/raid1/www/Hosts/bankrupt/TCR_Public/171210.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, December 10, 2017, Vol. 21, No. 343
Headlines
7 WTC TRUST: Fitch Ups Series 2012-WTC Cl. B Certs Rating From BB+
AMERICAN CREDIT 2017-4: S&P Assigns Prelim. BB- Rating on E Notes
BARINGS MIDDLE 2017-I: Moody's Assigns Ba3 Rating to Class D Notes
BARINGS MIDDLE 2017-I: Moody's Assigns Ba3 Rating to Class D Notes
BBCMS 2017-GLKS: Fitch Assigns 'B-sf' Rating to Class F Certs
CAESARS PALACE 2017-VICI: S&P Assigns B on Class HRR Certs
CANTOR COMMERCIAL 2016-C7: Fitch Affirms 'B-' Rating on X-F Certs
CARLYLE US 2017-4: Moody's Assigns Ba3 Rating to Class D Notes
CARNOW AUTO 2017-1: S&P Gives Prelim BB(sf) Rating on Cl. C Notes
CCUBS TRUST 2017-C1: Fitch Assigns B- Rating to Cl. G-RR Certs
CD 2017-CD6: Fitch Assigns 'B-sf' Rating to Cl. G-RR Certs
CFIP CLO 2017-1: S&P Assigns BB- Ratings on Class E Notes
CITIGROUP COMMERCIAL 2014-GC19: Fitch Affirms B Rating on F Certs
COBALT CMBS 2007-C2: Moody's Lowers Ratings on 2 Tranches to B1
COMMERCIAL CAPITAL 3: Fitch Affirms 'BB' Rating on Class 3F Certs
CORE INDUSTRIAL 2015-CALW: S&P Affirms BB- Rating on Cl. F Notes
CORE INDUSTRIAL 2015-TEXW: S&P Affirms B(sf) Rating on Cl. F Notes
CORE INDUSTRIAL 2015-WEST: S&P Affirms B(sf) Rating on Cl. F Notes
CREDIT SUISSE 2005-C2: S&P Lowers Ratings on 2 Tranches to BB(sf)
CREDIT SUISSE 2016-NXSR: Fitch Affirms B-sf Ratings on 2 Tranches
CSAIL 2017-CX10: Fitch Assigns B-sf Rating to Class F Certs
CSFB COMMERCIAL 2005-C6: Moody's Affirms C Ratings on 2 Tranches
CSFB MORTGAGE 1998-C1: Moody's Affirms C Rating on Cl. A-X Notes
DLJ COMMERCIAL 1999-CG3: Fitch Affirms Dsf Rating on Cl. B-5 Certs
DORCHESTER PARK: Fitch Affirms 'Bsf' Rating on Class F Notes
GS MORTGAGE 2007-GG10: Fitch Hikes Cl. A-M Certs Rating to 'Bsf'
GS MORTGAGE 2017-GS8: Fitch Assigns B- Rating to Class G-RR Certs
JP MORGAN 2007-LDP12: Fitch Cuts Class B Certs Rating to 'CCsf'
JP MORGAN 2017-5: Fitch Assigns 'Bsf' Rating to Class B-5 Certs
KKR CLO 11: Moody's Assigns Ba3(sf) Rating to Class E-R Notes
KKR CLO 19: Moody's Assigns Ba3 Rating to Class D Notes
LB-UBS COMMERCIAL 2005-C7: Fitch Affirms Dsf Rating on Cl. G Certs
LOANDEPOT STATION 2017-1: Moody's Assigns Ba1 Rating to Cl. E Debt
MERRILL LYNCH 2004-MKB1: Fitch Affirms CCC Rating on Class N Certs
ML-CFC COMMERCIAL 2007-6: Moody's Affirms Ba1 Rating on Cl. AM Debt
MMCF CLO 2017-1: S&P Assigns Prelim BB Rating on Class D Notes
MORGAN STANLEY 2007-HQ11: Moody's Cuts Cl. A-J Debt Rating to B1
MORTGAGE CAPITAL 1998-MC2: Moody's Affirms C Rating on Cl. X Certs
OAKTREE CLO 2015-1: S&P Gives Prelim BB(sf) Rating on D-R Notes
OCTAGON INVESTMENT 33: S&P Assigns BB- Rating on Class D Notes
OHA CREDIT XIV: S&P Assigns BB-(sf) Rating on Class E Notes
ONEMAIN DIRECT 2017-2: Moody's Assigns (P)Ba2 Rating to Cl. E Debt
SEQUOIA MORTGAGE 2017-CH2: Moody's Rates Cl. B-5 Debt 'Ba3'
SLM STUDENT 2003-12: Fitch Affirms 'BBsf' Rating on Cl. B Notes
STACR 2017-HRP1: Fitch to Rate 14 Note Classes 'Bsf'
TOWD POINT 2017-6: Moody's Assigns B3 Rating to Class B2 Notes
VOYA CLO 2017-4: S&P Assigns BB-(sf) Rating on Class E Notes
WACHOVIA BANK 2006-C28: Moody's Affirms Ba3 Rating on Cl. A-J Debt
WELLS FARGO 2017-C41: Fitch Gives 'Bsf' Rating to Class G-RR Certs
[*] Fitch Reviews 1,272 Legacy Alt-A & Subprime U.S. RMBS Deals
[*] Moody's Hikes $345MM of Subprime RMBS Issued 2002-2005
[*] Moody's Takes Action on $398MM of RMBS Issued 2005-2008
[*] Moody's Takes Action on 390 U.S. RMBS IO Bonds From 274 Deals
[*] Moody's Takes Action on 41 US RMBS IO Bonds From 27 Deals
[*] S&P Takes Various Actions on 106 Classes From 14 US RMBS Deals
[*] S&P Takes Various Actions on 89 Classes From 21 US RMBS Deals
*********
7 WTC TRUST: Fitch Ups Series 2012-WTC Cl. B Certs Rating From BB+
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Fitch Ratings has upgraded two and affirmed nine classes of New
York Liberty Development Corporation's Liberty Revenue Refunding
Bonds, Series 2012 and 7 WTC Depositor, LLC Trust 2012-WTC,
commercial mortgage pass-through certificates (collectively, 7
World Trade Center).
The transaction represents a securitization of the beneficial
leasehold mortgage interest in the 7 World Trade Center office
property located on the north end of the World Trade Center site in
Downtown Manhattan. The liberty bonds and the commercial
mortgage-backed security (CMBS) certificates, which follow a
sequential pay structure and are administered pursuant to a
traditional CMBS servicing agreement, are scheduled to amortize
fully by their respective maturity dates following an initial
interest-only (IO) period.
KEY RATING DRIVERS
CMBS Certificates: The upgrades reflect the significant paydown of
the CMBS certificates since issuance. As of the November 2017
distribution date, the CMBS certificates (collectively, classes A
and B) have amortized by 78% to $27.8 million from $125 million at
issuance. The CMBS certificates had an initial one-year IO period,
which ended April 5, 2013, followed by six-year full amortization.
The CMBS certificates are expected to fully amortize by March
2019.
Liberty Bonds: The affirmation of the liberty bonds are based on
the stable performance of the underlying collateral. The liberty
bonds have an initial 16-year IO period (until 2028), followed by
full amortization by 2044.
Stable Performance: Property performance has remained stable, with
stable tenancy and limited upcoming rollover. Occupancy as of June
2017 was 94.8%, compared to 97.7% at year-end (YE) 2016, 98.8% at
YE 2015, 98.4% at YE 2014 and 95% at issuance. Occupancy dipped
slightly between 2016 and 2017 due to five small tenants vacating
at their scheduled lease expiration. The servicer-reported YE 2016
net cash flow debt service coverage ratio was 1.24x, compared to
1.36x at YE 2015 and 1.39x at YE 2014.
Stable Tenancy: The four largest tenants occupy approximately 74%
of the property, all with leases expiring in 2022 and beyond, as
well as additional lease renewal options. The largest tenants
include Moody's Corporation (46% of total property square footage;
lease expiry November 2027), Wilmer Hale LLP (12.2%; August 2032),
Royal Bank of Scotland (8%; November 2022) and MSCI, Inc. (7.3%;
January 2033). There is limited near-term rollover risk with 5.5%
of the net rentable area rolling in 2018 and less than 1% in 2019,
according to the June 2017 rent roll.
High Quality Manhattan Asset: The 52-story, class A office building
totaling approximately 1.7 million square feet is located in the
Downtown Manhattan submarket and is in close proximity to various
modes of major transportation. The building, which was completed in
2006, is Gold LEED certified and includes many innovative and
environmentally friendly features and safety enhancements.
Amortization: No balloon risk exists as both the liberty bonds and
CMBS certificates fully amortize by their respective maturity dates
following initial IO periods.
Experienced Sponsorship and Property Management: Loan proceeds were
used to refinance prior liberty bonds, pay closing costs, and
return preferred equity investment to the sponsor, Larry A.
Silverstein, the president and co-CEO of Silverstein Properties,
Inc. (SPI). SPI has developed, owned, and managed more than 35
million sf of commercial, residential, and retail space and is
involved with the extensive rebuilding and redevelopment of many
buildings within the World Trade Center site.
Leasehold Interest: The property is subject to a ground lease that
expires in December 2026, with three additional 20-year renewal
options.
Single Asset: The transaction is secured by a single asset and is
more susceptible to single event risk related to the market,
sponsor, or the largest tenants occupying the property.
RATING SENSITIVITIES
The Rating Outlook for all classes remains Stable. Future upgrades
are possible with additional paydowns and sustained improved
performance. Although not expected, if the loan's performance
metrics decline significantly, downgrades may be possible.
Fitch has upgraded the following classes:
-- $17.3 million class A to 'BBBsf' from 'BBB-sf'; Outlook
Stable;
-- $10.5 million class B to 'BBB-sf' from 'BB+sf'; Outlook
Stable.
In addition, Fitch has affirmed the following classes:
-- $18.5 million class 1 maturing on Sept. 15, 2028 at 'AAAsf';
Outlook Stable;
-- $19.4 million class 1 maturing on Sept. 15, 2029 at 'AAAsf';
Outlook Stable;
-- $20.4 million class 1 maturing on Sept. 15, 2030 at 'AAAsf';
Outlook Stable;
-- $21.4 million class 1 maturing on Sept. 15, 2031 at 'AAAsf';
Outlook Stable;
-- $22.5 million class 1 maturing on Sept. 15, 2032 at 'AAAsf';
Outlook Stable;
-- $73.7 million class 1 maturing on Sept. 15, 2035 at 'AAAsf';
Outlook Stable;
-- $137.2 million class 1 maturing on Sept. 15, 2040 at 'AAAsf';
Outlook Stable;
-- $108 million class 2 at 'Asf'; Outlook Stable;
-- $29.2 million class 3 at 'BBBsf'; Outlook Stable.
AMERICAN CREDIT 2017-4: S&P Assigns Prelim. BB- Rating on E Notes
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S&P Global Ratings assigned its preliminary ratings to American
Credit Acceptance Receivables Trust 2017-4's $200 million
asset-backed notes series 2017-4 .
The note issuance is an asset-backed securities (ABS) transaction
backed by subprime auto loan receivables.
The preliminary ratings are based on information as of Nov. 29,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The availability of approximately 66.3%, 59.4%, 49.6%, 40.5%,
and 36.4% credit support for the class A, B, C, D, and E notes,
respectively, based on break-even stressed cash flow scenarios
(including excess spread). These credit support levels provides
coverage of approximately 2.30x, 2.05x, 1.67x, 1.35x, and 1.20x our
28.25%-29.25% expected net loss range for the class A, B, C, D, and
E notes, respectively.
-- The timely interest and principal payments made to the
preliminary rated notes by the assumed legal final maturity dates
under our stressed cash flow modeling scenarios that we believe are
appropriate for the assigned preliminary ratings.
-- The expectation that under a moderate ('BBB') stress scenario,
all else being equal, the ratings on the class A, B, and C notes
would remain within the same rating category as our preliminary
'AAA (sf)', 'AA (sf)', and 'A (sf)' ratings; the ratings on the
class D notes would remain within two rating categories of our
preliminary 'BBB (sf)' rating; and the rating on the class E notes
would remain within two rating categories of our preliminary 'BB-
(sf)' rating in the first year, but that class is expected to
default by its legal final maturity date with approximately 41%-86%
repayment. These potential rating movements are consistent with our
credit stability criteria, which outline the outer boundaries of
credit deterioration equal to a one-rating category downgrade
within the first year for 'AAA' and 'AA' rated securities and a
two-rating category downgrade within the first year for 'A' through
'BB' rated securities under moderate stress conditions. Eventual
default for a 'BB' rated class under a moderate ('BBB') stress
scenario is also consistent with our credit stability criteria.
-- The collateral characteristics of the subprime automobile loans
securitized in this transaction.
-- The backup servicing arrangement with Wells Fargo Bank N.A.
(Wells Fargo).
-- The transaction's payment and credit enhancement structures.
-- The transaction's legal structure.
PRELIMINARY RATINGS ASSIGNED
American Credit Acceptance Receivables Trust 2017-4
Class Rating Type Interest
Amount
rate (mil. $)(i)
A AAA (sf) Senior Fixed 82.95
B AA (sf) Subordinate Fixed 23.00
C A (sf) Subordinate Fixed 40.00
D BBB (sf) Subordinate Fixed 35.75
E BB- (sf) Subordinate Fixed 18.30
(i)The actual size of these tranches will be determined on the
pricing date
BARINGS MIDDLE 2017-I: Moody's Assigns Ba3 Rating to Class D Notes
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Moody's Investors Service has assigned ratings to five classes of
notes issued by Barings Middle Market CLO Ltd. 2017-I.
Moody's rating action is:
US$280,900,000 Class A-1 Senior Secured Floating Rate Notes due
2030 (the "Class A-1 Notes"), Assigned Aaa (sf)
US$55,300,000 Class A-2 Senior Secured Floating Rate Notes due 2030
(the "Class A-2 Notes"), Assigned Aa2 (sf)
US$37,200,000 Class B Secured Deferrable Floating Rate Notes due
2030 (the "Class B Notes"), Assigned A3 (sf)
US$35,100,000 Class C Secured Deferrable Floating Rate Notes due
2030 (the "Class C Notes"), Assigned Baa3 (sf)
US$30,100,000 Class D Secured Deferrable Floating Rate Notes due
2030 (the "Class D Notes"), Assigned Ba3 (sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the
Class C Notes and the Class D Notes are referred to herein,
collectively, as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
Barings Middle Market 2017-1 is a managed cash flow CLO. The issued
notes will be collateralized primarily by small and medium
enterprise loans. At least 95% of the portfolio must consist of
senior secured loans and eligible investments, and up to 5% of the
portfolio may consist of second lien loans. The portfolio is
approximately 51% ramped as of the closing date.
Barings LLC (the "Manager") will direct the selection, acquisition
and disposition of the assets on behalf of the Issuer and may
engage in trading activity, including discretionary trading, during
the transaction's four year reinvestment period. After the
reinvestment period, the Manager may not reinvest in new assets and
all principal proceeds, including sale proceeds, will be used to
amortize the notes in accordance with the priority of payments.
In addition to the Rated Notes, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 30
Weighted Average Rating Factor (WARF): 3755
Weighted Average Spread (WAS): 4.90%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 8 years.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 3755 to 4319)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2 Notes: -2
Class B Notes: -1
Class C Notes: -1
Class D Notes: 0
Percentage Change in WARF -- increase of 30% (from 3755 to 4882)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -3
Class B Notes: -3
Class C Notes: -2
Class D Notes: -1
BARINGS MIDDLE 2017-I: Moody's Assigns Ba3 Rating to Class D Notes
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Moody's Investors Service has assigned a rating to one class of
notes issued by Barings Middle Market CLO (Composite Security)
2017-I, LLC.
US$222,300,000 Rated Structured Securities due 2030 (the "Rated
Structured Securities "), Assigned Baa3 (sf) with respect to the
ultimate cash receipt of the Aggregate Security Balance (as defined
in the transaction's indenture).
The Rated Structured Securities are composed of the following
components that were issued by Barings Middle Market CLO Ltd.
2017-I (the "CLO Issuer") on November 30, 2017:
US$55,300,000 Class A-2 Senior Secured Floating Rate Notes due 2030
(the "Class A-2 Notes"), Assigned Aa2 (sf)
US$37,200,000 Class B Secured Deferrable Floating Rate Notes due
2030 (the "Class B Notes"), Assigned A3 (sf)
US$35,100,000 Class C Secured Deferrable Floating Rate Notes due
2030 (the "Class C Notes"), Assigned Baa3 (sf)
US$30,100,000 Class D Secured Deferrable Floating Rate Notes due
2030 (the "Class D Notes"), Assigned Ba3 (sf)
US$64,600,000 Subordinated Notes (the "Subordinated Notes")
The Class A-2 Notes, the Class B Notes, Class C Notes, the Class D
Notes and the Subordinated Notes are referred to herein,
collectively as the "CLO Notes." The Secured Note Issuer was
created solely to issue secured notes.
The secured notes' structure includes several notable features. The
Rated Structured Securities promise the repayment of the Aggregate
Security Balance and do not bear a stated rate of interest. In
addition to the Rated Structured Securities, the Secured Notes
Issuer issued Residual Structured Securities. Any proceeds from the
CLO Notes will be first applied to the payment of principal of the
Rated Structured Securities until its principal is reduced to zero
and the Rated Structured Securities are retired completely, and
second, distributed to the Residual Structured Securities. While
the Rated Structured Securities are outstanding, the CLO Notes will
not be refinanced.
Moody's rating of the Rated Structured Securities addresses the
expected loss posed to noteholders. The rating reflects the risks
due to defaults on the CLO Issuer's underlying portfolio of assets,
the transaction's legal structure, and the characteristics of the
CLO Issuer's underlying assets.
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 Instruments that
Are Backed by CLO Secured Debt Tranches and Equity, and CLO
Instruments with non-Standard Promises") of the "Moody's Global
Approach to Rating Collateralized Loan Obligations" rating
methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions for the CLO Issuer's portfolio:
Par amount: $500,000,000
Diversity Score: 30
Weighted Average Rating Factor (WARF): 3755
Weighted Average Spread (WAS): 4.90%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 8 years
The CLO Issuer is a managed cash flow CLO. The issued notes of the
CLO Issuer are collateralized primarily by small and medium
enterprise loans. At least 95% of the portfolio must consist of
first lien senior secured loans and eligible investments, and up to
5% of the portfolio may consist of second lien loans.
Barings LLC (the "CLO Manager") directs the selection, acquisition
and disposition of the assets on behalf of the CLO Issuer and may
engage in trading activity, including discretionary trading, during
the CLO Issuer's four year reinvestment period.
Methodology Underlying the Rating Action:
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Rating:
The performance of the Rated Structured Securities is subject to
uncertainty. The performance of the Rated Structured Securities is
sensitive to the performance of the CLO Notes and the CLO Issuer's
portfolio, which in turn depend on economic and credit conditions
that may change. The CLO Manager's investment decisions and
management of the CLO Issuer will also affect the performance of
the Rated Structured Securities.
The rating on the Rated Structured Securities, which combines cash
flows from the CLO Notes, is subject to a higher degree of
volatility than the rated notes of the CLO 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 Rated Structured Securities.
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 Aggregate Security 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 rating assigned to the Rated Structured
Securities. This sensitivity analysis includes increased default
probability relative to the base case default probability
assumption for the CLO Issuer's portfolio.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated
Structured Securities (shown in terms of the number of notch
difference versus the current model output, whereby a negative
difference corresponds to higher expected losses), holding all
other factors equal:
Percentage Change in WARF -- increase of 15% (from 3755to 4319)
Rating Impact in Rating Notches
Rated Structured Securities: -2
Percentage Change in WARF -- increase of 30% (from 3755 to 4882)
Rating Impact in Rating Notches
Rated Structured Securities: -5
BBCMS 2017-GLKS: Fitch Assigns 'B-sf' Rating to Class F Certs
-------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to BBCMS 2017-GLKS Mortgage Trust Commercial Mortgage
Pass-Through Certificates:
-- $171,950,000 class A 'AAAsf'; Outlook Stable;
-- $171,950,000a class X-CP 'AAAsf'; Outlook Stable;
-- $171,950,000a class X-NCP 'AAAsf'; Outlook Stable;
-- $75,050,000 class B 'AAsf'; Outlook Stable;
-- $58,900,000 class C 'A-sf'; Outlook Stable;
-- $52,250,000 class D 'BBB-sf'; Outlook Stable;
-- $75,050,000 class E 'BB-sf'; Outlook Stable;
-- $79,800,000 class F 'B-sf'; Outlook Stable;
-- Class R 'NR';
-- $27,000,000b class VRR 'NR'.
(a) Notional amount and interest-only.
(b) Vertical credit risk retention interest representing 5.0% of
the pool balance (as of the closing date).
The final deal structure reflected above was submitted after Fitch
published its expected ratings on Nov. 14, 2017.
The certificates represent the beneficial interests in the $540
million, two-year, floating-rate, interest-only mortgage loan
securing the fee interest in The JW Marriott Grande Lakes (JW) and
The Ritz-Carlton Grande Lakes (RC) in Orlando, FL. Proceeds of the
loan, along with $90 million of mezzanine financing, were used to
refinance the existing debt encumbering the properties. The
certificates will follow a sequential-pay structure.
KEY RATING DRIVERS
Asset Quality: Fitch assigned JW and RC a property quality grade of
'A-'. The collateral is situated on 500 acres at the headwaters of
the Everglades. Property amenities include 263,210 sf of indoor and
outdoor meeting and event facilities, an 18-hole golf course
designed by Greg Norman, 40,000-sf, full-service spa,
state-of-the-art fitness center, 13 food and beverage (F&B) venues,
three pools, including the Lazy River, as well as a biking trail,
tennis courts, bocce ball courts and a sand volleyball court.
Good Location Near Demand Generators: JW and RC are located within
Orlando's major entertainment district, within five to 15 minutes
of SeaWorld Orlando, Universal Orlando Resort and Walt Disney World
Resort. In addition, the property is 10 miles from the Orlando
International Airport and three miles from the Orange County
Convention Center (OCCC), the second largest convention center in
the U.S., with 2.1 million sf of exhibition space.
Stable Historical Performance and Improvement: Property occupancy,
revenues and expenses have shown a high degree of consistency since
at least 2013. Since Blackstone's 2015 acquisition, operating
performance has improved on both the revenue and expense side.
Total revenue grew 6.6% from 2014 to August 2017, and the
property's operating expense ratio decline from 48.0% in March 2015
to 42.9% in August 2017.
Capital Improvements: The property has benefited from $67.2 million
($42,533 per key) in capital improvements since 2011. Of that, the
sponsor has invested $37 million ($23,418 per key) since 2015.
Recent upgrades include renovation of JW's lobby/bar, repositioning
of several F&B outlets, improvements to the fitness center,
fairways, landscaping and other public spaces, conversion of
17,000sf of back-office space to revenue-generating meeting space
and an ongoing renovation of RC's lobby. Over the next three years,
the sponsor plans to invest $81.7 million in the property.
Guestroom upgrades are planned in 2018 for RC ($45,722 per key) and
in 2019 for JW ($33,697 per key).
RATING SENSITIVITIES
Fitch performed a break-even analysis to determine the amount of
value deterioration the pool could withstand prior to $1 of loss on
the total debt and 'AAAsf' rated class. The break-even value
declines were performed using both the appraisal values at issuance
and the Fitch-stressed value.
Based on the as-is appraisal value of $860 million, break-even
values represent declines of 37.2% and 80.0% for the total debt and
'AAAsf' class, respectively.
Similarly, Fitch estimated total debt and 'AAAsf' break-even value
declines using the Fitch-adjusted property value of $538.2 million,
which is a function of the Fitch net cash flow (NCF) and a stressed
capitalization rate, in relation to the appropriate class balances.
The break-even value declines relative to the total debt and
'AAAsf' balances are -0.3% and 66.4%, respectively, which
correspond to equivalent declines to Fitch NCF, as the Fitch
capitalization rate is held constant.
Fitch evaluated the sensitivity of the ratings for class A and
found that a 10% decline in Fitch's implied NCF would result in a
one-category downgrade, while a 31% decline would result in a
downgrade to below investment grade.
CAESARS PALACE 2017-VICI: S&P Assigns B on Class HRR Certs
----------------------------------------------------------
S&P Global Ratings assigned its ratings to Caesars Palace Las Vegas
Trust 2017-VICI's $1.55 billion commercial mortgage pass-through
certificates.
The issuance is a commercial mortgage-backed securities transaction
backed by one five-year, fixed-rate interest-only commercial
mortgage loan totaling $1.55 billion, secured by the fee simple and
leasehold interest in Caesars Palace Las Vegas, a full-service
hotel, casino, and entertainment resort located in Las Vegas, Nev.
S&P said, "The ratings reflect our view of the collateral's
historical and projected performance, the sponsors' and managers'
experience, the trustee-provided liquidity, the loan's terms, and
the transaction's structure."
RATINGS ASSIGNED
Caesars Palace Las Vegas Trust 2017-VICI
Class Rating(i) Amount ($)
A AAA (sf) 535,500,000
X-A AAA (sf) 535,500,000(ii)
X-B A- (sf) 343,100,000(ii)
B AA- (sf) 200,500,000
C A- (sf) 142,600,000
D BBB- (sf) 206,700,000
E BB- (sf) 312,300,000
F B+ (sf) 61,000,000
HRR(iii) B (sf) 91,400,000
(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 aggregate of the portion balances of
the class A certificates. The notional amount of the class X-B
certificates will equal the aggregate certificate balance of the
class B and C certificates.
(iii) Horizontal risk retention class.
CANTOR COMMERCIAL 2016-C7: Fitch Affirms 'B-' Rating on X-F Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Cantor Commercial Real
Estate (CFCRE) Commercial Mortgage Trust 2016-C7 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 November 2017 distribution date, the pool's aggregate
balance has been reduced by 0.45% to $650 million, from $652.9
million at issuance. One loan (1.16%) transferred to special
servicing and two loans (0.90%) are on the servicer's watchlist,
both are considered Fitch loans of concern due to performance
related issues such as decreasing occupancy and a low debt service
coverage ratio (DSCR).
Specially Serviced Loan: A single tenant retail property (1.16% of
the pool balance), located in Waco, TX, transferred to special
servicing in July 2017 as a result of Gander Mountain filing for
bankruptcy. The property has been dark since the tenant vacated the
premises in July 2017. Per servicer reporting, a deed in lieu of
foreclosure was negotiated and the property is scheduled to become
real estate owned (REO) within the next 90 days. The special
servicer plans to stabilize the property prior to marketing for
sale. Fitch will continue to monitor the loan and provide further
specifications as received.
Retail Concentration: The pool's largest property type is retail at
44% of the pool balance that includes two regional malls (12.5%),
one of which is sponsored by Simon Property Group, L.P. (rated
A/Stable). The Fresno Fashion Fair (6.3%; Fresno, CA) has exposure
to (non-collateral) anchors Macy's Women & Home, JC Penny, Forever
21 and (collateral) anchor Macy's Men's and Children's; Potomac
Mills (6.2%; Woodbridge, VA) anchors include Costco, JC Penny, AMC
Theatres, BuyBuy Baby and Marshalls, all collateral tenants. Fitch
continues to monitor this asset type in light of changing consumer
trends and continued store closures.
Hurricane Exposure: Six loans (8.78%) are secured by properties
located in regions potentially impacted by Hurricane Harvey (five
loans, 8.21%) in the greater Houston area and Hurricane Irma in
Florida (one loan, 0.57%). Fitch contacted the properties and a
property management representative indicated no damage was incurred
at any of the properties.
Limited Amortization: Based on the loans scheduled maturity
balance, the pool is expected to amortize by 7.8% over the life of
the transaction, which is less than the year-end (YE) 2016 average
of 10.4%. Twelve loans, representing 50.7% of the pool, are
full-term interest only, and nine loans representing 15.7% of the
pool are partial interest only. The remainder of the pool is made
up of 16 balloon loans, representing 33.6% of the pool, with loan
terms of five to 10 years.
Pari Passu Loans: Six loans comprising 36.2% of the pool, including
five of the top 10, are pari passu loans.
RATING SENSITIVITIES
The Rating Outlooks 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:
-- $17.4 million class A-1 at 'AAAsf'; Outlook Stable;
-- $28.3 million class A-SB at 'AAAsf'; Outlook Stable;
-- $184 million class A-2 at 'AAAsf'; Outlook Stable;
-- $224.4 million class A-3 at 'AAAsf'; Outlook Stable;
-- $42.4 million class A-M at 'AAAsf'; Outlook Stable;
-- $35.1 million class B at 'AA-sf'; Outlook Stable;
-- $32.6 million class C at 'A-sf'; Outlook Stable;
-- $35.1 million class D at 'BBB-sf'; Outlook Stable;
-- $16.3 million class E at 'BB-sf'; Outlook Stable;
-- $7.3 million class F at 'B-sf'; Outlook Stable;
-- $454.1 million* X-A at 'AAAsf'; Outlook Stable;
-- $77.5 million* class X-B at 'AA-sf'; Outlook Stable;
-- $16.3 million* class X-E at 'BB-sf'; Outlook Stable;
-- $7.3 million* class X-F at 'B-sf'; Outlook Stable.
*Notional amount and interest-only
Fitch does not rate class G or X-G certificates.
CARLYLE US 2017-4: Moody's Assigns Ba3 Rating to Class D Notes
--------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Carlyle US CLO 2017-4, Ltd.
Moody's rating action is:
US$390,000,000 Class A-1 Senior Secured Floating Rate Notes due
2030 (the "Class A-1 Notes"), Assigned Aaa (sf)
US$63,000,000 Class A-2 Senior Secured Floating Rate Notes due 2030
(the "Class A-2 Notes"), Assigned Aa2 (sf)
US$33,900,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class B Notes"), Assigned A2 (sf)
US$38,100,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2030 (the "Class C Notes"), Assigned Baa3 (sf)
US$27,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2030 (the "Class D Notes"), Assigned Ba3 (sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the
Class C Notes, and the Class D Notes are referred to herein,
collectively, as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
Carlyle US CLO 2017-4 is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated first lien
senior secured corporate loans. At least 90% of the portfolio must
consist of senior secured loans and eligible investments, and up to
10% of the portfolio may consist of second lien loans and unsecured
loans. The portfolio is approximately 90% ramped as of the closing
date.
Carlyle CLO Management L.L.C. (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 issued one class of
subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $600,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2939
Weighted Average Spread (WAS): 3.50%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 9.1 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
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2939 to 3380)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -2
Class B Notes: -2
Class C Notes: -1
Class D Notes: 0
Percentage Change in WARF -- increase of 30% (from 2939 to 3821)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -4
Class B Notes: -4
Class C Notes: -2
Class D Notes: -1
CARNOW AUTO 2017-1: S&P Gives Prelim BB(sf) Rating on Cl. C Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to CarNow Auto
Receivables Trust 2017-1's $126.32 million automobile
receivables-backed notes series 2017-1.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The preliminary ratings are based on information as of Nov. 30,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The availability of approximately 56.0%, 46.0%, and 41.5%
credit support for the class A, B, and C notes, respectively, based
on stressed break-even cash flow scenarios (including excess
spread).
-- These credit support levels provide coverage of approximately
1.65x, 1.35x, and 1.20x our expected net loss range of
33.00%-34.00% for the class A, B, and C notes, respectively.
-- The timely interest and principal payments by S&P's assumed
legal final maturity dates made under stressed cash flow modeling
scenarios that are appropriate to the assigned preliminary
ratings.
-- S&P's expectation that under a moderate, or 'BBB', stress
scenario, the class A notes would not be downgraded over the
transaction's lifetime, the rating on the class B notes would
remain within two categories of its preliminary rating over its
lifetime, and the rating on the class C notes would remain within
two categories of its preliminary rating over the first year.
However, S&P would expect the class C notes to eventually default
under a moderate loss scenario (all else being equal). These
potential rating movements are consistent with our credit stability
criteria, which outline the outer bound of credit deterioration
within one year equal to a two-category downgrade for 'A', 'BBB',
and 'BB' rated securities under moderate stress.
-- The credit enhancement in the form of subordination,
overcollateralization, a reserve account, and excess spread.
-- The collateral characteristics of the subprime pool being
securitized. The pool is approximately seven months seasoned, and
all of the loans have an original term of 60 months or less, which
S&P expects will result in the pool being paid down faster relative
to many other subprime pools with longer loan terms and less
seasoning.
-- The transaction's payment and legal structures.
PRELIMINARY RATINGS ASSIGNED
CarNow Auto Receivables Trust 2017-1
Class Rating Type Interest Amount
rate (mil. $)
A A (sf) Senior Fixed 91.47
B BBB (sf) Subordinate Fixed 23.09
C BB (sf) Subordinate Fixed 11.76
CCUBS TRUST 2017-C1: Fitch Assigns B- Rating to Cl. G-RR Certs
--------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to UBS Commercial Mortgage Securitization Corp.'s CCUBS
Commercial Mortgage Trust 2017-C1 commercial mortgage pass-through
certificates:
-- $10,150,000 class A-1 'AAAsf'; Outlook Stable;
-- $118,871,000 class A-2 'AAAsf'; Outlook Stable;
-- $15,396,000 class A-SB 'AAAsf'; Outlook Stable;
-- $161,354,000 class A-3 'AAAsf'; Outlook Stable;
-- $181,951,000 class A-4 'AAAsf'; Outlook Stable;
-- $487,722,000b class X-A 'AAAsf'; Outlook Stable;
-- $120,188,000b class X-B 'AA-sf'; Outlook Stable;
-- $57,481,000 class A-S 'AAAsf'; Outlook Stable;
-- $29,612,000 class B 'AA-sf'; Outlook Stable;
-- $33,095,000 class C 'A-sf'; Outlook Stable;
-- $16,444,000a class D 'BBBsf'; Outlook Stable;
-- $21,007,000ac class D-RR 'BBB-sf'; Outlook Stable;
-- $8,709,000ac class E-RR 'BB+sf'; Outlook Stable;
-- $7,838,000ac class F-RR 'BB-sf'; Outlook Stable;
-- $8,710,000ac class G-RR 'B-sf'; Outlook Stable.
The following class is not rated by Fitch:
-- $26,128,121ac class NR-RR.
Since Fitch published its expected ratings on Nov. 14, 2017, the
following changes have occurred: the issuer increased the class D
balance to $16,444,000, the issuer decreased the class D-RR balance
to $21,007,000 and the rating for class X-B changed from 'A-sf' to
'AA-sf' based on the final deal structure. The classes above
reflect the final ratings and deal structure.
(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
Nov. 28, 2017.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 37 loans secured by 98
commercial properties having an aggregate principal balance of
$696,746,122 as of the cut-off date. The loans were contributed to
the trust by Cantor Commercial Real Estate Lending, L.P., Citi Real
Estate Funding Inc., and UBS AG.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 77.2% of the properties
by balance, cash flow analysis of 89.8%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Higher Fitch Leverage than Recent Transactions: The pool's leverage
is higher than that of recent, comparable Fitch-rated multiborrower
transactions. The pool's Fitch DSCR and LTV are 1.19x and 105.6%,
respectively, which reflect worse leverage statistics compared to
the YTD 2017 averages of 1.26x and 101.2%. Excluding credit opinion
loans, the pool has a Fitch DSCR and LTV of 1.15x and 110.9%,
respectively, compared with the YTD 2017 normalized averages of
1.21x and 106.7%.
Investment-Grade Credit Opinion Loans: Two loans, General Motors
Building (6.8% of pool) and Yorkshire & Lexington Towers (3.6% of
pool), received an investment-grade credit. The pool's credit
opinion loan concentration of 10.4% is in between the 2016 and YTD
2017 averages of 8.4% and 11.7% for other recent Fitch-rated deals,
respectively. Net of the credit opinion loans, Fitch's DSCR and LTV
are 1.15x and 110.9%, respectively.
Very Low Amortization: Twenty-one loans (71.5%) are full-term
interest-only, which is significantly higher than the 2016 and YTD
2017 averages of 33.3% and 44.5%, respectively. Six additional
loans (12.6%) are partial interest-only. Based on the scheduled
balance at maturity, the pool will pay down by only 4.1%, which is
significantly lower than the 2016 and YTD 2017 averages of 10.4%
and 8.2%.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 6.8% below
the most recent year's net operating income (NOI) for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period. Unanticipated further declines
in property-level NCF could result in higher defaults and loss
severities on defaulted loans and in potential rating actions on
the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the
CCUBS 2017-C1 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to '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.
CD 2017-CD6: Fitch Assigns 'B-sf' Rating to Cl. G-RR Certs
----------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to CD 2017-CD6 Mortgage Trust Commercial Mortgage
Pass-Through Certificates, Series 2017-CD6:
-- $44,159,000 class A-1 'AAAsf'; Outlook Stable;
-- $103,497,000 class A-2 'AAAsf'; Outlook Stable;
-- $67,649,000 class A-3 'AAAsf'; Outlook Stable;
-- $61,062,000 class A-SB 'AAAsf'; Outlook Stable;
-- $209,460,000 class A-4 'AAAsf'; Outlook Stable;
-- $257,521,000 class A-5 'AAAsf'; Outlook Stable;
-- $848,213,000b class X-A 'AAAsf'; Outlook Stable;
-- $104,865,000 class A-M 'AAAsf'; Outlook Stable;
-- $42,477,000 class B 'AA-sf'; Outlook Stable;
-- $42,477,000ab class X-B 'AA-sf'; Outlook Stable;
-- $45,132,000 class C 'A-sf'; Outlook Stable;
-- $18,060,000a class D 'BBBsf'; Outlook Stable;
-- $63,192,000ab class X-D 'BBBsf'; Outlook Stable;
-- $33,708,000ac class E-RR 'BBB-sf'; Outlook Stable;
-- $23,894,000ac class F-RR 'BB-sf'; Outlook Stable;
-- $10,619,000ac class G-RR 'B-sf'; Outlook Stable.
Fitch does not rate the following class:
-- $39,822,721ac class H-RR.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest only.
(c) Classes E-RR, F-RR, G-RR and H-RR certificates, in the
aggregate initial certificate balance of approximately $108,043,721
constitute the eligible horizontal residual interest to satisfy a
portion of the sponsor's risk retention obligation. The combined
interest retained by the horizontal residual interest is no less
than 5.0%.
The ratings are based on information provided by the issuer as of
Nov. 30, 2017.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 58 loans secured by 125
commercial properties having an aggregate principal balance of
$1,061,925,721 as of the cut-off date. The loans were contributed
to the trust by German American Capital Corporation, Citi Real
Estate Funding Inc., and Argentic Real Estate Finance LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 64.9% of the properties
by balance, cash flow analysis of 80.6%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Higher Fitch Leverage: The pool's leverage is higher than recent
Fitch-rated multiborrower transactions. The Fitch LTV for the pool
is 104.4%, which is worse than the YTD 2017 average of 101.2%. The
Fitch DSCR is 1.26x which is equal to the YTD 2017 average.
Excluding investment-grade credit opinion loans, the pool has a
Fitch DSCR and LTV of 1.24x and 108.6%, respectively.
Diversified Pool: The pool has concentration metrics better than
recent transactions. The pool's loan concentration index (LCI) of
283 is better than the YTD 2017 average of 393. The pool's top 10
loan concentration of 41.3% is also better than the YTD 2017
average of 52.7%.
Investment-Grade Credit Opinion Loans: Three loans, representing
8.97% of the pool, have investment-grade credit opinions; this is
less than the YTD 2017 average credit opinion concentration of
11.65% in recent transactions. Burbank Office Portfolio (4.71% of
the pool) has an investment-grade credit opinion of 'BBB+sf*' on a
stand-alone basis, while Moffett Place Building 4 (2.38% of the
pool) and Colorado Center (1.88% of the pool) have investment-grade
credit opinions of
'BBB-sf*' and 'A+sf*', respectively, on a stand-alone basis.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 6.9% below
the most recent year's net operating income (NOI) for properties
for which a full-year NOI was provided, excluding properties that
were stabilized 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 CD
2017-CD6 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.
CFIP CLO 2017-1: S&P Assigns BB- Ratings on Class E Notes
---------------------------------------------------------
S&P Global Ratings assigned its ratings to CFIP CLO 2017-1 Ltd.'s
$439.850 million floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed primarily by broadly syndicated speculative-grade
senior-secured term loans that are governed by collateral quality
tests.
The ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior-secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
CFIP CLO 2017-1 Ltd./CFIP CLO 2017-1 LLC
Class Rating Amount
(mil. $)
X AAA (sf) 1.000
A AAA (sf) 310.000
B AA (sf) 47.750
C (deferrable) A (sf) 36.975
D (deferrable) BBB- (sf) 25.045
E (deferrable) BB- (sf) 19.080
Income notes NR 44.073
NR--Not rated.
CITIGROUP COMMERCIAL 2014-GC19: Fitch Affirms B Rating on F Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed Citigroup Commercial Mortgage Trust
2014-GC19 pass-through certificates.
KEY RATING DRIVERS
Stable Performance: There have been no material changes to the
pool's overall performance since issuance.
High Fitch Leverage: At issuance, the pool's Fitch DSCR and LTV
were 1.13x and 106.4%, respectively, worse than the 2013 and 2012
averages of 1.29x and 101.6%, and 1.24x and 97.2%, respectively.
Property Type Diversity: The pool is diverse by property type, with
the largest property type in the pool being multifamily at 30.4%,
followed by retail at 27.1% and office at 18.6%.
Limited Amortization: The pool is scheduled to amortize by 13.1% of
the initial pool balance prior to maturity. There are five loans
(12.8% of the pool) that are interest only for the full term. Out
of the 23 loans structured with partial interest only periods, four
(6.4% of the pool) have not yet begun amortizing.
Loan in Special Servicing: There is one loan (0.5% of the pool) in
special servicing for non-monetary default. The collateral is a
full-service hotel in Denver. The borrower has kept the loan
current and appears to be cooperating with the special servicer to
cure the default. Fitch's analysis includes a conservative stress
for this loan.
Hurricane and Wildfire Exposure: There is limited exposure to
properties in areas affected by hurricanes or wildfires.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset-level event changes the transaction's overall
portfolio-level metrics.
Fitch has affirmed the following ratings:
-- $3 million class A-1 at 'AAAsf'; Outlook Stable;
-- $125.7 million class A-2 at 'AAAsf'; Outlook Stable;
-- $215 million class A-3 at 'AAAsf'; Outlook Stable;
-- $246.8 million class A-4 at 'AAAsf'; Outlook Stable;
-- $74.5 million class A-AB at 'AAAsf'; Outlook Stable;
-- $66.1 million class A-S at 'AAAsf'; Outlook Stable;
-- $730.1 million* class X-A at 'AAAsf'; Outlook Stable;
-- $50.8 million class B at 'AA-sf'; Outlook Stable;
-- $50.8 million* class X-B at 'AA-sf'; Outlook Stable;
-- $50.8 million class C at 'A-sf'; Outlook Stable;
-- $0 class PEZ at 'A-sf'; Outlook Stable;
-- $54.6 million class D at 'BBB-sf'; Outlook Stable;
-- $21.6 million class E at 'BBsf'; Outlook Stable;
-- $21.6 million* class X-C at 'BBsf'; Outlook Stable;
-- $11.4 million class F at 'Bsf'; Outlook Stable.
*Notional balance and interest only
Fitch does not rate the class G or X-D certificates.
COBALT CMBS 2007-C2: Moody's Lowers Ratings on 2 Tranches to B1
---------------------------------------------------------------
Moody's Investors Service affirmed four classes and downgraded
seven classes of COBALT CMBS Commercial Mortgage Trust 2007-C2,
Commercial Mortgage Pass-Through Certificates, Series 2007-C2:
Cl. A-JFL, Downgraded to B1 (sf); previously on Dec 15, 2016
Affirmed Ba2 (sf)
Cl. A-JFX, Downgraded to B1 (sf); previously on Dec 15, 2016
Affirmed Ba2 (sf)
Cl. B, Downgraded to Caa1 (sf); previously on Dec 15, 2016 Affirmed
B2 (sf)
Cl. C, Downgraded to Caa3 (sf); previously on Dec 15, 2016 Affirmed
Caa1 (sf)
Cl. D, Downgraded to C (sf); previously on Dec 15, 2016 Affirmed
Caa2 (sf)
Cl. E, Downgraded to C (sf); previously on Dec 15, 2016 Affirmed
Caa3 (sf)
Cl. F, Affirmed C (sf); previously on Dec 15, 2016 Affirmed C (sf)
Cl. G, Affirmed C (sf); previously on Dec 15, 2016 Affirmed C (sf)
Cl. H, Affirmed C (sf); previously on Dec 15, 2016 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Dec 15, 2016 Affirmed C (sf)
Cl. X, Downgraded to C (sf); previously on Jun 9, 2017 Downgraded
to Ca (sf)
RATINGS RATIONALE
The ratings on four P&I classes (Classes F, G, H, J) were affirmed
because the ratings are consistent with Moody's expected loss.
The ratings on six P&I classes (Classes A-JFX, A-JFL, B, C, D, E)
were downgraded due to anticipated losses and realized losses from
specially serviced and troubled loans that were higher than Moody's
had previously expected.
The rating on the IO Class (Class X) was downgraded due to a
decline in the credit quality of its referenced classes.
Moody's rating action reflects a base expected loss of 46.7% of the
current pooled balance, compared to 12.0% at Moody's last review.
Moody's base expected loss plus realized losses is now 11.3% of the
original pooled balance, compared to 10.6% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "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 November 17, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 85.1% to $360.8
million from $2.42 billion at securitization. The certificates are
collateralized by 21 mortgage loans ranging in size from less than
1% to 11.1% of the pool, with the top ten loans (excluding
defeasance) constituting 72.9% of the pool.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 15, compared to 16 at Moody's last review.
Two loans, constituting 15.6% 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.
35 loans have been liquidated from the pool, contributing to an
aggregate realized loss of $104.7 million (for an average loss
severity of 37.4%). Fourteen loans, constituting 65.8% of the pool,
are currently in special servicing.
The largest specially serviced loan is the 90 Merrick Avenue Loan
($38.0 million -- 10.5% of the pool), which is secured by a 242,659
square foot (SF), nine-story suburban office building located in
East Meadow, New York. The property was 88% occupied as September
2017, the same as at last review. The loan is interest-only and was
scheduled to mature in February 2017 but transferred to special
servicing July 2016 due to imminent maturity default. The loan has
since received an appraisal reduction of approximately $13.5
million.
The second largest specially serviced loan is the 275 Broadhollow
Road Loan ($33.2 million -- 9.2% of the pool), which is secured by
a 126,770 SF office property built in 1989 and located in Melville,
New York. The loan is interest-only. Capital One, the sole tenant
occupying 100% of the property's net rentable area (NRA) has
indicated that it will be vacating the property upon its December
31, 2018 lease expiration. Capital One has already transferred the
majority of its employees from the subject property into a nearby
building. The property transferred to special servicing June 2016
due to imminent maturity default.
The third largest specially serviced loan is the Hampton Roads
Research Quads I & III Portfolio ($22.4 million -- 6.2% of the
pool), which is secured by two office buildings totaling 157,175
SF, located in Hampton, Virginia, sitting on the north side of the
Hampton Roads harbor. As of October 2017, the properties were
collectively 90% occupied. However, the US Air Force, which
occupies the entirety of one building (62% of the collective NRA),
plans to vacate the property when their lease expires November 30,
2017. The loan transferred to Special Servicing for Maturity
Default in March 2017 and the property became REO in August 2017.
The remaining 11 specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $144.9 million loss
for the specially serviced loans (61% expected loss on average).
Moody's has also assumed a high default probability for four poorly
performing loans, constituting 22% of the pool, and has estimated
an aggregate loss of $23.6 million (a 30% expected loss based on a
55% probability default) from these troubled loans.
Moody's received full year 2016 operating results for 100% of the
pool, and full or partial year 2017 operating results for 100% of
the pool (excluding specially serviced and defeased loans). Moody's
net cash flow (NCF) reflects a weighted average haircut of 12% to
the most recently available net operating income (NOI). Moody's
value reflects a weighted average capitalization rate of 9.0%.
The top three performing loans represent 26.7% of the pool balance.
The largest loan is the Westin - Fort Lauderdale, FL Loan ($40.2
million -- 11.1% of the pool), which is secured by a 15-story,
293-room full-service hotel in Fort Lauderdale, Florida. The loan
had previously transferred to Special Servicing in June 2013 and
returned to the Master in March 2015, following a modification.
Following the modification, the borrower contributed a $7 million
capital infusion into the property. Both ADR and RevPar have
increased due to an increase in hotel rates. Despite steadily
increasing performance in each of the past three years, Moody's
continues to identify this as a troubled loan.
The second largest loan is the 1515 Flagler Waterview - A note
($31.8 million -- 8.8% of the pool), which is secured by 163,487 SF
medical office property located in West Palm Beach, Florida. The
property was 63% leased as of September 2017 compared to 72% in
June 2016. The property had historically sustained upper 90%
occupancy from securitization through 2012. The Loan was modified
in July 2016 with an A-Note, B-Note split after the property's
occupancy and revenues sharply declined between 2013 and 2014 due
to a loss of tenancy. The loan is now encumbered with a $3.3
million B-Note. The loan passed its ARD of February 2017 and now
matures in February 2019. Moody's has identified this as a troubled
loan.
The third largest loan is the Palisades Village Center - A note
($24.3 million -- 6.7% of the pool), which is secured by an 89,755
SF, four-story mid-rise suburban office building built in 1981. The
loan is interest only. As of September 2017, the property was 97%
leased, the same as at the prior review. The loan had previously
transferred to Special Servicer in Feburary 2012 due to 60-day
payment default. The loan was modified, splitting the original
$29.2 million loan into a $24.5 million A-note and $4.7 million
B-note. Moody's LTV and stressed DSCR are 106% and 0.89X,
respectively, compared to 112% and 0.85X at the last review.
COMMERCIAL CAPITAL 3: Fitch Affirms 'BB' Rating on Class 3F Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed two classes of Commercial Capital Access
One, Series 3 (CCA One, Series 3) commercial mortgage pass-through
certificates.
KEY RATING DRIVERS
Although credit enhancement has improved since Fitch's last rating
action from three loan payoffs and continued amortization, the
affirmation reflects the concentration and adverse selection of the
remaining pool. As of the October 2017 distribution date, the
pool's aggregate principal balance has been reduced by 98.1% to
$8.1 million from $433.7 million at issuance. Realized losses
incurred to date total 7.4% of the original pool balance.
Pool Concentration & Adverse Selection: The pool is highly
concentrated with only four of the original 108 loans remaining.
Due to the concentrated nature of the pool, Fitch performed a
sensitivity analysis that grouped the remaining loans based on loan
structural features, collateral quality and performance, which
ranked them by their perceived likelihood of repayment. The ratings
and Outlooks reflect this sensitivity analysis.
The largest loan, NetScout Building (31.9% of pool), is secured by
a 97,500 square foot (sf) single-tenant office property located in
Westford, MA. The single tenant, Sonus Networks, Inc., recently
extended its lease for an additional 10 years through the end of
August 2028. The second largest loan, Pembroke Meadows Shopping
Center (23.3% of pool), is secured by a 70,914 sf grocery-anchored
retail property located in Virginia Beach, VA. The property is
anchored by Food Lion (55% of net rentable area [NRA]); lease
expiry in September 2019) and Cinema Cafe (16% of NRA; lease expiry
in August 2020). Occupancy as of June 2017 was 100%.
Fitch Loans of Concern: Fitch has designated two loans (44.8% of
pool) as Fitch Loans of Concern (FLOCs). Performance and cash flow
of these two FLOCs have deteriorated significantly since Fitch's
last rating action.
The Olympic Alzheimer's Residence loan (22.9%) is secured by a
61,718 sf, 60-bed, assisted living, healthcare facility located in
Gig Harbor, WA. Occupancy has trended downward over the past few
years. Occupancy as of June 2017 was 85.4%, down from 87% at
year-end (YE) 2016, 89.7% at YE 2015 and 92.9% at YE 2014. In
addition, property-level net operating income (NOI) for the
trailing-12- months (TTM) ending June 2017 declined 55% from 2016
and 71% from 2015 due to a decrease in total revenues and a
significant increase in operating expenses, primarily payroll and
benefits. Fitch has requested additional clarity from the servicer
on the reason behind the increase in the payroll and benefit
expense. The servicer-reported NOI debt service coverage ratio
(DSCR) for TTM June 2017 was 0.50x, down from 1.11x at YE 2016 and
1.75x at YE 2015.
The Berkley Medical Building loan (21.9%) is secured by a 32,184 sf
suburban medical office property located in Berkley, MI (part of
the Detroit MSA). Occupancy as of October 2017 declined to 57.2%
from 83% at YE 2016 due to WM Beaumont Hospital, which previously
occupied 29% of the property square footage, vacating at its
scheduled August 2016 lease expiration. As a result, the
servicer-reported NOI DSCR for the first three months of 2017 was
0.32x, down from 1.25x at YE 2016 and 1.35x at YE 2015. The master
servicer indicated the leasing activity at the property has been
limited and is mainly attributable to the consolidation of the
Michigan health care industry.
Fully Amortizing Loans & Loan Maturity: All four of the remaining
loans in the pool are fully amortizing and are scheduled to mature
between May and December 2023.
RATING SENSITIVITIES
The Outlook on class 3F was revised to Negative from Stable. Fitch
considered an additional sensitivity to the two FLOCs. Downgrades
are possible should losses on these loans exceed Fitch's
expectation or if these loans experience further performance
deterioration or transfer to special servicing.
Fitch has affirmed and revised Rating Outlooks on the following
classes:
-- $5.6 million class 3F at 'BBsf'; Outlook to Negative from
Stable;
-- $2.5 million class 3G at 'Dsf'; RE 0%.
The class 3A-1, 3A-2, 3X, 3B, 3C, 3D, and 3E certificates have paid
in full. Fitch does not rate the class 3H certificates.
CORE INDUSTRIAL 2015-CALW: S&P Affirms BB- Rating on Cl. F Notes
----------------------------------------------------------------
S&P Global Ratings affirmed its ratings on eight classes of
commercial mortgage pass-through certificates from Core Industrial
Trust 2015-CALW, a U.S. commercial mortgage-backed securities
(CMBS) transaction.
S&P said, "Our affirmations on the principal- and interest-paying
classes reflect our credit enhancement expectations that were in
line with the affirmed rating levels.
"We affirmed our ratings on the class X-A and X-B interest-only
(IO) certificates 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 referenced class." Class X-A's notional
balance references class A, and class X-B's notional balance
references the aggregate certificate balance of the class B and C
certificates.
This is a stand-alone (single borrower) transaction backed by a
fixed-rate IO mortgage loan secured by a portfolio of 154
industrial properties across five states (California, Arizona,
Texas, Washington, and Oregon). S&P said, "Our property-level
analysis included a re-evaluation of the industrial portfolio that
secures the mortgage loan in the trust and considered the stable
servicer-reported net operating income and occupancy for the past
five years (2013 through the trailing 12 months ending June 30,
2017). We then derived our sustainable in-place net cash flow,
which we divided by a 7.70% S&P Global Ratings weighted average
capitalization rate to determine our expected-case value. Our
property valuation also accounted for investment-grade tenants'
rent-step. This yielded an overall S&P Global Ratings loan-to-value
ratio and debt service coverage (DSC) of 94.3% and 2.09x,
respectively, on the trust balance."
According to the Nov. 10, 2017, trustee remittance report, the IO
mortgage loan has a trust and whole loan balance of $1.34 billion
(which is the same as at issuance) and pays an annual fixed
interest rate of 3.85%. The mortgage loan pays monthly interest of
approximately $44 million through its February 2022 maturity. To
date, the trust has not incurred any principal losses.
The master servicer, Wells Fargo Bank N.A., reported a DSC of 2.24x
on the trust balance for the 12 months ended June 30, 2017, and
occupancy was 90.3% according to the June 30, 2017, rent rolls.
RATINGS LIST
Core Industrial Trust 2015-CALW
Commercial mortgage pass-through certificates series 2015-CALW
Rating
Class Identifier To From
A 21870LAA4 AAA (sf) AAA (sf)
X-A 21870LAC0 AAA (sf) AAA (sf)
X-B 21870LAE6 A- (sf) A- (sf)
B 21870LAG1 AA- (sf) AA- (sf)
C 21870LAJ5 A- (sf) A- (sf)
D 21870LAL0 BBB- (sf) BBB- (sf)
F 21870LAQ9 BB- (sf) BB- (sf)
G 21870LAS5 B (sf) B (sf)
CORE INDUSTRIAL 2015-TEXW: S&P Affirms B(sf) Rating on Cl. F Notes
------------------------------------------------------------------
S&P Global Ratings affirmed its ratings on eight classes of
commercial mortgage pass-through certificates from Core Industrial
Trust 2015-TEXW, a U.S. commercial mortgage-backed securities
(CMBS) transaction.
For the affirmations on the principal- and interest-paying classes,
S&P's credit enhancement expectation was in line with the affirmed
rating levels.
S&P affirmed its ratings on the class X-A and X-B interest-only
(IO) certificates based on its criteria for rating IO securities,
in which the ratings on the IO securities would not be higher than
that of the lowest rated reference class. Class X-A's notional
balance references class A and X-B's notional balance references
the aggregate certificate balance of the class B and C
certificates.
This is a stand-alone (single borrower) transaction backed by a
fixed-rate IO mortgage loan secured by a portfolio of 150
industrial properties totaling 16.1 million sq. ft. across Texas,
Colorado, and Nevada. S&P said, "Our property-level analysis
included a re-evaluation of the industrial portfolio that secures
the mortgage loan in the trust and considered the stable
servicer-reported net operating income and occupancy for the past
five years (2013 through the trailing 12 months ended June 30,
2017). We then derived our sustainable in-place net cash flow,
which we divided by a 7.72% S&P Global Ratings weighted average
capitalization rate to determine our expected-case value. Our
property valuation also included adjustment for investment-grade
tenants' rent step. This yielded an overall S&P Global Ratings
loan-to-value ratio and debt service coverage (DSC) of 91.6% and
2.15x, respectively, for the trust balance."
According to the Nov. 10, 2017, trustee remittance report, the IO
mortgage loan has a trust and whole loan balance of $632.0 million
(same as at issuance) and pays an annual fixed interest rate of
3.85%. The mortgage loan pays monthly interest of approximately
$2.1 million through its February 2022 maturity date. The trust has
not incurred any principal losses to date. The master servicer,
Wells Fargo Bank N.A., reported a DSC of 2.27x on the trust balance
for the 12 months ended June 30, 2017, and occupancy was 94.8%
according to the June 30, 2017, rent rolls.
RATINGS LIST
Core Industrial Trust 2015-TEXW
Commercial mortgage pass-through certificates series 2015-TEXW
Rating
Class Identifier To From
A 21870PAA5 AAA (sf) AAA (sf)
X-A 21870PAC1 AAA (sf) AAA (sf)
X-B 21870PAE7 A- (sf) A- (sf)
B 21870PAG2 AA (sf) AA (sf)
C 21870PAJ6 A- (sf) A- (sf)
D 21870PAL1 BBB- (sf) BBB- (sf)
E 21870PAN7 BB- (sf) BB- (sf)
F 21870PAQ0 B (sf) B (sf)
CORE INDUSTRIAL 2015-WEST: S&P Affirms B(sf) Rating on Cl. F Notes
------------------------------------------------------------------
S&P Global Ratings affirmed its ratings on eight classes of
commercial mortgage pass-through certificates from Core Industrial
Trust 2015-WEST, a U.S. commercial mortgage-backed securities
(CMBS) transaction.
For the affirmations on the principal- and interest-paying classes,
S&P's credit enhancement expectation was in line with the affirmed
rating levels.
S&P said, "We affirmed our ratings on the class X-A and X-B
interest-only (IO) certificates 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. Class X-A's
notional balance references class A and X-B's notional balance
references the aggregate certificate balance of the class B and C
certificates.
"This is a stand-alone (single borrower) transaction backed by a
fixed-rate IO mortgage loan secured by a portfolio of 120
industrial properties across eight U.S. states. Our property-level
analysis included a re-evaluation of the industrial portfolio that
secures the mortgage loan in the trust and considered the stable
servicer-reported net operating income and occupancy for
the past five years (2013 through the trailing 12 months ended June
30, 2017).
"We then derived our sustainable in-place net cash flow, which we
divided by a 7.85% S&P Global Ratings capitalization rate to
determine our expected-case value. As part of our analysis, we also
accounted for investment-grade tenants' rent-step in our value.
This yielded an overall S&P Global Ratings loan-to-value ratio and
debt service coverage (DSC) of 91.7% and 1.99x, respectively, for
the trust balance."
According to the Nov. 10, 2017, trustee remittance report, the IO
mortgage loan has a trust and whole loan balance of $822.0 billion
(same as at issuance) and pays an annual fixed interest rate of
4.23%. The mortgage loan pays monthly interest of approximately
$2.9 million through its February 2025 maturity date. The trust has
not incurred any principal losses to date.
The master servicer, Wells Fargo Bank N.A., reported a DSC of 2.13x
on the trust balance for the 12 months ended June 30, 2017, and
occupancy was 98.0% according to the June 30, 2017, rent roll.
RATINGS LIST
Core Industrial Trust 2015-WEST
Commercial mortgage pass-through certificates series 2015-WEST
Rating
Class Identifier To From
A 21870KAA6 AAA (sf) AAA (sf)
X-A 21870KAC2 AAA (sf) AAA (sf)
X-B 21870KAE8 A- (sf) A- (sf)
B 21870KAG3 AA (sf) AA (sf)
C 21870KAJ7 A- (sf) A- (sf)
D 21870KAL2 BBB- (sf) BBB- (sf)
E 21870KAN8 BB- (sf) BB- (sf)
F 21870KAQ1 B (sf) B (sf)
CREDIT SUISSE 2005-C2: S&P Lowers Ratings on 2 Tranches to BB(sf)
-----------------------------------------------------------------
S&P Global Ratings lowered its ratings on two classes of commercial
mortgage pass-through certificates from Credit Suisse First Boston
Mortgage Securities Corp.'s series 2005-C2, a U.S. commercial
mortgage-backed securities (CMBS) transaction.
The downgrades on classes A-MFL and A-MFX reflect the volume of
specially serviced assets ($110.2 million, 96.2%) in the
transaction, as well as the uncertainty surrounding the eventual
resolution of the trust's largest loan, the 390 Park Avenue loan.
TRANSACTION SUMMARY
As of the Nov. 17, 2017, trustee remittance report, the collateral
pool balance was $114.6 million, which is 7.1% of the pool balance
at issuance. The pool currently includes four loans and two real
estate-owned (REO) assets, down from 168 loans at issuance. Three
of these assets ($110.2 million, 96.2%) are with the special
servicer, one ($2.4 million, 2.1%) is defeased, and one ($0.4
million, 0.4%) is on the master servicer's watchlist.
S&P calculated a 1.14x S&P Global Ratings weighted average debt
service coverage (DSC) and 37.2% S&P Global Ratings weighted
average loan-to-value (LTV) ratio using a 7.58% S&P Global Ratings
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the three specially
serviced assets and one defeased loan.
To date, the transaction has experienced $244.0 million in
principal losses, or 15.2% of the original pool trust balance. S&P
said, "We expect losses to reach approximately 16.6% of the
original pool trust balance in the near term, based on losses
incurred to date and additional losses we expect upon the eventual
resolution of the three specially serviced assets. Due to the
uncertainty surrounding the resolution of the 390 Park Avenue loan,
our expected losses may increase significantly from our expectation
if the reset of the ground rent results in significant cash flow
decline to the leasehold interest securing the mortgage loan."
CREDIT CONSIDERATIONS
As of the Nov. 17, 2017, trustee remittance report, three assets in
the pool were with the special servicer, CW Capital Asset
Management LLC. Details of the two largest specially serviced
assets are as follows:
-- The 390 Park Avenue loan ($85.9 million, 74.9%) is the largest
loan in the pool and has a total reported exposure of $86.2
million. The loan is secured by a leasehold interest in an office
property totaling 234,230 sq. ft. in New York City. The loan was
transferred to the special servicer on Dec. 18, 2014, due to
imminent maturity default. Foreclosure was filed on Nov. 22, 2016.
According to the special servicer comments, the ground rent
at the property contains a schedule of fixed rent through 2023. In
2019, a process to determine the ground rent based on a fair market
value-based mechanism will be undertaken. It is anticipated that
the ground rent would increase from about $6.2 million annually to
an amount in excess of $20.0 million in 2023. S&P's analysis of the
transaction reflects the significant uncertainty surrounding this
ground rent reset and its potential impact on the loan's
recoverable value.
-- The Southlake Pavilion I & II REO asset ($16.7 million, 14.6%)
has a total reported exposure of $18.9 million. The asset is
secured by a 218,130-sq.-ft. retail property in Morrow, Ga. The
loan was transferred to the special servicer on Feb. 26, 2014, due
to imminent monetary default and has been REO since Sept. 2, 2014.
The reported DSC and occupancy as of year-end 2016 was 0.78x and
71.7% respectively. A $7.5 million appraisal reduction amount is in
effect against this asset. S&P expects a moderate loss (26%-59%)
upon this asset's eventual resolution.
The remaining asset with the special servicer has loan balance that
represents less than 6.7% of the total pool trust balance. S&P
estimated losses for the three specially serviced assets, arriving
at a weighted average loss severity of 19.9%.
RATINGS LIST
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2005-C2
Rating
Class Identifier To From
A-MFL 225458RV2 BB (sf) BBB (sf)
A-MFX 225458RW0 BB (sf) BBB (sf)
CREDIT SUISSE 2016-NXSR: Fitch Affirms B-sf Ratings on 2 Tranches
-----------------------------------------------------------------
Fitch Ratings has affirmed all classes of Credit Suisse Commercial
Mortgage Securities Corp. commercial mortgage pass-through
certificates, series 2016-NXSR.
KEY RATING DRIVERS
Stable Performance: The overall pool performance remains stable
from issuance. There are no delinquent or specially serviced loans.
As of the Nov. 17, 2017 distribution date, the pool's aggregate
balance has been reduced by 0.59% to $603.2 million, from $606.8
million at issuance. Four loans (13.5%) are on the servicer's
watchlist due to deferred maintenance or declining performance;
none are considered Fitch loans of concern.
Retail Concentration: Loans backed by retail properties represent
37.6% of the pool, including six (32%) in the top 15. Two of the
retail loans are backed by regional malls: Gurnee Mills has
exposure to Macy's and Sears, and Wolfchase Galleria has exposure
to JC Penney, Sears and Macy's.
Limited Amortization: Nine loans, representing 47.9% of the pool,
are full-term interest-only and eight loans, representing 10.9% of
the pool, are partial interest-only. The pool is scheduled to
amortize by 9.3% over the term of the loans, which is below the YTD
2016 average of 10.5%.
High Pool Concentration: The top 10 loans comprise 66.3% of the
pool, which is greater than the recent averages of 54.9% for YTD
2016 and 49.3% for 2015
Fitch Leverage: At issuance, the pool had similar leverage to other
recent Fitch-rated transactions. The pool's Fitch debt service
coverage ratio of 1.23x was slightly higher than the YTD 2016
average of 1.20x. The pool's Fitch loan-to-value (LTV) of 106.8%
was slightly higher than the YTD 2016 average of 105.3%.
Minimal Exposure to Area Affected by Hurricane Harvey: 1.9% of pool
is secured by properties located in the Houston MSA.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset-level event changes the transaction's overall
portfolio-level metrics.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
-- $19,192,566 class A-1 'AAAsf'; Outlook Stable;
-- $85,980,000 class A-2 'AAAsf'; Outlook Stable;
-- $65,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $224,907,000 class A-4 'AAAsf'; Outlook Stable;
-- $26,116,000 class A-SB 'AAAsf'; Outlook Stable;
-- $451,537,566(b) class X-A 'AAAsf'; Outlook Stable;
-- $30,324,000 class A-S 'AAAsf'; Outlook Stable;
-- $451,537,566(c) class V1-A 'AAAsf'; Outlook Stable;
-- $40,961,000 class B 'AA-sf'; Outlook Stable;
-- $40,961,000(b) class X-B 'AA-sf'; Outlook Stable;
-- $40,961,000(c) class V-1B 'AA-sf'; Outlook Stable;
-- $31,100,000 class C 'A-sf'; Outlook Stable;
-- $31,100,000(c) class V-1C 'A-sf'; Outlook Stable;
-- $31,100,000(a) class D 'BBB-sf'; Outlook Stable;
-- $31,100,000(a)(c) class V1-D 'BBB-sf'; Outlook Stable;
-- $18,963,000(a)(b) class X-E 'BB-sf'; Outlook Stable;
-- $6,827,000(a)(b) class X-F 'B-sf'; Outlook Stable;
-- $18,963,000(a) class E 'BB-sf'; Outlook Stable;
-- $6,827,000(a) class F 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
(c) Exchangeable certificates
A vertical credit risk retention interest representing 5% of each
class is retained as part of risk retention compliance. Fitch does
not rate the $22,757,039 NR class, the $22,757,039 X-NR class, the
$48,547,039 class V1-E or the $603,245,605 class V2.
CSAIL 2017-CX10: Fitch Assigns B-sf Rating to Class F Certs
-----------------------------------------------------------
Fitch Ratings has assigned the following ratings and Ratings
Outlooks to Credit Suisse CSAIL 2017-CX10 Commercial Mortgage Trust
Commercial Mortgage Pass-Through Certificates Series 2017-CX10:
-- $14,888,000 class A-1 'AAAsf'; Outlook Stable;
-- $81,680,000 class A-2 'AAAsf'; Outlook Stable;
-- $143,190,000 class A-3 'AAAsf'; Outlook Stable;
-- $102,361,000 class A-4 'AAAsf'; Outlook Stable;
-- $237,373,000 class A-5 'AAAsf'; Outlook Stable;
-- $19,217,000 class A-SB 'AAAsf'; Outlook Stable;
-- $691,723,000b class X-A 'AAAsf'; Outlook Stable;
-- $80,184,000b class X-B 'AA-sf'; Outlook Stable;
-- $93,014,000 class A-S 'AAAsf'; Outlook Stable;
-- $691,723,000d class V1-A 'AAAsf'; Outlook Stable;
-- $49,180,000 class B 'AA-sf'; Outlook Stable;
-- $31,004,000 class C 'A-sf'; Outlook Stable;
-- $80,184,000d class V1-B 'A-sf'; Outlook Stable;
-- $34,212,000a class D 'BBB-sf'; Outlook Stable;
-- $34,212,000d class V1-D 'BBB-sf'; Outlook Stable;
-- $17,106,000a class E 'BB-sf'; Outlook Stable;
-- $17,106,000ab class X-E 'BB-sf'; Outlook Stable;
-- $17,106,000d class V1-E 'BB-sf'; Outlook Stable;
-- $8,553,000ac class F 'B-sf'; Outlook Stable.
The following classes are not rated:
-- $23,521,491ac class NR;
-- $32,074,491d class V1-F;
-- $855,299,491d class V2-A.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
(c) Horizontal credit risk retention interest representing
approximately 0.9% of the pool balance (as of the closing date).
(d) Exchangeable certificates.
The ratings are based on information provided by the issuer as of
Nov. 7, 2017.
Fitch revised its rating for class X-B to a final rating of 'AA-sf'
from an expected rating of 'A-sf' based on the final deal
structure.
VRR Interest - The amount of the VRR Interest represents
approximately 4.1% of the pool balance (as of the closing date).
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 31 loans secured by 76
commercial properties having an aggregate principal balance of
$855,299,491 as of the cut-off date. Additionally, the transaction
includes two non-pooled companion loans with an aggregate balance
of $258,400,000 as of the cutoff date. The loans were contributed
to the trust by: Column Financial, Inc., Natixis Real Estate
Capital LLC, Benefit Street Partners CRE Finance LLC and BSPRT
Finance, LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 77.8% of the properties
by balance, cash flow analysis of 92.9%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Lower Fitch Leverage Than Recent Transactions: The pool's leverage
is below recent comparable Fitch-rated multiborrower transactions.
The pool's Fitch debt service coverage ratio (DSCR) and loan to
value (LTV) are 1.35x and 91.8%, respectively, better than the
year-to-date (YTD) 2017 averages of 1.26x and 101.2%, respectively.
Excluding credit opinion loans, the pool's normalized Fitch DSCR
and LTV are 1.27x and 102.0%, respectively, compared to the YTD
averages of 1.21x and 106.7%.
Investment-Grade Credit Opinion Loans: Four loans, representing
23.3% of the pool, have investment-grade credit opinions. Yorkshire
& Lexington Towers (7 of the pool) has an investment-grade credit
opinion of 'BBBsf*'. One California Plaza (5.8%) has an 'A-sf*'
credit opinion, while The Standard Highline NYC (5.3%) and Centre
425 Bellevue (5.1%) have credit opinions of 'Asf*' and 'BBB+sf*',
respectively. Combined, the four loans have a weighted-average (WA)
Fitch DSCR and LTV of 1.63x and 58.1%, respectively.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 4.5% below
the most recent year's net operating income (NOI) for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period. Unanticipated further declines
in property-level NCF could result in higher defaults and loss
severities on defaulted loans and in potential rating actions on
the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the
CSAIL 2017-CX10 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. The presale report includes
a detailed explanation of additional stresses and sensitivities.
CSFB COMMERCIAL 2005-C6: Moody's Affirms C Ratings on 2 Tranches
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three classes
in CSFB Commercial Mortgage Trust 2005-C6, Commercial Pass-Through
Certificates, Series 2005-C6.:
Cl. H, Affirmed Ca (sf); previously on Dec 2, 2016 Affirmed Ca
(sf)
Cl. J, Affirmed C (sf); previously on Dec 2, 2016 Affirmed C (sf)
Cl. A-X, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The ratings on the P&I classes were affirmed because the ratings
are consistent with Moody's expected loss plus realized losses.
Class J has already experienced a 70% realized loss as result of
previously liquidated loans.
The rating on the IO class was affirmed based on the credit quality
of the referenced classes.
Moody's rating action reflects a base expected loss of 59.3% of the
current pooled balance, compared to 62.2% at Moody's last review.
Moody's base expected loss plus realized losses is now 4.5% of the
original pooled balance, compared to 5.4% 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. A-X 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 100% 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 class(es) and the
recovery as a pay down of principal to the most senior class(es).
DEAL PERFORMANCE
As of the November 17, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $21.1 million
from $2.505 billion at securitization. The certificates are
collateralized by three mortgage loans.
Twenty-nine loans have been liquidated from the pool, contributing
to an aggregate realized loss of $99.3 million (for an average loss
severity of 29%). All three loans are currently in special
servicing. The two largest specially serviced loans are the Green
Valley Tech Plaza -- A note ($9.0 million -- 43.4% of the pool) and
B note ($6.81 million -- 32.8% of the pool). Both loans are secured
by a 103,000 SF class B office building located in Fairfield,
California. The original loan first transferred to special
servicing in 2011 after the occupancy dropped to 42% following the
departure of the largest tenant. The loan was subsequently modified
into an A/B note split in 2013, with an A note balance of $9.0
million and a B note balance of $6.81 million. In November 2016,
the loans matured and the borrower was unable to meet the
performance metrics required for a one-year extension, per the 2013
modification. The property is now REO and leasing efforts are being
managed by CBRE.
The other specially serviced loan is the Riverstone Medical Center
($4.95 million -- 23.8% of the pool), which is secured by a 35,000
SF medical office building located in Canton, Georgia. The loan
transferred to special servicing in 2015 due to imminent default.
The largest tenant at the property, Northside Hospital -- 39% NRA,
vacated upon lease expiration in May 2017. An extension request
from the borrower was denied and the property is now REO.
As of the November 17, 2017 remittance statement cumulative
interest shortfalls were $10.9 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.
CSFB MORTGAGE 1998-C1: Moody's Affirms C Rating on Cl. A-X Notes
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on one interest
only (IO) class of CS First Boston (CSFB) Mortgage Securities Corp
1998-C1:
Cl. A-X, 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.
Moody's rating action reflects a base expected loss of 1% of the
current balance, compared to 0% at Moody's last review. Moody's
base expected loss plus realized losses is now 4.1% of the original
pooled balance, the same as at last review. Moody's provides a
current list of base expected losses for conduit and fusion CMBS
transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
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 methodologies used in this rating was "Moody's Approach to
Rating Large Loan and Single Asset/Single Borrower CMBS" published
in July 2017, and "Moody's Approach to Rating Credit Tenant Lease
and Comparable Lease Financings" published in October 2016.
Additionally, the methodology used in rating Cl. A-X was "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the November 17, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $63.29
million from $2.48 billion at securitization. The Certificates are
collateralized by 39 mortgage loans ranging in size from less than
1% to 18% of the pool, with the top ten loans representing 65% of
the pool. Fourteen loans, representing 19% of the pool have
defeased and are secured by US Government securities.
Thirteen loans, representing 31% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Thirty-one loans have been liquidated from the pool, resulting in
an aggregate realized loss of $90 million (26% loss severity on
average). There are currently no loans in special servicing.
Moody's has assumed a high default probability for the largest loan
in the pool, which is discussed in greater detail below.
Moody's was provided with full year 2016 operating results for 99%
of the pool. As the non-conduit portion of the pool now consists of
nearly 99% of the transaction's loan balance, the conduit level
strats reflect only three small loans. Moody's weighted average
conduit LTV is 7% compared to 88% at Moody's prior review. Moody's
conduit component excludes loans with credit assessments, defeased
and CTL loans and specially serviced and troubled loans. Moody's
net cash flow (NCF) reflects a weighted average haircut of 26% to
the most recently available net operating income (NOI). Moody's
value reflects a weighted average capitalization rate of 10.3%.
Moody's actual and stressed conduit DSCRs are 0.76X and 17.37X,
respectively. Moody's actual DSCR is based on Moody's NCF and the
loan's actual debt service. Moody's stressed DSCR is based on
Moody's NCF and a 9.25% stressed rate applied to the loan balance.
The top three loans represent 10% of the pool balance. The largest
loan is the Peachtree Corners Shopping Center Loan ($5.3 million --
8.4% of the pool), which is secured by a 105,000 square foot
anchored retail center in Norcross, Georgia, a suburb of Atlanta.
The property is anchored by a fitness center, which comprises
approximately 44% of the property net rentable area (NRA). The
tenant operates under a lease set to expire in April 2019. The loan
is an ARD loan with an initial scheduled maturity in May 2018. The
loan is currently on the watchlist for low DSCR. Moody's has
identified this loan as troubled and as such the loan is not
included in the conduit. Moody's estimates a small loss for the
loan.
The second largest loan is the Christmas Tree Shops Plaza Loan
($668,000 -- 1% of the pool), which is secured by a 136,000 square
foot retail center in Orange, Connecticut. The loan is fuly
amortizing and the loan balance has decreased by 95% since
securitization. Moody's LTV and stressed DSCR are 6% and >4.00X,
respectively, compared to 17% and >4.00X at prior review.
The third largest loan is a fully amortizing loan secured by a
46-unit mulftifamily property located in Conway, Arkansas. The loan
has amortized down by 91% since securitization and represents 0.2%
of the pool. Moody's LTV and stressed DSCR are 7% and >4.00X,
respectively.
The CTL component consists of 22 loans, totaling 71% of the pool,
secured by properties leased to eight tenants. The largest
exposures are Bon-Ton Stores Inc. ($11 million -- 18% of the pool;
LT Corporate Family Rating: Caa3 -- negative outlook) and Best Buy
Co., Inc. ($10 million -- 16% of the pool; senior unsecured rating:
Baa1 -- stable outlook). Four of the tenants have a Moody's rating
and Moody's completed updated credit assessments for the
non-Moody's rated tenants. The bottom-dollar weighted average
rating factor (WARF) for this pool is 5,328. WARF is a measure of
the overall quality of a pool of diverse credits. The bottom-dollar
WARF is a measure of the default probability within the pool.
DLJ COMMERCIAL 1999-CG3: Fitch Affirms Dsf Rating on Cl. B-5 Certs
------------------------------------------------------------------
Fitch Ratings has affirmed six classes of DLJ Commercial Mortgage
Corporation commercial mortgage pass-through certificates series
1999-CG3.
KEY RATING DRIVERS
Concentrated Pool: The pool is highly concentrated with only four
loans remaining. Due to the concentrated nature of the pool, Fitch
performed a sensitivity analysis that grouped the remaining loans
based on loan structural features, collateral quality and
performance and ranked them by their perceived likelihood of
repayment. This includes the defeased loan and fully amortizing
loans. The ratings reflect this sensitivity analysis.
High Credit Enhancement: The senior class benefits from high and
increasing credit enhancement due to amortization and prior loan
payoffs and dispositions. The affirmation of class B-4 reflects the
high credit enhancement and overall stable pool performance since
Fitch's prior review. Fitch capped the rating at 'Asf', due to the
concentrated nature of the pool and the potential for future
defaults or interest shortfalls to occur.
As of the November 2017 distribution date, the transaction has paid
down 98.9% since issuance, to $10.2 million from $899.3 million.
Interest shortfalls reach up to class B-5, which is already rated
'Dsf' due to realized losses. One loan is defeased (27.2%) with a
scheduled maturity date in 2023.
Loan Maturities: The remaining loans are scheduled to mature in
2023 (two loans, 34.8%) and 2024 (one loan, 12.2%). The largest
loan (53%) has an anticipated repayment date (ARD) in Sept. 2018
and a scheduled maturity date in 2028.
The largest loan in the pool is secured by a 186-unit multifamily
property located in Fayetteville, NC. The property was built in
1996. The amenities include a pool, clubhouse, playground, and
tennis and volleyball courts. As per the servicer reporting the
property's occupancy was 86% as of June 2017, compared to 94% as of
December 2016.
RATING SENSITIVITIES
The Rating Outlook on class B-4 is Stable due to sufficient credit
enhancement and continued paydown. Classes B-5 through C have
realized losses and will remain at 'D'.
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 and revised recovery
estimates as indicated:
-- $2.96 million class B-4 at 'Asf'; Outlook Stable;
-- $7.25 million class B-5 at 'Dsf'; RE 95%;
-- $0 class B-6 at 'Dsf'; RE 0%;
-- $0 class B-7 at 'Dsf'; RE 0%;
-- $0 class B-8 at 'Dsf'; RE 0%;
-- $0 class C at 'Dsf'; RE 0%.
The class A-1A, A-1B, A-1C, A-2, A-3, A-4, A-5, B-1, B-2 and B-3
certificates have paid in full. Fitch does not rate the class D
certificates. Fitch previously withdrew the rating on the
interest-only class S certificates.
DORCHESTER PARK: Fitch Affirms 'Bsf' Rating on Class F Notes
------------------------------------------------------------
Fitch Ratings has affirmed 19 tranches from 11 collateralized loan
obligations (CLOs). Fitch's rating action report titled, "Fitch
Affirms 11 CLOs from Various Vintages; Outlook Stable", dated Nov.
30, 2017, details the individual rating actions for each rated
CLO.
KEY RATING DRIVERS
The affirmations on all classes included in this review are based
on the sufficient credit enhancement (CE) available to the notes.
Ten transactions are still in their reinvestment periods and
continue to pass all coverage tests. One transaction has exited the
reinvestment period and continues to pass all coverage tests.
Sufficient cushions still remain as the rating default rate (RDR)
and rating loss rate (RLR), plus losses to date for each portfolio
are still lower than the RDR and RLR modelled for the stressed
portfolio at closing.
Given the amount of cushions available for the 10 transactions in
their reinvestment periods, and the implied rating for the one
transaction that has exited the reinvestment period, no updated
cash flow modelling was completed for this review. In addition, the
Stable Outlooks on the classes of notes reflect the expectation
that the classes have sufficient levels of credit protection to
withstand potential deterioration in credit quality of the
portfolios in stress scenarios commensurate with such class's
rating.
VARIATIONS FROM CRITERIA
The rating requirements for issuer account banks do not conform to
Fitch's "Structured Finance and Covered Bond Counterparty Rating
Criteria" (Counterparty Criteria) for two CLOs. The indenture
documents for KVK CLO 2013-1 Ltd. require remedial action to be
taken within 60 days of the issuer account bank being downgraded
below the Fitch minimum rating requirements. Fitch expects remedial
action to be taken within 30 calendar days. The indenture documents
for Vibrant CLO III, Ltd do not require remedial actions if the
issuer account bank rating by Fitch falls below the minimum rating
requirements, as per Fitch's Counterparty Criteria. While this
documentation provision does not conform to Fitch's Counterparty
Criteria, the actual issuer account banks for the two CLOs are
currently rated by Fitch at or above the eligibility threshold.
Fitch will monitor the ratings of the issuers' account banks.
RATING SENSITIVITIES
The rating of the notes may be sensitive to the following: asset
defaults, significant credit migration, and lower than historically
observed recoveries for defaulted assets. Fitch conducted rating
sensitivity analysis on the closing date of each CLO, incorporating
increased levels of defaults and reduced levels of recovery rates
among other sensitivities.
A list of the Affected Ratings is available at:
http://bit.ly/2jHHGf9
GS MORTGAGE 2007-GG10: Fitch Hikes Cl. A-M Certs Rating to 'Bsf'
----------------------------------------------------------------
Fitch Ratings has upgraded one and affirmed 16 classes of GS
Mortgage Securities Trust series 2007-GG10 (GSMSC) commercial
mortgage pass-through certificates series 2007-GG10.
KEY RATING DRIVERS
High Credit Enhancement: The senior class benefits from high credit
enhancement (CE) due to loan payoffs and dispositions since Fitch's
last rating action. The upgrade reflects sufficient CE and further
certainty of expected loss levels for the remaining pool. As of the
November 2017 distribution date, the transaction has paid down
93.7% since issuance, to $476 million from $7.6 billion at
issuance.
Concentrated Pool: The pool is highly concentrated with only 22
loans remaining, 18 of which are in special servicing. Due to the
concentrated nature of the pool, Fitch performed a sensitivity
analysis which grouped the remaining loans based on loan structural
features, collateral quality and performance which ranked them by
their perceived likelihood of repayment. The ratings reflect this
sensitivity analysis.
Specially Serviced Loans: Eighteen of the remaining 22 loans are in
special servicing. The remaining performing loans were previously
in special servicing and have been modified and extended. All of
the remaining loans are considered Fitch Loans of Concern.
Hurricane & Wildfire Exposure: There is limited exposure to
properties located in areas affected by hurricanes or wildfires.
RATING SENSITIVITIES
The Rating Outlook on all class AM remains Stable. Fitch considers
further upgrades to this class unlikely as it is reliant on
disposition proceeds from the specially serviced loans to pay in
full. Class AJ will remain at 'D' due to realized losses.
Fitch has upgraded the following class as indicated:
-- $140.7 million class A-M to 'Bsf' from 'CCCsf'; Assigned
Outlook Stable.
Fitch has affirmed the following class as indicated:
-- $335.6 million class A-J at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-AB, A-4 and A-1A certificates have paid
in full. Classes B through Q have been reduced to zero balance by
realized losses and are affirmed at 'Dsf', RE 0%. Fitch does not
rate the class S certificates. Fitch previously withdrew the rating
on the interest-only class X certificates.
GS MORTGAGE 2017-GS8: Fitch Assigns B- Rating to Class G-RR Certs
-----------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to GS
Mortgage Securities Trust 2017-GS8 commercial mortgage pass-through
certificates:
-- $14,278,000 class A-1 'AAAsf'; Outlook Stable;
-- $72,424,000 class A-2 'AAAsf'; Outlook Stable;
-- $270,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $311,927,000 class A-4 'AAAsf'; Outlook Stable;
-- $35,645,000 class A-AB 'AAAsf'; Outlook Stable;
-- $10,000,000 class A-BP 'AAAsf'; Outlook Stable;
-- $774,426,000a class X-A 'AAAsf'; Outlook Stable;
-- $10,000,000a class X-BP 'AAAsf'; Outlook Stable;
-- $44,642,000a class X-B 'AA-sf'; Outlook Stable;
-- $70,152,000 class A-S 'AAAsf'; Outlook Stable;
-- $44,642,000 class B 'AA-sf'; Outlook Stable;
-- $56,122,000 class C 'A-sf'; Outlook Stable;
-- $28,979,000b class D 'BBBsf'; Outlook Stable;
-- $28,979,000ab class X-D 'BBBsf'; Outlook Stable;
-- $27,142,000bc class E-RR 'BBB-sf'; Outlook Stable;
-- $26,786,000bc class F-RR 'BB-sf'; Outlook Stable;
-- $10,204,000bc class G-RR 'B-sf'; Outlook Stable.
The following class is not rated by Fitch:
-- $42,091,386bc class H-RR.
(a) Notional amount and interest-only.
(b) Privately placed and pursuant to Rule 144A.
(c) Horizontal credit-risk retention interest.
The final ratings are based on information provided by the issuer
as of Nov. 30, 2017.
Since Fitch published its expected ratings on Nov. 8, 2017, the
rating on class X-B has been updated to reflect the rating of the
lowest referenced tranche whose payable interest has an impact on
the IO payments, consistent with Appendix 4 of Fitch's Global
Structured Finance Rating Criteria dated May 03, 2017. The classes
above reflect the final ratings and deal structure.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 36 loans secured by 200
commercial properties having an aggregate principal balance of
$1,020,392,386 as of the cut-off date. The loans were contributed
to the trust by Goldman Sachs Mortgage Company.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 74.6% of the properties
by balance, cash flow analysis of 90%, and asset summary reviews on
100% of the pool.
KEY RATING DRIVERS
Higher Fitch Leverage than Recent Transactions: The pool's leverage
is slightly greater than that of recent, comparable Fitch-rated
multiborrower transactions. The pool's Fitch DSCR and LTV are 1.24x
and 105.0%, respectively, which reflect slightly worse leverage
statistics compared to the YTD 2017 averages of 1.26x and 101.2%.
Excluding credit opinion loans, the pool has a Fitch DSCR and LTV
of 1.17x and 115.4%, respectively, compared with the YTD 2017
normalized averages of 1.21x and 106.7%.
Investment-Grade Credit Opinion Loans: Three loans received
investment grade credit opinions including Worldwide Plaza (9.8% of
pool), Starwood Lodging Hotel Portfolio (4.90% of pool) and Olympic
Tower (4.3% of pool). The pool's credit opinion loan concentration
of 19.01% is higher than the 2016 and YTD 2017 averages of 8.36%
and 11.65% for other recent Fitch-rated deals, respectively. Net of
the credit opinion loans, Fitch's DSCR and LTV are 1.17x and
115.4%, respectively.
Higher Pool Concentration: The pool is slightly more concentrated
than other recent Fitch-rated deals. Top 10 loans comprise 56.42%
of the pool by balance which is higher than the 2016 and YTD 2017
averages of 54.8% and 52.7%. This results in a loan concentration
index (LCI) score of 444, which is higher than the respective 2016
and YTD 2017 averages of 422 and 393. The largest loan in the pool
is Worldwide Plaza at 9.8% of the pool.
International Asset: One property, Esperanza (1.5% of pool), is
located in Mexico. The performance of this asset is exposed to
macroeconomic and event risks associated with the sovereign. Fitch
is addressing the country risk by limiting the highest achievable
rating for this asset to a maximum of 'A', reflecting a three-notch
uplift from Mexico's Local-Currency Issuer Default Rating, which is
consistent with Fitch's 'Structured Finance and Covered Bonds
Country Risk Rating Criteria' dated Sept. 18, 2017.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 15.1% 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 GSMS
2017-GS8 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 'A-sf' could
result.
JP MORGAN 2007-LDP12: Fitch Cuts Class B Certs Rating to 'CCsf'
---------------------------------------------------------------
Fitch Ratings downgrades three classes and affirms 13 classes of
J.P. Morgan Chase Commercial Mortgage Securities Corp (JPMCC)
commercial mortgage pass-through certificates series 2007-LDP12.
KEY RATING DRIVERS
The downgrades reflect a higher certainty of losses based on the
significant concentration of specially serviced assets. Fitch
modeled losses of 54.9% of the remaining pool; expected losses on
the original pool balance total 12.9%, including $155.3 million
(6.2% of the original pool balance) in realized losses to date.
Fitch has designated 32 loans (97.9%) as Fitch Loans of Concern all
of which are specially serviced.
As of the November 2017 distribution date, the pool's aggregate
principal balance has been reduced by 87.7% to $308.5 million from
$2.5 billion at issuance. There are no defeased loans. Interest
shortfalls are currently affecting classes C through NR.
Increased Pool Concentration: The pool has become highly
concentrated and subject to adverse selection with only 37 loans
remaining from 163 at issuance of which 32 (93%) are currently in
special servicing.
Specially Serviced Concentration: Thirty-two loans (93%) are
currently in special servicing, the majority of which are either
real estate owned (REO) or in the foreclosure process. The largest
specially serviced asset is Liberty Plaza (14%) a 372,130 square
foot retail neighborhood/community center located in Philadelphia,
PA. The loan transferred to special servicing in January 2013 due
to imminent default and became REO in November 2013. The property
was previously anchored by a 24-hour Wal-Mart and Pathmark which
have vacated their space. The largest tenants are Dick's Sporting
Goods, Raymour & Flanigan and Grand China Buffet. The property is
45% leased as of October 2017. Per the special servicer, there have
been two lease renewals to date comprising 130,935 sf (35.2% of
GLA). The property is not currently on the market for sale.
Loan Maturities: Of the performing loans, one (1%) matures in July
2018 and four (5%) mature in July/Sept 2027. The remaining 11 loans
are all specially serviced (37.8%) and have maturity dates in
December 2017.
RATING SENSITIVITIES
The downgrade of classes B, C, and D reflects the expectation that
the classes will be impacted by losses associated with the
specially serviced assets. If additional loans transfer to special
servicing or losses from the specially serviced assets are greater
than expected additional downgrades to the classes are possible.
Upgrades to class A-J, while not expected, are possible if loans
resolve for better recoveries than currently anticipated.
Fitch downgraded the following ratings:
-- $21.9 million class B to 'CCsf' from 'CCCsf'; RE 0%;
-- $28.2 million class C to 'Csf' from 'CCsf'; RE 0%;
-- $21.9 million class D to 'Csf' from 'CCsf'; RE 0%.
Fitch also affirmed the following ratings:
-- $160.1 million class A-J at 'CCCsf'; RE revised to 85% from
55%;
-- $12.5 million class E at 'Csf'; RE 0%;
-- $25.0 million class F at 'Csf'; RE 0%;
-- $28.2 million class G at 'Csf'; RE 0%;
-- $10.6 million class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%;
-- $0 class Q at 'Dsf'; RE 0%;
-- $0 class T at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-SB, A-4, A-1A, and A-M certificates have
paid in full. Fitch does not rate the class NR certificates. Fitch
previously withdrew the rating on the interest-only class X
certificates.
JP MORGAN 2017-5: Fitch Assigns 'Bsf' Rating to Class B-5 Certs
---------------------------------------------------------------
Fitch Ratings rates J.P. Morgan Mortgage Trust 2017-5:
-- $591,084,000 class A-1 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $443,313,000 class A-1-A certificates 'AAAsf'; Outlook Stable;
-- $147,771,000 class A-1-B certificates 'AAAsf'; Outlook Stable;
-- $36,607,000 class A-2 certificates 'AA+sf'; Outlook Stable;
-- $6,381,000 class B-1 certificates 'AA-sf'; Outlook Stable;
-- $13,769,000 class B-2 certificates 'Asf'; Outlook Stable;
-- $10,411,000 class B-3 certificates 'BBBsf'; Outlook Stable;
-- $6,381,000 class B-4 certificates 'BBsf'; Outlook Stable;
-- $3,359,000 class B-5 certificates 'Bsf'; Outlook Stable.
Fitch will not be rating the following certificates:
-- $3,694,642 class B-6 certificates;
-- $33,589,642 class RR exchangeable certificates;
-- $261,816,199 class A-IO-S certificates.
KEY RATING DRIVERS
High-Quality Mortgage Pool (Positive): The pool consists of high
quality prime loans to borrowers with strong credit profiles, low
leverage and substantial liquid reserves. 58.3% of the loans in the
pool were originated by FRB, which Fitch considers to be an
above-average originator of prime jumbo product. Roughly 18.3% of
the pool was originated by the Banc of California, which Fitch
reviewed and found to be an average originator. The pool has a
weighted average (WA) FICO score of 756, an original combined
loan-to-value (CLTV) ratio of 65.9% and liquid reserves averaging
approximately $1.4 million. The remaining loans were acquired from
various originators, including 0.7% from MAXEX Clearing, LLC.
Product Type (Negative): The collateral pool comprises 100%
adjustable-rate mortgage (ARM) loans with 47.47% of the loans in
the pool having an interest only term of 60-120 months. To account
for the increased risk of payment shock, the probability of default
(PD) was increased by a 1.6x multiple.
Non-QM Loans (Negative): While the loans exhibit a strong credit
profile, 54.5% do not qualify as Qualified Mortgages (QM) under the
Ability to Repay Rule (ATR). Of the non-QM portion of the pool,
approximately 68% (237 loans) are interest-only (IO) loans and
approximately 22% (77 loans) had minor documentation issues that
did not adhere to Appendix Q. This excludes an additional three
loans (1%) that relied on asset depletion to verify income. In
addition, 7% (25 loans) had debt-to-income (DTI) ratios in excess
of 43%. Seven loans (2%) exceeded the points and fees cap for
meeting non-QM. While the pool has strong credit attributes such as
low LTVs and large liquid reserves, Fitch increased its loss
severity for these 349 non-QM loans and applied a PD penalty to
those with limited income documentation.
Majority of Expenses Deducted from Net WAC (Neutral): Consistent
with the previous two JPMMT transactions, the majority of
extraordinary trust expenses (ETEs) are scheduled to reduce the net
WA available coupon (WAC). ETEs include arbitration expenses for
enforcement of the representations and warranties (R&Ws),
additional fees and expenses of the breach reviewer, Pentalpha
Surveillance LLC (Pentalpha), as well as amounts reimbursable to
the securities administrator, master servicer, custodian and
trustee. Expenses coming out of the net WAC are subject to an
annual cap of $550,000 ($200,000 for the trustee, $150,000 for
Wells Fargo Bank, N.A. and $200,000 for the breach reviewer), which
is higher compared to recent prime transactions.
Leakage from Reviewer Expenses (Negative): The trust is obligated
to reimburse Pentalpha each month for any reasonable out-of-pocket
expenses incurred if the company is requested to participate in any
arbitration, legal or regulatory actions, proceedings or hearings.
If Pentalpha's expenses exceed the annual cap of $200,000,
Pentalpha is able to be reimbursed up to an additional $100,000 per
year from the pool's available funds. This construct can result in
principal and interest shortfalls to the bonds, starting from the
bottom of the capital structure. To account for the risk of these
non-credit events reducing subordination, Fitch adjusted its loss
expectations upward by 11 bps at the 'AAAsf' level.
Tier 3 Representation and Warranty Framework (Negative): Fitch
believes the value of the rep and warranty framework is diluted by
the presence of qualifying and conditional language in conjunction
with sunset provisions, which reduces lender breach liability.
While Fitch believes the high credit-quality pool and clean
diligence results mitigate these risks, Fitch considered the weaker
framework in Fitch analysis.
Strong Due Diligence Results (Positive): Loan-level due diligence
was performed on 100% of the loans. All the reviewed loans received
a third-party 'A' or 'B' grade, indicating strong underwriting
practices and sound quality control procedures.
Seasoned loans (greater than 24 months) account for 10.3% of this
pool. Fitch typically expects an updated tax and title search to be
obtained (within the last six months) if seasoned loans make up
more than 10% of the pool, or else be covered by a rep from an IG
counterparty that addresses the period between search and deal
close. Fitch does not view the portion of seasoned loans without an
updated tax and title search as materially increasing the risk.
Geographic Concentration (Negative): The pool's primary
concentration is in California, representing approximately 60% of
the pool, with the San Francisco and Los Angeles metropolitan
statistical areas (MSAs) representing approximately 25% and 23% of
the pool, respectively. The increased geographic distribution
resulted in a minor probability of default (PD) penalty of 15%,
which is higher than what Fitch has observed in previous JPMMT
deals.
Straightforward Deal Structure (Positive): The mortgage cash flow
and loss allocation are based on a senior-subordinate,
shifting-interest structure, whereby the subordinate classes
receive only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps maintain subordination for a longer period should
losses occur later in the life of the deal. The applicable credit
support percentage feature redirects subordinate principal to
classes of higher seniority if specified credit enhancement (CE)
levels are not maintained.
To mitigate tail risk, which arises as the pool seasons and fewer
loans are outstanding, a subordination floor of 1.50% of the
original balance will be maintained for the senior certificates.
Repurchase of Loans Impacted by Natural Disasters (Positive): JP
Morgan has ordered property inspections for the properties located
in areas affected by natural disasters. JP Morgan will drop or
repurchase the loans if there is damage to the home.
Solid Alignment of Interest (Positive): The sponsor, J.P. Morgan
Mortgage Acquisition Corp. (JPMMAC), intends to meet the risk
retention requirement by retaining (directly or through a
majority-owned affiliate) an eligible vertical interest in the
transaction consisting of a minimum five percent (5%) interest in
the initial class principal amount or class notional amount, as
applicable, of each of the class A-1-A, class A-1-B, class A-2,
class B-1, class B-2, class B-3, class B-4, class B-5, class B-6
and class A-IO-S certificates. Fitch believes that the risk
retention provides for a solid alignment of interest between the
sponsor and investors in the certificates.
CRITERIA APPLICATION
Fitch's analysis incorporated one criteria variation to the "U.S.
RMBS Rating Criteria." Fitch's U.S. RMBS Rating Criteria states
that Fitch expects an updated tax and title search to be obtained
if the amount of loans seasoned greater than 24 months exceeds 10%.
The criteria variation is that 10.3% of the loans in the pool are
seasoned more than 24 months and an updated tax and title search
was not performed.
Fitch is comfortable with not having an updated tax and title
search performed on the loans seasoned more than 24 months, since
all loans have been current since origination and the amount of
loans over the 10% threshold is not material.
RATING SENSITIVITIES
Fitch's analysis incorporates a sensitivity analysis to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at the MSA level. The implied rating sensitivities are
only an indication of some of the potential outcomes and do not
consider other risk factors that the transaction may become exposed
to or may be considered in the surveillance of the transaction.
Three sets of sensitivity analyses were conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the
model-projected 4.6%. The analysis indicates that there is some
potential rating migration with higher MVDs, compared with the
model projection.
Fitch also conducted sensitivities to determine the stresses to
MVDs that would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'.
KKR CLO 11: Moody's Assigns Ba3(sf) Rating to Class E-R Notes
-------------------------------------------------------------
Moody's Investors Service has assigned the following ratings to the
following notes (the "Refinancing Notes") issued by KKR CLO 11
Ltd.:
US$3,000,000 Class X Senior Secured Floating Rate Notes due 2031
(the "Class X Notes"), Assigned Aaa (sf)
US$357,500,000 Class A-R Senior Secured Floating Rate Notes due
2031 (the "Class A-R Notes"), Assigned Aaa (sf)
US$57,750,000 Class B-R Senior Secured Floating Rate Notes due 2031
(the "Class B-R Notes"), Assigned Aa2 (sf)
US$30,250,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2031 (the "Class C-R Notes"), Assigned A2 (sf)
US$14,617,300 Class D-1-R Senior Secured Deferrable Floating Rate
Notes due 2031 (the "Class D-1-R Notes"), Assigned Baa3 (sf)
US$19,782,700 Class D-2-R Senior Secured Deferrable Floating Rate
Notes due 2031 (the "Class D-2-R Notes"), Assigned Baa3 (sf)
US$27,500,000 Class E-R Senior Secured Deferrable Floating Rate
Notes due 2031 (the "Class E-R Notes"), Assigned Ba3 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of senior secured, broadly syndicated corporate loans.
KKR Financial Advisors II, LLC (the "Manager") will manage the CLO.
It will direct the selection, acquisition, and disposition of
collateral on behalf of the Issuer.
RATINGS RATIONALE
Moody's ratings on the 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 December 1, 2017
(the "Refinancing Date") in connection with the refinancing of all
of the secured notes (the "Refinanced Original Notes") previously
issued on May 7, 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 Refinanced Original Notes.
On the Original Closing Date, the Issuer also issued one class of
subordinated notes that will remain outstanding.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extensions of the reinvestment
period, non-call period and the notes' stated maturity; changes to
certain collateral quality tests; changes to the
overcollateralization test levels; and changes to certain
concentration limits.
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 August 2017.
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:
Portfolio par: $550,000,000
Defaulted par: $0
Diversity Score: 65
Weighted Average Rating Factor (WARF): 3042
Weighted Average Spread (WAS): 3.50%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 48.50%
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
August 2017.
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 3042 to 3498)
Rating Impact in Rating Notches
Class X Notes: 0
Class A-R Notes: -1
Class B-R Notes: -2
Class C-R Notes: -2
Class D-1-R Notes: -1
Class D-2-R Notes: -1
Class E-R Notes: 0
Percentage Change in WARF - increase of 30% (from 3042 to 3955)
Rating Impact in Rating Notches
Class X Notes: 0
Class A-R Notes: -2
Class B-R Notes: -4
Class C-R Notes: -4
Class D-1-R Notes: -2
Class D-2-R Notes: -2
Class E-R Notes: -1
KKR CLO 19: Moody's Assigns Ba3 Rating to Class D Notes
-------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by KKR CLO 19 Ltd.
Moody's rating action is:
US$336,000,000 Class A-1 Senior Secured Floating Rate Notes due
2030 (the "Class A-1 Notes"), Assigned Aaa (sf)
US$63,000,000 Class A-2 Senior Secured Floating Rate Notes due 2030
(the "Class A-2 Notes"), Assigned Aa2 (sf)
US$21,062,500 Class B-1 Senior Secured Deferrable Floating Rate
Notes due 2030 (the "Class B-1 Notes"), Assigned A2 (sf)
US$6,500,000 Class B-2 Senior Secured Deferrable Floating Rate
Notes due 2030 (the "Class B-2 Notes"), Assigned A2 (sf)
US$32,812,500 Class C Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class C Notes"), Assigned Baa3 (sf)
US$23,625,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class D Notes"), Assigned Ba3 (sf)
The Class A-1 Notes, Class A-2 Notes, the Class B-1 Notes, the
Class B-2 Notes, the Class C Notes, and the Class D Notes are
referred to herein, collectively, as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
KKR 19 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 92.5% of the portfolio must
consist of senior secured loans, cash, and eligible investments,
and up to 7.5% of the portfolio may consist of second lien loans
and unsecured loans. The portfolio is approximately 79% ramped as
of the closing date.
KKR Financial Advisors II, LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer issued one class of
subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $525,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2918
Weighted Average Spread (WAS): 3.35%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 48.5%
Weighted Average Life (WAL): 9 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2918 to 3356)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2 Notes: -2
Class B-1 Notes: -2
Class B-2 Notes: -2
Class C Notes: -1
Class D Notes: 0
Percentage Change in WARF -- increase of 30% (from 2918 to 3793)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -4
Class B-1 Notes: -4
Class B-2 Notes: -4
Class C Notes: --2
Class D Notes: -1
LB-UBS COMMERCIAL 2005-C7: Fitch Affirms Dsf Rating on Cl. G Certs
------------------------------------------------------------------
Fitch Ratings affirms all classes of LB-UBS Commercial Mortgage
Trust (LBUBS) commercial mortgage pass-through certificates series
2005-C7.
KEY RATING DRIVERS
The affirmations reflect the stable performance of the remaining
collateral, coupled with pool concentration concerns. As of the
November 2017 remittance report, the pool has been reduced by 97.6%
to $57 million from $2.4 billion at issuance. Realized losses to
date total 3% of the original pool balance. Cumulative interest
shortfalls in the amount of $5.2 million are currently affecting
classes J through T.
Concentrated Pool with Adverse Selection: The pool is highly
concentrated with only five of the original 137 loans remaining.
With the exception of the third largest loan (20.8% of pool), which
is secured by a class A, single-tenant office property located in
Midtown Manhattan occupied by a credit tenant, the other four loans
(79.2%) are secured by retail properties in secondary and tertiary
markets and are subject to refinance risk including high submarket
vacancies and rollover concerns. All of the loans have remained
current since issuance with stable debt service coverage ratios and
current occupancies between 89% and 100%, per the most recent
servicer reporting. Due to the concentrated nature of the pool,
Fitch performed a sensitivity analysis which grouped the remaining
loans based on loan structural features, collateral quality and
performance and ranked them by their perceived likelihood of
repayment. The ratings reflect this sensitivity analysis.
Amortization and Maturity Concentration: All of the remaining loans
are currently amortizing, one of which is fully amortizing (20.8%
of pool). The fully amortizing 1166 Avenue of the Americas loan is
expected to pay in full by November 2018. The other four retail
loans (79.2%) are amortizing balloon loans with scheduled
maturities in 2020.
RATING SENSITIVITIES
The Stable Outlooks on classes E and F reflect sufficient credit
enhancement to the classes. Future upgrades are not likely as the
ratings are capped due to the concentrated nature of the pool and
underlying collateral quality. Downgrades are possible if pool
performance deteriorates or loans default at maturity.
Fitch has affirmed the following classes:
-- $16.2 million class E at 'BBsf'; Outlook revised to Stable
from Positive;
-- $23.5 million class F at 'Bsf'; Outlook Stable;
-- $17.4 million class G at 'Dsf'; RE 80%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%;
-- $0 class Q at 'Dsf'; RE 0%;
-- $0 class S at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-AB, A-4, A-1A, A-M, A-J, B, C, CM-1,
CM-2, CM-3, and CM-4 certificates have paid in full. Fitch does not
rate the class T certificate. Fitch previously withdrew the ratings
on the interest-only class X-CP and X-CL certificates.
Fitch also does not rate the SP-1 through SP-7 rake classes, which
are specific to the Station Place I $63 million B-note. The senior
A-note for Station Place I was part of the pooled portion of the
trust, which has since paid in full.
LOANDEPOT STATION 2017-1: Moody's Assigns Ba1 Rating to Cl. E Debt
------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to five
classes of residential mortgage-backed securities (RMBS) issued by
loanDepot Station Place Agency Securitization Trust 2017-1. The
ratings range from Aaa (sf) to Ba1 (sf).
The securities are backed by a revolving pool of newly originated
first-lien, fixed rate, agency eligible residential mortgage loans.
The collateral pool balance is $300,000,000.
The complete rating actions are:
Issuer: loanDepot Station Place Agency Securitization Trust 2017-1
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned Aa3 (sf)
Cl. C, Definitive Rating Assigned A3 (sf)
Cl. D, Definitive Rating Assigned Baa2 (sf)
Cl. E, Definitive Rating Assigned Ba1 (sf)
RATINGS RATIONALE
loanDepot Station Place Agency Securitization Trust 2017-1 is a
securitization backed by a revolving warehouse facility sponsored
by loanDepot.com, LLC (loanDepot, unrated). The facility's
collateral will be newly originated, first-lien, fixed-rate,
residential mortgage loans eligible for purchase by Fannie Mae or
Freddie Mac or for guarantee by Ginnie Mae (the agencies).
We base Moody's Aaa expected losses of 34.00% and base case
expected losses of 3.20% on a scenario in which loanDepot does not
pay the aggregate repurchase price to pay off the notes at the end
of the facility's one-year revolving term, and the repayment of the
notes will depend on the credit performance of the remaining static
pool of mortgage loans. To assess the credit quality of the static
pool, Moody's created a hypothetical adverse pool based on the
facility's eligibility criteria. Moody's analyzed the pool using
Moody's US MILAN model and made additional pool level adjustments
to account for risks related to weakness in the overall enforcement
of the representation and warranties. Moody's also adjusted Moody's
credit enhancement levels to account for the presence of private
mortgage insurance in loans with above 80% Loan-to-Value Ratios
(LTVs). The final rating levels are based on Moody's evaluation of
the credit quality of the collateral as well as the transaction's
structural and legal framework.
The ratings on the notes during the revolving period will be the
rating of the notes based on the credit quality of the mortgage
loans backing the notes. If the notes are not repaid at the
two-year repo agreement term or loanDepot otherwise defaults on its
obligations as repo seller under the master repurchase agreement,
the ratings on the notes will only reflect the credit of the
mortgage loans backing the notes.
The final rating levels are based on Moody's evaluation of the
credit quality of the collateral as well as the transaction's
structural and legal framework.
Collateral Description:
The mortgage loans will be newly originated, agency-eligible,
first-lien, fixed-rate mortgage loans that also comply with the
eligibility criteria set forth in the master repurchase agreement.
The aggregate principal balance of the purchased loans at closing
will be $300,000,000. Per the transaction documents, the mortgage
pool will have a minimum weighted average FICO of 715 and a maximum
weighted average LTV of 85%.
The ultimate composition of the pool of mortgage loans remaining in
the facility at the end of the two-year term upon default of
loanDepot is unknown. Moody's modeled this risk through evaluating
the credit risk of an adverse pool constructed using the
eligibility criteria. In generating the adverse pool, Moody's 1)
Assumed the worst numerical value from the criteria range for each
loan characteristic. For example, 35% of loans in the adverse pool
had a FICO score of below 700 (per eligibility criteria), 2)
Assumed risk layering for the loans in the pool within the
eligibility criteria. For example, loans with the highest LTV also
had the lowest FICO to the extent permitted by the eligibility
criteria, and 3) Took into account the specified restrictions in
the eligibility criteria such as the weighted average LTV and
FICO.
The loans will be originated by loanDepot, which is approved as
seller/ servicer by Fannie Mae, Freddie Mac, Ginnie Mae, FHA and
VA.
loanDepot will service the loans and U.S. Bank National Association
will be the standby servicer. At the transaction closing date, the
servicer acknowledges that it is servicing the purchased loans for
the joint benefit of the issuer and the indenture trustee.
Transaction Structure:
Our analysis of the securitization structure includes reviewing
bankruptcy remoteness, assessing the ability of the indenture
trustee to take possession of the collateral in an event of
default, conformity of the collateral with the eligibility criteria
as well as allocation of funds to the notes.
The transaction is structured as a master repurchase agreement
between loanDepot (the repo seller)and the loanDepot Station Place
Agency Securitization Trust 2017-1 (the trust or issuer). The total
securitized portfolio is $300,000,000. The mortgage loans are
originated by loanDepot in accordance with the agencies'
guidelines, as well as participation certificates representing 100%
beneficial interests in such mortgage loans.
The U.S. Bankruptcy Code provides repurchase agreements, security
contracts and master netting agreements a "safe harbor" from the
Bankruptcy Code automatic stay. Due to this safe harbor, in the
event of a bankruptcy of loanDepot, the issuer will be exempt from
the automatic stay and thus, the issuer will be able to exercise
remedies under the master repurchase agreement, which includes
seizing the collateral.
During the revolving period, the repo seller's obligations will
include making timely payments of interest accrued on the notes as
well as the aggregate monthly fees. Failure to make such payments
will constitute a repo trigger event whereby the indenture trustee
will seize the collateral and terminate the repo agreement. It is
expected that the notes will not receive payments of principal
until the expected maturity date or after the occurrence and
continuance of an event of default under the Indenture unless the
repo seller makes an optional prepayment. In an event of default,
principal will be distributed sequentially amongst the classes.
Realized losses will be allocated in a reverse sequential order.
Ongoing Due Diligence
During the revolving period, Clayton Services LLC will conduct due
diligence every 90 days on 100 randomly selected loans. The first
sample will be drawn 30 days after the Closing Date. The scope of
the review will include credit underwriting, regulatory compliance,
valuation and data integrity.
Because Moody's analysis is based on a scenario in which the
facility terms out, due diligence reviews provide some control on
the credit quality of the collateral. The due diligence framework
in this transaction combined with the collateral eligibility
controls help mitigate the risks of adverse selection in this
transaction.
Representation and Warranties
For a mortgage loan to qualify as an eligible mortgage loan, the
loan must meet loanDepot's representations and warranties. The
substance of the representations and warranties are consistent with
those in Moody's published criteria for representations and
warranties for U.S. RMBS transactions. After a repo event of
default, which includes the repo seller or buyer's failure to
purchase or repurchase mortgage loans from the facility, the repo
seller or buyer's failure to perform its obligations or comply with
stipulations in the master repurchase agreement, bankruptcy or
insolvency of the buyer or the repo seller, any breach of covenant
or agreement that is not cured within the required period of time,
as well as the repo seller's failure to pay price differential when
due and payable pursuant to the master repurchase agreement, a
delinquent loan reviewer will conduct a review of loans that are
more than 120 days delinquent to identify any breaches of the
representations and warranties provided by the underlying sellers.
Loans that breach the representations and warranties will be
putback to the repo seller for repurchase.
While the transaction has the above described representation and
warranties enforcement mechanism, in the amortization period, after
an event of default where the repo seller did not pay the notes in
full, it is unlikely that the repo seller will repurchase the
loans. In addition, the noteholders (holding 100% of the aggregate
principal amount of all notes) may waive the requirement to appoint
such delinquent loan reviewer.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and the state of the housing
market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a weaker collateral composition than that in the
adverse pool, financial distress of any of the counterparties.
Transaction performance also depends greatly on the US macro
economy and housing market.
Significant Influences
Deterioration in economic conditions greater than Moody's current
expectations can have a significant impact on the transaction's
ratings. In addition, this transaction has a high degree of
operational complexity. The failure of any party to perform its
duties can expose the transaction to losses.
Methodology
The principal methodology used in these ratings was "Moody's
Approach to Rating US Prime RMBS" published in February 2015.
MERRILL LYNCH 2004-MKB1: Fitch Affirms CCC Rating on Class N Certs
------------------------------------------------------------------
Fitch Ratings has upgraded one class and affirmed three classes of
Merrill Lynch Mortgage Trust (MLMT) 2004-MKB1 commercial mortgage
pass-through certificates.
KEY RATING DRIVERS
The upgrade to class M reflects the increasing credit enhancement
due to the continued paydown and the relatively stable performance
of the remaining loans.
Pool Concentration: The pool is concentrated with only five loans
remaining, down from 72 at issuance.
Remaining Collateral: The remaining collateral consists of two
office properties (78.5%) and three retail properties (21.5%). All
loans are fully amortizing except the Georgetown Medical Plaza
Office Building loan (55.1%), which is the largest remaining loan
and is secured by a medical office property located in
Indianapolis, IN. It is 100% leased to Indiana University Health
through July 2018. The loan's ARD date was March 1, 2014 and the
loan has remained current. The master servicer reports that the
loans sponsor and the tenant are currently negotiating a lease
renewal.
Maturities: The largest loan has a final maturity date of March
2034. The remaining loans mature in 2019 (21.5%) and 2024 (23.4%).
RATING SENSITIVITIES
The Rating Outlook on classes L and M remains Stable due to
sufficient credit enhancement and continued paydown. A further
upgrade to class M is unlikely given the pool concentration. An
upgrade to class N is possible if a lease renewal is finalized for
the Georgetown Medical Plaza Office Building loan. Conversely, a
downgrade is possible if a renewal is unsuccessful.
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.
Fitch upgrades the following class:
-- $4.9 million class M to 'BBBsf' from 'BBsf'; Outlook Stable.
Fitch has affirmed the following classes:
-- $116,306 class L at 'Asf'; Outlook Stable;
-- $2.5 million class N at 'CCCsf'; RE 100%;
-- $1.8 class P at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-4, A-1A, B, C, D, E, F, G, H, J, K
Certificates have paid in full. Fitch does not rate the class Q
certificates. Fitch previously withdrew the rating on the
interest-only class XC and XP certificates.
ML-CFC COMMERCIAL 2007-6: Moody's Affirms Ba1 Rating on Cl. AM Debt
-------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on ten classes
in ML-CFC Commercial Mortgage Trust 2007-6, Commercial Mortgage
Pass-Through Certificates, Series 2007.:
Cl. AM, Affirmed Ba1 (sf); previously on Dec 1, 2016 Affirmed Ba1
(sf)
Cl. AJ, Affirmed Caa2 (sf); previously on Dec 1, 2016 Downgraded to
Caa2 (sf)
Cl. B, Affirmed Caa3 (sf); previously on Dec 1, 2016 Downgraded to
Caa3 (sf)
Cl. C, Affirmed C (sf); previously on Dec 1, 2016 Downgraded to C
(sf)
Cl. D, Affirmed C (sf); previously on Dec 1, 2016 Affirmed C (sf)
Cl. E, Affirmed C (sf); previously on Dec 1, 2016 Affirmed C (sf)
Cl. F, Affirmed C (sf); previously on Dec 1, 2016 Affirmed C (sf)
Cl. G, Affirmed C (sf); previously on Dec 1, 2016 Affirmed C (sf)
Cl. H, Affirmed C (sf); previously on Dec 1, 2016 Affirmed C (sf)
Cl. X, Affirmed Ca (sf); previously on Jun 9, 2017 Downgraded to Ca
(sf)
RATINGS RATIONALE
The rating on one P&I class, Cl. AM, 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 on the eight P&I classes, Classes AJ, B, C, D, E, F, G,
and H, were affirmed because the ratings are consistent with
Moody's expected loss.
The rating on the IO class, Cl. X, was affirmed based on the credit
quality of the referenced classes.
Moody's rating action reflects a base expected loss of 50.8% of the
current pooled balance, compared to 21.9% at Moody's last review.
Moody's base expected loss plus realized losses is now 15.9% of the
original pooled balance, compared to 17.0% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The 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.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 47% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then applies the aggregate loss
from specially serviced loans to the most junior classes and the
recovery as a pay down of principal to the most senior classes.
DEAL PERFORMANCE
As of the November 14, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 75% to $541.4
million from $2.1 billion at securitization. The certificates are
collateralized by 22 mortgage loans ranging in size from less than
1% to 24% 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 8, compared to 24 at Moody's last review.
Three loans, constituting 30% 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.
Sixteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $66.3 million (for an average loss
severity of 44%). Sixteen loans, constituting 47% of the pool, are
currently in special servicing. The largest specially serviced loan
is Blackpoint Puerto Rico Retail ($84.7 million -- 15.6% of the
pool), which is secured by six retail properties located throughout
Puerto Rico. The properties range in size from 53,000 to 306,000
square feet (SF) and total 855,000 SF. The loan transferred to
special servicing in February 2012 due to imminent maturity default
when the borrower expressed an inability to pay off the loan at
maturity. Only one property did not sustain any roof damage from
Hurricane Maria: Guaynabo -- Los Jardines. The loan has blanket
building and personal property coverage and business interruption
insurance.
The second largest loan in special servicing is 1001 Frontier
($37.95 million -- 7.0% of the pool), which is secured by a 224,000
SF single tenant office property located in Bridgewater, New
Jersey. The property is 100% occupied by Phillips-Van Heusen
Corporation through February 2021. The loan transferred to special
servicing in March 2017 due to maturity default. The special
servicer is currently pursing foreclosure. The property is also
encumbered by $4 million of mezzanine financing. Moody's has
assumed a loss on this loan.
The third largest loan in special servicing is the SFG Portfolio
($17.5 million -- 3.2% of the pool), which is secured by four
industrial flex properties totaling 330,000 SF located in Fort
Wayne (three properties) and South Bend (one property), Indiana.
The loan transferred to special servicing in September 2016 due to
imminent non-monetary default. The mezannine holder foreclosed on
the borrower in April 2016 due to a lien placed on the collateral.
The special servicer foreclosed on the mezzanine lender and the
collateral became real estate owned (REO) in September 2017. The
three Fort Wayne properties are 100% leased to single-tenant users
while the South Bend property is 45% leased. The servicers strategy
is to lease-up the South Bend property. Moody's has assumed a loss
on this loan.
The remaining 13 specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $128.5 million loss
for the specially serviced loans (47% expected loss on average).
Moody's received full year 2016 operating results for 100% of the
pool, and full or partial year 2017 operating results for 100% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 128%, compared to 107% 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 1% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 10.2%.
The three conduit loans represent 30% of the pool balance. The
largest loan is the MSKP Retail Portfolio -- A -- A-1 note Loan
($129.5 million -- 23.9% of the pool), which is secured by eight
retail properties located throughout four separate markets in
Florida. The properties range in size from 64,000 to 230,000 SF and
total 1.28 million SF. The loan transferred to special servicing in
March 2011 due to imminent monetary default and a loan modification
was executed in March 2012. Terms of the modification included a
bifurcation of the original loan into a $130.3 million A-1 Note and
$93.1 million subordinate A-2 Note (Hope Note) along with a
maturity date extension of two years to March 2019. The subordinate
A-2 Note has a 0% pay rate and has created ongoing interest
shortfalls to the trust. The A-1 note had a principal curtailment
payment of $784,730 in May 2016. The loan returned to the master
servicer in November 2012 and is performing under the modified
terms. As of September 2017, the portfolio 85% leased compared to
78% leased in September 2016. Moody's considers the $93.1 million
subordinate A-2 Note a troubled loan and recognized a significant
loss against it. Moody's LTV and stressed DSCR on the A-1 Note are
126% and 0.79X, respectively, unchanged from the prior review.
The second largest loan is the MSKP Retail Portfolio -- B -- A-1
note Loan ($29.7 million -- 5.5% of the pool), which is secured by
two retail properties totaling over 200,000 SF in Florida. The loan
was modified in October 2012. Terms of the modification included a
bifurcation of the original loan into a $29.7 million A-1 note and
$29.7 million subordinate A-2 Note and maturity date extension to
March 2019. The loan transferred back to the special servicer in
December 2015 due to imminent default. The borrower requested a
second modification for the redevelopment of Plaza Del Mar. The
redevelopment includes demolishing 50,000 SF and rebuilding a
build-to-suit 29,000 SF Publix Supermarket and Liquors. The total
cost of the redevelopment is expected to be $6 million. The
borrower contributed $4.2 million and excess cash flow from the
properties will be used to fund the remaining costs. If the Publix
Supermarket lease is included, as of September 2017, the portfolio
was 93% leased. Excluding the Publix Supermarket lease, as of
September 2017, the portfolio was 77% leased. Moody's LTV and
stressed DSCR are 141% and 0.73X, respectively, compared to 153%
and 0.67X at the last review.
The third largest loan is the Riverside Corporate Center Loan ($4.5
million -- 0.8% of the pool), which is secured by a 75,000 SF flex
industrial warehouse located in Belcamp, Maryland. As of November
2017, the property was 77% leased. Performance has declined
slightly since 2014, due to declining revenue while expenses
remained flat. Moody's LTV and stressed DSCR are 110% and 0.91X,
respectively, compared to 106% and 0.94X at the last review.
MMCF CLO 2017-1: S&P Assigns Prelim BB Rating on Class D Notes
--------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to MMCF CLO
2017-1 LLC's $352 million fixed- and floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed primarily by middle-market speculative-grade senior secured
term loans.
The preliminary ratings are based on information as of Dec. 4,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The diversified collateral pool, which consists primarily of
middle-market speculative-grade senior secured term loans.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The 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.
-- The transaction's exposure to counterparty risk via closing
date participation interests, which is expected to be mitigated by
certain rating considerations.
PRELIMINARY RATINGS ASSIGNED
MMCF CLO 2017-1 LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 231.70
A-2 AA (sf) 48.30
B-1 (deferrable) A (sf) 15.00
B-2 (deferrable) A (sf) 9.00
C (deferrable) BBB (sf) 22.90
D (deferrable) BB (sf) 25.10
Preferred interests NR 47.90
NR--Not rated.
MORGAN STANLEY 2007-HQ11: Moody's Cuts Cl. A-J Debt Rating to B1
----------------------------------------------------------------
Moody's Investors Service downgraded three and affirmed eight
classes of Morgan Stanley Capital I Inc. Commercial Mortgage
Pass-Through Certificates Series 2007-HQ11:
Cl. A-J, Downgraded to B1 (sf); previously on Dec 2, 2016
Downgraded to Ba2 (sf)
Cl. B, Downgraded to Caa3 (sf); previously on Dec 2, 2016
Downgraded to B2 (sf)
Cl. C, Downgraded to C (sf); previously on Dec 2, 2016 Downgraded
to Caa3 (sf)
Cl. D, Affirmed C (sf); previously on Dec 2, 2016 Downgraded to C
(sf)
Cl. E, Affirmed C (sf); previously on Dec 2, 2016 Downgraded to C
(sf)
Cl. F, Affirmed C (sf); previously on Dec 2, 2016 Downgraded to C
(sf)
Cl. G, Affirmed C (sf); previously on Dec 2, 2016 Affirmed C (sf)
Cl. H, Affirmed C (sf); previously on Dec 2, 2016 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Dec 2, 2016 Affirmed C (sf)
Cl. K, Affirmed C (sf); previously on Dec 2, 2016 Affirmed C (sf)
Cl. X, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The ratings on three P&I Classes (A-J, B & C) were downgraded due
to an increase in anticipated losses from specially serviced loans.
Specially serviced loans comprise 98.8% of the deal.
The ratings on seven P&I Classes (D, E, F, G, H, J & K) were
affirmed due to Moody's expected loss.
The rating on the IO Class (X) was affirmed based on the credit
performance of its referenced classes.
Moody's rating action reflects a base expected loss of 67.6% of the
current balance, compared to 27.1% at Moody's last review. Moody's
base expected loss plus realized losses is now 11.7% of the
original pooled balance, compared to 12.2% 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 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.
Moody's analysis incorporated a loss and recovery approach in
rating the ten P&I classes in this deal since 98.8% of the pool is
in special servicing. In this approach, Moody's determines a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then applies the aggregate loss
from specially serviced loans to the most junior classes and the
recovery as a pay down of principal to the most senior classes.
DEAL PERFORMANCE
As of the November 14, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 89.0% to $266.4
million from $2.42 billion at securitization. The certificates are
collateralized by nine mortgage loans ranging in size from less
than 1% to 49.9% of the pool.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 3, compared to 10 at Moody's last review.
Thirty-five loans have been liquidated from the pool, resulting in
an aggregate realized loss of $103.9 million (for an average loss
severity of 27.5%). Eight loans, constituting 98.8% of the pool,
are currently in special servicing.
The specially serviced loans are secured by a mix of office and
retail properties. Moody's estimates an aggregate $179.6 million
loss for the specially serviced loans (68.2% expected loss on
average).
The largest specially serviced loan is the Galleria at Pittsburgh
Mills Loan ($133 million -- 49.9% of the pool), which is secured by
an 880,000 square foot collateral portion of a super-regional mall
located in Tarentum, Pennsylvania. The mall's financial performance
has declined sharply in recent years, largely mirroring a decline
in overall occupancy. The departure of anchor tenant Sears in late
2015 triggered co-tenancy clauses at the property causing several
in-line tenant leases to revert to minimum rent as a percentage of
sales leases, further contributing to the decline in performance.
The mall was 53.5% occupied as of August 2017 down from 57% in
October 2016 and 87% in June 2015. The Loan transferred to special
servicing in February 2015 due to Imminent Balloon/Maturity
Default. The special servicer took title to the property after it
foreclosed in January 2017.
The second loan in special servicing is the 950 L'Enfant Plaza Loan
($89.8 million -- 33.7% of the pool), which is secured by a 272,000
square foot office property located in the southwest office
submarket of Washington, DC. The property sits above an underground
retail mall which houses a food court and local services. It also
connects to the L'Enfant Plaza metro station which is served by
five train lines. The Loan was set to mature in December 2016 and
transferred to special servicing in March 2016 due to the upcoming
loan maturity, significant lease rollover in 2018 and the
Borrower's request for a loan restructure. The property is leased
primarily to the US Government and was 88% occupied as of April
2017, unchanged since March 2016.
There is only one performing loan, the Walgreens -- Indianapolis
Loan ($3.1 million -- 1.2% of the pool), which is secured by a
13,905 square foot stand-alone property located in Fishers, Indiana
approximately 18 miles northeast of Indianapolis. The property
which is currently vacant, is 100% leased to Walgreens on a long
term triple-net lease with termination options every 5 years
beginning in November 2019. The loan has amortized over 18%.
Moody's LTV and stressed DSCR are 129.5% and 0.79X, respectively,
compared to 99.9% and 0.98X at last review.
MORTGAGE CAPITAL 1998-MC2: Moody's Affirms C Rating on Cl. X Certs
------------------------------------------------------------------
Moody's Investors Service has affirmed the rating of one class of
Mortgage Capital Funding, Inc., Multifamily/Commercial Mortgage
Pass-Through Certificates, Series 1998-MC2:
Cl. X, 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 its referenced class. The IO class is the only outstanding
Moody's-rated class in this transaction.
Moody's does not anticipate losses from the remaining collateral in
the current environment. However, over the remaining life of the
transaction, losses may emerge from macro stresses to the
environment and changes in collateral performance. Moody's ratings
reflect the potential for future losses under varying levels of
stress.
Moody's base expected loss plus realized losses is now 1.5% of the
original pooled balance, the same as at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
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 Cl. X was "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the November 20, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by over 99% to $132,872
from $1.01 billion at securitization. The Certificates are
collateralized by one mortgage loan.
Eight loans have been liquidated from the pool, resulting in an
aggregate realized loss of $15.5 million (for an average loss
severity of 29.0%). Currently, there is no loan in special
servicing nor on the master servicer's watchlist.
The one remaining loan is the Courtesy Town Center Loan ($132,872
-- 100% of the pool), which is secured by a 35,200 SF retail center
located in Newport, North Carolina. Financial performance has been
stable. The property was 95% leased as of December 2016. The loan
is fully amortizing and matures in February 2018. The loan has
amortized 94% since securitization. Moody's LTV and stressed DSCR
are 8% and greater than 4.00X, respectively, compared to 17% and
greater than 4.00X at the last review.
OAKTREE CLO 2015-1: S&P Gives Prelim BB(sf) Rating on D-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R, A-2A-R, A-2B-R, B-R, C-R, and D-R replacement notes from
Oaktree CLO 2015-1 Ltd., a collateralized loan obligation (CLO)
originally issued in 2015 that is managed by Oaktree Capital
Management L.P. The replacement notes will be issued via a proposed
supplemental indenture and carry a lower spread over LIBOR than the
original notes.
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 Dec. 1,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Dec. 22, 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 weighted average life test
to Sept. 3, 2024, from Sept. 3, 2023.
Extend the non-call period to Dec. 22, 2018, from Oct. 20, 2017.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"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
Oaktree CLO 2015-1 Ltd.
Replacement class Rating Amount (mil. $)
A-1-R AAA (sf) 310.00
A-2A-R AA (sf) 60.50
A-2B-R AA (sf) 14.50
B-R A (sf) 26.00
C-R BBB (sf) 25.50
D-R BB (sf) 23.00
OCTAGON INVESTMENT 33: S&P Assigns BB- Rating on Class D Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Octagon Investment
Partners 33 Ltd.'s $183.025 million floating-rate and combination
notes.
The note issuance is a collateralized loan obligation backed by a
diversified collateral pool, which consists primarily of broadly
syndicated, speculative-grade senior secured term loans.
The ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated, speculative-grade senior secured term loans
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 said, "Our principal-only rating on the class R combination
notes, which consist of the $16.15 million class A-1 notes, $2.80
million class A-2 notes, $20.00 million class B notes, $1.50
million class C notes, $0.98 million class D notes, and $5.60
million subordinated 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
Octagon Investment Partners 33 Ltd.
Class Rating Amount
(mil. $)
A-1 NR 323.00
A-2 AA (sf) 56.00
B A (sf) 30.50
C BBB- (sf) 30.00
D BB- (sf) 19.50
Subordinated notes NR 50.95
R combination notes(i) A-p (sf) 47.025
(i)The class R combination notes are backed by $16.15 million class
A-1 notes, $2.80 million class A-2 notes, $20.00 million class B
notes, $1.50 million class C notes, $0.98 million class D notes,
and $5.60 million subordinated notes.
3ML--Three-month LIBOR.
p--Principal only.
NR--Not rated.
OHA CREDIT XIV: S&P Assigns BB-(sf) Rating on Class E Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to OHA Credit Partners XIV
Ltd./OHA Credit Partners XIV LLC's $379.225 million floating-rate
notes.
The note issuance is a collateralized loan obligation (CLO)
transaction backed primarily by a revolving pool consisting
primarily of broadly syndicated speculative-grade senior secured
term loans that are governed by collateral quality tests.
The ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
OHA Credit Partners XIV Ltd./OHA Credit Partners XIV LLC
Class Rating Amount
(mil. $)
X AAA (sf) 3.500
A-1 AAA (sf) 253.700
A-2 NR 19.875
B AA (sf) 53.750
C (deferrable) A (sf) 26.350
D (deferrable) BBB- (sf) 26.075
E (deferrable) BB- (sf) 15.850
Subordinated notes NR 39.650
NR--Not rated.
ONEMAIN DIRECT 2017-2: Moody's Assigns (P)Ba2 Rating to Cl. E Debt
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
notes to be issued by OneMain Direct Auto Receivables Trust 2017-2
(ODART 2017-2). This is the second ODART auto loan transaction of
the year. The notes will be backed by a revolving pool of retail
automobile loan contracts originated by affiliates of OneMain
Financial Holdings, LLC (OMF; B1 positive). OMF is also the
servicer for the transaction.
The complete rating actions are:
Issuer: OneMain Direct Auto Receivables Trust 2017-2
Class A Notes, Assigned (P)Aaa (sf)
Class B Notes, Assigned (P)Aa2 (sf)
Class C Notes, Assigned (P)A2 (sf)
Class D Notes, Assigned (P)Baa2 (sf)
Class E Notes, Assigned (P)Ba2 (sf)
RATINGS RATIONALE
The ratings are based on the quality of the underlying collateral
and its expected performance, the strength of the capital
structure, and the experience and expertise of OMF as the
servicer.
Moody's median cumulative net loss expectation for the 2017-2 pool
is 5.0% and the Aaa level is 47.0%. The Aaa level is the level of
credit enhancement consistent with a Aaa (sf) rating. Moody's based
its cumulative net loss expectation and Aaa level on an analysis of
the credit quality of the underlying collateral; the historical
performance of similar collateral, including securitization
performance and managed portfolio performance; the ability of OMF
to perform the servicing functions; and current expectations for
the macroeconomic environment during the life of the transaction.
At closing, the Class A notes, Class B notes, Class C notes, Class
D, and Class E notes are expected to benefit from 41.00%, 27.00%,
18.00%, 10.00%, and 4.00% of hard credit enhancement, respectively.
Hard credit enhancement for the notes consists of a combination of
overcollateralization, a non-declining reserve account, and
subordination, except for the Class E notes, which do not benefit
from subordination. The notes will also benefit from excess
spread.
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
October 2016.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the subordinate notes if, given current
expectations of portfolio losses, levels of credit enhancement are
consistent with higher ratings. In sequential pay structures, such
as the one in this transaction, credit enhancement grows as a
percentage of the collateral balance as collections pay down senior
notes. Prepayments and interest collections directed toward note
principal payments will accelerate this build of enhancement.
Moody's expectation of pool losses could decline as a result of a
lower number of obligor defaults or appreciation in the value of
the vehicles securing an obligor's promise of payment. Portfolio
losses also depend greatly on the US job market, the market for
used vehicles, and changes in servicing practices.
Down
Moody's could downgrade the notes if, given current expectations of
portfolio losses, levels of credit enhancement are consistent with
lower ratings. Credit enhancement could decline if excess spread is
not sufficient to cover losses in a given month. Moody's
expectation of pool losses could rise as a result of a higher
number of obligor defaults or deterioration in the value of the
vehicles securing an obligor's promise of payment. Portfolio losses
also depend greatly on the US job market, the market for used
vehicles, and poor servicing. Other reasons for worse-than-expected
performance include error on the part of transaction parties,
inadequate transaction governance, and fraud.
SEQUOIA MORTGAGE 2017-CH2: Moody's Rates Cl. B-5 Debt 'Ba3'
-----------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
classes of residential mortgage-backed securities (RMBS) issued by
Sequoia Mortgage Trust (SEMT) 2017-CH2, except for the
interest-only classes. The certificates are backed by one pool of
prime quality, first-lien mortgage loans.
SEMT 2017-CH2 is the second securitization that includes loans
acquired by Redwood Residential Acquisition Corporation ("Redwood"
or "Seller"), a subsidiary of Redwood Trust, Inc., under its
expanded credit prime loan program called "Redwood Choice".
Redwood's Choice program is a prime program with credit parameters
outside of Redwood's traditional prime jumbo program, "Redwood
Select." The Choice program expands the low end of Redwood's FICO
range to 661 from 700, while increasing the high end of eligible
loan-to-value ratios from 85% to 90%. The pool also includes loans
with non-QM characteristics (28.5%), such as debt-to-income ratios
up to 50.6%. Non-QM loans were acquired by Redwood under each of
the Select and Choice programs.
The assets of the trust consist of 420 fixed rate mortgage loans,
all of which are fully amortizing, except for one mortgage loan
that has an interest-only term. The mortgage loans have an original
term to maturity of 30 years except for one loan which has an
original term to maturity of 20 years and another loan of 25 years.
The loans were sourced from multiple originators and acquired by
Redwood. All of the loans conform to the Seller's guidelines,
except for loans originated by First Republic Bank, which were
originated to conform with First Republic Bank's guidelines.
The transaction benefits from nearly 100% due diligence of data
integrity, credit, property valuation, and compliance conducted by
an independent third-party firm.
CitiMortgage Inc. will act as the master servicer of the loans in
this transaction. Shellpoint Mortgage Servicing and First Republic
Bank will be primary servicers on the deal.
The complete rating actions are:
Issuer: Sequoia Mortgage Trust 2017-CH2
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-5, Definitive Rating Assigned Aaa (sf)
Cl. A-6, Definitive Rating Assigned Aaa (sf)
Cl. A-7, Definitive Rating Assigned Aaa (sf)
Cl. A-8, Definitive Rating Assigned Aaa (sf)
Cl. A-9, Definitive Rating Assigned Aaa (sf)
Cl. A-10, Definitive Rating Assigned Aaa (sf)
Cl. A-11, Definitive Rating Assigned Aaa (sf)
Cl. A-12, Definitive Rating Assigned Aaa (sf)
Cl. A-13, Definitive Rating Assigned Aaa (sf)
Cl. A-14, Definitive Rating Assigned Aaa (sf)
Cl. A-15, Definitive Rating Assigned Aaa (sf)
Cl. A-16, Definitive Rating Assigned Aaa (sf)
Cl. A-17, Definitive Rating Assigned Aaa (sf)
Cl. A-18, Definitive Rating Assigned Aaa (sf)
Cl. A-19, Definitive Rating Assigned Aa2 (sf)
Cl. A-20, Definitive Rating Assigned Aa2 (sf)
Cl. A-21, Definitive Rating Assigned Aa2 (sf)
Cl. A-22, Definitive Rating Assigned Aa1 (sf)
Cl. A-23, Definitive Rating Assigned Aa1 (sf)
Cl. A-24, Definitive Rating Assigned Aa1 (sf)
Cl. B-1A, Definitive Rating Assigned Aa3 (sf)
Cl. B-1B, Definitive Rating Assigned Aa3 (sf)
Cl. B-2A, Definitive Rating Assigned A2 (sf)
Cl. B-2B, Definitive Rating Assigned A2 (sf)
Cl. B-3, Definitive Rating Assigned A3 (sf)
Cl. B-4, Definitive Rating Assigned Baa3 (sf)
Cl. B-5, Definitive Rating Assigned Ba3 (sf)
RATINGS RATIONALE
Summary Credit Analysis
Moody's expected cumulative net loss on the aggregate pool is 1.00%
in a base scenario and reaches 10.90% at a stress level consistent
with Moody's Aaa scenario. Moody's Aaa stress loss is higher than
the senior credit enhancement of 10.00%. Moody's took this
difference into account in Moody's ratings of the senior classes.
Moody's loss estimates are based on a loan-by-loan assessment of
the securitized collateral pool using Moody's Individual Loan Level
Analysis (MILAN) model. Loan-level adjustments to the model
included: adjustments to borrower probability of default for higher
and lower borrower DTIs, borrowers with multiple mortgaged
properties, self-employed borrowers, origination channels and at a
pool level, for the default risk of HOA properties in super lien
states. The adjustment to Moody's Aaa stress loss above the model
output also includes adjustments related to aggregator and
originators assessments. The model combines loan-level
characteristics with economic drivers to determine the probability
of default for each loan, and hence for the portfolio as a whole.
Severity is also calculated on a loan-level basis. The pool loss
level is then adjusted for borrower, zip code, and MSA level
concentrations.
Collateral Description
The SEMT 2017-CH2 transaction is a securitization of 420 first lien
residential mortgage loans, with an aggregate unpaid principal
balance of $317,710,894. There are more than 100 originators in
this pool, including PrimeLending (7.6%). The remaining contributed
less than 5% of the principal balance of the loans in the pool. The
loan-level third party due diligence review (TPR) encompassed
credit underwriting, property value and regulatory compliance. In
addition, Redwood has agreed to backstop the rep and warranty
repurchase obligation of all originators other than First Republic
Bank.
SEMT 2017-CH2 includes loans acquired by Redwood under its Choice
program. Although from a FICO and LTV perspective, the borrowers in
SEMT 2017-CH2 are not the super prime borrowers included in
traditional SEMT transactions, these borrowers are prime borrowers
with a demonstrated ability to manage household finance. In
addition, the majority of borrowers have more than 24 months of
liquid cash reserves or enough money to pay the mortgage for two
years should there be an interruption to the borrower's cash flow.
Moreover, the borrowers on average have a monthly residual income
of $15,551. The WA FICO is 740, which is lower than traditional
SEMT transactions, which has averaged 769 in 2017 SEMT
transactions. The lower WA FICO for SEMT 2017-CH2 may reflect
recent mortgage lates (0x30x3, 1x30x12, 2x30x24) which are allowed
under the Choice program, but not under Redwood's traditional
product, Redwood Select (0x30x24). While the WA FICO may be lower
for this transaction, Moody's do not believe that the limited
mortgage lates demonstrates a history of financial mismanagement.
Moody's also note that SEMT 2017-CH2 is the second SEMT transaction
to include a significant number of non-QM loans (111) compared to
previous SEMT transactions, where the number of non-QM loans was
limited. Previously, 2017-CH1 had the largest number of non-QM
loans at 108 loans out of 409 loans.
Redwood's Choice program is in its early stages, having been
launched by Redwood in April 2016. In contrast to Redwood's
traditional program, Select, Redwood's Choice program allows for
higher LTVs, lower FICOs, non-occupant co-borrowers,
non-warrantable condos, limited loans with adverse credit events,
among other loan attributes. Under both Select and Choice, Redwood
also allows for loans with non-QM features, such as interest-only,
DTIs greater than 43%, asset depletion, among other loan
attributes.
However, Moody's note that Redwood historically has been on average
stronger than its peers as an aggregator of prime jumbo loans,
including a limited number of non-QM loans in previous SEMT
transactions. As of the September 2017 remittance report, there
have been no losses on Redwood-aggregated transactions that Moody's
have rated to date, and delinquencies to date have also been very
low. While in traditional SEMT transactions, Moody's have factored
this qualitative strength into Moody's analysis, in SEMT 2017-CH2,
Moody's have a neutral assessment of the Choice Program until
Moody's are able to review a longer performance history of Choice
mortgage loans.
Structural considerations
Similar to recent rated Sequoia transactions, in this transaction,
Redwood is adding a feature prohibiting the servicer, or securities
administrator, from advancing principal and interest to loans that
are 120 days or more delinquent. These loans on which principal and
interest advances are not made are called the Stop Advance Mortgage
Loans ("SAML"). The balance of the SAML will be removed from the
principal and interest distribution amounts calculations. Moody's
view the SAML concept as something that strengthens the integrity
of senior and subordination relationships in the structure. Yet, in
certain scenarios the SAML concept, as implemented in this
transaction, can lead to a reduction in interest payment to certain
tranches even when more subordinated tranches are outstanding. The
senior/subordination relationship between tranches is strengthened
as the removal of SAML in the calculation of the senior percentage
amount, directs more principal to the senior bonds and less to the
subordinate bonds. Further, this feature limits the amount of
servicer advances that could increase the loss severity on the
liquidated loans and preserves the subordination amount for the
most senior bonds. On the other hand, this feature can cause a
reduction in the interest distribution amount paid to the bonds;
and if that were to happen such a reduction in interest payment is
unlikely to be recovered. The final ratings on the bonds, which are
expected loss ratings, take into consideration Moody's expected
losses on the collateral and the potential reduction in interest
distributions to the bonds. Furthermore, the likelihood that in
particular the subordinate tranches could potentially permanently
lose some interest as a result of this feature was considered.
Moody's believe there is a low likelihood that the rated securities
of SEMT 2017-CH2 will incur any losses from extraordinary expenses
or indemnification payments owing to potential future lawsuits
against key deal parties. First, the loans are prime quality and
were originated under a regulatory environment that requires
tighter controls for originations than pre-crisis, which reduces
the likelihood that the loans have defects that could form the
basis of a lawsuit. Second, Redwood (or a majority-owned affiliate
of the sponsor), who will retain credit risk in accordance with the
U.S. Risk Retention Rules and provides a back-stop to the
representations and warranties of all the originators except for
First Republic Bank, has a strong alignment of interest with
investors, and is incentivized to actively manage the pool to
optimize performance. Third, the transaction has reasonably well
defined processes in place to identify loans with defects on an
ongoing basis. In this transaction, an independent breach reviewer
must review loans for breaches of representations and warranties
when a loan becomes 120 days delinquent, which reduces the
likelihood that parties will be sued for inaction.
Tail Risk & Subordination Floor
The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to increased performance
volatility, known as tail risk. The transaction provides for a
subordination floor of 1.90% ($6,036,506.99) of the closing pool
balance, which mitigates tail risk by protecting the senior bonds
from eroding credit enhancement over time. However, based on
Moody's tail risk analysis, the level of senior subordination floor
in SEMT 2017-CH2 may provide less protection against potential tail
risk than the floor in previous SEMT transactions.
Third-party Review and Reps & Warranties
One TPR firm conducted a due diligence review of 100% of the
mortgage loans in the pool. For 406 loans, the TPR firm conducted a
review for credit, property valuation, compliance and data
integrity ("full review") and limited review for 13 First Republic
loans and 1 PrimeLending loan. For the 14 loans, Redwood Trust
elected to conduct a limited review, which did not include a TPR
firm check for TRID compliance.
For the full review loans, the third party review found that the
majority of reviewed loans were compliant with Redwood's
underwriting guidelines and had no valuation or regulatory defects.
Most of the loans that were not compliant with Redwood's
underwriting guidelines had strong compensating factors.
Additionally, the third party review didn't identify material
compliance-related exceptions relating to the TILA-RESPA Integrated
Disclosure (TRID) rule for the full review loans.
No TRID compliance reviews were performed by the TPR firm on the
limited review loans. Therefore, there is a possibility that some
of these loans could have unresolved TRID issues. We, however
reviewed the initial compliance findings of loans from First
Republic Bank where a full review was conducted and there were no
material compliance findings. As a result, Moody's did not increase
Moody's Aaa loss for the limited review loans originated by First
Republic Bank.
The property valuation review conducted by the TPR firm consisted
of (i) a review of all of the appraisals for full review loans,
checking for issues with the comparables selected in the appraisal
and (ii) a value supported analysis for all loans. After a review
of the TPR appraisal findings, Moody's found the exceptions to be
minor in nature and did not pose a material increase in the risk of
loan loss.
The originators and Redwood have provided unambiguous
representations and warranties (R&Ws) including an unqualified
fraud R&W. There is provision for binding arbitration in the event
of dispute between investors and the R&W provider concerning R&W
breaches.
Trustee & Master Servicer
The transaction trustee is Wilmington Trust, National Association.
The paying agent and cash management functions will be performed by
Citibank, N.A. and the custodian functions will be performed by
Wells Fargo Bank, N.A., rather than the trustee. In addition,
CitiMortgage Inc., as Master Servicer, is responsible for servicer
oversight, and termination of servicers and for the appointment of
successor servicers. In addition, CitiMortgage is committed to act
as successor if no other successor servicer can be found.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
SLM STUDENT 2003-12: Fitch Affirms 'BBsf' Rating on Cl. B Notes
---------------------------------------------------------------
Fitch Ratings has affirmed SLM Student Loan Trust 2003-12:
-- Class A-5 notes at 'AAsf'; Outlook revised to Stable from
Negative;
-- Class A-6 notes at 'AAsf'; Outlook revised to Stable from
Negative;
-- Class B notes at 'BBsf'; Outlook Stable.
The transaction is performing as expected. Although cash flow
modelling indicates higher ratings for the class A-5 and A-6 notes,
the affirmation at 'AAsf' is due to the counterparty risk
introduced by the cross-currency swap, as the swap documents do not
contain a provision that would mandate a counterparty replacement
should the swap counterparty ratings fall below Fitch's required
rating level.
The affirmation of the class B notes is reflective of cash flow
modelling results supporting implied ratings at the commensurate
rating level.
KEY RATING DRIVERS
U.S. Sovereign Risk: The trust collateral comprises 100% Federal
Family Education Loan Program (FFELP) loans, with guaranties
provided by eligible guarantors and reinsurance provided by the
U.S. Department of Education (ED) for at least 97% of principal and
accrued interest. The U.S. sovereign rating is currently
'AAA'/Outlook Stable.
Collateral Performance: Fitch assumes a base case default rate of
15.25% and a 45.75% default rate under the 'AAA' credit stress
scenario. Fitch assumes a sustainable constant default rate of 2.4%
(assuming a weighted average life of 6.4 years) and a sustainable
constant prepayment rate (voluntary and involuntary) of 8.5% based
on data provided by the issuer. Fitch applies the standard default
timing curve in its credit stress cash flow analysis. The claim
reject rate is assumed to be 0.5% in the base case and 3.0% in the
'AAA' case. The trailing 12-month (TTM) levels of deferment,
forbearance and income-based repayment (prior to adjustment) are
approximately 4%, 8.2%, and 12.8%, respectively, and are used as
the starting point in cash flow modelling. Subsequent declines or
increases are modelled as per criteria. The borrower benefit is
assumed to be 0.2%.
Basis and Interest Rate Risk: Basis risk for this transaction
arises from any rate and reset frequency mismatch between interest
rate indices for SAP and the securities. As of August 2017, 12.8%
of the trust student loans are indexed to 91-day T-Bill and 87.2%
to one-month LIBOR. All notes are indexed to three-month LIBOR.
Fitch applies its standard basis and interest rate stresses to this
transaction as per criteria.
Payment Structure: Credit enhancement (CE) is provided by excess
spread and for the class A notes, subordination. As of August 2017,
total and senior effective parity ratio (including the reserve) are
100.51% (0.51% CE) and 105.34(5.07% CE), respectively. Liquidity
support is provided by a reserve account currently sized at is
floor of $3,759,518. The trust will continue to release cash as
long as the target total parity of 100% (excluding the reserve) is
maintained.
Maturity Risk: Fitch's student loan ABS cash flow model indicates
that the notes are paid in full on or prior to the legal final
maturity dates under the commensurate rating scenario.
Operational Capabilities: Day-to-day servicing is provided by
Navient Solutions. Fitch believes Navient to be an acceptable
servicer, due to its extensive track record as the largest servicer
of FFELP loans.
CRITERIA APPLICATION
Swap documents for SLM 2003-12 do not contain a provision that
would mandate a counterparty replacement should the swap
counterparty ratings fall below Fitch's required rating level per
Fitch's counterparty criteria. In addition, collateralization
criteria are broadly in line with Fitch's expectation, in spite of
lower volatility cushions than expected and no adjustments for
liquidity and FX risk in collateral valuation. Fitch assessed the
materiality of the inconsistencies against the available mitigants,
which included sufficient collateral posting and concluded that
contractual provisions can support ratings up to 'AAsf'; this
represents a criteria variation from Fitch's counterparty
criteria.
RATING SENSITIVITIES
'AAAsf' rated tranches of most FFELP securitizations will likely
move in tandem with the U.S. sovereign rating, given the strong
linkage to the U.S. sovereign by nature of the reinsurance and SAP
provided by ED. Sovereign risks are not addressed in Fitch's
sensitivity analysis.
Fitch conducted a CE sensitivity analysis by stressing both the
related lifetime default rate and basis spread assumptions. In
addition, Fitch conducted a maturity sensitivity analysis by
running different assumptions for the IBR usage and prepayment
rate. The results below should only be considered as one potential
model-implied outcome, as the transaction is exposed to multiple
risk factors that are all dynamic variables. Additionally, the
results do not take into account any rating cap considerations.
Credit Stress Rating Sensitivity
-- Default increase 25%: class A 'AAAsf'; class B 'BBsf';
-- Default increase 50%: class A 'AAAsf'; class B 'BBsf';
-- Basis Spread increase 0.25%: class A 'AAAsf'; class B 'CCCsf';
-- Basis Spread increase 0.50%: class A 'Asf'; class B 'CCCsf'.
Maturity Stress Rating Sensitivity
-- CPR decrease 50%: class A 'AAAsf'; class B 'BBsf';
-- CPR increase 100%: class A 'AAAsf'; class B 'Asf';
-- IBR Usage increase 100%: class A 'AAAsf'; class B 'BBBsf';
-- IBR Usage decrease 50%: class A 'AAAsf'; class B 'BBBsf'.
Stresses are intended to provide an indication of the rating
sensitivity of the notes to unexpected deterioration in trust
performance. Rating sensitivity should not be used as an indicator
of future rating performance.
STACR 2017-HRP1: Fitch to Rate 14 Note Classes 'Bsf'
----------------------------------------------------
Fitch Ratings expects to rate Freddie Mac's risk-transfer
transaction, Structured Agency Credit Risk Debt Notes Series
2017-HRP1 (STACR 2017-HRP1):
-- $25,000,000 class 'M-2A notes 'BBsf'; Outlook Stable;
-- $25,000,000 class M-2AR exchangeable notes 'BBsf'; Outlook
Stable;
-- $25,000,000 class M-2AS exchangeable notes 'BBsf'; Outlook
Stable;
-- $25,000,000 class M-2AT exchangeable notes 'BBsf'; Outlook
Stable;
-- $25,000,000 class M-2AU exchangeable notes 'BBsf'; Outlook
Stable;
-- $25,000,000 class M-2AD notes 'BBsf'; Outlook Stable;
-- $25,000,000 class M-2AI notional exchangeable notes 'BBsf';
Outlook Stable;
-- $25,000,000 class M-2B notes 'Bsf'; Outlook Stable;
-- $25,000,000 class M-2BR exchangeable notes 'Bsf'; Outlook
Stable;
-- $25,000,000 class M-2BS exchangeable notes 'Bsf'; Outlook
Stable;
-- $25,000,000 class M-2BT exchangeable notes 'Bsf'; Outlook
Stable;
-- $25,000,000 class M-2BU exchangeable notes 'Bsf'; Outlook
Stable;
-- $25,000,000 class M-2BD notes 'Bsf'; Outlook Stable;
-- $25,000,000 class M-2BI notional exchangeable notes 'Bsf';
Outlook Stable;
-- $50,000,000 class M-2 exchangeable notes 'Bsf'; Outlook
Stable;
-- $50,000,000 class M-2R exchangeable notes 'Bsf'; Outlook
Stable;
-- $50,000,000 class M-2S exchangeable notes 'Bsf'; Outlook
Stable;
-- $50,000,000 class M-2T exchangeable notes 'Bsf'; Outlook
Stable;
-- $50,000,000 class M-2U exchangeable notes 'Bsf'; Outlook
Stable;
-- $50,000,000 class M-2D exchangeable notes 'Bsf'; Outlook
Stable;
-- $50,000,000 class M-2I notional exchangeable notes 'Bsf';
Outlook Stable.
The following classes will not be rated by Fitch:
-- $14,367,271,225 class A-H reference tranche;
-- $112,831,973 class M-1H reference tranche;
-- $119,247,960 class M-2AH reference tranche;
-- $119,247,959 class M-2BH reference tranche;
-- $75,000,000 class B-1 exchangeable notes;
-- $75,000,000 class B-1D notes;
-- $75,000,000 class B-1I notional notes;
-- $37,831,973 class B-1H reference tranche;
-- $25,000,000 class B-2D notes;
-- $87,831,973 class B-2H reference tranche.
The 'BBsf' rating for the M-2A (M-2A & M-2AD) notes reflects the
2.62% subordination provided by the 1.12% class M-2B (M-2B & M-2BD)
notes, the 0.75% class B-1D notes, the 0.75% class B-2D notes and
their corresponding reference tranches. The 'Bsf' rating for the
M-2B notes reflects the 1.50% subordination provided by the 0.75%
class B-1D notes, the 0.75% class B-2D notes and their
corresponding reference tranches. The notes are general unsecured
obligations of Freddie Mac (AAA/Stable) subject to the credit and
principal payment risk of a pool of certain residential mortgage
loans held in various Freddie Mac-guaranteed MBS.
This is the first transaction issued by Freddie Mac through its
STACR shelf backed by loans originated through Freddie Mac's Relief
Refinance Program (RRP).
The objective of the transaction is to transfer credit risk from
Freddie Mac to private investors with respect to a $15.04 billion
pool of mortgage loans currently held guaranteed by Freddie Mac
where principal repayment of the notes is subject to the
performance of a reference pool of mortgage loans. As loans
liquidate or other credit events occur, the outstanding principal
balance of the debt notes will be reduced by the actual loan's loss
severity percentage related to those credit events, which includes
borrower's delinquent interest.
While the transaction structure simulates the behavior and credit
risk of traditional RMBS senior-subordinate securities, Freddie Mac
will be responsible for making monthly payments of interest and
principal to investors. Because of the counterparty dependence on
Freddie Mac, Fitch's expected rating on the M-2A and M-2B notes
will be based on the lower of: the quality of the mortgage loan
reference pool and credit enhancement (CE) available through
subordination, and Freddie Mac's Issuer Default Rating. The M-2A,
M-2B, B-1D, B-1I and B-2D notes will be issued as LIBOR-based
floaters. In the event that the one-month LIBOR rate falls below
zero and becomes negative, the coupons of the interest-only
modifications and combinations (MAC) notes may be subject to a
downward adjustment, so that the aggregate interest payable within
the related MAC combination does not exceed the interest payable to
the notes for which such classes were exchanged. The notes will
carry a 25-year legal final maturity.
KEY RATING DRIVERS
Seasoned Performing Loans (Positive): The reference pool consists
of 82,552 fixed-rate, fully amortizing loans with terms of 241-360
months, totaling $15.04 billion, acquired by Freddie Mac between
April 1, 2009 and Dec. 31, 2011. The pool is seasoned over seven
years with a weighted average (WA), non-zero, updated credit score
of 741. Roughly 95% of the pool has been current for the prior 36
months with only 3.2% experiencing a delinquency from 7-24 months
prior, and 2.1% from over 24 months ago.
Positive Borrower Selection (Positive): The borrowers in the
reference pool have weathered a severe economic stress with minimal
delinquencies, showing a strong willingness and ability to pay.
Loans were originated under Freddie Mac's RRP (including the Home
Affordable Refinance Program [HARP], which is FHFA's name for
Freddie Mac's RRP for mortgages with a loan to value [LTV] greater
than 80%). Through the refinance programs, the borrowers have
continued to perform on their mortgages as rising home prices have
rebuilt equity in their homes. The current mark-to-market combined
loan to value (CLTV) ratio has improved to 82% from 98% at the time
of the relief refinance loan.
Servicing Defect Removals (Positive): Similar to the STACR DNA and
HQA transactions, this transaction will include provisions where
the loan will be removed from the reference pool if the servicer
does not materially comply with Freddie Mac's servicer guide.
Relative to an unseasoned pool, Fitch places less emphasis on the
risk of manufacturing defects with this pool, and greater emphasis
on the servicer's ability to maintain its right to foreclose on the
property.
Mortgage Insurance Guaranteed by Freddie Mac (Positive): 14.4% of
the loans are covered either by borrower-paid mortgage insurance
(BPMI) or lender-paid MI (LPMI). Freddie Mac will guarantee the MI
coverage amount. While the Freddie Mac guarantee allows for credit
to be given to MI, Fitch applied a haircut to the amount of BPMI
available due to the automatic termination provision as required by
the Homeowners Protection Act, when the loan balance is first
scheduled to reach 78%. LPMI does not automatically terminate and
remains for the life of the loan.
Recent Natural Disaster Loans Excluded (Positive): Freddie Mac has
decided not to produce property values through its Home Value
Explorer (HVE) tool for properties located in FEMA major disaster
areas, with the exception of Orange County, CA, until more
information is obtained relating to the status of these properties
following the disasters. As a result, loans located in these
FEMA-designated disaster areas were not included in the reference
pool due to not meeting the ELTV eligibility. Loans for properties
located in Orange County were included because Freddie Mac requires
borrowers in Orange County to have hazard insurance that covers
fire.
Advantageous Payment Priority (Positive): The M-2 classes benefit
from the sequential-pay structure and stable CE provided by the
more junior B-1D and B-2D classes, which are locked out from
receiving any principal until classes with a more senior payment
priority are paid in full.
Solid Alignment of Interests (Positive): While the transaction is
designed to transfer credit risk to private investors, Fitch
believes the transaction benefits from solid alignment of
interests. Freddie Mac will retain credit risk in the transaction
by holding the A-H and the M-1H reference tranche. Freddie Mac will
also retain a minimum of 5% of the M-2A, M-2B and B-1D tranches,
and a minimum of 50% of the B-2D tranche.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the MSA and national levels. The implied
rating sensitivities are only an indication of some of the
potential outcomes and do not consider other risk factors that the
transaction may become exposed to or be considered in the
surveillance of the transaction.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the
model projected 17.1% at the 'BBsf' level, and 12.3% at the 'Bsf'
level. The analysis indicates that there is some potential rating
migration with higher MVDs, compared with the model projection.
Fitch also conducted defined rating sensitivities which determine
the stresses to MVDs that would reduce a rating by one full
category, to non-investment grade, and to 'CCCsf'.
TOWD POINT 2017-6: Moody's Assigns B3 Rating to Class B2 Notes
--------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to eight
classes of notes issued by Towd Point Mortgage Trust ("TPMT")
2017-6.
The notes are backed by one pool of seasoned, performing and
re-performing residential mortgage loans. The collateral pool is
comprised of 10,713 first and junior lien, balloon, adjustable,
fixed and step rate mortgage loans, and has a non-zero updated
weighted average FICO score of 686 and a weighted average current
LTV of 86.9% (for junior lien loans, LTV is calculated based on
junior lien balance over current valuation) as of September 30,
2017 (the "Statistical Calculation Date"). Approximately 81.8% of
the loans, as of the Statistical Calculation Date, in the
collateral pool have been previously modified. Select Portfolio
Servicing, Inc. and Cohen Financial Services (DE), LLC, are the
servicers for the loans in the pool. FirstKey Mortgage, LLC will be
the asset manager for the transaction.
The complete rating actions are:
Issuer: Towd Point Mortgage Trust 2017-6
Cl. A1, Definitive Rating Assigned Aaa (sf)
Cl. A2, Definitive Rating Assigned Aa2 (sf)
Cl. A3, Definitive Rating Assigned Aa2 (sf)
Cl. A4, Definitive Rating Assigned A1 (sf)
Cl. B1, Definitive Rating Assigned Ba3 (sf)
Cl. B2, Definitive Rating Assigned B3 (sf)
Cl. M1, Definitive Rating Assigned A3 (sf)
Cl. M2, Definitive Rating Assigned Baa3 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected losses on TPMT 2017-6's collateral pool is 12.15%
in Moody's base case scenario. Moody's loss estimates take into
account the historical performance of the loans that have similar
collateral characteristics as the loans in the pool, and also
incorporate an expectation of a continued strong credit environment
for RMBS, supported by improving home prices over the next two to
three years.
The methodologies used in these ratings were "Moody's Approach to
Rating Securitisations Backed by Non-Performing and Re-Performing
Loans" published in August 2016, and "US RMBS Surveillance
Methodology" published in January 2017.
Collateral Description
TPMT 2017-6's collateral pool is primarily comprised of seasoned,
performing and re-performing mortgage loans. Approximately 81.8% of
the loans (as of the Statistical Calculation Date) in the
collateral pool have been previously modified. The majority of the
loans underlying this transaction exhibit collateral
characteristics similar to that of seasoned Alt-A mortgages.
Moody's based Moody's expected losses on the pool on Moody's
estimates of 1) the default rate on the remaining balance of the
loans and 2) the principal recovery rate on the defaulted balances.
The two factors that most strongly influence a re-performing
mortgage loan's likelihood of re-default are the length of time
that the loan has performed since modification, and the amount of
the reduction in monthly mortgage payments as a result of
modification. The longer a borrower has been current on a
re-performing loan, the less likely they are to re-default. As of
the Statistical Calculation Date, approximately 65.5% of the
borrowers of the loans in the collateral pool have been current on
their payments for the past 24 months.
Moody's estimated expected losses using two approaches -- (1)
pool-level approach, and (2) re-performing loan level analysis. In
the pool-level approach, Moody's estimated losses on the pool by
applying Moody's assumptions on expected future delinquencies,
default rates, loss severities and prepayments as observed on
similar seasoned collateral. Moody's projected future annual
delinquencies for eight years by applying an initial annual default
rate assumption adjusted for future years through delinquency
burnout factors. The delinquency burnout factors reflect Moody's
future expectations of the economy and the U.S. housing market.
Based on the loan characteristics of the pool and the demonstrated
pay histories, Moody's applied an initial expected annual
delinquency rate of 12.0% for the pool for year one. Moody's then
calculated future delinquencies using default burnout and voluntary
conditional prepayment rate (CPR) assumptions. Moody's aggregated
the delinquencies and converted them to losses by applying pool
specific lifetime default frequency and loss severity assumptions.
Moody's CPR and loss severity assumptions are based on actual
observed performance of seasoned loans and prior TPMT deals. In
applying Moody's loss severity assumptions, Moody's accounted for
the lack of principal and interest advancing in this transaction.
Moody's also conducted a loan level analysis on TPMT 2017-6's
collateral pool. Moody's applied loan-level baseline lifetime
propensity to default assumptions, and considered the historical
performance of seasoned loans with similar collateral
characteristics and payment histories. Moody's then adjusted this
base default propensity up for (1) adjustable-rate loans, (2) loans
that have the risk of coupon step-ups and (3) loans with high
updated loan to value ratios (LTVs). Moody's applied a higher
baseline lifetime default propensity for interest-only loans, using
the same adjustments. To calculate the final expected loss for the
pool, Moody's applied a loan-level loss severity assumption based
on the loans' updated estimated LTVs. Moody's further adjusted the
loss severity assumption upwards for loans in states that give
super-priority status to homeowner association (HOA) liens, to
account for potential risk of HOA liens trumping a mortgage.
For loans with deferred balances, Moody's assumed that 100% of the
remaining PRA amount and approximately 29% of the non-PRA deferred
principal balance on modified loans would be forgiven and not
recovered. The deferred balance in this transaction is
$206,949,159, representing approximately 11% of the total unpaid
principal balance (as of the Statistical Calculation Date). Loans
that have HAMP and proprietary remaining principal reduction amount
(PRA) totaled $4,426,041, representing approximately 2.1% of total
deferred balance. Although 4.0% of the loans in the pool are junior
lien by balance (as of the Statistical Calculation Date), these
loans represent 21.8% of the pool by loan count. Junior lien loans
have higher default risk relative to first lien loans and are
likely to experience high severity in the event of default. In
Moody's default analysis, Moody's assume these loans would
experience 100% severity. In addition, 2,144 loans, representing
20.0% of the pool by loan count, use a third party home data index
(HDI) to derive current property valuation. Moody's ran different
sensitivity scenarios and account for this in Moody's severity
analysis. The final expected loss for the collateral pool reflects
the due diligence findings of four independent third party review
(TPR) firms as well as Moody's assessment of TPMT 2017-6's
representations & warranties (R&Ws) framework.
Transaction Structure
TPMT 2017-6 has a sequential priority of payments structure, in
which a given class of notes can only receive principal payments
when all the classes of notes above it have been paid off.
Similarly, losses will be applied in the reverse order of priority.
The Class A1, A2, M1 and M2 notes carry a fixed-rate coupon subject
to the collateral adjusted net WAC and applicable available funds
cap. The Class A3 and A4 are variable rate notes where the coupon
is equal to the weighted average of the note rates of the related
exchange notes. The Class B1, B2, B3, B4 and B5 are variable rate
notes where the coupon is equal to the lesser of adjusted net WAC
and applicable available funds cap. There are no performance
triggers in this transaction. Additionally, the servicers will not
advance any principal or interest on delinquent loans.
Moreover, the monthly excess cash flow in this transaction, after
payment of such expenses, if any, will be fully captured to pay the
principal balance of the bonds sequentially, allowing for a faster
paydown of the bonds.
Moody's coded TPMT 2017-6's cashflows using SFW®, a cashflow tool
developed by Moody's Analytics. To assess the final rating on the
notes, Moody's ran 96 different loss and prepayment scenarios
through SFW. The scenarios encompass six loss levels, four loss
timing curves, and four prepayment curves. The structure allows for
timely payment of interest and ultimate payment of principal with
respect to the notes by the legal final maturity.
Third Party Review
Four independent third party review (TPR) firms -- JCIII &
Associates, Inc. (subsequently acquired by American Mortgage
Consultants), Clayton Services, LLC, AMC Diligence, LLC, and
Westcor Land Title Insurance Company -- conducted due diligence for
the transaction. Due diligence was performed on 84.0% of the loans
by count in TPMT 2017-6's collateral pool for compliance, 84.0% for
data capture, 83.1% for pay string history, and 79.4% for title and
tax review. The TPR firms reviewed compliance, data integrity and
key documents to verify that loans were originated in accordance
with federal, state and local anti-predatory laws. The TPR firms
conducted audits of designated data fields to ensure the accuracy
of the collateral tape.
Based on Moody's analysis of the third-party review reports,
Moody's determined that a portion of the loans had legal or
compliance exceptions that could cause future losses to the trust.
Moody's incorporated an additional hit to Moody's expected losses
for these loans to account for this risk. Moody's loss estimate
also took into account that 16.0% of the loans in the pool were not
reviewed for compliance. FirstKey Mortgage, LLC, retained Westcor
to review the title and tax reports for the loans in the pool, and
will oversee Westcor and monitor the loan sellers in the completion
of the assignment of mortgage chains. 96% of the loans are in first
lien position, subject in some cases to certain liens as described
in the R&Ws, and 4% are in the junior lien position. In addition,
FirstKey expects a significant number of the assignment and
endorsement exceptions to be cleared within the first twelve months
following the closing date of the transaction.
Representations & Warranties
Moody's ratings reflect TPMT 2017-6's weak representations and
warranties (R&Ws) framework. The representation provider, FirstKey
Mortgage, LLC is unrated by Moody's. Moreover, FirstKey's
obligations will be in effect for only thirteen months (until the
payment date in December 2018). The R&Ws themselves are weak
because they contain many knowledge qualifiers and the regulatory
compliance R&W does not cover monetary damages that arise from TILA
violations whose right of rescission has expired. While the
transaction provides a Breach Reserve Account to cover for any
breaches of R&Ws, the size of the account is small relative to TPMT
2017-6's aggregate collateral pool ($1.87 billion). An initial
deposit of $4,000,000 will be remitted to the Breach Reserve
Account on the closing date, with an initial Breach Reserve Account
target amount of $6,605,134.
Transaction Parties
The transaction benefits from a strong servicing arrangement.
Select Portfolio Servicing, Inc. and Cohen Financial Services (DE),
LLC, will service 100% of TPMT 2017-6's collateral pool. Moody's
assess SPS higher compared to its peers. Moody's have no assessment
of Cohen Financial Services. Furthermore, FirstKey Mortgage, LLC,
the asset manager, will oversee the servicers, which strengthens
the overall servicing framework in the transaction. Wells Fargo
Bank N.A. and U.S. Bank National Association are the Custodians of
the transaction. The Delaware Trustee for TPMT 2017-6 is Wilmington
Trust, National Association. TPMT 2017-6's Indenture Trustee is
U.S. Bank National Association.
Factors that would lead to an upgrade or downgrade of the ratings:
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligors defaulting or
deterioration in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market. Other reasons
for worse-than-expected performance include poor servicing, error
on the part of transaction parties, inadequate transaction
governance and fraud.
VOYA CLO 2017-4: S&P Assigns BB-(sf) Rating on Class E Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to Voya CLO 2017-4 Ltd.'s
$525.00 million floating-rate class A-1, B, C-1, C-2, D, and E
notes. The class A-2 notes are not rated by S&P Global Ratings.
The note issuance is a collateralized loan obligation (CLO)
transaction backed primarily by broadly syndicated
speculative-grade senior secured term loans that are governed by
collateral quality tests.
The ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through excess spread,
overcollateralization, and subordination.
-- 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 said, "Since the time of our preliminary ratings release, the
issuer split the initial $37.20 million class C notes into the
$23.50 million class C-1 floating-rate notes and the $13.70 million
class C-2 floating-rate notes. The class C-1 and C-2 notes are paid
pari passu, and earn interest at the same spread over three month
LIBOR. Therefore, we renamed the class C notes as class C-1 notes,
and are issuing final ratings on the class C-2 notes.
"Our review of this transaction included a cash flow analysis 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."
RATINGS ASSIGNED
Voya CLO 2017-4 Ltd.
Class Rating Interest Amount
rate(%) (mil. $)
A-1 AAA (sf) LIBOR + 1.13 357.00
A-2 NR LIBOR + 1.25 27.00
B AA (sf) LIBOR + 1.45 72.00
C-1 A (sf) LIBOR + 1.75 23.50
C-2 A (sf) LIBOR + 1.75 13.70
D BBB- (sf) LIBOR + 2.95 31.80
E BB- (sf) LIBOR + 6.30 27.00
Subordinated notes NR N/A 57.00
NR--Not rated.
N/A--Not applicable
WACHOVIA BANK 2006-C28: Moody's Affirms Ba3 Rating on Cl. A-J Debt
------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on seven classes
in Wachovia Bank Commercial Mortgage Trust 2006-C28, Commercial
Mortgage Pass-Through Certificates, Series 2006-C28:
Cl. A-J, Affirmed Ba3 (sf); previously on Dec 9, 2016 Upgraded to
Ba3 (sf)
Cl. B, Affirmed Caa1 (sf); previously on Dec 9, 2016 Affirmed Caa1
(sf)
Cl. C, Affirmed Caa2 (sf); previously on Dec 9, 2016 Affirmed Caa2
(sf)
Cl. D, Affirmed Caa3 (sf); previously on Dec 9, 2016 Affirmed Caa3
(sf)
Cl. E, Affirmed C (sf); previously on Dec 9, 2016 Affirmed C (sf)
Cl. F, Affirmed C (sf); previously on Dec 9, 2016 Affirmed C (sf)
Cl. IO, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The ratings on the six P&I classes were affirmed because the
ratings are consistent with Moody's expected loss.
The rating on the IO class, Cl. IO, was affirmed based on the
credit quality of the referenced classes.
Moody's rating action reflects a base expected loss of 26.3% of the
current balance, compared to 23.0% at Moody's last review. Moody's
base expected loss plus realized losses is now 9.6% of the original
pooled balance, compared to 10.2% 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. IO was "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the November 17, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 92% to $307.1
million from $3.60 billion at securitization. The certificates are
collateralized by 16 mortgage loans ranging in size from less than
1% to 32% of the pool.
Two loans, constituting 38% 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-eight loans have been liquidated from the pool with a loss
to the trust, resulting in an aggregate realized loss of $264.1
million (for an average loss severity of 39%). Six loans,
constituting 36% of the pool, are currently in special servicing.
The largest specially serviced loan is the Westin - Falls Church,
VA Loan ($57.3 million -- 18.9% of the pool, which is secured a
405-key Westin hotel located approximately 13 miles west of
Washington, DC, in the Tysons Corner neighborhood of northern
Virginia. The loan transferred to special servicing in June 2014
for imminent balloon/maturity default and became real estate owned
(REO) in June 2015. A property improvement plan (PIP) was completed
in October 2016. The asset was listed for sale the first week of
October 2017 and the special servicer's plans to have best and
final offers by the end of November and a closing in first-quarter
2018.
The second largest specially serviced loan is the Market at Mill
Run ($17.9 million -- 5.9% of the deal). The loan is secured by a
146,000 square foot (SF), anchored retail center located in the
Columbus suburb of Hilliard, Ohio. As of October 2017, the property
was 92% occupied. The former largest tenant, Movie Tavern (24% of
the net rentable area), vacated the property in April 2017. Lease
negotiations to backfill the Movie Tavern space with another cinema
operator, Midwest Movies 11, concluded and the new tenant took
occupancy in September 2017. The special servicer indicated that
leases for an additional 18% of NRA that are expiring in 2017 are
in renewal negotiations. The special servicer plans to market the
property for sale in the first half of 2018, with an anticipated
disposition in the first half of 2018.
The third largest specially serviced loan is the Marketplace Retail
& Office Center Loan ($12.9 million -- 4.3% of the deal). The loan
is secured by a 121,512 SF, mixed-use property located in Waite
Park, Minnesota. The loan transferred to special servicing in March
2010 due to payment default in March 2010. After the loan
defaulted, there was litigation involving a breach of the
representations and warranties of the mortgage loan purchase
agreement. A foreclosure was completed on January 18, 2017 and the
property is now REO. The property was inspected in August 2017 and
is in good condition. The property is 70% occupied as of November
2017. The property will be auctioned in the first quarter of 2018
with disposition anticipated by March 2018. This loan has been
deemed non-recoverable by the master servicer.
The remaining three specially serviced loans are secured by retail
properties. Moody's estimates an aggregate $61.1 million loss for
the specially serviced loans (56% expected loss on average).
Moody's has assumed a high default probability for one poorly
performing loans, constituting 3% of the pool, and has estimated an
aggregate loss of $9.5 million (a 100% expected loss based on a
100% probability default) from this troubled loan. Additionally,
the deal is currently under-collateralized by approximately $4.6
million and Moody's anticipates this will be an additional loss to
the trust.
Moody's received full year 2016 operating results for 100% of the
pool and partial year 2017 operating results for 98% of the pool.
Moody's weighted average conduit LTV is 106%, compared to 95% 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 9.3%.
Moody's actual and stressed conduit DSCRs are 0.96X and 0.97X,
respectively, compared to 1.65X and 1.11X 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 51% of the pool balance. The
largest loan is 500-512 Seventh Avenue Loan ($96.0 million -- 31.7%
of the pool), which represents a pari-passu portion of a $192.0
million mortgage loan. The loan is secured by a leasehold interest
in three office buildings totaling 1.2 million SF and located in
the Garment District of Midtown Manhattan, New York. The loan
previously transferred to special servicing in September 2016 due
to maturity default and a modification was subsequently executed
that included a maturity date extension to April 2018. The loan
returned to the master servicer in March 2017 and is performing
under the terms of the modification, however, the loan remains on
the master servicer's watchlist. Moody's LTV and stressed DSCR are
110% and 0.89X, respectively, compared to 112% and 0.87X at last
review.
The second largest is the ITC Crossing South Shopping Center Loan
($39.5 million -- 13.0% of the pool), which is secured by an open
air shopping center anchored by Wal-Mart (non-collateral), Lowe's,
Babies R' Us, Bed Bath & Beyond and TJ Maxx. The property is
located in Flanders, New Jersey, which is approximately 35 miles
northwest of Newark, New Jersey. The property was 100% leased as of
September 2017, the same as at last review. Moody's LTV and
stressed DSCR are 100% and 1.03X, respectively, compared to 100%
and 1.02X at last review.
The third largest loan is the 135 Crossways Park Drive -- A Note
($18.0 million -- 6.0% of the pool), which is secured by a 121,631
SF office property located on Long Island approximately 30 miles
east of Manhattan, New York. The property was 100% leased as of
September 2017, the same as at last review. In 2011, this loan was
split into an A Note and a B Note, both of which are part of the
pooled balance. Moody's identified the B Note as a troubled loan
and Moody's A Note LTV and stressed DSCR are 96% and 1.12X,
respectively, compared to 91% and 1.12X at last review.
WELLS FARGO 2017-C41: Fitch Gives 'Bsf' Rating to Class G-RR Certs
------------------------------------------------------------------
Fitch Ratings has assigned the following final ratings and Rating
Outlooks to Wells Fargo Commercial Mortgage Trust 2017-C41
commercial mortgage pass-through certificates:
-- $30,952,000 class A-1 'AAAsf'; Outlook Stable;
-- $14,675,000 class A-2 'AAAsf'; Outlook Stable;
-- $44,401,000 class A-SB 'AAAsf'; Outlook Stable;
-- $215,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $245,117,000 class A-4 'AAAsf'; Outlook Stable;
-- $550,145,000a class X-A 'AAAsf'; Outlook Stable;
-- $140,484,000a class X-B 'AA-sf'; Outlook Stable;
-- $69,751,000 class A-S 'AAAsf'; Outlook Stable;
-- $38,313,000 class B 'AA-sf'; Outlook Stable;
-- $32,420,000 class C 'A-sf'; Outlook Stable;
-- $12,771,000ab class X-D 'BBB+sf'; Outlook Stable;
-- $12,771,000b class D 'BBB+sf'; Outlook Stable;
-- $22,595,000bc class E-RR 'BBB-sf'; Outlook Stable;
-- $13,754,000bc class F-RR 'BB+sf'; Outlook Stable;
-- $12,771,000bc class G-RR 'Bsf'; Outlook Stable.
The following class is not rated by Fitch:
-- $33,402,177bc class H-RR.
(a) Notional amount and interest-only.
(b) Privately placed and pursuant to Rule 144A.
(c) Horizontal credit risk retention interest.
Since Fitch published its expected ratings on Nov. 13, 2017, the
class X-B changed from 'A-sf' to 'AA-sf' based on the final deal
structure.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 52 loans secured by 97
commercial properties having an aggregate principal balance of
$785,922,177 as of the cut-off date. The loans were contributed to
the trust by Barclays Bank PLC, Argentic Real Estate Finance LLC,
Ladder Capital Finance LLC and Wells Fargo Bank, National
Association.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 66.6% of the properties
by balance, cash flow analysis of 76.7%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Higher Fitch Leverage Than Recent Transactions: The pool's leverage
is greater than that of recent, comparable Fitch-rated
multiborrower transactions. The pool has a weighted average Fitch
DSCR of 1.19x, which is below the YTD 2017 average of 1.26x for
other recent Fitch-rated U.S. multiborrower deals. The pool's
weighted average Fitch LTV of 108.2% is higher than the YTD 2017
level of 101.2%.
Diversified Pool: The largest 10 loans account for 41.9% of the
pool, which is well below the YTD 2017 average of 52.7% for
fixed-rate transactions. The pool exhibits low pool concentration,
with a loan concentration index (LCI) of 292, which is below the
YTD 2017 average of 393. The average loan size for this transaction
is $15.1 million compared to the 2017 YTD average of $20.1
million.
Above-Average Amortization: The pool is scheduled to amortize by
10.6%, which is above the YTD 2017 average of 8.2% for fixed-rate
transactions and also above the 2016 average of 10.4%. Nineteen
loans, representing 32.6% of the pool, are full-term interest-only,
which is below the YTD 2017 average of 44.5%.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 14.4% below
the most recent year's net operating income (NOI) for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period. Unanticipated further declines
in property-level NCF could result in higher defaults and loss
severities on defaulted loans and in potential rating actions on
the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the WFCM
2017-C41 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.
[*] Fitch Reviews 1,272 Legacy Alt-A & Subprime U.S. RMBS Deals
---------------------------------------------------------------
Fitch Ratings, on Nov. 30, 2017, took various rating actions on
7,312 classes in U.S. 1,272 RMBS transactions. The legacy
transactions reviewed consisted of 279 Alt-A and 993 Subprime U.S.
residential mortgage-backed securities transactions issued between
1996 and 2008.
Rating Action Summary:
-- 5,393 classes affirmed;
-- 1,289 classes upgraded;
-- 530 classes downgraded;
-- 100 classes paid-in-full.
Additionally, 1,632 classes have a Positive Outlook, 1,195 classes
have a Stable Outlook, and 290 classes have a Negative Outlook.
KEY RATING DRIVERS
The performance of the underlying collateral has continued to
steadily improve, driven by strong home price growth and positive
selection in the remaining borrowers. Serious delinquency has
declined more than 100 basis points over the past year. Projected
mortgage pool losses on the remaining pool balance have declined by
185 basis points in the base-case and 460 basis points in the
'AAAsf' rating stress scenario.
Despite the generally positive collateral performance trends,
ratings remain constrained by declining remaining loan counts and
interest shortfall risk. More than 1,400 classes reviewed would be
eligible for a higher rating based on projected principal recovery
under Fitch's standard assumptions, but had their ratings affirmed
at a lower level due to small pool risk or interest shortfall risk.
Additionally, of the 86 rating downgrades of classes rated 'Bsf' or
higher prior to the rating review, 82 are downgraded due to small
pool risk or interest shortfall risk. The remaining 445 downgrades
are of classes that held a distressed rating prior to the rating
review and are downgraded to reflect a more imminent risk of
default.
155 classes reviewed had their ratings withdrawn immediately
following the rating action due to insufficient remaining
information at either the bond level or pool level. At the bond
level this was related to classes rated 'Dsf' with no remaining
balance and no projected recoveries. At the pool level this was
related to a small number of classes with weighted average loan
counts of 10 or fewer.
RATING SENSITIVITIES
Fitch's analysis includes rating stress scenarios from 'CCCsf' to
'AAAsf'. The 'CCCsf' scenario is intended to be the most-likely
base-case scenario. Rating scenarios above 'CCCsf' are increasingly
more stressful and less likely to occur. Although many variables
are adjusted in the stress scenarios, the primary driver of the
loss scenarios is the home price forecast assumption. In the 'Bsf'
scenario, Fitch assumes home prices decline 10% below their
long-term sustainable level. The home price decline assumption is
increased by 5% at each higher rating category up to a 35% decline
at the 'AAAsf' scenario.
In addition to increasing mortgage pool losses at each rating
category to reflect increasingly stressful economic scenarios,
Fitch analyses loss-timing, prepayment, loan modification, servicer
advancing, and interest rate scenarios as part of the cash flow
analysis. Each class is analysed with 43 different combinations of
loss, prepayment and interest rate projections.
The ratings of bonds currently rated 'Bsf' or higher will be
sensitive to future mortgage borrower behaviour, which historically
has been strongly correlated with home price movements. Despite
recent positive trends, Fitch currently expects home prices to
decline in some regions before reaching a sustainable level. While
Fitch's ratings reflect this home price view, the ratings of
outstanding classes may be subject to revision to the extent actual
home price and mortgage performance trends differ from those
currently projected by Fitch.
A list of the Affected Ratings is available at:
http://bit.ly/2j9AEAj
[*] Moody's Hikes $345MM of Subprime RMBS Issued 2002-2005
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 26 tranches,
from seven transactions issued by various issuers.
Complete rating actions are:
Issuer: Bear Stearns Asset Backed Securities Trust 2003-2
Cl. A-1, Upgraded to Aaa (sf); previously on Jan 19, 2017 Upgraded
to Aa2 (sf)
Issuer: RASC Series 2003-KS11 Trust
Cl. M-II-1, Upgraded to Baa1 (sf); previously on May 16, 2017
Upgraded to Ba1 (sf)
Cl. M-II-2, Upgraded to B2 (sf); previously on May 16, 2017
Upgraded to Caa2 (sf)
Issuer: Structured Asset Securities Corp 2002-BC1
Cl. M2, Upgraded to Ba3 (sf); previously on May 3, 2012 Confirmed
at B3 (sf)
Issuer: Structured Asset Securities Corp Trust 2005-NC2
Cl. M3, Upgraded to Aaa (sf); previously on Dec 12, 2016 Upgraded
to Aa1 (sf)
Cl. M4, Upgraded to Aa1 (sf); previously on Dec 12, 2016 Upgraded
to Aa3 (sf)
Cl. M5, Upgraded to A1 (sf); previously on Dec 12, 2016 Upgraded to
Baa2 (sf)
Cl. M6, Upgraded to Ba2 (sf); previously on Dec 12, 2016 Upgraded
to B2 (sf)
Cl. M7, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded
to C (sf)
Issuer: Structured Asset Securities Corp Trust 2005-WF1
Cl. A3, Upgraded to Aaa (sf); previously on Jan 17, 2017 Upgraded
to Aa1 (sf)
Cl. M1, Upgraded to Baa2 (sf); previously on Aug 6, 2013 Upgraded
to Ba2 (sf)
Cl. M2, Upgraded to Ba3 (sf); previously on Aug 6, 2013 Upgraded to
Caa1 (sf)
Cl. M3, Upgraded to B3 (sf); previously on Aug 6, 2013 Upgraded to
Ca (sf)
Cl. M4, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded
to C (sf)
Issuer: Structured Asset Securities Corp Trust 2005-WF2
Cl. M1, Upgraded to A2 (sf); previously on Aug 20, 2012 Confirmed
at Baa3 (sf)
Cl. M2, Upgraded to Ba1 (sf); previously on Apr 30, 2017 Upgraded
to B1 (sf)
Cl. M3, Upgraded to Ba3 (sf); previously on Apr 30, 2017 Upgraded
to B3 (sf)
Cl. M4, Upgraded to Caa1 (sf); previously on Apr 30, 2017 Upgraded
to Ca (sf)
Cl. M5, Upgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to C (sf)
Issuer: Structured Asset Securities Corp Trust 2005-WF4
Cl. M2, Upgraded to Aaa (sf); previously on Apr 5, 2017 Upgraded to
Aa1 (sf)
Cl. M3, Upgraded to Aaa (sf); previously on Apr 5, 2017 Upgraded to
Aa3 (sf)
Cl. M4, Upgraded to Aa2 (sf); previously on Apr 5, 2017 Upgraded to
A1 (sf)
Cl. M5, Upgraded to A1 (sf); previously on Apr 5, 2017 Upgraded to
Baa1 (sf)
Cl. M6, Upgraded to Baa3 (sf); previously on Apr 5, 2017 Upgraded
to Ba2 (sf)
Cl. M7, Upgraded to Ba3 (sf); previously on Apr 5, 2017 Upgraded to
B3 (sf)
Cl. M8, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded
to C (sf)
RATINGS RATIONALE
The upgrades are primarily due to the total credit enhancement
available to the bonds. The actions further reflect the recent
performance of the underlying pools and Moody's updated loss
expectations on the pools.
The rating actions on Structured Asset Securities Corp 2002-BC1,
RASC Series 2003-KS11 Trust, Structured Asset Securities Corp Trust
2005-WF1, Structured Asset Securities Corp Trust 2005-NC2,
Structured Asset Securities Corp Trust 2005-WF2, and Structured
Asset Securities Corp Trust 2005-WF4 also reflect corrections to
the cash-flow models previously used by Moody's in rating these
transactions.
In prior rating actions, the cash flow model for Structured Asset
Securities Corp 2002-BC1 overstated the CRM fee applied to Class
M2, therefore underestimating the cash flow to the bond. The cash
flow model for RASC Series 2003-KS11 Trust projected interest
payments for Class M-II-2 that were too low, thereby overestimating
the funds available from excess spread to be paid as principal. The
cash flow model for Structured Asset Securities Corp Trust
2005-WF1, Structured Asset Securities Corp Trust 2005-NC2,
Structured Asset Securities Corp Trust 2005-WF2, and Structured
Asset Securities Corp Trust 2005-WF4 did not reimburse projected
losses after the tranches reached a zero balance, thus
overestimating the projected losses on some tranches. These errors
have now been corrected, and rating actions reflect these changes.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to macroeconomic
uncertainty, and in particular the unemployment rate. The
unemployment rate fell to 4.1% in October 2017 from 4.8% in October
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.
[*] Moody's Takes Action on $398MM of RMBS Issued 2005-2008
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 40 tranches
and downgraded the ratings of two tranches from eight transactions,
backed by Prime Jumbo loans, issued by various issuers.
Complete rating actions are:
Issuer: Citigroup Mortgage Loan Trust, Series 2005-6
Cl. A-1, Upgraded to Baa1 (sf); previously on Oct 20, 2016 Upgraded
to Baa3 (sf)
Cl. A-2, Upgraded to Baa1 (sf); previously on Oct 20, 2016 Upgraded
to Baa3 (sf)
Cl. A-3, Upgraded to Baa1 (sf); previously on Oct 20, 2016 Upgraded
to Baa3 (sf)
Issuer: GSR Mortgage Loan Trust 2005-4F
Cl. 1A-1, Upgraded to Baa2 (sf); previously on Dec 16, 2016
Upgraded to Ba2 (sf)
Cl. 2A-1, Upgraded to Baa2 (sf); previously on Dec 16, 2016
Upgraded to Ba2 (sf)
Cl. 3A-1, Upgraded to Baa2 (sf); previously on Dec 16, 2016
Upgraded to Ba2 (sf)
Cl. 4A-4, Upgraded to Ba2 (sf); previously on Feb 16, 2016 Upgraded
to B1 (sf)
Cl. 5A-1, Upgraded to Ba2 (sf); previously on Feb 16, 2016 Upgraded
to B1 (sf)
Cl. 5A-2, Upgraded to B2 (sf); previously on Feb 16, 2016 Upgraded
to Caa1 (sf)
Cl. 6A-1, Upgraded to B1 (sf); previously on Dec 16, 2016 Upgraded
to B3 (sf)
Issuer: GSR Mortgage Loan Trust 2005-7F
Cl. 1A-3, Upgraded to Baa3 (sf); previously on Mar 7, 2016 Upgraded
to Ba2 (sf)
Cl. 2A-5, Upgraded to Baa2 (sf); previously on Mar 7, 2016 Upgraded
to Ba1 (sf)
Cl. 2A-6, Upgraded to Baa2 (sf); previously on Mar 7, 2016 Upgraded
to Baa3 (sf)
Cl. 2A-7, Upgraded to Ba1 (sf); previously on Mar 7, 2016 Upgraded
to Ba3 (sf)
Cl. 3A-1, Upgraded to Baa2 (sf); previously on Mar 7, 2016 Upgraded
to Ba1 (sf)
Cl. 3A-3, Upgraded to Baa2 (sf); previously on Mar 7, 2016 Upgraded
to Ba1 (sf)
Cl. 3A-5, Upgraded to Baa1 (sf); previously on Jan 18, 2017
Upgraded to Baa3 (sf)
Cl. 3A-6, Upgraded to Baa2 (sf); previously on Jan 18, 2017
Upgraded to Ba1 (sf)
Cl. 3A-9, Upgraded to Baa2 (sf); previously on Mar 7, 2016 Upgraded
to Ba1 (sf)
Cl. 3A-10, Upgraded to Baa1 (sf); previously on Jan 18, 2017
Upgraded to Baa3 (sf)
Cl. 3A-11, Upgraded to Ba1 (sf); previously on Mar 7, 2016 Upgraded
to Ba3 (sf)
Cl. 3A-12, Upgraded to Ba1 (sf); previously on Mar 7, 2016 Upgraded
to Ba3 (sf)
Cl. 4A-1, Upgraded to Baa2 (sf); previously on Jan 18, 2017
Upgraded to Ba1 (sf)
Cl. 4A-2, Upgraded to Baa2 (sf); previously on Jan 18, 2017
Upgraded to Ba1 (sf)
Issuer: RFMSI Series 2005-SA1 Trust
Cl. I-A-1, Downgraded to Caa3 (sf); previously on Jan 26, 2017
Downgraded to Caa2 (sf)
Cl. I-A-2, Downgraded to Caa3 (sf); previously on Jan 26, 2017
Downgraded to Caa1 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR4
Cl. A-5, Upgraded to Ba2 (sf); previously on Mar 7, 2016 Upgraded
to B1 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2005-AR16 Trust
Cl. III-A-1, Upgraded to Ba1 (sf); previously on Oct 20, 2016
Upgraded to Ba3 (sf)
Cl. III-A-3, Upgraded to B1 (sf); previously on Oct 20, 2016
Upgraded to Caa1 (sf)
Cl. IV-A-2, Upgraded to Ba2 (sf); previously on Oct 20, 2016
Upgraded to B2 (sf)
Cl. IV-A-3, Upgraded to B2 (sf); previously on Oct 20, 2016
Upgraded to Caa2 (sf)
Cl. IV-A-8, Upgraded to B3 (sf); previously on Jul 24, 2013
Confirmed at Caa2 (sf)
Cl. V-A-1, Upgraded to Baa3 (sf); previously on Jan 20, 2016
Downgraded to Ba2 (sf)
Cl. VI-A-2, Upgraded to Caa1 (sf); previously on Oct 20, 2016
Upgraded to Caa3 (sf)
Cl. VI-A-4, Upgraded to Caa1 (sf); previously on Oct 20, 2016
Upgraded to Caa3 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2008-AR1 Trust
Cl. A-1, Upgraded to Baa1 (sf); previously on Apr 7, 2016 Upgraded
to Baa3 (sf)
Issuer: Wells Fargo Mortgage Backed Securities Trust 2005-9 Trust
Cl. I-A-4, Upgraded to Baa2 (sf); previously on Jan 13, 2017
Upgraded to Ba1 (sf)
Cl. I-A-10, Upgraded to Baa2 (sf); previously on Jan 13, 2017
Upgraded to Baa3 (sf)
Cl. I-A-16, Upgraded to Baa2 (sf); previously on Jan 13, 2017
Upgraded to Baa3 (sf)
Cl. II-A-4, Upgraded to Baa3 (sf); previously on Jan 13, 2017
Upgraded to Ba1 (sf)
Cl. II-A-7, Upgraded to Baa3 (sf); previously on Jan 13, 2017
Upgraded to Ba1 (sf)
Cl. II-A-8, Upgraded to Baa3 (sf); previously on Jan 13, 2017
Upgraded to Ba1 (sf)
RATINGS RATIONALE
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The ratings downgraded are due to the weaker performance
of the underlying collateral and the erosion of enhancement
available to the bonds. The ratings upgraded are a result of
improving performance of the related pools and an increase in
credit enhancement available to the bonds.
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 2005-7F Cl. 3A-3 and Cl. 4A-2 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 macroeconomic
uncertainty, and in particular the unemployment rate. The
unemployment rate fell to 4.1% in October 2017 from 4.8% in October
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.
[*] Moody's Takes Action on 390 U.S. RMBS IO Bonds From 274 Deals
-----------------------------------------------------------------
Moody's Investors Service has confirmed the ratings of 346
Interest-Only (IO) bonds, upgraded the ratings of 5 IO bonds and
downgraded the ratings of 32 IO bonds from 269 US residential
mortgage backed transactions (RMBS), issued by multiple issuers
prior to 2009. Of these, 29 bonds were among those placed on review
on August 15, 2017 in connection with a correction of errors in
Moody's earlier analysis, and 354 bonds were among those placed on
review on August 29, 2017 in connection with a reassessment of
Moody's internal linkage of these IO bonds to their reference
bond(s) or pool(s).
Moody's also withdrew the ratings of 2 IO bonds, from 2 RMBS
transactions, that were placed on watch on August 15, 2017, and 5
IO bonds, from 3 RMBS transactions, that were placed on watch on
August 29, 2017. The ratings on these IO bonds have been withdrawn
due to insufficient information available to maintain the ratings.
In addition, the ratings on 6 IO bonds that were placed on watch on
August 15, 2017, and the ratings of 75 IO bonds that were placed on
watch on August 29, 2017, have also been withdrawn because they
have matured, or are backed by mortgage pools whose size has fallen
below the level specified in the applicable methodology and have
thus been withdrawn for small pool factor.
RATINGS RATIONALE
The action resolves the review of 29 IO bonds which were among
those placed on watch in connection with data input errors in prior
analyses and 354 IO bonds which were among those placed on watch
for a reassessment of the IO bond linkages captured in Moody's
internal database, prompted by the identification of errors in that
database. The factors that Moody's considers in rating an IO bond
depend on the type of referenced securities or assets to which the
IO bond is linked. The final ratings on the IO bonds reflect the
linkage reassessment and updated performance of the respective
transactions, including expected losses on the collateral, and
pay-downs or write-offs of the related reference bonds.
For the 29 IO bonds that had data input errors in prior analyses,
the data inputs were corrected as part of the analysis for this
rating action.
Moody's has reassessed the linkage for the 383 IO bonds being
confirmed, upgraded or downgraded in rating action, and determined
that 285 of these IO bonds were linked to the appropriate bonds(s)
or pool(s). Many of these 383 IO bonds reference a portion of the
aggregate collateral pool (a "sub-pool"), each of which sub-pool
amounts to 75% or more of the entire collateral pool. As a result,
Moody's has treated these IO bonds as linked to the entire pool.
For the remaining 98 IO bonds, the linkage was incorrect and has
been updated. In many cases, the updated linkage had no impact on
the ratings.
After having reviewed the various linkages, Moody's has decided to
withdraw the ratings of 7 bonds because it believes it has
insufficient or otherwise inadequate information to support the
maintenance of the ratings. These IO bonds are linked to a portion
of the bonds and the collateral pool that is not clearly reported
in the data available for the related transactions.
Moody's is evaluating the remaining IO bonds on review and note
that, although a number of linkages may be corrected, this will not
necessarily lead to rating movements in all cases.
A list of the Affected Ratings is available at:
http://bit.ly/2AMibnC
[*] Moody's Takes Action on 41 US RMBS IO Bonds From 27 Deals
-------------------------------------------------------------
Moody's Investors Service has confirmed the ratings of 27
Interest-Only (IO) bonds from 18 US residential mortgage backed
transactions (RMBS), issued by multiple issuers prior to 2009. The
bonds were among those placed on review on August 29, 2017 in
connection with a reassessment of Moody's internal linkage of these
IO bonds to their reference bond(s) or pool(s). The bonds in this
action are IO PO bonds, which have both an IO component and a
principal-only (PO) component.
Moody's also withdrew the ratings of 13 additional IO bonds from 8
RMBS transactions that were placed on watch on August 29, 2017, and
one IO bond from one RMBS transaction that was among those placed
on watch on August 15, 2017 in connection with a correction of
errors in Moody's earlier analysis. The ratings on these bonds were
withdrawn due to insufficient information available to maintain the
ratings.
RATINGS RATIONALE
The action resolves the review of 27 IO bonds which were among
those placed on watch for a reassessment of the IO bond linkages
captured in Moody's internal database, prompted by the
identification of errors in that database. The factors that Moody's
considers in rating an IO bond depend on the type of referenced
securities or assets to which the IO bond is linked. The bonds in
this action are IO PO bonds, which have both an IO component and a
principal-only (PO) component. Moody's determines the rating of IO
PO bonds using a weighted average of the ratings of the two
components.
For the 27 IO PO bonds being confirmed, Moody's reassessed their
linkage and determined that all bonds were linked to the
appropriate reference bond(s) or pool(s). The balance of the PO
component of these 27 bonds is zero. Therefore, the ratings of
these bonds reflect the ratings of the IO component only and its
linkage to the proper reference bond(s) or pool(s). The final
ratings on the IO bonds reflect the linkage reassessment and
updated performance of the respective transactions, including
expected losses on the collateral, and pay-downs or write-offs of
the related reference bonds.
After having reviewed the various linkages Moody's has decided to
withdraw the ratings of 14 IO PO bonds because it believes it has
insufficient or otherwise inadequate information to support the
maintenance of the ratings. For these bonds, the PO component is
not clearly reported in the data available for the related
transactions. As a result, Moody's are unable to determine the
rating on the PO component.
Moody's is evaluating the remaining IO bonds on review and note
that, although a number of linkages may be corrected, this will not
necessarily lead to rating movements in all cases.
A list of the Affected Ratings is available at:
http://bit.ly/2jF7RTp
[*] S&P Takes Various Actions on 106 Classes From 14 US RMBS Deals
------------------------------------------------------------------
S&P Global Ratings completed its review of 106 classes from 14 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2002 and 2007. All of these transactions are backed by a
mix of collateral types, including prime jumbo, subprime,
alternative-A (Alt-A), and negative amortization (Neg-Am). The
review yielded three upgrades, 21 downgrades, 65 affirmations,
eight withdrawals, and nine discontinuances.
Analytical Considerations
S&P incorporates various considerations into its 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;
-- Expected short duration;
-- Priority of principal payments;
-- Loan modification criteria;
-- Imputed promises criteria
-- Small loan count;
-- Tail risk; and
-- Available subordination and/or overcollateralization.
Rating Actions
Please see the ratings list for the rationales for classes with
rating transitions. 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 our prior projections.
S&P said, "We lowered our rating on class MV-1 from CWABS Inc.
2002-5 to 'B (sf)' from 'AA (sf)' due to observed interest
shortfalls from the June 2017 through October 2017 performance
periods that are not projected to be repaid within the next four
performance periods. While this transaction's structural features
permit the reimbursement of interest shortfalls after the
overcollateralization amount reaches its target, interest is not
capitalized on outstanding interest shortfall amounts, and the
overcollateralization amount is currently below its target and
trending downward. As interest is not capitalized on outstanding
interest shortfall amounts, we base our maximum potential rating
(MPR) on the duration of the aggregate interest shortfall
outstanding. Based on our interest shortfall criteria, "Structured
Finance Temporary Interest Shortfall Methodology," published Dec.
15, 2015, the MPR for this class is currently 'A- (sf)' due to five
periods of interest shortfalls; however, our cash flow projections
suggest the interest shortfalls repayment will not occur within the
next four performance periods, after which the maximum potential
rating (MPR) will drop to 'B (sf)'.
"We lowered our rating on class III-M-2 from Credit Suisse First
Boston Mortgage Securities Corp. 2002-26, to 'A+ (sf)' from 'AA
(sf)'. This downgrade reflects the application of our imputed
promises criteria, "Principles For Rating Debt Issues Based On
Imputed Promises," published Dec. 19, 2014, our loan modification
criteria, "Methodology For Incorporating Loan Modifications And
Extraordinary Expenses Into U.S. RMBS Ratings," published April 17,
2015, and our interest shortfall criteria previously referenced,
which resulted in a MPR lower than the previous rating on the
class. When rating U.S. RMBS transactions where credit-related
events can result in a reduction in interest owed to the tranches
across the capital structure rather than an allocation of such a
credit-related loss to the available credit support, we impute the
interest owed to the security holders. Per the transaction
documents, the interest definition for class III-M-2 excludes
unreimbursed advances and other amounts due to the servicers,
master servicer, trust administrator, or the trustee from the net
weighted average coupon (WAC) cap definition (through the net funds
cap and interest remittance amount definitions). This provision
allows the class to potentially receive an interest payment that is
lower than the WAC or the stated pass-through rate. As such, we
analyzed the reduced interest owed to the class from the calculated
WAC and derived the MPR through the application of the imputed
promises criteria framework.
"We lowered our ratings on classes AF and M-1 from Home Equity
Mortgage Loan Asset-Backed Trust, series SPMD 2002-B, to 'A+ (sf)'
from 'AA- (sf)' and to 'B- (sf)' from 'B (sf)', respectively, and
placed both on CreditWatch with negative implications. The
downgrades for each class primarily reflect an increase in severe
delinquencies (90+ delinquent, foreclosure, and real estate-owned
[REO]) since the prior review, which contributed to an overall
increase in our projected remaining loss expectations."
Delinquencies increased to 18.96% (Sept. 2017) from 14.57% (Jan.
2017) at the prior review. The CreditWatch negative placements
reflect the recent and ongoing funds recoupment related to previous
servicer advances of payments for maturing balloon loans within the
collateral pool that had their maturities extended. The funds
recoupment by the servicer from the trust has resulted in several
months of missed interest payments for the rated classes.
S&P said, "We will continue to monitor the recoupment of these
funds and subsequent repayment of missed interest payments, and may
take further negative rating action if we project that the
repayment of missed interest, in addition to interest on this
amount, will not be paid under the current rating scenario."
The list of Affected Ratings can be viewed at:
http://bit.ly/2zUbBLY
[*] S&P Takes Various Actions on 89 Classes From 21 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 89 classes from 21 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2004 and 2007. All of these transactions are backed by
negative amortization (Neg-Am) mortgage loan collateral. The review
yielded 10 downgrades, 50 affirmations, and 29 discontinuances.
Analytical Considerations
S&P incorporates various considerations into its decisions to 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;
-- Priority of principal payments;
-- Proportion of reperforming loans in the pool;
-- Available subordination and/or overcollateralization; and/or
-- Principal write-downs
Rating Actions
S&P said, "The affirmations of ratings reflect our opinion that our
projected credit support and collateral performance on these
classes has remained relatively consistent with our prior
projections."
A list of Affected Ratings can be viewed at:
http://bit.ly/2iiT6pl
*********
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