/raid1/www/Hosts/bankrupt/TCR_Public/170618.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, June 18, 2017, Vol. 21, No. 168
Headlines
AASET TRUST 2017-1: Fitch Assigns 'BBsf' Rating to Class C Debt
AIRSPEED LTD 2007-1: S&P Lowers Rating on Cl. C-1 Notes to BB+
ATRIUM X: S&P Affirms BB(sf) Rating to Class E Notes
BANK 2017-BNK5: DBRS Assigns Prov. B(low) Rating to Class G Certs
BANK 2017-BNK5: Fitch to Rate Class F Certs 'B-sf'
BEAR STEARNS 2007-TOP26: DBRS Cuts Ratings on 2 Tranches to Csf
BLCP HOTEL 2014-CLRN: S&P Affirms BB- Rating on Class E Certs
BRENTWOOD CLO: S&P Lowers Rating on Class D Notes to 'B-'
CANTOR COMMERCIAL 2012-CCRE3: Fitch Affirms B Rating on G Certs
CAVALRY CLO IV: S&P Lowers Rating on Class E Notes to 'B+'
CD 2005-CD1: S&P Raises Rating on Class F Certificates to BB
CEDAR FUNDING II: S&P Assigns Prelim. BB- Rating on Cl. E-R Notes
CFCRE COMMERCIAL 2017-C8: Fitch Assigns B- Rating to Cl. F Certs
CGDB COMMERCIAL 2017-BIO: S&P Gives Prelim B+ Rating on Cl. F Certs
CITIGROUP 2014-GC23: Fitch Affirms 'B-sf' Rating on Cl. F Certs
COMM 2013-CCRE9: Fitch Affirms Bsf Rating on Class F Certs
COMMONBOND STUDENT 2017-A: DBRS Finalizes BB Ratings on Cl. C Debt
CREDIT SUISSE 2005-C3: S&P Affirms 'B-' Rating on Class C Certs
CSAIL 2017-C8: Fitch to Rate Class F Certs 'B-sf'
DBJPM 2017-C6: DBRS Assigns BB(low)(sf) Ratings to Cl. F-RR Debt
DEEPHAVEN RESIDENTIAL 2017-2: S&P Rates Class B-2 Notes 'B'
ELEVATION CLO 2017-6: Moody's Assigns (P)B3 Rating to Cl. F Notes
FIGUEROA CLO 2013-2: S&P Assigns Prelim. BB Rating on Cl. D-R Debt
FLAGSHIP CREDIT 2017-2: S&P Affirms BB- Rating on Class E Notes
FLATIRON CLO 2007-1: S&P Affirms BB+ Rating on Class E Debt
FORTRESS CREDIT IV: S&P Affirms BB Rating on Class E Debt
GALLATIN CLO 2014-1: Moody's Affirms B1(sf) Rating on Cl. F Notes
GRAYSON CLO: S&P Lowers Rating on Class D Notes to B-
GUGGENHEIM PDFNI 2: Fitch Assigns 'Bsf' Rating to Class D Notes
JP MORGAN 2006-LDP6: S&P Hikes Class C Certs Rating to BB+
JP MORGAN 2010-C2: Fitch Affirms 'B-sf' Rating on Class H Certs
JP MORGAN 2011-C5: Fitch Affirms B-sf Rating on Class G Certs
KINGSLAND V LTD: S&P Affirms 'B' Rating on Class E Notes
KKR CLO 9: Moody's Assigns (P)Ba3 Rating to Cl. E-R Senior Notes
LADDER CAPITAL 2017-LC26: Fitch to Rate Class F Certs 'B-sf'
LB-UBS COMMERCIAL 2005-C1: S&P Raises Rating on Cl. H Certs to BB+
LEGACY BENEFITS 2004-1: Moody's Cuts Rating on Cl. B Debt to Caa2
LSTAR COMMERCIAL 2015-3: DBRS Confirms B(sf) Rating on Cl. F Debt
MADISON PARK V: Moody's Affirms Ba1 Rating on Class D Notes
MCF CLO VI: S&P Assigns Prelim. 'BB-' Rating on Class E Notes
MFA TRUST 2017-RPL1: DBRS Assigns B Rating to Class B-2 Debt
MFA TRUST 2017-RPL1: Fitch Assigns 'Bsf' Rating to Class B-2 Notes
MILL CITY 2017-2: DBRS Assigns Prov. B(sf) Rating to Class B2 Notes
MILL CITY 2017-2: Moody's Assigns (P)Ba3 Rating to Cl. B1 Notes
MMCAPS FUNDING XVII: Moody's Affirms B3sf Rating on 2 Tranches
MORGAN STANLEY 2005-HQ7: S&P Affirms B Rating on Class F Debt
MORGAN STANLEY 2013-C12: Fitch Affirms B-sf Rating on Cl. G Certs
MORGAN STANLEY 2015-C23: DBRS Confirms B(low) Rating on Cl. G Debt
MORGAN STANLEY 2017-H1: DBRS Finalizes B(low) Rating on H-RR Debt
NEW RESIDENTIAL 2017-3: S&P Assigns 'B' Rating on 9 Tranches
OCTAGON INVESTMENT XVII: S&P Affirms Bsf Rating on Class F Debt
OCTAGON INVESTMENT XXII: Moody's Rates Class E-2-R Notes Ba3
OZLM XVI: Moody's Assigns Ba3(sf) Rating to Class D Notes
PARALLEL LTD 2017-1: Moody's Gives B2(sf) Rating to Class F Notes
PRESTIGE AUTO: DBRS Review 17 Ratings From 4 US RMBS Transactions
SCHOONER TRUST 2007-8: DBRS Cuts Class L Certs Rating to D(sf)
STACR 2016-DNA1: Moody's Hikes Ratings on 3 Tranches to Ba2
STACR 2017-HQA2: Fitch to Rate 12 Tranches 'Bsf'
TABERNA PREFERRED VII: Moody's Ups Cl. A-1LA Notes Rating From Ba1
UBS COMMERCIAL 2017-C1: Fitch Assigns B- Rating to Cl. F-RR Certs
UBS-BARCLAYS 2012-C3: DBRS Hikes Class X-B Debt Rating to BB(low)
VENTURE XXVIII: Moody's Assigns (P)Ba3(sf) Rating to Cl. E Notes
VERTICAL BRIDGE 2016-1: Fitch Affirms BB-sf Rating on Cl. F Notes
VOYA CLO 2017-3: S&P Assigns Prelim. BB- Rating on Class D Notes
WACHOVIA BANK 2006-C29: S&P Lowers Rating on Cl. C Certs to 'D'
WACHOVIA BANK 2007-C34: S&P Affirms 'CCC-' Rating on Class F Certs
WFRBS COMMERCIAL 2013-C12: Fitch Affirms BB Rating on Class E Certs
[*] Moody's Hikes $323MM of Subprime RMBS Issued 2002-2006
[*] Moody's Takes Action on $149MM of RMBS Issued 2002-2006
[*] Moody's Takes Actions on IO Securities From 8 US ABS Deals
[*] S&P Discontinues Ratings on 77 Classes From 18 CDO Deals
[*] S&P Takes Rating Actions on 44 Classes From 6 RMBS Deals
[*] S&P Takes Rating Actions on 92 Classes From 11 RMBS Deals
*********
AASET TRUST 2017-1: Fitch Assigns 'BBsf' Rating to Class C Debt
---------------------------------------------------------------
Fitch Ratings assigns the following ratings and outlooks to the
notes issued from AASET 2017-1 Trust (AASET 2017-1):
-- $479,456,000 class A asset-backed notes 'Asf'; Outlook Stable;
-- $88,515,000 class B asset-backed notes 'BBBsf'; Outlook
Stable;
-- $44,257,000 class C asset-backed notes 'BBsf'; Outlook Stable.
The notes issued from AASET 2017-1 are secured by future lease
payments and disposition proceeds on a pool of 32 mid to
end-of-life aircraft. Apollo Aviation Management Limited (AAML), a
wholly-owned subsidiary of Apollo Aviation Holdings Limited
(Apollo), is servicer. Note proceeds will finance the purchase of
the aircraft from certain funds (SASOF funds) managed by affiliates
of Apollo. AASET 2017-1 is the first AASET transaction rated by
Fitch and the fourth issued since 2014 serviced by Apollo. Fitch
does not rate Apollo or AAML.
SASOF III, the primary seller of the assets to AASET 2017-1, will
retain a position as E certificate holder, consistent with similar
investments made by funds managed by affiliates of Apollo in prior
AASET transactions. Therefore, Apollo will have a vested interest
in performance of the transaction outside of merely collecting
servicing fees due to the European style waterfall in SASOF III.
Fitch views this as a positive since Apollo has a significant
interest in generating positive cash flows through management of
the assets over the life of the transaction.
The majority of the aircraft in the pool will be sold from SASOF
III to the AOE Issuers during a delivery period ending 270 days
after closing of the transaction. However, there are certain
aircraft in the pool which are currently not owned by SASOF III or
its affiliates and may be acquired by the AOE Issuers from
third-party sellers after close. If an aircraft in the pool (or
replacement aircraft) are not transferred to the AOE Issuers within
270 days of closing, the applicable amount attributable to each
aircraft not transferred will be used to prepay the notes without
premium, consistent with prior AASET and other aircraft ABS
transactions.
Wells Fargo Bank, N.A. will act as trustee and operating bank and
Phoenix American Financial Services, Inc. will act as managing
agent.
KEY RATING DRIVERS
Stable Asset Quality: Despite a weighted average (WA) age of 12
years, the pool is largely comprised of high-quality, in-production
A320 and B737 family aircraft. The WA remaining lease term is 4.6
years and 37.8% of the pool is on lease until at least 2023, a
positive for future cash flow generation. However, there is a
significant concentration in less marketable A330-200s.
Weak Lessee Credit: Most of the 23 lessees in the pool are either
unrated or speculative-grade airline credits, which is typical of
aircraft ABS. Fitch assumed unrated lessees would perform
consistent with a 'B' Issuer Default Rating to accurately reflect
default risk in the pool. Ratings were assumed to migrate lower
during future recessions and once aircraft reach Tier 3
classification.
Technological Risk Exists: Current generation A320 and B737
aircraft both face replacement over the next decade from the
A320neo and B737 MAX, with the former debuting in 2016 and the
latter in May this year. The A330 family also faces future neo
replacement as well as ongoing competition from the A350 and B787.
New variants will pressure current aircraft values and lease rates,
but the long lead time for replacement and healthy operator bases
will help mitigate replacement risk.
Consistent Transaction Structure: Credit enhancement is comprised
of overcollateralization, a liquidity facility and a cash reserve.
The initial loan-to-values (LTV) for the class A, B and C notes are
65.6%, 77.7% and 83.8%, respectively, based on the lower of the
mean and median (LMM) of the maintenance adjusted base value.
Capable Servicing History and Experience: Fitch believes AAML has
the ability to collect lease payments, remarket and repossess
aircraft in an event of lessee default and procure maintenance to
retain values and ensure stable performance. Fitch considers AAML
to be a capable servicer, evidenced by prior securitization
performance and their servicing experience of aviation assets and
Apollo's managed aviation funds.
Adequate Loss Coverage: Each class of notes makes full payment of
interest and principal in the primary scenarios commensurate with
their recommended ratings after applying Fitch's asset assumptions
and stresses. Fitch also created multiple alternative cash flows to
evaluate the structure sensitivity to different scenarios, detailed
below and in Fitch's presale report.
High Industry Cyclicality: Commercial aviation has been subject to
significant cyclicality due to macroeconomic and geopolitical
events. Downturns are typically marked by reduced aircraft
utilization rates, values, and lease rates, as well as
deteriorating lessee credit quality. Fitch's analysis assumes
multiple periods of significant volatility over the life of the
transaction.
RATING SENSITIVITIES
Due to the correlation between global economic conditions and the
airline industry, the ratings may be impacted by global
macro-economic or geopolitical factors over the remaining term of
the transaction. Therefore, Fitch evaluated various sensitivity
scenarios which could affect future cash flows from the pool and
recommended ratings for the notes.
Fitch performed a sensitivity analysis assuming a 25% decrease to
Fitch's lease rate factor curve to observe the impact of depressed
lease rates on the pool. This scenario highlights the effect of
increased competition in the aircraft leasing market, particularly
for mid to end-of-life aircraft over the past few years, and
stresses the pool to a higher degree by assuming lease rates well
below observed market rates. Under this scenario, the notes could
be subject to ratings downgrades of two to four notches.
Fitch evaluated a scenario in which all unrated airlines are
assumed to carry a 'CCC' rating. This scenario mimics a prolonged
recessionary environment in which airlines are susceptible to an
increased likelihood of default. This would, in turn, subject the
aircraft pool to more downtime and expenses as repossession and
remarketing events would increase. Under this scenario, the notes
show little sensitivity despite the increase in expenses due to
increased defaults and are still able to pay in full for each
respective rating scenario. Therefore, this scenario is unlikely to
result in any negative rating actions.
Fitch created a scenario in which the A330-200s in the pool
encounter a considerable amount of stress to their residual values.
Fitch removed outlier appraisal values for each A330-200 in the
pool and took the average of the lower two appraisals to determine
maintenance-adjusted base values for modeling. All the A330-200s
were assumed to be Tier 3 aircraft to stress recessionary value
declines, and Fitch placed a higher 25% haircut to residual
proceeds. Under this scenario the A330-200s are only granted
part-out value at the end of their useful lives, and the notes show
slight sensitivity that would likely result in downgrades of one to
two notches.
AIRSPEED LTD 2007-1: S&P Lowers Rating on Cl. C-1 Notes to BB+
--------------------------------------------------------------
S&P Global Ratings lowered its rating on the class C-1 notes from
Airspeed Ltd.'s series 2007-1, an asset-backed securities (ABS)
transaction primarily collateralized by the lease revenue and sales
proceeds from a commercial aircraft portfolio. At the same time,
S&P affirmed its ratings on the class G-1 and G-2 notes and on the
$92.415 million insured custody receipt related to the class G-1
notes backed by Assured Guaranty Corp. S&P also removed its
ratings on the class G-1 and C-1 notes from CreditWatch, where they
were placed with negative implications on March 15, 2017.
S&P lowered its rating on the class C-1 notes because they are no
longer able to withstand its 'BBB-' stress as a result of aircraft
depreciation outpacing note amortization. The affirmation of the
rating on the G-1 notes reflects the note paydowns and sufficient
credit support at the current rating level despite faster aircraft
depreciation. The affirmations of the ratings on the class G-2
notes and the insured custody receipt reflect S&P's rating on the
bond insurer, Assured Guaranty Corp.
As of Dec. 31, 2016, the aircraft portfolio had an appraised
half-life value of $618.7 million. (The appraised half-life value
is the lower of the mean and median of half-life base values and
half-life current market values.) This is down $212.5 million
(25.6%) from S&P's last review, in which it used the Dec. 31, 2013,
appraisal. However, the notes have amortized by only $173.7
million since then. As a result, the depreciated loan-to-value
ratio increased to 87.24% and 91.95% for the class G and C-1 notes
from 83.39% and 87.63%, respectively, at the time of S&P's last
review.
As of the April 30, 2017, calculation date, the portfolio consisted
of 36 aircraft (23 Boeing 737NG, 12 Airbus A320 family aircraft,
and one Airbus A330 family aircraft), which are leased to 25
airlines from 18 countries. No aircraft are off-lease.
The class G-1 and G-2 notes are paid pro rata, but the class G-2
notes have a bond insurance policy through Assured Guaranty Corp.
('AA') that guarantees their timely interest and ultimate principal
payments. Class G-1 notes were guaranteed, or wrapped, by Ambac
Assurance Corp. However, since Ambac Assurance Corp. is currently
not rated, S&P did not consider the guaranty in its rating analysis
for the class G-1 notes.
Unlike the more recently rated aircraft ABS transactions, this
transaction's note amortization does not have a soft bullet after
which the notes follow turbo payment. Although all of the aircraft
are on-lease currently, the class G-1, G-2, and C-1 notes are paid
only the minimum principal without any excess cash to pay the
expected principal.
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 take rating actions as S&P deems
necessary.
RATING LOWERED AND REMOVED FROM CREDITWATCH
Airspeed Ltd.
Series 2007-1
Rating
Class To From
C-1 BB+ (sf) BBB- (sf)/Watch Neg
RATING AFFIRMED AND REMOVED FROM CREDITWATCH
Airspeed Ltd.
Series 2007-1
Rating
Class To From
G-1 BBB+ (sf) BBB+ (sf)/Watch Neg
RATINGS AFFIRMED
Airspeed Ltd.
Series 2007-1
Class Rating
G-2 AA (sf)
US$92.415 million insured custody receipt
related to Airspeed Ltd.'s class G-1 notes series 2007-1
Class Rating
Insured custody receipt AA (sf)
ATRIUM X: S&P Affirms BB(sf) Rating to Class E Notes
----------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-1-R,
C-R, and D-R replacement notes from Atrium X, a collateralized loan
obligation (CLO) originally issued in 2013 that is managed by
Credit Suisse Asset Management LLC. S&P withdrew its ratings on the
original class A, B-1, C, and D notes following payment in full on
the May 31, 2017, refinancing date. At the same time, S&P affirmed
its ratings on the original class B-2 and E notes, which were not
part of this refinancing.
On the May 31, 2017, refinancing date, the proceeds from the A-R,
B-1-R, C-R, and D-R replacement note issuances were used to redeem
the original class A, B-1, C, and D notes as outlined in the
transaction document provisions. Therefore, S&P withdrew its
ratings on the original notes in line with their full redemption,
and we assigned ratings to the replacement notes. The replacement
notes were issued via a supplemental indenture, which included no
other substantial changes to the transaction.
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 its criteria,
S&P's 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 assigned ratings reflect its opinion that the credit support
available is commensurate with the associated rating levels.
S&P said, "We will continue to review whether, in our view, the
ratings assigned to the notes remain consistent with the credit
enhancement available to support them, and we will take rating
actions as we deem necessary."
RATINGS ASSIGNED
Atrium X
Replacement class Rating Amount
(mil. $)
A-R AAA (sf) 409.00
B-1-R AA+ (sf) 48.50
C-R A (sf) 53.25
D-R BBB (sf) 32.75
RATINGS AFFIRMED
Atrium X
Original class Rating
B-2 AA+ (sf)
E BB (sf)
RATINGS WITHDRAWN
Atrium X
Rating
Original class To From
A NR AAA (sf)
B-1 NR AA+ (sf)
C NR A (sf)
D NR BBB (sf)
NR--Not rated.
BANK 2017-BNK5: DBRS Assigns Prov. B(low) Rating to Class G Certs
-----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the followings classes
of Commercial Mortgage Pass Through Certificates, Series 2017-BNK5
(the Certificates), to be issued by BANK 2017-BNK5:
-- 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 A-5 at AAA (sf)
-- Class X-A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (high) (sf)
-- Class X-B at AA (sf)
-- Class C at AA (low) (sf)
-- Class X-D at A (low) (sf)
-- Class D at BBB (high) (sf)
-- Class E at BB (high) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)
All trends are Stable.
Classes X-D, D, E, F and G will be privately placed. The Class X-A,
X-B and X-D balances are notional.
The collateral consists of 87 fixed-rate loans secured by 211
commercial and multifamily properties, comprising a total
transaction balance of $1,231,288,365. The transaction has a
sequential-pay pass-through structure. 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, no loans 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. Additionally, to assess
refinance risk given the current low interest rate environment,
DBRS applied its refinance constants to the balloon amounts. This
resulted in 26 loans, representing 53.3% of the pool, having
refinance DSCRs below 1.00x and 12 loans, representing 32.6% of the
pool, having refinance (Refi) DSCRs below 0.90x. These credit
metrics are based on whole-loan balances. Based on A-note balances
only, the deal's weighted-average (WA) DBRS Refi DSCR improves to
1.25x.
Term default risk is low as indicated by the relatively strong WA
DBRS Term DSCR of 1.98x. In addition, 64 loans, representing 66.9%
of the pool, have a WA DBRS Term DSCR in excess of 1.50x. Fours
loan in the top 15 (Del Amo Fashion Center, Olympic Tower, Gateway
Net Lease Portfolio and Stor-It Southern California Portfolio) have
credit characteristics consistent with shadow ratings of A (low), A
(low), BBB (high) and AA (high), respectively. These loans
represent 18.2% of the total pool cut-off balance. Twenty-eight
loans, representing 7.3% of the pool, are secured by co-operative
(co-op) properties and are very low leverage with minimal term and
refinance default risk. Even when excluding the four loans with
shadow-rating characteristics and 28 co-op loans, the deal exhibits
a favorable WA DBRS Term DSCR of 1.72x.
The WA DBRS Refi DSCR, excluding the 28 National Cooperative Bank,
N.A. co-op loans and one fully amortizing loan, Henson Studio, is
1.04x, indicating a higher refinance risk on an overall pool level.
The percentage of loans structured with full-term and
partial-interest only payments relative to the total pool is at
70.9% for the subject transaction. DBRS determines the probability
of default based on the lower of Term or Refi DSCR; therefore,
loans that lack amortization will be treated more punitively.
The pool has a high concentration of retail properties as 38.7% of
the properties in the pool are secured entirely by retail assets.
The retail sector has generally underperformed since the Great
Recession because of declining consumer spending power, store
closures, chain bankruptcies and the rapidly growing popularity of
eCommerce. According to the U.S. Census Bureau, eCommerce is
projected to account for 10.0% of total retail sales in 2018, which
is up from 7.8% in 2015. As the eCommerce share of sales is
expected to experience continued growth in the coming years, the
retail real estate sector may continue experience store closures
for underperforming properties. DBRS considers 69.6% of the pool's
retail loans to be secured by either anchored or regional mall
properties, which are more desirable and have shown lower rates of
default historically. Additionally, these retail outlets are
predominantly located in established suburban markets. Two of the
retail properties, Del Amo Fashion Center and Olympic Tower,
exhibit credit characteristics consistent with shadow ratings and
represent approximately 30.6% of the pool's retail concentration
Seven loans, representing 26.0% of the pool balance, were
considered to have strong sponsorship. Six of these loans are
included in the top 15: Del Amo Fashion Center, Market Street –
The Woodlands, Olympic Tower, Gateway Net Lease Portfolio,
Charlotte Southpark Marriott and 36 East 14th Street.
A cash flow review as well as a cash flow stability and structural
review were completed on 29 of the 87 loans, representing 71.6% of
the pool by loan balance. The DBRS sample had an average NCF
variance of -8.5% and ranged from -24.5% to 2.7%. The DBRS site
inspection sample included 26 of the 87 loans in the pool. Site
inspections were performed on 61 of the 211 properties in the
portfolio, representing 61.7% of the pool by allocated loan
balance. Twelve loans, comprising 53.4% of the DBRS sample and
38.3% of the pool, were considered to be of Above Average or
Average (+) property quality based on physical attributes and/or
desirable location within their respective markets. Five of these
loans are within the top ten (Del Amo Fashion Center, Market Street
– The Woodlands, Olympic Tower, Sprouts Farmers Market and 200
Center Anaheim). Higher-quality properties are more likely to
retain existing tenants/guests and more easily attract new
tenants/guests, resulting in a more stable performance. Only one
loan, comprising 0.5% of the DBRS sample and 0.4% of the pool, was
considered to be of Average (-) property quality.
BANK 2017-BNK5: Fitch to Rate Class F Certs 'B-sf'
--------------------------------------------------
Fitch Ratings has issued a presale report on the BANK 2017-BNK5
Commercial Mortgage Pass-Through Certificates, Series 2017-BNK5.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $37,200,000 class A-1 'AAAsf'; Outlook Stable;
-- $98,300,000 class A-2 'AAAsf'; Outlook Stable;
-- $52,700,000 class A-SB 'AAAsf'; Outlook Stable;
-- $52,700,000 class A-3 'AAAsf'; Outlook Stable;
-- $270,000,000 class A-4 'AAAsf'; Outlook Stable;
-- $307,906,000 class A-5 'AAAsf'; Outlook Stable;
-- $818,806,000a class X-A 'AAAsf'; Outlook Stable;
-- $236,869,000a class X-B 'A-sf'; Outlook Stable;
-- $140,367,000 class A-S 'AAAsf'; Outlook Stable;
-- $55,562,000 class B 'AA-sf'; Outlook Stable;
-- $40,940,000 class C 'A-sf'; Outlook Stable;
-- $42,403,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $42,403,000b class D 'BBB-sf'; Outlook Stable;
-- $24,856,000b class E 'BB-sf'; Outlook Stable;
-- $11,698,000b class F 'B-sf'; Outlook Stable.
The following classes are not expected to be rated:
-- $14,621,000b class G;
-- $20,470,946b class H;
-- $61,564,418.24bc RR Interest.
(a) Notional amount and interest-only.
(b) Privately placed and pursuant to Rule 144A.
(c) Vertical credit risk retention interest representing no less
than 5% of the estimated fair value of all classes of regular
certificates issued by the issuing entity as of the closing date.
The expected ratings are based on information provided by the
issuer as of June 8, 2017.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 87 loans secured by 211
commercial properties having an aggregate principal balance of
$1,231,288,365 as of the cut-off date. The loans were contributed
to the trust by Wells Fargo Bank, National Association; Bank of
America, National Association; Morgan Stanley Mortgage Capital
Holdings LLC; and National Cooperative Bank, N.A.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 70.2% of the properties
by balance, cash flow analysis of 80.6%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Lower Fitch Leverage Than Recent Transactions: The pool's leverage
is lower than recent comparable Fitch-rated multiborrower
transactions. The pool's Fitch DSCR and LTV are 1.58x and 93.3%,
respectively, which are significantly better than the YTD 2017
averages of 1.21x and 104.4%. Excluding investment-grade credit
opinion and multifamily cooperative loans, the pool has a Fitch
DSCR and LTV of 1.33x and 101.7%, respectively, better than the YTD
2017 normalized averages of 1.18x and 107.1%.
Investment-Grade Credit Opinion Loans: Two loans, representing
11.9% of the pool, have investment-grade credit opinions. Del Amo
Fashion Center (7.31% of the pool) and Olympic Tower (4.55% of the
pool) each have an investment-grade credit opinion of 'BBBsf*' on a
stand-alone basis. Combined, the two credit opinion loans have a
weighted average (WA) Fitch DSCR and LTV of 1.36x and 64.6%,
respectively.
Pool Diversity: The largest 10 loans account for 48.2% of the pool,
which is below the YTD 2017 average of 54.7% for fixed-rate
multiborrower transactions. The transaction exhibits low pool
concentration, with a loan concentration index (LCI) of 307,
compared to the YTD 2017 average of 401. The average loan size is
$14.2 million as compared to the YTD 2017 and 2016 averages of
$21.5 million and $18.6 million, respectively.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 10% 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 the BANK
2017-BNK5 certificates and found that the transaction displays
slightly above-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 'Asf' could result.
In a more severe scenario, in which NCF declined a further 30% from
Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to
'BBBsf' could result.
BEAR STEARNS 2007-TOP26: DBRS Cuts Ratings on 2 Tranches to Csf
---------------------------------------------------------------
DBRS Limited downgraded three classes of the Commercial Mortgage
Pass-Through Certificates, Series 2007-TOP26 issued by Bear Stearns
Commercial Mortgage Trust, Series 2007-TOP26 as follows:
-- Class B downgraded to CCC (sf) from B (low) (sf)
-- Class C downgraded to C (sf) from CCC (sf)
-- Class D downgraded to C (sf) from CCC (sf)
Additionally, DBRS has confirmed the rating on the following
classes:
-- Class AM at AAA (sf)
-- Class A-J at BB (sf)
-- Class E at C (sf)
All trends are Stable, with the exception of Classes C, D and E,
which have ratings that do not carry trends. DBRS has also
discontinued the ratings on Class A-1A and Class A-4, as the
classes were fully repaid with the May 2017 remittance.
The rating downgrades reflect DBRS's increased expectation of
losses to the trust as the second-largest loan, One AT&T Center,
representing 32.3% of the current pool balance, was recently
transferred to special servicing in March 2017. The property, a 1.5
million square foot Class A office building located in downtown St.
Louis, Missouri, is expected to be completely vacant by September
2017 and the servicer's notes indicate foreclosure is expected by
December 2017. DBRS expects the value has declined drastically from
the issuance valuation of $207 million and anticipates the loss
severity will be substantial at liquidation.
As of the May 2017 remittance, 19 loans remain in the pool with an
outstanding principal balance of $338 million, representing a
collateral reduction of 84.3% from issuance. Since June 2016, 164
loans have left the trust and four of those loans were liquidated
from the trust. Since issuance, a total of 25 loans have been
liquidated from the trust for a combined loss of $88.9 million.
Nine loans, representing 43.7% of the current pool balance,
including the One AT&T Center loan, did not repay at the scheduled
2016 or 2017 maturity. The remaining loans are scheduled to mature
between 2018 and 2027. Based on the most recently reported
financials available for the underlying loans, the transaction has
a weighted-average (WA) debt service coverage ratio (DSCR) and an
exit debt yield of 2.06 times (x) and 18.5%, respectively.
As of the May 2017 remittance, seven loans are in special servicing
and three loans are on the servicer's watchlist, representing 40.6%
and 6.4% of the current pool balance, respectively.
At issuance, DBRS shadow-rated the largest loan, One Dag
Hammarskjöld Plaza (Prospectus ID#1, 44.4% of the current pool
balance) as investment-grade. DBRS has today confirmed that the
performance of the loan remains consistent with investment-grade
characteristics.
BLCP HOTEL 2014-CLRN: S&P Affirms BB- Rating on Class E Certs
-------------------------------------------------------------
S&P Global Ratings affirmed its ratings on seven classes of
commercial mortgage pass-through certificates from BLCP Hotel Trust
2014-CLRN, a U.S. commercial mortgage-backed securities (CMBS)
transaction.
The affirmations on the principal- and interest-paying certificate
classes follow S&P's analysis of the transaction primarily using
its criteria for rating U.S. and Canadian CMBS transactions. S&P's
analysis included a review of the portfolio of 41 extended-stay
lodging properties (down from 47 at issuance) across 18 U.S.
states, which secures the $524.3 million floating-rate
interest-only (IO) loan that backs the stand-alone transaction.
S&P also considered the deal structure and liquidity available to
the trust. The affirmations also reflect S&P's expectation that
the available credit enhancement for these classes will be within
its estimate of the necessary credit enhancement required for the
current ratings and S&P's views regarding the current and future
performance of the transaction's collateral.
S&P affirmed its rating on the class X-EXT IO certificates based on
S&P's criteria for rating IO securities, in which the ratings on
the IO securities would not be higher than the lowest-rated
reference class. The notional amount of the class X-EXT
certificates references the aggregate certificate balance of the
class A, B, C, D, E, and F certificates.
The analysis of stand-alone (single borrower) transactions is
predominantly a recovery-based approach that assumes a loan
default. Using this approach, S&P's property-level analysis
included a revaluation of the portfolio of 41 extended-stay
(Residence Inn by Marriott and Homewood Suites by Hilton) lodging
properties totalling 5,193 rooms in 18 U.S. states that secures the
mortgage loan in the trust. Based on the current allocated loan
balance, California has the largest concentration of properties
representing 34.4% of the pool balance followed by Georgia at 8%.
The remaining states represent less than 6% of the pool. S&P's
analysis also considered the volatile collateral performance. S&P
derived its sustainable in-place net cash flow, which S&P divided
by a 9.41% weighted average capitalization rate to determine its
expected-case value. This yielded an overall S&P Global Ratings
loan-to-value ratio and debt service coverage of 93.3% and 1.15x,
respectively, based on the floating rate (spread and LIBOR cap) and
the trust balance.
S&P based its analysis partly on a review of the property's
historical net operating income for the years ended Dec. 31, 2012,
2013, 2015, and 2016. The master servicer provided the Smith
Travel Reports and inspection reports, which S&P used to determine
its opinion of a sustainable cash flow for the lodging properties.
The master servicer, Wells Fargo Bank N.A., reported a debt service
coverage, occupancy, and revenue per available room of 5.08x,
78.2%, and $104.45, respectively, as of year-end 2016 for the
portfolio.
As of the May 15, 2017, trustee remittance report, the IO loan had
a trust and whole-loan balance of $524.3 million, down from $570.0
million at issuance and pays a floating interest rate of one-month
LIBOR plus 2.1145% per year. The loan had an initial two-year term
with three one-year extension options. The borrower has exercised
one of its extension options, and the loan currently matures on
Aug. 9, 2017. The borrower's equity interest also secures $105.0
million of mezzanine financing.
According to the transaction documents, the borrowers will pay the
special servicing, work-out, and liquidation fees, as well as costs
and expenses incurred from appraisals and inspections conducted by
the special servicer. To date, the trust has not incurred any
principal losses.
RATINGS LIST
BLCP Hotel Trust 2014-CLRN
Commercial mortgage pass-through certificates series 2014-CLRN
Rating
Class Identifier To From
A 05550YAA6 AAA (sf) AAA (sf)
X-EXT 05550YAE8 B- (sf) B- (sf)
B 05550YAG3 AA- (sf) AA- (sf)
C 05550YAJ7 A- (sf) A- (sf)
D 05550YAL2 BBB- (sf) BBB- (sf)
E 05550YAN8 BB- (sf) BB- (sf)
F 05550YAQ1 B- (sf) B- (sf)
BRENTWOOD CLO: S&P Lowers Rating on Class D Notes to 'B-'
---------------------------------------------------------
S&P Global Ratings lowered its rating on the class D notes and
affirmed its ratings on the class A-2, B, and C notes from
Brentwood CLO Ltd., a U.S. collateralized loan obligation (CLO)
managed by Highland Capital Management L.P. S&P also removed its
rating on the class D notes from CreditWatch, where it placed it
with negative implications on March 30, 2017.
The rating actions follow S&P's review of the transaction's
performance using data from the trustee report dated April 19,
2017.
Since S&P's last rating actions in November 2015, $242.44 million
has been paid down to the rated notes' principal balances,
resulting in the full payment of the class A-1A and A-1B notes.
This also led to paydowns to the class A-2 and D notes, leaving
these with approximately 41.94% and 76.12% of their original
outstanding balances, respectively. The paydowns to the class D
notes were the result of turbo payments of interest proceeds made
directly to this class due to a breach of the class D
overcollateralization (O/C) test.
Comparing the April 2017 trustee report with the October 2015
trustee report that was referenced at the time of S&P's last rating
actions, there has been some par decrease in the amount of 'CCC'
rated and defaulted collateral held in the portfolio. As of April
2017, the trustee reported the aggregate balance of 'CCC'
obligations was down to $18.29 million from $22.32 million reported
in October 2015, and defaulted collateral was down to $34.41
million from $40.04 million over the same period.
However, as the size of the portfolio has declined, the
concentration of these lower-rated and defaulted obligations has
risen significantly. Specifically, the trustee now reports the
concentration of assets rated 'CCC+' and below is approximately 10%
of the portfolio, and defaulted collateral accounts for
approximately 20%. This increase in lower credit quality assets
has led to a decline in the weighted average rating of the
portfolio to 'B' from 'B+' since S&P's last actions.
The overall diversification of the portfolio has also decreased, to
only 41 performing obligors from 104 at the time of S&P's last
rating actions. The top five largest obligors in the transaction
currently make up more than 32% of the portfolio's performing
collateral balance.
In addition, the underlying portfolio has incurred par losses that
led to the decline in the trustee-reported O/C ratio for the class
D notes; however, the significant senior note paydowns have led to
increases at the other test levels since S&P's last rating
actions.
-- The class A O/C ratio increased to 222.08% from 145.60%.
-- The class B O/C ratio increased to 128.86% from 117.65%.
-- The class C O/C ratio increased slightly to 112.48% from
110.30%.
-- The class D O/C ratio decreased to 103.13% from 105.60% and
below its 104.30% trigger.
The class D O/C ratio failed on the April 2017 payment date, but
this test was cured per the transaction's structural turbo features
by using a combination of interest proceeds paid directly to the
principal balance of the class D notes and principal proceeds paid
to the senior class A-1A and A-1B notes pari passu.
The transaction also has exposure to long-dated assets (assets
maturing after the CLO's stated maturity). According to the April
2017 trustee report, the balance of long-dated assets totaled
$12.74 million (5.20% of the portfolio). A CLO concentrated in
long-dated assets could be exposed to market value risk at maturity
because the collateral manager may have to sell long-dated assets
for less than par to repay the CLO's subordinate ated notes when
they mature. S&P's analysis took into account the potential market
value risk and settlement-related risk arising from the possible
liquidation of the remaining securities on the transaction's legal
final maturity date.
S&P affirmed its 'AAA (sf)' rating on the class A-2 notes based on
its existing credit support.
On a standalone basis, the results of the cash flow analysis
indicated higher ratings on the class B, C, and D notes. However
the application of the largest obligor default test constrained the
ratings on the class B, C, and D notes at 'AA+ (sf)',
'BBB+ (sf)', and 'CCC+ (sf)', respectively.
The affirmation of the class B and C note ratings reflect the
portfolio's increased concentration, decreased diversity, increased
exposures to 'CCC' rated obligations, presence of long-dated
assets, and exposure to companies in the distressed specialty
retail, energy, and commodities sectors.
Although the top obligor test indicated the class D rating to be
'CCC+ (sf)', S&P lowered the rating to 'B- (sf)' considering the
relatively higher O/C level and S&P's opinion that this class does
not represent our definition of 'CCC' credit risk.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with S&P's criteria, its cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults and recoveries upon default under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest and/or
ultimate principal to each of the rated tranches. The results of
the cash flow analysis demonstrated, in S&P's view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with this rating action.
S&P Global Ratings will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the credit
enhancement available to support them and take rating actions as it
deems necessary.
RATING LOWERED AND REMOVED FROM CREDITWATCH
Brentwood CLO Ltd.
Rating
Class To From
D B- (sf) BBB- (sf)/Watch Neg
RATINGS AFFIRMED
Brentwood CLO Ltd.
Class Rating
A-2 AAA (sf)
B AA- (sf)
C BBB+ (sf)
CANTOR COMMERCIAL 2012-CCRE3: Fitch Affirms B Rating on G Certs
---------------------------------------------------------------
Fitch Ratings has affirmed all classes of Cantor Commercial Real
Estate's COMM 2012-CCRE3 commercial mortgage pass-through
certificates.
KEY RATING DRIVERS
Retail Concentration: The pool is concentrated by property type,
with 39.9% of the current balance secured by retail properties.
Four loans in the Top 10 are secured by regional malls and
represent 30.4% of the pool balance. Each of these assets is
located in a secondary market and is anchored by a combination of
at least two department stores that have recently announced store
closures and lacklustre sales figures.
Stable Performance: The underlying pool continues to generally
perform in-line with issuance expectations. One loan, which was
previously in special servicing, has transferred back to the master
servicer as a corrected mortgage loan and reported a YE2016 DSCR of
1.53x.
Amortization: There has been 19.3% collateral reduction since
issuance as a result of scheduled and unscheduled paydown. Four
loans have prepaid from the trust since issuance, contributing
$26.1 million in unscheduled principal. However, three loans,
including the largest loan in the pool, representing 26.4% of the
pool combined are interest only for the full term. Five loans
representing 10.9% of the pool were originally structured with
five-year terms and are scheduled to mature by YE2017.
RATING SENSITIVITIES
Rating Outlooks for all but two classes remain Stable due to
overall stable pool performance and continued amortization. Future
upgrades may occur with improved performance to the largest assets,
namely the regional malls concentrated within the Top 10 and
additional unscheduled amortization or defeasance. The Rating
Outlook for classes F and G has been revised from Stable to
Negative as a result of the high concentration of retail,
specifically regional malls, within the pool, their market
locations, anchor tenant profiles and recent concerns surrounding
the retail market as a whole. Downgrades, although considered
unlikely in the near term, would be possible in the event that a
material change to the pool's credit metrics significantly increase
Fitch's base case loss projections.
Fitch has affirmed the following ratings and revised Rating
Outlooks as indicated:
-- $132.7 million class A-2 at 'AAAsf'; Outlook Stable;
-- $75.8 million class A-SB at 'AAAsf'; Outlook Stable;
-- $576.3 million class A-3 at 'AAAsf'; Outlook Stable;
-- $38 million class A-M at 'AAAsf'; Outlook Stable;
-- $994.9 million* class X-A at 'AAAsf'; Outlook Stable;
-- $24 million class B at 'AA-sf'; Outlook Stable;
-- $8.5 million class C at 'Asf'; Outlook Stable;
-- $0 class PEZ at 'Asf'; Outlook Stable;
-- $26.6 million class D at 'A-sf'; Outlook Stable;
-- $43.8 million class E at 'BBB-sf'; Outlook Stable;
-- $21.9 million class F at 'BB'sf'; Outlook revised to Negative
from Stable;
-- $20.3 million class G at 'Bsf'; Outlook revised to Negative
from Stable.
*Notional amount and interest-only.
Fitch does not rate the class H and X-B certificates. Class A-1 has
been paid in full. The class A-M, B and C certificates may be
exchanges for the class PEZ certificates and vice versa.
CAVALRY CLO IV: S&P Lowers Rating on Class E Notes to 'B+'
----------------------------------------------------------
S&P Global Ratings lowered its ratings on the class D and E notes
from Cavalry CLO IV Ltd., a U.S. collateralized loan obligation
(CLO) managed by Bain Capital Credit L.P. At the same time, S&P
removed the rating on the class E notes from CreditWatch, where it
was placed with negative implications on March 30, 2017. S&P also
affirmed its ratings on the class A loans and the class A, B-1,
B-2, C-1, and C-2 notes from the same transaction.
The rating actions follow S&P's review of the transaction's
performance using data from the May 5, 2017, trustee report.
The lowered ratings reflect a decrease in credit support available
to the rated notes. This is primarily due to the sale of assets,
including those that had defaulted, at prices lower than their
purchase price. This is reflected in a decline in the
overcollateralization (O/C) ratios since the November 2014 trustee
report, which S&P used for its effective date affirmations:
-- The class A/B O/C ratio declined to 128.13% from 132.71%.
-- The class C O/C ratio declined to 117.26% from 121.45%.
-- The class D O/C ratio declined to 110.24% from 114.18%.
-- The class E O/C ratio declined to 104.86% from 108.61%.
It should be noted that the O/C ratios were affected by a haircut
for discount obligations. Specifically, the numerator was reduced
by approximately $0.38 million (0.10% of the collateral principal
amount). There was no haircut for discount obligations at the
transaction's effective date.
Although the O/C ratios are currently passing, the interest
diversion test, which measures the O/C level for class E, is
currently below its trigger of 104.90%. Per the transaction
documents, if this failure continues, the lesser of 50% of
remaining interest proceeds or the amount necessary to bring the
test back into compliance will be used to purchase additional
collateral obligations. However, the rated notes will not receive
the benefit of this test once the transaction exits its
reinvestment period.
The transaction has benefitted from an increase in investment-grade
assets and a slight decline in the portfolio's weighted average
life, down to 5.24 years as of the May 2017 trustee report from
5.60 years at the transaction's effective date. Both of these
developments have lowered the collateral pool's risk profile.
However, the benefit has been largely offset by an increase in
'CCC' assets, which have risen to $16.33 million as of the May 2017
trustee report from $9.69 million as of the November 2014 effective
date report.
Although S&P's cash flow analysis indicated higher ratings for the
class B-1, B-2, C-1, and C-2 notes, its rating actions consider the
decline in credit support, increase in 'CCC' exposure, and the
length of time remaining in the reinvestment period.
The affirmed ratings reflect adequate credit support at the current
rating levels, though any further deterioration in the credit
support available to the notes could result in further rating
changes.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with S&P's criteria, its cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults and recoveries upon default under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest and/or
ultimate principal to each of the rated tranches. The results of
the cash flow analysis demonstrated, in S&P's view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with these rating
actions.
S&P Global Ratings will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the credit
enhancement available to support them and take rating actions as it
deems necessary.
RATING LOWERED AND REMOVED FROM CREDITWATCH
Cavalry CLO IV Ltd.
Rating
Class To From
E B+ (sf) BB (sf)/Watch Neg
RATING LOWERED
Cavalry CLO IV Ltd.
Rating
Class To From
D BBB- (sf) BBB (sf)
RATINGS AFFIRMED
Cavalry CLO IV Ltd.
Class Rating
A loans AAA (sf)
A AAA (sf)
B-1 AA (sf)
B-2 AA (sf)
C-1 A (sf)
C-2 A (sf)
CD 2005-CD1: S&P Raises Rating on Class F Certificates to BB
------------------------------------------------------------
S&P Global Ratings raised its ratings on two classes of commercial
mortgage pass-through certificates from CD 2005-CD1, a U.S.
commercial mortgage-backed securities (CMBS) transaction.
S&P's rating actions on the certificates follow its analysis of the
transaction, primarily using its criteria for rating U.S. and
Canadian CMBS transactions, which included a review of the credit
characteristics and performance of the remaining assets in the
pool, the transaction's structure, and the liquidity available to
the trust.
S&P raised its ratings on classes E and F 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 reflect the reduction in trust balance, as well as
the decline in volume of loans with the special servicer.
While available credit enhancement levels suggest further positive
rating movements on classes E and F, our analysis also considered
the bonds' susceptibility to reduced liquidity support from the two
specially serviced loans ($12.1 million, 11.0%). In addition, our
analysis considered that five of the six remaining nondefeased
loans were either previously modified or have failed to refinance
on their anticipated repayment dates (ARD). Cedarbrook Corporate
Center Portfolio loan and Crain Tower (aggregate balance of $60.3
million, 54.8%) were previously with the special servicer and have
been modified. Connecticare Office Building, ICI-Glidden Research
Center, and Super K – Port Huron, MI loans (aggregate balance of
$34.1 million, 31.1%) have all passed their ARD. Both ICI-Glidden
Research Center, and Super K – Port Huron, MI are secured by
properties where the tenants have vacated a portion or all of the
space.
TRANSACTION SUMMARY
As of the May 17, 2017, trustee remittance report, the collateral
pool balancewas $109.9 million, which is 2.8% of the pool balance
at issuance. The pool currently includes nine loans, down from 225
loans at issuance. Two of these loans are with the special
servicer, one ($2.1 million, 1.9%) is defeased, and two ($60.4
million, 54.9%) are on the master servicer's watchlist. The master
servicer, Midland Loan Services, reported financial information for
39.5% of the nondefeased loans in the pool, of which 83.0% was
year-end 2016 data, and the remainder was year-end 2015 data.
For the six nondefeased performing loans, S&P calculated a 1.15x
S&P Global Ratings' weighted average debt service coverage (DSC)
and 103.6% S&P Global Ratings' weighted average loan-to-value (LTV)
ratio using a 8.55% S&P Global Ratings' weighted average
capitalization rate.
To date, the transaction has experienced $208.1 million in
principal losses, or 5.4% of the original pool trust balance. S&P
expects losses to reach approximately 5.5% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses we expect upon the eventual resolution of the
two specially serviced loans.
CREDIT CONSIDERATIONS
As of the May 17, 2017, trustee remittance report, two loans in the
pool were with the special servicer, LNR Partners LLC. Details of
these specially serviced loans are:
-- The Landfall Park loan is the largest loan with the special
servicer and is the fourth-largest loan in the pool, with a
$7.2 million (6.6%) pool trust balance and a total exposure
of $8.7 million. The loan is secured by a 53,532-sq.-ft.
office property located in Wilmington, N.C., built in 1996.
The loan was transferred to the special servicer on Aug. 13,
2015, due to maturity default. The loan matured on July 1,
2015. The borrower filed for bankruptcy on March 3, 2016.
S&P expects a minimal loss (less than 25.0%) upon this
loan's eventual resolution.
-- The 2150 Joshua Path loan has a $4.9 million (4.5%) pool
trust balance and a total exposure of $6.4 million. The
loan is secured by a 43,797-sq.-ft. office property located
in Hauppauge, N.Y., built in 1989 and renovated in 1998.
The loan was transferred to the special servicer on July 17,
2012, because of delinquent payments and has been deemed
nonrecoverable by the master servicer. The reported DSC and
occupancy as of year-end 2016 were negative 0.64x and 18.8%,
respectively. S&P expects a significant loss (60.0% or
greater) upon the loan's eventual resolution.
S&P estimated losses for the two specially serviced loans, arriving
at a weighted-average loss severity of 38.0%.
RATINGS LIST
CD 2005-CD1 Commercial Mortgage Trust
Commercial mortgage pass-through certificates series CD 2005-CD1
Rating
Class Identifier To From
E 12513EAP9 BBB (sf) BB- (sf)
F 12513EAS3 BB (sf) B (sf)
CEDAR FUNDING II: S&P Assigns Prelim. BB- Rating on Cl. E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1R, A-FR, B-R, C-R, D-R, and E-R replacement notes from Cedar
Funding II CLO Ltd., a collateralized loan obligation (CLO)
originally issued in 2013 that is managed by AEGON USA Investment
Management LLC. The replacement notes will be issued via a
proposed amended indenture.
The preliminary ratings reflect S&P's opinion that the credit
support available is commensurate with the associated rating
levels.
The preliminary ratings are based on information as of June 9,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the June 23, 2017, refinancing date, the proceeds from the
replacement note issuance 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 our preliminary ratings
on the replacement 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 preliminary rating levels associated
with these rating actions.
PRELIMINARY RATINGS ASSIGNED
Cedar Funding II CLO Ltd./Cedar Funding II CLO LLC
Replacement class Rating Amount (mil. $)
A-1R AAA (sf) 209.00
A-FR AAA (sf) 11.00
B-R AA (sf) 48.00
C-R A (sf) 18.00
D-R BBB (sf) 19.00
E-R BB- (sf) 19.00
CFCRE COMMERCIAL 2017-C8: Fitch Assigns B- Rating to Cl. F Certs
----------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to CFCRE Commercial Mortgage Trust 2017-C8 Commercial
Mortgage Pass-Through Certificates:
-- $24,296,843 class A-1 'AAAsf'; Outlook Stable;
-- $46,884,211 class A-2 'AAAsf'; Outlook Stable;
-- $36,236,843 class A-SB 'AAAsf'; Outlook Stable;
-- $155,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $188,844,211 class A-4 'AAAsf'; Outlook Stable;
-- $451,262,108b class X-A 'AAAsf'; Outlook Stable;
-- $70,911,580b class X-B 'AA-sf'; Outlook Stable;
-- $32,232,632b class X-C 'A-sf'; Outlook Stable;
-- $32,232,632 class A-M 'AAAsf'; Outlook Stable;
-- $38,678,948 class B 'AA-sf'; Outlook Stable;
-- $32,232,632 class C 'A-sf'; Outlook Stable;
-- $38,678,948ab class X-D 'BBB-sf'; Outlook Stable;
-- $17,727,369ab class X-E 'BB-sf'; Outlook Stable;
-- $7,251,579ab class X-F 'B-sf'; Outlook Stable;
-- $38,678,948a class D 'BBB-sf'; Outlook Stable;
-- $17,727,369a class E 'BB-sf'; Outlook Stable;
-- $7,251,579a class F 'B-sf'; Outlook Stable.
The following classes are not rated by Fitch:
-- $26,596,519ab class X-G;
-- $26,596,519a class G;
-- $32,233,735c VRR Interest.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest only.
(c) Vertical credit risk retention interest representing 5% of the
pool balance (as of the closing date).
Since Fitch issued its expected ratings on May 8, 2017, the class
A-2 balance decreased from $48,110,527 to $46,884,211 and the class
A-SB balance increased from $35,010,527 to $36,236,843.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 43 loans secured by 67
commercial properties having an aggregate principal balance of
$644,660,735 as of the cut-off date. The loans were contributed to
the trust by Cantor Commercial Real Estate Lending, L.P., Rialto
Mortgage Finance, LLC., and UBS AG.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 72.9% of the properties
by balance, cash flow analysis of 80.1%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Fitch Leverage Higher than Recent Transactions: The pool has higher
leverage than other Fitch-rated multiborrower transactions. The
pool's Fitch debt service coverage ratio (DSCR) of 1.14x is worse
than the 2016 average of 1.21x and year-to-date (YTD) 2017 average
of 1.22x. The pool's Fitch loan-to-value (LTV) of 106.7% is
slightly worse than the 2016 average of 105.2% and the YTD 2017
average of 104.7%.
Single-Tenant Properties: Five of the 20 largest loans are
collateralized by single-tenant properties (19.4% of the pool):
Yeshiva University Portfolio (5.4%), 380 Lafayette Street (5.0%),
Google Kirkland Campus Phase II (3.5%), Art Van Portfolio (3.2%)
and Brink's Office (2.2%). Fitch conducted a dark-value analysis to
test the probability of recovery in the event that the tenant in
each case vacated the entire property. Fitch was comfortable the
dark value covers the implied high investment-grade proceeds for
the single-tenant properties sampled except the Yeshiva University
Portfolio. Fitch increased the 'AAAsf' lost estimate to account for
the shortfall allocable to the Yeshiva University Portfolio loan.
Above-Average Amortization: Based on the scheduled balance at
maturity, the pool will pay down by 10.8%, which is in line with
the 2016 average of 10.4% and above the YTD 2017 average of 7.8%.
Seven loans representing 24.1% of the pool are full-term interest
only, and 16 loans representing 40.9% of the pool are partial
interest only. Fitch-rated transactions for YTD 2017 had an average
full-term interest-only percentage of 45.9% and a partial
interest-only percentage of 29.2%.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 12.6% 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 CFCRE
2017-C8 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 'BBB-sf'
could result.
CGDB COMMERCIAL 2017-BIO: S&P Gives Prelim B+ Rating on Cl. F Certs
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to CGDB
Commercial Mortgage Trust 2017-BIO's $330.0 million commercial
mortgage pass-through certificates series 2017-BIO.
The certificate issuance is backed by a two-year, floating-rate
commercial mortgage loan totaling $330 million, with three one-year
extension options, secured by a first lien on the borrowers' fee
and leasehold interests in a portfolio of 18 life science, office,
laboratory, and medical properties totaling 1.44 million sq. ft.
The properties are located in California, Colorado, Massachusetts,
Maryland, New Jersey, Pennsylvania, and Washington.
The preliminary ratings are based on information as of May 31,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of the collateral's
historic and projected performance, the sponsor's and managers'
experience, the trustee-provided liquidity, the loan's terms, and
the transaction's structure.
PRELIMINARY RATINGS ASSIGNED
CGDB Commercial Mortgage Trust 2017-BIO
Class Rating(i) Amount ($)
A AAA (sf) 154,356,000
X-CP BBB- (sf) 69,517,700(ii)
X-NCP BBB- (sf) 99,311,000(ii)
B AA- (sf) 37,196,000
C A- (sf) 27,896,000
D BBB- (sf) 34,219,000
E BB- (sf) 46,493,000
F B+ (sf) 13,340,000
RR(iii) NR 16,500,000
(i) The rating on each class of securities is preliminary and
subject to change at any time. The issuer will issue the
certificates to qualified institutional buyers in line with
Rule 144A of the Securities Act of 1933.
(ii) Notional balance. The notional amount of the class X-CP
certificates will be equal to the aggregate of the portion
balances of the class B portion 2, class C portion 2, and
class D portion 2 at certain times. The notional amount of
the class X-NCP certificates will be equal to the aggregate
of the certificate balances of the class B, class C, and
class D certificates at certain times.
(iii)Non-offered vertical interest certificate.
LTV--Loan-to-value ratio, based on S&P Global Ratings' values.
N/A--Not applicable.
NR--Not rated.
CITIGROUP 2014-GC23: Fitch Affirms 'B-sf' Rating on Cl. F Certs
---------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Citigroup Commercial
Mortgage Trust, commercial mortgage pass-through certificates,
series 2014-GC23 (CGCMT 2014-GC23).
KEY RATING DRIVERS
Stable Performance: The affirmations reflect the stable performance
of the majority of the pool since issuance. As of the May 2017
remittance reporting, the pool has paid down 4.6% since issuance.
Four loans, which represented 2.8% of the original pool balance,
were prepaid with yield maintenance penalties since Fitch's last
rating action. Two loans (1.1% of current pool) have been defeased.
There have been no realized losses to date.
Fitch Loans of Concern: Fitch has designated seven loans (6.6% of
current pool) as Fitch Loans of Concern (FLOCs), which include the
eighth largest loan in the pool (3%), five other performing loans
outside of the top 15 (3.4%) and one small specially serviced loan
(0.2%). The Wells Fargo Center (3%) reported declines in
property-level revenue and NOI of 15% and 33%, respectively,
between 2015 and 2016, due to lower base rents, expense
reimbursements and parking income.
The five other FLOCs outside of the top 15 (3.4%) include a retail
property (1.2%) that lost its largest tenant due to bankruptcy; an
industrial property (0.4%) with lower occupancy due to a tenant's
partial lease termination; a portfolio of multifamily properties
(1%) with declining cash flow, lower occupancy and below market
rents; an underperforming hotel property (0.4%) affected by
weakness in the energy sector and a multifamily property (0.4%)
impacted by a fire that took units off line.
Specially Serviced Loan: The Cedar Ridge East Townhomes loan
(0.2%), which was secured by a 44-unit multifamily property located
in Arlington, TX, transferred to special servicing in July 2016 for
imminent monetary default. The borrower, which had a history of
making late payments, defaulted on its debt service obligations and
agreed to a stipulated deed-in-lieu of foreclosure, which occurred
in April 2017. Third-party management has been retained and is in
the process of addressing deferred maintenance issues, as well as
property lease-up to improve overall occupancy.
Pool Concentrations: The top three loans represent 27.7% of the
current pool balance; the top 10 loans, 56.1% and the top 15 loans,
66.9%. The largest property types in the current pool include
retail at 33.6%, multifamily at 17.7%, hotel at 17.5%, mixed-use at
13.2% and office at 12%. Regional mall exposure is limited to the
fourth largest loan comprising 6% of the pool. Geographic
concentrations consist of New York (23.1%) and California (15%),
which includes four of the top 10 loans (30.9%).
Below-Average Loan Amortization: The pool is scheduled to amortize
by 11% of the initial pool balance prior to maturity. At issuance,
Fitch noted below-average pool amortization due to an above-average
concentration of interest-only and partial interest-only loans.
Three loans (25.6% of current pool) are full-term interest-only
loans, including the largest, second largest and fifth largest
loans in the pool. An additional 32 of the remaining loans (45.4%)
had a partial interest-only period at issuance; 11 of these loans
(16.1%) have already begun making their principal and interest
(P&I) payments, another 10 loans (12.7%) will begin P&I payments
either in July or August 2017 and the remaining 11 loans will begin
P& I payments in 2018 (8%) and 2019 (8.6%).
Loan Maturities: Loan maturities are concentrated in 2024 (95% of
the current pool). The remaining 5% matures in 2019.
RATING SENSITIVITIES
Rating Outlooks for all classes remain Stable due to the overall
stable performance of the majority 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 significantly.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following classes as indicated:
-- $79.3 million class A-2 at 'AAAsf'; Outlook Stable;
-- $300 million class A-3 at 'AAAsf'; Outlook Stable;
-- $345.2 million class A-4 at 'AAAsf'; Outlook Stable;
-- $81.8 million class A-AB at 'AAAsf'; Outlook Stable;
-- $95.5 million class A-S at 'AAAsf'; Outlook Stable;
-- $901.8 million* class X-A at 'AAAsf'; Outlook Stable;
-- $80.1 million class B at 'AAsf'; Outlook Stable;
-- $49.3 million class C at 'A-sf'; Outlook Stable;
-- $129.4 million* class X-B at 'A-sf'; Outlook Stable;
-- $224.8 million class PEZ at 'A-sf'; Outlook Stable;
-- $64.7 million class D at 'BBB-sf'; Outlook Stable;
-- $24.6 million class E at 'BB-sf'; Outlook Stable;
-- $24.6 million* class X-C at 'BB-sf'; Outlook Stable;
-- $9.2 million class F at 'B-sf'; Outlook Stable.
*Notional and interest-only.
The class A-1 certificates have paid in full. Fitch does not rate
the class G or X-D certificates. The class A-S, class B and class C
certificates may be exchanged for class PEZ certificates, and class
PEZ certificates may be exchanged for the class A-S, class B and
class C certificates.
COMM 2013-CCRE9: Fitch Affirms Bsf Rating on Class F Certs
----------------------------------------------------------
Fitch Ratings has affirmed 13 classes of Deutsche Bank Securities,
Inc.'s COMM 2013-CCRE9 commercial mortgage pass-through
certificates.
KEY RATING DRIVERS
The affirmations reflect stable performance of the pool since
issuance. As of the May 2017 distribution date, the pool's
aggregate principal balance has been reduced by 7.4% to $1.2
billion from $1.3 billion at issuance. Eight loans (9.7% of the
pool) are on the servicer's watchlist due to declining performance
or tenant rollover risk; six (6.1%) are considered Fitch loans of
concern. Five loans (8.4%) are defeased.
Diverse Pool: The largest property type in the pool is retail at
37.9%; the next largest is industrial at only 12.7%. Hotel
properties represent only 10.3% of the pool. The largest 10 loans
in the transaction represent 47.2% of the total pool balance.
Secondary Mall Concentration: Three of the 11 largest loans in the
pool are secured by regional malls. Northridge Mall, Valley Hills
Mall and Sarasota Square represent 15.1% of the pool.
Average Amortization and Interest-Only Loans: Seven loans
representing 19.8% of the pool are full-term interest-only, and the
pool amortizes 16.1% over the term. Additionally, the pool has 19
partial-interest loans representing 36.2% of the pool. These
figures are in line with those for transactions rated by Fitch in
first-quarter 2013 and 2012, which had average full-term
interest-only loans of 19% and 13%, respectively.
RATING SENSITIVITIES
Rating Outlooks for all classes remain Stable due to the 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.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
-- $62.1 million class A-2 at 'AAAsf', Outlook Stable;
-- $112.2 million class A-SB at 'AAAsf', Outlook Stable;
-- $100 million class A-3 at 'AAAsf', Outlook Stable;
-- $100 million class A-3FL at 'AAAsf', Outlook Stable;
-- $0 class A-3FX at 'AAAsf', Outlook Stable;
-- $436 million class A-4 at 'AAAsf', Outlook Stable;
-- $127.8 million class A-M at 'AAAsf', Outlook Stable;
-- $80.9 million class B at 'AA-sf', Outlook Stable;
-- $45.3 million class C at 'A-sf', Outlook Stable;
-- $50.1 million class D at 'BBB-sf', Outlook Stable;
-- $27.5 million class E at 'BBsf', Outlook Stable;
-- $12.9 million class F at 'Bsf', Outlook Stable;
-- $938.1 billion class X-A at 'AAAsf', Outlook Stable.
Class A-1 was repaid in full. Fitch does not rate the class G or
X-B certificates.
COMMONBOND STUDENT 2017-A: DBRS Finalizes BB Ratings on Cl. C Debt
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes issued by CommonBond Student Loan Trust 2017-A-GS (CBSLT
2017-A-GS):
-- $135,128,000 Class A-1 rated AA (sf)
-- $64,947,000 Class A-2 rated AA (sf)
-- $22,629,000 Class B rated BBB (sf)
-- $8,980,000 Class C rated BB (sf)
The finalized ratings are based on a review by DBRS of the
following analytical considerations:
-- The transaction's form and sufficiency of available credit
enhancement.
-- The quality and credit characteristics of the student loan
borrowers.
-- Structural features of the transaction that require the Notes
to enter into full turbo principal amortization if certain
performance triggers are breached or if credit enhancement
deteriorates.
-- The experience, underwriting and origination capabilities of
CommonBond Lending, LLC.
-- The ability of the Servicer to perform collections on the
collateral pool and other required activities.
-- The legal structure and legal opinions that address the true
sale of the student loans, the non-consolidation of the trust,
that the trust has a valid first-priority security interest in
the assets and consistency with the DBRS “Legal Criteria for
U.S. Structured Finance” methodology.
The fixed-rate Class A-1 Notes are secured by a group of fixed-rate
loans. The variable-rate Class A-2 Notes are secured by a group of
variable-rate loans. The Class B Notes and Class C Notes are
secured by both the fixed-rate and variable-rate loan groups.
CBSLT 2017-A-GS uses a traditional pass-through structure, with
credit enhancement consisting of overcollateralization, a separate
reserve account for each class of Class A Notes, separate liquidity
accounts for the Class B Notes and Class C Notes, subordination
provided by the Class B Notes and Class C Notes for the benefit of
the Class A Notes, subordination provided by the Class C Notes for
the benefit of the Class B Notes, excess spread and limited
cross-collateralization.
CREDIT SUISSE 2005-C3: S&P Affirms 'B-' Rating on Class C Certs
---------------------------------------------------------------
S&P Global Ratings raised its rating on the class B commercial
mortgage pass-through certificates from Credit Suisse First Boston
Mortgage Securities Corp.'s series 2005-C3, a U.S. commercial
mortgage-backed securities (CMBS) transaction. In addition, S&P
affirmed its rating on class C from the same transaction.
S&P's rating actions follow its analysis of the transaction,
primarily using its criteria for rating U.S. and Canadian CMBS
transactions, which included a review of the credit characteristics
and performance of the remaining assets in the pool, the
transaction's structure, and the liquidity available to the trust.
S&P raised its rating on class B to reflect its expectation of the
available credit enhancement for the class, which S&P believes is
greater than its most recent estimate of necessary credit
enhancement for the respective rating level, the trust balance's
significant reduction, and the class's interest shortfall history.
S&P affirmed its rating on class C to reflect its expectation that
the available credit enhancement for the class will be within its
estimate of the necessary credit enhancement required for the
current rating and S&P's views regarding the current and future
performance of the transaction's collateral.
While available credit enhancement levels suggest positive rating
movement on class C, S&P's analysis also considered the
susceptibility to reduced liquidity support from the two specially
serviced assets ($22.7 million aggregate balance, which is about
39.1% of the collateral balance), as well as the class's interest
shortfall history and its full repayment timing.
TRANSACTION SUMMARY
As of the May 17, 2017, trustee remittance report, the collateral
pool balance was $58.2 million, which is 3.6% of the pool balance
at issuance. The transaction is currently undercollateralized,
with the trust pool balance totaling $59.8 million, which is 3.7%
of the pool balance at issuance. The pool currently includes 13
loans and two real estate-owned (REO) assets, down from 190 loans
at issuance. Two of these assets are with the special servicer, no
loans are defeased, and 12 loans ($32.6 million, 56.0% of the
collateral balance) are on the master servicer's watchlist, of
which nine ($27.2 million, 46.7%) are secured by residential
cooperative properties (co-op loans). The master servicers,
Midland Loan Services and National Cooperative Bank N.A.,
collectively reported financial information for 53.5% of the loans
in the pool, of which 10.6% was year-end 2016 data, and the
remainder was partial-year or year-end 2015 data.
Excluding the two specially serviced assets and nine co-op loans,
S&P calculated a 0.95x S&P Global Ratings' weighted average debt
service coverage (DSC) and 67.5% S&P Global Ratings' weighted
average loan-to-value ratio using a 7.90% S&P Global Ratings'
weighted average capitalization rate for the four performing
loans.
To date, the transaction has experienced $111.4 million in
principal losses, or 6.8% of the original pool trust balance. S&P
expects losses to reach approximately 7.7% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses S&P expects upon the eventual resolution of
the two specially serviced assets.
CREDIT CONSIDERATIONS
As of the May 17, 2017, trustee remittance report, two assets in
the pool were with the special servicer, C-III Asset Management LLC
(C-III). Details are:
-- The Tri-Pointe Plaza REO asset ($12.7 million, 21.9% of the
collateral balance), the largest asset in the pool, has
$15.7 million total reported exposure. The asset is a
152,567-sq.-ft. suburban office property in Tucson, Ariz.
The loan was transferred to the special servicer on July 18,
2012, for imminent monetary default due to a decline in
occupancy. The property became REO on July 9, 2013.
According to the March 31, 2017, rent roll, the property was
56.0% occupied. C-III indicated that it is currently
evaluating the strategy and timing of the eventual sale of
the REO asset. A $7.8 million appraisal reduction amount
(ARA) is in effect against the asset, and S&P expects a
significant loss (greater than 60%) upon its eventual
resolution.
-- The University Park REO asset ($10.0 million, 17.2%), the
third-largest asset in the pool, has $11.8 million total
reported exposure. The asset is a 109,434-sq.-ft. retail
property in Clive, Iowa. The loan was transferred to the
special servicer on Feb. 13, 2014, due to imminent monetary
default. The property became REO on Nov. 2, 2015.
According to the April 20, 2017, rent roll, the property was
74.0% occupied. C-III indicated that it is currently
working on leasing up the vacant space. A $5.6 million ARA
is in effect against the asset, and S&P's expect a
significant loss upon its eventual resolution.
S&P estimated losses for the two specially serviced assets,
arriving at a weighted average loss severity of 63.8%.
RATINGS LIST
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2005-C3
Rating
Class Identifier To From
B 225458VV7 AA+ (sf) BB+ (sf)
C 225458VW5 B- (sf) B- (sf)
CSAIL 2017-C8: Fitch to Rate Class F Certs 'B-sf'
-------------------------------------------------
Fitch Ratings has issued a presale report on CSAIL 2017-C8
Commercial Mortgage Trust Commercial Mortgage Pass-Through
Certificates Series 2017-C8.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $17,863,000 class A-1 'AAAsf'; Outlook Stable;
-- $163,585,000 class A-2 'AAAsf'; Outlook Stable;
-- $142,336,000 class A-3 'AAAsf'; Outlook Stable;
-- $213,505,000 class A-4 'AAAsf'; Outlook Stable;
-- $30,449,000 class A-SB 'AAAsf'; Outlook Stable;
-- $651,885,000b class X-A 'AAAsf'; Outlook Stable;
-- $78,065,000b class X-B 'A-sf'; Outlook Stable;
-- $84,147,000 class A-S 'AAAsf'; Outlook Stable;
-- $44,608,000 class B 'AA-sf'; Outlook Stable;
-- $33,457,000 class C 'A-sf'; Outlook Stable;
-- $32,442,000a class D 'BBB-sf'; Outlook Stable;
-- $18,248,000a class E 'BB-sf'; Outlook Stable;
-- $7,097,000acd class F 'B-sf'; Outlook Stable.
The following class is not expected to be rated:
-- $23,318,563ac class NR.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
(c) Horizontal credit risk retention interest representing 3.60% of
the pool balance (as of the closing date).
(d) The Class F tranche is thinner than Fitch would normally
desire. However, the transaction has a significant percentage of
investment-grade credit opinion loans.
VRR Interest - The amount of vertical risk retention interest is
expected to represent 4.13% ($33,502,563) of the pool balance, but
may be larger or smaller if necessary to satisfy U.S. risk
retention requirements at closing.
The expected ratings are based on information provided by the
issuer as of June 13, 2017.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 32 loans secured by 55
commercial properties having an aggregate principal balance of
$811,055,563 as of the cut-off date. The loans were contributed to
the trust by Column Financial, Inc., Natixis Real Estate Capital
LLC, and Benefit Street Partners CRE Finance LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 87.3% of the properties
by balance, cash flow analysis of 89.8%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Lower Fitch Leverage than Recent Transactions: The pool's leverage
statistics are lower than recent comparable Fitch-rated
multiborrower transactions. The pool's Fitch DSCR of 1.29x is
better than the 2017 YTD average of 1.21x and 2016 average of
1.21x. The pool's Fitch LTV of 91.0% is significantly better than
the 2017 YTD and 2016 averages of 104.1% and 105.2%, respectively.
Excluding the transaction's four credit opinion loans and
multifamily cooperative loans, the pool has a Fitch DSCR and LTV of
1.18x and 106.6%.
Investment-Grade Credit Opinion Loans: Four loans, representing
34.4% of the pool, have investment-grade credit opinions. 85 Broad
Street (11.1% of the pool), 245 Park Avenue (9.9%) and Apple
Sunnyvale (8.7%) each have an investment-grade credit opinion of
'BBB-sf*' on a stand-alone basis. Urban Union Amazon (4.7%) has an
investment-grade credit opinion of 'AAsf' on a stand-alone basis.
The pool's credit opinion loan concentration is significantly above
the respective 2017 YTD and 2016 averages of 5.5% and 8.4%.
Highly Concentrated Pool: The largest 10 loans compose 62.9% of the
pool, higher than the average top 10 concentration for 2017 YTD and
2016 of 52.9% and 54.8%, respectively. The pool's loan
concentration index (LCI) score is 617, indicating greater
concentration than the 2017 YTD average of 391 and 2016 average of
422. The pool is concentrated in the New York Metro area with 33.1%
of the pool located in NYC and surrounding suburbs in New York, New
Jersey and Connecticut.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 8.4% below
the most recent year's net operating income (NOI) for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period. Unanticipated further declines
in property-level NCF could result in higher defaults and loss
severities on defaulted loans and in potential rating actions on
the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the
CSAIL 2017-C8 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 'Asf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf'
could result.
DBJPM 2017-C6: DBRS Assigns BB(low)(sf) Ratings to Cl. F-RR Debt
----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2017-C6 (the
Certificates) to be issued by DBJPM 2017-C6 Mortgage Trust:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-M at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class X-B at AA (low) (sf)
-- Class C at A (high) (sf)
-- Class D at BBB (sf)
-- Class X-D at BBB (high) (sf)
-- Class E-RR at BB (high) (sf)
-- Class F-RR at BB (low) (sf)
All trends are Stable.
Classes X-B, X-D, D, E-RR and F-RR 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' position within the transaction payment
waterfall when determining the appropriate rating.
The collateral consists of 41 fixed-rate loans secured by 196
commercial and multifamily properties. The transaction is a
sequential-pay pass-through structure. 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. Trust assets contributed from two loans,
representing 14.6% of the pool, are shadow-rated investment grade
by DBRS. Proceeds for the shadow-rated loans are floored at their
respective rating within the pool. When the combined 14.6% of the
pool has no proceeds assigned below the rating floor, the resulting
pool subordination is diluted or reduced below that rated floor.
When the cut-off loan balances were measured against the DBRS
Stabilized net cash flow (NCF) and their respective actual
constants, four loans, representing 6.7% 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.
Additionally, to assess refinance risk given the current low
interest rate environment, DBRS applied its refinance constants to
the balloon amounts. This resulted in 23 loans, representing 67.7%
of the pool, having refinance DSCRs below 1.00x, and 16 loans,
representing 52.7% of the pool, with refinance DSCRs below 0.90x.
These credit metrics are based on whole loan balances.
Eight loans, representing 32.2% of the pool, are located in either
urban or super dense urban markets, both of which benefit from
consistent investor demand and increased liquidity even in times of
stress. Five loans (245 Park Avenue, Olympic Tower, 211 Main
Street, 740 Madison and The Tides Building), representing 26.8% of
the pool, are located in super dense urban markets, including
Manhattan and Santa Monica. Three loans (Wilmont, Union
Hotel-Brooklyn and 436 Bryant), representing 5.4% of the pool, are
located in urban markets, including Los Angeles, Brooklyn and San
Francisco. Additionally, only six loans, representing 9.3% of the
pool, are located in tertiary/rural markets. Term default risk is
low as indicated by the strong WA DBRS Term DSCR of 1.84x. In
addition, 21 loans, representing 66.4% of the pool, have a DBRS
Term DSCR in excess of 1.50x, and only four loans, comprising 6.7%
of the pool, have a DBRS Term DSCR below 1.15x. Even when excluding
the two investment-grade shadow-rated loans (Gateway Net Lease
Portfolio and Olympic Tower), the deal exhibits a favorable DBRS
Term DSCR of 1.79x. Two of the top five loans (Gateway Net Lease
Portfolio and Olympic Tower), representing a combined 14.6% of the
pool, exhibit credit characteristics consistent with
investment-grade shadow ratings. The Gateway Net Lease Portfolio
loan exhibits credit characteristics consistent with a BBB (high)
shadow rating, and the Olympic Tower loan exhibits credit
characteristics consistent with an A (low) shadow rating. For
additional information on these three assets, please refer to pages
15, 21 and 27 of the presale report, respectively.
The pool is concentrated based on loan size, with a concentration
profile equivalent to that of 23 equal-sized loans. The largest
five and ten loans total 35.9% and 57.4% of the pool, respectively.
A concentration penalty was applied given the pool's lack of
diversity, which increases each loan's POD. While the transaction
is concentrated in the largest ten loans, two of the top five loans
(Gateway Net Lease Portfolio and Olympic Tower), comprising 22.9%
of the transaction balance, are shadow-rated investment grade by
DBRS. Additionally, five of the top ten loans, or 29.3% of the
pool, are located in urban or super dense urban markets. Properties
located in urban markets benefit from consistent investor demand,
even in times of stress. Fourteen loans, representing 59.4% of the
pool, including ten of the largest 15 loans, are structured with
full-term IO payments. An additional 14 loans, comprising 22.7% of
the pool, have partial IO periods ranging from 24 months to 60
months. As a result, the transaction's scheduled amortization by
maturity is only 6.0%, which is generally below other recent
conduit securitizations. The DBRS Term DSCR is calculated using the
amortizing debt service obligation, and the DBRS Refi DSCR is
calculated considering the balloon balance and lack of amortization
when determining refinance risk. DBRS determines POD based on the
lower of term or refinance DSCR; therefore, loans that lack
amortization are treated more punitively. Seven of the full-term IO
loans, representing 53.2% of the full-IO concentration in the
transaction, are located in either urban or super dense urban
markets. Additionally, two of these loans (Gateway Net Lease
Portfolio and Olympic Tower) are shadow-rated investment grade by
DBRS.
The DBRS sample included 24 of the 41 loans in the pool. Site
inspections were performed on 74 of the 196 properties in the
portfolio (72.4% of the pool by allocated loan balance). The DBRS
sample had an average NCF variance of -8.4% from the Issuer's NCF
and ranged from -18.6% (245 Park Avenue) to +1.7% (211 Main
Street).
DEEPHAVEN RESIDENTIAL 2017-2: S&P Rates Class B-2 Notes 'B'
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to Deephaven Residential
Mortgage Trust 2017-2's $248.632 million mortgage pass-through
notes.
The note issuance is residential mortgage-backed securities
transaction backed by first-lien, fixed- and adjustable-rate and
interest-only residential mortgage loans secured by single-family
residences, planned-unit developments, and condominiums to
nonconforming borrowers.
The ratings reflect:
-- The pool's collateral composition;
-- The credit enhancement provided for this transaction;
-- The transaction's associated structural mechanics;
-- The transaction's representation and warranty framework; and
-- The mortgage aggregator.
RATINGS ASSIGNED
Deephaven Residential Mortgage Trust 2017-2
Class Rating(i) Amount
(mil. $)
A-1 AAA (sf) 162,836,000
A-2 AA (sf) 17,259,000
A-3 A (sf) 32,768,000
M-1 BBB (sf) 12,631,000
B-1 BB (sf) 14,633,000
B-2 B (sf) 8,505,000
B-3 NR 1,500,827
XS NR Notional(ii)
R NR N/A
(i) The collateral and structural information in this report
reflects the final term sheet dated June 2, 2017. The ratings
address ultimate principal and interest payments, but interest can
be deferred on the classes.
(ii) Notional equals to the aggregate balance of the class A-1,
A-2, A-3, M-1, B-1, B-2, and B-3 notes.
NR--Not rated.
N/A--Not applicable.
ELEVATION CLO 2017-6: Moody's Assigns (P)B3 Rating to Cl. F Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to seven
classes of notes to be issued by Elevation CLO 2017-6, Ltd. (the
"Issuer" or "Elevation CLO 2017-6").
Moody's rating action is:
US$256,000,000 Class A-1 Senior Secured Floating Rate Notes due
2029 (the "Class A-1 Notes"), Assigned (P)Aaa (sf)
US$12,000,000 Class A-2 Senior Secured Floating Rate Notes due 2029
(the "Class A-2 Notes"), Assigned (P)Aaa (sf)
US$36,000,000 Class B Senior Secured Floating Rate Notes due 2029
(the "Class B Notes"), Assigned (P)Aa2 (sf)
US$24,000,000 Class C Secured Deferrable Floating Rate Notes due
2029 (the "Class C Notes"), Assigned (P)A2 (sf)
US$22,000,000 Class D Secured Deferrable Floating Rate Notes due
2029 (the "Class D Notes"), Assigned (P)Baa3 (sf)
US$18,000,000 Class E Secured Deferrable Floating Rate Notes due
2029 (the "Class E Notes"), Assigned (P)Ba3 (sf)
US$8,000,000 Class F Secured Deferrable Floating Rate Notes due
2029 (the "Class F Notes"), Assigned (P)B3 (sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the
Class C Notes, the Class D Notes, the Class E Notes, and the Class
F 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.
Elevation CLO 2017-6 is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated first lien
senior secured corporate loans. At least 90% of the portfolio must
consist of senior secured loans and eligible investments purchased
with principal proceeds, and up to 10% of the portfolio may consist
of senior unsecured loans, second lien loans, and first-lien
last-out loans. Moody's expects the portfolio to be approximately
75% ramped as of the closing date.
325 Fillmore LLC (the "Manager") will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's four year reinvestment period.
Thereafter, the Manager may reinvest unscheduled principal payments
and proceeds from sales of credit risk assets, subject to certain
restrictions.
In addition to the Rated Notes, the Issuer will issue one class of
subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in October 2016.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $400,000,000
Diversity Score: 62
Weighted Average Rating Factor (WARF): 2690
Weighted Average Spread (WAS): 3.70%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 8.2 years.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
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 2690 to 3094)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2 Notes: -1
Class B Notes: -1
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Class F Notes: 0
Percentage Change in WARF -- increase of 30% (from 2690 to 3497)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -3
Class B Notes: -3
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
Class F Notes: -2
FIGUEROA CLO 2013-2: S&P Assigns Prelim. BB Rating on Cl. D-R Debt
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
X-R, A-1R, A-2R, B-R, C-R, and D-R replacement notes from Figueroa
CLO 2013-2 Ltd., a collateralized loan obligation (CLO) originally
issued in December 2013 that is managed by TCW Asset Management Co.
LLC. 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.
The preliminary ratings are based on information as of June 9,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the June 20, 2017, 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 notes are being issued via a proposed supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, will also:
-- The replacement class A-1R, A-2R, and B-R notes are expected
to be issued at lower spreads than the original notes, and
the replacement class C-R and D-R notes are expected to be
issued at higher spreads than the original notes.
-- The replacement class X-R note will be paid down by $250,000
per quarter from the interest waterfall. The proceeds of
the X-R note issuance will be used to reinvest.
-- The non-call period, the reinvestment period, and the stated
maturity will be extended to June 2018, June 2019, and
June 2027, respectively. The weighted average life test has
also been extended.
-- Of the underlying collateral obligations, 98.66% have credit
ratings assigned by S&P Global Ratings.
-- Of the underlying collateral obligations, 93.22% have
recovery ratings issued by S&P Global Ratings.
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.
S&P's review of the transaction relied in part upon a criteria
interpretation with respect to its May 2014 criteria, "CDOs:
Mapping A Third Party's Internal Credit Scoring System To Standard
& Poor's Global Rating Scale," which allows S&P to use a limited
number of public ratings from other Nationally Recognized
Statistical Rating Organizations (NRSROs) to assess the credit
quality of assets not rated by S&P Global Ratings. The criteria
provide specific guidance for the treatment of corporate assets not
rated by S&P Global Ratings, while the interpretation outlines the
treatment of securitized assets.
S&P 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
Figueroa CLO 2013-2 Ltd.
Replacement class Rating Amount (mil. $)
X-R AAA (sf) 2.00
A-1R AAA (sf) 245.00
A-2R AA (sf) 48.00
B-R (deferrable) A (sf) 25.50
C-R (deferrable) BBB (sf) 20.50
D-R (deferrable) BB (sf) 18.00
Subordinated notes NR 43.00
NR--Not rated.
FLAGSHIP CREDIT 2017-2: S&P Affirms BB- Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to Flagship Credit Auto
Trust 2017-2's $195.29 million automobile receivables-backed notes
series 2017-2.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The ratings reflect:
- The availability of approximately 50.34%, 40.96%, 32.35%,
25.47%, and 20.22% credit support (including excess spread) for
the class A, B, C, D, and E notes, respectively, based on
stressed cash flow scenarios. These credit support levels
provide coverage of approximately 3.50x, 3.00x, 2.30x, 1.75x,
and 1.40x S&P's 12.80%-13.30% expected cumulative net loss
(CNL) range for the class A, B, C, D, and E notes,
respectively. These break-even scenarios cover total cumulative
gross defaults (using a recovery assumption of 40%) of
approximately 84%, 68%, 54%, 43%, and 34%, respectively.
- The timely interest and principal payments made under stressed
cash flow modeling scenarios that are appropriate to the
assigned ratings.
- The expectation that under a moderate ('BBB') stress scenario,
all else being equal, S&P's ratings on the class A and B notes
would not be downgraded by more than one rating category from
S&P's 'AAA (sf)' and 'AA (sf)' ratings for the life of the
transaction, and S&P's ratings on the class C and D notes would
not be downgraded more than two rating categories from S&P's 'A
(sf)' and 'BBB (sf)' ratings for the life of the deal. The
rating on the class E notes would remain within two rating
categories of S&P's 'BB- (sf)' rating within the first year,
but the class would eventually default under the 'BBB' stress
scenario after receiving 42%-55% of its principal. The above
rating movements are within the one-category rating tolerance
for 'AAA' and 'AA' rated securities during the first year and
three-category tolerance over three years; a two-category
rating tolerance for 'A', 'BBB', and 'BB' rated securities
during the first year; and a three-category tolerance for 'A'
and 'BBB' rated securities over three years. The 'BB' rated
securities are permitted to default under a 'BBB' stress
scenario (see "Methodology: Credit Stability Criteria,"
published May 3, 2010).
- The credit enhancement in the form of subordination,
overcollateralization, a reserve account, and excess spread.
- The characteristics of the collateral pool being securitized.
- The transaction's payment and legal structures.
RATINGS ASSIGNED
Flagship Credit Auto Trust 2017-2
Class Rating Type Interest Amount
rate(i) (mil. $)
A AAA (sf) Senior Fixed 113.33
B AA (sf) Subordinate Fixed 28.84
C A (sf) Subordinate Fixed 23.27
D BBB (sf) Subordinate Fixed 18.72
E BB- (sf) Subordinate Fixed 11.13
FLATIRON CLO 2007-1: S&P Affirms BB+ Rating on Class E Debt
-----------------------------------------------------------
S&P Global Ratings raised its ratings on the class B, C, and D
notes from Flatiron CLO 2007-1 Ltd., a U.S. collateralized loan
obligation (CLO). "We also removed these ratings from CreditWatch,
where they were placed with positive implications on March 30,
2017. At the same time, we affirmed our ratings on the class A-1B
and E notes from the same transaction," S&P said.
The rating actions follow S&P's review of the transaction's
performance using data from the April 2017 trustee report.
The upgrades reflect the transaction's $225.06 in collective
paydowns since S&P's June 2015 rating actions. These paydowns
resulted in improved reported overcollateralization (O/C) ratios
since the May 2015 trustee report, which S&P used for its previous
rating actions:
The class A/B O/C ratio improved to 161.36% from 121.64%.
The class C O/C ratio improved to 137.56% from 115.38%.
The class D O/C ratio improved to 118.79% from 109.35%.
The class E O/C ratio improved to 107.54% from 105.14%.
The collateral portfolio's credit quality has slightly deteriorated
since S&P's last rating actions. Collateral obligations with an S&P
Global Ratings credit ratings in the 'CCC' category have increased,
with $14.38 million reported as of the April 2017 trustee report,
compared with $4.36 million reported as of the May 2015 trustee
report. Over the same period, the par amount of defaulted
collateral has increased to $3.24 million from $0.46 million.
Despite the slightly larger concentrations in the 'CCC' category
and defaulted collateral, the transaction has benefited from a drop
in the weighted average life due to underlying collateral's
seasoning, with 3.32 years reported as of the April 2017 trustee
report, compared with 4.47 years reported at the time of our June
2015 rating actions.
The upgrades reflect the improved credit support at the prior
rating levels. The affirmation reflects our view that the credit
support available is commensurate with the current rating level.
S&P's ratings on the class E notes were affected by the application
of the largest obligor default test from S&P's corporate
collateralized debt obligation criteria. The test is intended to
address event and model risks that might be present in rated
transactions. Despite cash flow runs that suggested higher ratings,
the largest obligor default test constrained our ratings on the
class E notes at 'BB+ (sf)'. The top five largest obligors in the
transaction currently make up more than 19.36% of the portfolio's
performing collateral balance.
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 its criteria, S&P's cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis considered
the transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis demonstrated, in S&P's view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with these rating actions.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and will take rating actions as it deems
necessary.
RATINGS RAISED AND REMOVED FROM CREDITWATCH POSITIVE
Flatiron CLO 2007-1 Ltd.
Rating
Class To From
B AAA (sf) AA+ (sf)/ Watch Pos
C AAA (sf) AA- (sf)/ Watch Pos
D AA+ (sf) BBB+ (sf)/ Watch Pos
RATINGS AFFIRMED
Flatiron CLO 2007-1 Ltd.
Class Rating
A-1B AAA (sf)
E BB+ (sf)
FORTRESS CREDIT IV: S&P Affirms BB Rating on Class E Debt
---------------------------------------------------------
S&P Global Ratings raised its ratings on the class B, C, and D
notes from Fortress Credit Investments IV Ltd. At the same time,
S&P affirmed its ratings on the class A and E notes from the same
transaction and removed its ratings on the class B, C, D, and E
notes from CreditWatch, where S&P placed them with positive
implications on March 30, 2017.
The rating actions follow S&P's review of the transaction's
performance using data from the May 5, 2017, trustee report.
The upgrades reflect the transaction's $139.51 million in paydowns
to the class A notes since S&P's September 2015 rating
affirmations. These paydowns resulted in improved reported
overcollateralization (O/C) ratios for the class A/B, C, and D O/C
ratios since the July 2015 trustee report, which S&P used for its
effective date analysis:
The class A/B O/C ratio improved to 165.20% from 139.58%.
The class C O/C ratio improved to 135.91% from 125.62%.
The class D O/C ratio improved to 120.55% from 117.20%.
The class E O/C ratio decreased to 109.27% from 110.44%.
The collateral portfolio's credit quality has slightly deteriorated
since S&P's effective date analysis. Collateral obligations with
ratings in the 'CCC' category have increased to $12.59 million
reported as of the May 2017 trustee report from zero as of the July
2015 trustee report. Over the same period, the
par amount of defaulted collateral has increased to $6.91 million
from zero. This was the primary reason for the slight decline in
the class E O/C ratio.
Despite the slightly larger concentrations in the 'CCC' category
and defaulted collateral, the transaction has benefited from a drop
in the weighted average life due to underlying collateral
seasoning, with 4.14 years reported as of the May 2017 trustee
report compared with 5.31 years reported at the time of
the effective date.
The upgrades reflect the improved credit support at the prior
rating levels; the affirmations reflect S&P's view that the credit
support available is commensurate with the current rating levels.
Although its cash flow analysis indicated a higher rating for the
class D notes, S&P's rating action considered the thin cushion at
the higher rating, the increase in the 'CCC' exposure, and the
expected amortization profile of the portfolio.
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 its criteria, S&P's cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis considered
the transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis demonstrated, in S&P's view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with these rating actions.
S&P said, "We will continue to review whether, in our view, the
ratings assigned to the notes remain consistent with the credit
enhancement available to support them, and will take rating actions
as we deem necessary."
RATINGS RAISED AND REMOVED FROM CREDITWATCH POSITIVE
Fortress Credit Investments IV Ltd.
Rating
Class To From
B AAA (sf) AA (sf)/Watch Pos
C AA+ (sf) A (sf)/Watch Pos
D BBB+ (sf) BBB (sf)/Watch Pos
RATING AFFIRMED AND REMOVED FROM CREDITWATCH POSITIVE
Fortress Credit Investments IV Ltd.
Rating
Class To From
E BB (sf) BB (sf)/Watch Pos
RATING AFFIRMED
Fortress Credit Investments IV Ltd.
Class Rating
A AAA
GALLATIN CLO 2014-1: Moody's Affirms B1(sf) Rating on Cl. F Notes
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Gallatin CLO VII 2014-1, Ltd.:
US$20,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes Due 2023, Upgraded to Aaa (sf); previously on December 29,
2016 Upgraded to Aa2 (sf)
US$25,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes Due 2023, Upgraded to A3 (sf); previously on December 29,
2016 Affirmed Baa2 (sf)
Moody's also affirmed the ratings on the following notes:
US$227,500,000 Class A Senior Secured Floating Rate Notes Due 2023
(current outstanding balance of $73,664,631), Affirmed Aaa (sf);
previously on December 29, 2016 Affirmed Aaa (sf)
US$29,400,000 Class B-1 Senior Secured Floating Rate Notes Due
2023, Affirmed Aaa (sf); previously on December 29, 2016 Upgraded
to Aaa (sf)
US$4,600,000 Class B-2 Senior Secured Fixed Rate Notes Due 2023,
Affirmed Aaa (sf); previously on December 29, 2016 Upgraded to Aaa
(sf)
US$17,500,000 Class E Junior Secured Deferrable Floating Rate Notes
Due 2023, Affirmed Ba2 (sf); previously on December 29, 2016
Affirmed Ba2 (sf)
US$6,000,000 Class F Junior Secured Deferrable Floating Rate Notes
Due 2023, Affirmed B1 (sf); previously on December 29, 2016
Affirmed B1 (sf)
Gallatin CLO VII 2014-1, Ltd., issued in June 2014, is a
collateralized loan obligation (CLO) backed primarily by a
portfolio of senior secured loans. The transaction's reinvestment
period ended in July 2015.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
Class A notes and an increase in the transaction's
over-collateralization (OC) ratios since December 2016. The Class A
notes have been paid down by approximately 46% or $63.5 million
since that time. Based on Moody's calculation, the OC ratios for
the Class A, Class B, Class C, Class D, Class E and Class F notes
are currently 263,32%, 180.16%, 151.94%, 127.06%, 113.99% and
110.11%, respectively, versus December 2016 levels of 189.58%,
151.93%, 136.04%, 120.30%, 111.29% and 108.51%, respectively.
Nevertheless, the credit quality of the portfolio has deteriorated.
Based on Moody's calculation, the weighted average rating factor
(WARF) is currently 3668 compared to 3438 in December 2016. The
deterioration in credit quality of the portfolio is largely due to
an increase in low rated assets, with the percentage of assets
rated Caa1 and below (including assets rated B3 with a negative
outlook and B2/B3 on review for downgrade), currently accounting
for 28.0% of performing assets versus 17.7% in December 2016.
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:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy and b)
the large concentration of upcoming speculative-grade debt
maturities, which could make refinancing difficult for issuers.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO documentation
by different transactional parties owing to embedded ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current expectations,
can lead to positive CLO performance. Conversely, a negative shift
in credit quality or performance of the collateral can have adverse
consequences for CLO performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging of the CLO
could accelerate owing to high prepayment levels in the loan market
and/or collateral sales by the manager, which could have a
significant impact on the notes' ratings. Note repayments that are
faster than Moody's current expectations will usually have a
positive impact on CLO notes, beginning with those with the highest
payment priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets reported by the trustee and those that Moody's
assumes as having defaulted could result in volatility in the
deal's OC levels. Further, the timing of recoveries and whether a
manager decides to work out or sell defaulted assets create
additional uncertainty. Moody's analyzed defaulted recoveries
assuming the lower of the market price and the recovery rate in
order to account for potential volatility in market prices.
Realization of higher than assumed recoveries would positively
impact the CLO.
6) Exposure to assets with low credit quality and weak liquidity:
The presence of assets rated Caa3 with a negative outlook, Caa2 or
Caa3 on review for downgrade or the worst Moody's speculative grade
liquidity (SGL) rating, SGL-4, exposes the notes to additional
risks if these assets default. The historical default rate is
higher than average for these assets. Due to the deal's exposure to
such assets, which constitute around $9.9 million of par, Moody's
ran a sensitivity case defaulting those assets.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Moody's Adjusted WARF - 20% (2934)
Class A: 0
Class B-1: 0
Class B-2: 0
Class C: 0
Class D: +2
Class E: +1
Class F: +1
Moody's Adjusted WARF + 20% (4402)
Class A: 0
Class B-1: 0
Class B-2: 0
Class C: -1
Class D: -1
Class E: 0
Class F: -2
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analyzed the collateral pool as having a performing par and
principal proceeds balance of $194.0 million, no defaulted par, a
weighted average default probability of 24.93% (implying a WARF of
3668), a weighted average recovery rate upon default of 48.56%, a
diversity score of 29 and a weighted average spread of 4.06%
(before accounting for LIBOR floors).
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of the
assets in the collateral pool. In each case, historical and market
performance and the collateral manager's latitude for trading the
collateral are also factors.
GRAYSON CLO: S&P Lowers Rating on Class D Notes to B-
-----------------------------------------------------
S&P Global Ratings lowered its rating on the class D notes from
Grayson CLO Ltd., a U.S. collateralized loan obligation (CLO)
managed by Highland Capital Management L.P., and removed the rating
from CreditWatch, where S&P placed it with negative implications on
March 30, 2017. At the same time, S&P raised its rating on the
class A-2 notes and affirmed its ratings on the class A-1b, B, and
C notes from the same transaction.
The rating actions follow S&P's review of the transaction's
performance using data from the April 19, 2017, trustee report.
The class A-2 upgrade mainly reflects paydowns to the senior notes
since S&P's last rating actions in February 2016. Since that time,
the transaction has paid down $532.2 million to the class A-1a and
A-1b notes. As a result, the class A-1a notes have been paid in
full, and the class A-1b notes have approximately 33.3% of their
original outstanding balance remaining. This has led to an
increase in the senior overcollateralization (O/C) ratios,
according to the trustee report. However, due to some par loss in
the underlying portfolio, the O/C ratio for the class D notes has
declined. The April 2017 and January 2016 O/C ratios reported by
the trustee were:
-- The class A O/C ratio improved to 162.33% from 128.14%.
-- The class B O/C ratio improved to 129.23% from 115.75%.
-- The class C O/C ratio improved to 106.59% from 105.15%.
-- The class D O/C ratio declined to 102.27% from 102.88%.
The class D downgrade is mainly due to an increase in the
concentration of lower credit quality assets within the underlying
portfolio. Subsequently, the portfolio's weighted average rating
has declined to 'B' from 'B+' since S&P's last rating actions.
Although the par amount of defaulted collateral held within the
portfolio has decreased to $53.22 million from $75.57 million since
April 2017, the reported amount of 'CCC' rated collateral has
increased to $42.71 million from $35.03 million during the same
time. Additionally, the portfolio's size has declined since our
last rating actions, and the concentration of low-rated and
defaulted obligations has risen significantly. Specifically, the
trustee now reports the concentration of 'CCC+'/'Caa1' and below
assets at approximately 8.4% of the portfolio, and defaulted
collateral accounts for approximately 10.5% of the portfolio. When
S&P removes cash from the denominator of these percentage
calculations, they are notably higher. Furthermore, the top five
largest obligors in the transaction currently make up more than 32%
of the portfolio's performing collateral balance.
S&P affirmed the class A-1b at 'AAA (sf)' based on its existing
credit support. The affirmations of the ratings on the class B and
C notes reflect the benefit of increased O/C ratios, offset by the
portfolio's increased concentration, exposure to 'CCC' rated and
defaulted obligations, and exposure to companies in the distressed
specialty retail and energy and commodities sectors.
On a stand-alone basis, the results of the cash flow analysis
indicated higher ratings on the class C and D notes. However, the
application of the largest obligor default test constrained the
ratings on the class C and D notes at 'BB+ (sf)' and 'CCC+ (sf)',
respectively. Although the largest obligor default test indicated
a 'CCC+ (sf)' rating for class D, S&P lowered the rating to 'B-
(sf)' because of the relatively higher O/C level and S&P's opinion
that this class does not represent its definition of 'CCC' credit
risk.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the April
10, 2017, trustee report, to estimate future performance. In line
with S&P's criteria, its cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest and/or
ultimate principal to each of the rated tranches. The results of
the cash flow analysis demonstrated, in S&P's view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with these rating
actions.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and S&P will take rating actions as it
deems necessary.
RATING LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE
Grayson CLO Ltd.
Rating
Class To From
D B- (sf) B+ (sf)/Watch Neg
RATING RAISED
Grayson CLO Ltd.
Rating
Class To From
A-2 AAA (sf) AA+ (sf)
RATINGS AFFIRMED
Grayson CLO Ltd.
Class Rating
A-1b AAA (sf)
B A+ (sf)
C BB+ (sf)
GUGGENHEIM PDFNI 2: Fitch Assigns 'Bsf' Rating to Class D Notes
---------------------------------------------------------------
Fitch Ratings assigns the following ratings to the notes issued on
the Fifth Funding Date by Guggenheim Private Debt Fund Note Issuer
2.0, LLC (Guggenheim PDFNI 2):
-- $74,964,539 class A notes, series A-5, 'A-sf', Outlook Stable;
-- $34,665,248 class B notes, series B-5, 'BBB-sf', Outlook
Stable;
-- $18,062,412 class C notes, series C-5, 'BBsf', Outlook Stable;
-- $8,352,483 class D notes, series D-5, 'Bsf', Outlook Stable.
Fitch also affirms all other outstanding notes.
Fitch does not rate the leverage tranche, class E1-5, class
E2-notes, and limited liability company membership interests.
TRANSACTION SUMMARY
Fitch assigned ratings to the notes issued on the fifth funding
date, occurring on June 9, 2017. Pursuant to the fifth funding
date, the issuer has drawn an aggregate of $170 million from the
commitments plus $97,730,496 from the leverage tranche (not rated
by Fitch). Of the $170 million, $33,955,318 were issued in the form
of first-loss class E notes and LLC membership interests, both of
which are also not rated by Fitch.
The first four funding dates occurred on April 12, 2016, July 8,
2016, Aug. 30, 2016, and May 11, 2017 achieving a total
capitalization of $1.25 billion through the fourth funding date.
This amount consisted of $612.5 million of rated notes, $287.5
million of unrated first-loss class E notes and LLC interests, and
$350 million from the leverage tranche. All notes from each series
are cross-collateralized by the entire collateral portfolio, which,
after the fifth funding, is expected to consist of approximately
$344 million of broadly syndicated loans, $860 million of
private-debt investments (PDIs) and approximately $353 million in
cash.
Guggenheim PDFNI 2.0 is a collateralized loan obligation (CLO)
transaction that invests in a portfolio composed of a combination
of broadly syndicated loans and middle-market PDIs. The manager,
Guggenheim Partners Investment Management, LLC (GPIM) may raise up
to $2 billion of commitments from investors to fund the
transaction. Investors earn class-specific commitment fees on the
undrawn portions of their commitments. The commitments are expected
to be fully drawn through a maximum of seven separate funding dates
during the investment period. At each funding date, notes and the
leverage tranche will be issued in proportions that may decrease
the level of credit enhancement (CE) available for each class.
Further transaction details are described in Fitch's report
'Guggenheim Private Debt Fund Note Issuer 2.0, LLC' dated Sept. 25,
2015.
KEY RATING DRIVERS
Credit Enhancement: CE for each class of rated notes, in addition
to excess spread, is sufficient to protect against portfolio
default and recovery rate projections in each class's respective
rating stress scenario. The degree of CE available to each class of
rated notes exceeds the average CE levels typically seen on
like-rated tranches of recent CLO issuances backed by middle-market
loans.
'B-' Asset Quality: The average credit quality of the indicative
portfolio is 'B/B-'. Fitch's analysis centered on a Fitch-stressed
portfolio with a weighted average rating of 43.4 ('B-/CCC+').
Issuers rated in the 'B' rating category denote a highly
speculative credit quality while issuers in the 'CCC' rating
category denote substantial credit risk. When analyzing the Fitch
stressed portfolio for the fifth funding date, class A, B, C and D
notes were projected to withstand default rates of up to 78.4%,
68.3%, 66.2%, and 65.1%, at their current rating stresses,
respectively.
Moderate Recovery Expectations: In determining the rating of the
notes, Fitch created a stressed portfolio and assumed recovery
prospects consistent with a Fitch Recovery Rating of 'RR3' in line
with the collateral quality test limit for asset recoveries.
FITCH ANALYSIS
Analysis was conducted on a Fitch-stressed portfolio which was
created by Fitch and designed to address the impact of the most
prominent risk-presenting concentration allowances and targeted
test levels to ensure that the transaction's expected performance
is in line with the ratings assigned. The Fitch-stressed portfolio
and notable portfolio concentration limitations are described in
the press release 'Fitch Rates Guggenheim Private Debt Fund Note
Issuer 2.0, LLC' dated April 12, 2016.
The Fitch-stressed portfolio assumed an approximate $1.52 billion
portfolio with the following assumptions:
-- Total of 39 obligors, with maximum concentrations for the nine
largest obligors;
-- Maximum weighted average life of 7.3 years;
-- 90% floating rate assets earning a weighted average spread
(WAS) of 6.25% (per WAS covenant);
-- 10% fixed rate assets earning a weighted average coupon (WAC)
of 7.00% (per current WAC);
-- 10% of the assets paying interest semi-annually;
-- 15% deferrable items.
The WAC test was below the minimum WAC, as of the May trustee
report. Therefore, the actual WAC was used for the Fitch stressed
portfolio.
Cash flow modelling results show that all notes passed their
respective PCM hurdle rates in all nine stress scenarios when
analysing the indicative portfolio, with minimum cushions of 20% or
more. The class A, C, and D notes also passed their hurdle rates in
all nine stress scenarios with a minimum cushion of 2.4%, 5.2%, and
13.1%, respectively, when analyzing the Fitch stressed portfolio.
The class B notes passed the 'BBB-sf' PCM hurdle rate in eight of
the nine stress scenarios with a marginal failure of 0.70%.
Given the failure of the class B notes, Fitch tested the
performance of the notes at the rating level one notch below the
'A-sf' and rating hurdle. The class B notes passed the 'BB+sf' PCM
hurdle rate in all nine scenarios with a minimum cushion of 10.3%.
Fitch was comfortable assigning the 'A-sf', 'BBB-sf', 'BBsf' and
'Bsf' ratings to class A, B, C and D notes, respectively, because
the agency believes the notes can sustain a robust level of
defaults combined with low recoveries, and due to other factors
such as the strong performance of the notes in the sensitivity
scenarios and the degree of cushions when analyzing the indicative
portfolio. The Stable Outlooks on the notes reflect the expectation
that the notes have a sufficient level of credit protection to
withstand potential deterioration in the credit quality of the
portfolio.
RATING SENSITIVITIES
Fitch evaluated the fifth funding date structure's sensitivity to
the potential variability of key model assumptions including
decreases in recovery rates and increases in default rates or
correlation. Fitch also analyzed the impact of a failure to fund
commitments beyond the fifth funding date.
Fitch expects each class of notes to remain within one or two
rating categories of their original ratings even under the most
extreme sensitivity scenarios. Results under these sensitivity
scenarios ranged between 'A-sf' and 'BB+sf' for the class A notes;
'BB+sf' and 'B+sf' for the class B notes; 'BB+sf' and 'B-sf' for
the class C notes; and 'BB-sf' and 'CCCsf' for the class D notes.
The results of the sensitivity analysis also contributed to Fitch's
assignment of Stable Outlooks for each class of notes.
VARIATIONS FROM CRITERIA
Fitch analyzed the transaction in accordance with its CLO rating
criteria, as described in its September 2016 report, 'Global Rating
Criteria for CLOs and Corporate CDOs', with the following
variations.
Fitch assumed 15% of the portfolio was able to defer interest
payments in its cash flow model analysis, in line with the
permissible exposure to deferrable items under the concentration
limitations. According to the indenture, if these items have been
deferring for over a year they will not be given par credit for
certain tests. Fitch assumed these assets deferred their interest
payments for one year to account for the period in which such asset
would be deferring yet still be given par credit. This is a more
conservative assumption and has a minor impact versus the standard
application of criteria, which does not indicate a specific stress
for deferrable assets.
Fitch has also affirmed the following notes:
-- $149,000,000 class A notes, series A-1, at 'A-sf', Outlook
Stable;
-- $76,000,000 class A notes, series A-2, at 'A-sf', Outlook
Stable;
-- $65,000,000 class A notes, series A-3, at 'A-sf', Outlook
Stable;
-- $60,000,000 class A notes, series A-4, at 'A-sf', Outlook
Stable;
-- $50,000,000 class B notes, series B-1, at 'BBB-sf', Outlook
Stable;
-- $25,000,000 class B notes, series B-2, at 'BBB-sf', Outlook
Stable;
-- $25,000,000 class B notes, series B-3, at 'BBB-sf', Outlook
Stable;
-- $25,000,000 class B notes, series B-4, at 'BBB-sf', Outlook
Stable;
-- $43,445,552 class C notes, series C-1, at 'BBsf', Outlook
Stable;
-- $20,453,559 class C notes, series C-2, at 'BBsf', Outlook
Stable;
-- $16,070,654 class C notes, series C-3, at 'BBsf', Outlook
Stable;
-- $7,500,000 class C notes, series C-4, at 'BBsf', Outlook
Stable;
-- $20,070,828 class D notes, series D-1, at 'Bsf', Outlook
Stable;
-- $9,787,111 class D notes, series D-2, at 'Bsf', Outlook
Stable;
-- $8,095,512 class D notes, series D-3, at 'Bsf', Outlook
Stable.
-- $8,000,000 class D notes, series D-4, at 'Bsf', Outlook
Stable.
JP MORGAN 2006-LDP6: S&P Hikes Class C Certs Rating to BB+
----------------------------------------------------------
S&P Global Ratings raised its rating on the class C commercial
mortgage pass-through certificates from JPMorgan Chase Commercial
Mortgage Securities Trust 2006-LDP6, a U.S. commercial
mortgage-backed securities (CMBS) transaction, to 'BB+ (sf)' from
'B- (sf)'.
The upgrade follows S&P's analysis of the transaction, primarily
using S&P's 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 said, "We raised our rating on class C to also reflect our
expectation of the available credit enhancement for this class,
which we believe is greater than our most recent estimate of
necessary credit enhancement for the respective rating levels, the
significantly lower trust balance, and its interest shortfall
history.
"While available credit enhancement levels suggest further positive
rating movement on class C, our analysis also considered the
susceptibility to reduced liquidity support from the three
specially serviced assets ($27.4 million, 73.3%), as well as the
fact that the class recently experienced interest shortfalls. We
also considered that the sole watchlist loan, the 115
Erick Street loan ($4.6 million, 12.3%), is secured by a
74,300-sq.-ft. industrial property located in Crystal Lake, Ill.
that is currently 100% vacant."
TRANSACTION SUMMARY
As of the May 15, 2017, trustee remittance report, the collateral
pool balance was $37.5 million, which is 1.8% of the pool balance
at issuance. The pool currently includes two loans and three real
estate owned (REO) assets, down from 158 loans at issuance. Three
of these assets are with the special servicer and one loan is on
the master servicers' combined watchlist. The master servicers,
Midland Loan Services and Berkadia Commercial Mortgage LLC,
reported partial-year or year-end 2015 financial information for
63.3% of the loans in the pool.
Excluding the specially serviced assets, for the remaining two
performing loans, we calculated a 1.22x S&P Global Ratings weighted
average debt service coverage (DSC) and an 83.5% S&P Global Ratings
weighted average loan-to-value ratio using an 8.35% S&P Global
Ratings weighted average capitalization rate.
To date, the transaction has experienced $168.3 million in
principal losses, or 7.9% of the original pool trust balance. S&P
expects losses to reach approximately 8.5% of the original pool
trust balance in the near term based on losses incurred to date and
additional losses we expect upon the eventual resolution of the
three specially serviced assets.
CREDIT CONSIDERATIONS
As of the May 15, 2017, trustee remittance report, three assets in
the pool were with the special servicer, Torchlight Loan Services
LLC. Details of the three specially serviced assets are as
follows:
The Avis Centre XII REO asset ($10.9 million, 29.1%) is the
largest asset with the special servicer and has a total reported
exposure of $12.4 million. The asset is an 89,184-sq.-ft. office
property in Ann Arbor, Mich. The loan was transferred to the
special servicer on Jan. 11, 2016, for imminent maturity
default (it matured on March 1, 2016). The property became REO on
Oct. 1, 2016. An appraisal reduction amount (ARA) of $2.7 million
is in effect against this asset. S&P expects a moderate loss upon
its eventual resolution.
The 1601 Belvedere, FL REO asset ($9.1 million, 24.4%) is the
second-largest asset with the special servicer and has a total
reported exposure of $12.2 million. The asset is a 100,083-sq.-ft.
office property in West Palm Beach, Fla. The loan was transferred
to the special servicer on Dec. 14, 2012, for imminent maturity
default (it matured on Dec. 5, 2012). The property became
REO on April 6, 2015. An ARA of $2.2 million is in effect against
this asset. S&P expects significant loss upon its eventual
resolution.
The Shaws Supermarket REO asset ($7.4 million 19.8%) is the
smallest asset with the special servicer and has a total reported
exposure of $7.7 million. The asset is a 55,649-sq.-ft. retail
property in Biddeford, Maine. The loan was transferred to the
special servicer on June 9, 2016, for imminent maturity default
(matured on Feb. 11, 2017). The property became REO on March 29,
2017. The property was 100% occupied by Shaw's Supermarket until
July 2015 when it vacated, but it continues to perform under its
lease, which expired on Feb. 28, 2017. An ARA of $5.3 million is in
effect against this asset. S&P expects significant loss upon its
eventual resolution.
For the specially serviced assets noted above, a minimal loss is
less than 25%, a moderate loss is 26%-59%, and a significant loss
is 60% or greater.
RATINGS LIST
JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP6
Commercial mortgage pass-through certificates series 2006-LDP6
Rating Rating
Class Identifier To From
C 46625YQ55 BB+ (sf) B- (sf)
JP MORGAN 2010-C2: Fitch Affirms 'B-sf' Rating on Class H Certs
---------------------------------------------------------------
Fitch Ratings has affirmed all classes of J.P. Morgan Chase
Commercial Mortgage Securities Trust, commercial mortgage
pass-through certificates, series 2010-C2 (JPMCC 2010-C2).
KEY RATING DRIVERS
Stable Loss Expectations: The affirmations reflect sufficient
credit enhancement (CE) relative to Fitch's loss expectations for
the pool. Fitch modeled losses of 2.3% of the remaining pool;
expected losses based on the original pool balance are 1.6%. The
pool has experienced no realized losses to date and has not had any
specially serviced or delinquent loans since issuance. Although CE
has increased since Fitch's last rating action from scheduled loan
amortization and the prepayment of two loans (AMD Corporate
Headquarters and Center for Medical Arts), with yield maintenance
penalties, the pool has become increasingly more concentrated.
Pool and Loan Concentrations: The pool is very concentrated with 19
of the original 30 loans remaining. The largest loan represents
20.8% of the current pool; the largest three loans, 50.4%; the
largest 10 loans, 89.4%; and the largest 15 loans, 96.7%. In
addition, one loan (12.9%) is secured by a portfolio of
single-tenant industrial properties.
High Retail Concentration and Regional Mall Exposure: The retail
concentration consists of 13 of the top 15 loans, representing
75.4% of the current pool. Four of these loans (42.5%) are secured
by regional malls located in Tempe, AZ (20.8%), Greece, NY (8.9%),
South Miami, FL (8.9%) and La Crosse, WI (3.8%).
Fitch Loans of Concern: Seven loans (48.1% of current pool) were
designated as Fitch Loans of Concern (FLOCs), including five loans
in the top 15 (46.8%). The rent roll for the EDT Retail Trust
Portfolio (16.7%) indicates a large percentage of dark tenants,
comprising over 11% of the portfolio NRA. The Mall at Greece Ridge
(8.9%) and The Shops at Sunset Place (8.9%) have both experienced
declining occupancy or have reported weaker sales since issuance.
The Bryan Tower (8.4%), an office property located in Dallas, TX,
is underperforming its submarket with a higher in-place vacancy.
Valley View Mall (3.8%) lost one of its initial non-collateral
anchor tenants, Macy's, which closed its store in March 2017.
Although another non-collateral anchor at the mall, Herberger's,
indicated its relocation plans into the former Macy's space, Fitch
continues to monitor the loan for any possible occupancy issues
that could arise from any co-tenancy clauses being triggered from
the Macy's store closure. The two other FLOCs outside of the top 15
either have significant upcoming lease rollover or a low debt
service coverage ratio due to increased vacancy.
Loan Maturities: Nearly 82% of the current pool has a scheduled
loan maturity or anticipated repayment date in 2020. The remaining
18% of the pool includes two loans which are scheduled to mature
during the second half of 2017.
Strong Amortization: The majority of the pool (18 loans; 97.3%) is
currently amortizing. Only one loan (2.7%) is full-term interest
only.
RATING SENSITIVITIES
The Rating Outlooks for classes A-2 through E remain Stable due to
stable loss expectations for the pool and expected continued
paydowns and amortization.
The Rating Outlooks for classes F through H remain Negative due to
increased pool concentration, high percentage of FLOCs and overall
pool performance concerns stemming from the significant retail
concentration, primarily the high exposure to regional malls, many
of which are located in secondary markets and have declining
occupancy and/or reported weaker sales since issuance.
Additional Negative Outlook revisions and/or downgrades to classes
that already have a Negative Outlook are possible should overall
pool performance decline significantly, loans transfer to special
servicing, or with further negative news or credit events.
Upgrades, although expected to be limited due to pool
concentrations, may also occur with additional paydown or
defeasance.
Fitch has affirmed the following classes as indicated:
-- $167.8 million class A-2 at 'AAAsf'; Outlook Stable;
-- $390.5 million class A-3 at 'AAAsf'; Outlook Stable;
-- Interest-only class X-A at 'AAAsf'; Outlook Stable;
-- $37.2 million class B at 'AAsf'; Outlook Stable;
-- $53.7 million class C at 'Asf'; Outlook Stable;
-- $33 million class D at 'BBB+sf'; Outlook Stable;
-- $22 million class E at 'BBB-sf'; Outlook Stable;
-- $16.5 million class F at 'BBsf'; Outlook Negative;
-- $13.8 million class G at 'Bsf'; Outlook Negative;
-- $2.8 million class H at 'B-sf'; Outlook Negative.
The class A-1 certificates have paid in full. Fitch does not rate
the class NR and interest-only class X-B certificates.
JP MORGAN 2011-C5: Fitch Affirms B-sf Rating on Class G Certs
-------------------------------------------------------------
Fitch Ratings has affirmed 10 classes of JPMCC's (JPMorgan Chase &
Co.) commercial mortgage pass-through certificates, series 2011-C5.
KEY RATING DRIVERS
Stable Pool Performance: The pool has paid down 5.6% since
issuance, demonstrating stable performance with minimal losses to
date. As of the May 2017 distribution date, the pool's aggregate
principal balance had been paid down by 31.3% to $707.3 million
from $1.03 billion at issuance.
Loan Concentration: The pool has become increasingly concentrated
with 30 loans remaining. The top five, 10 and 15 loans account for
53.8%, 71.5% and 82.6% of the pool, respectively.
Retail Concentration: The transaction has a high retail
concentration of 59.4% of the pool balance; 22 of the remaining 30
loans and 10 of the top 15 loans are secured by retail properties.
To date cash flow has been stable for the majority of retail
properties in the pool; however, there is growing concern that
sustainability of present cash flow levels may become increasingly
difficult given current pressures on the retail sector. In
addition, many of the retail properties in the pool are located in
secondary/suburban markets and have pending near-term rollover
(including select anchor tenants). Fitch analysis reflects concerns
surrounding the pool's retail component.
Interest-Only Loans: A total of 13 loans (33.3% of the pool by loan
balance) are interest-only loans. Two loans have a partial
interest-only term (23.3% of the pool); the initial interest-only
terms have expired for both loans.
Loans of Concern: There are two loans in special servicing (2.9% of
the pool) and one additional Fitch Loan of Concern (5.2%). Both
specially serviced loans are secured by retail properties located
in secondary/suburban markets and are outside of the top 15. The
Fitch Loan of Concern, the LaSalle Select Portfolio, is the fifth
largest loan and secured by a portfolio of office properties
located in the northern suburbs of Atlanta. The portfolio has
experienced a significant decline in occupancy in recent years.
RATING SENSITIVITIES
The ratings are expected to remain stable. Rating upgrades may
occur with significant paydown and stabilization of or substantial
recoveries from the specially serviced loans and Fitch Loan of
Concern. The Negative Outlooks indicate that given the pool's high
retail concentration, this component of the transaction now carries
greater volatility as uncertainties in this sector continue to
mount. Rating downgrades are possible should overall pool
performance decline.
Fitch has affirmed the following ratings and revised Outlooks where
indicated:
-- $341.9 million class A-3 at 'AAAsf'; Outlook Stable;
-- $55.6 million class A-SB at 'AAAsf'; Outlook Stable;
-- $483.7 million class X-A* 'AAAsf'; Outlook Stable;
-- $86.2 million class A-S at 'AAAsf'; Outlook Stable;
-- $51.5 million class B at 'AAsf'; Outlook to Stable from
Positive;
-- $39.9 million class C at 'Asf'; Outlook Stable;
-- $65.6 million class D at 'BBB-sf'; Outlook Stable;
-- $12.9 million class E at 'BBsf'; Outlook Stable;
-- $9 million class F at 'B+sf'; Outlook to Negative from Stable;
-- $16.7 million class G at 'B-sf'; Outlook Negative.
* Notional amount and interest only.
The class A-1 and A-2 certificates have paid in full. Fitch does
not rate the class NR or interest only X-B certificates.
KINGSLAND V LTD: S&P Affirms 'B' Rating on Class E Notes
--------------------------------------------------------
S&P Global Ratings raised its ratings on the class B, C, D-1, and
D-2 notes from Kingsland V Ltd., a collateralized loan obligation
(CLO) transaction managed by Kingsland Capital Management LLC. At
the same time, S&P affirmed its ratings on the class A-1, A-2B,
A-2R, and E notes from the same transaction, and removed the class
B, C, D-1, D-2, and E note ratings from CreditWatch, where S&P
placed them with positive implications on March 30, 2017.
The rating actions follow S&P's review of the transaction's
performance using data from the May 7, 2017, trustee report.
The upgrades reflect the transaction's $231.61 million in
collective paydowns to the class A-1 and A-2 notes since S&P's
January 2015 rating actions. These paydowns resulted in improved
reported overcollateralization (O/C) ratios since the January 2015
trustee report, which S&P used for its February 2015 rating
actions:
-- The class A/B O/C ratio improved to 182.07% from 124.56%.
-- The class C O/C ratio improved to 143.68% from 116.07%.
-- The class D O/C ratio improved to 124.74% from 110.64%.
-- The class E O/C ratio improved to 112.47% from 106.51%.
The affirmations reflect S&P's view that the credit support
available is commensurate with the current rating levels.
On a standalone basis, the results of the cash flow analysis
indicated higher ratings on the class C, D-1, D-2, and E notes.
However, in addition to having an increased exposure to 'CCC' rated
collateral obligations ($20.47 million in the May 2017 report,
which is about 12.03% of the portfolio), the transaction's exposure
to long-dated assets (i.e., assets that mature after the CLO's
stated maturity) has increased significantly.
According to the May 2017 trustee report, the balance of collateral
with a maturity date after the transaction's stated maturity
totaled $74.46 million (43.76% of the portfolio, up from 4.12% in
the last rating action). S&P's analysis and final ratings analysis
took into account the potential market value risk and
settlement-related risk arising from the possible liquidation of
the remaining securities on the transaction's legal final maturity
date.
The ratings on these classes may be revisited in the future if the
portfolio experiences any adverse impact due to the long-dated
asset exposure.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with S&P's criteria, its cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis
considered the transaction's ability to pay timely interest and/or
ultimate principal to each of the rated tranches. The results of
the cash flow analysis demonstrated, in S&P's view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with these rating
actions.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and will take rating actions as S&P
deems necessary.
RATINGS RAISED AND REMOVED FROM CREDITWATCH POSITIVE
Kingsland V Ltd.
Rating
Class To From
B AAA (sf) AA+ (sf)/Watch Pos
C AA+ (sf) A+ (sf)/Watch Pos
D-1 A- (sf) BBB+ (sf)/Watch Pos
D-2 A- (sf) BBB+ (sf)/Watch Pos
RATINGS AFFIRMED
Kingsland V Ltd.
Class Rating
A-1 AAA (sf)
A-2B AAA (sf)
A-2R AAA (sf)
E B (sf)
KKR CLO 9: Moody's Assigns (P)Ba3 Rating to Cl. E-R Senior Notes
----------------------------------------------------------------
Moody's Investors Service has assigned the following provisional
ratings to the following notes (the "Refinancing Notes") issued by
KKR CLO 9 Ltd.:
US$3,000,000 Class X Senior Secured Floating Rate Notes Due 2030
(the "Class X Notes"), Assigned (P)Aaa (sf)
US$320,700,000 Class A-R Senior Secured Floating Rate Notes Due
2030 (the "Class A-R Notes"), Assigned (P)Aaa (sf)
US$39,800,000 Class B-1-R Senior Secured Floating Rate Notes Due
2030 (the "Class B-1-R Notes"), Assigned (P)Aa2 (sf)
US$15,000,000 Class B-2-R Senior Secured Fixed Rate Notes Due 2030
(the "Class B-2-R Notes"), Assigned (P)Aa2 (sf)
US$26,500,000 Class C-R Senior Secured Deferrable Floating Rate
Notes Due 2030 (the "Class C-R Notes"), Assigned (P)A2 (sf)
US$33,000,000 Class D-R Senior Secured Deferrable Floating Rate
Notes Due 2030 (the "Class D-R Notes"), Assigned (P)Baa3 (sf)
US$27,900,000 Class E-R Senior Secured Deferrable Floating Rate
Notes Due 2030 (the "Class E-R Notes"), Assigned (P)Ba3 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of senior secured, broadly syndicated corporate loans.
KKR Financial Advisors II, LLC (the "Manager") manages the CLO. It
directs the selection, acquisition, and disposition of collateral
on behalf of the Issuer.
RATINGS RATIONALE
Moody's ratings on the Refinancing 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.
The Issuer will issue the Refinancing Notes on July 11, 2017 (the
"Refinancing Date") in connection with the refinancing of all of
the secured notes (the "Refinanced Original Notes") previously
issued on September 16, 2014 (the "Original Closing Date"). On the
Refinancing Date, the Issuer will use proceeds from the issuance of
the Refinancing Notes to redeem in full the Refinanced Original
Notes.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extensions of the reinvestment
period, stated maturity and non-call period; changes to certain
collateral quality tests; changes to the overcollateralization test
levels, and changes to certain concentration limitations.
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.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Performing par and principal proceeds balance: $ 500,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 3096
Weighted Average Spread (WAS): 3.70%
Weighted Average Coupon (WAC): 5.0%
Weighted Average Recovery Rate (WARR): 49%
Weighted Average Life (WAL): 9 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 a Downgrade of the
Ratings:
The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing 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 Refinancing 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 Refinancing 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 Refinancing
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 3096 to 3560)
Rating Impact in Rating Notches
Class X Notes: 0
Class A-R Notes: -1
Class B-1-R Notes: -2
Class B-2-R Notes: -2
Class C-R Notes: -2
Class D-R Notes: -1
Class E-R Notes: -1
Percentage Change in WARF -- increase of 30% (from 3096 to 4025)
Rating Impact in Rating Notches
Class X Notes: 0
Class A-R Notes: -1
Class B-1-R Notes: -4
Class B-2-R Notes: -4
Class C-R Notes: -4
Class D-R Notes: -2
Class E-R Notes: -1
LADDER CAPITAL 2017-LC26: Fitch to Rate Class F Certs 'B-sf'
------------------------------------------------------------
Fitch Ratings has issued a presale report on Ladder Capital
Commercial Mortgage Trust 2017-LC26 commercial mortgage
pass-through certificates.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $20,163,000 class A-1 'AAAsf', Outlook Stable;
-- $89,600,000 class A-2 'AAAsf', Outlook Stable;
-- $31,969,000 class A-SB 'AAAsf', Outlook Stable;
-- $125,000,000 class A-3 'AAAsf', Outlook Stable;
-- $171,225,000 class A-4 'AAAsf', Outlook Stable;
-- $437,957,000a class X-A 'AAAsf', Outlook Stable;
-- $100,104,000a class X-B 'A-sf', Outlook Stable;
-- $35,975,000a class X-D 'BBB-sf', Outlook Stable;
-- $39,103,000 class A-S 'AAAsf', Outlook Stable;
-- $28,937,000 class B 'AA-sf', Outlook Stable;
-- $32,064,000 class C 'A-sf', Outlook Stable;
-- $35,975,000 class D 'BBB-sf', Outlook Stable;
-- $17,206,000b class E 'BB-sf', Outlook Stable;
-- $7,038,000b class F 'B-sf', Outlook Stable.
The following class is not expected to be rated by Fitch:
-- $27,373,188b class G.
(a) Notional amount and interest only.
(b) Horizontal credit risk retention interest.
VRR Interest - The amount of the VRR Interest is expected to
represent 1.97% ($12,332,000) of the total pool balance, but may be
larger or smaller if necessary to satisfy U.S. risk retention
requirements at closing.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 57 loans secured by 69
commercial properties having an aggregate principal balance of
$625,653,188 as of the cut-off date. The loans were contributed to
the trust by Ladder Capital Finance LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 74.3% of the properties
by balance, cash flow analysis of 84.5%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Higher Fitch Leverage Compared to Recent Transactions: The pool has
higher leverage than other recent Fitch-rated multiborrower
transactions. The pool's Fitch debt service coverage ratio (DSCR)
of 1.13x and Fitch loan to value (LTV) of 107.0% are worse than the
year-to-date (YTD) 2017 average Fitch DSCR of 1.21x and Fitch LTV
of 104.1%.
Concentrated Pool: The pool is more concentrated than other recent
Fitch-rated multiborrower transactions. The largest 10 loans
comprise 60.6% of the pool, which is worse than the YTD 2017 and
2016 averages of 52.9% and 54.8%, for other Fitch-rated
multiborrower deals. This results in a loan concentration index
(LCI) score of 490, which is higher than the YTD 2017 and 2016
averages of 391 and 422.
Investment-Grade Credit Opinion Loan: One loan, Two Riverfront
Plaza (8.8% of the pool), received an investment-grade credit
opinion of 'BBB-sf*' on a stand-alone basis. The pool's credit
opinion loan concentration of 8.8% is greater than the 2017 YTD and
the 2016 averages of 5.5% and 8.4%, respectively.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 18.2% below
the most recent year's net operating income (NOI) for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period. Unanticipated further declines
in property-level NCF could result in higher defaults and loss
severities on defaulted loans and in potential rating actions on
the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the LCCM
2017-LC26 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 'BBB-sf'
could result.
LB-UBS COMMERCIAL 2005-C1: S&P Raises Rating on Cl. H Certs to BB+
------------------------------------------------------------------
S&P Global Ratings raised its ratings on two classes of commercial
mortgage pass-through certificates from LB-UBS Commercial Mortgage
Trust 2005-C1, a U.S. commercial mortgage-backed securities (CMBS)
transaction.
S&P's upgrades follow its analysis of the transaction, primarily
using its criteria for rating U.S. and Canadian CMBS transactions,
which included a review of the credit characteristics and
performance of the remaining loans in the pool, the transaction's
structure, and the liquidity available to the trust.
S&P raised its ratings on classes G and H 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 reflect the trust balance's significant reduction and
the classes' interest shortfall history.
While available credit enhancement levels suggest further positive
rating movement on class H, S&P's analysis also considered the
concentration in retail-backed loans (eight; $30.0 million or
82.1%) in the pool, its interest shortfalls history, and its full
repayment timing.
TRANSACTION SUMMARY
As of the May 17, 2017, trustee remittance report, the collateral
pool balance was $36.5 million, or 2.4% of the pool balance at
issuance. The pool currently consists of 10 loans, down from 85
loans at issuance. One of the loans is defeased ($4.9 million,
13.5%), two ($9.4 million, 25.8%) are on the master servicer's
watchlist, and none are with the special servicer. The master
servicer, Wells Fargo Bank N.A., reported financial information for
94.9% of the nondefeased loans in the pool, of which 88.6% was
year-end 2016 data; the remainder was year-end 2015 data.
Excluding the defeased loan, S&P calculated a 1.97x S&P Global
Ratings weighted average debt service coverage and 42.3% S&P Global
Ratings weighted average loan-to-value ratio using a 7.37% S&P
Global Ratings weighted average capitalization rate for the
remaining nine loans.
To date, the transaction has experienced $55.4 million in principal
losses, or 3.6% of the original pool trust balance.
RATINGS LIST
LB-UBS Commercial Mortgage Trust 2005-C1
Commercial mortgage pass-through certificates series 2005-C1
Rating
Class Identifier To From
G 52108HZ49 AA+ (sf) B+ (sf)
H 52108HZ64 BB+ (sf) CCC- (sf)
LEGACY BENEFITS 2004-1: Moody's Cuts Rating on Cl. B Debt to Caa2
-----------------------------------------------------------------
Moody's Investors Service has downgraded both the Class A notes and
the Class B notes that were issued by Legacy Benefits Life
Insurance Settlements 2004-1 LLC ("transaction"). The underlying
collateral consists of a pool of universal life insurance policies
and annuity contracts purchased on the lives of the insured
individuals. Amounts received under the fixed payment annuity
contracts are designated to cover the future premium payments on
the corresponding insurance policies, and along with death benefits
from the life insurance policies, the interest and principal on the
notes.
The complete rating actions are:
Issuer: Legacy Benefits Life Insurance Settlements 2004-1 LLC
Cl. A, Downgraded to B1 (sf); previously on Mar 10, 2017 Downgraded
to Ba2 (sf) and Placed Under Review for Possible Downgrade
Cl. B, Downgraded to Caa2 (sf); previously on Mar 10, 2017 B1 (sf)
Placed Under Review for Possible Downgrade
RATINGS RATIONALE
The rating actions are driven by the risk of potential insurance
policy lapses and also likely loss on the Class B Notes. Policy
lapse occurs when the account value for a policy is depleted
completely, and there are no funds remaining to cover the cost of
insurance.
There have been eight policy lapses so far from the pool of 39
policies as of closing, with the two most recent lapses occurring
in March 2017. Moody's anticipates that more policies could lapse
over the next few years, assuming a continued rising cost of
insurance as the insured in the portfolio aged. The cost of
insurance has been rising with the aging of the insured.
Consequently, cash flow from the annuities is being diverted more
and more to pay for the premiums to keep the life insurance
policies active, while the portion left for the notes' interest
payments and the Interest Reserve Account is steadily decreasing.
In addition, there is risk of policy lapse as the insured
individuals age and approach their policies' corresponding maturity
dates, if any.
In February 2017, the Trustee advised that insufficient funds had
been received to make the February interest payments on the Class B
notes in full, giving rise to an Event of Default as defined in the
Indenture. Subsequently in March 2017, due to the continuation of
an Event of Default, the Trustee has declared the principal of, and
all accrued interest on, the Notes to be immediately due and
payable pursuant to the Indenture. As of the June Payment Date, the
Event of Default is continuing and the transaction remains under
the Notice of Acceleration. Because distributions have not been
made to either the Class A or Class B notes since the Event of
Default, the Class A notes and the Class B notes currently have a
Periodic Rate Shortfall Interest of $547,884 and $211,061
respectively.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Moody's
Approach to Monitoring Life Insurance ABS" published in January
2015.
Factors that would lead to an upgrade or downgrade of the ratings:
Change in mortality or lapse risk as well as change in the
insurance financial strength ratings of the life insurance
companies and annuity providers.
LSTAR COMMERCIAL 2015-3: DBRS Confirms B(sf) Rating on Cl. F Debt
-----------------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2015-3 issued by LSTAR Commercial
Mortgage Trust 2015-3 as follows:
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class X-C at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (sf)
-- Class X-A at B (high) (sf)
-- Class X-B at B (high) (sf)
-- Class F at B (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction. As of the May 2017 remittance, the transaction has
experienced a collateral reduction of 10.4% since issuance as a
result of loan prepayments and loan liquidations as 24 of the
original 62 loans have paid out or have been disposed out of the
trust ahead of their respective maturity dates. As of the May 2017
remittance report, total losses to the trust for the liquidated
loans of approximately $20,000 have been contained to the unrated
Class G certificates. According to the most recent reporting, the
remaining loans in the pool have a weighted-average (WA) debt
service coverage ratio (DSCR) and WA debt yield of 1.54 times (x)
and 8.3%, respectively. The transaction is concentrated as the
largest 12 loans represent 93.6% of the current pool balance. Of
those 12 loans, 11 are reporting YE2016 financials, with a WA DSCR
of 1.58x and debt yield of 8.7%.
The 12 largest loans in the pool were newly originated at issuance,
while the other 26 loans are seasoned loans that were purchased by
the loan seller from Fannie Mae or were originally part of the now
retired LASL 2006-MF2 and LASL 2006-MF3 commercial mortgage-backed
securities (CMBS) transactions. Of the 24 loans that have prepaid
to date, one loan was newly originated at issuance and the
remaining loans were seasoned loans. The newly originated loans are
secured by hospitality, retail, office and multifamily properties,
while the seasoned loans are secured by multifamily and
manufactured housing community properties. The seasoned loans are
of granular concentration, as the largest seasoned loan represents
0.4% of the current pool balance. All of the remaining seasoned
loans, representing 6.4% of the current pool balance, are fully
amortizing.
As of the May 2017 remittance, there are three loans in special
servicing and 17 loans on the servicer’s watchlist, representing
0.7% and 12.7% of the pool, respectively. The loans on the
servicer’s watchlist have been flagged because of items of
deferred maintenance, lack of recent financials provided or a
decrease in financial performance since issuance. One loan in
special servicing was transferred for payment default while the
remaining two loans were transferred due to non-monetary default.
MADISON PARK V: Moody's Affirms Ba1 Rating on Class D Notes
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Madison Park Funding V, Ltd.:
US$43,000,000 Class B Deferrable Floating Rate Notes Due 2021,
Upgraded to Aaa (sf); previously on March 7, 2017 Upgraded to Aa1
(sf)
US$22,000,000 Class C Deferrable Floating Rate Notes Due 2021,
Upgraded to Aa3 (sf); previously on March 7, 2017 Upgraded to A3
(sf)
US$23,500,000 Class D Deferrable Floating Rate Notes Due 2021,
Upgraded to Baa3 (sf); previously on March 7, 2017 Affirmed Ba1
(sf)
Moody's also affirmed the ratings on the following notes:
US$447,000,000 Class A-1a Floating Rate Notes Due 2021 (current
outstanding balance of $75,293,966), Affirmed Aaa (sf); previously
on March 7, 2017 Affirmed Aaa (sf)
US$49,500,000 Class A-1b Floating Rate Notes Due 2021, Affirmed Aaa
(sf); previously on March 7, 2017 Affirmed Aaa (sf)
US$28,500,000 Class A-2 Floating Rate Notes Due 2021, Affirmed Aaa
(sf); previously on March 7, 2017 Affirmed Aaa (sf)
Madison Park Funding V, Ltd., issued in April 2007, is a
collateralized loan obligation (CLO) backed primarily by a
portfolio of senior secured loans. The transaction's reinvestment
period ended in May 2014.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since March 2017. The Class A-1a
notes have been paid down by approximately 54.6% or $90.5 million
since that time. Based on Moody's calculation, the OC ratios for
the Class A, Class B, Class C and Class D notes are currently
197.71%, 154.40%, 138.84% and 125.35%, respectively, versus March
2017 levels of 161.46%, 137.25%, 127.47% and 118.46%, respectively.
Nevertheless, the deal has increased exposure to securities that
mature after the maturity of the notes (long-dated assets), through
amend-to-extend activities. Based on Moody's calculation,
long-dated assets currently make up approximately $104.0 million or
35.0% of the portfolio. These investments could expose the notes to
market risk in the event of liquidation when the notes mature.
In its base case, Moody's assumed the long-dated assets are
liquidated at an average price of 69.4% at the maturity of the
notes. The liquidation price is low because about $75.5 million, or
72.6% of the long-dated assets mature beyond one year after the
maturity of the notes and are modeled at a liquidation value of 70%
or below based on Moody's CLO methodology.
Although the market values of these long-dated assets are currently
reasonably high, they could change quickly under distressed market
conditions. In consideration of the current market values, however,
Moody's also evaluated in its analysis scenarios when the
long-dated assets are liquidated at a range of prices.
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:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy and b)
the large concentration of upcoming speculative-grade debt
maturities, which could make refinancing difficult for issuers.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO documentation
by different transactional parties owing to embedded ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current expectations,
can lead to positive CLO performance. Conversely, a negative shift
in credit quality or performance of the collateral can have adverse
consequences for CLO performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging of the CLO
could accelerate owing to high prepayment levels in the loan market
and/or collateral sales by the manager, which could have a
significant impact on the notes' ratings. Note repayments that are
faster than Moody's current expectations will usually have a
positive impact on CLO notes, beginning with those with the highest
payment priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets reported by the trustee and those that Moody's
assumes as having defaulted could result in volatility in the
deal's OC levels. Further, the timing of recoveries and whether a
manager decides to work out or sell defaulted assets create
additional uncertainty. Moody's analyzed defaulted recoveries
assuming the lower of the market price and the recovery rate in
order to account for potential volatility in market prices.
Realization of higher than assumed recoveries would positively
impact the CLO.
6) Long-dated assets: The presence of assets that mature after the
CLO's legal maturity date exposes the deal to liquidation risk on
those assets. This risk is borne first by investors with the lowest
priority in the capital structure. Moody's assumes that the
terminal value of an asset upon liquidation at maturity will be
equal to the lower of an assumed liquidation value (depending on
the extent to which the asset's maturity lags that of the
liabilities) or the asset's current market value. The deal's
increased exposure owing to amendments to loan agreements extending
maturities continues. In light of the deal's sizable exposure to
long-dated assets, which increases its sensitivity to the
liquidation assumptions in the rating analysis, Moody's ran
scenarios using a range of liquidation value assumptions. However,
actual long-dated asset exposures and prevailing market prices and
conditions at the CLO's maturity will drive the deal's actual
losses, if any, from long-dated assets.
7) Post-Reinvestment Period Trading: Subject to certain
requirements, the deal can reinvest certain proceeds after the end
of the reinvestment period, and as such the manager has the ability
to erode some of the collateral quality metrics to the covenant
levels. Such reinvestment could affect the transaction either
positively or negatively.
8) Exposure to assets with low credit quality and weak liquidity:
The presence of assets rated Caa3 with a negative outlook, Caa2 or
Caa3 on review for downgrade or the worst Moody's speculative grade
liquidity (SGL) rating, SGL-4, exposes the notes to additional
risks if these assets default. The historical default rate is
higher than average for these assets. Due to the deal's exposure to
such assets, which constitute around $3.9 million of par, Moody's
ran a sensitivity case defaulting those assets.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Moody's Adjusted WARF -- 20% (2262)
Class A-1a: 0
Class A-1b: 0
Class A-2: 0
Class B: 0
Class C: +2
Class D: +2
Moody's Adjusted WARF + 20% (3392)
Class A-1a: 0
Class A-1b: 0
Class A-2: 0
Class B: 0
Class C: -1
Class D: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analyzed the collateral pool as having a performing par and
principal proceeds balance of $303.1 million, defaulted par of $1.2
million, a weighted average default probability of 15.49% (implying
a WARF of 2827), a weighted average recovery rate upon default of
50.17%, a diversity score of 36 and a weighted average spread of
3.27% (before accounting for LIBOR floors).
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of the
assets in the collateral pool. Moody's generally applies recovery
rates for CLO securities as published in "Moody's Approach to
Rating SF CDOs". In some cases, alternative recovery assumptions
may be considered based on the specifics of the analysis of the CLO
transaction. In each case, historical and market performance and
the collateral manager's latitude for trading the collateral are
also factors.
MCF CLO VI: S&P Assigns Prelim. 'BB-' Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to MCF CLO VI
LLC's $400.585 million middle-market collateralized loan obligation
(CLO) managed by Madison Capital Funding LLC, a wholly owned
subsidiary of New York Life Insurance Co.
The note issuance is CLO transaction backed primarily by middle
market speculative-grade senior secured term loans.
The preliminary ratings are based on information as of June 12,
2017. 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
middle market 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
MCF CLO VI LLC
Class Rating Interest Amount
rate (mil. $)(i)
A AAA (sf) Three-month LIBOR + 1.725 188.000
B AA (sf) Three-month LIBOR + 2.57 27.000
C (deferrable) A (sf) Three-month LIBOR + 3.56 25.500
D (deferrable) BBB- (sf) Three-month LIBOR + 5.04 19.500
E (deferrable) BB- (sf) Three-month LIBOR + 8.28 24.100
Subordinated notes NR Residual 40.770
Combination notes BBB-p (sf) 116.485
(i) Combination note preliminary rating only addresses the ultimate
repayment of the notional amount of $116.485 million by the
transaction's legal final maturity.
NR--Not rated.
MFA TRUST 2017-RPL1: DBRS Assigns B Rating to Class B-2 Debt
------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following MFA
2017-RPL1 Mortgage-Backed Securities, Series 2017-RPL1 (the Notes)
issued by MFA 2017-RPL1 Trust (the Trust):
-- $120.7 million Class A-1 at AAA (sf)
-- $27.2 million Class M-1 at A (sf)
-- $11.7 million Class M-2 at BBB (sf)
-- $10.1 million Class B-1 at BB (sf)
-- $9.9 million Class B-2 at B (sf)
The AAA (sf) ratings on the Notes reflect the 45.10% of credit
enhancement provided by the subordinated Notes in the pool. The A
(sf), BBB (sf), BB (sf) and B (sf) ratings reflect 32.75%, 27.45%,
22.85% and 18.35% 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 992 loans with a total principal balance of
$219,848,032 as of the Cut-Off Date (April 30, 2017).
The loans are approximately 137 months seasoned. As of the Cut-Off
Date, the pool is 100.0% current under the Office of Thrift
Supervision (OTS) method and includes 0.6% bankruptcy loans.
Compared with other DBRS-rated seasoned transactions, the portfolio
exhibits spottier payment histories in the 24 months prior to the
Cut-Off Date with 88.0% of the pool having been at least one times
30 days delinquent (1 x 30) under both the OTS and Mortgage Bankers
Association delinquency methods. Approximately 10.3% of the
mortgage loans have been 0 x 30 for at least the past 24 months,
60.1% have been 0 x 30 for the past 12 months and 66.7% have been 0
x 30 for the past six months.
The portfolio contains 71.4% modified loans. Within the pool, 794
mortgages have non-interest-bearing deferred amounts as of the
Cut-Off Date, which equates to 11.4% of the total principal
balance. The modifications happened more than two years ago for
45.6% of the modified loans.
As the Sponsor, MFA Financial, Inc. (MFA), or a majority-owned
affiliate, will acquire and retain at least a 5% eligible
horizontal interest in the securities to be issued to satisfy the
credit risk retention requirements. These loans were originated and
previously serviced by various entities through purchases in the
secondary market. As of the Closing Date, the loans will be
serviced by Select Portfolio Servicing, Inc.
There will be no advancing of delinquent principal or interest on
the mortgages by the servicer or any other party to the
transaction; however, the servicer is obligated to make advances in
respect of homeowner association fees, 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-1 Notes, but such shortfalls on Class M-1 and more
subordinate bonds will not be paid until the more senior classes
are retired.
The lack of principal and interest advances on delinquent mortgages
may increase the possibility of periodic interest shortfalls to the
Noteholders; however, principal proceeds used to pay interest to
the Notes sequentially and subordination levels greater than
expected losses may provide for timely payment of interest to the
rated Notes.
On or after the three-year anniversary of the Closing Date (the
Redemption Date), the Issuer has the option to redeem the
outstanding notes at a price equal to the outstanding class balance
plus accrued and unpaid interest, including any interest shortfall
and net weighted-average coupon shortfall amounts, and any fees and
expenses of the transaction parties.
The ratings reflect transactional strengths that include underlying
assets that have an experienced servicer, strong structural
features and asset management oversight. Additionally, a due
diligence review was performed on the portfolio with respect to
regulatory compliance, payment history, data integrity, tax,
title/lien and servicing comment review. Updated property values
(generally broker price opinions) were provided for all but one of
the mortgage loans.
The transaction employs a relatively weak representations and
warranties framework that includes an unrated representation
provider (MFA), certain knowledge qualifiers and fewer mortgage
loan representations relative to DBRS criteria for seasoned pools.
Mitigating factors include (1) third-party due diligence review;
(2) for representations and warranties with knowledge qualifiers,
even if the Sponsor did not have actual knowledge of the breach,
the Sponsor is still required to remedy the breach in the same
manner as if no knowledge qualifier had been made; and (3) disputes
are ultimately subject to determination made in a related
arbitration proceeding.
The enforcement mechanism for breaches of representations includes
automatic breach reviews by a third-party reviewer for any loans
that incur loss upon liquidation or sale of a defaulted mortgage
loan.
The DBRS rating of AAA (sf) addresses 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 rating of A (sf), BBB (sf), BB (sf) and B (sf)
addresses 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.
MFA TRUST 2017-RPL1: Fitch Assigns 'Bsf' Rating to Class B-2 Notes
------------------------------------------------------------------
Fitch Ratings has assigned the following ratings to MFA 2017-RPL1
Trust (MFA 2017-RPL1):
-- $120,696,000 class A-1 notes 'AAAsf'; Outlook Stable;
-- $27,151,000 class M-1 notes 'Asf'; Outlook Stable;
-- $11,652,000 class M-2 notes 'BBBsf'; Outlook Stable;
-- $10,113,000 class B-1 notes 'BBsf'; Outlook Stable;
-- $9,893,000 class B-2 notes 'Bsf'; Outlook Stable.
The following class will not be rated by Fitch:
-- $40,343,031 class B-3 notes.
The notes are supported by one collateral group that consists of
992 seasoned performing and re-performing mortgages with a total
balance of approximately $219.85 million (which includes $25.06
million, or 11.4%, of the aggregate pool balance in
non-interest-bearing deferred principal amounts) as of the
statistical calculation date.
The 'AAAsf' rating on the class A1 notes reflects the 45.10%
subordination provided by the 12.35% class M-1, 5.30% class M-2,
4.60% class B-1, 4.50% class B-2, and 18.35% class B-3 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). Based on Mortgage Bankers Association methodology (MBA),
13% of the loans were 30 days delinquent as of the cut-off date and
76.3% have either experienced a delinquency in the past 24 months,
or had an incomplete pay string, identified by Fitch as 'dirty
current'. The remaining 10.6% of the loans have been paying for the
past 24 months, identified as 'clean current'. 71.4% of the loans
have received modifications.
Solid Alignment of Interest (Positive): The sponsor, or a
majority-owned affiliate, will retain at least a 5% eligible
horizontal interest in the securities to be issued. Fitch considers
the transaction's representation, warranty and enforcement (RW&E)
mechanism framework to be consistent with Tier 1 quality. The
transaction benefits from life-of-loan representations and
warranties (R&Ws).
New Issuer (Neutral): This is MFA Financial, Inc.'s (MFA) first RPL
securitization. Fitch conducted a full review of aggregation
processes and believes that MFA meets industry standards that are
needed to properly aggregate and securitize re-performing and
non-performing residential mortgage loans (RPL and NPL,
respectively). In addition to the satisfactory operational
assessment, a due diligence review was completed on 100% of the
pool.
Third-Party Due Diligence (Positive): A third-party due diligence
review was conducted on 100% of the pool and focused on regulatory
compliance, pay history and a tax and title lien search. The
third-party review (TPR) firms' due diligence review resulted in
1.7% 'C' and 'D' graded loans, meaning the loans had material
violations or lacked documentation to confirm regulatory
compliance. This is well below the average of approximately 13%
seen in other recently rated RPL transactions, and demonstrates
relatively low operational risk.
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.
Furthermore, the provision to re-allocate principal to pay interest
on the 'AAAsf' rated notes prior to other principal distributions
is highly supportive of timely interest payments to those classes
in the absence of servicer advancing.
Deferred Amounts (Negative): Non-interest-bearing principal
forbearance amounts totaling $25.06 million (11.4%) of the unpaid
principal balance are outstanding on 794 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 (sale or refinancing) will be limited relative to
those borrowers with more equity in the property.
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 loss severities
(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' rated
classes.
CRITERIA APPLICATION
Fitch's analysis incorporated three criteria variations from 'U.S.
RMBS Seasoned, Re-Performing and Non-Performing Loan Criteria.'
The first variation is the tax and title review, which was
completed outside of the six-month timeframe expected in Fitch's
criteria. The tax and title review for the loans in this pool was
done at acquisition, roughly nine to 11 months ago. However, Fitch
does not view the lack of an updated tax and title review as a
material risk given that the review conducted at acquisition is
aged just slightly more than six months as stated in Fitch's
criteria.
In addition, Fitch considers the robust servicing of SPS, which is
a high-touch servicing platform that specializes in seasoned loans,
to be a mitigant to the slightly aged tax and title search. SPS
uses industry accepted tools to identify new liens on a regular
basis and Fitch feels confident that they are appropriately
monitoring any additional liens. Given the strength of the
servicer, Fitch considers the impact of slightly seasoned tax,
title and lien reviews to be nonmaterial.
The second variation is that the Opus due diligence compliance
review did not include a RESPA test. While Fitch expects to see
that a RESPA test was performed, no adjustment was made as there is
no assignee liability associated with RESPA violations. Fitch also
considered the clean due diligence results for the remaining tests
in it assessment and believes that no additional compliance risk
due to the lack of RESPA testing is likely.
Lastly, per the criteria, the PD is increased to 100% for loans
that are delinquent at the time of analysis that are missing a due
diligence review of the servicing comments. However, the 100% PD
penalty was not applied to all of the loans delinquent at the time
of Fitch's analysis. The servicer, SPS provided a summary of their
most recent contact with the borrowers, in lieu of diligence review
of servicing comments. The comments provided by SPS indicated that
many of the borrowers showed their ability to pay and therefore the
100% PD penalty was only applied to those loans that Fitch believes
may be prone to foreclosure.
In addition, the analysis incorporated one variation from Fitch's
'U.S. RMBS Master Rating Criteria' related to the independence of
RRR as a TPR firm. RRR performed a portion of the due diligence
review for this transaction that included the paystring review and
a review/summary of title search results. RRR is owned by SPS, the
servicer and SPS is wholly owned by Credit Suisse, the
transaction's underwriter. Per the criteria, Fitch expects that any
firm performing due diligence functions be an independent company
with no ties to the loan originator/aggregator, the issuer of the
notes or the security underwriter, or any other party to the
transaction. Fitch held a call with RRR and is comfortable that
there is a clear separation between RRR, SPS and Credit Suisse.
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 37.5% at 'AAAsf'. The analysis indicates there is
some potential rating migration with higher MVDs, compared with the
model projection.
MILL CITY 2017-2: DBRS Assigns Prov. B(sf) Rating to Class B2 Notes
-------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the Mortgage Backed
Securities, Series 2017-2 (the Notes) issued by Mill City Mortgage
Loan Trust 2017-2 (the Trust) as follows:
-- $250.7 million Class A1 at AAA (sf)
-- $277.3 million Class A2 at AA (sf)
-- $299.1 million Class A3 at A (sf)
-- $26.6 million Class M1 at AA (sf)
-- $21.8 million Class M2 at A (sf)
-- $18.4 million Class M3 at BBB (sf)
-- $18.7 million Class B1 at BB (sf)
-- $13.2 million Class B2 at B (sf)
Classes A2 and A3 are exchangeable notes. These classes can be
exchanged for combinations of exchange notes as specified in the
offering documents.
The AAA (sf) ratings on the Notes reflect 34.45% of credit
enhancement provided by subordinated Notes in the pool. The AA
(sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 27.50%,
21.80%, 17.00%, 12.10% and 8.65% 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 primarily
first-lien, seasoned, performing and re-performing residential
mortgages and home equity lines of credit mortgage loans (HELOCs).
The Notes are backed by 1,568 loans with a total principal balance
of approximately $382,440,865 as of the Cut-Off Date (May 31,
2017).
The loans are approximately 113 months seasoned and all are current
as of the Cut-Off Date, including 19 bankruptcy-performing loans.
Under the Mortgage Banker Associations delinquency method,
approximately 62.0% of the pool has been zero times 30 days
delinquent (0 x 30) for the past 24 months, 85.6% has been 0 x 30
for the past 12 months and 90.9% has been 0 x 30 for the past six
months.
The portfolio contains 69.8% modified loans. Within the pool, 490
loans have non-interest-bearing deferred amounts, which equates to
5.4% of the total principal balance as of the Cut-Off Date. The
modifications happened more than two years ago for 92.1% of the
modified loans. In accordance with the Consumer Financial
Protection Bureau Qualified Mortgage (QM) rules, 6.5% of the loans
are designated as QM Safe Harbor, less than 0.1% as QM Rebuttable
Presumption and 0.3% as non-QM. Approximately 93.1% of the loans
are not subject to the QM rules.
Approximately 6.2% of the pool is comprised of HELOCs, of which
97.6% are first liens and 2.4% are second liens. These loans have a
fixed credit limit for a 120-month draw period and then amortize
for the remaining 240 months subject to a decreasing credit limit.
HELOC borrowers may make draws on the mortgage up to the credit
limit until maturity, which will increase the current principal
balance of such loans. In addition, HELOC borrowers may also
experience payment shocks when the amortization period begins. As
of the Closing Date, Mill City Depositor, LLC (the Depositor) will
fund a HELOC Draw Reserve Account to purchase future draws from the
related servicer.
Through a series of transactions, Mill City Holdings, LLC (Mill
City) will acquire the mortgage loans on the Closing Date. Prior to
the Closing Date, the loans were held in one or more trusts that
acquired the mortgage loans between 2013 and 2017. Such trusts are
entities of which the Representation Provider or an affiliate
thereof holds an indirect interest. Upon acquiring the loans, Mill
City, through a wholly owned subsidiary (the Depositor), will
contribute loans to the Trust. As the Sponsor, Mill City will
acquire and retain a 5.0% eligible vertical interest in each class
of securities to be issued (other than any 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, the loans are serviced by Resurgent doing
business as Shellpoint Mortgage Servicing (81.5%) and Fay
Servicing, LLC (18.5%).
There will not be any advancing of delinquent principal or interest
on any mortgages by the servicers or any other party to the
transaction; however, the servicers are 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
Notes, but such shortfalls on Class M2 and more subordinate bonds
will not be paid until the more senior classes are retired.
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 ratings reflect transactional strength in that the underlying
assets have generally performed well through the crisis.
Additionally, a satisfactory third-party due diligence review was
performed on the portfolio with respect to regulatory compliance,
payment history, data capture as well as title and lien review.
Updated broker price opinions or exterior appraisals were provided
for 100.0% of the pool; however, a reconciliation was not performed
on the updated values.
The transaction employs a relatively weak representations and
warranties framework that includes a 13-month sunset, an unrated
provider (CVI CVF III Lux Master S.à.r.l.), certain knowledge
qualifiers and fewer mortgage loan representations relative to DBRS
criteria for seasoned pools. Mitigating factors include (1)
significant loan seasoning and relative clean performance history
in recent years, (2) a comprehensive due diligence review and (3) a
representations and warranties enforcement mechanism, including a
delinquency review trigger and a breach reserve account.
MILL CITY 2017-2: Moody's Assigns (P)Ba3 Rating to Cl. B1 Notes
---------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to seven
classes of notes issued by Mill City Mortgage Loan Trust ("MCMLT")
2017-2.
The certificates are backed by one pool of 1,568 seasoned
performing and modified re-performing loans which include home
equity lines of credit (HELOC) mortgage loans and loans with a
negative amortization feature. The collateral pool has a non-zero
updated weighted average FICO score of 686 and a weighted average
current LTV of 80.74%.
As of the cut-off date, approximately 10.86% of the mortgage loans
have a negative amortization feature. These borrowers have interest
rates that reset monthly, monthly payments and amortization
schedules that generally adjust annually and are subject to caps
and limitation. Therefore, in certain scenarios, the monthly
payment may not adequately cover the accrued interest causing the
loan to negatively amortize. This is the first post crisis RPL
securitization to include a high concentration (>10%) of
negatively amortizing loans.
There are approximately 6.20% HELOC loans in this pool, of which
1.92% of the borrowers are currently eligible to make draws up to
their credit limit. Approximately 74.82% of the HELOC loans have
their credit line temporarily frozen due to certain circumstances
including but not limited to the event where the current home value
has declined below a specified level. The borrowers may unfreeze
their credit line in future if the circumstances that cause such
credit line to be frozen are cured. The remaining HELOC loans
(approx. 23.26%) have their credit lines permanently frozen. In the
event that all HELOC loans (other than the HELOC loans that are
permanently frozen) are no longer precluded from making draws, the
maximum amount of draws available to the borrowers as of May 2017
is equal to $668,202 or approximately 0.17% of closing date UPB,
compared to $3.698 million in MCMLT 2017-1.
A HELOC borrower will be assessed a principal payment only in the
case that their credit limit amortizes to an amount that is below
the outstanding principal balance of the loan, otherwise the
borrower will be required to make only an interest payment. During
the amortization period, the credit limit will decrease at a fixed
rate. For example, if the amortization period is 240 months then in
each month, the credit limit will reduce by 1/240 of the original
credit limit.
In addition, approximately 10.43% of the loans are originated on or
after January 1, 2010 ("newly originated loans") for which Moody's
also performed additional loan level analysis similar to Moody's
analysis of newly originated prime quality loans. 69.77% of the
loans in the collateral pool were also previously modified and the
remaining loans have never been modified.
Fay Servicing LLC ("Fay") and Shellpoint Mortgage Servicing
("Shellpoint"), are the servicers for the loans in the pool. The
servicers will not advance any principal or interest on the
delinquent loans. However, the servicers will be required to
advance costs and expenses incurred in connection with a default,
delinquency or other event in the performance of its servicing
obligations. In addition, if a borrower of a HELOC loan requests a
draw on the related HELOC credit line, the related servicer will be
required to fund such draw.
The complete rating actions are:
Issuer: Mill City Mortgage Loan Trust 2017-2
Cl. A1, Assigned (P)Aaa (sf)
Cl. A2, Assigned (P)Aa1 (sf)
Cl. A3, Assigned (P)A1 (sf)
Cl. B1, Assigned (P)Ba3 (sf)
Cl. M1, Assigned (P)Aa2 (sf)
Cl. M2, Assigned (P)A3 (sf)
Cl. M3, Assigned (P)Baa3 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected losses on MCMLT 2017-2's collateral pool average
10.00% in Moody's base case scenario. Moody's loss estimates take
into account the historical performance of loans that have similar
collateral characteristics as the loans in the pool. For example,
Moody's observed the performance of 10 year IO-ARM loans as a proxy
to estimate future delinquencies for first lien HELOC loans because
of the similarities in the two loan types. A typical HELOC is an
adjustable rate loan with an IO period after which the loan
amortizes over the remaining term.
Similarly, for the negatively amortizing loans in this pool,
Moody's analyzed performance of negatively amortizing loans
originated in the same vintage. Typically, for negatively
amortizing loans, the maximum percentage by which the payment can
change in one period (usually annual) is capped along with other
limitations. For a conventional ARM loan, the cap typically applies
to the maximum percentage the interest rate can change in one
period. Therefore, in certain interest rate scenarios, the
performance of conventional ARM loans can be different from a
negatively amortizing loans. Moody's analysis shows that negatively
amortizing loans originated in 2006-2007 have behaved very
similarly to conventional ARM loans from same vintages because of
the declining interest rate environment since origination. However,
Moody's has made qualitative adjustments to account for the
negative amortization feature in a rising interest rate
environment.
For the non-modified portion of this pool, Moody's analyzed data on
delinquency rates for always current (including self-cured) loans.
Moody's final loss estimates also incorporates adjustments for the
strength of the third party due diligence, the servicing framework
(including the capability to service HELOC loans) and the
representations and warranties (R&W) framework of the transaction.
The methodologies used in these ratings were "Moody's Approach to
Rating Securitisations Backed by Non-Performing and Re-Performing
Loans" published in August 2016, and "US RMBS Surveillance
Methodology" published in January 2017.
Collateral Description
MCMLT 2017-2 is a securitization of 1,568 loans and is primarily
comprised of seasoned performing and modified re-performing
mortgage loans. Approximately 69.77% of the loans in the collateral
pool have been previously modified.
Moody's expected losses on Moody's estimates of 1) the default rate
on the remaining balance of the loans and 2) the principal recovery
rate on the defaulted balances. The two factors that most strongly
influence a re-performing mortgage loan's likelihood of re-default
are the length of time that the loan has performed since a loan
modification, and the amount of the reduction in the monthly
mortgage payment as a result of the modification. The longer a
borrower has been current on a re-performing loan, the less likely
the borrower is to re-default. Approximately 61.97% of the
borrowers have been current on their payments for at least the past
24 months.
Moody's estimated expected losses for the pool using two approaches
-- (1) pool-level approach, and (2) re-performing loan level
analysis.
In the pool-level approach, Moody's estimates losses on the pool by
using a approach similar to Moody's surveillance approach wherein
Moody's apply assumptions on expected future delinquencies, default
rates, loss severities and prepayments as observed from Moody's
surveillance of similar collateral. Moody's projects future annual
delinquencies for eight years by applying an initial annual default
rate and delinquency burnout factors. Based on the loan
characteristics of the pool and the demonstrated pay histories,
Moody's expects an annual delinquency rate of 9% on the collateral
pool for year one. Moody's then calculated future delinquencies on
the pool using Moody's default burnout and voluntary conditional
prepayment rate (CPR) assumptions. Moody's assumptions also factor
in the high delinquency rates expected in the early stages of the
transaction due to payment shock expected during the amortization
phase for HELOC loans originated in 2006-2008 as well as payment
shock expected for step-rate loans. The delinquency burnout factors
reflect Moody's futures expectations of the economy and the U.S.
housing market. Moody's then aggregated the delinquencies and
converted them to losses by applying pool-specific lifetime default
frequency and loss severity assumptions. Moody's loss severity
assumptions are based off observed severities on liquidated
seasoned loans and reflect the lack of principal and interest
advancing on the loans.
Moody's also conducted a loan level analysis on MCMLT 2017-2's
collateral pool. Moody's applied loan-level baseline lifetime
propensity to default assumptions based on the historical
performance of loans with similar collateral characteristics and
payment histories. Moody's then adjusted this base default
propensity up for (1) adjustable-rate loans, (2) loans that have
the risk of coupon step-ups and (3) loans with high updated loan to
value ratios (LTVs). Moody's applied a higher baseline lifetime
default propensity for interest-only loans, using the same
adjustments. To calculate the final expected loss for the pool,
Moody's applied a loan-level loss severity assumption based on the
loans' updated estimated LTVs. Moody's further adjusted the loss
severity assumption upwards for loans in states that give
super-priority status to homeowner association (HOA) liens, to
account for potential risk of HOA liens trumping a mortgage. For
10.43% of newly originated loans, Moody's also performed additional
loan level analysis similar to Moody's analysis of newly originated
prime quality loans.
The deferred balance in this transaction is approximately $20.61
million, representing approximately 5.39% of the total unpaid
principal balance. Loans that have HAMP and proprietary remaining
principal reduction alternative (PRA) amounts totaled $346,022,
representing approximately 1.68% of total deferred balance.
Under HAMP-PRA, the principal of the borrower's mortgage may be
reduced by a predetermined amount called the PRA forbearance amount
if the borrower satisfies certain conditions during a trial period.
If the borrower continues to make timely payments on the loan for
three years, the entire PRA forbearance amount is forgiven. Also,
if the loan is in good standing and the borrower voluntary pays off
the loan, the entire forbearance amount is forgiven.
For non-PRA forborne amounts, the deferred balance is the full
obligation of the borrower and must be paid in full upon (i) sale
of property (ii) voluntary payoff or (iii) final scheduled payment
date. Upon sale of the property, the servicer therefore could
potentially recover some of the deferred amount. For loans that
default in future or get modified after the closing date, the
servicer may opt for partial or full principal forgiveness to the
extent permitted under the servicing agreement.
Based on performance data and information from servicers, Moody's
assumes that 100% of the remaining PRA amount would be forgiven and
not recovered. For non-PRA deferred balance, Moody's applied a
slightly higher default rate for these loans than what Moody's
assumed for the overall pool given that these borrowers have
experienced past credit events that required loan modification, as
opposed to borrowers who have been current and have never been
modified. Also, for non-PRA loans, based on performance data from
an RPL servicer, Moody's assumed approximately 95% severity as
servicers may recover a portion of the deferred balance. The final
expected loss for the collateral pool reflects the due diligence
scope and findings of the independent third party review (TPR)
firms as well as Moody's assessment of MCMLT 2017-2's
representations & warranties (R&Ws) framework.
Transaction Structure
The securitization has a simple sequential priority of payments
structure without any cash flow triggers. In some scenarios, excess
spread will be available to pay down the notes up to the Targeted
Overcollateralization Amount, which is the lower of (i) 2% of the
aggregate cut-off date pool balance and (ii) 2.5% of the aggregate
current pool balance. On the closing date, the Targeted
Overcollateralization Amount will be approximately $7.649 million.
Similar to MCMLT 2017-1, due to the inclusion of HELOC loans (and
potential for future draws) certain structural features were
incorporated in this transaction. If a borrower of a HELOC loan
makes a draw on the related HELOC credit line, the servicer will be
required to fund such draw and will be reimbursed through the
following mechanism.
On the closing date, the HELOC Draw Reserve Account will be fully
funded to its target amount of $668,202 by the depositor, which
will be used to reimburse the servicer for any draws made on the
HELOC credit line.
Subsequently, if amounts on deposit in the HELOC Draw Reserve
Account are not sufficient to reimburse such draws, the Class D
Certificates will be obligated to remit the deficient amount to the
HELOC Draw Reserve Account ("Class D Draw Amount"). The Class D
certificate is not an offered certificate and will represent an
equity interest in the issuer (MCMLT 2017-2)
In the event the holder of the Class D Certificates fails to remit
all or part of any Class D Draw Amount on any payment date, the
Indenture Trustee will fund any unpurchased draw or portion of a
draw on future Payment Dates from amounts in the HELOC Draw Reserve
Account.
The servicer will not advance any principal or interest on
delinquent loans. However, the servicer will be required to advance
costs and expenses incurred in connection with a default,
delinquency or other event in the performance of its servicing
obligations.
Credit enhancement in this transaction is comprised of
subordination provided by mezzanine and junior tranches, the
buildup of overcollateralization up to the target amount, from
available excess interest (0.55% at closing) and from additional
collateral available to the trust if HELOC borrowers draw on their
credit line, which will be purchased by the Indenture Trustee from
the servicer. If the Indenture Trustee is unable to purchase the
additional collateral, then the servicer will be entitled to a
portion of P&I payments on such HELOC loan. The principal payment
received from this additional collateral will facilitate a faster
pay down on the senior notes.
The available excess interest however, will be used to first
replenish the HELOC Draw Reserve Account to the target amount, to
the Class D certificate holder and to reimburse any unpaid fees
before paying down the rated notes sequentially until the target
amount is reached. On the closing date, the HELOC Draw Reserve
Account will be fully funded to its target amount, thereby,
increasing the likelihood that excess spread will be available to
pay down the bonds (only up to the target amount) from the first
remittance date.
To the extent that the overcollateralization amount is zero,
realized losses will be allocated to the notes in a reverse
sequential order starting with the lowest subordinate bond. The
Class A1, M1, M2, and M3 notes carry a fixed-rate coupon subject to
the collateral adjusted net weighted average coupon (WAC) and
applicable available funds cap. The Class B1, B2, B3, B4 and B5 are
variable rate notes where the coupon is equal to the lesser of
adjusted net WAC and applicable available funds cap.
Moody's modeled MCMLT 2017-2's cashflows using SFW®, a cashflow
tool developed by Moody's Analytics. To assess the final rating on
the notes, Moody's ran 96 different loss and prepayment scenarios
through SFW. The scenarios encompass six loss levels, four loss
timing curves, and four prepayment curves. The structure allows for
timely payment of interest and ultimate payment of principal with
respect to the notes by the legal final maturity.
Third Party Review
Three third party review (TPR) firms conducted due diligence on all
but 15 of the loans in MCMLT 2017-2's collateral pool. The TPR
firms reviewed compliance, data integrity and key documents, to
verify that loans were originated in accordance with federal, state
and local anti-predatory laws. The TPR firms also conducted audits
of designated data fields to ensure the accuracy of the collateral
tape. An independent firm also reviewed the title and tax reports
for all the loans in the pool.
Based on Moody's analysis of the third-party review reports,
Moody's determined that a portion of the loans had legal or
compliance exceptions that could cause future losses to the trust.
Moody's incorporated an additional hit to the loss severities for
these loans to account for this risk. The title review includes
confirming the recordation status of the mortgage and the
intervening chain of assignments, the status of real estate taxes
and validating the lien position of the underlying mortgage loan.
Once securitized, delinquent taxes will be advanced on behalf of
the borrower and added to the borrower's account. The servicer will
be reimbursed for delinquent taxes from the top of the waterfall,
as a servicing advance. The representation provider has deposited
collateral of $750,000 in the Assignment Reserve Account (ARA) to
ensure one or more third parties monitored by the Depositor
completes all assignment and endorsement chains and record an
intervening assignment of mortgage as necessary. The amount
deposited in the ARA at the closing date is same as MCMLT 2017-1
but lower than previous Mill City transactions issued in 2015 and
2016. Moody's has considered the lower ARA deposit and factors such
as: (i) the high historical cure rate in the previous Mill City
transactions; (ii) the low delinquency rate of the previous Mill
City transactions; and (iii) quality of the collateral.
Representations & Warranties
Moody's ratings also factor in MCMLT 2017-2's weak representations
and warranties (R&Ws) framework because they contain many knowledge
qualifiers and the regulatory compliance R&W does not cover
monetary damages that arise from TILA violations whose right of
rescission has expired. While the transaction provides for a Breach
Reserve Account to cover for any breaches of R&Ws, the size of the
account is small relative to MCMLT 2017-2's aggregate collateral
pool ($382.4 million). An initial deposit of $1.025 million will be
remitted to the Breach Reserve Account on the closing date, with an
initial Breach Reserve Account target amount of $1.43 million.
Transaction Parties
The transaction benefits from an adequate servicing arrangement.
Shellpoint Mortgage Servicing ("Shellpoint") will service 81.45% of
the pool and Fay Servicing LLC ("Fay") will service 18.55% of the
pool. Wells Fargo Bank, N.A. is the Custodian of the transaction.
The Delaware Trustee for MCMLT 2017-2 is Wilmington Savings Fund
Society, FSB, d/b/a, Christiana Trust. MCMLT 2017-2's Indenture
Trustee is U.S. Bank National Association.
Factors that would lead to an upgrade or downgrade of the ratings:
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligors defaulting or
deterioration in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market. Other reasons
for worse-than-expected performance include poor servicing, error
on the part of transaction parties, inadequate transaction
governance and fraud.
MMCAPS FUNDING XVII: Moody's Affirms B3sf Rating on 2 Tranches
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by MMCAPS Funding XVII, Ltd.:
US$162,000,000 Class A-1 Floating Rate Notes due 2035 (current
outstanding balance of $49,839,479.05), Upgraded to Aa1 (sf);
previously on October 31, 2014 Affirmed Aa2 (sf)
US$19,500,000 Class A-2 Floating Rate Notes due 2035, Upgraded to
Aa2 (sf); previously on October 31, 2014 Affirmed Aa3 (sf)
US$33,000,000 Class B Floating Rate Notes due 2035, Upgraded to Aa3
(sf); previously on October 31, 2014 Affirmed A1 (sf);
Moody's also affirmed the ratings on the following notes:
US$35,475,000 Class C-1 Floating Rate Deferrable Interest Notes due
2035, Affirmed B3 (sf); previously on October 31, 2014 Upgraded to
B3 (sf)
US$35,475,000 Class C-2 Fixed Rate Deferrable Interest Notes due
2035, Affirmed B3 (sf); previously on October 31, 2014 Upgraded to
B3 (sf)
MMCAPS Funding XVII, Ltd., issued in September 2005, is a
collateralized debt obligation backed by a portfolio of bank and
insurance trust preferred securities (TruPS).
RATINGS RATIONALE
The rating actions are primarily a result of the deleveraging of
the Class A-1 notes and an increase in the transaction's
over-collateralization (OC) ratios since June 2016.
The Class A-1 notes have paid down by approximately 8.3% or $4.5
million since June 2016, using principal proceeds from the
redemption of the underlying assets and the diversion of excess
interest proceeds. Based on Moody's calculations, the OC ratios for
the Class A-1, Class A-2, Class B, and Class C notes have improved
to 354.14%, 254.54%, 172.47%, and 101.85%, respectively, from June
2016 levels of 324.21%, 238.88%, 165.27%, and 99.41%, respectively.
Based on the trustee reports, the Class C OC has been passing its
trigger since March 2017, but due to a waterfall feature, 60% of
excess interest will continue to be diverted to the Class A-1
notes.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS 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:
1) Macroeconomic uncertainty: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in the
general economy. Moody's has a stable outlook on the US banking
sector.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's current
expectations could have a positive impact on the transaction's
performance. Conversely, asset credit performance weaker than
Moody's current expectations could have adverse consequences on the
transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and excess
interest proceeds will continue and at what pace. Note repayments
that are faster than Moody's current expectations could have a
positive impact on the notes' ratings, beginning with the notes
with the highest payment priority.
4) Exposure to non-publicly rated assets: The deal contains a large
number of securities whose default probability Moody's assesses
through credit scores derived using RiskCalc™ or credit
estimates. Because these are not public ratings, they are subject
to additional uncertainties.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Assuming a two-notch upgrade to assets with below-investment grade
ratings or rating estimates (WARF of 506)
Class A-1: 0
Class A-2: +1
Class B: +1
Class C-1: +2
Class C-2: +2
Assuming a two-notch downgrade to assets with below-investment
grade ratings or rating estimates (WARF of 1147)
Class A-1: -1
Class A-2: -1
Class B: -1
Class C-1: -1
Class C-2: -2
Loss and Cash Flow Analysis:
Moody's applied a Monte Carlo simulation framework in Moody's
CDROM(TM) to model the loss distribution for TruPS CDOs. The
simulated defaults and recoveries for each of the Monte Carlo
scenarios defined the reference pool's loss distribution. Moody's
then used the loss distribution as an input in its CDOEdge(TM) cash
flow model. CDOM(TM) is available on www.moodys.com under Products
and Solutions -- Analytical models, upon receipt of a signed free
license agreement.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool has having a performing par of $176.5 million,
defaulted par of $20.9 million, a weighted average default
probability of 8.39% (implying a WARF of 770), and a weighted
average recovery rate upon default of 10%.
In addition to the quantitative factors Moody's explicitly models,
qualitative factors are part of rating committee considerations.
Moody's considers the structural protections in the transaction,
the risk of an event of default, recent deal performance under
current market conditions, the legal environment and specific
documentation features. All information available to rating
committees, including macroeconomic forecasts, inputs from other
Moody's analytical groups, market factors, and judgments regarding
the nature and severity of credit stress on the transactions, can
influence the final rating decision.
The portfolio of this CDO contains TruPS issued by small to medium
sized U.S. community banks and insurance companies that Moody's
does not rate publicly. To evaluate the credit quality of bank
TruPS that do not have public ratings, Moody's uses RiskCalc(TM),
an econometric model developed by Moody's Analytics, to derive
credit scores. Moody's evaluation of the credit risk of most of the
bank obligors in the pool relies on the latest FDIC financial data.
For insurance TruPS that do not have public ratings, Moody's relies
on the assessment of its Insurance team, based on the credit
analysis of the underlying insurance firms' annual statutory
financial reports.
MORGAN STANLEY 2005-HQ7: S&P Affirms B Rating on Class F Debt
-------------------------------------------------------------
S&P Global Ratings raised its rating on the class D commercial
mortgage pass-through certificates from Morgan Stanley Capital I
Trust 2005-HQ7, a U.S. commercial mortgage-backed securities (CMBS)
transaction. In addition, S&P affirmed its ratings on two
other classes from the same transaction.
S&P's rating actions on the certificates follow its analysis of the
transaction,primarily using our criteria for rating U.S. and
Canadian CMBS transactions, which included a review of the credit
characteristics and performance of the remaining assets in the
pool, the transaction's structure, and the liquidity available to
the trust.
S&P said, "We raised our rating on class D to reflect our
expectation of the available credit enhancement for this class,
which we believe is greater than our most recent estimate of
necessary credit enhancement for the rating level. The upgrade also
considers the significant reduction in trust balance."
The affirmations on classes E and F reflect S&P's expectation that
the available credit enhancement for these classes will be within
its estimate of the necessary credit enhancement required for the
current ratings.
While available credit enhancement levels suggest positive rating
movement on classes E and F, S&P's analysis also considered the
susceptibility to reduced liquidity support from the two specially
serviced assets ($66.0 million, 58.9%) and other loans on the
master servicer's watchlist, with low reported debt service
coverage (DSC). In addition, S&P's analysis considered that the
largest performing loan, Crown Ridge at Fair Oaks ($33.2 million,
29.6%), was previously with the special servicer.
TRANSACTION SUMMARY
As of the May 15, 2017, trustee remittance report, the collateral
pool balance was $112.1 million, which is 5.7% of the pool balance
at issuance. The pool currently includes 12 loans (reflecting
crossed loans) and two real estate-owned (REO) assets, down from
273 loans at issuance. Two of these assets are with the special
servicer, one ($0.7 million, 0.7%) is defeased, and four ($3.3
million, 3.0%) are on the master servicer's watchlist. The
master servicer, Wells Fargo Bank N.A., reported partial-year or
year-end 2016financial information for 94.7% of the nondefeased
loans in the pool.
S&P said, "We calculated a 1.02x S&P Global Ratings weighted
average DSC and a 100.5% S&P Global Ratings weighted average
loan-to-value (LTV) ratio using a 7.67% S&P Global Ratings weighted
average capitalization rate. The DSC, LTV, and capitalization rate
calculations exclude the two specially serviced assets and
defeased loan. The top 10 nondefeased assets have an aggregate
outstanding pool trust balance of $110.2 million (98.4%). Using
adjusted servicer-reported numbers, we calculated an S&P Global
Ratings weighted average DSC and LTV of 1.01x and 102.6%,
respectively, for eight of the top 10 nondefeased assets.
The remaining two assets are specially serviced and discussed
below.
"To date, the transaction has experienced $90.0 million in
principal losses, or 4.6% of the original pool trust balance. We
expect losses to reach approximately 7.3% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses we expect upon the eventual resolution of the
two specially serviced assets."
CREDIT CONSIDERATIONS
As of the May 15, 2017, trustee remittance report, two assets in
the pool werewith the special servicer, C-III Asset Management LLC.
Details of these assets, both of which are top 10 nondefeased
assets, are as follows:
The Hilltop Mall REO asset ($64.4 million, 57.4%) is the largest
nondefeased asset in the trust and has a $73.6 million total
reported exposure. The asset comprises 564,410 sq. ft. of a 1.08
million-sq.-ft. enclosed mall, built in 1976 and renovated in 1998,
in Richmond, Calif. The loan was transferred to
the special servicer on May 22, 2012, for imminent maturity default
(matured on July 8, 2012), and the property became REO on June 7,
2013. The reported DSC and occupancy as of year-end 2016 were 0.26x
and 54.2%, respectively. A $60.6 million appraisal reduction amount
(ARA) is in effect against the asset. S&P expects a significant
loss (60% or greater) upon the asset's eventual
resolution.
The Office Max – Vincennes REO asset, the smallest asset with the
special servicer, is the fifth-largest nondefeased asset in the
pool, with a $1.6 million (1.5%) pool trust balance and a $1.8
million reported total exposure. The asset is a 23,500-sq.-ft.
single-tenant retail property in Vincennes, Ind. The loan was
transferred to the special servicer on Aug. 12, 2015, for
imminent maturity default (matured on Sept. 1, 2015), and the
property became REO on Feb. 9, 2017. The reported DSC and occupancy
as of Sept. 30, 2016, were1.07x and 100.0%, respectively. The asset
has a $1.3 million ARA in effect. S&P expects a significant loss
(60% or greater) upon the asset's eventual resolution.
S&P estimated losses for the two specially serviced assets,
arriving at a weighted average loss severity of 79.5%.
RATINGS LIST
Morgan Stanley Capital I Trust 2005-HQ7
Commercial mortgage pass-through certificates series 2005-HQ7
Rating
Class Identifier To From
D 617451BV0 AAA (sf) A (sf)
E 617451BW8 BBB (sf) BBB (sf)
F 617451BX6 B (sf) B(sf)
MORGAN STANLEY 2013-C12: Fitch Affirms B-sf Rating on Cl. G Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Morgan Stanley Bank of
America Merrill Lynch Trust (MSBAM) commercial mortgage
pass-through certificates series 2013-C12.
KEY RATING DRIVERS
The affirmations follow the overall stable performance of the
underlying loans. There have been no material changes to the pool
since issuance, therefore the original rating analysis was
considered in affirming the transaction. There are seven loans
(6.9%) on the master servicer's watch list, mostly due to occupancy
declines, deferred maintenance, and a fire at one of the
properties.
As of the May 2017 distribution date, the pool's aggregate
principal balance has been reduced by 4.4% to $1.22 billion from
$1.28 billion at issuance. Per the servicer reporting, two loans
(1.2% of the pool) are defeased. Interest shortfalls are currently
affecting class H.
Stable Performance: Property-level performance remains generally in
line with issuance expectations, and there have been no material
changes to the pool metrics.
Retail Concentration: Retail properties represent the largest
concentration at 48.1% of the pool, including five of the top 10
loans. Of the retail concentration, one loan (10.3%) is secured by
a factory outlet center, two loans (11%) are secured by regional
malls and 12 loans (22.7%) are secured by anchored community or
power centers. The next largest property type concentrations are
office (15.9%), hotel (13.4%), multifamily (10.5%) and manufactured
housing (4.9%).
Amortization: The pool is scheduled to amortize 15.4% prior to
maturity. Eight loans (10.9%) are interest only, and 15 loans
(31.2%) are partial interest only. The remaining loans are balloon
loans. Approximately 86% of the pool consists of 10-year loans and
matures in 2023.
Pari Passu Loans: Four loans (three of which are in the top five;
16.2% of the pool) are part of a split-loan, pari passu structure.
Marriott Chicago River North and Westfield Countryside have split
loan, nontrust components that contributed to the MSBAM 2013-C11
transaction, Burnham Center has a split-loan, nontrust component
that contributed to the MSBAM 2013-C10 transaction and 15 MetroTech
Center has a split-loan, nontrust component that contributed to
COMM 2013-C12.
RATING SENSITIVITIES
The Rating Outlook for all classes remains Stable due to stable
collateral performance. Fitch does not foresee positive or negative
ratings migration until a material economic or asset-level event
changes the transaction's portfolio-level metrics.
Fitch affirms the following classes:
-- $24.7 million class A-1 at 'AAAsf'; Outlook Stable;
-- $161.2 million class A-2 at 'AAAsf'; Outlook Stable;
-- $107.2 million class A-SB at 'AAAsf'; Outlook Stable;
-- $260 million class A-3 at 'AAAsf'; Outlook Stable;
-- $284.7 million class A-4 at 'AAAsf'; Outlook Stable;
-- $943.1 million class X-A at 'AAAsf'; Outlook Stable;
-- $105.3 million class A-S at 'AAAsf'; Outlook Stable;
-- $75 million class B at 'AA-sf'; Outlook Stable;
-- $232.9 million class PST* at 'A-sf'; Outlook Stable;
-- $52.6 million class C at 'A-sf'; Outlook Stable;
-- $52.6 million class D at 'BBB-sf'; Outlook Stable;
-- $19.1 million class E at 'BB+sf'; Outlook Stable;
-- $20.7 million class F at 'BB-sf'; Outlook Stable;
-- $14.4 million class G at 'B-sf'; Outlook Stable.
* Class A-S, class B, and class C certificates may be exchanged for
class PST certificates, and class PST certificates may be exchanged
for class A-S, class B, and class C certificates.
Fitch does not rate the class H certificates or the interest only
class X-C certificates.
MORGAN STANLEY 2015-C23: DBRS Confirms B(low) Rating on Cl. G Debt
------------------------------------------------------------------
DBRS Limited confirmed the following ratings on the Commercial
Mortgage Pass-Through Certificates, Series 2015-C23 issued by
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23:
-- 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-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class PST at A (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (sf)
-- Class F at B (high) (sf)
-- Class X-FG at B (sf)
-- Class G at B (low) (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction, which has remained in line with DBRS's
expectations since issuance. As of the May 2017 remittance, there
has been a collateral reduction of 1.2% as a result of scheduled
amortization. Loans representing 22.7% of the current pool balance
are reporting partial-year 2017 financials and loans representing
85.7% of the current pool balance are reporting YE2016 figures.
According to the YE2016 financials, the pool reported a
weighted-average (WA) debt service coverage ratio (DSCR) and WA
debt yield of 1.61 times (x) and 9.0%, respectively. The DBRS WA
DSCR and WA debt yield at issuance were 1.64x and 8.6%,
respectively. The largest 15 loans in the pool represent 57.3% of
the transaction balance and 13 of those loans, representing 46.5%
of the current pool balance, reported YE2016 financials, which
showed a WA net cash flow growth of 7.8% over the DBRS issuance
figures with a WA DSCR and WA debt yield of 1.67x and 8.8%,
respectively.
At issuance, two loans, representing 9.2% of the current pool
balance, were shadow-rated investment-grade. DBRS has today
confirmed that the performance of these loans remains consistent
with investment-grade loan characteristics.
As of the May 2017 remittance, there were 11 loans on the
servicer's watchlist, representing 7.6% of the current pool
balance, including one loan in the top 15 (Prospectus ID #16 –
Aviare Place Apartments; 2.0% of the current pool balance), which
was flagged for a depressed DSCR.
MORGAN STANLEY 2017-H1: DBRS Finalizes B(low) Rating on H-RR Debt
-----------------------------------------------------------------
DBRS, Inc. finalized the provisional ratings on the followings
classes of Commercial Mortgage Pass-Through Certificates, Series
2017-H1 (the Certificates) issued by Morgan Stanley Capital I Trust
2017-H1:
-- 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 A-5 at AAA (sf)
-- Class X-A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (high) (sf)
-- Class X-B at AA (low) (sf)
-- Class C at A (high) (sf)
-- Class X-D at A (sf)
-- Class D at A (low) (sf)
-- Class E-RR at BBB (sf)
-- Class F-RR at BBB (low) (sf)
-- Class G-RR at BB (low) (sf)
-- Class H-RR at B (low) (sf)
All trends are Stable.
Classes X-D, D, E-RR, F-RR, G-RR and H-RR have been privately
placed. The Class X-A, Class X-B and Class X-D balances are
notional. Classes E-RR, F-RR, G-RR, H-RR and J-RR (collectively,
the HRR Certificates (Eligible Horizontal Residual Interest)) will
be retained by the retaining sponsor or its majority-owned
affiliate in accordance with the credit risk retention rules
applicable to this securitization transaction.
The collateral consists of 58 fixed-rate loans secured by 89
commercial and multifamily properties. Two of the loans are
cross-collateralized and cross-defaulted into a separate crossed
group. The DBRS analysis of this transaction incorporates these
loans into a portfolio, resulting in a modified loan count of 57,
and the loan number references within this report reflect this
total. The transaction is a sequential-pay pass-through structure.
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, one loan, representing 0.8% of
the aggregate pool balance, 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. Additionally, to assess
refinance risk given the current low interest rate environment,
DBRS applied its refinance constants to the balloon amounts. This
resulted in 23 loans, representing 48.9% of the pool, having
refinance DSCRs below 1.00x and 14 loans, representing 35.1% of the
pool, with refinance DSCRs below 0.90x.
Overall, the pool exhibits a relatively strong DBRS
weighted-average (WA) Term DSCR of 1.59x based on the whole-loan
balance, which indicates moderate term default risk, and there are
no shadow-rated loans skewing such metrics. Furthermore, only three
loans, representing 11.1% of the pool, are secured by properties
that are either fully or primarily leased to a single tenant. Loans
secured by properties occupied by single tenants have been found to
suffer from higher loss severities in the event of default. As
such, DBRS modeled single-tenant properties with a higher
probability of default (POD) and cash flow volatility compared with
multi-tenant properties. The pool is relatively diverse based on
loan size, with a concentration profile equivalent to that of a
pool of 33 equal-sized loans. Diversity is further enhanced by
seven loans, representing 19.1% of the pool, that are secured by
multiple properties (39 in total). Increased pool diversity
insulates the higher-rated classes from event risk. Nine loans,
representing 30.0% of the pool, are located in urban markets with
increased liquidity that benefit from consistent investor demand,
even in times of stress. Urban markets represented in the deal
include New York City; Seattle, Washington; New Orleans, Louisiana;
Austin, Texas; and Denver, Colorado.
The transaction's WA DBRS Refinance (Refi) DSCR is 1.01x,
indicating a higher refinance risk on an overall pool level.
Furthermore, 14 loans, representing 39.6% of the pool, including
six of the largest ten loans, are structured with full-term
interest-only (IO) payments. An additional 18 loans, comprising
28.1% of the pool, have partial IO periods ranging from 17 months
to 60 months. The DBRS Term DSCR is calculated by using the
amortizing debt service obligation, and the DBRS Refi DSCR is
calculated by considering the balloon balance and lack of
amortization when determining refinance risk. DBRS determines the
POD based on the lower of the Term or Refi DSCR; therefore, loans
that lack amortization will be treated more punitively. Five of the
full-term IO loans, representing 40.0% of the full IO concentration
in the transaction, are located in urban markets. Of these, three
loans, totaling 20.4% of the concentration, have excellent
locations in immensely infilled Super Dense Urban markets that
benefit from steep investor demand. The deal appears to be
concentrated by property type with 14 loans, representing 40.0% of
the pool, secured by office properties and 12 loans, representing
18.6% of the pool, secured by 13 hotel properties. Of the office
property concentration, 42.6% of the loans are located in urban
markets and no loans are located in tertiary/rural markets. DBRS
cash flow volatility for hotels, which ultimately determines a
loan's POD, assumes between 22.4% and 28.4% cash flow decline for a
BBB stress and 60.2% and 76.4% cash flow decline for a AAA stress.
To further mitigate the more volatile cash flow of hotels, the
loans in the pool secured by hotel properties have a WA DBRS Debt
Yield and DBRS Exit Debt Yield of 10.8% and 12.4%, respectively,
which compare quite favorably with the figures of 8.9% and 9.9%,
respectively, for the non-hotel properties in the pool.
Additionally, 50.9% of the hotel concentration is located in urban
markets.
The DBRS sample included 31 of the 57 loans in the pool. Site
inspections were performed on 50 of the 89 properties in the
portfolio (72.2% of the pool by allocated loan balance). The DBRS
sample had an average NCF variance of -8.7%, ranging from -21.4% to
-0.4%. DBRS identified ten loans, representing 23.3% of the pool,
with unfavorable sponsor strength, including two of the top ten
loans. DBRS increased the POD for the loans with identified
sponsorship concerns.
NEW RESIDENTIAL 2017-3: S&P Assigns 'B' Rating on 9 Tranches
------------------------------------------------------------
S&P Global Ratings assigned its ratings to New Residential Mortgage
Loan Trust 2017-3's $668.500 million mortgage-backed notes.
The note issuance is a residential mortgage-backed securities
transaction backed by highly seasoned, prime and nonprime
first-lien, fully amortizing and balloon, fixed-rate,
adjustable-rate, and step-rate residential mortgage loans secured
primarily by one-to four family residential properties,
condominiums, townhouses, manufactured homes, planned unit
developments, and mobile homes.
The ratings reflect:
-- The credit enhancement provided, as well as the associated
structural transaction mechanics;
-- The pool's collateral composition, which consists of highly
seasoned, prime and nonprime, fully amortizing and balloon,
fixed-rate, step-rate, and adjustable-rate mortgages;
-- The representation and warranty (R&W) framework; and
-- The ability and willingness of key transaction parties to
perform their contractual obligations and the likelihood
that the parties could be replaced if needed.
RATINGS ASSIGNED
New Residential Mortgage Loan Trust 2017-3
Class Rating Amount
(mil. $)
A-1 AAA (sf) 566,243,000
A-IO AAA (sf) 566,243,000(i)
A-1A AAA (sf) 566,243,000
A-1B AAA (sf) 566,243,000
A-1C AAA (sf) 566,243,000
A1-IOA AAA (sf) 566,243,000(i)
A1-IOB AAA (sf) 566,243,000(i)
A1-IOC AAA (sf) 566,243,000(i)
A-2 AA (sf) 596,850,000
A AAA (sf) 566,243,000
X-1 NR 75,188,962(i)
X-2 NR 13,550,514(i)
X-3 NR 6,898,057(i)
B-1 AA (sf) 30,607,000
B1-IO AA (sf) 30,607,000(i)
B-1A AA (sf) 30,607,000
B-1B AA (sf) 30,607,000
B-1C AA (sf) 30,607,000
B1-IOA AA (sf) 30,607,000(i)
B1-IOB AA (sf) 30,607,000(i)
B1-IOC AA (sf) 30,607,000(i)
B-2 A (sf) 20,869,000
B2-IO A (sf) 20,869,000(i)
B-2A A (sf) 20,869,000
B-2B A (sf) 20,869,000
B-2C A (sf) 20,869,000
B2-IOA A (sf) 20,869,000(i)
B2-IOB A (sf) 20,869,000(i)
B2-IOC A (sf) 20,869,000(i)
B-3 BBB (sf) 24,000,000
B-3A BBB (sf) 24,000,000
B-3B BBB (sf) 24,000,000
B-3C BBB (sf) 24,000,000
B3-IOA BBB (sf) 24,000,000(i)
B3-IOB BBB (sf) 24,000,000(i)
B3-IOC BBB (sf) 24,000,000(i)
B-4 BB (sf) 13,912,000
B-4A BB (sf) 13,912,000
B-4B BB (sf) 13,912,000
B-4C BB (sf) 13,912,000
B4-IOA BB (sf) 13,912,000(i)
B4-IOB BB (sf) 13,912,000(i)
B4-IOC BB (sf) 13,912,000(i)
B-5 B (sf) 12,869,000
B-5A B (sf) 12,869,000
B-5B B (sf) 12,869,000
B-5C B (sf) 12,869,000
B-5D B (sf) 12,869,000
B5-IOA B (sf) 12,869,000(i)
B5-IOB B (sf) 12,869,000(i)
B5-IOC B (sf) 12,869,000(i)
B5-IOD B (sf) 12,869,000(i)
B-6 NR 27,130,509
B NR 129,387,509
FB NR 20,354,116
(i)Notional amount.
NR--Not rated.
OCTAGON INVESTMENT XVII: S&P Affirms Bsf Rating on Class F Debt
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, A-3-R,
B-1-R, B-2-R, C-R, and D-R replacement notes from Octagon
Investment Partners XVII Ltd., a collateralized loan obligation
(CLO) originally issued in 2013 that is managed by Octagon
Credit Investors LLC. "We withdrew our ratings on the original
class A-1, A-3, B-1, B-2, C, and D notes following payment in full
on the May 31, 2017 refinancing date. At the same time, we affirmed
our ratings on the class A-2-R, E, and F notes, which were not part
of this refinancing," S&P said.
On the May 31, 2017, refinancing date, the proceeds from the class
A-1-R, A-3-R, B-1-R, B-2-R, C-R, and D-R note issuances were used
to redeem the original class A-1, A-3, B-1, B-2, C, and D notes as
outlined in the transaction document provisions. "Therefore, we
withdrew our ratings on the original notes in line with their full
redemption, and we are assigning ratings to the replacement notes,"
said S&P.
The replacement notes are being issued via a proposed supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, also prohibits the future refinancing of the
notes.
S&P said, "Our 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
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches."
The cash flow analysis indicated a lower rating on the class F
notes; however, S&P also considered the benefit from the reduced
senior note spreads in connection with the refinancing and a
forward-looking assumption of the delevering expected to begin once
the reinvestment period ends in October 2017. Therefore, S&P is
affirming the notes at the current rating level.
The assigned ratings reflect S&P's opinion that the credit support
available is commensurate with the associated rating levels.
S&P's review of the transaction also relied in part upon a criteria
interpretation with respect to "CDOs: Mapping A Third Party's
Internal Credit Scoring System To Standard & Poor's Global Rating
Scale," published May 8, 2014, which allows S&P to use a limited
number of public ratings from other Nationally Recognized
Statistical Rating Organizations for the purposes of assessing the
credit quality of assets not rated by S&P Global Ratings. The
criteria provide specific guidance for treatment of corporate
assets not rated by S&P Global Ratings, and the interpretation
outlines treatment of securitized assets.
S&P said, "We will continue to review whether, in our view, the
ratings assigned to the notes remain consistent with the credit
enhancement available to support them, and we will take rating
actions as we deem necessary."
RATINGS ASSIGNED
Octagon Investment Partners XVII Ltd.
Replacement class Rating Amount
(mil $)
A-1-R AAA (sf) 141.00
A-3-R AAA (sf) 25.00
B-1-R AA (sf) 40.00
B-2-R AA (sf) 5.00
C-R A (sf) 31.75
D-R BBB (sf) 21.75
RATINGS AFFIRMED
Octagon Investment Partners XVII Ltd.
Class Rating
A-2-R AAA (sf)
E BB (sf)
F B (sf)
RATINGS WITHDRAWN
Octagon Investment Partners XVII Ltd.
Rating
Original class To From
A-1 NR AAA (sf)
A-3 NR AAA (sf)
B-1 NR AA (sf)
B-2 NR AA (sf)
C NR A (sf)
D NR BBB (sf)
NR--Not rated.
OCTAGON INVESTMENT XXII: Moody's Rates Class E-2-R Notes Ba3
------------------------------------------------------------
Moody's Investors Service has assigned the following ratings to the
following notes (the "Refinancing Notes") issued by Octagon
Investment Partners XXII, Ltd.:
US$424,500,000 Class A-R Senior Secured Floating Rate Notes Due
2025 (the "Class A-R Notes"), Assigned Aaa (sf)
US$74,250,000 Class B-1-R Senior Secured Floating Rate Notes Due
2025 (the "Class B-1-R Notes"), Assigned Aa1 (sf)
US$18,000,000 Class B-2-R Senior Secured Floating Rate Notes Due
2025 (the "Class B-2-R Notes"), Assigned Aa1 (sf)
US$40,250,000 Class C-1-R Secured Deferrable Mezzanine Floating
Rate Notes Due 2025 (the "Class C-1-R Notes"), Assigned A1 (sf)
US$4,000,000 Class C-2-R Secured Deferrable Mezzanine Floating Rate
Notes Due 2025 (the "Class C-2-R Notes"), Assigned A1 (sf)
US$13,000,000 Class C-3-R Secured Deferrable Mezzanine Floating
Rate Notes Due 2025 (the "Class C-3-R Notes"), Assigned A1 (sf)
U.S.$32,250,000 Class D-1-R Secured Deferrable Mezzanine Floating
Rate Notes Due 2025 (the "Class D-1-R Notes"), Assigned Baa3 (sf)
U.S.$4,000,000 Class D-2-R Secured Deferrable Mezzanine Floating
Rate Notes Due 2025 (the "Class D-2-R Notes"), Assigned Baa3 (sf)
U.S.$3,750,000 Class E-2-R Secured Deferrable Junior Floating Rate
Notes Due 2025 (the "Class E-2-R Notes"), Assigned Ba3 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of senior secured, broadly syndicated corporate loans.
Octagon Credit Investors, LLC (the "Manager") manages the CLO. It
directs the selection, acquisition, and disposition of collateral
on behalf of the Issuer.
RATINGS RATIONALE
Moody's ratings on the Refinancing Notes address the expected loss
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.
The Issuer has issued the Refinancing Notes on June 9, 2017 (the
"Refinancing Date") in connection with the refinancing of certain
classes of notes (the "Refinanced Original Notes") previously
issued on the Original Closing Date. On the Refinancing Date, the
Issuer used the proceeds from the issuance of the Refinancing Notes
to redeem in full the Refinanced Original Notes.
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 a Downgrade of the
Ratings:
The performance of each class of the Issuer's notes is subject to
uncertainty relating to certain factors and circumstances, and this
uncertainty could lead Moody's to change its ratings:
1) Macroeconomic uncertainty: CLO performance is subject to
uncertainty about credit conditions in the general economy.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the Manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO documentation
by the Manager or other transaction parties owing to embedded
ambiguities.
3) Collateral credit risk: Investing in collateral of better credit
quality, or better than Moody's expected credit performance of the
assets collateralizing the transaction can lead to positive CLO
performance. Conversely, a negative shift in the credit quality or
performance of the collateral can have adverse consequences for CLO
performance.
4) Deleveraging: During the amortization period, the pace of
deleveraging from unscheduled principal proceeds is an important
source of uncertainty. Deleveraging of the CLO could accelerate
owing to high prepayment levels in the loan market and/or
collateral sales by the Manager, which could have a significant
impact on the ratings. Note repayments that are faster than Moody's
current expectations will usually have a positive impact on CLO
notes, beginning with those notes having the highest payment
priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets could result in volatility in the deal's
overcollateralization levels. Further, the timing of recovery
realization and whether the Manager decides to work out or sell
defaulted assets create additional uncertainty. Realization of
recoveries that are either materially higher or lower than assumed
in Moody's analysis would impact the CLO positively or negatively,
respectively.
6) Weighted average life: The notes' ratings can be sensitive to
the weighted average life assumption of the portfolio, which could
lengthen owing to any decision by the Manager to reinvest into new
issue loans or loans with longer maturities, or participate in
amend-to-extend offerings. Life extension can increase the default
risk horizon and assumed cumulative default probability of CLO
collateral.
7) Weighted Average Spread (WAS): CLO performance can be sensitive
to WAS, which is a key factor driving the amount of excess spread
available as credit enhancement when a deal fails its
over-collateralization or interest coverage tests. A decrease in
excess spread, including as a result of losing the net interest
benefit of LIBOR floors, or because market conditions make it
difficult for the deal to source assets of appropriate credit
quality in order to maintain its WAS target, would reduce the
effective credit enhancement available for the notes.
Together with the set of modeling assumptions described below,
Moody's conducted additional sensitivity analyses, which were
considered in determining the ratings assigned to the rated notes.
In particular, in addition to the base case analysis, Moody's
conducted sensitivity analyses to test the impact of a number of
default probabilities on the rated notes relative to the base case
modeling results. Below is a summary of the impact of different
default probabilities, expressed in terms of WARF level, on the
rated notes (shown in terms of the number of notches difference
versus the base case model output, where a positive difference
corresponds to a lower expected loss):
Moody's Assumed WARF - 20% (2175)
Class A-R: 0
Class B-1-R: 0
Class B-2-R: 0
Class C-1-R: +3
Class C-2-R: +3
Class C-3-R: +3
Class D-1-R: +2
Class D-2-R: +2
Class E-1: +1
Class E-2-R: +2
Class F: +1
Moody's Assumed WARF + 20% (3263)
Class A-R: 0
Class B-1-R: -1
Class B-2-R: -1
Class C-1-R: -2
Class C-2-R: -2
Class C-3-R: -2
Class D-1-R: -2
Class D-2-R: -2
Class E-1: -1
Class E-2-R: -1
Class F: -2
Loss and Cash Flow Analysis
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
recovery rate, and weighted average spread, are based on its
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions
Performing par and principal proceeds balance: $692,755,354
Defaulted par: $7,407,441
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2719 (corresponding to a
weighted average default probability of 22.16%)
Weighted Average Spread (WAS): 3.62%
Weighted Average Recovery Rate (WARR): 48.54%
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of the
assets in the collateral pool. In each case, historical and market
performance and the collateral manager's latitude for trading the
collateral are also factors.
OZLM XVI: Moody's Assigns Ba3(sf) Rating to Class D Notes
---------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by OZLM XVI, Ltd.
Moody's rating action is:
US$254,000,000 Class A-1 Senior Secured Floating Rate Notes due
2030 (the "Class A-1 Notes"), Assigned Aaa (sf)
US$50,000,000 Class A-2 Senior Secured Floating Rate Notes due 2030
(the "Class A-2 Notes"), Assigned Aa2 (sf)
US$20,800,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class B Notes"), Assigned A2 (sf)
US$24,800,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class C Notes"), Assigned Baa3 (sf)
US$18,400,000 Class D Secured Deferrable Floating Rate Notes due
2030 (the "Class D Notes"), Assigned 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."
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.
OZLM XVI is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90% of the portfolio must consist
of senior secured loans and eligible investments, and up to 10% of
the portfolio may consist of second lien loans and unsecured loans.
The portfolio is approximately 99% ramped as of the closing date.
OZ CLO Management LLC (the "Manager") and Och-Ziff Loan Management
LP, acting as 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 five year reinvestment period.
Thereafter, the Manager may reinvest unscheduled principal payments
and proceeds from sales of credit risk assets, subject to certain
restrictions.
In addition to the Rated Notes, the Issuer has issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in October 2016.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $400,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2770
Weighted Average Spread (WAS): 3.80%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 46.0%
Weighted Average Life (WAL): 9 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 2770 to 3186)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2 Notes:-2
Class B Notes: -2
Class C Notes: -1
Class D Notes: 0
Percentage Change in WARF -- increase of 30% (from 2770 to 3601)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -3
Class B Notes: -4
Class C Notes: -2
Class D Notes: -1
PARALLEL LTD 2017-1: Moody's Gives B2(sf) Rating to Class F Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
notes issued by Parallel 2017-1 Ltd.
Moody's rating action is:
US$252,000,000 Class A-1 Senior Secured Floating Rate Notes due
2029 (the "Class A-1 Notes"), Assigned Aaa (sf)
US$16,000,000 Class A-2 Senior Secured Floating Rate Notes due 2029
(the "Class A-2 Notes"), Assigned Aaa (sf)
US$34,000,000 Class B Senior Secured Floating Rate Notes due 2029
(the "Class B Notes"), Assigned Aa2 (sf)
US$26,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2029 (the "Class C Notes"), Assigned A2 (sf)
US$22,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2029 (the "Class D Notes"), Assigned Baa3 (sf)
US$18,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2029 (the "Class E Notes"), Assigned Ba3 (sf)
US$5,000,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2029 (the "Class F Notes"), Assigned B2 (sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the
Class C Notes, the Class D Notes, the Class E Notes, and the Class
F Notes are referred to herein 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.
Parallel 2017-1 is a managed cash flow CLO. The issued notes will
be collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90% of the portfolio must consist
of senior secured loans, and up to 10% of the portfolio may consist
of second lien loans, first-lien last-out loans, and unsecured
loans. The portfolio is approximately 75% ramped as of the closing
date.
DoubleLine Capital LP (the "Manager") will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's four year reinvestment period.
Thereafter, the Manager may reinvest unscheduled principal payments
and proceeds from sales of credit risk assets, subject to certain
restrictions.
In addition to the Rated Notes, the Issuer issued 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: $400,000,000
Diversity Score: 62
Weighted Average Rating Factor (WARF): 2743
Weighted Average Spread (WAS): 3.50%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 47.50%
Weighted Average Life (WAL): 8.0 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 2743 to 3154)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2 Notes: -1
Class B Notes: -1
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Class F Notes: 0
Percentage Change in WARF -- increase of 30% (from 2743 to 3566)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -2
Class B Notes: -3
Class C Notes: -3
Class D Notes: -2
Class E Notes: -1
Class F Notes: -3
PRESTIGE AUTO: DBRS Review 17 Ratings From 4 US RMBS Transactions
-----------------------------------------------------------------
DBRS, Inc. reviewed 17 ratings from four U.S. structured finance
asset-backed securities transactions. Of the 17 outstanding
publicly rated classes reviewed, 14 were confirmed and three were
upgraded. For the ratings that were confirmed, performance trends
are such that credit enhancement levels are sufficient to cover
DBRS's expected losses at their current respective rating levels.
For the ratings that were upgraded, performance trends are such
that credit enhancement levels are sufficient to cover DBRS's
expected losses at their new respective rating levels.
The issuer's ratings are based on DBRS's review of the following
analytical considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- The transaction parties' capabilities with regard to
origination, underwriting and servicing.
-- Credit quality of the collateral pool and historical
performance.
A full text copy of the ratings is available free at:
https://is.gd/JsxmZK
SCHOONER TRUST 2007-8: DBRS Cuts Class L Certs Rating to D(sf)
--------------------------------------------------------------
DBRS Limited downgraded the rating of the following class of
Commercial Mortgage Pass-Through Certificates, Series 2007-8 (the
Certificates) issued by Schooner Trust, Series 2007-8 (the Trust):
-- Class L to D (sf) from C (sf)
DBRS has also changed the trend on both Class F and Class G to
Stable from Negative. In addition, the rating for Class XC was
discontinued and withdrawn in conjunction with the above-referenced
rating action.
The rating downgrade is the result of the most recent realized
losses to the Trust that occurred after the Best Western Grand
Mountain loan (Prospectus ID#18) was liquidated from the Trust at a
loss of $5.3 million with the May 2017 remittance. With this loan's
liquidation, there are no loans remaining in special servicing. The
Stable trend assignments reflect the generally favourable refinance
outlook for the nine remaining loans in the pool, all of which are
performing, with a cumulative outstanding principal balance of
$67.4 million as of May 2017. The weighted-average YE2015 debt
service coverage ratio (DSCR) and Refi DSCR for the pool are 1.51
times (x) and 1.42x, respectively, and the remaining loans are
generally slated to mature by June 2017. In addition, the pool
benefits from the full repayment of the Londonderry Mall loan
(Prospectus ID#1, approximately 21.0% of the pool at repayment)
with the May 2017 remittance.
The Best Western Grand Mountain loan was secured by a limited
service hotel property in Grand Cache, Alberta, and was transferred
to special servicing in April 2016 for payment in arrears. The
collateral hotel and an adjacent non-collateral property previously
received purchase bids in April 2016, but ultimately, no sale
materialized at that time. According to the March 2017 servicer
update, an offer of $5.2 million was accepted for both buildings,
with $3.3 million allocated to the collateral hotel. The last
reported property valuation, dated July 2016, valued the subject
property at $3.2 million, down from $14.6 million at issuance. The
loan was subsequently resolved with the May 2017 remittance and the
servicer reported net proceeds available for distribution of $1.4
million with the sale, with a loss severity of 79.4%. The loss
wiped the remaining balance on Class M and reduced the principal
balance on Class L by 27.5%. The realized loss severity was in line
with DBRS's estimates derived with previous surveillance reviews of
this transaction.
STACR 2016-DNA1: Moody's Hikes Ratings on 3 Tranches to Ba2
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of eleven
tranches from one transaction backed by conforming balance RMBS
loans, issued by Freddie Mac.
The complete rating actions are:
Issuer: Structured Agency Credit Risk (STACR) Debt Notes, Series
2016-DNA1
Cl. M-1, Upgraded to A1 (sf); previously on Jan 21, 2016 Definitive
Rating Assigned Baa2 (sf)
Cl. M-1F, Upgraded to A1 (sf); previously on Jan 21, 2016
Definitive Rating Assigned Baa2 (sf)
Cl. M-1I, Upgraded to A1 (sf); previously on Jan 21, 2016
Definitive Rating Assigned Baa2 (sf)
Cl. M-2, Upgraded to Baa1 (sf); previously on Jan 21, 2016
Definitive Rating Assigned Baa3 (sf)
Cl. M-2F, Upgraded to Baa1 (sf); previously on Jan 21, 2016
Definitive Rating Assigned Baa3 (sf)
Cl. M-2I, Upgraded to Baa1 (sf); previously on Jan 21, 2016
Definitive Rating Assigned Baa3 (sf)
Cl. M-3, Upgraded to Ba2 (sf); previously on Jan 21, 2016
Definitive Rating Assigned B1 (sf)
Cl. M-3F, Upgraded to Ba2 (sf); previously on Jan 21, 2016
Definitive Rating Assigned B1 (sf)
Cl. M-3I, Upgraded to Ba2 (sf); previously on Jan 21, 2016
Definitive Rating Assigned B1 (sf)
Cl. M-12, Upgraded to A3 (sf); previously on Jan 21, 2016
Definitive Rating Assigned Baa3 (sf)
Cl. MA, Upgraded to Ba1 (sf); previously on Jan 21, 2016 Definitive
Rating Assigned B1 (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to an increase in credit
enhancement available to the bonds and a reduction in Moody's
expected pool losses. The actions are also a result of the recent
performance of the underlying pool which has displayed very low
levels of serious delinquencies.
The principal methodology used in these ratings was "Moody's
Approach to Rating US Prime RMBS" published in February 2015.
Additionally, the methodology used in Structured Agency Credit Risk
(STACR) Debt Notes, Series 2016-DNA1 Cl. M-1I, Cl. M-2I, Cl. M-3I
was "Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in October 2015.
Please note that on February 27, 2017, Moody's released a Request
for Comment (RFC), in which it has requested market feedback on
potential revisions to its cross-sector rating methodology for
rating structured finance IO securities.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.3% in May 2017 from 4.7% in May
2016. Moody's forecasts an unemployment central range of 4.5% to
5.5% for the 2017 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 2017. 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.
STACR 2017-HQA2: Fitch to Rate 12 Tranches 'Bsf'
------------------------------------------------
Fitch Ratings expects to rate Freddie Mac's risk-transfer
transaction, Structured Agency Credit Risk Debt Notes Series
2017-HQA2 (STACR 2017-HQA2):
-- $225,000,000 class M-1 notes 'BBB-sf'; Outlook Stable;
-- $225,000,000 class M-2A notes 'BBsf'; Outlook Stable;
-- $225,000,000 class M-2B notes 'Bsf'; Outlook Stable;
-- $450,000,000 class M-2 exchangeable notes 'Bsf'; Outlook
Stable;
-- $450,000,000 class M-2R exchangeable notes 'Bsf'; Outlook
Stable;
-- $450,000,000 class M-2S exchangeable notes 'Bsf'; Outlook
Stable;
-- $450,000,000 class M-2T exchangeable notes 'Bsf'; Outlook
Stable;
-- $450,000,000 class M-2U exchangeable notes 'Bsf'; Outlook
Stable;
-- $450,000,000 class M-2I notional exchangeable notes 'Bsf';
Outlook Stable;
-- $225,000,000 class M-2AR exchangeable notes 'BBsf'; Outlook
Stable;
-- $225,000,000 class M-2AS exchangeable notes 'BBsf'; Outlook
Stable;
-- $225,000,000 class M-2AT exchangeable notes 'BBsf'; Outlook
Stable;
-- $225,000,000 class M-2AU exchangeable notes 'BBsf'; Outlook
Stable;
-- $225,000,000 class M-2AI notional exchangeable notes 'BBsf';
Outlook Stable;
-- $225,000,000 class M-2BR exchangeable notes 'Bsf'; Outlook
Stable;
-- $225,000,000 class M-2BS exchangeable notes 'Bsf'; Outlook
Stable;
-- $225,000,000 class M-2BT exchangeable notes 'Bsf'; Outlook
Stable;
-- $225,000,000 class M-2BU exchangeable notes 'Bsf'; Outlook
Stable;
-- $225,000,000 class M-2BI notional exchangeable notes 'Bsf';
Outlook Stable.
The following classes will not be rated by Fitch:
-- $60,000,000 class B-1 notes;
-- $30,340,140,424 class A-H reference tranche;
-- $91,043,128 class M-1H reference tranche;
-- $91,043,130 class M-2AH reference tranche;
-- $91,043,129 class M-2BH reference tranche;
-- $98,021,565 class B-1H reference tranche;
-- $158,021,565 class B-2H reference tranche.
The 'BBB-sf' rating for the M-1 notes reflects the 3.00%
subordination provided by the 1.00% class M-2A notes, the 1.00%
class M-2B notes, the 0.50% class B-1 notes and their corresponding
reference tranches, as well as the 0.50% class B-2H reference
tranche. The 'BBsf' rating for the M-2A notes reflects the 2.00%
subordination provided by the 1.00% class M-2B notes, the 0.50%
class B-1 notes and their corresponding reference tranches, as well
as the 0.50% class B-2H reference tranche. The 'Bsf' rating for the
M-2B notes reflects the 1.00% subordination provided by the 0.50%
class B-1 notes and its corresponding reference tranches, as well
as the 0.50% class B-2H reference tranche. The notes are general
unsecured obligations of Freddie Mac ('AAA'/Outlook Stable) subject
to the credit and principal payment risk of a pool of certain
residential mortgage loans held in various Freddie Mac-guaranteed
MBS.
The objective of the transaction is to transfer credit risk from
Freddie Mac to private investors with respect to a $31.6 billion
pool of mortgage loans currently held and guaranteed by Freddie Mac
where principal repayment of the notes is subject to the
performance of a reference pool of mortgage loans. As loans
liquidate or other credit events occur, the outstanding principal
balance of the debt notes will be reduced by the actual loan's LS
percentage related to those credit events, which includes
borrower's delinquent interest.
While the transaction structure simulates the behavior and credit
risk of traditional RMBS senior-subordinate securities, Freddie Mac
will be responsible for making monthly payments of interest and
principal to investors. Because of the counterparty dependence on
Freddie Mac, Fitch's expected rating on the M-1, M-2A and M-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 Freddie Mac's Issuer Default Rating. The M-1,
M-2A, M-2B, and B-1notes will be issued as LIBOR-based floaters. In
the event that the one-month LIBOR rate falls below zero and
becomes negative, the coupons of the interest-only MAC notes may be
subject to a downward adjustment, so that the aggregate interest
payable within the related MAC combination does not exceed the
interest payable to the notes for which such classes were
exchanged. The notes will carry a 12.5-year legal final maturity.
KEY RATING DRIVERS
High-Quality Mortgage Pool (Positive): The reference pool consists
of 129,587 fixed-rate fully amortizing loans with terms of 241-360
months, totaling $31.60 billion, acquired by Freddie Mac between
Aug. 1, 2016 and Nov. 30, 2016. The pool has a weighted average
(WA) credit score of 747 and WA debt-to-income (DTI) ratio of 35.6%
and consists primarily of owner occupied purchase loans. The WA
loan-to-value ratio (LTV) for this pool is 91.6%.
ADDITIONAL RATING DRIVERS
Higher LTV Loans (Concern): Beginning with the STACR 2016-HQA4
transaction in October 2016, Freddie Mac increased its LTV
parameter on its high LTV transactions to include loans with LTVs
up to 97% from 95%. Fitch believes the increased risk associated
with these loans is modest because the probability of default of a
loan with a 97% LTV is only marginally higher than that of a loan
with a 95% LTV. Additionally, a relatively small number of loans in
the reference pool (3.6%) have LTVs greater than 95%.
Mortgage Insurance Guaranteed by Freddie Mac (Positive): 99% of the
loans are covered either by borrower paid mortgage insurance (BPMI)
or lender paid MI (LPMI). Loans without MI coverage are either
originated in New York, where the appraised value was used to
determine that the LTV was below 81%, or the loans were part of the
HomeSteps Financing program.
Freddie Mac will guarantee the MI coverage amount, which will
typically be the MI coverage percentage multiplied by the sum of
the unpaid principal balance as of the date of the default, up to
36 months of delinquent interest, taxes and maintenance expenses.
While the Freddie Mac 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%. LPMI does not automatically terminate and remains for the life
of the loan.
Home Possible Loans (Neutral): Approximately 7% of the reference
pool was originated under Freddie Mac's Home Possible program,
which targets low-to-moderate income homebuyers or buyers in
high-cost or underrepresented communities.
The Home Possible program provides flexibility for a borrower's
LTV, income, down payment, and insurance coverage requirements.
Among the eligibility guidelines is that the borrower must be
located in an underserved area, or the borrower's income cannot
exceed 100% of the area's median income or a higher percentage in
some designated high cost areas. All Home Possible borrowers must
receive homeownership education to qualify and have early
delinquency counselling made available to them in the event they
have trouble making their payments.
Fitch does not believe the Home Possible loans add meaningful
credit risk to this transaction due to the relatively low
percentage of the loans in the pool and the full documentation of
income, employment and assets. If the Home Possible loans were
assumed to have a 25% higher default probability than loans with
the same credit attributes that were not originated under Home
Possible, the adjustment to the total pool projected loss would not
be large enough to change the credit enhancement for the rated
classes.
12.5-Year Hard Maturity (Positive): The M-1, M-2A, M-2B, and B-1
notes benefit from a 12.5-year legal final maturity. Thus, any
losses on the reference pool that occur beyond year 12.5 are borne
by Freddie Mac and do not affect the transaction. In addition, if a
credit event occurs prior to maturity, but the losses from
liquidations or loan modifications are not realized until after the
final maturity date, the losses will not be passed through to
noteholders.
Solid Lender Review and Acquisition Processes (Positive): Fitch
found that Freddie Mac has a well-established and disciplined
process in place for the purchase of loans and views its lender
approval and oversight processes for minimizing counterparty risk
and ensuring sound loan quality acquisitions as positive. Loan
quality control (QC) review processes are thorough and indicate a
tight control environment that limits origination risk. Fitch has
determined Freddie Mac to be an above-average aggregator for its
2013 and later product. The lower risk was accounted for by Fitch
by applying a lower default estimate for the reference pool.
Advantageous Payment Priority (Positive): The M-1 class benefits
from the sequential pay structure and stable CE provided by the
more junior M-2A, M-2B, and B-1 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 M-1 class. Given the size of the
M-1 class relative to the combined total of the junior classes,
together with the sequential pay structure, the class M-1 will
de-lever and CE as a percentage of the outstanding pool will build
faster than in a pro rata structure.
Solid Alignment of Interests (Positive): While the transaction is
designed to transfer credit risk to private investors, Fitch
believes the transaction benefits from solid alignment of
interests. Freddie Mac will retain credit risk in the transaction
by holding the senior reference tranche A-H, which has 4.00% of
loss protection, as well as a minimum of 5% of the M-1, M-2A, M-2B,
and B-1 tranches and a minimum of 75% of the first-loss B-2H
reference tranche. Initially, Freddie Mac will retain an
approximately 28.8% vertical slice/interest in the M-1, M-2A and
M-2B tranches.
Receivership Risk Considered (Neutral): Under the Federal Housing
Finance Regulatory Reform Act, the Federal Housing Finance Agency
(FHFA) must place Freddie Mac into receivership if it determines
that the government-sponsored enterprise's (GSE) assets are less
than its obligations for longer than 60 days following the deadline
of its SEC filing. As receiver, FHFA could repudiate any contract
entered into by Freddie Mac if it is determined that such action
would promote an orderly administration of the GSE's affairs. Fitch
believes that the U.S. government will continue to support Freddie
Mac, as reflected in its current rating of the GSE. However, if, at
some point, Fitch views the support as being reduced and
receivership likely, the rating of Freddie Mac could be downgraded,
and ratings on the M-1, M-2A and M-2B notes, along with their
corresponding MAC notes, could be affected.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the MSA and national levels. The implied
rating sensitivities are only an indication of some of the
potential outcomes and do not consider other risk factors that the
transaction may become exposed to or be considered in the
surveillance of the transaction.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the model
projected 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 34% would potentially move the
'BBBsf' rated class down one rating category, to non-investment
grade, to 'CCCsf', respectively.
TABERNA PREFERRED VII: Moody's Ups Cl. A-1LA Notes Rating From Ba1
------------------------------------------------------------------
Moody's Investors Service has upgraded the rating on the following
notes issued by Taberna Preferred Funding VII, Ltd.:
US$350,000,000 Class A-1LA Floating Rate Notes Due February 2037
(current outstanding balance of $76,566,127.09), Upgraded to Baa3
(sf); previously on March 4, 2016 Upgraded to Ba1 (sf)
Taberna Preferred Funding VII, Ltd., issued in November 2006, is a
collateralized debt obligation (CDO) backed mainly by a portfolio
of REIT trust preferred securities (TruPS) with exposure to
corporate, CRE CDO, and CMBS securities.
RATINGS RATIONALE
The rating action is primarily a result of the deleveraging of the
Class A-1LA notes, an increase in the Class A-1LA notes'
overcollateralization (OC) ratio, and the improvement in the credit
quality of the underlying portfolio since June 2016.
The Class A-1LA notes have paid down by approximately 42.2% or
$55.9 million since June 2016, using principal proceeds from the
redemption of the underlying assets and the diversion of excess
interest proceeds due to the acceleration of the notes. Based on
Moody's calculation, the Class A-1LA notes' OC ratio has improved
to 260.5% from June 2016 level of 189.0%. Additionally, the Moody's
calculated weighted average rating factor (WARF) has improved to
3793 from 4207 in June 2016.
Taberna Preferred Funding VII, Ltd. declared an event of default
(EOD) on May 20, 2010 and acceleration of the notes on July 7,
2010. As a result, the Class A-1LA notes have become senior to all
other notes and will continue to benefit from all interest and
principal proceeds of the collateral pool until they will be paid
in full.
Methodology Used for the Rating Action
The principal methodology used in this rating was "Moody's Approach
to Rating TruPS CDOs," published in October 2016.
Factors that Would Lead to an Upgrade or Downgrade of the Rating
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:
1) Macroeconomic uncertainty: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in the
general economy.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's current
expectations could have a positive impact on the transaction's
performance. Conversely, asset credit performance weaker than
Moody's current expectations could have adverse consequences on the
transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and excess
interest proceeds will continue and at what pace. Note repayments
that are faster than Moody's current expectations could have a
positive impact on the notes' ratings, beginning with the notes
with the highest payment priority.
4) Exposure to non-publicly rated assets: The deal contains a large
number of securities whose default probability Moody's assesses
through credit scores derived using credit estimates. Because these
are not public ratings, they are subject to additional
uncertainties.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Assuming a two-notch upgrade to assets with below-investment grade
ratings or rating estimates (WARF of 2322)
Class A-1LA: +3
Assuming a two-notch downgrade to assets with below-investment
grade ratings or rating estimates (WARF of 5069)
Class A-1LA: -1
Loss and Cash Flow Analysis
Moody's applied a Monte Carlo simulation framework in Moody's
CDROM(TM) to model the loss distribution for TruPS CDOs. The
simulated defaults and recoveries for each of the Monte Carlo
scenarios defined the reference pool's loss distribution. Moody's
then used the loss distribution as an input in its CDOEdge(TM) cash
flow model. CDROM(TM) is available on www.moodys.com under Products
and Solutions -- Analytical models, upon receipt of a signed free
license agreement.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool has having a performing par of $199.5 million,
defaulted par of $90.7 million, a weighted average default
probability of 54.10% (implying a WARF of 3793), and a weighted
average recovery rate upon default of 12.65%.
In addition to the quantitative factors Moody's explicitly models,
qualitative factors are part of rating committee considerations.
Moody's considers the structural protections in the transaction,
the risk of an event of default, recent deal performance under
current market conditions, the legal environment and specific
documentation features. All information available to rating
committees, including macroeconomic forecasts, inputs from other
Moody's analytical groups, market factors, and judgments regarding
the nature and severity of credit stress on the transactions, can
influence the final rating decision.
The portfolio of this CDO contains TruPS issued by REIT companies
that Moody's does not rate publicly. For REIT TruPS that do not
have public ratings, Moody's REIT group assesses their credit
quality using the REIT firms' annual financials.
UBS COMMERCIAL 2017-C1: Fitch Assigns B- Rating to Cl. F-RR Certs
-----------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to UBS Commercial Mortgage Trust 2017-C1 commercial
mortgage pass-through certificates:
-- $40,505,000 class A-1'AAAsf'; Outlook Stable;
-- $46,665,000 class A-2 'AAAsf'; Outlook Stable;
-- $52,548,000 class A-SB 'AAAsf'; Outlook Stable;
-- $235,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $296,571,000 class A-4 'AAAsf'; Outlook Stable;
-- $671,289,000b class X-A 'AAAsf'; Outlook Stable;
-- $175,015,000b class X-B 'A-sf'; Outlook Stable;
-- $95,899,000 class A-S 'AAAsf'; Outlook Stable;
-- $45,551,000 class B 'AA-sf'; Outlook Stable;
-- $33,565,000 class C 'A-sf'; Outlook Stable;
-- $10,069,000a class D 'BBB+sf'; Outlook Stable;
-- $40,278,000ac class D-RR 'BBB-sf'; Outlook Stable;
-- $19,179,000ac class E-RR 'BB-sf'; Outlook Stable;
-- $9,590,000ac class F-RR 'B-sf'; Outlook Stable.
The following class is not rated by Fitch:
-- $33,565,038ac class NR-RR.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest only.
(c) Horizontal credit risk retention interest representing 5% of
the estimated fair value of all classes of regular certificates
issued by the issuing entity.
Since Fitch issued its expected ratings on May 22, 2017, the
$10,069,000 interest-only class X-D is no longer being offered. As
such, Fitch withdrew its expected ratings of 'BBB+sf' for this
class.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 67 loans secured by 134
commercial properties having an aggregate principal balance of
$958,985,038 as of the cut-off date. UBS AG, Rialto Mortgage
Finance, LLC, Natixis Real Estate Capital LLC, Wells Fargo Bank,
National Association, Societe Generale and CIBC Inc contributed
loans to the trust.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 65.2% of the properties
by balance, cash flow analysis of 80.9%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
High Pool Diversity: The largest 10 loans account for 37.8% of the
pool, which is well below the YTD 2017 average of 53.7% for
fixed-rate multiborrower transactions. The transaction exhibits
very low pool concentration, with a loan concentration index (LCI)
of 243, compared to the YTD 2017 average of 399.
Lower Fitch Leverage than Recent Transactions: The pool's leverage
is lower than recent comparable Fitch-rated multiborrower
transactions. The pool's Fitch DSCR and LTV are 1.23x and 100.3%,
respectively, which are comparable to the YTD 2017 averages of
1.22x and 104.3%. Excluding investment-grade credit opinion loans,
the pool has a Fitch DSCR and LTV of 1.21x and 103.3%,
respectively, better than the YTD 2017 normalized averages of 1.18x
and 107.4%.
Above-Average Amortization: Eleven loans, representing 29% of the
pool, are full-term interest-only, well below the YTD 2017 average
of 42.9%. Partial interest-only loans represent 27.4% of the pool,
compared to 31.8% for YTD 2017. The pool is scheduled to pay down
by 11.5%, above the YTD 2017 average paydown of 8.3%.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 15.9% below
the most recent year's net operating income (NOI) for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period). Unanticipated further
declines in property-level NCF could result in higher defaults and
loss severities on defaulted loans and in potential rating actions
on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to UBS
2017-C1 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 'BBB+sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'
could result.
UBS-BARCLAYS 2012-C3: DBRS Hikes Class X-B Debt Rating to BB(low)
-----------------------------------------------------------------
DBRS Limited upgraded the ratings on five classes of Commercial
Mortgage Pass-Through Certificates, Series 2012-C3, issued by
UBS-Barclays Commercial Mortgage Trust 2012-C3 as follows:
-- Class C to A (high) (sf) from A (sf)
-- Class D to BBB (high) (sf) from BBB (sf)
-- Class E to BB (high) (sf) from BB (sf)
-- Class F to B (high) (sf) from B (sf)
-- Class X-B to BB (low) (sf) from B (high) (sf)
In addition, DBRS has confirmed the ratings for six classes as
follows:
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
All trends are Stable.
In addition, DBRS has discontinued the rating for Class A-1 as it
was repaid in full with the May 2017 remittance.
The rating upgrades reflect the strong overall performance of the
portfolio since issuance, when the pool comprised 76 loans secured
by 113 commercial properties. As of the May 2017 remittance, 74 of
the original 76 loans remain in the pool, with three loans that are
now fully defeased, representing 4.4% of the transaction balance.
Since issuance, there has been a collateral reduction of 15.5% of
the pool, as the result of scheduled amortization and the repayment
of two loans, including the second-largest loan, Apache Mall
(Prospectus ID#2), as of the May 2017 remittance. As of the most
recent year-end reporting for the underlying loans that remain in
the pool, the weighted-average (WA) debt service coverage ratio
(DSCR) and WA debt yield are 1.76 times (x) and 12.3%,
respectively. Those figures compare with the DBRS WA issuance
figures of 1.59x and 10.2%, respectively. The Top 15 loans in the
pool are reporting a WA DSCR and WA debt yield of 1.54x and 10.6%,
respectively.
As of the May 2017 remittance report, there were two loans,
representing 1.2% of the pool, on the servicer's watchlist and two
loans in special servicing, representing 1.5% of the pool. The two
loans on the watchlist, show a WA YE2016 DSCR of 1.90x. One of the
watchlisted loans is being monitored for a large increase in
vacancy, and as such, DBRS analyzed this loan using a stressed cash
flow scenario to increase the probability of default. The smaller
watchlisted loan is being watchlisted for a tenant bankruptcy at
the collateral property; however, the lease for the tenant in
question has since been assumed by the company that purchased the
tenant out of bankruptcy and DBRS expects the loan will be removed
from the watchlist in the near term.
The largest of the specially serviced loans is Summit Village
Apartments (Prospectus ID#29, 1.1% of the pool). That loan was
transferred to special servicing in December 2016, after the
borrower requested relief following several years of cash flow
declines at the property.
At issuance, DBRS shadow-rated two loans investment grade,
including the largest loan in the pool, Prospectus ID#1, 1000
Harbor Boulevard (12.4% of the pool) and another loan in the Top
15, Prospectus ID#8, Franklin Towne Center (3.1% of the pool). DBRS
has today confirmed that the performance of the loans remains
consistent with investment-grade loan characteristics.
The ratings assigned to Classes E and F materially deviate from the
higher rating implied by the quantitative results. The deviations
are warranted because sustainability of loan trends has not yet
been demonstrated.
VENTURE XXVIII: Moody's Assigns (P)Ba3(sf) Rating to Cl. E Notes
----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to eight
classes of notes to be issued by Venture XXVIII CLO, Limited.
Moody's rating action is:
US$132,631,579 Class A-1 Senior Secured Floating Rate Notes due
2030 (the "Class A-1 Notes"), Assigned (P)Aaa (sf)
US$203,368,422 Class A-2 Senior Secured Floating Rate Notes due
2030 (the "Class A-2 Notes"), Assigned (P)Aaa (sf)
US$37,368,422 Class B-1 Senior Secured Floating Rate Notes due 2030
(the "Class B-1 Notes"), Assigned (P)Aa2 (sf)
US$22,131,579 Class B-F Senior Secured Fixed Rate Notes due 2030
(the "Class B-F Notes"), Assigned (P)Aa2 (sf)
US$16,157,895 Class C-1 Mezzanine Secured Deferrable Floating Rate
Notes due 2030 (the "Class C-1 Notes"), Assigned (P)A2 (sf)
US$16,842,106 Class C-F Mezzanine Secured Deferrable Fixed Rate
Notes due 2030 (the "Class C-F Notes"), Assigned (P)A2 (sf)
US$29,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2030 (the "Class D Notes"), Assigned (P)Baa3 (sf)
US$25,500,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2030 (the "Class E Notes"), Assigned (P)Ba3 (sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B-1 Notes, the
Class B-F Notes, the Class C-1 Notes, the Class C-F Notes, the
Class D Notes and the Class E Notes are referred to herein,
collectively, as the "Rated Notes."
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.
Venture XXVIII is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90% of the portfolio must consist
of senior secured loans, cash, and eligible investments, and up to
10% of the portfolio may consist of second lien loans and unsecured
loans. Moody's expects the portfolio to be approximately 90% ramped
as of the closing date.
MJX Venture Management II LLC, a relying adviser on MJX Asset
Management LLC, will direct the selection, acquisition and
disposition of the assets on behalf of the Issuer and may engage in
trading activity, including discretionary trading, during the
transaction's five 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 the following base-case
assumptions:
Par amount: $525,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2775
Weighted Average Spread (WAS): 3.70%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 45.0%
Weighted Average Life (WAL): 9 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 2775 to 3191)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2 Notes: 0
Class B-1 Notes: -2
Class B-F Notes: -2
Class C-1 Notes: -2
Class C-F 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-1 Notes: -1
Class A-2 Notes: -1
Class B-1 Notes: -3
Class B-F Notes: -3
Class C-1 Notes: -4
Class C-F Notes: -4
Class D Notes: -2
Class E Notes: -1
VERTICAL BRIDGE 2016-1: Fitch Affirms BB-sf Rating on Cl. F Notes
-----------------------------------------------------------------
Fitch Ratings has affirmed VB-S1 Issuer, LLC's Secured Tower
Revenue Notes Series 2016-1:
-- $240,000,000 series 2016-1 class C at 'Asf'; Outlook Stable;
-- $29,000,000 series 2016-1 class D at 'BBBsf'; Outlook Stable;
-- $52,000,000 series 2016-1 class F at 'BB-sf'; Outlook Stable.
The affirmations are the result of the stable performance of the
collateral since issuance with no significant changes to the
collateral composition. The Stable Outlooks reflect the limited
prospect for upgrades given the provision to issue additional
notes.
As part of its review, Fitch analyzed the financial and site
information provided by the master servicer, Midland Loan
Services.
As of the May 2017 distribution date, the aggregate principal
balance of the notes remained unchanged from issuance, at $321
million. These notes do not amortize during the loan term.
KEY RATING DRIVERS
Stable Cash Flow: As of December 2016, Fitch stressed debt service
coverage ratio (DSCR) was 1.24x, which compares with 1.23x at
issuance. The debt multiple relative to Fitch's net cash flow (NCF)
was 8.75x, which equates to a debt yield of 11.4%.
Leases to Strong Tower Tenants: Cash flow is derived from 3,598
separate leases across 1,535 towers in markets throughout the
United States. Investment grade tenants account for approximately
48.6% of run-rate revenue. Telephony towers account for 91.4% of
run-rate revenue.
Additional Notes: The transaction allows for the issuance of
additional notes. Such additional notes may rank senior to, pari
passu with, or subordinate to the 2016 notes. Any additional notes
will be pari passu with any class of notes bearing the same
alphabetical class designation. Additional notes may be issued
without the benefit of additional collateral, provided the
post-issuance DSCR is not less than 2.0x. The possibility of
upgrades may be limited due to this provision.
Risk of Technological Obsolescence: The notes have a rated final
payment date in 2046, and the long-term tenor of the notes
increases the risk that an alternative technology rendering
obsolete the current transmission of wireless signals through
cellular sites will be developed. Currently, WSPs depend on towers
to transmit their signals and continue to invest in this
technology.
RATING SENSITIVITIES
The Outlooks on all classes are expected to remain Stable.
Downgrades are unlikely due to continued cash flow growth from
annual rent escalations and automatic renewal clauses resulting in
higher debt service coverage ratios since issuance. The ratings
have been capped at 'A' and upgrades are unlikely due to the
structure of the security interest in the collateral, specialized
nature of the collateral, and the potential for changes in
technology to affect long-term demand for wireless tower space.
VOYA CLO 2017-3: S&P Assigns Prelim. BB- Rating on Class D Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Voya CLO
2017-3 Ltd./Voya CLO 2017-3 LLC's $519.30 million floating-rate
notes.
The note issuance is a collateralized loan obligation (CLO)
transaction backed primarily by broadly syndicated senior secured
term loans.
The preliminary ratings are based on information as of June 14,
2017. 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
Voya CLO 2017-3 Ltd./Voya CLO 2017-3 LLC
Class Rating Amount (mil. $)
X AAA (sf) 6.00
A-1A AAA (sf) 349.20
A-1B NR 34.80
A-2 AA (sf) 71.10
B (deferrable) A (sf) 36.00
C (deferrable) BBB- (sf) 34.80
D (deferrable) BB- (sf) 22.20
Subordinated notes NR 53.30
NR--Not rated.
WACHOVIA BANK 2006-C29: S&P Lowers Rating on Cl. C Certs to 'D'
---------------------------------------------------------------
S&P Global Ratings raised its rating on one class of commercial
mortgage pass-through certificates from Wachovia Bank Commercial
Mortgage Trust 2006-C29, a U.S. commercial mortgage-backed
securities (CMBS) transaction. At the same time, S&P lowered its
rating on one class and affirmed its rating on one other class from
the same transaction.
S&P's rating actions on the certificates follow S&P's analysis of
the transaction, primarily using its criteria for rating U.S. and
Canadian CMBS transactions, which included a review of the credit
characteristics and performance of the remaining assets in the
pool, the transaction's structure, and the liquidity available to
the trust.
S&P raised its rating to 'BB+ (sf)' on class A-J to reflect its
expectation of the available credit enhancement for this class,
which S&P believes is greater than its most recent estimate of
necessary credit enhancement for the rating level. The upgrade
also follows S&P's views regarding the current and future
performance of the transaction's collateral, available liquidity
support, and the significant reduction in trust balance.
S&P lowered its rating on class C to 'D (sf)' because it expects
the accumulated interest shortfalls impacting the bond to remain
outstanding for the foreseeable future.
According to the May 17, 2017, trustee remittance report, the
current monthly interest shortfalls totaled $931,985 and resulted
primarily from:
-- Modified interest rate reductions totaling $451,323;
-- Non-recoverable interest totaling $408,782;
-- Special servicing fees totaling $27,516; and
-- Appraisal subordinate entitlement reduction amounts totaling
$10,174.
The current interest shortfalls affected classes subordinate to and
including class B.
The affirmation of S&P's rating on class B reflects its expectation
that the available credit enhancement for this class will be within
S&P's estimate of the necessary credit enhancement required for the
current rating. The affirmation also reflects S&P's view that the
interest shortfalls currently impacting this class will be repaid
in the near term upon resolution of two specially serviced assets,
discussed further below.
While available credit enhancement levels suggest further positive
rating movement on class A-J and positive rating movement on class
B, S&P's analysis also considered the bonds' susceptibility to
reduced liquidity support from the 10 specially serviced assets
($131.4 million, 45.1%) and the fact that class A-J experienced
interest shortfalls as recently as November 2016 and class B has
current accumulated interest shortfalls.
TRANSACTION SUMMARY
As of the May 17, 2017, trustee remittance report, the collateral
pool balance was $291.2 million, which is 8.6% of the pool balance
at issuance. The pool currently includes eight loans and six real
estate-owned (REO) assets (reflecting the class A/B notes as one
loan), down from 142 loans at issuance.
Ten of these assets (reflecting the class A/B notes as one loan)
are with the special servicer, one ($4.4 million, 1.5%) is
defeased, and one ($117.0 million, 40.2%) is on the master
servicer's watchlist. The master servicer, Wells Fargo Bank N.A.,
reported financial information for 54.2% of the nondefeased loans
in the pool, of which 38.2% was year-end 2016 data, and the
remainder was year-end 2015 data.
For the three performing loans in the transaction, S&P calculated a
1.98x S&P Global Ratings' weighted average debt service coverage
(DSC) and 91.3% S&P Global Ratings' weighted average loan-to-value
(LTV) ratio using a 7.66% S&P Global Ratings' weighted average
capitalization rate. The top 10 nondefeased loans have an
aggregate outstanding pool trust balance of $270.5 million
(92.9%).
To date, the transaction has experienced $168.4 million in
principal losses, or 5.0% of the original pool trust balance. S&P
expects losses to reach approximately 5.8% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses S&P expects upon the eventual resolution of
the 10 specially serviced assets.
CREDIT CONSIDERATIONS
As of the May 17, 2017, trustee remittance report, 10 assets in the
pool were with the special servicer, LNR Partners LLC (LNR).
Details of the three largest specially serviced assets, all of
which are top 10 nondefeased loans, are:
-- The New Market Pool REO asset ($34.8 million, 11.9%) is the
second-largest nondefeased asset in the pool and has a total
reported exposure of $48.9 million. The asset is secured by
six suburban office properties totaling 469,667 sq. ft. in
Marietta, Ga. The loan was transferred to the special
servicer on Dec. 23, 2010, because of imminent default. LNR
stated that this property is under contract for sale and
scheduled to close in June 2017. The reported occupancy as
of March 31, 2016, was 76.0%. An ARA of $6.5 million is in
effect against this loan. S&P expects a minimal loss upon
this loan's eventual resolution.
-- The Boulder Crossing Shopping Center loan ($21.0 million,
7.2%) is the fourth-largest nondefeased loan in the pool and
has a total reported exposure of $21.2 million. The loan is
secured by a 107,705-sq.-ft. retail property in Las Vegas,
Nev. The loan was transferred to the special servicer on
Nov. 21, 2016, because of maturity default. The loan
matured on Nov. 11, 2016. LNR indicated that it is pursuing
foreclosure. The reported DSC and occupancy as of year-end
2016 were 0.97x and 85.1%, respectively. An ARA of
$4.2 million is in effect against this loan. S&P expects a
minimal loss upon this loan's eventual resolution.
-- The Professional Centre at Gardens Mall REO asset ($17.3
million, 5.9%) is the fifth-largest nondefeased asset in the
pool and has a total reported exposure of $19.2 million.
The asset is secured by an 85,022-sq.-ft. suburban office
building in Palm Beach Gardens, Fla. The loan was
transferred to the special servicer on Dec. 10, 2012,
because of imminent default. The reported occupancy as of
year-end 2016 was 86.0%. An ARA of $1.8 million is in
effect against this loan. S&P expects a minimal loss upon
this loan's eventual resolution.
The seven remaining assets with the special servicer each have
individual balances that represent less than 5.7% of the total pool
trust balance. S&P estimated losses for the ten specially serviced
assets, arriving at a weighted-average loss severity of 21.3%.
With respect to the specially serviced assets noted above, a
minimal loss is less than 25%.
RATINGS LIST
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2006-C29
Rating
Class Identifier To From
A-J 92978PAJ8 BB+ (sf) B (sf)
B 92978PAK5 B- (sf) B- (sf)
C 92978PAL3 D (sf) CCC (sf)
D 92978PAM1 D (sf) D (sf)
E 92978PAN9 D (sf) D (sf)
WACHOVIA BANK 2007-C34: S&P Affirms 'CCC-' Rating on Class F Certs
------------------------------------------------------------------
S&P Global Ratings raised its rating on the class A-M commercial
mortgage pass-through certificates from Wachovia Bank Commercial
Mortgage Trust Series 2007-C34, a U.S. commercial mortgage-backed
securities (CMBS) transaction. In addition, S&P affirmed its
ratings on nine other classes from the same transaction.
S&P's rating actions on the principal- and interest-paying
certificates follow its analysis of the transaction, primarily
using its criteria for rating U.S. and Canadian CMBS transactions,
which included a review of the credit characteristics and
performance of the remaining assets in the pool, the transaction's
structure, and the liquidity available to the trust.
S&P raised its rating on class A-M to reflect its expectation of
the available credit enhancement for this class, which S&P believes
is greater than its most recent estimate of necessary credit
enhancement for the respective rating level, as well as S&P's view
regarding the current and future performance of the transaction's
collateral, the reduction in trust balance, and higher expected
overall recoveries on the specially serviced assets.
The affirmations on the principal- and interest-paying certificates
reflect S&P's expectation that the available credit enhancement for
these classes will be within its estimate of the necessary credit
enhancement required for the current ratings and our views
regarding the current and future performance of the transaction's
collateral.
While available credit enhancement levels suggest positive rating
movements on classes A-J, B, C, D, E, and F, S&P's analysis also
considered the susceptibility to reduced liquidity support from the
nine specially serviced assets ($184.2 million, 27.5%) and the
magnitude of nondefeased performing loans maturing in the second
half of 2017.
S&P affirmed its 'AAA (sf)' rating on the class IO interest-only
(IO) certificates based on S&P's criteria for rating IO
securities.
TRANSACTION SUMMARY
As of the May 17, 2017, trustee remittance report, the collateral
pool balance was $669.5 million, which is 45.3% of the pool balance
at issuance. The pool currently includes 43 loans and seven real
estate-owned (REO) assets (reflecting crossed loans), down from 84
loans at issuance. Nine of these assets are with the special
servicer, four loans ($43.0 million, 6.4%) are defeased, and 18
loans (reflecting crossed loans) ($257.9 million, 38.5%) are on the
master servicer's watchlist. The master servicer, Wells Fargo Bank
N.A., reported financial information for 95.2% of the nondefeased
loans in the pool, of which 88.6% was partial-year or year-end 2016
data, and the remainder was year-end 2015 data.
S&P calculated a 1.34x S&P Global Ratings' weighted average debt
service coverage (DSC) and 81.6% S&P's weighted average
loan-to-value (LTV) ratio using a 7.77% S&P Global Ratings'
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the nine specially
serviced assets and four defeased loans. The top 10 nondefeased
assets have an aggregate outstanding pool trust balance of $317.0
million (47.4%). Using adjusted servicer-reported numbers, S&P
calculated an S&P Global Ratings' weighted average DSC and LTV of
1.28x and 90.2%, respectively, for eight of the top 10 nondefeased
assets. The remaining assets are specially serviced and discussed
below.
To date, the transaction has experienced $40.7 million in principal
losses, or 2.8% of the original pool trust balance. S&P expects
losses to reach approximately 7.5% 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
nine specially serviced assets.
CREDIT CONSIDERATIONS
As of the May 17, 2017, trustee remittance report, nine assets in
the pool were with the special servicer, CWCapital Asset Management
LLC. Details of the two largest specially serviced assets, both of
which are among the top 10 nondefeased assets, are:
-- The Sheraton Park Hotel - Anaheim, CA REO asset
($65.0 million, 9.7%) is the largest asset in the pool and
has a $76.5 million total reported exposure. The asset is a
490-room full service lodging property in Anaheim, Calif.
The loan was transferred to the special servicer on Feb. 15,
2012, due to imminent monetary default, and the property
became REO on June 28, 2013. The special servicer submitted
an IRS extension request in 2016, given that the hotel's
collective bargaining agreement with the union, UNITE HERE
Local 11, was still in process of being finalized at year
end. The agreement, which would extend the contract through
May 2018, is still being negotiated. The reported DSC and
occupancy as of year-end 2016 were 1.19x and 80.9%,
respectively. An appraisal reduction amount (ARA) of $20.5
million is in effect against this asset. S&P expects a
moderate loss (26%-59%) upon its eventual resolution.
-- The Glenbrooke at Palm Bay REO asset ($27.1 million, 4.1%)
is the fourth-largest asset in the pool and has a $30.9
million total reported exposure. The asset is a 170-unit
independent and assisted living property in Palm Bay, Fla.
The loan was transferred to the special servicer on
April 26, 2012, due to imminent maturity default. The loan
matured on May 1, 2012. The property became REO on July 10,
2013. The reported DSC and occupancy as of year-end 2016
were 1.26x and 94.7%, respectively. An ARA of $6.2 million
is in effect against this asset, and S&P expects a moderate
loss upon its eventual resolution.
The seven remaining assets with the special servicer each have
individual balances that represent less than 2.9% of the total pool
trust balance. S&P estimated losses for the nine specially
serviced assets, arriving at a weighted average loss severity of
38.0%.
RATINGS LIST
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2007-C34
Rating
Class Identifier To From
A-3 92979FAD2 AAA (sf) AAA (sf)
A-1A 92979FAE0 AAA (sf) AAA (sf)
IO 92979FAF7 AAA (sf) AAA (sf)
A-M 92979FAG5 AA+ (sf) A+ (sf)
A-J 92979FAH3 BB+ (sf) BB+ (sf)
B 92979FAJ9 BB- (sf) BB- (sf)
C 92979FAK6 B+ (sf) B+ (sf)
D 92979FAL4 B (sf) B (sf)
E 92979FAM2 B- (sf) B- (sf)
F 92979FAN0 CCC- (sf) CCC- (sf)
WFRBS COMMERCIAL 2013-C12: Fitch Affirms BB Rating on Class E Certs
-------------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of WFRBS Commercial Mortgage
Trust (WFRBS) commercial mortgage pass-through certificates series
2013-C12.
KEY RATING DRIVERS
The affirmations reflect the transaction's overall stable
performance since issuance. Fitch modeled losses of 3.6% of the
remaining pool; expected losses on the original pool balance total
3.4%. As of the May 2017 distribution date, the pool's aggregate
principal balance has been reduced by 6% to $1.16 billion from
$1.23 billion at issuance. Interest shortfalls are currently
affecting class G.
Stable Performance and Defeased Collateral: Property-level
performance remains generally in line with issuance expectations.
Defeased collateral continues to increase; five loans representing
14.4% of the pool are defeased.
Specially Serviced Loan: The specially-serviced loan (2.4% of the
pool) is secured by a 665 unit (1,074 bed) student housing complex
in Newark, DE, roughly 40 miles southwest of Philadelphia. The
property is located one mile from the University of Delaware
campus. The loan transferred in April 2016 due to an imminent
default letter received from the borrower, which stated that the
property's net cash flow is not sufficient to cover debt service.
After acquiring the subject in 2008, the borrower repositioned the
property from traditional multifamily to student housing and
constructed a $6 million student center with a basketball court,
swimming pool, business center and theater room. A loan
modification submitted by the borrower has been denied, but the
loan has remained current as the borrower attempts to stabilize the
property. As of year-end 2016, occupancy dropped to 48% from 92% at
issuance. The debt service coverage ratio (DSCR) was reported to be
0.52x.
Amortization and Interest-Only Loans: The scheduled amortization
for the entire transaction is 13.4%. Of note, 28.6% of the pool
consists of interest-only loans, and 29.6% are partial
interest-only loans, prior to amortizing. In addition, five of the
top 15 loans are full-term interest-only.
Single Tenant Exposure: Three (14.2%) of the top 10 loans are
secured by properties 100% occupied by a single tenant. Top 10
loans with single-tenant concentrations include Merrill Lynch
Office, Hensley & Co. Portfolio and Las Vegas Strip Walgreens.
Co-op Collateral: 4.5% of the pool is secured by co-op properties.
These co-op loans generally have very low leverage statistics. The
co-op loans within the transaction have an average Fitch DSCR and
LTV of 3.74x and 37.8%, respectively.
RATING SENSITIVITIES
The Rating Outlook for class B remains Positive to reflect the
defeased collateral and increased credit enhancement. An upgrade
may be warranted as the transaction continues to pay down and
additional loans are defeased. The Rating Outlooks for classes A-2
through A-S remain Stable due to overall stable collateral
performance. Fitch does not foresee positive or negative ratings
migration for these classes unless a material economic or asset
level event changes the underlying transaction's portfolio-level
metrics. The Rating Outlook for class F has been revised to
Negative as it reflects the concerns regarding the ultimate
resolution of the specially serviced loan (Studio Green
Apartments). A downgrade may be warranted if property-level
performance continues to deteriorate or there is further clarity
from the special servicer.
Fitch has affirmed the following classes and revised the Rating
Outlook as indicated:
-- $16.9 million class F at 'Bsf'; Outlook to Negative from
Stable.
Fitch has affirmed the following classes:
-- $132.6 million class A-2 at 'AAAsf'; Outlook Stable;
-- $165 million class A-3 at 'AAAsf'; Outlook Stable;
-- $298.2 million class A-4 at 'AAAsf'; Outlook Stable;
-- $102 million class A-SB at 'AAAsf'; Outlook Stable;
-- $90 million class A-3FL at 'AAAsf'; Outlook Stable;
-- $90 million class A-3FX at 'AAAsf'; Outlook Stable;
-- $120.1 million class A-S at 'AAAsf'; Outlook Stable;
-- $907.9 million class X-A at 'AAAsf'; Outlook Stable;
-- $126.2 million class X-B at 'A-sf'; Outlook Stable;
-- $75.4 million class B at 'AA-sf'; Outlook Positive;
-- $50.8 million class C at 'A-sf'; Outlook Stable;
-- $41.6 million class D at 'BBB-sf'; Outlook Stable;
-- $27.7 million class E at 'BBsf'; Outlook Stable.
The class A-1 certificates have paid in full. Fitch does not rate
the class G or X-C certificates.
[*] Moody's Hikes $323MM of Subprime RMBS Issued 2002-2006
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 5 tranches
from 5 transactions, issued by various issuers, and backed by
subprime mortgage loans.
Complete rating actions are:
Issuer: Amortizing Residential Collateral Trust 2002-BC8
Cl. M1, Upgraded to Ba2 (sf); previously on Oct 1, 2015 Upgraded to
B3 (sf)
Issuer: Fieldstone Mortgage Investment Trust 2006-3
Cl. 1-A, Upgraded to Ba3 (sf); previously on Jul 22, 2016 Upgraded
to B1 (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF12
Cl. A4, Upgraded to A3 (sf); previously on Sep 30, 2015 Upgraded to
Baa2 (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF15
Cl. A5, Upgraded to Ba1 (sf); previously on Jun 17, 2016 Upgraded
to B2 (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF17
Cl. A5, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded
to Ca (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to the total credit
enhancement available to the bonds. The actions reflect the recent
performance of the underlying pools and Moody's updated loss
expectation on these pools.
The rating actions on Amortizing Residential Collateral Trust
2002-BC8 Class M1, Fieldstone Mortgage Investment Trust 2006-3
Class 1-A and First Franklin Mortgage Loan Trust 2006-FF15 Class A5
also partially reflect a correction to the cash-flow models
previously used by Moody's in rating these transactions.
In prior rating actions, the cash flow model for Amortizing
Residential Collateral Trust 2002-BC8 projected interest payments
for Class M1 that were too low, thereby overestimating the excess
spread available to be paid as principal. The cash flow model for
Fieldstone Mortgage Investment Trust 2006-3 projected
overcollateralization available to group 1 that was too low,
thereby overestimating the principal payment to Class 1-A from
excess spread. The cash flow model for First Franklin Mortgage Loan
Trust 2006-FF15 incorrectly calculated the principal distribution
amount for Class A5, thereby underestimating the principal payment
to the bond. These errors have now been corrected, and rating
actions reflect these changes.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.4% in April 2017 from 5.0% in April
2016. Moody's forecasts an unemployment central range of 4.5% to
5.5% for the 2017 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 2017. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] Moody's Takes Action on $149MM of RMBS Issued 2002-2006
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 15 tranches
from six transactions and downgraded the ratings of two tranches
from one transaction issued by various issuers, backed by subprime
mortgage loans.
Complete rating actions are:
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-EC2
Cl. M-2, Upgraded to B3 (sf); previously on Jul 7, 2016 Upgraded to
Caa1 (sf)
Issuer: Bear Stearns Asset Backed Securities Trust 2002-2
Cl. B, Upgraded to Caa3 (sf); previously on Apr 9, 2012 Downgraded
to C (sf)
Cl. M-1, Upgraded to Baa3 (sf); previously on Apr 11, 2014 Upgraded
to Ba1 (sf)
Cl. M-2, Upgraded to Ba3 (sf); previously on Apr 11, 2014 Upgraded
to B2 (sf)
Issuer: Bear Stearns Asset Backed Securities Trust 2003-ABF1
Cl. A, Upgraded to A1 (sf); previously on Apr 23, 2014 Downgraded
to A2 (sf)
Issuer: Bear Stearns Asset Securities I Trust 2004-FR2
Cl. M-1, Downgraded to Baa3 (sf); previously on Mar 5, 2013
Downgraded to A3 (sf)
Cl. M-2, Downgraded to B1 (sf); previously on Mar 5, 2013 Upgraded
to Ba2 (sf)
Issuer: Centex Home Equity Loan Trust 2005-A
Cl. M-2, Upgraded to Ba1 (sf); previously on Oct 1, 2015 Upgraded
to B1 (sf)
Cl. M-3, Upgraded to Ba1 (sf); previously on Jul 29, 2016 Upgraded
to B3 (sf)
Cl. M-4, Upgraded to B3 (sf); previously on Jul 29, 2016 Upgraded
to Caa1 (sf)
Cl. M-5, Upgraded to Caa2 (sf); previously on May 5, 2010
Downgraded to C (sf)
Issuer: Centex Home Equity Loan Trust 2005-B
Cl. M-1, Upgraded to Ba1 (sf); previously on Sep 24, 2014 Upgraded
to Ba2 (sf)
Cl. M-2, Upgraded to Ba1 (sf); previously on Jul 28, 2015 Upgraded
to B1 (sf)
Cl. M-3, Upgraded to Ba1 (sf); previously on Jul 5, 2016 Upgraded
to B2 (sf)
Cl. M-4, Upgraded to B3 (sf); previously on Jul 28, 2015 Upgraded
to Caa3 (sf)
Issuer: Terwin Mortgage Trust 2006-3
Cl. I-A-2, Upgraded to A3 (sf); previously on Dec 1, 2014 Upgraded
to Ba1 (sf)
Cl. II-A-2, Upgraded to B1 (sf); previously on Oct 15, 2010
Downgraded to Caa2 (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to the total credit
enhancement available to the bonds. The rating downgrades on Bear
Stearns Asset Securities I Trust 2004-FR2 Classes M-1 and M-2 are
due to interest shortfalls which are unlikely to be recouped. The
actions reflect the recent performance of the underlying pools and
Moody's updated loss expectation on these pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.3% in May 2017 from 4.7% in May
2016. Moody's forecasts an unemployment central range of 4.5% to
5.5% for the 2017 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 2017. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] Moody's Takes Actions on IO Securities From 8 US ABS Deals
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of seven
Interest-Only (IO) securities and withdrawn the ratings of three IO
securities referencing bonds or collateral pools backed by US small
business loans or US franchise loans, from a total of eight
transactions.
The rating actions are the result of updates to the methodology
that Moody's uses to rate IO securities.
Complete rating actions are as follow:
Issuer: BayView Commercial Asset Trust 2004-1
Cl. IO, Downgraded to Caa1 (sf); previously on May 31, 2012
Downgraded to B3 (sf)
Issuer: Bayview Commercial Asset Trust 2008-2
Cl. IO, Downgraded to Caa3 (sf); previously on May 31, 2012
Downgraded to Caa2 (sf)
Cl. SIO, Withdrawn (sf); previously on May 31, 2012 Downgraded to
Caa2 (sf)
Issuer: Bayview Commercial Asset Trust 2008-3
Cl. IO, Downgraded to Caa3 (sf); previously on May 31, 2012
Downgraded to Caa2 (sf)
Cl. SIO, Withdrawn (sf); previously on May 31, 2012 Downgraded to
Caa2 (sf)
Issuer: Bayview Commercial Asset Trust 2008-4
Cl. SIO, Withdrawn (sf); previously on May 31, 2012 Downgraded to
Caa1 (sf)
Issuer: EMAC Owner Trust 2000-1
Class IO Certificates, Downgraded to Ca (sf); previously on Mar 30,
2012 Downgraded to Caa3 (sf)
Issuer: FFCA Secured Franchise Lending Corporation
Class IO, Downgraded to Caa3 (sf); previously on Feb 22, 2012
Downgraded to Caa1 (sf)
Issuer: Lehman Brothers Small Balance Commercial Mortgage Pass
Through Certificates, Series 2005-2
Cl. A-IO, Downgraded to A1 (sf); previously on Oct 25, 2016
Upgraded to Aaa (sf)
Issuer: MSDWMC Owner Trust 2000-F1
Class X, Downgraded to Caa1 (sf); previously on Mar 30, 2012
Downgraded to B3 (sf)
RATINGS RATIONALE
The updated methodology modifies Moody's approach to rating IO
securities referencing multiple bonds and single or multiple
collateral pools with realized losses. References made to the
exclusion of certain IO securities in the previous methodology were
removed. In addition, a description was added to explain when an IO
bond is viewed as having effectively matured and results in the
withdrawal of the rating.
The updated methodology explains that Moody's will limit the rating
of an IO security to no more than five notches above the rating of
the lowest credit quality reference bond or the rating that would
be assigned based on an assessment of the default probability of
the reference pool(s), as applicable, and clarifies that the
collateral pool's default probability typically will be treated as
equivalent to Ca(sf) if a loss is expected on the pool. The
methodology also explains how Moody's 10-year Idealised Cumulative
Expected Loss Rates table will be used to determine the rating of
IOs referencing multiple bonds and IOs backed by single or multiple
pools, as well as how the table is used when the loss falls between
two rating categories.
The ratings for three Class SIO securities from three Bayview
transactions will be withdrawn because these securities currently
receive cash flows only from prepayment penalties, if any, and the
IO ratings and methodology do not consider cash flows generated by
prepayment penalties.
The ratings for five IO securities referencing single pools, from
five transactions, are being downgraded according to the
methodology, to the lowest of (i) the highest current tranche
rating on bonds that are outstanding backed by the reference pool;
or (ii) the rating corresponding to the pool's expected loss; or
(iii) the rating corresponding to the pool's realized losses to
date, subject to the constraint that the IO rating would not be
more than five notches above the rating that would be assigned
based on an assessment of the referenced pool's default
probability. This applies to the IO securities from the Bayview
Commercial Asset Trust 2004-1, 2008-2, and 2008-3; EMAC Owner Trust
2000-1; and MSDWMC Owner Trust 2000-F1 transactions.
The ratings for two IO securities referencing multiple bonds will
be downgraded to take into account the credit risk associated with
the weighted average of the current rating of all referenced bonds
based on current balances as of May 2017. In cases where the
referenced bonds have taken losses, the par balances will be
grossed up for such credit losses. This applies to the IO
securities from FFCA Secured Franchise Lending Corporation and
Lehman Brothers Small Balance Commercial Mortgage Pass-Through
Certificates, Series 2005-2 transactions.
METHODOLOGY
The methodologies used in these ratings were "Moody's Global
Approach to Rating SME Balance Sheet Securitizations," published in
October 2015, and "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" published in June 2017.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
An IO class may be subject to ratings upgrades if there is an
improvement in the credit quality of its referenced classes or
collateral pools, subject to the rating limits and provisions of
the updated IO methodology.
An IO class may be subject to ratings downgrades if there is a
decline in the credit quality of the reference classes or paydowns
of higher quality reference classes, or decline in credit quality
of referenced collateral pools.
[*] S&P Discontinues Ratings on 77 Classes From 18 CDO Deals
------------------------------------------------------------
S&P Global Ratings discontinued its ratings on 73 classes from 15
cash flow (CF) collateralized loan obligation (CLO) transactions
and four classes from three CF collateral debt obligations (CDO)
backed by commercial mortgage-backed securities (CMBS).
The discontinuances follow the complete paydown of the notes as
reflected in the most recent trustee-issued note payment reports
for each transaction:
-- AMAC CDO Funding I (CF CDO of CMBS): last remaining rated
tranche paid down.
-- AMMC CLO X Ltd. (CF CLO): optional redemption in April 2017.
-- Apidos CLO IX (CF CLO): optional redemption in April 2017.
-- Ares XXIV CLO Ltd. (CF CLO): optional redemption in April
2017.
-- Duane Street CLO IV Ltd. (CF CLO): optional redemption in
May 2017.
-- Eaton Vance CDO VIII Ltd. (CF CLO): optional redemption in
May 2017.
-- Eaton Vance CLO 2013-1 Ltd. (CF CLO): Class A-X notes (i)
paid down;
-- other rated tranches still outstanding.
-- Emerson Place CLO Ltd. (CF CLO): optional redemption in
April 2017.
-- Fortress Credit Funding V LP (CF CLO): all rated tranches
paid down.
-- Fortress Credit Funding VI LP (CF CLO): all rated tranches
paid down.
-- Jamestown CLO I Ltd. (CF CLO): optional redemption in April
2017.
-- KKR Financial CLO 2013-1 Ltd. (CF CLO): optional redemption
in April 2017.
-- Madison Park Funding IX Ltd. (CF CLO): optional redemption
in May 2017.
-- Oaktree EIF II Series A1 Ltd. (CF CLO): optional redemption
in May 2017.
-- Race Point VI CLO Ltd. (CF CLO): optional redemption in May
2017.
-- RAIT Preferred Funding II Ltd. (CF CDO of CMBS): senior most
tranches paid down; other rated tranches still outstanding.
-- Venture XI CLO Ltd. (CF CLO): optional redemption in May
2017.
-- Wrightwood Capital Real Estate CDO 2005-1 Ltd. (CF CDO of
CMBS): senior most tranches paid down; other rated tranches
still outstanding.
(i) An X note within a CLO is generally a note with a principal
balance intended to be repaid early in the CLO's life using
interest proceeds from the CLO's waterfall.
RATINGS DISCONTINUED
AMAC CDO Funding I
Rating
Class To From
E NR CCC- (sf)
AMMC CLO X Ltd.
Rating
Class To From
A NR AAA (sf)
B NR AAA (sf)
C NR AAA (sf)
D NR AA+ (sf)
E NR BBB+ (sf)
F NR BB+ (sf)
Apidos CLO IX
Rating
Class To From
A-R NR AAA (sf)
B-R NR AA (sf)
C-R NR A (sf)
D-R NR BBB (sf)
E-R NR BB (sf)
Ares XXIV CLO Ltd.
Rating
Class To From
A-R NR AAA (sf)
B-1-R NR AA (sf)
B-2-R NR AA (sf)
C-R NR A (sf)
D-R NR BBB (sf)
E NR BB (sf)
Duane Street CLO IV Ltd.
Rating
Class To From
B NR AAA (sf)
C NR AAA (sf)
D NR AA+ (sf)
E NR BB+ (sf)
Eaton Vance CDO VIII Ltd.
Rating
Class To From
A NR AAA (sf)
B NR AAA (sf)
C NR AAA (sf)
D NR A+ (sf)
Eaton Vance CLO 2013-1 Ltd.
Rating
Class To From
A-X NR AAA (sf)
Emerson Place CLO Ltd.
Rating
Class To From
A NR AAA (sf)
B NR AA+ (sf)
C NR A+ (sf)
D NR B- (sf)
Fortress Credit Funding V LP
Rating
Class To From
A-1 NR AAA (sf)
A-2R NR AA (sf)/Watch POS
B-R NR A (sf)/Watch POS
C-R NR BBB (sf)/Watch POS
D-R NR BBB-(sf)/Watch POS
E NR BB (sf)/Watch POS
Fortress Credit Funding VI LP
Rating
Class To From
A-1 NR AAA (sf)
A-2R NR AA (sf)/Watch POS
B-R NR A (sf)/Watch POS
C-R NR BBB (sf)/Watch POS
D-R NR BBB- (sf)/Watch POS
E NR BB (sf)/Watch POS
Jamestown CLO I Ltd.
Rating
Class To From
A-1R NR AAA (sf)
A-2R NR AA (sf)
B-R NR A (sf)
C-R NR BBB (sf)
D-R NR BB- (sf)
KKR Financial CLO 2013-1 Ltd.
Rating
Class To From
A-1 NR AAA (sf)
A-2A NR AA+ (sf)
A-2B NR AA+ (sf)
B NR A+ (sf)
C NR BBB+ (sf)
D NR BB+ (sf)
Madison Park Funding IX Ltd.
Rating
Class To From
A-R NR AAA (sf)
B-1R NR AA (sf)
B-2R NR AA (sf)
C-1R NR A (sf)
C-2R NR A (sf)
D-R NR BBB (sf)
E NR BB (sf)
Oaktree EIF II Series A1 Ltd.
Rating
Class To From
A NR AAA (sf)
B NR AA (sf)
Race Point VI CLO Ltd.
Rating
Class To From
A-R NR AAA (sf)
B-R NR AAA (sf)
C-R NR AA (sf)
D-R NR BBB+ (sf)
E NR BB (sf)
RAIT Preferred Funding II Ltd.
Rating
Class To From
A-2 NR BB+ (sf)
Venture XI CLO Ltd.
Rating
Class To From
A-R NR AAA (sf)
B-R NR AA (sf)
C-R NR A (sf)
D-R NR BBB (sf)
E-R NR BB (sf)
F-R NR B (sf)
Wrightwood Capital Real Estate CDO 2005-1 Ltd.
Rating
Class To From
A-1 NR BB+ (sf)
A-R NR BB+ (sf)
NR--Not rated.
[*] S&P Takes Rating Actions on 44 Classes From 6 RMBS Deals
------------------------------------------------------------
S&P Global Ratings completed its review of 44 classes from six U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2003 and 2005. All of these transactions are backed by
prime jumbo or Alternative-A collateral. The review yielded two
upgrades, four downgrades, and 38 affirmations.
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. Some of these considerations include:
-- Collateral performance/delinquency trends;
-- Historical interest shortfalls;
-- Priority of principal payments; and
-- Available subordination and/or overcollateralization.
Rating Actions
The affirmations of ratings reflect S&P's opinion that its
projected credit support and collateral performance on these
classes has remained relatively consistent with its prior
projections.
A list of the Affected Ratings is available at:
http://bit.ly/2sZZSn7
[*] S&P Takes Rating Actions on 92 Classes From 11 RMBS Deals
-------------------------------------------------------------
S&P Global Ratings completed its review of 92 classes from 11 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2000 and 2007. All of these transactions are backed by
prime jumbo collateral. The review yielded five upgrades, six
downgrades, 71 affirmations, and 10 withdrawals.
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. Some of these considerations include:
-- Collateral performance/delinquency trends;
-- Historical interest shortfalls;
-- Priority of principal payments;
-- Tail risk; and
-- Available subordination and/or overcollateralization.
Rating Actions
The affirmations of ratings reflect S&P's opinion that its
projected credit support and collateral performance on these
classes has remained relatively consistent with its prior
projections.
A list of the Affected Ratings is available at:
http://bit.ly/2syQ3Qr
*********
Monday's edition of the TCR delivers a list of indicative prices
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