/raid1/www/Hosts/bankrupt/TCR_Public/180819.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, August 19, 2018, Vol. 22, No. 230
Headlines
ALM XVIII: S&P Assigns B-(sf) Rating on $6.50MM Class E-R Notes
AMERICREDIT AUTOMOBILE 2018-2: Moody's Rates Class E Notes 'Ba2'
ANTARES CLO 2018-2: S&P Assigns Prelim BB- Rating on E Notes
BBCMS MORTGAGE 2018-CHRS: S&P Assigns BB Rating on Class E Notes
BLUEMOUNTAIN CLO 2018-2: S&P Assigns Prelim B- Rating on F Notes
CAN CAPITAL 2014-1: DBRS Lowers Rating on Class B Notes to Csf
CANADIAN COMMERCIAL 2015-3: DBRS Confirms B Rating on Cl. G Certs
CARLYLE US 2018-2: S&P Assigns Prelim BB- Rating on $27MM D Notes
CITIGROUP MORTGAGE 2018-RP3: DBRS Finalizes B Rating on B-2 Notes
CITIGROUP MORTGAGE 2018-RP3: Moody's Rates Class B-3 Debt 'Csf'
CMLS ISSUER 2014-1: DBRS Confirms B Rating on Class G Certs
COMM MORTGAGE 2015-LC23: Fitch Affirms B-sf Rating on Cl. G Certs
CONN'S RECEIVABLES 2018-A: Fitch Rates Class C Notes 'B-sf'
CREDIT SUISSE 2003-C4: S&P Raises Class L Notes Rating to BB+(sf)
CT CDO IV: Fitch Hikes Ratings on 2 Tranches to 'CCCsf'
CWMBS INC 2004-6CB: Moody's Hikes Class M-2 Certs Rating to 'Ba1'
CWMBS RE-PERFORMING 2002-1: Moody's Cuts Class M Certs Rating to C
DEUTSCHE BANK 2012-CCRE5: Fitch Rates Class G Certs 'Bsf'
DIAMOND RESORTS 2018-1: S&P Assigns Prelim BB Rating on Cl. D Certs
FLAGSHIP CREDIT 2018-3: DBRS Assigns (P)BB Rating on Cl. E Notes
FREDDIE MAC 2018-3: DBRS Assigns Prov. B(low) Rating on Cl. M Certs
FREDDIE MAC SCRT 2018-3: Fitch Rates $75.5MM Class M Certs 'B-sf'
GOLDENTREE LOAN X: S&P Assigns Prelim B-(sf) Rating on F-R Notes
GOLUB CAPITAL 37: S&P Gives (P)BB- Rating on $15.5MM Cl. E Notes
GREENWICH CAPITAL 2006-GG7: Moody's Lowers Class B Debt to 'Ca'
GS MORTGAGE 2005-GG4: Fitch Affirms Class E Certs at 'Csf'
GS MORTGAGE 2007-GKK1: Moody's Affirms C(sf) Rating on A-1 Certs
IMSCI 2013-4: Fitch Rates CAD3.3 Million Class G Certs 'Bsf'
JP MORGAN 2013-C15: Fitch Affirms 'Bsf' Rating on Class F Certs
JP MORGAN 2018-8: Fitch to Rate Class B-5 Certs 'Bsf'
JP MORGAN 2018-8: Moody's Assigns (P)B2 Rating on Class B-5 Certs
LCM 27 LTD: S&P Assigns BB- Rating on $16.88MM Class E Notes
MERRILL LYNCH 2006-C2: Moody's Hikes Rating on Class B Certs to B1
METLIFE SECURITIZATION 2018-1: DBRS Gives (P)B Rating on B2 Debt
MONARCH BEACH 2018-MBR : DBRS Gives Prov. B(High) Rating on G Certs
MORGAN STANLEY 2011-C1: S&P Raises Class J Notes Rating to BB(sf)
MORGAN STANLEY 2014-C17: DBRS Confirms B Rating on Class F Certs
MORGAN STANLEY 2016-HQ10: Fitch Rates Class C Certs 'Csf'
MYERS PARK: S&P Gives (P)BB- Rating on $18.5MM Class E Notes
NATIONAL COLLEGIATE: Fitch Affirms 12 NCLST Transactions
OHA LOAN 2013-1: S&P Assigns B-(sf) Rating on Class F-R2 Notes
OZLM FUNDING II: S&P Assigns Prelim BB- Rating on D-R2 Notes
PARK AVENUE 2016-1: S&P Assigns Prelim BB- Rating on Cl. D-R Notes
PREFERREDPLUS TRUST CZN-1: S&P Cuts Rating on $34.5MM Certs to CCC+
PROSPER MARKETPLACE 2018-2: Moody's Gives (P)B3 Rating on C Notes
RITE AID 1999-1: Moody's Puts B2 Rating on Class A-2 Debt on Review
ROMARK CLO II: Moody's Assigns 'Ba3' Rating on Class D Notes
SARANAC CLO VI: Moody's Assigns Ba3 Rating on Class E Notes
SCOF-2 LTD: Moody's Assigns Ba3 Rating on Class E-R Notes
STARWOOD MORTGAGE 2018-IMC1: S&P Assigns B(sf) Rating on B-2 Certs
THL CREDIT 2018-2: S&P Assigns Prelim. BB- Rating on Class E Notes
TRINITAS CLO IV: S&P Assigns Prelim. B(sf) Rating on Cl. F-R Notes
UBS COMMERCIAL 2017-C3: Fitch Affirms BB Rating on Class F-RR Certs
UNITED AUTO 2018-2: DBRS Finalizes B Rating on $7MM Class F Notes
VCO CLO 2018-1: S&P Assigns Prelim. BB-(sf) Rating on Cl. E Notes
VENTURE CLO 33: Moody's Assigns B3 Rating on US$9MM Class F Notes
WACHOVIA BANK 2004-C15: S&P Raises Class F Certs Rating to B+
WACHOVIA BANK 2006-C26: Moody's Affirms C Rating on Class A-J Certs
WFRBS COMMERCIAL 2013-C17: Fitch Gives Bsf Rating on Class F Certs
WFRBS COMMERCIAL 2014-C21: DBRS Confirms B Rating on Class F Certs
[*] Discounted Tickets for 2018 Distressed Investing Conference!
[*] Moody's Hikes $310.2MM Securities Backed by Housing Loans
[*] Moody's Takes Action on $500MM FHA & VA RMBS Issued 1998-2006
[*] Moody's Takes Action on 10 Tranches From 6 US RMBS Deals
[*] Moody's Takes Action on 16 Tranches From 9 US RMBS Deals
[*] S&P Discontinues Rating on 56 Classes From 16 CDO Transactions
[*] S&P Lowers Ratings on Four Classes From Three U.S. CMBS Deals
[*] S&P Raises 9 Ratings From Two US RMBS Deals Issued in 2014-2016
[*] S&P Takes Various Action on 59 Classes From 19 U.S. RMBS Deals
[*] S&P Takes Various Actions on 22 Classes From 14 US RMBS Deals
[*] S&P Takes Various Actions on 6 Classes From 6 US RMBS Deals
[*] S&P Takes Various Actions on 83 Classes From 19 US RMBS Deals
*********
ALM XVIII: S&P Assigns B-(sf) Rating on $6.50MM Class E-R Notes
---------------------------------------------------------------
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 ALM XVIII Ltd., a
collateralized loan obligation (CLO) originally issued in July 2016
that is managed by Apollo Credit Management (CLO) LLC. S&P withdrew
its ratings on the original class A-1, A-2, B, C, and D notes
following payment in full on the Aug. 15, 2018, refinancing date.
On the Aug. 15, 2018, refinancing date, the proceeds from the
replacement notes issuances were used to redeem the original notes.
Therefore, S&P withdrew its ratings on the original notes in line
with their full redemption and assigned 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 further rating actions
as we deem necessary."
RATINGS ASSIGNED
ALM XVIII Ltd./ALM XVIII LLC
Replacement class Rating Amount (mil. $)
A-1-R AAA (sf) 282.50
A-2-R AA (sf) 65.25
B-R (deferrable) A (sf) 43.25
C-R (deferrable) BBB- (sf) 23.25
D-R (deferrable) BB- (sf) 24.25
E-R (deferrable) B- (sf) 6.50
Subordinated notes NR 36.55
RATINGS WITHDRAWN
ALM XVIII Ltd./ALM XVIII LLC
Rating
Class To From
A-1 NR AAA (sf)
A-2 NR AA (sf)
B NR A (sf)
C NR BBB (sf)
D NR BB- (sf)
NR--Not rated.
AMERICREDIT AUTOMOBILE 2018-2: Moody's Rates Class E Notes 'Ba2'
----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
notes issued by AmeriCredit Automobile Receivables Trust 2018-2.
This is the second AMCAR auto loan transaction of the year for
AmeriCredit Financial Services, Inc. The notes are backed by a pool
of retail automobile loan contracts originated by AFS, who is also
the servicer and administrator for the transaction.
The complete rating actions are as follows
Issuer: AmeriCredit Automobile Receivables Trust 2018-2
$208,000,000, 2.42890%, Class A-1 Notes, Definitive Rating Assigned
P-1 (sf)
$400,780,000, 2.86%, Class A-2-A Notes, Definitive Rating Assigned
Aaa (sf)
$300,000,000, 3.15%, Class A-3 Notes, Definitive Rating Assigned
Aaa (sf)
$98,640,000, 3.45%, Class B Notes, Definitive Rating Assigned Aa1
(sf)
$122,440,000, 3.59%, Class C Notes, Definitive Rating Assigned Aa3
(sf)
$120,400,000, 4.01%, Class D Notes, Definitive Rating Assigned Baa2
(sf)
$31,970,000, 0.00%, Class E Notes, Definitive Rating Assigned Ba2
(sf)
RATINGS RATIONALE
The ratings are based on the quality of the underlying collateral
and its expected performance, the strength of the capital
structure, and the experience and expertise of AFS as the servicer
and administrator.
The definitive rating for the Class C notes is Aa3 (sf), is one
notch higher than the provisional rating of (P)A1 (sf). This
difference is a result of (1) the transaction closing with a lower
weighted average cost of funds (WAC) than Moody's modeled when the
provisional ratings were assigned and (2) the percent of the Class
A-2 notes that are floating rate, which are subject to a stressed
interest rate assumption, is zero and lower than the fifty percent
that Moody's modeled when the provisional ratings were assigned.
The WAC assumptions and the floating-rate percent of the Class A-2
notes, as well as other structural features, were provided by the
issuer.
Moody's expected cumulative net loss for the 2018-2 pool is 9.5%
and the loss at a Aaa stress is 38.0%. Moody's based its expected
cumulative net loss and loss at a Aaa stress on an analysis of the
credit quality of the underlying collateral; the historical
performance of similar collateral, including securitization
performance and managed portfolio performance; the ability of AFS
to perform the servicing functions; and current expectations for
the macroeconomic environment during the life of the transaction.
At closing, the Class A notes, Class B notes, Class C notes, Class
D, and Class E notes are expected to benefit from 35.20%, 27.95%,
18.95%, 10.10%, and 7.75% of hard credit enhancement, respectively.
Hard credit enhancement for the notes consists of a combination of
overcollateralization, a non-declining reserve account, and
subordination. The notes may also benefit from excess spread.
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
October 2016.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the subordinate notes if, given current
expectations of portfolio losses, levels of credit enhancement are
consistent with higher ratings. In sequential pay structures, such
as the one in this transaction, credit enhancement grows as a
percentage of the collateral balance as collections pay down senior
notes. Prepayments and interest collections directed toward note
principal payments will accelerate this build of enhancement.
Moody's expectation of pool losses could decline as a result of a
lower number of obligor defaults or appreciation in the value of
the vehicles securing an obligor's promise of payment. Portfolio
losses also depend greatly on the US job market, the market for
used vehicles, and changes in servicing practices.
Down
Moody's could downgrade the notes if, given current expectations of
portfolio losses, levels of credit enhancement are consistent with
lower ratings. Credit enhancement could decline if excess spread is
not sufficient to cover losses in a given month. Moody's
expectation of pool losses could rise as a result of a higher
number of obligor defaults or deterioration in the value of the
vehicles securing an obligor's promise of payment. Portfolio losses
also depend greatly on the US job market, the market for used
vehicles, and poor servicing. Other reasons for worse-than-expected
performance include error on the part of transaction parties,
inadequate transaction governance, and fraud. Additionally, Moody's
could downgrade the Class A-1 short-term rating following a
significant slowdown in principal collections that could result
from, among other things, high delinquencies or a servicer
disruption that impacts obligor's payments.
ANTARES CLO 2018-2: S&P Assigns Prelim BB- Rating on E Notes
------------------------------------------------------------
S&P Global Ratings today assigned its preliminary ratings to
Antares CLO 2018-2 Ltd.'s floating-rate notes.
The note issuance is a collateralized loan obligation (CLO)
transaction backed by primarily middle market speculative-grade
senior secured term loans that are governed by collateral quality
tests.
The preliminary ratings are based on information as of Aug. 16,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The diversified collateral pool, which consists primarily of
middle market speculative-grade senior secured term loans that are
governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
Antares CLO 2018-2 Ltd.
Class Rating Amount (mil. $)
A-1 AAA (sf) 575.00
A-2 NR 20.00
B AA (sf) 95.00
C (deferrable) A (sf) 75.00
D (deferrable) BBB- (sf) 65.00
E (deferrable) BB- (sf) 55.00
Subordinated notes NR 123.17
NR--Not rated.
BBCMS MORTGAGE 2018-CHRS: S&P Assigns BB Rating on Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to BBCMS 2018-CHRS Mortgage
Trust's $284.32 million commercial mortgage pass-through
certificates.
The note issuance is a commercial mortgage-backed securities (CMBS)
transaction backed by a first-lien mortgage on the borrower's fee
interest in 779,084 sq. ft. of the 1.3-million sq.-ft. Christiana
Mall, a super-regional mall located in Newark, Del.
The ratings reflect S&P's view of the collateral's historical and
projected performance, the sponsor's and manager's experience, the
trustee-provided liquidity, the loan's terms, and the transaction's
structure.
RATINGS ASSIGNED
BBCMS 2018-CHRS Mortgage Trust
Class Rating(i) Amount ($)
A AAA (sf) 65,000,000
B AA- (sf) 53,910,000
C A- (sf) 50,630,000
D BBB- (sf) 62,120,000
E BB (sf) 38,440,000
VRR(ii) NR 14,220,000
(i)The certificates will be issued to qualified institutional
buyers according to Rule 144A of the Securities Act of 1933.
(ii)Non-offered certificates.
NR--Not rated.
BLUEMOUNTAIN CLO 2018-2: S&P Assigns Prelim B- Rating on F Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to BlueMountain
CLO 2018-2 Ltd./BlueMountain CLO 2018-2 LLC's $470.80 million
floating-rate notes. This is a proposed reissue of BlueMountain CLO
2014-4 Ltd. -- which was refinanced in November 2016 -- with the
assets being transferred in the form of participations.
The note issuance is a collateralized loan obligation transaction
backed primarily by broadly syndicated senior secured term loans.
The preliminary ratings are based on information as of Aug. 15,
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
BlueMountain CLO 2018-2 Ltd./BlueMountain CLO 2018-2 LLC
Class Rating Amount (mil. $)
X AAA (sf) 2.00
A AAA (sf) 315.00
B AA (sf) 55.40
C (deferrable) A (sf) 39.60
D (deferrable) BBB- (sf) 27.50
E (deferrable) BB- (sf) 22.50
F (deferrable) B- (sf) 8.80
Subordinated notes NR 41.80
NR--Not rated.
CAN CAPITAL 2014-1: DBRS Lowers Rating on Class B Notes to Csf
--------------------------------------------------------------
DBRS, Inc. downgraded its rating on the Series 2014-1 Notes, Class
B (the Notes) issued by CAN Capital Funding LLC Series 2014-1 to C
(sf) from CC (sf) as credit enhancement (CE) was not sufficient to
absorb DBRS-expected losses at the CC (sf) rating level. DBRS deems
the new rating of C (sf) to reflect DBRS's expectations.
As of the July 2018 Monthly Servicing Statement, the outstanding
principal balance of Class B Notes was $10,168,791. The Ending
Eligible Aggregate Unamortized Funded Amount of the transaction as
of the July 2018 Monthly Servicing Statement was $172,614. As such,
the Notes currently do not benefit from CE in the form of
overcollateralization. The Reserve Account balance is $0.
The Affected Ratings is available at https://bit.ly/2BalLJv
CANADIAN COMMERCIAL 2015-3: DBRS Confirms B Rating on Cl. G Certs
-----------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2015-3 issued
by Canadian Commercial Mortgage Origination Trust 2015-3:
-- Class A at AAA (sf)
-- Class A-J at AAA (sf)
-- Class B at AA (sf)
-- Class X at AA (sf)
-- Class C at A (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
-- Class G at B (sf)
The trend for Class G is Negative due to ongoing concerns
surrounding Clearwater Suite Hotel (Prospectus ID#7, 3.9% of the
pool balance), which is secured by a hotel property located in Fort
McMurray, Alberta.
All other trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction since issuance. The deal closed in September 2015
with an original trust balance of $570.1 million. At issuance, the
transaction consisted of 42 fixed rated loans secured by 59
properties. As of the July 2018 remittance, there has been a
collateral reduction of 9.5% since issuance due to scheduled loan
amortization and the repayment of one loan, with 41 loans remaining
in the pool. All but two loans in the pool reported year-end (YE)
2017 financials, reporting a weighted-average (WA) debt service
coverage ratio (DSCR) and debt yield of 1.69 times (x) and 10.6%,
respectively. Overall, the underlying collateral has seen steady
cash flow growth since issuance, when the DBRS Term DSCR and DBRS
Debt Yield for the overall pool was 1.41x and 8.3%, respectively.
All but one of the top 15 loans reported YE2017 figures and based
on the servicer's analysis, those loans, which represent 61.3% of
the pool, reported a WA DSCR of 1.71x, compared to the WA DBRS Term
DSCR at issuance of 1.43x for those loans, representing a WA net
cash flow (NCF) growth of 17.8% from the DBRS NCF figures derived
at issuance.
There are two top 15 loans on the watch list, Clearwater Suite
Hotel (Prospectus ID#7, 3.9% of the pool) and St. James Square
(Prospectus ID#11, 2.8% of the pool). Both of these full recourse
loans are being monitored for sharp cash flow declines from
issuance, but the Clearwater Suite Hotel loan is considered the
most problematic given the sustained economic difficulties in the
Fort McMurray area over the last several years. Those factors, as
well as two separate instances where the collateral property was
significantly damaged and needed major repairs (both covered by
insurance), have contributed to sustained cash flow declines since
issuance. The YE2017 DSCR was reported at 0.21x, down from the
already low 0.73x for YE2016 and the DBRS Term DSCR at issuance of
1.15x.
It should be noted that the servicer reports a different DSCR of
0.10x at YE2017 for the other piece of this pari passu loan,
contributed to the CMLSI 2014-1 transaction, which is also rated by
DBRS. The servicer's analysis includes adjustments to the reported
cash flows for management fees and capital expenditures, which are
based on the issuer's underwritten figures. The subject loan was
re-underwritten when contributed to the subject transaction and as
such, the DSCR figures do not match across the deals. DBRS has
suggested this be adjusted going forward so that both pieces show
the same coverage ratio.
DBRS assumed a stressed cash flow scenario for the loan with this
review to significantly increase the probability of default. There
are positives in place in the sponsor's recent investment in
improvements for the property and the continued funding of debt
service shortfalls out of pocket. The loan is full recourse to
Temple Hotels Inc., which is majority-owned by Morguard Corporation
(rated BBB (low) with a Stable trend by DBRS) and although this
structural feature does provide some cushion against the increased
risk since issuance, the low cash flow trends for the collateral
property support the Negative trend for the lowest rated class as
previously outlined.
Class X is 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 Canadian dollars unless otherwise noted.
CARLYLE US 2018-2: S&P Assigns Prelim BB- Rating on $27MM D Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Carlyle U.S.
CLO 2018-2 Ltd./Carlyle U.S. CLO 2018-2 LLC's $552.00 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 Aug. 14,
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
Carlyle U.S. CLO 2018-2 Ltd./Carlyle U.S. CLO 2018-2 LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 375.00
A-2 AA (sf) 61.60
B (deferrable) A (sf) 55.40
C (deferrable) BBB- (sf) 33.00
D (deferrable) BB- (sf) 27.00
Subordinated notes (deferrable) NR 59.55
NR--Not rated.
CITIGROUP MORTGAGE 2018-RP3: DBRS Finalizes B Rating on B-2 Notes
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage-Backed Notes, Series 2018-RP3 (the Notes) issued by
Citigroup Mortgage Loan Trust 2018-RP3 (the Trust):
-- $149.2 million Class A-1 at AAA (sf)
-- $13.1 million Class M-1 at AA (sf)
-- $16.0 million Class M-2 at A (sf)
-- $15.0 million Class M-3 at BBB (sf)
-- $8.0 million Class B-1 at BB (sf)
-- $9.0 million Class B-2 at B (sf)
The AAA (sf) rating on the Class A-1 Notes reflects the 39.25% of
credit enhancement provided by subordinated Notes in the pool. The
AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect
credit enhancement of 33.90%, 27.40%, 21.30%, 18.05% and 14.40%,
respectively.
Other than the specified classes above, DBRS does not rate any
other classes in this transaction.
This transaction is a securitization of a portfolio of seasoned
performing and re-performing first-lien residential mortgages. The
Notes are backed by 1,028 loans with a total principal balance of
$245,569,265 as of the Cut-Off Date (June 30, 2018).
The loans are approximately 143 months seasoned. As of the Cut-Off
Date, all loans are current, including 3.1% bankruptcy-performing
loans. Approximately 50.4% and 100.0% of the mortgage loans have
been zero times 30 days delinquent for the past 24 months and 12
months, respectively, under the Mortgage Bankers Association
delinquency method.
The portfolio contains 94.7% modified loans. The modifications
happened more than two years ago for 55.0% of the modified loans.
Within the pool, 488 mortgages have aggregate non-interest-bearing
deferred amounts of $22,228,410. Included in the deferred amounts
are proprietary principal forgiveness and Home Affordable
Modification Program principal reduction alternative amounts
(collectively, PRA amounts) of $3,278,304. The non-PRA amounts of
$18,950,106 comprise approximately 7.7% of the total principal
balance.
In accordance with the Consumer Financial Protection Bureau
Ability-to-Repay (ATR) and Qualified Mortgage (QM) rules, only one
loan (
CITIGROUP MORTGAGE 2018-RP3: Moody's Rates Class B-3 Debt 'Csf'
---------------------------------------------------------------
Moody's Investors Service, has assigned definitive ratings to seven
classes of notes issued by Citigroup Mortgage Loan Trust 2018-RP3,
which are backed by one pool of primarily re-performing residential
mortgage loans. As of the cut-off date of June 30, 2018, the
collateral pool is comprised of 1,028 first lien mortgage loans,
with a weighted average (WA) updated primary borrower FICO score of
655, a WA current loan-to-value Ratio (LTV) of 93.6% and a total
unpaid balance of $248,847,568. Total deal balance is $249,512,520
which includes a pre-existing servicing advance of $664,952.
Approximately 8.9% of the pool balance is non-interest bearing,
which consists of both principal reduction alternative (PRA) and
non-PRA deferred principal balance.
Fay Servicing, LLC will be the primary servicer and will not
advance any principal or interest on the delinquent loans. However,
it will be required to advance costs and expenses incurred in
connection with a default, delinquency or other event in the
performance of its servicing obligations.
The complete rating actions are as follows:
Issuer: Citigroup Mortgage Loan Trust 2018-RP3
Cl. A-1, Assigned Aaa (sf)
Cl. M-1, Assigned Aa2 (sf)
Cl. M-2, Assigned A3 (sf)
Cl. M-3, Assigned Baa3 (sf)
Cl. B-1, Assigned Ba3 (sf)
Cl. B-2, Assigned B3 (sf)
Cl. B-3, Assigned C (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected losses on CMLTI 2018-RP3's collateral pool average
14.0% in its base case scenario. Its loss estimates take into
account the historical performance of loans that have similar
collateral characteristics as the loans in the pool. Its credit
opinion is the result of its analysis of a wide array of
quantitative and qualitative factors, a review of the third-party
review of the pool, servicing framework and the representations and
warranties framework.
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
CMLTI 2018-RP3's collateral pool is primarily comprised of
re-performing mortgage loans. About 94.8% of mortgage loans in the
pool have been previously modified.
Moody's based its expected losses on its 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 a loan modification, and the amount of the
reduction in the monthly mortgage payment as a result of the
modification. The longer a borrower has been current on a
re-performing loan, the less likely the borrower is to re-default.
Approximately 55.1% of the borrowers have been current on their
payments for at least the past 24 months under the MBA method of
calculating delinquencies.
Moody's estimated expected losses for the pool using two approaches
-- (1) pool-level approach, and (2) re-performing loan level
analysis.
In the pool-level approach, Moody's estimates losses on the pool
using an approach similar to its surveillance approach whereby
Moody's applies assumptions of future delinquencies, default rates,
loss severities and prepayments based on observed performance of
similar collateral. Moody's projects future annual delinquencies
for eight years by applying an initial annual default rate and
delinquency burnout factors. Based on the loan characteristics of
the pool and the demonstrated pay histories, Moody's expects an
annual delinquency rate of 13.1% on the collateral pool for year
one. Moody's then calculated future delinquencies on the pool using
its default burnout and voluntary conditional prepayment rate (CPR)
assumptions. The delinquency burnout factors reflect its future
expectations of the economy and the U.S. housing market. Moody's
then aggregated the delinquencies and converted them to losses by
applying pool-specific lifetime default frequency and loss severity
assumptions. Its loss severity assumptions are based off observed
severities on liquidated seasoned loans and reflect the lack of
principal and interest advancing on the loans.
Moody's also conducted a loan level analysis on CMLTI 2018-RP3'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 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.
As of the cut-off date, approximately 8.9% of the pool balance is
non-interest bearing, which consists of both PRA and non-PRA
deferred principal balance. However, the PRA deferred amount of
$3,278,304 will be carved out as a separate Class PRA note.
For non-PRA forborne amounts, the deferred balance is the full
obligation of the borrower and must be paid in full upon (i) sale
of property (ii) voluntary payoff or (iii) final scheduled payment
date. Upon sale of the property, the servicer therefore could
potentially recover some of the deferred amount. For loans that
default in future or get modified after the closing date, the
servicer may opt for partial or full principal forgiveness to the
extent permitted under the servicing agreement. Based on
performance and information from servicers, Moody's applied a
slightly higher default rate than what Moody's assumed for the
overall pool given that these borrowers have experienced past
credit events that required loan modification, as opposed to
borrowers who have been current and have never been modified. In
addition, Moody's assumed approximately 95% severity as the
servicer may recover a portion of the deferred balance. Its
expected loss does not consider the PRA deferred amount.
Transaction Structure
The securitization has a simple sequential priority of payments
structure without any cash flow triggers. The servicer will not
advance any principal or interest on delinquent loans. However, the
servicer will be required to advance costs and expenses incurred in
connection with a default, delinquency or other event in the
performance of its servicing obligations. Credit enhancement in
this transaction is comprised of subordination provided by
mezzanine and junior tranches and loss allocation to the
subordinate bonds. To the extent excess cashflow is available, it
will be used to pay down additional principal of the bonds
sequentially, building overcollateralization.
Moody's coded CMLTI 2018-RP3'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
The sponsor engaged third party diligence providers to conduct the
following due diligence reviews: (i) a title/lien review to confirm
the appropriate lien was recorded and the position of the lien and
to review for other outstanding liens and the position of those
liens; (ii) a state and federal regulatory compliance review on the
loans; (iii) a payment history review for the three year period (to
the extent available) to confirm that the payment strings matched
the data supplied by or on behalf of the third-party sellers; and
(iv) a data comparison review on certain characteristics of the
loans.
Based on its analysis of the TPR reports, Moody's determined that a
portion of the loans with some cited violations are at enhanced
risk of having violated TILA through an under-disclosure of the
finance charges or other disclosure deficiencies. Although the TPR
report indicated that the statute of limitations for borrowers to
rescind their loans has already passed, borrowers can still raise
these legal claims in defense against foreclosure as a set off or
recoupment and win damages that can reduce the amount of the
foreclosure proceeds. Such damages can include up to $4,000 in
statutory damages, borrowers' legal fees and other actual damages.
Moody's increased its base case losses for these loans to account
for such damages.
The diligence provider also noted 151 lien exceptions such as HOA
liens in super lien states, municipal liens, delinquent property
taxes and property tax lien. Loans with these findings are not
removed from the final pool, however, the seller is obligated to
cure the exception or repurchase the loan within 12 months of the
closing date. The review also consisted of validating 42 data
fields for each loan in the pool which resulted in 728 loans having
one or more data variances. It was determined that such data
variances were attributable to missing or defective source
documentation, non-material variances within acceptable tolerances,
allocation between documented and undocumented deferred principal
balances, timing and data formatting differences. Moody's did not
make any adjustments for these findings.
Representations & Warranties (R&W)
The R&W framework for this transaction is adequate. The scope of
the R&Ws are somewhat weaker compared to prior CMLTI
securitizations rated by us owing mainly to items identified in the
TPR being excluded from the R&Ws. However, the overall framework is
still adequate as there are well-defined breach discovery and
enforcement mechanisms and provisions that obligate the R&W
provider despite lack of its knowledge (R&W knowledge clawback
provisions).
The R&W provider is Citigroup Global Markets Realty Corp. Although
it itself is unrated, it is affiliated with an investment grade
entity, Citigroup Inc., though Citigroup Inc. has no contractual
obligation with respect to R&W breaches.
There is a good chance that any R&W breaches will be discovered
because an independent party is obligated to review for R&W
breaches if:
(i) a loan was at least 120 days delinquent following a threshold
event, which is satisfied if the sum of cumulative realized loss
and unpaid principal balance of 120+ days delinquent loans (current
trigger amount) within the first three years exceeds 50% of
aggregate class B-3, class B-4 and class B-5 balance as of the
closing date or the current trigger amount exceeds 75% of aggregate
class B-3, class B-4 and class B-5 balance as of the closing date
thereafter.
(ii) a loan was liquidated at a loss if certain conditions
including but not limited to a reviewer waiver from controlling
holder or if the review fees and expenses were less than the loss
amount.
(iii) the servicer has made a determination that it cannot
foreclose upon the loan.
If the breach reviewer (an independent third party) identifies a
R&W breach, the R&W provider will be obligated to either cure the
breach, repurchase or substitute the loan, or pay for any loss (or
the portion of any loss attributable to the breach) if the loan has
been liquidated. The R&W provider will also cover losses incurred
due to a servicer's inability to foreclose on the mortgage. If the
R&W Provider disputes the findings, there is binding arbitration to
resolve the dispute. The loser of the arbitration pays all the
expenses.
There are a few weaknesses in the enforcement mechanisms. First,
the independent reviewer is not identified at closing and, if the
indenture trustee has difficulty engaging one on acceptable terms,
the controlling holder can direct the trustee not to engage one.
Furthermore, the review fees, which the trust pays, are not agreed
upon at closing and will be determined in the future. Second, the
remedies do not cover damages owing to TILA under-disclosures.
Moody's made adjustments to account for such damages in its
analysis. Finally, there will be no remedy for an insurance-related
R&W if there is an insurance policy rescission.
Trustee Indemnification
Moody's believes there is a very low likelihood that the rated
notes in CMLTI 2018-RP3 will incur any loss from extraordinary
expenses or indemnification payments owing to potential future
lawsuits against key deal parties. First, majority of the loans are
seasoned with demonstrated payment history, reducing the likelihood
of a lawsuit on the basis that the loans have underwriting defects.
Second, historical performance of loans aggregated by the sponsor
to date has been within expectation, with minimal losses on
previously issued CMLTI transactions. Third, the transaction has
reasonably well defined processes in place to identify loans with
defects on an ongoing basis. In this transaction a well-defined
breach discovery and enforcement mechanism reduces the likelihood
that parties will be sued for inaction.
Transaction Parties
Fay will be the primary servicer for all loans in the pool. Wells
Fargo Bank, N.A. and Deutsche Bank National Trust Company will act
as custodians. U.S. Bank National Association will be the trust
administrator and Wilmington Savings Fund Society, FSB will be the
indenture trustee.
Factors that would lead to an upgrade or downgrade of the ratings:
Factors that would lead to an upgrade of the ratings
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 ratings
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligors defaulting or
deterioration in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market. Other reasons
for worse-than-expected performance include poor servicing, error
on the part of transaction parties, inadequate transaction
governance and fraud.
CMLS ISSUER 2014-1: DBRS Confirms B Rating on Class G Certs
-----------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2014-1 issued
by CMLS Issuer Corp., Series 2014-1 (the Trust):
-- 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)
With this review, DBRS has maintained a Negative trend for Class G
due to ongoing concerns surrounding Clearwater Suites Hotel
(Prospectus ID#10, 3.6% of the pool balance), which is secured by a
hotel property located in Fort McMurray, Alberta. The trends on all
other classes are Stable.
The rating confirmations reflect the transaction's overall stable
performance since last review. This deal closed in December 2014
with an original trust balance of $284.0 million with 37 fixed-rate
loans secured by 39 commercial properties located throughout
Canada. As of the July 2018 remittance, the pool had an aggregate
balance of approximately $240.5 million, representing a collateral
reduction of 15.2% since issuance due to loan repayments and
scheduled loan amortization, with 32 loans remaining in the pool.
According to the most recent year-end figures, the 32 remaining
loans reported a weighted-average (WA) debt service coverage ratio
(DSCR) and WA debt yield of 1.48 times (x) and 10.5%, respectively.
At issuance, the WA DBRS Term DSCR and WA DBRS Debt Yield for the
32 loans currently in the pool was 1.38x and 9.13%, respectively.
This figure reflects the updated net cash flow (NCF) analysis for
the Clearwater Suites loan completed as part of the pari passu
note's contribution to the CCMOT 2015-3 transaction, as discussed
in further detail below. Cash flow growth for the largest 15 loans,
which collectively represent 83.6% of the pool, has been healthy
with YE2017 figures showing WA NCF growth of 7.56% over the DBRS
figures.
Pool strengths include structural elements at the loan level. There
are 28 loans in the pool, representing 83.7% of the pool balance,
that have some form of meaningful recourse to the sponsor. The pool
also benefits from generally shorter amortization schedules and a
lack of interest-only (IO) periods as all loans amortize for their
respective terms. Although the Clearwater Suites loan is full
recourse, the pool's exposure to sustained economic difficulties in
the Fort McMurray market over the last several years has posed a
challenge. Those factors, as well as two separate instances where
the collateral property was significantly damaged and needed major
repairs (both covered by insurance), have contributed to sustained
cash flow declines since issuance. The YE2017 DSCR was reported at
0.10x, down from the already-low 0.67x for YE2016 and the DBRS Term
DSCR at issuance of 1.15x (as adjusted for the updated DBRS
analysis with contribution from the other piece of this pari passu
loan to the CCMOT 2015-3 transaction).
It should also be noted that the servicer reports a different DSCR
of 0.21x at YE2017 for the piece contributed to the CCMOT 2015-3
transaction. The servicer's analysis includes adjustments to the
reported cash flows for management fees and capital expenditures,
which are based on the Issuer's underwritten figures. The subject
loan was re-underwritten when contributed to the 2015 transaction
and, as such, the DSCR figures do not match across the deals. DBRS
has suggested that this be adjusted going forward so that both
pieces show the same coverage ratio.
With this review, DBRS assumed a stressed cash flow scenario for
the Clearwater Suites loan to significantly increase the
probability of default (PD). There are positives in place in the
sponsor's recent investment in improvements for the property and
the continued funding of debt-service shortfalls out of pocket. The
loan is full recourse to Temple Hotels Inc., which is
majority-owned by Morguard Corporation (rated BBB (low) with a
Stable trend by DBRS) and, although this structural feature does
provide some cushion against the increased risk since issuance, the
low cash flow trends for the collateral property support the
Negative trend for the lowest-rated class.
There are currently six loans, representing 23.89% of the pool, on
the servicer's watch list. Four loans were flagged due to a low
DSCR, driven by declined occupancy in each case. These loans were
analyzed with a stressed cash flow scenario to increase the PD. The
other loans were flagged for non-performance related issues. The
six watch listed loans reported a WA YE2017 DSCR and in-place debt
yield of 1.13x and 7.8%, respectively.
Class X is an 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 Canadian dollars unless otherwise noted.
COMM MORTGAGE 2015-LC23: Fitch Affirms B-sf Rating on Cl. G Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 17 classes of Deutsche Bank Securities,
Inc.'s COMM Mortgage Trust commercial mortgage pass-through
certificates, series 2015-LC23.
KEY RATING DRIVERS
Stable Performance and Loss Expectations; Minimal Change to Credit
Enhancement: Overall pool performance and loss expectations remain
stable from issuance, with minimal changes to credit enhancement.
There have been no realized losses to date. As of the August 2018
distribution date, the pool's aggregate balance has been reduced by
2% to $941.5 million from $960.9 million at issuance. The pool is
scheduled to amortize by 10.0% of the initial pool balance prior to
maturity. Fourteen loans (39.5% of pool) are full-term interest
only and 15 loans (22.2%) are partial interest only.
Fitch Loans of Concern: Fitch has designated four loans (7.7% of
pool) as Fitch Loans of Concern (FLOCs), including two loans in the
top 15 (5.8%) and one specially serviced loan (1.2%). Whitehall
Hotel (3.6%), the largest FLOC, is secured by a 222-key full
service hotel located in Chicago, IL. Property-level net operating
income (NOI) in 2017 declined 29% from issuer's underwritten at
issuance. Occupancy, ADR and RevPAR was 80.9%, $146 and $118,
respectively, at year-end (YE) 2017, compared to 78.2%, $156 and
$122 at issuance. The second largest FLOC, Murrieta Spectrum
(2.2%), is secured by a 172,598 sf retail property located in
Murrieta, CA. Occupancy declined to 81.9% at YE 2017 from 92% at YE
2016 following the loss of several tenants, mainly month to month
tenants at issuance. Occupancy has remained in the low 80% as of
March 2018. The other non-specially serviced FLOC (0.7%) is secured
by a 69 unit hotel located in Rockport, TX. As of YE 2017, the
servicer-reported occupancy was 60.5%, down from 75.3% at issuance
and the NOI DSCR was 0.68x.
The specially serviced Colerain Center loan (1.2%), which is
secured by a 78,169 sf retail property located in Colerain
Township, OH, transferred to special servicing in December 2017 for
imminent default. The largest tenant LA Fitness (38.4% of NRA) went
dark in January 2017. The special servicer is moving forward with
foreclosure of the asset.
Asset Concentration: Loans secured by retail properties represent
32.2% of the pool. The 10th largest loan in the pool is secured by
Springfield Mall (3.3%), a regional mall located in Springfield
Township, PA, which has exposure to non-collateral anchor tenant
Macy's, as well as Target. Other major collateral tenants include
Ulta, American Eagle Outfitters and The Gap/Gap Kids. As of YE
2017, comparable in-line sales were $421 psf compared to $445 psf
the prior year. Loans secured by hotel properties represent 19.9%
of the pool, including three of the top 15 loans (16.3%). Hotels
have one of the highest probabilities of default in Fitch's
multiborrower CMBS model.
Maturity Schedule: Six loans (22.5%) mature in 2020 and the
remaining loans mature in 2025.
RATING SENSITIVITIES
Rating Outlooks on all classes remain Stable due to overall stable
pool performance and expected continued paydown. Future rating
upgrades may occur with improved pool performance and additional
defeasance or paydown. Rating downgrades to the classes are
possible should overall pool performance decline.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action
Fitch has affirmed the following ratings:
-- $19.7 million class A-1 at 'AAAsf'; Outlook Stable;
-- $210.2 million class A-2 at 'AAAsf'; Outlook Stable;
-- $125 million class A-3 at 'AAAsf'; Outlook Stable;
-- $245 million class A-4 at 'AAAsf'; Outlook Stable;
-- $53.4 million class A-SB at 'AAAsf'; Outlook Stable;
-- $61.3 million class A-M at 'AAAsf'; Outlook Stable;
-- $337.7 million XP-A* at 'AAAsf'; Outlook Stable;
-- $714.5 million XS-A* at 'AAAsf'; Outlook Stable;
-- $51.6 million class B at 'AA-sf'; Outlook Stable;
-- $94.9 million class X-B* at 'AA-sf'; Outlook Stable;
-- $43.2 million class C at 'A-sf'; Outlook Stable;
-- $28.8 million class D at 'BBBsf'; Outlook Stable;
-- $24 million class E at 'BBB-sf'; Outlook Stable;
-- $52.9 million class X-C* at 'BBB-sf'; Outlook Stable;
-- $22.8 million class F at 'BB-sf'; Outlook Stable;
-- $22.8 million class X-D* at 'BB-sf'; Outlook Stable;
-- $10.8 million class G at 'B-sf'; Outlook Stable.
*Notional amount and interest only.
Fitch does not rate the class H, J, X-E and X-F certificates.
CONN'S RECEIVABLES 2018-A: Fitch Rates Class C Notes 'B-sf'
-----------------------------------------------------------
Fitch Ratings has assigned the following ratings to Conn's
Receivables Funding 2018-A, LLC (Conn's 2018-A), which consists of
notes backed by retail loans originated and serviced by Conn
Appliances, Inc. (Conn's):
-- $219,200,000 class A notes 'BBBsf'; Outlook Stable;
-- $69,550,000 class B notes 'BBsf'; Outlook Stable;
-- $69,550,000 class C notes 'B-sf'; Outlook Stable;
-- class R notes 'NR'.
KEY RATING DRIVERS
Subprime Collateral Quality: Conn's has a weighted average (WA)
FICO of 608 and 10.8% of the loans have scores below 550. Fitch
assigned a base case default rate of 25% and applied a 2.2x stress
at the 'BBBsf' level. The default multiple reflects the high
absolute value of the historical defaults, the variability of
default performance in recent years and the high geographical
concentration.
Rating Cap at 'BBBsf': Due to the subprime credit risk profile of
the customer base, higher loan defaults in recent years, management
changes at Conn's, the high concentration of receivables from Texas
and servicing continuity risk due to in-store payments, Fitch
placed a rating cap on this transaction at the 'BBBsf' category.
Recent Asset Performance: Cumulative defaults increased with each
successive vintage from fiscal year (FY) 2012 through FY2017 as the
company aggressively expanded its originations. Early performance
indicators on the FY2018 vintage do suggest some stabilization. To
account for this, Fitch focused on the FY2016 and FY2017 periods
for its default assumption derivation to project future portfolio
performance.
Servicing Capabilities: Conn Appliances, Inc. has a long track
record as an originator, underwriter and servicer. The credit risk
profile of the entity is mitigated by the backup servicing provided
by Systems & Services Technologies, Inc. (SST), which has committed
to servicing transition period of 30 days. Fitch considers all
parties to be adequate servicers for this pool based on prior
experience and capabilities.
RATING SENSITIVITIES
Unanticipated increases in the frequency of defaults or write-offs
on customer accounts could produce loss levels higher than the base
case and would likely result in declines of credit enhancement (CE)
and remaining loss coverage levels available to the investments.
Decreased CE may make certain ratings on the investments
susceptible to potential negative rating actions, depending on the
extent of the decline in coverage.
Rating sensitivities provide greater insight into the model-implied
sensitivities the transaction faces when one or two risk factors
are stressed while holding others equal. The modeling process first
uses the estimation and stress of a base case loss assumption to
reflect asset performance in a stressed environment. Second,
structural protection was analyzed with Fitch's proprietary cash
flow model. The results here should only be considered as one
potential outcome as the transaction is exposed to multiple risk
factors that are all dynamic variables.
-- Default increase 10%: class A 'BBBsf'; class B 'BBsf'; class C
'B-sf';
-- Default increase 25%: class A 'BBB-sf'; class B 'BB-sf'; class
C below 'CCCsf';
-- Default increase 50%: class A 'BBsf'; class B 'Bsf'; class C
below 'CCCsf';
-- Recoveries decrease to 0%: class A 'BBBsf'; class B 'BBsf';
class C 'B-sf'.
CREDIT SUISSE 2003-C4: S&P Raises Class L Notes Rating to BB+(sf)
-----------------------------------------------------------------
S&P Global Ratings raised its rating to 'BB+ (sf)' from 'D (sf)' on
the class L commercial mortgage pass-through certificates from
Credit Suisse First Boston Mortgage Securities Corp.'s series
2003-C4, a U.S. commercial mortgage-backed securities (CMBS)
transaction.
S&P said, "For the upgrade, our credit enhancement expectation was
in line with the affirmed rating level. In addition, the raised
rating also considers the bond's interest payment history;
specifically, the class received full interest payments for nine
consecutive months. Based on our criteria, for any tranche
downgraded below 'BB+ (sf)' due to temporary interest shortfalls,
we generally consider an upgrade as high as 'BB+ (sf)' after the
reimbursement of all past interest shortfalls and the subsequent
payment of timely interest over at least the subsequent six months.
We would generally consider an upgrade as high as 'AA+ (sf)' after
the reimbursement of all past interest shortfalls and the
subsequent payment of timely interest over at least the subsequent
15 months. We will continue to monitor the performance of this
transaction and may take further rating actions as warranted.
"Class L was previously lowered to 'D (sf)' due to accumulated
interest shortfalls that we expected to remain outstanding for a
prolonged period of time. We raised our rating on class L because
the interest shortfalls, which were primarily due to a
non-recoverable determination on the Park Square Center loan, have
been resolved in full following the loan's liquidation in November
2017, and we do not believe, at this time, a further default of the
class is virtually certain."
TRANSACTION SUMMARY
As of the July 17, 2018, trustee remittance report, the collateral
pool balance was $6.1 million, which is 0.5% of the pool balance at
issuance. The pool currently includes three loans, down from 171
loans at issuance. Two of these loans ($3.3 million, 53.3%) are
defeased, and none are with the special servicer or appear on the
master servicer's watchlist. To date, the transaction has
experienced $37.8 million in principal losses, or 2.8% of the
original pool trust balance.
The Pemstar Inc. Headquarters loan ($2.9 million, 46.7%; down from
an initial trust balance of $7.4 million) is the sole performing
nondefeased loan and is secured by a 260,287-sq.-ft. industrial
property in Rochester, Minn. with an April 11, 2023, maturity date.
This loan is fully amortizing, is occupied by a single tenant,
Benchmark Electronics Inc., and is rated 'BB' by S&P Global
Ratings. The lease expiration is coterminous with the maturity
date. S&P calculated a 1.81x S&P Global Ratings debt service
coverage and 19.0% S&P Global Ratings loan-to-value ratio using an
8.00% S&P Global Ratings capitalization rate on this loan.
CT CDO IV: Fitch Hikes Ratings on 2 Tranches to 'CCCsf'
-------------------------------------------------------
Fitch Ratings has upgraded three and affirmed nine classes of CT
CDO IV, Ltd.
KEY RATING DRIVERS
This review was conducted under the framework described in Fitch's
'Global Structured Finance Rating Criteria' and 'Structured Finance
CDOs Surveillance Rating Criteria'. The transaction was not
analyzed within the Portfolio Credit Model or a cash flow model
framework due to the concentrated nature of the remaining
collateralized debt obligation (CDO) portfolio. Fitch also
determined that the impact of any structural features was minimal
in the context of the outstanding CDO ratings, and the hedge has
expired. A look-through analysis of the seven remaining underlying
bonds was performed to determine the collateral coverage of the
remaining liabilities.
The upgrades reflect increased credit enhancement from continued
deleveraging of the capital structure. Since Fitch's last rating
action and as of the July 2018 trustee report, the CDO received
principal paydowns totaling $6.98 million (14.3% of the last rating
action collateral balance), the majority of which was from the
amortization of the BC 2000-A class A bond.
With the additional principal paydowns to the CDO since the last
rating action, the class C notes are now fully covered by defeased
collateral. Approximately 86% of the underlying CSFB 1998-C2 class
H bond held by the CDO is covered by defeasance.
Although credit enhancement has improved for the class D-FL and
D-FX notes since the last rating action, default remains possible.
Nearly 77% of the remaining CDO portfolio consists of bonds with
distressed ratings whereby the underlying transactions are highly
concentrated and adversely selected.
The GMACC 2004-C2 class B bond comprises 40% of the CDO portfolio.
The largest asset, which comprises 99% of this underlying pool, is
a real-estate owned (REO) regional mall in Norfolk, VA where all of
the anchors, including Sears, JC Penney and Macy's, have closed.
The GSMS 2005-GG4 class F bond comprises 10.3% of the CDO
portfolio. Only two loans/assets remain in this underlying pool, a
hotel property in foreclosure and a REO neighborhood retail center
where significant losses upon liquidation are expected. The JPMCC
2004-C3 class J bond comprises 9.5% of the CDO portfolio. The
largest loan, which comprises 45% of this underlying pool, is
secured by a single-tenant office property in Lenexa, KS. The
single-tenant, T-Mobile, is currently subleasing the property to
Quest Diagnostics whose lease expires in October 2019. The COMM
2000-C1 class G bond comprises 0.6% of the CDO portfolio. The sole
remaining loan in this underlying pool is specially serviced and
secured by a single tenant retail property in Bloomingdale, IL
occupied by Carson's Pirie Scott. Parent company Bon-Ton filed
bankruptcy and will be liquidating all locations by end of August
2018.
For the class E through M notes, default is considered inevitable
as these classes are reliant upon distressed collateral with credit
characteristics consistent with a 'Csf' rating and/or are
undercollateralized. The Capital Trust RE CDO 2005-1 class F bond,
which comprises 16.2% of the CDO portfolio, is
undercollateralized.
RATING SENSITIVITIES
The Stable Outlook on class C reflects the class being fully
covered by defeased collateral. The class is expected to be
reported as paid in full at the next CDO payment date as the
underlying BC 2000-A class A bond (9% of the CDO portfolio) was
repaid.
Significant amounts of unscheduled principal paydowns within these
underlying pools that have defeased collateral may result in large
changes to credit enhancement, which could lead to multi-category
upgrades. Downgrades are possible with additional realized losses
and/or negative migration of the underlying bond ratings beyond
Fitch's expectation.
Classes already rated 'Csf' have limited sensitivity to further
negative migration given their highly distressed rating level.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to these rating actions.
Fitch has upgraded and assigned Rating Outlooks to the following
classes where indicated:
-- $2.4 million class C to 'AAAsf' from 'CCCsf'; assigned Outlook
Stable;
-- $5.7 million class D-FL to 'CCCsf' from 'Csf';
-- $3.6 million class D-FX to 'CCCsf' from 'Csf'.
Fitch has affirmed the following classes:
-- $4.9 million class E at 'Csf';
-- $2.2 million class F-FL at 'Csf';
-- $3.7 million class F-FX at 'Csf';
-- $7.4 million class G at 'Csf';
-- $3.9 million class H at 'Csf';
-- $2.4 million class J at 'Csf';
-- $5.4 million class K at 'Csf';
-- $4.9 million class L at 'Csf';
-- $3.4 million class M at 'Csf'.
Fitch does not rate the class N, Preferred Shares and interest-only
X certificates. The class A-1, A-2 and B certificates have paid in
full.
CWMBS INC 2004-6CB: Moody's Hikes Class M-2 Certs Rating to 'Ba1'
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of two tranches
from CWMBS, Inc. Mortgage Pass-Through Certificates, Series
2004-6CB RMBS transaction backed by Alt-A mortgage loans.
Complete rating actions are as follows:
Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates, Series
2004-6CB
Cl. M-1, Upgraded to Aa1 (sf); previously on Sep 21, 2017 Upgraded
to A3 (sf)
Cl. M-2, Upgraded to Ba1 (sf); previously on Sep 21, 2017 Upgraded
to Ba3 (sf)
RATINGS RATIONALE
The rating actions reflect the recent performance of the underlying
pools and Moody's updated loss expectations on those pools. The
rating upgrades are primarily due to an improvement in the 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 macroeconomic
uncertainty, and in particular the unemployment rate. The
unemployment rate fell to 3.9% in July 2018 from 4.3% in July 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.
CWMBS RE-PERFORMING 2002-1: Moody's Cuts Class M Certs Rating to C
------------------------------------------------------------------
Moody's Investors Service has downgraded the rating of one bond,
withdrawn the ratings of two underlying components, and assigned a
rating on one bond from CWMBS Re-Performing Loan REMIC Trust
Certificates, Series 2002-1.
Complete rating actions are as follows:
Issuer: CWMBS Re-Performing Loan REMIC Trust Certificates, Series
2002-1
Cl. M, Downgraded to C (sf) ; previously on Jul 25, 2016 Downgraded
to Ca (sf)
Cl. 2A/3A-IO, Assigned C (sf)
Cl. 3A-IO, Withdrawn (sf) ; previously on Oct 27, 2017 Confirmed at
B2 (sf)
Cl. 2A-IO, Withdrawn (sf) ; previously on Oct 27, 2017 Confirmed at
B2 (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pool
and reflect Moody's updated loss expectation on the pool. The
rating downgrade on Cl. M is due to the weaker performance of the
underlying collateral and the erosion of enhancement available to
the bond.
The rating actions on Cl. 2A-IO, Cl. 3A-IO and Cl. 2A/3A-IO are
driven by the correction of an error. Cl. 2A/3A-IO has two
components, identified in the Private Placement Memorandum as Cl.
2A-IO and Cl. 3A-IO Component Certificates, which generate the
cash-flow supporting the Cl. 2A/3A-IO bond. At closing Moody's
erroneously assigned ratings to Cl. 2A-IO and Cl. 3A-IO instead of
assigning a rating to the Cl. 2A/3A-IO, the certificate originally
issued by CWMBS Re-Performing Loan REMIC Trust Certificates, Series
2002-1. Moody's is now correcting this error and assigning a rating
to Cl. 2A/3A-IO. Moody's has also withdrawn the ratings on Cl.
2A-IO and Cl. 3A-IO. The rating history of these underlying
components will remain on moodys.com. Hereafter, Moody's will only
publish the rating for Cl. 2A/3A-IO at the certificate level and
will not publish ratings for the related underlying components.
Moody's is assigning a rating of C (sf) to Cl. 2A/3A-IO to reflect
the consecutive nonpayment of interest for an extended period on
the component bonds: Cl. 2A-IO and Cl. 3A-IO, since June 2017. The
nonpayment of interest is attributed to weak performance and rate
reduction on the collateral due to underlying loan modifications.
Because the interest payment on these bonds is subject to changes
in their coupons, and in interest rates and collateral composition,
there is a remote possibility that they may receive interest in the
future. The rating of C (sf) addresses the loss of interest
attributable to credit related reasons.
The principal methodology used in rating CWMBS Re-Performing Loan
REMIC Trust Certificates, Series 2002-1 Cl. M was "FHA-VA US RMBS
Methodology" published in November 2013. The methodologies used in
rating CWMBS Re-Performing Loan REMIC Trust Certificates, Series
2002-1 Cl. 2A/3A-IO were "FHA-VA US RMBS Methodology" published in
November 2013 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 July 2018 from 4.3% in July
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.
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.
DEUTSCHE BANK 2012-CCRE5: Fitch Rates Class G Certs 'Bsf'
---------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Deutsche Bank Securities,
Inc. commercial pass-through certificates series 2012-CCRE5 (COMM
2012-CCRE5) and revised the Outlook on one class to Negative from
Stable.
KEY RATING DRIVERS
Stable Loss Expectations: The overall pool has exhibited relatively
stable performance, with loss expectations in line with Fitch's
prior rating action. There have been no realized losses to date.
One loan (0.4% of pool) is currently in special servicing. In
addition, four non-specially serviced loans (13.5% of pool),
including two in the top 15 (12.2%), were designated Fitch Loans of
Concern (FLOCs) due to performance declines and/or refinance
concerns.
Increased Credit Enhancement; High Percentage of Defeasance: Credit
enhancement has continued to improve since issuance from
amortization and loan repayments. Eight loans totaling $101 million
were repaid in full over the past 12 months. As of the August 2018
distribution date, the pool's aggregate principal balance has paid
down by 22.5% to $878.3 million from $1.1 billion at issuance. In
addition, nine loans (19.7% of pool) are fully defeased.
Retail Concentration/Regional Mall Exposure; Fitch Loans of
Concern: Retail properties account for 35.7% of the pool, including
the largest loan, Eastview Mall and Commons (10.2%), which is
secured by a regional mall and power center in Victor, NY. The loan
was designated a FLOC due to declining occupancy and increased
expenses since issuance. As of YE 2017, collateral occupancy and
NOI DSCR declined to 86.8% and 1.81x, respectively, from 93.9% and
2.19x at issuance. A second retail FLOC in the top 15 is Belvedere
Plaza (1.9% of pool), which is secured by a grocery anchored
(Kroger) retail center in Decatur, GA. The loan was flagged for
declining occupancy and cash flow since issuance. As of TTM
September 2017, occupancy and NOI DSCR were 83.4% and 1.17x,
respectively, down from 92.9% and 1.57x at issuance.
Specially Serviced Loan: One loan, Lillie's Times Square (0.4% of
pool), which is secured by a 5,020-sf retail building located in
Manhattan's Times Square/Theatre District, is specially serviced.
The property is 100% leased to restaurant and bar, Lillie's
Victorian Establishment. The loan had transferred to special
servicing in January 2018 for maturity default; the loan was not
repaid at its Nov. 6, 2017 maturity date. After granting a 60-day
forbearance, the servicer issued a notice of default in March 2018,
and a foreclosure complaint was filed in April 2018. The special
servicer filed a motion for summary judgment asking for a quick
judgment without trial and is also pursuing a potential note sale.
Pool/Maturity Concentrations: Forty-seven of the original 63 loans
remain in the pool. Retail, office and multifamily properties
comprise 35.7%, 32.3% and 12.4% of the pool, respectively. Loan
maturities are concentrated in 2022 (99.6% of pool). Two loans
(10.8%) are full-term interest only. Nine loans (18.8%) that had a
partial-term interest-only period at issuance have all begun
amortizing.
RATING SENSITIVITIES
The Stable Rating Outlooks for classes A-2 through F reflect the
stable performance of the majority of the underlying pool and
expected continued amortization. The Negative Rating Outlook for
class G reflects an additional sensitivity test on two FLOCs,
whereby a 25% loss severity was applied to the maturity balances of
the Eastview Mall and Commons and Belvedere Plaza loans to reflect
refinance concerns and the potential for outsized losses due to the
declining performance and additional competition in the market.
Downgrades are possible if performance of these FLOCs continue to
further deteriorate. Rating upgrades, although unlikely due to pool
concentrations, could occur with improved pool performance and
increased credit enhancement from additional paydown or
defeasance.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following classes and revised Rating
Outlooks as indicated:
-- $3.2 million class A-2 at 'AAAsf'; Outlook Stable;
-- $77.4 million class A-SB at 'AAAsf'; Outlook Stable;
-- $100 million class A-3 at 'AAAsf'; Outlook Stable;
-- $357.6 million class A-4 at 'AAAsf'; Outlook Stable;
-- $123.3 million class A-M at 'AAAsf'; Outlook Stable;
-- $52.4 million class B at 'AAsf'; Outlook Stable;
-- $35.4 million class C at 'Asf'; Outlook Stable;
-- $22.7 million class D at 'BBB+sf'; Outlook Stable;
-- $32.6 million class E at 'BBB-sf'; Outlook Stable;
-- $21.3 million class F at 'BBsf'; Outlook Stable;
-- $18.4 million class G at 'Bsf'; Outlook to Negative from
Stable;
-- Interest-Only class X-A at 'AAAsf'; Outlook Stable;
-- Interest-Only class X-B at 'AAsf'; Outlook Stable;
-- $211.1 million class PEZ at 'Asf'; Outlook Stable.
The class A-1 certificate has paid in full. Fitch does not rate the
class H certificate. The class A-M, B and C certificates may be
exchanged for a related amount of class PEZ certificates, and the
class PEZ certificates may be exchanged for class A-M, B and C
certificates.
DIAMOND RESORTS 2018-1: S&P Assigns Prelim BB Rating on Cl. D Certs
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Diamond
Resorts Owner Trust 2018-1's timeshare loan-backed notes series
2018-1.
The note issuance is an asset-backed securities transaction backed
by vacation ownership interval (timeshare) loans.
The preliminary ratings are based on information as of Aug. 9,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of the transaction's
credit enhancement that is available in the form of subordination,
overcollateralization, a reserve account, and available excess
spread, among other factors.
PRELIMINARY RATINGS ASSIGNED
Diamond Resorts Owner Trust 2018-1
Class Rating Amount (mil. $)
A AAA (sf) 161.05
B A (sf) 78.16
C BBB (sf) 46.57
D BB (sf) 14.22
FLAGSHIP CREDIT 2018-3: DBRS Assigns (P)BB Rating on Cl. E Notes
----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by Flagship Credit Auto Trust 2018-3 (the
Issuer):
-- $183,630,000 Class A Notes at AAA (sf)
-- $31,610,000 Class B Notes at AA (sf)
-- $36,880,000 Class C Notes at A (sf)
-- $27,850,000 Class D Notes at BBB (sf)
-- $17,310,000 Class E Notes at BB (sf)
The provisional ratings are based on a review by DBRS of the
following analytical considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- Credit enhancement in the form of overcollateralization (OC),
subordination, amounts held in the reserve fund and excess spread.
Credit enhancement levels are sufficient to support the
DBRS-projected cumulative net loss assumption under various stress
scenarios.
-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the ratings address the
timely payment of interest on a monthly basis and the payment of
principal by the legal final maturity date.
-- The strength of the combined organization after the merger of
Flagship Credit Acceptance LLC (Flagship) and Car Finance Capital
LLC. DBRS believes the merger of the two companies provides
synergies that make the combined company more financially stable
and competitive.
-- The capabilities of Flagship with regard to originations,
underwriting and servicing.
-- DBRS has performed an operational review of Flagship and
considers the entity to be an acceptable originator and servicer of
subprime automobile loan contracts with an acceptable backup
servicer.
-- The Flagship senior management team has considerable experience
and a successful track record within the auto finance industry.
-- DBRS used a proxy analysis in its development of an expected
loss.
-- A combination of company-provided performance data and
industry-comparable data was used to determine an expected loss.
-- The legal structure and presence of legal opinions that will
address the true sale of the assets to the Issuer, the
non-consolidation of the special-purpose vehicle with Flagship,
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."
Flagship is an independent full-service automotive financing and
servicing company that provides (1) financing to borrowers who do
not typically have access to prime credit-lending terms for the
purchase of late-model vehicles and (2) refinancing of existing
automotive financing.
The rating on the Class A Notes reflects the 41.00% of initial hard
credit enhancement provided by the subordinated notes in the pool
(37.75%), the Reserve Account (2.00%) and OC (1.25%). The ratings
on the Class B, Class C, Class D and Class E Notes reflect 30.50%,
18.25%, 9.00% and 3.25% of initial hard credit enhancement,
respectively. Additional credit support may be provided from excess
spread available in the structure.
FREDDIE MAC 2018-3: DBRS Assigns Prov. B(low) Rating on Cl. M Certs
-------------------------------------------------------------------
DBRS, Inc. assigned a provisional rating to the following
Asset-Backed Security, Series 2018-3 (the Certificate) issued by
Freddie Mac Seasoned Credit Risk Transfer Trust SCRTT, Series
2018-3 (the Trust):
-- $75.5 million Class M at B (low) (sf)
The B (low) (sf) rating on the Certificate reflects 4.50% of credit
enhancement provided by subordinated certificates in the pool.
Other than the specified class above, DBRS does not rate any other
classes in this transaction.
This transaction is a securitization of a portfolio of seasoned
re-performing first-lien residential mortgages funded by the
issuance of the certificates, which are backed by 11,716 loans with
a total principal balance of $2,323,775,975 as of the Cut-Off Date
(June 30, 2018).
The mortgage loans were either purchased by Freddie Mac from
securitized Freddie Mac Participation Certificates or retained by
Freddie Mac in whole-loan form since their acquisition. The loans
are currently held in Freddie Mac's retained portfolio and will be
deposited into the Trust on the Closing Date (August 15, 2018).
The portfolio contains 100% modified loans. Each mortgage loan was
modified under either a government-sponsored enterprise (GSE) Home
Affordable Modification Program (HAMP) or a GSE non-HAMP
modification program. Within the pool, 5,470 mortgages have
forborne principal amounts as a result of modification, which
equates to 12.7% of the total unpaid principal balance as of the
Cut-Off Date. For 95.7% of the modified loans, the modifications
happened more than two years ago. The loans are approximately 137
months seasoned and all are current as of the Cut-Off Date.
Furthermore, 87.4% of the mortgage loans have been zero times 30
days delinquent for at least the past 24 months under the Mortgage
Bankers Association delinquency methods. None of the loans are
subject to the Consumer Financial Protection Bureau's Qualified
Mortgage rules.
The mortgage loans will be serviced by Specialized Portfolio
Servicing, Inc. There will not be any advancing of delinquent
principal or interest on any mortgages by the Servicer; however,
the Servicer is obligated to advance to third parties any amounts
necessary for the preservation of mortgaged properties or
real-estate¬-owned properties acquired by the Trust through
foreclosure or a loss mitigation process.
Freddie Mac will serve as the Sponsor, Seller and Trustee of the
transaction, as well as Guarantor of the senior certificates (the
Class HT, Class HA, Class HB, Class HV, Class HZ, Class MT, Class
MA, Class MB, Class MV, Class MZ, Class M55D, Class M55E and Class
M55I Certificates). Wilmington Trust, National Association will
serve as the Trust Agent. Wells Fargo Bank, N.A. will serve as the
Custodian for the Trust. U.S. Bank National Association will serve
as the Securities Administrator for the Trust and will act as
Paying Agent, Registrar and Transfer Agent.
Freddie Mac, as the Seller, will make certain representations and
warranties (R&Ws) with respect to the mortgage loans. It will be
the only party from which the Trust may seek indemnification (or in
certain cases, a repurchase) as a result of a breach of R&Ws. If a
breach review trigger occurs, the Trust Agent, Wilmington Trust,
will be responsible for the enforcement of R&Ws. The warranty
period will only be effective through August 13, 2021
(approximately three years from the Closing Date), for
substantially all R&Ws other than the real estate mortgage
investment conduit R&W.
The mortgage loans will be divided into three loan groups: Group H,
Group M and Group M55. The Group H loans (29.9% of the pool) were
subject to step-rate modifications. Group M loans (65.9% of the
pool) and Group M55 loans (4.2% of the pool) were subject to either
fixed-rate modifications or step-rate modifications that have
reached their final step dates as of May 31, 2018, and the
borrowers have made at least one payment after such loans reached
their final step dates as of the Cut-Off Date. Each Group M loan
has a mortgage interest rate less than or equal to 5.5% or has
forbearance. Each Group M55 loan has a mortgage interest rate
greater than 5.5% and has no forbearance. Principal and interest
(P&I) on the senior certificates (the Guaranteed Certificates) will
be guaranteed by Freddie Mac. The Guaranteed Certificates will be
backed by collateral from each group, respectively. The remaining
Certificates (including the subordinate, non-guaranteed,
interest-only mortgage insurance and residual Certificates) will be
cross-collateralized among the three groups.
The transaction employs a pro rata pay cash flow structure with a
sequential-pay feature among the subordinate certificates. Certain
principal proceeds can be used to cover interest shortfalls on the
rated Class M certificates. Senior classes benefit from guaranteed
P&I payments by the Guarantor, Freddie Mac; however, such
guaranteed amounts, if paid, will be reimbursed to Freddie Mac from
the P&I collections prior to any allocation to the subordinate
certificates. The senior principal distribution amounts vary
subject to the satisfaction of a step-down test. Realized losses
are allocated reverse sequentially.
The rating reflects transactional strengths that include underlying
assets that have generally performed well through the crisis (87.4%
of the pool has remained consistently current in the past 24
months), good credit quality relative to other re-performing pools
reviewed by DBRS and a strong servicer. Additionally, a third-party
due diligence review, albeit on less than 100% of the portfolio
with respect to regulatory compliance and payment histories, was
performed on a sample that exceeds DBRS's criteria. The due
diligence results and findings on the sampled loans were
satisfactory.
This transaction employs a relatively weak R&W framework that
includes a 36-month sunset without an R&W reserve account,
substantial knowledge qualifiers (with claw back) and fewer
mortgage loan representations relative to DBRS criteria for
seasoned pools. DBRS increased loss expectations from the model
results to capture the weaknesses in the R&W framework. Other
mitigating factors include (1) significant loan seasoning and very
clean performance history in the past two years, (2) stringent and
automatic breach review triggers, (3) Freddie Mac as the R&W
provider and (4) a satisfactory third-party due diligence review.
The lack of P&I advances on delinquent mortgages may increase the
possibility of periodic interest shortfalls to the note holders;
however, certain principal proceeds can be used to pay interest to
the rated Certificate and subordination levels are greater than
expected losses, which may provide for interest payments to the
rated Certificate.
Notes: All figures are in U.S. dollars unless otherwise noted.
FREDDIE MAC SCRT 2018-3: Fitch Rates $75.5MM Class M Certs 'B-sf'
-----------------------------------------------------------------
Fitch Ratings rates Freddie Mac's risk-transfer transaction,
Seasoned Credit Risk Transfer Trust Series 2018-3 (SCRT 2018-3) as
follows:
-- $75,523,000 class M certificates 'B-sf'; Outlook Stable.
Fitch did not rate the following classes:
-- $640,946,000 class HT certificates;
-- $480,710,000 class HA exchangeable certificates;
-- $160,236,000 class HB exchangeable certificates;
-- $80,118,000 class HV exchangeable certificates;
-- $80,118,000 class HZ exchangeable certificates;
-- $1,413,373,000 class MT certificates;
-- $1,060,031,000 class MA exchangeable certificates;
-- $353,342,000 class MB exchangeable certificates;
-- $176,671,000 class MV exchangeable certificates;
-- $176,671,000 class MZ exchangeable certificates;
-- $89,364,000 class M55D certificates;
-- $89,364,000 class M55E exchangeable certificates;
-- $8,124,000 class M55I exchangeable certificates;
-- $2,143,683,000 class A-IO exchangeable notional
certificatess;
-- $2,323,775,975 class XS-IO notional certificates;
-- $104,569,975 class B exchangeable certificates;
-- $180,092,975 class B-IO exchangeable notional certificates;
-- $104,569,975 class BX certificates;
-- $104,569,975 class BBIO notional certificates.
The 'B-sf' rating for the M certificates reflects the 4.50%
subordination provided by the class B.
SCRT 2018-3 represents Freddie Mac's eighth seasoned credit risk
transfer transaction issued. SCRT 2018-3 consists of three
collateral groups backed by 11,716 seasoned performing and
re-performing mortgages with a total balance of approximately
$2.324 billion, which includes $295.8 million, or 12.7% of the
aggregate pool balance in non-interest-bearing deferred principal
amounts as of the cutoff date. The three collateral groups are
distinguished between loans that have additional interest rate
increases outstanding due to the terms of the modification and
those that are expected to remain fixed for the remainder of the
term. Among the loans that are fixed, the groups are further
distinguished by both loans that include a portion of principal
forbearance as well as the interest rate on the loans. The
distribution of principal and interest (P&I) and loss allocations
to the rated note is based on a senior subordinate, sequential
structure.
KEY RATING DRIVERS
Distressed Performance History (Negative): The collateral pool
comprises primarily peak-vintage re-performing loans (RPLs), all of
which have been modified. Roughly 87% of the pool has been paying
on time for the past 24 months per the Mortgage Bankers Association
methodology (MBA), and none of the loans has experienced a
delinquency within the past 12 months. The pool has a weighted
average sustainable loan-to-value ratio (WA sLTV) of 82.1%, and the
WA model FICO is 689.
Interest Payment Risk (Negative): In Fitch's timing scenarios, the
M class incurs temporary shortfalls in 'B-sf' rating category but
is ultimately repaid prior to maturity of the transaction. The
difference between Fitch's expected loss and the credit enhancement
on the rated classes is due to the repayment of interest deferrals.
Interest to the rated classes is subordinated to the senior class
as well as repayments made to Freddie Mac for prior payments on the
senior classes. Timely payments of interest are also at potential
risk as principal collections on the underlying can only be used to
repay interest shortfalls on the rated classes after the balance
has been paid off. This results in an extended period of time until
potential shortfalls are ultimately repaid in Fitch's stress
scenarios
Third-Party Due Diligence (Neutral): A third-party due diligence
review was conducted on a sample basis of approximately 10% of the
pool as it relates to regulatory compliance and 10% for pay
history, modification data and a tax and title lien search was
conducted on 100%. The third-party review (TPR) firms' due
diligence review resulted in 3% of the sample loans remaining in
the final pool graded 'C' or 'D' (less than 1% graded 'C'), meaning
the loans had material violations or lacked documentation to
confirm regulatory compliance.
Regular Issuer (Neutral): This is Freddie Mac's eighth rated RPL
securitization and the fifth that Fitch has been asked to rate.
Fitch has conducted multiple reviews of Freddie Mac, and is
confident Freddie Mac has the necessary policies, procedures and
third-party oversight in place to properly aggregate and securitize
RPLs.
Representation Framework (Negative): Fitch considers the
representation, warranty and enforcement (RW&E) mechanism construct
for this transaction weaker than other Fitch-rated RPL deals. The
weakness is due to the exclusion of a number of reps that Fitch
views as consistent with a full framework as well as the limited
diligence that may have otherwise acted as a mitigant.
Additionally, Freddie Mac as rep provider will only be obligated to
repurchase a loan, pay an indemnity loss amount or cure the
material breach prior to Aug. 13, 2021. However, Fitch believes
that the defect risk is lower relative to other RPL transactions
because the loans were subject to Freddie Mac's loan level review
process in place at the time the loan became delinquent. Therefore,
Fitch treated the construct as Tier 3 and increased its 'B-sf'
expected loss expectations by 13 bps to account for the weaknesses
in the reps.
Sequential-Pay Structure (Positive): The transaction's cash flow is
similar to Freddie Mac's STACR transactions. Once the initial CE of
the senior class has reached the target and if all performance
triggers are passing, principal is allocated pro rata among the
seniors and subordinate classes with the most senior subordinate
bond receiving the full subordinate share. This structure is a
positive to the rated class as it results in a faster paydown and
allows them to receive principal earlier than under a traditional
sequential structure. However, to the extent any of the performance
triggers are failing, principal is distributed sequentially to the
senior class until triggers pass.
No Servicer P&I Advances (Mixed): The servicer will not be
advancing delinquent monthly payments of P&I, which reduces
liquidity to the trust. However, as P&I advances made on behalf of
loans that become delinquent and eventually liquidate reduce
liquidation proceeds to the trust, the loan-level loss severities
(LS) are less for this transaction than for those where the
servicer is obligated to advance P&I. Structural provisions and
cash flow priorities, together with increased subordination,
provide for ultimate payments of interest to the rated classes.
CRITERIA APPLICATION
Fitch analyzed the transaction in accordance with its criteria, as
described in its July 2018 report, "U.S. RMBS Rating Criteria."
This incorporates a review of the aggregator's lending platforms,
as well as an assessment of the transaction's R&W and due diligence
results, which were found to be consistent with the ratings
assigned to the bonds.
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 13.0% at the 'B-sf' level. The analysis indicates
that there is some potential rating migration with higher MVDs,
compared with the model projection.
Fitch also conducted defined rating sensitivities that determine
the stresses to MVDs that would reduce a rating by one full
category, to non-investment grade, and to 'CCCsf'. For example,
additional MVDs of 4% would potentially move the 'B-sf' rated class
down to 'CCCsf' respectively.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
Fitch was provided with due diligence information from the
third-party diligence provider. The due diligence focused on
regulatory compliance, pay history, the presence of key documents
in the loan file and data integrity on a sample of the loans in the
pool. Additionally, an updated tax and title search was conducted
on all of the loans in the transaction. Fitch received
certifications indicating that the loan-level due diligence was
conducted in accordance with Fitch's published standards. The
certifications also stated that the company performed its work in
accordance with the independence standards, per Fitch's criteria,
and that the due diligence analysts performing the review met
Fitch's criteria of minimum years of experience. Fitch considered
this information in its analysis and based on the findings, Fitch
made the following adjustments:
Fitch made an adjustment on 192 loans that were subject to federal,
state and/or local predatory testing. These loans contained
material violations, including an inability to test for high-cost
violations or confirm compliance, which could expose the trust to
potential assignee liability. These loans were marked as
"indeterminate." Typically, the HUD issues are related to missing
the final HUD, illegible HUDs, incomplete HUDs due to missing pages
or only having estimated HUDs where the final HUD1 was not used to
test for high-cost loans. To mitigate this risk, Fitch assumed a
100% LS for loans in the states that fall under Freddie Mac's "do
not purchase" list of high cost or "high risk." Fifty-six loans
were affected by this approach. For the remaining 136 loans, where
the properties are not located in the states that fall under
Freddie Mac's do not purchase list, the likelihood of all loans
being high cost is lower. However, Fitch assumes the trust could
potentially incur additional legal expenses. Fitch increased its LS
expectations by 5% for these loans to account for the risk.
There were 14 loans missing modification documents at the time of
the review, and for these loans, timelines were extended by an
additional three months in addition to the six-month timeline
extension applied to the entire pool.
GOLDENTREE LOAN X: S&P Assigns Prelim B-(sf) Rating on F-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to GoldenTree
Loan Opportunities X Ltd.'s $625.50 million fixed- and
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 Aug. 15,
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
GoldenTree Loan Opportunities X Ltd./GoldenTree Loan
Opportunities X LLC
Class Rating Amount mil. $)
X-R AAA (sf) 2.50
A-R AAA (sf) 427.00
A-J-R NR 28.00
B-R AA (sf) 56.00
C-1-R (deferrable) A (sf) 42.50
C-2-R (deferrable) A (sf) 17.00
D-R (deferrable) BBB- (sf) 40.25
E-R (deferrable) BB- (sf) 27.50
F-R (deferrable) B- (sf) 12.75
Subordinated notes NR 64.75
NR--Not rated.
GOLUB CAPITAL 37: S&P Gives (P)BB- Rating on $15.5MM Cl. E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Golub
Capital Partners CLO 37(B) Ltd.'s $435.16 million fixed- and
floating-rate notes.
The note issuance is a CLO transaction backed by broadly syndicated
speculative-grade senior secured term loans.
The preliminary ratings are based on information as of Aug. 9,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The transaction will be collateralized by at least 92.5% senior
secured loans, with a minimum of 85.0% of the loan issuers required
to be based in the U.S. or Canada.
-- A covenant-lite matrix will be used, and a maximum of 100.0% of
the loans in the collateral pool can be covenant-lite.
-- 81.84% of the underlying collateral obligations have credit
ratings assigned by S&P Global Ratings.
-- 96.45% of the underlying collateral obligations have recovery
ratings assigned by S&P Global Ratings.
PRELIMINARY RATINGS ASSIGNED
Golub Capital Partners CLO 37(B) Ltd./
Golub Capital Partners CLO 37(B) LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 248.00
A-2 NR 24.50
B-1 AA (sf) 15.00
B-2 AA (sf) 17.00
C A (sf) 33.50
D BBB- (sf) 27.50
E BB- (sf) 15.50
Subordinated notes NR 54.16
NR--Not rated.
GREENWICH CAPITAL 2006-GG7: Moody's Lowers Class B Debt to 'Ca'
---------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on five classes
and downgraded the ratings on two classes in Greenwich Capital
Commercial Funding Corp., Series 2006-GG7.
Cl. A-M, Affirmed Aa3 (sf); previously on Aug 11, 2017 Affirmed Aa3
(sf)
Cl. A-J, Downgraded to B3 (sf); previously on Aug 11, 2017
Downgraded to B2 (sf)
Cl. B, Downgraded to Ca (sf); previously on Aug 11, 2017 Downgraded
to Caa2 (sf)
Cl. C, Affirmed C (sf); previously on Aug 11, 2017 Downgraded to C
(sf)
Cl. D, Affirmed C (sf); previously on Aug 11, 2017 Affirmed C (sf)
Cl. E, Affirmed C (sf); previously on Aug 11, 2017 Affirmed C (sf)
Cl. F, Affirmed C (sf); previously on Aug 11, 2017 Affirmed C (sf)
RATINGS RATIONALE
The rating on Cl. A-M was affirmed because the transaction's key
metrics, including Moody's loan-to-value (LTV) ratio and Moody's
stressed debt service coverage ratio (DSCR) are within acceptable
ranges.
The ratings on four P&I classes were affirmed because the ratings
are consistent with Moody's expected loss.
The ratings on two P&I classes, Cl. A-J and Cl. B, were downgraded
due to anticipated losses from specially serviced and troubled
loans.
Moody's rating action reflects a base expected loss of 37% of the
current pooled balance, compared to 37% at Moody's last review.
Moody's base expected loss plus realized losses is now 13.7% of the
original pooled balance, compared to 13.4% 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 78% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced loan that it
expects will generate a loss and estimates a loss given default
based on a review of broker's opinions of value (if available),
other information from the special servicer, available market data
and Moody's internal data. The loss given default for each loan
also takes into consideration repayment of servicer advances to
date, estimated future advances and closing costs. Translating the
probability of default and loss given default into an expected loss
estimate, Moody's then applies the aggregate loss from specially
serviced to the most junior classes and the recovery as a pay down
of principal to the most senior classes.
DEAL PERFORMANCE
As of the August 10, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 86% to $523.9
million from $3.61 billion at securitization. The certificates are
collateralized by 12 mortgage loans ranging in size from less than
1% to 30% of the pool.
Thirty-nine loans have been liquidated from the pool, resulting in
an aggregate realized loss of $303 million (for an average loss
severity of 42%). Nine loans, constituting 78% of the pool, are
currently in special servicing. The largest specially serviced loan
is the Portals I ($155.0 million -- 29.6% of the pool), which is
secured by 449,933 square foot (SF) office property located in
Washington, DC. The loan was transferred to the special servicer in
May 2016 for imminent maturity default and became REO in January
2017. As of March 2018, the property was 54% leased, compared to
71% in June 2017. The property's vacancy rate is significantly
above than the submarket's rate of approximately 11%.
The second largest specially serviced loan is the JP Morgan
International Plaza I & II ($120.0 million -- 22.9% of the pool),
which is secured by two class A suburban office buildings in
Farmers Branch, Texas. The property was fully leased to JP Morgan,
who vacated in early 2018. The loan initially transferred to
special servicing in October 2015 after the borrower advised the
special servicer they would be unable to repay the loan in June
2016. The loan was then modified in March 2016, increasing the term
20 months. The loan was again modified in April 2018, splitting the
A-note into an A-1 note ($120 million) and an A-2 note (31.8
million). The A-1 note will become interest only at a 4.94% rate.
The A-2 note will accrue interest at the same rate. Moody's
identified the A-2 as a troubled loan and anticipates a significant
loss on this note. The existing B-note, which is held outside of
the trust, will remain outstanding and accrue interest at a rate of
8.173118%. The loan's maturity will be extended to June 2020. At
modification closing, the borrower contributed new equity in the
amount of $10.93 million. The property's submarket vacancy rate is
approximately 18%, an increase from approximately 13% in 2016. The
property's appraised value decreased to $120 million in December
2017 from $147.20 million in July 2016 and $268.0 million at
securitization.
The third largest specially serviced loan is the Lorden Plaza
($26.0 million -- 5.0% of the pool), which is secured by a 148,803
SF grocery anchored retail center in Milford, New Hampshire. The
loan transferred to special servicing in March 2016 for imminent
maturity default and became REO in November 2016. The largest
tenant, Shaw's Supermarkets (48% of NRA), has a lease expiration in
February 2022. As of March 2018, the property was 87% leased,
compared to 88% in March 2017. The special servicer indicated they
are still in value-add mode, with no disposition plans at this
time.
The remaining six specially serviced loans are secured by retail
and office properties. Moody's estimates an aggregate $151.1
million loss for the specially serviced loans (37% expected loss on
average).
Moody's received full year 2017 operating results for 100% of the
pool (excluding specially serviced loans).
The only non-specially serviced loan is the Montehiedra Town Center
Loan ($85.6 million -- 16.3% of the pool), which is secured by a
540,000 SF regional mall in San Juan (Rio Piedras), Puerto Rico.
The loan was transferred to special servicing in May 2013 for
imminent default due to cash flow issues and expiring leases. In
January 2015, the loan was modified into a $90 million A Note and a
$30 million B Note. The A Note interest rate was reduced from 6.04%
to 5.33% per annum. The B Note interest rate was reduced to 3.00%
per annum, which accrues on each payment date but will not be paid
current. The modification also provided for a 5-year maturity
extension to allow the repositioned property to stabilize
operations. In conjunction with the modification, a borrower
affiliate guaranteed a $20 million capital infusion and provided
the Lender with cooperation covenants in the event of a future
default backed by a $25 million guaranty. Currently, the borrower
is performing under the terms of the loan modification. Moody's
identified the B-Note as a troubled loan and anticipates a
significant loss on this note. As of March 2018, the property was
92.6% leased, unchanged from the prior year; the property has been
between 88% and 93% leased since 2009. Anchor tenants include:
Kmart (lease expiration: July 2072, 25% of NRA), The Home Depot
(July 2072, 20% of NRA), Marshalls (January 2019, 10% of NRA), and
Tiendas Capri (January 2018, 6.0% of NRA). Moody's LTV and stressed
DSCR on the A note are 123% and 0.79X, respectively, compared to
124% and 0.78X at the last review.
GS MORTGAGE 2005-GG4: Fitch Affirms Class E Certs at 'Csf'
----------------------------------------------------------
Fitch Ratings has affirmed 10 classes of GS Mortgage Securities
Corporation II, commercial mortgage pass-through certificates,
series 2005-GG4 (GSMSC II 2005-GG4).
KEY RATING DRIVERS
Concentrated Pool; Sensitivity Test Performed: Only two of the
original 191 loans remain. Due to the concentrated nature of the
pool, Fitch performed a sensitivity analysis that grouped the
remaining loans based on the expected losses from the liquidation
of specially serviced loans. Based on this sensitivity test,
expected losses from the specially serviced loans/assets are
expected to impact class E. The pool's aggregate balance has been
reduced by 99.5% to $20 million from $4.0 billion at issuance. The
transaction has incurred realized losses of approximately $273M
(6.8% of the original pool balance) since issuance. Interest
shortfalls totaling $35.5 million are affecting classes E through F
and H through P.
Specially Serviced Loans: The two remaining loans/assets in the
pool are specially serviced. The largest loan (70.2% of the pool)
is secured by a hotel property located in Lansdale, PA, which
transferred to the special servicer in March 2015 due to imminent
default. Property performance was impacted by newer competition in
the area. The special servicer is proceeding forward with the
foreclosure process.
The other asset (29.8% of the pool) is a retail center located in
Tucson, AZ. The property has been REO since January 2013. Occupancy
recently improved to 86% as of 2017 from 29% in 2016 due to a lease
signed with a local charter school tenant for nearly 52% of the
property's net rentable area. The property is not listed for sale
at this time.
RATING SENSITIVITIES
Class E could be downgraded to 'Dsf' as additional losses are
realized. Upgrades are not likely due to the distressed nature of
the remaining collateral but could be possible with better than
expected recoveries from the specially serviced loans.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third party due diligence was provided to or reviewed by Fitch
in relation to this rating action.
Fitch has affirmed the following ratings:
-- $8.2 million class E at 'Csf'; RE revised to 70% from 95%;
-- $11.8 million 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 O at 'Dsf'; RE 0%.
Classes A-1, A-1P, A-DP, A-2, A-3, A-ABA, A-ABB, A-4, A-4A, A-RB,
A-1A, A-J, B, C and D have paid in full. Fitch does not rate the
class P certificates. The ratings on the interest only classes X-P
and X-C were previously withdrawn.
GS MORTGAGE 2007-GKK1: Moody's Affirms C(sf) Rating on A-1 Certs
----------------------------------------------------------------
Moody's Investors Service has affirmed the rating on the following
certificate issued by GS Mortgage Securities Corporation II,
Commercial Mortgage Pass-Through Certificates, Series 2007-GKK1.:
Cl. A-1, Affirmed C (sf); previously on Jul 14, 2017 Affirmed C
(sf)
The Cl. A-1 certificates are referred to herein as the "Rated
Certificates".
RATINGS RATIONALE
Moody's has affirmed the ratings on the Rated Certificates because
the key transaction metrics are commensurate with existing ratings.
The affirmation is the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation (CRE CDO and
Re-Remic) transactions.
GSMS 2007-GKK1 is a static cash transaction backed by a portfolio
of commercial mortgage-backed securities (CMBS) (100% of the
collateral pool balance) issued between 1998 and 2005. As of the
July 20, 2018 trustee report, the aggregate certificate balance of
the transaction, including preferred shares, is $12.7 million,
compared to $633.7 million at issuance. This is a result of a
combination of realized losses to the underlying collateral applied
to certain classes of certificates, and prepayments and regular
amortization. The sole outstanding Moody's rated class in Class
A-1, which has received payments in the form of pre-payments and
regular amortization of the underlying collateral, as well as
partial realized losses.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: the weighted
average rating factor (WARF), the weighted average life (WAL), the
weighted average recovery rate (WARR), number of asset obligors;
and pair-wise asset correlation. These parameters are typically
modeled as actual parameters for static deals and as covenants for
managed deals.
For modeling purposes, Moody's used the following base-case
assumptions:
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has updated its assessments for the collateral it does not
rate. The rating agency modeled a bottom-dollar WARF of 5391,
compared to 4835 at last review. The current ratings on the
Moody's-rated collateral and the assessments of the non-Moody's
rated collateral follow: Aaa-Aa3 and 8.9% compared to 22.2% at last
review; B1-B3 and 33.5% compared to 31.6% at last review; and
Caa1-Ca/C and 57.6% compared to 46.3% at last review.
Moody's modeled a WAL of 1.3 years, compared to 2.3 years at last
review. The WAL is based on assumptions about extensions on the
underlying CMBS collateral look-through assets.
Moody's modeled a fixed WARR of 0.0%, compared to 9.8% at last
review.
Moody's modeled 3 obligors, compared to 4 obligors at last review.
Moody's modeled a pair-wise asset correlation of 64.4%, compared to
49.5% at last review.
Methodology Underlying the Rating Action:
The principal methodology used in this rating was "Moody's Approach
to Rating SF CDOs" published in June 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Rating:
The performance of the Rated Certificates is subject to
uncertainty. The performance of the Rated Certificates 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 Certificates.
Together with the set of modeling assumptions, Moody's conducted an
additional sensitivity analysis, which was a component in
determining the ratings assigned to the Rated Certificates. This
sensitivity analysis includes increased default probability
relative to the base case.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment. Commercial real estate
property values are continuing to move in a positive direction
along with a rise in investment activity and stabilization in core
property type performance. Limited new construction, moderate job
growth and the decreased cost of debt and equity capital have aided
this improvement.
IMSCI 2013-4: Fitch Rates CAD3.3 Million Class G Certs 'Bsf'
------------------------------------------------------------
Fitch Ratings has affirmed eight classes of Institutional Mortgage
Securities Canada Inc.'s (IMSCI) Commercial Mortgage Pass-Through
Certificates series 2013-4.
KEY RATING DRIVERS
Increasing Loss Expectations: Loss expectations have increased
since issuance as a result of collateral underperformance of
several loans in the pool including four Fitch Loans of Concern
(20.9%). While this number has increased, this is somewhat
mitigated by the increased credit enhancement and the fact that all
of these loans have full or partial recourse and in most cases
these loans reflect a sponsor with sufficient financial capacity to
pay the loans in the event collateral cash flow is insufficient.
Increasing Credit Enhancement: Credit Enhancement has improved
materially from issuance given loan amortization, and payoffs. The
pool has paid down approximately 18.1% since issuance. In addition,
one loan (6.5%) is defeased. At issuance, the loans in the pool
were scheduled to amortize approximately 18.9% with no
interest-only or partial interest loans in the pool.
Energy Market Concentration: Three loans totaling 13.2% of the pool
have experienced substantial performance declines as a result of a
sustained decline in oil and gas prices. These loans all have
exhibited DSCR of 1.00x or below as of last financial reporting and
include Nelson Ridge (7.6%), Franklin Suites (3.4%) and HMA
Apartments (2.2%). Further, both Nelson Ridge and HMA Apartments
mature within the next 12 months.
Retail Concentration: Approximately 11 loans totaling 43.1% of pool
balances are collateralized by retail properties. This includes one
loan, Festival Marketplace (7.7% of the pool), which has recently
lost is Sears anchor, following the closure of all Sears stores in
Canada.
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. Of
the remaining pool, approximately 65.6% of the loans feature full
or partial recourse to the borrowers and/or sponsors.
RATING SENSITIVITIES
The Rating Outlooks on classes E, F and G remain Negative due to
the performance declines related to several collateral properties.
Specifically performance declines in energy markets, coupled with
uncertainty regarding the upcoming maturities of some of these
loans, notably Nelson Ridge (7.6%) and HMA Apartments (2.2%). The
Stable Outlooks reflect the stable performance of the majority of
the pool and continued amortization. Upgrades may occur with
improved pool performance and significant pay down or defeasance,
though any upgrades may be limited due to the highly concentrated
pool. Downgrades to the classes are possible should overall pool
performance decline.
There was a variance from criteria related to class B for which the
model output suggested that a downgrade was possible. Fitch
determined that a downgrade was not warranted at this time given
full or partial recourse related to several loans in the pool,
which has the potential to substantially reduce loan-level losses
and total pool losses.
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:
-- CAD145.3 million class A-1 at 'AAAsf'; Outlook Stable;
-- CAD80 million class A-2 at 'AAAsf'; Outlook Stable;
-- CAD6.6 million class B at 'AAsf'; Outlook Stable;
-- CAD11.1 million class C at 'Asf'; Outlook Stable;
-- CAD9.1 million class D at 'BBBsf'; Outlook Stable;
-- CAD5.0 million class E at 'BBB-sf'; Outlook Negative;
-- CAD3.7 million class F at 'BBsf'; Outlook Negative;
-- CAD3.3 million class G at 'Bsf'; Outlook Negative.
Fitch does not rate the CAD6.6 million class H and the
interest-only class X.
JP MORGAN 2013-C15: Fitch Affirms 'Bsf' Rating on Class F Certs
---------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of J.P. Morgan Chase
Commercial Mortgage Securities Trust (JPMBB) Commercial Mortgage
Pass-Through Certificates series 2013-C15.
KEY RATING DRIVERS
Relatively Stable Performance; Increased Credit Enhancement: The
affirmations reflect the majority of the loans in the pool
exhibiting stable performance and increased credit enhancement in
light of increased loss expectations on the Fitch Loans of Concern
(FLOCs). Fitch has designated five loans as FLOCs (14.4%),
including three loans in the top 15 (12.6%) and one specially
serviced loan (0.8%). As of the July 2018 distribution date, the
pool's aggregate principal balance was reduced 27.4% to $866.1
million from $1.19 billion at issuance. Eleven loans (23.4% of the
issuance pool) have paid off since issuance. Two loans (11.9% of
current pool), including the second largest loan, are full-term,
interest only, while only the largest loan (12.7%) remains in its
partial interest-only period.
Fitch Loans of Concern: The largest FLOC is the Hulen Mall (9.5%),
which is secured by a 400,968-sf collateral portion of a 997,538-sf
two-level regional mall located in Fort Worth, TX. The loan is
scheduled to mature in October 2018. The second FLOC, Alameda
Crossing (1.6%), is secured by a 132,213-sf open-air shopping
center located in Avondale, AZ, that has experienced declining
occupancy since issuance. The third FLOC, North Park Plaza (1.5%),
is secured by a 175,869-sf retail shopping center located in
Pittsburg, CA. Per the servicer, tenant Ramos Furniture (20.6% of
NRA) is currently month-to-month after its lease expired in May
2018 and there are currently no prospective replacement tenants.
The fourth FLOC, Marriott Spring Hill Suites Vernal (1.1%), is
secured by a 97-key limited service hotel located in Vernal, UT,
that has suffered performance decline due to volatility in the oil
and gas sector. The specially serviced Southway Plaza (0.8%) is
secured by a 106,344-sf neighborhood shopping center located in
Fall River, MA, that transferred to special servicing in November
2017 for payment delinquency after occupancy fell to 75% at YE 2017
from 95% at YE 2016.
Fitch performed an additional sensitivity scenario on the Hulen
Mall loan to reflect the potential for outsized losses due to
refinancing risk. The Rating Outlooks reflect this analysis.
Upcoming Maturities: Three non-defeased loans in the top 15 have
upcoming maturities in 2018 (13.8% of current pool), including the
Hulen Mall in October 2018, MHPI Manufactured Housing Portfolio in
October 2018, and Northwest Houston Industrial Portfolio, which
paid off on Aug. 7, 2018 according to the servicer. The sensitivity
scenario also reflects the additional paydown expected from these
three loans.
The majority of the remaining pool matures in 2023 (82.3%), with
limited loan maturities scheduled in 2020 (1.5%), 2025 (0.9%), 2027
(0.8%), 2035 (0.4%) and 2038 (0.3%).
High Retail and Office Concentration: Retail properties constitute
37.1% of the pool, including five of the top 15 loans. The largest
loan in the pool is secured by Miracle Mile Shops (12.7%), a
448,835-sf enclosed regional mall located along the Las Vegas
Strip. Additionally, loans backed by office properties represent
31.9% of the pool, including four loans (25.8%) in the top 15.
RATING SENSITIVITIES
The Negative Outlooks assigned to classes D through F reflect
performance concerns and the potential for outsized losses on the
Hulen Mall loan (9.5%). Fitch ran an additional stressed scenario,
which assumed a 50% loss on the Hulen Mall loan, due to the
near-term loan maturity and potential refinancing risks. The
Outlooks on classes A-1 through C and the interest-only classes X-A
and X-B remain Stable due to overall stable performance and
expected continued amortization. Downgrades to classes are possible
should overall pool performance decline or in the event that the
Hulen Mall loan struggles to obtain take-out financing.
DUE DILIGENCE USAGE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating.
Fitch has affirmed and revised Rating Outlooks to the following
classes as indicated:
-- $79.8 million class A-2 at 'AAAsf'; Outlook Stable;
-- $21.4 million class A-3 at 'AAAsf'; Outlook Stable;
-- $110.0 million class A-4 at 'AAAsf'; Outlook Stable;
-- $206.9 million class A-5 at 'AAAsf'; Outlook Stable;
-- $67.7 million class A-SB at 'AAAsf'; Outlook Stable;
-- $22.4 million class A-2FL at 'AAAsf'; Outlook Stable;
-- $0.0 class A-2FX at 'AAAsf'; Outlook Stable;
-- $93.9 million class A-S at 'AAAsf'; Outlook Stable;
-- $76.0 million class B at 'AA-sf'; Outlook Stable;
-- $44.7 million class C at 'A-sf'; Outlook Stable;
-- $59.6 million class D at 'BBB-sf'; Outlook to Negative from
Stable;
-- $23.9 million class E at 'BBsf'; Outlook to Negative from
Stable;
-- $11.9 million class F at 'Bsf'; Outlook to Negative from
Stable;
-- $602.2 million class X-A at 'AAAsf'; Outlook Stable;
-- $76.0 million class X-B at 'AA-sf'; Outlook Stable.
The class A-1 certificates have paid in full. All or a portion of
the class A-2FL certificates may be exchanged for class A-2FX
certificates. The aggregate certificate balance of the class A-2FL
certificates and class A-2FX certificates will at all times equal
the certificate balance of the class A-2FX regular interest. Fitch
does not rate the class NR or the interest-only class X-C
certificates.
JP MORGAN 2018-8: Fitch to Rate Class B-5 Certs 'Bsf'
-----------------------------------------------------
Fitch Ratings expects to rate J.P. Morgan Mortgage Trust 2018-8
(JPMMT 2018-8) as follows:
-- $939,033,000 class A-1 exchangeable certificates 'AA+sf';
Outlook Stable;
-- $939,033,000 class A-2 exchangeable certificates 'AA+sf';
Outlook Stable;
-- $879,094,000 class A-3 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $879,094,000 class A-4 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $659,321,000 class A-5 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $659,321,000 class A-6 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $219,773,000 class A-7 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $219,773,000 class A-8 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $175,770,000 class A-9 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $175,770,000 class A-10 certificates 'AAAsf'; Outlook Stable;
-- $44,003,000 class A-11 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $44,003,000 class A-12 certificates 'AAAsf'; Outlook Stable;
-- $59,939,000 class A-13 exchangeable certificates 'AA+sf';
Outlook Stable;
-- $59,939,000 class A-14 certificates 'AA+sf'; Outlook Stable;
-- $519,965,000 class A-15 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $519,965,000 class A-16 certificates 'AAAsf'; Outlook Stable;
-- $139,356,000 class A-17 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $139,356,000 class A-18 certificates 'AAAsf'; Outlook Stable;
-- $359,129,000 class A-19 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $359,129,000 class A-20 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $939,033,000 class A-X-1 notional certificates 'AA+sf';
Outlook Stable;
-- $939,033,000 class A-X-2 notional exchangeable certificates
'AA+sf'; Outlook Stable;
-- $879,094,000 class A-X-3 notional exchangeable certificates
'AAAsf'; Outlook Stable;
-- $659,321,000 class A-X-4 notional exchangeable certificates
'AAAsf'; Outlook Stable;
-- $219,773,000 class A-X-5 notional exchangeable certificates
'AAAsf'; Outlook Stable;
-- $175,770,000 class A-X-6 notional certificates 'AAAsf';
Outlook Stable;
-- $44,003,000 class A-X-7 notional certificates 'AAAsf';
Outlook Stable;
-- $59,939,000 class A-X-8 notional certificates 'AA+sf'; Outlook
Stable;
-- $519,965,000 class A-X-9 notional certificates 'AAAsf';
Outlook Stable;
-- $139,356,000 class A-X-10 notional certificates 'AAAsf';
Outlook Stable;
-- $15,983,000 class B-1 certificates 'AA-sf'; Outlook Stable;
-- $17,482,000 class B-2 certificates 'A-sf'; Outlook Stable;
-- $11,488,000 class B-3 certificates 'BBBsf'; Outlook Stable;
-- $6,993,000 class B-4 certificates 'BBsf'; Outlook Stable;
-- $2,997,000 class B-5 certificates 'Bsf'; Outlook Stable.
Fitch will not be rating the following classes:
-- $4,995,305 class B-6 certificates;
-- Class A-R certificates;
-- Class A-IO-S certificates.
KEY RATING DRIVERS
High-Quality Mortgage Pool (Positive): The $998.97 million
collateral pool consists of high-quality, 25- and 30-year fixed
rated conforming (65.1%) and nonconforming (34.9%) loans originated
by various originators and aggregated by JPMorgan Chase. The pool
has a weighted average (WA) FICO score of 769 and an original
combined loan-to-value (CLTV) ratio of 71.3%. The collateral
attributes of the pool are very comparable with what typically has
been seen in JPMMT transactions securitized by conforming and
nonconforming loans.
Low Operational Risk (Positive): The operational risk is well
controlled for in this transaction. JPMorgan has a long operating
history of originating and aggregating mortgage loans and has as an
above-average aggregator assessment by Fitch. The results of the
100% third-party due diligence confirm high loan quality and no
incidence of material defects; this should translate into reduced
assignee liability for the trust. While Fitch adjusted its loss
expectations higher due to JP Morgan's tier 3 Representation,
Warranty and Enforcement construct, the framework incorporates an
automatic review, which could benefit the transaction.
Originator Credit (Positive): 53.9% of the pool consists of loans
originated by JPMorgan Chase, which Fitch has an above-average
assessment on and resulted in a 26-bp reduction of the 'AAAsf'
expected loss.
Servicer Credit (Positive): 100% of the pool consists of loans
currently serviced or to be serviced by JPMorgan Chase (transfer to
JPM Chase to occur within six months), which Fitch rates as
'RPS1-'. Servicer quality has an impact on the performance of the
loans and Fitch gives a servicer credit to highly rated servicers
(rating of 1- or higher) as highly rated servicers are expected to
have higher recoveries due to their servicing practices and
capabilities. This resulted in a reduction of 62bps to the 'AAAsf'
expected loss.
Geographic Concentration (Neutral): 39.4% of the pool is
concentrated in California. The largest MSA concentration is in the
Los Angeles MSA (14.1%) followed by the New York MSA (10.0%) and
San Francisco MSA (9.5%). The top-three MSAs account for
approximately 33.6% of the pool. This resulted in neutral treatment
(no loss or PD adjustment was made).
Tier 3 Representation and Warranty Framework (Concern): Fitch
believes the value of the representation and warranties (R&W)
framework is diluted by qualifying and conditional language in
conjunction with sunset provisions, which reduces lender breach
liability. While Fitch believes the high credit-quality pool and
clean diligence results mitigate these risks, Fitch considered the
weaker framework in the analysis, which resulted in an addition of
44bps to the 'AAAsf' loss.
Channel (Positive): Approximately 80.8% of the loans were
originated through a retail channel. The issuer confirmed that all
of the Chase loans that were identified as "Correspondent" in the
tape were originated by the correspondent's retail channel. Fitch
treated all of these loans as being originated through a retail
channel (this affected 642 loans).
Straightforward Deal Structure (Positive): The mortgage cash flow
and loss allocation are based on a senior-subordinate,
shifting-interest structure, whereby the subordinate classes
receive only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps maintain subordination for a longer period should
losses occur later in the life of the deal. The applicable credit
support percentage feature redirects subordinate principal to
classes of higher seniority if specified credit enhancement (CE)
levels are not maintained.
To mitigate tail risk, which arises as the pool seasons and fewer
loans are outstanding, a subordination floor of 0.75% of the
original balance will be maintained for the senior certificates.
Repurchase of Loans Affected by Natural Disasters (Positive):
JPMorgan Chase has ordered property inspections for the properties
located in the areas affected by natural disasters. JPMorgan Chase
will repurchase or drop the loan from the final pool if damages
exceed $10,000, while loans that have damage in the amount of
$1,000-$10,000 will be reviewed on an individual basis.
RATING SENSITIVITIES
Fitch's analysis incorporates a sensitivity analysis to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at the MSA level. The implied rating sensitivities are
only an indication of some of the potential outcomes and do not
consider other risk factors that the transaction may become exposed
to or may be considered in the surveillance of the transaction.
Three sets of sensitivity analyses were conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the
model-projected 7.3%. The analysis indicates that there is some
potential rating migration with higher MVDs, compared with the
model projection.
Fitch also conducted sensitivities to determine the stresses to
MVDs that would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'.
JP MORGAN 2018-8: Moody's Assigns (P)B2 Rating on Class B-5 Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 25
classes of residential mortgage-backed securities (RMBS) issued by
J.P. Morgan Mortgage Trust 2018-8 (JPMMT 2018-8). The ratings range
from (P)Aaa (sf) to (P)B2 (sf).
The certificates are backed by 1,874 predominantly 30-year,
fully-amortizing fixed-rate mortgage loans with a total balance of
$998,971,305 as of the August 1, 2018 cut-off date. Similar to
prior JPMMT transactions, JPMMT 2018-8 includes conforming mortgage
loans (65.1% by loan balance) originated by JPMorgan Chase Bank,
N.A. (Chase), Amerihome Mortgage Company, LLC (Amerihome) 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 (Shellpoint) and Cenlar FSB
will be the servicers on the conforming loans. Shellpoint and
Cenlar FSB will service the majority of the prime jumbo loans.
Wells Fargo Bank, N.A. will be the master servicer and securities
administrator. U.S. Bank 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 senior and subordination floors.
The complete rating actions are as follows:
Issuer: J.P. Morgan Mortgage Trust 2018-8
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. A-19, Assigned (P)Aaa (sf)
Cl. A-20, 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 4.85% at a stress level consistent
with the Aaa ratings.
Moody's calculated losses on the pool using its 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. Its 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 2018-8 is a securitization of a pool of 1,874 predominantly
30-year, fully-amortizing fixed-rate mortgage loans with a total
balance of $998,971,305 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 774 and the WA original combined loan-to-value ratio
(CLTV) is 71.3%. 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, about 65% of the pool by loan balance was
underwritten to Fannie Mae's and Freddie Mac's guidelines
(conforming loans). The conforming loans in this transaction have a
high average current loan balance at $465,390. The high conforming
loan balance of loans in JPMMT 2018-8 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. Chase,
Amerihome and loanDepot originated about 54%, 15% and 8% of the
pool, respectively. The remaining originators each account for less
than 5% of the principal balance of the loans in the pool.
The mortgage loans in the pool were originated mostly in California
(39.4% by loan balance). The sponsor is in the process of
determining the number of loans backed by properties located in
counties affected by the recent and ongoing California wildfires.
Once determined, the sponsor will order post-disaster inspection
reports for properties in areas designated for individual
assistance by FEMA. To the extent any properties sustained material
damage from the wildfires, the sponsor will repurchase the affected
loans from the pool.
Third-party Review and Reps & Warranties
Five 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 2018-8'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. Its
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,
N.A. (rated Aa2), along with JPMMAC, is the R&W provider for
approximately 55% (by loan balance) of the pool. Moody's made no
adjustments to the loans for which Chase, JPMMAC and USAA Federal
Savings Bank (a subsidiary of USAA Capital Corporation which is
rated Aa1) provided R&Ws since they are highly rated entities. In
contrast, the rest of the R&W providers are unrated and/or
financially weaker entities. Moody's applied an adjustment to the
loans for which these entities provided R&Ws. JPMMAC will not
backstop any R&W providers who may become financially incapable of
repurchasing mortgage loans. JPMMAC is the R&W provider for loans
originated by Freedom Mortgage Corporation, LendUS, LLC, NexBank
and Wintrust Mortgage.
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 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.
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 0.75% 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 0.50% 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.
LCM 27 LTD: S&P Assigns BB- Rating on $16.88MM Class E Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to LCM 27 Ltd.'s $392.63
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 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
LCM 27 Ltd.
Class Rating Amount
(mil. $)
X AAA (sf) 2.25
A-1 AAA (sf) 272.25
A-2 NR 22.50
B AA (sf) 47.25
C (deferrable) A (sf) 27.00
D (deferrable) BBB- (sf) 27.00
E (deferrable) BB- (sf) 16.88
Subordinated notes NR 45.60
NR--Not rated.
MERRILL LYNCH 2006-C2: Moody's Hikes Rating on Class B Certs to B1
------------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class and
affirmed the ratings on two classes in Merrill Lynch Mortgage Trust
Commercial Mortgage Pass-through Certificates, Series 2006-C2 as
follows:
Cl. B, Upgraded to B1 (sf); previously on Aug 23, 2017 Affirmed
Caa2 (sf)
Cl. C, Affirmed C (sf); previously on Aug 23, 2017 Affirmed C (sf)
Cl. X, Affirmed C (sf); previously on Aug 23, 2017 Affirmed C (sf)
RATINGS RATIONALE
The rating on Cl. B was upgraded due to an increase in credit
support resulting from loan paydowns and amortization. The deal has
paid down 41% since Moody's last review and 99% since
securitization.
The rating on Cl. C was affirmed because the rating is consistent
with Moody's expected loss. Cl. C has already experienced a 12%
expected loss from previously liquidated loans.
The rating on the IO class, Cl. X, was affirmed based on the credit
quality of the referenced classes.
Moody's rating action reflects a base expected loss of 28.4% of the
current pooled balance, compared to 37.4% at Moody's last review.
Moody's base expected loss plus realized losses is now 10.4% of the
original pooled balance, compared to 10.7% 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 rating Merrill Lynch Mortgage
Trust 2006-C2, Cl. B and Cl. C was "Moody's Approach to Rating
Large Loan and Single Asset/Single Borrower CMBS" published in July
2017. The methodologies used in rating Merrill Lynch Mortgage Trust
2006-C2, Cl. X were "Moody's Approach to Rating Large Loan and
Single Asset/Single Borrower CMBS" published in July 2017 and
"Moody's Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the August 13, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 98.6% to $21.2
million from $1.54 billion at securitization. The certificates are
collateralized by four remaining mortgage loans. One loan,
constituting 12% 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 3, compared to 6 at Moody's last review.
There are currently no loans in the special servicing nor on the
master servicer's watchlist.
The largest two loans are The Shops of Fairlawn -- A Note Loan
($8.7 million -- 41.1% of the pool) and The Shops of Fairlawn -- B
Note Loan ($6.0 million -- 28.4% of the pool. The loans are secured
by a 133,334 SF anchored retail center located in Fairlawn, Ohio.
The loan returned from special servicing in December 2009 after
being modified. As part of the modification, the B Note / Hope Note
of $6 million was created and the loan term was increased by 38
periods with the new maturity date in July 2019. A principal
forgiveness of $2,155,098 was also reported. As of March 2018, the
property was 85% leased compared to 100% leased as of December
2016. The A Note Moody's LTV and stressed DSCR are 77% and 1.34X,
respectively, compared to 78% and 1.31X at the last review. At this
review Moody's identified the B Note as a troubled loan and assumed
a significant loss.
The other non-defeased loan is the Cochise Plaza Loan ($3.8 million
-- 18.2% of the pool), which is secured by a 96,619 SF retail
center located in Sierra Vista, Arizona. As of March 2018, the
property was 99% leased, the same as of December 2016. Property
performance has been stable. The loan is fully amortizing and has
amortized by 46% since securitization. Moody's LTV and stressed
DSCR are 44% and 2.56X, respectively.
METLIFE SECURITIZATION 2018-1: DBRS Gives (P)B Rating on B2 Debt
----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Residential Mortgage-Backed Securities, Series 2018-1 (the
Securities) to be issued by MetLife Securitization Trust 2018-1:
-- $398.4 million Class A at AAA (sf)
-- $27.4 million Class M1 at AA (sf)
-- $21.2 million Class M2 at A (sf)
-- $18.4 million Class M3 at BBB (sf)
-- $11.5 million Class B1 at BB (sf)
-- $8.0 million Class B2 at B (sf)
The AAA (sf) rating on the notes reflects the 20.00% of credit
enhancement provided by subordinated Securities in the pool. The AA
(sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect credit
enhancement of 14.50%, 10.25%, 6.55%, 4.25% and 2.65%,
respectively.
Other than the specified classes above, DBRS does not rate any
other classes in this transaction.
This transaction is a securitization of a portfolio of seasoned
performing and re-performing first-lien residential mortgages. The
Securities are backed by 1,909 loans with a total principal balance
of $497,952,777 as of the Cut-Off Date (July 31, 2018).
The portfolio is approximately 143 months seasoned, and of the
loans, 91.5% are modified. Within the pool, 509 mortgages have
non-interest-bearing deferred amounts, which equate to 5.6% of the
total principal balance.
All of the loans were current as of the Cut-Off Date, and all of
the loans have been zero times 30 days delinquent (0 x 30) for at
least the past 24 months under the Mortgage Bankers Association
(MBA) delinquency method. Additionally, 95.0% of the loans have
been 0 x 30 for at least the past 36 months under the MBA
delinquency method. None of the loans are subject to the Consumer
Financial Protection Bureau's Qualified Mortgage rules.
Prior to the Closing Date, Metropolitan Life Insurance Company
(MetLife), in its capacity as the Sponsor and as the Seller,
acquired the loans from various unaffiliated third-party sellers.
As the Sponsor, MetLife and/or more majority-owned affiliates of
the Sponsor will collectively acquire and retain a 5% eligible
vertical interest in each class of Securities to be issued (other
than the Class R certificates) to satisfy credit risk retention
requirements.
As of the Closing Date, the loans will be serviced by Bay view Loan
Servicing, LLC.
There will not be any advancing of delinquent principal or interest
on any mortgages by the Servicer or any other party to the
transaction; however, the Servicer is obligated to make advances in
respect of homeowner association fees, taxes and insurance,
installment payments on energy-improvement liens and reasonable
costs and expenses incurred in the course of servicing and
disposing of properties.
The transaction employs a sequential-pay cash flow structure.
Principal proceeds can be used to cover interest shortfalls on the
Securities, but such shortfalls on Class M2 and more subordinate
bonds will not be paid until the more senior classes are retired.
The ratings reflect transactional strengths that include underlying
assets that generally performed well through the crisis and an
experienced Servicer. Additionally, a satisfactory third-party due
diligence review was performed on the portfolio with respect to
regulatory compliance, payment history and data capture as well as
title and tax review. Updated broker price opinions or exterior
appraisals were provided for 100.0% of the pool; however, a
reconciliation was not performed on the updated values.
The transaction employs a representations and warranties (R&Ws)
framework that includes a trigger review event that may result in
potential breaches of R&Ws being reviewed at a much later date,
certain knowledge qualifiers and fewer mortgage loan
representations relative to DBRS criteria for seasoned pools.
Mitigating factors include (1) a financially strong counterparty,
MetLife, which is providing mortgage loan R&Ws for the life of the
transaction; (2) significant loan seasoning and clean performance
history in recent years; (3) a comprehensive due diligence review;
(4) a relatively strong R&W enforcement mechanism, including
directing note holder review and binding arbitration; and (5) for
R&Ws with knowledge qualifiers, even if the Seller did not have
actual knowledge of the breach, the Seller is still required to
remedy the breach in the same manner as if no knowledge qualifier
had been made.
The DBRS ratings of AAA (sf) and AA (sf) address the timely payment
of interest and full payment of principal by the legal final
maturity date in accordance with the terms and conditions of the
related notes. The DBRS ratings of A (sf), BBB (sf), BB (sf) and B
(sf) address the ultimate payment of interest and full payment of
principal by the legal final maturity date in accordance with the
terms and conditions of the related notes and certificates.
MONARCH BEACH 2018-MBR : DBRS Gives Prov. B(High) Rating on G Certs
-------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2018-MBR to
be issued by Monarch Beach Resort Trust 2018-MBR:
-- Class A at AAA (sf)
-- Class X-CP at A (sf)
-- Class X-EXT at A (sf)
-- Class B at AA (sf)
-- Class C at A (high) (sf)
-- Class D at A (low) (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (high) (sf)
All trends are Stable.
All classes will be privately placed. The Class X-CP and Class
X-EXT balances are notional, with the notional balances based on
the aggregate certificate balance of the Class A, Class B, Class C
and Class D certificates.
The subject is a 400-key, five-diamond luxury resort located along
the Southern California coastline in Dana Point, California. The
property is situated midway between Los Angeles to the north and
San Diego to the south with convenient access to both the I-5
Freeway and Pacific Coast Highway. Three major airports are within
reasonable proximity to the subject, including the John Wayne
Airport (21 miles away), the Long Beach Airport (41 miles away) and
the Los Angeles International Airport (60 miles away). As of 2016,
these airports have collectively served 94 million passengers,
offering non-stop flights to over 196 destinations worldwide.
Originally constructed in 2001, the property offers 400 hotel keys,
an award-winning 18-hole championship golf course, eight food and
beverage outlets, a 30,000 square-foot (sf) destination wellness
spa and access to an exclusive private beach club. Additionally,
the property boasts 120,600 sf of indoor and outdoor function
space, which is 54.6% more than the second-ranked hotel among its
competitive set. The subject financing package totals $340.0
million, with $238.0 million structured as first mortgage debt and
$102.0 million structured as mezzanine debt. The sponsor, KSL
Capital Partners, LLC (KSL), acquired the subject in 2014 for
$316.9 million and has since invested $47.6 million ($119,100 per
key) into renovations, resulting in a total cost basis of $365.0
million. Prior to the KSL purchase, Washington Holdings had
acquired ownership of the subject via its senior mortgage position
on a 2007 financing through a settlement with the mezzanine lender
that took control of the property upon default in July 2009.
While the macroeconomic effects of the Great Recession adversely
affected all luxury resorts in the southern California region, the
subject's underperformance was exacerbated by a specific event that
occurred in October 2008 when, after receiving a government
bailout, AIG held a lavish party at the subject property while it
was flagged under the St. Regis brand. As a result of the negative
news coverage surrounding the event and increased scrutiny
associated with excess spending in a recession, several corporate
meetings and retreats were cancelled, and the resort experienced a
large decline in future group bookings as part of the backlash. The
Hotel Del Coronado, another nearby luxury resort that KSL managed
throughout the same time period with similar segmentation as the
subject, reported a 35.0% decline peak to trough as compared with a
62.0% drop experienced at the subject property. After bottoming out
in 2010 with a reported revenue per available room (RevPAR) of
$149.94, performance improved as the overall market recovered, with
RevPAR increasing an average of 12.1% year over year through 2014
when KSL acquired the subject. The subject's competitive set
experienced 14.1% average year-over-year growth over the same
period. The resort expectedly underperformed during full-year 2015
through July 2016 as rooms were taken offline and extensive
renovation work was completed. As of the trailing 12 months ending
June 2018 Smith Travel Research report, RevPAR had increased 6.8%
since the most recent pre-renovation reporting year in 2014.
Furthermore, RevPAR penetration against the competitive set has
increased to 83.7% from 81.3% over the same period, and in more
recent months, RevPAR penetration has generally exceeded 90.0%.
Given the high barriers to entry in the Dana Point market, which
are reflected in the lack of new supply and projects under
development, there is minimal threat of over-building despite the
high RevPAR figures achieved in the market. The only potentially
competitive property mentioned in the appraisal is the Rosewood
Miramar Beach Montecito, which is still under construction and is
located within Santa Barbara County approximately 150 miles to the
north and therefore would not directly compete with the subject.
Inclusive of the $102.0 mezzanine loan and closing costs, the
sponsor will be cashing out approximately $108.2 million at loan
closing. At 0.86 times (x), the DBRS Refi debt service coverage
ratio (DSCR) on the mortgage debt is low for a hotel loan, even one
with a luxury product offering and excellent location such as the
subject. This higher leverage is reflected in the fact that only
$208.0 million of mortgage proceeds are rated and only $171.0
million are rated investment grade. Term default risk is considered
modest, as reflected in the DBRS Term DSCR of 1.75x, based on a
2.07% loan margin that will contractually increase by 25 basis
points (bps) during the fourth of fifth one-year extension options
and a LIBOR of 3.09% based on the DBRS "Unified Interest Rate Model
for Rating U.S. Structured Finance Transactions," which is lower
than the 3.5% LIBOR strike of the interest rate cap in place at
closing.
The DBRS value of $209.8 million represents a significant 55.0%
discount to the appraiser's as-is concluded value of $466.4
million. Furthermore, the appraisal estimates an as-stabilized
valuation by July 2021 of $514.0 million, which suggests further
upside as the capital renovations continue to have a positive
impact on performance at the subject. Additionally, the DBRS cap
rate of 10.25% is well above the cap rate range between 2.6% and
6.0% in the appraiser's sales comparable and is likely at least 400
bps above a current market cap rate for the subject. This allows
for a meaningful buffer for market volatility in the near term that
could result in a widening cap rate and lower trading activity. The
implied DBRS loan-to-value (LTV) on the full $340.0 million debt
load is very high at 162.1%, falling to a still-high 113.4% when
based on the senior mortgage debt of $238.0 million; however, the
cumulative investment-grade-rated proceeds of $171.0 million
reflect a more reasonable LTV of 81.6%. As a result of the
property's irreplaceable location, continued increase in RevPAR due
to recent renovation, lack of competitive new supply and extensive
amenity offerings, including a world-class golf course, DBRS
anticipates that the mortgage loan will perform well during its
fully extended seven-year term. At refinance, the highly desirable
location, which generates increased demand for trophy assets such
as the subject, should provide ample insulation to volatility in
the market as it relates to property value over the loan term.
Classes X-CP and X-EXT 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.
MORGAN STANLEY 2011-C1: S&P Raises Class J Notes Rating to BB(sf)
-----------------------------------------------------------------
S&P Global Ratings raised its ratings on seven classes of
commercial mortgage pass-through certificates from Morgan Stanley
Capital I Trust 2011-C1, a U.S. commercial mortgage-backed
securities (CMBS) transaction. In addition, S&P affirmed its
ratings on five other classes from the same transaction.
S&P said, "For the upgrades and affirmations, our credit
enhancement expectation was in line with the raised or affirmed
rating levels. The rating actions also considered the reduced trust
balance, the defeasance of the largest loan in the transaction, and
the payment priority of the rated classes.
"We affirmed our 'AAA (sf)' rating on the class X-A interest-only
(IO) certificates based on our criteria for rating IO securities,
in which the ratings on IO securities would not be higher than that
of the lowest rated reference class. The notional balance on class
X-A references classes A-1, A-2, A-3, and A-4."
TRANSACTION SUMMARY
As of the July 17, 2018, trustee remittance report, the collateral
pool balance was $753.8 million, which is 48.7% of the pool balance
at issuance. The pool currently includes 24 loans, down from 37
loans at issuance. As of the July 2018 trustee remittance report,
five loans ($62.8 million, 8.3%) are defeased, three ($130.1
million, 17.3%) are on the master servicer's watchlist, and none
are with the special servicer. In addition, the master servicer
stated that the largest loan in the pool, the Christiana Mall loan
($225.4 million, 29.9%) was defeased subsequent to the July 2018
trustee remittance report. The transaction has not reported any
realized losses to date.
Excluding the six defeased loans to date, S&P calculated a 1.61x
S&P Global Ratings weighted average debt service coverage (DSC) and
71.9% S&P Global Ratings weighted average loan-to-value (LTV) ratio
using an 8.19% S&P Global Ratings weighted average capitalization
rate for the remaining performing nondefeased loans. The top 10
nondefeased loans (excluding the Christiana Mall loan) have an
aggregate outstanding pool trust balance of $411.2 million (54.5%).
Using adjusted servicer-reported numbers, S&P calculated S&P Global
Ratings weighted average DSC and LTV of 1.63x and 72.4%,
respectively, for the top 10 nondefeased loans.
RATINGS RAISED
Morgan Stanley Capital I Trust 2011-C1
Commercial mortgage pass-through certificates series 2011-C1
Rating
Class To From
D AA- (sf) A+ (sf)
E A+ (sf) A (sf)
F A (sf) A- (sf)
G A- (sf) BBB+ (sf)
H BBB+ (sf) BBB (sf)
J BB (sf) BB- (sf)
K BB- (sf) B+ (sf)
RATINGS AFFIRMED
Morgan Stanley Capital I Trust 2011-C1
Commercial mortgage pass-through certificates series 2011-C1
Class Rating
A-4 AAA (sf)
X-A AAA (sf)
B AAA (sf)
C AA+ (sf)
L B (sf)
MORGAN STANLEY 2014-C17: DBRS Confirms B Rating on Class F Certs
----------------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2014-C17 issued by Morgan Stanley
Bank of America Merrill Lynch Trust 2014-C17 as follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class X-B at A (sf)
-- Class C at A (low) (sf)
-- Class PST at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class X-C at B (high) (sf)
-- Class F at B (sf)
The Class PST certificates are exchangeable for the Class A-S,
Class B and Class C certificates (and vice versa). All trends are
Stable.
The rating confirmations reflect the overall stable performance of
the transaction, which has experienced a collateral reduction of
3.6% since issuance, with 66 of the original 67 loans remaining in
the pool as of the July 2018 remittance report. The majority of the
remaining loans in the pool was structured with ten-year terms and
will mature in 2024. Four loans, including one loan in the top 15,
are fully defeased, representing 9.3% of the pool. Loans
representing 81.3% of the pool reported YE2017 financials with a
weighted-average (WA) debt service coverage ratio (DSCR) and debt
yield of 1.71 times (x) and 10.4%, respectively. The largest 15
loans reported YE2017 financials with a WA DSCR and WA debt yield
of 1.64x and 9.9%, respectively, representing a WA cash flow
improvement of 10.2% over the DBRS net cash flow figures derived at
issuance.
As of the July 2018 remittance, there are seven loans (including
one in the top 15), representing 5.8% of the pool, that are on the
servicer's watch list. Two loans are being monitored for deferred
maintenance, while the remaining five loans are being monitored for
major tenant lease expirations or occupancy related issues. In the
case of two of the five loans, the respective sponsors were
successful in renewing leases with major tenants and both loans
should be removed from the watch list in the near future.
Additionally, sponsors for two other loans being monitored for
rollover are likely to sign replacement tenants to take over any
vacant space.
There is one loan to note in Arrowhead Professional Park
(Prospectus ID#33, 0.9% of the pool), which is secured by a medical
office building in Glendale, Arizona. The loan is being monitored
because the property's largest tenant, representing 53.8% of the
net rentable area, was not expected to renew at lease expiry at the
end of July 2018. A cash flow sweep has been triggered and the
space is actively being marketed. For additional information on
this loan, please see the loan commentary on the DBRS Viewpoint
platform, for which information is provided below.
Additionally, there is one loan, representing 2.0% of the pool, in
special servicing in Holiday Inn Houston Intercontinental Airport
(Prospectus ID#17), which is secured by a 414-key full-service
hotel located in Houston, Texas. The loan was transferred to
special servicing in March 2017 due to imminent default and
significant deferred maintenance. According to the servicer, the
subject has property improvement plan renovations due to be
completed in 2015 that remain outstanding and are putting the
property in violation of the franchise agreement. In May 2017, the
ten-year franchise agreement with Holiday Inn expired; however, the
hotel is still listed as a Holiday Inn on its website as of August
2018. A receiver was appointed in August 2017 and as of July 2018,
the property is now real-estate owned.
A DBRS analyst visited the property in May 2018 and noted the
property was in generally deteriorating condition, suffering from
new competition brought into the area just north of the subject and
closer to the airport. DBRS assumed a loss severity approaching 42%
based on the most recent as-is appraised value of $16.1 million as
of May 2018 for this review but acknowledges the loss severity
could go much higher given the market conditions and will closely
monitor for developments through the workout. For additional
information on this loan, please see the loan commentary on the
DBRS Viewpoint platform, for which information is provided below.
At issuance, DBRS shadow-rated Courtyard King Kamehameha's Kona
Beach Hotel Leased Fee (Prospectus ID#6; 3.7% of pool) as
investment grade. DBRS has today confirmed that performance of this
loan remains consistent with investment-grade characteristics.
Classes X-A, X-B and X-C 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.
MORGAN STANLEY 2016-HQ10: Fitch Rates Class C Certs 'Csf'
---------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Morgan Stanley Capital I
Trust series 2006-HQ10 commercial mortgage pass-through
certificates.
KEY RATING DRIVERS
Assets In Special Servicing: Fitch's loss projections remain high
relative to the pool balance, and recovery of the senior-most class
remains reliant on proceeds from loans in special servicing. Two
multi-property portfolios, representing 88.8% of the pool balance,
are in special servicing. The assets include four office properties
in Colorado with an average occupancy of 64%, five single-tenant
properties (one of which is vacant) and two multi-tenant retail
properties (one of which is only 34% occupied). The underlying
properties are in various states of foreclosure, and some are
already REO. Since the last rating action, four REO assets have
been released; however, not all REO assets that remain in the pool
are currently being marketed for sale.
Concentration: The pool is very concentrated, with only four loan
groups remaining. Two of these loans are secured by more than one
property, which helps to diversify the underlying collateral;
however, both are in special servicing.
Limited Amortization: Credit enhancement to the senior-most class
has increased since the last rating action as a result of the
liquidation of four REO assets and the prepayment of one loan.
Nevertheless, with 88.8% of the pool in special servicing, the
amount of scheduled principal collected on a monthly basis is
minimal. The largest performing loan, representing 8.2% of the
pool, is scheduled to mature in October 2021. The only other
performing loan represents 3% of the pool and had an initial
anticipated repayment date (ARD) of Oct. 1, 2016. This loan is now
hyperamortizing, having missed its ARD, but a final expected
repayment date is not known. The timing of disposition of assets in
special servicing is also uncertain.
RATING SENSITIVITIES
The Outlook for class A-J is maintained at Negative given increased
concentration and adverse selection. Loans representing 88.8% of
the pool are currently in special servicing. Fitch's projected
losses for those loans are currently contained to classes B and
below. However, scheduled amortization to class A-J is very limited
as much of the pool is not paying principal or interest. Full
recovery of this class is reliant on proceeds from loans in special
servicing, and the timing of those workouts is uncertain. Should
assets languish in special servicing and appraised values decline,
it is likely Fitch's projected losses would reach class A-J.
Alternatively, this class could be upgraded should the values
improve significantly or specially serviced loans liquidate at
recoveries much higher than Fitch currently anticipates. Distressed
classes may be subject to downgrades as losses are realized.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was received or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
-- $40.8 million class A-J at 'Bsf'; Outlook Negative;
-- $31.7 million class B at 'CCsf'; RE 50%;
-- $16.8 million class C at 'Csf'; RE 0%;
-- $22.4 million class D at 'Csf'; RE 0%;
-- $10.2 million 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 O at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-4, A-1A, A-M, A-4FL and A-4FX
certificates have paid in full. Fitch does not rate the class P
certificate. Fitch previously withdrew the ratings on the
interest-only class X-1 and X-2 certificates.
MYERS PARK: S&P Gives (P)BB- Rating on $18.5MM Class E Notes
------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Myers Park
CLO Ltd./Myers Park CLO LLC's $430.75 million floating- and
fixed-rate notes.
The note issuance is a collateralized loan obligation transaction
backed primarily by broadly syndicated senior secured term loans.
The preliminary ratings are based on information as of Aug. 10,
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
Myers Park CLO Ltd./Myers Park CLO LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 293.75
A-2 NR 26.25
B-1 AA (sf) 42.50
B-2 AA (sf) 15.00
C (deferrable) A (sf) 30.00
D (deferrable) BBB- (sf) 31.00
E (deferrable) BB- (sf) 18.50
Subordinated notes NR 52.60
NR--Not rated.
NATIONAL COLLEGIATE: Fitch Affirms 12 NCLST Transactions
--------------------------------------------------------
Fitch Ratings has affirmed 37 notes and maintained the Rating Watch
Negative on 15 notes from 12 National Collegiate Student Loan
Trusts (NCSLTs). Recovery Estimates (RE) for tranches rated 'CCCsf'
or below are unchanged.
Fitch has affirmed the notes as none of the variables affecting the
transactions performance have changed beyond what were expected
from its last full cash flow analysis on Sept. 22, 2017, and credit
enhancement (CE) levels have moved in line with expectations. As a
consequence, in line with Fitch's private student loan criteria, no
cash flow modeling was performed. Additionally, there has not been
any substantive update regarding the CFPB proposed judgment since
last review, as such Fitch maintains 'BBBsf' rating cap for these
transactions and maintains the Rating Watch Negative on all notes
with ratings of 'Bsf' or above.
KEY RATING DRIVERS
CFPB Proposed Judgment:
On Sept. 14, 2017, the CFPB filed an action against the NCSLTs for
illegal student loan debt collection. According to the CFPB,
consumers were sued for private student loan debt that the
companies couldn't prove was owed or which were too old to sue
over. On Sept. 18, 2017, a proposed consent judgment was filed with
the court to settle all matters in the dispute. Among other things,
the proposed judgment requires an independent audit of all student
loans in the NCSLTs' portfolios. Collections on any student loans
identified by the audit to lack proper documentation or for which
the statute of limitations has expired on the debt collection would
have to cease.
If the proposed judgment is confirmed, it may result, pending the
outcome of a portfolio audit, in the NCSLTs making an aggregate
payment of at least USD 19.1 million. The proposed consent judgment
specifies that the payment is due within 10 days of the effective
date of the judgment. Should this result in a lump sum one-time
cost being charged to the trust as a senior cost it may impair the
ability of some of the trusts, depending on the number of trusts
affected, to pay senior interest in a timely fashion, resulting in
an event of default for the notes. If instead the payment is in
some way distributed over time, for example by being advanced
through an agent, by a reserving mechanism or other means, it will
reduce the cash available to repay noteholders and thereby reduce
the available protection. In addition, the outcome of the
independent loan audit and the possible effect on the
enforceability of underlying loan contracts is at this stage
uncertain. As a result of all these factors, all the NCSLT trusts'
notes are subject to a rating cap of 'BBBsf', with notes with a
rating of 'Bsf' or above being on Rating Watch Negative. Since
there has not been any substantive update regarding the CFPB
proposed judgment, Fitch is maintaining the Negative Watch on all
tranches rated 'Bsf' or above.
Fitch expects to resolve the Watch when additional clarity,
including amount and allocation of payments among trusts, is
available on this senior liability requested by the CFPB to the
NCSLT trusts.
Collateral Performance:
The NCSLT trusts are collateralized by private student loans
originated by First Marblehead Corporation. At deal inception, all
loans were guaranteed by The Education Resources Institute (TERI);
however no credit is given to the TERI guaranty since TERI filed
for bankruptcy on April 7, 2008. Fitch assumes the same assumptions
as at the last review in Sept. 22, 2017 of constant default rates
(CDRs) 3.50% for transactions from NCSLT 2003-1 - 2005-3, 4.50% for
transactions from NCSLT 2006-1 - 2006-4, and 5.0% for transactions
from NCSLT 2007-1 - 2007-2. The recovery rate was assumed to be 0%
in light of recent lawsuit uncertainty between the trusts and
defaulted borrowers.
Payment Structure:
All trusts are under-collateralized as total parity is less than
100%. Senior reported parity as of June 30, 2018 is 141.68%,
100.71%, 145.00%, 133.67%, 103.76%, 111.61%, 99.15%,
84.00%,107.77%, 99.72%, 95.97%, and 93.54% for NCSLT 2003-1,
2004-1, 2004-2, 2005-1, 2005-2, 2005-3, 2006-1, 2006-2, 2006-3,
2006-4, 2007-1, and 2007-2. Senior notes benefit from subordination
provided by the junior notes.
All trusts benefit from reserve accounts that are at their floor
levels, with specified requirements of the greater of 1.25% of the
outstanding notes and the floor for each trust. Available reserve
accounts are expected to be sufficient to cover for any shortfall
in senior costs and senior interest for a period of two to five
months, depending on the transaction.
Operational Capabilities:
Pennsylvania Higher Education Assistance Agency (PHEAA) services
roughly 98% of the trusts, with Nelnet and Conduent Education
Services LLC (formerly Xerox or ACS Education Services) servicing
the rest. U.S. Bank N.A. acts as special servicer for the trusts.
Fitch believes all servicers are acceptable servicers of private
student loans. Nevertheless, Fitch understands that a lawsuit to
call a servicer default under the transaction documents against
PHEAA was initiated by some of the holders of the beneficial
interest in the NCSLT trusts. Despite the uncertainty on the
outcome of pending litigations between transaction parties,
including PHEAA, Fitch believes such risk is addressed by the
rating cap at 'BBBsf' and Fitch's conservative assumptions on
defaults and recoveries.
CRITERIA VARIATIONS
According to Fitch's private student loan criteria, a committee can
decide to assign ratings within three notches of the model-implied
ratings. Fitch made the variation as it is applying a rating cap at
'BBBsf' to all transactions under review, due to the uncertainty
surrounding the outcome of the pending litigations between
transaction parties and additional expenses out of trusts that may
be associated with the lawsuits.
Had Fitch not applied this variation to its criteria, senior
tranches which have been upgraded to 'BBBsf' could have been
upgraded to 'Asf' or above.
RATING SENSITIVITIES
Allocation of the settlement payment to one or a few NCSLTs trusts
in a short period of time may result in multi-category downgrades
on the affected trusts. Allocation of the payment across all trusts
over a longer horizon may result in smaller downgrades or no rating
actions.
Fitch has taken the following rating actions:
National Collegiate Student Loan Trust 2003-1
-- Class A-7 'BBsf' maintained on Rating Watch Negative;
-- Class B-1 affirmed at 'Csf'; RE 20%;
-- Class B-2 affirmed at 'Csf'; RE 20%.
National Collegiate Student Loan Trust 2004-1
-- Class A-3 'BBsf' maintained on Rating Watch Negative;
-- Class A-4 affirmed at 'CCsf'; RE 75%;
-- Class B-1 affirmed at 'Csf'; RE 20%;
-- Class B-2 affirmed at 'Csf'; RE 20%.
National Collegiate Student Loan Trust 2004-2/NCF Grantor Trust
2004-2
-- Class A-5-1 'BBsf' maintained on Rating Watch Negative;
-- Class A-5-2 'BBsf' maintained on Rating Watch Negative;
-- Class B affirmed at 'CCsf'; RE 75%;
-- Class C affirmed at 'Csf'; RE 10%.
National Collegiate Student Loan Trust 2005-1/NCF Grantor Trust
2005-1:
-- Class A-5-1 'BBsf' maintained on Rating Watch Negative;
-- Class A-5-2 'BBsf' maintained on Rating Watch Negative;
-- Class B affirmed at 'CCsf'; RE 80%;
-- Class C affirmed at 'Csf'; RE 0%.
National Collegiate Student Loan Trust 2005-2/NCF Grantor Trust
2005-2
-- Class A-4 'BBBsf' maintained on Rating Watch Negative;
-- Class A-5-1 affirmed at 'CCCsf'; RE 90%;
-- Class A-5-2 affirmed at 'CCCsf'; RE 90%;
-- Class B affirmed at 'Csf'; RE 20%;
-- Class C affirmed at 'Csf'; RE 0%.
National Collegiate Student Loan Trust 2005-3/NCF Grantor Trust
2005-3
-- Class A-5-1 'Bsf' maintained on Rating Watch Negative;
-- Class A-5-2 'Bsf' maintained on Rating Watch Negative;
-- Class B affirmed at 'Csf'; RE 30%;
-- Class C affirmed at 'Csf'; RE 0%.
National Collegiate Student Loan Trust 2006-1
-- Class A-4 'BBBsf' maintained on Rating Watch Negative;
-- Class A-5 affirmed at 'Csf'; RE 75%;
-- Class B affirmed at 'Csf'; RE 0%;
-- Class C affirmed at 'Csf'; RE 0%.
National Collegiate Student Loan Trust 2006-2
-- Class A-3 'BBBsf' maintained on Rating Watch Negative;
-- Class A-4 affirmed at 'Csf'; RE 50%;
-- Class B affirmed at 'Csf'; RE 0%;
-- Class C affirmed at 'Csf'; RE 0%.
National Collegiate Student Loan Trust 2006-3
-- Class A-4 'BBBsf' maintained on Rating Watch Negative;
-- Class A-5 affirmed at 'CCsf'; RE 85%;
-- Class B affirmed at 'Csf'; RE 50%;
-- Class C affirmed at 'Csf'; RE 0%;
-- Class D affirmed at 'Csf'; RE 0%.
National Collegiate Student Loan Trust 2006-4
-- Class A-3 'BBBsf' maintained on Rating Watch Negative;
-- Class A-4 affirmed at 'Csf'; RE 75%;
-- Class B affirmed at 'Csf'; RE 0%;
-- Class C affirmed at 'Csf'; RE 0%;
-- Class D affirmed at 'Csf'; RE 0%.
National Collegiate Student Loan Trust 2007-1
-- Class A-3 'BBBsf' maintained on Rating Watch Negative;
-- Class A-4 affirmed at 'Csf'; RE 75%;
-- Class B affirmed at 'Csf'; RE 0%;
-- Class C affirmed at 'Csf'; RE 0%;
-- Class D affirmed at 'Csf'; RE 0%.
National Collegiate Student Loan Trust 2007-2
-- Class A-3 'BBBsf' maintained on Rating Watch Negative;
-- Class A-4 affirmed at 'Csf'; RE 75%;
-- Class B affirmed at 'Csf'; RE 0%;
-- Class C affirmed at 'Csf'; RE 0%;
-- Class D affirmed at 'Csf'; RE 0%.
OHA LOAN 2013-1: S&P Assigns B-(sf) Rating on Class F-R2 Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R2, B-R2,
C-R2, D-R2, E-R2, and F-R2 replacement notes from OHA Loan Funding
2013-1 Ltd., a collateralized loan obligation (CLO) originally
issued in 2013 that is managed by Oak Hill Advisors L.P. At the
same time, S&P withdrew its ratings on the class A-R, B-1-R, B-2-R,
C-R, D-R, E, and F notes following payment in full on the Aug. 10,
2018, refinancing date.
On the Aug. 10, 2018, refinancing date, the proceeds from the class
A-1-R2, B-R2, C-R2, D-R2, E-R2, and F-R2 replacement note issuances
were used to redeem the class A-R, B-1-R, B-2-R, C-R, D-R, E, and F
notes as outlined in the transaction document provisions.
Therefore, S&P withdrew its ratings on the original notes in line
with their full redemption and assigned ratings to the replacement
notes.
The replacement notes are being issued via a supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, will also:
-- Split the class A-R notes into the replacement class A-1-R2 and
A-2-R2 notes. The class A-1-R2 spread will remain unchanged while
the class A-2-R2 spread will be issued at a higher rate. The
replacement class C-R2, E-R2, and F-R2 notes are expected to be
issued at higher spreads than their current respectively named
notes.
-- Issue the replacement class B-R2 notes at a floating spread,
replacing the current floating spread on the class B-1-R notes and
the fixed coupon on the class B-2-R notes. The other classes are
expected to be issued at floating spreads as well.
-- Extend the stated maturity to July 2031.
-- Extend the reinvestment period to July 2023.
-- Extend the non-call period to July 2020.
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
OHA Loan Funding 2013-1 Ltd./OHA Loan Funding 2013-1 Inc.
Replacement class Rating Amount (mil $)
A-1-R2 AAA (sf) 290.00
A-2-R2 NR 27.50
B-R2 AA (sf) 64.00
C-R2 A (sf) 29.00
D-R2 BBB- (sf) 30.20
E-R2 BB- (sf) 18.10
F-R2 B- (sf) 8.30
Subordinated notes NR 58.00
RATINGS WITHDRAWN
OHA Loan Funding 2013-1 Ltd./OHA Loan Funding 2013-1 Inc.
Rating
Original class To From
A-R NR AAA (sf)
B-1-R NR AA+ (sf)
B-2-R NR AA+ (sf)
C-R NR AA- (sf)
D-R NR A- (sf)
E NR BB+ (sf)
F NR B (sf)
NR--Not rated.
OZLM FUNDING II: S&P Assigns Prelim BB- Rating on D-R2 Notes
------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1A-R, A-1A-F, A-2-R2, A-2-RF, B-R2, C-R2, and D-R2 replacement
notes from OZLM Funding II Ltd., a collateralized loan obligation
(CLO) originally issued in 2012 that is managed by Och-Ziff Loan
Management L.P. The replacement notes will be issued via a proposed
supplemental indenture.
The preliminary ratings reflect S&P's opinion that the credit
support available is commensurate with the associated rating
levels.
The preliminary ratings are based on information as of Aug. 15,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
S&P said, "On the Aug. 29, 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 notes and assigning ratings to the
replacement notes. However, if the refinancing doesn't occur, we
may affirm the ratings on the original notes and withdraw our
preliminary ratings on the replacement notes.
The replacement notes are being issued via a proposed supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, will also:
-- Issue the replacement class A-1A-R, A-1A-F, A-2-R2, B-R2, C-R2,
and D-R2 notes at lower spreads than the original notes.
-- Issue the replacement class A-1A-F and A-2-RF notes at fixed
coupons, replacing their respective current floating coupons.
-- Extend the stated maturity by 3.75 years Extend the
reinvestment period by 4.25 years.
-- Reinstate the non-call period, which will end in July 2020.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take further rating actions
as we deem necessary."
PRELIMINARY RATINGS ASSIGNED
OZLM Funding II Ltd.
Replacement class Rating Amount (mil. $)
A-1A-R AAA (sf) 299.00
A-1A-F AAA (sf) 30.00
A-1B-R NR 21.70
A-2-R2 AA (sf) 29.20
A-2-RF AA (sf) 30.00
B-R2 A (sf) 32.40
C-R2 BBB- (sf) 29.80
D-R2 BB- (sf) 22.90
Subordinated notes NR 72.70
NR--Not rated.
PARK AVENUE 2016-1: S&P Assigns Prelim BB- Rating on Cl. D-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R, A-2-R, B-R, C-R, and D-R replacement notes from Park Avenue
Institutional Advisers CLO Ltd. 2016-1, a collateralized loan
obligation (CLO) originally issued in August 2016 that is managed
by Park Avenue Institutional Advisers LLC. The replacement notes
will be issued via a proposed supplemental indenture.
The preliminary ratings reflect S&P's opinion that the credit
support available is commensurate with the associated rating
levels.
The preliminary ratings are based on information as of Aug. 16,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Aug. 23, 2018, refinancing date, the proceeds from the
issuance of the replacement notes are expected to redeem the
original notes. S&P said, "At that time, we anticipate withdrawing
the ratings on the original notes and assigning ratings to the
replacement notes. However, if the refinancing doesn't occur, we
may affirm the ratings on the original notes and withdraw our
preliminary ratings on the replacement notes."
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take further rating actions
as we deem necessary."
PRELIMINARY RATINGS ASSIGNED
Park Avenue Institutional Advisers CLO Ltd. 2016-1/Park Avenue
Institutional Advisers CLO LLC 2016-1
Replacement class Rating Amount (mil. $)
A-1-R AAA (sf) 250.00
A-2-R AA (sf) 42.20
B-R A (sf) 35.80
C-R BBB- (sf) 22.00
D-R BB- (sf) 15.70
Subordinated notes NR 42.95
NR--Not rated.
PREFERREDPLUS TRUST CZN-1: S&P Cuts Rating on $34.5MM Certs to CCC+
-------------------------------------------------------------------
S&P Global Ratings lowered its rating on PreferredPLUS Trust Series
CZN-1's $34.5 million preferred plus 8.375% trust certificates due
Oct. 1, 2046 to 'CCC+' from 'B-'.
S&P's rating on the certificates depends solely on its rating on
the underlying security, Frontier Communications Corp.'s 7.05%
senior debentures due Oct. 1, 2046 ('CCC+').
The rating action reflects the lowering of S&P's long-term rating
on the underlying security to 'CCC+' from 'B-'.
S&P may take subsequent rating actions on the certificates
depending on the status of the rating on the underlying security.
PROSPER MARKETPLACE 2018-2: Moody's Gives (P)B3 Rating on C Notes
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
notes to be issued by Prosper Marketplace Issuance Trust, Series
2018-2 (PMIT 2018-2), the second marketplace lending transaction
issued from the PMIT platform this year. The collateral backing
PMIT 2018-2 consists of unsecured consumer installment loans
originated by WebBank, a Utah state-chartered industrial bank,
through the online platform operated by Prosper Funding LLC
(Prosper), who also acts as the servicer of the loans.
The complete rating actions are as follows:
Issuer: Prosper Marketplace Issuance Trust, Series 2018-2
$335,500,000, Class A Notes, Assigned (P)A3 (sf)
$59,950,000, Class B Notes, Assigned (P)Baa3 (sf)
$105,050,000, Class C Notes, Assigned (P)B3 (sf)
RATINGS RATIONALE
The ratings are based on the quality of the underlying collateral
and its expected performance, the strength of the capital structure
and fast amortization of the assets, and the experience and
expertise of Prosper as servicer and the back-up servicing
arrangement with Citibank N.A. (Citibank, counterparty risk
assessment of A1(cr)).
Moody's median cumulative net loss expectation for the PMIT 2018-2
pool is 13.00%. Moody's based its cumulative net loss expectation
on an analysis of the credit quality of the underlying collateral;
the historical performance of similar collateral, including
securitization performance and managed portfolio performance; the
ability of Prosper to perform the servicing functions and Citibank
to perform the backup servicing functions; and current expectations
for the macroeconomic environment during the life of the
transaction.
At closing the Class A notes, Class B notes, and Class C notes are
expected to benefit from 39.50%, 28.60%, and 9.50%, of hard credit
enhancement, respectively. Hard credit enhancement for the notes
consists of a combination of overcollaterization, a non-declining
reserve account and subordination, except for the Class C notes
which do not benefit from subordination. The notes may also benefit
from excess spread.
The principal methodology used in these ratings was "Moody's
Approach to Rating Consumer Loan-Backed ABS" published in September
2015.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the notes if, given current expectations of
portfolio losses, levels of credit enhancement are consistent with
higher ratings. In sequential pay structures, such as the one in
this transaction, credit enhancement grows as a percentage of the
collateral balance as collections pay down senior notes. Moody's
expectation of pool losses could decline as a result of better than
expected improvements in the economy, changes to servicing
practices that enhance collections or refinancing opportunities
that result in prepayments. In addition, greater certainty
concerning the legal and regulatory risks facing this transaction
could lead to lower loss volatility assumptions, and thus lead to
an upgrade of the notes.
Down
Moody's could downgrade the ratings of the notes if pool losses
exceed its expectations and levels of credit enhancement are
consistent with lower ratings. Credit enhancement could decline if
excess spread is not sufficient to cover losses in a given month.
Moody's expectation of pool losses may increase, for example, due
to performance deterioration stemming from a downturn in the US
economy, deficient servicing, errors on the part of transaction
parties, inadequate transaction governance or fraud. In addition,
the legal and regulatory risks stemming from the bank partner model
that Prosper utilizes could expose the pool to increased losses.
For example, a successful legal challenge asserting that WebBank is
not the true lender of the loans in PMIT 2018-2 or that state usury
laws applied upon WebBank's sale of the loans could also lead to a
downgrade of the notes.
RITE AID 1999-1: Moody's Puts B2 Rating on Class A-2 Debt on Review
-------------------------------------------------------------------
Moody's Investors Service has placed one rating of Rite Aid
Pass-Through Trust, Series 1999-1 on review for possible downgrade
as follows:
Cl. A-2, B2 Placed Under Review for Possible Downgrade; previously
on Oct 6, 2017 Confirmed at B2
RATINGS RATIONALE
The rating was placed on review for possible downgrade due to the
Rite Aid Corporation senior unsecured rating being placed on review
for possible downgrade by Moody's on August 9, 2018.
Rite-Aid was placed on review for possible downgrade due to
Rite-Aid's announcement that it has terminated its merger agreement
with Albertsons Companies, Inc. The merger termination leaves
Rite-Aid in a weaker position as it lacks the scale or the balance
sheet to compete in the changing pharmacy landscape with much
larger and well capitalized competitors like CVS Health and
Walgreens Boots Alliance, Inc.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
The ratings of Credit Tenant Lease deals are primarily based on the
senior unsecured debt rating (or the corporate family rating) of
the tenants leasing the real estate collateral supporting the
bonds. Other factors that are also considered are Moody's dark
value of the collateral (value based on the property being vacant
or dark), which is used to determine a recovery rate upon a loan's
default and the rating of the residual insurance provider, if
applicable. Factors that may cause an upgrade of the ratings
include an upgrade in the rating of the corporate tenant or
significant loan paydowns or amortization which results in a lower
loan to dark value ratio. Factors that may cause a downgrade of the
ratings include a downgrade in the rating of the corporate tenant
or the residual insurance provider.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in this rating was "Moody's Approach
to Rating Credit Tenant Lease and Comparable Lease Financings"
published in October 2016.
DEAL PERFORMANCE
As of the August 2, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 55% to
$76.0 million from $167.6 million at securitization
The Class A-1 certificate with the original balance of $75 million
has already paid off, the remaining Class A-2 balance has decreased
by 18% to $76.0 million from $92.6 million at securitization and
will have a balloon payment of $54 million that is protected by
residual insurance.
This credit-tenant lease (CTL) transaction is supported by a
mortgage on a portfolio of 53 drug stores with a total of 841,411
square feet located in 14 states and the District of Columbia. Each
property is subject to a fully bondable, triple net lease
guaranteed by Rite-Aid, which provides pharmacy services as well as
over-the-counter medication and household items.
Residual insurance is provided by Hartford Fire Insurance Company
(Moody's insurance financial strength rating of A1) of The Hartford
Financial Services Group, Inc. (Moody's senior unsecured debt
rating of Baa1; stable outlook). Hartford Fire Insurance Company is
now evaluated on a consolidated basis as part of the Hartford P&C
Insurance Group.
ROMARK CLO II: Moody's Assigns 'Ba3' Rating on Class D Notes
------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Romark CLO - II Ltd.
Moody's rating action is as follows:
US$290,250,000 Class A-1 Senior Floating Rate Notes due 2031 (the
"Class A-1 Notes"), Assigned Aaa (sf)
US$52,500,000 Class A-2 Senior Floating Rate Notes due 2031 (the
"Class A-2 Notes"), Assigned Aa2 (sf)
US$21,800,000 Class B Deferrable Mezzanine Floating Rate Notes due
2031 (the "Class B Notes"), Assigned A2 (sf)
US$28,350,000 Class C Deferrable Mezzanine Floating Rate Notes due
2031 (the "Class C Notes"), Assigned Baa3 (sf)
US$21,100,000 Class D Deferrable Mezzanine Floating Rate Notes due
2031 (the "Class D Notes"), Assigned Ba3 (sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the
Class C Notes and the Class D Notes are referred to herein,
collectively, as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
Romark II 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, and up to 10% of the
portfolio may consist of second lien loans and unsecured loans. The
portfolio is approximately 80% ramped as of the closing date.
Romark CLO Advisors 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.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $450,000,000
Diversity Score: 75
Weighted Average Rating Factor (WARF): 2850
Weighted Average Spread (WAS): 3.20%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 9.0 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, 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 2850 to 3278)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -2
Class B Notes: -2
Class C Notes: -1
Class D Notes: -1
Percentage Change in WARF -- increase of 30% (from 2850 to 3705)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2 Notes: -4
Class B Notes: -4
Class C Notes: -2
Class D Notes: -1
SARANAC CLO VI: Moody's Assigns Ba3 Rating on Class E Notes
-----------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Saranac CLO VI Limited.
Moody's rating action is as follows:
US$227,500,000 Class A Senior Secured Floating Rate Notes due 2031
(the "Class A Notes"), Assigned Aaa (sf)
US$37,000,000 Class B Senior Secured Floating Rate Notes due 2031
(the "Class B Notes"), Assigned Aa2 (sf)
US$21,000,000 Class C Secured Deferrable Fixed Rate Notes due 2031
(the "Class C Notes"), Assigned A2 (sf)
US$20,000,000 Class D Secured Deferrable Floating Rate Notes due
2031 (the "Class D Notes"), Assigned Baa3 (sf)
US$17,000,000 Class E 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.
Saranac CLO VI is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90.0% of the portfolio must consist of
first lien senior secured loans and eligible investments, and up to
10.0% of the portfolio may consist of senior unsecured loans,
second lien loans and first-lien last-out loans. The portfolio is
approximately 70% ramped as of the closing date.
Saranac CLO Management, LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer issued income 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: $350,000,000
Diversity Score: 80
Weighted Average Rating Factor (WARF): 2747
Weighted Average Spread (WAS): 3.60%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 9.0 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, 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 2747 to 3159)
Class A Notes: 0
Class B Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: -1
Percentage Change in WARF -- increase of 30% (from 2747 to 3571)
Class A Notes: -1
Class B Notes: -3
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
SCOF-2 LTD: Moody's Assigns Ba3 Rating on Class E-R Notes
---------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
CLO refinancing notes issued by SCOF-2 Ltd.:
Moody's rating action is as follows:
US$300,000,000 Class A-R Senior Floating Rate Notes due 2028 (the
"Class A-R Notes"), Assigned Aaa (sf)
US$17,500,000 Class B-1-R Senior Floating Rate Notes due 2028 (the
"Class B-1-R Notes"), Assigned Aaa (sf)
US$53,500,000 Class B-2-R Senior Floating Rate Notes due 2028 (the
"Class B-2-R Notes"), Assigned Aa2 (sf)
US$26,750,000 Class C-R Deferrable Mezzanine Floating Rate Notes
due 2028 (the "Class C-R Notes"), Assigned A2 (sf)
US$32,250,000 Class D-R Deferrable Mezzanine Floating Rate Notes
due 2028 (the "Class D-R Notes"), Assigned Baa3 (sf)
US$25,000,000 Class E-R Deferrable Mezzanine Floating Rate Notes
due 2028 (the "Class E-R Notes"), Assigned Ba3 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
Symphony Asset Management LLC manages the CLO. It directs the
selection, acquisition, and disposition of collateral on behalf of
the Issuer.
RATINGS RATIONALE
Moody's ratings on the Refinancing Notes address the expected
losses posed to noteholders. The ratings reflect the risks due to
defaults on the underlying portfolio of assets, the transaction's
legal structure, and the characteristics of the underlying assets.
The Issuer has issued the Refinancing Notes on August 15, 2018 in
connection with the refinancing of all classes of the secured notes
previously issued on January 12, 2016. On the Refinancing Date, the
Issuer used proceeds from the issuance of the Refinancing Notes to
redeem in full the Refinanced Original Notes.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; and changes to the
overcollateralization test levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in 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: $500,000,000
Defaulted par: $0
Diversity Score: 55
Weighted Average Rating Factor (WARF): 3060
Weighted Average Spread (WAS): 3.60%
Weighted Average Coupon (WAC): N/A
Weighted Average Recovery Rate (WARR): 46.0%
Weighted Average Life (WAL): 6.5 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, 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:
Percentage Change in WARF -- increase of 15% (from 3060 to 3519)
Rating Impact in Rating Notches
Class A-R Notes: 0
Class B-1-R Notes: -1
Class B-2-R Notes: -2
Class C-R Notes: -2
Class D-R Notes: -1
Class E-R Notes: -1
Percentage Change in WARF -- increase of 30% (from 3060 to 3978)
Rating Impact in Rating Notches
Class A-R Notes: -1
Class B-1-R Notes: -2
Class B-2-R Notes: -3
Class C-R Notes: -4
Class D-R Notes: -2
Class E-R Notes: -1
STARWOOD MORTGAGE 2018-IMC1: S&P Assigns B(sf) Rating on B-2 Certs
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Starwood Mortgage
Residential Trust 2018-IMC1's (STAR 2018-IMC1's) $370.33 million
mortgage pass-through securities.
The certificates issuance is a residential mortgage-backed
securities transaction backed by first-lien, fixed- and
adjustable-rate, fully amortizing residential mortgage loans (some
with interest-only periods) secured by single-family residential
properties, planned-unit developments, condominiums, and two- to
four-family residential properties to both prime and nonprime
borrowers. The loans are primarily nonqualified mortgage loans.
The ratings reflect:
-- The pool's collateral composition;
-- The credit enhancement provided for this transaction;
-- The transaction's associated structural mechanics;
-- The representation and warranty framework for this
transaction;
-- The geographic concentration; and
-- The mortgage aggregator, Starwood Non-Agency Lending LLC, and
the mortgage originator, Impac Mortgage Corp.
RATINGS ASSIGNED
Starwood Mortgage Residential Trust 2018-IMC1
Class Rating(i) Interest Amount ($)
rate(ii)
A-1 AAA (sf) Fixed 275,503,000
A-2 AA (sf) Fixed 26,185,000
A-3 A (sf) Fixed 37,220,000
M-1 BBB (sf) Fixed 14,028,000
B-1 BB (sf) Fixed 10,661,000
B-2 B (sf) Net WAC 6,733,000
B-3 NR Net WAC 3,741,461
A-IO-S NR (iii) Notional(iv)
XS NR (v) Notional(vi)
A-R NR N/A N/A
(i)The ratings assigned to the classes address the ultimate payment
of interest and principal.
(ii)Interest can be deferred on the classes. Fixed coupons are
subject to the pool's net WAC rate.
(iii)Excess servicing strip.
(iv)The notional amount will equal the aggregate stated principal
balance of the mortgage loans as of the first day of the related
due period.
(v)Certain excess amounts.
(vi)The notional amount will equal the aggregate class principal
balance of the class A-1, A-2, A-3, M-1, B-1, B-2 and B-3
certificates as of the related distribution date.
WAC--Weighted average coupon.
N/A--Not applicable.
NR--Not rated.
THL CREDIT 2018-2: S&P Assigns Prelim. BB- Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to THL Credit
Wind River 2018-2 CLO Ltd./THL Credit Wind River 2018-2 CLO LLC's
$514.80 million floating- and fixed-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 Aug. 13,
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
THL Credit Wind River 2018-2 CLO Ltd./THL Credit Wind River
2018-2 CLO LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 351.000
A-2 NR 36.000
B-1 AA (sf) 64.000
B-2 AA (sf) 5.000
C A (sf) 39.000
D BBB- (sf) 33.000
E BB- (sf) 22.800
Equity NR 60.165
NR--Not rated.
TRINITAS CLO IV: S&P Assigns Prelim. B(sf) Rating on Cl. F-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1L-R, A-1F-R, B-R, C-R, D-R, E-R, and F-R replacement notes, as
well as to the new class X-R notes, from Trinitas CLO IV Ltd., a
collateralized loan obligation (CLO) originally issued on June 2,
2016, that is managed by Trinitas Capital Management LLC. The
replacement notes will be issued via a proposed supplemental
indenture. The class A-2L-R and A-2F-R notes are not rated by S&P
Global Ratings.
S&P said, "The preliminary ratings reflect our opinion that the
credit support available is commensurate with the associated rating
levels.
"The preliminary ratings are based on information as of Aug. 13,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Aug. 23, 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 notes and assigning ratings to the replacement
notes. However, if the refinancing doesn't occur, we may affirm the
ratings on the original notes and withdraw our preliminary ratings
on the replacement notes."
The replacement notes are being issued via a proposed supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, will also:
-- Change the rated par amount and target initial par amount to
$346.50 million and $401.90 million, respectively, from $370.00
million and $400.00 million, respectively.
-- Extend the reinvestment period to Oct. 18, 2023, from April 18,
2020.
-- Extend the non-call period to Oct. 18, 2020, from April 18,
2018.
-- Extend the weighted average life test to nine years calculated
from the Aug. 23, 2018, refinancing date, from June 2, 2024.
-- Extend the legal final maturity date on the rated and
subordinated notes to Oct. 18, 2031, from April 18, 2028.
-- Change the required minimum thresholds for the coverage tests.
-- Issue additional class X-R floating-rate notes, which are
expected to be paid in equal installments over the first eight
payment dates following the Aug. 23, 2018, refinancing date. The
class X floating-rate notes that were issued on the original
closing date were paid off in full on the April 18, 2017, payment
date.
-- Increase the administrative expense senior cap and asset
management senior fee, and decrease the asset management
subordinated fee.
-- Incorporate the recovery rate methodology and updated industry
classifications outlined in our criteria.
REPLACEMENT AND ORIGINAL NOTE ISSUANCES
Replacement notes
Class Amount Interest
(mil. $) rate
X-R 3.10 LIBOR + 0.750%
A-1L-R 196.90 LIBOR + 1.180%
A-1F-R 25.00 4.192%
A-2L-R 19.00 LIBOR + 1.600%
A-2F-R 8.60 4.548%
B-R 54.30 LIBOR + 1.950%
C-R 22.65 LIBOR + 2.450%
D-R 25.45 LIBOR + 3.360%
E-R 14.60 LIBOR + 6.300%
F-R 4.50 LIBOR + 8.250%
Subordinated notes 36.65 N/A
Original notes
Class Amount Interest
(mil. $) rate
X(i) 0.00 LIBOR + 1.000%
A 258.00 LIBOR + 1.750%
B 42.00 LIBOR + 2.750%
C 28.00 LIBOR + 3.700%
D-1 15.00 LIBOR + 5.300%
D-2 5.00 LIBOR + 6.500%
E 20.00 LIBOR + 8.630%
Subordinated notes 36.65 N/A
(i)The class X floating-rate notes that were issued on the original
closing date were paid off in full on the April 18, 2017 payment
date.
N/A--Not applicable.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take further rating actions
as we deem necessary."
PRELIMINARY RATINGS ASSIGNED
Trinitas CLO IV Ltd./Trinitas CLO IV LLC
Replacement class Rating Amount (mil. $)
X-R AAA (sf) 3.10
A-1L-R AAA (sf) 196.90
A-1F-R AAA (sf) 25.00
A-2L-R NR 19.00
A-2F-R NR 8.60
B-R AA (sf) 54.30
C-R A (sf) 22.65
D-R BBB- (sf) 25.45
E-R BB- (sf) 14.60
F-R B (sf) 4.50
Subordinated notes NR 36.65
NR--Not rated.
UBS COMMERCIAL 2017-C3: Fitch Affirms BB Rating on Class F-RR Certs
-------------------------------------------------------------------
Fitch Ratings has affirmed all classes of UBS Commercial Mortgage
Trust commercial mortgage pass-through certificates, series
2017-C3.
KEY RATING DRIVERS
Stable Performance and Loss Expectations: The overall pool
performance remains stable from issuance. Fitch's loss expectations
are unchanged from issuance. There are no delinquent or specially
serviced loans and no loans are currently on the servicer's
watchlist.
Minimal Change to Credit Enhancement: As of the July 2018
distribution date, the pool's aggregate balance has been reduced by
0.5% to $704.8 million, from $708.6 million at issuance. The pool
is scheduled to pay down by 10.7% of the initial pool balance by
maturity. Eight loans (34.8% of pool) are full-term interest-only
and eight loans (31%) are partial interest-only. The remainder of
the pool consists of 26 amortizing balloon loans (34.2%).
Investment-Grade Credit Opinion Loans: Three loans, representing
16.8% of the pool, have investment-grade credit opinions at
issuance. The performance of Del Amo Fashion Center (7.1% of pool),
245 Park Avenue (5.4%) and Park West Village (4.3%) remain
consistent with issuance.
High Hotel Exposure: Loans secured by hotel properties represent
19.8% of the pool. Hotels have an above-average probability of
default in Fitch's multiborrower model. The largest property type
concentrations are office and retail at 23.2% and 21.8% of the
pool, respectively.
Pool Concentration: The largest 10 loans account for 55.9% of the
pool, which is more concentrated than transactions of the similar
vintage.
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. For additional sensitivity analysis,
please see Fitch's original presale on the transaction dated Aug.
31, 2017.
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:
-- $20.7 million class A-1 at 'AAAsf'; Outlook Stable;
-- $97.8 million class A-2 at 'AAAsf'; Outlook Stable;
-- $45.7 million class A-SB at 'AAAsf'; Outlook Stable;
-- $146 million class A-3 at 'AAAsf'; Outlook Stable;
-- $181.9 million class A-4 at 'AAAsf'; Outlook Stable;
-- $492.2 million(a) class X-A at 'AAAsf'; Outlook Stable;
-- $135.5 million(a) class X-B at 'AA-sf'; Outlook Stable;
-- $74.4 million class A-S at 'AAAsf'; Outlook Stable;
-- $32.8 million class B at 'AA-sf'; Outlook Stable;
-- $28.3 million class C at 'A-sf'; Outlook Stable;
-- $17.7 million(b)(c) class D-RR at 'BBBsf'; Outlook Stable;
-- $13.3 million(b)(c) class E-RR at 'BBB-sf'; Outlook Stable;
-- $10.6 million(b)(c) class F-RR at 'BBsf'; Outlook Stable;
-- $10.6 million(b)(c) class G-RR at 'B-sf'; Outlook Stable.
Fitch does not rate the NR-RR certificates.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest only.
(c) Horizontal credit risk retention interest representing at least
5% of the estimated fair value of all classes of regular
certificates issued by the issuing entity (as of the closing date).
UNITED AUTO 2018-2: DBRS Finalizes B Rating on $7MM Class F Notes
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by United Auto Credit Securitization Trust
2018-2 (UACST 2018-2 or the Issuer):
-- $93,000,000 Class A Notes rated AAA (sf)
-- $21,000,000 Class B Notes rated AA (sf)
-- $22,000,000 Class C Notes rated A (sf)
-- $26,000,000 Class D Notes rated BBB (low) (sf)
-- $17,000,000 Class E Notes rated BB (low) (sf)
-- $7,000,000 Class F Notes rated B (sf)
The finalized ratings are based on a review by DBRS of the
following analytical considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- Credit enhancement is in the form of overcollateralization,
subordination, amounts held in the reserve account and excess
spread. Credit enhancement levels are sufficient to support
DBRS-projected expected cumulative net loss assumptions under
various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the ratings address the
timely payment of interest on a monthly basis and principal by the
legal final maturity date.
-- United Auto Credit Corporation's (UACC) capabilities with
regard to originations, underwriting and servicing and the
existence of an experienced and capable backup servicer.
-- DBRS has performed an operational risk review of UACC and
considers the entity to be an acceptable originator and servicer of
subprime automobile loan contracts with an acceptable backup
servicer.
-- The UACC senior management team has considerable experience and
a successful track record within the auto finance industry.
-- UACC successfully consolidated its business into a centralized
servicing platform and has consolidated originations into two
regional buying centers. UACC retained experienced managers and
staff at the servicing center and buying centers.
-- UACC continues to evaluate and fine-tune its underwriting
standards as necessary. UACC has a risk management system allowing
centralized oversight of all underwriting and substantial
technology systems, which provide daily metrics on all
originations, servicing and collections of loans.
-- The credit quality of the collateral and performance of UACC's
auto loan portfolio.
-- UACC originates collateral that generally has shorter terms,
higher down payments, lower book values and higher borrower income
requirements than some other subprime auto loan originators.
-- UACST 2018-2 provides for Class F Notes with an assigned rating
of B (sf). While the DBRS "Rating U.S. Retail Auto Loan
Securitizations" methodology does not set forth a range of
multiples for this asset class at the B (sf) level, the analytical
approach for this rating level is consistent with that contemplated
by the methodology. The typical range of multiples applied in the
DBRS stress analysis for a B (sf) rating is 1.00 times (x) to
1.25x.
-- 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 UACC, 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."
VCO CLO 2018-1: S&P Assigns Prelim. BB-(sf) Rating on Cl. E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to VCO CLO
2018-1 LLC's $258.00 million fixed- and 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 Aug. 13,
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
VCO CLO 2018-1 LLC
Class Rating Amount
(mil. $)
A AAA (sf) 158.00
B AA (sf) 20.00
C A (sf) 42.00
D BBB- (sf) 21.00
E BB- (sf) 17.00
Interests NR 46.74
NR--Not rated.
VENTURE CLO 33: Moody's Assigns B3 Rating on US$9MM Class F Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
notes issued by Venture 33 CLO, Limited.
Moody's rating action is as follows:
US$307,000,000 Class A-1L Senior Secured Floating Rate Notes due
2031 (the "Class A-1L Notes"), Definitive Rating Assigned Aaa (sf)
US$58,000,000 Class A-1F Senior Secured Fixed Rate Notes due 2031
(the "Class A-1F Notes"), Definitive Rating Assigned Aaa (sf)
US$25,000,000 Class A-2 Senior Secured Floating Rate Notes due 2031
(the "Class A-2 Notes"), Definitive Rating Assigned Aaa (sf)
US$63,000,000 Class B Senior Secured Floating Rate Notes due 2031
(the "Class B Notes"), Definitive Rating Assigned Aa2 (sf)
US$37,500,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C Notes"), Definitive Rating Assigned A2
(sf)
US$33,500,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class D Notes"), Definitive Rating Assigned
Baa3 (sf)
US$28,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf)
US$9,000,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class F Notes"), Definitive Rating Assigned B3 (sf)
The Class A-1L Notes, the Class A-1F Notes, the Class A-2 Notes,
the Class B Notes, the Class C Notes, the Class D Notes, the Class
E Notes and the Class F Notes are referred to herein, collectively,
as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
Venture 33 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, cash, and eligible investments, and up to 10%
of the portfolio may consist of second lien loans and unsecured
loans. The portfolio is approximately 85% ramped as of the closing
date.
MJX Asset 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 assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $600,000,000
Diversity Score: 75
Weighted Average Rating Factor (WARF): 2796
Weighted Average Spread (WAS): 3.40%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 46.5%
Weighted Average Life (WAL): 8.9 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
WACHOVIA BANK 2004-C15: S&P Raises Class F Certs Rating to B+
-------------------------------------------------------------
S&P Global Ratings raised its rating to 'B+ (sf)' from 'CCC- (sf)'
on the class F commercial mortgage pass-through certificates from
Wachovia Bank Commercial Mortgage Trust's series 2004-C15, a U.S.
commercial mortgage-backed securities (CMBS) transaction.
S&P said, "For the upgrade, our credit enhancement expectation was
in line with the raised rating level. In addition, the raised
rating also considers the reduced trust balance and the bond's
interest payment history and timing of repayments; specifically,
the class has received full interest payments for the past seven
consecutive months. Previously, we had downgraded this class due to
interest shortfalls. Based on our criteria, for any tranche
previously downgraded below 'BB+ (sf)' due to temporary interest
shortfalls, we generally consider an upgrade as high as 'BB+ (sf)'
after the reimbursement of all past interest shortfalls and the
subsequent payment of timely interest over at least the subsequent
six months.
"While available credit enhancement may suggest further positive
rating movement on class F, our analysis also considered the bond's
susceptibility to reduced liquidity support from the sole specially
serviced asset, as well as the uncertain timing of its eventual
liquidation."
TRANSACTION SUMMARY
As of the July 17, 2018, trustee remittance report, the collateral
trust balance was $27.3 million, which is 2.4% of the pool balance
at issuance. The transaction is undercollateralized with a total
asset balance of $23.8 million. The pool currently includes three
loans and one real estate-owned (REO) asset, down from 87 loans at
issuance. One of these assets ($13.7 million, 57.4% of the asset
balance) is with the special servicer, two loans ($8.7 million,
36.5%) are defeased, and one ($1.4 million, 6.1%) is on the master
servicer's watchlist.
S&P calculated a 0.72x S&P Global Ratings debt service coverage and
56.9% S&P Global Ratings loan-to-value ratio using an 8.00% S&P
Global Ratings capitalization rate for the sole performing
nondefeased loan.
To date, the transaction has experienced $53.2 million in principal
losses, or 4.6% of the original pool trust balance. S&P expects
losses to reach approximately 5.0% of the original pool trust
balance in the near term, based on losses incurred to date and
additional loss we expect upon the eventual resolution of the sole
remaining specially serviced asset.
CREDIT CONSIDERATIONS
As of the July 17, 2018, trustee remittance report, the 4 Sylvan
Way REO asset was the sole asset in the pool with the special
servicer, Torchlight Loan Services LLC. The asset has a reported
total exposure of $14.5 million and is a 105,135-sq.-ft. office
property in Parsippany, N.J. The loan was transferred to the
special servicer on Aug. 1, 2014, because of imminent maturity
default and the asset became REO on May 27, 2015. The asset has
been deemed nonrecoverable by the master servicer. The reported
occupancy as of year-end 2017 was 100.0%. Torchlight stated that it
is currently marketing the property for sale. S&P anticipates a
moderate (26%-59%) loss upon its eventual resolution.
WACHOVIA BANK 2006-C26: Moody's Affirms C Rating on Class A-J Certs
-------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
in Wachovia Bank Commercial Mortgage Trust 2006-C26, Commercial
Pass-Through Certificates, Series 2006-C26 as follows:
Cl. A-J, Affirmed C (sf); previously on Aug 24, 2017 Downgraded to
C (sf)
Cl. X-C, Affirmed C (sf); previously on Aug 24, 2017 Downgraded to
C (sf)
RATINGS RATIONALE
The rating on Class A-J was affirmed because the rating is
consistent with Moody's expected loss plus realized losses. Class
A-J has already experienced a 31% realized loss as result of
previously liquidated loans. Additionally, the transaction is
undercollateralized as the aggregate certificate balance is $16.3
million greater than the remaining pooled loan balance.
The rating on Class X-C was affirmed based on the credit quality of
the referenced classes.
Moody's rating action reflects a base expected loss of 73.4% of the
current pooled loan balance. Moody's base expected loss plus
realized losses is now 17.0% of the original pooled balance,
compared to 17.6% 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 Wachovia Bank Commercial
Mortgage Trust 2006-C26, Cl. A-J was "Moody's Approach to Rating
Large Loan and Single Asset/Single Borrower CMBS" published in July
2017. The methodologies used in rating Wachovia Bank Commercial
Mortgage Trust 2006-C26, Cl. X-C 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.
Since one loan in special servicing represents 74% of the remaining
certificate balance, Moody's analysis incorporated a loss and
recovery approach. In this approach, Moody's determines a
probability of default for each specially serviced and/or 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 July 17, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 96% to $72 million
from $1.73 billion at securitization. The certificates are
collateralized by 2 mortgage loans. The transaction is
undercollateralized as the aggregate certificate balance is $16.3
million greater than the remaining pooled loan balance and Moody's
is treating the under-collateralization as a loss of principal to
the trust. One loan, constituting 4% of the pooled loan balance,
has defeased and is secured by US government securities.
Thirty-eight loans have been liquidated from the pool, contributing
to an aggregate realized loss of $253 million (for an average loss
severity of 43%). One loan, Chemed Center Leasehold Loan ($54
million), constituting 96% of the aggregate pooled loan balance, is
currently in special servicing. The loan in is secured by the
leasehold interest in a 31-story, 551,000 square foot, Class A
office building located in downtown Cincinnati, Ohio. The
collateral is subject to a 99-year ground lease set to expire in
April 2105. The loan transferred to special servicing in March 2016
as the loan approached its scheduled May 2016 maturity date and
subsequently defaulted at maturity. In July 2017, the servicer
reported that the largest tenant at the property signed a lease
renewal extending through 2033. The property was 87% occupied as of
July 2018. The property is also encumbered by a subordinate B note
which is held outside the trust. Moody's estimates an elevated loss
for this loan.
WFRBS COMMERCIAL 2013-C17: Fitch Gives Bsf Rating on Class F Certs
------------------------------------------------------------------
Fitch Ratings has affirmed 12 classes of WFRBS Commercial Mortgage
Trust 2013-C17 pass-through certificates.
KEY RATING DRIVERS
Stable Performance and Loss Expectations: The overall performance
of the pool has been stable since issuance. One loan totaling 1.12%
of the pool is in special servicing. The loan is secured by a
108-unit multi-family property in Washington, D.C., and transferred
to the special servicer for monetary default despite the collateral
property generating adequate cash flow to make all debt service
payments. The loan is currently going through foreclosure. In
addition to the specially serviced loan, nine loans totaling 7.36%
of the pool are on the servicer's watchlist; however, all of these
loans remain current. The Staybridge Suites - Minot loan (1.1%) is
the only Fitch Loan of Concern. It is secured by a 102-room hotel
located in Minot, ND. The property has exposure to the oil industry
and occupancy has dropped to 55% as of March 2018 from 89% at
issuance.
Paydown and Defeasance: Nine loans, totaling 17% of the pool, are
defeased. Of the defeased loans, three loans (12%) are scheduled to
mature by November 2018. Additionally, the pool has paid down
approximately 8.6% since issuance, leading to slight increases in
credit enhancement. The defeasance has reduced the pool-level
exposure to non-traditional properties such as mixed-use,
self-storage and manufactured housing properties.
Property Type Concentrations: Excluding the defeased loans,
approximately 34.6%, 23.9%, and 11.6% of the loans in the pool are
secured by retail, hotel, and office properties.
Maturity Concentration: Five loans, totaling approximately 16.3% of
the pool, are scheduled to mature in 2018, including the three
defeased loans. The remaining 77 loans (83.7% of the pool) are
scheduled to mature in 2023.
RATING SENSITIVITIES
The Rating Outlooks for classes A-1 through A-S and D through F
remain Stable, reflecting the overall stable performance of the
pool. The Rating Outlooks on classes B, C and X-B have been revised
to Positive from Stable to reflect increased defeasance-adjusted
credit enhancement and stable loss expectations. Upgrades to these
classes are likely should the loans maturing in 2018 pay in full.
Conversely, downgrades are possible should overall pool performance
decline.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating.
Fitch has affirmed the following and revised Outlooks as
indicated:
-- $133.9 million class A-2 at 'AAAsf'; Outlook Stable;
-- $125 million class A-3 at 'AAAsf'; Outlook Stable;
-- $236.9 million class A-4 at 'AAAsf'; Outlook Stable;
-- $55.8 million class A-SB at 'AAAsf'; Outlook Stable;
-- $73.5 million class A-S at 'AAAsf'; Outlook Stable;
-- $58.8 million class B at 'AA-sf'; Outlook to Positive from
Stable;
-- $31.6 million class C at 'A-sf'; Outlook to Positive from
Stable;
-- $47.5 million class D at 'BBB-sf'; Outlook Stable;
-- $15.8 million class E at 'BBsf'; Outlook Stable;
-- $9 million class F at 'Bsf'; Outlook Stable;
-- $629 million class X-A* at 'AAAsf'; Outlook Stable
-- $58.8 million class X-B* at 'AA-sf'; Outlook to Positive from
Stable.
*Notional amount and interest-only.
Class A-1 has paid in full. Fitch does not rate the class G or
class X-C certificates.
WFRBS COMMERCIAL 2014-C21: DBRS Confirms B Rating on Class F Certs
------------------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2014-C21 issued by WFRBS
Commercial Mortgage Trust 2014-C21 as follows:
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-SBFL at AAA (sf)
-- Class A-SBFX at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class PEX at A (low) (sf)
-- Class X-B at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class X-C at BB (high) (sf)
-- Class E at BB (sf)
-- Class X-D at B (high) (sf)
-- Class F at B (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction since issuance. The collateral consists of 120
fixed-rate loans secured by 140 commercial properties. As of the
July 2018 remittance, there has been a total collateral reduction
of 5.3% as a result of scheduled loan amortization and one loan
paid in full. The remaining loans in the pool have a current trust
balance of $1,351 million. Based on the most recent year-end (YE)
reporting available, the portfolio exhibited a weighted average
(WA) debt service coverage ratio (DSCR) and in-place debt yield of
1.71x and 10.2%, respectively, compared with 1.81x and 10.2%,
respectively, at issuance. The top 15 loans reported a WA DSCR and
debt yield of 1.75x and 9.8%, respectively, reflective of a WA cash
flow improvement of 6.8% since issuance, based on the YE2017 cash
flow figures. It is noteworthy that there are two regional malls
located in secondary markets within the top 15 loans, collectively
representing 4.9% of the pool in Montgomery Mall (Prospectus ID #9,
3.2% of the pool) and Oak Court Mall (Prospectus ID #15, 1.7% of
the pool). Cash flows are generally healthy for both loans, but
there are some concerns with the Oak Court Mall occupancy trends.
Six loans, comprising 7.9% of the pool, are scheduled to mature in
June and July of 2019, including the Sheraton Austin loan
(Prospectus #3, 4.7% of the pool). In general, the refinance
profile for these loans is healthy, with a WA DSCR and debt yield
of 2.52x and 11.4%, respectively. One exception is the Fitch
Apartments loan (Prospectus #52, 0.5% of the pool).
As of the July 2018 remittance, there are 29 loans, representing
25.6% of the pool balance, on the servicer's watch list.
Additionally, two loans, representing 1.8% of the pool balance, are
currently in special servicing. The watch listed loans are being
monitored for a variety of reasons, and while the high watch list
concentration is notable, in general, DBRS believes the outlook is
healthy for the largest loans being monitored, including four of
the top 15 loans in the pool, which cumulatively represent 16.6% of
the pool. In the event the risk for these loans is significantly
increased from issuance, DBRS applied a stressed cash flow scenario
in the analysis to reflect those developments.
The larger of the two specially serviced loans, Best Western
Premier Hotel (Prospectus ID#19, 1.3% of the pool), is pending a
return from to the master servicer. The smaller loan, Fitch
Apartments, is being marketed for sale by the receiver and the
special servicer expects the loan to be resolved by YE2018. DBRS
assumed a loss severity in excess of 35.0% for this loan based on
the most recent appraised value and the time expected to resolve.
Classes X-A, X-B, X-C and X-D are interest-only (IO) certificates
that reference a single rated tranche or multiple rated tranches.
The IO rating mirrors the lowest-rated applicable reference
obligation tranche adjusted upward by one notch if senior in the
waterfall.
[*] Discounted Tickets for 2018 Distressed Investing Conference!
----------------------------------------------------------------
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agenda as well as highlights from past conferences.
Now on its 25th year, Beard Group's annual Distressed Investing
conference is the oldest and most established New York
restructuring conference. The day-long program will be held
Monday, November 26, 2018, at The Harmonie Club, 4 E. 60th St. in
Midtown Manhattan.
For a quarter century, the focus of the conference has been on
"Maximizing Profits in the Distressed Debt Market." The event also
serves as a forum for leaders in corporate restructuring, lending
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exchange ideas about high-profile chapter 11 bankruptcy proceedings
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This year's conference will also feature:
* A luncheon presentation of the Harvey K Miller Award to
Edward I. Altman, Professor of Finance, Emeritus, New York
University's Stern School of Business. (The award will be
presented by last year's winner billionaire Marc Lasry,
Altman's former student.)
* Evening awards dinner recognizing the 12 Outstanding
Restructuring Lawyers
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[*] Moody's Hikes $310.2MM Securities Backed by Housing Loans
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 14 tranches
from six transactions, backed by manufactured housing loans, issued
by multiple issuers.
Complete rating actions are as follows:
Issuer: GreenPoint Manufactured Housing Contract Trust 2000-2
Cl. A-2, Upgraded to Ba1 (sf); previously on Jan 19, 2016
Downgraded to B3 (sf)
Issuer: GreenPoint Manufactured Housing Contract Trust 2000-3
Cl. II A-2, Upgraded to Ba1 (sf); previously on May 20, 2016
Downgraded to Caa1 (sf)
Issuer: GreenPoint Manufactured Housing Contract Trust 2000-5
Cl. A-3, Upgraded to Ba1 (sf); previously on Jan 19, 2016
Downgraded to B3 (sf)
Issuer: GreenPoint Manufactured Housing Contract Trust 2000-7
Cl. A-2, Upgraded to Ba1 (sf); previously on Jan 19, 2016
Downgraded to B3 (sf)
Issuer: Lehman ABS Manufactured Housing Contract Trust 2001-B
Cl. A-1, Upgraded to Aaa (sf); previously on Mar 15, 2017 Upgraded
to A1 (sf)
Cl. A-2, Upgraded to Aaa (sf); previously on Mar 15, 2017 Upgraded
to A1 (sf)
Cl. A-3, Upgraded to Aaa (sf); previously on Mar 15, 2017 Upgraded
to A1 (sf)
Cl. A-4, Upgraded to Aaa (sf); previously on Mar 15, 2017 Upgraded
to A1 (sf)
Cl. A-5, Upgraded to Aaa (sf); previously on Mar 15, 2017 Upgraded
to A1 (sf)
Cl. A-6, Upgraded to Aaa (sf); previously on Mar 15, 2017 Upgraded
to A1 (sf)
Cl. A-7, Upgraded to Aaa (sf); previously on Mar 15, 2017 Upgraded
to A1 (sf)
Cl. M-1, Upgraded to Caa1 (sf); previously on Dec 15, 2011
Downgraded to Caa3 (sf)
Issuer: Madison Avenue Manufactured Housing Contract Trust 2002-A
Cl. B-1, Upgraded to Aaa (sf); previously on Nov 15, 2017 Upgraded
to Aa3 (sf)
Cl. B-2, Upgraded to B2 (sf); previously on Jun 10, 2016 Upgraded
to Caa2 (sf)
RATINGS RATIONALE
The rating actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectation on
the pools. The rating upgrades are a result of the improving
performance of the related pools and an increase in credit
enhancement available to the bonds. The GreenPoint transactions
share a LOC from GreenPoint Bank with a current value of $72
million that protects the bonds against future losses.
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 July 2018 from 4.3% in July
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 $500MM FHA & VA RMBS Issued 1998-2006
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 3 tranches
and downgraded the ratings of 54 tranches from 18 transactions,
backed by FHA and VA RMBS loans, issued by multiple issuers.
Complete rating actions are as follows:
Issuer: Fannie Mae REMIC Trust 2001-W3
Cl. B-1, Downgraded to Ca (sf); previously on Jul 25, 2016
Downgraded to Caa2 (sf)
Cl. M, Downgraded to Caa2 (sf); previously on Jul 25, 2016
Downgraded to B3 (sf)
Issuer: Fannie Mae REMIC Trust 2002-W1
Cl. B-1, Downgraded to Ca (sf); previously on Jul 25, 2016
Downgraded to Caa2 (sf)
Cl. M, Downgraded to Caa2 (sf); previously on Jul 25, 2016
Downgraded to B2 (sf)
Issuer: Fannie Mae REMIC Trust 2002-W6
Cl. B-1, Downgraded to C (sf); previously on Jun 1, 2015 Downgraded
to Caa3 (sf)
Cl. M, Downgraded to Ca (sf); previously on Jul 25, 2016 Downgraded
to Caa1 (sf)
Issuer: Fannie Mae REMIC Trust 2003-W10
Cl. 1M, Downgraded to Ca (sf); previously on Jul 25, 2016
Downgraded to Caa2 (sf)
Issuer: Fannie Mae REMIC Trust 2003-W4
Cl. IM, Downgraded to Ca (sf); previously on Jul 25, 2016
Downgraded to Caa2 (sf)
Issuer: GSMPS Mortgage Loan Trust 2002-1
Cl. A-1, Downgraded to B3 (sf); previously on Jul 25, 2016
Downgraded to B1 (sf)
Cl. B1, Downgraded to C (sf); previously on Jul 25, 2016 Downgraded
to Caa3 (sf)
Issuer: GSMPS Mortgage Loan Trust 2004-4
Cl. B1, Downgraded to Ca (sf); previously on Jul 25, 2016
Downgraded to Caa1 (sf)
Issuer: GSMPS Mortgage Loan Trust 2005-LT1
Cl. B-1, Upgraded to A3 (sf); previously on Nov 6, 2017 Upgraded to
Baa3 (sf)
Cl. M-1, Upgraded to Aa2 (sf); previously on Apr 28, 2016 Upgraded
to A2 (sf)
Cl. M-2, Upgraded to A1 (sf); previously on Nov 6, 2017 Upgraded to
A3 (sf)
Issuer: GSMPS Mortgage Loan Trust 2006-RP1
Cl. 1AF1, Downgraded to Caa1 (sf); previously on Sep 6, 2011
Downgraded to B3 (sf)
Cl. 1AS, Downgraded to Caa1 (sf); previously on Oct 27, 2017
Confirmed at B3 (sf)
Cl. 1A2, Downgraded to Caa1 (sf); previously on Sep 6, 2011
Downgraded to B3 (sf)
Cl. 1A3, Downgraded to Caa1 (sf); previously on Sep 6, 2011
Downgraded to B3 (sf)
Cl. 1A4, Downgraded to Caa1 (sf); previously on Sep 6, 2011
Downgraded to B3 (sf)
Cl. 1AF2, Downgraded to Caa1 (sf); previously on Sep 6, 2011
Downgraded to B3 (sf)
Cl. 2A1, Downgraded to Caa1 (sf); previously on Sep 6, 2011
Downgraded to B3 (sf)
Issuer: GSMPS Mortgage Loan Trust 2006-RP2
Cl. 1AF1, Downgraded to Caa1 (sf); previously on Jul 24, 2009
Downgraded to B3 (sf)
Cl. 1AF2, Downgraded to Caa1 (sf); previously on Jul 24, 2009
Downgraded to B3 (sf)
Cl. 1AS1, Downgraded to Caa1 (sf); previously on Jul 24, 2009
Downgraded to B3 (sf)
Cl. 1AS2, Downgraded to Caa1 (sf); previously on Jul 24, 2009
Downgraded to B3 (sf)
Cl. 2A1, Downgraded to Caa1 (sf); previously on Jul 24, 2009
Downgraded to B3 (sf)
Issuer: MASTR Reperforming Loan Trust 2005-1
Cl. 1A4, Downgraded to Caa1 (sf); previously on Jan 23, 2017
Downgraded to B3 (sf)
Cl. 1A1, Downgraded to Caa1 (sf); previously on Jan 23, 2017
Downgraded to B3 (sf)
Cl. 1A2, Downgraded to Caa1 (sf); previously on Jan 23, 2017
Downgraded to B3 (sf)
Cl. 1A5, Downgraded to Caa1 (sf); previously on Jan 23, 2017
Downgraded to B3 (sf)
Cl. B1, Downgraded to C (sf); previously on Feb 22, 2016 Downgraded
to Caa3 (sf)
Cl. 1A3, Downgraded to Caa1 (sf); previously on Jan 23, 2017
Downgraded to B3 (sf)
Cl. 2A1, Downgraded to Caa1 (sf); previously on Jan 23, 2017
Downgraded to B3 (sf)
PO, Downgraded to Caa1 (sf); previously on Jan 23, 2017 Downgraded
to B3 (sf)
Issuer: MASTR Reperforming Loan Trust 2005-2
Cl. 1A1F, Downgraded to Caa1 (sf); previously on Jan 23, 2017
Downgraded to B3 (sf)
Cl. 1A1S, Downgraded to Caa1 (sf); previously on Jan 23, 2017
Downgraded to B3 (sf)
Cl. 1A2, Downgraded to Caa1 (sf); previously on Jan 23, 2017
Downgraded to B3 (sf)
Cl. 1A3, Downgraded to Caa1 (sf); previously on Jan 23, 2017
Downgraded to B3 (sf)
Cl. 1A4, Downgraded to Caa1 (sf); previously on Jan 23, 2017
Downgraded to B3 (sf)
Cl. 2A1, Downgraded to Caa1 (sf); previously on Jan 23, 2017
Downgraded to B3 (sf)
Issuer: Reperforming Loan REMIC Trust 2003-R4
Cl. 1A-PO, Downgraded to Caa1 (sf); previously on Feb 19, 2016
Downgraded to B3 (sf)
Cl. 1A-4, Downgraded to Caa1 (sf); previously on Feb 19, 2016
Downgraded to B3 (sf)
Cl. 2A-IO, Downgraded to Caa1 (sf); previously on Oct 27, 2017
Confirmed at B3 (sf)
Cl. 2A, Downgraded to Caa1 (sf); previously on Feb 19, 2016
Downgraded to B3 (sf)
Cl. M, Downgraded to Ca (sf); previously on Feb 19, 2016 Downgraded
to Caa3 (sf)
Issuer: SASCO FHA/VA, Series 1998-RF3
Cl. A, Downgraded to Caa1 (sf); previously on Oct 14, 2010
Downgraded to B3 (sf)
Issuer: SASCO FHA/VA, Series 1998-RF4
A-PO, Downgraded to Caa1 (sf); previously on Oct 14, 2010
Downgraded to B3 (sf)
A, Downgraded to Caa1 (sf); previously on Oct 14, 2010 Downgraded
to B3 (sf)
Issuer: SASCO FHA/VA, Series 1999-RF1
A, Downgraded to Caa1 (sf); previously on Sep 6, 2011 Downgraded to
B2 (sf)
Issuer: Structured Asset Securities Corp 2006-RF3
Cl. 1-A1, Downgraded to Caa2 (sf); previously on Oct 4, 2013
Downgraded to Caa1 (sf)
Cl. 1-A2, Downgraded to Caa2 (sf); previously on Oct 4, 2013
Downgraded to Caa1 (sf)
Cl. 1-A3, Downgraded to Caa2 (sf); previously on Oct 4, 2013
Downgraded to Caa1 (sf)
Cl. 1-A4, Downgraded to Caa2 (sf); previously on Oct 4, 2013
Downgraded to Caa1 (sf)
Cl. 1-AP, Downgraded to Caa2 (sf); previously on Sep 6, 2011
Confirmed at Caa1 (sf)
Cl. 2-A, Downgraded to Caa2 (sf); previously on Oct 4, 2013
Downgraded to Caa1 (sf)
Issuer: Structured Asset Securities Corp. 2005-RF7
Cl. A, Downgraded to Caa1 (sf); previously on Mar 2, 2016
Downgraded to B3 (sf)
Cl. AIO, Downgraded to Caa1 (sf); previously on Mar 2, 2016
Downgraded to B3 (sf)
RATINGS RATIONALE
The rating actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectation on
the pools. The rating upgrades are a result of the improving
performance of the related pool and an increase in credit
enhancement available to the bonds. The rating downgrades are due
to the weaker performance of the underlying collateral, erosion of
enhancement available or principal losses incurred to date on those
bonds.
The principal methodology used in rating Fannie Mae REMIC Trust
2001-W3 Cl. M and Cl. B-1, Fannie Mae REMIC Trust 2002-W1 Cl. M and
Cl. B-1, Fannie Mae REMIC Trust 2002-W6 Cl. M and Cl. B-1, Fannie
Mae REMIC Trust 2003-W10 Cl. 1M, Fannie Mae REMIC Trust 2003-W4 Cl.
IM, GSMPS Mortgage Loan Trust 2002-1 Cl. A-1 and Cl. B1, GSMPS
Mortgage Loan Trust 2004-4 Cl. B1, GSMPS Mortgage Loan Trust
2005-LT1 Cl. M-1, Cl. M-2 and Cl. B-1, GSMPS Mortgage Loan Trust
2006-RP1 Cl. 1AF1, Cl. 1AF2, Cl. 1A2, Cl. 1A3, Cl. 1A4 and Cl. 2A1,
GSMPS Mortgage Loan Trust 2006-RP2 Cl. 1AF1, Cl. 1AF2 and Cl. 2A1,
MASTR Reperforming Loan Trust 2005-1 Cl. 1A1, Cl. 2A1, Cl. 1A2, Cl.
1A3, Cl. 1A4, Cl. 1A5, PO and Cl. B1, MASTR Reperforming Loan Trust
2005-2 Cl. 1A1F, Cl. 2A1, Cl. 1A2, Cl. 1A3 and Cl. 1A4,
Reperforming Loan REMIC Trust 2003-R4 Cl. 2A, Cl. 1A-4, Cl. 1A-PO
and Cl. M, SASCO FHA/VA, Series 1998-RF3 Cl. A, SASCO FHA/VA,
Series 1998-RF4 A-PO and A, SASCO FHA/VA, Series 1999-RF1 A,
Structured Asset Securities Corp 2006-RF3 Cl. 1-A1, Cl. 1-A2, Cl.
1-A3, Cl. 1-A4, Cl. 1-AP and Cl. 2-A and Structured Asset
Securities Corp. 2005-RF7 Cl. A was "FHA-VA US RMBS Methodology"
published in November 2013. The methodologies used in rating GSMPS
Mortgage Loan Trust 2006-RP1 Cl. 1AS, GSMPS Mortgage Loan Trust
2006-RP2 Cl. 1AS1 and Cl. 1AS2, MASTR Reperforming Loan Trust
2005-2 Cl. 1A1S, Reperforming Loan REMIC Trust 2003-R4 Cl. 2A-IO,
and Structured Asset Securities Corp. 2005-RF7 Cl. AIO were "FHA-VA
US RMBS Methodology" published in November 2013 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 July 2018 from 4.3% in July
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.
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.
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 10 Tranches From 6 US RMBS Deals
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of four tranches
and downgraded the ratings of six tranches from six transactions
issued by various issuers, backed by Subprime and Prime Jumbo
loans.
Complete rating actions are as follows:
Issuer: Banc of America Mortgage 2004-G Trust
Cl. 1-A-1, Upgraded to Baa1 (sf); previously on Dec 3, 2015
Upgraded to Baa3 (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2002-34
Cl. D-B-2, Downgraded to Caa3 (sf); previously on Nov 1, 2016
Downgraded to Caa2 (sf)
Issuer: DSLA Mortgage Loan Trust 2005-AR6
Cl. 1A-1A, Upgraded to Caa1 (sf); previously on Nov 3, 2016
Upgraded to Caa2 (sf)
Cl. 2A-1B, Upgraded to Ca (sf); previously on Dec 3, 2010
Downgraded to C (sf)
Issuer: Merrill Lynch Mortgage Investors Trust, Series 2004-FM1
2004-FM1-M3, Upgraded to Aa1 (sf); previously on Dec 30, 2015
Upgraded to A1 (sf)
Issuer: Merrill Lynch Mortgage Investors, Inc. 2003-WMC2
Cl. M-2, Downgraded to Baa3 (sf); previously on Apr 17, 2013
Upgraded to Baa1 (sf)
Issuer: MRFC Mortgage Pass-Through Trust, Series 2000-TBC2
Cl. B-2, Downgraded to Baa3 (sf); previously on Jun 28, 2013
Downgraded to Baa1 (sf)
Cl. B-3, Downgraded to Ba3 (sf); previously on Dec 16, 2016
Downgraded to Ba1 (sf)
Cl. B-4, Downgraded to B3 (sf); previously on Dec 16, 2016
Downgraded to B1 (sf)
Cl. B-5, Downgraded to Caa2 (sf); previously on Dec 16, 2016
Downgraded to Caa1 (sf)
RATINGS RATIONALE
The rating actions reflect the recent performance of the underlying
pools and Moody's updated loss expectations on those pools. The
rating upgrades are primarily due to an improvement in credit
enhancement available to the bonds and improvement in pool
performance. The downgrades are mainly due to deteriorating pool
performance and/or depleting credit enhancement on 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 macroeconomic
uncertainty, and in particular the unemployment rate. The
unemployment rate fell to 3.9% in July 2018 from 4.3% in July 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 16 Tranches From 9 US RMBS Deals
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 14 tranches
and downgraded the ratings of two tranches from nine transactions,
backed by Subprime RMBS loans, issued by multiple issuers.
Complete rating actions are as follows:
Issuer: Aames Mortgage Investment Trust 2005-4
Cl. M3, Downgraded to B1 (sf); previously on Feb 1, 2017 Upgraded
to Ba3 (sf)
Issuer: ABFC Asset-Backed Certificates, Series 2004-OPT3
Cl. M-2, Upgraded to Caa3 (sf); previously on May 4, 2012
Downgraded to C (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2003-HE1
Cl. M-3, Upgraded to Caa1 (sf); previously on Jan 23, 2017 Upgraded
to Caa3 (sf)
Cl. M-4, Upgraded to Caa1 (sf); previously on Jan 23, 2017 Upgraded
to Caa3 (sf)
Issuer: C-BASS 2003-CB4 Trust
Cl. AF-1, Upgraded to A1 (sf); previously on May 4, 2012 Downgraded
to Baa1 (sf)
Cl. B-1, Upgraded to Caa1 (sf); previously on May 4, 2012
Downgraded to C (sf)
Cl. B-2, Upgraded to B3 (sf); previously on May 4, 2012 Downgraded
to C (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 10, 2011
Downgraded to Ca (sf)
Issuer: Nationstar Home Equity Loan Asset-Backed Certificates,
Series 2007-C
Cl. 1-AV-1, Upgraded to Ba1 (sf); previously on Nov 17, 2017
Upgraded to Ba3 (sf)
Issuer: Ownit Mortgage Loan Trust 2006-1
Cl. AV, Upgraded to Aaa (sf); previously on Nov 17, 2017 Upgraded
to A2 (sf)
Issuer: Popular ABS Mortgage Pass-Through Trust 2005-2
Cl. AV-1A, Upgraded to Aaa (sf); previously on Jan 23, 2017
Upgraded to Aa1 (sf)
Cl. AV-1B, Upgraded to Aaa (sf); previously on Jan 23, 2017
Upgraded to Aa2 (sf)
Cl. AV-2, Upgraded to Aaa (sf); previously on Jan 23, 2017 Upgraded
to Aa1 (sf)
Issuer: Salomon Brothers Mortgage Securities VII, Inc. Union
Planters Mortgage Loan Trust 2003-UP1
Cl. A, Upgraded to A1 (sf); previously on Nov 17, 2017 Upgraded to
Baa3 (sf)
Cl. M-1, Upgraded to Caa2 (sf); previously on Mar 7, 2011
Downgraded to Ca (sf)
Issuer: Saxon Asset Securities Trust 2005-2
Cl. M-3, Downgraded to Caa1 (sf); previously on Dec 12, 2016
Upgraded to B1 (sf)
RATINGS RATIONALE
The rating upgrades are due to the total credit enhancement
available to the bonds. The rating downgrade on Aames Mortgage
Investment Trust 2005-4 Cl. M3 is due to the outstanding interest
shortfalls on this bond which are not expected to be reimbursed.
The rating downgrade on Saxon Asset Securities Trust 2005-2 Cl. M-3
is due to the weak collateral performance of the underlying pools
and the total credit enhancement available to the bond. The rating
actions also reflect the recent performance of the underlying pools
and reflect Moody's updated loss expectation on those 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 July 2018 from 4.3% in July
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.
[*] S&P Discontinues Rating on 56 Classes From 16 CDO Transactions
------------------------------------------------------------------
S&P Global Ratings discontinued its ratings on 50 classes from 14
cash flow (CF) collateralized loan obligation (CLO) transactions
and six classes from two CF collateralized debt obligations (CDO)
backed by commercial mortgage-backed securities (CMBS).
The discontinuances follow the complete paydown of the notes as
reflected in the most recent trustee-issued note payment reports
for each transaction:
-- ACIS CLO 2013-1 Ltd. (CF CLO): senior-most tranches paid down;
other rated tranches still outstanding.
-- Babson CLO Ltd. 2014-III (CF CLO): optional redemption in June
2018.
-- Battalion CLO V Ltd. (CF CLO): optional redemption in July
2018.
-- Canyon Capital CLO 2012-1 Ltd. (CF CLO): optional redemption in
July 2018.
-- CapLease CDO 2005-1 Ltd. (CF CDO of CMBS): optional redemption
in July 2018.
-- Cavalry CLO IV Ltd. (CF CLO): optional redemption in July
2018.
-- Golub Capital BDC 2010-1 LLC (CF CLO): optional redemption in
July 2018.
-- Ivy Hill Middle Market Credit Fund IX Ltd. (CF CLO):
senior-most tranche(i) paid down; other rated tranches still
outstanding.
-- Mountain Hawk I CLO Ltd. (CF CLO): optional redemption in July
2018.
-- Mountain View CLO III Ltd. (CF CLO): optional redemption in
July 2018.
-- OFSI Fund V Ltd. (CF CLO): senior-most tranches paid down;
other rated tranches still outstanding.
-- OHA Credit Partners VIII Ltd. (CF CLO): optional redemption in
July 2018.
-- Race Point IX CLO Ltd. (CF CLO): senior-most tranche(i) paid
down; other rated tranches still outstanding.
-- RAIT CRE CDO I Ltd. (CF CDO of CMBS): senior-most tranche paid
down; other rated tranches still outstanding.
-- Symphony CLO VIII L.P. (CF CLO): senior-most tranche paid down;
other rated tranches still outstanding.
-- Vibrant CLO II Ltd. (CF CLO): optional redemption in July
2018.
(i)A class X note within a CLO is generally a note with a principal
balance intended to be repaid early in the CLO's life using
interest proceeds from the CLO's waterfall.
RATINGS DISCONTINUED
ACIS CLO 2013-1 Ltd.
Rating
Class To From
A-1 NR AAA (sf)
A-2A NR AAA (sf)
A-2B NR AAA (sf)
Babson CLO Ltd. 2014-III
Rating
Class To From
A-R NR AAA (sf)
Battalion CLO V Ltd.
Rating
Class To From
A-1-R NR AAA (sf)
A-2A-R NR AA (sf)
A-2B-R NR AA (sf)
B-R NR A (sf)
C NR BBB (sf)
D NR BB (sf)
E NR B (sf)
Canyon Capital CLO 2012-1 Ltd.
Rating
Class To From
A-R NR AAA (sf)
B-R NR AA (sf)
C-R NR A (sf)
D-R NR BBB (sf)
E-R NR BB (sf)
CapLease CDO 2005-1 Ltd.
Rating
Class To From
A NR A (sf)
B NR BBB- (sf)
C NR B- (sf)
D NR CCC- (sf)
E NR CCC- (sf)
Cavalry CLO IV Ltd.
Rating
Class To From
A-R NR AAA (sf)
B-1-R NR AA (sf)
B-2-R NR AA (sf)
C-1-R NR A (sf)
C-2-R NR A (sf)
D-R NR BBB- (sf)
E NR B+ (sf)
Golub Capital BDC 2010-1 LLC
Rating
Class To From
A-Refi NR AAA (sf)
B-Refi NR AA+ (sf)
Ivy Hill Middle Market Credit Fund IX Ltd.
Rating
Class To From
X-R NR AAA (sf)
Mountain Hawk I CLO Ltd.
Rating
Class To From
A-1 NR AAA (sf)
B-1 NR AAA (sf)
B-2 NR AAA (sf)
C (defer) NR AA (sf)
D (defer) NR BBB (sf)
E (defer) NR B+ (sf)
Mountain View CLO III Ltd.
Rating
Class To From
E NR BB+ (sf)
OFSI Fund V Ltd.
Rating
Class To From
A-1LA NR AAA (sf)
A-1LB-R NR AAA (sf)
OHA Credit Partners VIII Ltd.
Rating
Class To From
A NR AAA (sf)
B NR AA (sf)
C NR A (sf)
D NR BBB (sf)
E NR BB (sf)
F NR B (sf)
Race Point IX CLO Ltd.
Rating
Class To From
X NR AAA (sf)
RAIT CRE CDO I Ltd.
Rating
Class To From
A-2 NR BB- (sf)
Symphony CLO VIII L.P.
Rating
Class To From
A-R NR AAA (sf)
Vibrant CLO II Ltd.
Rating
Class To From
A-1b-R NR AAA (sf)
A-2a-R NR AA (sf)/Watch Pos
A-2b-R NR AA (sf)/Watch Pos
B-R NR A (sf)/Watch Pos
C-R NR BBB (sf)/Watch Pos
D NR BB (sf)/Watch Pos
E NR B (sf)
NR–-Not rated.
[*] S&P Lowers Ratings on Four Classes From Three U.S. CMBS Deals
-----------------------------------------------------------------
S&P Global Ratings lowered its ratings on four classes of
commercial mortgage pass-through certificates from three U.S.
commercial mortgage-backed securities (CMBS) transactions.
S&P said, "We lowered our ratings on three classes to 'D (sf)' due
to accumulated interest shortfalls that we expect to remain
outstanding for the foreseeable future. In addition, we lowered our
rating on one class to 'CCC- (sf)' due to the anticipated duration
of interest shortfalls outstanding, and we believe that the
interest shortfalls on this class will be repaid when the sole
specially serviced asset in the transaction is liquidated."
The recurring interest shortfalls for the respective certificates
are primarily due to one or more of the following factors:
-- Appraisal subordinate entitlement reduction (ASER) amounts in
effect for specially serviced assets;
-- The lack of servicer advancing for loans or assets where the
servicer has made nonrecoverable advance declarations;
-- Interest rate modifications or deferrals, or both, related to
corrected mortgage loans; or
-- Special servicing fees.
S&P said, "Our analysis primarily considered the ASER amounts based
on appraisal reduction amounts (ARAs) calculated using recent
Member of the Appraisal Institute (MAI) appraisals. We also
considered servicer nonrecoverable advance declarations and special
servicing fees that are likely, in our view, to cause recurring
interest shortfalls.
"The servicer implements ARAs and resulting ASER amounts according
to each transaction's terms. Typically, these terms call for an ARA
equal to 25% of the loan's stated principal balance to be
implemented when it is 60 days past due and an appraisal or other
valuation is not available within a specified time frame. We
primarily considered ASER amounts based on ARAs calculated from MAI
appraisals when deciding which classes from the affected
transactions to downgrade to 'D (sf)'. This is because ARAs based
on a principal balance haircut are highly subject to change, or
even reversal, once the special servicer obtains the MAI
appraisals."
Servicer nonrecoverable advance declarations can prompt shortfalls
due to a lack of debt-service advancing, the recovery of previously
made advances after an asset was deemed nonrecoverable, or the
failure to advance trust expenses when nonrecoverable declarations
have been determined. Trust expenses may include, but are not
limited to, property operating expenses, property taxes, insurance
payments, and legal expenses.
Discussions of the individual transactions follow:
COMM 2000-C1 Mortgage Trust
S&P said, "We lowered our rating to 'D (sf)' from ' B- (sf)' on the
class G commercial mortgage pass-through certificates to reflect
accumulated interest shortfalls that we expect to be outstanding
for the foreseeable future. The class G certificates currently have
accumulated interest shortfalls outstanding for five consecutive
months. Based on our analysis, we believe that the interest
shortfalls will continue and the accumulated interest shortfalls
will remain outstanding for a prolonged period."
According to the July 16, 2018, trustee remittance report, the
current monthly interest shortfalls totaled $48,464 and resulted
primarily from interest not advanced due to nonrecoverable
determination.
The current reported interest shortfalls have affected all of the
outstanding classes.
Morgan Stanley Capital I Trust 2006-TOP21
S&P said, "We lowered our ratings to 'CCC- (sf)' from ' BB+ (sf)'
and to 'D (sf)' from ' CCC- (sf)' on the class C and D commercial
mortgage pass-through certificates, respectively, to reflect
accumulated interest shortfalls that we expect to be outstanding in
the near term. We believe that the accumulated interest shortfalls
to the class D certificates will remain outstanding for a prolonged
period and for the class to experience monetary default. For the
class C certificates, we expect the shortfalls to continue in the
near term and to be repaid upon the eventual liquidation of the
sole specially serviced asset ($58.0 million, 49.2%). Both classes
have accumulated interest shortfalls outstanding for six
consecutive months."
According to the July 12, 2018, trustee remittance report, the
current monthly interest shortfalls totaled $252,051 and resulted
primarily from:
-- Interest not advanced due to a nonrecoverable determination of
$241,419; and
-- Special servicing fees totaling $12,082.
The current reported interest shortfalls have affected all classes
subordinate to and including class C.
Greenwich Capital Commercial Funding Corp., series 2007-GG9
S&P said, "We lowered our rating to 'D (sf)' from 'CCC (sf)' on the
class A-J commercial mortgage pass-through certificates series
2007-GG9 to reflect accumulated interest shortfalls that we expect
to be outstanding for the foreseeable future. The class A-J
certificates have accumulated interest shortfalls outstanding for
five consecutive months. We believe that the interest shortfalls
will continue and the accumulated interest shortfalls will remain
outstanding for a prolonged period."
According to the July 12, 2018, trustee remittance report, the
current monthly interest shortfalls totaled $1,331,675 and resulted
primarily from:
-- Interest not advanced due to a nonrecoverable determination of
$1,219,718;
-- Net ASER amounts totaling $154,488; and Special servicing fees
totaling $102,659.
The current reported interest shortfalls have affected all classes
subordinate to and including class A-J.
RATINGS LOWERED
COMM 2000-C1 Mortgage Trust Commercial mortgage pass-through
certificates series 2000-C1
Rating
Class To From
G D (sf) B- (sf)
Morgan Stanley Capital I Trust 2006-TOP21
Commercial mortgage pass-through certificates series 2006-TOP21
Rating
Class To From
C CCC- (sf) BB+ (sf)
D D (sf) CCC- (sf)
Greenwich Capital Commercial Funding Corp. Commercial mortgage
pass-through certificates series 2007-GG9
Rating
Class To From
A-J D (sf) CCC (sf)
[*] S&P Raises 9 Ratings From Two US RMBS Deals Issued in 2014-2016
-------------------------------------------------------------------
S&P Global Ratings completed its review of 11 classes from two U.S.
residential mortgage-backed securities (RMBS) credit risk transfer
transactions issued in 2014 and 2016--Fannie Mae Connecticut Avenue
Securities Series 2014-C02 and Freddie Mac Structured Agency Credit
Risk Debt Notes Series 2016-DNA2. The transactions are backed by
prime conforming collateral. S&P said, "The review yielded nine
upgrades, and we removed these ratings from CreditWatch with
positive implications. Additionally, we discontinued our ratings on
two classes that paid in full and removed them from CreditWatch
positive."
S&P said, "The rating actions resolve 11 of the 422 CreditWatch
placements made on March 28, 2018, based on the application of our
new RMBS criteria.
"For each mortgage reference pool, based on our updated criteria,
we performed credit analysis using updated loan-level information
from which we determined foreclosure frequency, loss severity, and
loss coverage amounts commensurate for each rating level. For
Fannie Mae 2014-C02, loss severities are fixed depending on the
level of projected credit events.
"We used a mortgage operational assessment factor of 0.80x for both
Fannie Mae and Freddie Mac, in addition to the representation and
warranty loss coverage adjustments that were applied at deal
origination. We also assumed 20% of both reference pools consisted
of loans to borrowers that are self-employed."
The ratings on classes M-2, M-2F, and M-2I from Freddie Mac
2016-DNA2 were raised six notches to 'AA- (sf)' from 'BBB- (sf)';
the ratings on classes M-3A, M-3AI, and M-3AF were raised six
notches to 'A- (sf)' from 'BB- (sf)'; and the ratings on classes
M-3 and M-3B were raised four notches to 'BB+ (sf)' from 'B (sf)'.
The upgrades primarily reflect deleveraging as the transaction
seasons and the lower default expectations for higher-quality
collateral resulting from our recalibration of criteria relating to
credit factors, such as FICO, loan purpose, loan type, as well as
new factors, such as the multi-borrower credit (0.75x adjustment
factor). Both transactions benefit from low delinquencies, low
accumulated losses to date, sequential payment to the rated
classes, and a growing percentage of credit support to the rated
classes.
The rating on class 1M1 from Fannie Mae 2014-C02 was raised two
notches and limited to 'AA (sf)' due to the projected credit
support available for this class relative to the minimum credit
enhancement prescribed by our criteria.
S&P discontinued its ratings on class 2M-1 from Fannie Mae 2014-C02
and class M-1 from Freddie Mac 2016-DNA2 as they were paid in
full.
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by the application of its criteria. These
considerations are based on transaction-specific performance or
structural characteristics (or both) and their potential effects on
certain classes. Some of these considerations include:
-- Collateral performance/delinquency trends;
-- Priority of principal payments;
-- Priority of loss allocation;
-- Tail risk;
-- Interest shortfalls to unrated classes;
-- Expected short duration; and Available subordination, credit
enhancement floors, and/or excess spread.
A list of Affected Ratings can be viewed at:
https://bit.ly/2w0Ui7g
[*] S&P Takes Various Action on 59 Classes From 19 U.S. RMBS Deals
------------------------------------------------------------------
S&P Global Ratings completed its review of 59 classes from 19 U.S.
residential mortgage-backed securities (RMBS) transactions,
including three resecuritized real estate mortgage investment
conduit (re-REMIC) transactions, issued between 1999 and 2010. All
of these transactions are backed by a mix of collateral. The review
yielded 10 upgrades, six downgrades, 42 affirmations, and one
discontinuance.
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations include:
-- Collateral performance/delinquency trends;
-- Underlying bond performance;
-- Historical missed interest payments;
-- Priority of principal payments;
-- Expected short duration; 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 class A-3 from FFMLT Trust 2006-FF6 reflects its
expected shorter duration. We anticipate this class to be paid down
within the next 12 months. Additionally, this class is receiving
all principal payments because the transaction failed its
cumulative loss trigger. This sequential principal payment
mechanism prevents credit support from eroding and limits the
class' exposure to projected losses.
S&P said, "The downgrades on class M-1 from First Franklin Mortgage
Loan Trust 2004-FFH1, classes M-1 and M-2 from GSAMP Trust
2003-NC1, and classes M-1 and M-2 from GSAMP Trust 2004-NC1 are
based on our assessment of missed interest payments to the affected
classes during recent remittance periods. The lowered ratings were
derived by applying our interest shortfall criteria, which impose a
maximum rating threshold on classes that have incurred missed
interest payments 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.
These classes all received additional compensation for outstanding
missed interest payments; as such, we used our cash flow
projections in determining the likelihood that the shortfall would
be reimbursed under various scenarios."
A list of Affected Ratings can be viewed at:
https://bit.ly/2vOuqfw
[*] S&P Takes Various Actions on 22 Classes From 14 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 22 classes from 14 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2002 and 2007. All of these transactions are backed by
closed-end, second-lien or home equity line of credit (HELOC)
collateral. The review yielded 11 upgrades, eight affirmations, and
three withdrawals.
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;
-- Virtual certainty of default;
-- Liquidity cap;
-- Small remaining loan count; 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 withdrew our ratings on classes A-5, M-1, and M-2 from CWABS
Inc.'s series 2002-S3 based on the small number of loans remaining
in the pool. Once a pool has declined to a de minimis amount, we
believe that tail risk cannot be addressed because the high degree
of credit instability is incompatible with any rating level.
"Generally, ratings are limited on second-lien transactions at the
liquidity cap of 'A+ (sf)' because they are more likely to
experience interest shortfalls resulting from the lack of servicer
advancing at higher rating categories. Our criteria "U.S.
Second-Lien (Including HELOC, Closed-End, And HCLTV) RMBS
Surveillance Credit And Cash Flow Analysis For Pre-2009
Originations," published March 12, 2013, provides situations where
we can rate above the liquidity cap."
A list of Affected Ratings can be viewed at:
https://bit.ly/2vDdqJ1
[*] S&P Takes Various Actions on 6 Classes From 6 US RMBS Deals
---------------------------------------------------------------
S&P Global Ratings completed its review of six classes from six
U.S. residential mortgage-backed securities (RMBS) transactions
issued between 2002 and 2005. These transactions are backed by a
mix of collateral types. S&P lowered all six ratings and removed
two of them from CreditWatch with negative implications.
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/2ntPhQK
[*] S&P Takes Various Actions on 83 Classes From 19 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 83 classes from 19 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2002 and 2006. All of these transactions are backed by
subprime and alternative-A collateral. The review yielded 24
upgrades, 11 downgrades, 35 affirmations, 12 withdrawals, and one
discontinuance.
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations include:
-- Collateral performance/delinquency trends;
-- Erosion of or increases in credit support;
-- Historical missed interest payments;
-- Loan modification criteria;
-- Priority of principal payments;
-- Expected duration; and
-- Available subordination and/or overcollateralization.
Rating Actions
S&P said, "The ratings affirmations reflect our opinion that our
projected credit support and collateral performance on these
classes has remained relatively consistent with our prior
projections.
"We lowered our ratings on class AF-5A and AF-5B from CWABS
Asset-Backed Certificates Trust 2005-4 to 'CCC (sf)' from 'BBB-
(sf)'. This downgrade reflects the application of our imputed
promises criteria, which resulted in a maximum potential rating
(MPR) lower than the previous rating on each class.
"When a class of securities supported by a particular collateral
pool is paid interest through a weighted average coupon (WAC) and
the interest owed to that class is reduced because of loan
modifications, we impute an amount of interest owed to that class
of securities by applying our criteria, "Methodology For
Incorporating Loan Modifications And Extraordinary Expenses Into
U.S. RMBS Ratings," published April 17, 2015, and "Principles For
Rating Debt Issues Based On Imputed Promises," published Dec. 19,
2014. Based on our criteria, we apply an MPR to those classes of
securities that are affected by reduced interest payments over time
due to loan modifications. If we apply an MPR cap to a particular
class, the resulting rating may be lower than if we had solely
considered that class' paid interest based on the applicable WAC."
A list of Affected Ratings can be viewed at:
https://bit.ly/2OBxIJJ
*********
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
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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.
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