/raid1/www/Hosts/bankrupt/TCR_Public/180401.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, April 1, 2018, Vol. 22, No. 90
Headlines
ACACIA CRE 1: Moody's Affirms C(sf) Ratings on 6 Tranches
AIMCO CLO 2018-A: Moody's Assigns Ba3 Rating to Class E Notes
AMERICAN CREDIT 2018-1: DBRS Finalizes 'B' Rating on Class F Notes
AMMC CLO 22: S&P Assigns BB(sf) Rating on $9MM Class E-2 Notes
AMRESCO RESIDENTIAL 1998-3: Moody's Hikes 2 Debt Classes to Caa3
ANGEL OAK 2018-1: Fitch to Rate Class B-2 Notes 'Bsf'
APEX CREDIT 2018: Moody's Assigns B3 Rating to Class F Notes
ASSET SECURITIZATION 1997-D4: S&P Affirms BB- Rating on B-4 Certs
BANC OF AMERICA 2006-1: Moody's Hikes Class E Certs Rating to B1
BANC OF AMERICA 2006-3: S&P Cuts Class A-M Certs Rating to 'D(sf)'
BAYVIEW COMMERCIAL 2007-4: Moody's Cuts Cl. A-1 Debt Rating to B3
BBCMS 2018-TALL: Moody's Assigns B2 Rating to Class F Certs
BEAR STEARNS 2007-T28: Fitch Lowers Ratings on 2 Tranches to Csf
BENEFIT STREET XIV: S&P Assigns BB-(sf) Rating on Class E Notes
BLUEMOUNTAIN CLO 2015-3: S&P Assigns Prelim B- Rating on E-R Notes
BROOKFIELD SOUNDVEST: DBRS Confirms Pfd-5 on Preferred Securities
CANADIAN COMMERCIAL 2018-4: DBRS Finalizes BB Rating on F Certs
CD 2007-CD5: Moody's Affirms B3 Rating on Class E Certs
CGGS COMMERCIAL 2018-WSS: DBRS Finalizes B Rating on Cl. HRR Certs
CITIGROUP 2013-375P: Moody's Affirms Ba1 Rating on Cl. E Certs
CPS AUTO 2018-1: DBRS Gives Prov. BB(low) Rating on Class A Notes
CREDIT SUISSE 2018-CX11: Fitch to Rate Class G-RR Certs 'B-sf'
CSAIL 2018-CX11: DBRS Gives Prov. BB(low) Rating on Cl. F-RR Certs
CSFB COMMERCIAL 2006-TFL2: Moody's Affirms Ba2 on Class J Debt
DBUBS COMMERCIAL 2011-LC1: Moody's Affirms B2 Rating on Cl. G Certs
DT AUTO 2018-1: DBRS Finalizes BB Rating on Class E Notes
ENGS COMMERCIAL 2018-1: DBRS Finalizes BB Rating on Class E Notes
FIRST UNION-LEHMAN 1998-C2: Moody's Affirms C Ratings on 2 Tranches
FREDDIE MAC 2018-1: DBRS Finalizes B(low) Rating on Class M Certs
FREDDIE MAC 2018-HQA1: Fitch Assigns 'Bsf' Ratings to 12 Tranches
FREDDIE MAC 2018-SPI1: Fitch Assigns BB- Rating to Cl. M-2 Certs
GMAC COMMERCIAL 1999-C2: Moody's Affirms C Ratings on 2 Tranches
GMAC COMMERCIAL 2003-C3: Moody's Affirms C Rating on Cl. X-1 Certs
GREYWOLF CLO VI: S&P Assigns Prelim BB-(sf) Rating on Cl. D Notes
HAYFIN KINGSLAND VIII: Moody's Assigns Ba3 Rating to Class E Notes
HOUSTON GALLERIA 2015-HGLR: DBRS Confirms BB Rating on Cl. E Certs
HPS LOAN 7-2015: S&P Assigns B(sf) Rating on $11.60MM F-R Notes
IVY HILL XIV: S&P Assigns Prelim BB-(sf) Rating on Class D Notes
JP MORGAN 2018-3: DBRS Assigns Prov. BB Rating on Class B-4 Certs
JPMBB COMMERCIAL 2014-C21: DBRS Confirms BB Rating on Cl. E Certs
LB COMMERCIAL 1999-C1: Moody's Hikes Class H Debt Rating to B1
MELLO MORTGAGE 2018-MTG1: Moody's Assigns (P)B2 Rating to B5 Debt
MORGAN STANLEY 2006-TOP21: Moody's Cuts Class C Debt Rating to B1
MORGAN STANLEY 2013-C9: DBRS Confirms B(low) Rating on Cl. H Certs
NORTHWOODS CAPITAL XVII: Moody's Gives Ba3 Rating to Class E Notes
OBX TRUST 2018-1: DBRS Assigns Prov. BB Rating on Class B-4 Notes
ONEMAIN FINANCIAL 2018-2: DBRS Finalizes BB Rating on Cl. E Notes
PREFERREDPLUS TRUST CZN-1: S&P Affirms B- Rating on Certs Due 2046
RAIT TRUST: DBRS Puts Ratings on 3 Trust Series on Review Negative
RAMP TRUST 2004-RS8: Moody's Hikes Class M-II-2 Debt Rating to B2
READY CAPITAL 2018-4: DBRS Finalizes B(low) Rating on Cl. F Certs
RETL 2018-RVP: S&P Assigns B-(sf) Rating on $160.3MM Class F Certs
SAXON ASSET 1999-3: Moody's Lowers BF-1A Debt Rating to Caa3(sf)
SCG TRUST 2013-SRP1: S&P Lowers Class E Certs Rating to B+(sf)
SKOPOS AUTO 2018-1: DBRS Finalizes BB Rating on Class D Notes
SLC STUDENT 2008-2: Fitch Lowers Rating on Class A-3 Notes to B-sf
SLM STUDENT 2003-10: Moody's Puts Ba3 Rating on B Debt on Review
STEELE CREEK 2014-1R: Moody's Assigns Ba3 Rating to Class E Notes
VOYA CLO 2013-2: S&P Assigns B-(sf) Rating on Class E-R Notes
WACHOVIA BANK 2006-C29: S&P Raises Rating on Class B Certs to BB
WELLS FARGO 2015-LC20: DBRS Confirms BB(low) Rating on Cl. E Certs
WELLS FARGO 2016-C33: DBRS Confirms B Rating on Class X-F Certs
WELLS FARGO 2017-RC1: DBRS Confirms B(low) Ratings on 2 Tranches
WELLS FARGO 2018-C43: Fitch Assigns 'B-sf' Rating to Cl. F Certs
WESTLAKE AUTOMOBILE: DBRS Reviews 33 Ratings From 8 ABS Deals
WOODMONT TRUST 2018-4: S&P Gives Prelim BB Rating on Class E Notes
[*] DBRS Reviews 865 Classes From 73 US RMBS Transactions
[*] Moody's Hikes $1.8BB of Subprime RMBS Issued 2004-2007
[*] Moody's Hikes $4.1MM of Subprime RMBS Issued Before 2000
[*] Moody's Hikes $48MM of Subprime RMBS Issued 2000-2003
[*] Moody's Hikes $71.8MM of Second-Lien RMBS Issued 2003-2006
[*] Moody's Hikes Ratings of $148.7MM of Alt-A RMBS Issued 2005
[*] Moody's Takes Action on $189MM of RMBS Issued 2002-2006
[*] Moody's Takes Action on $884MM of RMBS Issued 2005-2007
[*] S&P Puts 422 Ratings From 63 U.S. RMBS Deals on CreditWatch
[*] S&P Takes Various Actions on 166 Classes From 18 US RMBS Deals
[*] S&P Takes Various Actions on 81 Classes From 53 US ABS Deals
[*] S&P Takes Various Actions on 94 Classes From 23 US RMBS Deals
*********
ACACIA CRE 1: Moody's Affirms C(sf) Ratings on 6 Tranches
---------------------------------------------------------
Moody's Investors Service has affirmed ratings on the following
notes issued by Acacia CRE CDO 1, Ltd.:
Cl. A, Affirmed C (sf); previously on Apr 7, 2017 Affirmed C (sf)
Cl. B, Affirmed C (sf); previously on Apr 7, 2017 Affirmed C (sf)
Cl. C, Affirmed C (sf); previously on Apr 7, 2017 Affirmed C (sf)
Cl. D, Affirmed C (sf); previously on Apr 7, 2017 Affirmed C (sf)
Cl. E, Affirmed C (sf); previously on Apr 7, 2017 Affirmed C (sf)
Cl. F, Affirmed C (sf); previously on Apr 7, 2017 Affirmed C (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes, the Class E Notes, and the Class F Notes are referred to
herein as the "Rated Notes."
RATINGS RATIONALE
Moody's has affirmed the ratings of the transaction because key
transaction metrics are commensurate with the existing ratings.
While the credit of the remaining pool has deteriorated, as
evidenced by WARF and the current level of under-collateralization
has increased, it did not affect the current outstanding Moody's
ratings as the highest rating is C (sf). The rating action is the
result of Moody's on-going surveillance of commercial real estate
collateralized debt obligation (CRE CDO & Re-REMIC) transactions.
Acacia CRE CDO 1, Ltd. is a cash transaction whose reinvestment
period ended in April 2008. The transaction is currently backed by
a portfolio of: i) commercial mortgage backed securities (CMBS)
(93.7% of the pool balance); ii) CRE CDO (3.3%); and iii) asset
backed securities (ABS), primarily in the form of residential
mortgage backed securities (3.0%). As of the February 28, 2018
trustee report, the aggregate note balance of the transaction,
including preferred shares, has decreased to $279.9 million from
$300.0 million at issuance, with principal pay-down directed to the
senior most outstanding class of notes. The pay-down was the result
of a combination of regular amortization and the failure of certain
par value tests.
As of the February 28, 2019 trustee report, the par balance of the
collateral, including defaulted securities, is $16.6 million, which
represents a current under-collateralization of $279.9 million.
The collateral pool contains two CMBS assets totaling $5.5 million
(33.4% of the collateral pool balance) listed as defaulted
securities as of the February 28, 2018 trustee report. There have
been material realized losses on the underlying collateral to date,
and Moody's expects moderate-to-high losses to occur on the
defaulted securities.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), a primary measure of credit quality with
credit assessments completed for all of the collateral; weighted
average life (WAL); weighted average recovery rate (WARR); number
of asset obligors; and pair-wise asset correlation. These
parameters are typically modeled as actual parameters for static
deals and as covenants for managed deals.
For modeling purposes, Moody's used the following base-case
assumptions:
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has updated its assessments for the collateral it does not
rate. The rating agency modeled a bottom-dollar WARF of 6892,
compared to 4790 at last review. The current ratings on the
Moody's-rated collateral and the assessments of the non-Moody's
rated collateral follow: A1-A3 and 1.3% compared to 1.1% at last
review, Baa1-Baa3 and 1.5% compared to 14.3% at last review,
Ba1-Ba3 and 3.3% compared to 0.0% at last review, B1-B3 and 0.0%
compared to 34.4% at last review, Caa1-Ca/C and 93.9% compared to
50.2% at last review.
Moody's modeled a WAL of 2.7 years, compared to 2.1 years at last
review. The WAL is based on assumptions about extensions on the
underlying CMBS collateral look-through assets.
Moody's modeled a fixed WARR of 0.7%, compared to 0.6% at last
review.
Moody's modeled 6 obligors, compared to 7 at last review.
Moody's modeled a pair-wise asset correlation of 53.4%, compared to
47.6% at last review.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating SF CDOs" published in June 2017.
Factors That Would Lead to 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 servicing decisions and
management of the transaction will also affect the performance of
the Rated Notes.
Moody's Parameter Sensitivities: Changes in any one or combination
of the key parameters may have rating implications on certain
classes of Rated Notes. However, in many instances, a change in key
parameter assumptions in certain stress scenarios may be offset by
a change in one or more of the other key parameters. The Rated
Notes are particularly sensitive to changes in the recovery rates
of the underlying collateral and credit assessments. However, in
light of the performance indicators noted above, Moody's believes
that it is unlikely that the ratings announced are sensitive to
further change.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment. Commercial real estate
property values are continuing to move in a positive direction
along with a rise in investment activity and stabilization in core
property type performance. Limited new construction, moderate job
growth and the decreased cost of debt and equity capital have aided
this improvement.
AIMCO CLO 2018-A: Moody's Assigns Ba3 Rating to Class E Notes
-------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by AIMCO CLO, Series 2018-A.
Moody's rating action is as follows:
US$3,000,000 Class X Senior Secured Floating Rate Notes due 2031
(the "Class X Notes"), Assigned Aaa (sf)
US$254,000,000 Class A Senior Secured Floating Rate Notes due 2031
(the "Class A Notes"), Assigned Aaa (sf)
US$48,000,000 Class B Senior Secured Floating Rate Notes due 2031
(the "Class B Notes"), Assigned Aa1 (sf)
US$24,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C Notes"), Assigned A2 (sf)
US$24,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class D Notes"), Assigned Baa3 (sf)
US$19,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class E Notes"), Assigned Ba3 (sf)
The Class X Notes, the Class A Notes, the Class B Notes, the Class
C Notes, the Class D Notes and the Class E Notes are referred to
herein, together, 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.
AIMCO CLO, Series 2018-A is a managed cash flow CLO. The issued
notes will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 90% of the portfolio must consist
of first lien 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 75% ramped as of
the closing date.
Allstate Investment Management Company (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 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: $400,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2820
Weighted Average Spread (WAS): 3.0%
Weighted Average Spread (WAC): 6.5%
Weighted Average Recovery Rate (WARR): 48.75%
Weighted Average Life (WAL): 9 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
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.
AMERICAN CREDIT 2018-1: DBRS Finalizes 'B' Rating on Class F Notes
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by American Credit Acceptance Receivables
Trust 2018-1 (ACAR 2018-1):
-- $99,400,000 Class A Notes rated AAA (sf)
-- $29,400,000 Class B Notes rated AA (sf)
-- $50,400,000 Class C Notes rated A (sf)
-- $35,700,000 Class D Notes rated BBB (sf)
-- $22,400,000 Class E Notes rated BB (sf)
-- $14,000,000 Class F Notes rated B (sf)
The ratings are based on DBRS's review of the following analytical
considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- Credit enhancement is in the form of overcollateralization,
subordination, amounts held in the reserve fund and excess
spread. Credit enhancement levels are sufficient to support
the DBRS-projected expected cumulative net loss assumption
under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under
which they have invested. For this transaction, the ratings
address the payment of timely interest on a monthly basis and
the payment of principal by the legal final maturity date.
-- ACAR 2018-1 provides for Class A, B, C and D coverage
multiples that are slightly below the DBRS range of multiples
set forth in the criteria for this asset class. DBRS believes
that this is warranted, given the magnitude of expected loss
and the structural features of the transaction.
-- The capabilities of American Credit Acceptance, LLC (ACA) with
regard to originations, underwriting and servicing.
-- DBRS has performed an operational review of ACA and considers
the entity to be an acceptable originator and servicer of
subprime automobile loan contracts with an acceptable backup
servicer.
-- The ACA senior management team has considerable experience,
with an average of 18 years in banking, finance and auto
finance companies, as well as an average of approximately
five years of company tenure.
-- ACA has completed 21 securitizations since 2011, including
four transactions in 2017.
-- ACA maintains a strong corporate culture of compliance and a
robust compliance department.
-- The credit quality of the collateral and the consistent
performance of ACA's auto loan portfolio.
-- Considerable availability of historical performance data and a
history of consistent performance on the ACA portfolio.
The ratings also consider the statistical pool characteristics:
-- The pool is seasoned approximately two months and contains ACA
originations from Q1 2013 through Q1 2018.
-- The average remaining life of the collateral pool is
approximately 68 months.
-- The weighted-average FICO score of the pool is 545.
-- The legal structure and presence of legal opinions that
address the true sale of the assets to the Issuer, the non-
consolidation of the special-purpose vehicle with ACA, that
the trust has a valid first-priority security interest in the
assets and the consistency with DBRS's "Legal Criteria for
U.S. Structured Finance" methodology.
The ACAR 2018-1 transaction represents the 22nd securitization
completed by ACA since 2011 and offers both senior and subordinate
rated securities. The receivables securitized in ACAR 2018-1 are
subprime automobile loan contracts secured primarily by used
automobiles, light-duty trucks, vans, motorcycles and minivans.
The rating on the Class A Notes reflects the 66.00% of initial hard
credit enhancement provided by the subordinated notes in the pool,
the Reserve Fund (1.50%) and overcollateralization (10.25%). The
ratings on the Class B, Class C, Class D, Class E and Class F Notes
reflect 55.50%, 37.50%, 24.75%, 16.75% and 11.75% of initial hard
credit enhancement, respectively. Additional credit support may be
provided from excess spread available in the structure.
AMMC CLO 22: S&P Assigns BB(sf) Rating on $9MM Class E-2 Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to AMMC CLO 22 Ltd./AMMC
CLO 22 LLC's $411 million floating-rate notes.
The note issuance is a collateralized loan obligation (CLO)
securitization backed by primarily broadly syndicated
speculative-grade senior secured term loans that are governed by
collateral quality tests.
The ratings reflect S&P's view of:
-- 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
AMMC CLO 22 Ltd./AMMC CLO 22 LLC
Class Rating Amount
(mil. $)
A AAA (sf) 281.25
B AA (sf) 60.75
C (deferrable) A (sf) 27.00
D (deferrable) BBB (sf) 23.00
E-1A (deferrable) BB+ (sf) 5.00
E-1B (deferrable) BB (sf) 5.00
E-2 (deferrable) BB (sf) 9.00
Subordinated notes NR 52.00
NR--Not rated.
AMRESCO RESIDENTIAL 1998-3: Moody's Hikes 2 Debt Classes to Caa3
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of three
tranches issued by AMRESCO Residential Mortgage Loan Trust 1998-3,
a subprime RMBS transaction.
Complete list of rating actions is:
Issuer: AMRESCO Residential Mortgage Loan Trust 1998-3
A-5, Upgraded to Caa3 (sf); previously on Mar 24, 2011 Downgraded
to Ca (sf)
A-6, Upgraded to Caa3 (sf); previously on Mar 24, 2011 Downgraded
to Ca (sf)
M-1A, Upgraded to Baa3 (sf); previously on Aug 22, 2014 Upgraded to
B1 (sf)
RATINGS RATIONALE
The upgrades are primarily due to the total credit enhancement
available to the bonds. The actions reflect the recent performance
of the underlying pools, Moody's updated loss expectations on the
pools and an update in the approach used in analyzing the
transaction structures.
In Moody's prior analysis, Moody's used a static approach for
Moody's ratings analysis in which Moody's compared the total credit
enhancement for the bonds including excess spread, subordination,
overcollateralization, and other external support, if any, to
Moody's expected losses on the mortgage pool(s) supporting the
bonds. Moody's have now updated Moody's approach to include a cash
flow analysis, wherein Moody's ran several different loss levels,
loss timing, and prepayment scenarios using Moody's scripted cash
flow waterfalls to estimate the losses to the different bonds under
these scenarios. The rating action on the bonds reflects the
results of the cashflow analysis.
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 February 2018 from 4.7% in
February 2017. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2018 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 2018. 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.
ANGEL OAK 2018-1: Fitch to Rate Class B-2 Notes 'Bsf'
-----------------------------------------------------
Fitch Ratings expects to rate Angel Oak Mortgage Trust I, LLC
2018-1 (AOMT 2018-1) as follows:
-- $211,895,000 class A-1 notes 'AAAsf'; Outlook Stable;
-- $22,193,000 class A-2 notes 'AAsf'; Outlook Stable;
-- $36,329,000 class A-3 notes 'Asf'; Outlook Stable;
-- $16,932,000 class M-1 notes 'BBBsf'; Outlook Stable;
-- $16,932,000 class B-1 notes 'BBsf'; Outlook Stable;
-- $11,672,000 class B-2 notes 'Bsf'; Outlook Stable.
Fitch will not be rating the following classes:
-- $12,822,000 class B-3 notes.
The 'AAAsf' for AOMT 2018-1 reflects the satisfactory operational
review conducted by Fitch of the originators, 100% loan-level due
diligence review with no material findings, a Tier 2 representation
and warranty framework, and the transaction's structure.
TRANSACTION SUMMARY
The transaction is collateralized with 80.7% non-qualified (Non-QM)
mortgages as defined by the Ability-to-Repay rule (ATR), while 0.3%
is designated as higher-priced QMs (HPQMs) and 8% are Safe Harbor
QM (SHQM). The remainder comprise business purpose/investment
properties and are not subject to ATR.
The certificates are supported by a pool of 905 mortgage loans with
a weighted average original credit score of 701 and a weighted
average original combined loan to value ratio (CLTV) of 76.8%.
Roughly 29% consists of borrowers with prior credit events, 4% are
foreign nationals and 0.7% are second lien loans. In addition,
approximately 34% comprise loans to self-employed borrowers
underwritten to a 24-month bank statement program and 12% are made
to self-employed borrowers underwritten to a 12-month bank
statement program. A 100% loan level due diligence was performed to
confirm adherence to guidelines and controls. The transaction also
benefits from an alignment of interest as Angel Oak Real Estate
Investment Trust I (Angel Oak REIT I) or a majority owned
affiliate, will be retaining a horizontal interest in the
transaction equal to not less than 5% of the aggregate fair market
value of all the certificates in the transaction.
The loan-level reps for this transaction are substantially
consistent with Fitch criteria; however, the lack of an automatic
review for loans other than those with ATR realized loss and the
nature of the prescriptive breach tests, which limit the breach
reviewer's ability to identify or respond to issues not fully
anticipated at closing, resulted in a Tier 2 framework. Fitch
increased its loss expectations (216 bps at the 'AAAsf' rating
category) to mitigate the limitations of the framework and the
non-investment-grade counterparty risk of the providers.
Initial credit enhancement for the class A-1 certificates of 35.55%
is higher than Fitch's 'AAAsf' rating stress loss of 29.75%. The
additional initial credit enhancement is primarily driven by the
pro rata principal distribution between the A-1, A-2 and A-3
certificates, which will result in a significant reduction of the
class A-1 subordination over time through principal payments to the
A-2 and A-3.
KEY RATING DRIVERS
Non-prime Credit Quality (Negative): The pool has a weighted
average (WA) model credit score of 701 and WA original combined
loan-to-value ratio (CLTV) of 76.8%. Roughly 28.6% consists of
borrowers with prior credit events, 3.6% are foreign nationals and
0.7% are second lien loans. Forty-one loans experienced a
delinquency since origination, 34 of which were due to servicer
transfer issues. Approximately 34% was made to self-employed
borrowers underwritten to a 24-month bank statement program and 12%
was made to self-employed borrowers underwritten to a 12-month bank
statement program. Fitch applied default penalties to account for
these attributes and loss severity was adjusted to reflect the
increased risk of ATR challenges and loans with TILA RESPA
Integrated Disclosure (TRID) exceptions.
Satisfactory Originator Review and Track Record (Positive): Fitch
conducted an operational review of AOMS and AOHL and assessed them
as Average based on the companies' seasoned management team and
extensive nonprime mortgage experience, a comprehensive sourcing
strategy and sound underwriting and risk management practices. AOHL
(retail platform) commenced agency loan originations in 2011 and
ramped up its nonprime business in 2012. Correspondent and broker
originations are conducted by AOMS, which began operations in
2014.
Bank Statement Loans Included (Negative): Approximately 45.6% of
the pool (307 loans) were made to self-employed borrowers
underwritten to a bank statement program (33.6% were underwritten
to a 24-month bank statement program and 12% to a 12-month bank
statement program) for verifying income in accordance with either
AOHL or AOMS's guidelines, which is not consistent with Appendix Q
standards and Fitch's view of a full documentation program. While
employment is fully verified and assets partially confirmed, the
limited income verification resulted in application of a
probability of default (PD) penalty of approximately 1.5x for the
bank statement loans at the 'AAAsf' rating category. Additionally,
Fitch's assumed probability of ATR claims was doubled, which
increased the loss severity.
Solid Due Diligence Results (Positive): Third-party loan-level due
diligence was performed on 100% of the pool, the results of which
generally reflect sound underwriting and operational controls. Of
the 792 loans subject to consumer compliance testing (700 of which
were subject to TRID), seven were assigned 'C' grades due to
material noncompliance with TRID.
High Investor Property Concentration (Negative): Approximately 11%
of the pool comprises investment properties, 4.6% of which were
originated through the originators' investor cash flow program that
targets real estate investors qualified on a cash flow ratio basis.
While the borrower's credit score and LTV are used in the
underwriting of the cash flow loans, the ratio of mortgage
principal, interest, taxes, insurance and homeowner association
dues as a percentage of market rent, which averages 72.3%,
determines the debt-to-rent (DTR) ratio. Since Fitch's model was
developed using a debt-to-income (DTI) ratio, in its analysis,
Fitch mapped the DTR to a DTI ratio of comparable credit risk. The
remaining investor properties were underwritten to borrower DTIs.
R&W Framework (Mixed): As sponsor, the REIT, Angel Oak Real Estate
Investment Trust I (Angel Oak REIT I), will be providing loan-level
representations (reps) and warranties (R&W) to the trust. If the
REIT is no longer an ongoing business concern, it will assign to
the trust its rights under the mortgage loan purchase agreements
with the originators, which include repurchase remedies for rep and
warranty breaches. The loan-level reps for this transaction are
substantially consistent with a Tier I framework. However, the lack
of an automatic review for loans, other than those with ATR
realized loss, and the nature of the prescriptive breach tests,
which limit the breach reviewers ability to identify or respond to
issues not fully anticipated at closing, resulted in a Tier 2
framework. Fitch increased its loss expectations (216 bps at the
'AAAsf' rating category) to mitigate the limitations of the
framework and the non-investment-grade counterparty risk of the
providers.
Alignment of Interests (Positive): The transaction benefits from an
alignment of interests between the issuer and investors. Angel Oak
REIT I as sponsor and securitizer, or an affiliate will retain a
horizontal interest in the transaction equal to not less than 5% of
the aggregate fair market value of all certificates in the
transaction. As part of its focus on investing in residential
mortgage credit, as of the closing date, Angel Oak REIT I and Angel
Oak Strategic Mortgage Income Master Fund, Ltd., as co-sponsor,
will retain the class B-2, B-3 and XS certificates. Lastly, the
reps and warranties are provided by Angel Oak REIT I, or the
originators in the event the REIT ceases operations, which aligns
their interests with those of investors to maintain high quality
origination standards and sound performance.
Modified Sequential Payment Structure (Mixed): The structure
distributes collected principal pro rata among the class A notes
while shutting out the subordinate bonds from principal until all
three classes have been reduced to zero. To the extent that either
the cumulative loss trigger event or the delinquency trigger event
occurs in a given period, principal will be distributed
sequentially to the class A-1, A-2 and A-3 bonds until they are
reduced to zero.
Servicing and Master Servicer (Positive): Select Portfolio
Servicing (SPS), rated 'RPS1-'/Stable by Fitch, will be the primary
servicer. Wells Fargo Bank, N.A. (Wells Fargo), rated
'RMS1'/Stable, will act as master. Advances required, but not paid
by SPS will be paid by Wells Fargo. Fitch does not rate any primary
servicer higher than SPS and does not rate any Master Servicer
higher than Wells Fargo.
Recent Natural Disasters (Neutral): Property inspections were
ordered and have been completed for all loans located in the
Hurricane Harvey, Hurricane Irma and California wildfire related
FEMA-designated disaster areas. The inspections showed no property
damage.
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. Two
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 7.5%. The analysis indicates that there is some
potential rating migration with higher MVDs, compared with the
model projection.
APEX CREDIT 2018: Moody's Assigns B3 Rating to Class F Notes
------------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
notes issued by Apex Credit CLO 2018 Ltd.
Moody's rating action is:
US$235,000,000 Class A-1A Senior Secured Floating Rate Notes due
2031 (the "Class A-1A Notes"), Definitive Rating Assigned Aaa (sf)
US$20,500,000 Class A-1B Senior Secured Floating Rate Notes due
2031 (the "Class A-1B Notes"), Definitive Rating Assigned Aaa (sf)
US$37,000,000 Class A-2 Senior Secured Floating Rate Notes due 2031
(the "Class A-2 Notes"), Definitive Rating Assigned Aaa (sf)
US$49,500,000 Class B Senior Secured Floating Rate Notes due 2031
(the "Class B Notes"), Definitive Rating Assigned Aa2 (sf)
US$25,500,000 Class C Secured Deferrable Floating Rate Notes due
2031 (the "Class C Notes"), Definitive Rating Assigned A2 (sf)
US$25,500,000 Class D Secured Deferrable Floating Rate Notes due
2031 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf)
US$21,500,000 Class E Secured Deferrable Floating Rate Notes due
2031 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf)
US$7,500,000 Class F Secured Deferrable Floating Rate Notes due
2031 (the "Class F Notes"), Definitive Rating Assigned B3 (sf)
The Class A-1A Notes, the Class A-1B Notes, the Class A-2 Notes,
the Class B Notes, the Class C Notes, the Class D Notes, the Class
E Notes, and the Class F Notes are referred to herein,
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.
Apex Credit CLO 2018 is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 90% of the portfolio must consist
of first lien 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 95% ramped as of
the closing date.
Apex Credit Partners 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 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: $450,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2715
Weighted Average Spread (WAS): 3.50%
Weighted Average Coupon (WAC): 6.00%
Weighted Average Recovery Rate (WARR): 44.5%
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.\
ASSET SECURITIZATION 1997-D4: S&P Affirms BB- Rating on B-4 Certs
-----------------------------------------------------------------
S&P Global Ratings affirmed its ratings on two classes of
commercial mortgage pass-through certificates from Asset
Securitization Corp.'s series 1997-D4, a U.S. commercial
mortgage-backed securities (CMBS) transaction.
The affirmations reflect the relatively stable nature of the
remaining collateral in the trust. While available credit
enhancement levels suggest positive rating movement on classes B-4
and B-5, S&P also considered the recent downgrade of Sears Holdings
Corp. to 'SD', coupled with the loan's historical refinancing
issues.
The sole remaining loan in the transaction is the K-Mart
Distribution Center ($26.8 million), secured by two industrial
properties totaling 2.8 million sq. ft. in Brighton, Colo., and
Greensboro, N.C. The properties are 100% leased to K-Mart/Sears on
a lease expiring in March 2022, effectively coterminous with the
loan's final maturity date (the loan failed to repay at its Nov. 4,
2017, anticipated repayment date). The master servicer, Berkadia
Commercial Mortgage LLC, confirmed that the Colorado property is
currently vacant. S&P will continue to monitor the Sears situation
and its potential impact on the rated bonds and will take rating
action as we determine necessary.
RATINGS LIST
Asset Securitization Corp.
Comm mtg pass-thru certs series 1997-D4 due 04/14/2029
Rating
Class Identifier To From
B-4 045424EX2 BB- (sf) BB- (sf)
B-5 045424EY0 CCC+ (sf) CCC+ (sf)
BANC OF AMERICA 2006-1: Moody's Hikes Class E Certs Rating to B1
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three classes
and upgraded the rating on one class in Banc of America Commercial
Mortgage Inc. Commercial Mortgage Pass-Through Certificates, Series
2006-1, as follows:
Cl. E, Upgraded to B1 (sf); previously on Aug 18, 2017 Affirmed B3
(sf)
Cl. F, Affirmed Caa3 (sf); previously on Aug 18, 2017 Downgraded to
Caa3 (sf)
Cl. G, Affirmed C (sf); previously on Aug 18, 2017 Affirmed C (sf)
Cl. XC, Affirmed C (sf); previously on Aug 18, 2017 Affirmed C
(sf)
RATINGS RATIONALE
The rating on the P&I class, Class E, was upgraded based primarily
on an increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 53.7% since Moody's last
review.
The rating on the P&I class, Class F, 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 rating on the P&I class, Class G, was affirmed because the
ratings are consistent with Moody's expected loss. Class G has
already experienced a 78% realized loss as result of previously
liquidated loans.
The rating on the IO class, Class XC was affirmed based on the
credit quality of the referenced classes.
Moody's rating action reflects a base expected loss of 10% of the
current pooled balance, compared to 35.6% at Moody's last review.
Moody's base expected loss plus realized losses is now 7.0% of the
original pooled balance, compared to 7.9% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating Banc of America Commercial
Mortgage Inc. Commercial Mortgage Pass-Through Certificates, Series
2006-1, Cl. E., Cl. F, and Cl. G was "Moody's Approach to Rating
Large Loan and Single Asset/Single Borrower CMBS" published in July
2017. The methodologies used in rating Banc of America Commercial
Mortgage Inc. Commercial Mortgage Pass-Through Certificates, Series
2006-1, Cl. XC were "Moody's Approach to Rating Large Loan and
Single Asset/Single Borrower CMBS" published in July 2017 and
"Moody's Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the March 12, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $40.3 million
from $2.0 billion at securitization. The certificates are
collateralized by three mortgage loans ranging in size from less
than 2% to 87.4% of the pool. One loan, constituting 2% of the
pool, has defeased and is secured by US government securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of one, compared to two at Moody's last review.
One loan, constituting 10.6% of the pool, is on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Thirty-nine loans have been liquidated from the pool, resulting in
or contributing to an aggregate realized loss of $139.5 million
(for an average loss severity of 37.9%). There are currently no
loans in special servicing. As of the March 12, 2018 remittance
statement, cumulative interest shortfalls were $7.1 million.
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 37.3% to
the most recently available net operating income (NOI). Moody's
value reflects a weighted average capitalization rate of 9.32%.
The conduit loans represent 98% of the pool balance. The largest
loan is the Plaza Antonio Loan ($35.2 million -- 87.4% of the
pool), which is secured by an 106,000 square foot (SF) retail
center located in Rancho Santa Margarita, California. Historically,
the loan transferred to the special servicer in January 2011
because the borrower indicated they could not support the amortized
debt service payments. The special servicer returned the asset to
the master servicer in February 2014 with no modification. As per
the January 2018 rent roll, the property was 96% leased, compared
to 92% leased as of April 2017. The loan matures in January 2021,
benefits from amortization and is current on its debt service
payments. Moody's LTV and stressed DSCR are 122% and 0.82X,
respectively, compared to 126% and 0.79X at the last review.
The second largest loan is the Best Buy -- Northridge, CA Loan
($4.3 million -- 10.6% of the pool), which is secured by a 45,000
SF, single tenant, retail property located in Porter Ranch,
California, approximately 29 miles north of downtown LA. The
property is located within the Porter Ranch Town Center, which is a
560,000 square foot (SF) dominant power center anchored by a
Walmart, Toys "R" Us (now vacating) and Ralph's. The Best Buy lease
is coterminous with loan maturity of December 2018. As per the
Master Servicer, Best Buy has yet to provide their notice of
renewal. Moody's value incorporates a lit/dark analysis due to the
property's single tenancy. Moody's LTV and stressed DSCR are 127%
and 0.83X, respectively, compared to 128% and 0.82X at the last
review.
BANC OF AMERICA 2006-3: S&P Cuts Class A-M Certs Rating to 'D(sf)'
------------------------------------------------------------------
S&P Global Ratings lowered its rating to 'D (sf)' from 'B (sf)' on
the class A-M commercial mortgage pass-through certificates from
Banc of America Commercial Mortgage Trust 2006-3, a U.S. CMBS
transaction.
S&P said, "The downgrade reflects the interest shortfalls
outstanding, which we expect will remain outstanding for the
foreseeable future. The downgrade also reflects credit support
erosion that we anticipate will occur upon the eventual resolution
of the trust's sole specially serviced loan, the Fifth Third Center
asset ($46.9 million, 33.3%), and the ultimate resolution of the
corrected mortgage loan, Rushmore Mall."
According to the March 12, 2018, trustee remittance report, the
current monthly interest shortfalls to the certificates totaled
$224,068. The shortfalls resulted from $145,157 appraisal
subordinate entitlement reduction amounts, $11,757 special
servicing fees, and $162,232 interest shortfalls from the Rushmore
Mall B-note, all of which were partially offset by principal
proceeds of $95,077.
TRANSACTION SUMMARY
As of the March 12, 2018, trustee remittance report, the collateral
pool balance was $140.9 million, which is 7.2% of the pool balance
at issuance. The pool currently includes two loans (including the
Rushmore Mall A-note and B-note as one loan), down from 97 loans at
issuance. One of these loans ($46.9 million, 33.3%) is with the
special servicer.
Excluding the specially serviced loan and the Rushmore Mall B-note
($36.0 million, 25.5%), we calculated a 1.44x S&P Global Ratings
debt service coverage (DSC) and 97.6% S&P Global Ratings
loan-to-value (LTV) ratio using a 8.25% S&P Global Ratings
capitalization rate for the Rushmore Mall A-note.
To date, the transaction has experienced $351.7 million in
principal losses, or 17.9% of the original pool trust balance. We
expect losses to reach approximately 19.7% of the original pool
trust balance in the near term, based on losses incurred to date
and additional loss we expect upon the eventual resolution of the
specially serviced loan.
CREDIT CONSIDERATIONS
As of the March 12, 2018, trustee remittance report, one loan in
the pool was with the special servicer, KeyBank Real Estate Capital
(KeyBank), details of which follow:
-- The Fifth Third Center loan ($46.9 million, 33.3%) has a total
reported exposure of $52.4 million. The loan is secured by a
330,849-sq.-ft. office building in Columbus, Ohio. The loan was
transferred to the special servicer in May 2015 due to imminent
default. A $30.8 million appraisal reduction amount is in effect
against this loan. S&P expects a significant loss (60% or greater)
upon this loan's eventual resolution.
In addition, the transaction's sole performing loan, the Rushmore
Mall A-note and B-note, with an aggregate balance of $94.0 million
(66.7%), is a corrected loan. The loan had previously defaulted and
was subject to modification in October 2014, the terms of which
included the bifurcation of the loan into an A-note and a B-note,
an extension of the maturity date to February 2019, and interest
deferral on the B-note. The loan is secured by a 737,725-sq.-ft.
mall in Rapid City, S.D. Anchors at the mall include Sears, At
Home, Herberger's, and JC Penney. Sears recently closed at this
location, and Herberger's, part of The Bon-Ton Stores Inc., which
has recently filed for bankruptcy protection, remains open at this
location. Upon resolution, S&P expects a significant loss on the
B-note.
RATINGS LIST
Banc of America Commercial Mortgage Trust 2006-3
Commercial mortgage pass-through certificates series 2006-3
Rating
Class Identifier To From
A-M 059500AF5 D (sf) B (sf)
BAYVIEW COMMERCIAL 2007-4: Moody's Cuts Cl. A-1 Debt Rating to B3
-----------------------------------------------------------------
Moody's Investors Service downgrades two tranches from the 2007-4
transaction and upgrades one tranche from the 2008-1 transaction,
reflecting the performance of the transactions. The transactions
are issued by Bayview Commercial Asset Trust and are backed by
small business loans secured primarily by small commercial real
estate properties in the U.S. owned by small businesses and
investors.
Complete rating actions are as follow:
Issuer: Bayview Commercial Asset Trust 2007-4
Cl. A-1, Downgraded to B3 (sf); previously on Jan 14, 2016
Downgraded to B1 (sf)
Cl. A-2, Downgraded to Ca (sf); previously on Jan 14, 2016
Downgraded to Caa2 (sf)
Issuer: Bayview Commercial Asset Trust 2008-1
Cl. A-3, Upgraded to Aaa (sf); previously on Jan 14, 2016 Upgraded
to Aa2 (sf)
RATINGS RATIONALE
The downgrade actions on the 2007-4 transaction are due to the
continued deterioration of the pool performance and decreased
credit enhancement. Delinquencies of 60 days or more, including
foreclosure and REO, increased to 18% of the outstanding pool
balance as of the March 2018 distribution date from 14% as of the
March 2017 distribution date. The subordination available to Class
A-1 has decreased to 9% as of the March 2018 distribution date from
11% as of March 2017, due to the write downs incurred on both the
Class A-2 and Class M-1 tranches over the past year. The Class M-1
was fully written down as of the October 2017 distribution date,
and the Class A-2 started taking write downs at that time.
The upgrade action on the 2008-1 transaction is due to the
deleveraging of the Class A-3 tranche as it is currently receiving
all principal distributions. Although pool delinquencies have risen
for the transaction, the Class A-3 tranche's hard credit
enhancement from subordination and overcollateralization has grown
to 97% of the outstanding pool balance as of the March 2018
distribution date from 81% as of March 2017.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Moody's Global
Approach to Rating SME Balance Sheet Securitizations" published in
August 2017.
Moody's evaluated the sufficiency of credit enhancement by first
analyzing the loans to determine an expected remaining net loss for
each collateral pool. Moody's compared these expected net losses
with the available credit enhancement, consisting of
overcollateralization, subordination, excess spread, and a reserve
account, if any. For the lower subordinate tranches, Moody's
identified relatively near term future write-downs by examining the
expected losses from loans in foreclosure and REO in relation to a
tranche's available credit enhancement.
Other methodologies and factors that Moody's may have considered in
the process of rating these transactions appear on Moody's website.
More information on Moody's analysis of this transaction is
available at www.moodys.com.
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 expected losses could drive the ratings
up. Losses below Moody's expectations as a result of a decrease in
seriously delinquent loans or lower severities than expected on
liquidated loans.
Down
Levels of credit protection that are insufficient to protect
investors against expected losses could drive the ratings down.
Losses above Moody's expectations as a result of an increase in
seriously delinquent loans and higher severities than expected on
liquidated loans.
BBCMS 2018-TALL: Moody's Assigns B2 Rating to Class F Certs
-----------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to six
classes of CMBS securities, issued by BBCMS 2018-TALL Mortgage
Trust, Commercial Mortgage Pass-Through Certificates, Series
2018-TALL:
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 Baa3 (sf)
Cl. E, Definitive Rating Assigned Ba3 (sf)
Cl. F, Definitive Rating Assigned B2 (sf)
RATINGS RATIONALE
The certificates are collateralized by a single loan secured by the
borrower's fee simple interest in the Willis Tower (formerly known
as the Sears Tower), a 3,785,794 square foot, Class A office
property located in Chicago, Illinois (the "Property"). The loan is
a two-year (with five one-year extension options), floating-rate,
interest-only, first lien mortgage loan with an original and
outstanding principal balance of $1,325,000,000. The ratings are
based on the collateral and the structure of the transaction.
More specifically, the trust assets primarily consist of six
promissory notes (from Component A to Component F) that each
correspond to a class of offered certificates, and which combined
have an aggregate principal balance of $1,258,750,000 as of the
Cut-off Date.
BRE 312 Owner LLC, BRE 312 Broadcast LLC, BRE 312 Conference LLC,
BRE 312 Restaurants LLC, BRE 312 Health Club LLC and BRE 312
Skydeck LLC (both individually and collectively, the "Borrower")
are each a special purpose, Delaware limited liability company
indirectly owned and controlled by the Blackstone Real Estate
Partners VII-NQ L.P. and its affiliated investment entities (the
"Sponsor"). The Borrower was created solely for the purpose of
acquiring, developing, owning, holding, selling, leasing,
transferring, exchanging, managing and operating the Property,
entering into and performing its obligations under the mortgage
loan.
The Willis Tower, formerly known as the Sears Tower, is a
110-story, Class A office building, which in addition to the office
component has a retail component, Skydeck observatory component and
antenna component. The Property is centrally located in the West
Loop submarket of Chicago, Illinois. The Property is currently the
second tallest building in the United States and features nearly
3.8 million square feet of space occupied by a diversified rent
roll with more than 90 unique tenants.
As of March 9, 2018, the Property was 85.6% occupied and featured a
diverse tenant roster, including the headquarters for United
Airlines Inc. (22.4% of NRA), the headquarters for the AM LAW 200
law firm Seyfarth Shaw LLP (5.4% of NRA), and the headquarter for
AM LAW 200 law firm Schiff Hardin LLP (4.8% of NRA), among others.
The rating approach for securities backed by a single loan compares
the credit risk inherent in the underlying collateral with the
credit protection offered by the structure. The structure's credit
enhancement is quantified by the maximum deterioration in property
value that the securities are able to withstand under various
stress scenarios without causing an increase in the expected loss
for various rating levels. In assigning single borrower ratings,
Moody's also consider a range of qualitative issues as well as the
transaction's structural and legal aspects.
The credit risk of loans is determined primarily by two factors: 1)
Moody's assessment of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessment of the
severity of loss upon a default, which is largely driven by each
loan's LTV ratio.
The first mortgage balance of $1,325,000,000 represents a Moody's
LTV of 108.3%. The Moody's First Mortgage Actual DSCR is 2.41X and
Moody's First Mortgage Actual Stressed DSCR is 0.80X.
Notable strengths of the transaction include the asset's trophy
qualities, prime location, accessibility, recent and ongoing
capital investment, recent office leasing momentum, and strong
sponsorship. Offsetting these strengths are the lack of asset
diversification, credit negative legal features, the lack of loan
amortization and variable debt service payments which increases
term risk.
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.
Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from Moody's
Moody's loan level LTV ratios. Major adjustments to determining
proceeds include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.
These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer at
the date it was prepared and such information has not been
independently verified by Moody's; (b) must be construed solely as
a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating to
the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third party
for any loss, injury or cost caused to the issuer or any other
third party, in whole or in part, including by any negligence (but
excluding fraud, dishonesty and/or willful misconduct or any other
type of liability that by law cannot be excluded) on the part of,
or any contingency beyond the control of Moody's, or any of its
employees or agents, including any losses arising from or in
connection with the procurement, compilation, analysis,
interpretation, communication, dissemination, or delivery of any
information or rating relating to the issuer.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan paydowns or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
Moody's ratings address only the credit risks associated with the
transaction. Other non-credit risks have not been addressed and may
have a significant effect on yield to investors.
The ratings do not represent any assessment of (i) the likelihood
or frequency of prepayment on the mortgage loans, (ii) the
allocation of net aggregate prepayment interest shortfalls, (iii)
whether or to what extent prepayment premiums might be received, or
(iv) in the case of any class of interest-only certificates, the
likelihood that the holders thereof might not fully recover their
investment in the event of a rapid rate of prepayment of the
mortgage loans.
BEAR STEARNS 2007-T28: Fitch Lowers Ratings on 2 Tranches to Csf
----------------------------------------------------------------
Fitch Ratings has downgraded three and affirmed 10 classes of Bear
Stearns Commercial Mortgage Securities Trust Pass-Through
Certificates, series 2007-T28 (BSCMS 2007-T28).
KEY RATING DRIVERS
Increased Loss Expectations; Pool Concentration; Adverse Selection:
The downgrades reflect increased loss expectations on specially
serviced loans, pool concentration and adverse selection. Since
April 2017, 110 loans ($738.5 million) have paid in full without
incurring any realized losses. Only five loans remain, four of
which are specially serviced (95.8% of the pool). Given the
concentration, Fitch utilized a sensitivity stress analysis and
determined that more than 50% of the senior bonds (class B)
repayment would be reliant on proceeds from the disposition of
specially serviced assets.
As of the March 2018 distribution date, the transaction has been
reduced by 93.7% since issuance, to $111.5 million from $1.76
billion. Cumulative interest shortfalls of $1.7 million are
currently affecting classes F through P and there has been $55.7
million (3% of original pool balance) in realized losses to date.
The non-specially serviced loan is secured by a 14,820
single-tenant Walgreens in Westford, MA.
Concentration of Specially Serviced Loans: Four loans are specially
serviced (95.8% of the pool). The largest loan, Charleston Town
Center (82.6%), which is secured by a regional mall in Charleston,
WV, transferred to special servicing in September 2017 due to
maturity default. The property has had significant occupancy
declines, with Sears (non-collateral) closing in April 2017. In
addition, the property has exposure to both Macy's and J.C. Penney,
on top of several inline tenants that have closed or are expected
to close in 2018 due to bankruptcy or declining performance. Per
the January 2018 rent roll, total mall occupancy is 71% with NOI
DSCR reporting at 1.55x as of September 2017. Per servicer updates,
a receiver was appointed in January 2018 and a foreclosure sale is
anticipated for second quarter 2018.
The other three specially serviced loans, which were all
transferred for maturity default, include Castaic Creek Plaza
(6.3%), which is secured by a 33,643 sf retail center in Los
Angeles, CA, Hampton Inn (6%), which is secured by a 116 key hotel
in St. Clairesville, OH and Shadow Hills Shopping Center (0.9%),
which is secured by a 11,200 sf retail center in Lubbock, TX.
RATING SENSITIVITIES
The Negative Outlook on class B reflects the reliance on specially
serviced loans with uncertain timing of dispositions. Upgrades are
not expected due to increased loss expectations and pool
concentration. Distressed classes are subject to downgrades as
losses are realized.
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 downgraded the following classes:
-- $15.4 million class C to 'CCCsf' from 'BBsf'; RE 100%;
-- $28.6 million class D to 'Csf' from 'CCCsf'; RE 0%;
-- $22 million class E to 'Csf' from 'CCsf'; RE 0%.
In addition, Fitch has affirmed and revised Outlooks where
indicated on the following classes:
-- $13 million class B at 'BBsf'; Outlook to Negative from
Stable;
-- $17.6 million class F at 'Csf'; RE 0%;
-- $14.8 million class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-AB, A-4, A-1A, A-M and A-J certificates
have paid in full. Fitch does not rate the class P certificates.
Fitch had previously withdrawn the ratings on the interest-only
class X-1 and X-2 certificates.
BENEFIT STREET XIV: S&P Assigns BB-(sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to Benefit Street Partners
CLO XIV Ltd.'s $451.58 million floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed primarily by broadly syndicated speculative-grade senior
secured term loans.
The rating reflects:
-- 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
Benefit Street Partners CLO XIV Ltd./Benefit Street Partners CLO
XIV LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 321.053
A-2 NR 31.579
B AA (sf) 40.790
C A (sf) 38.158
D BBB- (sf) 31.579
E BB- (sf) 20.000
Subordinated notes NR 53.158
NR--Not rated.
BLUEMOUNTAIN CLO 2015-3: S&P Assigns Prelim B- Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
X-R, A-1-R, A-2-R, B-R, C-R, D-R, and E-R replacement notes from
BlueMountain CLO 2015-3 Ltd., a collateralized loan obligation
(CLO) originally issued in September 2015 that is managed by
BlueMountain Capital Management LLC/BlueMountain Fuji Management
LLC. The replacement notes will be issued via a proposed
supplemental indenture.
The preliminary ratings reflect S&P's opinion that the credit
support available is commensurate with the associated rating
levels.
The preliminary ratings are based on information as of March 28,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the April 12, 2018, 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:
-- Issue the replacement class X-R, A-1-R, A-2-R, B-R, and C-R
notes at a lower spread than the original notes.
-- Extend the stated maturity, reinvestment period, and non-call
period by 3.5, 3.5, and 2.5 years, respectively.
-- Use updated S&P Global Ratings' industry classifications,
recoveries, and country groupings for recovery purposes.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance (see table). In
line with our criteria, our cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, our analysis considered
the transaction's ability to pay timely interest or ultimate
principal, or both, to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take further rating actions
as we deem necessary."
PRELIMINARY RATINGS ASSIGNED
BlueMountain CLO 2015-3 Ltd.
Replacement class Rating Amount (mil. $)
X-R AAA (sf) 2.00
A-1-R AAA (sf) 279.00
A-2-R AA (sf) 58.50
B-R A (sf) 31.50
C-R BBB- (sf) 27.00
D-R BB- (sf) 18.00
E-R B- (sf) 9.00
Subordinated notes NR 37.85
NR--Not rated.
BROOKFIELD SOUNDVEST: DBRS Confirms Pfd-5 on Preferred Securities
-----------------------------------------------------------------
DBRS Limited confirmed the rating on the Preferred Securities
issued by Brookfield Soundvest Split Trust (the Trust) at Pfd-5
(high). The Trust invests in a diversified portfolio of Canadian
companies (the Portfolio). Eligible investments of the Trust
currently include common shares and preferred shares, income
trusts, income securities (including bonds and debentures), real
estate investment trusts, Canadian mortgage-backed securities and
other equity securities. The Trust may engage in securities lending
to generate additional income.
Holders of the Preferred Securities receive fixed quarterly
interest payments of $0.15, yielding 6.0% annually on the issue
price of $10.00 per security. Holders of capital units of the Trust
(the Capital Units) may receive regular monthly cash distributions,
subject to the Preferred Security asset coverage ratio being
greater than 1.4 times (x). The Capital Unit distributions were
suspended in August 2011 as a result of the asset coverage test not
being met.
Based on the latest Portfolio yield as at March 2, 2018, the
Preferred Securities distribution coverage ratio was approximately
0.4x. The insufficient amount of Portfolio dividends to cover
Preferred Security distributions is projected to create an average
annual grind on the Portfolio of approximately 3.2% in the next
three years. As at March 2, 2018, the downside protection available
to the Preferred Securities was approximately 9.7%. The downside
protection has remained volatile throughout the past year as it
depends on the value of underlying securities of the Portfolio.
Considering the amount of downside protection available to the
Preferred Securities and projected grind until the expected end of
the term on March 31, 2020, DBRS confirmed the rating on the
Preferred Securities issued by the Trust at Pfd-5 (high).
Notes: All figures are in Canadian dollars unless otherwise noted.
CANADIAN COMMERCIAL 2018-4: DBRS Finalizes BB Rating on F Certs
---------------------------------------------------------------
DBRS Limited finalized the provisional ratings of the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2018-4 issued by Canadian Commercial Mortgage Origination Trust 4:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
-- Class G at B (sf)
-- Class X at A (high) (sf)
All trends are Stable.
Classes A-2, B, C, D, E, F and G will be privately placed. Class X
is notional.
The collateral consists of 53 fixed-rate loans secured by 53
commercial properties. The transaction is a sequential-pay
pass-through structure. The conduit pool was analyzed to determine
the ratings, reflecting the long-term probability of loan default
within the term and its liquidity at maturity. When the cut-off
loan balances were measured against the DBRS Stabilized NCF and
their respective actual constants, DBRS did not identify any loans,
based on the trust balances, as having a term DSCR below 1.15 times
(x), which is a threshold indicative of a higher likelihood of
mid-term default. Additionally, to assess refinance risk given the
current low interest rate environment, DBRS applied its refinance
constants to the balloon amounts. This resulted in eight loans,
representing 16.8% of the pool, having refinance DSCRs below 1.00x
base on the trust balance, indicating elevated refinance risk.
Twelve loans (27.7% of the pool by loan balance) were considered by
DBRS to have Strong sponsor strength, and 42 loans (79.1% of the
pool by loan balance) were considered to have meaningful recourse
to the respective sponsor; all else being equal, recourse loans
typically have lower probability of default and were modeled as
such. All loans in the transaction amortize for the entire term,
with 83.9% of the pool by loan balance amortizing on schedules that
are 25 years or less and the remaining loans amortizing on
schedules that are between 25 years and 30 years.
The transaction exhibits sponsor concentration as evidenced by only
41 sponsors and/or sponsor groups for the pool of 53 loans, and 17
loans (34.8% of the pool balance) have related borrowers to one or
more loans within the pool. However, all these 17 loans have
meaningful recourse to the sponsor, and none of the related
sponsors were considered by DBRS to be weak or below average in
terms of net worth or liquidity.
The DBRS sample included 34 of the 53 loans in the pool. Site
inspections were performed on 30 of the 53 properties in the
portfolio (75.1% of the pool by allocated loan balance). The DBRS
sample had an average NCF variance of -4.5% from the Issuer's NCF
and ranged from -29.1% (Calgary Cross Dock) to +2.5% (5200 Dixie
Industrial).
Class X is an interest-only (IO) certificate that references
multiple rated tranches. The IO rating mirrors the lowest-rated
reference tranche adjusted upward by one notch if senior in the
waterfall.
Notes: All figures are in Canadian dollars unless otherwise noted.
CD 2007-CD5: Moody's Affirms B3 Rating on Class E Certs
-------------------------------------------------------
Moody's Investors Service upgraded the rating on one class and
affirmed the ratings on six classes in CD 2007-CD5 Mortgage Trust,
Commercial Mortgage Pass-Through Certificates, Series 2007-CD5:
CL. D, Upgraded to B1 (sf); previously on Jun 2, 2017 Affirmed B2
(sf)
CL. E, Affirmed B3 (sf); previously on Jun 2, 2017 Affirmed B3
(sf)
CL. F, Affirmed Caa2 (sf); previously on Jun 2, 2017 Downgraded to
Caa2 (sf)
CL. G, Affirmed Caa3 (sf); previously on Jun 2, 2017 Downgraded to
Caa3 (sf)
CL. H, Affirmed C (sf); previously on Jun 2, 2017 Affirmed C (sf)
CL. J, Affirmed C (sf); previously on Jun 2, 2017 Affirmed C (sf)
CL. K, Affirmed C (sf); previously on Jun 2, 2017 Affirmed C (sf)
RATINGS RATIONALE
The rating on Class D was upgraded based primarily on an increase
in credit support resulting from loan paydowns and amortization.
The deal has paid down 81% since Moody's last review.
The ratings on the other six P&I were affirmed because the ratings
are consistent with Moody's expected loss. Thirteen loans
representing 98% of the pool are currently in special servicing.
Moody's rating action reflects a base expected loss of 53.9% of the
current pooled balance, compared to 13.0% at Moody's last review.
Moody's base expected loss plus realized losses is now 8.5% of the
original pooled balance, compared to 9.4% 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.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 98% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced loan that it
expects will generate a loss and estimates a loss given default
based on a review of broker's opinions of value (if available),
other information from the special servicer, available market data
and Moody's internal data. The loss given default for each loan
also takes into consideration repayment of servicer advances to
date, estimated future advances and closing costs. Translating the
probability of default and loss given default into an expected loss
estimate, Moody's then applies the aggregate loss from specially
serviced to the most junior classes and the recovery as a pay down
of principal to the most senior classes.
DEAL PERFORMANCE
As of the March 15, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 94% to $127.6
million from $2.09 billion at securitization. The certificates are
collateralized by 14 mortgage loans ranging in size from 1% to 20%
of the pool.
No loans 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-six loans have been liquidated from the pool, resulting in
an aggregate realized loss of $109.4 million (for an average loss
severity of 40.2%). Thirteen loans, constituting 98% of the pool,
are currently in special servicing.
The largest specially serviced loan is the Versar Center Office
Building Loan ($25.7 million -- 20.1% of the pool), which is
secured by a 217,396 square foot (SF) suburban office property
located in Springfield, Virginia, 14 miles southwest of Washington
DC. The loan transferred to special servicing in October 2014 due
to imminent default. As of September 2017, the property was a
combined 56% occupied, compared to 64% occupied at the prior review
and 62% in December 2015.
The second largest specially serviced loan is the Parkway Plaza
Loan ($25.2 million -- 19.7% of the pool), which is secured by a
262,624 SF power retail center located Norman, Oklahoma, twenty
miles south of the Oklahoma City CBD. The loan transferred to
special servicing in May 2016 for imminent default and is now REO.
The property is currently anchored by Toys R Us, Ross Dress for
Less, Bed Bath & Beyond, Barnes and Noble, and Pet Smart. The Toys
R Us is expected to close this location within the next couple
months. As of March 2017, the property was 73% occupied, compared
to 90% in Sept 2016.
The third largest specially serviced loan is the Arlington Center
loan ($18.8 million -- 14.8% of the pool), which is secured by a
Class B+ suburban build-to-suit office building located in
Arlington, Texas. The property is 100% leased to JP Morgan Chase
Bank through September 2027 and is used as a call center. The loan
had an original maturity date in October 2017 and transferred to
special servicing in September 2017 due to imminent maturity
default. The special servicer indicated they are proceeding with
foreclosure as there are no pending workout proposals from the
borrower.
The remaining ten specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $68.8 million loss
for the specially serviced loans (55% expected loss on average).
The sole performing loan is the Fletcher Square Shopping Center
Loan ($2.5 million -- 2.0% of the pool), which is secured by a
44,969 square foot retail property located in Dunbar, West
Virginia. The largest tenant, JoAnn Fabrics, occupies 15,060 SF or
38% of GLA and has a lease expiration in January 2022. The property
was 100% leased as of September 2017. This loan had an original
anticipated repayment date (ARD) in October 2017. The borrower
indicated they are in the process of seeking refinancing to payoff
the loan. Moody's LTV and stressed DSCR are 82% and 1.26X,
respectively, the same as at the last review.
CGGS COMMERCIAL 2018-WSS: DBRS Finalizes B Rating on Cl. HRR Certs
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2018-WSS to be issued by CGGS Commercial Mortgage Trust 2018-WSS:
-- Class A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class X-CP at AA (low) (sf)
-- Class X-NCP at AA (low) (sf)
-- Class C at A (high) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class HRR at B (sf)
All trends are Stable.
The Class X-CP and Class X-NCP balances are notional.
The $405.0 million trust mortgage loan is secured by the fee
interest in a portfolio of 92 economies, extended-stay hotels,
totaling 10,978 keys, located in 22 different states across the
United States. All the hotels in the portfolio will operate under
the Wood Spring Suites flag. Six of the assets currently operate
under the Value Place flag, but are expected to be converted by the
end of Q1 2018. The 92 collateral assets are being acquired by the
sponsor, Brookfield Strategic Real Estate Partners II (Brookfield),
as part of a 107 Wood Spring Suites hotel portfolio for a total
purchase price of $767.5 million from Lindsay Goldberg.
Simultaneously, Choice Hotels International, Inc. (Choice) will
acquire the Wood Spring Suites brand from Lindsay Goldberg in a
separate transaction for approximately $231.0 million and will then
enter into new 20-year franchise agreements with Brookfield for the
hotels. Lindsay Goldberg will retain the management platform and
will continue to manage the hotels following the acquisition by
Brookfield. Brookfield is acquiring the assets as part of a series
of private investment funds with over $9.0 billion of capital
commitments at its closing in April 2016. Brookfield Asset
Management, Inc. and its affiliates have over $155 billion of
assets under management around the world. The subject financing
totals $530.0 million, with $405.0 million structured as mortgage
debt and $125.0 million structured as mezzanine debt. The debt
package, along with a $177.3 million equity infusion from
Brookfield, will acquire the 92 collateral assets for an allocated
purchase price of $707.3 million and cover closing costs. The 15
remaining non-collateral hotels are transitional and will be
financed separately. The loan is a two-year floating-rate
(one-month LIBOR plus 2.46% per annum) interest-only mortgage loan
with five one-year extension options.
The properties are relatively new, having been built between 2003
and 2016. Since 2013, approximately $54.6 million ($4,972 per key)
of capital expenditure (capex) has been invested across the
collateral portfolio, including $8.9 million in rebranding costs in
2016 and 2017. Since June 2016, 81 of the assets were converted
from the Value Place brand to Wood Spring Suites as part of a
brand-wide initiative, while five assets represent newly
constructed Wood Spring Suites hotels. The rebrand has greatly
benefited from the converted assets, despite the level of capital
investment associated with conversions being quite low, as 76
assets, reporting full YE2015 and YE2017 financial figures, have
experienced a 14.9% increase in revenue per available room (RevPAR)
and a 18.6% in net cash flow (NCF). Meanwhile, the unconverted
assets have experienced a 3.7% decrease in RevPAR and a 14.4%
decrease in NCF over the same period. These six assets are
anticipated to benefit from the rebrand; however, more importantly,
the portfolio as a whole will benefit from the brand acquisition of
the brand by Choice. Being part of the Choice platform will create
a brand activation and access to revenue management systems,
national customer accounts and its loyalty program. Additionally,
the portfolio should be able to push NCF margins through economies
of scale, operational efficiencies and savings with online travel
agencies. DBRS assessed the overall portfolio quality to be Average
based on the site inspections, with all inspected properties deemed
to be Average, except for one property with a quality assessment of
Average (-). The properties inspected were generally noted to be in
good condition and appealing for a low-cost alternative product, as
all properties had been recently converted or are of relatively new
construction. The recent capex spent across the portfolio will
serve to benefit the hotels in the near term to maintain the
overall quality of the product, as the portfolio has exhibited
consistently higher occupancies, which will expedite the wear and
tear on the rooms.
The portfolio is concentrated by property type, as all properties
are extended-stay hotels. Hotels have the highest cash flow
volatility of all property types because of the relatively short
lease/length of stay compared with commercial properties, as well
as higher operating leverage. These dynamics can lead to rapidly
deteriorating cash flow in a declining market and, with nationwide
RevPAR in its eighth consecutive year of growth, relatively easy
RevPAR gains appear to be gone. However, the portfolio has
experienced substantial gains in RevPAR, increasing 24.9% since
2014, with year-over-year gains being relatively consistent at 7.3%
in 2015, 6.9% in 2016 and 8.9% in 2017. Performance is expected to
continue in the near term as the benefits of being part of the
Choice flag are fully recognized. Furthermore, extended-stay
hotels, which have a much more stable cash flow profile than
traditional hotels by virtue of offering limited housekeeping
services and being limited to essentially non-existent food and
beverage outlets, keeping common areas small and not offering more
than just basic amenities, the expense ratios of this product type
are relatively low. As of YE2017, the portfolio's NCF margin was
42.0% and has the ability to improve, as various cost synergies are
implemented at the properties being part of the Choice platform.
NCF margins for extended-stay hotels generally compare very
favorably with traditional hotel properties, as high cash flow
margins result in lower cash flow volatility, allowing the subject
portfolio to withstand greater revenue declines than traditional
lodging assets.
The as-is portfolio appraised value is $710.0 million, assuming a
bulk sale, based on an applied cap rate of 8.3%, which equates to a
relatively low appraised loan-to-value (LTV) ratio of 57.0%. The
DBRS-concluded value of $424.8 million ($38,696 per key) represents
a significant 40.2% discount to the bulk sale appraised value and
results in a DBRS LTV of 95.3%, which is indicative of
high-leverage financing; however, the DBRS value is based on a
reversionary cap rate of 11.61%, which represents a significant
stress over current prevailing market cap rates. Furthermore, the
loan's DBRS Debt Yield and DBRS Term DSCR at 12.2% and 2.32 times,
respectively, are moderate considering the portfolio is primarily
securitized by secondary suburban extended-stay hotels and the
portfolio's insurable replacement cost of $637.1 million (excluding
land value) is substantial higher than the whole loan amount of
$530.0 million.
Classes X-CP and X-NCP are interest-only (IO) certificates that
reference a single rated tranche or multiple rated tranches. The IO
rating mirrors the lowest-rated reference tranche adjusted upward
by one notch if senior in the waterfall.
CITIGROUP 2013-375P: Moody's Affirms Ba1 Rating on Cl. E Certs
--------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on six classes
Citigroup Commercial Mortgage Trust 2013-375P, Commercial Mortgage
Pass-Through Certificates, Series 2013-375P as follows:
Cl. A, Affirmed Aaa (sf); previously on Mar 24, 2017 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa1 (sf); previously on Mar 24, 2017 Affirmed Aa1
(sf)
Cl. C, Affirmed A1 (sf); previously on Mar 24, 2017 Affirmed A1
(sf)
Cl. D, Affirmed Baa1 (sf); previously on Mar 24, 2017 Affirmed Baa1
(sf)
Cl. E, Affirmed Ba1 (sf); previously on Mar 24, 2017 Affirmed Ba1
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on Mar 24, 2017 Affirmed Aaa
(sf)
RATINGS RATIONALE
The ratings on the five P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The rating on the IO class, Class X-A, was affirmed based on the
credit quality of its referenced class.
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 rating Citigroup Commercial
Mortgage Trust 2013-375P, Cl. A, Cl. B, Cl. C, Cl. D, and Cl. E was
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in July 2017. The methodologies used in
rating Citigroup Commercial Mortgage Trust 2013-375P, Cl. X-A were
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in July 2017 and "Moody's Approach to
Rating Structured Finance Interest-Only (IO) Securities" published
in June 2017.
DEAL PERFORMANCE
As of the March 12, 2018 Distribution Date, the transaction's
certificate balance was approximately $574 million, the same as at
securitization. The certificates are collateralized by a single
loan backed by a first lien commercial mortgage related to 375 Park
Avenue, also known as the Seagram Building, a Class A trophy office
building located in New York City. The building has 38 stories with
a net rentable area (NRA) of approximately 830,928 square feet. The
property was 97% leased as of September 30, 2017.
The loan has a $209 million pari passu portion that was securitized
in COMM 2013-CCRE8. There is also mezzanine debt in the amount of
$217 million. Moody's loan to value (LTV) ratio and Moody's
stressed debt service coverage ratio (DSCR) for the securitized
debt are 87% and 0.87X, respectively. Moody's current structured
credit assessment for this loan is ba1 (sca.pd), the same as the
last review.
CPS AUTO 2018-1: DBRS Gives Prov. BB(low) Rating on Class A Notes
-----------------------------------------------------------------
DBRS, Inc. assigned a provisional rating to the following class to
be issued by CPS Auto Securitization Trust 2018-1 (the Issuer):
-- $50,500,000 Class A Notes rated BB (low) (sf)
The rating is based on a review by DBRS of the following analytical
considerations:
-- Transaction capital structure, proposed rating and form and
sufficiency of available credit enhancement.
-- Credit enhancement is in the form of overcollateralization
(OC), amounts held in the reserve fund and excess cash flows.
-- Credit enhancement levels are sufficient to support the DBRS-
projected expected cumulative net loss assumption under
various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under
which they have invested.
-- For this transaction, the rating addresses the payment of
timely interest and the payment of principal by the legal
final maturity date.
-- Pursuant to the terms of the transaction, interest which is
due but not paid on any payment date will be payable on the
next payment date with interest on such unpaid amounts.
-- Failure to pay interest on any payment date will not
constitute an event of default.
-- The consistent performance of the DBRS-rated Initial
Underlying Securitization Transactions and the stability and
migration of outstanding ratings.
-- Pursuant to the DBRS Internal Assessment Global Policy, DBRS
has relied on public ratings issued by other credit rating
agencies for the assessment of certain tranches of Initial
Underlying Securitization Transactions not rated by DBRS.
-- DBRS has excluded CPS Auto Receivables Trust 2013-C and CPS
Auto Receivables Trust 2014-A in the initial rating analysis.
Pursuant to the DBRS methodology "Rating U.S. Structured
Finance Transactions," generally the highest rating assigned
in a residual re-securitization may not exceed the lowest
outstanding rating in the pool of primary transactions.
-- The capabilities of Consumer Portfolio Services, Inc. (CPS)
with regard to originations, underwriting and servicing of
the fixed-rate subprime motor vehicle retail installment
contracts and installment loan agreements that secure each
Initial Underlying Securitization Transaction.
-- DBRS has performed an operational review of CPS and considers
the entity to be an acceptable originator and servicer of
subprime automobile loan contracts with an acceptable backup
servicer.
-- The CPS senior management team has considerable experience and
a successful track record within the auto finance industry,
having managed the company through multiple economic cycles.
-- The quality and consistency of provided historical static pool
data for CPS originations, performance of the CPS auto loan
portfolio and performance of the Initial Underlying
Securitization Transactions.
-- The legal structure and presence of legal opinions that
address the true sale of the collateral to the Issuer, the
non-consolidation of the special-purpose vehicle with CPS,
that the trust has a valid first-priority security interest
in the collateral and the consistency with the DBRS "Legal
Criteria for U.S. Structured Finance".
The rating on the Class A Notes reflects the 68.01% of initial hard
credit enhancement provided by the Reserve Account (0.32%) and OC
(67.69%). Additional credit support may be provided from excess
cash flow available in the structure.
Notes: All figures are in U.S. dollars unless otherwise noted.
CREDIT SUISSE 2018-CX11: Fitch to Rate Class G-RR Certs 'B-sf'
--------------------------------------------------------------
Fitch Ratings has issued a presale report on Credit Suisse CSAIL
2018-CX11 Commercial Mortgage Trust Commercial Mortgage
Pass-Through Certificates Series 2018-CX11.
Fitch expects to rate the transaction and assign Rating Outlooks:
-- $30,370,000 class A-1 'AAAsf'; Outlook Stable;
-- $50,930,000 class A-2 'AAAsf'; Outlook Stable;
-- $61,244,000 class A-3 'AAAsf'; Outlook Stable;
-- $195,000,000 class A-4 'AAAsf'; Outlook Stable;
-- $292,512,000 class A-5 'AAAsf'; Outlook Stable;
-- $36,952,000 class A-SB 'AAAsf'; Outlook Stable;
-- $745,619,000a class X-A 'AAAsf'; Outlook Stable;
-- $80,994,000a class X-B 'A-sf'; Outlook Stable;
-- $78,611,000 class A-S 'AAAsf'; Outlook Stable;
-- $39,306,000 class B 'AA-sf'; Outlook Stable;
-- $41,688,000 class C 'A-sf'; Outlook Stable;
-- $30,968,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $30,968,000b class D 'BBB-sf'; Outlook Stable;
-- $19,058,000bc class E-RR 'BBB-sf'; Outlook Stable;
-- $23,822,000bc class F-RR 'BB-sf'; Outlook Stable;
-- $9,528,000bc class G-RR 'B-sf'; Outlook Stable.
The following class is not expected to be rated:
-- $42,879,784bc class NR-RR.
(a) Notional amount and interest-only.
(b) Privately placed and pursuant to Rule 144A.
(c) Horizontal credit risk retention interest which equals at least
5% of the estimated fair value of all the classes of regular
certificates issued by the issuing entity (as of the closing
date).
The expected ratings are based on information provided by the
issuer as of March 21, 2018.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 56 loans secured by 118
commercial properties having an aggregate principal balance of
$952,868,784 as of the cut-off date. The loans were contributed to
the trust by: Column Financial, Inc., Argentic Real Estate Finance
LLC, Natixis Real Estate Capital LLC, Barclays Bank PLC and Benefit
Street Partners CRE Finance LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 61.8% of the properties
by balance, cash flow analysis of 81.9%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Higher Fitch Leverage Relative to Recent Transactions: The pool has
average leverage relative to other recent Fitch-rated multiborrower
transactions. The pool's Fitch LTV of 102.7% is slightly higher
than the 2017 average of 101.6% and lower than the 2016 average of
105.2%. The pool's Fitch DSCR of 1.22x is below the 2017 average of
1.26x and in line with the 2016 average of 1.21x. Excluding the
credit opinion loans, the Fitch DSCR is 1.19x and the Fitch LTV is
108.0%.
Investment-Grade Credit Opinion Loans: There are four loans with
investment-grade credit opinions totaling 11.6% of the pool. These
loans include One State Street Plaza (BBB+sf*; 5.2%), Moffett
Towers II - Building 2 (BBB-sf*; 3.1%), Yorkshire & Lexington
Towers (BBBsf*; 2.1%) and 111 West Jackson (BBB+sf*, 1.2%). The
portion of the pool with investment-grade credit opinions is in
line with the 2017 average of 11.7% credit opinion loans in other
Fitch-rated multiborrower transactions. Net of these loans, the
Fitch DSCR and LTV are 1.19x and 108.0%, respectively, for this
transaction.
Better Than Average Pool Diversity: The top 10 loans comprise 46.1%
of the pool. This is lower than the 2017 and 2016 averages of 53.1%
and 54.8%, respectively. Additionally, the loan concentration index
is 310, which is also below the 2017 and 2016 averages of 398 and
421, respectively.
CSAIL 2018-CX11: DBRS Gives Prov. BB(low) Rating on Cl. F-RR Certs
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2018-CX11 to
be issued by CSAIL 2018-CX11 Commercial Mortgage Trust:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class X-B at A (sf)
-- Class C at A (low) (sf)
-- Class X-D at BBB (high) (sf)
-- Class D at BBB (sf)
-- Class E-RR at BBB (low) (sf)
-- Class F-RR at BB (low) (sf)
-- Class G-RR at B (high) (sf)
Classes X-D, D, E-RR, F-RR and G-RR will be privately placed. The
Class X-A, X-B and X-D balances are notional.
The collateral consists of 56 fixed-rate loans secured by 118
commercial and multifamily properties. The transaction is of a
sequential-pay pass-through structure. The trust assets contributed
from five loans, representing 16.2% of the pool, are shadow-rated
investment grade by DBRS. Proceeds for each shadow-rated loan are
floored at their respective ratings within the pool. When 16.2% of
the pool has no proceeds assigned below the rated floor, the
resulting pool subordination is diluted or reduced below the rated
floor. The conduit pool was analyzed to determine the provisional
ratings, reflecting the long-term probability of loan default
within the term and its liquidity at maturity. When the cut-off
loan balances were measured against the stabilized net cash flow
(NCF) and their respective actual constants, eight loans,
representing 11.6% of the pool, have a DBRS Term Debt Service
Coverage Ratio (DSCR) below 1.15 times (x), a threshold indicative
of a higher likelihood of mid-term default. Additionally, to assess
refinance risk given the current low interest rate environment,
DBRS applied its refinance constants to the balloon amounts. This
resulted in 27 loans, representing 55.8% of the pool, having
refinance DSCRs below 1.00x, and 21 loans, representing 51.7% of
the pool, having refinance DSCRs below 0.90x.
Five of the largest loans — One State Street, Moffett Towers II
– Building 2, the Northrop Grumman Portfolio, Lehigh Valley Mall
and Yorkshire & Lexington Towers — exhibit credit characteristics
consistent with investment-grade shadow ratings. These loans
represent 16.2% of the transaction balance. One State Street and
the Northrop Grumman Portfolio have credit characteristics
consistent with a AAA shadow rating, Moffett Towers II – Building
2 exhibits credit characteristics consistent with a BBB shadow
rating and Lehigh Valley Mall and Yorkshire & Lexington Towers have
credit characteristics consistent with a BBB (low) shadow rating.
Only nine loans, totaling 12.7% of the transaction balance, are
secured by properties that are either fully or primarily leased to
a single tenant. The largest of these loans are Moffett Towers II
– Building 2 and the Northrop Grumman Portfolio, representing
6.0% of the pool balance and 47.3% of the single-tenant
concentration, and both are shadow-rated investment grade. Loans
secured by properties occupied by single tenants have been found to
suffer higher loss severities in an event of default.
Sixteen loans, representing 25.1% of the pool, are secured by 18
hotel properties, including three of the top ten loans. Hotels have
the highest cash flow volatility of all major property types, as
their income, which is derived from daily contracts rather than
multi-year leases, and their expenses, which are often mostly
fixed, are quite high as a percentage of revenue. These two factors
cause revenue to fall swiftly during a downturn and cash flow to
fall even faster as a result of high operating leverage. However,
the loans in the pool secured by hotel properties exhibit a
weighted-average (WA) DBRS Debt Yield and DBRS Exit Debt Yield of
10.0% and 11.6%, respectively, which compare quite favorably with
the comparable figures of 8.2% and 8.9%, respectively, for the
non-hotel properties in the pool. Additionally, the majority, or
87.2%, of such loans are located in established urban or suburban
markets that benefit from increased liquidity and more stable
performance.
The deal appears concentrated by property type, with 14 loans,
representing 36.3% of the pool, secured by office properties. Of
the office property concentration, 44.3% of the loans are located
in urban markets and four loans, representing 46.2% of the office
concentration, are secured by multiple properties (41 in total),
which insulates the loans from issues at any one property.
Furthermore, three of these loans, representing 30.9% of the office
concentration and 11.2% of the total pool balance, are shadow-rated
investment grade.
The DBRS Refinance (Refi) DSCR is 0.99x, indicating a higher
refinance risk on an overall pool level. In addition, 27 loans,
representing 55.8% of the pool, have DBRS Refi DSCRs below 1.00x.
Twenty-one of these loans, comprising 51.7% of the pool, have DBRS
Refi DSCRs less than 0.90x, including six of the top ten loans and
eight of the top 15 loans. These metrics are based on whole-loan
balances. Two of the pool's loans with a DBRS Refi DSCR below
0.90x, One State Street and Yorkshire & Lexington Towers, which
represent 7.3% of the transaction balance, are shadow-rated
investment grade by DBRS and have a large piece of subordinate
mortgage debt outside the trust. Based on A-note balances only, the
deal's WA DBRS Refi DSCR improves to 1.07x, and the concentration
of loans with DBRS Refi DSCRS below 1.00x and 0.90x reduces to
49.4% and 43.3%, respectively. The pool's DBRS Refi DSCRs for these
loans are based on a WA stressed refinance constant of 9.90%, which
implies an interest rate of 9.28% amortizing on a 30-year schedule.
This represents a significant stress of 4.47% over the WA
contractual interest rate of the loans in the pool. DBRS models the
probability of default based on the more constraining of the DBRS
Term DSCR and DBRS Refi DSCR.
Classes X-A, X-B and X-D are interest-only (IO) certificates that
reference a single rated tranche or multiple rated tranches. The IO
rating mirrors the lowest-rated reference tranche adjusted upward
by one notch if senior in the waterfall.
Notes: All figures are in U.S. dollars unless otherwise noted.
CSFB COMMERCIAL 2006-TFL2: Moody's Affirms Ba2 on Class J Debt
--------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on seven classes
in CSFB Commercial Mortgage Trust 2006-TFL2:
Cl. G, Affirmed Baa1 (sf); previously on Mar 30, 2017 Affirmed Baa1
(sf)
Cl. H, Affirmed Baa2 (sf); previously on Mar 30, 2017 Affirmed Baa2
(sf)
Cl. J, Affirmed Ba2 (sf); previously on Mar 30, 2017 Affirmed Ba2
(sf)
Cl. K, Affirmed Caa1 (sf); previously on Mar 30, 2017 Affirmed Caa1
(sf)
Cl. L, Affirmed Ca (sf); previously on Mar 30, 2017 Affirmed Ca
(sf)
Cl. A-X-1, Affirmed Caa1 (sf); previously on Jun 9, 2017 Downgraded
to Caa1 (sf)
Cl. A-X-3, Affirmed Caa3 (sf); previously on Mar 30, 2017 Affirmed
Caa3 (sf)
RATINGS RATIONALE
The ratings on P&I classes G, H, and J were affirmed due to key
metrics, including Moody's LTV and DSCR remaining within acceptable
ranges.
The ratings on P&I classes K and L were affirmed because the
ratings are consistent with Moody's expected loss estimates.
The rating of interest-only (IO) Class A-X-1 was affirmed based on
the credit performance of its reference classes. The rating of IO
Class A-X-3 is affirmed based on the credit performance of its
reference loan, the JW Marriott Starr Pass loan.
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 rating CSFB Commercial Mortgage
Trust 2006-TFL2, Cl. G, Cl. H, Cl. J, Cl. K, and Cl. L was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017. The methodologies used in rating CSFB
Commercial Mortgage Trust 2006-TFL2, Cl. A-X-1 and Cl. A-X-3 were
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in July 2017 and "Moody's Approach to
Rating Structured Finance Interest-Only (IO) Securities" published
in June 2017.
DEAL PERFORMANCE
As of the March 15, 2018 Payment Date the transaction's certificate
balance has decreased by 96% to $78 million from $1.9 billion at
securitization due to the payoff of 13 loans originally in the
pool.
The one remaining loan in the trust is the $78 million JW Marriott
Starr Pass Loan. It is secured by a 575-key resort hotel located in
Tucson, Arizona. The loan was transferred to special servicing in
April 2010 due to the borrower's inability pay off the loan at
maturity. A receiver was appointed in November 2011. The special
servicer is working through legal issues that have been impediments
to loan resolution and have delayed foreclosure. A bench trial was
concluded in June 2015 that addressed primarily several collateral
issues. The court ruled in favor of the lender and issued a final
judgment order, however the borrower has filed a petition with the
appellate court, further delaying the foreclosure process. The
total $145 million mortgage debt includes $67 million of non-trust
subordinate debt.
The trust has experienced $249,356 in losses since securitization.
The losses were due to the special servicer's workout fee
associated with the Sheffield condo conversion loan that was
originally 10% of the pool. Interest shortfalls total approximately
$1.6 million as of the current Payment Date. Outstanding P&I
advances total $5.2 million. Additionally, cumulative accrued
unpaid advance interest totals $1.2 million.
Property performance has shown improvement. Revenue per available
room (RevPAR) for 2017 was $114, a nearly 3% increase over that of
2016. Moody's current structured credit assessment of the loan is
caa3 (sca.pd), the same as at last review.
DBUBS COMMERCIAL 2011-LC1: Moody's Affirms B2 Rating on Cl. G Certs
-------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on ten classes
in DBUBS 2011-LC1 Commercial Mortgage Trust, Commercial Mortgage
Pass-Through Certificates, Series 2011-LC1:
Cl. A-2, Affirmed Aaa (sf); previously on Mar 23, 2017 Affirmed Aaa
(sf)
Cl. A-3, Affirmed Aaa (sf); previously on Mar 23, 2017 Affirmed Aaa
(sf)
Cl. B, Affirmed Aaa (sf); previously on Mar 23, 2017 Affirmed Aaa
(sf)
Cl. C, Affirmed Aa1 (sf); previously on Mar 23, 2017 Affirmed Aa1
(sf)
Cl. D, Affirmed Aa3 (sf); previously on Mar 23, 2017 Affirmed Aa3
(sf)
Cl. E, Affirmed Baa2 (sf); previously on Mar 23, 2017 Affirmed Baa2
(sf)
Cl. F, Affirmed Ba1 (sf); previously on Mar 23, 2017 Affirmed Ba1
(sf)
Cl. G, Affirmed B2 (sf); previously on Mar 23, 2017 Affirmed B2
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on Mar 23, 2017 Affirmed Aaa
(sf)
Cl. X-B, Affirmed Ba3 (sf); previously on Mar 23, 2017 Affirmed Ba3
(sf)
RATINGS RATIONALE
The ratings on the P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on the two IO classes, Cl. X-A and Cl. X-B, were
affirmed based on the credit quality of their referenced classes.
Moody's rating action reflects a base expected loss of 1.4% of the
current pooled balance, compared to 0.4% at Moody's last review.
Moody's base expected loss plus realized losses is now 0.6% of the
original pooled balance, compared to 0.2% 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 rating DBUBS 2011-LC1 Commercial Mortgage
Trust, Cl. A-2, Cl. A-3, Cl. B, Cl. C, Cl. D, Cl. E, Cl. F, and Cl.
G 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. The
methodologies used in rating DBUBS 2011-LC1 Commercial Mortgage
Trust, Cl. X-A and Cl. X-B were "Approach to Rating US and Canadian
Conduit/Fusion CMBS" published in July 2017, "Moody's Approach to
Rating Large Loan and Single Asset/Single Borrower CMBS" published
in July 2017, and "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" published in June 2017.
DEAL PERFORMANCE
As of the March 12, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 58% to $908.8
million from $2.18 billion at securitization. The certificates are
collateralized by 25 mortgage loans ranging in size from less than
1% to 22.8% of the pool, with the top ten loans (excluding
defeasance) constituting 83% of the pool. One loan, constituting
22.8% of the pool, has an investment-grade structured credit
assessment. One loan, constituting 0.8% of the pool, has defeased
and is secured by US government securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of nine, the same as at Moody's last review.
Four loans, constituting 33% 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.
Moody's received full year 2016 operating results for 100% of the
pool, and full or partial year 2017 operating results for 94% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 95%, compared to 91% 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 22% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.4%.
Moody's actual and stressed conduit DSCRs are 1.28X and 1.13X,
respectively, compared to 1.36X and 1.17X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The loan with a structured credit assessment is the Kenwood Towne
Centre Loan ($207.5 million -- 22.8% of the pool), which is secured
by a super-regional mall located in Cincinnati, Ohio. The mall
contains approximately 1.16 million square feet (SF), of which
756,412 square feet (SF) serves as collateral for the loan. Anchor
tenants include Macy's (non-collateral), Dillard's and Nordstrom
(non-collateral). As per the September 2017 rent roll, the mall was
98% leased, with inline space 95% leased, compared to 98% for the
mall and 98% for in-line space in September 2016. The September
2017 running-twelve month comparable in-line sales (tenants with
less than 10,000 SF) were $778 per-square foot (PSF). Excluding
Apple, the same comparable in-line sales were $597 PSF. Both
metrics were down slightly from the prior-year period. The loan is
sponsored by GGP and The Teachers' Retirement of the State of
Illinois. The loan has amortized 11.5% since securitization and
Moody's structured credit assessment and stressed DSCR are a1
(sca.pd) and 1.50X, respectively, compared to a1 (sca.pd) and
1.47X, respectively, at last review.
The top three conduit loans represent 39% of the pool balance. The
largest loan is the 7 Hanover Square Loan ($131.8 million -- 14.5%
of the pool), which is secured by a Class A office building located
within the South Ferry Financial District submarket of New York
City. The property offers 26 stories of rentable space for a total
of approximately 846,415 SF. Guardian Life Insurance Company of
America leases 99.5% of the NRA through September 2019 and has
occupied the building as its headquarters since 1998. Since
Guardian did not renew by March 2017, the borrower was required to
post a letter-of-credit (LOC), or a cash flow sweep would commence.
Due to the single tenant concentration and the heightened risk that
Guardian will vacate upon lease expiration, Moody's valuation
reflects a lit/dark analysis. Moody's LTV and stressed DSCR are 95%
and 1.08X, respectively.
The second largest loan is the 1200 K Street Loan ($124.2 million
-- 13.7% of the pool), which is secured by a 389,000 square foot
(SF), Class A office building located within the East End submarket
of Washington, DC. The property offers twelve stories of rentable
space retrofitted for single tenant use. Pension Benefit Guaranty
Corporation leases over 97% of the NRA and has occupied the
building since its development. The tenant recently renewed its
lease for one year, now expiring in May 2019. Starting in September
2015, the borrower was required to deliver a LOC in the amount of
$13.1 million or all excess cash flow would be swept into a
rollover reserve account until the $13.1 million figure was
accumulated. Due to the single tenant concentration and heightened
risk of the near term lease expiration, Moody's valuation reflects
a lit/dark analysis. Moody's LTV and stressed DSCR are 123% and
0.79X, respectively.
The third largest loan is the Marriott Crystal Gateway Loan ($94.8
million -- 10.4% of the pool), which is secured by 697-room, full
service hotel located in the Crystal City area of Arlington County,
Virginia. Hotel amenities include 11 meeting rooms containing
approximately 33,355 SF, indoor/outdoor heated pools, fitness
center, business center, and concierge lounge. The reported January
2018 trailing twelve month occupancy, ADR and RevPAR were 77.7%,
$187.81 and $146.00, respectively, compared to 78.9%, $177.88, and
$140.38, respectively, for year-end 2016. The loan has amortized
9.5% since securitization. Moody's LTV and stressed DSCR are 102%
and 1.14X, respectively, compared to 104% and 1.12X at the last
review.
DT AUTO 2018-1: DBRS Finalizes BB Rating on Class E Notes
---------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by DT Auto Owner Trust 2018-1 (DTAOT 2018-1
or the Issuer):
-- $210,000,000 Class A Notes at AAA (sf)
-- $57,000,000 Class B Notes at AA (sf)
-- $87,000,000 Class C Notes at A (sf)
-- $69,000,000 Class D Notes at BBB (sf)
-- $57,000,000 Class E Notes at BB (sf)
The ratings are based on a review by DBRS of the following
analytical considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- DTAOT 2018-1 provides for Class A, B, C, D and E coverage
multiples slightly below the DBRS range of multiples set
forth in the criteria for this asset class. DBRS believes
that this is warranted given the magnitude of expected loss
and structural features of the transaction.
-- The transaction parties' capabilities with regard to
originations, underwriting and servicing.
-- The quality and consistency of the provided historical static
pool data for DriveTime originations and the performance of
the DriveTime auto loan portfolio.
-- The November 19, 2014, settlement of the Consumer Financial
Protection Bureau inquiry relating to allegedly unfair trade
practices.
-- The legal structure and presence of legal opinions that
address the true sale of the assets to the Issuer, the non-
consolidation of the special-purpose vehicle with DriveTime,
that the trust has a valid first-priority security interest
in the assets and the consistency with the DBRS "Legal
Criteria for U.S. Structured Finance."
The DTAOT 2018-1 transaction represents a securitization of a
portfolio of motor vehicle retail installment sales contracts
originated by DriveTime Car Sales Company, LLC (the Originator).
The Originator is a direct, wholly owned subsidiary of DriveTime.
DriveTime is a leading used vehicle retailer in the United States
that focuses primarily on the sale and financing of vehicles to the
subprime market.
The rating on the Class A Notes reflects the 66.50% of initial hard
credit enhancement provided by the subordinated notes in the pool,
the Reserve Account (1.50%) and overcollateralization (20.00%). The
ratings on the Class B, C, D and E Notes reflect 57.00%, 42.50%,
31.00% and 21.50% of initial hard credit enhancement, respectively.
Additional credit support may be provided from excess spread
available in the structure.
Notes: All figures are in U.S. dollars unless otherwise noted.
ENGS COMMERCIAL 2018-1: DBRS Finalizes BB Rating on Class E Notes
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by Engs Commercial Finance Trust 2018-1
(the Issuer):
-- $119,960,000 Class A-1 Notes at AAA (sf)
-- $65,434,000 Class A-2 Notes at AAA (sf)
-- $14,172,000 Class B Notes at AA (sf)
-- $9,874,000 Class C Notes at A (sf)
-- $10,152,000 Class D Notes at BBB (sf)
-- $5,762,000 Class E Notes at BB (sf)
The ratings are based on a review by DBRS of the following
analytical considerations:
-- Form and sufficiency of available credit enhancement and the
ability to withstand the expected losses under various
stressed cash flow scenarios.
-- While the structure allows for an approximately four-month
prefunding period, during which time the acquisition by the
Issuer of new loans into the collateral pool will be
permitted, the proposed concentration limits will mitigate
the risk of material migration in the collateral pools
composition or risk profile.
-- The assets in the pool primarily consist of new and used
transportation equipment, including trucks and trailers,
security interest in the financed equipment and all related
proceeds. After the prefunding period, no less than 72.50% of
the outstanding pool balance will be represented by new
equipment, and not more than 62.50% will be loans related to
trucks.
-- DBRS deems Engs Commercial Finance Co. (Engs) to be an
acceptable originator and servicer of equipment-backed leases
and loans. In addition, U.S. Bank National Association, which
is an experienced servicer of equipment loan-backed
securitizations, will be the backup servicer for the
transaction.
-- The legal structure and presence of legal opinions that
address the true sale of the assets to the Issuer, the non-
consolidation of the special-purpose vehicle with Engs, that
the trustee has a valid first-priority security interest in
the assets and the consistency with the DBRS "Legal Criteria
for U.S. Structured Finance."
Engs is a commercial truck and trailer financing company
headquartered in Itasca, Illinois. Its predecessor, Engs Motor
Truck Co., started financing trucks in 1952. In 2012, Engs and its
$103 million portfolio were acquired by the current senior
executive team and a private equity investor. Since then, the
current management team has grown the originations and expanded the
company's national footprint. This transaction is the third term
securitization sponsored by Engs. The inaugural asset-backed
securities (ABS) sponsored by Engs were issued in August 2015,
followed by the second ABS executed by Engs in November 2016.
The rating on the Class A-1 Notes reflects 49.9% of initial hard
credit enhancement (as a percentage of collateral balance) provided
by the subordinated notes in the pool (45.4%), the Reserve Account
(1.50%) and overcollateralization (OC) (3.00%). The rating on the
Class A-2 Notes reflects 21.7% of initial hard credit enhancement
provided by the subordinated notes in the pool (17.2%), the Reserve
Account and OC. The ratings on the Class B, Class C, Class D and
Class E Notes reflect 15.6%, 11.4%, 7.0% and 4.5% of initial hard
credit enhancement, respectively. The transaction benefits from the
available excess spread, which is estimated at approximately 4.2%
at closing.
FIRST UNION-LEHMAN 1998-C2: Moody's Affirms C Ratings on 2 Tranches
-------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on one class and
affirmed the ratings on two classes in First Union-Lehman
Brothers-Bank of America 1998-C2, Commercial Mortgage Pass-Through
Certificates, Series 1998-C2:
Cl. K, Upgraded to Baa1 (sf); previously on Mar 31, 2017 Upgraded
to Baa3 (sf)
Cl. L, Affirmed C (sf); previously on Mar 31, 2017 Affirmed C (sf)
Cl. IO, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The rating on the Class K was upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 67% since Moody's last
review.
The rating on the Class L was affirmed because the ratings are
consistent with Moody's expected loss.
The rating on the interest-only (IO) class was affirmed based on
the credit quality of the referenced classes.
Moody's rating action reflects a base expected loss of 9.8% of the
current pooled balance, compared to 3.5% at Moody's last review.
Moody's base expected loss plus realized losses is now 2.0% of the
original pooled balance, essentially unchanged from 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 rating First Union-Lehman Brothers-Bank
of America 1998-C2, Cl. K and Cl. L were "Approach to Rating US and
Canadian Conduit/Fusion CMBS" published in July 2017, "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. The methodologies used in rating First Union-Lehman
Brothers-Bank of America 1998-C2, Cl. IO were "Approach to Rating
US and Canadian Conduit/Fusion CMBS" published in July 2017,
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in July 2017, "Moody's Approach to Rating
Credit Tenant Lease and Comparable Lease Financings" published in
October 2016, and "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" published in June 2017.
DEAL PERFORMANCE
As of the March 19, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by over 99% to $30.8
million from $3.4 billion at securitization. The certificates are
collateralized by 17 mortgage loans ranging in size from less than
1% to 17% of the pool, with the top ten loans (excluding
defeasance) constituting 79% of the pool. The pool contains no
remaining loans with investment-grade structured credit
assessments. Three loans, constituting 16% of the pool, have
defeased and are secured by US government securities. The pool
contains a Credit Tenant Lease (CTL) component that includes five
loans, representing 28% 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 eight, compared to 18 at Moody's last review.
Three loans, constituting 14% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Forty-two loans have been liquidated from the pool, contributing to
an aggregate realized loss of $66.5 million (for an average loss
severity of 50%). There are no loans currently in special
servicing.
Moody's received full year 2016 operating results and full or
partial year 2017 operating results for 100% of the pool (excluding
defeased loans). Moody's weighted average conduit LTV is 49%,
compared to 47% at Moody's last review. Moody's conduit component
excludes loans with structured credit assessments, defeased and CTL
loans, and specially serviced and troubled loans. Moody's net cash
flow (NCF) reflects a weighted average haircut of 17.4% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.4%.
Moody's actual and stressed conduit DSCRs are 1.21X and 2.65X,
respectively, compared to 1.36X and 4.23X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 36% of the pool balance. The
largest loan is the Cineplex Odeon Movie Theater Loan ($4.6 million
-- 15% of the pool), which is secured by a 48,000 square foot (SF)
property located in Hodgkins, Illinois and fully leased to a
theater operator tenant.. The loan is fully amortizing, has paid
down 62% since securitization and is scheduled to mature in
February 2024. Moody's incorporated a lit/dark analysis to account
for single-tenant exposure. Moody's LTV and stressed DSCR are 67%
and 1.53X, respectively, compared to 64% and 1.61X at the last
review.
The second largest loan is the Carolina Apartments Loan ($4.1
million -- 13% of the pool), which is secured by a 209-unit
multifamily property located in Carrboro, North Carolina. The
property was 89% leased as of December 2017. The loan is fully
amortizing and has paid down 37% since securitization. Moody's LTV
and stressed DSCR are 56% and 1.75X, respectively, compared to 57%
and 1.71X at the last review.
The third largest loan is the Highland Tech Center Loan ($2.3
million -- 7% of the pool), which is secured by a 61,000 SF
suburban office property located in Englewood, Colorado. The
property was 75% occupied as of September 2017, down from 100%
occupied at Moody's prior review. The loan's anticipated repayment
date (ARD) is April 1, 2018. This loan has amortized 37% since
securitization. Moody's LTV and stressed DSCR are 57% and 1.89X,
respectively, compared to 51% and 2.11X at the last review.
The CTL component consists of five loans, constituting 28% of the
pool, secured by properties leased to four tenants. The largest
exposure is Albertsons Companies, LLC ($5 million -- 17 % of the
pool; senior unsecured rating: B3 -- negative outlook). The
bottom-dollar weighted average rating factor (WARF) for this pool
is 4546.
FREDDIE MAC 2018-1: DBRS Finalizes B(low) Rating on Class M Certs
-----------------------------------------------------------------
DBRS, Inc. finalized the following provisional rating on the
Asset-Backed Security, Series 2018-1 (the Certificate) issued by
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-1 (the
Trust):
-- $73.3 million Class M at B (low) (sf)
The B (low) (sf) rating on the Certificate reflects the 6.00% of
credit enhancement provided by subordinated certificates in the
pool.
Other than the specified class above, DBRS does not rate any other
classes in this transaction.
This transaction is a securitization of a portfolio of seasoned
re-performing first-lien residential mortgages funded by the
issuance of the certificates, which are backed by 10,983 loans with
a total principal balance of $1,832,425,341 as at the Cut-Off Date
(January 31, 2018).
The mortgage loans were either purchased by Freddie Mac from
securitized Freddie Mac Participation Certificates or retained by
Freddie Mac in whole-loan form since their acquisition. The loans
are currently held in Freddie Mac's retained portfolio and will be
deposited into the Trust on the Closing Date (March 14, 2018).
Modified loans comprise 100% of the portfolio. Each mortgage loan
was modified under either the Government-Sponsored Enterprise (GSE)
Home Affordable Modification Program (HAMP) or GSE non-HAMPs.
Within the pool, 3,854 mortgages have forborne principal amounts as
a result of modification, which equates to 10.5% of the total
unpaid principal balance as at the Cut-Off Date. For 82.5% of the
modified loans, the modifications happened more than two years ago.
The loans are approximately 137 months seasoned, and all are
current as at the Cut-Off Date. Furthermore, 73.0% of the mortgage
loans have been zero times 30 days delinquent for at least the past
24 months under the Mortgage Bankers Association delinquency
methods. None of the loans are subject to the U.S. Consumer
Financial Protection Bureau's Qualified Mortgage rules.
The mortgage loans will be serviced by Specialized Loan Servicing
LLC. There will not be any advancing of delinquent principal or
interest on any mortgages by the servicer; however, the servicer is
obligated to advance to third parties any amounts necessary for the
preservation of mortgaged properties or real estate¬–owned
properties acquired by the Trust through foreclosure or a loss
mitigation process.
Freddie Mac will serve as the Sponsor, Seller and Trustee of the
transaction, as well as Guarantor of the senior certificates (the
Class HT, Class HA, Class HB, Class HV, Class HZ, Class MT, Class
MA, Class MB, Class MV, Class MZ, Class M45T, Class M45F, Class
M45D, Class M45S, Class M45C, Class M45I, Class M60T, Class M60F,
Class M60S, Class M60C and Class M60I certificates; collectively,
the Guaranteed Certificates). Wilmington Trust National Association
(Wilmington Trust; rated A (high) with a Stable trend by DBRS) will
serve as Trust Agent. Wells Fargo Bank, N.A. (rated AA with a
Stable trend by DBRS) will serve as the Custodian for the Trust.
U.S. Bank National Association (rated AA (high) with a Stable trend
by DBRS) will serve as the Securities Administrator for the Trust
and will act as paying agent, registrar, transfer agent and
authenticating agent.
Freddie Mac, as the Seller, will make certain representations and
warranties (R&Ws) with respect to the mortgage loans. It will be
the only party from which the Trust may seek indemnification (or in
certain cases, a repurchase) as a result of a breach of R&Ws. If a
breach review trigger occurs, the Trust Agent, Wilmington Trust,
will be responsible for the enforcement of the R&Ws. The warranty
period will only be effective through March 12, 2021 (approximately
three years from the Closing Date), for substantially all R&Ws
other than the real estate mortgage investment conduit R&W.
The mortgage loans will be divided into four loan groups. The Group
H loans (25.4% of the pool) were subject to step-rate
modifications. The Group M loans (47.6% of the pool), Group M45
loans (15.7% of the pool) and Group M60 loans (11.3% of the pool)
were subject to either fixed-rate modifications or step-rate
modifications that have reached their final step dates and the
borrowers have made at least one payment after such loans reached
their final step dates as at the Cut-Off Date. Each Group M loan
has a mortgage interest rate less than or equal to 4.5% or has
forbearance. Each Group M45 loan has a mortgage interest rate
greater than 4.5% but less than or equal to 5.5% and has no
forbearance. Each Group M60 loan has a mortgage interest rate
greater than 5.5% and has no forbearance. Principal and interest
(P&I) on the Guaranteed Certificates will be guaranteed by Freddie
Mac. The Guaranteed Certificates will be backed by collateral from
each respective group. The remaining certificates, including the
subordinate, non-guaranteed, interest-only mortgage insurance and
residual certificates, will be cross-collateralized among the four
groups.
The transaction employs a pro rata pay cash flow structure with a
sequential-pay feature among the subordinate certificates. Certain
principal proceeds can be used to cover interest shortfalls on the
rated Class M certificates. Senior classes benefit from guaranteed
P&I payments by the Guarantor, Freddie Mac; however, such
guaranteed amounts, if paid, will be reimbursed to Freddie Mac from
the P&I collections prior to any allocation to the subordinate
certificates. The senior principal distribution amounts vary
subject to the satisfaction of a step-down test. Realized losses
are allocated reverse sequentially.
The rating reflects transactional strengths that include underlying
assets that have generally performed well through the crisis (73.0%
of the pool has remained consistently current in the past 24
months), good credit quality relative to other re-performing pools
reviewed by DBRS and a strong servicer. Additionally, a third-party
due diligence review, albeit on less than 100% of the portfolio
with respect to regulatory compliance and payment histories, was
performed on a sample that exceeds DBRS's criteria. The due
diligence results and findings on the sampled loans were
satisfactory.
Although improved from Freddie Mac Seasoned Credit Risk Transfer
Trust, Series 2016-1 (SCRT 2016-1), the transaction employs a
relatively weak R&W framework that includes a 36-month sunset (as
opposed to 12 months in SCRT 2016-1) without an R&W reserve
account, substantial knowledge qualifiers (with claw back) and
fewer mortgage loan representations relative to DBRS criteria for
seasoned pools. DBRS increased loss expectations from the model
results to capture the weaknesses in the R&W framework. Other
mitigating factors include (1) significant loan seasoning and clean
performance history in the past two years, (2) stringent and
automatic breach review triggers, (3) Freddie Mac as the R&W
provider and (4) a satisfactory third-party due diligence review.
The lack of P&I advances on delinquent mortgages may increase the
possibility of periodic interest shortfalls to the note holders;
however, certain principal proceeds can be used to pay interest to
the rated Certificate and subordination levels are greater than
expected losses, which may provide for interest payments to the
rated Certificate.
Notes: All figures are in U.S. dollars unless otherwise noted.
FREDDIE MAC 2018-HQA1: Fitch Assigns 'Bsf' Ratings to 12 Tranches
-----------------------------------------------------------------
Fitch rates Freddie Mac's Structured Agency Credit Risk Debt Notes,
Series 2018-HQA1 (STACR 2018-HQA1) as follows:
-- $225,000,000 class M-1 notes 'BBB-sf'; Outlook Stable;
-- $310,000,000 class M-2A notes 'BBsf'; Outlook Stable;
-- $310,000,000 class M-2B notes 'Bsf'; Outlook Stable;
-- $620,000,000 class M-2 exchangeable notes 'Bsf'; Outlook
Stable;
-- $620,000,000 class M-2R exchangeable notes 'Bsf'; Outlook
Stable;
-- $620,000,000 class M-2S exchangeable notes 'Bsf'; Outlook
Stable;
-- $620,000,000 class M-2T exchangeable notes 'Bsf'; Outlook
Stable;
-- $620,000,000 class M-2U exchangeable notes 'Bsf'; Outlook
Stable;
-- $620,000,000 class M-2I notional exchangeable notes 'Bsf';
Outlook Stable;
-- $310,000,000 class M-2AR exchangeable notes 'BBsf'; Outlook
Stable;
-- $310,000,000 class M-2AS exchangeable notes 'BBsf'; Outlook
Stable;
-- $310,000,000 class M-2AT exchangeable notes 'BBsf'; Outlook
Stable;
-- $310,000,000 class M-2AU exchangeable notes 'BBsf'; Outlook
Stable;
-- $310,000,000 class M-2AI notional exchangeable notes 'BBsf';
Outlook Stable;
-- $310,000,000 class M-2BR exchangeable notes 'Bsf'; Outlook
Stable;
-- $310,000,000 class M-2BS exchangeable notes 'Bsf'; Outlook
Stable;
-- $310,000,000 class M-2BT exchangeable notes 'Bsf'; Outlook
Stable;
-- $310,000,000 class M-2BU exchangeable notes 'Bsf'; Outlook
Stable;
-- $310,000,000 class M-2BI notional exchangeable notes 'Bsf';
Outlook Stable.
Fitch will not be rating the following classes:
-- $140,000,000 class B-1 notes;
-- $38,497,995,063 class A-H reference tranche;
-- $95,816,625 class M-1H reference tranche;
-- $131,122,860 class M-2AH reference tranche;
-- $131,122,861 class M-2BH reference tranche;
-- $60,510,391 class B-1H reference tranche;
-- $200,510,391 class B-2H reference tranche.
The 'BBB-sf' rating for the M-1 notes reflects the 3.20%
subordination provided by the 1.10% class M-2A notes, the 1.10%
class M-2B notes, the 0.50% class B-1 notes and their corresponding
reference tranches, as well as the 0.50% class B-2H reference
tranche. The 'BBsf' rating for the M-2A notes reflects the 2.10%
subordination provided by the 1.10% class M-2B notes, the 0.50%
class B-1 notes and their corresponding reference tranches, as well
as the 0.50% class B-2H reference tranche. The 'Bsf' rating for the
M-2B notes reflects the 1.00% subordination provided by the 0.50%
class B-1 notes and its corresponding reference tranche, as well as
the 0.50% class B-2H reference tranche. 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.
The objective of the transaction is to transfer credit risk from
Freddie Mac to private investors with respect to a $40.1 billion
pool of mortgage loans currently held and guaranteed by Freddie Mac
where principal repayment of the notes is subject to the
performance of a reference pool of mortgage loans. As loans
liquidate or other credit events occur, the outstanding principal
balance of the debt notes will be reduced by the actual loan's loss
severity (LS) percentage related to those credit events, which
includes borrower's delinquent interest.
While the transaction structure simulates the behavior and credit
risk of traditional RMBS senior-subordinate securities, Freddie Mac
will be responsible for making monthly payments of interest and
principal to investors. Because of the counterparty dependence on
Freddie Mac, Fitch's expected rating on the M-1, M-2A and M-2B
notes will be based on the lower of: the quality of the mortgage
loan reference pool and credit enhancement (CE) available through
subordination, and Freddie Mac's Issuer Default Rating. The M-1,
M-2A, M-2B, and B-1 notes will be issued as LIBOR-based floaters.
Should the one-month LIBOR rate fall below zero and become
negative, the coupons of the interest-only MAC notes may be subject
to a downward adjustment, so that the aggregate interest payable to
such MAC notes and the other MAC notes in the related combination
does not exceed the interest payable to the notes for which such
classes (or related MAC notes in the case of certain combinations)
were exchanged. The notes will carry a 12.5-year legal final
maturity.
In the event that the ICE Benchmark Administration ceases to set or
publish a rate for LIBOR, Freddie Mac may elect, at its discretion,
to use an alternative index in lieu of LIBOR.
KEY RATING DRIVERS
High-Quality Mortgage Pool (Positive): The reference mortgage loan
pool consists of high-quality mortgage loans acquired by Freddie
Mac between April 1, 2017 and Sept. 30, 2017. The reference pool
will consist of loans with loan-to-value (LTV) ratios greater than
80% and less than or equal to 97%. Overall, the reference pool's
collateral characteristics are similar to recent STACR transactions
and reflect the strong credit profile of post-crisis mortgage
originations.
Home Possible Exposure (Negative): Approximately 18% of the
reference pool was originated under Freddie Mac's Home Possible or
Home Possible Advantage program, which is the largest concentration
that Fitch has seen in a STACR transaction (approximately 7% of
STACR 2017-HQA2 was originated under the Home Possible program).
The Home Possible program targets low- to moderate-income
homebuyers or buyers in high-cost or underrepresented communities,
and provides flexibility for a borrower's LTV, income, down payment
and mortgage insurance coverage requirements.
Fitch anticipates higher default risk for Home Possible loans due
to measurable attributes (such as FICO, LTV and property value),
which is reflected in increased credit enhancement.
Clean Pay History for Loans in Disaster Areas (Positive): Freddie
Mac will not remove loans in counties designated as natural
disaster areas by the Federal Emergency Management Agency (FEMA).
However, any loans with a prior delinquency were removed from the
reference pool, per the eligibility criteria. Therefore, all loans
in the reference pool in the disaster areas have had clean pay
histories since the occurrence of the natural disaster events.
Mortgage Insurance Guaranteed by Freddie Mac (Positive): 99.9% of
the loans are covered either by borrower paid mortgage insurance
(BPMI) or lender paid MI (LPMI). 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.
12.5-Year Hard Maturity (Positive): The M-1, M-2A, M-2B and B-1
notes benefit from a 12.5-year legal final maturity. Thus, any
losses on the reference pool that occur beyond year 12.5 are borne
by Freddie Mac and do not affect the transaction. In addition, if a
credit event occurs prior to maturity, but the losses from
liquidations or loan modifications are not realized until after the
final maturity date, the losses will not be passed through to
noteholders.
Solid Lender Review and Acquisition Processes (Positive): Fitch
found that Freddie Mac has a well-established and disciplined
process in place for the purchase of loans and views its lender
approval and oversight processes for minimizing counterparty risk
and ensuring sound loan quality acquisitions as positive. Loan
quality control (QC) review processes are thorough and indicate a
tight control environment that limits origination risk. Fitch has
determined Freddie Mac to be an above average aggregator for its
2013 and later product. Fitch accounted for the lower risk by
applying a lower default estimate for the reference pool.
Solid Alignment of Interests (Positive): While the transaction is
designed to transfer credit risk to private investors, Fitch
believes the transaction benefits from solid alignment of
interests. Freddie Mac will retain credit risk in the transaction
by holding the senior reference tranche A-H, which has 4.00% of
loss protection, as well as a minimum of 5.0% of the M-1, M-2A,
M-2B and B-1 reference tranches, and a minimum of 75% of the
first-loss B-2H reference tranche. Initially, Freddie Mac will
retain an approximately 29.8% vertical slice/interest in the M-1,
M-2A and M-2B reference tranches.
Receivership Risk Considered (Neutral): Under the Federal Housing
Finance Regulatory Reform Act, the Federal Housing Finance Agency
(FHFA) must place Freddie Mac into receivership if it determines
that the government-sponsored enterprise's (GSE) assets are less
than its obligations for longer than 60 days following the deadline
of its SEC filing. As receiver, FHFA could repudiate any contract
entered into by Freddie Mac if it is determined the action would
promote an orderly administration of the GSE's affairs. Fitch
believes that the U.S. government will continue to support Freddie
Mac, as reflected in its current rating of the GSE. However, if, at
some point, Fitch perceives reduced support and receivership
likely, Freddie Mac's rating could be downgraded, and ratings on
the M-1, M-2A and M-2B notes, along with their corresponding MAC
notes, could also be affected.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the MSA and national levels. The implied
rating sensitivities are only an indication of some of the
potential outcomes and do not consider the transaction's exposure
to other risk factors, including those 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 24.7% at the 'BBBsf' level and 20.0% at the 'BBsf'
level. The analysis indicates that there is some potential rating
migration with higher MVDs, compared with the model projection.
Fitch also conducted defined rating sensitivities that determine
the stresses to MVDs that would reduce a rating by one full
category to non-investment grade and to 'CCCsf'. For example,
additional MVDs of 11%, 11% and 36% would potentially move the
'BBBsf' rated class down one rating category down to non-investment
grade and down to 'CCCsf', respectively.
FREDDIE MAC 2018-SPI1: Fitch Assigns BB- Rating to Cl. M-2 Certs
----------------------------------------------------------------
Fitch Ratings has assigned the following ratings to Freddie Mac's
Structured Agency Credit Risk Securitized Participation Interests
Trust Series 2018-SPI1 (STACR 2018-SPI1):
-- $68,209,000 class M-1 certificates 'BBB-sf'; Outlook Stable;
-- $36,750,000 class M-2 certificates 'BB-sf'; Outlook Stable.
The following classes will not be rated by Fitch:
-- $0 class X certificates;
-- $17,493,000 class B-1 certificates;
-- $17,495,325 class B-2 certificates;
-- $34,998,325 class B exchangeable certificates.
The 'BBB-sf' rating for the M-1 certificates reflects the 2.05%
subordination provided by the 1.05% class M-2 certificates, the
0.50% class B-1 certificates and the 0.50% class B-2 certificates.
The STACR SPI transactions replace Freddie Mac's Whole Loan
Security (WLS) program where conforming and super-conforming loans
are pooled and credit risk sold to investors. Payments on the
collateral are used to make payments on the SPI certificates.
Freddie Mac issued its first STACR SPI deal in 2017.
KEY RATING DRIVERS
High-Quality Mortgage Pool (Positive): The collateral pool consists
of 25- and 30-year fully amortizing fixed-rate loans acquired by
Freddie Mac. The weighted average (WA) credit score of 761, WA
original combined LTV of 80.0% and WA debt-to-income (DTI) ratio of
36% reflect the strong credit profile of the underlying collateral.
The pool is also geographically diverse, with the top three
metropolitan statistical areas (MSAs) comprising only 18.5%.
Super-Conforming Loans Included (Positive): The pool consists of
roughly 25% (17% by loan count) super-conforming loans, i.e. loan
amounts greater than the conforming limit of $424,100 but capped at
$636,150 for single-unit properties originated in 2017 located in
higher cost areas, sourced from eight Freddie Mac Participation
Certificates (PCs). While the WA credit score and LTVs are
comparable to the conforming loan portion, super-conforming loans
benefit from higher property values and larger loan balances.
New Transaction Structure (Neutral): The SPI transaction is
collateralized by participation interests (PI) in 9,460 mortgage
loans, 96% of which are deposited into PCs and 4% are deposited
into the SPI trust. The PI for loans in the PCs that become 120
days delinquent are purchased by Freddie Mac from the PC and
deposited into the SPI trust. Freddie Mac is repaid from SPI's cash
flows at the top of the waterfall, vis-a-vis the Class X
certificates, from proceeds otherwise distributable to classes M-1,
M-2 B-1 and B-2 certificates.
Potential Interest Shortfalls (Negative): Classes M-1 and M-2 may
be subject to long periods of interest deferral for loans that
become 120 days delinquent, since accrued interest distributions on
the class X certificates are prioritized ahead of the rated
classes. Principal collections are not allowed to cover interest
shortfalls except in limited circumstances.
Modification Treatment (Neutral): Rate modifications and expenses
will be absorbed by interest due to the class B-1 and B-2 first and
any excess amount may be absorbed by principal up to 10bps of the
aggregate class principal balance of M-1, M-2, B-1 and B-2 classes,
as long as the B-1 and B-2 classes are outstanding. Similar to
other STACR actual loss transactions, principal forbearance is
treated as a realized loss and forgiveness modifications are made
to the SPI trust by Freddie Mac, which will only be reimbursable to
Freddie Mac if a loan with principal forgiven defaults.
Solid Lender Review and Acquisition Processes (Positive): Freddie
Mac has a well-established and disciplined process in place for the
purchase of loans and views its lender-approval and oversight
processes for minimizing counterparty risk and ensuring sound loan
quality acquisitions as positive. Loan quality control (QC) review
processes are thorough and indicate a tight control environment
that limits origination risk. Fitch has determined Freddie Mac to
be an above-average aggregator for its 2013 and later product.
Fitch accounted for the lower risk by applying a lower default
estimate for the mortgages.
Strong Alignment of Interests (Positive): Fitch believes the
transaction benefits from a solid alignment of interests. Freddie
Mac will retain the class X certificate as well as approximately 5%
of the initial balance of each of the subordinate certificates.
Mortgage Insurance Guaranteed by Freddie Mac (Positive): 27.9% of
the loans are covered either by borrower-paid mortgage insurance
(BPMI) or lender-paid MI (LPMI). Freddie Mac will guarantee the MI
claim 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% LTV. LPMI does not automatically terminate
and remains for the life of the loan.
Satisfactory Due Diligence (Neutral): A third-party due diligence
review was completed on a statistical sample of the entire pool
(350 loans) by Clayton Services LLC (Clayton). Of the 350 loans
reviewed, seven loans had material findings and were graded 'C' or
'D' due to missing or incomplete documentation, which were all
removed from the pool. The diligence results generally reflected
solid manufacturing controls and, consequently, no adjustments were
made to Fitch's loss expectations.
Home Possible Exposure (Negative): Approximately 1.94% of the
reference pool was originated under Freddie Mac's Home Possible or
Home Possible Advantage program. Home Possible is a program that
targets low- to moderate-income homebuyers or buyers in high-cost
or underrepresented communities, and provides flexibility for a
borrower's LTV, income, down payment and mortgage insurance
coverage requirements. Fitch anticipates higher default risk for
Home Possible loans due to measurable attributes (such as FICO, LTV
and property value), which is reflected in increased loss
expectations.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the MSA and national levels. The implied
rating sensitivities are only an indication of some of the
potential outcomes and do not consider other risk factors that the
transaction may become exposed to or be considered in the
surveillance of the transaction.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the model
projected 23.9% at the 'BBB-sf' level and 19.3% at the
'BB-sf' level. The analysis indicates that there is some potential
rating migration with higher MVDs, compared with the model
projection.
Fitch also conducted defined rating sensitivities, which determine
the stresses to MVDs that would reduce a rating by one full
category, to non-investment grade, and to 'CCCsf'. For example,
additional MVDs of 10%, 10% and 31% would potentially move the
'BBB-sf' rated class down one rating category, to non-investment
grade, to 'CCCsf', respectively.
GMAC COMMERCIAL 1999-C2: Moody's Affirms C Ratings on 2 Tranches
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three classes
and upgraded the rating on one class in GMAC Commercial Mortgage
Securities, Inc. 1999-C2, Commercial Mortgage Pass-Through
Certificates, Series 1999-C2 as follows:
Cl. J, Affirmed Aaa (sf); previously on Apr 20, 2017 Upgraded to
Aaa (sf)
Cl. K, Upgraded to B1 (sf); previously on Apr 20, 2017 Upgraded to
Caa2 (sf)
Cl. L, Affirmed C (sf); previously on Apr 20, 2017 Affirmed C (sf)
Cl. X, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The rating on the Class K was upgraded based primarily due to an
increase in credit support since Moody's last review, resulting
from paydowns and amortization, as well as Moody's expectation of
additional increases in credit support resulting from the payoff of
loans approaching maturity that are well positioned for refinance.
The pool has paid down by 10% since Moody's last review. In
addition, loans constituting 30% of the pool have either defeased
or that have debt yields exceeding 12.0% are scheduled to mature
within the next 12 months.
The rating on the Class J 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 rating
on Class L was affirmed because the rating is consistent with
Moody's expected loss plus realized losses.
The rating on the IO, Class X, was affirmed based on the credit
quality of its referenced classes.
Moody's rating action reflects a base expected loss of 1.1% of the
current balance, compared to 15.5% at Moody's last review. Moody's
base expected loss plus realized losses is now 2.3% of the original
pooled balance, compared to 2.6% at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in rating GMAC Commercial Mortgage
Securities, Inc. 1999-C2, Cl. J, Cl. K, and Cl. L were "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. The methodologies used in rating GMAC Commercial Mortgage
Securities, Inc. 1999-C2, Cl. X were "Moody's Approach to Rating
Large Loan and Single Asset/Single Borrower CMBS" published in July
2017, "Moody's Approach to Rating Credit Tenant Lease and
Comparable Lease Financings" published in October 2016, and
"Moody's Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the March 15, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $24.7 million
from $974.5 million at securitization. The certificates are
collateralized by 10 mortgage loans ranging in size from less than
1% to 11% of the pool. Two loans, representing 4% of the pool, are
secured by credit tenant leases (CTLs). Six loans, representing 80%
of the pool, have defeased and are secured by U.S. Government
securities.
One loan, constituting 5% of the pool, is on the master servicer's
watchlist. The watchlist includes loans that meet certain portfolio
review guidelines established as part of the CRE Finance Council
(CREFC) monthly reporting package. As part of Moody's ongoing
monitoring of a transaction, the agency reviews the watchlist to
assess which loans have material issues that could affect
performance.
Sixteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $22 million (for an average loss
severity of 16%).
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 2, the same as at last review.
The two remaining non-defeased and non-CTL loans represent 16.0% of
the pool balance. The largest is the Bal Seal Engineering Loan
($2.8 million -- 11.2% of the pool), which is secured by a 125,000
square foot (SF) industrial property located in Foothill Ranch,
California. The property is 100% leased to Bal Seal Engineering
Company through January 2019, which is coterminous with the loan
maturity. Due to single tenant exposure risk, a lit/dark analysis
was applied. The loan has amortized 70% since securitization.
Moody's LTV and stressed DSCR are 27% and greater than 4.00X,
respectively.
The second largest loan is the 30 Executive Avenue Loan ($1.2
million -- 4.8% of the pool), which is secured by an 89,178 SF
industrial property located in Edison, New Jersey. The property is
100% leased to Skekia Group through December 2018. Due to the
single tenant exposure a lit/dark analysis was applied. The loan
has amortized 56% since securitization. The loan matures in March
2019. Moody's LTV and stressed DSCR are 46% and 2.37X,
respectively.
The CTL component consists of two loans, constituting 4% of the
pool, secured by properties leased to two tenants. The largest
exposures are Rite Aid Corporation ($745,071-- 3.0% of the pool)
and CVS Health ($163,018 -- 0.7% of the pool).
GMAC COMMERCIAL 2003-C3: Moody's Affirms C Rating on Cl. X-1 Certs
------------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class and
affirmed the ratings on three classes in GMAC Commercial Mortgage
Securities, Inc. Series 2003-C3, Commercial Mortgage Pass-Through
Certificates, Series 2003-C3 as follows:
Cl. J, Affirmed Aaa (sf); previously on Mar 31, 2017 Affirmed Aaa
(sf)
Cl. K, Upgraded to A2 (sf); previously on Mar 31, 2017 Upgraded to
Baa1 (sf)
Cl. L, Affirmed Ca (sf); previously on Mar 31, 2017 Affirmed Ca
(sf)
Cl. X-1, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The rating on the Class K was upgraded based primarily on an
increase in credit support resulting from loans' amortization. The
deal has paid down approximately 8% since Moody's last review.
The rating on the Class J 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 rating
on Class L was affirmed because the ratings are consistent with
Moody's expected loss plus realized losses. Class L has already
experienced a 16% realized loss as a result of previously
liquidated loans.
The rating on the IO class, Class X-1, was affirmed based on the
credit quality of its referenced classes.
Moody's does not anticipate losses from the remaining collateral in
the current environment. However, over the remaining life of the
transaction, losses may emerge from macro stresses to the
environment and changes in collateral performance. Moody's ratings
reflect the potential for future losses under varying levels of
stress. Moody's base expected loss plus realized losses is now 3.2%
of the original pooled balance, unchanged from 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 rating GMAC Commercial Mortgage
Securities, Inc. Series 2003-C3, Cl. J, Cl. K, and Cl. L was "
Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in July 2017. The methodologies used in
rating GMAC Commercial Mortgage Securities, Inc. Series 2003-C3,
Cl. X-1 were "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" published in June 2017 and "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.
DEAL PERFORMANCE
As of the March 12, 2018 distribution date, the transaction's
aggregate pooled certificate balance has decreased by 99% to $16.1
million from $1.33 billion at securitization. The certificates are
collateralized by five remaining mortgage loans. Two loans,
constituting 46% of the pool, have defeased and are secured by US
government securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 2, the same as at the last review.
Eight loans have been liquidated from the pool, resulting in an
aggregate realized loss of $43 million (for an average loss
severity of 28%). There are currently no loans in special
servicing.
One loan, constituting 5.4% of the pool, is on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
The three remaining non-defeased loans represent 54% of the pool
balance. The largest loan is the Shaw's Lewiston loan ($6.9 million
-- 43.1% of the pool), which is secured by a grocery-anchored
retail center in Lewiston, Maine. The property is 100% leased to
Shaw's Supermarket. The tenant's lease runs until February 2024.
The loan is fully amortizing and has paid down over 50% since
securitization. The loan term and the sole tenant's lease are
co-terminus. Due to the single tenant exposure, Moody's value
utilized a lit/dark analysis. Moody's LTV and stressed DSCR are 69%
and 1.49X, respectively, compared to 68% and 1.50X at the last
review.
The second largest loan is the Walgreen Meridian loan ($945,311 --
5.9% of the pool), which is secured by a Walgreens store located in
Meridian, Mississippi. The tenant's lease runs until June 2028. The
loan is fully amortizing and has paid down over 60% since
securitization. Due to the single tenant exposure, Moody's value
utilized a lit/dark analysis. Moody's LTV and stressed DSCR are 34%
and 2.62X, respectively, compared to 35% and 2.55X at the last
review.
The third largest loan is the Walgreens Hattiesburg loan ($867,185
-- 5.4% of the pool), which is secured by a Walgreens store located
in Hattiesburg, Mississippi. The loan is fully amortizing and has
paid down over 60% since securitization. The tenant's first
termination option is in August 2023, which coincides with the
loan's maturity date. Due to the single tenant exposure, Moody's
value utilized a lit/dark analysis. Moody's LTV and stressed DSCR
are 26% and 3.43X, respectively, compared to 27% and 3.30X at the
last review.
GREYWOLF CLO VI: S&P Assigns Prelim BB-(sf) Rating on Cl. D Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Greywolf CLO
VI Ltd.'s $456.80 million floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed by primarily broadly syndicated speculative-grade senior
secured term loans that are governed by collateral quality tests.
The preliminary ratings are based on information as of March 29,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
Greywolf CLO VI Ltd.
Class Rating Amount
(mil. $)
A-1 AAA (sf) 301.70
A-2 AA (sf) 54.70
B A (sf) 49.40
C BBB- (sf) 32.50
D BB- (sf) 18.50
Subordinated notes NR 48.35
NR--Not rated.
HAYFIN KINGSLAND VIII: Moody's Assigns Ba3 Rating to Class E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Hayfin Kingsland VIII, Ltd.
Moody's rating action is as follows:
US$3,000,000 Class X Senior Secured Floating Rate Notes Due 2031
(the "Class X Notes"), Assigned Aaa (sf)
US$384,000,000 Class A Senior Secured Floating Rate Notes Due 2031
(the "Class A Notes"), Assigned Aaa (sf)
US$67,750,000 Class B Senior Secured Floating Rate Notes Due 2031
(the "Class B Notes"), Assigned Aa2 (sf)
US$31,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes Due 2031 (the "Class C Notes"), Assigned A2 (sf)
US$39,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes Due 2031 (the "Class D Notes"), Assigned Baa3 (sf)
US$30,000,000 Class E Junior Secured Deferrable Floating Rate Notes
Due 2031 (the "Class E Notes"), Assigned Ba3 (sf)
The Class X Notes, the Class A Notes, the Class B Notes, the Class
C Notes, the Class D Notes and the Class E Notes are referred to
herein, collectively, as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
Hayfin Kingsland VIII is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 90% of the portfolio must consist
of first lien senior secured loans 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.
Hayfin Capital Management LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's 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 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: 55
Weighted Average Rating Factor (WARF): 2966
Weighted Average Spread (WAS): 3.65%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 9 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
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 2966 to 3411)
Rating Impact in Rating Notches
Class X Notes: 0
Class A Notes: -1
Class B Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2966 to 3856)
Rating Impact in Rating Notches
Class X Notes: 0
Class A Notes: -1
Class B Notes: -4
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
HOUSTON GALLERIA 2015-HGLR: DBRS Confirms BB Rating on Cl. E Certs
------------------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2015-HGLR issued by Houston
Galleria Mall Trust 2015-HGLR (the Issuer) as follows:
-- Class A-1A1 at AAA (sf)
-- Class A-1A2 at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class X-CP at BB (high) (sf)
-- Class X-NCP at BB (high) (sf)
-- Class E at BB (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction since issuance. The transaction closed in March
2015 and consists of a $1.2 billion whole loan split between the
$1.05 billion note securitized in this transaction and a $150
million companion loan securitized in the JPMBB 2015-C28
transaction, which is not rated by DBRS. The loan is secured by the
fee interest in an enclosed super-regional mall located in Houston,
Texas, occupied by roughly 300 national and regional tenants,
anchored by non-collateral tenants Macy's, Nordstrom, Neiman Marcus
and Saks Fifth Avenue (Saks). Macy's and Nordstrom own their sites
and spaces, while Neiman Marcus and Saks own their respective
improvements and are subject to ground leases. The mall is the
fourth largest in the nation, owned by Simon Property Group (SPG)
and Institutional Mall Investors (IMI).
In May 2015, the property was affected by a flood and suffered
significant damage with a repair cost of approximately $1.5
million. The parking garage was filled with water up to nine feet,
one wall of the garage was displaced as well as electrical utility
rooms and switchgear equipment were submerged. The loan was added
to the servicer's watch list in September 2015 for monitoring of
repairs and was removed in mid-2017 when the site inspection
confirmed the flooding damage had been fully addressed. The
property was not affected by Hurricane Harvey, which brought
widespread flooding and general destruction to the Houston area in
August 2017.
The construction of a new space for Saks and the accompanying
luxury wing was completed in April 2016 and July 2017,
respectively. The Saks store has been re-positioned in a more
anchor-like location, replacing some former in-line space and a
portion of the old Macy's space (not included as collateral for the
loan). The former Saks store was reconfigured into approximately
110,000 square feet (sf) of space designated for smaller retailers
and restaurants. That reconfigured space is part of the collateral
for this loan. Although the new wing is complete, most of the new
restaurant spaces have yet to open. Notably, Nobu, Fig & Olive and
Spice Route should be open sometime 2018. According to the "Houston
Business Journal," Nobu's build-out cost was $7.0 million (the
space will be roughly 10,000 sf), while Fig & Olive's space will be
roughly 7,000 sf (the build-out cost for which was not indicated).
In addition to the capital invested for these projects, SPG also
announced plans for a condo/hotel to be built next to the new Saks
store. These plans were announced in early 2017, and the project is
expected to include 220 hotel rooms and between 75 and 100 luxury
condominium units, with the project expected to come online in late
2019 or early 2020.
According to the December 2017 rent roll, the collateral occupancy
(including new developed space) was 89.7% occupied, a decrease from
the September 2016 occupancy rate of 96.8% and issuance rate of
92.9%. The decline from issuance is primarily due to the final
build-outs and impending opening dates for some tenants set to
occupy the newly-built space. The three largest collateral tenants,
representing 10.8% of the net rentable area (NRA) include Lifetime
Fitness (6.6% of the NRA, expiring March 2038), Forever 21 (2.3% of
the NRA, expiring January 2023) and H&M (1.9% of the NRA, expiring
January 2025). Lifetime Fitness replaced the former Galleria Tennis
and Athletic Centre. Rollover is minimal this year as there are
just seven tenants totaling 1.7% of the collateral NRA rolling over
the remainder of 2018.
Tenant rollover is more significant in 2019 when 38 tenants are
scheduled to roll, collectively representing 15.1% of the
collateral NRA. According to CoStar Group Inc., retail properties
located in the Galleria submarket reported an average vacancy rate
of 1.4%. The subject's average rental rate for in-line tenants
(excluding ground rents and storage) was $81.36 per sf (psf), which
is well above the market and above the September 2016 average
rental rate of $78.84 psf, and the average DBRS Base Rent figure
assumed at issuance of $62.04 psf.
According to the tenant sales report for the T-12 ending September
2017, in-line tenants occupying less than 10,000 sf reported YE2016
sales of $826 psf, a slight decrease over the YE2015 sales of $842
psf, but projected sales for 2017 suggest a significant increase to
an average of $947 psf. Tenants occupying more than or equal to
10,000 sf reported YE2016 sales of $413 psf and showed projected
sales of $400 psf for 2017.
At YE2017, the amortizing debt service coverage ratio (DSCR) was
2.61 times (x), compared with the YE2016 amortizing DSCR of 2.46x
and the DBRS Term DSCR derived at issuance of 2.32x. The YE2017
figure is reflective of a 6.3% increase in NCF over the prior year
due to a 4.5% increase in effective gross income, which was up by
12.3% over the Issuer's underwritten figure.
Classes X-CP and X-NCP are interest-only (IO) certificates that
reference a single rated tranche or multiple rated tranches. The IO
rating mirrors the lowest-rated reference tranche adjusted upward
by one notch if senior in the waterfall.
HPS LOAN 7-2015: S&P Assigns B(sf) Rating on $11.60MM F-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1R, B-R,
C-R, D-R, E-R, and F-R replacement notes and the new class X notes
from HPS Loan Management 7-2015 Ltd., a collateralized loan
obligation (CLO) originally issued in 2015 that is managed by HPS
Investment Partners CLO (U.S.) LLC. S&P withdrew its ratings on the
original class A, B, C, D, E, and F notes following payment in full
on the March 29, 2018, refinancing date.
On the March 29, 2018, refinancing date, the proceeds from the
class A-1R, B-R, C-R, D-R, E-R, and F-R replacement note issuances
were used to redeem the original class A, B, C, D, E, and F notes
as outlined in the transaction document provisions. Therefore, S&P
withdrew its ratings on the original notes in line with their full
redemption, and it is assigning ratings to the replacement notes.
The replacement notes are being issued via a supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, will also implement the below changes:
-- The replacement class A-1R, B-R, C-R, D-R, E-R, and F-R notes
were issued at a lower spreads than the original notes.
-- New class X and A-2R notes were added.
-- The replacement class A-1R, B-R, C-R, D-R, E-R, and F-R notes
were issued at a new floating spread, replacing the current
floating spread.
-- The stated maturity and weighted average life test date were
extended one year.
-- 94.94% of the identified underlying collateral obligations have
credit ratings assigned by S&P Global Ratings.
-- 96.32% of the identified underlying collateral obligations have
recovery ratings issued by S&P Global Ratings.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"The assigned ratings reflect our opinion that the credit support
available is commensurate with the associated rating levels.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take rating actions as we
deem necessary."
RATINGS ASSIGNED
HPS Loan Management 7-2015 Ltd.
Replacement class Rating Amount (mil $)
X AAA (sf) 2.00
A-1R AAA (sf) 281.00
A-2R NR 15.00
B-R AA (sf) 49.50
C-R A (sf) 36.60
D-R BBB- (sf) 25.50
E-R BB- (sf) 16.20
F-R B (sf) 11.60
RATINGS WITHDRAWN
HPS Loan Management 7-2015 Ltd.
Rating
Original class To From
A NR AAA (sf)
B NR AA (sf)
C NR A (sf)
D NR BBB (sf)
E NR BB (sf)
F NR B (sf)
NR--Not rated.
IVY HILL XIV: S&P Assigns Prelim BB-(sf) Rating on Class D Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Ivy Hill
Middle Market Credit Fund XIV Ltd.'s $900 million floating-rate
notes.
The note issuance is collateralized loan obligation transaction
backed by primarily middle market speculative-grade senior secured
term loans that are governed by collateral quality tests.
The preliminary ratings are based on information as of March 29,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The diversified collateral pool, which consists primarily of
middle market speculative-grade senior secured term loans that are
governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
Ivy Hill Middle Market Credit Fund XIV Ltd.
Class Rating Amount
(mil. $)
A-1 AAA (sf) 560.00
A-2 AA (sf) 130.00
B (deferrable) A (sf) 72.50
C (deferrable) BBB- (sf) 62.50
D (deferrable) BB- (sf) 75.00
Subordinated notes NR 109.50
NR--Not rated.
JP MORGAN 2018-3: DBRS Assigns Prov. BB Rating on Class B-4 Certs
-----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the Mortgage
Pass-Through Certificates, Series 2018-3 (the Certificates) to be
issued by J.P. Morgan Mortgage Trust 2018-3 as follows:
-- $814.1 million Class A-1 at AAA (sf)
-- $814.1 million Class A-2 at AAA (sf)
-- $762.1 million Class A-3 at AAA (sf)
-- $762.1 million Class A-4 at AAA (sf)
-- $609.7 million Class A-5 at AAA (sf)
-- $609.7 million Class A-6 at AAA (sf)
-- $152.4 million Class A-7 at AAA (sf)
-- $152.4 million Class A-8 at AAA (sf)
-- $116.9 million Class A-9 at AAA (sf)
-- $116.9 million Class A-10 at AAA (sf)
-- $35.6 million Class A-11 at AAA (sf)
-- $35.6 million Class A-12 at AAA (sf)
-- $52.0 million Class A-13 at AAA (sf)
-- $52.0 million Class A-14 at AAA (sf)
-- $814.1 million Class A-X-1 at AAA (sf)
-- $814.1 million Class A-X-2 at AAA (sf)
-- $762.1 million Class A-X-3 at AAA (sf)
-- $609.7 million Class A-X-4 at AAA (sf)
-- $152.4 million Class A-X-5 at AAA (sf)
-- $116.9 million Class A-X-6 at AAA (sf)
-- $35.6 million Class A-X-7 at AAA (sf)
-- $52.0 million Class A-X-8 at AAA (sf)
-- $15.2 million Class B-1 at AA (sf)
-- $15.2 million Class B-2 at A (sf)
-- $9.1 million Class B-3 at BBB (sf)
-- $6.5 million Class B-4 at BB (sf)
-- $2.2 million Class B-5 at B (sf)
Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7 and A-X-8
are interest-only notes. The class balances represent notional
amounts.
Classes A-1, A-2, A-3, A-4, A-5, A-7, A-8, A-9, A-11, A-13, A-X-2,
A-X-3 and A-X-5 are exchangeable certificates. These classes can be
exchanged for a combination of depositable certificates, as
specified in the offering documents.
Classes A-6, A-10 and A-12 are super-senior certificates. These
classes benefit from additional protection from the senior support
certificate (Class A-14) with respect to loss allocation.
The AAA (sf) ratings on the Certificates reflect the 6.00% of
credit enhancement provided by subordinated certificates in the
pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings
reflect 4.25%, 2.50%, 1.45%, 0.70% and 0.45% of credit enhancement,
respectively.
Other than the specified classes above, DBRS does not rate any
other classes in this transaction.
The Certificates are backed by 1,348 loans with a total principal
balance of $866,074,339 as of the Cut-Off Date (March 1, 2018).
The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of 30 years. Conforming mortgage loans,
which were eligible for purchase by Fannie Mae or Freddie Mac, make
up 41.4% of the pool. For conforming loans, J.P. Morgan Chase Bank,
National Association (JPMCB) generally delegates underwriting
authority to correspondent lenders and does not subsequently review
those loans. Details on the underwriting of conforming loans can be
found in the Key Probability of Default Drivers section in the
related presale report.
The originators for the aggregate mortgage pool are JPMCB (41.4%),
United Shore Financial Services (USFS, 7.5%), Caliber Home Loans
Inc. (6.4%), LendUS, LLC (5.1%) and various other originators, each
comprising less than 5.0% of the mortgage loans. Approximately 1.6%
of the loans sold to the mortgage loan seller were acquired by
MAXEX Clearing LLC, which purchased loans from the related
originators or an unaffiliated third party that directly or
indirectly purchased such loans from the related originators.
The loans will be serviced or sub-serviced by New Penn Financial,
LLC doing business as Shell point Mortgage Servicing (43.0%), JPMCB
(41.4%) and various other servicers, each comprising less than 5.0%
of the mortgage loans.
Wells Fargo Bank, N.A. (Wells Fargo; rated AA by DBRS) will act as
the Master Servicer and Securities Administrator. Wells Fargo and
JPMCB will act as the Custodians. U.S. Bank Trust National
Association will serve as Delaware Trustee. Pentalpha Surveillance
LLC will serve as the representations and warranties (R&W)
Reviewer.
The transaction employs a senior-subordinate shifting-interest cash
flow structure that is enhanced from a pre-crisis structure.
The ratings reflect transactional strengths that include
high-quality underlying assets, well-qualified borrowers and a
satisfactory third-party due diligence review.
This transaction employs an R&W framework that contains certain
weaknesses, such as materiality factors, some unrated R&W
providers, knowledge qualifiers and sunset provisions that allow
for certain R&Ws to expire within three to six years after the
Closing Date. The framework is perceived by DBRS to be limiting
compared with traditional lifetime R&W standards in certain
DBRS-rated securitizations. To capture the perceived weaknesses in
the R&W framework, DBRS reduced the originator scores in this pool.
A lower originator score results in increased default and loss
assumptions and provides additional cushions for the rated
securities.
JPMBB COMMERCIAL 2014-C21: DBRS Confirms BB Rating on Cl. E Certs
-----------------------------------------------------------------
DBRS Limited confirmed all classes of Commercial Mortgage
Pass-Through Certificates, Series 2014-C21, issued by JPMBB
Commercial Mortgage Securities Trust 2014-C21 as follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class EC at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class X-C at BB (high) (sf)
-- Class E at BB (sf)
-- Class X-D at BB (low) (sf)
-- Class F at B (high) (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction. At issuance, the collateral consisted of 73
fixed-rate loans secured by 84 commercial properties. As at the
February 2018 remittance, 83 loans remain in the pool with an
aggregate principal balance of $1.23 billion, representing a
collateral reduction of 3.5% since issuance as a result of
scheduled loan amortization and the liquidation of one loan. There
are currently 14 loans (35.8% of the pool) with remaining partial
interest-only (IO) periods ranging from three to 16 months, while
eight loans (25.4% of the pool) are structured with full IO terms.
One loan (2.8% of the pool) has been fully defeased.
The pool is concentrated by property type, as 19 loans,
representing 32.8% of the pool, are secured by retail properties
(including four regional malls, representing 14.1% of the pool); 14
loans (27.1% of the pool) are secured by office properties; 16
loans (17.6% of the pool) are secured by multifamily properties;
and seven loans (14.6% of the pool) are secured by hotel
properties. By loan size, the pool is relatively concentrated, as
the top 15 loans represent 60.1% of the pool.
To date, 14 loans (17.2% of the pool) have reported a YE2017 net
cash flow (NCF) figure, while 53 loans (77.1% of the pool) have
reported partial-year 2017 NCFs; the remainder of the loans have
reported YE2016 NCFs. Based on the most recent year-end financial
reporting, the transaction had a weighted-average (WA) debt service
coverage ratio (DSCR) and WA Debt Yield of 1.72 times (x) and
10.2%, respectively, compared with the WA DBRS Term DSCR and WA
DBRS Debt Yield for the pool at issuance of 1.52x and 9.0%,
respectively. Based on the most recent cash flows available, the
top 15 loans reported a WA DSCR of 1.73x, compared with the WA DBRS
Term DSCR of 1.58x, reflective of a 22.5% net cash flow growth over
the DBRS issuance figures.
As of the February 2018 remittance, there are three loans (1.7% of
the pool) in special servicing and nine loans (10.7% of the pool)
on the servicer's watch list. DBRS expects all three loans in
special servicing to take a loss, with estimated loss severities
ranging from 54.0% to 78.6%. Of the nine loans on the servicer's
watch list, five (6.3% of the pool) were flagged for performance
declines. Based on the most recent cash flows available, these five
loans reported a WA DSCR of 1.23x, compared with the WA DBRS Term
DSCR of 1.60x, reflective of a -23.5% net cash flow decline from
the DBRS issuance figures. The largest of these loans, Westminster
Mall (Prospectus ID#6, 4.2% of the pool), is showing a performance
decline primarily driven by declining rental rates and fluctuating
inline occupancy rates since issuance. In addition, one of the four
anchor tenants, Sears (non-collateral), has announced it will be
closing in the spring of 2018. This will leave anchor tenants
Macy's (non-collateral), JCPenney and Target (both collateral) at
the mall. Given the increased risk profile, DBRS analyzed the loan
with an inflated haircut to the in-place cash flow to increase the
probability of default and will closely monitor for developments.
At issuance, DBRS shadow-rated the Miami International Mall loan
(Prospectus ID#3, 4.9% of the pool) investment grade and with this
review, DBRS confirms the credit characteristics of the loan remain
in line with the investment grade rating.
Classes X-A, X-B, X-C and X-D are IO certificates that reference a
single rated tranche or multiple rated tranches. The IO ratings
mirror the lowest-rated reference tranche adjusted upward by one
notch if senior in the waterfall.
LB COMMERCIAL 1999-C1: Moody's Hikes Class H Debt Rating to B1
--------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class and
affirmed the ratings on three classes in LB Commercial Mortgage
Trust 1999-C1:
Cl. G, Affirmed Aaa (sf); previously on Apr 7, 2017 Upgraded to Aaa
(sf)
Cl. H, Upgraded to B1 (sf); previously on Apr 7, 2017 Affirmed B3
(sf)
Cl. J, Affirmed C (sf); previously on Apr 7, 2017 Affirmed C (sf)
Cl. X, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The rating on Class H was upgraded based primarily on an increase
in credit support resulting from loan paydowns and amortization.
The deal has paid down 22.7% since Moody's last review.
The rating on Class G 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 rating
on Class J was affirmed because the ratings are consistent with
Moody's expected loss.
The rating on IO Class, Class X, was affirmed based on the credit
quality of the referenced classes.
Moody's rating action reflects a base expected loss of 5.2% of the
current pooled balance, compared to 5.9% at Moody's last review.
Moody's base expected loss plus realized losses is now 2.7% of the
original pooled balance, the same as at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in rating LB Commercial Mortgage Trust
1999-C1, Cl. G, Cl. H, and Cl. J were "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. The
methodologies used in rating LB Commercial Mortgage Trust 1999-C1,
Cl. X were "Moody's Approach to Rating Large Loan and Single
Asset/Single Borrower CMBS" published in July 2017, "Moody's
Approach to Rating Credit Tenant Lease and Comparable Lease
Financings" published in October 2016, and "Moody's Approach to
Rating Structured Finance Interest-Only (IO) Securities" published
in June 2017.
DEAL PERFORMANCE
As of the March 15, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $13 million
from $1.58 billion at securitization. The certificates are
collateralized by 16 mortgage loans ranging in size from less than
1% to 30% of the pool. Five loans, constituting 22% of the pool,
have defeased and are secured by US government securities. The pool
contains a Credit Tenant Lease (CTL) component that includes nine
loans, representing 39% of the pool.
Three loans, constituting 40% 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-two loans have been liquidated from the pool, resulting in
an aggregate realized loss of $42.1 million (for an average loss
severity of 35%). There are currently no loans in special
servicing.
The two non-CTL and non-defeased loans represent 39% of the pool
balance. The largest is the Kohl's Shopping Center Loan ($3.9
million -- 30.3% of the pool), which is secured by an anchored
retail center located in Farragut, Tennessee, approximately 20
miles from Knoxville. The property is anchored by a Kohl's (86% of
the NRA) on a lease that expires in February 2019. The property was
100% occupied as of September 2017. The loan benefits from
amortization and has paid down 37% since securitization. Moody's
analysis incorporated a Lit/Dark approach to account for the Kohl's
upcoming lease expiration. Moody's LTV and stressed DSCR are 99%
and 1.03X, respectively, compared to 90% and 1.14X at the last
review.
The other non-CTL and non-defeased loan is the Spalding Center
Shopping Center Loan ($1.1 million -- 8.5% of the pool), which is
secured by a 59,000 square foot (SF) anchored shopping center
located in Norcross, Georgia approximately 30 miles from the
Atlanta CBD. The property's anchor, Gold's Gym (47% of NRA),
terminated their lease in April 2017, however, the borrower signed
a five-year lease with Energy Fitness Group to take-over the Gold's
Gym space. The property was 89% occupied as of June 2017. The loan
is fully amortizing and has paid down 61% since securitization.
Moody's LTV and stressed DSCR are 49% and 2.34X, respectively,
compared to 49% and 2.32X at the last review.
The CTL component consists of nine loans, constituting 38.7% of the
pool, secured by properties leased to four tenants. Rite Aid
Corporation ($2.3 million -- 17.5% of the pool; senior unsecured
rating: B3/Caa1 -- stable outlook) and Bed, Bath & Beyond Inc.
($2.0 million -- 15.3% of the pool; backed senior unsecured rating:
Baa2 -- negative outlook) constitute the majority of this
component. The bottom-dollar weighted average rating factor (WARF)
for this pool is 1908. WARF is a measure of the overall quality of
a pool of diverse credits. The bottom-dollar WARF is a measure of
default probability.
MELLO MORTGAGE 2018-MTG1: Moody's Assigns (P)B2 Rating to B5 Debt
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
residential mortgage-backed securities (RMBS) issued by Mello
Mortgage Capital Acceptance 2018-MTG1 ("Mello 2018-MTG1"). The
ratings range from (P)Aaa (sf) to (P)B2 (sf).
Mello 2018-MTG1 is the first transaction entirely backed by loans
underwritten by loanDepot.com, LLC ("loanDepot"). Mello 2018-MTG1
consists of prime jumbo loans underwritten to loanDepot's
underwriting guidelines and high balance GSE-eligible loans
underwritten to Freddie Mac or Fannie Mae guidelines with loanDepot
overlays. All of the loans are designated as qualified mortgages
(QM) either under the QM safe harbor or the GSE temporary exemption
under the Ability-to- Repay (ATR) rules.
Cenlar FSB will service the loans and Wells Fargo Bank, N.A. (Aa2)
will be the master servicer. loanDepot will be the servicing
administrator and responsible for servicer advances, with the
master servicer stepping in if loanDepot cannot fulfill its
obligation to advance scheduled principal and interest.
Mello 2018-MTG1 is a securitization of 453 primarily 30-year,
first-lien, fixed-rate prime residential mortgage loans (two loans
have a 25- year term). The pool consists of 227 GSE-eligible high
balance (40.7% by loan balance) and 226 prime jumbo (59.3% by loan
balance) mortgage loans.
The securitization has a shifting interest structure with a
five-year lockout period that benefits from a senior subordination
floor and a subordinate floor.
The complete rating actions are as follows:
Issuer: Mello Mortgage Capital Acceptance 2018-MTG1
Cl. A1, Assigned (P)Aaa (sf)
Cl. A2, Assigned (P)Aaa (sf)
Cl. A3, Assigned (P)Aaa (sf)
Cl. A4, Assigned (P)Aaa (sf)
Cl. A5, Assigned (P)Aaa (sf)
Cl. A6, Assigned (P)Aaa (sf)
Cl. A7, Assigned (P)Aaa (sf)
Cl. A8, Assigned (P)Aaa (sf)
Cl. A9, Assigned (P)Aa1 (sf)
Cl. A10, Assigned (P)Aa1 (sf)
Cl. A11, Assigned (P)Aaa (sf)
Cl. A12, Assigned (P)Aaa (sf)
Cl. A13, Assigned (P)Aaa (sf)
Cl. A14, Assigned (P)Aaa (sf)
Cl. A15, Assigned (P)Aaa (sf)
Cl. A16, Assigned (P)Aaa (sf)
Cl. A17, Assigned (P)Aaa (sf)
Cl. A18, Assigned (P)Aaa (sf)
Cl. A19, Assigned (P)Aaa (sf)
Cl. A20, Assigned (P)Aaa (sf)
Cl. B1, Assigned (P)Aa3 (sf)
Cl. B2, Assigned (P)A2 (sf)
Cl. B3, Assigned (P)Baa2 (sf)
Cl. B4, Assigned (P)Ba2 (sf)
Cl. B5, Assigned (P)B2 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected cumulative net loss on the aggregate pool is 0.50%
in a base scenario and reaches 5.80% at a stress level consistent
with the Aaa (sf) ratings.
Moody's calculated losses on the pool using Moody's US Moody's
Individual Loan Analysis (MILAN) model based on the loan-level
collateral information as of the cut-off date. Loan-level
adjustments to the model results included adjustments to
probability of default for higher and lower borrower debt-to-income
ratios (DTIs), for borrowers with multiple mortgaged properties,
self-employed borrowers, and for the default risk of Homeownership
association (HOA) properties in super lien states. Moody's final
loss estimates also incorporate adjustments for originator
assessments and the financial strength of Representation & Warranty
(R&W) providers.
Moody's base Moody's provisional ratings on the certificates on the
credit quality of the mortgage loans, the structural features of
the transaction, Moody's assessments of the aggregators,
originators and servicers, the strength of the third party due
diligence and the representations and warranties (R&W) framework of
the transaction.
Collateral Description
Mello 2018-MTG1 is a securitization of a pool of 453
fully-amortizing mortgage loans with a total balance of
$299,825,239 as of the cut-off date, with a weighted average (WA)
original term to maturity of 360 months, and a WA seasoning of 2.1
months. The borrowers in this transaction have high FICO scores and
sizeable equity in their properties. The WA original FICO score is
772 and the WA original combined loan-to-value ratio (CLTV) is
72.4%. The characteristics of the loans underlying the pool are
generally comparable to other recent prime RMBS transactions backed
by 30-year mortgage loans that Moody's have rated.
Third-party Review and Reps & Warranties
Two third party review (TPR) firms, Clayton Services LLC and Opus
Capital Markets Consultants LLC, verified the accuracy of the
loan-level information that the sponsor gave us. These firms
conducted detailed credit, collateral, and regulatory reviews on
100% of the mortgage pool. The TPR results indicated compliance
with the originators' underwriting guidelines for the vast majority
of loans, no material compliance issues, and no material appraisal
defects.
Moody's increased Moody's loss levels to account for weakness in
the overall R&W framework due to the financial weakness of the R&W
provider and the lack of a repurchase mechanism for loans
experiencing an early payment default. The R&W provider and the
guarantor are both loanDepot entities, which may not have the
financial wherewithal to purchase defective loans. Moreover, unlike
other prime jumbo transactions that Moody's have rated, the R&W
framework for this transaction does not include a mechanism whereby
loans that experience an early payment default (EPD) are
repurchased. However, the results of the independent due diligence
review revealed a high level of compliance with underwriting
guidelines and regulations, as well as overall strong valuation
quality. These results give us a clear indication that the loans
most likely do not breach the R&Ws. Also, the transaction benefits
from unqualified R&Ws and an independent breach reviewer.
Tail Risk & Subordination Floor
The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to increased performance
volatility, known as tail risk. The transaction provides for a
credit enhancement floor of 1.85% of the closing pool balance,
which mitigates tail risk by protecting the senior bonds from
eroding credit enhancement over time.
Exposure to Extraordinary Expenses
Certain extraordinary trust expenses (such as fees paid to the
reviewer, servicing transfer costs) in the Mello 2018-MTG1
transaction are deducted directly from the available distribution
amount. The remaining trust expenses (which have an annual cap of
$350,000 per year) are deducted from the available distribution
amount. Moody's believe there is a very low likelihood that the
rated certificates in Mello 2018-MTG1 will incur any losses from
extraordinary expenses or indemnification payments from potential
future lawsuits against key deal parties. First, the loans are
prime quality, 100 percent qualified mortgages 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,
the transaction has reasonably well defined processes in place to
identify loans with defects on an ongoing basis. Furthermore, the
issuer has disclosed the results of a credit, valuation and
compliance review covering all of the mortgage loans by an
independent third party. Finally, Moody's sized Moody's credit
enhancement assuming some losses on the collateral owing to
extraordinary expenses.
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 of the subordinate bonds 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.
MORGAN STANLEY 2006-TOP21: Moody's Cuts Class C Debt Rating to B1
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on seven
classes, affirmed the rating on one class and and placed the
ratings on six classes under review for possible downgrade in
Morgan Stanley Capital I Trust 2006-TOP21 as follows:
Cl. A-J, Downgraded to A1 (sf) and Placed Under Review for Possible
Downgrade; previously on Apr 12, 2017 Downgraded to Aa2 (sf)
Cl. B, Downgraded to Baa2 (sf) and Placed Under Review for Possible
Downgrade; previously on Apr 12, 2017 Downgraded to A1 (sf)
Cl. C, Downgraded to B1 (sf) and Placed Under Review for Possible
Downgrade; previously on Apr 12, 2017 Downgraded to Baa2 (sf)
Cl. D, Downgraded to Caa1 (sf) and Placed Under Review for Possible
Downgrade; previously on Apr 12, 2017 Downgraded to Ba2 (sf)
Cl. E, Downgraded to Ca (sf) and Placed Under Review for Possible
Downgrade; previously on Apr 12, 2017 Downgraded to B2 (sf)
Cl. F, Downgraded to C (sf); previously on Apr 12, 2017 Downgraded
to Caa3 (sf)
Cl. G, Affirmed C (sf); previously on Apr 12, 2017 Downgraded to C
(sf)
Cl. X, Downgraded to Ca (sf) and Placed Under Review for Possible
Downgrade; previously on Jun 9, 2017 Downgraded to Caa3 (sf)
RATINGS RATIONALE
The ratings on six P&I classes, classes A-J through F, were
downgraded due to interest shortfalls and anticipated losses from
the largest specially serviced loan that were higher than Moody's
had previously expected. The REO loan constitutes 48.8% of the
pool.
The rating on the P&I class, Class G, was affirmed because the
ratings are consistent with Moody's expected loss plus realized
losses. Class G has already experienced a 12.3% realized loss as
result of previously liquidated loans.
The rating on the IO Class, Class X, was downgraded due to a
decline in the credit quality of its referenced classes.
The ratings on five P&I classes, classes A-J through E, were placed
on review for possible downgrade resulting from uncertainty
regarding the resolution of the largest specially serviced loan.
The rating on the IO class, Class X, whose referenced classes
include these five P&I classes, was placed on review for possible
downgrade.
Moody's rating action reflects a base expected loss of 44% of the
current pooled balance, compared to 36.3% at Moody's last review.
Moody's base expected loss plus realized losses is now 7.1% of the
original pooled balance, compared to 5.6% 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 rating Morgan Stanley Capital I
Trust 2006-TOP21, Cl A-J, Cl. B, Cl. C, Cl. D, Cl. E, Cl. F, and
Cl. G was "Moody's Approach to Rating Large Loan and Single
Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating Morgan Stanley Capital I Trust
2006-TOP21 Cl. X were "Moody's Approach to Rating Large Loan and
Single Asset/Single Borrower CMBS" published in July 2017 and
"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 49% of the pool is in
special servicing and. 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 March 12, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 91.4% to $118.9
million from $1.4 billion at securitization. The certificates are
collateralized by 10 mortgage loans ranging in size from less than
1% to 48.8% of the pool. One loan, constituting 11.8% of the pool,
has an investment-grade structured credit assessment.
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 4 at Moody's last review.
One loan, constituting 0.5% of the pool, is on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Twelve loans have been liquidated from the pool, resulting in an
aggregate realized loss of $46 million (for an average loss
severity of 53.1%). One loan, constituting 48.8% of the pool, is
currently in special servicing.
The specially serviced loan is the SBC -- Hoffman Estates Loan ($58
million -- 48.8% of the pool), represents a pari-passu portion of a
$113.7 million first mortgage loan. The loan is secured by a 1.7
million square foot (SF), three-building corporate office campus
located in Hoffman Estates, Illinois, approximately 25 miles
northwest of the Chicago CBD. SBC Communications, which developed
the property between 1988 and 1995, was acquired by AT&T, which
subsequently vacated the property at the end of their lease in
August 2016. The loan was transferred to the special servicer in
June 2016 due to imminent default stemming from AT&T's intention to
vacate their space. The property is composed of the main building
(1.3 million SF), Lakewood Building (300,000 SF), and the Institute
Building (50,000 SF), which houses the property's conference
facilities. Amenities at the property include a food court with
space for several vendors, a fitness center and spa, and executive
parking garage, and space for retail services. The property is now
100% vacant with the exception of a 10,000 SF suite that AT&T has
an easement to occupy at no-cost in perpetuity. The loan is now REO
and the most recent December 2017 appraisal valued the property at
$21 million, compared to the $338.9 million appraisal value at
securitization.
As of the March 12, 2018 remittance statement cumulative interest
shortfalls were $3.8 million. Moody's anticipates interest
shortfalls will continue because of the exposure to specially
serviced loans and/or modified loans. Interest shortfalls are
caused by special servicing fees, including workout and liquidation
fees, appraisal entitlement reductions (ASERs), loan modifications
and extraordinary trust expenses.
Moody's received full year 2016 operating results for 99% of the
pool, and full or partial year 2017 operating results for 94% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 90.9%, compared to 87.6% 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 31% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.19%.
Moody's actual and stressed conduit DSCRs are 1.40X and 1.44X,
respectively, compared to 1.46X and 1.41X 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 loan with a structured credit assessment is the 45 East 89th
Street Loan ($14 million -- 11.8% of the pool), which is secured by
a 249-unit residential co-op located at East 89th Street and
Madison Avenue in Manhattan. Moody's structured credit assessment
is aaa (sca.pd), the same as at Moody's last review.
The top three conduit loans represent 36.6% of the pool balance.
The largest loan is the Anthem Health Loan ($23 million -- 19.4% of
the pool), which is secured by a 234,000 SF office building built
in 2005 and located in Louisville, Kentucky. The loan had an
anticipated repayment date (ARD) in December 2015. The property is
100% leased to Anthem Health through August 2020. Moody's
incorporated a Lit/Dark analysis to account for the single-tenant
exposure. Moody's LTV and stressed DSCR are 127% and 0.79X,
respectively, compared to 117% and 0.86X at the last review.
The second largest loan is the Huntsman R&D Facility Loan ($18.7
million -- 15.8% of the pool), which is secured by a 176,000 SF R&D
facility located on a 17-acre campus approximately 35 miles north
of Houston, Texas. The property is 100% occupied by Huntsman
International LLC through August 2022. Moody's incorporated a
Lit/Dark analysis to account for the single-tenant exposure. The
loan has amortized 29.3% since securitization. Moody's LTV and
stressed DSCR are 62% and 1.67X, respectively, compared to 66% and
1.57X at the last review.
The third largest loan is the Amberwood Garden Apartments Loan
($1.7 million -- 1.5% of the pool), which is secured by a 72-unit
multifamily property located in Hayward, California approximately
15 miles south of the Oakland CBD. The loan is fully amortizing and
has paid down 45% since securitization. As per the January 2018
rent roll, the property was 100% occupied. Moody's LTV and stressed
DSCR are 24% and 3.68X, respectively, compared to 31% and 2.92X at
the last review.
MORGAN STANLEY 2013-C9: DBRS Confirms B(low) Rating on Cl. H Certs
------------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2013-C9
issued by Morgan Stanley Bank of America Merrill Lynch Trust
2013-C9 as follows:
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-3FL at AAA (sf)
-- Class A-3FX at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class X-B at A (high) (sf)
-- Class C at A (sf)
-- Class PST at A (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (high) (sf)
-- Class G at BB (low) (sf)
-- Class H at B (low) (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction since issuance when this transaction consisted of
60 loans secured by 77 properties for a total trust balance of
approximately $1.28 billion. As of the March 2017 remittance
report, the trust balance was $1.02 billion, representing a
collateral reduction of 20.0% resulting from scheduled amortization
and loan repayments, with 54 of the original 60 loans remaining in
the pool. Loans representing 87.1% of the current pool balance
reported partial-year or YE2017 financials. Collectively, these
loans reported a weighted-average (WA) debt service coverage ratio
(DSCR) and debt yield of 1.62 times (x) and 9.5%, respectively. All
of the loans in the top 15, which collectively represent 69.7% of
the pool balance, reported YE2016 cash flows, with those figures
showing WA net cash flow growth of 10.9% over the DBRS issuance
figures, with a WA DSCR of 1.81x compared with the WA DBRS Term
DSCR at issuance of 1.63x.
As of the March 2018 remittance report, there are two loans
representing 6.3% of the pool on the servicer's watch list, and
there is one loan in special servicing, representing 0.7% of the
pool. Both loans on the watch list are being monitored for a low
DSCR. DBRS assumed a stressed cash flow scenario for both loans in
the analysis for this review, increasing the probability of default
significantly. The specially serviced loan, Prospectus ID #33 –
Hilton Garden Inn Houston West belt, was transferred to special
servicing in April 2017 for payment default. The loan has since
been made current, and the Special Servicer has noted that a return
to the Master Servicer is imminent. For additional information on
this loan, please see the loan commentary on the DBRS Viewpoint
platform, for which information is provided below.
Classes X-A and X-B are interest-only (IO) certificates that
reference a single rated tranche or multiple rated tranches. The IO
rating mirrors the lowest-rated reference tranche adjusted upward
by one notch if senior in the waterfall.
NORTHWOODS CAPITAL XVII: Moody's Gives Ba3 Rating to Class E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Northwoods Capital XVII, Limited.
Moody's rating action is as follows:
US$341,250,000 Class A Senior Secured Floating Rate Notes due 2031
(the "Class A Notes"), Assigned Aaa (sf)
US$57,750,000 Class B Senior Secured Floating Rate Notes due 2031
(the "Class B Notes"), Assigned Aa2 (sf)
US$31,500,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C Notes"), Assigned A2 (sf)
US$27,750,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class D Notes"), Assigned Baa3 (sf)
US$24,750,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class E Notes"), Assigned Ba3 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes and the Class E Notes are referred to herein, collectively,
as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
Northwoods XVII is a managed cash flow CLO. The issued notes will
be collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90% of the portfolio must consist of
first lien senior secured loans, and up to 10% of the portfolio may
consist of non-senior secured loans. The portfolio is approximately
75% ramped as of the closing date.
Angelo, Gordon & Co., L.P. (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's 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 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: 55
Weighted Average Rating Factor (WARF): 2722
Weighted Average Spread (WAS): 3.30%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 9.3 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
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 2722 to 3130)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2722 to 3539)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -3
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
OBX TRUST 2018-1: DBRS Assigns Prov. BB Rating on Class B-4 Notes
-----------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage-Backed Notes, Series 2018-1 (the Notes) issued by OBX
2018-1 Trust (the Trust):
-- $297.8 million Class A-1 at AAA (sf)
-- $297.8 million Class A1-IO at AAA (sf)
-- $297.8 million Class A-1A at AAA (sf)
-- $293.9 million Class A-2 at AAA (sf)
-- $293.9 million Class A2-IO at AAA (sf)
-- $293.9 million Class A-2A at AAA (sf)
-- $3.9 million Class A-3 at AAA (sf)
-- $3.9 million Class A3-IO at AAA (sf)
-- $3.9 million Class A-3A at AAA (sf)
-- $7.2 million Class B-1 at AA (sf)
-- $7.2 million Class B1-IO at AA (sf)
-- $7.2 million Class B-1A at AA (sf)
-- $6.2 million Class B-2 at A (sf)
-- $6.2 million Class B2-IO at A (sf)
-- $6.2 million Class B-2A at A (sf)
-- $6.4 million Class B-3 at BBB (sf)
-- $6.4 million Class B3-IO at BBB (sf)
-- $6.4 million Class B-3A at BBB (sf)
-- $4.1 million Class B-4 at BB (sf)
-- $1.6 million Class B-5 at B (sf)
Classes A1-IO, A2-IO, A3-IO, B1-IO, B2-IO and B3-IO are
interest-only (IO) notes. The class balances represent notional
amounts.
Classes A-1, A1-IO, A-1A, A-2A, A-3A, B-1A, B-2A and B-3A are
exchangeable notes. These classes can be exchanged for combinations
of initial exchangeable notes as specified in the offering
documents.
The AAA (sf) ratings on the Notes reflect the 8.80% of credit
enhancement provided by subordinated Notes in the pool. The AA
(sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 6.60%,
4.70%, 2.75%, 1.50% and 1.00% of credit enhancement, respectively.
Other than the specified classes above, DBRS does not rate any
other classes in this transaction.
This transaction is a securitization of a portfolio of seasoned
performing and re-performing first-lien residential mortgages. The
Notes are backed by 920 loans with a total principal balance of
$327,161,760 as of the Cut-Off Date (February 28, 2018). Unless
otherwise specified, the statistical information on the mortgage
loans in this press release is based on the unpaid interest-bearing
principal balance of $326,553,472. Additionally, the FICO scores in
this press release are calculated as the lower of the FICO scores
of the primary borrower and co-borrower.
The mortgage pool consists of two portfolios:
(1) Wells Fargo Serviced Mortgage Loans (62.7%): These loans were
aggregated from collapsing two seasoned prime securitizations,
BSARM 2005-2 and BSARM 2005-5. These loans are very seasoned (169
months), with a weighted-average (WA) FICO of 736 and WA
loan-to-value (LTV) of 36.0%. Only 5.1% of these loans were
modified, and 90.5% of the loans have been zero times 30 days
delinquent (0 x 30) for at least the past 24 months under the
Mortgage Bankers Association (MBA) delinquency methods. As of the
Cut-Off Date, these loans are serviced by Wells Fargo Bank, N.A
(Wells Fargo Bank; rated AA with a Stable trend by DBRS).
(2) SLS Serviced Mortgage Loans (37.3%): These loans are, on
average, four years seasoned with a WA FICO of 752 and WA LTV of
52.4%. Only 0.3% of these loans were modified, and 81.3% of the
loans have been 0 x 30 for at least the past 24 months under the
MBA delinquency methods. In accordance with the Consumer Financial
Protection Bureau's Ability-to-Repay and Qualified Mortgage (QM)
rules, approximately 13.0% of the loans are designated as non-QM,
9.5% as QM Safe Harbor and the rest as not subject to the rules.
While certain attributes are comparable with post-crisis prime
transactions, these hybrid adjustable-rate mortgages may have IO
features and a more bar belled distribution of certain
characteristics such as credit scores and debt-to-income compared
with recent prime securitizations. Additionally, this portfolio has
a relatively higher concentration of self-employed borrowers and
investor loans. As of the Cut-Off Date, these loans are serviced by
Specialized Loan Servicing LLC (SLS).
Within the pool, eight mortgages have non-interest-bearing deferred
amounts, which equates to 0.2% of the total principal balance.
The Seller, Onslow Bay Financial LLC (OBF), acquired the loans
prior to the Closing Date through various sellers or in connection
with the termination of securitization trusts. Upon acquiring the
loans, OBF, through an affiliate, Onslow Bay Funding LLC (the
Depositor), will contribute the loans to the Trust. The Seller
intends to retain (directly or through a majority-owned affiliate)
5.0% of the offered notes and the Class A-IO-S Notes to satisfy the
credit risk retention requirements under Section 15G of the
Securities Exchange Act of 1934 and the regulations promulgated
thereunder.
Wells Fargo Bank will be the Master Servicer for this transaction.
If any loan that is being serviced by Wells Fargo Bank becomes 90
days delinquent, then such loan will be transferred to SLS.
There will be no advancing of delinquent principal or interest on
the mortgages by the servicer or any other party to the
transaction; however, the servicer is obligated to make advances in
respect of homeowner association fees, taxes and insurance,
reasonable costs and expenses incurred in the course of servicing
and disposing of properties.
Unlike other seasoned loan securitizations with no
interest-advancing mechanism, where a sequential-pay cash flow
structure is typically utilized, this transaction employs a
senior-subordinate shifting-interest structure. For transactions
with no interest-advancing mechanism, there is generally a higher
possibility of periodic interest shortfalls to the Note holders as
interest is not collected nor advanced on any delinquent mortgages.
To mitigate the potential interest shortfalls, this transaction
employs a structural feature that reduces the interest entitlements
to the Note holders by the amount of delinquent interest.
The Seller will have the option to repurchase any loan that becomes
60 or more days delinquent under the MBA method or any REO property
acquired in respect of a mortgage loan at a price equal to the
unpaid principal balance of the loan (Optional Delinquent
Repurchase Price) provided that such repurchases will be limited to
10.0% of the principal balance of the mortgage loans as of the
Cut-Off Date.
The ratings reflect transactional strengths that include underlying
assets that have considerable borrower equity, good credit quality
and relatively clean payment histories. Additionally, satisfactory
third-party due diligence was performed on the pool for regulatory
compliance, title/lien, payment history and data integrity. Updated
Home Data Index and/or broker price opinions were provided for the
pool; however, reconciliation was not performed on the updated
values.
The transaction employs a relatively strong representations and
warranties framework with a few limitations that include a trigger
review period, certain knowledge qualifiers, an unrated
representation provider and fewer mortgage loan representations
relative to DBRS criteria for seasoned pools.
ONEMAIN FINANCIAL 2018-2: DBRS Finalizes BB Rating on Cl. E Notes
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by OneMain Financial Issuance Trust 2018-2
(OMFIT 2018-2 or the Issuer):
-- $255,390,000 Series 2018-2, Class A (the Class A Notes) at
AAA (sf)
-- $33,120,000 Series 2018-2, Class B (the Class B Notes) at
AA (sf)
-- $21,310,000 Series 2018-2, Class C (the Class C Notes) at
A (sf)
-- $26,460,000 Series 2018-2, Class D (the Class D Notes) at
BBB (sf)
-- $32,160,000 Series 2018-2, Class E (the Class E Notes) at
BB (sf)
The ratings are based on DBRS's review of the following analytical
considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under
which they have invested. For this transaction, the ratings
address the timely payment of interest on a monthly basis and
principal by the legal final maturity date.
-- OneMain Financial, Inc.'s (OneMain) capabilities with regard
to originations, underwriting and servicing.
-- The credit quality of the collateral and performance of
OneMain's consumer loan portfolio. DBRS used a hybrid
approach in analyzing the OneMain portfolio that incorporates
elements of static pool analysis, employed for assets such as
consumer loans, and revolving asset analysis, employed for
such assets as credit card master trusts.
-- The legal structure and presence of legal opinions that
address the true sale of the assets to the Issuer, the non-
consolidation of the special-purpose vehicle with OneMain,
that the trust has a valid first-priority security interest
in the assets and the consistency with DBRS's "Legal Criteria
for U.S. Structured Finance."
DBRS assigned ratings to OMFIT 2018-2 as listed above. The OMFIT
2018-2 transaction represents the 11th securitization of a
portfolio of non-prime and subprime personal loans originated
through OneMain's branch network.
Credit enhancement in the transaction consists of
overcollateralization (OC), subordination, excess spread and a
Reserve Account. The rating on the Class A Notes reflects the
33.40% of initial hard credit enhancement provided by the
subordinated notes in the pool, the Reserve Account (0.50%) and OC
(3.20%). The rating on the Class B Notes reflects the 24.70% of
initial hard credit enhancement provided by the subordinated notes
in the pool, the Reserve Account (0.50%) and OC (3.20%). The rating
on the Class C Notes reflects the 19.10% of initial hard credit
enhancement provided by the subordinated notes in the pool, the
Reserve Account (0.50%) and OC (3.20%). The rating on the Class D
Notes reflects the 12.15% of initial hard credit enhancement
provided by the subordinated notes in the pool, the Reserve Account
(0.50%) and OC (3.20%). The rating on the Class E Notes reflects
the 3.70% of initial hard credit enhancement provided by the
Reserve Account (0.50%) and OC (3.20%). Additional credit support
may be provided from excess spread available in the structure.
PREFERREDPLUS TRUST CZN-1: S&P Affirms B- Rating on Certs Due 2046
------------------------------------------------------------------
S&P Global Ratings affirmed its 'B-' rating on PreferredPLUS Trust
Series CZN-1's US$34.5 million preferred plus 8.375% trust
certificates due Oct. 1, 2046, and removed it from CreditWatch,
where S&P placed it with negative implications on Feb. 27, 2018.
S&P's rating on the certificates depends solely on its rating on
the underlying security, Frontier Communications Corp.'s 7.05%
senior debentures due Oct. 1, 2046 ('B-').
The rating action reflects the March 7, 2018, affirmation of S&P's
'B-' rating on the underlying security and its removal from
CreditWatch, where it had placed it with negative implications on
Feb. 7, 2018.
S&P may take subsequent rating actions on the certificates due to
the changes in its rating assigned to the underlying security.
RAIT TRUST: DBRS Puts Ratings on 3 Trust Series on Review Negative
------------------------------------------------------------------
DBRS Limited placed all classes of the Floating Rate Notes issued
by RAIT 2015-FL5 Trust, RAIT 2016-FL6 Trust and RAIT 2017-FL8 Trust
Under Review with Negative Implications as follows:
RAIT 2015-FL5 Trust:
-- Class A at AAA (sf), Under Review with Negative Implications
-- Class B at AA (high) (sf), Under Review with Negative
Implications
-- Class C at A (high) (sf), Under Review with Negative
Implications
-- Class D at BBB (high) (sf), Under Review with Negative
Implications
-- Class E at BBB (low) (sf), Under Review with Negative
Implications
-- Class F at B (high) (sf), Under Review with Negative
Implications
RAIT 2016-FL6 Trust:
-- Class A at AAA (sf), Under Review with Negative Implications
-- Class A-S at AAA (sf), Under Review with Negative Implications
-- Class B at AA (low) (sf), Under Review with Negative
Implications
-- Class C at A (low) (sf), Under Review with Negative
Implications
-- Class D at BBB (low) (sf), Under Review with Negative
Implications
-- Class E at BB (sf), Under Review with Negative Implications
-- Class F at B (sf), Under Review with Negative Implications
RAIT 2017-FL8 Trust:
-- Class A at AAA (sf), Under Review with Negative Implications
-- Class A-S at AAA (sf), Under Review with Negative Implications
-- Class B at AA (low) (sf), Under Review with Negative
Implications
-- Class C at A (low) (sf), Under Review with Negative
Implications
-- Class D at BBB (low) (sf), Under Review with Negative
Implications
-- Class E at BB (sf), Under Review with Negative Implications
-- Class F at B (sf), Under Review with Negative Implications
DBRS placed the referenced classes Under Review with Negative
Implications citing concerns over the current servicing of the
transactions.
On February 20, 2018, RAIT Financial Trust (RAIT or the Company),
parent of the issuer, mortgage loan seller and servicer/special
servicer for RAIT 2015-FL5, RAIT 2016-FL6 and RAIT 2017-FL8 Trusts,
announced the conclusion of a Strategic and Financial Alternative
Review Process conducted by a special committee of RAIT's
independent trustees.
On March 5, DBRS spoke with members of the RAIT management team to
determine the effect of the announcement on the securitized
transactions, including the servicing and special servicing. Given
the lack of information regarding the future of the Company, DBRS
is concerned about the servicing and special servicing of these
transactions. Hence, DBRS is placing the bonds under review with
the expectation that additional information will be available in
the near term to provide a clearer picture of the future of the
Company and, specifically, its servicing and asset management
teams. DBRS will revisit the ratings once additional information
becomes available.
RAMP TRUST 2004-RS8: Moody's Hikes Class M-II-2 Debt Rating to B2
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of two bonds and
downgraded the ratings of one bond issued by two transactions,
backed by Subprime mortgage loans.
Complete rating actions are:
Issuer: Credit Suisse First Boston Mortgage Securities Corp. Series
2003-5
Cl. A-1, Downgraded to Aa3 (sf); previously on Apr 9, 2012
Downgraded to Aa1 (sf)
Issuer: RAMP Series 2004-RS8 Trust
Cl. M-II-1, Upgraded to Aaa (sf); previously on Apr 6, 2017
Upgraded to A2 (sf)
Cl. M-II-2, Upgraded to B2 (sf); previously on Apr 6, 2017 Upgraded
to Caa2 (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pools
and reflect Moody's updated loss expectations on the pools. The
rating upgrades are a result of an increase in credit enhancement
available to the bonds. The rating of Cl. A-1 issued by Credit
Suisse First Boston Mortgage Securities Corp. Series 2003-5 is
downgraded due to a decrease in credit enhancement available to the
bond.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.1% in February 2018 from 4.7% in
February 2017. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2018 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 2018. Lower increases than
Moody's expects or decreases could lead to negative rating actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
READY CAPITAL 2018-4: DBRS Finalizes B(low) Rating on Cl. F Certs
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Ready Capital Mortgage Trust 2018-4 Commercial Mortgage
Pass-Through Certificates issued by Ready Capital Mortgage Trust
2018-4:
-- Class A at AAA (sf)
-- Class IO-A at AAA (sf)
-- Class B at AAA (sf)
-- Class IO-B/C at AAA (sf)
-- Class C at AA (high) (sf)
-- Class D at A (low) (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)
All trends are Stable.
The Class IO-A and IO-B/C balances are notional.
The collateral consists of 50 fixed-rate loans secured by 54
commercial and multifamily properties. The transaction is a
sequential-pay pass-through structure. The pool was analyzed to
determine the ratings, reflecting the long-term probability of loan
default within the term and its liquidity at maturity. When the
cut-off loan balances were measured against the DBRS In-Place net
cash flow (NCF) and their respective actual constants, 20 loans,
representing 42.5% of the total pool, had a DBRS Term debt service
coverage ratio (DSCR) below 1.15 times (x), a threshold indicative
of a higher likelihood of mid-term default. With the exception of
ten loans, representing 21.0% of the pool trust balance, all other
loans are structured without any interest-only (IO) period, thus
reducing refinance default risk. The current trust balance is
expected to amortize by 15.7% at maturity.
Additionally, to assess refinance risk given the current low
interest rate environment, DBRS applied its refinance constants to
the balloon amounts. This resulted in 20 loans, representing 41.4%
of the pool, having refinance DSCRs below 1.00x, and three loans,
representing 13.0% of the pool, having refinance DSCRs below 0.90x.
The DBRS term metrics are based on the DBRS In-Place NCF, and the
DBRS refinance metrics are based on the DBRS Stabilized NCF. For
loans without future finding components, DBRS set the DBRS
Stabilized NCF at an equal level to the DBRS In-Place NCF. The
properties with future funding components were typically
transitioning with potential upside in the cash flow; however, DBRS
does not give full credit to the stabilization if there are no
holdbacks or if other loan structural features in place were
insufficient to support such treatment. Furthermore, even with the
structure provided, DBRS generally does not assume the assets will
stabilize above market levels.
The loans are generally secured by traditional property types
(i.e., retail, multifamily, office and industrial), with no
exposure to higher-volatility property types such as hotels. There
are only two loans, representing 5.0% of the pool, secured by
non-traditional properties types (i.e., self-storage and
manufactured housing communities). There are 23 loans in the pool,
representing 38.7% of the mortgage loan cut-off date balance,
secured by multifamily properties. Multifamily properties benefit
from staggered lease rollover and generally low expense ratios
compared with other property types. While revenue is quick to
decline in a downturn because of the short-term nature of the
leases, it is also quick to respond when the market improves. None
of the multifamily loans in the pool are currently secured by
student or military housing properties, which often exhibit higher
cash flow volatility than traditional multifamily properties.
The pool is relatively diverse based on loan size, with a
concentration profile equivalent to that of a pool of 29
equal-sized loans. Increased pool diversity helps to insulate the
higher-rated classes from event risk. No loan accounts for more
than 10.0% of the pool trust balance and only two loans account for
more than 5.0% of the trust balance. The pool has an average trust
balance of $3.3 million; this is significantly lower than the
average loan balance for conduit loans, which is typically above
$15 million. Historically, loans with smaller balances have
experienced significantly higher loss severities in the event of
default than larger loans.
Eleven loans, representing 16.8% of the pool, are located in rural
or tertiary markets. Properties located in tertiary and rural
markets are penalized with significantly higher loss severities
than those located in urban and suburban markets. The loans secured
by properties in these markets have a straight-line average DBRS
Exit Debt Yield of 12.4%, which is substantially higher than the
pool's weighted-average (WA) DBRS Exit Debt Yield of 10.7%.
Of the 21 loans DBRS sampled, six loans, representing 14.6% of the
pool (23.1% of the DBRS sample) were identified as having Below
Average or Average (-) property quality. Lower-quality properties
are less likely to retain existing tenants, resulting in less
stable performance. The six loans have a straight-line average DBRS
Exit Debt Yield of 12.0%, which is substantially higher than the
pool's WA DBRS Exit Debt Yield of 10.7%. Seven loans, representing
22.9% of the pool, have sponsorship and/or loan collateral with a
prior discounted payoff, loan default, DST borrower, limited
liquidity relative to loan obligation, a historical negative credit
event or a prior or pending litigation issue with the respective
property. DBRS increased the probability of default for loans with
identified sponsorship concerns and loans with Below Average or
Average (-) property quality.
Classes IO-A and IO-B/C are IO certificates that reference a single
rated tranche or multiple rated tranches. The IO ratings mirror the
lowest-rated reference tranche adjusted upward by one notch if
senior in the waterfall.
RETL 2018-RVP: S&P Assigns B-(sf) Rating on $160.3MM Class F Certs
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to RETL 2018-RVP's $1.35
billion commercial mortgage pass-through certificates.
The certificate issuance is a commercial mortgage-backed securities
transaction backed by a three-year, floating-rate commercial
mortgage loan totaling $1.350 billion, with two, one-year extension
options, secured by first-mortgage liens on the fee, leasehold, and
partial leasehold interests in 38 retail properties in the
continental U.S., along with a pledge of all cash flows, insurance
proceeds, and a Uniform Commercial Code (UCC) pledge of the direct
equity interests in the owners of 12 retail properties in Puerto
Rico.
The ratings reflect S&P's view of the collateral's historical and
projected performance, the sponsor's and managers' experience, the
trustee-provided liquidity, the loan's terms, and the transaction's
structure.
RATINGS ASSIGNED
RETL 2018-RVP
Class Rating(i) Amount ($)
A AAA (sf) 524,000,000
X-CP(ii) BBB- (sf) 121,900,000(iii)
X-EXT(ii) BBB- (sf) 121,900,000(iii)
B AA (sf) 159,200,000
C A- (sf) 137,900,000
D BBB- (sf) 121,900,000
E BB- (sf) 165,500,000
F B- (sf) 160,300,000
G NR 13,400,000
HRR NR 67,800,000
(i)The issuer will issue the certificates to qualified
institutional buyers in-line with Rule 144A of the Securities Act
of 1933.
(ii)Interest-only class.
(iii)Notional balance. The class X-CP and X-EXT certificates'
notional amount will be reduced by the aggregate amount of
principal distributions and realized losses allocated to the class
D certificates.
NR--Not rated.
SAXON ASSET 1999-3: Moody's Lowers BF-1A Debt Rating to Caa3(sf)
----------------------------------------------------------------
Moody's Investors Service has downgraded the rating of Saxon Asset
Securities Trust 1999-3 Class BF-1A.
Complete list of rating actions is:
Issuer: Saxon Asset Securities Trust 1999-3
BF-1A, Downgraded to Caa3 (sf); previously on Mar 10, 2011
Downgraded to Caa1 (sf)
RATINGS RATIONALE
The rating downgrade is primarily due to ongoing poor performance
of the underlying collateral and loss expectation on the bond. The
actions reflect the recent performance of the underlying pools,
Moody's updated loss expectations on the pools and an update in the
approach used in analyzing the transaction structures.
In Moody's prior ratings analysis Moody's used a static approach in
which Moody's compared the total credit enhancement for the bond
including excess spread, subordination, overcollateralization, and
other external support, if any, to the expected losses on the
mortgage pool(s) supporting the bond. Moody's have now updated
Moody's approach to include a cash flow analysis, wherein Moody's
run several different loss levels, loss timing, and prepayment
scenarios using Moody's scripted cash flow waterfalls to estimate
the losses to the different bonds under these scenarios. The rating
action on the bond reflects the results of this analysis.
The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to macroeconomic
uncertainty, and in particular the unemployment rate. The
unemployment rate fell to 4.1% in February 2018 from 4.7% in
February 2017. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2018 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 2018. 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.
SCG TRUST 2013-SRP1: S&P Lowers Class E Certs Rating to B+(sf)
--------------------------------------------------------------
S&P Global Ratings lowered its ratings on three classes of
commercial mortgage pass-through certificates from SCG Trust
2013-SRP1, a U.S. commercial mortgage-backed securities (CMBS)
transaction. In addition, S&P affirmed its ratings on three other
classes from the same transaction.
For the downgrades and affirmations, S&P's expectation of credit
enhancement was generally in line with the lowered or affirmed
rating levels.
S&P said, "While available credit enhancement levels suggested
negative rating movements on classes A-J and B, and further
negative rating movements on classes C and D, our analysis also
considered the $33.5 million principal reserve account (expected to
be up to $45.0 million by its Nov. 9, 2018, maturity) held as
additional collateral until the loan is repaid in full, which is a
condition of the recent loan modification. We have considered the
potential deleveraging of the loan from this principal reserve
account in our analysis."
This is a stand-alone (single borrower) transaction backed by a
floating-rate interest-only (IO) mortgage loan secured by five
regional malls: Franklin Park Mall, 670,075 sq. ft. of a 1.27
million-sq.-ft. super regional mall in Toledo, Ohio; West Covina
Mall, 652,659 sq. ft. of a 1.23 million-sq.-ft. super regional mall
in West Covina, Calif.; Parkway Mall, 948,406 sq. ft. of a 1.32
million-sq.-ft. super regional mall in El Cajon, Calif., Capital
Mall, a 766,637-sq.-ft. regional mall in Olympia, Wash., and Great
Northern Mall, a 606,126 sq. ft. of a 1.24 million-sq.-ft. super
regional mall in North Olmsted, Ohio.
S&P said, "Our property-level analysis included a re-evaluation of
the retail properties that secure the mortgage loan in the trust
and considered the overall decreasing servicer-reported net
operating income (NOI) due to lower revenues and higher operating
expenses, stable occupancies for the past four years (2014 through
year-to-date Sept. 30, 2017), and stable-to-increasing in-line
tenant sales per square foot. We then derived our sustainable
in-place net cash flow, which we divided by a 7.44% S&P Global
Ratings weighted average capitalization rate to determine our
expected-case value." This yielded an overall S&P Global Ratings
loan-to-value ratio and debt service coverage (DSC) of 88.2% and
1.46x (using LIBOR cap and weighted average spread), respectively,
on the trust balance.
According to the March 15, 2018, trustee remittance report, the IO
mortgage loan has a trust and whole loan balance of $760.0 million
and pays an annual floating interest rate of LIBOR plus a 2.60%
weighted average spread. The mortgage loan initially matured on
Nov. 8, 2016, and had two extension options. The borrowers
requested a loan modification last year to waive the required
11.25% debt yield test in connection with the second extension
period. The loan was modified in November 2017. The modification
terms included funding a principal reserve account as additional
collateral for the loan and extending the loan's maturity to Nov.
8, 2018. To date, the trust has not incurred any principal losses.
The master servicer, Wells Fargo Bank N.A., reported an overall DSC
of 2.48x and 3.29x on the trust balance for the nine months ended
Sept. 30, 2017, and year-end 2016, respectively, and overall
occupancy was 97.3% according to the Sept. 30, 2017, rent roll.
Based on the September 2017 rent roll, 18.6%, 8.0%, and 9.2% of the
net rentable area have leases that expire in 2018, 2019, and 2020,
respectively.
CREDIT CONSIDERATIONS
Of the five collateral properties, three have exhibited
year-over-year declines in servicer reported NOI in both 2015 and
2016:
-- Capital Mall (-7.6%, -1.6%), Franklin Park Mall (-6.9%, -0.1%),
and Parkway Mall (-1.4%, -4.8%). Additional details for each
property are as follows:
-- Capital Mall ($117.9 million allocated loan balance, 15.5%)
exhibits declining NOI primarily as a result of increases in real
estate taxes, up 113% in 2016 over 2015. Annualized real estate
taxes for 2017 are in line with the 2016 amount, so S&P expects the
elevated tax amount to continue in the near future.
-- Franklin Park Mall ($203.0 million, 26.7%) exhibits declining
NOI primarily as a result of a decline in expense reimbursements,
which were down 8.9% and 11.6%, respectively, in 2015 and 2016.
-- Parkway Mall ($153.7 million, 20.2%) also exhibits declining
NOI primarily as a result of a decline in expense reimbursements,
which were down 17.6% and 12.5%, respectively, in 2015 and 2016.
RATINGS LIST
SCG Trust 2013-SRP1
Commercial Mortgage Pass-Through Certificates Series 2013-SRP1
Rating
Class Identifier To From
A 78408XAA9 AAA (sf) AAA (sf)
A-J 78408XAD3 AAA (sf) AAA (sf)
B 78408XAE1 AA- (sf) AA- (sf)
C 78408XAF8 BBB+ (sf) A- (sf)
D 78408XAG6 BB+ (sf) BBB- (sf)
E 78408XAH4 B+ (sf) BB- (sf)
SKOPOS AUTO 2018-1: DBRS Finalizes BB Rating on Class D Notes
-------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes issued by Skopos Auto Receivables Trust 2018-1 (SKOP 2018-1
or the Issuer):
-- $76,950,000 Class A Notes rated AA (sf)
-- $21,075,000 Class B Notes rated A (sf)
-- $27,090,000 Class C Notes rated BBB (sf)
-- $21,870,000 Class D Notes rated BB (sf)
The ratings are based on a review by DBRS of the following
analytical considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- Credit enhancement is in the form of overcollateralization
(OC), subordination, amounts held in the reserve fund and
excess spread. Credit enhancement levels are sufficient to
support the DBRS-projected expected cumulative net loss
assumption under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under
which they have invested. For the transaction, the rating
addresses the payment of timely interest on a monthly basis
and the payment of principal by the final scheduled
distribution date.
-- The capabilities of Skopos Financial, LLC (Skopos) with regard
to originations, underwriting and servicing.
-- DBRS has performed an operational review of Skopos and
considers the entity to be an acceptable originator of
subprime automobile loan contracts and an acceptable servicer
of subprime automobile loan contracts with an acceptable
backup servicer.
-- DBRS has performed an operational review of Systems & Services
Technologies, Inc. and considers the entity to be an
acceptable backup servicer of subprime automobile loan
contracts.
-- Skopos outsources certain operational functions to CSC Logic,
Inc. (CSC). DBRS has performed an operational review of CSC
and considers the entity to be an acceptable provider of
servicing-related processes for subprime automobile loan
contracts.
-- The Skopos senior management team has considerable experience
and a successful track record within the subprime auto
finance industry.
-- The credit quality of the collateral and the performance of
Skopos's auto loan portfolio.
-- Availability of sufficient historical performance data on the
Skopos portfolio.
-- The statistical pool characteristics: (1) The pool is seasoned
by approximately 11 months and contains Skopos originations
from Q4 2012 through Q1 2018. (2) The weighted-average (WA)
remaining term of the collateral pool is approximately 60
months. (3) The WA FICO score of the pool is 549.
-- The legal structure and presence of legal opinions that
address the true sale of the assets to the Issuer, the non-
consolidation of the special-purpose vehicle with Skopos,
that the trust has a valid first-priority security interest
in the assets and the consistency with DBRS's "Legal Criteria
for U.S. Structured Finance. "
The SKOP 2018-1 transaction represents the third securitization
completed by Skopos and offers both senior and subordinate rated
securities. The receivables securitized in SKOP 2018-1 are subprime
automobile loan contracts secured by new and used automobiles,
light-duty trucks, minivans and sport-utility vehicles.
The rating on the Class A Notes reflects the 58.55% of initial hard
credit enhancement provided by the subordinated notes in the pool
(39.55%), the Reserve Account (2.00%) and OC (17.00%). The ratings
on the Class B, Class C and Class D Notes reflect 46.65%, 31.35%
and 19.00% of initial hard credit enhancement, respectively.
Additional credit support may be provided from excess spread
available in the structure.
SLC STUDENT 2008-2: Fitch Lowers Rating on Class A-3 Notes to B-sf
------------------------------------------------------------------
Fitch Ratings has taken the following rating actions on SLC Student
Loan Trust 2008-2:
-- Class A-3 notes downgraded to 'B-sf' from 'Asf'; placed on
Rating Watch Negative (previously Stable Outlook);
-- Class A-4 notes affirmed at 'B-sf'; Outlook Stable;
-- Class B notes at 'B-sf'; placed on Rating Watch Negative
(previously Stable Outlook).
The downgrade of the class A-3 notes is reflective of slower
principal paydown on the notes than what Fitch expected last year.
The issuer attributed the slowdown in principal collection to an
increased number of loans placed into disaster forbearance during
the September 2017 to November 2017 timeframe. The 'B-sf' rating
takes into consideration the potential payment in full of the A-3
note at its maturity date of Sept. 15, 2018 should recent principal
paydown rates continue, along with the ability to use the reserve
account to pay A-3 principal at the maturity date.
The placement of both the A-3 and B notes on Rating Watch Negative
indicates that under any stressed scenario the A-3 notes are likely
to default, thereby cutting off interest payments to the class B
notes.
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'/Stable.
Collateral Performance: Fitch assumes a base case default rate of
23.8% and a 71.3% default rate under the 'AAA' credit stress
scenario. The base case default assumption of 23.8% implies a
constant default rate of 4.3% (assuming a weighted average life of
5.2 years) and a sustainable constant prepayment rate (voluntary
and involuntary) of 10.0%. 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 TTM levels of deferment, forbearance, income-based
repayment (prior to adjustment) are approximately 9.3%, 17.1% and
19.2%, 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 approximately
0.14%, based on information provided by the sub-servicer.
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 March 2018, 82.2% of
the trust student loans are indexed to one-month LIBOR and 17.8% of
are indexed to T-bill. All of the notes are indexed to three-month
LIBOR. Fitch applies its standard basis interest rate stresses to
this transaction as per criteria.
Payment Structure: Credit enhancement (CE) is provided by excess
spread, a reserve account and, for the class A notes,
subordination. As of March 2018, total and senior effective parity
ratios (including the reserve) are 101.5% (1.50% CE) and 119.9%
(16.60% CE). Liquidity support is provided by a reserve sized at
0.25% of the pool balance with a floor of $3,072,877. The trust
will release cash as long as the target total parity of 100.75% is
maintained.
Maturity Risk: Fitch's student loan ABS (SLABS) cash flow model
indicates that the notes fail to be paid in full on or prior to the
legal final maturity dates under the commensurate rating scenario.
Operational Capabilities: SLC Trusts are the securitizations of The
Student Loan Corporation, now a subsidiary of Discover Bank.
Navient purchased the SLC Trust certificates and assumed servicing
responsibilities in December 2010. Discover Bank serves as master
servicer, while day-to-day servicing is provided by Navient
Solutions, LLC. (formerly known as Sallie Mae, Inc.). Fitch
believes Navient to be an acceptable servicer, due to its extensive
track record as the largest servicer of FFELP loans.
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.
SLM STUDENT 2003-10: Moody's Puts Ba3 Rating on B Debt on Review
----------------------------------------------------------------
Moody's Investors Service has placed on review for possible
downgrade three classes of notes from two SLM Student Loan Trust
transactions. The underlying collateral consists of loans
originated under the Federal Family Education Loan Program (FFELP),
which are guaranteed by the US government for a minimum of 97% of
defaulted principal and accrued interest. Navient Solutions, LLC.,
is the sponsor, administrator and servicer of the transactions.
The complete rating actions are:
Issuer: SLM Student Loan Trust 2003-10
Cl. B, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Nov 18, 2016 Downgraded to Ba3 (sf)
Issuer: SLM Student Loan Trust 2004-2
Cl. A-6, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 11, 2018 Downgraded to Aa3 (sf)
Cl. B, A3 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 11, 2018 Confirmed at A3 (sf)
RATINGS RATIONALE
The rating actions are prompted by Moody's identification of a
potential error in the analysis used in prior rating actions.
Previous analyses had used the Aa2 rating of CDC Ixis's guaranteed
senior unsecured debt when assessing the currency swap counterparty
of the transactions. CDC Ixis Capital Markets was the original swap
counterparty for these transactions. Servicer reports for the
transactions, including the most recent reports, indicate that CDC
Ixis Capital Markets has remained as the swap counterparty for the
transactions. However, through a series of mergers and acquisitions
starting in 2004, CDC Ixis and its successors are now known as
Natixis, A1(cr), and the servicer has confirmed that Natixis is the
current swap counterparty for the transactions.
Moody's has been advised by Navient that there may be guarantees
associated with the swaps or the swap counterparty that would
decrease the probability of default by the counterparty, and
therefore decrease the risk of the transactions becoming unhedged.
During the review period, Moody's will investigate this issue and
consider any relevant information provided by Navient.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings "Moody's Approach
to Rating Securities Backed by FFELP Student Loans" published in
August 2016.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the ratings if the paydown speed of the loan
pool increases as a result of declining borrower usage of
deferment, forbearance and IBR, increasing voluntary prepayment
rates, or prepayments with proceeds from sponsor repurchases of
student loan collateral. Moody's could also upgrade the rating
owing to a build-up in credit enhancement and upgrades of ratings
or CR Assessments on the swap counterparties. In addition, Moody's
could upgrade the ratings if CFTC extends the scope of its no
action relief to swaps executed in response to counterparty
default, or Moody's receives new information showing that new swaps
executed by Navient's SPVs will not be subject to initial margin
requirements.
Down
Moody's could downgrade the ratings if Moody's could not obtain the
proof of guarantee on the affected swaps or the swap counterparty.
Moody's could also downgrade the ratings if the paydown speed of
the loan pool declines as a result of low voluntary prepayments,
and high deferment, forbearance and IBR rates, which would threaten
full repayment of the classes by their final maturity dates. In
addition, because the US Department of Education guarantees at
least 97% of principal and accrued interest on defaulted loans,
Moody's could downgrade the ratings of the notes if it were to
downgrade the rating on the United States government. Moody's could
also downgrade the rating owing to downgrades of ratings or CR
Assessments on the swap counterparties.
STEELE CREEK 2014-1R: Moody's Assigns Ba3 Rating to Class E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Steele Creek CLO 2014-1R, Ltd. (the "Issuer" or
"Steele Creek 2014-1R").
Moody's rating action is as follows:
US$2,400,000 Class X Senior Secured Floating Rate Notes due 2031
(the "Class X Notes"), Assigned Aaa (sf)
US$266,700,000 Class A Senior Secured Floating Rate Notes due 2031
(the "Class A Notes"), Assigned Aaa (sf)
US$50,400,000 Class B Senior Secured Floating Rate Notes due 2031
(the "Class B Notes"), Assigned Aa2 (sf)
US$24,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C Notes"), Assigned A2 (sf)
US$26,400,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class D Notes"), Assigned Baa3 (sf)
US$18,900,000 Class E Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class E Notes"), Assigned Ba3 (sf)
The Class X Notes, the Class A Notes, the Class B Notes, the Class
C Notes, the Class D Notes and the Class E Notes are referred to
herein, together, 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.
Steele Creek 2014-1R is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 92.5% of the portfolio must
consist of first lien senior secured loans, cash, and eligible
investments, and up to 7.5% of the portfolio may consist of second
lien loans and unsecured loans. Moody's expect the portfolio to be
approximately 90% ramped as of the closing date.
Steele Creek Investment Management LLC (the "Manager") will direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer issued 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: $420,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2835
Weighted Average Spread (WAS): 3.5%
Weighted Average Coupon (WAC): 7.0%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 8 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
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 2835 to 3260)
Rating Impact in Rating Notches
Class X Notes: 0
Class A Notes: 0
Class B Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2835 to 3686)
Rating Impact in Rating Notches
Class X Notes: 0
Class A Notes: -1
Class B Notes: -3
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
VOYA CLO 2013-2: S&P Assigns B-(sf) Rating on Class E-R Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, A-2a-R,
A-2b-R, B-R, C-R, D-R, and E-R replacement notes from Voya CLO
2013-2 Ltd., a collateralized loan obligation (CLO) originally
issued on April 25, 2013, that is managed by Voya Alternative Asset
Management LLC. S&P withdrew its ratings on the original class A-1,
A-2a, A-2b, B, C, D, and E notes following payment in full on the
March 29, 2018, refinancing date.
On the March 29, 2018, refinancing date, the proceeds from the
issuance of the replacement notes were used to redeem the original
class A-1, A-2a, A-2b, B, C, D, and E notes as outlined in the
transaction document provisions. Therefore, S&P withdrew its
ratings on the original notes in line with their full redemption,
and S&P is assigning ratings to the replacement notes.
The replacement notes are being issued via a supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, will also:
-- Change the rated par and aggregate ramp-up par amounts to
$420.25 million and $447.00 million from $427.45 million and
$450.00 million, respectively. The transaction will have an
additional ramp-up period and subsequent effective date, expected
to be July 12, 2018. The first payment date following the March 29,
2018, refinancing date is expected to be July 25, 2018.
-- Extend the reinvestment period to April 25, 2023, from April
25, 2017.
-- Extend the non-call period to April 25, 2020, from April 25,
2015.
-- Extend the weighted average life test to nine years from the
refinancing date from April 25, 2021.
-- Extend the legal final maturity date on the rated and
subordinated notes (and preferred shares) to April 25, 2031, from
April 25, 2025.
-- Adopt the use of the non-model version of CDO Monitor for this
transaction. During the reinvestment period, the non-model version
of CDO Monitor may be used to indicate whether changes to the
collateral portfolio are generally consistent with the transaction
parameters S&P assumed when initially assigning ratings to the
notes.
-- Change the required minimum thresholds for the coverage tests.
-- Incorporate the recovery rate methodology and updated industry
classifications outlined in our August 2016 CLO criteria update.
REPLACEMENT AND ORIGINAL NOTE ISSUANCES
Replacement Notes
Class Amount Interest
(mil. $) rate (%)
A-1-R 286.25 Three-month LIBOR + 0.97
A-2a-R 27.75 Three-month LIBOR + 1.40
A-2b-R 27.75 Three-month LIBOR + 1.40
B-R 27.00 Three-month LIBOR + 1.85
C-R 24.50 Three-month LIBOR + 2.75
D-R 18.00 Three-month LIBOR + 5.60
E-R 9.00 Three-month LIBOR + 7.85
Subordinated notes 34.90 N/A
Preferred shares 21.10 N/A
Original Notes
Class Amount Interest
(mil. $) rate (%)
A-1 297.00 Three-month LIBOR + 1.15
A-2a 25.00 Three-month LIBOR + 1.70
A-2b 20.00 3.07
B 34.85 Three-month LIBOR + 2.68
C 21.40 Three-month LIBOR + 3.50
D 19.10 Three-month LIBOR + 5.00
E 10.10 Three-month LIBOR + 5.50
Subordinated notes 21.70 N/A
Preferred shares 21.10 N/A
N/A--Not applicable.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"The assigned ratings reflect our opinion that the credit support
available is commensurate with the associated rating levels.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take rating actions as we
deem necessary."
RATINGS ASSIGNED
Voya CLO 2013-2 Ltd.
Replacement class Rating Amount (mil. $)
A-1-R AAA (sf) 286.25
A-2a-R AA (sf) 27.75
A-2b-R AA (sf) 27.75
B-R A (sf) 27.00
C-R BBB- (sf) 24.50
D-R BB- (sf) 18.00
E-R B- (sf) 9.00
Subordinated notes NR 34.90
Preferred shares NR 21.10
RATINGS WITHDRAWN
Voya CLO 2013-2 Ltd.
Rating
Original class To From
A-1 NR AAA (sf)
A-2a NR AA+ (sf)
A-2b NR AA+ (sf)
B NR A+ (sf)
C NR BBB (sf)
D NR BB (sf)
E NR B (sf)
NR--Not rated.
WACHOVIA BANK 2006-C29: S&P Raises Rating on Class B Certs to BB
----------------------------------------------------------------
S&P Global Ratings raised its rating on the class B commercial
mortgage pass-through certificates from Wachovia Bank Commercial
Mortgage Trust's series 2006-C29, a U.S. commercial mortgage-backed
securities (CMBS) transaction to 'BB (sf)' from 'B- (sf)'.
The upgrade reflects that S&P's expectation of credit enhancement
was in line with the raised rating level, as well as the trust
balance's significant reduction.
While available credit enhancement levels suggest further positive
rating movement on class B, S&P's analysis also considered the
susceptibility to reduced liquidity support from the eight
specially serviced assets ($78.7 million, 65.1% of the asset
balance) and the uncertainty surrounding the borrower's ability and
timing to refinance the two largest performing loans, the Barry
Woods Crossings Shopping Center loan ($27.9 million, 23.1%) and the
100 Carillon Parkway loan ($10.1 million, 8.4%), both of which are
past their anticipated repayment dates in 2016.
TRANSACTION SUMMARY
As of the March 16, 2018, trustee remittance report, the pool trust
balance was $125.0 million, which is 3.7% of the pool trust balance
at issuance. However, the collateral pool balance was $120.8
million for the same reporting period. The trust currently includes
five loans and six real estate-owned (REO) assets, down from 142
loans at issuance. Eight of these assets are with the special
servicer and one loan ($4.1 million, 3.4% of the asset balance) is
defeased.
For the two aforementioned performing loans, S&P calculated a 1.48x
S&P Global Ratings weighted average debt service coverage (DSC) and
88.4% S&P Global Ratings weighted average loan-to-value ratio using
a 7.88% S&P Global Ratings weighted average capitalization rate.
To date, the transaction has experienced $237.5 million in
principal losses, or 7.0% of the original pool trust balance. S&P
expects losses to reach approximately 7.7% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses it expects upon the eventual resolution of
the eight specially serviced assets.
CREDIT CONSIDERATIONS
As of the March 16, 2018, trustee remittance report, eight assets
in the pool were with the special servicer, LNR Partners LLC (LNR).
Details of the two largest specially serviced assets are as
follows:
-- The Boulder Crossing Shopping Center REO asset ($21.0 million,
17.4%) is the second-largest nondefeased asset in the pool and has
a total reported exposure of $22.2 million. The asset is a
107,705-sq.-ft. retail property in Las Vegas. The loan was
transferred to the special servicer on Nov. 21, 2016, because of
maturity default (it matured on Nov. 11, 2016). The property became
REO on Oct. 5, 2017. The property has a reported 80.0% occupancy as
of Jan. 31, 2017. A $5.0 million appraisal reduction amount is in
effect against the asset. S&P expects a minimal loss upon its
eventual resolution.
-- The Chestnut Run REO asset ($16.6 million, 13.7%) is the
third-largest nondefeased asset in the pool and has a total
reported exposure of $18.6 million. The asset is a 98,500-sq.-ft.
suburban office building in Wilmington, Del. The loan was
transferred to the special servicer on June 17, 2013 for imminent
default due to cash flow issues. The asset became REO on March 27,
2017. LNR indicated that it is working on leasing up the vacant
space. The master servicer deemed the asset nonrecoverable. S&P
expects a moderate loss upon its eventual resolution.
The six remaining assets with the special servicer each have
individual balances that represent less than 8.5% of the total pool
trust balance. S&P estimated losses for the eight specially
serviced assets, arriving at a weighted average loss severity of
29.0%.
For the specially serviced assets noted above, a minimal loss is
less than 25%, a moderate loss is 26%-59%, and a significant loss
is 60% or greater.
RATINGS LIST
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2006-C29
Rating
Class Identifier To From
B 92978PAK5 BB (sf) B- (sf)
WELLS FARGO 2015-LC20: DBRS Confirms BB(low) Rating on Cl. E Certs
------------------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2015-LC20 issued by Wells Fargo
Commercial Mortgage Trust 2015-LC20 as follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class X-B at A (sf)
-- Class C at A (low) (sf)
-- Class PEX at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class X-E at BB (sf)
-- Class E at BB (low) (sf)
-- Class X-F at B (sf)
-- Class F at B (low) (sf)
All trends are Stable.
The rating confirmations reflect the overall performance of the
transaction, which has remained stable since issuance. The
collateral consists of 68 fixed-rate loans secured by 122
commercial properties and as of the February 2018 remittance there
has been a collateral reduction of 1.8% since issuance. Loans
representing 26.7% of the current pool balance are reporting YE2017
figures while 73.3% are reporting YE2016 figures. According to the
YE2016 financials, the pool reported a weighted-average (WA) debt
service coverage ratio (DSCR) and WA debt yield of 1.72 times (x)
and 9.6%, respectively. The WA DBRS Term DSCR and WA DBRS Debt
Yield at issuance were 1.45x and 8.1%, respectively. The largest 15
loans in the pool represent 56.3% of the current pool balance and
reported a WA YE2016 DSCR of 1.66x, representing a WA net cash flow
(NCF) growth of 14.6% over the DBRS issuance NCF figures.
As of the February 2018 remittance, there are three loans on the
servicer's watch list, representing 3.7% of the current pool
balance. The largest of these loans, Prospectus ID#17 – River
stone Apartments, which represents 1.8% of the current pool
balance, was flagged for deferred maintenance. The other two loans
are being monitored for occupancy-related cash flow declines or
upcoming rollover; DBRS assumed a stressed scenario for both loans
to increase the probability of default in the analysis for this
review. For additional information, please see the DBRS Loan
Commentary for this loan in the DBRS Viewpoint platform.
Classes X-A, X-B, X-E and X-F are interest-only (IO) certificates
that reference a single rated tranche or multiple rated tranches.
The IO rating mirrors the lowest-rated reference tranche adjusted
upward by one notch if senior in the waterfall.
WELLS FARGO 2016-C33: DBRS Confirms B Rating on Class X-F Certs
---------------------------------------------------------------
DBRS Limited confirmed all classes of Commercial Mortgage
Pass-Through Certificates, Series 2016-C33 issued by Wells Fargo
Commercial Mortgage Trust 2016-C33 as follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class X-B at A (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class X-D at BBB (low) (sf)
-- Class X-E at BB (sf)
-- Class E at BB (low) (sf)
-- Class X-F at B (sf)
-- Class F at B (low) (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the pool's underlying collateral since issuance. The collateral
consists of 79 fixed-rate loans secured by 112 multifamily
properties. As of the March 2018 remittance, there has been
collateral reduction of 1.4% since issuance as a result of
scheduled loan amortization, with an aggregate outstanding
principal balance of $702.3 million. Fourteen of the top 15 loans
(which collectively represent 53.3% of the pool) reported YE2016
cash flows with a weighted-average (WA) debt service coverage ratio
(DSCR) of 1.80 times (x), up from the WA DBRS Term DSCR at issuance
of 1.60x, representing WA net cash flow growth of 17.2% for those
loans. All of the loans that reported YE2016 cash flows are
reporting a partial-year or a YE2017 cash flow figure, with overall
trends showing performance is either stable or improved. The only
loan not reporting cash flows in the top 15 is Prospectus ID#11 –
Desert Star Apartments (2.1% of the pool), which is being monitored
on the servicer's watch list for a lack of financial reporting.
Eight additional loans are on the servicer's watch list for a total
of nine watch listed loans that cumulatively represent 8.0% of the
pool balance. Only two of the watch listed loans, representing 2.2%
of the pool balance, are being monitored for cash flow declines,
with the other six loans being monitored for failure to submit
financials or deferred maintenance.
Classes X-A, X-B, X-D, X-E, X-F and X-G are interest-only (IO)
certificates that reference a single rated tranche or multiple
rated tranches. The IO rating mirrors the lowest-rated reference
tranche adjusted upward by one notch if senior in the waterfall.
WELLS FARGO 2017-RC1: DBRS Confirms B(low) Ratings on 2 Tranches
----------------------------------------------------------------
DBRS Limited confirmed all classes of the Commercial Mortgage
Pass-Through Certificates, Series 2017-RC1 issued by Wells Fargo
Commercial Mortgage Trust 2017-RC1 as follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class X-B at A (high) (sf)
-- Class C at A (sf)
-- Class X-D at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class X-E at BB (low) (sf)
-- Class F at B (low) (sf)
-- Class X-F at B (low) (sf)
All trends are Stable.
The rating confirmations reflect the overall performance of the
transaction, which has remained in line with DBRS expectations
since issuance. The collateral consists of 61 fixed-rate loans
secured by 78 commercial and multifamily properties. As at the
February 2018 remittance, there has been a collateral reduction of
0.4% as a result of scheduled loan amortization. Eleven loans,
representing 33.8% of the pool balance, are structured with
full-term interest-only (IO) payments. An additional 15 loans,
representing 34.1% of the pool, have partial IO payments remaining,
with seven of those loans (15.5% of the pool) scheduled to begin
amortizing in the next year. Loans representing 79.0% of the
current pool balance reported Q3 2017 financials and reported a
weighted-average (WA) debt service coverage ratio (DSCR) and debt
yield of 1.89 times (x) and 11.0%, respectively. All but one of the
largest 15 loans reported partial-year 2017 financials, with a WA
DSCR and WA debt yield of 1.83x and 10.1%, respectively,
representing a WA cash flow improvement of 5.8% over the DBRS net
cash flow figures derived at issuance.
As at the February 2018 remittance, there were three loans on the
servicer's watch list, collectively representing 4.2% of the pool,
and no loans in special servicing. Two of the loans on the watch
list are being monitored due to incomplete financial reporting.
Both of those loans are secured by co-operative housing properties
that are low-leveraged with minimal term and refinance default
risk. The largest loan on the watch list, Prospectus ID #10 – The
Strand on Ocean Drive (3.2% of the current pool balance), was added
to the watch list in August 2017 for a low DSCR caused by temporary
free-rent periods that recently expired. A holdback was structured
at issuance and will be held until the tenants are operational and
paying rent. For additional information on this loan, please see
the loan commentary on the DBRS Viewpoint platform, for which
information is provided below.
Classes X-A, X-B, X-D, X-E and X-F are IO certificates that
reference a single rated tranche or multiple rated tranches. The IO
rating mirrors the lowest-rated reference tranche adjusted upward
by one notch if senior in the waterfall.
WELLS FARGO 2018-C43: Fitch Assigns 'B-sf' Rating to Cl. F Certs
----------------------------------------------------------------
Fitch Ratings has assigned the following final ratings and Rating
Outlooks to Wells Fargo Commercial Mortgage Trust 2018-C43
commercial mortgage pass-through certificates:
-- $22,182,000 class A-1 'AAAsf'; Outlook Stable;
-- $7,539,000 class A-2 'AAAsf'; Outlook Stable;
-- $40,193,000 class A-SB 'AAAsf'; Outlook Stable;
-- $86,500,000 class A-3 'AAAsf'; Outlook Stable;
-- $337,416,000 class A-4 'AAAsf'; Outlook Stable;
-- $493,830,000a class X-A 'AAAsf'; Outlook Stable;
-- $135,803,000a class X-B 'A-sf'; Outlook Stable;
-- $73,192,000 class A-S 'AAAsf'; Outlook Stable;
-- $32,628,000 class B 'AA-sf'; Outlook Stable;
-- $29,983,000 class C 'A-sf'; Outlook Stable;
-- $26,455,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $26,455,000b class D 'BBB-sf'; Outlook Stable;
-- $18,519,000b class E 'BB-sf'; Outlook Stable;
-- $8,818,000b class F 'B-sf'; Outlook Stable.
The following classes are not rated:
-- $22,046,433b class G;
-- $16,977,551.15bc VRR Interest.
(a) Notional amount and interest-only.
(b) Privately placed and pursuant to Rule 144A.
(c) Vertical credit risk retention interest representing no less
than 5% of the estimated fair value of all classes of regular
certificates issued by the issuing entity as of the closing date.
Since Fitch published its expected ratings on March 5, 2018 the
following changes have occurred: the issuer decreased the class A-3
balance to $86,500,000 and increased the class A-4 balance to
$337,416,000.
The final ratings are based on information provided by the issuer
as of March 27, 2018.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 63 loans secured by 132
commercial properties having an aggregate principal balance of
$722,448,985 as of the cut-off date. The loans were contributed to
the trust by Barclays Bank PLC, Wells Fargo Bank, National
Association, BSPRT Finance, LLC, C-III Commercial Mortgage LLC, and
Rialto Mortgage Finance, LLC.
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 85.3%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Investment-Grade Credit Opinion Loans: Two loans, representing
11.6% of the transaction, are credit assessed. The largest loan,
Moffett Towers II-Building 2 (7.5% of the pool) has a standalone
credit opinion of 'BBB-sf*', with a Fitch DSCR and Fitch LTV of
1.26x and 70.4%, respectively. The seventh largest loan, Apple
Campus 3 (4.2% of the pool) has a standalone credit opinion of
'BBB-sf*', with a Fitch DSCR and Fitch LTV of 1.25x and 71.4%,
respectively.
Higher Fitch Leverage: The transaction has lower Fitch coverage
relative to other recent Fitch-rated multiborrower transactions.
The pool's Fitch DSCR of 1.19x is below the 2017 and 2016 averages
of 1.26x and 1.21x, respectively. The pool's Fitch LTV of 100.9% is
in line with the 2017 average of 101.6% and below the 2016 average
of 105.2%. Excluding credit opinion loans, the pool's normalized
Fitch DSCR and LTV are 1.19x and 104.9%.
High Single-Tenant Exposure: Thirteen loans, representing 34.0% of
the pool, are designated full or partial single-tenant properties
by Fitch, including seven of the top 10 loans. The pools' single
tenant concentration is above the 2017 and 2016 averages of 19.3%
and 15.7%, respectively.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 12.8% 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 WFCM
2018-C43 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'BBB+sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'
could result.
WESTLAKE AUTOMOBILE: DBRS Reviews 33 Ratings From 8 ABS Deals
-------------------------------------------------------------
DBRS, Inc. reviewed 33 ratings from eight U.S. structured finance
asset-backed securities transactions issued by Westlake Automobile
Receivables Trust (the Issuer). Of the 33 outstanding publicly
rated classes reviewed, DBRS confirmed 13 classes, upgraded 16
classes and discontinued four classes due to repayment. For the
ratings that were confirmed, performance trends are such that
credit enhancement levels are sufficient to cover DBRS's expected
losses at their current respective rating levels. For the ratings
that were upgraded, performance trends are such that credit
enhancement levels are sufficient to cover DBRS's expected losses
at their new respective rating levels.
The Issuer's ratings are based on DBRS's review of the following
analytical considerations:
-- Transaction capital structure, proposed ratings as well as
form and sufficiency of available credit enhancement.
-- The transaction parties' capabilities with regard to
origination, underwriting and servicing.
-- Credit quality of the collateral pool and historical
performance.
These entities had certain of their debts rated:
Westlake Funding V, LLC
Westlake Automobile Receivables Trust 2015-2
Westlake Automobile Receivables Trust 2015-3
Westlake Automobile Receivables Trust 2016-1
Westlake Automobile Receivables Trust 2016-2
Westlake Automobile Receivables Trust 2017-1
Westlake Automobile Receivables Trust 2017-2
WPS V, LLC
A list of the Affected Ratings is available at:
https://bit.ly/2uhU3Hb
WOODMONT TRUST 2018-4: S&P Gives Prelim BB Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Woodmont
2018-4 Trust's $489.50 million floating-rate notes.
The note issuance is a collateralized loan obligation transaction
primarily backed by middle-market speculative grade senior secured
term loans.
The preliminary ratings are based on information as of March 23,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The diversified collateral pool, which consists primarily of
middle market speculative-grade senior secured term loans that are
governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
Woodmont 2018-4 Trust
Class Rating Amount (mil. $)
A-1 AAA (sf) 316.25
A-2 AAA (sf) 16.50
B AA (sf) 46.75
C (deferrable) A (sf) 41.25
D (deferrable) BBB- (sf) 35.75
E (deferrable) BB (sf) 33.00
Certificates NR 64.90
NR--Not rated.
[*] DBRS Reviews 865 Classes From 73 US RMBS Transactions
---------------------------------------------------------
DBRS, Inc. reviewed 865 classes from 73 U.S. residential
mortgage-backed security (RMBS) transactions. Of the 865 classes
reviewed, DBRS, on March 23, 2018, upgraded 44 ratings and
confirmed 821 ratings.
The rating upgrades reflect positive performance trends and
increases in credit support sufficient to withstand stresses at
their new rating levels. For transactions where the ratings have
been confirmed, current asset performance and credit-support levels
are consistent with the current ratings.
The rating actions are a result of DBRS's application of "RMBS
Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and
Rating Methodology," published on April 4, 2017.
The transactions consist of U.S. RMBS transactions. The pools
backing these transactions consist of prime, Alt-A, Option-ARM,
prime, re-performing, second-lien and subprime collateral.
The ratings assigned to the following securities differ from the
ratings implied by the quantitative model. DBRS considers this
difference to be a material deviation, but in this case the ratings
of the subject notes reflect a dependency on another tranche's
ratings, as well as structural features and/or historical
performance that constrain the quantitative model output.
-- Credit Suisse First Boston Mortgage Securities Corp.
Adjustable Rate Mortgage Trust 2005-7, Adjustable Rate
Mortgage-Backed Pass-Through Certificates, Series 2005-7,
Class 2-A-X
-- Credit Suisse First Boston Mortgage Securities Corp.
Adjustable Rate Mortgage Trust 2005-7, Adjustable Rate
Mortgage-Backed Pass-Through Certificates, Series 2005-7,
Class 7-A-1-1
-- Credit Suisse First Boston Mortgage Securities Corp.
Adjustable Rate Mortgage Trust 2005-7, Adjustable Rate
Mortgage-Backed Pass-Through Certificates, Series 2005-7,
Class 7-A-1-2
-- Credit Suisse First Boston Mortgage Securities Corp.
Adjustable Rate Mortgage Trust 2005-7, Adjustable Rate
Mortgage-Backed Pass-Through Certificates, Series 2005-7,
Class 7-A-2-1
-- Credit Suisse First Boston Mortgage Securities Corp.
Adjustable Rate Mortgage Trust 2005-7, Adjustable Rate
Mortgage-Backed Pass-Through Certificates, Series 2005-7,
Class 7-A-2-2
-- Credit Suisse First Boston Mortgage Securities Corp.
Adjustable Rate Mortgage Trust 2005-9, Fixed Rate Mortgage-
Backed Pass-Through Certificates, Series 2005-9, Class 1-A-X
-- Credit Suisse First Boston Mortgage Securities Corp.
Adjustable Rate Mortgage Trust 2005-9, Fixed Rate Mortgage-
Backed Pass-Through Certificates, Series 2005-9, Class 3-A-X
-- Credit Suisse First Boston Mortgage Securities Corp.
Adjustable Rate Mortgage Trust 2005-10, Adjustable Rate
Mortgage-Backed Pass-Through Certificates, Series 2005-10,
Class 6-X
-- Citigroup Mortgage Loan Trust 2006-NC1, Asset-Backed Pass-
Through Certificates, Series 2006-NC1, Class A-2C
-- Citigroup Mortgage Loan Trust 2006-NC2, Asset-Backed Pass-
Through Certificates, Series 2006-NC2, Class A-1
-- Citigroup Mortgage Loan Trust 2006-WFHE2, Asset-Backed Pass-
Through Certificates, Series 2006-WFHE2, Class A-3
-- Citigroup Mortgage Loan Trust 2006-WFHE2, Asset-Backed Pass-
Through Certificates, Series 2006-WFHE2, Class M-1
-- Citigroup Mortgage Loan Trust 2006-WFHE4, Asset-Backed Pass-
Through Certificates, Series 2006-WFHE4, Class M-1
-- Citigroup Mortgage Loan Trust Inc., Series 2007-SHL1, Asset-
Backed Pass-Through Certificates, Series 2007-SHL1, Class A
-- Citigroup Mortgage Loan Trust 2007-WFHE1, Asset-Backed Pass-
Through Certificates, Series 2007-WFHE1, Class M-1
-- DSLA Mortgage Loan Trust 2005-AR5, Mortgage Pass-Through
Certificates, Series 2005-AR5, Class X-2
-- DSLA Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through
Certificates, Series 2005 AR6, Class 2A-1A
-- First Franklin Mortgage Loan Trust, Series 2005-FF1, Mortgage
Pass-Through Certificates, Series 2005-FF1, Class M-1
-- First Franklin Mortgage Loan Trust 2005-FF9, Mortgage Pass-
Through Certificates, Series 2005-FF9, Class A1
-- First Franklin Mortgage Loan Trust 2005-FF9, Mortgage Pass-
Through Certificates, Series 2005-FF9, Class A4
-- First Franklin Mortgage Loan Trust 2006-FF2, Mortgage Pass-
Through Certificates, Series 2006-FF2, Class A4
-- First Franklin Mortgage Loan Trust 2006-FF8, Asset-Backed
Certificates, Series 2006-FF8, Class I-A1
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through
Certificates, Series 2005-AR6, Class 1A1
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through
Certificates, Series 2005-AR6, Class 1A4
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through
Certificates, Series 2005-AR6, Class 1A2
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through
Certificates, Series 2005-AR6, Class 2A1
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through
Certificates, Series 2005-AR6, Class 2A2
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through
Certificates, Series 2005-AR6, Class 3A1
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through
Certificates, Series 2005-AR6, 3A2
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through
Certificates, Series 2005-AR6, Class 4A1
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through
Certificates, Series 2005-AR6, Class 4A2
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through
Certificates, Series 2005-AR6, Class 4A5
-- HarborView Mortgage Loan Trust 2005-13, Mortgage Loan Pass-
Through Certificates, Series 2005-13, Class X
-- J.P. Morgan Mortgage Trust 2005-A4, Mortgage Pass-Through
Certificates, Series 2005-A4, Class 1-A-1
-- J.P. Morgan Mortgage Trust 2005-A5, Mortgage Pass-Through
Certificates, Series 2005-A5, Class 3-A-4
-- J.P. Morgan Mortgage Trust 2005-A5, Mortgage Pass-Through
Certificates, Series 2005-A5, Class T-B-1
-- J.P. Morgan Mortgage Trust 2006-S1, Mortgage Pass-Through
Certificates, Series 2006-S1, Class A-X
-- MASTR Adjustable Rate Mortgages Trust 2005-2, Mortgage Pass-
Through Certificates, Series 2005-2, Class 1-A-1
-- MASTR Adjustable Rate Mortgages Trust 2005-2, Mortgage Pass-
Through Certificates, Series 2005-2, Class 7-A-X
-- New Century Home Equity Loan Trust, Series 2005-B, Asset-
Backed Pass-Through Certificates, Series 2005-B, Class A-1
-- New Century Home Equity Loan Trust, Series 2005-B, Asset-
Backed Pass-Through Certificates, Series 2005-B, Class A-2d
-- New Century Home Equity Loan Trust, Series 2005-B, Asset-
Backed Pass-Through Certificates, Series 2005-B, Class M-1
-- RALI Series 2006-QS2 Trust, Mortgage Asset-Backed Pass-Through
Certificates, Series 2006-QS2, Class II-A-V
-- Bayview Opportunity Master Fund IVa Trust 2017-SPL1, Asset-
Backed Notes, Series 2017-SPL1, Class B2
-- Bayview Opportunity Master Fund IVa Trust 2017-SPL1, Asset-
Backed Notes, Series 2017-SPL1, Class B2-IO
-- Bayview Opportunity Master Fund IVb Trust 2017-SPL2, Asset-
Backed Notes, Series 2017-SPL2, Class B2
-- Bayview Opportunity Master Fund IVb Trust 2017-SPL2, Asset-
Backed Notes, Series 2017-SPL2, Class B2-IO
A list of the Affected Ratings is available at
https://bit.ly/2pUrfzZ
[*] Moody's Hikes $1.8BB of Subprime RMBS Issued 2004-2007
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 62 tranches,
from 25 transactions issued by various issuers.
Complete rating actions are as follows:
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE1
Cl. M-2, Upgraded to B1 (sf); previously on May 21, 2010 Downgraded
to Caa3 (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE9
Cl. I-A-2, Upgraded to B3 (sf); previously on May 21, 2010
Downgraded to Caa3 (sf)
Cl. I-A-3, Upgraded to Caa2 (sf); previously on May 21, 2010
Downgraded to C (sf)
Cl. II-A, Upgraded to Caa2 (sf); previously on May 21, 2010
Downgraded to Caa3 (sf)
Cl. III-A, Upgraded to Caa2 (sf); previously on May 21, 2010
Downgraded to Caa3 (sf)
Issuer: Carrington Mortgage Loan Trust, Series 2007-RFC1
Cl. A-2, Upgraded to Caa1 (sf); previously on Apr 29, 2010
Downgraded to Ca (sf)
Cl. A-3, Upgraded to Caa3 (sf); previously on Apr 29, 2010
Downgraded to Ca (sf)
Cl. A-4, Upgraded to Caa3 (sf); previously on Apr 29, 2010
Downgraded to Ca (sf)
Issuer: CSFB Home Equity Asset Trust 2006-5
Cl. 2-A-3, Upgraded to B3 (sf); previously on May 5, 2010
Downgraded to Ca (sf)
Issuer: Fremont Home Loan Trust 2005-A
Cl. M3, Upgraded to A1 (sf); previously on Apr 30, 2017 Upgraded to
Baa2 (sf)
Cl. M4, Upgraded to Caa3 (sf); previously on Apr 30, 2017 Upgraded
to Ca (sf)
Issuer: Merrill Lynch Mortgage Investors Trust 2005-AR1
Cl. M-1, Upgraded to Aaa (sf); previously on Apr 27, 2017 Upgraded
to A1 (sf)
Issuer: Nationstar Home Equity Loan Trust 2006-B
Cl. AV-4, Upgraded to Aaa (sf); previously on Apr 27, 2017 Upgraded
to A1 (sf)
Cl. M-2, Upgraded to B2 (sf); previously on Apr 27, 2017 Upgraded
to Caa2 (sf)
Issuer: Nationstar Home Equity Loan Trust 2007-A
Cl. AV-4, Upgraded to A1 (sf); previously on Apr 27, 2017 Upgraded
to Baa2 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 13, 2009
Downgraded to C (sf)
Issuer: RAMP Series 2005-RS3 Trust
Cl. M-2, Upgraded to Aaa (sf); previously on Apr 12, 2017 Upgraded
to Aa2 (sf)
Cl. M-3, Upgraded to Aaa (sf); previously on Apr 12, 2017 Upgraded
to A2 (sf)
Cl. M-4, Upgraded to Aa3 (sf); previously on Apr 12, 2017 Upgraded
to Baa2 (sf)
Cl. M-5, Upgraded to Baa1 (sf); previously on Apr 12, 2017 Upgraded
to Ba2 (sf)
Cl. M-6, Upgraded to B2 (sf); previously on Apr 12, 2017 Upgraded
to Ca (sf)
Issuer: RAMP Series 2006-EFC2 Trust
Cl. A-3, Upgraded to A1 (sf); previously on Apr 12, 2017 Upgraded
to Baa3 (sf)
Cl. A-4, Upgraded to Baa1 (sf); previously on Apr 12, 2017 Upgraded
to Ba2 (sf)
Issuer: RAMP Series 2006-NC1 Trust
Cl. A-3, Upgraded to Aaa (sf); previously on Apr 12, 2017 Upgraded
to Aa2 (sf)
Cl. M-1, Upgraded to Baa1 (sf); previously on Apr 12, 2017 Upgraded
to Ba2 (sf)
Cl. M-2, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded
to C (sf)
Issuer: RAMP Series 2006-RS4 Trust
Cl. A-3, Upgraded to Aaa (sf); previously on Apr 12, 2017 Upgraded
to A3 (sf)
Cl. A-4, Upgraded to A1 (sf); previously on Apr 12, 2017 Upgraded
to Baa1 (sf)
Cl. M-1, Upgraded to Caa1 (sf); previously on Apr 12, 2017 Upgraded
to Caa3 (sf)
Issuer: RAMP Series 2006-RZ4 Trust
Cl. A-2, Upgraded to Aaa (sf); previously on Apr 12, 2017 Upgraded
to A1 (sf)
Cl. A-3, Upgraded to Aa2 (sf); previously on Apr 12, 2017 Upgraded
to A3 (sf)
Cl. M-1, Upgraded to Caa1 (sf); previously on Apr 12, 2017 Upgraded
to Caa2 (sf)
Issuer: RAMP Series 2006-RZ5 Trust
Cl. A-2, Upgraded to Aaa (sf); previously on Apr 12, 2017 Upgraded
to Aa3 (sf)
Cl. A-3, Upgraded to Aaa (sf); previously on Apr 12, 2017 Upgraded
to A2 (sf)
Issuer: RASC Series 2004-KS6 Trust
Cl. A-I-5, Upgraded to A3 (sf); previously on Jun 25, 2015 Upgraded
to Baa3 (sf)
Cl. A-I-6, Upgraded to A2 (sf); previously on Jun 25, 2015 Upgraded
to Baa2 (sf)
Cl. M-II-1, Upgraded to Ba1 (sf); previously on Apr 6, 2017
Upgraded to Ba3 (sf)
Cl. M-II-2, Upgraded to Ca (sf); previously on Apr 5, 2011
Downgraded to C (sf)
Issuer: RASC Series 2005-KS1 Trust
Cl. M-1, Upgraded to Aaa (sf); previously on Apr 12, 2017 Upgraded
to A1 (sf)
Cl. M-2, Upgraded to Baa1 (sf); previously on Apr 12, 2017 Upgraded
to Ba3 (sf)
Cl. M-3, Upgraded to B3 (sf); previously on Aug 21, 2015 Upgraded
to Ca (sf)
Issuer: RASC Series 2005-KS2 Trust
Cl. M-1, Upgraded to Aaa (sf); previously on Apr 12, 2017 Upgraded
to A2 (sf)
Cl. M-2, Upgraded to B3 (sf); previously on Apr 12, 2017 Upgraded
to Caa2 (sf)
Issuer: RASC Series 2005-KS6 Trust
Cl. M-5, Upgraded to Aaa (sf); previously on Apr 12, 2017 Upgraded
to Aa2 (sf)
Cl. M-6, Upgraded to A1 (sf); previously on Apr 12, 2017 Upgraded
to Baa2 (sf)
Issuer: RASC Series 2006-EMX1 Trust
Cl. M-1, Upgraded to Aa3 (sf); previously on Apr 12, 2017 Upgraded
to Baa3 (sf)
Cl. M-2, Upgraded to Caa3 (sf); previously on Apr 12, 2017 Upgraded
to Ca (sf)
Issuer: RASC Series 2006-KS3 Trust
Cl. A-I-4, Upgraded to Aaa (sf); previously on Apr 12, 2017
Upgraded to Aa1 (sf)
Cl. M-1, Upgraded to A1 (sf); previously on Apr 12, 2017 Upgraded
to Baa3 (sf)
Cl. M-2, Upgraded to Caa3 (sf); previously on Apr 12, 2017 Upgraded
to Ca (sf)
Issuer: RASC Series 2006-KS5 Trust
Cl. A-3, Upgraded to Aaa (sf); previously on Apr 12, 2017 Upgraded
to A2 (sf)
Cl. A-4, Upgraded to A1 (sf); previously on Apr 12, 2017 Upgraded
to Baa1 (sf)
Cl. M-1, Upgraded to B2 (sf); previously on Apr 12, 2017 Upgraded
to Caa1 (sf)
Issuer: RASC Series 2006-KS6 Trust
Cl. A-4, Upgraded to Aa1 (sf); previously on Apr 12, 2017 Upgraded
to A2 (sf)
Cl. M-1, Upgraded to Baa3 (sf); previously on Apr 12, 2017 Upgraded
to Ba3 (sf)
Cl. M-2, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded
to C (sf)
Issuer: RASC Series 2006-KS8 Trust
Cl. A-3, Upgraded to Baa1 (sf); previously on Apr 12, 2017 Upgraded
to B1 (sf)
Cl. A-4, Upgraded to B1 (sf); previously on Apr 12, 2017 Upgraded
to B3 (sf)
Issuer: RASC Series 2007-KS1 Trust
Cl. A-3, Upgraded to Ba1 (sf); previously on Apr 12, 2017 Upgraded
to Caa1 (sf)
Cl. A-4, Upgraded to Ba2 (sf); previously on Apr 12, 2017 Upgraded
to Caa3 (sf)
Issuer: RASC Series 2007-KS4 Trust
Cl. A-3, Upgraded to Baa2 (sf); previously on Apr 12, 2017 Upgraded
to Ba1 (sf)
Cl. A-4, Upgraded to Baa3 (sf); previously on Apr 12, 2017 Upgraded
to Ba3 (sf)
RATINGS RATIONALE
The upgrades are primarily due to the total credit enhancement
available to the bonds and reflect the recent performance of the
underlying pools and Moody's updated loss expectations on the
pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to macroeconomic
uncertainty, and in particular the unemployment rate. The
unemployment rate fell to 4.1% in February 2018 from 4.7% in
February 2017. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2018 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 2018. 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 Hikes $4.1MM of Subprime RMBS Issued Before 2000
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of two tranches
issued by two RMBS transactions issued by various issuers.
Complete list of rating actions is:
Issuer: ContiMortgage Home Equity Loan Trust 1997-4
B, Upgraded to Baa1 (sf); previously on Dec 28, 2017 Upgraded to
Ba1 (sf)
Issuer: New Century Asset-Backed Floating Rate Certificates Series
1998-NC6
A, Upgraded to A2 (sf); previously on May 8, 2017 Upgraded to Ba2
(sf)
RATINGS RATIONALE
The upgrades are primarily due to the increase in total credit
enhancement available to the bonds. The actions reflect the recent
performance of the underlying pools, Moody's updated loss
expectations on the pools and an update in the approach used in
analyzing the transaction structures.
In Moody's prior analysis Moody's used a static approach in which
Moody's compared the total credit enhancement for a bond, including
excess spread, subordination, overcollateralization, and other
external support, if any, to Moody's expected losses on the
mortgage pool(s) supporting that bond. Moody's have updated Moody's
approach to include a cash flow analysis, wherein Moody's run
several different loss levels, loss timing, and prepayment
scenarios using Moody's scripted cash flow waterfalls to estimate
the losses to the different bonds under these scenarios
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.1% in February 2018 from 4.7% in
February 2017. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2018 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 2018. Lower increases than
Moody's expects or decreases could lead to negative rating actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] Moody's Hikes $48MM of Subprime RMBS Issued 2000-2003
---------------------------------------------------------
Moody's Investors Service has upgraded the ratings of seven
tranches from three transactions, backed by Subprime RMBS loans,
issued by Long Beach Mortgage Loan Trust.
Complete rating actions are:
Issuer: Long Beach Mortgage Loan Trust 2000-1
Cl. AF-3, Upgraded to Baa1 (sf); previously on Oct 9, 2013 Upgraded
to Ba3 (sf)
Cl. AF-4, Upgraded to A2 (sf); previously on Oct 9, 2013 Upgraded
to Ba1 (sf)
Cl. AV-1, Upgraded to A1 (sf); previously on Oct 9, 2013 Upgraded
to Baa3 (sf)
Issuer: Long Beach Mortgage Loan Trust 2002-5
Cl. M-1, Upgraded to Ba1 (sf); previously on Jul 7, 2014 Upgraded
to B1 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 8, 2011
Downgraded to Ca (sf)
Issuer: Long Beach Mortgage Loan Trust 2003-2
Cl. M-1, Upgraded to Ba2 (sf); previously on Feb 8, 2016 Upgraded
to B3 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 8, 2011
Downgraded to Ca (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to an increase in the credit
enhancement available to the bonds as the result of substantial
settlement money distributed to the transactions in February 2018.
The rating actions reflect the recent performance of the underlying
pools and Moody's updated loss expectation on the pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.1% in February 2018 from 4.7% in
February 2017. Moody's forecasts an unemployment central range of
3.5% to 4.5% for 2018. 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 2018. Lower increases than Moody's expects or
decreases could lead to negative rating actions. Finally,
performance of RMBS continues to remain highly dependent on
servicer procedures. Any change resulting from servicing transfers
or other policy or regulatory change can impact the performance of
these transactions.
[*] Moody's Hikes $71.8MM of Second-Lien RMBS Issued 2003-2006
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 20 tranches
from twelve deals backed by second-lien mortgage loans.
Complete rating actions are:
Issuer: Home Equity Mortgage Trust 2004-4
Cl. M-3, Upgraded to Baa1 (sf); previously on Sep 28, 2015 Upgraded
to Baa3 (sf)
Cl. M-6, Upgraded to Caa1 (sf); previously on Sep 28, 2015 Upgraded
to Caa3 (sf)
Issuer: Home Equity Mortgage Trust 2005-2
Cl. M-7, Upgraded to A2 (sf); previously on May 26, 2017 Upgraded
to Baa2 (sf)
Issuer: Irwin Home Equity Loan Trust 2006-1
Cl. IA-1, Upgraded to Ba2 (sf); previously on Sep 1, 2015 Upgraded
to B2 (sf)
Cl. IIA-3, Upgraded to Ba1 (sf); previously on Sep 1, 2015 Upgraded
to Ba3 (sf)
Cl. IIA-4, Upgraded to Baa3 (sf); previously on Sep 1, 2015
Upgraded to Ba2 (sf)
Issuer: Irwin Whole Loan Home Equity Trust 2003-C
B-1, Upgraded to Baa1 (sf); previously on Apr 17, 2017 Upgraded to
Baa3 (sf)
B-2, Upgraded to Baa3 (sf); previously on Apr 17, 2017 Upgraded to
Ba1 (sf)
M-1, Upgraded to Aa3 (sf); previously on Apr 17, 2017 Upgraded to
A1 (sf)
M-2, Upgraded to A2 (sf); previously on Apr 17, 2017 Upgraded to A3
(sf)
Issuer: Irwin Whole Loan Home Equity Trust 2004-A
Cl. B-2, Upgraded to Baa1 (sf); previously on Apr 17, 2017 Upgraded
to Baa3 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust Series 2005-SL3
Cl. M-1, Upgraded to Baa3 (sf); previously on May 26, 2017 Upgraded
to B1 (sf)
Issuer: SACO I Trust 2005-2
Cl. M-2, Upgraded to B1 (sf); previously on Oct 7, 2015 Upgraded to
Caa1 (sf)
Issuer: SACO I Trust 2005-5
Cl. I-M-1, Upgraded to Caa3 (sf); previously on Oct 9, 2015
Upgraded to Ca (sf)
Issuer: SACO I Trust 2005-9
Cl. A-1, Upgraded to Baa1 (sf); previously on Apr 17, 2017 Upgraded
to Ba1 (sf)
Cl. A-3, Upgraded to Baa1 (sf); previously on Apr 17, 2017 Upgraded
to Ba1 (sf)
Issuer: Structured Asset Securities Corp Trust 2004-S2
Cl. M4, Upgraded to A1 (sf); previously on May 26, 2017 Upgraded to
Baa2 (sf)
Cl. M6, Upgraded to Ba1 (sf); previously on May 26, 2017 Upgraded
to B1 (sf)
Issuer: Structured Asset Securities Corp Trust 2005-S2
Cl. M4, Upgraded to Baa3 (sf); previously on Apr 17, 2017 Upgraded
to Ba2 (sf)
Issuer: Structured Asset Securities Corp Trust 2005-S7
Cl. M1, Upgraded to Ba3 (sf); previously on Oct 9, 2015 Upgraded to
B3 (sf)
RATINGS RATIONALE
The upgrades are primarily due to the increase in the total credit
enhancement available to the bonds. The actions reflect the recent
performance of the underlying pools and Moody's updated loss
expectations on the pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to macroeconomic
uncertainty, and in particular the unemployment rate. The
unemployment rate fell to 4.1% in February 2018 from 4.7% in
February 2017. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2018 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 2018. 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 Hikes Ratings of $148.7MM of Alt-A RMBS Issued 2005
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 20 tranches
from six transactions, backed by Alt-A RMBS loans, issued by
multiple issuers.
Complete rating actions are as follows:
Issuer: American Home Mortgage Investment Trust 2005-2
Cl. II-A-2, Upgraded to Aa1 (sf); previously on Jul 28, 2016
Upgraded to A1 (sf)
Cl. IV-A-1, Upgraded to Aa3 (sf); previously on Jul 28, 2016
Upgraded to A2 (sf)
Cl. IV-A-2, Upgraded to Aa3 (sf); previously on Jul 28, 2016
Upgraded to A2 (sf)
Issuer: Banc of America Funding 2005-B Trust
Cl. 3-A-3A, Upgraded to Aa1 (sf); previously on Apr 21, 2017
Upgraded to A2 (sf)
Cl. 3-A-3B, Upgraded to Aa1 (sf); previously on Apr 21, 2017
Upgraded to A2 (sf)
Cl. 3-A-2, Upgraded to Aaa (sf); previously on Apr 21, 2017
Upgraded to Aa1 (sf)
Cl. 3-A-2B, Upgraded to Aaa (sf); previously on Apr 21, 2017
Upgraded to Aa1 (sf)
Cl. 3-A-1, Upgraded to Aaa (sf); previously on Apr 21, 2017
Upgraded to Aa3 (sf)
Cl. 3-A-1B, Upgraded to Aaa (sf); previously on Apr 21, 2017
Upgraded to Aa3 (sf)
Cl. 3-M-1, Upgraded to B1 (sf); previously on Apr 21, 2017 Upgraded
to Caa1 (sf)
Issuer: Banc of America Funding 2005-C Trust
Cl. A-3A, Upgraded to Baa3 (sf); previously on Apr 21, 2017
Upgraded to Ba3 (sf)
Cl. A-3B, Upgraded to Baa3 (sf); previously on Apr 21, 2017
Upgraded to Ba3 (sf)
Issuer: Bear Stearns ALT-A Trust 2005-1
Cl. A-1, Upgraded to Aaa (sf); previously on Apr 21, 2017 Upgraded
to Aa1 (sf)
Issuer: CSFB Adjustable Rate Mortgage Trust 2005-7
Cl. 7-A-1-2, Upgraded to Aa2 (sf); previously on Apr 21, 2017
Upgraded to A2 (sf)
Cl. 7-A-1-1, Upgraded to Aa1 (sf); previously on Apr 21, 2017
Upgraded to Aa3 (sf)
Cl. 7-A-2-2, Upgraded to A1 (sf); previously on Apr 21, 2017
Upgraded to Baa1 (sf)
Cl. 7-A-2-1, Upgraded to Aa2 (sf); previously on Apr 21, 2017
Upgraded to A2 (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2005-6
Cl. I-A-2, Upgraded to Aa1 (sf); previously on Apr 21, 2017
Upgraded to A1 (sf)
Cl. I-A-3, Upgraded to Ba2 (sf); previously on Apr 21, 2017
Upgraded to B2 (sf)
Cl. I-A-4, Upgraded to Baa2 (sf); previously on Apr 21, 2017
Upgraded to Ba1 (sf)
RATINGS RATIONALE
The rating actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectation on
the pools. The rating upgrades are a result of the increase in
credit enhancement available to the bonds.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.1% in February 2018 from 4.7% in
February 2017. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2018 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 2018. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] Moody's Takes Action on $189MM of RMBS Issued 2002-2006
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 11 tranches,
from six transactions and downgraded the ratings of two tranches,
from two transactions issued by various issuers.
Complete rating actions are as follows:
Issuer: Accredited Mortgage Loan Trust 2006-1
Cl. A-4, Upgraded to Baa3 (sf); previously on Dec 12, 2014 Upgraded
to B1 (sf)
Cl. M-1, Upgraded to Caa1 (sf); previously on Apr 27, 2017 Upgraded
to Caa3 (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2002-HE3
Cl. M-1, Downgraded to B1 (sf); previously on Apr 16, 2012 Upgraded
to Ba3 (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2004-FM2
2004FM2-M2, Upgraded to Ca (sf); previously on Mar 15, 2011
Downgraded to C (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2004-HE2
Cl. M-1, Downgraded to Baa3 (sf); previously on Apr 16, 2012
Confirmed at Baa1 (sf)
Cl. M-5, Upgraded to B3 (sf); previously on Apr 4, 2016 Upgraded to
Caa1 (sf)
Cl. M-6, Upgraded to Ca (sf); previously on Feb 3, 2009 Downgraded
to C (sf)
Issuer: Aegis Asset Backed Securities Trust 2004-2
Cl. M1, Upgraded to A1 (sf); previously on May 22, 2015 Upgraded to
Baa1 (sf)
Cl. M2, Upgraded to B1 (sf); previously on May 22, 2015 Upgraded to
B3 (sf)
Cl. M3, Upgraded to Caa1 (sf); previously on May 22, 2015 Upgraded
to Caa3 (sf)
Issuer: Credit Suisse First Boston Mortgage Securities Corp. Series
2002-HE11
Cl. M-1, Upgraded to Baa1 (sf); previously on Apr 26, 2017 Upgraded
to Ba1 (sf)
Issuer: Equity One Mortgage Pass-Through Trust 2004-3
Cl. AF-4, Upgraded to Aaa (sf); previously on Mar 7, 2011
Downgraded to Aa1 (sf)
Cl. AF-5, Upgraded to Aaa (sf); previously on Mar 7, 2011
Downgraded to Aa1 (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to the total credit
enhancement available to the bonds. The rating downgrades are due
to outstanding interest shortfalls that are unlikely to be recouped
due to weak interest shortfall reimbursement mechanisms for the
related bonds. The actions reflect the recent performance of the
underlying pools and Moody's updated loss expectations on the
pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to macroeconomic
uncertainty, and in particular the unemployment rate. The
unemployment rate fell to 4.1% in February 2018 from 4.7% in
February 2017. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2018 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 2018. 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 $884MM of RMBS Issued 2005-2007
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 37 tranches,
from 15 transactions, downgraded the ratings of 1 tranche, from 1
transaction, and assigned ratings to 7 tranches from 7 transactions
issued by various issuers.
Complete rating actions are as follows:
Issuer: Aames Mortgage Investment Trust 2006-1
Cl. A-3, Upgraded to Aaa (sf); previously on Apr 27, 2017 Upgraded
to A1 (sf)
Cl. A-4, Upgraded to Aa1 (sf); previously on Apr 27, 2017 Upgraded
to A3 (sf)
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust,
Series RFC 2007-HE1
Cl. A1A, Upgraded to Ba3 (sf); previously on Sep 2, 2015 Upgraded
to B3 (sf)
Cl. A1B, Upgraded to Ba3 (sf); previously on Sep 2, 2015 Upgraded
to B3 (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE1
Cl. I-M-3, Upgraded to B1 (sf); previously on Apr 27, 2017 Upgraded
to B2 (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE5
Cl. I-A-2, Upgraded to Ba1 (sf); previously on Dec 7, 2015 Upgraded
to B1 (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2006-CB2
Cl. AF-2, Upgraded to Caa3 (sf); previously on Dec 12, 2014
Downgraded to Ca (sf)
Cl. AF-3, Upgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to C (sf)
Cl. AF-4, Upgraded to Caa3 (sf); previously on Dec 12, 2014
Downgraded to Ca (sf)
Cl. AV, Upgraded to Baa3 (sf); previously on Sep 22, 2015 Upgraded
to B1 (sf)
Issuer: Fremont Home Loan Trust 2005-C
Cl. M2, Upgraded to A1 (sf); previously on Apr 27, 2017 Upgraded to
Baa1 (sf)
Issuer: GSAMP Trust 2006-HE2
Cl. A-3, Upgraded to Aaa (sf); previously on Apr 30, 2017 Upgraded
to Aa3 (sf)
Issuer: HSI Asset Securitization Corporation Trust 2005-NC1
Cl. M-1, Downgraded to B1 (sf); previously on Aug 13, 2010
Confirmed at Ba1 (sf)
Issuer: HSI Asset Securitization Corporation Trust 2007-WF1
Cl. I-A, Upgraded to A3 (sf); previously on Apr 27, 2017 Upgraded
to Ba2 (sf)
Cl. II-A-3, Upgraded to Aa1 (sf); previously on Apr 27, 2017
Upgraded to Baa3 (sf)
Cl. II-A-4, Upgraded to Aa3 (sf); previously on Apr 27, 2017
Upgraded to Ba1 (sf)
Cl. M-1, Upgraded to B3 (sf); previously on Apr 27, 2017 Upgraded
to Caa3 (sf)
Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-ACC1
Cl. A-1, Upgraded to Aaa (sf); previously on Apr 30, 2017 Upgraded
to Aa3 (sf)
Cl. A-5, Upgraded to Aaa (sf); previously on Apr 30, 2017 Upgraded
to A1 (sf)
Cl. M-4, Assigned C (sf); previously on Jun 09, 2016 Withdrawn
(sf)
Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-CW1
Cl. A-1B, Upgraded to Aaa (sf); previously on Apr 30, 2017 Upgraded
to A3 (sf)
Cl. A-5, Upgraded to Aa2 (sf); previously on Apr 30, 2017 Upgraded
to Baa2 (sf)
Cl. M-1, Upgraded to B1 (sf); previously on Apr 30, 2017 Upgraded
to B3 (sf)
Cl. M-3, Assigned C (sf); previously on Jun 09, 2016 Withdrawn
(sf)
Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-FRE1
Cl. A-1, Upgraded to Aaa (sf); previously on Apr 30, 2017 Upgraded
to A1 (sf)
Cl. A-4, Upgraded to Aaa (sf); previously on Apr 30, 2017 Upgraded
to Baa1 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on Jul 14, 2010
Downgraded to C (sf)
Cl. M-4, Assigned C (sf); previously on Jun 30, 2016 Withdrawn
(sf)
Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-FRE2
Cl. A-1, Upgraded to Aaa (sf); previously on Apr 30, 2017 Upgraded
to A2 (sf)
Cl. A-4, Upgraded to Aaa (sf); previously on Apr 30, 2017 Upgraded
to Baa1 (sf)
Cl. M-1, Upgraded to B1 (sf); previously on Apr 30, 2017 Upgraded
to Caa1 (sf)
Cl. M-3, Assigned C (sf); previously on Dec 29, 2017 Withdrawn
(sf)
Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-HE1,
Asset-Backed Pass-Through Certificates, Series 2006-HE1
Cl. A-1, Upgraded to Aaa (sf); previously on Apr 30, 2017 Upgraded
to A1 (sf)
Cl. A-4, Upgraded to Aa3 (sf); previously on Apr 30, 2017 Upgraded
to Ba3 (sf)
Cl. M-1, Upgraded to Caa2 (sf); previously on Jul 14, 2010
Downgraded to C (sf)
Cl. M-2, Assigned C (sf); previously on Feb 12, 2014 Withdrawn
(sf)
Issuer: J.P. Morgan Mortgage Acquisition Trust 2006-NC1
Cl. A-1, Upgraded to Aaa (sf); previously on Apr 30, 2017 Upgraded
to A3 (sf)
Cl. A-5, Upgraded to Aaa (sf); previously on Apr 30, 2017 Upgraded
to Baa3 (sf)
Cl. M-1, Upgraded to B1 (sf); previously on Apr 30, 2017 Upgraded
to Caa3 (sf)
Cl. M-3, Assigned C (sf); previously on Feb 12, 2014 Withdrawn
(sf)
Issuer: J.P. Morgan Mortgage Acquisition Trust 2006-NC2
Cl. A-1B, Upgraded to Aaa (sf); previously on Apr 30, 2017 Upgraded
to Aa1 (sf)
Cl. A-4, Upgraded to Aaa (sf); previously on Apr 30, 2017 Upgraded
to Baa1 (sf)
Cl. A-5, Upgraded to Aaa (sf); previously on Apr 30, 2017 Upgraded
to Baa3 (sf)
Cl. M-1, Upgraded to B1 (sf); previously on Apr 30, 2017 Upgraded
to Caa1 (sf)
Cl. M-3, Assigned C (sf); previously on Jul 31, 2015 Withdrawn
(sf)
RATINGS RATIONALE
The upgrades are primarily due to the total credit enhancement
available to the bonds. Rating upgrades for J.P. Morgan Mortgage
Acquisition Corp. 2006-ACC1, J.P. Morgan Mortgage Acquisition Corp.
2006-CW1, J.P. Morgan Mortgage Acquisition Corp. 2006-FRE1, J.P.
Morgan Mortgage Acquisition Corp. 2006-FRE2, J.P. Morgan Mortgage
Acquisition Corp. 2006-HE1, J.P. Morgan Mortgage Acquisition Trust
2006-NC1 and J.P. Morgan Mortgage Acquisition Trust 2006-NC2 are
primarily due to the substantial settlement money distributed to
these transactions in January 2018. The assignment of ratings on
certain bonds in these deals reflects the reinstated balance for
those bonds and their expected loss. Ratings on these bonds were
withdrawn in the past as their balance was written down due to
losses, but their balance has since been partially written back up
due to the settlement proceeds.
The rating downgraded is due to outstanding interest shortfall that
is unlikely to be recouped because of a weak interest shortfall
reimbursement mechanism.
The actions reflect the recent performance of the underlying pools
and Moody's updated loss expectations on the pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to macroeconomic
uncertainty, and in particular the unemployment rate. The
unemployment rate fell to 4.1% in February 2018 from 4.7% in
February 2017. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2018 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 2018. 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.
[*] S&P Puts 422 Ratings From 63 U.S. RMBS Deals on CreditWatch
---------------------------------------------------------------
S&P Global Ratings completed a series of CreditWatch placements in
association with its revised criteria for U.S. residential
mortgage-backed securities (RMBS) and other residential
mortgage-related debt obligations issued in 2009 and later. The
CreditWatch placements affect 422 ratings from 63 U.S. RMBS
transactions.
In total, S&P:
-- placed its ratings on 217 classes from 11 RMBS transactions on
CreditWatch with negative implications; and
-- placed its ratings on 205 classes from 55 U.S. RMBS
transactions on CreditWatch with positive implications.
The CreditWatch placements affect U.S. RMBS transactions issued in
2009 and later. The 63 affected transactions are backed primarily
by first-lien prime (both jumbo and nonconforming), seasoned, and
non-qualified mortgage (QM) collateral. In total, the 422 affected
classes represent approximately 24%, by number of classes, of S&P
Global Ratings' total rated in-scope U.S. RMBS.
The majority of classes showing a move toward higher ratings in
S&P's preliminary analysis are junior classes from prime
transactions, whereas the majority of classes showing a move toward
lower ratings are from seasoned transactions. The tables below show
a breakdown of the CreditWatch placements by collateral type.
Table 1
CreditWatch Placements By Collateral Type - No. Of Classes
Collateral type Negative Positive Total CW Total
universe(i)
Prime 0 158 158 1,397
Seasoned 209 10 219 282
Non-QM 8 37 45 60
Total 217 205 422 1,739
Table 2
CreditWatch Placements By Collateral Type - Percentage (%) Of
Total Universe
Collateral type Negative Positive Total universe(i)
Prime 0 9.09 9.09
Seasoned 12.02 0.58 12.59
Non-QM 0.46 2.13 2.59
Total 12.48 11.79 24.27
(i)S&P Global Ratings' total rated in-scope U.S. RMBS universe
issued since 2009 (up to the criteria publication date).
Table 3
CreditWatch Placement Breakout By Collateral Type–Percentage
(%)
Collateral type Negative Positive Total CW
Prime 0 37.44 37.44
Seasoned 49.53 2.37 51.90
Non-QM 1.90 8.77 10.66
Total 51.42 48.58 100.00
S&P Global Ratings' prime portfolio of transactions issued in 2009
and later that it rated before it published its updated criteria
currently comprises 1,397 classes from 62 transactions. S&P placed
the ratings on 158 of these classes on CreditWatch, which
represents approximately 11% of the rated prime portfolio.
S&P Global Ratings' seasoned portfolio of transactions issued in
2009 and later it rated before it published its updated criteria
currently comprises 282 classes from 11 transactions. S&P placed
the ratings on 219 of these classes on CreditWatch, which
represents approximately 78% of the rated seasoned portfolio.
S&P Global Ratings' non-QM portfolio of transactions issued in 2009
and later that it rated before it published its updated criteria
currently comprises 60 classes from 10 transactions. S&P placed the
ratings on 45 of these classes on CreditWatch, which represents
approximately 75% of the rated non-QM portfolio.
CREDITWATCH NEGATIVE PLACEMENTS
S&P said, "We placed our ratings on CreditWatch negative in cases
where our preliminary analysis indicates a likelihood that we will
lower the affected ratings under our revised criteria. These cases
are primarily driven by higher foreclosure frequency adjustment
factors for loans with lower FICOs (at a given combined
loan-to-value [CLTV] ratio), the change in the CLTV used to
determine foreclosure frequency, and, in instances where
transactions benefit from excess spread, updated weighted average
coupon deterioration and prepayment stresses applied in our cash
flow analysis. However, we believe a majority of the anticipated
downgrades will result in the ratings on these classes remaining
within four notches of their current ratings."
CREDITWATCH POSITIVE PLACEMENTS
S&P placed its ratings on CreditWatch positive in cases where our
preliminary analysis indicates a likelihood that it will raise the
affected ratings under its revised criteria. These cases are
primarily driven by deleveraging as the respective transactions
season and the better treatment of higher-quality collateral
resulting from our recalibration of criteria relating to credit
factors such as loan purpose and loan type, as well as the
introduction of new factors such as the multi-borrower credit.
All of the CreditWatch placements reflect the information available
to S&P Global Ratings as of the January and February 2018
performance periods. S&P may update the CreditWatch placements in
the future based on further analysis or upon receipt of new
information. S&P intends to apply the updated criteria to resolve
the CreditWatch placements within the next three months.
A list of Affected Rating can be viewed at:
https://bit.ly/2E4n34C
[*] S&P Takes Various Actions on 166 Classes From 18 US RMBS Deals
------------------------------------------------------------------
S&P Global Ratings completed its review of 166 classes from 18 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2002 and 2008. All of these transactions are backed by
prime jumbo collateral. The review yielded 42 upgrades, two
downgrades, 121 affirmations, and one discontinuance.
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its 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; and
-- Available subordination and/or overcollateralization.
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.
"We raised our ratings by five or more notches on 18 ratings from
six transactions (see ratings list). Of these, 12 were due to an
increase in credit support and the classes' ability to withstand a
higher level of projected losses than previously anticipated, two
were due to the improvement of the underlying collateral
performance during the most recent performance periods compared to
previous review dates, two other were based on expected short
duration given the seniority of the classes in the payment
waterfall and average principal payments over the last one year. We
also raised our ratings on two principal-only classes based on the
application of our principal-only criteria."
The list of Affected Ratings can be viewed at:
https://bit.ly/2GcMwLd
[*] S&P Takes Various Actions on 81 Classes From 53 US ABS Deals
----------------------------------------------------------------
S&P Global Ratings completed its review of 81 classes from 53 U.S.
manufactured housing asset-backed securities (ABS) transactions
issued between 1995 and 2007. We lowered nine and affirmed 72
ratings.
All of the classes reviewed were rated 'CCC+ (sf)' or lower and
none of the ratings are higher than 'CCC+ (sf)' following this
review.
The rating actions reflect the transactions' collateral performance
to date, S&P's views regarding future collateral performance, the
transactions' structures, and the credit enhancement available.
S&P said, "The lowered ratings reflect our view that the available
credit enhancement, which continues to deteriorate for the affected
classes, is no longer sufficient to support our previous ratings.
Despite the lowering of these ratings, the related class
noteholders are currently receiving full and timely interest based
on the outstanding principal note balance.
"The affirmed 'CCC (sf)' and 'CC (sf)' ratings reflect our view
that our projected credit support will remain insufficient to cover
our projected losses for these classes. As defined in our criteria,
the 'CCC (sf)' level ratings reflect our view that the related
classes are still vulnerable to nonpayment and are dependent upon
favorable business, financial, and economic conditions in order to
be paid interest and/or principal according to the terms of each
transaction. Additionally, the 'CC (sf)' ratings reflect our view
that the related classes remain virtually certain to default.
"We will continue to monitor the performance of the transactions
relative to their cumulative net loss expectations and the
available credit enhancement. We will take rating actions as we
consider appropriate."
The list of Affected Ratings can be viewed at:
https://bit.ly/2pIoBNy
[*] S&P Takes Various Actions on 94 Classes From 23 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 94 classes from 23 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2002 and 2006. These transactions are all backed by
subprime collateral. The review yielded 46 upgrades, 46
affirmations, one downgrade, and one discontinuance.
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its 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:
-- Historical interest shortfalls;
-- Priority of principal payments;
-- Loan modifications;
-- Delinquency Trends; and
-- Available subordination and/or overcollateralization.
Rating Actions
The affirmations of ratings reflect S&P's opinion that its
projected credit support and collateral performance on these
classes has remained relatively consistent with its prior
projections.
S&P said, "On Feb. 26, 2018, we placed our ratings on 31 classes
from 16 transactions on CreditWatch with positive implications. We
are now removing the ratings on the class M-2 and M-3 notes from
Bear Stearns Asset Backed Securities I Trust 2005-TC1 from
CreditWatch."
A list of Affected Ratings can be viewed at:
https://bit.ly/2GiG3hM
*********
Monday's edition of the TCR delivers a list of indicative prices
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