/raid1/www/Hosts/bankrupt/TCR_Public/170827.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, August 27, 2017, Vol. 21, No. 238
Headlines
ALLEGRO CLO V: Moody's Assigns (P)Ba3 Rating to Class E Notes
ASSET SECURITIZATION 1997-D4: Moody's Affirms C Rating on PS-1 Debt
AVERY POINT V: Moody's Lowers Rating on Class F Notes to Caa1(sf)
BANC OF AMERICA 2006-1: Moody's Cuts Class F Certs Rating to Caa3
BANC OF AMERICA 2007-1: Moody's Cuts Ratings on 3 Tranches to Ba1
BANC OF AMERICA 2007-5: Fitch Hikes Rating on Cl. A-J Certs to CCC
BANC OF AMERICA 2008-1: Moody's Cuts Class A-J Debt Rating to B1
BENEFIT STREET VI: S&P Gives Prelim. BB- Rating on Class D-R Notes
BLUEMOUNTAIN FUJI II: S&P Gives Prelim BB- Rating on Cl. D Notes
BX TRUST 2017-APPL: S&P Assigns B-(sf) Rating on Class F Certs
CITIGROUP 2016-C2: Fitch Affirms 'B-sf' Rating on 2 Tranches
CREST 2004-1: Moody's Affirms C(sf) Ratings on 5 Tranches
DBUBS MORTGAGE 2011-LC1: Fitch Affirms 'Bsf' Rating on Cl G Certs
FANNIE MAE 2017-C06: Fitch Assigns 'Bsf' Ratings to 38 Tranches
GE COMMERCIAL 2007-C1: Moody's Lowers Ratings on 3 Tranches to B3
GOLD KEY 2014-A: S&P Removes BB Class C Debt Rating from Watch Neg.
GS MORTGAGE 2014-GSFL: S&P Affirms B(sf) Rating on Class F Certs
GSCCRE 2015-HULA: Fitch Affirms 'B-sf' Ratings on 3 Tranches
GSR MORTGAGE 2005-5F: Moody's Hikes Ratings on 4 Tranches to Ba1
JUPITER HIGH-GRADE: Moody's Hikes Ratings on 2 Tranches to B3
LCM LTD XXV: Moody's Assigns Ba3(sf) Rating to Class E Notes
MARYLAND TRUST 2006-1: Moody's Cuts Rating on Series A Certs to Ba1
MERRILL LYNCH 2006-C2: Moody's Affirms C Ratings on 3 Tranches
MSSG TRUST 2017-237P: S&P Assigns BB-(sf) Rating on Class E Certs
OCEAN CLO IV: S&P Assigns Prelim BB+(sf) Rating on Class E-R Notes
OZLM LTD XI: Moody's Assigns B3(sf) Rating to Class E-R Notes
PALMER SQUARE 2017-1: S&P Gives Prelim BB(sf) Rating on Cl. D Notes
PRESTIGE AUTO 2017-1: S&P Assigns BB(sf) Rating on Class F Notes
S-JETS 2017-1: S&P Assigns BB(sf) Rating on $780.8MM Class C Notes
SEQUOIA MORTGAGE 2004-6: Moody's Cuts Cl. X-B Debt Rating to Caa3
TCP WHITNEY: S&P Assigns BB-(sf) Rating on $329.55MM Class D Notes
UBS COMMERCIAL 2012-C1: Moody's Cuts Class F Debt Rating to 'B3'
UBS COMMERCIAL 2017-C2: Fitch Assigns B- Rating to Cl. H-RR Certs
WELLS FARGO 2016-LC24: Fitch Affirms 'BB-sf' Rating on Cl. F Certs
WELLS FARGO 2017-C39: Fitch Assigns B-sf Rating to Cl. G-RR Certs
WFRBS COMMERCIAL 2014-C23: Fitch Affirms Bsf Rating on Cl. F Certs
YORK CLO-3: Moody's Assigns B3(sf) Rating to Class F Notes
[*] S&P Lowers Ratings on 7 Classes From 3 US Re-REMIC RMBS Deals
[*] S&P Takes Various Actions on 101 Classes From 21 US RMBS Deals
[*] S&P Takes Various Actions on 47 Classes From 9 US RMBS Deals
[*] US CMBS Conduit Loan Delinquencies Drop in July, Moody's Says
*********
ALLEGRO CLO V: Moody's Assigns (P)Ba3 Rating to Class E Notes
-------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of notes to be issued by Allegro CLO V, Ltd.
Moody's rating action is:
US$3,000,000 Class X Senior Secured Floating Rate Notes due 2029
(the "Class X Notes"), Assigned (P)Aaa (sf)
US$317,500,000 Class A Senior Secured Floating Rate Notes due 2029
(the "Class A Notes"), Assigned (P)Aaa (sf)
US$59,500,000 Class B Senior Secured Floating Rate Notes due 2029
(the "Class B Notes"), Assigned (P)Aa2 (sf)
US$26,750,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2029 (the "Class C Notes"), Assigned (P)A2 (sf)
US$33,250,000 Class D Mezzanine Secured Deferrable Floating Notes
due 2029 (the "Class D Notes"), Assigned (P)Baa3 (sf)
US$25,500,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2029 (the "Class E Notes"), Assigned (P)Ba3 (sf)
The Class X, 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 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.
Allegro CLO V is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90% of the portfolio must consist
of senior secured loans and eligible investments that are principal
proceeds, and up to 10% of the portfolio may consist of second lien
loans and senior unsecured loans. Moody's expects the portfolio to
be approximately 75% ramped as of the closing date.
AXA Investment Managers, Inc. (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 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: 58
Weighted Average Rating Factor (WARF): 2895
Weighted Average Spread (WAS): 3.60%
Weighted Average Coupon (WAC): 6.50%
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 2895 to 3329)
Rating Impact in Rating Notches
Class X Notes: 0
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 2895 to 3764)
Rating Impact in Rating Notches
Class X Notes: 0
Class A Notes: -1
Class B Notes: -3
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
ASSET SECURITIZATION 1997-D4: Moody's Affirms C Rating on PS-1 Debt
-------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on one interest
only (IO) class of Asset Securitization Corporation, Commercial
Mortgage Pass-Through Certificates, Series 1997-D4.
PS-1, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The rating on the IO class was affirmed based on the credit quality
of the referenced classes . The IO class is the only outstanding
Moody's rated class in this transaction.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
An IO class may be subject to ratings upgrades if there is an
improvement in the credit quality of its referenced classes,
subject to the limits and provisions of the updated IO
methodology.
An IO class may be subject to ratings downgrades if there is (i) a
decline in the credit quality of the reference classes and/or (ii)
paydowns of higher quality reference classes, subject to the limits
and provisions of the updated IO methodology.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in this rating was "Moody's Approach
to Rating Large Loan and Single Asset/Single Borrower CMBS"
published in July 2017.
Additionally, the methodology used in rating PS-1 was "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the July 14, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $29.3 million
from $1.40 billion at securitization. The certificates are
collateralized by one outstanding mortgage loan.
The sole remaining loan is the K-Mart Distribution Center Loan
($29.3 million), which is secured by a 2.8 million SF,
two-property, warehouse portfolio. The properties, which are
located in Brighton, Colorado and Greensboro, NC, are 100% leased
to K-Mart through March 2022. Kmart distribution center in
Greensboro is closed. Moody's incorporated a Lit/Dark analysis to
account for the single-tenant exposure. The loan had its
anticipated repaymend date (ARD) as of April 11, 2017, but the
borrower was not able to payoff the loan. The loan is current and
on the servicer's watchlist.
Twenty-two loans have been liquidated from the pool, resulting in
an aggregate realized loss of $33.5 million (for an average loss
severity of 22%). The pool's realized loss is 2.4% of the original
balance.
AVERY POINT V: Moody's Lowers Rating on Class F Notes to Caa1(sf)
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Moody's Investors Service has downgraded the rating on the
following notes issued by Avery Point V CLO, Limited:
US$5,000,000 Class F Senior Secured Deferrable Floating Rate Notes
due 2026 (the "Class F Notes"), Downgraded to Caa1 (sf); previously
on July 15, 2014 Definitive Rating Assigned B3 (sf)
Avery Point V CLO, Limited issued in July 2014, is a collateralized
loan obligation CLO backed primarily by a portfolio of senior
secured loans. The transaction's reinvestment period will end in
July 2018.
RATINGS RATIONALE
The rating downgrade on the Class F notes reflects loss of
collateral par coverage on the notes since the deal's closing in
2014. Furthermore, the weighted average spread (WAS) of the
portfolio has also declined, to 3.54% in August 2017 from 4.55% in
October 2014, reducing excess spread available to support the Class
F notes.
The rating action also reflects corrections to Moody's prior
analysis. In the July 2014 rating action, Moody's modelled the
transaction using incorrect inputs for deferred interest from
principal proceeds and certain fees. These errors have been
corrected, and rating action reflects these changes.
Methodology Underlying Rating Action:
The principal methodology used in this rating 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 Rating:
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 commence 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.
6) Post-Reinvestment Period trading: Subject to certain
requirements, the deal can reinvest certain proceeds after the end
of the reinvestment period, and as such the manager has the ability
to erode some of the collateral quality metrics to the covenant
levels. Such reinvestment could affect the transaction either
positively or negatively.
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 Class F 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 the 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% (2363)
Class F: 3
Moody's Adjusted WARF + 20% (3545)
Class F: -3
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 $390.5 million, no defaulted par, a
weighted average default probability of 23.08% implying a WARF of
2954), a weighted average recovery rate upon default of 49.38%, a
diversity score of 56 and a weighted average spread of 3.54%
(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.
BANC OF AMERICA 2006-1: Moody's Cuts Class F Certs Rating to Caa3
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Moody's Investors Service has affirmed the ratings on four classes
and downgraded the rating on one class in Banc of America
Commercial Mortgage Inc. Commercial Mortgage Pass-Through
Certificates, Series 2006-1:
Cl. D, Affirmed Baa1 (sf); previously on Oct 21, 2016 Upgraded to
Baa1 (sf)
Cl. E, Affirmed B3 (sf); previously on Oct 21, 2016 Affirmed B3
(sf)
Cl. F, Downgraded to Caa3 (sf); previously on Oct 21, 2016 Affirmed
Caa2 (sf)
Cl. G, Affirmed C (sf); previously on Oct 21, 2016 Affirmed C (sf)
Cl. XC, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The ratings on Classes D and E were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges. The rating on Class G was affirmed because the ratings are
consistent with Moody's expected loss plus realized losses. Class G
has already experienced a 43% realized loss as result of previously
liquidated loans.
The rating on Class F was downgraded due to anticipated losses from
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 35.6% of the
current pooled balance, compared to 11.2% at Moody's last review.
Moody's base expected loss plus realized losses is now 7.9% of the
original pooled balance, compared to 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 principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.
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 53% 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 to the most junior classes and the recovery
as a pay down of principal to the most senior classes.
DEAL PERFORMANCE
As of the August 10, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 96% to $87 million
from $2.04 billion at securitization. The certificates are
collateralized by five mortgage loans ranging in size from less
than 1% to 52.6% of the pool. One loan, constituting 1.1% of the
pool, has defeased and is secured by US government securities.
Thirty-eight loans have been liquidated from the pool, resulting in
an aggregate realized loss of $130.6 million (for an average loss
severity of 40.5%). One loan, constituting 52.6% of the pool, is
currently in special servicing. The specially serviced loan is the
Medical Mutual Headquarters ($45.7 million -- 52.6% of the pool),
which is secured by a historic, 381,000 square foot (SF) office
property in downtown Cleveland, Ohio. The property is 100% leased
to Medical Mutual of Ohio, a health insurer, which uses the
property as its headquarters. The tenant's lease extends through
September 2020. The loan transferred to special servicing after the
loan passed its scheduled maturity date of January 1, 2016. As per
the Special Servicer, the foreclosure process is still ongoing.
As of the August 10, 2017 remittance statement cumulative interest
shortfalls were $7.98 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.
The three remaining performing loans represent 46.3% of the pool
balance. The largest performing loan is the Plaza Antonio Loan
($35.6 million -- 40.9% of the pool), which is secured by an
106,000 square foot (SF) retail center located in Rancho Santa
Margarita, California. The loan transferred to the special servicer
in January 2011 because the borrower indicated they could not
support the amortized debt service payments. The special servicer
returned the asset to the master servicer in February 2014 with no
modification. As per the April 2017 rent roll the property was 92%
leased, compared to 100% leased as of June 2016. The loan benefits
from amortization and is current on its debt service payments. The
loan matures in January 2021 and Moody's LTV and stressed DSCR are
125.9% and 0.79X, respectively.
The second largest loan is the Best Buy -- Northridge, CA Loan
($4.3 million -- 5% of the pool), which is secured by a 45,000
square foot (SF), single tenant, retail property located in Porter
Ranch, California, approximately 29 miles north of downtown LA. The
property is located within the Porter Ranch Town Center, which is a
560,000 square foot (SF) dominant power center anchored by a
Walmart, Toys "R" Us and Ralph's. Moody's value incorporates a
lit/dark analysis due to the property's single tenancy. Moody's LTV
and stressed DSCR are 128% and 0.82X, respectively.
The remaining performing loan is the FDA Building Loan ($0.43
million -- 0.5% of the pool), which is secured by a 72,220 square
foot (SF) single tenant office building. The loan is fully
amortizing and has amortized 95% since securitization. Moody's
value incorporates a lit/dark analysis due to the property's single
tenancy. Moody's LTV and stressed DSCR are 3.4% and greater than
4.00X, respectively.
BANC OF AMERICA 2007-1: Moody's Cuts Ratings on 3 Tranches to Ba1
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Moody's Investors Service has affirmed the ratings on four classes
and downgraded the ratings on four classes in Banc of America
Commercial Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2007-1:
Cl. A-MFX, Downgraded to Ba1 (sf); previously on Sep 8, 2016
Affirmed Baa1 (sf)
Cl. A-MFX2, Downgraded to Ba1 (sf); previously on Sep 8, 2016
Affirmed Baa1 (sf)
Cl. A-MFL, Downgraded to Ba1 (sf); previously on Sep 8, 2016
Affirmed Baa1 (sf)
Cl. A-J, Downgraded to C (sf); previously on Sep 8, 2016 Downgraded
to Caa3 (sf)
Cl. B, Affirmed C (sf); previously on Sep 8, 2016 Downgraded to C
(sf)
Cl. C, Affirmed C (sf); previously on Sep 8, 2016 Affirmed C (sf)
Cl. D, Affirmed C (sf); previously on Sep 8, 2016 Affirmed C (sf)
Cl. XW, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The ratings on four principal and interest (P&I) classes were
downgraded due to interest shortfalls and higher anticipated losses
from specially serviced and troubled loans.
The ratings on three P&I classes were affirmed because the ratings
are consistent with Moody's expected loss.
The rating on the IO Class (Class XW) was affirmed based on the
credit quality of its referenced classes.
Moody's rating action reflects a base expected loss of 65.2% of the
current balance, compared to 18.5% at Moody's last review. Moody's
base expected loss plus realized losses is now 18.4% of the
original pooled balance, compared to 17.4% 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 July 2017.
Additionally, the methodology used in rating Cl. XW was "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" methodology published in June 2017.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 79% of the pool is in
special servicing and Moody's has identified additional troubled
loans representing 5% 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 loan to the
most junior classes and the recovery as a pay down of principal to
the most senior classes.
DEAL PERFORMANCE
As of the August 15, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 86% to $450.9
million from $3.1 billion at securitization. The certificates are
collateralized by 17 mortgage loans ranging in size from less than
1% to 31% of the pool, with the top ten loans constituting 91% 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 18 at Moody's last review.
Three loans, constituting 8% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Thirty loans have been liquidated from the pool, resulting in an
aggregate realized loss of $287 million (for an average loss
severity of 41%). The largest loan in special serving is the
Skyline Portfolio ($140 million A-note -- 31.3% of the pool, and a
$131 million B-note -- 29.3% of the pool), which represents a
portion of a total $678.0 million mortgage loan. The loan is
secured by eight cross-collateralized and cross-defaulted office
properties totaling 2.6 million (SF) which are located outside of
Washington, DC in Falls Church, Virginia. A modification closed
effective October 30, 2013. Post-modification, the loan returned to
the master servicer in February 2014, however, in April 2016 the
loan transferred to special servicing again for imminent monetary
default. In December 2016 the loan became REO. The consolidated
occupancy as of April 2017 was 45%. Moody's estimates a significant
loss for this specially serviced loan.
The remaining eight specially serviced loans are secured by a mix
of property types. Moody's estimates an aggregate $267.5 million
loss for the specially serviced loans (76% expected loss on
average).
Moody's has assumed a high default probability for three poorly
performing loans, constituting 5% of the pool, and has estimated an
aggregate loss of $14.9 million (a 63% expected loss on average)
from these troubled loans.
As of the August 15, 2017 remittance statement cumulative interest
shortfalls were $56.3 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 2017 operating results for 100% of the
pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 125%, compared to 96% 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 24% 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 0.98X and 0.80X,
respectively, compared to 1.32X and 1.03X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 13% of the pool balance. The
largest loan is the BMW Financial Services Building Loan ($28.8
million -- 6.4% of the pool), which is secured by a single tenant
suburban office building located in Hilliard, Ohio (approximately
16 miles NE of Columbus). The property was 100% leased as of June
2017. The loan is coterminous with the lease expiration. Moody's
utilized a Lit/Dark analysis for the loan. Moody's LTV and stressed
DSCR are 134% and 0.73X, respectively.
The second largest loan is the Merrymeeting Plaza A-Note Loan
($14.3 million -- 3.2% of the pool), which is secured by a
grocery-anchored 157,980 SF retail property located in Brunswick,
Maine. A loan modification was executed in December 2015 splitting
the loan into two notes; Note A - $14,250,000 and Note B -
$10,100,000. The loan returned from special servicing effective May
2016 as a corrected mortgage. The property is anchored by a Shaw's
Supermarket and includes national tenants such as Bed Bath & Beyond
and PetSmart. As of July 2017 the property was 74% leased. Moody's
identified the $10.1 million B-Note as a troubled loan. Moody's
A-Note LTV and stressed DSCR are 132% and 0.71X, respectively.
The third largest loan is the Orchard Ridge Corporate Park Loan
($12.9 million -- 2.9% of the pool), which is secured by a 153,153
SF office building located in Brewster, New York. As of May 2017
the property was 85% leased. Moody's LTV and stressed DSCR are 105%
and 0.93X, respectively, the same as at the last review.
BANC OF AMERICA 2007-5: Fitch Hikes Rating on Cl. A-J Certs to CCC
------------------------------------------------------------------
Fitch Ratings has upgraded one and affirmed 17 classes of Banc of
America Commercial Mortgage Trust, commercial mortgage pass-through
certificates, series 2007-5 (BACM 2007-5).
KEY RATING DRIVERS
Increased Credit Enhancement and Lower Loss Expectations: The
upgrade of class A-J reflects a lower likelihood of default. Credit
enhancement has increased and Fitch's overall pool loss
expectations have decreased since the last rating action. The
Collier Center and Smith Barney Building loans have both paid in
full; these were the largest and third largest contributors to
expected losses at the last rating action. Default for class A-J is
now considered possible.
Fitch modeled losses of 24.6% of the remaining pool; expected
losses on the original pool balance total 11.8%, including $89.7
million (4.8% of the original pool balance) in realized losses
incurred to date. This compares to loss expectations of 18.5% of
the original pool balance at Fitch's last rating action. As of the
August 2017 distribution date, the pool's aggregate principal
balance has been reduced by 71.8% to $523.9 million from $1.86
billion at issuance. Interest shortfalls totaling $20.2 million are
currently affecting classes D through K and classes O through S.
Pool Concentration and Adverse Selection: The affirmations reflect
the increasing concentration and adverse selection of the remaining
pool. Only 32 of the original 101 loans remain. Fitch has
designated 14 loans (45.3% of current pool) as Fitch Loans of
Concern, which includes seven loans/assets (30.8%) in special
servicing.
Loss expectations on the specially serviced loans have increased
since the last rating. Of these seven loans/assets in special
servicing, two are real-estate owned (REO; 8.9%), one is in
foreclosure (5.2%), one is 30 days delinquent (10.1%), two are
non-performing matured balloon loans (3.9%) and one remains current
(2.7%). Fitch performed a sensitivity analysis that applied
additional stresses on loans/assets in special servicing. The
ratings reflect this sensitivity analysis.
The largest contributor to Fitch's loss expectations is the 500
Virginia Drive asset (5.5% of pool), a 367,681 square foot (sf)
office building in Fort Washington, PA. The asset has been REO
since September 2014. Occupancy as of June 2017 was 57.6%, up from
43.4% one year earlier due to a newly executed lease. The special
servicer is continuing with leasing efforts prior to marketing the
asset for sale.
The next largest contributor to Fitch's loss expectations is the
Green Oak Village Place loan (11.4%). The loan collateral is part
of a two-phase lifestyle center located in Brighton, MI. The entire
development is located on a 67-acre site and contains a combined
total square footage of 485,541 sf. Phase I, which serves as the
loan's collateral, consists of 314,896 sf and was built between
2005 and 2006. The loan has transferred to the special servicer
twice, once in January 2009 and then again in June 2015, both times
for imminent default. The loan has been modified three times. The
first modification was in November 2009 which the borrower
re-defaulted on approximately two years later. The second
modification, which the sponsor injected approximately $2 million
of new capital for tenant improvement and leasing commissions and
funding of reserves and legal/title costs, occurred in June 2015
and included a principal write-off of approximately $2.6 million, a
loan bifurcation into a $28 million A-1 note and a $32.3 million
A-2 note and a maturity date extension to June 2016. The third loan
modification occurred sponsor. A third loan modification occurred
in July 2016 and further extended the maturity date to June 2018
with two, one-year extension options. Occupancy as of June 2017
improved to 86.4% from 75% in May 2016. TJ Maxx executed a lease
for 7% of the net rentable area (NRA) in September 2016. A new
10-year lease with Petco (4.4% of NRA) is commencing in September
2017, which will boost occupancy above 90%.
The third largest contributor to Fitch expected losses is the
Blanton Commons loan (5.2%), which is secured by an 860-bed student
housing property in Valdosta, GA serving Valdosta State University.
Due to lower enrolment at the university and the addition of newer
supply in the market, property performance and cash flow has
suffered significantly. Year-end (YE) 2016 net operating income
(NOI) declined 49% from 2015 and is down 72% since issuance.
Occupancy as of June 2017 was 83.5% compared to 94% at issuance. YE
2016 debt service coverage ratio, on a NOI basis, was 0.35x. The
anticipated foreclosure date is mid-October 2017.
The largest specially serviced loan is 4000 Wisconsin Avenue
(10.1%), which is secured by the leasehold interest in three,
five-story office buildings totaling 491,311 sf located in the
Uptown office submarket of Washington, DC. The property is subject
to a 75-year, ground lease expiring in January 2061 with no renewal
options. The loan was recently transferred to special servicing in
June 2017 for imminent default due to Fannie Mae, which occupies
all of the office space at the property (428,003 sf; 87% of NRA),
indicating that it will not renew its lease expiring at the end of
April 2018 as the tenant is consolidating its spaces throughout the
Washington, DC market. Fannie Mae's lease expiration is
co-terminous with the loan's April 1, 2018 maturity. The office
space is extremely dated and repositioning costs are expected to be
high in order to re-tenant. The special servicer continues to
evaluate potential strategies at this time.
Upcoming Loan Maturities: Excluding those loans/assets in special
servicing, 39.1% of the pool has upcoming maturities between
September and December 2017. Two other loans mature in 2018 (12%)
and the largest loan in 2022 (12.8%).
RATING SENSITIVITIES
The Stable Rating Outlook on classes A-1A and A-M reflect
increasing credit enhancement and expected continued paydown. Class
A-M may be subject to negative rating migration should loans not
refinance at maturity as expected; however, upgrades may also be
possible for this class should credit enhancement increase as
paydowns continue without further significant defaults. The
distressed classes (those rated below 'Bsf') may be subject to
further downgrades as additional losses are realized.
Fitch has upgraded the following ratings:
-- $139.4 million class A-J to 'CCCsf' from 'CCsf'; RE 100%.
In addition, Fitch has affirmed the following ratings:
-- $55.9 million class A-1A at 'AAAsf'; Outlook Stable;
-- $185.9 million class A-M at 'BBsf'; Outlook Stable;
-- $20.9 million class B at 'CCsf; RE 0%;
-- $13.9 million class C at 'CCsf; RE 0%;
-- $20.9 million class D at 'Csf; RE 0%;
-- $18.6 million class E at 'Csf; RE 0%;
-- $11.6 million class F at 'Csf; RE 0%;
-- $18.6 million class G at 'Csf; RE 0%;
-- $20.9 million class H at 'Dsf; RE 0%;
-- $15.7 million class J at 'Dsf; RE 0%;
-- $1.5 million 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 O at 'Dsf; RE 0%;
-- $0 class P at 'Dsf; RE 0%;
-- $0 class Q at 'Dsf; RE 0%.
The class A-1, A-2, A-3, A-SB and A-4 certificates have paid in
full. Fitch does not rate the class S certificates. Fitch
previously withdrew the rating on the interest-only class XW
certificates.
BANC OF AMERICA 2008-1: Moody's Cuts Class A-J Debt Rating to B1
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on five classes
and downgraded the ratings on seven classes in Banc of America
Commercial Mortgage Trust 2008-1:
Cl. A-1A, Affirmed Aaa (sf); previously on Oct 14, 2016 Affirmed
Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Oct 14, 2016 Affirmed Aaa
(sf)
Cl. A-M, Downgraded to A1 (sf); previously on Oct 14, 2016 Affirmed
Aa3 (sf)
Cl. A-J, Downgraded to B1 (sf); previously on Oct 14, 2016 Affirmed
Baa3 (sf)
Cl. B, Downgraded to B3 (sf); previously on Oct 14, 2016 Affirmed
Ba2 (sf)
Cl. C, Downgraded to Caa2 (sf); previously on Oct 14, 2016 Affirmed
B1 (sf)
Cl. D, Downgraded to Caa3 (sf); previously on Oct 14, 2016 Affirmed
B2 (sf)
Cl. E, Downgraded to C (sf); previously on Oct 14, 2016 Downgraded
to Caa3 (sf)
Cl. F, Affirmed C (sf); previously on Oct 14, 2016 Downgraded to C
(sf)
Cl. G, Affirmed C (sf); previously on Oct 14, 2016 Affirmed C (sf)
Cl. H, Affirmed C (sf); previously on Oct 14, 2016 Affirmed C (sf)
Cl. XW, Downgraded to Caa2 (sf); previously on Jun 9, 2017
Downgraded to B3 (sf)
RATINGS RATIONALE
The ratings on Classes A-1A and A-4 were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges. The ratings on the P&I classes F, G, and H were affirmed
because the ratings are consistent with Moody's expected loss.
The ratings on the six P&I classes, Classes A-M, A-J, B, C, D, and
E, were downgraded due to anticipated losses from specially
serviced and troubled loans, as well as concerns of increased
interest shortfalls from the specially serviced loans.
The rating on the IO Class (Class XW) was downgraded due to a
decline in the credit quality of its referenced classes.
Moody's rating action reflects a base expected loss of 15.2% of the
current pooled balance, compared to 9.2% at Moody's last review.
Moody's base expected loss plus realized losses is now 13.4% of the
original pooled balance, compared to 12.8% 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 July 2017, and
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in July 2017.
Additionally, the methodology used in rating Cl. XW was "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the August 10, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 60% to $507 million
from $1.27 billion at securitization. The certificates are
collateralized by 48 mortgage loans ranging in size from less than
1% to 19% of the pool, with the top ten loans (excluding
defeasance) constituting 62% of the pool. Four loans, constituting
7% 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 12, compared to 21 at Moody's last review.
Twenty-two loans, constituting 20% 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.
Fifteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $93 million (for an average loss
severity of 58%). Seven loans, constituting 30% of the pool, are
currently in special servicing. The largest specially serviced loan
is the 550 West Jackson Loan ($97.5 million -- 19.2% of the pool),
which is secured by a 401,000 square foot (SF) office building
located in Chicago's West Loop submarket. In July 2017, the
property's largest tenant, Societe Generale (144,000 SF, 36% of
NRA), exercised an early termination option and vacated their space
prior to the 2019 lease expiration date. Two other tenants have
leases expiring within the next eight months and will be vacating
the property. As a result of the upcoming vacancy, the occupancy
will drop to approximately 40%. The servicer is dual-tracking
foreclosure along with evaluating forthcoming borrower proposals.
The second largest specially serviced loan is the 357 South Gulph
and 444 Oxford Valley Loan ($17.1 million -- 3.4% of the pool),
which was originally secured by two class B office properties,
totaling over 106,000 SF, located in King of Prussia and Langhorne,
Pennsylvania. The loan transferred to special servicing in June
2012 for imminent monetary default. In July 2015, the special
servicer disposed of the 444 Oxford Valley property. Proceeds from
the sale, after reimbursing the servicer for expenses and advances,
were used to pay down the loan. The remaining property, 357 South
Gulph, supports the outstanding loan balance and was 58% occupied
as of May 2017. Moody's anticipates a significant loss severity for
this loan.
The third largest specially serviced loan is the Commonwealth
Storage Facility -- A note Loan ($16.8 million -- 3.3% of the
pool), which is secured by a 692,190 SF industrial property located
in Suffolk, Virginia. The loan first transferred to special
servicing in March 2014 and a loan modification was executed,
creating a $5.1 million B-Note. The loan subsequently returned to
the master servicer, however, the loan transferred back to special
servicing in March 2017 for imminent monetary default. As of June
2017, the property is 38% occupied. The special servicer indicated
that the note is expected to be included in a September auction.
The remaining four specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $66.6 million loss
for the specially serviced loans (44% expected loss on average).
Moody's has also assumed a high default probability for five poorly
performing loans, constituting 5% of the pool, and has estimated an
aggregate loss of $4.5 million (a 19% expected loss based on a 50%
probability default) from these troubled loans.
As of the August 10, 2017 remittance statement, cumulative interest
shortfalls were $10.5 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 2016 operating results for 100% of the
pool, and partial year 2017 operating results for 54% of the pool
(excluding specially serviced and defeased loans). Moody's weighted
average conduit LTV is 96%, compared to 102% 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 9.75%.
Moody's actual and stressed conduit DSCRs are 1.43X and 1.14X,
respectively, compared to 1.32X and 1.07X 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 24% of the pool balance. The
largest loan is the Village at Cascade Station Loan ($69.0 million
-- 13.6% of the pool), which is secured by a 392,000 SF outdoor
retail center located in Portland, Oregon. As of March 2017, the
property was 84% leased, compared to 95% leased in June 2016. In
Fall 2017, Nordstrom Rack will open a 28,300 SF (7.2% of NRA) store
at the property, bringing total occupancy to 91%. Moody's LTV and
stressed DSCR are 111% and 0.95X, respectively.
The second largest loan is the Residence Inn - Irvine Loan ($31.3
million -- 6.2% of the pool), which is secured by a 174-room
Residence Inn hotel in Irvine, California, located approximately 2
miles from John Wayne Airport and the University of California
Irvine campus. As of the fourth quarter of 2016, hotel occupancy
and the average daily rate (ADR) were 82% and $152.42,
respectively. Moody's LTV and stressed DSCR are 96% and 1.23X,
respectively.
The third largest loan is the Waterford Place Apartments Loan
($20.4 million -- 4.0% of the pool), which is secured by a 400-unit
multifamily property in Stockbridge, Georgia, located approximately
20 miles from the Atlanta central business district (CBD), and 12
miles southeast of Hartsfield-Jackson International Airport. As of
June 2017, the property was 94% occupied, compared to 92% at
year-end 2016, and 91% at year-end 2015. Occupancy has remained
over 90% since securitization. Moody's LTV and stressed DSCR are
94% and 1.04X, respectively.
BENEFIT STREET VI: S&P Gives Prelim. BB- Rating on Class D-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R, A-2-R, B-R, C-R, and D-R replacement notes and the new class
X notes from Benefit Street Partners CLO VI Ltd., a collateralized
loan obligation (CLO) originally issued in April 2015 that is
managed by Benefit Street Partners LLC, the credit investment arm
of Providence Equity Partners. The replacement notes will be issued
via a proposed supplemental indenture.
The preliminary ratings reflect S&P's opinion that the credit
support available is commensurate with the associated rating
levels.
The preliminary ratings are based on information as of Aug. 22,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Sept. 14, 2017, refinancing date, the proceeds from the
issuance of the replacement notes are expected to redeem the
original notes. S&P said, "At that time, we anticipate withdrawing
the ratings on the original notes and assigning ratings to the
replacement notes. However, if the refinancing doesn't occur, we
may affirm the ratings on the original notes and withdraw our
preliminary ratings on the replacement notes.
The replacement notes are being issued via a proposed supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, will also: Extend the stated maturity,
reinvestment period, and non-call period; and Update the S&P Global
Ratings industry codes and recovery rates, and incorporate the
formula version of Standard & Poor's CDO Monitor.
Replacement Notes
Class Amount Interest
(mil. $) rate (%)
X 2.800 Three-month LIBOR + 0.80
A-1-R 399.220 Three-month LIBOR + 1.24
A-2-R 81.580 Three-month LIBOR + 1.72
B-R (deferrable) 40.530 Three-month LIBOR + 2.40
C-R (deferrable) 29.740 Three-month LIBOR + 3.45
D-R (deferrable) 31.320 Three-month LIBOR + 6.52
Subordinated notes 61.305 N/A
N/A--Not applicable.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance (see table). In
line with our criteria, our cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, our analysis considered
the transaction's ability to pay timely interest or ultimate
principal, or both, to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take further rating actions
as we deem necessary."
PRELIMINARY RATINGS ASSIGNED
Benefit Street Partners CLO VI Ltd.
Replacement class Rating Amount (mil. $)
X AAA (sf) 2.800
A-1-R AAA (sf) 399.220
A-2-R AA (sf) 81.580
B-R (deferrable) A (sf) 40.530
C-R (deferrable) BBB (sf) 29.740
D-R (deferrable) BB- (sf) 31.320
Subordinated notes NR 61.305
NR--Not rated.
BLUEMOUNTAIN FUJI II: S&P Gives Prelim BB- Rating on Cl. D Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to BlueMountain
Fuji US CLO II Ltd./BlueMountain Fuji US CLO II LLC's $506 million
floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed primarily by broadly syndicated senior secured term loans.
The preliminary ratings are based on information as of Aug. 18,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
BlueMountain Fuji US CLO II Ltd./BlueMountain Fuji US CLO II LLC
Class Rating Amount (mil. $)
A-1A AAA (sf) 332.75
A-1B NR 33.55
A-2 AA (sf) 51.70
B A (sf) 35.20
C BBB- (sf) 33.00
D BB- (sf) 19.80
Subordinated notes NR 55.35
NR--Not rated.
BX TRUST 2017-APPL: S&P Assigns B-(sf) Rating on Class F Certs
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to BX Trust 2017-APPL's
$760.0 million commercial mortgage pass-through certificates.
The certificate issuance is a commercial mortgage-backed securities
transaction backed by one two-year, floating-rate commercial
mortgage loan totaling $800 million ($760 million securitized
balance, which excludes the risk retention class), with five
one-year extension options, secured by the fee simple and leasehold
interest in 32 extended-stay, 18 limited-service, and one
full-service hotel property.
The ratings reflect S&P's view of the collateral's historical and
projected performance, the sponsors' and managers' experience, the
trustee-provided liquidity, the loan's terms, and the transaction's
structure.
RATINGS ASSIGNED
BX Trust 2017-APPL
Class Rating(i) Amount ($)
A AAA (sf) 251,560,000
X-CP BBB- (sf) 205,831,750(ii)
X-EXT BBB- (sf) 242,155,000(ii)
B AA- (sf) 88,825,000
C A- (sf) 66,025,000
D BBB- (sf) 87,305,000
E BB- (sf) 137,560,000
F B- (sf) 121,885,000
G NR 6,840,000
RR(iii) NR 40,000,000
(i)The issuer will issue the certificates to qualified
institutional buyers in line with Rule 144A of the Securities Act
of 1933.
(ii)Notional balance. The notional amount of the class X-CP
certificates will be equal to the aggregate of the portion balances
of the B-2 portion of the class B certificates, the C-2 portion of
the class C certificates, and the D-2 portion of the class D
certificates. The notional amount of the class X-EXT certificates
will be equal to the aggregate certificate balance of the class B,
C, and D certificates.
(iii)Non-offered vertical risk retention class.
NR--Not rated.
CITIGROUP 2016-C2: Fitch Affirms 'B-sf' Rating on 2 Tranches
------------------------------------------------------------
Fitch Ratings has affirmed 17 classes of Citigroup Commercial
Mortgage Trust Commercial Mortgage Pass-Through Certificates,
Series 2016-C2.
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. There are no delinquent or specially serviced loans.
As of the August 2017 distribution date, the pool's aggregate
balance has been reduced by 0.45% to $606 million, from $609
million at issuance. No loans are on the servicer's watchlist.
High Retail and Hotel Concentration: Loans backed by retail
properties as defined by Fitch represent 39.4% of the pool,
including six (32.5%) in the top 15. Only one of the retail loans
is backed by a regional mall, but it does not have exposure to JC
Penney, Sears or Macy's. Loans backed by hotel properties represent
19.8% of the pool, including four (15.8%) in the top 15. The pool's
hotel concentration of 19.8% was above the 2016 average of 16% for
fixed-rate transactions.
Below Average Amortization: The pool is scheduled to amortize by
9.6%, which was below both the 2016 average and the 2015 average of
10.4% and 11.7%, respectively, for fixed rate transactions. There
are 11 loans representing 32.4% of the pool that are full-term
interest only, which was above the 2016 average of 30.2% for
fixed-rate transactions. Fourteen loans representing 41.4% of the
pool are partial interest-only. The remainder of the pool consists
of 19 balloon loans representing 26.2% of the pool.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset-level event changes the transaction's overall
portfolio-level metrics.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
Fitch has affirmed the following ratings:
-- $17,503,456 class A-1 at 'AAAsf'; Outlook Stable;
-- $15,097,000 class A-2 at 'AAAsf'; Outlook Stable;
-- $170,000,000 class A-3 at 'AAAsf'; Outlook Stable;
-- $189,298,000 class A-4 at 'AAAsf'; Outlook Stable;
-- $31,793,000 class A-AB at 'AAAsf'; Outlook Stable;
-- $456,873,000b class X-A at 'AAAsf'; Outlook Stable;
-- $68,531,000b class X-B at 'A-sf'; Outlook Stable;
-- $30,458,000 class A-S at 'AAAsf'; Outlook Stable;
-- $35,027,000 class B at 'AA-sf'; Outlook Stable;
-- $33,504,000 class C at 'A-sf'; Outlook Stable;
-- $32,743,000a class D at 'BBB-sf'; Outlook Stable;
-- $32,743,000ab class X-D at 'BBB-sf'; Outlook Stable;
-- $9,137,500ac class E-1 at 'BB+sf'; Outlook Stable;
-- $9,137,500ac class E-2 at 'BB-sf'; Outlook Stable;
-- $18,275,000ac class E at 'BB-sf'; Outlook Stable;
-- $5,330,000ac class F at 'B-sf'; Outlook Stable;
-- $23,605,000ac class EF at 'B-sf'; Outlook Stable.
a) Privately placed pursuant to Rule 144A.
b) Notional amount and interest-only.
c) Exchangeable Certificates
Fitch does not rate the class F-1, F-2, G-1, G-2, G, EFG, H-1, H-2,
or H certificates.
CREST 2004-1: Moody's Affirms C(sf) Ratings on 5 Tranches
---------------------------------------------------------
Moody's Investors Service has affirmed the ratings on the following
notes issued by Crest 2004-1.
Collateralized Debt Obligations:
Cl. E-1, Affirmed Caa3 (sf); previously on Aug 24, 2016 Affirmed
Caa3 (sf)
Cl. E-2, Affirmed Caa3 (sf); previously on Aug 24, 2016 Affirmed
Caa3 (sf)
Cl. F, Affirmed C (sf); previously on Aug 24, 2016 Affirmed C (sf)
Cl. G-1, Affirmed C (sf); previously on Aug 24, 2016 Affirmed C
(sf)
Cl. G-2, Affirmed C (sf); previously on Aug 24, 2016 Affirmed C
(sf)
Cl. H-1, Affirmed C (sf); previously on Aug 24, 2016 Affirmed C
(sf)
Cl. H-2, Affirmed C (sf); previously on Aug 24, 2016 Affirmed C
(sf)
The Cl. E-1, Cl. E-2, Cl. F, Cl. G-1, Cl. G-2, Cl. H-1, and Cl. H-2
Notes are referred to herein as the "Rated Notes".
RATINGS RATIONALE
Moody's has affirmed the ratings on the Rated Notes because the key
transaction metrics are commensurate with existing ratings. The
increase in credit quality, as evidenced by the weighted average
rating factor (WARF), provided an offsetting factor to the increase
in concentration within the transaction. The affirmation is the
result of Moody's on-going surveillance of commercial real estate
collateralized debt obligation (CRE CDO and Re-remic)
transactions.
Crest 2004-1 is a static cash transaction backed by a portfolio of:
i) commercial mortgage backed securities (CMBS) (92.5% of the
current pool balance); and ii) and CRE CDOs (7.5%). As of the July
24, 2017 note valuation report, the aggregate note balance of the
transaction, including preferred shares, has decreased to $145.2
million compared to $428.5 million at issuance, with pay down
directed to the senior most outstanding class of notes as a result
of scheduled amortization as well as the failure of certain par
value tests.
The pool contains seven assets totaling $16.4 million (76.1% of the
collateral pool balance) that are listed as defaulted securities as
of the trustee's July 31, 2017 report. While there have been
realized losses on the underlying collateral to date, Moody's
expects significant losses to occur on the defaulted securities.
Moody's has identified the following as key indicators of the
expected loss in CRE CDO transactions: the WARF, the weighted
average life (WAL), the weighted average recovery rate (WARR), and
Moody's asset correlation (MAC). Moody's typically models these as
actual parameters for static deals and as covenants for managed
deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has updated its assessments for the collateral it does not
rate. The rating agency modeled a bottom-dollar WARF of 4104,
compared to 4655 at last review. The current ratings on the
Moody's-rated collateral and the assessments of the non-Moody's
rated collateral follow: Aaa-Aa3 (24.7% compared to 13.5% at last
review), A1-A3 (2.4% compared to 1.1% at last review), Baa1-Baa3
(1.6% compared to 2.0% at last review), Ba1-Ba3 (3.5% compared to
21.4% at last review), B1-B3 (2.8% compared to 9.4% at last review)
and Caa1-Ca/C (64.9% compared to 52.5% at last review).
Moody's modeled a WAL of 1.2 years, compared to 1.3 years at last
review. The WAL is based on assumptions about extensions on the
underlying look-through collateral assets.
Moody's modeled a fixed WARR of 0.0%, same as that at last review.
Moody's modeled a MAC of 37.2%, compared to 0.0% at last review.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating SF CDOs" published in June 2017.
Factors That Would Lead to Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty,
because it is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that are subject to change. The servicing decisions of the master
and special servicer and surveillance by the operating advisor with
respect to the collateral interests and oversight of the
transaction will also affect the performance of the Rated Notes.
Moody's Parameter Sensitivities: Changes to any one or more of the
key parameters could have rating implications for some of the Rated
Notes, although a change in one key parameter assumption could be
offset by a change in one or more of the other key parameter
assumptions. The Rated Notes are particularly sensitive to changes
in the recovery rates of the underlying collateral and credit
assessments. Holding all other key parameters static, increasing
the recovery rate of 100% of the collateral pool by 10% would
result in an average modeled rating movement on the Rated Notes of
zero notches upward (e.g., one notch up implies a ratings movement
of Baa3 to Baa2).
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment.
Commercial real estate property values continue to improve
modestly, along with a rise in investment activity and
stabilization in core property type performance. Limited new
construction and moderate job growth have aided this improvement.
DBUBS MORTGAGE 2011-LC1: Fitch Affirms 'Bsf' Rating on Cl G Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed all classes of DBUBS Mortgage Trust
commercial mortgage pass-through certificates series 2011-LC1.
KEY RATING DRIVERS
Stable Performance: The pool has continued to perform and amortize
in line with Fitch's expectations. Since issuance, the transaction
has experienced 56.5% of collateral reduction.
Concentration: The pool is concentrated by loan size, with 26 of
the original 47 loans outstanding. The three largest loans in the
pool represent 49.7% of the total deal balance, and the 10 largest
loans represent 81.6%. The pool is also concentrated by
sponsorship, with 12.6% of the collateral sponsored by the same
entity.
Retail Exposure: Loans representing over 50% of the pool are
secured by retail properties, including seven community shopping
centers (12.7% of the pool) and nine neighborhood shopping centers
(6.6% of the pool). The largest loan is secured by a regional mall
and represents 22.3% of the pool.
Single-Tenant Risk: Loans representing 53.4% of the pool are
secured by properties with single-tenant exposure and/or
concentrated near term lease rollover, which could pose challenges
in refinancing.
Limited Near-Term Paydown: The majority of collateral reduction to
date has been the result of payoffs of five-year loans from the
trust. Only two loans are scheduled to mature in the next two
years. The class B certificate is not expected to begin receiving
principal prior to 2021, when the majority of the outstanding loans
are scheduled to mature.
RATING SENSITIVITIES
The Outlooks for all classes remain Stable. Fitch ran an additional
sensitivity to the largest loan prior to considering upgrades.
While credit enhancement is increasing, future upgrades may be
limited given the pool concentration, including single-tenant
properties with leases rolling prior to or shortly after loan
maturity. Although Fitch does not expect negative ratings
migration, downgrades are possible should a material economic or
asset level event change the transaction's pool level metrics.
Fitch has affirmed the following ratings:
-- $61.5 million class A-2 at 'AAAsf'; Outlook Stable;
-- $459.7 million class A-3 at 'AAAsf'; Outlook Stable;
-- $70.7 million class B at 'AAAsf'; Outlook Stable;
-- $519.9 million* class X-A at 'AAAsf'; Outlook Stable;
-- $81.6 million class C at 'AAsf'; Outlook Stable;
-- $49 million class D at 'Asf'; Outlook Stable;
-- $89.8 million class E at 'BBBsf'; Outlook Stable;
-- $24.5 million class F at 'BBsf'; Outlook Stable;
-- $40.8 million class G at 'Bsf'; Outlook Stable.
*Notional amount and interest only.
Fitch does not rate the interest-only X-B certificate. Class A-1
has been repaid in full.
FANNIE MAE 2017-C06: Fitch Assigns 'Bsf' Ratings to 38 Tranches
---------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to Fannie Mae's risk transfer transaction, Connecticut
Avenue Securities, series 2017-C06:
-- $156,644,000 class 1M-1 notes 'BBB-sf'; Outlook Stable;
-- $93,986,000 class 1M-2A notes 'BB+sf'; Outlook Stable;
-- $93,986,000 class 1M-2B notes 'BB-sf'; Outlook Stable;
-- $93,986,000 class 1M-2C notes 'Bsf'; Outlook Stable;
-- $281,958,000 class 1M-2 exchangeable notes 'Bsf'; Outlook
Stable;
-- $93,986,000 class 1A-I1 exchangeable notional notes 'BB+sf';
Outlook Stable;
-- $93,986,000 class 1E-A1 exchangeable notes 'BB+sf'; Outlook
Stable;
-- $93,986,000 class 1A-I2 exchangeable notional notes 'BB+sf';
Outlook Stable;
-- $93,986,000 class 1E-A2 exchangeable notes 'BB+sf'; Outlook
Stable;
-- $93,986,000 class 1A-I3 exchangeable notional notes 'BB+sf';
Outlook Stable;
-- $93,986,000 class 1E-A3 exchangeable notes 'BB+sf'; Outlook
Stable;
-- $93,986,000 class 1A-I4 exchangeable notional notes 'BB+sf';
Outlook Stable;
-- $93,986,000 class 1E-A4 exchangeable notes 'BB+sf'; Outlook
Stable;
-- $93,986,000 class 1B-I1 exchangeable notional notes 'BB-sf';
Outlook Stable;
-- $93,986,000 class 1E-B1 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $93,986,000 class 1B-I2 exchangeable notional notes 'BB-sf';
Outlook Stable;
-- $93,986,000 class 1E-B2 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $93,986,000 class 1B-I3 exchangeable notional notes 'BB-sf';
Outlook Stable;
-- $93,986,000 class 1E-B3 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $93,986,000 class 1B-I4 exchangeable notional notes 'BB-sf';
Outlook Stable;
-- $93,986,000 class 1E-B4 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $93,986,000 class 1C-I1 exchangeable notional notes 'Bsf';
Outlook Stable;
-- $93,986,000 class 1E-C1 exchangeable notes 'Bsf'; Outlook
Stable;
-- $93,986,000 class 1C-I2 exchangeable notional notes 'Bsf';
Outlook Stable;
-- $93,986,000 class 1E-C2 exchangeable notes 'Bsf'; Outlook
Stable;
-- $93,986,000 class 1C-I3 exchangeable notional notes 'Bsf';
Outlook Stable;
-- $93,986,000 class 1E-C3 exchangeable notes 'Bsf'; Outlook
Stable;
-- $93,986,000 class 1C-I4 exchangeable notional notes 'Bsf';
Outlook Stable;
-- $93,986,000 class 1E-C4 exchangeable notes 'Bsf'; Outlook
Stable;
-- $187,972,000 class 1E-D1 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $187,972,000 class 1E-D2 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $187,972,000 class 1E-D3 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $187,972,000 class 1E-D4 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $187,972,000 class 1E-D5 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $187,972,000 class 1E-F1 exchangeable notes 'Bsf'; Outlook
Stable;
-- $187,972,000 class 1E-F2 exchangeable notes 'Bsf'; Outlook
Stable;
-- $187,972,000 class 1E-F3 exchangeable notes 'Bsf'; Outlook
Stable;
-- $187,972,000 class 1E-F4 exchangeable notes 'Bsf'; Outlook
Stable;
-- $187,972,000 class 1E-F5 exchangeable notes 'Bsf'; Outlook
Stable;
-- $187,972,000 class 1-X1 exchangeable notional notes 'BB-sf';
Outlook Stable;
-- $187,972,000 class 1-X2 exchangeable notional notes 'BB-sf';
Outlook Stable;
-- $187,972,000 class 1-X3 exchangeable notional notes 'BB-sf';
Outlook Stable;
-- $187,972,000 class 1-X4 exchangeable notional notes 'BB-sf';
Outlook Stable;
-- $187,972,000 class 1-Y1 exchangeable notional notes 'Bsf';
Outlook Stable;
-- $187,972,000 class 1-Y2 exchangeable notional notes 'Bsf';
Outlook Stable;
-- $187,972,000 class 1-Y3 exchangeable notional notes 'Bsf';
Outlook Stable;
-- $187,972,000 class 1-Y4 exchangeable notional notes 'Bsf';
Outlook Stable;
-- $117,869,000 class 2M-1 notes 'BBB-sf'; Outlook Stable;
-- $119,342,000 class 2M-2A notes 'BBsf'; Outlook Stable;
-- $120,816,000 class 2M-2B notes 'BB-sf'; Outlook Stable;
-- $120,816,000 class 2M-2C notes 'Bsf'; Outlook Stable;
-- $360,974,000 class 2M-2 exchangeable notes 'Bsf'; Outlook
Stable;
-- $119,342,000 class 2A-I1 exchangeable notional notes 'BBsf';
Outlook Stable;
-- $119,342,000 class 2E-A1 exchangeable notes 'BBsf'; Outlook
Stable;
-- $119,342,000 class 2A-I2 exchangeable notional notes 'BBsf';
Outlook Stable;
-- $119,342,000 class 2E-A2 exchangeable notes 'BBsf'; Outlook
Stable;
-- $119,342,000 class 2A-I3 exchangeable notional notes 'BBsf';
Outlook Stable;
-- $119,342,000 class 2E-A3 exchangeable notes 'BBsf'; Outlook
Stable;
-- $119,342,000 class 2A-I4 exchangeable notional notes 'BBsf';
Outlook Stable;
-- $119,342,000 class 2E-A4 exchangeable notes 'BBsf'; Outlook
Stable;
-- $120,816,000 class 2B-I1 exchangeable notional notes 'BB-sf';
Outlook Stable;
-- $120,816,000 class 2E-B1 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $120,816,000 class 2B-I2 exchangeable notional notes 'BB-sf';
Outlook Stable;
-- $120,816,000 class 2E-B2 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $120,816,000 class 2B-I3 exchangeable notional notes 'BB-sf';
Outlook Stable;
-- $120,816,000 class 2E-B3 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $120,816,000 class 2B-I4 exchangeable notional notes 'BB-sf';
Outlook Stable;
-- $120,816,000 class 2E-B4 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $120,816,000 class 2C-I1 exchangeable notional notes 'Bsf';
Outlook Stable;
-- $120,816,000 class 2E-C1 exchangeable notes 'Bsf'; Outlook
Stable;
-- $120,816,000 class 2C-I2 exchangeable notional notes 'Bsf';
Outlook Stable;
-- $120,816,000 class 2E-C2 exchangeable notes 'Bsf'; Outlook
Stable;
-- $120,816,000 class 2C-I3 exchangeable notional notes 'Bsf';
Outlook Stable;
-- $120,816,000 class 2E-C3 exchangeable notes 'Bsf'; Outlook
Stable;
-- $120,816,000 class 2C-I4 exchangeable notional notes 'Bsf';
Outlook Stable;
-- $120,816,000 class 2E-C4 exchangeable notes 'Bsf'; Outlook
Stable;
-- $240,158,000 class 2E-D1 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $240,158,000 class 2E-D2 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $240,158,000 class 2E-D3 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $240,158,000 class 2E-D4 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $240,158,000 class 2E-D5 exchangeable notes 'BB-sf'; Outlook
Stable;
-- $241,632,000 class 2E-F1 exchangeable notes 'Bsf'; Outlook
Stable;
-- $241,632,000class 2E-F2 exchangeable notes 'Bsf'; Outlook
Stable;
-- $241,632,000class 2E-F3 exchangeable notes 'Bsf'; Outlook
Stable;
-- $241,632,000class 2E-F4 exchangeable notes 'Bsf'; Outlook
Stable;
-- $241,632,000class 2E-F5 exchangeable notes 'Bsf'; Outlook
Stable;
-- $240,158,000 class 2-X1 exchangeable notional notes 'BB-sf';
Outlook Stable;
-- $240,158,000 class 2-X2 exchangeable notional notes 'BB-sf';
Outlook Stable;
-- $240,158,000 class 2-X3 exchangeable notional notes 'BB-sf';
Outlook Stable;
-- $240,158,000 class 2-X4 exchangeable notional notes 'BB-sf';
Outlook Stable;
-- $241,632,000 class 2-Y1 exchangeable notional notes 'Bsf';
Outlook Stable;
-- $241,632,000 class 2-Y2 exchangeable notional notes 'Bsf';
Outlook Stable;
-- $241,632,000 class 2-Y3 exchangeable notional notes 'Bsf';
Outlook Stable;
-- $241,632,000 class 2-Y4 exchangeable notional notes 'Bsf';
Outlook Stable.
The following classes will not be rated by Fitch:
-- $15,862,354,897 class 1A-H reference tranche;
-- $8,245,344 class 1M-1H reference tranche;
-- $4,947,606 class 1M-AH reference tranche;
-- $4,947,606 class 1M-BH reference tranche;
-- $4,947,606 class 1M-CH reference tranche;
-- $78,322,000 class 1B-1 notes;
-- $4,122,672 class 1B-1H reference tranche;
-- $82,444,672 class 1B-2H reference tranche;
-- $14,850,014,032 class 2A-H reference tranche;
-- $6,204,224 class 2M-1H reference tranche;
-- $6,282,140 class 2M-AH reference tranche;
-- $6,359,055 class 2M-BH reference tranche;
-- $6,359,055 class 2M-CH reference tranche;
-- $73,668,000 class 2B-1 notes;
-- $3,877,765 class 2B-1H reference tranche;
-- $77,545,765 class 2B-2H reference tranche.
The notes are general senior unsecured obligations of Fannie Mae
(Issuer Default Rating [IDR] 'AAA'/Outlook Stable) subject to the
credit and principal payment risk of a pool of certain residential
mortgage loans held in various Fannie Mae-guaranteed MBS. The
'BBB-sf' rating for the 1M-1 note reflects the 2.80% subordination
provided by the 0.60% class 1M-2A, the 0.60% class 1M-2B, the 0.60%
class 1M-2C, the 0.50% class 1B-1 and their corresponding reference
tranches as well as the 0.50% 1B-2H reference tranche. The 'BBB-sf'
rating for the 2M-1 note reflects the 3.45% subordination provided
by the 0.81% class 2M-2A, the 0.82% class 2M-2B, the 0.82% class
2M-2C, the 0.50% class 2B-1 and their corresponding reference
tranches as well as the 0.50% 2B-2H reference tranche.
The CAS 2017-C06 transaction includes two separate loan groups. One
group will consist of loans with loan-to-value (LTV) ratios greater
than 60% and less than or equal to 80% (Group 1), and another that
consists of loans with LTVs greater than 80% and less than or equal
to 97% (Group 2). The two groups will have identical structures.
Connecticut Avenue Securities, series 2017-C06 (CAS 2017-C06) is
Fannie Mae's 22nd risk transfer transaction issued as part of the
Federal Housing Finance Agency's Conservatorship Strategic Plan for
2013 to 2017 for each of the government sponsored enterprises
(GSEs) to demonstrate the viability of multiple types of risk
transfer transactions involving single-family mortgages.
The objective of the transaction is to transfer credit risk from
Fannie Mae to private investors with respect to a $32 billion pool
of mortgage loans currently held in previously issued MBS
guaranteed by Fannie Mae where principal repayment of the notes is
subject to the performance of a reference pool of mortgage loans.
As loans liquidate, are modified or other credit events occur, the
outstanding principal balance of the debt notes will be reduced by
the loan's actual loss severity percentage related to those credit
events.
While the transaction structure simulates the behavior and credit
risk of traditional RMBS mezzanine and subordinate securities,
Fannie Mae will be responsible for making monthly payments of
interest and principal to investors. Due to the counterparty
dependence on Fannie Mae, Fitch's expected rating on the 1M-1,
1M-2A, 1M-2B, 1M-2C, 2M-1, 2M-2A, 2M-2B and 2M-2C notes will be
based on the lower of: the quality of the mortgage loan reference
pool and credit enhancement (CE) available through subordination,
and on Fannie Mae's Issuer Default Rating.
The notes will be issued as LIBOR-based floaters. In the event that
the one-month LIBOR rate falls below the applicable negative LIBOR
trigger value described in the offering memorandum, the interest
payment on the interest-only notes will be capped at the excess of
(i) the interest amount payable on the related class of
exchangeable notes for that payment date over (ii) the interest
amount payable on the class of floating-rate related combinable and
recombinable (RCR) notes included in the same combination for that
payment date. If there are no floating-rate classes in the related
exchange, then the interest payment on the interest-only notes will
be capped at the aggregate of the interest amounts payable on the
classes of RCR notes included in the same combination that were
exchanged for the specified class of interest-only RCR notes for
that payment date.
KEY RATING DRIVERS
High-Quality Mortgage Pool (Positive): The reference mortgage loan
pools consist of high-quality mortgage loans that were acquired by
Fannie Mae in the first quarter of 2017 (1Q17). The Group 1
reference pool will consist of loans with LTVs greater than 60% and
less than or equal to 80%, and Group 2 will consist of loans with
LTVs greater than 80% and less than or equal to 97%. Overall, the
reference pool's collateral characteristics are similar to recent
CAS transactions and reflect the strong credit profile of
post-crisis mortgage originations.
Higher HomeReady Exposure (Negative): Both groups contain loans
(1.07% Group 1 and 8.17% Group 2) originated under Fannie Mae's
HomeReady program, the highest percentages of any Fitch-rated
transaction to date. HomeReady is an affordable low down-payment
program that can allow for non-standard sources of income and
down-payment for qualifying borrowers. The credit profile of
HomeReady borrowers is weaker on average than the overall mortgage
pool, which is reflected in increased CE.
Mortgage Insurance Guaranteed by Fannie Mae (Positive): The
majority of the loans in Group 2 are covered either by borrower
paid mortgage insurance (BPMI) or lender paid MI (LPMI). Fannie Mae
will be guaranteeing the MI coverage amount, which will typically
be the MI coverage percentage multiplied by the sum of the unpaid
principal balance as of the date of the default, up to 36 months of
delinquent interest, taxes and maintenance expenses. While the
Fannie Mae guarantee allows for credit to be given to MI, Fitch
applied a haircut to the amount of BPMI available due to the
automatic termination provision as required by the Homeowners
Protection Act when the loan balance is first scheduled to reach
78%.
12.5-Year Hard Maturity (Positive): The notes benefit from a
12.5-year legal final maturity. Thus, any credit or modification
events on the reference pool that occur beyond year 12.5 are borne
by Fannie Mae and do not affect the transaction. Fitch accounted
for the 12.5-year hard maturity in its default analysis and applied
a reduction to its lifetime default expectations.
Limited Size/Scope of Third-Party Diligence (Neutral): Fitch
received third-party due diligence on a loan production basis, as
opposed to a transaction specific review. Fitch believes that
regular, periodic third-party reviews (TPRs) conducted on a loan
production basis are sufficient for validating Fannie Mae's quality
control processes. Fitch views the results of the due diligence
review as consistent with its opinion of Fannie Mae as an
above-average aggregator; as a result, no adjustments were made to
Fitch's loss expectations based on due diligence. See due diligence
section of the presale report for more details.
Solid Alignment of Interests (Positive): While the transaction is
designed to transfer credit risk to private investors, Fitch
believes that it benefits from a solid alignment of interests.
Fannie Mae will be retaining credit risk in the transaction by
holding the 1A-H and 2-AH senior reference tranches, which have an
initial loss protection of 3.80% and 4.25%, respectively, as well
as the first-loss B-2H reference tranches, sized at 0.50% for each
group. Fannie Mae is also retaining an approximately 5% vertical
slice/interest in each group's M-1, M-2A, M-2B, M-2C, and B-1
tranches.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the metropolitan statistical area (MSA) and
national levels. The implied rating sensitivities are only an
indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to or be
considered in the surveillance of the transaction.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the model
projected sMVD. It indicates there is some potential rating
migration with higher MVDs, compared with the model projection.
Fitch also conducted defined rating sensitivities which determine
the stresses to MVDs that would reduce a rating by one full
category, to non-investment grade, and to 'CCCsf'. For example,
additional MVDs of 12%, 18% and 13% would potentially reduce the
'BBB-sf' Group 1 rated class down one rating category, to
non-investment grade, and to 'CCCsf', respectively. Additional MVDs
of 11%, 11% and 37% would potentially reduce the 'BBB-sf' Group 2
rated class down one rating category, to non-investment grade, and
to 'CCCsf', respectively.
GE COMMERCIAL 2007-C1: Moody's Lowers Ratings on 3 Tranches to B3
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on four classes
and downgraded the ratings on six classes in GE Commercial Mortgage
Corporation, Series 2007-C1 Trust:
Cl. A-1A, Affirmed Aa3 (sf); previously on Sep 8, 2016 Upgraded to
Aa3 (sf)
Cl. A-M, Downgraded to B3 (sf); previously on Sep 8, 2016 Affirmed
Ba3 (sf)
Cl. A-MFL, Downgraded to B3 (sf); previously on Sep 8, 2016
Affirmed Ba3 (sf)
Cl. A-MFX, Downgraded to B3 (sf); previously on Sep 8, 2016
Affirmed Ba3 (sf)
Cl. A-J, Downgraded to C (sf); previously on Sep 8, 2016 Downgraded
to Caa3 (sf)
Cl. A-JFL, Downgraded to C (sf); previously on Sep 8, 2016
Downgraded to Caa3 (sf)
Cl. B, Affirmed C (sf); previously on Sep 8, 2016 Downgraded to C
(sf)
Cl. C, Affirmed C (sf); previously on Sep 8, 2016 Affirmed C (sf)
Cl. D, Affirmed C (sf); previously on Sep 8, 2016 Affirmed C (sf)
Cl. X-C, Downgraded to C (sf); previously on Jun 9, 2017 Downgraded
to Ca (sf)
RATINGS RATIONALE
The rating of Class A-1A was 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
of three P&I classes, Classes B, C and D, were affirmed because the
ratings are consistent with Moody's expected loss plus realized
losses.
The ratings of five P&I classes were downgraded due to higher
anticipated losses from specially serviced and troubled loans.
The rating of the IO class, Class X-C, was downgraded due to the
credit quality of the referenced classes.
Moody's rating action reflects a base expected loss of 49.8% of the
current pooled balance, compared to 15.8% at Moody's last review.
Moody's base expected loss plus realized losses is now 20.5% of the
original pooled balance, compared to 18.1% 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 July 2017.
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.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 59% of the pool is in
special servicing and Moody's has identified additional troubled
loans representing 15% 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 August 10, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 77% to $893.6
million from $4.0 billion at securitization. The certificates are
collateralized by 22 mortgage loans ranging in size from less than
1% to 25.5% of the pool, with the top ten loans (excluding
defeasance) constituting 94.1% of the pool.
Four loans, constituting 28.1% 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 at a loss,
contributing to an aggregate realized loss of $367.6 million (for
an average loss severity of 44%). Seventeen loans, constituting
59.2% of the pool, are currently in special servicing. The largest
specially serviced loan is the JPMorgan Portfolio Loan ($198.5
million -- 22.4% of the pool), which is secured by the fee and
leasehold interests in a 724,000 SF office building and 1,905 stall
parking garage located in Phoenix, Arizona and a 429,000 SF office
building located in Houston, Texas. The properties are currently
100% leased to JPMorgan Chase through March 2021. The loan was
transferred to the special servicer in March 2017 due to the
borrower being unable to repay the loan at maturity in April 2017.
A foreclosure sale is scheduled for September 2017. Moody's
analysis incorporated a Lit-Dark approach to account for the
single-tenant risk.
The second and third largest specially serviced loans are the
Skyline Portfolio A-note ($105.0 million -- 11.9% of the pool) and
Skyline Portfolio B-note ($98.4 million -- 11.1% of the pool),
which are secured by a portfolio of eight cross-collateralized and
cross-defaulted office properties located in Falls Church, VA
outside of Washington, DC. The total loan represents a portion of
an aggregate $678 million mortgage loan (a total $350 million
A-Note and $328 million B Note). The original loan first
transferred to the special servicer in July 2012 due to imminent
monetary default and was subsequently modified with an A-note /
B-note split effective October 2013. Post-modification, the loan
returned to the master servicer in February 2014, however, the loan
transferred back to the special servicer again in April 2016 due to
imminent monetary default. In December 2016 the loan became REO.
The portfolio was 45% leased as of April 2017. Moody's estimates a
significant loss for this specially serviced loan.
The remaining 14 specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $342.1 million loss
for the specially serviced loans (65.2% expected loss on average).
Moody's has also assumed a high default probability for two poorly
performing loans, constituting 15.2% of the pool, and has estimated
an aggregate loss of $50.8 million (a 37% expected loss on average)
from these troubled loans.
As of the August 10, 2017 remittance statement cumulative interest
shortfalls were $112.9 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.
The largest remaining performing loans represent 38.1% of the pool
balance. The largest loan is the 666 Fifth Avenue - A Note Loan
($225.4 million -- 25.5% of the pool), which is secured by the fee
interest in a 39-story, 1.5 million SF office tower occupying a
full city block on Fifth Avenue between 52nd and 53rd streets in
New York City. In December 2011, as part of a modification, the
original total loan was bifurcated into $1.1 billion A Note and a
$115 million B Note. The modification also included a commitment of
fresh sponsor equity and reduced the interest rate on the A-note.
Occupancy at the property has declined to 70% as of March 2017, as
compared to 91% in 2014 after the departure of major tenants such
as Citibank and Fulbright & Jaworski. Moody's considers the B Note
($23.6 million) as a troubled loan. Moody's A-Note LTV and stressed
DSCR are 138% and 0.63X, respectively, the same as at Moody's last
review.
The second largest performing loan is the Wellpoint Office Tower
Loan ($112.1 million -- 12.7% of the pool), which is secured by the
fee interest in a 13-story Class A office building and three
single-story annex buildings located in Woodland Hills, California.
The property is 100% leased to Wellpoint Health Networks, Inc.
(Anthem), through December 2019. Moody's analysis incorporated a
Lit-Dark approach to account for the single-tenant risk. The loan
matures in December 2019 and due to the tenancy concentration
Moody's has identified this as a troubled loan.
GOLD KEY 2014-A: S&P Removes BB Class C Debt Rating from Watch Neg.
-------------------------------------------------------------------
S&P Global Ratings removed its ratings on all classes from Gold Key
Resorts 2014-A LLC and Diamond Resorts Owner Trust 2013-2, 2014-1,
2015-1, and 2015-2 from CreditWatch negative. All of these
transactions are asset-backed securities transactions backed by
vacation ownership interval (timeshare) loans.
The ratings were originally placed on CreditWatch due to the
timeshare portfolios' higher-than-expected delinquencies and gross
defaults, which were caused by a surge in third-party activity.
Third-party activity, also referred to as legal holds, is related
to accounts for which an originator receives notification of
bankruptcy, cease and desist, or legal representation. This is an
ever-present factor in the timeshare industry; however, this was
the first time that S&P placed a rating on a timeshare transaction
on CreditWatch due to the effects of third-party activity.
Delinquencies in Diamond Resorts International Inc.'s (Diamond
Resorts) portfolio, which includes the above-referenced
transactions, have increased since December 2012. At that time,
3.07% of the portfolio was 61 to 180 days delinquent. By December
2016, these loans made up 6.08% of the total portfolio, and reached
6.56% in June 2017. These data do not include the Gold Key Resorts
loans; however, Diamond Resorts purchased Gold Key in 2015 and is
now acting as sub-servicer, and S&P has observed similar increases
in that portfolio as well.
S&P said, "While the third-party activity has significantly
increased since 2015, in June 2017 management adopted a plan to
mitigate the issue with both preventative and corrective actions.
Although the portfolios have yet to see any results from these
steps, we believe the efforts may help stabilize performance in as
early as 12 months. We have observed other issuers in the past that
have successfully addressed similar issues.
"To account for roughly an additional year of legal holds, we ran
break-even cash flows with an additional stress for each tranche.
Additionally, we made qualitative adjustments to the model rating
results for those Diamond transactions with a pool factor below
approximately 30%.
"Our analysis of Diamond 2015-1 and 2015-2 shows the cash flows
passing the stressed gross default assumption, with the additional
reserve account deposits equal to 15% and 12% of the outstanding
pool balance for Diamond 2015-1 and Diamond 2015-2, respectively.
Funds were also added into the existing 1% reserve account by the
issuer in connection with the August 2017 amendments.
"We also note that in the past Diamond has substituted new loans
for defaulted loans in their transaction portfolios. However, we do
not give credit for this in our analysis based on our criteria, so
the substitutions were not considered in these rating actions. Gold
Key stopped substituting or repurchasing defaulted loans out of the
transaction beginning in August 2016. Total cumulative losses as of
the June 20, 2017, report were 4.70% compared to a trigger of 10%.
The trigger will continue to increase each year until it reaches
20% for the 49th payment and beyond.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
RATINGS REMOVED FROM CREDITWATCH NEGATIVE
Gold Key Resorts 2014-A LLC
Rating
Class To From
A A (sf) A (sf)/Watch Neg
B BBB- (sf) BBB- (sf)/Watch Neg
C BB (sf) BB (sf)/Watch Neg
Diamond Resorts Owner Trust 2013-2
Rating
Class To From
A AA (sf) AA (sf)/Watch Neg
B A+ (sf) A+ (sf)/Watch Neg
Diamond Resorts Owner Trust 2014-1
Rating
Class To From
A A+ (sf) A+ (sf)/Watch Neg
B A- (sf) A- (sf)/Watch Neg
Diamond Resorts Owner Trust 2015-1
Rating
Class To From
A AA- (sf) AA- (sf)/Watch Neg
B A (sf) A (sf)/Watch Neg
Diamond Resorts Owner Trust 2015-2
Rating
Class To From
A AA- (sf) AA- (sf)/Watch Neg
B A- (sf) A- (sf)/Watch Neg
GS MORTGAGE 2014-GSFL: S&P Affirms B(sf) Rating on Class F Certs
----------------------------------------------------------------
S&P Global Ratings raised its ratings on the class D and E
commercial mortgage pass-through certificates from GS Mortgage
Securities Trust 2014-GSFL, a U.S. commercial mortgage-backed
securities (CMBS) transaction. In addition, S&P affirmed its
ratings on classes F and X-EXT and discontinued its ratings on
classes A, B, and C from the same transaction.
S&P said, "The rating actions on the principal- and interest-paying
certificate classes follow our analysis of the transaction
primarily using our criteria for rating U.S. and Canadian CMBS
transactions. Our analysis included a review of the credit
characteristics and the current and future performance of the
collateral securing the two remaining loans in the pool, the
transaction's structure, and the liquidity available to the trust.
"The upgrades on classes D and E reflect our expectation of the
available credit enhancements for the classes, which we believe are
greater than our most recent estimate of necessary credit
enhancement for the respective rating levels. We also considered
the reduction in the trust balance resulting from the payoff of two
loans since our March 2017 surveillance review.
"The affirmation on class F reflects our expectation that the
available credit enhancement for the class is within our estimate
of the necessary credit enhancement required for the current rating
and our views regarding the current and future performance of the
remaining loans. In addition, we also considered the class's
reported accumulated interest shortfalls, totaling $2,571,
according to the Aug. 15, 2017, trustee remittance report. It is
our understanding from the trustee that the shortfalls are
non-credit related and we currently considered the amounts as
de-minimis shortfalls because it represents less than one basis
point of the class's original principal balance
on a cumulative basis.
"The affirmation on the class X-EXT interest-only (IO) certificates
is based on our criteria for rating IO securities, in which the
ratings on the IO securities would not be higher than that of the
lowest rated reference class. The notional balance on class X-EXT
references classes A, B, C, D, E, and F.
"Lastly, we discontinued our ratings on classes A, B, and C
following their full principal repayments as noted in the Aug. 15,
2017, trustee remittance report.
"The analysis of large-loan transactions is predominantly a
recovery-based approach that assumes a loan default. Using this
approach, our property-level analysis included a revaluation of the
retail and industrial properties that secure the two mortgage loans
remaining in the trust."
According to the Aug. 15, 2017, trustee remittance report, the
trust consisted of two remaining floating-rate IO loans with a
$135.0 million aggregate trust balance, down from eight loans
totaling $542.8 million at issuance. According to the transaction
documents, the borrowers will pay the special servicing, work-out,
and liquidation fees, as well as costs and expenses incurred from
appraisals and inspections conducted by the special servicer. To
date, the trust has not incurred any principal losses.
S&P said, "We based our analysis partly on a review of the
property's historical net cash flow (NCF) for the three months
ended March 31, 2017, and years ended Dec. 31, 2016 and 2015, the
borrowers' 2017 budgets, and the June 30, 2017, rent rolls that the
master servicer provided to determine our opinion of a sustainable
cash flow for the properties."
Details on the two remaining loans are below.
-- The larger of the two remaining loans, the Rite Aid Portfolio
loan, has a $99.4 million (73.6%) trust and whole-loan balance. The
loan is IO, pays floating-rate interest of one-month LIBOR plus a
3.56% spread, and matures on April 13, 2018, with one one-year
extension option remaining. The loan has a final maturity of April
13, 2019. The borrowers are permitted to incur mezzanine financing
if certain performance hurdles are met. According to the master
servicer, Berkadia Commercial Mortgage LLC (Berkadia), no
additional subordinate debt is outstanding at this time. The loan
is secured by 44 individual single-tenant Rite Aid Corp. (Rite Aid;
'B/Watch Pos') stores totaling 519,002 sq. ft. in 14 U.S. states.
S&P said, "Our analysis considered the stable reported net
operating income (NOI) for the past two years. The properties are
all net leases and Berkadia indicated that none of the stores are
currently dark at this time. According to the June 30, 2017, rent
rolls, 0.0%, 4.4%, 10.5%, and 4.2% of the portfolio's total net
rentable area (NRA) has leases expiring in 2017, 2018, 2019, and
2020, respectively. Berkadia reported an overall 2.78x debt service
coverage (DSC) on the trust balance for the three months ended
March 31, 2017. Our expected-case value, using an 8.08% S&P Global
Ratings weighted average capitalization rate, yielded an 81.7% S&P
Global Ratings loan-to-value (LTV) ratio and 1.44x S&P Global
Ratings DSC based on the LIBOR cap strike rate plus spread."
-- The smallest loan in the pool, the Premier Chicago Industrial
Portfolio loan, has a $35.6 million (26.4%) trust and whole-loan
balance. In addition, the borrowers' equity interest in the whole
loan secures $3.5 million in mezzanine debt. The loan is IO, pays
floating-rate interest of one-month LIBOR plus a 2.8313% spread,
and matures on Feb. 9, 2018, with one one-year extension option
remaining. The loan has a final maturity of Feb. 9, 2019. The loan
is secured by a first mortgage encumbering a portfolio of seven
industrial and warehouse facilities totaling 1.15 million sq. ft.
in Cook County, Ill. S&P said, "Our analysis considered the stable
reported NOI for the past two years. Berkadia reported an overall
3.48x DSC for the year ended Dec. 31, 2016. The overall occupancy
was 97.8% and the five largest tenants make up 55.5% of the
portfolio's total NRA, according to the June 30, 2017, rent rolls.
In addition, 12.5%, 5.9%, 17.5%, and 29.2% of the NRA has leases
that expire in 2017, 2018, 2019, and 2020, respectively. Our
expected-case value, using a 7.55% S&P Global Ratings weighted
average capitalization rate, yielded an 82.5% S&P Global Ratings
LTV ratio and 1.48x S&P Global Ratings DSC based on the LIBOR cap
strike rate plus spread. In addition, we increased our minimum
credit enhancement levels at each rating category for the loan
because we noted per our review of the insurance certificates that
some of the insurers were not rated by S&P Global Ratings."
RATINGS LIST
GS Mortgage Securities Trust 2014-GSFL
Commercial mortgage pass-through certificates, series 2014-GSFL
Rating
Class Identifier To From
A 36253TAA2 NR AAA (sf)
X-EXT 36253TBK9 B (sf) B (sf)
B 36253TAG9 NR AA+ (sf)
C 36253TAK0 NR A (sf)
D 36253TAN4 AAA (sf) BBB- (sf)
E 36253TAR5 BBB- (sf) BB- (sf)
F 36253TBM5 B (sf) B (sf)
NR--Not rated.
GSCCRE 2015-HULA: Fitch Affirms 'B-sf' Ratings on 3 Tranches
------------------------------------------------------------
Fitch Ratings has affirmed all classes of GSCCRE Commercial
Mortgage Trust 2015-HULA commercial mortgage pass-through
certificates series 2015-HULA.
KEY RATING DRIVERS
The trust certificates represent the beneficial interests in a
mortgage loan secured by the Four Seasons Resort Hualalai located
in Kailua-Kona, Hawaii. The subject is situated on 725 acres along
the Kohala Coast. Amenities of the 243-room hotel include five
swimming pools, multiple indoor and outdoor function spaces and
several F&B outlets. It is the only AAA Five Diamond property on
Hawaii's Big Island. Collateral for the loan also includes the
private membership Hualalai Club, 55 acres of fee simple
residential land and five acres of unimproved commercial parcels.
The initial loan term was two years, with extension options for an
additional five years. The first extension option has been
executed, and the new maturity date is Aug. 8, 2018. The debt is
interest-only for the fully extended loan term. A $33.9 million
B-note and a $40 million C-note are included in the total debt
structure but held outside the trust.
Stable Performance: There has been no material change to the
performance of the asset since issuance.
Superior Asset Quality: The Four Seasons Hualalai is situated in a
premier location along the oceanfront in Kailua-Kona. The resort
offers true high-end luxury options not found elsewhere on the
island.
Market Positioning: The hotel is one of the top-performing hotels
within the Four Seasons brand and outperforms three separate
competitive sets composed of local, state-wide and high-end luxury
properties across North America.
RATING SENSITIVITIES
All classes maintain Stable Outlooks. Due to the recent issuance of
the transaction and stable performance, Fitch does not foresee
positive or negative ratings migration until a material economic or
asset-level event changes the transaction's overall metrics.
Fitch has affirmed the following ratings:
-- $130.1 million class A at 'AAAsf', Outlook Stable;
-- $26 million class B at 'AA-sf', Outlook Stable;
-- $19 million class C at 'A-sf', Outlook Stable;
-- $29 million class D at 'BBB-sf', Outlook Stable;
-- $44 million class E at 'BB-sf', Outlook Stable;
-- $51 million class F at 'B-sf', Outlook Stable;
-- $243.9 million* class X-CP at 'B-sf', Outlook Stable;
-- $243.9 million* class X-NCP at 'B-sf', Outlook Stable.
*Notional amount and interest-only.
GSR MORTGAGE 2005-5F: Moody's Hikes Ratings on 4 Tranches to Ba1
----------------------------------------------------------------
Moody's Investors Servisce has upgraded the ratings of sixteen
tranches from two transactions, backed by Prime Jumbo RMBS loans,
issued by GSR Mortgage Loan Trust.
Complete rating actions are:
Issuer: GSR Mortgage Loan Trust 2005-5F
Cl. 2A-2, Upgraded to Baa1 (sf); previously on May 22, 2015
Confirmed at Baa3 (sf)
Cl. 2A-19, Upgraded to Baa1 (sf); previously on May 22, 2015
Confirmed at Baa3 (sf)
Cl. 3A-7, Upgraded to Ba1 (sf); previously on May 22, 2015
Confirmed at Ba2 (sf)
Cl. 4A-1, Upgraded to Baa1 (sf); previously on May 22, 2015
Confirmed at Baa3 (sf)
Cl. 4A-2, Upgraded to Baa1 (sf); previously on May 22, 2015
Confirmed at Baa3 (sf)
Cl. 4A-3, Upgraded to Baa1 (sf); previously on May 22, 2015
Confirmed at Baa3 (sf)
Cl. 4A-4, Upgraded to Ba1 (sf); previously on May 22, 2015
Confirmed at Ba3 (sf)
Cl. 4A-5, Upgraded to Baa1 (sf); previously on May 22, 2015
Confirmed at Baa3 (sf)
Cl. 4A-6, Upgraded to Ba1 (sf); previously on May 22, 2015
Confirmed at Ba3 (sf)
Cl. 4A-8, Upgraded to Baa1 (sf); previously on May 22, 2015
Confirmed at Baa3 (sf)
Cl. 8A-1, Upgraded to Baa1 (sf); previously on May 22, 2015
Confirmed at Baa3 (sf)
Cl. 8A-3, Upgraded to Baa1 (sf); previously on May 22, 2015
Confirmed at Baa3 (sf)
Cl. 8A-4, Upgraded to Baa1 (sf); previously on May 22, 2015
Confirmed at Baa3 (sf)
Cl. 8A-5, Upgraded to A3 (sf); previously on May 22, 2015 Confirmed
at Baa1 (sf)
Cl. 8A-10, Upgraded to Ba1 (sf); previously on May 22, 2015
Confirmed at Ba2 (sf)
Issuer: GSR Mortgage Loan Trust 2005-6F
Cl. 3A-4, Upgraded to Baa3 (sf); previously on Jan 20, 2012
Downgraded to B2 (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to an increase in the credit
enhancement available to the bonds. The upgrades of Cl. 8A-5 from
GSR Mortgage Loan Trust 2005-5F and Cl. 3A-4 from GSR Mortgage Loan
Trust 2005-6F also reflect the correction of a prior error. Cl.
8A-5 and Cl. 3A-4 are single bond interest-only (IO) tranches with
notional balances linked to the principal balances of Cl. 8A-2 and
Cl. 3-A2, respectively. Per Moody's methodology for rating IOs
referencing a single bond, the IO tranche carries the same rating
as that of the bond it references. However, in prior rating
actions, the ratings of Cl. 8A-5 and Cl. 3A-4 were not upgraded
along with the ratings of Cl. 8A-2 and 3A-2. The error has now been
corrected, and rating actions reflect this change. The rating
actions also 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.
Additionally, the methodology used in rating GSR Mortgage Loan
Trust 2005-5F Cl. 4A-2 Cl. 8A-4 Cl. 8A-5, GSR Mortgage Loan Trust
2005-6F Cl. 3A-4 was "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" published in June 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
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 July 2017 from 4.9% in July
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.
JUPITER HIGH-GRADE: Moody's Hikes Ratings on 2 Tranches to B3
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Jupiter High-Grade CDO:
US$489,950,000 Class A-1A First Priority Senior Floating Rate Notes
Due 2041 (current outstanding balance of $ 91,707,243.17), Upgraded
to B3 (sf); previously on May 21, 2010 Downgraded to Caa2 (sf)
US$113,800,000 Class A-1B First Priority Senior Floating Rate Notes
Due 2041 (current outstanding balance of $ 23,130,331.98), Upgraded
to B3 (sf); previously on May 21, 2010 Downgraded to Caa2 (sf)
Jupiter High-Grade CDO Ltd, issued in December 2004, is a
collateralized debt obligation backed primarily by a portfolio of
RMBS with some exposure to Trups CDOs, originated in 2001 to 2005.
RATINGS RATIONALE
These rating actions are due primarily to the deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since December 2016. The Class
A-1A and A-1B notes have paid down by approximately 26.2% and
25.9%, respectively, or $32.6 million and $8.1 million,
respectively, since then. Based on Moody's calculation, the OC
ratio of the Class A-1 notes is currently 126.7%, versus 111.9% in
December 2016. The paydown of the Class A-1 notes is partially the
result of payments from certain assets treated as defaulted by the
trustee in amounts materially exceeding expectations. Accordingly,
we has assumed the deal will continue to benefit from potential
recoveries on defaulted securities, some of which have experienced
significant price increases in the last two years.
Despite benefits of the deleveraging, the credit quality of the
portfolio has deteriorated since December 2016. Based on Moody's
calculation, the weighted average rating factor (WARF) is currently
2255, compared to 2136 in December 2016.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating SF CDOs" published in June 2017.
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: Primary causes of uncertainty about
assumptions are the extent of any deterioration in either consumer
or commercial credit conditions and in the residential real estate
property markets. The residential real estate property market's
uncertainties include housing prices; the pace of residential
mortgage foreclosures, loan modifications and refinancing; the
unemployment rate; and interest rates.
2) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from principal proceeds, recoveries from
defaulted assets, and excess interest proceeds will continue and at
what pace. Faster than expected deleveraging could have a
significantly positive impact on the notes' ratings.
3) Amortization profile assumptions: Moody's modeled the
amortization of the underlying collateral portfolio based on its
assumed weighted average life (WAL). Regardless of the WAL
assumption, due to the sensitivity of amortization assumption and
its impact on the amount of principal available to pay down the
notes, Moody's supplemented its analysis with various sensitivity
analysis around the amortization profile of the underlying
collateral assets.
4) Recovery of defaulted assets: The amount of recoveries received
from defaulted assets reported by the trustee and those that
Moody's assumes as having defaulted as well as the timing of these
recoveries create additional uncertainty. Moody's analyzed
defaulted assets assuming limited recoveries, and therefore,
realization of any recoveries exceeding Moody's expectation in the
future would positively impact the notes' ratings.
Loss and Cash Flow Analysis:
Moody's applies a Monte Carlo simulation framework in Moody's
CDOROM™ to model the loss distribution for SF CDOs. The simulated
defaults and recoveries for each of the Monte Carlo scenarios
define the reference pool's loss distribution. Moody's then uses
the loss distribution as an input in the CDOEdge™ cash flow
model.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes. Below is a summary of the impact
of different default probabilities (expressed in terms of WARF) on
all of the rated notes (by the difference in the number of notches
versus the current model output, for which a positive difference
corresponds to lower expected loss):
Caa ratings notched up by two rating notches (1656):
Class A-1A: +2
Class A-1B: +2
Class A-2: 0
Class B: 0
Class C: 0
Caa ratings notched down by two notches (2646):
Class A-1A: 0
Class A-1B: 0
Class A-2: 0
Class B: 0
Class C: 0
LCM LTD XXV: Moody's Assigns Ba3(sf) Rating to Class E Notes
------------------------------------------------------------
Moody's Investors Service has assigned ratings to nine classes of
notes and one class of secured rated notes issued by LCM XXV Ltd.
Moody's rating action is:
US$2,700,000 Class X Senior Floating Rate Notes due 2030 (the
"Class X Notes"), Definitive Rating Assigned Aaa (sf)
US$290,250,000 Class A Senior Floating Rate Notes due 2030 (the
"Class A Notes"), Definitive Rating Assigned Aaa (sf)
US$11,000,000 Class B-1 Senior Floating Rate Notes due 2030 (the
"Class B-1 Notes"), Definitive Rating Assigned Aa2 (sf)
US$40,750,000 Class B-2 Senior Floating Rate Notes due 2030 (the
"Class B-2 Notes"), Definitive Rating Assigned Aa2 (sf)
US$3,000,000 Class C-1 Deferrable Mezzanine Floating Rate Notes due
2030 (the "Class C-1 Notes"), Definitive Rating Assigned A2 (sf)
US$16,250,000 Class C-2 Deferrable Mezzanine Floating Rate Notes
due 2030 (the "Class C-2 Notes"), Definitive Rating Assigned A2
(sf)
US$10,000,000 Class C-3 Deferrable Mezzanine Fixed Rate Notes due
2030 (the "Class C-3 Notes"), Definitive Rating Assigned A2 (sf)
US$24,750,000 Class D Deferrable Mezzanine Floating Rate Notes due
2030 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf)
US$18,000,000 Class E Deferrable Mezzanine Floating Rate Notes due
2030 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf)
US$19,600,000 Secured Rated Notes (composed of components
representing US$11,000.000 of Class B-1 Notes, US$3,000,000 of
Class C-1 Notes and US$6,000,000 of Class I Subordinated Notes due
2030 (the "Subordinated Notes") (collectively, the "Underlying
Components"))) due 2030 (the "Secured Rated Notes"), Definitive
Rating Assigned A3 (sf) with respect to the ultimate receipt of the
initial principal balance of the Secured Rated Notes.
The Class X Notes, the A Notes, the Class B-1 Notes, the Class B-2
Notes, the Class C-1 Notes, the Class C-2 Notes, the Class C-3
Notes, the Class D Notes and the Class E Notes are referred to
herein, collectively as the "Rated Notes."
The Secured Rated Notes' structure includes several notable
features. The Secured Rated Notes do not bear a stated rate of
interest and promise the repayment of principal only. In addition
to the Secured Rated Notes, the Issuer issued one class of secured
residual notes (the "Secured Residual Notes") that Moody's did not
rate. Any proceeds from the Underlying Components will be first
applied to the payment of principal of the Secured Rated Notes
until its principal is reduced to zero and second, distributed to
the Secured Residual Notes. While the Secured Rated Notes are
outstanding, the Issuer cannot re-price or refinance the Class B-1
Notes and the Class C-1 Notes, without satisfaction of certain
conditions.
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.
Moody's rating of the Secured Rated Notes addresses only the
ultimate repayment of the initial principal balance of the Secured
Rated Notes by the holders of the Secured Rated Notes. Moody's
rating of the Secured Rated Notes does not address any other
payments or additional amounts that a holder of the Secured Rated
Notes may receive pursuant to the underlying documents.
LCM XXV 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 that are secured by a valid first priority
perfected security interest (including participations) and eligible
investments, and up to 10% of the portfolio may consist of second
lien loans and unsecured loans. The portfolio is approximately 95%
ramped as of the closing date.
LCM Asset Management 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 5 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 and the Secured 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 Rated 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,
Section 3.4 and Appendix 14 ("Approach to Rating CLO Instruments
with Non-standard Promises") 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 for the Issuer's portfolio:
Par amount: $450,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2783
Weighted Average Spread (WAS): 3.55%
Weighted Average Coupon (WAC): 7.0%
Weighted Average Recovery Rate (WARR): 47.75%
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 and the Secured Rated Notes is
subject to uncertainty. The performance of the Rated Notes and the
Secured 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 and the Secured Rated Notes. In addition, the
performance of the Secured Rated Notes is sensitive to the
performance of the Underlying Components.
The rating on the Secured Rated Notes, which combines cash flows
from the Underlying Components, is subject to a higher degree of
volatility than the other rated notes of the Issuer, primarily due
to the uncertainty of cash flows from the Subordinated Notes.
Moody's applied haircuts to the cash flows from the Subordinated
Notes based on the target rating of the Secured Rated Notes. Actual
distributions from the Subordinated Notes that differ significantly
from Moody's assumptions can lead to a faster (or slower) speed of
reduction in the secured rated note balance, thereby resulting in
better (or worse) ratings performance than previously expected.
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 notes. This sensitivity
analysis includes increased default probability relative to the
base case assumptions.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the 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 2783 to 3200)
Rating Impact in Rating Notches
Class X Notes: 0
Class A Notes: 0
Class B-1 Notes: -1
Class B-2 Notes: -1
Class C-1 Notes: -2
Class C-2 Notes: -2
Class C-3 Notes: -2
Class D Notes: -1
Class E Notes: 0
Secured Rated Notes: 0
Percentage Change in WARF -- increase of 30% (from 2783 to 3618)
Rating Impact in Rating Notches
Class X Notes: 0
Class A Notes: -1
Class B-1 Notes: -3
Class B-2 Notes: -3
Class C-1 Notes: -4
Class C-2 Notes: -4
Class C-3 Notes: -4
Class D Notes: -2
Class E Notes: -1
Secured Rated Notes: -3
MARYLAND TRUST 2006-1: Moody's Cuts Rating on Series A Certs to Ba1
-------------------------------------------------------------------
Moody's Investors Service has downgraded and placed on review for
possible downgrade the Series A Investor Certificates from Maryland
Trust 2006-1, a securitization of a small pool of insurance
policies (primarily life insurance and single life annuities).
The complete rating action is:
Issuer: Maryland Trust 2006-1
Ser. A, Downgraded to Ba1 (sf) and Remains On Review for Possible
Downgrade; previously on Jul 7, 2017 Downgraded to Baa2 (sf) and
Remained On Review for Possible Downgrade
RATINGS RATIONALE
Moody's downgrade of the Maryland Trust 2006-1 certificates
reflects Moody's initials review of insurance policy information
recently received from the trustee. Based on this review, the
substantial increases in premium payments that occurred on several
recent distribution dates and the associated declines in aggregate
reserve account balances reflect increases in the cost of
insurance. Going forward Moody's expects the increased cost of
insurance will result in continued elevated premium payments and
continued declines in reserve account balances, although the
premium payments may not be as elevated in coming months as they
were in several recent months.
The Issuer Trust primarily relies on the fixed annuity payments to
pay for the life insurance premium payments and other deal costs.
In recent distribution date reports, annuity payments have not been
sufficient to cover premium payments as well as the additional
monthly income distributions owed to investors, causing draws on
the transaction's reserve accounts. If the Premium Reserve Account
were to be completely exhausted, which Moody's believes is possible
depending on mortality of the insured, the insurance policies will
be vulnerable to lapse risk based on the existing deal structure.
The likelihood of policy lapses depends on the longevity of the
insured, and the amount of annuity income and life insurance policy
account balances available to cover costs. Life insurance policy
lapses would result in losses to the certificates.
Further, any shortfall in funds available to pay additional monthly
income to investors would be accrued and added to the bond balance.
Moody's believes the Liquidity Reserve Account, which is used to
cover any shortage of funds to pay additional monthly income, could
be depleted, thereby likely causing a principal loss to investors
for the accrued amounts.
During the review period, Moody's will analyze additional relevant
information regarding the transaction, including the potential of
policy lapses and the timing of those lapses. If Moody's determines
that a loss to bondholders is likely, the rating may be further
downgraded multiple notches.
The principal methodology used in this rating was "Moody's Approach
to Monitoring Life Insurance ABS" published in January 2015.
Factors that would lead to an upgrade or downgrade of the rating:
Change in mortality or lapse risk as well as change in the
insurance financial strength ratings of the life insurance,
annuity, annuity guaranty, or gap policy providers.
MERRILL LYNCH 2006-C2: Moody's Affirms C Ratings on 3 Tranches
--------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on four classes
in Merrill Lynch Mortgage Trust Commercial Mortgage Pass-through
Certificates, Series 2006-C2:
Cl. B, Affirmed Caa2 (sf); previously on Sep 15, 2016 Affirmed Caa2
(sf)
Cl. C, Affirmed C (sf); previously on Sep 15, 2016 Affirmed C (sf)
Cl. D, Affirmed C (sf); previously on Sep 15, 2016 Affirmed C (sf)
Cl. X, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The ratings on the P&I Classes, B, C and D, were affirmed because
the ratings are consistent with Moody's expected loss.
The rating on the IO class X was affirmed based on the credit
quality of the referenced classes.
Moody's rating action reflects a base expected loss of 37.4% of the
current balance compared to 31.3% at Moody's last review. Moody's
base expected loss plus realized losses is now 10.7% 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 July 2017.
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 August 14, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $35.98
million from $1.54 billion at securitization. The certificates are
collateralized by seven mortgage loans ranging in size from 2% to
25% of the pool. One loan, constituting 8% of the pool, has
defeased and is 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 6, compared to 10 at Moody's last review.
There are no loans on the master servicer's watchlist. The
watchlist includes loans that meet certain portfolio review
guidelines established as part of the CRE Finance Council (CREFC)
monthly reporting package. As part of Moody's ongoing monitoring of
a transaction, the agency reviews the watchlist to assess which
loans have material issues that could affect performance.
Twenty-eight loans have been liquidated from the pool with losses,
contributing to an aggregate realized loss of $152.2 million (for
an average loss severity of 55%). Four loans, constituting 39% of
the pool, are currently in special servicing. The largest specially
serviced loan is the SSA -- Roseville, CA Loan ($5.4 million --
15.0% of the pool), which is secured by a 24,500 square-foot (SF)
single-tenant suburban office located in Roseville, CA. The single
tenant is Roseville Social Security AD (GSA), with a lease
expiration in April 2018. The borrower did not pay off the loan at
maturity on July 11, 2016. The loan is currently in maturity
default. The remaining three specially serviced loans are secured
by a mix of property types. Moody's estimates an aggregate $7.5
million loss for the specially serviced loans (53% expected loss on
average).
Moody's has assumed a high default probability for one troubled
loan, constituting 16.7% of the pool, and has estimated an
aggregate loss of $6.0 million (a 100% expected loss an average)
for this troubled loan.
Moody's received full year 2015 and 2016 operating results for 100%
of the pool, and partial year 2017 operating results for 33% of the
pool, excluding specially serviced loans.
The top performing conduit loans represent 36% of the pool balance.
The largest loan is The Shops of Fairlawn -- A Note Loan ($8.9
million -- 24.7% of the pool), which is secured by a 133,334 SF
anchored retail center located in Fairlawn, Ohio. The loan returned
from special servicing in December 2009 after being modified. The
Hope Note of $6 million was created and the loan term was increased
by 38 periods with the new maturity as of July 2019. The principle
forgiveness of $2,155,098 was also reported. As of June 2017, the
property was 85% leased compared to 100% leased as of YE 2016.
Golfsmith USA vacated their 20,640 SF following bankruptcy. The
space has been backfilled by a Spirit Halloween. At this review
100% loss severity was assumed for the Hope Note. The A Note
Moody's LTV and stressed DSCR are 78% and 1.31X, respectively,
compared to 71% and 1.44X at the last review.
The second largest loan is the Cochise Plaza Loan ($4.2 million --
11.7% of the pool). The loan is secured by a 96,619 SF retail
center located in Sierra Vista, Arizona. The property was 99%
leased as of December 2016 compared to 91% leased as of March 2016.
Performance has been stable. The loan is fully amortizing and has
amortized by 41% since securitization. Moody's LTV and stressed
DSCR are 49% and 2.34X, respectively, compared to 52% and 2.17X at
the last review.
MSSG TRUST 2017-237P: S&P Assigns BB-(sf) Rating on Class E Certs
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to MSSG Trust 2017-237P's
$477.8 million commercial mortgage pass-through certificates series
2017-237P.
The certificate issuance is a commercial mortgage-backed securities
transaction backed by the $477.8 million portion of a 10-year,
fixed-rate commercial mortgage loan and a building loan totaling
$693.2 million, secured by the fee borrower's interest in 237 Park
Avenue; the declarant borrower's interest in the declarant units;
the rent generated by the space leases and the declarant borrower's
interest in the NYPH note and mortgage; a pledge of the fee
borrower's membership interests in the declarant borrower; and a
security interest in certain deposit and disbursement accounts.
The ratings reflect S&P's view of the collateral's historical and
projected performance, the sponsors' and manager's experience, the
trustee-provided liquidity, the loan's terms, and the transaction's
structure.
RATINGS ASSIGNED
MSSG Trust 2017-237P
Class Rating(i) Amount
A AAA (sf) 132,600,000
X-A AAA (sf) 132,600,000(ii)
X-B AA- (sf) 82,000,000(ii)
B AA- (sf) 82,000,000
C A- (sf) 61,500,000
D BBB- (sf) 75,300,000
E BB- (sf) 98,690,000
HRR(iii) NR 27,710,000
(i)The issuer will issue the certificates to qualified
institutional buyers in line with Rule 144A of the Securities Act
of 1933.
(ii)Notional balance. The notional amount of the class X-A
certificates will equal the certificate balance of the class A
certificates and the notional amount of the class X-B certificates
will equal the certificate balance of the class B certificates.
(iii)Eligible horizontal risk retention interest.
NR--Not rated.
OCEAN CLO IV: S&P Assigns Prelim BB+(sf) Rating on Class E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-R, and E-R replacement notes from Ocean Trails CLO
IV, a collateralized loan obligation (CLO) originally issued in
August 2013 that is managed by Five Arrows Managers North America
LLC, a subsidiary of Rothschild Credit Management. The replacement
notes will be issued via a proposed supplemental indenture. S&P
does not expect the refinancing to have any impact on the class F
notes, which are not part of this refinancing.
S&P said, "The preliminary ratings reflect our opinion that the
credit support available is commensurate with the associated rating
levels. The replacement notes are expected to be issued at a lower
spread over LIBOR than the original notes they replace."
The preliminary ratings are based on information as of Aug. 18,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Aug. 29, 2017 refinancing date, the proceeds from the
issuance of the replacement notes are expected to redeem the
original notes. S&P said, "At that time, we anticipate withdrawing
the ratings on the original notes and assigning ratings to the
replacement notes. However, if the refinancing doesn't occur, we
may affirm the ratings on the original notes and withdraw our
preliminary ratings on the replacement notes.
"Our review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the trustee
report, to estimate future performance. In line with our criteria,
our cash flow scenarios applied forward-looking assumptions on the
expected timing and pattern of defaults, and recoveries upon
default, under various interest rate and macroeconomic scenarios.
In addition, our analysis considered the transaction's ability to
pay timely interest or ultimate principal, or both, to each of the
rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take further rating actions
as we deem necessary."
PRELIMINARY RATINGS ASSIGNED
Ocean Trails CLO IV
Replacement class Rating Amount
(mil. $)
A-R AAA (sf) 242.50
B-R AA+ (sf) 51.00
C-R AA- (sf) 25.75
D-R A- (sf) 20.25
E-R BB+ (sf) 16.50
OZLM LTD XI: Moody's Assigns B3(sf) Rating to Class E-R Notes
-------------------------------------------------------------
Moody's Investors Service has assigned the following ratings to the
following notes issued by OZLM XI, Ltd.:
US$3,600,000 Class X Senior Secured Floating Rate Notes due 2030
(the "Class X Notes"), Assigned Aaa (sf)
US$332,300,000 Class A-1-R Senior Secured Floating Rate Notes due
2030 (the "Class A-1-R Notes"), Assigned Aaa (sf)
US$66,000,000 Class A-2-R Senior Secured Floating Rate Notes due
2030 (the "Class A-2-R Notes"), Assigned Aa2 (sf)
US$24,600,000 Class B-R Senior Secured Deferrable Floating Rate
Notes due 2030 (the "Class B-R Notes"), Assigned A2 (sf)
US$33,000,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2030 (the "Class C-R Notes"), Assigned Baa3 (sf)
US$26,200,000 Class D-R Secured Deferrable Floating Rate Notes due
2030 (the "Class D-R Notes"), Assigned Ba3 (sf)
US$10,500,000 Class E-R Secured Deferrable Floating Rate Notes due
2030 (the "Class E-R Notes"), Assigned B3 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of senior secured, broadly syndicated corporate loans.
OZ CLO Management LLC manages the CLO. It directs the selection,
acquisition, and disposition of collateral on behalf of the
Issuer.
RATINGS RATIONALE
Moody's ratings on the Refinancing Notes addresses the expected
losses posed to noteholders. The ratings reflects 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 August 18, 2017 (the
"Refinancing Date") in connection with the refinancing of all
classes of the secured notes previously issued on March 12, 2015
the ("Original Closing Date"). On the Refinancing Date, the Issuer
used proceeds from the issuance of the Refinancing Notes to redeem
in full the secured notes issued on the Original Closing Date. The
Issuer has also issued one class of subordinated notes on the
Original Closing Date that will remain outstanding. In connection
with the Refinancing Date, the Issuer has issued additional secured
notes and subordinated notes.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; and changes to the
asset quality matrix and recovery rate modifier matrix.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in October 2016.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Performing par and principal proceeds balance: $522,628,694
Defaulted Par: $4,742,613
Diversity Score: 75
Weighted Average Rating Factor (WARF): 2943
Weighted Average Spread (WAS): 3.60%
Weighted Average Spread (WAC): 7.0%
Weighted Average Recovery Rate (WARR): 48%
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 Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Refinancing Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Refinancing
Notes (shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2943 to 3384)
Rating Impact in Rating Notches
Class X Notes: 0
Class A-1-R Notes: 0
Class A-2-R Notes: -2
Class B-R Notes: -2
Class C-R Notes: -1
Class D-R Notes: -1
Class E-R Notes: -1
Percentage Change in WARF -- increase of 30% (from 2943 to 3826)
Rating Impact in Rating Notches
Class X Notes: 0
Class A-1-R Notes: -1
Class A-2-R Notes: -4
Class B-R Notes: -4
Class C-R Notes: -2
Class D-R Notes: -1
Class E-R Notes: -4
PALMER SQUARE 2017-1: S&P Gives Prelim BB(sf) Rating on Cl. D Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Palmer
Square Loan Funding 2017-1 Ltd.'s $279.18 million floating-rate
notes.
The note issuance is a collateralized loan obligation (CLO)
serviced by Palmer Square Capital Management LLC and backed by
broadly syndicated, speculative-grade, senior secured term loans.
The preliminary ratings are based on information as of Aug. 18,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated, speculative-grade, senior secured term loans.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral servicer's experienced team, which can affect
the performance of the rated notes through collateral selection.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
Palmer Square Loan Funding 2017-1 Ltd.
Class Rating Amount
(mil. $)
A-1 AAA (sf) 202.900
A-2 AA (sf) 32.600
B (deferrable) A (sf) 19.980
C (deferrable) BBB (sf) 13.200
D (deferrable) BB (sf) 10.500
Subordinated notes NR 23.725
NR--Not rated.
PRESTIGE AUTO 2017-1: S&P Assigns BB(sf) Rating on Class F Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Prestige Auto
Receivables Trust's $335.2 million automobile receivables-backed
notes series 2017-1.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The ratings reflect:
-- The availability of approximately 48.1%, 41.7%, 32.6%, 25.7%,
and 22.0% of credit support for the class A, B, C, D, and E notes,
respectively (based on stressed cash flow scenarios, including
excess spread), which provides coverage of more than 3.50x, 3.00x,
2.30x, 1.75x, and 1.50x our 13.00%-13.75% expected cumulative net
loss range for the class A, B, C, D, and E notes, respectively.
These credit support levels are commensurate with the assigned 'AAA
(sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on
the class A, B, C, D, and E notes.
-- S&P said, "Our expectation that under a moderate, or 'BBB',
loss scenario, all else equal, our ratings on the class A, B, and C
notes would not decline by more than one rating category, and our
ratings on the class D and E notes would not decline by more than
two rating categories (all else being equal). These potential
rating movements are consistent with our credit stability criteria,
which outline the outer bound of credit deterioration equal to a
one-category downgrade within the first year for 'AAA' and 'AA'
rated securities, a two-category downgrade within the first year
for 'A' through 'BB' rated securities, and within three rating
categories in a three-year horizon for 'AAA' through 'BBB' rated
securities under moderate stress conditions (see "Methodology:
Credit Stability Criteria," published May 3, 2010)."
-- The credit enhancement in the form of subordination,
overcollateralization, a reserve account, and excess spread.
-- The timely interest and ultimate principal payments made under
the stressed cash flow modeling scenarios, which are consistent
with the assigned ratings.
-- The collateral characteristics of the securitized pool of
subprime auto loans.
-- Prestige Financial Services Inc.'s securitization performance
history since 2001.
-- The transaction's payment and legal structures.
RATINGS ASSIGNED
Prestige Auto Receivables Trust 2017-1
Class Rating Type Interest Amount
rate (mil. $)
A-1 A-1+ (sf) Senior Fixed 45.700
A-2 AAA (sf) Senior Fixed 117.000
A-3 AAA (sf) Senior Fixed 50.260
B AA (sf) Subordinate Fixed 35.850
C A (sf) Subordinate Fixed 44.100
D BBB (sf) Subordinate Fixed 31.020
E BB (sf) Subordinate Fixed 11.293
S-JETS 2017-1: S&P Assigns BB(sf) Rating on $780.8MM Class C Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to S-JETS 2017-1 Ltd.'s
$780.8 million fixed-rate class A, B, and C notes.
The note issuance is backed by aircraft-related leases and shares
or beneficial interests in entities that directly and indirectly
receive aircraft portfolio lease and residual cash flows, among
others.
The ratings reflect S&P's view of:
-- The likelihood of timely interest on the class A notes
(excluding the step-up amount) on each payment date, the timely
interest on the class B notes (excluding the step-up amount) when
they are the senior-most notes outstanding on each payment date,
and the ultimate interest and principal payment on the class A, B,
and C notes on the legal final maturity at the respective rating
stresses.
-- The 71.34% loan-to-value (LTV) ratio (based on the lower of the
mean and median of the half-life base values and the half-life
current market values) on the class A notes, the 80.13% LTV ratio
on the class B notes, and the 84.69% LTV ratio on the class C
notes.
-- The initial asset portfolio, which comprises 18 narrow-body
passenger planes (eight A320 family, one B737-700, eight B737-800,
and one B737-900ER), and three wide-body passenger planes (one
A330-300, one A330-200, and one B787-8 Dreamliner). The 21 assets
have a weighted average age of approximately 3.56 years and
remaining average lease term of approximately 7.34 years. None of
the assets are currently out of production.
-- Many of the lessees are in emerging markets where the
commercial aviation market is growing.
-- The class A and B notes' 15-year amortization profile. The
class C notes follow an eight-year amortization profile.
-- If a rapid amortization event (the debt service coverage ratio
[DSCR] or utilization triggers have been breached or eight years
after the initial closing date) has occurred and is continuing, the
transaction will pay the class A notes' outstanding principal
balance. A similar arrangement applies to the class B notes after
the class A notes are paid.
-- A portion of the end-of-lease payments will be paid to the
class A, B, and C notes according to their respective LTVs.
-- A liquidity facility that equals nine months of interest on the
class A and B notes.
-- Morten Beyer & Agnew's provision of a maintenance analysis at
closing and on an annual basis thereafter. Maintenance reserve
accounts are required to keep a balance to meet the higher of $1
million in the aggregate and the sum of forward-looking maintenance
expenses (up to 12 months). The excess maintenance over the
required maintenance amount will be transferred to the payment
waterfall.
-- The senior indemnification (capped at $10 million), which is
modeled to occur in the first 12 months.
-- The junior indemnification (uncapped), which is subordinated to
the rated classes' principal payment.
-- Sky Aviation Leasing International Ltd., a new aircraft leasing
company, is the servicer for this transaction. Sky Aviation Leasing
International Ltd.'s in-house aircraft assets and aviation finance
team is experienced in managing new and young mid-life aircraft
assets.
-- S&P said, "Since we assigned our preliminary ratings to the
series A, B, and C notes on Aug. 3, 2017, one of the lessees in the
portfolio, Air Berlin, filed for insolvency. We were notified that
this is being considered to be a "material default" under the
transaction sale agreement, which will result in the funds held in
the transaction's acquisition account for these planes to be
returned as a rescission payment to the extent Air Berlin is still
insolvent within 270 days."
RATINGS ASSIGNED
S-JETS 2017-1 Ltd.
Class Rating Interest Amount
rate (%) (mil. $)
A A (sf) 3.97 657.8
B BBB (sf) 5.68 81.0
C BB (sf) 7.02 42.0
SEQUOIA MORTGAGE 2004-6: Moody's Cuts Cl. X-B Debt Rating to Caa3
-----------------------------------------------------------------
Moody's Investors Service has downgraded the rating of one tranche
from Sequoia Mortgage Trust 2004-6. The transaction is backed by
Prime Jumbo RMBS loans.
Complete rating actions are:
Issuer: Sequoia Mortgage Trust 2004-6
Cl. X-B, Downgraded to Caa3 (sf); previously on Feb 22, 2012
Downgraded to Caa2 (sf)
RATINGS RATIONALE
The downgrade of Class X-B reflects the correction of a prior
error. Class X-B is an interest-only (IO) tranche with a notional
balance linked to the principal balances of Classes B-1 and B-2.
Per Moody's methodology for rating IOs referencing multiple bonds,
the IO rating is the weighted average of the current rating of all
referenced bonds based on current balances. For referenced bonds
that have been written down due to realized losses, the current
balances are grossed up by the realized losses. Due to an error in
a model used in the June 2017 rating action, however, the balance
of Class B-2 was not accurately adjusted for realized losses,
leading to an incorrect rating on Class X-B. The error has now been
corrected, and rating action reflects this change. The rating
action also reflects the recent performance of the underlying pools
and Moody's updated loss expectation on these pools.
The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in January 2017.
Additionally, the methodology used in rating Cl. X-B was "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
Factors that would lead to an upgrade or downgrade of the 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 July 2017 from 4.9% in July
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.
TCP WHITNEY: S&P Assigns BB-(sf) Rating on $329.55MM Class D Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to TCP Whitney CLO Ltd./TCP
Whitney CLO LLC's $329.55 million floating-rate and combination
notes.
The note issuance is a collateralized loan obligation transaction
backed by primarily middle-market, speculative-grade, senior
secured term loans.
The ratings reflect:
-- The diversified collateral pool, which consists primarily of
middle-market, speculative-grade, senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
S&P's rating on the combination notes, which consist of the $8.5
million class B notes, $4.0 million class C notes, $7.5 million
class D notes, and $5.55 million subordinate notes, takes into
account our cash flow analysis, assuming paydowns to the
combination notes from interest payments, equity distributions, or
principal payments on the underlying notes.
RATINGS ASSIGNED
TCP Whitney CLO Ltd./TCP Whitney CLO LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 195.00
A-2 AA (sf) 37.00
B A- (sf) 28.00
C BBB (sf) 24.00
D BB- (sf) 20.00
Subordinate notes NR 46.85
Combination notes(i) BBB-p (sf) 25.55
(i)The combination notes are backed by the $8.5 million class B
notes, $4.0 million class C notes, $7.5 million class D notes, and
$5.55 million subordinate notes.
p--Principal only.
NR--Not rated.
N/A--Not applicable.
UBS COMMERCIAL 2012-C1: Moody's Cuts Class F Debt Rating to 'B3'
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on eight classes
and downgraded the ratings on two classes in UBS Commercial
Mortgage Trust 2012-C1, Commercial Mortgage Pass-Through
Certificates, Series 2012-C1:
Cl. A-3, Affirmed Aaa (sf); previously on Jan 26, 2017 Affirmed Aaa
(sf)
Cl. A-AB, Affirmed Aaa (sf); previously on Jan 26, 2017 Affirmed
Aaa (sf)
Cl. A-S, Affirmed Aaa (sf); previously on Jan 26, 2017 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa1 (sf); previously on Jan 26, 2017 Affirmed Aa1
(sf)
Cl. C, Affirmed A1 (sf); previously on Jan 26, 2017 Affirmed A1
(sf)
Cl. D, Affirmed Baa2 (sf); previously on Jan 26, 2017 Affirmed Baa2
(sf)
Cl. E, Downgraded to Ba3 (sf); previously on Jan 26, 2017 Affirmed
Ba2 (sf)
Cl. F, Downgraded to B3 (sf); previously on Jan 26, 2017 Affirmed
B2 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on Jan 26, 2017 Affirmed Aaa
(sf)
Cl. X-B, Affirmed B1 (sf); previously on Jun 9, 2017 Downgraded to
B1 (sf)
RATINGS RATIONALE
The ratings on six 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 two P&I classes were downgraded due to anticipated
losses from specially serviced and troubled loans, and the
treatment of the second and third largest conduit loans.
The ratings on the IO classes, Classes X-A and X-B, were affirmed
based on the credit quality of their referenced classes.
Moody's rating action reflects a base expected loss of 4.7% of the
current pooled balance, compared to 2.7% at Moody's last review.
Moody's base expected loss plus realized losses is now 4.0% of the
original pooled balance, compared to 2.3% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in these ratings were "Approach to Rating US
and Canadian Conduit/Fusion CMBS" published in July 2017, and
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in July 2017.
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 August 11, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 15% to $1.132
billion from $1.331 billion at securitization. The certificates are
collateralized by 68 mortgage loans ranging in size from less than
1% to 11% of the pool, with the top ten loans (excluding
defeasance) constituting 46% of the pool. Eight loans, constituting
23% 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, the same as at Moody's last review.
Eleven loans, constituting 15% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
No loans have been liquidated from the pool. Two loans,
constituting 2.1% of the pool, are currently in special servicing.
The largest specially serviced loan is the Emerald Coast Hotel
Portfolio Loan ($17.5 million -- 1.5% of the pool), which is
secured by a 112-unit Hilton Garden Inn and 81-unit Hampton Inn in
Clarksburg and Elkins, West Virginia, respectively. The loan
transferred to special servicing in April 2017 for imminent
non-monetary default. The sponsor of the loan has been listed as a
co-defendant in a lawsuit filed by US Bank for defaulting on a
separate hotel loan.
The other specially serviced loan is secured by two mixed-use
properties in Chicago, Illinois. Moody's has also assumed a high
default probability for one poorly performing loan, constituting
less than 1% of the pool, and has estimated an aggregate loss of
$6.0 million (a 23% expected loss based on a 50% probability
default) from these specially serviced and troubled loans.
Moody's received full year 2016 operating results for 76% of the
pool, and full or partial year 2017 operating results for 63% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 96%, 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 13% 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 1.37X and 1.07X,
respectively, compared to 1.41X and 1.10X 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 24% of the pool balance. The
largest loan is the Dream Hotel Downtown Net Lease Loan ($120
million -- 10.6% of the pool), which is secured by the borrower's
fee simple interest in a parcel of land located at 17th Street and
9th Avenue in Chelsea, Manhattan. The collateral is encumbered by
an additional $35 million of unsecured subordinate debt. The
borrower's interest in the property is subject to the rights of the
Net Lease tenants under two separate Net Leases, Northquay
Properties, LLC (Hotel Tenant) and Northglen Properties LLC
(Banquet/Conference Space Tenant). The Net Leases are structured
with step ups in lease payments and have terms that expired in
September 2112. Moody's LTV and stressed DSCR are 99.5% and 0.64X,
respectively, unchanged from the prior review.
The second largest loan is the Poughkeepsie Galleria Loan ($80.1
million -- 7.1% of the pool), which is secured by a 691,000 SF
(square foot) portion of a 1.2 million SF regional mall located in
Poughkeepsie, New York (approximately 70 miles north of New York
City). Mall anchors include J.C. Penney, Regal Cinemas and Dick's
Sporting Goods as part of the collateral. Anchors not part of the
collateral include Macy's, Target and Sears. As of the March 2017
rent roll, the collateral was 88% leased, down from 93% as of March
2016 and the in-line space (less than 10,000 SF) was 66% leased.
The $80.1 million loan represents a pari passu portion of a total
$146 million first mortgage loan. The collateral is also encumbered
by $21 million of mezzanine debt. Moody's LTV and stressed DSCR are
127% and 0.83X, respectively, compared to 93% and 1.07X at the last
review.
The third largest loan is the Hartford 21 Loan ($71.6 million --
6.3% of the pool), which is secured by a Class A mixed-use
multi-family/office/retail development located in center city
Hartford, Connecticut. The property includes a 36-story residential
component with 262-units and a 3-story commercial component with
both buildings containing ground floor retail. As of March 2017,
the residential, office and retail portions were 84%, 46% and 51%
leased, respectively, compared to 84%, 81% & 48% at year-end 2015.
Moody's LTV and stressed DSCR are 116% and 0.82X, respectively,
compared to 94% and 1.01X at the last review.
UBS COMMERCIAL 2017-C2: Fitch Assigns B- Rating to Cl. H-RR Certs
-----------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to UBS Commercial Mortgage Trust 2017-C2 commercial
mortgage pass-through certificates:
-- $34,851,000 class A-1 'AAAsf'; Outlook Stable;
-- $77,613,000 class A-2 'AAAsf'; Outlook Stable;
-- $46,089,000 class A-SB 'AAAsf'; Outlook Stable;
-- $210,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $260,524,000 class A-4 'AAAsf'; Outlook Stable;
-- $629,077,000b class X-A 'AAAsf'; Outlook Stable;
-- $175,332,000b class X-B 'A-sf'; Outlook Stable;
-- $103,348,000 class A-S 'AAAsf'; Outlook Stable;
-- $39,317,000 class B 'AA-sf'; Outlook Stable;
-- $32,667,000 class C 'A-sf'; Outlook Stable;
-- $14,514,000ac class D-RR 'BBB+sf'; Outlook Stable;
-- $8,987,000ac class E-RR 'BBBsf'; Outlook Stable;
-- $16,850,000ac class F-RR 'BBB-sf'; Outlook Stable;
-- $16,850,000ac class G-RR 'BB-sf'; Outlook Stable;
-- $8,987,000ac class H-RR 'B-sf'; Outlook Stable.
The following class is not rated by Fitch:
-- $28,084,591ac class NR-RR.
Since Fitch published its expected ratings on July 25, 2017, the
issuer increased the class X-B to $175,332,000, increased the class
C to $32,667,000 and decreased the class D-RR to $14,514,000.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest only.
(c) Horizontal credit risk retention interest representing at least
5% of the estimated fair value of all classes of regular
certificates issued by the issuing entity (as of the closing
date).
The ratings are based on information provided by the issuer as of
Aug. 17, 2017.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 59 loans secured by 204
commercial properties having an aggregate principal balance of
$898,681,592 as of the cut-off date. UBS AG, Societe Generale,
German American Capital Corporation, Natixis Real Estate Capital
LLC, Rialto Mortgage Finance, LLC and CIBC Inc contributed loans to
the trust.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 59.7% of the properties
by balance, cash flow analysis of 76.5%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Investment-Grade Credit Opinion Loans: Five loans, representing
23.5% of the pool, have investment-grade credit opinions. General
Motors Building (5.6% of the pool), Park West Village (5.6% of the
pool), Del Amo Fashion Center (5.0% of the pool), 85 Broad Street
(3.8% of the pool) and 245 Park Avenue (3.6% of the pool) have
investment-grade credit opinions. Combined, the five credit opinion
loans have a weighted average (WA) Fitch debt service coverage
ratio (DSCR) and loan to value (LTV) of 1.44x and 65.7%,
respectively.
High Pool Diversity: The largest 10 loans account for 44.4% of the
pool, which is well below the year-to-date (YTD) 2017 average of
53.3% for fixed-rate multiborrower transactions. The transaction
exhibits very low pool concentration, with a loan concentration
index (LCI) of 290, compared to the YTD 2017 average of 399. The
average loan size for this transaction is $15.2 million compared to
the YTD 2017 average of $20.3 million.
Lower Fitch Leverage than Recent Transactions: The pool's leverage
is lower than recent comparable Fitch-rated multiborrower
transactions. The pool's Fitch DSCR and LTV are 1.23x and 97.2%,
respectively, which are comparable to the YTD 2017 averages of
1.22x and 104.3%. Excluding investment-grade credit opinion loans,
the pool has a Fitch DSCR and LTV of 1.21x and 104.8%,
respectively, better than the YTD 2017 normalized averages of 1.18x
and 107.4%.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 12.6% below
the most recent year's net operating income (NOI) for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period. Unanticipated further declines
in property-level NCF could result in higher defaults and loss
severities on defaulted loans and in potential rating actions on
the certificates.
Fitch evaluated the sensitivity of the ratings assigned to UBS
2017-C2 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'A-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'
could result.
WELLS FARGO 2016-LC24: Fitch Affirms 'BB-sf' Rating on Cl. F Certs
------------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of Wells Fargo Commercial
Mortgage Trust 2016-LC24 Commercial Mortgage Pass-Through
Certificates.
KEY RATING DRIVERS
Stable Performance: The affirmations are based on the stable
performance of the underlying collateral. There have been no
material changes to the pool since issuance, therefore the original
rating analysis was considered in affirming the transaction.
As of the August 2017 distribution date, the pool's aggregate
balance has been reduced by 0.65% to $1.039 billion, from $1.045
billion at issuance. All loans are current and there have been no
specially serviced loans. Two loans (0.62% of pool) are on the
servicer's watchlist, of which, one (0.22%) is considered a Fitch
Loan of Concern due to recent occupancy declines and low debt
service coverage ratio.
Co-Op Collateral: The pool contains 14 loans (6.1% of pool) secured
by multifamily co-ops. Thirteen of the co-ops in this transaction
are located within the greater New York City metro area, with the
remaining one in Washington, D.C.
Low Pool Concentration: The largest 10 loans account for 38% of the
pool by balance. This is much lower than both the 2016 average of
54.8% and the 2015 average of 49.3%. The pool's average
concentration resulted in a loan concentration index (LCI) of 236,
which is much lower than the 2016 average of 422 and the 2015
average of 367. The sponsor concentration index (SCI) of 300 is
also much lower than the 2016 average of 493 and the 2015 average
of 410.
Above-Average Amortization: Based on the scheduled maturity, the
pool will pay down 12.9%. This level is higher than both the 2016
average of 10.4% and the 2015 average of 11.7%. Full-term,
interest-only loans compose 22.7% of the pool from 16 loans, and 26
loans representing 34.7% of the pool are partial interest-only.
Eight ARD loans make up 8.3% of the pool, and one fully amortizing
loan represents 0.1%. The remainder of the pool consists of 48
balloon loans representing 42.5% of the pool.
RATING SENSITIVITIES
The Rating Outlook on all classes remains Stable given the
relatively stable performance of the transaction since issuance.
Fitch does not foresee positive or negative ratings migration until
a material economic or asset-level event changes the transaction's
overall portfolio level metrics.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following classes:
-- $34.6 million class A-1 at 'AAAsf'; Outlook Stable;
-- $55.7 million class A-2 at 'AAAsf'; Outlook Stable;
-- $275 million class A-3 at 'AAAsf'; Outlook Stable;
-- $290.6 million class A-4 at 'AAAsf'; Outlook Stable;
-- $69.1 million class A-SB at 'AAAsf'; Outlook Stable;
-- $94.1 million class A-S at 'AAAsf'; Outlook Stable;
-- $724.9* million class X-A at 'AAAsf'; Outlook Stable;
-- $142.4* million class X-B at 'AA-sf'; Outlook Stable;
-- $48.3 million class B at 'AA-sf'; Outlook Stable;
-- $44.4 million class C at 'A-sf'; Outlook Stable;
-- $49.7* million X-D at 'BBB-sf'; Outlook Stable;
-- $23.5* million X-EF at 'BB-sf'; Outlook Stable;
-- $49.7 million class D at 'BBB-sf'; Outlook Stable;
-- $13.1 million class E at 'BB+sf'; Outlook Stable;
-- $10.5 million class F at 'BB-sf'; Outlook Stable.
*Notional amount and interest-only
Fitch does not rate class G, H, I, X-G, X-H, or X-I certificates.
WELLS FARGO 2017-C39: Fitch Assigns B-sf Rating to Cl. G-RR Certs
-----------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Ratings
Outlooks to Wells Fargo Commercial Mortgage Trust 2017-C39
commercial mortgage pass-through certificates:
-- $27,816,000 class A-1 'AAAsf'; Outlook Stable;
-- $80,706,000 class A-2 'AAAsf'; Outlook Stable;
-- $4,389,000 class A-3 'AAAsf'; Outlook Stable;
-- $44,790,000 class A-SB 'AAAsf'; Outlook Stable;
-- $305,000,000 class A-4 'AAAsf'; Outlook Stable;
-- $330,283,000 class A-5 'AAAsf'; Outlook Stable;
-- $106,203,000 class A-S 'AAAsf'; Outlook Stable;
-- $792,984,000a class X-A 'AAAsf'; Outlook Stable;
-- $223,642,000a class X-B 'A-sf'; Outlook Stable;
-- $50,978,000 class B 'AA-sf'; Outlook Stable;
-- $46,729,000 class C 'A-sf'; Outlook Stable;
-- $19,732,000b class D 'BBB+sf'; Outlook Stable;
-- $36,910,000bc class E-RR 'BBB-sf'; Outlook Stable;
-- $25,489,000bc class F-RR 'BB-sf'; Outlook Stable;
-- $11,328,000bc class G-RR 'B-sf'; Outlook Stable.
Since publishing expected ratings on Aug. 3, 2017, Fitch has
assigned a rating to the class X-B, which previously was not
expected to be rated. In addition, the class X-B balance was
increased to $223,642,000, the class D balance increased to
$19,732,000, and the class E-RR balance decreased to $36,910,000.
The classes above reflect the final ratings and deal structure.
The following class is not rated by Fitch:
-- $42,481,836bc class H-RR.
(a) Notional amount and interest-only.
(b) Privately placed and pursuant to Rule 144A.
(c) Horizontal credit risk retention interest.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 64 loans secured by 149
commercial properties having an aggregate principal balance of
$1,132,834,836 as of the cut-off date. The loans were contributed
to the trust by Wells Fargo Bank, National Association, Barclays
Bank PLC, Argentic Real Estate Finance LLC, Natixis Real Estate
Capital LLC, and Basis Real Estate Capital II, LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 78.7% of the properties
by balance, cash flow analysis of 80.8%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
High Pool Diversity: The largest 10 loans represent 45.2% of the
pool, which is well below the 2017 YTD average of 53.5% for
fixed-rate multiborrower transactions. The transaction exhibits
very low pool concentration, with a loan concentration index (LCI)
of 298, compared to the 2017 YTD average of 401. The average loan
size for this transaction is $17.7 million compared to the 2017 YTD
average of $20 million.
Investment-Grade Credit Opinion Loans: Four loans representing
16.8% of the pool have investment-grade credit opinions, which is
above the 2017 YTD average of 9.4%. 225 & 233 Park Avenue South
(6.2% of the pool) and 245 Park Avenue (4% of the pool) have
investment-grade credit opinions of 'BBB-sf*', respectively, while
Two Independence Square (4% of the pool) and Del Amo Fashion Center
(2.6% of the pool) have investment-grade credit opinions of 'A-sf*'
and 'BBBsf*', respectively. Net of the credit opinion loans,
Fitch's DSCR and LTV are 1.21x and 108.1%, respectively.
Average Fitch Leverage: The transaction has leverage in line with
other Fitch-rated multiborrower transactions. The pool's Fitch DSCR
and LTV of 1.22x and 101.5%, respectively, are slightly below the
2017 YTD averages of 1.25x and 101.9%, respectively. Additionally,
the pool's Fitch DSCR and LTV are in line with the 2016 averages of
1.21x and 105.2%, respectively.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 8.7% below
the most recent year's net operating income (NOI) for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period. Unanticipated further declines
in property-level NCF could result in higher defaults and loss
severities on defaulted loans and in potential rating actions on
the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the WFCM
2017-C39 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'A-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBBsf'
could result.
WFRBS COMMERCIAL 2014-C23: Fitch Affirms Bsf Rating on Cl. F Certs
------------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of WFRBS Commercial Mortgage
Trust 2014-C23 (WFRBS 2014-C23) commercial mortgage pass-through
certificates.
KEY RATING DRIVERS
Overall Stable Performance: Overall pool performance remains stable
from issuance with limited paydown. The stable performance reflects
no material changes to pool metrics since issuance, therefore the
original rating analysis was considered in affirming the
transaction. There are no delinquent or special serviced loans. One
loan backed by two hotels in Michigan (1%) and 11 co-op loans
(2.3%) are on the servicer's watchlist. There is one defeased loan
(1.1%).
Pool Concentrations: The 10 largest loans represent 53.9% of the
total pool balance, and the top three loans represent 29.1% of the
deal. By property type, office properties are 30.7% of the pool and
retail-backed loans represent 25.5%. However, none of the retail
properties are enclosed regional malls.
Interest-Only Loan Periods/Limited Amortization: Approximately
16.5% of the pool is full-term interest only, and 47.8% is
partial-term interest only. The remainder of the pool (6.3%)
consists of amortizing balloon loans with loan terms of five to 10
years. Based on the scheduled balance at maturity, the pool will
amortize 12.8%. Two loans are scheduled to mature in 2019 (3.5%);
one loan matures in 2021 (1%), and the rest of the pool matures in
2024.
Geographic Concentration: The transaction has a heavy California
concentration, with 38.1% of the pool's collateral located in the
state. This percentage comprises seven of the top 15 loans (32.6%),
including three loans secured by retail properties. The California
properties are located in distinct markets throughout 10 counties
situated in both Northern and Southern California: Los Angeles,
Riverside, Contra Costa, Ventura, Kern, Merced, Marin, Sonoma,
Imperial and Santa Cruz.
Co-Op Collateral: A total of 19 loans, representing 4.5% of the
total pool balance, are collateralized by co-op properties. These
co-op loans have very low leverage metrics on an assumed rental
basis. At issuance, the co-op loans in the transaction have an
average Fitch DSCR and LTV of 5.54x and 29.2%, respectively. One
loan has paid off with a prepayment penalty.
RATING SENSITIVITIES
Rating Outlooks on classes A-1 through F remain Stable due to the
relatively stable performance of the pool since issuance. No
positive or negative rating changes are expected in the near term
unless there are material changes to pool performance.
Fitch has affirmed the following ratings:
-- $22.7 million class A-1 at 'AAAsf'; Outlook Stable;
-- $33.2 million class A-2 at 'AAAsf'; Outlook Stable;
-- $8.5 million class A-3 at 'AAAsf'; Outlook Stable;
-- $245 million class A-4 at 'AAAsf'; Outlook Stable;
-- $257.8 million class A-5 at 'AAAsf'; Outlook Stable;
-- $70.8 million class A-SB at 'AAAsf'; Outlook Stable;
-- $56.5 million class A-S at 'AAAsf'; Outlook Stable;
-- $44.7 million class B at 'AA-sf'; Outlook Stable;
-- $35.3 million class C at 'A-sf'; Outlook Stable;
-- $136.4 million class PEX* at 'A-sf'; Outlook Stable;
-- Interest-only class X-A at 'AAAsf'; Outlook Stable;
-- Interest-only class X-C at 'BBsf'; Outlook Stable;
-- Interest-only class X-D at 'Bsf'; Outlook Stable;
-- $76.4 million class D at 'BBB-sf'; Outlook Stable;
-- $11.8 million class E at 'BBsf'; Outlook Stable;
-- $17.6 million class F at 'Bsf'; Outlook Stable.
*Class A-S, B, and C certificates may be exchanged for class PEX
certificates.
Fitch does not rate the class G, X-B, X-E and X-Y certificates.
YORK CLO-3: Moody's Assigns B3(sf) Rating to Class F Notes
----------------------------------------------------------
Moody's Investors Service has assigned the following ratings to the
following notes (the "Refinancing Notes") issued by York CLO-3
Ltd.:
US$422,500,000 Class A-R Floating Rate Notes due 2029 (the "Class
A-R Notes"), Assigned Aaa (sf)
US$68,250,000 Class B-R Floating Rate Notes due 2029 (the "Class
B-R Notes"), Assigned Aa2 (sf)
US$35,750,000 Class C-R Deferrable Floating Rate Notes due 2029
(the "Class C-R Notes"), Assigned A2 (sf)
US$39,650,000 Class D-R Deferrable Floating Rate Notes due 2029
(the "Class D-R Notes"), Assigned Baa3 (sf)
US$31,655,000 Class E-R Deferrable Floating Rate Notes due 2029
(the "Class E-R Notes"), Assigned Ba3 (sf)
US$9,945,000 Class F Deferrable Floating Rate Notes due 2029 (the
"Class F Notes"), Assigned B3 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of senior secured, broadly syndicated corporate loans
York CLO Managed Holdings, LLC (the "Manager") manages the CLO. It
directs the selection, acquisition, and disposition of collateral
on behalf of the Issuer.
RATINGS RATIONALE
Moody's ratings on the Refinancing Notes address the expected
losses posed to noteholders. The ratings reflect the risks due to
defaults on the underlying portfolio of assets, the transaction's
legal structure, and the characteristics of the underlying assets.
The Issuer has issued the Refinancing Notes on August 23, 2017 (the
"Refinancing Date") in connection with the refinancing of certain
classes of notes (the "Refinanced Original Notes") previously
issued on June 15, 2016 (the "Original Closing Date"). On the
Refinancing Date, the Issuer used proceeds from the issuance of the
Refinancing Notes to redeem in full the Refinanced Original 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 include: extension of the reinvestment
period; extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; and changes to the
overcollateralization test levels
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in October 2016.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Performing par and principal proceeds balance: $650,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2779
Weighted Average Spread (WAS): 3.40%
Weighted Average Recovery Rate (WARR): 47.50%
Weighted Average Life (WAL): 8.58 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
October 2016.
Factors That Would Lead to an Upgrade or a Downgrade of the
Ratings:
The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the rating(s) assigned to the Refinancing Notes.
This sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Refinancing
Notes (shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2779 to 3196)
Rating Impact in Rating Notches
Class A-R Notes: 0
Class B-R Notes: -2
Class C-R Notes: -2
Class D-R Notes: -1
Class E-R Notes: -1
Class F Notes: -1
Percentage Change in WARF -- increase of 30% (from 2779 to 3613)
Rating Impact in Rating Notches
Class A-R Notes: -1
Class B-R Notes: -3
Class C-R Notes: -4
Class D-R Notes: -2
Class E-R Notes: -1
Class F Notes: -3
[*] S&P Lowers Ratings on 7 Classes From 3 US Re-REMIC RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings lowered its ratings on seven classes from three
U.S. resecuritized real estate mortgage investment conduit
(re-REMIC) residential mortgage-backed securities (RMBS)
transactions issued between 2009 and 2010. All of these
transactions are supported by underlying classes backed by a mix of
prime jumbo and Alternative-A mortgage collateral.
APPLICATION OF INTEREST SHORTFALL CRITERIA
S&P said, "In reviewing these ratings, we applied "Global
Methodology For Rating Retranchings Of ABS, CMBS, And RMBS,"
published Aug. 1, 2016, and our interest shortfall criteria as
stated in "Structured Finance Temporary Interest Shortfall
Methodology," published Dec. 15, 2015, which impose a maximum
rating threshold on classes that have incurred interest shortfalls
resulting from credit or liquidity erosion. In applying the
criteria, we looked to see if the applicable class received
additional compensation beyond the imputed interest due as direct
economic compensation for the delay in interest payment. In
instances where the class or underlying class did not receive
additional compensation for outstanding missed interest payments,
we used the maximum length of time until full interest is
reimbursed as part of our analysis to assign the rating on the
class."
RATINGS LOWERED
CSMC Series 2009-7R
Rating
Series Class CUSIP To From
2009-7R 15-A1 12641QDM1 D (sf) CCC (sf)
2009-7R 15-A2 12641QDN9 D (sf) CCC (sf)
2009-7R 15-A3 12641QDP4 D (sf) CCC (sf)
2009-7R 15-A8 12641QDU3 D (sf) CCC (sf)
CSMC Series 2010-4R
Rating
Series Class CUSIP To From
2010-4R 9-A-12 12643NNM5 AA+ (sf) AAA (sf)
2010-4R 9-A-4 12643NMV6 AA+ (sf) AAA (sf)
Morgan Stanley Re-REMIC Trust 2010-R5
Rating
Series Class CUSIP To From
2010-R5 2-B 61759HAY3 A- (sf) A (sf)
[*] S&P Takes Various Actions on 101 Classes From 21 US RMBS Deals
------------------------------------------------------------------
S&P Global Ratings completed its review of 101 classes from 21 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 1997 and 2007. All of these transactions are backed by
mixed-collateral. The review yielded nine upgrades, 25 downgrades,
and 67 affirmations.
Analytical Considerations
S&P said, "We incorporate various considerations into our decisions
to raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by our projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes."
Some of these considerations include:
-- Collateral performance/delinquency trends;
-- Historical interest shortfalls;
-- Increase in loss severities;
-- Priority of principal payments;
-- Proportion of reperforming loans in the pool;
-- Tail risk; and
-- Available subordination and/or overcollateralization.
Rating Actions
The affirmations of ratings reflect S&P's opinion that it projected
credit support and collateral performance on these classes has
remained relatively consistent with its prior projections.
A list of the Affected Ratings is available at:
http://bit.ly/2vVgT4C
[*] S&P Takes Various Actions on 47 Classes From 9 US RMBS Deals
----------------------------------------------------------------
S&P Global Ratings completed its review of 47 classes from 9 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2001 and 2005. These transactions are backed by various
collateral types. The review yielded five upgrades, 13 downgrades,
17 affirmations, 11 withdrawals, and one discontinuance.
Analytical Considerations
S&P said, "We incorporate various considerations into our decisions
to raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by our projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations include:
-- Collateral performance/delinquency trends;
-- Historical interest shortfalls;
-- Priority of principal payments;
-- Tail risk; and
-- Available subordination and/or overcollateralization.
Rating Actions
The affirmations of ratings reflect S&P's opinion that its
projected credit support and collateral performance on these
classes has remained relatively consistent with its prior
projections.
A list of the Affected Ratings is available at:
http://bit.ly/2xgJb99
[*] US CMBS Conduit Loan Delinquencies Drop in July, Moody's Says
-----------------------------------------------------------------
Moody's Delinquency Tracker (DQT) decreased to 6.72% in July from
7.07% in June, due largely to the resolution of delinquent loans
from the 2006 vintage, Moody's Investors Service says in its
monthly report on US CMBS conduit loan delinquencies. The DQT
peaked at 10.06% in July 2012.
The DQT follows the delinquency rate of US CMBS conduit/fusion
loans across six commercial property types -- apartment, core
commercial, retail, industrial, office -- CBD and office - suburban
-- by amount outstanding, market and vintage.
"Among large metros, Washington, D.C. currently has the highest
delinquency rate, at 17.58%, more than double the national
average," says Vice President -- Senior Analyst, Kevin Fagan. "The
vast majority of these delinquencies are on large loans backed by
suburban office properties with concentrations of government
tenants, commensurate with the government reducing its footprint in
the area at the same time as suburban DC property fundamentals are
softening."
Among Northern Virginia office loans that contribute to the high
Washington, D.C. delinquency rate are the $678 million Skyline
Portfolio loan and the $259 million Fair Lakes Portfolio loan, the
largest and third-largest outstanding delinquent loans,
respectively, in the CMBS universe. Both loans became delinquent
after the departure of a substantial number of government tenants.
Other findings from this month's Moody's Delinquency Tracker
include:
- In July, the delinquency rates for the multifamily, hotel,
industrial and office sectors decreased, while the rate for
retail increased. Multifamily had the lowest rate, dropping to
2.84% in July from 4.10% the prior month, while the industrial
sector had the highest rate, dropping to 8.58% in July from
9.41%.
- The balance of delinquent CMBS conduit loans declined to $22.31
billion in July from $23.88 billion in June, and the $2.59
billion in resolutions outweighed the $1.02 billion in newly
delinquent loans. The total balance of CMBS conduit loans
outstanding fell to $332.19 billion in July from $337.83
billion in June, and there were $8.54 billion of payoffs and
dispositions and $2.90 billion of new issuance in July.
Moody's new report lists current delinquency rates by property
type, vintage, state and metropolitan statistical area, as well as
the largest loans entering and exiting delinquency or special
servicing.
*********
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