/raid1/www/Hosts/bankrupt/TCR_Public/161211.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, December 11, 2016, Vol. 20, No. 345
Headlines
ATLAS SENIOR VII: S&P Assigns BB- Rating on Class E Notes
BAIN CAPITAL 2016-2: Moody's Gives Prov. Ba3 Rating on Cl. E Notes
BANK OF AMERICA 2001-3: Fitch Affirms 'Dsf' Rating on 3 Certs
BAYVIEW OPPORTUNITY 2016-SPL1: Fitch Rates Class B4 Notes BB
BAYVIEW OPPORTUNITY IVA: DBRS Rates Class B5 Notes 'BBsf'
BLUEMOUNTAIN CLO 2014-4: S&P Affirms BB- Rating on Cl. E Notes
CARNOW AUTO 2015-1: S&P Affirms BB Rating on Class D Notes
CFCRE COMMERCIAL 2016-C7: Fitch to Rate Class F Certs 'B-'
CHAI 2015-PM3: Fitch Affirms BB- Rating on Cl. C Debt
CITIGROUP COMMERCIAL: Fitch to Rate Class E Notes 'BB-sf'
COMM 2014-CCRE21: Fitch Affirms 'BB+sf' Rating on Cl. E Certs.
CORONADO CDO: Moody's Hikes Class A-1 Notes Rating to Ba2
DRYDEN 36 SENIOR: S&P Assigns Prelim. BB Rating on Cl. E-R Notes
ELM CLO 2014-1: S&P Assigns Prelim. BB- Rating on Class E-R Notes
FANNIE MAE 2016-C07: Fitch to Rate 2 Note Classes 'Bsf'
GE COMMERCIAL 2007-C1: DBRS Confirms BB Rating on 2 Tranches
GMAC COMMERCIAL 2005-C1: Fitch Affirms 'Dsf' Rating on 12 Tranches
GS MORTGAGE 2014-GC26: DBRS Confirms BB Rating on Class E Certs
GS MORTGAGE 2016-GS4: Fitch Assigns BB- Rating on Cl. E Certs
GS MORTGAGE 2016-GS4: S&P Assigns BB- Rating on 3 Tranches
HILTON USA 2016-HHV: Moody's Assigns B3 Rating on Class F Certs
HPS LOAN 10-2016: Moody's Assigns Ba3 Rating on Class D Notes
JAMESTOWN CLO I: S&P Assigns Prelim. BB- Rating on Cl. D-R Notes
JP MORGAN 2016-4: Fitch Assigns BB Rating on Cl. B-4 Certificates
JP MORGAN 2016-4: Moody's Assigns Ba3 Rating on Class B-4 Notes
JP MORGAN 2016-JP4: Fitch to Rate Class E Notes 'BB-sf'
JPMCC COMMERCIAL 2015-JP1: Fitch Affirms B- Rating on Cl. G Certs
KEYCORP STUDENT 2006-A: Fitch Affirms CCsf Rating on Cl. II-C Debt
LB-UBS COMMERCIAL 2004-C4: S&P Hikes Class J Debt Rating to BB+
LB-UBS COMMERCIAL 2006-C1: Fitch Hikes Cl. A-J Debt Rating to BB
LONE STAR 2015-LSP: Fitch Affirms B- Rating on Class F Certs
MORGAN STANLEY 2008-TOP29: Fitch Affirms 'Csf' Rating on 4 Certs
MORGAN STANLEY 2015-UBS8: Fitch Affirms B- Rating on Cl. G Certs
MORGAN STANLEY 2016-C32: DBRS Assigns BB Rating on Class F Notes
NEUBERGER BERMAN XXIII: Moody's Assigns Ba3 Rating on Cl. E Notes
NEW RESIDENTIAL 2016-4: DBRS Assigns Prov. BB Rating on B-4 Notes
OCTAGON INVESTMENT 29: S&P Gives Prelim. BB- Rating on Cl. E Notes
OHA LOAN 2012-1: S&P Assigns BB Rating on Class E-R Notes
RAIT TRUST 2016-FL6: DBRS Finalizes Bsf Rating on Class F Notes
RISERVA CLO: Moody's Assigns Prov. Ba3 Rating on Class E Notes
SAXON ASSET 2001-1: Moody's Lowers Class MF-2 Notes Rating to Ca
SLC STUDENT 2004-1: Fitch Lowers Rating on 2 Tranches to B-
SLM STUDENT 2003-5: Fitch Lowers Rating on 5 Tranches to BB
SLM STUDENT 2010-1: Fitch Cuts Ratings on 2 Tranches to Bsf
SPRINGLEAF FUNDING 2016-A: S&P Assigns Prelim. B Rating on D Notes
TOWD POINT 2016-5: Fitch Assigns 'BBsf' Rating on Class B1 Notes
UBS-CITIGROUP 2011-C1: Moody's Affirms Ba2 Rating on Class F Notes
WELLS FARGO 2011-C2: Fitch Affirms 'Bsf' Rating on Class F Certs
WELLS FARGO 2012-C6: Fitch Affirms 'Bsf' Rating on Class F Certs
WEST CLO 2012-1: S&P Affirms BB- Rating on Class D Notes
[*] DBRS Reviews 2,108 Classes From 98 U.S. RMBS Transactions
[*] S&P Completes Review of 127 Classes From 15 US RMBS Deals
[*] S&P Completes Review of 64 Classes From 8 US RMBS Deals
[*] S&P Lowers Ratings on Seven Classes From 5 RMBS Transactions
*********
ATLAS SENIOR VII: S&P Assigns BB- Rating on Class E Notes
---------------------------------------------------------
S&P Global Ratings assigned its ratings to Atlas Senior Loan Fund
VII Ltd./Atlas Senior Loan Fund VII LLC's $368.50 million fixed-
and floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed by broadly syndicated speculative-grade senior secured term
loans.
The ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term
loans (i.e., those rated 'BB+' or lower) 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.
RATINGS ASSIGNED
Atlas Senior Loan Fund VII Ltd./Atlas Senior Loan Fund VII LLC
Class Rating Amount
(mil. $)
X AAA (sf) 2.50
A AAA (sf) 248.00
B-1 AA (sf) 40.00
B-2 AA (sf) 10.00
C-1 A (sf) 24.50
C-2 A (sf) 4.50
D BBB (sf) 20.00
E BB- (sf) 19.00
Subordinated notes NR 42.50
NR--Not rated.
BAIN CAPITAL 2016-2: Moody's Gives Prov. Ba3 Rating on Cl. E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of notes to be issued by Bain Capital Credit CLO 2016-2,
Limited.
Moody's rating action is:
$310,000,000 Class A Senior Secured Floating Rate Notes due
2029, Assigned (P)Aaa (sf)
$68,000,000 Class B Senior Secured Floating Rate Notes due 2029,
Assigned (P)Aa2 (sf)
$34,500,000 Class C Senior Secured Deferrable Floating Ratez
Notes due 2029, Assigned (P)A2 (sf)
$27,500,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2029, Assigned (P)Baa3 (sf)
$20,000,000 Class E Senior Secured Deferrable Floating Rate
Notes due 2029, 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.
Bain 2016-2 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 92.5% of the portfolio must
consist of senior secured loans, cash, and eligible investments,
and up to 7.5% 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.
Bain Capital Credit CLO Advisors, LP (the "Manager"), with Bain
Capital Credit, LP acting as sub-manager (the "Sub-Manager"), will
direct the selection, acquisition and disposition of the assets on
behalf of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in October 2016.
For modeling purposes, Moody's used these base-case assumptions:
Par amount: $500,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2765
Weighted Average Spread (WAS): 3.90%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 47.50%
Weighted Average Life (WAL): 8.3 years.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
October 2016.
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 2765 to 3180)
Rating Impact in Rating Notches
Class A Notes: 0
Class B Notes: -1
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2765 to 3595)
Rating Impact in Rating Notches
Class A Notes: 0
Class B Notes: -3
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
BANK OF AMERICA 2001-3: Fitch Affirms 'Dsf' Rating on 3 Certs
-------------------------------------------------------------
Fitch Ratings has affirmed four classes of Bank of America, N.A. -
First Union National Bank Commercial Mortgage Trust's (BofA-FUNB)
commercial mortgage pass-through certificates series 2001-3.
KEY RATING DRIVERS
The affirmation of class M reflects sufficient credit enhancement,
due to a sizable subordinate class, and the stable performance of
the two remaining loans. Class M is currently the most senior
class and will continue to receive principal paydown. The
remaining classes are affirmed at 'Dsf' due to experienced losses.
As of the November 2016 distribution date, the pool's aggregate
principal balance has been reduced by 98.9% to $12.3 million from
$1.14 billion at issuance. The pool has realized $45.5 million (4%
of the original pool balance) in losses to date. Interest
shortfalls are currently affecting classes N through Q.
Pool Concentration: The pool is concentrated with only two
remaining loans.
Remaining Collateral: The largest loan in the pool (69.1% of the
pool) is secured by a 98,344-square foot (sf) retail property
located in Las Vegas, NV. The property is roughly two miles from
the Las Vegas Strip and is shadow-anchored by Smith's, grocery
store chain with 132 locations. The loan transferred to the
special servicer in August 2011 due to a balloon payment default.
However, after receiving a maturity date extension through November
2022, the loan was returned to the master servicer in August 2013
and has remained current. National tenants at the center include
Chase Bank (ground lease), Jack in the Box and Supercuts, but the
majority of the tenants are local. Occupancy has been stable for
the past several years and was reported to be 91% as of June 2016.
The debt service coverage ratio (DSCR) was reported to be 1.70x at
year-end (YE) 2015.
The second remaining loan (30.9%) is secured by a 89,589-sf retail
property located in Menasha, WI, which is approximately 35 miles
southwest of Green Bay. This loan also received a maturity date
extension after transferring to the special servicer in February
2011 for maturity default. As a result of the loan modification,
the maturity date was extended to December 2018 and the loan was
returned to the master servicer in January 2014. Gold's Gym (42%
of net rentable area) occupies the anchor space, which was formerly
leased to a grocery store. The property is shadow-anchored by
ShopKo and features other national tenants including TCF Bank,
Edward Jones and National Cash Advance. Occupancy at the property
has been historically low with the average occupancy being 63%
since 2008. As of June 2016, the occupancy and DSCR was reported
to be 61% and 1.39x, respectively.
RATING SENSITIVITIES
The Rating Outlook on class M remains Stable due to the class
seniority and continued paydown. Any losses to the remaining loans
should be absorbed by the subordinate N class. Given the pool
concentration, upgrades to class M are unlikely.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation
to this rating action.
Fitch affirms these classes:
-- $3.8 million class M at 'Bsf'; Outlook Stable;
-- $8.5 million class N at 'Dsf'; RE 50%;
-- $0 class O at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%.
The class A-1, A-2, A-2F, B, C, D, E, F, G, H, J, K and L
certificates have paid in full. Fitch does not rate the class Q
certificates or the subordinate component class V-1, V-2, V-3, V-4
and V-5 certificates. Fitch previously withdrew the rating on the
interest-only class XC certificates.
BAYVIEW OPPORTUNITY 2016-SPL1: Fitch Rates Class B4 Notes BB
------------------------------------------------------------
Fitch Ratings rates Bayview Opportunity Master Fund IVa Trust
2016-SPL1 (BOMFT 2016-SPL1) as:
-- $150,945,000 class A notes 'AAAsf'; Outlook Stable;
-- $150,945,000 class A-IOA notional notes 'AAAsf'; Outlook
Stable;
-- $150,945,000 class A-IOB notional notes 'AAAsf'; Outlook
Stable;
-- $24,435,000 class B1 notes 'AAsf'; Outlook Stable;
-- $24,435,000 class B1-IOA notional notes 'AAsf'; Outlook
Stable;
-- $24,435,000 class B1-IOB notional notes 'AAsf'; Outlook
Stable;
-- $10,352,000 class B2 notes 'Asf'; Outlook Stable;
-- $10,352,000 class B2-IO notional notes 'Asf'; Outlook
Stable;
-- $11,556,000 class B3 notes 'BBBsf'; Outlook Stable;
-- $11,556,000 class B3-IOA notional notes 'BBBsf'; Outlook
Stable;
-- $11,556,000 class B3-IOB notional notes 'BBBsf'; Outlook
Stable;
-- $5,657,000 class B4 notes 'BBsf'; Outlook Stable;
-- $5,657,000 class B4-IOA notional notes 'BBsf'; Outlook
Stable;
-- $5,657,000 class B4-IOB notional notes 'BBsf'; Outlook
Stable;
-- $4,333,000 class B5 notes 'BBsf'; Outlook Stable;
-- $4,333,000 class B5-IOA notional notes 'BBsf'; Outlook
Stable;
-- $4,333,000 class B5-IOB notional notes 'BBsf'; Outlook
Stable;
-- $8,667,000 class B6 notes 'Bsf'; Outlook Stable.
These classes will not be rated by Fitch:
-- $24,797,124.60 class B7 notes;
-- $24,797,124.60 notional class B7-IO notes.
The notes are supported by a pool of 4,842 seasoned performing and
re-performing (RPL) loans of which 97.6% are daily simple interest
mortgage loans totaling $240.74 million, which excludes $5.6
million in non-interest-bearing deferred principal amounts, as of
the cutoff date. Distributions of principal and interest and loss
allocations are based on a sequential pay, senior subordinate
structure.
The 'AAAsf' rating on the class A, A-IOA and A-IOB notes reflects
the 37.30% subordination provided by the 10.15% class B1, 4.30%
class B2, 4.80% class B3, 2.35% class B4, 1.80% class B5, 3.60%
class B6, and 10.30% class B7 notes.
Fitch's ratings on the class notes reflect the credit attributes of
the underlying collateral, the quality of the servicer (Bayview
Loan Servicing, LLC, rated 'RSS2+'), the representation (rep) and
warranty framework, minimal due diligence findings, and the
sequential pay structure.
KEY RATING DRIVERS
Clean Current Loans (Positive): The loans are seasoned
approximately 10 years with roughly 97% of the pool paying on time
for the past 24 months and 92% current for the past three years. In
addition, only 27.9% of the pool has been modified due to
performance issues, while the remaining loans were either not
modified (39.5%) or had their interest rates reduced due to an
interest rate reduction rider incorporated at origination (32.6%).
Low Property Values (Concern): The average property value of the
pool is approximately $92,000, which is much lower than the average
of other Fitch rated RPL transactions of over $150,000. Historical
data from CoreLogic Loan Performance indicate that recently
observed loss severities (LS) have been higher for very low
property values than that implied by Fitch's loan loss model. For
this reason, Fitch applied LS floors to loans with property values
below $100,000, which ranged from 49% to 100% and increased Fitch's
'AAAsf' loss expectation by 220 basis points (bps).
Daily Simple Interest Loans (Concern): Approximately 97% of the
pool consists of daily simple interest loans that accrue interest
on a daily basis from the date of the borrower's last payment.
While the monthly payment is fixed, if a borrower pays earlier than
the due date, less of the payment is applied to interest and more
is applied to principal. If the borrower pays late, more of the
payment is applied to interest and less goes to principal.
Because the bonds pay on a 30/360 day schedule, Fitch analyzed the
risk of a disproportionate number of borrowers paying earlier than
scheduled, which could cause the bonds to become
undercollateralized solely due to the mismatch in application of
payments between the loans and the bonds. Fitch analyzed pay dates
of the borrowers and found that roughly the same number of
borrowers pay either early or later than the due date. In
addition, close to 60% of the borrowers are on autopay, which
mitigates the payment date risk. Furthermore, Fitch believes the
excess interest generated by the later pay borrowers that is
available to pay down principal should offset the risk of
undercollateralization.
Portfolio Loans from a Single Originator (Positive): This
transaction consists of a portfolio of loans that Bayview Asset
Management (BAM) purchased from CitiFinancial Credit Company and
its lending subsidiaries (CitiFinancial). Given that over 95% of
the loans were originated and serviced by a single originator prior
to sale to BAM, Fitch believes that a 30% compliance and 20% due
diligence and pay history sample is sufficient to capture the
potential risk of incomplete files that could accompany portfolios
traded in the secondary market. A full custodial file was
conducted on 100% of the pool a tax review on 93% of the pool and
title search on over 96% of the pool. In addition, BAM, with the
guidance of Bayview Loan Servicing, LLC (BLS, 'RSS2+') as servicer,
reconstructed the past four years of pay histories for 100% of the
loans.
No Servicer P&I Advances (Mixed): The servicer will not be
advancing delinquent monthly payments of P&I, which reduces
liquidity to the trust. However, as P&I advances made on behalf of
loans that become delinquent and eventually liquidate reduce
liquidation proceeds to the trust, the loan-level LS are less for
this transaction than for those where the servicer is obligated to
advance P&I. Structural provisions and cash flow priorities,
together with increased subordination, provide for timely payments
of interest to the 'AAAsf' and 'AAsf' rated classes.
Sequential-Pay Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure whereby the subordinate classes
do not receive principal until the senior classes are repaid in
full. Losses are allocated in reverse-sequential order. In
addition, 40 bps from the interest remittance amount will be used
to pay down principal as well as any excess interest allocation
from loan level daily interest accrual calculation. The provision
to re-allocate principal to pay interest on the 'AAAsf' and 'AAsf'
rated notes prior to other principal distributions as well as the
application of excess interest to the notes is highly supportive of
timely interest payments to those classes, in the absence of
servicer advancing.
Potential Interest Deferrals (Mixed): To address the lack of an
external P&I advance mechanism, principal otherwise distributable
to the notes may be used to pay monthly interest. While this helps
provide stability in the cash flows to the high
investment-grade-rated bonds, the lower rated bonds may experience
long periods of interest deferral that will generally not be repaid
until such note becomes the most senior outstanding.
Under Fitch's 'Criteria for Rating Caps and Limitations in Global
Structured Finance Transactions,' dated June 16, 2016, the agency
may assign ratings of up to 'Asf' on notes that incur deferrals if
such deferrals are permitted under terms of the transaction
documents, provided such amounts are fully recovered well in
advance of the legal final maturity under the relevant rating
stress.
Tier 1 Representation Framework (Positive): Fitch considers the
transaction's representation, warranty and enforcement (RW&E)
mechanism framework to be consistent with Tier I quality. The
transaction benefits from life-of-loan R&W, as well as a backstop
by BAM in the event that the sponsor, Bayview Opportunity Master
Fund IVa, L.P., is liquidated or terminated.
Solid Alignment of Interest (Positive): The sponsor, Bayview
Opportunity Master Fund IVa, L.P., will acquire and retain a 5%
vertical interest in each class of the securities to be issued. In
addition, the sponsor will also be the rep provider until at least
January 2024. If the fund is liquidated or terminated, BAM will be
obligated to provide remedy for material breaches of
representations and warranties.
The first variation is the less than 100% TPR due diligence review
for regulatory compliance, data integrity and pay history. Title
review was conducted on over 96% of the pool, a tax review on 93%
of the pool and custodial file review on 100% of the pool. The
less than 100% TPR review is consistent with Fitch's criteria for
seasoned performing pools. However, because Fitch's criteria
states it views pools as seasoned performing if it consists of
loans that have never been modified, a criteria variation was made.
Without this variation, the pool would have had 100% compliance,
data integrity and pay history TPR review to achieve a 'AAAsf'
rating. Fitch is comfortable with the reduced due diligence sample
since over 95% of the loans were originated by a single lender and
the sample provided is sufficient to provide a reliable indication
of the operational quality of the lender.
The second variation is the use of Clear Capital's HDI valuation
product as updated property values instead of an automated
valuation model (AVM). Fitch's criteria allow for the use of an
AVM product as updated values if there are sufficient compensating
factors. Clear Capital's HDI product is not an AVM but rather an
indexation product. Clear Capital is a reputable third party
vendor that provides valuation services.
A review of the HDI product's white paper indicates values are
based on a robust data set which goes down to the neighborhood
level and incorporates REO sales. Fitch believes the HDI product
to be an adequate alternative to an AVM. The HDI product was only
used for loans that were clean current for the prior 24 months and
had a LTV
BAYVIEW OPPORTUNITY IVA: DBRS Rates Class B5 Notes 'BBsf'
---------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Asset-Backed Notes, Series 2016-SPL1 (the Notes) issued by Bayview
Opportunity Master Fund IVa Trust 2016-SPL1 (the Trust):
-- $150.9 million Class A at AAA (sf)
-- $150.9 million Class A-IOA at AAA (sf)
-- $150.9 million Class A-IOB at AAA (sf)
-- $24.4 million Class B1 at AA (sf)
-- $24.4 million Class B1-IOA at AA (sf)
-- $24.4 million Class B1-IOB at AA (sf)
-- $10.4 million Class B2 at A (sf)
-- $10.4 million Class B2-IO at A (sf)
-- $11.6 million Class B3 at BBB (sf)
-- $11.6 million Class B3-IOA at BBB (sf)
-- $11.6 million Class B3-IOB at BBB (sf)
-- $5.7 million Class B4 at BBB (low) (sf)
-- $5.7 million Class B4-IOA at BBB (low) (sf)
-- $5.7 million Class B4-IOB at BBB (low) (sf)
-- $4.3 million Class B5 at BB (sf)
-- $4.3 million Class B5-IOA at BB (sf)
-- $4.3 million Class B5-IOB at BB (sf)
-- $8.7 million Class B6 at B (sf)
Classes A-IOA, A-IOB, B1-IOA, B1-IOB, B2-IO, B3-IOA, B3-IOB,
B4-IOA, B4-IOB, B5-IOA and B5-IOB are interest-only notes. The
class balances represent notional amounts.
The AAA (sf) ratings on the Notes reflect the 37.30% of credit
enhancement provided by subordinated Notes in the pool. The AA
(sf), A (sf), BBB (sf), BBB (low) (sf), BB (sf) and B (sf) ratings
reflect 27.15%, 22.85%, 18.05%, 15.70%, 13.90% and 10.30% of credit
enhancement, respectively.
Other than the specified classes above, DBRS does not rate any
other classes in this transaction.
This transaction is a securitization of a portfolio of seasoned
performing and re-performing first-lien residential mortgages. The
Notes are backed by approximately 4,842 loans with a total
principal balance of $240,742,125 as of the Cut-Off Date (October
31, 2016).
The portfolio is comprised of 97.6% daily simple interest loans and
has an average original loan size of $68,862. The loans are
approximately 126 months seasoned and all are current as of the
Cut-Off Date, including 0.3% bankruptcy-performing loans.
Approximately 92.3% of the mortgage loans have been zero times 30
days delinquent based on the interest paid through date for the
past 36 months under the Mortgage Bankers Association delinquency
methods. Approximately 27.9% of the loans have been modified, 99.8%
of which happened more than two years ago. Within the pool, 1,936
mortgages have non-interest-bearing deferred amounts, which are not
included in the principal balances of the mortgage loans and will
instead be payable to the holders of the Class X Notes. As a result
of the seasoning of the collateral, none of the loans are subject
to the Consumer Financial Protection Bureau
Ability-to-Repay/Qualified Mortgage rules.
An affiliate of BFA IVa Depositor, LLC (the Depositor) acquired the
loans from CitiFinancial Credit Company and its lending
subsidiaries prior to the Closing Date and subsequently transferred
the loans to various transferring trusts owned by the Sponsor. On
the Closing Date, the transferring trusts will assign the loans to
the Depositor who will contribute the loans to the Trust. As the
Sponsor, Bayview Opportunity Master Fund IVa L.P. will acquire and
retain a 5% eligible vertical interest in each class of securities
to be issued to satisfy the credit risk retention requirements
under Section 15G of the Securities Exchange Act of 1934 and the
regulations promulgated thereunder. These loans were originated and
previously serviced by CitiFinancial Credit Company. As of the
Cut-Off Date, all of the loans are serviced by Bayview Loan
Servicing, LLC (BLS).
There will not be any advancing of delinquent principal or interest
on any mortgages by the servicer or any other party to the
transaction; however, the servicer is obligated to make advances in
respect of taxes and insurance, reasonable costs and expenses
incurred in the course of servicing and disposing of properties.
The transaction employs a sequential-pay cash flow structure.
Principal proceeds can be used to cover interest shortfalls on the
Class A and Class B1 Notes (and the related interest-only bonds),
but such shortfalls on more subordinate bonds will not be paid from
principal. In addition, diverted interest from the mortgage loans
will be used to pay down principal on the Notes sequentially.
The ratings reflect transactional strengths that include underlying
assets that have generally performed well through the crisis, an
experienced servicer and strong structural features. Additionally,
a third-party due diligence review was performed on the portfolio
with respect to regulatory compliance, payment history, servicing
comments, data capture and title and lien review. Home Data Index
values were provided for all but two of the mortgage loans and
broker price opinions or 2055 appraisals were provided for
approximately 61.8% of the mortgage loans.
The representations and warranties provided in this transaction
generally conform to the representations and warranties that DBRS
would expect to receive for a RMBS transaction with seasoned
collateral; however, the transaction employs a representations and
warranties framework that includes an unrated representation
provider (Bayview Opportunity Master Fund IVa L.P.) with a backstop
by an unrated entity (Bayview Asset Management, LLC) and certain
knowledge qualifiers. Mitigating factors include (1) significant
loan seasoning and relative clean performance history in recent
years, (2) a due diligence review, (3) a strong representations and
warranties enforcement mechanism, including delinquency review
trigger, and (4) for representations and warranties with knowledge
qualifiers, even if the Sponsor did not have actual knowledge of
the breach, the Remedy Provider is still required to remedy the
breach in the same manner as if no knowledge qualifier had been
made.
The enforcement mechanism for breaches of representations includes
automatic breach reviews by a third-party reviewer for any
seriously delinquent loans or any loans that incur loss upon
liquidation. Resolution of disputes are ultimately subject to
determination in an arbitration proceeding.
The lack of principal and interest advances on delinquent mortgages
may increase the possibility of periodic interest shortfalls to the
Noteholders; however, principal proceeds can be used to pay
interest to the Notes sequentially and subordination levels are
greater than expected losses, which may provide for timely payment
of interest to the rated Notes.
The DBRS ratings of AAA (sf) and AA (sf) address the timely payment
of interest and full payment of principal by the legal final
maturity date in accordance with the terms and conditions of the
related Notes. The DBRS ratings of A (sf), BBB (sf), BBB (low)
(sf), BB (sf) and B (sf) address the ultimate payment of interest
and full payment of principal by the legal final maturity date in
accordance with the terms and conditions of the related Notes.
BLUEMOUNTAIN CLO 2014-4: S&P Affirms BB- Rating on Cl. E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R,
B-1-R, B-2-R, and C-R replacement notes from BlueMountain CLO
2014-4 Ltd., a U.S. collateralized loan obligation (CLO) originally
issued in 2015 that is managed by BlueMountain Capital Management
L.P. S&P withdrew its ratings on the transaction's original class
A-1, A-2, B-1, B-2, and C notes following payment in full on the
Nov. 30, 2016, refinancing date. At the same time, S&P affirmed
its ratings on the class D, E, and F notes, which were not part of
the refinancing.
On the Nov. 30, 2016, refinancing date, the proceeds from the class
A-1-R, A-2-R, B-1-R, B-2-R, and C-R replacement note issuances were
used to redeem the original class A-1, A-2, B-1, B-2, and C notes
as outlined in the transaction document provisions. Therefore, S&P
withdrew the ratings on the transaction's original notes in line
with their full redemption, and S&P is assigning ratings to the
transaction's replacement notes.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the trustee
report, to estimate future performance. In line with S&P's
criteria, its cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, S&P's analysis considered
the transaction's ability to pay timely interest or ultimate
principal, or both, to each of the rated tranches.
The ratings reflect S&P's opinion that the credit support available
is commensurate with the associated rating levels.
S&P will continue to review whether, in its view, the ratings
assigned to the transaction remain consistent with the credit
enhancement available to support them, and S&P will take rating
actions as it deems necessary.
RATINGS ASSIGNED
BlueMountain CLO 2014-4 Ltd.
Replacement class Rating Amount (mil. $)
A-1-R AAA (sf) 301.125
A-2-R AAA (sf) 15.000
B-1-R AA (sf) 50.500
B-2-R AA (sf) 5.000
C-R A (sf) 41.125
RATINGS WITHDRAWN
BlueMountain CLO 2014-4 Ltd.
Rating
Original class To From Amount (mil. $)
A-1 NR AAA (sf) 301.125
A-2 NR AAA (sf) 15.000
B-1 NR AA (sf) 50.500
B-2 NR AA (sf) 5.000
C NR A (sf) 41.125
RATINGS AFFIRMED
BlueMountain CLO 2014-4 Ltd.
Class Rating
D BBB- (sf)
E BB- (sf)
F B (sf)
UNAFFECTED CLASS
BlueMountain CLO 2014-4 Ltd.
Class Rating
Subordinated notes NR
NR--Not rated.
CARNOW AUTO 2015-1: S&P Affirms BB Rating on Class D Notes
----------------------------------------------------------
S&P Global Ratings raised its ratings on the class B notes from
CarNow Auto Receivables Trust 2015-1 and affirmed its ratings on
the class A, C, D, and E notes.
The rating actions reflect the series' collateral performance to
date, S&P's views regarding future collateral performance, the
transaction's structure, available credit enhancement, and S&P's
analysis of existing loss coverage levels. Additionally, S&P
incorporated secondary credit factors, such as credit stability,
payment priorities under certain scenarios, S&P's economic
forecast, and sector- and issuer-specific analyses. Furthermore,
S&P's review included a cash flow analysis for series 2015-1, which
received approximately $4 million in a capital contribution from
the sponsor, Byrider Finance LLC, on Oct. 31, 2016, to pay down the
senior notes. This increased the overcollateralization (O/C),
benefitting all classes of notes and particularly the class E
notes.
Based on all of these factors, S&P considers the notes'
creditworthiness consistent with the raised and affirmed ratings.
The class A notes have significant coverage levels but are already
at the maximum potential rating S&P has in place for this issuer.
In S&P's view, series 2015-1 is performing worse than the issuer's
previous securitizations and worse than originally expected,
largely due to competitive pressures and weaker underwriting. After
14 months of performance, it has a cumulative net loss (CNL) of
21.82% at a 50.3% pool factor. As a result, S&P revised its
expected CNL to 33.00%-34.00%. S&P ran several cash flow scenarios
and S&P believes the ratings are currently adequately supported.
Table 1
Collateral Performance (%)
As of the November 2016 distribution date
Pool 60-plus day Current
Series Month factor delinquencies CNL
2015-1 14 50.3 5.31 21.82
CNL--Cumulative net loss.
Table 2
CNL Expectations (%)
Initial Revised
lifetime lifetime
Series CNL exp. CNL exp.
2015-1 26.75-27.25 33.00-34.00
CNL exp.--Cumulative net loss expectation.
Series 2015-1 has a sequential principal payment priority and is
structured with credit enhancement consisting of O/C, a reserve
account, subordination for the higher classes, and excess spread.
The transaction's reserve account amount is at its target non
amortizing amount level. The series 2015-1 O/C amount reached its
target level in approximately three months, but had steadily
declined and is currently at approximately 82% of its target after
the capital contribution.
Table 3
Hard Credit Support (%)
As of the Nov 2016 distribution date
Total hard Current total hard
credit support credit support(i)
Series Class at issuance(i) (% of current)
2015-1 A 53.24 93.62
2015-1 B 39.99 64.81
2015-1 C 27.99 39.46
2015-1 D 23.74 30.01
2015-1 E 18.74 19.08
(i)Consists of overcollateralization, a reserve account, and
subordination for the higher tranches, and excludes excess spread
that can also provide additional enhancement.
S&P incorporated a break-even cash flow analysis to assess the loss
coverage level, giving credit to excess spread. S&P's cash flow
scenarios included the approximately $4 million capital
contribution, as well as forward-looking stressed assumptions on
recoveries, timing of losses, and voluntary absolute prepayment
speeds that S&P believes are appropriate given the series 2015-1's
current performance and current ratings.
In addition, S&P also conducted an analysis to determine the impact
that a moderate ('BBB') stress scenario would have on our ratings
if losses were to begin trending higher than S&P's revised loss
expectation. S&P's results show that the raised and affirmed
ratings on series 2015-1 are consistent with its rating stability
criteria, which outline the outer bound of credit deterioration for
any given security under specific, hypothetical stress scenarios.
The combined cash flow results demonstrate that the classes from
series 2015-1 currently have adequate credit enhancement at the
respective affirmed and raised rating levels.
S&P will continue to monitor the performance of the transaction to
ensure that the credit enhancement remains sufficient, in S&P's
view, to cover its cumulative net loss expectations under stress
scenarios commensurate with each of the rated classes.
RATING RAISED
CarNow Auto Receivables Trust 2015-1
Rating
Class To From
B A (sf) A+ (sf)
RATINGS AFFIRMED
CarNow Auto Receivables Trust 2015-1
Class Rating
A AA (sf)
C BBB (sf)
D BB (sf)
E B (sf)
CFCRE COMMERCIAL 2016-C7: Fitch to Rate Class F Certs 'B-'
----------------------------------------------------------
Fitch Ratings has issued a presale report on CFCRE Commercial
Mortgage Trust 2016-C7 commercial mortgage pass-through
certificates.
Fitch expects to rate the transaction and assign Rating Outlooks
as:
-- $20,266,000 class A-1 'AAAsf'; Outlook Stable;
-- $28,337,000 class A-SB 'AAAsf'; Outlook Stable;
-- $184,000,000 class A-2 'AAAsf'; Outlook Stable;
-- $224,436,000 class A-3 'AAAsf'; Outlook Stable;
-- $457,039,000a class X-A 'AAAsf'; Outlook Stable;
-- $77,534,000a class X-B 'AA-sf'; Outlook Stable;
-- $32,645,000a class X-C 'A-sf'; Outlook Stable;
-- $42,439,000 class A-M 'AAAsf'; Outlook Stable;
-- $35,095,000 class B 'AA-sf'; Outlook Stable;
-- $32,645,000 class C 'A-sf'; Outlook Stable;
-- $35,094,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $16,323,000ab class X-E 'BB-sf'; Outlook Stable;
-- $7,346,000ab class X-F 'B-sf'; Outlook Stable;
-- $35,094,000b class D 'BBB-sf'; Outlook Stable;
-- $16,323,000b class E 'BB-sf'; Outlook Stable;
-- $7,346,000b class F 'B-sf'; Outlook Stable.
These classes are not expected to be rated:
-- $26,932,725ab class X-G;
-- $26,932,725b class G.
a) Notional amount and interest only.
b) Privately placed pursuant to Rule 144A.
The expected ratings are based on information provided by the
issuer as of Nov. 28, 2016.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 37 loans secured by 64
commercial properties having an aggregate principal balance of
$652,913,725 as of the cut-off date. The loans were contributed to
the trust by Cantor Commercial Real Estate Lending, L.P., Societe
Generale, and UBS AG, New York Branch.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 77.6% of the properties
by balance, asset summary reviews on 100.0% of the pool, and cash
flow analysis of 89.8% of the pool.
KEY RATING DRIVERS
Fitch Leverage: The transaction has slightly better leverage than
other recent Fitch-rated transactions. The Fitch loan-to-value
(LTV) for the trust of 103.0% is below the year-to-date (YTD) 2016
average of 105.5%. The Fitch debt service coverage ratio (DSCR)
for the trust of 1.19x is similar to the YTD 2016 average of 1.20x.
Excluding credit opinion loans, the pool's Fitch DSCR and LTV are
1.13x and 110.2%, respectively. Comparatively, the YTD 2016
average Fitch DSCR and LTV for Fitch-rated deals excluding
credit-opinion and co-op loans are 1.16x and 109.9%.
Above-Average Pool Concentration: The top 10 loans comprise 61.9%
of the pool, which is greater than the recent averages of 54.6% for
YTD 2016 and 49.3% for 2015. Additionally, the loan concentration
index (LCI) and sponsor concentration index (SCI) are 488 and 548,
respectively, greater than the respective YTD 2016 averages of 421
and 494.
Investment-Grade Credit-Opinion Loans: Two loans in the pool,
Hilton Hawaiian Village (8.7% of pool) and Potomac Mills (6.2% of
pool), have investment-grade credit opinions. Hilton Hawaiian
Village has an investment-grade credit opinion of 'BBB-sf*' on a
stand-alone basis. Potomac Mills has an investment-grade credit
opinion of 'BBBsf*' on a stand-alone basis. The two loans have a
weighted average Fitch DSCR and LTV of 1.56x and 62.0%,
respectively. The proportion of credit-opinion loans in this pool
of 14.9% is well above the YTD 2016 average of 7.7%.
Limited Amortization: Based on the scheduled balance at maturity,
the pool will pay down by only 7.8%, which is below the YTD 2016
average of 10.5%. Twelve loans, representing 50.5% of the pool,
are full-term interest only, and nine loans, representing 15.6% of
the pool, are partial interest only. The remainder of the pool is
made up of 16 balloon loans, representing 33.9% of the pool, with
loan terms of five to 10 years.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 17.7% below
he 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 CFCRE
2016-C7 certificates and found that the transaction displays
average sensitivity to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'Asf' could 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.
CHAI 2015-PM3: Fitch Affirms BB- Rating on Cl. C Debt
-----------------------------------------------------
Fitch Ratings has taken these rating actions on Citi Held of Asset
Issuance 2015-PM3 (CHAI 2015-PM3), which is backed by marketplace
loans originated via the Prosper platform:
-- Class A affirmed at 'A+sf'; Outlook Stable;
-- Class B affirmed at 'BBB+sf; Outlook Stable;
-- Class C affirmed at 'BB-sf'; Outlook revised to Negative
from Stable.
The affirmations above reflect growth to date in hard credit
enhancement (CE) available to the notes. The Outlook revision on
the class C notes is driven by weaker than expected trust
performance and slow CE build expected over the next year, as the
transaction has reached its target overcollateralization (OC)
release level of 16.5%. Fitch revised its lifetime gross default
expectation for the initial pool from 11% at deal closing to 13.6%.
The rating on the class C notes is likely to be affirmed again
should performance continue as expected, but is exposed to further
deterioration, and in particular back-loaded losses, due to the CNL
trigger structure.
KEY RATING DRIVERS
Collateral Quality: The 2015-PM3 trust pool consists of 100%
unsecured fixed rate consumer fully amortizing loans that are
either 36- or 60-month loans terms originated and serviced on
Prosper's marketplace online lending platform. Fitch's gross
default assumption for life of the collateral is 13.6%, which
translates to 15.9% of the current pool given delinquencies and the
chargeoff lag. Fitch assumes a base case recovery rate of 7.5%.
At the 'Asf' level, a default multiple of 2.8x and a recovery
haircut of 30% are applied.
CE and Liquidity Support: Hard CE for class A, B, and C is 70.1%,
39.5%, and 17.3%, respectively. Liquidity support is provided by a
non-declining reserve account, which is currently 0.77% of the pool
balance. While subordination available to the class A and B notes
will grow as the transaction pays down, OC is at its target release
level of 16.5%, and will not grow until it hits its floor of 2% of
the initial balance ($5.98 million).
Untested Performance Through a Full Economic Cycle: Loans
originated and serviced via online platforms such as Prosper's do
not yet have performance history through a recessionary
environment. Further, given that the underlying consumer loans are
unsecured and primarily intended for debt consolidation, Fitch
would expect borrowers to treat paying down these loans with lower
priority than other borrowings such as an auto loan or mortgage. As
such, the pool could experience especially elevated default
frequency in an economic downturn. Fitch placed a rating cap on
this transaction of 'Asf' category.
Servicing Capabilities: Prosper will service all of the loans in
the 2015-PM3 trust, and Citibank, N.A. will act as the backup
servicer. Fitch considers the servicing operations of Prosper of
consumer loans to be acceptable and Citibank, as a backup servicer,
to be effective.
RATING SENSITIVITIES
Unanticipated increases in the frequency of defaults or charge-offs
on borrower accounts could produce loss levels higher than the base
case and would likely result in declines of CE and remaining loss
coverage levels available to the notes. Decreased CE may make
certain ratings on the notes susceptible to potential negative
rating actions, depending on the extent of the decline in coverage.
Fitch conducts sensitivity analysis by stressing a transaction's
initial base case charge-off assumption by an additional 10% and
additional 25%, and examining the rating implications. The
increases of the base case charge-offs are intended to provide an
indication of the rating sensitivity of the notes to unexpected
deterioration of a transaction's performance.
During the sensitivity analysis, Fitch examines the magnitude of
the multiplier compression by projecting the expected cash flows
and loss coverage levels over the life of investments under higher
than the initial base case charge-off assumptions. Fitch models
cash flows with the revised charge-off estimates while holding
constant all other modeling assumptions.
Under the 10% stress, the senior notes would retain their current
ratings, while the ratings on the class B fall one notch and the C
notes would be downgraded to 'Bsf'. Under the 25% stress, the
class A would still retain their current ratings, while the class B
notes would fall to 'BBB-sf' and the class C notes would be
downgraded to 'B-sf'.
CITIGROUP COMMERCIAL: Fitch to Rate Class E Notes 'BB-sf'
---------------------------------------------------------
Fitch Ratings has issued a presale report for Citigroup Commercial
Mortgage Trust 2016-P6, Commercial Mortgage Pass-Through
Certificates, Series 2016-P6.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $29,657,000 class A-1 'AAAsf'; Outlook Stable;
-- $126,447,000 class A-2 'AAAsf'; Outlook Stable;
-- $16,600,000 class A-3 'AAAsf'; Outlook Stable;
-- $195,000,000 class A-4 'AAAsf'; Outlook Stable;
-- $228,776,000 class A-5 'AAAsf'; Outlook Stable;
-- $42,906,000 class A-AB 'AAAsf'; Outlook Stable;
-- $685,056,000b class X-A 'AAAsf'; Outlook Stable;
-- $44,529,000b class X-B 'AA-sf'; Outlook Stable;
-- $45,670,000 class A-S 'AAAsf'; Outlook Stable;
-- $44,529,000 class B 'AA-sf'; Outlook Stable;
-- $49,095,000 class C 'A-sf'; Outlook Stable;
-- $57,088,000a class D 'BBB-sf'; Outlook Stable;
-- $57,088,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $26,261,000a class E 'BB-sf'; Outlook Stable;
-- $11,418,000a class F 'B-sf'; Outlook Stable.
The following classes are not expected to be rated:
-- $10,275,000a class G;
-- $29,686,704a class H.
a - Privately placed pursuant to Rule 144A.
b - Notional amount and interest only.
KEY RATING DRIVERS
Fitch Leverage: The pool's leverage statistics are slightly worse
than those of other recent Fitch-rated, fixed-rate multiborrower
transactions. The pool's Fitch DSCR and Fitch LTV of 1.17x and
108.9%, respectively, are slightly worse than the YTD 2016 averages
of 1.20x and 105.5%. The Fitch stressed DSCR and LTV for the
conduit portion of the pool (net of investment-grade credit-opinion
loans) are 1.14x and 112.2%, respectively.
Diverse Pool: The 10 largest loans comprise 44.9% of the pool,
which is better than the YTD average of 54.5% for other Fitch-rated
multiborrower deals. The largest loan in the pool is 8 Times Square
& 1460 Broadway at 8.21% of the pool. The respective loan
concentration index (LCI) and sponsor concentration index (SCI)
scores of 319 and 375 are better than the YTD averages of 421 and
494 for other Fitch-rated multiborrower deals.
Below-Average Amortization: Eleven loans comprising 42.3% of the
pool are full interest-only. This is worse than the average when
compared to other Fitch-rated U.S. multiborrower deals of 23.3% for
2015 and 32.1% for YTD 2016. Additionally, there are 19 loans
comprising 28.4% of the pool which are partial interest-only, which
is better than the 2015 and YTD 2016 averages of 43.1% and 34.7%.
Overall, the pool is scheduled to pay down by 8.8% which is worse
than average when compared with the averages of 11.7% for 2015 and
10.5% YTD 2016 for other Fitch-rated U.S. deals.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 9.32% below
the most recent year's net operating income (NOI), for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period. Unanticipated further declines
in property-level NCF could result in higher defaults and loss
severities on defaulted loans and in potential rating actions on
the certificates.
Fitch evaluated the sensitivity of the ratings assigned to CGCMT
2016-P6 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. The presale report includes a detailed explanation of
additional stresses and sensitivities on page 12.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
Fitch was provided with due diligence information from KPMG LLP.
The due diligence focused on a comparison and re-computation of
certain characteristics with respect to each of the mortgage loans.
Fitch considered this information in its analysis and the findings
did not have an impact on our analysis.
COMM 2014-CCRE21: Fitch Affirms 'BB+sf' Rating on Cl. E Certs.
--------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of Deutsche Bank Securities,
Inc.'s COMM 2014-CCRE21 Mortgage Trust pass-through certificates.
KEY RATING DRIVERS
The affirmations are due to overall stable performance. The stable
performance reflects no material changes to pool metrics since
issuance, therefore the original rating analysis was considered in
affirming the transaction.
As of the November 2016 distribution date, the pool's aggregate
principal balance has been reduced by 1.1% to $815.8 million from
$824.8 million at issuance. Currently there are no delinquent,
specially serviced or defeased loans. Two loans, Boulevard (1.3%
of the pool) and Harding Avenue Surfside (0.4%), are on the
servicer watchlist due to deferred maintenance and performance
falling below issuance expectations, respectively. Fitch is
monitoring the performance of these two loans.
Stable Performance: The overall pool performance since issuance has
been stable and there has been no material change in pool expected
losses.
Limited amortization: This transaction has limited amortization due
to high interest-only loan concentration - 33.1% of the pool is
full-term interest only and 34.9% is partial interest only.
Property Type Concentration: The transaction has high hotel (22% of
the pool) and multifamily (26%) exposure.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset-level event changes the transaction's overall
portfolio-level metrics.
Fitch has affirmed these ratings:
-- $21 million class A-1 at 'AAAsf'; Outlook Stable;
-- $91.2 million class A-2 at 'AAAsf'; Outlook Stable;
-- $49.3 million class A-SB at 'AAAsf'; Outlook Stable;
-- $407 million class A-3 at 'AAAsf'; Outlook Stable;
-- $52.6 million class A-M at 'AAAsf'; Outlook Stable;
-- $46.4 million class B at 'AA-sf'; Outlook Stable;
-- $0 class PEZ at 'A-sf'; Outlook Stable;
-- $37.1 million class C at 'A-sf'; Outlook Stable;
-- $40.2 million class D at 'BBB-sf'; Outlook Stable;
-- $8.2 million class E at 'BB+sf'; Outlook Stable.
-- Interest Only class X-A at 'AAAsf'; Outlook Stable;
-- Interest Only class X-B 'A-sf'; Outlook Stable;
-- Interest Only class X-C 'BBB-sf'; Outlook Stable.
Fitch does not rate the classes F, G, H and J, or Interest-Only
classes X-D, X-E and X-F certificates.
CORONADO CDO: Moody's Hikes Class A-1 Notes Rating to Ba2
---------------------------------------------------------
Moody's Investors Service has upgraded the ratings on notes issued
by Coronado CDO, Ltd.:
-- US$377,000,000 Class A-1 Floating Rate Notes Due September
4, 2038 (current outstanding balance of $27,832,562.24),
Upgraded to Ba2 (sf); previously on March 16, 2015 Upgraded
to B1 (sf)
-- US$5,000,000 Class A-2 Fixed Rate Notes Due Due September 4,
2038 (current outstanding balance of $369,132.13), Upgraded
to Ba2 (sf); previously on March 16, 2015 Upgraded to B1
(sf)
Coronado CDO, Ltd., issued in September 2003, is a collateralized
debt obligation backed primarily by a portfolio of RMBS and CMBS,
originated in 1996 to 2006.
RATINGS RATIONALE
These rating actions are due primarily to the deleveraging of the
senior notes and an increase in the transaction's
over-collateralization ratios since March 2016. The Class A-1 and
A-2 notes have been paid down by approximately 26%, or $7.3
million, since that time. Based on the trustee's October 2016
report, the over-collateralization ratio of the Class A notes is
reported at 178.01%, versus 155.93% in March 2016. The paydown of
the Class A notes is partially the result of cash collections from
certain assets treated as defaulted by the trustee in amounts
materially exceeding expectations.
Methodology Underlying the Rating Action
The principal methodology used in these ratings was "Moody's
Approach to Rating SF CDOs," published in October 2016.
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:
-- 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. Commercial real estate property
market is subject to uncertainty about general economic
conditions including commercial real estate prices,
investment activities, and economic performances. 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.
-- Lack of portfolio granularity: The performance of the
portfolio depends to a large extent on the credit conditions
of a few large obligors, especially if they jump to default.
Because of the deal's lack of granularity, Moody's
supplemented its analysis with individual scenario analysis.
-- Exposure to credit estimates: The deal contains one
significantly large security whose default probability
Moody's has assessed through a credit estimate. Moody's
normally updates such estimates at least once annually, but
if such updates do not occur, the transaction could be
negatively affected by any default probability adjustments
Moody's assumes in lieu of an updated credit estimate.
Loss and Cash Flow Analysis:
Moody's applies a Monte Carlo simulation framework in Moody's
CDOROM(TM) 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(TM) 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 (1487):
-- Class A-1: +2
-- Class A-2: +2
-- Class B-1: 0
-- Class B-2: 0
-- Class C-1: 0
-- Class C-2: 0
Ba1 and below ratings notched down by two notches (3045):
-- Class A-1: -2
-- Class A-2: -3
-- Class B-1: 0
-- Class B-2: 0
-- Class C-1: 0
-- Class C-2: 0
DRYDEN 36 SENIOR: S&P Assigns Prelim. BB Rating on Cl. E-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-R, and E-R replacement notes and new class X notes
from Dryden 36 Senior Loan Fund/Dryden 36 Senior Loan Fund LLC, a
collateralized loan obligation (CLO) originally issued in 2014 that
is managed by PGIM Inc. The replacement notes will be issued via a
proposed supplemental indenture.
The preliminary ratings reflect S&P's opinion that the credit
support available is commensurate with the associated rating
levels.
On the Dec. 21, 2016, refinancing date, the proceeds from the
issuance of the replacement notes are expected to redeem the
original notes. At that time, S&P anticipates withdrawing the
ratings on the original notes and assigning ratings to the
replacement notes. However, if the refinancing doesn't occur, S&P
may affirm the ratings on the original notes and withdraw its
preliminary ratings on the replacement notes.
The replacement class A-R, B-R, and C-R notes are expected to be
issued at a lower spread than the original notes. The replacement
class D-R and E-R notes are expected to be issued at a higher
spread than the original notes. All replacement classes are
expected to be issued at a floating spread over three-month LIBOR.
The replacement notes are being issued via a proposed supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, will make these changes:
-- The stated maturity will be extended to October 2028 from
November 2025.
-- The reinvestment period will be extended October 2021 from
November 2018.
-- The non-call period will be extended January 2019 from
November 2016.
-- The weighted average life test will be reset back to eight
years from the Dec. 21, 2016, refinancing date. It was
originally eight years from the closing date, Dec. 9, 2014.
The transaction will adopt the non-model version of the CDO
Monitor application.
-- In addition, the transaction will adopt the recovery rate
methodology and S&P Global Ratings' industry classifications
as outlined in its August 2016 corporate collateralized debt
obligation criteria update.
-- The transaction will issue amortizing class X notes, which
will be paid their principal and interest senior to the
class A-R notes and are expected to be paid off within the
first two years of the transaction.
REPLACEMENT AND ORIGINAL NOTE ISSUANCES
Replacement Notes
Class Amount Interest
(mil. $) rate (%)
X 2.75 LIBOR + 1.25
A-R 372.00 LIBOR + 1.42
B-R 73.20 LIBOR + 1.90
C-R 51.60 LIBOR + 2.75
D-R 31.20 LIBOR + 4.50
E-R 24.60 LIBOR + 8.35
Original Notes
Class Amount Interest
(mil. $) rate (%)
A 375.00 LIBOR + 1.47
B 70.20 LIBOR + 2.35
C 51.60 LIBOR + 3.05
D 31.20 LIBOR + 3.75
E 24.60 LIBOR + 5.20
Subordinate notes 56.70
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as provided 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.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and S&P will take further rating actions
as it deems necessary.
PRELIMINARY RATINGS ASSIGNED
Dryden 36 Senior Loan Fund/Dryden 36 Senior Loan Fund LLC
Replacement class Rating Amount (mil. $)
X AAA (sf) 2.75
A-R AAA (sf) 372.00
B-R AA (sf) 73.20
C-R A (sf) 51.60
D-R BBB (sf) 31.20
E-R BB (sf) 24.60
Subordinated notes NR 56.70
NR--Not rated.
ELM CLO 2014-1: S&P Assigns Prelim. BB- Rating on Class E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Elm CLO
2014-1 Ltd./Elm CLO 2014-1 LLC's $456.25 million floating-rate
notes.
The note issuance is a collateralized loan obligation transaction
backed primarily by speculative-grade senior secured term loans.
This is a refinancing of its December 2014 transaction that now
contains a reinvestment period. In addition, the stated maturity,
non-call period, and weighted average life test date will all be
extended.
The preliminary ratings are based on information as of Nov. 29,
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.
In addition to the criteria specific to this type of security the
following criteria articles, which are generally applicable to all
ratings, may have affected this rating action: "Post-Default
Ratings Methodology: When Does Standard & Poor's Raise A Rating
From 'D' Or 'SD'?," March 23, 2015; "Global Framework For Assessing
Operational Risk In Structured Finance Transactions," Oct. 9, 2014;
"Methodology: Timeliness of Payments: Grace Periods, Guarantees,
And Use of 'D' And 'SD' Ratings," Oct. 24, 2013; "Counterparty Risk
Framework Methodology And Assumptions," June 25, 2013; "Criteria
For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," Oct. 1,
2012; "Methodology: Credit Stability Criteria," May 3, 2010; and
"Use of CreditWatch And Outlooks," Sept. 14, 2009.
PRELIMINARY RATINGS ASSIGNED
Elm CLO 2014-1 Ltd./Elm CLO 2014-1 LLC
Class Rating Amount (mil. $)
A-R AAA (sf) 319.00
B-R AA (sf) 55.25
C-R (deferrable) A (sf) 35.25
D-R (deferrable) BBB (sf) 28.25
E-R (deferrable) BB- (sf) 18.50
Subordinated notes NR 45.25
NR--Not rated.
FANNIE MAE 2016-C07: Fitch to Rate 2 Note Classes 'Bsf'
-------------------------------------------------------
Fitch Ratings expects to assign these ratings and Rating Outlooks
to Fannie Mae's risk transfer transaction, Connecticut Avenue
Securities, series 2016-C07:
-- $192,504,000 class 2M-1 notes 'BBB-sf'; Outlook Stable;
-- $139,031,000 class 2M-2A notes 'BB+sf'; Outlook Stable;
-- $310,146,000 class 2M-2B notes 'Bsf'; Outlook Stable;
-- $449,177,000 class 2M-2 exchangeable notes 'Bsf'; Outlook
Stable;
-- $139,031,000 class 2M-2I exchangeable notional notes
'BB+sf'; Outlook Stable;
-- $139,031,000 class 2M-2R exchangeable notes 'BB+sf'; Outlook
Stable;
-- $139,031,000 class 2M-2S exchangeable notes 'BB+sf'; Outlook
Stable;
-- $139,031,000 class 2M-2T exchangeable notes 'BB+sf'; Outlook
Stable;
-- $139,031,000 class 2M-2U exchangeable notes 'BB+sf'; Outlook
Stable.
These classes will not be rated by Fitch:
-- $21,614,589,756 class 2A-H reference tranche;
-- $10,132,779 class 2M-1H reference tranche;
-- $7,317,785 class 2M-AH reference tranche;
-- $16,324,366 class 2M-BH reference tranche;
-- $60,000,000 class 2B notes;
-- $165,151,976 class 2B-H reference tranche.
The 'BBB-sf' rating for the 2M-1 note reflects the 3.10%
subordination provided by the 0.65% class 2M-2A note, the 1.45%
class 2M-2B note and the 1.00% class 2B note, and their
corresponding reference tranches. The notes are general senior
unsecured obligations of Fannie Mae (rated 'AAA'/Outlook Stable)
subject to the credit and principal payment risk of a pool of
certain residential mortgage loans held in various Fannie
Mae-guaranteed MBS.
The reference pool of mortgages will consist of mortgage loans with
loan-to-value ratios (LTVs) greater than 80.01% and less than or
equal to 97.00%.
Connecticut Avenue Securities, series 2016-C07 (CAS 2016-C07) is
Fannie Mae's 16th risk transfer transaction issued as part of the
Federal Housing Finance Agency's Conservatorship Strategic Plan for
2013 - 2017 for each of the government sponsored enterprises (GSEs)
to demonstrate the viability of multiple types of risk transfer
transactions involving single family mortgages.
The objective of the transaction is to transfer credit risk from
Fannie Mae to private investors with respect to a $22.5 billion
pool of mortgage loans currently held in previously issued MBS
guaranteed by Fannie Mae where principal repayment of the notes are
subject to the performance of a reference pool of mortgage loans.
As loans liquidate, are modified or other credit events occur, the
outstanding principal balance of the debt notes will be reduced by
the loan's actual loss severity percentage related to those credit
events.
While the transaction structure simulates the behavior and credit
risk of traditional RMBS mezzanine and subordinate securities,
Fannie Mae will be responsible for making monthly payments of
interest and principal to investors. Because of the counterparty
dependence on Fannie Mae, Fitch's expected rating on the 2M-1,
2M-2A and 2M-2B notes will be based on the lower of: the quality of
the mortgage loan reference pool and credit enhancement (CE)
available through subordination; and Fannie Mae's Issuer Default
Rating. The notes will be issued as uncapped LIBOR-based floaters
and will carry a 12.5-year legal final maturity.
KEY RATING DRIVERS
High Quality Mortgage Pool (Positive): The reference mortgage loan
pool consists of high quality mortgage loans that were acquired by
Fannie Mae from January 2016 through April 2016. In this
transaction, Fannie Mae has only included one group of loans with
LTVs from 80.01%-97.00%. Overall, the reference pool's collateral
characteristics are similar to recent CAS transactions and reflect
the strong credit profile of post-crisis mortgage originations.
Actual Loss Severities (Neutral): This will be Fannie Mae's eighth
actual loss risk transfer transaction in which losses borne by the
noteholders will not be based on a fixed loss severity (LS)
schedule. The notes in this transaction will experience losses
realized at the time of liquidation or modification, which will
include both lost principal and delinquent or reduced interest.
Mortgage Insurance Guaranteed by Fannie Mae (Positive): The
majority of the loans in the pool are covered either by
borrower-paid mortgage insurance (BPMI) or lender-paid MI (LPMI).
Fannie Mae will be guaranteeing the mortgage insurance (MI)
coverage amount, which will typically be the MI coverage percentage
multiplied by the sum of the unpaid principal balance as of the
date of the default, up to 36 months of delinquent interest, taxes,
and maintenance expenses. While the Fannie Mae guarantee allows
for credit to be given to MI, Fitch applied a haircut to the amount
of BPMI available due to the automatic termination provision as
required by the Homeowners Protection Act when the loan balance is
first scheduled to reach 78%.
12.5-Year Hard Maturity (Positive): The 2M-1, 2M-2A, 2M-2B, and 2B
notes benefit from a 12.5-year legal final maturity. As a result,
any collateral losses on the reference pool that occur beyond year
12.5 are borne by Fannie Mae and do not affect the transaction.
Fitch accounted for the 12.5-year window in its default analysis
and applied a reduction to its lifetime default expectations.
Limited Size/Scope of Third-Party Diligence (Neutral): This is the
fourth transaction in which Fitch received third-party due
diligence on a loan production basis as opposed to a
transaction-specific review. Fitch believes that regular, periodic
third-party reviews (TPRs) conducted on a loan production basis are
sufficient for validating Fannie Mae's quality control (QC)
processes. The sample selection was limited to a population of
7,391 loans that were previously reviewed as part of Fannie Mae's
post-purchase QC review and met the reference pool's eligibility
criteria. Of those loans, 1,998 were selected for a full review
(credit, property valuation, and compliance) by third-party due
diligence providers. Of the 1,998 loans, 347 were part of this
transaction's reference pool. Fitch views the results of the due
diligence review as consistent with its opinion of Fannie Mae as an
above-average aggregator; as a result, no adjustments were made to
Fitch's loss expectations based on due diligence.
Advantageous Payment Priority (Positive): The 2M-1 class strongly
benefits from the sequential pay structure and stable CE provided
by the more junior 2M-2A, 2M-2B, and 2B classes which are locked
out from receiving any principal until classes with a more senior
payment priority are paid in full. However, available CE for the
junior classes as a percentage of the outstanding reference pool
increases in tandem with the paydown of the 2M-1 class. Given the
size of the 2M-1 class relative to the combined total of all the
junior classes, together with the sequential pay structure, the
class 2M-1 will de-lever and CE as a percentage of the outstanding
balance for the remaining junior classes will build faster than in
a pro rata payment structure.
Solid Alignment of Interests (Positive): While the transaction is
designed to transfer credit risk to private investors, Fitch
believes that it benefits from a solid alignment of interests.
Fannie Mae will be retaining credit risk in the transaction by
holding the 2A-H senior reference tranches, which have an initial
loss protection of 4.00%, as well as at least 50% of the first loss
2B-H reference tranche, sized at 73 basis points (bps). Fannie Mae
is also retaining an approximately 5% vertical slice/interest in
the 2M-1, 2M-2A, and 2M-2B tranches.
Receivership Risk Considered (Neutral): Under the Federal Housing
Finance Regulatory Reform Act, the Federal Housing Finance Agency
(FHFA) must place Fannie Mae into receivership if it determines
that Fannie Mae's assets are less than its obligations for more
than 60 days following the deadline of its SEC filing, as well as
for other reasons. As receiver, FHFA could repudiate any contract
entered into by Fannie Mae if it is determined that the termination
of such contract would promote an orderly administration of Fannie
Mae's affairs. Fitch believes that the U.S. government will
continue to support Fannie Mae; this is reflected in our current
rating of Fannie Mae. However, if, at some point, Fitch views the
support as being reduced and receivership likely, the ratings of
Fannie Mae could be downgraded and the 2M-1, 2M-2A, and 2M-2B
notes' ratings affected.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the metropolitan statistical area (MSA) and
national levels. The implied rating sensitivities are only an
indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to or be
considered in the surveillance of the transaction.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20%, and 30%, in addition to the
model-projected 23.4% at the 'BBBsf' level and 18.6% at the 'BBsf'
level. The analysis indicates that there is some potential rating
migration with higher MVDs, compared with the model projection.
Fitch also conducted defined rating sensitivities which determine
the stresses to MVDs that would reduce a rating by one full
category, to non-investment grade, and to 'CCCsf'. For example,
additional MVDs of 11%, 11% and 35% would potentially reduce the
'BBBsf' rated class down one rating category, to non-investment
grade, and to 'CCCsf', respectively.
GE COMMERCIAL 2007-C1: DBRS Confirms BB Rating on 2 Tranches
------------------------------------------------------------
DBRS, Inc. confirmed the ratings on GE Commercial Mortgage
Corporation’s Commercial Mortgage Pass-Through Certificates,
Series 2007-C1 as follows:
-- Class A-M at BB (sf)
-- Class A-MFX at BB (sf)
The trends are Stable.
The rating confirmations reflect the performance of the
transaction. The ratings were originally issued at the request of
an investor and are based exclusively on the credit provided by the
transaction structure and underlying trust assets.
The transaction currently consists of 97 loans totaling $1.8
billion. As of the November 2016 remittance, the pool has
experienced total collateral reduction of 55.8% as a result of loan
repayments, scheduled amortization and recovered proceeds and
realized losses associated with loan liquidations. The transaction
also benefits from defeasance collateral, as nine loans,
representing 6.5% of the current pool balance, are fully defeased.
The transaction reports a weighted-average debt service coverage
ratio (DSCR) of 1.4 times (x) and a weighted-average debt yield of
7.9%, based on YE2015 reporting.
In the next 12 months, 91 loans representing 65.9% of the current
pool balance are scheduled to mature. Excluding defeasance
collateral and delinquent specially serviced loans, these loans
reported a weighted-average exit debt yield of 9.2%, according to
YE2015 financial reporting. While many loans are expected to
successfully refinance out of the trust as scheduled, there are
likely to also be some maturity defaults, as individual exit debt
yields ranged from 4.6% to 25.6%.
There are currently 49 loans on the servicer’s watchlist and 11
loans in special servicing, representing 41.8% and 19.8% of the
current pool balance, respectively. Among the specially serviced
loans are four loans, representing 2.1% of the current pool
balance, that have been deemed non-recoverable by the master
servicer. Since issuance, 52 loans have been liquidated from the
trust at a combined realized loss of $363.7 million.
The most pivotal loan in the transaction continues to be the
Skyline Portfolio loan (Prospectus ID#4; 11.7% of the current pool
balance), which is secured by a portfolio of Class A and Class B
office properties in Falls Church, Virginia, totaling over 2.6
million square feet (sf). The $678.0 million whole loan initially
transferred to special servicing in April 2012 due to payment
default after occupancy decreased as a result of the Department of
Defense and its subcontractor tenants vacating the property. The
loan was ultimately modified in November 2013, with trust
modification terms including an A-note of $105.0 million, a B-note
of $98.4 million and a five-year maturity extension to February
2022.
In April 2016, the modified A-note was transferred to the special
servicer, as the loan’s sponsor, Vornado Realty, decided to no
longer keep the loan current. According to YE2015 reporting, the
DSCR (based on the modified A-note debt service) declined to 0.71x
compared with the YE2014 figure of 1.11x. The decline in
performance is directly related to the weak submarket, as according
to CoStar, the submarket vacancy for similar properties is 39.5%,
with asking rental rates of $30.19 psf gross. The subject portfolio
has a current occupancy rate of 50.5%, which has remained
relatively unchanged over the past year. Asking rental rates range
from $28.00 psf gross to $32.00 psf gross.
The portfolio was last valued at $311.6 million in June 2013 when
the asset originally transferred to special servicing. As the loan
is now over 90 days delinquent, a new appraisal is expected to be
conducted in the near future. As cash flows and the relative
strength of the submarket have continued to decline, it is expected
that the appraised value of the subject will decline as well. The
special servicer is currently negotiating a deed in lieu of
foreclosure with the sponsor; however, no time table is available
at this time. DBRS expects the trust to experience a significant
loss with the resolution of this loan.
For more information on this transaction and supporting data,
please log into DBRS CMBS IReports, www.ireports.dbrs.com. DBRS
continues to monitor this transaction monthly with periodic updates
provided in the DBRS CMBS IReports platform.
Notes:
All figures are in U.S. dollars unless otherwise noted.
RATINGS
Issuer Debt Rated Rating Action Rating
------ ---------- ------------- ------
GE Commercial Commercial Mortgage Confirmed BB
Mortgage Pass-Through
Corporation, Certificates,
Series 2007-C1 Series 2007-C1,
Class A-M
GE Commercial Commercial Mortgage Confirmed BB
Mortgage Pass-Through
Corporation, Certificates,
Series 2007-C1 Series 2007-C1,
Class A-MFX
GMAC COMMERCIAL 2005-C1: Fitch Affirms 'Dsf' Rating on 12 Tranches
------------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of GMAC Commercial Mortgage
Securities, Inc. commercial mortgage pass-through certificates
series 2005-C1.
KEY RATING DRIVERS
The affirmations of the transaction's distressed ratings reflect
the pool's significant concentration with only 10 loans remaining;
three of which (26.4% of the pool) are specially serviced and the
largest loan was previously modified and split into an A/B hope
note (57.7% combined). Additionally, the fourth largest loan
(9.5%) is also flagged as a Fitch Loan of Concern due to its
tertiary market location and significant tenant rollover during the
loan term.
As of the November 2016 distribution date, the pool's aggregate
principal balance has been reduced by 93.7% to $100.1 million from
$1.6 billion at issuance. No loans are defeased, and interest
shortfalls are currently affecting classes A-J and below.
High Expected Losses: The pool continues to have high expected
losses relative the remaining collateral balance. Losses on class
A-J remain possible.
Specially Serviced Assets: The specially serviced loans did not pay
off at their respective 2015 scheduled maturity dates. Charter Oak
Mall (15.2%) is an REO a 225,439 sf retail center located in East
Hartford, CT. The loan transferred to specially servicing in
November 2013 due to imminent default and became REO in September
2015. The remaining two specially serviced assets are also REO
retail properties (11.3%).
Performing Loans of Concern: The largest loan in the pool (38%) is
secured by a 321,041 sf office property located in Las Vegas, NV.
The top three tenants leases (35.1% of NRA) expire prior to or
during the same year as the loan's maturity date in June 2020. The
loan had previously been in special servicing due to imminent
default caused by a significant decrease in occupancy. In 2011,
the loan was modified into a $38 million A note and $19.8 million B
note. The other loan of concern (9.5%) is secured by 162,621 sf
retail center located in Jonesboro, AR. Approximately 15.6% and
49% of NRA is scheduled to expire during the remainder of 2016 and
2017 respectively.
Maturity Concentration: The remaining loans, excluding those that
are specially serviced, mature in 2017 (9.5%), 2020 (57.7%) and
2025 (6.4%).
RATING SENSITIVITIES
The distressed classes are subject to further downgrades should
additional losses be realized or expected losses on the specially
serviced loans increase. No upgrades are anticipated due to the
concentration of specially serviced loans.
Fitch has affirmed these classes:
-- $70.1 million class A-J at 'CCCsf'; RE 80%.
-- $30 million class B at 'Dsf'; RE 0%;
-- $0 class C at 'Dsf'; RE 0%;
-- $0 class D at 'Dsf'; RE 0%.
-- $0 class E at 'Dsf'; RE 0%;
-- $0 class F at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%.
Fitch does not rate the class P certificates. Fitch previously
withdrew the ratings on class O and the interest-only class X-1 and
X-2 certificates.
GS MORTGAGE 2014-GC26: DBRS Confirms BB Rating on Class E Certs
---------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2014-GC26,
issued by GS Mortgage Securities Trust 2014-GC26 as follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class X-C at AAA (sf)
-- Class X-D at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (sf)
-- Class PEZ at A (sf)
-- Class C at A (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class F at B (sf)
All trends are Stable. DBRS does not rate the first or second loss
piece, Class G or Class H. The Class PEZ certificates are
exchangeable with Class A-S, Class B and Class C certificates (and
vice versa).
The rating confirmations reflect the overall stable performance of
the transaction, which has remained in line with DBRS's
expectations since issuance in December 2014. The collateral
consists of 92 loans secured by 133 properties, and as of the
November 2016 remittance, there has been a collateral reduction of
1.0% since issuance due to scheduled amortization. All of the
original loans remain in the pool. Loans representing 94.3% of the
current pool balance are reporting YE2015 figures with a
weighted-average (WA) debt service coverage ratio (DSCR) and a WA
debt yield of 1.6 times (x) and 9.3%, respectively. The DBRS
underwritten (UW) WA DSCR and WA debt yield at issuance were 1.4x
and 8.3%, respectively.
As of the November 2016 remittance report, there are no loans in
special servicing but there are 14 loans are on the servicer's
watchlist, representing 7.4% of the current pool balance. Three of
those loans, representing 2.8% of the pool, are on the watchlist
for deferred maintenance; however, none of the issues noted appear
to suggest a material impact on the overall condition of the
property or operations in general. Five loans, representing 1.8% of
the pool, are on the servicer's watchlist for upcoming tenant
rollover. According to the servicer, some of these rolling tenants
have renewed their leases, but for others, the status is yet to be
determined. Three other loans are on the watchlist, representing
1.9% of the pool, for reporting a drop in DSCR as of the annualized
Q2 2016 net cash flow (NCF) figures. There is one loan on the
watchlist for delinquency, Prospectus ID#86, Dollar General Texas
and Oklahoma Portfolio (0.24% of the pool), which showed payments
at 30 days to 59 days late as of the November 2016 remittance. As
the loan is reporting a YE2015 and a Q2 2016 DSCR of 1.59x and
1.61x, respectively, the payment issues are not likely cash flow
related. DBRS has requested information from the servicer on the
source of the delinquency and will monitor closely for
developments.
The largest loan in the pool is Prospectus ID#1, Queen Ka'ahumanu
Center, representing 7.1% of the pool. This loan is secured by the
fee interest in a 570,904 square foot (sf) mixed-use regional mall
located in Kahului, Hawaii. This is the island of Maui's only
regional mall. The collateral is comprised of a regional mall
(90.2% of NRA), an outparcel grocery store (4.6% of NRA) and a
two-story office structure (2.6% of NRA). The subject was
constructed in 1972, with the most recent renovations completed in
1994 and 2005. The sponsor, the Seligman Group, acquired the
property from General Growth Partners in 2003 and Jones Lang
LaSalle Retail provides third-party management services. As of the
June 2016 rent roll, the collateral was 91.9% occupied with an
average rental rate of $17.09 per sf (psf), remaining in line with
the September 2015 occupancy rate of 92.5% and the average rental
rate of $16.86 psf. At issuance, the property was 93.3% occupied
with an average rental rate of $16.36 psf. The mall is anchored by
Maui's only department stores in Macy's and Sears, in addition to a
Foodland Super Market, and the six-screen Consolidated Theatres
Ka'ahumanu 6 (Ka'ahumanu Theatres). Anchor sales for non-theater
tenants have fallen since issuance. According to the trailing 12
months (T-12) May 2016 tenant sales report (TSR), Macy's Home
Store, Macy's, Sears and Foodland Supermarket reported sales of
$137.89 psf, $222.92 psf, $204.44 psf and $853.50 psf,
respectively, figures that represent decreases of 16.9%, 3.6%,
15.9% and 4.9%, respectively, from the T-12 May 2015 TSR.
Ka'ahumanu Theatres reported sales of $625,065.50 per screen, an
increase of 25.6% from the T-12 May 2015 TSR. Although sales have
declined for non-theater anchor tenants, those leases run through
at least 2023 and it was noted at issuance that Sears and Macy's
both had very low occupancy costs (0.7% and 3.1%, respectively).
According to the YE2015 operating statement analysis report (OSAR),
the DSCR was 1.19x, as compared to the DBRS UW DSCR of 1.05x. The
DBRS UW NCF figure represented a 14.9% haircut to the Issuer's
figure, driven largely by higher capital expenditures and tenant
improvement/leasing commission costs underwritten.
Prospectus ID#3, 5599 San Felipe, represents 6.4% of the current
pool balance and is secured by the borrower's fee interest in a
436,253 sf office property located in Houston, Texas. The subject
consists of a 19-story building that was constructed in 1979,
renovated in 1993 and again from 2010 through 2014. As of the June
2016 rent roll, the collateral was 96.2% occupied with an average
rental rate of $21.61 psf, a small decrease from the September 2015
occupancy rate of 99.1% and the average rental rate of $22.00 psf.
These figures compare similarly to issuance levels. The largest
tenant at the property is Schlumberger Technology Corp
(Schlumberger), which represents 69.7% of the NRA on a lease
through 2027 at, an average rental rate of $24.84 psf. Founded in
1926, Schlumberger is the world's largest oilfield services
company, employing over 100,000 people in over 85 countries and has
been a tenant at the property since 1994, with the subject serving
as its international headquarters. According to the YE2015 OSAR,
the DSCR was 1.02x, a decrease from the DBRS UW DSCR of 1.56x. This
decline was the result of a 90.5% decrease in expense
reimbursements from the DBRS UW figure. At issuance, it was noted
the largest tenant, Schlumberger, would begin paying expense
reimbursements in August 2016, estimated at $4.0 million annually.
GS MORTGAGE 2016-GS4: Fitch Assigns BB- Rating on Cl. E Certs
-------------------------------------------------------------
Fitch Ratings has assigned these ratings and Rating Outlooks for GS
Mortgage Securities Trust (GSMS) 2016-GS4 Commercial Mortgage
Pass-Through Certificates, Series 2016-GS4:
-- $31,820,000 class A-1 'AAAsf'; Outlook Stable;
-- $201,522,000 class A-2 'AAAsf'; Outlook Stable;
-- $175,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $267,043,000 class A-4 'AAAsf'; Outlook Stable;
-- $43,192,000 class A-AB 'AAAsf'; Outlook Stable;
-- $810,965,000b class X-A 'AAAsf'; Outlook Stable;
-- $48,761,000b class X-B 'AA-sf'; Outlook Stable;
-- $92,388,000c class A-S 'AAAsf'; Outlook Stable;
-- $48,761,000c class B 'AA-sf'; Outlook Stable;
-- $184,777,000c class PEZ 'A-sf'; Outlook Stable;
-- $43,628,000c class C 'A-sf'; Outlook Stable;
-- $53,893,000a class D 'BBB-sf'; Outlook Stable;
-- $53,893,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $21,814,000a class E 'BB-sf'; Outlook Stable;
-- $10,266,000a class F 'B-sf'; Outlook Stable;
-- $37,212,204a 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.
These expected ratings are based on information provided by the
issuer as of Nov. 23, 2016. Fitch does not rate the $37,212,204
class G.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 33 loans secured by 95
commercial properties having an aggregate principal balance of
approximately $1.03 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 80.3% of the properties
by balance and cash flow analysis of 93.5% of the pool.
The transaction has a Fitch stressed debt service coverage ratio
(DSCR) of 1.34x, a Fitch stressed loan-to-value (LTV) of 94.6%, and
a Fitch debt yield of 10.6%. Fitch's aggregate net cash flow
represents a variance of 13.2% to issuer cash flows.
KEY RATING DRIVERS
Lower Fitch Leverage: The Fitch stressed debt service coverage
ratio (DSCR) on the trust-specific debt is 1.34x, higher than the
2015 and YTD 2016 averages of 1.18x and 1.20x, respectively. The
Fitch stressed loan-to-value (LTV) ratio on the trust-specific debt
is 94.6%, lower than the 2015 and YTD 2016 averages of 109.3% and
105.7%, respectively, for the other Fitch-rated deals.
Highly Concentrated Pool: The largest 10 loans in the transaction
comprise 65.8% 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 54.6%, respectively. The pool's
concentration results in a loan concentration index (LCI) of 541,
which is higher than the 2015 average of 367 and 2016 YTD average
of 419.
Credit Opinion Loans: The three largest loans in the pool, AMA
Plaza (9.7% of the pool), 225 Bush Street (9.7% of the pool) and
540 West Madison (7.3% of the pool), have investment grade credit
opinions. AMA Plaza has an investment-grade credit opinion of
'BBBsf*' on a stand-alone basis. 225 Bush Street has an
investment-grade credit opinion of 'BBB+sf*' on a stand-alone
basis. 540 West Madison has an investment-grade credit opinion of
'BBB-sf*' on a stand-alone basis. The three loans have a weighted
average Fitch DSCR and Fitch LTV of 1.53x and 58.6%, respectively.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 11% 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-GS4 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 'AA-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to
'A-sf' could result.
GS MORTGAGE 2016-GS4: S&P Assigns BB- Rating on 3 Tranches
----------------------------------------------------------
S&P Global Ratings assigned its ratings to GS Mortgage Securities
Trust 2016-GS4's $214.6 million commercial mortgage loan specific
pass-through certificates.
The issuance is a commercial mortgage-backed securities transaction
secured by 33 loans totaling $1,026.5 million. S&P is only
assigning ratings to the loan-specific certificates referencing the
AMA Plaza and 225 Bush Street loans, so S&P did not analyze the
other 31 loans.
The AMA Plaza whole loan has an aggregate outstanding principal
balance of $304.0 million and is secured by the borrower's fee
simple interest in the office portion of AMA Plaza, an office
property located in Chicago, and the leasehold interest in an
adjacent parking garage.
The 225 Bush Street whole loan has an aggregate outstanding
principal balance of $235.0 million and is secured by the
borrower's fee simple interest in 225 Bush Street, an office
property located in San Francisco.
The ratings reflect S&P's view of the AMA Plaza and 225 Bush Street
loan collateral's historical and projected performance, the
sponsors' and managers' experience, the trustee-provided liquidity,
the loans' terms, and the transaction's structure.
RATINGS ASSIGNED
GS Mortgage Securities Trust 2016-GS4
Class Rating(i) Amount ($)
AMA-A AA- (sf) 16,118,000
X-AMA BB- (sf) 101,600,000(ii)
AMA-B A- (sf) 21,917,000
AMA-C BBB- (sf) 27,032,000
AMA-D BB- (sf) 36,533,000
225-A AA- (sf) 12,964,000
X-225 B- (sf) 113,000,000(ii)
225-B A- (sf) 18,405,000
225-C BBB- (sf) 22,576,000
225-D BB- (sf) 30,673,000
225-E B- (sf) 28,382,000
(i)The issuer will issue the certificates to qualified
institutional buyers in-line with Rule 144A of the Securities Act
of 1933.
(ii)Notional balance. The notional amount of the class X-225
certificates will be equal to the certificate balance of the class
225-A, 225-B, 225-C, 225-D, and 225-E certificates. The notional
amount of the class X-AMA certificates will be equal to the
certificate balance of the class AMA-A, AMA-B, AMA-C, and AMA-D
certificates.
HILTON USA 2016-HHV: Moody's Assigns B3 Rating on Class F Certs
---------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to seven
classes of CMBS securities, issued by Hilton USA Trust 2016-HHV,
Commercial Mortgage Pass-Through Certificates, Series 2016-HHV:
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. X-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)
* Reflects interest-only classes
RATINGS RATIONALE
The Certificates are collateralized by a single loan backed by a
first lien commercial mortgage secured by one property, the Hilton
Hawaiian Village Waikiki Beach Resort. The ratings are based on
the collateral and the structure of the transaction.
Moody's previously issued a provisional rating to interest-only
Class X-B, however, subsequent to transaction pricing, the
structure of the transaction does not produce material cash flow to
the X-B certificate. As such, Moody's has not assigned a
definitive rating to the X-B certificate.
The Hilton Hawaiian Village is one of Hawaii's premier urban resort
destinations, situated on twenty-two beachfront acres overlooking
Waikiki Beach. The Resort features 2,860 guest rooms spread across
five ocean towers offering views of Waikiki Beach, Diamond Head and
Downtown Honolulu. The Property offers a host of resort-style
amenities and services, including 20 food and beverage outlets,
over 150,000 SF of flexible indoor and outdoor function space,
three conference centers, five swimming pools, a saltwater lagoon,
spa grottos, the Mandara Spa and Fitness Center, two chapels and
over 100 retail tenants. The Property also features approximately
130,489 SF of leased retail and restaurant space, which is occupied
by over 100 tenants.
Waikiki is a densely developed retail and restaurant market, and
virtually no vacant land is available within the Waikiki district.
All the prime beachfront locations are currently improved with
large hotels. The Property provides excellent access to all major
demand generators in the market.
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,
we also consider 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 $1,275,000,000 represents a Moody's
LTV of 109.0%. The Moody's First Mortgage Actual DSCR is 2.17X and
Moody's First Mortgage Actual Stressed DSCR is 0.98X.
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%,
14.3%, and 22.8%, the model-indicated rating for the currently
rated Aaa (sf) classes would be Aaa (sf), Aaa (sf), and Aa2 (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.
HPS LOAN 10-2016: Moody's Assigns Ba3 Rating on Class D Notes
-------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of notes to be issued by HPS Loan Management 10-2016, Ltd.
Moody's rating action is:
$248,000,000 Class A-1 Senior Secured Floating Rate Notes due
2028, Assigned (P)Aaa (sf)
$50,500,000 Class A-2 Senior Secured Floating Rate Notes due
2028, Assigned (P)Aa2 (sf)
$25,500,000 Class B Mezzanine Secured Floating Rate Notes due
2028, Assigned (P)A2 (sf)
$28,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2028, Assigned (P)Baa3 (sf)
$16,000,000 Class D Junior Secured Deferrable Floating Rate
Notes due 2028, Assigned (P)Ba3 (sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the
Class C Notes and the Class D 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.
HPS 10-2016 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 96% of the portfolio must
consist of senior secured loans, cash, and eligible investments,
and up to 4% of the portfolio may consist of second lien loans and
unsecured loans. Moody's expects the portfolio to be approximately
70% ramped as of the closing date.
HPS Investment Partners, LLC will direct the selection, acquisition
and disposition of the assets on behalf of the Issuer and may
engage in trading activity, including discretionary trading, during
the transaction's 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 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 October 2016.
For modeling purposes, Moody's used these base-case assumptions:
Par amount: $400,000,000
Diversity Score: 50
Weighted Average Rating Factor (WARF): 2750
Weighted Average Spread (WAS): 3.80%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 47.0%
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
October 2016.
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 2750 to 3163)
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 2750 to 3575)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -3
Class B Notes: -3
Class C Notes: -2
Class D Notes: -1
JAMESTOWN CLO I: S&P Assigns Prelim. BB- Rating on Cl. D-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1R, A-2R, B-R, C-R, and D-R replacement floating-rate notes from
Jamestown CLO I Ltd., a collateralized loan obligation (CLO) that
was originally issued in November 2012, and managed by 3iDebt
Management U.S. LLC. The replacement notes will be issued via a
proposed supplemental indenture. In addition, class X notes will
be issued on the Dec. 15, 2016 refinancing date, and will be
unrated by S&P Global Ratings.
The preliminary ratings reflect S&P's opinion that the credit
support available is commensurate with the associated rating
levels.
On the Dec. 15, 2016, refinancing date, proceeds from the issuance
of the replacement notes are expected to redeem the original notes.
At that time, S&P anticipates that it will withdraw the ratings on
the original notes and assign ratings to the replacement notes.
However, if the refinancing doesn't occur, S&P may affirm the
ratings on the original notes and withdraw its preliminary ratings
on the replacement notes.
In addition, on the Dec. 15, 2016, refinancing date, due to the
issuance of the class X notes and additional subordinated notes, $5
million of issuance proceeds will be infused into the principal
collection account and could be available to purchase additional
collateral obligations.
The replacement notes are being issued via a proposed supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, will also:
-- Extend the reinvestment period of the transaction to
November 2020 from November 2016.
-- Extend the weighted average life test to May 2025 from May
2021. Extend the legal final maturity date of the notes to
November 2028 from November 2024.
-- Issue an amortizing class X note, which will be paid its
principal and interest pari passu with the class A-1R notes
and is expected to be paid off using interest proceeds in
the first year of the transaction. Amend the base
management fee and subordinate management fee to 0.15% and
0.10%, from 0.20% and 0.30%, respectively. Adopt the non-
model version of the CDO Monitor application.
-- Adopt the recovery rate methodology and S&P industry
classifications as outlined in our August 2016 corporate CDO
criteria update.
REPLACEMENT AND ORIGINAL NOTE ISSUANCES
Replacement Notes
Class Amount Interest
(mil. $) rate (%)
A-1R 293.00 LIBOR + 1.55%
A-2R 40.50 LIBOR + 2.05%
B-R 36.00 LIBOR + 3.25%
C-R 18.00 LIBOR + 4.50%
D-R 24.75 LIBOR + 8.40%
X 2.00 LIBOR + 1.00%
Subordinated notes 54.57
Original Notes
Class Amount Interest
(mil. $) rate (%)
A-1 293.00 LIBOR + 1.43%
A-2 40.50 LIBOR + 2.35%
B 36.00 LIBOR + 2.90%
C 18.00 LIBOR + 4.00%
D 24.75 LIBOR + 5.50%
Subordinated notes 48.95
The rating actions follow S&P's review of the transaction's
performance using data from the Oct. 26, 2016, trustee report.
The transaction has seen improved reported overcollateralization
(O/C) ratios since the April 2016 trustee report, which S&P used
for its previous May 2016 rating affirmations:
-- The class A O/C ratio improved to 132.44% from 132.08%.
-- The class B O/C ratio improved to 119.54% from 119.21%.
-- The class C O/C ratio improved to 113.99% from 113.67%.
-- The class D O/C ratio improved to 107.14% from 106.85%.
The collateral portfolio's credit quality has remained relatively
stable since S&P's last rating actions. Collateral obligations
with ratings in the 'CCC' category have decreased, with
$21.13 million reported as of the October 2016 trustee report,
compared with $23.56 million reported as of the April 2016 trustee
report. Over the same period, the par amount of defaulted
collateral has increased to $13.01 million from $12.75 million.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with S&P's criteria, its cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest or
ultimate principal, or both, to each of the rated tranches.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and S&P will take further rating actions
as it deems necessary.
PRELIMINARY RATINGS ASSIGNED
Jamestown CLO I Ltd.
Replacement class Rating Amount (mil. $)
A-1R AAA (sf) 293.00
A-2R AA (sf) 40.50
B-R A (sf) 36.00
C-R BBB (sf) 18.00
D-R BB- (sf) 24.75
X NR 2.00
Subordinated notes NR 54.57
NR—Not rated
OTHER OUTSTANDING RATINGS
Jamestown CLO I Ltd.
Class Rating
A-1 AAA (sf)
A-2 AA (sf)
B A (sf)
C BBB (sf)
D BB (sf)
JP MORGAN 2016-4: Fitch Assigns BB Rating on Cl. B-4 Certificates
-----------------------------------------------------------------
Fitch Ratings has assigned ratings to J.P. Morgan Mortgage Trust
2016-4 (JPMMT 2016-4) as:
-- $300,112,000 class A-1 exchangeable certificates 'AA+sf';
Outlook Stable;
-- $300,112,000 class A-2 exchangeable certificates 'AA+sf';
Outlook Stable;
-- $273,561,000 class A-3 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $273,561,000 class A-4 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $205,171,000 class A-5 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $205,171,000 class A-6 certificates 'AAAsf'; Outlook Stable;
-- $68,390,000 class A-7 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $68,390,000 class A-8 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $55,110,000 class A-9 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $55,110,000 class A-10 certificates 'AAAsf'; Outlook Stable;
-- $13,280,000 class A-11 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $13,280,000 class A-12 certificates 'AAAsf'; Outlook Stable;
-- $26,551,000 class A-13 exchangeable certificates 'AA+sf';
Outlook Stable;
-- $26,551,000 class A-14 certificates 'AA+sf'; Outlook Stable;
-- $300,112,000 class A-X-1 notional certificates 'AA+sf';
Outlook Stable;
-- $300,112,000 class A-X-2 notional exchangeable certificates
'AAAsf'; Outlook Stable;
-- $273,561,000 class A-X-3 notional exchangeable certificates
'AAAsf'; Outlook Stable;
-- $205,171,000 class A-X-4 notional certificates 'AAAsf';
Outlook Stable;
-- $68,390,000 class A-X-5 notional exchangeable certificates
'AAAsf'; Outlook Stable;
-- $55,110,000 class A-X-6 notional certificates 'AAAsf';
Outlook Stable;
-- $13,280,000 class A-X-7 notional certificates 'AAAsf';
Outlook Stable;
-- $26,551,000 class A-X-8 notional certificates 'AA+sf';
Outlook Stable;
-- $4,506,000 class B-1 certificates 'AAsf'; Outlook Stable;
-- $6,758,000 class B-2 certificates 'Asf'; Outlook Stable;
-- $4,667,000 class B-3 certificates 'BBBsf'; Outlook Stable;
-- $2,414,000 class B-4 certificates 'BBsf'; Outlook Stable.
Fitch will not be rating these certificates:
-- $3,379,570 class B-5 certificates;
-- $16,092,470 class RR exchangeable certificates.
KEY RATING DRIVERS
High-Quality Mortgage Pool (Positive): The collateral pool consists
of high-quality 30-year, fully amortizing loans to borrowers with
strong credit profiles, low leverage, and adequate liquid reserves.
The pool has a weighted average (WA) FICO score of 752 and an
original combined loan-to-value (CLTV) ratio of 72.2%. The
collateral attributes of the subject pool are largely consistent
with recent JPMMT transactions issued in 2015 and 2016.
Geographically Diverse Pool (Positive): The pool's primary
concentration risk is in California, where approximately 36.8% of
the collateral is located. Approximately 46.5% of the pool is
located in the top five regions in the subject pool (Los Angeles,
New York, San Francisco, Miami, and Seattle). However, these
concentrations show significant improvement over many of the JPMMT
deals rated by Fitch in 2015, in which over 50% of the pool was
concentrated in California and over 80% in the top five regions. As
a result, no geographic concentration penalty was applied.
Straightforward Deal Structure (Positive): The mortgage cash flow
and loss allocation are based on a senior-subordinate,
shifting-interest structure, whereby the subordinate classes
receive only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps maintain subordination for a longer period should
losses occur later in the life of the deal. The applicable credit
support percentage feature redirects subordinate principal to
classes of higher seniority if specified credit enhancement (CE)
levels are not maintained.
To mitigate tail risk, which arises as the pool seasons and fewer
loans are outstanding, a subordination floor of 2.00% of the
original balance will be maintained for the certificates.
Additionally, there is no early stepdown test that might allow
principal prepayments to subordinate bondholders earlier than the
five-year lockout schedule.
Leakage from Reviewer Expenses (Negative): The trust is obligated
to reimburse the breach reviewer, Pentalpha Surveillance LLC
(Pentalpha), each month for any reasonable out-of-pocket expenses
incurred if the company is requested to participate in any
arbitration, legal or regulatory actions, proceedings or hearings.
These expenses include Pentalpha's legal fees and other expenses
incurred outside its annual fee schedule and are not subject to a
cap or certificate holder approval.
Furthermore, certificate holders are obligated to pay Pentalpha a
termination fee of $140,000 from year two to five, $80,000 from
year five to eight and $25,000 after year eight, to terminate the
contract. While Fitch accounted for the potential additional costs
by upwardly adjusting its loss estimation for the pool, Fitch views
this construct as adding potentially more ratings volatility than
those that do not have this type of provision.
Extraordinary Expense Adjustment (Negative): Extraordinary
expenses, which include loan file review costs, arbitration
expenses for enforcement of the reps and additional fees of
Pentalpha, will be taken out of available funds and not accounted
for in the contractual interest owed to the bondholders. This
construct can result in principal and interest shortfalls to the
bonds, starting from the bottom of the capital structure. To
account for the risk of these noncredit events reducing
subordination, Fitch adjusted its loss expectations upward by 50
bps at the 'AAAsf' level.
Tier 3 Representation and Warranty Framework (Negative): Fitch
believes the value of the rep and warranty framework is diluted by
the presence of qualifying and conditional language in conjunction
with sunset provisions, which reduces lender breach liability.
While Fitch believes the high credit-quality pool and clean
diligence results mitigate these risks, it considered the weaker
framework in its analysis.
RATING SENSITIVITIES
Fitch's analysis incorporates a sensitivity analysis to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at the MSA level. The implied rating sensitivities
are only an indication of some of the potential outcomes and do not
consider other risk factors that the transaction may become exposed
to or may be considered in the surveillance of the transaction.
Three sets of sensitivity analyses were conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper market value declines at the
national level. The analysis assumes market value declines of 10%,
20% and 30%, in addition to the model-projected 4.8%. As shown in
the table to the right, the analysis indicates that there is some
potential rating migration with higher MVDs, compared with the
model projection.
Fitch also conducted sensitivities to determine the stresses to
MVDs that would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'.
JP MORGAN 2016-4: Moody's Assigns Ba3 Rating on Class B-4 Notes
---------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 26
classes of residential mortgage-backed securities (RMBS) issued by
J.P. Morgan Mortgage Trust 2016-4 (JPMMT 2016-4). The ratings range
from Aaa (sf) - Ba3 (sf).
The certificates are backed by one pool of prime quality, fixed
rate, first-lien mortgage loans, originated by various originators.
Seasoning of the pool is around 14 months. Wells Fargo Bank, N.A.
is the master servicer and U.S. Bank Trust National Association
will serve as the trustee.
The complete rating actions are as follows:
Issuer: J.P. Morgan Mortgage Trust 2016-4
-- Cl. A-1, Definitive Rating Assigned Aaa (sf)
-- Cl. A-2, Definitive Rating Assigned Aaa (sf)
-- Cl. A-3, Definitive Rating Assigned Aaa (sf)
-- Cl. A-4, Definitive Rating Assigned Aaa (sf)
-- Cl. A-5, Definitive Rating Assigned Aaa (sf)
-- Cl. A-6, Definitive Rating Assigned Aaa (sf)
-- Cl. A-7, Definitive Rating Assigned Aaa (sf)
-- Cl. A-8, Definitive Rating Assigned Aaa (sf)
-- Cl. A-9, Definitive Rating Assigned Aaa (sf)
-- Cl. A-10, Definitive Rating Assigned Aaa (sf)
-- Cl. A-11, Definitive Rating Assigned Aaa (sf)
-- Cl. A-12, Definitive Rating Assigned Aaa (sf)
-- Cl. A-13, Definitive Rating Assigned Aa1 (sf)
-- Cl. A-14, Definitive Rating Assigned Aa1 (sf)
-- Cl. A-X-1, Definitive Rating Assigned Aaa (sf)
-- Cl. A-X-2, Definitive Rating Assigned Aaa (sf)
-- Cl. A-X-3, Definitive Rating Assigned Aaa (sf)
-- Cl. A-X-4, Definitive Rating Assigned Aaa (sf)
-- Cl. A-X-5, Definitive Rating Assigned Aaa (sf)
-- Cl. A-X-6, Definitive Rating Assigned Aaa (sf)
-- Cl. A-X-7, Definitive Rating Assigned Aaa (sf)
-- Cl. A-X-8, Definitive Rating Assigned Aa1 (sf)
-- Cl. B-1, Definitive Rating Assigned Aa3 (sf)
-- Cl. B-2, Definitive Rating Assigned A2 (sf)
-- Cl. B-3, Definitive Rating Assigned Baa2 (sf)
-- Cl. B-4, Definitive Rating Assigned Ba3 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected cumulative net loss on the aggregate pool is 0.50%
in a base scenario and reaches 5.95% at a stress level consistent
with the Aaa ratings.
The collateral quality for this transaction, by itself, is
consistent with other prime transactions that Moody's recently
rated. The Aaa Moody's Individual Loan Analysis (MILAN) credit
enhancement (CE), inclusive of concentration adjustments, for this
pool is 5.40%. Moody's increased MILAN model's CE by 0.55% for
qualitative factors and adjustments not factored in the model.
Loan-level adjustments included: adjustments to borrower
probability of default for higher and lower borrower DTIs, channel
of originations, self-employed borrowers, and at a pool level, for
the default risk of HOA properties in super lien states. The
adjustment to our Aaa stress loss above the model output also
includes adjustments related to servicers and originators
assessments, and representations and warranties framework. Moody's
based the MILAN model on stressed trajectories of home prices,
unemployment rates and interest rates, at a monthly frequency over
a 10-year period.
Collateral Description
The JPMMT 2016-4 transaction is a securitization of 437 first lien
residential mortgage loans with an unpaid principal balance of
$321,836,570. This transactions has a comparatively high seasoning
(14 months), high percentage of loan concentration (top 20 largest
loans constitute 11% of total collateral) and diversified
geographical concentration. None of the loans is with prepayment
penalty. There are 41 originators in the transaction. The largest
originators in the pool by balance are Quicken Loans, Inc. (28.07%)
and Caliber Home Loans, Inc. (14.42%). No other single originator
was responsible for 10% or more of the aggregate pool balance.
Shellpoint Mortgage Servicing will service all of the mortgage
loans.
Third-party Review and Reps & Warranties
Three third party due diligence firms verified the accuracy of the
loan-level information that the sponsor gave us. These firms
conducted detailed credit, collateral, and regulatory reviews on
100% of the mortgage pool. The TPR results indicated compliance
with the originators' underwriting guidelines for the vast majority
of loans, no material compliance issues (except for a few
TRID-related issues), and no appraisal defects. The loans that had
exceptions to the originators' underwriting guidelines had good
compensating factors and senior credit signoff. The originators and
the sellers have provided unambiguous representations and
warranties (R&Ws) including an unqualified fraud R&W. There is
provision for binding arbitration in the event of dispute between
investors and the R&W provider concerning R&W breaches.
Although the TPR report identified compliance-related exceptions
relating to the TILA-RESPA Integrated Disclosure (TRID) rule, we
did not believe the majority to be material because either the
sponsor or originator corrected the errors or the errors are of a
type that would not likely lead to damages for the RMBS trust.
Trustee and Master Servicer
The transaction trustee is U.S. Bank National Association. The
custodian functions will be performed by Wells Fargo Bank, N.A. The
paying agent and cash management functions will be performed by
Wells Fargo Bank, N.A., rather than the trustee. In addition, Wells
Fargo, as Master Servicer, is responsible for servicer oversight,
and termination of servicers and for the appointment of successor
servicers. In addition, Wells Fargo is committed to act as
successor if no other successor servicer can be found.
Tail Risk & Subordination Floor
The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to increased performance
volatility, known as tail risk. The transaction provides for a
credit enhancement floor of 2.0% of the closing pool balance, which
mitigates tail risk by protecting the senior bonds from eroding
credit enhancement over time.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
Methodology
The principal methodology used in these ratings was "Moody's
Approach to Rating US Prime RMBS," published on February 2015.
JP MORGAN 2016-JP4: Fitch to Rate Class E Notes 'BB-sf'
-------------------------------------------------------
Fitch Ratings has issued a presale report on J.P. Morgan Chase
Commercial Mortgage Securities Trust 2016-JP4 commercial mortgage
pass-through certificates.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $35,667,000 class A-1 'AAAsf'; Outlook Stable;
-- $129,067,000 class A-2 'AAAsf'; Outlook Stable;
-- $215,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $266,136,000 class A-4 'AAAsf'; Outlook Stable;
-- $52,478,000 class A-SB 'AAAsf'; Outlook Stable;
-- $758,206,000a class X-A 'AAAsf'; Outlook Stable;
-- $61,106,000a class X-B 'AA-sf'; Outlook Stable;
-- $59,858,000 class A-S 'AAAsf'; Outlook Stable;
-- $61,106,000 class B 'AA-sf'; Outlook Stable;
-- $49,882,000 class C 'A-sf'; Outlook Stable;
-- $105,999,000ab class X-C 'BBB-sf'; Outlook Stable;
-- $56,117,000b class D 'BBB-sf'; Outlook Stable;
-- $22,447,000b class E 'BB-sf'; Outlook Stable.
The following classes are not expected to be rated:
-- $17,459,000a class F;
-- $32,423,640a class NR.
a) Notional amount and interest only.
b) Privately placed pursuant to Rule 144A.
The expected ratings are based on information provided by the
issuer as of Nov. 29, 2016.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 40 loans secured by 72
commercial properties having an aggregate principal balance of
$997,640,641 as of the cut-off date. The loans were contributed to
the trust by JP Morgan Chase Bank, National Association, Starwood
Mortgage Funding VI LLC, Benefit Street Partners CRE Finance LLC,
and Ladder Capital Finance LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 79.5% of the properties
by balance, asset summary reviews on 100.0% of the pool, and cash
flow analysis of 92.7% 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 debt service coverage ratio (DSCR)
and Fitch loan to value (LTV) of 1.28x and 99.4%, respectively, are
better than the year-to-date (YTD) 2016 average Fitch DSCR and
Fitch LTV of 1.20x and 105.6%, respectively.
Investment-Grade Credit Opinion Loan: Three loans, representing
21.8% of the pool have investment-grade credit opinions. Hilton
Hawaiian Village (9.4%), the largest loan in the pool, has an
investment-grade credit opinion of 'BBB-sf'* on a stand-alone
basis. 9 West 57th (6.3%) has an investment-grade credit opinion of
'AAAsf'* on a stand-alone basis. Moffett Gateway (6.0%) has an
investment-grade credit opinion of 'BBB-sf'* on a stand-alone
basis.
Highly Concentrated by Loan Size and Property Type: The largest 10
loans account for 56.3% of the pool, which is above the YTD 2016
and 2015 averages of 54.6% and 49.3%, respectively. Combined
retail, office and hotel properties consist of 89.0% of the
transaction, which is above the YTD 2016 combined total of 74.7%.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 10.0% 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-JP4 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 'A-sf' could
occur.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Ernst & Young LLP. The third-party due diligence
described in Form 15E focused on a comparison and re-computation of
certain characteristics with respect to each of the mortgage loans.
Fitch considered this information in its analysis and it did not
have an impact on Fitch's analysis or conclusions.
JPMCC COMMERCIAL 2015-JP1: Fitch Affirms B- Rating on Cl. G Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 18 classes of JPMCC Commercial Mortgage
Securities Trust, commercial mortgage pass-through certificates,
series 2015-JP1.
KEY RATING DRIVERS
The affirmations are the result of overall stable pool performance,
which reflects no material changes to pool metrics since issuance;
therefore, the original rating analysis was considered in affirming
the transaction.
As of the November 2016 distribution date, the pool's aggregate
principal balance has been reduced by 0.4% to $795.9 million from
$799.2 million at issuance. There have been no specially serviced
loans since issuance. No loans are defeased.
Stable Performance with No Material Changes: All loans in the pool
are current as of the November 2016 distribution with property
level performance in line with issuance expectations and no
material changes to pool metrics.
High Fitch Leverage: The pool demonstrates high leverage statistics
with a Fitch debt service coverage ratio and loan-to-value of 1.09x
and 114.1%, respectively, at issuance.
Loan of Concern: Fitch has designated one loan (2.3% of pool) as a
Fitch Loan of Concern. One of the underlying properties in the
Franklin Ridge Crossed Loans portfolio, 9920 Building, experienced
a drop in occupancy when one tenant, which had occupied 36% of the
property square footage and accounted for nearly 12% of the total
crossed portfolio square footage, vacated upon its October 2016
lease expiration. The borrower is working to re-lease the space.
Pool Concentration: The largest loan in the pool, 32 Avenue of the
Americas, represents 12.6% of the current pool balance and the
largest 10 loans represent 55.8%. It was also noted at issuance
that the loan concentration index and sponsor concentration index
were higher than 2014 and 2015 averages for this transaction.
Below-Average Amortization: The pool is scheduled to amortize by
8.8% of the initial pool balance prior to maturity. Six loans
(30.9% of pool) are interest-only for the full term.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset-level event changes the transaction's overall
portfolio-level metrics.
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 classes:
-- $23.2 million class A-1 at 'AAAsf'; Outlook Stable;
-- $138 million class A-2 at 'AAAsf'; Outlook Stable;
-- $34.9 million class A-3 at 'AAAsf'; Outlook Stable;
-- $120 million class A-4 at 'AAAsf'; Outlook Stable;
-- $197 million class A-5 at 'AAAsf'; Outlook Stable;
-- $43 million class A-SB at 'AAAsf'; Outlook Stable;
-- $31 million class A-S at 'AAAsf'; Outlook Stable;
-- $587.1 million(b) class X-A at 'AAAsf'; Outlook Stable;
-- $41 million class B at 'AA-sf'; Outlook Stable;
-- $41 million(b) class X-B at 'AA-sf'; Outlook Stable;
-- $46 million class C at 'A-sf'; Outlook Stable;
-- $46 million(b) class X-C at 'A-sf'; Outlook Stable;
-- $28 million class D at 'BBBsf'; Outlook Stable;
-- $28 million(b) class X-D at 'BBBsf'; Outlook Stable;
-- $22 million(a) class E at 'BBB-sf'; Outlook Stable;
-- $22 million(a)(b) class X-E at 'BBB-sf'; Outlook Stable;
-- $18 million(a) class F at 'BBsf'; Outlook Stable;
-- $10 million(a) class G at 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
Fitch does not rate the class NR certificates.
KEYCORP STUDENT 2006-A: Fitch Affirms CCsf Rating on Cl. II-C Debt
------------------------------------------------------------------
Fitch Ratings has upgraded the rating of the senior and subordinate
notes in the KeyCorp Student Loan Trust 2006-A (Group II). Fitch
also affirmed the junior subordinate notes. The Rating Outlook for
the senior and subordinate notes remains Stable. The Recovery
Estimate for the junior subordinate note was increased to 35% from
15%.
KEY RATING DRIVERS
Correction: The revised ratings are due to an input error from a
recent annual surveillance review of the trust. During the annual
review, the projected default rate was overestimated due to a
miscalculation of the weighted average life caused by an input
error. With the correction and recent updated improved trust
performance, the ratings on the senior and subordinate notes are
upgraded to be commensurate with their respective loss coverage
multiples.
Collateral Quality: The trust is collateralized by approximately
$235 million of private student loans originated by KeyBank under
the Key Alternative Loan program, Campus Door program, Private
Graduate program, Private Consolidation program and TERI program.
The projected remaining defaults are expected be approximately 11%
of the current pool balance. A recovery rate of 15% was applied
based on historical and performance data.
Credit Enhancement (CE): CE is provided by overcollateralization,
excess spread and subordination for the class A and B notes.
Additionally, the trust can receive excess funds from its
bifurcated KSLT 2006-A Group I Federal loan pool. As of the August
2016 servicer report, the parity ratios have increased since the
last year from 183.7% to 236.3% for the class A notes, from 113.6%
to 119.2% for the class B notes and from 96.40% to 96.74% for the
class C notes (May 2015 - August 2016), respectively. The trust
cannot release any excess cash until the class C parity reaches
104.5%.
Liquidity Support: Liquidity support for the trust is provided by a
debt service reserve fund which is currently at $8.3 million,
representing approximately 3.5% of the outstanding pool balance.
Servicing Capabilities: Day-to-day servicing is provided by
KeyBank, N.A. Fitch believes the servicing operations are
acceptable servicer of private student loans.
CRITERIA VARIATIONS
Eligible Investment: Under the 'Counterparty Criteria for
Structured Finance and Covered Bonds', dated Sept. 1, 2016, Fitch
looks to its own ratings in analyzing counterparty risk and
assessing a counterparty's creditworthiness. The definition of the
permitted investments for this deal allows for the possibility of
using investments that do not meet Fitch's criteria, this
represents a criteria variation. Since the only available funds to
invest are those held in the Collection Account, and the funds can
only be invested for a short duration of three months given the
payment frequency of the notes, Fitch does not believe such
variation has a measurable impact upon the ratings assigned.
RATING SENSITIVITIES
As Fitch's base case default proxy is derived primarily from
historical collateral performance, actual performance may differ
from the expected performance, resulting in higher loss levels than
the base case. This will result in a decline in CE and remaining
loss coverage levels available to the bonds and may make certain
bond ratings susceptible to potential negative rating actions,
depending on the extent of the decline in coverage. Fitch will
continue to monitor the performance of the trust.
Fitch takes these rating actions:
KeyCorp Student Loan Trust 2006-A (Group II)
-- Senior class II-A-4 upgraded to 'AAAsf' from 'AAsf'; Outlook
Stable;
-- Subordinate class II-B upgraded to 'BBBsf' from 'B+sf';
Outlook Stable;
-- Junior subordinate class II-C affirmed at 'CCsf'; increase
RE to 35% from 15%.
LB-UBS COMMERCIAL 2004-C4: S&P Hikes Class J Debt Rating to BB+
---------------------------------------------------------------
S&P Global Ratings raised its ratings on two classes of commercial
mortgage pass-through certificates from LB-UBS Commercial Mortgage
Trust 2004-C4, a U.S. commercial mortgage-backed securities (CMBS)
transaction.
S&P's rating actions follow its analysis of the transaction,
primarily using its criteria for rating U.S. and Canadian CMBS
transactions, which included a review of the credit characteristics
and performance of the remaining assets in the pool, the
transaction's structure, and the liquidity available to the trust.
S&P raised its ratings on classes H and J to reflect its
expectation of the available credit enhancement for these classes,
which S&P believes is greater than its most recent estimate of
necessary credit enhancement for the respective rating levels. The
upgrades also follow S&P's views regarding the collateral's current
and future performance and available liquidity support, as well as
the significant paydown of the trust balance.
While available credit enhancement levels may suggest further
positive rating movements on classes H and J, S&P's analysis also
considered the certificates' interest shortfall history, as well as
their susceptibility to reduced liquidity support from the
specially serviced asset and S&P's concerns about two performing
loans, Heritage Plaza Shopping Center and SaveRite - Douglasville
(aggregate balance of $3.7 million, 13.9%). Heritage Plaza is
secured by a retail property in Grapevine, Texas that suffers from
low occupancy (about 38% as of third-quarter 2016). SaveRite –
Douglasville is secured by a retail property in Douglasville, Ga.
that is leased to Food Lion but is currently dark.
TRANSACTION SUMMARY
As of the Nov. 18, 2016, trustee remittance report, the collateral
pool balance was $26.4 million, which is 1.9% of the pool balance
at issuance. The pool currently includes seven loans and one real
estate owned (REO) asset, down from 99 loans at issuance. One of
these assets ($8.7 million, 33.0%) is with the special servicer and
three ($10.1 million, 38.1%) are on the master servicer's
watchlist. The master servicer, Wells Fargo Bank N.A., reported
financial information for all of the loans in the pool, of which
75.8% was year-end 2015 data and the remainder was year-end 2014
data.
S&P calculated a 1.04x S&P Global Ratings weighted average debt
service coverage (DSC) and 51.3% S&P Global Ratings weighted
average loan-to-value (LTV) ratio using an 8.14% S&P Global Ratings
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the only specially
serviced asset, which is discussed below.
To date, the transaction has experienced $39.4 million in principal
losses, or 2.8% of the original pool trust balance. S&P expects
losses to reach approximately 3.4% of the original pool trust
balance in the near term, based on losses incurred to date and
additional losses S&P expects upon the eventual resolution of the
specially serviced asset.
CREDIT CONSIDERATIONS
As of the Nov. 18, 2016 trustee remittance report, the 2200 Byberry
Road REO asset ($8.7 million, 33.0%) was the only asset with the
special servicer, LNR Partners LLC. The asset is the largest in
the pool and has a $10.3 million reported total exposure. The
asset is a 105,191-sq.-ft. office property in Hatboro, Pa. The loan
was transferred to the special servicer on May 20, 2014, due to
maturity default and became REO on Feb. 22, 2016. An $8.6 million
appraisal reduction amount is in effect against this asset. As of
June 30, 2016, the reported occupancy was 30.8% and the reported
DSC was 0.48x. S&P expects a significant loss, which S&P considers
to be 60% or greater, upon this loan's eventual resolution.
RATINGS LIST
LB-UBS Commercial Mortgage Trust 2004-C4
Commercial mortgage pass-through certificates series 2004-C4
Rating Rating
Class Identifier To From
H 52108HF66 AA+(sf) BB(sf)
J 52108HF82 BB+(sf) CCC+(sf)
LB-UBS COMMERCIAL 2006-C1: Fitch Hikes Cl. A-J Debt Rating to BB
----------------------------------------------------------------
Fitch Ratings has upgraded one class and affirmed 19 classes of
LB-UBS Commercial Mortgage Trust (LBUBS) commercial mortgage
pass-through certificates series 2006-C1.
KEY RATING DRIVERS
The upgrade and affirmations follow positive developments in the
modification of the largest loan in the pool. The pool has
experienced 87.4% collateral reduction since issuance, with 12
loans outstanding, only two of which are currently considered
performing. One loan, representing 26.4% of the pool, is scheduled
to mature in 2017.
Deal Concentration: The deal is heavily concentrated by loan size.
Twelve loans remain in the pool, including three assets (1.9% of
the pool) that are real-estate-owned (REO). The largest loan in
the pool makes up 34.9% of the total deal balance and is currently
with the special servicer. Including this loan, 72.8% of the pool
is in special servicing.
Modification of the Largest Loan: Although it is still in special
servicing, the largest loan was modified in February 2016 and has
performed in line with terms of the modification. Terms of the
modification include a reduction to the interest rate, a three year
maturity extension, with two additional one-year extension options
and a conversion to interest only payments. In conjunction with
the modification, a new equity partner purchased the majority
ownership rights to the property which could aid in capital
improvement projects and leasing activity.
Uncertain Timing: Nine of the 12 outstanding assets are in
foreclosure proceedings or are already REO. None of the REO assets
are currently being marketed for sale, and the timing for
foreclosure processes varies significantly from state to state.
Expected repayment of the senior bond hinges largely on the
proceeds from the disposition of assets in special servicing.
The Triangle Town Center note is the largest in the pool with an
outstanding principal balance of $108.2 million as of the November
2016 remittance. A non-trust subordinate note in the amount of
$24.8 million is securitized in LBUBS 2006-C7. The subject is a
1.4 million square foot mall and lifestyle center in Raleigh, North
Carolina. Anchor tenants, all of which own their own improvements,
include Dillard's, Belk, Macy's, Saks Fifth Avenue and Sears. The
mall is 90% owned by DRA Advisors after the original owner, CBL,
sold its majority stake. CBL retains 10% ownership interest and
acts as property manager.
The loan transferred to special servicing in September 2015 for
imminent default and was originally scheduled to mature in December
2015. A modification of the loan was executed in February 2016.
DRA Advisors contributed $25 million of new equity in the
modification of the loan, to be used for funding of tenant
improvements, leasing commissions and capital expenditures.
Modification terms also included the lender's approval of a partial
property release. The Triangle Town Place parcel sits across the
street from the mall and lifestyle component and is 100% occupied
by Dick's Sporting Goods, Bed Bath & Beyond, DSW, Party City and
Kirkland's. Proceeds from the release of this parcel would be used
to pay down the trust note. The sale and release are currently
being negotiated, which is why the loan remains in special
servicing despite being current on debt service payments.
RATING SENSITIVITIES
The Rating Outlook for class A-J remains Stable. The class is not
currently considered investment grade given the concentration of
specially serviced loans in the deal. Timing of the disposition of
these assets is uncertain, and the ultimate repayment of the senior
bond depends in part on proceeds from those sales. Distressed
classes may be subject to downgrades as losses are realized.
Upgrades to class A-J are possible if loans are resolved with
better than expected recoveries.
Fitch has upgraded this class:
-- $189 million class A-J to 'BBsf' from 'Bsf', Outlook Stable.
Fitch has affirmed these ratings:
-- $15.3 million class B at 'CCCsf', RE 100%;
-- $27.6 million class C at 'CCCsf', RE 50%;
-- $24.6 million class D at 'CCsf', RE 0%;
-- $18.4 million class E at 'Csf', RE 0%;
-- $21.5 million class F at 'Csf', RE 0%;
-- $13.7 million class G at 'Dsf', RE 0%;
-- $0 class H at 'Dsf', RE 0%;
-- $0 class J at 'Dsf', RE 0%;
-- $0 class K at 'Dsf', RE 0%;
-- $0 class L at 'Dsf', RE 0%;
-- $0 class M at 'Dsf', RE 0%;
-- $0 class N at 'Dsf', RE 0%;
-- $0 class IUU-3 at 'Dsf', RE 0%;
-- $0 class IUU-4 at 'Dsf', RE 0%;
-- $0 class IUU-5 at 'Dsf', RE 0%;
-- $0 class IUU-6 at 'Dsf', RE 0%;
-- $0 class IUU-7 at 'Dsf', RE 0%;
-- $0 class IUU-8 at 'Dsf', RE 0%;
-- $0 class IUU-9 at 'Dsf', RE 0%.
The class A-1, A-2, A-3, A-4, A-AB, A-M, IUU-1 and IUU-2
certificates have paid in full. Fitch does not rate the class P,
Q, S, T and IUU-10 certificates. Fitch previously withdrew the
ratings on the interest-only class X-CP and X-CL certificates.
LONE STAR 2015-LSP: Fitch Affirms B- Rating on Class F Certs
------------------------------------------------------------
Fitch Ratings affirms nine classes of Lone Star Portfolio Trust
2015-LSP Commercial Mortgage Pass-Through Certificates, Series
2015-LSP.
The certificates represent the beneficial interest in a trust that
holds a three-year, floating-rate, interest-only initial term loan
in the original amount of $708 million and an outstanding balance
of $544.2 million. The mortgage loan is secured by the fee
interests in 79 office and three industrial properties. The loan
is sponsored by Lone Star Real Estate Fund IV (U.S.), L.P. (Lone
Star).
KEY RATING DRIVERS
Fitch Leverage: The $544.2 million loan has a Fitch debt service
coverage (DSCR) and loan-to-value (LTV) of 1.02x and 90.5%,
respectively, totaling $64 per square foot (psf). At issuance, the
$705 million loan had a Fitch DSCR and LTV of 1.01x and 91.8%,
respectively, totaling $68 psf. The portfolio was acquired for a
total cost of $1.056 billion ($102 psf), implying a loan to cost
ratio of 66.8%.
Geographically Diverse and Granular Pool: The loan is secured by 79
office and three industrial assets located in 16 states in
generally suburban locations. At issuance, the portfolio consisted
of 103 assets. The three states with the greatest concentration
are Illinois (24.6% of allocated loan amount [ALA]), Minnesota
(22%) and Massachusetts (21.6%); no other state represents more
than 7.9% by ALA.
Future Funding Amount: The financing includes a future funding
mortgage loan of up to $103 million, which will be available to
reimburse the sponsor (up to 80%) for capital expenditures, and
tenant improvements and leasing commissions associated with
accretive growth in net operating income (NOI). The budgeted
amount totals $25.4 million for capex and $101.8 million for
leasing costs. The reimbursement will be subject to, among others,
the debt yield following the draw being equal to or greater than
the debt yield at closing of 12.8%. Fitch's analysis gave no
credit for leasing improvement or incremental cash flow and,
therefore, assumes a limited amount of the future funding amount is
drawn during the loan term.
Sponsorship: The loan is sponsored by Lone Star. Lone Star is a
global private equity firm that invests in real estate, equity,
credit and other financial assets. Since the establishment of its
first fund in 1995, Lone Star has organized 15 private equity funds
with aggregate capital commitments totaling approximately $60
billion. Hudson Advisors, Lone Star's asset management affiliate,
will serve as asset manager of the portfolio and has a track record
in repositioning capital-starved and/or mismanaged commercial
assets.
Modified Pro Rata: The transaction has a pro rata pay schedule for
the initial 15% of release paydown. As a result, the most senior
certificates will not de-lever as quickly as in a traditional
sequential-pay structure where all principal is allocated to the
most senior class. However, the transaction is structured with
release price premiums of 120% of the funded mortgage debt and
minimum debt yield tests. Principal is now allocated sequentially
as the transaction has paid down 22.8%.
RATING SENSITIVITIES
The Rating Outlooks remain Stable. Fitch does not foresee negative
rating migration unless a material economic or asset level event
changes the transaction's portfolio-level metrics.
Fitch has affirmed these ratings:
-- $57.9 million class A-1A1 at 'AAAsf'; Outlook Stable;
-- $169.5 million class A-1A2 at 'AAAsf'; Outlook Stable;
-- Interest-only class X-CP at 'BBB-sf'; Outlook Stable;
-- Interest-only class X-EXT at 'BBB-sf'; Outlook Stable;
-- $58.9 million class B at 'AA-sf'; Outlook Stable;
-- $40.1 million class C at 'A-sf'; Outlook Stable;
-- $56.3 million class D at 'BBB-sf'; Outlook Stable;
-- $97.3 million class E at 'BB-sf'; Outlook Stable;
-- $64.3 million class F at 'B-sf'; Outlook Stable.
MORGAN STANLEY 2008-TOP29: Fitch Affirms 'Csf' Rating on 4 Certs
----------------------------------------------------------------
Fitch Ratings has affirmed 17 classes of Morgan Stanley Capital I
Trust (MSCI), series 2008-TOP29.
KEY RATING DRIVERS
Stable Performance: The affirmations reflect the relative stable
performance of the pool since Fitch's last rating action and
modeled losses remain in line with previous expectations. There is
one loan in special servicing (2% of the pool). The pool's
aggregate principal balance has been reduced by approximately 27.9%
(including 0.9% in realized losses) to $889.65 million from $1.23
billion at issuance. Interest shortfalls are affecting the
non-rated class P as of November 2016.
High Retail Concentration: Of the 69 loans remaining, 41 are backed
by retail properties (52.7% of the pool) including five of the top
10 loans (25.5%). Three loans in the top 20 (6.7%) are secured by
Puerto Rico retail properties. Additionally, there are three
mixed-use properties with a retail component (3.3%).
Defeasance: Five loans are defeased (17.6%) as of the November 2016
distribution date, including the largest loan, Kimco Portfolio
(12.3%).
Limited Amortization: Remaining scheduled amortization for the pool
is 1.6% from the November 2016 to each loan's scheduled maturity
date or ARD. Of the remaining pool, approximately 81% is partial
or full-term interest-only which limits deleveraging of the senior
and mezzanine classes.
RATING SENSITIVITIES
The Outlooks for classes A-4 through E are expected to remain
Stable unless additional loans transfer to special servicing
coupled with an increase in expected losses. Fitch performed
rating sensitivities, including modeling substantial losses on the
specially serviced loan and paydown from large loans, and the
current ratings would be affirmed. Downgrades to the subordinate
and distressed classes are possible should pool performance
deteriorate.
Fitch has affirmed these ratings:
-- $507.6 million class A-4 at 'AAAsf'; Outlook Stable;
-- $60.5 million class A-4FL at 'AAAsf'; Outlook Stable;
-- $123.4 million class A-M at 'AAAsf'; Outlook Stable;
-- $72.5 million class A-J1 at 'AAsf'; Outlook Stable;
-- $20.1 million class B at 'Asf'; Outlook Stable;
-- $10.8 million class C at 'BBBsf'; Outlook Stable;
-- $21.6 million class D at 'BBsf'; Outlook Stable;
-- $12.3 million class E at 'Bsf'; Outlook Stable;
-- $13.9 million class F at 'CCCsf'; RE 100%;
-- $13.9 million class G at 'CCCsf'; RE 65%;
-- $10.8 million class H at 'CCCsf'; RE 0%;
-- $1.5 million class J at 'CCsf'; RE 0%;
-- $4.6 million class K at 'CCsf'; RE 0%;
-- $1.5 million class L at 'Csf'; RE 0%;
-- $1.5 million class M at 'Csf'; RE 0%;
-- $4.6 million class N at 'Csf'; RE 0%;
-- $4.6 million class O at 'Csf'; RE 0%.
Fitch does not rate class P, which has been reduced to
$3.8 million from $15.2 million due to realized losses. Classes
A-1, A-2, A-3 and A-AB are paid in full. Fitch previously withdrew
the rating on the interest-only class X.
MORGAN STANLEY 2015-UBS8: Fitch Affirms B- Rating on Cl. G Certs
----------------------------------------------------------------
Fitch Ratings has affirmed 17 classes of Morgan Stanley & Co. LLC's
MSCI 2015-UBS8 Commercial Mortgage Pass-Through Certificates.
KEY RATING DRIVERS
The affirmations are based on the stable performance of the
underlying collateral and no material changes to the pools metrics
since issuance. As of the November 2016 distribution date, the
pool's aggregate principal balance has been reduced by 0.5% to
$800.9 million from $805 million at issuance. Currently, there is
one specially serviced loan (0.7 %). No loans are defeased and all
loans are current excluding the specially serviced loan. There is
currently a $5,843 interest shortfall affecting class J related to
special servicing fees and a small reimbursement for advance
interest.
Stable Performance: Performance of the pool has been stable since
issuance with only one loan (0.7% of the pool) delinquent and in
special servicing.
High Retail Concentration: Approximately 43.2% of the loans in the
pool are secured by retail properties. This includes six
properties in the top 15 (24.2% of pool balance) that are
collateralized at least in part by regional outlet centers or mall
properties.
Sponsor Concentration: Four of the top 15 loans (18.6% of the pool)
are secured by outlet malls that have a related sponsor in Simon
Property Group. The parent of that group, Simon Property Group,
Inc. is rated 'A'/Outlook Stable. The outlet centers reflect a
weighted average DSCR and occupancy of 98.8% and 2.89x,
respectively.
Limited Amortization: Approximately 11.3% of the original pool
balance is scheduled to amortize prior to maturity. Eight loans
totaling 29.3% of the original pool balance are full-term
interest-only.
Low Issuance Fitch Leverage: At issuance, the pool reflected Fitch
DSCR and LTV of 1.23x and 103.5%, respectively. This compares with
2015 Fitch average DSCR and LTV of 1.18x and 109.3%.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset-level event changes the transaction's overall
portfolio-level metrics.
Fitch has affirmed these classes:
-- $28,621,831 class A-1 at 'AAAsf'; Outlook Stable;
-- $6,300,000 class A-2 at 'AAAsf'; Outlook Stable;
-- $51,500,000 class A-SB at 'AAAsf'; Outlook Stable;
-- $160,000,000 class A-3 at 'AAAsf'; Outlook Stable;
-- $313,000,000 class A-4 at 'AAAsf'; Outlook Stable;
-- $563,500,000b class X-A at 'AAAsf'; Outlook Stable;
-- $48,300,000 class A-S at 'AAAsf'; Outlook Stable;
-- $53,331,000 class B at 'AA-sf'; Outlook Stable;
-- $37,231,000 class C at 'A-sf'; Outlook Stable;
-- $101,631,000ab class X-B at 'AA-sf'; Outlook Stable;
-- $43,269,000ab class X-D at 'BBB-sf'; Outlook Stable;
-- $18,700,000ab class X-F at 'BBsf'; Outlook Stable;
-- $10,481,000ab class X-G at 'B-sf'; Outlook Stable;
-- $25,156,000a class D at 'BBBsf'; Outlook Stable;
-- $18,113,000a class E at 'BBB-sf'; Outlook Stable;
-- $18,700,000a class F at 'BBsf'; Outlook Stable;
-- $10,481,000a class G at 'B-sf'; Outlook Stable;
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
Fitch does not rate class X-H, class X-J, class H or class J.
MORGAN STANLEY 2016-C32: DBRS Assigns BB Rating on Class F Notes
----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2016-C32 to
be issued by Morgan Stanley Bank of America Merrill Lynch 2016-C32:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class X-D at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AAA (sf)
-- Class C at AA (sf)
-- Class D at BBB (high) (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
All trends are Stable.
Classes X-D, D, E and F will be privately placed.
The Class X-A, X-B and X-D balances are notional. DBRS ratings on
interest-only (IO) certificates address the likelihood of receiving
interest based on the notional amount outstanding. DBRS considers
the IO certificates' positions within the transaction payment
waterfall when determining the appropriate ratings.
The collateral consists of 56 fixed-rate loans secured by 76
commercial and multifamily properties, comprising a total
transaction balance of $906,952,869. The transaction has a
sequential-pay pass-through structure. The trust assets contributed
from two loans, representing 12.7% of the pool, are shadow-rated
investment grade by DBRS. Proceeds for each shadow-rated loan are
floored at their respective rating within the pool. When 12.7% of
the pool has no proceeds assigned below the rated floor, the
resulting pool subordination is diluted or reduced below that rated
floor. The conduit pool was analyzed to determine the provisional
ratings, reflecting the long-term probability of loan default
within the term and its liquidity at maturity. When the cut-off
loan balances were measured against the DBRS Stabilized Net Cash
Flow (NCF) and their respective actual constants, two loans,
representing 4.9% of the total pool, had a DBRS Term Debt Service
Coverage Ratio (DSCR) below 1.15 times (x), a threshold indicative
of a higher likelihood of mid-term default. Twenty-seven loans,
representing 54.8% of the pool, have a DBRS Refinance (Refi) DSCR
below 1.00x; however, these credit metrics are based on whole-loan
balances. Two of the pool's loans with DBRS Refi DSCRs below 0.90x,
Hilton Hawaiian Village and Potomac Mills, which total 12.7% of the
transaction balance, are shadow-rated and have large pieces of
subordinate mortgage debt outside the trust. Based on A-note
balances only, the deal's weighted-average (WA) DBRS Refi DSCR
improves to 1.09x from 1.02x and the concentration of loans with
DBRS Refi DSCRs below 1.00x reduces to 42.1%.
As previously mentioned, two of the largest eight loans, Hilton
Hawaiian Village and Potomac Mills, have trust participations that
exhibit credit characteristics consistent with investment-grade
shadow ratings. Hilton Hawaiian Village has credit characteristics
consistent with a BB (high) shadow rating while Potomac Mills has
credit characteristics consistent with an A (low) shadow rating. In
addition, 16 loans, representing 40.4% of the pool, have a DBRS
Term DSCR in excess of 1.50x. This includes six of the largest ten
loans. Even when excluding the two shadow-rated loans, both of
which have large pieces of subordinate mortgage debt held outside
the trust, the deal continues to exhibit a favorable DBRS Term DSCR
of 1.67x. Based on A-note balances only, the DBRS Term DSCR is even
more robust at 1.93x. Only two loans, representing 9.6% of the
pool, are secured by hotels, the largest of which is Hilton
Hawaiian Village, which totals 7.0% of the pool and is shadow-rated
BBB (high) by DBRS. Hotels have the highest cash flow volatility of
all major property types.
The pool has an elevated concentration of loans either fully or
primarily leased to a single tenant. Thirteen loans, comprising
23.5% of the transaction balance, are secured by such properties,
which includes four of the largest 15 loans: 100 Hamilton, FedEx
Ground Portfolio, American Greetings HQ and Walgreens Pool 7. Loans
secured by properties occupied by single tenants have been found to
suffer higher loss severities in an event of default; however,
almost a quarter of the single-tenant concentration stems from a
low-leveraged loan with an excellent urban location in Palo Alto,
California, that is tenanted by one of the highest-valued private
companies in the country. Two more of these loans, which represent
32.6% of the concentration, are backed by brand new structures
built to suit the tenants, which are both heavily invested in their
respective properties. The pool's single-tenant loans exhibit WA
DBRS Going-In and Exit Debt Yields of 10.0% and 11.0%,
respectively, which are well above the deal as a whole.
Additionally, single-tenant properties are modeled by DBRS with a
higher loss profile compared with multi-tenant properties. The
transaction has a high concentration of loans that are secured by
assets either fully or primarily used as retail at 45.9%. The
retail sector has generally underperformed since the Great
Recession because of a general decline in consumer spending power,
store closures, chain bankruptcies and the rapidly growing
popularity of ecommerce. According to the U.S. Census Bureau,
ecommerce sales represented 7.0% of total retail sales in 2015
compared with 3.9% in 2009. As the ecommerce share of sales is
expected to continue to grow significantly in the coming years, the
retail real estate sector may continue to be relatively weak. DBRS
considers the majority of the retail concentration to be secured by
either anchored or regional mall properties, which are more
desirable and have shown lower rates of default historically. Over
a quarter of the retail concentration consists of Wolfchase
Galleria and Potomac Mills, which are dominant regional malls in
established suburban markets. Both properties are owned and
operated by Simon Property Group, which DBRS considers to be one of
the strongest in its industry. Additionally, Potomac Mills is
shadow-rated A (low) by DBRS.
The DBRS sample included 29 of the 56 loans in the pool. Site
inspections were performed on 33 of the 76 properties in the
portfolio (74.8% of the pool by allocated loan balance). The DBRS
average sample NCF adjustment for the pool was -6.6% and ranged
from -18.8 to +5.0%. The average DBRS sampled NCF haircut compares
favorably with more recent transactions by DBRS, where the average
DBRS sampled haircut is typically in excess of -7.5% and commonly
around -10.0%.
The rating assigned to Class F differs from the higher rating
implied by the quantitative model. DBRS considers this difference
to be a material deviation and, in this case, the ratings reflect
the dispersion of loan-level cash flows expected to occur
post-issuance.
The ratings assigned to the Certificates by DBRS are based
exclusively on the credit provided by the transaction structure and
underlying trust assets. All classes will be subject to ongoing
surveillance, which could result in upgrades or downgrades by DBRS
after the date of issuance.
Notes: All figures are in U.S. dollars unless otherwise noted.
This rating is endorsed by DBRS Ratings Limited for use in the
European Union.
With regard to due diligence services, DBRS was provided with the
Form ABS Due Diligence-15E (Form 15-E), which contains a
description of the information that the third party reviewed in
conducting the due diligence services and a summary of the findings
and conclusions. While DBRS did not rely on the due diligence
services outlined in Form 15-E, DBRS did use the Data File outlined
in the Independent Accountant's Report in its analysis to determine
the ratings.
A full text copy of the ratings is available free at:
https://is.gd/g9Cwli
NEUBERGER BERMAN XXIII: Moody's Assigns Ba3 Rating on Cl. E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Neuberger Berman CLO XXIII, Ltd.
Moody's rating action is:
$248,000,000 Class A Senior Secured Floating Rate Notes due
2027, Definitive Rating Assigned Aaa (sf)
$52,000,000 Class B Senior Secured Floating Rate Notes due 2027,
Definitive Rating Assigned Aa2 (sf)
$26,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2027, Definitive Rating Assigned A2 (sf)
$25,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2027, Definitive Rating Assigned Baa3 (sf)
$17,000,000 Class E Junior Secured Deferrable Floating Rate
Notes due 2027, Definitive Rating Assigned Ba3 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes and the Class E Notes are referred to herein, collectively,
as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to
defaults on the underlying portfolio of assets, the transaction's
legal structure, and the characteristics of the underlying assets.
Neuberger Berman XXIII 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% of the portfolio
must consist of senior secured loans, cash, and eligible
investments, and up to 4% of the portfolio may consist of second
lien loans and unsecured loans. The portfolio is at least 90%
ramped as of the closing date.
Neuberger Berman Investment Advisers 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 4.6 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 October 2016.
For modeling purposes, Moody's used these base-case assumptions:
Par amount: $400,000,000
Diversity Score: 50
Weighted Average Rating Factor (WARF): 2789
Weighted Average Spread (WAS): 3.75%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 46.75%
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
October 2016.
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 2789 to 3207)
Rating Impact in Rating Notches
Class A Notes: 0
Class B Notes: -1
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2789 to 3626)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -3
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
NEW RESIDENTIAL 2016-4: DBRS Assigns Prov. BB Rating on B-4 Notes
-----------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage-Backed Notes, Series 2016-4 (the Notes) issued by New
Residential Mortgage Loan Trust 2016-4 (the Trust):
-- $209.7 million Class A-1 at AAA (sf)
-- $209.7 million Class A-IO at AAA (sf)
-- $209.7 million Class A at AAA (sf)
-- $9.4 million Class B-1 at AA (sf)
-- $9.4 million Class B1-IO at AA (sf)
-- $9.4 million Class B-2 at A (sf)
-- $9.4 million Class B2-IO at A (sf)
-- $6.5 million Class B-3 at BBB (sf)
-- $7.3 million Class B-4 at BB (sf)
-- $6.3 million Class B-5 at B (sf)
Classes A-IO, B1-IO and B2-IO are interest-only notes. The class
balances represent notional amounts.
Classes A and B are exchangeable notes. These classes can be
exchanged for combinations of initial exchangeable notes as
specified in the offering documents.
The AAA (sf) ratings on the Notes reflect the 20.55% of credit
enhancement provided by subordinated Notes in the pool. The AA
(sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 17.00%,
13.45%, 11.00%, 8.25% and 5.85% of credit enhancement,
respectively.
Other than the specified classes above, DBRS does not rate any
other classes in this transaction.
This transaction is a securitization of a portfolio of seasoned
performing and re-performing first-lien residential mortgages. The
Notes are backed by 2,237 loans with a total principal balance of
$263,910,247 as of the Cut-Off Date (November 1, 2016).
The loans are significantly seasoned with a weighted average age of
154 months. As of the Cut-Off Date, 91.8% of the pool is current,
6.5% is 30 days delinquent and 1.7% is in bankruptcy (all
bankruptcy loans are performing or 30 days delinquent).
Approximately 66.8% and 76.5% of the mortgage loans have been zero
times 30 days delinquent for the past 24 months and 12 months,
respectively, under both the Office of Thrift Supervision and
Mortgage Bankers Association delinquency methods. The portfolio
contains 37.0% modified loans. The modifications happened more than
two years ago for 71.5% of the modified loans. Because of the
seasoning of the collateral, none of the loans are subject to the
Consumer Financial Protection Bureau Ability-to-Repay/Qualified
Mortgage rules.
The Seller, NRZ Sponsor V LLC (NRZ), will acquire the loans on or
prior to the Closing Date in connection with the termination of
various securitization trusts that had acquired the mortgage loans
from various underlying sellers. Upon acquiring the loans from the
securitization trusts, NRZ, through an affiliate, New Residential
Funding 2016-4 LLC (the Depositor), will contribute loans to the
Trust. As the Sponsor, New Residential Investment Corp., through a
majority-owned affiliate, will acquire and retain a 5% eligible
vertical interest in each class of securities to be issued (other
than the residual certificates) to satisfy the credit risk
retention requirements under Section 15G of the Securities Exchange
Act of 1934 and the regulations promulgated thereunder. These loans
were originated and previously serviced by various entities through
purchases in the secondary market.
As of the Cut-Off Date, 82.6% of the pool is serviced by Ocwen Loan
Servicing, LLC, 15.3% by Nationstar Mortgage LLC (Nationstar) and
2.1% by Specialized Loan Servicing LLC. Nationstar will also act as
the Master Servicer.
The transaction employs a senior-subordinate shifting-interest cash
flow structure that is enhanced from a pre-crisis structure.
The ratings reflect transactional strengths that include underlying
assets that have significant seasoning, relatively clean payment
histories and robust loan attributes with respect to credit scores,
product types and loan-to-value ratios. Additionally, historical
NRMLT securitizations have exhibited fast voluntary prepayment
rates and satisfactory deal performance.
The transaction employs a relatively weak representations and
warranties framework that includes an unrated representation
provider (NRZ), certain knowledge qualifiers and fewer mortgage
loan representations relative to DBRS criteria for seasoned pools.
Satisfactory third-party due diligence was performed on the pool
for regulatory compliance and title/lien but was limited with
respect to payment history, data integrity and servicing comments.
Updated Home Data Index and/or broker price opinions were provided
for the pool; however, a reconciliation was not performed on the
majority of updated values.
Certain loans have missing assignments or endorsements as of the
Closing Date. Given the relatively clean performance history of the
mortgages and the operational capability of the servicers, DBRS
believes the risk of impeding or delaying foreclosure is remote.
Notes: All figures are in U.S. dollars unless otherwise noted.
OCTAGON INVESTMENT 29: S&P Gives Prelim. BB- Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Octagon
Investment Partners 29 Ltd.'s $460.00 million floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed by broadly syndicated senior secured term loans.
The preliminary rating is based on information as of Dec. 1, 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
Octagon Investment Partners 29 Ltd./Octagon Investment Partners 29
LLC
Class Rating Amount
(mil. $)
A AAA (sf) 310.00
B AA (sf) 65.00
C (deferrable) A (sf) 40.00
D (deferrable) BBB- (sf) 25.00
E (deferrable) BB- (sf) 20.00
Subordinated notes NR 50.75
NR--Not rated.
OHA LOAN 2012-1: S&P Assigns BB Rating on Class E-R Notes
---------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-1-R,
B-2-R, C-R, D-R, and E-R fixed- and floating-rate replacement notes
from OHA Loan Funding 2012-1 Ltd., a collateralized loan obligation
(CLO) originally issued in 2013 that is managed by Oak Hill
Advisors L.P.
On the Nov. 29, 2016, refinancing date, the proceeds from the new
class A-R, B-1-R, B-2-R, C-R, D-R, and E-R note issuance were used
to redeem the original notes as outlined in the transaction
document provisions. Therefore, S&P withdrew the ratings on the
original notes in line with their full redemption and assigned
ratings to the new A-R, B-1-R, B-2-R, CR, D-R, and E-R notes.
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.
The ratings reflect S&P's opinion that the credit support available
is commensurate with the associated rating levels.
S&P will continue to review whether, in its view, the ratings
assigned to the transaction remain consistent with the credit
enhancement available to support them, and S&P will take rating
actions as it deems necessary.
RATINGS ASSIGNED
OHA Loan Funding 2012-1 Ltd./OHA Loan Funding 2012-1 Inc.
Amount
Replacement class Rating (mil. $)
A-R AAA (sf) 220.00
B-1-R AA (sf) 38.00
B-2-R AA (sf) 11.50
C-R A (sf) 25.50
D-R BBB (sf) 18.00
E-R BB (sf) 17.00
Subordinated notes NR 40.50
RATINGS WITHDRAWN
OHA Loan Funding 2012-1 Ltd./OHA Loan Funding 2012-1 Inc.
Rating
Original class To From
A NR AAA (sf)
B-1 NR AA (sf)
B-2 NR AA (sf)
C NR A (sf)
D NR BBB (sf)
E NR BB (sf)
NR--Not rated.
RAIT TRUST 2016-FL6: DBRS Finalizes Bsf Rating on Class F Notes
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of secured Floating Rate Notes, to be issued by RAIT
2016-FL6 Trust:
-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (sf)
-- Class F at B (sf)
The trends are Stable.
Classes A, B, C and D have been privately placed.
Classes E and F are non-offered classes.
With respect to the deferrable notes (Class C, Class D, Class E and
Class F), to the extent that interest proceeds are not sufficient
on a given payment date to pay accrued interest, interest will not
be due and payable on the payment date and will instead be deferred
and capitalized. The ratings assigned by DBRS contemplate the
timely payments of distributable interest and, in the case of
deferred interest notes, the ultimate recovery of deferred interest
(inclusive of interest payable thereon at the applicable rate, to
the extent permitted by law).
The collateral for the transaction consists of 23 recently
originated floating-rate mortgages secured by 33 transitional
commercial real estate properties totaling $257.9 million based on
current cut-off balances and $270.5 million based on the fully
funded loan amount (including the future funding non-controlling
pari passu participation interests). The loans are secured by
current cash flowing assets, most of which are in a period of
transition, with plans to stabilize and improve the asset value.
The floating-rate mortgages were analyzed to determine the
probability of loan default over the term of the loan and its
refinance risk at maturity, based on a fully extended loan term.
Due to the floating-rate nature of the loans, the index (one-month
LIBOR) was modeled at the lower of a DBRS stressed rate that
corresponded to the remaining fully extended term of the loans and
the strike price of the interest rate cap, with the respective
contractual loan spread added to determine a stressed interest rate
over the loan term. When the cut-off balances were measured against
the DBRS In-Place NCF and their respective stressed constants,
there were 16 loans, representing 71.2% of the pool, with term
DSCRs below 1.15 times (x), a threshold indicative of a higher
likelihood of term default. Additionally, to assess refinance risk,
DBRS applied its refinance constants to the balloon amounts,
resulting in 16 loans, or 78.3% of the pool having refinance DSCRs
below 1.00x relative to the DBRS Stabilized NCF. The properties are
often transitioning, with potential upside in the cash flow;
however, DBRS does not give full credit to the stabilization if
there are no holdbacks or other loan structural features in place
were insufficient to support such treatment. Furthermore, even with
structure provided, DBRS generally does not assume the assets to
stabilize above market levels.
The properties are located in primarily core markets (2.3% urban
and 86.5% suburban) that benefit from greater liquidity. Only two
loans, representing 7.3% of the pool, are located in a tertiary
market and only one loan, representing 3.9% of the pool, is located
in a rural market. Thirteen loans totaling 62.1% of the deal
balance represent acquisition financing, with borrowers
contributing equity to the transaction. Three loans, representing
25.6% of the pool, have a future funding component. As of the
cut-off date, the aggregate remaining future funding participations
totaled nearly $12.6 million and ranged from approximately $1.7
million to $6.6 million. The proceeds necessary to fulfill the
future obligations will be drawn on primarily from a Committed
Warehouse Line and will be held outside the trust, but will be pari
passu with the trust participations. The vast majority of these
future funding participations will be utilized by the borrowers to
fund property renovations and cover leasing costs. Each property
has a business plan to execute that is expected to increase net
cash flow.
The loans have been underwritten by DBRS to a stabilized cash flow
that is in some instances above the current in-place cash flow.
There is a possibility that the sponsors will not execute their
business plans as expected and the higher stabilized cash flow will
not materialize during the loan term. Failure to execute the
business plan could result in a term default or the inability to
refinance the fully funded loan balance. DBRS made relatively
conservative stabilization assumptions and in each instance
considered the business plan to be rational and the future funding
amounts to be sufficient to execute such plans. In addition, DBRS
models probability of default (POD) based on the DBRS In-Place NCF
and the fully funded loan amount (including the future funding
participation structures). The corresponding weighted-average (WA)
DBRS Debt Yield is 6.2%, which is lower than the WA DBRS Exit Debt
Yield, based on a DBRS Stabilized NCF of 8.3%. This indicates a
moderate amount of upside that is modeled.
The overall WA DBRS Term and Refinance (Refi) DSCRs of 0.93x and
0.92x, respectively, and corresponding DBRS Debt and Exit Debt
Yields of 6.2% and 8.3%, respectively, are considered high-leverage
financing. The DBRS Term and Refi DSCRs are based on the DBRS
In-Place NCF and debt service is calculated using a stressed
interest rate. The WA stressed rate used is 6.5%, which is greater
than the current WA interest rate of 5.8% (based on WA mortgage
spread and a one-month LIBOR index). Regarding the significant
refinance risk indicated by the DBRS Refi DSCR of 0.92x, credit
enhancement levels are reflective of the increased leverage that is
substantially higher than in recent fixed-rate transactions. The
assets are generally well positioned to stabilize and any realized
cash flow growth would help to offset a rise in interest rates and
also improve the overall debt yield of the loans. DBRS associates
its POD based on the assets' in-place cash flow, which does not
assume that the stabilization plan and cash flow growth will ever
materialize.
The ratings assigned to the Notes by DBRS are based exclusively on
the credit provided by the transaction structure and underlying
trust assets. All classes will be subject to ongoing surveillance,
which could result in upgrades or downgrades by DBRS after the date
of issuance.
RISERVA CLO: Moody's Assigns Prov. Ba3 Rating on Class E Notes
--------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to seven
classes of notes to be issued by Riserva CLO, Ltd.
Moody's rating action is as follows:
-- US$384,000,000 Class A Notes due 2028 (the "Class A Notes"),
Assigned (P)Aaa (sf)
-- US$51,000,000 Class B-1 Notes due 2028 (the "Class B-1
Notes"), Assigned (P)Aa2 (sf)
-- US$21,000,000 Class B-2 Notes due 2028 (the "Class B-2
Notes"), Assigned (P)Aa2 (sf)
-- US$28,500,000 Class C-1 Notes due 2028 (the "Class C-1
Notes"), Assigned (P)A2 (sf)
-- US$7,500,000 Class C-2 Notes due 2028 (the "Class C-2
Notes"), Assigned (P)A2 (sf)
-- US$33,000,000 Class D Notes due 2028 (the "Class D Notes"),
Assigned (P)Baa3 (sf)
-- US$27,000,000 Class E Notes due 2028 (the "Class E Notes"),
Assigned (P)Ba3 (sf)
The Class A Notes, the Class B-1 Notes, the Class B-2 Notes, the
Class C-1 Notes, the Class C-2 Notes, the Class D Notes, and the
Class E Notes are referred to herein 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.
Riserva CLO is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 95% of the portfolio must consist
of senior secured loans and eligible investments that are principal
proceeds, and up to 5% of the portfolio may consist of second lien
loans, senior unsecured loans and first lien last out loans. "We
expect the portfolio to be approximately 80% ramped as of the
closing date." Moody's said.
Invesco RR Fund L.P. (the "Manager") will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's 4 year reinvestment period.
Thereafter, the Manager may reinvest unscheduled principal payments
and proceeds from sales of credit risk assets, subject to certain
restrictions.
In addition to the Rated Notes, the Issuer will issue one class of
subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in October 2016.
For modeling purposes, Moody's used the following base-case
assumptions:
-- Par amount: $600,000,000
-- Diversity Score: 55
-- Weighted Average Rating Factor (WARF): 2775
-- Weighted Average Spread (WAS): 3.90%
-- Weighted Average Coupon (WAC): 6.50%
-- Weighted Average Recovery Rate (WARR): 47.00%
-- 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
October 2016.
Factors That Would Lead to 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 2775 to 3191)
Rating Impact in Rating Notches
-- Class A Notes: 0
-- Class B-1 Notes: -2
-- Class B-2 Notes: -2
-- Class C-1 Notes: -2
-- Class C-2 Notes: -2
-- Class D Notes: -1
-- Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2775 to 3608)
Rating Impact in Rating Notches
-- Class A Notes: -1
-- Class B-1 Notes: -3
-- Class B-2 Notes: -3
-- Class C-1 Notes: -4
-- Class C-2 Notes: -4
-- Class D Notes: -2
-- Class E Notes: -1
SAXON ASSET 2001-1: Moody's Lowers Class MF-2 Notes Rating to Ca
----------------------------------------------------------------
Moody's Investors Service has downgraded the rating of the Class
MF-2 from Saxon Asset Securities Trust 2001-1, which is backed by
subprime mortgage loans.
Complete rating actions are as follows:
Issuer: Saxon Asset Securities Trust 2001-1
-- Cl. MF-2, Downgraded to Ca (sf); previously on Mar 10, 2011
Downgraded to Caa3 (sf)
RATINGS RATIONALE
The rating downgrade on Class MF-2 is primarily due to the
expecation of large principal losses. The Class MF-2 has already
incurred writedowns and is expected to continue taking large
losses. The action reflect the recent performance of the underlying
pools and Moody's updated loss expectation on these pools.
The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in November 2013.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.9% in October 2016 from 5.0% in
October 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.
SLC STUDENT 2004-1: Fitch Lowers Rating on 2 Tranches to B-
-----------------------------------------------------------
Fitch Ratings has taken these rating actions on SLC Student Loan
Trust 2004-1:
-- Class A-5 notes affirmed at 'AAAsf'; Outlook Stable;
-- Class A-6 notes affirmed at 'AAAsf'; Outlook Stable;
-- Class A-7 downgraded to 'B-sf' from 'AAAsf'; removed from
Rating Watch Negative and assigned a Stable Outlook;
-- Class B downgraded to 'B-sf' from 'Asf'; removed from Rating
Watch Negative and assigned a Stable Outlook.
The class A-7 notes miss their legal final maturity date under both
Fitch's credit and maturity base cases. This technical default
would result in interest payments being diverted away from class B,
which would cause that note to default as well. In downgrading to
'B-sf' rather than 'CCCsf' or below, Fitch has considered
qualitative factors such as Navient's ability to call the notes
upon reaching 10% pool factor, the long time horizon until the A-7
and B maturity dates, and the eventual full payment of principal in
modeling.
KEY RATING DRIVERS
U.S. Sovereign Risk: The trust collateral is comprised of 100%
Federal Family Education Loan Program (FFELP) loans, with
guaranties provided by eligible guarantors and reinsurance provided
by the U.S. Department of Education (ED) for at least 97% of
principal and accrued interest. The U.S. sovereign rating is
currently 'AAA'/Outlook Stable.
Collateral Performance: Fitch assumes a base case default rate of
10.0% and a 29.9% default rate under the 'AAA' credit stress
scenario, which is based on actual trust performance. The claim
reject rate is assumed to be 0.50% in the base case and 3% in the
'AAA' case. Fitch applies the standard default timing curve in its
credit stress cash flow analysis. The trailing-12-month (TTM)
average constant default rate, utilized in the maturity stresses,
is 1.5%. TTM levels of deferment, forbearance, income-based
repayment (prior to adjustment) and constant prepayment rate
(voluntary and involuntary) are 4.3%, 7.4%, 6.9%, and 7.9%,
respectively, and are used as the starting point in cash flow
modeling. Subsequent declines or increases are modeled as per
criteria. The borrower benefit is assumed to be approximately
0.36%, based on information provided by the sponsor.
Basis and Interest Rate Risk: Fitch applies its standard basis and
interest rate stresses to this transaction as per criteria.
Payment Structure: Credit enhancement (CE) is provided by
overcollateralization (OC), excess spread and, for the class A
notes, subordination. As of August 2016, total and senior
effective parity ratios are 100.00% (0.00% CE) and 104.99% (4.75%
CE). Liquidity support is provided by a reserve equal to its floor
of $2,250,000. The transaction will continue to release cash as
long as the specified parity level (not including the reserve after
40% pool factor) of 100% is maintained.
Maturity Risk: Fitch's Student Loan ABS (SLABS) cash flow model
indicates that the class A-5 and A-6 notes are paid in full on or
prior to the legal final maturity dates under the 'AAA' stress
scenarios. The A-7 and B notes do not pay off before their
maturity date in Fitch's modelling scenarios, including the base
cases. If the breach of the class A-7 maturity date triggers an
event of default, interest payments will be diverted away from the
class B notes, causing them to fail the base cases as well.
Operational Capabilities: Day-to-day servicing is provided by
Navient Solutions, Inc. (formerly known as Sallie Mae, Inc.). Fitch
believes Navient to be an acceptable servicer of FFELP student
loans.
Criteria Variations
Eligible Investments
Under the 'Counterparty Criteria for Structured Finance and Covered
Bonds', dated Sept. 1, 2016, Fitch looks to its own ratings in
analyzing counterparty risk and assessing a counterparty's
creditworthiness. The definition of permitted investments for this
deal allows for the possibility of using investments not rated by
Fitch, which represents a criteria variation. Since the only
available funds to invest are those held in the Collection Account,
and the funds can only be invested for a short duration given the
payment frequency of the notes, Fitch does not believe such
variation has a measurable impact upon the ratings assigned.
Rating Tolerance
Because there is no revolving credit facility or other evidence of
support from Navient in place for SLC Student Loan Trust 2004-1,
the decision to downgrade the A-7 and B notes to 'B-sf' rather than
'CCCsf' or below is a criteria variation. Fitch has considered
qualitative factors such as Navient's ability to call the notes
upon reaching 10% pool factor, the long time horizon until the A-7
and B maturity dates, and the eventual full payment of principal in
modeling in its analysis to support this decision.
RATING SENSITIVITIES
'AAAsf' rated tranches of most FFELP securitizations will likely
move in tandem with the U.S. sovereign rating, given the strong
linkage to the U.S. sovereign by nature of the reinsurance and SAP
provided by ED. Sovereign risks are not addressed in Fitch's
sensitivity analysis.
Fitch conducted a CE sensitivity analysis by stressing both the
related lifetime default rate and basis spread assumptions. In
addition, Fitch conducted a maturity sensitivity analysis by
running different assumptions for the IBR usage and prepayment
rate. The results below should only be considered as one potential
model implied outcome as the transaction is exposed to multiple
risk factors that are all dynamic variables.
Credit Stress Rating Sensitivity
-- Default increase 25%: class A 'B-sf'; class B 'B-sf'
-- Default increase 50%: class A 'B-sf'; class B 'B-sf'
-- Basis Spread increase 0.25%: class A 'B-sf'; class B 'B-sf'
-- Basis Spread increase 0.50%: class A 'B-sf'; class B 'B-sf'
Maturity Stress Rating Sensitivity
-- CPR decrease 50%: class A 'B-sf'; class B 'B-sf'
-- CPR increase 100%: class A 'B-sf'; class B 'B-sf'
-- IBR Usage increase 100%: class A 'B-sf'; class B 'B-sf'
-- IBR Usage decrease 50%: class A 'B-sf'; class B 'B-sf'
It is important to note that the stresses are intended to provide
an indication of the rating sensitivity of the notes to unexpected
deterioration in trust performance. Rating sensitivity should not
be used as an indicator of future rating performance.
SLM STUDENT 2003-5: Fitch Lowers Rating on 5 Tranches to BB
-----------------------------------------------------------
Fitch Ratings has taken these rating actions on SLM Student Loan
Trust 2003-5:
-- Class A-5 affirmed at 'AAAsf'; removed from Rating Watch
Negative and assigned Outlook Stable;
-- Class A-6 downgraded to 'BBsf' from 'AAAsf'; removed from
Rating Watch Negative and assigned Stable Outlook;
-- Class A-7 downgraded to 'BBsf' from 'AAAsf'; removed from
Rating Watch Negative and assigned Stable Outlook;
-- Class A-8 downgraded to 'BBsf' from 'AAAsf'; removed from
Rating Watch Negative and assigned Stable Outlook;
-- Class A-9 downgraded to 'BBsf' from 'AAAsf'; removed from
Rating Watch Negative and assigned Stable Outlook;
-- Class B downgraded to 'BBsf' from 'Asf'; removed from Rating
Watch Negative and assigned Stable Outlook.
The class A-6, A-7, A-8, and A-9 notes miss their legal final
maturity date under both Fitch's credit and maturity base cases
marginally. This technical default would result in interest
payments being diverted away from class B, which would cause that
note to default as well. In downgrading to 'BBsf' rather than
'CCCsf' or below, Fitch has considered qualitative factors such as
Navient's ability to call the notes upon reaching 10% pool factor,
the revolving credit agreement (RCA) in place for the benefit of
the noteholders, the long time horizon until the notes' maturity
dates, the eventual full payment of principal in modeling and the
transaction's sensitivity to small changes in assumptions.
Fitch is applying the two category rating tolerance applied to
classes with at least seven years remaining to maturity that fail
Fitch's maturity stresses but pass the credit stresses up to 'Asf'.
Classes A-6, A-7, A-8, and A-9 fails the 'Bsf' credit stress due
to missing the respective legal final maturity dates; however, the
rating tolerance is being applied based on the small margin by
which the classes fail the stress, and the long time horizon until
the notes' maturity dates.
The trust has entered into an RCA with Navient by which it may
borrow funds at maturity in order to pay the off notes. Because
Navient has the option but not the obligation to lend to the trust,
Fitch cannot give full quantitative credit to this agreement.
However, the agreement does provide qualitative comfort that
Navient is committed to limiting investors' exposure to maturity
risk.
KEY RATING DRIVERS
U.S. Sovereign Risk: The trust collateral comprises Federal Family
Education Loan Program (FFELP) loans with guaranties provided by
eligible guarantors and reinsurance provided by the U.S. Department
of Education (ED) for at least 97% of principal and accrued
interest. Fitch's U.S. sovereign rating is currently rated
'AAA'/Stable Outlook.
Collateral Performance: Fitch assumes a base case default rate of
12.5% and a 36.75% default rate under the 'AAA' credit stress
scenario. The base case default assumption of 12.5% implies a
constant default rate of 2.4% (assuming a weighted average life of
15.1 years) consistent with the trailing 12 month (TTM) average
constant default rate utilized in the maturity stresses. Fitch
applies the standard default timing curve. claim reject rate is
assumed to be 0.50% in the base case and 3% in the 'AAA' case.
The TTM average of deferment, forbearance, income-based repayment
(prior to adjustment) and constant prepayment rate (voluntary and
involuntary) are 4.9%, 9.5%, 15.5% and 8.7%, respectively, which
are used as the starting point in cash flow modeling. Subsequent
declines or increases are modeled as per criteria. The borrower
benefit is assumed to be approximately 0.14%, based on information
provided by the sponsor.
Basis and Interest Rate Risk: Fitch applies its standard basis and
interest rate stresses to this transaction as per criteria.
Payment Structure: Credit enhancement (CE) is provided by
overcollateralization, excess spread and, for the class A notes,
subordination. As of September 2016, total and senior effective
parity ratios (which include the reserve account) are,
respectively, 100.32% (0.3% CE) and 110.94% (9.9% CE). Liquidity
support is provided by a reserve account sized at the greater of
0.25% of the pool balance, and $2,251,218, currently equal to
$2,251,218. Excess cash will continue to be released as long as
100% parity is maintained.
Maturity Risk: Fitch's Student Loan ABS cash flow model indicates
that the A-5 notes are paid in full prior to the legal final
maturity dates under all rating scenarios. The A-6, A-7, A-8, and
A-9 notes do not pay off before their maturity date in Fitch's
modeling scenarios, including the base cases. If the breach of the
senior classes' maturity date triggers an event of default,
interest payments will be diverted away from the class B notes,
causing the subordinate notes to fail the base cases as well.
Operational Capabilities: Day-to-day servicing is provided by
Navient Solutions, Inc. (formerly known as Sallie Mae, Inc.). Fitch
believes Navient to be an acceptable servicer of FFELP student
loans.
CRITERIA APPLICATION
Under the 'Counterparty Criteria for Structured Finance and Covered
Bonds', dated Sept. 1, 2016, Fitch looks to its own ratings in
analyzing counterparty risk and assessing a counterparty's
creditworthiness. The definition of permitted investments for this
deal allows for the possibility of using investments not rated by
Fitch, which represents a criteria variation. Since the only
available funds to invest are those held in the Collection Account,
and the funds can only be invested for a short duration given the
payment frequency of the notes, Fitch does not believe such
variation has a measurable impact upon the ratings assigned.
The criteria allows for a rating tolerance of two categories for
classes with at least seven years remaining to maturity and that
fail the maturity stresses but pass the credit stresses up to
'Asf'. Fitch is applying this rating tolerance to classes A-6 -
A-9 despite the failures in the 'B'/Stable Outlook credit stress,
resulting in a variation to criteria. The application of this
tolerance is based on the small margin by which the notes fail the
maturity stress and the long time horizon until the notes' maturity
dates.
RATING SENSITIVITIES
'AAAsf' rated tranches of most FFELP securitizations will likely
move in tandem with the U.S. sovereign rating, given the strong
linkage to the U.S. sovereign by nature of the reinsurance and SAP
provided by ED. Sovereign risks are not addressed in Fitch's
sensitivity analysis.
Fitch conducted a CE sensitivity analysis by stressing both the
related lifetime default rate and basis spread assumptions. In
addition, Fitch conducted a maturity sensitivity analysis by
running different assumptions for the IBR usage and prepayment
rate. The results below should only be considered as one potential
model implied outcome as the transaction is exposed to multiple
risk factors that are all dynamic variables. Additionally, the
ratings shown below are determined by the lowest model implied
rating of any tranche within each class.
Credit Stress Rating Sensitivity
-- Default increase 25%: class A 'CCCsf'; class B 'CCCsf';
-- Default increase 50%: class A 'CCCsf'; class B 'CCCsf';
-- Basis Spread increase 0.25%: class A 'CCCsf'; class B
'CCCsf';
-- Basis Spread increase 0.50%: class A 'CCCsf'; class B
'CCCsf'.
Maturity Stress Rating Sensitivity
-- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf';
-- CPR increase 100%: class A 'AAsf'; class B 'CCCsf';
-- IBR Usage increase 100%: class A 'CCCsf'; class B 'CCCsf';
-- IBR Usage decrease 50%: class A 'BBsf'; class B 'BBsf'.
It is important to note that the stresses are intended to provide
an indication of the rating sensitivity of the notes to unexpected
deterioration in trust performance. Rating sensitivity should not
be used as an indicator of future rating performance.
SLM STUDENT 2010-1: Fitch Cuts Ratings on 2 Tranches to Bsf
-----------------------------------------------------------
Fitch Ratings has taken the following rating actions on SLM Student
Loan Trust 2010-1 (SLM 2010-1):
-- Class A downgraded to 'Bsf' from 'AAAsf'; removed from
Rating Watch Negative and assigned Outlook Stable;
-- Class B downgraded to 'Bsf' from 'Asf'; removed from Rating
Watch Negative and assigned Outlook Stable.
The class A notes miss their legal final maturity date under both
Fitch's credit and maturity base cases. This technical default
would result in interest payments being diverted away from class B,
which would cause that note to default as well. In downgrading to
'Bsf' rather than 'CCCsf' or below, Fitch has considered
qualitative factors such as Navient's ability to call the notes
upon reaching 10% pool factor, the revolving credit agreement in
place for the benefit of the noteholders, and the eventual full
payment of principal in modelling.
The trust has entered into a revolving credit agreement with
Navient by which it may borrow funds at maturity in order to pay
the off notes. Because Navient has the option but not the
obligation to lend to the trust, Fitch cannot give full
quantitative credit to this agreement. However, the agreement does
provide qualitative comfort that Navient is committed to limiting
investors' exposure to maturity risk.
KEY RATING DRIVERS
U.S. Sovereign Risk: The trust collateral comprises 100% Federal
Family Education Loan Program (FFELP) loans, with guaranties
provided by eligible guarantors and reinsurance provided by the
U.S. Department of Education (ED) for at least 97% of principal and
accrued interest. The U.S. sovereign rating is currently
'AAA'/Outlook Stable.
Collateral Performance: Fitch assumes a base case default rate of
19.00% and a 57.00% default rate under the 'AAAsf' credit stress
scenario. The base case default assumption of 19.00% implies a
constant default rate of 6.4% (assuming a weighted average life of
8.9 years) consistent with the trailing 12 month (TTM) average
constant default rate utilized in the maturity stresses. Fitch
applies the standard default timing curve. The claim reject rate is
assumed to be 0.50% in the base case and 3% in the 'AAAsf' case.
The trailing 12 month average of deferment, forbearance,
Income-based repayment (prior to adjustment) and constant
prepayment rate (voluntary and involuntary) are 12.4%, 15.4%, 17.1%
and 12.1%, respectively, which are used as the starting point in
cash flow modeling. Subsequent declines or increases are modeled as
per criteria. The borrower benefit is assumed to be approximately
0.05%, based on information provided by the sponsor.
Basis and Interest Rate Risk: Fitch applies its standard basis and
interest rate stresses to this transaction as per criteria.
Payment Structure: Credit enhancement is provided by excess spread
overcollateralization, and for the class A notes, subordination. As
of September 2016, total and senior effective parity ratios (with
include the reserve account), respectively, are 101.17% (1.16% CE)
and 112.68% (11.25% CE). Liquidity support is provided by a reserve
account sized at its floor of $1,211,252. Cash is being released
from the trust given that the $3 million overcollateralization
amount is maintained.
Maturity Risk: Fitch's SLABS cash flow model indicates the class A
notes, do not pay off before their maturity date in all of Fitch's
modelling scenarios, including the base cases. If the breach of the
class A maturity date triggers an event of default, interest
payments will be diverted away from the class B notes, causing them
to fail the base cases as well.
Operational Capabilities: Day-to-day servicing is provided by
Navient Solutions, Inc. (formerly known as Sallie Mae, Inc.). Fitch
believes Navient to be an acceptable servicer of FFELP student
loans.
CRITERIA VARIATIONS
Under the 'Counterparty Criteria for Structured Finance and Covered
Bonds', dated July 18, 2016, Fitch looks to its own ratings in
analyzing counterparty risk and assessing a counterparty's
creditworthiness. The definition of permitted investments for this
deal allows for the possibility of using investments not rated by
Fitch, which represents a criteria variation. Fitch does not
believe such variation has a measurable impact upon the ratings
assigned.
RATING SENSITIVITIES
'AAAsf' rated tranches of most FFELP securitizations will likely
move in tandem with the U.S. sovereign rating, given the strong
linkage to the U.S. sovereign by nature of the reinsurance and SAP
provided by ED. Sovereign risks are not addressed in Fitch's
sensitivity analysis.
Fitch conducted a CE sensitivity analysis by stressing both the
related lifetime default rate and basis spread assumptions. In
addition, Fitch conducted a maturity sensitivity analysis by
running different assumptions for the IBR usage and prepayment
rate. The results below should only be considered as one potential
model implied outcome as the transaction is exposed to multiple
risk factors that are all dynamic variables.
Credit Stress Rating Sensitivity
-- Default increase 25%: class A 'CCCsf'; class B 'CCCsf'
-- Default increase 50%: class A 'CCCsf'; class B 'CCCsf'
-- Basis Spread increase 0.25%: class A 'CCCsf'; class B
'CCCsf'
-- Basis Spread increase 0.50%: class A 'CCCsf'; class B
'CCCsf'
Maturity Stress Rating Sensitivity
-- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'
-- CPR increase 100%: class A 'AAAsf'; class B 'AAAsf'
-- IBR Usage increase 100%: class A 'CCCsf'; class B 'CCCsf'
-- IBR Usage decrease 50%: class A 'Bsf'; class B 'Bsf'
Stresses are intended to provide an indication of the rating
sensitivity of the notes to unexpected deterioration in trust
performance. Rating sensitivity should not be used as an indicator
of future rating performance.
SPRINGLEAF FUNDING 2016-A: S&P Assigns Prelim. B Rating on D Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Springleaf
Funding Trust 2016-A's asset-backed notes series 2016-A.
The note issuance is an asset-backed securities transaction backed
by personal consumer loan receivables.
The preliminary ratings are based on information as of Dec. 1,
2016. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The availability of approximately 43.3%, 36.9%, 31.0%, and
26.0% credit support to the class A, B, C, and D notes,
respectively, in the form of subordination,
overcollateralization, a reserve account, and excess spread.
-- S&P's expectation that under a moderate ('BBB') stress
scenario, the ratings on the class A, B, and C notes would
remain within two rating categories of S&P's preliminary
'A+ (sf)', 'BBB (sf)', and 'BB (sf)' ratings, respectively.
These potential rating movements are consistent with S&P's
credit stability criteria, which outline the outer bounds of
credit deterioration as equal to a two-category downgrade
within the first year for 'A (sf)' through 'BB (sf)' rated
securities under moderate stress conditions.
-- The timely interest and full principal payments expected to
be made under stressed cash flow modeling scenarios
appropriate to the assigned preliminary ratings.
-- The characteristics of the pool being securitized.
-- The operational risks associated with Springleaf Finance
Corp.'s (Springleaf) decentralized business.
-- The uncertainty concerning the integration of OneMain's
operations with OneMain Holdings Inc.'s operations. OneMain
Holdings Inc. (formerly known as Springleaf Holdings Inc.)
acquired OneMain from CitiFinancial Credit Co., a wholly
owned subsidiary of Citigroup Inc., on Nov. 15, 2015.
-- The transaction's payment and legal structures.
PRELIMINARY RATINGS ASSIGNED
Springleaf Funding Trust 2016-A
Class Prelim rtg Type Prelim amt (mil. $)
A A+ (sf) Senior 337.17
B BBB(sf) Sub 36.35
C BB (sf) Sub 25.20
D B (sf) Sub 25.87
TOWD POINT 2016-5: Fitch Assigns 'BBsf' Rating on Class B1 Notes
----------------------------------------------------------------
Fitch Ratings expects to rate Towd Point Mortgage Trust 2016-5
(TPMT 2016-5) as follows:
-- $354,378,000 class A1 notes 'AAAsf'; Outlook Stable;
-- $35,768,000 class A2 notes 'AAsf'; Outlook Stable;
-- $31,366,000 class M1 notes 'Asf'; Outlook Stable;
-- $27,514,000 class M2 notes 'BBBsf'; Outlook Stable;
-- $23,662,000 class B1 notes 'BBsf'; Outlook Stable;
-- $19,810,000 class B2 notes 'Bsf'; Outlook Stable.
The following classes will not be rated by Fitch:
-- $14,857,000 class B3 notes;
-- $21,461,000 class B4 notes;
-- $21,461,423 class B5 notes.
The notes are supported by one collateral group that consisted of
2,517 seasoned performing and re-performing mortgages with a total
balance of approximately $550.3 million (which includes $21.2
million, or 3.85%, of the aggregate pool balance in
non-interest-bearing deferred principal amounts) as of the cut-off
date.
The 'AAAsf' rating on the class A1 notes reflects the 35.60%
subordination provided by the 6.50% class A2, 5.70% class M1, 5.00%
class M2, 4.30% class B1, 3.60% class B2, 2.70% class B3, 3.90%
class B4 and 3.90% class B5 notes.
Fitch's ratings on the class notes reflect the credit attributes of
the underlying collateral, the quality of the servicer: Select
Portfolio Servicing, Inc. (SPS),rated 'RPS1-', and the
representation (rep) and warranty framework, minimal due diligence
findings and the sequential pay structure.
KEY RATING DRIVERS
Distressed Performance History (Concern): The collateral pool
consists primarily of peak-vintage seasoned re-performing loans
(RPLs), including loans that have been paying for the past 24
months, which Fitch identifies as "clean current" (71%), and loans
that are current but have recent delinquencies or incomplete
paystrings, identified as "dirty current" (29%). All loans were
current as of the cutoff date. 77.8% of the loans have received
modifications.
Due Diligence Compliance Findings (Concern): The third-party review
(TPR) firm's due diligence review resulted in approximately 10.5%
'C' and 'D' graded loans. For 61 loans, the due diligence results
showed issues regarding high cost testing - the loans were either
missing the final HUD1 or used alternate documentation to test -
and therefore a slight upward revision to the model output loss
severity (LS) was applied, as further described in the Third-Party
Due Diligence section beginning on page 6. In addition, timelines
were extended on 165 loans that were missing final modification
documents.
Servicing Transfer Risk (Concern): At the time of this presale, a
number of loans had not yet transferred to the servicer, Select
Portfolio Servicing, Inc. (SPS). The servicing transfer is expected
to be completed prior to closing. To account for the risk that some
borrowers become delinquent as a result of the servicing transfer,
Fitch increased its loss expectations 25 basis points at each
rating category. To the extent that servicing transfer
delinquencies are higher than expected in the period between the
publication of the presale and the transaction closing date, Fitch
may adjust up its loss expectations provided in the presale
report.
No Servicer P&I Advances (Mixed): The servicer will not be
advancing delinquent monthly payments of P&I, which reduces
liquidity to the trust. However, as P&I advances made on behalf of
loans that become delinquent and eventually liquidate reduce
liquidation proceeds to the trust, the loan-level LS are less for
this transaction than for those where the servicer is obligated to
advance P&I. Structural provisions and cash flow priorities,
together with increased subordination, provide for timely payments
of interest to the 'AAAsf' and 'AAsf' rated classes.
Sequential-Pay Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure whereby the subordinate classes
do not receive principal until the senior class is repaid in full.
Losses are allocated in reverse-sequential order. Furthermore, the
provision to re-allocate principal to pay interest on the 'AAAsf'
and 'AAsf' rated notes prior to other principal distributions is
highly supportive of timely interest payments to those classes, in
the absence of servicer advancing.
Limited Life of Rep Provider (Concern): FirstKey Mortgage, LLC
(FirstKey), as rep provider, will only be obligated to repurchase a
loan due to breaches prior to the payment date in January 2018.
Thereafter, a reserve fund will be available to cover amounts due
to noteholders for loans identified as having rep breaches. Amounts
on deposit in the reserve fund, as well as the increased level of
subordination, will be available to cover additional defaults and
losses resulting from rep weaknesses or breaches occurring on or
after the payment date in January 2018. If FirstKey does not
fulfill its obligation to repurchase a mortgage loan due to a
breach, Cerberus Global Residential Mortgage Opportunity Fund, L.P.
(the responsible party) will repurchase the loan.
Tier 2 Representation Framework (Concern): Fitch considers the
representation, warranty, and enforcement (RW&E) mechanism
construct for this transaction to be consistent with what it views
as a Tier 2 framework, due to the inclusion of knowledge qualifiers
and the exclusion of loans from certain reps as a result of
third-party due diligence findings. Thus, Fitch increased its
'AAAsf' loss expectations by roughly 229 bps to account for a
potential increase in defaults and losses arising from weaknesses
in the reps.
Timing of Recordation and Document Remediation (Neutral): An
updated title and tax search, as well as a review to confirm that
the mortgage and subsequent assignments were recorded in the
relevant local jurisdiction, was also performed. Per the
representations provided in the transaction documents, all loans
have either all been recorded in the appropriate jurisdiction, are
in the process of being recorded, or will be sent for recordation
within 12 months of the closing date.
While the expected timelines for recordation and remediation are
viewed by Fitch as reasonable, Fitch believes that FirstKey's
oversight for completion of these activities serves as a strong
mitigant to potential delays. In addition, the obligation of
FirstKey or Cerberus Global Residential Mortgage Opportunity Fund,
L.P. to repurchase loans, for which assignments are not recorded
and endorsements are not completed by the payment date in January
2018, aligns the issuer's interests regarding completing the
recordation process with those of noteholders.
Clean Current Loans (Positive): Fitch's analysis of loans that have
had clean pay histories for 24 months or more found that, for these
loans, its loan loss model projected a probability of default (PD)
that was more punitive than that indicated by actual delinquency
roll rate projections. To account for this difference, Fitch
reduced the pool's lifetime default expectations by approximately
9.3%.
Deferred Amounts (Negative): Non-interest-bearing principal
forbearance amounts totaling $21.48 million (3.90%) of the unpaid
principal balance) are outstanding on 548 loans. Fitch included the
deferred amounts when calculating the borrower's LTV and sLTV
despite the lower payment and amounts not being owed during the
term of the loan. The inclusion resulted in higher PDs and LS than
if there were no deferrals. Fitch believes that borrower default
behavior for these loans will resemble that of the higher LTVs, as
exit strategies (that is, sale or refinancing) will be limited
relative to those borrowers with more equity in the property.
Solid Alignment of Interest (Positive): A majority-owned affiliate
of FirstKey will acquire and retain a 5% eligible vertical interest
in each class of the securities to be issued.
CRITERIA APPLICATION
Fitch's analysis incorporated one criteria variations from the
"U.S. RMBS Seasoned and Re-performing Loan Criteria" as described
below.
The variation is non application of a default penalty to income
documentation for loans with less than full income documentation
that are over five years seasoned. Fitch conducted analysis
comparing the performance between loans that were full
documentation and non-full documentation at origination. The
analysis showed that after 5 years of seasoning, the performance
was similar. The impact on the loss expectations from application
of this variation resulted in lower loss expectations of roughly
100 basis points depending on the rating category.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the metropolitan statistical area (MSA) and
national levels. The implied rating sensitivities are only an
indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to or be
considered in the surveillance of the transaction.
Fitch conducted sensitivity analysis determining how the ratings
would react to steeper MVDs at the national level. The analysis
assumes MVDs of 10%, 20%, and 30%, in addition to the
model-projected 37.4% at 'AAAsf'. The analysis indicates there is
some potential rating migration with higher MVDs, compared with the
model projection.
Fitch also conducted sensitivities to determine the stresses to
MVDs that would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'.
Fitch's stress and rating sensitivity analysis are discussed in its
presale report released today 'Towd Point Mortgage Trust 2016-5'.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by WestCor Land Title Insurance Company (WestCor), Clayton
Holdings LLC, and American Mortgage Consultants (AMC)/JCIII &
Associates, Inc. (JCIII). The third-party due diligence described
in Form 15E focused on: regulatory compliance, pay history,
servicing comments, the presence of key documents in the loan file
and data integrity. In addition, Westcor and AMC were retained to
perform an updated title and tax search, as well as a review to
confirm that the mortgages were recorded in the relevant local
jurisdiction and the related assignment chains.
A regulatory compliance and data integrity review was completed on
100% of the pool. A pay history review was conducted on 100% of the
pool, and a servicing comment review was completed on the loans
which have experienced a delinquency in the past 12 months.
Fitch considered this information in its analysis and based on the
findings, Fitch made minor adjustments to its analysis:
Fitch made an adjustment on 61 loans that were subject to federal,
state, and/or local predatory testing. These loans contained
material violations including an inability to test for high cost
violations or confirm compliance, which could expose the trust to
potential assignee liability. These loans were marked as
'indeterminate'. Typically the HUD issues are related to missing
the Final HUD, illegible HUDs, incomplete HUDs due to missing
pages, or only having estimated HUDs. The final HUD1 was not used
to test for High Cost loans. To mitigate this risk, Fitch assumed a
100% LS for loans in the states that fall under Freddie Mac's do
not purchase list of 'high cost' or 'high risk'. 10 loans were
affected by this approach.
For the remaining 51 loans, where the properties are not located in
the states that fall under Freddie Mac's do not purchase list, the
likelihood of all loans being high cost is low. However, we assume
the trust could potentially incur notable legal expenses. Fitch
increased its loss severity expectations by 5% for these loans to
account for the risk.
There were 165 loans missing modification documents or a signature
on modification documents. For these loans, timelines were extended
by an additional three months, in addition to the six-month
timeline extension applied to the entire pool.
UBS-CITIGROUP 2011-C1: Moody's Affirms Ba2 Rating on Class F Notes
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on three classes
and affirmed the ratings on nine classes in UBS-Citigroup
Commercial Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2011-C1 as follows:
-- Cl. A-2, Affirmed Aaa (sf); previously on Jul 28, 2016
Affirmed Aaa (sf)
-- Cl. A-3, Affirmed Aaa (sf); previously on Jul 28, 2016
Affirmed Aaa (sf)
-- Cl. A-AB, Affirmed Aaa (sf); previously on Jul 28, 2016
Affirmed Aaa (sf)
-- Cl. A-S, Affirmed Aaa (sf); previously on Jul 28, 2016
Affirmed Aaa (sf)
-- Cl. B, Upgraded to Aa1 (sf); previously on Jul 28, 2016
Affirmed Aa2 (sf)
-- Cl. C, Upgraded to A1 (sf); previously on Jul 28, 2016
Affirmed A2 (sf)
-- Cl. D, Upgraded to A3 (sf); previously on Jul 28, 2016
Affirmed Baa1 (sf)
-- Cl. E, Affirmed Baa3 (sf); previously on Jul 28, 2016
Affirmed Baa3 (sf)
-- Cl. F, Affirmed Ba2 (sf); previously on Jul 28, 2016
Affirmed Ba2 (sf)
-- Cl. G, Affirmed B2 (sf); previously on Jul 28, 2016 Affirmed
B2 (sf)
-- Cl. X-A, Affirmed Aaa (sf); previously on Jul 28, 2016
Affirmed Aaa (sf)
-- Cl. X-B, Affirmed Ba3 (sf); previously on Jul 28, 2016
Affirmed Ba3 (sf)
RATINGS RATIONALE
The ratings on three P&I classes, Classes B, C and D, were upgraded
based primarily on an increase in credit support resulting from
loan paydowns and amortization. The deal has paid down 18% since
Moody's last review and 29% since securitization.
The ratings on seven P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on the IO classes X-A and X-B were affirmed based on
the credit performance (or the weighted average rating factor or
WARF) of the referenced classes.
Moody's rating action reflects a base expected loss of 2.8% of the
current balance, compared to 2.5% at Moody's last review. Moody's
base expected loss plus realized losses is now 2.0% of the original
pooled balance, compared to 2.2% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodologies used in these ratings were "Approach to
Rating US and Canadian Conduit/Fusion CMBS" published in December
2014, and "Moody's Approach to Rating Large Loan and Single
Asset/Single Borrower CMBS" published in October 2015.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based CMBS Conduit Model, which it
uses for both conduit and fusion transactions. Credit enhancement
levels for conduit loans are driven by property type, Moody's
actual and stressed DSCR, and Moody's property quality grade (which
reflects the capitalization rate Moody's uses to estimate Moody's
value). Moody's fuses the conduit results with the results of its
analysis of investment grade structured credit assessed loans and
any conduit loan that represents 10% or greater of the current pool
balance.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 15, compared to 17 at 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 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 November 10, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 29% to $481 million
from $674 million at securitization. The certificates are
collateralized by 27 mortgage loans ranging in size from less than
1% to 14% of the pool, with the top ten loans constituting 56% of
the pool. Three loans, constituting 18% of the pool, have defeased
and are secured by US government securities.
Three loans, constituting 16% 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.
One loan has been liquidated from the pool, resulting in an
aggregate realized loss of approximately $82,000 (for a loss
severity of 1.1%). One loan, the Chicago Portfolio Loan ($18.7
million -- 3.9% of the pool), is currently in special servicing.
The loan secured by three commercial properties totaling 124,750
square feet (SF) and 246 parking spaces located in Chicago,
Illinois. The loan transferred to special servicing on April 25,
2016. A Notice of Default and Right to Cure was sent to the
borrower due to their failure to provide property financials. A
default letter was sent to obligors on May 10, 2016 and motions for
appointment of receiver were filed on October 11, 2016. The Special
Servicer has visited the assets and is in the process of obtaining
updated collateral financials.
Moody's has assumed a high default probability for an additional
poorly performing loan, constituting 1% of the pool, and has
estimated an aggregate loss of $6 million (a 25% expected loss on
average) from these troubled and specially serviced loans.
Moody's received full year 2015 operating results for 94% of the
pool, and partial year 2016 operating results for 24% of the pool.
Moody's weighted average conduit LTV is 87%, compared to 82% at
Moody's last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 13% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 10%.
Moody's actual and stressed conduit DSCRs are 1.45X and 1.27X,
respectively, compared to 1.53X and 1.32X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 26% of the pool balance. The
largest loan is the Poughkeepsie Galleria Loan ($66.2 million --
13.8% of the pool), which is secured by a 691,000 square foot (SF)
portion of a 1.2 million SF regional mall located about 70 miles
north of New York City in Poughkeepsie, New York. The property
attracts visitors from across the Hudson River and east into
Connecticut. Mall anchors include J.C. Penney, Regal Cinemas, and
Dick's Sporting Goods as part of the collateral. Non-collateral
anchors include Macy's, Best Buy, Target and Sears. As per the
March 2016 rent roll the property was 93% occupied compared to the
June 2015 total mall occupancy of 95%. The loan represents a pari
passu portion of a total $147.1 million mortgage loan, and the
asset is also encumbered by $21 million of mezzanine debt. In May
2016, the borrower was notified that due to the mezzanine and
mortgage debt DSCR falling below 1.05, a Cash Sweep Trigger Event
has occurred requiring the loan to be cash managed with excess cash
flow being held in reserve by the servicer. Until the Cash Sweep
Trigger Event is cured, the borrower will not have access to the
excess funds. Moody's A-note LTV and stressed DSCR are 93% and
1.07X, respectively, compared to 94% and 1.07X at the last review.
The second largest loan is the One Montgomery Street Loan ($30.7
million -- 6.4% of the pool), which is secured by the Borrower's
fee simple interest in a 75,880 SF Class A, mixed use property
located in San Francisco, CA. The collateral is currently 100%
occupied by Wells Fargo Bank, N.A. (Moody's senior unsecured rating
-- Aa2, stable outlook), and has been since securitization. Due to
single-tenant exposure, Moody's incorporated a lit/dark analysis.
Moody's LTV and stressed DSCR are 117% and 0.88X, respectively,
compared to 114% and 0.91X at the last review.
The third largest loan is the Sun Products Distribution Center Loan
($25.9 million -- 5.4% of the pool), which is secured by a 1.4
million SF industrial property located in Bowling Green, KY. The
property has been 100% occupied by Sun Products Corp. since
securitization, with a lease extending through February 2032. Due
to single-tenant exposure, Moody's incorporated a lit/dark
analysis. Moody's LTV and stressed DSCR are 74% and 1.52X,
respectively, compared to 75% and 1.50X at the last review.
WELLS FARGO 2011-C2: Fitch Affirms 'Bsf' Rating on Class F Certs
----------------------------------------------------------------
Fitch Ratings has affirmed eight classes of Wells Fargo Bank, N.A.
(WFRBS) Commercial Mortgage Trust 2011-C2 commercial mortgage
pass-through certificates.
In addition, Fitch has issued a focus report on this transaction.
The report provides a detailed and up-to-date perspective on key
credit characteristics of the WFRBS 2011-C2 transaction and
property-level performance of the related trust loans.
KEY RATING DRIVERS
The affirmations are based on the stable performance of the
underlying collateral pool. As of the October 2016 distribution
date, the pool's aggregate principal balance has been reduced by
36.2% to $828.4 million from $1.3 billion at issuance. All loans
are performing with no historical delinquency and no loans in
special servicing. Eight loans totaling 20.7% of total pool
balance are currently defeased.
Stable Performance: Performance of the pool has been stable since
issuance with no loans delinquent or in special servicing.
Fitch Loan of Concern: The Aviation Mall loan, which accounts for
2.7% of the pool, has been flagged as a Fitch Loan of Concern due
to declining occupancy and historically weak sales. Occupancy has
decreased to 78% as of June 2016 from 96.1% as of March 2011.
Tenant departures have included major tenants, such as TJMaxx which
formerly accounted for 4.8% of NRA and has relocated at a
neighboring center.
Substantial Paydown: As of the October 2016 remittance
approximately 36.2% of the pool has paid off including five (25.4%)
of the original top 20 loans. Additionally, approximately 93.2% of
the remaining pool is amortizing with approximately
$1.3 million in scheduled principal received October 2016.
Defeasance Collateral: Eight loans totaling approximately 20.7% of
the remaining pool are defeased. This includes three of the
original top 20 loans (11.6% of original pool balance). In total,
49.4% of the original pool has paid down or is defeased.
High Retail Concentration: Approximately 49.5% of the loans in the
pool are backed by retail properties. When excluding the defeased
loans, this increases to 59% of the pool. This includes three
regional malls which comprise 13.2% of the total pool balance.
Highly Concentrated Pool: The top 10 and 15 loans in the pool
account for approximately 61.2% and 75% of pool balances,
respectively.
The Aviation Mall (2.7% of the pool) is a 504,675 sf regional mall
located in Queensbury, NY, approximately 53 miles north of Albany.
The mall is anchored by JCPenney, Bon-Ton. Occupancy at the stores
has declined to 78% as of June 2016 from 96.1% as of March, 2011.
The decline in occupancy includes the departure of notable tenants
such as TJMaxx which formerly occupied 4.8% of NRA. Sales at the
stores were historically weak, with the stores reflecting a
combined average of $113 psf, $123 psf, and $129 in 2009, 2008, and
2007, respectively.
RATING SENSITIVITIES
Fitch's ratings reflect an additional sensitivity related to the
Aviation Mall loan (2.7%), which has seen a decline in occupancy.
The Rating Outlooks on classes B, C, and D remain positive due to
the high amount of amortization and defeasance. Upgrades may occur
with additional paydown or defeasance and with sustained stable
performance of the Aviation Mall.
Fitch has affirmed these classes:
-- $112.4 million class A-3 at 'AAAsf'; Outlook Stable;
-- $493.2 million class A-4 at 'AAAsf'; Outlook Stable;
-- $807.9 million* class X-A at 'AAAsf'; Outlook stable;
-- $39 million class B at 'AAsf'; Outlook Positive;
-- $43.9 million class C at 'Asf'; Outlook Positive;
-- $68.2 million class D at 'BBB-sf'; Outlook Positive;
-- $21.1 million class E at 'BBsf'; Outlook Stable;
-- $14.6 million class F at 'Bsf'; Outlook Stable.
*Notional amount and interest-only.
Classes A-1 and A-2 have paid in full. Fitch does not rate the
class G and X-B certificates.
WELLS FARGO 2012-C6: Fitch Affirms 'Bsf' Rating on Class F Certs
----------------------------------------------------------------
Fitch Ratings has affirmed 10 classes of Wells Fargo Commercial
Mortgage Securities Inc. (WFRBS) commercial mortgage pass-through
certificates series 2012-C6.
Fitch has issued a focus report on this transaction. The report
provides a detailed and up-to-date perspective on key credit
characteristics of the WFRBS 2012-C6 transaction and property-level
performance of the related trust loans.
KEY RATING DRIVERS
The affirmations are based on the stable performance of the
underlying collateral. As of the October 2016 distribution date,
the pool's aggregate principal balance has been reduced by 17.5% to
$763.2 million from $925 million at issuance. There is one loan in
special servicing (0.3%) and five loans are defeased (8.8%). Eight
loans (10.1%) appear on the servicer watchlist due to declines in
debt service coverage ratio (DSCR) or occupancy, large tenant lease
expiration, and a pending loan maturity.
Stable Performance: Overall pool performance remains stable from
issuance. As of year-end 2015, aggregate pool-level NOI improved
2.2% from 2014 and remains 4.5% higher than NOI at issuance.
Moderate Paydown and Defeasance: The transaction has paid down
17.5% from issuance including the payoff of the second largest
loan, Windsor Hotel Portfolio II. Additionally, five loans (8.8%)
are defeased including the third largest loan, WPC Self-Storage
Portfolio (6.3%).
Transaction Amortization: Except for one interest-only loan (1.2%),
all of the loans in the pool are amortizing as of October 2016.
Twenty-eight loans, representing 25.5% of the pool, amortize on
schedules of 25 years or less.
Granular Pool: With 83 loans, 143 properties, and a top 10
concentration of only 37.3%, this transaction is more diverse than
other CMBS multiborrower transactions. Loans secured by multiple
assets or cross collateralization represent 18.1% of the pool. The
average loan size is $9.2 million as compared to $19 million for
Fitch-rated transactions in the 2012 vintage.
High Retail Exposure: Loans backed by retail properties represent
39.4% of the pool, including seven within the top 15. Eleven loans
(16.1%) have exposure to grocery anchor tenants. None of the
retail loans have regional mall exposure.
Substantial Geographic Concentration: The pool is geographically
concentrated with 38 properties (29.7% of the pool) located in
California, including five of the top 15 loans. The properties are
located in 10 different MSAs, with 28 properties (20.6%) located in
Southern California and 10 (9.1%) in Northern California.
The specially serviced asset (0.3% of the pool) is secured by a
541-unit self-storage facility located in Ft. Worth, TX. The loan
transferred in April 2015 due to the bankruptcy filing of a
guarantor. The loan has remained current, as the guarantor's
bankruptcy case is still pending. A rent roll dated June 2016
indicates that the property is 88% occupied. The DSCR as of June
2016 was reported to be 2.45x.
Two notable loans of concern include the following loans:
The Commerce Park IV & V loan (1.84%) is secured by a 229,459
square foot (sf) office property in Beachwood, OH. As of October
2016, occupancy declined to 83% from 92% at issuance. As a result
of deteriorating occupancy trends, NOI has declined 26% from
issuance. YE2015 NOI DSCR was 1.48x as compared to 2.01x at
issuance. The loan is current as of the October 2016 remittance.
The Holiday Inn - Odessa loan (0.98%) is secured by a 102-key
full-service hotel in Odessa, TX. As of March 2016, occupancy had
declined to 54% from 72% in 2014 and 84% at issuance. The property
is located in the oil and gas region of Texas, which has
experienced declines in economic performance. As of March 2016,
occupancy had declined to 54% with NOI DSCR of 1.10x as compared to
84% and 1.94x at issuance. The loan is current as of the October
2016 remittance.
RATING SENSITIVITIES
Rating Outlooks for all classes remain Stable due to overall stable
performance of the pool and continued amortization. Upgrades may
occur with improved pool performance and additional paydown or
defeasance. Downgrades to the classes are possible should overall
pool performance decline.
Fitch affirms these classes:
-- $32.4 million class A2 at 'AAAsf'; Outlook Stable;
-- $67.8 million class A3 at 'AAAsf'; Outlook Stable;
-- $385.4 million class A4 at 'AAAsf'; Outlook Stable;
-- $586.3 million class X-A at 'AAAsf'; Outlook Stable;
-- $100.6 million class AS at 'AAAsf'; Outlook Stable;
-- $42.8 million class B at 'AAsf'; Outlook Stable;
-- $31.2 million class C at 'Asf'; Outlook Stable;
-- $47.4 million class D at 'BBB-sf'; Outlook Stable;
-- $13.9 million class E at 'BBsf'; Outlook Stable;
-- $13.9 million class F at 'Bsf'; Outlook Stable.
Fitch does not rate the class X-B or G certificates.
WEST CLO 2012-1: S&P Affirms BB- Rating on Class D Notes
--------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1R and A-2R
replacement notes from West CLO 2012-1 Ltd., a U.S. collateralized
loan obligation (CLO) transaction managed by Allianz Global
Investors Capital. S&P withdrew its ratings on the transaction's
original class A-1 and A-2 notes after they were fully redeemed.
S&P also affirmed its ratings on the class B, C, and D notes, which
were not part of the refinancing.
On the Nov. 30, 2016, refinancing date, proceeds from the A-1R and
A-2R replacement note issuance were used to redeem the A-1 and A-2
original notes, as outlined in the transaction document provisions.
Therefore, S&P withdrew the ratings on the transaction's original
notes in line with their full redemption, and assigned ratings to
the transaction's replacement notes.
The ratings reflect S&P's opinion that the credit support available
is commensurate with the associated rating levels.
S&P will continue to review whether, in its view, the ratings
assigned to the transaction remain consistent with the credit
enhancement available to support them, and S&P will take rating
actions as it deems necessary.
RATINGS ASSIGNED
West CLO 2012-1 Ltd.
Replacement class Rating Amount (mil. $)
A-1R AAA (sf) 292.50
A-2R AA (sf) 42.75
RATINGS WITHDRAWN
West CLO 2012-1 Ltd.
Rating
Original class To From Amount (mil. $)
A-1 NR AAA (sf) 292.50
A-2 NR AA (sf) 42.75
RATINGS AFFIRMED
West CLO 2012-1 Ltd.
Class Rating Amount (mil. $)
B A (sf) 37.30
C BBB (sf) 20.55
D BB- (sf) 19.80
UNAFFECTED CLASS
West CLO 2012-1 Ltd.
Class Rating Amount (mil. $)
Subordinated notes NR 46.70
NR--Not rated.
[*] DBRS Reviews 2,108 Classes From 98 U.S. RMBS Transactions
-------------------------------------------------------------
DBRS, Inc. reviewed 2,108 classes from 96 U.S. residential
mortgage-backed security (RMBS) transactions. Of the 2,108 classes
reviewed, 1,921 ratings were confirmed and 187 ratings were
upgraded.
The rating upgrades reflect positive performance trends and that
these classes have experienced increases in credit support
sufficient to withstand stresses at their new rating level. For
transactions where the rating has been confirmed, current asset
performance and credit support levels have been consistent with the
current rating.
The rating actions are the result of DBRS applying its updated
“RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities
Model and Rating Methodology” published on November 28, 2016.
The transactions consist of U.S. RMBS transactions. The pools
backing these transactions consist of Reperforming, Agency Credit,
Seasoned, Scratch and Dent, and Prime Jumbo collateral.
The ratings assigned to the following securities differ from the
rating(s) implied by the quantitative model. DBRS considers this
difference to be a material deviation, but in this case, the
ratings of the subject notes reflect the structural features and
historical performance that constrain the quantitative model
output.
-- Agate Bay Mortgage Trust 2014-3, Mortgage Pass-Through
Certificates, Series 2014-3, Class B-3
-- Agate Bay Mortgage Trust 2014-3, Mortgage Pass-Through
Certificates, Series 2014-3, Class B-4
-- Agate Bay Mortgage Trust 2014-2, Mortgage Pass-Through
Certificates, Series 2014-2, Class B-3
-- Agate Bay Mortgage Trust 2014-2, Mortgage Pass-Through
Certificates, Series 2014-2, Class B-4
-- Agate Bay Mortgage Trust 2015-1, Mortgage Pass-Through
Certificates, Series 2015-1, Class B-3
-- Agate Bay Mortgage Trust 2015-1, Mortgage Pass-Through
Certificates, Series 2015-1, Class B-4
-- Agate Bay Mortgage Trust 2015-2, Mortgage Pass-Through
Certificates, Series 2015-2, Class B-2
-- Agate Bay Mortgage Trust 2015-2, Mortgage Pass-Through
Certificates, Series 2015-2, Class B-3
-- Agate Bay Mortgage Trust 2015-4, Mortgage Pass-Through
Certificates, Series 2015-4, Class B-2
-- Agate Bay Mortgage Trust 2015-4, Mortgage Pass-Through
Certificates, Series 2015-4, Class B-3
-- Agate Bay Mortgage Trust 2015-4, Mortgage Pass-Through
Certificates, Series 2015-4, Class B-4
-- Agate Bay Mortgage Trust 2015-5, Mortgage Pass-Through
Certificates, Series 2015-5, Class B-2
-- CSMLT 2015-1 Trust, Mortgage Pass-Through Certificates,
Series 2015-1, Class B-2
-- CSMLT 2015-1 Trust, Mortgage Pass-Through Certificates,
Series 2015-1, Class B-3
-- CSMLT 2015-1 Trust, Mortgage Pass-Through Certificates,
Series 2015-1, Class B-4
-- CSMLT 2015-1 Trust, Mortgage Pass-through Certificates,
Series 2015-1, Class A-IO-S
-- CSMLT 2015-2 Trust, Mortgage Pass-Through Certificates,
Series 2015-2, Class A-IO-S
-- CSMC Series 2010-16, CSMC Series 2010-16 Securities, Class
A-4
-- CSMC Trust 2013-IVR1 Mortgage Pass-Through Certificates,
Series 2013-IVR1, Class B-3
-- CSMC Trust 2013-IVR1 Mortgage Pass-Through Certificates,
Series 2013-IVR1, Class B-4
-- CSMC Trust 2013-IVR1, Mortgage Pass-through Certificates,
Series 2013-IVR2, Class B-3
-- CSMC Trust 2013-IVR2, Mortgage Pass-through Certificates,
Series 2013-IVR2, Class B-4
-- CSMC Trust 2013-IVR2, Mortgage Pass-through Certificates,
Series 2013-IVR2, Class A-IO-S
-- CSMC Trust 2013-IVR3, Mortgage Pass-through Certificates,
Series 2013-IVR3, Class B-3
-- CSMC Trust 2013-IVR3, Mortgage Pass-through Certificates,
Series 2013-IVR3, Class B-4
-- CSMC Trust 2013-IVR3, Mortgage Pass-through Certificates,
Series 2013-IVR3, Class A-IO-S
-- CSMC Trust 2013-IVR4, Mortgage Pass-through Certificates,
Series 2013-IVR4, Class B-3
-- CSMC Trust 2013-IVR4, Mortgage Pass-through Certificates,
Series 2013-IVR4, Class B-4
-- CSMC Trust 2013-IVR4, Mortgage Pass-through Certificates,
Series 2013-IVR4, Class A-IO-S
-- CSMC Trust 2013-HYB1, Mortgage Pass-through Certificates,
Series 2013-HYB1, Class B-3
-- CSMC Trust 2013-HYB1, Mortgage Pass-through Certificates,
Series 2013-HYB1, Class B-4
-- CSMC Trust 2013-HYB1, Mortgage Pass-through Certificates,
Series 2013-HYB1, Class A-IO-S
-- CSMC Trust 2013-6, Mortgage Pass-Through Certificates,
Series 2013-6, Class B-3
-- CSMC Trust 2013-6, Mortgage Pass-Through Certificates,
Series 2013-6, Class B-4
-- CSMC Trust 2013-6, Mortgage Pass-through Certificates,
Series 2013-6, Class IO-S-1
-- CSMC Trust 2013-6, Mortgage Pass-through Certificates,
Series 2013-6, Class IO-S-2
-- CSMC Trust 2013-6, Mortgage Pass-through Certificates,
Series 2013-6, Class A-IO-S
-- CSMC Trust 2013-7, Mortgage Pass-Through Certificates,
Series 2013-7, Class B-3
-- CSMC Trust 2013-7, Mortgage Pass-Through Certificates,
Series 2013-7, Class B-4
-- CSMC Trust 2013-7, Mortgage Pass-through Certificates,
Series 2013-7, Class A-IO-S
-- CSMC Trust 2013-IVR5, Mortgage Pass-Through Certificates,
Series 2013-IVR5, Class B-3
-- CSMC Trust 2013-IVR5, Mortgage Pass-Through Certificates,
Series 2013-IVR5, Class B-4
-- CSMC Trust 2013-IVR5, Mortgage Pass-through Certificates,
Series 2013-IVR5, Class A-IO-S
-- CSMC Trust 2014-IVR1, Mortgage Pass-Through Certificates,
Series 2014-IVR1, Class B-3
-- CSMC Trust 2014-IVR1, Mortgage Pass-Through Certificates,
Series 2014-IVR1, Class B-4
-- CSMC Trust 2014-IVR1, Mortgage Pass-through Certificates,
Series 2014-IVR1, Class A-IO-S
-- CSMC Trust 2014-SAF1, Mortgage Pass-Through Certificates,
Series 2014-SAF1, Class B-3
-- CSMC Trust 2014-SAF1, Mortgage Pass-Through Certificates,
Series 2014-SAF1, Class B-4
-- CSMC Trust 2014-SAF1, Mortgage Pass-through Certificates,
Series 2014-SAF1, Class A-IO-S
-- CSMC Trust 2014-IVR2, Mortgage Pass-Through Certificates,
Series 2014-IVR2, Class B-3
-- CSMC Trust 2014-IVR2, Mortgage Pass-Through Certificates,
Series 2014-IVR2, Class B-4
-- CSMC Trust 2014-IVR2, Mortgage Pass-through Certificates,
Series 2014-IVR2, Class A-IO-S
-- CSMC Trust 2014-IVR3, Mortgage Pass-Through Certificates,
Series 2014-IVR3, Class B-3
-- CSMC Trust 2014-IVR3, Mortgage Pass-Through Certificates,
Series 2014-IVR3, Class B-4
-- CSMC Trust 2014-IVR3, Mortgage Pass-through Certificates,
Series 2014-IVR3, Class A-IO-S
-- CSMC Trust 2014-WIN1, Mortgage Pass-Through Certificates,
Series 2014-WIN1, Class B-3
-- CSMC Trust 2014-WIN1, Mortgage Pass-Through Certificates,
Series 2014-WIN1, Class B-4
-- CSMC Trust 2014-WIN1, Mortgage Pass-through Certificates,
Series 2014-WIN1, Class IO-S-1
-- CSMC Trust 2014-WIN1, Mortgage Pass-through Certificates,
Series 2014-WIN1, Class IO-S-2
-- CSMC Trust 2014-WIN1, Mortgage Pass-through Certificates,
Series 2014-WIN1, Class A-IO-S
-- CSMC Trust 2014-WIN2, Mortgage Pass-Through Certificates,
Series 2014-WIN2, Class B-3
-- CSMC Trust 2014-WIN2, Mortgage Pass-Through Certificates,
Series 2014-WIN2, Class B-4
-- CSMC Trust 2014-WIN2, Mortgage Pass-through Certificates,
Series 2014-WIN2, Class A-IO-S
-- CSMC Trust 2014-OAK1, Mortgage Pass-Through Certificates,
Series 2014-OAK1, Class B-3
-- CSMC Trust 2015-WIN1, Mortgage Pass-Through Certificates,
Series 2015-WIN1, Class B-3
-- CSMC Trust 2015-WIN1, Mortgage Pass-Through Certificates,
Series 2015-WIN1, Class B-4
-- CSMC Trust 2015-WIN1, Mortgage Pass-through Certificates,
Series 2015-WIN1, Class A-IO-S
-- CSMC Trust 2015-1, Mortgage Pass-Through Certificates,
Series 2015-1, Class B-2
-- CSMC Trust 2015-1, Mortgage Pass-Through Certificates,
Series 2015-1, Class B-3
-- CSMC Trust 2015-2, Mortgage Pass-Through Certificates,
Series 2015-2, Class B-4
-- CSMC Trust 2015-2, Mortgage Pass-through Certificates,
Series 2015-2, Class A-IO-S
-- CSMC Trust 2015-3, Mortgage Pass-Through Certificates,
Series 2015-3, Class B-3
-- CSMC Trust 2015-3, Mortgage Pass-Through Certificates,
Series 2015-3, Class B-4
-- CSMC Trust 2015-3, Mortgage Pass-through Certificates,
Series 2015-3, Class A-IO-S
-- CSMLT 2015-3 Trust, Mortgage Pass-Through Certificates,
Series 2015-3, Class IO-S-1
-- CSMLT 2015-3 Trust, Mortgage Pass-Through Certificates,
Series 2015-3, Class IO-S-2
-- CSMLT 2015-3 Trust, Mortgage Pass-Through Certificates,
Series 2015-3, Class IO-S-3
-- CSMLT 2015-3 Trust, Mortgage Pass-Through Certificates,
Series 2015-3, Class A-IO-S
-- Citigroup Mortgage Loan Trust 2013-J1, Mortgage Pass-Through
Certificates, Series 2013-J1, Class B-3
-- Citigroup Mortgage Loan Trust 2013-J1, Mortgage Pass-Through
Certificates, Series 2013-J1, Class B-4
-- Citigroup Mortgage Loan Trust 2014-A, Mortgage Backed-Notes,
Series 2014-A, Class B-2
-- Citigroup Mortgage Loan Trust 2014-A, Mortgage Backed-Notes,
Series 2014-A, Class B-3
-- Citigroup Mortgage Loan Trust 2014-A, Mortgage Backed-Notes,
Series 2014-A, Class B-4
-- Citigroup Mortgage Loan Trust 2014-J1, Mortgage Pass Through
Certificates, Series 2014-J1, Class B-3
-- Citigroup Mortgage Loan Trust 2014-J1, Mortgage Pass Through
Certificates, Series 2014-J1, Class B-4
-- Citigroup Mortgage Loan Trust 2014-J2, Mortgage Pass Through
Certificates, Series 2014-J2, Class B-3
-- Citigroup Mortgage Loan Trust 2014-J2, Mortgage Pass Through
Certificates, Series 2014-J2, Class B-4
-- Citigroup Mortgage Loan Trust 2015-A, Mortgage Backed-Notes,
Series 2015-A, Class A-1
-- Citigroup Mortgage Loan Trust 2015-A, Mortgage Backed-Notes,
Series 2015-A, Class A-1-IO
-- Citigroup Mortgage Loan Trust 2015-A, Mortgage Backed-Notes,
Series 2015-A, Class A
-- Citigroup Mortgage Loan Trust 2015-A, Mortgage Backed-Notes,
Series 2015-A, Class A-2
-- Citigroup Mortgage Loan Trust 2015-A, Mortgage Backed-Notes,
Series 2015-A, Class A-2-IO
-- Citigroup Mortgage Loan Trust 2015-A, Mortgage Backed-Notes,
Series 2015-A, Class A-3
-- Citigroup Mortgage Loan Trust 2015-A, Mortgage Backed-Notes,
Series 2015-A, Class A-3-IO
-- Citigroup Mortgage Loan Trust 2015-A, Mortgage Backed-Notes,
Series 2015-A, Class A-4
-- Citigroup Mortgage Loan Trust 2015-A, Mortgage Backed-Notes,
Series 2015-A, Class A-4-IO
-- Citigroup Mortgage Loan Trust 2015-A, Mortgage Backed-Notes,
Series 2015-A, Class AA
-- Citigroup Mortgage Loan Trust 2015-A, Mortgage Backed-Notes,
Series 2015-A, Class AB
-- Citigroup Mortgage Loan Trust 2015-A, Mortgage Backed-Notes,
Series 2015-A, Class AC
-- Citigroup Mortgage Loan Trust 2015-A, Mortgage Backed-Notes,
Series 2015-A, Class A-1A
-- Citigroup Mortgage Loan Trust 2015-A, Mortgage Backed-Notes,
Series 2015-A, Class A-1B
-- Citigroup Mortgage Loan Trust 2015-A, Mortgage Backed-Notes,
Series 2015-A, Class A-1C
-- Citigroup Mortgage Loan Trust 2015-A, Mortgage Backed-Notes,
Series 2015-A, Class A-2A
-- Citigroup Mortgage Loan Trust 2015-A, Mortgage Backed-Notes,
Series 2015-A, Class A-2B
-- Citigroup Mortgage Loan Trust 2015-A, Mortgage Backed-Notes,
Series 2015-A, Class A-2C
-- Citigroup Mortgage Loan Trust 2015-A, Mortgage Backed-Notes,
Series 2015-A, Class A-3A
-- Citigroup Mortgage Loan Trust 2015-A, Mortgage Backed-Notes,
Series 2015-A, Class A-3B
-- Citigroup Mortgage Loan Trust 2015-A, Mortgage Backed-Notes,
Series 2015-A, Class A-3C
-- Citigroup Mortgage Loan Trust 2015-A, Mortgage Backed-Notes,
Series 2015-A, Class A-4A
-- Citigroup Mortgage Loan Trust 2015-A, Mortgage Backed-Notes,
Series 2015-A, Class A-4B
-- Citigroup Mortgage Loan Trust 2015-A, Mortgage Backed-Notes,
Series 2015-A, Class A-4C
-- Citigroup Mortgage Loan Trust 2015-RP2, Mortgage-Backed
Notes, Series 2015-RP2, Class A-1
-- Citigroup Mortgage Loan Trust 2015-RP2, Mortgage-Backed
Notes, Series 2015-RP2, Class A-1-IO
-- Citigroup Mortgage Loan Trust 2015-RP2, Mortgage-Backed
Notes, Series 2015-RP2, Class A
-- Citigroup Mortgage Loan Trust 2015-RP2, Mortgage-Backed
Notes, Series 2015-RP2, Class A-2
-- Citigroup Mortgage Loan Trust 2015-RP2, Mortgage-Backed
Notes, Series 2015-RP2, Class A-2-IO
-- Citigroup Mortgage Loan Trust 2015-RP2, Mortgage-Backed
Notes, Series 2015-RP2, Class A-2A
-- Citigroup Mortgage Loan Trust 2015-RP2, Mortgage-Backed
Notes, Series 2015-RP2, Class A-2B
-- Fannie Mae, Connecticut Avenue Securities, Series 2014-C03,
Connecticut Avenue Securities, Series 2014-C03, Class 1M-1
-- Fannie Mae, Connecticut Avenue Securities, Series 2014-C03,
Connecticut Avenue Securities, Series 2014-C03, Class 2M-1
-- Fannie Mae, Connecticut Avenue Securities, Series 2014-C04,
Connecticut Avenue Securities, Series 2014-C04, Class 1M-1
-- Freddie Mac, Structured Agency Credit Risk Debt Notes,
Series 2015-DN1, Structured Agency Credit Risk Debt Notes,
Series 2015-DN1, Class M-2
-- Freddie Mac, Structured Agency Credit Risk Debt Notes,
Series 2015-DN1, Structured Agency Credit Risk Debt Notes,
Series 2015-DN1, Class M-2F
-- Freddie Mac, Structured Agency Credit Risk Debt Notes,
Series 2015-DN1, Structured Agency Credit Risk Debt Notes,
Series 2015-DN1, Class M-2I
-- Freddie Mac, Structured Agency Credit Risk Debt Notes,
Series 2015-DN1, Structured Agency Credit Risk Debt Notes,
Series 2015-DN1, Class M-12
-- J.P. Morgan Mortgage Trust 2013-3 Mortgage Pass-Through
Certificates, Series 2013-3, Class B-3
-- J.P. Morgan Mortgage Trust 2013-3 Mortgage Pass-Through
Certificates, Series 2013-3, Class B-4
-- J.P. Morgan Mortgage Trust 2014-IVR3, Mortgage Pass-Through
Certificates, Series 2014-IVR3, Class B-3
-- J.P. Morgan Mortgage Trust 2014-OAK4, Mortgage Pass-Through
Certificates, Series 2014-OAK4, Class B-3
-- J.P. Morgan Mortgage Trust 2014-OAK4, Mortgage Pass-Through
Certificates, Series 2014-OAK4, Class B-4
-- Onslow Bay Mortgage Loan Trust 2015-1, Mortgage Pass-Through
Certificates, Series 2015-1, Class B-3
-- Onslow Bay Mortgage Loan Trust 2015-1, Mortgage Pass-Through
Certificates, Series 2015-1, Class B-5
-- Shellpoint Asset Funding Trust 2013-1, Mortgage Pass-Through
Certificates, Series 2013-1, Class B-3
-- Shellpoint Asset Funding Trust 2013-1, Mortgage Pass-Through
Certificates, Series 2013-1, Class B-4
-- Shellpoint Co-Originator Trust 2015-1, Mortgage Pass-Through
Certificates, Series 2015-1, Class B-2
-- Shellpoint Co-Originator Trust 2015-1, Mortgage Pass-Through
Certificates, Series 2015-1, Class B-3
-- Shellpoint Co-Originator Trust 2015-1, Mortgage Pass-Through
Certificates, Series 2015-1, Class B-4
-- Towd Point Mortgage Trust 2016-2, Asset Backed Securities,
Series 2016-2, Class M1
-- Towd Point Mortgage Trust 2016-2, Asset Backed Securities,
Series 2016-2, Class M2
-- Towd Point Mortgage Trust 2016-2, Asset Backed Securities,
Series 2016-2, Class B1
-- Towd Point Mortgage Trust 2016-2, Asset Backed Securities,
Series 2016-2, Class B2
-- Towd Point Mortgage Trust 2016-2, Asset Backed Securities,
Series 2016-2, Class A4
-- Towd Point Mortgage Trust 2016-2, Asset Backed Securities,
Series 2016-2, Class A4A
-- Towd Point Mortgage Trust 2016-2, Asset Backed Securities,
Series 2016-2, Class A4B
-- Towd Point Mortgage Trust 2016-2, Asset Backed Securities,
Series 2016-2, Class A4C
-- Towd Point Mortgage Trust 2016-2, Asset Backed Securities,
Series 2016-2, Class X7
-- Towd Point Mortgage Trust 2016-2, Asset Backed Securities,
Series 2016-2, Class X8
-- Towd Point Mortgage Trust 2016-2, Asset Backed Securities,
Series 2016-2, Class X9
-- Towd Point Mortgage Trust 2016-2, Asset Backed Securities,
Series 2016-2, Class A5
-- Towd Point Mortgage Trust 2016-3, Asset Backed Securities,
Series 2016-3, Class M1
-- Towd Point Mortgage Trust 2016-3, Asset Backed Securities,
Series 2016-3, Class M2
-- Towd Point Mortgage Trust 2016-3, Asset Backed Securities,
Series 2016-3, Class M1A
-- Towd Point Mortgage Trust 2016-3, Asset Backed Securities,
Series 2016-3, Class M1B
-- Towd Point Mortgage Trust 2016-3, Asset Backed Securities,
Series 2016-3, Class X3
-- Towd Point Mortgage Trust 2016-3, Asset Backed Securities,
Series 2016-3, Class X4
-- Towd Point Mortgage Trust 2016-3, Asset Backed Securities,
Series 2016-3, Class M2A
-- Towd Point Mortgage Trust 2016-3, Asset Backed Securities,
Series 2016-3, Class M2B
-- Towd Point Mortgage Trust 2016-3, Asset Backed Securities,
Series 2016-3, Class X5
-- Towd Point Mortgage Trust 2016-3, Asset Backed Securities,
Series 2016-3, Class X6
-- WinWater Mortgage Loan Trust 2015-4, Mortgage Pass-Through
Certificates, Series 2015-4, Class B-3
-- WinWater Mortgage Loan Trust 2015-4, Mortgage Pass-Through
Certificates, Series 2015-4, Class B-4
-- WinWater Mortgage Loan Trust 2014-3, Mortgage Pass-Through
Certificates, Series 2014-3, Class B-3
-- WinWater Mortgage Loan Trust 2014-3, Mortgage Pass-Through
Certificates, Series 2014-3, Class B-4
-- WinWater Mortgage Loan Trust 2015-A, Mortgage Pass-Through
Certificates, Series 2015-A, Class B-2
-- WinWater Mortgage Loan Trust 2015-A, Mortgage Pass-Through
Certificates, Series 2015-A, Class B-3
-- WinWater Mortgage Loan Trust 2015-A, Mortgage Pass-Through
Certificates, Series 2015-A, Class B-4
-- WinWater Mortgage Loan Trust 2015-5, Mortgage Pass-Through
Certificates, Series 2015-5, Class B-2
-- WinWater Mortgage Loan Trust 2015-5, Mortgage Pass-Through
Certificates, Series 2015-5, Class B-3
-- WinWater Mortgage Loan Trust 2015-5, Mortgage Pass-Through
Certificates, Series 2015-5, Class B-4
-- WinWater Mortgage Loan Trust 2016-1, Mortgage Pass-Through
Certificates, Series 2016-1, Class B-4
-- Mill City Mortgage Loan Trust 2016-1, Mortgage Backed
Securities, Series 2016-1, Class M3
-- Mill City Mortgage Loan Trust 2016-1, Mortgage Backed
Securities, Series 2016-1, Class B1
-- Mill City Mortgage Loan Trust 2016-1, Mortgage Backed
Securities, Series 2016-1, Class B2
-- COLT 2016-2 Mortgage Loan Trust, COLT 2016-2 Mortgage Pass-
Through Certificates, Series 2016-2, Class A-2
-- COLT 2016-2 Mortgage Loan Trust, COLT 2016-2 Mortgage Pass-
Through Certificates, Series 2016-2, Class A-2X
-- COLT 2016-2 Mortgage Loan Trust, COLT 2016-2 Mortgage Pass-
Through Certificates, Series 2016-2, Class A-4
-- COLT 2016-2 Mortgage Loan Trust, COLT 2016-2 Mortgage Pass-
Through Certificates, Series 2016-2, Class M-1
-- COLT 2016-2 Mortgage Loan Trust, COLT 2016-2 Mortgage Pass-
Through Certificates, Series 2016-2, Class M-1E
-- COLT 2016-2 Mortgage Loan Trust, COLT 2016-2 Mortgage Pass-
Through Certificates, Series 2016-2, Class M-1X
Notes: The applicable methodologies are U.S. RMBS Surveillance
Methodology and RMBS Insight 1.2: U.S. Residential Mortgage-Backed
Securities Model and Rating Methodology, which can be found on our
website under Methodologies.
A full text copy of the ratings is available free at:
https://is.gd/HLj9bu
[*] S&P Completes Review of 127 Classes From 15 US RMBS Deals
-------------------------------------------------------------
S&P Global Ratings completed its review of 127 classes from 15 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2001 and 2007. The review yielded 19 upgrades, 36
downgrades, and 72 affirmations. The transactions in this review
are backed by a mix of fixed- and adjustable-rate prime jumbo and
subprime loans, which are secured primarily by first liens on one-
to four- family residential properties.
Of the seven interest-only (IO) classes in this review, S&P
affirmed six ratings and lowered one rating. The rating actions
reflect the application of our IO criteria, which provide that S&P
will maintain the current rating on an IO class until all of the
classes that the IO security references are either lowered to below
'AA- (sf)' or have been retired--at which time S&P will withdraw
the IO rating. The ratings on each of these classes have been
affected by recent rating actions on the reference classes upon
which their notional balances are based.
A criteria interpretation for the abovementioned criteria was
issued to clarify that when the criteria state "we will maintain
the current ratings," it means that we will maintain active
surveillance of these IO classes using the methodology applied
before the release of this criteria.
ANALYSIS
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by S&P's projected cash flows. These
considerations are based on transaction-specific performance or
structural characteristics (or both) and their potential effects on
certain classes.
UPGRADES
The upgrades include six ratings that were raised three or more
notches. S&P's projected credit support for the affected classes
is sufficient to cover its projected losses for these rating
levels. The upgrades reflect one or more of these:
-- Increased credit support relative to our projected losses;
-- The class' expected short duration; and
-- S&P's principal-only (PO) criteria.
The upgrades on four classes from two transactions reflect
increased credit support over the past two years. S&P raised its
ratings on MASTR Asset Securitization Trust 2003-12's class 5-A-1
to 'AA+ (sf)' from 'A+ (sf)' and class 6-A-2 to 'A+ (sf)' from 'BBB
(sf)'. Total hard credit support for class 5-A-1 increased to
12.57% in October 2016 from 10.47% in October 2014. Total hard
credit support for class 6-A-2 increased to 8.87% in October 2016
from 6.75% in October 2014. S&P also raised its ratings on Wells
Fargo Mortgage Backed Securities 2007-14 Trust's class II-A-1,
II-A-3, and II-A-PO to 'AA (sf)' from 'BB+ (sf)'. Total hard
credit support for both classes II-A-1 and II-A-3 increased to
24.35% in October 2016 from 15.20% in October 2014. The upgrade on
class II-A-PO reflects the application of our criteria for PO
classes.
S&P raised its rating on MASTR Asset Securitization Trust 2003-5's
class 5-A-1 to 'AA+ (sf)' from 'A+ (sf)' due to the class' expected
short duration. Based on the 12-month average historical payments,
class 5-A-1 is expected to be paid down within the next 12 months.
DOWNGRADES
The downgrades include 21 ratings that were lowered three or more
notches. S&P lowered its ratings on two classes to speculative
grade ('BB+' or lower) from investment grade ('BBB-' or higher).
Another 10 of the lowered ratings remained at an investment-grade
level, while the remaining nine downgraded classes already had
speculative-grade ratings. The downgrades reflect S&P's belief
that its projected credit support for the affected classes will be
insufficient to cover its projected losses for the related
transactions at a higher rating. The downgrades reflect one or
more of these:
-- Increased delinquency trends;
-- Eroded credit support due to passing of payment allocation
triggers;
-- Decrease in the constant prepayment rate; and
-- S&P's IO criteria/PO criteria.
The downgrades on GMACM Mortgage Loan Trust 2003-AR2's classes
A-II-4, A-III-5, and A-IV-1 reflect the increase in S&P's projected
losses due to higher reported delinquencies during the most recent
performance periods. Total delinquencies increased to 11.48% based
on the October 2016 trustee report from 6.27% in the November 2014
trustee report, and severe delinquencies increased to 7.90% in
October 2016 from 1.90% in November 2014.
The downgrades on 10 classes from four transactions reflect the
impact of the passing of the payment allocation triggers, allowing
principal payments to be made to more subordinate classes and
eroding projected credit support for the affected senior classes.
The downgrades on Home Equity Mortgage Loan Asset-Backed Trust,
Series SPMD 2001-C's class AF-A to 'B+ (sf)' from 'BB+ (sf)', MASTR
Asset Securitization Trust 2003-5's classes 2-A-1 and 2-A-5 to 'B
(sf)' from 'BB (sf)', and MASTR Asset Securitization Trust
2003-11's class 5-A-1 to 'BBB (sf)' from 'A+ (sf)' and class 5-A-2
to 'B (sf)' from 'BB+ (sf)' reflect a decrease in the prepayment
rates observed for the underlying pool. The lower constant
prepayment rate has limited principal payments to the senior
classes, extending their lives and making them more susceptible to
back-end losses.
Interest Shortfalls
The downgrade on GSR Mortgage Loan Trust 2004-10F's class B2 to 'D
(sf)' from 'CCC (sf)' was based on S&P's assessment of interest
shortfalls to the affected class during recent remittance periods.
The lowered rating was derived by applying S&P's interest shortfall
criteria, which designate a maximum potential rating to this
class.
AFFIRMATIONS
The affirmations of ratings in the 'AAA' through 'B' rating
categories reflect S&P's opinion that its projected credit support
on these classes remained relatively consistent with its prior
projections and is sufficient to cover our projected losses for
those rating scenarios.
For certain transactions, S&P considered specific performance
characteristics that, in its view, could add volatility to its loss
assumptions and, in turn, to the ratings suggested by S&P's cash
flow projections. When S&P's model recommended an upgrade, it
either limited the extent of its upgrade or affirmed its ratings on
those classes to account for this uncertainty and promote ratings
stability. In general, these classes have one or more of these
characteristics that limit any potential upgrade:
-- Insufficient subordination, overcollateralization, or both;
-- Delinquency trends;
-- Historical interest shortfalls; and
-- S&P's IO criteria/PO criteria.
In addition, some of the transactions have failed their delinquency
triggers, resulting in reduced--or a complete stop of--unscheduled
principal payments to their subordinate classes. However, these
transactions allow for unscheduled principal payments to resume to
the subordinate classes if the delinquency triggers begin passing
again. This would result in eroding the credit support available
for the more senior classes. Therefore, S&P affirmed its ratings
on certain classes in these transactions even though these classes
may have passed at higher rating scenarios.
The ratings affirmed at 'CCC (sf)' or 'CC (sf)' reflect S&P's
belief that its projected credit support will remain insufficient
to cover its 'B' expected case projected losses for these classes.
Pursuant to "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC'
Ratings," published Oct. 1, 2012, the 'CCC (sf)' affirmations
reflect S&P's view that these classes are still vulnerable to
defaulting, and the 'CC (sf)' affirmations reflect S&P's view that
these classes remain virtually certain to default.
ECONOMIC OUTLOOK
When determining a U.S. RMBS collateral pool's relative credit
quality, S&P's loss expectations stem, to a certain extent, from
its view of how the loans will behave under various economic
conditions. S&P Global Ratings' baseline macroeconomic outlook
assumptions for variables that it believes could affect residential
mortgage performance are:
-- An overall unemployment rate of 4.8% in 2016;
-- Real GDP growth of 1.5% for 2016;
-- The inflation rate will be 2.2% in 2016; and
-- The 30-year fixed mortgage rate will average about 3.7% in
2016.
S&P's outlook for RMBS is stable. Although S&P views overall
housing fundamentals positively, it believes RMBS fundamentals
still hinge on additional factors, such as the ultimate fate of
modified loans, the propensity of servicers to advance on
delinquent loans, and liquidation timelines.
Under S&P's baseline economic assumptions, it expects RMBS
collateral quality to improve. However, if the U.S. economy were
to become stressed in line with S&P Global Ratings' downside
forecast, it believes that U.S. RMBS credit quality would weaken.
S&P's downside scenario reflects these key assumptions:
-- Total unemployment will tick up to 4.9% for 2016;
-- Downward pressure causes GDP growth to fall to 1.4% in 2016;
-- Home price momentum slows as potential buyers are not able
to purchase property; and
-- While the 30-year fixed mortgage rate remains a low 3.6% in
2016, limited access to credit and pressure on home prices
will largely prevent consumers from capitalizing on these
rates.
A list of the Affected Ratings is available at:
http://bit.ly/2gqQZx1
[*] S&P Completes Review of 64 Classes From 8 US RMBS Deals
-----------------------------------------------------------
S&P Global Ratings completed its review of 64 classes from eight
U.S. residential mortgage-backed securities (RMBS) transactions
issued between 2003 and 2007. The review yielded nine upgrades, 13
downgrades, 35 affirmations, six withdrawals, and one
discontinuance.
The transactions in this review are backed by fixed- and
adjustable-rate prime jumbo mortgage loans, which are secured
primarily by first liens on one- to four-family residential
properties.
The rating actions on three of the classes reflect the application
of S&P's interest-only (IO) criteria, which provide that S&P will
maintain the current rating on an IO class until all of the classes
that the IO security references are either lowered to below 'AA-
(sf)' or have been retired, at which time S&P will withdraw the IO
rating. The ratings on each of these classes have been affected by
recent rating actions on the reference classes upon which their
notional balances are based.
A criteria interpretation for the abovementioned criteria was
issued to clarify that when the criteria state that "we will
maintain the current ratings," it means that S&P will maintain
active surveillance of these IO classes using the methodology
applied prior to the release of this criteria.
ANALYSIS
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by S&P's projected cash flows. These
considerations are based on transaction-specific performance or
structural characteristics (or both) and their potential effects on
certain classes.
UPGRADES
S&P raised its ratings on nine classes, including four ratings that
were raised three notches. S&P's projected credit support for the
affected classes is sufficient to cover its projected losses for
these rating levels. The upgrades reflect one or more of:
-- Improved collateral performance/delinquency trends;
-- Increased credit support relative to S&P's projected losses;
and/or
-- S&P's principal-only (PO) criteria.
The three-notch upgrades on four classes from Morgan Stanley
Mortgage Loan Trust 2004-4 and Structured Asset Mortgage
Investments II Trust 2005-AR5 reflect improved collateral
performance. Credit support has strengthened for the classes from
Morgan Stanley Mortgage Loan Trust 2004-4, and S&P's projected
losses have decreased for Structured Asset Mortgage Investments II
Trust 2005-AR5 because there have been fewer reported delinquencies
during the most recent performance periods (Group 1 delinquencies
were 22.85% during the September 2016 remittance period) compared
to those reported during the previous review date (Group 1
delinquencies were 24.84% during the February 2016 remittance
period). S&P believes that its projected credit support for the
affected classes will be sufficient to cover its revised projected
losses at these rating levels.
S&P raised its ratings on classes 1-A1 and 1-A2 from Structured
Adjustable Rate Mortgage Loan Trust Series 2004-2 to 'B (sf)' from
'CCC (sf)' because S&P believes these classes are no longer
vulnerable to default, primarily due to the improved performance of
the collateral backing this transaction.
DOWNGRADES
S&P lowered its ratings on 13 classes, including nine ratings that
were lowered three or more notches. Of the 13 downgrades, S&P
lowered its ratings on four classes to speculative grade ('BB+' or
lower) from investment grade ('BBB-' or higher). Another four of
the lowered ratings remained at an investment-grade level, while
the remaining five downgraded classes already had speculative-grade
ratings. The downgrades reflect S&P's belief that its projected
credit support for the affected classes will be insufficient to
cover its projected losses for the related transactions at a higher
rating. The downgrades reflect one or more of:
-- Deteriorated credit performance trends;
-- Tail risk; and/or
-- S&P's PO criteria.
The downgrade on class 3-A-1 from Banc of America Mortgage 2003-F
Trust to 'BBB (sf)' from 'AA+ (sf)' reflects the increase in S&P's
projected losses and its belief that the projected credit support
for the affected class will be insufficient to cover the projected
losses S&P applied at the previous rating level. The increase in
S&P's projected losses is due to higher reported delinquencies
during the most recent performance periods when compared to those
reported during the previous review date. Total delinquencies for
Banc of America Mortgage 2003-F Trust group 3 loans increased to
9.41% in October 2016 from 6.91% in February 2016.
Tail Risk
Some of the transactions in this review are backed by a small
remaining pool of mortgage loans. S&P believes that pools with
less than 100 loans remaining create an increased risk of credit
instability, because a liquidation and subsequent loss on one loan,
or a small number of loans, at the tail end of a transaction's life
may have a disproportionate impact on a given RMBS tranche's
remaining credit support. S&P refers to this as "tail risk."
S&P addressed the tail risk on the classes in this review by
conducting a loan-level analysis that assesses this risk, as set
forth in S&P's tail risk criteria. S&P lowered the ratings on
three classes from CHL Mortgage Pass-Through Trust 2003-J15 to 'BB+
(sf)' from 'A+ (sf)', which reflects the application of S&P's tail
risk criteria.
AFFIRMATIONS
S&P affirmed its ratings on 22 classes in the 'AA' through 'B'
rating categories. These affirmations reflect S&P's opinion that
its projected credit support on these classes remained relatively
consistent with S&P's prior projections and is sufficient to cover
its projected losses for those rating scenarios.
For certain transactions, S&P considered specific performance
characteristics that, in its view, could add volatility to its loss
assumptions and, in turn, to the ratings suggested by S&P's cash
flow projections. When S&P's model recommended an upgrade, it
either limited the extent of its upgrade or affirmed its ratings on
those classes to account for this uncertainty and promote ratings
stability. In general, these classes have one or more of these
characteristics that limit any potential upgrade:
-- Insufficient subordination, overcollateralization, or both;
-- Delinquency trends; and/or
-- Low priority in principal payments.
In addition, some of the transactions have failed their delinquency
triggers, resulting in reduced unscheduled principal payments to
their subordinate classes. However, these transactions allow for
unscheduled principal payments to resume to the subordinate classes
if the delinquency triggers begin passing again. This would result
in eroding the credit support available for the more senior
classes. Therefore, S&P affirmed its ratings on certain classes in
these transactions even though these classes may have passed at
higher rating scenarios.
The ratings affirmed at 'CCC (sf)' or 'CC (sf)' reflect S&P's
belief that its projected credit support will remain insufficient
to cover S&P's 'B' expected case projected losses for these
classes. Pursuant to "Criteria For Assigning 'CCC+', 'CCC',
'CCC-', And 'CC' Ratings," published Oct. 1, 2012, the 'CCC (sf)'
affirmations reflect S&P's view that these classes are still
vulnerable to defaulting, and the 'CC (sf)' affirmations reflect
S&P's view that these classes remain virtually certain to default.
WITHDRAWALS
S&P withdrew its ratings on six classes from Sequoia Mortgage Trust
2007-4 because the related pool has a small number of loans
remaining. Once a pool has declined to a de minimis amount, S&P
believes there is a high degree of credit instability that is
incompatible with any rating level.
DISCONTINUANCES
S&P discontinued its 'D (sf)' rating on class X-B-5 from Banc of
America Mortgage Trust 2004-8 with a zero balance. This class had
been written down to zero as a result of realized losses that were
outstanding. S&P discontinued this rating according to its
surveillance and withdrawal policy, as S&P views a subsequent
upgrade to a rating higher than 'D (sf)' to be unlikely under the
relevant criteria since the remainder of the transaction is no
longer active.
ECONOMIC OUTLOOK
When determining a U.S. RMBS collateral pool's relative credit
quality, S&P's loss expectations stem, to a certain extent, from
its view of how the loans will behave under various economic
conditions. S&P Global Ratings' baseline macroeconomic outlook
assumptions for variables that it believes could affect residential
mortgage performance are:
-- An overall unemployment rate of 4.8% in 2016;
-- Real GDP growth of 1.5% for 2016;
-- The inflation rate will be 2.2% in 2016; and
-- The 30-year fixed mortgage rate will average about 3.7% in
2016.
S&P's outlook for RMBS is stable. Although S&P views overall
housing fundamentals positively, it believes RMBS fundamentals
still hinge on additional factors, such as the ultimate fate of
modified loans, the propensity of servicers to advance on
delinquent loans, and liquidation timelines.
Under S&P's baseline economic assumptions, it expects RMBS
collateral quality to improve. However, if the U.S. economy were
to become stressed in line with S&P Global Ratings' downside
forecast, it believes that U.S. RMBS credit quality would weaken.
S&P's downside scenario reflects these key assumptions:
-- Total unemployment will tick up to 4.9% for 2016;
-- Downward pressure causes GDP growth to fall to 1.4% in 2016;
-- Home price momentum slows as potential buyers are not able
to purchase property; and
-- While the 30-year fixed mortgage rate remains a low 3.6% in
2016, limited access to credit and pressure on home prices
will largely prevent consumers from capitalizing on these
rates.
A list of the Affected Ratings is available at:
http://bit.ly/2gwOJ7z
[*] S&P Lowers Ratings on Seven Classes From 5 RMBS Transactions
----------------------------------------------------------------
S&P Global Ratings corrected its ratings on seven classes from five
U.S. RMBS transactions by lowering them. The downgrades reflect
the application of our loan modification and imputed promises
criteria, which resulted in a maximum potential rating (MPR) lower
than the previous rating on each respective class.
When a class of securities supported by a particular collateral
pool is paid interest through a weighted average coupon (WAC) and
the interest owed to that class is reduced because of loan
modifications, S&P imputes an amount of interest owed to that class
of securities by applying "Methodology For Incorporating Loan
Modifications And Extraordinary Expenses Into U.S. RMBS Ratings,"
published April 17, 2015, and "Principles For Rating Debt Issues
Based On Imputed Promises," published Dec. 19, 2014. Based on S&P's
criteria, it applies MPRs to those classes of securities that are
affected by reduced interest payments over time due to loan
modifications. If we apply an MPR cap to a particular class, the
resulting rating may be lower than if S&P had solely considered
that class' paid interest based on the applicable WAC.
Analytical errors that occurred in recent rating actions on these
seven classes resulted in their ratings being raised above the
classes' applicable MPRs. S&P has corrected its ratings on these
classes by lowering them to their current respective MPRs.
Specifically:
-- On July 21, 2016, S&P's rating on class 2-A5B from
Structured Asset Securities Corp.'s series 2004-21XS, was
raised to 'AA (sf)' from 'BBB+ (sf)' and is now being
lowered to the MPR of 'A (sf)'. On Oct. 25, 2016, S&P's
rating on class A-I-5 from RASC Series 2003-KS8 Trust was
raised to 'AAA (sf)' from 'A+ (sf)' and is now being lowered
to the MPR of 'BB+ (sf)'. On Nov. 4, 2016, S&P's rating on
class A-I-6A from RAMP Series 2003-RS9 Trust was raised to
'AA+ (sf)' from 'AA (sf)' and is now being lowered to the
MPR of 'A- (sf)', our rating on class A-I-6B from the same
transaction was raised to 'AA+ (sf)' from 'AA (sf)' and is
now being lowered to the MPR of 'A (sf)', S&P's rating on
class A-I-6A from RAMP Series 2003-RS8 Trust was raised to
'A+ (sf)' from 'BBB- (sf)' and is now being lowered to the
MPR of 'BBB (sf)', our rating on class A-I-6B from the same
transaction was raised to 'A+ (sf)' from 'BBB (sf)' and is
now being lowered to the MPR of 'BBB+ (sf)', and S&P's
rating on class A-I-5 from RAMP Series 2003-RS7 Trust was
raised to 'A+ (sf)' from 'BBB (sf)' and is now being lowered
to the MPR of 'A- (sf)'.
RATINGS LOWERED
RAMP Series 2003-RS7 Trust
Series 2003-RS7
Rating
Class CUSIP To From
A-I-5 760985XV8 A- (sf) A+ (sf)
RAMP Series 2003-RS8 Trust
Series 2003-RS8
Rating
Class CUSIP To From
A-I-6A 760985ZE4 BBB (sf) A+ (sf)
A-I-6B 760985ZT1 BBB+ (sf) A+ (sf)
RAMP Series 2003-RS9 Trust
Series 2003-RS9
Rating
Class CUSIP To From
A-I-6A 760985A43 A- (sf) AA+ (sf)
A-I-6B 760985B83 A (sf) AA+ (sf)
RASC Series 2003-KS8 Trust
Series 2003-KS8
Rating
Class CUSIP To From
A-I-5 76110WTS5 BB+ (sf) AAA (sf)
Structured Asset Securities Corp.
Series 2004-21XS
Rating
Class CUSIP To From
2-A5B 86359BP70 A (sf) AA (sf)
*********
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
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however, be complete or accurate. The Monday Bond Pricing table
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Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman,
Editors.
Copyright 2016. All rights reserved. ISSN: 1520-9474.
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