/raid1/www/Hosts/bankrupt/TCR_Public/170702.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, July 2, 2017, Vol. 21, No. 182
Headlines
ARES CLO XXVII: Moody's Assigns Ba3(sf) Rating to Cl. E-R Notes
ARES CLO XXVII: S&P Withdraws 'BB' Rating on Cl. E Notes
BANK OF AMERICA 2015-UBS7: Fitch Affirms B- Rating on Cl. F Certs
BAYVIEW OPPORTUNITY 2017-SPL5: DBRS Gives (P)B Rating to B5 Debt
BEAR STEARNS 2007-PWR16: Moody's Hikes Rating on Cl. B Debt to B2
BLUEMOUNTAIN FUJI I: S&P Assigns 'BB-' Rating on Class E Notes
C-BASS CBO VIII: S&P Raises Rating on 2 Tranches to 'BB+'
CARRINGTON MORTGAGE 2006-NC5: Moody's Cuts Cl. A-2 Debt to Caa2
CEDAR FUNDING II: S&P Assigns 'BB-' Rating on Cl. E-R Notes
CITIGROUP 2005-EMG: Moody's Affirms Caa3 Rating on 2 Tranches
CITIGROUP 2006-C4: Moody's Cuts Class D Debt Rating to Ca
CITIGROUP 2015-P1: Fitch Affirms 'Bsf' Rating on Cl. F Certs
CITIGROUP COMMERCIAL 2015-GC33: Fitch Affirms B- Rating on F Certs
COMM 2005-C6: Moody's Hikes Class F Certs Rating to B1
COMM 2015-CCRE24: Fitch Affirms B- Rating on Class F Certs
COMM 2015-CCRE25: Fitch Affirms 'BB-sf' Rating on Class E Certs
COMM MORTGAGE 2015-CCRE26: Fitch Affirms BB- Rating on Cl. F Certs
CSMC TRUST 2017-HL1: DBRS Assigns BB(sf) Rating to Class B-4 Debt
DENALI CAPITAL VII: Moody's Hikes Cl. B-2L Notes Rating to Ba1
GE COMMERCIAL 2005-C1: DBRS Cuts Class E Debt Rating to CCC
GREENWICH CAPITAL 2005-GG3: Moody's Affirms C Rating on 2 Classes
GS MORTGAGE 2012-GCJ9: Moody's Affirms B2 Rating on Cl. F Debt
GSAA HOME 2005-9: S&P Raises Cl. M-1 Debt Rating to B+
IMT TRUST 2017-APTS: S&P Assigns Prelim. B- Rating on 2 Tranches
JPMCC COMMERCIAL 2017-JP6: DBRS Finalizes B Rating on G-RR Debt
KINGSLAND V: Moody's Affirms B1(sf) Rating on Class E Notes
LONG BEACH 2005-1: Moody's Hikes Class M-4 Debt Rating to B3
MERRILL LYNCH 2007-C1: Fitch Cuts Class B Debt Rating to Dsf
MILL CITY 2017-2: DBRS Finalizes B Rating on Class B2 Debt
MORGAN STANLEY 2004-IQ8: S&P Affirms 'B-' Rating on Cl. H Certs
NATIONAL COLLEGIATE: Fitch Puts 12 Tranches of 11 Loan Deals on RWP
NEW RESIDENTIAL 2017-4: Moody's Gives (P)B1 Rating to 10 Tranches
NEWSTAR COMMERCIAL 2012-2: Moody's Affirms B2 Rating on Cl. F Notes
PREFERRED TERM XXII: Moody's Hikes Rating on 2 Tranches to B1
REALT 2007-1: DBRS Confirms B Rating on Class K Debt
SHACKLETON 2017-XI: Moody's Assigns (P)B2 Rating to Cl. F Notes
SOUND POINT XVI: Moody's Assigns Ba3(sf) Rating to Class E Notes
SPRINGLEAF FUNDING 2017-A: DBRS Gives Prov. BB Ratings to D Debt
VIBRANT CLO VI: Moody's Assigns Ba3(sf) Rating to Class E Notes
WACHOVIA BANK 2003-C6: Moody's Affirms Csf Rating on Cl. IO Certs.
WACHOVIA BANK 2004-C11: Moody's Hikes Class J Debt Rating to B3
WALDORF ASTORIA 2016-BOCA: Fitch Affirms B- Rating on Cl. F Certs
WELLS FARGO 2015-SG1: Fitch Affirms 'B-sf' Rating on 2 Tranches
WFRBS COMMERCIAL 2012-C9: Moody's Affirms B2 Rating on Cl. F Certs
WFRBS COMMERCIAL 2013-C15: Fitch Affirms Bsf Rating on Cl. F Certs
WFRBS COMMERCIAL 2013-C16: Fitch Affirms B-sf Rating on Cl. F Certs
[*] Moody's Hikes $146MM of Second Lien RMBS Issued 2001-2007
[*] Moody's Hikes $2.1BB of Subprime RMBS Issued 2005-2006
[*] S&P Discontinues 'D' Ratings on 33 Classes From 22 CMBS Deals
[*] S&P Discontinues Ratings on 20 Classes From 8 CDO Transactions
*********
ARES CLO XXVII: Moody's Assigns Ba3(sf) Rating to Cl. E-R Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
notes issued by Ares XXVII CLO, Ltd.
Moody's rating action is:
US$4,500,000 Class X-R Senior Floating Rate Notes due 2029 (the
"Class X-R Notes"), Assigned Aaa (sf)
US$229,100,000 Class A-R-1 Senior Floating Rate Notes due 2029 (the
"Class A-R-1 Notes"), Assigned Aaa (sf)
US$35,550,000 Class A-R-2 Senior Floating Rate Notes due 2029 (the
"Class A-R-2 Notes"), Assigned Aaa (sf)
US$27,650,000 Class B-R Senior Floating Rate Notes due 2029 (the
"Class B-R Notes"), Assigned Aa2 (sf)
US$25,675,000 Class C- R Mezzanine Deferrable Floating Rate Notes
due 2029 (the "Class C-R Notes"), Assigned A2 (sf)
US$21,725,000 Class D-R Mezzanine Deferrable Floating Rate Notes
due 2029 (the "Class D-R Notes"), Assigned Baa3 (sf)
US$23,700,000 Class E-R Mezzanine Deferrable Floating Rate Notes
due 2029 (the "Class E-R Notes"), Assigned Ba3 (sf)
The Class X-R Notes, Class A-R-1 Notes, Class A-R-2 Notes, Class
B-R Notes, Class C-R Notes, Class D-R Notes, Class E-R Notes are
referenced to herein as the "Refinancing Notes.
RATINGS RATIONALE
Moody's ratings of 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 has issued the Refinancing Notes on June 22, 2017 (the
"Refinancing Date") in connection with the refinancing of six
classes of secured notes (the "Refinanced Original Notes"),
previously issued on July 26, 2013 (the "Original Closing Date").
On the Refinancing Date, the Issuer used the proceeds from the
issuance of the Refinancing Notes to redeem in full six classes of
secured notes issued on the Original Closing Date. On the Original
Closing Date, the Issuer also issued one class of subordinated
notes that will remain outstanding. On the Refinancing Date, the
Issuer also issued additional subordinated notes.
In addition to the issuance of Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These changes include, but are not limited to:
extensions of the reinvestment period, stated maturity and non-call
period; changes to certain collateral quality tests; changes to the
initial asset matrix and recovery rate modifier matrix; changes to
the overcollateralization test levels; and a variety of other
changes to transaction features.
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. At least 90%
of the portfolio must consist of senior secured loans that are
secured by a valid first priority perfected security interest and
eligible investments, and up to 10% of the portfolio may consist of
second lien loans and unsecured loans.
Ares CLO Management LLC (as successor asset manager to Ares CLO
Management XXVII, L.P.) (the "Manager") manages the CLO. It directs
the selection, acquisition, and disposition of collateral on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transactions remaining five year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
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.
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: $394,954,471
Diversity Score: 75
Weighted Average Rating Factor (WARF): 3025
Weighted Average Spread (WAS): 3.45%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 48.00%
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 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 3025 to 3479)
Rating Impact in Rating Notches
Class X-R Notes: 0
Class A-R-1 Notes: 0
Class A-R-2 Notes: -1
Class B-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 3025 to 3933)
Rating Impact in Rating Notches
Class X-R Notes: 0
Class A-R-1 Notes: -1
Class A-R-2 Notes: -3
Class B-R Notes: -4
Class C-R Notes: -4
Class D-R Notes: -2
Class E-R Notes: -1
ARES CLO XXVII: S&P Withdraws 'BB' Rating on Cl. E Notes
--------------------------------------------------------
S&P Global Ratings assigned its ratings to the class X-R and A-1-R
replacement notes from Ares XXVII CLO Ltd, a collateralized loan
obligation (CLO) originally issued in July 2013 that is managed by
Ares CLO Management LLC. S&P withdrew its ratings on the original
class A-1,A-2-R, B, C, D, and E notes following payment in full on
the June 22, 2017, refinancing date.
On the June 22, 2017, refinancing date, the proceeds from the class
X-R, A-1-R, A-2-R, B-R, C-R, D-R, and E-R replacement note
issuances were used to redeem the original class A-1, A-2-R, B, C,
D, and E notes as outlined in the transaction document provisions.
Therefore, S&P withdrew its ratings on the original notes in line
with their full redemption, and S&P is assigning ratings to the
replacement notes.
The replacement notes are being issued via a supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, will also:
-- Extend the stated maturity, reinvestment period, and non-
call period by four, five, and four years, respectively;
-- Use a covenant-lite matrix with a range of 40%-90% of
covenant-lite loans in the portfolio;
-- Give the manager an option to use the formula-based Standard
& Poor's CDO Monitor; and
-- Use the updated S&P Global Ratings industry categories and
recoveries.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the trustee
report, to estimate future performance. In line with S&P's
criteria, its cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, S&P's analysis considered
the transaction's ability to pay timely interest or ultimate
principal, or both, to each of the rated tranches.
The assigned ratings reflect S&P's opinion that the credit support
available is commensurate with the associated rating levels.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and S&P will take rating actions as it
deems necessary.
RATINGS ASSIGNED
Ares XXVII CLO Ltd/Ares XXVII CLO LLC
Replacement class Rating Amount (mil. $)
X-R AAA (sf) 4.50
A-1-R AAA (sf) 229.10
A-2-R NR 35.55
B-R NR 27.65
C-R NR 25.68
D-R NR 21.73
E-R NR 23.70
Subordinated notes NR 49.10
RATINGS WITHDRAWN
Ares XXVII CLO Ltd/Ares XXVII CLO LLC
Rating
Original Class To From
A-1 NR AAA (sf)
A-2-R(i) NR AAA (sf)
B NR AA (sf)
C NR A (sf)
D NR BBB (sf)
E NR BB (sf)
(i) S&P withdrew its ratings on the original class A-2-R following
payment in full on the June 22, 2017, refinancing date.
NR--Not rated.
BANK OF AMERICA 2015-UBS7: Fitch Affirms B- Rating on Cl. F Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of Bank of America Merrill
Lynch Commercial Mortgage Trust 2015-UBS7 commercial mortgage
pass-through certificates.
KEY RATING DRIVERS
The affirmations are based on the stable performance of the
underlying collateral
Stable Performance: The overall pool performance remains stable
from issuance. One loan (0.6% of the pool) is delinquent and
specially serviced. As of the May 2017 distribution date, the
pool's aggregate balance has been reduced by 1.3% to $747 million,
from $757 million at issuance. One loan (0.5%) is on the servicer's
watch list and is not considered Fitch loan of concern.
Retail Concentration and Mall Exposure: Loans backed by retail
properties represent 20.2% of the pool, including four within the
top 15. Two of these loans, The Mall of New Hampshire (6.7%) and
WPC Department Store Portfolio (2.7%), reflect direct or indirect
exposure to regional mall tenants such as Bon-Ton Stores, Sears,
Macy's, and JCPenney.
Pool Concentration: The top 10 and 15 loans in the pool account for
64.6% and 76.7% of total pool balances, respectively. This compares
with 2015 average concentrations of 49.3% and 60%, within the top
10 and top 15 respectively. The 2016 average concentration within
the top 10 and top 15 were 54.8% and 68%, respectively.
Issuance Collateral Quality: At issuance three properties totaling
22.5% of original pool balance were assigned property quality
grades of 'A-'. The majority of the pool was assigned a property
quality grade in the 'B' range.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Negative Outlooks
may be assigned on below-investment-grade classes given retail
exposure, particularly given retail exposure to regional mall
tenants such as Bon-Ton Stores, Sears, Macy's, and JCPenney, which
have been closing stores due to store and company underperformance.
Since issuance, no new information has been provided regarding WPC
Department Store Portfolio, a portfolio of six Bon-Ton Stores.
Fitch has affirmed the following ratings:
-- $28,780,737 class A-1 at 'AAAsf'; Outlook Stable;
-- $62,400,000 class A-SB at 'AAAsf'; Outlook Stable;
-- $200,000,000 class A-3 at 'AAAsf'; Outlook Stable;
-- $228,996,000 class A-4 at 'AAAsf'; Outlook Stable;
-- $520,176,737b class X-A at 'AAAsf'; Outlook Stable;
-- $50,170,000b class X-B at 'AAAsf'; Outlook Stable;
-- $39,879,000b class X-D at 'BBB-sf'; Outlook Stable;
-- $50,170,000 class A-S at 'AAAsf'; Outlook Stable;
-- $50,169,000 class B at 'AA-sf'; Outlook Stable;
-- $33,010,000 class C at 'A-sf'; Outlook Stable;
-- $39,897,000 class D at 'BBB-sf'; Outlook Stable;
-- $17,038,000ab class X-E at 'BB-sf'; Outlook Stable;
-- $17,038,000a class E at 'BB-sf'; Outlook Stable;
-- $7,573,000a class F at 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
Fitch does not rate the $15,146,000 class X-FG, $21,772,331 class
X-NR, $7,573,000 class G and $21,772,331 class H.
BAYVIEW OPPORTUNITY 2017-SPL5: DBRS Gives (P)B Rating to B5 Debt
----------------------------------------------------------------
DBRS, Inc. June 20 assigned provisional ratings to the following
Mortgage-Backed Securities, Series 2017-SPL5 issued by Bayview
Opportunity Master Fund IVa Trust 2017-SPL5 (the Trust):
-- $253.0 million Class A at AAA (sf)
-- $253.0 million Class A-IOA at AAA (sf)
-- $253.0 million Class A-IOB at AAA (sf)
-- $26.8 million Class B1 at AA (sf)
-- $26.8 million Class B1-IOA at AA (sf)
-- $26.8 million Class B1-IOB at AA (sf)
-- $16.5 million Class B2 at A (sf)
-- $16.5 million Class B2-IO at A (sf)
-- $18.8 million Class B3 at BBB (sf)
-- $18.8 million Class B3-IOA at BBB (sf)
-- $18.8 million Class B3-IOB at BBB (sf)
-- $16.5 million Class B4 at BB (sf)
-- $16.5 million Class B4-IOA at BB (sf)
-- $16.5 million Class B4-IOB at BB (sf)
-- $13.0 million Class B5 at B (sf)
Classes A-IOA, A-IOB, B1-IOA, B1-IOB, B2-IO, B3-IOA, B3-IOB, B4-IOA
and B4-IOB are interest-only notes. The class balances represent
notional amounts.
The AAA (sf) ratings on the Notes reflect the 34.00% of credit
enhancement provided by subordinated Notes in the pool. The AA
(sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 27.00%,
22.70%, 17.80%, 13.50% and 10.10% 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 8,003 loans with a total interest-bearing
principal balance of $383,291,272 as of the Cut-off Date (May 31,
2017).
The portfolio comprises 96.4% daily simple interest loans and has
an average original loan size of $65,487. The loans are
approximately 135 months seasoned, and all are current as of the
Cut-off Date, including 1.8% bankruptcy-performing loans.
Approximately 95.5% of the mortgage loans have been zero times 30
days delinquent (0 x 30) based on the interest-paid-through date
for the past 24 months under the Mortgage Bankers Association
delinquency methods. Approximately 31.7% of the loans have been
modified, 99.8% of which happened more than two years ago. Within
the pool, 3,626 mortgages have non-interest-bearing deferred
amounts as of the Cut-off Date, which are not certificated into the
rated Notes, and any recoveries on these will instead be payable to
the holders of the Class X Notes. As a result of the seasoning of
the collateral, none of the loans are subject to the Consumer
Financial Protection Bureau Ability-to-Repay/Qualified Mortgage
rules.
An affiliate of BFA IVa Depositor, LLC (the Depositor) acquired the
loans from CitiFinancial Credit Company and its lending
subsidiaries during the period from March 2016 through March 2017
and subsequently transferred the loans to various transferring
trusts owned by Bayview Opportunity Master Fund IVa L.P. (the
Sponsor). On the Closing Date, the transferring trusts will assign
the loans to the Depositor, who will contribute the loans to the
Trust. The Sponsor will acquire and retain a 5% eligible vertical
interest in each class of securities to be issued to satisfy the
credit risk retention requirements under Section 15G of the
Securities Exchange Act of 1934 and the regulations promulgated
thereunder.
These loans were originated and previously serviced by
CitiFinancial Credit Company. As of the Cut-off Date, all of the
loans are serviced by Bayview Loan Servicing, LLC.
There will not be any advancing of delinquent principal or interest
on any mortgages by the servicer or any other party to the
transaction; however, the servicer is obligated to make advances in
respect of taxes and insurance, reasonable costs and expenses
incurred in the course of servicing and disposing of properties.
The transaction employs a sequential-pay cash flow structure.
Principal proceeds can be used to cover interest shortfalls on the
Class A and Class B1 Notes (and the related interest-only bonds),
but such shortfalls on more subordinate bonds will not be paid from
principal. In addition, diverted interest from the mortgage loans
will be used to pay down principal on the Notes sequentially.
The 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.
The ratings reflect transactional strengths that include underlying
assets that have generally performed well through the crisis, an
experienced servicer and strong structural features. Additionally,
a third-party due diligence review was performed on the portfolio
with respect to regulatory compliance, payment history, data
capture and title and lien review. Updated property values
(generally Home Data Index values and, for a subset of the pool,
broker price opinions or 2055 appraisals) were provided for the
mortgage loans.
The representations and warranties provided in this transaction
generally conform to the representations and warranties that DBRS
would expect to receive for an RMBS transaction with seasoned
collateral; however, the transaction employs a representations and
warranties framework that includes an unrated representation
provider (Bayview Opportunity Master Fund IVa L.P.) with a backstop
by an unrated entity (Bayview Asset Management, LLC) and certain
knowledge qualifiers. Mitigating factors include (1) significant
loan seasoning and relatively clean performance history in recent
years; (2) third-party due diligence review; (3) a strong
representations and warranties enforcement mechanism, including a
delinquency review trigger; and (4) for representations and
warranties with knowledge qualifiers, even if the Sponsor did not
have actual knowledge of the breach, the Remedy Provider is still
required to remedy the breach in the same manner as if no knowledge
qualifier had been made.
The enforcement mechanism for breaches of representations includes
automatic breach reviews by a third-party reviewer for any
seriously delinquent loans or any loans that incur loss upon
liquidation. Resolution of disputes are ultimately subject to
determination in an arbitration proceeding.
The DBRS ratings of AAA (sf) and AA (sf) address the timely payment
of interest and full payment of principal by the legal final
maturity date in accordance with the terms and conditions of the
related Notes. The DBRS 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.
BEAR STEARNS 2007-PWR16: Moody's Hikes Rating on Cl. B Debt to B2
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of three
classes, downgraded the rating of one class, and affirmed the
ratings of two classes in Bear Stearns Commercial Mortgage
Securities Trust 2007-PWR16:
Cl. A-J, Upgraded to Ba2 (sf); previously on Jul 12, 2016 Affirmed
B1 (sf)
Cl. B, Upgraded to B2 (sf); previously on Jul 12, 2016 Affirmed
Caa1 (sf)
Cl. C, Upgraded to Caa1 (sf); previously on Jul 12, 2016 Affirmed
Caa2 (sf)
Cl. D, Affirmed Caa3 (sf); previously on Jul 12, 2016 Affirmed Caa3
(sf)
Cl. E, Downgraded to C (sf); previously on Jul 12, 2016 Affirmed Ca
(sf)
Cl. F, Affirmed C (sf); previously on Jul 12, 2016 Downgraded to C
(sf)
RATINGS RATIONALE
The ratings on Classes A-J, B, and C were upgraded based primarily
on an increase in credit support resulting from loan paydowns and
amortization, as well as expected recoveries from troubled and
specially-serviced loans. The deal has paid down 92% since Moody's
last review.
The rating on Class E was downgraded due to Moody's expected loss
for this class.
The ratings on Classes D and F were affirmed because the ratings
are consistent with Moody's expected loss.
Moody's rating action reflects a base expected loss of 32% of the
current balance compared to 8% at Moody's last review. Moody's base
expected loss plus realized losses is now 9.2% of the original
pooled balance, compared to 10.5% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in these ratings were "Approach to Rating US
and Canadian Conduit/Fusion CMBS" published in December 2014, and
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in October 2015.
Moody's analysis also incorporated a loss and recovery approach in
rating the P&I classes in this deal since 73% of the pool is in
special servicing and Moody's has identified additional troubled
loans representing 13% of the pool. In this approach, Moody's
determines a probability of default for each specially serviced and
troubled loan that it expects will generate a loss and estimates a
loss given default based on a review of broker's opinions of value
(if available), other information from the special servicer,
available market data and Moody's internal data. The loss given
default for each loan also takes into consideration repayment of
servicer advances to date, estimated future advances and closing
costs. Translating the probability of default and loss given
default into an expected loss estimate, Moody's then applies the
aggregate loss from specially serviced and troubled loans to the
most junior classes and the recovery as a pay down of principal to
the most senior classes.
DEAL PERFORMANCE
As of the June 13, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 96% to $147 million
from $3.3 billion at securitization. The certificates are
collateralized by 18 mortgage loans ranging in size from 1% to 24%
of the pool, with the top ten loans constituting 81% of the pool.
The pool contains no loans with investment-grade structured credit
assessments and no defeased loans.
Five loans, constituting 23% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Forty-seven loans have been liquidated from the pool, contributing
to an aggregate realized loss of $257 million (for an average loss
severity of 26%). Twelve loans, constituting 73% of the pool, are
currently in special servicing. The largest specially serviced loan
and largest remaining loan in the pool is The Shops at Northern
Boulevard Loan ($36 million -- 24% of the pool). The loan is
secured by a 218,000 square foot retail property in Long Island
City, New York, in the New York City borough of Queens. Retailers
at the property include grocer Stop & Shop, Marshall's, Old Navy,
Party City, Guitar Center, and Chuck E Cheese's. The property was
97% occupied as of March 2017. The loan matured on June 1, 2017 and
was transferred to the special servicer on June 8th for maturity
default.
The remaining 11 specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $41 million loss for
the specially serviced loans (38% expected loss on average).
Moody's has assumed a high default probability for three poorly
performing loans, constituting 13% of the pool, and has estimated
an aggregate loss of $5 million (a 28% expected loss based on a 90%
probability default) from these troubled loans.
Moody's received full year 2016 operating results for 100% of the
pool. Moody's weighted average conduit LTV is 97%, essentially
unchanged from at Moody's last review. Moody's conduit component
excludes loans with structured credit assessments, defeased and CTL
loans, and specially serviced and troubled loans. Moody's net cash
flow (NCF) reflects a weighted average haircut of 18.6% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.4%.
Moody's actual and stressed conduit DSCRs are 1.26X and 1.06X,
respectively, compared to 1.46X and 1.17X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three performing loans represent 21% of the pool balance.
The largest loan is the Kingwood Office Loan ($15 million -- 10% of
the pool), which is secured by a 199,999 square feet Class B
suburban office property in Kingwood, Texas, a suburb of Houston.
The loan has passed its scheduled maturity date in June 2017 and is
on the master servicer's watchlist. The property was 85% leased as
of December 2016, and benefits from a diverse tenant roster.
Nevertheless, lease rollover is a concern as the rent roll contains
many near-term lease expirations. Moody's has identified this as a
troubled loan.
The second largest loan is the 75th Street Center Loan ($8 million
-- 6% of the pool). The loan is secured by a 149,000 square foot
industrial property located in Everett, Washington, a suburb of
Seattle. The property was 100% leased as of December 2016. The loan
has passed its May 2017 scheduled maturity date and is on the
master servicer's watchlist. The servicer has granted a forbearance
request and anticipates the loan will be paid off. Moody's LTV and
stressed DSCR are 88% and 1.13X, respectively, compared to 85% and
1.18X at the last review.
The third largest loan is the Chesapeake Center Loan ($8 million --
5% of the pool). The loan is secured by a two-level, 56,000 square
foot suburban office property located in San Diego, California. The
property was 100% occupied as of March 2017. The loan was scheduled
to mature on April 1, 2017 and is currently in a forbearance
period. The loan is on the master servicer's watchlist. Moody's LTV
and stressed DSCR are 94% and 1.08X, respectively, compared to 89%
and 1.15X at the last review.
BLUEMOUNTAIN FUJI I: S&P Assigns 'BB-' Rating on Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to BlueMountain Fuji U.S.
CLO I Ltd./BlueMountain Fuji U. S. CLO I LLC's $435 million
floating-rate notes.
The note issuance is a collateralized loan obligation (CLO)
transaction backed primarily by broadly syndicated senior secured
term loans.
The 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.
RATINGS ASSIGNED
BlueMountain Fuji U.S. CLO I Ltd./BlueMountain Fuji U. S. CLO I LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 310.00
A-2 NR 25.00
B AA (sf) 39.00
C (deferrable) A (sf) 36.00
D (deferrable) BBB (sf) 27.00
E (deferrable) BB- (sf) 23.00
Subordinate notes NR 49.75
NR--Not rated.
C-BASS CBO VIII: S&P Raises Rating on 2 Tranches to 'BB+'
---------------------------------------------------------
S&P Global Ratings raised its ratings on the class D-1 and D-2
notes from C-Bass CBO VIII Ltd., a U.S. cash flow collateralized
debt obligation (CDO) transaction backed by predominantly
residential mortgage backed securities.
The rating actions follow S&P's review of the transaction's
performance using data from the April 24, 2017, trustee report. The
upgrades follow the increase in the credit support since S&P's
previous review.
The transaction has paid $10.01 million in collective paydowns to
the class C and D notes since S&P's February 2015 rating actions.
Since then, class C notes have been completely paid down, and the
class D notes have started to receive paydowns.
The class D notes' balance is currently at 44.16% of the balance at
issuance. (The class D notes balance was already reduced to less
than 50% in the past due to a structural feature that allowed the
notes to receive excess interest payments until February 2009.)
Since S&P's last review, the defaults in the transaction have
decreased significantly to $1,457 from $18.61 million. While a
portion of the defaults had paid down in full, some of them are
currently considered performing and the remaining have been sold at
various prices. The aggregate proceeds that the transaction
realized on these defaults has been higher than the assumed
recovery rates, resulting in larger paydowns. The aggregate
paydowns in the transaction increased the class D
overcollateralization (O/C) ratio to 272.07% as per the April 2017
monthly trustee report, from 93.85% in the January 2015 monthly
trustee report (which S&P used for its previous analysis).
In addition, some of the assets in the portfolio have had a
positive rating migration. As a result, the class D notes are
currently backed by higher quality assets that allow it to pass the
top obligor test at BB category. The class D notes were failing
this test at the 'CCC' category in the last review.
For this analysis S&P relied on the supplemental test calculations
and did not run cash flows due to the small amount of obligors
remaining in the underlying asset pool.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and will take further rating actions as
S&P deems necessary.
RATINGS RAISED
C-Bass CBO VIII Ltd.
Class Rating
To From
D-1 BB+ (sf) CC (sf)
D-2 BB+ (sf) CC (sf)
CARRINGTON MORTGAGE 2006-NC5: Moody's Cuts Cl. A-2 Debt to Caa2
---------------------------------------------------------------
Moody's Investors Service has upgraded the rating of Carrington
Mortgage Loan Trust, Series 2006-NC5 Class A-2.
Complete rating actions are:
Issuer: Carrington Mortgage Loan Trust, Series 2006-NC5
Cl. A-2, Upgraded to Caa2 (sf); previously on Apr 29, 2010
Downgraded to Caa3 (sf)
RATINGS RATIONALE
The upgrade is primarily due to the lower projection of lifetime
tranche loss for Class A-2. The action reflects the recent
performance of the underlying pool and Moody's updated loss
expectations on the pool.
The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.3% 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.
CEDAR FUNDING II: S&P Assigns 'BB-' Rating on Cl. E-R Notes
-----------------------------------------------------------
S&P Global Ratings assigned its 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. S&P
withdrew its ratings on the original class A-1, B-1, B-2, C, D, and
E notes following payment in full on the June 23, 2017, refinancing
date.
On the June 23, 2017, refinancing date, the proceeds from the class
A-1R, A-FR, B-R, C-R, D-R, and E-R replacement note issuances were
used to redeem the original class A-1, B-1, B-2, C, D, and E notes
as outlined in the transaction document provisions. Therefore, S&P
withdrew its ratings on the original notes in line with their full
redemption, and S&P assigned ratings to the replacement notes.
S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the trustee
report, to estimate future performance. In line with S&P's
criteria, its cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, S&P's analysis considered
the transaction's ability to pay timely interest or ultimate
principal, or both, to each of the rated tranches.
The assigned ratings reflect S&P's opinion that the credit support
available is commensurate with the associated rating levels.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and S&P will take rating actions as it
deems necessary.
RATINGS ASSIGNED
Cedar Funding II CLO Ltd.
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
Subordinated notes NR 34.75
RATINGS WITHDRAWN
Cedar Funding II CLO Ltd.
Rating
Original class To From
A-1 NR AAA (sf)
B-1 NR AA+ (sf)
B-2 NR AA+ (sf)
C NR A+ (sf)
D NR BBB (sf)
E NR BB (sf)
NR--Not rated.
CITIGROUP 2005-EMG: Moody's Affirms Caa3 Rating on 2 Tranches
-------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
in Citigroup Commercial Mortgage Trust 2005-EMG, Commercial
Mortgage Pass-Through Certificates, Series 2005-EMG:
Cl. M, Affirmed Caa3 (sf); previously on Jul 14, 2016 Affirmed Caa3
(sf)
Cl. X, Affirmed Caa3 (sf); previously on Jul 14, 2016 Affirmed Caa3
(sf)
RATINGS RATIONALE
The rating on Class M was affirmed because the rating is consistent
with Moody's expected loss plus realized losses. Class M has
already experienced a 29% realized loss as result of previously
liquidated loans.
The rating on Class X was affirmed based on the credit quality of
its referenced classes.
Moody's does not anticipate losses from the remaining collateral in
the current environment. However, over the remaining life of the
transaction, losses may emerge from macro stresses to the
environment and changes in collateral performance. Moody's ratings
reflect the potential for future losses under varying levels of
stress. Moody's base expected loss plus realized losses is now 0.1%
of the original pooled balance, the same as at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in October 2015.
Additionally, the methodology used in rating Cl. X was "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the May 22, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 99.9% to $824,577
from $722 million at securitization. The certificates are
collateralized by one mortgage loan.
Four loans have been liquidated from the pool, resulting in a
realized loss of $460,211.
The sole remaining loan is the 177-179 Forest Avenue Loan
($824,577), which is secured by a 48,192 square foot single tenant
retail property leased to Stop & Shop. The loan is fully amortizing
and the tenant lease expiration is concurrent with the loan
maturity date in 2020. Moody's LTV and stressed DSCR are 20% and
greater than 4.00X, respectively.
CITIGROUP 2006-C4: Moody's Cuts Class D Debt Rating to Ca
---------------------------------------------------------
Moody's Investors Service has downgraded the rating on one class
and affirmed the ratings on four classes in Citigroup Commercial
Mortgage Trust 2006-C4:
Cl. B, Affirmed Baa1 (sf); previously on Jul 28, 2016 Upgraded to
Baa1 (sf)
Cl. C, Affirmed Ba2 (sf); previously on Jul 28, 2016 Upgraded to
Ba2 (sf)
Cl. D, Downgraded to Ca (sf); previously on Jul 28, 2016 Downgraded
to Caa2 (sf)
Cl. E, Affirmed C (sf); previously on Jul 28, 2016 Downgraded to C
(sf)
Cl. F, Affirmed C (sf); previously on Jul 28, 2016 Affirmed C (sf)
RATINGS RATIONALE
The rating on Class D was downgraded due to higher realized and
anticipated losses from specially serviced loans.
The rating on Class B and C were affirmed due to the transaction's
key metrics, including Moody's loan-to-value (LTV) ratio, Moody's
stressed debt service coverage ratio (DSCR) and the transaction's
Herfindahl Index (Herf), are within acceptable ranges. The ratings
on Classes E and F were affirmed due to Moody's expected loss.
Moody's rating action reflects a base expected loss of 42.1% of the
current balance, compared to 30.5% at Moody's last review. Moody's
base expected loss plus realized losses is now 8.7% of the original
pooled balance, compared to 8.3% at Moody's last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in these ratings were " Approach to Rating
US and Canadian Conduit/Fusion CMBS" published in December 2014,
and "Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in October 2015.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 66% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then applies the aggregate loss
from specially serviced loans to the most junior classes and the
recovery as a pay down of principal to the most senior classes.
DEAL PERFORMANCE
As of the June 16, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 96% to $92.5 million
from $2.263 billion at securitization. The certificates are
collateralized by 12 mortgage loans ranging in size from 4% to 32%
of the pool.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 5, compared to 7 at Moody's last review.
One loan, constituting 5% of the pool, is on the master servicer's
watchlist. The watchlist includes loans that meet certain portfolio
review guidelines established as part of the CRE Finance Council
(CREFC) monthly reporting package. As part of Moody's ongoing
monitoring of a transaction, the agency reviews the watchlist to
assess which loans have material issues that could affect
performance.
Twenty-seven loans have been liquidated from the pool, contributing
to an aggregate certificate realized loss of $158 million. Four
loans, constituting 66% of the pool, are currently in special
servicing. The largest specially serviced loan is the DuBois Mall
Loan ($29.8 million -- 32.3% of the pool), which is secured by an
enclosed mall and outparcels totaling 439,000 SF. The property is
located in Dubois, Pennsylvania, approximately 100 miles northeast
of Pittsburgh. The mall is anchored by Sears, JC Penney, Big Lots
and Ross Dress for Less. As of year-end 2016, the total property
was 89% leased compared to 92% in December 2015. The loan
transferred to special servicing in May 2016 for maturity default.
Negotiations with the borrower will be dual tracked with
foreclosure.
The remaining specially serviced loans are secured by retail and
office properties. Moody's estimates an aggregate $38 million loss
for the specially serviced loans (63% expected loss on average).
Moody's received full year 2016 operating results for 79% of the
pool. Moody's weighted average conduit LTV is 108%, compared to
103% at Moody's last review. Moody's conduit component excludes
loans with structured credit assessments, defeased and CTL loans,
and specially serviced and troubled loans. Moody's net cash flow
(NCF) reflects a weighted average haircut of 17% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.3%.
Moody's actual and stressed conduit DSCRs are 1.04X and 0.92X,
respectively, compared to 1.06X and 0.92X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 18% of the pool balance. The
largest loan is the Walgreen's -- Henderson, NV Loan ($6.90 million
-- 7.5% of the pool), which is secured by a 14,500 SF single tenant
retail building in Henderson, Nevada. The property is 100% leased
by Walgreens through April 2079. Moody's incorporated a lit/dark
analysis to account for the single tenant concentration. The loan
has amortized 13% since securitization and has an anticipated
repayment date (ARD) in January 2021. Moody's LTV and stressed DSCR
are 111% and 0.83X, respectively, compared to 108% and 0.85X at the
last review.
The second largest loan is the G4 Portfolio Loan ($4.99 million --
5.4% of the pool), which is secured by three single tenant retail
buildings located in Texas, Ohio and Michigan. Two properties are
100% leased by Advanced Auto Parts and the remaining property is
leased to United Supermarket. The loan has amortized 13% since
securitization and has an anticipated repayment date (ARD) in
February 2021. Moody's LTV and stressed DSCR are 121% and 0.87X,
respectively, compared to 101% and 0.94X at the last review.
The third largest loan is the Parker Marketplace Loan ($4.94
million -- 5.3% of the pool), which is secured by a single-story, 3
building retail center totaling 29,652 SF. The property is located
in Parker, CO approximately 25 miles south east of Denver. The
property is shadow anchored by a Safeway (not part of the
collateral) and consists of 16 tenants, ranging in size from 1,088
SF to 3,755 SF. The property was 100% leased as of March 2017 with
rents averaging 18.57 PSF. Moody's LTV and stressed DSCR are 105%
and 0.92X, respectively, compared to 105% and 0.90X at the last
review.
CITIGROUP 2015-P1: Fitch Affirms 'Bsf' Rating on Cl. F Certs
------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of Citigroup Commercial
Mortgage Trust (CGCMT) 2015-P1 Commercial Mortgage Pass-Through
Certificates.
KEY RATING DRIVERS
Stable Performance with No Material Changes: Overall pool
performance remains stable and generally in line with issuance
expectations. All loans are current as of the June 2017
distribution date.
The affirmations are the result of overall stable pool performance,
which reflects no material changes to pool metrics since issuance;
therefore, Fitch considered the original rating analysis in
affirming the transaction. As of the June 2017 distribution date,
the pool's aggregate principal balance has been reduced by 1% to
$1.085 billion from $1.096 billion at issuance.
Loans of Concern: Fitch has designated two Fitch Loans of Concern
(FLOCs; 9.7% of pool), including the second largest loan, Eden Roc
(8.8%), due to a decline in DSCR resulting from the disruption of
property cash flow caused by a significant renovation project. The
other FLOC outside of the top 15 is a loan (1%) secured by an
unanchored neighborhood retail center in Weston, FL that recently
lost a major tenant. According to servicer commentary as of June
2017, the borrower has secured a replacement tenant that is
expected to begin paying rent in August 2017.
Pool Concentrations: Loans secured by retail properties represent
24.1% of the pool, including three of the top 15 loans (14.1%). The
16th largest loan in the pool is secured by Alderwood Mall (2.1%),
a regional mall in Lynnwood, WA, which has exposure to Macy's and
JC Penney as non-collateral tenants. The Sears (non-collateral) at
Alderwood Mall closed in March 2017. Hotel properties represent
21.4% of the pool, which includes three of the top 15 loans
(18.3%). The top 10 loans comprise 60.8% of the pool, which is well
above the 2015 average of 49.3%.
Pool Amortization: The pool is scheduled to amortize by 10.7% of
the initial pool balance prior to maturity. Five loans (19.8%) are
full-term interest-only and 17 loans (47.9%) are partial
interest-only.
RATING SENSITIVITIES
Rating Outlooks for all classes remain Stable due to overall stable
pool performance and expected continued paydown. Future upgrades
may occur with improved pool performance and additional paydown or
defeasance. Downgrades, although not likely in the near term, may
be possible should overall 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 ratings:
-- $23.8 million class A-1 at 'AAAsf'; Outlook Stable;
-- $55.3 million class A-2 at 'AAAsf'; Outlook Stable;
-- $2.2 million class A-3 at 'AAAsf'; Outlook Stable;
-- $200 million class A-4 at 'AAAsf'; Outlook Stable;
-- $398.9 million class A-5 at 'AAAsf'; Outlook Stable;
-- $75.6 million class A-AB at AAAsf'; Outlook Stable;
-- $827 million X-A* at 'AAAsf'; Outlook Stable;
-- $58.9 million class X-B* at 'AA-sf'; Outlook Stable;
-- $71.2 million class A-S** at 'AAAsf'; Outlook Stable;
-- $58.9 million class B** at 'AA-sf'; Outlook Stable;
-- $182.2 million class PEZ** at 'A-sf'; Outlook Stable;
-- $52 million class C** at 'A-sf'; Outlook Stable;
-- $56.2 million class D at 'BBB-sf'; Outlook Stable;
-- $56.2 million class X-D* at 'BBB-sf'; Outlook Stable;
-- $23.3 million class E at 'BBsf'; Outlook Stable;
-- $11 million class F at 'Bsf'; Outlook Stable.
*Notional amount and interest-only.
**Class A-S, B and C certificates may be exchanged for class PEZ
certificates, and class PEZ certificates may be exchanged for class
A-S, B and C certificates. Fitch does not rate the class G
certificates.
CITIGROUP COMMERCIAL 2015-GC33: Fitch Affirms B- Rating on F Certs
------------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Citigroup Commercial
Mortgage Trust (CGCMT) 2015-GC33 commercial mortgage pass-through
certificates.
KEY RATING DRIVERS
Stable Performance: The affirmations reflect the continued stable
performance of the majority of the pool.
There are four Fitch Loans of Concern (LOCs, 13.5% of the pool),
including the second largest loan in the pool, the Hammons Hotel
Portfolio (10.3%). The three smaller LOCs have all suffered from
recent declines in debt service coverage, which Fitch will continue
to monitor.
Specially Serviced Loan: The Hammons Hotel Portfolio loan
transferred to special servicing in August 2016 due to the borrower
and parent company filing for Chapter 11 bankruptcy. The filing was
made in connection with litigation, which was ongoing at issuance,
related to a complex deal made in 2005 to reprivatize Hammons
Hotels. Limited recent performance information on the portfolio has
been provided. Per servicer reporting, the YE 2016 NOI DSCR was
2.25x compared to 2.14x for YE 2015. Further, per the TTM March
2017 STR reporting, the weighted average RevPAR Penetration for the
collateral properties was 116.8%.
Above-Average Pool Concentration: The largest 10 loans account for
54.6% of the pool by balance, which is greater than the average for
Fitch rated transactions of similar vintage.
Diverse Property Types: The pool has a diverse mix of property
types, with office as the largest at 26.7%, followed by retail at
22.7%, hotel at 22.6%, and multifamily at 13.5%. Three of the top
10 loans (23.7%) are office properties. Overall, the office
properties have a diverse mix of geographic locations, including
both CBD and suburban markets.
Limited Amortization: The pool is scheduled to amortize by 11.4% of
the initial pool balance prior to maturity, which is slightly below
the average for Fitch rated transactions of similar vintage. To
date, the pool has been paid down by only 0.8%. Five loans (13.5%),
including two of the top five loans in the pool, are full-term
interest only while an additional 38 loans (58.6%) are partial
interest only.
RATING SENSITIVITIES
Rating Outlooks for all classes remain Stable due to the overall
stable performance of the majority of the pool. Upgrades may occur
with improved pool performance and additional paydown or
defeasance. Downgrades to the classes are possible should overall
pool performance decline significantly.
Fitch has affirmed the following ratings:
-- $24.3 million class A-1 at 'AAAsf'; Outlook Stable;
-- $15.2 million class A-2 at 'AAAsf'; Outlook Stable;
-- $220 million class A-3 at 'AAAsf'; Outlook Stable;
-- $331.5 million class A-4 at 'AAAsf'; Outlook Stable;
-- $725 million class A-AB at 'AAAsf'; Outlook Stable;
-- $47.9 million** class A-S at 'AAAsf'; Outlook Stable;
-- $62.3 million** class B at 'AA-sf'; Outlook Stable;
-- $152.2 million** class PEZ at 'A-sf'; Outlook Stable;
-- $41.9 million** class C at 'A-sf'; Outlook Stable;
-- $56.3 million class D at 'BBB-sf'; Outlook Stable;
-- $24 million class E 'BB-sf'; Outlook Stable;
-- $9.6 million class F at 'B-sf'; Outlook St at able;
-- $711.4 million* class X-A at 'AAAsf'; Outlook Stable;
-- $56.3 million* class X-D at 'BBB-sf'; Outlook Stable.
*Notional amount and interest only.
**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.
Fitch does not rate the class G or H certificates. The rating on
class X-B was previously withdrawn.
COMM 2005-C6: Moody's Hikes Class F Certs Rating to B1
------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two classes
and affirmed the rating on one class in COMM 2005-C6 Commercial
Mortgage Pass-Through Certificates:
Cl. E, Upgraded to Aa3 (sf); previously on Jul 27, 2016 Upgraded to
A2 (sf)
Cl. F, Upgraded to B1 (sf); previously on Jul 27, 2016 Upgraded to
B3 (sf)
Cl. G, Affirmed C (sf); previously on Jul 27, 2016 Affirmed C (sf)
RATINGS RATIONALE
The ratings on two P&I classes were upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 14% since Moody's last
review.
The rating on one P&I class was affirmed because the rating is
consistent with Moody's expected loss.
Moody's rating action reflects a base expected loss of 12.9% of the
current balance, compared to 11.4% at Moody's last review. Moody's
base expected loss plus realized losses is now 5.0% of the original
pooled balance, compared to 4.9% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in October 2015.
DEAL PERFORMANCE
As of the June 10, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $53.5 million
from $2.27 billion at securitization. The certificates are
collateralized by eleven mortgage loans ranging in size from 1.4%
to 54% of the pool. Two loans, constituting 5% of the pool, have
defeased and are secured by US government securities.
One loan, constituting 1.4% of the pool, is on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Eighteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $107 million (for an average loss
severity of 49%). Five loans, constituting 30.5% of the pool, are
currently in special servicing. The largest specially serviced
exposure is the Petco Portfolio ($11.4 million --21.3% of the
pool), which is secured by four cross-collateralized,
cross-defaulted loans backed by retail properties located in Kansas
and Ohio. All four properties are single tenant, stand-alone
buildings, originally leased to Petco until October 2018. The loans
transferred to special servicing in August 2015 after they failed
to payoff by their June 2015 maturity date. The portfolio became
REO in December 2016.
The second largest specially serviced loan is the Saddlewood Center
loan ($4.9 million -- 9.2% of the pool), which is secured by a
retail center in Naperville, Illinois, located between the
Westfield Fox Valley Mall and Louis Joliet Mall, roughly 30 miles
west of the Chicago CBD. This loan transferred to the Special
Servicer in March 2015 for imminent default. As of December 2016,
the property was 57% occupied, compared to 90% as of December
2014.
Moody's estimates an aggregate $6.9 million loss for specially
serviced loans (42 % expected loss on average).
Moody's received full year 2015 operating results for 94% of the
pool, and full or partial year 2016 operating results for 100% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 61%, compared to 63% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 12% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.1%.
Moody's actual and stressed conduit DSCRs are 1.64X and 1.81X,
respectively, compared to 1.63X and 1.76X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 63% of the pool balance. The
largest loan is the MacArthur Portfolio Loan ($29 million -- 54.2%
of the pool), which is secured by seven condominium interests of
68,000 SF of ground level retail and second floor professional
office units located on the Upper East Side of Manhattan. The
tenant mix at the properties is comprised of local and national
retail businesses. As of December 2016, the properties were 83%
leased compared to 80% at the prior review. Moody's LTV and
stressed DSCR are 62% and 1.58X, respectively, compared to 64% and
1.53X at the last review.
The second largest loan is the Walgreens (Greenville) Loan ($2.7
million -- 5% of the pool), which is secured by a 15,000 SF single
tenant retail property occupied by Walgreens in Simpsonville, South
Carolina. The Walgreen's lease expires in 2030, which is
co-terminus with the loan maturity. Moody's LTV and stressed DSCR
are 97% and 1.00X, respectively, compared to 102% and 0.96X at the
last review.
The third largest loan is the 9701 Apollo Drive Loan ($2.0 million
-- 3.8% of the pool), which is secured by a 94,000 SF, four story,
class-A suburban office property located east of Washington D.C. in
Largo, Maryland. The location benefits from easy access to the
Capital Beltway, Metro Shuttle and bus. As of December 2016, the
property was 98% leased compared to 85% at the prior review.
Moody's LTV and stressed DSCR are 16% and 4.00X, respectively,
compared to 17% and 4.00X at the last review.
COMM 2015-CCRE24: Fitch Affirms B- Rating on Class F Certs
----------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Deutsche Bank Securities,
Inc.'s COMM Mortgage Trust, commercial mortgage pass-through
certificates, series 2015-CCRE24 (COMM 2015-CCRE24).
KEY RATING DRIVERS
Stable Performance with No Material Changes: Overall pool
performance has remained stable since issuance with minimal change
to credit enhancement. All of the loans are current as of the June
2017 distribution date, with no material changes to pool metrics.
As of the June 2017 distribution date, the pool's aggregate
principal balance has paid down by 1.5% to $1.37 billion from $1.39
billion at issuance. As property level performance is generally in
line with issuance expectations, the original rating analysis was
considered in affirming the transaction.
Loans of Concern: Fitch has designated two loans as Fitch Loans of
Concern (FLOC; 7.4% of current pool), which includes the second
largest loan, Eden Roc (7%), due to an expected decline in debt
service coverage ratio (DSCR) resulting from the disruption of
property cash flow caused by a significant renovation project. The
other FLOC outside of the top 15 (0.4%) is secured by an office
property in Englewood, CO that experienced a drop in occupancy due
to tenants vacating at lease expiration. Both of these loans are
currently on the servicer's watchlist.
Fitch Leverage in Line with 2014 and 2015 Averages: At issuance,
the pool's Fitch DSCR and loan-to-value (LTV) were 1.18x and
106.1%, respectively, which is in line with other similar vintage
Fitch-rated, fixed-rate multiborrower transactions. The 2014 and
2015 average Fitch DSCRs were 1.19x and 1.18x, respectively, and
the 2014 and 2015 average Fitch LTVs were 106.2% and 109.3%.
Above-Average Amortization: The pool was scheduled to amortize by
14.3% of the initial pool balance through maturity, which was
considered above average at issuance. The 2014 and 2015 averages
were 12% and 11.7%, respectively. There are 29 loans (41.1% of
current pool) with partial interest-only periods and 17 loans
(21.6%) that are full-term interest only. The remaining 34 loans
(37.3%) are amortizing balloon loans with loan terms of five to 10
years.
High Hotel Exposure: Approximately 19.8% of the current pool
balance, including three of the top 15 loans (13.4%), consists of
hotel properties. This represents a higher hotel exposure than the
respective 2014, 2015 and 2016 averages of 14.2%, 17% and 16%.
Pool Concentrations: The top 10 loans represent 50.6% of the
current pool and the top 15 loans comprise 61.5%.
Pari Passu and Additional Subordinate Debt: Five loans (28.1% of
current pool) are pari passu: Lakewood Center Mall (8.2%), Eden Roc
(7%), Heartland Industrial Portfolio (7%), 40 Wall Street (4.2%)
and La Gran Plaza (1.8%). In addition, two loans (10.6%) have
existing subordinate debt held outside the trust: Lakewood Center
(8.2%) has two B-notes totaling $170 million and McMullen Portfolio
(2.4%) has $4.28 million in mezzanine debt.
RATING SENSITIVITIES
Rating Outlooks for all classes remain Stable due to overall stable
performance of the pool and continued amortization. Upgrades may
occur with improved pool performance and additional paydown or
defeasance. Downgrades to the classes are possible should a
material asset-level or economic event adversely affect pool
performance.
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:
-- $48.8 million class A-1 at 'AAAsf'; Outlook Stable;
-- $14.8 million class A-2 at 'AAAsf'; Outlook Stable;
-- $108 million class A-SB at 'AAAsf'; Outlook Stable;
-- $8.4 million class A-3 at 'AAAsf'; Outlook Stable;
-- $300 million class A-4 at 'AAAsf'; Outlook Stable;
-- $470.5 million class A-5 at 'AAAsf'; Outlook Stable;
-- Interest-only class X-A at 'AAAsf'; Outlook Stable;
-- $85 million class A-M at 'AAAsf'; Outlook Stable;
-- $95.4 million class B at 'AA-sf'; Outlook Stable;
-- $62.5 million class C at 'A-sf'; Outlook Stable;
-- $71.1 million class D at 'BBB-sf'; Outlook Stable;
-- Interest-only class X-C 'BBB-sf'; Outlook Stable;
-- $31.2 million class E at 'BB-sf'; Outlook Stable;
-- $13.9 million class F at 'B-sf'; Outlook Stable.
Fitch does not rate the class G, H, X-E or X-F certificates. Fitch
previously withdrew the ratings on the class X-B and X-D
certificates.
COMM 2015-CCRE25: Fitch Affirms 'BB-sf' Rating on Class E Certs
---------------------------------------------------------------
Fitch Ratings has affirmed 12 classes of COMM 2015-CCRE25
Commercial Mortgage Trust commercial mortgage pass-through
certificates.
KEY RATING DRIVERS
Stable Performance: Overall pool performance remains stable from
issuance with minimal change to credit enhancement. All loans are
current and there have been no specially serviced loans since
issuance. As of the June 2017 distribution date, the pool's
aggregate principal balance has been reduced by 1.0% to $1.116
billion from $1.127 billion at issuance. Nine loans (12.7% of the
current balance) are currently on the servicer's watchlist with
only one (2.3%) considered a Fitch Loan of Concern.
High Retail and Hotel Exposure: Retail represents 30.1% of the pool
by balance, multifamily represents 19.6% and industrial represents
19.8%. However, 17.2% of the pool by balance, including two of the
top five loans (7.9%), consists of hotel properties, which is
higher than the averages for Fitch rated 2014 and 2015 vintages.
Average Amortization: The pool is scheduled to amortize by 12.8% of
the initial pool balance prior to maturity which is slightly higher
than the averages for Fitch-rated 2014 and 2015 vintage
transactions. Eight loans, representing 12.5% of the pool, are
full-term interest-only, and 33 loans, representing 53.8% of the
pool, are partial interest-only. The remainder of the pool consists
of 43 balloon loans representing 33.7% by balance.
Pari-Passu Debt and Additional Debt: Three loans in the pool are
pari passu: Heartland Industrial Portfolio (10.8% of pool),
Pearlridge Center (4.3% of pool) and Scottsdale Quarter (2.5% of
pool). Two loans in the pool (3.8%) have existing subordinate debt
held outside the trust.
RATING SENSITIVITIES
Rating Outlooks for all classes remain Stable due to overall stable
performance of the pool and continued amortization. Upgrades may
occur with improved pool performance and additional paydown or
defeasance. Downgrades to the classes are possible should a
material asset-level or economic event adversely affect pool
performance.
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 affirms the following classes:
-- $38.2 million class A-1 at 'AAAsf'; Outlook Stable;
-- $15.1 million class A-2 at 'AAAsf'; Outlook Stable;
-- $225 million class A-3 at 'AAAsf'; Outlook Stable;
-- $410.9 million class A-4 at 'AAAsf'; Outlook Stable;
-- $88.3 million class A-SB at 'AAAsf'; Outlook Stable;
-- $67.6 million class A-M at AAAsf'; Outlook Stable;
-- $69.1 million class B at 'AA-sf', Outlook Stable;
-- $50.7 million class C at 'A-sf', Outlook Stable;
-- $57.8 million class D at 'BBB-sf', Outlook Stable;
-- $29.6 million class E at 'BB-sf', Outlook Stable;
-- $845.2 million X-A* at 'AAAsf'; Outlook Stable;
-- $57.8 million X-C* at 'BBB-sf'; Outlook Stable.
*Notional amount and interest only
Fitch does not rate the class F and G certificates. Fitch
previously withdrew the rating on the interest-only class X-B
certificate.
COMM MORTGAGE 2015-CCRE26: Fitch Affirms BB- Rating on Cl. F Certs
------------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of Deutsche Bank Securities,
Inc.'s COMM Mortgage Trust 2015-CCRE26 commercial mortgage
pass-through certificates.
KEY RATING DRIVERS
Stable Performance with No Material Changes: Overall pool
performance remains stable and in line with issuance expectations.
Paydown and increases in credit enhancement have been limited since
issuance.
Below-Average Amortization: The pool is scheduled to amortize by
11.3% of the initial pool balance prior to maturity, slightly worse
than the 2014 and YTD at issuance 2015 averages of 12.0% and 12.4%,
respectively. Seven loans (15.9%) are full-term interest only and
22 loans (53.6%) are partial interest only. The remaining 31 loans
(30.5%) are amortizing balloon loans with terms of five to 10
years.
Office Concentration: Loans collateralized by office properties
comprise 39.7% of the pool, including five of the top 10 loans. The
pool's office concentration is greater than the 2014 and YTD at
issuance 2015 averages of 22.8% and 23.0%, respectively.
Low Mortgage Coupons: The pool's weighted average coupon is 4.5%,
which is below historical averages.
RATING SENSITIVITIES
Rating Outlooks for all classes remain Stable due to the overall
stable performance of the pool and continued amortization. Rating
upgrades may occur with improved pool performance and additional
paydown or defeasance. Rating 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:
-- $27.5 million class A-1 at 'AAAsf'; Outlook Stable;
-- $44.6 million class A-2 at 'AAAsf'; Outlook Stable;
-- $225 million class A-3 at 'AAAsf'; Outlook Stable;
-- $381.1 million class A-4 at 'AAAsf'; Outlook Stable;
-- $76.8 million class A-SB at 'AAAsf'; Outlook Stable;
-- $47.7 million class A-M at 'AAAsf'; Outlook Stable;
-- $802.7 million class X-A* at 'AAAsf'; Outlook Stable;
-- $61.4 million class X-C *at 'BBB-sf'; Outlook Stable;
-- $72.3 million class B at 'AA-sf'; Outlook Stable;
-- $54.5 million class C at 'A-sf'; Outlook Stable;
-- $61.4 million class D at 'BBB-sf'; Outlook Stable;
-- $15 million class E at 'BB+sf'; Outlook Stable;
-- $13.6 million class F at 'BB-sf'; Outlook Stable.
*Notional amount and interest only.
Fitch does not rate the class G, H, X-D, X-E and X-F certificates.
Ratings were withdrawn for class X-B.
CSMC TRUST 2017-HL1: DBRS Assigns BB(sf) Rating to Class B-4 Debt
-----------------------------------------------------------------
DBRS, Inc. on June 20 assigned provisional ratings to the Mortgage
Pass-Through Certificates, Series 2017-HL1 (the Certificates)
issued by CSMC 2017-HL1 Trust (the Trust) as follows:
-- $435.2 million Class A-1 at AAA (sf)
-- $435.2 million Class A-2 at AAA (sf)
-- $326.4 million Class A-3 at AAA (sf)
-- $326.4 million Class A-4 at AAA (sf)
-- $21.8 million Class A-5 at AAA (sf)
-- $21.8 million Class A-6 at AAA (sf)
-- $87.0 million Class A-7 at AAA (sf)
-- $87.0 million Class A-8 at AAA (sf)
-- $49.4 million Class A-9 at AAA (sf)
-- $49.4 million Class A-10 at AAA (sf)
-- $348.1 million Class A-11 at AAA (sf)
-- $108.8 million Class A-12 at AAA (sf)
-- $348.1 million Class A-13 at AAA (sf)
-- $108.8 million Class A-14 at AAA (sf)
-- $484.6 million Class A-IO1 at AAA (sf)
-- $435.2 million Class A-IO2 at AAA (sf)
-- $326.4 million Class A-IO3 at AAA (sf)
-- $21.8 million Class A-IO4 at AAA (sf)
-- $87.0 million Class A-IO5 at AAA (sf)
-- $49.4 million Class A-IO6 at AAA (sf)
-- $7.9 million Class B-1 at AA (sf)
-- $9.0 million Class B-2 at A (sf)
-- $5.1 million Class B-3 at BBB (sf)
-- $2.3 million Class B-4 at BB (sf)
The AAA (sf) ratings on the Certificates reflect the 5.35% of
credit enhancement provided by subordinated Certificates in the
pool. The AA (sf), A (sf), BBB (sf), and BB (sf) ratings reflect
3.80%, 2.05%, 1.05% and 0.60% 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 first-lien,
fixed-rate, prime residential mortgages. The Certificates are
backed by 850 loans with a total principal balance of $511,975,049
as of the Cut-off Date.
The mortgage loans were originated by Finance of America Mortgage
LLC (9.0%), Stearns Lending, LLC (6.4%), American Pacific Mortgage
Corporation (5.3%), Cornerstone Home Lending, Inc. (5.2%) and
various other originators, each comprising no more than 10.0% of
the pool by principal balance. As the aggregator, American
International Group, Inc. (AIG) purchased and underwrote the
mortgage loans to its acquisition guidelines.
Cenlar FSB will service 100% of the mortgage loans, directly or
through subservicers. Wells Fargo Bank, N.A. will act as the Master
Servicer and Securities Administrator. Wilmington Savings Fund
Society, FSB, doing business as Christiana Trust will serve as
Trustee. AIG Home Loan 5, LLC and AIG Home Loan 1, LLC are the
Sponsors, Sellers and Servicing Administrators for this
transaction.
For any mortgage loan that becomes 90 days or more delinquent, the
Servicing Administrators have the option to purchase any such loan
from the trust at a price equal to 100% of the unpaid principal
balance of such mortgage loan, plus accrued interest.
The transaction employs a senior-subordinate shifting-interest cash
flow structure that is enhanced from a pre-crisis structure.
The ratings reflect transactional strengths that include
high-quality underlying assets, well-qualified borrowers and
satisfactory third-party due diligence review.
DENALI CAPITAL VII: Moody's Hikes Cl. B-2L Notes Rating to Ba1
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Denali Capital CLO VII, Ltd.:
US$41,000,000 Class A-3L Floating Rate Notes Due January 2022,
Upgraded to Aaa (sf); previously on February 15, 2017 Upgraded to
Aa1 (sf)
US$22,500,000 Class B-1L Floating Rate Notes Due January 2022,
Upgraded to A1 (sf); previously on February 15, 2017 Upgraded to
Baa1 (sf)
US$18,000,000 Class B-2L Floating Rate Notes Due January 2022,
Upgraded to Ba1 (sf); previously on February 15, 2017 Affirmed Ba2
(sf)
Moody's also affirmed the ratings on the following notes:
US$150,000,000 Class A-1LR Variable Funding Notes Due January 2022
(current outstanding balance of $14,196,714), Affirmed Aaa (sf);
previously on February 15, 2017 Affirmed Aaa (sf)
US$482,000,000 Class A-1L Floating Rate Notes Due January 2022
(current outstanding balance of $45,618,773), Affirmed Aaa (sf);
previously on February 15, 2017 Affirmed Aaa (sf)
US$42,000,000 Class A-2L Floating Rate Notes Due January 2022,
Affirmed Aaa (sf); previously on February 15, 2017 Affirmed Aaa
(sf)
Denali Capital CLO VII, Ltd., issued in May 2007, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans. The transaction's reinvestment period ended
in July 2014.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since February 2017. The Class
A-1 notes have been paid down by approximately 52.7% or $66.8
million since then. Based on the trustee's May 2017 report, the OC
ratios for the Class A-2L, Class A-3L, Class B-1L and Class B-2L
notes are reported at 201.9%, 143.9%, 124.4% and 112.1%,
respectively, versus February 2017 levels of 163.5%, 131.5%, 118.8%
and 110.2%, respectively.
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.
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% (2606)
Class A-1LR: 0
Class A-1L: 0
Class A-2L: 0
Class A-3L: 0
Class B-1L: +2
Class B-2L: +1
Moody's Adjusted WARF + 20% (3910)
Class A-1LR: 0
Class A-1L: 0
Class A-2L: 0
Class A-3L: 0
Class B-1L: -2
Class B-2L: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analyzed the collateral pool as having a performing par and
principal proceeds balance of $205.6 million, defaulted par of $0.7
million, a weighted average default probability of 20.15% (implying
a WARF of 3258), a weighted average recovery rate upon default of
50.25%, a diversity score of 36 and a weighted average spread of
3.67% (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.
GE COMMERCIAL 2005-C1: DBRS Cuts Class E Debt Rating to CCC
-----------------------------------------------------------
DBRS Limited June 22, 2017, downgraded one class of Commercial
Pass-Through Certificates, Series 2005-C1 issued by GE Commercial
Mortgage Corporation, Series 2005-C1 as follows:
-- Class E to CCC (sf) from BB (sf)
DBRS has also confirmed the ratings on the following classes:
-- Class D at A (low) (sf)
-- Class F at C (sf)
-- Class G at C (sf)
Class D has a Stable trend while Classes E, F and G have ratings
which do not carry trends. Classes E, F and G also have the
Interest in Arrears designation.
The rating downgrade on Class E reflects the increased expected
losses to the trust regarding the ultimate resolution of the
Lakeside Mall loan, which currently represents 89.3% of the current
pool balance and is in special servicing. The property has
experienced downward-trending net operating income, tenant sales
and tenancy for several years. As a result, the value of the
property has declined significantly since issuance, which is
expected to negatively affect the remaining bonds in the
transaction. As of the June 2017 remittance, the pool has
experienced a collateral reduction of 95.5% with two of the
original 127 loans outstanding and a current trust balance of $75.9
million. The Versatile Warehouse loan represents the remaining
10.7% of the pool balance and is scheduled to mature in February
2020.
The rating assigned to Class D materially deviates from the higher
rating implied by the quantitative results. DBRS considers a
material deviation to be a rating differential of three or more
notches between the assigned rating and the rating implied by the
quantitative results that is a substantial component of a rating
methodology. The deviations are warranted because of uncertain
loan-level event risk.
GREENWICH CAPITAL 2005-GG3: Moody's Affirms C Rating on 2 Classes
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on four classes
in Greenwich Capital Commercial Funding Corp., 2005-GG3, Commercial
Mortgage Pass-Through Certificates, Series 2005-GG3:
Cl. E, Affirmed B1 (sf); previously on Jul 7, 2016 Upgraded to B1
(sf)
Cl. F, Affirmed Caa2 (sf); previously on Jul 7, 2016 Affirmed Caa2
(sf)
Cl. G, Affirmed C (sf); previously on Jul 7, 2016 Downgraded to C
(sf)
Cl. XC, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The rating on the P&I class, Class E, was affirmed because the
ratings are consistent with expected recovery of principal from
specially and troubled loans.
The ratings on two P&I classes, classes F and G, were affirmed
because the ratings are consistent with Moody's expected loss plus
realized losses. Class G has already experienced a 38% realized
loss as result of previously liquidated loans.
The rating on the IO class was affirmed based on the credit quality
of the referenced classes.
Moody's rating action reflects a base expected loss of 30.4% of the
current balance, compared to 30.3% at Moody's last review. Moody's
base expected loss plus realized losses is now 5.6% of the original
pooled balance, the same as at the last review. Moody's provides a
current list of base expected losses for conduit and fusion CMBS
transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in October 2015.
Additionally, the methodology used in rating Cl. XC was "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 14.5% of the pool is in
special servicing and Moody's has identified additional troubled
loans representing 67.9% of the pool. In this approach, Moody's
determines a probability of default for each specially serviced and
troubled loan that it expects will generate a loss and estimates a
loss given default based on a review of broker's opinions of value
(if available), other information from the special servicer,
available market data and Moody's internal data. The loss given
default for each loan also takes into consideration repayment of
servicer advances to date, estimated future advances and closing
costs. Translating the probability of default and loss given
default into an expected loss estimate, Moody's then applies the
aggregate loss from specially serviced and troubled loans to the
most junior classes and the recovery as a pay down of principal to
the most senior classes.
DEAL PERFORMANCE
As of the June 12, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 97.6% to $86.3
million from $3.6 billion at securitization. The certificates are
collateralized by 5 mortgage loans ranging in size from less than
1% to 67.9% of the pool.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 2, the same as at Moody's last review.
One loans, constituting 67.9% of the pool, is on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Thirty-eight loans have been liquidated from the pool, resulting in
an aggregate realized loss of $175.3 million (for an average loss
severity of 36.8%). One loan, constituting 14.5% of the pool, is
currently in special servicing. The specially serviced loan is the
Magnolia Village loan ($12.5 million -- 14.5% of the pool), which
is secured by a mixed use project comprised of a three-story, Class
A, 54,124 square feet (SF) office building, 9,880 square feet (SF)
of retail/garden office space and a 5,896 square foot (SF)
restaurant building that includes 2,080 square feet (SF) of
finished basement. The collateral is located in Reno, Nevada
approximately 3.5 miles from the Reno Tahoe International Airport.
The Borrower filed bankruptcy on June 16, 2011 but continues to
remit net cash flow on a monthly basis pursuant to a cash
collateral order. The property remains in good condition and as per
the March 2017 rent roll is currently 100% occupied, an increase
from the yearend 2014 occupancy of 92%. The servicer has recognized
an $8.4 million appraisal reduction for this loan.
As of the June 12, 2017 remittance statement cumulative interest
shortfalls were $23.2 million. Moody's anticipates interest
shortfalls will continue because of the exposure to specially
serviced loans and/or modified loans. Interest shortfalls are
caused by special servicing fees, including workout and liquidation
fees, appraisal entitlement reductions (ASERs), loan modifications
and extraordinary trust expenses.
Moody's received full year 2015 operating results for 75% of the
pool, and full or partial year 2016 operating results for 75% of
the pool (excluding specially serviced and defeased loans). Moody's
value reflects a weighted average capitalization rate of 10.43%.
The top two conduit loans represent 83.4% of the pool balance. The
largest loan is the Doral Arrowwood Hotel Loan ($58.6 million --
67.9% of the pool), which is secured by a 374-key resort hotel and
golf course in Rye Brook, New York, approximately 25 miles north of
New York City. The loan returned to the master servicer from
special servicing in April 2016 after being modified. The
modification included, among other items: (a) loan term increased
by 36 months to a February 2018 maturity date, (b) conversion to
interest-only payments and (c) an interest rate reduction from 6.0%
to 2.0% through September 2016 and then 3.00% for the remaining
term. Performance has declined due to decreased ADR as a result of
Pfizer decreasing their presence at the hotel. Pfizer had a
long-term contract with the property and was contracted at a
significantly higher room rate. The December 2016 year-end
occupancy, ADR and RevPar at the property were 53.9%, $147.82 and
$78.15. As of April 2015, the property was appraised for $40
million. Moody's has estimated a moderate loss from this troubled
loan.
The second largest loan is the FAA Building Loan ($13.4 million --
15.5% of the pool), which is secured by a 244,000 square foot (SF)
office building located in Des Plaines, Illinois. The property is
one of five buildings in the O'Hare Lake Office Park, located five
minutes from the Chicago O'Hare International Airport terminals. As
per the December 2016 rent roll the property was 91% leased,
compared to 92% leased as of December 2015. The General Services
Administration leases 85% of the space with the lease expiration in
October 2020. Moody's analysis is based on a lit/dark analysis due
to concerns about the property's large exposure to a single tenant.
The loan is fully amortizing and has amortized 47.7% since
securitization. Performance has been stable. Moody's LTV and
stressed DSCR are 67.4% and 1.56X, respectively, compared to 46.8%
and 2.25X at the last review.
GS MORTGAGE 2012-GCJ9: Moody's Affirms B2 Rating on Cl. F Debt
--------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on eleven
classes in GS Mortgage Securities Trust 2012-GCJ9:
Cl. A-2, Affirmed Aaa (sf); previously on Jul 14, 2016 Affirmed Aaa
(sf)
Cl. A-3, Affirmed Aaa (sf); previously on Jul 14, 2016 Affirmed Aaa
(sf)
Cl. A-AB, Affirmed Aaa (sf); previously on Jul 14, 2016 Affirmed
Aaa (sf)
Cl. A-S, Affirmed Aaa (sf); previously on Jul 14, 2016 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa3 (sf); previously on Jul 14, 2016 Affirmed Aa3
(sf)
Cl. C, Affirmed A3 (sf); previously on Jul 14, 2016 Affirmed A3
(sf)
Cl. D, Affirmed Baa3 (sf); previously on Jul 14, 2016 Affirmed Baa3
(sf)
Cl. E, Affirmed Ba2 (sf); previously on Jul 14, 2016 Affirmed Ba2
(sf)
Cl. F, Affirmed B2 (sf); previously on Jul 14, 2016 Affirmed B2
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on Jul 14, 2016 Affirmed Aaa
(sf)
Cl. X-B, Affirmed B1 (sf); previously on Jun 9, 2017 Downgraded to
B1 (sf)
RATINGS RATIONALE
The ratings on the P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on the IO classes were affirmed based on the credit
quality of the referenced classes.
Moody's rating action reflects a base expected loss of 4.1% of the
current balance, compared to 3.9% at Moody's last review. Moody's
base expected loss plus realized losses is now 3.6% of the original
pooled balance, compared to 3.7% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in these ratings were "Approach to Rating US
and Canadian Conduit/Fusion CMBS" published in December 2014, and
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in October 2015.
Additionally, the methodology used in rating Cl. X-A and Cl. X-B
was "Moody's Approach to Rating Structured Finance Interest-Only
(IO) Securities" published in June 2017.
DEAL PERFORMANCE
As of the June 10th, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 12% to $1.22 billion
from $1.39 billion at securitization. The certificates are
collateralized by 70 mortgage loans ranging in size from less than
1% to 12% of the pool, with the top ten loans (excluding
defeasance) constituting 59% of the pool. Nine loans, constituting
4.5% of the pool, have defeased and are secured by US government
securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 19, compared to 23 at Moody's last review.
Seventeen loans, constituting 37% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
No loans have been liquidated from the pool. Two loans,
constituting 0.8% of the pool, are currently in special servicing.
The larger specially serviced loan is the 40 Hart Street loan ($7.7
million -- 0.6% of the pool), which is secured by a 54,072 SF
medical office built in 1966 and is located in New Britain,
Connecticut. Loan transferred to Special Servicing in June 2015 as
a result of an Imminent Monetary Default letter written by the
Borrower. The largest tenant in the building has vacated to a
medica office building located directly across the street. As of
December 2016, the property was 14% occupied, compared to 83% as of
December 2014 and 89% as of December 2013. The other specially
serviced loan is the Sumter Crossing SC ($2.6 million -- 0.2% of
the pool), which is secured by a 52,079 SF retail property built in
2001 and is located in Wildwood, Florida.
Moody's estimates an aggregate $8.8 million loss for specially
serviced loans (86 % expected loss on average).
Moody's has assumed a high default probability for one poorly
performing loan, constituting 0.6% of the pool, and has estimated a
moderate loss from the troubled loan.
Moody's received full or partial year 2016 operating results for
100% of the pool, and partial year 2017 operating results for 35%
of the pool (excluding specially serviced and defeased loans).
Moody's weighted average conduit LTV is 93%, compared to 92% at
Moody's last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of xx% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.5%.
Moody's actual and stressed conduit DSCRs are 1.68X and 1.15X,
respectively, compared to 1.70X and 1.16X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 29% of the pool balance. The
largest loan is the Bristol Portfolio Loan ($139.9 million -- 11.5%
of the pool), The loan is secured by two multifamily properties
located at 200 East 65th Street and 336 East 71st Street in New
York City. The property on 200 East 65th Street, also known as
Bristol Plaza, contains 297 residential condominiums and a
commercial space, of which 173 condominium units and the commercial
space serve as collateral for the loan. The property at 336 East
71st Street is a 30-unit apartment building built in 1910. As of
December 31st 2016 the overall portfolio occupancy is 81.5%. Some
units were undergoing renovations and are expected to be available
in July of 2017. Moody's current LTV and stressed DSCR are 82% and
1.04X, respectively, unchanged from at last review.
The second largest loan is the Pinnacle I Loan ($129 million --
10.6% of the pool). The loan is secured by a six-story Class A
office building that includes a four-level sub-grade parking garage
located in Burbank, California. The largest tenants include iHeart
Communications, Twentieth Television, and Warner Music Group. As of
March 2017, the property was 100% leased. Moody's current LTV and
stressed DSCR are 113% and 0.91X, respectively, unchanged from at
last review.
The third largest loan is the Cooper Hotel Portfolio Loan ($87
million -- 7.1% of the pool). The loan is secured by nine
full-service and two limited-service hotels containing a total of
2,128 rooms, located in Florida, Michigan, and Tennessee. Ten of
the hotels operate under the Hilton Worldwide brand and one
operates under the InterContinental Crowne Plaza flag. Moody's
current LTV and stressed DSCR are 78% and 1.51X respectively,
compared to 80% and 1.48X at last review.
GSAA HOME 2005-9: S&P Raises Cl. M-1 Debt Rating to B+
------------------------------------------------------
S&P Global Ratings corrected its ratings on classes M-1, M-5, and
M-6 from GSAA Home Equity Trust 2005-9, a U.S. residential
mortgage-backed securities (RMBS) transaction that closed in 2005,
by raising them. These corrections are due to a change in the cash
flow allocation data provided to us by Intex Solutions Inc.
While the internal model S&P uses in determining its ratings on
U.S. RMBS transactions typically applies S&P's criteria
assumptions, Intex, in many cases, provides the collateral
composition and structural modeling used as inputs in S&P's
analysis. Therefore, S&P's ratings analysis depends in part on the
accuracy of the modeling and data provided by Intex.
Classes M-1, M-5, and M-6 experienced interest shortfalls during
the May 2014 remittance period. On May 18, 2015, S&P lowered its
rating on class M-1. S&P's downgrades reflected its expectation
that, based on Intex's cash flow allocation data, these interest
shortfalls would not be reimbursed. S&P subsequently determined
that Intex was not applying the cash flow allocation set forth in
the transaction documents. After S&P informed Intex of this error,
Intex corrected its cash flow allocation data to reflect the cash
flow allocation set forth in the transaction documents. Based on
S&P's updated cash flow results and its current view of these
classes' credit risk, S&P has raised its ratings on classes M-1,
M-5, and M-6.
RATINGS RAISED
GSAA Home Equity Trust 2005-9
Series 2005-9
Rating
Class CUSIP To From
M-1 362341GM5 B+ (sf) CCC (sf)
M-5 362341HS1 CC (sf) D (sf)
M-6 362341HT9 CC (sf) D (sf)
IMT TRUST 2017-APTS: S&P Assigns Prelim. B- Rating on 2 Tranches
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to IMT Trust
2017-APTS' $536.0 million commercial mortgage pass-through
certificates.
The certificate issuance is a commercial mortgage-backed securities
transaction backed by one $536.0 million commercial mortgage loan
split into two pari passu components: a $268.0 million
floating-rate component with an initial term of two years and a
fully extended maturity of five years, and a $268.0 million
seven-year fixed-rate component. This loan is secured by the
cross-collateralized and cross-defaulted first liens on the
borrowers' fee simple interests in 11 multifamily properties
located in Texas, Florida, and California.
The preliminary ratings are based on information as of June 23,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of the collateral's
historical and projected performance, the sponsor's and managers'
experience, the trustee-provided liquidity, the loan's terms, and
the transaction's structure.
PRELIMINARY RATINGS ASSIGNED
IMT Trust 2017-APTS
Class Rating(i) Amount ($)
A-FL AAA (sf) 117,540,000
XFL-CP(iii) BBB- (sf) 205,315,000(ii)
XFL-NCP(iii) BBB- (sf) 205,315,000 (ii)
B-FL AA- (sf) 41,728,000
C-FL A- (sf) 22,752,500
D-FL BBB- (sf) 23,294,500
E-FL BB- (sf) 27,086,000
F-FL B- (sf) 19,249,000
A-FX AAA (sf) 117,540,000
XFX-A(iii) AAA (sf) 117,540,000(ii)
XFX-B(iii) A- (sf) 64,480,500(ii)
B-FX AA- (sf) 41,728,000
C-FX A- (sf) 22,752,500
D-FX BBB- (sf) 23,294,500
E-FX BB- (sf) 27,086,000
F-FX B- (sf) 19,249,000
HRR(iv) NR 32,700,000
(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 XFL-CP and
XFL-NCP certificates will be reduced by the aggregate amount of
principal distributions and realized losses allocated to the class
A-FL, B-FL, C-FL, and D-FL certificates; the notional amount of the
class XFX-A certificates will be reduced by the aggregate amount of
principal distributions and realized losses allocated to the class
A-FX certificates; and the notional amount of the class XFX-B
certificates will be reduced by the aggregate amount of principal
distributions and realized losses allocated to the class B-FX and
C-FX certificates.
(iii) Interest only.
(iv) Non-offered eligible horizontal interest.
NR--Not rated.
JPMCC COMMERCIAL 2017-JP6: DBRS Finalizes B Rating on G-RR Debt
---------------------------------------------------------------
DBRS, Inc. finalized the provisional ratings on the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2017-JP6, issued by the JPMCC Commercial Mortgage Securities Trust
2017-JP6:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-SB 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 D at A (sf)
-- Class E-RR at BBB (sf)
-- Class F-RR at BB (sf)
-- Class G-RR at B (high) (sf)
All trends are Stable.
Classes D, E-RR, F-RR, G-RR and NR-RR have been privately placed.
The Class X-A and X-B balances are notional.
The collateral consists of 42 fixed-rate loans secured by 72
commercial and multifamily properties. The transaction is a
sequential-pay, pass-through structure. The conduit pool was
analyzed to determine the ratings, reflecting the long-term
probability of loan default within the term and its liquidity at
maturity. When the cut-off loan balances were measured against the
DBRS Stabilized net cash flow (NCF) and their respective actual
constants, two loans, representing 6.8% 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 15 loans, representing 50.8%
of the pool, having refinance DSCRs below 1.00x.
Term default risk is low, as indicated by a relatively strong DBRS
Term DSCR of 1.63x. In addition, 20 loans, representing 57.0% of
the pool, have DBRS Term DSCRs in excess of 1.50x, including eight
of the top 15 loans. Even with the exclusion of 211 Main Street,
which represents 8.3% of the pool with a DBRS Term DSCR of 2.21x,
the deal continues to exhibit a moderate DBRS Term DSCR of 1.58x.
The two largest loans, 245 Park Avenue and 211 Main Street, which
comprise 25.4% of the DBRS sample, have Strong sponsorship.
Furthermore, DBRS only identified two loans, which combined
represent just 2.5% of the DBRS sample, that have sponsorship
and/or loan collateral associated with a voluntary bankruptcy
filing, a prior DPO, a loan default, limited net worth and/or
liquidity, a historical negative credit event and/or inadequate
commercial real estate experience. Four loans, representing 28.4%
of the pool, are located in urban markets with increased liquidity
that benefit from consistent investor demand, even in times of
stress. Of these, three loans, totaling 25.8% of the transaction
balance, are considered to be located in Super Dense Urban markets,
which DBRS defines as gateway locations with extremely high
liquidity and low cap rates. Urban markets represented in the deal
include New York, San Francisco and Sunnyvale, California. Only
four loans, comprising 5.7% of the pool, are secured by collateral
located in tertiary markets, and no properties are located in rural
markets.
The transaction's weighted-average DBRS Refi DSCR is 1.01x,
indicating higher refinance risk on an overall pool level, and the
transaction has a high concentration of loans suffering from
elevated refinance risk. Fifteen loans, representing 50.8% of the
pool, have DBRS Refi DSCRs less than 1.00x. Eight loans,
representing 35.9% of the pool, have a DBRS Refi DSCR less than
0.90x. The pool has a high concentration of properties that are
secured by office assets, with office assets representing 52.7% of
the pool. Furthermore, the transaction has a moderate concentration
of loans (23.4% of the pool) that are secured by assets either
fully or primarily used as retail. 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 e-commerce. According to the U.S.
Census Bureau, e-commerce sales represented 7.0% of total retail
sales in 2015 compared with 3.9% in 2009. As the e-commerce share
of sales is expected to continue to grow significantly in the
coming years, the retail real estate sector may continue to be
relatively weak. Six loans, representing 23.2% of the pool, are
secured by properties that are either fully or primarily leased to
a single tenant, and four of these loans are in the top 15. 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 assumed a higher loss profile for the loans secured by
single-tenant assets than it did for the loans secured by
multi-tenant assets.
The DBRS sample included 27 of the 42 loans in the pool. Site
inspections were performed on 38 of the 72 properties in the
portfolio (75.5% of the pool by allocated loan balance). The DBRS
sample had an average NCF variance of -10.2% from the Issuer's NCF
and ranged from -26.1% (Diamond Hill Apartments) to +1.7% (211 Main
Street).
The rating assigned to Class G-RR differs from the higher rating
implied by the Large Pool Multi-borrower Parameters. DBRS considers
this difference to be a material deviation from the methodology
and, in this case, the ratings reflect the dispersion of loan-level
cash flows expected to occur post-issuance.
KINGSLAND V: Moody's Affirms B1(sf) Rating on Class E Notes
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Kingsland V, Ltd.:
US$25,000,000 Class C Senior Secured Deferrable Floating Rate Notes
Due 2021, Upgraded to Aaa (sf); previously on January 13, 2017
Upgraded to Aa3 (sf)
US$15,330,000 Composite Notes Due 2021 (current rated balance of
$11,315,884.71), Upgraded to Baa1 (sf); previously on January 13,
2017 Affirmed Baa2 (sf)
Moody's also affirmed the ratings on the following notes:
U.S. $295,975,000 Class A-1 Senior Secured Floating Rate Notes Due
2021 (current balance of $56,821,619.93), Affirmed Aaa (sf);
previously on January 13, 2017 Affirmed Aaa (sf)
U.S. $60,000,000 Class A-2R Senior Secured Revolving Floating Rate
Notes Due 2021 (current balance of $1,721,640.22), Affirmed Aaa
(sf); previously on January 13, 2017 Affirmed Aaa (sf)
U.S. $12,125,000 Class A-2B Senior Secured Floating Rate Notes Due
2021, Affirmed Aaa (sf); previously on January 13, 2017 Affirmed
Aaa (sf)
US$22,900,000 Class B Senior Secured Floating Rate Notes Due 2021,
Affirmed Aaa (sf); previously on January 13, 2017 Affirmed Aaa
(sf)
US$13,000,000 Class D-1 Senior Secured Deferrable Floating Rate
Notes Due 2021, Affirmed Baa3 (sf); previously on January 13, 2017
Affirmed Baa3 (sf)
US$5,000,000 Class D-2 Senior Secured Deferrable Fixed Rate Notes
Due 2021, Affirmed Baa3 (sf); previously on January 13, 2017
Affirmed Baa3 (sf)
US$14,900,000 Class E Secured Deferrable Floating Rate Notes Due
2021, Affirmed B1 (sf); previously on January 13, 2017 Affirmed B1
(sf)
Kingsland V, Ltd., issued in May 2007, is a collateralized loan
obligation (CLO) backed primarily by a portfolio of senior secured
loans. The transaction's reinvestment period ended in July 2014.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since January 2017. The Class
A-1 notes have been paid down by approximately 40.7%, or $39.0
million, and the Class A-2R notes have been paid down by
approximately 84.7%, or $9.5 million since that time. Based on the
trustee's May 2017 report, the OC ratios for the Class A/B, Class
C, Class D and Class E notes are reported at 182.1%, 143.7%, 124.7%
and 112.5%, respectively, versus January 2017 levels of 155.6%,
132.3%, 119.4% and 110.5%, respectively. In addition, the deal is
currently holding approximately $21 million of cash in the
principal proceeds account, which is expected to be used to pay
down the Class A notes on the upcoming July 2017 payment date.
Nevertheless, based on Moody's calculation, assets that mature
after the notes do (long-dated assets) currently has increased to
approximately 46.6% or $69.5 million of the portfolio , compared to
28.7% or $57.4 million in January 2017. These investments could
expose the notes to market risk in the event of liquidation when
the notes mature. Despite the increase in the OC ratios of the
Class D-1, D-2 and E notes, Moody's affirmed their ratings owing to
market risk stemming from the exposure to these long-dated assets.
The rating actions also reflect the correction of prior input
errors. In modelling used in the January 2017 rating action,
Moody's used an incorrect date for long dated fixed assets, and
failed to incorporate the final maturity date for an interest rate
cap. These errors have been corrected, and rating actions reflect
the correct modelling.
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 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) Combination notes: The rating(s) on the combination notes, which
combine(s) cash flows from one or more of the CLO's debt tranches
and the equity tranche, is(are) subject to a higher degree of
volatility than the other rated notes. Moody's models haircuts to
the cash flows from the equity tranche based on the target rating
of the combination notes. Actual equity distributions that differ
significantly from Moody's assumptions can lead to a faster (or
slower) speed of reduction in the combination notes' rated balance,
thereby resulting in better (or worse) ratings performance than
previously expected.
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 $4.1 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% (2354)
Class A-1: 0
Class A-2R: 0
Class A-2B: 0
Class B: 0
Class C: 0
Class D-1: +2
Class D-2: +2
Class E: +1
Composite Notes: +1
Moody's Adjusted WARF + 20% (3531)
Class A-1: 0
Class A-2R: 0
Class A-2B: 0
Class B: 0
Class C: -1
Class D-1: -1
Class D-2: -1
Class E: 0
Composite Notes: -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 $170.1million, defaulted par of $9.4
million, a weighted average default probability of 18.90% (implying
a WARF of 2943), a weighted average recovery rate upon default of
49.14%, a diversity score of 31 and a weighted average spread of
3.21% (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.
LONG BEACH 2005-1: Moody's Hikes Class M-4 Debt Rating to B3
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 3 tranches
from 3 transactions issued by Long Beach, backed by subprime
mortgage loans.
Complete rating actions are:
Issuer: Long Beach Mortgage Loan Trust 2005-1
Cl. M-4, Upgraded to B3 (sf); previously on Dec 12, 2016 Upgraded
to Caa2 (sf)
Issuer: Long Beach Mortgage Loan Trust 2006-WL2
Cl. II-A3, Upgraded to Aaa (sf); previously on May 8, 2013 Upgraded
to Baa2 (sf)
Issuer: Long Beach Mortgage Loan Trust 2006-WL3
Cl. II-A3, Upgraded to Aaa (sf); previously on Oct 9, 2013 Upgraded
to Baa1 (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 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.
MERRILL LYNCH 2007-C1: Fitch Cuts Class B Debt Rating to Dsf
------------------------------------------------------------
Fitch Ratings has downgraded two and affirmed 15 classes of Merrill
Lynch Mortgage Trust commercial mortgage pass-through certificates,
series 2007-C1 (MLMT 2007-C1).
KEY RATING DRIVERS
High Loss Expectations: The downgrade of class A-1A reflects the
high loss expectation of the remaining pool along with uncertainty
around the ultimate resolution of the Empirian Multifamily
Portfolios and other large specially serviced assets in the pool.
Fitch modeled losses of 41.60% on the remaining pool; expected
losses on the original pool balance total 23.3%, including $390.9
million (9.7% of the original pool balance) in realized losses to
date. Expected losses on the original pool balance have increased
from 22% at the last rating action due to higher losses expected on
the specially serviced loans/assets.
Specially Serviced Assets; Fitch Loans of Concern: There are 19
loans/assets in special servicing, representing 54% of the pool,
seven of which are real estate owned (REO) or in foreclosure
(7.3%). There are 27 loans (63%) that are Fitch Loans of Concern,
including the Empirian Portfolios (40.1%).
Loan Maturities: All of the remaining performing loans have
maturity dates in July and August 2017. The Empirian Portfolios had
a maturity date of June 8, 2017 but recently exercised the first of
two one-year options to extend the term of the loan.
Defeasance: Three assets representing 3.9% of the pool are
currently defeased, including two within the top 20.
Loan Concentrations: The largest assets, Empirian Multifamily
Portfolios Pool 1 and 2, both of which are in special servicing,
comprise 40.1% of the current pool, and remain the largest
contributors to Fitch-modeled losses for the pool. Of the original
267 loans, 56 remain.
The largest two contributors to expected losses are the
specially-serviced Empirian Multifamily Portfolio Pool 1 (22.1% of
the pool) and Pool 3 (18.1%) loans. Both loans remain with the
special servicer after being transferred for a second time in March
2016 due to Imminent Monetary Default due to concerns over cash
flow, required capital expenditures, and value of the underlying
collateral. The loans had previously been returned back to the
master servicer in February 2013 after being modified. The
modifications consisted of bifurcating both loans into an A and a B
note with a 70/30 split. Pool 1 was originally secured by 78
multifamily properties (7,964 units) located across eight states.
Pool 3 was originally secured by 79 multifamily properties (6,864
units) located across eight states. The modification permitted the
borrower to release a limited amount of properties from the
portfolio prior to full payoff of the loans. Pool 1 has released 38
properties while Pool 3 has released 44 properties to date. The
properties within the two portfolios are generally of class B and C
collateral quality, many of which were constructed in the 1980s and
lack common amenities. As of December 2016, the occupancy for Pool
1 and Pool 3 were approximately 91% and 93%, representing an
increase from the 87% and 89% reported at year-end 2013. The Sept.
2016 net operating income (NOI) debt service coverage ratio (DSCR)
for Pool 1 is 1.54x and Pool 3 is 1.25x.
The next largest contributor to expected losses is the specially
serviced Office Max Headquarters loan (3.7% of the pool). The loan
is in foreclosure and is secured by a five-story, 354,098 square
foot (sf) single-tenanted office property located in Naperville,
IL. The property served as the world headquarters for Office Max
but is now 100% vacant. Office Max's lease expired in May 2017 and
the loan matures in July 2017.
RATING SENSITIVITIES
Rating Outlook on class A-1A remains Negative as further downgrades
are possible if losses to the Empirian Portfolios or other large
assets in the pool increase. Downgrades to the remaining distressed
classes will occur as losses are realized. Upgrades are not
expected due to adverse selection and significant losses
anticipated on the remaining pool.
Fitch downgrades the following classes:
-- $504.3 million class A-1A to 'BBBsf' from 'Asf'; Outlook
Negative.
-- $85 million class B to 'Dsf' from 'Csf'; RE 0%;
Fitch affirms the following classes:
-- $405 million class AM at 'CCCsf'; RE 70%;
-- $134.1 million class AJ at 'Csf'; RE 0%;
-- $85 million class AJ-FL at 'Csf'; RE 0%;
-- $0 million class C at 'Dsf'; RE 0%;
-- $0 class D at 'Dsf'; RE 0%;
-- $0 class E at 'Dsf'; RE 0%;
-- $0 class F at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%.
The class A-1, A-2, A-2FL, A-3, A-3FL, A-SB, and A-4 certificates
have paid in full. Fitch does not rate the class Q and AJ-FX
certificates. Fitch previously withdrew the rating on the
interest-only class X certificates.
MILL CITY 2017-2: DBRS Finalizes B Rating on Class B2 Debt
----------------------------------------------------------
DBRS, Inc. June 21, 2017, finalized its provisional ratings on 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 comprises 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 in 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.Ã .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.
The DBRS ratings of AAA (sf) and AA (sf) address the timely payment
of interest and full payment of principal by the legal final
maturity date in accordance with the terms and conditions of the
related Notes. The DBRS ratings of A (sf), BBB (sf), BB (sf) and B
(sf) address the ultimate payment of interest and full payment of
principal by the legal final maturity date in accordance with the
terms and conditions of the related Notes.
MORGAN STANLEY 2004-IQ8: S&P Affirms 'B-' Rating on Cl. H Certs
---------------------------------------------------------------
S&P Global Ratings raised its ratings on two classes of commercial
mortgage pass-through certificates from Morgan Stanley Capital I
Trust 2004-IQ8, a U.S. commercial mortgage-backed securities (CMBS)
transaction. At the same time, 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 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 F and G to reflect its
expectation of the available credit enhancement for these classes,
which S&P believes is greater than its most recent estimate of
necessary credit enhancement for the respective rating levels. The
upgrades also reflect the reduction in trust balance.
The affirmations on classes E and H reflect S&P's expectation that
the available credit enhancement for these classes will be within
our estimate of the necessary credit enhancement required for the
current ratings.
While available credit enhancement levels suggest further positive
rating movement on class G and positive rating movement on class H,
S&P's analysis also considered the amount of liquidity support for
each class.
TRANSACTION SUMMARY
As of the June 15, 2017, trustee remittance report, the collateral
pool balance was $21.1 million, which is 2.8% of the pool balance
at issuance. The pool currently includes 22 loans, down from 99
loans at issuance. No loans are defeased, and no loans are with
the special servicer. Seven loans ($9.2 million, 43.5%) are on the
master servicer's watchlist. The master servicer, Wells Fargo Bank
N.A., reported financial information for 100% of the loans in the
pool,all year-end 2016 data.
S&P calculated a S&P Global Ratings' weighted average debt service
coverage (DSC) of 1.39x and loan-to-value (LTV) ratio of 38.6%
using a S&P Global Ratings' weighted average capitalization rate of
7.7%. The top 10 loans have an aggregate outstanding pool trust
balance of $17.3 million (82.4%). Using servicer-reported numbers,
S&P calculated a S&P Global Ratings weighted' average DSC and LTV
of 1.32x and 44.6%, respectively, for the top 10 loans.
To date, the transaction has experienced $15.3 million in principal
losses, or 2.0% of the original pool trust balance.
RATINGS LIST
Morgan Stanley Capital I Trust 2004-IQ8
Commercial mortgage pass-through certificates series 2004-IQ8
Rating
Class Identifier To From
E 61745MP49 AAA (sf) AAA (sf)
F 61745MP56 AA+ (sf) A (sf)
G 61745MP64 A (sf) BB+ (sf)
H 61745MP72 B- (sf) B- (sf)
NATIONAL COLLEGIATE: Fitch Puts 12 Tranches of 11 Loan Deals on RWP
-------------------------------------------------------------------
Fitch Ratings has placed 12 tranches of 11 U.S. private student
loan transactions on Rating Watch Positive (RWP). The rating
actions follow the publication of updated criteria on June 22,
2017, which specified some changes to the rating approach for notes
with sequential pay structure within the same class of notes.
KEY RATING DRIVERS
Updated Analysis at Tranche Level
Following the criteria update and the publication of the "Exposure
Draft: U.S. Private Student Loan ABS Rating Criteria," Fitch
analyses structure at tranche level (e.g. class A-1 and A-2 notes
within the A notes) rather than class level (class A notes as a
whole).
In a sequential payment structure where principal payment will be
made to the first-paid senior tranche before being applied to
subsequently paid senior tranches, and there is no trigger to
change the payment hierarchy before an event of default, or the
probability of such a trigger breach is remote, the first-paid
senior tranche may achieve a higher rating than the next-paid
senior tranche. This next-paid senior tranche may also achieve a
higher rating then other subsequently paid senior tranches.
Fitch has identified 12 tranches that could be positively affected
by the revised approach and placed them on RWP. This will allow the
agency to conduct a full analysis, also factoring in other updates
to the criteria. Tranches of transactions where certain performance
triggers may revert the payment structure within the senior notes
(typically, when the trust's assets are lower than the outstanding
balance of the senior notes) to a pro rata/pari passu amortization
were excluded from this rating action and will subsequently be
reviewed on a deal-by-deal basis to assess the remoteness of the
triggers.
Fitch expects to resolve the RWP shortly thereafter the publication
of the new criteria, following the end of the comment period for
the recently published "Exposure Draft: U.S. Private Student Loan
ABS Rating Criteria," which will last until July 25, 2017.
Depending on liquidity risk constraints and stressed loss levels,
Fitch expects multi category upgrades on most senior tranches of
all transactions.
RATING SENSITIVITIES
Following further analysis and application of all criteria changes
to the analysis of the transactions, Fitch is likely to take
positive rating action on the affected tranches.
Fitch has placed the following on Rating Watch Positive:
National Collegiate Student Loan Trust 2004-1:
Class A-3: CCsf; RE85%
National Collegiate Student Loan Trust 2004-2/NCF Grantor Trust
2004-2:
Class A-4: BBsf
National Collegiate Student Loan Trust 2005-1/NCF Grantor Trust
2005-1:
Class A-4: Bsf
National Collegiate Student Loan Trust 2005-1/NCF Grantor Trust
2005-2
Class A-4: Csf; RE RE80%
National Collegiate Student Loan Trust 2005-1/NCF Grantor Trust
2005-3:
Class A-4: CCsf; RE85%
National Collegiate Student Loan Trust 2006-1:
Class A-4: Csf; RE RE75%
National Collegiate Student Loan Trust 2006-2:
Class A-3: Csf; RE65%
National Collegiate Student Loan Trust 2006-3:
Class A-4: CCsf; RE80%
National Collegiate Student Loan Trust 2006-4:
Class A-3: Csf; RE70%
National Collegiate Student Loan Trust 2007-1:
Class A-3: Csf; RE70%
National Collegiate Student Loan Trust 2007-2:
Class A-2: Csf; RE70%;
Class A-3: Csf; RE70%.
NEW RESIDENTIAL 2017-4: Moody's Gives (P)B1 Rating to 10 Tranches
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 50
classes of notes issued by New Residential Mortgage Loan Trust
2017-4. The NRMLT 2017-4 transaction is a securitization of $493.0
million of first lien, seasoned performing and re-performing
mortgage loans with weighted average seasoning of approximately 153
months, weighted average updated LTV ratio of 49.2% and weighted
average updated FICO score of 721. 87.6% of the loans by scheduled
balance have been current every month in the past 24 months based
on the OTS methodology. Approximately 15.9% of the loans in the
pool were previously modified. Nationstar Mortgage LLC and
Specialized Loan Servicing, LLC, will act as primary servicers and
Nationstar Mortgage LLC will act as master servicer, successor
servicer and special servicer.
The complete rating action is:
Issuer: New Residential Mortgage Loan Trust 2017-4
Cl. A-1, Assigned (P)Aaa (sf)
Cl. A-IO, Assigned (P)Aaa (sf)
Cl. A-1A, Assigned (P)Aaa (sf)
Cl. A-1B, Assigned (P)Aaa (sf)
Cl. A-1C, Assigned (P)Aaa (sf)
Cl. A-1-IOA, Assigned (P)Aaa (sf)
Cl. A-1-IOB, Assigned (P)Aaa (sf)
Cl. A-1-IOC, Assigned (P)Aaa (sf)
Cl. A-2, Assigned (P)Aa2 (sf)
Cl. A, Assigned (P)Aaa (sf)
Cl. B-1, Assigned (P)Aa2 (sf)
Cl. B-1-IO, Assigned (P)Aa2 (sf)
Cl. B-1A, Assigned (P)Aa2 (sf)
Cl. B-1B, Assigned (P)Aa2 (sf)
Cl. B-1C, Assigned (P)Aa2 (sf)
Cl. B-1-IOA, Assigned (P)Aa2 (sf)
Cl. B-1-IOB, Assigned (P)Aa2 (sf)
Cl. B-1-IOC, Assigned (P)Aa2 (sf)
Cl. B-2, Assigned (P)A3 (sf)
Cl. B-2-IO, Assigned (P)A3 (sf)
Cl. B-2A, Assigned (P)A3 (sf)
Cl. B-2B, Assigned (P)A3 (sf)
Cl. B-2C, Assigned (P)A3 (sf)
Cl. B-2-IOA, Assigned (P)A3 (sf)
Cl. B-2-IOB, Assigned (P)A3 (sf)
Cl. B-2-IOC, Assigned (P)A3 (sf)
Cl. B-3, Assigned (P)Baa3 (sf)
Cl. B-3A, Assigned (P)Baa3 (sf)
Cl. B-3B, Assigned (P)Baa3 (sf)
Cl. B-3C, Assigned (P)Baa3 (sf)
Cl. B-3-IOA, Assigned (P)Baa3 (sf)
Cl. B-3-IOB, Assigned (P)Baa3 (sf)
Cl. B-3-IOC, Assigned (P)Baa3 (sf)
Cl. B-4, Assigned (P)Ba3 (sf)
Cl. B-4A, Assigned (P)Ba3 (sf)
Cl. B-4-IOA, Assigned (P)Ba3 (sf)
Cl. B-4B, Assigned (P)Ba3 (sf)
Cl. B-4-IOB, Assigned (P)Ba3 (sf)
Cl. B-4C, Assigned (P)Ba3 (sf)
Cl. B-4-IOC, Assigned (P)Ba3 (sf)
Cl. B-5, Assigned (P)B1 (sf)
Cl. B-5A, Assigned (P)B1 (sf)
Cl. B-5-IOA, Assigned (P)B1 (sf)
Cl. B-5B, Assigned (P)B1 (sf)
Cl. B-5-IOB, Assigned (P)B1 (sf)
Cl. B-5C, Assigned (P)B1 (sf)
Cl. B-5-IOC, Assigned (P)B1 (sf)
Cl. B-5D, Assigned (P)B1 (sf)
Cl. B-5-IOD, Assigned (P)B1 (sf)
Cl. B-7, Assigned (P)B1 (sf)
RATINGS RATIONALE
Moody's losses on the collateral pool average 1.80% in an expected
scenario and reach 11.05% at a stress level consistent with the Aaa
ratings on the senior classes. Moody's based Moody's expected
losses on the pool 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 final expected losses for the
pool reflect the third party review (TPR) findings and Moody's
assessment of the representations and warranties (R&Ws) framework
for this transaction.
To estimate the losses on the pool, Moody's used an approach
similar to Moody's surveillance approach. Under this approach,
Moody's apply expected annual delinquency rates, conditional
prepayment rates (CPRs), loss severity rates and other variables to
estimate future losses on the pool. Moody's assumptions on these
variables are based on the observed rate of delinquency on seasoned
modified and non-modified loans, the collateral attributes of the
pool including the percentage of loans that were delinquent in the
past 24 months, and the observed performance of recent New
Residential Mortgage Loan Trust issuances rated by Moody's. For
this pool, Moody's used default burnout and voluntary CPR
assumptions similar to those detailed in Moody's "US RMBS
Surveillance Methodology" for Alt-A loans originated before 2005.
Moody's then aggregated the delinquencies and converted them to
losses by applying pool-specific lifetime default frequency and
loss severity assumptions.
Collateral Description
NRMLT 2017-4 is a securitization of seasoned performing and
re-performing residential mortgage loans which the seller, NRZ
Sponsor V LLC, has previously purchased in connection with the
termination of various securitization trusts. The transaction
consists primarily of 30-year fixed rate loans. 84.1% of the loans
in this pool by balance have never been modified and have been
performing while approximately 15.9% of the loans were previously
modified but are now current and cash flowing. The weighted average
seasoning on the collateral is approximately 153 months.
Property values were updated using home data index (HDI) values or
broker price opinions (BPOs). HDIs were obtained for all but four
properties contained within the securitization. In addition,
updated BPOs were obtained from a third party BPO provider for 708
properties.
Third-Party Review ("TPR") and Representations & Warranties
("R&W")
A third party due diligence provider, AMC, conducted a compliance
review on a sample of 519 loans proposed to be included in the
mortgage pool. The regulatory compliance review consisted of a
review of compliance with the federal Truth in Lending Act (TILA)
as implemented by Regulation Z, the federal Real Estate Settlement
Procedures Act (RESPA) as implemented by Regulation X, the
disclosure requirements and prohibitions of Section 50(a)(6),
Article XVI of the Texas Constitution, federal, state and local
anti-predatory regulations, federal and state specific late charge
and prepayment penalty regulations, and document review. The TPR
identified 449 loans with compliance exceptions, 67 of which were
considered to have rating agency grade C or D level exceptions.
These C or D level exceptions broadly fell into three categories:
missing final HUD-1 Settlement Statements/HUD errors, (TX50(a)(6))
Texas cash-out loan violations, and missing documents or missing
information. Moody's applied a small adjustment to Moody's loss
severities to account for the C or D level missing final HUD-1
Settlement Statement and HUD errors. For these types of issues,
borrowers can raise legal claims in defense against foreclosure as
a set off or recoupment and win damages that can reduce the amount
of the foreclosure proceeds. Such damages can include up to $4,000
in statutory damages, borrowers' legal fees and other actual
damages. Moody's considered but did not apply an adjustment for
TX(a)(6) violations due to the small percentage of exceptions and
the R&Ws in place to prevent losses to the trust. Moody's did not
apply an adjustment for missing documents or missing information
identified by the Diligence Provider in part because Moody's
separately received and assessed a title report and a custodial
report for the mortgage loans in the pool.
The third party due diligence provider also conducted reviews of
data integrity, pay history, and title/lien on selected samples to
confirm that certain information in the mortgage loan files matched
the information supplied by the servicers. Any issues identified
during the data integrity review were corrected on the data tape,
and the pay history analysis indicated there were no material pay
history issues on the data tape.
The seller, NRZ Sponsor V LLC, is providing a representation and
warranty for missing mortgage files. To the extent that the
indenture trustee, master servicer, related servicer, depositor or
custodian has actual knowledge of a defective or missing mortgage
loan document or a breach of a representation or warranty regarding
the completeness of the mortgage file or the accuracy of the
mortgage loan documents, and such missing document, defect or
breach is preventing or materially delaying the (a) realization
against the related mortgaged property through foreclosure or
similar loss mitigation activity or (b) processing of any title
claim under the related title insurance policy, the party with such
actual knowledge will give written notice of such breach, defect or
missing document, as applicable, to the related seller, indenture
trustee, depositor, master servicer, related servicer and
custodian. Upon notification of a missing or defective mortgage
loan file, the related seller will have 120 days from the date it
receives such notification to deliver the missing document or
otherwise cure the defect or breach. If it is unable to do so, the
related seller will be obligated to replace or repurchase the
mortgage loan.
Despite this provision, Moody's increased Moody's loss severities
to account for loans with note instrument issues. This adjustment
was based on both the results of the TPR review and because the R&W
provider is an unrated entity and weak from a credit perspective.
In Moody's analysis Moody's assumed that a small percentage of the
projected defaults (calculated based upon the TPR results) will
have missing document breaches that will not be remedied and result
in higher than expected loss severities.
Trustee, Custodian, Paying Agent, Master Servicer, Successor
Servicer and Special Servicer
The transaction indenture trustee is Wilmington Trust, National
Association. The custodian functions will be performed by Wells
Fargo Bank, N.A. The paying agent and cash management functions
will be performed by Citibank, N.A. In addition, Nationstar
Mortgage LLC, as master servicer, is responsible for servicer
oversight, termination of servicers, and the appointment of
successor servicers. Having Nationstar Mortgage LLC as a master
servicer mitigates servicing-related risk due to the performance
oversight that it will provide. Moody's assess Nationstar Mortgage
LLC's servicing quality assessment at SQ2- (Above Average) as a
master servicer of residential mortgage loans. Nationstar Mortgage
LLC is the named successor servicer for the transaction and will
also serve as the special servicer. As the special servicer, it
will be responsible for servicing mortgage loans that become 60 or
more days delinquent.
Transaction Structure
The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to increasingly receive principal
prepayments after an initial lock-out period of five years,
provided two performance tests are met. To pass the first test, the
delinquent and recently modified loan balance cannot exceed 50% of
the subordinate bonds outstanding. To pass the second test,
cumulative losses cannot exceed certain thresholds that gradually
increase over time.
Because a shifting interest structure allows subordinated bonds to
pay down over time as the loan pool shrinks, senior bonds are
exposed to tail risk, i.e., risk of back-ended losses when fewer
loans remain in the pool. The transaction provides for a
subordination floor that helps to reduce this tail risk.
Specifically, the subordination floor prevents subordinate bonds
from receiving any principal if the amount of subordinate bonds
outstanding falls below 1.20% of the closing principal balance.
There is also a provision that prevents subordinate bonds from
receiving principal if the credit enhancement for the Class A-1
Note falls below its percentage at closing, 12.00%. These
provisions mitigate tail risk by protecting the senior bonds from
eroding credit enhancement over time.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market. Other reasons
for better-than-expected performance include changes to servicing
practices that enhance collections or refinancing opportunities
that result in prepayments.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
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.
Additionally, the methodology used in rating Cl. A-IO, Cl. A-1-IOA,
Cl. A-1-IOB, Cl. A-1-IOC, Cl. B-1-IO, Cl. B-1-IOA, Cl. B-1-IOB, Cl.
B-1-IOC, Cl. B-2-IO, Cl. B-2-IOA, Cl. B-2-IOB, Cl. B-2-IOC, Cl.
B-3-IOA, Cl. B-3-IOB, Cl. B-3-IOC, Cl. B-4-IOA, Cl. B-4-IOB, Cl.
B-4-IOC, Cl. B-5-IOA, Cl. B-5-IOB, Cl. B-5-IOC, Cl. B-5-IOD, was
"Moody's Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
NEWSTAR COMMERCIAL 2012-2: Moody's Affirms B2 Rating on Cl. F Notes
-------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by NewStar Commercial Loan Funding 2012-2 LLC:
US$35,200,000 Class C Secured Deferrable Floating Rate Notes Due
January 2023, Upgraded to Aa1 (sf); previously on February 6, 2017
Upgraded to Aa3 (sf)
US$11,400,000 Class D Secured Deferrable Floating Rate Notes Due
January 2023, Upgraded to A1 (sf); previously on February 6, 2017
Upgraded to A3 (sf)
US$16,300,000 Class E Secured Deferrable Floating Rate Notes Due
January 2023, Upgraded to Baa3 (sf); previously on February 6, 2017
Affirmed Ba1 (sf)
Moody's also affirmed the ratings on the following notes:
US$190,700,000 Class A Senior Secured Floating Rate Notes Due
January 2023 (current outstanding balance of $66,363,896), Affirmed
Aaa (sf); previously on February 6, 2017 Affirmed Aaa (sf)
US$26,000,000 Class B Senior Secured Floating Rate Notes Due
January 2023, Affirmed Aaa (sf); previously on February 6, 2017
Affirmed Aaa (sf)
US$24,100,000 Class F Secured Deferrable Floating Rate Notes Due
January 2023, Affirmed B2 (sf); previously on February 6, 2017
Affirmed B2 (sf)
NewStar Commercial Loan Funding 2012-2 LLC, issued in December
2012, is a collateralized loan obligation (CLO) backed primarily by
a portfolio of senior secured loans, with significant exposure to
middle market loans. The transaction's reinvestment period ended in
January 2016.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since February 2017. The Class A
notes have been paid down by approximately 40.8% or $45.7 million
since that time. Based on the trustee's June 2017 report, the OC
ratios for the Class A/B, Class C, Class D and Class E notes are
reported at 216.00%, 156.39%, 143.56%, and 128.49%, respectively,
versus February 2017 levels of 181.28%, 144.46%, 135.55%, and
124.56%, respectively.
Nevertheless, the credit quality of the portfolio has deteriorated
since February 2017. Based on Moody's calculation, the weighted
average rating factor is currently 4174 compared to 3872 at that
time. In addition, assets with a Moody's default probability rating
of Caa1 or below (after adjustments for negative outlook, review
for downgrade and credit estimates stresses) currently make up
$69.5 million or 35.9% of the portfolio, compared to $59.4 million
or 24.3% of the portfolio in February 2017.
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 credit estimates: The deal contains a large number
of securities whose default probabilities Moody's has assessed
through credit estimates. Moody's normally updates such estimates
at least once annually, but if such updates do not occur, the
transaction could be negatively affected by any default probability
adjustments Moody's assumes in lieu of updated credit estimates.
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% (3339)
Class A: 0
Class B: 0
Class C: +1
Class D: +3
Class E: +2
Class F: +1
Moody's Adjusted WARF + 20% (5009)
Class A: 0
Class B: 0
Class C: -1
Class D: -1
Class E: -1
Class F: 0
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 $201.0 million, defaulted par of $3.6
million, a weighted average default probability of 27.56% (implying
a WARF of 4174), a weighted average recovery rate upon default of
48.53%, a diversity score of 34 and a weighted average spread of
4.88% (before accounting for LIBOR floors).
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of the
assets in the collateral pool. In each case, historical and market
performance and the collateral manager's latitude for trading the
collateral are also factors.
A material proportion of the collateral pool includes debt
obligations whose credit quality Moody's assesses through credit
estimates. Moody's analysis reflects adjustments with respect to
the default probabilities associated with credit estimates.
Specifically, Moody's assumed an equivalent of Caa3 for assets with
credit estimates that have not been updated within the last 15
months or assets without Moody's ratings, which represent
approximately 8.80% of the collateral pool. Additionally, for each
credit estimates whose related exposure constitutes more than 3% of
the collateral pool, Moody's applied a two-notch equivalent assumed
downgrade, which totals approximately 3.37% of the pool.
PREFERRED TERM XXII: Moody's Hikes Rating on 2 Tranches to B1
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Preferred Term Securities XXII, Ltd.:
US$762,500,000 Floating Rate Class A-1 Senior Notes due September
22, 2036 (current balance of $413,120,221.36), Upgraded to Aa1
(sf); previously on December 10, 2015 Upgraded to Aa2 (sf)
US$201,800,000 Floating Rate Class A-2 Senior Notes due September
22, 2036 (current balance of $190,655,705.68), Upgraded to Aa2
(sf); previously on December 10, 2015 Upgraded to A1 (sf)
US$65,000,000 Floating Rate Class B-1 Mezzanine Notes due September
22, 2036 (current balance of $61,410,410.68), Upgraded to Baa1
(sf); previously on December 10, 2015 Upgraded to Baa3 (sf)
US$50,000,000 Fixed/Floating Rate Class B-2 Mezzanine Notes due
September 22, 2036 (current balance of $47,238,777.43), Upgraded to
Baa1 (sf); previously on December 10, 2015 Upgraded to Baa3 (sf)
US$30,300,000 Fixed/Floating Rate Class B-3 Mezzanine Notes due
September 22, 2036 (current balance of $28,626,699.11), Upgraded to
Baa1 (sf); previously on December 10, 2015 Upgraded to Baa3 (sf)
US$77,250,000 Floating Rate Class C-1 Mezzanine Notes due September
22, 2036 (current balance of $74,425,648.09), Upgraded to B1 (sf);
previously on December 10, 2015 Upgraded to B3 (sf)
US$71,650,000 Fixed/Floating Rate Class C-2 Mezzanine Notes due
September 22, 2036 (current balance of $69,030,390.74), Upgraded to
B1 (sf); previously on December 10, 2015 Upgraded to B3 (sf)
Moody's also affirmed the rating on the following notes issued by
PreTSL Combination:
US$500,000 Combination Certificates, Series P XXII-1 due September
22, 2036 (current rated balance of $294,707.93), Affirmed Aaa (sf);
previously on December 10, 2015 Affirmed Aaa (sf);
Preferred Term Securities XXII, Ltd., issued in June 2006, is a
collateralized debt obligation (CDO) backed by a portfolio of bank
and insurance trust preferred securities (TruPS).
PreTSL Combination Series P XXII-1 notes, a combination note
security, was issued in June 2006. It is composed of $250,000 of
Class A-1 notes and $200,000 of income notes issued by Preferred
Term Securities XXII, Ltd. and $185,000 face zero coupon strips due
November 15, 2029 issued by Fannie Mae.
RATINGS RATIONALE
The rating actions are primarily a result of the deleveraging of
the Class A-1, Class A-2, Class B-1, Class B-2, Class B-3, Class
C-1, and Class C-2 notes, an increase in the transaction's
over-collateralization (OC) ratios, and full repayment of the Class
C deferred interest balance since June 2016.
The Class A-1 notes have paid down by approximately $28.9 million,
the Class A-2 notes by $3.5 million, the Class B notes by $2.5
million, and the Class C notes by $2.6 million since June 2016,
using principal proceeds from the redemption of the underlying
assets and the diversion of excess interest proceeds. Additionally,
the Class C notes' deferred interest balance was reduced to zero on
the June 2016 payment date with a payment of $2.2 million. Based on
Moody's calculations, the OC ratios for the Class A-1, Class A-2,
Class B-3, and Class C-2 notes have improved to 232.82%, 159.30%,
129.79%, and 108.74%, respectively, from June 2016 levels of
216.73%, 150.63%, 123.51%, and 103.20%, respectively. All classes
of notes will continue to benefit from the diversion of excess
interest as long as the Class C OC test (current level of 103.89%
versus trigger of 105.50%) continues to fail. The Class A-1 notes
will also continue to benefit from the use of proceeds from
redemptions of any assets in the collateral pool.
Moody's gave full par credit in its analysis to four deferring
assets that meet certain criteria, totaling $40.5 million in par.
The total par amount that Moody's treated as having defaulted or
deferred declined by $10.5 million since June 2016.
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 and the US P&C insurance sector, and a negative outlook on
the US life insurance 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) Resumption of interest payments by deferring assets: Four banks
are expected to resume making interest payments on their TruPS. The
timing and amount of deferral cures could have significant positive
impact on the transaction's over-collateralization ratios and the
ratings on the notes.
5) 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(TM) 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 628)
Class A-1: 0
Class A-2: +1
Class B-1: +2
Class B-2: +2
Class B-3: +2
Class C-1: +2
Class C-2: +2
PreTSL Combination Series P XXII-1: 0
Assuming a two-notch downgrade to assets with below-investment
grade ratings or rating estimates (WARF of 1404)
Class A-1: 0
Class A-2: -1
Class B-1: -1
Class B-2: -1
Class B-3: -1
Class C-1: -3
Class C-2: -3
PreTSL Combination Series P XXII-1: 0
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 (after treating
deferring securities as performing if they meet certain criteria)
of $949.8 million, defaulted/deferring par of $164.5 million, a
weighted average default probability of 9.70% (implying a WARF of
888), and a weighted average recovery rate upon default of 10.00%.
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.
REALT 2007-1: DBRS Confirms B Rating on Class K Debt
----------------------------------------------------
DBRS Limited on June 19, 2017, confirmed all classes of the
Commercial Mortgage Pass-Through Certificates, Series 2007-1 issued
by Real Estate Asset Liquidity Trust (REALT), Series 2007-1 as
follows:
-- Class XC-1 at A (sf)
-- Class XC-2 at A (sf)
-- Classes D-1 at BBB (sf)
-- Classes D-2 at BBB (sf)
-- Classes E-1 at BBB (low) (sf)
-- Classes E-2 at BBB (low) (sf)
-- Class F at BB (high) (sf)
-- Class G at BB (sf)
-- Class H at BB (low) (sf)
-- Class J at B (high) (sf)
-- Class K at B (sf)
-- Class L at B (low) (sf)
All trends are Stable.
These rating actions are reflective of updated information received
by DBRS with regard to the largest loan, Sundance Pooled Interest
(Prospectus ID #5; 82.1% of the current pool balance). The
information received resolves the uncertainty surrounding that loan
and supports the confirmation of all outstanding classes with
Stable trends.
As of the June 2017 remittance, three loans remain in the pool with
an outstanding trust balance of $27.5 million, representing a
collateral reduction of 94.7% since issuance. The Yonge Davisville
Commercial loan (Prospectus ID#46; 6.7% of the current pool
balance) was granted a short-term maturity extension to June 2017
to allow the borrower time to finalize replacement financing. While
the loan remains in the transaction post the extended maturity
date, it is expected to pay in full in the near term. The Compass
Centre One loan (Prospectus ID#30; 11.2% of the current pool
balance) is scheduled to mature in April 2018.
SHACKLETON 2017-XI: Moody's Assigns (P)B2 Rating to Cl. F Notes
---------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of notes to be issued by Shackleton 2017-XI CLO, Ltd. (the
"Issuer" or "Shackleton 2017-XI CLO").
Moody's rating action is:
US$320,000,000 Class A Senior Floating Rate Notes due 2030 (the
"Class A Notes"), Assigned (P)Aaa (sf)
US$60,000,000 Class B Senior Floating Rate Notes due 2030 (the
"Class B Notes"), Assigned (P)Aa2 (sf)
US$27,500,000 Class C Mezzanine Deferrable Floating Rate Notes due
2030 (the "Class C Notes"), Assigned (P)A2 (sf)
US$30,000,000 Class D Mezzanine Deferrable Floating Rate Notes due
2030 (the "Class D Notes"), Assigned (P)Baa3 (sf)
US$22,500,000 Class E Junior Deferrable Floating Rate Notes due
2030 (the "Class E Notes"), Assigned (P)Ba3 (sf)
US$7,500,000 Class F Junior Deferrable Floating Rate Notes due 2030
(the "Class F Notes"), Assigned (P)B2 (sf)
The Class A 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.
Shackleton 2017-XI CLO is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated first lien
senior secured corporate loans. At least 90% of the portfolio must
consist of senior secured loans, cash and eligible investments, and
up to 10% of the portfolio may consist of senior unsecured loans,
first-lien last-out loans and second lien loans. Moody's expects
the portfolio to be approximately 70% ramped as of the closing
date.
Alcentra NY, 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 five-year reinvestment period.
Thereafter, the Manager may reinvest unscheduled principal payments
and proceeds from sales of credit risk and credit improved 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: $500,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2900
Weighted Average Spread (WAS): 3.60%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 48.0%
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 Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2900 to 3335)
Rating Impact in Rating Notches
Class A Notes: 0
Class B Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Class F Notes: -1
Percentage Change in WARF -- increase of 30% (from 2900 to 3770)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -3
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
Class F Notes: -3
SOUND POINT XVI: Moody's Assigns Ba3(sf) Rating to Class E Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Sound Point CLO XVI, Ltd.
Moody's rating action is:
US$520,000,000 Class A Senior Secured Floating Rate Notes due 2030
(the "Class A Notes"), Definitive Rating Assigned Aaa (sf)
US$88,000,000 Class B Senior Secured Floating Rate Notes due 2030
(the "Class B Notes"), Definitive Rating Assigned Aa2 (sf)
US$48,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2030 (the "Class C Notes"), Definitive Rating Assigned A2
(sf)
US$40,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2030 (the "Class D Notes"), Definitive Rating Assigned
Baa3 (sf)
US$40,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2030 (the "Class E Notes"), Definitive Rating Assigned Ba3
(sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes and the Class E Notes are referred to herein, collectively,
as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
Sound Point CLO 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 92.5% of the portfolio
must consist of senior secured loans, cash, and eligible
investments, and up to 7.5% of the portfolio may consist of second
lien loans, senior unsecured loans and first-lien last-out loans.
The portfolio is approximately 66% ramped as of the closing date.
Sound Point Capital Management, 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 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: $800,000,000
Diversity Score: 55
Weighted Average Rating Factor (WARF): 2600
Weighted Average Spread (WAS): 3.55%
Weighted Average Coupon (WAC): 4.00%
Weighted Average Recovery Rate (WARR): 46.5%
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 2600 to 2990)
Rating Impact in Rating Notches
Class A Notes: 0
Class B Notes: -1
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2600 to 3380)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -3
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
SPRINGLEAF FUNDING 2017-A: DBRS Gives Prov. BB Ratings to D Debt
----------------------------------------------------------------
DBRS, Inc. on June 19, 2017, assigned provisional ratings to the
following notes issued by Springleaf Funding Trust 2017-A (Series
2017-A):
-- $516,820,000 Series 2017-A Notes, Class A (the Class A Notes)
rated AA (sf)
-- $35,960,000 Series 2017-A Notes, Class B (the Class B Notes)
rated A (sf)
-- $41,450,000 Series 2017-A Notes, Class C (the Class C Notes)
rated BBB (sf)
-- $57,540,000 Series 2017-A Notes, Class D (the Class D Notes)
rated BB (sf)
The ratings are based on a review by DBRS of the following
analytical considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under
which they have invested. For this transaction, the ratings
address the payment of timely interest on a monthly basis and
principal by the legal final maturity date.
-- OneMain Financial Group, LLC's (OneMain) capabilities with
regard to originations, underwriting and servicing.
-- Receivables are generated through legacy Springleaf Finance
Corporation (SFC) branches. Cash and check payments are
received at these branches. In a decentralized operation, this
can introduce risks that are hard to quantify.
-- Acquisition of OneMain Financial Holdings, LLC by OneMain.
-- The credit quality of the collateral and performance of
OneMain's legacy Springleaf consumer loan portfolio (the
Springleaf portfolio). DBRS used a hybrid approach in
analyzing the Springleaf portfolio that incorporates elements
of static pool analysis, which is employed for assets such as
consumer loans, and revolving asset analysis, which is
employed for assets such as credit card master trusts.
-- The legal structure and presence of legal opinions that
address the true sale of the assets to Series 2017-A, the non-
consolidation of the special-purpose vehicle with OneMain and
that the trust has a valid first-priority security interest in
the assets and is consistent with DBRS's "Legal Criteria for
U.S. Structured Finance" methodology.
DBRS has assigned ratings to Series 2017-A as listed above. The
Series 2017-A transaction represents the seventh securitization of
a portfolio of non-prime and subprime personal loans originated
through OneMain's legacy branch network of SFC.
Credit enhancement in the transaction consists of
overcollateralization, subordination, excess spread and a reserve
account. The rating on the Class A Notes reflects 25.05% of initial
hard credit enhancement provided by the subordinated notes in the
pool, the Reserve Account (0.50%) and overcollateralization
(4.85%). The ratings on the Class B, Class C and Class D Notes
reflect 19.80%, 13.75% and 5.35% of initial hard credit
enhancement, respectively. Additional credit support may be
provided from excess spread available in the structure.
VIBRANT CLO VI: Moody's Assigns Ba3(sf) Rating to Class E Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Vibrant CLO VI, Ltd.
US$320,000,000 Class A Senior Secured Floating Rate Notes due 2029
(the "Class A Notes"), Definitive Rating Assigned Aaa (sf)
US$57,500,000 Class B Senior Secured Floating Rate Notes due 2029
(the "Class B Notes"), Definitive Rating Assigned Aa2 (sf)
US$30,000,000 Class C Secured Deferrable Floating Rate Notes due
2029 (the "Class C Notes"), Definitive Rating Assigned A2 (sf)
US$27,500,000 Class D Secured Deferrable Floating Rate Notes due
2029 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf)
US$25,000,000 Class E Secured Deferrable Floating Rate Notes due
2029 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes and the Class E Notes are referred to herein, collectively,
as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
Vibrant VI is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 92.5% of the portfolio must
consist of senior secured loans, cash and eligible investments, and
up to 7.5% of the portfolio may consist of second lien loans and
unsecured loans. The portfolio is approximately 80% ramped as of
the closing date.
Vibrant Credit Partners, LLC (the "Manager"), an affiliate of DFG
Investment Advisers, Inc., will direct the selection, acquisition
and disposition of the assets on behalf of the Issuer and may
engage in trading activity, including discretionary trading, during
the transaction's 4.25 year reinvestment period. Thereafter, the
Manager may reinvest up to 75% of unscheduled principal payments
and proceeds from sales of credit risk assets, subject to certain
restrictions.
In addition to the Rated Notes, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in October 2016.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2734
Weighted Average Spread (WAS): 3.65%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 46.0%
Weighted Average Life (WAL): 8.25 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 2734 to 3144)
Rating Impact in Rating Notches
Class A Notes: 0
Class B Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: -1
Percentage Change in WARF -- increase of 30% (from 2734 to 3554)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -3
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
WACHOVIA BANK 2003-C6: Moody's Affirms Csf Rating on Cl. IO Certs.
------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
in Wachovia Bank Commercial Mortgage Trust 2003-C6, Commercial
Mortgage Pass-Through Certificates, Series 2003-C6:
Cl. O, Affirmed Ba1 (sf); previously on Jun 29, 2016 Downgraded to
Ba1 (sf)
Cl. IO, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The rating on Class O was affirmed because the rating is consistent
with Moody's expected loss. Class O has paid down nearly 99%,
however, it is currently not receiving principal or interest
proceeds due to the outstanding advances related to the specially
serviced loan.
The rating on the IO class was affirmed based on the credit quality
of its referenced classes.
Moody's rating action reflects a base expected loss of 22.3% of the
current balance, compared to 22.6% at Moody's last review. Moody's
base expected loss plus realized losses is now 0.9% of the original
pooled balance, unchanged from Moody's last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in October 2015.
Additionally, the methodology used in rating Cl. IO was "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the June 15, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $9.3 million
from $952.8 million at securitization. The certificates are
collateralized by five mortgage loans ranging in size from less
than 5% to 43% of the pool.
Eight loans have been liquidated from the pool, contributing to an
aggregate realized loss of $6.2 million (for an average loss
severity of 21%). One loan, the Trader Joe's Plaza Loan ($4.0
million -- 43.3% of the pool), is currently in special servicing.
The loan is secured by a 45,000 square foot (SF) grocery anchored
shopping center in Las Vegas, Nevada. The loan transferred to
special servicing in July 2013 due to maturity default and the
Borrower filed for Chapter 11 Bankruptcy in March 2014. The special
servicer indicated they are proceeding with foreclosure. The
property was 80% leased as of year-end 2016, unchanged from the
year prior. The loan has been deemed non-recoverable. Additionally,
the servicer is currently being reimbursed for advances related to
this loan, which is contributing to interest shortfalls on the
certificates.
As of the June 2017 remittance statement cumulative interest
shortfalls were $1.8 million. Moody's anticipates interest
shortfalls will continue until the disposition of the specially
serviced loan. Interest shortfalls are caused by special servicing
fees, including workout and liquidation fees, appraisal entitlement
reductions (ASERs), loan modifications and extraordinary trust
expenses.
Moody's received full year 2015 operating results for 100% of the
pool, and full or partial year 2016 operating results for 100% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 75%, compared to 78% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 39% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.9%.
Moody's actual and stressed conduit DSCRs are 0.76X and 1.55X,
respectively, compared to 0.82X and 1.52X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 54% of the pool balance. The
largest loan is the Rite Aid -- Las Vegas, NV Loan ($2.1 million --
22% of the pool), which is secured by a 17,000 SF retail property
located in Las Vegas, Nevada. The property is fully leased to Rite
Aid, which subleases the space to Dollar General, through June
2023. The loan is fully amortizing and matures in June 2023.
Moody's LTV and stressed DSCR are 67% and 1.61X, respectively.
The second largest loan is the Bailey Building Loan ($1.85 million
-- 20% of the pool), which is secured by a 45,000 SF office
building located in Montgomery, Alabama. As of May 2017, the
property was 58% leased, down from 88% at year-end 2016. An
additional 20% of the Net Rentable Area (NRA) is scheduled to
expire in 2017. Moody's LTV and stressed DSCR are 92% and 1.12X.
The third largest loan is the Rite Aid -- Bayville, NJ Loan ($1.06
million -- 11% of the pool), which is secured by an 11,000 SF
retail property located in Bayville, New Jersey. The property is
leased to Rite Aid through September 2018. The loan has amortized
52% since securitization and matures in September 2018. Moody's LTV
and stressed DSCR are 75% and 1.44X, respectively.
WACHOVIA BANK 2004-C11: Moody's Hikes Class J Debt Rating to B3
---------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three classes
and upgraded the rating on one class in Wachovia Bank Commercial
Mortgage Trust 2004-C11, Commercial Pass-Through Certificates,
Series 2004-C11:
Cl. J, Upgraded to B3 (sf); previously on Jul 15, 2016 Affirmed
Caa3 (sf)
Cl. K, Affirmed C (sf); previously on Jul 15, 2016 Affirmed C (sf)
Cl. L, Affirmed C (sf); previously on Jul 15, 2016 Affirmed C (sf)
Cl. X-C, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The rating on the P&I class L was affirmed because the ratings are
consistent with Moody's expected loss plus realized losses. Class L
has already experienced a 62% realized loss as result of previously
liquidated loans.
The rating on the P&I class K was affirmed because the rating is
consistent with Moody's expected loss.
The rating on the IO class X-C was affirmed based on the credit
quality of the referenced classes.
The rating on the P&I class J was upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 84% since Moody's last
review.
Moody's rating action reflects a base expected loss of 6.9% of the
current balance, compared to 5.2% at Moody's last review. Moody's
base expected loss plus realized losses is now 2.2% of the original
pooled balance, compared to 2.5% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in October 2015.
Additionally, the methodology used in rating Cl. X-C was "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the June 15, 217 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $15.4 million
from $1.041 billion at securitization. The certificates are
collateralized by one remaining mortgage loan.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 1, compared to 2 at Moody's last review.
Five loans have been liquidated from the pool, resulting in an
aggregate realized loss of $22 million (for an average loss
severity of 58%).
Moody's received full year 2015 and full or partial year 2016
operating results for 100% of the pool (excluding specially
serviced and defeased loans).
The remaining loan is the University Mall Loan ($15.4 million --
100% of the pool), which is secured by a 653,600 square foot (SF)
regional mall located in Tuscaloosa, Alabama. The property is
located three miles southeast of downtown Tuscaloosa and two miles
south of the University of Alabama. The mall is anchored by JC
Penney and Belk, and shadow anchored by Sears. As of December 2016,
the total mall and inline space were 91% and 73% leased,
respectively, compared to 91% and 75% in March 2015, and 95% and
85% in September 2014. An additional 9% of the inline net rentable
area (NRA) is leased to tenants which no longer occupy their
spaces, bringing inline occupancy to 64% as of December 2016. The
majority of these leases expire before loan maturity in March 2019.
Inline sales per square foot (excluding jewelry and food outlets)
in 2014, 2015, and 2016 were $396 PSF, $373 PSF, and $350 PSF,
respectively. Moody's LTV and stressed DSCR are 118% and 1.08X,
respectively.
WALDORF ASTORIA 2016-BOCA: Fitch Affirms B- Rating on Cl. F Certs
-----------------------------------------------------------------
Fitch Ratings affirms eight classes of Waldorf Astoria Boca Raton
Trust 2016-BOCA commercial mortgage pass-through certificates
series 2016-BOCA.
The certificates represent the beneficial interest in a trust that
holds a two-year, floating-rate, interest-only $430 million
mortgage loan secured by the fee and leasehold interests in the
1,047-room Waldorf Astoria Boca Raton Resort & Club. The loan is
sponsored by the Blackstone Group, L.P.
KEY RATING DRIVERS
The affirmations reflect the overall stable performance of the
underlying loan. While asset performance has slightly declined, the
decline is the result of renovation work. Renovations are expected
to be complete by year-end 2017.
Renovation Update: A comprehensive resort golf course renovation
was completed at the end of 2016. Major guestroom renovations at
the Yacht Club and Tower buildings are underway and will include
the replacement of case goods and soft goods and modernization of
bathrooms for the Tower units. Meeting rooms and ballrooms are also
being renovated. At issuance, the preliminary budget to complete
this work was reported to be approximately $28,000,000.
Performance Update: The collateral has demonstrated a decline in
cash flow since issuance. The year-end (YE) December 2016 net cash
flow (NCF) is approximately 15.5% below the trailing 12 month (TTM)
April 2016 NCF and 8.2% below the issuers underwritten NCF.
Occupancy, average daily rate (ADR), and revenue per available room
(RevPAR) as of TTM February 2017 were reported at 61.3%, $283.59,
and $173.71, respectively, compared to TTM April 2016 at 65.9%
occupancy, $270.46 ADR, and $180.37 RevPAR. While occupancy and
RevPar have shown declines from issuance, both are in line with
historical figures. Since the prior peak performance year of 2005,
occupancy and RevPar have averaged 60% and $158.10, respectively.
Asset Quality: The collateral has both lakefront (Lake Boca Raton)
and oceanfront (Atlantic Ocean) land. Property amenities include: a
full-service spa, three fitness centers, 30 tennis courts, 16 food
and beverage (F&B) outlets, two 18-hole golf courses, seven
swimming pools including a FlowRider wave simulator, a 32-slip
marina and approximately 200,000 square feet of indoor and outdoor
meeting space.
Non-traditional Hotel Income: For year-end (YE) December 2016,
approximately $62.9 million of non-room and non-F&B revenue was
generated by the property, representing 30.2% of the property's
total revenues. Ancillary revenue sources include golf, spa,
tennis, beach, marina and club fees.
Single Asset Concentration: The transaction is secured by a single
hotel property and therefore more susceptible to single event risk
related to the market. Hotel performance is considered to be more
volatile due to the operating nature of the asset. Fitch will
continue to monitor the subject's performance to ensure that
current revenues and incomes remain sustainable over the loan
term.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Due to the recent
issuance of the transaction, Fitch does not foresee positive or
negative ratings migration until a material economic or asset-level
event changes the transaction's overall portfolio-level metrics.
However, Fitch views the overall hotel industry as operating at
peak levels in the current real estate cycle and will continue to
monitor the asset for sustained cash flow declines. If the property
performance does not improve once the renovation work is completed,
downgrades may be possible.
DUE DILIGENCE USAGE PURSUANT TO SEC RULE 17G-10
No third party due diligence was provided or reviewed in relation
to this rating.
Fitch has affirmed the following ratings:
-- $145,100,000 class A at 'AAAsf'; Outlook Stable;
-- $275,000,000* class X-CP at 'BBB-sf'; Outlook Stable;
-- $275,000,000* class X-NCP at 'BBB-sf'; Outlook Stable;
-- $50,500,000 class B at 'AA-sf'; Outlook Stable;
-- $37,400,000 class C at 'A-sf'; Outlook Stable;
-- $42,000,000 class D at 'BBB-sf'; Outlook Stable;
-- $80,000,000 class E at 'BB-sf'; Outlook Stable;
-- $75,000,000 class F at 'B-sf'; Outlook Stable.
*Notional amount and interest-only.
WELLS FARGO 2015-SG1: Fitch Affirms 'B-sf' Rating on 2 Tranches
---------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of Wells Fargo Commercial
Mortgage Trust, commercial mortgage pass-through certificates,
series 2015-SG1 (WFCM 2015-SG1).
KEY RATING DRIVERS
Stable Performance: The majority of the pool has exhibited stable
performance since issuance with minimal paydown or changes to
credit enhancement. As of the June 2017 distribution date, the
pool's aggregate principal balance has paid down by 1.5% to $706
million from $716 million at issuance. There is one small specially
serviced loan (0.7% of current pool), Golfsmith Myrtle Beach, which
is secured by a 35,000 sf single tenant retail property located in
Myrtle Beach, VA. The loan transferred to the special servicer in
January 2017 after the sole tenant filed for Chapter 11 bankruptcy
and vacated prior to its scheduled lease expiration. Foreclosure is
expected at this time.
Fitch Loans of Concern: Fitch has designated six loans (7.4% of
current pool) as Fitch Loans of Concern (FLOCs), which include one
top 15 loan (1.9%) and one specially serviced loan (0.7%). The 14th
largest loan, 2113 Kalakaua Avenue, recently experienced a drop in
occupancy due to a vacating tenant and faces significant upcoming
lease rollover risk in early 2018 comprising the two largest
tenants, which have historically been reporting stagnant or
declining sales and have extremely high occupancy costs. The other
four FLOCs outside of the top 15 include a multifamily loan with
below 1.0x coverage due to the property needing to undergo
long-term repairs after sustaining significant damages from
widespread flooding in 2016, two hotel loans with low DSCR and
another multifamily loan with lower occupancy since issuance.
Retail Concentration: Loans secured by retail properties represent
34.9% of the current pool, which includes five of the top 15 loans
(22%). The largest loan in the pool (9.5%) is secured by a regional
mall located in Newport News, VA and is sponsored by Pennsylvania
Real Estate Investment Trust.
High Hotel Exposure: Approximately 23.2% of the current pool,
including three of the top 10 loans (9.4%), consists of hotel
properties. This represents a higher hotel exposure than the
respective 2014, 2015 and 2016 averages of 14.2%, 17% and 16%.
Above-Average Amortization: At issuance, the pool was scheduled to
amortize by 14.5% of the initial pool balance through maturity,
which was considered above average compared to other similar
Fitch-rated, fixed-rate multiborrower transactions. The 2014 and
2015 averages were 12% and 11.7%, respectively. Of the current
pool, only 12.1% are full-term interest only and 43.1% are partial
interest-only.
Pool Diversity: The top 10 loans represent 40.6% of the current
pool, which is better diversity than similar vintage, Fitch-rated,
fixed-rate multiborrower transactions.
Pari-Passu and Additional Subordinate Debt: Two loans in the pool
are pari-passu: Patrick Henry Mall (9.5% of current pool) and
Patriots Park (0.6%). In addition, two loans have additional
subordinate debt held outside of the trust: DoubleTree DFW (2.6%)
and Holiday Inn & Suites - Salt Lake City (1%).
Limited Upcoming Maturities: Only 2.9% of the current pool is
scheduled to mature prior to 2025.
RATING SENSITIVITIES
Rating Outlooks for all classes remain Stable due to overall stable
performance of the pool and continued amortization. Upgrades may
occur with improved pool performance and additional paydown or
defeasance. Downgrades to the classes are possible should a
material asset-level or economic event adversely affect pool
performance.
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:
-- $19.8 million class A-1 at 'AAAsf'; Outlook Stable;
-- $17.9 million class A-2 at 'AAAsf'; Outlook Stable;
-- $6.6 million class A-3 at 'AAAsf'; Outlook Stable;
-- $391.8 million class A-4 at 'AAAsf'; Outlook Stable;
-- $54.8 million class A-SB at 'AAAsf'; Outlook Stable;
-- $41.2 million class A-S at 'AAAsf'; Outlook Stable;
-- Interest-only class X-A at 'AAAsf'; Outlook Stable;
-- $44.8 million class B at 'AA-sf'; Outlook Stable;
-- $33.1 million class C at 'A-sf'; Outlook Stable;
-- $119.1 million class PEX at 'A-sf'; Outlook Stable;
-- $38.5 million class D at 'BBB-sf'; Outlook Stable;
-- Interest-only class X-E at 'BB-sf'; Outlook Stable;
-- $17.9 million class E at 'BB-sf'; Outlook Stable;
-- Interest-only class X-F at 'B-sf'; Outlook Stable;
-- $8.1 million class F at 'B-sf'; Outlook Stable.
Fitch does not rate the class G or X-G certificates. Fitch
previously withdrew the ratings on the class A-4FL, A-4FX and X-B
certificates.
WFRBS COMMERCIAL 2012-C9: Moody's Affirms B2 Rating on Cl. F Certs
------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on 11 classes in
WFRBS Commercial Mortgage Trust 2012-C9, Commercial Pass-Through
Certificates, Series 2012-C9:
Cl. A-2, Affirmed Aaa (sf); previously on Jun 29, 2016 Affirmed Aaa
(sf)
Cl. A-3, Affirmed Aaa (sf); previously on Jun 29, 2016 Affirmed Aaa
(sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Jun 29, 2016 Affirmed
Aaa (sf)
Cl. A-S, Affirmed Aaa (sf); previously on Jun 29, 2016 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa3 (sf); previously on Jun 29, 2016 Affirmed Aa3
(sf)
Cl. C, Affirmed A3 (sf); previously on Jun 29, 2016 Affirmed A3
(sf)
Cl. D, Affirmed Baa3 (sf); previously on Jun 29, 2016 Affirmed Baa3
(sf)
Cl. E, Affirmed Ba2 (sf); previously on Jun 29, 2016 Affirmed Ba2
(sf)
Cl. F, Affirmed B2 (sf); previously on Jun 29, 2016 Affirmed B2
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on Jun 29, 2016 Affirmed Aaa
(sf)
Cl. X-B, Affirmed A2 (sf); previously on Jun 9, 2017 Downgraded to
A2 (sf)
RATINGS RATIONALE
The ratings on nine P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on the two IO classes were affirmed based on the credit
quality of their referenced classes.
Moody's rating action reflects a base expected loss of 3.4% of the
current balance, compared to 2.8% at Moody's last review. Moody's
base expected loss plus realized losses is now 3.1% of the original
pooled balance, compared to 2.6% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Approach to
Rating US and Canadian Conduit/Fusion CMBS" published in December
2014.
Additionally, the methodology used in rating Cl. X-A and Cl. X-B
was "Moody's Approach to Rating Structured Finance Interest-Only
(IO) Securities" published in June 2017.
DEAL PERFORMANCE
As of the June 17, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 8% to $964.1 million
from $1.05 billion at securitization. The certificates are
collateralized by 71 mortgage loans ranging in size from less than
1% to 11% of the pool, with the top ten loans constituting 45% of
the pool. Six loans, constituting 7% of the pool, have defeased and
are secured by US government securities.
Ten loans, constituting 11% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
There are currently no loans in special servicing.
Moody's received full year 2016 operating results for 81% of the
pool. Moody's weighted average conduit LTV is 91%, the same as at
Moody's last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 16% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 10%.
Moody's actual and stressed conduit DSCRs are 1.71X and 1.24X,
respectively, compared to 1.63X and 1.23X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 21% of the pool balance. The
largest loan is the Chesterfield Towne Center Loan ($103.6 million
-- 10.8% of the pool), which is secured by a nearly one million
square foot (SF) regional mall plus an adjacent 72,000 SF retail
property located in North Chesterfield, Virginia. The malls anchors
are Macy's, Garden Ridge, Sears, and JC Penney. Sears and JC Penney
occupy their spaces on ground leases, while the Macy's and Garden
Ridge boxes are owned by the borrower. As of March 2017, the total
mall and inline spaces were 95% and 82% leased, compared to 96% and
80% as of December 2015. Moody's LTV and stressed DSCR are 102% and
1.04X, respectively, compared to 95% and 1.05X at the last review.
The second largest loan is the Town Pavilion Loan ($56.0 million --
5.8% of the pool), which is secured by 844,000 SF of office space
and two parking garages in downtown Kansas City, Missouri. The loan
consists of four office buildings, two parking garages and includes
the 38-story Town Pavilion office tower, the second tallest
building in Kansas City. As of March 2017, occupancy was 88%,
compared to 94% in December 2015 and 85% at securitization. Moody's
LTV and stressed DSCR are 94% and 1.12X, respectively, compared to
87% and 1.21X at the last review.
The third largest loan is the Christiana Center Loan ($46.0 million
-- 4.8% of the pool), which is secured by a 303,000 SF power center
located in Newark, Delaware. The collateral consists of 162,000 SF
of owned retail space plus the land beneath a Costco store. In
addition to Costco, anchors include Dick's Sporting Goods (lease
expiration: November 2023) and Michaels (lease expiration: February
2028). As of March 2017, the property was 100% leased. Moody's LTV
and stressed DSCR are 102% and 0.96X, respectively, compared to
101% and 0.97X,at the last review.
WFRBS COMMERCIAL 2013-C15: Fitch Affirms Bsf Rating on Cl. F Certs
------------------------------------------------------------------
Fitch Ratings has affirmed 12 classes of WFRBS Commercial Mortgage
Trust (WFRBS) commercial mortgage pass-through certificates series
2013-C15.
KEY RATING DRIVERS
Stable Performance with No Material Changes: Overall pool
performance remains stable and in line with issuance expectations.
There has been limited paydown and increases in credit enhancement
since issuance. Although 12 loans (10.2%) are on the watchlist for
various reasons, only one (1.6%) is considered a Fitch Loan of
Concern. One loan (0.42%) is in special servicing due to imminent
default; performance was negatively impacted by the decrease in
activity in the oil and gas fields in the area.
Regional Mall is Largest Fitch Loan of Concern: Carolina Place
(8.1%) is the largest Fitch loan of concern. Non-collateral anchor
Macy's left the regional mall in March 2017. In addition, anchor
sales (Sears and JC Penney) and inline sales have also declined
since issuance. Both Sears and JC Penney recently renewed their
leases. Fitch will monitor occupancy for any potential co-tenancy
issues due to the Macy's store closure, as well as sales trends.
Pool Concentration: The pool is more concentrated by loan size than
average transactions in 2012 and 2013. The top 10 loans represent
58.8% of the pool, higher than the first-half 2013 and 2012 average
concentrations of 54.3% and 54.2%, respectively.
Property Type Concentration: The pool has a higher concentration of
retail (39.1%) with three malls in the top five loans, each of
which has exposure to Macy's, JC Penney and Sears. Additionally,
three of the top 10 loans are secured by self-storage properties, a
property type not common in the top 10 but that has historically
exhibited a delinquency rate of less than half the overall CMBS
delinquency rate. Further, there is a higher exposure to hotels, at
18% of the pool. The average first-half 2013 property type
concentrations for retail and hotel were 31.6% and 13.8%,
respectively.
Pool Amortization: The scheduled amortization for the entire
transaction is 15.2%, which is in line with most recent
transactions. Four loans, representing 11.7% of the pool, are
interest only loans, and 12 loans (41.7%) are partial interest only
loans prior to amortizing. The remainder of the pool consists of
two fully amortizing loans (1.3%) and 67 loans (45.4%) that
amortize prior to their respective maturity dates.
Low Mortgage Coupons: The pool's weighted average coupon is 4.52%,
well below historical averages.
RATING SENSITIVITIES
Rating Outlooks for all classes remain Stable due to the overall
stable performance of the pool and continued amortization. Rating
upgrades may be limited due to the higher retail exposure but may
occur with improved pool performance and additional paydown or
defeasance. Rating downgrades to the classes are possible should
overall pool performance decline.
Fitch expects to publish a U.S. CMBS Focus Report providing a
detailed and up-to-date perspective on key credit characteristics
of the transaction and property-level performance of the related
trust loans next week.
Fitch has affirmed the following ratings:
-- $34.8 million class A-2 at 'AAAsf', Outlook Stable;
-- $260 million class A-3 at 'AAAsf', Outlook Stable;
-- $301.8 million class A-4 at 'AAAsf', Outlook Stable;
-- $104.8 million class A-SB at 'AAAsf', Outlook Stable;
-- $80.3 million class A-S*at 'AAAsf', Outlook Stable;
-- $781.4 million class X-A** at 'AAAsf', Outlook Stable;
-- $74.7 million class B* at 'AA-sf', Outlook Stable;
-- $42.9 million class C* at 'A-sf', Outlook Stable;
-- $62.3 million class D at 'BBB-sf', Outlook Stable;
-- $22.1 million class E at 'BBsf', Outlook Stable;
-- $11.1 million class F at 'Bsf', Outlook Stable.
-- $197.9 million class PEX* at 'A-sf', Outlook Stable.
Class A-1 was repaid in full. Fitch does not rate the $38.7 million
class G notes.
* The class A-S, class B and class C certificates may be exchanged
for class PEX certificates, and class PEX certificates may be
exchanged for the class A-S, class B and class C certificates.
** Notional amount and interest only.
WFRBS COMMERCIAL 2013-C16: Fitch Affirms B-sf Rating on Cl. F Certs
-------------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of WFRBS Commercial Mortgage
Trust 2013-C16 certificates.
KEY RATING DRIVERS
Stable Performance: The pool continues to perform as expected and
no material changes have been noted since issuance. There are no
delinquent or specially serviced loans in the pool. The modeled
base case loss is in line with Fitch's base case loss projections
at issuance.
Strong Credit Metrics: As of the May 2017 distribution, the pool's
weighted-average debt service coverage ratio (DSCR) was 2.14x based
on borrower reporting, and the weighted-average debt yield was
12.6%. The weighted-average Fitch stressed loan to value (LTV) is
81.3%.
Amortization: Loans representing 29.3% of the pool are
interest-only for the full term, including the three largest loans.
Since issuance, the pool has experienced 4.2% collateral reduction
and is expected to amortize a total of 11.8% prior to maturity. Six
loans representing 15.4% of the pool are scheduled to mature in
2018.
Pool Concentration: Hotels account for 18.2% of the pool collateral
and 33% of the pool is backed by retail properties, including two
in the top 15. Hotels are deemed to experience more volatile cash
flow shifts given their nightly rental platform and high expense
ratios, and there is concern with the retail market as a whole due
to shifting trends in consumer spending.
RATING SENSITIVITIES
The Rating Outlook for all classes remains Stable as the pool
continues to perform as expected. No significant changes to the
pool's credit metrics have been observed since issuance and none
are expected in the near term. Fitch does not foresee any ratings
upgrades or downgrades until such a material shift occurs.
Fitch has affirmed the following ratings:
-- $8.7 million class A-1 at 'AAAsf', Outlook Stable;
-- $160.6 million class A-2 at 'AAAsf', Outlook Stable;
-- $44 million class A-3 at 'AAAsf', Outlook Stable;
-- $183 million class A-4 at 'AAAsf', Outlook Stable;
-- $221.6 million class A-5 at 'AAAsf', Outlook Stable;
-- $70.4 million class A-SB at 'AAAsf', Outlook Stable;
-- $100.7 million class A-S at 'AAAsf', Outlook Stable;
-- $789 million* class X-A at 'AAAsf', Outlook Stable;
-- $56.2 million class B at 'AA-sf', Outlook Stable;
-- $41.8 million class C at 'A-sf', Outlook Stable;
-- $0 class PEX at 'A-sf', Outlook Stable;
-- $47.1 million class D at 'BBB-sf', Outlook Stable;
-- $24.8 million class E at 'BB-sf', Outlook Stable;
-- $10.5 million class F at 'B-sf', Outlook Stable.
*Notional amount and interest only
Fitch does not rate the class G and X-B certificates. Fitch
previously withdrew the rating on the class X-C certificate. The
class A-S, B and C certificates may be exchanged for the class PEX
certificates and vice versa.
[*] Moody's Hikes $146MM of Second Lien RMBS Issued 2001-2007
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 29 tranches
from 17 transactions backed by second-lien RMBS loans.
Complete rating actions are:
Issuer: Bear Stearns Second Lien Trust 2007-SV1
Cl. A-2, Upgraded to Baa1 (sf); previously on Aug 18, 2016 Upgraded
to Baa3 (sf)
Underlying Rating: Upgraded to Baa1 (sf); previously on Aug 18,
2016 Upgraded to Baa3 (sf)
Financial Guarantor: Syncora Guarantee Inc. (Insured Rating
Withdrawn Nov 08, 2012)
Cl. A-3, Upgraded to Baa1 (sf); previously on Aug 18, 2016 Upgraded
to Baa3 (sf)
Underlying Rating: Upgraded to Baa1 (sf); previously on Aug 18,
2016 Upgraded to Baa3 (sf)
Financial Guarantor: Syncora Guarantee Inc. (Insured Rating
Withdrawn Nov 08, 2012)
Cl. M-1, Upgraded to Caa2 (sf); previously on Aug 18, 2016 Upgraded
to Ca (sf)
Issuer: CSFB Home Equity Pass-Through Certificates, Series 2004-6
Cl. M-2, Upgraded to Ba2 (sf); previously on Dec 16, 2010
Downgraded to B1 (sf)
Issuer: CWABS Master Trust Revolving Home Equity Loan Asset Backed
Notes, Series 2004-A
Notes, Upgraded to Ba2 (sf); previously on Oct 23, 2015 Upgraded to
B2 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: First Franklin Mortgage Loan Trust 2004-FFA
Cl. M3-A, Upgraded to Baa2 (sf); previously on Aug 18, 2016
Upgraded to Ba1 (sf)
Cl. M3-F, Upgraded to Baa2 (sf); previously on Aug 18, 2016
Upgraded to Ba1 (sf)
Issuer: GMACM Home Equity Loan Trust 2002-HE4
Cl. A-2, Upgraded to A3 (sf); previously on Aug 16, 2016 Upgraded
to Baa2 (sf)
Underlying Rating: Upgraded to A3 (sf); previously on Aug 16, 2016
Upgraded to Baa2 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: GMACM Home Equity Loan Trust 2003-HE2
Cl. A-4, Upgraded to A3 (sf); previously on Aug 16, 2016 Upgraded
to Baa2 (sf)
Underlying Rating: Upgraded to A3 (sf); previously on Aug 16, 2016
Upgraded to Baa2 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. A-5, Upgraded to A3 (sf); previously on Aug 16, 2016 Upgraded
to Baa2 (sf)
Underlying Rating: Upgraded to A3 (sf); previously on Aug 16, 2016
Upgraded to Baa2 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: GMACM Home Equity Loan Trust 2007-HE3
Cl. I-A-1, Upgraded to Ba1 (sf); previously on Aug 25, 2016
Upgraded to Ba3 (sf)
Cl. I-A-2, Upgraded to Ba2 (sf); previously on Aug 25, 2016
Upgraded to B2 (sf)
Issuer: GMACM Home Equity Loan-Backed Term Notes, Series 2001-HE2
Cl. I-A-2, Upgraded to B2 (sf); previously on May 21, 2010
Downgraded to Caa2 (sf)
Underlying Rating: Upgraded to B2 (sf); previously on May 21, 2010
Downgraded to Caa2 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: Irwin Home Equity Loan Trust 2002-1
Cl. IIB-1, Upgraded to Baa1 (sf); previously on Aug 16, 2016
Upgraded to Baa2 (sf)
Cl. IIM-1, Upgraded to A1 (sf); previously on Aug 16, 2016 Upgraded
to A3 (sf)
Cl. IIM-2, Upgraded to A3 (sf); previously on Aug 16, 2016 Upgraded
to Baa1 (sf)
Issuer: Irwin Home Equity Loan Trust 2006-2
Cl. IIA-2, Upgraded to Baa3 (sf); previously on Aug 8, 2016
Upgraded to Ba1 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: Irwin Whole Loan Home Equity Trust 2005-C
Cl. 1B-1, Upgraded to Ba1 (sf); previously on Oct 6, 2015 Upgraded
to Ba3 (sf)
Cl. 1B-2, Upgraded to Ba3 (sf); previously on Oct 6, 2015 Upgraded
to B2 (sf)
Cl. 1M-3, Upgraded to A3 (sf); previously on Feb 24, 2015 Upgraded
to Baa2 (sf)
Cl. 1M-4, Upgraded to Baa2 (sf); previously on Feb 24, 2015
Upgraded to Ba1 (sf)
Issuer: Lehman ABS Corporation Home Equity Loan Asset-Backed Notes,
Series 2005-1
Cl. A, Upgraded to Baa1 (sf); previously on Aug 8, 2016 Upgraded to
Ba1 (sf)
Underlying Rating: Upgraded to Baa1 (sf); previously on Aug 8, 2016
Upgraded to Ba1 (sf)
Financial Guarantor: Ambac Assurance Corporation (Insured Rating
Withdrawn Apr 07, 2011)
Issuer: Terwin Mortgage Trust 2004-10SL
Cl. B-1, Upgraded to Baa3 (sf); previously on Oct 19, 2015 Upgraded
to Ba2 (sf)
Cl. B-2, Upgraded to B2 (sf); previously on Oct 19, 2015 Upgraded
to Caa1 (sf)
Issuer: Terwin Mortgage Trust 2004-6SL
Cl. B-1, Upgraded to Baa3 (sf); previously on Oct 20, 2015 Upgraded
to Ba2 (sf)
Cl. B-2, Upgraded to Ba3 (sf); previously on Oct 20, 2015 Upgraded
to B2 (sf)
Issuer: Terwin Mortgage Trust 2005-1SL
Cl. M-2, Upgraded to Baa1 (sf); previously on Oct 20, 2015 Upgraded
to Baa3 (sf)
Issuer: Terwin Mortgage Trust 2005-3SL
Cl. M-1, Upgraded to Baa1 (sf); previously on Oct 19, 2015 Upgraded
to Baa3 (sf)
Issuer: Terwin Mortgage Trust 2005-7SL
Cl. M-1, Upgraded to Ba2 (sf); previously on Oct 20, 2015 Upgraded
to B2 (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pools
and Moody's updated loss expectations on these pools. The tranches
upgraded are primarily due to the build-up in credit enhancement
available to the bonds.
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 Hikes $2.1BB of Subprime RMBS Issued 2005-2006
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 69 tranches
from 29 transactions issued by CWABS, backed by subprime mortgage
loans.
Complete rating actions are:
Issuer: CWABS Asset-Backed Certificates Trust 2005-10
Cl. AF-4, Upgraded to Ba1 (sf); previously on Oct 13, 2016 Upgraded
to B1 (sf)
Cl. AF-5, Upgraded to B1 (sf); previously on Oct 13, 2016 Upgraded
to B2 (sf)
Cl. AF-6, Upgraded to Ba3 (sf); previously on Oct 13, 2016 Upgraded
to B1 (sf)
Cl. MV-5, Upgraded to Caa1 (sf); previously on Oct 13, 2016
Upgraded to Ca (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-11
Cl. AF-3, Upgraded to Baa2 (sf); previously on Oct 13, 2016
Upgraded to Ba1 (sf)
Cl. AF-4, Upgraded to Ba2 (sf); previously on Oct 13, 2016 Upgraded
to B2 (sf)
Cl. AF-5A, Upgraded to Ba3 (sf); previously on Oct 13, 2016
Upgraded to B2 (sf)
Cl. AF-5B, Upgraded to Ba3 (sf); previously on Oct 13, 2016
Upgraded to B2 (sf)
Underlying Rating: Upgraded to Ba3 (sf); previously on Oct 13, 2016
Upgraded to B2 (sf)
Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1,
Outlook Developing on Dec 02, 2016)
Cl. AF-6, Upgraded to Ba2 (sf); previously on Oct 13, 2016 Upgraded
to B1 (sf)
Cl. MV-4, Upgraded to B1 (sf); previously on Oct 13, 2016 Upgraded
to Caa1 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-12
Cl. M-3, Upgraded to B1 (sf); previously on Oct 26, 2016 Upgraded
to B2 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-13
Cl. 2-AV-1, Upgraded to Aaa (sf); previously on Oct 26, 2016
Upgraded to Aa2 (sf)
Cl. 3-AV-4, Upgraded to Aaa (sf); previously on Oct 26, 2016
Upgraded to Aa2 (sf)
Cl. MV-2, Upgraded to Caa3 (sf); previously on Oct 26, 2016
Upgraded to Ca (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-15
Cl. 1-AF-4, Upgraded to A3 (sf); previously on Oct 26, 2016
Confirmed at Baa2 (sf)
Cl. 1-AF-5 currently rated A2 (sf); previously on Oct 26, 2016
Confirmed at A2 (sf)
Underlying Rating: Upgraded to Baa1 (sf); previously on Oct 26,
2016 Confirmed at Baa2 (sf)
Financial Guarantor: Assured Guaranty Municipal Corp (Affirmed at
A2, Outlook Stable on August 8, 2016)
Cl. 1-AF-6, Upgraded to A3 (sf); previously on Oct 26, 2016
Confirmed at Baa1 (sf)
Cl. 2-AV-3, Upgraded to Aa3 (sf); previously on Oct 26, 2016
Upgraded to A1 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-16
Cl. MV-3, Upgraded to Caa3 (sf); previously on Mar 25, 2009
Downgraded to C (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-17
Cl. 2-AV, Upgraded to Aaa (sf); previously on Oct 26, 2016 Upgraded
to Aa3 (sf)
Cl. 3-AV-1, Upgraded to Aaa (sf); previously on Oct 26, 2016
Upgraded to Aa2 (sf)
Cl. 3-AV-2, Upgraded to Aaa (sf); previously on Oct 26, 2016
Upgraded to Aa3 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-3
Cl. MF-2, Upgraded to Caa3 (sf); previously on Apr 14, 2010
Downgraded to C (sf)
Cl. MV-7, Upgraded to Caa3 (sf); previously on Oct 13, 2016
Upgraded to Ca (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-4
Cl. MF-2, Upgraded to Caa3 (sf); previously on Oct 13, 2016
Upgraded to Ca (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-6
Cl. M-5, Upgraded to B1 (sf); previously on Oct 13, 2016 Upgraded
to B2 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-7
Cl. MF-2, Upgraded to Caa1 (sf); previously on Oct 13, 2016
Upgraded to Ca (sf)
Cl. MV-2, Upgraded to A3 (sf); previously on Oct 13, 2016 Upgraded
to Baa1 (sf)
Cl. MV-5, Upgraded to Caa2 (sf); previously on Oct 13, 2016
Upgraded to Ca (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-AB2
Cl. 1-A-1, Upgraded to Aa3 (sf); previously on Oct 26, 2016
Upgraded to A1 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-BC2
Cl. M-7, Upgraded to Ca (sf); previously on Apr 14, 2010 Downgraded
to C (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-BC5
Cl. M-5, Upgraded to Ca (sf); previously on Mar 25, 2009 Downgraded
to C (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-1
Cl. AF-3, Upgraded to B2 (sf); previously on Oct 19, 2016 Upgraded
to Caa1 (sf)
Cl. AF-4, Upgraded to Caa2 (sf); previously on Oct 19, 2016
Upgraded to Caa3 (sf)
Cl. AF-6, Upgraded to Caa1 (sf); previously on Oct 19, 2016
Upgraded to Caa2 (sf)
Cl. AV-3, Upgraded to A1 (sf); previously on Oct 19, 2016 Upgraded
to Baa1 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-13
Cl. 2-AV, Upgraded to Baa1 (sf); previously on Oct 19, 2016
Upgraded to Ba1 (sf)
Cl. 3-AV-2, Upgraded to Baa3 (sf); previously on Oct 19, 2016
Upgraded to Ba1 (sf)
Cl. 3-AV-3, Upgraded to Ba2 (sf); previously on Oct 19, 2016
Upgraded to B1 (sf)
Cl. MV-1, Upgraded to Ca (sf); previously on Apr 14, 2010
Downgraded to C (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-14
Cl. 1-A, Upgraded to B3 (sf); previously on Oct 19, 2016 Confirmed
at Caa2 (sf)
Cl. 2-A-2, Upgraded to Ba1 (sf); previously on Oct 19, 2016
Upgraded to Ba2 (sf)
Cl. 2-A-3, Upgraded to Ba3 (sf); previously on Oct 19, 2016
Upgraded to B1 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-17
Cl. 1-A, Upgraded to Baa1 (sf); previously on Oct 19, 2016 Upgraded
to Ba1 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-20
Cl. 1-A, Upgraded to B3 (sf); previously on Oct 17, 2016 Upgraded
to Caa2 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-23
Cl. 1-A, Upgraded to Caa2 (sf); previously on Oct 17, 2016
Confirmed at Caa3 (sf)
Cl. 2-A-3, Upgraded to B3 (sf); previously on Oct 17, 2016 Upgraded
to Caa1 (sf)
Cl. 2-A-4, Upgraded to Caa3 (sf); previously on Oct 17, 2016
Upgraded to Ca (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-25
Cl. 2-A-3, Upgraded to B1 (sf); previously on Oct 17, 2016 Upgraded
to B3 (sf)
Cl. 2-A-4, Upgraded to Caa2 (sf); previously on Oct 17, 2016
Upgraded to Caa3 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-3
Cl. 2-A-3, Upgraded to Aaa (sf); previously on Oct 26, 2016
Upgraded to Aa3 (sf)
Cl. 3-A-2, Upgraded to Aaa (sf); previously on Oct 26, 2016
Upgraded to Aa3 (sf)
Cl. M-2, Upgraded to Ca (sf); previously on Apr 14, 2010 Downgraded
to C (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-4
Cl. 1-A-1, Upgraded to Aaa (sf); previously on Oct 26, 2016
Upgraded to Aa1 (sf)
Cl. 1-A-1M, Upgraded to Aaa (sf); previously on Oct 26, 2016
Upgraded to Aa2 (sf)
Cl. 2-A-3, Upgraded to Aa3 (sf); previously on Oct 26, 2016
Upgraded to A1 (sf)
Cl. M-1, Upgraded to B1 (sf); previously on Oct 26, 2016 Upgraded
to B2 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-5
Cl. 1-A, Upgraded to Baa2 (sf); previously on Oct 19, 2016 Upgraded
to Ba2 (sf)
Cl. 2-A-3, Upgraded to Baa3 (sf); previously on Oct 19, 2016
Upgraded to Ba2 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-6
Cl. 1-A-1, Upgraded to Baa1 (sf); previously on Oct 19, 2016
Upgraded to Baa2 (sf)
Cl. 1-A-1M, Upgraded to Baa2 (sf); previously on Oct 19, 2016
Upgraded to Baa3 (sf)
Cl. 2-A-3, Upgraded to A1 (sf); previously on Oct 19, 2016 Upgraded
to A2 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-8
Cl. 1-A, Upgraded to Aaa (sf); previously on Oct 19, 2016 Upgraded
to Aa2 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-BC1
Cl. M-2, Upgraded to B1 (sf); previously on Oct 19, 2016 Upgraded
to Ca (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-BC3
Cl. 2-A-2, Upgraded to Aaa (sf); previously on Oct 19, 2016
Upgraded to Aa1 (sf)
Cl. 2-A-3, Upgraded to Aa2 (sf); previously on Oct 19, 2016
Upgraded to A1 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-BC4
Cl. 1-A, Upgraded to A1 (sf); previously on Oct 19, 2016 Upgraded
to Baa1 (sf)
Cl. 2-A-2, Upgraded to Baa2 (sf); previously on Oct 19, 2016
Upgraded to Ba1 (sf)
Cl. 2-A-3, Upgraded to Ba1 (sf); previously on Oct 19, 2016
Upgraded to B1 (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 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.
[*] S&P Discontinues 'D' Ratings on 33 Classes From 22 CMBS Deals
-----------------------------------------------------------------
S&P Global Ratings discontinued its 'D (sf)' ratings on 33 classes
from 22 U.S. commercial mortgage-backed securities (CMBS)
transactions.
S&P discontinued these ratings according to its surveillance and
withdrawal policy. S&P had previously lowered the ratings to
'D (sf)' on these classes because of principal losses and/or
accumulated interest shortfalls that S&P believed would remain
outstanding for an extended period of time. S&P views a subsequent
upgrade to a rating higher than 'D (sf)' to be unlikely under the
relevant criteria for the classes within this review.
A list of the Affected Ratings is available at:
http://bit.ly/2tZLRGw
[*] S&P Discontinues Ratings on 20 Classes From 8 CDO Transactions
------------------------------------------------------------------
S&P Global Ratings discontinued its ratings on 18 classes from six
cash flow (CF) collateralized loan obligation (CLO) transactions
and two classes from two CF collateral debt obligations (CDO)
backed by other collateral.
The discontinuances follow the complete paydown of the notes as
reflected in the most recent trustee-issued note payment reports
for each transaction:
-- BlueMountain CLO II Ltd. (CF CLO): senior-most tranches paid
down, other rated tranches still outstanding.
-- Canyon Capital CLO 2014-2 Ltd. (CF CLO): optional redemption
in April 2017.
-- Carlyle McLaren CLO Ltd. (CF CLO): optional redemption in
May 2017.
-- Emerson Place CLO Ltd. (CF CLO): optional redemption in May
2017.
-- NewMark Capital Funding 2013-1 CLO Ltd. (CF CLO): class A-X
notes(i) paid down, other rated tranches still outstanding.
-- Octagon Investment Partners XI Ltd (CF CLO): optional
redemption in May 2017.
-- Repackaged CLO Series OT-A1 Ltd. (CF CDO other): rated
tranche paid down.
-- Repackaged CLO Series OT-A2 Ltd. (CF CDO other): rated
tranche paid down.
(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
BlueMountain CLO II Ltd.
Rating
Class To From
A NR AAA (sf)
A-2 NR AAA (sf)
B NR AA (sf)
Canyon Capital CLO 2014-2 Ltd.
Rating
Class To From
A NR AAA (sf)
B NR AA (sf)
C NR A (sf)
D NR BBB (sf)
E NR BB (sf)
Carlyle McLaren CLO Ltd.
Rating
Class To From
A-2L NR AAA (sf)
A-3L NR AA+ (sf)
B-1L NR A+ (sf)
B-2L NR B+ (sf)
Emerson Place CLO Ltd.
Rating
Class To From
E NR CCC+ (sf)
NewMark Capital Funding 2013-1 CLO Ltd.
Rating
Class To From
A-X NR AAA (sf)
Octagon Investment Partners XI Ltd.
Rating
Class To From
A-2 NR AAA (sf)
B NR AAA (sf)
C NR AA+ (sf)
D NR BB+ (sf)
Repackaged CLO Series OT-A1 Ltd.
Rating
Class To From
A NR AAA (sf)
Repackaged CLO Series OT-A2 Ltd.
Rating
Class To From
A NR AAA (sf)
NR--Not rated.
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
TCR subscribers have free access to our on-line news archive.
Point your Web browser to http://TCRresources.bankrupt.com/and use
the e-mail address to which your TCR is delivered to login.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman,
Editors.
Copyright 2017. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The TCR subscription rate is $975 for 6 months delivered via
e-mail. Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each. For subscription information, contact Peter A.
Chapman at 215-945-7000 or Nina Novak at 202-362-8552.
*** End of Transmission ***