Baa1 (sf); previously on Sept. 1, 2015,
Upgraded to Baa3 (sf)
Cl. B-2, Upgraded to Baa2 (sf); previously on Sept. 1, 2015,
Upgraded to Ba1 (sf)
Cl. M-2, Upgraded to A2 (sf); previously on Sept 1, 2015,
Upgraded to Baa1 (sf)
Issuer: Irwin Home Equity Loan Trust 2004-1
Cl. IIB-1, Upgraded to Ba2 (sf); previously on Sept. 1, 2015,
Upgraded to B2 (sf)
Cl. IIM-1, Upgraded to Baa1 (sf); previously on Sept. 1, 2015,
Upgraded to Baa2 (sf)
Cl. IIM-2, Upgraded to Baa3 (sf); previously on Sept. 1, 2015,
Upgraded to Ba1 (sf)
Issuer: Irwin Whole Loan Home Equity Trust 2003-B
Cl. B, Upgraded to Baa1 (sf); previously on Sept. 1, 2015,
Upgraded to Baa2 (sf)
Cl. M, Upgraded to A2 (sf); previously on Sept. 1, 2015,
Upgraded to A3 (sf)
RATINGS RATIONALE
The ratings upgrades are primarily due to the total credit
enhancement available to the bonds. 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 ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.7% in May 2016 from 5.5% in May
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.
GOLUB CAPITAL 15: S&P Affirms BB Rating on Class D Notes
--------------------------------------------------------
S&P Global Ratings raised its ratings on the class A-2 and B notes
from Golub Capital Partners CLO 15 Ltd. At the same time, S&P
affirmed its ratings on the class A-1, C, and D notes from the same
transaction. Golub Capital Partners CLO 15 Ltd. is a U.S.
collateralized loan obligation (CLO) transaction that closed in
February 2013 and is managed by GC Investment Management LLC.
The rating actions follow S&P's review of the transaction's
performance using data from the May 9, 2016, trustee report. The
transaction is scheduled to reinvest until January 2017, and S&P
anticipates that the manager will continue to reinvest principal
proceeds in line with the transaction documents.
The upgrades reflect the underlying collateral's seasoning and the
slight gains in the overcollateralization (O/C) ratios. The
portfolio's weighted average life has decreased to 4.31 years as of
the May 2016 trustee report from 4.86 years as of the May 2013
effective date. Because time horizon factors heavily into default
probability, a shorter weighted average life positively affects the
creditworthiness of the collateral pool. In addition, the
transaction has benefitted from the increase in the number of
obligors in the portfolio, minimal exposure to assets in the
commodity sector, and no assets that mature after the transaction's
stated maturity.
Finally, the credit support available to the tranches has improved
since the transaction's May 2013 effective date. For example,
according to the May 2016 trustee report, the class A and B O/C
ratios are at 143.48% and 128.67%, respectively, up from 142.71%
and 127.98% as of the effective date.
During this same period, defaults and assets rated 'CCC+' and below
have slightly increased. As per the May 9, 2016, monthly trustee
report, the transaction has $4.1 million in defaults, up from zero
as of the effective date), and the 'CCC' rated assets have
increased to 4.8% from 4.6% of the aggregate principal balance.
However, the increases in defaults and lower-rated collateral were
offset by the aforementioned portfolio improvements.
Although the cash flow results indicated higher ratings for the
class C and D notes, S&P considered the increase in both defaulted
collateral and assets rated 'CCC+' or lower, the cushion at the
higher ratings, as well as other stress tests to allow for
volatility in the underlying portfolio given that the transaction
is still in its reinvestment period.
The affirmed ratings reflect S&P's view that the credit support
available is commensurate with the current rating levels.
"Our review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the June
2016 trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis demonstrated, in our view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with these rating actions," S&P said.
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 AND SENSITIVITY ANALYSIS
Golub Capital Partners CLO 15 Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A-1 AAA (sf) AAA (sf) 7.97% AAA (sf)
A-2 AA (sf) AA+ (sf) 9.06% AA+ (sf)
B A (sf) A+ (sf) 6.36% A+ (sf)
C BBB (sf) A- (sf) 1.03% BBB (sf)
D BB (sf) BB+ (sf) 0.88% 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.
RATINGS RAISED
Golub Capital Partners CLO 15 Ltd.
Rating
Class To From
A-2 AA+ (sf) AA (sf)
B A+ (sf) A (sf)
RATINGS AFFIRMED
Golub Capital Partners CLO 15 Ltd.
Class Rating
A-1 AAA (sf)
C BBB (sf)
D BB (sf)
GREENWICH CAPITAL 2005-GG3: Moody's Hikes Class E Debt Rating to B1
-------------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class,
affirmed the rating on one class and downgraded the ratings on two
classes in Greenwich Capital Commercia ws:
Cl. E, Upgraded to B1 (sf); previously on Jul 9, 2015 Affirmed B3
(sf)
Cl. F, Affirmed Caa2 (sf); previously on Jul 9, 2015 Affirmed Caa2
(sf)
Cl. G, Downgraded to C (sf); previously on Jul 9, 2015 Affirmed
Caa3 (sf)
Cl. XC, Downgraded to Caa3 (sf); previously on Jul 9, 2015
Downgraded to Caa2 (sf)
RATINGS RATIONALE
The rating on Class E was upgraded primarily due to an increase in
credit support since Moody's last review, resulting from paydowns
and amortization. The deal has paid down by 68% since Moody's last
review
The rating on Class F was affirmed because the rating is consistent
with Moody's expected loss.
The rating on Class G was downgraded due to current realized losses
and additional expected losses from specially serviced and troubled
loans. Class G has already experienced a 36% realized loss as
result of previously liquidated loans.
The rating on the IO Class, Class XC, was downgraded due to a
decline in the credit performance of its reference classes
resulting from principal paydowns of higher quality reference
classes.
Moody's rating action reflects a base expected loss of 30.3% of the
current balance compared to 37.1% at Moody's prior review. Moody's
base expected loss plus realized losses is now 5.6% of the original
pooled balance compared to 5.9% at the prior review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
DEAL PERFORMANCE
As of the June 10, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $89.6 million
from $3.6 billion at securitization. The Certificates are
collateralized by five mortgage loans ranging in size from less
than 1% to 65% of the pool.
Moody’s said, “There is currently one loan on the master
servicer's watchlist, constituting 65% of the deal. The watchlist
includes loans which meet certain portfolio review guidelines
established as part of the CRE Finance Council (CREFC) monthly
reporting package. As part of our ongoing monitoring of a
transaction, Moody's reviews the watchlist to assess which loans
have material issues that could impact performance.”
Thirty eight loans have been liquidated from the pool, resulting in
an aggregate realized loss of $175 million (41% loss severity on
average). One loan, representing 15% of the pool, is currently in
special servicing. The Magnolia Village Loan ($13.7 million --
15.3% of the pool), which is secured by a class A 71,400 SF office
(with retail component) building, located in Reno, Nevada. The
Borrower filed bankruptcy on June 16, 2011 but continues to remit
net cash flow on a monthly basis pursuant to a cash collateral
order. The property remains in good condition and is currently 100%
occupied, an increase from YE 2014 occupancy of 92%. The servicer
has recognized an $8.5 million appraisal reduction for this loan.
Moody's received full year 2015 or 2014 operating results for 98%
of the pool. Moody's weighted average conduit LTV is 44% compared
to 72% 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 10.4%.
Moody's actual and stressed conduit DSCRs are 1.30X and 2.47X,
respectively, compared to 1.75X and 1.59X at the last review.
Moody's actual DSCR is based on Moody's net cash flow (NCF) and the
loan's actual debt service. Moody's stressed DSCR is based on
Moody's NCF and a 9.25% stressed rate applied to the loan balance.
The top three performing conduit loans represent 83.8% of the pool
balance. The largest loan is the Doral Arrowwood Hotel Loan ($58.6
million -- 65.4% of the pool), which is secured by a 374-key resort
hotel and golf course in Rye Brook, New York, approximately 25
miles north of New York City. The loan returned to the master
servicer from special servicing in April 2016 after being modified.
The modification included, among other items: (a) loan term
increased by 36 months to a February 2018 maturity date, (b)
conversion to interest-only payments and (c) an interest rate
reduction from 6.0% to 2.0% through September 2016 and then 3.00%
for the remaining term. Performance has declined due to decreased
ADR as a result of Pfizer decreasing their presence at the hotel.
Pfizer has had a long-term contract with the property and was
contracted at a significantly higher room rate. As of April 2015,
the property was appraised for $40 million. Moody's has assumed a
high default probability and has estimated a moderate loss from
this troubled loan.
The second largest loan is the FAA Building Loan ($14.8 million --
16.5% of the pool), which is secured by a 244,000 SF office
building located in Des Plaines, Illinois. The property is one of
five buildings in the O'Hare Lake Office Park, located five minutes
from the Chicago O'Hare International Airport terminals. The
property was 92% leased as of December 2015. The General Services
Administration leases 85% of the space with the lease expiration in
October 2020. The loan is fully amortizing and has amortized 42%
since securitization. Performance has been stable. Moody's LTV and
stressed DSCR are 47% and 2.25X, respectively, compared to 54% and
1.97X at the last review.
The third largest loan is the 9480 Warner Ave Loan ($1.6 million --
1.8% of the pool), which is secured by a 50,722 SF retail property
located in Fountain Valley, California. The loan is fully
amortizing and has amortized 68% since securitization. Moody's LTV
and stressed DSCR are 32% and 3.10X, respectively.
GS MORTGAGE 2007-GG10: S&P Affirms B- Rating on Class A-M Certs
---------------------------------------------------------------
S&P Global Ratings affirmed its ratings on three classes of
commercial mortgage pass-through certificates from GS Mortgage
Securities Trust 2007-GG10, a U.S. commercial mortgage-backed
securities (CMBS) transaction.
The affirmations follow S&P's analysis of the transaction,
primarily using its criteria for rating U.S. and Canadian CMBS
transactions, which included a review of the credit characteristics
and performance of the remaining assets in the pool, the
transaction's structure, and the liquidity available to the trust.
The affirmations also reflect S&P's views regarding the
collateral's current and future performance, and the reduced trust
balance.
S&P's analysis also considered the volume of maturities (over 95%)
coming due over the next year, particularly given the low S&P
Global Ratings weighted average debt service coverage (DSC) and the
high S&P Global Ratings weighted average loan-to-value (LTV) ratio
for this transaction (details below). S&P will continue to monitor
the deal as these loans come due in the coming months and may
adjust S&P's ratings downward if the transaction does not perform
as expected.
TRANSACTION SUMMARY
As of the June 10, 2016, trustee remittance report, the collateral
pool balance was $4.92 billion, which is 65.0% of the pool balance
at issuance. The pool currently includes 131 loans and one real
estate owned (REO) asset (reflecting crossed loans), down from 202
loans at issuance. Eight of these assets (reflecting crossed
loans; $459.9 million, 9.4%) are with the special servicer, 18
($790.0 million, 16.1%) are defeased, and 36 ($2.2 billion, 44.8%)
are on the master servicer's watchlist. The master servicer, Wells
Fargo Bank N.A., reported financial information for 84.8% of the
nondefeased loans in the pool, of which 81.8% was year-end 2015 or
partial-year 2016 data, and the remainder was partial-year 2015 or
year-end 2014 data.
S&P calculated a 1.11x S&P Global Ratings weighted average DSC and
a 131.7% S&P Global Ratings weighted average LTV ratio using a
7.91% S&P Global Ratings weighted average capitalization rate. The
DSC, LTV, and capitalization rate calculations exclude the eight
specially serviced assets, 18 defeased loans, and 11 subordinate B
and C notes ($168.6 million, 3.4%). The top 10 nondefeased loans
have an aggregate outstanding pool trust balance of $2.57 billion
(52.2%). Using servicer-reported numbers, S&P calculated an S&P
Global Ratings weighted average DSC and LTV of 1.02x and 149.1%,
respectively, for the top 10 nondefeased loans.
To date, the transaction has experienced $885.5 million in
principal losses, or 11.7% of the original pool trust balance. S&P
expects losses to reach approximately 12.7% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses S&P expects upon the eventual resolution of
six ($107.3 million, 2.2%) of the eight specially serviced assets.
CREDIT CONSIDERATIONS
As of the June 10, 2016, trustee remittance report, eight assets in
the pool were with the special servicer, C-III Asset Management LLC
(C-III). Details of the two largest specially serviced assets,
both of which are top 10 nondefeased loans, are:
-- The 400 Atlantic Street loan ($265.0 million, 5.4%) is the
fourth-largest nondefeased loan in the pool and has a
reported current payment status. The loan is secured by a
15-story office building totaling 527,424 sq. ft.in
Stamford, Conn. The loan was transferred to C-III on
Oct. 14, 2014, because the borrower indicated that occupancy
was expected to decline, and the borrower was not certain it
could cover the debt service. It is S&P's understanding
that the borrower has requested a loan modification but has
since withdrawn the request. C-III stated that the loan is
being returned to the master servicer. The reported DSC and
occupancy as of March 31, 2016, were 0.73x and 76.8%,
respectively.
-- The State House Square loan ($87.6 million, 1.8%), the 10th-
largest nondefeased loan in the pool, has a total reported
exposure of $88.0 million. The loan is secured by an
837,225-sq.-ft. office building in Hartford, Conn. and has a
late, but less than one-month delinquent, payment status.
The loan was transferred to C-III on April 11, 2016, because
the borrower indicated that occupancy was expected to
decline, and the borrower expected to be unable to cover the
debt service. C-III indicated that it is considering a loan
modification. The reported DSC and occupancy as of year-end
2015 were 1.03x and 91.1%, respectively.
Based on communication with C-III, S&P expects the 400 Atlantic
Street and State House Square loans to be returned to the master
servicer.
The six remaining assets with the special servicer each have
individual balances that represent less than 0.7% of the total pool
trust balance. S&P estimated losses for these six specially
serviced assets, arriving at a weighted average loss severity of
67.5%.
RATINGS LIST
GS Mortgage Securities Trust 2007-GG10
Commercial mortgage pass-through certificates series 2007-GG10
Rating
Class Identifier To From
A-4 36246LAE1 BBB- (sf) BBB- (sf)
A-1-A 36246LAF8 BBB- (sf) BBB- (sf)
A-M 36246LAG6 B- (sf) B- (sf)
GUGGENHEIM PDFNI 2: Fitch Assigns 'Bsf' Rating to Class D Notes
---------------------------------------------------------------
Fitch Ratings assigns the following ratings to Guggenheim Private
Debt Fund Note Issuer 2.0, LLC (Guggenheim PDFNI 2):
-- $76,000,000 Class A Notes, Series A-2, 'A-sf', Outlook Stable;
-- $25,000,000 Class B Notes, Series B-2, 'BBB-sf', Outlook
Stable;
-- $21,000,000 Class C Notes, Series C-2, 'BBsf', Outlook Stable;
-- $10,125,000 Class D Notes, Series D-2, 'Bsf', Outlook Stable.
Fitch does not rate the leverage tranche, class E notes and limited
liability company membership interests.
In addition, the note issuance will not result in any rating action
on the existing notes issued on April 12, 2016 (the first funding
date). A full list of existing rated notes follows at the end of
this release.
TRANSACTION SUMMARY
Fitch assigned ratings to the notes issued on the second funding
date occurring on July 8, 2016. Pursuant to the second funding
date, the issuer has drawn an aggregate of $190 million from the
commitments plus $60 million from the leverage tranche (not rated
by Fitch). Of the $190 million, $57.875 million was issued in the
form of first-loss class E notes and LLC membership interests, both
of which are also not rated by Fitch. The first funding date had
occurred on April 12, 2016, on which $500 million of total
capitalization was achieved. This amount consisted of $265 million
of rated notes, $145 million of unrated first-loss class E notes
and LLC interests, and $90 million from the leverage tranche All
notes from each series are cross-collateralized by the entire
collateral portfolio, which is expected to consist of approximately
$186.8 million of broadly syndicated loans, $482.6 million of
private debt investments (PDIs) and approximately $85.3 million of
cash.
Guggenheim PDFNI 2.0 is a collateralized loan obligation (CLO)
transaction that invests in a portfolio composed of a combination
of broadly syndicated loans and middle market PDIs. The manager,
Guggenheim Partners Investment Management, LLC (GPIM) has raised
$2.0 billion of commitments from investors to fund the transaction.
Investors earn class-specific commitment fees on the undrawn
portions of their commitments. The commitments are expected to be
fully drawn through a total of seven separate funding dates during
the investment period. At each funding date, notes and the leverage
tranche will be issued in proportions that may decrease the level
of credit enhancement (CE) available for each class. CE levels at
each funding date are further described in Fitch's report
'Guggenheim Private Debt Fund Note Issuer 2.0, LLC' dated Sept. 25,
2015.
Fitch expects to assess the creditworthiness of the notes at each
funding date.
KEY RATING DRIVERS
Sufficient Credit Enhancement: CE for each class of rated notes, in
addition to excess spread, is sufficient to protect against
portfolio default and recovery rate projections in each class's
respective rating stress scenario. The degree of CE available to
each class of rated notes exceeds the average CE levels typically
seen on like-rated tranches of recent CLO issuances backed by
middle market loans.
'B-/CCC+' Asset Quality: The average credit quality of the Fitch
stressed portfolio is 'B-/CCC+', which is below that of recent
CLOs. Issuers rated in the 'B' rating category denote a highly
speculative credit quality while issuers in the 'CCC' rating
category denote substantial credit risk. When analyzing the capital
structure for the second funding date, class A, B, C and D notes
are projected to be able to withstand default rates of up to 88.6%,
81.3%, 76.2% and 75.3%, respectively.
Strong Recovery Expectations: In determining the rating of the
notes, Fitch stressed the indicative portfolio by assuming a higher
portfolio concentration of assets with lower recovery prospects and
further reduced recovery assumptions for higher rating stress
assumptions. The Fitch stressed portfolio assumed 100% of the
assets were assigned a Fitch recovery rating of 'RR3'.
FITCH ANALYSIS
Analysis was conducted on a Fitch-stressed portfolio, which was
created by Fitch and designed to address the impact of the most
prominent risk presenting concentration allowances and targeted
test levels to ensure that the transaction's expected performance
is in line with the ratings assigned. The Fitch-stressed portfolio
and notable portfolio concentration limitations are described in
the press release 'Fitch Rates Guggenheim Private Debt Fund Note
Issuer 2.0, LLC' dated April 12, 2016.
RATING SENSITIVITIES
Fitch evaluated the second funding date structure's sensitivity to
the potential variability of key model assumptions including
decreases in weighted average spread or recovery rates and
increases in default rates or correlation. Fitch also analysed the
impact of a failure to fund commitments beyond the second funding
date. Further details on additional rating sensitivities conducted
at the first funding date can also be found in Fitch's press
release 'Fitch Rates Guggenheim Private Debt Fund Note Issuer 2.0,
LLC' dated April 12, 2016.
Fitch expects each class of notes to remain within one rating
category of their original ratings even under the most extreme
sensitivity scenarios. Some notes were able to withstand rating
stresses within two rating categories in certain scenarios. Results
under these sensitivity scenarios ranged between 'AAAsf' and 'A-'
for the class A notes, 'AA-sf' and 'BB+sf' for the class B notes,
'A-sf' and 'BB-sf' for the class C notes and 'BBB+sf' and 'B+sf'
for the class D notes.
One additional sensitivity scenario was run to address
concentration risks regarding 'CCC' assets and industry
concentrations. The indicative portfolio that Fitch had received
for the second funding date included assets that have not yet been
rated. Fitch considers these non-rated assets as 'CCC', according
to Fitch's Issuer Default Rating (IDR) Equivalency Map, resulting
in a total 'CCC' exposure of approximately 30% (excluding cash).
This exceeds the 'CCC' concentration limitation of 20%, per the
transaction documents. Likewise, Fitch classified 44% of the loan
assets as business services, exceeding the 20% limitation for the
top two industries. To address this, the sensitivity scenario
increased 'CCC' concentration to 30% and increased the business
services industry concentration to 40% in the Fitch stressed
portfolio and second industry at 20%. Cash flow modelling results
from this sensitivity scenario resulted in positive cushions for
all classes of notes.
The results of the sensitivity analysis also contributed to Fitch's
assignment of Stable Outlooks on each class of notes.
VARIATIONS FROM CRITERIA
Fitch analysed the transaction in accordance with its CLO rating
criteria, as described in its June 2016 report, 'Global Rating
Criteria for CLOs and Corporate CDOs'.
The Fitch stressed portfolio for this transaction was not created
using the indicative portfolio as a basis. Rather, it was created
to account for certain unique features of the transaction, which
constitutes criteria variation from the current criteria and is
further described in the press release 'Fitch Rates Guggenheim
Private Debt Fund Note Issuer 2.0, LLC' dated April 12, 2016.
PERFORMANCE ANALYTICS
Surveillance analysis is conducted on the basis of the then-current
portfolio. Fitch expects to have credit views, via either public
ratings or credit opinions, on all of the PDIs that will be
purchased into the portfolio. Fitch will rely on the issuer to
provide it with relevant financial information on such borrowers on
an ongoing basis so that Fitch may maintain its ratings on the
transaction.
An assessment of the transaction's representations and warranties
was also completed and found to be consistent with the ratings
assigned. For further information, see 'Guggenheim Private Debt
Fund Note Issuer 2.0, LLC Representations and Warranties Appendix',
dated May 20, 2015.
DUE DILIGENCE USAGE
No third party due diligence was considered in the ratings
process.
The second funding will not result in a rating action on the
following notes, which are currently rated as follows:
-- $149,000,000 Class A Notes, Series A-1, 'A-sf', Outlook
Stable;
-- $50,000,000 Class B Notes, Series B-1, 'BBB-sf', Outlook
Stable;
-- $45,000,000 Class C Notes, Series C-1, 'BBsf', Outlook Stable;
-- $21,000,000 Class D Notes, Series D-1, 'Bsf', Outlook Stable.
HALYCON 2005-2: Moody's Lowers Class C Debt Rating to C(sf)
-----------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following note issued by Halcyon 2005-2, Ltd.:
Cl. C, Downgraded to C (sf); previously on Aug 21, 2015 Affirmed
Ca (sf)
Moody's has also affirmed the ratings on the following notes:
Cl. A, Affirmed Caa3 (sf); previously on Aug 21, 2015 Affirmed
Caa3 (sf)
Cl. B, Affirmed Ca (sf); previously on Aug 21, 2015 Affirmed Ca
(sf)
RATINGS RATIONALE
Moody's has downgraded the rating of one class of notes due to
deterioration in the credit quality of the reference obligation
pool as evidenced by the weighted average rating factor (WARF) and
the weighted average recovery rate (WARR). Moody's has affirmed the
ratings on the transaction because its key transaction metrics are
commensurate with existing ratings. The rating action is the result
of Moody's on-going surveillance of commercial real estate
collateralized debt obligation (CRE CDO Synthetic) transactions.
Halcyon 2005-2 is a static synthetic transaction backed by a
portfolio of credit default swaps referencing 100% commercial
mortgage backed securities (CMBS). The CMBS reference obligations
were securitized in 2005 and 2006. As of the May 25, 2016 trustee
report, the aggregate issued balance of the transaction is EUR
$64.2 million and USD $15.7 million, the same as that at issuance.
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 reference obligations
it does not rate. The rating agency modeled a bottom-dollar WARF of
4235, compared to 1662 at last review. The current ratings on the
Moody's-rated reference obligations and the assessments of the
non-Moody's rated reference obligations follow: Aaa-Aa3 (3.9%
compared to 28.8% at last review); A1-A3 (0.0% compared to 15.8% at
last review); Baa1-Baa3 (16.3% compared to 19.7% at last review);
Ba1-Ba3 (19.9% compared to 5.3% at last review); B1-B3 (11.5%
compared to 15.8% at last review); and Caa1-Ca/C (48.5% compared to
14.7% at last review).
HARBOUR AIRCRAFT: S&P Assigns B Rating on Series C Loan
-------------------------------------------------------
S&P Global Ratings assigned its ratings to Harbour Aircraft
Investments Ltd.'s $324.7 million fixed-rate asset-backed secured
term loan series A, B, and C.
The loan transaction is an asset-backed securities transaction
backed by shares in entities that directly and indirectly receive
lease and residual cash flows associated with an aircraft
portfolio.
The ratings reflect:
-- The likelihood of timely interest on the series A loans
(excluding the step-up amount) on each payment date, the
timely interest on the series B loans (excluding the step-up
amount) when they are the senior-most loans outstanding on
each payment date, and the ultimate interest and principal
payment on the series A, B, and C loans on the legal final
maturity at the respective rating stress.
-- The 68.48% loan-to-value (LTV) ratio (based on the lower of
the mean and median of the half-life base values and the
half-life current market values) on the series A loans, the
81.53% LTV ratio on the series B loans, and the 90.13% LTV
ratio on the series C loans.
-- The initial asset portfolio comprises 19 in-production
narrow-body passenger planes (10 from the A320 family and
nine from the B737-NG family). The aircraft in the
portfolio are in mid-life with a weighted average age (by
value) of 12.6 years. Currently, all of the 19 aircraft are
on lease, with weighted average remaining maturity of 3.3
years.
-- Some of the lessees are in emerging markets where the
commercial aviation market is growing. The series A and B
loans follow an approximated straight-line over 11 years
scheduled amortization in the first two years, an
approximated straight-line over 14 years for years three and
four, and true straight-line over 13 years thereafter. The
series C loans follow an approximated straight-line over
five years scheduled amortization in the first year, a true
straight-line over five years for year two, and a true
straight-line over seven years thereafter. Similar to the
majority of the recently rated aircraft securitization
transactions, this transaction has an expected final payment
date seven years after closing, after which the series A and
B loans' amortization will be full turbo. The series A and
B notes have a partial cash sweep of 25% in the fifth year
after closing and 50% in the sixth and seventh years after
closing. The series C notes have a partial cash sweep of
25% after the first anniversary of the initial closing and
have a full cash sweep after the seventh anniversary of the
initial closing.
-- If a rapid amortization event (the debt service coverage
ratio or utilization triggers have been breached or seven
years after the initial closing date) has occurred and is
continuing, the series A loans' outstanding principal
balance will be paid from all available monthly cash flow.
If no rapid amortization event has occurred and is
continuing but a disposition deficit has occurred, the
series A loans will receive a disposition deficit amount. A
similar arrangement applies to the series B loans after the
series A loans.
-- A portion of the end-of-lease payments will be paid to the
series A, B, and C loans according to a percentage equaling
the aggregate then-current LTV ratio.
-- There is a revolving credit facility that equals nine months
of interest on the series A and B loans. There is a senior
series interest reserve ($500,000 funded at closing) that
can be used to cover interest shortfall on the series A
loans and the series B loans if they are the senior-most
series.
-- There is a series C reserve account (funded with $167,700 at
closing) to cover the series C loans' interest in the first
year. The remaining amount at the end of the first year
will be transferred to the collection account.
-- Morten Beyer & Agnew (MBA) will provide a maintenance
analysis at closing. After closing, Aergen will perform the
maintenance analysis, which will be confirmed for
reasonableness and achievability in an opinion letter from
MBA. The senior maintenance reserve account and the junior
reserve account in aggregate must keep a balance of the
higher of the lower of $1 million and the rated loans'
outstanding notional amount and the sum of forward-looking
maintenance expenses (up to 10 months). Any excess
maintenance amounts over the required amount will be
transferred to the collection account after the end of month
six.
-- The senior indemnification (capped at $10 million) is
modeled to occur in the first 12 months.
-- The junior indemnification (uncapped) is subordinated to the
rated loans' principal payment.
-- Aergen Aviation Finance Ltd. is the servicer for this
transaction. Aergen is a recently established aircraft
leasing company specializing in mid-life, in-production,
narrow-body commercial aircraft.
RATINGS ASSIGNED
Harbour Aircraft Investments Ltd. (Series A, B, And C Loans)
Class Rating Amount
(mil. $)
Series A loan A (sf) 246.70
Series B loan BBB (sf) 47.00
Series C loan B (sf) 31.00
ICE 1: S&P Lowers Rating on Class C Notes to B+
-----------------------------------------------
S&P Global Ratings raised its rating on the class A-2 notes and
lowered its ratings on the class B, C, and D notes from ICE 1: EM
CLO Ltd. S&P removed its rating on the class D notes from
CreditWatch, where it placed it with negative implications on April
1, 2016. At the same time, S&P affirmed its rating on the class
A-3 notes from the same transaction.
The rating actions follow S&P's review of the transaction's
performance using data from the June 5, 2016, trustee report.
The upgrade reflects the transaction's $507.33 million in
collective paydowns to the senior notes of the transaction since
our April 2014 rating actions. The paydowns previously redeemed in
full the class A-1D and A-1R notes and left the class A-2 notes
with $53.86 million remaining, representing approximately 29.27% of
the original balance at issuance. With the exception of the class
D overcollateralization (O/C) ratio, these paydowns resulted in
improved reported O/C ratios since the April 2014 trustee report,
which S&P used for its April 2014 rating actions:
-- The class A O/C ratio improved to 193.1% from 128.9%.
-- The class B O/C ratio improved to 143.8% from 119.6%.
-- The class C O/C ratio improved to 120.9% from 113.5%.
-- The class D O/C ratio decreased to 98.5% from 107.8%.
As of June 2016, the transaction held $40.66 million in principal
cash, which may be used to pay down the class A-2 notes on the
August 2016 payment date. The transaction also has approximately
$242.45 million in performing obligations in the transaction's
underlying collateral.
The lowered ratings reflect credit deterioration in the underlying
collateral since S&P's last rating actions, as well as the
transaction's concentrated collateral portfolio.
The collateral portfolio's credit quality has deteriorated since
S&P's last rating actions. Collateral obligations with ratings in
the 'CCC' category increased to $84.19 million (29.74% of the
underlying assets) reported as of the June 2016 trustee report from
$33.45 million as of the April 2014 trustee report. The trustee
reported an increase in the par amount of defaulted collateral to
$84.60 million from $79.44 million over the same period.
As of the June 2016 trustee report, the transaction has 18
performing obligors, totaling $242.45 million, backing $273.76
million in rated liabilities. The remaining $84.60 million in
underlying collateral is non-performing, and as of the June 2016
trustee report, has an average market price of 7.20%.
The transaction is failing the class D O/C principal coverage test
in the June 2016 trustee report (98.5% principal coverage test
ratio compared with a required minimum of 106.6%). When
calculating the class D O/C principal coverage test, the trustee
haircuts a portion of the 'CCC' rated collateral that exceeds the
threshold specified in the transaction documents. This threshold
is in breach, leading the trustee to haircut an amount when
calculating the class D O/C principal coverage test. This haircut
also directly contributed to the decline in the class D O/C
principal coverage test since S&P's last rating action. The
transaction continues to divert available interest proceeds to pay
down the class D notes in connection with this failure and in line
with the payment priority.
The transaction is currently paying a large portion of interest
proceeds to the interest rate hedge counterparty due to the large
mismatch between the underlying fixed-rate collateral and the
notional balance on the hedge. The hedge is expected to terminate
in August 2017; at which time, the rated notes may benefit from the
potential increase in interest proceeds (which may be used to pay
down the rated notes in connection with coverage test failures).
The affirmation reflects S&P's view that the credit support
available is commensurate with the current rating level.
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 will take rating actions as S&P
deems necessary.
RATING RAISED
ICE 1: EM CLO Ltd.
Rating
Class To From
A-2 AAA (sf) AA (sf)
RATINGS LOWERED
ICE 1: EM CLO Ltd.
Rating
Class To From
B BBB- (sf) BBB+ (sf)
C B+ (sf) BB+ (sf)
RATING LOWERED AND REMOVED FROM WATCH NEGATIVE
ICE 1: EM CLO Ltd.
Rating
Class To From
D CCC (sf) B (sf)/Watch Neg
RATING AFFIRMED
ICE 1: EM CLO Ltd.
Class Rating
A-3 A (sf)
ICE 3: S&P Raises Rating on Class E Notes to 'B+'
-------------------------------------------------
S&P Global Ratings lowered its ratings on the class C-1, C-2, D,
and E notes from ICE 3: Global Credit CLO Ltd., an emerging market
collateralized loan obligation (CLO) managed by ICE Canyon LLC that
closed in March 2013. At the same time, S&P removed the ratings on
the class D and E notes from CreditWatch, where it placed them with
negative implications on April 5, 2016. In addition, S&P affirmed
its ratings on the class A-1, B-1, and B-2 notes from the same
transaction.
The rating actions follow S&P's review of the transaction's
performance using data from the May 6, 2016, trustee report. The
transaction is scheduled to remain in its reinvestment period until
April 2017.
Since S&P's effective date rating affirmations in November 2013,
the transaction has experienced par loss and credit deterioration
in the underlying collateral portfolio. The reported
overcollateralization (O/C) ratios as of the May 2016 trustee
report for each of the rated notes have decreased due to the
aforementioned par loss, as well as haircuts on the currently held
defaulted assets, as compared with the 2013 effective date report:
-- The class B O/C ratio decreased to 135.77% from 145.40%.
-- The class C O/C ratio decreased to 122.99% from 131.71%.
-- The class D O/C ratio decreased to 116.22% from 124.46%.
-- The class E O/C ratio decreased to 111.22% from 119.11%.
-- The interest diversion ratio decreased to 111.22% from
119.11%.
The class D and E principal coverage tests and interest diversion
test are failing in the June 6, 2016, trustee report by 0.77%,
2.50%, and 3.50%, respectively. The coverage tests were passing on
the April 2016 payment date, and the next scheduled payment date is
July 2016.
The transaction has experienced deterioration in the underlying
collateral portfolio's credit quality. As of May 6, 2016, trustee
report, assets with an S&P Global Rating's credit rating of 'CCC+'
or below and defaulted assets total 11.34% and 10.33% of the
aggregate principal balance, respectively, up from the 5.68% and
0.00% reported on the September 2013 effective date report. In
addition, average exposure to the heavily distressed energy and
commodities sectors has also been a key determinant in the
transaction's overall decline, as these sectors have come under
significant pressure from falling oil and commodity prices in the
last year. As of the May 6, 2016, trustee report, exposure to
assets with an S&P Global Ratings' industry classification of Oil &
Gas and Nonferrous Metals/Minerals is reported at 11.21% and 9.08%,
respectively.
The transaction has, however, benefited from a seasoning of the
collateral, with the trustee reported weighted average life
decreasing to 3.9 years from 5.1 years over the same time period.
The class C-1 and C-2 notes were lowered by one notch in line with
the cash flow implied rating of 'A- (sf)'. For the class D and E
notes, though the cash flow analysis indicated higher ratings than
our rating actions, S&P's final rating decisions were based on the
thin cushion at their cash flow implied rating levels and the
aforementioned credit deterioration in the underlying collateral,
especially the increase in 'CCC' rated assets.
The affirmations of the ratings assigned to the other classes of
notes 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 further rating actions
as it deems necessary.
CASH FLOW AND SENSITIVITY ANALYSIS
ICE 3: Global Credit CLO Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A-1 AAA (sf) AAA (sf) 2.78% AAA (sf)
B-1 AA (sf) AA (sf) 1.66% AA (sf)
B-2 AA (sf) AA (sf) 1.66% AA (sf)
C-1 A (sf) A- (sf) 0.74% A- (sf)
C-2 A (sf) A- (sf) 0.74% A- (sf)
D BBB (sf)/Watch Neg BBB- (sf) 0.50% BB+ (sf)
E BB (sf)/Watch Neg BB- (sf) 0.17% 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.
RATINGS RAISED
ICE 3: Global Credit CLO Ltd.
Rating
Class To From
C-1 A- (sf) A (sf)
C-2 A- (sf) A (sf)
RATINGS RAISED AND REMOVED FROM WATCH NEGATIVE
ICE 3: Global Credit CLO Ltd.
Rating
Class To From
D BB+ (sf) BBB (sf)/Watch Neg
E B+ (sf) BB (sf)/Watch Neg
RATINGS AFFIRMED
ICE 3: Global Credit CLO Ltd.
Class Rating
A-1 AAA (sf)
B-1 AA (sf)
B-2 AA (sf)
INACTIVE HECM 2016-2: Moody's Assigns Ba3 Ratings to Class M2 Debt
------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to three
classes of residential mortgage-backed securities (RMBS) issued by
Nationstar HECM Loan Trust 2016-2 (NHLT 2016-2). The ratings range
from Aaa (sf) to Ba3 (sf).
The certificates are backed by a pool that includes 859 inactive
home equity conversion mortgages (HECMs) and 179 real estate owned
(REO) properties. The servicer for the deal is Nationstar Mortgage
LLC. The complete rating actions are as follows:
Issuer: Nationstar HECM Loan Trust 2016-2
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. M1, Definitive Rating Assigned A3 (sf)
Cl. M2, Definitive Rating Assigned Ba3 (sf)
RATINGS RATIONALE
The collateral in Nationstar HECM Loan Trust 2016-2 consists of
first-lien inactive HECMs covered by Federal Housing Administration
(FHA) insurance secured by properties in the US along with REO
properties acquired through conversion of ownership of reverse
mortgage loans that are covered by FHA insurance. Nationstar
acquired the mortgage assets from Ginnie Mae sponsored HECM
mortgage backed (HMBS) securitizations. All of the mortgage assets
are covered by FHA insurance for the repayment of principal up to
certain amounts. If a borrower or their estate fails to pay the
amount due upon maturity or otherwise defaults, sale of the
property is used to recover the amount owed.
There are 1,038 mortgage assets with a balance of approximately
$221,171,823. Loans are in either default, due and payable,
referred, foreclosure or REO status. Loans that are in default may
move to due and payable; due and payable loans may move to
foreclosure; and foreclosure loans may move to REO. Of the mortgage
assets in default (13.02% of total pool), 2.39% are in default due
to non-occupancy, 10.33% are in default due taxes and insurance and
0.30% are in default for other reasons. 14.61% of the mortgage
assets are due and payable. 2.11% of the mortgage assets are
referred loans. 56.23% of the mortgage assets are in foreclosure.
Finally, 14.03% of the mortgage assets are REO and were acquired
through foreclosure or deed-in-lieu of foreclosure on the
associated loan. The pool includes 859 loans with an aggregate
balance of approximately $190,143,070 and 179 REO properties with
an aggregate balance of approximately $31,028,753. If the value of
the related mortgaged property is greater than the loan amount,
some of these loans may be settled by the borrower or their
estate.
Transaction Structure
The securitization has a sequential liability structure amongst
three classes of notes with overcollateralization. All funds
collected, prior to an acceleration event, are used to make
interest payments to the notes, then principal payments to the
Class A notes, then to a redemption account until the amount on
deposit in the redemption account is sufficient to cover future
principal and interest payments for the subordinate notes up to
their mandatory call dates. The subordinate notes will not receive
principal until the beginning of their target amortization periods
(in the absence of an acceleration event). The notes also benefit
from overcollateralization as credit enhancement and an interest
reserve account funded with cash received from the initial
purchasers of the notes for liquidity and credit enhancement.
The transaction is callable on or after six months with a 1.0%
premium and on or after 12 months without a premium. The mandatory
call date for the Class A notes is in June 2018. For the Class M1
notes, the mandatory call date is in December 2018. Finally, for
the Class M2 notes, the mandatory call date is in June 2019. For
each of the subordinate notes, there are six month target
amortization periods that conclude on the respective mandatory call
dates. The legal final maturity of the transaction is 10 years.
Available funds to the transaction are expected to come from the
liquidation of REO properties and receipt of FHA insurance claims.
These funds will be received with irregular timing. In the event
that there are not adequate funds to pay interest in a given
period, the interest reserve fund may be utilized. Additionally,
any shortage in interest will be classified as an available funds
cap shortfall. These available funds cap carryover amounts will
have priority of payments in the waterfall and will also accrue
interest at the respective note rate.
Certain aspects of the waterfall are dependent upon Nationstar
remaining as servicer. Servicing fees and servicer related
reimbursements are subordinated to interest and principal payments
while Nationstar is servicer. However, servicing advances will
instead have priority over interest and principal payments in the
event that Nationstar defaults. Also, while Nationstar is required
to pay to the trust any debenture interest due, a replacement
servicer will only remit debenture interest actually received.
Third-Party Review
A third party firm conducted a review of certain characteristics of
the mortgage assets on behalf of Nationstar. The review focused on
the presence of FHA insurance coverage, accurate recordation of
appraisals, accurate recording of occupancy status, borrower age
documentation, identification of loans in which foreclosure and
bankruptcy attorney fees, or property preservation fees have
exceeded FHA allowable limits, and identification of tax liens with
first priority in Texas. Also, broker price opinions (BPOs) were
ordered for 126 properties that had appraisals that were over one
year old.
Moody's said, "The results of the third-party review were weaker
compared to previous NHLT HECM securitizations, indicating a
significant number of exceptions related to the accuracy of updated
appraisals, corporate advances exceeding FHA reimbursement
thresholds, and pre-existing liens. NHLT 2016-2's TPR results
showed approximately 4.12% exceptions related to valuation, 9.26%
exceptions related to excessive corporate advances, and 48.15%
exceptions related to tax liens. This compares to 0.75%, 3.61% and
13.04% for NHLT 2016-1. The scope of the review was also narrower
compared to the previous securitizations. The scope did not include
a data integrity review of the preliminary loan tape to the final
loan tape, and did not check for the presence of non-borrowing
spouses. However, the TPR firm did conduct a data integrity check
on the loan tape versus Nationstar's servicing system. We adjusted
our collateral pool assumptions to account for the weaker TPR
results and scope.
Reps & Warranties (R&W)
"Nationstar is the loan-level R&W provider and is rated B2 (Stable)
and thus relatively weak from a credit perspective. Given the
nascent nature of their securitization program, we have limited
insight as to their ability to serve in this capacity. This risk is
mitigated by the fact that Nationstar is the equity holder in the
transaction and there is therefore a significant alignment of
interests. Another factor mitigating this risk is that a
third-party due diligence firm conducted a review on the loans for
evidence of FHA insurance."
Nationstar represents that the mortgage loans are covered by FHA
insurance that is in full force and effect. Nationstar provides
further R&Ws including those for title, first lien position,
enforceability of the lien, and the condition of the property.
Although Nationstar provides a no fraud R&W covering the
origination of the mortgage loans, determination of value of the
mortgaged properties, and the sale and servicing of the mortgage
loans, the no fraud R&W is qualified and is made only as to the
initial mortgage loans. Aside from the no fraud R&W, Nationstar
does not provide any other R&W in connection with the origination
of the mortgage loans, including whether the mortgage loans were
originated in compliance with applicable federal, state and local
laws.
Moody's said, "Upon the identification of a breach in R&W,
Nationstar has to cure the breach. If Nationstar is unable to cure
the breach, Nationstar must repurchase the loan within 90 days from
receiving the notification. We believe the absence of an
independent third party reviewer who can identify any breaches to
the R&W makes the enforcement mechanism weak in this transaction."
Trustee & Master Servicer
The acquisition and owner trustee for the NHLT 2016-2 transaction
is Wilmington Savings Fund Society, FSB. The paying agent and cash
management functions will be performed by Citibank, N.A.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's said, "Levels of credit protection that are higher than
necessary to protect investors against current expectations of
stress could drive the ratings up. Transaction performance depends
greatly on the US macro economy and housing market. Property
markets could improve from our original expectations resulting in
appreciation in the value of the mortgaged property and faster
property sales.
Down
"Levels of credit protection that are insufficient to protect
investors against current expectations of stresses could drive the
ratings down. Transaction performance depends greatly on the US
macro economy and housing market. Property markets could
deteriorate from our original expectations resulting in
depreciation in the value of the mortgaged property and slower
property sales."
INSTITUTIONAL MORTGAGE 2012-2: DBRS Keeps G Debt Rating on Review
-----------------------------------------------------------------
DBRS Limited confirmed the following classes of Commercial Mortgage
Pass-Through Certificates issued by Institutional Mortgage
Securities Canada Inc., 2012-2:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class D at BBB (sf)
-- Class XC at AAA (sf)
-- Class XP at AAA (sf)
DBRS has changed the trends on Classes C and D to Negative from
Stable. Trends on Classes A-1, A-2, B, XC and XP remain Stable.
In addition, DBRS has maintained the remaining classes in the
transaction Under Review with Negative Implications, as listed
below.
-- Class E at BBB (low) (sf), Under Review with Negative
Implications
-- Class F at BB (sf), Under Review with Negative Implications
-- Class G at B (sf), Under Review with Negative Implications
The ratings for Classes E, F and G do not carry trends.
DBRS has maintained Class E through Class G Under Review with
Negative Implications and assigned Negative trends to Class C and
Class D because of concerns surrounding the third-largest loan,
Lakewood Apartments (Prospectus ID#3, 8.3% of the pool), which
transferred to special servicing in February 2016 for imminent
default. The uncertainty with regard to the loan’s resolution has
increased in recent months because of wildfire activity in Fort
McMurray, Alberta, where the property is located. This loan will be
discussed further below.
The transaction collateral consists of 31 fixed-rate loans secured
by 33 commercial and multifamily properties. As of the June 2016
remittance, the pool had an outstanding principal balance of
approximately $208.0 million, representing a collateral reduction
of 13.4% since issuance because of scheduled amortization and two
loan repayments. The transaction also benefits from defeasance as
four loans, representing 5.5% of the pool, have fully defeased. As
of the June 2016 remittance, 25 non-defeased loans, representing
96.9% of the pool, reported YE2015 net cash flow (NCF) figures. The
pool is highly concentrated by loan size as the Top 10 and Top 15
loans represent 68.8% and 83.4% of the pool, respectively. Based on
the most recent year-end cash flows for the Top 15 loans, the
weighted-average (WA) amortizing debt service coverage ratio (DSCR)
was 1.29 times (x) compared with the DBRS underwritten (UW) figure
of 1.36x, reflective of a WA -4.1% NCF decline from the DBRS UW
figures. Excluding the Lakewood Apartments loan, the Top 15 loans
had a WA DSCR of 1.38x, reflective of +2.9% NCF growth over the
DBRS UW figures.
There are eight loans in the Top 15, representing 45.1% of the
pool, exhibiting NCF declines compared with the DBRS UW figures
with declines ranging from -0.7% to -67.6%. Based on the YE2015
cash flows for these eight loans, the WA amortizing DSCR was 1.14x
compared with the WA DBRS UW figure of 1.43x, reflective of a WA
NCF decline of -19.8% from the DBRS UW figures. Excluding the
Lakewood Apartments loan, these seven loans had a WA DSCR of 1.30x
compared with the WA DBRS UW figure of 1.44x, reflective of a WA
-9.1% NCF decline from the DBRS UW figure. DBRS analyzed these
loans and determined that, for most, cash flow declines are likely
temporary because of short-term occupancy declines and/or increases
in operating expenses that will likely normalize over the near
term. For the loans showing cash flow declines that are likely to
continue through the near to medium term, stressed cash flow
figures were modelled to capture the increased credit risk to the
trust.
There are nine loans with maturities scheduled through the end of
2017, representing 31.7% of the pool. The DBRS WA Refinance DSCR
and WA Exit Debt Yield for these loans is 1.28x and 11.0%,
respectively. As of the June 2016 remittance, there is one loan in
special servicing and two loans on the servicer’s watchlist,
representing 8.3% and 3.3% of the pool, respectively. These loans
will be discussed in detail below.
The Lakewood Apartments loan is secured by a four-storey apartment
building comprising 111 units located in the Timberlea area of Fort
McMurray. Prior to the loan’s transfer to special servicing in
February 2016 for imminent default, the loan was being monitored
for property performance declines related to the downturn in the
oil industry over the past few years. The area has recently
sustained widespread damage as a result of a wildfire that broke
out in early May 2016. All residents of Fort McMurray, including
those at the subject property, were evacuated and allowed to return
to the area in the first week of June. The special servicer has
advised that the property remains vacant as of July 2016, noting
that there has been no official property evaluation performed to
date outside of an initial assessment that indicated possible
smoke, water and incidental property damage. According to the
servicer, initial estimates range from $15.0 million to $18.0
million for all properties owned by Lanesborough Real Estate
Investment Trust (LREIT), which includes the subject property.
An insurance claim will be filed once a complete damage assessment
has been completed; the servicer has indicated that a time frame
for the complete assessment is not available at this time as
insurance adjusters and property owners must navigate time and
resource limitations for this hard-hit, relatively remote region of
Alberta. The servicer has advised that, once a claim is filed,
insurance will cover lost revenue from June 2016 up to the date
that tenants are able to move back into their units for a maximum
of 24 months. However, as the property’s pre-wildfire occupancy
rate (as of the February 2016 rent roll) was already depressed at
32.0% with average rental rates down by approximately $900 per unit
from the prior year as well as YE2014 and YE2015 DSCRs of 1.04x and
0.45x, respectively, it is unlikely that lost rent payments would
provide enough cash flow to cover operating expenses and fund debt
service obligations for the loan as it is currently structured.
Additionally, although the property could experience a short-term
improvement in occupancy rates as displaced residents need housing
during reconstruction, DBRS believes that those improvements would
likely be temporary in nature as long-term performance improvements
are dependent on the oil industry’s ability to rebound. The
special servicer has not ordered an updated appraisal and reports
that one will be ordered pursuant to the guidelines prescribed in
the pooling and servicing agreement, which call for an appraisal to
be ordered once the loan reaches 90 days delinquent. As of the June
2016 remittance, the servicer lists the loan as 60 days to 89 days
delinquent. The appraised value at issuance was $34.8 million;
however, DBRS expects the value to have declined significantly
since that time, given the property’s performance declines in
recent years and the general economic difficulty in the area.
The loan has full recourse to the sponsors: LREIT, 2668921 Manitoba
Ltd. and Shelter Canadian Properties Limited. LREIT’s assets are
heavily concentrated in Alberta, and the portfolio has been
significantly affected by the downturn in the oil industry. In its
Q1 2016 financial statements, LREIT reports total assets of $275.9
million and total liabilities of $286.4 million, resulting in a
deficit of $10.5 million. In addition, LREIT reported a loss before
discontinued operations of $5.8 million and a cash deficiency from
operating activities of $1.5 million for the Fort McMurray
properties for the three months ending March 31, 2016. In
conjunction with the subject loan’s transfer to special
servicing, seven other assets secured by DBRS-rated commercial
mortgage-backed security loans in LREIT’s portfolio were also
transferred to special servicing for similar issues leading to
imminent default. According to LREIT’s Q1 financial statements,
all 12 mortgages with an aggregate balance of approximately $194.0
million and secured by 13 LREIT-owned properties in Fort McMurray
are in default. LREIT notes that there are plans to negotiate with
the respective lenders to restructure the terms. Given the
financial difficulty for the sponsor and the anticipated value
decline as well as unknowns surrounding the subject property’s
operating status and ability to rebound to historical performance
levels, the loan was modelled with a significantly increased
probability of default and loss severity, which directly influence
the Under Review with Negative Implications status for Classes E
and G and the Negative trends assigned to Classes C and D. DBRS
anticipates that, given the uncertainty regarding the workout for
the subject loan, the Under Review status will remain in place for
those classes for an extended period of time. DBRS will monitor the
loan closely for developments and will take rating action as
necessary.
The largest loan on the servicer’s watchlist is the Pacific
Building (Prospectus ID#21, 1.8% of the pool), which is secured by
a six-storey multifamily and retail property located in Halifax,
Nova Scotia. The building was originally constructed in 1911 and
consists of 28-apartment units and 11,363 square feet (sf) of
retail space. The loan was added to the watchlist in October 2015
because of a low DSCR caused by increased operating expenses. Cash
flow declines continued into 2015 and, as of the YE2015 financials,
the loan had a DSCR of 0.62x, down from the DBRS UW figure of
1.18x. Since issuance, operating expenses have increased by 33.0%,
primarily as a result increased general and administrative, repairs
and maintenance as well as utility costs. Although operating
expenses have increased substantially, income has remained in line
with or above issuance levels. According to the June 2016 rent
roll, the property was 95.0% occupied (multifamily occupancy rate
of 92.8%, retail occupancy rate of 100.0%), up from 89.0% at
issuance. According to Canada Mortgage and Housing Corporation and
Cushman & Wakefield, multifamily and retail properties in Halifax
reported vacancy rates and rental rates of 3.4% and $974.00 per
unit as of October 2015 and 9.8% and $15.08 per square foot (psf)
as of March 2016. The subject’s occupancy rates and rental rates
compare favourably with the submarket averages, mitigating concerns
surrounding the rising expenses at the property.
The other loan on the servicer's watchlist, Clyde Avenue Industrial
(Prospectus ID#23, 1.5% of the pool), is secured by a 60,000 sf
industrial property located in Mount Pearl, Newfoundland and
Labrador, approximately 12 kilometres northeast of St. John’s.
The loan was placed on the watchlist in October 2015 because of a
low DSCR caused by a substantial decline in occupancy and rental
concessions. As of April 2014 and May 2014, former tenants, Domtar
Corporation (Domtar; 16.0% of the net rentable area (NRA)) and Bird
Design (40.0% of the NRA) vacated upon their respective lease
expirations. According to the December 2014 rent roll, the property
was 44.0% occupied by two tenants, RGR Enterprises Ltd. (24.1% of
the NRA) and TFI Transport 2 L.P. (29.2% of the NRA), which have
both recently expanded by signing lease extensions at increased
rents through April 2021 and March 2020, respectively. Two tenants
also signed new leases in early 2015 and, according to the December
2015 rent roll, the property was 100.0% occupied with an average
rental rate of $10.50 psf, up from an average of $8.08 psf in 2013;
however, one of the two new tenants, Iron Mountain Canada (31.6% of
the NRA) was on a short-term lease and appears to have vacated at
lease expiry in May 2016. The servicer noted that a leasing reserve
in the amount of $230,000 was collected prior to loan closing with
ongoing monthly collections of $2,200 bringing the leasing reserve
balances to $300,000 ($5.00 psf) prior to the expiration of Domtar
and Bird Design. DBRS has requested a leasing update and
confirmation of the current reserve amounts from the servicer. The
loan benefits from partial recourse to Cluny Group Ltd., limited to
$1.85 million. Given the occupancy fluctuations, however, the loan
was modelled with a stressed cash flow to reflect the increased
risk to the trust with this asset.
INSTITUTIONAL MORTGAGE 2013-3: DBRS Keeps G Debt Rating on Review
-----------------------------------------------------------------
DBRS Limited confirmed the following classes of Commercial Mortgage
Pass-Through Certificates issued by Institutional Mortgage
Securities Canada Inc., Series 2013-3:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class D at BBB (sf)
-- Class X at AAA (sf)
DBRS has assigned a Negative Trend to Classes C and D. The trends
on Classes A-1, A-2, A-3, B and X remain Stable.
In addition, DBRS has maintained the Under Review with Negative
Implications status on the remaining classes in the transaction as
listed below:
-- Class E at BBB (low) (sf), Under Review with Negative
Implications
-- Class F at BB (sf), Under Review with Negative Implications
-- Class G at B (sf), Under Review with Negative Implications
The ratings for Classes E, F and G do not carry Trends.
DBRS has maintained Class E through Class G Under Review with
Negative Implications and assigned Negative trends to Classes C and
D because of the concerns surrounding three loans that were
transferred to special servicing in February 2016 because of
imminent default. The loans are secured by multifamily properties
located in Fort McMurray, Alberta, and collectively represent 8.8%
of the current pool balance. The uncertainty with regard to the
loans’ resolution has increased in recent months because of the
wildfire activity in Fort McMurray. The details of the loans are
discussed below.
At issuance, the transaction consisted of 38 loans secured by 43
properties. As of the June 2016 remittance report, 35 loans remain
in the pool, as three loans prepaid in January 2016 ahead of their
respective loan maturities in 2019. The aggregate outstanding
principal balance of the trust is $221.7 million, which represents
a collateral reduction of 11.5%. Loans representing 50.6% of the
pool are reporting YE2015 financials. Ten loans in the Top 15,
representing 45.3% of the current pool balance, have YE2015
financials and reported a weighted-average (WA) amortizing debt
service coverage ratio (DSCR) of 1.34 times (x) with a WA debt
yield of 9.8%. As of the June 2016 remittance, there are three
loans in special servicing and two loans on the servicer’s
watchlist, representing 8.8% and 5.1% of the current pool balance,
respectively. The specially serviced loans and watchlisted loans
are highlighted below.
The Lunar and Whimbrel Apartments (Prospectus ID#10), Snowbird and
Skyview Apartments (Prospectus ID#11) and Parkland and Gannet
Apartments (Prospectus ID#17) loans are secured by multifamily
properties located in Fort McMurray, Alberta. Prior to the loans’
transfer to special servicing in February 2016 for imminent
default, the loans were being monitored for property performance
declines related to the downturn in the oil industry over the past
few years. The area has recently sustained widespread damage as a
result of a wildfire that broke out in early May 2016. All
residents of Fort McMurray, including those at the subject
properties, were evacuated and allowed to return to the area the
first week of June. The special servicer has advised that the
properties remain vacant as of July 2016 and noted that there have
been no official property evaluations performed to date outside of
an initial assessment that indicated possible smoke, water and
incidental property damage at all six locations. According to the
servicer, initial estimates range from $15.0 million to $18.0
million for all properties owned by Lanesborough Real Estate
Investment Trust (LREIT), which includes the subject properties.
An insurance claim will be filed once a damage assessment has been
completed; the servicer has indicated that a timeframe for the
complete assessment is not available at this time, as insurance
adjusters and property owners must navigate time and resource
limitations for this hard hit, relatively remote region of Alberta.
The servicer has advised that once a claim is filed, insurance will
cover lost revenue from June 2016 up to the date tenants are able
to move back into their units, for a maximum of 24 months. However,
since the properties’ pre-wildfire occupancy rates (as of the
February 2016 rent rolls) were already depressed, ranging from
51.5% to 63.5%, with average rental rates down by approximately
$500 per unit from the prior year and WA YE2014 and YE2015 DSCRs of
0.87x and 0.45x, respectively, it is unlikely that lost rent
payments will provide enough cash flow to cover operating expenses
and fund debt service obligations for the loans as currently
structured. Additionally, although the properties could experience
a short-term improvement in occupancy rates, as displaced residents
will need housing through reconstruction, DBRS believes those
improvements would likely be temporary in nature, with long-term
performance improvements being dependent on the ability of the oil
industry to rebound. The special servicer has not ordered updated
appraisals and reports those will be ordered pursuant to the
guidelines prescribed in the pooling and servicing agreement, which
call for an appraisal to be ordered once the loans reach 90 days
delinquent. As of the June 2016 remittance, the servicer lists the
loans as 60 to 89 days delinquent. The appraised value at issuance
was $14.8 million for the Lunar and Whimbrel properties, $13.7
million for the Snowbird and Skyview properties and $11.2 million
for the Parkland and Gannet properties. DBRS expects the values to
have declined significantly since that time, given the
properties’ performance decline in recent years and the general
economic difficulty in the area.
The loans have full recourse to LREIT and a partial guarantee from
of 25.0% of the loan balance by 2668921 Manitoba Ltd. LREIT’s
assets are heavily concentrated in Alberta, and the portfolio has
been significantly affected by the downturn in the oil industry. In
its Q1 2016 financial statements, LREIT reports total assets of
$275.9 million and total liabilities of $286.4 million, resulting
in a deficit of $10.5 million. In addition, LREIT reported a loss
before discontinued operations of $5.8 million and a cash
deficiency from operating activities of $1.5 million for the Fort
McMurray properties for the three months ending March 31, 2016. In
conjunction with the subject loans’ transfer to special
servicing, two other assets located in Fort McMurray and secured by
DBRS-rated commercial mortgage-backed security loans in LREIT’s
portfolio were also transferred to special servicing for similar
issues leading to imminent default. According to LREIT’s Q1 2016
financial statements, all 12 mortgages with an aggregate balance of
approximately $194.0 million and secured by 13 LREIT-owned
properties in Fort McMurray are in default. LREIT notes that there
are plans to negotiate with the respective lenders to restructure
the terms. Given the anticipated value decline as well as unknowns
surrounding the properties’ operating status and ability to
rebound to historical performance levels, the loans were modelled
with significantly increased probabilities of default and loss
severities, which directly influences the Under Review with
Negative Implications status for Classes E, F and G and the
Negative trends assigned to Classes C and D. DBRS anticipates that,
given the uncertainty regarding the workout for the subject loans,
the Under Review status will remain in place for those Classes for
an extended period of time. DBRS will monitor the loans closely for
developments and will take rating action as necessary.
The largest loan on the servicer’s watchlist, Sherbrooke Street
Office (Prospectus ID#6, 4.2% of the current pool balance), is
secured by a Class B office building in the Le Plateau – Mont
Royal borough of Montréal, Québec. This loan was originally
placed on the watchlist in September 2014 because the former
largest tenant, Aro Inc., previously occupying 32.8% of the net
rentable area (NRA), exercised its early termination option and
vacated the property in May 2015. According to the January 2016
rent roll, the property was 35.2% occupied following the departure
of another tenant, Conservatoire Lasalle (14.5% of NRA), which
vacated the property at its lease expiration in May 2015. Occupancy
may have fallen even further since, however, as the second- and
third-largest tenants, which collectively represented 9.7% of NRA,
had leases that expired in April and May 2016, and both units were
listed for lease on Altus InSite as of June 2016. In total, Altus
InSite lists 78,581 square feet (sf) of space, or 61.9% of NRA, as
available. DBRS has requested leasing updates from the servicer for
the listed spaces as well as for the property’s largest tenant,
Collège April-Fortier Inc., which occupies 7.9% of the NRA on a
lease that expires in December 2016.
According to the CBRE Montreal office Marketview Report, the Q1
2016 average vacancy rate and average rental rate for the Montréal
central business district was reported at 10.8% and $19 per square
foot (psf) compared with the subject’s January 2016 vacancy rate
of 64.8% and average rental rate of $17 psf. The YE2014 OSAR
reported an amortizing DSCR of 1.77x, which is an increase from the
YE2013 DSCR of 1.76x and the DBRS underwritten DSCR of 1.16x;
however, cash flows are expected to decline significantly given the
sharp occupancy decline at the property over the past year. As
such, this loan was modelled with a stressed cash flow to reflect
the increased risk to the trust. The loan benefits from full
recourse to an experienced sponsor with a large portfolio of
commercial real estate, specializing in Québec markets.
Additionally, this loan is cross-collateralized and cross-defaulted
with two other loans in the pool that are also secured by
properties in Québec, and those two loans reported a WA DSCR of
1.78x.
The other loan on the watchlist, Rene Patenaude Industrial
(Prospectus ID#33, 0.8% of the current pool balance), is secured by
a 30,000 sf industrial property most recently used as a produce
distribution centre. The property is located in the industrial
sector of Magog, Québec, which is approximately 37 kilometres
south-east of Sherbrooke and benefits from easy access to major
highways. This loan was placed on the servicer’s watchlist in
June 2016 when the single tenant, Anniefruit Inc., vacated in
January 2016, ahead of its scheduled lease expiration in October
2020. The property is currently vacant, and the entire building is
listed as available on CBRE. According to the YE2015 financials,
the DSCR was reported at 0.98x, a decrease from the YE2014 DSCR of
1.64x and the DBRS underwritten DSCR of 1.29x. The borrower has
kept the loan current despite the lack of cash flow. This loan has
full recourse to an experienced sponsor with a large portfolio of
commercial real estate, specializing in Québec markets. This loan
is also cross-collateralized and cross-defaulted with one other
property in Québec, which reported a YE2015 DSCR of 1.64x. Given
the vacant status of the collateral property, the loan was modelled
with a stressed cash flow figure to reflect the increased risk to
the trust.
INSTITUTIONAL MORTGAGE 2013-4: DBRS Keeps G Debt Rating on Review
-----------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates issued by
Institutional Mortgage Securities Canada Inc., Series 2013-4:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class X at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class D at BBB (sf)
The trends on Classes C and D have been changed to Negative from
Stable. Trends on Classes A-1, A-2, X and B remain Stable.
Additionally, DBRS maintains the Under Review with Negative
Implications status first assigned in March 2016 for the following
two classes:
-- Class F at BB (sf), Under Review with Negative Implications
-- Class G at B (sf), Under Review with Negative Implications
Finally, DBRS has also placed the following class Under Review with
Negative Implications:
-- Class E at BBB (low) (sf), Under Review with Negative
Implications
The ratings for Classes E, F and G do not carry trends.
These actions reflect the increased risks for the pool in the sharp
performance decline for the Franklin Suites loan (Prospectus ID
#12, 3.1% of the pool balance) and continued concerns surrounding
the fourth-largest loan, Nelson Ridge (Prospectus ID#4, 7.0% of the
pool balance), which was transferred to the special servicer in
February 2016 because of imminent default. The concern and
uncertainty surrounding these loans has increased in recent months
in light of wildfire activity in Fort McMurray, Alberta, where both
properties are located. The Nelson Ridge loan represents the A-1
portion of a pari passu loan, which had an original aggregate
balance of $31.0 million. The A-2 piece, which had an original
balance of $8.0 million, was included in the IMSCI 2014-5
transaction. The whole loan also includes subordinate debt of $4.5
million. Both the Nelson Ridge and Franklin Suites loans are
discussed further below.
The transaction closed in December 2013 with 33 fixed-rate loans
secured by 37 commercial properties. Since issuance, the
transaction has experienced a collateral reduction of 5.6% as a
result of scheduled amortization with all of the original 33 loans
remaining in the pool. Approximately 27.1% of the pool is reporting
YE2015 financials and the weighted-average (WA) debt service
coverage ratio (DSCR) and WA debt yield for these loans is 1.36
times (x) and 9.2%, respectively. Based on 97.1% of the pool that
reported YE2014 financials, the WA DSCR and WA debt yield were
1.90x and 13.6%, respectively. These performance metrics for the
pool compare with the DBRS underwritten (UW) Term DSCR and Term
Debt Yield at issuance of 1.39x and 9.3%, respectively.
At the June 2016 remittance, there was one loan in special
servicing, representing 7.0% of the current pool balance, and four
loans on the servicer’s watchlist, representing 10.8% of the
current pool balance.
The Nelson Ridge loan is secured by three four-storey apartment
buildings consisting of 225 two-bedroom units located in Fort
McMurray. The area is heavily reliant on the oil industry, and the
weakened market has affected the performance of the property,
leading to decreased cash flows. Furthermore, the property is
located in the area where a widespread wildfire broke out in early
May 2016, which led to an evacuation of the region through the
first week of June 2016. According to the most recent update from
the servicer, as of late June 2016, the property has experienced
smoke damage and remains vacant. The servicer estimated that
repairs to the property could be completed by the beginning of July
but advised that a full damage estimate had not been completed to
date. According to the servicer, total initial cost estimates range
from $15.0 million to $18.0 million for all affected properties
(including the subject) in Fort McMurray and owned by Lanesborough
Real Estate Investment Trust (LREIT). It has also been noted that
an insurance claim can be filed that will cover lost revenue from
June 2016 up to the date that tenants are able to move back into
their units for a maximum of 24 months. However, as occupancy prior
to the wildfires was reported at 48.0% as of YE2015, which
represents a significant decline from the prior year when occupancy
was 88.0%, lost revenue supplements received as part of any
insurance claim are likely to represent a fraction of the revenues
in place at issuance. This decrease in occupancy has led to a
YE2015 DSCR of 1.10x, down from the YE2014 of 1.63x and the DBRS UW
DSCR of 1.81x.
Although the property could experience a short-term improvement in
occupancy rates as displaced residents need housing during
reconstruction, DBRS believes that those improvements would likely
be temporary in nature as long-term performance improvements are
dependent on the oil industry’s ability to rebound. The special
servicer has not ordered an updated appraisal and reports that one
will be ordered pursuant to the guidelines prescribed in the
pooling and servicing agreement, which call for an appraisal to be
ordered once the loan reaches 90 days delinquent. As of the June
2016 remittance, the servicer lists the loan as 60 days to 89 days
delinquent. The appraised value at issuance was $68.8 million;
however, DBRS expects the value to have declined significantly
since that time, given the property’s performance declines in
recent years and the general economic difficulty in the area.
The loan has full recourse to the sponsors: LREIT, 2668921 Manitoba
Ltd. and Shelter Canadian Properties Limited. LREIT’s assets are
heavily concentrated in Alberta, and the portfolio has been
significantly affected by the downturn in the oil industry. In its
Q1 2016 financial statements, LREIT reports total assets of $275.9
million and total liabilities of $286.4 million, resulting in a
deficit of $10.5 million. In addition, LREIT reported a loss before
discontinued operations of $5.8 million and a cash deficiency from
operating activities of $1.5 million for the Fort McMurray
properties for the three months ending March 31, 2016. In
conjunction with the subject loan’s transfer to special
servicing, seven other assets secured by DBRS-rated commercial
mortgage-backed security loans in LREIT’s portfolio were also
transferred to special servicing for similar issues leading to
imminent default. According to LREIT’s Q1 2016 financial
statements, all 12 mortgages with an aggregate balance of
approximately $194.0 million and secured by 13 LREIT-owned
properties in Fort McMurray are in default. LREIT notes that there
are plans to negotiate with the respective lenders to restructure
the terms. Given the financial difficulty for the sponsor and the
anticipated value decline as well as unknowns surrounding the
subject property’s operating status and ability to rebound to
historical performance levels, the loan was modelled with a
significantly increased probability of default and loss severity to
reflect the increased risk to the trust.
The Franklin Suites loan (Prospectus ID#12, 3.1% of the pool
balance) is secured by a 75-room, extended-stay, limited-service
hotel located in Fort McMurray. This loan was added to the
watchlist in June 2016 as performance was negatively affected by
the economic decline in the area related to the oil sector.
According to YE2015 financials, the DSCR decreased to 0.96x from
the prior-year DSCR of 1.79x, with cash flow declines largely
attributable to a decrease in effective gross income by
approximately 30.0% year over year. At YE2015, the property
reported a year-to-date occupancy of 51.0%, an average daily rate
(ADR) of $165.00 and a revenue per available room (RevPAR) of
$83.67. Performance decreased across all metrics when compared with
the YE2014 figures for occupancy, ADR and RevPAR of 65.0%, $185.00
and $120.35, respectively. This property is also located in the
affected area of the Fort McMurray wildfire as previously
mentioned; however, according to a property update dated June 2,
2016, posted on the sponsor’s website, the subject property is
open and fully occupied. Given the need for accommodations for
workers and residents displaced by the wildfire, it is expected
that hotel properties within the area will be experiencing
increased occupancy as the region recovers from the impact of the
wildfire. However, similar to the outlook for the Nelson Ridge
loan, DBRS anticipates that performance improvements would be
temporary until the energy markets experience sustained
improvement. This loan benefits from full recourse to Temple Hotels
Inc. (Temple), which was taken over by Morguard Corporation
effective April 2016 and holds a 39.0% stake and control of all 29
hotels within the Temple portfolio.
Similar to the approach for the Nelson Ridge loan, the Franklin
Suites loan was modelled with a stressed cash flow scenario that
results in a significantly increased probability of default and
loss severity. The resulting enhancement levels for both loans
directly influence the maintenance of the Under Review with
Negative Implications status for Classes F and G, the placement of
Class E Under Review with Negative Implications and the Negative
trends assigned to Classes C and D. DBRS anticipates that, given
the uncertainty regarding the workout for the Nelson Ridge loan and
the continued decline in performance for the energy sector that
contributed to performance declines in 2015 for both the Nelson
Ridge and Franklin Suites loans, the Under Review status will
remain in place for those classes for an extended period of time.
DBRS will monitor the loans closely for developments and will take
rating action as necessary.
At issuance, DBRS shadow-rated one loan investment grade: Calloway
Courtenay (Prospectus ID#1, 8.9% of the current pool). DBRS
confirms with this review that the performance of this loan remains
consistent with investment-grade loan characteristics.
INSTITUTIONAL MORTGAGE 2014-5: DBRS Keeps G Debt Rating on Review
-----------------------------------------------------------------
DBRS Inc. confirmed the following classes of Commercial Mortgage
Pass-Through Certificates issued by Institutional Mortgage
Securities Canada Inc., 2014-5:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class X at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
All trends are Stable.
In addition, DBRS has maintained the Under Review with Negative
Implications status on the following Class in the transaction:
-- Class G at B (sf), Under Review with Negative Implications
DBRS has maintained Class G Under Review with Negative Implications
because of concerns surrounding the Nelson Ridge loan (Prospectus
ID #17, 2.9% of the pool), which was transferred to the special
servicer in February 2016 because of imminent default. The
uncertainty with regard to the loan’s resolution has increased in
recent months because of the wildfire activity in Fort McMurray,
Alberta, where the property is located. The trust loan represents
the A-2 piece of a $31.0 million pari passu note, with the A-1
piece, which had an original balance of $23.0 million, secured in
the IMSCI 2013-4 transaction. The whole loan also includes
subordinate debt of $4.5 million. This loan is discussed in further
detail below.
The transaction collateral consists of 36 fixed-rate loans secured
by 50 commercial properties. Over the last 12 months, four loans
have repaid from the trust, including Listowel Anchored Retail
(Prospectus ID#29), Toronto Industrial (Prospectus ID#30), Toronto
Anchored Retail (Prospectus ID#8) and Montreal Office (Prospectus
ID#20). Since issuance, five loans have repaid in full, with a
collateral reduction of 17.4% for the overall pool since closing.
As of the June 2016 remittance, there are two loans on the
watchlist, representing 7.0% of the pool balance, with one loan in
special servicing (as previously mentioned, representing 2.9% of
the pool balance). There are three loans with maturities scheduled
in 2017, representing 8.0% of the current pool balance. One of
these loans, Prospectus ID #6, Victoria Office Tower (5.4% of the
pool), is a Top Ten loan. The refinance profile is healthy overall,
with a DBRS weighted-average (WA) exit debt yield for these loans
of 11.7%, and a WA refinance debt service coverage ratio (DSCR) of
1.62 times (x). The loan in special servicing and the two loans on
the watchlist are discussed further below.
The Nelson Ridge loan is secured by three four-storey apartment
buildings consisting of 225 two-bedroom units located in Fort
McMurray. The area is heavily reliant on the oil industry, and the
weakened market has affected the performance of the property,
leading to decreased cash flows. Furthermore, the property is
located in the area where a widespread wildfire broke out in early
May 2016, which led to an evacuation of the region through the
first week of June 2016. According to the most recent update from
the servicer, as of late June 2016, the property has experienced
smoke damage and remains vacant. The servicer estimated that
repairs to the property could be completed by the beginning of July
but advised that a full damage estimate had not been completed to
date. According to the servicer, total initial cost estimates range
from $15.0 million to $18.0 million for all affected properties
(including the subject) in Fort McMurray and owned by Lanesborough
Real Estate Investment Trust (LREIT). It has also been noted that
an insurance claim can be filed that will cover lost revenue from
June 2016 up to the date that tenants are able to move back into
their units for a maximum of 24 months. However, as occupancy prior
to the wildfires was reported at 48.0% as of YE2015, which
represents a significant decline from the prior year when occupancy
was 88.0%, lost revenue supplements received as part of any
insurance claim are likely to represent a fraction of the revenues
in place at issuance. This decrease in occupancy has led to a
YE2015 DSCR of 1.10x, down from the YE2014 DSCR of 1.63x and the
DBRS underwritten (UW) DSCR of 1.81x.
Although the property could experience a short-term improvement in
occupancy rates, as displaced residents will need housing through
reconstruction, DBRS believes those improvements would likely be
temporary in nature, with long-term performance improvements being
dependent on the ability of the oil industry to rebound. The
special servicer has not ordered an updated appraisal and reports
one will be ordered pursuant to the guidelines prescribed in the
pooling and servicing agreement, which call for an appraisal to be
ordered once the loan reaches 90 days delinquent. As of the June
2016 remittance, the servicer lists the loan as 60 to 89 days
delinquent. The appraised value at issuance was $68.8 million;
however, DBRS expects the value to have declined significantly
since that time, given the property’s performance declines in
recent years and the general economic difficulty in the area.
The loan has full recourse to the sponsors: LREIT, 2668921 Manitoba
Ltd. and Shelter Canadian Properties Limited. LREIT’s assets are
heavily concentrated in Alberta, and the portfolio has been
significantly affected by the downturn in the oil industry. In its
Q1 2016 financial statements, LREIT reports total assets of $275.9
million and total liabilities of $286.4 million, resulting in a
deficit of $10.5 million. In addition, LREIT reported a loss before
discontinued operations of $5.8 million and a cash deficiency from
operating activities of $1.5 million for the Fort McMurray
properties for the three months ending March 31, 2016. In
conjunction with the subject loan's transfer to special servicing,
seven other assets secured by DBRS-rated commercial mortgage-backed
security loans in LREIT’s portfolio were also transferred to
special servicing for similar issues leading to imminent default.
According to LREIT’s Q1 2016 financial statements, all 12
mortgages with an aggregate balance of approximately $194.0 million
and secured by 13 LREIT-owned properties in Fort McMurray are in
default. LREIT notes that there are plans to negotiate with the
respective lenders to restructure the terms. Given the financial
difficulty for the sponsor and the anticipated value decline as
well as unknowns surrounding the property’s operating status and
ability to rebound to historical performance levels, the loan was
modelled with a significantly increased probability of default and
loss severity, which directly influences the Under Review status
for Class G. DBRS anticipates that, given the uncertainty regarding
the workout for the subject loan, the Under Review status will
remain in place for that Class for an extended period of time. DBRS
will monitor the loan closely for developments and will take rating
action as necessary.
The largest loan on the servicer’s watchlist is Fengate
Industrial Portfolio (Prospectus ID#5, 5.7% of the current pool),
which is secured by six industrial properties totalling 290,410
square feet (sf), constructed between 1972 and 1987. All properties
are located in the Cambridge, Ontario, area. The loan was added to
the servicer’s watchlist in August 2015 because of a drop in
occupancy for the portfolio as a whole. Based on the February 2016
rent rolls, combined occupancy was approximately 69.4%, down from
89.0% at issuance. The servicer advises that the borrower (Skyline
REIT) has provided a leasing update to show that several renewals
have been secured for smaller tenants across the portfolio, but
indicates that there are no significant prospects for the vacant
spaces, with leasing efforts ongoing. The most recent inspection
files, dated October 2015, indicate that there have been two major
capital improvement projects completed for various buildings in the
portfolio, including the installation of new concrete floor slabs
at an estimated cost of $1.0 million and exterior fascia upgrades
at an estimated cost of $200,000. The YE2015 DSCR was low at 1.02x,
down from the YE2014 DSCR of 1.46x and the DBRS UW DSCR of 1.22x.
The loan does benefit from full recourse to Skyline REIT. Given the
declining performance of the portfolio and lack of prospects for
the vacant space, DBRS modelled the loan with a stressed cash flow
to reflect the increased risk to the trust.
The other loan on the servicer’s watchlist, Yonge Street
Multifamily (Prospectus ID#31, 1.3% of the current pool) is secured
by a mixed-use property located in Richmond Hill, Ontario. The
property consists of 18 multifamily units as well as commercial
space of 5,526 sf. The loan was added to the servicer’s watchlist
in April 2016 because of its YE2014 DSCR of 0.98x (down from the
DBRS UW DSCR of 1.29x), which was caused by an increase in vacancy
to the commercial tenants in 2014, with the January 2015 rent roll
file showing the multifamily units fully occupied and the
commercial units 22.1% occupied. According to the servicer, a new
daycare tenant, Safari Kid Canada Inc., signed a lease for
approximately 66.0% of the previously vacant space as of October
2015, with a free rent allowance through June 2016. A leasing
reserve of $300,000 was established at issuance, and the servicer
advises that those funds are to be released at the end of the free
rent period for the new tenant. DBRS expects cash flows to return
to historical levels over the near term and will monitor the loan
for developments.
JFIN CLO 2016: Moody's Assigns Prov. Ba3 Rating on Class E Notes
----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to nine
classes of notes to be issued by JFIN CLO 2016 Ltd.
Moody's rating action is:
$165,500,000 Class A-1 Senior Secured Floating Rate Notes due
2028, Assigned (P)Aaa (sf)
$30,000,000 Class A-F Senior Secured Fixed Rate Notes due 2028,
Assigned (P)Aaa (sf)
$16,500,000 Class A-2a Senior Secured Floating Rate Notes due
2028, Assigned (P)Aaa (sf)
$10,000,000 Class A-2b Senior Secured Floating Rate Notes due
2028, Assigned (P)Aaa (sf)
$30,500,000 Class B-1 Senior Secured Floating Rate Notes due
2028, Assigned (P)Aa2 (sf)
$10,000,000 Class B-F Senior Secured Fixed Rate Notes due 2028,
Assigned (P)Aa2 (sf)
$20,000,000 Class C Secured Deferrable Floating Rate Notes due
2028, Assigned (P)A2 (sf)
$20,000,000 Class D Secured Deferrable Floating Rate Notes due
2028, Assigned (P)Baa3 (sf)
$19,500,000 Class E Secured Deferrable Floating Rate Notes due
2028, Assigned (P)Ba3 (sf)
The Class A-1 Notes, the Class A-F Notes, the Class A-2a Notes, the
Class A-2b Notes, the Class B-1 Notes, the Class B-F 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.
JFIN CLO 2016 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90% of the portfolio must
consist of senior secured loans, cash, and eligible investments,
and up to 10% of the portfolio may consist of second lien loans and
unsecured loans. Moody's expects the portfolio to be approximately
90% ramped as of the closing date.
Apex Credit Partners 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 year reinvestment period. Thereafter, the
Manager may reinvest unscheduled principal payments and proceeds
from sales of credit risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue 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: $350,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2600
Weighted Average Spread (WAS): 4.15%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 46.0%
Weighted Average Life (WAL): 8 years.
Methodology Underlying the Rating Action:
The prinicpal 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 Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
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 2600 to 2990)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-F Notes: 0
Class A-2a Notes: 0
Class A-2b Notes: 0
Class B-1 Notes: -1
Class B-F Notes: -1
Class C Notes: -2
Class D Notes: -1
Class E Notes: -1
Percentage Change in WARF -- increase of 30% (from 2600 to 3380)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-F Notes: -1
Class A-2a Notes: 0
Class A-2b Notes: -1
Class B-1 Notes: -3
Class B-F Notes: -3
Class C Notes: -3
Class D Notes: -2
Class E Notes: -1
JP MORGAN 2005-LDP2: Moody's Affirms Caa2 Rating on Cl. X-1 Debt
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on seven classes
and upgraded the ratings on three classes in J.P. Morgan Chase
Commercial Mortgage Securities Corp. Series 2005-LDP2 as follows:
Cl. A-J, Affirmed Aaa (sf); previously on Aug 14, 2015 Upgraded to
Aaa (sf)
Cl. B, Upgraded to Aaa (sf); previously on Aug 14, 2015 Upgraded to
A1 (sf)
Cl. C, Upgraded to A1 (sf); previously on Aug 14, 2015 Upgraded to
Baa1 (sf)
Cl. D, Upgraded to Baa2 (sf); previously on Aug 14, 2015 Upgraded
to Ba1 (sf)
Cl. E, Affirmed B2 (sf); previously on Aug 14, 2015 Upgraded to B2
(sf)
Cl. F, Affirmed Caa1 (sf); previously on Aug 14, 2015 Affirmed Caa1
(sf)
Cl. G, Affirmed Caa3 (sf); previously on Aug 14, 2015 Affirmed Caa3
(sf)
Cl. H, Affirmed C (sf); previously on Aug 14, 2015 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Aug 14, 2015 Affirmed C (sf)
Cl. X-1, Affirmed Caa2 (sf); previously on Aug 14, 2015 Downgraded
to Caa2 (sf)
RATINGS RATIONALE
The ratings on P&I classes B, C and D were upgraded based primarily
on an increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 26% since Moody's last
review.
The rating on P&I class A-J was affirmed because the transaction's
key metrics, including Moody's loan-to-value (LTV) ratio, Moody's
stressed debt service coverage ratio (DSCR) and the transaction's
Herfindahl Index (Herf), are within acceptable ranges.
The ratings on P&I classes E through J were 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.
Moody's rating action reflects a base expected loss of 27% of the
current balance, compared to 25% at Moody's last review. Moody's
base expected loss plus realized losses is now 7.2% of the original
pooled balance, compared to 7.7% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
DEAL PERFORMANCE
As of the June 15, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 92% to $231 million
from $2.98 billion at securitization. The certificates are
collateralized by 32 mortgage loans ranging in size from less than
1% to 14% of the pool, with the top ten loans constituting 78% of
the pool. One loan, constituting less than 1% of the pool, has
defeased and is secured by US government securities.
Five loans, constituting 15% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Fifty-three loans have been liquidated from the pool, resulting in
an aggregate realized loss of $154.5 million (for an average loss
severity of 30.2%). Eleven loans, constituting 52% of the pool, are
currently in special servicing. The largest specially serviced loan
is the Ashwood-Southfield Loan ($31.3 million -- 13.5% of the
pool), which was originally secured by two office properties in
Atlanta, Georgia and Southfield, Michigan. The Southfield property
sold in February 2015 and proceeds were applied to the loan in
March 2015. The remaining property, Ashwood, is an 8-story
multi-tenant office building and is part of a 40-acre mixed-use
development in Atlanta's northern suburbs. The loan transferred to
special servicing in March 2011 for imminent default and became REO
in July 2013. The asset was scheduled to be included in the
servicer's June General Auction.
The remaining ten specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $51.6 million loss
for the specially serviced loans (43% expected loss on average).
Moody's has assumed a high default probability for one poorly
performing loan and has estimated a loss of $4.8 million.
Moody's received full year 2015 operating results for 77% of the
pool, and full or partial year 2016 operating results for 32% of
the pool. Moody's weighted average conduit LTV is 93%, compared to
88% 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 15% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.7%.
Moody's actual and stressed conduit DSCRs are 1.40X and 1.38X,
respectively, compared to 1.48X and 1.35X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 23.8% of the pool balance.
The largest loan is the Reflections -- A Note Loan ($24.2 million
-- 10.5% of the pool), which is secured by two office properties,
totaling 188,000 SF in Reston, Virginia. The loan transferred to
special servicing in January 2013 for imminent default after both
properties became 100% vacant. The loan was modified in 2014 and
returned to the master servicer in March 2015. As part of the
modification, Reflections I and II were consolidated into one loan
with a $4.8 milion Hope Note, the term was increased by 32 periods
with an additional 152 IO periods, and a rate reduction. Both
buildings remain 100% vacant however, the loan remains current.
Moody's LTV and stressed DSCR are 117% and 0.97X, respectively,
unchanged from the last review.
The second largest loan is the Ball Corporation -- Warehouse
Facility Loan ($16.7 million -- 7.2% of the pool), which is secured
by a 577,000 SF warehouse/distribution facility in Ames, Iowa,
approximately 30 miles north of Des Moines. As of March 2016, the
property was 100% leased to three tenants, unchanged since
securitization. The second and third largest tenants have upcoming
lease expirations in December 2016. Moody's analysis accounts for
the potential upcoming vacancy. Moody's LTV and stressed DSCR are
129% and 0.80X, respectively, compared to 76% and 1.35X at the last
review.
The third largest loan is the Mounts Corner Shopping Center Loan
($14 million -- 6.1% of the pool), which is secured by a 76,000 SF
anchored retail shopping center built in 2005 and located in
Freehold, New Jersey. As of December 2015, the property was 100%
leased, unchanged from the prior three years. Approximately 26% of
the leases roll within the next two years. Moody's LTV and stressed
DSCR are 84% and 1.23X, respectively, compared to 106% and 0.97X at
the last review.
JP MORGAN 2006-LDP7: Moody's Cuts Rating on 3 Tranches to C
-----------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three classes
and downgraded the ratings on five classes in J.P. Morgan Chase
Commercial Mortgage Securities Corp. Series 2006-LDP7 as follows:
Cl. A-M, Affirmed A1 (sf); previously on Jun 5, 2015 Downgraded to
A1 (sf)
Cl. A-J, Downgraded to Caa1 (sf); previously on Jun 5, 2015
Downgraded to B1 (sf)
Cl. B, Downgraded to Caa3 (sf); previously on Jun 5, 2015
Downgraded to Caa1 (sf)
Cl. C, Downgraded to C (sf); previously on Jun 5, 2015 Downgraded
to Caa2 (sf)
Cl. D, Downgraded to C (sf); previously on Jun 5, 2015 Downgraded
to Caa3 (sf)
Cl. E, Downgraded to C (sf); previously on Jun 5, 2015 Affirmed Ca
(sf)
Cl. F, Affirmed C (sf); previously on Jun 5, 2015 Affirmed C (sf)
Cl. X, Affirmed Ca (sf); previously on Jun 5, 2015 Downgraded to Ca
(sf)
RATINGS RATIONALE
The rating on P&I class A-M was affirmed because the transaction's
key metrics, including Moody's loan-to-value (LTV) ratio, Moody's
stressed debt service coverage ratio (DSCR) and the transaction's
Herfindahl Index (Herf), are within acceptable ranges.
The rating on P&I class F was affirmed because the ratings are
consistent with Moody's expected loss.
The ratings on P&I classes A-J through E were downgraded due to an
increase in realized losses, as well as, Moody's anticipated losses
from troubled loans and loans in special servicing; Seven loans,
representing 32% of the pool are currently REO.
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.
JP MORGAN 2012-C8: DBRS Confirms 'Bsf' Rating on Class G Debt
--------------------------------------------------------------
DBRS Limited upgraded three classes of J.P. Morgan Chase Commercial
Mortgage Securities Trust 2012-C8, as follows:
-- Class B to AA (high) (sf) from AA (sf)
-- Class C to A (high) (sf) from A (sf)
-- Class EC to A (high) (sf) from A (sf)
In addition, DBRS has confirmed the remaining classes in the
transaction, as listed below:
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class D at BBB (high) (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
-- Class G at B (sf)
Class EC is exchangeable with Class A-S, Class B and Class C (and
vice versa). All trends are Stable.
The rating upgrades reflect the strong performance of the
transaction, which has experienced collateral reduction of 8.3%
since issuance, with 42 of the original 43 loans remaining in the
pool as of the June 2016 remittance report. One loan (Prospectus ID
#19, Wolf Creek Apartments Phase II) paid out in December 2015,
ahead of its scheduled maturity date in September 2017. Based on
the servicer’s reported figures, the transaction benefits from
strong overall credit metrics with a weighted-average (WA) DSCR of
1.80 times (x) and WA debt yield of 12.0%. These metrics compare
well with the issuance levels of 1.60x and 10.1%, respectively. The
performance for the largest 15 loans has also been quite strong
since issuance, with WA net cash flow (NCF) growth of 20.8% over
DBRS underwritten figures at YE2015 and a WA DSCR of 1.84x, up from
1.53x as based on the DBRS underwritten (UW) NCF figures.
The largest loan in the pool is Prospectus ID #1, Battlefield Mall
(11.8% of the pool). The collateral consists of the partial fee and
partial leasehold interest in 1.0 million square feet (sf) of a 1.2
million sf, single-level regional mall located in Springfield,
Missouri. The property’s tenancy comprises approximately 124
retailers and is anchored by Dillard’s, Dillard’s Men’s and
Home, JC Penney, Macy’s and Sears (not collateral). The mall was
originally developed in 1970, and was later renovated/expanded in
2006. Although the mall is located in a tertiary location, the
property benefits from its status as the only regional mall in the
area and strong sponsorship in Simon Property Group (Simon), the
largest owner/operator of mall properties in the United States.
According to the YE2015 operating statement analysis report, the
DSCR was 2.48x, compared to 1.96x at DBRS UW, and 2.39x at YE2014.
NCF experienced a +26.8% increase from DBRS UW, and a +3.8%
increase from YE2014 for the period.
As of the March 2016 rent roll, the collateral was 96.5% occupied,
compared to 97.8% at YE2014 and 98.0% at issuance. There is minimal
near-term rollover, as just 2.2% of the net rentable area (NRA) is
rolling by YE2016. There are two relatively near-term anchor
expiries for Macy’s, which is scheduled to expire in July 2017,
and Dillard’s, which is scheduled to expire in January 2018. The
remaining three anchor leases are scheduled for expiration between
2020 and 2022. According to the April 2016 tenant sales report,
in-line sales are projected to average approximately $399.00 per
square foot (psf) at YE2016, up from the YE2015 average of $394.00
psf and the average of $386.00 psf at issuance. Anchor sales are
projected to be relatively flat year over year for all anchors,
with the exception of Macy’s, whose sales are projected to be
$86.00 psf at YE2016, down from $98.00 psf at YE2015 and $123.00
psf at issuance. Sales for Dillard’s and Dillard’s Men’s and
Home are projected at $160.00 psf and $78.00 psf at YE2016, in line
with issuance levels. JC Penney sales are projected to end 2016 at
$133.00 psf, down from $183.00 psf at issuance.
As of the June 2016 remittance report, there are three loans on the
servicer’s watchlist, representing 3.0% of the pool balance. Two
of the loans, representing 2.3% of the pool balance, are on the
watchlist due to a low DSCR; however, one of those loans, Hillcrest
Shopping Center (Prospectus ID #31, 0.9% of the pool), showed a
drop in performance related to a temporary occupancy decline that
has since been recovered, with cash flows expected to return to
historical levels in the near term. The third loan on the
watchlist, Chenal Commons (Prospectus ID #39, 0.7% of the pool), is
being monitored for minor deferred maintenance issues noted in the
most recent inspection.
The largest loan on the watchlist is Prospectus ID #24, Challenger
South (1.37% of Pool). The collateral for the loan consists of a
146,591 sf industrial office center in Orlando, Florida. The
property was built in 2005 and renovated in 2007. The trust loan
refinanced existing debt for the sponsor, which developed the
property and retained $7.84 million in cash equity at closing. This
loan was placed on the watchlist with the low YE2014 DSCR of 0.85x,
the result of decreased occupancy at the property to approximately
59.0% from 81.8% at issuance. As of the February 2016 rent roll,
the property was 63.0% occupied, but the DSCR fell further, to
0.78x at YE2015, with average rental rates at $14.35 psf, down from
$15.98 psf at issuance. The most significant contributor to the
occupancy decline at the property was the loss of Carley
Corporation (23.5% of the NRA) at lease expiration in March 2014.
That space remains vacant as of the February 2016 rent roll, with
two smaller tenants combining for 8.1% of the NRA signed in April
and November 2015. According to CoStar, the property is located in
the University Research Market submarket, which showed an average
vacancy rate and availability rate for both office and industrial
properties of 5.4% and 6.4%, respectively, as of July 2016, with
average asking rental rates of $21.10 psf. In addition, occupancy
has been trending upward over the past five years in the submarket,
with a five-year average vacancy rate of 9.1%.
There is one loan, Main Street Tower (Prospectus ID #23, 1.4% of
the pool), in special servicing. This loan is secured by a 200,000
sf office property located in Norfolk, Virginia, and was
transferred to special servicing in January 2016 due to imminent
default, as two major tenants, representing 27.3% of the NRA,
vacated the property at YE2014 and the borrower was unable to
continue to fund debt service and reserve payment shortfalls out of
pocket. As of the June 2016 remittance report, the loan was due for
the April 2016 payment and all payments due thereafter. According
to the servicer’s analysis, the property was 65.6% occupied at
March 2016 with YE2015 DSCR of 0.79x, down from the DBRS UW figure
of 1.29x and the issuer’s UW figure of 1.39x. CoStar places the
property in the Downtown Norfolk submarket, which showed an average
vacancy rate and availability rate of 13.5% and 18.3%,
respectively, as of July 2016, with a five-year average vacancy
rate of 14.6%. According to the updated appraisal obtained by the
special servicer dated June 2016, the property’s value has
declined to $18.80 million ($93.39 psf), down from $23.40 million
($116.24 psf) at issuance, implying an LTV of approximately 77.1%
on the outstanding loan balance as of June 2016. According to Real
Capital Analytics, from June 2015, comparable office properties in
the Downtown Norfolk submarket have sold at price points ranging
between $71.00 psf to $171.00 psf, with a respective occupancy
range between 45% and 100%.
As part of the workout strategy, the special servicer has agreed to
a forbearance of rollover and leasing reserves of $65,000 per month
between January 2016 and June 2016 to enable the borrower to fund
operating expenses at the property and satisfy outstanding
payables. According to the servicer, the borrower has submitted
proposals to four prospective tenants to occupy the remainder of
the vacant space at the property. The status of those negotiations
is unknown and the servicer advises the borrower’s final workout
proposal is pending as well, with the servicer noting foreclosure
will be pursued if resolution is not achieved in the near term.
Given the property’s performance decline and payment delinquency,
DBRS has modeled this loan with a high probability of default and
an increased loss severity to account for the increased risk to the
trust.
JP MORGAN 2016-1: Fitch Assigns BB Rating on Cl. B-4 Certificates
-----------------------------------------------------------------
Fitch Ratings has assigned these ratings to J.P. Morgan Mortgage
Trust 2016-1 (JPMMT 2016-1):
-- $350,762,000 class A-3 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $350,762,000 class A-4 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $263,072,000 class A-5 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $263,072,000 class A-6 certificates 'AAAsf'; Outlook Stable;
-- $87,690,000 class A-7 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $87,690,000 class A-8 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $70,229,000 class A-9 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $70,229,000 class A-10 certificates 'AAAsf'; Outlook Stable;
-- $17,461,000 class A-11 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $17,461,000 class A-12 certificates 'AAAsf'; Outlook Stable;
-- $35,076,000 class A-13 exchangeable certificates 'AA+';
Outlook Stable;
-- $35,076,000 class A-14 certificates 'AA+sf'; Outlook Stable;
-- $350,762,000 class A-X-3 notional exchangeable certificates
'AAAsf'; Outlook Stable;
-- $263,072,000 class A-X-4 notional certificates 'AAAsf';
Outlook Stable;
-- $87,690,000 class A-X-5 notional exchangeable certificates
'AAAsf'; Outlook Stable;
-- $70,229,000 class A-X-6 notional certificates 'AAAsf';
Outlook Stable
-- $17,461,000 class A-X-7 notional certificates 'AAAsf';
Outlook Stable
-- $35,076,000 class A-X-8 notional certificates 'AA+sf;
Outlook Stable;
-- $4,952,000 class B-1 certificates 'AAsf'; Outlook Stable;
-- $9,285,000 class B-2 certificates 'Asf'; Outlook Stable;
-- $6,190,000 class B-3 certificates 'BBBsf'; Outlook Stable;
-- $3,095,000 class B-4 certificates 'BBsf'; Outlook Stable.
Fitch will not be rating these certificates:
-- $385,838,000 class A-1 exchangeable certificates;
-- $385,838,000 class A-2 exchangeable certificates;
-- $385,838,000 class A-X-1 notional certificates;
-- $385,838,000 class A-X-2 notional exchangeable certificates;
-- $3,301,428 class B-5 certificates.
KEY RATING DRIVERS
High-Quality Mortgage Pool (Positive): The collateral pool consists
of high-quality 30-year, fixed-rate, fully amortizing loans to
borrowers with strong credit profiles, low leverage and large
liquid reserves. The pool has a weighted average (WA) FICO score
of 763 and an original combined loan-to-value (CLTV) ratio of
73.3%. The collateral attributes of the subject pool are largely
consistent with recent JPMMT transactions issued in 2015.
Geographically Diverse Pool (Positive): The pool's primary
concentration risk is in California, where approximately 30% of the
collateral is located. Approximately 42% of the pool is located in
the top five regions in the subject pool (Atlanta, San Francisco,
Los Angeles, Seattle and New York). However, these concentrations
show significant improvement over many of the JPMMT deals rated by
Fitch in 2015, in which over 50% of the pool was concentrated in
California and over 80% in the top five regions. As a result, no
geographic concentration penalty was applied.
Straightforward Deal Structure (Positive): The mortgage cash flow
and loss allocation are based on a senior-subordinate,
shifting-interest structure, whereby the subordinate classes
receive only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps maintain subordination for a longer period should
losses occur later in the life of the deal. The applicable credit
support percentage feature redirects subordinate principal to
classes of higher seniority if specified credit enhancement (CE)
levels are not maintained. To mitigate tail risk, which arises as
the pool seasons and fewer loans are outstanding, a subordination
floor of 1.25% of the original balance will be maintained for the
senior certificates, with an additional subordination floor of
1.30% for the subordinate certificates. Additionally, there is no
early stepdown test that might allow principal prepayments to
subordinate bondholders earlier than the five-year lockout
schedule.
Leakage from Reviewer Expenses (Negative): The trust is obligated
to reimburse the breach reviewer, Pentalpha Surveillance LLC
(Pentalpha), each month for any reasonable out-of-pocket expenses
incurred if the company is requested to participate in any
arbitration, legal or regulatory actions, proceedings or hearings.
These expenses include Pentalpha's legal fees and other expenses
incurred outside its annual fee schedule and are not subject to a
cap or certificateholder approval.
Furthermore, certificateholders are obligated to pay Pentalpha a
termination fee of $140,000 to terminate the contract. While Fitch
accounted for the potential additional costs by upwardly adjusting
its loss estimation for the pool, Fitch views this construct as
adding potentially more ratings volatility than those that do not
have this type of provision.
Extraordinary Expense Adjustment (Negative): Extraordinary
expenses, which include loan file review costs, arbitration
expenses for enforcement of the reps and additional fees of
Pentalpha, will be taken out of available funds and not accounted
for in the contractual interest owed to the bondholders. This
construct can result in principal and interest shortfalls to the
bonds, starting from the bottom of the capital structure. To
account for the risk of these noncredit events reducing
subordination, Fitch adjusted its loss expectations upward by 40
bps at the 'AAAsf' level.
Tier 3 Representation and Warranty Framework (Negative): Fitch
believes the value of the rep and warranty framework is diluted by
the presence of qualifying and conditional language in conjunction
with sunset provisions, which reduces lender breach liability.
While Fitch believes the high credit-quality pool and clean
diligence results mitigate these risks, the agency considered the
weaker framework in its analysis.
RATING SENSITIVITIES
Fitch's analysis incorporates a sensitivity analysis to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at the MSA level. The implied rating sensitivities
are only an indication of some of the potential outcomes and do not
consider other risk factors that the transaction may become exposed
to or may be considered in the surveillance of the transaction.
Two sets of sensitivity analyses were conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20%, and 30%, in addition to the
model projected 5.8%. The analysis indicates that there is some
potential rating migration with higher MVDs, compared with the
model projection.
Fitch also conducted sensitivities to determine the stresses to
MVDs that would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'.
DUE DILIGENCE USAGE
Fitch was provided with due diligence information on 100% of the
loans in the collateral pool from AMC Diligence, LLC (AMC), Inglet
Blair LLC (Inglet Blair) and Opus Capital Markets Consultants
(Opus). Fitch received certifications indicating that the
loan-level due diligence was conducted in accordance with its
published standards for reviewing loans and in accordance with the
independence standards outlined in its criteria. While the
diligence results showed minimal findings, some exceptions were
noted. To account for these differences, Fitch adjusted the
original appraisal value for one loan (due to a property value
variance) to derive its loss expectations, which did not have a
material impact on the agency's initial projections. Fitch
believes the overall results of the review generally reflected
strong underwriting controls.
JP MORGAN 2016-1: Moody's Assigns Ba3 Ratings to Class B-4 Debt
---------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 26
classes of residential mortgage-backed securities (RMBS) issued by
J.P. Morgan Mortgage Trust 2016-1 (JPMMT 2016-1). The ratings range
from (P)Aaa (sf)-(P)Ba3 (sf).
The certificates are backed by one pool of prime quality, fixed
rate, first-lien mortgage loans, originated by various originators.
Seasoning of the pool is around 12 months. Wells Fargo Bank, N.A.
is the master servicer and U.S. Bank Trust National Association
will serve as the trustee.
The complete rating actions are as follows:
Issuer: J.P. Morgan Mortgage Trust 2016-1
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-5, Definitive Rating Assigned Aaa (sf)
Cl. A-6, Definitive Rating Assigned Aaa (sf)
Cl. A-7, Definitive Rating Assigned Aaa (sf)
Cl. A-8, Definitive Rating Assigned Aaa (sf)
Cl. A-9, Definitive Rating Assigned Aaa (sf)
Cl. A-10, Definitive Rating Assigned Aaa (sf)
Cl. A-11, Definitive Rating Assigned Aaa (sf)
Cl. A-12, Definitive Rating Assigned Aaa (sf)
Cl. A-13, Definitive Rating Assigned Aa1 (sf)
Cl. A-14, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-1, Definitive Rating Assigned Aaa (sf)
Cl. A-X-2, Definitive Rating Assigned Aaa (sf)
Cl. A-X-3, Definitive Rating Assigned Aaa (sf)
Cl. A-X-4, Definitive Rating Assigned Aaa (sf)
Cl. A-X-5, Definitive Rating Assigned Aaa (sf)
Cl. A-X-6, Definitive Rating Assigned Aaa (sf)
Cl. A-X-7, Definitive Rating Assigned Aaa (sf)
Cl. A-X-8, Definitive Rating Assigned Aa1 (sf)
Cl. B-1, Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Definitive Rating Assigned A2 (sf)
Cl. B-3, Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Definitive Rating Assigned Ba3 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected cumulative net loss on the aggregate pool is 0.50%
in a base scenario and reaches 5.25% at a stress level consistent
with the Aaa ratings.
The collateral quality for this transaction, by itself, is
consistent with other prime transactions that Moody's recently
rated. The Aaa Moody's Individual Loan Analysis (MILAN) credit
enhancement (CE), inclusive of concentration adjustments, for this
pool is 5.08%. Moody's increased MILAN model's CE by 0.17% for
qualitative factors and adjustments not factored in the model.
Loan-level adjustments included: adjustments to borrower
probability of default for higher and lower borrower DTIs, channel
of originations, self-employed borrowers, and at a pool level, for
the default risk of HOA properties in super lien states. The
adjustment to our Aaa stress loss above the model output also
includes adjustments related to servicers and originators
assessments, and representations and warranties framework. Moody's
based the MILAN model on stressed trajectories of home prices,
unemployment rates and interest rates, at a monthly frequency over
a 10-year period.
Collateral Description
The JPMMT 2016-1 transaction is a securitization of 581 first lien
residential mortgage loans with an unpaid principal balance of
$412,661,428. This transactions has a comparatively high seasoning
(12 months), low percentage (1.6%) of loans with prepayment penalty
and diversified geographical concentration. There are 15
originators in the transaction. The largest originators in the pool
by balance are New Penn Financial, LLC (19.69%), Primary Capital
Mortgage, LLC (13.00%), Homestreet Bank (11.13%), PHH Mortgage
Corporation( 10.55%) and Everbank (10.31%). No other single
originator was responsible for 10% or more of the aggregate pool
balance. There are 15 servicers that own the servicing rights of
the loans in the transaction: by principal balance, New Penn
Financial, LLC (19.69%), Primary Capital Mortgage (13.00%),
Homestreet Bank (11.13%), PHH Mortgage Corporation (10.55%) and
EverBank (10.31%). No other single servicer was responsible for 10%
or more of the aggregate pool balance.
Third-party Review and Reps & Warranties
Three third party due diligence firms verified the accuracy of the
loan-level information that the sponsor gave us. These firms
conducted detailed credit, collateral, and regulatory reviews on
100% of the mortgage pool. The TPR results indicated compliance
with the originators' underwriting guidelines for the vast majority
of loans, no material compliance issues (except for a few
TRID-related issues), and no appraisal defects. The loans that had
exceptions to the originators' underwriting guidelines had good
compensating factors and senior credit signoff. The originators and
the sellers have provided unambiguous representations and
warranties (R&Ws) including an unqualified fraud R&W. There is
provision for binding arbitration in the event of dispute between
investors and the R&W provider concerning R&W breaches.
Moody's said, “Although the TPR report identified
compliance-related exceptions relating to the TILA-RESPA Integrated
Disclosure (TRID) rule, we did not believe the majority to be
material because either the sponsor or originator corrected the
errors or the errors are of a type that would not likely lead to
damages for the RMBS trust. However, we found a few loans where the
TRID-related exception may lead to damages for the RMBS trust. For
3 loans where the TPR firm found a tolerance fee violation, the
originator did not provide the borrower with a corrected closing
disclosure, letter of explanation and refund within 60 days of
consummation. Due to the small number of affected loans and amount
of potential damages ($4,000 statutory damages per loan plus
attorney fees), our adjustment had a minimal impact on our credit
enhancement levels.”
Trustee and Master Servicer
The transaction trustee is U.S. Bank National Association. The
custodians functions will be performed by Wells Fargo Bank, N.A.
The paying agent and cash management functions will be performed by
Wells Fargo Bank, N.A., rather than the trustee. In addition, Wells
Fargo, as Master Servicer, is responsible for servicer oversight,
and termination of servicers and for the appointment of successor
servicers. In addition, Wells Fargo is committed to act as
successor if no other successor servicer can be found.
Tail Risk & Subordination Floor
The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to increased performance
volatility, known as tail risk. The transaction provides for a
credit enhancement floor of 1.25 % of the closing pool balance,
which mitigates tail risk by protecting the senior bonds from
eroding credit enhancement over time.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
JP MORGAN 2016-JP2: Fitch to Rate Class E Debt 'BB-sf'
------------------------------------------------------
Fitch Ratings has issued a presale report on J.P. Morgan Chase
Commercial Mortgage Securities Trust 2016-JP2 commercial mortgage
pass-through certificates
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $31,322,000 class A-1 'AAAsf'; Outlook Stable;
-- $16,213,000 class A-2 'AAAsf'; Outlook Stable;
-- $250,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $301,524,000 class A-4 'AAAsf'; Outlook Stable;
-- $58,379,000 class A-SB 'AAAsf'; Outlook Stable;
-- $734,921,000b class X-A 'AAAsf'; Outlook Stable;
-- $48,134,000b class X-B 'AA-sf'; Outlook Stable;
-- $77,483,000 class A-S 'AAAsf'; Outlook Stable;
-- $48,134,000 class B 'AA-sf'; Outlook Stable;
-- $41,090,000 class C 'A-sf'; Outlook Stable;
-- $86,876,000ab class X-C 'BBB-sf'; Outlook Stable;
-- $45,786,000a class D 'BBB-sf'; Outlook Stable;
-- $22,306,000a class E 'BB-sf'; Outlook Stable.
The following classes are not expected to be rated:
-- $17,610,000a class F;
-- $29,349,708a class NR.
a - Privately placed pursuant to Rule 144A.
b - Notional amount and interest-only.
The expected ratings are based on information provided by the
issuer as of July 4, 2016.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 47 loans secured by 78
commercial properties having an aggregate principal balance of
$939,196,709 as of the cut-off date. The loans were contributed to
the trust by JP Morgan Chase Bank, National Association, Benefit
Street Partners CRE Finance LLC, German American Capital
Corporation, and Starwood Mortgage Funding VI LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 72.9% of the properties
by balance and asset summary reviews and cash flow analysis of
83.5% of the pool.
KEY RATING DRIVERS
Leverage Lower than Recent Deals: The transaction has lower
leverage than other recent Fitch-rated transactions. The pool's
weighted average (WA) Fitch DSCR of 1.20x is better than both the
YTD 2016 average of 1.17x and the 2015 average of 1.18x. The pool's
WA Fitch LTV of 103.5% is better than both the YTD 2016 average of
107.9% and the 2015 average of 109.3%. Excluding the credit opinion
loan, The Shops at Crystals, the Fitch DSCR is 1.18x and the Fitch
LTV is 105.8%, which are still slightly better than recent
averages.
High-Quality Collateral: Fitch assigned property quality grades of
'A-' or better to 22.4% of the pool and 30.8% of the portion of the
pool that was inspected. Properties assigned 'B+' or higher total
56.3% of the pool, or 77.2% of the pool that was inspected.
Additionally, no properties were assigned property quality grades
below 'B-'.
Concentrated Pool with High SCI: The 10 largest loans account for
54.4% of the pool by balance. This is in line with the YTD 2016
average of 55.4% and greater than the 2015 average of 49.3%. The
pool's average concentration resulted in a loan concentration index
(LCI) of 401, which falls between the YTD 2016 average of 428, and
the 2015 average of 367. The sponsor concentration index (SCI) is
697, which is much higher than the YTD 2016 average of 491 and 2015
average of 410. Two sponsors, Simon Property Group and CIM
Commercial Trust Corporation, each compose more than 10% of the
pool at 11.8% and 10.8%, respectively.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 10.2% 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 JPMCC
2016-JP2 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 13.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from
Ernst & Young, LLP. The third-party due diligence information was
provided on Form ABS Due Diligence-15E and focused on a comparison
and re-computation of certain characteristics with respect to each
of the mortgage loans. Fitch considered this information in its
analysis and the findings did not have an impact on the analysis.
JPMCC 2016-JP2: DBRS Assigns Prov. B Rating to Class F Debt
-----------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2016-JP2 (the
Certificates) to be issued by JPMCC Commercial Mortgage Securities
Trust 2016-JP2. All trends are Stable.
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class X-C at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class F at B (low) (sf)
Classes X-C, D, E and F will be privately placed.
The X-A, X-B and X-C balances are notional. DBRS ratings on
interest-only (IO) certificates address the likelihood of receiving
interest based on the notional amount outstanding. DBRS considers
the IO certificate’s position within the transaction payment
waterfall when determining the appropriate rating.
The collateral consists of 47 fixed-rate loans secured by 78
commercial and multifamily properties, comprising a total
transaction balance of $939,196,709. The conduit pool was analyzed
to determine the provisional ratings, reflecting the long-term
probability of loan default within the loan term and its liquidity
at maturity. When the cut-off loan balances were measured against
the DBRS Stabilized net cash flow (NCF) and their respective actual
constants, there were seven loans, representing 17.0% of the pool,
with a DBRS Term debt service coverage ratio (DSCR) below 1.15
times (x), a threshold indicative of a higher likelihood of
mid-term default. Additionally, to assess refinance risk given the
current low interest rate environment, DBRS applied its refinance
constants to the balloon amounts.
This resulted in 20 loans, representing 52.8% of the pool, having
DBRS Refinance (Refi) DSCRs below 1.00x; however, the DBRS Refi
DSCRs for the loans are based on a weighted-average (WA) stressed
refinance constant of 9.41%, which implies an interest rate of
8.72%, amortizing on a 30-year schedule. This represents a
significant stress of 4.15% over the WA contractual interest rate
of the loans in the pool. The loans’ probability of default (POD)
is based on the more constraining of the
DBRS Term or Refi DSCR.
Eleven loans, comprising 45.5% of the pool, are located in urban
markets with increased liquidity that benefit from consistent
investor demand, even in times of stress. In addition, there are
only five loans, representing 4.1% of the pool, that are either
fully or primarily leased to a single tenant. Loans secured by
properties occupied by single tenants have been found to have
higher loss severities in the event of default. As such, DBRS
modeled single-tenant properties with a higher POD and cash flow
volatility compared with multi-tenant properties. Overall, the pool
exhibits a relatively strong DBRS WA Term DSCR of 1.51x based on
the whole-loan balances, indicating moderate term default risk.
Five loans, representing 25.6% of the pool, are structured with
full IO payments for the full term, including four of the top 15
loans, including the largest two loans in the pool (Opry Mills and
Center 21), representing 17.0% of the pool. An additional 20 loans,
representing 46.8% of the pool, have partial IO periods remaining,
ranging from ten to 59 months, including seven of the top 15 loans.
The DBRS Term DSCR is calculated by using the amortizing debt
service obligation, and the DBRS Refi DSCR is calculated
considering the balloon balance and lack of amortization when
determining refinance risk. DBRS determines POD based on the lower
of Term or Refi DSCR, so loans that lack amortization will be
treated more punitively. The pool has a high concentration of
properties that are securitized by assets that are fully or
primarily used as retail, representing 34.7% of the pool. The
retail sector has generally underperformed since the Great
Recession because of declining consumer spending power, store
closures, chain bankruptcies and the rapidly growing popularity of
ecommerce. According to the U.S. Census Bureau, ecommerce sales
represented 7.0% of total retail sales in 2015 compared with 3.9%
in 2009. As the ecommerce share of sales is expected to continue to
grow significantly in the coming years, the retail real estate
sector may continue to be relatively weak. DBRS considers 80.2% of
the pool’s retail loans to be secured by either anchored or
regional mall properties, which are more desirable and have shown
lower rates of default historically.
The DBRS sample included 29 of the 47 loans in the pool. Site
inspections were performed on 31 of the 78 properties in the pool
(73.5% of the allocated loan balance). DBRS conducted meetings with
the on-site property manager, leasing agent or a representative of
the borrowing entity for 65.4% of the pool. The DBRS average sample
NCF adjustment for the pool was -11.8% and ranged from -26.7% to
+8.9%. DBRS identified eight loans, representing 9.9% of the pool,
with unfavorable sponsor strength; however, none are in the top 15.
DBRS increased the POD for the loans with identified sponsorship
concerns.
One of the largest ten loans, The Shops at Crystals, exhibits
credit characteristics consistent with investment-grade shadow
ratings. The Shops at Crystals has credit characteristics
consistent with a BBB (high) shadow rating. This loan represents
5.3% of the pool.
The ratings assigned to the Certificates by DBRS are based
exclusively on the credit provided by the transaction structure and
underlying trust assets. All classes will be subject to ongoing
surveillance, which could result in upgrades or downgrades by DBRS
after the date of issuance.
JPMORGAN-CIBC 2006-RR1: Moody's Affirms Ca Rating on Cl. A-1 Debt
-----------------------------------------------------------------
Moody's Investors Service has affirmed the rating on the following
certificate issued by J.P. Morgan-CIBC Commercial Mortgage-Backed
Securities Trust 2006-RR1 ("JPMorgan-CIBC 2006-RR1"):
Cl. A-1, Affirmed Ca (sf); previously on Sep 10, 2015 Affirmed Ca
(sf)
RATINGS RATIONALE
Moody's has affirmed the ratings on the transaction because the key
transaction metrics are commensurate with existing ratings. The
affirmation is the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation (CRE CDO and
ReRemic) transactions.
JPMorgan-CIBC 2006-RR1 is a static cash re-Remic transaction backed
by a portfolio of commercial mortgage-backed securities (CMBS)
(100% of the collateral pool balance). As of the June 22, 2016
trustee report, the aggregate certificate balance of the
transaction, is $134.8 million, compared to $523.9 million at
issuance. The pay-down is directed to the senior-most class of
certificates due to full and partial amortization of the underlying
collateral. The senior-most class has also realized partial losses
due to asset liquidations within the underlying CMBS collateral.
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 8059,
compared to 6724 at last review. The current ratings on the
Moody's-rated collateral and the assessments of the non-Moody's
rated collateral follow: Aaa-Aa3 (2.7%, compared to 5.9% at last
review); A1-A3 (4.6%, compared to 3.8% at last review); Baa1-Baa3
(0.0%, compared to 1.7% at last review); Ba1-Ba3 (0.0%, compared to
737% at last review); B1-B3 (0.7%, compared to 0.6% at last
review); and Caa1-Ca/C (91.9%, compared to 80.3% at last review).
Moody's modeled a WAL of 1.0 year, compared to 1.6 years at last
review. The WAL is based on assumptions about extensions on the
look-through loan collateral.
Moody's modeled a fixed WARR of 0.0%, same as that at last review.
Moody's modeled a MAC of 99.9%, compared to 13.5% at last review.
The increase in MAC can be attributed to fewer collateral names
since last review and the deterioration of credit as evidenced by
WARF.
KVK CLO 2013-1: S&P Affirms BB Rating on Class E Notes
------------------------------------------------------
S&P Global Ratings affirmed its ratings on the class A, B, C, D,
and E notes from KVK CLO 2013-1 Ltd., a U.S. collateralized loan
obligation (CLO) that closed in February 2013 and is managed by
Kramer Van Kirk Credit Strategies LP.
The rating actions follow S&P's review of the transaction's
performance using data from the June 3, 2016, trustee report. The
transaction is scheduled to remain in its reinvestment period until
April 2017, and S&P anticipates that the manager will continue to
reinvest principal proceeds in line with the transaction documents.
Since the September 2013 trustee report, which S&P used for its
effective date analysis, the collateral portfolio's weighted
average life has decreased to 4.33 years from 5.57 years. This
positively affected the collateral pool's credit risk profile. In
addition, the amount of obligors in the portfolio has increased
during this period, which positively contributed to increased
portfolio diversification. Although the amount of 'CCC' rated and
defaulted assets have increased to $30.54 million and
$5.92 million, respectively, from $4.00 million and zero at the
effective date, these negative factors were offset mostly by the
portfolio's overall credit seasoning.
Since the September 2013 trustee report, the increase in defaults
has led to a decline in the overcollateralization (O/C) ratios. As
of the June 2016 trustee report, the O/C ratios were:
-- The class A/B O/C decreased to 134.23% from 135.47%.
-- The class C O/C decreased to 121.60% from 122.72%.
-- The class D O/C decreased to 114.13% from 115.19%.
-- The class E O/C decreased to 108.00% from 109.00%.
Although the transaction's negative aspects were offset by the
overall seasoning and positive portfolio credit quality migration,
any significant deterioration could negatively affect the deal in
the future, especially the junior tranches. As a result, even
though our cash flow analysis indicated higher ratings for the
class B, C, and D notes, S&P considered the above factors and other
stress tests to allow for volatility in the underlying portfolio,
given that the transaction is still in its reinvestment period, and
S&P affirmed its ratings on these classes at their current rating
levels. Additionally, even though the cash flow results indicated
a lower rating for the class E notes, S&P affirmed its 'BB (sf)'
rating on the class to account for its relatively stable O/C level
and collateral seasoning.
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 AND SENSITIVITY ANALYSIS
KVK CLO 2013-1 Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A AAA (sf) AAA (sf) 10.49% AAA (sf)
B AA (sf) AA+ (sf) 12.96% AA (sf)
C A (sf) AA- (sf) 0.55% A (sf)
D BBB (sf) BBB+ (sf) 5.63% BBB (sf)
E BB (sf) BB- (sf) 1.37% 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 scenarios in
which it made negative adjustments of 10% to the current collateral
pool's recovery rates relative to each tranche's weighted average
recovery rate.
S&P also generated other scenarios by adjusting the intra- and
inter-industry correlations to assess the current portfolio's
sensitivity to different correlation assumptions, assuming the
correlation scenarios outlined below.
Correlation
scenario Within industry (%) Between industries (%)
Below base case 15.0 5.0
Base case equals rating 20.0 7.5
Above base case 25.0 10.0
10% recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA (sf)
C AA- (sf) A+ (sf) A+ (sf) AA+ (sf) A (sf)
D BBB+ (sf) BBB- (sf) BBB+ (sf) A- (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 AA- (sf) A+ (sf) BBB+ (sf) A (sf)
D BBB+ (sf) BBB+ (sf) BB (sf) BBB (sf)
E BB- (sf) B+ (sf) CCC- (sf) BB (sf)
RATINGS AFFIRMED
KVK CLO 2013-1 Ltd.
Class Rating
A AAA (sf)
B AA (sf)
C A (sf)
D BBB (sf)
E BB (sf)
LANDMARK INFRASTRUCTURE: Fitch Corrects May 13 Release
------------------------------------------------------
Fitch Ratings corrected its release dated May 13, 2016 on LMRK
Issuer Co. LLC's Landmark Infrastructure Secured Tenant Site
Contract Revenue Notes, Series 2016-1, to reflect that the
following criteria reports were added: 'Counterparty Criteria for
Structured Finance and Covered Bonds', 'Criteria for Rating Caps
and Limitations in Global Structured Finance Transactions', and
'Rating Criteria for U.S. Commercial Mortgage Servicers.'
The revised release is as follows:
Fitch Ratings has issued a presale report for LMRK Issuer Co. LLC's
Landmark Infrastructure Secured Tenant Site Contract Revenue Notes,
Series 2016-1.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $103,900,000 series 2016-1, class A, 'A-sf'; Outlook Stable;
-- $29,200,000 series 2016-1, class B, 'BB-sf'; Outlook Stable.
The expected ratings are based on information provided by the
issuer as of May 5, 2016.
The transaction is an issuance of notes backed by mortgages
representing not less than 95% of the annualized net cash flow
(ANCF) and a pledge and a perfected first-priority security
interest in 100% of the equity interest of the issuer and the asset
entities and is guaranteed by the direct parent of LMRK Issuer Co.
LLC (LMRK, or the issuer).
The ownership interest in the sites consists of perpetual
easements, long-term easements, prepaid leases, and fee interests
in land, rooftops, or other structures on which site space is
allocated for placement and operation of wireless tower and
wireless communication equipment and outdoor advertisements
(billboards).
The ratings reflect a structured finance analysis of the cash flows
from the ownership interest in site assets, not an assessment of
the corporate default risk of the ultimate parent.
KEY RATING DRIVERS
Trust Leverage: Fitch's NCF on the pool is $14.4 million, implying
a Fitch stressed debt service coverage ratio (DSCR) of 1.22x
(inclusive of amortization credit). The debt multiple relative to
Fitch's NCF is 9.2x, which equates to a debt yield of 10.9%.
Long-Term Easements: The ownership interests in the sites consist
of 90.6% easements, 6.6% assignment of rents, and 2.9% fee. The
weighted average remaining life of the ownership interest is 79.7
years (assumes 99 years for perpetual easements and fee sites).
Billboard Assets: The transaction includes 167 billboard site
contracts (15.8% of revenue). The value of billboard assets is
heavily dependent on permits and licenses, which are controlled by
the billboard operator (not the owners of the ground/easement), and
thus, the ultimate recoverability of these assets is strongly
dependent on the billboard operator. Expenses associated with
permitting and constructing billboards are relatively high,
therefore the likelihood of renewing on ground leases is high.
Scheduled Amortization Paid Sequentially: The transaction is
structured with scheduled monthly principal payments that will
amortize down the principal balance 15% by the anticipated
repayment date (ARD) in year five, reducing the refinance risk.
RATING SENSITIVITIES
Fitch performed several stress scenarios in which Fitch's NCF was
stressed. Fitch determined that a 49% reduction in Fitch's NCF
would cause the notes to break even at 1x DSCR on an interest-only
basis.
Fitch evaluated the sensitivity of the ratings for series 2016-1
class A, and a 10% decline in NCF would result in a one-category
downgrade, while a 14% decline would result in a downgrade to below
investment grade. The Rating Sensitivity section in the presale
report includes a detailed explanation of additional stresses and
sensitivities.
There was one variation from the 'Criteria for Analyzing Large
Loans in U.S. Commercial Mortgage Transactions' related to the
leased fee collateral with billboard improvements, since the
criteria does not include billboards as a defined property type.
Fitch views the leased fee collateral with billboard improvements
to have characteristics consistent with assets addressed in the
'Criteria for Analyzing Large Loans in U.S. Commercial Mortgage
Transactions (August 2015)' including mortgaged real property with
full title insurance, commercial real estate leases to third
parties, durability of net cash flow, and structural features
(servicer advancing, lockbox, cash traps, etc.). In a worst case
scenario, the difference in ratings for the senior class would be
three rating notches lower if the leased fee billboard collateral
was excluded entirely, while the subordinate class would be
non-rated.
LB-UBS 2005-C2: Moody's Affirms Caa3 Rating on Cl. X-CL Debt
------------------------------------------------------------
Moody's Investors Service has affirmed the ratings of two classes
in LB-UBS Commercial Mortgage Trust, Commercial Mortgage
Pass-Through Certificates, Series 2005-C2 as follows:
Cl. E, Affirmed Ca (sf); previously on Jul 9, 2015 Downgraded to Ca
(sf)
Cl. X-CL, Affirmed Caa3 (sf); previously on Jul 9, 2015 Downgraded
to Caa3 (sf)
RATINGS RATIONALE
The rating on the P&I class, Class E, was affirmed because the
rating is consistent with Moody's expected loss.
The rating on the IO Class, Class X-CL, was affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of its referenced classes.
Moody's rating action reflects a base expected loss of 19.3% of the
current balance compared to 39.4% at Moody's prior review. Moody's
base expected loss plus realized losses is now 8.7% of the original
pooled balance compared to 8.9% at the prior review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
DEAL PERFORMANCE
As of the June 17, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $18.0 million
from $1.94 billion at securitization. The Certificates are
collateralized by 4 mortgage loans ranging in size from 5% to 56%
of the pool.
There are currently no loans on the master servicer's watchlist.
Thirty loans have been liquidated from the pool, resulting in an
aggregate realized loss to the trust of $165 million (34% loss
severity on average). One loan, representing 21% of the pool, is
currently in special servicing. The Dayton Mall Shoppes Loan ($3.8
million -- 21.2% of the pool), which is secured by a 25,000 square
foot (SF) retail strip center located in Miamisburg, Ohio. The loan
became REO in April of 2013 and has been deemed non-recoverable.
The servicer has already recognized a $2.9 million appraisal
reduction for this loan.
Moody's received full year 2015 operating results for 100% of the
pool and full or partial year 2014 operating results for 100% of
the pool. Moody's weighted average conduit LTV is 95% compared to
113% 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 18% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.3%.
The three remaining performing conduit loans represent 78.8% of the
pool balance. The largest loan is the Boulevard Shops Loan ($10.1
million -- 55.8% of the pool), which is secured by a 41,000 SF
two-building retail plaza in Laurel, Maryland. The property was 91%
leased as of March 2016, the same as the last review. Major tenants
of the retail plaza include Kabuto Japanese Seafood, Verizon
Wireless, and Sleepy's LLC. Performance has improved due to higher
revenues. Moody's LTV and stressed DSCR are 105% and 0.93X,
respectively, compared to 132% and 0.74X at the last review.
The second loan is the Smoky Hill Loan ($3.3 million -- 18.4% of
the pool), which is secured by a 20,047 SF retail property in
Centennial, Colorado. The property was 80% leased as of March 2016,
compared to 100% at the last review. Performance has declined due
to current vacancy. Moody's LTV and stressed DSCR are 77% and
1.20X, respectively, compared to 71% and 1.31X at the last review.
The third loan is Kmart - Parkersburg Loan ($0.8 million -- 4.6% of
the pool), which is secured by a single tenant retail property in
Parkersburg, West Virginia. The property is fully occupied by
K-Mart, which has a lease through December 2017. Moody's
incorporated a lit-dark analysis on this loan to account for single
tenant risk. Moody's LTV and stressed DSCR are 50% and 1.94X,
respectively, compared to 57% and 1.68X at the last review.
LB-UBS 2006-C4: Moody's Cuts Class X Debt Rating to Caa3(sf)
------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three
classes, upgraded the ratings on five classes and downgraded the
rating on one class in LB-UBS Commercial Mortgage Trust, Commercial
Mortgage Pass-Through Certificates, Series 2006-C4 as follows:
Cl. A-J, Upgraded to A2 (sf); previously on Aug 6, 2015 Affirmed
Ba2 (sf)
Cl. B, Upgraded to Baa1 (sf); previously on Aug 6, 2015 Affirmed
Ba3 (sf)
Cl. C, Upgraded to Baa3 (sf); previously on Aug 6, 2015 Affirmed B3
(sf)
Cl. D, Upgraded to B1 (sf); previously on Aug 6, 2015 Affirmed Caa1
(sf)
Cl. E, Upgraded to Caa1 (sf); previously on Aug 6, 2015 Affirmed
Caa2 (sf)
Cl. F, Affirmed Caa3 (sf); previously on Aug 6, 2015 Affirmed Caa3
(sf)
Cl. G, Affirmed Ca (sf); previously on Aug 6, 2015 Affirmed Ca
(sf)
Cl. H, Affirmed C (sf); previously on Aug 6, 2015 Affirmed C (sf)
Cl. X, Downgraded to Caa3 (sf); previously on Aug 6, 2015 Affirmed
Ba3 (sf)
RATINGS RATIONALE
The ratings on the P&I classes F, G, and H were affirmed because
the ratings are consistent with Moody's expected loss.
The ratings on the P&I classes A-J, B, C, D, and E were upgraded
based primarily on an increase in credit support resulting from
loan paydowns and amortization. The deal has paid down 89% since
Moody's last review.
The rating on the IO Class (Class X) was downgraded due to the
decline in the credit performance of its reference classes
resulting from principal paydowns of higher quality reference
classes.
Moody's rating action reflects a base expected loss of 18.9% of the
current balance, compared to 10.4% at Moody's last review. Moody's
base expected loss plus realized losses is now 7.5% of the original
pooled balance, compared to 10.5% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
DEAL PERFORMANCE
As of the June 17, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 92% to $161 million
from $1.98 billion at securitization. The certificates are
collateralized by 19 mortgage loans ranging in size from less than
1% to 41% of the pool, with the top ten loans constituting 82% of
the pool. One loan, constituting 1% of the pool, has defeased and
is secured by US government securities.
Four loans, constituting 14% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Thirty-six loans have been liquidated from the pool, resulting in
an aggregate realized loss of $118 million (for an average loss
severity of 54%). Twelve loans, constituting 72% of the pool, are
currently in special servicing. The largest specially serviced loan
is the Canyon Park Technology Center loan ($65.7 million -- 40.9%
of the pool), which is secured by a 904,000 square foot (SF),
14-building office park located in Orem, UT. The property is 81%
leased as of year-end 2015, compared to 83% leased at year-end
2014. The loan transferred to special servicing in April 2016 due
to maturity default, and the special servicer does not yet have a
strategy for this loan.
The remaining 11 specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $26.4 million loss
for the specially serviced loans (23% expected loss on average).
Moody's has assumed a high default probability for an additional
poorly performing loan, constituting 3% of the pool, and has
estimated an aggregate loss of $2 million (a 47% expected loss
based on a 75% probability default) from these troubled loans.
As of the June 17, 2016 remittance statement, cumulative interest
shortfalls were $5.3 million. Moody's anticipates interest
shortfalls will continue because of the exposure to specially
serviced loans and/or modified loans. Interest shortfalls are
caused by special servicing fees, including workout and liquidation
fees, appraisal entitlement reductions (ASERs), loan modifications
and extraordinary trust expenses.
Moody's received full year 2015 operating results for 100% of the
pool, and partial year 2016 operating results for 51% of the pool.
Moody's weighted average conduit LTV is 88%, compared to 100% 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 10% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.2%.
Moody's actual and stressed conduit DSCRs are 1.49X and 1.25X,
respectively, compared to 1.37X and 1.06X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 18% of the pool balance. The
largest loan is the Seven Corners Loan ($16.6 million -- 10% of the
pool), which is secured by a 70,000 SF unanchored retail center
located in Falls Church, VA. The property is 97% occupied as of
March 2016, compared to 100% at year-end 2015. The loan is due to
mature in June 2020.Moody's LTV and stressed DSCR are 76% and
1.25X, respectively, compared to 89% and 1.07X at the last review.
The second largest loan is the Dr.'s Medical Plaza Loan ($7.2
million -- 5% of the pool), which is secured by a 43,000 SF medical
office building located in Granada Hills, CA. The loan is currently
on the watchlist for low DSCR and for pending maturity on July 11,
2016. The master servicer has requested a payoff letter from the
borrower and is awaiting response. The property was 91% occupied as
of year-end 2015, compared to 83% the year prior. Moody's LTV and
stressed DSCR are 130% and 0.78X, respectively, compared to 115%
and 0.88X at the last review.
The third largest loan is the Arizona Self Storage Loan ($5.2
million -- 3% of the pool), which is secured by a 55,000 SF
self-storage and RV parking facility on 7.2 acres located in
Goodyear, AZ. The property was 90% occupied as of March 2016,
compared to 87% occupied at Moody's last review. The loan was
previously modified in 2011, extending loan maturity by 1 year, and
decreasing the interest rate to 4.5% until April 2014, and 5.0%
thereafter. The property has experienced an increase in property
taxes since Moody's last review, causing a decline in performance.
Moody's has identified this as a troubled loan.
LCM LP XIV: S&P Affirms BB Rating on Class E Notes
--------------------------------------------------
S&P Global Ratings affirmed its ratings on the class A, B, C, D, E,
and F notes from LCM XIV L.P., a cash flow collateralized loan
obligation(CLO) transaction managed by LCM Asset Management LLC.
The deal is currently in its reinvestment phase, which is scheduled
to end in July 2017.
The rating actions follow S&P's review of the transaction's
performance using data from the June 2016 trustee report. According
to the trustee report, this transaction has had stable performance
since S&P's effective date analysis, which was based off the July
2013 trustee report. The transaction continues to have
below-average exposure to issuers within distressed sectors.
The balance of assets rated 'CCC+' and below has increased, however
the balance of assets rated 'BB-' and above has also increased.
Defaults increased from none to $3.59 million resulting in a slight
decline in the overcollateralization (O/C) ratios over time. The
June 2016 trustee report indicated these O/C changes when compared
to the July 2013 report:
-- Class A/B O/C decreased to 128.87% from 129.05%;
-- Class C O/C decreased to 118.73% from 118.89%;
-- Class D O/C decreased to 112.38% from 112.53%;
-- Class E O/C decreased to 107.61% from 107.76%; and
-- Class F O/C decreased to 104.79% from 104.93%.
The affirmed ratings reflect adequate credit support at the current
rating levels. The cash flow results indicated higher ratings for
the class B, C, D and E notes; however, S&P affirmed its ratings on
these notes to maintain cushion as this deal will continue to
reinvest into 2017. The class F notes did not pass our cash flow
stresses at the current rating, though S&P do not believe this
tranche meets its criteria for assigning a 'CCC' rating. S&P
affirmed its rating on the class F note to reflect the
transaction's stable performance.
S&P's review of this transaction also relied in part upon a
criteria interpretation with respect to "CDOs: Mapping A Third
Party's Internal Credit Scoring System To Standard & Poor's Global
Rating Scale," published May 8, 2014, which allows S&P to use a
limited number of public ratings from other NRSROs for the purposes
of assessing the credit quality of assets not rated by S&P Global
Ratings.
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
LCM XIV L.P.
Cash flow
Current implied Cash flow Final
Class rating rating cushion(i) rating
A AAA (sf) AAA (sf) 13.18% AAA (sf)
B AA (sf) AA+ (sf) 10.95% AA (sf)
C A (sf) AA- (sf) 0.99% A (sf)
D BBB (sf) BBB+ (sf) 7.38% BBB (sf)
E BB (sf) BB+ (sf) 3.83% BB (sf)
F B (sf) CCC+ (sf) 1.64% 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 cash flow
implied rating for a given class of rated notes.
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 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA (sf)
C AA- (sf) A+ (sf) A+ (sf) AA+ (sf) A (sf)
D BBB+ (sf) BBB+ (sf) BBB+ (sf) A (sf) BBB (sf)
E BB+ (sf) BB- (sf) BB+ (sf) BB+ (sf) BB (sf)
F CCC+ (sf) CCC- (sf) CCC+ (sf) CCC+ (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 AA+ (sf) AA+ (sf) AA- (sf) AA (sf)
C AA- (sf) A+ (sf) BBB+ (sf) A (sf)
D BBB+ (sf) BBB+ (sf) BB+ (sf) BBB (sf)
E BB+ (sf) BB (sf) B- (sf) BB (sf)
F CCC+ (sf) CC (sf) CC (sf) B (sf)
RATINGS AFFIRMED
LCM XIV L.P.
Class Rating
A AAA (sf)
B AA (sf)
C A (sf)
D BBB (sf)
E BB (sf)
F B (sf)
MASTR ALTERNATIVE 2003-3: Moody's Cuts Cl. A-X Debt Rating to Caa1
------------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of three
tranches from MASTR Alternative Loan Trust 2003-3.
Complete rating actions are as follows:
Issuer: MASTR Alternative Loan Trust 2003-3
Cl. A-X, Downgraded to Caa1 (sf); previously on May 2, 2012,
Downgraded to B2 (sf)
Cl. B-1, Downgraded to Ba1 (sf); previously on June 26, 2013,
Downgraded to Baa1 (sf)
Cl. B-2, Downgraded to B3 (sf); previously on Oct. 4, 2015,
Downgraded to B1 (sf)
RATINGS RATIONALE
The rating actions on classes B-1 and B-2 are primarily based on
the correction of an error in the cash-flow model used by Moody's
in rating this transaction. In the prior modeling, the recovery
amount was incorrectly double-counted, thus overestimating the
amount of unscheduled principal distributable to the bonds. This
error has been corrected and today's downgrade actions on classes
B-1 and B-2 reflect the change, as well as the recent performance
of the underlying pools and Moody's updated loss expectation on the
pools. The rating action on class A-X is driven by the recent
performance of the underlying pools and reflects Moody's updated
loss expectation on the pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.9% in June 2016 from 5.3% in June
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.
MERRILL LYNCH 2007-C1: Fitch Affirms 'Dsf' Rating on 12 Tranches
----------------------------------------------------------------
Fitch Ratings has upgraded three and affirmed 18 classes of Merrill
Lynch Mortgage Trust commercial mortgage pass-through certificates,
series 2007-C1 (MLMT 2007-C1).
KEY RATING DRIVERS
The upgrades to classes A-3, A-3FL, and A-SB are the result of
increased defeasance since Fitch's last rating action; these
classes are expected to payoff from defeased collateral. The
affirmations reflect the relatively stable pool performance and the
sufficient credit enhancement relative to Fitch-modeled loss
expectations. Overall, Fitch's loss projections are relatively
unchanged since the last rating action. Fitch modeled losses of
24% of the remaining pool; expected losses on the original pool
balance total 22%, including $354.1 million (8.7% of the original
pool balance) in realized losses to date. Fitch has designated 71
loans (54%) as Fitch Loans of Concern, which includes 10 specially
serviced assets (28.6%). There are also 49 loans, representing 57%
of the pool balance that are interest only for the full term.
As of the June 2016 distribution date, the pool's aggregate
principal balance has been reduced by 44.7% to $2.24 billion from
$4.05 billion at issuance. Per the servicer reporting, 18 loans
(7.7% of the pool) are defeased. Interest shortfalls are currently
affecting classes AJ through Q.
The largest two contributors to expected losses are the
specially-serviced Empirian Multifamily Portfolio Pool 1 (13.1% of
the pool) and Pool 3 (10.7%) loans. Both loans were transferred
back to the special servicer in March 2016 due to Imminent Monetary
Default due to concerns over cash flow, required capital
expenditures, and value of the underlying collateral. Previously,
the loans were returned back to the master servicer in February
2013 after being modified. The modifications consisted of
bifurcating both loans into an A and a B note with a 70/30 split.
Pool 1 was originally secured by 78 multifamily properties (7,964
units) located across eight states. Pool 3 was originally secured
by 79 multifamily properties (6,864 units) located across eight
states. The borrower is permitted to release a limited amount of
properties from the portfolio prior to full payoff of the loans.
Pool 1 has released 38 properties while Pool 3 has released 44
properties to date. The properties within the two portfolios are
generally of class B and C collateral quality, many of which were
constructed in the 1980s and lack common amenities. Most of the
properties have significant deferred maintenance and only a small
amount of the required repair obligations have been completed on
the remaining portfolio. As of January 2016, the occupancy for
Pool 1 and Pool 3 were approximately 91% and 93%, representing an
increase from the 87% and 89% reported at year-end 2013. The
year-end 2015 net operating income (NOI) debt service coverage
ratio (DSCR) for Pool 1 is 1.47x and Pool 3 is 1.13x.
The next largest contributor to expected losses is the Office Max
Headquarters loan (2.2% of the pool). The interest-only loan is
secured by a five-story, 354,098 square foot (sf) single-tenanted
office property located in Naperville, IL. The property served as
the world headquarters for Office Max but is now 100% vacant.
Office Max's lease expires in May 2017 which is nearly coterminous
with the loan's maturity in July 2017. According to the servicer
there have been inquiries from potential tenants but a lease has
not been signed. Fitch will continue to monitor this loan to see
if it transfers to the special servicer.
RATING SENSITIVITIES
Rating Outlooks on classes A-3, A-3FL, and A-SB remain S table due
to the bonds being fully covered by defeased collateral. Classes
A-4 and A-1A remain Negative as downgrades are possible if losses
to the Empirian Portfolios or other large assets in pool increase.
Fitch will continue to monitor property releases from the Empirian
Portfolios and DRA Colonial Office Portfolio, paying attention to
the remaining collateral to ensure the asset quality and
performance reflects Fitch's views from the current review. The
distressed classes (those rated below 'B') are expected to be
subject to further downgrades as losses are realized on specially
serviced loans.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch upgrades these classes as indicated:
-- $10.5 million class A-3 to 'AAAsf' from 'Asf'; Outlook
Stable;
-- $4.2 million class A-3FL to 'AAAsf' from 'Asf'; Outlook
Stable;
-- $17.9 million class A-SB to 'AAAsf' from 'Asf'; Outlook
Stable.
Fitch affirms these classes as indicated:
-- $442.2 million class A-4 at 'Asf'; Outlook Negative;
-- $905.2 million class A-1A at 'Asf'; Outlook Negative;
-- $405 million class AM at 'CCCsf'; RE 85%;
-- $134.1 million class AJ at 'Csf'; RE 0%;
-- $85 million class AJ-FL at 'Csf'; RE 0%;
-- $86.1 million class B at 'Csf'; RE 0%;
-- $35.7 million class C at 'Dsf'; RE 0%;
-- $0 class D at 'Dsf'; RE 0%;
-- $0 class E at 'Dsf'; RE 0%;
-- $0 class F at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%.
The class A-1, A-2 and A-2FL certificates have paid in full. Fitch
does not rate the class Q and AJ-FX certificates. Fitch previously
withdrew the rating on the interest-only class X certificates.
ML-CFC 2006-4: Moody's Affirms B3 Rating on Cl. AJ Certificates
---------------------------------------------------------------
Moody's Investors Service has upgraded one class, affirmed the
ratings on ten classes and downgraded one class of ML-CFC
Commercial Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2006-4 as:
Cl. A-1A, Affirmed Aaa (sf); previously on Aug. 27, 2015,
Affirmed Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Aug. 27, 2015,
Affirmed Aaa (sf)
Cl. AM, Upgraded to Aa1 (sf); previously on Aug. 27, 2015,
Upgraded to Aa2 (sf)
Cl. AJ, Affirmed B3 (sf); previously on Aug. 27, 2015, Affirmed
B3 (sf)
Cl. AJ-FL, Affirmed B3 (sf); previously on Aug. 27, 2015,
Affirmed B3 (sf)
Cl. AJ-FX, Affirmed B3 (sf); previously on Aug. 27, 2015,
Affirmed B3 (sf)
Cl. B, Affirmed Caa1 (sf); previously on Aug. 27, 2015, Affirmed
Caa1 (sf)
Cl. C, Affirmed Caa2 (sf); previously on Aug. 27, 2015, Affirmed
Caa2 (sf)
Cl. D, Affirmed Caa3 (sf); previously on Aug. 27, 2015, Affirmed
Caa3 (sf)
Cl. E, Affirmed C (sf); previously on Aug. 27, 2015, Affirmed
C (sf)
Cl. F, Affirmed C (sf); previously on Aug. 27, 2015, Affirmed
C (sf)
Cl. XC, Downgraded to B3 (sf); previously on Aug. 27, 2015,
Downgraded to B2 (sf)
RATINGS RATIONALE
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 12% since Moody's last
review.
The ratings on ten P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The rating on the IO Class was downgraded due to a decline in the
credit performance (or the weighted average rating factor or WARF)
of its referenced classes.
Moody's rating action reflects a base expected loss of 8.6% of the
current balance compared to 8.8% at last review. The combined base
plus realized loss now totals 11.1% compared to 11.5% at last
review. Moody's provides a current list of base expected losses
for conduit and fusion CMBS transactions on moodys.com at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan 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 54 compared to 76 at last review.
DEAL PERFORMANCE
As of the June 13, 2015, distribution date, the transaction's
aggregate certificate balance has decreased by 52% to $2.18 billion
from $4.52 billion at securitization. The certificates are
collateralized by 185 mortgage loans ranging in size from less than
1% to 6% of the pool, with the top ten loans constituting 26% of
the pool. Thirty-one loans, constituting 17% of the pool, have
defeased and are secured by US government securities.
Sixty-five loans, constituting 35% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Fifty-four loans have been liquidated from the pool with
fifty-three of those loan liquidations resulting in an aggregate
realized loss of $316 million (for an average loss severity of
45%). Nine loans, constituting 6% of the pool, are currently in
special servicing. The largest specially serviced loan is the YPI
Transwestern Portfolio ($30.2 million -- 1.4% of the pool), which
consists of two cross-collateralized and cross-defaulted loans that
are secured by two suburban office properties located in Illinois.
Both properties are real estate owned (REO) and are being marketed
for sale.
The remaining eight specially serviced loans are secured by a mix
of property types. Moody's estimates an aggregate $84.5 million
loss for the nine specially serviced loans (64% expected loss on
average).
Moody's has assumed a high default probability for 21 poorly
performing loans, constituting 13% of the pool, and has estimated
an aggregate loss of $47.5 million (a 17% expected loss based on a
51% probability default) from these troubled loans.
Moody's received full year 2014 operating results for 92% of the
pool, full year 2015 operating results for 89% of the pool and
partial year 2016 operating results for 28% of the pool. Moody's
weighted average conduit LTV is 102%, compared to 105% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 11% 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 1.44X and 1.10X,
respectively, compared to 1.41X and 1.06X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 13% of the pool balance. The
largest loan is the Central Park Shopping Center ($125 million
-- 5.7% of the pool), which is secured by a retail property
located in Fredericksburg, Virginia. Property cash flows have
steadily improved since from 2012 through 2015. The property was
83% as of year-end 2015 compared to 84% leased at last review.
Moody's LTV and stressed DSCR are 137% and 0.71X, respectively, the
same as at last review.
The second largest loan is the Georgetown Renaissance Portfolio
($100 million -- 4.6% of the pool), which is secured by a portfolio
of 18 retail and mixed use properties located in the Washington, DC
market. Property cash flow increased between 2014 and 2015. As of
March 2016, the weighted average occupancy was 92% compared to 96%
as of December 2015. Moody's LTV and stressed DSCR are 65% and
1.48X, respectively, compared to 68% and 1.41X, respectively at
last review.
The third largest loan is the Anaheim Plaza Loan
($61.75 million -- 2.8% of the pool), which is secured by an
approximately 346,000 square foot (SF) retail property located in
Anaheim, California. Property cash flows have steadily increased
in recent years. The property was 92% leased as of March 2016
compared to 96% at December 2015 and December 2014. Moody's LTV
and stressed DSCR are 109% and 0.9X, respectively, compared to 121%
and 0.9X at the last review.
MORGAN STANLEY 2002-IQ3: Moody's Cuts Cl. X-1 Debt Rating to Caa3
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of two classes,
downgraded the rating of one class, and affirmed the ratings of two
classes in Morgan Stanley Dean Witter Capital I Trust, Commercial
Mortgage Pass-Through Certificates, 2002-IQ3 as follows:
Cl. F, Upgraded to Aaa (sf); previously on Oct 23, 2015 Upgraded to
Aa2 (sf)
Cl. G, Upgraded to Ba2 (sf); previously on Oct 23, 2015 Upgraded to
B1 (sf)
Cl. H, Affirmed C (sf); previously on Oct 23, 2015 Affirmed C (sf)
Cl. X-1, Downgraded to Caa3 (sf); previously on Oct 23, 2015
Affirmed Caa2 (sf)
Cl. X-Y, Affirmed Aaa (sf); previously on Oct 23, 2015 Affirmed Aaa
(sf)
RATINGS RATIONALE
The ratings on Classes F and G were upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 22% since Moody's last
review.
The rating on Class H was affirmed because the ratings are
consistent with Moody's expected loss. Class H has already
experienced a 92% realized loss as result of previously liquidated
loans.
The rating on one IO Class, Class X-1, was downgraded to the
decline in the credit performance of its reference classes
resulting from principal paydowns of higher quality reference
classes.
The rating on one IO Class, Class X-Y, was affirmed due to the
credit quality of its referenced loan. Class X-Y refers to the
residential cooperative loan in the pool that has defeased.
Moody's rating action reflects a base expected loss of 1.4% of the
current balance, compared to 2.4% at Moody's last review. Moody's
base expected loss plus realized losses is 4.8% of the original
pooled balance and remains unchanged since last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
DEAL PERFORMANCE
As of the June 15, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $17.4 million
from $909.6 million at securitization. The certificates are
collateralized by 32 mortgage loans ranging in size from less than
1% to 12% of the pool, with the top ten loans constituting 60% of
the pool. One loan, constituting 2% of the pool, has defeased and
is secured by US government securities.
Seventeen loans, constituting 44% 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.
Nine loans have been liquidated from the pool, resulting in an
aggregate realized loss of $44 million (for an average loss
severity of 53%). No loans are currently in special servicing.
Moody's received full year 2014 operating results for 96% of the
pool and full year 2015 operating results for 96% of the pool.
Moody's weighted average conduit LTV is 32%, compared to 31% at
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 12% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 10.1%.
Moody's actual and stressed conduit DSCRs are 1.39X and 5.36X,
respectively, compared to 1.48X and 4.38X 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 28% of the pool balance. The
largest loan is the Monroeville Giant Eagle Loan ($2.1 million --
12.0%), which is secured by an 89,000 SF Giant Eagle grocery store
located in Monroeville, Pennsylvania. Giant Eagle leases the entire
space through a triple net lease that expires in February 2019. The
loan is coterminous with Giant Eagle's initial lease term, but the
lease has two five-year extension options. This loan is fully
amortizing and has amortized 75% since securitization. Moody's LTV
and stressed DSCR are 21% and >4.0X, respectively, compared to
26% and 3.99X at last review.
The second largest loan is the Homewood Plaza Loan ($1.6 million --
9.4% of the pool), which is secured by a 53,110 SF office property
located Homewood, Alabama. The property was 95% occupied in March
2016 compared to 99% at last review. This loan is fully amortizing
and has amortized 52% since securitization. Moody's LTV and
stressed DSCR are 27% and 3.94X, respectively, compared to 26% and
4.09X at last review.
The third largest loan is the 4051 Douglas Boulevard Loan ($1.2
million -- 6.9% of the pool), which is secured by a 14,490 SF
Walgreens retail property located Granite Bay, California. This
loan is fully amortizing and has amortized 52% since
securitization. Moody's LTV and stressed DSCR are 37% and 3.09X,
respectively, compared to 43% and 2.65X at last review.
MORGAN STANLEY 2002-NC6: Moody's Hikes Cl. M-1 Debt Rating to Ba1
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 12 tranches
from seven transactions backed by Subprime RMBS loans, and issued
by Morgan Stanley.
Complete rating actions are:
Issuer: Morgan Stanley ABS Capital I Inc. 2002-NC6
Cl. M-1, Upgraded to Ba1 (sf); previously on April 25, 2014,
Upgraded to B1 (sf)
Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2001-AM1
Cl. M-1, Upgraded to Ba3 (sf); previously on Jan. 21, 2016,
Upgraded to Caa1 (sf)
Cl. M-2, Upgraded to Ca (sf); previously on March 15, 2011,
Downgraded to C (sf)
Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2002-AM2
Cl. M-1, Upgraded to Baa3 (sf); previously on March 25, 2016,
Upgraded to Ba1 (sf)
Cl. M-2, Upgraded to Caa2 (sf); previously on March 15, 2011,
Downgraded to Ca (sf)
Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2002-HE1
Cl. M-1, Upgraded to Ba1 (sf); previously on March 25, 2016,
Upgraded to Ba2 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on March 25, 2016,
Upgraded to Caa3 (sf)
Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2002-HE2
Cl. M-1, Upgraded to Ba1 (sf); previously on March 15, 2011,
Downgraded to B1 (sf)
Cl. M-2, Upgraded to B3 (sf); previously on Feb. 18, 2016,
Upgraded to Caa1 (sf)
Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2002-NC1
Cl. M-2, Upgraded to Ca (sf); previously on April 10, 2012,
Downgraded to C (sf)
Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2002-NC5
Cl. M-2, Upgraded to Caa1 (sf); previously on March 15, 2011,
Downgraded to Ca (sf)
Cl. M-3, Upgraded to Caa3 (sf); previously on March 15, 2011,
Downgraded to C (sf)
RATINGS RATIONALE
The ratings upgrades are due to the total credit enhancement
available to the bonds. The rating actions reflect the recent
performance of the underlying pools and Moody's updated loss
expectation on these 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 ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.9% in June 2016 from 5.3% in June
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.
MORGAN STANLEY 2005-HQ6: DBRS Cuts Class J Debt Rating to D(sf)
---------------------------------------------------------------
DBRS Limited downgraded the rating of the following class of
Commercial Mortgage Pass-Through Certificates, Series 2005-HQ6 (the
Certificates) issued by Morgan Stanley Capital I Trust 2005-HQ6:
-- Class J to D (sf) from C (sf)
In conjunction with this rating action, DBRS has removed the
Interest in Arrears designation for Class J.
The rating downgrade is the result of the most recent realized
losses to the trust, which were caused by the liquidation of four
of the remaining eight loans with the May 2016 and June 2016
remittances. The three loans that liquidated with the May 2016
remittance include the Shops at Lakeline Village (Prospectus
ID#112), the Town Centre Office and Executive Suites (Prospectus
ID#89) and the Tinley Crossings Corporate Center (Prospectus
ID#92), which were liquidated from the pool with individual trust
losses of approximately $0.58 million, $4.17 million and $2.18
million, respectively, or a cumulative loss to the trust of $6.93
million. The fourth and largest loan liquidated, County Line
Commerce Center (Prospectus ID#23), was disposed with the June 2016
remittance, incurring a realized loss to the trust of $18.8 million
and a loss severity of 88.8% on the outstanding trust balance.
These trust losses wiped the remaining balance on Class K and
reduced the principal balance on Class J by 26.8%. As of the June
2016 remittance, one of the remaining four loans is in special
servicing, with an outstanding principal balance of $8.88 million.
The County Line Commerce Center loan was secured by a multi-tenant
office/industrial complex located in Warminster, Pennsylvania,
approximately 50 miles northeast of Philadelphia. The loan
transferred to special servicing in March 2009 because of imminent
default and had been real-estate owned since September 2010. The
appraisal dated August 2015 valued the property at $9.6 million,
down from the $37.0 million at issuance. The value decline was
attributed to a variety of factors that included environmental
issues and soft market conditions. The trust loss was in line with
DBRS expectations for the four loans that liquidated in the last
few months, with a weighted-average loss severity of 73.5% as of
the June 2016 remittance.
MORGAN STANLEY 2007-IQ16: Fitch Affirms 'Dsf' Rating on 9 Tranches
------------------------------------------------------------------
Fitch Ratings has affirmed 20 classes of Morgan Stanley Capital I
Trust (MSC 2007-IQ16) commercial mortgage pass-through certificates
series 2007-IQ16.
KEY RATING DRIVERS
The affirmations reflect the overall stable performance of the
pool. Fitch modeled losses of 6.6% of the remaining pool; expected
losses on the original pool balance total 12.8%, including $217.9
million (8.4% of the original pool balance) in realized losses to
date. Fitch has designated 41 loans (14.2%) as Fitch Loans of
Concern, which includes six assets in special servicing (2.4%).
As of the June 2016 distribution date, the pool's aggregate
principal balance has been reduced by 33.1% to $1.74 billion from
$2.6 billion at issuance. Per the servicer reporting, 11 loans
(4.8% of the pool) are defeased. Interest shortfalls are currently
affecting class E.
Approximately, 99.5% of loans in the pool are scheduled to mature
in 2017, primarily concentrated in the third (56%) and fourth
quarter (34%). The pool has a high concentration of retail assets
(44.4% of the pool) including three regional enclosed malls (23%).
The malls' performance is stable, but each had occupancy declines
at the most recent reporting, two of which are detailed below.
The largest loan in the pool, West Town Mall (19.2% of pool), is
secured by a 760,760 sf enclosed regional mall in Knoxville, TN. As
of the March 2016 rent roll, property occupancy declined to 93%
from 97% at year-end (YE) 2015 with NOI DSCR decreasing to 1.73x
from 1.76x in the same period. The recent decline in occupancy
since YE 2015 is due to five in-line tenants vacating at their
scheduled lease expiration. The mall continues to face competition
from the nearby Turkey Creek retail development which is
approximately seven miles west of the subject property. Several
anchor tenants at the subject including Belk's, JCPenney and Regal
Cinema have a duplicate presence at the competing retail
development.
The fifth largest loan in the pool is secured by the Bangor Mall, a
536,299 sf enclosed regional mall in Bangor, ME. As of the YE 2015
rent roll, property occupancy declined to 95% from 98%
year-over-year with NOI DSCR decreasing to 1.83x from 1.93x.
Several tenants vacated at lease expiration in 2015 including
Hallmark, Gap and New York & Company. Although the mall has
limited direct department store competition in the surrounding
area, the mall has a tertiary location with declining anchor sales
coupled with near-term expirations.
The largest loan in special servicing is a portfolio of two retail
properties totaling 187,416 sf located in Barkhamsted and Meriden,
CT. The loan transferred to special servicing in 2012 due to
monetary default. Portfolio occupancy as of January 2016 declined
to 71% from 84% after Peebles vacated at lease expiration. An
environmental issue at the Barkhamsted property is being reviewed
by environmental counsel. The portfolio has upcoming rollover with
9% scheduled to expire in 2016 and an additional 11% in 2017. The
servicer is working with the borrower on a stipulated foreclosure.
RATING SENSITIVITIES
Rating Outlooks on classes A-1A through A-MA remain Stable due to
increasing credit enhancement and continued paydown of the classes.
Stable Outlooks on the A-M classes reflect stable performance of
the pool and sufficient credit enhancement given the large
concentration of maturities in 2017. Upgrades to the A-M classes
are possible should performance of the pool continue to trend
upward and a substantial portion of the pool successfully
refinances at maturity. The distressed classes (those rated below
'B-sf') are subject to further downgrades as losses are realized.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch affirms these classes:
-- $118.2 million class A-1A at 'AAAsf'; Outlook Stable;
-- $1.1 billion class A-4 at 'AAAsf'; Outlook Stable;
-- $194.7 million class A-M at 'Asf'; Outlook Stable;
-- $20 million class A-MFL at 'Asf'; Outlook Stable;
-- $44.9 million class A-MA at 'Asf'; Outlook Stable;
-- $131 million class A-J at 'CCCsf'; RE 85%;
-- $30 million class A-JFX at 'CCCsf'; RE 85%;
-- $33.7 million class A-JA at 'CCCsf'; RE 85%.
-- $19.5 million class B at 'CCsf'; RE 0%;
-- $26 million class C at 'Csf'; RE 0%;
-- $16.2 million class D at 'Csf'; RE 0%;
-- $38.5 million class E at 'Dsf'; RE 0%;
-- $6 million class F at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%.
Fitch does not rate the class O, P, Q and S certificates. Fitch
previously withdrew the ratings on the interest-only class X-1,
X-2, and A-JFL certificates. Classes A-1, A-2, and A-3 have paid
in full.
MORGAN STANLEY 2007-XLF: Moody's Affirms C Rating on Cl. N-HRO Debt
-------------------------------------------------------------------
Moody's Investors Service affirmed the ratings on three classes of
Morgan Stanley Capital I Inc Commercial Mortgage Pass-Through
Certificates Trust, Series 2007-XLF.
Moody's rating action is as follows:
Cl. D, Affirmed A1 (sf); previously on Sep 23, 2015 Affirmed A1
(sf)
Cl. M-HRO, Affirmed Ca (sf); previously on Sep 23, 2015 Affirmed Ca
(sf)
Cl. N-HRO, Affirmed C (sf); previously on Sep 23, 2015 Affirmed C
(sf)
RATINGS RATIONALE
The rating on one pooled class was affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio and Moody's stressed debt service coverage ratio (DSCR), are
within acceptable ranges. The affirmation of the two rake classes,
or non-pooled classes, are based on Moody's expected credit
performance of its referenced loan, the HRO Hotel Portfolio Loan.
Moody's does not rate pooled Classes E, F, G, H and J, and the
interest only class, Class X.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range 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, an increase in defeasance or
an improvement in loan performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the loan or higher interest
shortfalls.
DEAL PERFORMANCE
As of the June 15, 2016 payment date, the transaction's aggregate
certificate balance has decreased to approximately $120 million
from $140 million at the last review. The reduction in outstanding
balance came from paydowns and payoff of the La Mer Hotel Loan.
The only loan remaining in the pool, the HRO Hotel Portfolio Loan
($108 million plus $13 million of rake bonds), is secured by five
full-service hotels totaling 1,910 keys. The pooled portion of the
loan has paid down approximately 29% since securitization due to
the release of two properties, the Sheraton College Park (205
rooms) and the Sheraton Danbury (242 rooms) and pay downs. The $120
million whole loan includes non-pooled trust debt of $13 million,
certificate Classes M-HRO and N-HRO. The five remaining hotels are
branded as Westin, Sheraton, Hilton and Marriott. The loan matured
in October 2015, and transferred to special servicer for maturity
default.
The portfolio's net cash flow for the trailing twelve month period
ending February 2016 was $13.0 million. Moody's LTV for the pooled
debt is 97%, and Moody's stressed DSCR is 1.31X. Moody's Structured
Credit Assessment for this loan is ba3 (sca.pd). The trust has
experienced a total of approximately $52 million in cumulative
losses affecting Classes J, K, L, M-JPM, and N-HRO. And there are
outstanding interest shortfalls totaling $739,414 affecting Classes
H, J, L, M-HRO, and N-HRO.
MORGAN STANLEY 2008-TOP29: S&P Raises Rating on 3 Tranches to B-
----------------------------------------------------------------
S&P Global Ratings raised its ratings on 13 classes of commercial
mortgage pass-through certificates from Morgan Stanley Capital I
Trust 2008-TOP29, a U.S. commercial mortgage-backed securities
(CMBS) transaction. In addition, S&P affirmed its ratings on five
other classes from the same transaction.
S&P's rating actions on the principal- and interest-paying
certificates follow its analysis of the transaction, primarily
using its criteria for rating U.S. and Canadian CMBS transactions,
which included a review of the credit characteristics and
performance of the remaining assets in the pool, the transaction's
structure, and the liquidity available to the trust.
S&P's upgrades reflect its expectation of the available credit
enhancement for these classes, which S&P believes is greater than
its most recent estimate of necessary credit enhancement for the
respective rating levels. The upgrades also follow S&P's views
regarding the current and future performance of the transaction's
collateral and available liquidity support, as well as the
reduction in the trust balance.
The affirmations of S&P's ratings on the principal- and
interest-paying certificates reflect S&P's expectation that the
available credit enhancement for these classes will be within S&P's
estimate of the necessary credit enhancement required for the
current ratings. The affirmations also reflect S&P's views
regarding the current and future performance of the transaction’s
collateral, the transaction structure, and liquidity support
available to the classes. S&P has affirmed its ratings on the
class N and O notes due to their susceptibility to interest
shortfalls as all of the transaction's underlying loans mature in
2017 and 2018.
S&P affirmed its 'AAA (sf)' rating on the class X interest-only
(IO) certificates based on S&P's criteria for rating IO
securities.
TRANSACTION SUMMARY
As of the June 13, 2016, trustee remittance report, the collateral
pool balance was $897.3 million, which is 72.7% of the pool balance
at issuance. The pool currently includes 70 loans, down from 82
loans at issuance. No loans are with the special servicer. Two of
these loans have been defeased ($37.2 million, 4.1%), and 21 loans
($167.4 million, 18.7%) are on the master servicer's watchlist.
The master servicer, Wells Fargo Bank N.A., reported financial
information for 99.0% of the nondefeased loans in the pool, of
which 79.4% was partial or year-end 2015 data, and the remainder
was year-end 2014 data.
S&P calculated a 1.21x weighted-average debt service coverage ratio
(DSCR) and an 84.7% weighted-average loan-to-value (LTV) ratio,
using a 7.70% weighted-average capitalization rate. The DSCR, LTV,
and capitalization rate calculations exclude the two defeased loans
and one cooperative housing loan ($5.2 million, 0.6%). The top 10
nondefeased loans have an aggregate outstanding pool trust balance
of $494.9 million (55.2%). Using servicer-reported numbers, S&P
calculated a weighted-average DSCR and LTV ratio of 1.18x and
88.7%, respectively, for the top 10 nondefeased loans.
To date, the transaction has experienced $11.6 million in principal
losses, or 1.0% of the original pool trust balance.
RATINGS LIST
Morgan Stanley Capital I Trust 2008-TOP29
US$1.234 bil commercial mortgage pass-through certificates series
2008-TOP29
Rating Rating
Class Identifier To From
A-4 61757LAE0 AAA (sf) AA (sf)
A-4FL 61757LAK6 AAA (sf) AA (sf)
A-M 61757LAF7 A+ (sf) BBB+ (sf)
A-J 61757LAG5 BBB (sf) BB+ (sf)
B 61757LAL4 BBB- (sf) BB (sf)
C 61757LAM2 BB+ (sf) BB- (sf)
D 61757LAN0 BB (sf) B+ (sf)
E 61757LAP5 BB- (sf) B+ (sf)
F 61757LAQ3 B+ (sf) B (sf)
G 61757LAR1 B (sf) B- (sf)
H 61757LAS9 B- (sf) B- (sf)
J 61757LAT7 B- (sf) B- (sf)
K 61757LAU4 B- (sf) CCC+ (sf)
L 61757LAV2 B- (sf) CCC (sf)
M 61757LAW0 B- (sf) CCC (sf)
N 61757LAX8 CCC- (sf) CCC- (sf)
O 61757LAY6 CCC- (sf) CCC- (sf)
X 61757LAJ9 AAA (sf) AAA (sf)
MORGAN STANLEY 2012-C5: Moody's Affirms B1 Rating on Cl. X-C Debt
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on fifteen
classes in Morgan Stanley Bank of America Merrill Lynch Trust,
Commercial Mortgage Pass-Through Certificates, Series 2012-C5 as
follows:
Cl. A-2, Affirmed Aaa (sf); previously on Jul 10, 2015 Affirmed Aaa
(sf)
Cl. A-3, Affirmed Aaa (sf); previously on Jul 10, 2015 Affirmed Aaa
(sf)
Cl. A-4, Affirmed Aaa (sf); previously on Jul 10, 2015 Affirmed Aaa
(sf)
Cl. A-S, Affirmed Aaa (sf); previously on Jul 10, 2015 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa2 (sf); previously on Jul 10, 2015 Affirmed Aa2
(sf)
Cl. C, Affirmed A2 (sf); previously on Jul 10, 2015 Affirmed A2
(sf)
Cl. D, Affirmed Baa1 (sf); previously on Jul 10, 2015 Affirmed Baa1
(sf)
Cl. E, Affirmed Baa3 (sf); previously on Jul 10, 2015 Affirmed Baa3
(sf)
Cl. F, Affirmed Ba2 (sf); previously on Jul 10, 2015 Affirmed Ba2
(sf)
Cl. G, Affirmed Ba3 (sf); previously on Jul 10, 2015 Affirmed Ba3
(sf)
Cl. H, Affirmed B2 (sf); previously on Jul 10, 2015 Affirmed B2
(sf)
Cl. PST, Affirmed Aa3 (sf); previously on Jul 10, 2015 Affirmed Aa3
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on Jul 10, 2015 Affirmed Aaa
(sf)
Cl. X-B, Affirmed Aa2 (sf); previously on Jul 10, 2015 Affirmed Aa2
(sf)
Cl. X-C, Affirmed B1 (sf); previously on Jul 10, 2015 Affirmed B1
(sf)
RATINGS RATIONALE
The ratings on the P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on the IO classes were affirmed based on the credit
performance (or the weighted average rating factor) of the
referenced classes.
Moody's rating action reflects a base expected loss of 1.8% of the
current balance, compared to 1.7% at Moody's last review. Moody's
base expected loss plus realized losses is now 1.6% of the original
pooled balance, compared to 1.7% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
DEAL PERFORMANCE
As of the June 17, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 8.6% to $1.23
billion from $1.35 billion at securitization. The certificates are
collateralized by 69 mortgage loans ranging in size from less than
1% to 13.9% of the pool, with the top ten loans constituting over
53% of the pool. One loan, constituting 8.1% of the pool, has an
investment-grade structured credit assessment. Four loans,
constituting 7% of the pool, have defeased and are secured by US
government securities.
Six loans, constituting 4% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Moody's received full year 2015 operating results for 90% of the
pool, and full year 2014 operating results for 91% of the pool.
Moody's weighted average conduit LTV is 93%, unchanged from Moody's
prior 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 9.3%.
Moody's actual and stressed conduit DSCRs are 1.52X and 1.14X,
respectively, compared to 1.53X and 1.13X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The loan with a structured credit assessment is the Silver Sands
Factory Stores Loan ($100 million -- 8.1% of the pool), which is
secured by an outlet center located in Miramar Beach, Florida. As
of March 2016, the property was 94% leased, compared to 100% in
December 2014. Moody's structured credit assessment and stressed
DSCR are aa3 (sca.pd) and 1.61X, respectively.
The top three conduit loans represent 27% of the pool balance. The
largest loan is the Legg Mason Tower Loan ($172.5 million -- 13.9%
of the pool), which is secured by a 613,000 SF, 24-story Class A
office building located along the Inner Harbor waterfront in
downtown Baltimore, Maryland. The improvements were constructed in
2009 and consist of a 24-story high rise office building, 19,000 SF
of ground floor retail space and a 5-level subterranean garage
containing 1,145 parking spaces. As of December 2015, the property
was 96% leased, compared to 87% in December 2014 and 85% at
securitization. Performance fell slightly in 2015 due to an
increase in operating expenses. Moody's LTV and stressed DSCR are
94% and 1.04X, respectively, compared to 96% and 1.02X at the last
review.
The second largest loan is the US Bank Tower Loan ($84.3 million --
6.8% of the pool), which is secured by a 520,000 SF, Class A office
building located in the central business district of Denver,
Colorado. The 26-story office building is situated above a
two-level subterranean parking garage, an adjacent six-level
parking garage, as well as ground floor retail. As of December
2015, the property was 78% leased, compared to 81% in December 2014
and 89% at securitization. There is significant rollover risk by
2017 when approximately 56% of current leases expire, including the
largest tenant, US Bank (28% of net rentable area), whose lease
expires in December 2016. In January 2016, a cash management sweep
was triggered due to US Bank not renewing within twelve months of
lease expiration. Lease renewal discussions are ongoing. Moody's
LTV and stressed DSCR are 111% and 0.90X, respectively, compared to
107% and 0.94X at the last review.
The third largest loan is the Hamilton Town Center Loan ($82.5
million -- 6.7% of the pool), which is secured by a 494,000 SF
component of a larger 671,000 SF retail lifestyle center located 20
miles north east of Indianapolis in Noblesville, Indiana. The
property is sponsored by Simon Property Group and is anchored by a
JC Penney and an IMAX Theatre, neither tenant serves as part of the
loan collateral. As of December 2015, the property was 93% leased,
compared to 91% in September 2014 and 89% at securitization. As of
December 2015, comparable inline sales were $347 per square foot
(PSF), up from $303 PSF in 2011. Moody's LTV and stressed DSCR are
84% and 1.19X, respectively, compared to 87% and 1.15X at the last
review.
MORGAN STANLEY 2012-C6: Moody's Affirms B2 Rating on Class H Debt
-----------------------------------------------------------------
Moody's Investors Service affirmed the ratings on fifteen classes
in Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 as
follows:
Cl. A-2, Affirmed Aaa (sf); previously on Aug 14, 2015 Affirmed Aaa
(sf)
Cl. A-3, Affirmed Aaa (sf); previously on Aug 14, 2015 Affirmed Aaa
(sf)
Cl. A-4, Affirmed Aaa (sf); previously on Aug 14, 2015 Affirmed Aaa
(sf)
Cl. A-S, Affirmed Aaa (sf); previously on Aug 14, 2015 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa2 (sf); previously on Aug 14, 2015 Affirmed Aa2
(sf)
Cl. C, Affirmed A2 (sf); previously on Aug 14, 2015 Affirmed A2
(sf)
Cl. D, Affirmed Baa1 (sf); previously on Aug 14, 2015 Affirmed Baa1
(sf)
Cl. E, Affirmed Baa3 (sf); previously on Aug 14, 2015 Affirmed Baa3
(sf)
Cl. F, Affirmed Ba2 (sf); previously on Aug 14, 2015 Affirmed Ba2
(sf)
Cl. G, Affirmed Ba3 (sf); previously on Aug 14, 2015 Affirmed Ba3
(sf)
Cl. H, Affirmed B2 (sf); previously on Aug 14, 2015 Affirmed B2
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on Aug 14, 2015 Affirmed Aaa
(sf)
Cl. X-B, Affirmed A1 (sf); previously on Aug 14, 2015 Affirmed A1
(sf)
Cl. X-C, Affirmed B2 (sf); previously on Aug 14, 2015 Affirmed B2
(sf)
Cl. PST, Affirmed Aa3 (sf); previously on Aug 14, 2015 Affirmed Aa3
(sf)
RATINGS RATIONALE
The rating on the P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on the IO classes, X-A, X-B, and X-C, were affirmed
based on the credit performance (or the weighted average rating
factor or WARF) of their referenced classes.
The rating on the PST Class was affirmed based on the credit
performance (or the weighted average rating factor or WARF) of its
referenced classes.
Moody's rating action reflects a base expected loss of 2.3% of the
current balance, the same as at Moody's last review. Moody's base
expected loss plus realized losses is now 2.1% of the original
pooled balance, compared to 2.2% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
DEAL PERFORMANCE
As of the June 17, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 6.4% to $1.05
million from $1.07 million at securitization. The certificates are
collateralized by 57 mortgage loans ranging in size from less than
1% to 11.9% of the pool, with the top ten loans constituting 54% of
the pool. Two loans, constituting 4.8% of the pool, have defeased
and are secured by US government securities.
Five loans, constituting 14.9% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
No loans have been liquidated from the pool, and no loans are
currently in special servicing. Moody's has assumed a high default
probability for one poorly performing loans, constituting 1.3% of
the pool, and has estimated an aggregate loss of $2.01 million (an
15% expected loss based on a 50% probability default) from these
troubled loans.
Moody's received full year 2014 operating results for 100% of the
pool and full or partial year 2015 operating results for 98% of the
pool. Moody's weighted average conduit LTV is 84.1%, compared to
88.4% at Moody's last review. Moody's conduit component excludes
loans with structured credit assessments, defeased and CTL loans,
and specially serviced and troubled loans. Moody's net cash flow
(NCF) reflects a weighted average haircut of 14.6% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.7%.
Moody's actual and stressed conduit DSCRs are 1.90X and 1.28X,
respectively, compared to 1.81X and 1.20X 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 26% of the pool balance. The
largest loan is the 1800 Broadway/15 Central Park West Retail Loan
($125 million -- 11.9% of the pool), which is secured by a 84,240
square foot (SF), four-level (two below grade), multi-tenant retail
condominium unit located on the Upper West Side of Manhattan in New
York City. The property has approximately 232 feet of frontage
along the east side of Broadway. As of March 2016, the property was
100% occupied by four tenants, the same as at Moody's last review.
The loan is interest only for its entire term. Moody's LTV and
stressed DSCR are 93.6% and 0.92X, respectively, the same as at
Moody's last review.
The second largest loan is the Chelsea Terminal Building Loan ($75
million -- 7.1% of the pool), which is secured by a 1.05 million
square foot (SF) mixed-use facility located in Chelsea, New York
City, consisting of 25 interconnected 7 to 9-story commercial
buildings originally constructed as warehouses and distribution
centers. Approximately 50% of the NRA is utilized as a Chelsea
Mini-Storage self-storage facility, 22% used as office, 16% as
general warehouse, 8% as retail, and 4% as miscellaneous storage.
The facility suffered some structural damage as a result of
Hurricane Sandy. The borrower has completed the insurance loss
repairs. The property was 93% occupied as of June 2016, compared to
89% occupied in December 2014. The loan is interest only for its
entire term. Moody's LTV and stressed DSCR are 72.6% and 1.26X,
respectively, compared to 78.6% and 1.17X at Moody's last review.
The third largest loan is the Hyatt Regency Austin Loan ($72.8
million -- 6.9% of the pool), which is secured by a 448-room
full-service hotel located on Lady Bird Lake in Austin, Texas. The
property was constructed in 1982 and most recently renovated in
2008. The property has operated as a Hyatt branded hotel since it
was built and is subject to a management agreement with the Hyatt
Corporation that expires on January 1, 2027. Revenue per available
room (RevPAR) was $162.35 for 2015, compared to $163.05 for 2014
and $140.16 in 2013. The loan had an initial 12-month interest-only
period, and is currently amortizing on a 30-year schedule. Moody's
LTV and stressed DSCR are 87.1% and 1.37X, respectively, compared
to 82.9% and 1.43X at Moody's last review.
MORGAN STANLEY 2013-C12: Fitch Affirms B- Rating on Class G Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Morgan Stanley Bank of
America Merrill Lynch Trust (MSBAM) commercial mortgage
pass-through certificates series 2013-C12.
KEY RATING DRIVERS
The affirmations reflect the overall stable performance of the
pool. The pool-wide net operating income (NOI) has increased by
9.6% from issuance. The pool has experienced no realized losses to
date. Four loans (3.7% of the pool) appear on the servicer
watchlist; three loans are due to minor deferred maintenance; the
other loan is due to a decrease in the debt service coverage ratio
(DSCR). None of the watchlist loans are deemed to be Fitch Loans
of Concern and they all remain current.
As of the June 2016 distribution date, the pool's aggregate
principal balance has been reduced by 3% to $1.24 billion from
$1.28 billion at issuance. Per the servicer reporting, two loans
(1.2% of the pool) are defeased. Interest shortfalls are currently
affecting class H.
The largest loan (10.3% of the pool) is secured by a 408,996 square
foot (sf) retail outlet center located in Merrimack, NH. The
collateral includes a Saks Fifth Avenue OFF 5TH (6.85% of net
rentable area [NRA]), Bloomingdales The Outlet Store (5.85% of
NRA), Polo Ralph Lauren (3.86% of NRA), Nike Factory Store (3.18%
of NRA) and Gap Outlet Store (2.57% of NRA). The property was
completed in June 2012 and is sponsored by Simon Property Group.
The YE 2015 DSCR was reported to be 2.47x, which is down slightly
from 2.79x reported for YE 2014 due to the loan starting to
amortize. Occupancy was reported to be 100% as of YE 2015, in line
with occupancy at issuance.
The next largest loan (6.9% of the pool) is secured by a leasehold
interest in 15 MetroTech Center, a 19-story, class A office tower
located in Downtown Brooklyn, NY. The property consists of 649,492
sf, including 642,734 sf of office space, 6,758 sf of ground-floor
retail space and 113 below-grade parking spaces. The property was
built in 2003 and is one of the newest buildings in MetroTech
Center. The loan is sponsored by Forest City Enterprises, Inc.,
which developed the property in 2003. The property is subject to a
99-year ground lease from the City of New York, which commenced on
Dec. 31, 2001. Approximately 97% of the NRA is leased to
investment-grade tenants, including WellPoint Holding Corp. (60.4%
of NRA; rated 'BBB+') and the City of New York (36.3% of NRA; rated
'AA'). The WellPoint lease (60% of NRA) expires in June 2020, and
the tenant is expected to vacate upon lease expiration, as most of
its space is currently subleased. A reserve was created at closing
to sweep 100% of excess cash flow, subject to a cap of $4.4 million
per year, to fund re-tenanting costs associated with the Wellpoint
lease. Performance at the property has been stable. The servicer
reported DSCR at YE 2015 was 1.71x compared to 1.51x at issuance.
Servicer reported occupancy was 100% as of the same period compared
to 97.8% at issuance.
The third largest loan (6.5% of the pool) is secured by City Creek
Center, a 626,034 sf, two-story, urban retail and lifestyle center
constructed in 2012 (of which 348,637 sf is collateral for the
loan) in downtown Salt Lake City, Utah. The property is anchored
by Macy's and Nordstrom (both of which are non-collateral), with
major tenants including Forever 21, H&M, The Gap, Anthropologie,
The Cheesecake Factory, Love Culture, and Restoration Hardware.
Notable in-line tenants include Apple, Microsoft, Tiffany and
Rolex. In-line sales (excluding Apple) for YE 2015 have decreased
to $475/ft. compared to $491/ft. reported at issuance. However,
occupancy as of YE 2015 was reported to be 100%, which is up from
97% at issuance. The DSCR as of the same period was 1.84x.
There were four variances from criteria related to classes B, C, D
and E. The surveillance criteria indicated that rating upgrades
were possible for these classes. However, Fitch has determined
that rating upgrades are not warranted at this time as there has
been no material improvement to the performance of the pool since
issuance and no significant increase in credit enhancement.
RATING SENSITIVITIES
Rating Outlooks on classes A-1 through G remain Stable due to
overall stable collateral performance. No rating changes are
expected in the next few years unless a material economic or asset
level event changes the underlying 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 as indicated:
-- $41.9 million class A-1 at 'AAAsf'; Outlook Stable;
-- $161.2 million class A-2 at 'AAAsf'; Outlook Stable;
-- $107.2 million class A-SB at 'AAAsf'; Outlook Stable;
-- $260 million class A-3 at 'AAAsf'; Outlook Stable;
-- $284.7 million class A-4 at 'AAAsf'; Outlook Stable;
-- $105.3 million class A-S at 'AAAsf'; Outlook Stable;
-- $75 million class B at 'AA-sf'; Outlook Stable;
-- $232.9 million class PST* at 'A-sf'; Outlook Stable;
-- $52.6 million class C at 'A-sf'; Outlook Stable;
-- $52.6 million class D at 'BBB-sf'; Outlook Stable;
-- $19.1 million class E at 'BB+sf'; Outlook Stable;
-- $20.7 million class F at 'BB-sf'; Outlook Stable;
-- $14.4 million class G at 'B-sf'; Outlook Stable;
-- $960.3 million class X-A at 'AAAsf'; Outlook Stable.
* Class A-S, class B, and class C certificates may be exchanged for
class PST certificates, and class PST certificates may be exchanged
for class A-S, class B, and class C certificates.
Fitch does not rate the class H certificates or the interest only
class X-C certificates.
MOUNTAIN CAPITAL VI: Moody's Affirms B1 Rating on Class E Notes
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on these notes
issued by Mountain Capital CLO VI Ltd.:
$18,000,000 Class C Floating Rate Mezzanine Deferrable Notes Due
April 25, 2019, Upgraded to Aaa (sf); previously on Oct. 15,
2015, Upgraded to Aa1 (sf)
$15,000,000 Class D Floating Rate Mezzanine Deferrable Notes Due
April 25, 2019, Upgraded to A3 (sf); previously on Oct. 15,
2015, Upgraded to Baa3 (sf)
Moody's also affirmed the ratings on these notes:
$301,500,000 Class A Floating Rate Senior Notes Due April 25,
2019 (current outstanding balance of 34,894,346.06), Affirmed
Aaa (sf); previously on Oct. 15, 2015, Affirmed Aaa (sf)
$24,000,000 Class B Floating Rate Senior Notes Due April 25,
2019, Affirmed Aaa (sf); previously on Oct.15, 2015, Affirmed
Aaa (sf)
$11,000,000 Class E Floating Rate Junior Deferrable Notes Due
April 25, 2019, (current outstanding balance of
$10,098,829.49), Affirmed B1 (sf); previously on Oct. 15, 2015,
Affirmed B1 (sf)
Mountain Capital CLO VI Ltd., issued in March 2007, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans. The transaction's reinvestment period ended
in April 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 October 2015. Since then,
the Class A notes have been paid down by approximately 47% or
$31.1 million. Based on the Trustee's June 2016 report, the OC
ratios for the Class A/B, Class C, and Class D notes are reported
at 180.97%, 138.61%, and 115.98%, respectively, versus October 2015
levels of 155.18%, 129.31%, and 113.54%, respectively.
The portfolio includes a number of investments in securities that
mature after the notes do. Based on Moody's calculation,
securities that mature after the notes do currently make up
approximately 12.7% of the portfolio. These investments could
expose the notes to market risk in the event of liquidation when
the notes mature.
Additionally, the percentage of CLO collateral with lowest credit
quality, or Caa1 and below rated collateral (Caa collateral), has
increased since October 2015. Based on Moody's calculations, which
include adjustments for ratings with a negative outlook and ratings
on watch for downgrade, Caa collateral has increased to 20.02%,
compared to 14.4% in October 2015.
Methodology Used for the Rating Action
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2015.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy
and b) the large concentration of upcoming speculative-grade
debt maturities, which could make refinancing difficult for
issuers.
2) Collateral Manager: Performance can also be affected
positively or negatively by a) the manager's investment
strategy and behavior and b) differences in the legal
interpretation of CLO documentation by different
transactional parties owing to embedded ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current
expectations, can lead to positive CLO performance.
Conversely, a negative shift in credit quality or performance
of the collateral can have adverse consequences for CLO
performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled
principal proceeds will continue and at what pace.
Deleveraging of the CLO could accelerate owing to high
prepayment levels in the loan market and/or collateral sales
by the manager, which could have a significant impact on the
notes' ratings. Note repayments that are faster than Moody's
current expectations will usually have a positive impact on
CLO notes, beginning with those with the highest payment
priority.
5) Recovery of defaulted assets: Fluctuations in the market
value of defaulted assets reported by the trustee and those
that Moody's assumes as having defaulted could result in
volatility in the deal's OC levels. Further, the timing of
recoveries and whether a manager decides to work out or sell
defaulted assets create additional uncertainty. Moody's
analyzed defaulted recoveries assuming their current market
price. Realization of higher than assumed recoveries would
positively impact the CLO.
6) Long-dated assets: The presence of assets that mature after
the CLO's legal maturity date exposes the deal to liquidation
risk on those assets. This risk is borne first by investors
with the lowest priority in the capital structure. Moody's
assumes that the terminal value of an asset upon liquidation
at maturity will be equal to the lower of an assumed
liquidation value (depending on the extent to which the
asset's maturity lags that of the liabilities) or the asset's
current market value.
7) Lack of portfolio granularity: The performance of the
portfolio depends to a large extent on the credit conditions
of a few large obligors Moody's rates Caa1 or lower,
especially if they jump to default.
8) Higher-than-average exposure to assets with weak liquidity:
The presence of assets with the worst Moody's speculative
grade liquidity (SGL) rating, or SGL-4, exposes the notes to
additional risks if these assets default. The historical
default rate is far higher for companies with SGL-4 ratings
than those with other SGL ratings. Due to the deal's high
exposure to SGL-4 rated assets, which constitute around
$4.6 million of par, Moody's ran a sensitivity case
defaulting those assets.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Moody's Adjusted WARF -- 20% (2468)
Class A: 0
Class B: 0
Class C: 0
Class D: +1
Class E: +1
Moody's Adjusted WARF + 20% (3678)
Class A: 0
Class B: 0
Class C: 0
Class D: -2
Class E: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base
case, Moody's analyzed the collateral pool as having a performing
par and principal proceeds balance of $104.7 million, defaulted par
of $4.9 million, a weighted average default probability of 15.28%
(implying a WARF of 3063), a weighted average recovery rate upon
default of 52.68%, a diversity score of 21 and a weighted average
spread of 3.26% (before accounting for LIBOR floors).
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of the
assets in the collateral pool. In each case, historical and market
performance and the collateral manager's latitude for trading the
collateral are also factors.
NRZ ADVANCE 2015-ON1: S&P Assigns BB Rating on Cl. E-T1 Notes
-------------------------------------------------------------
S&P Global Ratings assigned ratings to NRZ Advance Receivables
Trust 2015-ON1's $400 million advance receivables-backed notes
series 2016-T1.
The note issuance is a servicer advance transaction backed by
servicer advance receivables.
The ratings reflect:
-- The strong likelihood of reimbursement of servicer advance
receivables given the priority of such reimbursement
payments;
-- The transaction's revolving period, during which collections
or draws on the outstanding variable funding notes (VFNs)
may be used to fund additional advance receivables, and the
specified eligibility requirements, collateral value
exclusions, credit enhancement test (the collateral test),
and amortization triggers intended to maintain pool quality
and credit enhancement during this period;
-- The transaction's use of predetermined, rating category-
specific advance rates for each receivable type in the pool
that discount the receivables, which are non-interest
bearing, to satisfy the interest obligations on the notes,
as well as provide for dynamic overcollateralization;
-- The projected timing of reimbursements of the servicer
advance receivables, which, in the 'AAA', 'AA', and 'A'
scenarios, reflects S&P's assumption that the servicer would
be replaced, while in the 'BBB' and 'BB' scenarios, reflects
the servicer's historical reimbursement experience;
-- The credit enhancement in the form of overcollateralization,
subordination, and the series reserve account;
-- The timely interest and full principal payments made under
S&P's stressed cash flow modeling scenarios consistent with
the assigned ratings; and
-- The transaction's sequential turbo payment structure that
applies during any full amortization period.
RATINGS ASSIGNED
NRZ Advance Receivables Trust 2015-ON1 (Series 2016-T1)
Class Rating Type Int rate (%) Amt (mil. $)
A-T1 AAA (sf) Term note 2.7511 320.001
B-T1 AA (sf) Term note 3.2942 12.973
C-T1 A (sf) Term note 3.8361 15.135
D-T1 BBB (sf) Term note 4.3768 45.405
E-T1 BB (sf) Term note 5.7670 6.486
OFSI FUND V: S&P Affirms B Rating on Class B-3L Notes
-----------------------------------------------------
S&P Global Ratings raised its ratings on the class A-2F, A-2L,
A-3F, A-3L, B-1L, and combination notes from OFSI Fund V Ltd., a
U.S. collateralized loan obligation (CLO) transaction that closed
in February 2013 and is managed by OFS Capital Management LLC. At
the same time, S&P affirmed its ratings on the class A-1LA, A-1LB,
B-2L, and B-3L notes from the same transaction.
The rating actions follow S&P's review of the transaction's
performance using data from the June 9, 2016, trustee report. The
transaction remains in its reinvestment period until April 2017.
Since S&P's effective date rating affirmations in September 2013,
the transaction's credit quality has improved as collateral with an
S&P Global Ratings' credit rating of 'BB-' or higher has increased
significantly from the May 2013 effective date report, which S&P
used for its previous affirmations. The purchase of this
higher-grade collateral has resulted in a corresponding drop in
reported weighted average spread to 4.5% from 4.9% and an increase
in the S&P Global Ratings' weighted average recovery rate (WARR) on
the collateral, with the WARR on the 'AAA' notes increasing to
44.3% from 42.6%.
The transaction has also benefited from collateral seasoning with
the reported weighted average life decreasing to 4.19 years from
5.51 years. This seasoning, combined with the improved credit
quality, has significantly decreased the overall credit risk
profile, which in turn provided more cushion to the rated
tranches.
The purchase of this higher-grade collateral at higher prices
relative to par, combined with a slight uptick in defaulted assets,
has decreased the reported overcollateralization (O/C) available to
the rated notes by approximately 1.5%-2.0% at each rating level.
S&P feels that this drop in O/C is more than offset by the improved
credit quality and collateral seasoning.
Distressed collateral remains a relatively low proportion of the
total portfolio with defaulted collateral and assets rated 'CCC+'
or below totaling 1.8% and 4.5%, respectively, of the aggregate
principal balance, up slightly from 0.00% and 2.4% in May 2013.
The cash flow analysis indicated higher ratings for all of the
non-'AAA (sf)' rated tranches; however, S&P also considered a
sensitivity cash flow run to allow for volatility in the underlying
portfolio because the transaction is still in its reinvestment
period.
S&P raised its rating on the combination notes, which currently
have a notional balance of $121.9 million, comprising 77.3% class
A-1LA notes, 14.3% class A-2L notes, and 8.4% class A-3L notes.
This is in line with the upgrades on the underlying components.
The affirmations of the ratings on the class A-1LA, A-1LB, B-2L,
and B-3L notes reflect S&P's belief that the credit support
available is commensurate with the current rating levels.
"Our review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the June
2016 trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis demonstrated, in our view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with these rating actions," S&P said.
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 ANALYSIS
OFSI Fund V Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A-1LA AAA (sf) AAA (sf) 12.06% AAA (sf)
A-1LB AAA (sf) AAA (sf) 12.06% AAA (sf)
A-2F AA (sf) AA+ (sf) 12.97% AA+ (sf)
A-2L AA (sf) AA+ (sf) 12.97% AA+ (sf)
A-3F A (sf) AA- (sf) 2.55% A+ (sf)
A-3L A (sf) AA- (sf) 2.55% A+ (sf)
B-1L BBB (sf) A- (sf) 0.91% BBB+
(sf)
B-2L BB- (sf) BB+ (sf) 5.96% BB- (sf)
B-3L B (sf) B+ (sf) 5.11% 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 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-1LA AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-1LB AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2F AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf)
A-2L AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf)
A-3F AA- (sf) A+ (sf) A+ (sf) AA+ (sf) A+ (sf)
A-3L AA- (sf) A+ (sf) A+ (sf) AA+ (sf) A+ (sf)
B-1L A- (sf) BBB+ (sf) BBB+ (sf) A+ (sf) BBB+ (sf)
B-2L BB+ (sf) BB (sf) BB+ (sf) BBB- (sf) BB- (sf)
B-3L B+ (sf) B (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-1LA AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-1LB AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2F AA+ (sf) AA+ (sf) AA (sf) AA+ (sf)
A-2L AA+ (sf) AA+ (sf) AA (sf) AA+ (sf)
A-3F AA- (sf) A+ (sf) BBB+ (sf) A+ (sf)
A-3L AA- (sf) A+ (sf) BBB+ (sf) A+ (sf)
B-1L A- (sf) BBB+ (sf) BB+ (sf) BBB+ (sf)
B-2L BB+ (sf) BB (sf) B (sf) BB- (sf)
B-3L B+ (sf) B- (sf) CCC (sf) B (sf)
RATINGS RAISED
OFSI Fund V Ltd.
Rating
Class To From
A-2F AA+ (sf) AA (sf)
A-2L AA+ (sf) AA (sf)
A-3F A+ (sf) A (sf)
A-3L A+ (sf) A (sf)
B-1L BBB+ (sf) BBB (sf)
Combination A+ (sf) A (sf)
RATINGS AFFIRMED
OFSI Fund V Ltd.
Class Rating
A-1LA AAA (sf)
A-1LB AAA (sf)
B-2L BB- (sf)
B-3L B (sf)
ONEMAIN DIRECT 2016-1: Moody's Assigns (P)B2 Ratings to Cl. D Debt
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
notes to be issued by OneMain Direct Auto Receivables Trust 2016-1
(ODART 2016-1). This is the inaugural direct auto loan transaction
for Springleaf Finance Corporation (SFC; B3 Stable). The notes will
be backed by a pool of automobile loan contracts primarily
originated by regional subsidiaries of SFC, who is also the
servicer and administrator for the transaction.
The complete rating actions are as follows:
Issuer: OneMain Direct Auto Receivables Trust 2016-1
Class A, Assigned (P)A2 (sf)
Class B, Assigned (P)Baa2 (sf)
Class C, Assigned (P)Ba2 (sf)
Class D, Assigned (P)B2 (sf)
RATINGS RATIONALE
The ratings are based on the quality of the underlying collateral
and its expected performance, the strength of the capital
structure, and the experience and expertise of SFC as the
servicer.
Moody's median cumulative net loss expectation for the 2016-1 pool
is 7.0%. Moody's based its cumulative net loss expectation on an
analysis of the credit quality of the underlying collateral; the
historical performance of similar collateral, including
securitization performance and managed portfolio performance; the
ability of SFC to perform the servicing functions; and current
expectations for the macroeconomic environment during the life of
the transaction.
At closing, the Class A notes, Class B notes, Class C notes and
Class D notes benefit from 21.00%, 14.95%, 8.15% and 1.00% of hard
credit enhancement, respectively. Hard credit enhancement for the
notes consists of a combination of non-declining reserve account
and subordination, except for the Class D notes, which do not
benefit from subordination. The notes will also benefit from excess
spread.
Factors that would lead to an upgrade or downgrade of ratings:
Up
Moody's could upgrade the notes if levels of credit enhancement are
higher than necessary to protect investors against current
expectations of portfolio losses. Losses could decline from Moody's
original expectations as a result of a lower number of obligor
defaults or appreciation in the value of the vehicles securing an
obligor's promise of payment. Portfolio losses also depend greatly
on the US job market and the market for used vehicles. Other
reasons for better-than-expected performance include changes to
servicing practices that enhance collections or refinancing
opportunities that result in prepayments.
Down
Moody's could downgrade the notes if levels of credit enhancement
are insufficient to protect investors against current expectations
of portfolio losses. Losses could rise above Moody's original
expectations as a result of a higher number of obligor defaults or
deterioration in the value of the vehicles securing an obligor's
promise of payment. Portfolio losses also depend greatly on the US
job market and the market for used vehicles. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
ONEMAIN DIRECT 2016-1: S&P Assigns Prelim. BB Rating on C Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to OneMain
Direct Auto Receivables Trust 2016-1's $400 million automobile
receivables-backed notes series 2016-1.
The note issuance is an asset-backed securities (ABS)
securitization backed by subprime auto loan receivables.
The preliminary ratings are based on information as of July 8,
2016. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The availability of approximately 26.35%, 21.10%, and 15.29%
credit support for the class A, B, and C notes,
respectively, based on stressed cash flow scenarios
(including excess spread), which provides coverage of more
than 3.0x, 2.25x, and 1.75x S&P's 8.25%-8.75% expected
cumulative net loss.
-- The timely interest and principal payments made to the
preliminary rated notes by the assumed legal final maturity
dates under stressed cash flow modeling scenarios that S&P
believes are appropriate for the assigned preliminary
ratings.
-- S&P's expectation that under a moderate ('BBB') stress
scenario, all else being equal, S&P's ratings on the class
A, B, and C notes would remain within two rating categories
of S&P's preliminary 'A (sf)', 'BBB (sf)', and 'BB (sf)'
ratings, respectively, during the first year. These
potential rating movements are consistent with S&P's credit
stability criteria, which outlines the outer bound of credit
deterioration as a two-category downgrade within the first
year for 'A (sf)', 'BBB (sf)', and 'BB (sf)' rated
securities under moderate stress conditions.
-- S&P's views regarding the collateral characteristics of the
overall subprime automobile loan pool securitized in this
transaction.
-- The unique nature of the auto loans (where the vehicle is
refinanced after its initial purchase) caused S&P to apply
its consumer receivables ABS criteria rather than S&P's auto
loan ABS criteria.
-- The transaction's payment and legal structures.
PRELIMINARY RATINGS ASSIGNED
OneMain Direct Auto Receivables Trust 2016-1
Preliminary Preliminary
Class rating(i) amount (mil. $)
A A+ (sf) 344.640
B BBB+ (sf) 26.060
C BB (sf) 29.300
D NR 30.800
(i) The rating on each class of securities is preliminary and
subject to change at any time. NR--Not rated.
PANGAEA CLO 2007-1: Moody's Affirms Ba3 Rating on Cl. D Notes
-------------------------------------------------------------
Moody's Investors Service has upgraded the rating on these notes
issued by Pangaea CLO 2007-1 Ltd.:
$14,500,000 Class C Floating Rate Deferrable Senior Subordinate
Notes Due 2021, Upgraded to Aa2 (sf); previously on Feb. 26,
2016, Upgraded to A2 (sf)
Moody's also affirmed the ratings on these notes:
$217,000,000 Class A-1 Floating Rate Senior Notes Due 2021
(current outstanding balance of $31,127,962.75), Affirmed
Aaa (sf); previously on Feb. 26, 2016 Affirmed Aaa (sf)
$16,000,000 Class A-2 Floating Rate Senior Notes Due 2021,
Affirmed Aaa (sf); previously on Feb. 26, 2016, Affirmed
Aaa (sf)
$20,000,000 Class B Floating Rate Deferrable Senior Subordinate
Notes Due 2021, Affirmed Aaa (sf); previously on Feb. 26, 2016,
Affirmed Aaa (sf)
$15,000,000 Class D Floating Rate Deferrable Subordinate Notes
Due 2021 (current outstanding balance of $14,790,232.66),
Affirmed Ba3 (sf); previously on Feb. 26, 2016, Affirmed
Ba3 (sf)
Pangaea CLO 2007-1 Ltd., issued in August 2007, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans. The transaction's reinvestment period ended in July
2014.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since February 2016. The Class
A-1 notes have been paid down by approximately 34.1% or $16.1
million since February 2016. Based on the trustee's June 2016
report, the OC ratios for the Class A, Class B, Class C and Class D
notes are reported at 214.91%, 150.88% and 124.08 % and 105.05%,
respectively, versus February 2016 levels of 185.89%, 141.24%,
120.29% and 104.49% respectively. The deal currently holds
approximately $19.1 million of principal proceeds which will be
paid to the Class A-1 notes on the next payment date in July 2016.
The deal has benefited from an improvement in the credit quality of
the portfolio since February 2016. Based on the trustee's June
2016 report, the weighted average rating factor is currently 2473
compared to 2597 in February 2016.
Methodology Used for the Rating Action
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2015.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy
and b) the large concentration of upcoming speculative-grade
debt maturities, which could make refinancing difficult for
issuers.
2) Collateral Manager: Performance can also be affected
positively or negatively by a) the manager's investment
strategy and behavior and b) differences in the legal
interpretation of CLO documentation by different
transactional parties owing to embedded ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current
expectations, can lead to positive CLO performance.
Conversely, a negative shift in credit quality or performance
of the collateral can have adverse consequences for CLO
performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled
principal proceeds will continue and at what pace.
Deleveraging of the CLO could accelerate owing to high
prepayment levels in the loan market and collateral sales by
the manager, which could have a significant impact on the
notes' ratings. Note repayments that are faster than Moody's
current expectations will usually have a positive impact on
CLO notes, beginning with those with the highest payment
priority.
5) Recovery of defaulted assets: Fluctuations in the market
value of defaulted assets reported by the trustee and those
that Moody's assumes as having defaulted could result in
volatility in the deal's OC levels. Further, the timing of
recoveries and whether a manager decides to work out or sell
defaulted assets create additional uncertainty. Moody's
analyzed defaulted recoveries assuming the lower of the
market price and the recovery rate in order to account for
potential volatility in market prices. Realization of higher
than assumed recoveries would positively impact the CLO.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Moody's Adjusted WARF -- 20% (2090)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: +2
Class D: +2
Moody's Adjusted WARF + 20% (3135)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: -1
Class D: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base
case, Moody's analyzed the collateral pool as having a performing
par and principal proceeds balance of $101.1 million, defaulted par
of $2.9 million, a weighted average default probability of 11.62%
(implying a WARF of 2613), a weighted average recovery rate upon
default of 52.49%, a diversity score of 19 and a weighted average
spread of 3.19% (before accounting for LIBOR floors).
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of the
assets in the collateral pool.
POMONA VALLEY: S&P Lowers Rating on GIC Academy Bonds to 'CCC'
--------------------------------------------------------------
S&P Global Ratings lowered its rating on Pomona Valley Educational
Joint Powers Authority, Calif.'s series 2002 MBIA Insurance Corp.
guaranteed-investment-contract (GIC)-backed lease revenue qualified
zone academy bonds, issued for Pomona Unified School District, to
'CCC' from 'B'.
The rating action reflects S&P Global Ratings' downgrade of MBIA
Insurance Corp. The long-term component of the rating is based on
the GIC facility provided by MBIA Insurance Corp. The long-term
component of the rating reflects the rating service's opinion of
the likelihood that bondholders will receive interest and principal
payments when due if they do not exercise their put option.
Changes to the ratings on these bonds could result from, among
other things, changes to the ratings on the underlying bonds or
support provider, the expiration or termination of the letter of
credit (LOC) agreements, or amendments to the transactions' terms.
RAIT CRE I: Fitch Affirms 'CCsf' Rating on 5 Tranches
-----------------------------------------------------
Fitch Ratings affirms 11 classes of RAIT CRE CDO I Ltd. (RAIT CRE
CDO I).
KEY RATING DRIVERS
Since the last rating action, senior classes A-1A and A-1B have
received $110.6 million in pay down from scheduled amortization and
the removal of approximately 20 loan interests, including 15 full
payoffs. Realized losses over the year were approximately $14
million. While recoveries were higher than expected on these
assets, many of the remaining assets are significantly
overleveraged with high losses modeled.
Interests from approximately 70 different assets are contributed to
the CDO. Approximately 40% of the pool matures over the next year.
The current percentage of defaulted assets and Loans of Concern
(LOCs) is 6.9% and 69%, respectively. Many of the remaining loans
have been modified, including maturity extensions, since
origination. Further, RAIT affiliates now have ownership interests
in over 25 of the CDO assets, totaling approximately $438 million
(61%).
There are two variances from criteria related to classes A-1A and
A-1B, based on the surveillance criteria. Criteria indicated that
rating upgrades were possible for the classes. However, Fitch has
determined that upgrades are not warranted at this time due to the
high percentage of defaulted/LOCs, significant upcoming scheduled
maturities, and concentration of RAIT affiliated borrowing
entities.
As of the June 2016 trustee report, and per Fitch categorization,
the CDO is substantially invested as follows: whole loans/A-notes
(75.5%), mezzanine debt (16.9%), and preferred equity (7.6%). Fitch
expects significant losses upon default for many of the loan
positions as they are significantly over-leveraged. All
over-collateralization and interest coverage tests were in
compliance.
Fitch's base case loss expectation is 56.2%. Under Fitch's
methodology, approximately 92.6% of the portfolio is modeled to
default in the base case stress scenario, defined as the 'B'
stress. In this scenario, the modeled average cash flow decline is
11.1% from, generally, YE 2015 or trailing 12 months first quarter
2016. Modeled recoveries are 39.3%.
The largest contributor to Fitch's base case loss expectation is an
A-note (5.3% of the pool) secured by a poorly performing regional
mall located in Houston, TX. The mall has not seen notable
improvement since a repositioning in 2010/2011. The year-end 2015
reported occupancy was 53% and cash flow has been insufficient to
cover debt service. Fitch modeled a substantial loss on this loan
in its base case.
The next largest contributor to Fitch's base case loss expectation
is a preferred equity position (4.5%) on an office complex located
in Boca Raton, FL. After a period of vacancy, the property was 100%
leased to a new tenant in 2011. However, the property remains
overleveraged, and Fitch modeled a substantial loss in its base
case scenario on this position.
The third largest component of Fitch's base case loss expectation
is a whole loan (4.2%) secured by a poorly performing regional mall
located in South Carolina. Occupancy recently fell to
approximately 30% after the movie theater/bowling alley closed
suddenly in May 2016. The most recently reported cash flow was
negative. Fitch modeled a substantial loss in its base case
scenario on this loan.
This transaction was analyzed according to the 'Surveillance
Criteria for U.S. CREL CDOs', which applies stresses to property
cash flows and debt service coverage ratio tests to project future
default levels for the underlying portfolio. Recoveries are based
on stressed cash flows and Fitch's long-term capitalization rates.
The default levels were then compared to the breakeven levels
generated by Fitch's cash flow model of the CDO under the various
defaults timing and interest rate stress scenarios as described in
the report 'Global Rating Criteria for Structured Finance CDOs'.
The breakeven rates for classes A-1 through A-2 generally pass the
cash flow model at or above the ratings listed below.
The 'CCC' and below ratings for classes B through J are based on a
deterministic analysis that considers Fitch's base case loss
expectation for the pool and the current percentage of defaulted
assets and Fitch Loans of Concern, factoring in anticipated
recoveries relative to each class's credit enhancement.
RAIT CRE CDO I is managed by RAIT Partnership, L.P.
RATING SENSITIVITIES
The Positive Outlooks for classes A-1A and A-1B reflects the
significant credit enhancement to the classes; upgrades are
possible in the near term should the assets continue to payoff at
or above expectations. The Negative Outlook on Class A-2 reflects
the potential for further negative credit migration of the
underlying pool. The distressed classes are subject to further
downgrade should realized losses begin to increase.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch affirms these classes and revises Outlooks as indicated:
-- $90.6 million class A-1A notes at 'BBsf'; Outlook to
Positive from Negative;
-- $124.6million class A-1B notes at 'BBsf'; Outlook to
Positive from Negative;
-- $90 million class A-2 notes at 'Bsf'; Outlook Negative;
-- $110 million class B notes at 'CCCsf'; RE 0%;
-- $41.5 million class C notes at 'CCCsf'; RE 0%;
-- $22.5 million class D notes at 'CCCsf'; RE 0%;
-- $16 million class E notes at 'CCsf'; RE 0%;
-- $500,000 class F notes at 'CCsf'; RE 0%;
-- $12.5 million class G notes at 'CCsf'; RE 0%.
-- $17.5 million class H notes at 'CCsf'; RE 0%;
-- $35 million class J notes at 'CCsf'; RE 0%.
Fitch does not rate class PS (the preferred shares).
RESOURCE REAL 2007-1: Fitch Raises Rating on Cl. B Debt to 'BBsf'
-----------------------------------------------------------------
Fitch Ratings has upgraded one and affirmed 10 classes of Resource
Real Estate Funding CDO 2007-1 Ltd./LLC (RRE 2007-1).
KEY RATING DRIVERS
The actions reflect the delevering of the capital structure that
has occurred since the last rating action.
Since the last rating action, the transaction has paid down by
$74.8 million primarily from the disposition of six assets. While
five assets were repaid in full, one asset experienced a deminimis
loss, which resulted in realized losses of approximately $800.
While recoveries were better than expected, many of the remaining
assets are significantly overleveraged with high modeled losses.
Fitch's base case loss expectation is 51.3%. While there are no
defaulted assets, Fitch assets of concern (including the largest
loan) increased to 53.7% compared to 39.3% at the last rating
action. This is due to the pool's reduced size, as there are no
new assets of concern. The CDO is overcollateralized by
$13.8 million.
As of the June 2016 trustee report and per Fitch categorizations,
the CDO is substantially invested as follows: whole loans/A-notes
(68.9%), mezzanine debt (3.8%), preferred equity (4.9%), CMBS
(19.5%) and cash (2.9%). The weighted average rating of the CMBS
securities declined to 'B/B-' from 'B+/B' since last review, as
higher rated CUSIPS were repaid in full and the remaining CUSIPS
with higher ratings have amortized. Per the current trustee
reporting, the transaction passes all interest coverage and
overcollateralization tests.
Under Fitch's methodology, approximately 88.3% of the portfolio is
modeled to default in the base case stress scenario, defined as the
'B' stress. Modeled recoveries are average at 41.9%.
The largest contributor to Fitch's base case loss is a whole loan
(9.3% of the pool) secured by a 79,522 square foot multi-tenant
office property located in Phoenix, AZ. The property was built in
1981 and the original seller planned to sell the subject as
condominiums, which led occupancy to decline to 49% at loan
closing. Subsequently, the borrower decided to keep the property
as an office property and has increased occupancy to 64.1% in 2015.
Occupancy has since remained flat as of February 2016. Fitch
modeled a substantial loss on this asset in its base case
scenario.
The second largest contributor to Fitch's base case loss
expectation is the modeled losses on the CMBS bond collateral.
The third largest contributor to Fitch's base case loss is an
A-note (10.5% of the pool) secured by a land parcel located in
Studio City, CA. The Sponsor originally planned to pre-lease and
fully permit the site for redevelopment of approximately 65,000 sf
of retail, but was delayed. Fitch modeled a substantial loss on
this asset in its base case scenario.
The transaction was analyzed according to the 'Surveillance
Criteria for U.S. CREL CDOs', which applies stresses to property
cash flows and debt service coverage ratio tests to project future
default levels for the underlying CREL portfolio. Recoveries are
based on stressed cash flows and Fitch's long-term capitalization
rates. The rated securities (CUSIP) portion of the collateral was
analyzed according to the 'Global Rating Criteria for Structured
Finance CDOs', whereby the default and recovery rates are derived
from Fitch's Structured Finance Portfolio Credit Model. Rating
default rates and rating recovery rates from both the CREL and
CUSIP portions of the collateral are then blended on a weighted
average basis. The default levels were then compared to the
breakeven levels generated by Fitch's cash flow model of the CDO
under the various defaults timing and interest rate stress
scenarios as described in the report 'Global Rating Criteria for
Structured Finance CDOs'. The breakeven rates for classes B
through C generally pass the cash flow model at or above the
ratings listed below. Upgrades to the classes were limited due to
the increasing concentration of the portfolio.
The Stable Outlook on class B reflects the class' senior position
in the capital structure. The Negative Outlook on class C reflects
the class' vulnerability to interest shortfalls resulting from
payments due under the hedge and increasing concentration. Interest
to the class is junior to the five hedges in the transaction (one
expires in October 2016 and four expire in 2017), fees due to the
trustee and interest due to class B. Limited paydown is expected
in the near term and the majority of remaining collateral consists
of poor-performing assets.
The 'CCC' and 'CC' ratings for classes D through M are generally
based on a deterministic analysis that considers Fitch's base case
loss expectation for the pool and the current percentage of Fitch
Loans of Concern, factoring in anticipated recoveries relative to
the credit enhancement of each class.
Resource Real Estate, Inc. is the collateral asset manager for the
transaction. The CDO's reinvestment period ended in June 2012. The
CDO was originally issued as a $500 million CRE CDO; however, in
June 2012, the balance of the class A-1R notes was reduced to zero.
This was a revolving class and the $50 million available was not
drawn upon and the class was subsequently retired.
RATING SENSITIVITIES
Upgrades to classes B and C may be limited due to the increasing
concentration of the pool. The distressed classes D through M are
subject to downgrade as losses are realized or if realized losses
exceed Fitch's expectations.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has upgraded this class:
-- $10.7 million class B to 'BBsf' from 'Bsf'; Outlook revised
to Stable from Positive.
Fitch has affirmed these classes and revised Outlooks as
indicated:
-- $7 million class C at 'Bsf'; Outlook revised to Negative
from Stable;
-- $26.8 million class D at 'CCCsf'; RE 100%;
-- $11.9 million class E at 'CCCsf'; RE 100%;
-- $5.4 million class F at 'CCCsf'; RE 100%;
-- $5 million class G at 'CCCsf'; RE 90%;
-- $625,000 class H at 'CCCsf'; RE 0%;
-- $11.3 million class J at 'CCCsf'; RE 0%;
-- $10 million class K at 'CCCsf'; RE 0%;
-- $18.8 million class L at 'CCCsf'; RE 0%;
-- $28.8 million class M at 'CCsf'; RE 0%.
Fitch does not rate the preferred shares.
RFMSII HOME 2004-HS3: Moody's Hikes Cl. A Debt Rating to B3(sf)
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of eleven
tranches from nine deals backed by second-lien RMBS loans.
Complete rating actions are as follows:
Issuer: RFMSII Home Equity Loan Trust 2003-HS4
Cl. A-I-A, Upgraded to Baa2 (sf); previously on Sep 1, 2015
Upgraded to Ba1 (sf)
Issuer: RFMSII Home Equity Loan Trust 2004-HS3
Cl. A, Upgraded to B3 (sf); previously on Jun 4, 2010 Downgraded to
Caa2 (sf)
Underlying Rating: Upgraded to B3 (sf); previously on Jun 4, 2010
Downgraded to Caa2 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Issuer
Rating Withdrawn 3/25/2009)
Issuer: RFMSII Home Equity Loan Trust 2005-HI3
Cl. M-8, Upgraded to B3 (sf); previously on Sep 4, 2015 Upgraded to
Caa3 (sf)
Issuer: RFMSII Home Loan Trust 2000-HI4
Cl. A-I-7, Upgraded to A1 (sf); previously on Sep 1, 2015 Upgraded
to Baa1 (sf)
Issuer: RFMSII Home Loan Trust 2000-HI5
Cl. A-I-7, Upgraded to A1 (sf); previously on Sep 1, 2015 Upgraded
to Baa1 (sf)
Issuer: RFMSII Home Loan Trust 2003-HI3
A-I-5, Upgraded to B1 (sf); previously on Apr 21, 2010 Downgraded
to B2 (sf)
A-II, Upgraded to Ba3 (sf); previously on Apr 21, 2010 Downgraded
to B1 (sf)
Issuer: RFMSII Home Loan Trust 2004-HI2
Cl. A-5, Upgraded to B1 (sf); previously on May 12, 2014 Upgraded
to B3 (sf)
Underlying Rating: Upgraded to B1 (sf); previously on May 12, 2014
Upgraded to B3 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: RFMSII Home Loan Trust 2004-HI3
Cl. A-5, Upgraded to Baa3 (sf); previously on Oct 19, 2015 Upgraded
to Ba2 (sf)
Underlying Rating: Upgraded to Baa3 (sf); previously on Oct 19,
2015 Upgraded to Ba2 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: RFMSII Home Loan Trust 2006-HI1
Cl. M-6, Upgraded to Ba3 (sf); previously on Oct 7, 2015 Upgraded
to B2 (sf)
Cl. M-7, Upgraded to Ca (sf); previously on Apr 21, 2010 Downgraded
to C (sf)
RATINGS RATIONALE
The ratings upgrades are primarily due to the total credit
enhancement available to the bonds.The actions reflect the recent
performance of the underlying pools and Moody's updated loss
expectations on the pools.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.7% in May 2016 from 5.5 in May
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.
RIO OIL: S&P Affirms 'B+' Rating on Series 2014-1 & 2014-3 Notes
----------------------------------------------------------------
S&P Global affirmed its 'B+' ratings on Rio Oil Finance Trust's
fixed-rate notes series 2014-1 and 2014-3. The note issuances are
backed by current and future receivables generated from Rio de
Janeiro State's (RJS') oil royalty and special participation rights
assigned to Rioprevidência, a social security fund for RJS state
employees, after mandatory deductions.
The rating actions follow the early amortization period declaration
for all outstanding series as a result of a waiver approved by the
noteholders following another breach of the transaction's
forward-looking coverage thresholds.
On Feb. 29, 2016, S&P removed the ratings from CreditWatch negative
after a trigger event and event of default occurred under the
transactions' documents. S&P also lowered its ratings to 'B+' from
'BB' following the downgrade on Brazil and subsequent revision of
the rating on Petrobras. At that time, S&P's analysis incorporated
a waiver that was passed on Oct. 20, 2015, which had several
conditions that altered the interest rate paid on the notes (which
could be lowered upon completion of certain milestones) and
included a waiver fee to be paid to noteholders from the
transaction's excess flows, after paying principal and interest
according to schedule (as of July 11, all waiver fees have been
paid to the noteholders). This waiver, agreed upon between the
majority noteholders and the sponsor, rescinded the declaration of
an event of default or an early amortization event; however, 60% of
the excess flows, which are usually returned to the sponsor on a
monthly basis, would be deposited into a trigger reserve account
until the thresholds were surpassed again. The waiver covered a
period until March 22, 2016.
The March 23, 2016, quarterly report following the waiver's
expiration reported that the annualized average debt service
coverage ratio (DSCR) was equal to 2.6x, higher than the
transaction's thresholds (per the first waiver, set at 2.25x and
1.75x for a trigger event and an event of default, respectively);
however, the forward-looking DSCR was 1.0x, again below the
transaction's threshold at 1.75x for an event of default. Upon
breaching this threshold, the series controlling party may declare
that an early amortization period or an event of default has
commenced (with the latter leading also to an early amortization
period) unless a waiver rescinds both events. S&P received
notification that a waiver was being negotiated between the
majority of the noteholders and the sponsor. In the meantime,
payments were made according to schedule and 60% of the remaining
flows continued to be captured in the trigger reserve accounts
(held in U.S. dollars and Brazilian reals).
On June 20, 2016, a second waiver was approved stating that the
majority controlling party (i.e., the consenting holders) agreed to
waive the declaration of an event of default because the required
minimum average forward-looking DSCR was not met, even though an
early amortization period was declared. Once an early amortization
period is declared, the indenture trustee declares that the
principal balance of the securities (for all of the series,
including series 2014-1, 2014-2 in local currency, which we do not
rate, and 2014-3) is immediately due and payable. Therefore, all
excess flows trapped in the trigger reserve accounts have been
released to the noteholders of series 2014-1 and 2014-3 as of the
last payment date on July 6, 2016 (around US$42 million held in the
trigger reserve account).
Subsequently, 60% of all excess flows will continue to be trapped
and used to pre-pay the notes on a monthly basis. S&P understands
that principal will be paid as flows come into the trust, and per
its criteria "Principles For Rating Debt Issues Based On Imputed
Promises," this would not be considered a default. S&P still
considers that the principal remains due at original maturity.
Although an early amortization does not have a negative effect on
the ratings from a credit perspective, S&P still considers its 'B+'
ratings on the notes to reflect the lowest of:
-- The corporate performance risk assessment, which addresses
Petrobras' ability to continue operating the oil and gas
fields despite a restructuring or default on its corporate
debt obligations. However, in this analysis, given the
exposure to Petrobras as obligor, S&P's rating has
considered Petrobras' foreign currency rating as opposed to
its corporate performance risk;
-- The structural assessment, which addresses the receivables'
ability to generate sufficient cash flows to repay the notes
and key structural features, early amortization triggers,
reserves, and the legal transfer of the assets; and
-- A sovereign interference assessment that considers the
possibility of government interference in the transaction.
The approved waiver also included these key features:
-- None of the milestones provided for in the first waiver were
achieved. Therefore, the interest rates remain at 300 basis
points above the initial rates.
-- The waiver is in full effect until all notes are paid,
unless all parties agree to rescind it.
-- The waterfall will continue to run as usual, except that 60%
of the remaining flows will be used to prepay the notes on a
monthly pro rata basis.
-- As a result, any breach of the transaction's forward-looking
thresholds no longer affects the transaction.
-- Several of the indenture's legal terms were clarified to
improve some of the mechanics for investors in judicial
proceedings, for instance: the number of days available for
the indenture trustee to institute any judicial proceedings
to exercise remedies has been reduced from 60 to 20 days,
provided that any delay would be prejudicial to investors.
The international arbitration definition was clarified to
incorporate New York as the place of arbitration, among
others.
-- The definition of annualized average DSCR default threshold
was reviewed. Now, there won't be an event of default under
the documents if at any time before July 6, 2017, the
annualized average DSCR is above 1.0x; however, after this
date, the threshold rises to 1.75x for the rest of the
transaction's life. If either of these things happen, the
noteholders can declare an event of default and possibly
renegotiate an additional waiver.
-- The definition of forward oil and gas production adjustment
factor was reviewed. Now, if no independent consultant's
report is available within six months of the quarterly
reports, the adjustments to oil and gas productions will be
factored by one.
The June 24, 2016, quarterly report following the second waiver's
approval reported that the annualized average DSCR was equal to
1.8x, higher than the transaction's updated threshold for an event
of default (per the second waiver, set at 1.0x for an event of
default at any time before July 7, 2017). The minimum average
forward-looking DSCR was 0.8x, which is now irrelevant due to the
early amortization period declaration and covenants of the second
waiver.
S&P notes that some of the accounts belonging to RJS were frozen in
March by the State Court due to political instability and
non-payment of the state's obligations, especially those arising
from the pensions of Rioprevidencia. These transactions' accounts
are allocated to the trust, after the RJS receives the royalties
allocation to their accounts from the National Treasury. Per the
transaction documents, Banco do Brasil, the bond administrator,
must take the funds from RJS' accounts (RJS oil revenues dedicated
account) and transfer them to the accounts owned by the trust on
each reals transfer date (collections account), which means each
business day on which there are available funds and receivables are
deposited. None of the transactions' accounts were frozen, and S&P
believes that the risk of state interference in the flows to the
trust is very low given the sponsor's and the state's commitment to
pay off the notes on time and reputational concerns in the
international capital markets. Moreover, S&P believes that the
risk of payment delays due to judicial orders that freeze the
accounts at the state level is mitigated by these factors:
-- Relatively short time exposure of the flows under the RJS
accounts;
-- The notes are early amortizing, providing cushion for
payments to be made on the original maturity dates; and,
-- Existence of reserves.
Notwithstanding, S&P will continue monitoring the political
developments in Brazil, especially those related to Rioprevidencia
and RJS to see whether any of the accounts belonging to the
transactions are exposed to the country's political instability.
S&P will also continue to monitor the ratings on these structured
finance transactions and revise the ratings as necessary to reflect
any changes in the transactions' underlying credit quality.
SASCO TRUST 2005-15: Moody's Hikes Cl. 1-A6 Debt Rating to Caa1
---------------------------------------------------------------
Moody's Investors Service has upgraded the rating of one tranche
from Structured Asset Securities Corp (SASCO) Trust 2005-15, backed
by Alt-A RMBS loans, issued by Structured Asset Securities
Corporation.
Complete rating actions are as follows:
Issuer: Structured Asset Securities Corp Trust 2005-15
Cl. 1-A6, Upgraded to Caa1 (sf); previously on Aug 12, 2015
Upgraded to Caa3 (sf)
RATINGS RATIONALE
The rating action is a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectation on
the pools. The rating upgraded reflects the credit enhancement
available to the bond.
The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.7% in May 2016 from 5.5% in May
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.
SDART: Moody's Hikes Subprime Auto Loan ABS Issued 2012-2015
------------------------------------------------------------
Moody's Investors Service has upgraded 25 tranches and affirmed an
additional 45 tranches from Santander Drive Auto Receivables Trust
(SDART) securitizations issued between 2012 and 2015. The
securitizations are sponsored by Santander Consumer USA Inc. (SC).
The complete rating actions are:
Issuer: Santander Drive Auto Receivables Trust 2012-2
Class D, Affirmed Aaa (sf); previously on March 21, 2016,
Affirmed Aaa (sf)
Class E, Upgraded to Aaa (sf); previously on March 21, 2016,
Upgraded to Aa1 (sf)
Issuer: Santander Drive Auto Receivables Trust 2012-3
Class D, Affirmed Aaa (sf); previously on March 21, 2016,
Affirmed Aaa (sf)
Class E, Upgraded to Aaa (sf); previously on March 21, 2016,
Upgraded to Aa1 (sf)
Issuer: Santander Drive Auto Receivables Trust 2012-4
Class C, Affirmed Aaa (sf); previously on March 21, 2016,
Affirmed Aaa (sf)
Class D, Affirmed Aaa (sf); previously on March 21, 2016,
Affirmed Aaa (sf)
Class E, Upgraded to Aa1 (sf); previously on March 21, 2016,
Upgraded to Aa2 (sf)
Issuer: Santander Drive Auto Receivables Trust 2012-5
Class C, Affirmed Aaa (sf); previously on March 21, 2016,
Affirmed Aaa (sf)
Class D, Affirmed Aaa (sf); previously on March 21, 2016,
Affirmed Aaa (sf)
Class E, Upgraded to Aa2 (sf); previously on March 21, 2016,
Upgraded to Aa3 (sf)
Issuer: Santander Drive Auto Receivables Trust 2012-6
Class C, Affirmed Aaa (sf); previously on March 21, 2016,
Affirmed Aaa (sf)
Class D, Affirmed Aaa (sf); previously on March 21, 2016,
Affirmed Aaa (sf)
Class E, Upgraded to Aa1 (sf); previously on March 21, 2016,
Upgraded to Aa2 (sf)
Issuer: Santander Drive Auto Receivables Trust 2012-A
Class C, Affirmed Aaa (sf); previously on March 21, 2016,
Affirmed Aaa (sf)
Class D, Affirmed Aaa (sf); previously on March 21, 2016,
Affirmed Aaa (sf)
Class E, Upgraded to Aa2 (sf); previously on March 21, 2016,
Upgraded to Aa3 (sf)
Issuer: Santander Drive Auto Receivables Trust 2013-2
Class C, Affirmed Aaa (sf); previously on March 21, 2016,
Affirmed Aaa (sf)
Class D, Affirmed Aaa (sf); previously on March 21, 2016,
Affirmed Aaa (sf)
Class E, Upgraded to Aa2 (sf); previously on March 21, 2016,
Upgraded to Aa3 (sf)
Issuer: Santander Drive Auto Receivables Trust 2013-4
Class B, Affirmed Aaa (sf); previously on March 21, 2016,
Affirmed Aaa (sf)
Class C, Affirmed Aaa (sf); previously on March 21, 2016,
Affirmed Aaa (sf)
Class D, Affirmed Aaa (sf); previously on March 21, 2016,
Upgraded to Aaa (sf)
Class E, Upgraded to A1 (sf); previously on March 21, 2016,
Upgraded to A2 (sf)
Issuer: Santander Drive Auto Receivables Trust 2013-5
Class B Notes, Affirmed Aaa (sf); previously on March 21, 2016,
Affirmed Aaa (sf)
Class C Notes, Affirmed Aaa (sf); previously on March 21, 2016,
Affirmed Aaa (sf)
Class D Notes, Affirmed Aaa (sf); previously on March 21, 2016,
Affirmed Aaa (sf)
Class E Notes, Upgraded to Aa2 (sf); previously on March 21,
2016, Affirmed Aa3 (sf)
Issuer: Santander Drive Auto Receivables Trust 2013-A
Class B Notes, Affirmed Aaa (sf); previously on March 21, 2016,
Affirmed Aaa (sf)
Class C Notes, Affirmed Aaa (sf); previously on March 21, 2016,
Affirmed Aaa (sf)
Class D Notes, Affirmed Aaa (sf); previously on March 21, 2016,
Upgraded to Aaa (sf)
Class E Notes, Upgraded to A1 (sf); previously on March 21,
2016, Upgraded to A3 (sf)
Issuer: Santander Drive Auto Receivables Trust 2014-2
Class B Notes, Affirmed Aaa (sf); previously on March 21, 2016,
Affirmed Aaa (sf)
Class C Notes, Affirmed Aaa (sf); previously on March 21, 2016,
Affirmed Aaa (sf)
Class D Notes, Upgraded to Aaa (sf); previously on March 21,
2016 Upgraded to Aa1 (sf)
Class E Notes, Upgraded to A1 (sf); previously on March 21,
2016, Upgraded to A3 (sf)
Issuer: Santander Drive Auto Receivables Trust 2014-3
Class B Asset Backed Notes, Affirmed Aaa (sf); previously on
March 21, 2016, Affirmed Aaa (sf)
Class C Asset Backed Notes, Affirmed Aaa (sf); previously on
March 21, 2016, Affirmed Aaa (sf)
Class D Asset Backed Notes, Upgraded to Aaa (sf); previously on
March 21, 2016, Upgraded to Aa1 (sf)
Class E Asset Backed Notes, Upgraded to A1 (sf); previously on
March 21, 2016, Upgraded to A3 (sf)
Issuer: Santander Drive Auto Receivables Trust 2014-4
Class A-3 Notes, Affirmed Aaa (sf); previously on March 21,
2016, Affirmed Aaa (sf)
Class B Notes, Affirmed Aaa (sf); previously on March 21, 2016,
Affirmed Aaa (sf)
Class C Notes, Affirmed Aaa (sf); previously on March 21, 2016,
Affirmed Aaa (sf)
Class D Notes, Upgraded to Aa1 (sf); previously on March 21,
2016, Upgraded to Aa2 (sf)
Class E Notes, Affirmed Baa1 (sf); previously on March 21, 2016,
Upgraded to Baa1 (sf)
Issuer: Santander Drive Auto Receivables Trust 2014-5
Class A-3 Notes, Affirmed Aaa (sf); previously on March 21,
2016, Affirmed Aaa (sf)
Class B Notes, Affirmed Aaa (sf); previously on March 21, 2016,
Affirmed Aaa (sf)
Class C Notes, Affirmed Aaa (sf); previously on March 21, 2016,
Affirmed Aaa (sf)
Class D Notes, Upgraded to Aa1 (sf); previously on March 21,
2016, Upgraded to Aa3 (sf)
Class E Notes, Affirmed Baa1 (sf); previously on March 21, 2016,
Upgraded to Baa1 (sf)
Issuer: Santander Drive Auto Receivables Trust 2015-2
Class A-2-A Notes, Affirmed Aaa (sf); previously on March 21,
2016, Affirmed Aaa (sf)
Class A-2-B Notes, Affirmed Aaa (sf); previously on March 21,
2016, Affirmed Aaa (sf)
Class A-3 Notes, Affirmed Aaa (sf); previously on March 21,
2016, Affirmed Aaa (sf)
Class B Notes, Affirmed Aaa (sf); previously on March 21, 2016,
Affirmed Aaa (sf)
Class C Notes, Upgraded to Aaa (sf); previously on March 21,
2016, Upgraded to Aa1 (sf)
Class D Notes, Upgraded to Aa3 (sf); previously on March 21,
2016, Upgraded to A2 (sf)
Class E Notes, Upgraded to Baa3 (sf); previously on March 21,
2016, Upgraded to Ba1 (sf)
Issuer: Santander Drive Auto Receivables Trust 2015-3
Class A-2-A Notes, Affirmed Aaa (sf); previously on March 21,
2016, Affirmed Aaa (sf)
Class A-2-B Notes, Affirmed Aaa (sf); previously on March 21,
2016, Affirmed Aaa (sf)
Class A-3 Notes, Affirmed Aaa (sf); previously on March 21,
2016, Affirmed Aaa (sf)
Class B Notes, Affirmed Aaa (sf); previously on March 21, 2016,
Upgraded to Aaa (sf)
Class C Notes, Upgraded to Aaa (sf); previously on March 21,
2016, Upgraded to Aa2 (sf)
Class D Notes, Upgraded to A3 (sf); previously on March 21,
2016, Affirmed Baa2 (sf)
Class E Notes, Upgraded to Ba1 (sf); previously on March 21,
2016, Affirmed Ba2 (sf)
Issuer: Santander Drive Auto Receivables Trust 2015-4
Class A-2-A Notes, Affirmed Aaa (sf); previously on March 21,
2016, Affirmed Aaa (sf)
Class A-2-B Notes, Affirmed Aaa (sf); previously on March 21,
2016, Affirmed Aaa (sf)
Class A-3 Notes, Affirmed Aaa (sf); previously on March 21,
2016, Affirmed Aaa (sf)
Class B Notes, Affirmed Aaa (sf); previously on March 21, 2016,
Upgraded to Aaa (sf)
Class C Notes, Upgraded to Aa1 (sf); previously on March 21,
2016, Affirmed Aa3 (sf)
Class D Notes, Upgraded to A3 (sf); previously on March 21,
2016, Affirmed Baa2 (sf)
Class E Notes, Upgraded to Ba1 (sf); previously on March 21,
2016, Affirmed Ba2 (sf)
RATINGS RATIONALE
The upgrades mainly resulted from the build-up of credit
enhancement due to the sequential pay structures and non-declining
reserve account. The lifetime cumulative net loss (CNL)
expectations for the 2013-5, 2013-A, 2014-2, 2014-3, 2015-3 and
2015-4 transactions were lowered to 13.00%, 13.00%, 13.00%, 13.00%,
16.00%, and 16.00% from 13.50%, 13.50%, 14.00%, 14.00%, 17.00% and
17.00% respectively. The lowering of the CNL expectations is due
to the stable performance of the underlying collateral. Lifetime
CNL expectations for 2012-A and 2013-2 were increased to 13.50%
from 13.00%. The CNL expectations was increased on these
transactions due to slightly worse than expected performance. The
lifetime CNL expectations for all remaining transactions remain
unchanged and range between 11.00% and 15.00%.
Below are key performance metrics (as of the June 2016 distribution
date) and credit assumptions for the affected transactions. Credit
assumptions include Moody's lifetime CNL expectation, which is
expressed as a percentage of the original pool balance; Moody's
lifetime remaining CNL expectation and Moody's Aaa level, both
expressed as a percentage of the current pool balance. The Aaa
level is the level of credit enhancement that would be consistent
with a Aaa (sf) rating for the given asset pool. Performance
metrics include the pool factor, which is the ratio of the current
collateral balance to the original collateral balance at closing;
total hard credit enhancement (expressed as a percentage of the
outstanding collateral pool balance), which typically consists of
subordination, overcollateralization, reserve fund as applicable;
and excess spread per annum.
Issuer: Santander Drive Auto Receivables Trust 2012-2
Lifetime CNL expectation -- 13.00%, prior expectation (March
2016) -- 13.00%
Lifetime Remaining CNL expectation -- 7.76%
Aaa (sf) level -- 34.00%
Pool factor -- 11.30%
Total Hard credit enhancement - Class D Notes 68.12%, Class E
Notes 32.71%
Excess Spread per annum - Approximately 9.9%
Issuer: Santander Drive Auto Receivables Trust 2012-3
Lifetime CNL expectation -- 14.00%, prior expectation (March
2016) -- 14.00%
Lifetime Remaining CNL expectation -- 9.52%
Aaa (sf) level - 34.00%
Pool factor -- 13.81%
Total Hard credit enhancement - Class D Notes 51.20%, Class E
Notes 29.48%
Excess Spread per annum - Approximately 11.3%
Issuer: Santander Drive Auto Receivables Trust 2012-4
Lifetime CNL expectation -- 13.50%, prior expectation (March
2016) -- 13.50%
Lifetime Remaining CNL expectation -- 9.65%
Aaa (sf) level - 34.00%
Pool factor -- 15.28%
Total Hard credit enhancement - Class C Notes 106.63%, Class D
Notes 47.73%, Class E Notes 28.09%
Excess Spread per annum - Approximately 10.0%
Issuer: Santander Drive Auto Receivables Trust 2012-5
Lifetime CNL expectation -- 14.00%, prior expectation (March
2016) -- 14.00%
Lifetime Remaining CNL expectation -- 10.66%
Aaa (sf) level - 36.00%
Pool factor -- 17.36%
Total Hard credit enhancement - Class C Notes 88.43%, Class D
Notes 43.80%, Class E Notes 26.52%
Excess Spread per annum - Approximately 10.3%
Issuer: Santander Drive Auto Receivables Trust 2012-6
Lifetime CNL expectation -- 11.00%, prior expectation (March
2016) -- 11.00%
Lifetime Remaining CNL expectation -- 8.53%
Aaa (sf) level - 36.00%
Pool factor -- 15.14%
Total Hard credit enhancement - Class C Notes 99.23%, Class D
Notes 48.03%, Class E Notes 28.21%
Excess Spread per annum - Approximately 11.0%
Issuer: Santander Drive Auto Receivables Trust 2012-A
Lifetime CNL expectation -- 13.50%, prior expectation (March
2016) -- 13.00%
Lifetime Remaining CNL expectation -- 11.10%
Aaa (sf) level - 36.00%
Pool factor -- 19.27%
Total Hard credit enhancement - Class C Notes 81.18%, Class D
Notes 40.95%, Class E Notes 25.38%
Excess Spread per annum - Approximately 11.4%
Issuer: Santander Drive Auto Receivables Trust 2013-2
Lifetime CNL expectation -- 13.50%, prior expectation (March
2016) -- 13.00%
Lifetime Remaining CNL expectation -- 12.53%
Aaa (sf) level - 36.00%
Pool factor -- 24.29%
Total Hard credit enhancement - Class C Notes 66.47%, Class D
Notes 43.82%, Class E Notes 23.33%
Excess Spread per annum - Approximately 10.9%
Issuer: Santander Drive Auto Receivables Trust 2013-4
Lifetime CNL expectation -- 13.50%, prior expectation (March
2016) -- 13.50%
Lifetime Remaining CNL expectation -- 12.38%
Aaa (sf) level - 38.00%
Pool factor -- 27.73%
Total Hard credit enhancement - Class B Notes 103.36%, Class C
Notes 60.08%, Class D Notes 40.24%, Class E Notes 22.21%
Excess Spread per annum - Approximately 10.0%
Issuer: Santander Drive Auto Receivables Trust 2013-5
Lifetime CNL expectation -- 13.00%, prior expectation (March
2016) -- 13.50%
Lifetime Remaining CNL expectation -- 11.91%
Aaa (sf) level - 38.00%
Pool factor -- 32.92%
Total Hard credit enhancement - Class B Notes 97.37%, Class C
Notes 59.77%, Class D Notes 41.70%, Class E Notes 26.05%
Excess Spread per annum - Approximately 10.7%
Issuer: Santander Drive Auto Receivables Trust 2013-A
Lifetime CNL expectation -- 13.00%, prior expectation (March
2016) -- 13.50%
Lifetime Remaining CNL expectation -- 12.44%
Aaa (sf) level - 38.00%
Pool factor -- 29.31%
Total Hard credit enhancement - Class B Notes 98.60%, Class C
Notes 57.65%, Class D Notes 38.88%, Class E Notes 21.82%
Excess Spread per annum - Approximately 9.5%
Issuer: Santander Drive Auto Receivables Trust 2014-2
Lifetime CNL expectation -- 13.00%, prior expectation (March
2016) -- 14.00%
Lifetime Remaining CNL expectation -- 13.47%
Aaa (sf) level - 38.00%
Pool factor -- 36.76%
Total Hard credit enhancement - Class B Notes 81.02%, Class C
Notes 48.24%, Class D Notes 35.45%, Class E Notes 21.44%
Excess Spread per annum - Approximately 10.7%
Issuer: Santander Drive Auto Receivables Trust 2014-3
Lifetime CNL expectation - 13.00%, prior expectation (March
2016) -- 14.00%
Lifetime Remaining CNL expectation -- 13.66%
Aaa (sf) level - 38.00%
Pool factor -- 41.93%
Total Hard credit enhancement - Class B Notes 83.19%, Class C
Notes 52.19%, Class D Notes 33.69%, Class E Notes 21.77%
Excess Spread per annum - Approximately 10.4%
Issuer: Santander Drive Auto Receivables Trust 2014-4
Lifetime CNL expectation - 14.00%, prior expectation (March
2016) -- 14.00%
Lifetime Remaining CNL expectation -- 15.58%
Aaa (sf) level - 40.00%
Pool factor -- 48.92%
Total Hard credit enhancement - Class A Notes 95.18%, Class B
Notes 73.72%, Class C Notes 47.15%, Class D Notes 31.31%, Class
E Notes 21.09%
Excess Spread per annum - Approximately 10.2%
Issuer: Santander Drive Auto Receivables Trust 2014-5
Lifetime CNL expectation - 14.00%, prior expectation (March
2016) -- 14.00%
Lifetime Remaining CNL expectation -- 15.35%
Aaa (sf) level - 40.00%
Pool factor -- 53.54%
Total Hard credit enhancement - Class A Notes 88.44%, Class B
Notes 68.83%, Class C Notes 44.55%, Class D Notes 30.07%, Class
E Notes 20.74%
Excess Spread per annum - Approximately 10.5%
Issuer: Santander Drive Auto Receivables Trust 2015-2
Lifetime CNL expectation - 15.00%, prior expectation (March
2016) -- 15.00%
Lifetime Remaining CNL expectation -- 17.64%
Aaa (sf) level - 42.00%
Pool factor -- 63.93%
Total Hard credit enhancement - Class A Notes 78.79%, Class B
Notes 60.41%, Class C Notes 40.07%, Class D Notes 27.95%, Class
E Notes 20.13%
Excess Spread per annum - Approximately 11.1%
Issuer: Santander Drive Auto Receivables Trust 2015-3
Lifetime CNL expectation -- 16.00%, prior expectation (March
2016) -- 17.00%
Lifetime Remaining CNL expectation -- 18.48%
Aaa (sf) level - 44.00%
Pool factor -- 69.36%
Total Hard credit enhancement - Class A Notes 74.45%, Class B
Notes 57.01%, Class C Notes 38.26%, Class D Notes 27.09%, Class
E Notes 19.88%
Excess Spread per annum - Approximately 10.8%
Issuer: Santander Drive Auto Receivables Trust 2015-4
Lifetime CNL expectation - 16.00%, prior expectation (March
2016) -- 17.00%
Lifetime Remaining CNL expectation -- 17.89%
Aaa (sf) level - 46.00%
Pool factor -- 75.69%
Total Hard credit enhancement - Class A Notes 69.65%, Class B
Notes 53.66%, Class C Notes 36.49%, Class D Notes 26.25%, Class
E Notes 19.64%
Excess Spread per annum - Approximately 10.9%
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
December 2015.
Factors that would lead to an upgrade or downgrade of ratings:
Up
Levels of credit protection that are greater than necessary to
protect investors against current expectations of loss could lead
to an upgrade of the rating. Moody's current expectations of loss
may be better than its original expectations because of lower
frequency of default by the underlying obligors or appreciation in
the value of the vehicles that secure the obligor's promise of
payment. The US job market and the market for used vehicle are
primary drivers of performance. Other reasons for better
performance than Moody's expected include changes in servicing
practices to maximize collections on the loans or refinancing
opportunities that result in a prepayment of the loan.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could lead to a
downgrade of the ratings. Moody's current expectations of loss may
be worse than its original expectations because of higher frequency
of default by the underlying obligors of the loans or a
deterioration in the value of the vehicles that secure the
obligor's promise of payment. The US job market and the market for
used vehicle are primary drivers of performance. Other reasons for
worse performance than Moody's expected include poor servicing,
error on the part of transaction parties, lack of transactional
governance and fraud.
SSB RV TRUST 2001-1: Moody's Cuts Cl. C Debt Rating to Caa3(sf)
---------------------------------------------------------------
Moody's Investors Service downgraded Class-C and affirmed Class-D
tranches issued from SSB RV Trust 2001-1, an ABS transaction backed
by recreational vehicle (RV) installment sales contracts. The
transaction is currently serviced by Caliber Home Loans, Inc. The
previous servicer, Vericrest Financial, Inc., formerly known as CIT
Group/Sales Financing, Inc, was acquired by Lone Star Funds in
2009.
The complete rating actions are as follow:
Issuer: SSB RV Trust 2001-1
Cl. C, Downgraded to Caa3 (sf); previously on Nov 5, 2015
Downgraded to Ba2 (sf)
Cl. D, Affirmed C (sf); previously on Nov 5, 2015 Downgraded to C
(sf)
RATINGS RATIONALE
The downgrade resulted from the growing under-collateralization due
to a structure in which the notes are not written off, uncertain
recovery rates on the underlying collateral and elevated 90+
delinquency rates. Interest generated by the underlying collateral
is not sufficient to pay the interest due on the notes resulting in
deferred interest for the Class-D. Principal receipts are being
used to pay interest on the notes leading to growing
under-collateralization each period. The losses have depleted the
reserve account and the transaction is currently
under-collateralized by approximately $22.5 million or 99.15% of
the Class-D principal balance, which provides protection for the
Class-C. The 9.50% lifetime cumulative net loss (CNL) expectation
for the underlying collateral pool of the 2001-1 transaction
remains unchanged from our last review. As of June 2016
distribution date the pool contains 155 outstanding contracts.
Unlike other vehicle-backed ABS, the impact of the weakened economy
on RV transactions was more severe and long lasting due to the
non-essential nature of the underlying collateral, and the longer
financing terms, which on average range between 170 and 185 months
at closing. As a result, the transaction has experienced more than
one economic downturn during its life.
Below are key performance metrics (as of the June 2016 distribution
date) and credit assumptions for the affected transactions. Credit
assumptions include Moody's lifetime CNL expectation, expressed as
a percentage of the original pool balance, and Moody's lifetime
remaining CNL expectation, expressed as a percentage of the current
pool balance. Performance metrics include the pool factor (the
ratio of the current collateral balance to the original collateral
balance at closing); and total credit enhancement, which typically
consists of subordination, overcollateralization, reserve fund and
excess spread per annum.
Issuer: SSB RV Trust 2001-1
Lifetime CNL expectation -- 9.50%; prior expectation (November
2015) -- 9.50%
Remaining CNL expectation -- 17.79%
Pool factor -- 0.74%
Total hard credit enhancement (excluding excess spread): Class C --
3.98%
Class C Balance - $4,630,643
Class D Balance - $22,678,733
Overcollateralization - $(22,486,982)
STEELE CREEK 2016-1: Moody's Assigns Ba3(sf) Rating to Class E Debt
-------------------------------------------------------------------
Moody's Investors Service, has assigned ratings to six classes of
notes issued by Steele Creek CLO 2016-1, Ltd. (the "Issuer" or
"Steele Creek 2016-1").
Moody's rating action is as follows:
US$1,750,000 Class X Senior Secured Floating Rate Notes due 2028
(the "Class X Notes"), Assigned Aaa (sf)
US$190,500,000 Class A Senior Secured Floating Rate Notes due 2028
(the "Class A Notes"), Assigned Aaa (sf)
US$34,500,000 Class B Senior Secured Floating Rate Notes due 2028
(the "Class B Notes"), Assigned Aa2 (sf)
US$19,500,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class C Notes"), Assigned A2 (sf)
US$16,250,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class D Notes"), Assigned Baa3 (sf)
US$14,000,000 Class E Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class E Notes"), Assigned Ba3 (sf)
The Class X Notes, 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."
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.
Steele Creek 2016-1 is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated first lien
senior secured corporate loans. At least 92.5% of the portfolio
must consist of senior secured loans and eligible investments, and
up to 7.5% of the portfolio may consist of second lien loans and
unsecured loans. The portfolio is approximately 65% ramped as of
the closing date.
Steele Creek Investment Management LLC (the "Manager") will direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year
reinvestment period. Thereafter, the Manager may reinvest up to 50%
of unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue 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.
TCI-FLATIRON 2016-1: Moody's Assigns Ba3 Rating to Class E Notes
----------------------------------------------------------------
Moody's Investors Service, has assigned ratings to five classes of
notes issued by TCI-Flatiron CLO 2016-1 Ltd. (the "Issuer" or
"TCI-Flatiron CLO 2016-1").
Moody's rating action is as follows:
US$256,000,000 Class A Senior Secured Floating Rate Notes due 2028
(the "Class A Notes"), Definitive Rating Assigned Aaa (sf)
US$46,000,000 Class B Senior Secured Floating Rate Notes due 2028
(the "Class B Notes"), Definitive Rating Assigned Aa2 (sf)
US$22,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2028 (the "Class C Notes"), Definitive Rating Assigned A2 (sf)
US$24,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2028 (the "Class D Notes"), Definitive Rating Assigned Baa3
(sf)
US$20,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2028 (the "Class E Notes"), Definitive Rating Assigned 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."
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.
TCI-Flatiron CLO 2016-1 is a managed cash flow CLO. The issued
notes will be collateralized primarily by broadly syndicated first
lien senior secured corporate loans. At least 90% of the portfolio
must consist of senior secured loans, cash, and eligible
investments, and up to 10% of the portfolio may consist of second
lien loans and unsecured loans. The portfolio is approximately 75%
ramped as of the closing date.
TCI Capital Management LLC (the "Manager") and NYL Investors LLC,
as sub-advisor (the "Sub-Advisor"), 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 4.5 year reinvestment period.
Thereafter, the Manager and the Sub-Advisor may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2015.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $400,000,000
Diversity Score: 55
Weighted Average Rating Factor (WARF): 2840
Weighted Average Spread (WAS): 3.70%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 8.25 years.
THL CREDIT 2012-1: S&P Raises Rating on Cl. E Notes to BB
---------------------------------------------------------
S&P Global Ratings raised its ratings on the B-1, B-2, C-1, C-2, D,
and E notes from THL Credit Wind River 2012-1 CLO Ltd., a U.S
collateralized loan obligation (CLO) that closed in December of
2012 and is scheduled to reinvest until April 2017. At the same
time, S&P affirmed its ratings on the class A and combination notes
from the same transaction.
The rating actions follow S&P's review of the transaction's
performance using data from the May 25, 2016, trustee report.
The main benefit to the transaction has come from an increase in
its collateral principal amount since the March 2013 effective
date. Specifically, the balance increased to $507.24 million in
May 2016 from $501.44 million as of March 2013. This nearly
$6 million increase in par means there is more collateral available
to support the rated notes, which can be seen by the increase in
the overcollateralization (O/C) ratios at all rating levels:
-- The class A/B O/C ratio increased to 137.38% from 135.89%.
-- The class C O/C ratio increased to 124.10% from 122.75%.
-- The class D O/C ratio increased to 116.68% from 115.41%.
-- The class E O/C ratio increased to 110.09% from 108.89%.
This increase in the collateral principal amount was not a result
of the transaction prioritizing par over credit quality. In fact,
outside of an increase in assets rated 'CCC+' and below (which
increased to over 6% of the portfolio from zero as of the March
2013 effective date), the pool's credit quality has improved. For
example, the percentage of the portfolio representing assets rated
'B' and 'B+' has declined by roughly 25%, while those rated 'BB-'
and above has increased by over 15%.
Although cash flow ratings point to higher ratings for the class
B-1, B-2, C-1, C-2, D, E, and combination notes, S&P's rating
actions consider the fact that the transaction is still in the
reinvestment phase, as well as additional sensitivities that
capture any potential changes in the underlying portfolio that may
occur before the notes begin to amortize.
"Our 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 our criteria, our 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, our analysis
considered the transaction's ability to pay timely interest or
ultimate principal to each of the rated tranches. The results of
the cash flow analysis demonstrated, in our view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with this rating action,"
S&P said.
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
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A AAA (sf) AAA (sf) 19.63% AAA (sf)
B-1 AA (sf) AAA (sf) 2.93% AA+ (sf)
B-2 AA (sf) AAA (sf) 2.93% AA+ (sf)
C-1 A (sf) AA+ (sf) 2.34% A+ (sf)
C-2 A (sf) AA+ (sf) 2.34% A+ (sf)
D BBB (sf) A+ (sf) 0.56% BBB+ (sf)
E BB- (sf) BB+ (sf) 6.51% BB (sf)
Combination BBB+ (sf) A+ (sf) 0.64% BBB+ (sf)
notes(iii)
(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.
(iii) The combination notes principal reflects $5 million of class
C-1 note principal and $8 million of class D note principal.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated additional
scenarios in which it made negative adjustments of 10% to the
current collateral pool's recovery rates relative to each tranche's
weighted average recovery rate. S&P also generated other scenarios
by adjusting the intra- and inter-industry correlations to assess
the current portfolio's sensitivity to different correlation
assumptions, assuming the correlation scenarios outlined below.
Correlation
Scenario Within industry (%) Between industries (%)
Below base case 15.0 5.0
Base case equals rating 20.0 7.5
Above base case 25.0 10.0
Recovery Correlation Correlation
Cash flow decrease increase decrease
implied implied implied implied Final
Class rating rating rating rating rating
A AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B-1 AAA (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf)
B-2 AAA (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf)
C-1 AA+ (sf) AA- (sf) AA- (sf) AA+ (sf) A+ (sf)
C-2 AA+ (sf) AA- (sf) AA- (sf) AA+ (sf) A+ (sf)
D A+ (sf) BBB+ (sf) A- (sf) A+ (sf) BBB+ (sf)
E BB+ (sf) BB (sf) BB+ (sf) BBB- (sf) BB (sf)
Combination A+ (sf) BBB+ (sf) A- (sf) A+ (sf) BBB+ (sf)
notes
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-1 AAA (sf) AA+ (sf) AA+ (sf) AA+ (sf)
B-2 AAA (sf) AA+ (sf) AA+ (sf) AA+ (sf)
C-1 AA+ (sf) AA- (sf) A+ (sf) A+ (sf)
C-2 AA+ (sf) AA- (sf) A+ (sf) A+ (sf)
D A+ (sf) BBB+ (sf) BBB- (sf) BBB+ (sf)
E BB+ (sf) BB+ (sf) B+ (sf) BB (sf)
Combination A+ (sf) BBB+ (sf) BBB- (sf) BBB+ (sf)
notes
RATINGS RAISED
THL Credit Wind River 2012-1 CLO Ltd.
Class Rating
To From
B-1 AA+ (sf) AA (sf)
B-2 AA+ (sf) AA (sf)
C-1 A+ (sf) A (sf)
C-2 A+ (sf) A (sf)
D BBB+ (sf) BBB (sf)
E BB (sf) BB- (sf)
RATINGS AFFIRMED
THL Credit Wind River 2012-1 CLO Ltd.
Class Rating
A AAA (sf)
Combination notes BBB+ (sf)
THL CREDIT 2013-1: S&P Raises Rating on Class D Notes to BB+
------------------------------------------------------------
S&P Global Ratings raised its ratings on the class A-2A, A-2B, B,
C, and D notes from THL Credit Wind River 2013-1 CLO Ltd., a cash
flow collateralized loan obligation (CLO) transaction, and affirmed
its rating on class A-1.
The upgrades mainly reflect stable performance and the underlying
collateral pool's overall credit seasoning. According to the May
2016 trustee report, which S&P used for this review, the pool's
weighted average life decreased to 4.4 years from the 5.6 years
reported in July 2013. The overcollateralization (O/C) ratios have
increased slightly since the effective date. In the May 2016
trustee report, the trustee reported these O/C ratios:
-- The class A ratio was 138.13%, up from the 137.44% reported
in the July 2013 report, which S&P referenced for its
October 2013 rating actions.
-- The class B ratio was 123.50%, up from the 122.88% reported
in July 2013.
-- The class C ratio was 115.57%, up from the 114.99% reported
in July 2013. The class D ratio was 108.96%, up from the
108.42% reported in July 2013.
Although the cash flow results showed higher ratings for the class
A-2, B, C, and D notes, S&P considered the fact that the
transaction is still in its reinvestment period, which is scheduled
to end in April 2017, and has not yet paid down any principal to
the rated notes. Future reinvestments could change some of the
portfolio characteristics.
The affirmation of the rating on the class A-1 notes reflects S&P's
belief that the credit support available is commensurate with its
current rating level.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with S&P's criteria, its cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest or
ultimate principal, or both, to each of the rated tranches. 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 these rating
actions.
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 appropriate.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
THL Credit Wind River 2013-1 CLO Ltd.
Cash flow
Previous implied Cash flow Final
Class rating rating(i) cushion(ii) rating
A-1 AAA (sf) AAA (sf) 25.09% AAA (sf)
A-2A AA (sf) AAA (sf) 8.18% AA+ (sf)
A-2B AA (sf) AAA (sf) 8.18% AA+ (sf)
B A (sf) AA+ (sf) 6.81% A+ (sf)
C BBB (sf) A+ (sf) 5.26% BBB+ (sf)
D BB (sf) BBB (sf) 0.26% 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 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-2A AAA (sf) AAA (sf) AAA (sf) AAA (sf) AA+ (sf)
A-2B AAA (sf) AAA (sf) AAA (sf) AAA (sf) AA+ (sf))
B AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) A+ (sf)
C A+ (sf) A- (sf) A+ (sf) AA- (sf) BBB+ (sf)
D BBB (sf) BB+ (sf) BBB- (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-2A AAA (sf) AAA (sf) AAA (sf) AA+ (sf)
A-2B AAA (sf) AAA (sf) AAA (sf) AA+ (sf)
B AA+ (sf) AA+ (sf) A+ (sf) A+ (sf)
C A+ (sf) A (sf) BBB+ (sf) BBB+ (sf)
D BBB (sf) BB+ (sf) B+ (sf) BB+ (sf)
RATINGS RAISED
THL Credit Wind River 2013-1 CLO Ltd.
Rating
Class To From
A-2A AA+ (sf) AA (sf)
A-2B AA+ (sf) AA (sf)
B A+ (sf) A (sf)
C BBB+ (sf) BBB (sf)
D BB+ (sf) BB (sf)
RATING AFFIRMED
THL Credit Wind River 2013-1 CLO Ltd.
Class Rating
A-1 AAA (sf)
TICP CLO 2016-1: Moody's Assigns Def. Ba3 Rating to Cl. E Debt
--------------------------------------------------------------
Moody's Investors Service, has assigned ratings to seven classes of
notes issued by TICP CLO V 2016-1, Ltd. (the "Issuer" or "TICP CLO
V 2016-1").
Moody's rating action is as follows:
US$240,000,000 Class A Senior Secured Floating Rate Notes due 2028
(the "Class A Notes"), Definitive Rating Assigned Aaa (sf)
US$44,000,000 Class B-1 Senior Secured Floating Rate Notes due 2028
(the "Class B-1 Notes"), Definitive Rating Assigned Aa2 (sf)
US$20,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2028
(the "Class B-2 Notes"), Definitive Rating Assigned Aa2 (sf)
US$21,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class C Notes"), Definitive Rating Assigned A2
(sf)
US$13,000,000 Class D-1 Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class D-1 Notes"), Definitive Rating Assigned
Baa3 (sf)
US$10,000,000 Class D-2 Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class D-2 Notes"), Definitive Rating Assigned
Baa3 (sf)
US$20,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2028 (the "Class E Notes"), Definitive Rating Assigned Ba3
(sf)
The Class A Notes, the Class B-1 Notes, the Class B-2 Notes, the
Class C Notes, the Class D-1 Notes, the Class D-2 Notes and the
Class E 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.
TICP CLO V 2016-1 is a managed cash flow CLO. The issued notes will
be collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90% of the portfolio must consist
of senior secured loans, cash, and eligible investments, and up to
10% of the portfolio may consist of second lien loans and unsecured
loans. The portfolio is approximately 80% ramped as of the closing
date.
TICP CLO V 2016-1 Management, LLC (the "Manager") and TPG Global,
LLC and its subsidiaries (pursuant to the terms of a services
agreement with the Manager) will direct the selection, acquisition
and disposition of the assets on behalf of the Issuer and may
engage in trading activity, including discretionary trading, during
the transaction's four year reinvestment period. Thereafter, the
Manager may reinvest unscheduled principal payments and proceeds
from sales of credit risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer has issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2015.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $400,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2810
Weighted Average Spread (WAS): 3.80%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 48.5%
Weighted Average Life (WAL): 8 years.
TRAPEZA CDO IX: Fitch Affirms 'Csf' Rating on Class C Notes
-----------------------------------------------------------
Fitch Ratings has affirmed the ratings on all seven classes of
notes of Trapeza CDO IX, Ltd./Inc. (Trapeza IX). Fitch has revised
the Rating Outlook to Negative from Stable on two of the classes.
KEY RATING DRIVERS
Although the notes can withstand higher rating stresses than their
current ratings with regards to principal coverage, the ratings are
limited by their ability to pay timely interest. The risk will be
partially mitigated by the step down of the notional of the
interest rate swap in July 2016, from $80 million to $50 million.
However, interest shortfall risk will remain as one of the fixed
rate assets, representing 2% of the portfolio, will reach its'
maturity date in June 2017. To address the risk of interest
shortfall, Fitch applied multiple scenarios that incorporated the
lowest interest collection periods, maturity of the fixed asset in
June 2017, and step down of the outsized interest rate swap. The
ratings and Outlooks for all classes of notes reflect the range of
results from the interest shortfall analysis.
Since Fitch's last rating action in August 2015, the portfolio has
experienced a net positive credit migration, as measured by a
combination of Fitch's bank scores and ratings. One new deferral
representing 3.6% of the current portfolio balance has been
reported since last review. There are no new cures since August
2015.
Trapeza IX's portfolio balance has decreased marginally by $7.2
million, or 2.9% of last review balance. Part of the proceeds
received from the collateral sales and redemptions, covered a
shortfall in interest payment to the non-deferrable classes, caused
by the outsized interest rate swap and volatility of interest
collections resulting from 12.2% of the collateral notional paying
on a semi-annual basis. The recovery proceeds from the cancellation
of one defaulted security in May 2016, will also act as an
additional cushion to prevent an interest shortfall for the
upcoming July 2016 payment period. During payment periods of higher
interest collections in April and October, minimal amount of excess
spread is used to pay down the senior-most notes and increased
credit enhancement (CE) levels for rated liabilities due to the
failing class B/C Coverage test.
RATING SENSITIVITIES
In addition to the risk of interest shortfall, ratings are
sensitive to the pace of transaction deleveraging, credit quality
migration in the underlying portfolio, frequency and success of
additional discretionary sales, and any additional deferrals or
defaults.
DUE DILIGENCE USAGE
No third party due diligence was reviewed in relation to this
rating action.
Fitch has affirmed all classes and revised the Rating Outlooks as
indicated:
-- $103,403,859 class A-1 notes at 'BBsf'; Outlook to Negative
from Stable;
-- $27,000,000 class A-2 notes at 'Bsf'; Outlook to Negative from
Stable;
-- $23,000,000 class A-3 notes at 'CCCsf';
-- $23,476,967 class B-1 notes at 'CCsf';
-- $10,207,377 class B-2 notes at 'CCsf';
-- $26,091,944 class B-3 notes at 'CCsf';
-- $16,633,393 class C notes at 'Csf'.
WACHOVIA BANK 2005-C16: Moody's Affirms Caa2 Rating on 2 Tranches
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two classes
and affirmed the ratings on seven classes in Wachovia Bank
Commercial Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2005-C16 as follows:
Cl. G, Affirmed Aaa (sf); previously on Aug 21, 2015 Upgraded to
Aaa (sf)
Cl. H, Upgraded to A1 (sf); previously on Aug 21, 2015 Upgraded to
A3 (sf)
Cl. J, Upgraded to Ba1 (sf); previously on Aug 21, 2015 Affirmed
Ba3 (sf)
Cl. K, Affirmed B3 (sf); previously on Aug 21, 2015 Affirmed B3
(sf)
Cl. L, Affirmed Caa1 (sf); previously on Aug 21, 2015 Affirmed Caa1
(sf)
Cl. M, Affirmed Caa2 (sf); previously on Aug 21, 2015 Affirmed Caa2
(sf)
Cl. N, Affirmed Caa3 (sf); previously on Aug 21, 2015 Affirmed Caa3
(sf)
Cl. O, Affirmed Ca (sf); previously on Aug 21, 2015 Affirmed Ca
(sf)
Cl. X-C, Affirmed Caa2 (sf); previously on Aug 21, 2015 Downgraded
to Caa2 (sf)
RATINGS RATIONALE
The ratings on the P&I classes H and J were upgraded due to an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 11.6% since Moody's last
review.
The rating on Class G was affirmed because the transaction's key
metrics, including Moody's loan-to-value (LTV) ratio, Moody's
stressed debt service coverage ratio (DSCR) and the transaction's
Herfindahl Index (Herf), are within acceptable ranges. The ratings
on five P&I classes, Classes K through O, were affirmed because the
ratings are consistent with Moody's expected loss.
The rating on the IO class, Class X-C, was affirmed based on the
credit performance (or weighted average rating factor or WARF) of
the referenced classes.
Moody's rating action reflects a base expected loss of 11.2% of the
current balance, compared to 15.1% at Moody's last review. Moody's
base expected loss plus realized losses is now 1.9% of the original
pooled balance, compared to 2.0% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
DEAL PERFORMANCE
As of the June 17, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $68.9 million
from $2.06 billion at securitization. The certificates are
collateralized by 10 mortgage loans ranging in size from less than
1% to 67% of the pool. Five loans, constituting 23.7% of the pool,
have defeased and are secured by US government securities.
Two loans, constituting 71.8% 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.
Twelve loans have been liquidated from the pool with a loss,
resulting in an aggregate realized loss of $32 million (for an
average loss severity of 57.1%).
Moody's received full year 2015 operating results for 100% of the
pool. Moody's weighted average conduit LTV is 126%, compared to
107% at Moody's last review. Moody's conduit component excludes
defeased, specially serviced and troubled loans. Moody's value
reflects a weighted average capitalization rate of 9.5%.
Moody's actual and stressed conduit DSCRs are 0.88X and 1.03X,
respectively, compared to 1.03X and 1.02X 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 74.5% of the pool balance.
The largest loan is the AON Office Building Loan ($46.1 million --
66.9% of the pool), which is secured by a Class A suburban office
building located in Glenview, IL approximately 14 miles northwest
of the Chicago CBD. As of December 2015, the property was 98%
leased to two tenants. The loan is currently on the watchlist
because AON Corporation, the largest tenant, will not be renewing
their lease when it expires in April 2017. The property was
purchased by VEREIT (former American Realty Capital) in the fourth
quarter of 2013 as part of a national office/retail portfolio sale.
The loan, which had an anticipated repayment date ("ARD") in
November 2014, has entered into its hyper-amortization period.
Moody's analysis factored in the near-term lease expiration.
Moody's LTV and stressed DSCR are 135% and 0.91X, respectively,
compared to 111% and 0.93X at the last review.
The second largest loan is the Best Buy - Cerritos Loan ($3.4
million -- 5.0% of the pool), which is secured by a single-tenant
retail property. The property is 100% leased by Best Buy through
November 2020. Moody's accounted for single-tenant risk through a
lit/dark blended value approach. Moody's LTV and stressed DSCR are
77.3% and 1.26X, respectively, compared to 92.1% and 1.06X at the
last review.
The third largest loan is the Walgreens -- Carrollton, GA Loan
($1.8 million -- 2.7% of the pool), which is secured by a
single-tenant retail property. The subject is 100% leased to
Walgreens through November 2026. Moody's accounted for
single-tenant risk through a lit/dark blended value approach. This
is a fully amortizing loan and has paid down 37% since
securitization. Moody's LTV and stressed DSCR are 78.5% and 1.38X,
respectively, compared to 82.7% and 1.31X at the last review.
WACHOVIA BANK 2005-C18: Moody's Hikes Class G Debt Rating to B1
---------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class,
affirmed the rating on one class, and downgraded the rating on one
class in Wachovia Bank Commercial Mortgage Trust, Commercial
Mortgage Pass-Through Certificates, Series 2005-C18 as follows:
Cl. G, Upgraded to B1 (sf); previously on Jul 31, 2015 Affirmed
Caa3 (sf)
Cl. H, Affirmed C (sf); previously on Jul 31, 2015 Affirmed C (sf)
Cl. X-C, Downgraded to C (sf); previously on Jul 31, 2015
Downgraded to Caa3 (sf)
RATINGS RATIONALE
The rating on Class G was upgraded based primarily on an increase
in credit support resulting from loan paydowns and amortization, as
well as realized losses from specially serviced and troubled loans
that were lower than Moody's had previously expected. The deal has
paid down 85% since Moody's last review.
The rating on Class H was affirmed because the ratings are
consistent with Moody's expected loss. Class H has already
experienced a 48% realized loss as result of previously liquidated
loans.
The rating on the IO Class, X-C, was downgraded because it is not,
nor expected to, receive monthly interest payments.
Moody's rating action reflects a base expected loss of 25.4% of the
current balance, compared to 50.2% at Moody's last review. Moody's
base expected loss plus realized losses is now 4.6% of the original
pooled balance, compared to 5.0% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
DEAL PERFORMANCE
As of the June 17, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $13 million
from $1.41 billion at securitization. The certificates are
collateralized by two mortgage loans.
One of two remaining loans, constituting 64% 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.
Seven loans have been liquidated from the pool, resulting in an
aggregate realized loss of $61 million (for an average loss
severity of 43%). One loan is currently in special servicing. The
specially serviced loan is the Friarsgate Plaza Shopping Center
Loan ($4.8 million -- 36% of the pool), which is secured by a
neighborhood shopping center in Irmo, South Carolina, a suburb of
Columbia located 12 miles northwest of the city center. The loan
was transferred to Special Servicing in April 2015 due to a
maturity default, and was deemed non-recoverable in June 2015.
Moody's anticipates a significant loss for this loan.
The sole performing loan in the pool is the Market Square -- Phase
II Loan ($8.3 million -- 64% of the pool), which is secured by a
66,000 square feet retail property in Fort Myers, Florida. The loan
was added to the master servicer's watchlist in February 2015 for
an upcoming Anticipated Repayment Date (ARD) in May 2015. The loan
has since passed its ARD without payoff, therefore interest rate
has increased and excess cash is collected and applied towards
principal. Occupancy decreased from 100% to 66% at year-end 2015
due to the largest tenant ending their lease early. The servicer
indicated that the Borrower has a replacement tenant with an
estimated rent commencement date in August 2016. Moody's LTV and
stressed DSCR are 114% and 0.90X, respectively, compared to 109%
and 0.94X at prior review.
WACHOVIA BANK 2006-C29: Moody's Affirms C(sf) Rating on Cl. J Debt
------------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class,
affirmed the ratings on eleven classes and downgraded the rating on
one class in Wachovia Bank Commercial Mortgage Trust Pass-Through
Certificates, Series 2006-C29 as follows:
Cl. A-1A, Affirmed Aaa (sf); previously on Aug 27, 2015 Affirmed
Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Aug 27, 2015 Affirmed Aaa
(sf)
Cl. A-M, Upgraded to A2 (sf); previously on Aug 27, 2015 Affirmed
A3 (sf)
Cl. A-J, Affirmed B3 (sf); previously on Aug 27, 2015 Affirmed B3
(sf)
Cl. B, Affirmed Caa1 (sf); previously on Aug 27, 2015 Affirmed Caa1
(sf)
Cl. C, Affirmed Caa2 (sf); previously on Aug 27, 2015 Affirmed Caa2
(sf)
Cl. D, Affirmed Caa3 (sf); previously on Aug 27, 2015 Affirmed Caa3
(sf)
Cl. E, Affirmed Ca (sf); previously on Aug 27, 2015 Affirmed Ca
(sf)
Cl. F, Affirmed C (sf); previously on Aug 27, 2015 Affirmed C (sf)
Cl. G, Affirmed C (sf); previously on Aug 27, 2015 Affirmed C (sf)
Cl. H, Affirmed C (sf); previously on Aug 27, 2015 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Aug 27, 2015 Affirmed C (sf)
Cl. IO, Downgraded to B1 (sf); previously on Aug 27, 2015 Affirmed
Ba3 (sf)
RATINGS RATIONALE
The rating on Class A-M was upgraded primarily due to an increase
in credit support since Moody's last review, resulting from
paydowns and amortization, as well as Moody's expectation of
additional increases in credit support resulting from the payoff of
loans approaching maturity that are well positioned for refinance.
The pool has paid down by 14% since Moody's last review. In
addition, loans constituting 27% of the pool that have debt yields
exceeding 12% are scheduled to mature within the next 6 months.
The ratings on Classes A-4 and A-1A 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 nine P&I classes, Classes A-J through J, were
affirmed because the ratings are consistent with Moody's expected
loss.
The rating on the IO Class, Class IO, was downgraded due to the
decline in the credit performance of its reference classes
resulting from principal paydowns of higher quality reference
classes.
Moody's rating action reflects a base expected loss of 13.1% of the
current balance, compared to 11.9% at Moody's last review. Moody's
base expected loss plus realized losses is now 11.3% of the
original pooled balance, compared to 11.8% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
DEAL PERFORMANCE
As of the June 17, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 37% to $2.1 billion
from $3.4 billion at securitization. The certificates are
collateralized by 108 mortgage loans ranging in size from less than
1% to 11% of the pool, with the top ten loans constituting 45% of
the pool. Twelve loans, constituting 4.9% of the pool, have
defeased and are secured by US government securities.
Twenty-two loans, constituting 17.1% 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.
Eighteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $100 million (for an average loss
severity of 40%). Eleven loans, constituting 8.7% of the pool, are
currently in special servicing. The largest specially serviced loan
is the New Market Pool ($34.9 million -- 1.6% of the pool), which
is secured by a portfolio of six Class-B office buildings totaling
470,000 square feet (SF) located in Marietta, Georgia. The
buildings were developed from 1981 to 1986. The loan transferred to
special servicing in December 2010 due to imminent default and
became real estate owned (REO) in December 2013.
The remaining 10 specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $136 million loss
for the specially serviced loans (73% expected loss on average).
Moody's has assumed a high default probability for 12 poorly
performing loans, constituting 11.5% of the pool, and has estimated
an aggregate loss of $97 million (a 39% expected loss on average)
from these troubled loans.
Moody's received full year 2015 operating results for 99% of the
pool, and full or partial year 2016 operating results for 37% of
the pool. Moody's weighted average conduit LTV is 99%, 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 8.9% 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 1.61X and 1.05X,
respectively, compared to 1.54X and 0.99X 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 24% of the pool balance. The
largest loan is the BRE Retail Pool Loan ($234 million -- 11% of
the pool), which is secured by 16 cross-collateralized and
cross-defaulted retail properties located across 12 states. As of
December 2015, the portfolio was 96% leased compared to 97% at the
last review. The property was purchased by BRE Retail Holdings, an
affiliate of Blackstone Real Estate Partners, from Centro
Properties Group in 2011. Moody's LTV and stressed DSCR are 65% and
1.51X, respectively, compared to 65% and 1.50X at the last review.
The second largest loan is the Fox Valley Mall Loan ($150 million
-- 7% of the pool), which is secured by a 550,000 SF portion of a
1.4 million SF regional mall located in Aurora, Illinois. The mall
is anchored by Sears, Macy's and JC Penney, which are not part of
the collateral. As of March 2016, the property was 97% leased
compared to 76% at Moody's last review. Moody's LTV and stressed
DSCR are 109% and 0.89X, respectively, compared to 99% and 0.99X at
the last review.
The third largest loan is the Newport Bluffs Loan ($132 million --
6.2% of the pool), which represents a pari passu interest in a $264
million first mortgage loan. The loan is secured by a 1,052 unit
multifamily property located in Newport Beach, California. As of
December 2015, occupancy was 93% occupied compared to 94% in
December 2014. Moody's LTV and stressed DSCR are 99% and 0.90X,
respectively, compared to 111% and 0.78X at the last review.
WALDORF ASTORIA 2016-BOCA: Fitch to Rate Class F Debt 'B-sf'
------------------------------------------------------------
Fitch Ratings has issued a presale report on Waldorf Astoria Boca
Raton Trust 2016-BOCA commercial mortgage pass-through certificates
series 2016-BOCA.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $145,100,000 class A 'AAAsf'; Outlook Stable;
-- $275,000,000a class X-CP 'BBB-sf'; Outlook Stable;
-- $275,000,000a class X-NCP 'BBB-sf'; Outlook Stable;
-- $50,500,000 class B 'AA-sf'; Outlook Stable;
-- $37,400,000 class C 'A-sf'; Outlook Stable;
-- $42,000,000 class D 'BBB-sf'; Outlook Stable;
-- $80,000,000 class E 'BB-sf'; Outlook Stable;
-- $75,000,000 class F 'B-sf'; Outlook Stable.
(a) Notional amount and interest-only.
The expected ratings are based on information provided by the
issuer as of June 15, 2016.
The certificates represent the beneficial interest in a trust that
holds a two-year, floating-rate, interest-only $430 million
mortgage loan secured by the fee and leasehold interests in the
1,047-room Waldorf Astoria Boca Raton Resort & Club. The loan is
sponsored by the Blackstone Group, L.P. (Blackstone). The loan was
co-originated by JPMorgan Chase Bank, National Association (rated
'A+'/'F1+'/Stable Outlook) and Goldman Sachs Mortgage Company
(rated 'A'/'F1'/Stable Outlook).
KEY RATING DRIVERS
High Leverage on Full Debt Stack: The total debt package includes
mezzanine financing in the amount of $285 million that is not
included in the trust. Fitch's stressed debt service coverage ratio
(DSCR) and loan to value (LTV) for the full debt stack are 0.66x
and 165.5%, respectively. Fitch's DSCR and LTV for the trust
component of the debt are 1.10x and 99.5%.
Asset Quality: Fitch assigned the Waldorf Astoria Boca Raton Resort
and Club a property quality grade of A-'. The collateral has both
lakefront (Lake Boca Raton) and oceanfront (Atlantic Ocean) land.
Property amenities include: a full-service spa, three fitness
centers, 30 tennis courts, 16 food and beverage (F&B) outlets, two
18-hole golf courses, seven swimming pools including a FlowRider
wave simulator, a 32-slip marina and approximately 200,000 square
feet of indoor and outdoor meeting space.
Significant Capital Invested by Sponsor: The sponsor acquired the
property in 2004 and has invested $274.2 million ($261,886/key)
since acquisition. Completed renovations include: complete room
renovations at the Cloister, the Tower, and the Bungalows;
construction of the Boca Beach Club; upgrades to the Yacht Club
rooms; lobby modernization; F&B outlet improvements; and updating
the meeting facilities.
Non-traditional Hotel Income: For the trailing 12-month (TTM)
period ended April 2016, approximately $64.1 million of non-room
and non-F&B revenue was generated by the property, representing
29.6% of the property's total revenues. Ancillary revenue sources
include golf, spa, tennis, beach, marina and club fees.
RATING SENSITIVITIES
Fitch found that the 'AAAsf' class could withstand an approximate
72.8% decrease to the most recent actual net cash flow (NCF) prior
to experiencing $1 of loss to the 'AAAsf' rated class. Fitch
performed several stress scenarios in which the Fitch NCF was
stressed. Fitch determined that a 63.2% reduction in Fitch's
implied NCF would cause the notes to break even at a 1x debt
service coverage ratio (DSCR), based on the actual debt service.
Fitch evaluated the sensitivity of the ratings for class A and
found that a 21% decline in Fitch's implied NCF would result in a
one-category downgrade, while a 47% decline would result in a
downgrade to below investment grade.
The Rating Sensitivity section in the presale report includes a
detailed explanation of additional stresses and sensitivities. Key
Rating Drivers and Rating Sensitivities are further described in
the accompanying presale report.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from
Ernst and Young, LLP. The third-party due diligence information was
provided on ABS Due Diligence Form-15E and focused on a comparison
and re-computation of certain characteristics with respect to the
mortgage loan and related mortgaged properties in the data file.
Fitch considered this information in its analysis, and the findings
did not have an impact on its analysis.
WALDORF ASTORIA 2016-BOCA: S&P Gives Prelim B- Rating on F Certs
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Waldorf
Astoria Boca Raton Trust 2016-BOCA's $430.0 million commercial
mortgage pass-through certificates series 2016-BOCA.
The note issuance is a commercial mortgage-backed securities
transaction backed by one two-year, floating-rate commercial
mortgage loan totaling $430.0 million with three, one-year
extension options. The mortgage loan is secured by a
first-priority mortgage on the Waldorf Astoria Boca Raton Resort &
Club in Boca Raton, Fla. including the borrower's fee simple and
leasehold interest in the property, all furniture, fixtures,
equipment and personal property used to operate the property and
owned by the borrower/operating lessee, and the operating lessee's
interest in and under the operating lease and the leasehold
estate.
The preliminary ratings are based on information as of July 5,
2016. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of the collateral's
historical and projected performance, the sponsors' and manager's
experience, the trustee-provided liquidity, the loan's terms, and
the transaction's structure.
PRELIMINARY RATINGS ASSIGNED
Waldorf Astoria Boca Raton Trust 2016-BOCA
Class Rating(i) Amount ($)
A AAA (sf) 145,100,000
X-CP BBB- (sf) 275,000,000(ii)
X-NCP BBB- (sf) 275,000,000(ii)
B AA- (sf) 50,500,000
C A- (sf) 37,400,000
D BBB- (sf) 42,000,000
E BB- (sf) 80,000,000
F B- (sf) 75,000,000
(i) The issuer will issue the certificates to qualified
institutional buyers in line with Rule 144A of the Securities Act
of 1933.
(ii) Notional balance. The notional amount of the class X-CP and
X-NCP certificates will be reduced by the aggregate amount of
principal distributions and realized losses allocated to the class
A, B, C, and D certificates.
WAMU 2005-AR8: Moody's Raises Rating on Cl. 2-A-1C2 Debt to Caa1
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of four tranches
from WaMu Mortgage Pass-through Certificates, Series 2005-AR8.
Complete rating actions are:
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR8
Cl. 2-A-1A, Upgraded to A3 (sf); previously on Aug. 18, 2015,
Confirmed at Baa1 (sf)
Cl. 2-A-1C2, Upgraded to Caa1 (sf); previously on Aug. 18, 2015,
Upgraded to Caa2 (sf)
Cl. 2-A-1C3, Upgraded to Caa1 (sf); previously on Aug. 18, 2015,
Upgraded to Caa2 (sf)
Cl. X, Upgraded to Caa1 (sf); previously on Dec. 3, 2010,
Downgraded to Caa2 (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 ratings upgraded are a result of the improving
performance of the related pools and/or an increase in credit
enhancement available to the bonds.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.9% in June 2016 from 5.3% in June
2015. Moody's forecasts an unemployment central range of 4.5% to
5.5% for the 2016 year. Deviations from this central scenario
could lead to rating actions in the sector.
House prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2016. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
WELLS FARGO 2004-CC: Moody's Hikes Cl. A-1 Debt Rating to Ba1(sf)
-----------------------------------------------------------------
Moody's Investors Service has upgraded the rating of one tranche
backed by Prime Jumbo RMBS loans, issued by Wells Fargo Mortgage
Backed Securities 2004-CC Trust.
Complete rating action is as follows:
Issuer: Wells Fargo Mortgage Backed Securities 2004-CC Trust
Cl. A-1, Upgraded to Ba1 (sf); previously on Aug 10, 2015 Upgraded
to Ba3 (sf)
RATINGS RATIONALE
The action is a result of the recent performance of the underlying
pool and reflects Moody's updated loss expectation on the pool. The
rating upgraded reflects the credit enhancement available to the
bond.
WELLS FARGO 2012-LC5: Fitch Affirms B Rating on Cl. F Certificate
-----------------------------------------------------------------
Fitch Ratings has affirmed 12 classes of Wells Fargo Commercial
Mortgage Trust 2012-LC5 commercial mortgage pass-through
certificates, series 2012-LC5.
KEY RATING DRIVERS
The affirmations reflect stable pool performance since issuance.
The pool has no specially serviced or delinquent loans as of the
June 2016 distribution date. The pool's aggregate principal
balance has been reduced by 4.9% to $1.21 billion from
$1.28 billion at issuance. Approximately 0.7% of the pool is
defeased. There are five loans on the servicer watch list;
however, only two are considered Fitch Loans of Concern (2.2% of
the pool).
There was one variance from criteria related to class C. The
surveillance criteria indicated that a rating upgrade above the
recommended rating was possible for the class. Fitch has
determined an upgrade is not warranted at this time due to
non-material changes since issuance.
The largest Fitch Loan of Concern (1.7% of the pool) is secured by
a 78,514 square foot (sf) office building located in downtown
Washington, DC in close proximity to the White House. Occupancy
has fluctuated historically, which has affected performance since
issuance. Occupancy dropped from 95% at issuance to 76% as of
year-end (YE) 2013 and 67% as of YE 2014. As of YE 2015, the net
operating income (NOI) debt service coverage ratio (DSCR) and
occupancy were 0.67x and 86%, respectively. While occupancy has
recently increased, another large tenant is scheduled to vacate the
property this year. Fitch will continue to monitor.
The largest loan in the pool (12% of the pool) is The Westside
Pavilion, a 755,448 sf, three-level urban mall, 535,448 sf of which
serves as the collateral for the loan. The property is located in
Los Angeles, CA and anchored by Macy's (non-collateral), Macy's
Home, Nordstrom, and Landmark Theatres. Performance has remained
stable since issuance; as of YE 2015, the subject was 93% occupied
with a 1.65x NOI DSCR.
RATING SENSITIVITIES
Rating Outlooks remain Stable for classes A-1 through A-S and
classes D through F as overall pool performance has been stable
since issuance. The Positive Outlooks on classes B, C, and X-B
reflect an increase in class credit enhancement, position in the
capital structure, and potential paydown from maturities in 2017.
Upgrades may occur with stable to improved pool performance and
significant paydown or defeasance.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed these ratings and revised Outlooks where
indicated:
-- $18.3 million class A-1 at 'AAAsf'; Outlook Stable;
-- $156.2 million class A-2 at 'AAAsf'; Outlook Stable;
-- $556.7 million class A-3 at 'AAAsf'; Outlook Stable;
-- $100 million class A-SB at 'AAAsf'; Outlook Stable;
-- $955,730,628* class X-A 'AAAsf'; Outlook Stable;
-- $118,138,000* class X-B 'A-sf'; Outlook to Positive from
Stable;
-- $124.5 million class A-S at 'AAAsf'; Outlook Stable;
-- $76.6 million class B at 'AA-sf'; Outlook to Positive from
Stable;
-- $41.5 million class C at 'A-sf'; Outlook to Positive from
Stable;
-- $49.5 million class D at 'BBB-sf'; Outlook Stable;
-- $20.8 million class E at 'BBsf'; Outlook Stable;
-- $23.9 million class F at 'Bsf'; Outlook Stable.
*Notional amount and interest only.
Fitch does not rate the class G certificates.
WELLS FARGO 2016-C35: Fitch to Rate Class F Debt 'Bsf'
------------------------------------------------------
Fitch Ratings has issued a presale report on the Wells Fargo Bank
N.A. Commercial Mortgage Pass Through Securities, Series 2016-C35.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $47,834,000 class A-1 'AAAsf'; Outlook Stable;
-- $58,672,000 class A-2 'AAAsf'; Outlook Stable;
-- $265,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $277,377,000 class A-4 'AAAsf'; Outlook Stable;
-- $67,132,000 class A-SB 'AAAsf'; Outlook Stable;
-- $69,045,000 class A-S 'AAAsf'; Outlook Stable;
-- $785,060,000b class X-A 'AAAsf'; Outlook Stable;
-- $49,865,000 class B 'AA-sf'; Outlook Stable;
-- $48,587,000 class C 'A-sf'; Outlook Stable;
-- $56,258,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $56,258,000a class D 'BBB-sf'; Outlook Stable;
-- $21,736,000a class E 'BBsf'; Outlook Stable;
-- $11,508,000a class F 'Bsf'; 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 July 11, 2016. Fitch does not expect to rate the
$98,452,000 class X-B certificates or the $49,865,609 class G
certificates.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 102 loans secured by 140
commercial properties having an aggregate principal balance of
approximately $1.02 billion as of the cut-off date. The loans were
contributed to the trust by Rialto Mortgage Finance, Barclays Bank
PLC, Wells Fargo Bank, National Association, , LLC, UBS Real Estate
Securities Inc., C-III Commercial Mortgage LLC, National
Cooperative Bank, N.A., and Basis Real Estate Capital II, LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral including site inspections on 65.0% of the properties by
balance, cash flow analysis of 73.3%, and asset summary reviews on
73.3% of the pool.
KEY RATING DRIVERS
Higher Leverage than Recent Transactions: The pool's Fitch weighted
average DSCR and LTV are 1.32x and 105.2%, respectively. However,
excluding co-op and credit opinion collateral, the pool's weighted
average Fitch DSCR and LTV are 1.12x and 112.2%, respectively. This
is higher than other recent Fitch-rated transactions. The 2015 and
YTD 2016 averages Fitch LTVs were 109.3% and 107.5%, respectively.
The 2015 and YTD 2016 averages Fitch DSCRs were 1.18x and 1.17x,
respectively.
Co-Op Collateral: The pool contains 11 loans (5.6% of the pool)
secured by multifamily co-ops; 10 are in the New York City metro
area and one is in New Haven, CT. The weighted average Fitch DSCR
and LTV of the co-op collateral in this transaction as rentals are
4.17x and 47.1%, respectively.
Pool Concentration Better than Recent Deals: The top 10 loans
comprise 40.4% of the pool, which is below the YTD 2016 and 2015
averages of 55.4% and 49.3%, respectively. Additionally, the loan
concentration index (LCI) and sponsor concentration index (SCI) are
250 and 265, respectively, well below the YTD 2016 LCI and SCI
averages of 428 and 491 and the 2015 LCI and SCI averages of 367
and 410, respectively.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 16.1% below
the most recent year's net operating income (NOI); for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period. Unanticipated further declines
in property-level NCF could result in higher defaults and loss
severities on defaulted loans and in potential rating actions on
the certificates.
Fitch evaluated the sensitivity of the ratings assigned to WFCM
2016-C35 certificates and found that the transaction displays
average sensitivity to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'A-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'
could result. The presale report includes a detailed explanation of
additional stresses and sensitivities on pages 10-11.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from
Deloitte & Touche LLP. The third-party due diligence information
was provided on Form ABS Due Diligence-15E and focused on a
comparison and re-computation of certain characteristics with
respect to each of the 102 mortgage loans. Fitch considered this
information in its analysis and the findings did not have an impact
on the analysis.
WESTCOTT PARK: Moody's Assigns Ba3 Ratings to Class E Notes
-----------------------------------------------------------
Moody's Investors Service, has assigned ratings to five classes of
notes to be issued by Westcott Park CLO, Ltd.
Moody's rating action is as follows:
US$413,440,000 Class A Senior Secured Floating Rate Notes due 2028
(the "Class A Notes"), Definitive Rating Assigned Aaa (sf)
US$70,400,000 Class B Senior Secured Floating Rate Notes due 2028
(the "Class B Notes"), Definitive Rating Assigned Aa2 (sf)
US$34,560,000 Class C Secured Deferrable Floating Rate Notes due
2028 (the "Class C Notes"), Definitive Rating Assigned A2 (sf)
US$38,400,000 Class D Secured Deferrable Floating Rate Notes due
2028 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf)
US$32,000,000 Class E Secured Deferrable Floating Rate Notes due
2028 (the "Class E Notes"), Definitive Rating Assigned 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."
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.
Westcott Park is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 92.5% of the portfolio must
consist of senior secured loans (excluding any second lien loans),
cash and eligible investments, and up to 7.5% of the portfolio may
consist of collateral obligations that are not senior secured
loans, cash or eligible investments. The portfolio is approximately
85% ramped as of the closing date.
GSO / Blackstone Debt Funds Management LLC (the "Manager") will
direct the selection, acquisition and disposition of the assets on
behalf of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's 4.8 year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue 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.
WFRBS COMMERCIAL 2013-C15: Fitch Affirms B Rating on Cl. F Certs
----------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of WFRBS Commercial Mortgage
Trust (WFRBS) commercial mortgage pass-through certificates series
2013-C15.
KEY RATING DRIVERS
The affirmations are the result of stable performance of the
underlying pool since issuance. As of the June 2016 distribution
date, the pool's aggregate principal balance has been reduced by
5.3% to $1.05 billion from $1.11 billion at issuance. The pool has
experienced no realized losses to date. One loan (0.2%) is
defeased, and one loan is specially serviced (0.4%). Interest
shortfalls are currently affecting the non-rated class G.
The largest loan in the pool (10.5%) is secured by an interest in a
1.1 million square foot (sf) regional mall located in Augusta, GA.
The mall's anchors include Dillard's, Macy's, JC Penney and Sears,
all of which are excluded from the collateral. As of year-end (YE)
2015, the servicer-reported collateral occupancy and debt service
coverage ratio (DSCR) were 94.2% and 3.77x, respectively. In-line
comparable sales were $473 psf as of YE 2015 compared to $466 psf
the prior year.
The second largest loan in the pool (9.9%) is secured by two office
properties, one located in Long Beach, CA and the other in
Columbus, OH. Both properties are 100% leased to Molina Healthcare
(lease expires April 2038), which subleases all the space to a can
liner manufacturing company. The servicer-reported consolidated
DSCR was 2.41x as of YE 2015.
The specially serviced loan is secured by a 75-room limited service
hotel located in Sidney, MT. The loan transferred to specially
servicing March 2016 due to imminent default. The property's
performance has been impacted by recent volatility in the oil and
gas industry and new competition. As of YE 2015, the
servicer-reported DSCR was below 1.0x compared to 2.10x the prior
year.
RATING SENSITIVITIES
The Rating Outlook remains Stable for all classes. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset level event changes the transaction's
portfolio-level metrics.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed these ratings:
-- $1.6 million class A-1 at 'AAAsf', Outlook Stable;
-- $48.1 million class A-2 at 'AAAsf', Outlook Stable;
-- $260 million class A-3 at 'AAAsf', Outlook Stable;
-- $301.8 million class A-4 at 'AAAsf', Outlook Stable;
-- $104.8 million class A-SB at 'AAAsf', Outlook Stable;
-- $80.3 million class A-S*at 'AAAsf', Outlook Stable;
-- $796.6 million class X-A** at 'AAAsf', Outlook Stable;
-- $74.7 million class B* at 'AA-sf', Outlook Stable;
-- $42.9 million class C* at 'A-sf', Outlook Stable;
-- $62.3 million class D at 'BBB-sf', Outlook Stable;
-- $22.1 million class E at 'BBsf', Outlook Stable;
-- $11.1 million class F at 'Bsf', Outlook Stable.
-- $197.9 million class PEX* at 'A-sf', Outlook Stable.
Fitch does not rate the $38.7 million class G notes.
* The class A-S, class B and class C certificates may be exchanged
for class PEX certificates, and class PEX certificates may be
exchanged for the class A-S, class B and class C certificates.
** Notional amount and interest only.
[*] Fitch Takes Various Actions on 48 Classes in 10 U.S. RMBS Deals
-------------------------------------------------------------------
Fitch Ratings, on July 8, 2016, took various rating actions on 48
classes in 10 U.S. RMBS transactions. The transactions reviewed
consisted of seven reverse mortgage (RM) transactions, one re-REMIC
transaction which is backed by RM bonds, one re-performing loan
(RPL) transaction, and one transaction primarily collateralized
with mixed-use loans.
Rating Action Summary:
-- 27 classes affirmed;
-- 21 classes downgraded.
KEY RATING DRIVERS
The RM transactions in this review include five government-insured
home equity conversion mortgage (HECM) transactions, and two
uninsured jumbo RM transactions. All of the RM transactions
reviewed were issued between 2006 and 2008.
The rating changes on the two uninsured jumbo RM transactions
reflect a model correction identified through a model validation
review of the U.S. reverse mortgage model. The correction affects
the initial indexation of the property values, the projected
accrued interest, projected costs and the projected liquidation
timelines. Fitch has downgraded the ratings of three classes
previously rated 'BBBsf' and 'BBsf' to 'Bsf'. Fitch has also
downgraded the ratings on three classes previously rated 'Bsf' to
'CCCsf'. All of the downgraded classes were on Rating Watch
Negative prior to today's rating actions.
The rating changes on the government-insured HECM transactions
reflect a recent change to Fitch's U.S. RMBS Surveillance Criteria
that caps all outstanding RM transaction ratings at 'BBBsf' to
reflect relatively thin credit enhancement and the potential for
tail risk. As a result of the change, Fitch has downgraded five
classes to 'BBBsf' from 'Asf'. All of the downgraded classes were
on Rating Watch Negative prior to today's rating actions.
The four Re-REMIC classes reviewed are straight pass-throughs from
HECM transactions included in this review. Because they have no
additional credit support, their ratings are mapped directly to the
ratings of the underlying classes.
The affirmations of the RPL transaction that was issued in 2015
reflect collateral performance in line with expectations and a
stable to positive relationship of credit enhancement to expected
loss.
The downgrades of the mixed-use loan transaction were driven by
outstanding interest shortfalls. Per Fitch's criteria, the ratings
of classes with existing interest shortfalls are limited to 'Asf'.
RATING SENSITIVITIES
Fitch's analysis includes rating stress scenarios from 'CCCsf' to
'AAAsf'. The 'CCCsf' scenario is intended to be the most-likely
base-case scenario. Rating scenarios above 'CCCsf' are increasingly
more stressful and less likely to occur. Although many variables
are adjusted in the stress scenarios, the primary driver of the
loss scenarios is the home price forecast assumption. In the 'Bsf'
scenario, Fitch assumes home prices decline 10% below their
long-term sustainable level. The home price decline assumption is
increased by 5% at each higher rating category up to a 35% decline
in the 'AAAsf' scenario.
In addition to increasing mortgage pool losses at each rating
category to reflect increasingly stressful economic scenarios,
Fitch analyzes various loss-timing, prepayment, loan modification,
servicer advancing, and interest rate scenarios as part of the cash
flow analysis. Each class is analyzed with 43 different
combinations of loss, prepayment and interest rate projections.
Classes currently rated below 'Bsf' are at-risk to default at some
point in the future. As default becomes more imminent, bonds
currently rated 'CCCsf' and 'CCsf' will migrate towards 'Csf' and
eventually 'Dsf'.
The ratings of bonds currently rated 'Bsf' or higher will be
sensitive to future mortgage borrower behavior, which historically
has been strongly correlated with home price movements. Despite
recent positive trends, Fitch currently expects home prices to
decline in some regions before reaching a sustainable level. While
Fitch's ratings reflect this home price view, the ratings of
outstanding classes may be subject to revision to the extent actual
home price and mortgage performance trends differ from those
currently projected by Fitch.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
A list of the Affected Ratings is available at:
http://bit.ly/29Wisbx
[*] Moody's Hikes $274MM of Subprime RMBS Issued 2002-2006
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 10 tranches
from 8 transactions backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE12
Cl. M-2, Upgraded to B1 (sf); previously on Dec 12, 2014 Upgraded
to B2 (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-EC2
Cl. M-2, Upgraded to Caa1 (sf); previously on Jan 30, 2014 Upgraded
to Ca (sf)
Issuer: Bear Stearns Asset Backed Securities Trust 2004-HE1
Cl. M-2, Upgraded to B3 (sf); previously on Jan 30, 2014 Upgraded
to Caa1 (sf)
Issuer: CIT Home Equity Loan Trust 2002-1
Cl. MV-1, Upgraded to Ba3 (sf); previously on Sep 1, 2015 Upgraded
to B2 (sf)
Issuer: CIT Home Equity Loan Trust 2003-1
Cl. A-4, Upgraded to Aa3 (sf); previously on May 25, 2012 Upgraded
to A2 (sf)
Cl. A-5, Upgraded to A2 (sf); previously on May 25, 2012 Confirmed
at A3 (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2003-HE3
Cl. A, Upgraded to Aa2 (sf); previously on Sep 1, 2015 Upgraded to
A2 (sf)
Underlying Rating: Upgraded to Aa2 (sf); previously on Sep 1, 2015
Upgraded to A2 (sf)*
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. M-3, Upgraded to B2 (sf); previously on Sep 1, 2015 Upgraded to
Caa2 (sf)
Issuer: IXIS Real Estate Capital Trust 2004-HE4
Cl. M-1, Upgraded to Ba3 (sf); previously on Aug 24, 2015 Upgraded
to B3 (sf)
Issuer: Long Beach Mortgage Loan Trust 2003-4
Cl. M-1, Upgraded to Ba3 (sf); previously on Aug 24, 2015 Upgraded
to B1 (sf)
RATINGS RATIONALE
The upgrades are primarily due to the total amount of credit
enhancement available to the bonds. The actions reflect the recent
performance of the underlying pools and Moody's updated loss
expectations on the pools.
[*] Moody's Raises Ratings on $16.5MM of 3 Second Lien RMBS Deals
-----------------------------------------------------------------
Moody's Investors Service, on July 5, 2016, upgraded the ratings of
four tranches from three deals backed by second-lien RMBS loans.
Complete rating actions are:
Issuer: Structured Asset Securities Corp Trust 2004-S2
Cl. M4, Upgraded to Ba1 (sf); previously on March 7, 2014,
Upgraded to B1 (sf)
Cl. M6, Upgraded to Caa2 (sf); previously on July 6, 2010,
Downgraded to Ca (sf)
Issuer: Structured Asset Securities Corp Trust 2004-S3
Cl. M5, Upgraded to Ba2 (sf); previously on Sept. 28, 2015,
Upgraded to B2 (sf)
Issuer: Structured Asset Securities Corp Trust 2005-S3
Cl. M4, Upgraded to Ba2 (sf); previously on Oct. 7, 2015,
Upgraded to B1 (sf)
RATINGS RATIONALE
The ratings upgrades are primarily the result of an increase in
credit enhancement available to the bonds. 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 ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.7% in May 2016 from 5.5 in May
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 $113.7MM of Alt-A & Option ARM RMBS
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 12 tranches
from four transactions, downgraded ratings of two tranches from one
transaction and confirmed ratings of eight tranches from three
transactions, backed by Alt-A and Option ARM RMBS loans, issued by
multiple issuers.
Complete rating actions are as follows:
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2001-28
Cl. I-A-1, Confirmed at B2 (sf); previously on Jun 17, 2016 B2 (sf)
Placed Under Review Direction Uncertain
Cl. I-A-2, Confirmed at B2 (sf); previously on Jun 17, 2016 B2 (sf)
Placed Under Review Direction Uncertain
Cl. I-A-3, Confirmed at B2 (sf); previously on Jun 17, 2016 B2 (sf)
Placed Under Review Direction Uncertain
Cl. II-A-1, Confirmed at B2 (sf); previously on Jun 17, 2016 B2
(sf) Placed Under Review Direction Uncertain
Cl. I-P, Confirmed at B2 (sf); previously on Jun 17, 2016 B2 (sf)
Placed Under Review Direction Uncertain
Issuer: HarborView Mortgage Loan Trust 2004-11
Cl. 2-A2A, Upgraded to B3 (sf); previously on Mar 22, 2011
Downgraded to Caa2 (sf)
Cl. X-3, Confirmed at Ca (sf); previously on Jun 17, 2016 Ca (sf)
Placed Under Review Direction Uncertain
Issuer: HarborView Mortgage Loan Trust 2005-6
Cl. A-1A, Upgraded to A3 (sf); previously on Aug 17, 2015 Upgraded
to Baa2 (sf)
Cl. A-1B, Upgraded to Baa2 (sf); previously on Jun 17, 2016 Ba1
(sf) Placed Under Review Direction Uncertain
Cl. B-1, Upgraded to Caa3 (sf); previously on May 4, 2010
Downgraded to Ca (sf)
Issuer: Impac Secured Assets Corp. Mortgage Pass-Through
Certificates, Series 2002-2
Cl. A-3, Confirmed at Baa1 (sf); previously on Jun 17, 2016 Baa1
(sf) Placed Under Review Direction Uncertain
Cl. A-PO, Confirmed at Baa1 (sf); previously on Jun 17, 2016 Baa1
(sf) Placed Under Review Direction Uncertain
Issuer: Structured Asset Securities Corporation, Series 2005-10
Cl. 5-A2, Downgraded to Ba2 (sf); previously on Jun 17, 2016 Baa3
(sf) Placed Under Review Direction Uncertain
Cl. 5-A3, Downgraded to Ba2 (sf); previously on Jun 17, 2016 Baa3
(sf) Placed Under Review Direction Uncertain
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2004-CB3
Cl. I-A, Upgraded to Baa1 (sf); previously on Jun 29, 2012
Downgraded to Baa2 (sf)
Cl. II-A, Upgraded to Baa1 (sf); previously on Jun 17, 2016 Baa3
(sf) Placed Under Review Direction Uncertain
Cl. III-A, Upgraded to A3 (sf); previously on Jun 29, 2012
Downgraded to Baa1 (sf)
Cl. I-P, Upgraded to Baa1 (sf); previously on Jun 29, 2012
Downgraded to Baa2 (sf)
Cl. III-P, Upgraded to A3 (sf); previously on Jun 17, 2016 Baa1
(sf) Placed Under Review Direction Uncertain
Cl. IV-A, Upgraded to A3 (sf); previously on Jun 29, 2012
Downgraded to Baa1 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR9
Cl. A-1C3, Upgraded to B1 (sf); previously on Jun 17, 2016 B3 (sf)
Placed Under Review Direction Uncertain
Cl. A-2A, Upgraded to Ba3 (sf); previously on Jun 29, 2015 Upgraded
to B2 (sf)
RATINGS RATIONALE
Today's actions conclude the review actions for 14 bonds announced
on June 17th, 2016 relating to the existence of an error in the
prepayment shift percentage input to the cash-flow waterfalls used
by Moody's to review these transactions since their prior rating
actions. The cash-flow waterfalls did not capture the correct
prepayment shift percentages and were allocating an incorrect
portion of principal prepayments to subordinate bonds. The errors
have now been corrected, and today's rating actions on these 14
bonds reflect the appropriate allocation of principal prepayments,
as well as the recent performance of the underlying pools and
Moody's updated loss expectations on those pools.
In addition to the above correction, the cash-flow model used for
WaMu Mortgage Pass-Through Certificates, Series 2004-CB3 was also
corrected to calculate the cumulative loss trigger based on the
aggregate cumulative losses, instead of based on the subordinate
write-downs as had been previously calculated. The upgrade to class
I-A reflects this correction, as well as the recent performance of
the underlying pool and Moody's updated loss expectations on that
pool. The upgrades to classes III-A, I-P and IV-A are driven by the
recent performance of the underlying pool.
The rest of today's rating actions -- the upgrades of class 2-A2A
of HarborView Mortgage Loan Trust 2004-11, classes A-1A and B-1 of
HarborView Mortgage Loan Trust 2005-6, and class A-2A of WaMu
Mortgage Pass-Through Certificates, Series 2005-AR9 are driven by
the recent performance of the pools underlying the transactions,
and reflect Moody's updated loss expectations on those pools.
[*] Moody's Takes Action on $267MM of Alt-A and Option ARM RMBS
---------------------------------------------------------------
Moody's Investors Service, on July 8, 2016, upgraded the ratings of
three tranches and downgraded the ratings of four tranches from
five transactions, backed by Alt-A and Option ARM RMBS loans,
issued by multiple issuers.
Complete rating actions are:
Issuer: American General Mortgage Loan Trust 2010-1
Cl. A-4, Upgraded to Aa1 (sf); previously on April 4, 2016,
Upgraded to Aa3 (sf)
Issuer: ChaseFlex Trust Series 2006-1
Cl. A-5, Downgraded to Caa2 (sf); previously on Oct. 20, 2010,
Downgraded to Caa1 (sf)
Issuer: Greenpoint Mortgage Funding Trust 2006-AR2
Cl. IV-A-1, Upgraded to Caa1 (sf); previously on Dec. 9, 2010,
Downgraded to Caa2 (sf)
Issuer: GSAA Home Equity Trust Asset Backed Certificates Series
2005-12
Cl. AF-3, Downgraded to Caa3 (sf); previously on May 11, 2010,
Downgraded to Caa1 (sf)
Cl. AF-3W, Affirmed A2 (sf); previously on Jan. 18, 2013,
Downgraded to A2 (sf)
Underlying Rating: Downgraded to Caa3 (sf); previously on
May 11, 2010, Downgraded to Caa1 (sf)
Financial Guarantor: Assured Guaranty Municipal Corp (Affirmed
at A2, Outlook Stable on July 2, 2014)
Cl. AF-6, Downgraded to Caa3 (sf); previously on May 11, 2010,
Downgraded to Caa2 (sf)
Issuer: Impac Secured Assets Corp. Mortgage Pass-Through
Certificates, Series 2006-3
Cl. A-6, Upgraded to Caa3 (sf); previously on March 5, 2013,
Confirmed at Ca (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, an increase in credit enhancement
available to the bonds and/or recoveries on the bonds, and the
current pro rata pay structure of the bonds. The rating downgrades
are due to the current pro rata pay structure of 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 ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.9% in June 2016 from 5.3% in June
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 Rating Actions on $1.28BB RMBS Issued 2003-2007
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of twenty-nine
tranches, downgraded the ratings of two tranches, and confirmed the
ratings of ninety-one tranches, backed by Prime Jumbo RMBS loans,
issued by miscellaneous issuers.
Complete rating actions are:
Issuer: Chase Mortgage Finance Trust Series 2007-A1
Cl. 6-A1, Confirmed at B2 (sf); previously on June 17, 2016, B2
(sf) Placed Under Review Direction Uncertain
Cl. 7-A1, Confirmed at B2 (sf); previously on June 17, 2016,
B2 (sf) Placed Under Review Direction Uncertain
Issuer: Chase Mortgage Finance Trust, Series 2005-S2
Cl. A-1, Confirmed at B3 (sf); previously on June 17, 2016,
B3 (sf) Placed Under Review Direction Uncertain
Cl. A-16, Confirmed at Caa1 (sf); previously on June 17, 2016,
Caa1 (sf) Placed Under Review Direction Uncertain
Cl. A-17, Confirmed at B2 (sf); previously on June 17, 2016,
B2 (sf) Placed Under Review Direction Uncertain
Cl. A-18, Confirmed at Ca (sf); previously on June 17, 2016,
Ca (sf) Placed Under Review Direction Uncertain
Cl. A-27, Upgraded to Baa3 (sf); previously on June 17, 2016,
Ba1 (sf) Placed Under Review Direction Uncertain
Cl. A-29, Confirmed at Caa1 (sf); previously on June 17, 2016,
Caa1 (sf) Placed Under Review Direction Uncertain
Issuer: Citicorp Mortgage Securities Trust 2006-4
Cl. IIA-1, Confirmed at B3 (sf); previously on June 17, 2016,
B3 (sf) Placed Under Review Direction Uncertain
Cl. IIIA-1, Confirmed at Baa3 (sf); previously on June 17, 2016,
Baa3 (sf) Placed Under Review Direction Uncertain
Issuer: Citicorp Mortgage Securities Trust, Series 2006-6
Cl. A-4, Confirmed at B1 (sf); previously on June 17, 2016,
B1 (sf) Placed Under Review Direction Uncertain
Cl. A-11, Confirmed at Caa3 (sf); previously on June 17, 2016,
Caa3 (sf) Placed Under Review Direction Uncertain
Cl. A-PO, Confirmed at B2 (sf); previously on June 17, 2016,
B2 (sf) Placed Under Review Direction Uncertain
Issuer: Citicorp Mortgage Securities, Inc. 2005-8
Cl. IA-5, Confirmed at Ca (sf); previously on June 17, 2016,
Ca (sf) Placed Under Review Direction Uncertain
Issuer: Citicorp Mortgage Securities, Inc. 2006-1
Cl. IA-3, Confirmed at B1 (sf); previously on June 17, 2016,
B1 (sf) Placed Under Review Direction Uncertain
Cl. IA-4, Confirmed at Caa1 (sf); previously on June 17, 2016,
Caa1 (sf) Placed Under Review Direction Uncertain
Cl. IA-5, Confirmed at Caa1 (sf); previously on June 17, 2016,
Caa1 (sf) Placed Under Review Direction Uncertain
Cl. IA-9, Confirmed at Caa1 (sf); previously on June 17, 2016,
Caa1 (sf) Placed Under Review Direction Uncertain
Cl. IA-10, Confirmed at C (sf); previously on June 17, 2016,
C (sf) Placed Under Review Direction Uncertain
Cl. IA-11, Confirmed at C (sf); previously on June 17, 2016,
C (sf) Placed Under Review Direction Uncertain
Cl. IA-12, Confirmed at Caa1 (sf); previously on June 17, 2016,
Caa1 (sf) Placed Under Review Direction Uncertain
Cl. IA-13, Confirmed at Caa1 (sf); previously on June 17, 2016,
Caa1 (sf) Placed Under Review Direction Uncertain
Cl. IIIA-1, Confirmed at Ba3 (sf); previously on June 17, 2016,
Ba3 (sf) Placed Under Review Direction Uncertain
Cl. IIIA-2, Upgraded to B3 (sf); previously on June 17, 2016,
Caa3 (sf) Placed Under Review Direction Uncertain
Cl. A-PO1, Confirmed at Caa1 (sf); previously on June 17, 2016,
Caa1 (sf) Placed Under Review Direction Uncertain
Cl. A-PO2, Confirmed at B1 (sf); previously on June 17, 2016,
B1 (sf) Placed Under Review Direction Uncertain
Cl. VA-1, Upgraded to B2 (sf); previously on June 17, 2016,
Caa1 (sf) Placed Under Review Direction Uncertain
Issuer: Citicorp Mortgage Securities, Inc. 2006-3
Cl. IA-2, Upgraded to Baa3 (sf); previously on Aug. 27, 2013,
Upgraded to Ba3 (sf)
Cl. IA-4, Confirmed at Caa1 (sf); previously on June 17, 2016,
Caa1 (sf) Placed Under Review Direction Uncertain
Cl. IA-9, Confirmed at Caa1 (sf); previously on June 17, 2016,
Caa1 (sf) Placed Under Review Direction Uncertain
Cl. IA-10, Confirmed at Caa1 (sf); previously on June 17, 2016,
Caa1 (sf) Placed Under Review Direction Uncertain
Cl. IA-14, Confirmed at Caa1 (sf); previously on June 17, 2016,
Caa1 (sf) Placed Under Review Direction Uncertain
Cl. IA-15, Confirmed at Caa1 (sf); previously on June 17, 2016,
Caa1 (sf) Placed Under Review Direction Uncertain
Cl. IA-16, Confirmed at Caa1 (sf); previously on June 17, 2016,
Caa1 (sf) Placed Under Review Direction Uncertain
Cl. IA-18, Confirmed at Caa1 (sf); previously on June 17, 2016,
Caa1 (sf) Placed Under Review Direction Uncertain
Cl. IA-19, Confirmed at Caa1 (sf); previously on June 17, 2016,
Caa1 (sf) Placed Under Review Direction Uncertain
Cl. A-PO, Confirmed at Caa1 (sf); previously on June 17, 2016,
Caa1 (sf) Placed Under Review Direction Uncertain
Cl. IIA-1, Confirmed at Caa1 (sf); previously on June 17, 2016,
Caa1 (sf) Placed Under Review Direction Uncertain
Cl. IIA-PO, Confirmed at Caa2 (sf); previously on June 17, 2016,
Caa2 (sf) Placed Under Review Direction Uncertain
Cl. IIIA-1, Confirmed at B3 (sf); previously on June 17, 2016,
B3 (sf) Placed Under Review Direction Uncertain
Cl. IIIA-2, Confirmed at Ca (sf); previously on June 17, 2016,
Ca (sf) Placed Under Review Direction Uncertain
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2003-23
Cl. I-A-4, Confirmed at Baa1 (sf); previously on June 17, 2016,
Baa1 (sf) Placed Under Review Direction Uncertain
Cl. II-A-6, Downgraded to Baa3 (sf); previously on Feb. 15,
2013, Affirmed Baa2 (sf)
Cl. I-A-7, Confirmed at Baa2 (sf); previously on June 17, 2016,
Baa2 (sf) Placed Under Review Direction Uncertain
Cl. I-A-15, Confirmed at Baa2 (sf); previously on June 17, 2016,
Baa2 (sf) Placed Under Review Direction Uncertain
Cl. I-A-18, Confirmed at Baa1 (sf); previously on June 17, 2016,
Baa1 (sf) Placed Under Review Direction Uncertain
Cl. I-A-21, Confirmed at Ba1 (sf); previously on June 17, 2016,
Ba1 (sf) Placed Under Review Direction Uncertain
Cl. A-P, Downgraded to Ba1 (sf); previously on Feb. 15, 2013,
Affirmed Baa2 (sf)
Cl. I-P, Confirmed at Ba1 (sf); previously on June 17, 2016,
Ba1 (sf) Placed Under Review Direction Uncertain
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2003-27
Cl. IV-A-4, Confirmed at Baa2 (sf); previously on June 17, 2016,
Baa2 (sf) Placed Under Review Direction Uncertain
Cl. IV-A-7, Confirmed at Baa3 (sf); previously on June 17, 2016,
Baa3 (sf) Placed Under Review Direction Uncertain
Cl. IV-A-8, Confirmed at Baa3 (sf); previously on June 17, 2016,
Baa3 (sf) Placed Under Review Direction Uncertain
Cl. IV-A-16, Confirmed at Ba1 (sf); previously on June 17, 2016,
Ba1 (sf) Placed Under Review Direction Uncertain
Cl. IV-A-17, Confirmed at Baa3 (sf); previously on June 17,
2016, Baa3 (sf) Placed Under Review Direction Uncertain
Cl. IV-P, Confirmed at Baa3 (sf); previously on June 17, 2016,
Baa3 (sf) Placed Under Review Direction Uncertain
Cl. VII-A-1, Confirmed at Baa1 (sf); previously on June 17,
2016, Baa1 (sf) Placed Under Review Direction Uncertain
Cl. VIII-A-1, Confirmed at Baa1 (sf); previously on June 17,
2016, Baa1 (sf) Placed Under Review Direction Uncertain
Cl. IX-A-1, Confirmed at Baa2 (sf); previously on June 17, 2016,
Baa2 (sf) Placed Under Review Direction Uncertain
Cl. A-P, Confirmed at Baa1 (sf); previously on June 17, 2016,
Baa1 (sf) Placed Under Review Direction Uncertain
Cl. D-P, Confirmed at Baa1 (sf); previously on June 17, 2016,
Baa1 (sf) Placed Under Review Direction Uncertain
Issuer: GMACM Mortgage Loan Trust 2005-AR1
Cl. 1-A-1, Confirmed at Caa2 (sf); previously on June 17, 2016,
Caa2 (sf) Placed Under Review Direction Uncertain
Cl. 1-A-2, Confirmed at Caa2 (sf); previously on June 17, 2016,
Caa2 (sf) Placed Under Review Direction Uncertain
Cl. 2-A, Confirmed at Caa2 (sf); previously on June 17, 2016,
Caa2 (sf) Placed Under Review Direction Uncertain
Cl. 4-A, Confirmed at B2 (sf); previously on June 17, 2016,
B2 (sf) Placed Under Review Direction Uncertain
Cl. 5-A, Confirmed at B2 (sf); previously on June 17, 2016,
B2 (sf) Placed Under Review Direction Uncertain
Issuer: MASTR Asset Securitization Trust 2005-2
Cl. 1-A-3, Confirmed at A3 (sf); previously on June 17, 2016,
A3 (sf) Placed Under Review Direction Uncertain
Cl. 1-A-4, Confirmed at Caa1 (sf); previously on June 17, 2016,
Caa1 (sf) Placed Under Review Direction Uncertain
Issuer: Merrill Lynch Mortgage Investors Trust 2005-A10
Cl. A, Confirmed at B1 (sf); previously on June 17, 2016,
B1 (sf) Placed Under Review Direction Uncertain
Cl. A-IO, Confirmed at B1 (sf); previously on June 17, 2016,
B1 (sf) Placed Under Review Direction Uncertain
Issuer: Merrill Lynch Mortgage Investors Trust MLMI Series 2005-A4
Cl. III-A, Confirmed at Baa1 (sf); previously on June 17, 2016,
Baa1 (sf) Placed Under Review Direction Uncertain
Issuer: WaMu Mortgage Pass-Through Certificates Series 2003-AR9
Trust
Cl. II-B-2, Confirmed at Caa3 (sf); previously on June 17, 2016,
Caa3 (sf) Placed Under Review Direction Uncertain
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2004-S3
Cl. 1-A-4, Confirmed at Baa1 (sf); previously on June 17, 2016,
Baa1 (sf) Placed Under Review Direction Uncertain
Cl. 1-A-5, Confirmed at Baa1 (sf); previously on June 17, 2016,
Baa1 (sf) Placed Under Review Direction Uncertain
Cl. 1-A-6, Confirmed at Baa1 (sf); previously on June 17, 2016,
Baa1 (sf) Placed Under Review Direction Uncertain
Cl. 2-A-6, Confirmed at Baa1 (sf); previously on June 17, 2016,
Baa1 (sf) Placed Under Review Direction Uncertain
Cl. 2-A-7, Confirmed at Baa1 (sf); previously on June 17, 2016,
Baa1 (sf) Placed Under Review Direction Uncertain
Cl. 2-A-8, Confirmed at Baa1 (sf); previously on June 17, 2016,
Baa1 (sf) Placed Under Review Direction Uncertain
Cl. 3-A-2, Confirmed at Baa1 (sf); previously on June 17, 2016,
Baa1 (sf) Placed Under Review Direction Uncertain
Cl. 3-A-3, Confirmed at Baa1 (sf); previously on June 17, 2016,
Baa1 (sf) Placed Under Review Direction Uncertain
Cl. P, Confirmed at Baa1 (sf); previously on June 17, 2016,
Baa1 (sf) Placed Under Review Direction Uncertain
Issuer: Wells Fargo Mortgage Backed Securities 2005-14 Trust
Cl. I-A-1, Upgraded to Ba2 (sf); previously on April 2, 2013,
Affirmed Ba3 (sf)
Cl. I-A-2, Upgraded to Caa2 (sf); previously on June 17, 2016,
Ca (sf) Placed Under Review Direction Uncertain
Cl. I-A-5, Upgraded to Ba2 (sf); previously on Sept. 10, 2015,
Upgraded to Ba3 (sf)
Cl. I-A-PO, Confirmed at B3 (sf); previously on June 17, 2016,
B3 (sf) Placed Under Review Direction Uncertain
Cl. II-A-1, Confirmed at B1 (sf); previously on June 17, 2016,
B1 (sf) Placed Under Review Direction Uncertain
Cl. II-A-2, Confirmed at Ca (sf); previously on June 17, 2016,
Ca (sf) Placed Under Review Direction Uncertain
Cl. II-A-PO, Confirmed at B3 (sf); previously on June 17, 2016,
B3 (sf) Placed Under Review Direction Uncertain
Issuer: Wells Fargo Mortgage Backed Securities 2005-18 Trust
Cl. II-A-1, Confirmed at B3 (sf); previously on June 17, 2016,
B3 (sf) Placed Under Review Direction Uncertain
Cl. II-A-2, Confirmed at Ca (sf); previously on June 17, 2016,
Ca (sf) Placed Under Review Direction Uncertain
Cl. II-A-5, Confirmed at Caa1 (sf); previously on June 17, 2016,
Caa1 (sf) Placed Under Review Direction Uncertain
Cl. II-A-7, Confirmed at Caa1 (sf); previously on June 17, 2016,
Caa1 (sf) Placed Under Review Direction Uncertain
Cl. II-A-8, Confirmed at Caa1 (sf); previously on June 17, 2016,
Caa1 (sf) Placed Under Review Direction Uncertain
Cl. II-A-10, Confirmed at Caa1 (sf); previously on June 17,
2016, Caa1 (sf) Placed Under Review Direction Uncertain
Cl. II-A-11, Confirmed at Caa1 (sf); previously on June 17,
2016, Caa1 (sf) Placed Under Review Direction Uncertain
Cl. II-A-PO, Confirmed at Caa1 (sf); previously on June 17,
2016, Caa1 (sf) Placed Under Review Direction Uncertain
Issuer: Wells Fargo Mortgage Backed Securities 2005-AR1 Trust
Cl. II-A-1, Confirmed at B3 (sf); previously on June 17, 2016,
B3 (sf) Placed Under Review Direction Uncertain
Issuer: Wells Fargo Mortgage Backed Securities 2005-AR13 Trust
Cl. A-3, Upgraded to Ba2 (sf); previously on June 17, 2016,
B3 (sf) Placed Under Review Direction Uncertain
Cl. I-A-1, Upgraded to Ba2 (sf); previously on June 17, 2016,
B3 (sf) Placed Under Review Direction Uncertain
Cl. I-A-2, Upgraded to Ba2 (sf); previously on June 17, 2016,
B3 (sf) Placed Under Review Direction Uncertain
Cl. I-A-5, Upgraded to Baa2 (sf); previously on June 17, 2016,
Ba1 (sf) Placed Under Review Direction Uncertain
Cl. I-A-6, Upgraded to Ba3 (sf); previously on June 17, 2016,
B3 (sf) Placed Under Review Direction Uncertain
Cl. I-A-7, Upgraded to Ba3 (sf); previously on June 17, 2016,
B3 (sf) Placed Under Review Direction Uncertain
Cl. II-A-1, Upgraded to Baa2 (sf); previously on June 17, 2016,
Ba1 (sf) Placed Under Review Direction Uncertain
Cl. II-A-2, Upgraded to Baa2 (sf); previously on June 17, 2016,
Ba1 (sf) Placed Under Review Direction Uncertain
Cl. III-A-1, Upgraded to Ba3 (sf); previously on June 17, 2016,
B1 (sf) Placed Under Review Direction Uncertain
Cl. IV-A-1, Confirmed at B3 (sf); previously on June 17, 2016,
B3 (sf) Placed Under Review Direction Uncertain
Issuer: Wells Fargo Mortgage Backed Securities 2005-AR2 Trust
Cl. I-A-1, Confirmed at B3 (sf); previously on June 17, 2016,
B3 (sf) Placed Under Review Direction Uncertain
Cl. II-A-1, Upgraded to B1 (sf); previously on May 14, 2010,
Downgraded to B3 (sf)
Cl. II-A-2, Upgraded to B1 (sf); previously on June 17, 2016,
B2 (sf) Placed Under Review Direction Uncertain
Cl. II-A-4, Upgraded to B1 (sf); previously on May 14, 2010,
Downgraded to B2 (sf)
Cl. III-A-1, Upgraded to Baa3 (sf); previously on Aug. 17, 2012,
Downgraded to Ba3 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2005-AR4 Trust
Cl. I-A-1, Upgraded to Ba3 (sf); previously on June 17, 2016,
B3 (sf) Placed Under Review Direction Uncertain
Cl. I-A-3, Upgraded to Ba3 (sf); previously on June 17, 2016,
B3 (sf) Placed Under Review Direction Uncertain
Cl. II-A-1, Upgraded to Baa2 (sf); previously on June 17, 2016,
Baa3 (sf) Placed Under Review Direction Uncertain
Cl. II-A-2, Upgraded to Baa1 (sf); previously on June 17, 2016,
Baa2 (sf) Placed Under Review Direction Uncertain
Issuer: CSMC Resecuritization Trust 2006-1R
Cl. 1-A-1, Confirmed at Caa1 (sf); previously on June 17, 2016,
Caa1 (sf) Placed Under Review Direction Uncertain
Cl. 1-A-2, Confirmed at Caa1 (sf); previously on June 17, 2016,
Caa1 (sf) Placed Under Review Direction Uncertain
Issuer: Deutsche Mortgage Securities, Inc. Re-REMIC Trust
Certificates, Series 2005-WF1
Cl. I-A-3, Upgraded to Ba3 (sf); previously on June 17, 2016,
Caa1 (sf) Placed Under Review Direction Uncertain
Cl. I-A-4, Upgraded to Baa2 (sf); previously on June 17, 2016,
Ba1 (sf) Placed Under Review Direction Uncertain
Cl. I-A-5, Upgraded to B2 (sf); previously on July 13, 2009,
Downgraded to C (sf)
Cl. I-A-X, Upgraded to Baa3 (sf); previously on June 17, 2016,
B1 (sf) Placed Under Review Direction Uncertain
Cl. II-A-1, Upgraded to Ba3 (sf); previously on June 17, 2016,
B3 (sf) Placed Under Review Direction Uncertain
RATINGS RATIONALE
The actions conclude the review actions for 113 bonds announced on
June 17, 2016, relating to the existence of an error in the
prepayment shift percentage input to the cash-flow waterfalls used
by Moody's to review these transactions since their prior rating
actions. The cash-flow waterfalls did not capture the correct
prepayment shift percentages and were allocating an incorrect
portion of principal prepayments to subordinate bonds. The errors
have now been corrected, and today's rating actions on these 113
bonds reflect the appropriate allocation of principal prepayments,
as well as the recent performance of the underlying pools and
Moody's updated loss expectations on those pools.
While classes II-A-6 and A-P of CSFB Mortgage-Backed Pass-Through
Certificates, Series 2003-23 were impacted by the factors noted
above, the rating downgrades on these two bonds are mainly due to
other corrections to the cash-flow model used in rating this
transaction. The downgrade of class II-A-6 is mainly due to a
correction to the interest payment cross-collateralization, which
is now calculated after the payment of interest but before the
payment of principal to related senior bonds, instead of after
interest and principal payments to each group as had been
previously calculated. The correction resulted in less principal
paid to class II-A-6. The downgrade of class A-P is mainly due to
a correction in the allocation of realized losses to the bond. In
previous analysis under-collateralization loss was incorrectly
allocated to class A-P, resulting in unduly high reimbursements to
that class.
The rating actions on the remaining bonds are driven by the
performance of their underlying pools. The ratings upgraded are a
result of improving performance of the related pools and/or an
increase in credit enhancement available to the bonds.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013. The
principal methodology used in rating CSMC Resecuritization Trust
2006-1R and Deutsche Mortgage Securities, Inc. Re-REMIC Trust
Certificates, Series 2005-WF1 was "Moody's Approach to Rating
Resecuritizations" published in February 2014.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.7% in May 2016 from 5.5% in May
2015. Moody's forecasts an unemployment central range of 4.5% to
5.5% for the 2016 year. Deviations from this central scenario
could lead to rating actions in the sector.
House prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2016. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] S&P Affirms Ratings on 51 Classes From 14 RMBS Transactions
---------------------------------------------------------------
S&P Global Ratings, on July 8, 2016, affirmed its ratings on 51
classes from 14 U.S. residential mortgage-backed securities (RMBS)
transactions and removed them from CreditWatch with negative
implications.
Each of these ratings was initially placed on CreditWatch negative
on Jan. 20, 2016, except for classes 1A-IO, 2A, 2A-IO, and 3A from
Fannie Mae REMIC Trust 2002-W1, which were placed on CreditWatch on
Dec, 29, 2015. The CreditWatch placements reflected either the
lack of information necessary to apply S&P's loan modification
criteria or pending the review of information received. S&P have
since been able to obtain the information necessary to address
these CreditWatch actions.
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. 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.
For classes 1A-IO and 2A-IO from Fannie Mae REMIC Trust 2002-W1, in
the application of S&P's interest-only (IO) criteria for securities
issued on or before April 15, 2010 (the criteria publication date),
the rating on the IO security will generally reflect the highest
rating on the referenced securities until all of the ratings on the
referenced securities are lowered to below 'AA-' or retired, at
which point the rating on the IO security will be withdrawn. Thus,
in this case, the rating on the IO class is weak-linked to the
underlying senior referenced security.
AFFIRMATIONS
For each of the 51 classes reviewed the MPR was equal to or higher
than the current rating, so S&P affirmed the ratings and removed
them from CreditWatch negative.
[*] S&P Discontinues Ratings on 53 Classes From 17 CDO Deals
------------------------------------------------------------
S&P Global Ratings, on July 7, 2016, discontinued its ratings on 41
classes from 10 cash flow (CF) collateralized loan obligation (CLO)
transactions, five classes from four CF collateralized debt
obligation (CDO) transactions backed by commercial mortgage-backed
securities (CMBS), three classes from one CF emerging market CDO
transaction, two classes from one CF CDO transaction collateralized
by project finance securities, and two classes from one CF CDO of
CDOs transaction.
The discontinuances follow the complete paydown of the notes as
reflected in the most recent trustee-issued note payment reports
for each transaction:
-- ARCap 2004-1 Resecuritization Trust Class A (CDO of CMBS):
last remaining rated tranches paid down.
-- Avalon IV Capital Ltd. (CLO): optional redemption in June
2016.
-- Cedarwoods CRE CDO II Ltd. (CDO of CMBS): senior-most
tranche paid down following liquidation.
-- CIFC Funding 2006-II Ltd. (CLO): senior-most tranches paid
down; other rated tranches still outstanding.
-- Connecticut Valley Structured Credit CDO III Ltd. (CDO of
CDO): optional redemption in May 2016.
-- Doral CLO II Ltd. (CLO): optional redemption in June 2016.
-- EIG Global Project Fund III Ltd. (CDO of project finance):
senior-most tranche paid down; other rated tranches still
outstanding. Flagship CLO V (CLO): senior-most tranche paid
down; other rated tranches still outstanding.
-- Fraser Sullivan CLO II Ltd. (CLO): senior-most tranche paid
down; other rated tranches still outstanding.
-- GEM VIII Ltd. (emerging market CDO): last remaining rated
tranches paid down.
-- Golub Capital Partners CLO 12 Ltd. (CLO): optional
redemption in June 2016
-- Gulf Stream - Sextant CLO 2007-1 Ltd. (CLO): optional
redemption in June 2016.
-- Latitude CLO II Ltd. (CLO): optional redemption in June
2016.
-- Mach One 2004-1 LLC (CDO of CMBS): senior-most tranche paid
down; other rated tranches still outstanding.
-- Madison Park Funding II Ltd. (CLO): optional redemption in
June 2016.
-- N-Star REL CDO VI Ltd. (CDO of CMBS): senior-most tranches
paid down; other rated tranches still outstanding.
-- Regatta Funding Ltd. (CLO): optional redemption in June
2016.
RATINGS DISCONTINUED
ARCap 2004-1 Resecuritization Trust Class A
Rating
Class To From
A NR BBB- (sf)
Avalon IV Capital Ltd.
Rating
Class To From
A-R NR AAA (sf)
B-R NR AA (sf)
C-R NR A (sf)
D-R NR BBB (sf)
E-R NR BB (sf)
Cedarwoods CRE CDO II Ltd.
Rating
Class To From
A-1 NR B- (sf)
CIFC Funding 2006-II Ltd.
Rating
Class To From
A-1L NR AAA (sf)
A-1LB NR AAA (sf)
Connecticut Valley Structured Credit CDO III Ltd.
Rating
Class To From
C-1 NR BB (sf)
C-2 NR BB (sf)
Doral CLO II Ltd.
Rating
Class To From
A-1R NR AAA (sf)
A-2R NR AA (sf)
B NR A (sf)
C NR BBB (sf)
D NR BB (sf)
EIG Global Project Fund III Ltd.
Rating
Class To From
B-1 NR BBB+ (sf)
B-2 NR BBB+ (sf)
Flagship CLO V
Rating
Class To From
A NR AAA (sf)
Fraser Sullivan CLO II Ltd.
Rating
Class To From
B NR AAA (sf)
GEM VIII Ltd.
Rating
Class To From
C NR AAA (sf)
D-1 NR A+ (sf)
D-2 NR A+ (sf)
Golub Capital Partners CLO 12 Ltd.
Rating
Class To From
A NR AAA (sf)
B NR AAA (sf)
C-R NR AAA (sf)
Gulf Stream - Sextant CLO 2007-1 Ltd.
Rating
Class To From
A-1A NR AAA (sf)
A-1B NR AAA (sf)
A-1R NR AAA (sf)
B NR AAA (sf)
C NR AAA (sf)
D NR A+ (sf)
Latitude CLO II Ltd.
Rating
Class To From
B NR AAA (sf)
C NR BBB+ (sf)
D NR B- (sf)
Mach One 2004-1 LLC
Rating
Class To From
H NR BB+ (sf)
Madison Park Funding II Ltd.
Rating
Class To From
A-1 NR AAA (sf)
A-2a NR AAA (sf)
A-2b NR AAA (sf)
A-3 NR AAA (sf)
B-1 NR AAA (sf)
B-2 NR AAA (sf)
C-1 NR AA (sf)
C-2 NR AA (sf)
D NR BBB+ (sf)
N-Star REL CDO VI Ltd.
Rating
Class To From
A-1 NR B+ (sf)
A-R NR B+ (sf)
Regatta Funding Ltd.
Rating
Class To From
A-1L NR AAA (sf)
A-1LV NR AAA (sf)
A-2L NR AAA (sf)
A-3L NR AAA (sf)
B-1L NR AA+ (sf)
B-2L NR A+ (sf)
NR--Not rated.
[*] S&P Ratings on 8 Classes From 6 HECM Deals Remain on Watch Dev.
-------------------------------------------------------------------
S&P Global Ratings said that its ratings on eight classes from six
home equity conversion mortgage (HECM) reverse mortgage
transactions and two classes from 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
placements, S&P has confirmed that errors exist in the coding and
documentation for these models and are in the process of developing
a new model for use in analyzing HECM reverse mortgage
transactions. The model is currently being tested and validated.
Once the model is approved for use 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
*********
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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liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
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Each Friday's edition of the TCR includes a review about a book of
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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
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman,
Editors.
Copyright 2016. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
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