/raid1/www/Hosts/bankrupt/TCR_Public/180527.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, May 27, 2018, Vol. 22, No. 146
Headlines
AASET 2017-1: Fitch Affirms Class C Notes at 'BBsf'
ABACUS LTD 2006-10: S&P Lowers Class A notes Rating to 'D(sf)'
ABSC 2000-LB1: Moody's Hikes Rating on Class BV Debt to Caa2
ALESCO PREFERRED XIV: Moody's Ups $103MM Cl. B Notes Rating to Ba3
ALM VI: S&P Assigns Prelim B- (sf) Rating on Class E-R3 Notes
ALM XII: Moody's Assigns Ba3 Rating on Class D-R2 Notes
AMCAR 2018-1: Fitch Assigns BB Rating on $28.13MM Class E Notes
ARES XXXIR CLO: S&P Assigns BB-(sf) Rating on $53.1MM Class E Notes
ARROYO MORTGAGE 2018-1: S&P Assigns B(sf) Rating on Cl. B-2 Notes
BABSON 2014-I: Moody's Downgrades Class E Notes to B3
BACM 2004-3: Moody's Affirms Class H Certs at C
BRAEMAR 2018-PRME: DBRS Assigns Prov. BB Rating on Class E Certs
BRAEMAR 2018-PRME: S&P Assigns Prelim 'B-' Rating on $56MM Certs
CANTOR COMMERCIAL 2012-CCRE3: Fitch Affirms B Rating on G Certs
CARLYLE GLOBAL 2014-2-R: S&P Assigns B-(sf) Rating on Cl. E Notes
CD 2017-CD4: DBRS Confirms BB Rating on Class X-F Certs
CITIGROUP 2006-C4: Moody's Affirms C Rating on Class E Debt
COMM 2012-CCRE2: Fitch Affirms 'Bsf' Rating on Class G Certs
COMM 2015-PC1: DBRS Confirms BB(low) Rating on Class E Certs
COMM 2018-COR3: Fitch Assigns 'B-sf' Rating on Class G-RR Certs
CONNECTICUT AVE 2018-CO3: Fitch to Rate Several Note Classes
COUNTRYWIDE COMMERCIAL 2007-MFI: Moody's Ups D Certs Rating to Caa1
CPS AUTO 2018-1: DBRS Finalizes BB(low) Rating on Class A Notes
CSAIL 2016-C6: Fitch Says 5 Loans Have 'Loan of Concern' Status
CSMC 2017-LSTK: Moody's Affirms Class HRR Certs at B1
DEEPHAVEN RESIDENTIAL 2018-2: S&P Gives B Rating on Cl. B-2 Notes
DORCHESTER PARK: S&P Gives (P)B1 Rating on $8MM Cl. F-R Notes
DRIVE AUTO 2018-2: S&P Assigns BB(sf) Rating on Class E Notes
DRYDEN 55 CLO: S&P Assigns Prelim B- (sf) Rating on Class F Notes
EDUCATIONAL LOAN 2006-1: S&P Puts Rating on B-1 Debt on Watch Pos.
FLAGSHIP CREDIT 2018-2: S&P Assigns BB-(sf) Rating on Cl. E Notes
FREDDIE MAC: Fitch Assigns 'BB' Ratings on Class M Notes
GLOBAL LEVERAGED: Moody's Withdraws Ratings on CLO Notes
GOLDENTREE LOAN 3: S&P Rates $15.4MM Class F Notes 'B-'
GS MORTGAGE 2013-G1: Fitch Affirms $22.5MM DM Notes at 'BBsf'
GS MORTGAGE 2016-GS2: Fitch Affirms BB- Rating on Class E Debt
HPS LOAN 12-2018: S&P Gives (P)BB- Rating on $17.5MM Cl. D Notes
IMSCI 2012-2: Fitch Affirms Bsf Rating on $2.4MM Class G Certs
JAMESTOWN VI-R: Moody's Assigns B3 Rating on Class E Notes
JP MORGAN 2018-5: Moody's Assigns (P)B2 Rating on Class B-5 Debt
JP MORGAN 2018-5: S&P Assigns Prelim. B+(sf) Rating on B-5 Certs
JPMC 2004-C1: Moody's Downgrades Class X-1 Certs to C
JPMCC 2003-CIBC7: Moody's Affirms Class J Certs at C
JPMCC 2004-PNC1: Fitch Junks Rating on $16.5MM Notes to 'CCCsf'
JPMCC 2005-CIBC12: Fitch Junks Rating on $43.3MM Notes to 'Csf'
JPMDB 2018-C8: Fitch to Rate $7MM Class G Certs 'B-sf'
LENDMARK FUNDING 2018-1: DBRS Finalizes BB Rating on Class D Notes
MARBLE POINT XII: Moody's Gives Ba3 Rating on $24.2MM Class E Notes
MORGAN STANLEY 2013-WLSR: S&P Lowers Class E Notes Rating to BB+
MORGAN STANLEY 2015-MS1: DBRS Confirms BB Rating on Class E Certs
NEWFLEET ASSET 2016-1: S&P Assigns Prelim BB- Rating on E-R Notes
NEWFLEET CLO 2016-1: S&P Rates 415MM Class E-R Notes 'BB-'
OCTAGON INVESTMENT 37: S&P Gives Prelim BB-(sf) Rating on D Notes
OLYMPIC TOWER 2017-QT: Fitch Affirms Class E Certs at 'BB-sf'
POST CLO 2018-1: Moody's Assigns Ba3 Rating on Class E Notes
PSMC TRUST 2018-2: Fitch Assigns 'Bsf' Rating on Class B-5 Certs
REAL ESTATE 2016-1: DBRS Confirms BB Rating on Class F Certs
REALT 2016-1: Fitch Affirms BB Rating on Class F Certs
RR LTD 4: S&P Assigns BB- Rating on $36MM Class D Notes
TOWD POINT 2018-2: Moody's Assigns (P)B3 Rating on Class B2 Notes
UBSC 2011-C1: Moody's Affirms Class G Certs at Caa1
VOYA CLO 2018-2: S&P Assigns Prelim B-(sf) Rating on Class F Notes
WABR 2016-BOCA: Fitch Affirms 'B-sf' Rating on $75MM Class F Certs
WACHOVIA BANK 2003-C7: Moody's Affirms C Rating on Class C Certs
WELLS FARGO 2018-C44: DBRS Finalizes BB Rating on Class F-RR Certs
WELLS FARGO 2018-C44: Fitch Rates Class G-RR Certs 'B-sf'
WESTLAKE AUTO 2018-2: DBRS Finalizes B Rating on Class F Notes
WFRBS 2011-C5: Moody's Affirms Class X-B Certs at Ba3
WFRBS 2012-C8: Moody's Affirms Class G Certs at B2
[*] Fitch Cuts Ratings in 5 Distressed Classes in 5 CMBS Deals to D
[*] Moody's Cuts Ratings on 4 Tranches From 2 Prime Jumbo RMBS
[*] Moody's Hikes Ratings on 24 Tranches from 15 US RMBS Deals
[*] Moody's Hikes Ratings on 4 Tranches from 3 US RMBS Deals
[*] Moody's Takes Action on $59MM Subprime Loans Issued 2002-2004
[*] Moody's Takes Action on 4 Tranches from 2 IMC Subprime RMBS
[*] Moody's Takes Action on 50 Tranches from 20 US RMBS Deals
[*] Moody's Upgrades Ratings on 17 Tranches from 4 US RMBS Deals
[*] S&P Hikes Ratings on 27 Classes From 12 ABS Deals
[*] S&P Takes Actions on 2,423 Classes From 875 US RMBS Notes
[*] S&P Takes Various Actions on 10 Classes From 9 US RMBS Deals
[*] S&P Takes Various Actions on 115 Classes From 23 US RMBS Deals
[*] S&P Takes Various Actions on 118 Classes From 20 US RMBS Deals
[*] S&P Takes Various Actions on 67 Classes From 27 US RMBS Deals
[*] S&P Takes Various Actions on 87 Classes From 27 US RMBS Deals
*********
AASET 2017-1: Fitch Affirms Class C Notes at 'BBsf'
---------------------------------------------------
Fitch Ratings has affirmed all classes of AASET 2017-1 Trust as
follows:
Class A notes at 'Asf'; Outlook Stable;
Class B notes at 'BBBsf'; Outlook Stable;
Class C notes at 'BBsf'; Outlook Stable.
KEY RATING DRIVERS
The affirmation of the class A, B, and C notes reflects solid
performance to date. Lease cash flows have been above Fitch's base
expectations, and all classes are paying according to their
expected amortization schedule. LTV levels have declined slightly
since close and the majority of aircraft remain on their initial
leases.
Assumptions are consistent with the initial review. Cash flow
modeling was not completed for this review as performance has been
within expectations, no performance triggers have been tripped, and
the transaction has been modeled within the past 18 months, in line
with criteria.
RATING SENSITIVITIES
Due to the correlation between global economic conditions and the
airline industry, the ratings may be impacted by the strength of
the macro-environment over the remaining term of this transaction.
Global economic conditions that are inconsistent with Fitch's
expectations and stress parameters could lead to negative rating
actions. In the initial rating analysis, Fitch found the
transaction to have minimal sensitivity to the timing or severity
of assumed recessions.
Fitch found that greater default probability of the leases would
have a material impact on the ratings. In addition, Fitch found the
timing or degree of technological advancement in the commercial
aviation space and the impacts these changes would have on values,
lease rates, and utilization, would have a moderate impact on the
ratings.
ABACUS LTD 2006-10: S&P Lowers Class A notes Rating to 'D(sf)'
--------------------------------------------------------------
S&P Global Ratings lowered its rating to 'D (sf)' from 'CC (sf)' on
the class A notes from Abacus 2006-10 Ltd., a synthetic
collateralized debt obligation transaction backed by commercial
mortgage-backed securities. The downgrade reflects principal losses
on the notes based on recent trustee reports.
ABSC 2000-LB1: Moody's Hikes Rating on Class BV Debt to Caa2
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of five tranches
issued by Asset Backed Securities Corporation, Long Beach Home
Equity Loan Trust 2000-LB1, Homes 2000-LB1.
Complete rating actions are as follows:
Issuer: Asset Backed Securities Corporation, Long Beach Home Equity
Loan Trust 2000-LB1, Homes 2000-LB1
Cl. AF5, Upgraded to A3 (sf); previously on Oct 25, 2017 Upgraded
to Ba2 (sf)
Cl. AF6, Upgraded to A1 (sf); previously on Oct 25, 2017 Upgraded
to Baa3 (sf)
Cl. M1F, Upgraded to B1 (sf); previously on Nov 4, 2013 Downgraded
to Caa3 (sf)
Cl. M2V, Upgraded to Ba1 (sf); previously on Oct 25, 2017 Upgraded
to Caa2 (sf)
Cl. BV, Upgraded to Caa2 (sf); previously on Mar 18, 2013 Affirmed
C (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to the funds received by the
deal in Feb 2018 pursuant to a settlement of claims concerning
trusts created, sponsored, or serviced by Washington Mutual Bank
(WaMu). The rating actions further 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 3.9% in April 2018 from 4.4% in April
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.
ALESCO PREFERRED XIV: Moody's Ups $103MM Cl. B Notes Rating to Ba3
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by ALESCO Preferred Funding XIV, Ltd.:
US$430,000,000 Class A-1 First Priority Senior Secured Floating
Rate Notes Due September 23, 2037 (current balance of
$270,942,100), Upgraded to Aa2 (sf); previously on April 6, 2016
Upgraded to Aa3 (sf)
US$80,500,000 Class A-2 Second Priority Senior Secured Floating
Rate Notes Due September 23, 2037, Upgraded to A1 (sf); previously
on April 6, 2016 Affirmed A3 (sf)
US$103,000,000 Class B Deferrable Third Priority Secured Floating
Rate Notes Due September 23, 2037, Upgraded to Ba3 (sf); previously
on April 6, 2016 Affirmed B1 (sf)
Alesco Preferred Funding XIV, Ltd., issued in December 2006, is a
collateralized debt obligation (CDO) backed by a portfolio of bank
and insurance trust preferred securities (TruPS).
RATINGS RATIONALE
The rating actions are primarily a result of the deleveraging of
the Class A-1 notes, and an increase in the transaction's over
collateralization (OC) ratios since July 2017.
The Class A-1 notes have paid down by approximately 6.7% or $19.3
million since July 2017, using principal proceeds from the
redemption of the underlying assets and the diversion of excess
interest proceeds. Based on Moody's calculations, the OC ratios for
the Class A-1, Class A-2 and Class B notes have improved to 179.7%,
138.5% and 107.1%, respectively, from July 2017 levels of 172.6%,
135.3% and 106.0%, respectively. The Class A-1 notes will continue
to benefit from the redemption of the underlying assets as well as
the diversion of excess interest once the Class C notes' deferred
interest balance is reduced to zero and as long as the Class C OC
test continues to fail.
Nevertheless, the credit quality of the underlying portfolio has
deteriorated since July 2017. According to Moody's calculations,
the weighted average rating factor (WARF) increased to 933 from 744
in July 2017.
Methodology Underlying the Rating Action
The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs," published in October 2016.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:
1) Macroeconomic uncertainty: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in the
general economy. Moody's has a stable outlook on the US banking
sector. Moody's maintains its stable outlook on the US insurance
sector.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's current
expectations could have a positive impact on the transaction's
performance. Conversely, asset credit performance weaker than
Moody's current expectations could have adverse consequences on the
transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and excess
interest proceeds will continue and at what pace. Note repayments
that are faster than Moody's current expectations could have a
positive impact on the notes' ratings, beginning with the notes
with the highest payment priority.
4) Exposure to non-publicly rated assets: The deal contains a large
number of securities whose default probability Moody's assesses
through credit scores derived using RiskCalc or credit estimates.
Because these are not public ratings, they are subject to
additional uncertainties.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Here is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Assuming a two-notch upgrade to assets with below-investment grade
ratings or rating estimates (WARF of 577)
Class A-1: +1
Class A-2: +1
Class B: +2
Assuming a two-notch downgrade to assets with below-investment
grade ratings or rating estimates (WARF of 1476)
Class A-1: -1
Class A-2: -2
Class B: -3
Loss and Cash Flow Analysis:
Moody's applied a Monte Carlo simulation framework in Moody's
CDOROM to model the loss distribution for TruPS CDOs. The simulated
defaults and recoveries for each of the Monte Carlo scenarios
defined the reference pool's loss distribution. Moody's then used
the loss distribution as an input in its CDOEdge cash flow model.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool as having a performing par and of $486.9 million,
defaulted par of $86.4 million, a weighted average default
probability of 10.22% (implying a WARF of 933), and a weighted
average recovery rate upon default of 10%.
In addition to the quantitative factors Moody's explicitly models,
qualitative factors are part of rating committee considerations.
Moody's considers the structural protections in the transaction,
the risk of an event of default, recent deal performance under
current market conditions, the legal environment and specific
documentation features. All information available to rating
committees, including macroeconomic forecasts, inputs from other
Moody's analytical groups, market factors, and judgments regarding
the nature and severity of credit stress on the transactions, can
influence the final rating decision.
The portfolio of this CDO contains mainly TruPS issued by small to
medium sized U.S. community banks and insurance companies that
Moody's does not rate publicly. To evaluate the credit quality of
bank TruPS that do not have public ratings, Moody's uses RiskCalc,
an econometric model developed by Moody's Analytics, to derive
credit scores. Moody's evaluation of the credit risk of most of the
bank obligors in the pool relies on the latest FDIC financial data.
For insurance TruPS that do not have public ratings, Moody's relies
on the assessment of its Insurance team, based on the credit
analysis of the underlying insurance firms' annual statutory
financial reports.
ALM VI: S&P Assigns Prelim B- (sf) Rating on Class E-R3 Notes
-------------------------------------------------------------
S&P Global Ratings assigned its preliminary rating to the class
A-1b-R3 replacement notes from ALM VI Ltd., a collateralized loan
obligation (CLO) originally issued in 2012 that is managed by
Apollo Credit Management (CLO) LLC. The replacement notes will be
issued via a proposed supplemental indenture. S&P previously
published its preliminary ratings on the class A-1-R3, A-2-R3,
B-1-R3, B-2-R3, C-R3, D-R3, and E-R3 notes on May 9, 2018, and
there is no impact on the preliminary ratings on the other
outstanding notes from the same transaction. The replacement class
A-1-R3 notes are expected to be split into sequential class A-1a-R3
and A-1b-R3 notes.
The preliminary rating reflects S&P's opinion that the credit
support available is commensurate with the associated rating
level.
The preliminary rating is based on information as of May 21, 2018.
Subsequent information may result in the assignment of ratings that
differ from the preliminary ratings.
On the June 1, 2018 refinancing date, proceeds from the issuance of
the replacement notes are expected to redeem the original notes. At
that time, S&P anticipates withdrawing the ratings on the original
notes and assigning ratings to the replacement notes. However, if
the refinancing doesn't occur, it may affirm the ratings on the
original notes and withdraw its preliminary ratings on the
replacement notes.
The replacement notes are being issued via a proposed supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, will also:
-- Replace the current floating spreads with lower floating
spreads.
-- Extend the reinvestment period by six months.
-- Extend the weighted average life test by two years.
-- Reestablish the non-call period through April 2019.
-- Issue additional class X senior floating-rate notes, which are
expected to be paid using interest proceeds in quarterly
installments beginning July 15, 2018.
Since S&P published its previous press release on ALM VI Ltd., the
expected spreads over LIBOR have also changed for the replacement
and new classes of notes, as reflected below.
CASH FLOW ANALYSIS RESULTS
Current date after proposed refinancing
Class Amount Interest BDR SDR Cushion
(mil. $) rate(%) (%) (%) (%)
X 1.75 LIBOR + 0.70 94.49 64.24 30.25
A-1a-R3 306.00 LIBOR + 0.89 72.51 64.24 8.27
A-1b-R3 15.50 LIBOR + 1.25 69.68 64.24 5.45
A-2-R3 51.50 LIBOR + 1.50 69.20 56.50 12.70
B-1-R3 29.50 LIBOR + 1.80 55.66 50.52 5.13
B-2-R3 15.00 LIBOR + 1.80 55.66 50.52 5.13
C-R3 23.00 LIBOR + 2.75 51.27 41.76 9.51
D-R3 20.00 LIBOR + 5.15 43.88 35.51 8.37
E-R3 14.50 LIBOR + 6.60 31.47 29.55 1.92
BDR--Break-even default rate. SDR--Scenario default rate.
ORIGINAL NOTES ISSUANCE
Class Amount (mil. $) Interest rate (%)
A-1-RR 321.50 LIBOR + 1.05
A-2-RR 51.50 LIBOR + 1.60
B-1-RR 29.50 LIBOR + 2.05
B-1-RR 15.00 LIBOR + 2.05
C-RR 23.00 LIBOR + 3.20
D-RR 20.00 LIBOR + 5.45
E-R 14.50 LIBOR + 6.60
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and will take further rating actions as
we deem necessary."
PRELIMINARY RATING ASSIGNED
ALM VI Ltd.
Replacement class Rating Amount (mil. $)
A-1b-R3 AAA (sf) 15.50
OTHER OUTSTANDING PRELIMINARY RATINGS
ALM VI Ltd.
Class Rating
X AAA (sf)
A-1-R3* AAA (sf)
A-2-R3 AA (sf)
B-1-R3 A (sf)
B-2-R3 A (sf)
C-R3 BBB- (sf)
D-R3 BB- (sf)
E-R3 B- (sf)
*The class A-1-R3 notes are expected to be split into class A-1a-R3
notes and the new A-1b-R3 notes and at this time there is no change
to the outstanding preliminary rating.
ALM XII: Moody's Assigns Ba3 Rating on Class D-R2 Notes
-------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
CLO refinancing notes issued by ALM XII, Ltd.:
Moody's rating action is as follows:
U.S.$2,476,000 Class X-R2 Senior Secured Floating Rate Notes due
2027 (the "Class X-R2 Notes"), Assigned Aaa (sf)
U.S.$492,750,000 Class A-1-R2 Senior Secured Floating Rate Notes
due 2027 (the "Class A-1-R2 Notes"), Assigned Aaa (sf)
U.S.$64,750,000 Class A-2a-R2 Senior Secured Floating Rate Notes
due 2027 (the "Class A-2a-R2 Notes"), Assigned Aa2 (sf)
U.S.$20,000,000 Class A-2b-R2 Senior Secured Floating Rate Notes
due 2027 (the "Class A-2b-R2 Notes"), Assigned Aa2 (sf)
U.S.$39,750,000 Class B-R2 Senior Secured Deferrable Floating Rate
Notes due 2027 (the "Class B-R2 Notes"), Assigned A2 (sf)
U.S.$40,000,000 Class C-1-R2 Senior Secured Deferrable Floating
Rate Notes due 2027 (the "Class C-1-R2 Notes"), Assigned Baa3 (sf)
U.S.$10,000,000 Class C-2-R2 Senior Secured Deferrable Floating
Rate Notes due 2027 (the "Class C-2-R2 Notes"), Assigned Baa3 (sf)
U.S.$41,000,000 Class D-R2 Secured Deferrable Floating Rate Notes
due 2027 (the "Class D-R2 Notes"), Assigned Ba3 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
Apollo Credit Management (CLO), LLC manages the CLO. It directs the
selection, acquisition, and disposition of collateral on behalf of
the Issuer.
RATINGS RATIONALE
Moody's ratings on the Refinancing Notes addresses the expected
losses posed to noteholders. The ratings reflect the risks due to
defaults on the underlying portfolio of assets, the transaction's
legal structure, and the characteristics of the underlying assets.
The Issuer has issued the Refinancing Notes on May 17, 2018 in
connection with the refinancing of all classes of the secured notes
previously issued on February 26, 2015 or refinanced on June 20,
2017. On the Refinancing Date, the Issuer used proceeds from the
issuance of the Refinancing Notes to redeem in full the Refinanced
Notes.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: adding a Class X-R2 Note, extending
the non-call period; changing certain collateral quality tests;
changing the interest diversion test trigger level; changing the
Asset Quality Matrix and Recovery Rate Modifier Matrix; adding
provisions regarding an Alternative Base Rate.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Performing par and principal proceeds balance: $767,993,495
Defaulted Par: $4,013,011
Diversity Score: 66
Weighted Average Rating Factor (WARF): 3300
Weighted Average Spread (WAS): 3.70%
Weighted Average Spread (WAC): 3.50%
Weighted Average Recovery Rate (WARR): 48.78%
Weighted Average Life (WAL): 6.50 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Refinancing Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Here is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Refinancing
Notes (shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Moody's Assumed WARF - 20% (from 3300 to 2640)
Rating Impact in Rating Notches
Class X-R2: 0
Class A-1-R2: 0
Class A-2a-R2: +1
Class A-2b-R2: +1
Class B-R2: +4
Class C-1-R2: +2
Class C-2-R2: +2
Class D-R2: +1
Moody's Assumed WARF + 20% (from 3300 to 3960)
Rating Impact in Rating Notches
Class X-R2: 0
Class A-1-R2: 0
Class A-2a-R2: -3
Class A-2b-R2: -3
Class B-R2: -2
Class C-1-R2: -2
Class C-2-R2: -2
Class D-R2: -1
AMCAR 2018-1: Fitch Assigns BB Rating on $28.13MM Class E Notes
---------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Outlooks to
the notes issued by AmeriCredit Automobile Receivables Trust 2018-1
(AMCAR 2018-1):
-- $181,000,000 class A-1 notes 'F1+sf';
-- $280,000,000 class A-2-A notes 'AAAsf'; Outlook Stable;
-- $70,000,000 class A-2-B notes 'AAAsf'; Outlook Stable;
-- $268,580,000 class A-3 notes 'AAAsf'; Outlook Stable;
-- $86,780,000 class B notes 'AAsf'; Outlook Stable;
-- $107,730,000 class C notes 'Asf'; Outlook Stable;
-- $105,940,000 class D notes 'BBBsf'; Outlook Stable;
-- $28,130,000 class E notes 'BBsf'; Outlook Stable.
KEY RATING DRIVERS
Consistent Credit Quality: The 2018-1 pool displays consistent
credit quality relative to recent pools based on the weighted
average (WA) Fair Isaac Corp. (FICO) score of 581 and internal
credit scores. Obligors with FICOs greater than 600 represent over
38% of the pool, the highest level for the platform, to date.
Increased Extended-Term Contracts: Extended-term (61+ month)
contracts total 92.2%, consistent with 2017 transactions but high
relative to the historical range for the platform. The 73-75 month
contracts total 6.5%, which is higher than prior transactions.
Performance data for these contracts are limited due to lack of
seasoning. However, the 73-75 month loans in this pool have
obligors with stronger credit metrics; given this fact and small
pool concentration, Fitch did not apply an additional stress to
these loans.
Sufficient Credit Enhancement: Initial hard credit enhancement (CE)
is consistent with 2017 transactions and totals 35.20%, 27.95%,
18.95%, 10.10% and 7.75% for classes A, B, C, D and E,
respectively. Excess spread is approximately 7.78% per annum,
slightly lower than 2017-4. Loss coverage for each class of notes
is sufficient to cover respective multiples of Fitch's base case
CNL proxy.
Moderating Performance: Losses on General Motors Financial's (GMF)
managed portfolio and securitizations have been moderating over the
past two years, with CNLs for 2015-2017 vintages tracking higher
than their 2010-2014 predecessors. This trend is more pronounced in
the weaker credit tiers; however, these borrowers comprise a
smaller portion of 2018-1 relative to prior transactions. Fitch
accounted for the weaker performance of recent vintages in the
derivation of its CNL proxy of 10.50%. There were no additional
adjustments to the proxy given generally stable economic
conditions.
Improving Corporate Health: Fitch rates GM and GMF 'BBB' with a
Stable Rating Outlook. The rating upgrade last year reflected the
ongoing fundamental improvement in the company's core business and
credit profile over the past several years.
Consistent Origination/Underwriting/Servicing: AFSI demonstrates
adequate abilities as originator, underwriter and servicer, as
evidenced by historical portfolio and securitization performance.
Fitch deems AFSI capable of adequately servicing the transaction.
Legal Structure Integrity: The legal structure of the transaction
should provide that a bankruptcy of GMF would not impair the
timeliness of payments on the securities.
RATING SENSITIVITIES
Unanticipated increases in the frequency of defaults and loss
severity on defaulted receivables could produce loss levels higher
than the base case. This, in turn, could result in Fitch taking
negative rating actions on the notes.
Fitch evaluated the sensitivity of the ratings assigned to AMCAR
2018-1 to increased credit losses over the life of the transaction.
Fitch's analysis found that the transaction displays some
sensitivity to increased defaults and credit losses. This shows a
potential downgrade of one to two rating categories under Fitch's
moderate (1.5x base case loss) scenario, especially for the
subordinate bonds. The notes could experience downgrades of three
or more rating categories, potentially leading to distressed
ratings (below Bsf) under Fitch's severe (2.5x base case loss)
scenario.
ARES XXXIR CLO: S&P Assigns BB-(sf) Rating on $53.1MM Class E Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Ares XXXIR CLO Ltd.'s
$1.0688 billion floating-rate notes. This is a reissue of Ares XXXI
CLO Ltd., which closed in April 2014 and was partially refinanced
in February 2017. The collateral manager is Ares CLO Management
LLC, a subsidiary of Ares Management L.P. (Ares).
The transaction replaces the current outstanding notes from Ares
XXXI CLO Ltd. through an optional redemption and issues new notes
through a newly created issuer, Ares XXXIR CLO Ltd. The new notes
are being issued with amended spreads and extended stated maturity
dates.
Ares XXXI CLO Ltd.'s outstanding notes are expected to be fully
redeemed on May 29, 2018. S&P will withdraw its rating on its class
A-1-R note at that time.
The ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
Ares XXXIR CLO Ltd./Ares XXXIR CLO LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 737.50
A-2 NR 81.20
B AA (sf) 131.30
C (deferrable) A (sf) 81.30
D (deferrable) BBB- (sf) 65.60
E (deferrable) BB- (sf) 53.10
Subordinated notes NR 108.55
ARROYO MORTGAGE 2018-1: S&P Assigns B(sf) Rating on Cl. B-2 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Arroyo Mortgage Trust
2018-1's $1.214 billion mortgage pass-through notes.
Since S&P published its presale on April 26, 2018, the underlying
mortgage loan collateral balance decreased because the cut-off date
rolled forward one month to May 1, 2018, and certain loans were
removed. As a result, the capital structure was updated, and the
initial credit enhancement levels, as a percentage, remained the
same. In addition, the master servicer and paying agent roles will
now be performed by Nationstar Mortgage LLC and Citibank N.A.,
respectively, rather than Wells Fargo Bank N.A.
The note issuance is a residential mortgage-backed securities
(RMBS) transaction backed by first-lien, fixed- and
adjustable-rate, fully amortizing residential mortgage loans (some
with interest-only periods) secured by single-family residential
properties, planned-unit developments, condominiums, and two- to
four-family residential properties to both prime and nonprime
borrowers. The loans are primarily non-qualified mortgage loans.
The ratings reflect S&P's view of:
-- The pool's collateral composition;
-- The credit enhancement provided for this transaction;
-- The transaction's associated structural mechanics;
-- The representation and warranty framework for this
transaction;
-- The geographic concentration; and
-- The mortgage aggregator, Western Asset Management Co. as
investment manager for Western Asset Opportunity Fund L.P.
RATINGS ASSIGNED
Arroyo Mortgage Trust 2018-1
Class Rating Amount ($)
A-1 AAA (sf) 962,029,000
A-2 AA (sf) 78,645,000
A-3 A (sf) 99,373,000
M-1 BBB (sf) 39,018,000
B-1 BB (sf) 22,557,000
B-2 B (sf) 12,802,000
B-3 NR 4,878,200
A-IO-S NR Notional(i)
XS NR Notional(i)
R NR N/A
(i)Notional amount will equal the aggregate stated principal
balance of the mortgage loans as of the first day of the related
due period.
N/A--Not applicable.
NR--Not rated.
BABSON 2014-I: Moody's Downgrades Class E Notes to B3
-----------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by Babson CLO Ltd. 2014-I:
U.S.$5,525,000 Class E Senior Secured Deferrable Floating Rate
Notes Due 2025, Downgraded to B3 (sf); previously on June 12, 2014
Definitive Rating Assigned B2 (sf)
Moody's also affirmed the ratings on the following notes:
U.S.$310,000,000 Class A-1-R Senior Secured Floating Rate Notes Due
2025, Affirmed Aaa (sf); previously on March 22, 2017 Assigned Aaa
(sf)
U.S.$64,100,000 Class A-2-R Senior Secured Floating Rate Notes Due
2025, Affirmed Aa1 (sf); previously on March 22, 2017 Assigned Aa1
(sf)
U.S.$25,450,000 Class B-R Senior Secured Deferrable Floating Rate
Notes Due 2025, Affirmed A1 (sf); previously on March 22, 2017
Assigned A1 (sf)
U.S.$33,000,000 Class C Senior Secured Deferrable Floating Rate
Notes Due 2025, Affirmed Baa3 (sf); previously on June 12, 2014
Definitive Rating Assigned Baa3 (sf)
U.S.$29,125,000 Class D Senior Secured Deferrable Floating Rate
Notes Due 2025, Affirmed Ba3 (sf); previously on June 12, 2014
Definitive Rating Assigned Ba3 (sf)
Babson CLO Ltd. 2014-I, issued in June 2014, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans. The transaction's reinvestment period will end in
July 2018.
RATINGS RATIONALE
The rating downgrade on the Class E notes is primarily due to
deterioration in the notes' overcollateralization (OC) coverage and
a decrease in the weighted average spread (WAS) of the underlying
loan portfolio since May 2017. Based on the trustee's April 2018
report, the Class E OC ratio, is currently reported at 105.16%,
versus the May 2017 level of 106.54%. Additionally, the WAS is
reported at 3.46%, versus the May 2017 level of 3.58%, and is
failing its test level of 3.60%. Based on Moody's calculation, the
total collateral par balance, including principal proceeds and
current defaults carried at market value, is $492.6 million, which
is $7.4 million less than the $500.0 million initial par amount
targeted during the deal's ramp-up.
The rating affirmations on the remaining rated notes reflect the
benefit of the shorter period of time remaining before the end of
the deal's reinvestment period, which offsets the decrease in WAS
and the deterioration of the OC ratios for these notes.
Methodology Underlying the Rating Action
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to
uncertainty about credit conditions in the general economy.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO documentation
by different transactional parties owing to embedded ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current expectations,
can lead to positive CLO performance. Conversely, a negative shift
in credit quality or performance of the collateral can have adverse
consequences for CLO performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will commence and at what pace. Deleveraging of the CLO
could accelerate owing to high prepayment levels in the loan market
and/or collateral sales by the manager, which could have a
significant impact on the notes' ratings. Note repayments that are
faster than Moody's current expectations will usually have a
positive impact on CLO notes, beginning with those with the highest
payment priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets could result in volatility in the deal's
overcollateralization levels. Further, the timing of recovery
realization and whether the Manager decides to work out or sell
defaulted assets create additional uncertainty. Realization of
recoveries that are either materially higher or lower than assumed
in Moody's analysis would impact the CLO positively or negatively,
respectively.
6) Post-Reinvestment Period Trading: Subject to certain
requirements, the deal can reinvest certain proceeds after the end
of the reinvestment period, and as such the manager has the ability
to erode some of the collateral quality metrics to the covenant
levels. Such reinvestment could affect the transaction either
positively or negatively.
7) Weighted Average Spread (WAS): CLO performance can be sensitive
to WAS, which is a key factor driving the amount of excess spread
available as credit enhancement when a deal fails its
over-collateralization or interest coverage tests. A decrease in
excess spread, including as a result of losing the net interest
benefit of LIBOR floors, or because market conditions make it
difficult for the deal to source assets of appropriate credit
quality in order to maintain its WAS target, would reduce the
effective credit enhancement available for the notes.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Here is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Moody's Adjusted WARF -- 20% (2293)
Class A-1-R: 0
Class A-2-R: 0
Class B-R: 2
Class C: 3
Class D: 1
Class E: 3
Moody's Adjusted WARF + 20% (3439)
Class A-1-R: 0
Class A-2-R: -2
Class B-R: -2
Class C: -2
Class D: -1
Class E: -3
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analyzed the collateral pool as having a performing par and
principal proceeds balance of $490,564,869, defaulted par of
$4,645,807 million, a weighted average default probability of
21.47% (implying a WARF of 2866), a weighted average recovery rate
upon default of 49.00%, a diversity score of 71 and a weighted
average spread of 3.46% (before accounting for LIBOR floors).
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of the
assets in the collateral pool. In each case, historical and market
performance and the collateral manager's latitude for trading the
collateral are also factors.
BACM 2004-3: Moody's Affirms Class H Certs at C
-----------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
in Banc of America Commercial Mortgage Inc. Commercial Mortgage
Pass-Through Certificates, Series 2004-3 as follows:
Cl. G, Affirmed Ba1 (sf); previously on Jun 1, 2017 Affirmed Ba1
(sf)
Cl. H, Affirmed C (sf); previously on Jun 1, 2017 Affirmed C (sf)
RATINGS RATIONALE
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 H was affirmed due to Moody's realized and
expected loss. Class H has already experienced a 26% realized loss
as a result of previously liquidated loans.
Moody's does not anticipate any further losses from the remaining
collateral. However, over the remaining life of the tranaction,
additional losses may emerge from macro stresses to the environment
and changes in collateral performance. Its ratings reflect the
potential for future losses under varying levels of stress. Moody's
base expected loss plus realized losses is now 4.2% of the original
pooled balance, compared to 4.5% at last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.
DEAL PERFORMANCE
As of the May 10, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 98.5% to $17.2
million from $1.2 billion at securitization. The certificates are
collateralized by two mortgage loans.
Seven loans have been liquidated from the pool, resulting in an
aggregate realized loss of $48.8 million (for an average loss
severity of 53.8%).
The two remaining performing loans represent 100% of the pool
balance. The largest loan is the Shops at Camp Lowell Loan ($9.3
million -- 54% of the pool), which is secured by an 85,000 SF
Bashas grocery anchored retail center located in Tucson, AZ. The
property was 96% leased to 15 tenants as of December 2017. The loan
has amortized over 19% since securitization and is scheduled to
mature in June 2019. Moody's LTV and stressed DSCR of 96.6% and
1.06X, respectively.
The other remaining loan is the Mountain View Marketplace Loan
($7.9 million -- 46% of the pool), which is secured by a 123,000 SF
Safeway anchored retail shopping center in Phoenix, AZ. The
property consists of two buildings that have a total of 36 units.
It was 76% leased as of December 2017, compared to 77% in December
2016. The property's occupancy has historically been in the upper
70% range since 2014. The largest tenant, Safeway Stores,
representing over 35% of the NRA, indicated they not renew their
lease that is scheduled to expire in July 2018. The loan has
amortized over 23% since securitization and is scheduled to mature
in April 2019. Moody's LTV and stressed DSCR of 107.2% and 0.98X,
respectively.
BRAEMAR 2018-PRME: DBRS Assigns Prov. BB Rating on Class E Certs
----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2018-PRME to
be issued by Braemar Hotels & Resorts Trust 2018-PRME:
-- Class A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at A (high) (sf)
-- Class X-CP at A (low) (sf)
-- Class X-EXT at A (low) (sf)
-- Class D at BBB (high) (sf)
-- Class E at BB (sf)
-- Class F at B (low) (sf)
The trends are Stable.
All classes will be privately placed. Classes X-CP and X-EXT are
notional.
The subject portfolio is secured by four full-service hotels,
managed under two different brands and three different flags in
four different cities: Seattle (361 keys; 31.0% of allocated loan
amount), San Francisco (410 keys; 26.7% of allocated loan amount),
Chicago (415 keys; 22.9% of allocated loan amount) and Philadelphia
(499 keys; 19.4% of allocated loan amount). The portfolio has a
combined room count of 1,685 keys. Management is provided by
Marriott International (Marriott) and Accor Hotel Group (Accor).
Both are global hospitality firms, with Marriott, the largest hotel
company in the world, managing more than 6,500 properties worldwide
and Accor managing over 4,200 properties. DBRS considers all of the
assets to be located in core urban markets with an abundance of
demand drivers for commercial and leisure purposes, with the San
Francisco location considered one step stronger yet as a
super-dense urban market. The $370.0 million subject mortgage loan,
along with $65.0 million of mezzanine debt, refinanced $344.3
million of existing debt, returned $60.8 million of sponsor equity,
funded reserves and covered closing costs of $29.9 million.
DBRS considers the subject properties to be in the range of Average
to Above Average in regard to property quality, depending on the
asset. Each property has not only been improved through capital
improvement projects, but has also been exceptionally maintained
over the years, as evidenced by the $61.6 million ($36,561 per key)
invested on the portfolio since 2013, including $37.6 million
($22,336 per key) spent over just the past two years. Furthermore,
sponsorship continues to show commitment to the portfolio, with the
two Courtyard by Marriott properties at the beginning stages of a
major renovation to re-flag the hotels to Marriott's luxury brand,
the Autograph Collection (Autograph). At a total estimated cost of
$46.8 million, split as $29.6 million ($72,525 per key) for the
Courtyard San Francisco Downtown and $17.2 million ($34,419 per
key) for the Courtyard Philadelphia Downtown, the conversions
should only benefit the portfolio by elevating the two hotels to
true full-service product with higher potential ADR and F&B
revenue, which DBRS did not recognize. The sponsor has reserved
$25.5 million upfront to cover the remaining 2018 budgeted PIP
costs for the two Courtyard hotels, with subsequent PIP items for
2019 escrowed at the beginning of that year.
The portfolio realized steady occupancy gains from 2011–2016 but
has since tailed off to an overall occupancy rate of 82.5% as of
the T-12 February 2018. DBRS occupancy rates vary by property and
market, and in each instance are in line with or below the asset's
seven-year historical average. This is demonstrated through the
portfolio's T-12 February 2018 RevPAR, which is relatively in line
with the YE2017 level but 3.4% and 1.6% below the YE2016 and YE2015
levels, respectively. With DBRS occupancy caps, the resulting DBRS
portfolio RevPAR of $180.69 is 3.8% below the T-12 February 2018
level and well below the previous few years, closer to the
portfolio RevPAR for YE2014 at $180.37.
Loan proceeds refinanced prior existing debt of $344.3 million that
was securitized across two separate CMBS transactions (MSC
2017-PRME and COMM 2014-FL4), providing for a large $60.8 million
cash-out to the sponsor. According to the April 2018 appraisals by
Cushman & Wakefield, the as-is value of the portfolio is $692.0
million ($410,682 per key), using an average cap rate of 6.1%. DBRS
applied a blended cap rate of 10.18% to the DBRS NCF, resulting in
a DBRS value of $360.7 million ($214,303 per key), a significant
47.9% discount to the appraiser's concluded value. The DBRS blended
cap rate was based on a range of cap rates from 9.75% to 10.5%,
taking into account the distinct markets in which each property
resides.
Classes X-CP and X-EXT are IO certificates that reference multiple
rated tranches. The IO ratings mirror 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.
BRAEMAR 2018-PRME: S&P Assigns Prelim 'B-' Rating on $56MM Certs
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Braemar
Hotels And Resorts Trust 2018-PRME's $370.0 million commercial
mortgage pass-through certificates.
The certificate issuance is a commercial-mortgage backed securities
transaction backed by one two-year, floating-rate commercial
mortgage loan with five, one-year extension options totaling $370.0
million, secured by a first-lien mortgage on the borrowers' fee
simple interests in four hotel properties.
The preliminary ratings are based on information as of May 18,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P views the collateral's
historical and projected performance, the sponsor's and managers'
experience, the trustee-provided liquidity, the loan's terms, and
the transaction's structure.
PRELIMINARY RATINGS ASSIGNED
Braemar Hotels And Resorts Trust 2018-PRME
Class Rating(i) Amount ($)
A AAA (sf) 117,705,000
X-CP(ii) BBB- (sf) 113,335,000(ii)
X-EXT(ii) BBB- (sf) 113,335,000(ii)
B AA- (sf) 41,610,000
C A- (sf) 30,875,000
D BBB- (sf) 40,850,000
E BB- (sf) 64,410,000
F B- (sf) 56,050,000
RR interest(iii) NR 18,500,000
(i)The issuer will issue the certificates to qualified
institutional buyers in line with Rule 144A of the Securities Act
of 1933.
(ii)Notional balance. The notional amount of the class X-CP and
C-EXT certificates will be reduced by the aggregate amount of
principal distributions and realized losses allocated to the class
B, C, and D certificates.
(iii)Non-offered vertical interest certificate.
NR--Not rated.
CANTOR COMMERCIAL 2012-CCRE3: Fitch Affirms B Rating on G Certs
---------------------------------------------------------------
Fitch Ratings has affirmed all classes of Cantor Commercial Real
Estate's COMM 2012-CCRE3 commercial mortgage pass-through
certificates. The Rating Outlook for one class has also been
revised to Negative from Stable.
KEY RATING DRIVERS
Stable Loss Projections: Fitch's base case loss expectations remain
in line with the last rating action and the pool's performance has
been stable overall. The pool continues to de-lever, with a
servicer-reported weighted-average (WA) LTV of 61.2% and a Fitch
stressed WA LTV of 84.4%. In comparison, the Fitch stressed WA LTV
was 95.6% at issuance. The Fitch stressed WA debt yield is 12.2%.
Sensitivity to Concentration and Sustainability Factors: The pool
is concentrated by property type with 42.5% of the pool backed by
retail properties. The pool is also concentrated by loan size as
the top 15 loans represent 80.4% of the pool balance. There are
four regional malls (34.1% of the pool) within the top 15, all of
which are situated in secondary or tertiary markets, and two of
which (16.4% of the pool) are designated as Fitch Loans of Concern.
Of these four malls, Fitch performed a sensitivity stress on three
(26.6% of the pool) based on a combination of declining performance
trends, weak anchor profiles and nearby competition.
Increased Credit Enhancement: The pool has experienced 18.5%
collateral reduction since issuance, resulting in increased credit
enhancement to the bonds. Five loans with a securitized balance of
$135.3 million have repaid from the trust since the last rating
action. Prior to that, four loans with a securitized balance of
$27.4 million had already repaid. No loans have defaulted or been
disposed for a loss since issuance. All of the outstanding debt is
scheduled to mature in 2022.
RATING SENSITIVITIES
Rating Outlooks for all but three classes are Stable due to overall
stable pool performance, stable loss expectations and continued
amortization. Future upgrades are possible with improved
performance to the largest assets, namely the regional malls
concentrated within the top 15 and additional unscheduled
amortization or defeasance. The Rating Outlook for classes E, F and
G are Negative as a result of high concentration of retail,
specifically regional malls, within the pool, their market
locations, anchor tenant profiles and sales trends. Fitch performed
a sensitivity stress to address this concentration, and the
Outlooks reflect the pool's ability to withstand these
sensitivities. Downgrades, although considered unlikely in the near
term, would be possible in the event that a material change to the
pool's performance significantly increase Fitch's base case loss
projections.
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.
Deutsche Bank is the trustee for the transaction and also serves as
the backup advancing agent. Fitch downgraded Deutsche Bank's Issuer
Default Rating to 'BBB+'/'F2' from 'A-'/'F1' on Sept. 28, 2017.
Fitch relies on the master servicer, Wells Fargo & Company
('A+'/'F1'), which is currently the advancing agent, as a direct
counterparty.
Fitch has affirmed the following ratings:
--$68.3 million class A-SB at 'AAAsf'; Outlook Stable;
--$576.3 million class A-3 at 'AAAsf'; Outlook Stable;
--$38 million class A-M at 'AAAsf'; Outlook Stable;
--$763.5 million* class X-A at 'AAAsf'; Outlook Stable;
--$24 million class B at 'AA-sf'; Outlook Stable;
--$8.5 million class C at 'Asf'; Outlook Stable;
--$150 million class PEZ at 'Asf'; Outlook Stable;
--$26.6 million class D at 'A-sf'; Outlook Stable;
--$43.8 million class E at 'BBB-sf'; Outlook revised to Negative
from Stable;
--$21.9 million class F at 'BBsf'; Outlook Negative;
--$20.3 million class G at 'Bsf'; Outlook Negative.
*Notional and interest-only
Fitch does not rate the class H and X-B certificates. Class A-1 and
A-2 have been paid in full. The class A-M, B and C certificates are
exchangeable with the class PEZ certificates and vice versa.
CARLYLE GLOBAL 2014-2-R: S&P Assigns B-(sf) Rating on Cl. E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Carlyle Global Market
Strategies CLO 2014-2-R Ltd./Carlyle Global Market Strategies CLO
2014-2-R LLC's $550.10 million floating-rate notes, which is a
reissuance of the Carlyle Global Market Strategies CLO 2014-2 Ltd.
Transaction.
The note issuance is a collateralized loan obligation (CLO)
transaction, and all of the underlying assets are being elevated to
the new issuer via participations.
The ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
Carlyle Global Market Strategies CLO 2014-2-R Ltd.
Class Rating Amount
(mil. $)
X AAA (sf) 5.00
A-1 AAA (sf) 374.00
A-2 NR 20.00
A-3 AA (sf) 60.00
B (deferrable) A (sf) 38.00
C (deferrable) BBB- (sf) 36.00
D (deferrable) BB- (sf) 24.00
E (deferrable) B- (sf) 13.10
Subordinated notes NR 51.00
NR--Not rated.
CD 2017-CD4: DBRS Confirms BB Rating on Class X-F Certs
-------------------------------------------------------
DBRS Limited confirmed all classes of the Commercial Mortgage
Pass-Through Certificates, Series 2017-CD4 issued by CD 2017-CD4
Mortgage Trust 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-M at AAA (sf)
-- Class X-A at AAA (sf)
-- Class V-A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class X-B at AA (low) (sf)
-- Class C at A (high) (sf)
-- Class V-BC at A (high) (sf)
-- Class X-D at BBB (high) (sf)
-- Class D at BBB (sf)
-- Class V-D at BBB (sf)
-- Class X-E at BBB (low) (sf)
-- Class E at BB (high) (sf)
-- Class X-F at BB (sf)
-- Class F at BB (low) (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction, which has generally remained in line with DBRS's
expectations since issuance. This transaction closed in May 2017,
with a trust balance of $900.5 million, composed of 47 fixed-rate
loans secured by 53 commercial properties. As of the April 2018
remittance, the pool has experienced a collateral reduction of 0.4%
since issuance due to scheduled loan amortization, with all loans
remaining in the pool. There are ten loans (28.5% of the pool
balance), including four of the top 15 loans (22.2% of the pool),
that were structured with full interest-only (IO) payment terms at
issuance. In addition, 18 loans (44.6% of the pool) were structured
with partial IO periods at issuance, all of which are still in a
partial IO period as of April 2018. Twenty-six loans (49.3% of the
pool) reported partial 2017 or YE2017 financials and based on those
figures, the weighted-average (WA) debt service coverage ratio
(DSCR) and debt yield was 1.57 times (x) and 8.7%, respectively. At
issuance, the WA DBRS Term DSCR and WA DBRS Debt Yield for the pool
was 1.58x and 9.1%, respectively.
As of the April 2018 remittance, there was one loan on the
servicer's watch list and no loans in special servicing. The loan
on the watch list, Los Angeles Corporate Center (Prospectus ID#4;
6.6% of the pool balance), is being monitored for covenant
compliance as the third largest tenant, SynerMed (representing
12.5% of net rentable area), failed to submit its February 2018
rental payment. As of November 2017, SynerMed announced that the
company will be discontinuing all operations in the near term and
according to the documents received at issuance, the tenant's
vacancy should have triggered a cash flow sweep for the loan. The
servicer has noted that a lockbox has been activated and DBRS has
requested a leasing update regarding SynerMed's space at the
subject.
At issuance, DBRS assigned an investment-grade shadow rating on two
loans, 95 Morton Street (Prospectus ID#1; 10.6% of the pool
balance) and Hilton Hawaiian Village Waikiki Beach Resort
(Prospectus ID#5; 6.3% of the pool balance). With this review, DBRS
confirmed that the performance of these loans remains consistent
with investment-grade loan characteristics.
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 applicable reference obligation
tranche adjusted upward by one notch if senior in the waterfall.
Notes: All figures are in U.S. dollars unless otherwise noted.
CITIGROUP 2006-C4: Moody's Affirms C Rating on Class E Debt
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two classes
and affirmed the ratings on two classes in Citigroup Commercial
Mortgage Trust 2006-C4 as follows:
Cl. B, Upgraded to Aaa (sf); previously on Jun 23, 2017 Affirmed
Baa1 (sf)
Cl. C, Upgraded to Ba1 (sf); previously on Jun 23, 2017 Affirmed
Ba2 (sf)
Cl. D, Affirmed Ca (sf); previously on Jun 23, 2017 Downgraded to
Ca (sf)
Cl. E, Affirmed C (sf); previously on Jun 23, 2017 Affirmed C (sf)
RATINGS RATIONALE
The ratings on the P&I classes were upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 22% since Moody's last
review.
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.
Moody's rating action reflects a base expected loss of 45% of the
current pooled balance, compared to 42% at Moody's last review.
Moody's base expected loss plus realized losses is now 8.8% of the
original pooled balance, compared to 8.7% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 63.6% 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 classes and the recovery
as a pay down of principal to the most senior classes.
DEAL PERFORMANCE
As of the May 17, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 96.8% to $72.0
million from $2.26 billion at securitization. The certificates are
collateralized by ten mortgage loans ranging in size from 5.4% to
40.8% of the pool. One loan, constituting 8.2% 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 four, compared to five at Moody's last review.
Twenty-nine loans have been liquidated from the pool, resulting in
an aggregate realized loss of $166.5 million (for an average loss
severity of 41.6%). Three loans, constituting 63.6% of the pool,
are currently in special servicing. The largest specially serviced
loan is the DuBois Mall loan ($29.4 million -- 40.8% of the pool),
which is secured by an enclosed mall and outparcels totaling
roughly 439,000 square feet (SF). The property is located in
Dubois, Pennsylvania, approximately 100 miles northeast of
Pittsburgh. The mall is anchored by Sears, JC Penney, Big Lots, By
The Room and Ross Dress for Less. As of December 2017, the total
property was 87% leased compared to 89% in December 2016. The loan
transferred to special servicing in May 2016 for maturity default.
Negotiations with the borrower will be dual tracked with
foreclosure.
The second largest specially serviced loan is the State &
Perryville Shopping Center loan ($11.7 million -- 16.2% of the
pool), which is secured by secured by a 111,000 SF anchored retail
shopping center in Rockford, Illinois, approximately 80 miles
northwest of Chicago. As of January 2018, the property was 48%
occupied following the bankruptcy and subsequent closure of
Gordman's. The loan transferred to special servicing in April 2017
due to imminent default. The borrower indicated they cannot support
the existing debt service obligations given the decreasing
occupancy.
The third largest specially serviced loan is the Highland Plaza
loan ($4.7 million -- 6.5% of the pool), which is secured by an
anchored retail shopping center in Highland, Indiana, approximately
28 miles southeast of Chicago. The property was 62% occupied as of
December 2017; property occupancy has suffered since Big Lots
(25,000 SF; 23% of the NRA) vacated their space. The loan was
previously modified in January 2017 and was extended 24 months from
its original maturity to March 2018.
Moody's has estimated an aggregate loss of $31.6 million (a 69%
expected loss based on a 100% probability default) from these
specially serviced loans.
Moody's received full year 2016 operating results for 100% of the
pool, and full or partial year 2017 operating results for 100% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 114%. 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 21.5% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.0%.
Moody's actual and stressed conduit DSCRs are 0.94X and 0.86X,
respectively. Moody's actual DSCR is based on Moody's NCF and the
loan's actual debt service. Moody's stressed DSCR is based on
Moody's NCF and a 9.25% stress rate the agency applied to the loan
balance.
The top three performing loans represent 22.9% of the pool balance.
The largest loan is the Walgreen's- Henderson, NV Loan ($6.8
million -- 9.4% of the pool), which is secured by a 14,500 SF
single tenant retail building in Henderson, Nevada. The property is
100% leased by Walgreens through April 2079. Moody's incorporated a
lit/dark analysis to account for the single tenant concentration.
The loan has amortized 14% since securitization and has an
anticipated repayment date (ARD) in January 2021. Moody's LTV and
stressed DSCR are 111% and 0.83X, respectively, the same as at the
last review.
The second largest loan is the G4 Portfolio Loan ($4.9 million --
6.8% of the pool), which is secured by three single tenant retail
buildings located in Texas, Ohio and Michigan. Two properties are
100% leased by Advanced Auto Parts and the remaining property is
leased to United Supermarket. The loan has amortized 14% since
securitization and has an anticipated repayment date (ARD) in
February 2021. Moody's LTV and stressed DSCR are 130% and 0.82X,
respectively, compared to 118% and 0.87X at the last review.
The third largest loan is the Parker Marketplace Loan ($4.8 million
-- 6.7% of the pool), which is secured by a single-story, three
building retail center totaling 29,652 SF. The property is located
in Parker, Colorado approximately 25 miles southeast of Denver. The
property is shadow anchored by a Safeway (not part of the
collateral) and consists of 16 tenants, ranging in size from 1,088
SF to 3,755 SF. The property was 100% leased as of September 2017.
Moody's LTV and stressed DSCR are 102% and 0.96X, respectively,
compared to 105% and 0.92X at the last review.
COMM 2012-CCRE2: Fitch Affirms 'Bsf' Rating on Class G Certs
------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of German American Capital
Corp.'s Wells Fargo Commercial Mortgage Trust commercial mortgage
pass-through certificates, series 2012-CCRE2 (COMM 2012-CCRE2).
KEY RATING DRIVERS
High Concentration of Fitch Loans of Concern: Fitch has designated
seven loans (23.4% of pool) as Fitch Loans of Concern (FLOCs),
including six of the top 15 loans (22.7%). The two largest FLOCs
are secured by regional malls (13%). Occupancy at the Chicago Ridge
Mall (7.2%) in Chicago Ridge, IL is expected to decline as
Carson's, an anchor tenant that is part of the loan collateral,
will close its store at the property by August 2018 as a result of
Bon-Ton's bankruptcy filing and announced liquidation plans.
Crossgates Mall (5.9%) in Albany, NY reported declining in-line and
anchor sales. Although there is limited term risk as performance
remains relatively stable, there are potential refinance concerns
at maturity due to a substantial amount of outstanding debt on the
Crossgates Mall property. Fitch performed an additional sensitivity
scenario, which assumed the potential for outsized losses on the
Chicago Ridge Mall and Crossgates Mall loans, and the Rating
Outlooks reflect this analysis.
Other FLOCs in the top 15 include Lakeside Square (2.9%), an
underperforming office property in Dallas, TX with a high
concentration of energy-related tenants that have filed bankruptcy;
Sentry Park West (2.6%), an underperforming office property in Blue
Bell, PA where occupancy has declined to 63.7% due to vacating
tenants; Canyon West (2.5%), a retail center in Lubbock, TX with
significant rollover concerns as over 30% of its NRA expires in
2018 and 2019; and Oakridge Court Shopping Center (1.7%), a retail
center in Algonquin, IL with a greater than 40% combined exposure
to Toys 'R' Us/Babies 'R' Us, which is expected to vacate by June
2018 following the retailer's bankruptcy filing and liquidation
plans. The FLOC outside of the top 15 (Marketplace at Oxnard; 0.7%)
was flagged for declining occupancy.
Increased Credit Enhancement: The rating affirmations reflect
increased credit enhancement to the classes, which help to offset
Fitch's increased loss expectations. Seven loans (6.2%) have been
defeased. One loan (Royal St. Charles; 0.7% of pool balance at
Fitch's June 2017 rating action) was repaid in full in September
2017, after failing to pay off at its schedule May 2017 maturity
date. There have been no realized losses since issuance.
Pool Concentrations: Loans secured by office properties represent
57.2% of the current pool balance and include nine of the top 15
loans (53.2%). Loans secured by retail properties represent 25.2%
of the current pool balance and include five of the top 15 loans
(19.7%), two of which are secured by regional malls (13%). The
Chicago Ridge Mall (7.2%) in Chicago Ridge, IL has exposure to
Sears and Kohl's as non-collateral anchors, and to Carson's as a
collateral anchor. The Crossgates Mall (5.9%) in Albany, NY has
exposure to Macy's and Lord & Taylor as non-collateral anchors, and
to JCPenney as a collateral anchor.
Amortization: As of the May 2018 distribution date, the pool's
aggregate principal balance has paid down by 15.6% to $1.12 billion
from $1.32 billion at issuance. The majority of the pool (45 loans;
83.4% of the pool) is currently amortizing. Three loans (16.7%) are
full-term interest-only.
RATING SENSITIVITIES
The Negative Rating Outlooks on classes E, F and G reflect
potential rating downgrades due to the high concentration of FLOCs,
including performance concerns on two regional malls. Rating
downgrades are possible if the performance of the FLOCs continues
to decline or with limited positive leasing momentum at these
properties. Fitch's additional sensitivity scenario incorporates a
25% loss on the Chicago Ridge Mall loan and a 25% loss on the
balloon balance of the Crossgates Mall loan to reflect the
potential for outsized losses. The Rating Outlooks on classes A-SB
through D remain Stable due to increasing credit enhancement and
expected continued paydown. Future rating upgrades may occur with
improved pool performance and additional defeasance or paydown.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed and revised Rating Outlooks on the following
classes as indicated:
--$73.1 million class A-SB at 'AAAsf'; Outlook Stable;
--$100 million class A-3 at 'AAAsf'; Outlook Stable;
--$546.3 million class A-4 at 'AAAsf'; Outlook Stable;
--$849.8 million class X-A* at 'AAAsf'; Outlook Stable;
--$77.6 million class A-M at 'AAAsf'; Outlook Stable;
--$52.8 million class A-M-PEZ** at 'AAAsf'; Outlook Stable;
--$37.3 million class B at 'AAsf'; Outlook Stable;
--$25.4 million class B-PEZ** at 'AAsf'; Outlook Stable;
--$25.5 million class C at 'Asf'; Outlook Stable;
--$17.4 million class C-PEZ** at 'Asf'; Outlook Stable;
--$23.1 million class D** at 'BBB+sf'; Outlook Stable;
--$51.2 million class E at 'BBB-sf'; Outlook to Negative from
Stable;
--$23.1 million class F at 'BBsf'; Outlook to Negative from
Stable;
--$23.1 million class G at 'Bsf'; Outlook to Negative from
Stable.
*Notional amount and interest-only.
**Up to the full certificate balance of the class A-M-PEZ, class
B-PEZ and class C-PEZ certificates and up to $9,363,000 in
certificate balance of the class D certificates may be exchanged
for class PEZ certificates. Class PEZ certificates may be exchanged
for up to the full certificate balance of the class A-M-PEZ, class
B-PEZ and class C-PEZ certificates and up to $9,363,000 in
certificate balance of the class D certificates.
Fitch does not rate the class X-B, PEZ, and H certificates. Classes
A-1 and A-2 have paid in full.
COMM 2015-PC1: DBRS Confirms BB(low) Rating on Class E Certs
------------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2015-PC1 issued by COMM 2015-PC1
Mortgage Trust 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-SB at AAA (sf)
-- Class A-M 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-C at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class X-D at BB (sf)
-- Class E at BB (low) (sf)
-- Class X-E at B (sf)
-- Class F at B (low) (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction, which has remained in line with DBRS's
expectations since issuance. At issuance, the pool consisted of 80
loans secured by 147 properties. As of the April 2018 remittance,
there has been a collateral reduction of 2.3% as a result of
scheduled amortization and one loan that prepaid, Prospectus ID
#68, 7 Carnegie Plaza (previously 0.38% of the pool). There are 70
loans, representing 60.9% of the current pool balance, that are
reporting YE2017 financials. Per the most recent year-end and
year-to-date financials available, the top 15 loans, which
collectively represent 48.3% of the pool, reported a
weighted-average (WA) debt service coverage ratio (DSCR) and debt
yield of 1.70 times (x) and 9.5%, respectively. Pool-wide, the
loans reported a WA DSCR of 1.81x as of the most recent year-end
financials available, compared to the WA DSCR of 1.74x for the
prior reporting cycle. The WA DBRS Term DSCR for the pool was 1.51x
at issuance.
Five loans, representing 5.5% of the pool, are on the servicer's
watch list. Four loans on the watch list (5.3% of the pool balance)
are being monitored for deferred maintenance. The remaining watch
listed loan, Prospectus ID#78, Quail Medical Building B, comprising
0.16% of the pool, is being monitored for a decline in occupancy.
The loan reported a Q3 2017 DSCR of 1.21x and an in-place debt
yield of 11.4%.
Classes X-A, X-B, X-C, X-D and X-E are interest-only (IO)
certificates that reference a single rated tranche or multiple
rated tranches. The IO rating mirrors the lowest-rated applicable
reference obligation tranche adjusted upward by one notch if senior
in the waterfall.
Notes: All figures are in U.S. dollars unless otherwise noted.
COMM 2018-COR3: Fitch Assigns 'B-sf' Rating on Class G-RR Certs
---------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to the German American Capital Corp.'s COMM Mortgage
Securities Trust 2018-COR3 commercial mortgage pass-through
certificates, series 2018-COR3:
--$11,703,000 class A-1 'AAAsf'; Outlook Stable;
--$17,303,000 class A-SB 'AAAsf'; Outlook Stable;
--$303,000,000 class A-2 'AAAsf'; Outlook Stable;
--$372,251,000 class A-3 'AAAsf'; Outlook Stable;
--$760,850,000a class X-A 'AAAsf'; Outlook Stable;
--$56,593,000 class A-M 'AAAsf'; Outlook Stable;
--$51,561,000 class B 'AA-sf'; Outlook Stable;
--$49,047,000 class C 'A-sf'; Outlook Stable;
--$51,561,000ab class X-B 'AA-sf'; Outlook Stable;
--$47,300,000ab class X-D 'BBB-sf'; Outlook Stable;
--$47,300,000b class D 'BBB-sf'; Outlook Stable;
--$11,807,000bc class E-RR 'BBB-sf'; Outlook Stable;
--$20,122,000bc class F-RR 'BBsf'; Outlook Stable;
--$18,864,000bc class G-RR 'B-sf'; Outlook Stable.
The following class is not rated by Fitch:
--$46,531,811bc class H-RR.
(a) Notional amount and interest only.
(b) Privately placed and pursuant to rule 144A.
(c) Horizontal risk retention (HRR) interest representing at least
5% of the estimated fair value of all classes of regular
certificates issued by the issuing entity.
Since Fitch published its expected ratings on April 30, 2018, the
balance of class D and the notional balance of class X-D decreased
from $47,340,000 to $47,300,000 and the class E-RR increased from
$11,767,000 to $11,807,000. The classes above reflect the final
ratings and deal structure.
The ratings are based on information provided by the issuer as of
April 30, 2018.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 41 loans secured by 44
commercial properties having an aggregate principal balance of
$1,006,082,811 as of the cut-off date. The loans were contributed
to the trust by German American Capital Corporation, JPMorgan Chase
Bank, National Association, LoanCore Capital Markets LLC and Citi
Real Estate Funding Inc.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 81.2% of the properties
by balance, cash flow analysis of 89.7%, and asset summary reviews
of 100% of the pool.
KEY RATING DRIVERS
Higher Fitch Leverage Relative to Recent Transactions: The
transaction has lower Fitch coverage and higher Fitch leverage
relative to recent Fitch-rated multiborrower transactions. The
pool's Fitch DSCR of 1.19x is below the 2018 year-to-date (YTD)
average of 1.25x and the 2017 average of 1.26x. The pool's Fitch
LTV of 109.2% is higher than the 2018 YTD average of 103.6% and the
2017 average of 101.6%, respectively.
Very Limited Amortization: Twenty-five loans (80.3% of the pool)
are full-term interest-only and eight (10.6% of the pool) are
partial interest-only. Based on the scheduled balance at maturity,
the pool will pay down by 2.9%, which is below the 2018 YTD average
of 7.4% and the 2017 average of 7.9%.
Investment-Grade Credit Opinion Loan: The fourth largest loan, 1001
North Shoreline (6.4% of the pool), has a credit opinion of
'BBB-sf*' on a stand-alone basis. The loan has a Fitch DSCR of
1.25x and Fitch LTV of 71%. Net of this loan, the pool's Fitch DSCR
and LTV are 1.18x and 111.6%, respectively.
RATING SENSITIVITIES
For this transaction, Fitch's NCF was 18.5% below the most recent
year's 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 COMM
2018-COR3 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'A-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBBsf'
could result.
CONNECTICUT AVE 2018-CO3: Fitch to Rate Several Note Classes
------------------------------------------------------------
Fitch Ratings expects to assign the following ratings and Rating
Outlooks to Fannie Mae's risk transfer transaction, Connecticut
Avenue Securities, series 2018-C03:
--$251,415,000 class 1M-1 notes 'BBB-sf'; Outlook Stable;
--$204,090,000 class 1M-2A notes 'BB+sf'; Outlook Stable;
--$201,132,000 class 1M-2B notes 'BB-sf'; Outlook Stable;
--$201,132,000 class 1M-2C notes 'Bsf'; Outlook Stable;
--$606,354,000 class 1M-2 exchangeable notes 'Bsf'; Outlook
Stable;
--$204,090,000 class 1A-I1 notional exchangeable notes 'BB+sf';
Outlook Stable;
--$204,090,000 class 1A-I2 notional exchangeable notes 'BB+sf';
Outlook Stable;
--$204,090,000 class 1A-I3 notional exchangeable notes 'BB+sf';
Outlook Stable;
--$204,090,000 class 1A-I4 notional exchangeable notes 'BB+sf';
Outlook Stable;
--$201,132,000 class 1B-I1 notional exchangeable notes 'BB-sf';
Outlook Stable;
--$201,132,000 class 1B-I2 notional exchangeable notes 'BB-sf';
Outlook Stable;
--$201,132,000 class 1B-I3 notional exchangeable notes 'BB-sf';
Outlook Stable;
--$201,132,000 class 1B-I4 notional exchangeable notes 'BB-sf';
Outlook Stable;
--$201,132,000 class 1C-I1 notional exchangeable notes 'Bsf';
Outlook Stable;
--$201,132,000 class 1C-I2 notional exchangeable notes 'Bsf';
Outlook Stable;
--$201,132,000 class 1C-I3 notional exchangeable notes 'Bsf';
Outlook Stable;
--$201,132,000 class 1C-I4 notional exchangeable notes 'Bsf';
Outlook Stable;
--$204,090,000 class 1E-A1 exchangeable notes 'BB+sf'; Outlook
Stable;
--$204,090,000 class 1E-A2 exchangeable notes 'BB+sf'; Outlook
Stable;
--$204,090,000 class 1E-A3 exchangeable notes 'BB+sf'; Outlook
Stable;
--$204,090,000 class 1E-A4 exchangeable notes 'BB+sf'; Outlook
Stable;
--$201,132,000 class 1E-B1 exchangeable notes 'BB-sf'; Outlook
Stable;
--$201,132,000 class 1E-B2 exchangeable notes 'BB-sf'; Outlook
Stable;
--$201,132,000 class 1E-B3 exchangeable notes 'BB-sf'; Outlook
Stable;
--$201,132,000 class 1E-B4 exchangeable notes 'BB-sf'; Outlook
Stable;
--$201,132,000 class 1E-C1 exchangeable notes 'Bsf'; Outlook
Stable;
--$201,132,000 class 1E-C2 exchangeable notes 'Bsf'; Outlook
Stable;
--$201,132,000 class 1E-C3 exchangeable notes 'Bsf'; Outlook
Stable;
--$201,132,000 class 1E-C4 exchangeable notes 'Bsf'; Outlook
Stable;
--$405,222,000 class 1E-D1 exchangeable notes 'BB-sf'; Outlook
Stable;
--$405,222,000 class 1E-D2 exchangeable notes 'BB-sf'; Outlook
Stable;
--$405,222,000 class 1E-D3 exchangeable notes 'BB-sf'; Outlook
Stable;
--$405,222,000 class 1E-D4 exchangeable notes 'BB-sf'; Outlook
Stable;
--$405,222,000 class 1E-D5 exchangeable notes 'BB-sf'; Outlook
Stable;
--$402,264,000 class 1E-F1 exchangeable notes 'Bsf'; Outlook
Stable;
--$402,264,000 class 1E-F2 exchangeable notes 'Bsf'; Outlook
Stable;
--$402,264,000 class 1E-F3 exchangeable notes 'Bsf'; Outlook
Stable;
--$402,264,000 class 1E-F4 exchangeable notes 'Bsf'; Outlook
Stable;
--$402,264,000 class 1E-F5 exchangeable notes 'Bsf'; Outlook
Stable;
--$405,222,000 class 1X-1 notional exchangeable notes 'BB-sf';
Outlook Stable;
--$405,222,000 class 1X-2 notional exchangeable notes 'BB-sf';
Outlook Stable;
--$405,222,000 class 1X-3 notional exchangeable notes 'BB-sf';
Outlook Stable;
--$405,222,000 class 1X-4 notional exchangeable notes 'BB-sf';
Outlook Stable;
--$402,264,000 class 1Y-1 notional exchangeable notes 'Bsf';
Outlook Stable;
--$402,264,000 class 1Y-2 notional exchangeable notes 'Bsf';
Outlook Stable;
--$402,264,000 class 1Y-3 notional exchangeable notes 'Bsf';
Outlook Stable;
--$402,264,000 class 1Y-4 notional exchangeable notes 'Bsf';
Outlook Stable;
The following classes will not be rated by Fitch:
-- $29,874,114,644 class 1A-H reference tranche;
-- $13,233,228 class 1M-1H reference tranche;
-- $10,742,091 class 1M-AH reference tranche;
-- $10,586,582 class 1M-BH reference tranche;
-- $10,586,582 class 1M-CH reference tranche;
-- $192,259,000 class 1B-1 notes;
-- $10,119,056 class 1B-1H reference tranche;
-- $155,675,428 class 1B-2H reference tranche.
The notes are general senior unsecured obligations of Fannie Mae
(AAA/Stable) subject to the credit and principal payment risk of
the mortgage loan reference pools of certain residential mortgage
loans held in various Fannie Mae-guaranteed MBS. The 'BBB-sf'
rating for the 1M-1 notes reflects the 4.05% subordination provided
by the 0.69% class 1M-2A, the 0.68% class 1M-2B, the 0.68% class
1M-2C, the 0.65% class 1B-1 and its corresponding reference
tranche, as well as the 0.50% 1B-2H reference tranche.
Connecticut Avenue Securities, series 2018-C03 (CAS 2018-C03) is
Fannie Mae's 26th risk transfer transaction issued as part of the
Federal Housing Finance Agency's Conservatorship Strategic Plan for
2013 to 2018 for each of the government sponsored enterprises
(GSEs) to demonstrate the viability of multiple types of risk
transfer transactions involving single-family mortgages.
The CAS 2018-C03 transaction consists of 127,544 loans with
loan-to-value (LTV) ratios greater than 60% and less than or equal
to 80%.
The notes are general senior unsecured obligations of Fannie Mae
but are subject to the credit and principal payment risk of a pool
of certain residential mortgage loans (reference pool) held in
various Fannie Mae-guaranteed MBS.
While the transaction structure simulates the behavior and credit
risk of traditional RMBS mezzanine and subordinate securities,
Fannie Mae will be responsible for making monthly payments of
interest and principal to investors based on the payment priorities
set forth in the transaction documents.
Given the structure and counterparty dependence on Fannie Mae,
Fitch's ratings on the 1M-1 and 1M-2 notes will be based on the
lower of: the quality of the mortgage loan reference pool and
credit enhancement (CE) available through subordination, or Fannie
Mae's Issuer Default Rating (IDR). The notes will be issued as
uncapped LIBOR-based floaters and carry a 12.5-year legal final
maturity. This will be an actual loss risk transfer transaction in
which losses borne by the noteholders will not be based on a fixed
loss severity (LS) schedule. The notes in this transaction will
experience losses realized at the time of liquidation or
modification that will include both lost principal and delinquent
or reduced interest.
Under the Federal Housing Finance Regulatory Reform Act, the
Federal Housing Finance Agency (FHFA) must place Fannie Mae into
receivership if it determines that Fannie Mae's assets are less
than its obligations for more than 60 days following the deadline
of its SEC filing, as well as for other reasons. As receiver, FHFA
could repudiate any contract entered into by Fannie Mae if the
termination of such contract would promote an orderly
administration of Fannie Mae's affairs. Fitch believes that the
U.S. government will continue to support Fannie Mae; this is
reflected in Fannie Mae's current rating. However, if at some
point, Fitch observes that support is reduced and receivership
likely, Fannie Mae's ratings could be downgraded and the
1M-1,1M-2A,1M-2B, and 1M-2C notes' ratings affected.
The 1M-1, 1M-2A, 1M-2B, 1M-2C and 1B-1 notes will be issued as
LIBOR-based floaters. Should the one-month LIBOR rate fall below
the applicable negative LIBOR trigger value described in the
offering memorandum, the interest payment on the interest-only
notes will be capped at the excess of: (i) the interest amount
payable on the related class of exchangeable notes for that payment
date over (ii) the interest amount payable on the class of
floating-rate related combinable and recombinable (RCR) notes
included in the same combination for that payment date. If there
are no floating-rate classes in the related exchange, then the
interest payment on the interest-only notes will be capped at the
aggregate of the interest amounts payable on the classes of RCR
notes included in the same combination that were exchanged for the
specified class of interest-only RCR notes for that payment date.
KEY RATING DRIVERS
High-Quality Mortgage Pool (Positive): The reference mortgage loan
pool consists of high-quality mortgage loans acquired by Fannie Mae
between Sept. 1, 2017 and Nov. 30, 2017. The reference pool will
consist of loans with loan-to-value (LTV) ratios greater than 60%
and less than or equal to 80%. Overall, the reference pool's
collateral characteristics are similar to recent CAS transactions
and reflect the strong credit profile of post-crisis mortgage
originations.
Solid Lender Review and Acquisition Processes (Positive): Fitch
found that Fannie Mae 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 Fannie Mae 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.
12.5-Year Hard Maturity (Positive): The notes benefit from a
12.5-year legal final maturity. Thus, any credit or modification
events on the reference pool that occur beyond year 12.5 are borne
by Fannie Mae and do not affect the transaction. Fitch accounted
for the 12.5-year hard maturity in its default analysis and applied
a reduction to its lifetime default expectations.
Clean Pay History for Loans in Disaster Areas (Positive): Fannie
Mae 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.
Solid Alignment of Interests (Positive): While the transaction is
designed to transfer credit risk to private investors, Fitch
believes that it benefits from a solid alignment of interests.
Fannie Mae will retain credit risk in the transaction by holding
the 1A-H senior reference tranche, which has an initial loss
protection of 4.05%, as well as the first loss 1B-2H reference
tranche, sized at 0.50%. Fannie Mae is also retaining a vertical
slice or interest of at least 5% in each reference tranche (1M-1H,
1M-AH, 1M-BH, 1M-CH and 1B-1H).
Limited Size and Scope of Third-Party Diligence (Neutral): Fitch
received third-party due diligence on a loan production basis, as
opposed to a transaction-specific review. Fitch believes that
regular, periodic third-party reviews (TPRs) conducted on a loan
production basis are sufficient for validating Fannie Mae's quality
control processes. Fitch views the results of the due diligence
review as consistent with its opinion of Fannie Mae as an
above-average aggregator; as a result, no adjustments were made to
Fitch's loss expectations based on due diligence.
HomeReady Exposure (Negative): Approximately 1.9% of the reference
pool was originated under Fannie Mae's HomeReady program, which
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
HomeReady loans due to measurable attributes (such as FICO, LTV and
property value), which is reflected in increased credit enhancement
(CE).
Receivership Risk Considered (Neutral): Under the Federal Housing
Finance Regulatory Reform Act, the Federal Housing Finance Agency
(FHFA) must place Fannie Mae into receivership if it determines
that Fannie Mae's assets are less than its obligations for more
than 60 days following the deadline of its SEC filing, as well as
for other reasons. As receiver, FHFA could repudiate any contract
entered into by Fannie Mae if it is determined that the termination
of such contract would promote an orderly administration of Fannie
Mae's affairs. Fitch believes that the U.S. government will
continue to support Fannie Mae; this is reflected in its current
rating of Fannie Mae. However, if, at some point, Fitch views the
support as being reduced and receivership likely, the ratings of
Fannie Mae could be downgraded and the 1M-1, 1M-2A, 1M-2B, 1M-2C,
and 1M-2 notes' ratings 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 metropolitan statistical area (MSA) and
national levels. The implied rating sensitivities are only an
indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to or be
considered in the surveillance of the transaction.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the model
projected sMVD. It indicates there is some potential rating
migration with higher MVDs, compared with the model projection.
Fitch also conducted defined rating sensitivities, which determine
the stresses to MVDs that would reduce a rating by one full
category, to non-investment grade and to 'CCCsf'. For example,
additional MVDs of 12%, 12% and 36% would potentially reduce the
'BBBsf' rated class down one rating category, to non-investment
grade, and to 'CCCsf', respectively.
COUNTRYWIDE COMMERCIAL 2007-MFI: Moody's Ups D Certs Rating to Caa1
-------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three
classes and upgraded the rating on one class in Countrywide
Commercial Mortgage Trust 2007-MF1, Commercial Pass-Through
Certificates, Series 2007-MF1, as follows:
Cl. D, Upgraded to Caa1 (sf); previously on May 25, 2017 Affirmed
Caa3 (sf)
Cl. E, Affirmed C (sf); previously on May 25, 2017 Affirmed C (sf)
Cl. F, Affirmed C (sf); previously on May 25, 2017 Affirmed C (sf)
Cl. G, Affirmed C (sf); previously on May 25, 2017 Affirmed C (sf)
RATINGS RATIONALE
The rating on the P&I class, Class D, was upgraded based primarily
on an increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 86% since Moody's last
review.
The rating on two P&I classes, Classes E and F, were affirmed
because the rating is consistent with Moody's expected loss.
The rating on the P&I class, Class G, was affirmed because the
rating is consistent with Moody's expected loss plus realized
losses. Class G has already experienced a 32% realized loss as
result of previously liquidated loans.
Moody's rating action reflects a base expected loss of 27.6% of the
current pooled balance, compared to 14.9% at Moody's last review.
Moody's base expected loss plus realized losses is now 7.3% of the
original pooled balance, compared to 8.8% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 55% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then applies the aggregate loss
from specially serviced to the most junior class(es) and the
recovery as a pay down of principal to the most senior class(es).
DEAL PERFORMANCE
As of the May 14, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 97.6% to $15.5
million from $639.9 million at securitization. The certificates are
collateralized by 10 mortgage loans ranging in size from less than
1% to 42.2% 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 four, compared to 12 at Moody's last review.
Three loans, constituting 18.3% 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.
Twenty-nine loans have been liquidated from the pool, resulting in
an aggregate realized loss of $42.3 million (for an average loss
severity of 50%). Two loans, constituting 55% of the pool, are
currently in special servicing. The largest specially serviced loan
is the Roland -- Plainfield & Brownsburg Loan ($6.5 million --
42.2% of the pool), which is secured by two assisted living
community complexes totaling 154 units. The loan transferred to the
Special Servicer in April 2016 due to delinquent payments. As per
the Special Servicer, a foreclosure sale is scheduled for June
2018.
The second loan in special servicing is the 87 East 53rd Street
Loan ($1.9 million -- 12.8% of the pool), which is secured by a 26
unit multifamily apartment building located in the East Flatbush
neighborhood of Brooklyn, New York. The loan was transferred to the
Special Servicer in July 2012 due to payment default, as the
borrower struggled to make monthly payments. As of June 2015 the
property was 100% occupied.
As of the May 14, 2018 remittance statement cumulative interest
shortfalls were $1.7 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 86% of the
pool, and full or partial year 2017 operating results for 66% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 74%, compared to 77% 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 10.3% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.31%.
Moody's actual and stressed conduit DSCRs are 1.64X and 1.33X,
respectively, compared to 1.43X and 1.33X 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 27.9% of the pool balance.
The largest loan is the 1125 East 18th Street Loan ($2.2 million --
14.2% of the pool), which is secured by a 56 unit, two building,
multifamily apartment complex located in Oakland, California. As of
December 2017, the property was 89% occupied, compared to 84%
occupied as of December 2016. The loan has amortized 11.9% since
securitization. Moody's LTV and stressed DSCR are 57.4% and 1.55X,
respectively, compared to 61.2% and 1.46X at the last review.
The second largest loan is the 514 Richmond Terrace Loan ($1.2
million -- 7.5% of the pool), which is secured by a five story,
mixed-use building containing 16 multifamily and three ground floor
commercial units. As per the January 2018 rent roll, the property
was 95% leased, compared to 100% leased as of December 2016. The
loan has amortized 14.3% since securitization. Moody's LTV and
stressed DSCR are 95.3% and 1.05X, respectively, compared to 97.5%
and 1.03X at the last review.
The third largest loan is the Foothill Boulevard Loan ($953,970 --
6.2% of the pool), which is secured by a 12 unit multifamily
complex located in Oakland, California. As per the April 2018 rent
roll, the property was 100% occupied. The loan has amortized 17%
since securitization. Moody's LTV and stressed DSCR are 75.3% and
1.22X, respectively, compared to 106.9% and 0.86X at the last
review.
CPS AUTO 2018-1: DBRS Finalizes BB(low) Rating on Class A Notes
---------------------------------------------------------------
DBRS, Inc. finalized its provisional rating on the following class
of notes issued by CPS Auto Securitization Trust 2018-1:
-- $40,000,000 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,
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 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 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 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 current credit
enhancement of 72.85% with initial hard credit enhancement of
74.73% provided by the Reserve Account (0.32%) and Measured Credit
Enhancement (74.41%). 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.
CSAIL 2016-C6: Fitch Says 5 Loans Have 'Loan of Concern' Status
---------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of Credit Suisse Commercial
Mortgage Trust's CSAIL 2016-C6 Commercial Mortgage Trust
Pass-Through Certificates.
KEY RATING DRIVERS
Overall Stable Performance and Loss Projections: The overall pool
performance remains stable and in line with expectations at
issuance, with minimal paydown or changes to credit enhancement.
There are no delinquent or specially serviced loans. Five loans
(8.5%) are considered Fitch loans of concern including the eighth-
(3.3%) and eleventh-largest (2.6%) loans in the pool and three
loans (2.6%) currently on the master servicer's watchlist.
Minimal Change to Credit Enhancement: As of the May 2018
distribution date, the pool's aggregate balance has been reduced by
0.6% to $762.5 million, from $767.5 million at issuance. At
issuance, based on the scheduled balance at maturity, the pool will
pay down 7.5%. Seven loans representing 41% of the pool are
full-term interest only, and 25 loans representing 40.4% of the
pool are partial interest only. The remainder of the pool consists
of 18 balloon loans representing 18.6% of the pool, with loan terms
of five to 10 years.
Fitch Loans of Concern: Five loans (8.5%) were designated as Fitch
loans of concern. The largest (3.3%) is a retail property located
in Rochester, NY with exposure to Toys 'R' Us. The largest tenant
is Value City Furniture (17%), the second largest tenant is Toys
'R' Us, which accounts for 16% NRA and 8% of the total rent, and
the third-largest tenant is AC Moore (8%). Fitch has inquired from
the master servicer as to whether there are any tenants with
co-tenancy clauses relating to Toys 'R' Us, but a response has not
been received. The property is currently 91.1% occupied with
expected future occupancy in the mid-70s. There is 3.2% upcoming
rollover in 2019 and 6.2% in 2020. The second largest FLOC (2.6%)
is a full-service hotel consisting of 184 rooms located in Burr
Ridge, IL. The year-end 2017 OSAR indicates a 43% NOI decline
compared with issuance. At issuance, the property was scheduled to
undergo a $6.7 MM property improvement plan (PIP). Questions to the
master servicer remain outstanding regarding NOI decline,
completion of PIP and rooms being offline. However, per the hotel's
website, it appears the renovations were completed in June 2017.
Per the March 2018 Smith Travel Research (STR) report, the property
is outperforming its competitive set with occupancy at 65.9%, ADR
of $147, and RevPAR of $97 compared with 65.4%, $131, and $86,
respectively, for its comp set. The loan may be removed from
Fitch's loan of concern list if the decline is the result of the
PIP and performance rebounds. Three loans (2.6%) are on the master
servicer's watchlist for declines in occupancy.
Pool and Loan Concentrations: The top-15 loans represent 73% of the
pool. There is limited retail exposure as 19.4% of the pool is
collateralized by retail properties. There is one regional mall:
Quaker Bridge Mall (8.7%) with exposure to troubled anchors Macy's,
Sears and JC Penney. None of these anchors are on a closing list.
RATING SENSITIVITIES
Rating Outlooks for all classes remain Stable due to overall stable
performance with no material changes to pool metrics since
issuance. Fitch does not foresee positive or negative ratings
migration until a material economic or asset-level event changes
the transaction's overall portfolio-level metrics.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
-$12.1 million class A-1 at 'AAAsf'; Outlook Stable;
--$67.7 million class A-2 at 'AAAsf'; Outlook Stable;
--$92.7 million class A-3 at 'AAAsf'; Outlook Stable;
--$128.5 million class A-4 at 'AAAsf'; Outlook Stable;
--$198.1 million class A-5 at 'AAAsf'; Outlook Stable;
--$33.2 million class A-SB at 'AAAsf'; Outlook Stable;
--$57.6 million class A-S at 'AAAsf'; Outlook Stable;
--$34.5 million class B at 'AA-sf'; Outlook Stable;
--$33.6 million class C at 'A-sf'; Outlook Stable;
--$42.2 million class D at 'BBB-sf'; Outlook Stable;
--$20.1 million class E at 'BB-sf'; Outlook Stable;
--$8.6 million class F at 'B-sf'; Outlook Stable;
--Interest-only class X-A at 'AAAsf'; Outlook Stable;
--Interest-only class X-B at 'AA-sf'; Outlook Stable;
--Interest-only class X-E at 'BB-sf'; Outlook Stable;
--Interest-only class X-F at 'B-sf'; Outlook Stable.
Fitch does not rate classes X-NR or class NR. The rating of class
X-D was previously withdrawn.
CSMC 2017-LSTK: Moody's Affirms Class HRR Certs at B1
-----------------------------------------------------
Moody's Investors Service has affirmed the ratings on eight classes
in CSMC Trust 2017-LSTK, Commercial Mortgage Pass-Through
Certificates, Series 2017-LSTK, as follows:
Cl. A, Affirmed Aaa (sf); previously on May 18, 2017 Definitive
Rating Assigned Aaa (sf)
Cl. B, Affirmed Aa3 (sf); previously on May 18, 2017 Definitive
Rating Assigned Aa3 (sf)
Cl. C, Affirmed A3 (sf); previously on May 18, 2017 Definitive
Rating Assigned A3 (sf)
Cl. D, Affirmed Baa3 (sf); previously on May 18, 2017 Definitive
Rating Assigned Baa3 (sf)
Cl. E, Affirmed Ba2 (sf); previously on May 18, 2017 Definitive
Rating Assigned Ba2 (sf)
Cl. HRR, Affirmed B1 (sf); previously on May 18, 2017 Definitive
Rating Assigned B1 (sf)
Cl. XA-CP, Affirmed Aaa (sf); previously on May 18, 2017 Definitive
Rating Assigned Aaa (sf)
Cl. XB-CP, Affirmed A2 (sf); previously on May 18, 2017 Definitive
Rating Assigned A2 (sf)
RATINGS RATIONALE
The ratings on the P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on the IO classes were affirmed based on the credit
quality of the referenced classes.
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 CSMC Trust 2017-LSTK, Cl.
A, Cl. B, Cl. C, Cl. D, Cl. E, and Cl. HRR was "Moody's Approach to
Rating Large Loan and Single Asset/Single Borrower CMBS" published
in July 2017. The methodologies used in rating CSMC Trust
2017-LSTK, Cl. XA-CP and Cl. XB-CP 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 May 7, 2018 distribution date, the transaction's
aggregate certificate balance was approximately $272.0 million, the
same as at securitization. The certificates are collateralized by a
single loan backed by the borrower's fee simple and leasehold
interests in land parcels beneath 885 Third Avenue in New York, NY,
also known as "The Lipstick Building". Fee simple collateral
includes Lot B, which is a 20,608 SF parcel that accounts for
approximately 79% of the acreage. Leasehold collateral includes Lot
A, which is a 5,500 SF parcel that accounts for the remaining 21%
of the acreage. Lot A is a "sandwich" ground lease where the
borrower is both the lessee of the owner of the land and the lessor
of the owner of the improvements. If the ground lease and
sub-ground leasehold rents are not paid by the improvements' owner,
the building would revert to the borrower. Ground lease payments
were initially $17.9 million, with an increase of 2.5% annually
until May 2020. There are no outstanding interest shortfalls or
losses to date.
Although The Lipstick Building itself does not serve as collateral
for the mortgage loan, Moody's considered a "look-through" to the
value of the non-collateral improvements. Moody's value for the
"look-through" analysis considered a partial lit/dark value blend
due the largest tenant, Latham & Watkins, accounting for
approximately 65% of the net rentable area. That tenant's lease
expires in June 2021. As of February 2017, the building was 96.6%
leased. Moody's loan to value (LTV) ratio and Moody's stressed debt
service coverage ratio (DSCR) are 99.6% and 0.66X, respectively.
DEEPHAVEN RESIDENTIAL 2018-2: S&P Gives B Rating on Cl. B-2 Notes
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S&P Global Ratings assigned its preliminary ratings to Deephaven
Residential Mortgage Trust 2018-2's $299.5 million mortgage-backed
notes.
The note issuance is a residential mortgage-backed securities
(RMBS) transaction backed by U.S. residential mortgage loans.
The preliminary ratings are based on information as of May 21,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The pool's collateral composition;
-- The credit enhancement provided for this transaction;
-- The transaction's associated structural mechanics;
-- The transaction's representation and warranty framework; and
-- The mortgage aggregator.
PRELIMINARY RATINGS ASSIGNED
Deephaven Residential Mortgage Trust 2018-2
Class Rating Type Amount
rate(ii) mil. $)(i)
A-1 AAA (sf) Senior Fixed 188,549,000
A-2 AA (sf) Senior Fixed 20,667,000
A-3 A (sf) Senior Fixed 39,388,000
M-1 BBB (sf) Mezzanine Fixed 18,121,000
B-1 BB (sf) Subordinate Fixed 13,628,000
B-2 B (sf) Subordinate Fixed 11,681,000
B-3 NR Subordinate Net WAC 7,488,954
XS NR Monthly excess cash flow (iv) Notional(iii)
A-IO-S NR Excess servicing (v) Notional(iii)
R NR Residual N/A N/A
(i)The collateral and structural information in this report
reflects the term sheet dated May 17, 2018. The preliminary ratings
address the ultimate payment of interest and principle.
(ii)Interest can be deferred on the classes. Fixed coupons are
subject to the pool's net WAC. Class B-3 equals net WAC.
(iii)Notional amount equals the loans' aggregate stated principal
balance.
(iv)Net WAC over classes with fixed coupons.
(v)Excess servicing strip minus compensating interest and advances
owned to the servicer.
WAC--Weighted average coupon.
N/A--Not applicable.
NR--Not rated.
DORCHESTER PARK: S&P Gives (P)B1 Rating on $8MM Cl. F-R Notes
-------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Dorchester
Park CLO DAC/Dorchester Park CLO LLC's $467.00 million
floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed primarily by broadly syndicated senior secured term loans.
The preliminary ratings are based on information as of May 22,
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
Dorchester Park CLO DAC/Dorchester Park CLO LLC
Class Rating Amount
(mil. $)
A-R AAA (sf) 324.50
B-R AA (sf) 57.25
C-R (deferrable) A (sf) 25.00
D-R (deferrable) BBB- (sf) 27.50
E-R (deferrable) BB- (sf) 24.75
F-R (deferrable) B- (sf) 8.00
Subordinated notes NR 45.94
NR--Not rated.
DRIVE AUTO 2018-2: S&P Assigns BB(sf) Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to Drive Auto Receivables
Trust 2018-2's $1.341 billion automobile receivables-backed notes.
The note issuance is an asset-backed securities (ABS) transaction
backed by subprime auto loan receivables.
The ratings reflect:
-- The availability of approximately 64.8%, 58.1%, 47.8%, 38.1%,
and 35.0% of credit support for the class A (consisting of classes
A-1, A-2, and A-3), B, C, D, and E notes, respectively, based on
stressed cash flow scenarios (including 100% credit to excess
spread), which provide coverage of approximately 2.35x, 2.10x,
1.70x, 1.35x, and 1.23x for our 26.50%-27.50% expected cumulative
net loss. These break-even scenarios cover total cumulative gross
defaults of approximately 92%, 83%, 68%, 58%, and 54%,
respectively.
-- The timely interest and principal payments made under stressed
cash flow modeling scenarios are appropriate to the assigned
ratings.
-- S&P said, "The expectation that under a moderate ('BBB') stress
scenario (1.35x our expected loss level), all else being equal, our
ratings on the class A and B notes will remain at the assigned 'AAA
(sf)' and 'AA (sf)' ratings, respectively; our rating on the class
C notes would not likely decline by more than one rating category
of the assigned 'A (sf)' rating; and our rating on the class D
notes would likely not decline by more than two rating categories
of the assigned 'BBB (sf)' rating while they are outstanding. The
class E notes will likely remain within two rating categories of
the assigned 'BB (sf)' rating during the first year but will
eventually default under our 'BBB' stress scenario, after having
received approximately 46% of its principal in our front-loaded
stress and approximately 96% of its principal in our back-loaded
stress. These rating movements are within the limits specified by
our credit stability criteria.
-- The originator/servicer's history in the subprime/specialty
auto finance business.
-- S&P's analysis of 10 years of static pool data on Santander
Consumer USA Inc.'s lending programs.
-- The transaction's payment and credit enhancement and legal
structures.
RATINGS ASSIGNED
Drive Auto Receivables Trust 2018-2
Class Rating Interest Amount
rate (mil. $)
A-1 A-1+ (sf) Fixed 155.00
A-2 AAA (sf) Fixed 327.00
A-3 AAA (sf) Fixed 126.75
B AA (sf) Fixed 186.12
C A (sf) Fixed 236.51
D BBB (sf) Fixed 237.32
E BB (sf) Fixed 72.34
DRYDEN 55 CLO: S&P Assigns Prelim B- (sf) Rating on Class F Notes
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S&P Global Ratings assigned its preliminary ratings to Dryden 55
CLO Ltd.'s $501.50 million floating-rate notes.
The note issuance is a collateralized loan obligation (CLO)
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 May 17,
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
Dryden 55 CLO Ltd.
Class Rating Amount
(mil. $)
X AAA (sf) 5.50
A-1 AAA (sf) 332.50
A-2 NR 20.75
B AA (sf) 72.00
C (deferrable) A (sf) 29.50
D (deferrable) BBB- (sf) 33.00
E (deferrable) BB- (sf) 18.00
F (deferrable) B- (sf) 11.00
Subordinate notes NR 41.0
NR--Not rated.
EDUCATIONAL LOAN 2006-1: S&P Puts Rating on B-1 Debt on Watch Pos.
------------------------------------------------------------------
S&P Global Ratings affirmed its 'AA+ (sf)' ratings on the senior
class A-2 and A-3 notes and placed on CreditWatch with positive
implications the 'CCC (sf)' rating on the subordinate class B-1
notes from Educational Loan Co. Trust I's series 2006-1, an
asset-backed securities transaction backed by a pool of student
loans originated through the U.S. Department of Education's (ED's)
Federal Family Education Loan Program (FFELP).
S&P said, "We considered the transaction's collateral performance,
changes in credit enhancement, and capital and payment structures
in our review. We also considered secondary credit factors, such as
credit stability and an issuer-specific analysis.
"We affirmed our 'AA+ (sf)' ratings on the senior class A-2 and A-3
notes because the credit enhancement is sufficient for the current
rating level. The trust's senior parity level has increased to
119.4%, up 8.7% from our prior review in December 2015. The
increase in parity is partly attributable to the fact that the
senior notes have been receiving 100% of principal repayments since
inception. The increase is also due to the recovery of funds in
settlement between the issuer and administrator of a dispute
regarding a past interest overpayment to the noteholders.
Additionally, the affirmation considers the transaction structure,
which may release and/or repay the class B-1 notes before the class
A-2 and A-3 notes, such that senior parity may drop below its
current level. However, the transaction structure cannot repay the
class B-1 notes before the class A-2 and A-3 notes unless senior
parity and total parity would be at least 106% and 101%,
respectively. The minimum senior parity requirement of 106% would
be sufficient to support the senior notes at the current rating
level.
"We placed on CreditWatch with positive implications the 'CCC (sf)'
rating on the subordinate class B-1 notes because total parity has
increased to 101.0%, up 2.9% from our prior review in December
2015. The increase is primarily due to the recovery of the
aforementioned funds. Before the recovery, total parity had
remained consistently under 100% since inception and largely flat
at around 98% since the prior review in December 2015. Given the
increase in parity, the class B-1 notes are not as vulnerable to
nonpayment as they were when total parity was less than 100%."
COLLATERAL
Loan Status (% of total loans)
October October October March
2015 2016 2017 2018
Repayment (current) 87.9 89.9 89.6 91.5
Repayment (delinquent) 3.3 2.7 2.6 1.7
Claim filed 0.3 0.1 0.2 0.1
Deferment 3.8 3.2 2.9 2.7
Forbearance 4.8 4.1 4.8 4.0
The collateral pool consists of Consolidation loans that have been
serviced according to FFELP guidelines and supported by a guarantee
from the ED. The guarantee reimburses at least 97% of a defaulted
loan's principal and interest. Accordingly, net losses are expected
to be minimal.
S&P said, "The amount of loans in nonpaying status (delinquent,
claim filed, deferment, and forbearance) has declined since our
prior review in December 2015. Approximately 8.5% of the loans are
in nonpaying status. The nonpaying loans (excluding delinquencies)
meet FFELP guidelines, which allow them to be placed in a loan
status that does not require the borrower to make his/her full
payments at this time. Generally, nonpaying loans will either
return to current status and make scheduled loan payments or will
default and receive the ED reimbursement of at least 97% of the
loans' principal and accrued interest."
PAYMENT STRUCTURE AND CREDIT ENHANCEMENT(i)
Current Note Reported
balance factor Coupon Maturity parity Parity
Series Class ($) (%) date (%) trend
2006-1 A-2 65,400,000 65.4 ARS Aug. 2041 119.4 Increasing
2006-1 A-3 44,300,000 44.3 ARS Aug. 2041 119.4 Increasing
2006-1 B-1 20,000,000 100.0 ARS Aug. 2041 101.0 Stable
(i)As of March 2018.
ARS--Auction-rate securities.
The class A-2 and A-3 notes constitute approximately 84.6% of the
total outstanding notes, with the remaining 15.4% class B-1 notes.
All of the notes are auction-rate securities (ARS). In a failed
auction scenario, the trust documents stipulate that the ARS pay
interest at the maximum auction rate.
The trust structure allows for optional redemptions of all the
notes with the stipulation that optional redemptions of the
subordinate notes before the senior notes may occur so long as
senior parity and total parity would be at least 106% and 101%,
respectively. Releases of excess funds to the issuer are also
permitted, so long as total parity would be at least 101% and
overcollateralization greater than $1.5 million.
The notes benefit from subordination (for the senior class A-2 and
A-3 notes), overcollateralization (parity), a reserve fund, and
excess spread. The reserve fund is required to be maintained at the
greater of 1.0% of the total note balance and $750,000. The reserve
fund is available to cover any interest shortfalls if available
funds are insufficient, as well as make principal payments on the
notes' respective legal final maturity dates. The reserve fund is
currently fully funded.
S&P will continue to evaluate the impact of the increased total
parity relative to its rating on the class B-1 notes and update the
market on the outcome of its analysis once it completes the
review.
RATINGS AFFIRMED
Educational Loan Co. Trust I (Series 2006-1)
Class Rating
A-2 AA+ (sf)
A-3 AA+ (sf)
RATING PLACED ON CREDITWATCH POSITIVE
Educational Loan Co. Trust I (Series 2006-1)
Class Rating
B-1 CCC (sf)/Watch Pos
FLAGSHIP CREDIT 2018-2: S&P Assigns BB-(sf) Rating on Cl. E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Flagship Credit Auto
Trust 2018-2's $223.06 million automobile receivables-backed
notes.
The note issuance is an asset-backed securities (ABS) transaction
backed by subprime auto loan receivables.
The ratings reflect:
-- The availability of approximately 47.4%, 40.3%, 31.1%, 24.4%,
and 20.8% credit support (including excess spread) for the class A,
B, C, D, and E notes, respectively, based on stressed cash flow
scenarios. These credit support levels provide coverage of
approximately 3.50x, 3.00x, 2.30x, 1.75x, and 1.40x S&P's
12.50%-13.00% expected cumulative net loss (CNL) range for the
class A, B, C, D, and E notes, respectively. These break-even
scenarios cover total cumulative gross defaults (using a recovery
assumption of 40%) of approximately 79%, 67%, 52%, 41%, and 35%,
respectively.
-- The timely interest and principal payments made under stressed
cash flow modeling scenarios that are appropriate to the assigned
ratings.
-- S&P said, "The expectation that under a moderate ('BBB') stress
scenario, all else being equal, our ratings on the class A and B
notes would not be lowered by more than one rating category from
our 'AAA (sf)' and 'AA (sf)' ratings, respectively, throughout the
transaction's life, and our ratings on the class C and D notes
would not be lowered more than two rating categories from our 'A
(sf)' and 'BBB (sf)' ratings, respectively. The rating on the class
E notes would remain within two rating categories of our 'BB- (sf)'
rating within the first year, but the class would eventually
default under the 'BBB' stress scenario after receiving 52%-58% of
its principal. The above rating movements are within the
one-category rating tolerance for 'AAA' and 'AA' rated securities
during the first year and three-category tolerance over three
years; a two-category rating tolerance for 'A', 'BBB', and 'BB'
rated securities during the first year; and a three-category
tolerance for 'A' and 'BBB' rated securities over three years. The
'BB' rated securities are permitted to default under a 'BBB' stress
scenario."
-- The credit enhancement in the form of subordination,
overcollateralization, a reserve account, and excess spread.
-- The characteristics of the collateral pool being securitized.
-- The transaction's payment and legal structures.
RATINGS ASSIGNED
Flagship Credit Auto Trust 2018-2
Class Rating Type Interest Amount Legal final
rate(%) (mil. $)(i) maturity
A AAA (sf) Senior 2.97 137.79 Oct. 17, 2022
B AA (sf) Subordinate 3.56 23.71 May 15, 2023
C A (sf) Subordinate 3.89 27.67 Sep. 16, 2024
D BBB (sf) Subordinate 4.23 20.90 Sep. 16, 2024
E BB- (sf) Subordinate 5.51 12.99 Nov. 17, 2025
(i)At least 5% of the initial principal amount of each class of the
notes will be retained by the sponsor or a majority-owned affiliate
thereof.
FREDDIE MAC: Fitch Assigns 'BB' Ratings on Class M Notes
--------------------------------------------------------
Fitch Ratings rates Freddie Mac's Structured Agency Credit Risk
Trust 2018-HRP1 (STACR 2018-HRP1) as follows:
$181,000,000 class M-2A notes 'BB+sf'; Outlook Stable;
$181,000,000 class M-2B notes 'BB-sf'; Outlook Stable;
$362,000,000 class M-2 exchangeable notes 'BB-sf'; Outlook Stable;
$362,000,000 class M-2I notional exchangeable notes 'BB-sf';
Outlook Stable;
$362,000,000 class M-2R exchangeable notes 'BB-sf'; Outlook
Stable;
$362,000,000 class M-2S exchangeable notes 'BB-sf'; Outlook
Stable;
$362,000,000 class M-2T exchangeable notes 'BB-sf'; Outlook
Stable;
$362,000,000 class M-2U exchangeable notes 'BB-sf'; Outlook
Stable;
$181,000,000 class M-2AI notional exchangeable notes 'BB+sf';
Outlook Stable;
$181,000,000 class M-2AR exchangeable notes 'BB+sf'; Outlook
Stable;
$181,000,000 class M-2AS exchangeable notes 'BB+sf'; Outlook
Stable;
$181,000,000 class M-2AT exchangeable notes 'BB+sf'; Outlook
Stable;
$181,000,000 class M-2AU exchangeable notes 'BB+sf'; Outlook
Stable;
$181,000,000 class M-2BI notional exchangeable notes 'BB-sf';
Outlook Stable;
$181,000,000 class M-2BR exchangeable notes 'BB-sf'; Outlook
Stable;
$181,000,000 class M-2BS exchangeable notes 'BB-sf'; Outlook
Stable;
$181,000,000 class M-2BT exchangeable notes 'BB-sf'; Outlook
Stable;
$181,000,000 class M-2BU exchangeable notes 'BB-sf'; Outlook
Stable.
Fitch will not be rating the following classes:
$27,774,631,154 class A-H reference tranche;
$72,708,459 class M-1H reference tranche;
$73,479,605 class M-2AH reference tranche;
$73,479,605 class M-2BH reference tranche;
$259,000,000 class B-1 notes;
$104,542,293 class B-1H reference tranche;
$259,000,000 class B-2 notes;
$104,542,293 class B-2H reference tranche.
The 'BB+sf' rating for the M-2A notes reflects the 3.375%
subordination provided by the 0.875% class M-2B notes, the 1.25%
class B-1 notes, the 1.25% class B-2 notes and their corresponding
reference tranches. The 'BB-sf' rating for the M-2B notes reflects
the 2.50% subordination provided by the 1.25% class B-1 notes, the
1.25% class B-2 notes and their corresponding reference tranches.
This is the second transaction issued through Freddie Mac's STACR
shelf backed by a reference pool of loans originated through
Freddie Mac's Relief Refinance Program (RRP).
The transaction will simulate the behavior of an approximately
$29.08 billion pool of mortgages (reference pool) that Freddie Mac
acquired. Unlike the prior transaction, the notes issued will not
be general unsecured obligations of Freddie Mac (AAA/Stable).
Rather, the notes will be issued from a special-purpose trust whose
security interest consists of the custodian account and a credit
protection agreement with Freddie Mac.
Funds in the custodian account will be used to pay principal on the
notes and to make payments to Freddie Mac for mortgage loans that
experience certain credit events. The notes will be issued as
LIBOR-based floaters and carry a 25-year legal final maturity.
Freddie Mac is responsible for making interest payments through a
credit protection agreement with the trust.
KEY RATING DRIVERS
Seasoned Performing Loans (Positive): The reference pool consists
of 163,624 fixed-rate, fully amortizing loans with terms of 241-360
months, totaling approximately $29.08 billion, acquired by Freddie
Mac between Jan. 1, 2012 and March 31, 2013. The pool is seasoned
over five years with a weighted average (WA), non-zero, updated
credit score of 745 and a WA original loan-to-value ratio (LTV) of
120%, compared to 98% for STACR-2017-HRP1. Roughly 96% of the pool
has been current for the prior 36 months with only 2.5%
experiencing a delinquency seven to 24 months ago.
Positive Borrower Selection (Positive): The borrowers in the
reference pool have weathered a severe economic stress with minimal
delinquencies, showing a strong willingness and ability to pay.
Loans were originated under Freddie Mac's RRP (including the Home
Affordable Refinance Program [HARP], which is FHFA's name for
Freddie Mac's RRP for mortgages with an LTV greater than 80%).
Through the refinance programs, the borrowers have continued to
perform on their mortgages as rising home prices have rebuilt
equity in their homes. The current mark-to-market (MtM) combined
loan to value (CLTV) ratio has improved to 85% from 127% at the
time of the relief refinance loan.
Missing Updated Property Values (Negative): Over 22% consists of
properties where Freddie Mac's Home Value Explorer (HVE) value is
unavailable. This population includes properties located in major
disaster areas as well as areas the HVE tool has insufficient
information on (i.e. properties located in rural areas). As a
policy, Freddie Mac is not obtaining HVE values for properties
located in FEMA major disaster areas, with the exception of Orange
County, CA, until more information is obtained relating to the
status. Because the loans have had relatively clean pay histories
following the events, Fitch applied a small price appreciation
benefit.
Servicing Defect Removals (Positive): Similar to the STACR DNA and
HQA transactions, this transaction will include provisions where
the loan will be removed from the reference pool if the servicer
does not materially comply with Freddie Mac's servicer guide.
Relative to an unseasoned pool, Fitch places less emphasis on the
risk of manufacturing defects with this pool, and greater emphasis
on the servicer's ability to maintain its right to foreclose on the
property.
Mortgage Insurance Guaranteed by Freddie Mac (Positive): 20.8% of
the loans are covered either by borrower-paid mortgage insurance
(BPMI) or lender-paid MI (LPMI). Freddie Mac will guarantee the MI
coverage amount. While the Freddie Mac guarantee allows for credit
to be given to MI, Fitch applied a haircut to the amount of BPMI
available due to the automatic termination provision as required by
the Homeowners Protection Act, when the loan balance is first
scheduled to reach 78%. LPMI does not automatically terminate and
remains for the life of the loan.
Mortgage Payment Reduction (Positive): On average, the borrower's
mortgage payments were reduced by 23% in the reference pool.
Acknowledging HARP and RRP's mandate to provide the borrower a
mortgage with better terms, Fitch applied a small benefit to its
loss expectations to account for the lower mortgage payment post
refinancing and the potentially lower debt-to-income (DTI) ratios
compared to pre-HARP and RRP DTIs, which was used in Fitch's
analysis. This benefit has an impact of 10bps at the 'BBBsf' loss
level.
Solid Alignment of Interests (Positive): While the transaction is
designed to transfer credit risk to private investors, Fitch
believes the transaction benefits from solid alignment of
interests. Freddie Mac will retain credit risk in the transaction
by holding the A-H and M-1H reference tranches. Freddie Mac will
also retain a minimum of 5% of each of the M-2A, M-2B, B-1 and B-2
notes and corresponding reference tranches in aggregate.
CRITERIA APPLICATION
Fitch's analysis incorporated five criteria variation from "U.S.
RMBS Seasoned, Re-Performing and Non-Performing Loan Rating
Criteria," and one criteria variation from "U.S. RMBS Loan Loss
Model Criteria".
The first variation to the "U.S. RMBS Seasoned, Re-Performing and
Non-Performing Loan Criteria" is that a review of the loan-level
pay history provided by Freddie Mac was not conducted by a
third-party reviewer. Fitch considered this as a non-material
variation since Freddie Mac's servicer oversight process is robust
with sufficient controls in place to assure the accuracy of the pay
histories provided.
An updated tax and title review was not conducted, resulting in the
second variation. Fitch views this variation as non-material since
the servicer provides a rep and warranty that it will maintain
clear title to the loans, per Freddie Mac's servicing guide. If the
servicer is found to be in violation of the servicing guidelines,
it would be considered a servicing defect and the loans would be
removed from the pool.
The third criteria variation is due to the custodial exception
report not being provided. Per Freddie Mac's servicer guide, the
servicer must maintain the mortgage file and adhere to the Document
Custodian Procedures Handbook. If not, Freddie Mac can request the
loan be repurchased. As a result, Fitch views this variation as
non-material.
The fourth variation is treating each loan as its original pre-RRP
loan purpose instead of as a new refinance loan. While these loans
are technically new refinance loans, the loan is essentially a rate
and term modification. RRP was initiated to help performing
borrowers with mortgages greater than their property value take
advantage of the lower interest rate environment. Treating the pool
as 100% refinance loans would have resulted in higher loss levels
compared to treating the loans as 100% modified and using its
original loan purpose. This is counterintuitive given the clean
performance history and strong credit quality of these borrowers.
The application of this treatment had an impact of approximately
20bps benefit at the 'BBsf' level.
The last variation to the "U.S. RMBS Seasoned, Re-Performing and
Non-Performing Loan Criteria" is the use of pre-HARP and RRP DTI
instead of assuming 45% for missing post-HARP and RRP DTI. As noted
above, although these loans are technically new refinance loans
originated under RRP, in substance, they are viewed by Fitch as
rate and term modifications. One of the conditions for HARP and RRP
is that the borrowers have to be refinanced into a loan with better
terms than their original mortgage. As such, pre-HARP and RRP DTIs
were used instead of applying the default DTI of 45% for missing
post-RRP DTIs. Since the RPL criteria default DTI of 45% for
missing DTIs is higher than the average pre-HARP and RRP DTI of
39%, applying 45% DTI was viewed by Fitch as punitive given the
program's mandate. This had an impact of roughly 20bps benefit at
the 'BBsf' level.
The one criteria variation to "U.S. RMBS Loan Loss Model Criteria"
is the application of Freddie Mac's aggregator credit for
acquisitions in 2013 and thereafter. While a portion of the loans
in the pool were acquired by Freddie Mac in 2012, Freddie Mac
incorporated additional QC sampling in 2011 for RRP loans. Based on
the QC scope in place for RRP loans between 2009 and 2011, only
three loans were noted to have compliance issues. Given the
additional risk controls Freddie Mac implemented for the RRP loans,
evidenced by the minimal QC findings and strong historical
performance, the acquisition process was treated in line with
post-2012 Freddie Mac acquisitions.
MODELING
Fitch analyzed the credit characteristics of the underlying
collateral to determine base case and rating stress loss
expectations, using a customized version of its residential
mortgage loss model, which is fully described in its criteria
report, "U.S. RMBS Loan Loss Model Criteria."
The customized model removed the additional six-month timeline
applied for RPL pools. The additional six-month timeline is not
relevant to this pool because it consists of seasoned performing
loans. The six-month extension was meant to capture potential
foreclosure delays associated with peak-vintage collateral
defaulting in the current lengthy liquidation environment. This had
an impact of approximately 20bps benefit at the 'BB' loss level.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the MSA and national levels. The implied
rating sensitivities are only an indication of some of the
potential outcomes and do not consider other risk factors that the
transaction may become exposed to or be considered in the
surveillance of the transaction.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the
model projected 19.6% at the 'BBsf' level, and 14.9% at the 'Bsf'
level. The analysis indicates that there is some potential rating
migration with higher MVDs, compared with the model projection.
Fitch also conducted defined rating sensitivities which determine
the stresses to MVDs that would reduce a rating by one full
category, to non-investment grade, and to 'CCCsf'.
GLOBAL LEVERAGED: Moody's Withdraws Ratings on CLO Notes
--------------------------------------------------------
Moody's Investors Service has withdrawn the ratings on the
following notes issued by Global Leveraged Capital Credit
Opportunity Fund I:
U.S.$18,500,000 Class E-1 Fifth Priority Subordinated Deferrable
Notes Due 2018 (current outstanding balance of $12,462,684),
Withdrawn (sf); previously on November 10, 2016 Downgraded to B2
(sf)
U.S.$7,750,000 Class E-2 Fifth Priority Subordinated Deferrable
Notes Due 2018 (current outstanding balance of $5,220,854),
Withdrawn (sf); previously on November 10, 2016 Downgraded to B2
(sf)
U.S.$25,000,000 Class I Combination Notes Due 2018 (current rated
balance of $2,461,047), Withdrawn (sf); previously on November 10,
2016 Downgraded to Ca (sf)
RATINGS RATIONALE
Moody's has decided to withdraw the ratings because it believes it
has insufficient or otherwise inadequate information to support the
maintenance of the ratings.
GOLDENTREE LOAN 3: S&P Rates $15.4MM Class F Notes 'B-'
-------------------------------------------------------
S&P Global Ratings assigned its ratings to GoldenTree Loan
Management US CLO 3 Ltd.'s $632.9 million fixed- and floating-rate
notes.
The note issuance is 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
GoldenTree Loan Management US CLO 3 Ltd./GoldenTree Loan
Management US CLO 3 LLC
Class Rating Amount
(mil. $)
X AAA (sf) 5.00
A AAA (sf) 427.00
A-J NR 24.50
B-1 AA (sf) 38.00
B-2 AA (sf) 18.00
C (deferrable) A (sf) 57.75
D (deferrable) BBB- (sf) 43.75
E (deferrable) BB- (sf) 28.00
F (deferrable) B- (sf) 15.40
Subordinate notes NR 52.40
NR--Not rated.
GS MORTGAGE 2013-G1: Fitch Affirms $22.5MM DM Notes at 'BBsf'
-------------------------------------------------------------
Fitch Ratings has affirmed seven classes of Goldman Sachs & Co. GS
Mortgage Securities Trust series 2013-G1.
KEY RATING DRIVERS
Concentration: The transaction is secured by three single asset
loans, and therefore, is more susceptible to event risk related to
the respective markets, sponsors, or largest tenants occupying the
properties.
Retail Market Concerns: Fitch's existing concerns on the retail
sector have been heightened in the last 18 months regarding the
health of retail sales, the impact of e-commerce on traditional
retailing, and the growing number of retailer bankruptcies and
store closures as a result of both bankruptcy and business
rationalization. The long-term survival of Sears and JC Penney and
other department stores has been in question. While Sears, JC
Penney and Macy's have announced store closings, none of the
affected locations are at the subject properties.
Cash Flow: All three malls have showed improvements in property
level cash flows since issuance despite declining sales trends over
the last several years. Property revenue, operating expenses and
capital expenditures were normalized to reflect Fitch's views on
sustainable performance levels.
Leverage & Structure: Rating-specific debt service coverage ratio
(DSCR) hurdles reflect transaction leverage, structural features
and individual property characteristics.
As of the May 2018 distribution date, the pool's aggregate
certificate balance was paid down by 6.3% to $534.3 million from
$569 million at issuance due to scheduled amortization. The
transaction consists of three mortgage loans secured by the Great
Lakes Crossing Outlets (Great Lakes), located in Auburn Hills, MI;
Deptford Mall (Deptford) in Deptford, NJ; and Katy Mills Mall (Katy
Mills), in Katy, TX. All three malls are sponsored by large
national real estate investment trusts focused on regional and
super-regional shopping centers.
Fitch reviewed the most recently available rent rolls and financial
performance of the collateral. Full-year 2017 performance data was
provided for the Deptford Mall and the Great Lakes Mall. The
analysis of Katy Mills is based on September 2017 financials.
Great Lakes (38.6% of the pool) is a 1.4 million square foot (sf)
super-regional mall/outlet center anchored by Outdoor World, AMC
Theater and Burlington Coat Factory. Collateral consists of 1.1
million sf, which excludes Outdoor World and AMC Theater. Sports
Authority (6% of NRA) vacated its space as expected during the
second half of 2016. The servicer-reported occupancy for the
collateral space slightly declined to 96.4% as of year-end (YE)
2016 compared to 99.4% the prior year but remained higher than
issuance (94.1%). Upcoming rollover for the collateral space
includes 4.4% in 2017 and 16.8% in 2018. Comparable sales decreased
to $369 psf at YE 2016 from $375 psf at YE 2015.
Deptford (35.2%) is a 1 million sf regional mall anchored by
Macy's, JC Penney, Sears and Boscov's. Collateral for the loan
consists of 343,910 sf of in-line space, which excludes the four
anchor tenants. The servicer-reported occupancy for the collateral
space remained stable at 97% compared to 96.6% the prior year and
96.8% at issuance. Comparable sales decreased to $565 psf at YE
2016 from $577 psf at YE 2015. Upcoming rollover for the collateral
space includes 10% in 2017 and 8.9% in 2018.
Katy Mills (26.2% of the pool) is a 1.6 million sf regional,
mall/outlet center whose major tenants include the following: Bass
Pro Shops Outdoor, AMC Theaters, Marshalls, Burlington Coat
Factory, Bed Bath & Beyond, Marshalls and Off-Fifth Saks Fifth
Avenue. Collateral consists of 1.2 million sf, which excludes
Wal-Mart and 12 additional outparcels. The servicer-reported
occupancy for the collateral space slightly declined to 94.4% as of
YE 2017 compared to 96.7% the prior year but still represents a
significant increase since issuance (88.9%). Upcoming tenant
rollover for the collateral includes approximately 9% in 2018 and
22% in 2019. Sales for tenants of less than 10,000 sf were $422 at
YE 2017 compared to $436 psf at YE 2016 and $465 psf as of YE 2015.
The sponsor is reportedly embarking on a major renovation of the
mall, which is expected to be completed by the end of the year.
RATING SENSITIVITIES
The Rating Outlook for all classes remains Stable. Future upgrades
are unlikely given Fitch's concerns with overall regional mall
performance, but are possible with significant sales and cash flow
improvements. Conversely, downgrades would be considered should
property performance decline materially.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
--$43.7 million class A-1 at 'AAAsf'; Outlook Stable;
--$295.7 million class A-2 at 'AAAsf'; Outlook Stable;
--Interest only class X-A at 'AAAsf'; Outlook Stable;
--$76 million class B at 'AAsf'; Outlook Stable;
--$49.7 million class C at 'Asf'; Outlook Stable;
--$38.3 million class D at 'BBBsf'; Outlook Stable;
--$22.5 million class DM* at 'BBsf'; Outlook Stable.
*Class DM represents the interest solely in the subordinate note of
the Deptford Mall loan.
GS MORTGAGE 2016-GS2: Fitch Affirms BB- Rating on Class E Debt
--------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of GS Mortgage Securities
Trust 2016-GS2 Commercial Mortgage Pass-Through Certificates.
KEY RATING DRIVERS
Stable Performance: The affirmations are based on the stable
performance of the underlying collateral. There have been no
material changes to the pool since issuance, and therefore the
original rating analysis was considered in affirming the
transaction.
As of the April distribution, the pool's aggregate principal
balance has been reduced by 0.5% to $747.2 million from $750.6
million at issuance. None of the loans are considered Fitch Loans
of Concern, and no loans have transferred to special servicing
since issuance. No loans have defeased.
Pool Concentrations: The largest 10 loans comprise 63% of the pool
by balance. The largest collateral type is retail properties (44%),
including seven (30%) of the top 15 loans; there are no regional
malls in the pool. The largest loan in pool, Twenty Ninth Street
(10%), is a lifestyle center in Boulder, CO that was converted from
a regional mall and has exposure to Macy's (21% of NRA). The second
largest collateral is multifamily (24%), which includes two
portfolio loans - Veritas Multifamily Pool 1 (10%) and Veritas
Multifamily Pool 2 (7%). At issuance, Fitch assigned The Veritas
Multifamily Pool 1 an investment-grade credit opinion of 'AAAsf' on
a fusion basis and a 'AAAsf' rating on a stand-alone basis;
performance for the loan has been in-line with issuance
expectations.
Parri Passu Loans: Eight loans (41% of the pool) within the pool
have a pari passu participation.
Sponsor Concentration: The top 10 sponsors compose 75.7% of the
pool. The top three sponsors are Veritas Investments, Inc. and The
Baupost Group L.L.C. (two loans; 17.3% of the pool), ICS Portfolio
Holdings LLC (seven loans; 13%) and Macerich HHF Centers LLC (one
loan; 10%).
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset-level event changes the transaction's overall
portfolio-level metrics.
Fitch has affirmed the following classes:
-- $8.3 million class A-1 at 'AAAsf'; Outlook Stable;
-- $137.6 million class A-2 at 'AAAsf'; Outlook Stable;
-- $165 million class A-3 at 'AAAsf'; Outlook Stable;
-- $188 million class A-4 at 'AAAsf'; Outlook Stable;
-- $23.2 million class A-AB at 'AAAsf'; Outlook Stable;
-- $567.1 million (b) class X-A at 'AAAsf'; Outlook Stable;
-- $42.2 million (b) class X-B at 'AA-sf'; Outlook Stable;
-- $45 million (c) class A-S at 'AAAsf'; Outlook Stable;
-- $42.2 million (c) class B at 'AA-sf'; Outlook Stable;
-- $122.9 million (c) class PEZ at 'A-sf'; Outlook Stable;
-- $35.7 million (c) class C at 'A-sf'; Outlook Stable;
-- $42.2 million (a) class D at 'BBB-sf'; Outlook Stable;
-- $42.2 million (a)(b) class X-D at 'BBB-sf'; Outlook Stable;
-- $20.6 million (a) class E at 'BB-sf'; Outlook Stable;
-- $7.5 million (a) class F at 'B-sf'; Outlook Stable.
a Privately placed and pursuant to rule 144A.
b Notional amount and interest only.
c The class A-S, class B, and class C certificates may be exchanged
for class PEZ certificates, and class PEZ certificates may be
exchanged for the class A-S, class B, and class C certificates.
Fitch does not rate class G.
HPS LOAN 12-2018: S&P Gives (P)BB- Rating on $17.5MM Cl. D Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to HPS Loan
Management 12-2018 Ltd./HPS Loan Management 12-2018 LLC's $430.75
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 May 22,
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
HPS Loan Management 12-2018 Ltd./HPS Loan Management 12-2018 LLC
Class Rating Amount
(mil. $)
A1A AAA (sf) 287.50
A1B NR 22.50
A2 AA (sf) 52.50
B A (sf) 42.50
C BBB- (sf) 30.75
D BB- (sf) 17.50
Subordinated notes NR 57.30
NR--Not rated.
IMSCI 2012-2: Fitch Affirms Bsf Rating on $2.4MM Class G Certs
--------------------------------------------------------------
Fitch Ratings has affirmed nine classes of Institutional Mortgage
Capital, commercial mortgage pass-through certificates series
2012-2 (IMSCI 2012-2). All currencies are denominated in Canadian
dollars (CAD).
KEY RATING DRIVERS
Stable Performance and No Change in Loss Expectations: The pool
performance has been stable and loss expectations are in line with
Fitch's last rating action. There are no full or partial interest
only loans in the pool and there are currently no delinquent or
specially serviced loans. Four loans (20.4%) on the servicer's
watch list mainly due to occupancy concerns. One loan (9.5%) is
considered a Fitch Loan of Concern. The Lakewood Apartments loan is
secured by a 111-unit apartment building in Fort McMurray, AB. The
loan was in special servicing in February 2016 due to the downturn
in the energy markets, but returned to master servicer in early
2017 and remains current. In May 2016, the Fort McMurray area was
evacuated due to wildfires, but the collateral did not sustain
structural damage. Occupancy was 68% as of April 2018. The loan
maturity was extended to November 2019 and has full recourse to the
borrower, sponsor and manager.
Changes in Credit Enhancement: As of the May 2018 distribution
date, the pool's aggregate principal balance has been reduced 37.9%
to $149.1 million from $240.2 million at issuance. Credit
enhancement continues to increase with transaction paydown.
Concentrated Pool/Energy Exposure: The pool is concentrated with
only 18 loans remaining. There is also sponsor concentration with
three loans in the top five (30.4%) with the same sponsor group,
2668921 Manitoba Ltd and related entities. Additionally, the pool
has three loans (29.7%) backed by properties in Alberta, which has
experienced volatility from the energy sector in the past few
years. The Negative Outlooks for classes E through G reflects the
pool and sponsor concentration as well as exposure to Alberta
energy market.
Canadian Loan Attributes: The ratings reflect strong Canadian
commercial real estate loan performance, including a low
delinquency rate and low historical losses of less than 0.1%, as
well as positive loan attributes such as short amortization
schedules, recourse to the borrower, and additional guarantors.
Loans with Recourse: Of the remaining pool, 80.5% of the loans
feature full or partial recourse to the borrowers and/or sponsors.
RATING SENSITIVITIES
The Rating Outlook on classes E, F and G remain Negative.
Downgrades could be possible if the volatility in energy markets
has a prolonged impact on loan performance and property values and
the ability for loans to refinance. However, any potential losses
could be mitigated by loan recourse provisions. Additionally, if
the Lakewood Apartments performance continues to improve, the
Outlooks may be revised to Stable. The Rating Outlooks on the
senior classes remain Stable as the classes have benefited from an
increase in credit enhancement from loan payoffs though upgrades
may be limited as the pool is becoming more concentrated.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating.
Fitch has affirmed the following ratings:
-- $50.0 million class A-1 at 'AAAsf'; Outlook Stable;
-- $63.0 million class A-2 at 'AAAsf'; Outlook Stable;
-- Interest-only class XP at 'AAAsf'; Outlook Stable;
-- $6.0 million class B at 'AAsf'; Outlook Stable;
-- $8.4 million class C at 'Asf'; Outlook Stable;
-- $7.2 million class D at 'BBBsf'; Outlook Stable;
-- 3.6 million class E at 'BBB-sf'; Outlook Negative;
-- $3 million class F* at 'BBsf'; Outlook Negative;
-- $2.4 million class G* at 'Bsf'; Outlook Negative.
* Non-offered certificates.
Fitch does not rate the $5.4 million class H or the interest-only
class XC.
JAMESTOWN VI-R: Moody's Assigns B3 Rating on Class E Notes
----------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
notes issued by Jamestown CLO VI-R Ltd.
Moody's rating action is as follows:
U.S.$480,000,000 Class A-1 Senior Secured Floating Rate Notes Due
2030 (the "Class A-1 Notes"), Assigned Aaa (sf)
U.S.$58,500,000 Class A-2A Senior Secured Floating Rate Notes Due
2030 (the "Class A-2A Notes"), Assigned Aa2 (sf)
U.S.$24,000,000 Class A-2B Senior Secured Floating Rate Notes Due
2030 (the "Class A-2B Notes"), Assigned Aa2 (sf)
U.S.$37,500,000 Class B Senior Secured Deferrable Floating Rate
Notes Due 2030 (the "Class B Notes"), Assigned A2 (sf)
U.S.$48,750,000 Class C Senior Secured Deferrable Floating Rate
Notes Due 2030 (the "Class C Notes"), Assigned Baa3 (sf)
U.S.$35,625,000 Class D Senior Secured Deferrable Floating Rate
Notes Due 2030 (the "Class D Notes"), Assigned Ba3 (sf)
U.S.$15,000,000 Class E Senior Secured Deferrable Floating Rate
Notes Due 2030 (the "Class E Notes"), Assigned B3 (sf)
The Class A-1 Notes, the Class A-2A Notes, the Class A-2B 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.
Jamestown CLO VI-R 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, cash, and eligible investments,
and up to 10% of the portfolio may consist of second lien loans and
unsecured loans. The portfolio is approximately 91% ramped as of
the closing date.
Investcorp Credit Management US LLC will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's four year reinvestment period.
Thereafter, the Manager may reinvest unscheduled principal payments
and proceeds from sales of credit risk assets, subject to certain
restrictions.
In addition to the Rated Notes, the Issuer issued one class of
subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Performing par and principal proceeds balance: $748,075,598
Defaulted par: $1,924,402
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2987
Weighted Average Spread (WAS): 3.25%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 47.5%
Weighted Average Life (WAL): 8 years
Methodology Underlying the Rating Action:
The principal methodology Moody's used in assigning 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.
Here 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 2987 to 3435)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2A Notes: -2
Class A-2B Notes: -2
Class B Notes: -2
Class C Notes: -1
Class D Notes: -1
Class E Notes: -2
Percentage Change in WARF -- increase of 30% (from 2987 to 3883)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2A Notes: -4
Class A-2B Notes: -4
Class B Notes: -4
Class C Notes: -2
Class D Notes: -1
Class E Notes: -4
JP MORGAN 2018-5: Moody's Assigns (P)B2 Rating on Class B-5 Debt
----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 23
classes of residential mortgage-backed securities (RMBS) issued by
J.P. Morgan Mortgage Trust 2018-5 (JPMMT 2018-5). The ratings range
from (P)Aaa (sf) to (P)B2 (sf).
The certificates are backed by 1,050 predominantly 30-year,
fully-amortizing fixed rate mortgage loans with a total balance of
$650,520,005 as of the May 1, 2018 cut-off date. Similar to prior
JPMMT transactions, JPMMT 2018-5 includes conforming fixed-rate
mortgage loans (49.6% by loan balance) mostly originated by
JPMorgan Chase Bank, N.A. (Chase) and loanDepot.com, LLC
(LoanDepot) underwritten to the government sponsored enterprises
(GSE) guidelines in addition to prime jumbo non-conforming
mortgages purchased by J.P. Morgan Mortgage Acquisition Corp.
(JPMMAC) from various originators and aggregators. .
Chase, Shellpoint Mortgage Servicing and Cenlar FSB will be the
servicers on the conforming loans. Shellpoint Mortgage Servicing,
Nationstar Mortgage LLC, Bank of Oklahoma and Johnson Bank will be
the servicers on the prime jumbo loans. Wells Fargo Bank, N.A. will
be the master servicer and securities administrator. U.S. Bank
Trust National Association will be the trustee. Pentalpha
Surveillance LLC will be the representations and warranties breach
reviewer. Distributions of principal and interest and loss
allocations are based on a typical shifting-interest structure that
benefits from and a senior and subordination floor.
The complete rating actions are as follows:
Issuer: J.P. Morgan Mortgage Trust 2018-5
Cl. A-1, Assigned (P)Aaa (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. A-4, Assigned (P)Aaa (sf)
Cl. A-5, Assigned (P)Aaa (sf)
Cl. A-6, Assigned (P)Aaa (sf)
Cl. A-7, Assigned (P)Aaa (sf)
Cl. A-8, Assigned (P)Aaa (sf)
Cl. A-9, Assigned (P)Aaa (sf)
Cl. A-10, Assigned (P)Aaa (sf)
Cl. A-11, Assigned (P)Aaa (sf)
Cl. A-12, Assigned (P)Aaa (sf)
Cl. A-13, Assigned (P)Aa1 (sf)
Cl. A-14, Assigned (P)Aa1 (sf)
Cl. A-15, Assigned (P)Aaa (sf)
Cl. A-16, Assigned (P)Aaa (sf)
Cl. A-17, Assigned (P)Aaa (sf)
Cl. A-18, Assigned (P)Aaa (sf)
Cl. B-1, Assigned (P)Aa3 (sf)
Cl. B-2, Assigned (P)A2 (sf)
Cl. B-3, Assigned (P)Baa2 (sf)
Cl. B-4, Assigned (P)Ba2 (sf)
Cl. B-5, Assigned (P)B2 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected cumulative net loss on the aggregate pool is 0.40%
in a base scenario and reaches 5.20% at a stress level consistent
with the Aaa ratings.
Moody's calculated losses on the pool using the 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 bases its provisional ratings on the certificates on the
credit quality of the mortgage loans, the structural features of
the transaction, its 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
JPMMT 2018-5 is a securitization of a pool of 1,050 predominantly
30-year, fully-amortizing mortgage loans with a total balance of
$650,520,005 as of the cut-off date, with a weighted average (WA)
remaining term to maturity of 357 months, and a WA seasoning of 3
months. The borrowers in this transaction have high FICO scores and
sizeable equity in their properties. The WA current FICO score is
772 and the WA original combined loan-to-value ratio (CLTV) is
69.6%. The characteristics of the loans underlying the pool are
generally comparable to other JPMMT transactions backed by prime
mortgage loans that Moody's has rated.
In this transaction, 49.6% of the pool by loan balance was
underwritten by Chase, LoanDepot and JMAC Lending to Fannie Mae's
and Freddie Mac's guidelines (conforming loans). Moreover, the
conforming loans in this transaction have a high average current
loan balance at $512,052. The high conforming loan balance of loans
in JPMMT 2018-5 is attributable to the large number of properties
located in high-cost areas, such as the metro areas of New York
City, Los Angeles and San Francisco. United Shore Financial
Services originated 16.5% of the total mortgage balance of the
pool. The remaining originators each account for less than 6% of
the principal balance of the loans in the pool.
Third-party Review and Reps & Warranties
Four third party review (TPR) firms verified the accuracy of the
loan-level information that Moody's received from the sponsor.
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
appraisal defects. The loans that had exceptions to the
originators' underwriting guidelines had strong documented
compensating factors such as low DTIs, low LTVs, high reserves,
high FICOs, or clean payment histories. The TPR firms also
identified minor compliance exceptions for reasons such as
inadequate RESPA disclosures (which do not have assignee liability)
and TILA/RESPA Integrated Disclosure (TRID) violations related to
fees that were out of variance but then were cured and disclosed.
Moody's did not make any adjustments to its expected or Aaa loss
levels due to the TPR results.
JPMMT 2018-5's R&W framework is in line with that of other JPMMT
transactions where an independent reviewer is named at closing, and
costs and manner of review are clearly outlined at issuance.
Moody's review of the R&W framework takes into account the
financial strength of the R&W providers, scope of R&Ws (including
qualifiers and sunsets) and enforcement mechanisms.
The R&W providers vary in financial strength. JPMorgan Chase Bank,
National Association (rated Aa2), along with its affiliate, JPMMAC,
is the R&W provider for approximately 45.7% (by loan balance) of
the loans, and is the strongest R&W provider. Moody's made no
adjustments to the loans for which Chase and JPMMAC provided R&Ws.
In contrast, the rest of the R&W providers are unrated and/or
financially weaker entities. Moreover, JPMMAC will not backstop any
R&W providers who may become financially incapable of repurchasing
mortgage loans. Moody's made an adjustment for these loans in its
analysis to account for this risk.
For loans that JPMMAC acquired via the MAXEX platform, MAXEX under
the assignment, assumption and recognition agreement with JPMMAC,
will make the R&Ws. The R&Ws provided by MAXEX to JPMMAC and
assigned to the trust are in line with the R&Ws found in the JPMMT
transactions. Five Oaks Acquisition Corp. will backstop the
obligations of MaxEx with respect to breaches of the mortgage loan
representations and warranties made by MaxEx.
Trustee and Master Servicer
The transaction trustee is U.S. Bank Trust National Association.
The custodian's functions will be performed by Wells Fargo Bank,
N.A. and JPMorgan Chase Bank, N.A. The paying agent and cash
management functions will be performed by Wells Fargo Bank, N.A.,
rather than the trustee. In addition, Wells Fargo, as Master
Servicer, is responsible for servicer oversight, and termination of
servicers and for the appointment of successor servicers. In
addition, Wells Fargo is committed to act as successor if no other
successor servicer can be found. Moody's assesses Wells Fargo as an
SQ1 (strong) master servicer of residential loans.
Tail Risk & Subordination Floor
This deal has a standard shifting-interest structure, with a
subordination floor to protect against losses that occur late in
the life of the pool when relatively few loans remain (tail risk).
When the total senior subordination is less than 1.00% of the
original pool balance, the subordinate bonds do not receive any
principal and all principal is then paid to the senior bonds. In
addition, if the subordinate percentage drops below 6.00% of
current pool balance, the senior distribution amount will include
all principal collections and the subordinate principal
distribution amount will be zero. The subordinate bonds themselves
benefit from a floor. When the total current balance of a given
subordinate tranche plus the aggregate balance of the subordinate
tranches that are junior to it amount to less than 0.80% of the
original pool balance, those tranches do not receive principal
distributions. Principal those tranches would have received are
directed to pay more senior subordinate bonds pro-rata.
Transaction Structure
The transaction uses the shifting interest structure in which the
senior bonds benefit from a number of protections. Funds collected,
including principal, are first used to make interest payments to
the senior bonds. Next, principal payments are made to the senior
bonds. Next, available distribution amounts are used to reimburse
realized losses and certificate write-down amounts for the senior
bonds (after subordinate bond have been reduced to zero i.e. the
credit support depletion date). Finally, interest and then
principal payments are paid to the subordinate bonds in sequential
order.
Realized losses are allocated in a reverse sequential order, first
to the lowest subordinate bond. After the balance of the
subordinate bonds is written off, losses from the pool begin to
write off the principal balance of the senior support bond, and
finally losses are allocated to the super senior bonds.
In addition, the pass-through rate on the bonds is based on the net
WAC as reduced by the sum of (i) the reviewer annual fee rate and
(ii) the capped trust expense rate. In the event that there is a
small number of loans remaining, the last outstanding bonds' rate
can be reduced to zero.
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.
JP MORGAN 2018-5: S&P Assigns Prelim. B+(sf) Rating on B-5 Certs
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to J.P. Morgan
Mortgage Trust 2018-5's $647.3 million mortgage pass-through
certificates.
The note issuance is residential mortgage-backed securities
transaction backed by residential mortgage loans.
The preliminary ratings are based on information as of May 22,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- High-quality collateral in the pool;
-- Available credit enhancement;
-- Experienced aggregator;
-- The 100% due diligence sampling results consistent with
represented loan characteristics; and
-- The transaction's associated structural mechanics.
PRELIMINARY RATINGS ASSIGNED
J.P. Morgan Mortgage Trust 2018-5
Class Rating Amount ($)
A-1 AA+ (sf) 611,488,000
A-2 AA+ (sf) 611,488,000
A-3 AAA (sf) 572,457,000
A-4 AAA (sf) 572,457,000
A-5 AAA (sf) 457,966,000
A-6 AAA (sf) 457,966,000
A-7 AAA (sf) 114,491,000
A-8 AAA (sf) 114,491,000
A-9 AAA (sf) 87,642,000
A-10 AAA (sf) 87,642,000
A-11 AAA (sf) 26,849,000
A-12 AAA (sf) 26,849,000
A-13 AA+ (sf) 39,031,000
A-14 AA+ (sf) 39,031,000
A-15 AAA (sf) 360,648,000
A-16 AAA (sf) 360,648,000
A-17 AAA (sf) 97,318,000
A-18 AAA (sf) 97,318,000
A-X-1 AA+ (sf) 611,488,000(i)
A-X-2 AA+ (sf) 611,488,000(i)
A-X-3 AAA (sf) 572,457,000(i)
A-X-4 AAA (sf) 457,966,000(i)
A-X-5 AAA (sf) 114,491,000(i)
A-X-6 AAA (sf) 87,642,000(i)
A-X-7 AAA (sf) 26,849,000(i)
A-X-8 AA+ (sf) 39,031,000(i)
A-X-9 AAA (sf) 360,648,000(i)
A-X-10 AAA (sf) 97,318,000(i)
B-1 AA (sf) 11,384,000
B-2 A (sf) 10,409,000
B-3 BBB (sf) 7,481,000
B-4 BB (sf) 4,553,000
B-5 B+ (sf) 1,952,000
B-6 NR 3,253,004
A-IO-S NR 345,680,677
A-R NR N/A
(i)Notional balance. NR--Not rated.
N/A--Not applicable.
JPMC 2004-C1: Moody's Downgrades Class X-1 Certs to C
-----------------------------------------------------
Moody's Investors Service has upgraded the ratings on three classes
and downgraded the rating on one class in J.P. Morgan Chase
Commercial Mortgage Securities Corp. 2004-C1, Commercial
Pass-Through Certificates, Series 2004-C1 as follows:
Cl. M, Upgraded to Aaa (sf); previously on Oct 19, 2017 Upgraded to
A2 (sf)
Cl. N, Upgraded to Aa1 (sf); previously on Oct 19, 2017 Upgraded to
Ba2 (sf)
Cl. P, Upgraded to B3 (sf); previously on Oct 19, 2017 Upgraded to
Ca (sf)
Cl. X-1, Downgraded to C (sf); previously on Oct 19, 2017 Upgraded
to Ca (sf)
RATINGS RATIONALE
The ratings on the three P&I Classes were upgraded due to an
increase in credit support resulting from loan paydowns,
amortization and an increase in defeasance. The deal has paid down
48.2% since Moody's last review and defeasance now represents 72.0%
of the pool, compared to 41.5% at Moody's last review. Classes M
and N are now fully covered by defeasance. The rating of Cl. N was
upgraded due to the class being fully covered by defeasance,
however, the class had experienced previous interest shortfalls for
approximately 27 months between 2011 and 2016.
The rating on the IO Class, Cl. X-1, was downgraded due to the
decline in the credit quality of its reference classes resulting
from principal paydowns of higher quality reference 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 1.5%
of the original pooled balance, the same as at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating J.P. Morgan Chase
Commercial Mortgage Securities Corp. 2004-C1, Cl. M, Cl. N and Cl.
P was "Moody's Approach to Rating Large Loan and Single
Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating J.P. Morgan Chase Commercial Mortgage
Securities Corp. 2004-C1, Cl. X-1 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 May 15, 2018 distribution date, the transaction's
aggregate pooled certificate balance has decreased by 99.2% to $8.5
million from $1.04 billion at securitization. The certificates are
collateralized by ten mortgage loans ranging in size from less than
1% to 15.5% of the pool. Seven loans, constituting 72.0% of the
pool, have defeased and are secured by US government securities.
Eight loans have been liquidated from the pool, resulting in an
aggregate realized loss of $15.4 million (for an average loss
severity of 42%). There are no loans that are currently in special
servicing.
The three non-defeased loans represent 28.0% of the pool balance
and are all fully amortizing over their loan terms. The largest
non-defeased loan is the Eureka Office Loan ($1.3 million -- 15.5%
of the pool), which is secured by a 35,000 square foot (SF) office
property located in Eureka, California. The property was 100%
leased as of December 2017 and occupancy remains unchanged since
2014. The loan has paid down over 56% since securitization and has
a scheduled maturity date in December 2023. The loan is on the
master servicer's watchlist due to the largest tenant, representing
approximately 73% of the net rentable area, having a lease
expiration date in September 2018. Due to the tenant concentration,
Moody's valuation reflects a lit/dark analysis. Moody's LTV and
stressed DSCR are 59.3% and 1.73X, respectively.
The second largest non-defeased loan is the Bay Park Shopping
Center Loan ($873,366 -- 10.2% of the pool), which is secured by a
22,000 SF Walmart and Sam's Club shadow anchored retail property
located in La Marque, Texas approximately 38 miles southeast of
Houston. The property was 90.7% leased as of December 2017 to
various local tenants. The loan has paid down 69% since
securitization and has a scheduled maturity date in November 2021.
Moody's LTV and stressed DSCR are 31.3% and 3.46X, respectively.
The third largest non-defeased loan is the Pointe South Shopping
Center Loan ($191,442 -- 2.2% of the pool), which is by a 54,000 SF
Food Lion anchored retail property located in Randleman, North
Carolina approximately 6 miles north of Asheboro. The property was
95% leased as of March 2017. The loan has paid down 93% since
securitization and has a scheduled maturity date in November 2019.
Moody's LTV and stressed DSCR are 5.8% and greater than 4.00X,
respectively.
JPMCC 2003-CIBC7: Moody's Affirms Class J Certs at C
----------------------------------------------------
Moody's Investors Service has upgraded the ratings on three classes
and affirmed the ratings on three classes in J.P. Morgan Chase
Commercial Mortgage Securities Corp. Series 2003-CIBC7, Commercial
Pass-Through Certificates, Series 2003-CIBC7 as follows:
Cl. E, Affirmed Aaa (sf); previously on May 18, 2017 Affirmed Aaa
(sf)
Cl. F, Upgraded to Aaa (sf); previously on May 18, 2017 Upgraded to
Aa1 (sf)
Cl. G, Upgraded to Aa3 (sf); previously on May 18, 2017 Upgraded to
A2 (sf)
Cl. H, Upgraded to B1 (sf); previously on May 18, 2017 Upgraded to
B3 (sf)
Cl. J, Affirmed C (sf); previously on May 18, 2017 Affirmed C (sf)
Cl. X-1, Affirmed Ca (sf); previously on Jun 9, 2017 Downgraded to
Ca (sf)
RATINGS RATIONALE
The ratings on three P&I Classes, Cl. F, Cl. G and Cl. H, were
upgraded 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
20% since Moody's last review. In addition, loans constituting 47%
of the pool have either defeased or have debt yields exceeding
12.0% and are scheduled to mature within the next seven months.
The rating on Class E 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 plus realized losses. Class J has already
experienced a 47% realized loss as result of previously liquidated
loans.
The rating on the IO class, Cl. X-1, was affirmed based on the
credit quality of its referenced classes.
Moody's rating action reflects a base expected loss of 0.3% of the
current pooled balance, compared to 0.5% at Moody's last review.
Moody's base expected loss plus realized losses is now 3.8% of the
original pooled balance, compared to 3.9% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in rating J.P. Morgan Chase Commercial
Mortgage Securities Corp. Series 2003-CIBC7, Cl. E, Cl. F, Cl. G,
Cl. H, and Cl. J 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 J.P.
Morgan Chase Commercial Mortgage Securities Corp. Series
2003-CIBC7, Cl. X-1 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 May 14, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 95.7% to $60.2
million from $1.4 billion at securitization. The certificates are
collateralized by 37 mortgage loans ranging in size from less than
1% to 15.1% of the pool, with the top ten loans (excluding
defeasance) constituting 49% of the pool. One loan, constituting
15.1% of the pool, has an investment-grade structured credit
assessment. Eleven loans, constituting 41.8% 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 8, compared to 10 at Moody's last review.
Seven loans, constituting 16.2% 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.
Twenty-three loans have been liquidated from the pool, resulting in
an aggregate realized loss of $52 million (for an average loss
severity of 46%). There are currently no loans in special
servicing.
Moody's received full year 2016 operating results for 91% of the
pool, and full or partial year 2017 operating results for 68% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 30.5%, compared to 34.1% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 16.1% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.1%.
Moody's actual and stressed conduit DSCRs are 1.48X and 5.81X,
respectively, compared to 1.53X and 4.32X 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 Brown
Noltemeyer Apartments Portfolio Loan ($9.0 million -- 15.1% of the
pool), which is secured by a portfolio of five cross-collateralized
loans secured by eight multifamily properties located in
Louisville, Kentucky. As of December 2015, the weighted average
occupancy of the portfolio was approximately 93%, compared to 92%
at last review. The loans are fully amortizing and have amortized
78% since securitization. The loan matures in November 2020 and
Moody's structured credit assessment and stressed DSCR are aaa
(sca.pd) and greater than 4.00X, respectively.
The top three conduit loans represent 18.9% of the pool balance.
The largest loan is the Crestpointe Corporate Center II Loan ($5.4
million -- 8.9% of the pool), which is secured by an approximately
122,000 square foot (SF) office property located in Columbia,
Maryland. As per the January 2018 rent roll, the property was 95%
leased, compared to 100% leased in November 2016. The loan is fully
amortizing and has amortized 59% since securitization. The loan
matures in October 2023 and Moody's LTV and stressed DSCR are 41%
and 2.50X, respectively.
The second largest loan is the Grande Communications Portfolio Loan
($3.2 million -- 5.3% of the pool), which is secured by a portfolio
of four office properties located throughout Texas. The four
properties are fully leased to Grande Communications. Due to the
single tenant exposure, Moody's value incorporated a lit/dark
analysis. The loan is fully amortizing, has amortized 57% since
securitization and matures in September 2023. Moody's LTV and
stressed DSCR are 23.1% and greater than 4.00X, respectively.
The third largest loan is the Hopkins Emporia Loan ($2.8 million --
4.7% of the pool), which is secured by a 321,000 square foot (SF)
industrial property located in Emporia, Kansas. The property serves
as the headquarters for Hopkins Manufacturing Corporation and
includes warehouse and production space on 16.6 acres. Hopkins
Manufacturing's lease expires in December 2020, and the loan
matures in September 2023. Due to the single tenant exposure,
Moody's value incorporated a lit/dark analysis. The loan is fully
amortizing and has amortized 59% since securitization. Moody's LTV
and stressed DSCR are 23.5% greater than 4.00X, respectively.
JPMCC 2004-PNC1: Fitch Junks Rating on $16.5MM Notes to 'CCCsf'
---------------------------------------------------------------
Fitch Ratings has downgraded three classes and affirmed eight
classes of J.P. Morgan Chase Commercial Mortgage Securities Corp.,
series 2004-PNC1 commercial mortgage pass-through certificates.
KEY RATING DRIVERS
Higher Loss Expectations: The rating downgrades are the result of
higher loss expectations since the last Fitch rating action. The
largest loan in the transaction (55.7%) is collateralized by the
Employers Reinsurance building in Overland Park, KS. The property
has been 100% occupied by the insurer Swiss Re on a lease through
December 2018. The tenant has given notice that they will relocate
to downtown Kansas City and will vacate the premises upon lease
expiration. Per the master servicer, the borrower is pursuing a
lease or sale of the property. Swiss Re is paying $16.99 per square
foot in rent, which according to Reis, is the approximate market
rate for comparable properties with a market vacancy of 12.7%. The
property was built in 1980 and contains 320,198 sf. The loan has an
ARD of May 1, 2019 and a final maturity date of May 1, 2034. Post
ARD, the loan payments increase to the greater of the current
interest rate, 5.83% + 2.00% or Treasuries + 3.55%. Fitch's base
case loss analysis assumed dark value of the property; however,
given the stressed local market conditions, age of the property and
potential full vacancy, Fitch's ratings are based on a stressed
scenario which assumed a 50% loss on the loan. The current loan per
square feet is $101.7.
Concentration: The transaction is highly concentrated as only 10 of
the original 101 loans remain. The largest loan comprises 55.7% of
the pool. The second largest loan (14.4%) is in special servicing
and categorized as in foreclosure. Two loans are defeased (7.7%),
four loans are collateralized by multifamily properties (16.6%)
including two that are senior living, and one fully amortizing
retail property (2.5%) and one single tenant Walgreens (3.1%).
Limited Near-Term Change to Credit Enhancement Expected: Two loans
have ARDs in April and May 2019 (58.8%) and include the largest
loan in the transaction. One loan (2.5%) is fully amortizing and
the remaining non-specially serviced loans are balloon loans with
maturity dates in 2022 and 2024.
Specially Serviced Loan: The specially serviced loan is
collateralized by a retail center in Springdale, OH (Cincinnati).
Tenants include Best Buy (39.9% of GLA, lease expiration March 31,
2019 and K&G Mens (17.2%, Jan. 31, 2021). Both tenants are paying
reduced rents due to the property's low occupancy. The loan is
categorized as in foreclosure. Given the size of class H, losses
from this loan are unlikely to exceed the balance of class H.
RATING SENSITIVITIES
The ratings reflect a sensitivity test on the largest loan in the
transaction given the possibility of default. The sole tenant will
vacate at year-end 2018. The Rating Outlooks on classes D and E
were maintained at Negative given concerns with this loan.
Downgrades of a category or more are possible if no progress is
made on a sale or lease and the property remains vacant for an
extended period. Upgrades are unlikely given the transaction's
concentrations and loans of concern, but possible if the property
collateralizing the largest loan achieves a sustainable occupancy
or is sold for better than expected recoveries.
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 and maintained Outlooks
or assigned Recovery Estimates as indicated:
--$11.3 million class D to 'BBBsf' from 'Asf'; Outlook Negative;
--$11 million class E to 'BBsf' from 'BBBsf'; Outlook Negative;
--$16.5 million class F to 'CCCsf' from 'B'; RE 100% assigned.
Fitch has affirmed the following classes and Recovery Estimates:
--$11 million class G at 'CCsf'; RE 90%;
--$8.7 million class H at 'Dsf'; RE 0%;
--$0 class J at 'Dsf'; RE 0%;
--$0 class K at 'Dsf'; RE 0%;
--$0 class L at 'Dsf'; RE 0%;
--$0 class M at 'Dsf'; RE 0%;
--$0 class N at 'Dsf'; RE 0%;
--$0 class P at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-4, A-1A, B and C notes have paid in
full. Fitch does not rate the class NR notes. Fitch has previously
withdrawn the rating on the interest-only class X certificates.
JPMCC 2005-CIBC12: Fitch Junks Rating on $43.3MM Notes to 'Csf'
---------------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed 13 classes of
J.P. Morgan Chase Commercial Mortgage Securities Corp., series
2005-CIBC12.
KEY RATING DRIVERS
High Expected Losses from Specially Serviced Loans: The largest two
loans (57.8%) in the pool are currently in special servicing with
significant losses expected based on total exposure of the loans
and the most recent appraisal values provided by the servicer. The
downgrade to the distressed class reflects increased certainty of
losses and timing of the disposition of the REO asset. Both of the
specially serviced loans are secured by underperforming retail
properties that have experienced major anchor vacancies.
The largest loan (30.7% of the pool) is secured by 702,125 square
feet (sf) out of a 829,705-sf enclosed regional shopping mall in
Steubenville, OH. Current anchors include Dick's (outparcel), JC
Penney, a six-screen AMC Theater and a 209,621-sf Walmart (on a
ground lease). The property has experienced cash flow declines due
to anchor vacancies and rent reductions. Macy's (non-collateral)
ceased operations in March 2017, following the July 2016 vacancy by
Sears. JC Penney recently extended its lease to 2021 from 2016, but
a rent reduction was put in place to retain the tenant. Per the
December 2017 rent roll, occupancy has declined to 70% from 76% in
2016 and 2015 and 87% in 2014. The loan transferred to special
servicing in January 2016 and has been REO since April 2017. Per
servicer updates, the property is currently on the market for sale,
but offers have been limited due to the declining net operating
income and significant deferred maintenance items.
The second largest loan (27.1%) is secured by a 260,981-sf
community shopping centre in South Brunswick, NJ. The property is
currently anchored by Home Depot (73% of the net rentable area
[NRA]), with a lease expiry in January 2036. The loan transferred
to special servicing in August 2014 for payment default. The
property had experienced cash flow issues due to occupancy
declines, currently reporting at 61%. Stop & Shop (previously 38%
NRA) and Bob's Stores (28% NRA) had vacated at their lease
expiration in 2012 and 2016, respectively. In addition, third party
reports revealed environmental contamination at the property from a
dry cleaner tenant. The special servicer is working to complete the
foreclosure of the collateral upon remediation of the environmental
issues. A lender controlled lockbox is in-place, and all property
cash flow is currently being captured.
Increasing Pool Concentration; Sensitivity Test Performed: Only
eight of the original 198 loans remain. Due to the concentrated
nature of the pool, Fitch performed a sensitivity analysis that
grouped the remaining loans based on the likelihood of repayment
and expected losses from the liquidation of specially serviced and
underperforming loans. Based on this sensitivity test, balances
from defeased loans would repay approximately 56% of the class A-J
balance. The remaining class balance is dependent on proceeds from
performing loans with binary risks including a single tenant office
property, and two Texas retail properties with declining occupancy
or low debt service coverage ratio (DSCR).
Single Credit Tenant Office; Refinance Risks: The third largest
loan (22% of the pool) is secured by the Discovery Channel
Building, a 148,530-sf suburban office building in Silver Spring,
MD 100% leased to Discovery Communications LLC (BBB-/Stable)
through March 2025. Performance has been stable since issuance,
with year-end (YE) 2017 DSCR at 1.62x. Although the credit tenant
lease expires 57 months after the subject loan's maturity in July
2020, the property may face refinancing risks due to Discovery
Channel's recent announcement to reduce its footprint in the Silver
Spring market. Discovery Channel will be relocating operations from
its downtown headquarters (One Discovery Place) to New York City
and Knoxville, TN. Per the servicer, the tenant has not provided
any notice of intent to vacate the subject property, and there are
no termination options in the lease or addendums. However, it is
unclear if the subject property would be affected by future
relocation decisions.
Retail Concentration; Loans of Concern: Five of the remaining loans
are secured by retail properties (65.8% of the pool), of which five
(64.5%) are considered Loans of Concern (FLOC) including the two
specially serviced loans (57.8%). The largest non-specially
serviced FLOC is secured by a 47,693-sf retail center in
Lewisville, TX (4.2%). The property had experienced occupancy
declines stemming from the departure of its shadow anchor,
Albertsons, in first quarter 2017. Collateral occupancy fell to 81%
by YE 2017 from 97% in 2016. DSCR was reported at 1.65x for YE 2017
but will further decline as the vacancy impact is realized. The
second non-specially serviced FLOC is secured by a 24,266-sf retail
centre in Cedar Park, TX anchored by a 13,831-sf CVS. The property
has experienced cash flow issues from declining occupancy and
rents. As of YE 2017, DSCR reported at 1.03x and occupancy at 86%,
compared 1.17x and 96% in 2015; the fully amortizing loan matures
in May 2025.
RATING SENSITIVITIES
The Outlook remains Negative for the class A-J certificates given
the potential for outsized losses from the FLOCs, primarily the
specially serviced loans. Additionally, this class reflects the
potential for downgrade should the Discovery Channel Building loan
face refinance challenges. Upgrades are unlikely given the pool
concentration, however may be possible given further defeasance,
improved loan-level performance, or lower than expected realized
loss severities. The distressed classes will be downgrade to 'Dsf'
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 downgrade the following classes and assigned Recovery
Estimates as indicated:
--$43.3 million class B to 'Csf' from 'CCsf'; RE 60%;
Fitch has affirmed the following classes and assigned Recovery
Estimates as indicated:
--$25.5 million class A-J at 'Asf'; Outlook Negative;
--$19.0 million class C at 'Csf' '; RE 0%
--$26.1 million class D at 'Dsf'; RE 0%;
--$0 class E at 'Dsf'; RE 0%;
--$0 class F at 'Dsf'; RE 0%;
--$0 class G at 'Dsf'; RE 0%;
--$0 class H at 'Dsf'; RE 0%;
--$0 class J at 'Dsf'; RE 0%;
--$0 class K at 'Dsf'; RE 0%;
--$0 class L at 'Dsf'; RE 0%;
--$0 class M at 'Dsf'; RE 0%;
--$0 class N at 'Dsf'; RE 0%;
--$0 class P at 'Dsf'; RE 0%.
The class A-1, A-2, A-3A1, A-3A2, A-3B, A-SB, A-4, A-M, and UHP
certificates have been paid in full. Fitch does not rate the class
NR certificate. Fitch withdrew the ratings on the interest-only
class X-1 and X-2 certificates.
JPMDB 2018-C8: Fitch to Rate $7MM Class G Certs 'B-sf'
------------------------------------------------------
Fitch Ratings has issued a presale report on JPMDB Commercial
Mortgage Securities Trust 2018-C8 commercial mortgage pass-through
certificates, series 2018-C8.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
--$20,521,343 class A-1 'AAAsf'; Outlook Stable;
--$131,981,467 class A-2 'AAAsf'; Outlook Stable;
--$104,010,865d class A-3 'AAAsf'; Outlook Stable;
--$209,516,366d class A-4 'AAAsf'; Outlook Stable;
--$33,165,944 class A-SB 'AAAsf'; Outlook Stable;
--$563,379,010b class X-A 'AAAsf'; Outlook Stable;
--$65,073,358b class X-B 'A-sf'; Outlook Stable;
--$64,183,025 class A-S 'AAAsf'; Outlook Stable;
--$32,981,845 class B 'AA-sf'; Outlook Stable;
--$32,091,512 class C 'A-sf'; Outlook Stable;
--$35,657,005ab class X-D 'BBB-sf'; Outlook Stable;
--$16,044,716ab class X-EF 'BB-sf'; Outlook Stable;
--$7,132,025ab class X-G 'B-sf'; Outlook Stable;
--$35,657,005a class D 'BBB-sf'; Outlook Stable;
--$8,912,691a class E 'BB+sf'; Outlook Stable;
--$7,132,025a class F 'BB-sf'; Outlook Stable;
--$7,132,025a class G 'B-sf'; Outlook Stable.
The following class is not expected to be rated:
--$25,851,542ac class NR-RR.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
(c) Horizontal credit risk retention interest representing 3.63% of
the pool balance (as of the closing date).
(d) The initial certificate balances of class A-3 and class A-4 are
unknown and expected to be within the range of $78,008,149 -
$130,013,581 and $183,513,650 - $235,519,082, respectively. The
certificate balances will be determined based on the final pricing
of those classes of certificates. Fitch's certificate balances for
classes A-3 and A-4 are assumed at the midpoint of the range for
each class.
(e) The amount of the VRR Interest is expected to represent 3.856%
($27,500,000) of the pool balance, but may be larger or smaller if
necessary to satisfy U.S. risk retention requirements at closing.
The expected ratings are based on information provided by the
issuer as of May 18, 2018.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 41 loans secured by 69
commercial properties having an aggregate principal balance of
$713,137,655 as of the cut-off date. The loans were contributed to
the trust by: JPMorgan Chase Bank, National Association, German
American Capital Corporation, Starwood Mortgage Funding VI LLC, and
BSPRT Finance, LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 72.5% of the properties
by balance, cash flow analysis of 90.8% and asset summary reviews
on 100.0% of the pool.
KEY RATING DRIVERS
Fitch Debt Service Coverage Ratio (DSCR) is Lower Than Recent
Transactions: The pool's Fitch DSCR is 1.20x relative to the 2017
and 2018 YTD averages of 1.26x and 1.25x, respectively. However,
the pool's loan-to-value (LTV) of 102.2% is comparable to the 2017
and 2018 YTD averages of 101.6% and 103.6%. Excluding
investment-grade credit opinion loans, the pool has a Fitch DSCR
and LTV of 1.19x and 104.6%.
Investment-Grade Credit Opinion Loans: Two loans, representing 6.5%
of the pool have investment-grade credit opinions. DreamWorks
Campus (4.2% of the pool) and Twelve Oaks Mall (2.3% of the pool)
both have investment-grade credit opinions of 'BBB-sf*'. Combined,
the two loans have a weighted average (WA) Fitch DSCR of 1.35x and
LTV of 66.6%, respectively.
Above-Average Retail and Hotel Exposure: The transaction comprises
20 retail properties and seven hotels totalling 38.6% and 16.6% of
the pool, respectively. The pool's retail concentration exceeds the
2017 average of 24.8% and 2018 YTD average of 23.4%. The pool's
hotel concentration exceeds the 2017 average of 15.8% and 2018 YTD
average of 13.9%.
Above-Average Asset Quality: Seven of the top 10 loans were
assigned property quality grades of 'B+' or better.
RATING SENSITIVITIES
For this transaction, Fitch's NCF was 15.1% below the most recent
year's 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
JPMDB 2018-C8 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to '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.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
Fitch was provided with Form ABS Due Diligence-15E. The report was
prepared by Ernst & Young LLP. The third-party due diligence
described in the Form 15E focused on a comparison and
re-computation of certain characteristics with respect to the
mortgage loans and related mortgaged properties in the data file.
Fitch considered this information in its analysis and it did not
have an effect on Fitch's analysis or conclusions.
LENDMARK FUNDING 2018-1: DBRS Finalizes BB Rating on Class D Notes
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following notes
issued by Lendmark Funding Trust 2018-1 (Series 2018-1):
-- $235,496,000 Series 2018-1, Class A (the Class A Notes) rated
AA (sf)
-- $20,429,000 Series 2018-1, Class B (the Class B Notes) rated A
(sf)
-- $20,911,000 Series 2018-1, Class C (the Class C Notes) rated
BBB (sf)
-- $23,164,000 Series 2018-1, Class D (the Class D Notes) rated
BB (sf)
RATING RATIONALE/DESCRIPTION
-- 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.
-- Lendmark Financial Services, LLC's (Lendmark) capabilities with
regard to originations, underwriting and servicing.
-- The credit quality of the collateral and performance of
Lendmark's consumer loan portfolio. DBRS has used a hybrid approach
in analyzing the Lendmark 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 Lendmark and that the trust has a
valid first-priority security interest in the assets and is
consistent with the DBRS methodology "Legal Criteria for U.S.
Structured Finance."
The Series 2018-1 transaction represents the fifth securitization
of a portfolio of non-prime and subprime personal loans originated
through Lendmark's branch network.
Credit enhancement in the transaction consists of
overcollateralization, subordination, excess spread and a Reserve
Account. The rating on the Class A Notes reflects the 27.30% of
initial hard credit enhancement provided by the subordinated notes
in the pool, the Reserve Account (0.50%) and overcollateralization
(6.75%). The ratings on the Class B Notes, the Class C Notes and
the Class D Notes reflect 20.95%, 14.45% and 7.25% 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.
MARBLE POINT XII: Moody's Gives Ba3 Rating on $24.2MM Class E Notes
-------------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Marble Point CLO XII Ltd.
Moody's rating action is as follows:
US$325,000,000 Class A Senior Floating Rate Notes due 2031 (the
"Class A Notes"), Assigned Aaa (sf)
US$52,400,000 Class B Senior Floating Rate Notes due 2031 (the
"Class B Notes"), Assigned Aa2 (sf)
US$25,900,000 Class C Mezzanine Deferrable Floating Rate Notes due
2031 (the "Class C Notes"), Assigned A2 (sf)
US$32,500,000 Class D Mezzanine Deferrable Floating Rate Notes due
2031 (the "Class D Notes"), Assigned Baa3 (sf)
US$24,200,000 Class E Mezzanine 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.
Marble Point XII 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
senior secured loans and eligible investments purchased with
principal proceeds, and up to 10% of the portfolio may consist of
loans that are not senior secured. The portfolio is approximately
75% ramped as of the closing date.
Marble Point CLO Management LLC will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's five year reinvestment period.
Thereafter, the Manager may reinvest unscheduled principal payments
and proceeds from sales of credit risk and credit improved 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: $500,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2925
Weighted Average Spread (WAS): 3.20%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 47.50%
Weighted Average Life (WAL): 9.2 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
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.
Here 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 2925 to 3364)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: -1
Percentage Change in WARF -- increase of 30% (from 2925 to 3803)
Rating Impact in Rating Notches
Class A Notes: -2
Class B Notes: -4
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
MORGAN STANLEY 2013-WLSR: S&P Lowers Class E Notes Rating to BB+
----------------------------------------------------------------
S&P Global Ratings lowered its rating on the class E commercial
mortgage pass-through certificates from Morgan Stanley Capital I
Trust 2013-WLSR, a U.S. commercial mortgage-backed securities
(CMBS) transaction. In addition, S&P affirmed its ratings on six
other classes from the same transaction.
S&P said, "For the downgrade and affirmations on the principal- and
interest-paying classes, our expectation of credit enhancement was
more or less in line with the lowered or affirmed rating levels.
Specifically, the downgrade reflects our opinion that the
property's occupancy will take longer to lease up than our
expectations in our last review to near-market occupancy levels.
"We affirmed our ratings on the class X-A and X-B interest-only
(IO) certificates based on our criteria for rating IO securities,
in which the ratings on the IO securities would not be higher than
that of the lowest-rated reference class. Class X-A's notional
balance references class A. Class X-B's notional balance references
classes B and C."
This is a stand-alone (single borrower) transaction backed by a
seven-year, fixed-rate IO mortgage loan secured by Wilshire
Courtyard, an office campus consisting of two six-story buildings
totaling 1.0 million sq. ft. and includes two underground parking
garages totaling approximately 2,560 parking spaces in Los Angeles.
S&P's property-level analysis included a re-evaluation of
the collateral property that secures the mortgage loan in the trust
and considered the stable servicer-reported net operating income
(NOI) and occupancy from 2014 through 2016, as well as the reported
decline in occupancy and NOI in 2017.
The loan appears on the master servicer's watchlist due to a low
reported debt service coverage of 0.97x on the trust balance for
the year ended Dec. 31, 2017. The property was 61.2% occupied
according to the Dec. 31, 2017, rent roll, down from 91.6% at
issuance. The property's low reported occupancy is mainly due to
former tenant, E! Entertainment Television (approximately 38.3% of
the net rentable area [NRA]), vacating by the end of 2016. The
master servicer, Berkadia Commercial Mortgage LLC, indicated that
the borrower is still marketing the vacant space through a broker
and that there are no potential new tenants at this time. In
addition, based on the December 2017 rent roll, 0.8%, 5.6%, and
5.7% of the NRA have leases that expired in 2017, 2018, and 2019,
respectively. The property's reported historical occupancy from
2007 to 2016 ranged from 85.6% to 96.6%. According to the
first-quarter 2018 CBRE office outlook, the Miracle Mile submarket,
where the subject property is located, has a vacancy of 16.8% and
gross asking rent of $43.54 per sq. ft.
S&P's analysis considered the property's in-place performance, as
well as the historical and market vacancies. S&P adjusted its
valuation to reflect:
-- S&P's assumption that the property's vacancy will take longer
to return to near-market vacancy levels;
-- The additional leasing and tenant improvement costs to
re-tenant the vacant space;
-- The potential NOI loss during a two-year period that S&P
estimates is necessary to re-lease the space to near-market
occupancy levels; and
-- A 7.00% S&P Global Ratings capitalization rate (7.25% on the
stabilized net cash flow).
These factors yielded a loan-to-value ratio of 74.6% based on the
trust balance.
According to the May 11, 2018, trustee remittance report, the IO
mortgage loan has a trust and whole loan balance of $193.0 million,
the same as at issuance.
The loan pays a fixed interest rate of 3.53031% annually and
matures on Jan. 7, 2020. In addition, the borrower's equity
interests in the whole loan secure a $42.0 million mezzanine loan.
To date, the trust has not incurred any principal losses.
RATINGS LIST
Morgan Stanley Capital I Trust 2013-WLSR
Commercial mortgage pass-through certificates series 2013-WLSR
Rating Rating
Class Identifier To From
A 61761XAA6 AAA (sf) AAA (sf)
X-A 61761XAC2 AAA (sf) AAA (sf)
X-B 61761XAE8 A (sf) A (sf)
B 61761XAG3 AA (sf) AA (sf)
C 61761XAJ7 A (sf) A (sf)
D 61761XAL2 BBB (sf) BBB (sf)
E 61761XAN8 BB+ (sf) BBB- (sf)
MORGAN STANLEY 2015-MS1: DBRS Confirms BB Rating on Class E Certs
-----------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2015-MS1
issued by Morgan Stanley Capital I Trust 2015-MS1:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class PST at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (sf)
-- Class F at B (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction since issuance. At issuance, the transaction
consisted of 54 loans with a trust balance of $885.0 million. Since
issuance, there has been a collateral reduction of 1.7% due to
scheduled amortization, with all loans remaining in the pool. The
transaction is currently reporting a weighted-average (WA)
debt-service coverage ratio (DSCR) and debt yield of 1.66 times (x)
and 8.7%, respectively, in comparison to the YE2015 WA DSCR and
debt yield of 1.61x and 8.7%, respectively. At issuance, the DBRS
WA DSCR and debt yield were 1.81x and 9.0%, respectively. Based on
the YE2016 financials, the Top 15 loans are reporting a WA DSCR and
debt yield of 1.95x and 8.4%, respectively.
As of the April 2018 remittance, there are no loans in special
servicing. Three loans, representing 15.0% of the current pool
balance, are on the servicer's watch list for vacancy issues. Of
note is the HSBC – Brandon, Florida (Prospectus ID#16, 2.0% of
the current pool), which was added to the watch list as HSBC plans
on vacating the subject in July 2018, which will leave the property
100% vacant. There are multiple risk-mitigation measures in place
in the short term, including a monthly rent reserve capped at $1.9
million, which is comparable to one year of HSBC's rent. The
borrower's initial focus will be to secure a single tenant before
assessing options with multiple tenant configurations.
At issuance, DBRS shadow-rated three loans investment grade. DBRS
confirms with this review that the performance of these loans –
32 Old Slip Fee (Prospectus ID#3, 6.9% of the current pool),
841-853 Broadway (Prospectus ID#8, 5.8% of the current pool) and
Alderwood Mall (Prospectus ID#5, 5.3% of the current pool) –
remains consistent with investment-grade loan characteristics.
Class X-A is an interest-only (IO) certificate that references a
single rated tranche or multiple rated tranches. The IO rating
mirrors the lowest-rated applicable reference obligation tranche
adjusted upward by one notch if senior in the waterfall.
Notes: All figures are in U.S. dollars unless otherwise noted.
NEWFLEET ASSET 2016-1: S&P Assigns Prelim BB- Rating on E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R, A-2-R, B-R, C-R, D-R, and E-R replacement notes from
Newfleet CLO 2016-1 Ltd., a collateralized loan obligation (CLO)
originally issued in June 2016 and is managed by NewFleet Asset
Management LLC.
S&P said, "The preliminary ratings reflect our opinion that the
credit support available is commensurate with the associated rating
levels.
"On the May 24, 2018, refinancing date, the proceeds from the
issuance of the replacement notes are expected to redeem the
original notes. At that time, we anticipate withdrawing the ratings
on the original refinanced notes, and assigning ratings to the new
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 note.
"Our review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the trustee
report, to estimate future performance. In line with our criteria,
our cash flow scenarios applied forward-looking assumptions on the
expected timing and pattern of defaults, and recoveries upon
default, under various interest rate and macroeconomic scenarios.
In addition, our analysis considered the transaction's ability to
pay timely interest or ultimate principal, or both, to each of the
rated tranches.
"We will continue to review whether, in our view, the rating
assigned to the note remains consistent with the credit enhancement
available to support it, and we will take further rating action as
we deem necessary."
PRELIMINARY RATINGS ASSIGNED
Newfleet CLO 2016-1 Ltd.
Replacement class Rating Amount (mil. $)
A-1-R AAA (sf) 210.50
A-2-R AAA (sf) 17.00
B-R AA (sf) 38.50
C-R A (sf) 21.00
D-R BBB (sf) 17.50
E-R BB- (sf) 15.00
NEWFLEET CLO 2016-1: S&P Rates 415MM Class E-R Notes 'BB-'
----------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R,
B-R, C-R, D-R, and E-R replacement notes from Newfleet CLO 2016-1
Ltd., a collateralized loan obligation (CLO) originally issued in
2016 that is managed by NewFleet Asset Management LLC. We withdrew
our ratings on the original class A, B, C, D, and E notes following
payment in full on the May 24, 2018, refinancing date.
On the May 24, 2018, refinancing date, the proceeds from the class
A-1-R, A-2-R, B-R, C-R, D-R, and E-R replacement note issuances
were used to redeem the original class A, 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 it is assigning ratings to the replacement notes.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"The 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
Newfleet CLO 2016-1 Ltd.
Replacement class Rating Amount (mil $)
A-1-R AAA (sf) 210.50
A-2-R AAA (sf) 17.00
B-R AA (sf) 38.50
C-R A (sf) 21.00
D-R BBB (sf) 17.50
E-R BB- (sf) 15.00
RATINGS WITHDRAWN
Newfleet CLO 2016-1 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)
NR--Not rated.
OCTAGON INVESTMENT 37: S&P Gives Prelim BB-(sf) Rating on D Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Octagon
Investment Partners 37 Ltd./Octagon Investment Partners 37 LLC's
$513.65 million floating-rate notes.
The note issuance is a collateralized loan obligation (CLO)
transaction backed primarily by broadly syndicated senior secured
term loans.
The preliminary ratings are based on information as of May 24,
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
Octagon Investment Partners 37 Ltd./Octagon Investment
Partners 37 LLC
Class Rating Amount
(mil. $)
A-1a AAA (sf) 348.00
A-1b NR 36.00
A-2 AA (sf) 73.00
B (deferrable) A (sf) 33.00
C (deferrable) BBB- (sf) 37.75
D (deferrable) BB- (sf) 21.90
Subordinated notes NR 61.25
NR--Not rated.
OLYMPIC TOWER 2017-QT: Fitch Affirms Class E Certs at 'BB-sf'
-------------------------------------------------------------
Fitch Ratings affirms Olympic Tower 2017-OT Mortgage Trust
Commercial Mortgage Pass-Through Certificates (Olympic Tower
2017-OT).
KEY RATING DRIVERS
The affirmations reflect the stable performance of the collateral,
which consists of the leasehold interest in the office and retail
portions of a 52-story high-end mixed use property located on Fifth
Avenue in Midtown Manhattan. The property continues to exhibit
strong occupancy at 99%. Per the servicer, the YTD September 2017
net cash flow (NCF) debt service coverage ratio (DSCR) was 1.67x
for this interest only loan.
High Quality Asset in Prime Office and Retail Location: The
property consists of approximately 410,600 rentable sf of class A
office space within the Plaza submarket and 113,600 rentable sf of
retail space along Fifth Avenue, between East 51st and East 52nd
Streets in midtown Manhattan. The retail submarket is a premier
shopping district, with some of the highest asking rents in the
world.
Strong Historical Occupancy and Long-Term Leases: Per the Dec. 31,
2017 rent roll, the property is currently 99% occupied; it has
maintained an average historical occupancy of over 97% since 2008.
The top five tenants, which account for 86.8% of the NRA, have a
weighted average remaining lease term of approximately 13.6 years.
Diverse and High Quality Tenant Base: The property is leased to
over 20 office and retail tenants. It serves as the headquarters
location for several of the tenants, including the NBA (36.6% of
NRA), MSD Capital (8.4% of NRA), and Richemont North America (25.2%
of NRA) and as flagship locations for Cartier (10.5% of NRA) and
Versace USA (3.8% of NRA). The property leases space to other
luxury retailers including Furla, Longchamp, Armani Exchange, Jimmy
Choo, and H. Stern.
Below-Market Retail Rents: The retail tenancy, which contributes
approximately two-thirds of the property's base rent, has overall
retail rents that are well below the appraiser's view of market
rents. Further, in place rents for retail tenants that mature
during the loan term are approximately 23% below market.
Fitch Leverage: The $760 million mortgage loan has a Fitch stressed
DSCR and loan-to-value (LTV) of 1.05x and 83.7%, respectively, and
debt of $1,450 psf.
The total debt package includes mezzanine financing in the amount
of $240 million that is not included in the trust.
Experienced Sponsorship and Property Management: The sponsorship is
a joint venture between OMERS Administration Corporation and Crown
Acquisitions, Inc. Oxford Properties Group is the global real
estate investment, development and management arm of OMERS, and has
over $41 billion of assets. Oxford has a portfolio that currently
totals approximately 60 million sf and over 150 properties located
in Canada, Western Europe, and the U.S. Crown Acquisitions
ownership interests include over 50 assets located in major markets
such as New York, Chicago, San Francisco, Las Vegas and Miami.
RATING SENSITIVITIES
The Rating Outlook for all classes remains Stable. No rating
actions are anticipated unless there are material changes in
property occupancy or cash flow. The property performance is
consistent with issuance.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
--$230,597,000 class A at 'AAAsf'; Outlook Stable;
--$230,597,000 interest-only class X-A at 'AAAsf'; Outlook
Stable;
--$35,990,000 interest only class X-B at 'AA-sf'; Outlook
Stable;
--$35,990,000 class B at 'AA-sf'; Outlook Stable;
--$28,821,000 class C at 'A-sf'; Outlook Stable;
--$56,092,000 class D at 'BBB-sf'; Outlook Stable;
--$104,500,000 class E at 'BB-sf'; Outlook Stable.
Fitch does not rate the VRR Interest.
POST CLO 2018-1: Moody's Assigns Ba3 Rating on Class E Notes
------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Post CLO 2018-1 Ltd.
Moody's rating action is as follows:
US$256,000,000 Class A Senior Secured Floating Rate Notes due 2031
(the "Class A Notes"), Assigned Aaa (sf)
US$42,700,000 Class B Senior Secured Floating Rate Notes due 2031
(the "Class B Notes"), Assigned Aa2 (sf)
US$20,500,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C Notes"), Assigned A2 (sf)
US$26,450,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class D Notes"), Assigned Baa3 (sf)
US$22,700,000 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.
Post 2018-1 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
senior secured loans, cash, and eligible investments, and up to
7.5% of the portfolio may consist of second lien loans and
unsecured loans. The portfolio is approximately 75% ramped as of
the closing date.
Post Advisory Group, LLC will direct the selection, acquisition and
disposition of the assets on behalf of the Issuer and may engage in
trading activity, including discretionary trading, during the
transaction's five year reinvestment period. Thereafter, the
Manager may reinvest unscheduled principal payments and proceeds
from sales of credit risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer 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.
PSMC TRUST 2018-2: Fitch Assigns 'Bsf' Rating on Class B-5 Certs
----------------------------------------------------------------
Fitch Ratings rates American International Group, Inc.'s (AIG) PSMC
2018-2 Trust (PSMC 2018-2) as follows:
--$364,928,000 class A-1 exchangeable certificates 'AAAsf';
Outlook Stable;
--$364,928,000 class A-2 exchangeable certificates 'AAAsf';
Outlook Stable;
--$273,696,000 class A-3 certificates 'AAAsf'; Outlook Stable;
--$273,696,000 class A-4 exchangeable certificates 'AAAsf';
Outlook Stable;
--$18,246,000 class A-5 certificates 'AAAsf'; Outlook Stable;
--$18,246,000 class A-6 exchangeable certificates 'AAAsf';
Outlook Stable;
--$72,986,000 class A-7 exchangeable certificates 'AAAsf';
Outlook Stable;
--$72,986,000 class A-8 exchangeable certificates 'AAAsf';
Outlook Stable;
--$36,493,000 class A-9 certificates 'AAAsf'; Outlook Stable;
--$36,493,000 class A-10 exchangeable certificates 'AAAsf';
Outlook Stable;
--$291,942,000 class A-11 exchangeable certificates 'AAAsf';
Outlook Stable;
--$91,232,000 class A-12 exchangeable certificates 'AAAsf';
Outlook Stable;
--$291,942,000 class A-13 exchangeable certificates 'AAAsf';
Outlook Stable;
--$91,232,000 class A-14 exchangeable certificates 'AAAsf';
Outlook Stable;
--$401,421,000 class A-15 exchangeable certificates 'AAAsf';
Outlook Stable;
--$401,421,000 class A-16 exchangeable certificates 'AAAsf';
Outlook Stable;
--$54,739,000 class A-17 exchangeable certificates 'AAAsf';
Outlook Stable;
--$18,247,000 class A-18 exchangeable certificates 'AAAsf';
Outlook Stable;
--$54,739,000 class A-19 certificates 'AAAsf'; Outlook Stable;
--$18,247,000 class A-20 certificates 'AAAsf'; Outlook Stable;
--$401,421,000 class A-X1 notional certificates 'AAAsf'; Outlook
Stable;
--$364,928,000 class A-X2 notional exchangeable certificates
'AAAsf'; Outlook Stable;
--$273,696,000 class A-X3 notional exchangeable certificates
'AAAsf'; Outlook Stable;
--$18,246,000 class A-X4 notional exchangeable certificates
'AAAsf'; Outlook Stable;
--$72,986,000 class A-X5 notional exchangeable certificates
'AAAsf'; Outlook Stable;
--$36,493,000 class A-X6 notional exchangeable certificates
'AAAsf'; Outlook Stable;
--$401,421,000 class A-X7 notional exchangeable certificates
'AAAsf'; Outlook Stable;
--$54,739,000 class A-X8 notional certificates 'AAAsf'; Outlook
Stable;
--$18,247,000 class A-X9 notional certificates 'AAAsf'; Outlook
Stable;
--$9,874,000 class B-1 certificates 'AAsf'; Outlook Stable;
--$7,084,000 class B-2 certificates 'Asf'; Outlook Stable;
--$4,937,000 class B-3 certificates 'BBBsf'; Outlook Stable;
--$3,220,000 class B-4 certificates 'BBsf'; Outlook Stable;
--$1,503,000 class B-5 certificates 'Bsf'; Outlook Stable.
Fitch will not be rating the following class:
--$1,288,369 class B-6 certificates.
The notes are supported by one collateral group that consists of
682 prime fixed-rate mortgages (FRMs) acquired by subsidiaries of
AIG from various mortgage originators with a total balance of
approximately $446.33 million of the cut-off date.
The 'AAAsf' rating on the class A notes reflects the 6.50%
subordination provided by the 2.30% class B-1, 1.65% class B-2,
1.15% class B-3, 0.75% class B-4, 0.35% class B-5 and 0.30% class
B-6 notes.
KEY RATING DRIVERS
High-Quality Mortgage Pool (Positive): The pool consists of
high-quality, 30-year, fixed-rate fully amortizing Safe Harbor
Qualified Mortgage (SHQM) loans to borrowers with strong credit
profiles, relatively low leverage and large liquid reserves. The
loans are seasoned an average of five months.
The pool has a weighted average (WA) original FICO score of 773,
which is indicative of very high credit-quality borrowers.
Approximately 80.5% of the borrowers have original FICO scores
above 750. In addition, the original WA CLTV ratio of 73.6%
represents substantial borrower equity in the property and reduced
default probability.
AIG as Aggregator (Neutral): AIG is a global insurance corporation
that has issued three previous RMBS transactions to date. The first
two transactions were issued in 2017 under Credit Suisse's CSMC
shelf and the third transaction was issued in March 2018 using
their recently created depositor, Pearl Street Mortgage Company
(PSMC). This will be the second transaction issued under the PSMC
shelf.
In 2013, AIG established the Residential Mortgage Lending (RML)
group to establish relationships with mortgage originators and
acquire prime jumbo loans on behalf of funds owned by AIG. Fitch
conducted a full review of AIG's aggregation processes and believes
that AIG meets industry standards needed to aggregate mortgages for
residential mortgage-backed securitization. In addition to the
satisfactory operational assessment, a due diligence review was
completed on 100% of the pool.
Third-Party Due Diligence Results (Positive): A loan-level due
diligence review was conducted on 100% of the pool in accordance
with Fitch's criteria and focused on credit, compliance and
property valuation. 28.4% of the loans received an 'A' grade, and
the remainders were graded 'B' (70.7%) and 'C' (0.9%). No loans
were graded 'D.' The loans graded 'C' were determined to be
non-material to the transaction. In Fitch's view, the results of
the diligence indicate acceptable controls and adherence to
underwriting guidelines and no adjustment was made to the expected
losses.
Top Tier Representation and Warranty Framework (Positive): Fitch
considers the transaction's representation, warranty and
enforcement (RW&E) mechanism framework to be consistent with Tier I
quality. As a result of the Tier I RW&E framework and the 'A'
Fitch-rated counterparty supporting the repurchase obligations of
the RW&E providers, the pool's expected loss at the 'AAAsf' level
was reduced by 24 basis points.
Straightforward Deal Structure (Positive): The mortgage cash flow
and loss allocation are based on a senior-subordinate,
shifting-interest structure, whereby the subordinate classes
receive only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps maintain subordination for a longer period should
losses occur later in the life of the deal. The applicable credit
support percentage feature redirects subordinate principal to
classes of higher seniority if specified credit enhancement (CE)
levels are not maintained.
CE Floor (Positive): To mitigate tail risk, which arises as the
pool seasons and fewer loans are outstanding, a subordination floor
of 1.00% of the original balance will be maintained for the
certificates. Additionally, there is no early stepdown test that
might allow principal prepayments to subordinate bondholders
earlier than the five-year lockout schedule.
Geographic Concentration (Neutral): Approximately 35.7% of the pool
is located in California, which is in line or slightly lower than
other recent Fitch-rated transactions. In addition, the
Metropolitan Statistical Area (MSA) concentration is minimal, as
the top-three MSAs account for only 27% of the pool. The largest
MSA concentration is in the San Francisco MSA (10.5%) followed by
the Los Angeles MSA (9.7%) and the Atlanta MSA (6.8%). As a result,
no geographic concentration penalty was applied.
Extraordinary Expense Treatment (Neutral): The trust provides for
expenses, including indemnification amounts and costs of
arbitration, to be paid by the net WA coupon of the loans, which
does not affect the contractual interest due on the certificates.
Furthermore, the expenses to be paid from the trust are capped at
$300,000 per annum, which can be carried over each year, subject to
the cap until paid in full.
REAL ESTATE 2016-1: DBRS Confirms BB Rating on Class F Certs
------------------------------------------------------------
DBRS Limited confirmed the ratings for all classes of the
Commercial Mortgage Pass-Through Certificates, Series 2016-1 (the
Certificates), issued by Real Estate Asset Liquidity Trust, Series
2016-1 (the Trust) as follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class X at A (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
-- Class G at B (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction since issuance. At issuance, the collateral
consisted of 55 fixed-rate loans secured by 91 commercial
properties. As at the April 2018 remittance, all loans remain in
the pool with an aggregate principal balance of $382.8 million,
representing a collateral reduction of 4.5% as a result of
scheduled loan amortization. To date, loans representing 60.4% of
the pool have reported YE2016 financials and, based on those
figures, those loans reported a weighted-average (WA) debt service
coverage ratio (DSCR) of 1.68 times (x), representing a WA net cash
flow growth of 17.5% over the DBRS issuance figures.
The pool is fairly concentrated by property type, as 26 loans,
representing 39.9% of the pool, are secured by retail properties,
11 loans (23.1% of the pool) are secured by multifamily properties,
nine loans (15.2% of the pool) are secured by industrial properties
and five loans (14.7% of the pool) are secured by office
properties, representing 92.9% of the pool. By geographical
location, the pool is most concentrated in central Canada, as the
largest concentration by province is Ontario with 34 loans (55.9%
of the pool), followed by Quebec with eight loans (17.6% of the
pool) and British Columbia with nine loans (10.0% of the pool). The
pool is rather diverse in concentration by loan size, as the top
ten and top 15 loans only represent 42.7% and 54.6% of the pool,
respectively. The transaction benefits from 27 loans (50.6% of the
pool) having some degree of recourse to their respective sponsors.
As at the April 2018 remittance, there are no loans on the
servicer's watch list or in special servicing.
At issuance, DBRS shadow-rated the Toronto Congress Centre
(Prospectus ID#2, 5.4% of the pool) as investment grade. DBRS
confirms that the performance of this loan remains consistent with
investment-grade loan characteristics.
Class X is an interest-only (IO) certificate that references
multiple rated tranches. The IO rating mirrors the lowest-rated
applicable reference obligation tranche adjusted upward by one
notch if senior in the waterfall.
Notes: All figures are in Canadian dollars unless otherwise noted.
REALT 2016-1: Fitch Affirms BB Rating on Class F Certs
------------------------------------------------------
Fitch Ratings affirms eight classes of Real Estate Asset Liquidity
Trust's (REAL-T) commercial mortgage pass-through certificates
series 2016-1. All currencies are in Canadian dollars (CAD).
KEY RATING DRIVERS
Stable Performance: The overall pool performance remains stable
from issuance. There are no delinquent or specially serviced loans.
As of the April 2018 distribution date, the pool's aggregate
balance has been reduced by 4.5% to $382.84 million, from $400.95
million at issuance. There are no loans on the servicer's
watchlist, and no loans are considered Fitch loans of concern.
Additionally, there is no exposure to Alberta properties.
Significant Amortization: At issuance, the pool's weighted average
remaining amortization term was 27 years, which represents faster
amortization than typical U.S. conduit loans. There are no partial
or full term interest-only loans. The pool's expected balance at
maturity will represent a paydown of 23.3% of the closing balance
at issuance, which is significantly more than typical U.S.
multiborrower transactions.
Canadian Loan Attributes and Structural Features: The ratings
reflect strong historical Canadian commercial real estate loan
performance, including a low delinquency rate and low historical
losses of less than 0.1%, as well as positive loan attributes, such
as short amortization schedules, recourse to the borrower and
additional guarantors. Approximately 82.3% of the loans feature
full or partial recourse to the borrowers and/or sponsors.
The largest loan, Tamarack Centre Retail (7.6% of the pool
balance), is secured by a 294,045 square foot (sf) enclosed mall in
Cranbrook, BC. The mall is anchored by Canadian Tire. Other
national tenants include Winners, Staples and Shoppers Drug Mart.
The servicer-reported occupancy as of April 2017 was 97.4%.
The second largest loan, Colonnade Office Ottawa (5.4%), is secured
by a 151,614 sf office property south of downtown Ottawa, ON. The
property is fully occupied by the Public Health Agency of Canada,
an agency of the Federal Government of Canada, rated 'AAA' by
Fitch.
RATING SENSITIVITIES
Outlooks on classes remain Stable due to overall stable collateral
performance. Fitch does not foresee positive or negative ratings
migration unless a material economic or asset level event changes
the underlying transaction's portfolio-level metrics.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating.
Fitch affirmed the following ratings:
-- $178.6 million class A-1 at 'AAAsf'; Outlook Stable;
-- $150.1 million class A-2 at 'AAAsf'; Outlook Stable;
-- $9 million class B at 'AAsf'; Outlook Stable;
-- $12 million class C at 'Asf'; Outlook Stable;
-- $11 million class D at 'BBBsf'; Outlook Stable;
-- $5.5 million class E at 'BBB-sf'; Outlook Stable;
-- $4.5 million class F at 'BBsf'; Outlook Stable;
-- $4 million class G at 'Bsf'; Outlook Stable.
Fitch does not rate the interest-only class X or the $8 million
class H certificates.
RR LTD 4: S&P Assigns BB- Rating on $36MM Class D Notes
-------------------------------------------------------
S&P Global Ratings assigned its ratings to RR 4 Ltd.'s $807.50
million floating notes.
The note issuance is a collateralized loan obligation transaction
backed by primarily broadly syndicated speculative-grade senior
secured term loans (those rated 'BB+' or lower) that are governed
by collateral quality tests.
The ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
RR 4 Ltd.
Class Rating Amount
(mil. $)
X AAA (sf) 5.00
A-1a AAA (sf) 558.00
A-1b NR 25.50
A-2 AA (sf) 73.50
B (deferrable) A (sf) 82.00
C (deferrable) BBB- (sf) 53.00
D (deferrable) BB- (sf) 36.00
Subordinated notes NR 74.00
NR--Not rated.
TOWD POINT 2018-2: Moody's Assigns (P)B3 Rating on Class B2 Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to eight
classes of notes issued by Towd Point Mortgage Trust ("TPMT")
2018-2.
The notes are backed by one pool of seasoned, performing and
re-performing residential mortgage loans. The collateral pool is
comprised of 9,936 first and junior lien, balloon, adjustable,
fixed and step rate mortgage loans, and has a non-zero updated
weighted average FICO score of 666 and a weighted average current
LTV of 84.0% (for junior lien loans, LTV is calculated based on
junior lien balance over current valuation) as of March 31, 2018
(the "Statistical Calculation Date"). Approximately 80.1% of the
loans, as of the Statistical Calculation Date, in the collateral
pool have been previously modified. Select Portfolio Servicing,
Inc. and Cohen Financial are the servicers for 96.9% and 3.1% of
the loans in the pool, respectively. FirstKey Mortgage, LLC will be
the asset manager for the transaction.
The complete rating actions are as follows:
Issuer: Towd Point Mortgage Trust 2018-2
Class A1, Assigned (P)Aaa (sf)
Class A2, Assigned (P)Aa2 (sf)
Class A3, Assigned (P)Aa1 (sf)
Class A4, Assigned (P)A1 (sf)
Class M1, Assigned (P)A3 (sf)
Class M2, Assigned (P)Baa3 (sf)
Class B1, Assigned (P)Ba3 (sf)
Class B2, Assigned (P)B3 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected losses on TPMT 2018-2's collateral pool is 14.00%
in its base case scenario. Moody's loss estimates take into account
the historical performance of the loans that have similar
collateral characteristics as the loans in the pool, and also
incorporate an expectation of a continued strong credit environment
for RMBS, supported by a current strong housing price environment.
The methodologies used in these ratings were "Moody's Approach to
Rating Securitisations Backed by Non-Performing and Re-Performing
Loans" published in August 2016, and "US RMBS Surveillance
Methodology" published in January 2017.
Collateral Description
TPMT 2018-2's collateral pool is primarily comprised of seasoned,
performing and re-performing mortgage loans. Approximately 80.1% of
the loans (as of the Statistical Calculation Date) in the
collateral pool have been previously modified. The majority of the
loans underlying this transaction exhibit collateral
characteristics similar to that of seasoned Alt-A mortgages. Of
note, approximately 4.8% of the loans by balance are backed by
manufactured housing. Moody's took these loans into account in its
loss analysis based on historical performance data of loans backed
by MH collateral. Approximately 40 loans, representing
approximately 3.5% of the pool balance are backed by multiple
investor properties which can be located in more than one state. 18
of the 40 multi-property investor loans were underwritten to
commercial standards whereas 22 loans were underwritten to
residential mortgage standards. Given the lack of transparency to
the underwriting standards, as well as the financial and
operational wherewithal of these single family rental operators,
Moody's assumed 100% default probability for these 18 loans with
35% loss severity. In addition, there are 5 loans in the pool that
are backed by empty lots. Since, these loans only represent less
than 1.0% of the total pool, Moody's did not assess additional
penalty.
Moody's based its expected losses on the pool on the estimates of
1) the default rate on the remaining balance of the loans and 2)
the principal recovery rate on the defaulted balances. The two
factors that most strongly influence a re-performing mortgage
loan's likelihood of re-default are the length of time that the
loan has performed since modification, and the amount of the
reduction in monthly mortgage payments as a result of modification.
The longer a borrower has been current on a re-performing loan, the
less likely they are to re-default. As of the Statistical
Calculation Date, approximately 56.4% of the borrowers of the loans
in the collateral pool have been current on their payments for the
past 24 months.
Moody's estimated expected losses using two approaches -- (1)
pool-level approach, and (2) re-performing loan level analysis. In
the pool-level approach, Moody's estimated losses on the pool by
applying its assumptions on expected future delinquencies, default
rates, loss severities and prepayments as observed on similar
seasoned collateral. Moody's projected future annual delinquencies
for eight years by applying an initial annual default rate
assumption adjusted for future years through delinquency burnout
factors. The delinquency burnout factors reflect Moody's future
expectations of the economy and the U.S. housing market. Based on
the loan characteristics of the pool and the demonstrated pay
histories, Moody's applied an initial expected annual delinquency
rate of 11.0% for the pool for year one. Moody's then calculated
future delinquencies using default burnout and voluntary
conditional prepayment rate (CPR) assumptions. Moody's aggregated
the delinquencies and converted them to losses by applying pool
specific lifetime default frequency and loss severity assumptions.
Moody's default, CPR and loss severity assumptions are based on
actual observed performance of GSE and non-GSE seasoned performing,
re-performing modified loans and prior TPMT deals. GSE RPL loans
generally have a stronger performance relative to private-label
RPLs, owing to on average better credit quality, relatively
stricter underwriting criteria, better documentation and more
stringent servicer oversight. In applying Moody's loss severity
assumptions, it accounted for the lack of principal and interest
advancing in this transaction.
Moody's also conducted a loan level analysis on TPMT 2018-2's
collateral pool. Moody's applied loan-level baseline lifetime
propensity to default assumptions, and considered the historical
performance of seasoned loans with similar collateral
characteristics and payment histories. Moody's then adjusted this
base default propensity up for (1) adjustable-rate loans, (2) loans
that have the risk of coupon step-ups and (3) loans with high
updated loan to value ratios (LTVs). Moody's applied a higher
baseline lifetime default propensity for interest-only loans, using
the same adjustments. To calculate the final expected loss for the
pool, Moody's applied a loan-level loss severity assumption based
on the loans' updated estimated LTVs. Moody's further adjusted the
loss severity assumption upwards for loans in states that give
super-priority status to homeowner association (HOA) liens, to
account for potential risk of HOA liens trumping a mortgage.
For loans with deferred balances, Moody's assumed that 100% of the
remaining PRA amount and approximately 30% of the non-PRA deferred
principal balance on modified loans would be forgiven and not
recovered. The deferred balance in this transaction is
$177,419,909, representing approximately 11.4% of the total unpaid
principal balance (as of the Statistical Calculation Date). Loans
that have HAMP remaining principal reduction amount (PRA) totaled
$2,843,053, representing approximately 1.6% of total deferred
balance. The final expected loss for the collateral pool reflects
the due diligence findings of four independent third party review
(TPR) firms as well as its assessment of TPMT 2018-2's
representations & warranties (R&Ws) framework.
Transaction Structure
TPMT 2018-2 has a sequential priority of payments structure, in
which a given class of notes can only receive principal payments
when all the classes of notes above it have been paid off.
Similarly, losses will be applied in the reverse order of priority.
The Class A1, A2, M1 and M2 notes carry a fixed-rate coupon subject
to the collateral adjusted net WAC and applicable available funds
cap. The Class A3 and A4 are variable rate notes where the coupon
is equal to the weighted average of the note rates of the related
exchange notes. The Class B1, B2, B3, B4 and B5 are variable rate
notes where the coupon is equal to the lesser of adjusted net WAC
and applicable available funds cap. There are no performance
triggers in this transaction. Additionally, the servicer will not
advance any principal or interest on delinquent loans.
Moreover, the monthly excess cash flow in this transaction, after
payment of such expenses, if any, will be fully captured to pay the
principal balance of the bonds sequentially, allowing for a faster
paydown of the bonds.
Moody's coded TPMT 2018-2's cashflows using SFW®, a cashflow tool
developed by Moody's Analytics. To assess the final rating on the
notes, Moody's ran 96 different loss and prepayment scenarios
through SFW. The scenarios encompass six loss levels, four loss
timing curves, and four prepayment curves. The structure allows for
timely payment of interest and ultimate payment of principal with
respect to the notes by the legal final maturity.
Third Party Review
Four independent third party review (TPR) firms -- JCIII &
Associates, Inc. (subsequently acquired by American Mortgage
Consultants), Clayton Services, LLC, AMC Diligence, LLC and Westcor
Land Title Insurance Company -- conducted due diligence for the
transaction. Due diligence was performed on 97.3% of the loans by
count in TPMT 2018-2's collateral pool for compliance, 97.3% for
data capture, 96.9% for pay string history, and 96.3% for title and
tax review. The TPR firms reviewed compliance, data integrity and
key documents to verify that loans were originated in accordance
with federal, state and local anti-predatory laws. The TPR firms
conducted audits of designated data fields to ensure the accuracy
of the collateral tape.
Based on Moody's analysis of the third-party review reports, it
determined that a portion of the loans had legal or compliance
exceptions that could cause future losses to the trust. Moody's
incorporated an additional increase to its expected losses for
these loans to account for this risk. FirstKey Mortgage, LLC,
retained Westcor and AMC to review the title and tax reports for
the loans in the pool, and will oversee Westcor and monitor the
loan sellers in the completion of the assignment of mortgage
chains. In addition, FirstKey expects a significant number of the
assignment and endorsement exceptions to be cleared within the
first twelve months following the closing date of the transaction.
Representations & Warranties
Moody's ratings reflect TPMT 2018-2's weak representations and
warranties (R&Ws) framework. The representation provider, FirstKey
Mortgage, LLC is unrated by Moody's. Moreover, FirstKey's
obligations will be in effect for only thirteen months (until the
payment date in June 2019). The R&Ws themselves are weak because
they contain many knowledge qualifiers and the regulatory
compliance R&W does not cover monetary damages that arise from TILA
violations whose right of rescission has expired. While the
transaction provides a Breach Reserve Account to cover for any
breaches of R&Ws, the size of the account is small relative to TPMT
2018-2's aggregate collateral pool ($1,559 million).
Unlike prior TPMT transactions, the sponsor will not be funding the
breach reserve account at closing. On each payment date, the paying
agent will fund the reserve accounts from the Class XS2 each month
up to target balances based on the outstanding principal balance of
the Class A1, A2, M1 and M2 notes. On each Payment Date, the target
balance of TPMT 2018-2's Breach Reserve Account is equal to the
product of 0.25% and the aggregate principal balance of the Class
A1, A2, M1 and M2 notes. On the Closing Date, the initial Breach
Reserve Account Target Amount will be $3,090,513. Since Moody's
loss analysis already take into account the weak R&W framework, it
did not apply additional penalty.
Transaction Parties
The transaction benefits from a strong servicing arrangement.
Select Portfolio Servicing, Inc. and Cohen Financial will service
96.9% and 3.1% of TPMT 2018-2's collateral pool, respectively.
Moody's considers the overall servicing arrangement for this pool
to be better than average given the strength of the servicer,
Select Portfolio Servicing, Inc. Moody's is neutral with respect to
Cohen Financial. Furthermore, FirstKey Mortgage, LLC, the asset
manager, will oversee the servicers, which strengthens the overall
servicing framework in the transaction. Wells Fargo Bank, NA and
U.S. Bank National Association are the Custodians of the
transaction. The Delaware Trustee for TPMT 2018-2 is Wilmington
Trust, National Association. TPMT 2018-2's Indenture Trustee is
U.S. Bank National Association.
Factors that would lead to an upgrade or downgrade of the ratings:
Factors that would lead to an upgrade of the rating
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from its original expectations
as a result of a lower number of obligor defaults or appreciation
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
better-than-expected performance include changes to servicing
practices that enhance collections or refinancing opportunities
that result in prepayments.
Factors that would lead to a downgrade of the rating
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligors defaulting or
deterioration in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market. Other reasons
for worse-than-expected performance include poor servicing, error
on the part of transaction parties, inadequate transaction
governance and fraud.
UBSC 2011-C1: Moody's Affirms Class G Certs at Caa1
---------------------------------------------------
Moody's Investors Service has affirmed the ratings on 11 classes in
UBS-Citigroup Commercial Mortgage Trust 2011-C1, Commercial
Mortgage Pass-Through Certificates, Series 2011-C1 as follows:
Cl. A-3, Affirmed Aaa (sf); previously on Aug 3, 2017 Affirmed Aaa
(sf)
Cl. A-AB, Affirmed Aaa (sf); previously on Aug 3, 2017 Affirmed Aaa
(sf)
Cl. A-S, Affirmed Aaa (sf); previously on Aug 3, 2017 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa1 (sf); previously on Aug 3, 2017 Affirmed Aa1
(sf)
Cl. C, Affirmed A1 (sf); previously on Aug 3, 2017 Affirmed A1
(sf)
Cl. D, Affirmed A3 (sf); previously on Aug 3, 2017 Affirmed A3
(sf)
Cl. E, Affirmed Ba1 (sf); previously on Aug 3, 2017 Downgraded to
Ba1 (sf)
Cl. F, Affirmed B1 (sf); previously on Aug 3, 2017 Downgraded to B1
(sf)
Cl. G, Affirmed Caa1 (sf); previously on Aug 3, 2017 Downgraded to
Caa1 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on Aug 3, 2017 Affirmed Aaa
(sf)
Cl. X-B, Affirmed B1 (sf); previously on Aug 3, 2017 Affirmed B1
(sf)
RATINGS RATIONALE
The ratings on eight 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 one P&I class was affirmed because the ratings are
consistent with Moody's expected loss.
The ratings on two IO classes were affirmed based on the credit
quality of the referenced classes.
Moody's rating action reflects a base expected loss of 5.0% of the
current pooled balance, compared to 5.9% at Moody's last review.
Moody's base expected loss plus realized losses is now 3.1% of the
original pooled balance, compared to 4.0% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in rating UBS-Citigroup Commercial Mortgage
Trust 2011-C1, Cl. A-3, Cl. A-AB, Cl. A-S, 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
UBS-Citigroup Commercial Mortgage Trust 2011-C1, 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 May 10, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 37% to $425.1
million from $673.9 million at securitization. The certificates are
collateralized by 25 mortgage loans ranging in size from less than
1% to 15% of the pool, with the top ten loans (excluding
defeasance) constituting 59% of the pool. Four loans, constituting
21% 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 13, compared to a Herf of 14 at Moody's last
review.
Four loans, constituting 24% 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.
One loan has been liquidated from the pool, resulting in or
contributing to an aggregate realized loss of approximately $82,000
(for an average loss severity of 1.1%). There are no loans
currently in special servicing.
Moody's has also assumed a high default probability for one poorly
performing loan, constituting 3% of the pool.
Moody's received full year 2016 operating results for 88% of the
pool, and full or partial year 2017 operating results for 84% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 95%, compared to 96% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 21% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 10.1%.
Moody's actual and stressed conduit DSCRs are 1.36X and 1.23X,
respectively, compared to 1.35X and 1.20X 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 28.1% of the pool balance.
The largest loan is the Poughkeepsie Galleria Loan ($64.8 million
-- 15.3% of the pool), which represents a pari-passu portion of a
$144.2 million senior mortgage. The loan is also encumbered by $21
million of mezzanine debt. The loan is secured by a 691,000 square
foot (SF) portion of a 1.2 million SF regional mall located about
70 miles north of New York City in Poughkeepsie, New York. Mall
anchors include J.C. Penney, Regal Cinemas, and Dick's Sporting
Goods as part of the collateral. Non-collateral anchors include
Macy's, Best Buy, Target and Sears. As of the December 2017 rent
roll, the collateral was 87% leased and in-line space (
VOYA CLO 2018-2: S&P Assigns Prelim B-(sf) Rating on Class F Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Voya CLO
2018-2 Ltd./Voya CLO 2018-2 LLC's $566.34 million floating-rate
notes.
The note issuance is a collateralized loan obligation transaction
backed primarily by broadly syndicated senior secured term loans.
The preliminary ratings are based on information as of May 22,
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
Voya CLO 2018-2 Ltd./Voya CLO 2018-2 LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 360.00
A-2 NR 30.00
B-1 AA (sf) 49.70
B-2 AA (sf) 16.30
C-1 (deferrable) A (sf) 25.40
C-2 (deferrable) A (sf) 10.60
D (deferrable) BBB- (sf) 36.00
E (deferrable) BB- (sf) 22.50
F (deferrable) B- (sf) 10.50
Subordinated notes NR 51.10
Combination notes A-p (sf) 35.34
NR--Not rated.
p--Principal-only.
WABR 2016-BOCA: Fitch Affirms 'B-sf' Rating on $75MM Class F Certs
------------------------------------------------------------------
Fitch Ratings has affirmed seven classes of Waldorf Astoria Boca
Raton Trust (WABR) 2016-BOCA commercial mortgage pass-through
certificates series 2016-BOCA.
KEY RATING DRIVERS
Property Cash Flow Improving: The collateral has demonstrated a
decline in cash flow since issuance, but cash flow has increased
from year-end (YE) 2016. The YE December 2017 net cash flow (NCF)
is approximately 5.3% above the YE 2016 NCF, but it is 3.1% below
the issuers underwritten NCF. The asset performance declined in
2016, but generally remains in line with historical averages. The
property appears to have been affected by the major guestroom
renovations at the Yacht Club and Tower buildings, which were
completed in 2017 and included the replacement of case goods and
soft goods as well as the modernization of bathrooms for the Tower
units. Meeting rooms and ballrooms were also renovated. The
preliminary budget to complete this work was approximately
$28,000,000.
High Quality Asset: The loan is secured by the fee and leasehold
interests in the 1,047-room Waldorf Astoria Boca Raton Resort &
Club. The collateral has both lakefront (Lake Boca Raton) and
oceanfront (Atlantic Ocean) land. Property amenities include: a
full-service spa, three fitness centers, 30 tennis courts, 16 food
and beverage (F&B) outlets, two 18-hole golf courses, seven
swimming pools including a FlowRider wave simulator, a 32-slip
marina and approximately 200,000 square feet of indoor and outdoor
meeting space. The property carries a Hilton Worldwide flag and
operates under Waldorf Astoria. The franchise agreement does not
expire until 2033.
Loan and Transaction Structure: The $430 million mortgage is
structured as a two-year, floating-rate loan that matures in June
2018. There are three successive one-year extension options and the
loan is interest only for the entire term. Blackstone is the loan's
sponsor. According to the servicer, Blackstone has exercised one of
the extension options and it is currently being processed. The
sponsor is also exploring a potential sale as well with offers
being received and reviewed.
New Assignment of Special Servicer: Fitch withdrew its ratings of
Talmage, LLC on Feb. 9, 2018, and Talmage, LLC subsequently
resigned as special servicer on the transaction. Following numerous
inquiries to the remaining transaction parties, Fitch was notified
on May 7, 2018 that Wells Fargo, as trustee and certificate
administrator, has appointed Wells Fargo as replacement special
servicer, effective May 7, 2018. The affirmations reflect the
replacement of the former special servicer by a qualified
Fitch-rated special servicer.
Non-Traditional Hotel Income: For YE December 2017, approximately
$68.4 million of non-room and non-F&B revenue was generated by the
property, representing 31.2% of the property's total revenues.
Ancillary revenue sources include golf, spa, tennis, beach, marina
and club fees.
Single Asset Concentration: The transaction is secured by a single
hotel property and therefore more susceptible to single event risk
related to the market. Hotel performance is considered to be more
volatile due to their operating nature. Fitch will continue to
monitor the subject property's performance to ensure that current
revenues and incomes remain sustainable over the loan term.
RATING SENSITIVITIES
Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset-level event changes the transaction's overall
portfolio-level metrics. However, Fitch views the overall hotel
industry as operating at peak levels for the cycle and will
continue to monitor the asset. For additional rating sensitivity
please refer to the transaction's presale dated July 5, 2016.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating.
Fitch has affirmed the following ratings:
-- $145,100,000 class A 'AAAsf'; Outlook Stable;
-- $275,000,000* class X-NCP 'BBB-sf'; Outlook Stable;
-- $50,500,000 class B 'AA-sf'; Outlook Stable;
-- $37,400,000 class C 'A-sf'; Outlook Stable;
-- $42,000,000 class D 'BBB-sf'; Outlook Stable;
-- $80,000,000 class E 'BB-sf'; Outlook Stable;
-- $75,000,000 class F 'B-sf'; Outlook Stable.
*Notional amount and interest-only.
The interest only class X-CP is past its final rated distribution
date and is no longer receiving payments; as such the certificates
are considered to be paid in full.
WACHOVIA BANK 2003-C7: Moody's Affirms C Rating on Class C Certs
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three classes
in Wachovia Bank Commercial Mortgage Trust 2003-C7, Commercial
Mortgage Pass-Through Certificates, Series 2003-C7 as follows:
Cl. F, Affirmed Aaa (sf); previously on Jun 1, 2017 Upgraded to Aaa
(sf)
Cl. G, Affirmed B1 (sf); previously on Jun 1, 2017 Upgraded to B1
(sf)
Cl. H, Affirmed C (sf); previously on Jun 1, 2017 Affirmed C (sf)
RATINGS RATIONALE
The ratings on the P&I classes, Classes F and G, 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 P&I class, Class H, was affirmed because the
rating is consistent with Moody's realized losses. Class H has
already experienced a 71% realized loss as result of previously
liquidated loans.
Moody's rating action reflects a base expected loss of 0% of the
current pooled balance, the same as at Moody's last review. 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 6.6%
of the original pooled balance, compared to 6.5% at the last
review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.
DEAL PERFORMANCE
As of the May 15, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $19.4 million
from $1 billion at securitization. The certificates are
collateralized by 14 mortgage loans ranging in size from less than
1% to 37% of the pool. Four loans, constituting 22.3% 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 three, compared to five at Moody's last review.
Three loans, constituting 11.7% 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.
Six loans have been liquidated from the pool, resulting in an
aggregate realized loss of $66.5 million (for an average loss
severity of 70.5%). There are currently no loans in special
servicing.
Moody's received full year 2016 operating results for 90% of the
pool, and full or partial year 2017 operating results for 100% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 56.7%, compared to 53.5% 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 31.9% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.12%.
Moody's actual and stressed conduit DSCRs are 1.12X and 2.30X,
respectively, compared to 1.19X and 2.13X 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 60.1% of the pool balance.
The largest loan is the Plaza de Laredo Loan ($7.2 million -- 37%
of the pool), which is secured by a retail property located in
Laredo, Texas, approximately 2.5 hours south of San Antonio near
the border of Mexico. The property is shadow anchored by Walmart
and the top three tenants at the property are Home Depot (49.4% of
NRA; lease expiration August 2021), Academy Sports & Outdoors
(25.6% of NRA; lease expiration July 2018), and Office Depot (10.3%
of NRA; lease expiration December 2018). As per the December 2017
rent roll, the property was 99.7% leased. The loan has amortized
37% since securitization and is scheduled to mature in October
2023. Moody's LTV and stressed DSCR are 57.9% and 1.73X,
respectively, compared to 61.4% and 1.63X at the last review.
The second largest loan is the Clearwater and Ocala, Florida Loan
(formerly known as the Florida Eckerd Portfolio Loan) ($2.3 million
-- 11.9% of the pool), which was originally secured by two
cross-collateralized and cross-defaulted single-tenant Eckerd
stores in Clearwater and Ocala, Florida. The property in Clearwater
is now leased to Main Street Thrift Shop and the property in Ocala
is leased to Dollar Tree. Performance has remained stable and the
loan has amortized 60% since securitization. The loan is scheduled
to mature in September 2023. Moody's LTV and stressed DSCR are
46.3% and 2.1X, respectively, compared to 53.3% and 1.82X at the
last review.
The third largest loan is the Sorrento Place I & II Loan ($2.2
million -- 11.2% of the pool), which is secured by a 72-unit
multifamily property located in Fargo, North Dakota. The subject
property consists of two, three-story garden style apartments with
a mixture of one, two and three bedroom units, along with single
and double car garages. The property was 81% occupied as of
December 2017, compared to 90% occupied as of December 2016. The
loan has amortized 26.3% since securitization and is scheduled to
mature in July 2018. Moody's stressed the cash flow given occupancy
declines and potential refinance risk. Moody's LTV and stressed
DSCR are 101.2% and 0.93X, respectively, compared to 63.7% and
1.48X at the last review.
WELLS FARGO 2018-C44: DBRS Finalizes BB Rating on Class F-RR Certs
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2018-C44 issued by Wells Fargo Commercial Mortgage Trust 2018-C44:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class X-A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (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 (sf)
-- Class G-RR at B (high) (sf)
All trends are Stable.
DBRS has withdrawn its provisional rating on the following class:
-- Class X-B at A (high) (sf)
DBRS has also assigned a new rating to the following class:
-- Class X-B at AA (high) (sf)
Classes X-D, D, E-RR, F-RR and G-RR have been privately placed. The
Class X-A, X-B and X-D balances are notional.
As a result of the pricing of the transaction, no excess interest
proceeds from the Class C certificates will be available to be
contributed to the Class X-B certificates. Therefore, excess
interest proceeds that will be contributed to Class X-B will only
come from the Class A-S and B certificates. Per the DBRS "Rating
North American CMBS Interest-Only Certificates" methodology, DBRS
rates interest-only (IO) tranches to the lowest rated Applicable
Reference Obligation, which in the case of Class X-B now references
Classes A-S and B with a one-notch deviation.
The collateral consists of 44 fixed-rate loans secured by 55
commercial and multifamily properties. The transaction is a
sequential-pay pass-through structure. One of the loans,
representing 3.9% of the pool, is shadow-rated investment grade by
DBRS. Proceeds for the shadow-rated loan are floored at its
respective rating within the pool. When 3.9% 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 and their
respective actual constants, six loans, representing 19.0% of the
total pool, had a DBRS Term Debt Service Coverage Ratio (DSCR)
below 1.15 times (x), a threshold indicative of a higher likelihood
of mid-term default. Additionally, to assess refinance risk, given
the current low interest rate environment, DBRS applied its
refinance constants to the balloon amounts. This resulted in 24
loans, representing 60.8% of the pool, having Refinance (Refi)
DSCRs below 1.00x and 16 loans, representing 45.4% of the pool,
with Refi DSCRs below 0.90x. These credit metrics are based on
whole-loan balances.
One of the ten largest loans in the pool, 181 Fremont Street,
exhibits credit characteristics consistent with a shadow rating of
AA. This loan represents 3.9% of the transaction balance. None of
the loans in the pool are secured by student or military housing
properties, which often exhibit higher cash flow volatility than
traditional multifamily assets. Additionally, DBRS did not deem any
of the properties securing the loans to have Below Average or Poor
property quality. Only one loan, Crossroads at Stony Point, was
considered to have Average (-) property quality and represents 2.4%
of the DBRS sample balance. Furthermore, nine loans, comprising
30.7% of the DBRS sample balance, were considered to have either
Above Average or Average (+) property quality. The remaining loans
were classified as having Average property quality. Lastly, term
default risk is relatively low, as indicated by the strong DBRS
Term DSCR of 1.55x. In addition, 19 loans, representing 51.6% of
the pool, have a DBRS Term DSCR in excess of 1.50x. This includes
nine of the largest 15 loans. Even when excluding the shadow-rated
investment-grade loan, the deal exhibits a favorable WA DBRS Term
DSCR of 1.49x.
Ten loans, comprising 25.9% of the transaction balance, are secured
by properties that are either fully or primarily leased to a single
tenant. This includes four of the largest ten loans: 3495 Deer
Creek Road, Konica Minolta Business Solutions HQ, Re/Max Plaza and
181 Fremont Street. Loans secured by properties occupied by single
tenants have been found to suffer higher loss severities in an
event of default. DBRS applied a penalty for single-tenant
properties that resulted in higher loan-level credit enhancement.
Additionally, except for properties occupied by long-term credit
tenants (LTCTs), single-tenant loans generally receive higher cash
flow volatility. Four of the loans — Konica Minolta Business
Solutions HQ, 181 Fremont Street, Whole Foods Pittsburgh and BITCO
Insurance HQ — are fully occupied by LTCTs and represent 44.1% of
the total single-tenant loan concentration based on cut-off-date
trust balances.
Six loans, representing 23.0% of the pool, have sponsorship with
negative credit history and/or loan collateral associated with a
borrowing structure that DBRS deemed to be weak. Such sponsors were
associated with a prior discounted payoff, loan default, voluntary
bankruptcy filing, limited net worth and/or liquidity or a
historical negative credit event. DBRS increased the probability of
default (POD) for loans with identified sponsorship concerns, which
include four of the top 15 loans.
The pool is relatively more concentrated than recent WFCM
transactions, with the top ten loans accounting for 52.2% of the
pool. This is above the top ten loan concentration seen in WFCM
2018-C43 of 49.4%. The deal's concentration profile is equivalent
to that of a pool of 26 equal-sized loans, which is less than
favorable. DBRS applied a concentration penalty to the pool,
effectively increasing the POD of all loans. Although the deal
consists of only 44 loans, the mortgaged properties are located
across 25 states, enhancing diversification. The highest state
concentrations include California (21.6%), Virginia (9.8%) and
Maryland (9.8%). Diversity is further enhanced by four loans,
representing 14.2% of the pool, that are secured by multiple
properties (15 in total). Increased pool diversity helps to
insulate the higher-rated classes from event risk.
Seventeen loans, representing 43.7% of the pool, including six of
the largest ten loans, are structured with IO payments for the full
term. An additional 13 loans, representing 34.9% of the pool, have
partial IO periods remaining ranging from ten months to 59 months.
This concentration includes the shadow-rated loan, which totals
3.9% of the pool. The DBRS Term DSCR is calculated by using the
amortizing debt service obligation, and the DBRS Refi DSCR is
calculated by considering the balloon balance and lack of
amortization when determining refinance risk. DBRS determines POD
based on the lower of Term or Refi DSCRs; therefore, loans that
lack amortization will be treated more punitively.
Classes X-A, X-B and X-D 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.
Notes: All figures are in U.S. dollars unless otherwise noted.
WELLS FARGO 2018-C44: Fitch Rates Class G-RR Certs 'B-sf'
---------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to Wells Fargo Commercial Mortgage Trust 2018-C44
commercial mortgage pass-through certificates, series 2018-C44:
--$20,962,000 class A-1 'AAAsf'; Outlook Stable;
--$27,202,000 class A-2 'AAAsf'; Outlook Stable;
--$6,828,000 class A-3 'AAAsf'; Outlook Stable;
--$37,620,000 class A-SB 'AAAsf'; Outlook Stable;
--$175,000,000 class A-4 'AAAsf'; Outlook Stable;
--$269,070,000 class A-5 'AAAsf'; Outlook Stable;
--$536,682,000a class X-A 'AAAsf'; Outlook Stable;
--$117,878,000a class X-B 'AA-sf'; Outlook Stable;
--$43,126,000 class A-S 'AAAsf'; Outlook Stable;
--$36,418,000 class B 'AA-sf'; Outlook Stable;
--$38,334,000 class C 'A-sf'; Outlook Stable;
--$32,086,000ab class X-D 'BBB-sf'; Outlook Stable;
--$32,086,000b class D 'BBB-sf'; Outlook Stable;
--$12,957,000bc class E-RR 'BBB-sf'; Outlook Stable;
--$21,084,000bc class F-RR 'BB-sf'; Outlook Stable;
--$8,626,000bc class G-RR 'B-sf'; Outlook Stable.
The following class is not rated:
--$37,376,123c class H-RR
(a) Notional amount and interest-only.
(b) Privately placed and pursuant to Rule 144A.
(c) Horizontal credit risk retention interest.
Since Fitch published its expected ratings on April 23, 2018, the
balances for class A-4 and class A-5 were finalized. At the time
that expected ratings were assigned, the class A-4 balance range
was $100,000,000-$220,000,000 and the expected class A-4 balance
range was $224,070,000-$344,070,000. The final class sizes for
class A-4 and A-5 are $175,000,000 and $269,070,000, respectively.
Additionally, there will be no cashflow generated from the class C
to the X-B notes. As such, the rating of the class X-B is 'AA-sf',
which is a change from the expected rating of 'A-sf' for the class
X-B. The classes reflect the final ratings and deal structure.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 44 loans secured by 55
commercial properties having an aggregate principal balance of
$766,689,123 as of the cut-off date. The loans were contributed to
the trust by Wells Fargo Bank, National Association, Barclays Bank
PLC, Ladder Capital Finance LLC and Argentic Real Estate Finance
LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 71.0% of the properties
by balance, cash flow analysis of 87.1%, and asset summary reviews
of 100% of the pool.
KEY RATING DRIVERS
Higher Fitch Leverage Relative to Recent Transactions: The pool's
leverage is substantially higher than that of recent Fitch-rated
multiborrower transactions. The pool's Fitch DSCR of 1.09x is well
below the 2017 average of 1.26x. The pool's Fitch LTV of 111.3% is
well above the 2017 average of 101.6%. Excluding the credit opinion
loans, the Fitch DSCR is 1.08x and the Fitch LTV is 113.0%,
compared with the 2017 averages of 1.21x and 107.2%, respectively.
Investment-Grade Credit Opinion Loan: The seventh-largest loan, 181
Fremont Street (3.9% of the pool), received an investment-grade
credit opinion of 'BBB-sf*' on a standalone basis. The portion of
the pool with investment-grade credit opinions is lower than the
2017 average of 11.7%.
Lower Hotel Exposure: Loans secured by hotel properties represent
only 12.8% of the pool by balance, which is lower than the 2017
average of 15.8% for Fitch-rated transactions. Hotels have the
highest probability of default in Fitch's multiborrower model, all
else equal. Loans secured by office properties and mixed-use
properties that are predominantly office make up 39.9% of the pool.
Loans secured by retail properties and mixed-use properties that
are predominantly retail make up 24.7% of the pool. Office and
retail properties have an average probability of default in Fitch's
multiborrower model, all else equal.
RATING SENSITIVITIES
For this transaction, Fitch's NCF was 10.4% below the most recent
year's NOI (for properties for which a full year NOI was provided,
excluding properties that were stabilizing during this period). The
following rating sensitivities describe how the ratings would react
to further NCF declines below Fitch's NCF. The implied rating
sensitivities are only indicative of some of the potential outcomes
and do not consider other risk factors to which the transaction is
exposed. Stressing additional risk factors may result in different
outcomes. Furthermore, the implied ratings, after the further NCF
stresses are applied, are more akin to what the ratings would be at
deal issuance had those further-stressed NCFs been in place at that
time.
Fitch evaluated the sensitivity of the ratings assigned to the
Wells Fargo Commercial Mortgage Trust 2018-44 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. Page
11 of the presale report includes a detailed explanation of
additional stresses and sensitivities.
WESTLAKE AUTO 2018-2: DBRS Finalizes B Rating on Class F Notes
--------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by Westlake Automobile Receivables Trust
2018-2 (the Issuer):
-- $212,000,000 Class A-1 at R-1 (high) (sf)
-- $305,800,000 Class A-2-A at AAA (sf)
-- $75,000,000 Class A-2-B at AAA (sf)
-- $88,660,000 Class B at AA (sf)
-- $112,370,000 Class C at A (sf)
-- $105,160,000 Class D at BBB (sf)
-- $44,330,000 Class E at BB (sf)
-- $56,680,000 Class F at B (sf)
The ratings are based on a review by DBRS of the following
analytical considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the rating addresses the
timely payment of interest on a monthly basis and principal by the
legal final maturity date for each class.
-- The credit quality of the collateral and performance of the auto
loan portfolio by origination channels.
-- The capabilities of Westlake Services, LLC (Westlake) with
regards to originations, underwriting and servicing.
-- The quality and consistency of provided historical static pool
data for Westlake originations and performance of the Westlake auto
loan portfolio.
-- Wells Fargo Bank, N.A. (rated AA /R-1 (high) with Stable trends
by DBRS) has served as a backup servicer for Westlake since 2003,
when a conduit facility was put in place.
-- 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 Westlake, 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 collateral securing the notes consists entirely of a pool of
retail automobile contracts secured by predominantly used vehicles
that typically have high mileage. The loans are primarily made to
obligors who are categorized as subprime, largely because of their
credit history and credit scores.
The ratings on the Class A Notes reflect the 43.50% of initial hard
credit enhancement provided by the subordinated notes in the pool,
the Reserve Account (1.00%) and overcollateralization (3.00%). The
ratings on the Class B, Class C, Class D, Class E and Class F Notes
reflect 34.90%, 24.00%, 13.80%, 9.50% and 4.00% 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.
WFRBS 2011-C5: Moody's Affirms Class X-B Certs at Ba3
-----------------------------------------------------
Moody's Investors Service has affirmed the ratings on eleven
classes in WFRBS Commercial Mortgage Trust 2011-C5, Commercial
Mortgage-Pass-Through Certificates, Series 2011-C5
Cl. A-3, Affirmed Aaa (sf); previously on May 11, 2017 Affirmed Aaa
(sf)
Cl. A-4, Affirmed Aaa (sf); previously on May 11, 2017 Affirmed Aaa
(sf)
Cl. A-S, Affirmed Aaa (sf); previously on May 11, 2017 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa2 (sf); previously on May 11, 2017 Affirmed Aa2
(sf)
Cl. C, Affirmed A2 (sf); previously on May 11, 2017 Affirmed A2
(sf)
Cl. D, Affirmed Baa1 (sf); previously on May 11, 2017 Affirmed Baa1
(sf)
Cl. E, Affirmed Baa3 (sf); previously on May 11, 2017 Affirmed Baa3
(sf)
Cl. F, Affirmed Ba2 (sf); previously on May 11, 2017 Affirmed Ba2
(sf)
Cl. G, Affirmed B2 (sf); previously on May 11, 2017 Affirmed B2
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on May 11, 2017 Affirmed Aaa
(sf)
Cl. X-B, Affirmed Ba3 (sf); previously on May 11, 2017 Affirmed Ba3
(sf)
RATINGS RATIONALE
The ratings of nine P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR), and the
transaction's Herfindahl Index (Herf) are within acceptable
ranges.
The ratings of the IO classes, Cl. X-A and Cl. X-B, were affirmed
because of the credit quality of their referenced classes.
Moody's rating action reflects a base expected loss of 2.0% of the
current pooled balance, compared to 1.1% at Moody's last review.
Moody's base expected loss plus realized losses is now 1.6% of the
original pooled balance, compared to 0.9% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in rating WFRBS Commercial Mortgage Trust
2011-C5, Cl. A-3, Cl. A-4, Cl. A-S, 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 WFRBS
Commercial Mortgage Trust 2011-C5, 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 April 17, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 19.9% to $873.7
million from $1.09 billion at securitization. The certificates are
collateralized by 56 mortgage loans ranging in size from less than
1% to 21.4% of the pool, with the top ten loans (excluding
defeasance) constituting 65.3% of the pool. Eight loans,
constituting 6.1% of the pool, have defeased and are secured by US
government securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 12, the same as at Moody's last review.
Eleven loans, constituting 20.0% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
No loans have been liquidated from the pool. One loan, the
Boardwalk Apartments Loan ($5.0 million -- 0.6% of the pool), is
currently in special servicing. The loan is secured by a 174-unit
multifamily property located in Houston, Texas. The property was
transferred to the special servicer in February 2018 due to
imminent non-monetary default stemming from damage sustained during
Hurricane Harvey. Due to significant damage, the property was
vacated. This is the third-consecutive year that the property has
experienced flooding. The loan remains current on its debt service
payments as of the April 2018 remittance report.
Moody's has also assumed a high default probability for two poorly
performing loans, constituting 2.1% of the pool, and has estimated
an aggregate loss of $7.2 million (a 31% expected loss on average)
from these specially serviced and troubled loans.
Moody's received full year 2016 operating results for 100% of the
pool, and full or partial year 2017 operating results for 98% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 85%, compared to 83% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 13% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.3%.
Moody's actual and stressed conduit DSCRs are 1.47X and 1.24X,
respectively, compared to 1.51X and 1.25X 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 39.4% of the pool balance.
The largest loan is the Domain Loan ($187.3 million -- 21.4% of the
pool), which is secured by an 879,000 SF component of a 1,225,000
SF open-air lifestyle center located in Austin, Texas. The property
is located approximately eight miles north of the CBD in Austin's
"Golden Triangle." The property was developed for $388 million
($441/sf) in 2007-2008 and also includes 828 residential units that
are not part of the collateral. The subject is anchored by
Dillard's (non-collateral), Macy's (non-collateral), Neiman Marcus,
Dick's Sporting Goods and an 8-screen IPIC Theatres. The collateral
component of the property was 92% leased as of December 2017.
Moody's LTV and stressed DSCR are 63% and 1.42X, respectively,
compared to 64% and 1.39X at the last review.
The second largest loan is the Puck Building Loan ($83.0 million --
9.5% of the pool), which is secured by a 239,000 SF mixed-use
building located in New York City. The property occupies the entire
city block bounded by Houston, Lafayette, Mulberry, and Jersey
Streets. The 206,693 SF commercial component of the property serves
as the trust's collateral and was 100% leased as of December 2017.
Major tenants include New York University, Oscar Insurance Group,
and Quandro Partners. Moody's LTV and stressed DSCR are 105% and
0.90X, respectively, compared to 107% and 0.89X at the last
review.
The third largest loan is the Arbor Walk and Palms Crossing Loan
($73.6 million -- 8.4% of the pool), which is secured by two
anchored retail properties located in Austin, Texas (Arbor Walk)
and McAllen, Texas (Palms Crossing). Arbor walk is a 465,000 SF
retail center anchored by Home Depot, Marshalls, and Jo-Ann Fabrics
and is located eight miles north of the Austin CBD in close
proximity to The Domain. The Arbor Walk property is subject to a
ground lease with the University of Texas which expires in 2056.
Arbor Walk was 99% leased as of December 2017. Palms Crossing is an
328,000 SF retail center anchored by a Hobby Lobby, Beall's, and
Babies "R" Us. Babies "R" Us will be vacating the property as a
result of the bankruptcy of their parent company, Toys "R" Us. The
property is located six miles north of the border with Mexico and
was 97% leased as of December 2017. Moody's LTV and stressed DSCR
are 90% and 1.11X, respectively, compared to 87% and 1.16X at the
last review.
WFRBS 2012-C8: Moody's Affirms Class G Certs at B2
--------------------------------------------------
Moody's Investors Service has affirmed the ratings on fourteen
classes in WFRBS Commercial Mortgage Trust 2012-C8, Commercial
Mortgage Pass-Through Certificates, Series 2012-C8, as follows:
Class A-2, Affirmed Aaa (sf); previously on May 25, 2017 Affirmed
Aaa (sf)
Class A-FL, Affirmed Aaa (sf); previously on May 25, 2017 Affirmed
Aaa (sf)
Class A-FX, Affirmed Aaa (sf); previously on May 25, 2017 Affirmed
Aaa (sf)
Class A-3, Affirmed Aaa (sf); previously on May 25, 2017 Affirmed
Aaa (sf)
Class A-SB, Affirmed Aaa (sf); previously on May 25, 2017 Affirmed
Aaa (sf)
Class A-S, Affirmed Aaa (sf); previously on May 25, 2017 Affirmed
Aaa (sf)
Class B, Affirmed Aa2 (sf); previously on May 25, 2017 Affirmed Aa2
(sf)
Class C, Affirmed A2 (sf); previously on May 25, 2017 Affirmed A2
(sf)
Class D, Affirmed Baa1 (sf); previously on May 25, 2017 Affirmed
Baa1 (sf)
Class E, Affirmed Baa3 (sf); previously on May 25, 2017 Affirmed
Baa3 (sf)
Class F, Affirmed Ba2 (sf); previously on May 25, 2017 Affirmed Ba2
(sf)
Class G, Affirmed B2 (sf); previously on May 25, 2017 Affirmed B2
(sf)
Class X-A, Affirmed Aaa (sf); previously on May 25, 2017 Affirmed
Aaa (sf)
Class X-B, Affirmed Aa2 (sf); previously on May 25, 2017 Affirmed
Aa2 (sf)
RATINGS RATIONALE
The ratings on the P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on the IO classes were affirmed based on the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes.
Moody's rating action reflects a base expected loss of 1.9% of the
current pooled balance, compared to 2.1% at Moody's last review.
Moody's base expected loss plus realized losses is now 1.4% of the
original pooled balance, compared to 1.7% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in rating WFRBS Commercial Mortgage Trust
2012-C8, Class A-2, Class A-FL, Class A-FX, Class A-3, Class A-SB,
Class A-S, Class B, Class C, Class D, Class E, Class F, and Class 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 WFRBS Commercial Mortgage Trust
2012-C8, Class X-A and Class 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 April 17, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 23% to $1.0 billion
from $1.3 billion at securitization. The certificates are
collateralized by 71 mortgage loans ranging in size from less than
1% to 14.1% of the pool, with the top ten loans (excluding
defeasance) constituting 56.9% of the pool. Nine loans,
constituting 5.7% of the pool, have defeased and are secured by US
government securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 19, compared to 20 at the time of last review.
Seven loans, constituting 4.5% 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.
One loan has been liquidated from the pool, resulting in an
aggregate realized loss of $26,689 (for an average loss severity of
less than 0.1%). The specially serviced loan is the Springhill
Suites - San Angelo loan ($7.4 million -- 0.7% of the pool), which
is secured by a 96-room hotel built in 2010 and is located in San
Angelo, Texas. Per the Borrower, the extreme downturn of the oil
and gas industry was the major cause of the drastic decline in the
hotel's recent performance. The loan transferred to special
servicing in April 2016. The special servicer and borrower are
actively engaged in resolution discussions. Moody's estimates a
severe loss for the specially serviced loan.
Moody's has also assumed a high default probability for one poorly
performing loan, constituting 0.1% of the pool, and has estimated
an aggregate loss of $362,000 (an 30% expected loss based on a 60%
probability of default) from this troubled loan.
Moody's received full year 2016 operating results for 88% of the
pool, and full or partial year 2017 operating results for 79% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 89.1%, compared to 87.3% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 13.8% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.75%.
Moody's actual and stressed conduit DSCRs are 1.67X and 1.23X,
respectively, compared to 1.69X and 1.24X 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 28.9% of the pool balance.
The largest loan is the 100 Church Street Loan ($141.0 million --
14.1% of the pool), which represents a participation interest in a
$216.2 million mortgage loan. The loan is secured by a 1.1 million
square feet (SF), Class B office property in Lower Manhattan. The
property was 99% leased as of December 2017, compared to 98% leased
as of March 2017 and 84% leased as of securitization. Moody's LTV
and stressed DSCR are 91.5% and 1.06X, respectively, compared to
93.0% and 1.05X at Moody's last review.
The second largest loan is the Northridge Fashion Center Loan
($80.7 million -- 8.1% of the pool). The loan represents a
participation interest in a $222.7 million mortgage loan. The loan
is secured by a 644,000 SF portion of a 1.5 million SF
super-regional mall located in Northridge, California. The mall's
non-collateral anchors include Macy's, Macy's Men and Home, Sears
and JC Penney. The mall was 97% leased as of year-end 2017,
compared to 95% leased as of year-end 2016. The loan benefits from
amortization. Moody's LTV and stressed DSCR are 89.5% and 1.09X,
respectively, compared to 91.2% and 1.07X at Moody's last review.
The third largest loan is the BJ's Portfolio Loan ($68.1 million --
6.8% of the pool). The BJ's Portfolio loan is secured by first
mortgage liens on six properties consisting of five retail stores
of BJ's Wholesale Club and one industrial center serving as a BJ's
Distribution facility. The portfolio is located in five different
states: Massachusetts, Pennsylvania, Maryland, New Jersey and
Florida. The portfolio is 100% occupied by a single tenant, BJ's
Wholesale Club, Inc. Due to the single tenant exposure, Moody's
valuation reflects a lit/dark analysis. Moody's LTV and stressed
DSCR are 98.1% and 1.13X, respectively, the same as at last review.
[*] Fitch Cuts Ratings in 5 Distressed Classes in 5 CMBS Deals to D
-------------------------------------------------------------------
[*] Fitch Cuts 5 Distressed Classes of US CMBS Deals to 'Dsf'
Fitch Ratings has taken various ratings actions on already
distressed bonds in five U.S. commercial mortgage-backed securities
(CMBS) transactions.
Five bonds in five transactions have been downgraded to 'Dsf', as
the bonds have incurred a principal write-down. The bonds were
previously rated 'Csf', which indicated that a default was
imminent.
The affected ratings are:
Rating
Class From To
COMM Mortgage Trust 2006-C7 A-J Csf Dsf
LB-UBS Commercial Mortgage Trust 2005-C5 K Csf Dsf
Morgan Stanley Capital 1 Trust 2005-TOP7 C Csf Dsf
Morgan Stanley Capital 1 Trust 2006-HQ10 E Csf Dsf
Morgan Stanley Capital 1 Trust 2007-TOP27 D Csf Dsf
KEY RATING DRIVERS
Fitch's downgrades are limited to the bonds with a principal
write-down. Any remaining bonds in the transaction have not been
analysed as part of this review.
RATING SENSITIVITIES
While the bonds that have defaulted are not expected to recover any
material amount of lost principal in the future, there is a limited
possibility this may happen. In this unlikely scenario, Fitch would
further review the affected classes.
[*] Moody's Cuts Ratings on 4 Tranches From 2 Prime Jumbo RMBS
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of four
tranches from two transactions, backed by Prime Jumbo RMBS loans,
issued by multiple issuers.
Complete rating actions are as follows:
Issuer: Citigroup Mortgage Loan Trust 2006-AR1
Cl. II-X, Downgraded to Ca (sf); previously on Oct 27, 2017
Confirmed at Caa3 (sf)
Cl. III-X, Downgraded to C (sf); previously on Oct 27, 2017
Confirmed at Ca (sf)
Issuer: Sequoia Mortgage Trust 11
Cl. B-2, Downgraded to C (sf); previously on Apr 27, 2011
Downgraded to Ca (sf)
Cl. X-B, Downgraded to C (sf); previously on Apr 27, 2011
Downgraded to Caa1 (sf)
RATINGS RATIONALE
The rating downgrade of Cl. B-2 from Sequoia Mortgage Trust 11 is
due to the erosion of credit enhancement available to the bond. The
rating action also reflects the recent performance of the
underlying pool and Moody's updated loss expectation on this pool.
The factors that Moody's considers in rating an IO bond depend on
the type of referenced securities or assets to which the IO bond is
linked. Generally, the ratings on IO bonds reflect the linkage and
performance of the respective transactions, including expected
losses on the collateral, and pay-downs or write-offs of the
related reference bonds. The downgrade of Cl. II-X from Citigroup
Mortgage Loan Trust 2006-AR1 reflects the linkage to Cl. II-A1 and
Cl. II-A2. However, the downgrade of the ratings of Cl. X-B from
Sequoia Mortgage Trust 11 and Cl. III-X from Citigroup Mortgage
Loan Trust 2006-AR1 to C (sf) reflects the nonpayment of interest
for an extended period, 16 and 15 months respectively.
For these two bonds, the coupon rate is subject to a calculation
that has reduced the required interest distribution to zero. The
reduction to zero is generally attributed to weak performance
and/or rate reduction on the collateral due to underlying loan
modifications. Because the coupon on these bonds is subject to
changes in interest rates and/or collateral composition, there is a
remote possibility that they may receive interest in the future.
The rating of C addresses the loss of interest attributable to
credit related reasons.
The principal methodology used in rating Sequoia Mortgage Trust 11
Cl. B-2 was "US RMBS Surveillance Methodology" published in January
2017. The methodologies used in rating Citigroup Mortgage Loan
Trust 2006-AR1 Cl. II-X and Cl. III-X and Sequoia Mortgage Trust 11
Cl. X-B were "US RMBS Surveillance Methodology" published in
January 2017 and "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" published in June 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
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 3.9% in April 2018 from 4.4% in April
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.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds and/or pools.
[*] Moody's Hikes Ratings on 24 Tranches from 15 US RMBS Deals
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 24 tranches
from 15 transactions backed by second-lien and HELOC RMBS loans.
Complete rating actions are as follows:
Issuer: CWABS Master Trust Revolving Home Equity Loan Asset Backed
Notes, Series 2004-A
Notes, Upgraded to A3 (sf); previously on Jun 26, 2017 Upgraded to
Ba2 (sf)
Issuer: CWHEQ Revolving Home Equity Loan Trust, Series 2006-A
Cl. A, Upgraded to B3 (sf); previously on Oct 6, 2016 Upgraded to
Caa3 (sf)
Issuer: CWHEQ Revolving Home Equity Loan Trust, Series 2006-B
Cl. 1-A, Upgraded to Caa1 (sf); previously on Aug 13, 2010
Confirmed at Ca (sf)
Cl. 2-A, Upgraded to Caa1 (sf); previously on Aug 13, 2010
Confirmed at Ca (sf)
Issuer: CWHEQ Revolving Home Equity Loan Trust, Series 2006-C
Cl. 1-A, Upgraded to Caa2 (sf); previously on Aug 13, 2010
Downgraded to Ca (sf)
Cl. 2-A, Upgraded to Caa2 (sf); previously on Aug 13, 2010
Confirmed at Ca (sf)
Issuer: CWHEQ Revolving Home Equity Loan Trust, Series 2006-D
Cl. 1-A, Upgraded to Caa3 (sf); previously on Nov 8, 2012 Confirmed
at Ca (sf)
Cl. 2-A, Upgraded to Caa3 (sf); previously on Nov 8, 2012
Downgraded to C (sf)
Issuer: First Franklin Mortgage Loan Trust 2004-FFA
Cl. M3-A, Upgraded to A1 (sf); previously on Jun 26, 2017 Upgraded
to Baa2 (sf)
Cl. M3-F, Upgraded to A1 (sf); previously on Jun 26, 2017 Upgraded
to Baa2 (sf)
Issuer: GMACM Home Equity Loan Trust 2003-HE2
Cl. A-4, Upgraded to A1 (sf); previously on Jun 26, 2017 Upgraded
to A3 (sf)
Underlying Rating: Upgraded to A1 (sf); previously on Jun 26, 2017
Upgraded to A3 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. A-5, Upgraded to A1 (sf); previously on Jun 26, 2017 Upgraded
to A3 (sf)
Underlying Rating: Upgraded to A1 (sf); previously on Jun 26, 2017
Upgraded to A3 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: GMACM Home Equity Loan Trust 2007-HE3
Cl. I-A-1, Upgraded to Baa1 (sf); previously on Jun 26, 2017
Upgraded to Ba1 (sf)
Cl. I-A-2, Upgraded to Baa2 (sf); previously on Jun 26, 2017
Upgraded to Ba2 (sf)
Issuer: GMACM Home Equity Loan-Backed Term Notes, Series 2001-HE2
Cl. I-A-1, Upgraded to Baa3 (sf); previously on May 21, 2010
Downgraded to B3 (sf)
Underlying Rating: Upgraded to Baa3 (sf); previously on May 21,
2010 Downgraded to B3 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. I-A-2, Upgraded to Baa3 (sf); previously on Jun 26, 2017
Upgraded to B2 (sf)
Underlying Rating: Upgraded to Baa3 (sf); previously on Jun 26,
2017 Upgraded to B2 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: Greenpoint Mortgage Funding Trust 2007-HE1, Mortgage-Backed
Notes, Series 2007-HE1
Cl. A-1, Upgraded to Caa1 (sf); previously on Nov 8, 2012 Confirmed
at Ca (sf)
Underlying Rating: Upgraded to Caa1 (sf); previously on Nov 4, 2010
Confirmed at Ca (sf)
Financial Guarantor: Syncora Guarantee Inc. (Insured Rating
Withdrawn Nov 08, 2012)
Issuer: Irwin Home Equity Loan Trust 2002-1
Cl. IIB-1, Upgraded to Aa2 (sf); previously on Jun 26, 2017
Upgraded to Baa1 (sf)
Issuer: Terwin Mortgage Trust 2004-10SL
Cl. B-1, Upgraded to A2 (sf); previously on Jun 26, 2017 Upgraded
to Baa3 (sf)
Cl. B-2, Upgraded to Ba1 (sf); previously on Jun 26, 2017 Upgraded
to B2 (sf)
Issuer: Terwin Mortgage Trust 2004-6SL
Cl. B-1, Upgraded to A1 (sf); previously on Jun 26, 2017 Upgraded
to Baa3 (sf)
Cl. B-2, Upgraded to Baa2 (sf); previously on Jun 26, 2017 Upgraded
to Ba3 (sf)
Issuer: Terwin Mortgage Trust 2005-3SL
Cl. M-2, Upgraded to Caa2 (sf); previously on Feb 4, 2015 Upgraded
to Ca (sf)
Issuer: Terwin Mortgage Trust 2005-7SL
Cl. M-1, Upgraded to A3 (sf); previously on Jun 26, 2017 Upgraded
to Ba2 (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pools
and reflect Moody's updated loss expectations on the pools. The
ratings upgraded are a result of an increase in credit enhancement
available to the bonds.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
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 3.9% in April 2018 from 4.4% in April
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 Ratings on 4 Tranches from 3 US RMBS Deals
------------------------------------------------------------
Moody's Investors Service has upgraded the rating of 4 tranches
from three deals backed by second-lien mortgage loans.
Complete rating actions are as follows:
Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, INDS
2006-3
Cl. A, Upgraded to Caa2 (sf); previously on Nov 29, 2010 Confirmed
at Ca (sf)
Issuer: MASTR Second Lien Trust 2005-1
Cl. M-1, Upgraded to Caa2 (sf); previously on Nov 30, 2010
Downgraded to Ca (sf)
Issuer: Nomura Asset Acceptance Corporation, Alternative Loan
Trust, Series 2006-S1
Cl. A-2, Upgraded to Caa2 (sf); previously on Oct 28, 2010
Downgraded to Ca (sf)
Cl. A-3, Upgraded to Caa2 (sf); previously on Oct 28, 2010
Downgraded to Ca (sf)
RATINGS RATIONALE
The rating 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 rating upgrade for Class A from IndyMac 2006-3 is primaily due
to funds received by the deal in February 2018 pursuant to the
Second Amended Plan of Rehabilitation of the Segregated account of
Ambac Assurance Corporation.
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 3.9% in April 2018 from 4.4% in April
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 $59MM Subprime Loans Issued 2002-2004
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 15 tranches
and downgraded the ratings of 2 tranches from 8 US residential
mortgage backed transactions (RMBS), backed by Subprime mortgage
loans, issued by multiple issuers.
Complete rating actions are as follows:
Issuer: Centex Home Equity Company (CHEC) Loan Trust 2004-1
Cl. M-4, Downgraded to B1 (sf); previously on Jun 28, 2017 Upgraded
to Ba3 (sf)
Issuer: Centex Home Equity Loan Trust 2002-C
Cl. AF-4, Upgraded to Aaa (sf); previously on Aug 30, 2016 Upgraded
to Aa2 (sf)
Cl. AF-5, Upgraded to Aa1 (sf); previously on Jun 28, 2017 Upgraded
to A1 (sf)
Cl. AF-6, Upgraded to Aaa (sf); previously on Aug 30, 2016 Upgraded
to Aa2 (sf)
Cl. M-1, Upgraded to B1 (sf); previously on Jun 28, 2017 Upgraded
to B2 (sf)
Cl. M-2, Downgraded to C (sf); previously on May 3, 2012 Downgraded
to Ca (sf)
Issuer: Centex Home Equity Loan Trust 2002-D
Cl. AF-4, Upgraded to Aaa (sf); previously on Aug 16, 2016 Upgraded
to Aa3 (sf)
Cl. AF-5, Upgraded to Aaa (sf); previously on Jun 28, 2017 Upgraded
to A1 (sf)
Cl. AF-6, Upgraded to Aaa (sf); previously on Aug 16, 2016 Upgraded
to Aa2 (sf)
Cl. M-1, Upgraded to Ba1 (sf); previously on Jun 28, 2017 Upgraded
to Ba3 (sf)
Issuer: Chase Funding Trust, Series 2004-1
Cl. IIM-1, Upgraded to B1 (sf); previously on Mar 7, 2011
Downgraded to B3 (sf)
Cl. IIM-2, Upgraded to Caa3 (sf); previously on Jul 19, 2012
Upgraded to Ca (sf)
Issuer: Long Beach Mortgage Loan Trust 2002-1
Cl. M2, Upgraded to B1 (sf); previously on Oct 28, 2015 Upgraded to
Caa2 (sf)
Issuer: Long Beach Mortgage Loan Trust 2003-1
Cl. M-2, Upgraded to B3 (sf); previously on Mar 8, 2011 Downgraded
to Caa3 (sf)
Issuer: New Century Home Equity Loan Trust, Series 2003-4
Cl. M-2, Upgraded to B1 (sf); previously on May 4, 2012 Downgraded
to B3 (sf)
Issuer: New Century Home Equity Loan Trust, Series 2004-2
Cl. M-2, Upgraded to Baa3 (sf); previously on Feb 28, 2014 Upgraded
to Ba2 (sf)
Cl. M-3, Upgraded to Baa3 (sf); previously on Dec 17, 2015 Upgraded
to Ba2 (sf)
RATINGS RATIONALE
Moody's rating actions reflect the recent performance of the
underlying pools and Moody's updated loss expectations on those
pools. Moody's rating upgrades are primarily due to improvement of
credit enhancement available to the bonds and improvement in the
collateral performance. The increase in credit enhahncment for CL.
M2 from Long Beach Mortgage Loan Trust 2002-1 and CL. M-2 from Long
Beach Mortgage Loan Trust 2003-1 reflects the funds received by the
deals in Feb 2018 pursuant to a settlement of claims concerning
trusts created, sponsored, or serviced by Washington Mutual Bank
(WaMu).
Moody's rating downgrade on CL. M-2 from Centex Home Equity Loan
Trust 2002-C is due to the decrease in credit enhancement available
to the bond. The rating downgrade on CL. M-4 from Centex Home
Equity Company Loan Trust 2004-1 is due to the level of outstanding
interest shortfall on this bond, which Moody's does not expect to
be recouped.
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 3.9% in April 2018 from 4.4% in April
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 4 Tranches from 2 IMC Subprime RMBS
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of three
tranches and downgraded the rating of one tranche from two IMC
transactions backed by subprime loans, issued prior to 2000.
Complete list of rating actions is as follows:
Issuer: IMC Home Equity Loan Trust 1997-3
A-6, Upgraded to Baa1 (sf); previously on Oct 18, 2012 Downgraded
to Ba1 (sf)
Issuer: IMC Home Equity Loan Trust 1998-5
A-5, Upgraded to Baa1 (sf); previously on Oct 18, 2012 Downgraded
to Ba1 (sf)
A-6, Upgraded to Baa1 (sf); previously on Oct 18, 2012 Downgraded
to Ba1 (sf)
M-1, Downgraded to Caa3 (sf); previously on Jul 8, 2014 Downgraded
to Caa1 (sf)
RATINGS RATIONALE
The rating upgrades are a result of an increase in credit
enhancement available to these bonds. The downgrade is due to poor
performance of the underlying collateral. The actions reflect the
recent performance and Moody's updated loss expectations on the
underlying pools and an update in the approach used in analyzing
the transactions' structures.
In Moody's prior analysis, it used a static approach in which it
compared the total credit enhancement for a bond, including excess
spread, subordination, overcollateralization, and other external
support, if any, to the expected losses on the mortgage pool
supporting that bond. Moody's has updated its approach to include a
cash flow analysis, wherein it runs several different loss levels,
loss timing, and prepayment scenarios using its 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 3.9% in April 2018 from 4.4% in April
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 50 Tranches from 20 US RMBS Deals
-------------------------------------------------------------
Moody's Investors Service, on May 23, 2018, upgraded the ratings of
44 tranches and downgraded the ratings of six tranches from 20
transactions, backed by Alt-A and Subprime RMBS loans, issued by
multiple issuers.
Complete rating actions are as follows:
Issuer: Aegis Asset Backed Securities Trust 2004-3
Cl. M1, Upgraded to A1 (sf); previously on Jun 21, 2017 Upgraded to
A3 (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2004-FR1
Cl. A-6, Upgraded to Aaa (sf); previously on Jun 21, 2017 Upgraded
to A2 (sf)
Cl. A-7, Upgraded to Aaa (sf); previously on Jun 21, 2017 Upgraded
to A2 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on Jun 21, 2017 Upgraded
to Caa3 (sf)
Issuer: Carrington Mortgage Loan Trust, Series 2006-NC1
Cl. A-3, Upgraded to Aaa (sf); previously on Jun 20, 2017 Upgraded
to Aa3 (sf)
Cl. A-4, Upgraded to Aaa (sf); previously on Jun 20, 2017 Upgraded
to A2 (sf)
Issuer: Chase Funding Loan Acquisition Trust 2003-C1
Cl. IA-4, Downgraded to Baa3 (sf); previously on Apr 10, 2012
Confirmed at Baa1 (sf)
Cl. IM-1, Downgraded to B2 (sf); previously on Apr 10, 2012
Confirmed at Ba3 (sf)
Issuer: Chase Funding Trust, Series 2002-2
Cl. IM-1, Upgraded to B1 (sf); previously on Apr 23, 2012 Upgraded
to B2 (sf)
Issuer: Chase Funding Trust, Series 2003-2
Ser. 2003-2 Cl. IA-5, Downgraded to Ba3 (sf); previously on May 5,
2014 Downgraded to Ba1 (sf)
Issuer: Credit Suisse First Boston Mortgage Securities Corp. Series
2004-5
Cl. M-1, Upgraded to Aa1 (sf); previously on Jun 20, 2017 Upgraded
to A3 (sf)
Cl. M-2, Upgraded to A3 (sf); previously on Jun 20, 2017 Upgraded
to Ba1 (sf)
Cl. M-3, Upgraded to Baa2 (sf); previously on Jun 20, 2017 Upgraded
to Ba2 (sf)
Cl. M-4, Upgraded to Baa3 (sf); previously on Jun 20, 2017 Upgraded
to B1 (sf)
Cl. M-5, Upgraded to B2 (sf); previously on Jun 20, 2017 Upgraded
to Caa2 (sf)
Issuer: CSFB Home Equity Asset Trust 2005-6
Cl. M-3, Upgraded to Aa1 (sf); previously on Jun 20, 2017 Upgraded
to A1 (sf)
Cl. M-4, Upgraded to Baa2 (sf); previously on Jun 20, 2017 Upgraded
to Ba2 (sf)
Cl. M-5, Upgraded to Ca (sf); previously on Mar 19, 2009 Downgraded
to C (sf)
Issuer: CSFB Home Equity Asset Trust 2006-4
Cl. 1-A-1, Upgraded to A1 (sf); previously on Jun 20, 2017 Upgraded
to Baa1 (sf)
Issuer: FBR Securitization Trust 2005-3
Cl. AV2-4, Upgraded to Baa1 (sf); previously on Jun 20, 2017
Upgraded to Baa3 (sf)
Issuer: GSAA Home Equity Trust 2004-4
Cl. M-1, Downgraded to B1 (sf); previously on Sep 4, 2016 Upgraded
to Baa2 (sf)
Cl. M-2, Downgraded to B2 (sf); previously on Apr 5, 2018 Upgraded
to Ba3 (sf)
Issuer: Homestar Mortgage Acceptance Corp. Asset-Backed
Pass-Through Certificates, Series 2004-2
Cl. M-1, Downgraded to B1 (sf); previously on May 9, 2014
Downgraded to Baa3 (sf)
Cl. M-3, Upgraded to Caa3 (sf); previously on May 10, 2012
Downgraded to C (sf)
Issuer: NovaStar Mortgage Funding Trust, Series 2004-4
Cl. M-5, Upgraded to Aaa (sf); previously on Jun 21, 2017 Upgraded
to Aa1 (sf)
Cl. M-6, Upgraded to A1 (sf); previously on Jun 21, 2017 Upgraded
to A3 (sf)
Issuer: People's Choice Home Loan Securities Trust 2004-2
Cl. M2, Upgraded to Aa1 (sf); previously on Jun 21, 2017 Upgraded
to A3 (sf)
Cl. M3, Upgraded to Baa2 (sf); previously on Jun 21, 2017 Upgraded
to B1 (sf)
Cl. M4, Upgraded to B1 (sf); previously on Jun 21, 2017 Upgraded to
Ca (sf)
Issuer: Soundview Home Loan Trust 2004-1
Cl. M-6, Upgraded to B1 (sf); previously on Oct 1, 2015 Upgraded to
B3 (sf)
Cl. M-7, Upgraded to B2 (sf); previously on Jun 21, 2017 Upgraded
to Caa1 (sf)
Issuer: Structured Asset Securities Corp 2003-25XS
Cl. A5, Upgraded to B2 (sf); previously on May 20, 2016 Downgraded
to Caa1 (sf)
Underlying Rating: Upgraded to B2 (sf); previously on Jul 5, 2012
Downgraded to Caa1 (sf)
Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1,
Outlook Developing on Jan 17, 2018.)
Issuer: Structured Asset Securities Corp Trust 2004-11XS
Cl. 1-A5A, Upgraded to Ba2 (sf); previously on Feb 14, 2017
Upgraded to B1 (sf)
Cl. 1-A5B, Upgraded to Ba2 (sf); previously on Feb 14, 2017
Upgraded to B1 (sf)
Underlying Rating: Upgraded to Ba2 (sf); previously on Feb 14, 2017
Upgraded to B1 (sf)
Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1,
Outlook Developing on Jan 17, 2018.)
Cl. 1-A6, Upgraded to Baa3 (sf); previously on Feb 14, 2017
Upgraded to Ba2 (sf)
Underlying Rating: Upgraded to Baa3 (sf); previously on Feb 14,
2017 Upgraded to Ba2 (sf)
Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1,
Outlook Developing on Jan 17, 2018.)
Cl. 2-A2, Upgraded to Aa2 (sf); previously on Apr 15, 2016 Upgraded
to A3 (sf)
Cl. 2-M1, Upgraded to A2 (sf); previously on Apr 15, 2016 Upgraded
to Baa3 (sf)
Cl. 2-M2, Upgraded to Baa1 (sf); previously on Apr 15, 2016
Upgraded to B1 (sf)
Issuer: Structured Asset Securities Corp Trust 2004-16XS
Cl. A3A, Upgraded to Baa3 (sf); previously on Dec 7, 2016 Upgraded
to B2 (sf)
Cl. A3B, Upgraded to Baa3 (sf); previously on Dec 7, 2016 Upgraded
to B2 (sf)
Underlying Rating: Upgraded to Baa3 (sf); previously on Dec 7, 2016
Upgraded to B2 (sf)
Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1,
Outlook Developing on Jan 17, 2018.)
Cl. A4A, Upgraded to Baa2 (sf); previously on May 14, 2012 Upgraded
to B1 (sf)
Cl. A4B, Upgraded to Baa2 (sf); previously on May 14, 2012 Upgraded
to B1 (sf)
Underlying Rating: Upgraded to Baa2 (sf); previously on May 14,
2012 Upgraded to B1 (sf)
Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1,
Outlook Developing on Jan 17, 2018.)
Issuer: Structured Asset Securities Corp Trust 2004-4XS
Cl. 1-A3A, Upgraded to Ba2 (sf); previously on May 14, 2012
Downgraded to Ba3 (sf)
Cl. 1-A3B, Upgraded to Ba2 (sf); previously on May 14, 2012
Downgraded to Ba3 (sf)
Cl. 1-A5, Upgraded to Ba2 (sf); previously on May 14, 2012
Downgraded to Ba3 (sf)
Cl. 1-A6, Upgraded to Ba1 (sf); previously on May 14, 2012
Downgraded to Ba2 (sf)
Issuer: Structured Asset Securities Corp Trust 2004-6XS
Cl. A3, Upgraded to Aaa (sf); previously on Feb 2, 2017 Upgraded to
Aa3 (sf)
Cl. A5A, Upgraded to Aaa (sf); previously on Feb 2, 2017 Upgraded
to Aa3 (sf)
Cl. A5B, Upgraded to Aaa (sf); previously on Feb 2, 2017 Upgraded
to Aa3 (sf)
Underlying Rating: Upgraded to Aaa (sf); previously on Feb 2, 2017
Upgraded to Aa3 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. A6, Upgraded to Aaa (sf); previously on Feb 2, 2017 Upgraded to
Aa2 (sf)
RATINGS RATIONALE
Moody's rating actions on Class M-1 and M-2 from GSAA Home Equity
Trust 2004-4 are primarily based on the correction of an error. In
prior rating actions, Moody's considered incorrect outstanding
interest shortfalls on these two bonds. This error has now been
corrected, and Moody's downgrade actions on classes M-1 and M-2
reflect this change. The rating actions also reflect the recent
performance of the underlying pools and Moody's updated loss
expectation on the pools.
The rating actions on remaining tranches 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 improving performance of the related pools and/or an increase
in credit enhancement available to the bonds. The rating downgrades
are due to the weaker performance of the underlying collateral and
/ or the erosion of enhancement available to the bonds, as well as
outstanding interest shortfalls that are not expected to recover.
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 3.9% in April 2018 from 4.4% in April
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 Upgrades Ratings on 17 Tranches from 4 US RMBS Deals
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 17 tranches
from four transactions issued by J.P. Morgan Mortgage Trust, backed
by prime jumbo RMBS loans. The transactions are backed by
first-lien, fully amortizing, fixed-rate prime quality residential
mortgage loans with strong credit characteristics.
J.P. Morgan Mortgage Trust 2015-6 (JPMMT 2015-6) is a
securitization of 30 year, fixed-rate, fully amortizing prime
residential mortgage loans. The collateral pool consists of loans
with strong credit characteristics underwritten pursuant to the
underwriting guidelines of multiple originators and acquired by
J.P. Morgan Mortgage Acquisition Corp. (JP Morgan). There are 10
servicers that own the servicing rights of the loans in the
transaction - First Republic Bank, HomeStreet Bank, EverBank,
Primary Capital Mortgage, PHH Mortgage Corporation, Guaranteed
Rate, and Bank of Oklahoma. No other single servicer was
responsible for 5% or more of the aggregate pool balance at
closing. Wells Fargo Bank, N.A. is the master servicer.
J.P. Morgan Mortgage Trust 2016-4 (JPMMT 2016-4) is a
securitization of 30 year, fixed-rate, fully amortizing prime
residential mortgage loans. The collateral pool consists of loans
with strong credit characteristics underwritten pursuant to the
underwriting guidelines of multiple originators and acquired by
J.P. Morgan Mortgage Acquisition Corp. (JP Morgan). All of the
mortgage loans in JPMMT 2016-4 are serviced by Shellpoint Mortgage
Servicing (SMS). Wells Fargo Bank, N.A. is the master servicer.
J.P. Morgan Mortgage Trust 2017-1 (JPMMT 2017-1) is a
securitization of 30 year, fixed-rate, fully amortizing conforming
and non-conforming residential mortgage loans. Unlike previous
JPMMT deals, the pool consists of a large percentage of
high-balance conforming fixed-rate mortgages originated by JPMorgan
Chase Bank, N. A. (Chase) and underwritten to the government
sponsored enterprises (GSE) guidelines in addition to prime jumbo
non-conforming mortgages purchased by JPMMAC from various
originators and aggregators, including directly from TH TRS Corp.
(Two Harbors) and indirectly through MAXEX LLC, a mortgage loan
exchange. Chase is the servicer on the conforming loans, while
Shellpoint Mortgage Servicing is the servicer on the prime jumbo
loans. Wells Fargo Bank, N.A. is the master servicer.
J.P. Morgan Mortgage Trust 2017-2 (JPMMT 2017-2) is a
securitization of 30 year, fixed rate, fully amortizing conforming
and non-conforming residential mortgage loans. Like JPMMT 2017-1,
JPMMT 2017-2 includes conforming fixed-rate mortgage loans
originated by JPMorgan Chase Bank, N. A. (Chase) and underwritten
to the government sponsored enterprises (GSE) guidelines in
addition to prime jumbo non-conforming mortgages purchased by
JPMMAC from various originators and aggregators, including loans
acquired either directly or indirectly from TH TRS Corp. (Two
Harbors). These loans were acquired by JPMMAC either directly from
Two Harbors or indirectly through MAXEX, LLC, which operates a
mortgage loan exchange for the purchase and sale of mortgage loans.
Chase is the servicer on the conforming loans, while Shellpoint
Mortgage Servicing, Everbank and PHH Mortgage are the servicers on
the prime jumbo loans. Wells Fargo Bank, N.A. is the master
servicer.
The complete rating actions are as follows:
Issuer: J.P. Morgan Mortgage Trust 2015-6
Cl. B-1, Upgraded to Aa1 (sf); previously on Feb 17, 2017 Upgraded
to Aa2 (sf)
Cl. B-2, Upgraded to Aa2 (sf); previously on Jun 13, 2017 Upgraded
to Aa3 (sf)
Cl. B-3, Upgraded to A1 (sf); previously on Jun 13, 2017 Upgraded
to A3 (sf)
Cl. B-4, Upgraded to Baa2 (sf); previously on Feb 17, 2017 Upgraded
to Ba1 (sf)
Issuer: J.P. Morgan Mortgage Trust 2016-4
Cl. B-2, Upgraded to Aa3 (sf); previously on Jun 13, 2017 Upgraded
to A1 (sf)
Cl. B-3, Upgraded to A3 (sf); previously on Nov 30, 2016 Definitive
Rating Assigned Baa2 (sf)
Cl. B-4, Upgraded to Ba1 (sf); previously on Nov 30, 2016
Definitive Rating Assigned Ba3 (sf)
Issuer: J.P. Morgan Mortgage Trust 2017-1
Cl. B-1, Upgraded to Aa2 (sf); previously on Feb 28, 2017
Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Upgraded to Aa3 (sf); previously on Feb 28, 2017
Definitive Rating Assigned A2 (sf)
Cl. B-3, Upgraded to A3 (sf); previously on Feb 28, 2017 Definitive
Rating Assigned Baa2 (sf)
Cl. B-4, Upgraded to Baa3 (sf); previously on Feb 28, 2017
Definitive Rating Assigned Ba1 (sf)
Cl. B-5, Upgraded to Ba2 (sf); previously on Feb 28, 2017
Definitive Rating Assigned Ba3 (sf)
Issuer: J.P. Morgan Mortgage Trust 2017-2
Cl. B-1, Upgraded to Aa2 (sf); previously on Jun 1, 2017 Definitive
Rating Assigned Aa3 (sf)
Cl. B-2, Upgraded to A1 (sf); previously on Jun 1, 2017 Definitive
Rating Assigned A2 (sf)
Cl. B-3, Upgraded to A3 (sf); previously on Jun 1, 2017 Definitive
Rating Assigned Baa2 (sf)
Cl. B-4, Upgraded to Baa3 (sf); previously on Jun 1, 2017
Definitive Rating Assigned Ba1 (sf)
Cl. B-5, Upgraded to Ba2 (sf); previously on Jun 1, 2017 Definitive
Rating Assigned Ba3 (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to an increase in credit
enhancement available to the bonds and a decrease in Moody's
projected pool losses. The actions reflect the recent strong
performance of the underlying pools with minimal, serious
delinquencies to date. As of April 2018, there were no serious
delinquencies (loans 60 days or more delinquent) in JPMMT 2015-6,
JPMMT 2017-1, and JPMMT 2017-2. However JPMMT 2016-4 had two loans
that were 60 days or more delinquent representing 0.56% of the
current pool balance.
Further, high voluntary prepayment rates since issuance have
contributed to fast pay downs and large increases in percentage
credit enhancement levels for the upgraded bonds. As of March 2018,
the 3-month average prepayment rates for pools in transactions
issued in 2015 are averaging around 15%. The 3-month average
prepayment rates for transactions issued in 2016 have been on the
lower side due to the prevailing interest rate environment,
averaging at close to 10%. Due to strong prepayments, the pool
factors on pools from transactions issued in 2015 is between
60-65%, while that of transactions issued in 2016 is in the 80-90%
range.
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 as fewer loans remain in pool ("tail risk"). The
transactions provide for a credit enhancement floor to the senior
bonds which mitigates tail risk by protecting the senior bonds from
eroding credit enhancement over time.
Moody's updated loss expectations on the pools incorporate, amongst
other factors, its assessment of the representations and warranties
frameworks of the transactions, the due diligence findings of the
third party reviews received at the time of issuance, and the
strength of the transaction's originators and servicers.
The principal methodology used in these ratings was "Moody's
Approach to Rating US Prime RMBS" published in February 2015.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] S&P Hikes Ratings on 27 Classes From 12 ABS Deals
-----------------------------------------------------
S&P Global Ratings raised its ratings on 27 classes from 12 CPS
Auto Receivables Trust asset-backed securities (ABS) transactions.
S&P said, "At the same time, we affirmed our ratings on 25 classes
from ten CPS Auto Receivables Trust ABS transactions. All are
securitizations of subprime auto loans backed predominantly by used
automobiles and light-duty trucks."
S&P said, "The rating actions reflect the transactions' collateral
performance to date, our views regarding future collateral
performance, our current economic forecast, the transactions'
structures, and the credit enhancement available. Additionally, we
incorporated secondary credit factors into our analysis such as
credit stability, payment priorities under certain scenarios, and
sector- and issuer-specific analysis. Considering all these
factors, we believe the creditworthiness of the notes remains
consistent with the raised and affirmed ratings."
In addition, in September 2015, S&P removed its cap on the ratings
for CPS transactions, and S&P is now able to raise its ratings to
'AAA' where applicable.
Table 1
Collateral Performance (%)
As of the May 2018 distribution date
Pool Current 60+ day
Series Mo. factor CNL delinq.
2013-C 56 10.30 18.08 8.07
2013-D 53 11.84 17.08 7.80
2014-A 50 14.96 15.69 7.87
2014-B 47 19.24 15.34 7.43
2014-C 44 22.78 15.51 7.29
2015-B 35 35.95 13.08 5.69
2015-C 32 41.49 12.27 6.18
2016-A 28 47.23 10.56 5.65
2016-B 25 53.61 9.71 5.77
2016-C 22 56.83 8.04 5.65
2016-D 19 64.98 5.87 4.47
2017-A 16 70.37 4.90 4.21
Mo.--Month.
CNL--Cumulative net loss.
Delinq.--Delinquencies.
For each transaction from 2013-C to 2017-A, S&P's revised losses as
of May 2018 are higher than our initial expected losses.
Table 2
CNL Expectations (%)
Original Former Revised
lifetime lifetime lifetime
Series CNL exp. CNL exp. CNL exp.
As of April 2017 As of May 2018
2013-C 13.25-13.75 18.25-18.75 up to 18.50
2013-D 13.65-14.15 17.75-18.25 up to 18.00
2014-A 15.00-15.40 17.25-17.75 up to 17.50
2014-B 14.80-15.20 17.50-18.00 17.75-18.25
2014-C 14.80-15.20 17.75-18.25 18.25-18.75
2015-B 16.00-16.50 18.00-18.50 18.50-19.00
2015-C 16.00-16.50 18.00-18.50 18.75-19.25
2016-A 16.00-16.50 18.00-18.50 18.75-19.25
2016-B 17.00-18.00 18.00-18.50 19.00-19.50
2016-C 16.75-17.75 18.00-18.50 18.75-19.25
2016-D 17.00-17.75 N/A 18.75-19.25
2017-A 17.00-18.00 N/A 18.75-19.50
N/A--Not applicable.
Each transaction contains a sequential principal payment structure
in which the notes are paid principal by seniority. Each
transaction also has credit enhancement in the form of a
nonamortizing reserve account, overcollateralization, subordination
for the higher-rated tranches, and excess spread. The
overcollateralization is structured to build over time to its
target (as a percentage of the current pool balance) and then
amortize equal to a certain percentage (subject to the specific
transaction) of the outstanding collateral, subject to a floor
equal to a certain percentage of the initial receivables. Once
the o/c reaches its floor, credit enhancement grows, along with the
spread account, as a percent of the amortizing pool balance.
Although the credit support has not reached the specified target
for series 2013-C through 2015-C, there is still sufficient
enhancement, in our view, to support the raised and affirmed
ratings. For the 2016-A through 2017-A series, the credit
enhancement is at the specified target. For all series, each class'
credit support continues to increase as a percentage of the
amortizing collateral balance.
Each transaction also contains noncurable performance-related
triggers, which step up the credit enhancement level if breached.
None of the transactions have breached a trigger.
The raised and affirmed ratings reflect our view that the total
credit support as a percentage of the amortizing pool balance,
compared with our expected remaining losses, is commensurate with
the raised and affirmed ratings.
Table 3
Hard Credit Support (%)
As of the May 2018 distribution date
Total hard Current total hard
credit support credit support
Series Class at issuance(i) (% of current)(i)
2013-C C 8.75 92.55
2013-C D 3.75 44.03
2013-C E 1.00 17.33
2013-D C 8.75 87.17
2013-D D 3.75 44.94
2013-D E 1.00 21.69
2014-A C 8.75 72.31
2014-A D 3.75 38.89
2014-A E 1.00 20.52
2014-B B 18.00 103.37
2014-B C 8.75 55.30
2014-B D 3.75 29.31
2014-B E 1.00 15.01
2014-C B 19.25 91.85
2014-C C 8.75 45.75
2014-C D 3.75 23.80
2014-C E 1.00 11.73
2015-B A 34.25 99.99
2015-B B 21.25 63.83
2015-B C 8.25 27.67
2015-B D 4.25 16.54
2015-B E 1.00 7.50
2015-C B 36.25 91.93
2015-C C 21.00 55.18
2015-C D 10.25 29.27
2015-C E 3.75 13.60
2015-C F 1.00 6.97
2016-A B 36.25 80.98
2016-A C 21.00 48.69
2016-A D 10.25 25.93
2016-A E 4.10 12.91
2016-A F 1.00 6.35
2016-B A 53.10 100.69
2016-B B 37.30 71.22
2016-B C 20.75 40.35
2016-B D 10.45 21.13
2016-B E 3.15 7.52
2016-C A 52.00 93.48
2016-C B 40.25 72.81
2016-C C 24.75 45.53
2016-C D 12.50 23.98
2016-C E 3.00 7.26
2016-D A 53.30 84.49
2016-D B 39.55 63.33
2016-D C 24.00 39.39
2016-D D 12.30 21.39
2016-D E 2.75 6.69
2017-A A 53.80 79.11
2017-A B 39.55 58.87
2017-A C 24.00 36.77
2017-A D 12.30 20.14
2017-A E 2.75 6.57
(i) Calculated as a percent of the total gross receivable pool
balance, consisting of a reserve account, overcollateralization,
and, if applicable, subordination. Excess spread is excluded from
the hard credit support and can also provide additional
enhancement.
S&P said, "We incorporated a cash flow analysis to assess the loss
coverage level, giving credit to excess spread. Our various cash
flow scenarios included forward-looking assumptions on recoveries,
timing of losses, and voluntary absolute prepayment speeds that we
believe are appropriate given each transaction's current
performance and the assigned ratings of each of the classes.
"In addition to our break-even cash flow analysis, we also
conducted sensitivity analyses to determine the impact that a
moderate ('BBB') stress scenario would have on our ratings if
losses began trending higher than our revised base-case loss
expectation. The results demonstrated, in our view, that all of the
classes have adequate credit enhancement at their respective
affirmed or revised rating levels.
"We will continue to monitor the performance of all the outstanding
transactions to ensure that the credit enhancement remains
sufficient, in our view, to cover our revised cumulative net loss
expectations under our stress scenarios for each of the rated
classes."
RATINGS RAISED
CPS Auto Receivables Trust
Rating
Series Class To From
2013-C D AAA (sf) BBB (sf)
2013-C E AAA (sf) B+ (sf)
2013-D C AAA (sf) AA+ (sf)
2013-D D AAA (sf) BBB (sf)
2013-D E AAA (sf) BB- (sf)
2014-A C AAA (sf) A+ (sf)
2014-A D AAA (sf) BB+ (sf)
2014-A E AAA (sf) B+ (sf)
2014-B C AAA (sf) A- (sf)
2014-B D BBB (sf) BB (sf)
2014-B E BB- (sf) B+ (sf)
2014-C C AA+ (sf) A- (sf)
2014-C D BBB- (sf) BB (sf)
2015-B B AAA (sf) AA- (sf)
2015-B C A- (sf) BBB (sf)
2015-C C AAA (sf) A+ (sf)
2015-C D A- (sf) BBB (sf)
2016-A C AA+ (sf) AA (sf)
2016-B C AA (sf) A+ (sf)
2016-C B AAA (sf) AA (sf)
2016-C C AA (sf) A (sf)
2016-D B AAA (sf) AA (sf)
2016-D C AA (sf) A (sf)
2017-A B AAA (sf) AA (sf)
2017-A C AA (sf) A (sf)
RATINGS AFFIRMED
CPS Auto Receivables Trust
Series Class Rating
2013-C C AAA (sf)
2014-B B AAA (sf)
2014-C B AAA (sf)
2014-C E B+ (sf)
2015-B A AAA (sf)
2015-B D BB (sf)
2015-B E B (sf)
2015-C B AAA (sf)
2015-C E BB (sf)
2015-C F B (sf)
2016-A B AAA (sf)
2016-A D BBB+ (sf)
2016-A E BB- (sf)
2016-A F B (sf)
2016-B A AAA (sf)
2016-B B AAA (sf)
2016-B D BBB (sf)
2016-B E BB- (sf)
2016-C A AAA (sf)
2016-C D BBB (sf)
2016-C E BB- (sf)
2016-D A AAA (sf)
2016-D D BBB (sf)
2016-D E BB- (sf)
2017-A A AAA (sf)
2017-A D BBB (sf)
2017-A E BB- (sf)
[*] S&P Takes Actions on 2,423 Classes From 875 US RMBS Notes
-------------------------------------------------------------
S&P Global Ratings, on May 24, 2018, completed its review of 2,423
classes from 875 U.S. residential mortgage-backed securities (RMBS)
transactions issued between 1996 and 2008. All of these
transactions are backed by mixed collateral. The review yielded 15
upgrades, 1,045 downgrades, 1,235 affirmations, 73 discontinuances,
and 55 withdrawals.
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, affirm, discontinue, or withdraw 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;
-- Historical interest shortfalls;
-- Priority of principal payments;
-- Proportion of reperforming loans in the pool; 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.
The upgrade on Structured Asset Securities Corporation Mortgage
Loan Trust 2005-OPT1's class A2 notes reflects an increase in
credit support to 72.54% from 55.5% during the last review. The
class has benefitted from the failure of performance triggers
and/or reduced subordinate principal distribution amounts, which
has built credit support for this class. S&P believes that the
increase in credit support for the affected class will be
sufficient to withstand a higher level of projected losses than
previously anticipated.
S&P said, "We lowered our ratings on the class M2, M3, and B3 notes
from C-BASS Mortgage Loan Asset-Backed Certificates' series
2005-CB3 after assessing the impact of missed interest payments on
these classes. These downgrades are based on our cash flow
projections used in determining the likelihood that the missed
interest payments would be reimbursed under various scenarios."
A list of Affected Ratings can be viewed at:
https://bit.ly/2xhXajE
[*] S&P Takes Various Actions on 10 Classes From 9 US RMBS Deals
----------------------------------------------------------------
S&P Global Ratings completed its review of 10 classes from nine
U.S. residential mortgage-backed securities (RMBS) transactions
issued between 2002 and 2005. All of these transactions are backed
by mixed collateral. S&P said, "We lowered our ratings on eight
classes. We also placed our ratings on two classes on CreditWatch
with negative implications. The CreditWatch placement reflects
interest shortfall on the affected class as reported by the trustee
report in the recent remittance period, which could negatively
affect our rating on these classes. After verifying this interest
shortfall, we will adjust the rating as we consider appropriate per
our criteria."
APPLICATION OF INTEREST SHORTFALL CRITERIA
S&P said, "In reviewing these ratings, we applied our interest
shortfall criteria as stated in "Structured Finance Temporary
Interest Shortfall Methodology," Dec. 15, 2015, which impose a
maximum rating threshold on classes that have incurred interest
shortfalls resulting from credit or liquidity erosion. In applying
the criteria, we looked to see if the applicable class received
additional compensation beyond the imputed interest due as direct
economic compensation for the delay in interest payment. In
instances where the class did not receive additional compensation
for outstanding interest shortfalls, we used the maximum length of
time until full interest is reimbursed as part of our analysis to
assign the rating on the class."
A list of Affected Ratings can be viewed at:
https://bit.ly/2IPYRXc
[*] S&P Takes Various Actions on 115 Classes From 23 US RMBS Deals
------------------------------------------------------------------
S&P Global Ratings, on May 24, 2018, completed its review of 155
classes from 23 U.S. residential mortgage-backed securities (RMBS)
transactions issued between 2003 and 2006. All of these
transactions are backed by alternative-A and subprime collateral.
The review yielded 77 upgrades, 23 downgrades, 54 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 our projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations include:
-- Collateral performance/delinquency trends;
-- Erosion of or increases in credit support;
-- Priority of principal payments;
-- Expected duration
-- Proportion of modified loans in the pool;
-- Principal-only criteria
-- Loan modification criteria; and
-- Available subordination and/or overcollateralization.
Rating Actions
The affirmations of ratings reflect S&P's opinion that its
projected credit support and collateral performance on these
classes has remained relatively consistent with its prior
projections.
A list of Affected Ratings can be viewed at:
https://bit.ly/2KSEB7D
[*] S&P Takes Various Actions on 118 Classes From 20 US RMBS Deals
------------------------------------------------------------------
S&P Global Ratings, on May 24, 2018, completed its review of 118
classes from 20 U.S. residential mortgage-backed securities (RMBS)
transactions issued between 2004 and 2006. All of these
transactions are backed by Alternative-A collateral. The review
yielded 68 upgrades, two downgrades, 45 affirmations, and three
discontinuances.
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;
-- Historical interest shortfalls;
-- Proportion of reperforming loans in the pool;
-- Principal-only criteria; 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.
The upgrades on most of the classes whose ratings were raised by
three or more notches reflect increased credit support. The classes
have benefitted from the failure of performance triggers and/or
reduced subordinate principal distribution amounts, which have
built credit support for these classes. S&P believes that the
increase in credit support for the affected classes will be
sufficient to withstand a higher level of projected losses than
previously anticipated.
A list of Affected Ratings can be viewed at:
https://bit.ly/2IN7g1p
[*] S&P Takes Various Actions on 67 Classes From 27 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 67 classes from 27 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2001 and 2007. All of these transactions are backed by
subprime collateral. The review yielded 29 upgrades, four
downgrades, and 34 affirmations.
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by our projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations include:
-- Collateral performance/delinquency trends;
-- Historical interest shortfalls;
-- 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 on 23 classes as a result of increased
credit support, of which five ratings were raised by nine or more
notches. Since these transactions' cumulative loss triggers are
failing (in effect), the most senior classes in the payment
priority are receiving all scheduled and unscheduled principal
allocations. This resulted in locking out principal to subordinate
classes and building credit support for these classes. Ultimately,
we believe these classes have credit support that is sufficient to
withstand losses at higher rating levels.
"We raised our ratings on four classes by nine or more notches due
to expected short duration. Based on these classes' average recent
principal allocation, they are projected to pay down in a short
time period relative to projected loss timing, limiting their
exposure to potential losses."
A list of Affected Ratings can be viewed at:
https://bit.ly/2rWMh1W
[*] S&P Takes Various Actions on 87 Classes From 27 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 87 classes from 27 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 1999 and 2007. All of these transactions are backed by
subprime collateral. The review yielded 30 upgrades, one downgrade,
54 affirmations, and two discontinuances.
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by our projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations include:
-- Collateral performance/delinquency trends;
-- Expected short duration;
-- Historical interest shortfalls or missed interest payments;
-- Priority of principal payments; and
-- Available subordination and/or overcollateralization.
Rating Actions
The affirmations of ratings reflect S&P's opinion that its
projected credit support and collateral performance on these
classes has remained relatively consistent with its prior
projections.
The upgrades on the majority of the classes whose ratings were
raised by three or more notches reflect an increase in credit
support. The classes have benefitted from the failure of
performance triggers and/or reduced subordinate principal
distribution amounts, which has built credit support for these
classes. S&P believes that the increase in credit support for the
affected classes will be sufficient to withstand a higher level of
projected losses than previously anticipated.
The upgrade on class A-2 from Structured Asset Investment Loan
Trust 2005-11 reflects its expected shorter duration. S&P
anticipates this class to be paid down within the next 12 months.
Additionally, credit support for this class increased to 88.25%
from 67.07% during last review. The projected pay down period and
increase in credit support limit the class' exposure to projected
losses.
A list of Affected Ratings can be viewed at:
https://bit.ly/2x7zu1w
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
TCR subscribers have free access to our on-line news archive.
Point your Web browser to http://TCRresources.bankrupt.com/and use
the e-mail address to which your TCR is delivered to login.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors.
Copyright 2018. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The TCR subscription rate is $975 for 6 months delivered via
e-mail. Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each. For subscription information, contact Peter A.
Chapman at 215-945-7000.
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