/raid1/www/Hosts/bankrupt/TCR_Public/160814.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, August 14, 2016, Vol. 20, No. 227
Headlines
1211 AVENUE 2015-1211: Fitch Affirms BB Rating on Cl. E Certs
ABACUS 2006-10: S&P Lowers Rating on 3 Tranches to D
ACA CLO 2007-1: Moody's Affirms Ba3 Rating on Class E Notes
AGATE BAY 2016-3: Fitch to Rate Class B-4 Certs 'BBsf'
AGATE BAY 2016-3: S&P Assigns Prelim. BB Rating on Cl. B-4 Certs
AMERICAN CREDIT 2016-3: S&P Assigns BB Rating on Class D Notes
BANC OF AMERICA 2006-4: S&P Lowers Rating on Cl. C Certs to D
BANC OF AMERICA 2006-6: S&P Raises Rating on Cl. A-J Certs to BB-
BEAR STEARNS 2004-PWR3: S&P Lowers Rating on Cl. K Certs to CCC-
BEAR STEARNS 2005-PWR9: Moody's Affirms C Rating on Cl. H Debt
BEAR STEARNS 2006-TOP22: Fitch Affirms 'Csf' Rating on Cl. J Debt
CANYON CLO 2016-2: Moody's Assigns (P)Ba3 Ratings to Cl. E Debt
CARAT 2015-3: Fitch Affirms BB- Rating on Class E Notes
CD 2007-CD4: Moody's Affirms B3 Rating on 2 Tranches
CD MORTGAGE 2016-CD1: Fitch to Rate Class E Certs 'BB-'
CITIGROUP 2008-7: Moody's Lowers Rating on Cl. A-J Debt to Caa2
CITIGROUP COMMERCIAL 2016-C2: Fitch to Rate Class EF Debt 'B-sf'
COMM 2012-CCRE3: Moody's Affirms Ba3(sf) Rating on Cl. X-B Debt
COMM 2012-CCRE4: Moody's Affirms B2 Rating on Class F Certs
CREDIT SUISSE 2007-C1: Moody's Affirms C Ratring on Class B Certs
CREDIT SUISSE 2015-C3: Fitch Affirms BB- Rating on Class E Certs
CSFB MORTGAGE 2003-C4: Moody's Affirms B3 Rating on Class L Certs
CSMC TRUST 2016-BDWN: S&P Gives Prelim B Rating on Cl. F Debt
CWALT INC 2005-11CB: Moody's Confirms Caa2 Rating on Cl. PO Debt
DISTRIBUTION FINANCIAL 2001-1: S&P Cuts Rating on Cl. D Notes to D
FANNIE MAE 2016-C05: Fitch Assigns BB+ Rating on 3 Tranches
FLAGSHIP CLO VI: S&P Affirms BB Rating on Class E Notes
FOUR CORNERS II: S&P Affirms B- Rating on Class E Notes
GREENWICH CAPITAL 2006-GG7: S&P Lowers Rating on Cl. B Certs to B-
GS MORTGAGE 2004-GG2: Moody's Affirms Caa3 Rating on Cl. X-C Debt
JFIN CLO 2016: Moody's Assigns Ba3(sf) Rating to Class E Debt
JP MORGAN 2004-C2: Moody's Hikes Cl. X Debt Rating to Caa1
JP MORGAN 2015-SGP: Moody's Affirms Ba3 Rating on 2 Tranches
KVK CLO 2014-1: S&P Lowers Rating on Class E Notes to BB-
LANDMARK IX CDO: Moody's Affirms Ba1 Rating on Cl. E Notes
MANUFACTURED HOUSING: S&P Lowers Rating on Cl. M-2 Certs to D
MERRILL LYNCH 2005-CA17: Moody's Affirms B1 Rating on Cl. XC Debt
MERRILL LYNCH 2006-C1: Fitch Lowers Rating on Cl. B Certs to 'Csf'
MERRILL LYNCH 2007-CANADA 23: S&P Affirms BB+ Rating on Cl. F Certs
MORGAN STANLEY 2004-SD2: Moody's Cuts Cl. M-1 Debt Rating to Ba3
MORGAN STANLEY 2016-UBS11: Fitch to Rate Class F Debt 'B-sf'
MOUNTAIN VIEW CLO III: Moody's Raises Rating on Cl. E Notes to Ba1
NEWSTAR COMMERCIAL 2007-1: Fitch Affirms BB Rating on Cl. E Notes
OCTAGON INVESTMENT XVI: S&P Affirms BB Rating on Class E Notes
OHA LOAN 2013-1: S&P Affirms 'B' Rating on Class F Notes
PRUDENTIAL SECURITIES 1999-C2: Moody's Ups Cl. N Debt Rating to B3
SACO TRUST 2005-WM3: Moody's Hikes Ratings on 2 Tranches to B3
SDART 2015-4: Fitch Affirms BB Rating on Class E Notes
SLM PRIVATE 2003-B: Fitch Affirms 'CCCsf' Rating on Cl. C Debt
SLM PRIVATE 2003-C: Fitch Affirms 'BBsf' Rating on Class B Debt
SORIN REAL CDO IV: Moody's Affirms C Ratings on 4 Tranches
SOVEREIGN COMMERCIAL 2007-C1: Moody's Cuts X Debt Rating to Caa3
STUDENT LOAN 2007-1: S&P Raises Rating on 2 Tranches to B
TRALEE CLO II: S&P Affirms BB- Rating on Class E Notes
TRINITAS CLO II: S&P Lowers Rating on Class F Notes to 'B-'
VENTURE XXIV: Moody's Assigns Ba3 Rating on Class E Notes
WACHOVIA BANK 2005-C22: Moody's Affirms C Rating on Cl. IO Debt
WELLS FARGO 2010-C1: Fitch Affirms 'Bsf' Rating on Class F Debt
[*] Moody's Takes Action on $21.9MM of Second-Lien RMBS
[*] S&P Lowers 7 Ratings and Withdraws 6 from 3 RMBS Re-REMIC Deals
[*] S&P Puts Ratings on 23 Housing Bonds on CreditWatch Negative
[*] S&P Raises 9 Ratings From 7 Synthetic CDO Deals After Review
[] Fitch Affirms All Classes of Two Insurance TruPS CDOs
*********
1211 AVENUE 2015-1211: Fitch Affirms BB Rating on Cl. E Certs
-------------------------------------------------------------
Fitch Ratings has affirmed all eight classes of 1211 Avenue of the
Americas Trust 2015-1211 commercial mortgage pass-through
certificates.
KEY RATING DRIVERS
The affirmations reflect the stable performance of the underlying
trust asset. Fitch reviewed the most recently available rent roll
and financial performance of the collateral. Full year 2015 and
year-to-date (YTD) March 31, 2016, performance data were provided.
As of the July 2016 distribution date, the transaction's balance
remained at $1.035 billion, unchanged from issuance. The 10-year,
fixed-rate, interest-only loan matures in August 2025. This single
borrower transaction is secured by an interest in 1211 Avenue of
the Americas, a class A- office building located in Midtown
Manhattan adjacent to Rockefeller Center. The 45-story property
totals approximately 2.0 million square feet (msf) and consists of
1.9 msf of office space and 114,815 sf of retail, storage and other
space.
The servicer-reported occupancy was 91.7% as of March 31, 2016,
compared to 91.5% as of May 2015 at issuance. The property has
maintained an average occupancy of 96.8% over the past 10 years.
The top five tenants account for approximately 83.8% of net
rentable area (NRA) and include 21st Century Fox (55.3% of NRA;
rated 'BBB+'), Ropes & Gray (17.1% of NRA), Axis Reinsurance (6.1%
of NRA; rated 'A+'), RBC (3.1% of NRA; rated 'AA') and Nordea (2.1%
of NRA; rated 'AA-' ). No material lease rollover is scheduled
until 2020, when the largest tenant's lease expires.
RATING SENSITIVITIES
The Rating Outlook for all classes remains Stable. No rating
actions are anticipated unless there are material changes in
property performance or cash flow. Fitch will continue to monitor
the subject property's performance to ensure that revenues and
incomes considered at the time of Fitch's initial ratings are
sustainable over the loan term.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed these classes:
-- $100,000,000 class A-1A1 at 'AAAsf'; Outlook Stable;
-- $490,000,000 class A-1A2 at 'AAAsf'; Outlook Stable;
-- $590,000,000 class X-A* at 'AAAsf'; Outlook Stable;
-- $119,000,000 class X-B* at 'AA-sf'; Outlook Stable;
-- $119,000,000 class B at 'AA-sf'; Outlook Stable;
-- $79,000,000 class C at 'A-sf'; Outlook Stable;
-- $110,800,000 class D at 'BBB-sf'; Outlook Stable;
-- $136,200,000 class E at 'BBsf'; Outlook Stable.
*Notional Amount and interest only.
ABACUS 2006-10: S&P Lowers Rating on 3 Tranches to D
----------------------------------------------------
S&P Global Ratings lowered its ratings on the class D, E, and F
notes to 'D (sf)' from Abacus 2006-10 Ltd., a synthetic
collateralized debt obligation transaction backed by commercial
mortgage-backed securities.
The downgrades reflect principal losses on the class D, E, and F
notes based on the July 2016 note valuation report.
RATINGS LOWERED
Abacus 2006-10 Ltd.
Rating
Class To From
D D (sf) CCC- (sf)
E D (sf) CCC- (sf)
F D (sf) CCC- (sf)
ACA CLO 2007-1: Moody's Affirms Ba3 Rating on Class E Notes
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on these notes
issued by ACA CLO 2007-1, Limited:
$15,750,000 Class C Deferrable Floating Rate Notes due 2022,
Upgraded to Aaa (sf); previously on March 24, 2016, Upgraded to
Aa1 (sf)
$14,875,000 Class D Deferrable Floating Rate Notes due 2022,
Upgraded to A3 (sf); previously on March 24, 2016, Upgraded to
Baa2 (sf)
Moody's also affirmed the ratings on these notes:
$259,000,000 Class A Floating Rate Notes due 2022 (current
balance of $56,423,574.23), Affirmed Aaa (sf); previously on
March 24, 2016, Affirmed Aaa (sf)
$19,250,000 Class B Floating Rate Notes due 2022, Affirmed
Aaa (sf); previously on March 24, 2016, Affirmed Aaa (sf)
$14,000,000 Class E Deferrable Floating Rate Notes due 2022
(current balance of $10,964,769.09), Affirmed Ba3 (sf);
previously on March 24, 2016, Affirmed Ba3 (sf)
ACA CLO 2007-1, Limited, issued in June 2007, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans with exposure to structured finance assets. 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 March 2016. The Class A
notes have been paid down by approximately 47.9% or $51.9 million
since March 2016. Based on the trustee's 6 July 2016 report, the
OC ratios for the Class A/B, Class C, Class D and Class E notes are
reported at 146.61%, 127.92%, 114.18% and 105.80%, respectively,
versus March 2016 levels of 139.31%, 124.01%, 112.35% and 105.07%,
respectively. Moody's notes that the trustee's 6 July 2016 OC
ratios do not reflect $32.2 million of principal proceeds which
were paid to the Class A notes on the 15 July payment date.
Nevertheless, the transaction has significant exposure to
structured finance assets of 10.5% based on the trustee's 6 July
2016 report.
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 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% (1818)
Class A: 0
Class B: 0
Class C: 0
Class D: +3
Class E: +2
Moody's Adjusted WARF + 20% (2727)
Class A: 0
Class B: 0
Class C: -1
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 $125.6 million, defaulted par
of $1.4 million, a weighted average default probability of 12.70%
(implying a WARF of 2272), a weighted average recovery rate upon
default of 45.09%, a diversity score of 36 and a weighted average
spread of 3.14% (before accounting for LIBOR floors).
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of the
assets in the collateral pool. Moody's generally applies recovery
rates for CLO securities as published in "Moody's Approach to
Rating SF CDOs". In some cases, alternative recovery assumptions
may be considered based on the specifics of the analysis of the CLO
transaction. In each case, historical and market performance and
the collateral manager's latitude for trading the collateral are
also factors.
AGATE BAY 2016-3: Fitch to Rate Class B-4 Certs 'BBsf'
------------------------------------------------------
Fitch Ratings expects to rate Agate Bay Mortgage Trust 2016-3 as:
-- $248,955,000 class A-6 certificates 'AAAsf'; Outlook Stable;
-- $82,985,000 class A-8 certificates 'AAAsf'; Outlook Stable;
-- $24,364,000 class A-10 certificates 'AAAsf'; Outlook Stable;
-- $356,304,000 class A-X-1 notional certificates 'AAAsf';
Outlook Stable;
-- $248,955,000 class A-X-4 notional certificates 'AAAsf';
Outlook Stable;
-- $82,985,000 class A-X-5 notional certificates 'AAAsf';
Outlook Stable;
-- $24,364,000 class A-X-6 notional certificates 'AAAsf';
Outlook Stable;
-- $8,374,000 class B-1 certificates 'AAsf'; Outlook Stable;
-- $6,091,000 class B-2 certificates 'Asf'; Outlook Stable;
-- $4,568,000 class B-3 certificates 'BBBsf'; Outlook Stable;
-- $2,284,000 class B-4 certificates 'BBsf'; Outlook Stable.
Exchangeable Certificates:
-- $356,304,000 class A-1 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $356,304,000 class A-2 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $331,940,000 class A-3 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $331,940,000 class A-4 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $248,955,000 class A-5 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $82,985,000 class A-7 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $24,364,000 class A-9 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $356,304,000 class A-X-2 exchangeable notional certificates
'AAAsf'; Outlook Stable;
-- $331,940,000 class A-X-3 exchangeable notional certificates
'AAAsf'; Outlook Stable.
The $3,045,891 class B-5 certificates and $380,666,891 class A-IO-S
notional certificates will not be rated.
KEY RATING DRIVERS
High-Quality Mortgage Pool: The collateral pool consists of
high-quality 30-year, fixed-rate, fully amortizing loans to
borrowers with strong credit profiles, low leverage and large
liquid reserves. The pool has a weighted average (WA) FICO score
of 772 and an original combined loan-to-value (CLTV) ratio of 69%.
The collateral attributes of the subject pool are largely
consistent with recent ABMT transactions issued in 2015 and 2016.
Geographic Concentration Risk: The pool's primary concentration
risk is in California, where approximately 34.5% of the collateral
is located, 27.3% of which is located in the metropolitan areas
encompassing Los Angeles, San Francisco and San Jose. This
distribution shows strong improvement in geographic diversification
over previous ABMT transactions. As a result, no penalty was
applied to the pool's probability of default (PD) to account for
geographic concentration risk.
Tier 1 Framework with Possible Counterparty Risk: Fitch considers
the transaction's representation, warranty and enforcement (RW&E)
mechanism framework to be consistent with Tier I quality. The
transaction benefits from life-of-loan R&W, as well as a backstop
by the seller, TH TRS, in case of insolvency or dissolution of the
related originator. However, Fitch increased its loss expectations
to account for the closure of the mortgage conduit operations by TH
TRS's parent, Two Harbors Investment Corp., and the possibility
that TH TRS may be unable to fulfill future repurchase
obligations.
Originators with Limited Performance History: Many of the loans
were originated by lenders with a limited non-agency performance
history. However, this is mitigated by Fitch's assessment of Two
Harbors as an above-average aggregator. With the exception of
Movement Mortgage, LLC (4% of the pool) whose loans were originated
and reviewed according to its own guidelines, all loans were
originated to meet TH TRS's purchase criteria and were reviewed by
a third-party due diligence firm to TH TRS's guidelines, with no
material findings. TH TRS is a wholly owned subsidiary of Two
Harbors. In addition, Fitch conducted an onsite review or in-depth
call with four of the top five originators, which account for
approximately 38% of the pool.
Extraordinary Expense Treatment: The trust provides for expenses,
including indemnification amounts and costs of arbitration, to be
paid by the net WA coupon of the loans, which does not affect the
contractual interest due on the certificates. Furthermore, the
expenses to be paid from the trust are capped at $300,000 per annum
($125,000 for the trustee), which can be carried over each year,
subject to the cap until paid in full.
CRITERIA APPLICATION
Fitch's analysis incorporated one criteria variation. The due
diligence review for ABMT 2016-3 was conducted prior to the June
2016 publication of Fitch's report "U.S. RMBS Master Rating
Criteria". While the final due diligence grades were calibrated to
Fitch's updated grading matrix as described in its criteria, the
TRID reporting detail expected to be provided to Fitch under the
updated criteria had not been established by the TPR firm at the
time it conducted the loan-level review for this transaction.
Therefore, the reports generated by the TPR for this transaction
are not consistent with Fitch's updated criteria for TRID, but will
be going forward for loans reviewed after July 2016. There was no
impact on Fitch's ratings given the due diligence grading results
and additional documentation provided to clear any exceptions.
RATING SENSITIVITIES
After Fitch determines credit ratings through a rating stress
scenario analysis, additional sensitivity analyses are considered.
The analyses provide a defined stress sensitivity to demonstrate
how the ratings would react to steeper market value declined (MVDs)
than assumed at issuance as well as a defined sensitivity that
demonstrates the stress assumptions required to reduce a rating by
one full category, to non-investment grade, and to 'CCCsf'.
The defined stress sensitivity analysis focuses on determining how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20%, and 30%, in addition to the
model projected 6.2% for this pool. The analysis indicates there
is some potential rating migration with higher MVDs, compared with
the model projection.
Fitch also conducted defined rating sensitivity analyses which
determine the stresses to MVDs that would reduce a rating by one
full category, to non-investment grade, and to 'CCCsf'. For
example, additional MVDs of 7%, 32% and 53% could potentially lower
the 'AAAsf' rated class one rating category, to non-investment
grade, and to 'CCCsf'.
AGATE BAY 2016-3: S&P Assigns Prelim. BB Rating on Cl. B-4 Certs
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Agate Bay
Mortgage Trust 2016-3's $377.621 million mortgage pass-through
certificates.
The certificate issuance is a residential mortgage-backed
securities transaction backed by first-lien, fixed residential
mortgage loans secured by one- to four-family residential
properties, condominiums, cooperatives, and planned unit
developments to primarily prime borrowers.
The preliminary ratings are based on information as Aug. 4, 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:
-- High-quality collateral in the pool;
-- Available credit enhancement; and the
-- Transaction's associated structural mechanics.
PRELIMINARY RATINGS ASSIGNED
Agate Bay Mortgage Trust 2016-1
Class Ratings(i) Amount (mil. $)
A-1 AAA (sf) 356.304
A-2 AAA (sf) 356.304
A-3 AAA (sf) 331.940
A-4 AAA (sf) 331.940
A-5 AAA (sf) 248.955
A-6 AAA (sf) 248.955
A-7 AAA (sf) 82.985
A-8 AAA (sf) 82.985
A-9 AAA (sf) 24.364
A-10 AAA (sf) 24.364
A-X-1 AAA (sf) 356.304
A-X-2 AAA (sf) 356.304
A-X-3 AAA (sf) 331.940
A-X-4 AAA (sf) 248.955
A-X-5 AAA (sf) 82.985
A-X-6 AAA (sf) 24.364
B-1 AA (sf) 8.374
B-2 A (sf) 6.091
B-3 BBB (sf) 4.568
B-4 BB (sf) 2.284
B-5 NR 3.045
(i)The classes, principle amounts, and ratings in this table
reflect the preliminary term sheet dated Aug 1, 2016.
NR--Not rated.
AMERICAN CREDIT 2016-3: S&P Assigns BB Rating on Class D Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to American Credit
Acceptance Receivables Trust 2016-3's $230.196 million automobile
receivables-backed notes series 2016-3.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The ratings are based on information as of Aug. 4, 2016.
The ratings reflect:
-- The availability of approximately 57.6%, 48.6%, 40.5%, and
35.4% of credit support for the class A, B, C, and D notes,
respectively, based on break-even stressed cash flow
scenarios (including excess spread), which provide coverage
of more than 2.15x, 1.75x, 1.40x, and 1.25x S&P's 25.75%-
26.75% expected net loss range for the class A, B, C, and D
notes, respectively.
-- The timely interest and principal payments made to the rated
notes by the assumed legal final maturity dates under S&P's
stressed cash flow modeling scenarios that it believes are
appropriate for the assigned ratings. The expectation that
under a moderate ('BBB') stress scenario, the ratings on the
class A and B notes would remain within one rating category
of S&P's 'AA (sf)' and 'A (sf)' ratings, and the ratings on
the class C and D notes would remain within two rating
categories of S&P's 'BBB (sf)' and 'BB (sf)' ratings. These
potential rating movements are consistent with S&P's credit
stability criteria, which outline the outer bound of credit
deterioration equal to a one-rating category downgrade
within the first year for 'AA' rated securities and a two-
rating category downgrade within the first year for 'A'
through 'BB' rated securities under moderate stress
conditions.
-- The collateral characteristics of the subprime automobile
loans securitized in this transaction.
-- The backup servicing arrangement with Wells Fargo Bank N.A.
-- The transaction's payment and credit enhancement structures,
which include performance triggers.
-- The transaction's legal structure.
RATINGS ASSIGNED
American Credit Acceptance Receivables Trust 2016-3
Class Rating Type Interest Amount
rate (mil. $)
A AA (sf) Senior Fixed 132.596
B A (sf) Subordinate Fixed 42.404
C BBB (sf) Subordinate Fixed 36.346
D BB (sf) Subordinate Fixed 18.850
BANC OF AMERICA 2006-4: S&P Lowers Rating on Cl. C Certs to D
-------------------------------------------------------------
S&P Global Ratings raised its rating on the class A-M commercial
mortgage pass-through certificates from Banc of America Commercial
Mortgage Trust 2006-4, a U.S. commercial mortgage-backed securities
(CMBS) transaction, to 'AAA (sf)' from 'AA (sf)'. In addition, S&P
lowered its rating on class C to 'D (sf)' from
'CCC- (sf)' and affirmed its ratings on class A-J, B, and XC 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 raised its rating on class A-M to 'AAA (sf)' 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 follows S&P's views regarding the collateral's current and
future performance and available liquidity support. Based on the
feedback provided by the master servicer, some of the performing
loans, including the two largest performing loans, were recently
paid off following the July 2016 remittance report. S&P expects
the aggregate net proceeds to cover the outstanding balance of
class A-M.
The downgrade on class C to 'D (sf)' reflects ongoing interest
shortfalls to the class that S&P expects will continue for the
foreseeable future. In addition, the downgrade also reflects
credit support erosion that S&P anticipates will occur upon the
eventual resolution of the nine assets ($276.9 million, 67.2%) with
the special servicers (discussed below).
According to the July 11, 2016, trustee remittance report, the net
current monthly interest shortfalls totaled $330,397 and resulted
primarily from:
-- Appraisal subordinate entitlement reduction amounts totaling
$270,297; and
-- Nonrecoverable Iinterest totaling $69,348.
The current interest shortfalls affected classes subordinate to and
including class B.
The affirmations on the 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. 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.
While available credit enhancement levels suggest positive rating
movements on classes A-J and B, S&P's analysis also considered the
susceptibility to reduced liquidity support from the nine specially
serviced assets, as well as outstanding shortfalls on classes A-J
and B.
S&P affirmed its 'AAA (sf)' rating on the class X-C interest-only
(IO) certificates based on its criteria for rating IO securities.
TRANSACTION SUMMARY
As of the July 11, 2016, trustee remittance report, the collateral
pool balance was $412.3 million, which is 15.1% of the pool balance
at issuance. The pool currently includes 18 loans and four real
estate-owned (REO) assets (reflecting cross-collateralized loans),
down from 164 loans at issuance. Nine of these assets ($276.9
million, 67.2%) are with the special servicers, and 13 loans
($135.4 million, 32.8%; representing cross-collateralized loans)
are on the master servicer's watchlist. The master servicer,
KeyBank Real Estate Capital, reported financial information for
58.2% of the loans in the pool, of which 4.9% was partial-year 2016
data, 42.4% was year-end 2015 data, and the remainder was year-end
2014 data.
S&P calculated a 0.95x S&P Global Ratings' weighted average debt
service coverage (DSC) and 84.6% S&P Global Ratings' weighted
average loan-to-value (LTV) ratio using a 8.04% S&P Global Ratings'
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the eight of the nine
specially serviced assets and two loans ($75.7 million, 18.4%) that
paid off after the July 2016 payment period. The top 10 assets
have an aggregate outstanding pool trust balance of $370.4 million
(89.8%). Using servicer-reported numbers, S&P calculated a S&P
Global Ratings' weighted average DSC and LTV of 0.85x and 87.5%,
respectively, for three of the top 10 loans. The remaining seven
loans are either specially serviced or paid off.
To date, the transaction has experienced $213.2 million in
principal losses, or 7.8% of the original pool trust balance. S&P
expects losses to reach approximately 10.6% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses we expect upon the eventual resolution of
eight ($197.5 million, 47.9%) of the nine specially serviced
assets.
CREDIT CONSIDERATIONS
As of the July 11, 2016, trustee remittance report, nine assets
($276.9 million, 67.2%) in the pool were with the special
servicers, C-III Asset Management LLC (C-III) & LNR Partners LLC
(for the BlueLinx Holdings Portfolio (Rollup) loan). Details of
the three largest specially serviced assets, which are also the
three largest assets in the pool, are:
The Mesa Mall loan ($87.3 million, 21.2%) is the largest loan in
the pool and has a total reported exposure of $88.1 million. The
loan is secured by a 560,264-sq.-ft. retail mall in Grand Junction,
Colo. The loan was transferred to C-III on May 24, 2016, because
of imminent maturity default. C-III stated that it it will pursue
foreclosure if the borrower does not receive an acceptable
alternative resolution offer. The reported DSC and occupancy as of
July 2016 are 1.67x and 97.3%, respectively. No appraisal
reduction amount (ARA) is currently in effect on this loan. S&P
expects a minimal loss upon this loan's eventual resolution.
The BlueLinx Holdings Portfolio (Rollup) loan ($79.4 million,
19.3%) is the second largest loan in the pool and has a total
reported exposure of $79.4 million. The loan is secured by 48
industrial distribution properties spread across 31 states in the
U.S. and 100% leased to BlueLinx Holdings Inc. under a master
lease. Since origination, 10 properties have been released,
resulting in the paydown of the outstanding loan principal balance.
The loan was transferred to LNR on June 10, 2011, because of
imminent default and was recently modified. As part of the loan
modification, the BlueLinx master lease has been extended to June
2026, and the loan's maturity date has been extended to July 2019,
subject to annual principal paydown requirements. S&P's analysis
considered this recent modification and potential loan workout, as
well as market data and conditions in order to assess our
sustainable cash flow and valuation.
The 2000 Corporate Ridge Road REO asset ($60.6 million, 14.7%) is
the third largest asset in the pool and has a total reported
exposure of $68.2 million. The asset is an office property
totaling 256,022 sq. ft. in McLean, Va. The loan was transferred
to C-III on June 30, 2014, because of imminent default associated
with the loss of a tenant occupying a major portion of the space.
The loan became REO on Oct. 27, 2015. A $41.6 million ARA is in
effect against this asset. S&P expects a significant loss upon
this asset's eventual resolution.
The six remaining assets with the special servicer each have
individual balances that represent less than 4.1% of the total pool
trust balance. S&P estimated losses for eight of the nine
specially serviced assets, arriving at a weighted average loss
severity of 39.0%.
With respect to the specially serviced assets noted above, a
minimal loss is less than 25%, a moderate loss is 26%-59%, and a
significant loss is 60% or greater.
Per the master servicer, the two largest performing loans--350
South Figueroa Street ($45 million, 10.9%) and 286 Madison Avenue
($30.7 million, 7.5%) have paid off in full.
RATINGS LIST
Banc of America Commercial Mortgage Trust 2006-4
Commercial mortgage pass-through certificates series 2006-4
Rating
Class Identifier To From
A-M 05950WAH1 AAA (sf) AA (sf)
A-J 05950WAJ7 BB (sf) BB (sf)
B 05950WAL2 BB- (sf) BB- (sf)
C 05950WAM0 D (sf) CCC- (sf)
XC 05950WBD9 AAA (sf) AAA (sf)
BANC OF AMERICA 2006-6: S&P Raises Rating on Cl. A-J Certs to BB-
-----------------------------------------------------------------
S&P Global Ratings raised its ratings on five classes of commercial
mortgage pass-through certificates from Banc of America Commercial
Mortgage Trust 2006-6, a U.S. commercial mortgage-backed securities
(CMBS) transaction. In addition, S&P affirmed its 'AAA (sf)'
rating on the class XC interest-only (IO) certificates and
discontinued its 'AAA (sf)' rating on the class A-3 certificates
following its full repayment as noted in the July 2016 trustee
remittance report.
The upgrades on the principal- and interest-paying certificates
follow S&P's analysis of the transaction, primarily using its
criteria for rating U.S. and Canadian CMBS transactions, which
included a review of the credit characteristics and performance of
the remaining assets in the pool, the transaction's structure, and
the liquidity available to the trust. The raised ratings also
reflect S&P's expectation of the available credit enhancement for
these classes, which S&P believes is greater than its most recent
estimate of necessary credit enhancement for the respective rating
levels, S&P's views regarding the current and future performance of
the transaction's collateral, and the trust balance's significant
reduction.
S&P discontinued its rating on class A-3 because it has paid off in
full per the July 11, 2016, trustee remittance report.
S&P affirmed its 'AAA (sf)' rating on the class XC IO certificates
based on its criteria for rating IO securities.
TRANSACTION SUMMARY
As of the July 11, 2016, trustee remittance report, the collateral
pool balance was $1.26 billion, which is 51.3% of the pool balance
at issuance. The pool currently includes 62 loans and one real
estate-owned (REO) asset (reflecting cross-collateralized loans and
subordinate B hope notes), down from 116 loans at issuance. Five of
these assets ($80.5 million, 6.4%) are with the special servicer,
five loans ($54.5 million, 4.3%) are defeased, and 31 loans ($592.8
million, 46.9%) are on the master servicer's watchlist. The master
servicer, KeyBank Real Estate Capital, reported financial
information for 100.0% of the nondefeased loans in the pool, of
which 1.4% was partial-year 2016 data, 97.1%, was partial or
year-end 2015 data, and the remainder was year-end 2014 data.
S&P calculated a 1.35x S&P Global Ratings' weighted average debt
service coverage (DSC) and 94.2% S&P Global Ratings' weighted
average loan-to-value (LTV) ratio using a 7.87% S&P Global Ratings'
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the specially serviced
assets, the defeased loans, and the three subordinate B hope notes
($100.1 million, 7.9%). The top 10 nondefeased assets have an
aggregate outstanding pool trust balance of $1.0 billion (79.9%).
Using servicer-reported numbers, S&P calculated an S&P Global
Ratings' weighted average DSC and LTV of 1.34x and 99.9%,
respectively, for eight of the top 10 nondefeased assets. The
remaining two assets are specially serviced and discussed below.
To date, the transaction has experienced $43.4 million in principal
losses, or 1.8% of the original pool trust balance. S&P expects
losses to reach approximately 3.3% of the original pool trust
balance in the near term, based on losses incurred to date and
additional losses we expect upon the eventual resolution of the
specially serviced assets.
CREDIT CONSIDERATIONS
As of the July 11, 2016, trustee remittance reports, five assets in
the pool were with the special servicer, CWCapital Asset Management
LLC (CWCapital). Details of the three largest specially serviced
assets, two of which are top 10 nondefeased assets, are:
The 1700 Twinbrook Office Center REO asset ($39.0 million, 3.1%),
the fifth-largest nondefeased asset in the pool has a total
reported exposure of $48.6 million. The asset is a 162,357-sq.-ft.
class B office building in Rockville, Md. The loan was transferred
to the special servicer on June 8, 2009, because of cash flow
shortfalls as a result of low occupancy. The property became REO
on Sept. 14, 2010. The reported DSC and occupancy as of year-end
2015 were 0.48x and 76.2%, respectively. CWCapital reported to S&P
that the asset was recently sold, and S&P expects a moderate loss
upon its eventual resolution.
The Merced Marketplace A and B loan (aggregate balance of
$22.0 million, 1.7%), the ninth-largest nondefeased asset in the
pool, has a total reported exposure of $22.0 million. The loan is
secured by a 113,124-sq.-ft. retail property in Merced, Calif. The
loan was transferred back to the special servicer on July 1, 2016,
because of monetary default. The loan, which has a current payment
status, was previously modified on Oct. 10, 2012, and the
modification terms included, among other items, splitting the loan
into a $15.1 million A note and a $6.9 million subordinate B hope
note. The reported DSC and occupancy as of year-end 2015 were
1.05x and 89.7%, respectively. S&P expects a minimal loss on the A
note and no recovery on the B note upon this loan's eventual
resolution.
The Marketplace College Ave. loan ($15.4 million, 1.2%) has a total
reported exposure of $16.2 million. The loan is secured by a
241,048-sq.-ft. retail property in Appleton, Wis. The loan, which
has a reported 90-day delinquent payment status, was transferred to
the special servicer on July 7, 2016, because of imminent maturity
default. The reported DSC for the nine months ended Sept. 30,
2015, was 0.69x, and the reported occupancy as of June 1, 2016, was
73.0%. A $7.7 million appraisal reduction amount is in effect
against the loan. S&P expects a moderate loss upon this loan's
eventual resolution.
The two remaining assets with the special servicer each have
individual balances that represent less than 0.3% of the total pool
trust balance. S&P estimated losses for the five specially
serviced assets, arriving at a weighted average loss severity of
46.2%.
With respect to the specially serviced assets noted above, a
minimal loss is less than 25%, a moderate loss is 26%-59%, and a
significant loss is 60% or greater.
RATINGS RAISED
Banc of America Commercial Mortgage Trust 2006-6
Commercial mortgage pass-through certificates
Rating
Class To From
A-4 AAA (sf) AA (sf)
A-1A AAA (sf) AA (sf)
A-M A+ (sf) BB+ (sf)
A-J BB- (sf) B- (sf)
B B- (sf) CCC (sf)
RATING AFFIRMED
Banc of America Commercial Mortgage Trust 2006-6
Commercial mortgage pass-through certificates
Class Rating
XC AAA (sf)
RATING DISCONTINUED
Banc of America Commercial Mortgage Trust 2006-6
Commercial mortgage pass-through certificates
Rating
Class To From
A-3 NR AAA (sf)
NR--Not rated.
BEAR STEARNS 2004-PWR3: S&P Lowers Rating on Cl. K Certs to CCC-
----------------------------------------------------------------
S&P Global Ratings raised its ratings on two classes of commercial
mortgage pass-through certificates from Bear Stearns Commercial
Mortgage Securities Trust 2004-PWR3, a U.S. commercial
mortgage-backed securities (CMBS) transaction. In addition, S&P
lowered its ratings on two classes and affirmed its ratings on two
other classes from the same transaction.
S&P raised its ratings on classes F and G to reflect its
expectation of the available credit enhancement for these classes,
which S&P believes is greater than its most recent estimate of
necessary credit enhancement for the respective rating levels. The
upgrades also follow S&P's views regarding the collateral's current
and future performance and trust balance's significant reduction.
The downgrades on classes K and L are due to ongoing interest
shortfalls that S&P expects to remain outstanding in the
foreseeable future. In addition, S&P lowered its rating on class L
to 'D (sf)' due to credit support erosion that S&P expects would
occur upon the eventual resolution of the sole specially serviced
asset, the Great Northern Mall real estate owned (REO) asset ($32.8
million, 64.5%). Classes K and L had accumulated shortfalls
outstanding for two consecutive months.
According to the July 11, 2016, trustee remittance report, the
current monthly interest shortfalls totaled $67,396 and resulted
primarily from:
-- Appraisal subordinate entitlement reduction (ASER) amounts
totaling $60,539; and
-- Special servicing fees totaling $6,857.
The interest shortfalls affected all classes subordinate to and
including class K.
The affirmations on classes H and J 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 S&P's views regarding the collateral's current
and future performance.
While available credit enhancement levels suggest positive rating
movements on classes H and J, S&P's analysis also considered the
susceptibility to reduced liquidity support from the Great Northern
Mall REO asset, either from an increase in ASER amount or if the
master servicer deems the asset non-recoverable.
TRANSACTION SUMMARY
As of the July 11, 2016, trustee remittance report, the collateral
pool balance was $50.9 million, which is 4.6% of the pool balance
at issuance. The pool currently includes seven loans and one REO
asset, down from 116 loans at issuance. One asset is with the
special servicer, one loan ($490,591, 1.0%) is defeased and two
($4.0 million, 7.8%) are on the master servicers' combined
watchlist. The master servicers, Wells Fargo Bank N.A. and
Prudential Asset Resources, reported year-end 2015 financial
information for 34.9% of the nondefeased loans in the pool.
Excluding the specially serviced asset and defeased loan, S&P
calculated a 1.11x S&P Global Ratings weighted average debt service
coverage (DSC) and 47.6% S&P Global Ratings weighted average
loan-to-value (LTV) ratio using a 7.34% S&P Global Ratings weighted
average capitalization rate.
To date, the transaction has experienced $14.8 million in principal
losses, or 1.3% of the original pool trust balance. S&P expects
losses to reach approximately 2.5% of the original pool trust
balance in the near term, based on loss incurred to date and
additional losses S&P expects upon the eventual resolution of the
one specially serviced asset.
CREDIT CONSIDERATIONS
As of the July 11, 2016, trustee remittance report, the Great
Northern Mall REO asset is the sole asset with the special
servicer, C-III Asset Management LLC (C-III).
The Great Northern Mall REO asset is the largest nondefeased REO
asset in the pool and has a $33.3 million in total reported
exposure. The asset is a 504,743-sq.-ft., regional mall located in
Clay, N.Y. It was built in 1988 and renovated in 2003. The loan
was transferred to special servicing effective Nov. 6, 2014, due to
the borrower's notification of imminent loan maturity default on
Jan. 1, 2015, after a 13-month extension was approved on the
original Dec. 1, 2013 maturity. The asset became REO on July 28,
2015. The reported DSC and occupancy as of June 30, 2014, were
1.16x and 71.5% respectively. An ARA of $14.4 million is in effect
for this asset. S&P expects a moderate loss, which is 26% to 59%,
upon the asset’s eventual resolution.
RATINGS LIST
Bear Stearns Commercial Mortgage Securities Trust 2004-PWR3
Commercial mortgage pass-through certificates series 2004-PWR3
Rating
Class Identifier To From
F 07383FYQ5 AAA (sf) BBB+ (sf)
G 07383FYR3 AA+ (sf) BBB (sf)
H 07383FYS1 BB (sf) BB (sf)
J 07383FYT9 BB- (sf) BB- (sf)
K 07383FYU6 CCC- (sf) B (sf)
L 07383FYV4 D (sf) CCC (sf)
BEAR STEARNS 2005-PWR9: Moody's Affirms C Rating on Cl. H Debt
--------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on seven and
upgraded the ratings on two classes in Bear Stearns Commercial
Mortgage Securities Trust, Commercial Mortgage Pass-Through
Certificates, Series 2005-PWR9 as follows:
Cl. A-J, Affirmed Aaa (sf); previously on Nov 20, 2015 Upgraded to
Aaa (sf)
Cl. B, Affirmed Aaa (sf); previously on Nov 20, 2015 Upgraded to
Aaa (sf)
Cl. C, Upgraded to Aa2 (sf); previously on Nov 20, 2015 Upgraded to
Aa3 (sf)
Cl. D, Upgraded to Baa3 (sf); previously on Nov 20, 2015 Upgraded
to Ba1 (sf)
Cl. E, Affirmed B2 (sf); previously on Nov 20, 2015 Upgraded to B2
(sf)
Cl. F, Affirmed Caa2 (sf); previously on Nov 20, 2015 Affirmed Caa2
(sf)
Cl. G, Affirmed Ca (sf); previously on Nov 20, 2015 Affirmed Ca
(sf)
Cl. H, Affirmed C (sf); previously on Nov 20, 2015 Affirmed C (sf)
Cl. X-1, Affirmed Caa2 (sf); previously on Nov 20, 2015 Downgraded
to Caa2 (sf)
RATINGS RATIONALE
The ratings on two P&I classes were affirmed due to the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on two P&I classes were upgraded based primarily on an
increase in credit support resulting from loan paydowns and
defeasance.
The ratings on four P&I classes 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 its
referenced classes.
Moody's rating action reflects a base expected loss of 15.7% of the
current balance, compared to 9.2% at Moody's last review. Moody's
base expected loss plus realized losses is now 6.0% of the original
pooled balance, compared to 5.4% 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 July 11, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 92% to $175 million
from $2.2 billion at securitization. The certificates are
collateralized by 28 mortgage loans ranging in size from less than
1% to 10.3% of the pool, with the top ten loans constituting 58% of
the pool. Six loans, constituting 27% of the pool, have defeased
and are secured by US government securities.
Three loans, constituting 9% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Twenty-five loans have been liquidated from the pool, resulting in
an aggregate realized loss of $101 million (for an average loss
severity of 37%). Ten loans, constituting 34% of the pool, are
currently in special servicing. The largest specially serviced loan
is the Jackson Retail Portfolio loan (for $18 million 10.3% of the
pool), which is secured by three shadow-anchored retail properties
in Ridgeland and Jackson, Mississippi. The portfolio was 82%
occupied as of December 2015, however this includes a number of
tenants on month-to-month leases. This loan transferred to Special
Servicing in May 2015 due to imminent maturity default.
The remaining nine specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $21.7 million loss
for the specially serviced loans (37% expected loss on average).
Moody's has assumed a high default probability for one poorly
performing loans, constituting 2% of the pool, and has estimated an
aggregate loss of $3.4 million from this troubled loan.
Moody's received full year 2015 operating results for 60% of the
pool, and full or partial year 2015 operating results for 20%.
Moody's weighted average conduit LTV is 86% and remains unchanged
since last review. Moody's conduit component excludes loans with
credit assessments, defeased and CTL loans, and specially serviced
and troubled loans. Moody's net cash flow (NCF) reflects a weighted
average haircut of 8% 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 1.42X and 1.21X,
respectively, compared to 1.43X and 1.27X 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 Village at Newtown Loan ($15 million -- 8.6% of
the pool), which is secured by a retail center located thirty miles
northeast of Philadelphia. The property was 78% occupied as of
March 2016, compared to 79% a year earlier in March 2015. The loan
is scheduled to mature in September 2020. Moody's LTV and stressed
DSCR are 80% and 1.24X, respectively, compared to 79% and 1.27X at
the last review.
The second largest loan is the Roosevelt Plaza Loan ($13.2 million
-- 7.6% of the pool), which is secured by a shopping center in the
Northern Philadelphia submarket. The L-shaped property consists of
three single story buildings and a parking lot. The property was
91% leased as of March 2016 and remains unchanged since December
2015. The loan is scheduled to mature in July 2020. Moody's LTV and
stressed DSCR are 90% and 1.02X, respectively, compared to 87% and
1.06X at the last review.
The third largest loan is the Baker Waterfront Plaza A-Note Loan
($11.5 million -- 6.6% of the pool), which is secured by an
eight-story, Class A office building located in Hoboken, New
Jersey. The property was 99% leased as of March 2016 compared to
82% in June 2015 and 79% in December 2014. The loan was modified in
February 2013, when an A/B note split was implemented. The B Note
is held in the trust and has been recognized as a troubled loan.
Moody's LTV and stressed DSCR are 131% and 0.76X, respectively, the
same as last review.
BEAR STEARNS 2006-TOP22: Fitch Affirms 'Csf' Rating on Cl. J Debt
-----------------------------------------------------------------
Fitch Ratings has upgraded five classes of Bear Stearns Commercial
Mortgage Securities Trust (BSCMST), series 2006-TOP22 commercial
mortgage pass-through certificates.
KEY RATING DRIVERS
The upgrades of BSCMST, series 2006-TOP22 reflect the high credit
enhancement of the senior classes as a result of principal pay down
as well as the low leverage of the remaining non-specially serviced
loans. Despite high credit enhancement further upgrades were
limited due to adverse selection of the pool's remaining 17
non-defeased loans and the asset concentration risk associated with
52.2% of the pool collateralized by retail properties.
There were variances to criteria related to classes D, E, and F
whereby the surveillance criteria indicated further rating upgrades
were possible. However, Fitch limited upgrades due to the
concentration risks and potential binary risk.
The pool's aggregate principal balance has been paid down by 92.1%
to $134.7 million from $1.7 billion at issuance. Fitch modeled
losses of 18.0% of the remaining pool; expected losses on the
original pool balance are 2.9%, of which 1.5% are realized losses
to date. Of the original 151 loans, 21 remain, and five have been
designated (29.1%) as Fitch Loans of Concern, including three
specially serviced loans (89.7%). Four loans (17.6%) are fully
defeased. The non-specially serviced loans' maturity dates are in
2018 (11.7%), 2019 (3.3%), 2020 (44.7%), 2021 (27.8%), 2026 (2.1%),
and 2029 (0.7%). Seven loans are currently on the servicer
watchlist (31.0%).
The largest loan in the pool and the largest contributor to Fitch's
modeled losses is Sunrise Plaza (13.9%), an 119,180 square foot
(sf) anchored retail center located in San Jose, CA. As of March
2016, the property was 99% occupied with a debt service coverage
ratio (DSCR) of 1.34x. The property's largest tenant, Sports
Authority (35% of the net rentable area [NRA]), filed for Chapter
11 Bankruptcy in early 2016, and as a result, is expected to vacate
the property by August 2016. According to the master servicer, the
sponsor is currently marketing the space and has had preliminary
discussions with a number of retailers on backfilling the 41,176-sf
space. Fitch applied a stressed valuation for the analysis based on
the vacant anchor space. Fitch will continue to monitor the loan
for progress on securing a new tenant.
The second largest contributor to Fitch's modeled losses is the
real estate owned (REO) Gateway Business Center (6.49%), a 117,500
square foot (sf) suburban office building located in Melbourne, FL.
The property has experienced cash flow issues due to occupancy
declines, falling to 53% as of Feb. 2016, compared to 94% at
issuance. In addition, leases for approximately 47% of the NRA are
scheduled to expire over the next 12 months. The special servicer
is currently working to extend the in-place leases and secure
additional tenants to increase the building's occupancy. Upon
completion of the leasing activity, the special servicer will
determine a disposition strategy.
The third largest contributor to Fitch's modeled losses is 2420 -
2452 East Springs Drive (5.3% of the pool), a 69,292 sf
neighborhood retail center located in Madison, WI. The subject was
built in 1996 and is located in a commercial corridor that is seven
miles northeast of the capitol. The property has been 100% leased
by two tenants, Office Max (34%) and Best Buy (66%), since
issuance. Office Max vacated the property in November 2015, but
continues to remit rental payments and has a lease expiration date
of June 2017. According to the servicer, the sponsor is actively
marketing the vacated space and the loan is being cash managed by
the servicer with additional tenant improvement and leasing
reserves being collected to offset leasing activities. As of March
2016, the property's occupancy was 66% with a DSCR of 1.25x. The
partial interest-only loan is current and scheduled to mature in
February 2018.
RATING SENSITIVITIES
Fitch's loss assumptions assumed a stressed value on the specially
serviced loans and Fitch Loans of Concern. The ratings of classes B
through E are expected to remain stable due to sufficient credit
enhancement, defeasance, and continued amortization. The rating on
the distressed classes (below B-) may be impacted by the
disposition of the specially serviced assets. Additional upgrades
are possible should tenancy stabilize on the larger assets or
realized losses be less than anticipated as loans resolve or
payoff. Downgrades could occur if losses are greater than expected
from the specially serviced loan, pool performance deteriorates, or
loans default at maturity.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch has upgraded the following classes:
-- $28.3 million class B to 'AAAsf' from 'Asf'; Outlook Stable;
-- $12.8 million class C to 'AAAsf' from 'BBBsf'; Outlook
Stable;
-- $25.6 million class D to 'BBBsf' from 'BBsf'; Outlook
Stable;
-- $14.9 million class E to 'BBsf' from 'Bsf'; Outlook Stable;
-- $14.9 million class F to 'Bsf' from 'CCCsf'; Assigned
Outlook Stable;
-- $14.9 million class G to 'CCCsf' from 'CCsf'; RE100% from
RE0%.
Fitch has affirmed the following classes:
-- $8.5 million class H at 'CCsf'; RE10% from RE0%;
-- $10.7 million class J at 'Csf'; RE0%;
-- $2.1 million class K at 'Csf'; RE0%;
-- $2.0 million class L at 'Dsf'; RE0%;
-- $0 million class M at 'Dsf'; RE0%;
-- $0 million class N at 'Dsf'; RE0%;
-- $0 million class O at 'Dsf'; RE0%.
Fitch does not rate the $0.0 million class P. Classes A-1, A-2,
A-3, A-AB, A-4, A-1A, A-M, and A-J have repaid in full. Classes M
through O and the unrated class P have been reduced to zero due to
losses realized on loans liquidated from the trust. Fitch
previously withdrew the rating on the interest-only class X.
CANYON CLO 2016-2: Moody's Assigns (P)Ba3 Ratings to Cl. E Debt
---------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of notes to be issued by Canyon CLO 2016-2, Ltd. (the
"Issuer" or "Canyon 2016-2").
Moody's rating action is as follows:
US$288,000,000 Class A Senior Secured Floating Rate Notes due 2028
(the "Class A Notes"), Assigned (P) Aaa (sf)
US$57,800,000 Class B Senior Secured Floating Rate Notes due 2028
(the "Class B Notes"), Assigned (P) Aa2 (sf)
US$20,700,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2028 (the "Class C Notes"), Assigned (P) A2 (sf)
US$26,200,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2028 (the "Class D Notes"), Assigned (P) Baa3 (sf)
US$21,300,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2028 (the "Class E Notes"), Assigned (P) Ba3 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes, and the Class E Notes are referred to herein,
collectively, as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
RATINGS RATIONALE
Moody's provisional ratings of the Rated Notes address the expected
losses posed to noteholders. The provisional ratings reflect the
risks due to defaults on the underlying portfolio of assets, the
transaction's legal structure, and the characteristics of the
underlying assets.
Canyon 2016-2 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. We expect the portfolio to be approximately 70% ramped as of
the closing date.
Canyon CLO Advisors LLC (the "Manager") will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's four year reinvestment period.
Thereafter, the Manager may reinvest unscheduled principal payments
and proceeds from sales of credit risk assets, subject to certain
restrictions.
In addition to the Rated Notes, the Issuer will issue one class of
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.
CARAT 2015-3: Fitch Affirms BB- Rating on Class E Notes
-------------------------------------------------------
As part of its ongoing surveillance, Fitch Ratings has taken these
rating actions to the Capital Auto Receivables Asset Trust (CARAT)
2014-3 and 2015-3 transactions:
2014-3
-- Class A-2 affirmed at 'AAAsf'; Outlook Stable;
-- Class A-3 affirmed at 'AAAsf'; Outlook Stable;
-- Class A-4 affirmed at 'AAAsf'; Outlook Stable.
-- Class B upgraded to 'AAAsf' from 'AAsf'; Outlook Stable;
-- Class C upgraded to 'AAsf' from 'Asf'; Outlook revised to
Positive from Stable;
-- Class D upgraded to 'Asf' from 'BBBsf'; Outlook revised to
Positive from Stable.
The class E notes are not rated by Fitch.
2015-3
-- Class A-1a affirmed at 'AAAsf'; Outlook Stable;
-- Class A-1b affirmed at 'AAAsf'; Outlook Stable;
-- Class A-2 affirmed at 'AAAsf'; Outlook Stable;
-- Class A-3 affirmed at 'AAAsf'; Outlook Stable;
-- Class A-4 affirmed at 'AAAsf'; Outlook Stable;
-- Class B affirmed at 'AAsf'; Outlook Stable;
-- Class C affirmed at 'Asf'; Outlook Stable;
-- Class D affirmed at 'BBBsf'; Outlook Stable;
-- Class E affirmed at 'BB-sf'; Outlook Stable.
KEY RATING DRIVERS
The affirmations on the outstanding notes in the two transactions
reflect loss coverage levels consistent with current ratings. The
transactions have performed within Fitch's cumulative net loss
expectations to date.
The upgrades to the B, C and D notes in the 2014-3 transaction are
the result of increased loss coverage available to the notes. Loss
coverage multiples are well in excess of the recommended multiples
for each class under the recommended ratings.
Fitch's recommended proxy for 2014-3 has been adjusted to 3.00%
from 4.75% assumed in the previous review due to
better-than-expected performance. The 2015-3 transaction has one
more month left in the revolving period before the notes will begin
to amortize. Top-up collateral added to the pool since close has
been consistent with the initial pool with only minimal shifts.
Therefore, Fitch is recommending adjusting its proxy to 4.50% from
5.50% assumed in the initial review.
The ratings reflect the quality of Ally Financial Inc.'s retail
auto loan originations, the sound financial and legal structure of
the transaction, and the strength of the servicing provided by
Ally.
RATING SENSITIVITIES
Unanticipated increases in the frequency of defaults and loss
severity could produce loss levels higher than the current
projected base case loss proxy and impact available loss coverage
and multiples levels for the transaction. Lower loss coverage
could impact ratings and Rating Outlooks, depending on the extent
of the decline in coverage.
In Fitch's initial review of the transactions, the notes were found
to have limited sensitivity to a 1.5x and 2.5x increase of Fitch's
base case loss expectations. To date, the transactions have
exhibited strong performance with losses well within Fitch's
initial expectations, with rising loss coverage and multiple
levels. As such, a material deterioration in performance would
have to occur within the asset pools to have potential negative
impact on the outstanding ratings.
CD 2007-CD4: Moody's Affirms B3 Rating on 2 Tranches
----------------------------------------------------
Moody's Investors Service has upgraded the ratings on four classes
and affirmed the ratings on three classes in CD 2007-CD4 Commercial
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
Series 2007-CD4 as follows:
Cl. A-1A, Upgraded to Aaa (sf); previously on Dec 17, 2015 Upgraded
to Aa1 (sf)
Cl. A-4, Upgraded to Aaa (sf); previously on Dec 17, 2015 Upgraded
to Aa1 (sf)
Cl. A-MFX, Upgraded to Baa3 (sf); previously on Dec 17, 2015
Affirmed Ba1 (sf)
Cl. A-MFL, Upgraded to Baa3 (sf); previously on Dec 17, 2015
Affirmed Ba1 (sf)
Cl. A-J, Affirmed Caa3 (sf); previously on Dec 17, 2015 Downgraded
to Caa3 (sf)
Cl. XC, Affirmed B3 (sf); previously on Dec 17, 2015 Downgraded to
B3 (sf)
Cl. XW, Affirmed B3 (sf); previously on Dec 17, 2015 Downgraded to
B3 (sf)
RATINGS RATIONALE
The ratings on four P&I classes were upgraded primarily due to an
increase in credit support since Moody's last review, resulting
from paydowns and amortization, as well as Moody's expectation of
additional increases in credit support resulting from the payoff of
loans approaching maturity that are well positioned for refinance.
The pool has paid down by 25% since Moody's last review. In
addition, loans constituting 39% of the pool that have debt yields
exceeding 10.0% are scheduled to mature within the next 12 months.
The rating on Class A-J was affirmed because the ratings are
consistent with Moody's expected loss.
The ratings on two IO classes were affirmed based on the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes.
Moody's rating action reflects a base expected loss of 3.9% of the
current balance, compared to 17.6% at Moody's last review. Moody's
base expected loss plus realized losses is now 13.5% of the
original pooled balance, compared to 13.3% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE 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 13, 2016 distribution date, the transaction's
aggregate pooled certificate balance has decreased by 54% to $3.07
billion from $6.6 billion at securitization. The certificates are
collateralized by 249 mortgage loans ranging in size from less than
1% to 8.4% of the pooled balance, with the top ten loans
constituting 24% of the pool. Forty-one loans, constituting 35% of
the pool, have defeased and are secured by US government
securities.
Forty-seven loans, constituting 12% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Seventy-three loans have been liquidated from the pool, resulting
in an aggregate realized loss of $776 million (for an average loss
severity of 59%). Eight loans, constituting 2.2% of the pool, are
currently in special servicing. The specially serviced loans are
secured by a mix of property types. Moody's estimates an aggregate
$35 million loss for the specially serviced loans (51% expected
loss on average).
Moody's has assumed a high default probability for 15 poorly
performing loans, constituting 4.6% of the pool, and has estimated
an aggregate loss of $29 million (a 21% expected loss on average)
from these troubled loans.
Moody's received full year 2015 operating results for 88% of the
pool, and full or partial year 2016 operating results for 22% of
the pool. Moody's weighted average conduit LTV is 94%, compared to
97% 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 9.2%.
Moody's actual and stressed conduit DSCRs are 1.53X and 1.14X,
respectively, compared to 1.47X and 1.09X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 13.5% of the pooled balance.
The largest loan is the One World Financial Center Loan ($257
million -- 8.4% of the pool), which represents the pooled portion
of a $310 million first mortgage loan. The junior portion of the
loan is held within the trust and secures the non-pooled, or rake,
Classes WFC-1, WFC-2, WFC-3 and WFC-X. The loan is secured by a 1.6
million square foot (SF), 40-story office building located in Lower
Manhattan, New York. The property was 100% leased as of March 2016
compared to 96% leased at Moody's prior review. The loan sponsor is
Brookfield Financial Properties, LP. The building is part of the
Brookfield Place complex which includes four Class A office towers,
public and retail space and a winter garden. Moody's LTV and
stressed DSCR are 72% and 1.24X, respectively, compared to 74% and
1.21X at the last review.
The second largest loan is the Santa Palmia Apartments Loan ($78.9
million -- 2.6% of the pool), which is secured by a 409-unit, Class
A garden style apartment complex constructed in 2002 and located in
San Jose, California. The property was 96% leased as of March 2016,
compared to 95% at year-end 2015. Property performance has improved
due to an increase in rental revenue. Amenities at the property
include two resort style swimming pools, three outdoor spas,
recreation center, fitness center and a business center. Moody's
LTV and stressed DSCR are 100% and 0.92X, respectively, compared to
126% and 0.73X at the last review.
The third largest loan is the Grand Plaza Loan ($78.6 million --
2.6% of the pool), which is secured by a 350,000 SF retail shopping
center in San Marcos, California. The center has over 40 retailers,
including Nordstrom Rack, Marshalls, Sports Chalet, Ross and Bed
Bath and Beyond. The property was 96% leased as of year-end 2015,
compared to 95% at yearend 2014. Moody's LTV and stressed DSCR are
109% and 0.87X, respectively, compared to 112% and 0.84X at the
last review.
CD MORTGAGE 2016-CD1: Fitch to Rate Class E Certs 'BB-'
-------------------------------------------------------
Fitch Ratings has issued a presale report on German American
Capital Corp.'s CD Mortgage Securities Trust 2016-CD1 commercial
mortgage pass-through certificates.
Fitch expects to rate the transaction and assign Rating Outlooks
as:
-- $30,826,000 class A-1 'AAAsf'; Outlook Stable;
-- $40,000,000 class A-2 'AAAsf'; Outlook Stable;
-- $46,236,000 class A-SB 'AAAsf'; Outlook Stable;
-- $168,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $207,191,000 class A-4 'AAAsf'; Outlook Stable;
-- $566,092,000b class X-A 'AAAsf'; Outlook Stable;
-- $73,839,000 class A-M 'AAAsf'; Outlook Stable;
-- $31,644,000 class B 'AA-sf'; Outlook Stable;
-- $28,129,000 class C 'A-sf'; Outlook Stable;
-- $59,773,000ab class X-B 'A-sf'; Outlook Stable;
-- $31,645,000ab class X-C 'BBB-sf'; Outlook Stable;
-- $15,823,000ab class X-D ' BB-sf'; Outlook Stable;
-- $6,153,000ab class X-E ' B-sf'; Outlook Stable;
-- $31,645,000a class D 'BBB-sf'; Outlook Stable;
-- $15,823,000a class E 'BB-sf'; Outlook Stable;
-- $6,153,000a class F 'B-sf'; Outlook Stable.
These classes are not expected to be rated:
-- $23,733,985ab class X-F;
-- $23,733,985a class G.
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 Aug. 2, 2016.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 32 loans secured by 58
commercial properties having an aggregate principal balance of
$703,219,986 as of the cut-off date. The loans were contributed to
the trust by German American Capital Corporation and Citigroup
Global Markets Realty Corp.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 79.5% of the properties
by balance and asset summary reviews and cash flow analysis of
90.5% of the pool.
KEY RATING DRIVERS
Low Fitch Leverage: The transaction has significantly lower
leverage than other recent Fitch-rated transactions. The pool's
weighted average (WA) Fitch DSCR of 1.25x is better than both the
YTD 2016 average of 1.16x and the 2015 average of 1.18x. The
pool's WA Fitch LTV of 95.5% is better than both the YTD 2016
average of 107.5% and the 2015 average of 109.3%. Excluding the
credit opinion loans (27.7% of the pool), the Fitch DSCR and LTV
are 1.17x and 108.9%, respectively.
Investment-Grade Credit Opinion Loans: Four of the 10 largest loans
in the pool, representing 27.7%, have investment-grade credit
opinions, this is well above the YTD 2016 average of 5.0% credit
opinion loans. 10 Hudson Yards (9.2% of the pool) is the largest
loan in the pool and has an investment-grade credit opinion of
'BBBsf*' on a stand-alone basis. Westfield San Francisco Centre
(8.5%), the third largest loan in the pool, has an investment-grade
credit opinion of 'Asf*' on a stand-alone basis. Further, Gas
Company Tower (5.7%) and Vertex Pharmaceuticals (4.3%) have
investment grade credit opinions of 'Asf*' and 'BBB-sf*',
respectively. The implied credit enhancement levels for the
conduit portion of the transaction for 'AAAsf' and 'BBB-sf' are
25.875% and 8.750%, respectively.
High Pool Concentration: The pool is more concentrated than other
recent Fitch-rated multiborrower transactions. The top 10 loans
comprise 66.6% of the pool, which is greater the YTD 2016 average
of 54.6% and the 2015 average of 49.3%. The pool's loan
concentration index (LCI) of 543 is above the YTD 2016 average of
420 and the 2015 average of 367.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 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 CD
2016-CD1 certificates and found that the transaction displays
average sensitivity to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'Asf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf'
could result.
CITIGROUP 2008-7: Moody's Lowers Rating on Cl. A-J Debt to Caa2
---------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on six classes
and downgraded the ratings on six classes in Citigroup Commercial
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
Series 2008-C7 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-MA, Affirmed A2 (sf); previously on Aug. 6, 2015, Affirmed
A2 (sf)
Cl. A-J, Downgraded to Caa2 (sf); previously on Aug. 6, 2015,
Affirmed B3 (sf)
Cl. A-JA, Downgraded to Caa2 (sf); previously on Aug. 6, 2015,
Affirmed B3 (sf)
Cl. B, Downgraded to Caa3 (sf); previously on Aug. 6, 2015,
Affirmed Caa1 (sf)
Cl. C, Downgraded to C (sf); previously on Aug. 6, 2015,
Affirmed Caa2 (sf)
Cl. D, Downgraded to C (sf); previously on Aug. 6, 2015,
Affirmed Caa3 (sf)
Cl. E, Affirmed C (sf); previously on Aug. 6, 2015, Affirmed
C (sf)
Cl. F, Affirmed C (sf); previously on Aug. 6, 2015, Affirmed
C (sf)
Cl. X, Downgraded to B2 (sf); previously on Aug. 6, 2015,
Downgraded to B1 (sf)
RATINGS RATIONALE
The ratings on four P&I classes, A-1A, A-4, A-M and A-MA, were
affirmed because the transaction's key metrics, including Moody's
loan-to-value (LTV) ratio, Moody's stressed debt service coverage
ratio (DSCR) and the transaction's Herfindahl Index (Herf), are
within acceptable ranges. The ratings on two P&I classes, E and F,
were affirmed because the ratings are consistent with Moody's
expected loss.
The ratings on five P&I classes, A-J, A-JA, B, C, and D, were
downgraded due to an increase in realized losses as well as an
increase in anticipated losses from specially serviced and troubled
loans.
The rating on the IO class, class X, was downgraded 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 15.0% of the
current balance, compared to 12.6% at Moody's last review. Moody's
base expected loss plus realized losses is now 16.6% of the
original pooled balance, compared to 14.9% 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 methodologies used in these ratings were "Approach to Rating US
and Canadian Conduit/Fusion CMBS" published in December 2014, and
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in October 2015.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based CMBS Conduit Model, which it
uses for both conduit and fusion transactions. Credit enhancement
levels for conduit loans are driven by property type, Moody's
actual and stressed DSCR, and Moody's property quality grade (which
reflects the capitalization rate Moody's uses to estimate Moody's
value). Moody's fuses the conduit results with the results of its
analysis of investment grade structured credit assessed loans and
any conduit loan that represents 10% or greater of the current pool
balance.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 15, compared to 17 at last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model and then reconciles and weights the results from the
conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure 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 July 12, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 42% to $1.08 billion
from $1.85 billion at securitization. The certificates are
collateralized by 68 mortgage loans ranging in size from less than
1% to 22% of the pool, with the top ten loans constituting 49% of
the pool. Four loans, constituting 3.3% of the pool, have defeased
and are secured by US government securities.
Ten loans, constituting 30% 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-two loans have been liquidated from the pool, resulting in
an aggregate realized loss of $145.7 million (for an average loss
severity of 55%). Thirteen loans, constituting 24% of the pool,
are currently in special servicing. The largest specially serviced
loan is the Alexandria Mall Loan ($46.5 million -- 4.3% of the
pool), which is secured by a 559,000 square foot (SF) portion of an
837,176 SF anchored mall located in Alexandria, Louisiana. The
collateral is also encumbered by a $12 million B-Note. The loan
transferred to special servicing in October 2012 due to imminent
monetary default. Major tenants include JC Penney, Sears,
Dillards, Burlington Coat Factory, with only JC Penney as part of
the collateral. As of March 2016, total occupancy was 87%, up
slightly from 82% in March 2015. The loan is paid through the June
2016 payment date and the special servicer indicated that a
possible loan modification is being negotiated.
The remaining twelve specially serviced loans are secured by a mix
of property types. Moody's estimates an aggregate $119.6 million
loss for the specially serviced loans (45% expected loss on
average).
Moody's has assumed a high default probability for five poorly
performing loans, constituting 3.9% of the pool, and has estimated
an aggregate loss of $16.3 million (a 39% expected loss on average)
from these troubled loans.
Moody's received full or partial year 2015 operating results for
75% of the pool and full or partial year 2014 operating results for
100% of the pool. Moody's weighted average conduit LTV is 101%,
compared to 98% 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 9.4%.
Moody's actual and stressed conduit DSCRs are 1.30X and 1.07X,
respectively, compared to 1.39X 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 top three conduit loans represent 28% of the pool balance. The
largest loan is the One Liberty Plaza Loan ($234.4 million -- 21.7%
of the pool), which represents a pari-passu interest in a $796.8
million mortgage loan. The collateral consists of a 2.19 million
SF class A office building located in Manhattan's financial
district. As of December 2015, the property was 80% leased, down
from 99% in December 2013. There has been recent tenant turnover
at the property, including Bank of Nova Scotia, which occupied over
220,000 SF. Current major tenants include: Cleary, Gottlieb, Steen
and Hamilton (537,000 SF -- lease expiration December 2030), FINRA
(254,000 SF -- lease expiration February 2021), and Zurich American
Insurance Co. (252,000 SF -- lease expiration May 2017). Moody's
LTV and stressed DSCR are 112% and 0.84X, respectively, compared to
110% and 0.86X at the last review.
The second largest loan is the Huntsville Office Portfolio III Loan
($32.6 million -- 3.0% of the pool), which is secured by three
suburban office properties located in Huntsville, Alabama. As of
March 2016, the properties had a combined occupancy of 93% compared
to 90% in December 2015. Property performance has declined due to
a decrease in total revenue. Moody's LTV and stressed DSCR are 92%
and 1.17X, respectively, compared to 89% and 1.22X at the last
review.
The third largest loan is the Red Beam Garage Loan ($31.3 million
-- 2.9% of the pool), which is secured by a parking garage
located adjacent to the Rhode Island Airport in Warwick, Rhode
Island. Performance has remained stable over the past three years.
Moody's LTV and stressed DSCR are 82% and 1.25X, respectively,
compared to 83% and 1.23X at the last review.
CITIGROUP COMMERCIAL 2016-C2: Fitch to Rate Class EF Debt 'B-sf'
----------------------------------------------------------------
Fitch Ratings has issued a presale report on Citigroup Commercial
Mortgage Trust 2016-C2 commercial mortgage pass-through
certificates.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $20,227,000 class A-1 'AAAsf'; Outlook Stable;
-- $15,097,000 class A-2 'AAAsf'; Outlook Stable;
-- $170,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $189,298,000 class A-4 'AAAsf'; Outlook Stable;
-- $31,793,000 class A-AB 'AAAsf'; Outlook Stable;
-- $456,873,000b class X-A 'AAAsf'; Outlook Stable;
-- $68,531,000b class X-B 'A-sf'; Outlook Stable;
-- $30,458,000 class A-S 'AAAsf'; Outlook Stable;
-- $35,027,000 class B 'AA-sf'; Outlook Stable;
-- $33,504,000 class C 'A-sf'; Outlook Stable;
-- $32,743,000 class D 'BBB-sf'; Outlook Stable;
-- $32,743,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $9,137,500ac class E-1 'BB+sf'; Outlook Stable;
-- $9,137,500ac class E-2 'BB-sf'; Outlook Stable;
-- $18,275,000ac class E 'BB-sf'; Outlook Stable;
-- $5,330,000ac class F 'B-sf'; Outlook Stable;
-- $23,605,000ac class EF 'B-sf'; Outlook Stable.
a) Privately placed pursuant to Rule 144A.
b) Notional amount and interest-only.
c) The class E-1 and E-2 certificates may be exchanged for a
related amount of class E certificates, and class E certificates
may be exchanged for a ratable portion of class E-1 and E-2
certificates. Additionally, class E-1, E-2, F-1 and F-2
certificates may be exchanged for a related amount of class EF
certificates, and class EF certificates may be exchanged for a
ratable portion of each class of class E-1, E-2, F-1 and F-2
certificates. A holder of class E-1, E-2, F-1, F-2, G-1 and G-2
certificates may exchange such classes of certificates (on an
aggregate basis) for a related amount of class EFG certificates,
and a holder of class EFG certificates may exchange that class EFG
for a ratable portion of each class of the class E-1, E-2, F-1,
F-2, G-1 and G-2 certificates.
The expected ratings are based on information provided by the
issuer as of Aug. 4, 2016. Fitch does not expect to rate the
$2,665,000 class F-1, $2,665,000 class F-2, $5,330,000 class G-1,
$5,330,000 class G-2, $10,660,000 exchangeable class G, $34,265,000
exchangeable class EFG, $8,376,511 class H-1, $8,376,811 class H-2,
or the $16,753,022 exchangeable class H certificates.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 44 loans secured by 53
commercial properties having an aggregate principal balance of
$609,165,022 as of the cut-off date. The loans were contributed to
the trust by Citigroup Global Markets Realty Corp., Rialto Mortgage
Finance, LLC, MC-Five Mile Commercial Mortgage Finance LLC, Walker
& Dunlop Commercial Property Funding I CB, LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 81.9% of the properties
by balance and asset summary reviews and cash flow analysis of
86.5% of the pool.
KEY RATING DRIVERS
High Fitch Leverage: The pool's Fitch DSCR and LTV are 1.15x and
108.5%, respectively. This is slightly worse than the year-to-date
(YTD) 2016 average Fitch DSCR of 1.16x and the YTD 2016 average
Fitch LTV of 107.5%. Excluding the credit opinion loan (9.8% of the
pool), the Fitch DSCR and LTV are 1.10x and 111.3%, respectively.
Investment Grade Credit Opinion Loan Represents 9.8% of the Pool:
One loan, Vertex Pharmaceuticals HQ (9.8% of the pool) has an
investment-grade credit opinion of 'BBB-sf*' on a stand-alone
basis.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 17.4% 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-C2 certificates and found that the transaction displays
average sensitivity to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'A-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBBsf'
could result.
COMM 2012-CCRE3: Moody's Affirms Ba3(sf) Rating on Cl. X-B Debt
---------------------------------------------------------------
Moody's Investors Service has affirmed fourteen classes in COMM
2012-CCRE3 Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2012-CCRE3 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Sep 18, 2015 Affirmed Aaa
(sf)
Cl. A-2, Affirmed Aaa (sf); previously on Sep 18, 2015 Affirmed Aaa
(sf)
Cl. A-3, Affirmed Aaa (sf); previously on Sep 18, 2015 Affirmed Aaa
(sf)
Cl. A-M, Affirmed Aaa (sf); previously on Sep 18, 2015 Affirmed Aaa
(sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Sep 18, 2015 Affirmed
Aaa (sf)
Cl. B, Affirmed Aa3 (sf); previously on Sep 18, 2015 Affirmed Aa3
(sf)
Cl. PEZ, Affirmed Aa3 (sf); previously on Sep 18, 2015 Affirmed Aa3
(sf)
Cl. C, Affirmed A3 (sf); previously on Sep 18, 2015 Affirmed A3
(sf)
Cl. D, Affirmed Baa1 (sf); previously on Sep 18, 2015 Affirmed Baa1
(sf)
Cl. E, Affirmed Baa3 (sf); previously on Sep 18, 2015 Affirmed Baa3
(sf)
Cl. F, Affirmed Ba2 (sf); previously on Sep 18, 2015 Affirmed Ba2
(sf)
Cl. G, Affirmed B2 (sf); previously on Sep 18, 2015 Affirmed B2
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on Sep 18, 2015 Affirmed Aaa
(sf)
Cl. X-B, Affirmed Ba3 (sf); previously on Sep 18, 2015 Affirmed Ba3
(sf)
RATINGS RATIONALE
The ratings on the nine investment grade P&I classes, Class A-1
through E, were affirmed because the transaction's key metrics,
including Moody's loan-to-value (LTV) ratio, Moody's stressed debt
service coverage ratio (DSCR) and the transaction's Herfindahl
Index (Herf), are within acceptable ranges.
The ratings on the two below investment grade P&I classes, Class F
and G, were affirmed because the ratings are consistent with
Moody's expected loss.
The ratings on the two IO classes, Class X-A and X-B, were affirmed
based on the credit performance (or the weighted average rating
factor or WARF) of the referenced classes.
The rating on the PEZ class was affirmed based on the weighted
average rating factor (or WARF) of its exchangeable classes.
Moody's rating action reflects a base expected loss of 1.4% of the
current balance compared to 1.8% at Moody's prior review. Moody's
base expected loss plus realized losses is now 1.3% of the original
pooled balance compared to 1.7% 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 July 15, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 5% to $1.18 billion
from $1.25 billion at securitization. The Certificates are
collateralized by 48 mortgage loans ranging in size from less than
1% to 11% of the pool, with the top ten loans (excluding
defeasance) representing 65% of the pool. Five loans, representing
5% of the pool have defeased and are secured by US Government
securities.
Moody's said, “Five loans, representing 17% of the pool, are on
the master servicer's watchlist. The watchlist includes loans which
meet certain portfolio review guidelines established as part of the
CRE Finance Council (CREFC) monthly reporting package. As part of
our ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.”
No loans have been liquidated from the pool. One loan, representing
1.4% of the pool, is in special servicing. The specially serviced
loan is the Landmark Building Loan ($17.0 million -- 1.4% of the
pool), which is secured by a 331,000 square foot (SF), 24-story
Class B office building located in downtown Greenville, South
Carolina. The loan transferred to special servicing in May 2014 due
to guarantor bankruptcy. Since then, the loan has been modified via
new equity contribution and Borrower access to reserve funds for
necessary repairs and tenant improvement/leasing commission costs
of new/renewal leases. The Borrower commenced required exterior
repairs in March 2016.
Moody's received full or partial year 2015 operating results for
100% of the pool and full or partial year 2016 operating results
for 60% of the pool. Moody's weighted average conduit LTV is 85%
compared to 87% at Moody's last review. Moody's conduit component
excludes loans with structured credit assessments, defeased and CTL
loans and specially serviced and troubled loans. Moody's net cash
flow (NCF) reflects a weighted average haircut of 13% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.4%.
Moody's actual and stressed conduit DSCRs are 1.88X and 1.25X,
respectively, compared to 1.77X and 1.19X 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 28% of the pool
balance. The largest loan is the 260 and 261 Madison Avenue Loan
($126 million -- 10.6% of the pool), which is secured by two
Class-B office towers located in midtown Manhattan on Madison
Avenue between 36th and 37th Street. The properties total 840,000
SF of office space, 37,000 SF of retail space, and a 46,000 SF
parking garage. This loan represents a pari passu interest in a
$231 million loan. As of December 2015, the properties had a
combined occupancy of approximately 91%, up slightly from 90% in
December 2014 and securitization. However, a tenant recently
vacated its space that would decrease occupancy to roughly 88%.
Moody's LTV and stressed DSCR are 97% and 0.98X, respectively,
compared to 98% and 0.97X at the last review.
The second largest loan is the Solano Mall Loan ($105.0 million --
8.9% of the pool), which is secured by a 561,015 SF (1.1 million SF
total) super regional mall located in Fairfield, California. The
loan is interest only for the entire 10-year term. The mall is
anchored by Macy's, Sears, and J.C. Penney, which are not part of
the collateral. The largest tenant in the collateral is Edwards
Cinemas (11.2% of NRA, lease expiration December 2024) which serves
as a significant draw to the center. The property was 92% leased as
of March 2016 compared to 94% at last review. Moody's LTV and
stressed DSCR are 85% and 1.18X, respectively, compared to 85% and
1.18X at the last review.
The third largest loan is the Crossgates Mall Loan ($101.7 million
-- 8.6% of the pool), which is secured by a 1.3 million SF (1.7
million SF total) super regional mall located in Albany, New York.
This loan represents a pari passu interest in a $290.6 million
loan. The mall is anchored by Macy's, J.C. Penny, Dick's Sporting
Goods, Best Buy and a Regal Crossgates 18 IMEX theater. The
property was 89% leased as of March 2016, the same as at last
review. Moody's LTV and stressed DSCR are 87% and 1.03X,
respectively, compared to 90% and 0.99X at the last review.
COMM 2012-CCRE4: Moody's Affirms B2 Rating on Class F Certs
-----------------------------------------------------------
Moody's Investors Service has affirmed the ratings of 12 classes in
COMM 2012-CCRE4 Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2012-CCRE4 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Aug 7, 2015 Affirmed Aaa
(sf)
Cl. A-2, Affirmed Aaa (sf); previously on Aug 7, 2015 Affirmed Aaa
(sf)
Cl. A-3, Affirmed Aaa (sf); previously on Aug 7, 2015 Affirmed Aaa
(sf)
Cl. A-M, Affirmed Aaa (sf); previously on Aug 7, 2015 Affirmed Aaa
(sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Aug 7, 2015 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa3 (sf); previously on Aug 7, 2015 Affirmed Aa3
(sf)
Cl. C, Affirmed A3 (sf); previously on Aug 7, 2015 Affirmed A3
(sf)
Cl. D, Affirmed Baa3 (sf); previously on Aug 7, 2015 Affirmed Baa3
(sf)
Cl. E, Affirmed Ba2 (sf); previously on Aug 7, 2015 Affirmed Ba2
(sf)
Cl. F, Affirmed B2 (sf); previously on Aug 7, 2015 Affirmed B2
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on Aug 7, 2015 Affirmed Aaa
(sf)
Cl. X-B, Affirmed A2 (sf); previously on Aug 7, 2015 Affirmed A2
(sf)
RATINGS RATIONALE
The ratings on the P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on the IO classes were affirmed based on the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes.
Moody's rating action reflects a base expected loss of 3.3% of the
current balance, compared to 3.0% at Moody's last review. Moody's
base expected loss plus realized losses is now 3.2% of the original
pooled balance, compared to 2.9% 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 18, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 4% to $1.06 billion
from $1.11 billion at securitization. The certificates are
collateralized by forty-five mortgage loans ranging in size from
less than 1% to 12% of the pool, with the top ten loans
constituting 58% of the pool. Four loans, constituting 6% of the
pool, have defeased and are 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.
Three loans have been liquidated from the pool, resulting in an
aggregate realized loss of $86,566 (for an average loss severity of
1.4%). One loan, making up 1.1% of the pool is in special
servicing. The loan in special servicing is the Towne Place Suites
Odessa Loan ($11.5 million -- 1.1% of the pool). The loan is
secured by a 108 unit lodging facility located in Odessa, Texas.
The property was built in 2009. Property performance has declined
due to a decrease in both occupancy and revenue per avaliable room
(RevPAR). The loan transferred to special servicing in April 2016
due to payment default. The special servicer is currently in
discussion with the sponsor regarding a resolution strategy.
Moody's received full year 2015 operating results for 93% of the
pool, and partial year 2016 operating results for 77%. Moody's
weighted average conduit LTV is 89%, the same as at Moody's last
review. Moody's conduit component excludes loans with credit
assessments, defeased and CTL loans, and specially serviced and
troubled loans. Moody's net cash flow (NCF) reflects a weighted
average haircut of 11% to the most recently available net operating
income (NOI). Moody's value reflects a weighted average
capitalization rate of 9.8%.
Moody's actual and stressed conduit DSCRs are 1.94X and 1.26X,
respectively, compared to 1.93X and 1.25X 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 30% of the pool balance. The
largest loan is the Prince Building Loan ($125.0 million -- 11.8%
of the pool). The loan represents a pari-passu interest in a $200
million loan and is interest-only throughout the entire term. The
loan is secured by a mixed use (retail / office) building located
in Manhattan's SoHo District. The property's leasable area includes
276,400 square feet (SF) of office space, 69,300 SF of retail and
8,800 SF of storage space. As of March 2016, the retail component
was 100% leased to three tenants with Equinox (11% of the total
NRA, lease expiration November 2020) as the largest retail tenant.
The total property was 98.5% leased as of March 2016 compared to
98% at the last review. Moody's LTV and stressed DSCR are 85% and
1.10X, respectively, compared to 86% and 1.09X, at the last
review.
The second largest loan is the Eastview Mall and Commons Loan
($120.0 million -- 11.3% of the pool). The loan represents a
pari-passu interest in a $210.0 million loan and is interest-only
throughout the entire term. The loan is secured by the borrower's
interest in a 725,300 SF portion of a 1.4 million SF super regional
mall and a 86,400 SF portion of a 341,900 SF adjacent power center,
both located in Victor, New York. The mall is the dominant mall in
its trade area and includes Macy's, Von Maur, JC Penney, Lord &
Taylor and Sears as anchor stores. The mall was 95% leased as of
March 2016, compared to 90% at last review. Moody's LTV and
stressed DSCR are 94% and 0.98X, respectively, compared to 86% and
1.04X at the last review.
The third largest loan is the Fashion Outlets of Las Vegas Loan
($68.6 million -- 6.5% of the pool), which is secured by a 375,700
SF outlet center located along Interstate 15 in Primm, Nevada. The
property is also encumbered with $32.0 million of mezzanine
financing. The property was built in 1998 and subsequently
renovated in 2004. Major tenants include Vanity Fair, Old Navy and
Williams Sonoma. As of March 2016, the property was 77% leased,
compared to 91% at last review. Moody's LTV and stressed DSCR are
100% and 1.03X, respectively, compared to 94% and 1.09X at the last
review.
CREDIT SUISSE 2007-C1: Moody's Affirms C Ratring on Class B Certs
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two classes
and affirmed the ratings on six classes in Credit Suisse Commercial
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
Series 2007-C1 as follows:
Cl. A-1-A, Upgraded to Aa2 (sf); previously on Aug 19, 2015
Upgraded to A2 (sf)
Cl. A-3, Upgraded to Aa2 (sf); previously on Aug 19, 2015 Upgraded
to A2 (sf)
Cl. A-M, Affirmed B3 (sf); previously on Aug 19, 2015 Affirmed B3
(sf)
Cl. A-MFX, Affirmed B3 (sf); previously on Aug 19, 2015 Affirmed B3
(sf)
Cl. A-MFL, Affirmed B3 (sf); previously on Aug 19, 2015 Affirmed B3
(sf)
Cl. A-J, Affirmed Caa3 (sf); previously on Aug 19, 2015 Downgraded
to Caa3 (sf)
Cl. B, Affirmed C (sf); previously on Aug 19, 2015 Downgraded to C
(sf)
Cl. A-X, Affirmed B3 (sf); previously on Aug 19, 2015 Downgraded to
B3 (sf)
RATINGS RATIONALE
The ratings on the Classes A-1-A and A-3 were upgraded primarily
due to an increase in credit support since Moody's last review,
resulting from paydowns and amortization as well as an increase in
defeasance. The pool has paid down by 13% since Moody's last review
and defeasance has increased to 11% of the pool balance from 3% at
the last review.
The ratings on the Classes A-M, A-MFL and A-MFX were affirmed
because the transaction's key metrics, including Moody's
loan-to-value (LTV) ratio, Moody's stressed debt service coverage
ratio (DSCR) and the transaction's Herfindahl Index (Herf), are
within acceptable ranges.
The ratings on the Classes A-J and B 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 9.3% of the
current balance, compared to 11.4% at Moody's last review. Moody's
base expected loss plus realized losses is now 16.2% of the
original pooled balance, compared to 18.2% 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 July 15, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 45% to $1.85 billion
from $3.37 billion at securitization. The certificates are
collateralized by 156 mortgage loans ranging in size from less than
1% to 6.3% of the pool, with the top ten loans constituting 38.6%
of the pool. Fifteen loans, constituting 11% of the pool, have
defeased and are secured by US government securities.
Fifty loans, constituting 22% 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.
Sixty-eight loans have been liquidated from the pool, resulting in
an aggregate realized loss of $372 million (for an average loss
severity of 46%). Twelve loans, constituting 18% of the pool, are
currently in special servicing. The largest specially serviced loan
is the City Place --A note ($100 million -- 5.4% of the pool),
which is secured by a 756,000 square feet (SF) portion of a 1.3
million SF mixed-use complex located in West Palm Beach, Florida.
City Place is a three level, open-air entertainment-enhanced retail
center, with 54 flats and 56 lofts style office spaces above the
ground-level retail. The loan was modified in April 2011, which
extended the lease term and created a $50 million hope note. The
loan has subsequently transferred back to special servicing in
February 2016.
The remaining eleven specially serviced loans are secured by a mix
of property types. Moody's estimates an aggregate $103.7 million
loss for the specially serviced loans.
Moody's has assumed a high default probability for sixteen poorly
performing loans, constituting 13% of the pool, and has estimated
an aggregate loss of $36 million (a 15% expected loss based on a
50% probability default) from these troubled loans.
Moody's received full year 2015 operating results for 97% 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 9% 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 1.45X and 1.10X,
respectively, compared to 1.37X 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 16% of the pool balance. The
largest loan is the Koger Center Loan ($115.5 million -- 6.3% of
the pool). The loan is secured by an office complex located in
Tallahassee, Florida, consisting of 18 buildings with a total of
853,093 SF. The largest tenant is The State of Florida Department
of Management Services (68% of the net rentable area) which has a
scheduled lease expiration in October 2019. The properties were 92%
leased as of March 2016, compared to 90% at last review.
Performance continues to improve due to increased revenues. Moody's
current LTV and stressed DSCR are 101% and 0.96X, respectively,
compared to 114% and 0.85X at last review.
The second largest loan is the Trident Center Loan ($101.9 million
-- 5.5% of the pool), which is secured by two, 10-story office
towers connected by a five-level parking structure. The property is
located along the Olympic Corridor submarket in West Los Angeles,
three blocks west of Interstate 405 and approximately a half mile
north of the 405 / 10 Freeway interchange. The property was 100%
occupied as of December 2015, the same as of December 2014. Over
half of the space is leased to the Los Angeles based law firm
Manatt, Phelps & Phillips through April 2021. Moody's LTV and
stressed DSCR are 114% and 0.86X, respectively, compared to 117%
and 0.83X at the last review.
The third largest loan is the El Ad Florida Multifamily Portfolio
Loan ($79.2 million -- 4.3% of the pool), which is secured by a
portfolio of two multifamily properties located in Boca Raton &
Weston, Florida, totaling 432 units built in 2000 & 2002. As of
March 2016, the properties were 97% occupied, compared to 93% in
December 2014. Moody's LTV and stressed DSCR are 117% and 0.78X,
respectively, compared to 124% and 0.74X at the last review.
CREDIT SUISSE 2015-C3: Fitch Affirms BB- Rating on Class E Certs
----------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of Credit Suisse USA (CSAIL)
Commercial Mortgage Trust Pass-Through Certificates series
2015-C3.
KEY RATING DRIVERS
The affirmations of CSAIL 2015-C3 are based on the stable
performance of the underlying collateral and no material changes to
the pools metrics since issuance. As of the July 2016 distribution
date, the pool's aggregate principal balance has been reduced by
0.51% to $1.413 billion from $1.420 billion at issuance. The pool
has experienced no realized losses to date, and there are currently
no delinquent or specially serviced loans; and no loans are
defeased. A minor interest shortfall of $443 is currently
affecting class NR. The Fitch debt service coverage ratio (DSCR)
and loan to value (LTV) for the pool at issuance were 1.22x and
107.4%, respectively.
Investment-Grade Credit Opinion Loan: The largest loan in the pool,
Charles River Plaza North (9%), received a credit opinion of
'BBB-sf' on a stand-alone basis at issuance. The loan is secured
by a 354,594 square foot medical office building 100% leased to
Massachusetts General Hospital. The lease is guaranteed by
Massachusetts General Hospital's parent, Partners Healthcare, which
is currently rated 'AA' by Fitch.
High Hotel Exposure: Approximately 23.7% of the pool balance,
including three of the top 10 loans (14.5%), consists of hotel
properties. The largest hotel backed loan is the Starwood Capital
Extended Stay Portfolio (7.4%), the second largest loan in the
pool, secured by 50 Extended Stay Hotel properties located across
12 states with a total of 6,106 rooms. The largest single state
exposure for the portfolio is Texas with 10 hotels and 1,380 rooms.
At issuance the Fitch DSCR and LTV for the loan was 103.4% and
1.48x, respectively.
Limited Amortization: Five of the largest 10 loans, representing
22.3% of the pool, are full-term interest-only loans. In total
there are 11 full-term interest-only loans representing 25.2% of
the pool. Additionally, there are 42 loans representing 42.6% of
the pool that are partial-interest-only.
Pari Passu Debt and Additional Debt: Ten loans, representing 44% of
the pool are pari passu: Charles River Plaza North, Starwood
Capital Extended Stay Portfolio, The Mall of New Hampshire,
Westfield Wheaton, Arizona Grand Resort & Spa, Soho-Tribeca Grand
Hotel Portfolio, Westfield Trumbull, WPC Department Store
Portfolio, Sterling & Milagro Apartments, and Cape May Hotels. Four
loans in the pool (21.2%), Charles River Plaza North, Starwood
Capital Extended Stay Portfolio, Arizona Grand Resort & Spa, and
Sterling & Milagro Apartments have mezzanine debt held outside the
trust.
Collateral Quality: Four properties (13.6%), three of which serve
as collateral for top 10 loans (Charles River Plaza North, Soho
Grand Hotel, and Tribeca Grand Hotel), were all assigned property
quality grades of 'A-' by Fitch at issuance. The fourth property
to receive a property quality grade of 'A-' was Congress Hall. The
majority of the pool (50.7%) was assigned a property quality grade
in the 'B' range.
RATING SENSITIVITIES
The Rating Outlooks remain Stable for all classes due to stable
performance of the pool since issuance. 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:
-- $53,246,242 class A-1 at 'AAAsf'; Outlook Stable;
-- $148,324,000 class A-2 at 'AAAsf'; Outlook Stable;
-- $200,000,000 class A-3 at 'AAAsf'; Outlook Stable;
-- $502,390,000 class A-4 at 'AAAsf'; Outlook Stable;
-- $82,627,000 class A-SB at 'AAAsf'; Outlook Stable;
-- $86,962,000 class A-S at 'AAAsf'; Outlook Stable;
-- $1,080,812,000(b) class X-A at 'AAAsf'; Outlook Stable;
-- $86,961,000 class B at 'AA-sf'; Outlook Stable;
-- $86,961,000(b) class X-B at 'AA-sf'; Outlook Stable;
-- $63,891,000 class C at 'A-sf'; Outlook Stable;
-- $72,764,000 class D at 'BBB-sf'; Outlook Stable;
-- $72,764,000(a)(b) class X-D at 'BBB-sf'; Outlook Stable;
-- $35,495,000(a) class E at 'BB-sf'; Outlook Stable;
-- $35,495,000(a)(b) class X-E at 'BB-sf'; Outlook Stable;
-- $14,197,000(a) class F at 'B-sf'; Outlook Stable;
-- $14,197,000(a)(b) class X-F at 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
Fitch does not rate the $65,666,014 class NR and class X-NR
certificates.
CSFB MORTGAGE 2003-C4: Moody's Affirms B3 Rating on Class L Certs
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three classes
and upgraded the rating on one class in CSFB Mortgage Securities
Corp., Commercial Mortgage Pass-Through Certificates, Series
2003-C4 as follows:
Cl. J, Affirmed Aaa (sf); previously on Sep 3, 2015 Affirmed Aaa
(sf)
Cl. K, Upgraded to Aaa (sf); previously on Sep 3, 2015 Upgraded to
Aa2 (sf)
Cl. L, Affirmed B3 (sf); previously on Sep 3, 2015 Upgraded to B3
(sf)
Cl. A-X, Affirmed Caa3 (sf); previously on Sep 3, 2015 Affirmed
Caa3 (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 rating on the P&I class was upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 7% since Moody's last review.
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 10.1% of the
current balance, compared to 8.4% at Moody's last review. Moody's
base expected loss plus realized losses is now 2.9% of the original
pooled balance, the same as 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 15, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $21 million
from $1.34 billion at securitization. The certificates are
collateralized by eight mortgage loans ranging in size from 1% to
38% of the pool. Four loans, constituting 60% of the pool, have
defeased and are secured by US government securities.
No loans 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-one loans have been liquidated from the pool with a loss,
resulting in an aggregate realized loss of $36.8 million (for an
average loss severity of 25%). One loan, constituting 19% of the
pool, is currently in special servicing. The specially serviced
loan is Park Square Center Loan ($4.0 million -- 19% of the pool),
which is secured by a 55,000 square foot (SF) neighborhood shopping
center located approximately eight miles south of Columbus in Grove
City, OH. The loan transferred into special servicing in July 2013
due to maturity default and became REO in January 2014. As of
December 2015, the property was 88% occupied, compared to 85% as of
July 2015.
Moody's received full year 2015 operating results for 100% of the
pool. Moody's weighted average conduit LTV is 31%, compared to 34%
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 25% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.9%.
Moody's actual and stressed conduit DSCRs are 1.63X and 4.06X,
respectively, compared to 1.60X and 3.40X 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 remaining three conduit loans comprise 20.6% of the pool
balance. The largest loan is the Pemstar, Inc. Headquarters Loan
($3.8 million -- 17.9% of the pool), which is secured by a 260,000
SF office/industrial property approximately one hour south of
Minneapolis in Rochester, Minnesota. In 2007, Benchmark Electronics
acquired Pemstar, Inc. and the property is now 100% occupied by
Benchmark. The loan is fully amortizing and performance has been
stable. Moody's LTV and stressed DSCR are 34% and 3.23X,
respectively, compared to 37% and 2.93X at the last review.
CSMC TRUST 2016-BDWN: S&P Gives Prelim B Rating on Cl. F Debt
-------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to CSMC Trust
2016-BDWN's $180.8 million commercial mortgage pass-through
certificates series 2016-BDWN.
The note issuance is a commercial mortgage-backed securities
transactions backed by a $180.8 million trust mortgage loan,
secured by a first lien on the borrower's leasehold interest in a
portfolio of 58 suburban office and industrial/flex properties
totaling 3.9 million sq. ft. The properties are
cross-collateralized and cross-defaulted and are located in
Virginia, Pennsylvania, New Jersey, and North Carolina.
Additionally, as part of the loan collateral, the lender has
received a pledge of 100% of the equity interests in the borrower.
The preliminary ratings are based on information as of Aug. 5,
2016. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of the collateral's
historic and projected performance, the sponsor's and managers'
experience, the trustee-provided liquidity, the loan's terms, and
the transaction's structure.
PRELIMINARY RATINGS ASSIGNED
CSMC Trust 2016-BDWN
Class Rating(i) Amount ($)
A AAA (sf) 89,280,000
B AA- (sf) 19,840,000
C A- (sf) 14,880,000
D BBB- (sf) 18,253,000
E BB- (sf) 24,800,000
F B (sf) 13,747,000
X-CP AA- (sf) 19,840,000(ii)
X-EXT AA- (sf) 19,840,000(ii)
(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-EXT certificates will be equal to the class B certificates'
balance.
CWALT INC 2005-11CB: Moody's Confirms Caa2 Rating on Cl. PO Debt
----------------------------------------------------------------
Moody's Investors Service has confirmed the ratings of 13 tranches
and downgraded the rating of one tranche from two transactions,
backed by Alt-A RMBS loans, issued by multiple issuers.
Complete rating actions are as follows:
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-11CB
Cl. 1-A-1, Confirmed at Caa2 (sf); previously on Jul 22, 2016 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. 1-A-2, Confirmed at Caa2 (sf); previously on Jul 22, 2016 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. 2-A-1, Confirmed at Caa2 (sf); previously on Jul 22, 2016 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. 2-A-2, Confirmed at Caa2 (sf); previously on Jul 22, 2016 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. 2-A-3, Confirmed at Caa1 (sf); previously on Jul 22, 2016 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. 2-A-4, Confirmed at Caa1 (sf); previously on Jul 22, 2016 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. 2-A-5, Confirmed at Caa2 (sf); previously on Jul 22, 2016 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. 2-A-6, Confirmed at Caa2 (sf); previously on Jul 22, 2016 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. 2-A-7, Confirmed at Caa2 (sf); previously on Jul 22, 2016 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. 3-A-1, Confirmed at Caa2 (sf); previously on Jul 22, 2016 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. 3-A-2, Confirmed at Caa2 (sf); previously on Jul 22, 2016 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. 3-A-3, Confirmed at Caa2 (sf); previously on Jul 22, 2016 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. PO, Confirmed at Caa2 (sf); previously on Jul 22, 2016 Caa2
(sf) Placed Under Review for Possible Upgrade
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-1
Cl. 4-A1, Downgraded to Baa3 (sf); previously on Mar 10, 2011
Downgraded to Baa1 (sf)
RATINGS RATIONALE
The actions on CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2005-11CB conclude the review actions on these bonds
announced on July 22nd, 2016 relating to the distribution of
settlement funds from the $8.5 billion CWRMBS settlement. The
rating actions are primarily driven by the recent performance of
the underlying pools and Moody's updated loss expectation on the
pools. These actions also reflect the correction of the cashflow
model used in rating this transaction. In prior modelling, the
calculation of principal available to the group 3 bonds incorrectly
included accrual interest amounts, thereby overestimating the
principal distributable to Cl. 3-A-1, Cl. 3-A-2, Cl. 3-A-3 and Cl.
PO. However, the accrual interest amounts constitute only a minimal
portion of the principal cashflow supporting these classes, and the
group 3 PO component represents only 1.5% of the balance of Cl. PO.
As a result, the error correction resulted in no impact on Cl.
3-A-1, Cl. 3-A-2 and Cl. 3-A-3, and a small impact on the group 3
PO component of Cl. PO which was offset by collateral performance.
The rating downgrade of Cl. 4-A-1 from SARM 2004-1 is due to the
weaker performance of the underlying collateral.
DISTRIBUTION FINANCIAL 2001-1: S&P Cuts Rating on Cl. D Notes to D
------------------------------------------------------------------
S&P Global Ratings lowered its rating on the class D notes from
Distribution Financial Services RV/Marine Trust 2001-1, an
asset-backed securities transaction backed by loan and installment
sales contracts on RVs and marine assets, to 'D (sf)' from 'CC
(sf)'.
The downgrade on the only remaining class D notes reflects a
payment default resulting from the class' interest shortfall on the
July 2016 payment date. S&P believes that an interest shortfall
will likely persist due to the adverse performance trends we have
observed in the underlying collateral pool.
FANNIE MAE 2016-C05: Fitch Assigns BB+ Rating on 3 Tranches
-----------------------------------------------------------
Fitch Ratings has assigned these ratings and Rating Outlooks to
Fannie Mae's risk transfer transaction, Connecticut Avenue
Securities, series 2016-C05:
-- $385,709,000 class 2M-1 notes 'BBB-sf'; Outlook Stable;
-- $257,139,000 class 2M-2A exchangeable notes 'BB+sf'; Outlook
Stable;
-- $459,178,000 class 2M-2B exchangeable notes 'B'; Outlook
Stable;
-- $716,317,000 class 2M-2 notes 'Bsf'; Outlook Stable;
-- $257,139,000 class 2M-2F exchangeable notes 'BB+sf'; Outlook
Stable;
-- $257,139,000 class 2M-2I exchangeable notional notes
'BB+sf'; Outlook Stable.
These classes are not rated by Fitch:
-- $37,120,941,838 class 2A-H reference tranche;
-- $20,301,302 class 2M-1H reference tranche;
-- $13,534,534 class 2M-AH reference tranche;
-- $24,167,597 class 2M-BH reference tranche;
-- $80,000,000 class 2B notes;
-- $306,676,477 class 2B-H reference tranche.
The 'BBB-sf' rating for the 2M-1 note reflects the 2.95%
subordination provided by the 1.95% class 2M-2 note and the 1.00%
2B note, and their corresponding reference tranches. The notes are
general senior unsecured obligations of Fannie Mae (rated
'AAA'/Outlook Stable) subject to the credit and principal payment
risk of a pool of certain residential mortgage loans held in
various Fannie Mae-guaranteed MBS.
The reference pool of mortgages will consist of mortgage loans with
loan-to-values (LTVs) greater than 80% and less than or equal to
97%.
Connecticut Avenue Securities, series 2016-C05 (CAS 2016-C05) is
Fannie Mae's 14th risk transfer transaction 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
Fannie Mae to private investors with respect to a $38.67 billion
pool of mortgage loans currently held in previously issued MBS
guaranteed by Fannie Mae where principal repayment of the notes is
subject to the performance of a reference pool of mortgage loans.
As loans liquidate, are modified or other credit events occur, the
outstanding principal balance of the debt notes will be reduced by
the loan's actual loss severity percentage related to those credit
events.
While the transaction structure simulates the behavior and credit
risk of traditional RMBS mezzanine and subordinate securities,
Fannie Mae will be responsible for making monthly payments of
interest and principal to investors. Because of the counterparty
dependence on Fannie Mae, Fitch's expected rating on the 2M-1 and
2M-2 notes will be based on the lower of: the quality of the
mortgage loan reference pool and credit enhancement (CE) available
through subordination; and Fannie Mae's Issuer Default Rating. The
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 high-quality mortgage loans that were acquired by
Fannie Mae from July through December 2015. In this transaction,
Fannie Mae has only included one group of loans with LTVs from
80%-97%. Overall, the reference pool's collateral characteristics
are similar to recent CAS transactions and reflect the strong
credit profile of post-crisis mortgage originations.
Actual Loss Severities (Neutral): This will be Fannie Mae's sixth
actual loss risk transfer transaction in which losses borne by the
noteholders will not be based on a fixed loss severity (LS)
schedule. The notes in this transaction will experience losses
realized at the time of liquidation or modification, which will
include both lost principal and delinquent or reduced interest.
Mortgage Insurance Guaranteed by Fannie Mae (Positive): The
majority of the loans in the pool are covered either by
borrower-paid mortgage insurance (BPMI) or lender-paid MI (LPMI).
Fannie Mae will be guaranteeing the MI coverage amount, which will
typically be the MI coverage percentage multiplied by the sum of
the unpaid principal balance as of the date of the default, up to
36 months of delinquent interest, taxes and maintenance expenses.
While the Fannie Mae guarantee allows for credit to be given to MI,
Fitch applied a haircut to the amount of BPMI available due to the
automatic termination provision as required by the Homeowners
Protection Act when the loan balance is first scheduled to reach
78%.
12.5-Year Hard Maturity (Positive): The 2M-1, 2M-2 and 2B notes
benefit from a 12.5-year legal final maturity. Thus, any credit or
modification events on the reference pool that occur beyond year
12.5 are borne by Fannie Mae and do not affect the transaction. In
addition, credit or modification events that occur prior to
maturity with losses realized from liquidations or modifications
that occur after the final maturity date will not be passed through
to the noteholders. This feature more closely aligns the risk of
loss to that of the 10-year, fixed LS CAS deals where losses were
passed through at the time a credit event occurred (i.e. loans
became 180 days delinquent with no consideration for liquidation
timelines). Fitch accounted for the 12.5-year maturity in its
analysis and applied a reduction to its lifetime default
expectations.
Seller Insolvency Risk Addressed (Positive): A loan will be removed
from the reference pool if a lender has declared bankruptcy or has
been put into receivership and, per the quality-control (QC)
process, an eligibility defect is identified that could otherwise
have resulted in a repurchase. In earlier CAS deals, if a lender
declared bankruptcy or was placed into receivership prior to a
repurchase request made by Fannie Mae for a breach of a rep and
warranty, the loan would not be removed from its related reference
pool or treated as a credit event reversal if it became 180 days
past due. This enhancement reduces the loss exposure arising from
MI claim rescissions due to underwriting breaches by insolvent
sellers.
Limited Size/Scope of Third-Party Diligence (Neutral): This is the
second transaction in which Fitch received third-party due
diligence on a loan production basis, as opposed to a
transaction-specific review. Fitch believes that regular, periodic
third-party reviews (TPRs) conducted on a loan production basis are
sufficient for validating Fannie Mae's QC processes. The sample
selection was limited to a population of 7,262 loans that were
previously reviewed as part of Fannie Mae's post-purchase QC review
and met the reference pool's eligibility criteria. Of those loans,
1,998 were selected for a full review (credit, property valuation
and compliance) by third-party due diligence providers. Of the
1,998 loans, 552 were part of this transaction's reference pool.
Fitch views the results of the due diligence review as consistent
with its opinion of Fannie Mae as an above-average aggregator; as a
result, no adjustments were made to Fitch's loss expectations based
on due diligence.
Advantageous Payment Priority (Positive): The payment priority of
the 2M-1 notes 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 2M-1 notes can receive a full
pro-rata share of unscheduled principal immediately, as long as a
minimum CE level is maintained and the delinquency test is
satisfied.
Additionally, unlike PL mezzanine classes, which lose subordination
over time due to scheduled principal payments to more junior
classes, the 2M-2 and 2B classes will not receive any scheduled or
unscheduled allocations until their 2M-1 classes are paid in full.
The 2B classes will not receive any scheduled or unscheduled
principal allocations until the 2M-2 classes are paid in full.
Solid Alignment of Interests (Positive): While the transaction is
designed to transfer credit risk to private investors, Fitch
believes that it benefits from a solid alignment of interests.
Fannie Mae will be retaining credit risk in the transaction by
holding the 2A-H senior reference tranches, which have an initial
loss protection of 4.00%, as well as at least 50% of the first loss
2B-H reference tranches, sized at 100 bps. Fannie Mae is also
retaining an approximately 5% vertical slice/interest in the 2M-1
and 2M-2 tranches.
Receivership Risk Considered (Neutral): Under the Federal Housing
Finance Regulatory Reform Act, the Federal Housing Finance Agency
(FHFA) must place Fannie Mae into receivership if it determines
that Fannie Mae's assets are less than its obligations for more
than 60 days following the deadline of its SEC filing, as well as
for other reasons. As receiver, FHFA could repudiate any contract
entered into by Fannie Mae if it is determined that the termination
of such contract would promote an orderly administration of Fannie
Mae's affairs. Fitch believes that the U.S. government will
continue to support Fannie Mae; this is reflected in our current
rating of Fannie Mae. However, if, at some point, Fitch views the
support as being reduced and receivership likely, the ratings of
Fannie Mae could be downgraded and the 2M-1 notes' ratings
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 metropolitan statistical area (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 22% at the 'BBB-sf' level and 14% at the 'Bsf'
level. The analysis indicates that there is some potential rating
migration with higher MVDs, compared with the model projection.
Fitch also conducted defined rating sensitivities which determine
the stresses to MVDs that would reduce a rating by one full
category, to non-investment grade, and to 'CCCsf'. For example,
additional MVDs of 11%, 11% and 35% would potentially reduce the
'BBB-sf' rated class down one rating category, to non-investment
grade, and to 'CCCsf', respectively.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
Fitch was provided with due diligence information from Clayton and
Adfitech, Inc. The due diligence focused on credit and compliance
reviews, desktop valuation reviews and data integrity. Clayton and
Adfitech 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 the
analysis.
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
FLAGSHIP CLO VI: S&P Affirms BB Rating on Class E Notes
-------------------------------------------------------
S&P Global Ratings raised its ratings on the class B, C, and D
notes from Flagship CLO VI. At the same time, S&P affirmed its
ratings on the class A-1A, A-1B, A-2, and E notes. Concurrently,
S&P removed its ratings on the class B, C, D, and E notes from
CreditWatch, where they were placed with positive implications on
May 25, 2016. Flagship CLO VI is a U.S. collateralized loan
obligation (CLO) transaction, which closed in June 2007. It is
managed by Deutsche Asset Management Inc.
The rating actions follow S&P's review of the transaction's
performance using data from the trustee report dated July 8, 2016.
The upgrades mainly reflect a $169.50 million paydown to the class
A-1A notes and a $4.77 million paydown to the class A-2 notes since
S&P's February 2015 rating actions. Following the June 2, 2016
payment date, the class A-1A and A-2 notes have been paid down to
36.23% and 42.60% of their original outstanding balances,
respectively.
These paydowns resulted in improved reported overcollateralization
(O/C) ratios since S&P's February 2015 rating actions, which
referenced the January 2015 trustee report:
-- The class A/B O/C ratio improved to 152.23% from 125.80%,
-- The class C O/C ratio improved to 131.59% from 117.48%,
-- The class D O/C ratio improved to 117.44% from 110.96%, and
-- The class E O/C ratio improved to 106.45% from 105.35%.
The transaction has also benefited from a drop in the weighted
average life due to the underlying collateral's seasoning, with
2.66 years reported as of the July 2016 trustee report, compared
with 3.50 years reported at the time of S&P's February 2015 rating
actions.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with S&P's criteria, its cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest and/or
ultimate principal to each of the rated tranches. The results of
the cash flow analysis demonstrated, in S&P's view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with these rating
actions.
S&P will continue to review whether, in its view, the ratings on
the notes remain consistent with the credit enhancement available
to support them, and will take rating actions as S&P deems
necessary.
RATINGS RAISED AND OFF CREDITWATCH
Flagship CLO VI
Rating
Class To From
B AAA (sf) AA+ (sf)/Watch Pos
C AAA (sf) AA- (sf)/Watch Pos
D A+ (sf) BBB (sf)/Watch Pos
RATINGS AFFIRMED
Flagship CLO VI
Class Rating
A-1A AAA (sf)
A-1B AAA (sf)
A-2 AAA (sf)
RATING AFFIRMED AND OFF CREDITWATCH
Flagship CLO VI
Rating
Class To From
E BB (sf) BB (sf)/Watch Pos
FOUR CORNERS II: S&P Affirms B- Rating on Class E Notes
-------------------------------------------------------
S&P Global Ratings raised its rating on the class C notes from Four
Corners CLO II Ltd., a U.S. collateralized loan obligation (CLO).
At the same time, S&P affirmed its ratings on the class A, B, D,
and E notes from the same transaction.
The rating actions follow S&P's review of the transaction's
performance using data from the July 18, 2016, trustee report.
The upgrade reflects the transaction's $97.34 million in paydowns
to the class A notes since S&P's December 2013 rating actions.
Following the July 2016 payment date, the class A notes have just
$8.52 million, or 3.67% of their original balance, remaining. These
paydowns resulted in improved reported overcollateralization (O/C)
ratios since the November 2013 trustee report, which S&P used for
its previous rating actions:
-- The class A/B O/C ratio improved to 220.75% from 141.29%.
-- The class C O/C ratio improved to 140.52% from 119.26%.
-- The class D O/C ratio improved to 121.07% from 111.57%.
-- The class E O/C ratio improved to 104.35% from 103.82%.
As of the July 2016 trustee report, the balance of collateral with
a maturity date after the transaction's stated maturity represented
27.08% of the portfolio. A CLO concentrated in long-dated assets
could be exposed to market value risk at maturity because the
collateral manager may have to sell long-dated assets for less than
par to repay the CLO's subordinate rated notes when they mature.
S&P's analysis took into account the potential market value and/or
settlement-related risk arising from the potential liquidation of
the remaining securities on the transaction's legal final
maturity.
The rating on the class D notes is constrained at 'BBB+ (sf)' by
the application of the largest obligor default test, a supplemental
stress test included as part of S&P's corporate collateralized debt
obligation criteria.
Although the cash flow results indicated a lower rating for the
class E notes, S&P views the overall credit seasoning as an
improvement to the transaction. S&P also considered the relatively
stable O/C ratios that currently have a significant cushion over
their minimum requirements. However, any increase in defaults
and/or par losses could lead to negative rating actions on the
class E notes in the future.
The affirmations of the class A and B notes reflect S&P's view that
the credit support available is commensurate with the current
rating level.
"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 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 will take rating actions as S&P
deems necessary.
RATINGS RAISED
Four Corners CLO II Ltd.
Rating
Class To From
C AAA (sf) AA+ (sf)
RATINGS AFFIRMED
Four Corners CLO II Ltd.
Class Rating
A AAA (sf)
B AAA (sf)
D BBB+ (sf)
E B- (sf)
GREENWICH CAPITAL 2006-GG7: S&P Lowers Rating on Cl. B Certs to B-
------------------------------------------------------------------
S&P Global Ratings lowered its ratings on two classes of commercial
mortgage pass-through certificates from Greenwich Capital
Commercial Funding Corp.'s series 2006-GG7, a U.S. commercial
mortgage-backed securities (CMBS) transaction. In addition, S&P
affirmed its ratings on two other classes from the same
transaction.
S&P's rating actions 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 lowered its rating on class B to reflect its view of the class'
susceptibility to reduced liquidity support from the 13 specially
serviced assets ($525.2 million, 79.4%), as well as credit support
erosion that S&P anticipates will occur upon the eventual
resolution of 12 ($361.7 million, 54.7%) of the 13 assets with the
special servicers (discussed below). In addition, S&P lowered its
rating on class C to 'D (sf)' because of accumulated interest
shortfalls that S&P expects to remain outstanding for the
foreseeable future. Class C has experienced three consecutive
months of interest shortfalls.
According to the July 12, 2016, trustee remittance report, the
current monthly interest shortfalls totaled $661,643 and resulted
primarily from:
-- Appraisal subordinate entitlement reduction amounts totaling
$322,786;
-- Modified interest rate reduction totaling $203,074;
-- Special servicing fees totaling $67,417;
-- Interest not advanced totaling $40,388; and
-- Workout fees totaling $5,754.
The current interest shortfalls affected classes subordinate to and
including class C.
The affirmations on classes A-M and A-J 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 current and future performance
of the transaction's collateral, the transaction structure, and
liquidity support available to the classes.
While available credit enhancement levels suggest positive rating
movements on classes A-M and A-J, S&P's analysis also considered
the classes' susceptibility to reduced liquidity support from the
13 specially serviced assets. Specifically, S&P also considered
the JP Morgan International Plaza I & II loan ($163.5 million,
24.7%) and the uncertainty about what the sole tenant will do when
its lease expires in 2018, which is coterminous with the loan's
maturity.
TRANSACTION SUMMARY
As of the July 12, 2016, trustee remittance report, the collateral
pool balance was $661.5 million, which is 18.3% of the pool balance
at issuance. The pool currently includes 13 loans (reflecting
cross-collateralized loans) and two real estate-owned (REO) assets,
down from 134 loans at issuance. There are 13 assets with the
special servicers, one loan ($18.2 million, 2.8%) is on the master
servicer's watchlist, and no loans are defeased. The master
servicer, Midland Loan Services, reported financial information for
94.7% of the loans in the pool, of which 92.0% was partial-year or
year-end 2015 data and the remaining was year-end 2014 data.
S&P calculated a 1.11x S&P Global Ratings' weighted average debt
service coverage (DSC) and 103.3% S&P Global Ratings' weighted
average loan-to-value (LTV) ratio using a 7.61% S&P Global Ratings'
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude 12 of the 13 specially
serviced assets and one subordinate B hope note ($30.0 million,
4.5%). The top 10 loans have an aggregate outstanding pool trust
balance of $605.2 million (91.5%). Excluding the seven
nonperforming specially serviced assets, using servicer-reported
numbers, S&P calculated an S&P Global Ratings' weighted average DSC
and LTV of 1.15x and 101.5%, respectively, for the three remaining
top 10 loans.
To date, the transaction has experienced $251.8 million in
principal losses, or 7.0% of the original pool trust balance. S&P
expects losses to reach approximately 10.3% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses S&P expects upon the eventual resolution of
12 of the 13 specially serviced assets.
CREDIT CONSIDERATIONS
As of the July 12, 2016 trustee remittance report, 13 assets in the
pool were with the special servicers, LNR Partners LLC (LNR) or
Talmage LLC. Details of the two largest specially serviced assets,
both of which are top 10 assets, are:
The JP Morgan International Plaza I & II loan ($163.5 million,
24.7%) is the largest loan in the pool and has a total reported
exposure of $164.5 million. There is also a $30.8 million
subordinate B note and a $10.0 million mezzanine loan. The whole
loan is secured by a 756,851-sq.-ft. office property in Farmers
Branch, Texas. The loan had a payment not received but still in
grace period payment status. According to Talmage, the loan's
payment status is current. It was transferred to Talmage on
Oct. 21, 2015, because the borrower advised that it is not able to
pay off the loan at maturity. Talmage said that the loan was
modified on March 8, 2016. The modification terms included
extending the maturity from June 2016 to February 2018. It is
S&P's understanding from Talmage that the loan was transferred back
to master servicing subsequent to the July 2016 remittance report.
The reported DSC and occupancy for year-end Dec. 31, 2015, were
over 1.30x and 100.0%, respectively.
The Portals I loan ($155.0 million, 23.4%) is the second-largest
loan in the pool and has a total reported exposure of
$155.8 million. The loan is secured by 449,933-sq.-ft. office
property in Washington, D.C. The loan, which has a nonperforming
matured balloon payment status, was transferred to LNR on May 17,
2016, because of imminent maturity default. The loan matured on
June 6, 2016. LNR stated that it is exploring various liquidation
strategies. The reported DSC and occupancy as of year-end 2015
were 0.79x and 80.9%, respectively. S&P expects a minimal loss,
which is less than 25%, upon this loan's eventual resolution.
The 11 remaining assets with the special servicers have individual
balances that represent less than 5.7% of the total pool trust
balance. S&P estimated losses for 12 of the 13 specially serviced
assets, arriving at a weighted average loss severity of 33.7%. S&P
expects the remaining loan to be transferred back to master
servicing.
RATINGS LIST
Greenwich Capital Commercial Funding Corp.
Commercial mortgage pass-through certificates series 2006-GG7
Rating
Class Identifier To From
A-M 20173MAG5 BB+ (sf) BB+ (sf)
A-J 20173MAH3 B+ (sf) B+ (sf)
B 20173MAJ9 B- (sf) B+ (sf)
C 20173MAK6 D (sf) CCC- (sf)
GS MORTGAGE 2004-GG2: Moody's Affirms Caa3 Rating on Cl. X-C Debt
-----------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class and
affirmed one class in GS Mortgage Securities Corporation II,
Commercial Mortgage Pass-Through Certificates, Series 2004-GG2 as
follows:
Cl. H, Upgraded to Ca (sf); previously on Sep 18, 2015 Affirmed C
(sf)
Cl. X-C, Affirmed Caa3 (sf); previously on Sep 18, 2015 Affirmed
Caa3 (sf)
RATINGS RATIONALE
The rating on P&I class H was upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 85% since Moody's last
review.
The rating on the IO class, XC, was affirmed because the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes are consistent with Moody's expectations.
Moody's rating action reflects a base expected loss of 12.1% of the
current balance, compared to 41.4% 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, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
DEAL PERFORMANCE
As of the July 12, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 99.5% to $11.935
million from $2.604 billion at securitization. The certificates are
collateralized by three mortgage loans ranging in size from less
than 25% to 40% of the pool. Two loans, constituting 75% of the
pool, have defeased and are secured by US government securities.
Twenty-one loans have been liquidated from the pool, resulting in
an aggregate realized loss of $107.5 million (for an average loss
severity of 52.6%). One loan, constituting 25% of the pool, is
currently in special servicing. The specially serviced loan is the
Blue Bell IV loan ($2.9 million; 25% of the pool), which is secured
by a 35,422 square foot (SF) Class B suburban office building in
Blue Bell, PA approximately 20 miles north of the Philadelphia CBD.
The loan transferred to special servicing in April 2014 due to
maturity default. The property became REO in February 2016.
JFIN CLO 2016: Moody's Assigns Ba3(sf) Rating to Class E Debt
-------------------------------------------------------------
Moody's Investors Service has assigned ratings to ten classes of
notes issued by JFIN CLO 2016 Ltd. (the "Issuer" or "JFIN CLO
2016").
Moody's rating action is as follows:
-- US$160,500,000 Class A-1 Senior Secured Floating Rate
Notes due 2028 (the "Class A-1 Notes"), Definitive Rating
Assigned Aaa (sf)
-- US$35,000,000 Class A-F Senior Secured Fixed Rate Notes
due 2028 (the "Class A-F Notes"), Definitive Rating Assigned
Aaa (sf)
-- US$16,500,000 Class A-2a Senior Secured Floating Rate
Notes due 2028 (the "Class A-2a Notes"), Definitive Rating
Assigned Aaa (sf)
-- US$10,000,000 Class A-2b Senior Secured Floating Rate
Notes due 2028 (the "Class A-2b Notes"), Definitive Rating
Assigned Aaa (sf)
-- US$28,500,000 Class B-1 Senior Secured Floating Rate Notes
due 2028 (the "Class B-1 Notes"), Definitive Rating Assigned
Aa2 (sf)
-- US$12,000,000 Class B-F Senior Secured Fixed Rate Notes
due 2028 (the "Class B-F Notes"), Definitive Rating Assigned
Aa2 (sf)
-- US$9,500,000 Class C-1 Secured Deferrable Floating Rate
Notes due 2028 (the "Class C-1 Notes"), Definitive Rating
Assigned A2 (sf)
-- US$10,500,000 Class C-F Secured Deferrable Fixed Rate
Notes due 2028 (the "Class C-F Notes"), Assigned A2 (sf)
-- US$20,000,000 Class D Secured Deferrable Floating Rate
Notes due 2028 (the "Class D Notes"), Definitive Rating
Assigned Baa3 (sf)
-- US$19,500,000 Class E Secured Deferrable Floating Rate
Notes due 2028 (the "Class E Notes"), Definitive Rating
Assigned 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-1 Notes, the Class C-F 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.
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 93.75% of the portfolio must
consist of senior secured loans, cash, and eligible investments,
and up to 6.25% of the portfolio may consist of second lien loans
and unsecured loans. The portfolio is approximately 90% ramped as
of the closing date.
Apex Credit Partners LLC (the "Manager") will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's four year reinvestment period.
Thereafter, the Manager may reinvest unscheduled principal payments
and proceeds from sales of credit risk assets, subject to certain
restrictions.
In addition to the Rated Notes, the Issuer 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: $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 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 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-1 Notes: -1
-- Class C-F Notes: -1
-- Class D Notes: -1
-- Class E Notes: 0
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: -2
-- Class B-F Notes: -2
-- Class C-1 Notes: -3
-- Class C-F Notes: -3
-- Class D Notes: -2
-- Class E Notes: -1
JP MORGAN 2004-C2: Moody's Hikes Cl. X Debt Rating to Caa1
----------------------------------------------------------
Moody's Investors Service, has affirmed the ratings on four and
upgraded the ratings on seven classes in J.P. Morgan Chase
Commercial Mortgage Securities Corp., Commercial Mortgage
Pass-Through Certificates, Series 2004-C2 as follows:
Cl. E, Upgraded to Aaa (sf); previously on Oct 1, 2015 Upgraded to
Aa1 (sf)
Cl. F, Upgraded to Aa3 (sf); previously on Oct 1, 2015 Upgraded to
A3 (sf)
Cl. G, Upgraded to A2 (sf); previously on Oct 1, 2015 Upgraded to
Baa2 (sf)
Cl. H, Upgraded to Baa3 (sf); previously on Oct 1, 2015 Upgraded to
Ba2 (sf)
Cl. J, Upgraded to Ba2 (sf); previously on Oct 1, 2015 Upgraded to
B1 (sf)
Cl. K, Upgraded to Caa1 (sf); previously on Oct 1, 2015 Upgraded to
Caa2 (sf)
Cl. L, Affirmed Caa3 (sf); previously on Oct 1, 2015 Upgraded to
Caa3 (sf)
Cl. M, Affirmed C (sf); previously on Oct 1, 2015 Affirmed C (sf)
Cl. N, Affirmed C (sf); previously on Oct 1, 2015 Affirmed C (sf)
Cl. P, Affirmed C (sf); previously on Oct 1, 2015 Affirmed C (sf)
Cl. X, Upgraded to Caa1 (sf); previously on Oct 1, 2015 Downgraded
to Caa3 (sf)
RATINGS RATIONALE
The ratings on the P&I classes, classes E through K, were upgraded
based primarily on an increase in credit support resulting from
loan paydowns and amortization, as well as Moody's expectation of
additional increases in credit support resulting from the fully
amortizing loans. The deal has paid down 5.3% since Moody's last
review, and the fully amortizing loans represent 14.4% of the
pool.
The ratings on the P&I classes, classes L through P, were affirmed
because the ratings are consistent with Moody's expected loss.
The rating on the IO class was upgraded 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 5.8% of the
current balance, compared to 8.7% at Moody's last review. Moody's
base expected loss plus realized losses is now 1.5% 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 July 15, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 93.8% to $64.2
million from $1.03 billion at securitization. The certificates are
collateralized by 14 mortgage loans ranging in size from less than
1% to 27% of the pool, with the top ten loans constituting 93.3% of
the pool. One loans, constituting 2.1% of the pool, have defeased
and are secured by US government securities. There are no loans
that have an investment-grade structured credit assessments.
There are currently 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.
Ten loans have been liquidated from the pool, resulting in an
aggregate realized loss of $12.09 million (for an average loss
severity of 30%). Four loans, constituting 29.2% of the pool, are
currently in special servicing. The largest specially serviced loan
is the Tower Plaza Retail Center ($11.2 million -- 17.4% of the
pool), which is secured by a 134,510 square foot (SF) retail center
located in Temecula, California. The loan was transferred to
special servicing in February 2012 as the result of imminent
default. The property was foreclosed upon in March 2014 and is now
real estate owned (REO). As per the June 2016 rent roll the
property was 84% occupied.
The remaining 3 specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $3.7 million loss
for the specially serviced loans (23.9% expected loss on average).
Moody's received full year 2015 operating results for 100% of the
pool, and full or partial year 2016 operating results for 56% of
the pool. Moody's weighted average conduit LTV is 60.5%, compared
to 55.7% at Moody's last review. Moody's conduit component excludes
loans with structured credit assessments, defeased and CTL loans,
and specially serviced and troubled loans. Moody's net cash flow
(NCF) reflects a weighted average haircut of 17.8% 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 1.63X and 1.75X,
respectively, compared to 1.18X and 1.82X 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 56.4% of the pool balance.
The largest loan is the Eastlake Village Marketplace Loan ($17.3
million -- 27% of the pool), which is secured by a community retail
center that consists of nine, single-story buildings situated on an
11.16-acre site. The center has a total of 374,646 square feet (SF)
of retail space and is anchored by Lowe's and Target (both are not
part of the collateral). The collateral space includes in-line and
ground leased space. Major tenants include Office Depot, Berkshire
Hathaway Realty and Sleep Train. The property was 100% leased as of
May 2016, the same as at last review. Performance has been stable.
Moody's LTV and stressed DSCR are 48.6% and 2.06X, respectively,
compared to 51.6% and 1.94X at the last review.
The second largest loan is the Employers Reinsurance Corporation II
Loan ($16.1 million -- 25.1% of the pool), which is secured by a
three-story Class B office building with a total net rentable area
of 166,641 square feet (SF) in Kansas City, Missouri. The property
is fully leased by Swiss Re American Holding Corporation and the
lease expires in April 2019. Moody's value incorporates a lit/dark
analysis to account for the lease rollover risk associated with the
single tenancy. Moody's LTV and stressed DSCR are 81.7% and 1.19X,
respectively, compared to 73.1% and 1.33X at the last review.
The third largest loan is the Spring Valley II Apartments Loan
($2.7 million --- 4.3% of the pool), which is secured by an 120
unit apartment complex built in 2002. As per the July 2016 rent
roll the property was 96.5% occupied. Moody's LTV and stressed DSCR
are 60.2% and 1.57X, respectively, compared to 63.2% and 1.5X at
the last review.
JP MORGAN 2015-SGP: Moody's Affirms Ba3 Rating on 2 Tranches
------------------------------------------------------------
Moody's Investors Service affirmed the ratings of eight classes of
J.P. Morgan Chase Commercial Mortgage Securities Trust, Commercial
Pass-Through Certificates, Series 2015-SGP as follows:
Cl. A, Affirmed Aaa (sf); previously on Oct 30, 2015 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa2 (sf); previously on Oct 30, 2015 Upgraded to
Aa2 (sf)
Cl. C, Affirmed A2 (sf); previously on Oct 30, 2015 Upgraded to A2
(sf)
Cl. D, Affirmed Baa2 (sf); previously on Oct 30, 2015 Upgraded to
Baa2 (sf)
Cl. E, Affirmed Ba1 (sf); previously on Oct 30, 2015 Upgraded to
Ba1 (sf)
Cl. F, Affirmed Ba2 (sf); previously on Oct 30, 2015 Upgraded to
Ba2 (sf)
Cl. X-CP, Affirmed Ba3 (sf); previously on Oct 30, 2015 Affirmed
Ba3 (sf)
Cl. X-EXT, Affirmed Ba3 (sf); previously on Oct 30, 2015 Affirmed
Ba3 (sf)
RATINGS RATIONALE
The affirmations of six principal and interest (P&I) classes are
due to key parameters, including Moody's loan to value (LTV) ratio
and Moody's stressed debt service coverage ratio (DSCR) remaining
within acceptable ranges. The ratings of interest-only (IO) Class
X-CP and IO Class X-EXT were affirmed based on the weighted average
rating factor or WARF of their referenced classes.
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 15, 2016 Payment Date, the transaction's certificate
balance was $925.0 million, unchanged from securitization. The
Certificates are collateralized by a single floating-rate loan
backed by a first lien commercial mortgage related to a portfolio
of 235 retail properties located in 49 states and Puerto Rico.
Approximately 140 properties are operating under the Sears brand,
84 properties are operated under the Kmart brand, and 11 properties
are leased entirely to third parties. Approximately 103 of the
properties are connected to or associated with malls operated by
major mall owners.
As of the March 31, 2016 rent rolls, the portfolio had a vacancy
rate of less than 1%, the same as at securitization. Since
securitization total rent as increased by approximately $2.4
million due to an increase in third party rent.
Moody's loan to value (LTV) ratios for the loan are calculated on a
Sears Lit and Sears Dark basis: Sears Lit (65.8%) and Sears Dark
(131.1%), the same as at securitization.
Moody's stressed debt service coverage ratio (DSCR) is also
calculated on a Sears Lit and Sears Dark basis and remains
unchanged from securitization at 1.48X (Sears Lit) and 0.88X (Sears
Dark).
KVK CLO 2014-1: S&P Lowers Rating on Class E Notes to BB-
---------------------------------------------------------
S&P Global Ratings lowered its rating on the class E notes from KVK
CLO 2014-1 Ltd., a U.S. collateralized loan obligation (CLO)
managed by Kramer Van Kirk Credit Strategies L.P., which closed in
April 2014. At the same time, S&P removed this rating from
CreditWatch, where it had placed it on May 25, 2016, with negative
implications. In addition, S&P affirmed its ratings on the class
A-1, A-2, B, C, and D notes from the same transaction.
The rating actions follow S&P's review of the transaction's
performance, using data from the July 5, 2016, trustee report. S&P
also considered additional information provided by the collateral
manager on trades executed after the July 2016 trustee report was
released.
The transaction is scheduled to remain in its reinvestment period
until May 2018.
The lowered rating reflects the decrease in credit support
available to the class E notes and the decline in the underlying
portfolio's credit quality. The amount of 'CCC' assets held in the
portfolio has increased to $44.68 million as of the July 2016
trustee report from $13.70 million as of the May 2014 trustee
report, which S&P used for its effective date analysis. The
trustee also reported an increase in defaulted assets to $8.74
million from zero over the same time period. An above-average
exposure to the distressed energy sector has also contributed to
this distressed collateral total, as assets with an S&P Global
Ratings' industry categorization of oil and gas and nonferrous
metals/minerals were reported to be 7.87% of the total balance. A
large percentage of the 'CCC' and defaulted collateral come from
these two industry categories.
The underlying portfolio's deteriorated credit quality combined
with par loss led to declines in the trustee-reported
overcollateralization (O/C) ratios. These O/C ratios are per the
July 2016 report compared to the May 2014 numbers:
-- The class A/B O/C ratio test decreased to 130.62% from
134.47%;
-- The class C O/C ratio test decreased to 117.08% from
120.54%;
-- The class D O/C ratio test decreased to 109.81% from
113.04%; and
-- The class E O/C ratio test decreased to 104.38% from
107.46%.
In addition, the interest diversion test on the class E notes has
also decreased, for the same reasons as noted above, to 104.38%
from 107.46%. The current result passes the trigger by 8 basis
points. The failure of this test would divert excess interest
proceeds to purchase additional collateral or, at the option of the
collateral manager, to pay the rated notes according to the note
payment sequence in an amount equal to the lesser of the amount
necessary to cause this test to pass and 50% of the total excess
interest.
The decline in the credit support has been somewhat offset by both
the recent positive credit migration and underlying collateral's
seasoning. The portfolio's weighted average rating has improved
from June 2016 to July 2016. Also, the reported weighted average
life of the collateral has decreased to 4.48 years from 5.85 years
since the effective date.
Although S&P's cash flow analysis pointed to higher ratings for the
class B, C, and D notes, it considered the exposure to stressed
sectors, decline in credit support, the credit deterioration in the
portfolio, and 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, and
affirmed these tranches at their current rating levels.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with S&P's criteria, its cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults and recoveries upon default under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest and/or
ultimate principal to each of the rated tranches. The results of
the cash flow analysis demonstrated, in S&P's view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with this rating action.
S&P Global Ratings will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the credit
enhancement available to support them and take rating actions as it
deems necessary.
RATING LOWERED AND REMOVED FROM CREDITWATCH
KVK CLO 2014-1 Ltd.
Rating
Class To From
E BB- (sf) BB (sf)/Watch Neg
RATINGS AFFIRMED
KVK CLO 2014-1 Ltd.
Class Rating
A-1 AAA (sf)
A-2 AAA (sf)
B AA (sf)
C A (sf)
D BBB (sf)
LANDMARK IX CDO: Moody's Affirms Ba1 Rating on Cl. E Notes
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on these notes
issued by Landmark IX CDO Ltd.:
$19,000,000 Class D Deferrable Floating Rate Notes Due 2021,
Upgraded to Aa1 (sf); previously on Nov. 16, 2015, Upgraded to
Aa3 (sf)
Moody's also affirmed the ratings on these notes:
$68,500,000 Class A-2 Floating Rate Notes Due 2021 (current
outstanding balance of $30,767,574.44), Affirmed Aaa (sf);
previously on Nov. 16, 2015, Affirmed Aaa (sf)
$16,750,000 Class B Floating Rate Notes Due 2021, Affirmed
Aaa (sf); previously on Nov. 16, 2015, Affirmed Aaa (sf)
$35,000,000 Class C Deferrable Floating Rate Notes Due 2021,
Affirmed Aaa (sf); previously on Nov. 16, 2015, Affirmed
Aaa (sf)
$18,500,000 Class E Deferrable Floating Rate Notes Due 2021,
Affirmed Ba1 (sf); previously on Nov. 16, 2015, Upgraded to
Ba1 (sf)
Landmark IX CDO Ltd., issued in April 2007, is a collateralized
loan obligation (CLO) 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 November 2015. The Class
A-1 notes have been paid down completely or by $43.5 million and
the Class A-2 notes have been paid down by 55% or by $37.7 million
since that time. Based on Moody's calculations, the OC ratios for
the Class B, Class C, Class D and Class E notes are reported at
276.42%, 159.17%, 129.38% and 109.44%, respectively, versus
November 2015 levels of 167.51%, 131.70%, 118.00% and 107.15%,
respectively.
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 the lower of the
market price and the recovery rate in order to account for
potential volatility in market prices. Realization of higher
than assumed recoveries would positively impact the CLO.
6) Higher-than-average exposure to assets with weak liquidity:
The presence of assets with the worst Moody's speculative
grade liquidity (SGL) rating, or SGL-4, exposes the notes to
additional risks if these assets default. The historical
default rate is far higher for companies with SGL-4 ratings
than those with other SGL ratings. Due to the deal's high
exposure to SGL-4 rated assets, which constitute around
$9.3 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% (2003)
Class A-2: 0
Class B: 0
Class C: 0
Class D: +1
Class E: +2
Moody's Adjusted WARF + 20% (3005)
Class A-2: 0
Class B: 0
Class C: 0
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 $127.4 million, defaulted par
of $9 million, a weighted average default probability of 12.66%
(implying a WARF of 2504), a weighted average recovery rate upon
default of 49.29%, a diversity score of 33 and a weighted average
spread of 3.32% (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.
MANUFACTURED HOUSING: S&P Lowers Rating on Cl. M-2 Certs to D
-------------------------------------------------------------
S&P Global Ratings lowered its rating on the class M-2 certificates
from Manufactured Housing Contract Senior/Subordinate Pass-Through
Certificates Series 2002-2, an asset-backed securities transaction
backed by fixed-rate manufactured housing loans, to 'D (sf)' from
'CC (sf).'
The downgrade reflects that this transaction did not make its full
interest payment on class M-2 on the May 2, 2016, remittance date
and each remittance date since.
MERRILL LYNCH 2005-CA17: Moody's Affirms B1 Rating on Cl. XC Debt
-----------------------------------------------------------------
Moody's Investors Service upgraded the ratings on four classes and
affirmed the ratings on one class in Merrill Lynch Financial Assets
Inc. Commercial Mortgage Pass-Through Certificates, Series
2005-Canada 17 as follows:
Cl. H, Upgraded to Aaa (sf); previously on Feb 18, 2016 Upgraded to
A1 (sf)
Cl. J, Upgraded to Aaa (sf); previously on Feb 18, 2016 Upgraded to
A3 (sf)
Cl. K, Upgraded to Aa2 (sf); previously on Feb 18, 2016 Upgraded to
Baa2 (sf)
Cl. L, Upgraded to A1 (sf); previously on Feb 18, 2016 Upgraded to
Ba1 (sf)
Cl. XC, Affirmed B1 (sf); previously on Feb 18, 2016 Downgraded to
B1 (sf)
RATINGS RATIONALE
The ratings on the P&I Classes H, J, K, and L were upgraded based
primarily on an increase in credit support resulting from loan
paydowns and amortization. The deal has paid down 64% since Moody's
last review.
The rating on the IO Class XC 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 0.0% of the
current balance, the same as that at Moody's last review. Moody's
base expected loss plus realized losses is now 0.0% of the original
pooled balance, the same as that at Moody's last review.
Moody's does not anticipate losses from the remaining collateral in
the current environment. However, over the remaining life of the
transaction, losses may emerge from macro stresses to the
environment and changes in collateral performance. Our ratings
reflect the potential for future losses under varying levels of
stress.
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 12 July, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $11.0 million
from $502.8 million at securitization. The certificates are
collateralized by one mortgage loan.
One loan has been liquidated from the pool, resulting in an
aggregate realized loss of $0.2 million (for an average loss
severity of 11%).
Moody's received full year 2015 operating results for 100% of the
pool.
For the remaining loan, Moody's actual and stressed DSCRs are 2.60X
and 2.44X, respectively, compared to 2.47X and 2.29X 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 sole remaining loan in the pool is the Calloway Rimouski Loan
($11.0 million -- 100% of the pool), which is secured by an
anchored retail center located in Rimouski, Quebec. The property is
anchored by a Wal-Mart, Winners, and Future Shop, and was 99%
occupied as of 08 April, 2016. The subject is also shadow anchored
by a Tanguay and Super C, a Canadian discount grocer. The loan
matures in December 2016 and is full recourse to the sponsor,
SmartREIT. Moody's LTV and stressed DSCR are 38% and 2.44X,
respectively, compared to 40% and 2.29X at the last review.
MERRILL LYNCH 2006-C1: Fitch Lowers Rating on Cl. B Certs to 'Csf'
------------------------------------------------------------------
Fitch Ratings has downgraded one and affirmed 13 classes of Merrill
Lynch Mortgage Trust commercial mortgage pass-through certificates
series 2006-C1.
KEY RATING DRIVERS
The downgrade is due to high loss expectations for the remaining
loans in the pool. The affirmation of class A-J reflects the
concentrated nature of the pool coupled with adverse selection. The
pool has 17 assets remaining, 12 of which are in special servicing
(46.8%). Seven assets in special servicing are in foreclosure
(16.7%). Fitch modeled losses of 18.5% of the remaining pool;
expected losses on the original pool balance total 10.0%, including
$202.2 million (8.1% of the original pool balance) in realized
losses to date.
As of the July 2016 distribution date, the pool's aggregate
principal balance has been reduced by 90.1% to $247.1 million from
$2.49 billion at issuance. Interest shortfalls are currently
affecting classes B and C.
The largest contributor to expected losses is a loan secured by a
409,920 square foot (sf) office building (18.7%) located in the
central business district of St. Louis, MO. The loan transferred
to special servicing in May 2016 due to maturity default. The
largest tenant in the building, Peabody Energy (54%), filed for
Chapter 11 bankruptcy in April 2016. In addition to the
uncertainty related to the largest tenant, the downtown submarket
of St. Louis is facing high vacancy. As of the second quarter,
Reis' reported a vacancy rate of 20%, which is expected to increase
with AT&T vacating the nearby One AT&T Center. The servicer is in
discussion with the borrower while dual tracking foreclosure.
The second largest contributor to expected losses is a loan secured
by a 192-unit multifamily property (3.9%) located in Sierra Vista,
AZ. The loan transferred to special servicing in April 2016 due to
maturity default. The subject is in a tertiary market, and is 80
minutes from Tucson and less than 30 minutes from the Mexican
border. Several multifamily properties are located in close
proximity to the subject in addition to several parcels of vacant
land. As of October 2015, occupancy was 78% with NOI DSCR of
0.98x. The loan matured in April 2016 and the servicer is in
discussion with the sponsor on various resolution alternatives.
The largest loan in the pool is the Mall of Louisiana (40.3%),
which is a regional enclosed mall in Baton Rouge, LA. The
collateral includes 641,150 sf of a 1.4 million sf mall with
non-collateral anchors: Dillard's, Macy's, JCPenney, and Sears. As
of YE 2015, occupancy was 98% with NOI DSCR of 3.18x. The revenue
from the lifestyle component expansion, which was under
construction at issuance, was not included at underwriting, but has
substantially increased in-place revenue. The loan has a maturity
in October 2017.
RATING SENSITIVITIES
The distressed classes (those rated below 'B') may be subject to
further downgrades as additional losses are realized. Upgrades are
not likely as the remaining pool is adversely selected and has high
concentration of assets in special servicing; however, future
upgrades may be possible with greater clarity surrounding the
resolution of the Gateway One asset.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch has downgraded this class:
-- $56 million class B to 'Csf' from 'CCsf'; RE 0%.
Fitch has affirmed these classes:
-- $169.2 million class A-J at 'CCCsf'; RE 100%;
-- $22 million class C at 'Dsf'; RE 0%.
-- $0 class class D at 'Dsf'; RE 0%;
-- $0 class class E at 'Dsf'; RE 0%;
-- $0 class class F at 'Dsf'; RE 0%;
-- $0 class class G at 'Dsf'; RE 0%;
-- $0 class class H at 'Dsf'; RE 0%;
-- $0 class class J at 'Dsf'; RE 0%;
-- $0 class 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, A-3, A-3B, A-SB, A-4, A-1A and A-M certificates
have paid in full. Fitch does not rate the class Q certificates.
Fitch previously withdrew the rating on the interest-only class X
certificates.
MERRILL LYNCH 2007-CANADA 23: S&P Affirms BB+ Rating on Cl. F Certs
-------------------------------------------------------------------
S&P Global Ratings raised its ratings on three classes of
commercial mortgage pass-through certificates from Merrill Lynch
Financial Assets Inc.'s series 2007-Canada 23, a Canadian
commercial mortgage-backed securities (CMBS) transaction. In
addition, S&P affirmed its ratings on 13 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 raised its ratings on classes C, E-1, and E-2 to reflect its
expectation of the available credit enhancement for these classes,
which S&P believes is greater than its most recent estimate of
necessary credit enhancement for the respective rating levels. The
upgrades also follow S&P's views regarding the collateral's current
and future performance and available liquidity support.
The affirmations on the 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. The affirmations
also reflect S&P's views regarding the collateral's current and
future performance, the transaction structure, and liquidity
support available to the classes.
S&P affirmed its 'AAA (sf)' rating on the class XC interest-only
(IO) certificates based on S&P's criteria for rating IO
securities.
TRANSACTION SUMMARY
As of the July 12, 2016, trustee remittance report, the collateral
pool balance was C$258.3 million, which is 60.8% of the pool
balance at issuance and 91.3% of the balance since S&P's last
review. The pool currently includes 28 loans (reflecting crossed
loans), down from 51 loans at issuance. No loans are with the
special servicer, Midland Loan Services. Six (C$52.1 million,
20.2%) are defeased and eight (C$45.9 million, 17.8%) are on the
master servicer's watchlist. The master servicer, also Midland
Loan Services, reported financial information for 85.3% of the
nondefeased loans in the pool, of which 68.3% was year-end 2015
data, and the remainder was partial-year 2015 or year-end 2014
data.
S&P calculated a 1.40x S&P Global Ratings weighted average debt
service coverage (DSC) and 73.7% S&P Global Ratings weighted
average loan-to-value (LTV) ratio using an 8.35% S&P Global Ratings
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the six defeased loans.
The top 10 nondefeased loans have an aggregate outstanding pool
trust balance of C$170.6 million (66.0%). Using servicer-reported
numbers, S&P calculated an S&P Global Ratings weighted average DSC
and LTV of 1.39x and 74.4%, respectively, for the top 10
nondefeased loans. To date, the transaction has not experienced
any principal losses.
RATINGS LIST
Merrill Lynch Financial Assets Inc.
Commercial mortgage pass-through certificates series 2007-Canada
23
Rating
Class Identifier To From
A-2 59022BNH4 AAA (sf) AAA (sf)
A-3 59022BNJ0 AAA (sf) AAA (sf)
A-J 59022BNK7 AAA (sf) AAA (sf)
B 59022BNM3 AA+ (sf) AA+ (sf)
C 59022BNN1 AA- (sf) A+ (sf)
D-1 59022BNP6 BBB+ (sf) BBB+ (sf)
D-2 59022BNR2 BBB+ (sf) BBB+ (sf)
E-1 59022BNQ4 BBB (sf) BBB- (sf)
E-2 59022BNS0 BBB (sf) BBB- (sf)
F 59022BNT8 BB+ (sf) BB+ (sf)
G 59022BNU5 BB (sf) BB (sf)
H 59022BNV3 BB- (sf) BB- (sf)
J 59022BNW1 B+ (sf) B+ (sf)
K 59022BNX9 B (sf) B (sf)
L 59022BNY7 B- (sf) B- (sf)
XC 59022BPB5 AAA (sf) AAA (sf)
MORGAN STANLEY 2004-SD2: Moody's Cuts Cl. M-1 Debt Rating to Ba3
----------------------------------------------------------------
Moody's Investors Service has downgraded the rating of one tranche
from one deal backed by "scratch and dent" RMBS loans.
Complete rating actions are:
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-SD2
Cl. M-1, Downgraded to Ba3 (sf); previously on June 21, 2012,
Downgraded to Baa3 (sf)
RATINGS RATIONALE
The action is a result of the recent performance of the underlying
pool and reflects Moody's updated loss expectations on the pool.
The rating downgraded is primarily a result of decrease in 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 4.9% 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 2016-UBS11: Fitch to Rate Class F Debt 'B-sf'
------------------------------------------------------------
Fitch Ratings has issued a presale report for Morgan Stanley
Capital I Trust 2016-UBS11 Commercial Mortgage Pass-Through
Certificates.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $42,100,000 class A-1 'AAAsf'; Outlook Stable;
-- $60,300,000 class A-2 'AAAsf'; Outlook Stable;
-- $55,900,000 class A-SB 'AAAsf'; Outlook Stable;
-- $170,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $175,531,000 class A-4 'AAAsf'; Outlook Stable;
-- $503,831,000a class X-A 'AAAsf'; Outlook Stable;
-- $128,657,000a class X-B 'A-sf'; Outlook Stable;
-- $60,280,000 class A-S 'AAAsf'; Outlook Stable;
-- $34,189,000 class B 'AA-sf'; Outlook Stable;
-- $34,188,000 class C 'A-sf'; Outlook Stable;
-- $36,888,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $17,994,000ab class X-E 'BB-sf'; Outlook Stable;
-- $7,198,000ab class X-F 'B-sf'; Outlook Stable;
-- $36,888,000b class D 'BBB-sf'; Outlook Stable;
-- $17,994,000b class E 'BB-sf'; Outlook Stable;
-- $7,198,000b class F 'B-sf'; Outlook Stable.
(a) Notional amount and interest-only.
(b) Privately placed and pursuant to Rule 144A.
The expected ratings are based on information provided by the
issuer as of Aug. 5, 2016. Fitch does not expect to rate the
$25,191,662 class X-G or the $25,191,662 class G.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 38 loans secured by 75
commercial properties having an aggregate principal balance of
approximately $719.8 million as of the cut-off date. The loans were
contributed to the trust by UBS Real Estate Securities, Inc.,
KeyBank National Association, Natixis Real Estate Capital LLC, and
Morgan Stanley Mortgage Capital Holdings LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 79.4% of the properties
by balance, cash flow analysis of 89.9%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Low Fitch Leverage: The pool's leverage statistics are lower than
those of other recent Fitch-rated, fixed-rate multiborrower
transactions. The pool's Fitch DSCR and Fitch LTV of 1.30x and
99.8%, respectively, are better than the YTD 2016 average Fitch
DSCR and Fitch LTV of 1.16x and 107.5%, respectively. Excluding the
credit-opinion loan, the pool's Fitch DSCR and Fitch LTV is 1.29x
and 103.7%, respectively.
High Pool Concentration: The top 10 loans comprise 65.6% of the
pool, which is greater than the YTD 2016 average of 54.6% and the
2015 average of 49.3%. The pool's loan concentration index (LCI) is
553, which is greater than the YTD 2016 and the 2015 averages of
420 and 367, respectively.
High Lodging Exposure: Approximately 36.0% of the pool by balance,
including eight of the top 20 loans, is comprised of hotel
properties. Hotel concentration in the pool is greater than the YTD
2016 and 2015 averages of 16.3% and 17.0%, respectively. Two of the
top 10 loans, 132 West 27th Street (9.5% of the pool) and Fairfield
Inn Time Square Fee (6.8% of the pool), are classified as hotels
but are collateralized by a net lease and leased fee interest,
respectively. Excluding these two loans, the hotel concentration is
19.7%, which is higher than the YTD 2016 and 2015 averages,
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 20.5% below
the most recent year's net operating income (NOI; for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period). Unanticipated further
declines in property-level NCF could result in higher defaults and
loss severities on defaulted loans, and could result in potential
rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to MSC
2016-UBS11 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 senior 'AAAsf' certificates to 'Asf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the senior 'AAAsf' certificates to 'BBB+sf'
could result. The presale report includes a detailed explanation of
additional stresses and sensitivities on page 11.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
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.
MOUNTAIN VIEW CLO III: Moody's Raises Rating on Cl. E Notes to Ba1
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Moody's Investors Service has upgraded the ratings on these notes
issued by Mountain View CLO III Ltd.:
$24,000,000 Class D Floating Rate Deferrable Notes, Due April,
2021, Upgraded to A1 (sf); previously on April 1, 2016,
Upgraded to A3 (sf)
$14,000,000 Class E Floating Rate Deferrable Notes, Due April,
2021, Upgraded to Ba1 (sf); previously on April 1, 2016,
Upgraded to Ba2 (sf)
Moody's also affirmed the ratings on these notes:
$299,700,000 Class A-1 Floating Rate Notes, Due April, 2021
(current outstanding balance of $55,107,154), Affirmed
Aaa (sf); previously on April 1, 2016, Affirmed Aaa (sf)
$75,000,000 Class A-2 Floating Rate Notes, Due April, 2021,
Affirmed Aaa (sf); previously on April 1, 2016, Affirmed
Aaa (sf)
$25,000,000 Class B Floating Rate Notes, Due April, 2021,
Affirmed Aaa (sf); previously on April 1, 2016, Affirmed
Aaa (sf)
$31,000,000 Class C Floating Rate Deferrable Notes, Due April,
2021, Affirmed Aaa (sf); previously on April 1, 2016, Upgraded
to Aaa (sf)
Mountain View CLO III Ltd., issued in May 2007, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans. The transaction's reinvestment period ended in
April 2014.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since April 2016. The Class A-1
notes have been paid down by approximately 61.6% or $88.2 million
since then. Based on Moody's calculations, the OC ratios for the
Class A/B, C, D and E notes are 155.6%, 129.7%, 114.9%, and 107.7%,
respectively, versus April 2016 levels of 135.6%, 120.3%, 110.6%,
and 105.6%, respectively. The deal currently holds approximately
$85.6 million of principal proceeds which, if not reinvested, will
be paid to the Class A-1 and A-2 notes on the next payment date in
October 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/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) Post-Reinvestment Period Trading: Subject to certain
requirements, the deal can reinvest certain proceeds after
the end of the reinvestment period, and as such the manager
has the ability to erode some of the collateral quality
metrics to the covenant levels. Such reinvestment could
affect the transaction either positively or negatively.
Moody's notes that the deal currently holds $85.6 million of
principal proceeds as of the July 2016 trustee report. In
its analysis, Moody's considered additional scenarios of
reinvesting various portions of principal proceeds into
eligible assets.
7) Higher-than-average exposure to assets with weak liquidity:
The presence of assets with the worst Moody's speculative
grade liquidity (SGL) rating, or SGL-4, exposes the notes to
additional risks if these assets default. The historical
default rate is far higher for companies with SGL-4 ratings
than those with other SGL ratings. Due to the deal's high
exposure to SGL-4 rated assets, which constitute around
$8.3 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% (2022)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: 0
Class D: +2
Class E: +2
Moody's Adjusted WARF + 20% (3034)
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 $239.6 million, defaulted par
of $11.7 million, a weighted average default probability of 9.8%
(implying a WARF of 2528), a weighted average recovery rate upon
default of 50.66%, a diversity score of 28 and a weighted average
spread of 3.23% (before accounting for LIBOR Floors).
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of the
assets in the collateral pool. Moody's generally applies recovery
rates for CLO securities as published in "Moody's Approach to
Rating SF CDOs". In some cases, alternative recovery assumptions
may be considered based on the specifics of the analysis of the CLO
transaction. In each case, historical and market performance and
the collateral manager's latitude for trading the collateral are
also factors.
NEWSTAR COMMERCIAL 2007-1: Fitch Affirms BB Rating on Cl. E Notes
-----------------------------------------------------------------
Fitch Ratings has upgraded one and affirmed five classes of notes
issued by Newstar Commercial Loan Trust 2007-1. Fitch has also
revised the Outlooks on two classes of notes.
KEY RATING DRIVERS
The affirmations and upgrade on the class C notes are the result of
increased credit enhancement levels due to the significant
amortization of the capital structure and the cushions available in
Fitch's cash flow modeling results, tempered by the growing
concentration risks of the amortizing portfolio.
As of the June 2016 trustee report, approximately 98% of the class
A-1 and class A-2 (collectively, class A) notes' original balance
has been paid and $7.9 million of class A notes remain outstanding.
However, the portfolio has experienced credit deterioration,
charging off approximately $1.9 million and $5.5 million in May and
June, respectively, totaling $7.4 million. Fitch currently
considers 38.2% of the total commitments (excluding charge-offs and
principal cash) in the 'CCC' category, as compared to 13.2% in the
last review, based on Fitch's Issuer Default rating (IDR)
Equivalency Map. In addition, approximately 68.3% of the portfolio
has strong recovery prospects or a Fitch assigned Recovery Rating
of 'RR2' or higher. There are currently 38 obligors in the loan
portfolio, compared to 61 obligors at last review.
The notes for NewStar 2007-1 benefited from the application of
excess spread via the additional principal amount (APA). For every
dollar that is charged off of the performing portfolio, the APA
feature directs recoveries from charged-off loans and excess
interest proceeds otherwise available to the certificate holders to
pay down the senior-most notes in an amount equal to the
charged-off amount. The class E notes deferred $176 thousand of
interest payments on the May 2016 payment date due to the diversion
of $1.9 million of interest proceeds to pay the APA. Fitch expects
the class E notes to continue to defer interest as the APA has
increased by $5.5 million for the next payment date.
This review was conducted under the framework described in the
report 'Global Rating Criteria for CLOs and Corporate CDOs' using
the Portfolio Credit Model (PCM) for projecting future default and
recovery levels for the underlying portfolio. These default and
recovery levels were then utilized in Fitch's cash flow model under
various default timing and interest rate stress scenarios. The cash
flow model was customized to reflect the CLO's structural features.
The Negative Outlook for the class E notes reflects the notes'
increased sensitivities to the portfolio's growing concentration
risks, based on Fitch's cash flow modeling results. The Stable
Outlooks on all other notes reflect the notes' robust cushions
available to withstand future potential deterioration in the
underlying portfolio.
RATING SENSITIVITIES
The ratings of the notes may be sensitive to the following: asset
defaults, significant negative credit migration, lower than
historically observed recoveries for defaulted assets, and breaches
of concentration limitations or portfolio quality covenants.
In order to address the increasing concentration risks of the
amortizing portfolio, Fitch analyzed the current portfolio assuming
a combined stress of increased default probabilities, lower
recovery assumptions and higher correlation by applying a default
multiplier of 125% to the default probability of each obligor, 75%
multiplier (i.e. 25% haircut) on loan-level recovery rates and 2x
base correlation for the country, respectively, in PCM. To address
the risk of a decreased weighted average spread (WAS), Fitch ran an
additional stress, assuming a minimum covenanted WAS of 3.80%,
without LIBOR floors. As a result, the class A, B and C notes are
able to perform at or above their current ratings in both
scenarios, while the class D notes showed some sensitivity towards
declining spread assumptions. The class E notes performed at
rating levels below their current rating category in both
sensitivity scenarios.
NewStar 2007-1 is a collateralized debt obligation (CDO) that
closed on June 5, 2007 and is managed by NewStar Financial, Inc.
(NewStar). The transaction's reinvestment period ended in May
2013, and its final legal maturity date is in September 2022.
NewStar 2007-1 is secured by a portfolio composed of 96.2%
corporate loans, primarily to middle-market issuers, and 3.8% CLO
bonds, based on the total commitment amounts. Fitch's leveraged
finance group provided model-based credit opinions for a majority
of the loans in the portfolio, based on financial statements
provided to Fitch by NewStar.
DUE DILIGENCE USAGE
No third party due diligence was reviewed in relation to this
rating action.
Fitch has upgraded and revised the Rating Outlook for this:
-- $58,500,000 class C notes to 'AAsf' from 'Asf'; Outlook
revised from Positive to Stable.
Fitch has affirmed and revised the Rating Outlook for these:
-- $6,038,654 class A-1 notes at 'AAAsf'; Outlook Stable;
-- $1,899,611 class A-2 notes at 'AAAsf'; Outlook Stable;
-- $24,000,000 class B notes at 'AAAsf'; Outlook Stable;
-- $27,000,000 class D notes at 'BBB+sf'; Outlook Stable;
-- $29,100,000 class E notes at 'BBsf'; Outlook revised from
Stable to Negative.
Fitch does not rate the class F notes.
OCTAGON INVESTMENT XVI: S&P Affirms BB Rating on Class E Notes
--------------------------------------------------------------
S&P Global Ratings raised its ratings on the class B-1, B-2, C-1,
and C-2 notes and affirmed its ratings on the class A, D, E, and F
notes from Octagon Investment Partners XVI Ltd., a U.S.
collateralized loan obligation (CLO) transaction that closed in
2013 and is managed by Octagon Credit Investors LLC.
The rating actions follow S&P's review of the transaction's
performance, using data from the July 8, 2016, trustee report. The
transaction is scheduled to remain in its reinvestment period until
July 2017.
The upgrades primarily reflect credit quality improvement in the
underlying collateral since S&P's effective date rating
affirmations in November 2013.
Portfolio collateral with an S&P Global Ratings' credit rating of
'BB-' or higher has increased significantly from the August 2013
effective date report, which S&P used for its November 2013 rating
actions. The collateral manager's purchase of this higher-rated
collateral has caused the portfolio's weighted average rating to
rise to 'B+' from 'B'. The transaction has seen a corresponding
increase in the trustee-reported weighted average S&P Global
Ratings recovery rate over the same time period.
The transaction has also benefited from collateral seasoning, with
the reported weighted average life decreasing to 4.70 years in July
2016 from 5.62 years in August 2013. This seasoning, combined with
the improved credit quality, has decreased the overall credit risk
profile. In addition, the number of issuers in the portfolio has
increased during this period as a result of increased portfolio
diversification.
The transaction has experienced an increase in both defaults and
assets rated 'CCC+' and below since the August 2013 effective date
report. Specifically, the amount of defaulted assets increased to
$7.59 million as of July 2016, from zero reported as of the
effective date report. The reported par balance of assets rated
'CCC+' and below increased to $11.17 million from $2.50 million
over the same period.
The increase in defaulted assets, as well as a loss in total par,
has affected the level of credit support available to all tranches,
as seen by the mild decline in the overcollateralization (O/C)
ratios in July 2016 compared with the August 2013 effective date
report:
-- The class A/B O/C ratio was 132.90%, down from 135.07%.
-- The class C O/C ratio was 120.72%, down from 122.69%.
-- The class D O/C ratio was 113.24%, down from 115.09%.
-- The class E O/C ratio was 107.45%, down from 109.20%.
However, the current coverage test ratios are all passing and
well-above their minimum threshold values. Overall, the increase
in defaulted assets and assets rated 'CCC+' and below has been
largely offset by the decline in the collateral portfolio's
weighted average life and positive credit migration.
Although S&P's cash flow analysis indicated higher ratings for the
class D and E notes than the rating action suggests, S&P's rating
actions considers the increase in the defaults and decline in the
credit support available to the notes. In addition, the ratings
reflect additional sensitivity runs that allowed for volatility in
the underlying portfolio given that the transaction is still in its
reinvestment period.
The affirmations of the ratings on the class A, D, E, and F notes
reflect S&P's belief that the credit support available is
commensurate with the current rating levels.
There have been no paydowns to the rated notes since the time of
S&P's last rating actions.
S&P's review of the transaction relied, in part, upon a criteria
interpretation with respect to its May 2014 criteria, "CDOs:
Mapping A Third Party's Internal Credit Scoring System To Standard
& Poor's Global Rating Scale," which allows S&P to use a limited
number of public ratings from other Nationally Recognized
Statistical Rating Organizations (NRSROs) to assess the credit
quality of assets not rated by S&P Global Ratings. The criteria
provide specific guidance for the treatment of corporate assets not
rated by S&P Global Ratings, while the interpretation outlines the
treatment of securitized assets.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with S&P's criteria, its cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest and/or
ultimate principal to each of the rated tranches. The results of
the cash flow analysis demonstrated, in S&P's view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with 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 will take rating actions as S&P
deems necessary.
RATINGS RAISED
Octagon Investment Partners XVI Ltd.
Rating
Class 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)
RATINGS AFFIRMED
Octagon Investment Partners XVI Ltd.
Class Rating
A AAA (sf)
D BBB (sf)
E BB (sf)
F B (sf)
OHA LOAN 2013-1: S&P Affirms 'B' Rating on Class F Notes
--------------------------------------------------------
S&P Global Ratings raised its ratings on the class B-1, B-2, C, and
D notes and affirmed its ratings on the class A, E, and F notes
from OHA Loan Funding 2013-1 Ltd., a U.S. collateralized loan
obligation (CLO) transaction that closed in July 2013 and is
managed by Oak Hill Advisors L.P.
The rating actions follow S&P's review of the transaction's
performance using data from the July 1, 2016, trustee report. The
transaction is scheduled to remain in its reinvestment period until
July 2017, and S&P anticipates that the manager will continue to
reinvest principal proceeds in line with the transaction
documents.
The upgrades primarily reflect credit quality improvement in the
underlying collateral since S&P's November 2013 effective date
rating affirmations. The transaction has also benefited from
collateral seasoning, with the reported weighted average life
decreasing to 4.77 years from 5.31 years as of the effective date.
Because time horizon factors heavily into default probability, a
shorter weighted average life positively affects the collateral
pool's creditworthiness. This seasoning, combined with the
improved credit quality, has decreased the overall credit risk
profile, which, in turn, provided more cushion to the tranche
ratings.
Although there has been a modest increase in defaulted assets and
assets rated in the 'CCC' category, these factors are largely
offset by the reduced weighted average life and positive credit
migration of the collateral portfolio. Additionally, the total
percentage of assets in the 'CCC' category and the amount of
exposure to the energy sector does not appear to be placing
excessive stress on the transaction at this time.
According to the June 2016 trustee report, each class'
overcollateralization (O/C) ratio has increased slightly since
S&P's July 2013 rating affirmation:
-- The class A/B O/C ratio increased to 133.23% from 133.19%.
-- The class C O/C ratio increased to 123.33% from 123.29%.
-- The class D O/C ratio increased to 115.73% from 115.69%.
-- The class E O/C ratio increased to 109.72% from 109.69%.
Although S&P's cash flow analysis indicated higher ratings for the
class C, D, and E notes, its rating actions took into account
additional sensitivity runs that considered the exposure to
specific distressed industries and allowed for volatility in the
underlying portfolio given that the transaction is still in its
reinvestment period.
The affirmations of the ratings on the class A, E, and F notes
reflect S&P's belief that the credit support available is
commensurate with the current rating levels.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with S&P's criteria, its cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest and/or
ultimate principal to each of the rated tranches. The results of
the cash flow analysis demonstrated, in S&P's view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with 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 necessary.
RATINGS RAISED
OHA Loan Funding 2013-1 Ltd.
Rating
Class To From
B-1 AA+ (sf) AA (sf)
B-2 AA+ (sf) AA (sf)
C A+ (sf) A (sf)
D BBB+ (sf) BBB (sf)
RATINGS AFFIRMED
OHA Loan Funding 2013-1 Ltd.
Class Rating
A AAA (sf)
E BB (sf)
F B (sf)
PRUDENTIAL SECURITIES 1999-C2: Moody's Ups Cl. N Debt Rating to B3
------------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class and
affirmed the ratings on two classes in Prudential Securities
Secured Financing Corp., Commercial Mortgage Pass-Through
Certificates, Series 1999-C2 as follows:
Cl. N, Upgraded to B3 (sf); previously on Sep 25, 2015 Affirmed
Caa3 (sf)
Cl. A-EC, Affirmed Caa3 (sf); previously on Sep 25, 2015 Downgraded
to Caa3 (sf)
Cl. A-EC2, Affirmed Caa3 (sf); previously on Sep 25, 2015
Downgraded to Caa3 (sf)
RATINGS RATIONALE
The rating on Class N 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 the IO classes, Classs A-EC and A-EC2, were affirmed
based on the credit performance (or the weighted average rating
factor or WARF) of the referenced classes.
Moody's rating action reflects a base expected loss of 0.1% of the
current balance, compared to 0.4% 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, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
DEAL PERFORMANCE
As of the July 15, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $15.4 million
from $869 million at securitization. The certificates are
collateralized by ten mortgage loans. Two loans, constituting 36.8%
of the pool, have defeased and are secured by US government
securities.
Seventeen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $17 million (for an average loss
severity of 15%).
No loans are currently on the master servicer's watchlist and there
are currently no loans in special servicing.
Moody's received full year 2015 operating results for 100% of the
pool, and partial year 2016 operating results for 100% of the pool.
Moody's weighted average conduit LTV is 50%, compared to 51% 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 10.1%.
Moody's actual and stressed conduit DSCRs are 1.71X and 3.77X,
respectively, compared to 1.45X and 3.46X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 38.5% of the pool balance.
The largest loan is the Office Depot Tallahassee Loan ($2.3 million
-- 15% of the pool), which is secured by a free standing Office
Depot in Tallahassee, Florida. The lease was recently extended
through June 2025. Moody's LTV and stressed DSCR are 77% and 1.40X,
respectively, compared to 80% and 1.35X at the last review.
The second largest loan is the Office Depot Ormond Beach Loan ($1.9
million -- 12.6% of the pool), which is secured by a free standing
Office Depot in Ormond Beach, Florida. The lease was recently
extended through June 2025. Moody's LTV and stressed DSCR are 78%
and 1.39X, respectively, compared to 81% and 1.34X at the last
review.
The third largest loan is The Sunplace Apartments Loan ($1.7
million -- 10.9% of the pool), which is secured by a 483 unit
apartment complex in Phoenix, Arizona, immediately north of
Interstate 10 and approximately six miles west of downtown Phoenix.
The property was 96% leased as of November 2015, compared to 86% as
of November 2014, and 73% as of November 2013. Property performance
continues to improve due to an increase in total revenue. Moody's
LTV and stressed DSCR are 14% and greater than 4.00X, respectively,
compared to 27% and 3.84X at the last review.
SACO TRUST 2005-WM3: Moody's Hikes Ratings on 2 Tranches to B3
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of two tranches
issued from SACO I Trust 2005-WM3, a deal backed by second-lien
RMBS loans.
Complete rating actions are as follows:
Issuer: SACO I Trust 2005-WM3
Cl. A-1, Upgraded to B3 (sf); previously on Dec 14, 2015 Upgraded
to Caa2 (sf)
Cl. A-3, Upgraded to B3 (sf); previously on Dec 14, 2015 Upgraded
to Caa2 (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 pool and Moody's updated loss
expectations on the pool.
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.
SDART 2015-4: Fitch Affirms BB Rating on Class E Notes
------------------------------------------------------
As part of its ongoing surveillance, Fitch Ratings has affirmed
Santander Drive Auto Receivables Trust (SDART) 2015-4 transaction
as:
-- Class A-2-A at 'AAAsf'; Outlook Stable;
-- Class A-2-B at 'AAAsf'; Outlook Stable;
-- Class A-3 at 'AAAsf'; Outlook Stable;
-- Class B at 'AAsf'; Outlook revised to Positive from Stable;
-- Class C at 'Asf'; Outlook revised to Positive from Stable;
-- Class D at 'BBBsf'; Outlook revised to Positive from Stable;
-- Class E at 'BBsf'; Outlook revised to Positive from Stable.
KEY RATING DRIVERS
The affirmations on the outstanding notes reflect loss coverage
levels consistent with current ratings. The transactions have
performed within Fitch's cumulative net loss expectations to date.
The Positive Outlooks placed on the subordinate notes are the
result of increased loss coverage available to the notes. Due to
better-than-expected performance, Fitch has adjusted its loss proxy
for 2015-4 to 15% from 17.25%.
The ratings reflect the quality of Santander Consumer USA's (SC)
retail auto loan originations, the sound financial and legal
structure of the transaction, and the strength of the servicing
provided by SC.
RATING SENSITIVITIES
Unanticipated increases in the frequency of defaults and loss
severity could produce loss levels higher than the current
projected base case loss proxy and impact available loss coverage
and multiples levels for the transaction. Lower loss coverage
could impact ratings and Rating Outlooks, depending on the extent
of the decline in coverage.
In Fitch's initial review of the transactions, the notes were found
to have limited sensitivity to a 1.5x and 2.5x increase of Fitch's
base case loss expectations. To date, the transactions have
exhibited strong performance with losses well within Fitch's
initial expectations, with rising loss coverage and multiple
levels. As such, a material deterioration in performance would
have to occur within the asset pools to have potential negative
impact on the outstanding ratings.
SLM PRIVATE 2003-B: Fitch Affirms 'CCCsf' Rating on Cl. C Debt
--------------------------------------------------------------
Fitch Ratings affirms all ratings of the outstanding student loan
notes issued by SLM Private Credit Student Loan Trust 2003-B (SLM
2003-B) as follows:
-- Class A-2 at 'A-sf'; Revised to Outlook Stable from
Negative;
-- Class A-3 at 'A-sf'; Revised to Outlook Stable from
Negative;
-- Class A-4 at 'A-sf'; Revised to Outlook Stable from
Negative;
-- Class B at 'BBsf'; Revised to Outlook Stable from Negative;
-- Class C at 'CCCsf'; Recovery Estimate (RE) revised to 30%
from 15%.
The Rating Outlook for class A and class B bonds has been revised
to Stable from Negative based upon the stabilized performance, and
improved outlook based on Fitch's projection of the trust's future
performance.
KEY RATING DRIVERS
Adequate Collateral Quality: The trust is collateralized by
approximately $335.8 million of private student loans originated by
Navient Corp. under the Signature Education Loan Program, LAWLOANS
program, MBA Loans program, and MEDLOANS program. The projected
remaining defaults are expected to range between 8%-11% as of
current principal balance. A recovery rate of 13% was assumed in
Fitch's cash flow analysis.
Sufficient Credit Enhancement (CE): CE is provided by excess
spread, and the senior class A and class B notes benefit from
subordination provided by the junior notes. As of the June 15, 2016
distribution, the senior, subordinate and total parity ratios are
118.74%, 112.30%, and 94.93%, respectively, compared to 118.58%,
111.54%, and 96.02% for the same time last year.
Adequate Liquidity Support: Liquidity support is provided by a
reserve account sized at approximately $3.12 million.
Satisfactory Servicing Capabilities: Day-to-day servicing is
provided by Navient Solutions Inc., which has demonstrated
satisfactory servicing capabilities.
Under Fitch's 'Counterparty Criteria for Structured Finance and
Covered Bonds', dated June 18, 2016, Fitch looks to its own ratings
in analysing counterparty risk and assessing a counterparty's
creditworthiness. The definition of permitted investments for this
deal allows for the possibility of using investments not rated by
Fitch, which represents a criteria variation. Fitch doesn't believe
such variation has a measurable impact upon the ratings assigned.
Under Fitch's 'Counterparty Criteria for Structured Finance and
Covered Bonds', dated July 18, 2016, the transaction's swap
documents do not address the replacement of the swap counterparty
when the counterparty rating is downgraded below 'BBB+' or 'F2',
which represents a criteria variation. Given the transaction's
basis risk swaps, Fitch considers the counterparty exposure to be
immaterial; therefore, Fitch doesn't believe it has a measurable
impact on the ratings assigned.
RATING SENSITIVITIES
As Fitch's base case default proxy is derived primarily from
historical collateral performance, actual performance may differ
from the expected performance, resulting in higher loss levels than
the base case. This will result in a decline in CE and remaining
loss coverage levels available to the notes and may make certain
note ratings susceptible to potential negative rating actions,
depending on the extent of the decline in coverage. Fitch will
continue to monitor the performance of the trust.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
SLM PRIVATE 2003-C: Fitch Affirms 'BBsf' Rating on Class B Debt
---------------------------------------------------------------
Fitch Ratings affirms all ratings of the outstanding student loan
notes issued by SLM Private Credit Student Loan Trust 2003-C (SLM
2003-C) as follows:
-- Class A-2 at 'A-sf'; Outlook revised to Stable from
Negative;
-- Class A-3 at 'A-sf'; Outlook revised to Stable from
Negative;
-- Class A-4 at 'A-sf'; Outlook revised to Stable from
Negative;
-- Class A-5 at 'A-sf'; Outlook revised to Stable from
Negative;
-- Class B at 'BBsf'; Outlook revised to Stable from Negative;
-- Class C at 'CCCsf'; Recovery Estimated (RE) revised to 30%
from 10%.
The Rating Outlooks for the class A and class B bonds has been
revised to Stable from Negative based upon the stabilized
performance and improved outlook based on Fitch's projection of the
trust's future performance.
KEY RATING DRIVERS
Adequate Collateral Quality: The trust is collateralized by
approximately $351.68 million of private student loans originated
by Navient Corp. under the Signature Education Loan Program,
LAWLOANS program, MBA Loans program, and MEDLOANS program. The
projected remaining defaults are expected to range between 8%-11%
as of current principal balance. A recovery rate of 13% was assumed
in Fitch's cash flow analysis.
Sufficient Credit Enhancement (CE): CE is provided by excess
spread, and the senior class A and class B notes benefits from
subordination provided by the junior notes. As of the June 15, 2016
distribution, the senior, subordinate and total parity ratios are
118.69%, 112.09%, and 94.19% respectively, compared to 118.54%,
110.68%, and 95.34% respectively for the same time last year
Adequate Liquidity Support: Liquidity support is provided by a
reserve account sized at approximately $3.12 million.
Satisfactory Servicing Capabilities: Day-to-day servicing is
provided by Navient Solutions Inc., which has demonstrated
satisfactory servicing capabilities.
Under Fitch's 'Counterparty Criteria for Structured Finance and
Covered Bonds', dated June 18, 2016, Fitch looks to its own ratings
in analysing counterparty risk and assessing a counterparty's
creditworthiness. The definition of permitted investments for this
deal allows for the possibility of using investments not rated by
Fitch, which represents a criteria variation. Fitch doesn't believe
such variation has a measurable impact upon the ratings assigned.
Under Fitch's 'Counterparty Criteria for Structured Finance and
Covered Bonds', dated July 18, 2016, the transaction's swap
documents do not address the replacement of the swap counterparty
when the counterparty rating is downgraded below 'BBB+' or 'F2',
which represents a criteria variation. Given the transaction's
basis risk swaps, Fitch considers the counterparty exposure to be
immaterial; therefore, Fitch doesn't believe it has a measurable
impact on the ratings assigned.
RATING SENSITIVITIES
As Fitch's base case default proxy is derived primarily from
historical collateral performance, actual performance may differ
from the expected performance, resulting in higher loss levels than
the base case. This will result in a decline in CE and remaining
loss coverage levels available to the notes and may make certain
note ratings susceptible to potential negative rating actions,
depending on the extent of the decline in coverage. Fitch will
continue to monitor the performance of the trust.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
SORIN REAL CDO IV: Moody's Affirms C Ratings on 4 Tranches
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on these notes
issued by Sorin Real Estate CDO IV Ltd.:
Cl. A-2, Upgraded to Aa3 (sf); previously on Aug. 6, 2015,
Upgraded to Baa3 (sf)
Cl. A-3, Upgraded to A3 (sf); previously on Aug. 6, 2015,
Upgraded to Ba2 (sf)
Cl. B, Upgraded to Baa3 (sf); previously on Aug. 6, 2015,
Upgraded to B2 (sf)
Moody's has also affirmed the ratings on these notes:
Cl. C, Affirmed Caa2 (sf); previously on Aug. 6, 2015, Upgraded
to Caa2 (sf)
Cl. D, Affirmed C (sf); previously on Aug. 6, 2015, Affirmed
C (sf)
Cl. E, Affirmed C (sf); previously on Aug. 6, 2015, Affirmed
C (sf)
Cl. F, Affirmed C (sf); previously on Aug. 6, 2015, Affirmed
C (sf)
Cl. G, Affirmed C (sf); previously on Aug. 6, 2015, Affirmed
C (sf)
RATINGS RATIONALE
Moody's has upgraded the ratings of three classes of notes due to
greater than anticipated recoveries on high credit risk collateral,
resulting in full amortization of Class A-1. Moody's has also
affirmed the ratings on five classes of notes because the key
transaction metrics are commensurate with the existing ratings.
The rating action is the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation
resecuritization (CRE CDO CLO) transactions.
Sorin RE CDO IV, Ltd. is a cash transaction whose reinvestment
period ended in October 2011. The transaction is backed by a
portfolio of: i) commercial mortgage backed securities (CMBS)
(59.4% of the pool balance); ii) bank loans (18.9%); iii) whole
loans and senior participations (16.5%); and iv) CRE CDO securities
(5.2%). As of the July 28, 2016 note valuation report, the
aggregate note balance of the transaction, including preferred
shares, has decreased to $157.9 million from $400.0 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, resolution and sales of
defaulted collateral, and the failing of certain par value tests.
In March 2016, Talmage LLC assumed the role of collateral manager
for the transaction from RE CDO Management LLC.
The pool contains three assets totaling $21.6 million (24.2% of the
collateral pool balance) that are listed as defaulted securities as
of the trustee's July 21, 2016 report. While there have been
moderate realized losses on the underlying collateral to date,
Moody's does expect significant losses to occur on the defaulted
securities.
Moody's has identified the following as key indicators of the
expected loss in CRE CLO transactions: the 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 CLO pool.
Moody's has updated its assessments for the collateral it does not
rate. The rating agency modeled a bottom-dollar WARF of 3456,
compared to 3360 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 (0.0% compared to 7.9% at last
review); A1-A3 (43.0% compared to 25.7% at last review), Ba1-Ba3
(0.0% compared to 4.2% at last review); B1-B3 (16.4% compared to
41.0% at last review); and Caa1-Ca/C (40.6% compared to 21.2% at
last review).
Moody's modeled a WAL of 1.3 years, compared to 1.2 years. The WAL
is based on assumptions about extensions on the underlying
collateral.
Moody's modeled a fixed WARR of 15.0%, compared to 18.6% at last
review.
Moody's modeled a MAC of 6.2%, compared to 6.9% 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 some of 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 rates of the underlying collateral and credit
assessments. Holding all other key parameters static, reducing the
recovery rates of 100% of the collateral pool by 10% would result
in an average modeled rating movement on the rated notes of zero to
two notches downward (e.g., one notch down implies a ratings
movement of Baa3 to Ba1). Increasing the recovery rate of 100% of
the collateral pool by 10% would result in an average modeled
rating movement on the rated notes of zero to one notch upward
(e.g., one notch up implies a ratings movement of Baa3 to Baa2).
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.
SOVEREIGN COMMERCIAL 2007-C1: Moody's Cuts X Debt Rating to Caa3
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three
classes, upgraded the rating on one class and downgraded the rating
on one class in Sovereign Commercial Mortgage Securities Trust,
Commercial Mortgage Pass-Through Certificates, Series 2007-C1 as
follows:
Cl. D, Upgraded to Baa1 (sf); previously on Sep 18, 2015 Upgraded
to Ba1 (sf)
Cl. E, Affirmed Caa3 (sf); previously on Sep 18, 2015 Affirmed Caa3
(sf)
Cl. F, Affirmed C (sf); previously on Sep 18, 2015 Affirmed C (sf)
Cl. G, Affirmed C (sf); previously on Sep 18, 2015 Affirmed C (sf)
Cl. X, Downgraded to Caa3 (sf); previously on Sep 18, 2015 Affirmed
Caa2 (sf)
RATINGS RATIONALE
The ratings on the P&I classes E, F and G were affirmed because the
ratings are consistent with Moody's expected loss.
The rating on the P&I class D was upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 27% 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 25.8% of the
current balance, compared to 12.4% at Moody's last review. Moody's
base expected loss plus realized losses is now 3.3% of the original
pooled balance, compared to 3.0% 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 July 22, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $31 million
from $1.01 billion at securitization. The certificates are
collateralized by 18 mortgage loans ranging in size from less than
1% to 39% of the pool, with the top ten loans constituting 91% of
the pool.
Eleven loans, constituting 45% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Twenty-seven loans have been liquidated from the pool, resulting in
an aggregate realized loss of $25 million (for an average loss
severity of 23%). Two loans, constituting 45% of the pool, are
currently in special servicing. The largest specially serviced loan
is the 6805 Perimeter Drive Loan ($12 million -- 39.2% of the
pool), which is secured by a 107,000 square foot (SF) office
property located in Dublin, Ohio, a suburb of Columbus. The
property is was previously 100% leased to a single tenant. However,
the tenant opted to not renew its lease and vacated at the
4/01/2016 expiration. The loan previously entered special servicing
in January 2014 for maturity default. The full-term interest-only
loan was modified with a two-year loan extension, resulting in an
April 2016 maturity date. The loan has since transferred to special
servicing in February 2016 for pending maturity default due to
borrower's claim it is unable to refinance the loan.
The remaining specially serviced loan is secured by a multifamily
property. Moody's estimates an aggregate $6.9 million loss for the
specially serviced loans (51% expected loss on average).
Moody's has assumed a high default probability for one poorly
performing loans, constituting 9% of the pool, and has estimated an
aggregate loss of $752,000 (a 28% expected loss based on a 75%
probability default) from this troubled loan.
Moody's received full year 2014 operating results for 94% of the
pool, and full or partial year 2015 operating results for 77% of
the pool. Moody's weighted average conduit LTV is 70%, compared to
84% 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 1.30X and 2.26X,
respectively, compared to 1.46X and 1.59X 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 30% of the pool balance. The
largest loan is the 299 Meserole Street Loan ($3.8 million -- 12.5%
of the pool), which is secured by a 37,000 SF industrial property
in the East Williamsburg neighborhood of Brooklyn, New York. The
property was 76% leased as of year-end 2015. The property underwent
extensive renovations in 2014, including replacement of HVAC units,
repair of roof damage, and sidewalk replacement. Moody's LTV and
stressed DSCR are 90% and 1.11X, respectively, compared to 115% and
0.87X at the last review.
The second largest loan is the 457 North Harrison Street Loan ($2.7
million -- 8.9% of the pool), which is secured by a 38,721-SF,
Class B office property located in Princeton, NJ. The property is
currently 100% leased to a single tenant, however the tenant has
not renewed the lease and will vacate the premises at lease
expiration in August 2016. Moody's has identified this as a
troubled loan.
The third largest loan is the 381 Bleecker Street Loan ($2.6
million -- 8.6% of the pool), which is secured by a 5,520 SF, or
5-unit, mixed-use building in New York City's West Village. The
property functions has an apartment building with store fronts on
the ground floor. This loan is due to mature in October 2016.
Moody's LTV and stressed DSCR are 117% and 0.81X, respectively,
compared to 121% and 0.78X at the last review.
STUDENT LOAN 2007-1: S&P Raises Rating on 2 Tranches to B
---------------------------------------------------------
S&P Global Ratings raised its ratings on the class 6-A-1 and 6-A-IO
certificates from Student Loan ABS Repackaging Trust Series 2007-1
to 'B' from 'B-'.
The ratings on the class 6-A-l and 6-A-IO certificates are
dependent on the lower of the rating on the underlying security,
transferable custody receipts (relating to NCF Grantor Trust 2005-3
series 2005-GT3's class A-5-1 certificates due in 2033 ('B (sf)')
and the rating on the swap counterparty, Deutsche Bank AG (New York
branch) (BBB+).
S&P's rating on the swap counterparty is based on the lower of the
long-term rating on Deutsche Bank AG, ('BBB+') and the long-term
foreign-currency rating on the U.S. ('AA+'), the jurisdiction where
the bank branch is located.
The rating actions follow the June 20, 2016, raising of S&P's
long-term rating on the underlying security. S&P may take
subsequent rating actions on the certificates because of changes in
S&P's ratings on the underlying security or swap counterparty.
Student Loan ABS Repackaging Trust Series 2007-1
RATINGS RAISED
Class To From
6-A-1 B (sf) B- (sf)
6-A-IO B (sf) B- (sf)
TRALEE CLO II: S&P Affirms BB- Rating on Class E Notes
------------------------------------------------------
S&P Global Ratings raised its ratings on the class B-1, B-2, C, and
D notes and affirmed its ratings on the class A, E, and F notes
from Tralee CLO II Ltd., a U.S. collateralized loan obligation
(CLO) transaction that closed in March 2013 and is managed by
Par-Four Investment Management LLC.
The rating actions follow S&P's review of the transaction's
performance, using data from the July 6, 2016, trustee report. The
transaction is scheduled to remain in its reinvestment period until
March 2017.
The upgrades primarily reflect credit quality improvement since our
effective date rating affirmations in December 2013.
Collateral with an S&P Global Ratings' credit rating of 'BB-' or
higher has increased significantly from the August 2013 effective
date report used for S&P's previous review.
The transaction has also benefited from collateral seasoning, with
the reported weighted average life decreasing to 4.65 years from
5.75 years at the effective date. This seasoning, combined with
the improved credit quality, has decreased the overall credit risk
profile, which, in turn, provided more cushion to the tranche
ratings. In addition, the number of issuers in the portfolio has
increased during this period, and the resultant diversification of
the portfolio also contributed to the credit quality improvement.
Distressed collateral remains a low proportion of the total
portfolio, with defaulted collateral and assets rated 'CCC+' or
below representing 0% and 3.7% of the aggregate principal balance,
from 0% and 0.5%, respectively, in August 2013.
Although S&P's cash flow analysis indicated higher ratings for the
class C, D, E, and F notes, its rating actions consider additional
sensitivity runs that allowed for volatility in the underlying
portfolio given that the transaction is still in its reinvestment
period.
The affirmations of the ratings on the class A, E, and F notes
reflect S&P's belief that the credit support available is
commensurate with the current rating levels.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with S&P's criteria, its cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest and/or
ultimate principal to each of the rated tranches. The results of
the cash flow analysis demonstrated, in S&P's view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with 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 will take rating actions as S&P
deems necessary.
RATINGS RAISED
Tralee CLO II Ltd.
Rating
Class To From
B-1 AA+ (sf) AA (sf)
B-2 AA+ (sf) AA (sf)
C A+ (sf) A (sf)
D BBB+ (sf) BBB (sf)
RATINGS AFFIRMED
Tralee CLO II Ltd.
Class Rating
A AAA (sf)
E BB- (sf)
F B (sf)
TRINITAS CLO II: S&P Lowers Rating on Class F Notes to 'B-'
-----------------------------------------------------------
S&P Global Ratings lowered its rating on the class F notes and
removed it from CreditWatch with negative implications from
Trinitas CLO II Ltd., a U.S. collateralized loan obligation (CLO)
managed by Triumph Capital Advisors LLC. S&P also affirmed its
ratings on the class X, A-1, A-2, B-1, B-2, C, D, E, and
combination notes from the same transaction.
The rating actions follow S&P's review of the transaction's
performance using data from the July 5, 2016, trustee report.
The lowered rating reflects deteriorated credit quality of the
underlying portfolio and the decrease in credit support available
to the class F notes. The amount of 'CCC' assets held in the
portfolio has increased to $35.37 million as of the July 2016
trustee report from $8.93 million as of the October 2014 trustee
report that S&P used in its effective date analysis. The trustee
also reported an increase in defaulted assets to $8.41 million from
zero over the same time period.
The deteriorated credit quality among the underlying portfolio
combined with some par loss has led to these declines in the
trustee-reported overcollateralization (O/C) ratios compared with
October 2014:
-- The class A/B O/C ratio declined to 124.50% from 128.24%,
-- The class C O/C ratio declined to 116.31% from 119.80%,
-- The class D O/C ratio declined to 109.67% from 112.96%, and
-- The class E O/C ratio declined to 104.51% from 107.65%.
The interest diversion test, which measures the O/C level at class
F, has also declined since the effective date to 102.92% from
106.01%. In the event that this test is not satisfied during the
reinvestment period, the lesser of 50% of remaining interest
proceeds or the amount necessary to bring the test back into
compliance at the discretion of the manager will be deposited into
the principal proceeds collection account or to pay down the senior
notes according to the principal payment sequence.
S&P notes that the transaction has been structured such that the
class F notes do not have an O/C test and that this interest
diversion test will no longer be calculated after the transaction
exits its reinvestment period.
The cash flow results, on a standalone basis, showed the class F
notes were not passing at a 'B' rating level. At this time, the
lowered rating is limited to one notch as S&P do not feel that this
class represents our definition of 'CCC' risk. However, any
increase in defaults or par losses could lead to potential negative
rating actions in the future.
Also, S&P notes the cash flow results indicated higher ratings for
the class B-1, B-2, C, D, E, and combination notes. But S&P took
into account that the transaction is still in its reinvestment
period, which is not scheduled to end until July 2018, and that it
has not yet paid down any principal to the rated notes. Future
reinvestment activity could change some of the portfolio
characteristics.
The affirmed ratings reflect adequate credit support at the current
rating levels, though any further deterioration in the credit
support available to the notes could results in further ratings
changes.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with S&P's criteria, its cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults and recoveries upon default under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest and/or
ultimate principal to each of the rated tranches. The results of
the cash flow analysis demonstrated, in S&P's view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with this rating action.
S&P Global Ratings will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the credit
enhancement available to support them and take rating actions as it
deems necessary.
RATING LOWERED AND REMOVED FROM CREDITWATCH
Trinitas CLO II Ltd.
Rating
Class To From
F B- (sf) B (sf)/Watch Neg
RATINGS AFFIRMED
Trinitas CLO II Ltd.
Class Rating
A-1 AAA (sf)
A-2 AAA (sf)
B-1 AA (sf)
B-2 AA (sf)
C A (sf)
D BBB (sf)
E BB (sf)
X AAA (sf)
Combination notes AA (sf)
VENTURE XXIV: Moody's Assigns Ba3 Rating on Class E Notes
---------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
twelve classes of notes and one class of loans to be issued by
Venture XXIV CLO, Limited.
Moody's rating action is:
$100,000,000 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)
$50,000,000 Class A-2a Senior Secured Floating Rate Loans
maturing 2028, Assigned (P) Aaa (sf)
$50,000,000 Class A-2a Senior Secured Floating Rate Notes due
2028, Assigned (P) Aaa (sf)
$9,000,000 Class A-2b Senior Secured Floating Rate Notes due
2028, Assigned (P) Aaa (sf)
$99,000,000 Class A-3 Senior Secured Floating Rate Notes due
2028, Assigned (P) Aaa (sf)
$48,000,000 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)
$24,500,000 Class C-1 Mezzanine Secured Deferrable Floating Rate
Notes due 2028, Assigned (P) A2 (sf)
$10,000,000 Class C-F Mezzanine Secured Deferrable Fixed Rate
Notes due 2028, Assigned (P) A2 (sf)
$15,000,000 Class D-1 Mezzanine Secured Deferrable Floating Rate
Notes due 2028, Assigned (P) Baa2 (sf)
$12,000,000 Class D-2 Mezzanine Secured Deferrable Floating Rate
Notes due 2028, Assigned (P) Baa3 (sf)
$25,500,000 Class E Junior 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 Loans, the
Class A-2a Notes, the Class A-2b Notes, the Class A-3 Notes, the
Class B-1 Notes, the Class B-F Notes, the Class C-1 Notes, the
Class C-F Notes, the Class D-1 Notes, the Class D-2 Notes and the
Class E Notes are referred to herein, collectively, as the "Rated
Debt." The Class A-2a Loans and the Class A-2a Notes are referred
to herein, together, as the "Class A-2a Debt."
On the closing date, the Class A-2a Notes have an aggregate
outstanding amount of $50,000,000. At any time, the Class A-2a
Loans may be converted in whole or in part to Class A-2a Notes
thereby decreasing the aggregate outstanding amount of the Class
A-2a Loans and increasing, by the corresponding amount, the
aggregate outstanding amount of the Class A-2a Notes. The
aggregate outstanding amount of the Class A-2a Debt will never
exceed $100,000,000, less the amount of any principal repayments on
the Class A-2a Debt and plus any proportional additional issuance
of Class A-2a Debt.
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 Debt 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.
Venture XXIV is a managed cash flow CLO. The Rated Debt 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
80% ramped as of the closing date.
MJX Asset Management LLC will direct the selection, acquisition and
disposition of the assets on behalf of the Issuer and may engage in
trading activity, including discretionary trading, during the
transaction's four 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 Debt, the Issuer will issue one class of
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: $525,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2750
Weighted Average Spread (WAS): 4.10%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 8.0 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 Debt is subject to uncertainty. The
performance of the Rated Debt 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 Debt.
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 Debt. 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 Debt
(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 2750 to 3163)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-F Notes: 0
Class A-2a Loans: 0
Class A-2a Notes: 0
Class A-2b Notes: 0
Class A-3 Notes: 0
Class B -1 Notes: -1
Class B-F Notes: -1
Class C-1 Notes: -2
Class C-F Notes: -2
Class D-1 Notes: -1
Class D-2 Notes: -1
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2750 to 3575)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-F Notes: -1
Class A-2a Loans: 0
Class A-2a Notes: 0
Class A-2b Notes: -1
Class A-3 Notes: -1
Class B -1 Notes: -3
Class B-F Notes: -3
Class C-1 Notes: -3
Class C-F Notes: -3
Class D-1 Notes: -2
Class D-2 Notes: -2
Class E Notes: -1
WACHOVIA BANK 2005-C22: Moody's Affirms C Rating on Cl. IO Debt
---------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three classes
and upgraded the rating on one class in Wachovia Bank Commercial
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
Series 2005-C22 as follows:
Cl. D, Upgraded to B1 (sf); previously on Feb 26, 2016 Affirmed
Caa2 (sf)
Cl. E, Affirmed C (sf); previously on Feb 26, 2016 Affirmed C (sf)
Cl. F, Affirmed C (sf); previously on Feb 26, 2016 Affirmed C (sf)
Cl. IO, Affirmed C (sf); previously on Feb 26, 2016 Downgraded to C
(sf)
RATINGS RATIONALE
The rating on the P&I class, Class D was upgraded based primarily
on an increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 23% since Moody's last
review.
The ratings on the P&I classes, Classes E and F were affirmed
because the ratings are consistent with Moody's expected loss.
The rating on the IO class, Class IO was affirmed 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 32.2% of the
current balance, compared to 26.2% at Moody's last review. Moody's
base expected loss plus realized losses is now 9.6% of the original
pooled balance, compared to 9.7% 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.
WELLS FARGO 2010-C1: Fitch Affirms 'Bsf' Rating on Class F Debt
---------------------------------------------------------------
Fitch Ratings has affirmed eight classes of Wells Fargo Bank N.A.'s
commercial mortgage pass-through certificates series 2010-C1.
KEY RATING DRIVERS
The affirmations are the result of stable performance of the
underlying pool since issuance. As of the July 2016 distribution
date, the pool's aggregate principal balance has been reduced by
14.6% to $628.3 million from $735.9 million at issuance. The pool
has experienced no realized losses to date. Fitch has designated
two (3.5%) Fitch Loans of Concern (FLOC), including one specially
serviced loan, due to declining performance. Five loans (12.3%) are
defeased. Interest shortfalls are currently affecting the non-rated
class. There were variances to criteria related to classes B and C
whereby the surveillance criteria indicated rating upgrades were
possible. Fitch determined that upgrades were not warranted due to
upcoming lease expirations of larger tenants, within the top 15
assets and exposure to single tenants (22.7% of the pool).
The largest loan (19.9% of the pool) was originally secured by a
portfolio of 14 single-tenant properties which consisted of seven
office buildings, five industrial distribution centers, one data
center and one R&D facility. A partial defeasance for three
properties (two office and one industrial), which represents
approximately 25% of the of the original loan balance, was
completed in second quarter 2015. The portfolio now consists of 11
properties located in various states with a combined size of 2.5
million square feet. Occupancy for the collateral has remained
above 97% for the past three years.
The second largest loan (7.8% of the pool) is secured by a regional
mall located in Watertown, NY and is anchored by Sear's, Burlington
Coat Factory, and Gander Mountain. Per the March 2016 rent roll,
the property was 91.7% occupied. The servicer-reported debt service
coverage ratio (DSCR) was 2.44x as of year-end (YE) 2015.
Approximately 20.9% of the net rentable area (NRA) is scheduled to
expire within the next year, including its largest anchor tenant.
Sear's (12.6% of NRA) is required to provide notice within one year
of its August 2017 lease expiration. Fitch will continue to monitor
the loan as updates are received.
The specially serviced loan (0.6% of the pool) is secured by a
75,155 square foot (sf) retail property located in Dade City, FL.
The loan transferred to special servicing in December 2014 due to
payment default, as the anchor grocery tenant went dark in the fall
of 2013. Occupancy remains significantly distressed at 37% as of
May 31, 2016. Foreclosure proceedings are underway.
The larger FLOC (3% of the pool) is secured by 243-key full service
hotel located in Arlington, VA. The property was converted from the
Radisson into a Hilton Garden Inn in 2014, and underwent major
renovations in 2015. Rooms were offline due to the logistics of the
renovations. As a result, servicer reported occupancy and DSCR
decreased to 57% and 1.24x, respectively as of YE 2015 from 76.4%
and 2.25x at YE 2014. The master servicer expects the conversion
will be completed by the end of this year. Fitch will continue to
monitor the performance of the loan.
RATING SENSITIVITIES
The Positive Outlook on classes B and C reflect the potential for
an upgrade should the pool continue to deleverage, if additional
loans defease, and the larger tenants within the top 15 renew their
leases. The Stable Outlooks on the remaining classes reflect
overall stable pool performance. Downgrades are possible with
significant performance decline.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating.
Fitch has affirmed the following classes:
-- $54.4 million class A-1 at 'AAAsf'; Outlook Stable;
-- $443.3 million class A-2 at 'AAAsf'; Outlook Stable;
-- $497.6 million class X-A* at 'AAAsf'; Outlook Stable;
-- $22.1 million class B at 'AAsf'; Outlook Positive;
-- $31.3 million class C at 'Asf'; Outlook to Positive from
Stable;
-- $34 million class D at 'BBBsf'; Outlook Stable;
-- $13.8 million class E at 'BBB-sf'; Outlook Stable;
-- $12.9 million class F at 'Bsf'; Outlook Stable.
* Interest only.
Fitch does not rate the $16,557,805 class G certificates or the
$130,617,805 interest only class X-B.
[*] Moody's Takes Action on $21.9MM of Second-Lien RMBS
-------------------------------------------------------
Moody's Investors Service, on Aug. 8, 2016, upgraded the ratings of
five tranches and downgraded the ratings of two tranches from five
deals backed by second-lien RMBS loans.
Complete rating actions are:
Issuer: Irwin Home Equity Loan Trust 2006-2
Cl. IIA-2, Upgraded to Ba1 (sf); previously on Sept. 29, 2015,
Upgraded to B1 (sf)
Issuer: Irwin Whole Loan Home Equity Trust 2005-C
Cl. 2B-1, Downgraded to C (sf); previously on Oct. 6, 2015,
Downgraded to Caa2 (sf)
Cl. 2M-4, Downgraded to Ba3 (sf); previously on Feb. 24, 2015,
Upgraded to Ba1 (sf)
Issuer: Lehman ABS Corporation Home Equity Loan Asset-Backed Notes,
Series 2005-1
Cl. A, Upgraded to Ba1 (sf); previously on Oct. 7, 2015,
Upgraded to Ba3 (sf)
Underlying Rating: Upgraded to Ba1 (sf); previously on Oct. 7,
2015, Upgraded to Ba3 (sf)
Financial Guarantor: Ambac Assurance Corporation (Insured
Ratings Withdrawn April 7, 2011)
Issuer: Merrill Lynch Mortgage Investors Trust 2006-SL1
Cl. A, Upgraded to A3 (sf); previously on Oct. 27, 2015,
Upgraded to Baa3 (sf)
Issuer: Morgan Stanley Mortgage Loan Trust 2005-8SL
Cl. A-1, Upgraded to B3 (sf); previously on Oct. 6, 2015,
Upgraded to Caa2 (sf)
Cl. A-2b, Upgraded to B3 (sf); previously on Oct. 6, 2015,
Upgraded to Caa2 (sf)
RATINGS RATIONALE
The ratings upgraded are primarily a result of stable or improving
performance of the related pools and/or total credit enhancement
available to the bonds. The ratings downgraded are primarily a
result of a decrease 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 4.9% in July 2016 from 5.3% in July
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 Lowers 7 Ratings and Withdraws 6 from 3 RMBS Re-REMIC Deals
-------------------------------------------------------------------
S&P Global Ratings completed its review of 13 classes from three
U.S. residential mortgage-backed securities (RMBS) resecuritized
real estate mortgage investment conduit (Re-REMIC) transactions
from Structured Asset Securities Corporation Trust, which are
directly or indirectly supported by Fannie Mae or Freddie Mac. The
review yielded seven downgrades and six withdrawals. S&P also
removed all 13 ratings from CreditWatch, where it had placed them
with negative implications on June 27, 2016. The seven lowered
ratings and six withdrawn ratings are corrections reflecting Intex
Solutions Inc.'s (Intex) revised reporting for these classes.
While the internal model S&P uses in connection with its
determination of U.S. RMBS ratings typically applies S&P's criteria
assumptions, third-party data provider Intex, in many cases,
provides the collateral composition and structural modeling used as
inputs into S&P's analysis. Therefore, the resulting collateral
characteristics and structural mechanics that use S&P's input
assumptions depend on the modeling and data provided by Intex.
Intex had previously not reported interest shortfalls on these
classes. Based on Intex's reporting, S&P previously affirmed the
ratings on the classes following its earlier reviews. However, S&P
later observed that the trustee for these classes reported interest
shortfalls in its remittance reports, and S&P placed the ratings on
CreditWatch with negative implications on June 27, 2016, pending
S&P's verification of the interest shortfalls and adjustment of the
ratings as appropriate pursuant to S&P's criteria.
Based on S&P's further review, it verified that interest shortfalls
on these classes have occurred and have informed Intex of the
shortfalls' existence. Intex has since revised its reporting on
these transactions to indicate that these classes have experienced
interest shortfalls.
APPLICATION OF CRITERIA
S&P's seven downgrades reflect the application of its interest
shortfall criteria. The six withdrawals reflect the application of
S&P's interest only (IO) criteria.
S&P's interest shortfall criteria impose a maximum rating threshold
on classes that have incurred interest shortfalls resulting from
credit or liquidity erosion. Based on the immediate reimbursement
provisions within each payment provision for the applicable
classes, S&P used the maximum length of time until full interest is
reimbursed as part of S&P's analysis to assign the rating on each
class.
Some of the bonds that were supporting the Re-REMIC classes have
interest payments subject to a net weighted average coupon (WAC)
cap and experienced a reduction in interest payments. The reduced
payments were passed to the Re-REMIC classes, which have a stated
coupon and were to be paid accrued interest in full. Additionally,
each of the three Re-REMIC transactions experienced extraordinary
expenses, also resulting in reduced interest being paid to the
Re-REMIC classes. These two factors combined resulted in interest
shortfalls on the Re-REMIC classes.
Pursuant to S&P's imputed promise criteria, S&P would not lower its
rating on a security to 'D' if the amount of interest shortfall it
is experiencing is de minimis (i.e., one basis point of the
original balance on a cumulative basis). The aggregate interest
shortfall amount for class 1-A1 from Structured Asset Securities
Corporation Trust 2008-1 has not breached the one-basis-point
threshold that would cause us to lower the rating to 'D (sf)'.
However, S&P anticipates that the interest shortfall will soon
breach the threshold, thereby making this class virtually certain
to default. Accordingly, S&P is lowering the rating of this class
to 'CC (sf)'. S&P will continue to monitor the interest shortfall
for this class and will lower the rating to 'D (sf)' if the
one-basis-point threshold is breached.
"Further, we withdrew our ratings on six classes, which are IO
securities, according to our IO criteria, which state that we will
maintain the rating on an IO class until the ratings on all of the
classes that the IO security references, in the determination of
its notional balance, are either lowered below 'AA-' or have been
retired. Because we have lowered our ratings on the reference
classes for these IO classes to 'CC (sf)' and 'D (sf)' as part of
this review, we are, accordingly, withdrawing our ratings on these
six IO classes," S&P said.
ECONOMIC OUTLOOK
When determining a U.S. RMBS collateral pool's relative credit
quality, S&P's loss expectations stem, to a certain extent, from
its view of how the loans will behave under various economic
conditions. S&P Global Ratings' baseline macroeconomic outlook
assumptions for variables that it believes could affect residential
mortgage performance are:
-- An overall unemployment rate of 4.8% in 2016;
-- Real GDP growth of 2.0% for 2016;
-- An inflation rate of 2.2% in 2016; and
-- An average 30-year fixed mortgage rate of about 3.7% in
2016.
S&P's outlook for RMBS is stable. Although S&P views overall
housing fundamentals positively, it believes RMBS fundamentals
still hinge on additional factors, such as the ultimate fate of
modified loans, the propensity of servicers to advance on
delinquent loans, and liquidation timelines.
Under S&P's baseline economic assumptions, it expects RMBS
collateral quality to improve. However, if the U.S. economy were
to become stressed in line with S&P Global Ratings' downside
forecast, S&P believes that U.S. RMBS credit quality would weaken.
S&P's downside scenario reflects these key assumptions:
-- Total unemployment will tick up to 4.9% for 2016;
-- Downward pressure will cause GDP growth to fall to 1.8% in
2016;
-- Home price momentum will slow as potential buyers are not
able to purchase property; and
-- While the 30-year fixed mortgage rate remains a low 3.7% in
2016, limited access to credit and pressure on home prices
will largely prevent consumers from capitalizing on these
rates.
A list of the Affected Ratings is available at:
http://bit.ly/2aS4HY2
[*] S&P Puts Ratings on 23 Housing Bonds on CreditWatch Negative
----------------------------------------------------------------
S&P Global Ratings, on Aug. 9, 2016, placed its ratings on 23
affordable multifamily housing bonds issued on behalf of affiliates
of Global Ministries Foundation (GMF), a Tennessee-based nonprofit
corporation that specializes in the development and preservation of
affordable housing, on CreditWatch with negative implications.
The CreditWatch placement reflects our uncertainty regarding the
results of the U.S. Housing and Urban Development (HUD)
investigation into GMF's management of the Section 8 program that
it participates in and that affects 15 of the 23 bond issues
supported by Section 8 subsidized affordable multifamily rental
housing projects. In addition, S&P has received notification that
one of the 15 Section 8 properties (Windsor Cove Project, series
2012) received a notice of default by HUD during its property
assessment.
A list of the Affected Ratings is available at:
http://bit.ly/2aQIbwF
[*] S&P Raises 9 Ratings From 7 Synthetic CDO Deals After Review
----------------------------------------------------------------
S&P Global Ratings Services, on Aug. 5, 2016, raised its ratings on
eight tranches from six investment-grade corporate-backed U.S.
synthetic CDO (SCDO) transactions and removed them from CreditWatch
positive. At the same time, S&P raised its rating on one tranche
from one U.S. SCDO transaction backed by corporate CDOs.
The rating actions followed S&P's periodic review of synthetic CDO
transactions.
The upgrades reflect the transactions' seasoning, rating stability
of the obligors in the underlying reference portfolio over the past
few months, and a synthetic rated overcollateralization ratio that
rose above 100% at the next highest rating level as of the latest
run, passing with sufficient cushion per S&P's criteria.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and S&P will take further rating actions
as it deems necessary.
RATINGS RAISED AND REMOVED FROM WATCH POSITIVE
Cloverie PLC
Series 43
Rating
Class To From
Notes BBB (sf) BBB- (sf)/Watch Pos
Cloverie PLC
Series 44
Rating
Class To From
Notes BBB (sf) BBB- (sf)/Watch Pos
Greylock Synthetic CDO 2006
Series 2
Rating
Class To From
A3A-$FMS A (sf) A- (sf)/Watch Pos
A3B-$LMS A (sf) A- (sf)/Watch Pos
Morgan Stanley ACES SPC
Series 2007-8
Rating
Class To From
Senior A- (sf) BBB (sf)/Watch Pos
A1 BB- (sf) B+ (sf)/Watch Pos
Morgan Stanley Managed ACES SPC
Series 2007-9
Rating
Class To From
IIA B- (sf) CCC+ (sf)/Watch Pos
TIERS Derby Synthetic CDO Floating Rate Credit Linked Trust
Series 2007-5
Rating
Class To From
Certificates B+ (sf) CCC- (sf)/Watch Pos
RATING RAISED
Steers Lasso Trust Series 2007-1
Class To From
Tranche BBB+ (sf) BB+ (sf)
[] Fitch Affirms All Classes of Two Insurance TruPS CDOs
--------------------------------------------------------
Fitch Ratings, on Aug. 5, 2016, affirmed the ratings on all classes
and revised the Rating Outlook on four classes of notes from two
collateralized debt obligations (CDOs) backed by trust preferred
securities (TruPS) and surplus notes issued by insurance companies.
KEY RATING DRIVERS
The collateral balance in both transactions remained the same as
last review with each portfolio consisting of only 20 or fewer
performing issuers. The credit quality of these two collateral
portfolios remained stable with the current average credit quality
at 'BB/BB+' compared to 'BB-/BB+' at last review. This is supported
by relatively stable performance, with only one new cure, and no
new deferrals or defaults observed across the two transactions
since Fitch's last review. All coverage tests in the two CDOs
continue to pass, further reflecting the stable credit performance
of the underlying portfolios.
In ICONS, an additional rating driver is the ability of the
non-deferrable classes A and B to continue to pay timely interest
due to an outsized interest rate swap and volatility of interest
collections. However, Fitch believes interest shortfall is unlikely
in the near term, as the notes continue to benefit from a forward
turbo and are able to withstand higher rating stresses with regard
to principal coverage.
In InCaps I, the optimal principal distribution amount (OPDA) was
exhausted because of one new cure representing 10% of the total
collateral balance since last review. Consequently, the B-1 and B-2
notes no longer receive the entire amount of excess interest
proceeds, but only 20%, with the remaining 80% redirected to the
income notes. The Outlook revision to Negative from Stable reflects
the significant decrease of excess spread proceeds to the B-1 and
B-2 notes, notably reducing deleveraging of the classes.
Fitch has marked the Class II combination notes in ICONS as paid in
full based on the flow of funds to underlying class D and Equity
note components. The notes were rated to a 3% coupon.
Fitch does not rate the Preference Shares in ICONS and Income Notes
in InCapS I.
RATING SENSITIVITIES
Changes in the rating drivers described above could lead to rating
changes in the TruPS CDO notes. To address potential risks of
adverse selection and increased portfolio concentration Fitch
applied a sensitivity scenario, as described in the criteria.
For non-deferrable notes, Fitch performs analysis of notes'
interest sensitivity to additional defaults and deferrals, as
described in the criteria. The outcome of this analysis is
considered in determining appropriate rating levels for
non-deferrable notes.
DUE DILIGENCE USAGE
No third-party due diligence was reviewed in relation to this
rating action.
Fitch has affirmed the following ratings and revised Outlooks as
indicated:
ICONS, Ltd./Corp. (ICONS)
-- $61,421,305 class A notes at 'BBBsf', Outlook to Stable from
Negative;
-- $37,824,347 class B notes at 'BBsf', Outlook to Stable from
Negative;
-- $6,679,638 class C-1 notes at 'Bsf', Outlook Stable;
-- $16,699,094 class C-2 notes at 'Bsf', Outlook Stable;
-- $5,009,728 class C-3 notes at 'Bsf', Outlook Stable;
-- $16,699,094 class D notes at 'CCCf';
-- Class II combination notes paid in full.
InCapS Funding I Ltd./Corp. (InCapS I)
-- $31,459,208 class B-1 notes at 'Bsf'; Outlook to Negative
from Stable;
-- $47,665,466 class B-2 notes at 'Bsf'; Outlook to Negative
from Stable;
-- $15,000,000 class C notes at 'CCCsf'.
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
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.
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