/raid1/www/Hosts/bankrupt/TCR_Public/161009.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, October 9, 2016, Vol. 20, No. 282
Headlines
ALM VII: S&P Assigns BB Rating on Class D-R Notes
AMMC CLO 19: S&P Assigns Prelim. BB Rating on Class E Notes
BAMLL COMMERCIAL 2013-DSNY: S&P Affirms BB- Rating on Cl. F Certs
BBCMS TRUST 2014-BXO: S&P Affirms B- Rating on Cl. F Certificates
BEAR STEARNS 2004-PWR6: S&P Raises Rating on Cl. M Certs to B-
BEAR STEARNS 2005-PWR10: Fitch Raises Rating on Cl. B Certs to BB
CANNINGTON FUNDING: Moody's Raises Rating on Class D Notes to Ba1
CREDIT SUISSE 2003-C3: Fitch Affirms 'Dsf' Rating on 5 Tranches
DBCCRE 2014-ARCP: S&P Affirms BB- Rating on Class F Certificates
DLJ COMMERCIAL 1998-CF2: Moody's Affirms Caa3 Rating on Cl. S Debt
DLJ COMMERCIAL 1999-CG2: Moody's Affirms Caa3 Rating on Cl. S Debt
DLJ COMMERCIAL 1999-CG3: Moody's Affirms Caa3 Rating on Cl. S Debt
DRIVE AUTO 2015-B: Moody's Affirms Ba2 Rating on Class E Notes
FREDDIE MAC 2016-DNA4: Fitch Assigns BBsf Rating on Cl. M-3A Debt
GMACM MORTGAGE 2004-J5: Moody's Cuts Cl. A-7 Debt Rating to Ba2
GS MORTGAGE 2016-GS3: Fitch Assigns BB-sf Rating on Cl. E Notes
JAY PARK: Moody's Assigns Ba3 Rating on Class D Notes
JC PENNEY 2006-1: Moody's Raises Rating on 2 Tranches to B3
JC PENNEY 2007-1: Moody's Raises Rating on 2 Tranches to B3
JP MORGAN 2007-CIBC18: Moody's Cuts Rating on A-J Certs. to Caa1
JP MORGAN 2007-CIBC20: Moody's Affirms C Rating on 3 Tranches
JP MORGAN 2014-C24: Fitch Affirms BBsf Rating on Class E Notes
JP MORGAN 2016-3: Moody's Assigns Ba2 Rating on Cl. B-4 Certs
JP MORGAN 2016-JP3: Fitch Assigns BBsf Rating on Class E Notes
JP MORGAN 2016-WSP: Fitch Assigns B- Rating on Class F Certs
JP MORGAN 2016-WSP: Moody's Assigns B3 Rating on Cl. F Certs
KKR FINANCIAL 2013-1: S&P Raises Rating on Class D Notes to BB+
MAGNETITE XVIII: Moody's Assigns (P)Ba3 Rating on Class E Notes
MASTR ASSET 2004-P7: Moody's Confirms B1 Rating on Cl. A-7 Debt
MERCURY CDO 2004-1: Moody's Hikes Cl. A-1NV Debt Rating to B3(sf)
MERRILL LYNCH 1997-C2: Moody's Affirms Caa2 Rating on Cl. IO Debt
MERRILL LYNCH 2008-C1: S&P Affirms B+ Rating on Class E Certs
MORGAN STANLEY 2006-HQ10: Fitch Lowers Rating on Cl. C Certs to CC
MORGAN STANLEY 2007-TOP27: S&P Lowers Rating on Cl. D Certs to D
MORGAN STANLEY 2016-C30: Fitch Assigns BB- Rating on Cl. E Certs
OHA CREDIT IX: S&P Affirms BB- Rating on Class E Notes
REALT 2006-2: Moody's Raises Rating on Cl. H Certs to Ba1
SATURNS JC PENNEY 2007-1: Moody's Raises Rating on B Units to B3
SDART 2016-3: Fitch to Assign Class E Notes BB
TOWD POINT 2016-4: Moody's Assigns B2 Rating on Cl. B2 Notes
WELLS FARGO 2016-LC24: Fitch Assigns BB- Rating on Cl. F Certs
[*] Fitch Takes Actions on Distressed Classes on 11 CMBS Deals
[*] Moody's Takes Rating Action on $1.1BB RMBS Issued 2014-2015
[*] S&P Lowers Ratings on 5 Classes From 3 US CMBS Transactions
[*] S&P Takes Rating Actions on 625 Classes From 110 RMBS Deals
[*] US HY Default Forecast Lowered to 5%; 3% for 2017, Fitch Says
*********
ALM VII: S&P Assigns BB Rating on Class D-R Notes
-------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R,
B-R, C-R, and D-R floating-rate notes from ALM VII Ltd., a
collateralized loan obligation (CLO) originally issued in 2012. In
addition, S&P withdrew its ratings on the class A-1, A-2, B, C, D,
and E notes from this transaction after they were fully redeemed.
On the Oct. 4, 2016, refinancing date, the proceeds from the class
A-1-R, A-2-R, B-R, C-R, and D-R replacement note issuance, in
combination with the proceeds from the issuance of additional
subordinated notes, were used to redeem the original class A-1,
A-2, B, C, D, and E notes as outlined in the transaction document
provisions. Therefore, S&P withdrew its ratings on the original
notes in line with their full redemption and are assigning ratings
to the replacement notes.
The assigned ratings reflect S&P's opinion that the credit support
available is commensurate with the associated rating levels.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as presented to S&P in
connection with this review, to estimate future performance. In
line with S&P's criteria, its cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest or
ultimate principal, or both, to each of the rated tranches. The
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.
RATING ASSIGNED
ALM VII Ltd./ALM VII LLC
Replacement Class Rating Amount
(mil. $)
A-1-R AAA (sf) 436.00
A-2-R AA (sf) 71.00
B-R A (sf) 65.00
C-R BBB (sf) 34.75
D-R BB (sf) 34.25
RATINGS WITHDRAWN
ALM VII Ltd./ALM VII LLC
Rating
Original class To From
A-1 NR AAA (sf)
A-2 NR AA (sf)
B NR A (sf)
C NR BBB (sf)
D NR BB (sf)
E NR B (sf)
NR--Not rated.
AMMC CLO 19: S&P Assigns Prelim. BB Rating on Class E Notes
-----------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to AMMC CLO 19
Ltd./AMMC CLO 19 Corp.'s $408.75 million floating-rate notes.
The note issuance is a CLO transaction backed by broadly syndicated
speculative-grade senior secured term loans.
The preliminary ratings are based on information as of Oct. 5,
2016. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term
loans that are governed by collateral quality tests. The
credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect
the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading. The
transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
AMMC CLO 19 Ltd./AMMC CLO 19 Corp.
Class Rating Amount
(mil. $)
A AAA (sf) 256.00
B AA (sf) 47.00
C A (sf) 27.00
D BBB (sf) 20.00
E BB (sf) 18.00
Subordinated notes NR 40.75
NR--Not rated.
BAMLL COMMERCIAL 2013-DSNY: S&P Affirms BB- Rating on Cl. F Certs
-----------------------------------------------------------------
S&P Global Ratings affirmed its ratings on six classes of
commercial mortgage pass-through certificates from BAMLL Commercial
Mortgage Securities Trust 2013-DSNY, a U.S. commercial
mortgage-backed securities (CMBS) transaction.
The affirmations follow S&P's analysis of the transaction primarily
using its criteria for rating U.S. and Canadian CMBS transactions.
S&P's analysis included reviewing the performance of the two
adjacent full-service hotels situated within Walt Disney World
Resort serving as the leasehold collateral securing the two
cross-collateralized and cross-defaulted floating-rate
interest-only (IO) mortgage loans totaling $345.0 million. S&P
also considered the deal structure and liquidity available to the
trust.
The affirmations also reflect S&P's expectation that the available
credit enhancement for the classes will be within its estimate of
the necessary credit enhancement required for the current ratings
and S&P's views regarding the current and future performance of the
transaction's collateral.
The analysis of stand-alone (single-borrower) transactions is
predominantly a recovery-based approach that assumes a loan
default. Using this approach, S&P's property-level analysis
included a re-evaluation of the lodging properties that secure the
trust's mortgage loan. The two adjacent hotels, known as the Walt
Disney World Swan & Dolphin Resort, are an upscale, full-service
resort complex containing 2,267 guestrooms, situated on an
85.0-acre parcel of lakefront property in the Walt Disney World
Resort in Lake Buena Vista, Fla.
S&P's analysis considered that the servicer-reported revenue per
available room (RevPAR) and net operating income (NOI) have
increased for the properties, up to $58.2 million for the trailing
12 months ended June 30, 2016, from $50.3 million in 2013. In
addition, it is S&P's understanding from the master servicer that
additional capital spending of about $22,000 per key was budgeted
for 2014 through 2017. However, to derive S&P's sustainable level
of RevPAR and net cash flow (NCF) for the properties, S&P also
considered the volatile nature of the collateral performance,
specifically, the approximate 14.5% decline in RevPAR and 25.8%
decline in NCF during the economic downtown in 2009, and that the
current RevPAR and NCF levels are relatively high compared to the
hotel's historical performance, as they are in line with the prior
peak in 2007. S&P's expected-case value, using an 8.75% S&P Global
Ratings capitalization rate, yielded an overall S&P Global Ratings
loan-to-value ratio and debt service coverage (DSC) of 75.3% and
2.10x, respectively, on the trust balance.
According to the Sept. 15, 2016, trustee remittance report, the IO
mortgage loans have an aggregate trust balance of $345.0 million,
which was the balance at issuance. The loans pay an annual
floating interest rate of LIBOR plus a weighted average spread of
2.84052%, and originally matured on Sept. 7, 2015, subject to three
successive one-year extension options. The borrowers have
exercised two of their three extension options and the loans
currently mature on Sept. 7, 2017. The equity interests in the
borrowers of the whole loan also secure $40.0 million in mezzanine
financing. According to the transaction documents, the borrowers
will pay the special servicing fees, workout fees, liquidation
fees, and costs and expenses incurred from appraisals and
inspections the special servicer conducts. To date, the trust has
not incurred any principal losses.
S&P based its analysis partly on a review of the property's
historical NCF for the trailing 12 months ended June 30, 2016, and
years ended Dec. 31, 2015, 2014, and 2013 the master servicer
provided to determine S&P's opinion of a sustainable cash flow for
the lodging properties. The master servicer, Wells Fargo Bank
N.A., reported a combined DSC of 4.79x as of year-end 2015.
RATINGS AFFIRMED
BAMLL Commercial Mortgage Securities Trust 2013-DSNY
Commercial mortgage pass-through certificates
Class Rating
A AAA (sf)
B AA- (sf)
C A- (sf)
D BBB+ (sf)
E BBB- (sf)
F BB- (sf)
BBCMS TRUST 2014-BXO: S&P Affirms B- Rating on Cl. F Certificates
-----------------------------------------------------------------
S&P Global Ratings raised its rating on the class C commercial
mortgage pass-through certificates from BBCMS Trust 2014-BXO, a
U.S. commercial mortgage-backed securities (CMBS) transaction. At
the same time, S&P affirmed its ratings on three other classes from
the same transaction.
The rating actions reflect S&P's analysis of the transaction,
primarily using its criteria for rating U.S. and Canadian CMBS
transactions. S&P's analysis included reviewing the collateral
securing the $150.1 million floating-rate, interest-only (IO) loan,
which consists of a portfolio of five remaining suburban office
buildings totaling 1.0 million sq. ft. in Los Angeles and Dublin,
Calif.; Aurora, Colo.; and Arlington and Alexandria, Va. S&P also
reviewed the transaction structure and liquidity available to the
trust.
The upgrade of S&P's rating on class C reflects its expectation
that the available credit enhancement for the class is greater than
its most recent estimate of necessary credit enhancement for the
rating level, as well as the reduction in trust balance.
The affirmed ratings on classes D, E, and F reflect S&P's
expectation that the available credit enhancement for the classes
are generally within its estimate of the necessary credit
enhancement required for the current ratings.
While credit enhancement levels suggest further positive rating
movement on class C and positive rating movements on classes D and
E, S&P's analysis also considered the reported low overall
occupancy on the remaining collateral; the potential for the
remaining collateral's performance to decline further, specifically
due to high tenant rollover concentration in 2017; as well as the
borrowers' ability to extend or refinance the loan at its maturity
date in August 2017, the first of two more one-year extension
options.
S&P's analysis of stand-alone (single-borrower) transactions is
predominantly a recovery-based approach that assumes a loan
default. Using this approach, S&P's property-level analysis
included a re-evaluation of the office properties that secure the
trust's mortgage loan. The portfolio is geographically spread
amongst the metropolitan statistical area of Washington, DC;
Denver, Colo.; Oakland, Calif.; and Los Angeles, Calif. There is
concentration in Washington, DC as two of the suburban office
properties are located in Arlington, Va. and Alexandria, Va., and
together account for approximately 48.0% of the portfolio's net
base rent, as reported by the servicer. S&P's analysis considered
the slight decline in the combined servicer-reported net operating
income (NOI) and low reported overall occupancy for the past three
years (ranging in the mid-to-high 60% and low 70%) for the
portfolio. S&P also considered that some of the underlying office
properties are generally in underperforming submarkets; the largest
asset in the portfolio (1525 Wilson) has approximately 33% vacancy
based on the June 30, 2016, rent roll, while the submarket vacancy,
based on a third-party report, is also just as high. The
second-largest asset (Gateway Center) has an in-place vacancy of
27% according to the June 30, 2016, rent roll, which is in line
with the third-party submarket data. S&P's expected case value,
using a 7.90% S&P Global Ratings' weighted average capitalization
rate, yielded an overall 102.5% S&P Global Ratings' loan-to-value
ratio on the trust balance.
According to the Sept. 15, 2016, trustee remittance report, the
mortgage loan has a $150.1 million trust and whole-loan balance,
down from $355.0 million at issuance due to the release of four
office properties totaling 822,119 sq. ft. in California and
Florida. The IO mortgage loan pays floating-rate interest of LIBOR
plus a spread of 2.573943% and has a two-year initial term, subject
to three one-year extension options. The loan initially matured on
Aug. 9, 2016. The borrower has exercised one of its extension
options, and the loan currently matures on Aug. 9, 2017. It is
S&P's understanding from the master servicer that the borrower has
purchased a replacement interest rate cap agreement with a 3.50%
strike price through August 2017. Additionally, the borrowers'
equity interests in the whole loan secured
$45.0 million in mezzanine financing at issuance. According to the
transaction documents, the borrowers will pay the special
servicing, work-out, and liquidation fees, as well as costs and
expenses incurred from appraisals and inspections conducted by the
special servicer. To date, the trust has not incurred any
principal losses.
S&P based its analysis partly on a review of the property's
historical NOI for the trailing 12 months ended March 31, 2016, and
years ended Dec. 31, 2015, 2013, and 2012, which the master
servicer provided, to determine S&P's opinion of the office
portfolio's sustainable net cash flow. The master servicer, Wells
Fargo Bank N.A., reported a consolidated debt service coverage and
occupancy for the trailing 12 months ended March 31, 2016, of 1.88x
and 74.7%, respectively, on the trust balance.
RATING RAISED
BBCMS Trust 2014-BXO
Commercial mortgage pass-through certificates
Rating
Class To From
C AA (sf) A- (sf)
RATINGS AFFIRMED
BBCMS Trust 2014-BXO
Commercial mortgage pass-through certificates
Class Rating
D BBB- (sf)
E BB- (sf)
F B- (sf)
BEAR STEARNS 2004-PWR6: S&P Raises Rating on Cl. M Certs to B-
--------------------------------------------------------------
S&P Global Ratings raised its ratings on nine classes of commercial
mortgage pass-through certificates from Bear Stearns Commercial
Mortgage Securities Trust 2004-PWR6, a U.S. commercial
mortgage-backed securities (CMBS) transaction. In addition, S&P
affirmed its 'AAA (sf)' ratings on three 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 loans in the pool, the transaction's
structure, and the liquidity available to the trust.
S&P raised its ratings on classes D through M 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 the significant reduction in
the trust balance.
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, as well as S&P's
views regarding the collateral's current and future performance.
While available credit enhancement levels suggest further positive
rating movements on classes H, J, K, L and M, S&P's analysis also
considered the classes' interest shortfall history as well as the
susceptibility to reduced liquidity support from two performing
loans that are currently on the master servicers' combined
watchlist, the Plymouth Square Shopping Center loan ($23.2 million,
21.4%) and the Northway Plaza Shopping Center loan ($2.6 million,
2.4%). Based on the servicers' reported figures, S&P observed that
the underlying properties securing these two loans have reported
declining occupancy. S&P's analysis also considered the potential
for further deterioration in the underlying collateral performance,
and the adverse impact on the current liquidity support for classes
H through M. Additional discussion on the two loans is below.
S&P affirmed its 'AAA (sf)' rating on the class X1 interest-only
(IO) certificate based on S&P's criteria for rating IO securities.
TRANSACTION SUMMARY
As of the Sept. 12, 2016, trustee remittance report, the collateral
pool balance was $108.5 million, which is 10.2% of the pool balance
at issuance. The pool currently includes 13 loans, down from 95
loans at issuance. One of these loans is defeased ($40.2 million,
37.0%), no loans are currently reported with the special servicer,
and five ($30.6 million, 28.2%) are on the master servicers'
combined watchlist. The master servicers, Wells Fargo Bank N.A.
and Prudential Asset Resources Inc., reported financial information
for all of the nondefeased loans in the pool, of which 96.0% was
partial- or year-end 2015 data and the remainder was year-end 2014
data.
S&P calculated a 1.74x S&P Global Ratings weighted average debt
service coverage (DSC) and 36.9% S&P Global Ratings weighted
average loan-to-value (LTV) ratio using a 7.84% S&P Global Ratings
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the defeased loan. The
top 10 nondefeased loans have an aggregate outstanding pool trust
balance of $66.6 million (61.4%). Using the adjusted
servicer-reported numbers, S&P calculated a S&P Global Ratings
weighted average DSC and LTV of 1.74x and 37.4%, respectively, for
the top 10 nondefeased loans.
To date, the transaction has experienced $13.8 million in principal
losses, or 1.3% of the original pool trust balance.
CREDIT CONSIDERATIONS
As of the Sept. 12, 2016, trustee remittance report, five loans in
the pool were on the master servicers' combined watchlist. Details
of the Plymouth Square Shopping Center and Northway Plaza Shopping
Center loans are:
-- The Plymouth Square Shopping Center loan is the largest
nondefeased loan in the pool. The loan is secured by a
275,685-sq.-ft. retail property located in Plymouth Meeting,
Pa. anchored by the Weis Market grocery store. The loan is
on the master servicers' combined watchlist because of a
reported decline in occupancy--down from 87.9% at year-end
2013 to 73.3% as of year-end 2015. According to the
June 30, 2016, rent roll provided by the master servicer,
the property is approximately 70.0% occupied. The reported
DSC for the six months ended June 30, 2016, was 1.68x. In
addition, the balloon loan matures on May 1, 2019.
-- The Northway Plaza Shopping Center loan is secured by a
79,315-sq.-ft. retail property in Columbia, S.C. anchored by
Food Lion. The loan, which has a one-month delinquent
payment status, is on the master servicers' combined
watchlist because of low reported occupancy and DSC. Based
on servicers' comments, the anchor, Food Lion (29,000 sq.
ft., 36.5% of the net rentable area), declined the
borrower's request to renew its lease early, which expires
on Feb. 28, 2018, at a reduced rate. The occupancy at the
property has declined from 81.4% as of year-end 2013 to
62.0% as of June 30, 2016. The reported DSC for the six
months ended June 30, 2016, was 0.70x, down from 1.06x as of
year-end 2013. The loan had an anticipated repayment date
on July 1, 2014.
RATINGS LIST
Bear Stearns Commercial Mortgage Securities Trust 2004-PWR6
Commercial mortgage pass-through certificates series 2004-PWR6
Rating
Class Identifier To From
X-1 07383FX86 AAA (sf) AAA (sf)
B 07383FX94 AAA (sf) AAA (sf)
C 07383FY28 AAA (sf) AAA (sf)
D 07383FY36 AAA (sf) AA (sf)
E 07383FY44 AAA (sf) AA- (sf)
F 07383FY51 AAA (sf) A (sf)
G 07383FY69 AAA (sf) BBB (sf)
H 07383FY77 AA+ (sf) BB+ (sf)
J 07383FY85 A+ (sf) BB (sf)
K 07383FY93 BBB+ (sf) BB- (sf)
L 07383FZ27 BB+ (sf) B+ (sf)
M 07383FZ35 B- (sf) CCC- (sf)
BEAR STEARNS 2005-PWR10: Fitch Raises Rating on Cl. B Certs to BB
-----------------------------------------------------------------
Fitch Ratings has upgraded two classes and affirmed 14 classes of
Bear Stearns Commercial Mortgage Securities Trust (BSCMST), series
2005-PWR10 commercial mortgage pass-through certificates.
KEY RATING DRIVERS
The upgrades reflect improvement in credit enhancement (CE) to the
classes as a result of paydown and defeasance. In addition,
overall loss expectations are lower than previously modeled as a
result of better than expected recoveries on disposed loans,
including the then-largest loan in the pool, which paid off in
full. The majority of class A-J is now covered by defeasance.
Despite high CE to class B, upgrades were limited due to
concentration, and adverse selection, as only nine non-defeased
loans remain.
As of the September 2016 distribution date, the pool's aggregate
principal balance has been reduced by 95.5% (including 10.4% in
realized losses) to $119.3 million from $2.634 billion at issuance.
Cumulative interest shortfalls in the amount of $22 million are
currently affecting class C and classes H through S.
Of the original 214 loans, 16 remain, of which seven (55.1%) are
defeased and no loans remain in special servicing or are
delinquent. The non-defeased loans have maturity dates in 2020
(89.4%) and 2025 (10.6%). Fitch modeled losses of 7.4% of the
remaining pool; expected losses of the original pool are 10.7%
including losses already incurred to date (10.4%). At Fitch's
previous rating action, the largest loan was Crocker Park ($88.5
million and 17.5% of the pool at the time of the review). The loan
had been on the watchlist and the borrower had been unable to
secure financing at the loan's anticipated repayment date in 2015.
Significant losses were assumed based on the property's continued
underperformance. However, the loan was repaid in full in July
2016.
The largest loan in the pool, 49 East 52nd Street (14.9%), is
collateralized by a 56,338 square foot (sf) office building located
in New York, NY and is on the master servicer's watchlist. The
property's occupancy dropped in 2013 to 74% from 100% after two
tenants vacated the space at their lease expiration. Occupancy
improved in late 2015 and cashflow is expected to rebound in 2016
after rent concessions end. As of March 2016, the building's
occupancy was 87% and debt service coverage ratio (DSCR) was listed
at 0.99x.
The second largest loan on the watchlist, Haymaker Village, is
secured by a 102,129-sf retail center (1.7%) located in
Monroeville, PA approximately 18 miles west of the Pittsburgh's
central business district. The property was transferred back to
the master servicer in December 2015 after concerns of an imminent
monetary default were resolved. The property's net operating
income covered debt service payments through aggressive expense
management after several years of a below-1.0x DSCR. As of
year-end 2015, the center was 91% occupied with a DSCR of 1.08x.
According to servicer commentary, the loan was current as of the
August remittance and is scheduled to mature in December 2020.
The third largest loan on the watchlist is Romeo Plank Crossing
Shopping Center, a 34,615-sf retail center (1.7%) located in
Macomb, MI approximately 35 miles north of the Detroit, MI central
business district. The fully amortizing loan has exhibited weak
operating performance since the last recession due to occupancy
volatility and low renewal rental rates. The loan is schedule to
mature in December 2025. The property has struggled to cover debt
service since 2008 with a below 1.0x DSCR. As of year-end 2015,
the center was 100% occupied with a DSCR of 1.01x, although 50% of
the net rentable area is scheduled to expire over the next 18
months.
RATING SENSITIVITIES
Fitch's loss assumptions assumed stressed values based on
volatility in the properties' performance due to tenancy issues and
weak historical performance. The Stable Outlook on class A-J
reflects a high percentage of the remaining balance being fully
covered by defeased collateral as well as high credit enhancement.
The Stable Outlook on class B reflects the sufficient credit
enhancement in light of the deal's concentration risk. Additional
upgrades may not be warranted due to the deal's increasing
concentrations and underperformance of three of the nine remaining
non-defeased loans. Downgrades could occur if expected losses
increase or maturing loans default at maturity.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has upgraded these classes as indicated:
-- $76.1 million class A-J to 'AAAsf' from 'CCCsf'; Outlook
Stable assigned;
-- $19.8 million class B to 'BBsf' from 'CCsf'; Outlook Stable
assigned.
Fitch has affirmed these classes:
-- $23.4 million class C at 'Dsf'; RE 0%;
-- $0.0 million class D at 'Dsf'; RE 0%;
-- $0.0 million class E at 'Dsf'; RE 0%;
-- $0.0 million class F at 'Dsf'; RE 0%;
-- $0.0 million class G at 'Dsf'; RE 0%;
-- $0.0 million class H at 'Dsf'; RE 0%;
-- $0.0 million class J at 'Dsf'; RE 0%;
-- $0.0 million class K at 'Dsf'; RE 0%;
-- $0.0 million class L at 'Dsf'; RE 0%;
-- $0.0 million class M at 'Dsf'; RE 0%;
-- $0.0 million class N at 'Dsf'; RE 0%;
-- $0.0 million class O at 'Dsf'; RE 0%;
-- $0.0 million class P at 'Dsf'; RE 0%;
-- $0.0 million class Q at 'Dsf'; RE 0%.
Classes A-1, A-2, A-3, A-AB, A-4, A-1A, and A-M have repaid in
full. The ratings on the interest-only classes X-1 and X-2 were
withdrawn. Fitch does not rate $0.0 million class S.
CANNINGTON FUNDING: Moody's Raises Rating on Class D Notes to Ba1
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on these notes
issued by Cannington Funding Ltd.:
$20,000,000 Class C Floating Rate Deferrable Senior Subordinate
Notes Due 2020, Upgraded to Aa1 (sf); previously on July 25,
2016, Upgraded to A1 (sf)
$14,000,000 Class D Floating Rate Deferrable Subordinate Notes
Due 2020 (current outstanding balance $13,729,460), Upgraded to
Ba1 (sf); previously on July 25, 2016, Affirmed Ba2 (sf)
Moody's also affirmed the ratings on these notes:
$26,000,000 Class A-2 Floating Rate Senior Notes Due 2020
(current outstanding balance $2,268,980), Affirmed Aaa (sf);
previously on July 25, 2016 Affirmed Aaa (sf)
$26,000,000 Class B Floating Rate Deferrable Senior Subordinate
Notes Due 2020, Affirmed Aaa (sf); previously on July 25, 2016,
Affirmed Aaa (sf)
Cannington Funding Ltd., issued in November 2006, is a
collateralized loan obligation (CLO) backed primarily by a
portfolio of senior secured loans. The transaction's reinvestment
period ended in November 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 July 2016. The Class A-1
and Class A-2 notes have been paid down by 100% or $17.1 million
and 91% or $23.8 million respectively ($40.8 million total) since
that time. Based on Moody's calculations, the OC ratios for the
Class A/B, Class C, and Class D notes are reported at 261.16%,
152.95%, and 119.08%, respectively, versus July 2016 levels of
176.63%, 136.97%, and 118.68%, respectively.
Nevertheless, the credit quality of the portfolio has deteriorated
since July 2016. Based on Moody's calculations, the weighted
average rating factor is currently 3183 compared to 3072 at that
time.
Moody's notes that this transaction has a concentrated 14.1%
exposure to obligors in the Midstream and Oilfield Services (OFS)
sectors of the Energy -- Oil & Gas industry. The transaction also
has significant exposures to obligors whose operating and financial
performance have been dependent on energy-related end markets.
Companies in the energy and related industries face unfavorable
market conditions which have adversely impacted the credit quality
and liquidity profiles of obligors. OFS companies, in particular,
are struggling with difficult industry fundamentals and operating
environments. CLOs with large exposures to obligors in the energy
and commodity related industries face greater risk of defaults and
potential trading losses, putting negative pressure on par coverage
for the CLO notes.
Additionally, the portfolio includes investments in securities that
mature after the notes do. Based on Moody's calculations,
securities that mature after the notes do are 4.38% of the
portfolio. These investments could expose the notes to market risk
in the event of liquidation when the notes mature.
Finally, the percentage of CLO collateral with lowest credit
quality, or Caa1 and below rated collateral (Caa collateral), has
increased since July 2016. Based on Moody's calculations, which
include adjustments for ratings with a negative outlook and ratings
on review for downgrade, Caa collateral has increased to 23.6%,
compared to 19.3% at that time.
Methodology Used for the Rating Action
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2015.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy
and b) the large concentration of upcoming speculative-grade
debt maturities, which could make refinancing difficult for
issuers.
2) Collateral Manager: Performance can also be affected
positively or negatively by a) the manager's investment
strategy and behavior and b) differences in the legal
interpretation of CLO documentation by different
transactional parties owing to embedded ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current
expectations, can lead to positive CLO performance.
Conversely, a negative shift in credit quality or performance
of the collateral can have adverse consequences for CLO
performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled
principal proceeds will continue and at what pace.
Deleveraging of the CLO could accelerate owing to high
prepayment levels in the loan market and collateral sales by
the manager, which could have a significant impact on the
notes' ratings. Note repayments that are faster than Moody's
current expectations will usually have a positive impact on
CLO notes, beginning with those with the highest payment
priority.
5) Recovery of defaulted assets: Fluctuations in the market
value of defaulted assets reported by the trustee and those
that Moody's assumes as having defaulted could result in
volatility in the deal's OC levels. Further, the timing of
recoveries and whether a manager decides to work out or sell
defaulted assets create additional uncertainty. Moody's
analyzed defaulted recoveries assuming the lower of the
market price and the recovery rate in order to account for
potential volatility in market prices. Realization of higher
than assumed recoveries would positively impact the CLO.
6) Long-dated assets: The presence of assets that mature after
the CLO's legal maturity date exposes the deal to liquidation
risk on those assets. This risk is borne first by investors
with the lowest priority in the capital structure. Moody's
assumes that the terminal value of an asset upon liquidation
at maturity will be equal to the lower of an assumed
liquidation value (depending on the extent to which the
asset's maturity lags that of the liabilities) or the asset's
current market value. However, actual long-dated asset
exposures and prevailing market prices and conditions at the
CLO's maturity will drive the deal's actual losses, if any,
from long-dated assets.
7) Exposure to assets with low credit quality and weak
liquidity: The presence of assets rated Caa3 with a negative
outlook, Caa2 or Caa3 on review for downgrade or the worst
Moody's speculative grade liquidity (SGL) rating, SGL-4,
exposes the notes to additional risks if these assets
default. The historical default rate is higher than average
for these assets. Due to the deal's exposure to such assets,
which constitute around $7.0 million of par, Moody's ran a
sensitivity case defaulting those assets.
8) Lack of portfolio granularity: The performance of the
portfolio depends to a large extent on the credit conditions
of a few large obligors Moody's rates non-investment grade,
especially if they jump to default.
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% (2546)
Class A-2: 0
Class B: 0
Class C: 0
Class D: +1
Moody's Adjusted WARF + 20% (3820)
Class A-2: 0
Class B: 0
Class C: -1
Class D: -2
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 $73.6 million, defaulted par
of $8.9 million, a weighted average default probability of 16.43%
(implying a WARF of 3183), a weighted average recovery rate upon
default of 50.12%, a diversity score of 11, and a weighted average
spread of 3.02% (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.
CREDIT SUISSE 2003-C3: Fitch Affirms 'Dsf' Rating on 5 Tranches
---------------------------------------------------------------
Fitch Ratings has affirmed six classes of Credit Suisse First
Boston Mortgage Securities Corp. (CSFB), series 2003-C3 commercial
mortgage pass-through certificates.
KEY RATING DRIVERS
The affirmations of the distressed ratings are based on the
concentrated nature of the pool, with only 11 loans remaining and
the high percentage of specially serviced loans (63% of the current
balance). As of the September 2016 distribution date, the pool's
aggregate principal balance has been reduced by 98.5% to $23.4
million from $1.76 billion at issuance. Per the servicer
reporting, two loans (5.1%) are defeased with scheduled maturities
in the first half of 2018. The non-specially serviced and
non-defeased loans mature in 2018 (6.9%), 2021 (5.1%) and 2023
(19.6%). Interest shortfalls are currently affecting classes K, O,
and P.
The largest specially serviced asset (26.2% of the pool) is a
163,393 square foot (sf) suburban office building located in
Colorado Springs, CO. The single tenant property is 100% occupied
by Honeywell International (rated 'A', Outlook Stable by Fitch as
of April 21, 2016). The loan transferred to special servicing in
February 2013 due to maturity default and became real estate owned
(REO) in May 2014. Honeywell has indicated that they will not be
renewing their lease expiring in November 2016. Per servicer
reporting, the property is currently under contract.
The next largest specially serviced loan (18.5%) is secured by a
176,508 sf regional mall located in Las Vegas, NV. The property is
encumbered by a master ground lease and revenue is derived from a
combination of three tenants sub-letting space and the rental
revenue from 31,845 sf of retail space. The loan transferred to
the special servicer in July 2014 due to non-monetary default. The
asset was 70% occupied as of the November 2015 rent roll. A court
receiver was appointed in September 2014 and the servicer is
currently pursuing foreclosure.
The third specially serviced loan (17.7%) is secured by a 64,665 sf
suburban office building located in Elmsford, NY. The loan
transferred to the special servicer in January 2015 due to payment
and maturity default. A receiver took possession of the property
in October 2015 and the servicer is currently pursuing foreclosure.
As of the second quarter of 2016, REIS reported a market vacancy
of 18.5% for the Westchester, NY metropolitan area, while the last
reported occupancy in 2014 was 57% at the subject property.
RATING SENSITIVITIES
Paydown to class J is reliant on proceeds from the specially
serviced loans. Upgrades to class J may be possible if the REO
asset is disposed with limited realized losses. Downgrades are
possible if losses are higher than currently anticipated.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed these ratings:
-- $17 million class J notes at 'CCCsf'; RE 100%
-- $6.3 million class K notes at 'Dsf'; RE 5%;
-- $0 million class L notes at 'Dsf'; RE 0%;
-- $0 million class M notes at 'Dsf'; RE 0%;
-- $0 million class N notes at 'Dsf'; RE 0%;
-- $0 million class O notes at 'Dsf'; RE 0%;
The class A-1, A-2, A-3, A-4, A-5, B, C, D, E, F, G, H, ASP, 622A,
622B, 622C, 622D, 622E, and 622F certificates have paid in full.
Fitch does not rate the class P certificates. Fitch previously
withdrew the ratings on the interest-only class A-X and A-Y
certificates.
DBCCRE 2014-ARCP: S&P Affirms BB- Rating on Class F Certificates
----------------------------------------------------------------
S&P Global Ratings affirmed its ratings on seven classes of
commercial mortgage pass-through certificates from DBCCRE 2014-ARCP
Mortgage Trust, a U.S. commercial mortgage-backed securities (CMBS)
transaction.
The affirmations on the principal- and interest-paying certificate
classes follow S&P's analysis of the transaction primarily using
its criteria for rating U.S. and Canadian CMBS transactions. S&P's
analysis included a review of the collateral securing the $620.0
million, 10-year, interest-only (IO), fixed-rate mortgage loan,
which consists of 82 single-tenant commercial properties totaling
7.18 million sq. ft. in 30 U.S. states and Puerto Rico. S&P also
considered the deal structure and liquidity available to the trust.
The affirmations also reflect subordination and liquidity that are
consistent with the outstanding ratings.
S&P affirmed its rating on the class X IO certificates based on its
criteria for rating IO securities, in which the ratings on the IO
securities would not be higher than that of the lowest rated
reference classes. The notional balance on class X references
classes A and B.
The analysis of stand-alone (single-borrower) transactions is
predominantly a recovery-based approach that assumes a loan
default. Using this approach, S&P's property-level analysis
included a revaluation of the 82 single-tenant commercial
properties that secure the mortgage loan in the trust. S&P also
considered the stable servicer-reported net operating income (NOI)
for the past three years and that each of the 82 properties is 100%
net leased or tripled net leased to a single tenant. S&P's
expected case value, using a 7.86% S&P Global Ratings' weighted
average capitalization rate, yielded an 84.3% S&P Global Ratings'
loan-to-value ratio and a 1.85x S&P Global Ratings' debt service
coverage (DSC) on the trust balance.
According to the Sept. 12, 2016, trustee remittance report, the IO
mortgage loan has a trust and whole-loan balance of $620.0 million,
pays an annual fixed interest rate of 4.973%, and matures on Jan.
6, 2024. According to the transaction documents, the borrowers
will pay the special servicing, work-out, and liquidation fees, as
well as costs and expenses incurred from appraisals and inspections
conducted by the special servicer. To date, the trust has not
incurred any principal losses.
"We based our analysis partly on a review of the property's
historical NOI for the six months ended June 30, 2016, and years
ended Dec. 31, 2015 and 2014, as well as the June 30, 2016, rent
rolls provided by the master servicer to determine our opinion of a
consolidated sustainable cash flow for the 82 single-tenant
mixed-used properties that are special-purpose, built-to-suit,
and/or highly customized for the current tenant's operations. The
property type consists of nine office (35.6% by allocated loan
balance), 68 retail (bank branches, pharmacies, restaurants, and
others) (37.3%), and five industrial (warehouse, distribution, and
manufacturing) (27.1%) properties. The properties are
geographically diverse and have 24 tenants from various industries.
The five largest tenants by allocated loan balance are CVS
Caremark (18.3%; 412,979 sq. ft.), Aon Corp. (14.9%; 818,686 sq.
ft.), Bi-Lo LLC (10.2%; 1.2 million sq. ft.), Rolls-Royce Corp.
(8.0%; 404,763 sq. ft.), and The Talbots Inc. (7.4%; 868,695 sq.
ft.). The master servicer, Wells Fargo Bank N.A., reported a DSC
of 2.27x on the trust balance for the three months ended March 31,
2016. Based on the June 2016 rent rolls, no leases expire until
2022, of which 5.6% of the total sq. ft. have leases that expire in
2022, 4.7% have leases that expire in 2023, and 41.4% have leases
that expire in 2024," S&P said.
RATINGS LIST
DBCCRE 2014-ARCP Mortgage Trust
Commercial mortgage pass-through certificates
Rating
Class Identifier To From
A 23305MAA3 AAA (sf) AAA (sf)
X 23305MAC9 AA- (sf) AA- (sf)
B 23305MAE5 AA- (sf) AA- (sf)
C 23305MAG0 A- (sf) A- (sf)
D 23305MAJ4 BBB- (sf) BBB- (sf)
E 23305MAL9 BB (sf) BB (sf)
F 23305MAN5 BB- (sf) BB- (sf)
DLJ COMMERCIAL 1998-CF2: Moody's Affirms Caa3 Rating on Cl. S Debt
------------------------------------------------------------------
Moody's Investors Service has affirmed the rating of one interest
only class of DLJ Commercial Mortgage Corp., Commercial Mortgage
Pass-Through Certificates, Series 1998-CF2 as follows:
Cl. S, Affirmed Caa3 (sf); previously on Nov. 24, 2015, Affirmed
Caa3 (sf)
RATINGS RATIONALE
The rating of the IO class, Class S, was affirmed based on the
credit performance of its referenced classes. The IO class is the
only outstanding Moody's rated class in this transaction.
Moody's rating action reflects a base expected loss of 0% of the
current balance compared to 0.3% 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. Moody's ratings
reflect the potential for future losses under such conditions.
Moody's base expected loss plus realized losses is now 3.1% of the
original pooled balance, essentially unchanged from 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 OF DOWNGRADE OF THE RATING:
The rating of an IO class is based on the credit performance of its
referenced classes. An IO class may be upgraded based on a lower
weighted average rating factor or WARF due to an overall
improvement in the credit quality of its reference classes. An IO
class may be downgraded based on a higher WARF due to a decline in
the credit quality of its reference classes, paydowns of higher
quality reference classes or non-payment of interest. Classes that
have paid off through loan paydowns or amortization are not
included in the WARF calculation. Classes that have experienced
losses are grossed up for losses and included in the WARF
calculation, even if Moody's has withdrawn the rating.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in this rating was "Moody's Approach
to Rating Large Loan and Single Asset/Single Borrower CMBS "
published on October 2015.
DESCRIPTION OF MODELS USED
Moody's review incorporated the use of the excel-based Large Loan
Model. The large loan model derives credit enhancement levels
based on an aggregation of adjusted loan level proceeds derived
from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
DEAL PERFORMANCE
As of the Sept. 13, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $10 million
from $1.11 billion at securitization. The certificates are
collateralized by 12 mortgage loans ranging in size from 1% to 30%
of the pool, with the top ten loans (excluding defeasance)
constituting 78% of the pool. Two loans, constituting 22% of the
pool, have defeased and are secured by US government securities.
Two loans, constituting 46% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Eleven loans have been liquidated from the pool, contributing to an
aggregate realized loss of $35 million (for an average loss
severity of 68%). There are no loans currently in special
servicing.
Moody's received full year 2014 operating results for 100% of the
pool, and full year 2015 operating results for 60% of the pool.
Moody's weighted average conduit LTV is 32%, 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. Excluding the Super 8-Hotel
Portfolio, which received a benefit to in-place net operating
income, Moody's net cash flow (NCF) reflects a weighted average
haircut of 5.1% to the most recently available net operating income
(NOI). Moody's value reflects a weighted average capitalization
rate of 10.0%.
Moody's actual and stressed conduit DSCRs are 1.27X and >4.00X,
respectively, compared to 1.28X and >4.00X 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 loans represent 55% of the pool balance. The largest
loan is the Spanish Villa Apartments Loan ($3 million -- 30% of the
pool), which is secured by a 232-unit multifamily apartment
property located in Savannah, Georgia. The property was 97%
occupied as of June 2016. Moody's LTV and stressed DSCR are 50%
and 1.96X, respectively, compared to 51% and 1.91X at prior
review.
The second largest loan is the Super 8-Hotel Portfolio
($2 million -- 18% of the pool). The loan is secured by a
portfolio of three crossed loans, secured by three limited service
hotel properties in Albuquerque, New Mexico. Moody's LTV and
stressed DSCR are 27% and >4.00X, respectively, compared to 35%
and >4.00X at the last review.
The third largest loan is the Walgreen's Loan ($722,0000 -- 7% of
the pool). The loan is secured by a 23,000 square foot retail
property located in San Francisco, California. The property is
100% leased to Walgreen Co. Moody's incorporated a lit/dark
analysis in determining its value for the collateral. Moody's LTV
and stressed DSCR are 31% and 3.64X, respectively, compared to 35%
and 3.25X at the last review.
DLJ COMMERCIAL 1999-CG2: Moody's Affirms Caa3 Rating on Cl. S Debt
------------------------------------------------------------------
Moody's Investors Service has affirmed the rating of one class of
DLJ Commercial Mortgage Corp., Commercial Mortgage Pass-Through
Certificates, Series 1999-CG2 as:
Cl. S, Affirmed Caa3 (sf); previously on Oct. 23, 2015, Affirmed
Caa3 (sf)
RATINGS RATIONALE
The rating of the IO class, Class S, was affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of its referenced classes The IO class is the only outstanding
class rated by Moody's in this transaction.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The rating of an IO class is based on the credit performance of its
referenced classes. An IO class may be upgraded based on a lower
weighted average rating factor or WARF due to an overall
improvement in the credit quality of its reference classes. An IO
class may be downgraded based on a higher WARF due to a decline in
the credit quality of its reference classes, paydowns of higher
quality reference classes or non-payment of interest. Classes that
have paid off through loan paydowns or amortization are not
included in the WARF calculation. Classes that have experienced
losses are grossed up for losses and included in the WARF
calculation, even if Moody's has withdrawn the rating.
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 diversity of loan size,
where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 5, compared to 6 at Moody's last review.
In cases where 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. These aggregated proceeds are then
further adjusted for any pooling benefits associated with loan
level diversity, other concentrations and correlations.
DEAL PERFORMANCE
As of the Sept. 12, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 99% to
$19.5 million from $1.55 billion at securitization. The
Certificates are collateralized by 15 mortgage loans ranging in
size from less than 1% to 32% of the pool, with the top ten loans
representing 84% of the pool. Three loans, representing 14% of the
pool, have defeased and are secured by US Government securities.
Four loans, representing 38% 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
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Fifty-eight loans have been liquidated from the pool, resulting in
an aggregate realized loss of $62 million (34% loss severity on
average). No loans are currently in special servicing.
Moody's was provided with full year 2015 and partial year 2016
operating results for 92% and 58% of the pool, respectively.
Moody's weighted average conduit LTV is 45%, compared to 47% at
Moody's prior review. Moody's conduit component excludes loans
with credit assessments, defeased and CTL loans and specially
serviced and troubled loans. Moody's net cash flow (NCF) reflects
a weighted average haircut of 14% to the most recently available
net operating income (NOI). Moody's value reflects a weighted
average capitalization rate of 9.3%.
Moody's actual and stressed conduit DSCRs are 1.56X and 3.84X,
respectively, compared to 1.62X and 3.42X at prior 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%
stressed rate applied to the loan balance.
The top three conduit loans represent 56% of the pool balance. The
largest loan is the Hazelcrest Place Loan ($6.2 million -- 32% of
the pool), which is secured by a 241-unit multifamily property in
Hazel Park, Michigan. As of June 2016, the property was 98%
leased. Performance has been stable. Moody's LTV and stressed
DSCR are 64% and 1.56X, respectively, compared to 67% and 1.50X at
the prior review.
The second largest loan is the Garden City Tower Loan ($3.3 million
-- 17% of the pool), which is secured by a 170-unit multifamily
property in Garden City, Michigan. The property was 100% leased as
of June 2016. Moody's LTV and stressed DSCR are 45% and 2.22X,
respectively, compared to 49% and 2.04X at the prior review.
The third largest loan is the Anaheim Mobile Estates Loan ($1.4
million -- 7% of the pool), which is secured by a 229-pad
manufactured housing community located in Anaheim, California,
approximately 5 miles west of Disneyland Park. The property is
100% occupied as of June 2016, the same as at the prior review.
Moody's LTV and stressed DSCR are 6% and >4.00X, respectively,
compared to 8% and >4.00X at the prior review.
DLJ COMMERCIAL 1999-CG3: Moody's Affirms Caa3 Rating on Cl. S Debt
------------------------------------------------------------------
Moody's Investors Service has affirmed the rating on one class and
upgraded the rating on one class in DLJ Commercial Mortgage Corp.,
Commercial Mortgage Pass-Through Certificates, Series 1999-CG3 as:
Cl. B-4, Upgraded to Aa2 (sf); previously on Nov. 5, 2015,
Upgraded to A1 (sf)
Cl. S, Affirmed Caa3 (sf); previously on Nov. 5, 2015, Affirmed
Caa3 (sf)
RATINGS RATIONALE
The rating on Class B-4 was upgraded based primarily on an increase
in credit support resulting from loan paydowns and amortization.
The deal has paid down 5% since Moody's last review and 99% since
securitization.
The rating on the IO class, Class S, was affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of its referenced classes.
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. Moody's ratings
reflect the potential for future losses under varying levels of
stress. Moody's base expected loss plus realized losses is now
5.2% of the original pooled balance, the same as at the last
review. Moody's provides a current list of base expected losses
for conduit and fusion CMBS transactions on moodys.com at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in October 2015.
DESCRIPTION OF MODELS USED
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 2, the same as at Moody's last review.
Moody's analysis used the excel-based Large Loan Model. The large
loan model derives credit enhancement levels based on an
aggregation of adjusted loan-level proceeds derived from Moody's
loan-level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure and property type. Moody's also
further adjusts these aggregated proceeds for any pooling benefits
associated with loan level diversity and other concentrations and
correlations.
DEAL PERFORMANCE
As of the Sept. 12, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 99% to
$11.1 million from $899 million at securitization. The
certificates are collateralized by four remaining mortgage loans.
One loan, constituting 29% of the pool, has defeased and is secured
by US government securities.
One loan, constituting 12% of the pool, is on the master servicer's
watchlist. The watchlist includes loans that meet certain
portfolio review guidelines established as part of the CRE Finance
Council (CREFC) monthly reporting package. As part of Moody's
ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Thirty-seven loans have been liquidated from the pool, resulting in
an aggregate realized loss of $46.7 million (for an average loss
severity of 30%). There are currently no loans in special
servicing.
The three non-defeased loans represent 71% of the pool balance. The
largest loan is The Regency Apartments Loan ($5.9 million -- 52% of
the pool), which is secured by a 186-unit multifamily property
located in Fayetteville, North Carolina, just south of the Fort
Bragg military base. As of March 2016, the property was 84%
leased. Moody's LTV and stressed DSCR are 71% and 1.36X,
respectively, compared to 73% and 1.34X at the last review. Moody's
stressed DSCR is based on Moody's NCF and a 9.25% stress rate the
agency applied to the loan balance.
The second largest loan is the Whitfield Village Apartments Loan
($1.3 million -- 12% of the pool), which is secured by a 48-unit,
seven building apartment complex located in Sarasota, Florida. The
loan previously had been transferred to special servicing in March
2012 due to monetary default and was modified in January 2015,
resulting in the loan's modification with a decrease in the
interest rate to 5.25% from 8.58%, and an extension of the maturity
date to December 2024. The loan is on the servicer's watchlist.
The property was 98% leased as of April 2016. Moody's LTV and
stressed DSCR are 78% and 1.24X, respectively, compared to 75% and
1.30X at the last review.
The third largest loan is the Manor Court Apartments Loan ($0.9
million -- 8% of the pool), which is secured by a 74-unit apartment
complex located in North Miami, Florida. As of June 2016, the
property was 97% leased. The loan is fully amortizing and has paid
down 49% since securitization. Moody's LTV and stressed DSCR are
21% and >4.00X, respectively, compared to 29% and 3.32X at the
last review.
DRIVE AUTO 2015-B: Moody's Affirms Ba2 Rating on Class E Notes
--------------------------------------------------------------
Moody's Investor Services has upgraded 10 tranches and affirmed 11
tranches from the Drive Auto Receivables Trust transactions issued
in 2015 and 2016. The securitizations are sponsored by Santander
Consumer USA Inc. (SC).
The complete rating actions are:
Issuer: Drive Auto Receivables Trust 2015-A
Class B Notes, Affirmed Aaa (sf); previously on June 16, 2016,
Affirmed Aaa (sf)
Class C Notes, Upgraded to Aaa (sf); previously on June 16,
2016, Upgraded to Aa1 (sf)
Class D Notes, Upgraded to A3 (sf); previously on June 16, 2016,
Affirmed Baa2 (sf)
Issuer: Drive Auto Receivables Trust 2015-B
Class B Notes, Affirmed Aaa (sf); previously on June 16, 2016,
Affirmed Aaa (sf)
Class C Notes, Upgraded to Aaa (sf); previously on June 16,
2016, Upgraded to Aa1 (sf)
Class D Notes, Upgraded to A2 (sf); previously on June 16, 2016,
Affirmed Baa1 (sf)
Class E Notes, Affirmed Ba2 (sf); previously on June 16, 2016,
Affirmed Ba2 (sf)
Issuer: Drive Auto Receivables Trust 2015-C
Class B Notes, Affirmed Aaa (sf); previously on June 16, 2016,
Affirmed Aaa (sf)
Class C Notes, Upgraded to Aaa (sf); previously on June 16,
2016, Upgraded to Aa1 (sf)
Class D Notes, Upgraded to A2 (sf); previously on June 16, 2016,
Affirmed Baa1 (sf)
Class E Notes, Affirmed Ba2 (sf); previously on June 16, 2016,
Affirmed Ba2 (sf)
Issuer: Drive Auto Receivables Trust 2015-D
Class A-3 Notes, Affirmed Aaa (sf); previously on June 16, 2016,
Affirmed Aaa (sf)
Class B Notes, Affirmed Aaa (sf); previously on June 16, 2016,
Upgraded to Aaa (sf)
Class C Notes, Upgraded to Aaa (sf); previously on June 16,
2016, Upgraded to Aa2 (sf)
Class D Notes, Upgraded to A3 (sf); previously on June 16, 2016,
Affirmed Baa1 (sf)
Issuer: Drive Auto Receivables Trust 2016-A
Class A-2-A Notes, Affirmed Aaa (sf); previously on Jan. 27,
2016, Definitive Rating Assigned Aaa (sf)
Class A-2-B Notes, Affirmed Aaa (sf); previously on Jan. 27,
2016, Definitive Rating Assigned Aaa (sf)
Class A-3 Notes, Affirmed Aaa (sf); previously on Jan. 27, 2016,
Definitive Rating Assigned Aaa (sf)
Class B Note, Upgraded to Aaa (sf); previously on Jan. 27, 2016,
Definitive Rating Assigned Aa1 (sf)
Class C Notes, Upgraded to Aa2 (sf); previously on Jan. 27,
2016, Definitive Rating Assigned Aa3 (sf)
Class D Notes, Affirmed Baa2 (sf); previously on Jan. 27, 2016,
Definitive Rating Assigned Baa2 (sf)
RATINGS RATIONALE
The upgrades mainly resulted from the build-up of credit
enhancement due to the sequential pay structure and non-declining
reserve account. The overcollateralization is currently at or near
the target level of current balance for all the transactions. The
lifetime cumulative net loss (CNL) expectations remain unchanged at
27.00% since closing.
Below are key performance metrics (as of the September 2016
distribution date) and credit assumptions for each affected
transaction. The credit assumptions include Moody's expected
lifetime CNL expectation, which is expressed as a percentage of the
original pool balance; Moody's lifetime remaining CNL expectation
and Moody's Aaa level, which are expressed as a percentage of the
current pool balance. The Aaa level is the level of credit
enhancement that would be consistent with a Aaa (sf) rating for the
given asset pool at this time. Performance metrics include the
pool factor, which is the ratio of the current collateral balance
to the original collateral balance at closing; total hard credit
enhancement, which typically consists of subordination,
overcollateralization, and a reserve fund as applicable; and excess
spread per annum.
Issuer: Drive Auto Receivables Trust 2015-A
Lifetime CNL expectation -- 27.00%, prior expectation (June
2016) -- 27.00%
Lifetime Remaining CNL expectation -- 29.97%
Aaa (sf) level -- 60.00%
Pool factor -- 53.23%
Total Hard credit enhancement - Class B Notes 87.45%, Class C
Notes 55.04%, Class D Notes 36.26%
Excess Spread per annum - Approximately 12.8%
Issuer: Drive Auto Receivables Trust 2015-B
Lifetime CNL expectation -- 27.00%, prior expectation (June
2016) -- 27.00%
Lifetime Remaining CNL expectation -- 31.56%
Aaa (sf) level -- 60.00%
Pool factor -- 58.45%
Total Hard credit enhancement - Class B Notes 86.81%, Class C
Notes 57.30%, Class D Notes 40.19%, Class E Notes 29.92%
Excess Spread per annum - Approximately 12.9%
Issuer: Drive Auto Receivables Trust 2015-C
Lifetime CNL expectation -- 27.00%, prior expectation (June
2016) -- 27.00%
Lifetime Remaining CNL expectation -- 29.53%
Aaa (sf) level -- 60.00%
Pool factor -- 61.61%
Total Hard credit enhancement - Class B Notes 83.72%, Class C
Notes 55.72%, Class D Notes 39.49%, Class E Notes 29.75%
Excess Spread per annum - Approximately 13.4%
Issuer: Drive Auto Receivables Trust 2015-D
Lifetime CNL expectation -- 27.00%, prior expectation (June
2016) -- 27.00%
Lifetime Remaining CNL expectation -- 29.33%
Aaa (sf) level -- 60.00%
Pool factor -- 67.36%
Total Hard credit enhancement - Class A Notes 95.82%, Class B
Notes 77.19%, Class C Notes 50.54%, Class D Notes 35.70%
Excess Spread per annum - Approximately 13.7%
Issuer: Drive Auto Receivables Trust 2016-A
Lifetime CNL expectation -- 27.00%, original expectation
(January 2016) -- 27.00%
Lifetime Remaining CNL expectation -- 28.74%
Aaa (sf) level -- 65.00%
Pool factor -- 79.75%
Total Hard credit enhancement - Class A Notes 84.98%, Class B
Notes 67.80%, Class C Notes 48.05%, Class D Notes 32.69%
Excess Spread per annum - Approximately 13.6%
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
December 2015.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are greater than necessary to
protect investors against current expectations of loss could lead
to an upgrade of the rating. Moody's current expectations of loss
may be better than its original expectations because of lower
frequency of default by the underlying obligors or appreciation in
the value of the vehicles that secure the obligor's promise of
payment. The US job market and the market for used vehicle are
primary drivers of performance. Other reasons for better
performance than Moody's expected include changes in servicing
practices to maximize collections on the loans or refinancing
opportunities that result in a prepayment of the loan.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could lead to a
downgrade of the ratings. Moody's current expectations of loss may
be worse than its original expectations because of higher frequency
of default by the underlying obligors of the loans or a
deterioration in the value of the vehicles that secure the
obligor's promise of payment. The US job market and the market for
used vehicle are primary drivers of performance. Other reasons for
worse performance than Moody's expected include poor servicing,
error on the part of transaction parties, lack of transactional
governance and fraud.
FREDDIE MAC 2016-DNA4: Fitch Assigns BBsf Rating on Cl. M-3A Debt
-----------------------------------------------------------------
Fitch Ratings has assigned ratings to Freddie Mac's risk-transfer
transaction, Structured Agency Credit Risk Debt Notes Series
2016-DNA4 (STACR 2016-DNA4) as follows:
-- $177,000,000 class M-1 notes 'BBBsf'; Outlook Stable;
-- $177,000,000 class M-2 notes 'BBB-sf'; Outlook Stable;
-- $177,000,000 class M-2F exchangeable notes 'BBB-sf'; Outlook
Stable;
-- $177,000,000 class M-2I notional exchangeable notes 'BBB-
sf'; Outlook Stable;
-- $177,000,000 class M-3A notes 'BBsf'; Outlook Stable;
-- $177,000,000 class M-3AF exchangeable notes 'BBsf'; Outlook
Stable;
-- $177,000,000 class M-3AI notional exchangeable notes 'BBsf';
Outlook Stable;
-- $177,000,000 class M-3B notes 'Bsf'; Outlook Stable;
-- $354,000,000 class M-3 exchangeable notes 'Bsf'; Outlook
Stable;
The following classes will not be rated by Fitch:
-- $23,602,630,840 class A-H reference tranche;
-- $71,448,746 class M-1H reference tranche;
-- $71,448,746 class M-2H reference tranche;
-- $71,448,745 class M-3AH reference tranche;
-- $71,448,746 class M-3BH reference tranche;
-- $31,000,000 class B notes;
-- $217,448,746.13 class B-H reference tranche.
The 'BBBsf' rating for the M-1 notes reflects the 4.00%
subordination provided by the 1.00% class M-2 notes, the 1.00%
class M-3A notes, the 1.00% class M-3B, and the 1.00% class B
notes. The 'BBB-sf' rating for the M-2 notes reflects the 3.00%
subordination provided by the 1.00% class M-3A notes, the 1.00%
class M-3B notes and the 1.00% class B notes. The notes are general
unsecured obligations of Freddie Mac ('AAA'/Outlook Stable) subject
to the credit and principal payment risk of a pool of certain
residential mortgage loans held in various Freddie Mac-guaranteed
MBS.
STACR 2016-DNA4 represents Freddie Mac's twelfth risk transfer
transaction applying actual loan loss severity (LS) issued as part
of the Federal Housing Finance Agency's Conservatorship Strategic
Plan for 2013-2017 for each of the government-sponsored enterprises
(GSEs) to demonstrate the viability of multiple types of
risk-transfer transactions involving single-family mortgages.
The objective of the transaction is to transfer credit risk from
Freddie Mac to private investors with respect to a $24.84 billion
pool of mortgage loans currently held in previously issued MBS
guaranteed by Freddie Mac where principal repayment of the notes is
subject to the performance of a reference pool of mortgage loans.
As loans liquidate or other credit events occur, the outstanding
principal balance of the debt notes will be reduced by the actual
loan's LS percentage related to those credit events, which includes
borrower's delinquent interest.
While the transaction structure simulates the behavior and credit
risk of traditional RMBS senior-subordinate securities, Freddie Mac
will be responsible for making monthly payments of interest and
principal to investors. Because of the counterparty dependence on
Freddie Mac, Fitch's expected rating on the M-1, M-2, M-2F, M-2I,
M-3A, M-3AF, M-3AI, M-3B and M-3 notes will be based on the lower
of: the quality of the mortgage loan reference pool and credit
enhancement (CE) available through subordination, and Freddie Mac's
Issuer Default Rating. The M-1, M-2, M-3A, M-3B and B notes will be
issued as uncapped LIBOR-based floaters and will carry a 12.5-year
legal final maturity.
KEY RATING DRIVERS
High-Quality Mortgage Pool (Positive): The reference mortgage loan
pool consists of 106,116 high-quality mortgage loans totalling
$24.844 billion that were acquired by Freddie Mac between Jan. 1,
2016 and March 31, 2016. The pool consists of loans with original
loan-to-value ratios (LTVs) of over 60% and less than or equal to
80% with a weighted average (WA) original combined LTV of 76%. The
WA debt-to-income (DTI) ratio of 35.4% and credit score of 748
reflect the strong credit profile of post-crisis mortgage
originations.
Actual Loss Severities (Neutral): This will be Freddie Mac's
twelfth actual loss risk transfer transaction in which losses borne
by the noteholders will not be based on a fixed LS schedule. The
notes in this transaction will experience losses realized at the
time of liquidation or loan modification which will include both
lost principal and delinquent interest.
12.5-Year Hard Maturity (Positive): The M-1, M-2, M-3A, and M-3B
notes benefit from a 12.5-year legal final maturity. Thus, any
credit events on the reference pool that occur beyond year 12.5 are
borne by Freddie Mac and do not affect the transaction. In
addition, credit events that occur prior to maturity with losses
realized from liquidations or loan modifications that occur after
the final maturity date will not be passed through to noteholders.
This feature more closely aligns the risk of loss to that of the
10-year, fixed LS STACRs where losses were passed through when a
credit event occurred; that is, loans became 180-days delinquent
with no consideration for liquidation timelines. The credit ranged
from 8% at the 'Asf' rating category to 14% at the 'Bsf' rating
category.
Solid Lender Review and Acquisition Processes (Positive): Fitch
found that Freddie Mac has a well-established and disciplined
process in place for the purchase of loans and views its
lender-approval and oversight processes for minimizing counterparty
risk and ensuring sound loan quality acquisitions as positive. Loan
quality control (QC) review processes are thorough and indicate a
tight control environment that limits origination risk. Fitch has
determined Freddie Mac to be an above-average aggregator for its
2013 and later product. The lower risk was accounted for by Fitch
by applying a lower default estimate for the reference pool.
Advantageous Payment Priority (Positive): The payment priority of
the M-1 class will result in a shorter life and more stable CE than
mezzanine classes in private-label (PL) RMBS, providing a relative
credit advantage. Unlike PL mezzanine RMBS, which often do not
receive a full pro rata share of the pool's unscheduled principal
payment until year 10, the M-1 class can receive a full pro rata
share of unscheduled principal immediately, as long as a minimum CE
level is maintained, and the cumulative net loss and the
delinquency test are within a certain threshold. Additionally,
unlike PL mezzanine classes, which lose subordination over time due
to scheduled principal payments to more junior classes, the M-2,
M-3A, M-3B and B classes will not receive any scheduled or
unscheduled principal allocations until the M-1 class is paid in
full. The B class will not receive any scheduled or unscheduled
principal allocations until the M-3B class is paid in full.
Solid Alignment of Interests (Positive): While the transaction is
designed to transfer credit risk to private investors, Fitch
believes the transaction benefits from a solid alignment of
interests. Freddie Mac will retain credit risk in the transaction
by holding the senior reference tranche A-H, which has 5% of loss
protection, as well as a minimum of 50% of the first-loss B
tranche, sized at 100 basis points (bps). Initially, Freddie Mac
will retain an approximately 29% vertical slice/interest in the
M-1, M-2, M-3A, and M-3B tranches.
Receivership Risk Considered (Neutral): Under the Federal Housing
Finance Regulatory Reform Act, the Federal Housing Finance Agency
(FHFA) must place Freddie Mac into receivership if it determines
that the GSE's assets are less than its obligations for longer than
60 days following the deadline of its SEC filing. As receiver, FHFA
could repudiate any contract entered into by Freddie Mac if it is
determined that such action would promote an orderly administration
of Freddie Mac's affairs. Fitch believes that the U.S. government
will continue to support Freddie Mac, as reflected in its current
rating of the GSE. However, if at some point Fitch views the
support as being reduced and receivership likely, the rating of
Freddie Mac could be downgraded and ratings on the M-1, M-2, M-3A,
and M-3B notes, along with their corresponding MAC notes, could be
affected.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the MSA and national levels. The implied
rating sensitivities are only an indication of some of the
potential outcomes and do not consider other risk factors that the
transaction may become exposed to or be considered in the
surveillance of the transaction.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the model
projected 24.2% at the 'BBBsf' level, 22.6% at the 'BBB-sf' level
and 14.7% at the 'Bsf' level. The analysis indicates that there is
some potential rating migration with higher MVDs, compared with the
model projection.
Fitch also conducted defined rating sensitivities which determine
the stresses to MVDs that would reduce a rating by one full
category, to non-investment grade, and to 'CCCsf'. For example,
additional MVDs of 11%, 11% and 35% would potentially move the
'BBBsf' rated class down one rating category, to non-investment
grade, to 'CCCsf', respectively.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
Fitch was provided with due diligence information from the third
party diligence provider. The due diligence focused on credit and
compliance reviews, desktop valuation reviews and data integrity.
The third party diligence provider examined selected loan files
with respect to the presence or absence of relevant documents.
Fitch received certifications indicating that the loan-level due
diligence was conducted in accordance with Fitch's published
standards. The certifications also stated that the company
performed its work in accordance with the independence standards,
per Fitch's criteria, and that the due diligence analysts
performing the review met Fitch's criteria of minimum years of
experience. Fitch considered this information in its analysis and
the findings did not have an impact on our analysis.
GMACM MORTGAGE 2004-J5: Moody's Cuts Cl. A-7 Debt Rating to Ba2
---------------------------------------------------------------
Moody's Investors Service has confirmed the ratings of five
tranches and downgraded the ratings of four tranches from two
transactions, backed by Prime Jumbo RMBS loans, issued by multiple
issuers.
Complete rating actions are:
Issuer: ABN AMRO Mortgage Corporation, Multi-Class Pass-Through
Certificates, Series 2003-12
Cl. 1A, Confirmed at Baa1 (sf); previously on June 17, 2016,
Baa1 (sf) Placed Under Review Direction Uncertain
Cl. 2A, Confirmed at Baa1 (sf); previously on June 17, 2016,
Baa1 (sf) Placed Under Review Direction Uncertain
Cl. 3A1, Confirmed at Baa1 (sf); previously on June 17, 2016,
Baa1 (sf) Placed Under Review Direction Uncertain
Cl. 3A2, Confirmed at Baa1 (sf); previously on June 17, 2016,
Baa1 (sf) Placed Under Review Direction Uncertain
Cl. A-P, Confirmed at Baa1 (sf); previously on June 17, 2016,
Baa1 (sf) Placed Under Review Direction Uncertain
Issuer: GMACM Mortgage Loan Trust 2004-J5
Cl. A-5, Downgraded to Baa2 (sf); previously on June 17, 2016,
Baa1 (sf) Placed Under Review Direction Uncertain
Cl. A-6, Downgraded to Baa2 (sf); previously on June 17, 2016,
Baa1 (sf) Placed Under Review Direction Uncertain
Cl. A-7, Downgraded to Ba2 (sf); previously on June 17, 2016,
Ba1 (sf) Placed Under Review Direction Uncertain
Cl. PO, Downgraded to Ba3 (sf); previously on June 17, 2016,
Ba1 (sf) Placed Under Review Direction Uncertain
RATINGS RATIONALE
The actions conclude the review actions on these bonds announced on
June 17, 2016, relating to apparent inconsistences between the
prepayment shift percentage value calculated per the transaction
documents and the distributions being made by the administrator
according to the remittance reports. After review with the
administrators, we have concluded that no model changes were
required for these transactions. The downgrades of four bonds from
GMACM Mortgage Loan Trust 2004-J5 are due to the weaker performance
of the underlying collateral and credit enhancement available to
the bonds compared to their expected loss. The rating actions also
reflect the recent performance of the underlying pools and Moody's
updated loss expectation on the pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.9% in August 2016 from 5.1% in
August 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.
GS MORTGAGE 2016-GS3: Fitch Assigns BB-sf Rating on Cl. E Notes
---------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks for GS Mortgage Securities Trust (GSMS) 2016-GS3
Commercial Mortgage Pass-Through Certificates, Series 2016-GS3.
-- $28,475,000 class A-1 'AAAsf'; Outlook Stable;
-- $77,052,000 class A-2 'AAAsf'; Outlook Stable;
-- $265,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $320,243,000 class A-4 'AAAsf'; Outlook Stable;
-- $57,066,000 class A-AB 'AAAsf'; Outlook Stable;
-- $841,316,000b class X-A 'AAAsf'; Outlook Stable;
-- $53,417,000b class X-B 'AA-sf'; Outlook Stable;
-- $93,480,000c class A-S 'AAAsf'; Outlook Stable;
-- $53,417,000c class B 'AA-sf'; Outlook Stable;
-- $192,301,000c class PEZ 'A-sf'; Outlook Stable;
-- $45,404,000c class C 'A-sf'; Outlook Stable;
-- $53,417,000a class D 'BBB-sf'; Outlook Stable;
-- $53,417,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $24,038,000a class E 'BB-sf'; Outlook Stable;
-- $10,683,000a class F 'B-sf'; Outlook Stable;
-- $40,063,502a class G 'NR'.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest only.
(c) Class A-S, B and C certificates may be exchanged for class PEZ
certificates, and class PEZ certificates may be exchanged for class
A-S, B and C certificates.
Since Fitch published its expected ratings on Sept. 14, 2016, the
notional balance of the interest-only class X-B changed from
$98,821,000 to $53,417,000. The rating for the class changed from
'A-sf' to 'AA-sf'.
These ratings are based on information provided by the issuer as of
Sept. 13, 2016. Fitch does not rate the $40,063,502 class G.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 34 loans secured by 152
commercial properties having an aggregate principal balance of
approximately $1.07 billion as of the cut-off date. The loans were
contributed to the trust by Goldman Sachs Mortgage Company.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 70.6% of the properties
by balance and cash flow analysis of 92.9% of the pool.
The transaction has a Fitch stressed debt service coverage ratio
(DSCR) of 1.30x, a Fitch stressed loan-to-value (LTV) of 97.2%, and
a Fitch debt yield of 9.9%. Fitch's aggregate net cash flow
represents a variance of 11.4% to issuer cash flows.
KEY RATING DRIVERS
Lower Fitch Leverage: The Fitch stressed DSCR on the trust-specific
debt is 1.30x, higher than the 2015 and YTD 2016 averages of 1.18x
and 1.18x, respectively. The Fitch stressed LTV ratio on the
trust-specific debt is 97.2%, lower than the 2015 and YTD 2016
averages of 109.3% and 106.5%, respectively, for the other
Fitch-rated deals.
Highly Concentrated Pool: The largest 10 loans in the transaction
comprise 62.1% of the pool by balance. Compared to other
Fitch-rated U.S. multiborrower deals, the concentration in this
transaction is higher than the 2015 and YTD 2016 average
concentrations of 49.3% and 55.3%, respectively. The pool's
concentration results in a loan concentration index (LCI) of 486,
which is higher than the 2015 average of 367 and 2016 YTD average
of 428.
Credit Opinion Loans: Three loans in the pool, representing 21.5%
of the total pool balance, received investment-grade credit
opinions. The largest loan in the pool, 10 Hudson Yards (8.2% of
the pool), received an investment-grade credit opinion of 'AAAsf'
on a fusion basis. The second largest loan, 540 West Madison (8.1%
of the pool), received an investment-grade opinion of 'A+sf' on a
fusion basis. Veritas Multifamily Pool 1 (5.2% of the pool)
received an investment-grade credit opinion of 'AAAsf' on a fusion
basis.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 5.8% 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 GSMS
2016-GS3 certificates and found that the transaction displays
average sensitivities 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.
JAY PARK: Moody's Assigns Ba3 Rating on Class D Notes
-----------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Jay Park CLO, Ltd.
Moody's rating action is:
$307,200,000 Class A-1 Senior Secured Floating Rate Notes,
Definitive Rating Assigned Aaa (sf)
$59,400,000 Class A-2 Senior Secured Floating Rate Notes,
Definitive Rating Assigned Aa1 (sf)
$45,600,000 Class B Secured Deferrable Floating Rate Notes,
Definitive Rating Assigned A2 (sf)
$29,400,000 Class C Secured Deferrable Floating Rate Notes,
Definitive Rating Assigned Baa3 (sf)
$18,300,000 Class D Secured Deferrable Floating Rate Notes,
Definitive Rating Assigned Ba3 (sf)
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.
Jay Park CLO, Ltd. is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated first lien
senior secured corporate loans. At least 96.0% of the portfolio
must consist of senior secured loans, cash and eligible
investments, and up to 4.0% of the portfolio may consist of second
lien loans and unsecured loans. Moody's expects the portfolio to
be approximately 75% ramped as of the closing date.
GSO/Blackstone Debt Funds 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 4.75-year reinvestment period.
Thereafter, the Manager may reinvest unscheduled principal payments
and proceeds from sales of credit risk assets, subject to certain
restrictions.
In addition to the Rated Notes, the Issuer issued subordinated
notes. The transaction incorporates interest and par coverage
tests which, if triggered, divert interest and principal proceeds
to pay down the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2015.
For modeling purposes, Moody's used these base-case assumptions:
Par amount: $500,000,000
Diversity Score: 58
Weighted Average Rating Factor (WARF): 2800
Weighted Average Spread (WAS): 3.75%
Weighted Average Recovery Rate (WARR): 48.0%
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 2800 to 3220)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2 Notes: -1
Class B Notes: -2
Class C Notes: -1
Class D Notes: -0
Percentage Change in WARF -- increase of 30% (from 2800 to 3640)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2 Notes: -3
Class B Notes: -3
Class C Notes: -2
Class D Notes: -1
JC PENNEY 2006-1: Moody's Raises Rating on 2 Tranches to B3
-----------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of the following certificates issued by Corporate Backed
Callable Trust Certificates J.C. Penney Debenture-Backed Series
2006-1 Trust:
Class A-1 Certificates, Upgraded to B3; previously on May 30,
2013, Downgraded to Caa2
Class A-2 Certificates, Upgraded to B3; previously on May 30,
2013, Downgraded to Caa2
RATINGS RATIONALE
The rating actions are a result of the change of the rating of J.C.
Penney Corporation, Inc. 7.625% Debentures due March 1, 2097, which
was upgraded to B3 on Sept. 28, 2016. The transaction is a
structured note whose ratings are based on the rating of the
Underlying Securities and the legal structure of the transaction.
Methodology Underlying the Rating Action
The principal methodology used in these ratings was "Moody's
Approach to Rating Repackaged Securities" published in June 2015.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS
The ratings will be sensitive to any change in the rating of the
7.625% Debentures due March 1, 2097, issued by J.C. Penney
Corporation, Inc.
JC PENNEY 2007-1: Moody's Raises Rating on 2 Tranches to B3
-----------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of these certificates issued by Corporate Backed Callable
Trust Certificates J.C. Penney Debenture-Backed Series 2007-1
Trust:
Class A-1 Certificates Notes, Upgraded to B3; previously on
May 30, 2013, Downgraded to Caa2
Class A-2 Certificates Notes, Upgraded to B3; previously on
May 30, 2013, Downgraded to Caa2
RATINGS RATIONALE
The rating actions are a result of the change of the rating of J.C.
Penney Corporation, Inc. 7.625% Debentures due March 1, 2097, which
was upgraded to B3 on Sept. 28, 2016. The transaction is a
structured note whose ratings are based on the rating of the
Underlying Securities and the legal structure of the transaction.
Methodology Underlying the Rating Action
The principal methodology used in these ratings was "Moody's
Approach to Rating Repackaged Securities" published in June 2015.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS
The ratings will be sensitive to any change in the rating of the
7.625% Debentures due March 1, 2097, issued by J.C. Penney
Corporation, Inc.
JP MORGAN 2007-CIBC18: Moody's Cuts Rating on A-J Certs. to Caa1
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on ten classes
and downgraded the ratings on two classes in J.P. Morgan Chase
Commercial Mortgage Securities Corp., Commercial Mortgage
Pass-Through Certificates, Series 2007-CIBC18 as:
Cl. A-1A, Affirmed Aaa (sf); previously on Oct. 29, 2015,
Affirmed Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Oct. 29, 2015,
Affirmed Aaa (sf)
Cl. A-M, Affirmed A2 (sf); previously on Oct. 29, 2015, Affirmed
A2 (sf)
Cl. A-MFL, Affirmed A2 (sf); previously on Oct. 29, 2015,
Affirmed A2 (sf)
Cl. A-MFX, Affirmed A2 (sf); previously on Oct. 29, 2015,
Affirmed A2 (sf)
Cl. A-J, Downgraded to Caa1 (sf); previously on Oct. 29, 2015,
Affirmed B2 (sf)
Cl. B, Affirmed Caa2 (sf); previously on Oct. 29, 2015, Affirmed
Caa2 (sf)
Cl. C, Affirmed Caa3 (sf); previously on Oct. 29, 2015, Affirmed
Caa3 (sf)
Cl. D, Affirmed C (sf); previously on Oct. 29, 2015, Affirmed
C (sf)
Cl. E, Affirmed C (sf); previously on Oct. 29, 2015, Affirmed
C (sf)
Cl. F, Affirmed C (sf); previously on Oct. 29, 2015, Affirmed
C (sf)
Cl. X, Downgraded to B2 (sf); previously on Oct. 29, 2015,
Affirmed Ba3 (sf)
RATINGS RATIONALE
The ratings on five investment grade P&I classes, Classes A-1A
through A-MFX, were affirmed because the transaction's key metrics,
including Moody's loan-to-value (LTV) ratio, Moody's stressed debt
service coverage ratio (DSCR) and the transaction's Herfindahl
Index (Herf), are within acceptable ranges. The ratings on five
below investment grade P&I classes, Classes B through F, were
affirmed because the ratings are consistent with Moody's expected
loss.
The rating on Class A-J was downgraded due to higher realized and
anticipated losses from specially serviced and troubled loans.
The rating on the IO Class (Class X) was downgraded due to a
decline in the credit performance (or the weighted average rating
factor or WARF) of its referenced classes resulting from principal
paydowns of higher quality reference classes. The deal has paid
down 25% since last review and 40% since securitization.
Moody's rating action reflects a base expected loss of 12.0% of the
current balance compared to 9.1% at last review. Moody's base
expected plus realized losses now totals 13.6% of the original
certificate balance compared to 13.5% at last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Approach to
Rating US and Canadian Conduit/Fusion CMBS" published in December
2014.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based CMBS Conduit Model, which it
uses for both conduit and fusion transactions. Credit enhancement
levels for conduit loans are driven by property type, Moody's
actual and stressed DSCR, and Moody's property quality grade (which
reflects the capitalization rate Moody's uses to estimate Moody's
value). Moody's fuses the conduit results with the results of its
analysis of investment grade structured credit assessed loans and
any conduit loan that represents 10% or greater of the current pool
balance.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 38 compared to 42 at last review.
DEAL PERFORMANCE
As of the Sept. 12, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 40% to $2.3 billion
from $3.9 billion at securitization. The certificates are
collateralized by 146 mortgage loans ranging in size from less than
1% to 8.5% of the pool, with the top ten loans constituting 36% of
the pool.
Fifty-eight loans, constituting 47% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Forty-one loans have been liquidated with a loss from the pool,
resulting in an aggregate realized loss of $251 million (for an
average loss severity of 39%). Seventeen loans, constituting 20%
of the pool, are currently in special servicing. The largest
specially serviced loan is the 131 South Dearborn A-Note Loan ($200
million -- 8.6% of the pool), which represents a 50% pari passu
interest in a $400 million senior loan. The loan is secured by the
37-story "Citadel Center", a 1.5 million square foot (SF) office
tower in the Central Loop submarket of Chicago, Illinois. The total
loan was modified in July 2016 into two $200 million A Notes and
two $36 million B Notes. The interest rate on the two A Notes was
reduced to a 4.5% pay rate and 1.29% accrual rate while the
interest rate on the two B Notes will accrue at 5.79% through the
extended maturity date in December 2020. As part of the
modification, the borrower contributed $7.5 million to fund future
property leasing costs and $10 million to buy out the prior
sponsor. The original $50 million mezzanine note was eliminated.
The property had transferred to special servicing in May 2014 after
the borrower requested a loan modification stemming from the
upcoming vacancies. The property was 98% leased as of December
2015, the same as at last review.
The remaining specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $180 million loss
on all specially serviced loans (70% expected loss on average).
Moody's has assumed a high default probability for eleven poorly
performing loans, constituting 9% of the pool, and has estimated an
aggregate loss of $42.1 million (a 20% expected loss on average)
from these troubled loans.
Moody's received full year 2015 operating results for 98% of the
pool, and partial year 2016 operating results for 75% of the pool.
Moody's weighted average conduit LTV is 105% compared to 102% at
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 8.9% 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 1.39X and 1.02X,
respectively, compared to 1.45X and 1.04X 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 14% of the pool balance. The
largest loan is the Quantico Portfolio Loan ($131 million -- 5.6%
of the pool), which is secured by a portfolio of 11 industrial and
three office properties in Northern Virginia near Washington-Dulles
International Airport. The properties were built between 1987 and
2000. The loan sponsor is Duke Realty Corporation. The portfolio
was 89% leased as of June 2015, compared to 93% at last review.
Moody's LTV and stressed DSCR are 125% and 0.78X, respectively, the
same as at last review.
The second largest loan is the Marriott -- Hilton Head Island Loan
($106 million -- 4.5% of the pool), which is secured by a 512-room
Marriott Hotel that was built in 1976, renovated in 2006, and is
located in Hilton Head, South Carolina. The trailing twelve month
occupancy as of June 2016 was 59%. The loan has been on the
watchlist since 2008 due to low occupancy and DSCR. The loan has
amortized 15% since securitization. Moody's LTV and stressed DSCR
are 128% and 0.91X, respectively, compared to 141% and 0.83X at the
last review.
The third largest loan is the Hilton Anchorage Loan ($81.8 million
-- 3.5% of the pool), which is secured by a 606-room Hilton Hotel
that was built in 1957, renovated in 2006, and is located in
downtown Anchorage, Alaska. According to the March 2016 operating
statement, the trailing twelve month occupancy was 57% with a
revenue per available room (RevPAR) of $86.02. The loan has been
on the watchlist since 2008 due to low DSCR and occupancy. The
loan has amortized 14% since securitization. Moody's LTV and
stressed DSCR are 104% and 1.09X, respectively, compared to 101%
and 1.13X at the last review.
JP MORGAN 2007-CIBC20: Moody's Affirms C Rating on 3 Tranches
-------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on fourteen
classes in J.P. Morgan Chase Commercial Mortgage Securities Trust
2007-CIBC20, Commercial Pass-Through Certificates, Series
2007-CIBC20 as:
Cl. A-1A, Affirmed Aaa (sf); previously on Nov. 19, 2015,
Affirmed Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Nov. 19, 2015,
Affirmed Aaa (sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Nov. 19, 2015,
Affirmed Aaa (sf)
Cl. A-M, Affirmed A3 (sf); previously on Nov. 19, 2015, Affirmed
A3 (sf)
Cl. A-MFX, Affirmed A3 (sf); previously on Nov. 19, 2015,
Affirmed A3 (sf)
Cl. A-J, Affirmed B2 (sf); previously on Nov. 19, 2015, Affirmed
B2 (sf)
Cl. B, Affirmed B3 (sf); previously on Nov. 19, 2015, Affirmed
B3 (sf)
Cl. C, Affirmed Caa1 (sf); previously on Nov. 19, 2015, Affirmed
Caa1 (sf)
Cl. D, Affirmed Caa2 (sf); previously on Nov. 19, 2015, Affirmed
Caa2 (sf)
Cl. E, Affirmed Caa3 (sf); previously on Nov. 19, 2015, Affirmed
Caa3 (sf)
Cl. F, Affirmed C (sf); previously on Nov. 19, 2015, Affirmed
C (sf)
Cl. G, Affirmed C (sf); previously on Nov. 19, 2015, Affirmed
C (sf)
Cl. H, Affirmed C (sf); previously on Nov. 19, 2015, Affirmed
C (sf)
Cl. X-1, Affirmed Ba3 (sf); previously on Nov. 19, 2015,
Affirmed Ba3 (sf)
RATINGS RATIONALE
The ratings on the P&I classes A-1A through A-MFX were affirmed
because the transaction's key metrics, including Moody's
loan-to-value (LTV) ratio, Moody's stressed debt service coverage
ratio (DSCR) and the transaction's Herfindahl Index (Herf), are
within acceptable ranges.
The ratings on the P&I classes A-J through H were affirmed because
the ratings are consistent with Moody's expected loss.
The rating on the IO class X-1 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 8.7% of the
current balance, the same as at Moody's last review. Moody's base
expected loss plus realized losses is now 11.0% of the original
pooled balance, compared to 13.0% 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.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in these ratings were "Approach to Rating US
and Canadian Conduit/Fusion CMBS" published in December 2014, and
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in October 2015.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based CMBS Conduit Model, which it
uses for both conduit and fusion transactions. Credit enhancement
levels for conduit loans are driven by property type, Moody's
actual and stressed DSCR, and Moody's property quality grade (which
reflects the capitalization rate Moody's uses to estimate Moody's
value). Moody's fuses the conduit results with the results of its
analysis of investment grade structured credit assessed loans and
any conduit loan that represents 10% or greater of the current pool
balance.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 14, compared to 16 at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model and then reconciles and weights the results from the
conduit and large loan models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan-level proceeds
derived from Moody's loan-level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type and sponsorship. Moody's also further adjusts these
aggregated proceeds for any pooling benefits associated with loan
level diversity and other concentrations and correlations.
DEAL PERFORMANCE
As of the Sept. 12, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 33% to $1.7 billion
from $2.5 billion at securitization. The certificates are
collateralized by 92 mortgage loans ranging in size from less than
1% to 17% of the pool, with the top ten loans constituting 57% of
the pool. One loan, constituting 1% of the pool, has an
investment-grade structured credit assessment. Eleven loans,
constituting 5% of the pool, have defeased and are secured by US
government securities.
Twenty-nine 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.
Thirty-three loans have been liquidated from the pool, resulting in
an aggregate realized loss of $185 million (for an average loss
severity of 45%). Two loans, constituting 2% of the pool, are
currently in special servicing. The largest specially serviced
loan is the Holiday Inn -- Harrisburg West Loan ($13.1 million --
less than 1% of the pool), which is secured by a 238-key
full-service hotel outside of Harrisburg, PA. The loan transferred
to special servicing in July 2016, and the borrower has indicated
they can no longer support the cash flow waterfall. The borrower
will cooperate with the receiver and foreclosure.
Moody's estimates an aggregate $17.6 million loss for specially
serviced loans (68 % expected loss on average).
Moody's has assumed a high default probability for 22 poorly
performing loans, constituting 11% of the pool, and has estimated
an aggregate loss of $50.8 million (a 27% expected loss based on a
55% probability default) from these troubled loans.
Moody's received full year 2015 operating results for 94% of the
pool, and partial year 2016 operating results for 20% of the pool.
Moody's weighted average conduit LTV is 107%, compared to 101% at
Moody's last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 12% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9%.
Moody's actual and stressed conduit DSCRs are 1.27X and 0.97X,
respectively, compared to 1.28X and 1.06X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The loan with a structured credit assessment is the 1564 Broadway
Loan ($17.2 million -- 1.0% of the pool), which is secured by a
52,657 SF mixed-use property located in Times Square in New York,
New York. The collateral for this loan includes the Broadway
Palace Theater, the air rights above the theater, and signage
income. Moody's structured credit assessment and stressed DSCR are
aa1 (sca.pd) and 2.17X, respectively.
The top three conduit loans represent 35% of the pool balance. The
largest loan is the Retail Portfolio Loan ($286.1 million -- 16.8%
of the pool), which is secured by a portfolio of 18 retail
properties that are cross-collateralized and cross-defaulted and
total 3.1 million SF. The properties are located in 12 states,
with the largest concentrations in Georgia (20%), Florida (14%) and
Texas (13%). The portfolio was 93% leased as of December 2015,
compared to 92% leased as of December 2014. Moody's LTV and
stressed DSCR are 101% and 0.97X, respectively, compared to 108%
and 0.90X, at the last review.
The second largest loan is the Gurnee Mills Loan ($246 million --
14.5% of the pool), which is a pari-passu interest in a $321.0
million first mortgage loan. The loan is secured by the borrower's
interest in a 1.8 million SF regional mall located in Gurnee,
Illinois. The mall's major tenants include Sears, Bass Pro Shops
Outdoor World and Kohl's. The property was 96% leased as of
December 2015, the same as at the prior review. Moody's LTV and
stressed DSCR are 118% and 0.80X, respectively, compared to 119%
and 0.80X at the last review.
The third largest loan is the North Hills Mall Loan ($141.2 million
-- 8.3% of the pool), which is secured by the borrower's interest
in a 586,000 SF mixed use property that includes Main Street
outdoor retail, an office component, a 14-screen movie theater, JC
Penney, and two bank outparcels. The property is situated within a
mixed-use development that includes residential condominiums,
commercial and hotel properties, a retirement community and
recreational amenities. As of July 2016, the retail portion was
98% leased, and the office component was 96% leased. Moody's LTV
and stressed DSCR are 135% and 0.72X, respectively, compared to
139% and 0.70X at the last review.
JP MORGAN 2014-C24: Fitch Affirms BBsf Rating on Class E Notes
--------------------------------------------------------------
Fitch Ratings has affirmed 19 classes of J.P. Morgan Chase
Commercial Mortgage Securities Trust (JPMBB), series 2014-C24
commercial mortgage pass-through certificates.
KEY RATING DRIVERS
The affirmations are due to the overall stable performance of the
pool's underlying collateral. The pool continues to perform as
expected at issuance. The pool's aggregate principal balance has
been reduced by 0.70% to $1.267 billion from $1.276 billion at
issuance. There are no specially serviced loans, and Fitch has not
designated any loans as Fitch Loans of Concern. There are two loans
(0.73% of the current balance) on the master servicer's watchlist
due to deferred maintenance. The transaction remains concentrated,
as the top 10 loans represent 60.2% of the pool, and the top 20
represent 80.2%.
The largest loan in the pool, the Mall of Victor Valley (9.1%), is
secured by a 574,723 square foot (477,384 sf of collateral)
regional mall located in Victorville, CA. The property was
originally built in 1986 and renovated in 2013. The largest tenants
include JCPenney, which represents 19.2% of net rentable area (NRA)
with a lease expiring in September 2032, Sears (16.4% of NRA,
expiry October 2019), and Cinemark Theatre (13% of NRA, expiry
November 2021). The property has maintained high levels of
occupancy and stable performance throughout its operating history.
As of the June 2016 rent roll, the property was 98% occupied. The
servicer-reported net operating income (NOI) debt service coverage
ratio (DSCR) of 2.57x as of year-end (YE) 2015.
The next largest loan in the pool, the Grapevine Mills (9.1%), is
secured by a 1.625 million sf (1.337 million sf of collateral)
regional mall located in Grapevine, TX. The subject is located 10
miles north of the Dallas/Fort Worth International Airport and
contains a mix of traditional mall tenants as well as outlet
tenants. The tenants include Burlington Coat Factory (7.5% of NRA,
expiry January 2018), Neiman Marcus (3.3% of NRA, expiry April
2018, and Bed Bath & Beyond (3% of NRA, expiry January 2017). As of
the March 2016 rent roll, total mall occupancy was at 94%, with
in-line occupancy of 89%. The servicer-reported NOI DSCR was 3.25x
as of YE 2015. The transaction interests represent the A-3 and A-4
notes and are pari passu with A-1 and A-2 notes securitized in
JPMBB 2014-C23 and A-5 and A-6 notes in JPMBB 2014-C25.
The third largest loan in the pool, the Columbus Square Portfolio
(7.6%), is secured by a portfolio of five retail/community facility
units and an underground parking garage, totaling 494,244 sf. The
collateral is located between 97th and 100th streets on Columbus
and Amsterdam avenues in the Upper West Side neighborhood of
Manhattan. The largest tenants include Quik Park (16.9% of NRA,
expiry May 2029), Whole Foods Market (12.6% of NRA, expiry
September 2029), and Mandell School (8.9% of NRA, expiry March
2030). Occupancy has dropped slightly at the property
year-over-year to 96% as of YE 2015 from 100% as of YE 2014. As a
result, NOI DSCR was reduced to 1.37x YE 2015 from 1.51x YE 2014.
The transaction interests represents the A-4 note and are pari
passu with the A-1 note included in WFRBS 2014-C22, the A-2 note
included in JPMBB 2014-C23, and the A-3 note securitized in WFRBS
2014-C23.
RATING SENSITIVITIES
The Rating Outlooks for all classes remain Stable. Due to the
recent issuance of the transaction and stable performance, Fitch
does not foresee positive or negative ratings migration until a
material economic or asset level event changes the transaction's
overall portfolio-level metrics.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
-- $27 million notes A-1 at 'AAAsf'; Outlook Stable;
-- $184 million notes A-2 at 'AAAsf'; Outlook Stable;
-- $41 million notes A-3 at 'AAAsf'; Outlook Stable;
-- $190 million notes A-4A1 at 'AAAsf'; Outlook Stable;
-- $75 million notes A-4A2 at 'AAAsf'; Outlook Stable;
-- $297.3 million notes A-5 at 'AAAsf'; Outlook Stable;
-- $66.6 million notes A-SB at 'AAAsf'; Outlook Stable;
-- $76.2 million notes A-S at 'AAAsf'; Outlook Stable;
-- $76.2 million notes B at 'AA-sf'; Outlook Stable;
-- $47.7 million notes C at 'A-sf'; Outlook Stable;
-- $200.2 million notes EC at 'A-sf'; Outlook Stable;
-- $81 million notes D at 'BBB-sf'; Outlook Stable;
-- $25.4 million notes E at 'BBsf'; Outlook Stable;
-- $14.3 million notes F at 'Bsf'; Outlook Stable;
-- $957.3 million* notes X-A at 'AAAsf'; Outlook Stable;
-- $76.2 million* notes X-B1 at 'AA-sf'; Outlook Stable;
-- $81 million* notes X-B2 at 'BBB-sf'; Outlook Stable;
-- $25.4 million* notes X-C at 'BBsf'; Outlook Stable;
-- $14.3 million* notes X-D at 'Bsf'; Outlook Stable.
Class A-S, B, and C certificates may be exchanged for class EC
certificates and class EC certificates may be exchanged for class
A-S, B, and C certificates. Fitch does not rate the X-E, NR, and
ESK certificates.
*Notional amount and interest only
JP MORGAN 2016-3: Moody's Assigns Ba2 Rating on Cl. B-4 Certs
-------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 28
classes of residential mortgage-backed securities issued by J.P.
Morgan Mortgage Trust 2016-3 (JPMMT 2016-3). The ratings range
from Aaa (sf) to Ba2 (sf).
The certificates are backed by two pools of prime quality, fixed
rate, first-lien mortgage loans originated by various originators.
The first pool consists of primarily 30-year mortgages (Group 1)
and the second pool consists of exclusively 15-year mortgages
(Group 2). Seasoning of the aggregate pool is 25 months. Wells
Fargo Bank, N.A. is the master servicer and U.S. Bank Trust
National Association is the trustee.
The complete rating actions are:
Issuer: J.P. Morgan Mortgage Trust 2016-3
Cl. 1-A-1, Definitive Rating Assigned Aaa (sf)
Cl. 1-A-2, Definitive Rating Assigned Aaa (sf)
Cl. 1-A-3, Definitive Rating Assigned Aaa (sf)
Cl. 1-A-4, Definitive Rating Assigned Aaa (sf)
Cl. 1-A-5, Definitive Rating Assigned Aaa (sf)
Cl. 1-A-6, Definitive Rating Assigned Aaa (sf)
Cl. 1-A-7, Definitive Rating Assigned Aaa (sf)
Cl. 1-A-8, Definitive Rating Assigned Aaa (sf)
Cl. 1-A-9, Definitive Rating Assigned Aaa (sf)
Cl. 1-A-10, Definitive Rating Assigned Aaa (sf)
Cl. 1-AX-1, Definitive Rating Assigned Aaa (sf)
Cl. 1-AX-2, Definitive Rating Assigned Aaa (sf)
Cl. 1-AX-3, Definitive Rating Assigned Aaa (sf)
Cl. 1-AX-4, Definitive Rating Assigned Aaa (sf)
Cl. 1-AX-5, Definitive Rating Assigned Aaa (sf)
Cl. 1-AX-6, Definitive Rating Assigned Aaa (sf)
Cl. 1-A-M, Definitive Rating Assigned Aa1 (sf)
Cl. 2-A-1, Definitive Rating Assigned Aaa (sf)
Cl. 2-A-2, Definitive Rating Assigned Aaa (sf)
Cl. 2-AX-1, Definitive Rating Assigned Aaa (sf)
Cl. 2-AX-2, Definitive Rating Assigned Aaa (sf)
Cl. 2-AX-3, Definitive Rating Assigned Aaa (sf)
Cl. 2-A-M, Definitive Rating Assigned Aa1 (sf)
Cl. A-M, Definitive Rating Assigned Aa1 (sf)
Cl. B-1, Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Definitive Rating Assigned A2 (sf)
Cl. B-3, Definitive Rating Assigned Baa2 (sf)
Cl. B-4, Definitive Rating Assigned Ba2 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Expected cumulative net losses on Group 1 are 0.40% and reach 4.75%
at a stress level consistent with Aaa ratings. Expected cumulative
net losses for Group 2 are 0.30% and reach 1.50% at a stress level
consistent with Aaa ratings.
The collateral quality for this transaction is consistent with
other prime transactions that Moody's recently rated. The Aaa
Moody's Individual Loan Analysis (MILAN) credit enhancement (CE),
inclusive of concentration adjustments, is 4.81% for Group 1 and
1.19% for Group 2. Moody's decreased the MILAN model's CE by 0.06%
for Group 1 and increased the MILAN model's CE by 0.31% for Group 2
for qualitative factors and adjustments not factored in the model.
Loan-level adjustments are based on: DTI, self-employment status,
channel of origination, number of mortgaged properties, and the
presence of HOA fees for properties located in super lien states.
Moody's also made adjustments to the model output based on the
servicing framework, the originators and aggregator for the pool,
and the representation and warranty (R&W) framework. Moody's based
the MILAN model on stressed trajectories of home prices,
unemployment rates and interest rates, at a monthly frequency over
a 10-year period.
Collateral Description
The JPMMT 2016-3 transaction is a securitization of 553 first lien
residential mortgage loans with an unpaid principal balance of $
395,349,365. The loans in this transaction have comparatively high
weighted average seasoning (25 months) and strong borrower
characteristics. The weighted average current FICO score is 762
and the weighted-average original combined loan-to-value ratio
(CLTV) is 66.9%. Furthermore, 85.2% of the borrowers by current
balance have liquid reserves greater than 24 months of payments.
However, 23.3% of the borrowers are self-employed and refinance
loans comprise 49.2% of the aggregate pool. The pool has a high
geographic concentration with 44.1% of the aggregate pool located
in California and 26.0% located in the San
Francisco-Oakland-Hayward MSA. Additionally, 50 loans in the pool
did not have employment verification and 154 loans had only a
partial verification of assets. This is primarily because First
Republic, the largest originator in the pool, does not require
employment verification and only requires one month of bank
statements (rather than two) in its underwriting guidelines.
There are 26 originators in the transaction. The largest
originators in the pool by balance are First Republic Bank (41.6%),
PHH Mortgage (9.7%), and Primary Capital Mortgage, LLC (6.5%).
Moody's assess First Republic Bank as a Strong originator of prime
jumbo residential mortgage loans, we currently do not have an
originator assessment for PHH Mortgage, and we assess Primary
Capital Mortgage as an Average originator of prime jumbo
residential mortgage loans. The loans in the pool were aggregated
by J.P. Morgan Mortgage Acquisition Corp. who Moody's assess as an
Above Average aggregator of prime jumbo residential mortgage
loans.
There are 18 servicers in this transaction. The largest three
servicers in the pool by current loan amount are First Republic
Bank (41.6%), PHH Mortgage (9.7%), and Shellpoint Mortgage
Servicing (8.0%). Moody's assess First Republic as an SQ2- primary
servicer of prime loans, Moody's currently do not have a servicer
assessment for PHH Mortgage, and it assess Shellpoint as an SQ3+
primary servicer of prime residential mortgage loans. Wells Fargo
Bank, N.A. (SQ1- master servicer assessment) will serve as the
master servicer.
Third Party Review and Reps & Warranties
Four third party review (TPR) firms verified the accuracy of the
loan-level information that the sponsor gave Moody's. These firms
conducted detailed credit, collateral, and regulatory reviews on
100% of the mortgage pool. The TPR results indicated compliance
with the originator's underwriting guidelines for the vast majority
of loans, only minor compliance issues, and only a few appraisal
defects for the loans in the transaction. The loans that had
exceptions to the originator's underwriting guidelines had strong
documented compensating factors such as low DTIs, low LTVs, high
reserves, high FICOs, clean payment histories, and/or stable
employment histories. The TPR firms also identified minor
compliance exceptions for reasons including inadequate RESPA
disclosures (which do not have assignee liability) and TILA/RESPA
Integrated Disclosure (TRID) violations. The TRID issues often
related to incomplete or incorrect disclosure forms or forms that
were not sent within proper time frames. Additionally, the TPR
firms identified five C-level valuation exceptions due to the fact
that appraisal values were not supported by post-closing broker
price opinions. Moody's made only minor adjustments to our
expected and Aaa loss levels due to the TPR results.
The representation and warranty (R&W) framework in this transaction
is adequate. The originators made unambiguous R&Ws, either as of
the closing date or as of a date prior to that. J.P. Morgan
Mortgage Acquisition Corp., the mortgage loan seller, made gap R&Ws
covering the period from the date on which the originators made the
R&Ws and the closing date. A dedicated independent R&W breach
reviewer, Pentalpha Surveillance LLC, will perform a series of
pre-defined tests on each loan that becomes 120 days delinquent (or
hits another breach review trigger) to determine whether the
originator or mortgage loan seller is liable to repurchase or
substitute the reviewed loan(s). Financially weak or unrated
entities made R&Ws for 53.6% of the loans. As such, Moody's
increased its base case and Aaa losses for loans to account for the
risk that these entities may be unable to satisfy their repurchase
obligations in the future.
Trustee and Master Servicer
The transaction trustee is U.S. Bank Trust National Association.
The custodian functions will be performed by Wells Fargo Bank, N.A.
The paying agent and cash management functions will also be
performed by Wells Fargo rather than the trustee. In addition,
Wells Fargo is the master servicer and is responsible for servicer
oversight, termination of servicers and for the appointment of
successor servicers. As master servicer, Wells Fargo is also
committed to act as successor if no other successor servicer can be
found. Moody's assess Wells Fargo as a SQ1- (strong) master
servicer of residential loans.
Tail Risk & Subordination Floor
The transaction has a shifting interest structure that allows
subordinated bonds to receive principal payments under certain
defined scenarios. Because a shifting interest structure allows
subordinated bonds to pay down over time as the loan pool shrinks,
senior bonds are exposed to increased performance volatility, known
as tail risk. The transaction provides for a senior subordination
floor of 1.25% of the closing pool balance, which mitigates tail
risk by protecting the senior bonds from eroding credit enhancement
over time.
Y-Structure with Structural Updates
The transaction is structured as a two-group Y-structure with
structural features similar to JPMMT 2016-2. Compared to some
Y-structures that Moody's has rated, the extent of loss allocation
across groups is limited. For example, realized losses in a given
group are allocated to the super senior bonds for that group before
the senior support bonds of the unrelated group.
In JPMMT 2016-3 all funds from the two groups of mortgages are
commingled, i.e., there is only one available distribution amount.
The percentage of available principal allocated to each group of
senior certificates is based on the "principal collections" in each
respective pool. Principal collections are defined to include the
principal portion of scheduled payments whether or not received, as
well as the principal portion of prepayments and other amounts.
Due to this definition, senior bonds in one group could become
under-collateralized if there are delinquencies in the unrelated
group for which the servicer has stopped advancing. This is because
the delinquent pool is entitled to receive its scheduled principal
payments even if they are not received. This could consume
available funds that are generated by the performing group's
collateral.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original
expectations as a result of a higher number of obligor defaults or
deterioration in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market. Other reasons
for worse-than-expected performance include poor servicing, error
on the part of transaction parties, inadequate transaction
governance and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
JP MORGAN 2016-JP3: Fitch Assigns BBsf Rating on Class E Notes
--------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to J.P. Morgan Chase (JPMCC) Commercial Mortgage
Securities Trust 2016-JP3 commercial mortgage pass-through
certificates:
-- $45,932,000 class A-1 'AAAsf'; Outlook Stable;
-- $97,274,000 class A-2 'AAAsf'; Outlook Stable;
-- $16,726,000 class A-3 'AAAsf'; Outlook Stable;
-- $300,000,000 class A-4 'AAAsf'; Outlook Stable;
-- $342,359,000 class A-5 'AAAsf'; Outlook Stable;
-- $49,955,000 class A-SB 'AAAsf'; Outlook Stable;
-- $970,952,000a class X-A 'AAAsf'; Outlook Stable;
-- $56,309,000a class X-B 'AA-sf'; Outlook Stable;
-- $118,706,000 class A-S 'AAAsf'; Outlook Stable;
-- $56,309,000 class B 'AA-sf'; Outlook Stable;
-- $50,222,000 class C 'A-sf'; Outlook Stable;
-- $105,009,000ab class X-C 'BBB-sf'; Outlook Stable;
-- $54,787,000b class D 'BBB-sf'; Outlook Stable;
-- $22,828,000b class E 'BBsf'; Outlook Stable;
-- $15,219,000b class F 'B-sf'; Outlook Stable.
a) Notional amount and interest only.
b) Privately placed pursuant to Rule 144A.
Fitch does not rate the $47,177,696a class NR.
The ratings are based on information provided by the issuer as of
Sept. 7, 2016.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 52 loans secured by 62
commercial properties having an aggregate principal balance of
$1,217,494,697 as of the cut-off date. The loans were contributed
to the trust by JP Morgan Chase Bank, National Association, Benefit
Street Partners CRE Finance LLC, and Starwood Mortgage Funding VI
LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 89.4% of the properties
by balance, asset summary reviews on 100% of the pool, and cash
flow analysis of 81.4% of the pool.
KEY RATING DRIVERS
Lower 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 1.25x and
101.2%, respectively, are better than the YTD 2016 average Fitch
DSCR and Fitch LTV of 1.18x and 106.5%, respectively. Excluding
credit-opinion loans, the pool's Fitch DSCR and Fitch LTV are 1.20x
and 108.1%, respectively. Comparatively, the YTD 2016 average DSCR
and LTV of Fitch-rated deals excluding credit-opinion and co-op
loans is 1.14x and 110.2%.
Investment-Grade Credit Opinion Loans: The largest loan in the pool
and the sixth largest loan in the pool, 9 West 57th Street (8.2% of
the pool) and Westfield San Francisco Centre (4.9% of the pool),
have investment-grade credit opinions. The 9 West 57th Street
senior note contributed to the trust has an investment-grade credit
opinion of 'AAAsf*' on a stand-alone basis. Westfield San Francisco
Centre has an investment-grade credit opinion of 'Asf*' on a
stand-alone basis. The two loans have a weighted average Fitch DSCR
and Fitch LTV of 1.60x and 55.5%, respectively.
More Diverse Pool by Loan Concentration: The top 10 loans comprise
49.8% of the pool, as compared to the YTD 2016 average of 55.3%.
The pool's loan concentration index (LCI) is 356, which is below
the YTD 2016 average of 428. However, the resulting sponsor
concentration index (SCI) delta compared to the LCI is 30.3%, which
is above the YTD 2016 average delta of 16.8%.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 7.9% 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 JPMCC
2016-JP3 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 occur. 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 occur.
JP MORGAN 2016-WSP: Fitch Assigns B- Rating on Class F Certs
------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to J.P.
Morgan Chase Commercial Mortgage Securities Trust 2016-WSP,
commercial mortgage pass-through certificates, series 2016-WSP as:
-- $86,300,000 class A 'AAAsf'; Outlook Stable;
-- $20,900,000 class B 'AA-sf'; Outlook Stable;
-- $19,600,000 class C 'A-sf'; Outlook Stable;
-- $23,200,000 class D 'BBB-sf'; Outlook Stable;
-- $150,000,000a class X-CP 'BBB-sf'; Outlook Stable;
-- $150,000,000a class X-NCP 'BBB-sf'; Outlook Stable;
-- $36,900,000 class E 'BB-sf'; Outlook Stable;
-- $48,100,000 class F 'B-sf'; Outlook Stable.
(a) Notional amount and interest-only.
The certificates represent the beneficial interest in a trust that
holds a two-year, floating-rate, interest-only $235 million
mortgage loan secured by the fee interests in 63 hotel properties
with a total of 7,557 rooms located in 20 states. The sponsor of
the loan is WoodSpring Hotels Holdings. The loan was originated by
JPMorgan Chase Bank, National Association (rated 'A+'/'F1'/Stable
Outlook).
KEY RATING DRIVERS
High Leverage on Full Debt Stack: The total debt package includes
mezzanine financing in the amount of $40 million that is not
included in the trust. Fitch's stressed debt service coverage
ratio (DSCR) and loan-to-value (LTV) for the full debt stack are
0.96x and 112.1%, respectively. Fitch's DSCR and LTV for the trust
component of the debt are 1.13x and 95.8%.
Granular and Diverse Portfolio: The portfolio comprises 63
extended-stay hotels; three are currently operated as WoodSpring
Suites and the remaining 60 as Value Place (54 of which are
expected to be rebranded to WoodSpring Suites by 2017), across 20
states. No single asset accounts for more than 3.3% of the TTM
July 2016 net cash flow, or 1.7% of the total keys.
Upward Trending Performance: Average daily revenue per available
room (RevPAR) as of the TTM July 2016 of $30.20 reflected an
increase of 4.2% over 2015 and 12.7% above 2014.
Experienced Sponsorship and Management: The sponsor, WoodSpring
Hotels Holdings, was founded by Jack DeBoer and is currently owned
by private-equity firm Lindsay Goldberg. In addition to the Value
Place brand (founded in 2003), DeBoer founded the Residence Inn,
Summerfield Suites and Candlewood Suites brands, which he
successfully grew and ultimately sold.
RATING SENSITIVITIES
Fitch found that the 'AAAsf' class could withstand an approximate
71.5% decrease to the most recent actual net cash flow (NCF) prior
to experiencing $1 of loss to the 'AAAsf' rated class. Fitch
performed several stress scenarios in which the Fitch NCF was
stressed. Fitch determined that a 62.6% reduction in Fitch's
implied NCF would cause the notes to break even at a 1.0x debt
service coverage ratio, based on the actual debt service.
Fitch evaluated the sensitivity of the ratings for class A and
found that a 17% decline in Fitch's implied NCF would result in a
one-category downgrade, while a 48% decline would result in a
downgrade to below investment grade.
JP MORGAN 2016-WSP: Moody's Assigns B3 Rating on Cl. F Certs
------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
CMBS securities, issued by J.P. Morgan Chase Commercial Mortgage
Securities Trust 2016-WSP, Commercial Mortgage Pass-Through
Certificates, Series 2016-WSP:
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned Aa3 (sf)
Cl. C, Definitive Rating Assigned A3 (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. E, Definitive Rating Assigned Ba3 (sf)
Cl. F, Definitive Rating Assigned B3 (sf)
Cl. X-CP*, Definitive Rating Assigned A3 (sf)
* Reflects interest-only classes
RATINGS RATIONALE
The Certificates are collateralized by a single loan backed by a
first lien mortgages on a portfolio of 63 extended-stay hotels. The
ratings are based on the collateral and the structure of the
transaction.
Moody's approach to rating this transaction involved the
application of both our Large Loan and Single Asset/Single Borrower
CMBS methodology and our IO Rating methodology. The rating
approach for securities backed by a single loan compares the credit
risk inherent in the underlying collateral with the credit
protection offered by the structure. The structure's credit
enhancement is quantified by the maximum deterioration in property
value that the securities are able to withstand under various
stress scenarios without causing an increase in the expected loss
for various rating levels. In assigning single borrower ratings,
Moody's also considers a range of qualitative issues as well as the
transaction's structural and legal aspects.
The credit risk of commercial real estate loans is determined
primarily by two factors: 1) the probability of default, which is
largely driven by the DSCR, and 2) and the severity of loss in the
event of default, which is largely driven by the LTV of the
underlying loan.
The first mortgage balance of $235,000,000 represents a Moody's LTV
of 107.2% which is above the weighted average of other standalone
property loans reviewed and assigned ratings by Moody's during 2015
and 2016. The Moody's First Mortgage Actual DSCR is 2.34X and
Moody's First Mortgage Actual Stressed DSCR is 1.21X. The financing
is subject to one mezzanine loan totaling $40,000,000. The Moody's
Total Debt LTV (inclusive of the mezzanine loans) is 125.5%, while
Moody's First Total Debt Actual DSCR is 1.73X, and Moody's Total
Debt Actual Stressed DSCR is 1.02X.
The collateral under the mortgage loan is comprised of portfolio of
63 extended-stay hotels totaling 7,557 guestrooms. The properties
are geographically diversified across twenty states with the
largest state concentration represented by Florida (13 properties;
23.9% of the ALA). No single property represents more than 2.9% of
the total ALA.
The portfolio properties are of similar build, each being a
four-story structure serviced by a single elevator located adjacent
to the lobby at the center of the building. Room counts range from
105 to 129 rooms. Construction dates range from 2005 and 2015 with
a weighted average portfolio age of 7.5 years. The loan's
property-level Herfindal Index score is 57.2 based on allocated
loan amount. As of July 31, 2016, the portfolio's overall
occupancy rate for the trailing twelve months was 84.2%, ADR
(average daily rate) was $35.86, and RevPAR (revenue per available
room) was $30.20. The Moody's weighted average cap rate for the
portfolio is 12.01%, which is in line with a Moody's property grade
of approximately 3.0 on the limited service hotel scale.
The Value Place brand offers a hotel/apartment hybrid lodging
option for longer stay guests. The typical longer stay guests
include workers related to local construction projects, visiting
nurses to nearby hospitals, residents needing temporary housing
("in between" home seekers) and other transient guests. Three
different studio suite layouts include a kitchen with full-sized
refrigerator, a microwave, a sink and a two burner stove. Common
areas and amenities are minimal and limited to a coin operated
laundry room and vending machines. Weekly and nightly rates are
offered with housekeeping services performed on a bi-weekly basis.
The average length of stay is 29 days.
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in October 2015.
Moody's review incorporated the use of the excel-based Large Loan
Model, which it uses for single borrower and large loan
multi-borrower transactions. The large loan model derives credit
enhancement levels based on an aggregation of adjusted loan level
proceeds derived from our Moody's loan level LTV ratios. Major
adjustments to determining proceeds include leverage, loan
structure, and property type. These aggregated proceeds are then
further adjusted for any pooling benefits associated with loan
level diversity, other concentrations and correlations.
Moody's analysis also uses the CMBS IO calculator which references
the following inputs to calculate the proposed IO rating based on
the published methodology: original and current bond ratings and
credit estimates; original and current bond balances grossed up for
losses for all bonds the IO(s) reference(s) within the transaction;
and IO type corresponding to an IO type as defined in the published
methodology.
Moody's Parameter Sensitivities: If Moody's value of the collateral
used in determining the initial rating were decreased by 5.0%,
13.6%, and 21.5%, the model-indicated rating for the currently
rated Aaa (sf) class would be Aa1 (sf), Aa3 (sf), and A2(sf),
respectively. Parameter Sensitivities are not intended to measure
how the rating of the security might migrate over time; rather they
are designed to provide a quantitative calculation of how the
initial rating might change if key input parameters used in the
initial rating process differed. The analysis assumes that the
deal has not aged. Parameter Sensitivities only reflect the
ratings impact of each scenario from a quantitative/model-indicated
standpoint. Qualitative factors are also taken into consideration
in the ratings process, so the actual ratings that would be
assigned in each case could vary from the information presented in
the Parameter Sensitivity analysis.
These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer at
the date it was prepared and such information has not been
independently verified by Moody's; (b) must be construed solely as
a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating to
the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third party
for any loss, injury or cost caused to the issuer or any other
third party, in whole or in part, including by any negligence (but
excluding fraud, dishonesty and/or willful misconduct or any other
type of liability that by law cannot be excluded) on the part of,
or any contingency beyond the control of Moody's, or any of its
employees or agents, including any losses arising from or in
connection with the procurement, compilation, analysis,
interpretation, communication, dissemination, or delivery of any
information or rating relating to the issuer.
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 may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
Moody's ratings address only the credit risks associated with the
transaction. Other non-credit risks have not been addressed and
may have a significant effect on yield to investors.
The ratings do not represent any assessment of (i) the likelihood
or frequency of prepayment on the mortgage loans, (ii) the
allocation of net aggregate prepayment interest shortfalls, (iii)
whether or to what extent prepayment premiums might be received, or
(iv) in the case of any class of interest-only certificates, the
likelihood that the holders thereof might not fully recover their
investment in the event of a rapid rate of prepayment of the
mortgage loans.
KKR FINANCIAL 2013-1: S&P Raises Rating on Class D Notes to BB+
---------------------------------------------------------------
S&P Global Ratings raised its ratings on the class A-2A, A-2B, B,
C, and D notes and affirmed its rating on the class A-1 notes from
KKR Financial CLO 2013-1 Ltd., a U.S. collateralized loan
obligation (CLO) transaction that closed in June 2013 and is
managed by KKR Financial Advisors II LLC.
The rating actions follow S&P's review of the transaction's
performance, using data from the September 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 March 2014.
Collateral with an S&P Global Ratings' credit rating of 'BB-' or
higher has increased from the November 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 4.72 years from
5.34 years in November 2013. 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.
Although there has been a modest increase in assets rated in the
'CCC' category, this factor is offset by the decline in the
weighted average life and positive credit migration of the
collateral portfolio, both of which have lowered its credit risk
profile.
According to the September 2016 trustee report that S&P used for
this review, the overcollateralization (O/C) ratios for each class
have exhibited mild declines since S&P's March 2014 rating
affirmations:
-- The class A O/C ratio was 134.58%, down from 135.09%
reported in November 2013.
-- The class B O/C ratio was 123.03%, down from 123.50%.
-- The class C O/C ratio was 116.06%, down from 116.50%.
-- The class D O/C ratio was 109.48%, down from 109.90%.
However, the current coverage test ratios are all passing and are
well above their minimum threshold values.
Although S&P's cash flow analysis indicated higher ratings for the
upgraded notes, its rating actions considered both the exposure to
'CCC' rated collateral and also 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 affirmation of the rating on the class A-1 notes reflects S&P's
belief that the credit support available is commensurate with the
current rating level.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with S&P's criteria, its cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest 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
KKR Financial CLO 2013-1 Ltd.
Rating
Class To From
A-2A AA+ (sf) AA (sf)
A-2B AA+ (sf) AA (sf)
B A+ (sf) A (sf)
C BBB+ (sf) BBB (sf)
D BB+ (sf) BB (sf)
RATING AFFIRMED
KKR Financial CLO 2013-1 Ltd.
Class Rating
A-1 AAA (sf)
MAGNETITE XVIII: Moody's Assigns (P)Ba3 Rating on Class E Notes
---------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of notes to be issued by Magnetite XVIII, Limited.
Moody's rating action is:
$340,260,000 Class A Senior Secured Floating Rate Notes due
2028, Assigned (P)Aaa (sf)
$59,890,000 Class B Senior Secured Floating Rate Notes due 2028,
Assigned (P)Aa2 (sf)
$30,210,000 Class C Deferrable Mezzanine Floating Rate Notes due
2028, Assigned (P)A2 (sf)
$30,740,000 Class D Deferrable Mezzanine Floating Rate Notes due
2028, Assigned (P)Baa3 (sf)
$28,090,000 Class E Deferrable Mezzanine Floating Rate Notes due
2028, Assigned (P)Ba3 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes and the Class E Notes are referred to herein, collectively,
as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
RATINGS RATIONALE
Moody's provisional ratings of the Rated Notes address the expected
losses posed to noteholders. The provisional ratings reflect the
risks due to defaults on the underlying portfolio of assets, the
transaction's legal structure, and the characteristics of the
underlying assets.
Magnetite XVIII 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 (excluding first lien last out
loans), 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.
BlackRock Financial Management, Inc. 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 and nine month
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2015.
For modeling purposes, Moody's used these base-case assumptions:
Par amount: $530,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2900
Weighted Average Spread (WAS): 3.75%
Weighted Average Coupon (WAC): 8.00%
Weighted Average Recovery Rate (WARR): 48.5%
Weighted Average Life (WAL): 8.75 years.
Methodology Underlying the Rating Action:
The prinicpal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2015.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2900 to 3335)
Rating Impact in Rating Notches
Class A Notes: 0
Class B Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: -1
Percentage Change in WARF -- increase of 30% (from 2900 to 3770)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -4
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
MASTR ASSET 2004-P7: Moody's Confirms B1 Rating on Cl. A-7 Debt
---------------------------------------------------------------
Moody's Investors Service has confirmed the ratings of three
tranches issued by MASTR Asset Securitization Trust 2004-P7.
The resecuritization is backed by several residential
mortgage-backed securities, which in turn are backed by residential
mortgage loans.
The complete rating action is:
Issuer: MASTR Asset Securitization Trust 2004-P7
Cl. A-5, Confirmed at Baa3 (sf); previously on June 17, 2016,
Baa3 (sf) Placed Under Review Direction Uncertain
Cl. A-6, Confirmed at Baa3 (sf); previously on June 17, 2016,
Baa3 (sf) Placed Under Review Direction Uncertain
Cl. A-7, Confirmed at B1 (sf); previously on June 17, 2016,
B1 (sf) Placed Under Review Direction Uncertain
The actions conclude the review actions on these bonds announced on
June 17, 2016. ABN AMRO Mortgage Corporation Multi-Class
Pass-Through Certificates Series 2003-12, as one of the underlying
transactions of the resecuritized RMBS, had apparent inconsistences
between the prepayment shift percentage value calculated per the
transaction documents and the distributions being made by the
administrator according to the remittance reports. The rating of
the underlying tranche, ABN AMRO Mortgage Corporation Multi-Class
Pass-Through Certificates Series 2003-12 Class 2A, has been
confirmed.
The rating actions for the resecuritized RMBS also reflect the
recent performance of the underlying pools of mortgages backing the
underlying bonds and Moody's updated loss expectation on the
underlying RMBS bonds.
The methodologies used in these ratings were "Moody's Approach to
Rating Resecuritizations" published in February 2014, and "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 August 2016 from 5.1% in
August 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 on the underlying transactions or other policy or
regulatory change can impact the performance of these transactions.
MERCURY CDO 2004-1: Moody's Hikes Cl. A-1NV Debt Rating to B3(sf)
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on notes issued
by Mercury CDO 2004-1, Ltd.:
-- US$299,900,000 Class A-1NV First Priority Senior Secured
Non-Voting Floating Rate Notes (current outstanding balance
of $31,399,347.36), Upgraded to B3 (sf); Previously on May
14, 2010 Downgraded to Caa3 (sf)
-- US$100,000 Class A-1VA First Priority Senior Secured Voting
Floating Rate Notes (current outstanding balance of
$10,467.70), Upgraded to B3 (sf); Previously on May 14, 2010
Downgraded to Caa3 (sf)
-- US$330,000,000 Class A-1VB First Priority Senior Secured
Voting Floating Rate Notes (current outstanding balance of
$34,550,797.70), Upgraded to B3 (sf); Previously on May 14,
2010 Downgraded to Caa3 (sf)
Mercury CDO 2004-1, Ltd. is a collateralized debt obligation
issuance backed primarily by a portfolio of Residential
Mortgage-Backed Securities (RMBS) and CDOs originated from
2002-2005. RMBS assets comprise over 98% of the underlying
portfolio.
RATINGS RATIONALE
These rating actions are due primarily to deleveraging of the
senior notes and an increase in the transaction's
over-collateralization ratios since December 2015. The Class A-1
notes have been paid down collectively by approximately 22.1%, or
$18.7 million, since then. Based on the Moody's calculation, the
over-collateralization ratio of the Class A-1 notes is currently
153.57%, versus 139.6% in December 2015. The paydown of the Class
A-1 notes is partially the result of cash collections from certain
assets treated as defaulted by the trustee in amounts materially
exceeding expectations.
The deal has also benefited from an improvement in the credit
quality of the underlying portfolio since December 2015. Based on
Moody's calculation, the weighted average rating factor (WARF) is
currently 2011, compared to 2878 in December 2015.
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:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:
-- Macroeconomic uncertainty: Primary causes of uncertainty
about assumptions are the extent of any deterioration in
either consumer or commercial credit conditions and in the
commercial and residential real estate property markets. The
residential real estate property market's uncertainties
include housing prices; the pace of residential mortgage
foreclosures, loan modifications and refinancing; the
unemployment rate; and interest rates.
-- Deleveraging: One source of uncertainty in this transaction
is whether deleveraging from principal proceeds, recoveries
from defaulted assets, and excess interest proceeds will
continue and at what pace. Faster than expected deleveraging
could have a significantly positive impact on the notes'
ratings.
-- Recovery of defaulted assets: The amount of recoveries
received from defaulted assets reported by the trustee and
those that Moody's assumes as having defaulted as well as
the timing of these recoveries create additional
uncertainty. Moody's analyzed defaulted assets assuming
limited recoveries, and therefore, realization of any
recoveries exceeding Moody's expectation in the future would
positively impact the notes' ratings.
Loss and Cash Flow Analysis:
Moody's applies a Monte Carlo simulation framework in Moody's
CDOROM to model the loss distribution for SF CDOs. The simulated
defaults and recoveries for each of the Monte Carlo scenarios
define the reference pool's loss distribution. Moody's then uses
the loss distribution as an input in the CDOEdge cash flow model.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes. Below is a summary of the impact
of different default probabilities (expressed in terms of WARF) on
all of the rated notes (by the difference in the number of notches
versus the current model output, for which a positive difference
corresponds to lower expected loss):
Ba1 and below ratings notched up by two rating notches (1208):
-- Class A-1NV: +2
-- Class A-1VA: +2
-- Class A-1VB: +2
-- Class A-2A:0
-- Class A-2B:0
-- Class B:0
-- Class C:0
Ba1 and below ratings notched down by two notches (3037):
-- Class A-1NV: -2
-- Class A-1VA: -2
-- Class A-1VB: -2
-- Class A-2A: 0
-- Class A-2B: 0
-- Class B: 0
-- Class C: 0
MERRILL LYNCH 1997-C2: Moody's Affirms Caa2 Rating on Cl. IO Debt
-----------------------------------------------------------------
Moody's Investors Service has affirmed the rating on one class in
Merrill Lynch Mortgage Investors Inc., Commercial Mortgage
Pass-Through Certificates, Series 1997-C2 as:
IO, Affirmed Caa2 (sf); previously on Nov. 13, 2015, Affirmed
Caa2 (sf)
RATINGS RATIONALE
The rating on the IO class was affirmed based on the credit
performance (or the weighted average rating factor or WARF) of its
referenced classes. The IO class is the only outstanding class
rated by Moody's.
Moody's rating action reflects a base expected loss of 0% of the
current balance, the same as at Moody's last review. Moody's do
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. Moody's ratings reflect the
potential for future losses under varying levels of stress. Moody's
base expected loss plus realized losses is now 3.4% of the original
pooled balance, the same as at the last review. Moody's provides a
current list of base expected losses for conduit and fusion CMBS
transactions on moodys.com at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in this rating was "Moody's Approach
to Rating Large Loan and Single Asset/Single Borrower CMBS"
published in October 2015.
DESCRIPTION OF MODELS USED
Moody's 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 3, the same as at Moody's last review.
Moody's analysis used the excel-based Large Loan Model. The large
loan model derives credit enhancement levels based on an
aggregation of adjusted loan-level proceeds derived from Moody's
loan-level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure and property type. Moody's also
further adjusts these aggregated proceeds for any pooling benefits
associated with loan level diversity and other concentrations and
correlations.
DEAL PERFORMANCE
As of the Sept. 12, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 96% to $24.9 million
from $686.3 million at securitization. The certificates are
collateralized by 6 mortgage loans ranging in size from less than
1% to 44.9% of the pool. There are no loans in the current pool
that have defeased.
Two loans, constituting 45.3% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Loans that have liquidated from the pool have resulted in an
aggregate realized loss of $23.3 million. There are currently no
loans in special servicing.
Moody's received full year 2015 operating results for 100% of the
pool, and full or partial year 2016 operating results for 83% of
the pool. Moody's weighted average conduit LTV is 66%, compared to
74% 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 value reflects
a weighted average capitalization rate of 9.8%.
Moody's actual and stressed conduit DSCRs are 1.05X and 2.05X,
respectively, compared to 1.0X and 1.77X 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 91% of the pool balance. The
largest loan is the Northlake Tower Festival Loan ($11.3 million --
44.9% of the pool), which is secured by a 321,623 square foot (SF)
retail property located in Tucker, Georgia, a suburb of Atlanta.
As of June 2016, the center was 72% leased, the same as in
September 2015. The former second-largest tenant, Bally's Total
Fitness, which had occupied 30,000 square feet (SF) (9% of the
property's net rentable area) vacated at lease expiration in
October 2014. Additionally, Toys "R" Us, which had occupied 43,000
square feet (SF) vacated in January 2015. The loan is on the
watchlist due to occupancy concerns and has passed its anticipated
repayment date (ARD) in 2013. The loan's final maturity date is in
December 2027. Moody's LTV and stressed DSCR are 100% and 1.08X,
respectively, compared to 92% and 1.17X at prior review.
The second largest loan is The Links at Jonesboro Loan
($7.3 million -- 29.3% of the pool). The loan is secured by a 38
building, 432 unit multifamily garden apartment complex located in
Jonesboro, Arkansas. The property is centered around an 18-hole
golf course. As per the September 2016 rent roll, the property was
100% occupied; compared to 99% leased in June 2015. The loan is
fully amortizing. Moody's LTV and stressed DSCR are 39% and 2.61X,
respectively, compared to 47.5% and 2.16X at the last review.
The third largest loan is the Dogwood Lakes Apartments Loan
($4.2 million -- 16.9% of the pool), which is secured by a 276 unit
multifamily apartment complex in Benton, Arkansas. As per the June
2016 rent roll the property was 99% leased, the same as in June
2015. The loan is fully amortizing. Moody's LTV and stressed DSCR
are 39% and 2.61X, respectively, compared to 51% and 2.03X at the
last review.
MERRILL LYNCH 2008-C1: S&P Affirms B+ Rating on Class E Certs
-------------------------------------------------------------
S&P Global Ratings raised its ratings on two classes of commercial
mortgage pass-through certificates from Merrill Lynch Mortgage
Trust 2008-C1, a U.S. commercial mortgage-backed securities (CMBS)
transaction. In addition, S&P affirmed its ratings on 14 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 loans in the pool, the transaction's
structure, and the liquidity available to the trust.
S&P raised its ratings on classes AM and AM-A 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 rating level. The upgrades
also reflect S&P's views regarding the current and future
performance of the transaction's collateral and the reduction in
the trust's balance.
The affirmations on 11 of the principal- and interest-paying
classes reflect S&P's expectation that the available credit
enhancement for these classes is generally within its estimate of
the necessary credit enhancement required for the current ratings
as well as S&P's view of the current and future performance of the
transaction's collateral and liquidity support available to the
classes.
The affirmations on classes H and J reflect S&P's view that these
classes are susceptible to reduced liquidity support and a
heightened risk of default due to the three specially serviced
assets ($19.0 million, 3.9%) and the 16 loans ($136.7 million,
27.7%) on the master servicers' combined watchlist.
S&P affirmed its 'AAA (sf)' rating on the class X interest-only
(IO) certificates based on its criteria for rating IO securities.
TRANSACTION SUMMARY
As of the Sept. 14, 2016, trustee remittance report, the collateral
pool balance was $493.2 million, which is 52.0% of the pool balance
at issuance. The pool currently includes 73 loans and one real
estate-owned (REO) asset, down from 92 loans at issuance. Three of
these assets are with the special servicer, six loans ($28.0
million, 5.7%) are defeased, and 16 are on the master servicers'
combined watchlist. The master servicers, Wells Fargo Bank N.A.,
KeyBank Real Estate Capital, and Midland Loan Services reported
financial information for 99.1% of the nondefeased loans in the
pool, of which 96.0% was year-end 2015 data and the remainder was
either year-end 2014 data or partial-year 2016 data.
S&P calculated a 1.15x S&P Global Ratings' weighted average debt
service coverage (DSC) and a 103.1% S&P Global Ratings' weighted
average loan-to-value (LTV) ratio using a 8.17% S&P Global Ratings'
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the specially serviced
assets and the defeased loans. The top 10 nondefeased loans have
an aggregate outstanding pool trust balance of $193.5 million
(39.2%). Using the adjusted servicer-reported numbers, S&P
calculated a S&P Global Ratings' weighted average DSC and LTV of
0.94x and 134.1%, respectively, for nine of the top 10 nondefeased
loans. The remaining loan is specially serviced and discussed
below.
To date, the transaction has experienced $30.4 million in principal
losses, or 3.2% of the original pool trust balance. S&P expects
losses to reach approximately 4.0% of the original pool trust
balance in the near term, based on losses incurred to date and
additional losses S&P expects upon the eventual resolution of the
three specially serviced assets.
CREDIT CONSIDERATIONS
As of the Sept. 14, 2016, trustee remittance report, three assets
in the pool were with the special servicer, Midland. Appraisal
reduction amounts (ARAs) totaling $4.2 million are in effect
against two of the assets. Details of the two largest specially
serviced assets are:
-- The Heritage Financial Center loan ($10.6 million, 2.2%) is
the 10th-largest nondefeased loan in the pool and has a
total reported exposure of $10.9 million. The loan is
secured by a 61,163-sq.-ft. office property in Agoura Hills,
Calif. The loan, which has a foreclosure in progress
payment status, was transferred to Midland on May 20, 2016,
due to payment default. Midland stated that the note is
being marketed for sale. The reported DSC for the 12-
months-ended March 31, 2016, was 0.89x, and reported
occupancy was 76.3% as of Aug. 1, 2016. An ARA of
$2.9 million is in effect against this loan. S&P expects a
moderate loss (26%-59%) upon this loan's eventual
resolution.
-- The Strayer University loan ($5.6 million, 1.1%) has a total
reported exposure of $5.7 million. The loan, which has a
reported 60-days delinquent payment status, is secured by a
30,681-sq.-ft. office building in Ashburn, Va. The loan was
transferred to Midland on Feb. 4, 2015, due to nonmonetary
default. Midland reported that the borrower has failed to
pay escrow payments for two months and to open lockbox and
cash management accounts as required due to a lockbox
trigger because of low retained earnings and DSC. The
reported DSC and occupancy as of year-end 2015 were 1.11x
and 73.6%, respectively. S&P expects a moderate loss upon
this loan's eventual resolution.
The remaining asset with the special servicer has an individual
balance that represents 0.6% of the total pool trust balance. S&P
estimated losses for the three specially serviced assets, arriving
at a weighted average loss severity of 39.4%.
RATINGS LIST
Merrill Lynch Mortgage Trust 2008-C1
Commercial mortgage pass-through certificates series 2008-C1
Rating
Class Identifier To From
A-4 59025WAE6 AAA (sf) AAA (sf)
A-1A 59025WAF3 AAA (sf) AAA (sf)
AM 59025WAL0 AA (sf) A+ (sf)
AM-A 59025WAM8 AA (sf) A+ (sf)
AJ 59025WAN6 BBB (sf) BBB (sf)
AJ-A 59025WAP1 BBB (sf) BBB (sf)
AJ-AF 59025WAK2 BBB (sf) BBB (sf)
B 59025WAQ9 BBB- (sf) BBB- (sf)
C 59025WAR7 BB (sf) BB (sf)
D 59025WAS5 BB- (sf) BB- (sf)
E 59025WAT3 B+ (sf) B+ (sf)
F 59025WAU0 B (sf) B (sf)
G 59025WAV8 B- (sf) B- (sf)
H 59025WAW6 CCC+ (sf) CCC+ (sf)
J 59025WAX4 CCC (sf) CCC (sf)
K 59025WAY2 D (sf) D (sf)
X 59025WBG0 AAA (sf) AAA (sf)
MORGAN STANLEY 2006-HQ10: Fitch Lowers Rating on Cl. C Certs to CC
------------------------------------------------------------------
Fitch Ratings has downgraded one and affirmed 14 classes in Morgan
Stanley Capital I Trust series 2006-HQ10 commercial mortgage
pass-through certificates.
KEY RATING DRIVERS
The affirmations reflect the largely unchanged loss expectations
for the pool since Fitch's last rating action. Fitch modeled
losses of 33.9% for the remaining pool; expected losses on the
original pool balance total 5.8%, including $84.9 million in
realized losses to date. At the last review, Fitch modelled losses
of 7.3% for the then-remaining pool (5.0% of the original balance).
Since the last rating action, 69 loans repaid from the trust in
full, contributing $792.7 million in principal paydown. This has
left the deal highly concentrated with only 12 loans or loan groups
remaining. Four loans, representing 53.4% of the pool, are
currently in special servicing. Adverse selection is also a
concern as the deal continues to wind down: there are five
performing loans representing 37.6% of the pool balance which are
scheduled to mature by YE2016. After these loans repay, the pool
will be almost exclusively composed of defaulted assets.
The largest loan in the pool is also the largest loan in special
servicing. Representing 36.6% of the pool, the collateral is a
portfolio of seven medical office properties located in Colorado
(four), Indiana (two) and Arizona (one). The properties were all
developed between 1997 and 2002 and total 435,438 square feet (sf).
The loan transferred to special servicing in May 2016 due to
imminent default after the borrower indicated it would be unable to
pay off the loan at maturity, which is scheduled for Oct. 1, 2016.
While the borrower continues to pay debt service, a substantial
amount of tenant roll is scheduled to occur by the end of the year.
As of March 2016, the portfolio occupancy was 84.3% and the YE2015
debt service coverage ratio (DSCR) was reported to be 1.21x.
The second largest loan in the pool is also a multi-property
portfolio. The AZ Office/Retail Portfolio represents 27.1% of the
pool and comprises two retail properties and one office building
located in Scottsdale, Arizona. The individual crossed loans were
previously in special servicing for imminent default and were
returned to the master servicer in February 2014 without any
modification. They are scheduled to mature in October 2016. Based
on the March and June 2016 rent rolls, the portfolio occupancy was
90.1% and the YE2015 DSCR was reported to be 1.16x.
Fort Roc Portfolio is the third largest loan in the pool,
representing 10.8% of the pool balance, and is in special
servicing. The collateral includes seven retail properties
totalling 343,769 sf. They are located in Pennsylvania (three),
New York (two), Tennessee (one) and Delaware (one). Five of the
seven properties are considered single-tenant. Rite-Aid is the
sole tenant for four properties, and a fifth property was
previously leased exclusively to Staples. The Rite-Aid leases
expire in 2018, 2020 and 2026. One of the New York properties was
previously leased to Staples through September 2015 and is now
completely vacant. This asset accounts for 6.9% of the portfolio
net rentable area (NRA) and the Staples departure brings the
portfolio occupancy down to 91.3%. The two remaining properties
are multi-tenant properties and are anchored by Kmart, which has
individual lease expiration dates in February and September 2017.
At least one of the two stores has been earmarked by Sears Holding
Corp. for closure, which would bring the portfolio occupancy down
further to 59.7%.
RATING SENSITIVITIES
Classes A-M and A-J maintain Stable Outlooks. Class A-M is
expected to be fully repaid by maturing loans in the next
remittance. Class A-J will become the most senior bond in the
transaction; however, the concentrated nature of the pool and the
potential for additional loans to transfer to special servicing
limit the possibility for upgrade. While it is viewed as unlikely,
classes could be upgraded should the loans in special servicing
liquidate at recoveries much higher than Fitch currently
anticipates. Distressed classes may be subject to downgrades as
losses are realized.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has downgraded one class as:
-- $16.8 million class C to 'CCsf' from 'CCCsf', RE 10%.
Fitch has affirmed these classes as indicated:
-- $52.4 million class A-M at 'AAAsf', Outlook Stable;
-- $119.3 million class A-J at 'Bsf', Outlook Stable;
-- $31.7 million class B at 'CCCsf', RE 100%;
-- $22.4 million class D at 'Csf', RE 0%;
-- $16.8 million class E at 'Csf', RE 0%;
-- $6.4 million class F at 'Dsf', RE 0%;
-- $0 class G at 'Dsf', RE0%;
-- $0 class H at 'Dsf', RE0%;
-- $0 class J at 'Dsf', RE0%;
-- $0 class K at 'Dsf', RE0%;
-- $0 class L at 'Dsf', RE0%;
-- $0 class M at 'Dsf', RE0%;
-- $0 class N at 'Dsf', RE0%;
-- $0 class O at 'Dsf', RE0%.
The class A-1, A-2, A-3, A-4, A-1A, A-4FL and A-4FX certificates
have paid in full. Fitch does not rate the class P certificate.
Fitch previously withdrew the ratings on the interest-only class
X-1 and X-2 certificates.
MORGAN STANLEY 2007-TOP27: S&P Lowers Rating on Cl. D Certs to D
----------------------------------------------------------------
S&P Global Ratings raised its ratings on two classes of commercial
mortgage pass-through certificates from Morgan Stanley Capital I
Trust 2007-TOP27, a U.S. commercial mortgage-backed securities
(CMBS) transaction. In addition, S&P lowered its ratings on four
classes and affirmed its ratings on four 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 A-M and A-MFL to reflect its
expectation of the available credit enhancement for these classes,
which S&P believes is greater than its most recent estimate of
necessary credit enhancement for the rating level. The upgrades
also follow S&P's views regarding the current and future
performance of the transaction's collateral and available liquidity
support.
The downgrades on classes A-J, B, and C reflect anticipated credit
support erosion upon the eventual liquidation of the asset with the
special servicer. These downgrades further reflect a downward
trend exhibited by two of the top 10 loans ($86.3 million, 4.7%),
which is accounted for in S&P's analysis. S&P lowered its rating
on class D to 'D (sf)' due to accumulated interest shortfalls,
which have affected the class for the past two consecutive months
and S&P expects to remain outstanding for the foreseeable future.
According to the Sept. 13, 2016, trustee remittance report, current
monthly interest shortfalls totaled $102,341 and resulted primarily
from:
-- Appraisal subordinate entitlement reduction amounts totaling
$95,974; and
-- Special servicing and work out fees totaling $6,367.
The current interest shortfalls affected classes subordinate to,
and including, class D.
The affirmations on the pooled principal- and interest-paying
certificates reflect S&P's expectation that the available credit
enhancement for these classes will be within its estimate of the
necessary credit enhancement required for the current ratings, as
well as S&P's views regarding the current and future performance of
the transaction's collateral.
S&P affirmed its 'AAA (sf)' ratings on the class X interest-only
(IO) certificates based on S&P's criteria for rating IO
securities.
Finally, the affirmed 'BB+ (sf)' rating on the AW34 non-pooled rake
certificate reflects S&P's analysis of the credit characteristics
of the 330 West 34th Street loan ($50.2 million), which is the sole
source of cash flow for the AW34 certificate. S&P's rating also
reflects the application of its criteria for rating U.S. and
Canadian CMBS transactions, which applies a credit enhancement
minimum equal to 1% of the transaction or loan amount to address
the potential for unexpected trust expenses that may be incurred
during the life of the loan. This loan is secured by the leased
fee interest in the land beneath a 638,982 sq. ft. office and
retail building located at 330 West 34th Street in Manhattan, New
York. The pool balance and statistics referenced in this press
release exclude this loan.
TRANSACTION SUMMARY
As of the Sept. 13, 2016, trustee remittance report, the collateral
pool balance was $1.85 billion, which is 67.8% of the pool balance
at issuance. The pool currently includes 164 loans (reflecting
crossed loans) and one real estate owned (REO) asset, down from 220
loans at issuance. As of the Sept. 13, 2016, trustee remittance
report, one asset ($23.8 million, 1.3%) was with the special
servicer, 16 ($190.6 million, 10.3%) were defeased, and 53 ($418.2
million, 22.6%) are on the master servicer’s watchlist.
Subsequent to the Sept. 13, 2016, trustee remittance report, an
additional five loans ($51.5 million, 2.8%) were defeased, and are
treated as such in S&P's analysis. The master servicer, Wells
Fargo Bank N.A., reported financial information for 99.7% of the
nondefeased loans in the pool, of which 0.2% was partial-year 2016
data, 98.0% was year-end 2015 data, and the remainder was year-end
2014 or partial-year 2015 data.
S&P calculated a 1.51x S&P Global Ratings' weighted average debt
service coverage (DSC) and 81.4% S&P Global Ratings’ weighted
average loan-to-value (LTV) ratio using a 7.60% S&P Global
Ratings’ weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the specially serviced
asset, 21 defeased loans, three ground lease loans ($16.4 million,
0.9%), and two loans secured by the cooperative housing properties
($15.7 million, 0.9%). The top 10 nondefeased loans have an
aggregate outstanding pool trust balance of $602.9 million (32.6%).
Using adjusted servicer-reported numbers, S&P calculated a S&P
Global Ratings' weighted average DSC and LTV of 1.44x and 79.5%,
respectively, for the top 10 nondefeased loans.
To date, the transaction has experienced $135.9 million in pooled
principal losses, or 5.0% of the original pool trust balance. S&P
expects losses to reach approximately 5.7% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses S&P expects upon the eventual resolution of
the specially serviced asset.
CREDIT CONSIDERATIONS
As of the Sept. 13, 2016, trustee remittance report, the Towne
Square Mall REO asset ($23.9, million, 1.3%) was with the special
servicer, C-III Asset Management LLC. The asset has a total
reported exposure of $25.6 million and is a 357,355 -sq.-ft.
anchored retail anchored property in Owensboro, Ky. The loan was
transferred to the special servicer on Feb. 6, 2015, because of
imminent default, and the property became REO in April 2016. C-III
is preparing the asset for marketing for fourth-quarter 2016. The
reported DSC and occupancy as of year-end 2014 were 0.89x and 91%,
respectively. An appraisal reduction amount of $19.5 million is in
effect against this asset. S&P expects a significant loss upon
this asset's eventual resolution.
RATINGS LIST
Morgan Stanley Capital I Trust 2007-TOP27
Commercial mortgage pass-through certificates series 2007-TOP27
Rating
Class Identifier To From
A-1A 61754JAB4 AAA (sf) AAA (sf)
A-4 61754JAF5 AAA (sf) AAA (sf)
A-M 61754JAG3 AA+ (sf) AA (sf)
A-MFL 61754JBA5 AA+ (sf) AA (sf)
A-J 61754JAH1 BBB- (sf) BBB+ (sf)
B 61754JAK4 B- (sf) BB- (sf)
C 61754JAL2 B- (sf) B (sf)
D 61754JAM0 D (sf) B- (sf)
X 61754JAJ7 AAA (sf) AAA (sf)
AW34 61754JAZ1 BB+ (sf) BB+ (sf)
MORGAN STANLEY 2016-C30: Fitch Assigns BB- Rating on Cl. E Certs
----------------------------------------------------------------
Fitch Ratings has assigned these ratings and Rating Outlooks to the
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C30
commercial mortgage pass-through certificates:
-- $34,000,000 class A-1 'AAAsf'; Outlook Stable;
-- $4,400,000 class A-2 'AAAsf'; Outlook Stable;
-- $46,900,000 class A-SB 'AAAsf'; Outlook Stable;
-- $13,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $230,000,000 class A-4 'AAAsf'; Outlook Stable;
-- $291,364,000 class A-5 'AAAsf'; Outlook Stable;
-- $619,664,000b class X-A 'AAAsf'; Outlook Stable;
-- $162,662,000b class X-B 'A-sf'; Outlook Stable;
-- $79,671,000 class A-S 'AAAsf'; Outlook Stable;
-- $42,049,000 class B 'AA-sf'; Outlook Stable;
-- $40,942,000 class C 'A-sf'; Outlook Stable;
-- $38,729,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $24,344,000ab class X-E 'BB-sf'; Outlook Stable;
-- $38,729,000a class D 'BBB-sf'; Outlook Stable;
-- $24,344,000a class E 'BB-sf'; Outlook Stable.
Fitch is not rating these classes:
-- $9,959,000a class F 'NR';
-- $29,876,844a class G 'NR';
-- $9,959,000ab class X-F 'NR';
-- $29,876,844ab class X-G 'NR'.
(a) Privately placed pursuant to Rule 144A.
(b) Notional amount and interest-only.
After Fitch issued its expected ratings on Sept. 14, 2016, the $3.9
million West Plaza Shopping Center loan was removed from the pool.
The mortgage loan was 0.4% of the initial pool balance and the
subsequent Fitch debt service coverage ratio (DSCR) and loan to
value (LTV) of the pool are 1.29x and 97.8%, respectively. The
removal did not materially impact Fitch's credit analysis and had
no impact on the ratings.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 48 loans secured by 58
commercial properties having an aggregate principal balance of
$885,234,845 as of the cut-off date. The loans were contributed to
the trust by Morgan Stanley Mortgage Capital Holdings LLC, Bank of
America, National Association, Starwood Mortgage Funding III LLC
and CIBC Inc.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 78.7% of the properties
by balance and asset summary reviews, and cash flow analysis of
85.5% of the pool.
KEY RATING DRIVERS
Investment-Grade Credit Opinion Loans: Four loans representing
21.7% of the pool are credit opinion loans. Vertex Pharmaceuticals
(8.8%) has an investment-grade credit opinion of 'BBB-sf*' on a
stand-alone basis. Easton Town Center (8.5%) has an
investment-grade credit opinion of 'A+sf*' on a stand-alone basis.
The Shops at Crystals (2.3%) has an investment-grade credit opinion
of 'BBB+sf*' on a stand-alone basis. International Square (2.3%)
has an investment-grade credit opinion of 'AA-sf*' on a stand-alone
basis.
Above-Average Fitch Leverage: The transaction overall has lower
leverage than other recent Fitch-rated transactions. The pool's
weighted average (WA) Fitch DSCR of 1.29x is greater than both the
year-to-date (YTD) 2016 average of 1.18x and the 2015 average of
1.18x. The pool's WA Fitch LTV of 97.8% is better than both the
YTD 2016 average of 106.5% and the 2015 average of 109.3%.
Excluding the credit opinion loans, the Fitch DSCR falls to 1.23x
and the Fitch LTV increases to 108.6%.
Sponsor Concentration: The sponsor concentration for the pool is
709, significantly higher than the recent averages of 428 and 367
for YTD 2016 and 2015, respectively. The largest sponsor within
this transaction is Simon Property Group, LP ('A/F1'/Stable
Outlook), with four loans representing 19.8% of the pool.
Higher Pool Concentration: The top 10 loans make up 56.8% of the
pool, which is higher than the recent averages of 55.3% and 49.3%
for YTD 2016 and 2015, respectively. Additionally, the loan
concentration index (LCI) index is 436, more than the YTD 2016
average of 428 and the 2015 average of 367.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 11.9% 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 MSBAM
2016-C30 certificates and found that the transaction displays
average sensitivities 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.
OHA CREDIT IX: S&P Affirms BB- Rating on Class E Notes
------------------------------------------------------
S&P Global Ratings raised its ratings on the class B-1, B-2, and C
notes and affirmed its ratings on the class A-1, A-2, D, and E
notes from OHA Credit Partners IX Ltd., a U.S. collateralized loan
obligation (CLO) transaction that closed in October 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 September 2016 trustee report. The
transaction is scheduled to remain in its reinvestment period until
October 2017.
The upgrades primarily reflect credit quality improvement in the
underlying collateral and seasoning of the underlying collateral
since S&P's effective date rating affirmations in April 2014.
Collateral with an S&P Global Ratings' credit rating of 'BB-' or
higher has increased from the February 2014 effective date report
used for S&P's previous review. The purchasing of this
higher-rated collateral has resulted in a decrease in the reported
weighted average spread to 3.92% from 4.47%, and a corresponding
increase in the weighted average S&P Global Ratings recovery rate.
The transaction has also benefited from collateral seasoning, with
the reported weighted average life decreasing to 4.79 years from
5.44 years in February 2014. 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.
According to the September 2016 trustee report that S&P used for
this review, the overcollateralization (O/C) ratios for each class
have exhibited mild declines since our April 2014 rating
affirmations.
-- The class A/B O/C ratio was 139.32%, down from the 139.89%
reported in February 2014.
-- The class C O/C ratio was 123.73%, down from 124.23%.
-- The class D O/C ratio was 114.13%, down from 114.59%.
-- The class E O/C ratio was 108.62%, down from 109.06%.
However, the current coverage test ratios are all passing and are
well above their minimum threshold values.
Although S&P's cash flow analysis indicated higher ratings for the
class C, D, and E notes, its rating actions consider 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-1, A-2, D, and E
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
OHA Credit Partners IX Ltd.
Rating
Class To From
B-1 AA+ AA
B-2 AA+ AA
C A+ A
RATINGS AFFIRMED
OHA Credit Partners IX Ltd.
Class Rating
A-1 AAA
A-2 AAA
D BBB-
E BB-
REALT 2006-2: Moody's Raises Rating on Cl. H Certs to Ba1
---------------------------------------------------------
Moody's Investors Service has upgraded the ratings of eleven
classes and affirmed two classes in Real Estate Asset Liquidity
Trust Commercial Mortgage Pass-Through Certificates, Series 2006-2
as:
Cl. C, Upgraded to Aaa (sf); previously on Jan. 8, 2016,
Upgraded to Aa1 (sf)
Cl. D-1, Upgraded to Aa2 (sf); previously on Jan. 8, 2016,
Upgraded to A3 (sf)
Cl. D-2, Upgraded to Aa2 (sf); previously on Jan. 8, 2016,
Upgraded to A3 (sf)
Cl. E-1, Upgraded to A2 (sf); previously on Jan. 8, 2016,
Affirmed Baa3 (sf)
Cl. E-2, Upgraded to A2 (sf); previously on Jan. 8, 2016,
Affirmed Baa3 (sf)
Cl. F, Upgraded to Baa2 (sf); previously on Jan. 8, 2016,
Affirmed Ba1 (sf)
Cl. G, Upgraded to Baa3 (sf); previously on Jan. 8, 2016,
Affirmed Ba2 (sf)
Cl. H, Upgraded to Ba1 (sf); previously on Jan. 8, 2016,
Affirmed Ba3 (sf)
Cl. J, Upgraded to Ba2 (sf); previously on Jan. 8, 2016,
Affirmed B1 (sf)
Cl. K, Upgraded to Ba3 (sf); previously on Jan. 8, 2016,
Affirmed B2 (sf)
Cl. L, Upgraded to B1 (sf); previously on Jan. 8, 2016,
Affirmed B3 (sf)
Cl. XC-1, Affirmed Ba3 (sf); previously on Jan. 8, 2016,
Affirmed Ba3 (sf)
Cl. XC-2, Affirmed Ba3 (sf); previously on Jan. 8, 2016,
Affirmed Ba3 (sf)
RATINGS RATIONALE
The ratings on the P&I classes were upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 87% since Moody's last
review.
The ratings on the IO classes were affirmed because the credit
performance of the referenced classes is consistent with Moody's
expectations.
Moody's rating action reflects a base expected loss of 0% of the
current balance compared to 1% at Moody's last review. Moody's
base expected loss plus realized losses is now 0.2% of the original
pooled balance, compared to 0.6% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
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. Moody's ratings
reflect the potential for future losses under such conditions.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published on October 30, 2015.
DESCRIPTION OF MODELS USED
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 2, compared to 14 at Moody's last review.
Because of the very low Herf, Moody's used the excel-based Large
Loan Model in formulating a rating recommendation. The Large Loan
Model derives credit enhancement levels based on an aggregation of
adjusted loan-level proceeds derived from Moody's loan-level LTV
ratios. Major adjustments to determining proceeds include
leverage, loan structure, property type and sponsorship. Moody's
also further adjusts these aggregated proceeds for any pooling
benefits associated with loan level diversity and other
concentrations and correlations.
DEAL PERFORMANCE
As of the Sept. 12, 2016, distribution date, the transaction's
aggregate certificate balance has decreased by 94% to $25 million
from $412 million at securitization. The certificates are
collateralized by five mortgage loans ranging in size from 3% to
41% of the pool. The pool contains no defeased loans.
One loan, which is discussed in greater detail below, is on the
master servicer's watchlist. The watchlist includes loans that
meet certain portfolio review guidelines established as part of the
CRE Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Two loans have been liquidated from the pool, contributing to an
aggregate realized loss of approximately $666,000 million (for an
average loss severity of 60%).
Moody's received full year 2014 and 2015 operating results for 100%
of the pool. Moody's weighted average conduit LTV is 53%, compared
to 64% at Moody's last review. Moody's conduit component excludes
loans with structured credit assessments, defeased and CTL loans,
and specially serviced and troubled loans. Moody's net cash flow
(NCF) reflects a weighted average haircut of 8.5% 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 1.74X and 1.89X,
respectively, compared to 1.41X 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 largest loan group in the transaction is the Crombie Pool B
($14 million -- 54% of the pool), which consists of two
cross-collateralized loans secured by two retail properties. The
Crombie Pool B originally consisted of four crossed loans, however
two loans have paid off. The remaining properties are the
grocery-anchored Aberdeen Shopping Center in New Glasgow, Nova
Scotia, and the movie theater-anchored Prince Street Plaza in
Sydney, Nova Scotia. The loan sponsor is Crombie, a Canadian real
estate investment trust (REIT). Moody's LTV and stressed DSCR are
53% and 1.95X, respectively.
The second largest loan group is the Crombie Pool A ($11 million --
43% of the pool), which consists of two crossed loans secured by
two retail properties Originally Pool A consisted of five crossed
loans. The remaining collateral includes two grocery-anchored
retail centers in Nova Scotia. The loan sponsor is Crombie, the
Canadian REIT. Moody's LTV and stressed DSCR are 53% and 1.79X,
respectively.
The remaining loan in the pool is the 1059-1065 Upper James Street
Loan ($826,000 -- 3% of the pool). The loan is secured by a 23,000
square foot mixed-use property in Hamilton, Ontario. The loan
passed its scheduled maturity date of Aug. 1, 2016, and has
received a temporary maturity extension. The loan is current and
is currently on the watchlist. The loan metrics benefit from
amortization. Moody's LTV and stressed DSCR are 48% and, 2.12X,
respectively.
SATURNS JC PENNEY 2007-1: Moody's Raises Rating on B Units to B3
----------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of these units issued by SATURNS J.C Penney Corporation
Inc. Debenture Backed Series 2007-1:
$54,500,000 of 7.00% Callable Units due March 1, 2097, Upgraded
to B3; previously on May 30, 2013, Downgraded to Caa2
$3,690,000 Initial Notional Amortizing Balance of Interest-Only
Class B Callable Units due March 1, 2097, Upgraded to B3;
previously on May 30, 2013 Downgraded to Caa2
RATINGS RATIONALE
The rating actions are a result of the change of the rating of J.C.
Penney Corporation, Inc. 7.625% Debentures due March 1, 2097, which
was upgraded to B3 on Sept. 28, 2016. The transaction is a
structured note whose ratings are based on the rating of the
Underlying Securities and the legal structure of the transaction.
Methodology Underlying the Rating Action
The principal methodology used in these ratings was "Moody's
Approach to Rating Repackaged Securities" published in June 2015.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS
The ratings will be sensitive to any change in the rating of the
7.625% Debentures due March 1, 2097 issued by J.C. Penney
Corporation, Inc.
SDART 2016-3: Fitch to Assign Class E Notes BB
----------------------------------------------
Fitch Ratings expects to assign these ratings and Outlooks to the
notes issued from Santander Drive Auto Receivables Trust 2016-3
(SDART 2016-3):
-- $195,000,000 class A-1 notes 'F1+sf';
-- $295,000,000 class A-2-A & A-2-B notes 'AAAsf'; Outlook
Stable;
-- $125,860,000 class A-3 notes 'AAAsf'; Outlook Stable;
-- $144,260,000 class B notes 'AAsf'; Outlook Stable;
-- $155,450,000 class C notes 'Asf'; Outlook Stable;
-- $85,380,000 class D notes 'BBBsf'; Outlook Stable;
-- $58,880,000 class E notes 'BBsf'; Outlook Stable.
KEY RATING DRIVERS
Declining Credit Quality: 2016-3 is backed by collateral relatively
consistent with the 2014-2016 pools, with a WA FICO score of 600
and internal WA loss forecast score (LFS) of 555. However, obligors
with no FICO scores increased to the highest level to date at 18.7%
of the pool. Fitch considers the growing no FICO originations a
negative trend considering the weaker loss performance observed for
these obligors.
Increased Extended-Term Contracts: The concentration of 73-75 month
loans increased to 7.9% from 4.7% in 2016-2, and 60+ month loans
account for 92.2% of the pool, towards the higher end of the range
historically for the platform. Consistent with prior Fitch-rated
transactions, an additional stress was applied to the 73-75 month
loans when deriving the loss proxy.
Weakening Performance: Although within range of the 2010-2012
performance, recent 2013-2015 portfolio and securitization losses
are tracking higher. Loss frequency has been driven higher by
looser underwriting, while loss severity has risen due to slightly
weaker wholesale vehicle values and early stage defaults on
extended term collateral. Fitch expects the 2015-2016 vintages to
perform relatively in line with 2013-2014, if not weaker.
Sufficient Credit Enhancement: The cash flow distribution is a
sequential pay structure. Initial hard credit enhancement (CE)
totals 49.70% for the class A notes, slightly down from 49.85% in
recent transactions. Excess spread is expected to be 10.24% per
annum, down from recent transactions due to the decline in the WA
APR.
Stable Corporate Health: SC's recent financial results have been
weaker due to higher losses on the managed portfolio. However, the
company has been profitable since 2007 and Fitch currently rates
Santander, SC's majority owner, 'A-/F2'/Outlook Stable.
Consistent Origination/Underwriting/Servicing: SC demonstrates
adequate abilities as originator, underwriter, and servicer as
evidenced by historical portfolio and securitization performance.
Fitch deems SC capable to service this series.
Legal Structure Integrity: The legal structure of the transaction
should provide that a bankruptcy of SC would not impair the
timeliness of payments on the securities.
RATING SENSITIVITIES
Unanticipated increases in the frequency of defaults and loss
severity on defaulted receivables could produce loss levels higher
than the base case. This in turn could result in Fitch taking
negative rating actions on the notes.
Fitch evaluated the sensitivity of the ratings assigned to
Santander Drive Auto Receivables Trust 2016-3 to increased credit
losses over the life of the transaction. Fitch's analysis found
that the transaction displays some sensitivity to increased
defaults and credit losses. This shows a potential downgrade of
one or two categories under Fitch's moderate (1.5x base case loss)
scenario, especially for the subordinate bonds. The notes could
experience downgrades of three or more rating categories,
potentially leading to distressed ratings (below 'Bsf') or possibly
default, under Fitch's severe (2x base case loss) scenario.
TOWD POINT 2016-4: Moody's Assigns B2 Rating on Cl. B2 Notes
------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to six
classes of notes issued by Towd Point Mortgage Trust 2016-4.
The certificates are backed by one pool of seasoned, performing and
re-performing residential mortgage loans. The collateral pool is
comprised of 3,383 first lien, fixed-rate and adjustable rate
mortgage loans, and has a non-zero updated weighted average FICO
score of 672 and a weighted average current LTV of 91.5%.
Approximately 71.1% of the loans in the collateral pool have been
previously modified. Select Portfolio Servicing, Inc (SPS). and
Wells Fargo Bank, NA ("WFB"), are the servicers for the loans in
the pool.
The complete rating actions are:
Issuer: Towd Point Mortgage Trust 2016-4
Cl. A1, Definitive Rating Assigned Aaa (sf)
Cl. A2, Definitive Rating Assigned Aa2 (sf)
Cl. M1, Definitive Rating Assigned A2 (sf)
Cl. M2, Definitive Rating Assigned Baa2 (sf)
Cl. B1, Definitive Rating Assigned Ba1 (sf)
Cl. B2, Definitive Rating Assigned B2 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected losses on TPMT 2016-4's collateral pool average
14.00% in its base case scenario. Moody's loss estimates take into
account the historical performance of Prime, Alt-A and Subprime
loans that have similar collateral characteristics as the loans in
the pool, and also incorporate an expectation of a continued strong
credit environment for RMBS, supported by improving home prices
over the next two to three years.
The methodologies used in these ratings were "Moody's Approach to
Rating Securitisations Backed by Non-Performing and Re-Performing
Loans" published in August 2016 and "US RMBS Surveillance
Methodology" published in November 2013.
Collateral Description
TPMT 2016-4's collateral pool is primarily comprised of seasoned,
re-performing mortgage loans. Approximately 71.1% of the loans in
the collateral pool have been previously modified. The majority of
the loans underlying this transaction exhibit collateral
characteristics similar to that of seasoned Alt-A mortgages.
Moody's based its expected losses on a pool of re-performing
mortgage loans on our estimates of 1) the default rate on the
remaining balance of the loans and 2) the principal recovery rate
on the defaulted balances. The two factors that most strongly
influence a re-performing mortgage loan's likelihood of re-default
are the length of time that the loan has performed since
modification, and the amount of the reduction in monthly mortgage
payments as a result of modification. The longer a borrower has
been current on a re-performing loan, the less likely they are to
re-default. Approximately 60.3% of the borrowers of the loans in
the collateral pool have been current on their payments for the
past 24 months at least.
Moody's estimated expected losses using two approaches -- (1)
pool-level approach, and (2) re-performing loan level analysis. In
the pool-level approach, Moody's estimates losses on the pool by
applying our assumptions on expected future delinquencies, default
rates, loss severities and prepayments as observed from our
surveillance of similar collateral. Moody's projected future
annual delinquencies for eight years by applying annual default
rates and delinquency burnout factors. The delinquency burnout
factors reflect our future expectations of the economy and the U.S.
housing market. Moody's analysis indicates that weighted by pre
and post 2005 vintage of the pool, approximately 11% of Alt-A loans
that have re-performed for 24 months since modification will
re-default within the next year. As such, Moody's applied an
expected annual delinquency rate of 11% to calculate the
delinquencies on the collateral pool for year one. Moody's then
calculated future delinquencies using default burnout and voluntary
conditional prepayment rate (CPR) assumptions. Moody's aggregated
the delinquencies and converted them to losses by applying
pool-specific lifetime default frequency and loss severity
assumptions.
Moody's also conducted a loan level analysis on TPMT 2016-4's
collateral pool. Moody's applied loan-level baseline lifetime
propensity to default assumptions, and considered the historical
performance of seasoned Prime, Alt-A and Subprime loans with
similar collateral characteristics and payment histories. Moody's
then adjusted this base default propensity up for (1)
adjustable-rate loans, (2) loans that have the risk of coupon
step-ups and (3) loans with high updated loan to value ratios
(LTVs). Moody's applied a higher baseline lifetime default
propensity for interest-only loans, using the same adjustments. To
calculate the final expected loss for the pool, Moody's applied a
loan-level loss severity assumption based on the loans' updated
estimated LTVs. Moody's further adjusted the loss severity
assumption upwards for loans in states that give super-priority
status to homeowner association (HOA) liens, to account for
potential risk of HOA liens trumping a mortgage.
For loans with deferred balances, we assumed that 50% all modified
loans' deferred principal balance will be forgiven and not
recovered. The final expected loss for the collateral pool
reflects the due diligence findings of three independent third
party review (TPR) firms as well as our assessment of TPMT 2016-4's
representations & warranties (R&Ws) framework.
Transaction Structure
TPMT 2016-4 has a sequential priority of payments structure, in
which a given class of notes can only receive principal payments
when all the classes of notes above it have been paid off.
Similarly, losses will be applied in the reverse order of priority.
The Class A1, A2, M1 and M2 notes carry a fixed-rate coupon
subject to the collateral adjusted net WAC and applicable available
funds cap. The Class B1, B2, B3, B4 and B5 are Variable Rate Notes
where the coupon is equal to the lesser of adjusted net WAC and
applicable available funds cap. There are no performance triggers
in this transaction. Additionally, the servicers will not advance
any principal or interest on delinquent loans.
With the exception of TPMT 2016-3 and 2015-1, in other previously
issued TPMT transactions, the monthly excess cash flow can leak out
after paying any net WAC shortfalls and previously unpaid expenses.
However, the monthly excess cash flow in this transaction, after
payment of such expenses, if any, will be fully captured to pay the
principal balance of the bonds sequentially, allowing for a faster
paydown of the bonds.
Moody's modeled TPMT 2016-4's cashflows using SFW, a cashflow tool
developed by Moody's Analytics. To assess the final rating on the
notes, Moody's ran 96 different loss and prepayment scenarios
through SFW. The scenarios encompass six loss levels, four loss
timing curves, and four prepayment curves. The structure allows
for timely payment of interest and ultimate payment of principal
with respect to the notes by the legal final maturity.
Third Party Review
Three independent third party review (TPR) firms conducted due
diligence on 100% of the loans in TPMT 2016-4's collateral pool.
The three TPR firms -- JCIII & Associates, Inc. (subsequently
acquired by American Mortgage Consultants), Clayton Holdings LLC.,
and American Mortgage Consultants -- reviewed compliance, data
integrity and key documents, to verify that loans were originated
in accordance with federal, state and local anti-predatory laws.
The TPR firms also conducted audits of designated data fields to
ensure the accuracy of the collateral tape.
Based on Moody's analysis of the third-party review reports, it
determined that a portion of the loans had legal or compliance
exceptions that could cause future losses to the trust. Moody's
incorporated an additional hit to the loss severities for these
loans to account for this risk. FirstKey Mortgage, LLC, the asset
manager for the transaction, retained WestCor and American Mortgage
Consultants to review the title and tax reports for the loans in
the pool, and will oversee WestCor and monitor the loan sellers in
the completion of the assignment of mortgage chains. 100% of the
loans are in first lien position. In addition, FirstKey expects a
significant number of the assignment and endorsement exceptions to
be cleared within the first three months following the closing date
of the transaction. The representation provider has deposited
collateral of $1.0 million in Assignment Reserve Account to ensure
that the asset manager completes the clearing of these exceptions.
Representations & Warranties
Moody's ratings also factor in TPMT 2016-4's weak representations
and warranties (R&Ws) framework. The representation provider,
FirstKey Mortgage, LLC and the responsible party, Cerberus Global
Residential Mortgage Opportunity Fund, L.P., are unrated by
Moody's. Moreover, FirstKey's obligations will be in effect for
only thirteen months (until October 2017). The R&Ws themselves are
weak because they contain many knowledge qualifiers and the
regulatory compliance R&W does not cover monetary damages that
arise from TILA violations whose right of rescission has expired.
While the transaction provides for a Breach Reserve Account to
cover for any breaches of R&Ws, the size of the account is small
relative to TPMT 2016-4's aggregate collateral pool ($649.2
million). An initial deposit of $1.2 million will be remitted to
the Breach Reserve Account on the closing date, with an initial
Breach Reserve Account target amount of $2.3 million.
Transaction Parties
The transaction benefits from a strong servicing arrangement.
Select Portfolio Servicing, Inc. will service 95% and Wells Fargo
will service 5% of TPMT 2016-4's collateral pool. Moody's assess
SPS (SQ2) and Wells Fargo (SQ2) higher compared to their peers.
Furthermore, FirstKey Mortgage, LLC, the asset manager, will
oversee the servicers, which strengthens the overall servicing
framework in the transaction. Wells Fargo Bank National
Association and U.S. Bank National Association are the Custodians
of the transaction. The Delaware Trustee for TPMT 2016-4 is
Wilmington Trust, National Association. TPMT 2016-4's Indenture
Trustee is U.S. Bank National Association.
Factors that would lead to a downgrade of the ratings:
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original
expectations as a result of a higher number of obligors defaulting
or deterioration in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market. Other reasons
for worse-than-expected performance include poor servicing, error
on the part of transaction parties, inadequate transaction
governance and fraud.
WELLS FARGO 2016-LC24: Fitch Assigns BB- Rating on Cl. F Certs
--------------------------------------------------------------
Fitch Ratings has assigned final ratings to the Wells Fargo
Commercial Mortgage Trust 2016-LC24 pass-through certificates,
series 2016-LC24.
Fitch rates the transaction and assigns Rating Outlooks as:
-- $41,394,000 class A-1 'AAAsf'; Outlook Stable;
-- $55,655,000 class A-2 'AAAsf'; Outlook Stable;
-- $275,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $290,568,000 class A-4 'AAAsf'; Outlook Stable;
-- $69,133,000 class A-SB 'AAAsf'; Outlook Stable;
-- $94,083,000 class A-S 'AAAsf'; Outlook Stable;
-- $731,750,000b class X-A 'AAAsf'; Outlook Stable;
-- $142,430,000b class X-B 'AA-sf'; Outlook Stable;
-- $48,347,000 class B 'AA-sf'; Outlook Stable;
-- $44,428,000 class C 'A-sf'; Outlook Stable;
-- $49,655,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $23,520,000ab class X-EF 'BB-sf'; Outlook Stable;
-- $49,655,000a class D 'BBB-sf'; Outlook Stable;
-- $13,067,000a class E 'BB+sf'; Outlook Stable;
-- $10,453,000a class F 'BB-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
Since Fitch published its expected ratings on September 7th, 2016,
the notional balance of the interest-only class X-B changed from
$186,858,000 to $142,430,000. The rating for the class changed
from 'A-sf' to 'AA-sf'.
These final ratings are based on information provided by the issuer
as of Sept. 28, 2016. Fitch does not expect to rate the
$10,454,000 class X-G, $10,453,000 class X-H, $32,668,263 class
X-I, $10,454,000 class G, $10,453,000 class H and $32,668,263 class
I certificates.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 91 loans secured by 128
commercial properties having an aggregate principal balance of
approximately $1.05 billion as of the cut-off date. The loans were
contributed to the trust by Wells Fargo Bank, National Association,
Ladder Capital Finance LLC, Rialto Mortgage Finance, LLC and
National Cooperative Bank, N.A.
Fitch reviewed a comprehensive sample of the transaction's
collateral including site inspections on 72.4% of the properties by
balance, cash flow analysis of 77.5%, and asset summary reviews on
77.5% of the pool.
KEY RATING DRIVERS
Better Than Average Fitch Leverage: The transaction has overall
lower leverage than other recent Fitch-rated transactions. The
pool's weighted average (WA) Fitch debt service coverage ratio
(DSCR) of 1.33x is better than both the year-to-date (YTD) 2016
average of 1.16x and the 2015 average of 1.18x. The pool's WA
Fitch loan-to-value (LTV) of 103.9% is better than both the YTD
2016 average of 106.5% and the 2015 average of 109.3%. However,
excluding the credit opinion loan and the co-op collateral, the
Fitch DSCR falls to 1.13x and the Fitch LTV increases to 110.3%.
Co-Op Collateral: The pool contains 14 loans (6.2%) secured by
multifamily co-ops. All but one of the co-ops in this transaction
are located within the greater New York City metro area with one in
Washington D.C. The average Fitch DSCR and Fitch LTV of the co-op
loans in this transaction are 4.20x and 33.96%, respectively.
Investment-Grade Credit Opinion Loan: The sixth largest loan, The
Shops at Crystals (3.3% of the pool), has an investment-grade
credit opinion of 'BBB+sf*' on a stand-alone basis. Excluding this
loan, the conduit has a Fitch DSCR of 1.33x and Fitch LTV of
105.4%.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 16.7% below
the most recent year's net operating income (NOI; for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period). Unanticipated further
declines in property-level NCF could result in higher defaults and
loss severities on defaulted loans and in potential rating actions
on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to WFCM
2016-LC24 certificates and found that the transaction displays
average sensitivity to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'BBB+sf' could result. In a
more severe scenario, in which NCF declined a further 30% from
Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to
'BBB-sf' could result.
[*] Fitch Takes Actions on Distressed Classes on 11 CMBS Deals
--------------------------------------------------------------
Fitch Ratings has taken various rating actions on already
distressed U.S. commercial mortgage-backed securities (CMBS) bonds.
Fitch downgraded 15 bonds in nine transactions to 'D', as the
bonds have incurred a principal write-down. The bonds were all
previously rated 'C', which indicates that losses were inevitable.
Of these 15 bonds downgraded to 'D', the ratings on three of the
classes (within one transaction) have simultaneously been withdrawn
as the only remaining ratings in the transaction are now 'D'; as a
result the ratings are considered immaterial.
Fitch has also withdrawn the ratings on nine classes within three
transactions as a result of realized losses. The trust balances
have been reduced to $0 or have experienced non-recoverable
realized losses and are no longer considered by Fitch to be
relevant to the agency's coverage.
KEY RATING DRIVERS
Today's downgrades are limited to just the bonds with write-downs.
Any remaining bonds in these transactions have not been analyzed as
part of this review.
A spreadsheet detailing Fitch's rating actions on the affected
transactions is available at 'www.fitchratings.com' by performing a
title search for: 'Fitch Downgrades or Withdraws Ratings on
Distressed Classes in 11 U.S. CMBS Transactions'.
RATING SENSITIVITIES
While the bonds that have defaulted are not expected to recover any
material amount of lost principal in the future, there is a limited
possibility this may happen. In this unlikely scenario, Fitch
would further review the affected classes.
A list of the Affected Ratings is available at:
https://www.fitchratings.com/site/re/888351
[*] Moody's Takes Rating Action on $1.1BB RMBS Issued 2014-2015
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 45 tranches
from 8 transactions backed by conforming balance RMBS loans, issued
by miscellaneous issuers.
The complete rating actions are:
Issuer: J.P. Morgan Mortgage Trust 2015-3
Cl. B-1, Upgraded to Aa2 (sf); previously on May 29, 2015,
Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Upgraded to A1 (sf); previously on May 29, 2015,
Definitive Rating Assigned A2 (sf)
Cl. B-3, Upgraded to Baa1 (sf); previously on May 29, 2015,
Definitive Rating Assigned Baa2 (sf)
Cl. B-4, Upgraded to Ba1 (sf); previously on May 29, 2015,
Definitive Rating Assigned Ba2 (sf)
Issuer: Structured Agency Credit Risk (STACR) Debt Notes, Series
2014-DN3
Cl. M-2, Upgraded to Aa2 (sf); previously on Nov. 17, 2015,
Upgraded to A1 (sf)
Cl. M-2F, Upgraded to Aa2 (sf); previously on Nov. 17, 2015,
Upgraded to A1 (sf)
Cl. M-2I, Upgraded to Aa2 (sf); previously on Nov. 17, 2015,
Upgraded to A1 (sf)
Cl. M-12, Upgraded to Aa2 (sf); previously on Nov. 17, 2015,
Upgraded to Aa3 (sf)
Issuer: Structured Agency Credit Risk (STACR) Debt Notes, Series
2014-DN4
Cl. M-2, Upgraded to Aa2 (sf); previously on Nov. 17, 2015,
Upgraded to A1 (sf)
Cl. M-2F, Upgraded to Aa2 (sf); previously on Nov. 17, 2015,
Upgraded to A1 (sf)
Cl. M-2I, Upgraded to Aa2 (sf); previously on Nov. 17, 2015,
Upgraded to A1 (sf)
Cl. M-12, Upgraded to Aa2 (sf); previously on Nov. 17, 2015,
Upgraded to Aa3 (sf)
Issuer: Structured Agency Credit Risk (STACR) Debt Notes, Series
2014-HQ1
Cl. M-1, Upgraded to Aaa (sf); previously on Nov. 17, 2015,
Upgraded to Aa3 (sf)
Cl. M-1F, Upgraded to Aaa (sf); previously on Nov. 17, 2015,
Upgraded to Aa3 (sf)
Cl. M-1I, Upgraded to Aaa (sf); previously on Nov. 17, 2015,
Upgraded to Aa3 (sf)
Cl. M-2, Upgraded to A1 (sf); previously on Nov. 17, 2015,
Upgraded to A3 (sf)
Cl. M-2F, Upgraded to A1 (sf); previously on Nov. 17, 2015,
Upgraded to A3 (sf)
Cl. M-2I, Upgraded to A1 (sf); previously on Nov. 17, 2015,
Upgraded to A3 (sf)
Cl. M-12, Upgraded to Aa3 (sf); previously on Nov. 17, 2015,
Upgraded to A2 (sf)
Issuer: Structured Agency Credit Risk (STACR) Debt Notes, Series
2014-HQ2
Cl. M-1, Upgraded to Aa2 (sf); previously on Nov. 17, 2015,
Upgraded to A1 (sf)
Cl. M-1F, Upgraded to Aa2 (sf); previously on Nov. 17, 2015,
Upgraded to A1 (sf)
Cl. M-1I, Upgraded to Aa2 (sf); previously on Nov. 17, 2015,
Upgraded to A1 (sf)
Cl. M-2, Upgraded to A2 (sf); previously on Nov. 17, 2015,
Upgraded to Baa1 (sf)
Cl. M-2F, Upgraded to A2 (sf); previously on Nov. 17, 2015,
Upgraded to Baa1 (sf)
Cl. M-2I, Upgraded to A2 (sf); previously on Nov. 17, 2015,
Upgraded to Baa1 (sf)
Cl. M-12, Upgraded to A1 (sf); previously on Nov. 17, 2015,
Upgraded to A3 (sf)
Issuer: Structured Agency Credit Risk (STACR) Debt Notes, Series
2014-HQ3
Cl. M-2, Upgraded to Aa3 (sf); previously on Nov. 17, 2015,
Upgraded to A2 (sf)
Cl. M-2F, Upgraded to Aa3 (sf); previously on Nov. 17, 2015,
Upgraded to A2 (sf)
Cl. M-2I, Upgraded to Aa3 (sf); previously on Nov. 17, 2015,
Upgraded to A2 (sf)
Cl. M-12, Upgraded to Aa3 (sf); previously on Nov. 17, 2015,
Upgraded to A1 (sf)
Issuer: Structured Agency Credit Risk (STACR) Debt Notes, Series
2015-HQ2
Cl. M-1, Upgraded to Aa3 (sf); previously on June 9, 2015,
Definitive Rating Assigned A2 (sf)
Cl. M-1F, Upgraded to Aa3 (sf); previously on June 9, 2015,
Definitive Rating Assigned A2 (sf)
Cl. M-1I, Upgraded to Aa3 (sf); previously on June 9, 2015,
Definitive Rating Assigned A2 (sf)
Cl. M-2, Upgraded to A3 (sf); previously on June 9, 2015,
Definitive Rating Assigned Baa2 (sf)
Cl. M-2F, Upgraded to A3 (sf); previously on June 9, 2015,
Definitive Rating Assigned Baa2 (sf)
Cl. M-2I, Upgraded to A3 (sf); previously on June 9, 2015,
Definitive Rating Assigned Baa2 (sf)
Cl. M-3, Upgraded to Ba1 (sf); previously on June 9, 2015,
Definitive Rating Assigned Ba2 (sf)
Cl. M-3F, Upgraded to Ba1 (sf); previously on June 9, 2015,
Definitive Rating Assigned Ba2 (sf)
Cl. M-3I, Upgraded to Ba1 (sf); previously on June 9, 2015,
Definitive Rating Assigned Ba2 (sf)
Cl. M-12, Upgraded to A2 (sf); previously on June 9, 2015,
Definitive Rating Assigned Baa1 (sf)
Cl. MA, Upgraded to Baa2 (sf); previously on June 9, 2015,
Definitive Rating Assigned Baa3 (sf)
Issuer: WinWater Mortgage Loan Trust 2015-4
Cl. B-1, Upgraded to Aa2 (sf); previously on June 29, 2015,
Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Upgraded to A1 (sf); previously on June 29, 2015,
Definitive Rating Assigned A2 (sf)
Cl. B-3, Upgraded to A3 (sf); previously on June 29, 2015,
Definitive Rating Assigned Baa1 (sf)
Cl. B-4, Upgraded to Baa3 (sf); previously on June 29, 2015,
Definitive Rating Assigned Ba1 (sf)
RATINGS RATIONALE
The ratings upgraded are primarily due to an increase in credit
enhancement available to the bonds owing to steady prepayments and
transaction structures and the reduction in our expected pool
losses that take into account recent performance of the underlying
pools which have displayed very low levels of serious
delinquencies.
The principal methodology used in these ratings was "Moody's
Approach to Rating US Prime RMBS" published in February 2015.
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 August 2016 from 5.1% in
August 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 Ratings on 5 Classes From 3 US CMBS Transactions
---------------------------------------------------------------
S&P Global Ratings lowered its ratings on five classes of
commercial mortgage pass-through certificates from three U.S.
commercial mortgage-backed securities (CMBS) transactions.
The lowered ratings reflect S&P's analysis of the current and
future interest shortfalls on the affected classes based on S&P's
structured finance temporary interest shortfalls methodology. S&P
lowered its ratings to 'D (sf)' due to accumulated interest
shortfalls that S&P expect to remain outstanding for the
foreseeable future.
The recurring interest shortfalls for each certificate are
primarily due to one or more of these factors:
-- Appraisal subordinate entitlement reduction (ASER) amounts
in effect for specially serviced assets;
-- The lack of servicer advancing for loans/assets where the
servicer has made nonrecoverable advance declarations;
-- Interest rate modifications or deferrals, or both, related
to corrected mortgage loans; and/or
-- Special servicing fees.
S&P's analysis primarily considered the ASER amounts based on
appraisal reduction amounts (ARAs) calculated using recent Member
of the Appraisal Institute (MAI) appraisals. S&P also considered
servicer-nonrecoverable advance declarations and special servicing
fees that are likely, in S&P's view, to cause recurring interest
shortfalls.
The servicer implements ARAs and resulting ASER amounts according
to each respective transaction's terms. Typically, these terms
call for an ARA equal to 25% of the stated principal balance of a
loan to be implemented when it is 60 days past due and an appraisal
or other valuation is not available within a specified time frame.
S&P primarily considered ASER amounts based on ARAs
calculated from MAI appraisals when deciding which classes from the
affected transactions to downgrade to 'D (sf)'. This is because
ARAs based on a principal balance haircut are highly subject to
change, or even reversal, once the special servicer obtains the MAI
appraisals.
Servicer-nonrecoverable advance declarations can prompt shortfalls
due to a lack of debt service advancing, the recovery of previously
made advances after an asset was deemed nonrecoverable, or the
failure to advance trust expenses when nonrecoverable declarations
have been determined. Trust expenses may include, but are not
limited to, property operating expenses, property taxes, insurance
payments, and legal expenses.
Discussions of the individual transactions.
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR18
S&P lowered its rating on class D to 'D (sf)' to reflect its
expectation that accumulated interest shortfalls will remain
outstanding for the near term. Class D has accumulated interest
shortfalls outstanding for 10 consecutive months. According to the
Sept. 13, 2016, trustee remittance report, the current monthly net
interest shortfalls totaled $137,687 and resulted primarily from:
-- Shortfalls due to interest rate modifications totaling
$106,477; and
-- Special servicing and workout fees totaling $11,413.
The current reported interest shortfalls have affected all classes
subordinate to and including class D.
Credit Suisse Commercial Mortgage Trust Series 2006-C5
S&P lowered its ratings on the class A-J and B commercial mortgage
pass-through certificates to 'D (sf)' to reflect accumulated
interest shortfalls outstanding for 11 consecutive months each.
Based on S&P's analysis, it expects interest shortfalls to continue
in the near term on both classes. According to the
Sept. 16, 2016, trustee remittance report, the current monthly
interest shortfalls totaled $645,126 and resulted primarily from:
-- Net current ASER amounts totaling $218,148;
-- Net special servicing fees totaling $149,349;
-- Interest not advanced totaling $70,844;
-- Reimbursement of advances paid to servicer totaling $60,499;
-- Workout fees totaling $54,699;
-- Shortfalls due to interest rate modifications totaling
$41,027; and
-- Other shortfalls totaling $33,845.
The current reported interest shortfalls have affected all classes
subordinate to and including class A-J.
Greenwich Capital Commercial Funding Corp. series 2005-GG5
S&P lowered its ratings on the class B and C commercial mortgage
pass-through certificate to 'D (sf)' to reflect accumulated
interest shortfalls outstanding for six consecutive months and 12
consecutive months, respectively. Based on S&P's analysis, it
expects the interest shortfalls to continue in the near term on
both classes. According to the Sept. 12, 2016, trustee remittance
report, the current monthly interest shortfalls totaled
$1.2 million and resulted primarily from:
-- Interest not advanced totaling $971,788;
-- Special servicing fees totaling $89,548;
-- Shortfalls due to interest rate modifications totaling
$80,582; and
-- Net current ASER amounts totaling $43,747.
The current reported interest shortfalls have affected all classes
subordinate to and including class B.
RATINGS LOWERED
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR18
Commercial mortgage pass-through certificates
Reported
Rating Interest shortfalls
Class To From Current ($) Accumulated ($)
D D (sf) CCC (sf) 100,452 320,402
Credit Suisse Commercial Mortgage Trust Series 2006-C5
Commercial mortgage pass-through certificates
Reported
Rating Interest shortfalls
Class To From Current ($) Accumulated ($)
A-J D (sf) B- (sf) 85,727 767,547
B D (sf) CCC (sf) 58,389 642,278
Greenwich Capital Commercial Funding Corp.
Commercial mortgage pass-through certificates series 2005-GG5
Reported
Rating Interest shortfalls
Class To From Current ($) Accumulated ($)
B D (sf) CCC- (sf) 282,791 1,553,156
C D (sf) CCC- (sf) 178,911 1,954,804
[*] S&P Takes Rating Actions on 625 Classes From 110 RMBS Deals
---------------------------------------------------------------
S&P Global Ratings took various rating actions on 625 classes from
110 U.S. residential mortgage-backed securities (RMBS)
transactions. S&P raised 374 ratings (and removed 281 of these
from CreditWatch positive), lowered 10 ratings, and affirmed 238
ratings (and removed 26 of these from CreditWatch positive). S&P
also placed three ratings on CreditWatch with negative
implications.
All of the transactions in this review were issued between 2004 and
2008, and had at least one class whose rating was placed on
CreditWatch positive to reflect a potential increase in credit
support due to payments made as part of Bank of America Corp.'s
$8.5 billion settlement with certain Countrywide RMBS investors.
All of the transactions are supported by a mix of fixed- and
adjustable-rate alternative-A, document deficient, closed-end
second-lien, negative amortization, prime jumbo, re-performing, and
subprime mortgage loans.
Subordination, overcollateralization (where available), excess
interest, as applicable, and bond insurance provide credit
enhancement for the transactions in this review. Where the bond
insurer is rated lower than what S&P would rate the respective
class, it relied solely on the underlying collateral's credit
quality and the transaction structure to derive the rating.
BANK OF AMERICA SETTLEMENT
On June 2011, a settlement was reached regarding the alleged breach
of certain representations and warranties in the governing
agreements of 530 Countrywide legacy residential mortgage-backed
securities (RMBS) trusts. The settlement calls for Bank of America
Corp. (which bought Countrywide in 2008) to pay out
$8.5 billion to related investors.
In April 2016, the trustee for the related transactions, The Bank
of New York Mellon, requested guidance from the courts regarding
the order in which the settlement proceeds are to be allocated. The
issue was related to whether the trustee should first pay principal
to the certificateholders, then write up previously written-down
certificates. In some trusts, the order of "pay first and write up
second" could have an impact on certain overcollateralization
triggers in the waterfall and redirect a portion of the proceeds to
more subordinated classes that otherwise would go to more senior
classes. In May 2016, final judgement was made on 512 of the 530
transactions (the remaining 18 trusts are still undergoing legal
proceedings). It was ruled that The Bank of New York Mellon should
allocate these amounts as subsequent recoveries according to the
governing documents where overcollateralization calculations will
not factor in these settlement payments. If subsequent recoveries
are not defined in the governing documents, then the amounts will
be treated as unscheduled principal payments. The payments were
realized during the June 2016 remittance period.
For classes that were rated 'D (sf)' prior to being written up from
the Bank of America settlement, S&P is not raising the rating due
to the loss of interest from the initial write-down.
On July 29, 2016, S&P placed its ratings on 310 classes from 111
transactions on CreditWatch with positive implications. This
review resolves 307 of these CreditWatch placements, as:
-- 184 ratings were raised by more than three notches,
-- 97 ratings were raised by three or fewer notches, and
-- 26 ratings were affirmed.
Three CreditWatch placements related to the Bank of America
settlement were reviewed outside of this release. On Aug. 18,
2016, S&P discontinued its rating on CWABS Asset-Backed
Certificates Trust 2005-15 class 2AV2 (and removed it from
CreditWatch positive) because the bond was fully redeemed during
the July distribution period. In addition, on Aug. 31, 2016, S&P
raised the ratings on CHL Mortgage Pass-Through Trust 2004-HY9
classes 2-A-1 and 2-A-2 to 'A (sf)' and 'BBB (sf)', respectively,
from 'CCC (sf)', and removed them from CreditWatch positive.
A list of the Affected Ratings is available at:
http://bit.ly/2dXs1Yx
[*] US HY Default Forecast Lowered to 5%; 3% for 2017, Fitch Says
-----------------------------------------------------------------
Fitch Ratings is reducing its 2016 US high yield bond default rate
forecast to 5% from 6% and expects the overall 2017 rate to finish
at 3%, below the 4.1% historical average. Crude oil prices
stabilizing in the mid-$40s that aided the challenged energy
sector, coupled with improving conditions in the high yield market,
contributed to Fitch lowering this year's expected rate.
The YTD default total stands at $63.5 billion, and Fitch expects
the figure to end 2016 at roughly $75 billion, down from the
previously anticipated $90 billion. Default volume has dropped
noticeably in the third quarter, with just $10.1 billion thus far,
compared with $34.7 billion in the prior quarter. The August TTM
default rate is at 4.9%, while the energy rate is at 15.8%.
YTD energy defaults total $37.5 billion, with $32.9 billion
pertaining to E&P companies. Fitch's year-end 16%-18% energy
forecast equates to roughly $42 billion-$50 billion of volume If
crude oil prices stay in the mid-$40/barrel range, the lower end of
the range appears more likely.
In addition, Petroleos de Venezuela SA (PDVSA), the largest name on
Fitch's Bonds of Concern list, is attempting to address its
upcoming bond maturities through a voluntary exchange slated for
completion on Oct. 14.
Secondary bid levels strengthened significantly from earlier in the
year. Currently, $75 billion of issues are bid below 70, a
striking difference from the $280 billion seen in mid-February. In
addition, the high-yield distress ratio has declined for six
straight months and is at its lowest level since last June, while
'CCC' rated corporate spreads have tightened more than 800 basis
points since mid-February.
The 2017 3% forecast is slightly above the nonrecessionary 2.2%
average and translates to roughly $45 billion of defaults. This
rate would be comparable to the volume posted in 2015.
The 2017 high-yield maturity wall is relatively low, with $64
billion coming due. Furthermore, just $17 billion is rated 'CCC'
or lower, which is the rating category that accounts for the vast
majority of near-term defaults.
The amount of energy defaults, coupled with a lack of new issuance,
caused the 'CCC' outstanding universe to fall to $242 billion (16%
total market) at the end of August from $288 billion in February.
On the institutional leveraged loan front, Fitch believes the 2016
default rate will finish modestly below our 2.5% forecast and that
the 2017 rate will end at 2%. The August TTM rate is at 2.2%, but
September is poised to break a string of 22 months with at least
one default. The 2017 projection is below the 2.8% historical
average but slightly above the 2015 rate.
*********
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.
TCR subscribers have free access to our on-line news archive.
Point your Web browser to http://TCRresources.bankrupt.com/and use
the e-mail address to which your TCR is delivered to login.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman,
Editors.
Copyright 2016. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The TCR subscription rate is $975 for 6 months delivered via
e-mail. Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each. For subscription information, contact Peter A.
Chapman at 215-945-7000 or Nina Novak at 202-362-8552.
*** End of Transmission ***